emerging market debt hard currency - rankiapro · sukhjeet reehal pm / 14 yrs –the hague thijs...

For Professional Client Use Only

Emerging Market Debt – Hard CurrencyRankia Funds Experience Valencia - October 2019

Firm Overview

3For Professional Client Use Only

Neuberger Berman Overview

1. As of June 30, 2019. Firm assets under management (AUM) includes $101.5 billion in Equity assets, $150.6 billion in Fixed Income assets and $81.0 billion in Alternatives assets. Alternatives “AUM and Committed Capital”

includes assets under management for non-Private Equity businesses and Committed Capital since inception for the Private Equity businesses. Committed Capital since inception reflects all contractual commitments, including

those still in documentation, to fund investments, including those which have since been realized, advised by NB Alternatives Advisers LLC and its affiliates or predecessors (the oldest mandate of which was founded in 1981).

2. Average retention level for senior investment professionals (including retirements) 2013 – 2018.

3. Among organizations with over 1,000 employees by Pensions & Investments.

4. Awarded by UN-supported Principles for Responsible Investment. PRI grades are based on information reported directly by PRI signatories, of which investment managers totaled 1,119 for 2019, 1,120 for 2018 and 935 for 2017.

All signatories are eligible to participate and must complete a questionnaire to be included. The underlying information submitted by signatories is not audited by the PRI or any other party acting on its behalf. Signatories report

on their responsible investment activities by responding to asset-specific modules in the Reporting Framework. Each module houses a variety of indicators that address specific topics of responsible investment. Signatories’

answers are then assessed and results are compiled into an Assessment Report. The Assessment Report includes indicator scores, summarizing the individual scores achieved and comparing them to the median; section

scores, grouping similar indicator scores together into categories (e.g. policy, assurance, governance) and comparing them to the median; module scores, aggregating all the indicator scores within a module to assign one of six

performance bands (from E to A+). Awards and ratings referenced do not reflect the experiences of any Neuberger Berman client and readers should not view such information as representative of any particular client’s

experience or assume that they will have a similar investment experience as any previous or existing client. Awards and ratings are not indicative of the past or future performance of any Neuberger Berman product or service.

The scores are based on the previous year’s reporting activity. Moreover, the underlying information has not been audited by the PRI or any other party acting on its behalf. While every effort has been made to produce a fair

representation of performance, no representations or warranties are made as to the accuracy of the information presented, and no responsibility or liability can be accepted for damage caused by use of or reliance on the

information contained within this report. Information about PRI grades is sourced entirely from PRI and Neuberger Berman makes no representations, warranties or opinions based on that information.

$101bn $151bn $90bn AUM and Committed Capital

Awarded Last 5 Consecutive Years

By Pension & Investments(3)

ESG Integration Across Investment Platform

A+: 2018 & 2019 Assessment Report ESG

Strategy and Governance(4)

2012: Signatory of PRI A+: 2018 & 2019 Assessment Report

Fixed Income4)

NEUBERGER BERMAN: $333 bn(1)

EQUITY FIXED INCOME ALTERNATIVES

HISTORY

80Years

Investing

OWNERSHIP

100%Independent,

Employee-Owned

DEPTH

~2,000Employees Across

32 Cities Globally

STABILITY

96%Retention

Rate(2)

CULTURE


Fixed Income Organization

Our global platform is comprised of over 170 investment professionals and responsible for $151bn in AUM1

1AUM as of June 30, 2019.

As of September 10, 2019.

Combined investment professionals of the firm and affiliated investment management entities.

*Tom O’Reilly will be retiring at the end of 2019 and will transition his portfolio management responsibilities to a group of senior portfolio managers across Global Non-Investment Grade. Given our team-based approach, each

account will continue to be managed by portfolio managers that have a deep understanding of each portfolio and the client’s unique objectives.

Global / US Opportunistic

Strategies

Thanos Bardas

Ashok Bhatia

Dave Brown

Adam Grotzinger

Jon Jonsson

Inflation / Liability Aware

Thanos Bardas

Olumide Owolabi

Insurance Solutions

Jason Pratt

Currency

Ugo Lancioni

Research

David Tang

MULTI-SECTOR

SOLUTIONS

EMERGING

MARKETS DEBT

GLOBAL FIXED INCOME

BRAD TANK, CIO

ASHOK BHATIA, DEPUTY CIO

GLOBAL INVESTMENT

GRADE

GLOBAL NON-INVESTMENT

GRADE

MUNICIPALS ALTERNATIVES

BRAD TANK THANOS BARDAS

DAVE BROWN

JOE LYNCH

TOM O’REILLY*

ROB DRIJKONINGEN

GORKY URQUIETA

JAMES ISELIN

Hard Currency

Bart van der Made

Local Currency

Raoul Luttik

Corporates

Jennifer Gorgoll

Nish Popat

Research

Puay Yeong Goh

Vera Kartseva

Kaan Nazli

Asian Fixed Income

Prashant Singh

High Yield

Russ Covode

Dan Doyle

Chris Kocinski

Joseph Lind

Tom O’Reilly

Senior Floating Rate Loans /

Structured Credit

Stephen Casey

Joe Lynch

Pim van Schie

Research

Steve Ruh

Rachel Young

European High Yield / Loans

Vivek Bommi

Simon Matthews

Rates

Thanos Bardas

Anthony Woodside

Credit

Dave Brown

Julian Marks

Bob Summers

Securitized

Jason Smith

Tom Sontag

Research

Steve Flaherty

Core/Core Plus

Thanos Bardas

Dave Brown

Adam Grotzinger

Nate Kush

Cash/Short Duration

Kristian Lind

Intermediate

James Iselin

S. Blake Miller

High Income

James Iselin

S. Blake Miller

Eric Pelio

Research

James Lyman

Global Credit

Long / Short

Norman Milner

Special Situations

Michael Holmberg

John Humphrey

Brendan McDermott

Ravi Soni

Residential Loans

Dmitry Gasinsky

China Fixed Income

Peter Ru

European

Patrick Barbe

Vito Cavaliere

Yanick Loirat

Antonio Serpico

European Private Loans

Pieter D’Hoore

Philip Ortner

Peer Rosenberg

Emerging Markets Debt


Emerging Markets Debt at Neuberger Berman

An experienced investment team with a proven multi site approach

The portfolio managers’ current style, philosophy and process, is as of the date hereof and is subject to change without notice.

Structured,

Research-Driven

Investment Process

• Diversified set of alpha sources

on the back of bottom-up and

top-down processes

• An emphasis on fundamental

research including ESG factors

• Consistent, disciplined

investment process across

strategies

Experienced

Team

• Multi-site team ensures local

perspective incorporated

• Dedicated specialists focused on

hard currency, local currency,

corporate and China onshore

strategies

• Asset allocation capabilities

across EMD asset classes

Full Range of

EMD Capabilities

Integrated Risk

Management

• Seeks to ensure portfolio risks

are transparent, intentional and

consistent with our investment

strategy

• Additional risk management

oversight at firm level

• Early investors in EMD:

Hard Currency since 1994

Local Currency (FX and rates)

since 1998

Emerging Corporate Bonds

since 2003

Dedicated China Onshore

Fixed Income Strategies since

2015

• Senior managers have been

working together since 2000


Emerging Markets Debt Team

As of August 30, 2019.

Yrs’ denotes years of investment experience.

Staffing is subject to change without notice.

HARD CURRENCY

Bart van der Made

Hard Currency Strategy Leader

Sr. PM / 22 yrs – The Hague

Rob Drijkoningen Global Co-Head of EMD

29 yrs – The Hague

LOCAL CURRENCY - GLOBAL

Sukhjeet Reehal

PM / 14 yrs – The Hague

Thijs Verheijden

PM / 9 yrs – The Hague

Raoul Luttik

Local Currency Strategy Leader


Prashant Singh

Asian Fixed Income Strategy Leader

Sr. PM / 16 yrs – Singapore

Mike Reyes

PM / 16yrs – Singapore

Gorky UrquietaGlobal Co-Head of EMD

25 yrs – Atlanta

ECONOMISTS / STRATEGISTS

Kaan Nazli

Sr. Economist / PM / 19 yrs – The Hague

Puay Yeong Goh

Sr. Economist / 15 yrs – Singapore

Vera Kartseva

PM / Strategist (TAA) / 12 yrs – The Hague

Lei Wan

Quant Analyst / 8 yrs – The Hague

Alexandru Ursu

Trader / 8 yrs – The Hague

Ram Bala Chandran

PM / 12 yrs – Atlanta

PORTFOLIO SPECIALISTS

Peter Ru

China Fixed Income Strategy Leader

Sr. PM / 24 yrs – Shanghai

Ian Chong

PM / 11 yrs – Shanghai

LOCAL CURRENCY – CHINA ONSHORE

Wenjin Li

Trader / 5 yrs – Shanghai

Samuel Wong

Corporate Analyst / 6 yrs – Shanghai

Zhilun Xu


Stéphane Xavier

Trader / 4 yrs – The Hague

Leonardo Bernardini

12 yrs – The Hague

Rebecca Lohse

14 yrs – Atlanta

Darius Sie

Associate PM / 3 yrs – Singapore

Pieter Niesten

Associate PM / 4 yrs – The Hague

CORPORATE

Nish Popat

EM Corporate Strategy Co-Leader


Jennifer Gorgoll

EM Corporate Strategy Co-Leader

Sr. PM / 21 yrs – Atlanta

Manuel Guerena

Sr. Corporate Analyst / 27 yrs – The Hague

Sean Jutahkiti

Director Asian Corporate Research

/ 18 yrs – Singapore

Doreen Saik

Sr. Corporate Analyst / 13 yrs – Singapore

Greg Magnuson

Sr. Corporate Analyst / 19 yrs – Atlanta

Gui Xiong Teo

Corporate Analyst / 9 yrs – Singapore

Alexander Sklemin

Sr. Corporate Analyst / 14 yrs – The Hague

Gloria Lam

Sr. Corporate Analyst / 12 yrs – Singapore

Ophelia Ng



Quarterly

All seniors meet in one location

Monthly

Top-down review for all Strategies

Weekly

Portfolio reviews between CEEMEA,

Asian and LatAm Teams

COMMUNICATION

Atlanta

The Hague

Singapore

KEY BENEFITS

Access to local in-depth

knowledge and research

24 hour market coverage

Local/regional trading allows

timely execution of investment

decisions

Shanghai

Around the Clock Coverage

Multi-site team with a presence across three time zones

Information as of the date on the cover of the presentation.

This material is intended as a broad overview of the portfolio managers’ current style, philosophy and process, is as of the date hereof and is subject to change without notice.


For this purpose, Institutional includes assets of Institutional Separate Accounts and Neuberger Berman sponsored U.S. registered '40 Act open-end funds held by institutional clients including defined benefit & defined contribution

plans and non-U.S. offshore funds held by institutional clients. See Additional Disclosures at the end of this piece, which are an important part of this presentation.

1. Registered Fund includes Neuberger Berman sponsored U.S. registered '40 Act open-end fund and non-U.S. offshore funds (i.e. UCITS).

2. Private Funds includes Neuberger Berman sponsored alternative collective investment vehicle with eligibility restrictions.

3. Includes 1 Qualifying Investment Fund (QIF).

4. Represents 20 mandates that the investment team manages a portion of.

5. Excludes investments in the China Bond Fund by other EMD strategies to avoid double counting

6. Based on the high level benchmark classification.

Emerging Markets Debt – Summary of Assets Under Management

As of August 31, 2019

Strategy AUM ($’s In Millions)

Hard Currency, $11,746

Local Currency,

$7,669

Corporates, $4,644

AUM BY SUB-

ASSET CLASS6

($’s in Millions)

# of Funds / Accounts AUM % of Total

UCITS Fund1

Hard Currency 1 $2,272 9%

Local Currency 1 $3,009 13%

Corporate Debt 1 $158 1%

Short Duration (50% HC / 50% Corp) 1 $5,789 24%

Blend (50% LC / 25% HC / 25% Corp) 1 $1,581 7%

Blend IG (67% HC / 33% LC) 1 $19 0%

Asian Hard Currency 1 $19 0%

China Bond Fund 1 $114 0%

Mutual Fund1

Blend (50% LC / 25% HC / 25% Corp) 1 $185 1%

Private Fund2

Blend (50% LC / 25% HC / 25% Corp) 2 $604 3%

Short Duration (50% HC / 50% Corp) 1 $23 0%

China Bond 2 $31 0%

Separate Account

Blend (50% LC / 25% HC / 25% Corp) 1 $217 1%

Blend (50% LC / 50% HC) 4 $1,964 8%

Blend (HC / Corp)³ 5 $2,319 10%

Hard Currency 10 $2,445 10%

Local Currency 5 $2,253 9%

Allocation from Fixed Income Mandates4

Hard Currency / Short Duration / Corporate * $1,060 4%

TEAM ASSETS UNDER MANAGEMENT5 39 $24,059 100%

Institutional $15,905 66%

Intermediary/HNW $8,154 34%

Blend, $6,888

Hard Currency,

$5,748 Corporates, $175

Short Duration, $5,836

Asian HC, $19

Local Currency,

$5,249

China Bond, $145

AUM BY

STRATEGY

($’s in Millions)


Neuberger Berman’s Emerging Market Debt (EMD) Strategies

* As of June 30, 2019.

** US Private Funds (commingled): Blend and Short Duration are funded, the others are available for funding.

The Target Excess Return' is not a formal objective and is indicative only. There is no guarantee that the target will be achieved.

UCITS funds are generally not available to US Investors. Private funds are not available to all investors.

LOCAL CURRENCY HARD CURRENCY CORPORATES BLEND BLEND INVESTMENT GRADE

OverviewExposure to EM opportunities

through local currency bonds

Exposure to EM opportunities

without EM currency risk

Exposure to the rapidly growing

opportunities in EM credit

Exposure to a dynamic portfolio

which takes advantage of the

broad EM debt spectrum

Exposure to a wide opportunity set of

investment grade EM debt, with a bias

towards hard currency denominated

debt.

BenchmarkJPM GBI Emerging Markets

Global Diversified Index

JPM EMBI Global Diversified

Index

JP Morgan CEMBI Diversified

Index

Custom Blend Index: JP Morgan

GBI Emerging Markets Global

Diversified Index (50%), JP

Morgan Emerging Markets Bond

Index Global Diversified (25%),

and JP Morgan Corporate

Emerging Market Bond

Diversified Index (25%).

EMD Blend Investment Grade Index: JP

Morgan Emerging Markets Bond Index

Global Diversified investment Grade

(67%) and JP Morgan GBI Emerging

Markets Global Diversified Investment

Grade 15% Cap Index (33%)

Risk Budget

(over a market cycle)

Targeted Tracking Error 2-5% 2-6% 2-4% 2-6% 1-3%

Target Excess Return p.a. (gross) 1-2% 1-2% 1-2% 1-3% 1%

Asset Allocation

Sovereigns No Max No MaxMax 33%

(Sovereign /or Quasi sovereign)

HC Sovereign 10-60%

Local Currency 20%-80%

HC Sovereign 40-90%

Local Currency 10%-50%

Non Sovereign Max 20%

Max 50% (Max Quasi-sovereign

35%/ Max Sub-sovereign 10%/

Max Supra-national 10%/ Max

Corporates 15%)

No Max

Max Quasi-sovereign 30%

Max Sub-sovereign 15%

Max Supra-national 10%

Max Corp 60%

Max Quasi-sovereign 40%

Max Sub-sovereign 15%

Max Supra-national 10%

Max Corp 15%

Hard or Local Currency Local Hard Max 33% Local Both Both

Benchmark Average

Credit Quality (S&P)*BBB+ BB+ BBB- - -

Active Duration Management +/- 2 years +/- 1.5 years +/- 1.5 years +/- 3 years +/- 3 years

Available Vehicles

Separate Account P P P P P

UCITS P P P P P

Mutual Fund (US) P

US Private Funds (commingled)** P P P P


Neuberger Berman’s Emerging Market Debt (EMD) Strategies

Continued

* As of June 30, 2019.

** US Private Funds (commingled): Blend and Short Duration are funded, the others are available for funding.

*** Based on linear average rating.

The Target Excess Return' is not a formal objective and is indicative only. There is no guarantee that the target will be achieved.

UCITS funds are generally not available to US Investors. Private funds are not available to all investors.

SHORT DURATION ASIAN HARD CURRENCY CHINA BOND (TOTAL RETURN) CHINA BOND (CORE)

Overview

Exposure to a short duration EM

portfolio of hard currency bonds with

an average IG rating***

Exposure to deeper and broader regional

sub-set of EM Sovereign and Corporate

universe, primarily through hard currency

bonds

Exposure to China opportunities in local

currency through a total return oriented

approach with flexible duration and sector

allocation

Exposure to China opportunities in local

currency through a high quality focused,

benchmark aware approach focused on

government-related bonds

Benchmark - JPM Asia Credit Index (JACI) -JP Morgan JADE Broad Asia Diversified -

Broad China Index

Risk Budgeting

(over a market cycle)

Targeted Tracking Error Limited Volatility 1.5-3.5% 4 to 5% Volatility 1-2%

Target Excess Return p.a. (gross) 300bp above 3m US T-Bills 1-1.5% 300bp above 3m Chinese Gov’t Bills 1%

Asset Allocation

Sovereigns30-70% (Sovereign /or Quasi

sovereign)Max 60% No Max No Max (incl. Policy Banks)

Non Sovereign 30-70%Max quasi-sovereign 35% / Max Corporates

100%No Max Max 30% Corporates

Hard or Local Currency Hard Max 30% LocalMax 33% USD, CNH or other offshore

bondsMax 10% Hard

Benchmark Average

Credit Quality(S&P)*- BBB+ - A+

Active Duration Management 2+/-0.75 years + / - 1.5 years 0.5 – 5 years + /- 50% of benchmark duration

Available Vehicles

Separate Account P P P P

UCITS P P P

Mutual Fund (US)

US Private Funds (commingled)** P


Neuberger Berman EMD Composite Performance

As of September 30, 2019

Source: Neuberger Berman.

1. Periods less than one year are not annualized.

The inclusion of any individual security in this document does not constitute a recommendation to invest.

Past performance is no guarantee of future results. Please refer to the attached GIPS compliant composite for complete performance information. Indexes are unmanaged and are not available for direct investment. Actual

investment results will vary. As with any investment, there is the possibility of profit as well as the risk of loss. See Additional Disclosures at the end of this piece, which are an important part of this presentation.

Gross of Fees Annualized¹ (%)

EMERGING MARKET DEBT - HARD CURRENCY COMPOSITE (USD) YTD 1 Year 3 Year 5 Year Since Inception (06/01/13)

Composite 12.73 10.45 5.68 6.53 6.41

JPM EMBI Global Diversified Index 12.99 11.57 4.61 5.74 5.40

Relative -0.26 -1.12 1.07 0.79 1.01

EMERGING MARKET DEBT - LOCAL CURRENCY COMPOSITE (USD) YTD 1 Year 3 Year 5 Year Since Inception (07/01/13)

Composite 8.73 10.36 3.25 0.69 0.60

JPM GBI Emerging Markets Global Diversified Index 7.86 10.13 3.06 0.55 0.12

Relative 0.87 0.23 0.19 0.14 0.48

EMERGING MARKET CORPORATE DEBT COMPOSITE (USD) YTD 1 Year 3 Year 5 Year Since Inception (07/01/13)

Composite 10.91 10.35 5.37 5.43 6.31

JP Morgan CEMBI Diversified Index 11.22 11.16 5.15 5.42 5.96

Relative -0.31 -0.81 0.22 0.01 0.35

EMERGING MARKET DEBT - BLEND COMPOSITE (USD) YTD 1 Year 3 Year 5 Year Since Inception (10/01/13)

Composite 9.20 9.21 3.82 3.05 3.43

Custom Blend Index 10.01 10.81 4.04 3.12 3.24

Relative -0.81 -1.60 -0.22 -0.07 0.19

EMERGING MARKET DEBT - BLEND INVESTMENT GRADE COMPOSITE (USD) YTD 1 Year 3 Year 5 Year Since Inception (08/01/17)

Composite 13.39 12.34 - - 6.15

EMD Blend Investment Grade Index 12.97 12.38 - - 5.73

Relative 0.42 -0.04 - - 0.42

SHORT DURATION EMERGING MARKET DEBT COMPOSITE (USD) YTD 1 Year 3 Year 5 Year Since Inception (11/01/13)

Composite 6.03 6.82 4.09 3.72 3.65

ICE BofAML 3-Month Treasury Bill Index 1.81 2.39 1.54 0.98 0.84

Relative 4.22 4.43 2.55 2.74 2.81


Neuberger Berman EMD Composite Performance


Source: Neuberger Berman.

1. Periods less than one year are not annualized.

The inclusion of any individual security in this document does not constitute a recommendation to invest.

Past performance is no guarantee of future results. Please refer to the attached GIPS compliant composite for complete performance information. Indexes are unmanaged and are not available for direct investment. Actual

investment results will vary. As with any investment, there is the possibility of profit as well as the risk of loss. See Additional Disclosures at the end of this piece, which are an important part of this presentation.

Gross of Fees Annualized¹ (%)

ASIAN DEBT HARD CURRENCY COMPOSITE (USD) YTD 1 Year 3 Year 5 Year Since Inception (07/01/15)

Composite 12.16 12.53 5.18 - 6.12

JPM Asian Credit Index (JACI) 10.08 10.80 3.87 - 5.04

Relative 2.08 1.73 1.31 - 1.08

CHINA BOND TOTAL RETURN COMPOSITE (RMB) YTD 1 Year 3 Year 5 Year Since Inception (07/01/18)

Composite 6.06 8.17 - - 8.18

China Bond New Composite TR Index 3.29 6.02 - - 6.00

Relative 2.77 2.15 - - 2.18

Why Invest In Emerging Markets Debt


Credit risk dominant

Benefit from carry

Benefit from improving credit risk trends of both government and

corporate issuers (decline in spreads)

HC Sovereign HC Corporate

EMD HARD CURRENCY

FX and interest rate risk dominant

Benefit from carry

Benefit from appreciating currencies

Benefit from declining local interest rates

EM FX (Currency) LC Bonds

EMD LOCAL CURRENCY

Four Main Sub-Asset Classes

For illustrative purposes only. Information is on this page represents historical observations about the sub-asset classes and is not intended to represent or predict future events.


Rationale for Investing in Emerging Markets Debt

We believe investors are underexposed to the asset class

SIZABLE

Growing asset class. Total EMD market now

over $26 trillion1. Acceleration of new issues

from countries and corporations

INEFFICIENT

Under-researched/reported universe creates

additional alpha potential. Capital constraints

and strong home bias create alpha

opportunities

DIVERSIFICATION

Dozens of countries, currencies, yield curves,

industry sectors, and issuers across all credit

rating buckets

FUNDAMENTALS

We believe most sovereigns are well

equipped to withstand cyclical headwinds

relying on sound balance sheets, flexible

currency regimes, better managed fiscal

accounts and expanded funding sources

YIELD

Yield advantage potential over developed

markets bonds

FX APPRECIATION

Emerging markets foreign exchange (FX)

holds potential opportunities for revaluation

1. Source: BofA Merrill Lynch Global Research, BIS, Bloomberg. As of December 31, 2018.


Stronger Real GDP Growth in Emerging Markets

Source: IMF World Economic Outlook, July 2019. Historical trends do not imply, forecast or predict future results.

F=Forecast.

GD

P (

%)

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

E

2019

F

2020

F

Differential Advanced economies Emerging market and developing economies


EM Fundamentals Still Strong

Improved debt sustainability and credit quality

1. Source: IMF World Economic Outlook (WEO); Neuberger Berman. Historical trends do not imply, forecast or guarantee future results.

2. Source: JP Morgan.

F: Neuberger Berman’s Forecast

General Government Debt as Percentage of GDP1 ― As of April 2019

Investment

Grade:

53.8%

Percentage of EMBIG Market Capitalization By Rating Segments2 ― As of August 31, 2019

0

20

40

60

80

100

120

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018E 2019F

Advanced economies Emerging market and developing economies

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Aug-98 Mar-00 Oct-01 May-03 Dec-04 Jul-06 Feb-08 Sep-09 Apr-11 Nov-12 Jun-14 Jan-16 Aug-17 Mar-19

IG

HY


EMD Tradable Debt Universe and Size

Source: BofA Merrill Lynch Global Research, BIS, Bloomberg. As of December 31, 2018.

Historical trends do not imply, forecast or guarantee future results.

Total market over 26 trillion USD

EMD Local Currency (LC) represents majority of market share

Growing corporate component in Hard Currency (HC)

Corporate names increasingly issue debt

Growth potential in EMD LC

$1,274 5% $2,667

10%

$10,953 42%

$11,412 43%

Sovereign HC Corporate HC Sovereign LC Corporate LC

Domestic Debt Makes Up 85% of Total EMD ($ Billions)


Emerging Markets Debt Historical Return & Risk – EUR Investor Perspective

1. Source: Bloomberg, JP Morgan. JPM EMBI Global Diversified EUR-Hedged (EMD Hard Currency), JPM CEMBI Diversified EUR-Hedged (EMD Corporate), JPM GBI-EM Global Diversified EUR Unhedged (EMD Local Currency),Bloomberg Barclays Euro Agg Corporate Index (Euro IG Corporates), MSCI Europe TR (MSCI Europe), MSCI Emerging Markets TR (MSCI Emerging Markets). The above information is based upon the indices as identifiedabove. Please see the Disclosure Section of this book for a complete description of each index. Actual investment results will vary. It is not possible to invest directly in any index.

2. Source: Bloomberg, JPMorgan.Past performance is not necessarily indicative of future results. As with any investment, there is the possibility of profit as well as the risk of loss.

EMD Hard Currency

(EUR-Hedged)

EMD Corporate

(EUR-Hedged)

EMD Local Currency

(EUR Unhedged)

Euro IG Corporates

(EUR Unhedged)

MSCI Europe

(EUR Unhedged)

MSCI Emerging

Markets

(EUR Unhedged)

Annualized Return (%) 7.29 6.10 6.16 4.27 6.72 10.04

Annualized Volatility (%) 8.17 8.87 9.02 3.46 13.72 17.63

Sharpe Ratio 0.68 0.50 0.49 0.74 0.36 0.47

Summary Statistics² (January 1, 2003 –September 30, 2019)

Risk/Return of Asset Classes¹ (January 1, 2003 – September 30, 2019)

EMD Hard Currency

EMD Corporate

EMD Local Currency

Euro IG Corporates

MSCI Europe

MSCI Emerging Markets

0%

2%

4%

6%

8%

10%

12%

0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%

Ann

ualiz

ed R

etur

n

Annualized Risk


Emerging Markets Debt Historical Return & Risk – EUR Investor Perspective

EMD has offered strong diversification benefits for EUR-based investors

1. Source: Bloomberg, JP Morgan. JPM EMBI Global Diversified EUR-Hedged (EMD Hard Currency), JPM CEMBI Diversified EUR-Hedged (EMD Corporate), JPM GBI-EM Global Diversified EUR Unhedged (EMD Local Currency),Bloomberg Barclays Euro Agg Corporate Index (Euro IG Corporates), MSCI Europe TR (MSCI Europe), MSCI Emerging Markets TR (MSCI Emerging Markets). The above information is based upon the indices as identifiedabove. Please see the Disclosure Section of this book for a complete description of each index. Actual investment results will vary. It is not possible to invest directly in any index.

Past performance is not necessarily indicative of future results. As with any investment, there is the possibility of profit as well as the risk of loss.

Correlation Analysis¹ (January 1, 2003 – September 30, 2019)

EMD Hard Currency

(EUR-Hedged)

EMD Corporate

(EUR-Hedged)

EMD Local Currency

(EUR Unhedged)

Euro IG Corporates

(EUR Unhedged)

MSCI Europe

(EUR Unhedged)

MSCI Emerging

Markets

(EUR Unhedged)

EMD Hard Currency

(EUR-Hedged)1.00

EMD Corporate

(EUR-Hedged)0.93 1.00

EMD Local Currency

(EUR Unhedged)0.49 0.41 1.00

Euro IG Corporates

(EUR Unhedged)0.63 0.66 0.41 1.00

MSCI Europe

(EUR Unhedged)0.45 0.44 0.44 0.40 1.00

MSCI Emerging

Markets

(EUR Unhedged)

0.54 0.51 0.62 0.39 0.76 1.00


Emerging Markets Debt – Current Yield and Duration Profile

As of 30 September 2019

Source: JP Morgan. Benchmarks used are EMD HC (JPM EMBI Global Diversified), EMD LC (JPM GBI-EM Global Diversified), EMD Corporate (JPM CEMBI Diversified), EMD SD (50% JPM EMBI Global Diversified 1-3yr, 50%JPM CEMBI Diversified 1-3yr), US IG Credit (JPM JULI ex-EM), US High Yield (JPM Domestic HY); US Treasury (GBI US), Blend EMD (25 EMD HC/25 EMD Corp/50 EMD LC). The above information is based upon the indices asidentified above. Please see the Disclosure Section of this book for a complete description of each index. Actual investment results will vary. It is not possible to invest directly in any index. Past performance is not necessarilyindicative of future results. As with any investment, there is the possibility of profit as well as the risk of loss. This material is intended as a broad overview of the portfolio managers’ current style, philosophy and process, is as of thedate hereof and is subject to change without notice. Information is on this page represents historical observations about the sub-asset classes and is not intended to represent or predict future events.

Yield and Duration (as of September 30, 2019)

EMD Corporate

EMD Hard Currency

EMD Blend

EMD Local Currency

US High Yield

US IG Credit

US Treasury (10Y)

1.0%

3.0%

5.0%

7.0%

1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0

Yie

ld (

%)

Duration (yrs)


EMD Asset Classes React Differently to Global Drivers

Data: Quarterly 2003Q1-2019Q3.

Sources: Bloomberg for US Generic Govt 10 Year Yield and U.S. Dollar Index (DXY). The U.S. Dollar Index (DXY) is an average of the exchange rates between the USD and major world currencies. JP Morgan for EMBI Glob. Div.,

CEMBI Div., GBI-EM Glob. Div. HC Short Duration index is 50% EMBI Glob 1-3yr + 50% CEMBI Broad 1-3yr. US Treasury Up and Down regimes are defined by the quarters when US Generic Govt 10 Year Yield increases or

decrease. USD Up and Down regimes are defined by the quarters when the U.S. Dollar Index returns increases or decrease.

Past performance is not necessarily indicative of future results. As with any investment, there is the possibility of profit as well as the risk of loss

Annualized Total Return – US Dollar MovesAnnualized Total Return – US Treasury Shifts

5.4%

3.6%

4.6%5.3%

4.7%

8.7%

12.8%

9.7%

6.2%

10.0%

0%

3%

6%

9%

12%

15%

EMD LocalCurrency

EMD HardCurrency

EMDCorporate

EMD ShortDuration

EMD Blend

US Treasury Yield Up US Treasury Yield Down

-5.7%

2.4% 2.1% 2.4%

-1.7%

19.6%

14.2%12.3%

9.0%

16.4%

-10%

-5%

0%

5%

10%

15%

20%

25%

EMD LocalCurrency

EMD HardCurrency

EMDCorporate

EMD ShortDuration

EMD Blend

USD Up USD Down


Strategic Investors Continue to Allocate to the Asset Class

Flows allocated across both hard and local currency

Source: JP Morgan. As of September 25, 2019. For illustrative purposes only. Historical trends do not imply, forecast or guarantee future results.

Monthly Bond Flows By Currency Exposure Annual Bond Flows By Fund Type

-40

-20

0

20

40

60

80

100

120

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

YT

D

US/European Mutual Funds Strategic Mandates

-20

-15

-10

-5

0

5

10

15

20

2014 2015 2016 2017 2018 2019

Hard Local

Emerging Markets Debt Hard Currency


OBJECTIVES

Investment Objective

Outperform the JPM EMBI Global Diversified Index over a 3 year period. The objective of the strategy is to achieve long term capital

growth, by investing in a diversified selection of debt instrument denominated in OECD currencies issued by issuers from low and

middle income developing countries. The strategy mainly invests in Latin American, Central and Eastern European, the Middle East,

Asian and African debt instruments.

Benchmark JPM EMBI Global Diversified Index

REPRESENTATIVE CHARACTERISTICS

Investment Universe Emerging Markets Sovereign, Quasi-Sovereign and Corporate Debt, issued in Hard Currency.

Investment Style Combining a focus on fundamental search for value in country exposure with top down market direction, corporate issuer and

instrument selection components

Instruments Hard Currency Bonds; Bond Futures; CDS; Cash Instruments; FX Forwards for currency hedging only.

Non-Sovereign Exposure Maximum 50%, as per following exposure categories:

• Quasi-sovereign (100% state owned or explicit sovereign guarantee): 35%

• Sub-sovereign (state, regional, municipal debt): 10%

• Supra-national (world bank regional development banks): 10%

• Corporate: 15%

Max. Country /Max. Issuer Maximum country exposure 25%; Maximum corporate issuer 4%

Emerging Markets Debt Hard Currency

Objectives and characteristics

This material is intended as a broad overview of the portfolio managers' style, philosophy and investment process and is subject to change. See Disclosures at the end of this presentation, which are an important part of this

presentation.


Investment Universe

Focus on a broad opportunity set of hard currency denominated EM bonds

The Investment Universe of the NB EMD Hard Currency Strategy comprises of:

+

Please note that we do manage various EMD HC mandates with restrictions on off-benchmark exposure.

Certain Off-benchmark exposures, including;

• Off-benchmark countries; typically countries with a relatively

high rating which fall somewhat in between Developed

and Emerging markets, e.g. Slovenia, South Korea

• EUR-denominated EM bonds

• EM Hard Currency Corporate bonds (max 15%)

All Constituents of the Benchmark Index

• (JPM EMBI Global Diversified;

154 issuers / 679 instruments as of 31 Dec 2018)


Hard Currency Investment Process Overview

Top down and bottom up approach with multiple potential alpha sources

1. Expected Alpha contribution data is estimated and for illustrative purposes only. Forecasts may not materialize and actual data could differ. Past performance is not indicative of future results. As with any investment, there is

the possibility of loss of the amount invested. This material is intended as a broad overview of the portfolio managers’ current style, philosophy and process, is as of the date hereof and is subject to change without notice.

1

Top Down

EMD Asset Class Review

2

Bottom Up

Country / Issuer / FX Review

3

Strategy Setting, Risk

Management and Model

Portfolio Construction

4

Portfolio Customization,

Process & Performance

Evaluation

EXPECTED ALPHA CONTRIBUTION1

Country Credit 60%

Top Down Analysis 15%

Corporate Credit and

Sector15%

Instrument Selection 10%


Top Down EMD Asset Class Review

Leveraged across all strategies to define risk profiles

This material is intended as a broad overview of the portfolio managers’ current style, philosophy and process, is as of the date hereof and is subject to change without notice.

Broad Market Environment for EMD

• G3 rates and spread outlook

• Global liquidity conditions

• Global growth outlook

• Inflation outlook

• Tail risk events

Near term demand/supply

• EMD inflows/outflows

• Market positioning

• Issuance outlook

Aggregates extensive

individual country analysis

• Outlook for growth and inflation

• Current account trend

• Reserve levels

• Debt-to-GDP dynamics

• Monetary & FX policies

Market pricing

• Value of absolute yields

• Value of relative yields

• FX REERs

TOP DOWN SCORE

PER STRATEGY1 = potential to increase risk

0 = neutral risk position

-1 = defensive risk position

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Hard Currency: Bottom up Analysis

Country Credit Analysis

For illustrative purposes only. This material is intended as a broad overview of the portfolio managers’ current style, philosophy and process, is as of the date hereof and is subject to change without notice.

Macroeconomic Factors (60%) Weighting

DOMESTIC ECONOMY

Real GDP growth, % p.a.

Nominal GDP, US$ billion

GDP per Capita, US$

CPI Inflation, % p.a.

Fiscal Balance % GDP

EXTERNAL SECTOR AND DEBT

Current Account Balance % GDP

External Debt as % GDP

Short-term Debt % Reserves

Reserves – Import Coverage

Public Debt % Public Revenues

ESG

Factors

(40%)

Social Governance:

Economic

Governance:

Legal & Political

Environment

• Rule of law

• Corruption

• Politics and election

Calendar

• Energy intensity of GDP

• Global Adaptation Ranking

• Carbon emissions per GDP

• Carbon emissions per capita

• Coal use in electricity generation

• Contribution to UN SDGs

Country scores are forward-looking (12-18 month):

100 = strong; 0 = weak

More EmphasisLess Emphasis

• Banking system

strength

• Nonperforming loans

• Ease of doing

business

• Funding sources

• Market capitalization

• Trade openness

• Government

effectiveness

• Regulatory

quality

• Political stability

& security

• Human

development

• Voice and

accountability


Adhoc Update from Kaan Nazli

EMBI

LAT

AR

BZ

BM

BO

BR

CLCO

CR DO

EC

SV

GT

HNJM

MXPA

PY

PE

SR

TT

UY

VE

EUR

AM

AZBY

BGHR

CZ

GE

HU KZ

LV LTPLRO

RUCS

SKSI

TR

UA

AFR

AO

CM

CI

EG

ETGA

GH

KE

MA

MZ

NA

NGRW

SN

ZA TZ

TN

ZM

MID BH

IQ

IL

JO

KW

LBOM

QA

SA

AE

ASIA

CNIN

ID

MY

MNPK

PH

KR

LK

0

100

200

300

400

500

600

700

800

900

1,000

1,100

1,200

1,300

1,400

1,500

1,600

15253545556575

Co

un

try

Sp

read

Neuberger Berman Credit Score

Hard Currency: Bottom up Analysis


Source: Neuberger Berman. As of April 12, 2017. For illustrative purposes only.

1

23 4

above the line indicating

bonds are cheap

below the line indicating

bonds are expensive

1,500

2,000

2,500

3,000


Liquidity Management

For illustrative purposes only. This material is intended as a broad overview of the portfolio management team’s current style, philosophy and process. Subject to change. See Additional Disclosures.

1

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Portfolio Liquidity Management

• Each bond is assigned an Issue Liquidity Rating - based on 10 factors

• The Ratings lead to:

– A measure of Total Portfolio Liquidity relative to Benchmark

– An overview of exposure concentration per liquidity bucket

WHAT WE CAPTURE HOW WE MEASURE WEIGHT

Characteristics • Potential trade sizes and investor familiarity with the issue

• Potential trade sizes and investor familiarity with the issuer

• Familiarity and natural demand from benchmark investors

• Issue size outstanding

• Issuer size

• Benchmark inclusion45%

Market Data

• Risk level of the security

• Cost of trading

• Breadth of active buy-side parties

• Breadth of active sell-side parties

• Trading volumes

• Spread over US Treasuries

• Bid-offer spread

• Number of reporting holders of the security

• Number of price-quoting sell-side parties

• Trading volume indication from MarketAxess

55%

100%

PENALTY FACTORS

Ownership Concentration• Concentration risk in major holder

• Neuberger Berman holding

• Percentage of the issue with largest reporting holder

• Percentage of the issue with Neuberger Berman-40%


Sovereign Investment Case Sample

The above sample report is intended to demonstrate the portfolio management team’s research capabilities and is not intended to recommend any particular investment.

Emerging Markets Debt

Hard Currency

Analyst Name

10-Jul-14

RATING OUTLOOKIssuer Ticker (Ticker) EMBIGD % Spread 544 S&P B NEGCountry (Country) EMBIGD SprDurW Spread Diff 264 MOODY'S B2 NEGNB Country Score 36.2 EMD_HC SprDurW Target Diff FITCH B NEG

Issuance ($ million) M/M Debt Repayments (Local and External) M/M (External)

Gross Issuance Forecast 1500 Jan Jan 0

2014 Cash Flow 124 Feb Feb 39

Net Issuance -1376 Mar Mar 0

Actual Issuance 0 Apr Apr 23

Remaining Gross Issuance 1500 May May 0

% of Gross Done 0 Jun Jun 0

% of Gross Remaining 100 Jul Jul 0

Aug 1500 Aug 39

Sep Sep 0

Oct Oct 23

Nov Nov 0

Dec Dec 0

Market Positioning

Signif Overwt % 1 Size Weighted Score -2.7 Size Weighted Score Dedicated Respondents -3 Survey Date:

Overwt % 11 Size Weighted Score Ch 0.1 Assets $bn Dedicated Respondents 474 19-Jun-14

Neutral % 42 No of Respondents 73 Size Weighted Score Crossover Respondents -5.1

Underwt % 36 Assets $bn 549 Assets $bn Crossover Respondents 33

Signif Underwt % 10 Size Weighted Score Leveraged Respondents 1.5

Assets $bn Leveraged Respondents 39

CCM Data & Scores

Data 2011 2012 2013 2014 2015 15.0 7.9 5.4 4.8 5.4

39 40 46 40 39

24.3 24.9 25.6 26.2 26.9

8.6 8.8 13.6 11.8 10.8

-4.2 -12.0 -10.9 -10.0 -8.4

1,594 1,622 1,782 1,539 1,434

-9.0 -11.8 -12.6 -7.6 -8.2

29.2 30.8 25.5 35.2 43.6

3.0 2.5 2.9 2.8 3.2

54.0 51.1 50.6 74.6 73.6

43.4 51.4 52.8 59.3 62.0

220.2 265.3 313.7 302.8 315.5

14.1 13.2 12.0 12.0 12.0

8.0 8.6 8.6 8.6 8.6

39.4 31.6 29.1 27.9 28.5

49.0 51.2 47.8 48.3 48.2

43.3 39.5 36.5 36.1 36.3

Key Developments

Budget Balance (% GDP)

0.5%0.020.00

(Country)

(Country)'s macro outlook is subject to significant risks. Growth has slowed visibly in 2013-4 as high interest rates and weaker (currency) are compressing domestic demand. The economy's twin

deficits and high financing needs leave it vulnerable to a deterioration in external conditions.

Real GDP Growth (%)

Nominal GDP (US$ bn)

Population (million)

CPI Inflation (year-end)

GDP per Capita (US$)

Current Account (% GDP)

External Debt (% GDP)

Reserves - Import Coverage

Short-term Debt (% Reserves)

Public Debt (% GDP)

Public Debt (% Revenues)

Non-performing loans (% Total)

Market Capitalization (% GDP)

MACROECONOMIC SCORE

ESG SCORE

COUNTRY SCORE

- Public debt is estimated to have reached 55.4% GDP at Mar-14. Debt interest payments were 27% above target in 5m14. The deterioration will continue unless more expensive domestic debt (c. 47% of total debt) is retired. The 9% 2013 budget target was overrun as will the 8.5% target for 2014. The government moved with steady tariff increases in late 2013 but reversed them in 2Q14. - The trade deficit has narrowed sharply in 5m14 to $157mn with (currency) weakness reducing imports (-17.8%) but exports were also down due to weaker gold prices/volumes and crude volumes. It is unclear whether this can be sustained: oil import demand (-11%) will recover with FX availability through Cocobod/Eurobond issuance.) Non-oil imports fell by 19.7% but with private sector credit growth at 47.2%, signs of an import demand collapse are weak. FX reserves have declined to $4.5bn or 2.5 months of import cover in Jun-14. This figure likely masks the short-term commitments of the Bank of (country) as flagged in the IMF Article 4 report, actual usable FX reserves are likely to be even lower than this. - Electricity challenges, uncertainty around gold prices and production, plateauing oil production, and high borrowing costs has led to weaker GDP growth, with risks to the downside:*The (company) Gas processing plant for electricity production (550MW) is now expected to come on stream only towards end-14 while the Bui hydropower dam that opened in 2013 has suffered delays, currently generating 90MW vs targeted 400MW. Recent investments by the (company) will raise output from the (company) thermal plant to 330 MW by 2015. * News that (company) plans to lay off thousands of worker at its (company) gold mine in (country) and cease underground production for up to 24 months have dented the gold production outlook. * Oil production is likely to stabilize around the current 100,000bpd, with the planned increase to 250,000bpd not taking place until possibly 2022, according to a recent World Bank study. The West Africa Gas Pipeline is still operating at about half capacity.

2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

Bonds 3700.9 1462 555.61 1186.5 194.9 0 60.568 0 0 1022.5

Loans 0 0 149.92 0 0 6.8963 0 0 611.98 0

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

US$

MM

Debt maturities

-14

-12

-10

-8

-6

-4

-2

0

0

50

100

150

200

250

300

350

2011 2012 2013 2014 2015

Key Ratios

Short-term Debt (% Reserves) Public Debt (% Revenues)

Current Account/GDP (right-axis)

NB Country Score

1

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Hard Currency Strategy Setting and Portfolio Construction

Position for fundamental value in country exposure with additional alpha derived from views in top down market direction,

corporate credit and instrument selection

For illustrative purposes only. This material is intended as a broad overview of the portfolio managers’ current style, philosophy and process, is as of the date hereof and is subject to change without notice.

1

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Instrument Analysis

Top down Score

Corporate Credit Analysis

Investment Insights

Aim to position for value across alpha sources

by considering:

Portfolio

Construction

Tracking Error Analysis

Risk budgeting of country exposures

Overall portfolio interest and spread duration

Percentage exposure considerations

MODEL

PORTFOLIO

Specific Corporate exposure guidelines

Portfolio Liquidity Control


Translating Top-down and Bottom-up views to Portfolio Risk

Portfolio managers are responsible for translating the Top-down Score and Bottom-up country views into portfolio risk-

adjusted positioning

1. Standalone Risk is a measure that isolates the risk from a particular risk factor by combining the exposure and the volatility of that factor, e.g. 2% Brazil bonds o/w with volatility of 13% gives Standalone Risk of 0.26%. This

measure is relatively light on assumptions – while the historical volatility of the position is used in the calculation, the historical correlation with the rest of the portfolio is not used. As a result this measure illustrates the tracking error

contribution of a country position in case a risk event occurs where all correlations between countries go to one.

1

23 4

Broad Range

Top Down Score -1.0 to +1.0

Beta range 0.8 to 1.4

Overall spread duration (yrs, relative) -1.5 to +1.5

Corporates allocation 0 – 15%

Cash allocation 0 – 15%

Country View Standalone Risk1

High conviction > 0.3%

Medium conviction 0.15% – 0.3%

Low conviction < 0.15%

TOP-DOWN BOTTOM-UP

The top down score on hard currency spreads drives the overall systematic

risk of the portfolio versus benchmark

Individual country position sizing is dependent on conviction levels and the

Standalone Risk contribution of the position.


Emerging Market Debt Hard Currency – Portfolio

1

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Source: BlackRock Aladdin. Benchmark: JPMorgan EMBI Global Diversified Index. Past performance is no guarantee of future results. Representative portfolio information (characteristics, holdings, weightings, etc.) is subject tochange without notice. Client accounts are individually managed and may vary significantly from composite performance and representative portfolio information.

Portfolio Benchmark Active

Effective Duration (Yrs) 7.50 7.59 -0.09

Maturity (Yrs) 13.46 11.84 1.62

Current Yield (%) 5.78 5.54 0.24

Yield to Maturity (%) 5.51 4.83 0.68

Spread (Bps) 364 301 62

Spread Duration (Yrs) 7.30 7.45 -0.16

Moody Rating Ba2 Ba1

S&P Rating BB BB+

Number of Holdings 311 759 -448

Portfolio Benchmark

Sovereign 62.57 79.67

Quasi Sovereign 23.05 20.33

Sub Sovereign 0.06

Supranational 0.51

Corporates 8.49

Other (incl. Cash) 5.32

Asset Allocation Breakdown (MV%)Key Characteristics

Quality Breakdown (MV%)

Country Breakdown (MV%)

0% 10% 20% 30% 40% 50% 60%

High Yield

Investment Grade

Portfolio Benchmark

0.0

1.0

2.0

3.0

4.0

5.0

6.0

Mex

ico

Ukr

aine

Rus

sia

Tur

key

Aze

rbai

jan

Indo

nesi

a

Ivor

y C

oast

Chi

na

Sri

Lank

a

Sou

th A

fric

a

Arg

entin

a

Bra

zil

Kaz

akhs

tan

Egy

pt

Cro

atia

Nig

eria

Qat

ar

UA

E

Col

ombi

a

Ser

bia

Ecu

ador

Mon

golia

Sau

di A

rabi

a

Gha

na

Pan

ama

Dom

inic

an R

ep

Ang

ola

Per

u

Ber

mud

a

Cos

ta R

ica

Mal

aysi

a

Chi

le

Om

an

Uzb

ekis

tan

Bah

rain

Tun

isia

Par

agua

y

El S

alva

dor

Ken

ya

Uru

guay

Ven

ezue

la

Sup

rana

tiona

l

S K

orea

Rom

ania

Pap

ua N

ew G

uine

a

Hun

gary

Arm

enia

Hon

g K

ong

Sen

egal

Sin

gapo

re

Indi

a

Alb

ania

Mon

tene

gro

Hon

dura

s

Bel

ize

Gua

tem

ala

Portfolio Benchmark


Emerging Market Debt Hard Currency – Country Weightings & Exposures

1

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Source: Blackrock Aladdin. Benchmark: JPMorgan EMBI Global Diversified Index. This supplemental report is provided for informational purposes only; please refer to your account statement(s) or other statement provided by yourcustodian for the official records of your account(s). Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results. See Additional Disclosures at the end of this presentation. Pleasenote: different treatment of defaulted bonds in portfolio characteristic calculations causes discrepancies between the index provider and our 3rd party portfolio analytics system. Performance is not impacted by these differences,however performance attribution will show discrepancies due to the treatment of the defaulted bonds. Representative portfolio information (characteristics, holdings, weightings, etc.) is subject to change without notice. Clientaccounts are individually managed and may vary significantly from composite performance and representative portfolio information.

Market Value (%)

Country Portfolio Benchmark Active

Top 10

Azerbaijan 3.99 1.00 2.98

Ivory Coast 3.49 0.68 2.81

Ukraine 4.99 2.36 2.63

Argentina 3.14 1.33 1.82

Serbia 2.03 0.27 1.77

Russia 4.88 3.28 1.60

Turkey 4.75 3.28 1.47

Mongolia 1.96 0.55 1.41

Croatia 2.29 0.90 1.39

Bermuda 1.38 0.00 1.38

Bottom 10

Philippines 0.00 3.07 -3.07

Uruguay 0.43 2.40 -1.97

Saudi Arabia 1.87 3.71 -1.84

Poland 0.00 1.75 -1.75

Bahrain 0.68 2.41 -1.73

Lebanon 0.00 1.55 -1.55

Hungary 0.27 1.76 -1.49

Chile 1.09 2.57 -1.48

Oman 0.97 2.37 -1.40

Peru 1.40 2.63 -1.22

Contribution to Duration

Country Portfolio Benchmark Active

Top 10

Mexico 0.72 0.42 0.30

Ivory Coast 0.20 0.04 0.16

Azerbaijan 0.21 0.06 0.15

Ukraine 0.26 0.12 0.15

Croatia 0.17 0.03 0.14

Argentina 0.19 0.07 0.12

Indonesia 0.49 0.38 0.11

Sri Lanka 0.20 0.11 0.09

Costa Rica 0.16 0.07 0.09

Serbia 0.09 0.01 0.09

Bottom 10

Philippines 0.00 0.28 -0.28

Uruguay 0.06 0.29 -0.23

Chile 0.10 0.29 -0.19

Saudi Arabia 0.19 0.37 -0.18

Peru 0.12 0.28 -0.16

Panama 0.17 0.29 -0.12

Bahrain 0.04 0.15 -0.11

Malaysia 0.03 0.14 -0.11

Qatar 0.26 0.36 -0.10

Jamaica 0.00 0.09 -0.09

Market Update and Outlook


Markets: Strong Rebound in EM Hard Currency YTD Following the 2018 Drawdown

Driven mostly by the drop in US Treasury yields but also by tighter EM spreads

Source: Bloomberg as of October 1, 2019. EMD HC Index = JPMorgan EMBI Global Diversified Index. For illustrative and discussion purposes only. Nothing herein constitutes investment, legal, accounting or tax advice, or a

recommendation to buy, sell or hold a security. This material is not intended as a formal research report and should not be relied upon as a basis for making an investment decision. Investing entails risks, including possible loss of

principal. Past performance is no guarantee of future results. Historical trends do not imply, forecast or guarantee future results. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to

a variety of factors, actual events or market behavior may differ significantly from any views expressed.

EMD HC Index – Calendar Year Total Returns in USD Move in EMBI GD Spreads and UST 10y yields during 2018/19

12.9

-4.3

10.310.2

1.2

7.4

-5.3

17.4

7.3

12.2

29.8

-12.0

6.2

9.910.211.6

22.2

13.7

9.7

12.7

19.6

-8.1

-15

-10

-5

0

5

10

15

20

25

30

35

2019

YT

D

2018

2017

2016

2015

2014

2013

2012

2011

2010

2009

2008

2007

2006

2005

2004

2003

2002

2001

2000

1999

1998

1.4

1.6

1.8

2.0

2.2

2.4

2.6

2.8

3.0

3.2

250

270

290

310

330

350

370

390

410

430

450

Dec

-17

Jan-

18

Feb

-18

Mar

-18

Apr

-18

May

-18

Jun-

18

Jul-1

8

Aug

-18

Sep

-18

Oct

-18

Nov

-18

Dec

-18

Jan-

19F

eb-1

9

Mar

-19

Apr

-19

May

-19

Jun-

19

Jul-1

9

Aug

-19

Sep

-19

EMBI GD Spreads (LHS) UST 10y Yield


Macroeconomic Forecasts

Neuberger Berman forecasts as of July 2019. *CPI Inflation aggregates exclude Argentina and Venezuela. For illustrative purposes only. Expectations may not materialize.

July 2019 ForecastReal GDP Growth

(%, y/y)

CPI Inflation*

(year-end)

Budget Balance

(% GDP)

Current Account

(% GDP)

2018 2019 2020 2018 2019 2020 2018 2019 2020 2018 2019 2020

Global EM (GDP-weighted) 4.5 4.2 4.3 3.8 3.8 3.4 -3.6 -4.4 -3.5 0.8 0.3 -0.3

Export Growth

(value in US$, % y/y)

External Debt

(% GDP)

Public Debt

(% GDP)

2018 2019 2020 2018 2019 2020 2018 2019 2020

Global EM (GDP-weighted) 8.8 2.5 2.5 35.4 34.9 33.8 58.0 57.1 56.1

• We expect EM GDP growth to slow down slightly this year while EM inflation is set to decline further

• Current accounts are declining as a whole due to weaker oil prices and as China produces a slight deficit as of 2019

• Overall public and external debt levels have stabilized and remain moderate


Asian, LatAm PMIs above 50 handle, while CEEMEA PMIs are dragged down by South Africa, Czech Republic and Russia

Source: Markit, Bloomberg, as of September 30, 2019. For illustrative and discussion purposes only. Nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security. This

material is not intended as a formal research report and should not be relied upon as a basis for making an investment decision. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future

results. Historical trends do not imply, forecast or guarantee future results. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior

may differ significantly from any views expressed.

Manufacturing PMI Manufacturing PMI – EM Regions

44

46

48

50

52

54

56

58

Oct

-16

Dec

-16

Feb

-17

Apr

-17

Jun-

17

Aug

-17

Oct

-17

Dec

-17

Feb

-18

Apr

-18

Jun-

18

Aug

-18

Oct

-18

Dec

-18

Feb

-19

Apr

-19

Jun-

19

Aug

-19

Emerging Markets PMI Developed Markets PMI

46

47

48

49

50

51

52

53

54

55

Oct

-16

Dec

-16

Feb

-17

Apr

-17

Jun-

17

Aug

-17

Oct

-17

Dec

-17

Feb

-18

Apr

-18

Jun-

18

Aug

-18

Oct

-18

Dec

-18

Feb

-19

Apr

-19

Jun-

19

Aug

-19

Asia CEEMEA Latam

EM Manufacturing is Slow to Recover as DM Deteriorates Sharply


EM External Balance and Policy Mix Still Favorable in Aggregate

Source: LHS: Bloomberg, as of July 31, 2019. EM-10: Brazil, Colombia, India, Indonesia, Korea, Mexico, Poland, Russia, South Africa, Turkey; RHS: Bloomberg, as of September 30, 2019. Real Policy Rate data series are

calculated as the policy rate for each country minus the headline inflation rate. The countries included in the EM Real Policy Rate series are all the countries in the GBI-EM GD Index as of January 31, 2019 with the exception of

Argentina, Dominican Republic and Uruguay; The countries included in the EM Real Policy Rate series are weighted based on their weights in the JPMorgan GBI-EM Global Diversified Index as of January 31, 2019 . For illustrative

and discussion purposes only. Nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security. This material is not intended as a formal research report and should not be

relied upon as a basis for making an investment decision. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results. Historical trends do not imply, forecast or guarantee future

results. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed.

EM-10 Aggregate Current Account ($Bn) Real Policy Rates: EM vs DM

-250

-200

-150

-100

-50

0

50

Apr

-13

Oct

-13

Apr

-14

Oct

-14

Apr

-15

Oct

-15

Apr

-16

Oct

-16

Apr

-17

Oct

-17

Apr

-18

Oct

-18

Apr

-19

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

Jan-

15

Apr

-15

Jul-1

5

Oct

-15

Jan-

16

Apr

-16

Jul-1

6

Oct

-16

Jan-

17

Apr

-17

Jul-1

7

Oct

-17

Jan-

18

Apr

-18

Jul-1

8

Oct

-18

Jan-

19

Apr

-19

Jul-1

9

EM Real Policy Rate (GBI-EM GD Weighted)

US Real Policy Rate

Eurozone Real Policy Rate


EM Corporates Outlook: Leverage at Lowest Levels Post 2014

Defaults in EM HY corporates continue to surprise to the downside YTD

1. Source: Factset, as of April 30, 2019.

2. Source: BoAML, as of July 31, 2019.

For illustrative and discussion purposes only. Nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security. This material is not intended as a formal research report and

should not be relied upon as a basis for making an investment decision. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results. Historical trends do not imply, forecast or

guarantee future results. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed

EM vs US Leverage¹ EM Corporate HY vs US HY Default Rate²

1.5

2.0

2.5

3.0

3.5

Jan-

09

Aug

-09

Mar

-10

Oct

-10

May

-11

Dec

-11

Jul-1

2

Feb

-13

Sep

-13

Apr

-14

Nov

-14

Jun-

15

Jan-

16

Aug

-16

Mar

-17

Oct

-17

May

-18

Dec

-18

US Total Debt/EBITDA, LTM EM Total Debt/EBITDA, LTM

0

2

4

6

8

10

12

14

16

Jan-

08

Aug

-08

Mar

-09

Oct

-09

May

-10

Dec

-10

Jul-1

1

Feb

-12

Sep

-12

Apr

-13

Nov

-13

Jun-

14

Jan-

15

Aug

-15

Mar

-16

Oct

-16

May

-17

Dec

-17

Jul-1

8

Feb

-19

US HY default rate (%) EM Corprate HY default rate (%)


We expect Chinese authorities to ease fiscal and monetary policy to offset tariffs impact. We believe China will aim to keep

GDP growth above 6% in 2019 and around 6% in 2020.

Trade Tensions: Impact of US tariffs on China’s Growth

0 100 200 300 400 500 600

Phase 3C (Tariffs from 15 Dec, 2019)

Phase 3B (Tariffs from 15 Oct, 2019)

Phase 3A (Tariffs from 1 Sept, 2019)

Phase 2B (Tariffs from May 10, 2019)

Phase 2A (Tariffs from Sept 24, 2018)

Phase 1 (Tariffs from July 10, 2018) 25%

25% 10%

25%

25% 15%

30% 15%

30% 15% 15%

0.1

p.p.

0.3

p.p.

0.6-0.8

p.p.

1.0-1.5

p.p.

1.2-1.6

p.p.

1.6-2.1

p.p.

Note: Grey bars denote increase in tariffed products and blue bars denote tariffed products from previous phases. Percentages denote the tariff incurred.

Sources: Bloomberg; Neuberger Berman. As of October 1, 2019.

Nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security. This material is not intended as a formal research report and should not be relied upon as a basis for

making an investment decision. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results. Historical trends do not imply, forecast or guarantee future results. Nothing herein

constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed.

Tariffs Cumulative Impact on China GDP Growth Can Be as Large as 1.6 – 2.1 p.p. over a 12 Months Period.

(Bubbles denote cumulative drag on China’s GDP growth over 12 months)

$Bn


Trade Tensions: Supply Side Diversification

Note: Oct/18 – Feb/19 vs average of same period over previous 3 years.

Sources: Bloomberg; SCB, Neuberger Berman. As of May 11, 2019.




Mexico, South Korea and Taiwan seem to have been among the main beneficiaries of US/China trade issues

Top 5 winners that appear to have benefited from US demand diverted from China

(Change in % share of US imports in categories with tariffs)

-5.0

-4.0

-3.0

-2.0

-1.0

0.0

1.0

2.0

Mexico South Korea Taiwan Philippines Vietnam China

%


Argentina Recovery Scenarios

1. As of date below.

Source: Neuberger Berman. As of September 4, 2019.




Sovereign bond prices in a range of 35 – 45ct1 are close to the worst case recovery scenario and oversold in our view

Argentina Recovery Scenarios

Expectations for external sovereign bonds IF a sovereign bond restructuring or reprofiling would take place

“Worst Case”: Outcome similar to2001 restructuring, when theindebtedness and economic situationin Argentina was much worse vs. thecurrent situation.

“Better Case”: More likely scenario vsworst case in our view, which looks atindebtedness and probable real FXtrajectory, and which haircut onexternal bonds would be required tobring Debt / GDP to a sustainablelevel.

“Maturity Extension Only”: In line withthe goal policymakers mentioned,referring to ‘voluntary reprofiling ofbonds’. No haircut on principal, but weestimate a 15% NPV loss as a resultof the reprofiling.

40%

70%

85%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Scenario 1: "Worst Case" Scenario 2: "Better Case" Scenario 3: "Maturity Extension Only"


EM Hard Currency Spreads in Fair Value Territory After YTD Tightening

Pickup versus developed market bonds remains attractive across IG and HY

Source: JPMorgan, Barclays; As of October 1, 2019.

Indices used: JPM EMBI Global Diversified HY and IG subindices, JPM CEMBI Diversified HY and IG subindices, Barclays US High Yield Index, Barclays Global Aggregate Corporate Index. This material is intended as a broad

overview of the portfolio managers’ current style, philosophy and process, is as of the date hereof and is subject to change without notice. Information is on this page represents historical observations about the sub-asset classes

and is not intended to represent or predict future events. Historical trends do not imply, forecast or guarantee future results.

Spread Over Treasuries

571

487

386

250

350

450

550

650

750

850

950

Oct

-14

Feb

-15

Jun-

15

Oct

-15

Feb

-16

Jun-

16

Oct

-16

Feb

-17

Jun-

17

Oct

-17

Feb

-18

Jun-

18

Oct

-18

Feb

-19

Jun-

19

Oct

-19

EM Corporates HY EM Sovereign HY US HY Credit

180

166

118

50

100

150

200

250

300

350

Oct

-14

Feb

-15

Jun-

15

Oct

-15

Feb

-16

Jun-

16

Oct

-16

Feb

-17

Jun-

17

Oct

-17

Feb

-18

Jun-

18

Oct

-18

Feb

-19

Jun-

19

Oct

-19

EM Corporates IG EM Sovereign IG DM IG Credit


EM HY Spread Pickup vs. EM IG Near Historical Highs

Even excluding Argentina and Venezuela

Source: JPMorgan, Neuberger Berman calculations; As of October 2, 2019.

Indices used: JPMorgan EMBI Global Diversified High Yield (excluding Argentina and Venezuela) and JPMorgan EMBI Global Diversified Investment Grade subindices.

This material is intended as a broad overview of the portfolio managers’ current style, philosophy and process, is as of the date hereof and is subject to change without notice. Information is on this page represents historical

observations about the sub-asset classes and is not intended to represent or predict future events. Historical trends do not imply, forecast or guarantee future results.

Spread Difference (bps): EMBI GD HY (ex Argentina & Venezuela) VS EMBI GD IG

316

0

50

100

150

200

250

300

350

400

Jan-

04

Jul-0

4

Jan-

05

Jul-0

5

Jan-

06

Jul-0

6

Jan-

07

Jul-0

7

Jan-

08

Jul-0

8

Jan-

09

Jul-0

9

Jan-

10

Jul-1

0

Jan-

11

Jul-1

1

Jan-

12

Jul-1

2

Jan-

13

Jul-1

3

Jan-

14

Jul-1

4

Jan-

15

Jul-1

5

Jan-

16

Jul-1

6

Jan-

17

Jul-1

7

Jan-

18

Jul-1

8

Jan-

19

Jul-1

9

Spread Difference Average +1 std. dev. -1 std. dev.


EMD Outlook – Our Views

As of October 2019.

Opinions expressed herein reflect the opinion of Neuberger Berman and are subject to change without notice. Expectations may not materialize. Estimates and views may not materialize. The estimates and views contained

herein are being shown to illustrate NB's current expectations regarding future financial information, they are not intended to provide any guarantee or assurance about the future performance. Estimates or other forward-looking

statements regarding future events, targets or expectations are only current as of the date indicated. There is no assurance that such events or forecasts will occur, and may be significantly different than that shown here. The

information in this presentation, including statements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for other reasons.

• We continue to see downside risks to global growth with Asian and European (mainly German) manufacturing contraction spilling

over to the US and signs of weaker US consumer sentiment. The uncertainty triggered by the failure of the US and China to reach a

trade agreement will continue to weigh on business sentiment as a final trade deal is unlikely to be made soon.

• Easier financial conditions in developed markets, supported by the dovish stance of DM central banks, as well as potential further

fiscal and monetary boosts in China, will likely cushion these downside risks to some extent.

• We expect EM growth to decelerate compared to 2018. Other cyclical indicators such as fiscal and current account balances remain

well behaved while inflation is on a downward trajectory. Export growth, however, is likely to continue to disappoint both as a

consequence of weak industrial activity, as well as the rising protectionism impacting global trade.

• Spreads in EM hard currency sovereigns look attractive relative to developed market credits in our view, especially in the High

Yield space. Local bond yields tightened in sync with DM yields, but still offer an reasonably attractive real yield premium and benefit

from the ongoing monetary stimulus by EM Central Banks.

• Given the prevailing downside risks to growth and no sign of a resolution of the US/China trade deadlock in the short term, we

maintain a small underweight in local markets vs. cash in our blended strategies. We continue to have a balanced position in hard

currency, with the long bias in sovereign debt funded with an underweight in corporate credit.


Risk Considerations

Type Description

The risk of a change in the value of a position as a result of underlying market factors, including among other things, the overall performance of

companies and the market perception of the global economy.Market Risk

The risk that bond issuers may fail to meet their interest repayments, or repay debt, resulting in temporary or permanent losses to the portfolio.Credit Risk

The risk that the portfolio may be unable to sell an investment readily at its fair market value. In extreme market conditions this can affect the

strategy’s ability to meet redemption requests upon demand.Liquidity Risk

The risk of interest rate movements affecting the value of fixed-rate bondsInterest Rate Risk

The strategy may use certain types of financial derivative instruments (including certain complex instruments). This may increase the portfolio’s

leverage significantly which may cause large variations in the value of investments. Investors should note that the strategy may achieve its investment

objective by investing principally in Financial Derivative Instruments (FDI). There are certain investment risks that apply in relation to the use of FDI.

Derivatives Risk

The risk that a counterparty will not fulfil its payment obligation for a trade, contract or other transaction, on the due date.Counterparty Risk

The risk of direct or indirect loss resulting from inadequate or failed processes, people and systems including those relating to the safekeeping of

assets or from external events.Operational Risk

Investments in a currency other than the base currency of the portfolio are exposed to currency risk. Fluctuations in exchange rates may affect the

return on investment. If the currency of the portfolio is different from your local currency, then you should be aware that due to exchange rate

fluctuations the performance may increase or decrease if converted into your local currency

Currency Risk

Emerging markets are likely to bear higher risk due to a possible lack of adequate financial, legal, social, political and economic structures, protection

and stability as well as uncertain tax positions which may lead to lower liquidity. The value of a portfolio may experience medium to high volatility due

to lower liquidity and the availability of reliable information, as well as due to the strategy's investment policies or portfolio management techniques.

Emerging Market Risk

Appendix & Disclaimer

300504


Emerging Market Debt Hard Currency – 2019 Attribution YTD


Source: Blackrock Aladdin. Past performance is not indicative of future returns.

Figures are quoted in US Dollars and are gross of fees. Benchmark: JPMorgan EMBI Global Diversified Index.

Please note: different treatment of defaulted bonds in portfolio characteristic calculations causes discrepancies between the index provider and our 3rd party portfolio analytics system. Performance is not impacted by these

differences, however performance attribution will show discrepancies due to the treatment of the defaulted bonds. Representative portfolio information (characteristics, holdings, weightings, etc.) is subject to change without notice.

Client accounts are individually managed and may vary significantly from composite performance and representative portfolio information.

Yield Curve -17

Spread Duration Exposure Effect 17

Country Allocation -142

Security Selection 123

Residuals (pricing, trading effect, fees) -7

Total -25

Average

Weight

(% MV)

Spread

Duration

Contribution

Outperformance (bps)

Country Port B/M Active

Country

Allocation

Effect

Instrument

Selection

Effect

Total

Effect

Lebanon 0.2 1.9 -0.08 39 -1 38

Ukraine 3.7 2.4 0.08 22 13 34

Ivory Coast 3.6 0.8 0.18 20 -1 19

Brazil 3.5 3.1 0.01 -1 16 15

Croatia 3.0 1.2 0.18 11 3 15

China 3.1 4.2 -0.07 1 12 14

Russia 3.8 3.3 0.03 3 9 12

Chile 1.0 2.7 -0.17 2 5 7

Ghana 2.0 1.0 0.08 8 -1 6

Nigeria 2.5 2.0 0.04 3 2 5

Average

Weight

(% MV)

Spread

Duration

Contribution

Outperformance (bps)

Country Port B/M Active

Country

Allocation

Effect

Instrument

Selection

Effect

Total

Effect

Argentina 4.7 2.3 0.20 -196 56 -140

Ecuador 1.7 2.5 -0.02 -10 -2 -12

Venezuela 1.2 0.7 0.00 -30 20 -10

Oman 1.3 2.4 -0.01 -1 -8 -9

Saudi Arabia 1.4 1.8 -0.04 -6 -1 -7

Mexico 4.9 4.7 0.19 4 -10 -6

Iraq 0.0 0.6 -0.02 -4 0 -4

Sri Lanka 3.4 2.2 0.09 6 -10 -4

Pakistan 0.0 0.9 -0.04 -4 0 -4

Kenya 0.3 0.9 -0.03 -2 -1 -4

Factor Contribution (bps)

Top 10 Country Active Contributions Bottom 10 Country Active Contributions


Composite Benchmark Composite 3 Year Standard Deviation

Total Return

(%, Gross

of Fees)

Total Return

(%, Net

of Fees)

Custom Blend

(%)

No. of

Accounts

Market Value

($, m)

Total Firm

Assets

($, bn)

% of Firm

Assets

Internal

Dispersion

Composite

(%)

Custom Blend

(%)

YTD Jun-

201910.07 9.61 9.50 ≤ 5 2,081.6 -- -- -- 7.89 6.67

2018 -6.18 -6.85 -4.52 ≤ 5 1,944.0 304.1 0.64 -- 8.42 7.42

2017 15.08 14.27 12.13 ≤ 5 1,958.4 295.2 0.66 -- 8.04 7.37

2016 10.32 9.52 10.25 ≤ 5 1,086.2 255.2 0.43 -- 9.06 8.30

2015 -7.51 -8.24 -7.14 ≤ 5 528.0 240.4 0.22 -- -- --

2014 1.26 0.37 0.31 ≤ 5 300.8 250.0 0.12 -- -- --

3 Months

20130.48 0.25 0.09 ≤ 5 100.5 241.7 0.04 -- -- --

Emerging Market Debt - Blend Composite (Inception 10/1/2013)

Investment Performance Results – As of June 30, 2019

Past performance is no guarantee of future results.

Please see attached important disclosures which contain complete performance information and definitions.

Compliance Statement• Neuberger Berman Group LLC ("NB", "Neuberger Berman" or the "Firm") claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS® standards.

Neuberger Berman has been independently verified for the period January 1, 2011 to December 31, 2018. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS® standards on afirm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS® standards. Verification does not ensure the accuracy of any specific composite presentation. Theverification reports are available upon request.

• The GIPS® firm definition was redefined effective January 1, 2011. For prior periods there were two separate firms for GIPS® firm definition purposes and such firms were independently verified for the periods January 1, 1997 to December 31,2010 and January 1, 1996 to December 31, 2010, respectively.

Definition of the Firm• The firm is currently defined for GIPS® purposes as Neuberger Berman Group LLC, ("NB", "Neuberger Berman" or the "Firm"), and includes the following subsidiaries: Neuberger Berman Investment Advisers LLC, Neuberger Berman Europe

Ltd., Neuberger Berman Asia Ltd., Neuberger Berman East Asia Ltd., Neuberger Berman Singapore Pte. Ltd., Neuberger Berman Taiwan Ltd, Neuberger Berman Australia Pty. Ltd., Neuberger Berman Trust Company N.A., Neuberger BermanTrust Company of Delaware N.A., NB Alternatives Advisers LLC and Neuberger Berman Breton Hill ULC.

Policies• Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.Composite Description• The Emerging Market Debt- Blend Composite (the "Composite") includes the performance of all fee-paying Emerging Market Debt - Blend portfolios, with no minimum investment, managed by the Emerging Market Debt team. The Emerging

Market Debt- Blend strategy seeks to achieve total return consisting of income and capital appreciation, by investing in a diversified selection of debt instrument denominated in USD or local currency issued by issuers from developing countries.The strategy may invest in sovereign, quasi-sovereign, corporate, sub-sovereigns and supra-national issuers. The strategy mainly invests in Latin American, Central and Eastern European, the Middle East, Asian and African debt instruments.The Composite creation and performance inception date is October 2013. A complete list of Neuberger Berman's composites is available upon request.

Primary Benchmark Description• The benchmark is a blend of 50% of the JP Morgan GBI Emerging Markets Global Diversified Index, 25% of JP Morgan Emerging Markets Bond Index Global Diversified and 25% of the JP Morgan Corporate Emerging Market Bond Diversified

Index .The benchmark is calculated on a total return basis. Additional disclosures for complete benchmark descriptions are available upon request.Reporting Currency• Valuations are computed and performance is reported in U.S. Dollars. Performance includes reinvestment of dividends and other earnings.Fees• Composite Gross of Fee returns are the return on investments reduced by any trading expenses incurred during the period. Composite Net of Fee returns are the Gross of Fee returns reduced by investment advisory fees.Fee Schedule• The annual investment advisory fee, generally payable quarterly, is as follows: 0.65% on the first $100mn; 0.55% on the next $150mn; 0.45% thereafter.Internal Dispersion• Internal dispersion is calculated using the asset-weighted standard deviation of annual gross returns of those portfolios that were in the Composite for the entire year. Internal dispersion is not calculated if the Composite does not contain at least

6 portfolios for the entire year.Annualized Standard Deviation• The three-year annualized standard deviation measures the variability of the Composite and the benchmark returns over the preceding 36-month period. The standard deviation is not required for periods prior to 2011.



Total Return

(%, Gross

of Fees)

Total Return

(%, Net

of Fees)

JP Morgan

CEMBI

Diversified Index

(%)

No. of

Accounts

Market Value

($, m)

Total Firm

Assets

($, bn)

% of Firm

Assets

Internal

Dispersion

Composite

(%)

JP Morgan CEMBI

Diversified Index

(%)

YTD Jun-

20199.69 9.17 9.14 ≤ 5 160.0 -- -- -- 4.08 3.40

2018 -2.58 -3.36 -1.72 ≤ 5 118.6 304.1 0.04 -- 4.28 3.63

2017 9.41 8.54 7.89 ≤ 5 145.4 295.2 0.05 -- 4.65 4.10

2016 11.73 10.85 10.43 ≤ 5 124.9 255.2 0.05 -- 5.40 4.66

2015 0.43 -0.36 1.18 ≤ 5 93.8 240.4 0.04 -- -- --

2014 6.45 5.61 5.70 ≤ 5 169.9 250.0 0.07 -- -- --

6 Months

20133.81 3.40 3.11 ≤ 5 29.2 241.7 0.01 -- -- --

Emerging Market Corporate Debt Composite (Inception 7/1/2013)









Policies• Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.Composite Description• The Emerging Market Corporate Debt Composite (the "Composite") includes the performance of all fee-paying Emerging Market Corporate Debt portfolios, with no minimum investment, managed by the Emerging Market Debt team. The

Emerging Market Corporate Debt strategy seeks to achieve long-term capital growth by investing generally in corporate debt instruments denominated in USD. The strategy focuses primarily on issuers from developing countries such as LatinAmerica, Asia, Central and Eastern Europe, Middle East and Africa. The Composite creation and performance inception date is July 2013. A complete list of Neuberger Berman's composites is available upon request.

Primary Benchmark Description• The benchmark is the JP Morgan CEMBI Diversified Index (the "Index"). The Index is designed to measure the total returns for USD denominated debt issued by emerging market corporations. The CEMBI family of indices expands J.P.

Morgan's regional corporate indices - JACI, LEBI, RUBI, which provide benchmarks for Asia, Latin America, and Russia, respectively. The benchmark is calculated on a total return basis.Reporting Currency• Valuations are computed and performance is reported in U.S. Dollars. Performance includes reinvestment of dividends and other earnings.Fees• Composite Gross of Fee returns are the return on investments reduced by any trading expenses incurred during the period. Composite Net of Fee returns are the Gross of Fee returns reduced by investment advisory fees.Fee Schedule• The annual investment advisory fee, generally payable quarterly, is as follows: 0.65% on the first $100mn; 0.55% on the next $150mn; 0.45% thereafter.Internal Dispersion• Internal dispersion is calculated using the asset-weighted standard deviation of annual gross returns of those portfolios that were in the Composite for the entire year. Internal dispersion is not calculated if the Composite does not contain at least




Total Return

(%, Gross

of Fees)

Total Return

(%, Net

of Fees)

JPM EMBI Global

Diversified Index

(%)

No. of

Accounts

Market Value

($, m)

Total Firm

Assets

($, bn)

% of Firm

Assets

Internal

Dispersion

Composite

(%)

JPM EMBI Global

Diversified Index

(%)

YTD Jun-

201912.02 11.58 11.31 ≤ 5 2,181.9 -- -- -- 6.51 5.60

2018 -5.31 -5.89 -4.26 ≤ 5 1,799.2 304.1 0.59 -- 6.46 5.46

2017 14.82 14.24 10.26 ≤ 5 1,313.8 295.2 0.45 -- 6.27 5.04

2016 12.82 12.34 10.15 ≤ 5 663.4 255.2 0.26 -- 7.07 5.78

2015 -0.30 -0.66 1.18 ≤ 5 1,015.8 240.4 0.42 -- -- --

2014 8.89 8.14 7.43 ≤ 5 98.1 250.0 0.04 -- -- --

7 Months

2013-1.30 -1.70 -2.32 ≤ 5 11.4 241.7 0.00 -- -- --

Emerging Market Debt - Hard Currency Composite (Inception 6/1/2013)









Policies• Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.Composite Description• The Emerging Market Debt - Hard Currency Composite (the "Composite") includes the performance of all fee-paying Emerging Market Debt - Hard Currency portfolios, with no minimum investment, managed on a fully discretionary basis by the

Emerging Market Debt team. The Emerging Market Debt - Hard Currency strategy seeks to achieve long term capital growth by investing generally in debt instruments denominated in USD. The strategy focuses primarily on issuers fromdeveloping countries such as Latin America, Asia, Central and Eastern Europe, Middle East and Africa. The Composite creation and performance inception date is June 2013. A complete list of Neuberger Berman's composites is available uponrequest.

Primary Benchmark Description• The benchmark is the JPM EMBI Global Diversified Index (the "Index"). The Index tracks the total returns for U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities, including Brady bonds,

loans, and Eurobonds. The benchmark is calculated on a total return basis.Reporting Currency• Valuations are computed and performance is reported in U.S. Dollars. Performance includes reinvestment of dividends and other earnings.Fees• Composite Gross of Fee returns are the return on investments reduced by any trading expenses incurred during the period. Composite Net of Fee returns are the Gross of Fee returns reduced by investment advisory fees.Fee Schedule• The annual investment advisory fee, generally payable quarterly, is as follows: 0.55% on the first $100mn; 0.45% on the next $150mn; 0.35% thereafter.Internal Dispersion• Internal dispersion is calculated using the asset-weighted standard deviation of annual gross returns of those portfolios that were in the Composite for the entire year. Internal dispersion is not calculated if the Composite does not contain at least




Total Return

(%, Gross

of Fees)

Total Return

(%, Net

of Fees)

JPM GBI

Emerging

Markets Global

Diversified Index

(%)

No. of

Accounts

Market Value

($, m)

Total Firm

Assets

($, bn)

% of Firm

Assets

Internal

Dispersion

Composite

(%)

JPM GBI Emerging

Markets Global

Diversified Index

(%)

YTD Jun-

20199.80 9.41 8.72 ≤ 5 4,865.1 -- -- -- 10.64 9.70

2018 -7.75 -8.30 -6.21 ≤ 5 4,142.7 304.1 1.36 -- 11.85 11.09

2017 17.10 16.36 15.21 ≤ 5 2,699.5 295.2 0.91 -- 11.31 10.87

2016 10.22 9.51 9.94 ≤ 5 1,428.0 255.2 0.56 -- 12.55 11.97

2015 -15.73 -16.37 -14.92 ≤ 5 501.4 240.4 0.21 -- -- --

2014 -4.71 -5.43 -5.72 ≤ 5 433.0 250.0 0.17 -- -- --

6 Months

2013-0.13 -0.50 -1.96 ≤ 5 124.6 241.7 0.05 -- -- --

Emerging Market Debt - Local Currency Composite (Inception 7/1/2013)









Policies• Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.Composite Description• The Emerging Market Debt - Local Currency Composite (the "Composite") includes the performance of all fee-paying Emerging Market Debt - Local Currency portfolios, with no minimum investment, managed on a fully discretionary basis by the

Emerging Market Debt team. The Emerging Market Debt - Local Currency strategy seeks to achieve long term capital growth by investing generally in debt instruments denominated in local currencies. The strategy focuses primarily on issuersfrom developing countries such as Latin American, Central and Eastern European, the Middle East, Asian and Africa. The Composite creation and performance inception date is July 2013. A complete list of Neuberger Berman's composites isavailable upon request.

Primary Benchmark Description• The benchmark is the JPM GBI Emerging Markets Global Diversified Index (the "Index"). The Index is designed to measure the total returns for local currency bonds issued by Emerging Market governments. The benchmark is calculated on a

total return basis and is market cap weighted and unmanaged.Reporting Currency• Valuations are computed and performance is reported in U.S. Dollars. Performance includes reinvestment of dividends and other earnings.Fees• Composite Gross of Fee returns are the return on investments reduced by any trading expenses incurred during the period. Composite Net of Fee returns are the Gross of Fee returns reduced by investment advisory fees.Fee Schedule• The annual investment advisory fee, generally payable quarterly, is as follows: 0.60% on the first $100mn; 0.50% on the next $150mn; 0.40% thereafter.Internal Dispersion• Internal dispersion is calculated using the asset-weighted standard deviation of annual gross returns of those portfolios that were in the Composite for the entire year. Internal dispersion is not calculated if the Composite does not contain at least



Composite Benchmark Composite

3 Year Standard

Deviation

Total Return

(%, Gross

of Fees)

Total Return

(%, Net

of Fees)

EMD Blend

Investment Grade

Index (%)

No. of

Accounts

Market Value

($, m)

Total Firm Assets

($, bn)

% of Firm

Assets

Internal

Dispersion

Composite

(%)

YTD Jun-

201910.78 10.34 10.19 ≤ 5 18.5 -- -- -- --

2018 -2.47 -3.06 -2.35 ≤ 5 17.1 304.1 0.01 -- --

5 Months

20172.90 2.65 2.27 ≤ 5 14.3 295.2 0.00 -- --

Emerging Markets Debt - Blend Investment Grade Composite (Inception 8/1/2017)






• The GIPS® firm definition was redefined effective January 1, 2011. For prior periods there were two separate firms for GIPS® firm definition purposes and such firms were independently verified for the periods January 1, 1997 to December31, 2010 and January 1, 1996 to December 31, 2010, respectively.


Ltd., Neuberger Berman Asia Ltd., Neuberger Berman East Asia Ltd., Neuberger Berman Singapore Pte. Ltd., Neuberger Berman Taiwan Ltd, Neuberger Berman Australia Pty. Ltd., Neuberger Berman Trust Company N.A., NeubergerBerman Trust Company of Delaware N.A., NB Alternatives Advisers LLC and Neuberger Berman Breton Hill ULC.

Policies• Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.Composite Description• The Emerging Markets Debt - Blend Investment Grade Composite (the "Composite") includes the performance of all fee-paying Emerging Markets Debt - Blend Investment Grade portfolios with no investment minimum managed on a fully

discretionary basis by the Emerging Market Debt team. The Emerging Markets Debt - Blend Investment Grade strategy is designed for investors who seek long term capital growth, by investing generally in a diversified selection of investmentgrade debt instruments denominated in USD and local currencies issued by sovereign, quasi-sovereign and corporate issuers from developing countries. The strategy mainly invests in Latin American, Central and Eastern European, theMiddle East, Asian and African debt instruments. The Composite creation and performance inception date is July 2017. A complete list of Neuberger Berman's composites is available upon request.

Primary Benchmark Description• The benchmark is a blend of 66.6% of the JP Morgan Emerging Markets Bond Index Global Diversified investment Grade and 33.3% of the JP Morgan GBI Emerging Markets Global Diversified Investment Grade 15% Cap Index.The

benchmark is calculated on a total return basis. Additional disclosures for complete benchmark descriptions are available upon request.Reporting Currency• Valuations are computed and performance is reported in U.S. Dollars. Performance includes reinvestment of dividends and other earnings.Fees• Composite Gross of Fee returns are the return on investments reduced by any trading expenses incurred during the period. Composite Net of Fee returns are the Gross of Fee returns reduced by investment advisory fees.Fee Schedule• The annual investment advisory fee, generally payable quarterly, is as follows: 0.65% on the first $100mn; 0.55% on the next $150mn; 0.45% thereafter.Internal Dispersion• Internal dispersion is calculated using the asset-weighted standard deviation of annual gross returns of those portfolios that were in the Composite for the entire year. Internal dispersion is not calculated if the Composite does not contain at

least 6 portfolios for the entire year.Annualized Standard Deviation• The three-year annualized standard deviation measures the variability of the Composite and the benchmark returns over the preceding 36-month period. The standard deviation is not required for periods prior to 2011.



Total Return

(%, Gross

of Fees)

Total Return

(%, Net

of Fees)

ICE BofAML 3-

Month Treasury

Bill Index (%)

No. of

Accounts

Market Value

($, m)

Total Firm

Assets

($, bn)

% of Firm

Assets

Internal

Dispersion

Composite

(%)

ICE BofAML 3-

Month Treasury

Bill Index

(%)

YTD Jun-

20195.43 5.11 1.24 ≤ 5 5,516.1 -- -- -- 1.81 0.23

2018 1.39 0.89 1.87 ≤ 5 3,694.1 304.1 1.21 -- 1.75 0.20

2017 4.88 4.36 0.86 ≤ 5 3,631.6 295.2 1.23 -- 2.11 0.11

2016 6.10 5.58 0.33 ≤ 5 1,273.4 255.2 0.50 -- 2.58 0.05

2015 2.00 1.49 0.05 ≤ 5 606.8 240.4 0.25 -- -- --

2014 0.91 0.40 0.03 ≤ 5 302.2 250.0 0.12 -- -- --

2 Months

20130.38 0.30 0.02 ≤ 5 22.4 241.7 0.01 -- -- --

Short Duration Emerging Market Debt Composite (Inception 11/1/2013)









Policies• Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.Composite Description• The Short Duration Emerging Market Debt Composite (the "Composite") represents the performance of all fee-paying Short Duration Emerging Market Debt portfolios, with no minimum investment, managed on a fully discretionary basis by

the Short Duration Emerging Market Debt Fixed Income team. The Short Duration Emerging Market Debt Strategy seeks to achieve a positive total return by investing in short duration emerging market sovereign securities denominated inhard currencies and short duration emerging market corporate debt securities denominated in USD. The strategy focuses primarily on issuers from developing countries located in Latin America, Asia, Central and Eastern Europe, Middle Eastand Africa. The Short Duration Emerging Market Debt Composite ("Composite") represents the performance of all fee-paying, discretionary accounts, managed according to the Short Duration Emerging Market Debt Strategy. The Compositecreation and performance inception date is November 2013. A complete list and description of the NB Composites and performance results is available upon request.

Primary Benchmark Description• The benchmark is the ICE BofAML 3-Month Treasury Bill Index (the "Index"). The Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into

a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settledon or before the month-end rebalancing date.

Reporting Currency• Valuations are computed and performance is reported in U.S. Dollars. Performance includes reinvestment of dividends and other earnings.Fees• Composite Gross of Fee returns are the return on investments reduced by any trading expenses incurred during the period. Composite Net of Fee returns are the Gross of Fee returns reduced by investment advisory fees.Fee Schedule• The annual investment advisory fee, generally payable quarterly, is as follows: 0.45% on the first $100mn; 0.35% on the next $150mn; 0.25% thereafter.Internal Dispersion• Internal dispersion is calculated using the asset-weighted standard deviation of annual gross returns of those portfolios that were in the Composite for the entire year. Internal dispersion is not calculated if the Composite does not contain at




Total Return

(%, Gross

of Fees)

Total Return

(%, Net

of Fees)

JPM Asia Credit

Index (%)

No. of

Accounts

Market Value

($, m)

Total Firm

Assets

($, bn)

% of Firm

Assets

Internal

Dispersion

Composite

(%)

JPM Asia Credit

Index

(%)

YTD Jun-

20199.51 9.07 8.04 ≤ 5 17.6 -- -- -- 3.58 2.98

2018 -1.67 -2.26 -0.77 ≤ 5 15.9 304.1 0.01 -- 3.35 2.83

2017 8.22 7.58 5.78 ≤ 5 16.8 295.2 0.01 -- -- --

2016 7.43 6.79 5.81 ≤ 5 16.2 255.2 0.01 -- -- --

6 Months

20150.40 0.10 0.79 ≤ 5 15.0 240.4 0.01 -- -- --

Asian Debt Hard Currency Composite (Inception 7/1/2015)









Policies• Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.Composite Description• The Asian Debt Hard Currency Composite (the "Composite") includes the performance of all fee-paying Asian Debt Hard Currency portfolios, with no minimum investment, managed on a fully discretionary basis by the Emerging Market Debt

team. The Asian Debt Hard Currency strategy seeks to achieve risk adjusted total returns (income plus capital appreciation) from hard currency- denominated debt issued in Asian countries. The strategy will invest primarily in debt securitiesand money market instruments which are issued by governments of, government agencies, or corporate issuers which have their head office or exercise an overriding part of their economic activity in Asian countries and which aredenominated in Hard Currency. For the purposes of this strategy, Hard Currency is defined as US Dollar, Euro, Sterling, Japanese Yen and Swiss Franc. The Composite creation and performance inception date is July 2015. A complete listof Neuberger Berman's composites is available upon request.

Primary Benchmark Description• The benchmark is the JPM Asia Credit Index (the "Index"). The Index tracks the total return performance for actively traded USD denominated debt instruments in the Asia region (excluding Japan). The JPM Asia Credit Index (JACI) tracks

total return performance of the Asia fixed-rate dollar bond market. JACI is a market cap-weighted index comprising sovereign, quasi-sovereign and corporate bonds and it is partitioned by country, sector and credit rating. The benchmark iscalculated on a total return basis. Additional disclosures for complete benchmark descriptions are available upon request.

Reporting Currency• Valuations are computed and performance is reported in U.S. Dollars. Performance includes reinvestment of dividends and other earnings.Fees• Composite Gross of Fee returns are the return on investments reduced by any trading expenses incurred during the period. Composite Net of Fee returns are the Gross of Fee returns reduced by investment advisory fees.Fee Schedule• The annual investment advisory fee, generally payable quarterly, is as follows: 0.60% per annum.Internal Dispersion• Internal dispersion is calculated using the asset-weighted standard deviation of annual gross returns of those portfolios that were in the Composite for the entire year. Internal dispersion is not calculated if the Composite does not contain at




Total Return

(%, Gross

of Fees)

Total Return

(%, Net

of Fees)

China UCITS

Custom Index

(%)

No. of

Accounts

Market Value

(¥, m)

Total Firm

Assets

(¥, bn)

% of Firm

Assets

Internal

Dispersion

Composite

(%)

China UCITS

Custom Index

(%)

YTD Jun-

20191.96 1.58 1.51 ≤ 5 198.5 -- -- -- 1.95 2.07

2018 7.37 6.61 7.24 ≤ 5 194.7 2,087.8 0.01 -- 1.81 2.05

2017 -0.36 -0.93 -0.89 ≤ 5 202.4 1,922.3 0.01 -- -- --

2016 1.58 0.92 2.15 ≤ 5 203.4 1,773.4 0.01 -- -- --

3 Months

20152.85 2.69 2.97 ≤ 5 200.7 1,561.1 0.01 -- -- --

China Bond Core Composite (Inception 10/1/2015)









Policies• Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.Composite Description• The China Bond Core Composite (the "Composite") includes the performance of all fee-paying China Bond Core portfolios, with no minimum investment, managed on a fully discretionary basis by the Emerging Market Debt team. The China

Bond Core Strategy seeks to achieve risk adjusted total returns (income plus capital appreciation) from local interest rates of the People's Republic of China ("PRC"). The strategy will invest primarily in debt securities and money marketinstruments which are issued within the PRC by PRC government, PRC government agencies or corporate issuers. The Composite creation and performance inception date is October 2015. A complete list of Neuberger Berman'scomposites is available upon request. Effective January 2019 the composite has been renamed from China Onshore Bond Composite to the China Bond Core Composite.

Primary Benchmark Description• The benchmark is the China UCITS Custom Index (the "Index"). The Index tracks the total return performance of a bond portfolio consisting of Chinese Yuan (CNY) denominated, high quality and liquid bonds in China onshore market. The

benchmark is calculated on a total return basis.• Prior to May 2016, the benchmark was the HSBC Asian Local China Index.Reporting Currency• Valuations are computed and performance is reported in Yuan Renminbi. Performance includes reinvestment of dividends and other earnings.Fees• Composite Gross of Fee returns are the return on investments reduced by any trading expenses incurred during the period. Composite Net of Fee returns are the Gross of Fee returns reduced by investment advisory fees.Fee Schedule• The annual investment advisory fee, generally payable quarterly, is as follows: 0.65% per annum.Internal Dispersion• Internal dispersion is calculated using the asset-weighted standard deviation of annual gross returns of those portfolios that were in the Composite for the entire year. Internal dispersion is not calculated if the Composite does not contain at



Composite Benchmark Composite

3 Year Standard

Deviation

Total Return

(%, Gross

of Fees)

Total Return

(%, Net

of Fees)

China Bond New

Composite TR

Index (%)

No. of

Accounts

Market Value

(¥, m)

Total Firm Assets

(¥, bn)

% of Firm

Assets

Internal

Dispersion

Composite

(%)

YTD Jun-

20194.34 4.11 1.86 ≤ 5 174.4 -- -- -- --

6 Months

20184.02 3.69 4.13 ≤ 5 80.4 2,087.8 0.00 -- --

China Bond Total Return Composite (Inception 7/1/2018)









Policies• Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.Composite Description• The China Bond Total Return Composite (the "Composite") includes the performance of all fee-paying China Bond Total Return portfolios, with no minimum investment, managed on a fully discretionary basis by the Emerging Market Debt

team. The China Bond Total Return Strategy seeks to achieve attractive risk adjusted total returns (income plus capital appreciation) by primarily investing in fixed income instruments issued within the People's Republic of China ("PRC")through a total return oriented approach with flexible duration and sector allocation. The strategy will invest primarily in debt securities and money market instruments denominated in local currency which are issued within the PRC by thePRC government, PRC Municipalities and Provinces, Policy Banks, other PRC government agencies or corporate issuers. In addition, up to 33% of market value may be invested in hard currency (eg USD) debt issued by Chinese entities.The Composite creation and performance inception date is July 2018. A complete list of Neuberger Berman's composites is available upon request.

Primary Benchmark Description• The benchmark is the China Bond New Composite TR Index (the "Index"). The Index tracks the total return performance of a bond portfolio consisting of Chinese Yuan (CNY) denominated, high quality and liquid bonds in China onshore

market. The benchmark is calculated on a total return basis and rebalanced monthly.Reporting Currency• Valuations are computed and performance is reported in Yuan Renminbi. Performance includes reinvestment of dividends and other earnings.Fees• Composite Gross of Fee returns are the return on investments reduced by any trading expenses incurred during the period. Composite Net of Fee returns are the Gross of Fee returns reduced by investment advisory fees.Fee Schedule• The annual investment advisory fee, generally payable quarterly, is as follows: 0.65% per annum.Internal Dispersion• Internal dispersion is calculated using the asset-weighted standard deviation of annual gross returns of those portfolios that were in the Composite for the entire year. Internal dispersion is not calculated if the Composite does not contain at



Index Definitions

Emerging Markets – Corporate Debt

The Corporate Emerging Market Bond Index series (CEMBI) track USD denominated debt issued by emerging market corporations. The CEMBI family of indices expands J.P. Morgan's

regional corporate indices - JACI, LEBI, RUBI, which provide benchmarks for Asia, Latin America, and Russia, respectively

Emerging Markets – Local Debt

The local debt package consists of the Government Bond Index-Emerging Markets (GBI-EM) series, which was developed in response to an increase in investor appetite towards local

currency debt. The package contains three variations - the GBI-EM, GBI-EM Global and GBI-EM Broad - which cater to different investment objectives and inclusion criteria. The indices

span over 15 countries and are also available in diversified weighting versions.

Emerging Markets – External Debt

The family of J.P. Morgan Emerging Market Bond Index (EMBI) is the most widely used and comprehensive emerging market sovereign debt benchmarks. Historical information is

available since December 1993.

Emerging Markets – Local Currency Money Markets

The J.P Morgan Local Market Index Plus (ELMI+) tracks total returns for local-currency denominated money market instruments in 24 emerging markets countries. The benchmark was

introduced in June 1996 and consists of foreign exchange forward contracts laddered with maturities ranging from one to three months. Country weights are based on a trade-weighted

allocation, with maximum weight of 10% for countries with convertible currencies and 2% for countries with non-convertible currencies.

Emerging Markets – Investment Grade Corporates

The J.P. Morgan US Liquid Index (JULI) provides performance comparisons and valuation metrics across a carefully defined universe of investment grade corporate bonds, tracking

individual issuers, sectors and sub-sectors by their various ratings and maturities.


Additional Disclosures

Institutional-Oriented Equity and Fixed Income AUM Benchmark Outperformance Note: Institutional-oriented equity and fixed income assets under management (“AUM”) includes the firm’s equity and fixed income institutional

separate account (“ISA”), registered fund, and managed account/wrap (“MAG”) offerings and are based on the overall performance of each individual investment offering against its respective benchmark offerings and are based on

the overall performance of each individual investment offering against its respective benchmark. High net worth/private asset management (“HNW”) AUM is excluded. For the period ending June 30, 2019, the percentage of total

institutional-oriented equity AUM outperforming the benchmark was as follows: Since Inception: 88%; 10-year: 73%; 5-year: 75%; and 3-year: 83%; and total institutional-oriented fixed income AUM outperforming was as follows:

Since Inception: 94%, 10-year: 52%; 5-year: 77%; and 3-year: 67%. If HNW AUM were included, total equity AUM outperforming the benchmark was as follows: Since Inception: 86%; 10-year: 47%; 5-year: 52%; and 3-year: 58%;

and total fixed income AUM outperforming was as follows: Since Inception: 94%; 10-year: 53%; 5-year: 76%; and 3-year: 66%. Equity and Fixed Income AUM outperformance results are asset weighted so individual offerings with

the largest amount of assets under management have the largest impact on the results. As of 6/30/2019, six equity teams/strategies accounted for approximately 52% of the total firm equity (ISA, MAG and mutual fund combined)

assets reflected, and nine strategies accounted for approximately 52% of the total firm fixed income (ISA, MAG and mutual fund combined) assets reflected. Performance for the individual offerings reflected are available upon

request. AUM for multi-asset class, balanced and alternative (including long-short equity or fixed income) offerings, as well as AUM for hedge fund, private equity and other private investment vehicle offerings are not reflected in the

AUM outperformance results shown. AUM outperformance is based on gross of fee returns. Gross of fee returns do not reflect the deduction of investment advisory fees and other expenses. If such fees and expenses were

reflected, AUM outperformance results would be lower. Investing entails risk, including possible loss of principal. Past performance is no guarantee of future results.

Private Equity Outperformance Note: The performance information includes all funds, both commingled and custom, managed by NB Alternatives Advisers LLC with vintage years of 2007 – 2016, with the exception of a closed-end,

public investment company registered under the laws of Guernsey (the “Funds”). Accounts that are only monitored are excluded. Vintage years post 2016 are excluded as benchmark information is not yet available. Please note that

funds without a comparable benchmark are excluded (this includes certain commingled funds with unique investment objectives, specialty strategies, and private debt funds).

Percentages are based on the number of funds, calculated as the total number of funds whose performance exceeds their respective benchmarks divided by the total number of all funds with vintage years of 2007 through

2016. Performance is measured by net IRR, MOIC, and DPI and is compared to the respective index’s median net IRR, MOIC and DPI, respectively. The Cambridge Secondary Index was used for secondary-focused funds; the

Cambridge Buyout and Growth Equity for US and Developed Europe was used for co-investment-focused funds; The Cambridge European PE Index was used for direct Italian Investment Strategies; the Cambridge Fund of Funds

Index was used for commingled funds and custom portfolios comprised of primaries, secondaries and co-investments.

The Cambridge Associates LLC indices data is as of December 31, 2018, which is the most recent data available. The Cambridge Associates Fund of Funds Index is the benchmark recommended by the CFA Institute for

benchmarking overall private equity fund of funds performance. The benchmark relies on private equity funds self-reporting data for compilation and as such is subject to the quality of the data provided. The median net multiple of

Cambridge Associates Fund of Funds Index is presented for each vintage year as of December 31, 2018, the most recent available. Cambridge Associates data provided at no charge.

While one of the secondary funds closed in 2008, Cambridge Associates classifies that particular fund as a 2007 vintage year fund (the year of its formation) and, therefore, the Cambridge Associates benchmarks used herein are for

2007 vintage year funds.

Private Offerings: Certain strategies referenced herein may only be available through a private offering of interests made pursuant to offering and subscription documents, which will be furnished solely to qualified investors on a

confidential basis at their request for their consideration in connection with an offering. These documents will contain information about the investment objective, terms and conditions of an investment in such vehicle and will also

contain tax information and risk disclosures that are important to an investment decision. Any decision to invest in such vehicle should be made after a careful review of these documents, the conduct of such investigations as an

investor deems necessary or appropriate and after consultation with legal, accounting, tax and other advisors in order to make an independent determination of the suitability and consequences of an investment in such vehicle.


Disclaimer

This document is addressed to professional clients only.

This document is a financial promotion and is issued by Neuberger Berman Europe Limited, which is authorised and regulated by the Financial Conduct Authority and is registered in England and Wales, at Lansdowne House, 57

Berkeley Square, London, W1J 6ER and is also a Registered Investment Adviser with the Securities and Exchange Commission in the U.S. and regulated by the Dubai Financial Services Authority.

This document is presented solely for information purposes and nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security.

We do not represent that this information, including any third party information, is accurate or complete and it should not be relied upon as such.

No recommendation or advice is being given as to whether any investment or strategy is suitable for a particular investor. Each recipient of this document should make such investigations as it deems necessary to arrive at an

independent evaluation of any investment, and should consult its own legal counsel and financial, actuarial, accounting, regulatory and tax advisers to evaluate any such investment.

It should not be assumed that any investments in securities, companies, sectors or markets identified and described were or will be profitable.

Any views or opinions expressed may not reflect those of the firm as a whole.

All information is current as of the date of this material and is subject to change without notice.

The product described in this document may only be offered for sale or sold in jurisdictions in which or to persons to which such an offer or sale is permitted. The product can only be promoted if such promotion is made in

compliance with the applicable jurisdictional rules and regulations.

Indices are unmanaged and not available for direct investment.

An investment in this product involves risks, with the potential for above average risk, and is only suitable for people who are in a position to take such risks.

Past performance is not a reliable indicator of current or future results. The value of investments may go down as well as up and investors may not get back any of the amount invested. The performance data does not take account

of the commissions and costs incurred on the issue and redemption of units.

The value of investments designated in another currency may rise and fall due to exchange rate fluctuations in respect of the relevant currencies. Adverse movements in currency exchange rates can result in a decrease in return

and a loss of capital.

Tax treatment depends on the individual circumstances of each investor and may be subject to change, investors are therefore recommended to seek independent tax advice.

Investment in this strategy should not constitute a substantial proportion of an investor’s portfolio and may not be appropriate for all investors. Diversification and asset class allocation do not guarantee profit or protect against loss.

No part of this document may be reproduced in any manner without prior written permission of Neuberger Berman Europe Limited.

The “Neuberger Berman” name and logo are registered service marks of Neuberger Berman Group LLC.

© 2019 Neuberger Berman Group LLC. All rights reserved.

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