Slide 1: John Rosenthal, Senior Managing Director Investments
John Rosenthal Senior Managing Director Investments
Slide 2: Safe Harbor Statement
Safe Harbor Statement These materials may contain or incorporate by reference information that includes or is based upon forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. Forward-looking statements give expectations or forecasts of future events.
Slide 3: Explanatory Note on Non-GAAP Financial Information
Explanatory Note on Non-GAAP Financial Information Managed Assets (as defined below) is a financial measure based on methodologies other than GAAP. MetLife, Inc. utilizes "Managed Assets" to describe assets in its investment portfolio which are actively managed and available-for-sale. MetLife, Inc.
Slide 4: Well Positioned Post-Crisis
Well Positioned Post-Crisis Identified weaknesses in certain asset sectors early and took action Repositioned portfolio for recession beginning in 2007 Sold Real Estate at the top of the market
Slide 5: MetLife Investments
MetLife Investments Total Portfolio: Diversified portfolio across many sectors Liability Driven: Asset-liability management Team Investment Approach: 540+ investment and support professionals Risk Management: Part of our culture $333.2 Billion of Managed Assets* Inv Grade Corp Bonds Structured Finan
Slide 6: Focus: Sectors in the News
Focus: Sectors in the News Commercial Mortgages Corporate Credit Structured Finance
Slide 7: Structured Finance Portfolio $73.2 billion
AAA/AA/A BBB & Below column 0.89 0.11 AAA/AA/A BBB& Below column 0.98 0.02 AAA/AA/A BBB & Below column 0.87 0.13 Structured Finance Portfolio $73.2 billion* Collateral characteristics and tranche selection is critical CMBS: $16.0B ABS: $14.4B** RMBS: $42.8B** * Market value as of 6/30/10 ** Amounts
Slide 8: MetLife RMBS Holdings Positioned Conservatively
MetLife RMBS Holdings Positioned Conservatively $4.2 billion* 85% Super Senior No Option ARMs and 90% Fixed Rate is key Higher credit enhancement versus the market Alt-A * Market value as of 6/30/10 **Source: Option ARMs, Hybrid ARMs, Fixed Rate (2004-2007) Bank of America "Mortgage Credit Round-Up"
Slide 9: Alt-A RMBS MetLife versus Market
Alt-A RMBS MetLife versus Market Better collateral results in better performance *MetLife Credit Enhancement and 60+ DQ as of 6/30/10 Source: JPM; Market Delinquencies weighted by Loan Age and 12m loss severity, 2006 collateral Credit Enhancement & Delinquencies 2006 Vintage MET C/E* Market C/E* MET
Slide 10: Alt-A RMBS MetLife versus Market
Alt-A RMBS MetLife versus Market Better collateral results in better performance *MetLife Credit Enhancement and 60+ DQ as of 6/30/10 Source: JPM; Market Delinquencies weighted by Loan Age and 12m loss severity, 2006 collateral Credit Enhancement & Delinquencies 2006 Vintage MET C/E* Market C/E* MET
Slide 11: MetLife RMBS Holdings Positioned Conservatively
MetLife RMBS Holdings Positioned Conservatively $6.2 billion* 55% Super Senior 98% Fixed Rate is key Higher credit enhancement versus the market * Market value as of 6/30/10 **Source: Hybrid ARMs, Fixed Rate (2004-2007) Bank of America "Mortgage Credit Round-Up"; Credit Enhancement (2005-2007) Intex
Slide 12: Prime RMBS MetLife versus Market
Prime RMBS MetLife versus Market Better collateral results in better performance *MetLife Credit Enhancement and 60+ DQ as of 6/30/10 Source: JPM; Market Delinquencies weighted by Loan Age and 12m loss severity, 2006 collateral Credit Enhancement & Delinquencies 2006 Vintage MET C/E* Market C/E* MET
Slide 13: CMBS Holdings
CMBS Holdings CMBS Holdings by Vintage* Below BBB 65 5 66 8 BBB 118 51 24 25 A 156 50 39 88 AA 385 40 41 93 AAA 9,846 2,723 1,571 586 144 218 333 559 14,730 Total Total 10,570 2,869 1,741 800 15,984 2004 and Prior 2005 2006 2007 2008-2010 AAA 9846 2723 1571 586 AA 385 40 41 93 A 156 50 39 88 BBB 118
Slide 14: CMBS MetLife versus Market
CMBS MetLife versus Market Better collateral results in better performance *MetLife 60+ DQ as of 6/30/10 Source: JPM; Market Delinquencies weighted by Loan Age and 12m loss severity, 2006 collateral Credit Delinquencies 10/10/2009 11/9/2009 12/9/2009 1/10/2010 2/10/2010 3/10/2010 4/10/2010 5/10/2010
Slide 15: Corporate Credit Portfolio
Corporate Credit Portfolio AAA/AA/A BBB Below Investment Grade East 0.47 0.415 0.115 $140.3 Billion Corporate Credit Portfolio* $140.3 billion* 89% Investment Grade Approximately 27% private placements * Market value as of 6/30/10. Includes U.S. Corporate Securities ($76.8bn.), Foreign Corporate Sec
Slide 16: Adequately Positioned Private Corp.
Adequately Positioned Private Corp. US 21 Private Corp. Non-US 11.5 Project Finance 3 Leasing and Tax Products 3.4 MetLife's Private Securities Portfolio Attractive asset class Strong relative value Lower losses versus public corporate bonds MetLife is leading debt private placement investor Good do
Slide 17: Below Investment Grade Portfolio
Below Investment Grade Portfolio $16.2 billion* Diversified across asset classes, industry sector and issuer Higher allocation to BB rated credits * Market value as of 6/30/10 BB B CCC and Below Other East 0.62 0.34 0.04 145 High Yield Allocation
Slide 18: Real Estate and Agricultural Portfolio
Real Estate and Agricultural Portfolio 12/31/2008 12/31/2009 6/30/2010 Commercial Mortgages & Consumer Loans 0.12 0.11 0.112 Agricultural Mortgages 0.042 0.0395 0.037 Real Estate Equity 0.035 0.027 0.0249 Real Estate & Agricultural Investments as a % of Managed Assets* $57.8B $57.9B 17.4% 19.7% Focu
Slide 19: Commercial Mortgages
Commercial Mortgages Originated lower loan- to-value (LTV) mortgages during market rally To date, real estate delinquencies and losses have been minimal. LTV at Origination 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 MetLife LTV 0.69 0.69 0.65 0.66 0.63 0.62 0.61 0.53 0.62 0.61 Moodys LTV 0.72
Slide 20: Unrealized Gains and Losses
Unrealized Gains and Losses URL 6/30/2008 9/30/2008 12/31/2008 3/31/2009 6/30/2009 9/30/2009 12/31/2009 3/31/2010 6/30/2010 Loss -10017 -17315 -29799 -29959 -20234 -11838 -10761 -8499 Gross Gains 6021 4570 7608 5594 5669 10228 8591 9965 14212 Net URG/(L) -3996 -12745 -22191 -24365 -14565 -1610 -2170
Slide 21: Impairments as a Percentage of General Account Assets
Impairments as a Percentage of General Account Assets Source: Publicly available SEC filings. ($ Billions) Total Managed Assets at 6/30/10 Post-Tax 2007 Impairments Through 6/30/10
Slide 22: Positioned to Win
Positioned to Win Broad capabilities / deep expertise Proven track record Risk management culture Dedicated General Account focus
Slide 23: Appendix
MetLife Appendix
Slide 24: Reconciliation of Total Investments to Managed Assets
24 Reconciliation of Total Investments to Managed Assets Managed Assets (as defined below) is a financial measure based on methodologies other than GAAP. MetLife, Inc. utilizes "Managed Assets" to describe assets in its investment portfolio which are actively managed and available-for-sale. MetLife,
Slide 25: Questions
Questions 7)