december 12, 2018 - retirement · 12/12/2018 · macro / derivatives global investment strategy...

0 THIS INFORMATION IS CONFIDENTIAL AND IS ONLY FOR USE BY PROFESSIONAL CLIENTS, ELIGIBLE COUNTERPARTIES OR QUALIFIED INVESTORS. IT IS NOT

AIMED AT, OR FOR USE BY, RETAIL CLIENTS

Los Angeles Water & Power Employees’ Retirement Plan

December 12, 2018

Frances L. Coombes Frederick R. Marki, CFA

1

Table of Contents

I. About Western Asset

II. Philosophy, Process and People

III. Performance Review

IV. Portfolio Review and Characteristics

V. Summary of Holdings

VI. Global Inflation-Linked Outlook

VII. Appendix

2

About Western Asset

3

Source: Western Asset. As of 30 Sep 18

*Splits time between Hong Kong and Singapore offices

AUM by Sector – Total $421.1 billion (USD)

127 investment professionals on

five continents and in seven offices

22 years of average experience

38 portfolio and quantitative

analysts in portfolio operations

162 staff dedicated to client service

Specialized teams to meet

individual client needs

Independent risk management

function with 35 professionals

including 14 PhDs

395 staff dedicated to globally

integrated operations

About Western AssetWestern Asset is a globally integrated fixed-income manager, sourcing ideas and investment solutions worldwide.

Investment

Management

Client Service

& Marketing

Risk

Management

& Operations

Western Asset’s Deep Global Integration Allows Us to Source Investment Ideas and Investment Solutions Across Regions

Western Asset At a Glance

Founded in 1971. Independent affiliate of

Legg Mason since 1986

Fixed-income value investors

$421.1 billion (USD) AUM

– $361.6 billion (USD) long-term assets

– $59.5 billion (USD) cash and cash

equivalent assets

851 employees

Organizational Pillars

Clients first

Globally integrated

Team-based

Active fixed-income

Integrated risk management

Global Footprint (AUM in USD billions)

SingaporeInv. Professionals: 5

Managed: $4.5

Serviced: $19.3

Total Staff: 23

New YorkInv. Professionals: 23

Managed: $112.5

Serviced: $99.2

Total Staff: 84

LondonInv. Professionals: 16

Managed: $34.8

Serviced: $30.5

Total Staff: 63 TokyoInv. Professionals: 4

Managed: $6.4

Serviced: $37.5

Total Staff: 23

São PauloInv. Professionals: 16

Managed: $9.9

Serviced: $9.4

Total Staff: 61

Pasadena (HQ)Inv. Professionals: 58

Managed: $235.0

Serviced: $189.5

Total Staff: 579

DubaiServiced: $28.7

Total Staff: 1

Hong KongTotal Staff: 1*

MelbourneInv. Professionals: 5

Managed: $18.0

Serviced: $7.0

Total Staff: 17

18

9

21

23

42

59

72

72

105

Other

Global Inflation-linked

Global High-Yield

Local Authority & Municipals

Emerging Markets Debt

Cash & Cash Equivalents

MBS/ABS

Sovereign, Treasuries & Agencies

Global IG Corporate

4

Investment SolutionsWestern Asset offers a full range of fixed-income products that can be tailored to meet the needs of our clients.

Selected Investment Strategies

Identifying Investment Solutions to Align With Client Objectives and Risk Tolerances

Protect from rising rates

Protect from inflation

Preserve capital

Diversify globally

Hedge liabilities

Enhance income

Generate tax-free income

Generate total return

Achieve ESG objectives

Broad Market

Global Core/Core Full Discretion

Regional Core/Core Full Discretion

Regional Intermediate

Global Sovereign

Long Duration / LDI

Long Duration

Long Credit

Liability-Driven Investing

Inflation-Linked

US TIPS

Global Inflation-Linked

Regional Inflation-Linked

Credit

Global Credit

Investment-Grade Credit

Global High-Yield

US Bank Loans

US High-Yield

Short-Duration High Income

Mortgage / Asset-Backed

Agency Mortgage-Backed Securities

Structured Products

Diversified Loan Opportunities

MBS Opportunities

US Municipals

Short Duration Municipal

Intermediate Municipal

Managed Municipal

Unconstrained / Alternatives

Macro Opportunities

Total Return Unconstrained

Global Total Return

Multi-Asset Credit

Global Multi-Sector

Tail Risk Protection

Emerging Markets Debt

EMD Diversified

EMD Local Currency Sovereign

EMD USD Corporate Credit

EMD USD Sovereign

EMD Total Return

Liquidity / Short Duration

Managed Cash

Enhanced Liquidity

Enhanced Cash

Limited Duration Constrained

Limited Duration

5

About Western Asset – ClientsCommitted to excellence in client service

As of 30 Sep 18. Please see the Representative Client List Disclosure in the Appendix for more information. All have authorized the use of their names by Western Asset for marketing purposes.

Such authorization does not imply approval, recommendation or otherwise of Western Asset or the advisory services provided.

Representative Client List

Corporate

American Cast Iron Pipe Company

ArcelorMittal USA Inc.

Arconic Inc.

AT&T Services, Inc.

Atmos Energy Corporation

Bayer Corporation

Campbell Soup Company

Caterpillar Inc.

Chrysler LLC

Clark Enterprises, Inc.

CNH Global N.V.

Consolidated Communications Holdings, LLC

Consolidated Edison Company Of New York, Inc.

Consolidated Rail Corporation

Deutsche Bank Americas Holding Corp.

First Data Corporation

Graphic Packaging International Incorporated

Hanesbrands Inc.

Hawaiian Telcom

Highbury Pacific Capital Corp.

International Paper Company

John Lewis Partnership Pensions Trust

Kennametal

Lennox International, Inc.

Meijer, Inc.

Nestle USA, Inc.

Nisource, Inc.

NXP Semiconductor, Inc.

PCS Administration (USA), Inc

Pensioenfonds Horeca & Catering

Southern California Edison

Thomson Reuters

ThyssenKrupp North America, Inc

Unisys Corporation

Verizon

Westlake Chemical Corporation

Whirlpool Corporation

XPO Logistics

Public / Gov. / Sovereign Wealth

Anne Arundel (MD) Retirement Systems

Arkansas Local Police and Fire Retirement System

California State Teachers' Retirement System

City of Grand Rapids

City of Orlando

City of Phoenix Employees' Retirement System

compenswiss

East Bay Municipal Utility District

ERS of the City of Baton Rouge & Parish of E. BR

ERS of the State of Rhode Island

Fife Council Pension Fund

Firemen's Annuity and Benefit Fund of Chicago

Fresno County Employees' Retirement Association

Georgia Municipal Association

Gloucestershire County Council

Government of Bermuda Public Funds

Hampshire County Council

Indiana State Treasurer's Office

Iowa Public Employees' Retirement System

Kansas Public Employees Retirement System

LA County Employees Retirement Association

Louisiana Sheriff's Pension & Relief Fund

Marin County Employees' Retirement Association

Minnesota State Board of Investment

Ohio Police & Fire Pension Fund

Oklahoma City Employee Retirement System

Oregon Public Employees Retirement System (PERS)

Public Employee Retirement System of Idaho

Public School Teachers' Pension and Retirement

Fund of Chicago

Salt River Project Agricultural Improvement and

Power District

School Employees Retirement System of Ohio

State of Ohio Bureau of Workers Compensation

Surrey County Council

Tennessee Valley Authority Retirement System

Ventura County Employees' Retirement Association

Washington Metro Area Transit Authority

Wichita (KS) Retirement Systems

Wyoming Retirement System

Multi-Employer / Unions

1199SEIU Health Care Employees Pension Fund

Alaska Electrical Trust Funds

Austin Firefighters Relief & Retirement Fund

Automotive Machinists Pension Trust

Boilermaker Blacksmith National Pension Trust

Carpenters District Council of Kansas City

Construction Industry Laborers

Directors Guild of America-PPHP

Heavy & General Laborers’ Locals 472/172

IBEW Local 25

IBEW Local No. 9

Iron Workers Local #11 Benefit Funds

IUOEE Construction Ind Ret Plan, Locals 302 and 612

Line Construction Benefit Fund

National Asbestos Workers

National Education Association of the United States

New England Healthcare Emp Union,1199, AFL-CIO

New Jersey Transit

Operating Engineers Local #428 Trust Funds

Pacific Coast Roofers

Retail Wholesale & Department Store Union

S. Nevada Culinary & Bartenders Pension Trust Fund

UA Union Local No. 290 Plumber, Steamfitter &

Shipfitter Industry Pension Trust

UFCW Union Local 919

W. Washington Laborers Employers Pension Trust

Eleemosynary

Abilene Christian UniversityAmerican Academy in RomeBaha'i' World CentreCommonfundCommunities Foundation of TexasDomestic & Foreign Missionary Society ECUSAGlass─Glen Burnie FoundationSaint Louis UniversityStrada Education Network, Inc.Texas Presbyterian FoundationThe Diocese of AllentownThe Donald B. and Dorothy L. Stabler FoundationThe University of Iowa Center for AdvancementUnited Negro College FundUniversity of Southern CaliforniaUniversity of Wisconsin FoundationWallace H. Coulter FoundationWashington State University

Healthcare

Ascension Investment Management

Baptist Healthcare System, Inc.

Baylor Scott & White Holdings

Catholic Health Initiatives

CHRISTUS Health

Holy Name Medical Center

Kaiser Permanente

LCMC Health

NorthShore University HealthSystem

Sisters of Charity of St. Augustine Health System, Inc.

St. George Corporation

Insurance

American Contractors Insurance GroupAnthem, Inc.Blue Cross Blue Shield of Massachusetts

Capital BlueCrossCatalina Holdings (Bermuda) Ltd

Great-West Life & Annuity Insurance CompanyHealth Care Service CorporationOil Investment Corporation Ltd.

Sub-Advisory

Asset Management One Co., Ltd.AXAContassurGuideStone Capital Management, LLCLegg Mason, Inc.Morgan Stanley - Global Wealth ManagementRussell Investment GroupSEI Investments CorporationTokio Marine Asset Management Co., Ltd.

6

Philosophy, Process and People

7

Investment PhilosophyThese are the core beliefs that drive our investment decision-making

Long-term fundamental

value

Multiple diversified

strategies

Markets often misprice securities. Prices can deviate from fundamental fair value, but

over time, they typically adjust to reflect inflation, credit quality fundamentals and liquidity

conditions. Consistently investing in undervalued securities may deliver attractive

investment returns.

We can systematically identify mispricings. We believe we can identify and capitalize

on markets and securities that are priced below fundamental fair value. We do this

through disciplined and rigorous analysis, comparing prices to the fundamental fair values

estimated by our macroeconomic and credit research teams around the globe.

Our portfolios emphasize our highest convictions. The greater the difference between

our view of fair value and markets’ pricing, the bigger the potential value opportunity. The

greater the degree of confidence in our view of fundamentals, the greater the emphasis of

the strategies in our portfolios.

We seek diversified sources of returns. Our objective is to meet or exceed our

investors’ performance objectives within their tolerances for risk. We seek to diversify

investments and add value across interest rate duration, yield curve, sector allocation,

security selection, country and currency strategies. We deploy multiple diversified

strategies that benefit in different environments so no one strategy dominates

performance, helping to dampen volatility.

8

Risk Management

Portfolio Construction

Yield Curve

Country

Interest Rate Duration

Sector/Subsector

Currency

Investment ProcessOur time-tested investment process is designed around our value philosophy and our team-based approach.

Client

Portfolio

Global Inflation-Linked Investment Process and Team Interaction

SecuritySelection

Strategic

Portfolio

Strategy Committees

Macro and Credit

Investment Outlook

Client Objectives

and Guidelines

Regional Government Teams

Global Inflation-Linked Team Global Investment Strategy

Committee

Global Inflation-Linked Strategy

Committee

9

PeopleThe Global Investment Strategy Committee sets the overall themes for the Firm’s investment strategies.

As of 30 Sep 18

Richard A. BoothGlobal Portfolios /

Global Inflation

Annabel RudebeckNon-US Credit

Gordon S. BrownCo-Head of

Global Portfolios

Rajiv SachdevaPortfolio &

Quantitative Analysis

Anthony Kirkham, CFA

Australia / New Zealand

John L. Bellows, CFA

Fed / CentralBank Policy

Kazuto DoiJapan

Michael C. Buchanan, CFA

Deputy CIO / Global Credit

Paulo E. CliniBrazil

Prashant Chandran, CFA

Macro / Derivatives

Global Investment Strategy Committee

S. Kenneth LeechChief Investment Officer

Chia-Liang Lian, CFA

Emerging Markets

Sets macro, country, currency and sector

investment themes

Meets weekly to evaluate and establish the

global investment outlook over a 6-9 month

horizon.

– Based on long-term economic developments

and market valuations

– Leveraging local experts and broad top-down

analysis

Evaluates risk factors and potential scenarios.

Sets the risk tone for all investment strategies

10

PeopleThe Global Inflation-Linked investment team leverages Western Asset’s global investment capabilities

As of 30 Sep 18

Global Inflation-Linked Investment Team

Matthew Hodges

Portfolio Analyst

Zachary Klein

Portfolio Analyst

Portfolio Analysis

Paulo A.P. Caricati Manager, EMEA & Brazil Risk

Dmitriy GioyevRisk Analyst

Risk Management Product

Catherine L. Matthews Global Product Specialist

Portfolio Management

Richard A. BoothPortfolio Manager

S. Kenneth LeechChief Investment Officer

Frederick R. MarkiPortfolio Manager

Scott M. BeattyPortfolio Manager

Western Asset Investment Team

Independent Risk Management Function

Chief Risk Officer: Ahmet E. Kocagil

Independent evaluation of strategies and risks

Market and Credit Risk Committee

35 investment risk professionals

Investment Management Professionals

Chief Investment Officer: S. Kenneth Leech

Deputy CIO: Michael C. Buchanan

127 Investment Professionals on five continents and seven

offices, as of September 30, 2018

22 years of average experience

Major Investment Committees

Global Investment Strategy Committee

Global Credit Committee

US Broad Strategy Committee

Global Emerging Markets Strategy Committee

Unconstrained Asset Allocation Committee

Sector and Regional Teams

Global credit

Investment-grade

High-yield

Emerging markets

Mortgage- and asset-backed

Long duration

US municipal

Liquidity

Insurance

US

Europe

UK

Japan

Asia

Brazil

Australia /

New Zealand

11

Key investment personnel for global inflation-linked bond accounts:

S. Kenneth Leech – Chief Investment Officer (Pasadena)

Richard A. Booth – Portfolio Manager (London)

Frederick R. Marki – Portfolio Manager (Pasadena)

Scott M. Beatty – Portfolio Manager (Pasadena)

Catherine L. Matthews – Global Product Specialist (London)

Global Inflation-Linked Bonds – Key Personnel

As of 30 Sep 18

`

12

Total dedicated inflation-linked mandates $7.78 billion

7 global inflation-linked mandates $4.08 billion

7 US inflation-linked mandates $2.55 billion

1 Euro inflation-linked mandate $1.15 billion

Opportunistic allocation in diversified fixed-income mandates $1.40 billion

Total inflation-linked securities under management $9.18 billion

Western Asset Global Inflation-Linked Capabilities3Q 2018

Note: Data may not sum to total due to rounding.

13

Real Interest Rate Exposure

Growth and inflation outlook

Monetary policy

Yield Curve Strategy

Energy/food Prices

Business cycle and policy

Pension fund demand

Country Allocation

Sovereign credit risk

Relative growth/inflation

Supply dynamics

Currency

Diversification versus commodities

Sector (Breakeven)

Inflation outlook and expectations

Central Bank Inflation policy

Money/credit growth

Global Inflation-LinkedAlpha Sources

Fundamentals

`

14

Risk ManagementIn our culture, effective risk management is critical to successful portfolio management

Source: Western Asset

Client Service

Executives

Risk ManagersPortfolio

ManagersInve

stm

ent

Co

mm

itte

es

Client

Market an

d C

redit

Risk C

om

mittee

Risk Systems and Tools

Compliance Process

Integrating risk management into portfolio construction and in

the independent review of portfolio risks strengthens its

effectiveness.

Risk management is a team effort. Robust communication

and escalation procedures underpin the independence and

transparency of risk management.

Analyzed

Appropriately Rewarded

Aligned

Monitored

Client Objectives and

Risk Tolerances

15

Performance Review

16

Portfolio Guidelines

Eligible Securities

Any of the following fixed income securities, individually or in commingled

vehicles, subject to credit, diversification and marketability guidelines below,

may be held outright and under resale agreement.

(1) Inflation-Indexed and Non-Inflation-Indexed obligations issued or

guaranteed by the U.S. Federal Government, U.S. Federal agencies or U.S.

government-sponsored corporations and agencies;

(2) Inflation-Indexed and Non-Inflation-Indexed obligations of U.S. and non-

U.S. corporations such as debentures, mortgage bonds, commercial paper,

certificates of deposit and bankers acceptances issued by industrial, utility,

finance, commercial banking or bank holding company organizations;

(3) Inflation-Indexed and Non-Inflation-Indexed obligations denominated in

U.S. dollars or foreign currencies of international agencies, supranational

entities and foreign governments (or their subdivisions or agencies), as well

as foreign currency exchange-related securities, warrants, and forward

contracts;

(4) Inflation-Indexed and Non-Inflation-Indexed obligations issued or

guaranteed by U.S. local, city and state governments and agencies; and

(5) Inflation-Indexed securities defined under Rule 144A;

(6) Foreign exchange contracts

Duration Exposure

The modified duration of portfolio security holdings is expected to range

within + 30% of the benchmark.

Credit Quality

In all categories, emphasis will be on high-quality securities and the

weighted average of portfolio holdings will not fall below AA- or equivalent.

Holdings are subject to the following limitations:

(1) Rated Securities: 100% of the portfolio will be of "investment grade", i.e.

rated as high as or higher than the following standards or their equivalent

by two or more nationally recognized statistical rating organizations

(NRSRO): Standard & Poor's BBB-, or A-2, or Moody's Baa3, or Prime-2,

or Fitch BBB-, or F-2

(2) Other Unrated Securities: Securities not covered by the standards in (1)

above will normally be, in the judgment of WAMCO, at least equal in credit

quality to the criteria implied in those standards. Obligations in unrated

securities are limited to 10% of the total portfolio.

(3) Downgraded Securities: Securities which fall below the stated minimum

credit requirements subsequent to initial purchase may be held at

WAMCO’s, discretion. WPERP should be notified of these securities.

(4) Securities Inside 270 Days: For securities with legal final maturities of

270 days or less, WAMCO may use the underlying credit’s short term

ratings as proxy for establishing the minimum credit requirement.

(continues)

17

Portfolio Guidelines (continued)

Diversification

(1) Maturity: Maturity: Inflation-Indexed and Non-Inflation-Indexed

securities covering the full range of available maturities are acceptable.

(2) Sector: subject to the following limitations:

(a) Up to 25% of the portfolio may be invested in non-inflation-

indexed securities.

(3) Issuer: Holdings are subject to the following limitations:

(a) Obligations issued or guaranteed by the U.S. government, U.S.

agencies or U.S. government-sponsored corporations and

agencies are eligible without limit.

(b) Obligations of other national governments are limited to 50%

per issuer.

(c) Obligations of other issuers are subject to a 5% per issuer limit

excluding investments in commingled vehicles.

(4) Cash: The cash equivalent portion should not normally exceed 10% of

the portfolio.

(5) Currency: Both long and short currency exposures are permitted.

However, the aggregate of all active long exposures (local country bond

plus currency position) will not exceed 5% of the portfolio. (For example, a

5% local bond position in a country combined with a short (-5%) position in

that country’s currency is fully hedged and, therefore, has 0% active long

currency exposure. A 5% local bond position in a country with an

“additional” 5% currency position represents a 10% active long currency

exposure).

Marketability

All holdings will be of sufficient size and held in issues that are traded

actively enough to facilitate transactions at minimum cost and accurate

market valuation.

Performance Objectives

On an annual basis, WAMCO is expected to outperform the BC Global

Inflation Linked USD Hedged Index return, net of fees, to be measured over

a market cycle of three-to-five years. In addition a second objective is that,

over a three-to-five year market cycle, realized tracking error should not

exceed 1.25% versus the BC Global Inflation Linked USD Hedged Index.

18

Stronger US growth and inflation data pushed US Treasury yields higher

The US Federal Reserve raised rates by 0.25% on three separate occasions to 2.00%-2.25%

The Bank of England raised interest rates by 0.25% to 0.75%

The European Central Bank said it would end QE in December 2018 but keep rates on hold until summer 2019

The Bank of Japan introduced more flexibility in its yield curve control policy

Trade war tensions continued to escalate as some tariffs took effect and additional tariffs were announced

Italian yields rose sharply following the announcement of an anti-establishment, euro-sceptic coalition government

Government bonds posted positive returns, Italian and US Treasuries underperformed

Investment grade corporates underperformed

Emerging market volatility remained elevated

The US dollar strengthened

YTD 2018 Global Review

As of 31 Oct 18

19

Investment Results

1 Year Fiscal Performance (%)

01 Nov 17 – 31 Oct 18

Benchmark: 1.30

Portfolio (Net): 0.18

Portfolio (Gross): 0.35

Duration (yrs) Avg. Quality

Portfolio 10.5 AA+

Index 12.3 AA+

As of 31 Oct 18

Performance shown is gross of fees. The account's actual return will be reduced by those fees and any other expenses chargeable to the account. As fees are deducted quarterly,

the compounding effect will be to increase the impact of the fees by an amount directly related to the gross account performance. For example, on an account with a 1% annual fee,

if the gross performance were 10%, the compounding effect of the fees would result in a net performance of approximately 8.93%. Returns for periods greater than one year are

annualized. Returns since inception are as of the indicated close of business day.

-0.7

-1.3

0.4

3.33.5

3.7

-0.7

-1.4

0.2

3.13.3

3.5

0.1

-0.4

1.3

3.93.6

4.0

-2

-1

0

1

2

3

4

5

1 Month Year to Date 1 Year 3 Years 5 Years Since Inception30 Apr 10

Tot

al R

etur

n (%

)

Water & Power Employees' Retirement Plan - Retirement Fund (Gross)

Water & Power Employees' Retirement Plan - Retirement Fund (Net)

Bloomberg Barclays World Govt Inflation-Linked All Maturities USD Hedged Bond Index

20

-0.7

-1.3

0.4

3.33.5

3.7

-0.7

-1.4

0.2

3.13.3

3.5

0.1

-0.4

1.3

3.93.6

4.0

-2

-1

0

1

2

3

4

5

1 Month Year to Date 1 Year 3 Years 5 Years Since Inception30 Apr 10

Tot

al R

etur

n (%

)

Water & Power Employees' Retirement Plan - Retiree Health Benefits Fund (Gross)

Water & Power Employees' Retirement Plan - Retiree Health Benefits Fund (Net)

Bloomberg Barclays World Govt Inflation-Linked All Maturities USD Hedged Bond Index

Investment Results

1 Year Fiscal Performance (%)

01 Nov 17 – 31 Oct 18

Benchmark: 1.30

Portfolio (Net): 0.18

Portfolio (Gross): 0.35


Portfolio 10.3 AA+

Index 12.3 AA+

As of 31 Oct 18

Performance shown is gross of fees. The account's actual return will be reduced by those fees and any other expenses chargeable to the account. As fees are deducted quarterly,

the compounding effect will be to increase the impact of the fees by an amount directly related to the gross account performance. For example, on an account with a 1% annual fee,

if the gross performance were 10%, the compounding effect of the fees would result in a net performance of approximately 8.93%. Returns for periods greater than one year are

annualized. Returns since inception are as of the indicated close of business day.

21

Portfolio CharacteristicsLos Angeles Water & Power Employees’ Retirement PlanOctober 31, 2018

Benchmark: Bloomberg Barclays World Inflation-Linked All Maturities Index

Maturity Distribution (%) 5647 5655 BM Coupon Distribution (%) 5647 5655 BM

Under 1 year 4.19 4.25 0.00 0 - 1 68.19 68.15 59.04

1 - 5 years 33.92 34.06 28.07 1 - 2 14.62 14.09 18.92

5 - 10 years 29.15 29.15 31.39 2 - 3 9.06 9.62 14.58

10+ years 32.73 32.54 40.55 3 - 4 4.15 4.13 5.51

Total 100.00 100.00 100.00 4 - 5 2.22 2.23 1.95

5+ 1.75 1.78 0.00

Total 100.00 100.00 100.00

Currency Allocation (%) 5647 5655 BM Quality Distribution (%) 5647 5655 BM

United States 97.47 97.57 43.45 Cash 3.12 3.16 0.00

United Kingdom 1.85 1.83 29.36 Foreign Exchange 1.08 1.08 0.00

Australia 1.03 1.01 1.11 AAA 61.04 61.02 51.11

Brazil 0.00 0.00 0.00 AA 26.79 26.75 38.51

Danish Krone 0.00 0.00 0.24 A 3.68 3.69 5.04

Euro -2.02 -2.08 19.81 BBB 4.30 4.30 5.15

Canada -1.02 -1.03 1.94 Below I.G. 0.00 0.00 0.00

Japan 0.00 0.00 2.76 NR 0.00 0.00 0.19

Mexico 0.79 0.78 0.00 Total 100.00 100.00 100.00

New Zealand 0.05 0.05 0.46

Sweden 1.86 1.86 0.88

Total 100.00 100.00 100.00

22

Positive Contributors

US/EU real yield flatteners

Underweight in core European and UK duration

Overweight Brazil

Negative Contributors

Overweight in US duration

Overweight Italy versus core Europe

Overweight Mexico rates and FX

Overweight SEK vs EUR

Los Angeles Water & Power Employees’ Retirement PlanPerformance Summary – Global Inflation LinkedOctober 31, 2018

Source: Western Asset

Western Asset believes that attribution is not a hard science, but rather a means of evaluating strategies to determine their relative impact on overall portfolio performance. The intent of the

manager, therefore, is critical in the evaluation of different strategies, and the return attribution for any sector or strategy could be over or understated due to its inclusion in another

component. Data may not sum to total due to rounding.

Retirement Fund - 5647 1 Year Retireee Health - 5655 1 Year

Duration -58 Duration -57

Yield Curve 25 Yield Curve 25

Country -50 Country -49

Currency -13 Currency -13

Sector Allocation 0 Sector Allocation 0

Subsector Allocation 0 Subsector Allocation 0

Selection/Residual 1 Selection/Residual -1

Total Excess Return -95 Total Excess Return -95

23

Main Risk Positions

As of 26 Nov 18

Country Strategy Position Rationale Risks

UK Curve Underweight 20-30yrs on the curve Less supply in the wings More long dated supply

Duration Underweight real yields Less inflation, BoE stirrings, expensive cross market Equity rally led de-risking

No deal Brexit

US Duration Neutral real yields/Long nominals Growth slowing modestly in 2019, Inflation calm - Fed goes slower Pension fund buying

Curve Bias towards 30yr real yields Ongoing program to reduce the curve flattener More Fed without inflation

Europe Breakeven Neutral Prefer to overweight nominals tactically than breakevens Oil rebound and tight labour markets - upside

inflation prints

Duration Short French real yields Upcoming supply - less pension buying when deeply negative Worse growth outcome

Breakeven Long French BE Cheaper way to play gradual pick up in EZ inflation

Country Overweight Italy Trading cheap to ratings/risk Complete breakdown in relationship with the EZ

Japan Duration Short real yields Growth-inflation better versus BOJ stimulus Better inflation pushes RY more negative

FX FX Long GBP tactically Too much Brexit pessimism - medium term cheap Can be very volatile

FX Long SEK vs EUR Riksbank super dovish in the face of better data/inflation Riksbank ignores the data

FX Long MXN Strong fundamentals Political risk surrounding new President

24

YTD 2018 Global ReturnsAs of 31st October 2018

Currency

Source: Bloomberg Barclays

-8.2

-2.6-1.3

0.6 0.8 1.4 1.6 2.4 2.7 3.3

-12

-8

-4

0

4

Italy US Japan Canada France UK Germany Sweden Australia NewZealand

Per

cent

10 Year Inflation-Linked Bonds

-24.8

2.2

-20.7

5.7

-1.5

10.61.8

15.3

-10.0-3.8

-40-30-20-10

0102030

Italy US Japan Canada France UK Germany Sweden Australia NewZealand

Bas

is P

oint

s

10-Year Breakeven Changes

-21.4

-11.1 -8.7 -8.3 -7.8 -7.7 -6.2 -5.1 -5.1 -3.4 -3.1 -0.5

3.4

-30

-20

-10

0

10

TurkishLira

SouthAfricanRand

IndianRupee

PolishZloty

AustralianDollar

RussianRuble

Euro BritishPound

SouthKorean

Won

CanadianDollar

ChineseRenminbi

JapaneseYen

MexicanPeso

Tot

al R

etur

n vs

US

D (

%)

25

5.9

3.4

0.5 0.3 0.2 0.1 0.00.4

0.1 0.1 0.0

1.3

-0.5-1.9

0.4

0.2

6.6

3.4

0.8 0.3 0.3 0.2 0.2 0.40.1 0.0 0.1 0.1

-5

0

5

10

UK US France Canada Germany Japan Spain Italy Australia Mexico NewZealand

Sweden

Yea

rs

Portfolio (Nominal): -0.4

Portfolio (Real): 10.9

Benchmark: 12.3

Benchmark* (%)Portfolio (%)

Duration Contribution

Water & Power Employees' Retirement Plan - Retirement FundAs of October 31, 2018

*Bloomberg Barclays World Inflation-Linked All Maturities Index

Total Duration: 10.5

43.4

29.4

9.3

5.1

3.0

2.8

2.3

1.9

1.1

0.9

0.5

0.0

0.2

0.0

United States

United Kingdom

France

Italy

Germany

Japan

Spain

Canada

Australia

Sweden

New Zealand

Mexico

Other

Cash/Cash Equivalents

52.8

18.6

8.2

4.3

3.9

1.4

0.5

2.9

0.5

0.0

1.0

1.8

0.0

4.2

United States

United Kingdom

France

Italy

Germany

Japan

Spain

Canada

Australia

Sweden

New Zealand

Mexico

Other


26

5.8

3.4

0.5 0.3 0.2 0.1 0.0

0.4

0.1 0.1 0.0

1.3

-0.5

-1.9

0.4 0.2

6.6

3.4

0.8 0.3 0.3 0.2 0.2 0.40.1 0.0 0.1 0.1

-5

0

5

10

UK US France Canada Germany Japan Spain Italy Australia Mexico NewZealand

Sweden

Yea

rs

Portfolio (Nominal): -0.5

Portfolio (Real): 10.8

Benchmark: 12.3


Duration Contribution

Water & Power Employees' Retirement Plan - Retiree Health Benefits FundAs of October 31, 2018

*Bloomberg Barclays World Inflation-Linked All Maturities Index

Total Duration: 10.3

43.4

29.4

9.3

5.1

3.0

2.8

2.3

1.9

1.1

0.9

0.5

0.0

0.2

0.0

United States

United Kingdom

France

Italy

Germany

Japan

Spain

Canada

Australia

Sweden

New Zealand

Mexico

Other


52.8

18.5

8.3

4.3

3.9

1.4

0.5

2.9

0.5

0.0

1.0

1.8

0.0

4.2

United States

United Kingdom

France

Italy

Germany

Japan

Spain

Canada

Australia

Sweden

New Zealand

Mexico

Other


27

Portfolio Review and Characteristics

28

Top Ten Holdings

As of 31 Oct 18

Top 10 Holdings Coupon (%) Maturity (%)

US INFLATION -LINKED TREASURY NOTE 0.13 Apr-20 13.98%

US INFLATION -LINKED TREASURY NOTE 0.63 Jan-26 8.47%

US INFLATION-LINKED TREASURY NOTE 0.13 Jan-23 5.81%

US INFLATION-LINKED TREASURY BOND 2.38 Jan-25 5.77%

UK INDEX-LINKED TREASURY 0.13 Mar-68 5.68%

US INFLATION -LINKED TREASURY NOTE 0.38 Jul-25 5.24%

FRANCE O.A.T. I/L 1.85 Jul-27 2.93%

DEUTSCHLAND I/L BOND 1.75 Apr-20 2.93%

US INFLATION-LINKED TREASURY NOTE 0.38 Jul-23 2.90%

US INFLATION-LINKED TREASURY BOND 1.38 Feb-44 2.68%

Total 56.38%

Top 10 Holdings Coupon (%) Maturity (%)

US INFLATION -LINKED TREASURY NOTE 0.13 Apr-20 14.11%

US INFLATION -LINKED TREASURY NOTE 0.63 Jan-26 8.48%

US INFLATION-LINKED TREASURY BOND 2.38 Jan-25 5.83%

US INFLATION-LINKED TREASURY NOTE 0.13 Jan-23 5.68%

UK INDEX-LINKED TREASURY 0.13 Mar-68 5.39%

US INFLATION -LINKED TREASURY NOTE 0.38 Jul-25 5.22%

US INFLATION-LINKED TREASURY NOTE 0.38 Jul-23 2.97%

DEUTSCHLAND I/L BOND 1.75 Apr-20 2.95%

FRANCE O.A.T. I/L 1.85 Jul-27 2.94%

US INFLATION-LINKED TREASURY BOND 1.38 Feb-44 2.66%

Total 56.20%

Water & Power Employees' Retirement Plan - Retirement Fund

Water & Power Employees' Retirement Plan - Retiree Health Benefits Fund

29

Water & Power Employees' Retirement Plan – Retirement Fund Rating AllocationOctober 31, 2018

*Barclays World Govt Inflation-Linked All Maturities USD Hedged Bond Index


51.2

38.6

5.0

5.2

0.0

AAA

AA

A

BBB


61.0

26.8

3.7

4.3

4.2

AAA

AA

A

BBB



Portfolio 10.5 AA+

Index 12.3 AA+

30

Water & Power Employees' Retirement Plan – Retiree Health Benefits Fund Rating AllocationOctober 31, 2018

*Barclays World Govt Inflation-Linked All Maturities USD Hedged Bond Index



Portfolio 10.3 AA+

Index 12.3 AA+

51.2

38.6

5.0

5.2

0.0

AAA

AA

A

BBB


61.0

26.7

3.7

4.3

4.2

AAA

AA

A

BBB


31

Market Value ChangeOctober 31, 2018

Initial Contribution

As of 01 Apr 10 125,000,000.00$

Initial Contribution

As of 01 Apr 10 16,000,000.00$

Contributions 175,601,154.27$ Contributions 65,994,764.87$

Total Contributions 300,601,154.27$ Total Contributions 81,994,764.87$

Withdrawals (161,085,236.00)$ Withdrawals (27,801,000.00)$

Income Stripping $ - Income Stripping $ -

Total Withdrawals (161,085,236.00)$ Total Withdrawals (27,801,000.00)$

Net Contribution 139,515,918.27$ Net Contribution 54,193,764.87$

Portfolio Return 243,308,297.70$ Portfolio Return 9,953,877.42$

Market Value

As of 31 Oct 18 382,824,215.97$

Market Value

As of 31 Oct 18 64,147,642.29$

Water & Power Employees' Retirement Plan

- Retirement Fund

Water & Power Employees' Retirement Plan

- Retiree Health Benefits Fund

32

Summary of Holdings

Water & Power Employees' Retirement Plan - Retirement FundSchedule of Current Holdings

October 31, 2018Asset ID Current Units/

Original Face

Security Description Book Value

Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets

RatingsMoody/S&P/Fitch

GovernmentTreasury

Derivative 112.3828 0.00 440.000000FVZ8 US 5YR NOTE (CBT) Dec18 Due 12/31/2018 Aaa/AA+/AAA

121.6400 0.00 145.000000IKZ8 Euro-BTP Future Dec18 Due 12/06/2018 NR/NR/NR

151.9600 0.00-128.000000OATZ8 Euro-OAT Future Dec18 Due 12/06/2018 NR/NR/NR

160.2600 0.00-455.000000RXZ8 EURO-BUND FUTURE Dec18 Due 12/06/2018 NR/NR/NR

118.4375 0.00 57.000000TYZ8 US 10YR NOTE (CBT)Dec18 Due 12/19/2018 Aaa/AA+/AAA

138.1250 0.00 107.000000USZ8 US LONG BOND(CBT) Dec18 Due 12/19/2018 Aaa/AA+/AAA

149.2188 0.00 36.000000WNZ8 US ULTRA BOND CBT Dec18 Due 12/19/2018 Aaa/AA+/AAA

Total Derivative $0.00

Inflation-Linked 110.6630 62,943.17 2,880,000.00135087UL6 183.9683 4,061,115.53 3,920,593.28 1.04%CANADA-GOV'T REAL RETURN 4.25 Due 12/01/2021 Aaa/AAA/AAA

127.4330 36,401.39 1,760,000.00135087VS0 196.9445 2,766,453.24 2,610,962.78 0.69%CANADA-GOV'T REAL RETURN 4.25 Due 12/01/2026 Aaa/AAA/AAAu

140.1040 21,886.43 1,170,000.00135087WV2 198.5348 2,105,717.51 1,833,813.33 0.48%CANADA-GOV'T REAL RETURN 4 Due 12/01/2031 Aaa/AAA/AAAu

116.1710 13,331.04 2,405,000.00135087ZH0 138.9122 3,113,734.29 2,469,791.04 0.65%CANADA-GOVT REAL RETURN 1.5 Due 12/01/2044 Aaa/AAA/AAA

126.5980 5,540.49 1,996,000.00912810FH6 193.6356 3,864,966.26 3,875,753.21 1.01%US INFLATION-LINKED TREASURY BOND 3.875 Due 04/15/2029 Aaa/AA+/AAAu

107.8180 143,126.65 15,210,000.00912810FR4 148.1486 22,533,398.31 21,936,607.91 5.77%US INFLATION-LINKED TREASURY BOND 2.375 Due 01/15/2025 Aaa/AA+/AAAu

115.5890 10,812.53 2,057,800.00912810QF8 136.6000 2,810,955.67 2,774,839.82 0.73%US INFLATION-LINKED TREASURY BOND 2.125 Due 02/15/2040 Aaa/AA+/AAAu

85.8710 9,835.75 6,770,000.00912810RA8 100.8309 6,826,251.85 6,375,687.06 1.67%US INFLATION-LINKED TREASURY BOND .625 Due 02/15/2043 Aaa/AA+/AAAu

101.3410 29,418.35 9,330,000.00912810RF7 117.0703 10,922,654.42 10,229,489.24 2.68%US INFLATION-LINKED TREASURY BOND 1.375 Due 02/15/2044 Aaa/AA+/AAAu

87.4710 7,830.00 4,600,000.00912810RL4 98.5804 4,534,696.74 4,308,420.84 1.13%US INFLATION-LINKED TREASURY NOTE .75 Due 02/15/2045 Aaa/AA+/AAAu

95.0730 4,540.58 5,760,000.00912828H45 105.3967 6,070,849.50 5,829,748.58 1.52%US INFLATION-LINKED TREASURY NOTE .25 Due 01/15/2025 Aaa/AA+/AAAu

Page 1 of 7 1010-0024-5647



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


98.3130 3,178.72 50,570,000.00912828K33 107.4324 54,328,551.87 53,531,163.45 13.98%US INFLATION -LINKED TREASURY NOTE .125 Due 04/15/2020 Aaa/AA+/AAAu

96.6890 61,998.43 31,560,000.00912828N71 106.2228 33,523,912.90 32,381,653.91 8.47%US INFLATION -LINKED TREASURY NOTE .625 Due 01/15/2026 Aaa/AA+/AAA

100.1080 23,506.07 6,120,000.00912828PP9 118.8091 7,271,118.46 7,061,836.56 1.85%US INFLATION-LINKED TREASURY NOTE 1.125 Due 01/15/2021 Aaa/AA+/AAAu

96.2830 8,543.64 21,124,200.00912828UH1 109.7939 23,193,080.00 22,217,931.55 5.81%US INFLATION-LINKED TREASURY NOTE .125 Due 01/15/2023 Aaa/AA+/AAAu

97.4320 12,636.31 10,500,000.00912828VM9 107.1235 11,247,962.29 11,084,390.45 2.90%US INFLATION-LINKED TREASURY NOTE .375 Due 07/15/2023 Aaa/AA+/AAAu

95.8230 23,206.62 19,650,000.00912828XL9 104.8475 20,602,539.66 20,020,355.93 5.24%US INFLATION -LINKED TREASURY NOTE .375 Due 07/15/2025 Aaa/AA+/AAAu

141.9440 4,001.03 1,957,000.00AU0000XCLWV6 121.5861 2,316,822.90 1,968,796.63 0.52%AUSTRALIAN GOVERNMENT IL 2.5% 20SEP2030 2.5 Due 09/20/2030 Aaa/AAAu/AAAu

105.0900 101,271.01 8,230,000.00DE0001030526 118.6479 10,928,041.59 11,098,679.67 2.93%DEUTSCHLAND I/L BOND 1.75 Due 04/15/2020 Aaau/AAAu/AAAu

117.2560 8,982.44 2,770,000.00DE0001030559 112.6326 3,459,383.55 3,844,342.31 1.01%DEUTSCHLAND I/L BOND .5 Due 04/15/2030 Aaau/AAA/AAAu

102.6980 10,214.35 1,720,000.00ES00000126W8 103.8723 2,187,192.49 2,071,875.08 0.54%SPAIN I/L BOND .55 Due 11/30/2019 Baa1/A-/A-

107.7050 19,781.30 2,267,741.00FR0010050559 129.8458 3,748,753.36 3,491,125.36 0.92%FRANCE O.A.T. I/L 2.25 Due 07/25/2020 Aa2u/AA/AAu



108.9890 3,889.03 4,820,000.00FR0011427848 109.8736 5,697,085.16 6,250,896.67 1.63%FRANCE (GOVT OF) .25 Due 07/25/2024 Aa2u/AA/AAu

115.7460 4,415.70 1,980,000.00FR0011982776 111.2507 2,438,225.76 2,691,936.26 0.70%FRANCE (GOVT OF) .7 Due 07/25/2030 Aa2u/AA/AAu

161.9447 5,199.75 490,000.00GB00B1Z5HQ14 124.6603 935,236.12 1,013,931.03 0.27%UK INDEX-LINKED TREASURY 1.875 Due 11/22/2022 Aa2u/AA/AAu

254.1056 4,541.82 1,070,000.00GB00B24FFM16 174.6260 2,789,641.77 3,474,111.36 0.91%UK INDEX-LINKED TREASURY .75 Due 11/22/2047 Aa2u/AA/AAu

193.7679 14,051.31 1,970,000.00GB00B3D4VD98 137.3188 4,276,193.33 4,877,460.89 1.28%UK INDEX-LINKED TREASURY 1.25 Due 11/22/2032 Aa2u/AA/AAu

207.8967 176.48 200,000.00GB00B3LZBF68 126.1921 388,858.45 531,279.69 0.14%UK INDEX-LINKED TREASURY .625 Due 03/22/2040 Aa2u/AA/AAu

222.5592 8,666.26 2,450,000.00GB00B3MYD345 163.4386 6,206,785.69 6,967,185.92 1.82%UK INDEX-LINKED TREASURY .625 Due 11/22/2042 Aa2u/AA/AAu

245.5211 1,468.35 2,080,000.00GB00B421JZ66 147.0494 5,005,550.67 6,525,261.54 1.70%UK INDEX-LINKED TREASURY .5 Due 03/22/2050 Aa2u/AA/AAu

Page 2 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


175.3385 4,468.60 4,220,000.00GB00B46CGH68 125.0745 8,684,538.07 9,454,433.18 2.47%UK INDEX-LINKED TREASURY .75 Due 03/22/2034 Aa2u/AA/AAu

266.3847 513.57 970,000.00GB00B4PTCY75 129.4228 1,944,423.83 3,301,617.92 0.86%TSY 0 3/8% 2062 I/L GILT .375 Due 03/22/2062 Aa2u/AA/AAu

211.9241 409.44 1,160,000.00GB00B73ZYW09 130.6775 2,370,822.50 3,141,115.92 0.82%TSY 0 1/4% 2052 I/L GILT - UK INDEX-LINKED TREASURY .25 Due 03/22/2052 Aa2u/AA/AAu

180.1590 765.92 4,340,000.00GB00B7RN0G65 135.4838 8,905,347.49 9,990,595.70 2.61%TSY 0 1/8% 2044 I/L GILT .125 Due 03/22/2044 Aa2u/AA/AAu

262.5189 1,143.66 6,480,000.00GB00BDX8CX86 200.3513 17,984,187.65 21,736,085.18 5.68%UK INDEX-LINKED TREASURY .125 Due 03/22/2068 Aa2u/AA/AAu

99.1720 14,452.31 3,430,000.00IT0004545890 122.8531 4,932,419.89 4,329,092.74 1.13%BUONI POLIENNALI DEL TES I/L 2.55 Due 09/15/2041 Baa3u/BBB/BBB

107.6000 30,948.51 6,190,000.00IT0004735152 122.3787 8,796,182.43 8,273,723.67 2.17%BUONI POLIENNALI DEL TES 3.1 Due 09/15/2026 Baa3u/BBB/BBB

93.7770 1,870.08 3,510,000.00IT0005329344 98.8601 4,048,950.26 3,796,235.72 0.99%BUONI POLIENNALI DEL TES .1 Due 05/15/2023 Baa3/BBBu/BBB

107.7137 333.14 263,900,000.00JP1120171DA4 104.6533 2,603,165.23 2,518,774.87 0.66%JAPAN GOVT CPI LINKED .1 Due 09/10/2023 A1/A+/A

105.0510 375.06 297,100,000.00JP1120211G41 104.3566 2,769,481.63 2,765,553.95 0.72%JAPAN GOVT CPI LINKED .1 Due 03/10/2026 A1/A+/Au

125.6010 10,166.40 4,510,000.00NZIIBDT003C0 106.2829 3,706,844.20 3,698,986.09 0.97%NEW ZEALAND INDEX LINKED 3 Due 09/20/2030 Aaa/AA+/AA+

Total Inflation-Linked $796,806.85 94.05%$356,001,835.16 $359,252,334.32

Total Treasury $796,806.85 94.05%$356,001,835.16 $359,252,334.32

$796,806.85Total Government 94.05%$356,001,835.16 $359,252,334.32

Emerging MarketTreasury

89.4335 225,832.45 147,000,000.00MX0MGO000102 104.9035 8,086,296.59 6,491,891.22 1.75%MEX BONOS DESARR FIX RT 8 Due 11/07/2047 A3/BBB+/BBB+

Total Treasury $225,832.45 1.75%$8,086,296.59 $6,491,891.22

$225,832.45Total Emerging Market 1.75%$8,086,296.59 $6,491,891.22

Foreign ExchangeForward

1.0000 0.00-3,821,274.56BRLUSD121318 -3,821,274.56 -3,821,274.56 -1.00%BRL/USD FFX DUE 121318 Due 12/13/2018 NR/NR/NR

1.0000 0.00 4,118,254.58BRLUSD121318 4,118,254.58 4,118,254.58 1.08%BRL/USD FFX DUE 121318 Due 12/13/2018 NR/NR/NR

3.7291 0.00-15,950,000.00BRLUSD121318CC -4,118,254.58 -4,277,181.94 -1.12%BRL/USD FFX DUE 121318-Cross Due 12/13/2018 NR/NR/NR

3.7291 0.00 15,950,000.00BRLUSD121318CC 3,821,274.56 4,277,181.94 1.12%BRL/USD FFX DUE 121318-Cross Due 12/13/2018 NR/NR/NR

Page 3 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


1.4108 0.00 5,400,000.00CADAUD110818 3,822,944.00 3,827,595.11 1.00%CAD/AUD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

1.3131 0.00-4,991,387.40CADAUD110818CC -3,822,944.00 -3,801,330.48 -0.99%CAD/AUD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

1.0000 0.00 11,482,226.33CADUSD110818 11,482,226.33 11,482,226.33 3.00%CAD/USD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

1.3131 0.00-14,903,080.09CADUSD110818CC -11,482,226.33 -11,349,856.88 -2.96%CAD/USD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

1.0000 0.00 6,136,399.44JPYUSD110818 6,136,399.44 6,136,399.44 1.60%JPY/USD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

112.7892 0.00-677,679,317.00JPYUSD110818CC -6,136,399.44 -6,008,368.52 -1.57%JPY/USD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

1.0000 0.00 4,313,536.49MXNUSD110818 4,313,536.49 4,313,536.49 1.13%MXN/USD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

20.2779 0.00-81,230,000.00MXNUSD110818CC -4,313,536.49 -4,005,830.80 -1.05%MXN/USD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

1.0000 0.00-7,349,495.32SEKUSD110818 -7,349,495.32 -7,349,495.32 -1.92%SEK/USD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

9.1337 0.00 64,992,469.06SEKUSD110818CC 7,349,495.32 7,115,694.95 1.86%SEK/USD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

1.4108 0.00-2,751,863.53USDAUD110818 -2,025,151.41 -1,950,559.15 -0.51%USD/AUD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

1.0000 0.00 2,025,151.41USDAUD110818CC 2,025,151.41 2,025,151.41 0.53%USD/AUD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

0.8739 0.00-5,318,162.00USDEUR021219 -6,074,745.00 -6,085,621.09 -1.59%USD/EUR FFX DUE 021219 Due 02/12/2019 NR/NR/NR

1.0000 0.00 6,074,745.00USDEUR021219CC 6,074,745.00 6,074,745.00 1.59%USD/EUR FFX DUE 021219-Cross Due 02/12/2019 NR/NR/NR

0.8820 0.00 15,958,162.00USDEUR110818 18,438,506.33 18,092,921.67 4.73%USD/EUR FFX DUE 110818 Due 11/08/2018 NR/NR/NR


1.0000 0.00-18,438,506.33USDEUR110818CC -18,438,506.33 -18,438,506.33 -4.82%USD/EUR FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR


0.7824 0.00-53,050,948.62USDGBP110818 -69,347,936.33 -67,809,739.33 -17.71%USD/GBP FFX DUE 110818 Due 11/08/2018 NR/NR/NR

0.7824 0.00 2,170,000.00USDGBP110818 2,772,131.60 2,773,694.69 0.72%USD/GBP FFX DUE 110818 Due 11/08/2018 NR/NR/NR

1.0000 0.00 69,347,936.33USDGBP110818CC 69,347,936.33 69,347,936.33 18.11%USD/GBP FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

Page 4 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


1.0000 0.00-2,772,131.60USDGBP110818CC -2,772,131.60 -2,772,131.60 -0.72%USD/GBP FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

1.5313 0.00-5,578,631.30USDNZD110818 -3,765,023.84 -3,643,157.92 -0.95%USD/NZD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

1.0000 0.00 3,765,023.84USDNZD110818CC 3,765,023.84 3,765,023.84 0.98%USD/NZD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

Total Forward $0.00 1.08%$0.00 $4,122,580.51

$0.00Total Foreign Exchange 1.08%$0.00 $4,122,580.51

Cash & Cash EquivalentsTRADE DATE CASH 76,895.00MARGINCAD 60,772.15 58,553.21 0.00 0.02% 1.2653 1.3133NR/NR/NR

0.00 60,772.15 58,553.21 Settled Cash NR/NR/NR

TRADE DATE CASH-76,895.00RESRVBLECAD -61,388.31 -58,553.21 0.00 -0.02% 1.2526 1.3133NR/NR/NR

0.00-61,388.31 -58,553.21 Settled Cash NR/NR/NR

TRADE DATE CASH 113,548.29AUD_CASH 84,054.77 80,477.34 0.00 0.02% 1.3509 1.4109NR/NR/NR


TRADE DATE CASH 354,210.26CAD_CASH 271,287.63 269,720.36 0.00 0.07% 1.3057 1.3133NR/NR/NR


TRADE DATE CASH 158,147.17EUR_CASH 180,121.65 179,188.57 0.00 0.05% 0.8780 0.8826NR/NR/NR


TRADE DATE CASH 822,647.27GBP_CASH 1,060,817.43 1,051,137.16 0.00 0.27% 0.7755 0.7826NR/NR/NR

0.00 1,060,817.43 1,051,137.16 Settled Cash NR/NR/NR

TRADE DATE CASH 80,294,783.00JPY_CASH 724,562.60 711,486.27 0.00 0.19% 110.8183 112.8550NR/NR/NR


TRADE DATE CASH 6,057,345.88MXN_CASH 318,598.10 299,113.42 0.00 0.08% 19.0125 20.2510NR/NR/NR


Page 5 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


TRADE DATE CASH 212,349.96NZD_CASH 143,043.13 138,664.48 0.00 0.04% 1.4845 1.5314NR/NR/NR


TRADE DATE CASH 57,040.27SEK_CASH 6,370.44 6,240.93 0.00 0.00% 8.9539 9.1397NR/NR/NR


TRADE DATE CASH 5,717,001.03USD_CASH 5,717,001.03 5,717,001.03 0.00 1.49% 1.0000 100.0000NR/NR/NR

0.00-242,187.50 -242,187.50 Unsettled Margin Variation NR/NR/NR


TRADE DATE CASH-3,543,365.02MARGINEUR -4,080,982.62 -4,014,807.85 0.00 -1.05% 0.8683 0.8826NR/NR/NR

0.00 171,951.58 171,951.58 Unsettled Margin Variation NR/NR/NR

0.00-4,252,934.20 -4,186,759.43 Settled Cash NR/NR/NR

TRADE DATE CASH-1,896,108.24MARGINGBP -2,523,017.07 -2,422,751.40 0.00 -0.63% 0.7515 0.7826NR/NR/NR

0.00-2,523,017.07 -2,422,751.40 Settled Cash NR/NR/NR

TRADE DATE CASH-104,588,194.00MARGINJPY -943,731.06 -926,748.43 0.00 -0.24% 110.8242 112.8550NR/NR/NR


TRADE DATE CASH 5,963,964.40RESRVBLEEUR 6,916,549.12 6,757,466.68 0.00 1.77% 0.8623 0.8826NR/NR/NR


TRADE DATE CASH 1,896,108.24RESRVBLEGBP 2,556,370.55 2,422,751.40 0.00 0.63% 0.7417 0.7826NR/NR/NR


TRADE DATE CASH 104,588,194.00RESRVBLEJPY 926,728.57 926,748.43 0.00 0.24% 112.8574 112.8550NR/NR/NR


Page 6 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


TRADE DATE CASH 739,082.24RESRVBLEUSD 739,082.24 739,082.24 0.00 0.19% 1.0000 1.0000NR/NR/NR


$0.00Total Cash & Cash Equivalents 3.12%$12,096,240.35 $11,934,770.63

$381,801,576.68$376,184,372.10 $1,022,639.29Total Assets: 100.00%

Total Account Value (Market Value & Accrued Interest) $382,824,215.97

NR: SECURITY NOT RATED BY RATING AGENCY.

Page 7 of 7

Water & Power Employees' Retirement Plan - Retiree Health Benefits FundSchedule of Current Holdings


Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


GovernmentTreasury

Derivative 112.3828 0.00 73.000000FVZ8 US 5YR NOTE (CBT) Dec18 Due 12/31/2018 Aaa/AA+/AAA

121.6400 0.00 23.000000IKZ8 Euro-BTP Future Dec18 Due 12/06/2018 NR/NR/NR

151.9600 0.00-21.000000OATZ8 Euro-OAT Future Dec18 Due 12/06/2018 NR/NR/NR

160.2600 0.00-77.000000RXZ8 EURO-BUND FUTURE Dec18 Due 12/06/2018 NR/NR/NR

118.4375 0.00 9.000000TYZ8 US 10YR NOTE (CBT)Dec18 Due 12/19/2018 Aaa/AA+/AAA

138.1250 0.00 18.000000USZ8 US LONG BOND(CBT) Dec18 Due 12/19/2018 Aaa/AA+/AAA

149.2188 0.00 6.000000WNZ8 US ULTRA BOND CBT Dec18 Due 12/19/2018 Aaa/AA+/AAA

Total Derivative $0.00

Inflation-Linked 110.6630 10,490.53 480,000.00135087UL6 183.9683 676,852.76 653,432.22 1.03%CANADA-GOV'T REAL RETURN 4.25 Due 12/01/2021 Aaa/AAA/AAA

127.4330 5,997.96 290,000.00135087VS0 196.9445 455,835.76 430,215.46 0.68%CANADA-GOV'T REAL RETURN 4.25 Due 12/01/2026 Aaa/AAA/AAAu

140.1040 3,928.32 210,000.00135087WV2 199.5214 401,143.12 329,145.98 0.52%CANADA-GOV'T REAL RETURN 4 Due 12/01/2031 Aaa/AAA/AAAu

116.1710 2,139.62 386,000.00135087ZH0 135.4817 483,729.45 396,398.90 0.62%CANADA-GOVT REAL RETURN 1.5 Due 12/01/2044 Aaa/AAA/AAA

126.5980 899.36 324,000.00912810FH6 194.0925 628,859.69 629,130.28 0.98%US INFLATION-LINKED TREASURY BOND 3.875 Due 04/15/2029 Aaa/AA+/AAAu

107.8180 24,230.85 2,575,000.00912810FR4 148.0027 3,811,070.46 3,713,791.28 5.83%US INFLATION-LINKED TREASURY BOND 2.375 Due 01/15/2025 Aaa/AA+/AAAu

115.5890 1,615.74 307,500.00912810QF8 135.7341 417,382.25 414,648.29 0.65%US INFLATION-LINKED TREASURY BOND 2.125 Due 02/15/2040 Aaa/AA+/AAAu

88.8800 17.74 10,000.00912810QV3 109.6457 10,964.57 9,917.94 0.02%US INFLATION-LINKED TREASURY BOND .75 Due 02/15/2042 Aaa/AA+/AAAu

85.8710 1,641.71 1,130,000.00912810RA8 100.6583 1,137,438.35 1,064,184.10 1.66%US INFLATION-LINKED TREASURY BOND .625 Due 02/15/2043 Aaa/AA+/AAAu

101.3410 4,887.29 1,550,000.00912810RF7 117.4299 1,820,162.68 1,699,432.83 2.66%US INFLATION-LINKED TREASURY BOND 1.375 Due 02/15/2044 Aaa/AA+/AAAu

87.4710 1,327.70 780,000.00912810RL4 98.6820 769,719.95 730,558.32 1.14%US INFLATION-LINKED TREASURY NOTE .75 Due 02/15/2045 Aaa/AA+/AAAu

Page 1 of 7 1010-0024-5655



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


95.0730 756.76 960,000.00912828H45 105.4779 1,012,588.09 971,624.76 1.52%US INFLATION-LINKED TREASURY NOTE .25 Due 01/15/2025 Aaa/AA+/AAAu

98.3130 537.43 8,550,000.00912828K33 107.4370 9,185,861.10 9,050,651.52 14.11%US INFLATION -LINKED TREASURY NOTE .125 Due 04/15/2020 Aaa/AA+/AAAu

96.6890 10,392.00 5,290,000.00912828N71 106.2218 5,619,135.09 5,427,723.36 8.48%US INFLATION -LINKED TREASURY NOTE .625 Due 01/15/2026 Aaa/AA+/AAA

100.1080 3,956.09 1,030,000.00912828PP9 118.8091 1,223,733.99 1,188,511.71 1.86%US INFLATION-LINKED TREASURY NOTE 1.125 Due 01/15/2021 Aaa/AA+/AAAu

96.2830 1,400.30 3,462,200.00912828UH1 109.8073 3,801,747.94 3,641,459.68 5.68%US INFLATION-LINKED TREASURY NOTE .125 Due 01/15/2023 Aaa/AA+/AAAu

97.4320 2,166.22 1,800,000.00912828VM9 107.2013 1,929,623.77 1,900,181.22 2.97%US INFLATION-LINKED TREASURY NOTE .375 Due 07/15/2023 Aaa/AA+/AAAu

95.8230 3,873.68 3,280,000.00912828XL9 104.8564 3,439,289.23 3,341,820.23 5.22%US INFLATION -LINKED TREASURY NOTE .375 Due 07/15/2025 Aaa/AA+/AAAu

141.9440 666.50 326,000.00AU0000XCLWV6 120.5312 385,133.09 327,965.10 0.51%AUSTRALIAN GOVERNMENT IL 2.5% 20SEP2030 2.5 Due 09/20/2030 Aaa/AAAu/AAAu

105.0900 17,104.10 1,390,000.00DE0001030526 118.6476 1,846,187.70 1,874,503.61 2.95%DEUTSCHLAND I/L BOND 1.75 Due 04/15/2020 Aaau/AAAu/AAAu

117.2560 1,459.24 450,000.00DE0001030559 112.5703 562,397.77 624,532.14 0.98%DEUTSCHLAND I/L BOND .5 Due 04/15/2030 Aaau/AAA/AAAu

102.6980 1,662.80 280,000.00ES00000126W8 103.8640 358,831.81 337,281.98 0.53%SPAIN I/L BOND .55 Due 11/30/2019 Baa1/A-/A-

107.7050 5,432.97 622,842.00FR0010050559 129.7316 1,021,965.65 958,848.26 1.50%FRANCE O.A.T. I/L 2.25 Due 07/25/2020 Aa2u/AA/AAu

110.5380 2,691.64 710,000.00FR0010899765 117.3604 987,107.66 997,228.92 1.56%FRANCE O.A.T. I/L 1.1 Due 07/25/2022 Aa2u/AA/AAu


108.9890 637.42 790,000.00FR0011427848 109.9513 934,096.23 1,024,524.56 1.60%FRANCE (GOVT OF) .25 Due 07/25/2024 Aa2u/AA/AAu

115.7460 735.95 330,000.00FR0011982776 111.3108 407,082.37 448,656.04 0.70%FRANCE (GOVT OF) .7 Due 07/25/2030 Aa2u/AA/AAu

161.9447 742.82 70,000.00GB00B1Z5HQ14 123.9532 133,938.42 144,847.30 0.23%UK INDEX-LINKED TREASURY 1.875 Due 11/22/2022 Aa2u/AA/AAu

254.1056 764.04 180,000.00GB00B24FFM16 174.1553 468,958.41 584,429.94 0.91%UK INDEX-LINKED TREASURY .75 Due 11/22/2047 Aa2u/AA/AAu

193.7679 2,353.77 330,000.00GB00B3D4VD98 136.3767 716,635.36 817,036.59 1.28%UK INDEX-LINKED TREASURY 1.25 Due 11/22/2032 Aa2u/AA/AAu

222.5592 1,414.90 400,000.00GB00B3MYD345 163.1973 1,017,383.22 1,137,499.74 1.78%UK INDEX-LINKED TREASURY .625 Due 11/22/2042 Aa2u/AA/AAu

245.5211 240.04 340,000.00GB00B421JZ66 145.0769 815,553.75 1,066,629.28 1.66%UK INDEX-LINKED TREASURY .5 Due 03/22/2050 Aa2u/AA/AAu

Page 2 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


175.3385 741.24 700,000.00GB00B46CGH68 124.4286 1,444,575.30 1,568,270.91 2.45%UK INDEX-LINKED TREASURY .75 Due 03/22/2034 Aa2u/AA/AAu

266.3847 116.49 220,000.00GB00B4PTCY75 126.8964 438,914.08 748,820.56 1.17%TSY 0 3/8% 2062 I/L GILT .375 Due 03/22/2062 Aa2u/AA/AAu

211.9241 84.71 240,000.00GB00B73ZYW09 129.6795 488,988.98 649,886.05 1.01%TSY 0 1/4% 2052 I/L GILT - UK INDEX-LINKED TREASURY .25 Due 03/22/2052 Aa2u/AA/AAu

180.1590 127.08 720,000.00GB00B7RN0G65 135.3468 1,481,848.41 1,657,426.01 2.58%TSY 0 1/8% 2044 I/L GILT .125 Due 03/22/2044 Aa2u/AA/AAu

262.5189 181.80 1,030,000.00GB00BDX8CX86 200.1356 2,858,539.65 3,454,964.16 5.39%UK INDEX-LINKED TREASURY .125 Due 03/22/2068 Aa2u/AA/AAu

99.1720 2,401.69 570,000.00IT0004545890 122.8531 819,673.27 719,411.91 1.13%BUONI POLIENNALI DEL TES I/L 2.55 Due 09/15/2041 Baa3u/BBB/BBB

107.6000 5,199.75 1,040,000.00IT0004735152 122.3787 1,477,872.29 1,390,092.50 2.18%BUONI POLIENNALI DEL TES 3.1 Due 09/15/2026 Baa3u/BBB/BBB

93.7770 314.34 590,000.00IT0005329344 98.8601 680,592.78 638,113.70 1.00%BUONI POLIENNALI DEL TES .1 Due 05/15/2023 Baa3/BBBu/BBB

107.7137 55.42 43,900,000.00JP1120171DA4 104.6422 435,311.08 419,000.44 0.65%JAPAN GOVT CPI LINKED .1 Due 09/10/2023 A1/A+/A

105.0510 62.99 49,900,000.00JP1120211G41 104.3565 465,154.67 464,493.92 0.72%JAPAN GOVT CPI LINKED .1 Due 03/10/2026 A1/A+/Au

125.6010 1,713.18 760,000.00NZIIBDT003C0 106.0612 629,016.75 623,332.47 0.97%NEW ZEALAND INDEX LINKED 3 Due 09/20/2030 Aaa/AA+/AA+

Total Inflation-Linked $134,704.01 93.97%$59,599,296.87 $60,147,148.57

Total Treasury $134,704.01 93.97%$59,599,296.87 $60,147,148.57

$134,704.01Total Government 93.97%$59,599,296.87 $60,147,148.57

Emerging MarketTreasury

89.4335 38,406.88 25,000,000.00MX0MGO000102 104.9035 1,375,220.46 1,104,063.13 1.78%MEX BONOS DESARR FIX RT 8 Due 11/07/2047 A3/BBB+/BBB+

Total Treasury $38,406.88 1.78%$1,375,220.46 $1,104,063.13

$38,406.88Total Emerging Market 1.78%$1,375,220.46 $1,104,063.13

Foreign ExchangeForward

1.0000 0.00-639,674.17BRLUSD121318 -639,674.17 -639,674.17 -1.00%BRL/USD FFX DUE 121318 Due 12/13/2018 NR/NR/NR

1.0000 0.00 689,388.07BRLUSD121318 689,388.07 689,388.07 1.07%BRL/USD FFX DUE 121318 Due 12/13/2018 NR/NR/NR

3.7291 0.00 2,670,000.00BRLUSD121318CC 639,674.17 715,992.21 1.12%BRL/USD FFX DUE 121318-Cross Due 12/13/2018 NR/NR/NR

3.7291 0.00-2,670,000.00BRLUSD121318CC -689,388.07 -715,992.21 -1.12%BRL/USD FFX DUE 121318-Cross Due 12/13/2018 NR/NR/NR

Page 3 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


1.4108 0.00 910,000.00CADAUD110818 644,236.86 645,020.66 1.01%CAD/AUD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

1.3131 0.00-841,141.21CADAUD110818CC -644,236.86 -640,594.58 -1.00%CAD/AUD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

1.0000 0.00 1,920,166.41CADUSD110818 1,920,166.41 1,920,166.41 2.99%CAD/USD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

1.3131 0.00-2,492,233.91CADUSD110818CC -1,920,166.41 -1,898,030.34 -2.96%CAD/USD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

1.0000 0.00 1,002,944.85JPYUSD110818 1,002,944.85 1,002,944.85 1.56%JPY/USD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

112.7892 0.00-110,756,002.00JPYUSD110818CC -1,002,944.85 -981,973.12 -1.53%JPY/USD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

1.0000 0.00 743,444.29MXNUSD110818 743,444.29 743,444.29 1.16%MXN/USD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

20.2779 0.00-14,000,000.00MXNUSD110818CC -743,444.29 -690,405.41 -1.08%MXN/USD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

1.0000 0.00-1,230,804.43SEKUSD110818 -1,230,804.43 -1,230,804.43 -1.92%SEK/USD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

9.1337 0.00 10,884,151.25SEKUSD110818CC 1,230,804.43 1,191,650.37 1.86%SEK/USD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

1.4108 0.00 20,000.00USDAUD110818 14,181.54 14,176.28 0.02%USD/AUD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

1.4108 0.00-494,557.31USDAUD110818 -363,954.62 -350,549.10 -0.55%USD/AUD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

1.0000 0.00 363,954.62USDAUD110818CC 363,954.62 363,954.62 0.57%USD/AUD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

1.0000 0.00-14,181.54USDAUD110818CC -14,181.54 -14,181.54 -0.02%USD/AUD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR




0.8820 0.00 6,852,670.83USDEUR110818 7,817,299.39 7,769,368.21 12.11%USD/EUR FFX DUE 110818 Due 11/08/2018 NR/NR/NR

1.0000 0.00-7,817,299.39USDEUR110818CC -7,817,299.39 -7,817,299.39 -12.19%USD/EUR FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR



Page 4 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets




0.7824 0.00 1,370,479.34USDGBP110818 1,749,529.18 1,751,747.12 2.73%USD/GBP FFX DUE 110818 Due 11/08/2018 NR/NR/NR

1.0000 0.00-1,749,529.18USDGBP110818CC -1,749,529.18 -1,749,529.18 -2.73%USD/GBP FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR


1.5313 0.00-936,667.44USDNZD110818 -632,157.79 -611,696.17 -0.95%USD/NZD FFX DUE 110818 Due 11/08/2018 NR/NR/NR

1.0000 0.00 632,157.79USDNZD110818CC 632,157.79 632,157.79 0.99%USD/NZD FFX DUE 110818-Cross Due 11/08/2018 NR/NR/NR

Total Forward $0.00 1.08%$0.00 $695,545.03

$0.00Total Foreign Exchange 1.08%$0.00 $695,545.03

Cash & Cash EquivalentsTRADE DATE CASH 12,886.00MARGINCAD 10,184.17 9,812.30 0.00 0.02% 1.2653 1.3133NR/NR/NR


TRADE DATE CASH-12,886.00RESRVBLECAD -10,287.40 -9,812.30 0.00 -0.02% 1.2526 1.3133NR/NR/NR


TRADE DATE CASH 16,279.06AUD_CASH 12,046.44 11,537.78 0.00 0.02% 1.3514 1.4109NR/NR/NR


TRADE DATE CASH 63,088.45CAD_CASH 48,320.20 48,039.94 0.00 0.07% 1.3056 1.3133NR/NR/NR


TRADE DATE CASH 11,686.07EUR_CASH 13,309.84 13,240.90 0.00 0.02% 0.8780 0.8826NR/NR/NR


TRADE DATE CASH 136,313.61GBP_CASH 175,576.85 174,174.65 0.00 0.27% 0.7764 0.7826NR/NR/NR


Page 5 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


TRADE DATE CASH 11,220,345.00JPY_CASH 101,224.10 99,422.67 0.00 0.15% 110.8466 112.8550NR/NR/NR


TRADE DATE CASH 1,030,486.32MXN_CASH 54,334.53 50,885.70 0.00 0.08% 18.9656 20.2510NR/NR/NR


TRADE DATE CASH 29,889.66NZD_CASH 20,122.65 19,517.94 0.00 0.03% 1.4854 1.5314NR/NR/NR


TRADE DATE CASH 16,917.31SEK_CASH 1,889.42 1,850.97 0.00 0.00% 8.9537 9.1397NR/NR/NR


TRADE DATE CASH 1,076,687.95USD_CASH 1,076,687.95 1,076,687.95 0.00 1.68% 1.0000 100.0000NR/NR/NR

0.00-40,250.00 -40,250.00 Unsettled Margin Variation NR/NR/NR


TRADE DATE CASH-595,223.88MARGINEUR -684,726.60 -674,418.10 0.00 -1.05% 0.8693 0.8826NR/NR/NR


0.00 28,314.91 28,314.91 Unsettled Margin Variation NR/NR/NR

TRADE DATE CASH-369,451.12MARGINGBP -491,619.69 -472,065.99 0.00 -0.74% 0.7515 0.7826NR/NR/NR


TRADE DATE CASH-15,619,858.00MARGINJPY -140,600.29 -138,406.43 0.00 -0.22% 111.0941 112.8550NR/NR/NR


TRADE DATE CASH 922,073.06RESRVBLEEUR 1,072,243.54 1,044,754.39 0.00 1.63% 0.8599 0.8826NR/NR/NR


Page 6 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


TRADE DATE CASH 369,451.12RESRVBLEGBP 501,187.68 472,065.99 0.00 0.74% 0.7372 0.7826NR/NR/NR


TRADE DATE CASH 15,619,858.00RESRVBLEJPY 137,064.09 138,406.43 0.00 0.22% 113.9603 112.8550NR/NR/NR


TRADE DATE CASH 162,079.88RESRVBLEUSD 162,079.88 162,079.88 0.00 0.25% 1.0000 1.0000NR/NR/NR


$0.00Total Cash & Cash Equivalents 3.16%$2,059,037.36 $2,027,774.67

$63,974,531.40$63,033,554.69 $173,110.89Total Assets: 100.00%

Total Account Value (Market Value & Accrued Interest) $64,147,642.29

NR: SECURITY NOT RATED BY RATING AGENCY.

Page 7 of 7

33

Global Inflation-Linked Review

34

2019 Outlook

As of 23 Oct 18

Global growth and inflation should moderate

US growth and inflation should moderate

Central bank normalization and communications should increase uncertainty

Trade policy poses substantial risks

Emerging markets, though volatile, should outperform

35

Relative Value - Real Yields

US

Germany

UK

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2012 2013 2014 2015 2016 2017 2018

10-Y

ear

Rea

l Yie

ld (

%)

Source: Bloomberg. As of 22 Oct 18

36

Relative Value - SectorBreakevens

US

Germany

UK

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

2012 2013 2014 2015 2016 2017 2018

10-Y

ear

Bre

akev

en (

%)


37

-150

-100

-50

0

50

100

150

Jan 18 Feb 18 Mar 18 Apr 18 May 18 Jun 18 Jul 18 Aug 18 Sep 18

Inde

x

Citi Economic Surprise Index

United States Eurozone China Japan

Source: Bloomberg. As of 30 Sep 18

Global Growth OutlookAfter evidence of divergent global growth earlier this year, the overall outlook is now improving.

38

0 20 40 60 80 100

China

United States

European Union

Japan

Dependents, as a % of Working-Age Population

Dependency Ratios2050 Forecast 2020 Forecast 2000

Source: World Bank. As of 30 Jun 18

-1

0

1

2

3

4

5

6

2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021

Per

cent

World Real GDP Growth

Source: International Monetary Fund. As of 30 Apr 18

100

150

200

250

300

350

400

1995 2000 2005 2010 2015

Per

cent

of G

DP

Total Debt (Excludes Financials)

China US Japan Eurozone

Source: Bank for International Settlements. As of 31 Dec 17

Global Growth – Improving but Long-Term Headwinds Remain There is optimism that global growth can finally pick up and perhaps be sustainable. However, longer-term growth

prospects face challenging secular headwinds, most importantly high global debt loads, which are much higher than

before the crisis.

-202468

1012141618

1970 1975 1980 1985 1990 1995 2000 2005 2010 2015

Per

cent

Developed Markets Inflation


39

1961-1969

1991-2000

Current Expansion

-10%

0%

10%

20%

30%

40%

50%

60%

1 6 11 16 21 26 31 36 41

Quarters Since Prior Peak

Strength of Economic ExpansionsCumulative Real GDP Growth Since Prior Peak

Source: J.P. Morgan, National Bureau of Economic Research, Bureau of Economic Analysis. As of 31 Mar 18

Is the US Expansion Really “Late Cycle”?

Per

cent

110

0

20

40

60

80

100

120

140

1900 1929 1973 2017

Num

ber

of M

onth

s

Length of US Business Cycles

Expansion Recession

Source: J.P. Morgan, National Bureau of Economic Research, and Bureau of Economic Analysis. As of 31 Aug 18

40

US Growth & Inflation Rising Inflation Requires Rising Nominal GDP Growth

Source: Bloomberg, Haver, Western Asset. As of 30 Sep 18

-4

-2

0

2

4

6

8

10

12

14

16

1961 1966 1971 1976 1981 1986 1991 1996 2001 2006 2011 2016

Per

cent

Nominal GDP - Year on Year Core PCE Inflation

Nominal GDP - 1960-1999 Average Nominal GDP - 2000-2018 Average

41

US InflationWage Inflation Still Very Slow to Emerge

66

68

70

72

74

76

78

80

82

84

1980 1985 1990 1995 2000 2005 2010 2015 2020

Per

cent

Employment to Population RatioPrime Age Workers (25-54 yrs old)

2008 = 80%

2000 = 82%

Source: Federal Reserve. As of 31 Aug 18

Average Hourly Earnings, Production and Nonsupervisory

Workers

Core Personal Consumption Expenditure (PCE) Price

Index0

1

2

3

4

5

6

1985 1990 1995 2000 2005 2010 2015

Per

cent

Cha

nge,

Yea

r-ov

er-Y

ear

Wage and Core PCE Inflation

Source: Federal Reserve. As of 31 Aug 18

42

US Interest RatesMarket Priced above the Federal Reserve Terminal Rate


*5 Year/5 Year Forward Rate

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

2012 2013 2014 2015 2016 2017 2018

Per

cent

US Treasury Forward Rate* Fed Terminal Rate

43

US Yield Curve

-10

-5

0

5

10

15

20

25

30

-100

-50

0

50

100

150

200

250

300

1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018

Percent

Bas

is P

oint

sYield Curve Slope and the Fed's Hiking Cycle

30Yr – 5Yr Spread (left) Federal Funds Target (right)

Source: Bloomberg Barclays. As of 31 Oct 18

44

Eurozone Growth & InflationEuropean Growth Remains Firm and Broad-Based, Inflation to rise gradually as economic slack diminishes

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0

1

2

3

4

5

6

2002 2004 2006 2008 2010 2012 2014 2016 2018

Core C

PI (%

)Yie

lds

(%)

Eurozone: Core Inflation and Bund Yields

30-Year Bund (left)

Core CPI, Year on Year (right)

Source: Bloomberg, Western Asset. As of 31 Oct 18

-0.5

0.0

0.5

1.0

1.5

40

45

50

55

60

65

70

2011 2012 2013 2014 2015 2016 2017 2018

PercentInde

x

Eurozone Composite PMI vs. QoQ GDP

Eurozone QoQ GDP (right)

Eurozone Composite PMI (left)

Source: IHS Markit, Haver, Western Asset. As of 31 Oct 18

45

Eurozone Growth & InflationAn upward trend in Economic Surprise Indices tend to lead to a pick up in economic growth

Source: Citigroup, Western Asset. As of 30 Sep 18.

-100

-50

0

50

100

Sep 13 Mar 14 Sep 14 Mar 15 Sep 15 Mar 16 Sep 16 Mar 17 Sep 17 Mar 18 Sep 18

Inde

x

Eurozone Inflation Surprise Index

-150

-100

-50

0

50

100

150

-600

-400

-200

0

200

400

600

800

Sep 13 Mar 14 Sep 14 Mar 15 Sep 15 Mar 16 Sep 16 Mar 17 Sep 17 Mar 18 Sep 18

IndexInde

xEurozone Economic Momentum Index (left) Eurozone Economic Surprise Index (right)

46

Eurozone: Labour Market and InflationLabour shortages tend to lead wages and core inflation over time

Source: Haver Analytics. As of 30 Sep 18.

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

0

5

10

15

20

25

30

35

40

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Percent

EC

Ser

vice

s an

d M

anuf

actu

ring

Sur

vey

Eurozone: Labour Market and Inflation

Labor Shortage (left)

Eurozone Core Inflation, % Change Year-on-Year (right)

Eurozone Wages, % Change Year-on-Year (right)

47

Eurozone Supply Correlated to Bund YieldsWe anticipate higher Bund Yields as a result of a NCR surplus in 2019

Source: Bloomberg, UBS Research, Western Asset. As of 30 Sep 18.

*Net Cash Requirement = Supply of Eurozone bonds less redemptions, coupons and asset purchases

-400

-300

-200

-100

0

100

2015 2016 2017 2018 2019

Bill

ions

(E

UR

)

Eurozone Net Cash Requirement*

Forecast

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

2015 2016 2017 2018 2019

Per

cent

10 Year Bund Yield

Average Low High

Forecast

48

Global GovernmentsThe Prevalence of Negative Yields remains

Country 1-Year 2-Year 3-Year 4-Year 5-Year 6-Year 7-Year 8-Year 9-Year 10-Year 15-Year 20-Year 30-Year Lowest Credit Rating

Switzerland -0.96 -0.78 -0.71 -0.55 -0.47 -0.35 -0.25 -0.19 -0.11 -0.04 0.30 0.41 0.52 AAA

Germany -0.66 -0.62 -0.51 -0.36 -0.19 -0.09 0.02 0.15 0.26 0.39 0.66 0.81 1.02 AAA

Austria -0.65 -0.59 -0.45 -0.23 -0.09 0.08 0.24 0.41 0.50 0.59 1.04 1.10 1.39 AA+

Japan -0.14 -0.12 -0.11 -0.10 -0.08 -0.05 -0.01 0.03 0.07 0.13 0.37 0.65 0.87 A

Sweden -0.44 -0.15 0.08 0.26 0.44 0.61 1.00 1.29 AAA

Netherlands -0.68 -0.52 -0.34 -0.16 0.00 0.14 0.27 0.41 0.52 0.75 0.84 1.06 AAA

Finland -0.63 -0.55 -0.48 -0.22 -0.06 0.02 0.26 0.36 0.53 0.64 0.97 1.23 AA+

Denmark -0.60 -0.14 0.09 0.33 0.79 AAA

Belgium -0.62 -0.54 -0.39 -0.21 0.03 0.13 0.31 0.49 0.65 0.78 1.18 1.45 1.71 AA-

France -0.62 -0.44 -0.26 -0.10 0.09 0.16 0.33 0.47 0.57 0.75 1.15 1.25 1.62 AA

Ireland -0.51 -0.47 -0.14 -0.03 0.23 0.45 0.65 0.95 1.43 1.59 1.76 A+

Spain -0.37 -0.13 -0.03 0.30 0.54 0.82 1.05 1.25 1.42 1.55 2.04 2.16 2.66 BBB

Italy 0.53 1.04 1.62 2.17 2.47 2.91 3.11 3.03 3.24 3.43 3.59 3.81 3.96 BBB+

United Kingdom 0.75 0.74 0.80 0.91 1.01 1.09 1.15 1.23 1.61 1.74 1.89 AA

United States 2.65 2.87 2.92 2.97 3.06 3.14 3.39 AA+

Norway 1.25 1.53 1.62 1.73 1.81 1.87 1.93 AAA

Poland 1.23 1.54 1.83 2.19 2.46 2.87 3.03 3.13 3.21 BBB+

Singapore 1.92 2.04 2.28 2.50 2.79 2.83 2.93 AAA

South Korea 1.79 1.92 2.07 AA-

China 2.81 3.07 3.16 3.31 3.33 3.50 3.52 4.06 A+

Malaysia 3.65 3.80 4.05 4.08 4.58 4.80 4.94 A-

Mexico 8.55 8.59 8.69 8.68 8.71 8.74 8.80 8.86 9.05 9.06 BBB+

Indonesia 6.79 7.42 8.04 8.13 8.28 8.45 8.66 8.57 8.61 8.50 8.76 8.97 9.26 BBB+

South Africa 6.53 7.78 8.65 9.35 10.02 10.18 10.26 BB


49

Actual Rates

UK Bank RateMarket Expected Rates

as of 30 Sep 18

-1012345678

2008 2010 2012 2014 2016 2018 2020

3-M

onth

GB

P L

IBO

R

UK Interest Rates

-8

-4

0

4

8

12

2010 2011 2012 2013 2014 2015 2016 2017 2018

Yea

r-ov

er-Y

ear

(%)

Inflation and Import Prices

CPI Import Prices

-3

-2

-1

0

1

2

3

4

5

2010 2011 2012 2013 2014 2015 2016 2017 2018

Per

cent

GDP Distribution

Household Consumption Government Spending

Gross Capital Formation Trade Balance

Other Total GDP YoY Growth

UK Growth and InflationBrexit uncertainty and the waning impact of sterling’s depreciation on inflation will encourage the Bank of England to

remain cautious in reducing policy accommodation

Source: Bloomberg, ONS, IMF, Western Asset. As of 30 Sep18

Source: Bank of England. As of 30 Sep 18Source: Bank of England, Bloomberg, ICE BofA Merrill Lynch, Western Asset. As of 30 Sep 18

Source: Haver Analytics, Western Asset. As of 30 Jun 18

70

75

80

85

90

95

100

2010 2011 2012 2013 2014 2015 2016 2017 2018

Trade-Weighted GBP

50

JapanThe current fiscal and monetary policy mix supports moderate growth and higher inflation expectations

Core CPI (YOY, excluding fresh foods, energy and

effects of sales tax)

Core CPI (YOY, excluding fresh food and tax hike

effects)

Japan Unemployment

-2

-1

0

1

2

3

4

5

2012 2013 2014 2015 2016 2017 2018

Per

cent

Japan Inflation

Source: Datastream, Western Asset. As of 30 Sep 18*Unemployment rate as of 31 Aug 18

51

2

3

4

5

Dec 15 Jun 16 Dec 16 Jun 17 Dec 17 Jun 18

Per

cent

Shanghai Interbank Offered Rate


ChinaChina has been able to support growth with a tremendous amount of stimulus

6.0

6.2

6.4

6.6

6.8

7.0

Dec 15 Jun 16 Dec 16 Jun 17 Dec 17 Jun 18

Per

cent

Chinese Renmimbi Spot Rate


2nd-Tier City

1st-Tier City

5

15

25

35

45

55

2010 2011 2012 2013 2014 2015 2016 2017 2018

3-M

onth

Rol

ling

Ave

rage

(t

hous

ands

)

Average Residential Price (Yuan/M²)

Source: Bank for International Settlements, Bloomberg. As of 30 Sep 18

Manufacturing PMI

Services PMI

48

50

52

54

56

58

60

2011 2012 2013 2014 2015 2016 2017 2018

Per

cent

Broad-Based Recovery in Economic Activity

Source: China Federation of Logistics and Purchasing. As of 30 Sep 18Note: 3-Month Moving Average

Index=50

52

Emerging MarketsEmerging markets valuations look attractive both on a historical basis and relative to developed markets.

300

350

400

450

500

550

600

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Bas

is P

oint

s

Spread Between Local Currency EM and DM Sovereign Yields

Source: J.P. Morgan. As of 31 Oct 18

70

80

90

100

110

120

130

2013 2014 2015 2016 2017 2018

Inde

x Le

vels

J.P. Morgan GBI-EM Global Diversified Index FX Return

Source: J.P. Morgan, Bloomberg. As of 12 Nov 18

53

3

4

5

6

7

8

9

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Per

cent

Emerging Markets CPI (Percent Change Year to Year, Not Seasonally Adjusted, 2010=100)

Source: Haver. As of 31 Aug 18

Emerging Markets Inflation Remains Remarkably Subdued

54

Emerging Market Returns

-15

-10

-5

0

5

10

15

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Per

cent

Quarterly Returns – EM FX & Model

Actual EM FX Returns Fitted Returns Series

Source: Bloomberg, J.P. Morgan, Western Asset. As of 30 Jun 18

Model Inputs

Global Growth

Commodity Prices

Developed Market Policy Rates

55

Corporate BondsCorporate spreads have widened over the year to date.

UK

US

Euro

50

75

100

125

150

175

200

225

250

2013 2014 2015 2016 2017 2018

Bas

is P

oint

s

Corporate Bonds Spreads

Source: Bloomberg Barclays. As of 22 Nov 18

UK

US

Euro

0

1

2

3

4

5

2013 2014 2015 2016 2017 2018P

erce

nt

Corporate Bonds Yields

Source: Bloomberg Barclays. As of 22 Nov 18

56

70

90

110

130

150

170

190

210

2012 2013 2014 2015 2016 2017 2018

Bas

is P

oint

s

Bloomberg Barclays U.S. Credit Index Option-Adjusted Spread

Source: Bloomberg Barclays. As of 30 Sep 18

Top Sector Overweights

US Credit: +100 bps

Sub-banking: +148 bps

Metals: +157 bps

Energy: +124 bps

Investment-Grade CreditFocus on industries that are delevering. Sector and security selection key at tighter valuations in 2018. Avoid the

underperformers.

April 13

57

Trade Weighted USDBetter global growth suggests lower US dollar.

85

90

95

100

105

110

115

-6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30

Inde

x (M

onth

of F

irst H

ike

= 1

00)

Months Relative to First Hike

Trade-Weighted USD During Fed Tightening Cycles (by starting month):

Mar 83 Feb 88 Feb 94

Jun 99 Jun 04 Dec 15

Source: Goldman SachsNote: Chart shows USD performance until start of Fed easing, except for 2004-06 cycle, where chart ends six months after last hike.

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

Quartile 1 Quartile 2 Quartile 3 Quartile 4T

rade

-Wei

ghte

d U

SD

Ret

urn

(Sha

rpe

Rat

io)

Current Leading Activity Indicator Signal LookbackJune 1998 – June 2018

1 Month 3-Month Average

Source: Goldman Sachs. As of 10 Jul 18

Weaker StrongerGlobal

Growth

58

2019 Outlook

As of 23 Oct 18

Global growth and inflation should moderate

US growth and inflation should moderate

Central bank normalization and communications should increase uncertainty

Trade policy poses substantial risks

Emerging markets, though volatile, should outperform

59

Appendix

60

Global InflationGlobal inflation ranges and pricing.

Country10yr Avg Inflation

(%)

10yr High

Inflation (%)

10yr Low Inflation

(%)

Current Inflation

(%)

Consensus

Inflation 2018 (%)

Consensus

Inflation 2019(%)

Current 10yr BE

(%)

US 1.54 3.81 -1.96 2.27 2.50 2.40 2.11

Canada 1.57 3.72 -0.95 2.37 2.40 2.10 1.78

Euro 1.26 3.17 -0.59 2.08 1.80 1.70 1.42

France 1.01 2.69 -0.70 2.20 2.10 1.70 1.48

Germany 1.22 2.50 -0.40 2.19 1.80 1.80 1.35

Italy 1.23 3.42 -0.60 1.38 1.30 1.40 1.15

Sweden 0.90 4.03 -1.53 2.33 1.90 2.10 2.04

UK RPI 2.75 5.59 -1.57 3.27 3.40 3.10 3.13

Australia 2.20 3.70 1.02 2.08 2.00 2.20 1.76

Japan 0.30 3.64 -2.53 1.20 0.90 1.10 0.49

China 2.25 6.69 -1.78 2.31 2.10 2.30 n/a

Source: Bloomberg, Haver, Western Asset. As of 30 Sep 18

61

Biographies

Note: Western Asset experience reflects current position title and hire date.

FRANCES L. COOMBES19 Years Experience

– Western Asset Management Company – Client Service Executive, 1998–

– Columbia University, School of International and Public Affairs, M.P.P.

– University of California, Berkeley, B.A.

FREDERICK R. MARKI35 Years' Experience

– Western Asset Management Company, LLC – Portfolio Manager, 2005-

– Citigroup Asset Management – Senior Portfolio Mgr., 1991-2005

– UBS – Portfolio Manager, 1989-1991

– Merrill Lynch – Vice President, 1985-1989

– Federal Reserve Bank of NY – Assistant Economist, 1983-1985

– Massachusetts Institute of Technology, B.S.

– Chartered Financial Analyst

62

Key Contacts

Frances L. Coombes

Client Service Executive

385 E. Colorado Blvd.

Pasadena, CA 91101

Ph: 626-844-9557

Fax: 626-817-4136

[email protected]

James Raffini

Client Service Associate

385 E. Colorado Blvd.

Pasadena, CA 91101

Ph: 626-817-9458

Fax: 626-817-4136

[email protected]

Richard Booth

Portfolio Manager

Western Asset Management Company Ltd

10 Exchange Square, Primrose Street

London EC2A 2EN

Ph: +44 207 422 3316

[email protected]

mailto:[email protected]



63

Fee Schedule

64

A. The Board shall pay the Contractor an annual flat fee of 17.5 basis points calculated as follows:

The basis would be the aggregated average market value of the total managed assets in the Accounts as valued by the Custodian

and reconciled by the Contractor hereunder as of the last business day of each calendar month.

B. The Contractor warrants that the annual fee set forth above will not result in payment by the Board of fees

exceeding those that would be payable for management of assets equal in value to the Accounts by any of

the Contractor’s other clients for whom it provides the same or similar services. In the event that the

Contractor enters into a future agreement with another client to provide the same or similar services that

would produce a lower fee for investing assets equal in value to the Accounts, said lower fee shall

automatically apply to this Contract and shall supersede the annual fee set forth above.

C. The contractor shall bill 1/4th of the fees above every quarter and in arrears.

D. For the initial quarter of service hereunder, the fee will be prorated beginning with the first day that funds are

made available for investment. In the event of termination, expiration, and/or resignation of this Contract, the

fee shall be prorated to the date of such termination, expiration, and/or resignation.

E. The annual fees shall be the sole compensation paid to the Contractor by the Board for the services provided

and expenses incurred by the Contractor hereunder. No additional amounts shall be due the Contractor for

overhead, out-of-pocket or other expenses incurred in connection with this agreement.

Fee Schedule

65

Glossary of Investment Terms

66

Treasury Inflation Protected Securities (TIPS)

Treasury inflation protected securities (TIPS) refer to a treasury security that is indexed to inflation in order to

protect investors from the negative effects of inflation. TIPS are considered an extremely low-risk investment since

they are backed by the U.S. government and because the par value rises with inflation, as measured by the

Consumer Price Index, while the interest rate remains fixed.

Real Yield to Maturity

The nominal return an investor would require on a normal bond that would make the real return equal to that of the

inflation-indexed bond, assuming a constant inflation rate.

Nominal Yield to Maturity

The yield to maturity is the internal rate of return on the bond's cash flows: the purchase price, the coupons

received and the principal at maturity.

Break Even Inflation Rate

That average rate of actual inflation which if experienced, would make the return on the TIP identical to that on a

similar maturity Nominal Bond.

Forward Break Even Inflation Rate

That future/forward average rate of actual inflation which if experienced, would make the return on the TIP

identical to that on a similar maturity Nominal Bond

Glossary of Investment Terms

Source: http://en.wikipedia.org/wiki/Yield_(finance); Investopedia; Bloomberg Financial Definition; Western Asset

67

The clients listed are invested in a wide range of mandates, and are located in a variety of countries or regions of the United States.

The clients listed in the Corporate company type have portfolios with an AUM of $32(M) or greater.

The clients listed in the Public company type have portfolios with an AUM of $65(M) or greater.

The clients listed in the Multi-Employer / Union company type have portfolios with an AUM of $17(M) or greater.

The clients listed in the Healthcare company type have portfolios with an AUM of $8(M) or greater.

The clients listed in the Eleemosynary company type have portfolios with an AUM of $10(M) or greater.

The clients listed in the Insurance company type have portfolios with an AUM of $18(M) or greater.

The clients listed in the Sub-Advisory company type have portfolios with an AUM of $15(M) or greater.

Clients that have advised Western Asset of account terminations have been excluded from the lists.

Representative Client List Disclosure

As of 30 Sep 18

68

Risk Disclosure

© Western Asset Management Company, LLC 2018. This publication is the property of Western Asset and is intended for the sole use of its clients,

consultants, and other intended recipients. It should not be forwarded to any other person. Contents herein should be treated as confidential and proprietary

information. This material may not be reproduced or used in any form or medium without express written permission.

Past results are not indicative of future investment results. This publication is for informational purposes only and reflects the current opinions of Western

Asset. Information contained herein is believed to be accurate, but cannot be guaranteed. Opinions represented are not intended as an offer or solicitation

with respect to the purchase or sale of any security and are subject to change without notice. Statements in this material should not be considered investment

advice. Employees and/or clients of Western Asset may have a position in the securities mentioned. This publication has been prepared without taking into

account your objectives, financial situation or needs. Before acting on this information, you should consider its appropriateness having regard to your

objectives, financial situation or needs. It is your responsibility to be aware of and observe the applicable laws and regulations of your country of residence.

Western Asset Management Company Distribuidora de Títulos e Valores Mobiliários Limitada is authorised and regulated by Comissão de Valores

Mobiliários and Banco Central do Brasil. Western Asset Management Company Pty Ltd ABN 41 117 767 923 is the holder of the Australian Financial

Services Licence 303160. Western Asset Management Company Pte. Ltd. Co. Reg. No. 200007692R is a holder of a Capital Markets Services Licence for

fund management and regulated by the Monetary Authority of Singapore. Western Asset Management Company Ltd is a registered Financial Instruments

Business Operator and regulated by the Financial Services Agency of Japan. Western Asset Management Company Limited is authorised and regulated by

the Financial Conduct Authority (“FCA”). This communication is intended for distribution to Professional Clients only if deemed to be a financial promotion in

the UK and EEA countries as defined by the FCA or MiFID II rules.

december 12, 2018 - retirement · 12/12/2018 · macro / derivatives global investment strategy...

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