Credit-Institutional-Capabilities_1Q20

Imperial County E.R.S.Performance/Firm Update

February 17, 2021

Ducenta Squared Asset Management I February 17, 2021 ⓒ 2021 Ducenta Squared Asset Management

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• Ducenta Squared Asset Management ("DSAM") acquired the Tortoise Credit platform via an asset purchase agreement that closed on July 17, 2020

• DSAM is a minority-owned firm that was established for this transaction

• Continuity of portfolio management team - majority of the portfolio management team transitionedto DSAM

• Team-based investment process and philosophy that have been used successfully for over 30 yearsremain unchanged

• Seasoned and experienced leadership and portfolio management team with an average of 24 years of investment experience

• Managed fixed income assets through multiple economic and financial cycles, including successfully navigating the more recent volatile market years of 2008, 2014 – 2016, 2018 and 2020

Ducenta Squared Asset Management Credit Platform5. A.

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Executive CommitteeD. Kang, CEO

B. Kim, CFA, PresidentC. Strean, CFA, EVP & CDO

J. Brothers, CFA, CIO

Head HY / Loan, Sr. PMJohn

Heitkemper, CFA

Head of Research

John Wlodek

Chief Investment OfficerJeff Brothers, CFA

Investment Operations

Head of PW, Sr. PM

Christian Bleszinski, CFA

Head of IG, Sr. PM

Jason Sharpe, CFA

Assoc. PM,Trader

Gordon Drobny

Sr. ResearchAndrew Kim,

CFA

ResearchAdam Patros,

CFA

Operations Manager

Ron Corpuz

Client ServicesEmily Etue

Chief Compliance OfficerJason Rall, IACCP

Business Dev.

Client PMMark Kavolius,

CIMA

Institutional Private Wealth Credit Research

Jr. ResearchHovik Ardjian

OperationsGerardo Torres

PMAdam Patros,

CFA

TraderGordon Drobny

Head of Securitized Products,

Sr. PMMike Sanchez

DSAM – Org Chart

Sr. AdvisorEmilio T. Gonzalez, PhD

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Jason Sharpe, CFA Sr. PM

23 yrs experience

John Heitkemper, CFASr. PM

22 yrs experience

John WlodekHead of Research36 yrs experience

Mike SanchezSr. PM

32 yrs experience

Corporate Credit Private Wealth

Jeff Brothers, CFACIO

34 yrs experience

Andrew Kim, CFASr. Research

24 yrs experience

Adam Patros, CFAResearch

25 yrs experience

Investment Grade

Credit Research

Hovik ArdjianJr. Research

2 yrs experience

Securitized Product

High Yield / Lev. Loan

Gordon DrobnyTrader

8 yrs experience

Christian Bleszinski, CFA

Sr. PM27 yrs experience

Gordon DrobnyAssoc. PM

8 yrs experience

Investment Policy & Strategy Committee

Jeff Brothers, CFAChief Investment Officer

34 yrs experience

John Heitkemper, CFA

Sr. PM22 yrs experience

Brian Kim, CFAPresident

26 yrs experience

Adam Patros. CFAPM

25 yrs experience

DSAM – Investment Team

Christian Bleszinski, CFA

Sr. PM27 yrs experience

Mike SanchezSr. PM

32 yrs experience

Global Rates & Non $

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Returns less than one year are not annualized. Portfolio and index returns do not reflect the effect of advisory fees. Returns are presented in U.S. dollars. Please see important disclosures at end of presentation.

1.81

9.31

6.48

5.83

6.56

1.73

9.00

6.17

5.53

6.26

0.67

7.51

5.34

4.44

5.51

0.00

2.00

4.00

6.00

8.00

10.00

Quarter to date 1 year 3 years 5 year Since inception

Total

retur

n (%

)

Portfolio (gross of fees) Portfolio (net) Benchmark

Performance (as of December 31, 2020)5. A.

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Characteristics

Imperial Benchmark

Average quality A+ AA

Average coupon 2.92% 2.76%

Duration (yrs) 6.87 6.22

Average life (yrs) 9.00 8.18

Yield to maturity 1.89% 1.14%

Rating allocation (%)

51.8

5.510.3

21.9

4.4 3.60.1 2.5

70.1

3.1

12.0 14.8

0

20

40

60

80

AAA AA A

BBB BB

B/be

low

NR

Caa

sh/e

quiv

Imperial Benchmark

Sector allocation (%)

21.6

5.6

23.6

2.96.4

34.1

3.4 2.4

37.0

1.60.0

26.8

2.20.3

32.0

0

10

20

30

40

50

Trea

sury

U.S

. Age

ncy

Hig

h Yi

eld

MBS

CM

BS ABS

Cre

dit

Bank

Loa

ns

Cas

h/Eq

uiv

Imperial Benchmark

Positive outlook for global recovery driven by fiscal stimulus, vaccines, supportive monetary policy, and COVID reopening. Favorable sector technicals offset by stretched valuations

Yield curve, duration and key themes Quality themes Sector/industry themes

As of 12/31/2020. Bond quality ratings reflect the middle rating assigned by S&P, Moody’s and Fitch. In instances where a rating is unavailable from all three agencies, the lowest rating assigned by any one of these agencies is used. Should this process result in the selection of a rating issued by an agency other than S&P, the rating is converted to the S&P equivalent. Due to rounding, totals may not equal 100%. Please see important disclosures at end of presentation.

Portfolio Positioning (as of 12/31/20)

IMPERIAL COUNTY EMPLOYEES’ RETIREMENT SYSTEM vs. BLOOMBERG BARCLAYS U.S. AGGREGATE

• Return to neutral duration due to:– Policy rates to remain lower for longer– Deflationary pressures persist with economic

slack– Record Treasury supply to fund growing

budget deficit– Continued Federal Reserve QE buying

• Expect gradual steepening of yield curve

• Maintain overweight to BBB credit on better relative value

• Take profits on fully valued higher quality investment grade credit

• Selective opportunities in lower rated securitized products with COVID recovery

• Lower investment grade credit allocation to neutral• Overweight autos, energy, midstream, and telecom

and underweight rails, technology and retail• Underweight MBS on full valuations and elevated

refinancing risk; favor lower coupon MBS• Overweight ABS as attractive short maturity yield• Neutral CMBS on deterioration CRE fundamentals for

hospitality, retail and office properties

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Appendix

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DSAM – BiosDavid Kang, Chairman and CEOMr. Kang is Chairman and CEO and is a member of the Executive Committee, leading and driving the strategic vision of the firm globally. He is Managing Partner of RSMD Investco LLC, the parent company of Ducenta Squared Asset Management. Mr. Kang has 20+ years experience in the financial markets, investments, and commercial real estate, having managed over $3 billion AUM. He began his career in private wealth at Morgan Stanley Dean Witter. Prior to founding RSMD LLC, Mr. Kang ran his family business while creating and managing his family office. Mr. Kang received his BS at University of California, Irvine Pre-Med and his executive MBA also at University of California, Irvine. He is currently an Advisory Board Member at Merage School of Business Center for Real Estate at University of California, Irvine. Mr. Kang has published in Journal of Medicine and Genetics v.12, No.4.

Brian Kim, CFA, PresidentMr. Kim serves as President and is a member of the Executive Committee. Mr. Kim is responsible managing the Firm, collaborating with senior investment professionals on investment strategy and helping drive the strategic vision. Mr. Kim is a partner at RSMD Investco LLC, the parent company of Ducenta Squared Asset Management, responsible for strategic initiatives and acquisitions and for credit and CRE investments. Mr. Kim has over 26 years of fixed income experience with expertise in derivatives, structured credit, liability management and debt restructuring. Prior to joining RSMD, he worked at Greylock Capital Management where he was responsible for investments in Greece and non-performing loans. Prior to Greylock, Mr. Kim was a senior advisor to the Minister of Finance in Greece in 2015. Previously, Mr. Kim was a Managing Director at Lehman Brothers International Europe in London where he helped build the capital markets and derivatives group. Prior to Lehman, he held various positions in derivatives origination and liability management at HSBC, JPMorgan and Bear Stearns. Mr. Kim received his Bachelor of Arts in History from Williams College and is a CFA® charterholder.

Chad Strean, CFAMr. Strean serves as Executive Vice President and Chief Development Officer and is on the Executive Committee of the firm. Mr. Strean is responsible for strategic initiatives and business development. Mr. Strean has spent his career in asset management and banking holding senior positions at Barings, Wells Fargo, and Bear, Stearns & Co. He has particular expertise in derivatives and structured finance. He most recently worked in the Office of the CEO at Barings where he focused on strategic initiatives and acquisitions. Prior to Barings, Mr. Strean was a Managing Director at Wells Fargo in Charlotte where he helped build the Credit Derivatives group. Prior to Wells Fargo, he was a Vice President in the Fixed Income Derivatives group at Bear Stearns. Mr. Strean has also published various research articles on high yield investments, derivatives, and pension portfolio management. Mr. Strean received his Bachelor of Science in Commerce from the University of Virginia and his M.B.A. from the University of North Carolina at Chapel Hill. He is a CFA® charterholder.

Jeffrey Brothers, CFAMr. Brothers serves as Chief Investment Officer, leads the Investment Policy and Strategy Committee and is a member of the Executive Committee of the firm. Mr. Brothers joined Bradford & Marzec, now part of Ducenta Squared Asset Management, in 1994 and has 34 years of investment industry experience. Mr. Brothers develops and performs research and implements investment strategies for the mortgage-backed, asset-backed, commercial mortgage-backed, U.S. agency and treasury inflation-protected securities sectors of the market. During his tenure with Bradford & Marzec, he managed the domestic trading desk, analyzed structured products and developed quantitative tools. Prior to joining Bradford & Marzec, Mr. Brothers worked for Wilshire Associates as a member of the institutional fixed income services group. At Wilshire, his primary responsibilities included assisting fixed income clients with a variety of portfolio and security analysis including, performance attribution, benchmark risk comparisons, scenario analysis and risk management. Mr. Brothers began his career at Merrill Lynch Capital Markets in the institutional fixed income sales department, specializing in marketing mortgage-backed, U.S. government and money market securities to institutional asset managers. Mr. Brothers earned a Bachelor of Arts degree in economics from the University of California at Los Angeles and Master of Business Administration degree with an emphasis in investments from the University of Southern California. He is a CFA® charterholder and a member of the Los Angeles Society of Financial Analysts.

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Emilio T. Gonzalez PhD, Senior Advisor to Executive CommitteeDr. Gonzalez serves as Senior Advisor to DSAM's ExCo on all local, state, national and international matters as it pertains to developing diversity initiatives. Prior to DSAM, Dr. Gonzalez served as City Manager of the City of Miami, where he led the City’s 4,400 employees and was responsible for its $1.7bn operating and capital budgets. During his leadership, Miami experienced upgraded municipality credit ratings, $3bn in additional infrastructure investment, and settled long-standing municipal union contract issues. Dr. Gonzalez brings consistent leadership and experience stemming from serving as Director and CEO of Miami International Airport (MIA), Undersecretary of US Citizenship and Immigration Service with the department of Homeland Security and Director for Western hemisphere Affairs at the National Security Council at the White House and is a Retired Army Intelligence Officer. He holds a Ph.D. in International Relations from the University of Miami, a Master's degree in National Security and Strategic Studies from the United Sates Navel War College, a Master's degree from Tulane University in Latin American Studies and a Bachelor's degree in International Studies from the University of South Florida. Dr. Gonzalez is active in his home state of Florida where he served on University of South Florida's Advisory Council and Florida's City National Bank Board of Directors.

John Heitkemper, CFAMr. Heitkemper is Senior Portfolio Manager – Head of High Yield and Leverage Loans and is a member of the Investment Policy & Strategy Committee. He leads the leveraged loan team and is responsible for the of investment strategies including the high yield and bank loan portfolios, CLOs and opportunistic core plus portfolios. Mr. Heitkemper joined Bradford & Marzec, now part of Ducenta Squared Asset Management, initially in 2004 and again in 2011. Mr. Heitkemper has more than 20 years of investment industry experience. Prior to joining Bradford & Marzec, he held investment grade and high yield fixed income research positions with Macquarie Group/Four Corners, Franklin Templeton Investments and Hotchkis & Wiley. He began his career as a research assistant in the International Finance division within the Board of Governors of the Federal Reserve System in Washington, D.C. Mr. Heitkemper holds a Bachelor of Arts degree in economics from Pomona College and a Master of Business Administration with concentrations in finance and economics from the University of Chicago Booth School of Business where he graduated with honors and was nominated to Beta Gamma Sigma. He is a CFA® charterholder.

Jason Sharpe, CFAMr. Sharpe is Senior Portfolio Manager – Head of Investment Grade, responsible for managing and trading investment grade credit and U.S. rate strategies for the firm’s institutional portfolios. Mr. Sharpe has more than 20 years of investment industry experience, which includes ten years at Western Asset Management Company (WAMCO) where he was responsible for trading investment grade cash and credit default swaps, formulating and implementing investment strategies, and portfolio analysis and structuring. Previous to WAMCO, he provided pricing and operational support to the high yield and convertible portfolio managers at Oaktree Capital Management and the Capital Group Companies. Mr. Sharpe holds a Bachelor of Science degree in finance from Biola University. He is a CFA® charterholder and member of the CFA Society Los Angeles.

Mike SanchezMr. Sanchez is Senior Portfolio Manager – Head of Securitized Products, responsible for managing and trading of residential mortgage, commercial mortgage and asset-backed securities. Mr. Sanchez has more than 30 years of investment industry experience including most recently as director of fixed income trading at CastleOakSecurities. Prior to that, he was vice president, institutional mortgage/ABS sales at RBC Capital, senior vice president and proprietary trader at Countrywide Securities, portfolio manager at Hotchkis and Wiley and senior vice president/portfolio manager at Provident Investment Counsel. He was also portfolio manager/analyst for Arco Investment Management Co. Mr. Sanchez's portfolio management experience includes oversight and investment of both structured products and credit sectors, including investment grade credit and municipal securities. Mr. Sanchez holds a Bachelor of Arts degree from Harvey Mudd College and a Masters of Business Administration from University of Chicago Booth School of Business.

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Christian A. Bleszinski, CFAMr. Bleszinski is Senior Portfolio Manager – Head of Private Wealth. He is responsible for managing the implementation of the firm’s investment strategy within the private wealth channel, including trading and portfolio management. He also is responsible for providing to the portfolio management team quantitative portfolio analysis, including portfolio characteristics, risk control measurement, portfolio duration and attribution analysis. Mr. Bleszinski joined Bradford & Marzec, now part of DucentaSquared Asset Management, in 2003. During his tenure with Bradford & Marzec, he has also served as part of the structured products team, analyzing and trading asset-backed securities as well as the risk management team, developing risk tools used by the firm as a whole. Additionally, he worked closely with the information technology team in developing several tools used in trading and portfolio management. Mr. Bleszinski has more than 27 years of investment industry experience including prior affiliation with Capital Group Companies, Western Asset Management Company (WAMCO) and Los Angeles County Employees Retirement Association. At WAMCO, Mr. Bleszinski was part of the analytics group, responsible for portfolio analytics and risk management. Mr. Bleszinski holds a Bachelor of Arts degree in economics from California State University, Fullerton and a Master of Business Administration degree from California State Polytechnic University, Pomona. He is a CFA® charterholder.

Gordon DrobnyMr. Drobny is Associate Portfolio Manager in the Private Wealth team and responsible for trading and co-managing strategies within the private wealth management group. Mr. Droby is also a trader in the Institutional team, responsible for trading high yield and bank loans. Mr. Drobny joined Bradford & Marzec, now part of DucentaSquared Asset Management, in 2013. Mr. Drobny has more than eight years of investment experience, including prior affiliation with UBS Private Wealth Management where he interned. Mr. Drobny earned a Bachelor of Science in finance from the University of Southern California in 2013 and is a CFA Level II candidate.

John Wlodek, MBAMr. Wlodek serves as Head of Research and is responsible for maintaining the firm’s credit research process and supervising the credit research analyst team. He is also responsible for conducting credit analysis and investment recommendations across various corporate industries and issuers within the leveraged loan, high yield and investment grade markets. Mr. Wlodek joined Bradford & Marzec, now part of Ducenta Squared Asset Management, in 2003. Previously, Mr. Wlodek worked as a senior vice president with Imperial Capital, where he gained significant experience in the research and trading of high yield bonds, bank loans and special situation investments, and the formulation of investment recommendations regarding distressed and bankrupt issuers. He also has experience as an M&A advisor with Barrington Associates, a banker with the Industrial Bank of Japan, and a Certified Public Accountant (CPA) with Deloitte Haskins & Sells and McGladrey, Hendrickson & Pullen. Mr. Wlodek's previous industry sector exposure as an M&A advisor, banker and CPA included aerospace, airlines, business services, consumer products, food and beverage, hospitality and leisure, paper and forest products, real estate, retailing, technology, and telecommunications. Mr. Wlodek earned a Bachelor of Science in accounting from Indiana University and a Masters of Business Administration from University of California, Los Angeles. He is also a CPA.

Andrew Kim, CFAMr. Kim is a Senior Research Analyst and is responsible for conducting credit analysis and investment recommendations across various corporate industries and issuers within the leveraged loan, high yield and investment grade markets. Mr. Kim joined Bradford & Marzec, now part of Ducenta Squared Asset Management, in 2016. Previously, Mr. Kim was a high yield analyst at First Western Capital Management and a director in the credit strategies group at Levine Leichtman Capital Partners, where he invested in distressed debt, high yield bonds and leveraged loans. Mr. Kim has also worked at Macquarie/Giuliani Capital Advisors, Raymond James/Howe Barnes Hoefer & Arnett, AEGON/Transamerica Investment Management and BNY/Mellon Bank. Mr. Kim holds a Bachelor of Science degree in finance and a Master of Business Administration degree from the University of Southern California. He is a CFA® charterholder.

DSAM – Bios5. A.

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Adam Patros, CFAMr. Patros is an investment grade Portfolio Manager and Research Analyst. He is responsible for conducting credit analysis and investment recommendations across various corporate industries and issuers within the leveraged loan, high yield and investment grade markets. Mr. Patros joined Bradford & Marzec, now part of DucentaSquared Asset Management, in 2013. Mr. Patros has more than 20 years of investment industry experience. Previously, Mr. Patros was senior associate at Wilshire Associates. His responsibilities as lead fixed income analyst included conducting on-site manager due diligence meetings, running various investment analytics and making written recommendations regarding prospective managers to the investment committee. Prior to that, he worked for Western Asset Management Company (WAMCO) for more than ten years, most recently as research analyst. He was responsible for research and analysis of structured products, building and application of advanced excel models and management of specialty bond portfolios. He also worked at Pacific Investment Management Company (PIMCO) and Pacific Life Insurance. Mr. Patros holds a Bachelor of Science degree in economics from the University of Wisconsin-Madison and a Master of Business Administration in finance from the University of Southern California. He is a CFA® charterholder.

Hovhannes (Hovik) ArdjianMr. Ardjian is a Junior Research Analyst and is responsible for conducting credit analysis and investment recommendations across various corporate industries and issuers within the leveraged loan, high yield and investment grade markets. Previously, he served as an analyst intern with CREO | Montminy & Co. and Great Road Capital, Inc. Mr. Ardjian earned a Bachelor of Science in finance with an emphasis in financial analysis and a minor in economics from California State University Northridge.

DSAM – Bios5. A.

www.ducentasquared.com

5. A.