INVESTMENT MANAGER SUMMARY · INVESTMENT MANAGER SUMMARY MANAGEMENT Firm Name Western Asset Management Company Manager Tenure with Fund 9.7 years Investment Strategy/Vehicle Global

26

Item No. 26: Annual Presentation by Western Asset Management Company – Global Inflation Linked Securities Manager (December 18, 2019 Special Retirement Board Meeting) ____________________________________________________________________________

INVESTMENT MANAGER SUMMARY

MANAGEMENT Firm Name Western Asset Management Company Manager Tenure with Fund 9.7 years Investment Strategy/Vehicle Global Inflation Linked Securities Contract Expiration 3/31/2022

ASSETS Total Firm AUM (as of 09/30/19) $452.9 Billion Total Firm Assets in Strategy (as of 09/30/19) $3.7 Billion Total Assets Managed for WPERP (as of 10/31/19)

RP - $419.0 Million HP - $70.1 Million

PERFORMANCE As of 10/31/2019 1-Year 3-Year 5-Year Inception*

WAMCO GILS (gross) 9.46% 3.32% 4.25% 4.26% WAMCO GILS (est. net) 9.27% 3.14% 4.07% 4.08% WGILB Index Hedged** 9.91% 3.71% 4.61% 4.60% Difference (net) -0.64% -0.57% -0.54% -0.52% *Performance inception date of 5/1/2010; ** Bloomberg Barclays World Govt. Inflation-Linked Bond (WGILB) Index Hedged

FEES Schedule 0.175% flat fee

WATCH STATUS Placed on performance watch status on April 12, 2017

PREVIOUSLY DISCLOSED LITIGATION

None

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 18, 2019

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 19 *Splits time between Hong Kong and Singapore offices

AUM by Sector – Total $452.9 billion (USD)

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 $452.9 billion (USD) AUM

– $394.7 billion (USD) long-term assets– $58.2 billion (USD) cash and cash

equivalent assets 834 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: $4.8 Serviced: $20.1 Total Staff: 23

LondonInv. Professionals: 17

Managed: $36.7 Serviced: $61.8

Total Staff: 60 TokyoInv. Professionals: 4 Managed: $5.4 Serviced: $37.3 Total Staff: 24

São PauloInv. Professionals: 18 Managed: $10.6 Serviced: $10.3 Total Staff: 64

Pasadena (HQ)Inv. Professionals: 58 Managed: $264.6 Serviced: $270.1 Total Staff: 560

Hong KongTotal Staff: 1*

MelbourneInv. Professionals: 5 Managed: $17.7 Serviced: $9.0 Total Staff: 18

ZurichTotal Staff: 1

24141922

49586682

120

OtherGlobal Inflation Linked

Global High YieldLocal Authority & Municipals

Emerging Market DebtCash & Cash Equivalents

Sovereign, Treasuries & AgenciesMBS/ABS

Global IG Corporate

New YorkInv. Professionals: 23 Managed: $113.0 Serviced: $44.3 Total Staff: 84

Independent risk management function with 38 professionals including 15 PhDs

363 staff dedicated to globally integrated operations

174 staff dedicated to client service

Specialized teams to meet individual client needs

130 investment professionals on five continents and in seven offices

22 years average experience 39 portfolio and quantitative

analysts in portfolio operations

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 Aggregate Regional Core/Core Plus 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 and Consumer Credit US Agency MBS US Agency MBS Plus Structured Products Select Credit Opportunities

in Real Estate (SCORE)

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 EM Diversified EM Local Currency Sovereign EM Corporate EM USD Sovereign EM Total Return

Liquidity / Short Duration Liquidity Enhanced Liquidity Short Duration Constrained Short Duration

5

About Western Asset – ClientsCommitted to excellence in client service

As of 30 Sep 19. 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 ListCorporate

American Cast Iron Pipe Company ArcelorMittal USA Inc. Arconic Inc. Arconic Inc. Foundation AT&T Services, Inc. Atmos Energy Corporation Bayer Corporation British Airways (US) Campbell Soup Company Caterpillar Inc. Chrysler LLC Clark Enterprises, Inc. CNH Global N.V. (Retirement - VEBA) Consolidated Edison Company Of New York, Inc. Consolidated Rail Corporation Hanesbrands Inc. International Paper Company John Lewis Partnership Pensions Trust Kennametal Kvaerner Lee Enterprises Lennox International, Inc. LifeWay Christian Resources Meijer, Inc. Meredith Corporation Nestle USA, Inc. Nisource, Inc. NXP Semiconductor, Inc. PCS Administration (USA), Inc Pensioenfonds Horeca & Catering PPG Industries Southern California Edison Springpoint Senior Living Stolt-Nielsen S.A. (Bermuda) The Ashforth Company Thomson Reuters ThyssenKrupp North America, Inc Unisys Corporation Verizon Westlake Chemical Corporation XPO Logistics

Public / Gov. / Sovereign WealthAnne Arundel (MD) Retirement Systems Arkansas Local Police and Fire Retirement System Baltimore County (MD) Employees Retirement System California State Teachers' Retirement System City of Aurora City of Grand Rapids Fire and Police City of Medford (Mass.) Contributory Retirement System City of Orlando City of Phoenix Employees' Retirement System compenswiss CONTASSUR s.a./n.v East Bay Municipal Utility District Employees' Retirement System of the City of Baton Rouge and Parish of East Baton Rouge Employees' Retirement System of the State of Rhode Island Fife Council Pension Fund Firemen's Annuity and Benefit Fund of Chicago Fresno County Employees' Retirement Association Gloucestershire County Council Government of Bermuda Public Funds Indiana State Treasurer's Office Iowa Public Employees' Retirement System Kansas Public Employees Retirement System Los Angeles County Employees Retirement Association Louisiana Sheriff's Pension & Relief Fund Marin County Employees' Retirement Association Maryland-National Capital Park and Planning Commission Employees Retirement System Minnesota State Board of Investment Municipality of Anchorage 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 Ventura County Employees' Retirement Association Washington Metro Area Transit Authority Wichita (KS) Retirement Systems Wyoming Retirement System

Multi-Employer / Unions1199SEIU 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-Producer Pension and Health Plans (DGA - PPHP) Electrical Workers, IBEW, Local 531 Heavy & General Laborers' Locals 472/172 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 Employees Union, District 1199, AFL-CIO New Jersey Transit Operating Engineers Local #428 Trust Funds Pacific Coast Roofers Retail Wholesale & Department Store Union SIU Rivers Pension Trust Southern Nevada Culinary & Bartenders Pension Trust Fund Teamsters Union Local No. 52 Pension Fund United Association Union Local No. 290 Plumber, Steamfitter & Shipfitter Industry Pension Trust United Food and Commercial Workers Union Local 919 Western Washington Laborers Employers Pension Trust

HealthcareAscension 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

EleemosynaryAbilene Christian University Allergan, Inc. Foundation American Academy in Rome Baha'i' World Centre Catholic Relief Services Catholic Umbrella Pool Commonfund Communities Foundation of Texas Community Foundation of North Central Wisconsin Domestic & Foreign Missionary Society ECUSA Glass─Glen Burnie Foundation Rockford Woodlawn Fund, Inc Saint Louis University Sisters of St. Francis of the Neumann Communities Strada Education Network, Inc. Texas Presbyterian Foundation The Catholic Foundation of Central Florida The Diocese of Allentown The Donald B. and Dorothy L. Stabler Foundation University of Southern California University of Wisconsin Foundation Wallace H. Coulter Foundation Washington State University

InsuranceAmerican Contractors Insurance Group Anthem, Inc. AXA France AXA XL Catlin Blue Cross Blue Shield of Massachusetts Capital Blue Cross Catalina Holdings (Bermuda) Ltd Genworth Financial US Great-West Life & Annuity Insurance Company Oil Investment Corporation Ltd.

Financial ServicesAsset Management One Co., Ltd.GuideStone Capital Management, LLCHighbury Pacific Capital Corp.LyonRoss Capital Management LLCMorgan Stanley Custom Solutions - OCIO RelationshipMorgan Stanley Global Wealth ManagementRussell InvestmentsSEI Investments Company (OCIO)SMBC Nikko Securities Inc.Tokio Marine Asset Management Co., Ltd.Wells Fargo & Company

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.

ClientPortfolio

Global Inflation-Linked Investment Process and Team Interaction

SecuritySelection

StrategicPortfolio

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 19

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

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

Global Inflation-Linked Investment Team

Matthew Hodges, CFAPortfolio Analyst

Zachary Klein, CFAPortfolio 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

As of 30 Sep19

Western Asset Investment TeamInvestment Management Professionals Chief Investment Officer: S. Kenneth Leech Deputy CIO: Michael C. Buchanan 130 Investment Professionals on five continents and seven

offices, as of September 30, 2019 23 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 consumer credit Long duration US municipal Liquidity Insurance

US Europe UK Japan Asia Brazil Australia /

New Zealand

Independent Risk Management Function Chief Risk Officer: Ahmet E. Kocagil Independent evaluation of strategies and risks Market and Credit Risk Committee 38 investment risk professionals

11

Key investment personnel for global inflation-linked bond accounts:

S. Kenneth Leech – Chief Investment Officer (Pasadena)Gordon S. Brown – Co-Head of Global Portfolios, London (London)Richard A. Booth – Portfolio Manager (London)Frederick R. Marki – Portfolio Manager (Pasadena)Catherine L. Matthews – Global Product Specialist (London)

Global Inflation-Linked Bonds – Key Personnel

As of 30 Sep 19

`

12

Total dedicated inflation-linked mandates $8.21 billion

6 global inflation-linked mandates $3.70 billion

9 US inflation-linked mandates $3.18 billion

1 Euro inflation-linked mandate $1.34 billion

Opportunistic allocation in diversified fixed-income mandates $5.43 billion

Total inflation-linked securities under management $13.64 billion

Western Asset Global Inflation-Linked Capabilities3Q 2019

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 ManagersIn

vest

men

t Com

mitt

ees

Client

Market and Credit Risk Com

mittee

Risk Systems and ToolsCompliance 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

Trade tensions between the US and China escalated before an agreement in principle for “Phase 1” of a deal towards the end of 3Q

Global growth concerns rose encouraging monetary easing from multiple central banks

The Fed cut its benchmark interest rates by 0.25% on three separate occasions to 1.5-1.75%

The European Central Bank cut its deposit rate by 0.10% to -0.5% and announced it would restart QE on 1st November for “as long as necessary”

Italian spreads narrowed sharply with a new coalition government likely to be more compliant over EU budget negotiations

In the UK, the prolonged period of political uncertainty continued a general election announced for 12th December and the “Brexit” deadline extended

Global government bonds posted positive returns with the US outperforming other developed government bond markets

With the exception of US Agency mortgage back securities, spread sectors outperformed

The US dollar posted mixed returns

YTD 2019 Global Review

As of 31 Oct 19

19

-0.8

8.49.4

3.34.2 4.3

-0.8

8.39.2

3.14.0 4.1

-1.6

9.4 9.9

3.74.6 4.6

-4

-2

0

2

4

6

8

10

12

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

Total

Retu

rn (%

)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

Investment ResultsOctober 31, 2019

1 Year Fiscal Performance (%)01 Nov 18 – 31 Oct 19Benchmark: 9.91Portfolio (Net): 9.20Portfolio (Gross): 9.39

Duration (yrs) Avg. QualityPortfolio 11.8 AA+Index 12.5 AA+

Source: Western AssetReturns since inception are as of the indicated close of business day. Returns for periods greater than one year are annualized.

20

-0.8

8.29.2

3.24.2 4.3

-0.8

8.19.0

3.04.0 4.1

-1.6

9.4 9.9

3.74.6 4.6

-4

-2

0

2

4

6

8

10

12

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

Total

Retu

rn (%

)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 ResultsOctober 31, 2019

Duration (yrs) Avg. QualityPortfolio 11.8 AA+ Index 12.5 AA+

Source: Western AssetReturns since inception are as of the indicated close of business day. Returns for periods greater than one year are annualized.

1 Year Fiscal Performance (%)01 Nov 18 – 31 Oct 19Benchmark: 9.91Portfolio (Net): 8.98Portfolio (Gross): 9.17

21

Maturity Distribution (%) 5647 5655 BM Coupon Distribution (%) 5647 5655 BMUnder 1 year 3.99 3.94 0.00 0 - 1 64.23 64.11 63.051 - 5 years 21.30 21.35 27.64 1 - 2 13.46 13.55 17.185 - 10 years 35.03 35.09 31.44 2 - 3 11.12 11.11 12.7010+ years 39.68 39.61 40.92 3 - 4 7.20 7.19 5.41Total 100.00 100.00 100.00 4 - 5 2.04 2.06 1.66

5+ 1.95 1.98 0.00Total 100.00 100.00 100.00

Currency Allocation (%) 5647 5655 BM Quality Distribution (%) 5647 5655 BMUnited States 96.16 96.25 44.48 Cash 3.81 3.75 0.00United Kingdom 1.62 1.63 29.57 Foreign Exchange 0.22 0.24 0.00Australia 0.03 0.03 1.01 AAA 55.70 56.20 51.32Brazil 0.00 0.00 0.00 AA 26.27 25.78 37.41Danish Krone 0.00 0.00 0.23 A 8.15 8.17 5.14Euro -0.41 -0.52 18.32 BBB 5.85 5.87 5.74Canada 0.08 0.07 2.00 Below I.G. 0.00 0.00 0.00Japan -0.01 -0.01 3.16 NR 0.00 0.00 0.40Mexico 1.20 1.21 0.00 Total 100.00 100.00 100.00Norway 0.00 0.00 0.00New Zealand 0.06 0.06 0.48Sweden 1.27 1.28 0.75

Portfolio CharacteristicsLos Angeles Water & Power Employees’ Retirement PlanOctober 31, 2019

22

Positive Contributors Overweight US duration Overweight nominal Mexican government bonds

Negative Contributors Underweight core European and UK duration Overweight French breakevens Overweight Norwegian krone and Swedish krona

Los Angeles Water & Power Employees’ Retirement PlanPerformance Summary – Global Inflation LinkedOctober 31, 2019

Source: Western AssetWestern 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 YTD 2019 Retireee Health - 5655 YTD 2019Duration -145 Duration -158Yield Curve 16 Yield Curve 13Country 47 Country 45Currency -3 Currency -5Sector Allocation -7 Sector Allocation -7Subsector Allocation 0 Subsector Allocation 0Selection/Residual -6 Selection/Residual -2Total Excess Return -98 Total Excess Return -114

23

1 Month Global ReturnsOctober 31, 2019

Currency

Source: Bloomberg Barclays

-3.3

-1.5 -0.9 -0.8 -0.4 -0.2 -0.2 -0.10.0 0.3

-4-3-2-101

UK Germany Sweden Japan France Canada Australia NewZealand

Italy US

Perce

nt10 Year Inflation-Linked Bonds

0.1 0.3 0.4 0.8 1.21.7 1.9 2.2 2.2

2.9 3.4

5.1 5.3

0123456

JapaneseYen

TurkishLira

IndianRupee

CanadianDollar

SouthAfricanRand

RussianRuble

ChineseRenminbi

AustralianDollar

Euro SouthKorean

Won

MexicanPeso

PolishZloty

BritishPound

Total

Retu

rn vs

USD

(%)

-33.8

5.2 15.0

-6.4

6.2 3.1 5.821.4

12.3

-1.1

-45-30-15

01530

UK Germany Sweden Japan France Canada Australia NewZealand

Italy US

Basis

Poin

ts

10-Year Breakeven Changes

24

6.2

4.20.4

0.7 0.20.1 0.2 0.2 0.1 0.0

-0.3

1.0

-0.5

0.3 0.3

-1.4-0.3

0.4

6.7

3.7

0.7 0.5 0.3 0.2 0.2 0.2 0.1 0.1 0.0 0.0

-5

0

5

10

UK US France Italy Canada Germany Japan Spain Australia NewZealand

Sweden Mexico

Year

s

Portfolio (Nominal): -0.4Portfolio (Real): 12.2Benchmark: 12.7

Benchmark* (%)Portfolio (%)

Duration Contribution

Water & Power Employees' Retirement Plan - Retirement FundOctober 31, 2019

*Bloomberg Barclays World Inflation-Linked All Maturities Index

Total Duration: 11.8

44.629.1

8.35.9

3.12.42.02.01.00.80.50.00.20.0

United StatesUnited Kingdom

FranceItaly

JapanGermany

SpainCanada

AustraliaSweden

New ZealandMexico

OtherCash/Cash Equivalents

54.219.5

5.86.0

2.80.91.82.7

0.50.01.03.3

0.01.4


FranceItaly

JapanGermany

SpainCanada

AustraliaSweden

New ZealandMexico


25

6.2

4.20.4

0.7 0.20.1 0.2 0.2 0.1 0.0

-0.2

0.9

-0.5

0.3 0.2

-1.5-0.3

0.5

6.7

3.7

0.7 0.5 0.3 0.2 0.2 0.2 0.1 0.1 0.0 0.0

-5

0

5

10

UK US France Italy Canada Germany Japan Spain Australia NewZealand

Sweden Mexico

Year

s

Portfolio (Nominal): -0.5Portfolio (Real): 12.2Benchmark: 12.7


Duration Contribution

Water & Power Employees' Retirement Plan - Retiree Health Benefits FundOctober 31, 2019

*Bloomberg Barclays World Inflation-Linked All Maturities Index

Total Duration: 11.7

44.629.1

8.35.9

3.12.42.02.01.00.80.50.00.20.0


FranceItaly

JapanGermany

SpainCanada

AustraliaSweden

New ZealandMexico


54.719.5

5.46.0

2.80.91.82.7

0.50.01.03.4

0.01.4


FranceItaly

JapanGermany

SpainCanada

AustraliaSweden

New ZealandMexico


26

Portfolio Review and Characteristics

27

Top 10 Holdings Coupon (%) Maturity (%)US INFLATION -LINKED TREASURY NOTE 0.625 Jan-26 8.37%US INFLATION-LINKED TREASURY BOND 3.875 Apr-29 7.12%UK INDEX-LINKED TREASURY 0.125 Mar-68 6.41%US INFLATION-LINKED TREASURY NOTE 0.125 Jan-23 5.58%US INFLATION-LINKED TREASURY BOND 2.375 Jan-25 5.54%US INFLATION -LINKED TREASURY NOTE 0.375 Jul-25 5.16%US INFLATION-LINKED TREASURY NOTE 1.125 Jan-21 4.08%US INFLATION-LINKED TREASURY [ NOTE ] 0.5 Apr-24 3.09%US INFLATION-LINKED TREASURY [ NOTE ] 0.5 Jan-28 2.99%US INFLATION-LINKED TREASURY BOND 1.375 Feb-44 2.94%Total 51.27%

Top 10 Holdings Coupon (%) Maturity (%)US INFLATION -LINKED TREASURY NOTE 0.625 Jan-26 8.39%US INFLATION-LINKED TREASURY BOND 3.875 Apr-29 7.08%UK INDEX-LINKED TREASURY 0.125 Mar-68 6.13%US INFLATION-LINKED TREASURY BOND 2.375 Jan-25 5.61%US INFLATION-LINKED TREASURY NOTE 0.125 Jan-23 5.47%US INFLATION -LINKED TREASURY NOTE 0.375 Jul-25 5.15%US INFLATION-LINKED TREASURY NOTE 1.125 Jan-21 4.65%US INFLATION-LINKED TREASURY [ NOTE ] 0.5 Apr-24 3.09%US INFLATION-LINKED TREASURY [ NOTE ] 0.5 Jan-28 2.99%US INFLATION-LINKED TREASURY BOND 1.375 Feb-44 2.92%Total 51.49%

Water & Power Employees' Retirement Plan - Retirement Fund

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

Top Ten HoldingsOctober 31, 2019

28

Water & Power Employees' Retirement Plan – Retirement Fund Rating AllocationOctober 31, 2019

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


Duration (yrs) Avg. QualityPortfolio 11.8 AA+Index 12.7 AA

51.7

37.2

5.1

6.0

0.0

AAA

AA

A

BBB

Cash/Cash Equivalents

59.3

25.3

7.9

6.0

1.4

AAA

AA

A

BBB


29

Water & Power Employees' Retirement Plan – Retiree Health Benefits Fund Rating AllocationOctober 31, 2019

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


Duration (yrs) Avg. QualityPortfolio 11.8 AA+ Index 12.7 AA

51.7

37.2

5.1

6.0

0.0

AAA

AA

A

BBB


59.8

24.8

8.0

6.0

1.4

AAA

AA

A

BBB


30

Market Value ChangeOctober 31, 2019

Initial ContributionAs of 01 Apr 10 125,000,000.00$

Initial ContributionAs 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 279,246,748.07$ Portfolio Return 15,830,571.57$

Market Value As of 31 Oct 2019 418,762,666.34$

Market Value As of 31 Oct 2019 70,024,336.44$

Water & Power Employees' Retirement Plan - Retirement Fund

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

31

Summary of Holdings

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

October 31, 2019Asset 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 142.0400 0.00 128.000000CNZ9 CAN 10YR BOND FUT Dec19 Due 12/18/2019 NR/NR/NR

132.8400 0.00-76.000000G_Z9 LONG GILT FUTURE Dec19 Due 12/27/2019 NR/NR/NR

144.4700 0.00 114.000000IKZ9 Euro-BTP Future Dec19 Due 12/06/2019 NR/NR/NR

168.3800 0.00-119.000000OATZ9 Euro-OAT Future Dec19 Due 12/06/2019 NR/NR/NR

134.6200 0.00 154.000000OEZ9 EURO-BOBL FUTURE Dec19 Due 12/06/2019 NR/NR/NR

171.7600 0.00-513.000000RXZ9 EURO-BUND FUTURE Dec19 Due 12/06/2019 NR/NR/NR

1.1400 0.00-128.009RXZ9P021 -53,573.54 -0.01%EURO-BUND OPTION Dec19P 172.5 EXP11/22/19 172.5 Due 11/22/2019 NR/NR/NR

130.2969 0.00 134.000000TYZ9 US 10YR NOTE (CBT)Dec19 Due 12/19/2019 Aaa/AA+/AAA

161.3750 0.00 215.000000USZ9 US LONG BOND(CBT) Dec19 Due 12/19/2019 Aaa/AA+/AAA

142.1094 0.00-322.000000UXYZ9 US 10yr Ultra Fut Dec19 Due 12/19/2019 Aaa/AA+/AAA

189.7500 0.00 71.000000WNZ9 US ULTRA BOND CBT Dec19 Due 12/19/2019 Aaa/AA+/AAA

115.3678 0.00-485.000000YMZ9 AUST 3YR BOND FUT Dec19 Due 12/16/2019 NR/NR/NR

Total Derivative $0.00 -0.01%-$53,573.54

Inflation-Linked 108.1194 64,202.43 2,880,000.00135087UL6 180.0709 3,976,156.77 3,907,111.26 0.95%CANADA-GOV'T REAL RETURN 4.25 Due 12/01/2021 Aaa/AAA/AAA

128.7670 37,129.84 1,760,000.00135087VS0 194.6862 2,736,261.58 2,691,091.28 0.65%CANADA-GOV'T REAL RETURN 4.25 Due 12/01/2026 Aaa/AAA/AAAu

144.4652 22,324.48 1,170,000.00135087WV2 197.6575 2,097,813.95 1,928,742.81 0.47%CANADA-GOV'T REAL RETURN 4 Due 12/01/2031 Aaa/AAA/AAAu

127.1590 13,597.79 2,405,000.00135087ZH0 140.4599 3,141,458.33 2,757,487.05 0.66%CANADA-GOVT REAL RETURN 1.5 Due 12/01/2044 Aaa/AAA/AAA

134.2630 39,903.79 14,206,000.00912810FH6 204.8053 29,094,647.37 29,766,714.86 7.12%US INFLATION-LINKED TREASURY BOND 3.875 Due 04/15/2029 Aaa/AA+/AAAu

111.2973 145,630.38 15,210,000.00912810FR4 148.1731 22,537,122.33 23,040,621.59 5.54%US INFLATION-LINKED TREASURY BOND 2.375 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


132.1617 11,001.69 2,057,800.00912810QF8 137.7050 2,833,694.01 3,228,192.59 0.77%US INFLATION-LINKED TREASURY BOND 2.125 Due 02/15/2040 Aaa/AA+/AAAu

102.4043 10,007.84 6,770,000.00912810RA8 103.1136 6,980,789.82 7,736,277.39 1.85%US INFLATION-LINKED TREASURY BOND .625 Due 02/15/2043 Aaa/AA+/AAAu

119.4653 29,933.09 9,330,000.00912810RF7 118.6123 11,066,532.08 12,269,974.60 2.94%US INFLATION-LINKED TREASURY BOND 1.375 Due 02/15/2044 Aaa/AA+/AAAu

104.8901 15,345.06 8,860,000.00912810RL4 99.3162 8,799,417.18 10,125,006.80 2.42%US INFLATION-LINKED TREASURY NOTE .75 Due 02/15/2045 Aaa/AA+/AAAu

102.6091 18,037.68 11,710,000.009128283R9 107.7471 12,617,181.85 12,497,346.24 2.99%US INFLATION-LINKED TREASURY [ NOTE ] .5 Due 01/15/2028 Aaa/AA+/AAAu

101.3391 2,964.89 12,550,000.009128286N5 102.5172 12,865,904.39 12,937,447.49 3.09%US INFLATION-LINKED TREASURY [ NOTE ] .5 Due 04/15/2024 Aaa/AA+/AAA

100.4304 4,620.04 5,760,000.00912828H45 107.4302 6,187,982.24 6,266,029.37 1.50%US INFLATION-LINKED TREASURY NOTE .25 Due 01/15/2025 Aaa/AA+/AAAu

102.7290 63,083.36 31,560,000.00912828N71 108.0651 34,105,351.96 35,006,534.10 8.37%US INFLATION -LINKED TREASURY NOTE .625 Due 01/15/2026 Aaa/AA+/AAA

100.6883 56,354.40 14,420,000.00912828PP9 118.4259 17,077,012.58 17,028,467.43 4.08%US INFLATION-LINKED TREASURY NOTE 1.125 Due 01/15/2021 Aaa/AA+/AAAu

99.4704 8,693.18 21,124,200.00912828UH1 111.5738 23,569,070.67 23,355,201.32 5.58%US INFLATION-LINKED TREASURY NOTE .125 Due 01/15/2023 Aaa/AA+/AAAu

100.8995 12,857.43 10,500,000.00912828VM9 109.2798 11,474,375.33 11,679,746.41 2.79%US INFLATION-LINKED TREASURY NOTE .375 Due 07/15/2023 Aaa/AA+/AAAu

101.5834 23,612.80 19,650,000.00912828XL9 106.9290 21,011,542.97 21,595,366.68 5.16%US INFLATION -LINKED TREASURY NOTE .375 Due 07/15/2025 Aaa/AA+/AAAu

156.2477 3,889.25 1,957,000.00AU0000XCLWV6 119.7711 2,291,915.47 2,106,648.93 0.50%AUSTRALIAN GOVERNMENT IL 2.5% 20SEP2030 2.5 Due 09/20/2030 Aaa/AAAu/AAAu

120.3674 8,910.60 2,770,000.00DE0001030559 112.9886 3,470,617.39 3,925,517.28 0.94%DEUTSCHLAND I/L BOND .5 Due 04/15/2030 Aaau/AAA/AAAu

118.1994 40,405.82 5,480,000.00ES0000012C12 123.1692 7,570,878.84 7,411,647.18 1.78%SPAIN I/L BOND .7 Due 11/30/2033 NR/A/NR

107.0178 11,282.13 3,000,000.00FR0010899765 116.9148 4,204,081.54 4,057,895.65 0.97%FRANCE O.A.T. I/L 1.1 Due 07/25/2022 Aa2u/AA/AAu


107.8403 3,857.91 4,820,000.00FR0011427848 110.1008 5,709,653.22 6,152,320.53 1.47%FRANCE (GOVT OF) .25 Due 07/25/2024 Aa2u/AA/AAu

120.2363 4,380.39 1,980,000.00FR0011982776 111.6656 2,447,566.26 2,781,608.10 0.67%FRANCE (GOVT OF) .7 Due 07/25/2030 Aa2u/AA/AAu

162.1642 5,265.88 490,000.00GB00B1Z5HQ14 118.5867 897,334.17 1,028,217.88 0.25%UK INDEX-LINKED TREASURY 1.875 Due 11/22/2022 Aa2u/AA/AAu

281.3163 4,599.58 1,070,000.00GB00B24FFM16 172.0595 2,754,667.54 3,895,047.44 0.93%UK INDEX-LINKED TREASURY .75 Due 11/22/2047 Aa2u/AA/AAu

Page 2 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


210.7947 14,230.01 1,970,000.00GB00B3D4VD98 134.6661 4,209,640.66 5,373,532.76 1.29%UK INDEX-LINKED TREASURY 1.25 Due 11/22/2032 Aa2u/AA/AAu

228.4056 177.74 200,000.00GB00B3LZBF68 124.9683 385,741.56 591,113.42 0.14%UK INDEX-LINKED TREASURY .625 Due 03/22/2040 Aa2u/AA/AAu

245.9827 8,776.47 2,450,000.00GB00B3MYD345 160.8034 6,124,563.08 7,798,386.03 1.86%UK INDEX-LINKED TREASURY .625 Due 11/22/2042 Aa2u/AA/AAu

271.5155 1,478.86 2,080,000.00GB00B421JZ66 145.5514 4,965,868.72 7,307,889.58 1.75%UK INDEX-LINKED TREASURY .5 Due 03/22/2050 Aa2u/AA/AAu

190.4422 4,500.56 4,220,000.00GB00B46CGH68 123.4460 8,597,015.42 10,399,433.18 2.48%UK INDEX-LINKED TREASURY .75 Due 03/22/2034 Aa2u/AA/AAu

292.7877 517.22 970,000.00GB00B4PTCY75 128.7451 1,936,052.00 3,675,010.77 0.88%TSY 0 3/8% 2062 I/L GILT .375 Due 03/22/2062 Aa2u/AA/AAu

235.4187 412.37 1,160,000.00GB00B73ZYW09 130.6775 2,370,822.50 3,533,727.38 0.84%TSY 0 1/4% 2052 I/L GILT - UK INDEX-LINKED TREASURY .25 Due 03/22/2052 Aa2u/AA/AAu

200.5755 771.43 4,340,000.00GB00B7RN0G65 135.4838 8,905,347.49 11,264,232.00 2.69%TSY 0 1/8% 2044 I/L GILT .125 Due 03/22/2044 Aa2u/AA/AAu

293.5967 1,254.91 7,060,000.00GB00BDX8CX86 206.8206 19,943,052.48 26,821,925.12 6.41%UK INDEX-LINKED TREASURY .125 Due 03/22/2068 Aa2u/AA/AAu

135.8803 28,385.51 6,810,000.00IT0004545890 123.9972 9,748,051.55 11,714,309.19 2.80%BUONI POLIENNALI DEL TES I/L 2.55 Due 09/15/2041 Baa3u/BBB/BBB

122.0715 30,615.98 6,190,000.00IT0004735152 121.8828 8,762,010.95 9,336,934.35 2.24%BUONI POLIENNALI DEL TES 3.1 Due 09/15/2026 Baa3u/BBB/BBB

101.4324 1,860.18 3,510,000.00IT0005329344 100.5466 4,115,686.99 4,084,433.65 0.98%BUONI POLIENNALI DEL TES .1 Due 05/15/2023 Baa3u/BBBu/BBB

106.4712 347.78 263,900,000.00JP1120171DA4 103.6959 2,580,110.10 2,599,116.38 0.62%JAPAN GOVT CPI LINKED .1 Due 09/10/2023 A1/A+/A

103.9824 520.55 395,000,000.00JP1120201F51 104.2152 3,755,121.08 3,799,364.40 0.91%JAPAN GOVT CPI LINKED .1 Due 03/10/2025 A1/A+/Au

104.0867 391.54 297,100,000.00JP1120211G41 103.7645 2,753,432.03 2,860,565.64 0.68%JAPAN GOVT CPI LINKED .1 Due 03/10/2026 A1/A+/Au

104.6632 347.91 264,000,000.00JP1120231J51 103.9124 2,501,464.34 2,555,949.80 0.61%JAPAN GOVT CPI LINKED .1 Due 03/10/2028 A1/A+/A

139.4989 9,984.25 4,510,000.00NZIIBDT003C0 105.7546 3,691,022.11 4,034,675.14 0.97%NEW ZEALAND INDEX LINKED 3 Due 09/20/2030 Aaa/AA+/AA+

Total Inflation-Linked $811,030.56 95.25%$368,016,575.68 $398,057,130.85

Total Treasury $811,030.56 95.24%$368,016,575.68 $398,003,557.31

$811,030.56Total Government 95.24%$368,016,575.68 $398,003,557.31

Emerging MarketSovereigns

113.3180 100,742.98 5,570,000.00XS1974394758 106.7367 6,667,937.97 7,041,777.32 1.71%UNITED MEXICAN STATES 2.875 Due 04/08/2039 A3/BBB+/BBB

Total Sovereigns $100,742.98 1.71%$6,667,937.97 $7,041,777.32

Page 3 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


Treasury 109.9881 189,582.01 116,000,000.00MX0MGO000102 104.7347 6,370,925.55 6,654,817.81 1.63%MEX BONOS DESARR FIX RT 8 Due 11/07/2047 A3/A-/BBB

Total Treasury $189,582.01 1.63%$6,370,925.55 $6,654,817.81

$290,324.99Total Emerging Market 3.34%$13,038,863.52 $13,696,595.13

Foreign ExchangeForward

1.0000 0.00 11,771,462.27CADUSD112119 11,771,462.27 11,771,462.27 2.81%CAD/USD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

1.3143 0.00-15,637,532.32CADUSD112119CC -11,771,462.27 -11,898,047.42 -2.84%CAD/USD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

1.0000 0.00 12,208,809.32JPYUSD112119 12,208,809.32 12,208,809.32 2.92%JPY/USD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

107.9754 0.00-1,286,499,317.00JPYUSD112119CC -12,208,809.32 -11,914,741.04 -2.85%JPY/USD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

1.0000 0.00-1,894,926.55MXNUSD112119 -1,894,926.55 -1,894,926.55 -0.45%MXN/USD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

1.0000 0.00 3,287,802.42MXNUSD112119 3,287,802.42 3,287,802.42 0.79%MXN/USD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

19.2359 0.00 37,000,000.00MXNUSD112119CC 1,894,926.55 1,923,487.95 0.46%MXN/USD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

19.2359 0.00-65,230,000.00MXNUSD112119CC -3,287,802.42 -3,391,057.28 -0.81%MXN/USD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

0.8951 0.00 1,152,474.96SEKEUR112119 1,280,392.74 1,287,501.45 0.31%SEK/EUR FFX DUE 112119 Due 11/21/2019 NR/NR/NR

9.6234 0.00-12,340,000.00SEKEUR112119CC -1,280,392.74 -1,282,285.11 -0.31%SEK/EUR FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

1.0000 0.00-6,815,321.77SEKUSD112119 -6,815,321.77 -6,815,321.77 -1.63%SEK/USD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

9.6234 0.00 64,992,469.06SEKUSD112119CC 6,815,321.77 6,753,555.55 1.61%SEK/USD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

1.4506 0.00-3,794,515.33USDAUD112119 -2,568,409.03 -2,615,745.49 -0.62%USD/AUD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

1.0000 0.00 2,568,409.03USDAUD112119CC 2,568,409.03 2,568,409.03 0.61%USD/AUD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

0.8951 0.00 7,335,000.00USDEUR112119 8,121,927.42 8,194,384.64 1.96%USD/EUR FFX DUE 112119 Due 11/21/2019 NR/NR/NR

0.8951 0.00-72,290,030.59USDEUR112119 -81,289,228.88 -80,759,688.65 -19.29%USD/EUR FFX DUE 112119 Due 11/21/2019 NR/NR/NR

1.0000 0.00-8,121,927.42USDEUR112119CC -8,121,927.42 -8,121,927.42 -1.94%USD/EUR FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

Page 4 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


1.0000 0.00 81,289,228.88USDEUR112119CC 81,289,228.88 81,289,228.88 19.41%USD/EUR FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

0.7723 0.00-63,720,948.62USDGBP112119 -77,378,361.45 -82,508,416.56 -19.70%USD/GBP FFX DUE 112119 Due 11/21/2019 NR/NR/NR

1.0000 0.00 77,378,361.45USDGBP112119CC 77,378,361.45 77,378,361.45 18.48%USD/GBP FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

1.5587 0.00-5,898,092.07USDNZD112119 -3,801,049.03 -3,783,891.26 -0.90%USD/NZD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

1.0000 0.00 3,801,049.03USDNZD112119CC 3,801,049.03 3,801,049.03 0.91%USD/NZD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

Total Forward $0.00 -1.08%$0.00 -$4,521,996.56

$0.00Total Foreign Exchange -1.08%$0.00 -$4,521,996.56

Cash & Cash EquivalentsTRADE DATE CASH-47,860.40MARGINCAD -36,424.32 -36,413.74 0.00 -0.01% 1.3140 1.3144NR/NR/NR

0.00 65,248.98 65,248.98 Unsettled Margin Variation NR/NR/NR

0.00-101,673.30 -101,662.72 Settled Cash NR/NR/NR

TRADE DATE CASH 747,004.00RESRVBLECAD 566,244.11 568,344.81 0.00 0.14% 1.3192 1.3144NR/NR/NR

0.00 566,244.11 568,344.81 Settled Cash NR/NR/NR

TRADE DATE CASH 595,000.00AUD_CASH 408,318.73 409,925.29 0.00 0.10% 1.4572 1.4515NR/NR/NR


TRADE DATE CASH 243,998.00CAD_CASH 184,652.53 185,641.57 0.00 0.04% 1.3214 1.3144NR/NR/NR


TRADE DATE CASH 505,643.12EUR_CASH 560,884.65 564,121.03 0.00 0.13% 0.9015 0.8963NR/NR/NR


TRADE DATE CASH 705,160.18GBP_CASH 881,001.53 912,476.71 0.00 0.22% 0.8004 0.7728NR/NR/NR


TRADE DATE CASH 665,832.00JPY_CASH 6,208.86 6,159.12 0.00 0.00% 107.2390 108.1050NR/NR/NR

Page 5 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets



TRADE DATE CASH 288,148.32MXN_CASH 14,977.54 15,029.64 0.00 0.00% 19.2387 19.1720NR/NR/NR


TRADE DATE CASH 36,294.23NZD_CASH 22,750.96 23,275.48 0.00 0.01% 1.5953 1.5593NR/NR/NR


TRADE DATE CASH 56,464.73SEK_CASH 5,868.94 5,860.80 0.00 0.00% 9.6209 9.6343NR/NR/NR


TRADE DATE CASH 4,084,587.00USD_CASH 4,084,587.00 4,084,587.00 0.00 0.98% 1.0000 100.0000NR/NR/NR


0.00 3,752,805.75 3,752,805.75 Settled Cash NR/NR/NR

TRADE DATE CASH 262,118.85MARGINAUD 179,788.05 180,586.80 0.00 0.04% 1.4579 1.4515Aaa/AAA/AAA

0.00 152,829.57 153,628.32 Settled Cash Aaa/AAA/AAA

0.00 26,958.48 26,958.48 Unsettled Margin Variation Aaa/AAA/AAA

TRADE DATE CASH-8,590,019.52MARGINEUR -9,573,307.50 -9,583,460.18 0.00 -2.29% 0.8973 0.8963NR/NR/NR

0.00-318,462.46 -318,462.46 Unsettled Margin Variation NR/NR/NR

0.00-38.40 -42.85 Outstanding Interest at period end NR/NR/NR

0.00-9,254,806.64 -9,264,954.87 Settled Cash NR/NR/NR

TRADE DATE CASH-2,577,305.96MARGINGBP -3,290,871.47 -3,335,031.87 0.00 -0.80% 0.7832 0.7728NR/NR/NR



Page 6 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


TRADE DATE CASH 334,001.00RESRVBLEAUD 226,543.57 230,110.01 0.00 0.05% 1.4743 1.4515NR/NR/NR


TRADE DATE CASH 10,578,326.49RESRVBLEEUR 11,941,173.34 11,801,715.97 0.00 2.82% 0.8859 0.8963NR/NR/NR


TRADE DATE CASH 2,792,133.24RESRVBLEGBP 3,635,994.82 3,613,018.20 0.00 0.86% 0.7679 0.7728NR/NR/NR


TRADE DATE CASH 837,208.28RESRVBLEUSD 837,208.28 837,208.28 0.00 0.20% 1.0000 1.0000NR/NR/NR


$0.00Total Cash & Cash Equivalents 2.50%$10,655,599.62 $10,483,154.92

$417,661,310.80$391,711,038.82 $1,101,355.54Total Assets: 100.00%

Total Account Value (Market Value & Accrued Interest) $418,762,666.34

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 142.0400 0.00 21.000000CNZ9 CAN 10YR BOND FUT Dec19 Due 12/18/2019 NR/NR/NR

132.8400 0.00-11.000000G_Z9 LONG GILT FUTURE Dec19 Due 12/27/2019 NR/NR/NR

144.4700 0.00 16.000000IKZ9 Euro-BTP Future Dec19 Due 12/06/2019 NR/NR/NR

168.3800 0.00-20.000000OATZ9 Euro-OAT Future Dec19 Due 12/06/2019 NR/NR/NR

134.6200 0.00 26.000000OEZ9 EURO-BOBL FUTURE Dec19 Due 12/06/2019 NR/NR/NR

171.7600 0.00-86.000000RXZ9 EURO-BUND FUTURE Dec19 Due 12/06/2019 NR/NR/NR

1.1400 0.00-21.009RXZ9P021 -8,690.91 -0.01%EURO-BUND OPTION Dec19P 172.5 EXP11/22/19 172.5 Due 11/22/2019 NR/NR/NR

130.2969 0.00 22.000000TYZ9 US 10YR NOTE (CBT)Dec19 Due 12/19/2019 Aaa/AA+/AAA

161.3750 0.00 36.000000USZ9 US LONG BOND(CBT) Dec19 Due 12/19/2019 Aaa/AA+/AAA

142.1094 0.00-55.000000UXYZ9 US 10yr Ultra Fut Dec19 Due 12/19/2019 Aaa/AA+/AAA

189.7500 0.00 12.000000WNZ9 US ULTRA BOND CBT Dec19 Due 12/19/2019 Aaa/AA+/AAA

115.3678 0.00-81.000000YMZ9 AUST 3YR BOND FUT Dec19 Due 12/16/2019 NR/NR/NR

Total Derivative $0.00 -0.01%-$8,690.91

Inflation-Linked 108.1194 10,700.41 480,000.00135087UL6 180.0709 662,692.90 651,185.21 0.95%CANADA-GOV'T REAL RETURN 4.25 Due 12/01/2021 Aaa/AAA/AAA

128.7670 6,117.98 290,000.00135087VS0 194.6862 450,861.06 443,418.45 0.64%CANADA-GOV'T REAL RETURN 4.25 Due 12/01/2026 Aaa/AAA/AAAu

144.4652 4,006.97 210,000.00135087WV2 198.5687 399,604.99 346,184.61 0.50%CANADA-GOV'T REAL RETURN 4 Due 12/01/2031 Aaa/AAA/AAAu

127.1590 2,182.42 386,000.00135087ZH0 137.1608 488,561.31 442,573.80 0.64%CANADA-GOVT REAL RETURN 1.5 Due 12/01/2044 Aaa/AAA/AAA

134.2630 6,640.35 2,364,000.00912810FH6 204.9019 4,843,880.23 4,953,436.15 7.08%US INFLATION-LINKED TREASURY BOND 3.875 Due 04/15/2029 Aaa/AA+/AAAu

111.2973 24,654.70 2,575,000.00912810FR4 148.0507 3,812,305.57 3,900,696.95 5.61%US INFLATION-LINKED TREASURY BOND 2.375 Due 01/15/2025 Aaa/AA+/AAAu

Page 1 of 7 1010-0024-5655



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


132.1617 1,643.99 307,500.00912810QF8 136.8797 420,905.05 482,393.44 0.69%US INFLATION-LINKED TREASURY BOND 2.125 Due 02/15/2040 Aaa/AA+/AAAu

105.1780 18.05 10,000.00912810QV3 111.6821 11,168.21 11,942.01 0.02%US INFLATION-LINKED TREASURY BOND .75 Due 02/15/2042 Aaa/AA+/AAAu

102.4043 1,670.46 1,130,000.00912810RA8 102.9481 1,163,312.99 1,291,284.11 1.85%US INFLATION-LINKED TREASURY BOND .625 Due 02/15/2043 Aaa/AA+/AAAu

119.4653 4,972.81 1,550,000.00912810RF7 118.9577 1,843,844.94 2,038,420.22 2.92%US INFLATION-LINKED TREASURY BOND 1.375 Due 02/15/2044 Aaa/AA+/AAAu

104.8901 2,580.62 1,490,000.00912810RL4 99.3805 1,480,769.35 1,702,738.16 2.44%US INFLATION-LINKED TREASURY NOTE .75 Due 02/15/2045 Aaa/AA+/AAAu

102.6091 3,019.12 1,960,000.009128283R9 107.7468 2,111,837.60 2,091,784.68 2.99%US INFLATION-LINKED TREASURY [ NOTE ] .5 Due 01/15/2028 Aaa/AA+/AAAu

101.3391 496.12 2,100,000.009128286N5 102.5172 2,152,861.31 2,164,831.85 3.09%US INFLATION-LINKED TREASURY [ NOTE ] .5 Due 04/15/2024 Aaa/AA+/AAA

100.4304 770.01 960,000.00912828H45 107.4984 1,031,984.65 1,044,338.23 1.49%US INFLATION-LINKED TREASURY NOTE .25 Due 01/15/2025 Aaa/AA+/AAAu

102.7290 10,573.87 5,290,000.00912828N71 108.0643 5,716,601.31 5,867,698.52 8.39%US INFLATION -LINKED TREASURY NOTE .625 Due 01/15/2026 Aaa/AA+/AAA

100.6883 10,747.20 2,750,000.00912828PP9 118.4269 3,256,740.50 3,247,453.91 4.65%US INFLATION-LINKED TREASURY NOTE 1.125 Due 01/15/2021 Aaa/AA+/AAAu

99.4704 1,424.78 3,462,200.00912828UH1 111.5840 3,863,261.57 3,827,855.16 5.47%US INFLATION-LINKED TREASURY NOTE .125 Due 01/15/2023 Aaa/AA+/AAAu

100.8995 2,204.13 1,800,000.00912828VM9 109.3411 1,968,139.46 2,002,242.24 2.86%US INFLATION-LINKED TREASURY NOTE .375 Due 07/15/2023 Aaa/AA+/AAAu

101.5834 3,941.48 3,280,000.00912828XL9 106.9365 3,507,517.25 3,604,722.78 5.15%US INFLATION -LINKED TREASURY NOTE .375 Due 07/15/2025 Aaa/AA+/AAAu

156.2477 647.88 326,000.00AU0000XCLWV6 118.8049 381,186.68 350,928.75 0.50%AUSTRALIAN GOVERNMENT IL 2.5% 20SEP2030 2.5 Due 09/20/2030 Aaa/AAAu/AAAu

120.3674 1,447.57 450,000.00DE0001030559 112.9318 564,250.25 637,719.41 0.91%DEUTSCHLAND I/L BOND .5 Due 04/15/2030 Aaau/AAA/AAAu

118.1994 6,783.46 920,000.00ES0000012C12 123.1692 1,271,023.46 1,244,291.14 1.79%SPAIN I/L BOND .7 Due 11/30/2033 NR/A/NR

107.0178 1,128.20 300,000.00FR0010899765 117.1094 416,258.71 405,789.57 0.58%FRANCE O.A.T. I/L 1.1 Due 07/25/2022 Aa2u/AA/AAu


107.8403 632.32 790,000.00FR0011427848 110.1650 936,035.69 1,008,367.89 1.44%FRANCE (GOVT OF) .25 Due 07/25/2024 Aa2u/AA/AAu

120.2363 730.07 330,000.00FR0011982776 111.7206 408,620.16 463,601.35 0.66%FRANCE (GOVT OF) .7 Due 07/25/2030 Aa2u/AA/AAu

162.1642 752.27 70,000.00GB00B1Z5HQ14 118.0538 128,678.90 146,888.27 0.21%UK INDEX-LINKED TREASURY 1.875 Due 11/22/2022 Aa2u/AA/AAu

Page 2 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


281.3163 773.76 180,000.00GB00B24FFM16 171.6050 463,111.99 655,241.63 0.94%UK INDEX-LINKED TREASURY .75 Due 11/22/2047 Aa2u/AA/AAu

210.7947 2,383.70 330,000.00GB00B3D4VD98 133.7910 705,768.37 900,134.93 1.29%UK INDEX-LINKED TREASURY 1.25 Due 11/22/2032 Aa2u/AA/AAu

245.9827 1,432.90 400,000.00GB00B3MYD345 160.5722 1,004,010.22 1,273,205.88 1.82%UK INDEX-LINKED TREASURY .625 Due 11/22/2042 Aa2u/AA/AAu

271.5155 241.73 340,000.00GB00B421JZ66 143.6417 809,339.24 1,194,558.88 1.71%UK INDEX-LINKED TREASURY .5 Due 03/22/2050 Aa2u/AA/AAu

190.4422 746.53 700,000.00GB00B46CGH68 122.8421 1,430,431.19 1,725,024.46 2.46%UK INDEX-LINKED TREASURY .75 Due 03/22/2034 Aa2u/AA/AAu

292.7877 117.31 220,000.00GB00B4PTCY75 126.2769 437,178.33 833,507.59 1.19%TSY 0 3/8% 2062 I/L GILT .375 Due 03/22/2062 Aa2u/AA/AAu

235.4187 85.31 240,000.00GB00B73ZYW09 129.6795 488,988.98 731,116.01 1.04%TSY 0 1/4% 2052 I/L GILT - UK INDEX-LINKED TREASURY .25 Due 03/22/2052 Aa2u/AA/AAu

200.5755 127.98 720,000.00GB00B7RN0G65 135.3468 1,481,848.41 1,868,720.52 2.67%TSY 0 1/8% 2044 I/L GILT .125 Due 03/22/2044 Aa2u/AA/AAu

293.5967 200.87 1,130,000.00GB00BDX8CX86 207.2842 3,198,588.26 4,293,027.67 6.13%UK INDEX-LINKED TREASURY .125 Due 03/22/2068 Aa2u/AA/AAu

135.8803 4,751.76 1,140,000.00IT0004545890 123.9981 1,631,677.93 1,960,985.68 2.81%BUONI POLIENNALI DEL TES I/L 2.55 Due 09/15/2041 Baa3u/BBB/BBB

122.0715 5,143.89 1,040,000.00IT0004735152 121.8828 1,472,131.02 1,568,725.65 2.25%BUONI POLIENNALI DEL TES 3.1 Due 09/15/2026 Baa3u/BBB/BBB

101.4324 312.68 590,000.00IT0005329344 100.5466 691,810.83 686,557.23 0.98%BUONI POLIENNALI DEL TES .1 Due 05/15/2023 Baa3u/BBBu/BBB

106.4712 57.85 43,900,000.00JP1120171DA4 103.6871 431,485.03 432,365.32 0.62%JAPAN GOVT CPI LINKED .1 Due 09/10/2023 A1/A+/A

103.9824 85.66 65,000,000.00JP1120201F51 104.2152 617,931.34 625,211.86 0.89%JAPAN GOVT CPI LINKED .1 Due 03/10/2025 A1/A+/Au

104.0867 65.76 49,900,000.00JP1120211G41 103.7645 462,458.90 480,451.78 0.69%JAPAN GOVT CPI LINKED .1 Due 03/10/2026 A1/A+/Au

104.6632 57.98 44,000,000.00JP1120231J51 103.9124 416,910.77 425,991.64 0.61%JAPAN GOVT CPI LINKED .1 Due 03/10/2028 A1/A+/A

139.4989 1,682.49 760,000.00NZIIBDT003C0 105.5515 626,444.72 679,900.91 0.97%NEW ZEALAND INDEX LINKED 3 Due 09/20/2030 Aaa/AA+/AA+

Total Inflation-Linked $136,234.93 95.27%$61,534,774.86 $66,575,531.81

Total Treasury $136,234.93 95.26%$61,534,774.86 $66,566,840.90

$136,234.93Total Government 95.26%$61,534,774.86 $66,566,840.90

Emerging MarketSovereigns

113.3180 16,820.63 930,000.00XS1974394758 106.7328 1,113,289.93 1,175,736.61 1.70%UNITED MEXICAN STATES 2.875 Due 04/08/2039 A3/BBB+/BBB

Total Sovereigns $16,820.63 1.70%$1,113,289.93 $1,175,736.61

Page 3 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


Treasury 109.9881 32,392.37 19,820,000.00MX0MGO000102 104.7347 1,088,549.54 1,137,055.94 1.67%MEX BONOS DESARR FIX RT 8 Due 11/07/2047 A3/A-/BBB

Total Treasury $32,392.37 1.67%$1,088,549.54 $1,137,055.94

$49,213.00Total Emerging Market 3.37%$2,201,839.47 $2,312,792.55

Foreign ExchangeForward

1.0000 0.00 1,960,371.76CADUSD112119 1,960,371.76 1,960,371.76 2.80%CAD/USD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

1.3143 0.00-2,604,260.09CADUSD112119CC -1,960,371.76 -1,981,489.76 -2.83%CAD/USD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

1.0000 0.00 2,096,565.43JPYUSD112119 2,096,565.43 2,096,565.43 2.99%JPY/USD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

1.0000 0.00-28,038.46JPYUSD112119 -28,038.46 -28,038.46 -0.04%JPY/USD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

107.9754 0.00-220,850,960.00JPYUSD112119CC -2,096,565.43 -2,045,381.57 -2.92%JPY/USD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

107.9754 0.00 3,000,000.00JPYUSD112119CC 28,038.46 27,784.10 0.04%JPY/USD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

1.0000 0.00 552,419.35MXNUSD112119 552,419.35 552,419.35 0.79%MXN/USD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

19.2359 0.00-10,960,000.00MXNUSD112119CC -552,419.35 -569,768.32 -0.81%MXN/USD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

0.8951 0.00 192,390.47SEKEUR112119 213,744.65 214,931.36 0.31%SEK/EUR FFX DUE 112119 Due 11/21/2019 NR/NR/NR

9.6234 0.00-2,060,000.00SEKEUR112119CC -213,744.65 -214,060.56 -0.31%SEK/EUR FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

1.0000 0.00-1,141,347.51SEKUSD112119 -1,141,347.51 -1,141,347.51 -1.63%SEK/USD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

9.6234 0.00 10,884,151.25SEKUSD112119CC 1,141,347.51 1,131,003.66 1.62%SEK/USD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

1.4506 0.00-607,061.94USDAUD112119 -410,755.84 -418,477.56 -0.60%USD/AUD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

1.0000 0.00 410,755.84USDAUD112119CC 410,755.84 410,755.84 0.59%USD/AUD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

0.8951 0.00-11,824,520.74USDEUR112119 -13,322,481.36 -13,209,907.44 -18.86%USD/EUR FFX DUE 112119 Due 11/21/2019 NR/NR/NR

0.8951 0.00 1,265,000.00USDEUR112119 1,400,656.46 1,413,210.17 2.02%USD/EUR FFX DUE 112119 Due 11/21/2019 NR/NR/NR

1.0000 0.00 13,322,481.36USDEUR112119CC 13,322,481.36 13,322,481.36 19.03%USD/EUR FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

Page 4 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


1.0000 0.00-1,400,656.46USDEUR112119CC -1,400,656.46 -1,400,656.46 -2.00%USD/EUR FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

0.7723 0.00-10,502,794.69USDGBP112119 -12,742,501.88 -13,599,435.97 -19.42%USD/GBP FFX DUE 112119 Due 11/21/2019 NR/NR/NR

1.0000 0.00 12,742,501.88USDGBP112119CC 12,742,501.88 12,742,501.88 18.20%USD/GBP FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

1.5587 0.00-997,546.33USDNZD112119 -642,872.72 -639,970.82 -0.91%USD/NZD FFX DUE 112119 Due 11/21/2019 NR/NR/NR

1.0000 0.00 642,872.72USDNZD112119CC 642,872.72 642,872.72 0.92%USD/NZD FFX DUE 112119-Cross Due 11/21/2019 NR/NR/NR

Total Forward $0.00 -1.05%$0.00 -$733,636.80

$0.00Total Foreign Exchange -1.05%$0.00 -$733,636.80

Cash & Cash EquivalentsTRADE DATE CASH-7,524.05MARGINCAD -5,726.65 -5,724.54 0.00 -0.01% 1.3139 1.3144NR/NR/NR



TRADE DATE CASH 122,004.00RESRVBLECAD 92,482.39 92,824.59 0.00 0.13% 1.3192 1.3144NR/NR/NR


TRADE DATE CASH 60,018.00AUD_CASH 41,187.16 41,349.41 0.00 0.06% 1.4572 1.4515NR/NR/NR


TRADE DATE CASH 34,998.00CAD_CASH 26,485.75 26,627.61 0.00 0.04% 1.3214 1.3144NR/NR/NR


TRADE DATE CASH 26,603.64EUR_CASH 29,393.67 29,680.37 0.00 0.04% 0.9051 0.8963NR/NR/NR


TRADE DATE CASH 13,971.04GBP_CASH 17,185.96 18,078.51 0.00 0.03% 0.8129 0.7728NR/NR/NR


TRADE DATE CASH 4,139,507.00JPY_CASH 38,384.31 38,291.54 0.00 0.05% 107.8437 108.1050NR/NR/NR

Page 5 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets



TRADE DATE CASH 5,916,285.74MXN_CASH 307,493.80 308,589.91 0.00 0.44% 19.2403 19.1720NR/NR/NR


TRADE DATE CASH 6,116.10NZD_CASH 3,833.86 3,922.25 0.00 0.01% 1.5953 1.5593NR/NR/NR


TRADE DATE CASH 83.08SEK_CASH 8.64 8.62 0.00 0.00% 9.6157 9.6343NR/NR/NR

0.00 8.64 8.62 Settled Cash NR/NR/NR

TRADE DATE CASH 510,606.38USD_CASH 510,606.38 510,606.38 0.00 0.73% 1.0000 100.0000NR/NR/NR



TRADE DATE CASH 43,728.93MARGINAUD 29,994.03 30,127.05 0.00 0.04% 1.4579 1.4515Aaa/AAA/AAA

0.00 25,491.69 25,624.71 Settled Cash Aaa/AAA/AAA

0.00 4,502.34 4,502.34 Unsettled Margin Variation Aaa/AAA/AAA

TRADE DATE CASH-1,563,651.53MARGINEUR -1,742,459.83 -1,744,488.73 0.00 -2.49% 0.8974 0.8963NR/NR/NR

0.00-6.00 -6.70 Outstanding Interest at period end NR/NR/NR



TRADE DATE CASH-472,678.78MARGINGBP -606,527.84 -611,645.96 0.00 -0.87% 0.7793 0.7728NR/NR/NR



Page 6 of 7



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


TRADE DATE CASH 72,001.00RESRVBLEAUD 48,719.47 49,605.09 0.00 0.07% 1.4779 1.4515NR/NR/NR


TRADE DATE CASH 1,848,167.48RESRVBLEEUR 2,088,093.83 2,061,909.10 0.00 2.94% 0.8851 0.8963NR/NR/NR


TRADE DATE CASH 525,477.12RESRVBLEGBP 695,724.35 679,966.98 0.00 0.97% 0.7553 0.7728NR/NR/NR


TRADE DATE CASH 163,163.68RESRVBLEUSD 163,163.66 163,163.68 0.00 0.23% 1.0000 1.0000NR/NR/NR


$0.00Total Cash & Cash Equivalents 2.42%$1,738,042.94 $1,692,891.86

$69,838,888.51$65,474,657.27 $185,447.93Total Assets: 100.00%

Total Account Value (Market Value & Accrued Interest) $70,024,336.44

NR: SECURITY NOT RATED BY RATING AGENCY.

Page 7 of 7

46

Global Inflation-Linked Review

47

Outlook

As of 26 Sep 19

Downside risks have risen, but global growth should prove to be resilient

US and global inflation rates continue to moderate

Aggressive central bank easing is designed to truncate downside risks

Central bank focus on core inflation outcomes suggests “low for long”

Trade friction will be an ongoing source of risk

Spread products should outperform government bonds

Emerging markets, though volatile, should outperform

48

Relative Value - Real Yields

US

Germany

UK

-3.5

-3.0

-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 2019

10-Y

ear R

eal Y

ield (

%)

Source: Bloomberg. As of 31 Oct 19

49

Relative Value - SectorBreakevens

US

Germany

UK

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

2012 2013 2014 2015 2016 2017 2018 2019

10-Y

ear B

reak

even

(%)


50

“Reflation Trade” vs. “Secular Stagnation”Global growth has downshifted and inflation remains subdued.

-4

-3

-2

-1

0

1

2

3

4

5

2001 2004 2007 2010 2013 2016 2019 2022

Perce

nt

Developed Markets Real GDP Growth

Source: International Monetary Fund. As of 30 Apr 19

-2

0

2

4

6

8

10

12

14

16

18

1970 1975 1980 1985 1990 1995 2000 2005 2010 2015

Perce

nt

Developed Markets Inflation

Source: Bloomberg. As of 30 Jun 19

51

Average Services PMI

Average Manufacturing

PMI

46

48

50

52

54

56

58

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Index

Leve

l

US, Germany and Japan Average Manufacturing and Services PMIs

Source: Haver, UBS. As of 25 Sep 19

Global Manufacturing and Services Have Diverged

-25

-20

-15

-10

-5

0

5

10

15

20

25

2001 2003 2005 2007 2009 2011 2013 2015 2017 2019

Year

-Ove

r-Yea

r (%

chan

ge)

World Trade Volumes

Source: CBP, Netherlands Bureau for Economic Policy Analysis. As of 31 Jul 19

52

Global Inflation Expectations Have Declined

US

Germany

Japan

0.0

0.5

1.0

1.5

2.0

2.5

3.0

2017 2018 2019

10-Y

ear B

reak

even

(%)


53

Central Banks Making Commitments on Realized Inflation

Note: Bolded text is WA emphasis.

Bank of Japan

“The Bank will continue expanding the monetary base until the year-on-year rate of increase in the observed CPI (all items less fresh food) exceeds the price stability target of 2 percent and stays above the target in a stable manner.” – September 2016

European Central Bank

“The Governing Council now expects the key ECB interest rates to remain at their present or lower levels until it has seen the inflation outlook robustly converge to a level sufficiently close to, but below, 2% within its projection horizon, and such convergence has been consistently reflected in underlying inflation dynamics.” – September 2019

Federal Reserve

“So I think we would need to see a really significant move up in inflation that's persistent before we even consider raising rates to address inflation concerns.” – Jerome Powell, October 2019

54

Global GovernmentsThe prevalence of negative yields has increased.

Total Negative Yielding Global Aggregate Debt: $13.4 Trillion

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 RatingSwitzerland -0.87 -0.80 -0.79 -0.77 -0.75 -0.71 -0.69 -0.65 -0.61 -0.59 -0.36 -0.28 -0.18 AAA

Germany -0.63 -0.66 -0.70 -0.68 -0.63 -0.61 -0.58 -0.54 -0.48 -0.41 -0.27 -0.12 0.11 AAAAustria -0.63 -0.61 -0.59 -0.57 -0.48 -0.43 -0.36 -0.31 -0.25 -0.17 0.09 0.16 0.42 AA+Sweden -0.41 -0.43 -0.39 -0.35 -0.28 -0.21 -0.12 -0.01 0.22 A

Netherlands -0.66 -0.69 -0.65 -0.58 -0.52 -0.46 -0.39 -0.35 -0.28 -0.14 0.08 0.12 AAAFinland -0.65 -0.65 -0.62 -0.56 -0.53 -0.43 -0.39 -0.30 -0.24 -0.17 0.07 0.34 AAADenmark -0.81 -0.71 -0.69 -0.60 -0.52 -0.38 -0.18 AA+Belgium -0.63 -0.65 -0.62 -0.53 -0.45 -0.40 -0.33 -0.25 -0.18 -0.10 0.16 0.39 0.73 AAAFrance -0.63 -0.63 -0.62 -0.54 -0.44 -0.41 -0.34 -0.30 -0.19 -0.10 0.16 0.27 0.70 AA-Ireland -0.59 -0.50 -0.48 -0.41 -0.30 -0.22 -0.09 0.00 0.30 0.51 0.85 AASpain -0.50 -0.43 -0.41 -0.28 -0.21 -0.09 0.00 0.08 0.16 0.23 0.65 0.66 1.12 A+Japan -0.21 -0.23 -0.24 -0.24 -0.26 -0.26 -0.26 -0.26 -0.20 -0.13 0.07 0.23 0.39 BBBItaly -0.23 -0.22 -0.04 0.08 0.31 0.33 0.61 0.69 0.74 0.92 1.47 1.65 2.02 BBB+

United Kingdom 0.71 0.50 0.44 0.43 0.42 0.38 0.41 0.75 0.94 1.13 AAUnited States 1.49 1.52 1.52 1.52 1.60 1.69 2.18 AA+

Norway 1.21 1.22 1.22 1.20 1.25 1.28 1.30 1.33 1.36 AAAPoland 1.00 1.41 1.52 1.63 1.71 1.79 1.86 1.92 1.94 1.96 A-

Singapore 1.63 1.60 1.63 1.76 1.85 1.94 2.09 AAASouth Korea 1.37 1.45 1.59 1.73 1.70 AA-

China 2.65 2.73 2.87 3.07 3.27 3.28 3.89 A+Malaysia 3.03 3.13 3.32 3.38 3.42 3.70 3.84 4.10 A-

Brazil 4.46 4.71 5.20 5.38 5.96 6.26 6.49 BB-Mexico 7.13 6.71 6.49 6.59 6.58 6.64 6.76 7.07 7.15 BBB+

Indonesia 5.56 5.83 6.15 6.27 6.40 6.68 6.68 6.75 6.85 6.98 7.45 7.66 7.66 BBB-South Africa 6.70 7.52 8.50 9.20 9.76 10.03 10.08 BB


55

Moderate US Economic Growth to Continue

US Growth: Consumer Fundamentals OK

Household Debt (left)

Debt Service (right)5

10

15

20

25

020406080

100120140

1980 1985 1990 1995 2000 2005 2010 2015

PercentPerce

nt

Debt and Debt Service, Percent of Disposable Income

Source: Bureau of Economic Analysis, Federal Reserve. As of 31 Mar 19

Real Personal Income

Real Personal Consumption-6-4-202468

2006 2008 2010 2012 2014 2016 2018

12-M

onth

% C

hang

e

Income and Consumption

Source: Bureau of Economic Analysis. As of 31 Aug 19

56

Unemployment Gap (left, inverted)

Core PCE Inflation (right)

0.0

0.5

1.0

1.5

2.0

2.5

3.0-2.5

-1.5

-0.5

0.5

1.5

2.5

3.5

4.5

5.51995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019

Percent, Year-Over-YearPe

rcent

Core PCE Inflation and the Unemployment Gap

Source: Bureau of Labor Statistics, Bureau of Economic Analysis, Federal Reserve. As of 30 Jun 19

Inflation Has Remained Low, Even as Unemployment Gap Has Closed

“Low inflation seems to be the problem of this era, not high inflation.” – Jerome Powell, August 23, 2019

57

US Interest RatesMarkets expect further Fed policy easing.

Source: Bloomberg. As of 05 Nov 19*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 2019

Perce

nt

US Treasury Forward Rate* Fed Terminal Rate

58

405060708090

100110120130140

1995 1999 2003 2007 2011 2015 2019

% of

GDP

Government DebtItaly France Germany Eurozone

Source: Eurostat, Haver. As of 30 Jun 19

Eurozone Fiscal and Monetary Accommodation Should Bear FruitThe structural fiscal stance is becoming more accommodative

-8-6-4-202468

1995 1999 2003 2007 2011 2015 2019

% of

GDP

Primary Budget Balance

Italy France Germany Eurozone

Source: European Commission, Haver. As of 31 Dec 18

-2.0-1.5-1.0-0.50.00.51.01.52.0

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

*Sp

ain*

Italy*

Fran

ce*

Germ

any*

% of

GDP

Fiscal Impulse**

Expansionary

Restrictive

Source: European Commission, Haver, Western Asset. As of 31 Dec 18*Forecast**Fiscal impulse corresponds to the negative change in the structural fiscal balance

-0.8-0.6-0.4-0.20.00.20.40.60.8

Mar 18 Jun 18 Sep 18 Dec 18 Mar 19 Jun 19 Sep 19

Yield

(%)

10-Year Germany Government Bonds

Source: Bloomberg. As of 13 Nov 19

59

China’s Recent Measures to Ease Credit

RRR • 6 cuts from 2018 to Sep 2019

Tax cuts • Lowered VAT by 1% for manufacturing and other sectors• Raising annual taxable income threshold of SMEs eligible

for preferential corporate income tax from CNY500K to CNY1m

• Raised threshold for personal income tax

Credit marketeasing

• PBoC injecting capital into China Bond Insurance Co• Reviving Credit Risk Mitigation Warrant (CRMW) to help

POEs to tap the domestic bond market by offering credit insurance

• Broadening the range of collateral for MTL operations to include lower rated bonds

Other measures

• Expanded the scope of eligible loans to be classified as SME loans by increasing the min size to CNY10m from CNY5m, thus allowing more banks to be able to enjoy lower RRR rates based on targeted RRR cut criteria announced earlier

• Expanding debt-to-equity swap program • Set up asset management plans (with funds contributed by

11 brokerages) for supporting POEs• PBoC window guidance to banks for lending to POEs

Healthy Domestic Demand and Robust Stimulus Supportive of Growth in China

Manufacturing PMI

Services PMI

48505254565860

2011 2012 2013 2014 2015 2016 2017 2018 2019

Perce

nt

Services PMI Remains Buoyant

Source: China Federation of Logistics and Purchasing. As of 31 Jul 19

Index=50

Services

Exports of Goods and Services

152025303540455055

1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017

Perce

nt of

GDP

Services Now Account for More Than Half of China's GDP

Source: World Bank. As of 31 Dec 18

60

2400

2600

2800

3000

3200

3400


Index

Shanghai Stock Exchange Index

Source: Bloomberg. As of 30 Sep 19

3.0

3.2

3.4

3.6

3.8

4.0


Yield

(%)

10-Year China Government Bonds


2.0

2.5

3.0

3.5

4.0

4.5

2012 2013 2014 2015 2016 2017 2018 2019

Perce

nt

PBOC Policy Rate


Markets Are Reflecting Continued Policy Accommodation to Support Growth

Asia

China

46.047.048.049.050.051.052.053.0

2015 2015 2016 2016 2017 2017 2018 2018 2019 2019

Index

Asia Manufacturing PMI

Source: Haver Analytics. As of 31 Oct 19

61

-5-4-3-2-10123456

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Perce

nt

GDP DistributionHousehold Consumption Government SpendingGross Capital Formation Trade BalanceOther Total GDP YoY Growth

UK Growth and InflationBrexit uncertainty and the waning impact of sterling’s depreciation on inflation should encourage the Bank of England to remain cautious in reducing policy accommodation.

Source: ONS, Haver. As of 31 Oct 19

Source: Bank of England. As of 30 Sep 19

Source: Haver Analytics, Western Asset. As of 30 Jun 19

Source: Bank of England, Bloomberg, ICE BofA Merrill Lynch, Western Asset. As of 31 Oct 19

-8

-4

0

4

8

12

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Year

-ove

r-Yea

r (%

)

Inflation

Import Prices UK Headline CPIH

3 Month GBP LIBOR

UK Bank Rate

Market Expected

Rates as of 31 Oct 19

Market Expected

Rates as of 30 Sep 19

0.00

0.25

0.50

0.75

1.00

1.25

2010 2012 2014 2016 2018 2020 2022

Perce

nt

UK Interest Rates

7580859095

100105110115

1990 1993 1996 1999 2002 2005 2008 2011 2014 2017

Index

(200

5=10

0)

Real Effective Exchange Rate

62

JapanThe current fiscal and monetary policy mix supports moderate growth.

-2

-1

0

1

2

3

4

5

2012 2013 2014 2015 2016 2017 2018 2019

Perce

ntJapan Inflation

Source: Datastream, Western Asset. As of 31 Aug 19

Unemployment

Core CPI (YoY, excluding fresh food and tax hike effects)

Core CPI (YoY, excluding fresh foods, energy and effects of sales tax)

63

708090

100110120130

2013 2014 2015 2016 2017 2018 2019

Index

Leve

ls

Higher EM Yields Coupled WIth Weak Currency Presents Buying Opportunity

Source: J.P. Morgan, Bloomberg. As of 24 Sep 19

Average: 3.64

23456

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Perce

nt

EM Inflation Near 10-Year Low

Source: Bloomberg. As of 31 Jul 19

-400-200

0200400

2006 2008 2010 2012 2014 2016 2018

Basis

Poin

ts

Real Yield Differential (EM¹ vs. DM²)

Source: Bloomberg. HSBC. As of 31 Aug 19¹EM (Emerging Markets): weighted average of Brazil, China, India, Indonesia, Mexico, Poland, Russia, S. Africa, and Turkey²DM (Developed Markets): weighted average of Germany, Japan, UK, and the US

Emerging Markets: EM Economies Should Regain Their FootingHeadwinds faced by the EM asset class in 2018 have largely abated. The asset class stands to benefit further from an accommodative backdrop given the US Fed’s dovish pivot.

64

Corporate BondsGlobal corporate spreads have recovered after material widening during 2018.

Source: Bloomberg Barclays, ICE BofA Merrill Lynch. As of 31 Oct 19

Euro

UK

US

50

75

100

125

150

175

200

225

250

2013 2014 2015 2016 2017 2018 2019

Basis

Poin

ts

Corporate Bonds Spreads

UK

US

Euro

0

1

2

3

4

5

2013 2014 2015 2016 2017 2018 2019

Perce

nt

Corporate Bonds Yields

65

Investment-Grade CreditSpreads 54 bps wider in 2018 provided an opportunity. Subsector overweights still have room to run.

70

90

110

130

150

170

190

210

230

2012 2013 2014 2015 2016 2017 2018 2019

Basis

Poin

ts

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

Source: Bloomberg Barclays. As of 30 Sep 19

Top Sector Overweights

US Credit: +109 bps

Sub-banking: +149 bps

Metals: +177 bps

Energy: +153 bps

Excess return is the difference between total returns of the security and an implied Treasury portfolio matching the term-structure profile of that security.

66

Outlook

As of 26 Sep 19

Downside risks have risen, but global growth should prove to be resilient

US and global inflation rates continue to moderate

Aggressive central bank easing is designed to truncate downside risks

Central bank focus on core inflation outcomes suggests “low for long”

Trade friction will be an ongoing source of risk

Spread products should outperform government bonds

Emerging markets, though volatile, should outperform

67

Appendix

68

Global InflationGlobal inflation ranges and pricing.

Country10yr Avg Inflation

(%)10yr High

Inflation (%)10yr Low Inflation

(%)Current Inflation

(%)Consensus

Inflation 2019 (%)Consensus

Inflation 2020(%)Current 10yr BE

(%)US 1.57 3.81 -1.96 1.77 1.80 2.00 1.38Canada 1.60 3.72 -0.95 1.79 2.00 2.00 1.25

Euro 1.26 3.02 -0.59 0.72 1.20 1.20 0.80France 1.02 2.52 -0.70 0.76 1.30 1.30 0.87Germany 1.19 2.57 -0.32 1.15 1.40 1.40 0.74Italy 1.15 3.42 -0.60 0.19 0.70 0.80 0.66Sweden 0.96 3.02 -1.53 1.62 1.80 1.70 1.74UK RPI 2.75 5.59 -1.57 2.07 2.60 2.50 2.96

Australia 2.11 3.55 1.02 1.67 1.60 2.00 1.24Japan 0.31 3.75 -2.53 0.20 0.60 0.90 0.04China 2.26 6.70 -1.79 3.73 2.50 2.40 n/aSource: Bloomberg, Haver, Western Asset. As of 31 Oct 19

69

Biographies

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

FRANCES L. COOMBES21 Years' Experience

– Western Asset Management Company, LLC – Client Serv ice Executive, 1998–– Columbia University, School of International and Public Affairs, M.P.P.– University of California, Berkeley, B.A.

FREDERICK R. MARKI36 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

70

Key Contacts

Frances L. CoombesClient Service Executive385 E. Colorado Blvd.Pasadena, CA 91101 Ph: 626-844-9557Fax: [email protected]

Richard BoothPortfolio ManagerWestern Asset Management Company Ltd10 Exchange Square, Primrose StreetLondon EC2A 2ENPh: +44 207 422 [email protected]

71

Fee Schedule

72

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 Custodianand 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

73

Glossary of Investment Terms

74

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

75

Representative Client List Disclosure

As of 30 Sep 19

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 $1.93(M) or greater. The clients listed in the Financial Services company type have portfolios with an AUM of $5.85(M) or greater. The clients listed in the Healthcare company type have portfolios with an AUM of $9.58(M) or greater. The clients listed in the Insurance company type have portfolios with an AUM of $15.54(M) or greater. The clients listed in the Eleemosynary company type have portfolios with an AUM of $1.06(M) or greater. The clients listed in the Public company type have portfolios with an AUM of $4.91(M) or greater. The clients listed in the Multi-Employer / Unions company type have portfolios with an AUM of $3.60(M) or greater.

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

76

Risk Disclosure

© Western Asset Management Company, LLC 2019. 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.

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INVESTMENT MANAGER SUMMARY · INVESTMENT MANAGER SUMMARY MANAGEMENT Firm Name Western Asset Management Company Manager Tenure with Fund 9.7 years Investment Strategy/Vehicle Global