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Los Angeles Water & Power Board Presentation June 13, 2018
CONFIDENTIAL PRESENTATION
Not for use with beneficial owners or the general public.
David Brown Co-Head of Global Investment Grade Fixed Income
Andrew Johnson Co-Head of Global Investment Grade Fixed Income
David Tang Senior Quantitative Analyst
Paul Sauer Client Advisor
Jennifer Laird Client Service Manager
Table of Contents
I. FIRM OVERVIEW
II. INVESTMENT PROCESS
III. PORTFOLIO REVIEW
I. RETIREMENT PLAN
II. HEALTH PLAN
IV. APPENDIX
I. MARKET ENVIRONMENT & OUTLOOK
II. PORTFOLIO RISK MANAGEMENT
III. PORTFOLIO GUIDELINES & FEE SCHEDULE
IV. HOLDINGS
V. DISCLOSURES
Presenter Biographies
David M. Brown, CFA, Managing Director, rejoined the firm in 2003. Dave is Co-Head of Global Investment Grade and acts as Senior Portfolio Manager on both Global Investment Grade and Multi-Sector Fixed Income strategies. He is a member of the Fixed Income Investment Strategy Committee and the Fixed Income Multi-Sector Group. Dave also leads the Investment Grade Credit team in determining credit exposures across both Global Investment Grade and Multi-Sector Fixed Income strategies. Dave initially joined the firm in 1991 after graduating from the University of Notre Dame with a BA in Government and subsequently received his MBA in Finance from Northwestern University. Prior to his return, he was a senior credit analyst at Zurich Scudder Investments and later a credit analyst and portfolio manager at Deerfield Capital. Dave has been awarded the Chartered Financial Analyst designation Andrew A. Johnson, Managing Director, joined the firm in 1989. Andy is the Head of Global Investment Grade Fixed Income and lead Portfolio Manager for multiple Fixed Income strategies. Andy has responsibility for the overall direction of the investment process and research and leads the senior investment team that sets overall portfolio strategy. He serves on numerous investment grade sector specialty teams. He is also a member of Neuberger Berman’s Fixed Income LLC’s Board of Directors and Neuberger Berman’s Partnership Committee. Prior to joining the firm, Andy was a manager of financial planning and analysis at Illinois Bell. Previously, he had been an R&D engineer at Northrop Defense Systems Division. Andy earned his BS and MS degrees in Electrical Engineering at the Illinois Institute of Technology and his MBA from the University of Chicago. Qi David Tang, Senior Vice President, joined the firm in 2011. David is a Senior Quantitative Analyst on the Investment Grade team. Before joining the firm, David was a risk analyst at Fannie Mae. Previous experience includes working as a quantitative analyst at Allstate Investments and ABN AMRO. David earned an MBA from the University of Chicago, two Master degrees from Illinois State University, one in Economics and one in Computer Science and a BA from Renmin University of China.
3
Presenter Biographies
Paul Sauer, CFA, Managing Director, joined the firm in 2013. Paul is a Client Advisor who is responsible for West Coast Public Institutions as part of the North American Client Coverage Team. Prior to joining Neuberger Berman, Paul was a managing director and head of BlackRock’s Endowment and Foundation institutional sales team, and began his financial services career at Goldman Sachs and Credit Suisse in the Equities Division. Paul also served 10 years in the US Navy as a Flight Officer deploying to Southwest Asia. Paul earned a BS from California State University at Northridge, an MBA from USC’s Marshall School of Business, and has been awarded the Chartered Financial Analyst designation Jennifer Laird, CAIA, Senior Vice President, joined the firm in 2006. Jennifer is a Client Service Manager who leads the North American institutional client service team. Prior to joining the firm, she held various positions at ABN AMRO Asset Management specifically as a client service associate and a portfolio operations analyst. Jennifer received a BS in Finance from the University of Illinois at Urbana-Champaign and an MBA in Finance from DePaul University. She has achieved the Chartered Alternative Investment Analyst designation. Jennifer holds the Series 7, 30, 31, and 66 FINRA licenses.
4
Coverage led by senior members of the investment grade and client coverage teams
INVESTMENT TEAM
Andy Johnson Managing Director Co-Head of Global Investment Grade Fixed Income 312.627.4333 [email protected]
Dave Brown Managing Director Co-Head of Global Investment Grade Fixed Income 312.879.8381 [email protected]
David Tang Senior Vice President Senior Quantitative Analyst 312.325.7715 [email protected]
CLIENT COVERAGE
Paul Sauer Managing Director Institutional Client Coverage 415.249.8001 [email protected]
Jennifer Laird Senior Vice President Institutional Client Coverage 312.325.7773 [email protected]
CLIENT REPORTING AND ANALYTICS
Mansoor Ahmed Vice President, Manager Client Reporting and Analytics 312.879.8346 [email protected]
Balakumaran Kailasam Associate Client Reporting and Analytics 312.325.7741 [email protected]
LADWP Investment Management and Client Coverage Team
Rahel Ayalew Vice President Institutional Client Coverage 212.476.9069 [email protected]
5
FIRM OVERVIEW
Employee-Owned Investment Manager Partnering with clients to achieve their unique objectives
1. Institutional-oriented equity and fixed income assets under management (“AUM”) includes the firm’s equity and fixed income institutional separate account (“ISA”), registered fund, and managed account/wrap (“MAG”) offerings and are based on the overall performance of each individual investment offering against its respective benchmark. High net worth/private asset management (“HNW”) AUM is excluded. If HNW AUM were included, the percentage of AUM outperforming the benchmark for the 10-year period would have been 63% for equities and 77% for fixed income. Equity and Fixed Income AUM outperformance results are asset-weighted so individual offerings with the largest amount of assets under management have the largest impact on the results. Please see additional disclosures for important information regarding Private Equity methodology. All performance data for NB Private Equity funds, public and private indices data is as of September 30, 2017. Results are shown gross of fees. Individual offerings may have experienced negative performance during certain periods of time. See Additional Disclosures for additional information regarding the outperformance statistics shown (including 3- and 5-yr statistics for equity and fixed income). Indexes are unmanaged and are not available for direct investment. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
Long-term Outperformance1 Alignment of Interests Portfolio managers invest alongside clients
Breadth of Independent Perspectives 570 investment professionals connected across public and private markets, equity, fixed income and alternatives
Experienced and Stable Teams 25+ year average industry experience for lead PMs; 96% annualized retention rate of senior investment professionals at MD and SVP level since becoming an independent company in 2009
Innovative Investment Solutions A track record of client partnerships and long-term performance
87% Institutional-oriented equity Percentage of institutional-oriented AUM outperforming benchmark 10-Year Period Ended March 31, 2018
77% Institutional-oriented fixed income Percentage of institutional-oriented AUM outperforming benchmark 10-Year Period Ended March 31, 2018
77% Private equity Percentage of NB Private Equity funds raised between 2005 – 2015 (since inception performance) outperforming benchmark Net IRR
Deep Resources Extensive fundamental research, access to management, innovative ESG research, and sophisticated risk management
7
Employee Ownership Fosters Team Stability and Alignment with Clients Industry-leading experience, retention and culture
1. Employee assets include current and former employees and their family members.
of clients’ assets managed by lead PMs who have 20+ years
of industry experience
Manager Experience
Retention Levels For Senior Investment Professionals
Managing Directors (includes retirements)
Managing Directors (competitor departures only)
98% 98% 99% 91% 94%
100% 99% 100% 99% 100%
2013
2014
2015
2016
2017
96% Alignment With Clients
invested by Neuberger Berman employees alongside clients1 ~$3bn 100%
independent, employee-owned
Ownership Structure
deferred cash compensation directly linked to team and firm strategies 100%
Our Culture
2013 2014 2015
2016 2017
8
Investment Platform
Breadth of independent perspectives across asset classes
1. As of March 31, 2018. Firm assets under management (AUM) includes $101.9 billion in Equity assets, $135.4 billion in Fixed Income assets and $61.8 billion in Alternatives assets. Alternatives “AUM and Committed Capital” includes assets under management for non-Private Equity businesses and Committed Capital since inception for the Private Equity businesses. Committed Capital since inception reflects all contractual commitments, including those still in documentation, to fund investments, including those which have since been realized, advised by NB Alternatives Advisers LLC and its affiliates or predecessors (the oldest mandate of which was founded in 1981).
EQUITY FIXED INCOME ALTERNATIVES
AUM $299bn1
Investment Professionals
$102bn 225
$135bn 160
Risk Parity Global Tactical Asset Allocation
Global Relative & Absolute Return Income Focused
Inflation Management Liability Aware
$70bn AUM and Committed Capital
142
Quantitative Global U.S. Emerging Markets Custom Beta
Risk Premia Options Global Macro Commodities
Fundamental Global/EAFE U.S. Value/Core/Growth Emerging Markets Regional EM, China Sustainable Equity Income Strategies – MLP – REITs
Global Investment Grade Global Non-Investment Grade Emerging Markets, Regional EM, China Opportunistic/Unconstrained Municipals Specialty Strategies – CLO Mezzanine – Currency – Corporate Hybrids
Private Equity: – Primaries – Co-Investments – Secondaries – Specialty Strategies – Minority stakes in
alternative firms/DYAL
Alternative Credit: – Private Credit – Residential Loans – Special Situations Hedge Funds: – Multi-Manager – Equity Long/Short – Credit Long/Short – Event Driven
Quantitative Fundamental
MULTI-ASSET CLASS SOLUTIONS AND STRATEGIC PARTNERSHIPS
Integration of Environmental, Social and Governance Factors
9
Global Investment
Grade $51
Global Non-Investment
Grade Credit $41
Emerging Markets Debt
$19
Multi-Sector & Opportunistic
$11
Municipals $10
Alternative Credit
$5
AUM ($bn)
Fixed Income Platform Overview $135bn across a spectrum of investment styles
1. Fixed Income assets under management excludes fixed income assets ($2 bn) managed by equity investment teams and includes alternative credit assets ($4 bn). 2. “Lead Portfolio Managers” are defined as those individuals who head a Fixed Income investment team. Percentages are rounded to the whole number. “Additional Investment Professionals” include Fixed Income research analysts, traders, product specialists, and team-dedicated economists/strategists.
• Consistency of leadership: 100% assets managed by lead PMs who have 20+ years of industry experience
• 162 investment professionals with sector specialization; 6 global locations1
• Best in class capabilities across global universe, public and private markets
Breadth and depth of capabilities
• Investment teams share insights and information across a global platform
• Multi-site platform ensures local perspective incorporated into portfolios
• Rigorous risk management framework includes independent oversight
Global integrated platform
• Proprietary tools drive portfolio construction; examples include State Space analysis, Credit Best Practices (proprietary credit analysis framework), Torpedo Monitoring (credit deterioration risk management) and Everest (identify, select and monitor portfolio positions)
Fundamental research driven approach
Broad Style Range1
Highly Experienced Managers2
100%
61%
20 YearsIndustry ExperienceTenure at Neuberger Berman
Supported by Additional Investment Professionals with an average of 13 years industry experience and 7 years at the firm
10 years tenure at Neuberger Berman
by AUM
85% Percentage of client assets under management by experienced Lead Portfolio Manager
10
Fixed Income Organization Supported by over 150 US and Global Money Managers, Research Analysts and Associates
GLOBAL FIXED INCOME BRAD TANK
EMERGING MARKETS DEBT ROB DRIJKONINGEN GORKY URQUIETA
Hard Currency Bart van der Made
Local Currency Raoul Luttik
Corporates Jennifer Gorgoll Nish Popat
Research Puay Yeong Goh Vera Kartseva Kaan Nazli
Asian Fixed Income
Prashant Singh
GLOBAL NON-INVESTMENT GRADE TOM O’REILLY
High Yield Russ Covode Dan Doyle Patrick Flynn Tom O’Reilly
Senior Floating Rate Loans / Structured Credit Stephen Casey Joseph Lynch Martin Rotheram Pim Van Schie
Research Chris Kocinski
European High Yield Vivek Bommi Martin Rotheram
GLOBAL INVESTMENT GRADE DAVE BROWN ANDREW JOHNSON*
Rates Thanos Bardas Anthony Woodside
Credit Dave Brown Julian Marks Bob Summers Securitized Jason Smith Tom Sontag
Currency Ugo Lancioni
Research Steve Flaherty Dmitry Gasinsky
Core/Core Plus Thanos Bardas Dave Brown Nate Kush Tom Marthaler
MUNICIPALS JAMES ISELIN
Cash/Short Duration Kristian Lind
Intermediate James Iselin S. Blake Miller
High Income James Iselin S. Blake Miller Eric Pelio
Research James Lyman
ALTERNATIVES
Global Credit Long / Short Rick Dowdle Norman Milner
Special Situations Michael Holmberg Brendan McDermott Ravi Soni
Residential Loans Terry Glomski
MULTI-SECTOR SOLUTIONS BRAD TANK
Global / US Opportunistic Strategies Thanos Bardas Ashok Bhatia Dave Brown Andrew Johnson Jon Jonsson Tom Marthaler
Research David Tang
Insurance Solutions Jason Pratt
Inflation / Liability Aware Thanos Bardas Olumide Owolabi Ronit Walny
China Fixed Income
Peter Ru
_______________________ As of March 31, 2018 Combined investment professionals of the firm and affiliated investment management entities. *As previously announced Andy will be retiring at the end of 2018 and will transition his portfolio management responsibilities to a group of senior portfolio managers across Global Investment Grade and the Multi-Sector Fixed Income Group. Given our team-based approach, each account will continue to be managed by portfolio managers that have a deep understanding of each portfolio and the client’s unique objectives.
11
INVESTMENT PROCESS
Collaborative, Research Driven Process
Develop Insights
Risk Management Multiple layers of risk management at the security, portfolio and firm levels
Ongoing incorporation of economic and market input – Idea sharing across global integrated investment platform
OU
TCO
ME
W
HAT
WE
DO
Value Asset Classes (State Space Analysis)
Individual sector teams value their asset classes using scenario analysis and subjective probabilities (we call this State Space Analysis)
An expected return and confidence level for each asset class. The metrics are used as the common basis for comparison.
Develop Asset Allocation
1. Analyze and vet state space submissions resulting in two common metrics: expected return and confidence level
2. Optimize based on common metrics
3. Overlay qualitative judgment
Allocation levels by asset class
Select Securities
Individual sector teams identify attractive securities (price, structure, rating, industry, risk, etc.) using proprietary tools and framework (e.g., credit best practices)
Portfolio implementation
Investment process overview
___________________________ This material is intended as a broad overview of the Portfolio Manager’s style, philosophy and investment process and is subject to change without notice. Portfolio Manager’s views may differ from that of other portfolio managers as well as the views of the firm. See Additional Disclosures at the end of this material, which are an important part of this presentation.
13
Develop Insights Insights generated from an integrated investment platform
_______________________ Data as of 3/31/2018. This material is intended as a broad overview of the Portfolio Manager’s style, philosophy and investment process and is subject to change without notice. Portfolio Manager’s views may differ from that of other portfolio managers as well as the views of the firm. See Additional Disclosures at the end of this material, which are an important part of this presentation.
• Global Macro • Interest Rates • Global IG Credit • Non Investment Grade Credit • Senior Floating Rate Loans • Emerging Markets Debt • Structured Products • Currency
Daily Meetings
Sector Focus Meetings
• Global Macroeconomics • Local and geopolitical considerations • Major themes impacting sectors (economic,
regulatory, tax, trade policies, etc.) • Share insights across sectors • ESG Engagement
Monthly Meetings
Investment Strategy Meetings
Weekly Senior PM Meetings
• Discuss portfolio and market performance • Discuss current portfolio positioning (strategic and tactical) • Analyze and vet State Space Submissions • Discuss potential asset allocation changes • Determine strategic asset allocation
Platform Idea Sharing
Global Investment Grade Credit
36 Investment resources
Securitized Products 18 Investment resources
Currencies 9 Investment resources
Global Developed Market Sovereigns
8 Investment resources
Emerging Market Debt 31 Investment resources
Global High Yield & Senior floating Rate Loans /CLOs
44 Investment resources
Municipal Bonds 16 Investment resources
14
Value Asset Classes – “State Space Analysis” A tool to level set return expectations and confidence levels across asset classes
_______________________ 1. Please see Neuberger Berman Fixed Income Sector Views and Return Estimates at the end of this material for additional information regarding the NB State-Space Analysis. The use of tools cannot guarantee performance. This material is intended as a broad overview of the portfolio managers’ style, philosophy and investment process and is subject to change. See Additional Disclosures at the end of this presentation, which are an important part of this presentation.
Higher confidence level = less dispersion of potential outcomes
Lower confidence level = greater dispersion of potential outcomes
How we assess relative value • Common metrics to compare complex and different asset classes • A robust description that goes beyond a point estimate to describe the
distribution • Combats overconfidence biases • A consistent and replicable framework
We ask ourselves three questions to assess return expectations and confidence level
What market expectations are driving/determining asset prices? Provide context How do our views differ from the markets? Determine attractive opportunities to allocate capital How much confidence do we have in our views? Determine how much capital to allocate to each opportunity
Why this approach
15
Allocate Across Sectors and Select Securities Framework incorporates both quantitative analysis and qualitative managerial judgment
ALLOCATE ACROSS SECTORS
_______________________ For illustrative purposes. This material is intended as a broad overview of the Portfolio Manager’s style, philosophy and investment process and is subject to change without notice. Portfolio Manager’s views may differ from that of other portfolio managers as well as the views of the firm. See Additional Disclosures at the end of this material, which are an important part of this presentation.
Key considerations: • Portfolio Team Input • Asset Allocation Model • Client Guidelines
SECURITY SELECTION
Sector teams combine extensive qualitative and quantitative analysis and leverage proprietary tools for individual issue selection decisions. Examples include: Credit team • Credit Best Practices • Torpedo Monitor Structured Product team • NB Analytics Platform - analytical and
surveillance platform Currency team • Fundamental models incorporating growth,
stability, yield, monetary policy, flows, and risk aversion factors
Global Rates team • Macroeconomic models for inflation and real
rates • Fitted nominal and real rate curves
FINAL PORTFOLIO
• Multi-sector bond portfolio that is adaptive to markets
• Tactically investing across the global fixed income universe
• Emphasizes diversification and risk management
• No persistent biases or tilts in the portfolio
Securitized
IG Credit
Agencies
Treasuries
High Yield
Global Sovereigns
Inflation Protected
Currencies
EM Debt
Municipals
Bank Loans
16
Credit Investing at Neuberger Berman Key characteristics that drive our approach to both public and private debt investing
• Organized around five fixed income asset classes: – Investment Grade
• Disciplined investment process that combines qualitative and quantitative analysis • Collaboration across asset classes, sectors, and geographies
• Analyst processes focus on sector, issuer, and structure recommendations • Proprietary “Credit Best Practices” provides common framework for valuation across most asset classes • Emphasis on capital preservation; management of tail risk while capitalizing on extreme valuations
• ESG integration at Neuberger Berman since 1989 • Investment in proprietary ESG ratings, data, and research • All potential investments are scored using NB ESG criteria • Focus on engagement with companies to improve ESG policies
Research Driven
Relative Valued Focused
ESG Integration
– Emerging Markets – Private Debt – High Yield – Municipals
This material is intended as a broad overview of the portfolio managers' style, philosophy and investment process and is subject to change without notice.
17
This material is intended as a broad overview of the portfolio managers’ style, philosophy and investment process and is subject to change without notice.
Neuberger Berman ESG Integration Incorporating ESG scoring in the credit research process for a more comprehensive framework
• Scores range from 0-100 and are comparable across sectors • Analysts utilize internal analysis, supplemented by external ESG data
• ESG is a critical component and enhances the fundamental research process
• Allows for differentiated ESG assessments across sectors: – Financial / Services - social aspects including employee & board
diversity/inclusion, labor practices, fair compensation, supplier standards
– Industrials - environmental & renewable energy policies, water intensity/GHG management, sustainable sourcing
• Identification of risk adjusted Best-in-Class companies within and across sectors
• ESG assessment made by a large and experienced global credit research team – understand the nuances of the sector and issuer. More impactful than relying on third party services or a centralized group
• Proactive engagement with issuers to enhance disclosure, improve ESG analysis, and affect positive change
• Sharing of best practices and leverage resources across asset classes
Credit analysts calculate comprehensive issuer ESG scores Potential benefits of using an integrated ESG scoring approach
Differentiated ESG process
ESG Research and Scoring
Incorporate ESG Analysis in Investment Decisions
Ongoing monitoring Engage issuers
18
Risk Management Multi layered approach – security level, portfolio construction, and independent oversight
_______________________ For illustrative purposes only.
• Country, sector and position level limits
• Continuously update cash flow models and target prices
• Daily interaction and formal team meetings to discuss and share investment ideas
• Portfolio Analysis and Risk (PAR) provides independent risk oversight
• Investment Risk Committee
• Operational Risk Committee reviews operating processes
• Asset Management Guideline Oversight (AMGO) team monitors compliance with client investment guidelines daily
STRATEGY
Investment Team Level
Firm Level
19
Portfolio Management Oversight & Governance A six-step continuous process
ACTIVITY/ ESCALATION
OWNERS Portfolio Managers Asset Management Guideline Oversight
(AMGO)
Portfolio Analysis & Risk (PAR)
CIOs & Portfolio Managers (with PAR)
Investment Risk Committee (IRC)
(with CIOs)
MF & UCITS fund Boards, NB Board
of Directors
TASKS • Security
selection • Portfolio
construction • Deployment of
active risk
• Guidelines, constraints, and limits monitoring
• Code restrictions into the order management system
• Tools utilized: Aladdin, Charles River, etc.
• Risk strategy- and firm-level dashboards
• Scenario analysis and stress testing
• Liquidity monitoring
• Tools utilized: Factset, Barra, Aladdin, POINT, etc.
• Investment process oversight
• Product review meetings/ discussions with PMs
• Intervention where required
• Review with executive management
• Semi-monthly meetings
• Formal review of specific strategies/new strategies
• Review of all strategies on quarterly basis
• Governance • Review of
performance/ risk/personnel
Oversight Investment
Management Monitoring/ Engagement
Involvement/Oversight
Monitoring
Engagement/ Involvement
1 2 3 4 5 6
This material is intended as a broad overview of the Portfolio Manager’s style, philosophy and investment process and is subject to change without notice. Portfolio Manager’s views may differ from that of other portfolio managers as well as the views of the firm. Information is intended to be a general overview of the process, is as of the date of this presentation, and is subject to change without notice. See Additional Disclosures at the end of this material, which are an important part of this presentation.
20
PORTFOLIO REVIEW
Portfolio Performance
As of April 30, 2018
PERFORMANCE – RETIREMENT PLAN
PERFORMANCE – HEALTH PLAN
_______________________ 1. Preliminary returns; not yet reconciled. Gross returns do not reflect the deduction of advisory fees and other expenses, which will reduce returns. 2. Custom index is 66.67% Bloomberg Barclays Global Multiverse Credit Index Hedged 33.33% Bloomberg Barclays Global High Yield Index This supplemental report is provided for informational purposes only; please refer to your account statement(s) or other statement provided by your custodian for the official records of your account(s). Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results. See Additional Disclosures at the end of this presentation. Inception Date for Los Angeles Water & Power Retirement Plan and Los Angeles Water & Power Health Plan is September 1st, 2015
Periods Ending April 30, 2018L.A. Water & PowerHealth Plan - Gross1
L.A. Water & PowerHealth Plan - Net1
L.A. Water & PowerCustom Index2
DifferenceGross of Fees
DifferenceNet of Fees
April 2018 -0.17% -0.18% -0.21% 0.04% 0.03%
Year to Date 2018 -0.67% -0.74% -1.20% 0.53% 0.46%
One Year 4.86% 4.62% 2.24% 2.62% 2.38%
Two Year 7.04% 6.79% 4.92% 2.12% 1.87%
Since Inception(09/01/2015 to 04/30/2018) 6.65% 6.41% 5.35% 1.30% 1.06%
Periods Ending April 30, 2018L.A. Water & Power
Retirement Plan - Gross1L.A. Water & Power
Retirement Plan - Net1L.A. Water & Power
Custom Index2Difference
Gross of FeesDifferenceNet of Fees
April 2018 -0.20% -0.22% -0.21% 0.01% -0.01%
Year to Date 2018 -0.82% -0.90% -1.20% 0.38% 0.30%
One Year 4.55% 4.31% 2.24% 2.31% 2.07%
Two Year 6.85% 6.61% 4.92% 1.93% 1.69%
Since Inception(09/01/2015 to 04/30/2018) 6.49% 6.25% 5.35% 1.14% 0.90%
22
RETIREMENT PLAN
_______________________ 1. Preliminary returns; not yet reconciled. Gross returns do not reflect the deduction of advisory fees and other expenses, which will reduce returns. This supplemental report is provided for informational purposes only; please
refer to your account statement(s) or other statement provided by your custodian for the official records of your account(s). Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
* 09/01/2015 – 12/31/2015 See Additional Disclosures at the end of this presentation.
Portfolio Attribution – Retirement Plan
As of April 30, 2018
ATTRIBUTION – RETIREMENT PLAN
Total Sector Security Total Sector Security Total Sector Security Total Sector SecurityRates 1 5 -4 27 18 9 -63 -71 8 -20 -17 -3TIPS 0 0 0 0 0 0 0 0 0 4 4 0Agencies 0 0 0 0 0 0 0 0 0 0 0 0Developed Market IG Credit 14 8 6 8 -17 25 111 -31 142 -33 -6 -27HY Credit - Pan European -1 -1 0 0 0 0 0 0 0 0 0 0HY Credit - USD -10 -4 -6 -101 -89 -12 -104 -44 -60 57 40 17Agency MBS 0 0 0 0 0 0 0 0 0 0 0 0Non-Agency MBS 19 19 0 210 205 5 96 93 3 3 18 -15CMBS 0 0 0 0 0 0 0 0 0 0 0 0CLOs 5 5 0 29 27 2 0 0 0 0 0 0Senior Floating Rate Loans 2 2 0 22 21 1 15 14 1 -2 -2 0Emerging Market Debt -3 -1 -2 -6 -27 21 -70 -38 -32 -9 7 -16Global Sovereign 1 1 0 17 17 0 15 15 0 -8 -8 0Currency Overlay 10 10 0 49 49 0 -14 -14 0 35 35 0Total 38 44 -6 255 204 51 -14 -76 62 27 71 -44
2017 2016 2015* Year to Date 2018
24
PORTFOLIO STATISTICS PORTFOLIO CREDIT QUALITY1 (%)
Portfolio Characteristics – Retirement Plan
_______________________ 1. Barclays Rating Classification Source: Blackrock Aladdin. Past performance is not indicative of future results. Components are rounded to 2 decimal places and may incorporate immaterial rounding differences as a result. This supplemental report is provided for informational purposes only; please refer to your account statement(s) or other statement provided by your custodian for the official records of your account(s). Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results. See Additional Disclosures at the end of this presentation.
KEY RATE DURATION CONTRIBUTION
As of April 30, 2018
L.A. Water & PowerRetirement Plan
L.A. Water & PowerCustom Index
Weighted Average Duration (yrs) 5.38 5.60Weighted Average OAS (bps) 238 201Weighted Average Spread Duration (yrs) 5.65 5.57Maturity (yrs) 8.12 7.57Yield to Maturity (%) 5.36 4.92Yield to Worst (%) 5.31 4.79S&P Rating BBB- BBB-Moody's Rating Ba1 Baa3Weighted Average Coupon (%) 4.88 4.60
L.A. Water & PowerRetirement Plan
L.A. Water & PowerCustom Index
AAA 3.07 5.88AA 1.61 6.95A 7.38 19.10BBB 34.84 23.27BB 29.41 21.55B 19.92 18.05CCC and Below 2.50 3.99NR 0.22 1.20Net Unsettled Positions 0.50 0.00Cash 0.53 0.01Total 100.00 100.00
0.04 0.06 0.21
0.42
0.98 1.16
0.99
0.30 0.48
0.27 0.46
0.02 0.09 0.25
0.60
0.95 1.10
0.81
0.39 0.43 0.51 0.44
0.03
-0.03 -0.04 -0.18
0.03 0.06 0.18
-0.09
0.04
-0.24
0.02
-0.50
0.00
0.50
1.00
1.50
3M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 25Y 30YPortfolio Benchmark Active
25
_______________________ Source: Aladdin Analytics System. This supplemental report is provided for informational purposes only; please refer to your account statement or other statement provided by your custodian for the official records of your account(s). This report is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such. It does not constitute an official record.
Portfolio Allocation by Asset Class – Retirement Plan As of April 30, 2018
Portfolio Benchmark Active Portfolio Benchmark Active Portfolio Active Portfolio Active Portfolio Active Beta ActiveGovernment Related 2.97 0.01 2.96 0.97 - 0.97 0.20 0.20 -12 - - 1.15 0.03 0.03 - -
Agencies - 0.01 -0.01 - - - - - - - - - - - - -Treasuries 2.97 - 2.97 -0.27 - -0.27 0.06 0.06 -4 - - - - - - -
US Treasury Bullets 2.97 - 2.97 0.20 - 0.20 0.08 0.08 - - - - - - - -US Treasury Futures - - - -0.47 - -0.47 -0.03 -0.03 34 - - - - - - -
Global Sovereign - - - 1.24 - 1.24 0.14 0.14 -1 - - 0.21 0.03 0.03 - -Core Europe - - - 0.93 - 0.93 0.09 0.09 -1 - - 0.27 0.03 0.03 - -Japan - - - 0.02 - 0.02 - - 1 - - - - - - -U.K. - - - 0.24 - 0.24 0.04 0.04 -3 - - - - - - -Canada - - - 0.05 - 0.05 0.01 0.01 -1 - - - - - - -
Securitized 24.37 - 24.37 0.04 - 0.04 1.29 1.29 284 69 69 5.25 1.28 1.28 - -Non-Agency RMBS 9.13 - 9.13 0.01 - 0.01 0.33 0.33 111 10 10 3.61 0.33 0.33 - -CRTs 5.73 - 5.73 - - - 0.23 0.23 192 11 11 5.86 0.34 0.34 - -CLOs 9.51 - 9.51 0.04 - 0.04 0.72 0.72 505 48 48 6.46 0.61 0.61 - -
Developed Market IG Credit 36.58 48.28 -11.70 2.59 3.15 -0.56 1.62 0.27 156 57 13 7.03 2.57 -0.56 1.34 0.85Corporate 36.58 39.15 -2.57 2.59 2.61 -0.02 1.62 0.45 156 57 17 7.03 2.57 -0.02 - -
Financial 14.27 15.04 -0.78 0.80 0.83 -0.03 0.62 0.20 156 22 7 5.59 0.80 -0.03 - -Industrial 21.91 21.14 0.76 1.72 1.52 0.20 0.98 0.33 156 34 13 7.78 1.71 0.20 - -Utilities 0.41 2.97 -2.56 0.07 0.25 -0.18 0.02 -0.07 90 - -3 17.32 0.07 -0.18 - -
Non-Corporate - 9.13 -9.13 - 0.54 -0.54 - -0.18 - - -3 - - -0.54 - -Developed Market HY Credit 23.23 29.75 -6.52 0.95 1.21 -0.26 1.29 -0.35 314 73 -25 4.07 0.94 -0.27 1.25 -0.04
High Yield - Pan European 3.97 7.03 -3.06 0.20 0.27 -0.08 0.14 -0.09 318 13 -10 4.78 0.19 -0.08 - -High Yield - USD 19.26 22.73 -3.47 0.76 0.94 -0.18 1.15 -0.27 313 60 -16 3.92 0.75 -0.19 - -
Senior Floating Rate Loans 0.63 - 0.63 - - - 0.03 0.03 308 2 2 2.11 0.01 0.01 - -Emerging Market Debt 11.18 21.92 -10.74 0.81 1.23 -0.42 0.70 -0.44 336 38 -22 7.21 0.81 -0.42 1.33 -0.15
EM Hard Currency 11.18 21.90 -10.71 0.81 1.23 -0.42 0.70 -0.44 336 38 -22 7.21 0.81 -0.42 - -Sovereign 8.84 15.40 -6.57 0.68 0.95 -0.27 0.57 -0.22 347 31 -9 7.64 0.67 -0.27 - -
Investment Grade 3.69 5.66 -1.96 0.33 0.37 -0.04 0.19 -0.03 216 8 0 8.89 0.33 -0.04 - -High Yield 5.14 9.75 -4.61 0.35 0.58 -0.23 0.38 -0.19 441 23 -8 6.74 0.35 -0.23 - -
Corporate 2.35 6.49 -4.15 0.13 0.28 -0.15 0.13 -0.23 293 7 -13 5.59 0.13 -0.15 - -Investment Grade 1.11 1.98 -0.87 0.08 0.11 -0.03 0.05 -0.02 195 2 -1 7.21 0.08 -0.03 - -High Yield 1.23 4.51 -3.28 0.05 0.17 -0.12 0.08 -0.21 382 5 -12 4.14 0.05 -0.12 - -
Net Unsettled Positions 0.50 - 0.50 - - - 0.01 0.01 - - - - - - - -Cash / Cash Equivalents 0.53 0.01 0.53 - - - 0.17 -0.48 - - - - - - - -
Total 100.00 100.00 0.00 5.38 5.60 -0.22 5.31 0.52 238 238 37 5.65 5.65 0.08
Beta Adjusted Spread DurationMarket Value % Duration Contribution Nominal Yield
Contribution OAS Contribution Spread Duration ContributionOAS Spread
Duration
26
Portfolio Positioning by Currency – Retirement Plan
_______________________ Source: Aladdin Analytics System. This supplemental report is provided for informational purposes only; please refer to your account statement or other statement provided by your custodian for the official records of your account(s). This report is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such. It does not constitute an official record.
As of April 30, 2018
3M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 25Y 30YDuration
ContributionMarket Value
%AUD - - - - - - - - - - - 0.00 1.39CAD - - - - - 0.04 0.02 - - - - 0.06 1.75CHF -0.01 - - - - - - - - - - -0.01 -2.25EUR -0.01 - 0.01 0.05 0.31 0.26 0.32 0.01 0.03 0.10 - 1.07 -3.98GBP - - - 0.01 0.02 0.05 0.20 - - - - 0.29 -0.24ITL - - - - - - - - - - - 0.00 0.00JPY - - - - - 0.02 - - - - - 0.02 -0.79KRW - - - - - - - - - - - 0.00 -0.19MXN - - - - - - - - - - - 0.00 0.00NOK - - - - - - - - - - - 0.00 1.84NZD - - - - - - - - - - - 0.00 -0.85SEK 0.01 - - - - - - - - - - 0.01 4.07USD 0.05 0.06 0.20 0.36 0.66 0.79 0.45 0.29 0.45 0.17 0.46 3.93 99.25
Total 0.04 0.06 0.21 0.42 0.98 1.16 0.99 0.30 0.48 0.27 0.46 5.38 100.00
3M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 25Y 30Y
Active Duration
ContributionActive Market
Value %AUD - - - - -0.01 -0.01 -0.01 - - - - -0.02 1.39CAD 0.01 - - -0.01 -0.01 0.03 0.01 - -0.01 -0.01 - -0.01 1.75CHF -0.01 - - - - - - - - - - -0.02 -2.25EUR - -0.02 -0.04 -0.08 0.07 -0.03 0.11 -0.07 -0.02 0.07 -0.04 -0.05 -3.93GBP - - - -0.01 -0.01 0.01 0.16 -0.04 -0.04 -0.03 -0.03 0.00 -0.23ITL - - - - - - - - - - - 0.00 -0.02JPY - - - - - 0.02 - - - - - 0.00 -0.79KRW - - - - - - - - - - - 0.00 -0.19MXN - - - - - - - - - - - 0.00 0.00NOK - - - - - - - - - - - 0.00 1.84NZD - - - - - - - - - - - 0.00 -0.85SEK 0.01 - - - - - - - - - - 0.01 4.07USD 0.01 -0.01 0.02 -0.06 - 0.04 -0.09 0.02 0.11 -0.27 0.10 -0.13 -0.78
Total 0.03 -0.03 -0.04 -0.18 0.03 0.06 0.18 -0.09 0.04 -0.24 0.02 -0.22 0.00
Portfolio Yield Curve Duration
Active Yield Curve Duration
27
We believe there are strong fundamentals in many sectors with attractive valuations
Credit Sector Exposures – Retirement Plan
_______________________ Source: Blackrock Aladdin. Data as of April 30, 2018. Portfolio characteristics are as of the date indicated and subject to change without notice. This supplemental report is provided for informational purposes only; please refer to your account statement or other statement provided by your custodian for the official records of your account(s). This report is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such. It does not constitute an official record.
Developed Market IG
Credit
Developed Market HY
Credit
Senior Floating Rate
LoansTotal Benchmark Active Portfolio Active Portfolio Active
Technology 3.50 1.83 0.22 5.54 3.94 1.60 0.28 0.06 172 7Cable/Media 2.24 3.18 0.05 5.48 4.19 1.29 0.31 0.09 247 -43Midstream 1.85 1.41 - 3.26 2.05 1.21 0.22 0.08 222 10Banking 12.77 0.64 - 13.41 12.27 1.13 0.72 0.13 158 47Telecom 3.08 2.58 0.02 5.69 5.14 0.55 0.48 0.17 310 44Tobacco 1.00 - - 1.00 0.51 0.49 0.12 0.09 163 28REITs 0.74 0.59 - 1.33 1.25 0.07 0.08 0.01 228 80Finance 0.45 1.59 - 2.04 2.06 -0.02 0.07 -0.03 205 -11Aerospace and Defense 0.79 0.06 - 0.85 0.90 -0.05 0.12 0.07 88 -92Energy 2.76 1.36 - 4.12 4.18 -0.06 0.26 0.04 249 -47Home Construction - 0.50 - 0.50 0.56 -0.06 0.02 0.00 229 -16Government Sponsored - - - - 0.11 -0.11 - -0.01 - -55Environmental - 0.04 - 0.04 0.15 -0.11 0.00 0.00 282 74Lodging/Leisure - 1.50 0.06 1.56 1.70 -0.14 0.05 -0.02 247 -8Airlines - - - - 0.22 -0.22 - -0.01 - -169Manufacturing/Machinery 1.28 0.33 - 1.61 1.84 -0.23 0.04 -0.06 262 87Pharmaceuticals 1.67 0.46 - 2.14 2.38 -0.24 0.10 -0.06 231 36Paper/Packaging - 0.94 0.04 0.98 1.28 -0.30 0.04 -0.02 236 2Health Insurance - 0.11 - 0.11 0.42 -0.31 0.00 -0.03 163 28Railroads - - - - 0.33 -0.33 - -0.04 - -106Consumer Cyclical Services - 0.53 0.03 0.56 0.98 -0.42 0.02 -0.03 285 28Transportation Services 0.28 0.37 - 0.65 1.09 -0.44 0.03 -0.03 296 57Natural Gas - - - - 0.53 -0.53 - -0.04 - -112Building Materials - 0.15 - 0.15 0.73 -0.58 0.00 -0.03 187 -10Automotive 1.57 0.27 - 1.84 2.46 -0.62 0.10 -0.01 171 16Industrial Other - 0.15 0.01 0.16 0.84 -0.68 0.01 -0.04 390 115Healthcare 0.87 1.22 0.07 2.17 2.85 -0.68 0.11 -0.04 214 -57Consumer Products - 0.14 0.01 0.15 0.89 -0.74 0.01 -0.04 331 117Metals and Mining - 0.73 - 0.73 1.49 -0.76 0.05 -0.03 247 -39Food and Beverage 0.82 0.37 0.04 1.23 2.19 -0.96 0.11 -0.03 288 134Chemicals 0.20 0.29 - 0.48 1.52 -1.04 0.03 -0.04 177 -15Retailers - 0.47 0.02 0.49 2.04 -1.56 0.03 -0.09 277 -20Utility 0.41 1.11 0.06 1.57 3.24 -1.67 0.11 -0.13 282 137Insurance 0.30 - - 0.30 2.53 -2.22 0.01 -0.16 161 -17Non-Corporate - 0.32 - 0.32 9.18 -8.86 0.02 -0.52 272 230
Total 36.58 23.23 0.63 60.44 78.03 -17.59 3.55 -0.82 218 36
Duration Contribution OASMarket Value %
28
HEALTH PLAN
_______________________ 1. Preliminary returns; not yet reconciled. Gross returns do not reflect the deduction of advisory fees and other expenses, which will reduce returns. This supplemental report is provided for informational purposes only; please refer to your account statement(s) or other statement provided by your custodian for the official records of your account(s). Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results. See Additional Disclosures at the end of this presentation.
Portfolio Attribution – Health Plan
As of April 30, 2018
ATTRIBUTION – HEALTH PLAN
Total Sector Security Total Sector Security Total Sector Security Total Sector SecurityRates 0 4 -4 31 20 11 -63 -71 8 -19 -16 -3TIPS 0 0 0 0 0 0 0 0 0 4 4 0Agencies 0 0 0 0 0 0 0 0 0 0 0 0Developed Market IG Credit 10 3 7 9 -18 27 107 -30 137 -24 1 -25HY Credit - Pan European 1 -1 2 0 0 0 0 0 0 0 0 0HY Credit - USD 5 2 3 -88 -79 -9 -93 -41 -52 78 64 14Agency MBS 0 0 0 0 0 0 0 0 0 0 0 0Non-Agency MBS 18 18 0 219 214 5 96 93 3 3 18 -15CMBS 0 0 0 0 0 0 0 0 0 0 0 0CLOs 7 7 0 33 31 2 0 0 0 0 0 0Senior Floating Rate Loans 0 0 0 19 18 1 14 14 0 -2 -2 0Emerging Market Debt 0 -1 1 -19 -38 19 -77 -45 -32 -36 -25 -11Global Sovereign 1 1 0 20 20 0 16 16 0 -7 -7 0Currency Overlay 11 11 0 48 48 0 -16 -16 0 36 36 0Total 53 44 9 272 216 56 -16 -80 64 33 73 -40
2017 2016 2015* Year to Date 2018
30
PORTFOLIO STATISTICS PORTFOLIO CREDIT QUALITY1 (%)
Portfolio Characteristics – Health Plan
_______________________ 1. Barclays Rating Classification Source: Blackrock Aladdin. Past performance is not indicative of future results. Components are rounded to 2 decimal places and may incorporate immaterial rounding differences as a result. This supplemental report is provided for informational purposes only; please refer to your account statement or other statement provided by your custodian for the official records of your account(s). This report is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such. It does not constitute an official record.
KEY RATE DURATION CONTRIBUTION
As of April 30, 2018
L.A. Water & PowerHealth Plan
L.A. Water & PowerCustom Index
Weighted Average Duration (yrs) 5.39 5.60Weighted Average OAS (bps) 241 201Weighted Average Spread Duration (yrs) 5.63 5.57Maturity 8.06 7.57Yield to Maturity (%) 5.33 4.92Yield to Worst (%) 5.29 4.79S&P Rating BB+ BBB-Moody's Rating Baa3 Baa3Weighted Average Coupon (%) 4.66 4.60
L.A. Water & PowerHealth Plan
L.A. Water & PowerCustom Index
AAA 2.75 5.89AA 1.83 6.95A 7.47 19.10BBB 33.32 23.27BB 39.54 21.55B 11.92 18.05CCC and Below 1.56 3.99NR 0.00 1.20Net Unsettled Position 0.98 0.00Cash 0.63 0.00Total 100.00 100.00
0.05 0.05 0.08 0.34
0.83
1.22 1.17
0.37 0.55
0.32 0.41
0.02 0.09 0.25
0.60
0.95 1.10
0.81
0.39 0.43 0.51 0.44
0.03
-0.04 -0.17 -0.25
-0.12
0.12 0.35
-0.02
0.12
-0.19 -0.03
-0.50
0.00
0.50
1.00
1.50
3M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 25Y 30Y
Portfolio Benchmark Active
31
_______________________ Source: Aladdin Analytics System. This supplemental report is provided for informational purposes only; please refer to your account statement or other statement provided by your custodian for the official records of your account(s). This report is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such. It does not constitute an official record.
Portfolio Allocation by Asset Class – Health Plan
As of April 30, 2018
Portfolio Benchmark Active Portfolio Benchmark Active Portfolio Active Portfolio Active Portfolio Active Beta ActiveGovernment Related 2.67 0.01 2.66 1.14 - 1.14 0.16 0.16 -10 - - 1.09 0.03 0.03 - -
Agencies - 0.01 -0.01 - - - - - - - - - - 0.00 - -Treasuries 2.67 - 2.67 -0.10 - -0.10 0.02 0.02 -2 - - - - - - -
US Treasury Bullets 2.67 - 2.67 0.18 - 0.18 0.08 0.08 - - - - - - - -US Treasury Futures - - - -0.28 - -0.28 -0.05 -0.05 1 - - - - - - -
Global Sovereign - - - 1.24 - 1.24 0.14 0.14 -1 - - 0.18 0.03 0.03 - -Core Europe - - - 0.93 - 0.93 0.09 0.09 -1 - - 0.23 0.03 0.03 - -Japan - - - 0.04 - 0.04 - - 1 - - - - - - -U.K. - - - 0.22 - 0.22 0.03 0.03 -3 - - - - - - -Canada - - - 0.06 - 0.06 0.01 0.01 -1 - - - - - - -
Securitized 26.77 - 26.74 0.05 - 0.05 1.48 1.48 308 82 82 5.35 1.43 1.43 - -Non-Agency RMBS 9.15 - 9.15 0.01 - 0.01 0.33 0.33 111 10 10 3.62 0.33 0.33 - -CRTs 5.64 - 5.64 - - - 0.23 0.23 192 11 11 5.85 0.33 0.33 - -CLOs 11.98 - 11.98 0.05 - 0.05 0.91 0.91 513 61 61 6.43 0.77 0.77 - -
Developed Market IG Credit 35.88 48.28 -12.40 2.57 3.15 -0.58 1.59 0.25 157 56 13 7.11 2.55 -0.58 1.17 0.39Corporate 35.88 39.15 -3.27 2.57 2.61 -0.04 1.59 0.42 157 56 16 7.11 2.55 -0.04 - -
Financial 14.22 15.04 -0.82 0.80 0.83 -0.04 0.62 0.19 156 22 7 5.59 0.79 -0.04 - -Industrial 21.25 21.14 0.11 1.70 1.52 0.18 0.96 0.30 159 34 12 7.93 1.68 0.17 - -Utilities 0.41 2.97 -2.56 0.07 0.25 -0.18 0.02 -0.07 90 - -3 17.32 0.07 -0.18 - -
Non-Corporate - 9.13 -9.13 - 0.54 -0.54 - -0.18 - - -3 - - -0.54 - -Developed Market HY Credit 23.69 29.75 -6.06 0.93 1.21 -0.28 1.31 -0.34 314 74 -24 3.93 0.93 -0.28 1.63 0.06
High Yield - Pan European 4.33 7.03 -2.70 0.21 0.27 -0.06 0.17 -0.05 364 16 -7 4.80 0.21 -0.07 - -High Yield - USD 19.37 22.73 -3.36 0.71 0.94 -0.23 1.13 -0.29 302 59 -17 3.74 0.72 -0.22 - -
Emerging Market Debt 9.38 21.92 -12.55 0.70 1.23 -0.54 0.56 -0.59 303 28 -31 7.37 0.69 -0.53 1.07 -0.49EM Hard Currency 9.38 21.90 -12.52 0.70 1.23 -0.54 0.56 -0.59 303 28 -31 7.37 0.69 -0.53 - -
Sovereign 8.12 15.40 -7.29 0.60 0.95 -0.35 0.50 -0.29 321 26 -13 7.31 0.59 -0.35 - -Investment Grade 3.60 5.66 -2.05 0.31 0.37 -0.06 0.18 -0.04 201 7 -1 8.46 0.31 -0.06 - -High Yield 4.52 9.75 -5.23 0.29 0.58 -0.29 0.32 -0.25 416 19 -12 6.38 0.29 -0.29 - -
Corporate 1.26 6.49 -5.24 0.10 0.28 -0.18 0.06 -0.30 189 2 -17 7.81 0.10 -0.19 - -Investment Grade 1.05 1.98 -0.93 0.09 0.11 -0.02 0.05 -0.03 177 2 -1 8.12 0.09 -0.02 - -High Yield 0.21 4.51 -4.30 0.01 0.17 -0.16 0.01 -0.27 248 1 -16 6.26 0.01 -0.16 - -
Net Unsettled Positions 0.98 - 0.98 - - - 0.02 0.02 - - - - - - - -Cash / Cash Equivalents 0.63 0.01 0.62 - - - 0.17 -0.48 - - - - - - - -
Total 100.00 100.00 0.00 5.39 5.60 -0.21 5.29 0.50 241 241 40 5.63 5.63 0.06
Beta Adjusted Spread Duration Market Value % Duration Contribution Nominal Yield
Contribution OAS Contribution Spread Duration ContributionOAS Spread
Duration
32
Portfolio Positioning by Currency – Health Plan
_______________________ Source: Aladdin Analytics System. This supplemental report is provided for informational purposes only; please refer to your account statement or other statement provided by your custodian for the official records of your account(s). This report is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such. It does not constitute an official record.
As of April 30, 2018
3M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 25Y 30YDuration
ContributionMarket Value
%AUD - - - - - - - - - - - 0.00 1.39CAD - - - - - 0.04 0.02 - - - - 0.06 1.75CHF -0.01 - - - - - - - - - - -0.01 -2.26EUR -0.01 - 0.01 0.05 0.31 0.24 0.30 0.02 0.03 0.12 - 1.07 -3.98GBP - - - 0.02 0.02 0.05 0.19 0.00 - - - 0.28 -0.24ITL - - - - - - - - - - - 0.00 0.00JPY - - - - - 0.03 - - - - - 0.03 -0.79KRW - - - - - - - - - - - 0.00 -0.19NOK - - - - - - - - - - - 0.00 1.84NZD - - - - - - - - - - - 0.00 -0.85SEK 0.01 - - - - - - - - - - 0.01 4.07USD 0.06 0.04 0.07 0.28 0.50 0.86 0.66 0.34 0.51 0.20 0.41 3.93 99.25
Total 0.05 0.05 0.08 0.34 0.83 1.22 1.17 0.37 0.55 0.32 0.41 5.39 100.00
3M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 25Y 30Y
Active Duration
ContributionActive Market
Value %AUD - - - - -0.01 -0.01 -0.01 - - - - -0.02 1.39CAD 0.01 - - -0.01 -0.01 0.03 0.01 - -0.01 -0.01 - 0.00 1.75CHF -0.01 - - - - - - - - - - -0.02 -2.26EUR - -0.02 -0.05 -0.08 0.07 -0.04 0.09 -0.06 -0.01 0.09 -0.04 -0.04 -3.93GBP - - 0.00 -0.01 -0.01 0.01 0.14 -0.04 -0.04 -0.03 -0.03 -0.01 -0.23ITL - - - - - - - - - - - 0.00 -0.02JPY - - - - - 0.03 - - - - - 0.01 -0.79KRW - - - - - - - - - - - 0.00 -0.19NOK - - - - - - - - - - - 0.00 1.84NZD - - - - - - - - - - - 0.00 -0.85SEK 0.01 - - - - - - - - - - 0.01 4.07USD 0.02 -0.02 -0.11 -0.14 -0.16 0.11 0.12 0.08 0.17 -0.25 0.05 -0.13 -0.78
Total 0.03 -0.04 -0.17 -0.25 -0.12 0.12 0.35 -0.02 0.12 -0.19 -0.03 -0.21 0.00
Portfolio Yield Curve Duration
Active Yield Curve Duration
33
We believe there are strong fundamentals in many sectors with attractive valuations
Credit Sector Exposures – Health Plan
_______________________ Source: Aladdin trading system. Data as of April 30, 2018. Portfolio characteristics are as of the date indicated and subject to change without notice. This supplemental report is provided for informational purposes only; please refer to your account statement or other statement provided by your custodian for the official records of your account(s). This report is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such. It does not constitute an official record.
Developed Market IG
Credit
Developed Market HY
Credit
Senior Floating Rate
LoansTotal Benchmark Active Portfolio Active Portfolio Active
Technology 3.47 1.68 0.21 5.37 3.94 1.42 0.27 0.05 172 7Cable/Media 2.28 3.03 0.07 5.38 4.19 1.19 0.31 0.09 247 -43Midstream 1.86 1.23 - 3.10 2.05 1.04 0.21 0.08 224 11Telecom 3.04 2.84 0.04 5.92 5.14 0.78 0.49 0.18 325 59Banking 12.73 0.25 - 12.99 12.27 0.71 0.71 0.12 153 42Tobacco 1.01 - - 1.01 0.51 0.51 0.12 0.09 164 28REITs 0.74 0.65 - 1.39 1.25 0.13 0.09 0.01 229 82Lodging/Leisure - 1.64 0.08 1.72 1.70 0.03 0.05 -0.02 284 28Home Construction - 0.56 - 0.56 0.56 0.00 0.02 0.00 266 21Aerospace and Defense 0.79 0.05 - 0.84 0.90 -0.06 0.11 0.07 86 -94Government Sponsored - - - - 0.11 -0.11 - -0.01 - -55Environmental - - - - 0.15 -0.15 - -0.01 - -208Energy 2.76 1.27 - 4.02 4.18 -0.16 0.26 0.03 248 -48Finance 0.45 1.45 - 1.90 2.06 -0.16 0.07 -0.04 200 -16Airlines - - - - 0.22 -0.22 - -0.01 - -169Paper/Packaging - 0.98 0.04 1.02 1.28 -0.25 0.04 -0.02 283 49Manufacturing/Machinery 1.28 0.29 - 1.56 1.84 -0.28 0.04 -0.06 262 87Health Insurance - 0.11 - 0.11 0.42 -0.32 0.00 -0.03 164 29Railroads - - - - 0.33 -0.33 - -0.04 - -106Pharmaceuticals 1.36 0.62 - 1.98 2.38 -0.40 0.08 -0.07 249 53Consumer Cyclical Services - 0.51 0.04 0.55 0.98 -0.43 0.02 -0.03 270 13Natural Gas - - - - 0.53 -0.53 - -0.04 - -112Transportation Services 0.28 0.20 - 0.48 1.09 -0.61 0.02 -0.04 260 22Industrial Other - 0.19 0.02 0.21 0.84 -0.63 0.01 -0.04 373 98Building Materials - 0.08 - 0.08 0.73 -0.65 0.00 -0.03 147 -51Healthcare 0.87 1.20 0.08 2.14 2.85 -0.70 0.12 -0.04 231 -40Consumer Products - 0.09 0.02 0.12 0.89 -0.77 0.00 -0.04 336 122Metals and Mining - 0.64 - 0.64 1.49 -0.85 0.04 -0.04 242 -43Food and Beverage 0.85 0.29 0.04 1.18 2.19 -1.02 0.11 -0.03 283 129Chemicals 0.20 0.21 - 0.41 1.52 -1.11 0.02 -0.05 169 -23Automotive 1.22 0.07 - 1.28 2.46 -1.18 0.09 -0.02 202 47Retailers - 0.49 0.02 0.51 2.04 -1.53 0.03 -0.09 252 -46Utility 0.41 1.08 0.10 1.59 3.24 -1.65 0.11 -0.13 279 134Insurance 0.30 - - 0.30 2.53 -2.23 0.01 -0.16 161 -17Non-Corporate - 0.34 - 0.34 9.18 -8.84 0.02 -0.52 274 232
Total 35.88 22.03 0.77 58.68 78.03 -19.35 3.50 -0.87 222 41
Duration Contribution OASMarket Value %
34
APPENDIX
MARKET ENIVRONMENT & OUTLOOK
US Economic and Market Outlook As of April 30, 2018
Sources: U.S. Bureau of Labor Statistics, Bureau of Economic Analysis, Barclays, Neuberger Berman. 1. Estimates may not materialize. The estimates contained herein are being shown to illustrate NB's current expectations regarding future financial information, they are not intended to provide any guarantee or assurance about
the future performance. Estimates or other forward-looking statements regarding future events, targets or expectations are only current as of the date indicated. There is no assurance that such events or forecasts will occur, and may be significantly different than that shown here. The information in this presentation, including statements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for other reasons.
This material is presented solely to illustrate how sector views may impact portfolio asset allocation decisions. Nothing herein constitutes a prediction or guarantee about future returns of any security, asset class or portfolio. Please see additional and important disclosures at the end of these materials.
Current Estimate
20181
ECONOMIC ACTIVITY
• In the recent quarter, activity rebounded as consumer spending remains buoyant, inventories begin to build after being in liquidation mode the past several years, and exports supported growth; corporate profits continue to accelerate at a healthy pace
• Recent high frequency data, such as the manufacturing and non-manufacturing ISMs, the NFIIB Small Business Survey, and the labor market, suggest very healthy growth prospects for the next few quarters
• Fiscal loosening, tax reform and easing in regulations is likely to boost GDP by 0.4% during 2018 vs. prior baseline • Unemployment has continued to drop as the labor force nears full employment. Over the last few years, job creation has been trending at about 175K – 225K per month
but we believe it could continue at a slower pace over the next year
US GDP
2.3% (Q4) 2.9% (yoy) 2.4 – 3.0%
INFLATION
• Headline Inflation has rebounded as Food and Energy prices have offset weakness in some of the more volatile core sectors such as telecommunications, medical goods and services, housing, and autos
• Market expectations for inflation have strengthened recently due to stronger economic data • Declines in unemployment rate towards the NAIRU levels could accelerate wage pressures fiscal policy over the next 12 months; Average hourly earnings have re-
accelerated towards recent highs of 2.9% and are above the 2.3% average during the past five years
CPI – Core
2.1% 1.9 – 2.4%
FED POLICY
• We believe the pace of Fed hikes may remain slow by historical standards with a lower terminal rate. Persistent weakness in productivity and demographic trends along with weak global growth are the main reasons
• We believe the Fed may raise rates 3-4 times through the end of 2018. Volatility in the front end of the curve could increase over time as the Fed becomes more sensitive to the flow of economic statistics; an expansionary fiscal policy is expected to be countered by a more confident Fed
• During Q4:17, the FOMC begun shrinking the balance sheet and reduced excess liquidity in a slow but steadily accelerating pace. It could produce an increase in term premiums and in realized volatility especially if other central banks join in
Fed Funds
1.50 – 1.75% 2.0 – 2.25%
INTEREST RATES
• We believe the yield curve is currently pricing a slow normalization of monetary policy in the context of a steady global economy • The liquidity premium of seasoned Treasuries has narrowed substantially post-2008; Fed purchases also contributed to reduced premiums on “on the run” bonds; Fed
Balance Sheet reinvestment, fiscal easing is likely to increase net supply • Depletion in “safe assets” and policy negative yields overseas resulted in lower yields than what the US fundamentals would imply over the long run
Ten-Year Treasury
2.95% 2.6 – 3.2%
SECTOR SPREADS
• Credit spreads ended the month modestly wider from the end of March, but technical pressures increased intra-month spread volatility. Despite strong Q1 earning results, global trade and rate concerns in the second half of the month offset the positive spread tone in the first two weeks of April
• We believe the recent spread widening was driven more by technical factors as compared to fundamentals. As such, the overall earnings outlook and continued positive global economic growth outlook could mitigate these risks
• While we believe that the gradual reduction of the fed’s balance sheet holdings of MBS will cause spreads to widen modestly, we do not anticipate a dramatic selloff • Residential Mortgage credit related instruments have performed well as housing remains strong. We believe the technicals and fundamentals are strong and the asset
class could deliver attractive returns in an environment of modest (single-digit) housing price appreciation.
Credit OAS
+102 b.p. +80 – 140 b.p.
Mortgage Current Coupon +74 b.p. +70– 100 b.p.
37
2Q 2018: Key Macroeconomic and Fixed Income Themes
We believe Fixed Income market themes will center on:
• Plateauing, but continued strong, global growth
• Rising impact of central bank unwind policies
• Increasing monetary and fiscal policy divergences
As Financial market volatility continues to rise, driven by:
More range-bound, but continued rising interest rates
Increased yield curve volatility, with rising potential for curve steepening
Outperformance of short duration credit, including floating rate instruments
Increased volatility in currency markets
38
Leading Indicators Suggest a Cyclical Peak in Growth Rates is Developing
_________________________ Source: OECD, FactSet, Neuberger Berman. Data as of 12/31/2017. For illustrative and discussion purposes only. Nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security. This material is not intended as a formal research report and should not be relied upon as a basis for making an investment decision. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
-10
-8
-6
-4
-2
0
2
4
6
8
10
2007 2009 2011 2013 2015 2017
OECD Global CLI m/m (6-mo lead) OECD Global CLI y/y
-6
-4
-2
0
2
4
6
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
OECD Global CLI y/y
OECD Composite Leading Indicator MoM & YoY OECD Composite Leading Indicator YoY
A modest transition in the global growth environment, from acceleration in growth to stability in growth, is likely developing
39
Global Growth Expected to Remain Well Above Potential Fiscal policy changes likely to support growth in the U.S.
2.7 2.7 2.7 2.6
2.5 2.3
2.7 2.5
2.6 2.5 2.5
2.2
1.5
2.0
2.5
3.0
Q417 Q118 Q218 Q318 Q418 Q119
US 3/12/2018 1/31/2018 Potential
2.5 2.6 2.4 2.2
2.0 2.0
2.5 2.4 2.2 2.1 2.0 1.9
0.5
1.0
1.5
2.0
2.5
3.0
Q417 Q118 Q218 Q318 Q418 Q119EU 3/12/2018 1/31/2018 Potential
6.7
6.6 6.6 6.5
6.5
6.3
6.7 6.7
6.6 6.5 6.5
6.4
6.16.26.36.46.56.66.76.8
Q417 Q118 Q218 Q318 Q418 Q119
CN 3/12/2018 1/31/2018
4.8 4.8
4.9
5.0 5.0 5.0
4.8 4.9 4.9
5.1 5.0 5.0
4.7
4.8
4.9
5.0
5.1
Q417 Q118 Q218 Q318 Q418 Q119
BRICS ex China 3/12/2018 1/31/2018
US GDP Eurozone GDP
China GDP Emerging Markets GDP
_______________________ Source: Bloomberg For illustrative and discussion purposes only. Nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security. Expectations may not materialize.
40
Monetary Policy in Motion: Balance Sheet Policies Beginning with the Federal Reserve later in 2018, central bank balance sheet policy is set to change
-1,000
-500
0
500
1,000
1,500
2,000
2,500
2015 2016 2017 2018 2019 2020
$ Billi
ons
Fed ECB BoJ BoE Total Change
Central Bank Balance Sheet Changes
_______________________ Source: Bloomberg, Neuberger Berman
41
Monetary Policy in Motion: Policy Rate Changes Rate normalization remains in early stages, with global bond markets priced for tightening policy through 2019
_______________________ Data as of March 7, 2018. Source: Bloomberg, Neuberger Berman.
79
60
5
44
17
34 32
19 20
6
106
92
45
71
58
76
87
60 59
7
0
20
40
60
80
100
120
United States Canada Eurozone United Kingdom Switzerland Norway Sweden Australia New Zealand Japan
Bps
1Y 2Y
Base Rate Changes Expected
42
U.S. Dollar Has a Significant Divergence from Interest Rate Differentials We expect rising volatility in the currency markets as interest rate differentials increase
_______________________ Data as of March 7, 2018. Source: Bloomberg, Neuberger Berman. For illustrative and discussion purposes only. Nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security. Expectations may not materialize. 1. Assumptions: Bank of Japan expands their balance sheet by JPY 80 trn p.a. until July 2018 when they will expand by JPY 40 trn for 12 months. ECB starts tapering their asset purchases in October 2018 by EUR 10 bln so
that by January 2019 the bank does not purchase securities. The Federal Reserve will continue on its scheduled balance sheet wind-down while the Bank of England and the Swiss National bank does not wind down their balance sheets over the forecast horizon. Forecasts do not include GDP growth. Exchange rates remain unchanged from March 7, 2018.
ECB’s easing stance caused EUR depreciation
EUR/USD Versus Ten Year Interest Rates EUR/USD Versus Central Bank Balance Sheets1
-2.00%
-1.50%
-1.00%
-0.50%
0.00%
0.50%
1.00%
1.00
1.05
1.10
1.15
1.20
1.25
1.30
1.35
1.40
1.45
1.50
EUR/USD (LHS) Ten Year Swap Spread (RHS)
-30.0%
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
1
1.05
1.1
1.15
1.2
1.25
1.3
1.35
1.4
1.45
1.5
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
EUR/USD (LHS)Fed - ECB Balance Sheet % GDP Differential (RHS)Forecast According to ECB Announcement (RHS)
43
Path of the Credit Cycle Investment grade corporate credit sectors are at various positions in the credit cycle
Economic Downturn •Economic growth weakens or declines •Leverage rises due to falling cash flows •Credit quality weakens and borrowing costs rise
Recovery and Early Expansion •Economic cycle bottoms and begins to stabilize •Credit quality weakens and stabilizes at trough levels •Management teams focused on balance sheet repair and liquidity enhancements
Late Expansion •GDP outlook improving •Earnings and cash flow growth accelerates •Declining leverage profiles and improving credit quality
Mature Markets •GDP growth slows and matures •M&A and other shareholder enhancing activities increases •Leverage is rising but from a cyclically low level
Weak Credit Fundamentals
Strong Credit Fundamentals
Cred
it Fun
dam
enta
ls De
terio
ratin
g
Energy
Metals / Mining
US Banks
Aerospace / Defense
Media
Healthcare
4 1
3 2
Retail
Food / Beverage
Telecom
Technology
Pharmaceuticals
Chemicals
Auto
US Electric Utilities
Airlines
European Electric Utilities
European Banks
REITs
_______________________ This material is provided for informational purposes only, is as of the date hereof and is subject to change without notice. Neuberger Berman advisors and portfolio managers may make recommendation or take positions contrary to the views expressed. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed.
44
Multi Sector Portfolios: Positioning for Rising Interest Rates Speculative positioning in bond markets may contribute to range-bound interest rates near term
Underweight - -
Neutral
Overweight ++
US Nominal Inflation-Linked
-
+
Euro-zone Nominal Inflation-Linked
UK Nominal Inflation-Linked
Japan Nominal Inflation-Linked
Emerging Markets Nominal Inflation-Linked
0.0
1.0
2.0
3.0
4.0
5.0
6.0-1,200.0
-1,000.0
-800.0
-600.0
-400.0
-200.0
0.0
200.0
400.0
600.0
800.02008 2010 2012 2014 2016
Speculators - Asset Managers Positions (LHS)
U.S 10 Yr Treasury Yield (RHS)_______________________ Neuberger Berman, Bloomberg For illustrative and discussion purposes only. Nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security. Expectations may not materialize.
Speculators vs Asset Managers: extreme speculative positioning persist
45
Multi Sector Portfolios: Positioning for Yield Curve Volatility Spot and forward curves in the U.S. are near 20 year lows
_______________________ Source: Bloomberg, Neuberger Berman
USD Swaps 2s10s Slope, Spot and 2yr Forward EUR Swaps 2s10s Slope, Spot and 2yr Forward
-50
0
50
100
150
200
250
bps
Current 2y Forward
-50
0
50
100
150
200
250
300
350
bps
Current 2y Forward
46
Multi Sector Portfolios: Inflation Products Remain Attractive Healthy growth, fiscal stimulus, higher energy prices and weaker dollar driving Inflation higher
Developed Market Implied Headline Inflation is based on a regression of GDP gap, lagged Industrial Production and Commodity Prices Source: Bloomberg, Neuberger Berman
ACTUAL FORECAST 2015 2016 2017 2018 2019 2020 US 0.1 1.3 2.1 2.5 2.7 2.9 UK 0.0 0.7 2.7 2.5 2.3 2.3 Euro 0.0 0.2 1.5 1.8 1.7 1.7 Japan 0.8 -0.1 0.5 1.0 1.1 1.2 Sweden -0.1 1.0 1.8 1.9 2.1 2.2 Australia 1.5 1.3 1.9 2.2 2.3 2.3 Canada 1.1 1.4 1.6 2.1 2.0 2.0
GDP Weighted Average 0.2 0.8 1.7 2.1 2.2 2.3
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
Jan-00 Jan-03 Jan-06 Jan-09 Jan-12 Jan-15 Jan-18DM Headline Inflation DM Implied Headline Inflation
47
US IG Credit – Summary As of March 31, 2018
_______________________ Source of data in chart: Barclays Index. This material is intended as a broad overview of the adviser’s style, philosophy and investment process and is subject to change without notice. The adviser’s views may differ from those of other portfolio managers. Historical trends do not imply, forecast or guarantee future results.
HISTORICAL BARCLAYS CREDIT INDEX OAS BY SECTOR
Market • Credit spreads remain close to their tight levels which were last observed prior to the financial crisis. Most recently, spreads have been supported by the recent tax cuts and solid corporate earnings • Questions persist about how spreads will react in the future to the uncertain monetary policy transition of the Federal Reserve, elevated market volatility, and potential changes to trade policy
Insights • Absent a severe slowdown in global growth, credit markets should remain stable over the next 12 months. The technical tailwind that has propelled spreads tighter over the previous several years will
most likely be less predictable going forward due to the new tax legislation and higher hedging costs for foreign investors • Credit quality could modestly improve in 2018. While event risk may persist, leverage in commodity sectors should likely continue to improve. Additionally, tax code changes could result in companies
being less incented to increase their debt loads. Finally, the tail outcomes surrounding trade policy should be monitored, but we believe significant changes are unlikely • Stable, moderate real US GDP growth around 2.0 – 2.5% should provide support for spreads at their current tight -not rich- levels Strategy • Credit portfolio with a modestly higher beta than the benchmark as spreads remain above historical norms experienced during stable economic growth. Valuation of credit relative to strong fundamentals
and supportive technicals remains attractive, but macroeconomic uncertainty results in a modest level of risk for the asset class • Continue to use the new issue market to purchase securities that offer attractive relative value versus outstanding issues. Overweight Banks and Telecom
0
200
400
600
800
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
US Credit Industrials Financials
48
2018 Review – US Performance Investment grade credit valuations are tight but fair given solid fundamental backdrop
_______________________ Source: Barclays Point. Coverage was limited to the more important issuers and sectors. For illustrative purposes. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed. See additional disclosures at the end of the presentation.
US CREDIT SECTOR SPREAD CHANGE – YTD 03/31/2018
020406080
100120140160180
bps
-5
0
5
10
15
20
25
bps
US CREDIT SECTOR OAS LEVELS AS OF 03/31/2018
49
2018 Review – European Performance
_______________________ Source: Barclays Point. Coverage was limited to the more important issuers and sectors. For illustrative purposes. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed. See additional disclosures at the end of the presentation.
EURO CREDIT SECTOR SPREAD CHANGE – YTD 03/31/2018
0
50
100
150
200
250
300
bps
-10-505
101520253035
bps
EURO CREDIT SECTOR OAS LEVELS AS OF 03/31/2018
50
2018 Review – Performance US credit spread performance in 2018 was positive with limited idiosyncratic risk
_______________________ Source: Barclays Point. Coverage was limited to the more important issuers. Data as of 03/31/18. For illustrative purposes. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed. See additional disclosures at the end of the presentation.
SECTOR SPREAD CHANGE - YTD 03/31/18
TOP 10 SPREAD UNDERPERFORMANCE TOP 10 SPREAD OUTPERFORMANCE
05
101520253035404550
-40-35-30-25-20-15-10-50
-5
0
5
10
15
20
25
bps
51
Fundamentals: Credit Overview
S&P 500 ex Financials
• Share repurchases increased from 2012 and mid-2016 as companies looked to balance capital requirements with shareholder enhancing activities − This trend has peaked as companies have moderated buybacks
• Leverage has trended up in recent periods as EBITDA growth moderated and companies took advantage of low yields to fund organic growth and acquisitions. − A disproportionate share of the leverage increase has come from higher-quality
issuers. • Leverage uptrend exacerbated by weak commodity prices and recent M&A related
financing but this has stabilized due to strengthening commodity prices and post transaction deleveraging plans
• Interest coverage has declined from the recent 2014 peak driven by commodity sector EBITDA weakness and rising overall debt levels. However, recovery in commodity sector profitability has stabilized this trend.
LTM FREE CASH FLOW AND SHARE REPURCHASES
_______________________ Source: Bloomberg, Neuberger Berman. Data as of December 31, 2017
LEVERAGE PROFILE
INTEREST COVERAGE AND TOTAL DEBT TRENDS IN LEVERAGE, COVERAGE, AND CASH FLOW
$0
$100
$200
$300
$400
$500
$600
Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 Dec-12 Dec-14 Dec-16
Total LTM Share Repurchase, $Bil. Total LTM Free Cash Flow, $Bil.
0.5x
1.0x
1.5x
2.0x
2.5x
3.0x
3.5x
Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 Dec-12 Dec-14 Dec-16
Total Debt / EBITDA Net Debt / EBITDA Total Debt / EBITDA ex Energy & Basics
$0
$1,000
$2,000
$3,000
$4,000
$5,000
Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 Dec-12 Dec-14 Dec-16
0.0x
5.0x
10.0x
15.0x
20.0x
Total Debt, $ Bil EBITDA / LTM Interest
52
Fundamental Credit Overview – Income Statement
LTM REVENUE AND REVENUE GROWTH LTM OPERATING INCOME AND MARGIN
S&P 500 ex Financials
_______________________ Source: Bloomberg. Data as of December 31, 2017
LTM CASH FROM OPERATIONS / TOTAL REVENUE TRENDS IN REVENUE AND MARGINS • The growth rate of total industrial revenues had slowed as moderating economic activity in
developing markets and foreign exchange headwinds impacted top line sales trends but since the end of 2016 results have begun to improve reflecting an improving macro-economic environment
• A rebound in commodity prices also contributed to sales growth over the past year but year over year comparisons should begin to moderate as the market cycles through prior lows
• Similar to top line results, lower energy operating income has had a disproportionate impact on total income and margin results over the last few quarters. Minus energy, industrial operating income and margins were essentially flat year over year. Going forward, improving commodity prices should begin to have a positive impact on operating margins
• Overall, operating margins remain within their recent historical range and are consistent with expectations for this point in the current credit cycle
$2,000
$4,000
$6,000
$8,000
$10,000
$12,000
Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 Dec-12 Dec-14 Dec-16
-20%-15%-10%-5%0%5%10%15%20%
Total Revenue, $Bil Revenue Growth Revenue Growth ex Energy & Basics
$0$200$400$600$800
$1,000$1,200$1,400
Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 Dec-12 Dec-14 Dec-16
0%2%4%6%8%10%12%14%16%
Operating Income, $Bil. Operating Margin Operating Margin ex Energy & Basics
4%
6%
8%
10%
12%
14%
16%
Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 Dec-12 Dec-14 Dec-16
Cash from Operations / Total Revenue CapEx / Revenue
53
Fundamental Credit Overview – Balance Sheet
• The change in the short term / long term mix of corporate debt over the past several years also demonstrates a focus of companies on extending their maturity profiles to mitigate refinancing risks during periods of market uncertainty
• Total debt continues to grow as companies take advantage of the low-yield environment to enhance liquidity and fund organic growth and acquisitions. This has contributed to the recent uptrend in absolute leverage measures
• Even with the growth in total debt, the use of short term debt has declined in proportion as companies termed out short term debt (i.e. commercial paper and/or bank lines) and extended their maturity schedules
• A smaller percentage of outstanding short term debt should mitigate corporate credit risks associated with any unforeseen capital market disruption
• As financial policies remain generally conservative against the backdrop of macroeconomic uncertainties, companies should continue to maintain ample liquidity, supported by limited near term financing needs
TOTAL LONG TERM AND SHORT TERM DEBT COMPOSITION OF TOTAL DEBT
_______________________ Source: Bloomberg. Data as of December 31, 2017
S&P 500 ex Financials
TOTAL CASH AND TOTAL CASH / TOTAL DEBT
BALANCE SHEET TRENDS
$0$500
$1,000$1,500$2,000$2,500$3,000$3,500$4,000$4,500
Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 Dec-12 Dec-14 Dec-16
Total Short Term Debt, $ Bil Total Long Term Debt, $Bil
70%
75%
80%
85%
90%
Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 Dec-12 Dec-14 Dec-16
10%
15%
20%
25%
30%
Total Long Term Debt [L] Total Short Term Debt [R]
$0$200$400$600$800
$1,000$1,200$1,400$1,600$1,800$2,000$2,200$2,400
Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 Dec-12 Dec-14 Dec-16
0%5%10%15%20%25%30%35%40%45%50%55%
Total Cash, $ Bil Total Cash / Total Debt
54
Fundamental Credit Overview – Q4 Earnings Summary
• Companies solidly beat bottom line estimates even negative earnings revisions moderated going into the reporting season
• More than 25% of companies reported positive EPS surprises that exceeded estimates by more than 10%
• The better than expected results have generally been broad based across sectors, supported by a modestly improving economic environment and operational improvements
• In general, underlying results remain supportive of solid credit profiles at this point in the cycle but we remain cognizant of potential sector specific pressures
S&P 500 ex Financials
_______________________ Source of data in charts: Bloomberg. Data as of March 13, 2018
4Q17 REVENUE SURPRISES 4Q17 EPS SURPRISES
POSITIVE SURPRISE TRENDS
32525
2159
5520
4959
212
23
1007
411
1813
128
116
10
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
All SecuritiesEnergy
MaterialsIndustrials
Consumer Discr.Consumer Stap.
Health CareInformation Tech
Telecom Serv icesUtilities
Real Estate
Positive In-Line Negative
32824
2156
5025
5159
120
21
948
414
228
107
28
11
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
All SecuritiesEnergy
MaterialsIndustrials
Consumer Discr.Consumer Stap.
Health CareInformation Tech
Telecom Serv icesUtilities
Real Estate
Positive In-Line Negative
30%40%50%60%70%80%90%
Q408
Q409
Q410
4Q11
4Q12
4Q13
4Q14
4Q15
4Q16
4Q17
Revenue EPS
55
Fundamental Credit Overview – Q1 Earnings Outlook 2018 earnings outlook remains constructive
_______________________ Expectations may not materialize. Source: Bloomberg, S&P500, Neuberger Berman, Data in bottom charts as of 4/3/18, Data in top right charts as of 3/28/18
EARNINGS OUTLOOK S&P 500 1Q17 ACTUAL EPS VS. 1Q18 ESTIMATED EPS
S&P 500 QUARTERLY EPS & GROWTH S&P 500 QUARTERLY AVERAGE SALES GROWTH
• 1Q18 earnings for the S&P500 estimated to increase ~24% driven by increases in Energy, Healthcare, and Technology
• Constructive on 2018 earnings growth • Q1 earnings are likely to show continued positive momentum • Top-line and earnings improvements expected to continue to show up in credit
fundamentals, specifically for commodity-driven sectors • Corporate management teams are digesting the implications on earnings, cash flows,
and capital allocation plans following recently completed tax reform and proposed tariffs and trade policy changes
• Companies continue to remain cognizant of overall geopolitical uncertainties
$0.00 $5.00 $10.00 $15.00 $20.00 $25.00 $30.00 $35.00 $40.00
S&P 500Health Care
Information TechnologyConsumer Discretionary
Financials Industrials
Consumer Staples Materials
Energy Utilities
Telecommunication ServicesReal Estate
1Q17A 1Q18E
-20%-15%-10%-5%0%5%10%15%20%25%30%35%
0
5
10
15
20
25
30
35
40
45
EPS YoY Growth (r)
0%
2%
4%
6%
8%
10%
12%
14%
1Q17 2Q17 3Q17 4Q17 1Q18E 2Q18E 3Q18E 4Q18E 1Q19E
56
2017 supply increased slightly vs. 2016
_______________________ Source: Bank of America, Barclays, Morgan Stanley, Bloomberg, Neuberger Berman. This material is provided for informational purposes only, is as of the date hereof and is subject to change without notice. Neuberger Berman advisors and portfolio managers may make recommendation or take positions contrary to the views expressed. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed. See additional disclosures at the end of the presentation.
ANNUAL IG CORPORATE NEW ISSUE SUPPLY (US $bn GROSS)
GROSS SUPPLY REVIEW
Technical Credit Overview – 2017 Gross Supply Review
MONTHLY IG CORPORATE GROSS SUPPLY TRENDS
• 2017 supply increased 2% y/y to $1,469bn • Despite January 2017 supply starting off strong +37% y/y, supply growth
moderated throughout the year to end up slightly ahead of 2016 • By sector, year-over-year supply was +10% for Utilities, +5% for
Financials, +4% for Industrials, and -6% for Non-Corp • The biggest y/y increases in supply were in Banks, Telecom, Basic
Materials, and Tobacco. • The biggest y/y declines in supply were in Food & Beverage, Healthcare,
Energy, and Insurance
$0
$50
$100
$150
$200
$250(b
n)
Industrials Utilities Finance Non Corp
$0
$500
$1,000
$1,500
$2,000
(bn)
Industrials Utilities Finance Non Corp
57
2018 supply is expected to be modestly below 2017
_______________________ Source: Barclays, Morgan Stanley, Bloomberg, Neuberger Berman. This material is provided for informational purposes only, is as of the date hereof and is subject to change without notice. Neuberger Berman advisors and portfolio managers may make recommendation or take positions contrary to the views expressed. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed. See additional disclosures at the end of the presentation.
ANNUAL IG CORPORATE NEW ISSUE SUPPLY (US $bn GROSS)
GROSS SUPPLY OUTLOOK
Technical Credit Overview – 2018 Gross Supply Outlook
IG TECH & HEALTHCARE % OF TOTAL SUPPLY TREND
• 2018 supply outlook could be impacted by tax reform as well as potential for the pick up in M&A related financings
• As it relates to tax reform, cash repatriation could mean that companies use overseas cash to fund acquisitions or shareholder returns, which could result in lower debt issuance
• Tax reform clarity could lead to an uptick in M&A activity, but regulatory approval challenges and buyer concerns about overpaying at current valuations are likely to persist in the near term
• Overall, lower supply tech and healthcare supply may be offset by M&A activity
0%2%4%6%8%10%12%14%16%18%20%
$0
$20
$40
$60
$80
$100
$120
$140
$160
2010 2011 2012 2013 2014 2015 2016 2017
Tech Healthcare % Total (r)
$0
$200
$400
$600
$800
$1,000
$1,200
$1,400
$1,600
Industrials Utilities Finance Non Corp
58
Technical Credit Overview – Demand US IG credit remains attractive amidst the global search for yield
_______________________ Source of data in chart: BofA Merrill Lynch. Barclays POINT, as of 03/31/2018. This material is provided for informational purposes only, is as of the date hereof and is subject to change without notice. Neuberger Berman advisors and portfolio managers may make recommendation or take positions contrary to the views expressed. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed. See additional disclosures at the end of the presentation..
YIELD ACROSS GLOBAL FIXED INCOME INDICIES
US IG CORPORATE BOND MARKET VS. GLOBAL IG BROAD MARKET
0%
5%
10%
15%
20%
25%
30%
35%
US IG
Cor
pora
te Bo
nds /
Glob
al IG
Cor
pora
te Br
oad
Marke
t
Share of Market Value Share of Yield Income
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
0 5,000 10,000 15,000 20,000 25,000 30,000 35,000
YTW, %
Market Value, $Billion
59
2018 M&A related issuance expected to increase
_______________________ (1) USD North America deal breakdown by value including pending and completed, Data as of 2/10/18 (2) Limited to NB IG coverage universe and filtered to show more pertinent deals Source: Barclays, Morgan Stanley, Bloomberg, Neuberger Berman, WSJ, Dealogic. This material is provided for informational purposes only, is as of the date hereof and is subject to change without notice. Neuberger Berman advisors and portfolio managers may make recommendation or take positions contrary to the views expressed. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed. See additional disclosures at the end of the presentation.
TOP 10 BOND DEALS OF 2017 BY SIZE / USE OF PROCEEDS
Fundamentals & Technicals Converge – Supply related to M&A
0%5%10%15%20%25%30%35%40%
$0
$50
$100
$150
$200
$250
$300
bn
USD M&A-Related IG Non-Fin Issuance As % of USD Non-Fin Issuance (r)
ANNUAL M&A RELATED NEW ISSUANCE MONTHLY M&A VOLUME (2005 – YTD 2018)1
$0
$5
$10
$15
$20
$25
$30
bn
M&A Share Repurchase
2018 EXPECTED & COMPLETED BOND DEALS RELATED TO M&A2
0
50
100
150
200
250
300
350
$bn
$0$5
$10$15$20$25$30$35$40$45
bn
60
Fundamentals & Technicals Converge – Supply related to M&A M&A expected to remain a key driver of supply
_______________________ Source: Neuberger Berman, Mizuho Research, DB Research, Bloomberg (1) Excludes issuance <$5bn, this is a mix of potential and pending deals per Neuberger Berman with estimated related USD issuance, subject to various approval and execution risks and list is not necessarily exhaustive but more representative of Neuberger Berman coverage universe This material is provided for informational purposes only, is as of the date hereof and is subject to change without notice. Neuberger Berman advisors and portfolio managers may make recommendation or take positions contrary to the views expressed. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed. See additional disclosures at the end of the presentation.
KEY USD M&A RELATED DEBT FINANCINGS1
• AT&T financing is related to the AT&T/TWX $107bn deal announcement, but deal is at risk for regulatory reasons, in which case bonds are subject to special mandatory redemption provision
• Acquisition funding accounted for 22% of total gross non-financial new issuance last year, a decline from 27% in 2016 • Tax reform and a favorable global growth outlook may result in an increase in near term M&A activity • Sector specific disruption and trends are leading to increased M&A activity in the healthcare, pharmaceutical, telecom, media and food & beverage sectors
M&A IMPACT ON PROJECTED SUPPLY
$0$5
$10$15$20$25$30$35$40$45
bn
Expected Deal At Risk Financing Complete Deal Terminated
61
Corporate Tax Reform – Sector Implications Overall tax reform expected to be supportive for IG credit with the benefits varying across sectors
_______________________ Source: Neuberger Berman
Greater Benefit Less Benefit
Financials, Consumer Discretionary
• High percentage of domestic reported revenues
• High effective tax rate
Telecom, Cable, Media, Transportation, Construction
• Domestic focused operations • High effective tax rate • Large capex spending plan • Domestic transportation operators
benefit • International entities may be
impacted by base erosion measures
Energy, Metals/Mining
• Energy currently impacted by NOL’s and low taxes
• Interest deductibility limited during cyclical periods
• Earnings volatility and tax changes may result in less levered credit profiles
Utilities, Technology, Healthcare
• Low tax base and low capex profile (tech)
• Repatriation benefits mitigated by foreign sourced tax
• Use of offshore cash unknown • Regulated utility modest tax impact,
interest deductibility cap impacts holding companies
Summary
• TCJA is modestly positive for the IG market as the tax cut should result in improved earning profiles and stimulate economic growth • The negative impact of interest deductibility caps is mitigated by existing high coverage ratios for IG constituents • Repatriated cash provides a source of liquidity but management capital allocation decisions will drive credit quality • Near term strategies will be focused on capex levels, M&A activity, debt reduction plans and/or share holder enhancing activities • Longer term the potential for companies to operate with lower leverage exists and is constructive for the market
62
Credit Spreads and High Yield Default Rates As of April 30, 2018
-200
200
600
1,000
1,400
1,800
2,200
2,600
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
LTM
2018
E
2019
E
Spread (bps) Par-weighted default rate (%)
LTM High Yield Default Rate High Yield Spread to Worst1 2
1. J.P. Morgan Default Monitor. Defaults based on par amounts. 2. High Yield Spread to Worst is represented by the J.P. Morgan U.S. High Yield Index. 3. Annual High Yield return is represented by the ICE Bank of America Merrill Lynch U.S. High Yield Index. 4. Sell off infers any calendar year that produced a negative total return with recovery being the full year immediately following. 5. Long-term average is represented by the 25-year average provided by J.P. Morgan. See definitions of indices at the back of this presentation. Past performance is not necessarily indicative of future results. As with any investment, there is the possibility of profit as well as the risk of loss. Historical trends do not imply, forecast, or guarantee future results.
ANNUAL HIGH YIELD RETURNS (%)3
1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
4.5 13.4 2.3 -4.4 39.2 17.4 16.7 -1.0 20.5 11.3 13.3 3.0 2.5 -5.1 4.5 -1.9 28.1 10.9 2.7 11.8 2.2 -26.4 57.5 15.2 4.4 15.6 7.4 2.5 -4.6 17.5 7.5 -0.3
Recession
Recession
Average Return During Sell Off4: -7.2% Median Return During Sell Off4: -4.5%
Average Return During Recovery4: 27.9% Median Return During Recovery4: 24.3%
Average HY Spread to Worst2: 602 Bps Median HY Spread to Worst2: 543 Bps
Long-Term Average Default Rate5: 2.90%
LTM Default Rate: 2.26%
Spreads vs. High Yield Default Rates
63
Our G10 Relative Value Currency Views – April 2018
USD Small Overweight Supporting the view • Market participants are short
the dollar • Short-term yield differentials
are supportive • US economic data surprises
have improved – soft data are again very strong
• Year to date excess weakness may be due to one-off flows
Risks to the view • Debt ceiling yet to be resolved • Twin deficit fears • The US dollar is moderately
overvalued based on PPP • Perception of global monetary
policy convergence works against the US dollar
• Fed tightening largely priced
EUR Underweight Supporting the view • Strong euro is causing tightening
of financial conditions • Market participants are still long • ECB monetary policy will
continue to be accommodative as inflationary pressures are weak and have surprised on the downside
• PMIs have turned sharply lower • Italian political situation will be
unstable for some time Risk to the view • The ECB is more relaxed on the
growth outlook and normalisation • Forward-looking indicators still
suggest growth above trend for 2018
• The Eurozone is a beneficiary of the current strong global growth
• Large current account surplus
JPY Small Underweight Supporting the view • Market participants are long • Wide yield differentials in both
nominal and real terms; BoJ yield curve policy exacerbates the yield differentials against JPY
• Positive risk sentiment could lead to sell-off
• The yen is the best performing major currency year to date
Risks to the view • Japanese growth remains solid
and inflationary pressures are starting to build
• Tentative signs of BoJ preparing the market to reduce stimulus
• Long yen remains a valid trade during periods of risk aversion
• Strong current account surplus • PPP and real exchange rates
suggest the yen is undervalued
CAD Overweight Supporting the view • Canadian growth has been
strong and job creation is good • Wage growth is strong • Terms of trade has improved as
energy prices are at their highest level since 2014
• Supportive yield differentials • NAFTA risk premium is high Risks to the view • Amendments to trade
agreements and metal tariffs could be negative for the economy
• The CAD is still overvalued based on PPP measures
• Housing market slowdown could cause further instability
• BoC says that a cautious approach is warranted
GBP Small Overweight Supporting the view • The GBP is undervalued
based on PPP measures • Job creation and wages have
been stronger than expected • BoE rate hike has improved
yield differentials • Progress has been made on
the BREXIT negotiations with the transition agreement
Risks to the view • Political uncertainty will likely
increase again as the BREXIT negotiations move into the details
• Bad weather will distort data release in April
• Weak GBP generates imported inflation causing real yield erosion
• Market participants are long
AUD Small Underweight Supporting the view • The AUD is one of the most
overvalued currencies in G10 based on PPP measures
• Australian commodities have underperformed the overall
• commodity market • Low realised inflation and
wage growth for some time • Market participants are long • Housing market slowdown Risks to the view • Despite a slowdown in mining,
growth is holding up reasonably well
• The RBA will wait and see about wages, US and Chinese policies
• Job growth has been strong • Yield-seeking behaviour
favours the AUD
CHF Underweight Supporting the view • The franc is still very overvalued
based on PPP measures • Safe haven flows should
continue to be unwound as European prospects improve
• Strong currency continues to cause low inflation
• The CHF is one of the most attractive funding currencies
• The SNB will likely lean against any rapid appreciation
Risks to the view • Italian struggles to form
government • Positive current account balance • Limited growth impact from the
stronger currency so far • European growth is positive for
the Swiss economy • Better inflationary dynamics
NOK Small Overweight • NOK valuation is attractive,
especially in light of the cyclical recovery in Europe
• Better than expected employment should boost domestic growth
• The Norges Bank has taken a hawkish stance
• Forward-looking data suggest good growth ahead
• Terms of trade has improved as energy prices are at their highest level since level 2014
Risks to the view • Housing market takes another leg
lower in the spring • Inflation continues to slow down,
possibly forcing the Norges Bank to reluctantly guide rates lower
• Norwegian krone is becoming a popular trade
SEK Overweight Supporting the view • Inflation dynamics are supportive
but are still volatile around target • Hard data are good; Sweden
benefits from the European cyclical upswing
• The krona’s valuation is attractive following the sharp deprecation in Q4 2017 and YTD
• The central bank should be more accepting of some SEK strength as the ECB is on a path to remove accommodation
Risks to the view • The Riksbank will be cautious
while ECB is easing • Housing market is yet to trough • Market participants are likely still
slightly long the SEK • Negative yield differential against
most currencies
NZD Underweight Supporting the view • The NZD is overvalued based
on long-term fair value measures
• Inflation is not improving as much as expected despite easy monetary policy; RBNZ will be cautious on rates
• New government policies are seen as market hostile
• Growth may have peaked as migration slows
• Increasing volatility should weigh on carry trades
• Dairy prices may have peaked Risks to the view • Growth continues to be decent
and well diversified • Inflation may have troughed
and job growth remains strong • Highest carry in the G10
64
PORTFOLIO RISK MANAGEMENT
Portfolio Tracking Error Snapshot
TRACKING ERROR SNAPSHOT
TRACKING ERROR (RISK) DECOMPOSITION (BP/ANN)
___________________________ Source: Neuberger Berman. For illustrative purposes only. The above reflects the potential effect on the portfolio account’s tracking error in different scenarios of historic risk volatility. The Normal Estimate Volatility scenario is based on covariance matrix of return data without the top and bottom 10% tails of the data, while the Extreme Estimate Volatility (Ext) scenario is based on covariance matrix of return data of only the top and bottom 10% tails. The Best Estimate Volatility scenario is a weighted average of the Normal Estimate Volatility scenario and the Extreme Estimate Volatility scenario. The Exponential Volatility (Exp) scenario is based on covariance of return data with greater emphasis on more recent periods.
Los Angeles Water & Power Retirement Plan Portfolio as of April 30, 2018
Index Portfolio Relative VaR @95% CVaR @95%Tracking Error (TR) (bp/Ann) (bp/Ann) (bp/Ann) (bp/Ann) (bp/Ann)Portfolio 3 Year Estimate 347 335 74 121 152Portfolio 5 Year Estimate 323 319 97 160 200Portfolio Exponential Estimate 323 332 107 176 221Portfolio Best Estimate 339 344 124 204 256Portfolio Normal Estimate 306 300 77Portfolio Extreme Estimate 551 611 317
Tracking Error 3yr 5yr Exp Best Normal ExtRates (0) (0) (1) (1) (1) (4)Non US Rates 7 8 7 7 6 14Soft/Non Core Euro 0 0 0 0 0 0TIPS 0 0 0 0 0 0Agencies 0 0 0 0 0 0Credit (3) (5) (5) (1) (2) 0MBS 0 0 0 0 0 0CMBS/ABS (0) 0 0 0 0 0EM (3) (8) (9) (5) (0) (18)Non Agency 40 44 38 38 31 79Senior Floating Rate Loans 30 53 71 79 38 228Currency Overlay 4 5 6 7 4 18
66
Portfolio Risk Report (Tracking Error)
RISK REPORT
___________________________ Source: Neuberger Berman. For illustrative purposes only. The above reflects the potential effect on the portfolio account’s tracking error in different scenarios of historic risk volatility. The Normal Estimate Volatility scenario is based on covariance matrix of return data without the top and bottom 10% tails of the data, while the Extreme Estimate Volatility (Ext) scenario is based on covariance matrix of return data of only the top and bottom 10% tails. The Best Estimate Volatility scenario is a weighted average of the Normal Estimate Volatility scenario and the Extreme Estimate Volatility scenario. The Exponential Volatility (Exp) scenario is based on covariance of return data with greater emphasis on more recent periods.
Los Angeles Water & Power Retirement Plan Portfolio as of April 30, 2018
Tracking ErrorFactors Factors 3yr 5yr Exp Best Normal Ext 3Yr 5yr Exp Best Normal ExtEUR Rates 65 1.13 0.97 -0.16 EUR Rates 4 6 4 5 4 9 5% 6% 4% 4% 6% 3%GBP Rates 69 0.29 0.25 -0.04 GBP Rates 1 1 1 1 1 2 2% 1% 1% 1% 1% 1%CHF Rates 57 0.02 -0.02 CHF Rates 0 0 0 0 0 0 1% 0% 0% 0% 0% 0%NOK Rates 83 0.00 -0.00 NOK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%SEK Rates 71 0.00 -0.00 SEK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%AUD Rates 78 0.02 -0.02 AUD Rates 0 1 1 1 0 2 1% 1% 1% 1% 1% 0%NZD Rates 90 0.00 -0.00 NZD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%JPY Rates 27 0.02 0.02 -0.00 JPY Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%CAD Rates 74 0.06 0.06 -0.01 CAD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Soft Core Euro 18 Soft Core Euro 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Non Core Euro 73 Non Core Euro 0 0 0 0 0 0 0% 0% 0% 0% 0% 0% 1yr 54 0.08 0.11 0.03 1yr 0 (0) (0) (0) (0) (1) 0% 0% 0% 0% 0% 0%2yr 64 0.18 0.21 0.03 2yr (0) (0) (0) (1) (1) (2) 0% 0% 0% -1% -1% -1%5 yr 75 1.08 1.07 -0.01 5 yr 0 0 0 0 0 1 0% 0% 0% 0% 0% 0%7 Yr 73 0.75 0.83 0.08 7 Yr (2) (3) (2) (2) (2) (4) -3% -3% -2% -2% -2% -1%10 yr 70 0.54 0.47 -0.07 10 yr 2 3 2 2 2 4 3% 3% 2% 2% 2% 1%30 yr 72 1.41 1.42 0.01 30 yr (0) (0) (0) (0) (0) (1) -1% 0% 0% 0% 0% 0%TIPS Intermediate 80 TIPS Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%TIPS Long 60 TIPS Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Intermediate 22 Agency Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Long 20 Agency Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit OAS(<=50) 34 11.13 0.90 0.51 0.03 -0.47 Credit OAS(<=50) (1) (1) (1) 1 1 3 -1% -1% -1% 1% 1% 1%Credit (OAS 50 - 75) 20 11.36 2.70 0.44 0.09 -0.35 Credit (OAS 50 - 75) (0) (2) (2) (2) (1) (6) 0% -2% -2% -2% -1% -2%Credit (OAS 75-100) 23 8.61 4.88 0.55 0.35 -0.20 Credit (OAS 75-100) (1) (2) (2) (1) (1) (4) -1% -2% -2% -1% -1% -1%Credit (OAS 100-125) 27 7.42 8.00 0.55 0.33 -0.22 Credit (OAS 100-125) (1) (2) (3) (2) (1) (7) -2% -2% -2% -2% -1% -2%Credit (OAS 125 -150) 33 5.94 6.28 0.47 0.38 -0.09 Credit (OAS 125 -150) (1) (1) (1) (1) (0) (4) -1% -1% -1% -1% -1% -1%Credit (OAS 150-175) 41 5.41 8.50 0.38 0.55 0.17 Credit (OAS 150-175) 2 3 3 3 1 8 2% 3% 3% 2% 2% 3%Credit (OAS 175 -200) 50 4.54 6.54 0.31 0.41 0.09 Credit (OAS 175 -200) 1 2 2 2 1 6 1% 2% 2% 2% 1% 2%Credit (OAS 200-250) 63 6.66 8.31 0.36 0.64 0.28 Credit (OAS 200-250) 4 8 8 7 5 16 6% 8% 7% 5% 6% 5%Credit (OAS 250-300) 79 5.86 6.39 0.32 0.35 0.03 Credit (OAS 250-300) 0 1 1 1 1 2 1% 1% 1% 1% 1% 1%Credit (OAS 300-400) 106 4.95 3.74 0.23 0.21 -0.02 Credit (OAS 300-400) (0) (1) (1) (1) (1) (1) -1% -1% -1% -1% -1% 0%Credit (OAS 400-600) 150 4.20 1.50 0.18 0.08 -0.09 Credit (OAS 400-600) (5) (7) (7) (6) (5) (11) -7% -7% -7% -5% -7% -3%Credit (OAS 600-800) 220 1.34 0.62 0.06 0.02 -0.04 Credit (OAS 600-800) (3) (4) (4) (3) (3) (7) -5% -4% -4% -3% -4% -2%Credit (OAS 800-1000) 308 0.33 0.20 0.01 0.01 -0.00 Credit (OAS 800-1000) (0) (1) (1) (1) (0) (1) -1% -1% -1% 0% -1% 0%Credit (OAS 1000-1500) 450 0.43 0.63 0.02 0.03 0.01 Credit (OAS 1000-1500) 3 3 3 3 2 5 3% 3% 3% 2% 3% 2%Credit (OAS 1500+) 830 0.31 0.23 0.01 0.01 -0.00 Credit (OAS 1500+) (0) (0) (0) (0) (0) (0) 0% 0% 0% 0% 0% 0%MBS (<=97) 49 MBS (<=97) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>97-100) 70 MBS (>97-100) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>100-102) 65 MBS (>100-102) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>102-104) 63 0 MBS (>102-104) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>104-107) 64 0 MBS (>104-107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>107) 76 MBS (>107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%CMBS 64 0.44 CMBS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%ABS 82 2.16 0.00 0.00 ABS (0) 0 0 0 0 0 0% 0% 0% 0% 0% 0%EM 91 21.35 11.41 1.20 0.83 -0.37 EM (3) (8) (9) (5) (0) (18) -5% -9% -8% -4% 0% -6%Non Agency RMBS 133 11.66 0.41 0.41 Non Agency RMBS 40 44 38 38 31 79 54% 45% 36% 30% 41% 25%Senior Floating Rate Loans 131 10.61 0.72 0.72 Senior Floating Rate Loans 30 53 71 79 38 228 40% 55% 66% 64% 49% 72%
Currency Overlay 4 5 6 7 4 18 6% 6% 6% 6% 6% 6%
Total 74 97 107 124 77 317 100% 100% 100% 100% 100% 100%
Tracking Error (Risk) Decomposition (bp/Ann) Tracking Error (Risk) Decomposition (%) Spread/Yield Volatility(Bp/Ann)
BenchMark Weight(%)
Portfolio Weight
BenchMark $Duarion
Portfolio Abs $Duration
Portfolio Relative
$Duration
67
Portfolio Risk Report (Absolute Risk)
___________________________ Source: Neuberger Berman. For illustrative purposes only. The above reflects the potential effect on the portfolio account’s tracking error in different scenarios of historic risk volatility. The Normal Estimate Volatility scenario is based on covariance matrix of return data without the top and bottom 10% tails of the data, while the Extreme Estimate Volatility (Ext) scenario is based on covariance matrix of return data of only the top and bottom 10% tails. The Best Estimate Volatility scenario is a weighted average of the Normal Estimate Volatility scenario and the Extreme Estimate Volatility scenario. The Exponential Volatility (Exp) scenario is based on covariance of return data with greater emphasis on more recent periods.
RISK REPORT
Los Angeles Water & Power Retirement Plan Portfolio as of April 30, 2018
Absolute Portfolio Risk 3yr 5yr Exp Best Normal ExtRates 138 78 89 125 140 87Non US Rates 33 28 19 28 34 7Soft/Non Core Euro 0 0 0 0 0 0TIPS 0 0 0 0 0 0Agencies 0 0 0 0 0 0Credit 105 130 129 104 77 243MBS 0 0 0 0 0 0CMBS/ABS 0 0 0 0 0 0EM 34 41 39 35 25 86Non Agency (15) (5) (4) 6 1 28Senior Floating Rate Loans 37 44 57 44 21 156Currency Overlay 2 2 2 2 2 4
Factors 3yr 5yr Exp Best Normal Ext 3Yr 5yr Exp Best Normal ExtEUR Rates 24 21 14 21 26 4 7% 7% 4% 6% 9% 1%GBP Rates 8 6 4 5 6 3 3% 2% 1% 1% 2% 1%CHF Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%NOK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%SEK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%AUD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%NZD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%JPY Rates 0 (0) (0) 0 0 0 0% 0% 0% 0% 0% 0%CAD Rates 1 1 1 1 2 0 0% 0% 0% 0% 1% 0%Soft Core Euro 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Non Core Euro 0 0 0 0 0 0 0% 0% 0% 0% 0% 0% 1yr 1 0 1 2 2 1 0% 0% 0% 0% 1% 0%2yr 3 2 3 5 6 2 1% 1% 1% 1% 2% 0%5 yr 39 22 25 39 43 27 12% 7% 8% 11% 14% 4%7 Yr 33 18 21 31 34 25 10% 6% 6% 9% 11% 4%10 yr 18 10 12 17 18 16 5% 3% 3% 5% 6% 3%30 yr 44 26 28 32 37 17 13% 8% 8% 9% 12% 3%TIPS Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%TIPS Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit OAS(<=50) 0 0 0 0 0 1 0% 0% 0% 0% 0% 0%Credit (OAS 50 - 75) 1 2 2 1 1 2 0% 0% 0% 0% 0% 0%Credit (OAS 75-100) 5 7 6 5 4 10 2% 2% 2% 1% 1% 2%Credit (OAS 100-125) 5 7 7 5 4 12 2% 2% 2% 1% 1% 2%Credit (OAS 125 -150) 6 9 8 7 5 17 2% 3% 2% 2% 2% 3%Credit (OAS 150-175) 11 15 14 12 9 29 3% 5% 4% 4% 3% 5%Credit (OAS 175 -200) 10 13 12 11 8 25 3% 4% 4% 3% 3% 4%Credit (OAS 200-250) 22 26 25 22 17 50 6% 8% 8% 6% 6% 8%Credit (OAS 250-300) 15 17 17 13 10 32 5% 5% 5% 4% 3% 5%Credit (OAS 300-400) 11 13 13 10 7 24 3% 4% 4% 3% 2% 4%Credit (OAS 400-600) 7 8 8 6 4 13 2% 2% 2% 2% 1% 2%Credit (OAS 600-800) 2 2 3 2 1 5 1% 1% 1% 1% 0% 1%Credit (OAS 800-1000) 1 1 1 1 1 2 0% 0% 0% 0% 0% 0%Credit (OAS 1000-1500) 6 6 8 5 4 14 2% 2% 2% 2% 1% 2%Credit (OAS 1500+) 3 3 5 3 2 7 1% 1% 1% 1% 1% 1%MBS (<=97) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>97-100) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>100-102) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>102-104) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>104-107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%CMBS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%ABS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%EM 34 41 39 35 25 86 10% 13% 12% 10% 8% 14%Non Agency RMBS (15) (5) (4) 6 1 28 -4% -1% -1% 2% 0% 5%Senior Floating Rate Loans 37 44 57 44 21 156 11% 14% 17% 13% 7% 26%Currency Overlay 2 2 2 2 2 4 1% 1% 1% 1% 1% 1%
Total 335 319 332 344 300 611 100% 100% 100% 100% 100% 100%
Absolute Portfolio Risk Decomposition (bp/Ann) Absolute Risk Decomposition (%)
68
Portfolio Tracking Error Snapshot
TRACKING ERROR SNAPSHOT
TRACKING ERROR (RISK) DECOMPOSITION (BP/ANN)
___________________________ Source: Neuberger Berman. For illustrative purposes only. The above reflects the potential effect on the portfolio account’s tracking error in different scenarios of historic risk volatility. The Normal Estimate Volatility scenario is based on covariance matrix of return data without the top and bottom 10% tails of the data, while the Extreme Estimate Volatility (Ext) scenario is based on covariance matrix of return data of only the top and bottom 10% tails. The Best Estimate Volatility scenario is a weighted average of the Normal Estimate Volatility scenario and the Extreme Estimate Volatility scenario. The Exponential Volatility (Exp) scenario is based on covariance of return data with greater emphasis on more recent periods.
Los Angeles Water & Power Health Plan Portfolio as of April 30, 2018
Index Portfolio Relative VaR @95% CVaR @95%Tracking Error (TR) (bp/Ann) (bp/Ann) (bp/Ann) (bp/Ann) (bp/Ann)Portfolio 3 Year Estimate 347 340 67 111 139Portfolio 5 Year Estimate 323 322 100 165 207Portfolio Exponential Estimate 323 336 112 184 230Portfolio Best Estimate 339 347 138 226 284Portfolio Normal Estimate 306 299 87Portfolio Extreme Estimate 551 631 349
Tracking Error 3yr 5yr Exp Best Normal ExtRates (5) (5) (3) (0) 0 (2)Non US Rates 7 8 7 7 7 14Soft/Non Core Euro 0 0 0 0 0 0TIPS 0 0 0 0 0 0Agencies 0 0 0 0 0 0Credit (6) (3) (8) (3) 0 (12)MBS 0 0 0 0 0 0CMBS/ABS (0) 0 0 0 0 0EM (1) (5) (8) (4) 3 (23)Non Agency 34 39 34 34 27 75Senior Floating Rate Loans 35 62 85 97 46 280Currency Overlay 3 5 5 7 4 17
69
Portfolio Risk Report (Tracking Error)
RISK REPORT
___________________________ Source: Neuberger Berman. For illustrative purposes only. The above reflects the potential effect on the portfolio account’s tracking error in different scenarios of historic risk volatility. The Normal Estimate Volatility scenario is based on covariance matrix of return data without the top and bottom 10% tails of the data, while the Extreme Estimate Volatility (Ext) scenario is based on covariance matrix of return data of only the top and bottom 10% tails. The Best Estimate Volatility scenario is a weighted average of the Normal Estimate Volatility scenario and the Extreme Estimate Volatility scenario. The Exponential Volatility (Exp) scenario is based on covariance of return data with greater emphasis on more recent periods.
Los Angeles Water & Power Health Plan Portfolio as of April 30, 2018
Tracking ErrorFactors Factors 3yr 5yr Exp Best Normal Ext 3Yr 5yr Exp Best Normal ExtEUR Rates 65 1.13 0.98 -0.16 EUR Rates 4 5 4 5 5 9 6% 5% 4% 3% 5% 3%GBP Rates 69 0.29 0.23 -0.06 GBP Rates 2 1 2 2 1 4 3% 1% 2% 1% 1% 1%CHF Rates 57 0.02 -0.02 CHF Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%NOK Rates 83 0.00 -0.00 NOK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%SEK Rates 71 0.00 -0.00 SEK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%AUD Rates 78 0.02 -0.02 AUD Rates 0 1 0 1 0 2 0% 1% 0% 0% 0% 0%NZD Rates 90 0.00 -0.00 NZD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%JPY Rates 27 0.02 0.04 0.01 JPY Rates (0) (0) (0) (0) (0) (0) 0% 0% 0% 0% 0% 0%CAD Rates 74 0.06 0.06 -0.01 CAD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Soft Core Euro 18 Soft Core Euro 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Non Core Euro 73 Non Core Euro 0 0 0 0 0 0 0% 0% 0% 0% 0% 0% 1yr 54 0.08 0.09 0.02 1yr 0 (0) (0) (0) (0) (1) 0% 0% 0% 0% 0% 0%2yr 64 0.18 0.07 -0.11 2yr 0 1 1 3 2 6 0% 1% 1% 2% 3% 2%5 yr 75 1.08 0.82 -0.26 5 yr 5 7 6 8 7 14 7% 7% 5% 5% 8% 4%7 Yr 73 0.75 0.90 0.15 7 Yr (3) (5) (4) (4) (4) (8) -5% -5% -3% -3% -4% -2%10 yr 70 0.54 0.69 0.15 10 yr (3) (5) (4) (4) (3) (7) -5% -5% -3% -3% -4% -2%30 yr 72 1.41 1.54 0.12 30 yr (3) (3) (3) (3) (1) (7) -4% -3% -3% -2% -2% -2%TIPS Intermediate 80 TIPS Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%TIPS Long 60 TIPS Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Intermediate 22 Agency Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Long 20 Agency Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit OAS(<=50) 34 11.13 0.87 0.51 0.03 -0.47 Credit OAS(<=50) (1) (1) (1) 1 0 3 -1% -1% -1% 1% 0% 1%Credit (OAS 50 - 75) 20 11.36 2.18 0.44 0.09 -0.35 Credit (OAS 50 - 75) 0 (1) (2) (2) (1) (6) 0% -1% -2% -1% -1% -2%Credit (OAS 75-100) 23 8.61 4.63 0.55 0.34 -0.21 Credit (OAS 75-100) (0) (1) (1) (1) (0) (4) 0% -1% -1% -1% 0% -1%Credit (OAS 100-125) 27 7.42 7.05 0.55 0.32 -0.24 Credit (OAS 100-125) (1) (2) (2) (2) (1) (7) -1% -2% -2% -2% -1% -2%Credit (OAS 125 -150) 33 5.94 4.57 0.47 0.34 -0.13 Credit (OAS 125 -150) (1) (1) (2) (2) (0) (5) -1% -1% -2% -1% -1% -1%Credit (OAS 150-175) 41 5.41 6.34 0.38 0.49 0.11 Credit (OAS 150-175) 1 1 2 2 1 5 1% 1% 2% 1% 1% 1%Credit (OAS 175 -200) 50 4.54 4.31 0.31 0.33 0.02 Credit (OAS 175 -200) 0 0 0 0 0 1 0% 0% 0% 0% 0% 0%Credit (OAS 200-250) 63 6.66 4.98 0.36 0.51 0.15 Credit (OAS 200-250) 2 3 4 3 2 9 3% 3% 3% 3% 2% 3%Credit (OAS 250-300) 79 5.86 2.80 0.32 0.16 -0.16 Credit (OAS 250-300) (2) (5) (5) (5) (3) (11) -3% -5% -4% -3% -4% -3%Credit (OAS 300-400) 106 4.95 21.43 0.23 0.83 0.60 Credit (OAS 300-400) 14 26 25 24 20 49 21% 26% 22% 17% 24% 14%Credit (OAS 400-600) 150 4.20 0.18 -0.18 Credit (OAS 400-600) (8) (11) (11) (10) (9) (20) -12% -11% -10% -7% -10% -6%Credit (OAS 600-800) 220 1.34 0.06 -0.06 Credit (OAS 600-800) (4) (5) (5) (5) (4) (10) -6% -5% -5% -3% -4% -3%Credit (OAS 800-1000) 308 0.33 0.01 -0.01 Credit (OAS 800-1000) (1) (1) (2) (1) (1) (3) -1% -1% -1% -1% -1% -1%Credit (OAS 1000-1500) 450 0.43 0.02 -0.02 Credit (OAS 1000-1500) (2) (3) (3) (3) (2) (6) -3% -3% -3% -2% -3% -2%Credit (OAS 1500+) 830 0.31 0.01 -0.01 Credit (OAS 1500+) (4) (3) (4) (3) (2) (6) -5% -3% -4% -2% -3% -2%MBS (<=97) 49 MBS (<=97) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>97-100) 70 MBS (>97-100) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>100-102) 65 MBS (>100-102) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>102-104) 63 0 MBS (>102-104) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>104-107) 64 0 MBS (>104-107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>107) 76 MBS (>107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%CMBS 64 0.44 CMBS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%ABS 82 2.16 0.00 0.00 ABS (0) 0 0 0 0 0 0% 0% 0% 0% 0% 0%EM 91 21.35 9.68 1.20 0.72 -0.48 EM (1) (5) (8) (4) 3 (23) -1% -5% -7% -3% 3% -7%Non Agency RMBS 133 11.62 0.41 0.41 Non Agency RMBS 34 39 34 34 27 75 50% 39% 30% 25% 32% 21%Senior Floating Rate Loans 131 12.55 0.88 0.88 Senior Floating Rate Loans 35 62 85 97 46 280 52% 62% 76% 70% 53% 80%
Currency Overlay 3 5 5 7 4 17 5% 5% 5% 5% 5% 5%
Total 67 100 112 138 87 349 100% 100% 100% 100% 100% 100%
Tracking Error (Risk) Decomposition (bp/Ann) Tracking Error (Risk) Decomposition (%) Spread/Yield Volatility(Bp/Ann)
BenchMark Weight(%)
Portfolio Weight
BenchMark $Duarion
Portfolio Abs $Duration
Portfolio Relative
$Duration
70
Portfolio Risk Report (Absolute Risk)
___________________________ Source: Neuberger Berman. For illustrative purposes only. The above reflects the potential effect on the portfolio account’s tracking error in different scenarios of historic risk volatility. The Normal Estimate Volatility scenario is based on covariance matrix of return data without the top and bottom 10% tails of the data, while the Extreme Estimate Volatility (Ext) scenario is based on covariance matrix of return data of only the top and bottom 10% tails. The Best Estimate Volatility scenario is a weighted average of the Normal Estimate Volatility scenario and the Extreme Estimate Volatility scenario. The Exponential Volatility (Exp) scenario is based on covariance of return data with greater emphasis on more recent periods.
RISK REPORT
Los Angeles Water & Power Health Plan Portfolio as of April 30, 2018
Absolute Portfolio Risk 3yr 5yr Exp Best Normal ExtRates 149 88 97 124 140 82Non US Rates 35 29 20 27 33 5Soft/Non Core Euro 0 0 0 0 0 0TIPS 0 0 0 0 0 0Agencies 0 0 0 0 0 0Credit 99 122 119 101 74 237MBS 0 0 0 0 0 0CMBS/ABS 0 0 0 0 0 0EM 27 33 32 29 21 73Non Agency (16) (6) (5) 6 1 29Senior Floating Rate Loans 43 54 70 57 27 201Currency Overlay 3 2 2 3 2 5
Factors 3yr 5yr Exp Best Normal Ext 3Yr 5yr Exp Best Normal ExtEUR Rates 25 22 15 21 26 2 7% 7% 5% 6% 9% 0%GBP Rates 8 6 4 5 5 3 2% 2% 1% 1% 2% 0%CHF Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%NOK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%SEK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%AUD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%NZD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%JPY Rates 0 (0) (0) 0 0 0 0% 0% 0% 0% 0% 0%CAD Rates 2 1 1 1 2 0 0% 0% 0% 0% 1% 0%Soft Core Euro 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Non Core Euro 0 0 0 0 0 0 0% 0% 0% 0% 0% 0% 1yr 1 0 1 1 2 0 0% 0% 0% 0% 1% 0%2yr 1 1 1 2 2 0 0% 0% 0% 0% 1% 0%5 yr 31 18 20 28 32 18 9% 6% 6% 8% 11% 3%7 Yr 38 21 24 33 36 24 11% 7% 7% 9% 12% 4%10 yr 28 15 18 25 26 22 8% 5% 5% 7% 9% 4%30 yr 52 32 33 35 42 17 15% 10% 10% 10% 14% 3%TIPS Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%TIPS Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit OAS(<=50) 0 0 0 0 0 1 0% 0% 0% 0% 0% 0%Credit (OAS 50 - 75) 1 1 1 1 1 2 0% 0% 0% 0% 0% 0%Credit (OAS 75-100) 5 7 6 5 4 10 2% 2% 2% 1% 1% 2%Credit (OAS 100-125) 5 7 6 5 3 11 1% 2% 2% 1% 1% 2%Credit (OAS 125 -150) 5 8 7 6 4 16 2% 2% 2% 2% 1% 2%Credit (OAS 150-175) 9 13 12 11 8 26 3% 4% 4% 3% 3% 4%Credit (OAS 175 -200) 8 10 9 9 7 21 2% 3% 3% 3% 2% 3%Credit (OAS 200-250) 17 20 20 18 13 41 5% 6% 6% 5% 4% 6%Credit (OAS 250-300) 7 8 8 6 5 15 2% 2% 2% 2% 2% 2%Credit (OAS 300-400) 42 48 50 40 29 96 12% 15% 15% 11% 10% 15%Credit (OAS 400-600) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit (OAS 600-800) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit (OAS 800-1000) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit (OAS 1000-1500) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit (OAS 1500+) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (<=97) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>97-100) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>100-102) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>102-104) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>104-107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%CMBS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%ABS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%EM 27 33 32 29 21 73 8% 10% 9% 8% 7% 12%Non Agency RMBS (16) (6) (5) 6 1 29 -5% -2% -1% 2% 0% 5%Senior Floating Rate Loans 43 54 70 57 27 201 13% 17% 21% 17% 9% 32%Currency Overlay 3 2 2 3 2 5 1% 1% 1% 1% 1% 1%
Total 340 322 336 347 299 631 100% 100% 100% 100% 100% 100%
Absolute Portfolio Risk Decomposition (bp/Ann) Absolute Risk Decomposition (%)
71
PORTFOLIO GUIDELINES & FEE SCHEDULE
LADWP Active Extended Global Credit Portfolio
The Plan has appointed Manager(s) as Active Extended Global Credit Manager(s) to manage a portion of the Plan's assets. These assets will be managed in conformity with the objectives and guidelines delineated below and in accordance with a formal contract with the Retirement Board.
Portfolio Component Definition • Manager(s) will manage an active portfolio (“Portfolio”) for the Plan that will provide participation in the higher return and higher volatility segments of the fixed income market. Given this
orientation, the goal of the Portfolio is to provide superior performance versus the blended 66.67% Barclays Global Credit Bond Index (hedged) / 33.33% Barclays Global High Yield Index (hedged) (66.67% Barclays Global Credit (hedged) / 33.33% Global High Yield (hedged)) over a complete investment cycle of approximately three-to-five years.
Portfolio Guidelines • The portfolio shall be composed of securities throughout the credit risk spectrum, as defined by Barclays (the publisher of the Barclays Indices). Barclays defines a non-investment grade
bond as follows: If a bond is rated by all three rating agencies (Moody’s, S&P, Fitch), then it must be rated non-investment grade (BB+ or Ba1) by two or more rating agencies. If a bond is rated by two rating agencies, it must be rated below investment grade by at least one rating agency. If only one rating agency rates the bond, then a rating below BBB-or Baa3 is considered non-investment grade. The portfolio may contain investment grade, non- investment grade, and unrated bonds.
• In the event of a downgrade below single C, or in the case of a default, Manager(s) must notify the Plan of the downgrade within two days of the date that the downgrade occurs. In the
event of a downgrade below single C, or in the case of a default, if the Manager(s) elects to retain the bond in the portfolio the Manager(s) must inform the Plan of the downgrade within two days of the date that the downgrade occurs, and provide a rationale for continued retention of the holding.
• There may be instances when debt issues convert into equity-oriented securities (i.e. preferred stock, common stock or warrants to purchase other equity securities). To handle these
situations, fixed income managers are allowed to hold equity-oriented positions when received in exchange for, or conversion or cancellation of debt securities held in the portfolio. The manager(s) is required to inform the Plan 30 days prior to the conversion when they intend to hold the resulting equity-oriented positions. Equity-oriented securities can be held in the portfolio no longer than six months. The manager(s) is required to provide 30 days advance notice to extend the holding period beyond the original six-month period. No more than 10% of the portfolio shall be invested in equity-oriented securities resulting from fixed-to-equity exchanges.
Investment Guidelines and Objectives
Fee Schedule Flat Fee 0.23%
73
LADWP Active Extended Global Credit Portfolio
Portfolio Guidelines (continued)
• Non-benchmark markets holdings (excluding cash and excluding Government-Supported) shall be limited to 50% of a single manager portfolio. Benchmark markets are based on currency denomination and security type (e.g., USD corporate industrial bonds, EUR corporate financial bond, etc.). Security type is based on Barclays’ Class 2 sector classifications and instrument (e.g., bond versus loan).
• No more than 60% of a single manager portfolio may be invested in below investment grade (Baa3 or BBB-) / unrated securities.
• Non-benchmark Government-Supported markets holdings shall be limited to 40% of a single manager portfolio.
• Government-Supported securities are defined as Supranationals, Local Authorities, U.S. Treasuries, sovereign debt of OECD governments, U.S. Agencies and Government Sponsored Enterprises, and equivalently-rated agencies of OECD governments.
• Minimum issuance size is $100 million.
• Foreign net currency exposure shall be limited to 35%.
• Foreign gross currency exposure shall be limited to 70%.
• Currency exposure is measured as the absolute value of all country-level currency positions versus the U.S. dollar. • No more than 5% of the lesser of cost or market value will be invested in any one issuer, with the exception of Government-Supported securities. • No more than 20% of the lesser of cost or market value will be invested in any one industry (as defined by Barclays), with the exception of Government-Supported securities.
Investment Guidelines and Objectives (continued)
74
LADWP Active Extended Global Credit Portfolio
Portfolio Guidelines (continued) • Derivatives may be managed to protect market value and to maximize total returns, subject to the following guidelines:
− Eligible applications include but are not limited to the purchase, sale, exchange, conversion or other trade of exchange traded index option contracts, over-the-counter options, international fixed income futures, domestic fixed income futures and swaps.
− The total relative economic impact risk of each derivative application will be monitored on a daily basis by the most appropriate risk management tools for the particular derivatives application.
− Excluding FX derivatives maintained to hedge currency risk, the maximum investment, as measured by net notional amount, in derivative instruments will be 100% of the portfolio’s total market value.
− In order to limit the financial risks associated with derivative applications, rigorous counterparty selection criteria and netting agreements shall be required to minimize counterparty risk. If utilized, the counterparty must be of an investment grade credit and the agreement must be marked to market no less frequently than monthly.
− Borrowed funds shall not be used.
• For prudent diversification, the portfolio shall have a minimum of 25 issues. • The cash equivalent portion should not normally exceed 10% of market value of the portfolio. Cash equivalents held backing derivatives are excluded from the 10% limit. Exchange
Traded Funds (“ETFs”) may be used to temporarily invest excess cash and provide short-term liquidity and/or market exposure. Investments in ETFs count toward the 10% cash equivalent limit. ETF allocations shall be included in the calculation of portfolio guideline limitations based on underlying ETF holdings. Cash equivalents are defined as follows:
• For Neuberger Berman cash equivalents are defined as Treasury securities with a maturity of 3 months or less. • No more than 20% of the lesser of cost or market value will be invested in commingled funds managed by the manager. When investing in commingled funds the manager shall
rebate all investment management fees associated with use of these funds. Commingled fund allocations shall be included in the calculation of portfolio guideline limitations based on underlying commingled fund holdings. Commingled funds should be used as a tool for making tactical investments and investments should generally be for periods of less than 6 months.
Investment Guidelines and Objectives (continued)
75
LADWP Active Extended Global Credit Portfolio
Portfolio Characteristics • The acceptable modified duration band around the 66.67% Barclays Global Credit (hedged)/ 33.33% Barclays Global High Yield (hedged) Index ± 4 years.
Performance Objectives • On an annual basis, Manager(s) is/are expected to outperform the 66.67% Barclays Global Credit (hedged) / 33.33% Barclays Global High Yield (hedged) Index return, net of fees, to
be measured over an investment cycle of three-to-five years. For the performance evaluation, the Portfolio will be measured, net of fees and expenses, against the 66.67% Barclays Global Credit (hedged) / 33.33% Barclays Global High Yield (hedged) Index.
Investment Guidelines and Objectives (continued)
76
LADWP Active Extended Global Credit Portfolio
Retirement Plan Health Plan
77
Initial Contribution:(08/2015)
Contributions: $18,732,483.37
Total Contributions: $543,220,888.19
Withdrawals: $0.00
Income Stripping: $0.00
Total Withdrawals: $0.00
Net Contribution: $543,220,888.19
Change in Market Value: $108,774,679.80
Market Value:(04/30/2018)
$524,488,404.82
$651,995,567.99
Initial Contribution:(08/2015)
Contributions: $4,086,746.86
Total Contributions: $91,542,259.70
Withdrawals: $0.00
Income Stripping: $0.00
Total Withdrawals: $0.00
Net Contribution: $91,542,259.70
Change in Market Value: $17,933,293.03
Market Value:(04/30/2018) $109,475,552.73
$87,455,512.84
HOLDINGS
LA Retirement Plan Holdings As of April 30, 2018
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L68245XAE9 1011778 BC UNLIMITED LIABILITY CO 144A 96.22 269,996.53$ 0.04% Lodging/Leisure 5.00 10/15/2025 B- (14034.80)68245XAC3 1011778 BC UNLIMITED LIABILITY CO 144A 95.13 756,461.98$ 0.12% Lodging/Leisure 4.25 5/15/2024 B+ (44425.00)BJM820186 10YR MINI JGB JUN 18 150.70 -$ 0.00% Futures 6/12/2018 0.00BNG0111W7 1MDB GLOBAL INVESTMENTS LTD RegS 93.58 942,039.33$ 0.14% Non_Corprate 4.40 3/9/2023 NR 136306.00002824BF6 ABBOTT LABORATORIES 98.58 4,065,866.70$ 0.62% Healthcare 3.75 11/30/2026 BBB (14372.40)BNG2V2VD7 ABN AMRO BANK NV RegS 99.92 1,605,109.33$ 0.25% Banking 4.40 3/27/2028 BBB (36160.00)00401MAB2 ABU DHABI CRUDE OIL PIPELINE LLC 144A 94.13 256,441.14$ 0.04% Non_Corprate 4.60 11/2/2047 AA (15608.88)00401MAA4 ABU DHABI CRUDE OIL PIPELINE LLC 144A 93.19 253,627.90$ 0.04% Non_Corprate 3.65 11/2/2029 AA (18190.71)035659AA9 ACOSTA INC 144A 59.50 484,000.66$ 0.07% Food and Beverage 7.75 10/1/2022 CCC- (154562.50)00507UAR2 ACTAVIS FUNDING SCS 98.33 3,382,709.81$ 0.52% Pharmaceuticals 3.45 3/15/2022 BBB 11816.2500507UAS0 ACTAVIS FUNDING SCS 96.09 3,664,679.70$ 0.56% Pharmaceuticals 3.80 3/15/2025 BBB (279577.65)BRSNZFAH0 ADVANTAGE SALES & MARKETING 2L TL 92.11 257,910.80$ 0.04% Food and Beverage 8.33 7/25/2022 CCC+ (13577.95)BNG3LMAJ2 AGUA Y SANEAMIENTOS ARGENTINOS SA RegS 97.13 266,659.69$ 0.04% Utility 6.63 2/1/2023 NA (742.50)00900HAA1 AIMCO_18-A E 144A 94.14 901,028.48$ 0.14% Finace 4/17/2031 NR (55648.25)00912XAT1 AIR LEASE CORPORATION 95.32 2,942,498.25$ 0.45% Finace 3.00 9/15/2023 BBB (100675.50)00928QAN1 AIRCASTLE LTD 104.50 285,243.75$ 0.04% Finace 5.50 2/15/2022 BB+ (9438.00)00928QAL5 AIRCASTLE LTD 100.75 312,577.34$ 0.05% Finace 4.63 12/15/2018 BB+ (6718.75)00928QAK7 AIRCASTLE LTD 103.88 537,632.12$ 0.08% Finace 6.25 12/1/2019 BB+ (14373.75)00928QAM3 AIRCASTLE LTD 102.75 677,208.59$ 0.10% Finace 5.13 3/15/2021 BB+ (24271.35)013093AD1 ALBERTSONS COMPANIES LLC 87.13 254,746.88$ 0.04% Retailers 5.75 3/15/2025 B+ (6962.50)013817AW1 ALCOA INC 101.16 162,508.56$ 0.02% Aerospace and Defense 5.13 10/1/2024 BBB- (9696.85)02005NAJ9 ALLY FINANCIAL INC 108.25 212,915.63$ 0.03% Banking 7.50 9/15/2020 BB+ (625.00)02005NBG4 ALLY FINANCIAL INC 100.50 392,663.06$ 0.06% Banking 4.25 4/15/2021 BB+ (1518.75)02005NBE9 ALLY FINANCIAL INC 100.00 523,136.28$ 0.08% Banking 3.25 11/5/2018 BB+ (4041.25)02005NBB5 ALLY FINANCIAL INC 99.75 942,462.00$ 0.14% Banking 3.60 5/21/2018 BB+ (14207.70)02005NAE0 ALLY FINANCIAL INC 107.75 1,332,187.50$ 0.20% Banking 8.00 3/15/2020 BB+ (50611.25)BNG3AHJE7 ALTICE FINCO SA RegS 88.50 141,175.97$ 0.02% Cable/Media 4.75 1/15/2028 CCC+ (5464.37)02154VAB7 ALTICE SA 144A 90.13 290,365.56$ 0.04% Telecom 7.63 2/15/2025 B- (53749.25)02154VAA9 ALTICE SA 144A 95.50 582,687.50$ 0.09% Telecom 7.75 5/15/2022 B- (40417.50)BNG0PN7Y3 ALTICE SA RegS 99.08 303,839.39$ 0.05% Telecom 7.25 5/15/2022 B- 2919.5802155FAA3 ALTICE US FIN I CORP 144A 100.13 203,385.42$ 0.03% Cable/Media 5.38 7/15/2023 BB (10246.00)02155EAA6 ALTICE US FIN II CORP 144A 105.25 215,020.83$ 0.03% Cable/Media 7.75 7/15/2025 B (14000.00)02155FAC9 ALTICE US FINANCE I CORP 144A 96.94 333,187.09$ 0.05% Cable/Media 5.50 5/15/2026 BB (19605.70)00165CAD6 AMC ENTERTAINMENT HOLDINGS INC 96.75 343,472.66$ 0.05% Lodging/Leisure 6.13 5/15/2027 B+ (12808.15)BNG33QH64 AMC ENTERTAINMENT HOLDINGS INC RegS 101.58 143,928.77$ 0.02% Lodging/Leisure 6.38 11/15/2024 B+ (187.65)00165AAH1 AMC ENTERTAINMENT INC 97.00 356,975.28$ 0.05% Lodging/Leisure 5.75 6/15/2025 B+ (43.05)
79
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L00164VAE3 AMC NETWORKS INC B1 94.51 186,584.40$ 0.03% Cable/Media 4.75 8/1/2025 BB (11555.50)025816BL2 AMERICAN EXPRESS CO 100.25 2,592,166.25$ 0.40% Banking 4.90 3/15/2020 BB+ 80955.0000252FCV1 AMIT_05-4 M3 98.14 1,472,645.88$ 0.23% Finace 2.68 10/25/2035 CCC 260838.15031652BG4 AMKOR TECHNOLOGY INC 102.63 330,043.33$ 0.05% Technology 6.38 10/1/2022 BB (5650.00)03072SS89 AMSI_05-R10 M3 97.18 4,860,489.94$ 0.75% Home Equity 2.35 1/25/2036 B+ 915110.0003072SM28 AMSI_05-R8 M3 98.10 4,108,703.69$ 0.63% Home Equity 2.41 10/25/2035 CCC 627028.95032511BJ5 ANADARKO PETROLEUM CORP 96.29 2,500,616.43$ 0.38% Energy 3.45 7/15/2024 BBB (3315.30)BNG1BYYB2 ANGLIAN WATER OSPREY FINANCING PLC RegS 102.30 281,805.81$ 0.04% Utility 5.00 4/30/2023 NR (12317.64)035242AN6 ANHEUSER-BUSCH INBEV FINANCE INC 103.61 1,221,122.58$ 0.19% Food and Beverage 4.90 2/1/2046 A- 44747.65035242AP1 ANHEUSER-BUSCH INBEV FINANCE INC 97.92 2,742,320.52$ 0.42% Food and Beverage 3.65 2/1/2026 A- (53085.75)035240AP5 ANHEUSER-BUSCH INBEV WORLDWIDE INC MTN 100.04 1,365,182.36$ 0.21% Food and Beverage 4.75 4/15/2058 A- (9424.80)03690AAC0 ANTERO MIDSTREAM LLC 99.50 405,696.09$ 0.06% Midstream 5.38 9/15/2024 BB+ (14090.62)03674XAC0 ANTERO RESOURCES CORP 100.50 559,285.43$ 0.09% Energy 5.13 12/1/2022 BB+ (9769.65)03674PAL7 ANTERO RESOURCES FINANCE CORP 101.16 496,644.87$ 0.08% Energy 5.38 11/1/2021 BB+ (7331.00)037411BA2 APACHE CORP 98.91 1,699,769.37$ 0.26% Energy 4.75 4/15/2043 BBB 161312.9003767CAE0 APID 17-28A C 144A 98.11 498,015.32$ 0.08% Finace 1/20/2031 BBB- (9463.35)03766YAA1 APID 17-28A D 144A 99.16 508,286.02$ 0.08% Finace 6.92 1/20/2031 BB- (4200.95)037833CQ1 APPLE INC 96.87 1,459,421.06$ 0.22% Technology 2.30 5/11/2022 AA+ (44014.60)037833CJ7 APPLE INC 97.67 3,444,971.25$ 0.53% Technology 3.35 2/9/2027 AA+ (81410.00)BNG3NFQF6 ARAB REPUBLIC OF EGYPT RegS 101.35 210,869.03$ 0.03% Non_Corprate 7.90 2/21/2048 B- 2763.81BNG2QRUP2 ARAB REPUBLIC OF EGYPT MTN RegS 107.14 666,489.66$ 0.10% Non_Corprate 8.50 1/31/2047 NA 15347.16BNG2V9343 ARAMARK INTERNATIONAL FINANCE SARL RegS 102.51 285,554.92$ 0.04% Food and Beverage 3.13 4/1/2025 BB (10972.46)038522AK4 ARAMARK SERVICES INC 101.75 278,760.94$ 0.04% Food and Beverage 5.13 1/15/2024 BB (8839.30)038522AQ1 ARAMARK SERVICES INC 144A 97.29 143,126.12$ 0.02% Food and Beverage 5.00 2/1/2028 BB (5390.55)03938LAS3 ARCELORMITTAL 115.00 121,954.58$ 0.02% Metals and Mining 7.00 3/1/2041 BBB- (12812.50)BNG2X2668 ARD FINANCE SA 105.13 281,627.64$ 0.04% Paper/Packaging 6.63 9/15/2023 B- (8689.06)03969AAM2 ARDAGH HOLDINGS USA INC 144A 99.38 199,812.50$ 0.03% Paper/Packaging 4.25 9/15/2022 BB (7478.00)03969AAL4 ARDAGH PACKAGING FINANCE PLC 144A 101.13 481,162.50$ 0.07% Paper/Packaging 6.00 2/15/2025 B (10970.75)BNG276RU2 ARDAGH PACKAGING FINANCE PLC RegS 108.97 148,932.31$ 0.02% Paper/Packaging 6.75 5/15/2024 B (3682.16)BNG2TC9U5 ARDAGH PACKAGING FINANCE PLC RegS 101.33 147,403.42$ 0.02% Paper/Packaging 2.75 3/15/2024 BB (3241.27)04015VAE6 ARES 2017-45A E 144A 100.59 1,835,943.06$ 0.28% Finace 8.45 10/15/2030 NR 48348.37BRS8R2FA1 AREVA SA MTN 109.50 611,216.30$ 0.09% Non_Corprate 4.88 9/23/2024 BB+ (18684.63)040114GK0 ARGENTINA (REPUBLIC OF) 65.25 922,962.50$ 0.14% Non_Corprate 2.50 12/31/2038 B+ 69886.00040114GL8 ARGENTINA REPUBLIC OF GOVERNMENT 107.25 524,409.88$ 0.08% Non_Corprate 8.28 12/31/2033 B+ (34577.76)040114HR4 ARGENTINA REPUBLIC OF GOVERNMENT 88.85 1,573,116.63$ 0.24% Non_Corprate 6.88 1/11/2048 B+ (68699.40)04364VAA1 ASCENT RESOURCES UTICA HOLDINGS/AR 144A 107.50 389,900.00$ 0.06% Energy 10.00 4/1/2022 B- 5682.70
80
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L04623TAG0 ASRNT 18-1A D 144A 98.73 494,538.07$ 0.08% Finace 4/20/2031 NR (6329.45)04623HAA9 ASRNT 18-1A E 144A 95.56 1,288,824.59$ 0.20% Finace 4/20/2031 NR (46291.94)04625BAA0 ASRNT 2017-1A E 144A 100.75 3,155,705.73$ 0.48% Finace 8.20 10/20/2029 NR 101284.0600206RCP5 AT&T INC 95.54 541,710.53$ 0.08% Telecom 4.50 5/15/2035 BBB+ 14729.7000206RBH4 AT&T INC 89.39 1,305,914.58$ 0.20% Telecom 4.30 12/15/2042 BBB+ (16961.70)00206RDS8 AT&T INC 102.23 4,083,520.10$ 0.63% Telecom 5.45 3/1/2047 BBB+ (129836.20)00206RCN0 AT&T INC 95.22 4,146,823.03$ 0.64% Telecom 3.40 5/15/2025 BBB+ 2870.95053773BA4 AVIS BUDGET CAR RENTAL LLC/AVIS BU 144A 96.25 169,585.94$ 0.03% Transportation Services 5.25 3/15/2025 BB- 2407.40BNG2TQFJ2 AVIS BUDGET CAR RENTAL LLC/AVIS BU RegS 102.26 441,201.41$ 0.07% Transportation Services 4.50 5/15/2025 BB- (8259.54)BNG2C59U8 AXALTA COATING SYSTEMS LLC RegS 105.87 580,418.52$ 0.09% Chemicals 4.25 8/15/2024 BB- (11782.20)06759GAA2 BABSN 15-2A ER 144A 101.09 1,266,721.19$ 0.19% Finace 8.81 10/20/2030 NR 38662.63BNG37HFJ4 BAHRAIN (KINGDOM OF) RegS 92.16 257,360.70$ 0.04% Non_Corprate 6.75 9/20/2029 B+ (21716.80)058498AR7 BALL CORP 103.63 333,600.00$ 0.05% Paper/Packaging 5.00 3/15/2022 BB+ (11116.75)058498AU0 BALL CORPORATION 101.63 170,067.45$ 0.03% Paper/Packaging 4.38 12/15/2020 BB+ (4611.25)05890MAA1 BANC CREDITO INVERSIONES 144A 92.50 255,783.00$ 0.04% Banking 3.50 10/12/2027 A (17302.44)05969LAB7 BANCO INBURSA SA INSTITUCION DE BA 144A 95.00 190,461.81$ 0.03% Banking 4.38 4/11/2027 BBB+ (7182.00)059614AP2 BANCO NACIONAL DE DESENVOLVIMENTO 144A 98.45 201,412.50$ 0.03% Non_Corprate 4.75 5/9/2024 BB- (2512.00)05964HAE5 BANCO SANTANDER SA 96.19 4,257,730.28$ 0.65% Banking 3.13 2/23/2023 A- (159412.00)060505EG5 BANK OF AMERICA CORP 101.26 3,094,602.08$ 0.47% Banking 5.13 6/17/2019 BBB- 106800.0006051GGK9 BANK OF AMERICA CORP 97.21 3,131,772.54$ 0.48% Banking 2.88 4/24/2023 A- (89773.60)06051GFH7 BANK OF AMERICA CORP MTN 100.17 1,730,789.43$ 0.27% Banking 4.20 8/26/2024 BBB+ 617.40BNG15WNJ8 BANQUE CENTRALE DE TUNISIE RegS 92.60 188,075.80$ 0.03% Non_Corprate 5.75 1/30/2025 NA 2700.8006675QAB9 BANQUE OUEST AFRICAINE DE DEVELOPP 144A 98.15 226,727.00$ 0.03% Non_Corprate 5.00 7/27/2027 NA 173.28BRS7JF8M5 BARCLAYS BANK PLC RegS 112.09 462,332.82$ 0.07% Banking 14.00 6/15/2019 BB (13898.42)06738EAW5 BARCLAYS PLC 97.18 2,949,436.72$ 0.45% Banking 4.84 5/9/2028 BB+ (83672.30)06738EAU9 BARCLAYS PLC 97.76 4,032,726.71$ 0.62% Banking 4.34 1/10/2028 BBB (91208.70)BNG2K0KU7 BASS PRO 1L TL-B 100.63 89,108.47$ 0.01% Consumer Products 6.89 9/25/2024 B+ 3473.1305526DBE4 BAT CAPITAL CORP 144A 95.12 1,950,075.52$ 0.30% Tobacco 4.54 8/15/2047 BBB+ (99124.90)05526DBA2 BAT CAPITAL CORP 144A 93.94 2,759,835.76$ 0.42% Tobacco 3.56 8/15/2027 BBB+ (176765.60)07177MAL7 BAXALTA INC 98.87 3,860,204.25$ 0.59% Pharmaceuticals 3.60 6/23/2022 BBB- (59713.95)05545MAA0 BBA US HOLDINGS INC 100.56 251,544.31$ 0.04% Aerospace and Defense 5.38 5/1/2026 BB 1395.00BNG3LEHR5 BELARUS GOVERNMENT BOND RegS 96.49 195,119.56$ 0.03% Non_Corprate 6.20 2/28/2030 B (7016.00)BNG32J358 BELDEN INC RegS 97.01 538,707.66$ 0.08% Industrial Other 3.38 7/15/2027 BB- (23293.16)BNG2G1GJ0 BERMUDA (GOVERNMENT OF) RegS 97.50 263,928.75$ 0.04% Non_Corprate 3.72 1/25/2027 A+ (6662.48)BNG07JTX0 BERMUDA (GOVERNMENT) RegS 104.37 559,174.38$ 0.09% Non_Corprate 4.85 2/6/2024 A+ (2665.90)085790AY9 BERRY PLASTICS CORP 100.63 342,101.30$ 0.05% Paper/Packaging 5.13 7/15/2023 BB- (13120.10)
81
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L08949LAA8 BIG RIVER STEEL LLC / BRS FINANCE 144A 104.25 284,683.13$ 0.04% Metals and Mining 7.25 9/1/2025 B (625.00)BNG1MMRQ1 BIZ FINANCE PLC RegS 103.50 207,160.42$ 0.03% Non_Corprate 9.63 4/27/2022 NA (400.00)097023BY0 BOEING CO 96.21 5,139,096.44$ 0.79% Aerospace and Defense 3.55 3/1/2038 A 49813.95103304BK6 BOYD GAMING CORP 105.00 319,045.57$ 0.05% Lodging/Leisure 6.88 5/15/2023 B (6343.75)103304BM2 BOYD GAMING CORPORATION 104.70 436,623.75$ 0.07% Lodging/Leisure 6.38 4/1/2026 B (17372.20)105756BW9 BRAZIL (FEDERATIVE REPUBLIC OF) 86.50 399,452.08$ 0.06% Non_Corprate 5.00 1/27/2045 BB- (25895.00)BMS037MN8 BRAZIL MINAS SPE RegS 99.50 502,981.14$ 0.08% Finace 5.33 2/15/2028 BB- 90500.0011134LAH2 BROADCOM CORPORATION 95.48 3,637,186.09$ 0.56% Technology 3.88 1/15/2027 BBB- (287758.95)073877BT8 BSABS_05-SD2 2M2 100.44 1,461,153.56$ 0.22% Home Equity 3.40 12/25/2044 AA 137327.54073879VF2 BSABS_05-TC1 M1 100.22 652,773.48$ 0.10% Home Equity 2.56 5/25/2035 AAA (1036689.01)08179JAA4 BSP 2017-12A D 144A 100.67 2,810,427.84$ 0.43% Finace 8.76 10/15/2030 NR 81126.1912429TAD6 BWAY HOLDING CO 144A 100.67 322,886.50$ 0.05% Paper/Packaging 5.50 4/15/2024 B- (5131.00)BNG2NFHJ0 CALPINE 1L TL-B6 100.43 287,122.38$ 0.04% Utility 4.81 1/15/2023 BB (219.81)131347CE4 CALPINE CORP 95.88 658,277.86$ 0.10% Utility 5.38 1/15/2023 B (11954.25)131347CA2 CALPINE CORP 144A 102.25 483,600.00$ 0.07% Utility 6.00 1/15/2022 BB (8131.25)CNM820186 CAN 10YR BOND JUN 18 131.45 -$ 0.00% Futures 6/20/2018 0.00136385AV3 CANADIAN NATURAL RESOURCES LIMITED 98.91 2,621,723.13$ 0.40% Energy 3.90 2/1/2025 BBB+ (121563.75)13876HAA4 CANYC 2017-1A E 144A 100.51 756,319.08$ 0.12% Finace 8.60 7/15/2030 NR 21286.4313875LAW8 CANYC_141RR DR 144A 96.61 724,547.03$ 0.11% Finace 7.86 1/30/2031 NR (25452.98)14042RFH9 CAPITAL ONE BANK USA NA / CAPITAL 98.41 3,311,499.83$ 0.51% Banking 2.35 1/31/2020 BBB+ (51145.05)144531BD1 CARMLT_05-NC1 M3 95.83 1,900,409.22$ 0.29% Home Equity 2.72 2/25/2035 CCC 341052.27144531DN7 CARR_05-NC5 M1 99.97 3,776,744.42$ 0.58% Home Equity 2.38 10/25/2035 CCC 463487.50144531CM0 CARR_05-O2 M4 100.87 4,323,810.98$ 0.66% Home Equity 2.87 5/25/2035 CCC 476314.1730711XGP3 CAS 17-C02 2M2 109.55 6,664,583.62$ 1.02% CMO 5.55 9/25/2029 NR 580664.9330711XWX8 CAS 17-CO7 2M2 102.69 4,182,154.18$ 0.64% CMO 4.40 5/25/2030 NR 109668.5930711XYX6 CAS 18-CO1 1M2 102.34 2,959,407.94$ 0.45% CMO 4.15 7/25/2030 NR 67743.3330711XJX3 CAS 2017-CO3 1M2 106.38 2,757,094.51$ 0.42% CMO 4.90 10/25/2029 NR 161806.3530711XLT9 CAS 2017-CO4 2M2 104.77 3,302,355.17$ 0.51% CMO 4.75 11/25/2029 NR 150278.3130711XNX8 CAS 2017-CO5 1M2 101.69 2,116,421.10$ 0.32% CMO 4.10 1/25/2030 NR 75699.9930711XQX5 CAS 2017-CO6 1M2 103.78 1,277,220.49$ 0.20% CMO 4.55 2/25/2030 NR 46443.6930711XSX3 CAS 2017-CO6 2M2 103.99 1,664,915.80$ 0.26% CMO 4.70 2/25/2030 NR 63872.00BNG0W4D20 CASINO GUICHARD PERRACHON SA MTN RegS 100.70 125,260.65$ 0.02% Retailers 4.05 8/5/2026 BB+ (7382.39)BNG2M7Z42 CATALENT PHARMA SOLUTIONS INC RegS 104.95 283,682.93$ 0.04% Pharmaceuticals 4.75 12/15/2024 B+ (9573.78)12504PAC4 CBOM FINANCE PLC 144A 97.07 254,732.92$ 0.04% Banking 5.88 11/7/2021 BB- (7466.40)1248EPBF9 CCO HOLDINGS LLC 144A 100.32 894,953.90$ 0.14% Cable/Media 5.13 5/1/2023 BB (33206.20)1248EPAY9 CCO HOLDINGS LLC/CAP CORP 101.72 398,414.25$ 0.06% Cable/Media 5.25 9/30/2022 BB (2067.00)
82
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L1248EPBX0 CCO HOLDINGS LLC/CAP CORP 144A 92.34 528,693.73$ 0.08% Cable/Media 5.00 2/1/2028 BB (36696.55)1248EPBK8 CCO HOLDINGS LLC/CCO HOLDINGS CAPI 144A 97.75 196,308.80$ 0.03% Cable/Media 5.88 5/1/2027 BB (13436.80)1248EPBM4 CCO HOLDINGS LLC/CCO HOLDINGS CAPI 144A 99.25 753,359.38$ 0.12% Cable/Media 5.75 2/15/2026 BB (43314.10)12508EAD3 CDK GLOBAL INC 101.50 45,768.75$ 0.01% Technology 5.00 10/15/2024 BB+ (262.50)12508EAB7 CDK GLOBAL INC 100.39 110,597.67$ 0.02% Technology 3.80 10/15/2019 BB+ (126.50)12508EAF8 CDK GLOBAL INC 96.00 126,442.84$ 0.02% Technology 4.88 6/1/2027 BB+ (5632.50)12513GBB4 CDW LLC / CDW FINANCE CORP 102.01 236,507.72$ 0.04% Technology 5.00 9/1/2023 BB- (5395.75)12513GBC2 CDW LLC / CDW FINANCE CORP 99.72 246,321.64$ 0.04% Technology 5.00 9/1/2025 BB- (10552.30)150190AA4 CEDAR FAIR LP 144A 99.50 59,834.38$ 0.01% Lodging/Leisure 5.38 4/15/2027 BB- (3217.75)BNG2PY8Z1 CELLNEX TELECOM SA MTN RegS 102.60 124,071.90$ 0.02% Telecom 2.88 4/18/2025 BB+ (2654.94)BNG29C358 CEMEX FINANCE LLC RegS 106.63 425,508.97$ 0.07% Building Materials 4.63 6/15/2024 BB (10437.68)BNG24FPB9 CEMEX SAB DE CV RegS 109.65 219,902.78$ 0.03% Building Materials 7.75 4/16/2026 BB (4200.00)15132HAH4 CENCOSUD SA 144A 94.75 399,367.22$ 0.06% Retailers 4.38 7/17/2027 NA (20371.52)15135BAD3 CENTENE CORP 101.00 541,679.69$ 0.08% Health Insurance 4.75 5/15/2022 BB+ (12825.00)15135BAH4 CENTENE CORPORATION 104.77 196,185.18$ 0.03% Health Insurance 6.13 2/15/2024 BB+ (3125.50)BNG2ZHA01 CENTURYLINK 1L TL-B 98.46 157,138.97$ 0.02% Telecom 4.64 1/31/2025 BBB- (1638.03)15672WAE4 CEQUEL COMMUNICATIONS ESCROW 1 LLC 144A 99.00 580,300.78$ 0.09% Cable/Media 5.13 12/15/2021 B (17992.50)156830AA9 CERRO DEL AGUILA SA 144A 93.00 187,695.83$ 0.03% Utility 4.13 8/16/2027 NR (13740.00)12527GAE3 CF INDUSTRIES INC 87.60 158,885.78$ 0.02% Chemicals 5.38 3/15/2044 BB+ (6568.90)14316RAA8 CGMS 17-5A D 144A 96.67 1,004,097.54$ 0.15% Finace 7.07 1/30/2030 BB- (33923.06)BNG3GXF42 CHARMING LIGHT INVESTMENTS LTD MTN RegS 93.63 380,786.63$ 0.06% Non_Corprate 4.38 12/21/2027 NA (14620.20)161175BK9 CHARTER COMM OPT LLC/CAP 94.63 4,738,619.40$ 0.73% Cable/Media 4.20 3/15/2028 BBB- (255424.20)161175AY0 CHARTER COMMUNICATIONS OPERATING L 101.65 2,986,200.57$ 0.46% Cable/Media 4.91 7/23/2025 BBB- 49417.70161175BM5 CHARTER COMMUNICATIONS OPERATING L 98.53 4,225,305.76$ 0.65% Cable/Media 5.38 4/1/2038 BBB- (13610.40)16412XAC9 CHENIERE CORPUS CHRISTI HOLDINGS L 103.10 530,524.38$ 0.08% Midstream 5.88 3/31/2025 BB- (19187.10)16411QAA9 CHENIERE ENERGY PARTNERS LP 144A 97.75 765,748.75$ 0.12% Midstream 5.25 10/1/2025 BB (33188.55)165167CG0 CHESAPEAKE ENERGY CORPORATION 100.75 224,457.29$ 0.03% Energy 6.13 2/15/2021 CCC+ 1394.75165167CT2 CHESAPEAKE ENERGY CORPORATION 144A 96.95 302,814.17$ 0.05% Energy 8.00 1/15/2025 CCC+ (9241.30)165167CV7 CHESAPEAKE ENERGY CORPORATION 144A 96.25 387,075.00$ 0.06% Energy 8.00 6/15/2027 CCC+ (4346.25)166764BN9 CHEVRON CORP 97.76 3,980,368.40$ 0.61% Energy 2.50 3/3/2022 AA- (90669.80)166754AS0 CHEVRON PHILLIPS CHEMICAL COMPANY 144A 99.20 1,281,536.21$ 0.20% Chemicals 3.70 6/1/2028 A- (5075.75)BNG323585 CHINA EVERGRANDE GROUP RegS 96.00 197,927.17$ 0.03% Home Construction 8.75 6/28/2025 B- (15503.39)BNG3Q6RH8 CHINA MINMETALS CORP RegS 98.96 209,020.56$ 0.03% Non_Corprate 4.45 5/13/2021 NR (2173.52)BNG3D42K7 CHINA MINMETALS CORP RegS 94.00 386,792.97$ 0.06% Non_Corprate 3.75 11/13/2022 NR (24234.95)BNG2WXU56 CHINALCO CAPITAL HOLDINGS LTD RegS 97.09 194,389.94$ 0.03% Non_Corprate 4.25 4/21/2022 NA (6322.56)12543DAQ3 CHS/COMMUNITY HEALTH SYSTEMS INC 79.50 69,341.41$ 0.01% Healthcare 7.13 7/15/2020 CCC- 2975.00
83
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L12543DAV2 CHS/COMMUNITY HEALTH SYSTEMS INC 54.75 84,674.48$ 0.01% Healthcare 6.88 2/1/2022 CCC- (27798.00)BNG1CYQB0 CIRSA FUNDING LUXEMBOURG SA RegS 103.02 293,766.37$ 0.05% Lodging/Leisure 5.88 5/15/2023 BB- (7348.09)125581GV4 CIT GROUP INC 100.11 191,309.81$ 0.03% Finace 4.13 3/9/2021 BB+ (913.00)125581GS1 CIT GROUP INC 100.35 298,287.00$ 0.05% Finace 3.88 2/19/2019 BB+ (304472.50)125581GQ5 CIT GROUP INC 102.25 335,697.92$ 0.05% Finace 5.00 8/15/2022 BB+ (2756.25)172967HZ7 CITIGROUP INC 103.13 3,173,500.00$ 0.49% Banking 5.80 11/15/2019 BB+ 120000.00172967JT9 CITIGROUP INC 99.93 5,361,621.36$ 0.82% Banking 4.40 6/10/2025 BBB (361820.50)BNG33QQA5 CNAC HK FINBRIDGE CO LTD RegS 96.42 194,798.29$ 0.03% Non_Corprate 3.50 7/19/2022 BBB (825.60)12592BAH7 CNH INDUSTRIAL AMERICA LLC 101.50 127,254.77$ 0.02% Manufacturing/Machinery 4.38 4/5/2022 BBB- (1021.25)12592BAB0 CNH INDUSTRIAL CAPITAL LLC 100.25 141,728.13$ 0.02% Manufacturing/Machinery 3.38 7/15/2019 BBB- (942.50)12592BAF1 CNH INDUSTRIAL CAPITAL LLC 103.32 295,569.82$ 0.05% Manufacturing/Machinery 4.88 4/1/2021 BBB- (7459.00)12594KAA0 CNH INDUSTRIAL NV 101.38 133,007.55$ 0.02% Manufacturing/Machinery 4.50 8/15/2023 BBB- (4637.85)BRSC4RGC7 CO-OPERATIVE GROUP 121.50 298,733.06$ 0.05% Retailers 7.50 7/8/2026 BB (5442.99)BNG2HZVT5 CODERE FINANCE 2 (LUXEMBOURG) SA RegS 104.67 290,863.28$ 0.04% Lodging/Leisure 6.75 11/1/2021 B (5372.60)BNG2WVWL3 COLFAX CORP RegS 100.92 433,059.41$ 0.07% Manufacturing/Machinery 3.25 5/15/2025 BB+ (11554.40)195325BM6 COLOMBIA (REPUBLIC OF) 113.00 114,735.42$ 0.02% Non_Corprate 6.13 1/18/2041 BBB- 21200.00195325CU7 COLOMBIA REPUBLIC OF GOVERNMENT 99.00 1,427,381.25$ 0.22% Non_Corprate 5.00 6/15/2045 BBB- 24687.50200447AF7 COMISION FEDERAL DE ELECTRICIDAD 144A 99.38 200,518.06$ 0.03% Non_Corprate 4.75 2/23/2027 BBB+ (1002.00)202795JM3 COMMONWEALTH EDISON COMPANY 99.36 1,867,588.21$ 0.29% Utility 4.00 3/1/2048 A- (11563.00)203372AM9 COMMSCOPE INC 144A 101.75 134,956.25$ 0.02% Technology 5.50 6/15/2024 BB- (975.00)203372AL1 COMMSCOPE INC 144A 100.75 318,137.50$ 0.05% Technology 5.00 6/15/2021 BB- (2631.25)20337YAA5 COMMSCOPE TECHNOLOGIES FINANCE LLC 144A 103.00 321,012.50$ 0.05% Technology 6.00 6/15/2025 BB- (9486.00)12543DAL4 COMMUNITY HEALTH SYSTEMS INC 91.00 52,066.67$ 0.01% Healthcare 8.00 11/15/2019 CCC- (2810.50)BNG3DAA81 CONSTELLIUM NV RegS 101.09 283,361.51$ 0.04% Metals and Mining 4.25 2/15/2026 B- (6425.98)212015AQ4 CONTINENTAL RESOURCES INC 97.50 104,504.46$ 0.02% Energy 4.90 6/1/2044 BBB- 6312.70212015AL5 CONTINENTAL RESOURCES INC 101.25 152,156.25$ 0.02% Energy 4.50 4/15/2023 BBB- 2455.65212015AN1 CONTINENTAL RESOURCES INC 97.50 331,893.81$ 0.05% Energy 3.80 6/1/2024 BBB- 6441.70BNG18EX88 COSTA RICA REPUBLIC OF (GOVERNMEN RegS 101.27 1,073,314.20$ 0.16% Non_Corprate 7.16 3/12/2045 BB- 24278.00BNG0N7XT2 COSTA RICA GOVERNMENT BOND RegS 99.75 200,511.11$ 0.03% Non_Corprate 7.00 4/4/2044 BB- (5000.00)BNG344D25 COUNTRY GARDEN HOLDINGS CO LTD RegS 98.76 270,025.97$ 0.04% Home Construction 4.75 7/25/2022 NR (4370.90)BNG1UUZC6 COWLITZ TRIBAL GAMING 1L TL-B 108.50 243,311.25$ 0.04% Lodging/Leisure 12.39 12/6/2021 B (3331.88)141312AG3 CRBN 17-1A C 144A 98.90 753,360.15$ 0.12% Finace 1/20/2031 NR (8226.45)141308AA4 CRBN 17-1A D 144A 99.81 769,375.26$ 0.12% Finace 7.57 1/20/2031 NR (1440.45)225401AF5 CREDIT SUISSE GROUP AG 144A 94.95 1,619,397.90$ 0.25% Banking 3.87 1/12/2029 BBB+ (85159.90)226373AP3 CRESTWOOD MIDSTREAM PARTNERS LP 99.00 134,275.31$ 0.02% Midstream 5.75 4/1/2025 BB- (5683.70)226373AL2 CRESTWOOD MIDSTREAM PARTNERS LP 101.88 163,805.56$ 0.03% Midstream 6.25 4/1/2023 BB- (4634.65)
84
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/LBMS037K67 CROATIA (REPUBLIC OF) RegS 106.05 755,782.38$ 0.12% Non_Corprate 5.50 4/4/2023 BB+ (22032.90)BNG0E9SD9 CROATIA (REPUBLIC OF) RegS 108.98 972,789.55$ 0.15% Non_Corprate 6.00 1/26/2024 BB+ 15477.88BRSBS3BR8 CROATIA REPUBLIC OF (GOVERNMENT) RegS 107.30 356,193.75$ 0.05% Non_Corprate 6.38 3/24/2021 BB+ (2145.00)228187AA8 CROWN AMERICAS LLC/CROWN AMERICAS 144A 96.50 239,463.68$ 0.04% Paper/Packaging 4.75 2/1/2026 B+ (8575.00)BNG1CY580 CROWN EUROPEAN HOLDINGS SA RegS 103.32 544,810.68$ 0.08% Paper/Packaging 3.38 5/15/2025 BB (13244.82)126304AK0 CSC HOLDINGS LLC 100.88 293,832.03$ 0.05% Cable/Media 7.63 7/15/2018 B- (11996.25)126307AQ0 CSC HOLDINGS LLC 144A 95.98 322,300.71$ 0.05% Cable/Media 5.50 4/15/2027 BB- (22923.25)BRSAAZBD9 CSN RESOURCES SA RegS 97.25 168,363.75$ 0.03% Metals and Mining 6.50 7/21/2020 CCC+ 425.00126650CX6 CVS HEALTH CORP 98.91 1,632,114.33$ 0.25% Healthcare 4.30 3/25/2028 BBB 5182.4023918KAR9 DAVITA HEALTHCARE PARTNERS INC 94.77 131,295.75$ 0.02% Healthcare 5.00 5/1/2025 B+ (6157.75)23918KAQ1 DAVITA HEALTHCARE PARTNERS INC 96.88 472,175.00$ 0.07% Healthcare 5.13 7/15/2024 B+ (18348.05)23918KAP3 DAVITA INC 102.44 476,725.22$ 0.07% Healthcare 5.75 8/15/2022 B+ (2853.95)26439XAC7 DCP MIDSTREAM LLC 120.00 176,421.70$ 0.03% Midstream 8.13 8/16/2030 BB 2959.6023311RAC0 DCP MIDSTREAM LLC 144A 105.27 271,546.31$ 0.04% Midstream 9.75 3/15/2019 BB (9296.50)23311RAH9 DCP MIDSTREAM LLC 144A 95.00 307,388.81$ 0.05% Midstream 5.85 5/21/2043 B+ 2138.2523311VAE7 DCP MIDSTREAM OPERATING LP 99.00 143,866.83$ 0.02% Midstream 2.70 4/1/2019 BB (242.30)23311VAF4 DCP MIDSTREAM OPERATING LP 98.00 221,515.00$ 0.03% Midstream 5.60 4/1/2044 BB 100.9025272KAU7 DIAMOND 1 FINANCE CORPORATION/DIAM 144A 102.87 478,078.17$ 0.07% Technology 5.88 6/15/2021 BB (7726.05)25272KAD5 DIAMOND 1 FINANCE CORPORATION/DIAM 144A 101.85 5,242,654.88$ 0.80% Technology 4.42 6/15/2021 BBB- 95171.3525272KAK9 DIAMOND 1 FINANCE CORPORATION/DIAM 144A 105.91 5,518,501.77$ 0.85% Technology 6.02 6/15/2026 BBB- (154171.42)25470XAY1 DISH DBS CORP 90.69 144,537.20$ 0.02% Cable/Media 7.75 7/1/2026 B (35702.40)25470XAW5 DISH DBS CORP 85.50 401,276.82$ 0.06% Cable/Media 5.88 11/15/2024 B (77873.00)256746AB4 DOLLAR TREE INC 104.32 321,050.20$ 0.05% Retailers 5.75 3/1/2023 BBB- (4809.75)BNG15JSY9 DOMINICAN REPUBLIC (GOVERNMENT) RegS 103.25 166,981.14$ 0.03% Non_Corprate 6.85 1/27/2045 BB- 12799.50BNG2XJM48 DRAX FINCO PLC RegS 100.99 298,207.72$ 0.05% Utility 4.25 5/1/2022 BB+ (3716.50)26243EAE1 DRSLF 17-53A E 144A 96.72 727,444.87$ 0.11% Finace 7.00 1/15/2031 NR (24598.13)26244RAE1 DRSLF 2017-54A E 144A 100.74 2,248,151.78$ 0.34% Finace 7.52 10/19/2029 NR 31971.4426243EAD3 DRYLTD_53 D 144A 100.21 376,468.36$ 0.06% Finace 4.75 1/15/2031 NR 775.99BNG3AS3K6 DUFRY ONE BV RegS 101.50 282,334.56$ 0.04% Retailers 2.50 10/15/2024 BB (5848.67)25211CAA3 DWOLF 2017-1A E 144A 100.72 1,010,569.20$ 0.16% Finace 8.55 10/15/2030 NR 21145.1027830KBA1 EATON 15-1A DR 144A 99.41 1,095,032.76$ 0.17% Finace 4.86 1/20/2030 NR (6451.83)27830LAC6 EATON 15-1A ER 144A 98.21 738,243.10$ 0.11% Finace 7.96 1/20/2030 NR (13414.95)BNG0T8RS3 ECUADOR (REPUBLIC OF) RegS 94.00 408,794.92$ 0.06% Non_Corprate 7.95 6/20/2024 B- 91785.00BNG3BNYQ9 ECUADOR REPUBLIC OF (GOVERNMENT) RegS 94.25 188,845.14$ 0.03% Non_Corprate 8.88 10/23/2027 B- (11500.00)BNG30GWZ8 ECUADOR REPUBLIC OF (GOVERNMENT) RegS 98.00 203,913.89$ 0.03% Non_Corprate 9.63 6/2/2027 B- (4000.00)29266RAC2 EDGEWELL PERSONAL CARE 97.46 184,068.83$ 0.03% Consumer Products 4.70 5/24/2022 BB (15567.75)
85
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/LBNG0ZYFF0 EI GROUP PLC RegS 108.52 435,030.56$ 0.07% Finace 6.00 10/6/2023 BB- (12221.63)BRSBFN0B5 EL SALVADOR (REPUBLIC OF) RegS 104.02 465,977.91$ 0.07% Non_Corprate 7.63 2/1/2041 CCC+ 34043.60BNG2T1Q71 EL SALVADOR REPUBLIC OF (GOVERNMEN RegS 114.25 25,461.79$ 0.00% Non_Corprate 8.63 2/28/2029 CCC+ 3135.00288547AD4 ELAT_07-2 A2C 144A 99.54 2,529,465.52$ 0.39% Home Equity 3.00 5/25/2037 CCC 204308.2028470RAC6 ELDORADO RESORTS INC 105.50 53,615.28$ 0.01% Lodging/Leisure 7.00 8/1/2023 B (500.00)BNG12Y3S9 ELEMENTIA SA RegS 98.75 200,708.33$ 0.03% Building Materials 5.50 1/15/2025 BB 1000.0029078EAA3 EMBARQ CORP 94.99 1,297,520.95$ 0.20% Telecom 8.00 6/1/2036 BB (76697.53)268648AP7 EMC CORPORATION 99.90 911,081.98$ 0.14% Technology 1.88 6/1/2018 BB- 3677.5529271LAE4 ENDO FINANCE LLC / ENDO FINCO INC 144A 72.38 192,251.04$ 0.03% Pharmaceuticals 5.38 1/15/2023 CCC+ (26096.90)29273EAA6 ENDO FINANCE LLC / ENDO FINCO INC 144A 70.25 233,133.33$ 0.04% Pharmaceuticals 6.00 2/1/2025 CCC+ (27265.50)29273EAC2 ENDO FINANCE LLC / ENDO FINCO INC 144A 72.75 495,425.00$ 0.08% Pharmaceuticals 6.00 7/15/2023 CCC+ (52208.00)29266RAB4 ENERGIZER HOLDINGS INC 99.01 116,278.74$ 0.02% Consumer Products 4.70 5/19/2021 BB (7447.25)29273VAD2 ENERGY TRANSFER EQUITY LP 102.13 228,444.79$ 0.04% Midstream 5.88 1/15/2024 BB- (13822.25)29273VAC4 ENERGY TRANSFER EQUITY LP 107.13 725,203.13$ 0.11% Midstream 7.50 10/15/2020 BB- (32646.50)29273RAS8 ENERGY TRANSFER PARTNERS LP 97.38 387,175.92$ 0.06% Midstream 3.60 2/1/2023 BBB- 24439.3129273RBD0 ENERGY TRANSFER PARTNERS LP 96.85 867,435.28$ 0.13% Midstream 4.05 3/15/2025 BBB- 60031.1229273RAX7 ENERGY TRANSFER PARTNERS LP 101.41 2,579,243.50$ 0.40% Midstream 4.15 10/1/2020 BBB- 15837.6929379VBN2 ENTERPRISE PRODUCTS OPERATING LLC 96.50 4,176,259.93$ 0.64% Midstream 5.25 8/16/2027 BBB- (149928.40)BNG2KR7F6 ENVISION HEALTHCARE 1L TL-B 100.33 114,427.32$ 0.02% Healthcare 4.90 12/1/2023 BB- (458.17)29414DAA8 ENVISION HEALTHCARE CORP 144A 98.75 130,577.33$ 0.02% Healthcare 5.13 7/1/2022 B (1987.50)03232PAD0 ENVISION HEALTHCARE CORP (DELAWARE 100.25 117,174.22$ 0.02% Healthcare 5.63 7/15/2022 B (1987.50)64189PAA1 ENVISION HEALTHCARE CORP (DELAWARE 144A 104.00 415,688.54$ 0.06% Healthcare 6.25 12/1/2024 B (4843.75)268787AH1 EP ENER/EVEREST ACQ FIN 144A 76.50 604,556.25$ 0.09% Energy 9.38 5/1/2024 CCC- (117732.63)268787AB4 EP ENERGY LLC 67.50 161,609.83$ 0.02% Energy 7.75 9/1/2022 CCC- (17165.40)268787AD0 EP ENERGY LLC 53.00 506,824.22$ 0.08% Energy 6.38 6/15/2023 CCC- (158185.15)26884UAE9 EPR PROPERTIES 97.32 4,836,719.20$ 0.74% REITs 4.95 4/15/2028 BBB- (77425.60)BNG3G0TK3 EQUINIX INC 96.42 430,047.92$ 0.07% Technology 2.88 2/1/2026 BB+ (12260.04)29444UAQ9 EQUINIX INC. 103.50 247,251.82$ 0.04% Technology 5.88 1/15/2026 BB+ (9412.25)26884TAT9 ERAC USA FINANCE LLC 144A 94.68 1,819,626.38$ 0.28% Transportation Services 2.70 11/1/2023 A- (97308.25)26907YAA2 ESH HOSPITALITY INC 144A 97.75 336,207.40$ 0.05% REITs 5.25 5/1/2025 BB- (17494.45)BRSBDSSU4 ESKOM HOLDINGS LTD RegS 99.71 506,076.94$ 0.08% Non_Corprate 5.75 1/26/2021 CCC+ 22570.00BNG16FJX8 ESKOM HOLDINGS SOC LTD RegS 102.17 300,827.27$ 0.05% Non_Corprate 7.13 2/11/2025 CCC+ (9294.50)EUR_CCASH EUR CASH(Alpha Committed) 100.00 366,531.51$ 0.06% Other 5/1/2018 NR 0.00UBM820182 EURO BUXL 30YR BOND JUN 18 163.54 -$ 0.00% Futures 6/7/2018 0.00OEM820183 EURO-BOBL JUN 18 131.00 -$ 0.00% Futures 6/7/2018 0.00RXM820188 EURO-BUND JUN 18 158.74 -$ 0.00% Futures 6/7/2018 0.00
86
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/LOATM82019 EURO-OAT JUN 18 153.81 -$ 0.00% Futures 6/7/2018 0.00BNG3BPGB7 EUROPCAR GROUP SA RegS 99.57 294,623.68$ 0.05% Transportation Services 4.13 11/15/2024 B- (8448.86)90015LAA5 EXPORT CREDIT BANK OF TURKEY 144A 100.21 202,870.61$ 0.03% Non_Corprate 5.38 2/8/2021 NR 1286.00BNG3166K1 FIRST DATA 1L TL (6/17) 100.35 630,101.00$ 0.10% Technology 4.15 7/10/2022 BB (2857.37)319963BP8 FIRST DATA CORPORATION 144A 104.64 381,750.04$ 0.06% Technology 7.00 12/1/2023 B (9351.08)32008DAA4 FIRST DATA CORPORATION 144A 100.75 495,710.42$ 0.08% Technology 5.00 1/15/2024 BB (10704.20)335934AH8 FIRST QUANTUM MINERALS LTD 144A 100.82 218,700.13$ 0.03% Metals and Mining 7.25 5/15/2022 B (7275.65)33883HAA3 FLAT 18-1A E 144A 95.87 1,937,862.79$ 0.30% Finace 4/17/2031 NR (82969.18)33882FAA8 FLAT 2017-1A E 144A 100.50 536,110.20$ 0.08% Other 7.84 5/15/2030 NR 15775.88341081FQ5 FLORIDA POWER & LIGHT CO 99.44 780,953.77$ 0.12% Utility 3.95 3/1/2048 A (140.40)30251GAW7 FMG RESOURCES (AUGUST 2006) PTY LT 144A 98.75 65,714.32$ 0.01% Metals and Mining 5.13 5/15/2024 BB+ (850.00)30251GAU1 FMG RESOURCES (AUGUST 2006) PTY LT 144A 99.15 222,919.58$ 0.03% Metals and Mining 4.75 5/15/2022 BB+ (5790.85)345397WY5 FORD MOTOR CREDIT COMPANY LLC 99.18 2,752,347.66$ 0.42% Automotive 2.60 11/4/2019 BBB 6082.8035671DAU9 FREEPORT-MCMORAN COPPER & GOLD INC 96.75 131,397.94$ 0.02% Metals and Mining 3.55 3/1/2022 BB- (3375.00)35671DBG9 FREEPORT-MCMORAN COPPER & GOLD INC 98.75 178,447.50$ 0.03% Metals and Mining 3.10 3/15/2020 BB- (381.25)35671DBC8 FREEPORT-MCMORAN COPPER & GOLD INC 91.00 357,556.88$ 0.05% Metals and Mining 5.45 3/15/2043 BB- 1308.0035671DAZ8 FREEPORT-MCMORAN COPPER & GOLD INC 95.88 448,071.09$ 0.07% Metals and Mining 3.88 3/15/2023 BB- (504.30)35671DBH7 FREEPORT-MCMORAN INC 99.50 283,764.44$ 0.04% Metals and Mining 4.00 11/14/2021 BB- (1724.65)35671DBJ3 FREEPORT-MCMORAN INC 92.25 573,177.00$ 0.09% Metals and Mining 5.40 11/14/2034 BB- (13334.50)35802XAF0 FRESENIUS MEDICAL CARE US FINANCE 144A 106.63 183,771.28$ 0.03% Healthcare 5.88 1/31/2022 BBB- (6080.90)35802XAA1 FRESENIUS MEDICAL CARE US FINANCE 144A 101.30 612,681.00$ 0.09% Healthcare 6.50 9/15/2018 BBB- (23096.05)35906AAB4 FRONTIER COMMUNICATIONS CORP 101.38 117,333.94$ 0.02% Telecom 8.13 10/1/2018 B- (4555.75)35906AAM0 FRONTIER COMMUNICATIONS CORP 71.50 128,761.72$ 0.02% Telecom 7.13 1/15/2023 B- (20492.20)35906AAN8 FRONTIER COMMUNICATIONS CORP 65.75 135,438.80$ 0.02% Telecom 7.63 4/15/2024 B- (34167.20)17453BAJ0 FRONTIER COMMUNICATIONS CORP 61.25 568,125.00$ 0.09% Telecom 9.00 8/15/2031 B- (132812.85)35906AAZ1 FRONTIER COMMUNICATIONS CORP 76.75 1,390,625.00$ 0.21% Telecom 11.00 9/15/2025 B- (271559.40)MARGNCAD0 FUTURES CAD MARGIN BALANCE 100.00 (169,657.89)$ -0.03% Other 1.64 5/1/2018 NR 0.00MARGNEUR3 FUTURES EUR MARGIN BALANCE 100.00 (715,186.45)$ -0.11% Other 5/1/2018 NR 0.00MARGNGBP3 FUTURES GBP MARGIN BALANCE 100.00 768,886.04$ 0.12% Other 0.51 5/1/2018 NR 0.00MARGNJPY3 FUTURES JPY MARGIN BALANCE 100.00 15,324.18$ 0.00% Other 5/1/2018 NR 0.00MARGNUSD1 FUTURES USD MARGIN BALANCE 100.00 100,634.14$ 0.02% Other 1.91 5/1/2018 NR 0.0036320VAA6 GALXY 18-27X E 144A 97.52 244,529.20$ 0.04% Finace 8.18 5/16/2031 NR (2459.05)GBP_CCASH GBP CASH(Alpha Committed) 100.00 311,712.33$ 0.05% Other 0.51 5/1/2018 NR 0.00369604BQ5 GENERAL ELECTRIC CO 99.00 8,318,152.50$ 1.28% Manufacturing/Machinery 5.00 1/21/2021 BBB+ (15453.72)37045VAL4 GENERAL MOTORS CO 113.68 1,838,937.98$ 0.28% Automotive 6.75 4/1/2046 BBB 221648.7037045XAY2 GENERAL MOTORS FINANCIAL CO INC 99.68 3,003,898.37$ 0.46% Automotive 3.20 7/13/2020 BBB 21820.35
87
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/LBNG1U0BB0 GHANA (REPUBLIC OF) RegS 129.27 813,518.57$ 0.12% Non_Corprate 10.75 10/14/2030 NR 131766.65375414AA7 GILBT 2017-1A E 144A 101.01 1,561,840.68$ 0.24% Finace 8.75 10/15/2030 NR 15559.25361841AF6 GLP CAPITAL LP 103.38 286,328.44$ 0.04% Lodging/Leisure 5.38 11/1/2023 BBB- (12699.65)361841AB5 GLP CAPITAL LP 100.00 418,918.92$ 0.06% Lodging/Leisure 4.38 11/1/2018 BBB- (3966.00)361841AD1 GLP CAPITAL LP 102.12 747,475.00$ 0.11% Lodging/Leisure 4.88 11/1/2020 BBB- (28025.25)361841AH2 GLP CAPITAL LP / GLP FINANCING II 100.75 75,730.47$ 0.01% Lodging/Leisure 5.38 4/15/2026 BBB- (5531.25)BNG3PETH0 GNC 1L TL-FILO (2/18) 103.10 134,718.82$ 0.02% Retailers 8.90 12/31/2022 B 7810.2438141GWL4 GOLDMAN SACHS GROUP INC/THE 95.20 2,392,969.91$ 0.37% Banking 3.69 6/5/2028 BBB+ (118824.75)38148LAF3 GOLDMAN SACHS GROUP INC/THE 104.13 2,734,255.84$ 0.42% Banking 5.15 5/22/2045 BBB- 128037.4038148BAA6 GOLDMAN SACHS GROUP INC/THE 102.25 3,053,802.50$ 0.47% Banking 5.70 5/10/2019 BB 37975.5038141GWV2 GOLDMAN SACHS GROUP INC/THE 95.59 3,864,626.44$ 0.59% Banking 3.81 4/23/2029 BBB+ (176480.00)382550BE0 GOODYEAR TIRE & RUBBER COMPANY (TH 99.50 132,403.65$ 0.02% Automotive 5.13 11/15/2023 BB (3300.00)389375AK2 GRAY TELEVISION GROUP INC 144A 95.38 129,044.53$ 0.02% Cable/Media 5.13 10/15/2024 B+ (6155.05)BNG2WW8S3 GRIFOLS SA RegS 100.75 284,391.62$ 0.04% Healthcare 3.20 5/1/2025 B+ (6790.17)BNG2WFGJ1 GRUPO ANTOLIN IRAUSA SA RegS 102.24 277,925.63$ 0.04% Automotive 3.25 4/30/2024 BB- (6742.49)BNG26PKY0 GTH FINANCE BV RegS 101.46 203,054.89$ 0.03% Telecom 6.25 4/26/2020 BB (5834.00)410345AL6 HANESBRANDS INC 144A 96.50 103,671.09$ 0.02% Retailers 4.88 5/15/2026 BB- (3515.25)BNG282Q80 HANESBRANDS INC RegS 104.99 282,561.61$ 0.04% Retailers 3.50 6/15/2024 BB (7508.62)BNG3DJQW2 HARLAND CLARKE 1L TL-B7 100.75 53,726.38$ 0.01% Industrial Other 7.05 10/31/2023 BB- 363.47412690AF6 HARLAND CLARKE HOLDINGS CORP 144A 102.25 452,377.34$ 0.07% Industrial Other 8.38 8/15/2022 BB- (11862.50)BNG2VZ907 HAZINE MUSTESARLIGI VARLIK SUKUK RegS 99.88 267,564.97$ 0.04% Non_Corprate 5.00 4/6/2023 NR (325.74)404121AC9 HCA INC 104.50 190,537.50$ 0.03% Healthcare 6.50 2/15/2020 BBB- (1237.50)404119BQ1 HCA INC 101.25 233,378.13$ 0.04% Healthcare 5.25 4/15/2025 BBB- (14321.25)197677AG2 HCA INC 111.60 366,348.00$ 0.06% Healthcare 7.69 6/15/2025 B+ (9484.00)404121AE5 HCA INC 105.38 355,466.41$ 0.05% Healthcare 5.88 3/15/2022 BBB- (10775.50)404119BN8 HCA INC 101.13 407,000.00$ 0.06% Healthcare 5.00 3/15/2024 BBB- (17245.20)404121AF2 HCA INC 100.74 536,134.59$ 0.08% Healthcare 4.75 5/1/2023 BBB- (18640.55)40415RAR6 HD SUPPLY INC 144A 105.00 278,884.90$ 0.04% Building Materials 5.75 4/15/2024 BB- (4487.30)22541SK23 HEMT_04-5 M2 99.79 477,526.30$ 0.07% Home Equity 3.50 2/25/2035 CC (480793.70)428040CP2 HERTZ CORP 98.75 222,738.28$ 0.03% Transportation Services 5.88 10/15/2020 B- (2708.70)428040CT4 HERTZ CORPORATION (THE) 144A 101.75 162,604.15$ 0.02% Transportation Services 7.63 6/1/2022 BB- (4077.50)428040CS6 HERTZ CORPORATION (THE) 144A 83.75 822,995.83$ 0.13% Transportation Services 5.50 10/15/2024 B- (27471.65)BNG2EH4E1 HERTZ HOLDINGS NETHERLANDS BV RegS 101.45 276,264.86$ 0.04% Transportation Services 4.13 10/15/2021 BB- (2243.88)42809HAG2 HESS CORPORATION 96.97 5,113,713.49$ 0.78% Energy 4.30 4/1/2027 BBB- (89142.95)42824CAW9 HEWLETT PACKARD ENTERPRISE CO 102.79 2,997,159.35$ 0.46% Technology 4.90 10/15/2025 BBB 89220.60432833AC5 HILTON DOMESTIC OPERATIN 144A 100.00 185,447.73$ 0.03% Lodging/Leisure 5.13 5/1/2026 BB+ 0.00
88
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L432891AH2 HILTON WORLDWIDE FINANCE LLC 96.98 326,131.11$ 0.05% Lodging/Leisure 4.63 4/1/2025 BB+ (21775.00)44330FAA3 HLM 13-21 DR 144A 100.95 758,989.89$ 0.12% Finace 8.96 10/20/2029 BB- 7123.50436440AM3 HOLOGIC INC 144A 95.50 48,398.78$ 0.01% Healthcare 4.63 2/1/2028 BB- (2250.00)436440AK7 HOLOGIC INC 144A 96.25 294,118.49$ 0.05% Healthcare 4.38 10/15/2025 BB- (14429.75)BNG1MQB22 HORIZON HOLDINGS I SASU RegS 104.59 295,625.58$ 0.05% Paper/Packaging 7.25 8/1/2023 CCC+ (7619.88)404280BJ7 HSBC HOLDINGS PLC 98.45 3,900,771.51$ 0.60% Banking 3.26 3/13/2023 A (61029.15)404280BL2 HSBC HOLDINGS PLC 98.70 7,068,279.00$ 1.08% Banking 6.00 5/22/2027 NR (90396.00)40431RAE5 HSIASC_07-WF1 2A4 96.28 4,591,740.31$ 0.70% Home Equity 2.15 5/25/2037 A 543956.46BNG3D2TW6 HUARONG FINANCE 2017 CO LTD RegS 95.10 388,092.96$ 0.06% Non_Corprate 4.00 11/7/2022 NA (19895.92)BNG2QC7F3 HUARONG FINANCE CO LTD RegS 97.56 266,644.96$ 0.04% Non_Corprate 4.50 1/24/2022 NR (7324.04)443628AG7 HUDBAY MINERALS INC 144A 105.91 281,137.89$ 0.04% Metals and Mining 7.63 1/15/2025 B+ (8879.35)444454AB8 HUGHES SATELLITE SYSTEMS CORP 103.00 173,971.88$ 0.03% Cable/Media 6.50 6/15/2019 BBB- (6012.50)445545AH9 HUNGARY REPUBLIC OF (GOVERNMENT) 107.05 1,134,842.19$ 0.17% Non_Corprate 5.38 2/21/2023 BBB- (19162.50)44962LAA5 IHS MARKIT LTD 144A 103.50 657,113.89$ 0.10% Consumer Cyclical Services 5.00 11/1/2022 BBB- (20649.60)449934AD0 IMS HEALTH INCORPORATED 144A 98.63 197,666.67$ 0.03% Healthcare 5.00 10/15/2026 BB+ (15810.00)45569FAA2 INDIKA ENERGY TBK PT 144A 94.07 200,491.14$ 0.03% Metals and Mining 5.88 11/9/2024 B- (9375.03)BMS039EA1 INDO ENERGY FINANCE II BV RegS 98.33 200,061.77$ 0.03% Metals and Mining 6.38 1/24/2023 NR 8701.77BRSDR8CQ5 INDONESIA (REPUBLIC OF) RegS 103.26 869,553.51$ 0.13% Non_Corprate 5.25 1/17/2042 BBB- (50380.03)BNG33MRJ4 INDONESIA (REPUBLIC OF) MTN RegS 96.83 196,349.07$ 0.03% Non_Corprate 4.75 7/18/2047 NA (4760.60)BNG14YKA7 INDONESIA (REPUBLIC OF) MTN RegS 99.78 272,664.43$ 0.04% Non_Corprate 4.13 1/15/2025 BBB- (3284.01)455780CE4 INDONESIA GOVERNMENT 92.97 223,368.30$ 0.03% Non_Corprate 4.35 1/11/2048 BBB- (14627.28)BNG3CJMY3 INEOS FINANCE PLC RegS 96.40 435,606.88$ 0.07% Chemicals 2.13 11/15/2025 BB+ (12869.52)45672WAA9 INFOR SOFTWARE PARENT LLC 144A 100.75 380,668.39$ 0.06% Technology 7.13 5/1/2021 CCC (6494.50)45824TAP0 INTELSAT JACKSON HOLDINGS SA 83.88 328,153.68$ 0.05% Cable/Media 5.50 8/1/2023 CCC+ (6108.25)458204AQ7 INTELSAT LUXEMBOURG SA 62.50 140,287.86$ 0.02% Cable/Media 8.13 6/1/2023 CCC- 3054.79460599AB9 INTERNATIONAL GAME TECH 144A 104.94 308,096.24$ 0.05% Lodging/Leisure 6.25 2/15/2022 BB+ (15491.80)460599AA1 INTERNATIONAL GAME TECHNOLOGY PLC 144A 102.38 403,832.81$ 0.06% Lodging/Leisure 5.63 2/15/2020 BB+ (9512.50)BNG3D2S07 IRON MOUNTAIN (UK) PLC MTN RegS 95.12 293,679.74$ 0.05% Technology 3.88 11/15/2025 BB- (5402.77)46284PAQ7 IRON MOUNTAIN INC 103.00 526,462.50$ 0.08% Technology 6.00 8/15/2023 BB- (14641.60)46284PAP9 IRON MOUNTAIN INC 98.75 589,692.71$ 0.09% Technology 5.75 8/15/2024 B (24033.10)46284VAE1 IRON MOUNTAIN INC 144A 94.13 175,345.31$ 0.03% Technology 5.25 3/15/2028 BB- (10868.75)46289RAA3 IRON MOUNTAIN US HOLDINGS INC 144A 96.50 108,597.12$ 0.02% Technology 5.38 6/1/2026 BB- (9500.75)BNG3MVPV8 ISRAEL ELECTRIC CORPORATON LTD REG 95.50 195,728.20$ 0.03% Non_Corprate 4.25 8/14/2028 BBB (7291.76)BRS9UL5T3 IVORY COAST RegS 95.66 1,964,071.94$ 0.30% Non_Corprate 5.75 12/31/2032 NR 59954.31466253AA9 J2 CLOUD SERVICES LLC 144A 103.13 429,987.50$ 0.07% Technology 6.00 7/15/2025 BB (3103.25)47010BAF1 JAGUAR LAND ROVER AUTOMOTIVE PLC 144A 90.56 2,618,481.60$ 0.40% Automotive 4.50 10/1/2027 BB+ (271958.40)
89
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L470160AV4 JAMAICA (GOVERNMENT OF) 118.50 239,000.00$ 0.04% Non_Corprate 8.00 3/15/2039 B 1402.60470160CA8 JAMAICA (GOVERNMENT) 110.35 220,775.00$ 0.03% Non_Corprate 6.75 4/28/2028 B (5876.00)BNG0N62M3 JBS INVESTMENTS GMBH RegS 98.60 198,277.50$ 0.03% Food and Beverage 7.25 4/3/2024 B (4310.00)BNG0CF7U2 JBS INVESTMENTS GMBH RegS 101.63 203,338.11$ 0.03% Food and Beverage 7.75 10/28/2020 B (1108.00)475795AD2 JELD-WEN INC 144A 94.25 57,655.00$ 0.01% Building Materials 4.88 12/15/2027 BB- (3450.00)BNG3A6KL3 JORDAN (HASHEMITE KINGDOM OF) RegS 97.38 195,583.44$ 0.03% Non_Corprate 7.38 10/10/2047 B+ (2268.00)466278AE8 JPALT_07-A2 12A3 100.19 839,114.01$ 0.13% CMO 2.09 6/25/2037 CCC (897349.88)46629TAG5 JPMAC_06-CH1 M2 97.57 4,821,269.89$ 0.74% Home Equity 2.19 7/25/2036 BB+ 941869.2946647PAK2 JPMORGAN CHASE & CO 93.28 1,127,520.74$ 0.17% Banking 4.03 7/24/2048 A- (80327.90)48127FAA1 JPMORGAN CHASE & CO 101.15 3,083,933.33$ 0.47% Banking 5.00 7/1/2019 BBB- 103350.00JPY_CCASH JPY CASH(Alpha Committed) 100.00 -$ 0.00% Other 5/1/2018 NR 0.00BRS9W3231 KAZMUNAIGAZ NATIONAL CO RegS 106.71 801,635.58$ 0.12% Non_Corprate 7.00 5/5/2020 BB- 9733.36BRS72T298 KAZMUNAIGAZ NATIONAL CO MTN RegS 100.89 706,383.81$ 0.11% Non_Corprate 9.13 7/2/2018 BB- (71814.80)BNG3P5Z58 KENYA GOVERNMENT BOND RegS 103.10 422,243.97$ 0.06% Non_Corprate 8.25 2/28/2048 B+ (4436.20)49456BAG6 KINDER MORGAN INC 101.81 296,396.04$ 0.05% Midstream 5.30 12/1/2034 BBB- 33908.2749456BAH4 KINDER MORGAN INC 102.44 3,749,587.58$ 0.58% Midstream 5.55 6/1/2045 BBB- 544836.93BNG1W0AR4 KINGDOM OF JORDAN RegS 97.89 233,689.32$ 0.04% Non_Corprate 6.13 1/29/2026 B+ (8908.85)48251HAA5 KKR 18 E 144A 100.84 1,264,212.16$ 0.19% Finace 8.81 7/18/2030 NR 35737.13BRSHM3MS7 KONINKLIJKE KPN NV MTN RegS 108.00 359,935.52$ 0.06% Telecom 6.88 3/14/2020 BB (6142.73)50106GAA0 KRONOS ACQUISITION HOLDINGS INC 144A 95.50 63,293.75$ 0.01% Consumer Products 9.00 8/15/2023 CCC 493.75BNG2XWRJ1 LA FINANCIERE ATALIAN SAS RegS 97.13 137,495.68$ 0.02% Consumer Cyclical Services 4.00 5/15/2024 B+ (11959.60)513075BE0 LAMAR MEDIA CORP 101.07 129,445.14$ 0.02% Cable/Media 5.00 5/1/2023 BB- (3225.00)513075BL4 LAMAR MEDIA CORP. 103.06 135,828.59$ 0.02% Cable/Media 5.75 2/1/2026 BB (6840.65)BNG17M293 LEBANESE REPUBLIC MTN RegS 86.94 249,385.89$ 0.04% Non_Corprate 6.65 2/26/2030 B- (8036.05)BNG2V3JR8 LEBANON (REPUBLIC OF) RegS 90.94 79,728.56$ 0.01% Non_Corprate 6.85 3/23/2027 B- (2011.44)526057BN3 LENNAR CORP 100.11 373,336.90$ 0.06% Home Construction 4.75 11/15/2022 BB+ (17765.70)526057BD5 LENNAR CORPORATION 100.25 51,563.26$ 0.01% Home Construction 6.95 6/1/2018 BB+ (856.25)526057BW3 LENNAR CORPORATION 100.25 336,857.81$ 0.05% Home Construction 4.88 12/15/2023 BB+ (17868.00)526057CJ1 LENNAR CORPORATION 144A 110.75 96,213.80$ 0.01% Home Construction 8.38 1/15/2021 BB+ (5311.91)526057CE2 LENNAR CORPORATION 144A 100.00 103,838.54$ 0.02% Home Construction 8.38 5/15/2018 BB+ (2224.19)526057CS1 LENNAR CORPORATION 144A 98.26 200,865.83$ 0.03% Home Construction 5.25 6/1/2026 BB+ (7730.94)526057CN2 LENNAR CORPORATION 144A 103.50 280,619.06$ 0.04% Home Construction 5.38 10/1/2022 BB+ (11574.41)527298BD4 LEVEL 3 FINANCING INC 100.50 97,815.36$ 0.02% Telecom 5.38 8/15/2022 BB (2621.25)527298BK8 LEVEL 3 FINANCING INC 99.00 236,334.11$ 0.04% Telecom 5.38 1/15/2024 BB (10418.60)527298BF9 LEVEL 3 FINANCING INC 99.00 369,407.74$ 0.06% Telecom 5.13 5/1/2023 BB (11616.35)BNG31G3U0 LEVI STRAUSS & CO 102.38 285,658.12$ 0.04% Retailers 3.38 3/15/2027 BB+ (9131.84)
90
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L530715AD3 LIBERTY MEDIA LLC 107.75 259,038.54$ 0.04% Cable/Media 8.50 7/15/2029 BB- (10458.30)53219LAN9 LIFEPOINT HEALTH INC 98.75 202,363.19$ 0.03% Healthcare 5.88 12/1/2023 BB- (10848.95)536333AA5 LIQUID TELECOMMUNICATIONS FINANCIN 144A 105.24 431,081.56$ 0.07% Telecom 8.50 7/13/2022 NA 10976.00BNG25ZUT9 LKQ ITALIA BONDCO SPA RegS 105.50 281,252.93$ 0.04% Automotive 3.88 4/1/2024 BB (10538.22)BRS7QD7Q4 LLOYDS TSB BANK PLC MTN 181.55 280,450.19$ 0.04% Banking 13.00 1/21/2029 BB+ (8283.14)GM8201886 LONG GILT JUN 18 122.26 -$ 0.00% Futures 6/27/2018 0.00BNG2VSPC9 LOXAM SAS RegS 108.25 367,051.16$ 0.06% Manufacturing/Machinery 6.00 4/15/2025 B (6178.90)50212YAB0 LPL HOLDINGS INC 144A 97.00 439,734.38$ 0.07% Finace 5.75 9/15/2025 B+ (29459.00)55955AAG1 MAGNE 18-20A D 144A 100.00 250,000.00$ 0.04% Finace 4/20/2031 NR 0.0055955BAA2 MAGNE 18-20A E 144A 100.00 250,000.00$ 0.04% Finace 4/20/2031 NR 0.0055954JAA6 MAGNE 2017-19A E 144A 100.99 1,517,710.38$ 0.23% Finace 8.60 7/17/2030 NR 14834.05561233AC1 MALLINCKRODT INTERNATIONAL FINANCE 144A 75.19 124,438.33$ 0.02% Pharmaceuticals 5.50 4/15/2025 BB- (25773.45)563568AB0 MANITOWOC FOODSERVICE INC 111.00 124,277.08$ 0.02% Manufacturing/Machinery 9.50 2/15/2024 B+ (4227.00)BNG28HLR0 MARFRIG HOLDING EUROPE B RegS 101.13 302,413.61$ 0.05% Food and Beverage 8.00 6/8/2023 B+ (3987.50)BNG1BTZ14 MATTERHORN TELECOM HOLDING SA RegS 101.75 289,484.85$ 0.04% Telecom 4.88 5/1/2023 B- (4436.35)552697AQ7 MDC PARTNERS INC 144A 98.38 609,641.67$ 0.09% Cable/Media 6.50 5/1/2024 B (7576.35)BNG2UNKD4 MEDICAL PROPERTIES TRUST INC RegS 102.29 421,588.42$ 0.06% REITs 3.33 3/24/2025 BBB- (12603.92)59001AAY8 MERITAGE HOMES CORP 103.13 147,851.67$ 0.02% Home Construction 6.00 6/1/2025 BB (5225.00)59156RBP2 METLIFE INC 102.20 1,973,997.81$ 0.30% Insurance 5.25 6/15/2020 BBB- 51354.5091086QAZ1 MEXICO (UNITED MEXICAN STATES) 98.50 954,287.25$ 0.15% Non_Corprate 5.75 10/12/2110 BBB+ (5159.00)59284MAD6 MEXICO CITY AIRPORT TRUST 144A 88.88 369,122.50$ 0.06% Non_Corprate 5.50 7/31/2047 BBB+ (45993.07)552953CA7 MGM RESORTS INTERNATIONAL 107.00 169,700.78$ 0.03% Lodging/Leisure 6.63 12/15/2021 BB- (7445.75)552953CB5 MGM RESORTS INTERNATIONAL 102.25 236,181.25$ 0.04% Lodging/Leisure 5.25 3/31/2020 BB- (3450.00)552953BW0 MGM RESORTS INTERNATIONAL 103.60 671,381.00$ 0.10% Lodging/Leisure 8.63 2/1/2019 BB- (27753.80)595112BC6 MICRON TECHNOLOGY INC 104.00 173,843.54$ 0.03% Technology 5.50 2/1/2025 BB+ (2692.50)595112BG7 MICRON TECHNOLOGY INC 144A 107.47 147,299.34$ 0.02% Technology 5.63 1/15/2026 BB+ 1741.50594918CB8 MICROSOFT CORPORATION 107.47 678,243.75$ 0.10% Technology 4.50 2/6/2057 AAA 48525.00BNG39CCW7 MILLER HOMES GROUP HOLDINGS PLC RegS 100.00 289,915.81$ 0.04% Home Construction 5.50 10/15/2024 BB- (8599.31)60162PAD4 MILOS 2017-1A D 144A 100.24 501,975.01$ 0.08% Finace 5.76 10/20/2030 NR 1175.2060162QAA8 MILOS 2017-1A E 144A 100.52 1,007,601.28$ 0.15% Finace 8.66 10/20/2030 NR 32456.10603374AD1 MINERVA LUXEMBOURG SA 144A 94.50 251,386.67$ 0.04% Food and Beverage 6.50 9/20/2026 BB- (9995.04)BNG2TW2E4 MONGOLIA (GOVERNMENT OF) RegS 110.75 469,233.09$ 0.07% Non_Corprate 8.75 3/9/2024 B- 4526.7360937FAD0 MONGOLIA (GOVERNMENT OF) MTN 144A 114.29 258,792.75$ 0.04% Non_Corprate 10.88 4/6/2021 B- 32161.5061744YAP3 MORGAN STANLEY 96.15 3,114,277.49$ 0.48% Banking 3.77 1/24/2029 BBB+ (123296.35)617474AA9 MORGAN STANLEY 102.50 4,013,777.81$ 0.62% Banking 5.55 7/15/2020 BB+ 116421.0061761JZN2 MORGAN STANLEY MTN 96.07 5,639,010.15$ 0.87% Banking 3.95 4/23/2027 BBB 1173.00
91
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/LBRSGFE792 MOROCCO (KINGDOM OF) RegS 100.50 449,392.31$ 0.07% Non_Corprate 4.25 12/11/2022 BBB- (1650.00)566062AA3 MP10 2017-1A E 144A 100.36 503,516.29$ 0.08% Finace 8.12 10/15/2030 NR 17215.3556607FAD7 MP11 17-1A D 144A 100.17 551,852.98$ 0.08% Finace 5.16 12/18/2030 NR 907.89553283AB8 MPH ACQUISITION HOLDINGS LLC 144A 101.79 240,901.90$ 0.04% Healthcare 7.13 6/1/2024 B- (13812.45)55342UAF1 MPT OPERATING PARTNERSHIP LP 105.00 487,806.04$ 0.07% REITs 6.38 3/1/2024 BBB- (14575.60)55342UAG9 MPT OPERATING PARTNERSHIP LP / MPT 97.25 527,231.35$ 0.08% REITs 5.25 8/1/2026 BBB- (33787.85)55342UAE4 MPT OPERATING PARTNERSHIP LP / MPT 101.25 587,513.68$ 0.09% REITs 5.50 5/1/2024 BBB- (19996.00)55342UAH7 MPT OPERATING PARTNERSHIP LP / MPT 94.75 602,985.42$ 0.09% REITs 5.00 10/15/2027 BBB- (40603.50)61744CPK6 MSABS_05-NC2 M4 99.84 1,807,876.46$ 0.28% Home Equity 2.81 3/25/2035 BBB- 257357.0261744CSJ6 MSAC_05-HE3 M4 100.84 981,893.23$ 0.15% Home Equity 2.87 7/25/2035 CCC 110395.2055354GAB6 MSCI INC 144A 104.28 406,089.98$ 0.06% Technology 5.75 8/15/2025 BB+ (14765.90)55354GAA8 MSCI INC 144A 102.00 495,929.69$ 0.08% Technology 5.25 11/15/2024 BB+ (19320.50)76706AAA2 MSU SA ARGENTINA/RIO 144A 97.50 149,791.48$ 0.02% Utility 6.88 2/1/2025 NR (2743.67)63938CAD0 NAVIENT CORP 103.88 147,846.81$ 0.02% Finace 6.63 7/26/2021 B+ (4401.40)63938CAH1 NAVIENT CORP 101.00 149,848.44$ 0.02% Finace 6.75 6/25/2025 B+ (4175.00)63938CAC2 NAVIENT CORP 102.38 288,249.31$ 0.04% Finace 5.88 3/25/2021 B+ (7678.10)63938CAB4 NAVIENT CORP 98.00 465,887.59$ 0.07% Finace 5.88 10/25/2024 B+ (16464.20)78442FER5 NAVIENT CORP MTN 101.40 185,407.50$ 0.03% Finace 5.50 1/15/2019 B+ (3881.80)78442FES3 NAVIENT CORP MTN 100.88 1,037,028.02$ 0.16% Finace 4.88 6/17/2019 B+ (19608.70)78442FEJ3 NAVIENT LLC MTN 106.50 423,747.22$ 0.07% Finace 8.00 3/25/2020 B+ (10088.50)78442FET1 NAVIENT LLC MTN 100.13 488,494.36$ 0.07% Finace 6.13 3/25/2024 B+ (13400.25)BNG122N81 NBG BANK LOAN ACCRUAL USD Prvt 100.00 5,253.97$ 0.00% Other 1.91 5/1/2018 NR 0.0064352VLL3 NCHE_05-3 M3 100.05 2,227,777.93$ 0.34% Home Equity 2.66 7/25/2035 BBB 226513.6164352VMV0 NCHE_05-4 M2 99.45 3,308,099.48$ 0.51% Home Equity 2.66 9/25/2035 BBB+ 318526.3662886HAN1 NCL CORPORATION LTD 144A 101.50 458,568.75$ 0.07% Lodging/Leisure 4.75 12/15/2021 BB (8479.85)64072TAA3 NEPTUNE FINCO CORP 144A 117.25 857,403.75$ 0.13% Cable/Media 10.88 10/15/2025 B- (31102.44)64110LAE6 NETFLIX INC 102.88 52,101.91$ 0.01% Cable/Media 5.38 2/1/2021 B+ (750.00)64110LAN6 NETFLIX INC 93.75 157,996.09$ 0.02% Cable/Media 4.38 11/15/2026 B+ (9098.55)64110LAJ5 NETFLIX INC 103.75 405,518.75$ 0.06% Cable/Media 5.50 2/15/2022 B+ (14273.00)64110LAP1 NETFLIX INC 144A 94.50 99,438.28$ 0.02% Cable/Media 4.88 4/15/2028 B+ (5100.00)64110LAQ9 NETFLIX INC 144A 99.75 179,667.50$ 0.03% Cable/Media 5.88 11/15/2028 B+ (450.00)BNG2XWKM1 NETFLIX INC RegS 99.37 146,477.71$ 0.02% Cable/Media 3.63 5/15/2027 B+ (4325.54)68245XAB5 NEW RED FINANCE INC 144A 100.25 152,398.44$ 0.02% Lodging/Leisure 4.63 1/15/2022 B+ (2518.75)651290AR9 NEWFIELD EXPLORATION COMPANY 103.40 110,435.57$ 0.02% Energy 5.38 1/1/2026 BB+ (2429.35)91832CAA4 NEXA RESOURCES SA 144A 100.25 637,842.22$ 0.10% Metals and Mining 5.38 5/4/2027 BB+ 7452.40BNG39GZK9 NIDDA HEALTHCARE HOLDING AG RegS 98.52 286,507.72$ 0.04% Pharmaceuticals 3.50 9/30/2024 B+ (11126.82)
92
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L65410CAA8 NIELSEN CO (LUXEMBOURG) SARL 144A 101.50 203,886.11$ 0.03% Cable/Media 5.50 10/1/2021 BB+ (2400.00)65409QBA9 NIELSEN FINANCE LLC/NIELSEN FINANC 99.88 215,510.63$ 0.03% Cable/Media 4.50 10/1/2020 BB+ (3881.25)65409QBB7 NIELSEN FINANCE LLC/NIELSEN FINANC 144A 100.76 959,199.17$ 0.15% Cable/Media 5.00 4/15/2022 BB+ (19191.00)65412AEK4 NIGERIA (FEDERAL REPUBLIC OF) 101.75 435,421.88$ 0.07% Non_Corprate 5.63 6/27/2022 B 4725.00BNG3EVC74 NIGERIA (FEDERAL REPUBLIC OF) MTN RegS 100.67 206,821.69$ 0.03% Non_Corprate 6.50 11/28/2027 B 1332.80BNG2S0254 NIGERIA (FEDERAL REPUBLIC OF) MTN RegS 107.73 772,002.18$ 0.12% Non_Corprate 7.88 2/16/2032 B 22303.8048667QAR6 NK KAZMUNAYGAZ AO 144A 99.69 199,538.33$ 0.03% Non_Corprate 4.75 4/24/2025 NR (620.00)48667QAQ8 NK KAZMUNAYGAZ AO 144A 99.97 299,178.15$ 0.05% Non_Corprate 5.38 4/24/2030 NR (89.70)48667QAP0 NK KAZMUNAYGAZ AO MTN 144A 95.61 191,571.39$ 0.03% Non_Corprate 5.75 4/19/2047 BB- (5274.00)BNG2WTJA7 NK KAZMUNAYGAZ AO MTN RegS 95.61 814,178.40$ 0.12% Non_Corprate 5.75 4/19/2047 BB- (48095.00)655044AG0 NOBLE ENERGY INC 105.39 2,101,987.88$ 0.32% Energy 5.25 11/15/2043 BBB 1444.60BNG2XJK65 NOMAD FOODS BONDCO PLC RegS 100.98 148,580.91$ 0.02% Food and Beverage 3.25 5/15/2024 BB- (4758.24)66977WAR0 NOVA CHEMICALS CORP 144A 96.25 270,663.02$ 0.04% Non_Corprate 5.25 6/1/2027 BB+ (13305.60)66977WAQ2 NOVA CHEMICALS CORP 144A 97.00 306,954.90$ 0.05% Non_Corprate 4.88 6/1/2024 BB+ (11637.50)66977WAN9 NOVA CHEMICALS CORP 144A 100.00 314,023.54$ 0.05% Non_Corprate 5.25 8/1/2023 BB+ (10441.25)66977WAP4 NOVA CHEMICALS CORP 144A 96.25 577,606.25$ 0.09% Non_Corprate 5.00 5/1/2025 BB+ (34129.15)670001AA4 NOVELIS CORP 144A 101.88 134,130.21$ 0.02% Metals and Mining 6.25 8/15/2024 B (275.00)670001AC0 NOVELIS CORP 144A 99.25 387,382.29$ 0.06% Metals and Mining 5.88 9/30/2026 B (11367.80)629377BW1 NRG ENERGY INC 102.75 282,346.88$ 0.04% Utility 6.25 7/15/2022 BB- (3032.50)629377CA8 NRG ENERGY INC 106.75 886,086.98$ 0.14% Utility 7.25 5/15/2026 BB- 5135.75629377CC4 NRG ENERGY INC 103.00 907,664.32$ 0.14% Utility 6.63 1/15/2027 BB- 4528.6067020YAP5 NUANCE COMMUNICATIONS INC 102.25 667,093.33$ 0.10% Technology 6.00 7/1/2024 BB- (26607.75)67020YAD2 NUANCE COMMUNICATIONS INC (NEW) 144A 100.50 213,401.56$ 0.03% Technology 5.38 8/15/2020 BB- (1787.50)67054LAC1 NUMERICABLE GROUP SA 144A 95.25 255,863.02$ 0.04% Telecom 6.25 5/15/2024 B (14250.00)67054LAB3 NUMERICABLE GROUP SA 144A 98.87 650,780.00$ 0.10% Telecom 6.00 5/15/2022 B (30017.80)67054KAA7 NUMERICABLE SFR SA 144A 97.00 813,038.54$ 0.12% Telecom 7.38 5/1/2026 B (64946.65)67059TAC9 NUSTAR LOGISTICS LP 97.25 103,345.52$ 0.02% Midstream 4.75 2/1/2022 BB (5219.95)67059TAD7 NUSTAR LOGISTICS LP 103.75 126,502.50$ 0.02% Midstream 6.75 2/1/2021 BB (6483.50)67059TAB1 NUSTAR LOGISTICS LP 99.75 170,912.33$ 0.03% Midstream 4.80 9/1/2020 BB (6837.50)BNG020RM2 NWEN FINANCE PLC RegS 109.00 283,106.90$ 0.04% Utility 5.88 6/21/2021 BB+ (5280.32)62947QAU2 NXP BV/NXP FUNDING LLC 144A 100.25 259,991.09$ 0.04% Technology 4.13 6/1/2021 BBB- (12243.00)NZD_CCASH NZD CASH(Alpha Committed) 100.00 131.64$ 0.00% Other 1.88 5/1/2018 NR 0.0067707BAD2 OAKC 17-15A D 144A 97.80 992,821.68$ 0.15% Other 1/20/2030 BBB- (21955.10)674215AG3 OASIS PETROLEUM INC 103.00 140,210.16$ 0.02% Energy 6.88 3/15/2022 BB- 69.40674215AD0 OASIS PETROLEUM INC 102.50 301,336.04$ 0.05% Energy 6.50 11/1/2021 BB- 2046.75674215AK4 OASIS PETROLEUM INC 144A 100.00 145,000.00$ 0.02% Energy 6.25 5/1/2026 BB- 0.00
93
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L67092DAQ2 OCP 15-10A CR 144A 99.21 3,014,605.15$ 0.46% Finace 4.96 10/26/2027 BBB (24069.14)67092EAG2 OCP 15-10A DR 144A 100.14 1,480,374.68$ 0.23% Finace 7.86 10/26/2027 BB 2084.4967091RAT6 OCP 15-8A CR 144A 99.50 3,072,286.88$ 0.47% Finace 5.15 4/17/2027 BBB (15447.91)67097QAJ4 OCP 17-14A C 144A 100.08 3,921,046.44$ 0.60% Finace 4.32 11/20/2030 BBB- 2900.0867097TAA7 OCP 17-14A D 144A 99.70 1,679,580.73$ 0.26% Finace 7.22 11/20/2030 BB- (4873.44)67110DAW7 OCP 2016-11A CR 144A 100.61 3,663,118.00$ 0.56% Finace 6.01 10/26/2030 BBB 22136.5867092HAG5 OCP 2016-11A DR 144A 100.82 807,311.62$ 0.12% Finace 8.86 10/26/2030 BB- 38523.9267097NAA0 OCP 2017-13A D 144A 100.96 1,734,687.49$ 0.27% Finace 8.98 7/15/2030 BB- 71077.33BNG2HJ7Z4 OI EUROPEAN GROUP BV RegS 102.28 281,947.01$ 0.04% Paper/Packaging 3.13 11/15/2024 BB (3692.88)68163PAA2 OLYMPUS MERGER SUB INC 144A 96.50 619,866.67$ 0.10% Consumer Cyclical Services 8.50 10/15/2025 CCC+ (11033.65)BNG3JMEH5 OMAN GOVERNMENT BOND MTN RegS 95.50 490,388.20$ 0.08% Non_Corprate 5.63 1/17/2028 NR (21744.29)BNG3JMEB8 OMAN GOVERNMENT BOND MTN RegS 94.14 660,008.11$ 0.10% Non_Corprate 6.75 1/17/2048 NR (40396.09)BNG2TQFK9 OMAN SULTANATE OF (GOVERNMENT) RegS 92.21 372,595.56$ 0.06% Non_Corprate 6.50 3/8/2047 BB (27880.00)68268DAB1 ONEMAIN FINANCIAL HOLDINGS INC 144A 103.50 268,733.44$ 0.04% Finace 7.25 12/15/2021 B (1964.20)683715AB2 OPEN TEXT CORPORATION 144A 103.75 504,362.59$ 0.08% Technology 5.88 6/1/2026 BB+ (18001.15)12505FAF8 OUTFRONT MEDIA CAPITAL LLC/OUTFRON 102.50 175,498.44$ 0.03% Cable/Media 5.88 3/15/2025 BB- (5887.50)690872AA4 OWENS-BROCKWAY GLASS CONTAINER INC 144A 101.50 503,456.25$ 0.08% Paper/Packaging 5.00 1/15/2022 BB- (15456.25)692733AB4 OZTEL HOLDINGS SPC LTD 144A 97.19 252,975.88$ 0.04% Non_Corprate 6.63 4/24/2028 NA (2665.00)698299BE3 PANAMA REPUBLIC OF (GOVERNMENT) 99.25 548,395.83$ 0.08% Non_Corprate 3.75 3/16/2025 BBB 7562.50BNG0WUCS6 PARAGUAY (REPUBLIC OF) RegS 108.75 275,221.53$ 0.04% Non_Corprate 6.10 8/11/2044 BB 5375.00BNG3QLCA6 PARAGUAY GOVERNMENT BOND RegS 100.00 201,462.22$ 0.03% Non_Corprate 5.60 3/13/2048 BB 0.00BNG259JY9 PARAGUAY REPUBLIC OF (GOVERNMENT) RegS 101.40 203,216.67$ 0.03% Non_Corprate 5.00 4/15/2026 BB 2806.0070014LAB6 PARK AEROSPACE HOLDINGS LTD 144A 97.13 624,019.79$ 0.10% Finace 5.50 2/15/2024 BB (43182.50)70014LAA8 PARK AEROSPACE HOLDINGS LTD 144A 99.38 1,270,929.69$ 0.20% Finace 5.25 8/15/2022 BB (39797.40)69327RAG6 PDC ENERGY INC (DELAWARE) 102.50 154,898.44$ 0.02% Energy 6.13 9/15/2024 BB- (2642.00)BRSJ9H4G3 PERTAMINA (PERSERO) PT MTN RegS 99.48 234,562.51$ 0.04% Non_Corprate 5.63 5/20/2043 BBB- 40350.51715638BU5 PERU (REPUBLIC OF) 102.81 942,312.20$ 0.14% Non_Corprate 4.13 8/25/2027 BBB+ 33588.10715604AA2 PERU LNG SRL 144A 99.38 199,884.72$ 0.03% Midstream 5.38 3/22/2030 BBB- (1250.00)71567RAK2 PERUSAHAAN PENERBIT SURAT BERHARGA MTN RegS 98.88 199,202.22$ 0.03% Non_Corprate 4.40 3/1/2028 BBB- (2240.00)71647NAS8 PETROBRAS GLOBAL FINANCE BV 107.25 378,385.84$ 0.06% Non_Corprate 7.38 1/17/2027 BB- (9355.84)BRSDGM0E6 PETROBRAS INTERNATIONAL FINANCE CO MTN 108.14 593,493.41$ 0.09% Non_Corprate 6.25 12/14/2026 BB- (6114.63)BRS3HLBJ6 PETROLEOS DE VENEZUELA SA RegS 26.15 284,982.70$ 0.04% Non_Corprate 5.38 4/12/2027 D (73192.40)BNG0FMD29 PETROLEOS DE VENEZUELA SA RegS 25.09 345,288.08$ 0.05% Non_Corprate 6.00 11/15/2026 D (39893.00)BNG0RP7Q3 PETROLEOS DE VENEZUELA SA RegS 25.25 434,730.26$ 0.07% Non_Corprate 6.00 5/16/2024 D (99378.86)716564AA7 PETROLEOS DEL PERU SA 144A 94.88 193,206.94$ 0.03% Energy 4.75 6/19/2032 BBB- (10250.00)71654QCB6 PETROLEOS MEXICANOS 107.10 78,294.50$ 0.01% Non_Corprate 6.88 8/4/2026 BBB+ 5245.20
94
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L71654QBH4 PETROLEOS MEXICANOS 99.13 103,522.47$ 0.02% Non_Corprate 4.88 1/18/2024 BBB+ (1672.73)71654QCC4 PETROLEOS MEXICANOS 96.70 121,789.06$ 0.02% Non_Corprate 6.75 9/21/2047 BBB+ (1742.50)71654QBR2 PETROLEOS MEXICANOS 92.65 175,523.94$ 0.03% Non_Corprate 6.38 1/23/2045 BBB+ (11811.00)71654QCF7 PETROLEOS MEXICANOS 109.15 252,836.12$ 0.04% Non_Corprate 5.72 3/11/2022 NA 21045.0071654QBW1 PETROLEOS MEXICANOS 94.25 328,373.80$ 0.05% Non_Corprate 4.50 1/23/2026 BBB+ (6897.20)71654QCG5 PETROLEOS MEXICANOS 103.30 2,228,780.28$ 0.34% Non_Corprate 6.50 3/13/2027 BBB+ (46801.80)71654QCJ9 PETROLEOS MEXICANOS 144A 91.70 582,654.72$ 0.09% Non_Corprate 6.35 2/12/2048 BBB+ (39775.96)71654QCD2 PETROLEOS MEXICANOS MTN 98.70 242,043.22$ 0.04% Non_Corprate 4.63 9/21/2023 BBB+ (3179.32)71654QCH3 PETROLEOS MEXICANOS MTN 144A 95.14 252,303.82$ 0.04% Non_Corprate 5.35 2/12/2028 BBB+ (12733.20)71675MAA4 PETROPAVLOVSK 2016 LTD 144A 91.70 190,893.06$ 0.03% Metals and Mining 8.13 11/14/2022 B (16600.00)716768AC0 PETSMART INC 144A 72.00 78,153.18$ 0.01% Retailers 5.88 6/1/2025 CCC+ (18106.25)69689GAA5 PLMR 18-1A D 99.96 1,486,651.77$ 0.23% Finace 7.33 4/18/2031 BB- (657.41)69688YAG4 PLMRS 14-1A DR2 99.59 499,400.83$ 0.08% Finace 8.05 1/17/2031 BB- (2053.15)69689DAG9 PLMRS_15-2A DR 144A 100.94 1,949,137.56$ 0.30% Finace 8.86 7/20/2030 BB- 50897.84737446AM6 POST HOLDINGS INC 144A 97.61 221,742.81$ 0.03% Food and Beverage 5.75 3/1/2027 B (10889.40)737446AN4 POST HOLDINGS INC 144A 95.50 278,810.16$ 0.04% Food and Beverage 5.63 1/15/2028 B (12825.00)737446AL8 POST HOLDINGS INC 144A 98.25 376,775.28$ 0.06% Food and Beverage 5.50 3/1/2025 B (15425.95)69352JAN7 PPL ENERGY SUPPLY LLC 85.00 437,961.25$ 0.07% Utility 4.60 12/15/2021 B- (29446.25)740212AE5 PRECISION DRILLING CORP 102.00 307,046.25$ 0.05% Energy 6.50 12/15/2021 BB 814.0074022DAJ9 PRECISION DRILLING CORP 94.22 463,806.00$ 0.07% Energy 5.25 11/15/2024 BB (4894.00)740212AK1 PRECISION DRILLING CORPORATION 104.13 133,789.06$ 0.02% Energy 7.75 12/15/2023 BB (1462.50)BNG3GMA82 PRESIDIO 1L TL-B 100.31 185,617.79$ 0.03% Technology 5.04 2/2/2024 B+ (1649.78)74112BAK1 PRESTIGE BRANDS INC 144A 100.50 111,699.27$ 0.02% Consumer Products 6.38 3/1/2024 B- (550.00)74166NAA2 PRIME SECURITY ONE MS IN 144A 82.75 290,392.97$ 0.04% Consumer Cyclical Services 4.88 7/15/2032 BB- (30442.10)74166MAA4 PRIME SECURITY SERVICES BORROWER L 144A 107.38 401,812.50$ 0.06% Consumer Cyclical Services 9.25 5/15/2023 B- (3937.50)74339KAA0 PROJECT HOMESTAKE MERGER CORP 144A 92.50 225,490.83$ 0.03% Technology 8.88 3/1/2023 CCC+ (9098.85)74408DAC8 PROVINCIA DE CORDOBA 144A 104.23 160,493.75$ 0.02% Non_Corprate 7.13 6/10/2021 B+ 6337.50745867AV3 PULTE GROUP INC 100.51 399,765.78$ 0.06% Home Construction 4.25 3/1/2021 BB+ (11216.25)BNG3FVL40 PVH CORP RegS 99.02 254,065.03$ 0.04% Retailers 3.13 12/15/2027 BB+ (7366.77)72347QAL7 Pinnacle Foods Finance LLC / Pinna 103.00 225,134.11$ 0.03% Food and Beverage 5.88 1/15/2024 BB- (2037.50)BNG2T7MG2 QUINTILES IMS INC RegS 101.50 430,935.31$ 0.07% Healthcare 3.25 3/15/2025 BB+ (6066.06)747262AW3 QVC INC 94.15 152,453.47$ 0.02% Consumer Cyclical Services 5.45 8/15/2034 BBB- (2573.25)912920AC9 QWEST CORPORATION 94.82 497,517.15$ 0.08% Telecom 6.88 9/15/2033 BBB- (26418.00)45332JAA0 RACKSPACE HOSTING INC 144A 101.38 726,764.06$ 0.11% Technology 8.63 11/15/2024 B (27211.00)76112BA59 RAMP_05-RZ3 M4 95.08 4,565,641.22$ 0.70% Finace 2.83 9/25/2035 CCC 723756.4876112BS68 RAMP_05-SP3 M2 100.20 4,009,504.79$ 0.62% Home Equity 2.70 12/25/2035 A 548006.40
95
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L74978AAD2 RAMP_07-SP1 M1 98.74 1,274,130.23$ 0.20% Home Equity 2.47 3/25/2037 BB 205406.9675281AAY5 RANGE RESOURCES CORPORATION 98.25 273,052.08$ 0.04% Energy 5.00 8/15/2022 BB+ (4080.05)75281ABA6 RANGE RESOURCES CORPORATION 96.20 440,553.75$ 0.07% Energy 5.00 3/15/2023 BB+ (11794.65)76110WX27 RASC_05-KS5 M6 99.97 1,278,131.02$ 0.20% Home Equity 2.95 6/25/2035 BB 168942.9176110W3U8 RASC_05-KS8 M4 100.63 1,937,798.18$ 0.30% Home Equity 2.78 8/25/2035 BB+ 205757.4775606DAA9 REALOGY GROUP LLC / REALOGY CO ISS 144A 101.01 227,692.13$ 0.03% Consumer Cyclical Services 4.50 4/15/2019 B (2986.00)BNG19NCP2 REPSOL INTERNATIONAL FINANCE BV RegS 109.76 306,229.92$ 0.05% Energy 4.50 3/25/2025 BB+ (7237.83)195325DL6 REPUBLIC OF COLOMBIA 96.50 289,661.46$ 0.04% Non_Corprate 3.88 4/25/2027 BBB- (11868.00)445545AF3 REPUBLIC OF HUNGARY 140.74 282,789.19$ 0.04% Non_Corprate 7.63 3/29/2041 BBB- 4841.00BNG3NP3Q5 REPUBLIC OF NIGERIA MTN RegS 102.25 207,158.78$ 0.03% Non_Corprate 7.14 2/23/2030 B 4500.00BNG3T75E4 REPUBLIC OF SRI LANKA RegS 99.51 911,643.08$ 0.14% Non_Corprate 6.75 4/18/2028 NA (4629.67)BNG3DJZ51 REXEL SA RegS 96.76 283,311.97$ 0.04% Manufacturing/Machinery 2.13 6/15/2025 BB- (7980.73)761713BB1 REYNOLDS AMERICAN INC 112.50 1,785,431.48$ 0.27% Tobacco 5.85 8/15/2045 BBB+ 76427.60BNG2QLYT3 REYNOLDS GROUP HLDS 1L TL USD 100.63 267,448.25$ 0.04% Paper/Packaging 4.64 2/5/2023 B+ (332.23)761735AT6 REYNOLDS GROUP ISSUER INC / REYNOL 144A 100.44 560,630.35$ 0.09% Paper/Packaging 5.13 7/15/2023 B+ (17860.80)761735AD1 REYNOLDS GROUP ISSUER LLC 101.38 35,626.56$ 0.01% Paper/Packaging 6.88 2/15/2021 B+ (31586.90)761735AP4 REYNOLDS GROUP ISSUER LLC 100.72 494,095.59$ 0.08% Paper/Packaging 5.75 10/15/2020 B+ (14427.75)77340RAD9 ROCKIES EXPRESS PIPELINE LLC 144A 120.75 104,496.88$ 0.02% Midstream 7.50 7/15/2038 BB+ 7038.2077340RAC1 ROCKIES EXPRESS PIPELINE LLC 144A 100.75 297,968.96$ 0.05% Midstream 6.85 7/15/2018 BB+ (10037.50)77340RAP2 ROCKIES EXPRESS PIPELINE LLC 144A 101.75 351,900.00$ 0.05% Midstream 6.00 1/15/2019 BB+ (3301.00)77340RAK3 ROCKIES EXPRESS PIPELINE LLC 144A 103.53 461,755.92$ 0.07% Midstream 5.63 4/15/2020 BB+ (8091.80)77714TAB7 ROSE ROCK MIDSTREAM LP 94.25 566,444.53$ 0.09% Midstream 5.63 11/15/2023 B+ (23822.50)257867BB6 RR DONNELLEY & SONS CO 97.88 31,474.67$ 0.00% Cable/Media 6.00 4/1/2024 B 1083.20257867BA8 RR DONNELLEY & SONS CO 100.93 184,958.32$ 0.03% Cable/Media 6.50 11/15/2023 B 7237.9074978DAA2 RR DONNELLEY & SONS CO 104.50 453,582.81$ 0.07% Cable/Media 7.88 3/15/2021 B (10152.50)257867AW1 RR DONNELLEY & SONS CO 104.82 470,558.87$ 0.07% Cable/Media 7.63 6/15/2020 B (20951.60)781467AA3 RUMO LUXEMBOURG SARL 144A 106.15 215,618.75$ 0.03% Transportation Services 7.38 2/9/2024 BB- 12300.00BNG2QZ309 RUSAL CAPITAL DAC RegS 32.00 66,505.56$ 0.01% Metals and Mining 5.13 2/2/2022 NR (141400.00)BNG0A3QB2 RUSSIAN FEDERATION RegS 108.25 217,936.11$ 0.03% Non_Corprate 5.88 9/16/2043 BBB- 17500.00BNG321QC7 RUSSIAN FEDERATION RegS 96.89 394,977.93$ 0.06% Non_Corprate 5.25 6/23/2047 BBB- (12430.40)78572XAE1 SABRA HEALTH CARE LP 102.25 398,897.43$ 0.06% REITs 5.50 2/1/2021 BBB- (1342.50)79970YAD7 SANCHEZ ENERGY CORP 72.22 370,032.29$ 0.06% Energy 6.13 1/15/2023 B- (86946.20)863576DK7 SASC_05-WF4 M5 99.36 2,296,216.36$ 0.35% Home Equity 2.83 11/25/2035 BB+ 424209.32BNG3T37L5 SAUDI ARABIA (KINGDOM OF) MTN RegS 98.64 197,605.00$ 0.03% Non_Corprate 4.50 4/17/2030 NA (1584.00)169421666 SAUDI INTERNATIONAL BOND MTN RegS 95.43 206,127.43$ 0.03% Non_Corprate 2.88 3/4/2023 NR (8406.50)78403LAB8 SCF CAPITAL LTD 144A 98.51 206,051.02$ 0.03% Non_Corprate 5.38 6/16/2023 BB (8724.80)
96
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L80627DAB2 SCHAEFFLER VERWALTUNG ZWEI GMBH 144A 98.25 300,937.50$ 0.05% Automotive 4.50 9/15/2023 BB- (6325.00)BNG2E9FY3 SCHAEFFLER VERWALTUNG ZWEI GMBH RegS 103.11 429,694.86$ 0.07% Automotive 3.25 9/15/2023 BB- (10463.44)80874YAU4 SCIENTIFIC GAMES INTERNATIONAL INC 107.75 262,941.24$ 0.04% Lodging/Leisure 10.00 12/1/2022 B- (897.95)BNG3M6K55 SCIENTIFIC GAMES INTERNATIONAL INC RegS 96.83 276,941.54$ 0.04% Lodging/Leisure 3.38 2/15/2026 B+ (5963.80)81211KAX8 SEALED AIR CORPORATION 144A 103.38 166,500.00$ 0.03% Paper/Packaging 5.50 9/15/2025 BB+ (7566.85)BNG2TJP65 SEAWORLD 1L TL-B5 99.83 158,395.94$ 0.02% Lodging/Leisure 5.30 3/31/2024 B 541.0981663AAF2 SEMGROUP CORP 99.25 225,351.56$ 0.03% Midstream 7.25 3/15/2026 B+ (4654.60)81727TAA6 SENSATA TECHNOLOGIES HOLDING NV 144A 103.96 352,627.98$ 0.05% Technology 6.25 2/15/2026 BB+ (13457.00)BRSCY8D88 SERBIA REPUBLIC OF (GOVERNMENT) RegS 110.45 544,354.94$ 0.08% Non_Corprate 7.25 9/28/2021 BB (13002.64)BRSHEC506 SERBIA REPUBLIC OF (GOVERNMENT) RegS 101.85 769,425.29$ 0.12% Non_Corprate 4.88 2/25/2020 BB 10274.78817565CB8 SERVICE CORP INTERNATIONAL 102.35 791,304.49$ 0.12% Consumer Cyclical Services 5.38 5/15/2024 BB (16528.50)817565BZ6 SERVICE CORPORATION INTERNATIONAL 101.80 201,567.03$ 0.03% Consumer Cyclical Services 5.38 1/15/2022 BB (2240.00)BNG2J3NU0 SERVICEMASTER 1L TL-B 100.63 164,379.29$ 0.03% Consumer Cyclical Services 4.39 11/8/2023 BB+ (350.46)BNG0PN8L0 SFR GROUP SA RegS 103.28 290,243.24$ 0.04% Telecom 5.63 5/15/2024 B 1104.86BNG3EZSE3 SILGAN HOLDINGS INC 102.10 284,863.86$ 0.04% Paper/Packaging 3.25 3/15/2025 BB- (6150.84)829259AM2 SINCLAIR TELEVISION GROUP INC 101.00 192,722.67$ 0.03% Cable/Media 5.38 4/1/2021 B+ (1931.25)829259AW0 SINCLAIR TELEVISION GROUP INC 144A 92.75 215,780.73$ 0.03% Cable/Media 5.13 2/15/2027 B+ (10476.50)82938NAH7 SINOPEC GROUP OVERSEAS DEVELOPMENT 144A 92.42 289,671.11$ 0.04% Non_Corprate 3.25 9/13/2027 A+ (22123.92)82967NAL2 SIRIUS XM RADIO INC 144A 98.75 35,304.43$ 0.01% Cable/Media 4.63 5/15/2023 BB (1443.75)82967NBA5 SIRIUS XM RADIO INC 144A 95.31 255,852.49$ 0.04% Cable/Media 5.00 8/1/2027 BB (13491.50)82967NAW8 SIRIUS XM RADIO INC 144A 98.01 438,141.92$ 0.07% Cable/Media 5.38 7/15/2026 BB (25548.60)82967NAS7 SIRIUS XM RADIO INC 144A 102.74 726,198.55$ 0.11% Cable/Media 6.00 7/15/2024 BB (25558.55)83001AAB8 SIX FLAGS ENTERTAINMENT CORP 144A 97.50 231,989.06$ 0.04% Lodging/Leisure 4.88 7/31/2024 BB- (11027.50)BNG0JS083 SLOVENIA REPUBLIC OF GOVERNMENT RegS 109.61 536,721.37$ 0.08% Treasuries 5.25 2/18/2024 A+ (6721.13)78454LAH3 SM ENERGY CO 95.25 174,075.00$ 0.03% Energy 5.00 1/15/2024 B+ 582.8078454LAK6 SM ENERGY CO 101.00 285,470.05$ 0.04% Energy 6.13 11/15/2022 B+ (699.00)BNG16VCS1 SMURFIT KAPPA ACQUISITIONS RegS 104.93 280,704.60$ 0.04% Paper/Packaging 2.75 2/1/2025 BB+ (5017.53)83404DAA7 SOFTBANK CORP 144A 102.63 519,203.13$ 0.08% Telecom 4.50 4/15/2020 BB+ (3862.75)BNG1MKVB3 SOFTBANK GROUP CORP RegS 103.25 290,564.55$ 0.04% Telecom 5.25 7/30/2027 BB+ (18261.42)BNG1Y0KQ3 SOLVAY FINANCE SA RegS 118.09 342,941.61$ 0.05% Chemicals 5.87 6/3/2024 BB+ (9613.43)836205AT1 SOUTH AFRICA (REPUBLIC OF) 98.22 271,674.16$ 0.04% Non_Corprate 4.88 4/14/2026 BB (1145.40)836205AX2 SOUTH AFRICA (REPUBLIC OF) 95.82 594,404.95$ 0.09% Non_Corprate 5.65 9/27/2047 NA (33090.60)84302LAA0 SOUTHERN GAS CORRIDOR 144A 109.25 341,905.63$ 0.05% Non_Corprate 6.88 3/24/2026 NA 5538.91BNG24YYU6 SOUTHERN GAS CORRIDOR CJSC RegS 109.25 745,376.25$ 0.11% Non_Corprate 6.88 3/24/2026 NA 14819.0084762LAU9 SPECTRUM BRANDS INC 99.91 142,214.92$ 0.02% Consumer Products 5.75 7/15/2025 B+ (9746.00)BNG2EJV80 SPECTRUM BRANDS INC RegS 100.92 269,101.62$ 0.04% Consumer Products 4.00 10/1/2026 B+ (19585.30)
97
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/LBNG2UTW30 SPIE SA RegS 101.02 244,911.57$ 0.04% Environmental 3.13 3/22/2024 BB (8933.60)85172FAJ8 SPRINGLEAF FINANCE CORP 110.28 147,383.28$ 0.02% Finace 8.25 12/15/2020 B (3419.85)85172FAD1 SPRINGLEAF FINANCE CORP 108.88 410,622.40$ 0.06% Finace 7.75 10/1/2021 B (12076.30)85172FAM1 SPRINGLEAF FINANCE CORP 101.00 422,954.17$ 0.06% Finace 6.88 3/15/2025 B 4150.0085172FAK5 SPRINGLEAF FINANCE CORP 102.38 494,356.77$ 0.08% Finace 6.13 5/15/2022 B (5656.25)85207UAK1 SPRINT CORP 105.25 208,046.04$ 0.03% Telecom 7.63 3/1/2026 B 10237.5085207UAF2 SPRINT CORP 107.25 232,703.91$ 0.04% Telecom 7.88 9/15/2023 B (8793.75)85207UAH8 SPRINT CORP 102.97 1,029,998.53$ 0.16% Telecom 7.13 6/15/2024 B (55036.05)852061AK6 SPRINT NEXTEL CORPORATION 144A 102.81 315,464.15$ 0.05% Telecom 9.00 11/15/2018 B+ (10048.35)BRSF96YL1 SRI LANKA DEMOCRATIC SOCIALIST (RE RegS 100.82 716,565.13$ 0.11% Non_Corprate 5.88 7/25/2022 B+ (6179.80)BNG1V97K5 SRI LANKA DEMOCRATIC SOCIALIST RE RegS 102.14 374,537.48$ 0.06% Non_Corprate 6.85 11/3/2025 B+ 9800.13BNG3PHVJ6 SS&C TECHNOLOGIES TL-B3 (2/18) 100.63 428,474.18$ 0.07% Technology 4.40 4/16/2025 BB 3725.86BNG3PTAJ3 SS&C TECHNOLOGIES TL-B4 (2/18) 100.63 158,531.03$ 0.02% Technology 4.40 4/16/2025 BB 1378.533137G0NX3 STACR 17-DNA2 M2 109.53 6,795,367.74$ 1.04% CMO 5.35 10/25/2029 NR 590763.283137G0PU7 STACR 17-HQA2 M2 103.72 2,055,004.86$ 0.32% CMO 4.55 12/25/2029 NR 71238.783137G0UD9 STACR 18-HQA1 M2 101.47 3,553,618.01$ 0.55% CMO 4.20 9/25/2030 NR 51577.7585571BAM7 STARWOOD PROPERTY TRUST INC 144A 98.25 297,498.96$ 0.05% REITs 3.63 2/1/2021 BB- (4700.00)BNG3TC0Y4 STATE OF QATAR RegS 99.81 319,673.28$ 0.05% Non_Corprate 4.50 4/23/2028 AA- 439.68BNG00K8X7 STATE OIL CO OF AZERBAIJAN REPUBLI MTN RegS 99.65 444,196.72$ 0.07% Non_Corprate 4.75 3/13/2023 BB- 7547.00BNG18WG79 STATE OIL CO OF THE AZERBAIJAN REP RegS 107.44 649,493.00$ 0.10% Non_Corprate 6.95 3/18/2030 BB- 98728.00858119BD1 STEEL DYNAMICS INC 102.75 232,184.38$ 0.04% Metals and Mining 5.50 10/1/2024 BB+ (10473.75)86074QAN2 STILLWATER MINING COMPANY 144A 100.99 206,848.75$ 0.03% Metals and Mining 7.13 6/27/2025 B+ 4962.00BNG2TS5F7 STONEGATE PUB COMPANY FINANCING PL RegS 99.05 439,250.69$ 0.07% Lodging/Leisure 4.88 3/15/2022 B- (6109.06)BNG3KJLQ2 SUMMIT GERMANY LIMITED RegS 97.11 283,036.25$ 0.04% Industrial Other 2.00 1/31/2025 BBB- (7884.31)86614WAD8 SUMMIT MIDSTREAM HOLDINGS LLC / SU 95.40 549,916.10$ 0.08% Midstream 5.75 4/15/2025 BB- (34633.40)871503AU2 SYMANTEC CORPORATION 144A 100.41 221,353.73$ 0.03% Technology 5.00 4/15/2025 BB+ (7805.35)87165BAD5 SYNCHRONY FINANCIAL 98.29 560,318.50$ 0.09% Banking 4.25 8/15/2024 BBB- (1970.49)87264AAU9 T MOBILE 96.25 58,462.50$ 0.01% Telecom 4.50 2/1/2026 BB+ (2250.00)87264AAQ8 T-MOBILE USA INC 104.72 162,703.50$ 0.02% Telecom 6.00 4/15/2024 BB+ (1896.50)87264AAM7 T-MOBILE USA INC 103.63 951,935.83$ 0.15% Telecom 6.00 3/1/2023 BB+ (22838.75)87422VAA6 TALEN ENERGY SUPPLY LLC 73.00 170,303.13$ 0.03% Utility 6.50 6/1/2025 B+ (22784.00)87422VAB4 TALEN ENERGY SUPPLY LLC 144A 94.81 746,523.98$ 0.11% Utility 9.50 7/15/2022 B+ (35585.65)BNG2PYJH9 TALKTALK TELECOM GROUP PLC RegS 100.75 295,947.32$ 0.05% Telecom 5.38 1/15/2022 BB- 1107.2987612BAP7 TARGA RESOURCES PARTNERS LP 94.50 197,718.23$ 0.03% Midstream 4.25 11/15/2023 BB- (10203.10)87612BBB7 TARGA RESOURCES PARTNERS LP 97.00 240,754.18$ 0.04% Midstream 5.13 2/1/2025 BB- (15727.60)87612BAR3 TARGA RESOURCES PARTNERS LP 100.57 286,881.35$ 0.04% Midstream 4.13 11/15/2019 BB- (787.40)
98
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L87612BAY8 TARGA RESOURCES PARTNERS LP 104.50 468,779.69$ 0.07% Midstream 6.75 3/15/2024 BB- (16777.25)87612BBF8 TARGA RESOURCES PARTNERS LP 144A 92.50 361,686.11$ 0.06% Midstream 5.00 1/15/2028 BB- (29298.50)877249AD4 TAYLOR MORRISON COMMUNITIES INC 144A 100.00 247,258.59$ 0.04% Home Construction 5.63 3/1/2024 BB (12536.55)877249AC6 TAYLOR MORRISON COMMUNITIES INC/MO 144A 100.75 136,307.81$ 0.02% Home Construction 5.25 4/15/2021 BB (337.50)BNG2PWRG6 TEAM HEALTH INC 1L TL-B 96.75 360,829.13$ 0.06% Healthcare 4.64 2/6/2024 B (7493.62)878742AV7 TECK RESOURCES LTD 101.44 179,940.98$ 0.03% Metals and Mining 4.75 1/15/2022 BB+ (6099.75)878742AW5 TECK RESOURCES LTD 106.00 328,859.90$ 0.05% Metals and Mining 6.25 7/15/2041 BB+ (22983.75)878742BC8 TECK RESOURCES LTD 144A 111.63 253,314.72$ 0.04% Metals and Mining 8.50 6/1/2024 BB+ (62.50)364725BA8 TEGNA INC 100.50 214,189.06$ 0.03% Cable/Media 5.13 7/15/2020 BB+ (5229.95)364725BD2 TEGNA INC 100.75 293,803.91$ 0.05% Cable/Media 5.13 10/15/2019 BB+ (3907.59)87927VAM0 TELECOM ITALIA CAPITAL SA 103.50 374,400.00$ 0.06% Telecom 6.00 9/30/2034 BB+ (21342.25)B0A09GSG8 TELECOM ITALIA FINANCE SA MTN 150.09 294,089.71$ 0.05% Telecom 7.75 1/24/2033 BB+ (2869.55)BNG27ZR53 TELECOM ITALIA SPA MTN RegS 110.25 356,951.69$ 0.05% Telecom 3.63 5/25/2026 BB+ (2644.29)87938WAV5 TELEFONICA EMISIONES SAU 99.12 2,365,775.48$ 0.36% Telecom 4.67 3/6/2038 BBB (20808.60)BNG3FGHB2 TELEFONICA EUROPE BV RegS 98.66 843,220.61$ 0.13% Telecom 2.63 6/7/2023 BB+ (9887.59)BNG3FJAZ0 TELENET FINANCE LUX NOTE 144A 95.50 582,625.00$ 0.09% Cable/Media 5.50 3/1/2028 BB- (27000.00)BNG1MG422 TELENET FINANCE VI LUXEMBOURG SCA RegS 108.28 256,467.39$ 0.04% Cable/Media 4.88 7/15/2027 BB- (33860.28)88033GAV2 TENET HEALTHCARE CORPORATION 91.50 56,790.63$ 0.01% Healthcare 6.88 11/15/2031 CCC+ 2700.0088033GCE8 TENET HEALTHCARE CORPORATION 104.13 136,213.37$ 0.02% Healthcare 8.13 4/1/2022 CCC+ 7500.0088033GCN8 TENET HEALTHCARE CORPORATION 98.31 226,897.31$ 0.03% Healthcare 6.75 6/15/2023 CCC+ 11383.2588033GCP3 TENET HEALTHCARE CORPORATION 144A 105.38 204,922.92$ 0.03% Healthcare 7.50 1/1/2022 B- (1313.75)88033GCR9 TENET HEALTHCARE CORPORATION 144A 96.74 275,629.97$ 0.04% Healthcare 4.63 7/15/2024 BB- (6221.99)B04790133 TESCO PLC MTN 122.79 757,872.59$ 0.12% Retailers 6.00 12/14/2029 BB+ 14324.93BNG1A1N84 TEVA PHARMACEUTICAL FINANCE NETHER RegS 81.84 148,602.77$ 0.02% Pharmaceuticals 1.88 3/31/2027 BB (4491.33)BNG2BJNS8 TEVA PHARMACEUTICAL FINANCE NETHER RegS 97.06 282,263.35$ 0.04% Pharmaceuticals 0.38 7/25/2020 BB (4786.06)87248NAE8 THC ESCROW CORPORATION III 144A 98.25 199,963.06$ 0.03% Healthcare 7.00 8/1/2025 CCC+ 14922.50900123CQ1 THE REPUBLIC OF TURKEY 99.75 338,498.56$ 0.05% Non_Corprate 6.13 10/24/2028 NA 1094.9787249DAA7 TICP 18-10A E 144A 97.36 973,578.80$ 0.15% Finace 4/20/2031 NR (26421.20)887317AK1 TIME WARNER INC 103.85 2,674,115.81$ 0.41% Cable/Media 4.75 3/29/2021 BBB (135098.55)88947EAN0 TOLL BROTHERS FINANCE CORP 100.00 250,455.73$ 0.04% Home Construction 4.38 4/15/2023 BB+ (10328.50)88947EAQ3 TOLL BROTHERS FINANCE CORP. 105.13 53,384.38$ 0.01% Home Construction 5.63 1/15/2024 BB+ (237.50)88947EAP5 TOLL BROTHERS FINANCE CORP. 100.00 136,800.00$ 0.02% Home Construction 4.00 12/31/2018 BB+ (4037.50)88947EAT7 TOLL BROTHERS FINANCE CORP. 92.50 145,210.46$ 0.02% Home Construction 4.35 2/15/2028 BB+ (11625.00)912796MB2 TREASURY BILL 99.90 2,996,940.00$ 0.46% Treasuries 5/24/2018 Govt 25034.50912810RT7 TREASURY BOND 84.08 393,124.69$ 0.06% Treasuries 2.25 8/15/2046 AA+ (5174.11)912810QK7 TREASURY BOND 113.42 1,113,597.49$ 0.17% Treasuries 3.88 8/15/2040 AA+ (14465.59)
99
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L912828V98 TREASURY NOTE 94.71 6,519,415.22$ 1.00% Treasuries 2.25 2/15/2027 AA+ (29518.79)9128283U2 TREASURY NOTE 98.20 11,296,397.38$ 1.73% Treasuries 2.38 1/31/2023 AA+ (61557.28)89531GAA3 TREST 2017-1A D 144A 101.04 1,062,271.87$ 0.16% Finace 9.04 7/25/2029 NR 18303.60896047AH0 TRIBUNE MEDIA COMPANY 101.25 489,076.82$ 0.08% Cable/Media 5.88 7/15/2022 BB- (7631.25)89636DAA4 TRINIDAD GENERATION UNLIMITED 144A 100.75 206,633.33$ 0.03% Non_Corprate 5.25 11/4/2027 BBB- 4860.00BNG3LJHD5 TSINGHUA UNIGROUP LTD RegS 96.70 323,544.38$ 0.05% Technology 5.38 1/31/2023 NR (8415.00)899415AE3 TULLOW OIL PLC 144A 101.38 204,198.89$ 0.03% Energy 7.00 3/1/2025 B 2760.00900123BF6 TURKEY (REPUBLIC OF) 105.39 217,994.33$ 0.03% Non_Corprate 7.50 11/7/2019 NR (9110.00)900123CF5 TURKEY (REPUBLIC OF) 101.38 350,824.77$ 0.05% Non_Corprate 5.75 3/22/2024 NR (11685.68)900123CL2 TURKEY (REPUBLIC OF) 100.37 483,547.31$ 0.07% Non_Corprate 6.00 3/25/2027 NA (3325.67)900123CJ7 TURKEY (REPUBLIC OF) 90.33 678,914.17$ 0.10% Non_Corprate 4.25 4/14/2026 NR (35152.50)900123CP3 TURKEY GOVERNMENT BOND 93.45 357,834.52$ 0.05% Non_Corprate 5.13 2/17/2028 NR (22472.97)90014TAC5 TURKIYE CUMHURIYETI ZIRAAT BANKASI 144A 95.59 192,066.64$ 0.03% Non_Corprate 5.13 9/29/2023 NA (8816.00)90014TAB7 TURKIYE CUMHURIYETI ZIRAAT BANKASI MTN 144A 97.65 235,365.89$ 0.04% Non_Corprate 4.75 4/29/2021 NA (4945.32)900148AE7 TURKIYE GARANTI BANKASI AS 144A 96.75 248,510.42$ 0.04% Banking 6.13 5/24/2022 NA (9325.00)90015LAD9 TURKIYE IHRACAT KREDI BANKASI AS MTN 144A 99.62 199,240.00$ 0.03% Non_Corprate 6.13 5/3/2024 NR 554.0090015LAB3 TURKIYE IHRACAT KREDI BANKASI AS MTN 144A 97.80 237,871.69$ 0.04% Non_Corprate 5.38 10/24/2023 NA (4898.88)BNG0ZBYH5 TURKIYE IHRACAT KREDI BANKASI AS T RegS 98.50 198,027.78$ 0.03% Non_Corprate 5.00 9/23/2021 NR (5600.00)90015JAA0 TURKIYE ZIRAAT BANKASI AS 144A 97.28 226,543.26$ 0.03% Non_Corprate 5.13 5/3/2022 NR (4944.06)90351DAB3 UBS GROUP FUNDING (JERSEY) LTD 144A 99.43 3,414,750.30$ 0.52% Banking 4.13 9/24/2025 A- (5779.80)903724AU6 UKRAINE (GOVERNMENT OF) 144A 98.05 223,474.81$ 0.03% Non_Corprate 7.75 9/1/2027 B- 11929.50903724AW2 UKRAINE (GOVERNMENT OF) 144A 67.53 378,184.80$ 0.06% Non_Corprate 5/31/2040 B- 111417.60BNG1WUQ00 UKRAINE (GOVERNMENT OF) RegS 98.05 397,288.56$ 0.06% Non_Corprate 7.75 9/1/2027 B- 48708.00BNG395L10 UKRAINE REPUBLIC OF (GOVERNMENT) RegS 92.27 387,755.85$ 0.06% Non_Corprate 7.38 9/25/2032 B- (26234.10)BNG33UJ63 UNITED GROUP BV RegS 102.25 462,801.34$ 0.07% Cable/Media 4.38 7/1/2022 B (7859.80)911365BC7 UNITED RENTALS (NORTH AMERICA) INC 100.75 40,839.58$ 0.01% Manufacturing/Machinery 4.63 7/15/2023 BBB- (1600.00)911365BB9 UNITED RENTALS (NORTH AMERICA) INC 103.50 222,884.38$ 0.03% Manufacturing/Machinery 5.75 11/15/2024 BB (4791.50)913364AD7 UNITYMEDIA HESSEN GMBH & CO KG / U 144A 102.25 274,827.08$ 0.04% Cable/Media 5.00 1/15/2025 BB- (7783.05)BNG0DFAY9 UNITYMEDIA HESSEN GMBH & CO KG / U RegS 113.50 459,799.39$ 0.07% Cable/Media 6.25 1/15/2029 BB- (8711.01)BNG2U94W1 UNIVISION 1L TL-C5 98.55 332,398.71$ 0.05% Cable/Media 4.64 3/15/2024 BB- (3470.36)914906AP7 UNIVISION COMMUNICATIONS INC 144A 102.50 102,310.31$ 0.02% Cable/Media 6.75 9/15/2022 BB- (1579.25)914906AR3 UNIVISION COMMUNICATIONS INC 144A 95.00 881,008.07$ 0.14% Cable/Media 5.13 5/15/2023 BB- (47851.45)90320MAA3 UPCB FINANCE IV LTD 144A 97.75 278,089.58$ 0.04% Cable/Media 5.38 1/15/2025 BB (9627.50)BNG1ALPV7 UPCB FINANCE VI LTD RegS 103.37 138,933.98$ 0.02% Cable/Media 4.00 1/15/2027 BB (3557.34)760942BA9 URUGUAY (ORIENTAL REPUBLIC OF) 98.25 363,435.60$ 0.06% Non_Corprate 5.10 6/18/2050 BBB (4319.80)TYM820184 US 10YR NOTE JUN 18 119.63 -$ 0.00% Futures 6/20/2018 0.00
100
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/LTUM820182 US 2YR NOTE JUN 18 106.02 -$ 0.00% Futures 6/29/2018 0.00FVM820185 US 5YR NOTE JUN 18 113.51 -$ 0.00% Futures 6/29/2018 0.00USM820185 US LONG BOND JUN 18 143.84 -$ 0.00% Futures 6/20/2018 0.00UXYM82016 US ULTRA 10YR NOTE JUN 18 127.89 -$ 0.00% Futures 6/20/2018 0.00WNM820184 US ULTRA T-BOND JUN 18 157.13 -$ 0.00% Futures 6/20/2018 0.00USD_CCASH USD CASH(Alpha Committed) 100.00 2,608,649.15$ 0.40% Other 1.91 5/1/2018 UNK 0.00BNG3UKZ1P USD/EUR 1.21 (160,784.40)$ -0.02% FX 7/24/2018 (160784.40)BNG3UKZ1R USD/EUR 0.83 158,874.43$ 0.02% FX 7/24/2018 158874.43903293BD9 USG CORP 144A 104.50 184,452.43$ 0.03% Building Materials 5.50 3/1/2025 BB+ (2841.25)91911TAP8 VALE OVERSEAS LTD 110.29 4,578,834.44$ 0.70% Metals and Mining 6.25 8/10/2026 BBB- (10385.00)91911KAN2 VALEANT PHARMACEUTICALS INTERNATIO 144A 99.50 471,263.61$ 0.07% Pharmaceuticals 5.50 11/1/2025 BB- (5464.40)91911KAE2 VALEANT PHARMACEUTICALS INTERNATIO 144A 90.44 465,830.88$ 0.07% Pharmaceuticals 5.50 3/1/2023 B- 54599.55BRSC6QTV1 VEDANTA RESOURCES PLC RegS 107.38 221,314.17$ 0.03% Metals and Mining 8.25 6/7/2021 B+ (3140.00)BRS8TF7N1 VENEZUELA (BOLIVARIAN REPUBLIC OF) RegS 28.50 90,516.00$ 0.01% Non_Corprate 8.25 10/13/2024 D 20081.2092343VBR4 VERIZON COMMUNICATIONS INC 107.51 654,330.19$ 0.10% Telecom 5.15 9/15/2023 BBB+ (10580.24)92343VCZ5 VERIZON COMMUNICATIONS INC 91.57 2,974,666.56$ 0.46% Telecom 4.67 3/15/2055 BBB+ 192158.7292343VDY7 VERIZON COMMUNICATIONS INC 99.69 4,012,656.23$ 0.62% Telecom 4.13 3/16/2027 BBB+ 17261.55925651AA9 VICI PROPERTIES 1 LLC VICI FC INC 111.25 156,216.67$ 0.02% REITs 8.00 10/15/2023 BB 131.2592769VAF6 VIRGIN MEDIA FINANCE PLC 144A 98.00 196,500.00$ 0.03% Cable/Media 6.00 10/15/2024 B (15220.00)92769XAM7 VIRGIN MEDIA SECURED FINANCE PLC 144A 96.25 521,067.71$ 0.08% Cable/Media 5.50 8/15/2026 BB- (38992.35)BNG0M22Q4 VIRGIN MEDIA SECURED FINANCE PLC RegS 102.34 128,850.00$ 0.02% Cable/Media 5.50 1/15/2025 BB- (2796.80)BNG1981U6 VIRGIN MEDIA SECURED FINANCE PLC RegS 98.20 288,142.86$ 0.04% Cable/Media 4.88 1/15/2027 BB- (8992.05)BNG0M8F87 VIRGIN MEDIA SECURED FINANCE PLC RegS 105.50 325,220.02$ 0.05% Cable/Media 6.25 3/28/2029 BB- (8102.23)26817RAB4 VISTRA ENERGY CORP 102.38 419,226.39$ 0.06% Utility 5.88 6/1/2023 B+ 14922.5026817RAP3 VISTRA ENERGY CORP 107.50 779,039.24$ 0.12% Utility 7.63 11/1/2024 B+ 20262.5026817RAS7 VISTRA ENERGY CORP 144A 108.38 83,031.25$ 0.01% Utility 8.00 1/15/2025 B+ 6093.7526817RBA5 VISTRA ENERGY CORP 144A 109.75 486,248.44$ 0.07% Utility 8.13 1/30/2026 B+ 26132.60BNG2N0PE5 VISTRA OPERATIONS CO 1L TL-B2 100.63 99,379.64$ 0.02% Utility 4.14 12/14/2023 BB+ 370.35BNG2XJGP8 VOYAGE CARE BONDCO PLC RegS 99.99 311,828.92$ 0.05% Healthcare 5.88 5/1/2023 B+ (10545.80)91831AAB7 VRX ESCROW CORP 144A 91.44 329,457.48$ 0.05% Pharmaceuticals 5.88 5/15/2023 B- 42260.50BNG1913Z8 VRX ESCROW CORP RegS 90.85 145,935.52$ 0.02% Pharmaceuticals 4.50 5/15/2023 B- 1787.26383909AF5 W R GRACE & CO - CONN 144A 103.25 129,628.91$ 0.02% Chemicals 5.63 10/1/2024 BB- (7318.80)383909AE8 W R GRACE & CO - CONN 144A 102.73 216,608.56$ 0.03% Chemicals 5.13 10/1/2021 BB- (3500.35)94974BGR5 WELLS FARGO & COMPANY 98.54 2,389,246.00$ 0.37% Banking 2.55 12/7/2020 A- (32496.00)966387AH5 WHITING PETROLEUM CORP 102.38 278,353.13$ 0.04% Energy 5.75 3/15/2021 BB- 7818.35966387AP7 WHITING PETROLEUM CORP 102.88 346,317.88$ 0.05% Energy 6.25 4/1/2023 BB- 7267.55
101
LA Retirement Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L966387BE1 WHITING PETROLEUM CORP 144A 102.50 130,954.43$ 0.02% Energy 6.63 1/15/2026 BB- 3125.00BNG10N6Y9 WIENERBERGER AG 108.26 449,216.77$ 0.07% Building Materials 5.00 2/9/2021 NR (11550.06)BNG284GB0 WILLIAM HILL PLC RegS 104.88 334,500.21$ 0.05% Lodging/Leisure 4.88 9/7/2023 BB+ (5575.11)969457BB5 WILLIAMS COMPANIES INC 120.75 141,378.13$ 0.02% Midstream 7.50 1/15/2031 BB+ (1091.50)969457BG4 WILLIAMS COMPANIES INC 111.00 134,748.75$ 0.02% Midstream 7.88 9/1/2021 BB+ (2250.00)969457BV1 WILLIAMS COMPANIES INC 104.25 324,100.63$ 0.05% Midstream 5.75 6/24/2044 BB+ (4217.50)973147AD3 WIND TRE SPA 144A 83.94 695,506.58$ 0.11% Telecom 5.00 1/20/2026 BB- (122070.45)BNG3CFM62 WIND TRE SPA RegS 88.04 357,146.71$ 0.05% Telecom 3.13 1/20/2025 BB- (9801.24)BNG2G58A9 WMG ACQUISITION CORP RegS 104.99 426,779.06$ 0.07% Cable/Media 4.13 11/1/2024 B+ (6667.75)98212BAE3 WPX ENERGY INC 100.75 278,867.19$ 0.04% Energy 5.25 9/15/2024 BB- 4441.70983130AV7 WYNN LAS VEGAS LLC / WYNN LAS VEGA 144A 99.54 30,132.42$ 0.00% Lodging/Leisure 5.50 3/1/2025 BB- (1488.00)984848AJ0 YAPI VE KREDI BANKASI AS MTN 144A 95.91 196,004.50$ 0.03% Banking 5.85 6/21/2024 NA (8188.00)98625TAQ8 YCLO 15-1A DR 144A 100.12 1,810,188.42$ 0.28% Finace 4.96 1/22/2031 NR 2197.1848250NAB1 YUM! BRANDS INC. 144A 100.50 415,825.31$ 0.06% Lodging/Leisure 5.25 6/1/2026 BB (16126.50)BNG0NM0Z1 ZAMBIA GOVERNMENT INTERNATIONAL BO RegS 100.99 202,725.56$ 0.03% Non_Corprate 8.50 4/14/2024 B (11780.00)BNG1MPNJ4 ZAMBIA REPUBLIC OF (GOVERNMENT) RegS 100.50 205,485.00$ 0.03% Non_Corprate 8.97 7/30/2027 B (15750.00)989194AM7 ZAYO GROUP LLC/ZAYO CAPITAL INC 102.87 201,539.00$ 0.03% Telecom 6.00 4/1/2023 B (5383.50)989194AL9 ZAYO GROUP LLC/ZAYO CAPITAL INC 103.52 260,782.59$ 0.04% Telecom 6.38 5/15/2025 B (9306.90)989194AP0 ZAYO GROUP LLC/ZAYO CAPITAL INC 144A 99.25 585,377.08$ 0.09% Telecom 5.75 1/15/2027 B (32981.65)98877DAA3 ZF NORTH AMERICA CAPITAL INC 144A 100.75 367,778.06$ 0.06% Automotive 4.00 4/29/2020 BBB- (9039.75)98954NAA7 ZIGGO SECURED FINANCE BV 144A 94.25 455,307.29$ 0.07% Cable/Media 5.50 1/15/2027 BB- (32635.35)BNG0TTMC7 ZIRAAT FINANSAL KIRALAMA AS RegS 99.55 201,856.50$ 0.03% Non_Corprate 4.25 7/3/2019 NR (2602.00)AUD AUD Forwards 1.32 (293,101.51)$ -0.04% FX (293101.51)CAD CAD Forwards 1.28 (110,586.39)$ -0.02% FX (110586.39)CHF CHF Forwards 1.01 335,165.74$ 0.05% FX 335165.74EUR EUR Forwards 1.21 1,123,679.88$ 0.17% FX 1123679.88GBP GBP Forwards 1.38 421,715.36$ 0.06% FX 421715.36JPY JPY Forwards 109.43 44,006.80$ 0.01% FX 44006.80KRW KRW Forwards 1068.05 5,351.78$ 0.00% FX 5351.78MXN MXN Forwards 18.78 (50.33)$ 0.00% FX (50.33)NOK NOK Forwards 8.01 (392,630.71)$ -0.06% FX (392630.71)NZD NZD Forwards 1.42 392,386.99$ 0.06% FX 392386.99SEK SEK Forwards 8.74 (1,053,639.44)$ -0.16% FX (1053639.44)ZAR ZAR Forwards 12.48 11.91$ 0.00% FX 11.91
102
LA Health Plan Holdings
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/LBJM820186 10YR MINI JGB JUN 18 150.70 -$ 0.00% Futures 6/12/2018 0.00002824BF6 ABBOTT LABORATORIES 98.58 675,975.38$ 0.62% Healthcare 3.75 11/30/2026 BBB (2389.50)BNG2V2VD7 ABN AMRO BANK NV RegS 99.92 200,638.67$ 0.18% Banking 4.40 3/27/2028 BBB (4520.00)00401MAA4 ABU DHABI CRUDE OIL PIPELINE LLC 144A 93.19 189,983.44$ 0.17% Non_Corprate 3.65 11/2/2029 AA (13626.00)00401MAB2 ABU DHABI CRUDE OIL PIPELINE LLC 144A 94.13 192,812.89$ 0.18% Non_Corprate 4.60 11/2/2047 AA (11736.00)00507UAS0 ACTAVIS FUNDING SCS 96.09 275,213.10$ 0.25% Pharmaceuticals 3.80 3/15/2025 BBB (20995.95)00507UAR2 ACTAVIS FUNDING SCS 98.33 567,900.19$ 0.52% Pharmaceuticals 3.45 3/15/2022 BBB 1983.7500900HAA1 AIMCO_18-A E 144A 94.14 237,112.76$ 0.22% Finace 4/17/2031 NR (14644.28)00912XAT1 AIR LEASE CORPORATION 95.32 492,808.65$ 0.45% Finace 3.00 9/15/2023 BBB (16861.10)BNG0PN7Y3 ALTICE SA RegS 99.08 157,996.49$ 0.14% Telecom 7.25 5/15/2022 B- 1518.18BNG33QH64 AMC ENTERTAINMENT HOLDINGS INC RegS 101.58 158,321.65$ 0.14% Lodging/Leisure 6.38 11/15/2024 B+ (206.41)025816BL2 AMERICAN EXPRESS CO 100.25 433,708.75$ 0.40% Banking 4.90 3/15/2020 BB+ 13545.0000252FCV1 AMIT_05-4 M3 98.14 245,440.98$ 0.22% Finace 2.68 10/25/2035 CCC 43473.0303072SS89 AMSI_05-R10 M3 97.18 811,701.82$ 0.74% Home Equity 2.35 1/25/2036 B+ 152823.3703072SM28 AMSI_05-R8 M3 98.10 686,943.40$ 0.63% Home Equity 2.41 10/25/2035 CCC 104834.38032511BJ5 ANADARKO PETROLEUM CORP 96.29 418,391.08$ 0.38% Energy 3.45 7/15/2024 BBB (554.70)035242AN6 ANHEUSER-BUSCH INBEV FINANCE INC 103.61 204,393.91$ 0.19% Food and Beverage 4.90 2/1/2046 A- 7489.95035242AP1 ANHEUSER-BUSCH INBEV FINANCE INC 97.92 459,523.98$ 0.42% Food and Beverage 3.65 2/1/2026 A- (8895.45)035240AP5 ANHEUSER-BUSCH INBEV WORLDWIDE INC MTN 100.04 260,990.74$ 0.24% Food and Beverage 4.75 4/15/2058 A- (1801.80)037411BA2 APACHE CORP 98.91 282,468.96$ 0.26% Energy 4.75 4/15/2043 BBB 26807.1003766YAA1 APID 17-28A D 144A 99.16 254,143.01$ 0.23% Finace 6.92 1/20/2031 BB- (2100.48)037833CQ1 APPLE INC 96.87 244,869.31$ 0.22% Technology 2.30 5/11/2022 AA+ (7385.00)037833CJ7 APPLE INC 97.67 575,802.34$ 0.53% Technology 3.35 2/9/2027 AA+ (13607.10)BNG2X2668 ARD FINANCE SA 105.13 153,615.08$ 0.14% Paper/Packaging 6.63 9/15/2023 B- (4739.49)04015VAE6 ARES 2017-45A E 144A 100.59 308,523.67$ 0.28% Finace 8.45 10/15/2030 NR 8124.78BRS8R2FA1 AREVA SA MTN 109.50 135,825.84$ 0.12% Non_Corprate 4.88 9/23/2024 BB+ (4152.14)040114GK0 ARGENTINA (REPUBLIC OF) 65.25 216,012.50$ 0.20% Non_Corprate 2.50 12/31/2038 B+ 9550.00040114HQ6 ARGENTINA REPUBLIC OF GOVERNMENT 91.60 19,609.55$ 0.02% Non_Corprate 5.88 1/11/2028 B+ (1568.70)040114HR4 ARGENTINA REPUBLIC OF GOVERNMENT 88.85 118,211.08$ 0.11% Non_Corprate 6.88 1/11/2048 B+ (5101.60)040114GL8 ARGENTINA REPUBLIC OF GOVERNMENT 107.25 200,509.66$ 0.18% Non_Corprate 8.28 12/31/2033 B+ (11747.56)04623HAA9 ASRNT 18-1A E 144A 95.56 282,679.00$ 0.26% Finace 4/20/2031 NR (10153.25)04625BAA0 ASRNT 2017-1A E 144A 100.75 530,600.92$ 0.49% Finace 8.20 10/20/2029 NR 17018.9500206RCP5 AT&T INC 95.54 92,725.23$ 0.08% Telecom 4.50 5/15/2035 BBB+ 2521.3000206RBH4 AT&T INC 89.39 195,659.68$ 0.18% Telecom 4.30 12/15/2042 BBB+ (2541.30)00206RDS8 AT&T INC 102.23 690,898.60$ 0.63% Telecom 5.45 3/1/2047 BBB+ (22057.90)00206RCN0 AT&T INC 95.22 691,943.63$ 0.63% Telecom 3.40 5/15/2025 BBB+ 479.05
103
LA Health Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/LBNG2C59U8 AXALTA COATING SYSTEMS LLC RegS 105.87 154,778.27$ 0.14% Chemicals 4.25 8/15/2024 BB- (3141.92)06759GAA2 BABSN 15-2A ER 144A 101.09 253,344.24$ 0.23% Finace 8.81 10/20/2030 NR 7732.5205964HAE5 BANCO SANTANDER SA 96.19 774,132.78$ 0.71% Banking 3.13 2/23/2023 A- (28984.00)060505EG5 BANK OF AMERICA CORP 101.26 515,767.01$ 0.47% Banking 5.13 6/17/2019 BBB- 17800.0006051GGK9 BANK OF AMERICA CORP 97.21 525,204.09$ 0.48% Banking 2.88 4/24/2023 A- (15055.20)06051GFH7 BANK OF AMERICA CORP MTN 100.17 287,623.90$ 0.26% Banking 4.20 8/26/2024 BBB+ 102.6006738EAW5 BARCLAYS PLC 97.18 492,401.75$ 0.45% Banking 4.84 5/9/2028 BB+ (13968.90)06738EAU9 BARCLAYS PLC 97.76 673,772.52$ 0.62% Banking 4.34 1/10/2028 BBB (15238.80)05526DBE4 BAT CAPITAL CORP 144A 95.12 326,613.63$ 0.30% Tobacco 4.54 8/15/2047 BBB+ (16602.20)05526DBA2 BAT CAPITAL CORP 144A 93.94 463,917.50$ 0.42% Tobacco 3.56 8/15/2027 BBB+ (29713.60)07177MAL7 BAXALTA INC 98.87 645,870.75$ 0.59% Pharmaceuticals 3.60 6/23/2022 BBB- (9991.05)BNG32J358 BELDEN INC RegS 97.01 142,076.74$ 0.13% Industrial Other 3.38 7/15/2027 BB- (8509.17)BNG07JTX0 BERMUDA (GOVERNMENT) RegS 104.37 211,009.20$ 0.19% Non_Corprate 4.85 2/6/2024 A+ (1006.00)097023BY0 BOEING CO 96.21 862,166.98$ 0.79% Aerospace and Defense 3.55 3/1/2038 A 8357.10105756BB5 BRAZIL (FEDERATIVE REPUBLIC OF) 123.65 75,565.60$ 0.07% Non_Corprate 8.25 1/20/2034 BB- (3047.40)105756BR0 BRAZIL (FEDERATIVE REPUBLIC OF) 95.05 96,816.63$ 0.09% Non_Corprate 5.63 1/7/2041 BB- (5349.00)11134LAH2 BROADCOM CORPORATION 95.48 608,612.81$ 0.56% Technology 3.88 1/15/2027 BBB- (48150.90)073877BT8 BSABS_05-SD2 2M2 100.44 247,210.30$ 0.23% Home Equity 3.40 12/25/2044 AA 23234.23073879VF2 BSABS_05-TC1 M1 100.22 108,961.17$ 0.10% Home Equity 2.56 5/25/2035 AAA (173044.48)08179JAA4 BSP 2017-12A D 144A 100.67 472,274.86$ 0.43% Finace 8.76 10/15/2030 NR 13632.75CNM820186 CAN 10YR BOND JUN 18 131.45 -$ 0.00% Futures 6/20/2018 0.00136385AV3 CANADIAN NATURAL RESOURCES LIMITED 98.91 439,450.73$ 0.40% Energy 3.90 2/1/2025 BBB+ (20376.40)13876HAA4 CANYC 2017-1A E 144A 100.51 252,106.36$ 0.23% Finace 8.60 7/15/2030 NR 7095.4814042RFH9 CAPITAL ONE BANK USA NA / CAPITAL 98.41 554,391.60$ 0.51% Banking 2.35 1/31/2020 BBB+ (8562.40)144531BD1 CARMLT_05-NC1 M3 95.83 321,195.92$ 0.29% Home Equity 2.72 2/25/2035 CCC 57642.63144531DN7 CARR_05-NC5 M1 99.97 630,783.97$ 0.58% Home Equity 2.38 10/25/2035 CCC 77410.71144531CM0 CARR_05-O2 M4 100.87 721,476.04$ 0.66% Home Equity 2.87 5/25/2035 CCC 79478.3330711XGP3 CAS 17-C02 2M2 109.55 1,118,071.59$ 1.02% CMO 5.55 9/25/2029 NR 97414.1830711XWX8 CAS 17-CO7 2M2 102.69 698,738.29$ 0.64% CMO 4.40 5/25/2030 NR 18323.0130711XYX6 CAS 18-CO1 1M2 102.34 491,527.96$ 0.45% CMO 4.15 7/25/2030 NR 11251.4930711XJX3 CAS 2017-CO3 1M2 106.38 457,741.56$ 0.42% CMO 4.90 10/25/2029 NR 26870.9630711XLT9 CAS 2017-CO4 2M2 104.77 555,634.36$ 0.51% CMO 4.75 11/25/2029 NR 25284.9230711XNX8 CAS 2017-CO5 1M2 101.69 356,128.55$ 0.33% CMO 4.10 1/25/2030 NR 12737.9830711XQX5 CAS 2017-CO6 1M2 103.78 218,062.04$ 0.20% CMO 4.55 2/25/2030 NR 7929.4130711XSX3 CAS 2017-CO6 2M2 103.99 280,954.54$ 0.26% CMO 4.70 2/25/2030 NR 10778.40BNG2M7Z42 CATALENT PHARMA SOLUTIONS INC RegS 104.95 154,736.15$ 0.14% Pharmaceuticals 4.75 12/15/2024 B+ (5222.06)
104
LA Health Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L14316RAA8 CGMS 17-5A D 144A 96.67 246,102.34$ 0.22% Finace 7.07 1/30/2030 BB- (8314.48)161175BK9 CHARTER COMM OPT LLC/CAP 94.63 794,527.55$ 0.73% Cable/Media 4.20 3/15/2028 BBB- (42827.15)161175AY0 CHARTER COMMUNICATIONS OPERATING L 101.65 540,605.28$ 0.49% Cable/Media 4.91 7/23/2025 BBB- 8789.14161175BM5 CHARTER COMMUNICATIONS OPERATING L 98.53 710,799.10$ 0.65% Cable/Media 5.38 4/1/2038 BBB- (2289.60)166764BN9 CHEVRON CORP 97.76 667,484.71$ 0.61% Energy 2.50 3/3/2022 AA- (15204.80)166754AS0 CHEVRON PHILLIPS CHEMICAL COMPANY 144A 99.20 214,420.46$ 0.20% Chemicals 3.70 6/1/2028 A- (849.25)172967HZ7 CITIGROUP INC 103.13 528,916.67$ 0.48% Banking 5.80 11/15/2019 BB+ 20000.00172967JT9 CITIGROUP INC 99.93 899,532.68$ 0.82% Banking 4.40 6/10/2025 BBB (60703.85)BNG2HZVT5 CODERE FINANCE 2 (LUXEMBOURG) SA RegS 104.67 151,754.75$ 0.14% Lodging/Leisure 6.75 11/1/2021 B (2803.10)BNG2WVWL3 COLFAX CORP RegS 100.92 148,477.51$ 0.14% Manufacturing/Machinery 3.25 5/15/2025 BB+ (3961.51)195325BM6 COLOMBIA (REPUBLIC OF) 113.00 229,470.83$ 0.21% Non_Corprate 6.13 1/18/2041 BBB- (13590.00)195325CX1 COLOMBIA (REPUBLIC OF) 102.00 206,300.00$ 0.19% Non_Corprate 4.50 1/28/2026 BBB- 7302.00202795JM3 COMMONWEALTH EDISON COMPANY 99.36 315,437.15$ 0.29% Utility 4.00 3/1/2048 A- (1953.00)BNG18EX88 COSTA RICA REPUBLIC OF (GOVERNMEN RegS 101.27 204,440.80$ 0.19% Non_Corprate 7.16 3/12/2045 BB- (7668.00)141312AG3 CRBN 17-1A C 144A 98.90 251,120.05$ 0.23% Finace 1/20/2031 NR (2742.15)141308AA4 CRBN 17-1A D 144A 99.81 256,458.42$ 0.23% Finace 7.57 1/20/2031 NR (480.15)225401AF5 CREDIT SUISSE GROUP AG 144A 94.95 269,098.76$ 0.25% Banking 3.87 1/12/2029 BBB+ (14151.20)BMS037K67 CROATIA (REPUBLIC OF) RegS 106.05 212,896.44$ 0.19% Non_Corprate 5.50 4/4/2023 BB+ (6798.00)BRSA9KT37 CROATIA (REPUBLIC OF) RegS 106.60 325,652.08$ 0.30% Non_Corprate 6.63 7/14/2020 BB+ (10836.80)BNG1CY580 CROWN EUROPEAN HOLDINGS SA RegS 103.32 139,370.17$ 0.13% Paper/Packaging 3.38 5/15/2025 BB (3626.45)126650CX6 CVS HEALTH CORP 98.91 273,677.71$ 0.25% Healthcare 4.30 3/25/2028 BBB 869.0025272KAK9 DIAMOND 1 FINANCE CORPORATION/DIAM 144A 105.91 893,430.51$ 0.82% Technology 6.02 6/15/2026 BBB- (24099.36)25272KAD5 DIAMOND 1 FINANCE CORPORATION/DIAM 144A 101.85 879,813.75$ 0.80% Technology 4.42 6/15/2021 BBB- 15971.50BNG2XJM48 DRAX FINCO PLC RegS 100.99 156,204.04$ 0.14% Utility 4.25 5/1/2022 BB+ (1946.74)26244RAE1 DRSLF 2017-54A E 144A 100.74 377,789.06$ 0.35% Finace 7.52 10/19/2029 NR 5372.6225211CAA3 DWOLF 2017-1A E 144A 100.72 505,284.60$ 0.46% Finace 8.55 10/15/2030 NR 10572.5527830KBA1 EATON 15-1A DR 144A 99.41 248,871.08$ 0.23% Finace 4.86 1/20/2030 NR (1466.32)27830LAC6 EATON 15-1A ER 144A 98.21 246,081.03$ 0.22% Finace 7.96 1/20/2030 NR (4471.65)288547AD4 ELAT_07-2 A2C 144A 99.54 428,216.60$ 0.39% Home Equity 3.00 5/25/2037 CCC 34587.6129273RAS8 ENERGY TRANSFER PARTNERS LP 97.38 70,752.96$ 0.06% Midstream 3.60 2/1/2023 BBB- 4466.0729273RBD0 ENERGY TRANSFER PARTNERS LP 96.85 147,979.98$ 0.14% Midstream 4.05 3/15/2025 BBB- 10241.0029273RAX7 ENERGY TRANSFER PARTNERS LP 101.41 437,504.81$ 0.40% Midstream 4.15 10/1/2020 BBB- 2672.8229379VBN2 ENTERPRISE PRODUCTS OPERATING LLC 96.50 702,548.40$ 0.64% Midstream 5.25 8/16/2027 BBB- (25221.60)26884UAE9 EPR PROPERTIES 97.32 809,370.35$ 0.74% REITs 4.95 4/15/2028 BBB- (12956.30)BNG3G0TK3 EQUINIX INC 96.42 141,385.62$ 0.13% Technology 2.88 2/1/2026 BB+ (6196.83)26884TAT9 ERAC USA FINANCE LLC 144A 94.68 302,470.88$ 0.28% Transportation Services 2.70 11/1/2023 A- (16175.25)
105
LA Health Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/LBRSBDSSU4 ESKOM HOLDINGS LTD RegS 99.71 202,430.78$ 0.19% Non_Corprate 5.75 1/26/2021 CCC+ 9028.00EUR_CCASH EUR CASH(Alpha Committed) 100.00 7,774.80$ 0.01% Other 5/1/2018 NR 0.00UBM820182 EURO BUXL 30YR BOND JUN 18 163.54 -$ 0.00% Futures 6/7/2018 0.00OEM820183 EURO-BOBL JUN 18 131.00 -$ 0.00% Futures 6/7/2018 0.00RXM820188 EURO-BUND JUN 18 158.74 -$ 0.00% Futures 6/7/2018 0.00OATM82019 EURO-OAT JUN 18 153.81 -$ 0.00% Futures 6/7/2018 0.0033883HAA3 FLAT 18-1A E 144A 95.87 424,208.77$ 0.39% Finace 4/17/2031 NR (18162.41)33882FAA8 FLAT 2017-1A E 144A 100.50 255,290.57$ 0.23% Other 7.84 5/15/2030 NR 7512.33341081FQ5 FLORIDA POWER & LIGHT CO 99.44 130,158.96$ 0.12% Utility 3.95 3/1/2048 A (23.40)MARGNCAD0 FUTURES CAD MARGIN BALANCE 100.00 (28,790.91)$ -0.03% Other 1.64 5/1/2018 NR 0.00MARGNEUR3 FUTURES EUR MARGIN BALANCE 100.00 (134,112.95)$ -0.12% Other 5/1/2018 NR 0.00MARGNGBP3 FUTURES GBP MARGIN BALANCE 100.00 135,309.05$ 0.12% Other 0.51 5/1/2018 NR 0.00MARGNJPY3 FUTURES JPY MARGIN BALANCE 100.00 3,293.18$ 0.00% Other 5/1/2018 NR 0.00MARGNUSD1 FUTURES USD MARGIN BALANCE 100.00 24,301.65$ 0.02% Other 1.91 5/1/2018 NR 0.00GBP_CCASH GBP CASH(Alpha Committed) 100.00 51,602.14$ 0.05% Other 0.51 5/1/2018 NR 0.00369604BQ5 GENERAL ELECTRIC CO 99.00 1,397,118.75$ 1.28% Manufacturing/Machinery 5.00 1/21/2021 BBB+ (2796.70)37045VAL4 GENERAL MOTORS CO 113.68 308,393.33$ 0.28% Automotive 6.75 4/1/2046 BBB 37170.9037045XAY2 GENERAL MOTORS FINANCIAL CO INC 99.68 503,165.56$ 0.46% Automotive 3.20 7/13/2020 BBB 3655.00BNG1U0BB0 GHANA (REPUBLIC OF) RegS 129.27 259,495.56$ 0.24% Non_Corprate 10.75 10/14/2030 NR 46790.00375414AA7 GILBT 2017-1A E 144A 101.01 262,456.58$ 0.24% Finace 8.75 10/15/2030 NR 2614.6338141GWL4 GOLDMAN SACHS GROUP INC/THE 95.20 401,245.46$ 0.37% Banking 3.69 6/5/2028 BBB+ (19924.15)38148LAF3 GOLDMAN SACHS GROUP INC/THE 104.13 457,482.49$ 0.42% Banking 5.15 5/22/2045 BBB- 21422.6038148BAA6 GOLDMAN SACHS GROUP INC/THE 102.25 514,214.17$ 0.47% Banking 5.70 5/10/2019 BB 6394.5038141GWV2 GOLDMAN SACHS GROUP INC/THE 95.59 647,324.93$ 0.59% Banking 3.81 4/23/2029 BBB+ (29560.40)BNG2WW8S3 GRIFOLS SA RegS 100.75 148,378.24$ 0.14% Healthcare 3.20 5/1/2025 B+ (3542.70)BNG282Q80 HANESBRANDS INC RegS 104.99 154,124.52$ 0.14% Retailers 3.50 6/15/2024 BB (4834.74)22541SK23 HEMT_04-5 M2 99.79 80,554.73$ 0.07% Home Equity 3.50 2/25/2035 CC (81105.92)42809HAG2 HESS CORPORATION 96.97 856,340.22$ 0.78% Energy 4.30 4/1/2027 BBB- (14941.40)42824CAW9 HEWLETT PACKARD ENTERPRISE CO 102.79 504,676.32$ 0.46% Technology 4.90 10/15/2025 BBB 15023.4044330FAA3 HLM 13-21 DR 144A 100.95 252,996.63$ 0.23% Finace 8.96 10/20/2029 BB- 2374.50BNG1MQB22 HORIZON HOLDINGS I SASU RegS 104.59 128,532.86$ 0.12% Paper/Packaging 7.25 8/1/2023 CCC+ (3837.47)404280BJ7 HSBC HOLDINGS PLC 98.45 652,600.56$ 0.60% Banking 3.26 3/13/2023 A (10210.20)404280BL2 HSBC HOLDINGS PLC 98.70 1,185,646.80$ 1.08% Banking 6.00 5/22/2027 NR (15163.20)40431RAE5 HSIASC_07-WF1 2A4 96.28 751,254.28$ 0.69% Home Equity 2.15 5/25/2037 A 88996.67BNG0GN558 INDONESIA (REPUBLIC OF) MTN RegS 124.28 252,501.50$ 0.23% Non_Corprate 6.75 1/15/2044 BBB- 20064.00BRS9UL5T3 IVORY COAST RegS 95.66 322,734.83$ 0.29% Non_Corprate 5.75 12/31/2032 NR 10582.95
106
LA Health Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L47010BAF1 JAGUAR LAND ROVER AUTOMOTIVE PLC 144A 90.56 518,241.15$ 0.47% Automotive 4.50 10/1/2027 BB+ (53825.10)466278AE8 JPALT_07-A2 12A3 100.19 141,053.52$ 0.13% CMO 2.09 6/25/2037 CCC (150842.87)46629TAG5 JPMAC_06-CH1 M2 97.57 819,811.07$ 0.75% Home Equity 2.19 7/25/2036 BB+ 160155.9146647PAK2 JPMORGAN CHASE & CO 93.28 188,706.40$ 0.17% Banking 4.03 7/24/2048 A- (13444.00)48127FAA1 JPMORGAN CHASE & CO 101.15 513,988.89$ 0.47% Banking 5.00 7/1/2019 BBB- 17225.00BRS9W3231 KAZMUNAIGAZ NATIONAL CO RegS 106.71 129,935.44$ 0.12% Non_Corprate 7.00 5/5/2020 BB- 1577.66BRS72T298 KAZMUNAIGAZ NATIONAL CO MTN RegS 100.89 114,267.97$ 0.10% Non_Corprate 9.13 7/2/2018 BB- (11617.10)BNG3P5YZ3 KENYA GOVERNMENT BOND RegS 103.22 208,932.42$ 0.19% Non_Corprate 7.25 2/28/2028 B+ (4564.80)49456BAG6 KINDER MORGAN INC 101.81 51,999.31$ 0.05% Midstream 5.30 12/1/2034 BBB- 5948.8249456BAH4 KINDER MORGAN INC 102.44 628,422.50$ 0.57% Midstream 5.55 6/1/2045 BBB- 91284.2448251HAA5 KKR 18 E 144A 100.84 252,842.43$ 0.23% Finace 8.81 7/18/2030 NR 7147.42BNG17M293 LEBANESE REPUBLIC MTN RegS 86.94 38,773.78$ 0.04% Non_Corprate 6.65 2/26/2030 B- (1250.15)BNG2V3JR8 LEBANON (REPUBLIC OF) RegS 90.94 12,829.88$ 0.01% Non_Corprate 6.85 3/23/2027 B- (323.68)GM8201886 LONG GILT JUN 18 122.26 -$ 0.00% Futures 6/27/2018 0.0055954JAA6 MAGNE 2017-19A E 144A 100.99 255,053.05$ 0.23% Finace 8.60 7/17/2030 NR 2492.88BNG1BTZ14 MATTERHORN TELECOM HOLDING SA RegS 101.75 151,035.57$ 0.14% Telecom 4.88 5/1/2023 B- (2314.62)BNG2UNKD4 MEDICAL PROPERTIES TRUST INC RegS 102.29 148,795.91$ 0.14% REITs 3.33 3/24/2025 BBB- (4448.44)59156RBP2 METLIFE INC 102.20 328,131.56$ 0.30% Insurance 5.25 6/15/2020 BBB- 8536.5091086QAZ1 MEXICO (UNITED MEXICAN STATES) 98.50 205,478.00$ 0.19% Non_Corprate 5.75 10/12/2110 BBB+ 4736.00594918CB8 MICROSOFT CORPORATION 107.47 86,815.20$ 0.08% Technology 4.50 2/6/2057 AAA 6211.20BNG39CCW7 MILLER HOMES GROUP HOLDINGS PLC RegS 100.00 151,860.66$ 0.14% Home Construction 5.50 10/15/2024 BB- (4504.40)60162PAD4 MILOS 2017-1A D 144A 100.24 250,987.51$ 0.23% Finace 5.76 10/20/2030 NR 587.6060162QAA8 MILOS 2017-1A E 144A 100.52 503,800.64$ 0.46% Finace 8.66 10/20/2030 NR 16228.05BNG2TW2E4 MONGOLIA (GOVERNMENT OF) RegS 110.75 223,977.61$ 0.20% Non_Corprate 8.75 3/9/2024 B- 2498.4461744YAP3 MORGAN STANLEY 96.15 524,714.46$ 0.48% Banking 3.77 1/24/2029 BBB+ (20773.80)617474AA9 MORGAN STANLEY 102.50 671,565.94$ 0.61% Banking 5.55 7/15/2020 BB+ 19479.0061761JZN2 MORGAN STANLEY MTN 96.07 947,046.03$ 0.87% Banking 3.95 4/23/2027 BBB 197.0061744CPK6 MSABS_05-NC2 M4 99.84 304,642.17$ 0.28% Home Equity 2.81 3/25/2035 BBB- 43366.7961744CSJ6 MSAC_05-HE3 M4 100.84 166,455.58$ 0.15% Home Equity 2.87 7/25/2035 CCC 18714.76BRSMW3QD4 NB High Income Fund LLC Prvt 46.19 21,186,004.29$ 19.37% Funds BB- (95992.45)64352VLL3 NCHE_05-3 M3 100.05 371,619.27$ 0.34% Home Equity 2.66 7/25/2035 BBB 37785.1064352VMV0 NCHE_05-4 M2 99.45 552,079.52$ 0.50% Home Equity 2.66 9/25/2035 BBB+ 53157.97BNG39GZK9 NIDDA HEALTHCARE HOLDING AG RegS 98.52 143,253.86$ 0.13% Pharmaceuticals 3.50 9/30/2024 B+ (5563.41)65412AEK4 NIGERIA (FEDERAL REPUBLIC OF) 101.75 207,343.75$ 0.19% Non_Corprate 5.63 6/27/2022 B 2250.0048667QAN5 NK KAZMUNAYGAZ AO MTN 144A 98.35 196,990.28$ 0.18% Non_Corprate 4.75 4/19/2027 BB- (4120.00)655044AG0 NOBLE ENERGY INC 105.39 350,331.31$ 0.32% Energy 5.25 11/15/2043 BBB 234.65
107
LA Health Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/LNZD_CCASH NZD CASH(Alpha Committed) 100.00 64.99$ 0.00% Other 1.88 5/1/2018 NR 0.0067707BAD2 OAKC 17-15A D 144A 97.80 248,205.42$ 0.23% Other 1/20/2030 BBB- (5488.77)67092DAQ2 OCP 15-10A CR 144A 99.21 658,111.04$ 0.60% Finace 4.96 10/26/2027 BBB (5254.47)67092EAG2 OCP 15-10A DR 144A 100.14 323,738.00$ 0.30% Finace 7.86 10/26/2027 BB 455.8567091RAT6 OCP 15-8A CR 144A 99.50 516,367.49$ 0.47% Finace 5.15 4/17/2027 BBB (2596.37)67097QAJ4 OCP 17-14A C 144A 100.08 856,998.22$ 0.78% Finace 4.32 11/20/2030 BBB- 633.8567097TAA7 OCP 17-14A D 144A 99.70 367,440.27$ 0.34% Finace 7.22 11/20/2030 BB- (1066.16)67110DAW7 OCP 2016-11A CR 144A 100.61 615,577.42$ 0.56% Finace 6.01 10/26/2030 BBB 3719.9967092HAG5 OCP 2016-11A DR 144A 100.82 252,284.88$ 0.23% Finace 8.86 10/26/2030 BB- 12038.7367097NAA0 OCP 2017-13A D 144A 100.96 291,517.15$ 0.27% Finace 8.98 7/15/2030 BB- 11944.67BNG2HJ7Z4 OI EUROPEAN GROUP BV RegS 102.28 125,309.78$ 0.11% Paper/Packaging 3.13 11/15/2024 BB (1641.28)BNG3JMEH5 OMAN GOVERNMENT BOND MTN RegS 95.50 215,576.60$ 0.20% Non_Corprate 5.63 1/17/2028 NR (9558.88)698299BE3 PANAMA REPUBLIC OF (GOVERNMENT) 99.25 199,416.67$ 0.18% Non_Corprate 3.75 3/16/2025 BBB 2750.00BNG0WUCS6 PARAGUAY (REPUBLIC OF) RegS 108.75 220,177.22$ 0.20% Non_Corprate 6.10 8/11/2044 BB (1700.00)715638BU5 PERU (REPUBLIC OF) 102.81 207,101.58$ 0.19% Non_Corprate 4.13 8/25/2027 BBB+ 7382.0071647NAS8 PETROBRAS GLOBAL FINANCE BV 107.25 59,054.44$ 0.05% Non_Corprate 7.38 1/17/2027 BB- (1460.16)BRSDGM0E6 PETROBRAS INTERNATIONAL FINANCE CO MTN 108.14 152,177.80$ 0.14% Non_Corprate 6.25 12/14/2026 BB- (1567.86)BRS3HLBJ6 PETROLEOS DE VENEZUELA SA RegS 26.15 51,018.65$ 0.05% Non_Corprate 5.38 4/12/2027 D (13980.90)BNG0RP7Q3 PETROLEOS DE VENEZUELA SA RegS 25.25 53,441.37$ 0.05% Non_Corprate 6.00 5/16/2024 D (14535.00)BNG0FMD29 PETROLEOS DE VENEZUELA SA RegS 25.09 62,107.79$ 0.06% Non_Corprate 6.00 11/15/2026 D (3835.80)71654QCB6 PETROLEOS MEXICANOS 107.10 11,961.66$ 0.01% Non_Corprate 6.88 8/4/2026 BBB+ 801.3571654QBH4 PETROLEOS MEXICANOS 99.13 18,091.31$ 0.02% Non_Corprate 4.88 1/18/2024 BBB+ (292.32)71654QCC4 PETROLEOS MEXICANOS 96.70 19,486.25$ 0.02% Non_Corprate 6.75 9/21/2047 BBB+ (278.80)71654QBR2 PETROLEOS MEXICANOS 92.65 32,085.02$ 0.03% Non_Corprate 6.38 1/23/2045 BBB+ (2159.00)71654QCF7 PETROLEOS MEXICANOS 109.15 39,574.35$ 0.04% Non_Corprate 5.72 3/11/2022 NA 3294.0071654QCG5 PETROLEOS MEXICANOS 103.30 374,935.00$ 0.34% Non_Corprate 6.50 3/13/2027 BBB+ (7873.20)71654QCJ9 PETROLEOS MEXICANOS 144A 91.70 98,660.38$ 0.09% Non_Corprate 6.35 2/12/2048 BBB+ (6735.63)71654QCD2 PETROLEOS MEXICANOS MTN 98.70 40,671.20$ 0.04% Non_Corprate 4.63 9/21/2023 BBB+ (534.23)71654QCH3 PETROLEOS MEXICANOS MTN 144A 95.14 96,299.17$ 0.09% Non_Corprate 5.35 2/12/2028 BBB+ (4860.00)69689GAA5 PLMR 18-1A D 99.96 327,567.34$ 0.30% Finace 7.33 4/18/2031 BB- (144.85)69688YAG4 PLMRS 14-1A DR2 99.59 249,700.41$ 0.23% Finace 8.05 1/17/2031 BB- (1026.57)69689DAG9 PLMRS_15-2A DR 144A 100.94 327,555.41$ 0.30% Finace 8.86 7/20/2030 BB- 8553.4676112BA59 RAMP_05-RZ3 M4 95.08 760,940.20$ 0.70% Finace 2.83 9/25/2035 CCC 120626.0876112BS68 RAMP_05-SP3 M2 100.20 676,603.93$ 0.62% Home Equity 2.70 12/25/2035 A 92476.0874978AAD2 RAMP_07-SP1 M1 98.74 217,293.53$ 0.20% Home Equity 2.47 3/25/2037 BB 35030.6476110WX27 RASC_05-KS5 M6 99.97 250,025.63$ 0.23% Home Equity 2.95 6/25/2035 BB 33048.30
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LA Health Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/L76110W3U8 RASC_05-KS8 M4 100.63 327,160.73$ 0.30% Home Equity 2.78 8/25/2035 BB+ 34738.27445545AF3 REPUBLIC OF HUNGARY 140.74 127,255.14$ 0.12% Non_Corprate 7.63 3/29/2041 BBB- 3589.20761713BB1 REYNOLDS AMERICAN INC 112.50 318,420.90$ 0.29% Tobacco 5.85 8/15/2045 BBB+ 13630.40BNG31ZV78 RUSSIAN FEDERATION RegS 97.59 198,187.01$ 0.18% Non_Corprate 4.25 6/23/2027 BBB- (4811.60)863576DK7 SASC_05-WF4 M5 99.36 387,672.89$ 0.35% Home Equity 2.83 11/25/2035 BB+ 71619.76BNG3T37L5 SAUDI ARABIA (KINGDOM OF) MTN RegS 98.64 197,605.00$ 0.18% Non_Corprate 4.50 4/17/2030 NA (1584.00)BNG3M6K55 SCIENTIFIC GAMES INTERNATIONAL INC RegS 96.83 117,847.47$ 0.11% Lodging/Leisure 3.38 2/15/2026 B+ (1876.36)BRSCY8D88 SERBIA REPUBLIC OF (GOVERNMENT) RegS 110.45 222,185.69$ 0.20% Non_Corprate 7.25 9/28/2021 BB (3103.20)BNG0PN8L0 SFR GROUP SA RegS 103.28 126,192.71$ 0.12% Telecom 5.63 5/15/2024 B (820.45)836205AQ7 SOUTH AFRICA (REPUBLIC OF) 99.52 352,998.48$ 0.32% Non_Corprate 4.67 1/17/2024 BB (16155.00)84302LAA0 SOUTHERN GAS CORRIDOR 144A 109.25 226,471.25$ 0.21% Non_Corprate 6.88 3/24/2026 NA 3668.86BNG2B2936 SRI LANKA (DEMOCRATIC SOCIALIST RE RegS 101.38 206,627.10$ 0.19% Non_Corprate 6.83 7/18/2026 B+ 2759.603137G0NX3 STACR 17-DNA2 M2 109.53 1,139,868.14$ 1.04% CMO 5.35 10/25/2029 NR 99095.783137G0PU7 STACR 17-HQA2 M2 103.72 259,470.31$ 0.24% CMO 4.55 12/25/2029 NR 9312.433137G0UD9 STACR 18-HQA1 M2 101.47 599,038.46$ 0.55% CMO 4.20 9/25/2030 NR 8694.54BNG00K8X7 STATE OIL CO OF AZERBAIJAN REPUBLI MTN RegS 99.65 200,540.28$ 0.18% Non_Corprate 4.75 3/13/2023 BB- 38000.00BNG2TS5F7 STONEGATE PUB COMPANY FINANCING PL RegS 99.05 150,992.42$ 0.14% Lodging/Leisure 4.88 3/15/2022 B- (2099.99)87165BAD5 SYNCHRONY FINANCIAL 98.29 94,212.85$ 0.09% Banking 4.25 8/15/2024 BBB- (331.32)BNG2PYJH9 TALKTALK TELECOM GROUP PLC RegS 100.75 140,927.30$ 0.13% Telecom 5.38 1/15/2022 BB- 271.35B0A09GSG8 TELECOM ITALIA FINANCE SA MTN 150.09 202,186.68$ 0.18% Telecom 7.75 1/24/2033 BB+ (1972.82)87938WAV5 TELEFONICA EMISIONES SAU 99.12 394,295.91$ 0.36% Telecom 4.67 3/6/2038 BBB (3468.10)BNG3FGHB2 TELEFONICA EUROPE BV RegS 98.66 120,460.09$ 0.11% Telecom 2.63 6/7/2023 BB+ (1412.51)B04790133 TESCO PLC MTN 122.79 206,692.52$ 0.19% Retailers 6.00 12/14/2029 BB+ 3906.8087249DAA7 TICP 18-10A E 144A 97.36 243,394.70$ 0.22% Finace 4/20/2031 NR (6605.30)887317AK1 TIME WARNER INC 103.85 453,505.02$ 0.41% Cable/Media 4.75 3/29/2021 BBB (22911.45)912796MB2 TREASURY BILL 99.90 599,388.00$ 0.55% Treasuries 5/24/2018 Govt 5214.67912810RT7 TREASURY BOND 84.08 67,634.36$ 0.06% Treasuries 2.25 8/15/2046 AA+ (890.17)912810QK7 TREASURY BOND 113.42 188,454.96$ 0.17% Treasuries 3.88 8/15/2040 AA+ (2448.02)912828V98 TREASURY NOTE 94.71 1,094,500.36$ 1.00% Treasuries 2.25 2/15/2027 AA+ (4955.71)9128283U2 TREASURY NOTE 98.20 1,570,727.75$ 1.44% Treasuries 2.38 1/31/2023 AA+ (8610.26)89531GAA3 TREST 2017-1A D 144A 101.04 252,921.87$ 0.23% Finace 9.04 7/25/2029 NR 4358.00900123AW0 TURKEY (REPUBLIC OF) 109.59 111,334.32$ 0.10% Non_Corprate 7.38 2/5/2025 NR (11452.90)900123CF5 TURKEY (REPUBLIC OF) 101.38 203,967.89$ 0.19% Non_Corprate 5.75 3/22/2024 NR (6794.00)90015JAA0 TURKIYE ZIRAAT BANKASI AS 144A 97.28 199,597.58$ 0.18% Non_Corprate 5.13 5/3/2022 NR (4356.00)90351DAB3 UBS GROUP FUNDING (JERSEY) LTD 144A 99.43 579,109.70$ 0.53% Banking 4.13 9/24/2025 A- (980.20)903724AW2 UKRAINE (GOVERNMENT OF) 144A 67.53 51,325.08$ 0.05% Non_Corprate 5/31/2040 B- 15120.96
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LA Health Plan Holdings (continued)
_______________________ This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.
As of April 30, 2018
Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Symbol Unrealized G/LBNG395L10 UKRAINE REPUBLIC OF (GOVERNMENT) RegS 92.27 185,974.03$ 0.17% Non_Corprate 7.38 9/25/2032 B- (15460.00)BNG33UJ63 UNITED GROUP BV RegS 102.25 150,097.73$ 0.14% Cable/Media 4.38 7/1/2022 B (2549.12)BNG311CL3 UPC HOLDING BV RegS 94.97 115,712.08$ 0.11% Cable/Media 3.88 6/15/2029 B (437.06)760942BA9 URUGUAY (ORIENTAL REPUBLIC OF) 98.25 167,200.40$ 0.15% Non_Corprate 5.10 6/18/2050 BBB (4441.99)TYM820184 US 10YR NOTE JUN 18 119.63 -$ 0.00% Futures 6/20/2018 0.00TUM820182 US 2YR NOTE JUN 18 106.02 -$ 0.00% Futures 6/29/2018 0.00FVM820185 US 5YR NOTE JUN 18 113.51 -$ 0.00% Futures 6/29/2018 0.00USM820185 US LONG BOND JUN 18 143.84 -$ 0.00% Futures 6/20/2018 0.00UXYM82016 US ULTRA 10YR NOTE JUN 18 127.89 -$ 0.00% Futures 6/20/2018 0.00WNM820184 US ULTRA T-BOND JUN 18 157.13 -$ 0.00% Futures 6/20/2018 0.00USD_CCASH USD CASH(Alpha Committed) 100.00 1,011,500.92$ 0.92% Other 1.91 5/1/2018 UNK 0.00BNG3UKW2P USD/EUR 1.21 (31,639.94)$ -0.03% FX 7/24/2018 (31639.94)BNG3UKW2R USD/EUR 0.83 31,264.09$ 0.03% FX 7/24/2018 31264.0991911TAP8 VALE OVERSEAS LTD 110.29 765,000.39$ 0.70% Metals and Mining 6.25 8/10/2026 BBB- (1602.25)BRS8TF7N1 VENEZUELA (BOLIVARIAN REPUBLIC OF) RegS 28.50 14,079.00$ 0.01% Non_Corprate 8.25 10/13/2024 D 3123.5592343VBR4 VERIZON COMMUNICATIONS INC 107.51 97,338.38$ 0.09% Telecom 5.15 9/15/2023 BBB+ (1573.92)92343VCZ5 VERIZON COMMUNICATIONS INC 91.57 489,327.12$ 0.45% Telecom 4.67 3/15/2055 BBB+ 31752.6392343VDY7 VERIZON COMMUNICATIONS INC 99.69 671,280.82$ 0.61% Telecom 4.13 3/16/2027 BBB+ 2887.70BNG0M8F87 VIRGIN MEDIA SECURED FINANCE PLC RegS 105.50 147,827.28$ 0.14% Cable/Media 6.25 3/28/2029 BB- (3682.83)BNG2XJGP8 VOYAGE CARE BONDCO PLC RegS 99.99 155,914.46$ 0.14% Healthcare 5.88 5/1/2023 B+ (5272.90)94974BGR5 WELLS FARGO & COMPANY 98.54 398,207.67$ 0.36% Banking 2.55 12/7/2020 A- (5416.00)BNG3CFM62 WIND TRE SPA RegS 88.04 151,516.79$ 0.14% Telecom 3.13 1/20/2025 BB- (4158.10)98625TAQ8 YCLO 15-1A DR 144A 100.12 394,913.75$ 0.36% Finace 4.96 1/22/2031 NR 479.34AUD AUD Forwards 1.32 (49,217.62)$ -0.04% FX (49217.62)CAD CAD Forwards 1.28 (18,578.55)$ -0.02% FX (18578.55)CHF CHF Forwards 1.01 56,292.43$ 0.05% FX 56292.43EUR EUR Forwards 1.21 186,976.11$ 0.17% FX 186976.11GBP GBP Forwards 1.38 81,446.19$ 0.07% FX 81446.19JPY JPY Forwards 109.43 7,406.97$ 0.01% FX 7406.97KRW KRW Forwards 1068.05 898.22$ 0.00% FX 898.22MXN MXN Forwards 18.78 (8.43)$ 0.00% FX (8.43)NOK NOK Forwards 8.01 (65,931.58)$ -0.06% FX (65931.58)NZD NZD Forwards 1.42 65,893.91$ 0.06% FX 65893.91SEK SEK Forwards 8.74 (176,900.03)$ -0.16% FX (176900.03)ZAR ZAR Forwards 12.48 2.00$ 0.00% FX 2.00
110
DISCLOSURES
Index Definitions
ABS – This index is the ABS component of the Bloomberg Barclays U.S. Aggregate index. The index includes pass-through, bullet, and controlled amortization structures. The ABS Index includes only the senior class of each ABS issue and the ERISA-eligible B and C tranche. Agencies – The Bloomberg Barclays U.S. Agency Bond Index measures the performance of the agency sector of the U.S. government bond market and is comprised of investment-grade native-currency U.S. dollar-denominated debentures issued by government and government-related agencies, including the Federal National Mortgage Association (“FNMA” or “Fannie-Mae’). The Index includes both callable and non-callable agency securities that are publicly issued by U.S. government agencies, quasi-federal corporations, and corporate and foreign debt guaranteed by the U.S. government. Aggregate – The Bloomberg Barclays U.S. Aggregate Index covers the USD-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, Government-Related, Corporate, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS sectors. The U.S. Aggregate Index is a component of the U.S. Universal Index in its entirety. The index was created in 1986, with index history backfilled to January 1, 1976. Senior Floating Rate Loans – The US High-Yield Loans Index, also known as the Senior Floating Loan Index, provides broad and comprehensive total return metrics of the universe of syndicated term loans. To be included in the index, a senior floating rate loan must be dollar denominated, have at least $150 million funded loan, a minimum term of one year, and a minimum initial spread of LIBOR+125. CMBS - The Bloomberg Barclays Commercial Mortgage-Backed Securities (CMBS) Index family consists of four components: CMBS Investment-Grade Index, CMBS High-Yield Index, CMBS Interest-Only Index, and Commercial Conduit Whole Loan Index (all bond classes and interest-only classes). The CMBS Investment-Grade Index is further subdivided into two components: The U.S. Aggregate-eligible component that contains bonds that are ERISA eligible under the underwriter's exemption and the non-U.S. Aggregate-eligible component that consists of bonds that are not ERISA eligible. The CMBS Indices were launched on January 1, 1997. Corporates - The Bloomberg Barclays Investment Grade Credit Index is publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered. EMD (CEMBI) - J.P. Morgan’s Corporate Emerging Markets Bond Index (CEMBI) is a global, liquid corporate emerging markets benchmark that tracks U.S.-denominated corporate bonds issued by emerging markets entities. The corporate CEMBI is a liquid basket of emerging markets corporate issues with strict liquidity criteria for inclusion in order to provide replicability, tradability, robust pricing and data integrity. EMD (EMBI Global) - The EMBI Global Diversified limits the weights of the J.P. Morgan Emerging Markets Bond Index Global ("EMBI Global") index countries with larger debt stocks by only including a specified portion of these countries’ eligible current face amounts of debt outstanding. The EMBI Global index tracks total returns for traded external debt instruments in the emerging markets, and is an expanded version of the JPMorgan EMBI+. As with the EMBI+, the EMBI Global includes U.S. dollar-denominated Brady bonds, loans, and Eurobonds with an outstanding face value of at least $500 million. It covers more of the eligible instruments than the EMBI+ by relaxing somewhat the strict EMBI+ limits on secondary market trading liquidity. EMD (GBI Global) - GBI-EM Global is an investable benchmark that includes only those countries that are directly accessible by most of the international investor base. The GBI-EM GLOBAL excludes countries with explicit capital controls, but does not factor in regulatory/tax hurdles in assessing eligibility. Specifically, it includes all GBI-EM countries, as well as the Brazil NTN-F, LTN, and the Colombia local TES tasa fija bond.
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Index Definitions (continued)
Global Agg (ex USD) - The Global Aggregate Index provides a broad-based measure of the global investment-grade fixed-rate debt markets. The Global Aggregate Index contains three major components: the U.S. Aggregate Index (USD 300 million), the Pan-European Aggregate Index (EUR 300 million), and the Asian-Pacific Aggregate Index (JPY 35 billion). In addition to securities from these three benchmarks (94.9% of the overall Global Aggregate market value), the Global Aggregate Index includes Global Treasury, Eurodollar (USD 300 million), Euro-Yen (JPY 35 billion), Canadian (USD 300 million equivalent), and Investment-Grade 144A (USD 300 million) index-eligible securities not already in the three regional aggregate indices. The Global Aggregate Index family includes a wide range of standard and customized subindices by liquidity constraint, sector, quality, and maturity. The Global Aggregate Index is a component of the Multiverse Index. The Global Aggregate Index was created in 1999, with index history backfilled to January 1, 1990. HY – The Bloomberg Barclays U.S. Corporate High-Yield Index the covers the USD-denominated, non-investment grade, fixed-rate, taxable corporate bond market. Securities are classified as high-yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below. The index excludes Emerging Markets debt. The index was created in 1986, with index history backfilled to January 1, 1983. The U.S. Corporate High-Yield Index is part of the U.S. Universal and Global High-Yield Indices. Long BBB Credit – This is the long component of the Bloomberg Barclays U.S. Credit Baa index. The index includes publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered. The U.S. Credit Index is the same as the former U.S. Corporate Investment Grade Index, which has been renamed as the U.S. Credit Index. The name change is effective as of 6/1/00 (for statistics) and as of 7/1/00 (for returns). Long Corporates – The Bloomberg Barclays U.S. Long Credit index includes investment grade corporate and non-corporate credit bonds that are dollar denominated and have a remaining maturity of greater than or equal to 10 years. As of December 31, 2008, the Index included 965 issues with an average dollar-weighted maturity of 24.39 years. Long Govt/Credit – The Bloomberg Barclays U.S. Long Government/Credit Bond Index measures performance of U.S. dollar denominated U.S. Treasuries, government-related, and investment grade U.S. corporate securities that have a remaining maturity of greater than or equal to 1 year. In addition, the securities have $250 million or more of outstanding face value, and must be fixed rate and non-convertible. Mortgages – The Bloomberg Barclays Mortgage Backed Securities Index is an unmanaged index of mortgage pools of the Government National Mortgage Association, Federal Home Loan Mortgage Corporation and Federal National Mortgage Association. TIPS - The Bloomberg Barclays U.S. Treasury Inflation Protected Securities ("TIPS") Index measures the performance of intermediate (1-10 year) U.S. Treasury Inflation Protected Securities.
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Additional Disclosures
Institutional-Oriented Equity and Fixed Income AUM Benchmark Outperformance Note: Institutional-oriented equity and fixed income assets under management (“AUM”) includes the firm’s equity and fixed income institutional separate account (“ISA”), registered fund, and managed account/wrap (“MAG”) offerings and are based on the overall performance of each individual investment offering against its respective benchmark offerings and are based on the overall performance of each individual investment offering against its respective benchmark. High net worth/private asset management (“HNW”) AUM is excluded. For the period ending March 31, 2018, the percentage of total institutional-oriented equity AUM outperforming the benchmark was as follows: 10-year: 87%; 5-year: 79%; and 3-year: 78% ; and total institutional-oriented fixed income AUM outperforming was as follows: 10-year:77%; 5-year:65%; and 3-year: 68%. If HNW AUM were included, total equity AUM outperforming the benchmark was as follows: 10-year: 63%; 5-year: 55%; and 3-year: 56%; and total fixed income AUM outperforming was as follows: 10-year: 77%; 5-year: 65%; and 3-year: 68%. Equity and Fixed Income AUM outperformance results are asset weighted so individual offerings with the largest amount of assets under management have the largest impact on the results. As of 3/31/2018, five institutional-oriented equity offerings accounted for approximately 50% of the total firm institutional-oriented equity AUM reflected, and nine institutional-oriented fixed income offerings accounted for approximately 52% of the total firm institutional-oriented fixed income AUM reflected. Performance for the individual offerings reflected are available upon request. AUM for multi-asset class, balanced and alternative (including long-short equity or fixed income) offerings, as well as AUM for hedge fund, private equity and other private investment vehicle offerings are not reflected in the AUM outperformance results shown. AUM outperformance is based on gross of fee returns. Gross of fee returns do not reflect the deduction of investment advisory fees and other expenses. If such fees and expenses were reflected, AUM outperformance results would be lower. Investing entails risk, including possible loss of principal. Past performance is no guarantee of future results. Private Equity Outperformance Note: The performance information includes all funds, both commingled and custom, managed by NB Alternatives Advisers LLC with vintage years of 2005 – 2015, with the exception of a closed-end, public investment company registered under the laws of Guernsey (the “Funds”). Accounts that are only monitored are excluded. Vintage years post 2015 are excluded as benchmark information is not yet available. Please note that private debt funds are also excluded as benchmark data is not yet available for the applicable vintages. Percentages are based on the number of funds, calculated as the total number of funds whose performance exceeds their respective benchmarks divided by the total number of all funds with vintage years of 2005 through 2015. Performance is measured by net IRR, MOIC, and DPI and is compared to the respective index’s median net IRR, MOIC and DPI, respectively. The Cambridge Secondary Index was used for secondary-focused funds; the Cambridge Buyout and Growth Equity for US and Developed Europe was used for co-investment-focused funds; the Cambridge Fund of Funds Index was used for commingled funds and custom portfolios comprised of primaries, secondaries and co-investments; and the Cambridge Global Private Equity was used for strategies focused on minority stakes in asset managers fund and healthcare credit. The Cambridge Associates LLC indices data is as of September 30, 2017, which is the most recent data available. The Cambridge Associates Fund of Funds Index is the benchmark recommended by the CFA Institute for benchmarking overall private equity fund of funds performance. The benchmark relies on private equity funds self-reporting data for compilation and as such is subject to the quality of the data provided. The median net multiple of Cambridge Associates Fund of Funds Index is presented for each vintage year as of September 30, 2017, the most recent available. Cambridge Associates data provided at no charge. While one of the secondary funds closed in 2008, Cambridge Associates classifies that particular fund as a 2007 vintage year fund (the year of its formation) and, therefore, the Cambridge Associates benchmarks used herein are for 2007 vintage year funds. Private Offerings: Certain strategies referenced herein may only be available through a private offering of interests made pursuant to offering and subscription documents, which will be furnished solely to qualified investors on a confidential basis at their request for their consideration in connection with an offering. These documents will contain information about the investment objective, terms and conditions of an investment in such vehicle and will also contain tax information and risk disclosures that are important to an investment decision. Any decision to invest in such vehicle should be made after a careful review of these documents, the conduct of such investigations as an investor deems necessary or appropriate and after consultation with legal, accounting, tax and other advisors in order to make an independent determination of the suitability and consequences of an investment in such vehicle.
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Additional Disclosures (continued) This material is intended as a broad overview of the portfolio managers' current style, philosophy and process. This material is presented solely for informational purposes and nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security. No recommendation or advice is being given as to whether any investment or strategy is suitable for a particular investor. Information is obtained from sources deemed reliable, but there is no representation or warranty as to its accuracy, completeness or reliability. All information is current as of the date of this material and is subject to change without notice. Any views or opinions expressed may not reflect those of the firm as a whole. Third-party economic, market or security estimates or forecasts discussed herein may or may not be realized and no opinion or representation is being given regarding such estimates or forecasts. Certain products and services may not be available in all jurisdictions or to all client types. Unless otherwise indicated, returns shown reflect reinvestment of dividends and distributions. Indexes are unmanaged and are not available for direct investment. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results. We do not represent that the information contained herein is accurate or complete, and it should not be relied upon as such. Certain information contained herein has been obtained from published sources and/or prepared by third parties. While such sources are believed to be reliable, none of Neuberger Berman or any of its affiliates or employees assume any responsibility for the accuracy or completeness of such information. Firm history/timeline information dates back to the 1939 founding of Neuberger & Berman (the predecessor to Neuberger Berman Investment Advisers LLC), and highlights key business expansions, including those that resulted from acquisitions of the various affiliated investment advisers that now comprise the firm. Investment professionals referenced include: Equity portfolio managers, research analysts/associates, traders, and product specialists; Fixed Income portfolio managers, research analysts/associates, traders, and investment support (product specialists, portfolio analysts, and trading support); Alternatives investment professionals who are involved in the decisions concerning asset allocation, investment monitoring and making new investments (includes two consultants). Average years experience does not include Equity product specialists or Fixed Income investment support. Credit quality generally reflects the average credit quality of three Nationally Recognized Statistical Ratings Organizations (NRSROs), S&P, Moody’s and Fitch, as calculated internally by the investment adviser. Holdings that are unrated by any NRSRO may be assigned an equivalent rating by the investment manager. If NRSRO ratings differ for a particular holding, the average rating is generally used. No NRSRO has been involved with the calculation of average credit quality and the ratings of underlying portfolio holdings should not be viewed as a rating of the portfolio itself. Portfolio holdings, underlying ratings of holdings and average credit may change materially overtime. Representative portfolio information (characteristics, holdings, weightings, etc.) is based upon the composite or a representative/model account. Representative accounts are selected based on such factors as size, length of time under management and amount of restrictions. Any segment level performance shown (equity only or fixed income only) is presented gross of fees and focuses exclusively on the investments in that particular segment of the portfolio being measured (equity or fixed income holdings) and excludes cash. Client accounts are individually managed and may vary significantly from composite performance and representative portfolio information. Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities, companies, sectors or markets identified and described were or will be profitable. The Fund is subject to the general risk of fixed income securities. A bond’s value may fluctuate based on interest rates, market conditions, credit quality and other factors. You may have a gain or loss if you sell your bonds prior to maturity. Of course, bonds are subject to the credit risk of the issuer. If sold prior to maturity, municipal securities are subject to gain/losses based on the level of interest rates, market conditions and the credit quality of the issuer. Income may be subject to the alternative minimum tax (AMT) and/or state and local taxes, based on the investor’s state of residence. High-yield bonds, also known as “junk bonds,” are considered speculative and carry a greater risk of default than investment-grade bonds. Their market value tends to be more volatile than investment-grade bonds and may fluctuate based on interest rates, market conditions, credit quality, political events, currency devaluation and other factors. High yield bonds are not suitable for all investors and the risks of these bonds should be weighed against the potential rewards. Neither Neuberger Berman nor its employees provide tax or legal advice. You should contact a tax advisor regarding the suitability of tax-exempt investments in your portfolio. Gross returns do not reflect the deduction of advisory fees and other expenses, which will reduce returns. Investment advisory fees have a compounding effect on cumulative results. For example, assume Neuberger Berman achieves a 10% annual return prior to the deduction of fees each year for a period of ten years. If an annual advisory fee of 1.00% of assets under management for the ten-year period were charged, the resulting annual average return after fees would be reduced to 8.90%. Performance results will vary based upon the period measured. Additional information regarding fees can be found in Neuberger Berman’s Form ADV, Part 2, which is available upon request. Statements contained herein are based on current expectations, estimates, projections, opinions and/or beliefs of Neuberger Berman. Such statements involve known and unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon. Moreover, certain information contained herein constitutes “forward looking” statements, which often can be identified by the use of forward looking terminology such as “may,” “will,” “seek,” “should,” “expect,” “anticipate,” “project,” “estimate,” “intend,” “continue,” “target,” “plan” or “believe” or the negatives thereof or other variations thereon or comparable terminology. Such statements are necessarily speculative in nature, as they are based on certain assumptions. It can be expected that some or all of the assumptions underlying such statements will not reflect actual conditions. Accordingly, there can be no assurance that any estimated projections, forecast or estimates will be realized or that the forward looking statements will materialize. Due to various risks and uncertainties, including those set forth herein, actual events or results or the actual performance of any security referenced herein may differ materially from those reflected or contemplated in such forward looking statements. All information as of the date indicated. Firm data, including employee and assets under management figures, reflect collective data for the various affiliated investment advisers that are subsidiaries of Neuberger Berman Group LLC (the “firm”). Firm history and timelines include the history and business expansions of all firm subsidiaries, including predecessor entities and acquisition entities. Investment professionals referenced include portfolio managers, research analysts/associates, traders, and product specialists and team dedicated economists/strategists. This material is being issued on a limited basis through various global subsidiaries and affiliates of Neuberger Berman Group LLC. Please visit www.nb.com/disclosure-global-communications for the specific entities and jurisdictional limitations and restrictions. Neuberger Berman Investment Advisers LLC is a registered investment adviser. The “Neuberger Berman” name and logo are registered service marks of Neuberger Berman Group LLC. © 2018 Neuberger Berman Group LLC. All rights reserved. 115
Additional Disclosures (continued) This material is provided for informational purposes only and nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security. Information is obtained from sources deemed reliable, but there is no representation or warranty as to its accuracy, completeness or reliability. All information is current as of the date of this material and is subject to change without notice. Any views or opinions expressed may not reflect those of the firm as a whole. Neuberger Berman products and services may not be available in all jurisdictions or to all client types. Investing entails risks, including possible loss of principal. Investments in hedge funds and private equity are speculative and involve a higher degree of risk than more traditional investments. Investments in hedge funds and private equity are intended for sophisticated investors only. Indexes are unmanaged and are not available for direct investment. Past performance is no guarantee of future results. This material has been issued for use by the following entities; in the U.S. and Canada by Neuberger Berman BD LLC, a U.S. registered investment advisor and broker-dealer and member FINRA/SIPC; in Europe, Latin America and the Middle East by Neuberger Berman Europe Limited, which is authorised and regulated by the UK Financial Conduct Authority and is registered in England and Wales, Lansdowne House, 57 Berkeley Square, London, W1J 6ER, and is also regulated by the Dubai Financial Services Authority as a Representative Office; in Australia by Neuberger Berman Australia Pty Ltd (ACN 146 033 801, AFS Licence No. 391401), which is licensed and regulated by the Australian Securities and Investments Commission to deal in, and to provide financial product advice for, certain financial products to wholesale clients; in Hong Kong by Neuberger Berman Asia Limited, which is licensed and regulated by the Hong Kong Securities and Futures Commission; in Singapore by Neuberger Berman Singapore Pte. Limited (Company No. 200821844K),which currently carries out the regulated activity of fund management under the Securities and Futures Act (Chapter 289) (“SFA”) and operates as an Exempt Financial Adviser under section 23(1)(d) of the Financial Advisers Act (Chapter 110) (“FAA”) of Singapore. Under the FAA, NB Singapore is exempted from Sections 25, 27 and 36 of the FAA, where its financial advisory service is provided to an accredited or expert investor (as defined in Section 4A of the SFA); in Taiwan to specific professional investors or financial institutions for internal use only by Neuberger Berman Taiwan Limited, which is licensed and regulated by the Financial Services Commission (“FSC”) and a separate entity and independently operated business, with FSC operating license no.:(102) FSC SICE no.011, and address at: 10F, No. 1, Songzhi Road, Taipei, Telephone number: (02) 87268280; and in Japan and Korea by Neuberger Berman East Asia Limited, which is authorized and regulated by the Financial Services Agency of Japan and the Financial Services Commission of Republic of Korea, respectively (please visit http://www.nb.com/japan/risk_eng.html for additional disclosure items required under the Financial Instruments and Exchange Act of Japan). Except for the foregoing, this material is not intended for use or distribution within or aimed at the residents of any other country or jurisdiction. This document is not an advertisement and is not intended for public use or additional distribution in the following jurisdictions: Brunei, Thailand, Malaysia and China. This material is general in nature and is not directed to any category of investors and should not be regarded as individualized, a recommendation, investment advice or a suggestion to engage in or refrain from any investment-related course of action. Neuberger Berman is not providing this material in a fiduciary capacity and has a financial interest in the sale of its products and services. Investment decisions and the appropriateness of this material should be made based on an investor's individual objectives and circumstances and in consultation with his or her advisors. This material may not be used for any investment decision in respect of any U.S. private sector retirement account unless the recipient is a fiduciary that is a U.S. registered investment adviser, a U.S. registered broker-dealer, a bank regulated by the United States or any State, an insurance company licensed by more than one State to manage the assets of employee benefit plans subject to ERISA (and together with plans subject to Section 4975 of the Internal Revenue Code, “Plans”), or, if subject to Title I of ERISA, a fiduciary with at least $50 million of client assets under management and control, and in all cases financially sophisticated, capable of evaluating investment risks independently, both in general and with regard to particular transactions and investment strategies. This means that “retail” retirement investors are expected to engage the services of an advisor in evaluating this material for any investment decision. If your understanding is different, we ask that you inform us immediately. This material is being issued on a limited basis through various global subsidiaries and affiliates of Neuberger Berman Group LLC. Please visit http://www.nb.com/disclosure-global-communications for the specific entities and jurisdictional limitations and restrictions. Neuberger Berman Investment Advisers LLC is a registered investment adviser. The “Neuberger Berman” name and logo are registered service marks of Neuberger Berman Group LLC. © 2018 Neuberger Berman Group LLC. All rights reserved.
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NEUBERGER BERMAN FIXED INCOME SECTOR VIEWS AND RETURN ESTIMATES Return Estimates May Not Materialize. Neuberger Berman investment views and estimates are formulated by our specialty fixed income teams. For a variety of fixed income sectors we identify a range of outcomes that either may occur or alternatively be anticipated and then priced into the market. For each sector we formulate an investment view based on proprietary fundamental research and quantitative analysis which are used to project return estimates and a confidence level associated with the return outlook. Each sector team will establish an independent view based on internal research, and a level of confidence in the outlook. The sector view is formulated by identifying various states of the economy and market (i.e. outcomes) estimation typically over a 12-month horizon. Each state or outcome is probability weighted to determine the overall sector view. View Uncertainty quantifies the confidence of the return estimate by measuring return standard deviation across the “states of the world”. A wider dispersion of the states of the world, represented by a larger standard deviation, indicates a lower degree of confidence, or, a higher degree of uncertainty. The reassessment of sector views is ongoing and formally updated at least monthly. Sector views should not be construed as research or investment advice and do not constitute a recommendation to buy, sell or hold securities in any sector. The return estimates contained herein are being shown to illustrate the investment decision-making process and are not intended to provide any predictions or guarantee about the future returns of any security, asset class or portfolio. Projections or other forward-looking statements regarding future events, targets or estimations/expectations are only current as of the date indicated. There is no assurance that such events or projections will occur, and may be significantly different than that shown here. The information in this presentation, including statements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for other reasons. The return estimates presented represent approximate mid-points within a range of targeted yields, spreads and returns and are presented only as an example of how Neuberger Berman may construct a portfolio based on its views of the credit markets and sub-markets. The returns presented are an economic prediction and are the views of the portfolio manager as of the date hereof and are subject to change. Return estimates are based on qualitative and quantitative analysis of historical and current information. There is no assurance that the returns presented will be realized or that an investment strategy will be successful. Investors should keep in mind that markets are volatile and unpredictable. There are no guarantees that the historical performance of an investment, portfolio, or asset class will have a direct correlation with its future performance. Generally, our 12-month and 24-month views and estimates are an input in our asset allocation decisions. Neuberger Berman believes the return estimates set forth herein is reasonable based on a combination of factors, including the investment team’s general experience and assessment of prevailing market conditions and investment opportunities. There are, however, numerous assumptions that factor into the return estimates that may not be consistent with future market conditions and that may significantly affect actual investment results. Such assumptions include, but are not limited to, 1) current monetary policy, inflation estimates and other fundamental and technical factors determine interest rate levels in the credit markets, 2) historical data and trends in the fixed income asset classes presented and 3) anticipated interest rate movements. Neuberger Berman does not make any representation as to the reasonableness of the assumptions or that all the assumptions used in calculating the return estimates have been stated or fully considered. Neuberger Berman’s ability to achieve investment results consistently, in the aggregate or with regard to any particular fixed income sector, with the returns set forth herein depends significantly on a number of factors in addition to the accuracy of its assumptions. These include Neuberger Berman’s ability to identify a sufficient number and mix of suitable investments. Changes in the assumptions may have a material impact on the targeted returns presented. All data is shown before fees, transaction costs and taxes and does not account for the effects of inflation. Management fees, transaction costs and potential expenses are not considered and would reduce returns. Actual results experienced by clients may vary significantly from the illustrations shown.
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NEUBERGER BERMAN FIXED INCOME SECTOR VIEWS AND RETURN ESTIMATES (CONTINUED) State Space Analysis* and Definitions *In control engineering, state-space analysis (also known as the "time-domain approach") provides a convenient and compact way to model and analyze systems with multiple inputs and outputs. We have adopted the terminology and aspects of the underlying philosophy within our asset allocation framework. State-Space Analysis is a proprietary framework used to analyze investment views and produce a return estimate and confidence level for each sector. This framework systematically integrates our internally driven research into our asset allocation framework as well as our portfolio construction process. For each sector we use our three step State-Space Analysis framework to determine return estimates (typically over a one year horizon) in addition to a confidence level (or probability distribution) for our return estimate. Each sector specialist team performs this analysis independently based on proprietary fundamental research and quantitative analysis with the results vetted and finalized by the portfolio management team. In step 1 we articulate a range of potential outcomes that describe risk and return based on various economic or market driven scenarios. These outcomes are referred to as “states of the world.” Each state or outcome is probability weighted to determine the overall sector view. In step 2 we determine what we believe is the appropriate impact on valuation for each outcome which is then used to calculate our return estimate (including price return, carry return and total return estimates). Finally, in step 3 we apply our subjective probabilities of each outcome actually occurring. With these steps we have described the distribution of our beliefs for each sector and can calculate a return estimate for each sector and importantly how confident we are in each return estimate. All of our decisions incorporate an aspect of macro analysis and are used as an input in our investment process. Sector views are reassessed on an ongoing basis and are formally updated at least monthly, using the following steps: 1. Understand and quantify the market's expectation as we believe it is embedded in asset prices 2. Contrast this market estimate with our own independent views 3. Seek opportunities for which we hold a differentiated view relative to the market and where we have a high degree of confidence in our estimate 4. Implement investment ideas within risk constraints associated with the strategy and each clients' guidelines To identify sub-sector opportunities, the sector teams employ the same intensive, risk-focused discipline as described above combining qualitative and quantitative assessment to arrive at decisions. The following definitions are used in the presentation of our State Space Analysis process:
• Current spread reflects the pricing as of the applicable date being analyzed as sourced from Bloomberg and typically based on market indices. • Probability of State Occurring reflects the team’s subjective views on the probability of each potential outcome (or “state”) occurring. • Yield Advantage is the estimate for income earned relative to the benchmark. • View Uncertainty quantifies the confidence of the expected return by measuring return standard deviation across states of the world. A wider dispersion of the states of the world, represented by a
larger standard deviation, indicates a lower degree of confidence, or, a higher degree of uncertainty.
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