1. blackrock firm update - los angeles department of water ... · 1/22/2020 · for use with...
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Los Angeles Department of Water and Power0-5 Years US TIPS & Treasury InflationProtection Composite Overview
This presentation is for use only in a one-on-one communication with Qualified Eligible Investors. It is strictly confidential and may not be reproduced for, disclosed to or otherwise provided in any format to any other person or entity without the prior written consent of BlackRock. This presentation does not constitute an offer to sell, or a solicitation of any offer to buy, securities in any jurisdiction to any person. The material is not intended to provide, and should not be relied on for accounting, legal or tax advice. You should contact your tax or legal adviser about the issues discussed herein.
January 22nd, 2020
FOR USE WITH ELIGIBLE INSTITUTIONAL INVESTORS ONLY IN A ONE-ON-ONE COMMUNICATION – PROPRIETERY AND CONFIDENTIAL 2
Table of Contents
1. BlackRock Firm Update
2. Fixed Income Platform Overview
3. Team, Philosophy & Process
4. US TIPS 0-5 Years Index
5. Treasury Inflation Protection Index Composite
6. U.S. Debt Index Fund
Appendix
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BlackRock Firm Update
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Active Equity290 bn
Passive Equity3.1 tn
Alternatives¹167 bn
Active Fixed Income931 bn
Passive Fixed Income1.3 tn
Multi-Asset527 bn
Cash Management510 bn
Advisory1.7 bn
BlackRock at a glance
Source: BlackRock. As of 30 September 2019. All figures are represented in USD.
• Established in 1988
• NYSE: BLK
• $6.96 trillion assets under management
• Nearly 15,000 employees
• More than 2,000 investment professionals
• Offices in over 34 countries
• 25 primary investment centers globally
• Clients in over 100 countries
• Over 850 iShares® ETFs Globally
• Through BlackRock Solutions, the Firm provides riskmanagement and enterprise investment services for over200 clients
• Financial Markets Advisory business managed or advised on over $8 trillion in asset and derivative portfolios
• Transition Management team partners with clients to save costs and reduce risks when changing investment exposures
BlackRock facts $6.96 trillion managed across asset classes
We help more and more people experience financial well-being
BlackRock Purpose Statement
Assets as of 30 September 20191 Includes commodity and currency mandates
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Fixed Income Platform Overview
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Global fixed income platform provides greater access toinvestment opportunitiesBenefits of BlackRock's breadth and depth
• Talent: 400+ fixed income professionals generate ideas and identify insights to create alpha opportunities
• Trading: Global execution platform provides deep market access
• Technology: Sophisticated analytics and risk management enables us to better understand and take risk in pursuit of alpha
• Culture: Fiduciary commitment to advising and serving clients drives our investment culture
Experienced leadership team oversees portfolio teams with decision-making autonomy
AUM in USD and data as of 30 Sept 2019. For illustrative purposes only.* Systematic AUM includes alternatives and fixed income sleeves of multi-asset mandates that are excluded from the “Active” GFI platform AUM to avoid double-counting.
Active$931 billion
Global Fixed Income Platform$2.27 trillion
Rich KushelGlobal Head of Fixed Income
Rick RiederCIO of Global Fixed Income
Fundamental$875 billion
Systematic*$72 billion
Index $797 billion
ETF$539 billion
Passive$1,336 billion
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First Index Fund Passive Long Duration launched
Triple A: asset allocation
PM tool
iShares Exchange-
Traded Funds
Risk model enhancement
s
First GlobalCredit
Screened Smart beta
Strategy
2009:Merger
between BlackRock
and BGI
Launch of Smart Beta
Risk Strategy
Fund of fund structures
Securities Lending
Investment Analysis:
index portfolio management
tool
First Fixed incomestrategy
ETFs
First synthetic long duration
funds
Awarded Treasury
Mandate for Mortgage
Market Stabilization
Program
First 20+ STRIPS index
fund Launched
CurrencyHedged iShares
ETFs
Launch of
Impact Bond
Strategy
Over 30 years of index innovation
First fixed income index fund
Largest fixed income index and ETF manager globally**
Innovative provider of synthetic, smart beta/factor based and ESG solutions
1984 2019
Source: BlackRock, as of 30 September, 2019** Source: Pension & Investments as of 30 June 2018Note: Some Innovations developed by predecessor firms
BlackRock Index & Systematic Global Fixed Income assets under management ($ billions)
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Clients Seeking Alternatives to Traditional Index Returns
Factor-based strategies and other systematic solutions offer alternatives to traditional index returns
Defensive Credit Balanced Risk “FIBR”
MBS Up In Coupon
Curve Steepener Capital Efficiency
Systematic CorePlus
Short Carry Impact Investing Systematic strategy designedto generate carry through useof US Treasury Futures andshort-dated securitizedholdings
Defensive, systematic strategydesigned to avoid issuers thatare at risk of experiencingcredit deterioration
Factor-based strategydesigned to outperformtraditional governmentindices by capturing term-premia and roll down
Factor-based strategydesigned to outperformtraditional MBS indices bycapturing attractive risk-adjusted carry
Factor-based strategydesigned to balance interestrate and spread risk toimprove risk adjusted returns
Systematic strategy designedto outperform traditionalindices by tilting into sectorstraditionally utilized by activemanagers
Systematic strategy designedto release capital throughsynthetic replication oftraditional fixed incomeindices
Systematic strategy designedto incorporate ESG factorswhile minimizing trackingerror to traditional indices
U.S. Aggregate Strategies Broader Strategy Options
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BlackRock is a global leader in fixed income indexing
There are four key reasons to pick BlackRock over any other index provider:
• Low historical tracking error across fixed income index strategies
• An experienced, stable team
• Potential for Low transaction costs from size and scale
• Transparent pricing and no cross subsidization as BlackRock has no custody business
1 Source: Pension & Investments. All dollar values are in $ billions.; data as of 30 June 2018. Managers included based on largest global fixed income index market AUM per Pension & Investments.
2 Source: eVestment; data as of 31 March 2019. Periods less than a year are not annualized. Indexes are unmanaged and one cannot invest directly in an index. Managers on the right are different from those with the largest Index AUM due to product availability or missing data. The Category Average includes all passive index funds available on eVestment managed against the Bloomberg Barclays US Aggregate Index. Category Average depicts tracking difference, defined as risk in excess of the benchmark, vs. the Bloomberg Barclays US Aggregate Index. The Fund’s net asset value does not include an accrual for the investment management fee but does include an accrual for fund level administrative costs and, if applicable, certain third party acquired fund fees and expenses. If the Fund’s net asset value did include an accrual for the investment management fee, the Fund’s returns would be lower. Past performance is not necessarily an indicator of future performance. All periods contain 5 managers in the universe except the 10-Year period, which contains 4. BlackRock is included in the universe. Please see slide 30 for the Fund's full performance track record.
0 200 400 600 800 1000 1200
Northern Trust
Legal & General
State Street
Vanguard
BlackRock
Global Fixed Income Index Market AUM ($bn) 1 Gross Tracking Difference vs. BBG Barclays US Aggregate Index2
-0.02
0.00
0.02
0.04
0.06
0.08
0.10
0.12
0.14
Q1 2019 1-Year 2-Year 3-Year 5-Year 7-Year 10-Year
BlackRock Category Average
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Team, Philosophy & Process
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Americas Fixed Income Index Team
As of September 30, 2019
Americas Fixed Income
Portfolio Management
Scott RadellHead of San Francisco Core PM
Core PM
Scott RadellHead of San Francisco Core PM
Multi-Sector/Other Credit Rates / Mortgages /Emerging Markets
Joel SilvaSr. Portfolio ManagerMunis / Canada / ESG
Karen UyeharaSr. Portfolio ManagerMulti-Sector
Tao ChenPortfolio ManagerMunicipals
Jasmita MohanPortfolio ManagerMulti-Sector
Rena PatelPortfolio ManagerMunicipals
Jermaine PierrePortfolio ManagerCanada
Jonathan GravesSr. Portfolio ManagerCorporate Credit
David DulskiPortfolio ManagerCorporate Credit
Allen KwongPortfolio ManagerCorporate Credit
Giulia CerardiPortfolio ManagerCorporate Credit
Christina HanlonPortfolio MangerCorporate Credit
Sam DreyfussPortfolio ManagerCorporate Credit
Jay MauroDeputy Head of SF Core PM
Wes GeorgePortfolio ManagerAgency Mortgages
Marcus TomPortfolio ManagerAgency Mortgages
Cynthia FanPortfolio ManagerCorporate Credit
Lip TongPortfolio ManagerCanada
Paige WhistlerPortfolio ManagerCorporate Credit
Jesse KangPortfolio ManagerCorporate Credit
Research Strategy
Research Group
Ignacio BlanchHead of Systematic Fixed Income Research
Global Research
Research
+ 8 Index researchers
Americas
Robert StanleyHead of USProduct Strategy
Matt Tucker
Gordon Readey
Kathryn Donovan
Laura May
Chandler GrinnellJoseph MaciunasPortfolio Manager Multi-Sector / Rates
Clay ArmisteadPortfolio Manager Securitized Credit
Kent YamanePortfolio Manager Securitized Credit
Mark BuellPortfolio ManagerUS Government Bonds
Gabe ShipleyPortfolio ManagerEmerging Markets
Yang HePortfolio ManagerAgency Mortgages
Danny NgPortfolio ManagerCorporate Credit
Elya SchwartzmanSr. Portfolio ManagerCorporate Credit
Emily FreemanPortfolio ManagerEmerging Markets
Cole BushmanPortfolio ManagerCorporate Credit
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Passive managementOTC markets require different strategies vs. exchange traded markets
Quantitative process balances tracking error & transaction costs• Unlike most stocks, bonds trade “Over the Counter”
• Prohibitive costs, uncertain liquidity, and issue scarcity often makes perfect replication infeasible
• Index process optimizes marginal contribution to tracking error with T-Costs
For illustrative purpose only and subject to change. Source: BlackRock
Tracking error
Number of issues
Transaction costsOptimal portfolio
Bas
is p
oint
s
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PhilosophyTotal performance management
Superior investment outcomes may be best achieved through a disciplined, objective process for managing return, risk and cost • Return — Performance as planned with value-added portfolio management
• Risk — Proprietary portfolio & risk management system helps manage investment and operational risk
• Cost — Trading cost integrated into portfolio construction using proprietary transaction cost models
Return
Risk Cost
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Process
Disciplined process within a scalable, risk-managed framework underpin consistent historical performance • BlackRock’s index portfolios are managed using a team approach for research, portfolio management, trading, and
risk oversight
Benchmark knowledge
• Daily updates fromindex providers
• Index methodologychanges
• Index Advisory
Portfolio construction
• Portfolio analysis
• Stratified sampling
• Leading edge portfolioconstructiontechnology
Efficient trading
• Centralized trading
• Unit exchangeopportunities
• Economies of scale
Performance & oversight
• Investment ReviewCommittee
• Dedicated returnattribution
• Separate group forcompliance / RQA
Risk Management
Leverage RQA and BlackRock’s proprietary Aladdin® system to help identify, monitor and minimize risk
Process
Portfolio Management Process
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CMBS2%
ABS0%
MBS27%
Long Credit10%
Intermediate Credit20%
Long Gov't8%
Intermediate Gov't33%
Benchmark knowledge & modular fund design
BlackRock's modular fund design leverages scale and facilitates crossing opportunities
Source: Barclays as September 30, 2019Funds are BlackRock CTFs
Process
LongCreditIssues Fund: 2,178Issues B’mark: 2,341
Mortgage-BackedSecuritiesIssues Fund: 454Issues B’mark: 454
Asset-Backed SecuritiesIssues Fund: 209Issues B’mark: 405
CMBS
Issues Fund: 616Issues B’mark: 2,668
IntermediateGovernmentIssues Fund: 255Issues B’mark: 473
LongGovernmentIssues Fund: 79Issues B’mark: 79
IntermediateCreditIssues Fund: 4,202Issues B’mark: 4,480
Barclays US AggregateIssues Fund: 8,578
Issues Benchmark: 10,904
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Portfolio construction
Stratified sampling: Dividing the various indexes into subsets (cells) based upon relative parameters
For illustrative purpose only
Process
Sector/Issue type
Maturity
Call Features
Issuer (GNMA, FNMA, FHLMC)
Mortgage type(30 year, 15 year, balloon)
Coupon
Age (year of issuance)
Sector/issue type
Maturity/average life
Credit rating
Call/paymentstructure
Credit quality
Mat
urity
Benchmark Cell• BBB-rated• Banking• <3 years
maturity
Government Bonds
Mortgage-Backed Securities
Credit & Asset-Backed Securities
Portfolios are constructed by sampling bonds from each index cell
Specified Pools “Story”
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Portfolio constructionBuilding a corporate bond index portfolio
Source: BlackRock; data as of 30 June 2019. Example for illustrative purposes only. And does not depict actual Collective Trust Fund data. It is shown to demonstrate the investment process.
Process
Construction process
Sector (example: Industrials)
Sub-Sector (example: Energy)
Index (Barclays Intermediate Credit Index)
Maturity (example: 7-10 years)
Credit Rating (example: BBB)
Structure (example: Make Whole Call)
Index (4,424 bonds)
Index (2,236 bonds)
Index (324 bonds)
Index (77 bonds)
Index (64 bonds)
Index (2 bonds)
BLK (4,208 bonds)
BLK (2,157 bonds)
BLK (313 bonds)
BLK (73 bonds)
BLK (61 bonds)
BLK (1 bonds)
Stratify Universe by Risk Cells
• Sector• Industry / sub-sector• Maturity• Credit• Structure
Optimize byRisk Factors
• Key Rate Duration• Convexity• Duration Times Spread• T-Cost
Part 1
Part 2
Example: US Intermediate Investment Grade Corporate Bond Index Fund (illustrative)
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BlackRock is the largest counterparty to Wall Street
Size and scale are clear competitive advantages in the fixed income marketplace
• BlackRock traded $11.9 trillion of fixed income in 2018
• Globally coordinated trading business leveraging scale across all investment activity for pricing power
• The uniqueness of our breadth and depth helps benefit our trading experience at all levels of execution
Source: BlackRock; Data as of 31 December 2018* Per Pensions & Investments rankings as of 12/31/2017. Report published as of 5/28/2018.
Process
US
$ Tr
illio
ns
Small lot
Secondary
Primary Primary issuance• BLK Global Capital Markets/Syndicate manages deal structure as well as optimizes allocations• BLK drives many “issued to manage” deals which have the potential to result in reduced fees and
increased allocations
Secondary trading• Pricing power of world’s largest asset manager*• Managed trade distribution and optimized execution leverages price discovery, has the potential to
reduce bid/offer spread
Small lot trading• Dedicated unit aggregates firm-wide small lot orders• Potential execution benefits from round-lot price improvement0.0
11.9
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Seeking to deliver execution for our clients
In 2016, clients experienced an average transaction cost of 8 bps to subscribe to invest in the BlackRock US Aggregate Index Funds compared to the costs of buying every underlying security within the BBG Barclays Index. • The BBG Barclays Liquidity Cost Score* (“LCS”) estimates the transaction cost required to purchase every underlying
security at their benchmark weights.
• BlackRock has also created its own LCS based on a proprietary liquidity model** as shown below
Source: BlackRock, BBG, Barclays. Data as of 31 December 2016. For illustrative purposes only. Past results are not necessarily indicative of future results. *As described in Barclays Liquidity Cost Scores Factsheet, which is available upon request, BBG Barclays LCS is computed using bid-ask spread indications provided by Barclays Capital traders. It represents the transaction cost estimated to execute an instantaneous round trip institutional trade. **BlackRock receives bid-ask indications from 10 broker dealers to determine average trading costs for fixed income assets within the Bloomberg Barclays US Aggregate. *** BlackRock Realized T-Costs ex Crossing is the weighted average transaction costs of all subscriptions to the funds managed by BlackRock against the Bloomberg Barclays US Aggregate Index for the trailing 12-months ending 12/31/2016. *** BlackRock Realized T-Costs is the weighted average transaction costs of all subscriptions to the funds managed by BlackRock against the Bloomberg Barclays US Aggregate Index for the trailing 12-months ending 12/31/2016 and included subscriptions netted by crossing activities.
Process
0 5 10 15 20 25 30
*** BlackRock Realized T-Cost
*** BLK Realized T-Cost ex Crossing
BlackRock LCS
Barclays LCS
2016 Transaction cost comparison: Barclays US Aggregate Index (Illustrative)
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Performance analysis and review
Aladdin® Enterprise System: “One Database, One System, One Process”*• 25,000+ Aladdin users across 45 countries
• 5,000 Stress tests performed each week
• 1000+ developers working to continually evolve the platform
* As of 30 December 2016Sample screenshots are for illustrative purpose only and do not depict actual data.
Process
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Straight through processing with Aladdin
Aladdin connects the information, people and technology needed to manage money in real time
• Combines sophisticated risk, exposure and performance analyses with comprehensive portfolio management,trading, compliance and operations tools on a single platform
• Provides transparency and powers informed decision-making, effective risk management, efficient trading andoperational scale
Process
Portfolio Management Tools
Trading Compliance Operations Performance & Attribution
Interactive Risk Reporting and Analytics
Aladdin Platform
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Risk Management Resources and FunctionsRQA (Risk & Quantitative Analytics)
Process
54%
17%
10%
7%
6%6%
Investments
Enterprise/OperationalRiskInvestment Performance
Analytics/Methodology
Counterparty Risk
Management
Fixed Income
Operational Risk
Cash/Sec Lending
Management
Multi-Asset
Equities
Real Estate
Alternatives
Beta / ETFs
Investment Performance
Enterprise Risk
Counterparty Risk
Analytics/Methodology
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US TIPS 0-5 Years Index
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0.3
3.7 3.5
1.8 1.8
0.3
3.73.5
1.7 1.8
0.3
3.73.4
1.6 1.7
0.0
1.5
3.0
4.5
3Q19* YTD* 1 yr 3 yr Sinceinception**
BlackRock Bloomberg Barclays U.S. TIPS 0-5 Years Index (Lend) (gross)
BlackRock Bloomberg Barclays U.S. TIPS 0-5 Years Index (Lend) (net)
Bloomberg Barclays U.S. TIPS 0-5 Years Index Total Return
Total return in USD (annualized %)
The figures shown relate to past performance. Past performance is not a reliable indicator of current or future results and should not be the sole factor of consideration when selecting a product or strategy.* Unannualized** Inception 31 July 2015
Certain performance results do not reflect the deduction of management/advisory fees and other expenses; management/ advisory fees and other expenses will reduce a client’s return. For example, assuming an annual gross return of 8% and an annual management/advisory fee of 0.25%, the net annualized total return of the portfolio would be 7.74% over a 5-year period. Fees are described in Part 2 of BlackRock’s Form ADV. Indexes are unmanaged. It is not possible to invest directly in an index.Results do not reflect the deduction of management/advisory fees and other expenses; management/advisory fees and other expenses will reduce a client’s return.
† This information is supplemental for the BlackRock Bloomberg Barclays U.S. TIPS 0-5 Years Index (Lend) Composite . See page 27 titled “Historical data BlackRock Bloomberg Barclays U.S. TIPS 0-5 Years Index (Lend) Composite Performance” for GIPS compliant data related to this composite.
3.5
1.10.7
2.6
3.5
1.10.6
2.6
3.4
1.0
0.5
2.6
0
1
2
3
4
3Q18-3Q19 3Q17-3Q18 3Q16-3Q17 3Q15-3Q16
BlackRock Bloomberg Barclays U.S. TIPS 0-5 Years Index (Lend) (gross)BlackRock Bloomberg Barclays U.S. TIPS 0-5 Years Index (Lend) (net)Bloomberg Barclays U.S. TIPS 0-5 Years Index Total Return
12-month total return in USD (%)
BlackRock Bloomberg Barclays U.S. TIPS 0-5 Years Index (Lend) Composite Performance
Composite 1 yr 3 yr Since inception**
Gross performance 3.51% 1.76% 1.81%
Net performance 3.47% 1.72% 1.77%
Benchmark performance 3.44% 1.65% 1.73%
Active return (gross) 0.07% 0.11% 0.08%
Active return (net) 0.03% 0.07% 0.04%
Composite 1 yr 3 yr Since inception**
Tracking error 0.02% 0.02% 0.03%
Info ratio 3.36 4.85 2.41
Sharpe ratio 0.95 0.17 0.50
Supplemental Information† As of 30 September 2019
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0-5 Year U.S. Treasury Inflation Protected Securities FundPortfolio profile
Fund inception date 31 July 2015Data is for analytical purposes only. Index data points may differ to those published by the Index due to different calculation criteria. Breakdowns may not sum to total due to rounding, exclusion of cash, STIF, and statistically immaterial factors. Sources: BlackRock, Bloomberg Finance L.P.
0-5 Year U.S.Treasury Inflation
Protected Securities Fund
Bloomberg Barclays U.S. Treasury
Inflation-Protected Securities (TIPS) 0-5 Years Bond Index (Series-L)
Market value ($B) 0.41 0.63# Issues 15 15CharacteristicsCoupon (%) 0.41 0.43Yield to maturity (YTM) (%) 1.53 1.53Weighted avg life (yrs) 2.61 2.61Effective duration (yrs) 2.57 2.58Convexity 0.10 0.10
0-5 Year U.S.Treasury Inflation
Protected Securities Fund
Bloomberg Barclays U.S. Treasury
Inflation-Protected Securities (TIPS) 0-5 Years Bond Index (Series-L)
Weighted avg life breakdown (mkt val %)0-1 16.29 17.321-2 18.42 19.892-3 23.71 21.443-5 41.58 41.355-7 0.00 0.007-10 0.00 0.0010-20 0.00 0.0020-30 0.00 0.0030+ 0.00 0.00
As of 30 September 2019
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Treasury Inflation Protection Index Composite
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1.3
7.67.2
2.4 2.63.6
1.3
7.67.1
2.3 2.63.5
1.3
7.67.1
2.2 2.43.5
0
3
6
9
3Q19* YTD* 1 yr 3 yr 5 yr 10 yr
BlackRock Bloomberg Barclays Treasury Inflation Protection Index (Lend) (gross)
BlackRock Bloomberg Barclays Treasury Inflation Protection Index (Lend) (net)
Bloomberg Barclays Treasury Inflation Protection Index Total Return
Total return in USD (annualized %)
The figures shown relate to past performance. Past performance is not a reliable indicator of current or future results and should not be the sole factor of consideration when selecting a product or strategy.* Unannualized
Certain performance results do not reflect the deduction of management/advisory fees and other expenses; management/ advisory fees and other expenses will reduce a client’s return. For example, assuming an annual gross return of 8%and an annual management/advisory fee of 0.25%, the net annualized total return of the portfolio would be 7.74% over a 5-year period. Fees are described in Part 2 of BlackRock’s Form ADV. Indexes are unmanaged. It is not possible to invest directly in an index.Results do not reflect the deduction of management/advisory fees and other expenses; management/advisory fees and other expenses will reduce a client’s return.
† This information is supplemental for the BlackRock Bloomberg Barclays Treasury Inflation Protection Index (Lend) Composite. See page 29 titled “Historical data BlackRock Bloomberg Barclays Treasury Inflation Protection Index (Lend) Composite Performance” for GIPS compliant data related to this composite.
7.2
0.6
-0.5
6.8
-0.8
7.1
0.5
-0.5
6.7
-0.8
7.1
0.4
-0.7
6.6
-0.8-3
0
3
6
9
3Q18-3Q19 3Q17-3Q18 3Q16-3Q17 3Q15-3Q16 3Q14-3Q15
BlackRock Bloomberg Barclays Treasury Inflation Protection Index (Lend) (gross)BlackRock Bloomberg Barclays Treasury Inflation Protection Index (Lend) (net)Bloomberg Barclays Treasury Inflation Protection Index Total Return
12-month total return in USD (%)
BlackRock Bloomberg Barclays Treasury InflationProtection Index (Lend) Composite Performance
Composite 1 yr 3 yr 5 yr 10 yr
Gross performance 7.19% 2.37% 2.59% 3.58%
Net performance 7.15% 2.33% 2.55% 3.52%
Benchmark performance 7.13% 2.21% 2.45% 3.46%
Active return (gross) 0.06% 0.16% 0.14% 0.12%
Active return (net) 0.02% 0.12% 0.10% 0.06%
Composite 1 yr 3 yr 5 yr 10 yr
Tracking error 0.02% 0.03% 0.13% 0.11%
Info ratio 2.62 5.31 1.10 1.03
Sharpe ratio 1.26 0.25 0.45 0.68
Supplemental Information† As of 30 September 2019
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U.S. Treasury Inflation Protected Securities FundPortfolio profile
Fund inception date 15 November 2001Data is for analytical purposes only. Index data points may differ to those published by the Index due to different calculation criteria. Breakdowns may not sum to total due to rounding, exclusion of cash, STIF, and statistically immaterial factors. Sources: BlackRock, Bloomberg Finance L.P.
U.S. Treasury Inflation
Protected Securities Fund
Bloomberg Barclays U.S. Treasury
Inflation Protected Securities (TIPS) Index (Series L)
Market value ($B) 6.14 1,260.44# Issues 40 40CharacteristicsCoupon (%) 0.73 0.75Yield to maturity (YTM) (%) 1.65 1.65Weighted avg life (yrs) 8.34 8.39Effective duration (yrs) 7.73 7.74Convexity 1.12 1.13
U.S. Treasury Inflation
Protected Securities Fund
Bloomberg Barclays U.S. Treasury
Inflation Protected Securities (TIPS) Index (Series L)
Weighted avg life breakdown (mkt val %)0-1 0.18 0.001-2 9.08 9.902-3 10.44 10.683-5 20.94 20.595-7 18.32 17.687-10 24.68 25.0210-20 0.27 0.7420-30 16.09 15.3930+ 0.00 0.00
As of 30 September 2019
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U.S. Debt Index Fund
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U.S. Debt Index FundPerformance
Gross total return in USD (annualized* %)
As of 30 September 2019
-0.53
2.28
8.6010.37
3.02 3.48 3.87
6.31
-0.53
2.27
8.5210.30
2.92 3.38 3.75
6.25
-4
0
4
8
12
MTD* Q3* YTD* 1 year* 3 year 5 year 10 year Sinceinception**
Fund Bloomberg Barclays U.S. Aggregate Bond Index
MTD %* Q3 %* YTD %* 1-yr %* 3-yr % 5-yr % 10-yr % Since incept %
Tracking difference(Gross vs. Benchmark) 0.00 0.01 0.08 0.07 0.10 0.10 0.12 0.06
* Period returns for less than a year are cumulative** Fund inception date 30 June 1986
This information is unaudited, subject to change and intended for analytical purposes only. The Fund’s net asset value does not include an accrual for the investment management fee but does include an accrual for fund level administrative costs and, if applicable, certain third party acquired fund fees and expenses. If the Fund’s net asset value did include an accrual for the investment management fee, the Fund’s returns would be lower. Past performance is not necessarily an indicator of future performance. Indexes are unmanaged. It is not possible to invest directly in an index.
Sources: BlackRock, Bloomberg Finance L.P.
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U.S. Debt Index FundPortfolio profile
* MSCI ESG Scores assess companies’ ability to manage their exposure to the most relevant ESG risks and opportunities, relative to industry peers. A score of 6.68 or higher correspond to an industry leader, 3.34-6.67 corresponds to an average score, and scores of 3.33 and lower corresponds to a laggard vs. industry peers. The credit quality of a particular security or group of securities may be based upon a rating from a nationally recognized statistical rating organization or, if unrated by a ratings organization, assigned an internal rating by BlackRock, neither of which ensures the stability or safety of an overall portfolio. Although BlackRock’s information providers, including without limitation, MSCI ESG Research Inc. and its affiliates (the “ESG Parties”), obtain information from sources they consider reliable, none of the ESG Parties warrants or guarantees the originality, accuracy and/or completeness of any data herein. None of the ESG Parties makes any express or implied warranties of any kind, and the ESG Parties hereby expressly disclaim all warranties of merchantability and fitness for a particular purpose, with respect to any data herein. None of the ESG Parties shall have any liability for any errors or omissions in connection with any data herein. Further, without limiting any of the foregoing, in no event shall any of the ESG Parties have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. ©2019 MSCI ESG Research Inc. Reproduced by permission.
Fund inception date 30 June 1986Data is for analytical purposes only. Index data points may differ to those published by the Index due to different calculation criteria. The credit quality of a particular security or group of securities may be based upon a rating from a nationally recognized statistical rating organization or, if unrated by a ratings organization, assigned an internal rating by BlackRock, neither of which ensures the stability or safety of an overall portfolio. Breakdowns may not sum to total due to rounding, exclusion of cash, STIF, and statistically immaterial factors. Sources: BlackRock, Bloomberg Finance L.P.
U.S. Debt Index Fund
Bloomberg Barclays U.S. Aggregate Bond
Index
Market value ($B) 15.25 23,150.29# Issues 8,604 10,904CharacteristicsCoupon (%) 3.34 3.20Yield to maturity (YTM) (%) 2.29 2.30Weighted avg life (yrs) 7.88 7.95Effective duration (yrs) 5.60 5.61Spread duration 3.51 3.49Option adjusted spread (bps) 47 48Convexity 0.24 0.23MSCI ESG Score (adjusted)* 6.10 6.12
Environment Score 6.11 6.11Social Score 6.55 6.59Governance Score 6.08 6.12
Quality breakdown (mkt val %)AAA or above 72.26 72.38AA 3.45 3.04A 10.70 10.69BBB 13.60 13.87Other 0.00 0.01
U.S. Debt Index Fund
Bloomberg Barclays U.S. Aggregate Bond
IndexSector breakdown (mkt val %)Treasury 38.44 39.74Agencies 2.54 1.24Financials 7.84 7.95Industrials 15.15 15.34Utilities 1.87 1.87Non-US credit 3.76 3.88Taxable munis 0.64 0.65ABS 0.43 0.45Mortgages 26.79 26.81Hybrid ARM 0.04 0.00CMBS 2.00 2.03Foreign Government 0.00 0.03Cash 0.49 0.00Weighted avg life breakdown (mkt val %)0-1 2.60 0.261-2 9.20 11.112-3 12.50 11.253-5 26.46 26.905-7 20.82 23.357-10 10.74 9.2610-20 3.87 4.1220-30 13.34 13.2530+ 0.46 0.50
As of 30 September 2019
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Appendix
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Historical dataBlackRock Bloomberg Barclays U.S. TIPS 0-5 Years Index Composite (Lending)
Calendar yearGross of fee compositereturn (%)
Net of fee compositereturn (%)
Benchmark return (%)
Number of portfolios
Composite dispersion
(%)
Composite 3 yr annualizedstandard
deviation (%)**
Benchmark 3 yr annualized
standard deviation (%)**
Total assets at end of period
(USD millions)
Percentage of firm assets
01/08/15 - 31/12/15 -0.70 -0.71 -0.68 1 NM N/A N/A 77 <1
2016 2.89 2.84 2.81 1 NM N/A N/A 165 <1
2017 1.00 0.96 0.88 1 NM N/A N/A 243 <1
2018 0.71 0.67 0.59 1 NM 1.22 1.21 361 <1
The figures shown relate to past performance. Past Performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.
Please see the following page for important disclosures related to this composite.* Data shown may be subject to revisions from time to time based on availability of new information. Any such revisions are not material.** N/A – 36 months of data is not available for that period.
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Historical dataBlackRock Bloomberg Barclays U.S. TIPS 0-5 Years Index Composite (Lending) Notes
1. For purposes of compliance with the Global Investment Performance Standards (GIPS®), the "firm" refers to the investment adviser and national trust bank subsidiaries of BlackRock, Inc., located globally. This definition excludes: i) BlackRock subsidiaries that do not provide investment advisory or management services, ii) the Absolute Return Strategies (funds-of-hedge-funds) business unit under the "BlackRock Alternative Advisers" platform, iii) BlackRock Capital Investment Corporation, LLC, iv) FutureAdvisor, Inc., and v) Retail mutual funds and separately managed accounts within BlackRock México Operadora, S.A. de C.V., Sociedad Operadora de Fondos de Inversión.
2. BlackRock claims compliance with the GIPS standards and has prepared and presented this report in compliance with the GIPS standards. BlackRock has been independentlyverified for the periods 1 January 1993 through 31 December 2018. The verification reports are available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation. The firm is verified annually by Deloitte & Touche LLP.
3. BlackRock uses a time-weighted linked rate of return formula with adjustments for cash flows to calculate rates of return. Trade date accounting has been used since theinception of the composite. The currency used to calculate performance is US dollars.
4. The benchmark index shown is the Bloomberg Barclays US TIPS 0-5 Year Index Total Return®.
5. Composite dispersion measures represent the consistency of a firm’s composite performance results with respect to the individual portfolio returns within a composite. Dispersion is represented by the asset-weighted standard deviation of only portfolios that have been included in the composite style for a full year. For composites containing only one account, a measure of dispersion is not meaningful (NM).
6. Percentage of Firm Assets are rounded to the nearest whole percent.
7. There have been no alterations of the composite due to changes in personnel or other reasons.8. Derivatives, shorting and leverage are not utilized in the portfolio.9. Gross of fee performance results are presented before management and custodial fees and net of broker fees, transaction costs, and withholding taxes (if applicable). Certain
portfolios may have custodial fees included. Net performance reflects the deduction of the highest management fee per the strategy fee schedule. The standard management fee schedule for this strategy for institutional separate accounts is as follows: first $100 million of assets, 0.04 of 1%; next $400 million of assets, 0.02 of 1%; remaining assets in excess of $500 million, 0.01 of 1%.
10. A complete list and description of all composites maintained by BlackRock and the related performance results are available upon request. Additional information regardingpolicies for calculating and reporting returns as well as valuation policies is also available upon request.
The BlackRock Bloomberg Barclays U.S. TIPS 0-5 Year Index Composite (Lending) is comprised of all fully discretionary, total return fixed income funds, which are passively managed to track the performance of the Bloomberg Barclays US TIPS 0-5 Year Index Total Return®. Accounts in this composite are engaged in securities lending activity. All accounts included in the composite follow a similar investment philosophy. This composite may include accounts with multiple investor types which can have different withholding tax rates applied. BlackRock also maintains an institutional fund composite for this strategy. The creation date of the composite is 20 October 2015. The composite does not have a Significant Cash Flow Policy.
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Historical dataBlackRock Bloomberg Barclays Treasury Inflation Protection Index Composite (Lending)
Calendar yearGross of fee compositereturn (%)
Net of fee compositereturn (%)
Benchmark return (%)
Number of portfolios
Composite dispersion
(%)
Composite 3 yrannualizedstandard
deviation (%)
Benchmark 3 yrannualized
standard deviation (%)
Total assets at end of period
(USD millions)
Percentage of firm assets
2009 11.37 11.31 11.41 2 0.01 8.67 8.72 3,463 <1
2010 6.38 6.33 6.31 2 0.03 8.68 8.74 5,177 <1
2011 13.69 13.63 13.56 2 0.01 5.71 5.75 6,855 <1
2012 7.07 7.02 6.98 2 0.00 4.33 4.34 7,024 <1
2013 -8.54 -8.68 -8.61 2 0.01 5.35 5.36 5,871 <1
2014 3.62 3.57 3.64 2 0.02 5.17 5.15 6,170 <1
2015 -1.23 -1.28 -1.44 2 0.01 5.04 5.00 6,755 <1
2016 4.85 4.81 4.68 2 0.01 4.15 4.08 7,086 <1
2017 3.24 3.19 3.01 2 0.00 3.50 3.46 10,153 <1
2018 -1.13 -1.16 -1.26 2 0.00 3.06 3.05 12,102 <1
The figures shown relate to past performance. Past Performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.
Please see the following page for important disclosures related to this composite.* Performance results presented for periods prior to 1 December 2009 occurred while members of the portfolio management team were affiliated with another firm ("Prior Firm"). Such
members of the portfolio management team were responsible for investment decisions at the Prior Firm and the decision making process has remained intact and independent withinBlackRock. See Note 10 on the following page.Data shown may be subject to revisions from time to time based on availability of new information. Any such revisions are not material.
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Historical dataBlackRock Bloomberg Barclays Treasury Inflation Protection Index Composite (Lending)Notes
1. For purposes of compliance with the Global Investment Performance Standards (GIPS®), the "firm" refers to the investment adviser and national trust bank subsidiaries of BlackRock, Inc., located globally. This definition excludes: i) BlackRock subsidiaries that do not provide investment advisory or management services, ii) the Absolute Return Strategies (funds-of-hedge-funds) business unit under the "BlackRock Alternative Advisers" platform, iii) BlackRock Capital Investment Corporation, LLC, iv) FutureAdvisor, Inc., and v) Retail mutual funds and separately managed accounts within BlackRock México Operadora, S.A. de C.V., Sociedad Operadora de Fondos de Inversión.
2. BlackRock claims compliance with the GIPS standards and has prepared and presented this report in compliance with the GIPS standards. BlackRock has been independentlyverified for the periods 1 January 1993 through 31 December 2018. The verification reports are available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation. The firm is verified annually by Deloitte & Touche LLP.
3. BlackRock uses a time-weighted linked rate of return formula with adjustments for cash flows to calculate rates of return. Trade date accounting has been used since theinception of the composite. The currency used to calculate performance is US dollars.
4. The benchmark index shown is the Bloomberg Barclays Treasury Inflation Protection Index Total Return®.
5. Composite dispersion measures represent the consistency of a firm’s composite performance results with respect to the individual portfolio returns within a composite. Dispersion is represented by the asset-weighted standard deviation of only portfolios that have been included in the composite style for a full year. For composites containing only one account, a measure of dispersion is not meaningful (NM).
6. Percentage of Firm Assets are rounded to the nearest whole percent.
7. There have been no alterations of the composite due to changes in personnel or other reasons.8. Derivatives, shorting and leverage are not utilized in the portfolio.9. Gross of fee performance results are presented before management and custodial fees and net of broker fees, transaction costs, and withholding taxes (if applicable). Certain
portfolios may have custodial fees included. As of 1 January 2014, net performance reflects the deduction of the highest management fee per the strategy fee schedule. Priorto this date, net performance reflected the deduction of the highest management fee that could have been charged to any account in the composite. The standard management fee schedule for this strategy for institutional separate accounts is as follows: first $100 million of assets, 0.04 of 1%; next $400 million of assets, 0.02 of 1%; remaining assets in excess of $500 million, 0.01 of 1%.
10. A complete list and description of all composites maintained by BlackRock and the related performance results are available upon request. Additional information regardingpolicies for calculating and reporting returns as well as valuation policies is also available upon request.
The BlackRock Bloomberg Barclays Treasury Inflation Protection Index Composite (Lending) is comprised of all fully discretionary, total return institutional fixed incomefunds, which are passively managed to track the performance of the Bloomberg Barclays Treasury Inflation Protection Index Total Return®. Accounts in this composite areengaged in securities lending activity. All accounts included in the composite follow a similar investment philosophy. This composite may include accounts with multiple investor types which can have different withholding tax rates applied. The creation date of the composite is 1 November 2010. The composite does not have a Significant Cash Flow Policy.
Performance presented for periods prior to 1 December 2009 occurred while members of the portfolio management team were affiliated with Barclays Global Investors (“PriorFirm”). Such members of the portfolio management team were responsible for investment management decisions for the Bloomberg Barclays Treasury Inflation Protection Index Composite (Lending) at the Prior Firm and the decision making process has remained intact and independent within BlackRock. The performance presented is for thoseportfolios that were brought over to BlackRock from the Prior Firm. In BlackRock management’s opinion, such performance track record conforms to the GIPS standards with regard to the portability of investment results, and, as such, all historical performance results from the Prior Firm have been linked to the on-going performance results of the composite. Performance records of the Prior Firm are available upon request.
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This communication is not an offer and should not be deemed to be a contractual commitment or undertaking between the intended recipient of this communication and BlackRock but an indication of what services may be offered subject to a legally binding contract between the parties and therefore no reliance should be placed on this document or its content. Opinions, estimates and recommendations offered constitute our judgment and are subject to change without notice, as are statements of financial market trends, which are based on current market conditions. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. This communication and its content represent confidential information. This material has been prepared for informational purposes only, and is not intended to provide, and should not be relied on for, accounting, legal or tax advice. You should consult your tax or legal adviser regarding such matters. Any reference herein to any security and/or a particular issuer shall not constitute a recommendation to buy or sell, offer to buy, offer to sell, or a solicitation of an offer to buy or sell any such securities issued by such issuer.
BlackRock Institutional Trust Company, N.A. (“BTC”) is a wholly-owned subsidiary of BlackRock, Inc. For ease of reference, “BlackRock” may be used to refer to BlackRock, Inc. and its affiliates, including BTC. Any strategy referred to herein does not give rise to a deposit or other obligation of BlackRock, Inc. or its subsidiaries and affiliates, is not guaranteed by BlackRock, Inc. or its subsidiaries and affiliates, is not insured by the United States Federal Deposit Insurance Corporation or any other governmental agency, and may involve investment risks, including possible loss of principal invested.
The Fund is also subject to other key risks, as described in the Fund’s Collective Investment Fund Profile. Some or all of those risks may adversely affect the value of units in the Fund, yield, total return and the Fund’s ability to meet its investment objective. See the Collective Investment Fund Profile for additional information.
Past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s units, when redeemed, may be worth more or less than the original cost. Any opinions expressed in this publication reflect our judgment at this date and are subject to change. No part of this publication may be reproduced in any manner without the prior written permission of BTC. Fund performance assumes reinvestment of income and does not reflect management fees and certain transaction costs and expenses charged to the fund. Risk controls, asset allocation models and proprietary technology do not promise any level of performance or guarantee against loss of principal.
The Fund, a collective investment trust maintained and managed by BTC, is available only to certain eligible investors and not offered or available to the general public. In the event of a conflict between this summary description of the Fund and the trust document under which the Fund was established, the trust document will govern. For more information related to the Fund, please see the Fund's trust document, Collective Investment Fund Profile and most recent audited financial statements. BTC, a national banking association operating as a limited purpose trust company, manages the collective investment products and services discussed in this publication and provides fiduciary and custody services to various institutional investors. A collective investment fund is privately offered. Accordingly, prospectuses are not required and prices are not available in local publications. To obtain pricing information, please contact your local service representative.
None of the information constitutes a recommendation by BTC or a solicitation of any offer to buy or sell any securities. The information is not intended to provide be relied upon as a forecast, research or investment advice. Neither BTC nor BlackRock, Inc. guarantees the suitability or potential value of any particular investment. The information contained herein may not be relied upon by you in evaluating the merits of investing in any investment. Index
It is not possible to directly invest in an unmanaged index.RiskInvesting in the bond market is subject to certain risks including market, interest-rate, issuer, credit, and inflation risk; investments may be worth more or less than theoriginal cost when redeemed. The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio. Mortgage andasset-backed securities may be sensitive to changes in interest rates, subject to early repayment risk, and while generally backed by a government, government-agency orprivate guarantor there is no assurance that the guarantor will meet its obligations. Investors will, at times, incur a tax liability.These materials are being provided for informational purposes only and are not intended to constitute tax, legal or accounting advice. You should consult your ownadvisers on such matters. Additional information is available on request. Information contained herein is believed to be reliable but BlackRock does not warrant itsaccuracy or completeness. Information contained herein represents BlackRock’s own opinions. There can be no assurance that the investment objectives of any strategyreferred to herein will be achieved. An investment in any strategy referred to herein involves a high degree of risk, including the risk that the entire amount invested may belost.
THIS MATERIAL IS HIGHLY CONFIDENTIAL AND IS NOT TO BE REPRODUCED OR DISTRIBUTED TO PERSONS OTHER THAN THE RECIPIENT .
© 2019 BlackRock, Inc. All rights reserved. BLACKROCK is a registered trademark of BlackRock, Inc. in the United States and elsewhere. All other trademarks are the property of their respective owners. NOT FDIC INSURED. MAY LOSE VALUE. NO BANK GUARANTEE.
Important notes
ICBM0120U-1054646-1/37
One-on-One Use Only
Los Angeles Water and Power Employees’ Retirement Plan
January 22, 2020
CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute.
Today’s Presenters
2
Stephanie HillManaging Director, Head of Index - Business & StrategyStephanie is a Head of Index - Business & Strategy. She is responsible for articulating equity and fixed income index strategies to clients and prospects, as well as developing and refining new strategies and solutions for our clients. Prior to joining the firm, she was a strategic product innovator within the iShares division at BlackRock, focused on designing and developing new ETF products and business solutions. Prior to joining iShares, she was an institutional investment strategist for BlackRock in San Francisco and New York. Previously, she was an investment strategist with Merrill Lynch Investment Managers. Stephanie has been in the investment industry since 1999. Stephanie earned an MFA from New York University and a BA from the University of California at Berkeley.
Nancy Rogers, CFADirector, Head of Fixed Income Index - Portfolio ManagementNancy is the Head of Fixed Income Index—Portfolio Management. She is responsible for the management of domestic and international index portfolios, including separate, commingled, and mutual fund accounts. She has experience in managing aggregate, government, credit and custom indexes. Nancy has been in the investment industry and at BNY Mellon affiliates since 1987. Prior to her current role, she was a senior portfolio manager at Standish and portfolio manager at Mellon Bond Associates. Previously, she served in various functions such as trading, performance measurement, and portfolio accounting. In 2012, Nancy was awarded the Pittsburgh quarterly Outstanding Leadership Team Award for her work with the management team on the Building Organizational Talent initiative. Nancy earned an MBA in investments from Drexel University. She holds the CFA® designation and is a member of the CFA Institute and CFA Society Pittsburgh.
McKenzie Jones, CFAVice President, Institutional Business DevelopmentMcKenzie is a vice president on the institutional business development team focused on marketing investment strategies to US institutional investors. Prior to joining the firm, she worked with the jointly trusteed and union-sponsored group within BNY Mellon Investment Management as a client engagement associate. McKenzie earned a BA in economics and classics from Trinity College. She holds the CFA® designation and is a member of the CFA Institute and the CFA Society Boston.
Data as of September 30, 2019. 1Where applicable, assets include discretionary and non-discretionary assets, the notional value of overlay strategies, and assets managed by investment personnel actingin their capacity as officers of affiliated entities. 2Employee total includes employees of affiliated entities acting as dual officers and/or associated persons of Mellon. 3Location of affiliated entitiesproviding services. See Additional Information in Disclosure Statements. [24831]
A global multi-specialist investment manager with a full spectrum of research-driven solutions
Mellon Overview
3
Over 500Employees2
Clients in 27Countries & Territories
Headquartered in Bostonwith offices in Pittsburgh,San Francisco, London,3Singapore3 and Hong Kong3
$521.1BAssets Under Management1
Innovation
Integrity
Teamwork
$134.5BFixed Income
$45.2BEquity
$22.7BMulti-Asset
$318.7BIndex
Assets by Product Line1 Our culture and values are the foundational components of our
corporate identity.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 1Accomplishments before 1983 are attributable to professionals prior to joining the predecessor firm.2Employees of xBK LLC acting as dual officers of Mellon Investments Corporation. Dedicated to Index and Multi-Asset & Multi-Factor Equity and Fixed Income Product Lines. See Additional Information inDisclosure Statements.
Mellon’s Long-Term Commitment to Indexing
● Our culture of value preservation and risk management dates back to our Index founders, William Fouse and Thomas Loeb, who pioneered the creation and growth of indexing1
o 1971–First equity index portfolioo 1973–First S&P 500® index strategyo 1981–International equity index strategy
● Maintained liquidity during 2008–2009 financial crisis with no gates or lock-ups
● Broad resources supporting our indexing businesso Knowledgeable portfolio management team
» Team of experienced indexing portfolio managers» Consult with index providers to help improve index investability
o Experienced trading2 group» Global presence: Trading 24 x 6 in over 100 countries» 200+ broker relationships» Advisory and board presence with exchanges and trading venues
● Scale and size to capitalize on relationships, technology and data science to optimize client outcomes
o 1981–First small stock index fundo 1984–First broad-based fixed income index fund
4
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. *Gross of fees on a since inception basis. See Additional Information in Disclosure Statements. [25450]
Breadth and Depth of Coverage
Fixed Income Indexing Capabilities
5
Competitive Performance
Focus on Preserving
Value
Risk Controlled
Index strategies that closely track their benchmarks with very low tracking error*
Transparent, systematic process focused on every basis point combined with long history of innovation and execution expertise
A systematic investment process with risk controls throughout
Regions
● U.S.● Developed markets● Emerging Markets
Currency● Local● Hard● Developed● EM● Hedged● Unhedged
Vehicles
● Collective Funds● Mutual Funds● Separate Accounts● UCITS● ETFs
Duration● Short (1-3 yr)● Intermediate (3-10yr)● Long (10-20 yr)● Ultra Long (20-30yr)● Custom Long Duration
Sectors
● Treasury & TIPS● Government-Related● Credit● Securitized
As of December 2019. 1Employees of xBK LLC acting as dual officers of Mellon Investments Corporation. CFA is a designation obtained through the CFA Institute. CAIA is a professional designationoffered by the CAIA Association. See Additional Information in Disclosure Statements. [25189]
Indexing Team
6
Leadership
Portfolio Management Resources
Paul Benson, CFA, CAIAHead of Multi-Factor Fixed Income
Multi-Factor Fixed Income
Dimitri CurtilHead of Asset Allocation Research
Chris Yao, CFAHead of Quantitative Equity Research
Deepak AgrawalHead of Fixed Income Quantitative Research
Research
Dragan SkokoHead of Trading & Trade Analytics
Global Trading1
Jeff Zhang, CFAExecutive Vice President, CIO, Head of Multi-Asset
Karen Wong, CFAManaging Director,Head of Index –Portfolio Management
Stephanie HillManaging Director,Head of Index –Business & Strategy
Thomas Durante, CFACo-Head of Equity Index –Portfolio Management
Richard A. Brown, CFACo-Head of Equity Index –Portfolio Management
Equity Index
Nancy Rogers, CFAHead of Fixed Income Index –Portfolio Management
Fixed Income Index
Meet Performance Objective
See Additional Information in Disclosure Statements.
Our Philosophy
7
We believe that quality indexing is the intersection between preserving value and managing risks
ManageRisks
PreserveValue
MeetPerformance
Objective
Quality Indexing
1Traders are employees of xBK LLC acting as dual officers of Mellon Investments Corporation. See Additional Information in Disclosure Statements. [25450]
A thoughtful and deliberate investment process
Fixed Income Indexing Investment Process
● TIPS index exposures typically uses full index replication
● Thoughtful buy/sell decision making process seeks to minimize tracking error and match the index characteristics of duration, convexity, spread, DTS (Duration times spread)
● Continuous communication between the trading desk1 and portfolio manager along with sophisticated trading tools help facilitate best execution and minimization of transaction costs
8
Risk Controls
Quality Indexing
Portfolio Analysis and Rebalancing Process
Trading Strategy Development to Manage Market Impact
TriggerEvents
Trade Execution
Post-Trade Analysis to Monitor Results
Trade Submission with Real-Time Oversight
Trading prompted by ● Index rule changes
and rebalancing● Contributions and
redemptions● Credit monitoring
Factors monitored● Systematic Risk: term
structure, sectors, quality, optionality, duration, coupon, country, currency
● Non-systematic Risk: issuer-specific, issue specific
● Client guidelines
Pre-trade analysis● Liquidity● Index changes● Characteristics
analysis● Credit monitoring
Review process● Senior PMs approve trade
list prior to submission● Trading desk identifies
potential real-time market and liquidity issues
● PMs may make intra-trade adjustments to trade execution instructions
Trading Methods● In-kind trading● Open market
execution
Evaluation● Performance attribution● Implementation costs● Broker Execution● Trader performance● Risk Monitors
See Additional Information in Disclosure Statements. [25450]
Comprehensive Systems for Portfolio ManagementOur Fixed Income Portfolio Analytics Proprietary Software (ReX)● Portfolio vs. benchmark analysis● Index data at bond level● Flexible market structure viewing● Generates trades and sends orders to our Order Management System (OMS)● Market structure reports that segment index by attributes
The Manager Workbench within ReX is used to view exposures, generate trades, and submit orders to the OMS. The Workbench is fully
customizable and allows Portfolio Managers to dynamically change the layout based on Asset
Class or preferences.
PMs review trades before sending orders to our OMS.
PMs graphically view exposures
9
To Construct and Control Portfolio Tracking
Multi-faceted Risk Control and Management
● Analyze sources of portfolio risk
● Determine expectation of tracking error relative to the benchmark
● Utilize proprietary credit model to mitigate downgrade or default risk
● Consider risks not readily apparent through risk modeling
● Apply scenario analysis tests to identify potential portfolio stressors
10
Risk Analysis
Credit Selection
Strict risk controls ensure tight tracking to the benchmark
1 2
Duration Industry Exposure
Credit Rating
Risk Controls
Inv. Grade
High Yield
QualityGlobal
US
GeographyLong
Short
DurationIndex Plus
Index
Active Risk
See Additional Information in Disclosure Statements.
See Additional Information in Disclosure Statements.
Ability to trade large bond baskets at significantly lower t-cost within a single day
Pioneering Portfolio Implementation
● 7+ years of experience in trading US high yield
● Bond basket trading builds upon pioneering work in leveraging ETF eco-system to reduce trading costs
● Complete market exposure using various market completion tools (ETFs, CDX, etc.)
11
Mellon
A. Individual
bonds
B. Fixed basket of
liquid bonds
C. Custom basket of diversified bonds
$$$$ $$$$ $$$$
Our size and scale allows us to capitalize on relationships, technology and data science to optimize trading outcomes
Trading1: Setting a new standard
12
ResearchExecution Services
● Reporting
● Trade Advisory
● Transaction Cost Analysis*
● Internal data science team
● Proprietary Trading Insights Platform
● Participant in regulatory and market structure forums
● Advisory and board presence with exchanges and trading venues
● Fixed Income, Equities, FX and Derivatives
● Global presence: Trade in over 100 countries
● 24 x 6 live trading coverage
● 200+ broker relationships
● Comprehensive access to liquidity
BostonSan Francisco
Hong Kong
*Note: To be delivered in 2020
1Traders are employees of xBK LLC acting as dual officers of Mellon Investments Corporation. See Additional Information in Disclosure Statements.
See Additional Information in Disclosure Statements.
Fixed Income Indexing Comprehensive Systems from Portfolio Management to Compliance
Proprietary Reconciliation Applications
13
Portfolio Analysis and RebalancingBloomberg
Port Yield Book Bloomberg Proprietary Analytics
ReconciliationProprietary Reconciliation
Applications
Order Management
Charles River
Books and Records
Portia
Performance/Reporting
Eagle PACE
Batch Compliance
Charles River
1Traders are employees of xBK LLC acting as dual officers of Mellon Investments Corporation. See Additional Information in Disclosure Statements.
Multi-dimensional approach to Risk Management
Risk Management Framework
14
Portfolio Management● Portfolio cash, exposure, misweightings, and performance● Cross-account position and cash/derivatives exposure● Trade review and approval
Guideline Compliance● Portfolio guidelines periodically monitored by a dedicated
compliance department
Trade Management Oversight Group1
● Broker approval and performance review● Best execution review● Trade evaluation
Portfolio Risk Group● Cross-sectional portfolio and tracking error review
Separation of Duties1
● Separate portfolio management, trading, trade operations, accounting, and cash operations providing checks and balances
Disaster Recovery● Procedures designed to minimize impact on business continuity
should a disaster occur
Gross of Fees | As of September 30, 2019
Performance
15
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. Index data source: Bloomberg Barclays. Performance presented for measurement periods prior toFebruary 1, 2018 represents the portable performance results of a prior affiliated firm which have been linked to the on-going track record for the composite or the composite’s representative accountshown as supplemental information. Returns for periods greater than one year are annualized. Performance is expressed in U.S. dollars. The information shown above is above is supplemental to acorresponding GIPS compliant presentation, which has been prepared and presented in compliance with the Global Investment Performance Standards (GIPS®), in the back of this presentation.Variations in totals due to rounding. 1Partial year period. See Additional Information in Disclosure Statements. [25450]
U.S. TIPS Index Composite & Bloomberg Barclays U.S. TIPS Index
Annualized Returns (%)
Annual Returns (%)
2018 2017 2016 2015 20141 2013 2012 2011 2010 2009Composite -1.27 2.99 4.68 -1.45 0.39 - - - - -Benchmark -1.26 3.01 4.68 -1.44 0.31 - - - - -Excess Return -0.01 -0.02 0.00 -0.01 0.08 - - - - -
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
Year-to-Date 1 Year 3 Years 5 Years Since Inception (4/30/2014)Composite 7.58 7.12 2.20 2.44 2.33Benchmark 7.58 7.13 2.21 2.45 2.32Excess Return 0.00 -0.01 -0.01 -0.01 0.01
1
Characteristics | As of September 30, 2019
U.S. TIPS Index
16
Duration BreakdownMaturity Breakdown
1Benchmark: Bloomberg Barclays U.S. Intermediate Treasury Index. Mellon Investments Corporation relies on the quality ratings provided by Bloomberg Barclays Capital for the securities held in thePortfolio and Index and calculates the average quality rating using the weighted quality rating of such securities. Bloomberg Barclays Capital's ratings consider the credit ratings of Moody's InvestorsService, Standard & Poor's and Fitch Ratings. When the average quality rating falls between two letter ratings, both will be shown with a slash between them. In the case where the average qualityrating doesn't fall between two ratings, the single rating will be shown twice with a slash in between. Bloomberg Barclays benchmark source: Bloomberg Barclays POINT/Global Family of Indices.©2019 Bloomberg Barclays Capital Inc. Used with permission. The information shown above is for a representative account and is supplemental to a corresponding GIPS compliant presentation,which has been prepared and presented in compliance with the Global Investment Performance Standards (GIPS®), in the back of this presentation. See Additional Information in DisclosureStatements. [25450]
Characteristics Portfolio Benchmark¹Number of Securities 40 40Yield to Worst 1.87% 1.87%Average Maturity in Year(s) 8.39 8.38Average Qualty AAA/AAA AAA/AAAOption Adjusted Duration 7.85 7.85Option Adjusted Spread 16 bps 16 bps
0.00%
20.58%
20.59%
17.68%
25.02%
16.12%
0.00%
20.58%
20.59%
17.69%
25.03%
16.13%
0% 5% 10% 15% 20% 25% 30%
< 1 Year
1 - < 3 Years
3 - < 5 Years
5 - < 7 Years
7 - < 10 Years
>10 Years
Portfolio Benchmark1
0.00%
20.58%
23.13%
16.69%
23.47%
16.12%
0.00%
20.57%
23.14%
16.69%
23.48%
16.13%
0% 5% 10% 15% 20% 25%
< 1 Year
1 - < 3 Years
3 - < 5 Years
5 - < 7 Years
7 - < 10 Years
>10 Years
Portfolio Benchmark1
Characteristics | As of September 30, 2019
U.S. TIPS Index
17
Credit Quality WeightsSector Weights
1Benchmark: Bloomberg Barclays U.S. Intermediate Treasury Index .The list of top five holdings should not be considered a recommendation to purchase or sell a particular security, may representonly a small percentage of the entire portfolio and the securities purchased for advisory clients, and may not remain in the portfolio at the time you receive this report. You should not assume thatinvestments in the securities identified were or will be profitable or that decisions we make in the future will be profitable. Bloomberg Barclays benchmark source: Bloomberg Barclays POINT/GlobalFamily of Indices. ©2019 Bloomberg Barclays Capital Inc. Used with permission. The information shown above is for a representative account and is supplemental to a corresponding GIPS compliantpresentation, which has been prepared and presented in compliance with the Global Investment Performance Standards (GIPS®), in the back of this presentation. See Additional Information inDisclosure Statements. [25450]
Security Description Coupon % Maturity Portfolio %1 United States Treasury Inflation Indexed Bond 0.13 04/15/21 3.732 United States Treasury Inflation Indexed Bond 0.63 04/15/23 3.653 United States Treasury Inflation Indexed Bond 0.13 04/15/22 3.644 United States Treasury Inflation Indexed Bond 0.63 01/15/24 3.645 United States Treasury Inflation Indexed Bond 0.38 07/15/23 3.61
Security Description Coupon % Maturity Portfolio %6 United States Treasury Inflation Indexed Bond 0.13 07/15/22 3.587 United States Treasury Inflation Indexed Bond 0.13 01/15/23 3.578 United States Treasury Inflation Indexed Bond 0.38 07/15/25 3.579 United States Treasury Inflation Indexed Bond 0.25 01/15/25 3.5310 United States Treasury Inflation Indexed Bond 0.13 07/15/24 3.51
Top 10 Holdings
100.00%
100.00%
0% 20% 40% 60% 80% 100% 120%
Treasuries
Portfolio Benchmark1
100.00%
0.00%
0.00%
0.00%
0.00%
0.00%
100.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0% 20% 40% 60% 80% 100% 120%
AAA
AA
A
BAA
≤BA
NR
Benchmark1Portfolio
Fees are subject to change at the discretion of the manager. This fee schedule may differ from the standard fee schedule and actual fees being charged to accounts currently participating in thiscomposite. See Additional Information in Disclosure Statements. [25450]
Proposed Fee for Los Angeles Water and Power Employees’ Retirement Plan
18
Strategy Vehicle Management Fee*
US TIPS 0-5 Year Index Strategy Separate Account0.015% on the first $100 million0.01% on the next $100 million
0.0075% thereafter
*This fee schedule is combined across the two separate accounts, resulting in an effective fee of 0.0097% or $43,750.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. See Additional Information in Disclosure Statements. [25450]
Why Mellon for Indexing?
19
Competitive performance, cost-effective process designed to yield “no surprises” results
Competitive Performance Proposed separate account structure combines competitive fee levels with account transparency and flexibility
Focus on Preserving Value Investment approach and portfolio management tools built to tightly tracking portfolios
Risk Aware Actively consider risk throughout investment process
Disclosures
20
Performance Disclosure
U.S. TIPS Index Composite
21
2018 2017 2016 2015 20141
Asset-weighted Gross -1.27 2.99 4.68 -1.45 0.39BB Barclays U.S. TIPS -1.26 3.01 4.68 -1.44 0.31Composite 3-Yr St Dev 3.10 3.51 N/A N/A N/ABenchmark 3-Yr St Dev 3.10 3.51 N/A N/A N/ANumber of Portfolios ≤ 5 ≤ 5 ≤ 5 ≤ 5 ≤ 5Composite Assets ($mm) 368 359 316 462 458Firm Assets ($mm) 481,490 376,540 339,574 349,089 379,698Assets Under Advisory ($mm) 11,410Composite Dispersion N/M N/M N/M N/M N/M
The U.S. TIPS Index Composite measures the total return of all fee-paying , discretionary, fixed income portfoliosthat seek to track the performance of the Bloomberg Barclays U.S. TIPS Index with minimal tracking error. Theuse of derivatives is a characteristic of this investment strategy and may be used from time to time to obtainexposure, to provide liquidity for cash flows, to hedge accruals or for other purposes that facilitate meeting thecomposite’s objective. The composite was created on April 30, 2014. Composite performance started on May 1,2014. The performance of the composite is expressed in U.S. Dollars. A complete list of composites with theirdescriptions as well as Policies and Procedures for valuing portfolios, calculating performance, and preparingcompliant presentations are available upon request.
Mellon Investments Corporation (“Mellon”) is a registered investment advisor and subsidiary of The Bank of NewYork Mellon Corporation ("BNY Mellon"). The firm also includes assets managed by Mellon personnel acting asdual officers of affiliated companies. Prior to changing its legal name on January 2, 2019, the firm was defined asBNY Mellon Asset Management North America Corporation (“BNY Mellon AMNA”) a registered investmentadvisor and subsidiary of The Bank of New York Mellon Corporation ("BNY Mellon"). The firm was formed onJanuary 31, 2018, through the merger of The Boston Company Asset Management, LLC (“TBCAM”) and StandishMellon Asset Management Company LLC ("Standish") into Mellon Capital Management Corporation ("MellonCapital”). Performance is presented to show the performance of all fee-paying portfolios with substantiallysimilar investment objectives, policies and strategies, which were managed at a prior firm affiliated with MellonInvestment Corporation until February 1, 2018. Performance results from the prior affiliated firm were linked onFebruary 1, 2018 to the results achieved at Mellon Investments Corporation in compliance with the GIPSGuidance Statement on Performance Record Portability. Firm assets presented through December 31, 2017represent the Firm assets of the Mellon Investments Corporation prior affiliated firm which managed thisinvestment strategy prior to the formation of Mellon Investments Corporation.
The composite’s benchmark is the Bloomberg Barclays U.S. TIPS Index. The Bloomberg Barclays U.S. TIPS Indexconsists of Inflation Protection Securities issued by the U.S. Treasury. Some composite participants may usedifferent pricing vendors from other participants and the composite's benchmark.
The standard management fee for separately managed accounts in this strategy is 0.04% for first $100M, 0.03%for the next $100M, and 0.02% for the balance of assets under management. The following provides a simplifiedexample of the cumulative effect of management fees on investment performance: An annual management feeof 0.80% applied over a five-year period to a $100 million portfolio with an annualized gross return of 10% wouldreduce the value of the portfolio from $161,051,000 to $154,783,041. The actual management fee that applies toa client’s portfolio will vary, performance fees may apply and returns will be reduced by other expenses that theportfolio may incur. The standard fee schedules for Mellon Investments Corporation strategies are shown in Part2A of Mellon Investments Corporation Form ADV.
Gross performance figures are time-weighted rates of return, which include the deduction of transaction costs.Performance results reflect the reinvestment of interest income and other earnings. Gross-of-fee performancefigures for bank collective funds participating in the composite have been reduced by administrative fees inaddition to trading expenses. Bank collective fund returns may exclude transaction costs associated with client-driven contributions and withdrawals. Internal dispersion figures are an asset-weighted standard deviation of allportfolios that were included in the composite for the entire measurement period. Dispersion figures for yearscontaining 5 or fewer Portfolios are considered Not Meaningful or "N/M". The composite track record lacks therequired 36 months necessary for the three year annualized ex-post standard deviation where "N/A" ispresented.Mellon Investments Corporation claims compliance with the Global Investment Performance Standards (GIPS®)and has prepared and presented this report in compliance with the GIPS standards. Mellon InvestmentsCorporation has been independently verified for the periods January 1, 2017 through December 31, 2017. Theverification reports are available upon request. Verification assesses whether (1) the firm has complied with allthe composite construction requirements of the GIPS standards on a firm- wide basis and (2) the firm’s policiesand procedures are designed to calculate and present performance in compliance with the GIPS standards.Verification does not ensure the accuracy of any specific composite presentation. Mellon InvestmentsCorporation's predecessor firms all have been independently verified for the periods January 1, 2007 throughDecember 31, 2017.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
1Composite performance started on May 1, 2014. Partial period returns have not been annualized.
Disclosure
22
Mellon Investments Corporation (“Mellon”) is a registered investment advisor and subsidiary of The Bank of New York Mellon Corporation ("BNY Mellon"). The Firm also includes assets managed byMellon personnel acting as dual officers of affiliated companies. Prior to changing its legal name on January 2, 2019, the firm was defined as BNY Mellon Asset Management North America Corporation(“BNY Mellon AMNA”) a registered investment advisor and subsidiary of The Bank of New York Mellon Corporation ("BNY Mellon"). The Firm was formed on January 31, 2018, through the merger of TheBoston Company Asset Management, LLC (“TBCAM”) and Standish Mellon Asset Management Company LLC ("Standish") into Mellon Capital Management Corporation ("Mellon Capital”). AUM, clientand employee counts are as of the most recent quarter end, unless noted otherwise. Firm Assets presented include non-discretionary assets as well as the notional exposure of overlay strategies. BNYMellon Investment Management is one of the world’s leading investment management organizations and one of the top U.S. wealth managers, encompassing BNY Mellon’s affiliated investmentmanagement firms, wealth management services and global distribution companies. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation and may also be used as a genericterm to reference the Corporation as a whole or its various subsidiaries generally.
The Bank of New York Mellon ("BNY Mellon"), a New York state chartered banking institution, is the discretionary trustee for its bank-maintained collective investment funds which include any fundspresented. The Bank is responsible for the management of the Funds, including the custody of Fund assets. Employees of Mellon Investments Corporation (“Mellon”) manage the assets of the Funds intheir capacity as dual officers of BNY Mellon. BNY Mellon and Mellon are subsidiaries of The Bank of New York Mellon Corporation. Any collective investment funds presented are not deposits of, andare not insured or guaranteed by, any bank, the FDIC or any other government agency. Please refer to the fund’s Schedule A for important additional information.
This document may not be used for the purpose of an offer or solicitation in any jurisdiction or in any circumstances in which such offer or solicitation is unlawful or not authorized. This material (or anyportion thereof) may not be copied or distributed without Mellon’s prior written approval.
Statements are current as of the date of the material only.
The following provides a simplified example of the cumulative effect of management fees on investment performance: An annual management fee of 0.80% applied over a five-year period to a $100million portfolio with an annualized gross return of 10% would reduce the value of the portfolio from $161,051,000 to $154,783,041. The actual investment advisory fees incurred by clients may varydepending on account size, structure, cash flow and other account-specific factors. Mellon’s standard fees are shown in Part 2A of its Form ADV.
No investment strategy or risk management technique can guarantee returns or eliminate risk in any market environment. Past results are not indicative of future performance and are no guaranteethat losses will not occur in the future. Future returns are not guaranteed and a loss of principal may occur.
Performance is expressed in U.S. dollars unless noted otherwise. Performance results for one year and less are not annualized. Many factors affect performance including changes in market conditionsand interest rates and in response to other economic, political, or financial developments.
To derive Ten Largest Holdings, Characteristics, Economic Sector Weightings, Country Weightings and Portfolio Holdings for presentation purposes, a representative institutional account(“Account”) has been identified to be used as a proxy for the strategy. The information provided in this document should not be considered a recommendation to purchase or sell any particularsecurity. There is no assurance that any securities discussed herein will remain in an account’s portfolio at the time you receive this report or that securities sold have not been repurchased. Thesecurities discussed do not represent an Account’s entire portfolio and in the aggregate may represent only a small percentage of an Account’s portfolio holdings. It should not be assumed that any ofthe securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal theinvestment performance of the securities discussed herein.
Some information contained herein has been obtained from third-party sources that are believed to be reliable, but the information has not been independently verified by Mellon. Mellon makes norepresentations as to the accuracy or the completeness of such information and has no obligation to revise or update any statement herein for any reason.
Charts and graphs herein are provided as illustrations only and are not meant to be guarantees of any return. The illustrations are based upon certain assumptions that may or may not turn out to betrue.
The use of corporate names or logos in this presentation, other than those of Mellon or its affiliates, is for illustrative purposes only and rights to any logos, trademarks or servicemarks are owned bytheir respective entities. It is not known whether the listed companies endorse or disapprove of Mellon or any advisory services provided.
Mellon claims compliance with the CFA Institute Asset Manager Code of Professional Conduct. This claim has not been verified by CFA Institute.
The indices referred to herein are used for comparative and informational purposes only and have been selected because they are generally considered to be representative of certain markets.Comparisons to indices as benchmarks have limitations because indices have volatility and other material characteristics that may differ from the portfolio, investment or hedge to which they arecompared. The providers of the indices referred to herein are not affiliated with Mellon, do not endorse, sponsor, sell or promote the investment strategies or products mentioned herein and they makeno representation regarding the advisability of investing in the products and strategies described herein. Please see Mellon.com for important index licensing information.
[23983]
Los Angeles Water and Power Employees’ Retirement Plan
For Investment Professional Use Only.
2895351.1.1.AM.INST 1
James KramerSonya Park
January 22, 2020
State Street Global Advisors Firm Overview
2
This State Street Global Advisors material is for institutional, one-to-one use only.The information contained in this document is current as of the date presented unless otherwise noted.
For Investment Professional Use Only.
Marketing Communication
2007673.19.1.GBL.INST
About State Street Corporation
1State Street and McKinsey Global Institute, Global Capital Markets December 31, 20182This represents State Street’s year-end 2018 Assets Under Custody and Administration, AUCA, (USD $32.9T) as a proportion of September 30, 2019
Responsible for 10% of the world’s assets¹
2007673.19.1.GBL.INST 3
Asset ServicingCustomized servicing solutions across traditional and alternative investments, with $32.9T under our care2
Research and TradingData-driven insights and technology platforms that improve clients’ access to global financial markets
Data and AnalyticsData management tools, analysis and software that can help clients make better investment decisions
Asset ManagementActive and index investment strategies and solutions that help clients reach their financial goals
About State Street Global Advisors
11AUM reflects approximately $45.01 billion (as of September 30, 2019), with respect to which State Street Global Advisors Funds Distributors, LLC (SSGA FD) serves as marketing agent; SSGA FD and State Street Global Advisors are affiliated2 As of December 31, 20183 As of September 30, 20194 During regional market hours
2007673.19.1.GBL.INST 4
$2.95Trillion in Assets1
2800+ Clients
14Million DC Participants2
63Countries with Clients
9Investment Centers3
24-hourGlobal Trading Capability4
A Leading Partner to Institutions and Intermediaries
Source: P&I Research Center, as of 12/31/2018 and Morningstar, as of 12/31/2018
2007673.22.2.GBL.INST 5
#1government retirement plan provider globally
sovereign wealth fund asset manager
US endowment & foundation asset manager
#2US Defined Benefit provider
US Defined Contribution Investment Only (DCIO) manager
#3largest asset manager
largest ETF provider
largest index manager (excluding ETFs)
central bank asset manager
Top 10Institutional Money Market provider
Outsourced Chief Investment Officer (OCIO) services
ETF Model Portfolio manager
US$2.95 Trillion in Assets Under Management¹ Clients by AUM
1AUM reflects approximately $45.01 billion (as of September 30, 2019), with respect to which State Street Global Advisors Funds Distributors, LLC (SSGA FD) serves as marketing agent; SSGA FD and State Street Global Advisors are affiliated2Official Institutions is a client type that includes all plan type assets including DB and DC.
2007673.19.1.GBL.INST 6
Defined Benefit$604B AUM
Defined Contribution$477B AUM
Intermediary$711B AUM
Official Institutions 2
$458B AUM
Cash Direct Commingled$183B AUM
Cash Sec Lending$69B AUM
Not For Profit$86B AUM
Insurance$110B AUM
Other$256B AUM
Cash $251B
AUM
Fixed Income Index Investing and Passive Short Duration US TIPS
7
This State Street Global Advisors material is for institutional, one-to-one use only.The information contained in this document is current as of the date presented unless otherwise noted.
For Investment Professional Use Only.
Marketing Communication
2895351.1.1.AM.INST
A Leader in Fixed Income IndexingFixed Income Index Investing | Overview
As of 30 September 2019.
2004325.22.1.GBL.INST 8
We Offer Real Breadth and Depth in Fixed Income
Managing fixed income index strategies for over 30 yearsOver 40 fixed income strategies offered globallyInvestment centres in Boston, London, Singapore, Sydney, and Tokyo
Our Heritage is Index Investing
Over 30 portfolio managers and dedicated trading deskOur PMs average more than 15 years of experienceExpertise across all major regions, currencies and sectors
Innovative Client Investment Solutions
Market-leading researchReal-world innovations that unlock new markets for investorsESG investment solutions
Indexing Assets Under Management by Sector
Fixed Income Index Investing | Overview
As of 30 September 2019Source: BIG (Fund View). Total Assets Under Management (AUM) is stated in USD and is for Fixed Income assets managed by the Fixed Income Beta Solutions team only, exclusive of all cash and securities lending assets and fixed income portfolios managed by ISG. All calculations are unaudited. Other includes: indexing accounts with large degrees of customisation, Convertible, Securitised and Municipal Indexing Strategies.Fixed Income Indexing AUM of US$403 bn is equivalent to: EUR 370 bn; GBP 328 bn ; CHF 402 (based on Bloomberg FX data as at date shown).
9
Aggregate
Corporate/Credit
Government & Credit
High Yield
Inflation Linked
Treasury & Government-Related
Other
$403Billion
Emerging Markets
$76
$66
$20$24
$25$19
$124
$49
2895351.1.1.AM.INST
Fixed Income Investing | Overview
Dedicated Fixed Income Professionals Globally
As of 30 September 2019CFA® is a trademark of the CFA Institute.
2004325.22.1.GBL.INST 10
Indexed Fixed Income Active Fixed Income QuantitativeResearch
Cash Management
Venky Venkataramani, CFAGlobal Head of Beta Fixed Income
Matthew Nest, CFAGlobal Head of Active Fixed Income
Ramu Thiagarajan, PhDGlobal Head of QuantitativeResearch
Pia McCuskerGlobal Head of Cash Management
IndexingSmart BetaLiability Driven InvestmentBuy & Maintain
Currency Solutions Active Rates and CreditMulti-sector Fixed IncomeStructured CreditMunicipals
Data AnalyticsQuantitative Strategy DesignModel Implementation
Cash ManagementSecurities LendingCash & Structured Credit Research Enhanced Cash
36 Investment Professionals 35 Investment Professionals 11 Investment Professionals 21 Investment Professionals
Matthew Steinaway, CFAGlobal Chief
Investment Officer
13 FI Portfolio Strategists & Specialists
17 Traders (11 Fixed Income & 6 FX)
13 FI Investment & Liquidity Risk Professionals
Fixed Income Investing | Overview
Specialization within Fixed Income
Source: State Street Global Advisors, as of 30 September 2019
2004325.22.1.GBL.INST 11
North America Index Investing OrganizationSpecialization provides the insights to manage multiple portfolios and is designed to deliver world-class index solutions and performance
CreditMike Brunell, CFA Dave Marchetti, CFABrad Sullivan, CFA Frank Miethe, CFAChristopher Distefano Read BurnsKyle Kelly, CFA, FRM Christian Hoffmann
Global RatesJim Kramer Cindy MoyOrhan Imer, PhD, CFA Joanna MaddenNikita Imennov, PhD, FRM
SecuritizedMarc DiCosimo, CFANic Fischer, CFAMike Przygoda, CFA
Venky Venkataramani, CFAGlobal Head of Fixed Income Index Strategies
Patrick Bresnehan, CFANorth America Head of Fixed Income Index Strategies
Fixed Income Index Investing | Investment Process
Index Investment Management Process
Source: State Street Global Advisors
2004325.22.1.GBL.INST 12
• We understand markets
• We manage risks and costs
• Aim to deliver superior index investment outcomes Identify
Sources of Risk
Efficient Implementation
Portfolio Design
Monitoring & Oversight
Fixed Income Index Investing | Investment Process
We Trade and Implement Efficiently
As of 30 September 2019. Asset classes include equity, fixed income, futures and currency Fixed Income figures include activity under Boston and London desks only.
13
Portfolio Managers Work with Our Dedicated Trading Desk to Achieve Best Execution
• Centralized trading desk
• Dedicated Rates, Credit and MBS Traders
Strong Relationship with Major Broker/Dealers
• Leverage our size to achieve superior execution
• Trade in primary and secondary markets
• Adapt trading venue for size, instrument and conditions
Global Desk In Place For Over 17 Years24-hour trading capabilities, with traders located in Boston, London, and Hong Kong
34 Traders Servicing 243 Portfolio Managers Across 10 Investment Centers
3.3 Million TicketsExecuted Last Year
US$2.5 trillion notional traded in 2018
2895351.1.1.AM.INST
Fixed Income Index Investing | Investment Process
Interconnected Functions Improve Control and Oversight
2004325.22.1.GBL.INST 14
Designed and built around our portfolio management process and workflowComprehensive view of portfoliosFull data integration with other SSGA applicationsContinuous development and improvements
Proprietary PM System
Benchmark & Portfolio Data
Client Guidelines & Compliance
Liquidity Risk Analysis
TradingSystems
Risk Analysis& Oversight
Performance Attribution
PORTFOLIO MANAGEMENT
Where does performance come from?
Real time monitoring & reporting
Necessary inputs
Executions
Trading strategies
Respect client requirements
What We DeliverFixed Income Index Investing | Conclusions
15
Fixed income business
with proven track record
Expertiseacross all
major regions, currencies
and sectors
Managed by an
experienced team within a disciplined framework
Investment innovationunlocks new markets and
strategies
Emphasis on collaboration
to support clients in
achieving the desired
outcome
2895351.1.1.AM.INST
As of September 30, 2019. Figure provided in USD.
2131658.3.1.GBL.INST
A Leader in TIPS Strategies
16
Knowledge & Infrastructure• We have made a large
investment in skills and systems over decades
• We have a dedicated fixed income index portfolio management team
Tight Tracking
• Our tight tracking error spans mandates and markets globally
• Extensive track record in managing against single-country, regional and global indexes
Scale & Scope
• We manage over $49 billion in inflation linked bond strategies globally
• Significant market presence helps enable efficient access to liquidity
• Experience of trading in size helps provide smooth execution
As of September 30, 2019. Sources: Market data, prices, and estimates for characteristics calculations provided by Barclays POINT. All other portfolio data provided by State Street Global Advisors. The Supplemental Information above (except for Composite AUM (shown in USD) is that of a single representative account within the Composite, which is subject to change. The representative account was chosen because it has no material restrictions and fairly represents the investment style of the Strategy. The Supplemental Information should not be deemed to be reflective of (and could differ from) the overall Composite or any other single account within the Composite. Characteristics, sectors, and weights are as of the date indicated, are subject to change, and should not be relied upon as current thereafter. This information should not be considered a recommendation to invest in a particular sector or to buy or sell any security shown. It is not known whether they will be profitable in the future. Characteristics and weights presented are calculated using the month end market value of holdings. Average Credit Quality reflects market value weight of all the rated securities held by the portfolio (excludes unrated securities) using the middle rating provided by either S&P, Moody and Fitch or the lower if only two agency ratings are available.
1-10 Year US Treasury TIPS Index Composite Characteristics
17
100.
00
0.00
0.00
0.00
0.00
0.00
100.
00
0.00
0.00
0.00
0.00
0.00
AAA AA A BBB Below Baa NR
Breakdown by Market Value: By Sector (%) By Quality (%)
1-10 US Treasury TIPS Index Composite Bloomberg Barclays US TIPS 1-10 Year IndexNumber of Issues 31 29Average Quality AAA AAAAverage Maturity 5.36 5.42Yield to Worst (%) 1.80 1.80Average Convexity 0.36 0.36Modified Adjusted Duration 5.13 5.19Composite AUM ($M)* 4,259.26 N/A
1-10 Year US Treasury TIPS Index CompositeBloomberg Barclays US TIPS 1-10 Year Index
100.
00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.
00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2895351.1.1.AM.INST
1-10 Year US Treasury TIPS Index Composite Performance
* Inception Date: February 2011. Source: State Street Global Advisors. 1 Returns greater than one year are annualized. Returns represent past performance and are not a guarantee of future results. Current performance may differ from the performance shown. Returns shown are asset-weighted using Composite member market values, where the Composite member's return calculations are time-weighted and reflect the reinvestment of dividends and other income. 2 These performance figures are provided gross of fees and expenses other than actual trading fees and expenses, and reflect all items of income, gain, and loss. 3 These performance figures (i) are provided net of actual trading, audit, custody, administrative and legal fees and expenses; (ii) beginning on 9/30/2014, adjusted quarterly to reflect the highest investment management fee on the actual fee schedule, inclusive of incentive fee, if any, of any account within the Composite ("Management Fee") at the relevant time; prior to 9/30/2014, adjusted for an assumed investment management fee, which is equal to or higher than the Management Fee (except in each case certain small accounts-subject to a minimum investment management fee-may have incurred an actual investment management fee higher than that fee assumed in calculating the performance shown above); and (iii) reflect all items of income, gain and loss. 4 Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income and the reinvestment of dividends (net of withholding tax rates) and other income and are calculated in US dollars. It is not possible to invest directly in an index. Performance returns are calculated in US dollars. Calculation for value added returns may show rounding differences. The above information is considered supplemental to the GIPS presentation for this Composite, which can be found in the Appendix or was previously presented. A GIPS presentation is also available upon request. gPBGILB
18
QTR (%) YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 10 Years(%) Since Inception* (%)1-10 US Treasury TIPS Index Composite (Gross)1,2 0.63 5.88 5.82 1.97 1.96 N/A 2.14Bloomberg Barclays U.S. TIPS 1-10 Year Index4 0.62 5.89 5.83 1.97 1.96 N/A 2.14Value Added 0.01 -0.01 -0.01 0.00 0.00 N/A 0.001-10 US Treasury TIPS Index Composite (Net)1,3 0.61 5.81 5.72 1.87 1.87 N/A 2.06Bloomberg Barclays U.S. TIPS 1-10 Year Index4 0.62 5.89 5.83 1.97 1.96 N/A 2.14Value Added -0.01 -0.08 -0.11 -0.09 -0.09 N/A -0.08Tracking Difference 6 bps 6 bps 6 bps N/A 6 bps
5.09
-5.6
1
0.88
-0.5
4
3.99
1.93
-0.2
7
5.88
5.04
-5.6
6
0.83
-0.6
0
3.88
1.83
-0.3
7
5.81
5.08
-5.5
9
0.87
-0.5
3
4.01
1.93
-0.2
8
5.89
2012 2013 2014 2015 2016 2017 2018 2019 YTD
1-10 US Treasury TIPS Index Composite (GROSS) 1-10 US Treasury TIPS Index Composite (NET) Bloomberg Barclays US TIPS 1-10 Year Index
Annualized returns for the period ending September 30, 2019 (USD)
2895351.1.1.AM.INST
Inception date: January 2019. Data as of September 30, 2019. Sources: Market data, prices, and estimates for characteristics calculations provided by Bloomberg PORT. All other portfolio data provided by State Street Global Advisors. The Supplemental Information above (except for Composite AUM (shown in USD) is that of a single representative account within the Composite, which is subject to change. The representative account was chosen because it has no material restrictions and fairly represents the investment style of the Strategy. The Supplemental Information should not be deemed to be reflective of (and could differ from) the overall Composite or any other single account within the Composite. Characteristics, sectors, and weights are as of the date indicated, are subject to change, and should not be relied upon as current thereafter. This information should not be considered a recommendation to invest in a particular sector or to buy or sell any security shown. It isnot known whether they will be profitable in the future. Characteristics and weights presented are calculated using the month end market value of holdings. Average Credit Quality reflects market value weight of all the rated securities held by the portfolio (excludes unrated securities) using the middle rating provided by either S&P, Moody and Fitch or the lower if only two agency ratings are available. 1 Returns greater than one year are annualized. Returns represent past performance and are not a guarantee of future results. Current performance may differ from the performance shown. Returns shown are asset-weighted using Composite member market values, where the Composite member's return calculations are time-weighted and reflect the reinvestment of dividends and other income. 2 These performance figures are provided gross of fees and expenses other than actual trading fees and expenses, and reflect al l items of income, gain, and loss. 3 These performance figures (i) are provided net of actual trading, audit, custody, administrative and legal fees and expenses; and (ii) reflect all items of income, gain and loss. 4 Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income and the reinvestment of dividends (net of withholding tax rates) and other income and are calculated in US dollars. It is not possible to invest directly in an index. Performance returns are calculated in US dollars. Calculationfor value added returns may show rounding differences. The above information is considered supplemental to the GIPS presentat ion for this Composite, which can be found in the Appendix or was previously presented. A GIPS presentation is also available upon request. gPUSTIPS
0-5 Years US Treasury TIPS Index Characteristics & Performance
19
27.2
1
8.13 22
.06
22.3
5
20.2
5
17.7
6
20.4
0
21.3
1
21.5
4
19.0
0
0 to 1 1 to 2 2 to 3 3 to 4 4 to 5Years
Breakdown by Market Value: By Maturity (%)0-5 Year US Treasury TIPS Composite
Bloomberg Barclays US TIPS 0-5 Year Index
Number of Issues 17 15Average Quality AAA AAAAverage Maturity 2.56 2.58Yield to Worst (%) 1.81 1.80Average Convexity 0.10 0.10Modified Adjusted Duration 2.52 2.54Composite AUM ($M)* 365.59 N/A
0-5 Year US Treasury TIPS Index CompositeBloomberg Barclays US TIPS 0-5 Year Index
QTR (%) 6 MO (%) Since Inception* (%)0-5 US Treasury TIPS Index Composite (Gross)1,2 0.36 2.03 3.75Bloomberg Barclays U.S. TIPS 0-5 Year Index4 0.32 2.00 3.72Value Added 0.04 0.03 0.030-5 US Treasury TIPS Index Composite (Net)1,3 0.35 2.02 3.71Bloomberg Barclays U.S. TIPS 0-5 Year Index4 0.32 2.00 3.72Value Added 0.03 0.02 -0.00Tracking Error 0 bps
Returns for the period ending September 30, 2019 (USD)
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Appendix A:Supplemental Information
202895351.1.1.AM.INST
TIPS
21
Source: Bloomberg Finance, L.P., State Street Global Advisors. As of 31 December 2019.Past performance is not a guarantee of future results.
0.00
0.50
1.00
1.50
2.00
2.50
2yr 5yr 10yr 20yr 30yr
Perc
ent
Breakeven Inflation
12/31/2019 9/30/2019
0.00
0.50
1.00
1.50
2.00
2.50
3.00
2y 5y 7y 10y 30y
Perc
ent
Nominal Treasury Curve
12/31/2019 9/30/2019
-0.10
0.00
0.10
0.20
0.30
0.40
0.50
0.60
0.70
2yr 5yr 10yr 20yr 30yr
Perc
ent
Real Yields
12/31/2019 9/30/2019
(0.50) -
0.50 1.00 1.50 2.00 2.50 3.00 3.50
Oct-12 Jan-14 Apr-15 Jul-16 Oct-17 Jan-19
Perc
ent
Consumer Price Index
CPI Headline YOY CPI Core YOY
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Appendix B:GIPS® Presentation
22
GIPS® is a trademark owned by CFA Institute.
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23
Gross Returns Footnotes
GIPS® Report: 1-10 Year U.S. Treasury Inflation Protected Securities (TIPS) Index Composite (As of December 31, 2018)
Period Quarter YTD 1 Year 3 Years 5 Years 10 Years Inception Feb 2011
1-10 Year U.S. Treasury Inflation Protected Securities (TIPS) Index Composite
-0.06 -0.27 -0.27 1.87 1.18 N/A 1.61
Bloomberg Barclays U.S. Government Inflation-Linked 1-10 Yrs Index -0.06 -0.28 -0.28 1.87 1.19 N/A 1.61
Year
No. of Portfolios at Period
End
Composite Dispersion
3 Yr Annualized Standard
Deviation—Composite
3 Yr Annualized Standard
Deviation—Benchmark
Total Assets at End of Period
(USD)
% of Firm’s Assets
Total Firm Assets
(USD mil)
2018 * N/A 2.33 2.33 3,390,186,132 0.14 2,457,4042017 * N/A 2.67 2.68 2,916,598,653 0.11 2,714,7052016 * N/A 3.20 3.22 2,644,513,990 0.12 2,291,8332015 * N/A 3.75 3.76 2,103,996,407 0.10 2,188,0912014 * N/A 3.71 3.72 1,729,576,403 0.07 2,383,4932013 * N/A ** ** 835,996,512 0.04 2,279,2372012 * N/A ** ** 703,160,509 0.03 2,023,842(Feb-Dec) 2011 * N/A ** ** 530,602,076 0.03 1,768,142
Year 1-10 Year U.S. Treasury Inflation Protected Securities (TIPS) Index Composite
Bloomberg Barclays U.S. Government Inflation-Linked 1-10 Yrs Index
2018 -0.27 -0.282017 1.93 1.932016 3.99 4.012015 -0.54 -0.532014 0.88 0.872013 -5.61 -5.592012 5.09 5.08(Feb-Dec) 2011 7.83 7.84
gPBGILB* 5 portfolios or less. ** Less than 3 years. Quarterly and YTD returns are not annualized. Investment Objective: The Strategy seeks an investment return that approximates as closely as practicable, before expenses, the performance of its benchmark index (the "Index") over the long term.Investment Strategy: The Strategy is managed using an "indexing" investment approach, by which SSGA attempts to approximate, before expenses, the performance of the Index over the long term. The Strategy will not necessarily own all of the securities included in the Index. The Strategy may attempt to invest in the securities comprising the Index, in the same proportions as they are represented in the Index. However, due to the diverse composition of securities in the Index and the fact that many of the securities comprising the Index may be unavailable for purchase, it may not be possible for the Strategy to purchase some of the securities comprising the Index. In such a case, SSGA will select securities for the Portfolio that SSGA expects will provide a return comparable to that of the Index. SSGA expects that it will typically seek to replicate Index returns for the Portfolio through investments in the "cash" markets - actual holdings of debt securities and other instruments - rather than through "notional" or "synthetic" positions achieved through the use of derivatives, such as futures contracts or swap transactions (except in the unusual case where SSGA believes that use of derivatives is necessary to achieve an exposure that is not readily available through the cash markets). The Strategy's return may not match the return of the Index.
Firm Definition: For the purpose of complying with the Global Investment Performance Standards (GIPS®), the firm ("SSGA-Global") is defined as all portfolios managed across the global offices of State Street Global Advisors (SSGA) and SSGA Funds Management, Inc., with the exception of Charitable Asset Management which is held out to the marketplace as a distinct business entity. Prior to January 2011, SSGA-Global excluded its wrap fee business and assets accounted for on a book value basis (global cash and stable value assets). Prior to July 2017, SSGA-Global excluded Fiduciary Advisory Solutions. In January 2011, SSGA acquired the Bank of Ireland Asset Management Limited (now known as SSGA Ireland Limited), a GIPS Compliant firm. On January 01, 2012 SSGA Ireland Limited assets were merged into SSGA-Global. In July 2016, SSGA acquired the asset management and advisory services business conducted by GE Asset Management (“GEAM”), a GIPS Compliant firm. On July 01, 2017 GEAM assets were merged into SSGA-Global.Composite Description: The Composite seeks to achieve the Investment Objective described below using the Investment Strategy described below.Compliance Statement: SSGA Global claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with GIPS. SSGA-Global claims compliance with the GIPS standards from January 01, 2000. The period prior to January 01, 2000 (where shown) is not in compliance, as not all actual fee-paying portfolios are in a composite. SSGA Global has been independently verified for the periods January 01, 2000 through December 31, 2017. GE Asset Management (GEAM) was not independently verified for the calendar year 2016 while transitioning into the firm. The verification report is available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.List Available: A complete list of the firm’s composites and their descriptions is available upon request.Currency: Performance is presented in USD.Creation Date: The composite was created on October 01, 2013.Benchmark Description: The benchmark for the composite is the Bloomberg Barclays U.S. Government Inflation-Linked 1-10 Yrs Index. Index returns are unmanaged and do not reflect the deduction of any fees or expenses but include all items of income, gain, and loss. On October 01, 2016, the benchmark name changed from Barclays U.S. Government Inflation-Linked 1-10 Yrs Index to Bloomberg Barclays U.S. Government Inflation-Linked 1-10 Yrs IndexUse of Subadvisors: None.Fees: Returns are expressed gross of management fees. The results do not reflect the deduction of investment management fees. Some members of this composite may accrue administration fees. The client's return will be reduced by the management fee. For example, if an annualized gross return of 10% was achieved over a 5-year period and a management fee of 1% per year was charged and deducted annually, then the resulting total return would be reduced from 61% to 54%.Fee Schedule: Management fees are 0.040% of the first $50M, 0.030% on the next $50M, and 0.025% thereafter for a commingled fund; and 0.050% of the first $50,000,000; 0.040% of the next $50,000,000; and 0.025% thereafter for a Separate Account . The minimum annual management fee for separately managed accounts is $175,000. Management fees may be adjusted based upon specific client requirements.Derivatives Use: SSGA may use futures and other derivatives from time to time in the management of the Strategy generally as a temporary substitute for cash investments or for hedging purposes and not with the purpose of creating investment leverage.Calculation Methodology: Additional information is available upon request regarding the firm’s policies and procedures for calculating and reporting performance results as well as valuation procedures.Annualized Returns: All returns for periods greater than one year have been annualized.Withholding Taxes Differences: None.Exchange Rates Differences Between Composite & Benchmark: None.Minimum Asset Level for Inclusion: 0Dispersion: Asset-Weighted standard deviation is calculated using the annual returns of the accounts that were included in the composite for all periods of the year and is not presented for periods with 5 or fewer accounts in the composite for the full year.Significant Events: In June 2013, Steve Meier, CIO of Cash, replaced Kevin Anderson, Ph.D. as the CIO of Fixed Income, Currency and Cash. Kevin Anderson, Ph.D. previously CIO and Head of Fixed income, assumed the role of Head of Investments for the Asia Pacific. In July 2014, on the departure of Maria Dwyer, Matt Steinaway was named interim Chief Risk Officer. Matt replaced Maria Dwyer, who was appointed to the leadership team of the Office of Regulatory Initiatives Oversight. In November 2014, David Saulnier was appointed as Chief Risk Officer for SSGA, replacing Matt Steinaway. Matt Steinawayresumed his position as Head of Global Cash Management. In March 2015, Timothy Corbett was appointed Head of Global Investment Risk replacing Fred Gjerstad who has since left the firm. In March 2015, Ronald O' Hanley was appointed CEO and President of State Street Global Advisors replacing Scott Powers who retired. In June 2015, Greg Ehret was named President continuing to report to Ron O’Hanley, chief executive officer of SSGA. In August 2015, Matt Steinaway was appointed as Chief Risk Officer for SSGA, replacing David Saulnier who has since left the firm. In September 2015, John Philpot, Head of Portfolio Management EMEA Fixed Income Beta team, left the firm. In December 2015, Ronald O' Hanley, Chief Executive Officer of SSGA, re-assumed the role of President of the company upon the departure of Greg Ehret. Steven Lipiner was appointed Chief Financial Officer replacing Keith Crawford who was appointed head of global mergers and acquisitions. On March 30, 2016, SSGA agreed to acquire GE Asset Management (GEAM). The transaction was finalized on July 01, 2016. In December 2016, Venky Venkataramani was appointed SSGA’s Global Head of Fixed Income Beta Solutions replacing Brian Kinney. In July 2016, Ralph Layman became Vice Chairman of SSGA. Jay Hooley retired as CEO of State Street Corporation at the end of 2018, succeeded by Ron O' Hanley who was also appointed President and COO. Cyrus Taraporevala became President and CEO of State Street Global Advisors.Past and Future Performance: Historic performance is not necessarily indicative of actual future investment performance, which could differ substantially.
Appendix C:Important Disclosure
242895351.1.1.AM.INST
Important Disclosure
25
This document contains certain statements that may be deemed forward looking statements. Please note that any such statements are not guarantees of any future performance and actual results or developments may differ materially from those projected. The information provided does not constitute investment advice and it should not be relied on as such. It should not be considered a solicitation to buy or an offer to sell a security. It does not take into account any investor's particular investment objectives, strategies, tax status or investment horizon. You should consult your tax and financial advisor. All material has been obtained from sources believed to be reliable. There is no representation or warranty as to the accuracy of the information and State Street shall have no liability for decisions based on such information.
Bonds generally present less short term risk and volatility than stocks, but contain interest rate risk (as interest rates rise bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer term securities. Any fixed income security sold or redeemed prior to maturity may be subject to a substantial gain or loss.
Government bonds and corporate bonds generally have more moderate short term price fluctuations than stocks, but provide lower potential long term returns.
Passively managed funds invest by sampling the index, holding a range of securities that, in the aggregate, approximates the full Index in terms of key risk factors and other characteristics. This may cause the fund to experience tracking errors relative to performance of the index.
The trademarks and service marks referenced herein are the property of their respective owners. Third party data providers make no warranties or representations of any kind relating to the accuracy, completeness or timeliness of the data and have no liability for damages of any kind relating to the use of such data.
Investing involves risk including the risk of loss of principal. Diversification does not ensure a profit or guarantee against loss.
All the index performance results referred to are provided exclusively for comparison purposes only. It should not be assumed that they represent the performance of any particular investment.
Gross of fees performance does not reflect the deduction of investment management fees or performance allocations. A client’s return will be reduced by the management fees and any other expenses incurred in the management of the account. For example, if an annualized gross return of 10% was achieved over a 5–year period and a management fee of 1% per year was charged and deducted annually, then the resulting return would be reduced from 61% to 54%.
The whole or any part of this work may not be reproduced, copied or transmitted or any of its contents disclosed to third parties without State Street Global Advisor’s express written consent.
This document provides summary information regarding the Strategy. This document should be read in conjunction with the Strategy's Disclosure Document, which is available from SSGA. The Strategy Disclosure Document contains important information about the Strategy, including a description of a number of risks.United States: State Street Global Advisors, 1 Iron Street, Boston, MA 02210-1641.
Web: www.ssga.com
© 2019 State Street Corporation — All Rights Reserved.
Tracking Code: 2895351.1.1.AM.INST
Expiration Date: February 29, 2020
2895351.1.1.AM.INST
Appendix D:Biographies
262895351.1.1.AM.INST
BiographiesJames Kramer
Jim is a Vice President of State Street Global Advisors and Senior Portfolio Manager in the Global Fixed Income, Currency and Cash Investment team. In his current role he is responsible for managing Global Treasuries, Inflation and Aggregate Bond portfolios for ETFs, commingled funds and separately managed accounts.
Prior to joining Global Fixed Income, Currency and Cash team, Jim was Head of North America Fixed Income Trading. He was responsible for a team of traders that execute all cash bonds and derivative instruments for the Active and Passive Fixed Income Groups. Prior to heading the trading desk, Jim was a Senior Portfolio Manager in the Interest Rate Strategies Group at SSGA. His primary responsibilities included the portfolio management of active government and inflation linked strategies. Other responsibilities included directing U.S. interest rate strategies globally for SSGA.
Jim has a BA in Economics from Fitchburg State College. He started his career at State Street Bank and Trust Company and has been working in the investment industry since 1993.
27
Sonya Park
Sonya is a Managing Director of State Street Global Advisors in the San Francisco Office. She is responsible for managing existing SSGA client relationships and driving new business development in the Western U.S.
Prior to joining State Street Global Advisors in 2011, Sonya was a Vice President at Dimensional Fund Advisors in the Institutional Sales & Services Group. Prior to Dimensional Fund Advisors, Sonya was an Associate Director at Watson Pharmaceuticals. Sonya has also worked at Lehman Brothers as an Equity Research Analyst and began her career at SEI Corporation.
Sonya earned a BA from the University of Pennsylvania and an MBA from the NYU Stern School of Business and has been working in the financial services industry since 1993. Sonya holds the FINRA 7 and 63 registrations. Sonya also holds the NFA Series 3 and 30 and is an Associated Person of SSGA Funds Management, Inc. ('SSGA FM') SSGA FM is a Commodity Trading Advisor registered with the Commodity Futures Trading Commission.
2895351.1.1.AM.INST