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29
Item No. 29: Annual Presentation by Western Asset Management Company – Global Inflation Linked Securities Manager (January 24, 2018, Regular Retirement Board Meeting)
____________________________________________________________________________
INVESTMENT MANAGER SUMMARY
MANAGEMENT Firm Name Western Asset Management Company Manager Tenure with Fund 7.7 years Investment Strategy/Vehicle Global Inflation Linked Securities Contract Expiration 3/31/2019
ASSETS Total Firm AUM (as of 09/30/17) $435.1 Billion Total Firm Assets in Strategy (as of 09/30/17) $3.8 Billion Total Assets Managed for WPERP (as of 11/30/17)
RP - $383.9 Million HP - $64.3 Million
PERFORMANCE As of 11/30/2017 1-Year 3-Year 5-Year Inception*
WAMCO GILS (gross) 3.60% 3.64% 2.83% 4.16% WAMCO GILS (est. net) 3.42% 3.46% 2.66% 3.97% WGILB Index Hedged** 3.62% 3.60% 2.79% 4.39% Difference (net) -0.20% -0.14% -0.13% -0.42% *Performance inception date of 5/1/2010; ** Bloomberg Barclays World Govt. Inflation-Linked Bond (WGILB) Index Hedged
FEES Schedule 0.175% flat fee
WATCH STATUS Placed on performance watch status on April 12, 2017
PREVIOUSLY DISCLOSED LITIGATION
None
0
Los Angeles Water & Power Employees’ Retirement Plan
January 10, 2018
Frances L. Coombes Paul E. Wynn
1
Table of Contents
I. About Western Asset
II. Philosophy, Process and People
III. Performance Review
IV. Portfolio Review and Characteristics
V. Summary of Holdings
VI. Global Inflation-Linked Outlook
VII. Appendix
2
About Western Asset
3
Source: Western Asset. As of 30 Sep 17*Splits time between Hong Kong and Singapore offices
AUM by Sector – Total $435.1 billion (USD)
126 investment professionals on five continents and in seven offices
22 years of average experience 36 portfolio and quantitative
analysts in portfolio operations
168 staff dedicated to client service Specialized teams to meet
individual client needs
Independent risk management function with 31 professionals including 11 PhDs
393 staff dedicated to globally integrated operations
About Western AssetWestern Asset is a globally integrated fixed-income manager, sourcing ideas and investment solutions worldwide
Investment Management
Client Service & Marketing
Risk Management & Operations
Western Asset’s Deep Global Integration Allows Us to Source Investment Ideas and Investment Solutions Across Regions
Western Asset At a Glance
Founded in 1971. Independent affiliate of Legg Mason since 1986 Fixed-income value investors $435.1 billion (USD) AUM
– $367.2 billion (USD) long-term assets– $67.9 billion (USD) cash and cash
equivalent assets 851 employees
Organizational Pillars
Clients first Globally integrated Team-based Active fixed-income Integrated risk management
Global Footprint (AUM in USD billions)
SingaporeInv. Professionals: 5Managed: $5.6Serviced: $20.6Total Staff: 22
New YorkInv. Professionals: 23Managed: $126.5Serviced: $105.4Total Staff: 88
LondonInv. Professionals: 16Managed: $35.7Serviced: $30.9Total Staff: 64 Tokyo
Inv. Professionals: 4Managed: $6.6Serviced: $40.4Total Staff: 24
São PauloInv. Professionals: 17Managed: $13.2Serviced: $12.4Total Staff: 64
Pasadena (HQ)Inv. Professionals: 56Managed: $228.1Serviced: $188.2Total Staff: 571
DubaiServiced: $31.0
Total Staff: 1
Hong KongTotal Staff: 1*
MelbourneInv. Professionals: 5Managed: $19.4Serviced: $6.2Total Staff: 17
1611
2626
436566
8399
OtherGlobal Inflation-linked
Local Authority & MunicipalsGlobal High-Yield
Emerging Markets DebtCash & Cash Equivalents
MBS/ABSSovereign, Treasuries & Agencies
Global IG Corporate
4
Investment SolutionsWestern Asset offers a full range of fixed-income products that can be tailored to meet the needs of our clients
Selected Investment Strategies
Broad Market Global Core/Core Full Discretion Regional Core/Core Full Discretion Regional Intermediate Global Sovereign
Credit Global Credit Investment-Grade Credit Global High-Yield US Bank Loans US High-Yield Short-Duration High Income
Unconstrained / Alternatives Macro Opportunities Total Return Unconstrained Global Total Return Multi-Asset Credit Global Multi-Sector Tail Risk Protection
Long Duration / LDI Long Duration Long Credit Liability-Driven Investing
Mortgage / Asset-Backed Agency Mortgage-Backed Securities Structured Products Diversified Loan Opportunities MBS Opportunities
Emerging Markets Debt EMD Diversified EMD Local Currency Sovereign Debt EMD USD Corporate Credit EMD USD Sovereign EMD Total Return
Inflation-Linked US TIPS Global Inflation-Linked
US Municipals Short Duration Muni Intermediate Muni Managed Muni
Liquidity / Short Duration Money Market Enhanced Cash Limited Duration
Hedge liabilities Enhance income
Identifying Investment Solutions to Align With Client Objectives and Risk Tolerances Protect from rising rates Protect from inflation
Preserve capital Diversify globally
Generate tax-free income Generate total return
5
About Western Asset – ClientsCommitted to excellence in client service
As of 31 Oct 17. Please see the Representative Client List Disclosure in the Appendix for more information. All have authorized the use of their names by Western Asset for marketing purposes.Such authorization does not imply approval, recommendation or otherwise of Western Asset or the advisory services provided.
Representative Client ListCorporate
American Cast Iron Pipe CompanyArcelorMittal USA Inc.Arconic Inc.AT&T Investment Management CorporationBayer CorporationCampbell Soup CompanyCaterpillar Inc.Chrysler LLCClark Enterprises, Inc.CNH Global N.V.Consolidated Communications Holdings, LLCConsolidated Edison Company Of New York, Inc.Consolidated Rail CorporationDeutsche Bank Americas Holding Corp.First Data CorporationGraphic Packaging International IncorporatedHawaiian TelcomHighbury Pacific Capital Corp.International Paper CompanyJohn Lewis Partnership Pensions TrustJP Morgan Chase CorporationKennametalMacy's, Inc.Meijer, Inc.Nestle USA, Inc.Nisource, Inc.NXP Semiconductor, Inc.PCS Administration (USA), IncSouthern California EdisonSouthern CompanyStichting Pensioenfonds DSM-NederlandThe Dun & Bradstreet CorporationThomson ReutersUnisys CorporationVerizonWestlake Chemical CorporationWhirlpool CorporationXPO Logistics
Public / Gov. / Sovereign WealthAnne Arundel (MD) Retirement SystemsArkansas Local Police and Fire Retirement SystemBaltimore County (MD) Employees Retirement SystemCalifornia State Teachers' Retirement SystemCity of Grand RapidsCity of OrlandocompenswissEast Bay Municipal Utility DistrictERS of the City of Baton Rouge & Parish of E. BRERS of the State of Rhode IslandFiremen's Annuity and Benefit Fund of ChicagoFresno County Employees' Retirement AssociationGeorgia Municipal AssociationGloucestershire County CouncilGovernment of Bermuda Public FundsHampshire County CouncilIndiana State Treasurer's OfficeIowa Public Employees' Retirement SystemKansas Public Employees Retirement SystemLA County Employees Retirement AssociationLouisiana Sheriff's Pension & Relief FundMarin County Employees' Retirement AssociationMinnesota State Board of InvestmentOhio Police & Fire Pension FundOklahoma City Employee Retirement SystemOrange County Transportation AuthorityOregon Investment CouncilPhoenix City Employees' Retirement SystemPublic Employee Retirement System of IdahoPublic School Teachers' Pension and Retirement Fund of ChicagoSalt River Project Agricultural Improvement andPower DistrictSchool Employees Retirement System of OhioState of Ohio Bureau of Workers CompensationTennessee Valley AuthorityVentura County Employees' Retirement AssociationWashington Metro Area Transit AuthorityWichita (KS) Retirement SystemsWyoming Retirement System
Multi-Employer / Unions1199SEIU Health Care Employees Pension FundAlaska Electrical Trust FundsAustin Firefighters Relief & Retirement FundAutomotive Machinists Pension TrustBoilermaker Blacksmith National Pension TrustCarpenters District Council of Kansas CityConstruction Industry LaborersDirectors Guild of America-PPHPHeavy & General Laborers’ Locals 472/172IBEW Local 25IBEW Local No. 9Iron Workers Local #11 Benefit FundsIUOEE Construction Ind Ret Plan, Locals 302 and 612Line Construction Benefit FundNational Asbestos WorkersNational Education Association of the United StatesNew England Healthcare Emp Union,1199, AFL-CIONew Jersey TransitOperating Engineers Local #428 Trust FundsPacific Coast RoofersRetail Wholesale & Department Store UnionS. Nevada Culinary & Bartenders Pension Trust FundUA Union Local No. 290 Plumber, Steamfitter & Shipfitter Industry Pension TrustUFCW Union Local 919W. Washington Laborers Employers Pension Trust
EleemosynaryAbilene Christian UniversityAmerican Academy in RomeCommonfundCommunities Foundation of TexasDomestic & Foreign Missionary Society ECUSAGlass─Glen Burnie FoundationHebrew SeniorLifeSaint Louis UniversityStrada Education Network, Inc.Texas Presbyterian FoundationThe Diocese of AllentownThe Donald B. and Dorothy L. Stabler FoundationThe University of Iowa Center for AdvancementUnited Negro College FundUniversity of Southern CaliforniaUniversity of Wisconsin FoundationWallace H. Coulter FoundationWashington State University
HealthcareAbington Memorial HospitalAscension Investment ManagementBaptist Healthcare System, Inc.Baylor Scott & White HoldingsCatholic Health InitiativesCHRISTUS HealthGundersen Health SystemKaiser PermanenteLCMC HealthNorthShore University HealthSystemSisters of Charity of St. Augustine Health System, Inc.St. George Corporation
InsuranceAmerican Contractors Insurance GroupAnthem, Inc.Blue Cross Blue Shield of MassachusettsCapital BlueCrossCatalina Holdings (Bermuda) LtdGreat-West Life & Annuity Insurance CompanyHealth Care Service CorporationJewelers Mutual Insurance CompanyOil Investment Corporation Ltd.
Sub-AdvisoryAsset Management One Co., Ltd. (AMOne)ContassurGuideStone Capital Management, LLCLegg Mason, Inc.Morgan StanleyRussell Investment GroupSEI Investments Management CorporationSumitomo Mitsui Asset Management Company, Limited (Institutional)Tokio Marine Asset Management Co., Ltd. (Retail)
6
Philosophy, Process and People
7
Investment PhilosophyThese are the core beliefs that drive our investment decision-making
Long-term fundamental value
Multiple diversified strategies
Markets often misprice securities. Prices can deviate from fundamental fair value, but over time, they typically adjust to reflect inflation, credit quality fundamentals and liquidity conditions. Consistently investing in undervalued securities may deliver attractive investment returns.
We can systematically identify mispricings. We believe we can identify and capitalize on markets and securities that are priced below fundamental fair value. We do this through disciplined and rigorous analysis, comparing prices to the fundamental fair values estimated by our macroeconomic and credit research teams around the globe.
Our portfolios emphasize our highest convictions. The greater the difference between our view of fair value and markets’ pricing, the bigger the potential value opportunity. The greater the degree of confidence in our view of fundamentals, the greater the emphasis of the strategies in our portfolios.
We seek diversified sources of returns. Our objective is to meet or exceed our investors’ performance objectives within their tolerances for risk. We seek to diversify investments and add value across interest rate duration, yield curve, sector allocation, security selection, country and currency strategies. We deploy multiple diversified strategies that benefit in different environments so no one strategy dominates performance, helping to dampen volatility.
8
Risk Management
Portfolio Construction
Yield Curve
Country
Interest Rate Duration
Sector/Subsector
Currency
Investment ProcessOur time-tested investment process is designed around our value philosophy and our team-based approach.
ClientPortfolio
Global Inflation-Linked Investment Process and Team Interaction
SecuritySelection
StrategicPortfolio
Strategy Committees
Macro and Credit Investment Outlook
Client Objectives and Guidelines
Regional Government Teams
Global Inflation-Linked Team Global Investment Strategy Committee Global Inflation-Linked Strategy
Committee
9
PeopleThe Global Investment Strategy Committee sets the overall themes for the Firm’s investment strategies.
Sets macro, country, currency and sector investment themes
Meets weekly to evaluate and establish the global investment outlook over a 6-9 month horizon.– Based on long-term economic developments
and market valuations– Leveraging local experts and broad top-down
analysis
Evaluates risk factors and potential scenarios. Sets the risk tone for all investment strategies
As of 30 Sep 17
Andrew J. BelshawUK/Europe
Annabel RudebeckNon-US Credit
Chia-Liang Lian, CFA
Emerging Markets
Gordon S. BrownCo-Head of
Global Portfolios
Rajiv SachdevaPortfolio &
Quantitative Analysis
Anthony Kirkham, CFA
Australia / New Zealand
John L. Bellows, CFA
Fed Policy
Kazuto DoiJapan
Michael C. Buchanan, CFA
Deputy CIO / Global Credit
Paulo E. CliniBrazil
Andrew CormackGlobal Portfolios
Global Investment Strategy Committee
S. Kenneth LeechChief Investment Officer
10
PeopleThe Global Inflation-Linked investment team leverages Western Asset’s global investment capabilities.
As of 30 Sep 17
Risk Managers
Western Asset Investment TeamInvestment Management Professionals Chief Investment Officer: S. Kenneth Leech Deputy CIO: Michael C. Buchanan 126 Investment Professionals on five continents and
seven offices, as of September 30, 2017 22 years of average experience
Major Investment Committees Global Investment Strategy Committee Global Credit Committee US Broad Strategy Committee Global Emerging Markets Strategy Committee Unconstrained Asset Allocation Committee
Sector and Regional Teams Global credit Investment-grade High-yield Emerging markets Mortgage and Asset-backed Long duration US municipal Liquidity Insurance
US Europe UK Japan Asia Brazil Australia /
New Zealand
Global Inflation-Linked Investment Team
Portfolio Analysts
Paulo A.P. Caricati Manager, EMEA Risk
Matthew Hodges Portfolio Analyst
S. Kenneth LeechChief Investment Officer
Andrew J. Belshaw Head of Investment
Management, London
Richard A. Booth Portfolio Manager
Frederick R. Marki Portfolio Manager
Product Specialists
Catherine L. MatthewsGlobal Product Specialist
Paul E. WynnProduct Specialist
Dmitriy Gioyev Risk Analyst
Kenneth J. Winston Chief Risk Officer
11
Key investment personnel for global inflation-linked bond accounts:
S. Kenneth Leech – Chief Investment Officer (Pasadena)Andrew J. Belshaw – Head of Investment Management, London (London)Richard A. Booth – Portfolio Manager (London)Frederick R. Marki – Portfolio Manager (Pasadena)Catherine L. Matthews – Global Product Specialist (London)Paul E. Wynn – Product Specialist (Pasadena)
Global Inflation-Linked Bonds – Key Personnel
As of 30 Sep 17
`
12
Total dedicated inflation-linked mandates $7.63 billion
7 global inflation-linked mandates $3.78 billion
10 US inflation-linked mandates $2.71 billion
1 UK inflation-linked mandate $0.06 billion
1 Euro inflation-linked mandate $1.08 billion
Opportunistic allocation in diversified fixed-income mandates $3.25 billion
Total inflation-linked securities under management $10.88 billion
Western Asset Global Inflation-Linked Capabilities3Q 2017
Note: Data may not sum to total due to rounding.
13
Real Interest Rate Exposure
Growth and inflation outlook Monetary policy
Yield Curve Strategy
Energy/food Prices Business cycle and policy Pension fund demand
Country Allocation
Sovereign credit risk Relative growth/inflation Supply dynamics
Currency
Diversification versus commodities
Sector (Breakeven)
Inflation outlook and expectations Central Bank Inflation policy Money/credit growth
Global Inflation-LinkedAlpha Sources
Fundamentals
`
14
Risk ManagementIn our culture, effective risk management is critical to successful portfolio management
Source: Western Asset
Client Service Executives
Risk ManagersPortfolio ManagersIn
vest
men
t Com
mitt
ees
Client
Market and Credit Risk Com
mittee
Risk Systems and ToolsCompliance Process
Integrating risk management into portfolio construction and in the independent review of portfolio risks strengthens its
effectiveness.
Risk management is a team effort. Robust communication and escalation procedures underpin the independence and
transparency of risk management.
Analyzed
Appropriately Rewarded
Aligned
Monitored
Client Objectives and Risk Tolerances
15
Performance Review
16
Portfolio Guidelines
Eligible Securities
Any of the following fixed income securities, individually or in commingled vehicles, subject to credit, diversification and marketability guidelines below, may be held outright and under resale agreement.
(1) Inflation-Indexed and Non-Inflation-Indexed obligations issued or guaranteed by the U.S. Federal Government, U.S. Federal agencies or U.S. government-sponsored corporations and agencies;
(2) Inflation-Indexed and Non-Inflation-Indexed obligations of U.S. and non-U.S. corporations such as debentures, mortgage bonds, commercial paper, certificates of deposit and bankers acceptances issued by industrial, utility, finance, commercial banking or bank holding company organizations;
(3) Inflation-Indexed and Non-Inflation-Indexed obligations denominated in U.S. dollars or foreign currencies of international agencies, supranational entities and foreign governments (or their subdivisions or agencies), as well as foreign currency exchange-related securities, warrants, and forward contracts;
(4) Inflation-Indexed and Non-Inflation-Indexed obligations issued or guaranteed by U.S. local, city and state governments and agencies; and
(5) Inflation-Indexed securities defined under Rule 144A;
(6) Foreign exchange contracts
Duration Exposure
The modified duration of portfolio security holdings is expected to range within + 30% of the benchmark.
Credit Quality
In all categories, emphasis will be on high-quality securities and the weighted average of portfolio holdings will not fall below AA- or equivalent. Holdings are subject to the following limitations:
(1) Rated Securities: 100% of the portfolio will be of "investment grade", i.e. rated as high as or higher than the following standards or their equivalent by two or more nationally recognized statistical rating organizations (NRSRO): Standard & Poor's BBB-, or A-2, or Moody's Baa3, or Prime-2, or Fitch BBB-, or F-2
(2) Other Unrated Securities: Securities not covered by the standards in (1) above will normally be, in the judgment of WAMCO, at least equal in credit quality to the criteria implied in those standards. Obligations in unrated securities are limited to 10% of the total portfolio.
(3) Downgraded Securities: Securities which fall below the stated minimum credit requirements subsequent to initial purchase may be held at WAMCO’s, discretion. WPERP should be notified of these securities.
(4) Securities Inside 270 Days: For securities with legal final maturities of 270 days or less, WAMCO may use the underlying credit’s short term ratings as proxy for establishing the minimum credit requirement. (continues)
17
Portfolio Guidelines (continued)
Diversification
(1) Maturity: Maturity: Inflation-Indexed and Non-Inflation-Indexed securities covering the full range of available maturities are acceptable.
(2) Sector: subject to the following limitations:
(a) Up to 25% of the portfolio may be invested in non-inflation-indexed securities.
(3) Issuer: Holdings are subject to the following limitations:
(a) Obligations issued or guaranteed by the U.S. government, U.S. agencies or U.S. government-sponsored corporations and agencies are eligible without limit.
(b) Obligations of other national governments are limited to 50% per issuer.
(c) Obligations of other issuers are subject to a 5% per issuer limit excluding investments in commingled vehicles.
(4) Cash: The cash equivalent portion should not normally exceed 10% of the portfolio.
(5) Currency: Both long and short currency exposures are permitted. However, the aggregate of all active long exposures (local country bond plus currency position) will not exceed 5% of the portfolio. (For example, a 5% local bond position in a country combined with a short (-5%) position in that country’s currency is fully hedged and, therefore, has 0% active long currency exposure. A 5% local bond position in a country with an “additional” 5% currency position represents a 10% active long currency exposure).
Marketability
All holdings will be of sufficient size and held in issues that are traded actively enough to facilitate transactions at minimum cost and accurate market valuation.
Performance Objectives
On an annual basis, WAMCO is expected to outperform the BC Global Inflation Linked USD Hedged Index return, net of fees, to be measured over a market cycle of three-to-five years. In addition a second objective is that, over a three-to-five year market cycle, realized tracking error should not exceed 1.25% versus the BC Global Inflation Linked USD Hedged Index.
18
Mild economic data tempered expectations for significantly stronger US growth and inflation
The Fed raised the rates twice and announced it would begin running off its $4.5 trillion balance sheet in October.
Sentiment shifted to how and when the ECB might start to normalize monetary policy
The UK triggered Article 50, officially starting the exit process from the EU
Eurozone political uncertainty declined post the French presidential election
Credit markets remained resilient despite heavy issuance and M&A activity
Risk premia in emerging market assets declined
Global government bonds posted mixed returns
Corporate bonds and emerging market bonds outperformed
The US dollar weakened
Year to Date 2017 Global Review
As of 30 Nov 17
19
Investment Results
1 Year Fiscal Performance (%)01 Dec 16 – 30 Nov 17Benchmark: 3.62Portfolio (Net): 3.36Portfolio (Gross): 3.57
Duration (yrs) Avg. QualityPortfolio 10.9 AAIndex 12.8 AA+
As of 30 Nov 17Performance shown is gross of fees. The account's actual return will be reduced by those fees and any other expenses chargeable to the account. As fees are deducted quarterly, the compounding effect will be to increase the impact of the fees by an amount directly related to the gross account performance. For example, on an account with a 1% annual fee, if the gross performance were 10%, the compounding effect of the fees would result in a net performance of approximately 8.93%. Returns for periods greater than one year are annualized. Returns since inception are as of the indicated close of business day.
0.6
2.3
3.6 3.6
2.9
4.2
0.6
2.1
3.4 3.4
2.7
4.0
0.6
2.2
3.6 3.6
2.8
4.4
0.00.51.01.52.02.53.03.54.04.55.0
1 Month Year to Date 1 Year 3 Years 5 Years Since Inception30 Apr 10
Total
Retu
rn (%
)Water & Power Employees' Retirement Plan - Retirement Fund (Gross)Water & Power Employees' Retirement Plan - Retirement Fund (Net)Bloomberg Barclays World Govt Inflation-Linked All Maturities USD Hedged Bond Index
Investment Performance
20
Investment Results
1 Year Fiscal Performance (%)01 Dec 16 – 30 Nov 17Benchmark: 3.62Portfolio (Net): 3.34Portfolio (Gross): 3.55
Duration (yrs) Avg. QualityPortfolio 10.8 AAIndex 12.8 AA+
As of 30 Nov 17Performance shown is gross of fees. The account's actual return will be reduced by those fees and any other expenses chargeable to the account. As fees are deducted quarterly, the compounding effect will be to increase the impact of the fees by an amount directly related to the gross account performance. For example, on an account with a 1% annual fee, if the gross performance were 10%, the compounding effect of the fees would result in a net performance of approximately 8.93%. Returns for periods greater than one year are annualized. Returns since inception are as of the indicated close of business day.
0.6
2.3
3.5 3.6
2.9
4.2
0.6
2.1
3.3 3.4
2.7
4.0
0.6
2.2
3.6 3.6
2.8
4.4
0.00.51.01.52.02.53.03.54.04.55.0
1 Month Year to Date 1 Year 3 Years 5 Years Since Inception30 Apr 10
Total
Retu
rn (%
)Water & Power Employees' Retirement Plan - Retiree Health Benefits Fund (Gross)Water & Power Employees' Retirement Plan - Retiree Health Benefits Fund (Net)Bloomberg Barclays World Govt Inflation-Linked All Maturities USD Hedged Bond Index
Investment Performance
21
Maturity Distribution (%) 5647 5655 Benchmark Coupon Distribution (%) 5647 5655 BenchmarkUnder 1 year 5.25 5.61 0.00 0 - 1 55.76 55.98 55.361 - 5 years 19.83 19.88 25.66 1 - 2 15.83 15.12 19.485 - 10 years 38.60 38.55 31.76 2 - 3 15.59 16.03 17.1210+ years 36.31 35.96 42.58 3 - 4 8.26 8.27 5.90Total 100.00 100.00 100.00 4 - 5 2.32 2.34 2.15
5+ 2.24 2.27 0.00Total 100.00 100.00 100.00
Currency Allocation (%) 5647 5655 Benchmark Quality Distribution (%) 5647 5655 BenchmarkUnited States 97.21 97.27 43.13 Cash 4.18 4.49 0.00United Kingdom 0.88 0.88 29.37 Foreign Exchange -1.12 -1.08 0.00Australia 0.02 -0.02 1.13 AAA 56.27 55.94 50.74Brazil 0.00 0.00 0.00 AA 24.72 24.67 38.77Danish Krone 0.00 0.00 0.23 A 3.63 3.66 2.41Euro -0.48 -0.49 20.33 BBB 12.32 12.33 8.08Canada -0.02 -0.02 1.97 Below I.G. 0.00 0.00 0.00Japan -1.01 -1.02 2.41 Total 100.00 100.00 100.00Mexico 2.24 2.27 0.00New Zealand 0.12 0.10 0.43Sweden 1.04 1.04 1.00Total 100.00 100.00 100.00
Portfolio CharacteristicsLos Angeles Water & Power Employees’ Retirement PlanNovember 30, 2017
22
Positive Contributors Overweight Italy versus Core Europe Long bias in GBP and EUR Short JPY versus USD
Negative Contributors Underweights in core European and UK duration US real yield flatteners Underweight UK vs US Overweight SEK vs EUR Overweight US breakevens in H1
Los Angeles Water & Power Employees’ Retirement PlanPerformance Summary – Global Inflation LinkedNovember 30, 2017
Source: Western AssetWestern Asset believes that attribution is not a hard science, but rather a means of evaluating strategies to determine their relative impact on overall portfolio performance. The intent of the manager, therefore, is critical in the evaluation of different strategies, and the return attribution for any sector or strategy could be over or understated due to its inclusion in another component. Data may not sum to total due to rounding.
Retirement Fund - 5647 1 Year Retireee Health - 5655 1 YearDuration -17 Duration -15Yield Curve 4 Yield Curve 4Country -2 Country -2Currency 3 Currency 3Sector Allocation 2 Sector Allocation 2Subsector Allocation 0 Subsector Allocation 0Selection/Residual 5 Selection/Residual 1Total Excess Return -5 Total Excess Return -7
23
Main Risk Positions
As of 13 Dec 17
Country Strategy Position Rationale RisksUK Curve Underweight 20-30yrs on the curve Less supply in the wings More long dated supply
Duration Underweight real yields Less inflation, BoE stirrings, expensive cross market Equity rally led de-riskingUS Duration Neutral real yields Long-dated real yields not consistent with growth/inflation mix Pension fund buying
Curve Bias towards 30yr real yields Ongoing program to reduce the curve flattener More Fed without inflationBreakeven Neutral Prefer to underweight nominals tactically than breakevens Further oil gains - upside inflation prints
Europe Duration Short French real yields Upcoming supply - less pension buying when deeply negative Worse growth outcomeBreakeven Long Italian BE Cheapest way to play gradual pick up in EZ inflation
Japan Duration Short real yields Growth-inflation better versus BOJ stimulus Better inflation pushes RY more negativeFX FX Long GBP tactically Too much Brexit pessimism - medium term cheap Can be very volatile
FX Long SEK vs EUR Riksbank super dovish in the face of better data/inflation Riksbank ignores the dataFX Short JPY tactically Relative balance sheet growth Quite range bound recently
24
YTD Global ReturnsAs of 30th November 2017
Currency
Source: Bloomberg, Bloomberg Barclays. As of 30 Nov 17
-14.2
-0.7
2.4
-19.5
6.4
-2.5
10.8
-11.9
9.9
-11.6-30-20-10
01020
Japan Germany Canada UK Sweden US France Australia Italy NewZealand
Basis
Poin
ts
10-Year Breakeven Changes
-0.6 -0.2
0.6 0.8 1.6 2.3 2.6 3.9 4.77.9
-4-202468
10
Japan Germany Canada UK Sweden US France Australia Italy NewZealand
Perce
nt
10 Year Inflation-Linked Bonds
0.63.5 5.3 6.7 7.2 7.8 9.6 9.8 11.7 12.0 12.4
18.0 20.0
05
10152025
NewZealandDollar
JapaneseYen
CanadianDollar
AustralianDollar
SouthAfricanRand
BrazilianReal
ChineseRenminbi
BritishPound
IndianRupee
SouthKorean
Won
Euro MexicanPeso
PolishZloty
Total
Retu
rn vs
USD
(%)
25
Duration Contribution
Water & Power Employees' Retirement Plan - Retirement FundNovember 30, 2017
¹Bloomberg Barclays World Inflation-Linked All Maturities Index
Total Duration
12.6
-1.7
12.8
48.519.1
5.611.8
3.21.43.0
0.60.60.01.02.2
0.03.1
United StatesUnited Kingdom
FranceItaly
GermanyJapan
CanadaSpain
AustraliaSweden
New ZealandMexico
OtherCash/Cash Equivalents
43.129.4
9.46.3
2.82.42.01.81.11.00.40.00.20.0
United StatesUnited Kingdom
FranceItaly
GermanyJapan
CanadaSpain
AustraliaSweden
New ZealandMexico
OtherCash/Cash Equivalents
Benchmark* (%)Portfolio (%)
6.2
4.2
0.3 0.3 0.2 0.1 0.00.8 0.1 0.1 0.0 0.3
6.8
3.6
0.8 0.3 0.3 0.2 0.1 0.5 0.0 0.1 0.1 0.0-0.3 -0.2
-1.0-0.1 -0.1
-2
0
2
4
6
8
UK US France Canada Germany Japan Spain Italy NewZealand
Australia Sweden Mexico
Year
s
Portfolio (Real)Portfolio (Nominal)Benchmark
26
Benchmark* (%)Portfolio (%)
Duration Contribution
Water & Power Employees' Retirement Plan - Retiree Health Benefits FundNovember 30, 2017
¹Bloomberg Barclays World Inflation-Linked All Maturities Index
Total Duration
12.5
-1.7
12.8
48.219.0
5.711.8
3.21.43.0
0.60.60.01.02.3
0.03.4
United StatesUnited Kingdom
FranceItaly
GermanyJapan
CanadaSpain
AustraliaSweden
New ZealandMexico
OtherCash/Cash Equivalents
43.129.4
9.46.3
2.82.42.01.81.11.00.40.00.20.0
United StatesUnited Kingdom
FranceItaly
GermanyJapan
CanadaSpain
AustraliaSweden
New ZealandMexico
OtherCash/Cash Equivalents
6.2
4.2
0.3 0.3 0.2 0.1 0.00.8
0.1 0.1 0.0 0.3
-0.1
6.8
3.6
0.8 0.3 0.3 0.2 0.1 0.5 0.0 0.1 0.1 0.0 0.0
-0.3 -0.3-1.0
-0.1-2
0
2
4
6
8
UK US France Canada Germany Japan Spain Italy NewZealand
Australia Sweden Mexico Other
Year
s
Portfolio (Real)Portfolio (Nominal)Benchmark
27
Portfolio Review and Characteristics
28
Top Ten Holdings
As of 30 Nov 17
Top 10 Holdings Coupon (%) Maturity (%)BUONI POLIENNALI DEL TES 3.10 Sep-26 6.21%US INFLATION-LINKED TREASURY BOND 2.38 Jan-25 5.93%UK INDEX-LINKED TREASURY 0.13 Mar-68 5.89%US INFLATION-LINKED TREASURY NOTE 0.13 Jan-23 5.82%US INFLATION -LINKED TREASURY NOTE 0.13 Apr-20 5.80%US INFLATION -LINKED TREASURY NOTE 0.63 Jan-26 5.33%US INFLATION -LINKED TREASURY NOTE 0.38 Jul-25 5.30%US INFLATION-LINKED TREASURY NOTE 2.13 Jan-19 4.00%US INFLATION-LINKED TREASURY NOTE 0.38 Jul-23 2.91%US INFLATION-LINKED TREASURY BOND 1.38 Feb-44 2.89%Total 50.08%
Top 10 Holdings Coupon (%) Maturity (%)BUONI POLIENNALI DEL TES 3.10 Sep-26 6.25%US INFLATION-LINKED TREASURY BOND 2.38 Jan-25 5.99%US INFLATION -LINKED TREASURY NOTE 0.13 Apr-20 5.91%US INFLATION-LINKED TREASURY NOTE 0.13 Jan-23 5.69%UK INDEX-LINKED TREASURY 0.13 Mar-68 5.57%US INFLATION -LINKED TREASURY NOTE 0.63 Jan-26 5.33%US INFLATION -LINKED TREASURY NOTE 0.38 Jul-25 5.28%US INFLATION-LINKED TREASURY NOTE 2.13 Jan-19 3.86%US INFLATION-LINKED TREASURY NOTE 0.38 Jul-23 2.98%US INFLATION-LINKED TREASURY BOND 1.38 Feb-44 2.86%Total 49.72%
Water & Power Employees' Retirement Plan - Retirement Fund
Water & Power Employees' Retirement Plan - Retiree Health Benefits Fund
29
Water & Power Employees' Retirement Plan – Retirement Fund Rating AllocationNovember 30, 2017
*Barclays World Govt Inflation-Linked All Maturities USD Hedged Bond Index
Benchmark* (%)Portfolio (%)
Duration (yrs) Avg. QualityPortfolio 10.9 AAIndex 12.8 AA+
56.3
24.7
3.6
12.3
3.1
AAA
AA
A
BBB
Cash/Cash Equivalents
50.7
38.8
2.4
8.1
0.0
AAA
AA
A
BBB
Cash/Cash Equivalents
30
Water & Power Employees' Retirement Plan – Retiree Health Benefits Fund Rating AllocationNovember 30, 2017
*Barclays World Govt Inflation-Linked All Maturities USD Hedged Bond Index
Benchmark* (%)Portfolio (%)
Duration (yrs) Avg. QualityPortfolio 10.8 AAIndex 12.8 AA+
55.9
24.7
3.7
12.3
3.4
AAA
AA
A
BBB
Cash/Cash Equivalents
50.7
38.8
2.4
8.1
0.0
AAA
AA
A
BBB
Cash/Cash Equivalents
31
Market Value ChangeNovember 30, 2017
Initial ContributionAs of 01 Apr 10 125,000,000.00$
Initial ContributionAs of 01 Apr 10 16,000,000.00$
Contributions 175,601,154.27$ Contributions 65,994,764.87$ Total Contributions 300,601,154.27$ Total Contributions 81,994,764.87$
Withdrawals (161,085,236.00)$ Withdrawals (27,801,000.00)$ Income Stripping $ - Income Stripping $ - Total Withdrawals (161,085,236.00)$ Total Withdrawals (27,801,000.00)$
Net Contribution $ 139,515,918.27 Net Contribution 54,193,764.87$
Portfolio Return $ 244,405,622.07 Portfolio Return 10,136,337.83$
Market Value As of 30 Nov 17 383,921,540.34$
Market Value As of 30 Nov 17 64,330,102.70$
Water & Power Employees' Retirement Plan - Retirement Fund
Water & Power Employees' Retirement Plan - Retiree Health Benefits Fund
32
Summary of Holdings
Water & Power Employees' Retirement Plan - Retirement FundSchedule of Current Holdings
November 30, 2017Asset ID Current Units/
Original Face
Security Description Book Value
Price Total
Market Value
Price Total
Accrued
Interest
% of
Assets
RatingsMoody/S&P/Fitch
GovernmentTreasury
Derivative 123.6000 0.00-73.000000G_H8 LONG GILT FUTURE Mar18 Due 03/27/2018 NR/NR/NR
140.8700 0.00-37.000000IKZ7 Euro-BTP Future Dec17 Due 12/07/2017 NR/NR/NR
156.5100 0.00-58.000000OATH8 Euro-OAT Future Mar18 Due 03/08/2018 NR/NR/NR
162.4100 0.00-222.000000RXH8 EURO-BUND FUTURE Mar18 Due 03/08/2018 NR/NR/NR
Total Derivative $0.00
Inflation-Linked 116.4180 74,798.63 2,880,000.00135087UL6 186.5453 4,119,059.42 4,097,838.41 1.09%CANADA-GOV'T REAL RETURN 4.25 Due 12/01/2021 Aaa/AAA/AAA
135.2270 43,257.77 1,760,000.00135087VS0 198.0719 2,782,037.53 2,752,761.97 0.73%CANADA-GOV'T REAL RETURN 4.25 Due 12/01/2026 Aaa/AAA/AAAu
148.1090 26,008.82 1,170,000.00135087WV2 198.4320 2,104,893.69 1,926,070.12 0.51%CANADA-GOV'T REAL RETURN 4 Due 12/01/2031 Aaa/AAA/AAAu
122.4340 15,842.00 2,405,000.00135087ZH0 136.7737 3,073,968.60 2,586,132.86 0.68%CANADA-GOVT REAL RETURN 1.5 Due 12/01/2044 Aaa/AAA/AAA
134.8640 14,994.16 1,996,000.00912810FH6 193.9267 3,870,776.95 4,041,569.88 1.06%US INFLATION-LINKED TREASURY BOND 3.875 Due 04/15/2029 Aaa/AA+/AAAu
113.3310 178,663.35 15,210,000.00912810FR4 147.4478 22,426,806.57 22,571,144.87 5.93%US INFLATION-LINKED TREASURY BOND 2.375 Due 01/15/2025 Aaa/AA+/AAAu
126.8710 14,654.86 2,057,800.00912810QF8 134.9941 2,777,909.21 2,981,321.50 0.78%US INFLATION-LINKED TREASURY BOND 2.125 Due 02/15/2040 Aaa/AA+/AAAu
94.7250 13,330.99 6,770,000.00912810RA8 98.1801 6,646,793.00 6,884,485.88 1.80%US INFLATION-LINKED TREASURY BOND .625 Due 02/15/2043 Aaa/AA+/AAAu
111.7830 39,872.41 9,330,000.00912810RF7 115.1063 10,739,418.98 11,045,102.95 2.89%US INFLATION-LINKED TREASURY BOND 1.375 Due 02/15/2044 Aaa/AA+/AAAu
96.8660 10,612.51 4,600,000.00912810RL4 96.0220 4,417,010.16 4,670,384.50 1.22%US INFLATION-LINKED TREASURY NOTE .75 Due 02/15/2045 Aaa/AA+/AAAu
103.0160 25,159.73 8,230,000.00912810RR1 105.3554 8,670,752.45 8,831,504.09 2.31%US INFLATION -LINKED TREASURY BOND 1 Due 02/15/2046 Aaa/AA+/AAAu
98.4550 5,667.95 5,760,000.00912828H45 102.9912 5,932,290.62 5,909,587.31 1.54%US INFLATION-LINKED TREASURY NOTE .25 Due 01/15/2025 Aaa/AA+/AAAu
102.0590 119,954.36 13,000,000.00912828JX9 118.4359 15,396,671.77 15,252,513.43 4.00%US INFLATION-LINKED TREASURY NOTE 2.125 Due 01/15/2019 Aaa/AA+/AAAu
99.5590 3,608.07 21,210,000.00912828K33 106.1046 22,504,789.17 22,256,119.46 5.80%US INFLATION -LINKED TREASURY NOTE .125 Due 04/15/2020 Aaa/AA+/AAAu
Page 1 of 7 1010-0024-5647
Water & Power Employees' Retirement Plan - Retirement FundSchedule of Current Holdings
November 30, 2017Asset ID Current Units/
Original Face
Security Description Book Value
Price Total
Market Value
Price Total
Accrued
Interest
% of
Assets
RatingsMoody/S&P/Fitch
100.7340 47,842.66 19,510,000.00912828N71 104.8361 20,453,514.15 20,414,765.03 5.33%US INFLATION -LINKED TREASURY NOTE .625 Due 01/15/2026 Aaa/AA+/AAA
102.8840 29,342.39 6,120,000.00912828PP9 117.8472 7,212,247.39 7,104,341.85 1.86%US INFLATION-LINKED TREASURY NOTE 1.125 Due 01/15/2021 Aaa/AA+/AAAu
98.8690 10,664.91 21,124,200.00912828UH1 107.6071 22,731,144.03 22,332,635.57 5.82%US INFLATION-LINKED TREASURY NOTE .125 Due 01/15/2023 Aaa/AA+/AAAu
100.3390 15,773.75 10,500,000.00912828VM9 104.5955 10,982,530.79 11,173,946.70 2.91%US INFLATION-LINKED TREASURY NOTE .375 Due 07/15/2023 Aaa/AA+/AAAu
99.3940 28,968.64 19,650,000.00912828XL9 102.3992 20,121,444.13 20,327,782.58 5.30%US INFLATION -LINKED TREASURY NOTE .375 Due 07/15/2025 Aaa/AA+/AAAu
142.7680 7,346.65 1,957,000.00AU0000XCLWV6 123.2519 2,341,409.70 2,121,041.71 0.55%AUSTRALIAN GOVERNMENT IL 2.5% 20SEP2030 2.5 Due 09/20/2030 Aaa/AAAu/AAAu
107.8710 83,619.35 5,700,000.00DE0001030526 120.4506 7,362,698.13 8,179,721.03 2.15%DEUTSCHLAND I/L BOND 1.75 Due 04/15/2020 Aaau/AAAu/AAAu
116.3640 10,708.83 2,770,000.00DE0001030559 111.7339 3,430,976.06 3,955,081.91 1.03%DEUTSCHLAND I/L BOND .5 Due 04/15/2030 Aaau/AAA/AAAu
104.1800 31.51 1,720,000.00ES00000126W8 102.6328 2,162,575.40 2,178,892.38 0.57%SPAIN I/L BOND .55 Due 11/30/2019 Baa2/BBB+/BBB+
111.1070 26,721.47 2,267,741.00FR0010050559 129.9298 3,752,195.09 3,733,553.32 0.98%FRANCE O.A.T. I/L 2.25 Due 07/25/2020 Aa2u/AA/AAu
112.8120 28,421.97 5,550,000.00FR0010899765 116.6441 7,761,286.02 8,247,454.65 2.16%FRANCE O.A.T. I/L 1.1 Due 07/25/2022 Aa2u/AA/AAu
110.3710 5,253.43 4,820,000.00FR0011427848 109.0887 5,654,186.70 6,562,380.56 1.71%FRANCE (GOVT OF) .25 Due 07/25/2024 Aa2u/AA/AAu
117.4610 5,964.92 1,980,000.00FR0011982776 110.3027 2,416,749.87 2,832,064.71 0.74%FRANCE (GOVT OF) .7 Due 07/25/2030 Aa2u/AA/AAu
161.8462 309.20 490,000.00GB00B1Z5HQ14 130.2346 971,994.21 1,073,507.54 0.28%UK INDEX-LINKED TREASURY 1.875 Due 11/22/2022 Aa2u/AA/AAu
247.0694 270.08 1,070,000.00GB00B24FFM16 176.9816 2,823,561.22 3,578,568.07 0.93%UK INDEX-LINKED TREASURY .75 Due 11/22/2047 Aa2u/AA/AAu
189.3930 821.94 1,970,000.00GB00B3D4VD98 139.7534 4,340,738.82 5,050,528.14 1.32%UK INDEX-LINKED TREASURY 1.25 Due 11/22/2032 Aa2u/AA/AAu
202.5724 327.20 200,000.00GB00B3LZBF68 127.3153 391,881.18 548,424.43 0.14%UK INDEX-LINKED TREASURY .625 Due 03/22/2040 Aa2u/AA/AAu
217.1652 515.33 2,450,000.00GB00B3MYD345 165.8571 6,286,528.43 7,202,161.23 1.88%UK INDEX-LINKED TREASURY .625 Due 11/22/2042 Aa2u/AA/AAu
238.4272 2,722.26 2,080,000.00GB00B421JZ66 148.4243 5,044,035.68 6,713,139.98 1.75%UK INDEX-LINKED TREASURY .5 Due 03/22/2050 Aa2u/AA/AAu
170.7355 8,284.57 4,220,000.00GB00B46CGH68 126.5691 8,769,420.77 9,753,103.37 2.54%UK INDEX-LINKED TREASURY .75 Due 03/22/2034 Aa2u/AA/AAu
261.1313 952.14 970,000.00GB00B4PTCY75 130.0448 1,952,543.08 3,428,762.03 0.89%TSY 0 3/8% 2062 I/L GILT .375 Due 03/22/2062 Aa2u/AA/AAu
Page 2 of 7
Water & Power Employees' Retirement Plan - Retirement FundSchedule of Current Holdings
November 30, 2017Asset ID Current Units/
Original Face
Security Description Book Value
Price Total
Market Value
Price Total
Accrued
Interest
% of
Assets
RatingsMoody/S&P/Fitch
205.2716 759.09 1,160,000.00GB00B73ZYW09 130.6775 2,370,822.50 3,223,246.60 0.84%TSY 0 1/4% 2052 I/L GILT - UK INDEX-LINKED TREASURY .25 Due 03/22/2052 Aa2u/AA/AAu
174.8534 1,420.02 4,340,000.00GB00B7RN0G65 135.4838 8,905,347.49 10,272,364.08 2.68%TSY 0 1/8% 2044 I/L GILT .125 Due 03/22/2044 Aa2u/AA/AAu
256.9509 2,126.76 6,500,000.00GB00BDX8CX86 194.0611 17,386,545.42 22,608,410.88 5.89%UK INDEX-LINKED TREASURY .125 Due 03/22/2068 Aa2u/AA/AAu
106.8660 16,999.98 2,530,000.00IT0004380546 117.1993 3,294,052.66 3,634,443.88 0.95%BUONI POLIENNALI DEL TES I/L 2.35 Due 09/15/2019 Baa2u/BBB/BBB
125.2650 11,092.19 1,550,000.00IT0004545890 135.6962 2,316,684.75 2,561,677.31 0.67%BUONI POLIENNALI DEL TES I/L 2.55 Due 09/15/2041 Baa2u/BBB/BBB
123.1820 126,949.97 14,950,000.00IT0004735152 125.6208 20,020,507.38 23,715,703.86 6.21%BUONI POLIENNALI DEL TES 3.1 Due 09/15/2026 Baa2u/BBB/BBB
102.6255 29,564.68 6,660,000.00IT0004890882 105.0719 7,293,032.31 8,390,687.46 2.19%BUONI POLIENNALI DEL TES 1.7 Due 09/15/2018 Baa2u/BBB/BBB
115.5600 28,548.23 4,680,000.00IT0005004426 111.8533 5,765,538.42 6,599,886.39 1.73%BUONI POLIENNALI DEL TES 2.35 Due 09/15/2024 Baa2u/BBB/BBB
107.7632 529.80 263,900,000.00JP1120171DA4 105.5320 2,624,210.87 2,541,325.16 0.66%JAPAN GOVT CPI LINKED .1 Due 09/10/2023 A1/A+/A
105.3437 596.45 297,100,000.00JP1120211G41 104.8999 2,784,132.31 2,796,802.29 0.73%JAPAN GOVT CPI LINKED .1 Due 03/10/2026 A1/A+/Au
122.0460 18,315.54 4,510,000.00NZIIBDT003C0 106.7677 3,722,047.56 3,777,308.18 0.99%NEW ZEALAND INDEX LINKED 3 Due 09/20/2030 Aaa/AA+/AA+
Total Inflation-Linked $1,138,191.55 94.70%$338,909,760.64 $362,440,250.11
Total Treasury $1,138,191.55 94.70%$338,909,760.64 $362,440,250.11
$1,138,191.55Total Government 94.70%$338,909,760.64 $362,440,250.11
Emerging MarketTreasury
104.9809 296,714.29 147,000,000.00MX0MGO000102 105.0585 8,098,264.20 8,294,202.03 2.24%MEX BONOS DESARR FIX RT 8 Due 11/07/2047 A3/A/BBB+
Total Treasury $296,714.29 2.24%$8,098,264.20 $8,294,202.03
$296,714.29Total Emerging Market 2.24%$8,098,264.20 $8,294,202.03
Foreign ExchangeForward
1.0000 0.00 12,486,466.62CADUSD020818 12,486,466.62 12,486,466.62 3.25%CAD/USD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00-730,788.55CADUSD020818 -730,788.55 -730,788.55 -0.19%CAD/USD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.2870 0.00-16,006,821.93CADUSD020818CC -12,486,466.62 -12,437,635.49 -3.24%CAD/USD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
1.2870 0.00 936,474.84CADUSD020818CC 730,788.55 727,660.54 0.19%CAD/USD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
Page 3 of 7
Water & Power Employees' Retirement Plan - Retirement FundSchedule of Current Holdings
November 30, 2017Asset ID Current Units/
Original Face
Security Description Book Value
Price Total
Market Value
Price Total
Accrued
Interest
% of
Assets
RatingsMoody/S&P/Fitch
1.0000 0.00-2,642,289.19JPYUSD020818 -2,642,289.19 -2,642,289.19 -0.69%JPY/USD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00 12,468,967.82JPYUSD020818 12,468,967.82 12,468,967.82 3.25%JPY/USD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
111.4565 0.00-1,408,060,987.00JPYUSD020818CC -12,468,967.82 -12,633,276.66 -3.29%JPY/USD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
111.4565 0.00 299,381,670.00JPYUSD020818CC 2,642,289.19 2,686,084.98 0.70%JPY/USD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
1.0000 0.00-8,296,528.02SEKUSD020818 -8,296,528.02 -8,296,528.02 -2.16%SEK/USD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00 4,339,283.43SEKUSD020818 4,339,283.43 4,339,283.43 1.13%SEK/USD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
8.2897 0.00-36,190,210.55SEKUSD020818CC -4,339,283.43 -4,365,688.58 -1.14%SEK/USD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
8.2897 0.00 69,312,679.61SEKUSD020818CC 8,296,528.02 8,361,310.12 2.18%SEK/USD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
1.3177 0.00-8,948,851.07USDAUD020818 -6,892,788.99 -6,791,014.60 -1.77%USD/AUD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.3177 0.00 6,196,987.54USDAUD020818 4,751,044.44 4,702,707.93 1.22%USD/AUD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00 6,892,788.99USDAUD020818CC 6,892,788.99 6,892,788.99 1.80%USD/AUD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
1.0000 0.00-4,751,044.44USDAUD020818CC -4,751,044.44 -4,751,044.44 -1.24%USD/AUD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
0.8348 0.00-70,073,630.23USDEUR020818 -82,066,715.06 -83,944,702.58 -21.87%USD/EUR FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00 82,066,715.06USDEUR020818CC 82,066,715.06 82,066,715.06 21.38%USD/EUR FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
0.7368 0.00-52,667,249.62USDGBP020818 -69,018,419.53 -71,480,168.40 -18.62%USD/GBP FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00 69,018,419.53USDGBP020818CC 69,018,419.53 69,018,419.53 17.98%USD/GBP FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
1.4586 0.00-4,928,631.30USDNZD020818 -3,406,571.38 -3,378,905.31 -0.88%USD/NZD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00 3,406,571.38USDNZD020818CC 3,406,571.38 3,406,571.38 0.89%USD/NZD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
Total Forward $0.00 -1.12%$0.00 -$4,295,065.42
$0.00Total Foreign Exchange -1.12%$0.00 -$4,295,065.42
Cash & Cash EquivalentsTRADE DATE CASH 76,895.00MARGINCAD 60,772.15 59,687.18 0.00 0.02% 1.2653 1.2883NR/NR/NR
Page 4 of 7
Water & Power Employees' Retirement Plan - Retirement FundSchedule of Current Holdings
November 30, 2017Asset ID Current Units/
Original Face
Security Description Book Value
Price Total
Market Value
Price Total
Accrued
Interest
% of
Assets
RatingsMoody/S&P/Fitch
0.00 60,772.15 59,687.18 Settled Cash NR/NR/NR
TRADE DATE CASH-76,895.00RESRVBLECAD -61,388.31 -59,687.18 0.00 -0.02% 1.2526 1.2883NR/NR/NR
0.00-61,388.31 -59,687.18 Settled Cash NR/NR/NR
TRADE DATE CASH 55,997.82AUD_CASH 42,890.45 42,510.74 0.00 0.01% 1.3056 1.3173NR/NR/NR
0.00 42,890.45 42,510.74 Settled Cash NR/NR/NR
TRADE DATE CASH 118,986.05CAD_CASH 93,700.60 92,358.96 0.00 0.02% 1.2699 1.2883NR/NR/NR
0.00 93,700.60 92,358.96 Settled Cash NR/NR/NR
TRADE DATE CASH 59,958.84EUR_CASH 70,639.65 71,491.92 0.00 0.02% 0.8488 0.8387NR/NR/NR
0.00 70,639.65 71,491.92 Settled Cash NR/NR/NR
TRADE DATE CASH 480,475.01GBP_CASH 631,277.54 650,395.35 0.00 0.17% 0.7611 0.7387NR/NR/NR
0.00 631,277.54 650,395.35 Settled Cash NR/NR/NR
TRADE DATE CASH 79,980,803.00JPY_CASH 705,007.07 714,720.55 0.00 0.19% 113.4468 111.9050NR/NR/NR
0.00 705,007.07 714,720.55 Settled Cash NR/NR/NR
TRADE DATE CASH 14.40MXN_CASH 0.86 0.77 0.00 0.00% 16.7442 18.6060NR/NR/NR
0.00 0.86 0.77 Settled Cash NR/NR/NR
TRADE DATE CASH 70,200.40NZD_CASH 48,768.05 48,175.02 0.00 0.01% 1.4395 1.4572NR/NR/NR
0.00 48,768.05 48,175.02 Settled Cash NR/NR/NR
TRADE DATE CASH 57,572.57SEK_CASH 6,865.75 6,908.20 0.00 0.00% 8.3855 8.3340NR/NR/NR
0.00 6,865.75 6,908.20 Settled Cash NR/NR/NR
TRADE DATE CASH 12,613,927.12USD_CASH 12,613,927.12 12,613,927.12 0.00 3.29% 1.0000 100.0000NR/NR/NR
Page 5 of 7
Water & Power Employees' Retirement Plan - Retirement FundSchedule of Current Holdings
November 30, 2017Asset ID Current Units/
Original Face
Security Description Book Value
Price Total
Market Value
Price Total
Accrued
Interest
% of
Assets
RatingsMoody/S&P/Fitch
0.00 12,613,927.12 12,613,927.12 Settled Cash NR/NR/NR
TRADE DATE CASH-2,287,815.85MARGINEUR -2,679,117.14 -2,727,876.96 0.00 -0.71% 0.8539 0.8387NR/NR/NR
0.00-200.40 -238.93 Outstanding Interest at period end NR/NR/NR
0.00-97,999.25 -97,999.25 Unsettled Margin Variation NR/NR/NR
0.00-2,580,917.49 -2,629,638.78 Settled Cash NR/NR/NR
TRADE DATE CASH-1,916,139.42MARGINGBP -2,496,216.66 -2,593,783.52 0.00 -0.68% 0.7676 0.7387NR/NR/NR
0.00 10,355.44 10,355.44 Unsettled Margin Variation NR/NR/NR
0.00-2,506,363.72 -2,603,856.88 Settled Cash NR/NR/NR
0.00-208.38 -282.08 Outstanding Interest at period end NR/NR/NR
TRADE DATE CASH-104,588,194.00MARGINJPY -943,731.06 -934,615.92 0.00 -0.24% 110.8242 111.9050NR/NR/NR
0.00-943,731.06 -934,615.92 Settled Cash NR/NR/NR
TRADE DATE CASH 3,179,942.40RESRVBLEEUR 3,672,262.75 3,791,603.95 0.00 0.99% 0.8659 0.8387NR/NR/NR
0.00 3,672,262.75 3,791,603.95 Settled Cash NR/NR/NR
TRADE DATE CASH 2,465,045.24RESRVBLEGBP 3,297,460.26 3,336,810.28 0.00 0.87% 0.7476 0.7387NR/NR/NR
0.00 3,297,460.26 3,336,810.28 Settled Cash NR/NR/NR
TRADE DATE CASH 104,588,194.00RESRVBLEJPY 926,728.57 934,615.92 0.00 0.24% 112.8574 111.9050NR/NR/NR
0.00 926,728.57 934,615.92 Settled Cash NR/NR/NR
TRADE DATE CASH 5.40RESRVBLEUSD 5.40 5.40 0.00 0.00% 1.0000 1.0000NR/NR/NR
0.00 5.40 5.40 Settled Cash NR/NR/NR
$0.00Total Cash & Cash Equivalents 4.18%$15,989,853.05 $16,047,247.78
$382,486,634.50$362,997,877.89 $1,434,905.84Total Assets: 100.00%
Page 6 of 7
Water & Power Employees' Retirement Plan - Retirement FundSchedule of Current Holdings
November 30, 2017Asset ID Current Units/
Original Face
Security Description Book Value
Price Total
Market Value
Price Total
Accrued
Interest
% of
Assets
RatingsMoody/S&P/Fitch
Total Account Value (Market Value & Accrued Interest) $383,921,540.34
NR: SECURITY NOT RATED BY RATING AGENCY.
Page 7 of 7
Water & Power Employees' Retirement Plan - Retiree Health Benefits FundSchedule of Current Holdings
November 30, 2017Asset ID Current Units/
Original Face
Security Description Book Value
Price Total
Market Value
Price Total
Accrued
Interest
% of
Assets
RatingsMoody/S&P/Fitch
GovernmentTreasury
Derivative 123.6000 0.00-12.000000G_H8 LONG GILT FUTURE Mar18 Due 03/27/2018 NR/NR/NR
140.8700 0.00-6.000000IKZ7 Euro-BTP Future Dec17 Due 12/07/2017 NR/NR/NR
156.5100 0.00-10.000000OATH8 Euro-OAT Future Mar18 Due 03/08/2018 NR/NR/NR
162.4100 0.00-37.000000RXH8 EURO-BUND FUTURE Mar18 Due 03/08/2018 NR/NR/NR
Total Derivative $0.00
Inflation-Linked 116.4180 12,466.44 480,000.00135087UL6 186.5453 686,509.85 682,973.07 1.08%CANADA-GOV'T REAL RETURN 4.25 Due 12/01/2021 Aaa/AAA/AAA
135.2270 7,127.70 290,000.00135087VS0 198.0719 458,403.84 453,580.10 0.72%CANADA-GOV'T REAL RETURN 4.25 Due 12/01/2026 Aaa/AAA/AAAu
148.1090 4,668.25 210,000.00135087WV2 199.4878 401,108.05 345,704.89 0.54%CANADA-GOV'T REAL RETURN 4 Due 12/01/2031 Aaa/AAA/AAAu
122.4340 2,542.63 386,000.00135087ZH0 133.2226 476,984.74 415,071.64 0.65%CANADA-GOVT REAL RETURN 1.5 Due 12/01/2044 Aaa/AAA/AAA
134.8640 2,433.89 324,000.00912810FH6 194.4237 629,932.78 656,046.41 1.02%US INFLATION-LINKED TREASURY BOND 3.875 Due 04/15/2029 Aaa/AA+/AAAu
113.3310 30,247.09 2,575,000.00912810FR4 147.2804 3,792,469.92 3,821,216.18 5.99%US INFLATION-LINKED TREASURY BOND 2.375 Due 01/15/2025 Aaa/AA+/AAAu
126.8710 2,189.88 307,500.00912810QF8 134.0908 412,329.31 445,503.14 0.70%US INFLATION-LINKED TREASURY BOND 2.125 Due 02/15/2040 Aaa/AA+/AAAu
97.8790 24.04 10,000.00912810QV3 107.2124 10,721.24 10,691.42 0.02%US INFLATION-LINKED TREASURY BOND .75 Due 02/15/2042 Aaa/AA+/AAAu
94.7250 2,225.10 1,130,000.00912810RA8 98.0009 1,107,410.70 1,149,109.16 1.79%US INFLATION-LINKED TREASURY BOND .625 Due 02/15/2043 Aaa/AA+/AAAu
111.7830 6,624.04 1,550,000.00912810RF7 115.4790 1,789,923.78 1,834,931.36 2.86%US INFLATION-LINKED TREASURY BOND 1.375 Due 02/15/2044 Aaa/AA+/AAAu
96.8660 1,799.51 780,000.00912810RL4 96.1272 749,792.09 791,934.76 1.23%US INFLATION-LINKED TREASURY NOTE .75 Due 02/15/2045 Aaa/AA+/AAAu
103.0160 3,974.20 1,300,000.00912810RR1 105.3841 1,369,993.85 1,395,012.80 2.17%US INFLATION -LINKED TREASURY BOND 1 Due 02/15/2046 Aaa/AA+/AAAu
98.4550 944.66 960,000.00912828H45 103.0844 989,610.16 984,931.22 1.53%US INFLATION-LINKED TREASURY NOTE .25 Due 01/15/2025 Aaa/AA+/AAAu
102.0590 19,377.24 2,100,000.00912828JX9 118.4359 2,487,154.67 2,463,867.55 3.86%US INFLATION-LINKED TREASURY NOTE 2.125 Due 01/15/2019 Aaa/AA+/AAAu
Page 1 of 6 1010-0024-5655
Water & Power Employees' Retirement Plan - Retiree Health Benefits FundSchedule of Current Holdings
November 30, 2017Asset ID Current Units/
Original Face
Security Description Book Value
Price Total
Market Value
Price Total
Accrued
Interest
% of
Assets
RatingsMoody/S&P/Fitch
99.5590 615.82 3,620,000.00912828K33 106.1046 3,840,986.26 3,798,545.61 5.91%US INFLATION -LINKED TREASURY NOTE .125 Due 04/15/2020 Aaa/AA+/AAAu
100.7340 8,018.73 3,270,000.00912828N71 104.8345 3,428,086.67 3,421,644.37 5.33%US INFLATION -LINKED TREASURY NOTE .625 Due 01/15/2026 Aaa/AA+/AAA
102.8840 4,938.34 1,030,000.00912828PP9 117.8472 1,213,825.94 1,195,665.38 1.87%US INFLATION-LINKED TREASURY NOTE 1.125 Due 01/15/2021 Aaa/AA+/AAAu
98.8690 1,747.94 3,462,200.00912828UH1 107.6235 3,726,139.10 3,660,259.36 5.69%US INFLATION-LINKED TREASURY NOTE .125 Due 01/15/2023 Aaa/AA+/AAAu
100.3390 2,704.06 1,800,000.00912828VM9 104.6886 1,884,394.68 1,915,533.72 2.98%US INFLATION-LINKED TREASURY NOTE .375 Due 07/15/2023 Aaa/AA+/AAAu
99.3940 4,835.48 3,280,000.00912828XL9 102.4093 3,359,023.96 3,393,136.23 5.28%US INFLATION -LINKED TREASURY NOTE .375 Due 07/15/2025 Aaa/AA+/AAAu
142.7680 1,223.82 326,000.00AU0000XCLWV6 122.1156 389,029.08 353,326.31 0.55%AUSTRALIAN GOVERNMENT IL 2.5% 20SEP2030 2.5 Due 09/20/2030 Aaa/AAAu/AAAu
107.8710 14,083.25 960,000.00DE0001030526 120.4505 1,240,032.93 1,377,637.23 2.16%DEUTSCHLAND I/L BOND 1.75 Due 04/15/2020 Aaau/AAAu/AAAu
116.3640 1,739.71 450,000.00DE0001030559 111.6667 557,756.22 642,522.33 1.00%DEUTSCHLAND I/L BOND .5 Due 04/15/2030 Aaau/AAA/AAAu
104.1800 5.13 280,000.00ES00000126W8 102.6175 354,801.03 354,703.41 0.55%SPAIN I/L BOND .55 Due 11/30/2019 Baa2/BBB+/BBB+
111.1070 7,339.12 622,842.00FR0010050559 129.7550 1,022,462.94 1,025,431.83 1.61%FRANCE O.A.T. I/L 2.25 Due 07/25/2020 Aa2u/AA/AAu
112.8120 3,635.96 710,000.00FR0010899765 116.9754 984,185.68 1,055,079.78 1.65%FRANCE O.A.T. I/L 1.1 Due 07/25/2022 Aa2u/AA/AAu
110.3710 861.04 790,000.00FR0011427848 109.1789 927,181.93 1,075,576.89 1.67%FRANCE (GOVT OF) .25 Due 07/25/2024 Aa2u/AA/AAu
117.4610 994.16 330,000.00FR0011982776 110.3675 403,521.53 472,010.79 0.74%FRANCE (GOVT OF) .7 Due 07/25/2030 Aa2u/AA/AAu
161.8462 44.17 70,000.00GB00B1Z5HQ14 129.3677 139,039.00 153,358.22 0.24%UK INDEX-LINKED TREASURY 1.875 Due 11/22/2022 Aa2u/AA/AAu
247.0694 45.43 180,000.00GB00B24FFM16 176.4960 474,628.59 602,002.10 0.94%UK INDEX-LINKED TREASURY .75 Due 11/22/2047 Aa2u/AA/AAu
189.3930 137.68 330,000.00GB00B3D4VD98 138.7499 727,174.61 846,027.55 1.32%UK INDEX-LINKED TREASURY 1.25 Due 11/22/2032 Aa2u/AA/AAu
217.1652 84.13 400,000.00GB00B3MYD345 165.6067 1,030,353.03 1,175,863.05 1.83%UK INDEX-LINKED TREASURY .625 Due 11/22/2042 Aa2u/AA/AAu
238.4272 444.99 340,000.00GB00B421JZ66 146.3941 821,580.72 1,097,340.18 1.71%UK INDEX-LINKED TREASURY .5 Due 03/22/2050 Aa2u/AA/AAu
170.7355 1,374.21 700,000.00GB00B46CGH68 125.8848 1,458,292.66 1,617,813.35 2.52%UK INDEX-LINKED TREASURY .75 Due 03/22/2034 Aa2u/AA/AAu
261.1313 215.93 220,000.00GB00B4PTCY75 127.4650 440,597.62 777,657.37 1.21%TSY 0 3/8% 2062 I/L GILT .375 Due 03/22/2062 Aa2u/AA/AAu
Page 2 of 6
Water & Power Employees' Retirement Plan - Retiree Health Benefits FundSchedule of Current Holdings
November 30, 2017Asset ID Current Units/
Original Face
Security Description Book Value
Price Total
Market Value
Price Total
Accrued
Interest
% of
Assets
RatingsMoody/S&P/Fitch
205.2716 157.05 240,000.00GB00B73ZYW09 129.6795 488,988.98 666,878.60 1.04%TSY 0 1/4% 2052 I/L GILT - UK INDEX-LINKED TREASURY .25 Due 03/22/2052 Aa2u/AA/AAu
174.8534 235.58 720,000.00GB00B7RN0G65 135.3468 1,481,848.41 1,704,171.00 2.65%TSY 0 1/8% 2044 I/L GILT .125 Due 03/22/2044 Aa2u/AA/AAu
256.9509 337.00 1,030,000.00GB00BDX8CX86 193.4110 2,748,760.80 3,582,563.57 5.57%UK INDEX-LINKED TREASURY .125 Due 03/22/2068 Aa2u/AA/AAu
106.8660 2,889.33 430,000.00IT0004380546 117.1970 560,486.60 617,711.81 0.96%BUONI POLIENNALI DEL TES I/L 2.35 Due 09/15/2019 Baa2u/BBB/BBB
125.2650 1,789.06 250,000.00IT0004545890 135.7849 373,987.02 413,173.76 0.65%BUONI POLIENNALI DEL TES I/L 2.55 Due 09/15/2041 Baa2u/BBB/BBB
123.1820 21,398.91 2,520,000.00IT0004735152 125.6241 3,374,940.94 3,997,563.46 6.25%BUONI POLIENNALI DEL TES 3.1 Due 09/15/2026 Baa2u/BBB/BBB
102.6255 4,971.84 1,120,000.00IT0004890882 105.0719 1,226,456.00 1,411,046.54 2.20%BUONI POLIENNALI DEL TES 1.7 Due 09/15/2018 Baa2u/BBB/BBB
115.5600 4,758.02 780,000.00IT0005004426 111.8266 961,722.89 1,099,981.07 1.72%BUONI POLIENNALI DEL TES 2.35 Due 09/15/2024 Baa2u/BBB/BBB
107.7632 88.13 43,900,000.00JP1120171DA4 105.5188 438,803.57 422,751.70 0.66%JAPAN GOVT CPI LINKED .1 Due 09/10/2023 A1/A+/A
105.3437 100.17 49,900,000.00JP1120211G41 104.8999 467,615.26 469,742.29 0.73%JAPAN GOVT CPI LINKED .1 Due 03/10/2026 A1/A+/Au
122.0460 3,086.43 760,000.00NZIIBDT003C0 106.5289 631,488.33 636,530.87 0.99%NEW ZEALAND INDEX LINKED 3 Due 09/20/2030 Aaa/AA+/AA+
Total Inflation-Linked $191,545.29 94.32%$56,540,537.96 $60,483,823.43
Total Treasury $191,545.29 94.32%$56,540,537.96 $60,483,823.43
$191,545.29Total Government 94.32%$56,540,537.96 $60,483,823.43
Emerging MarketTreasury
104.9809 50,461.61 25,000,000.00MX0MGO000102 105.0585 1,377,255.79 1,410,578.58 2.27%MEX BONOS DESARR FIX RT 8 Due 11/07/2047 A3/A/BBB+
Total Treasury $50,461.61 2.27%$1,377,255.79 $1,410,578.58
$50,461.61Total Emerging Market 2.27%$1,377,255.79 $1,410,578.58
Foreign ExchangeForward
1.0000 0.00 2,139,641.60CADUSD020818 2,139,641.60 2,139,641.60 3.33%CAD/USD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00-173,783.21CADUSD020818 -173,783.21 -173,783.21 -0.27%CAD/USD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.2870 0.00 222,695.88CADUSD020818CC 173,783.21 173,039.36 0.27%CAD/USD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
1.2870 0.00-2,742,150.79CADUSD020818CC -2,139,641.60 -2,130,708.53 -3.31%CAD/USD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
Page 3 of 6
Water & Power Employees' Retirement Plan - Retiree Health Benefits FundSchedule of Current Holdings
November 30, 2017Asset ID Current Units/
Original Face
Security Description Book Value
Price Total
Market Value
Price Total
Accrued
Interest
% of
Assets
RatingsMoody/S&P/Fitch
1.0000 0.00 2,369,411.62JPYUSD020818 2,369,411.62 2,369,411.62 3.68%JPY/USD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00-740,918.57JPYUSD020818 -740,918.57 -740,918.57 -1.15%JPY/USD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
111.4565 0.00 83,948,963.00JPYUSD020818CC 740,918.57 753,199.25 1.17%JPY/USD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
111.4565 0.00-267,704,965.00JPYUSD020818CC -2,369,411.62 -2,401,878.13 -3.73%JPY/USD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
1.0000 0.00-1,305,878.51SEKUSD020818 -1,305,878.51 -1,305,878.51 -2.03%SEK/USD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00 643,281.05SEKUSD020818 643,281.05 643,281.05 1.00%SEK/USD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
8.2897 0.00-5,364,377.26SEKUSD020818CC -643,281.05 -647,114.24 -1.01%SEK/USD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
8.2897 0.00 10,908,528.51SEKUSD020818CC 1,305,878.51 1,315,914.93 2.05%SEK/USD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
1.3177 0.00-494,557.31USDAUD020818 -381,128.78 -375,304.71 -0.58%USD/AUD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00 381,128.78USDAUD020818CC 381,128.78 381,128.78 0.59%USD/AUD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
0.8348 0.00-11,789,624.04USDEUR020818 -13,812,479.15 -14,123,379.66 -21.95%USD/EUR FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00 13,812,479.15USDEUR020818CC 13,812,479.15 13,812,479.15 21.47%USD/EUR FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
0.7368 0.00-8,724,589.69USDGBP020818 -11,455,327.47 -11,841,042.48 -18.41%USD/GBP FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00 11,455,327.47USDGBP020818CC 11,455,327.47 11,455,327.47 17.81%USD/GBP FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
1.4586 0.00-846,667.44USDNZD020818 -585,199.60 -580,446.97 -0.90%USD/NZD FFX DUE 020818 Due 02/08/2018 NR/NR/NR
1.0000 0.00 585,199.60USDNZD020818CC 585,199.60 585,199.60 0.91%USD/NZD FFX DUE 020818-Cross Due 02/08/2018 NR/NR/NR
Total Forward $0.00 -1.08%$0.00 -$691,832.20
$0.00Total Foreign Exchange -1.08%$0.00 -$691,832.20
Cash & Cash EquivalentsTRADE DATE CASH 12,886.00MARGINCAD 10,184.17 10,002.33 0.00 0.02% 1.2653 1.2883NR/NR/NR
0.00 10,184.17 10,002.33 Settled Cash NR/NR/NR
TRADE DATE CASH-12,886.00RESRVBLECAD -10,287.40 -10,002.33 0.00 -0.02% 1.2526 1.2883NR/NR/NR
Page 4 of 6
Water & Power Employees' Retirement Plan - Retiree Health Benefits FundSchedule of Current Holdings
November 30, 2017Asset ID Current Units/
Original Face
Security Description Book Value
Price Total
Market Value
Price Total
Accrued
Interest
% of
Assets
RatingsMoody/S&P/Fitch
0.00-10,287.40 -10,002.33 Settled Cash NR/NR/NR
TRADE DATE CASH 6,692.18AUD_CASH 5,125.81 5,080.37 0.00 0.01% 1.3056 1.3173NR/NR/NR
0.00 5,125.81 5,080.37 Settled Cash NR/NR/NR
TRADE DATE CASH 23,485.17CAD_CASH 18,494.38 18,229.58 0.00 0.03% 1.2699 1.2883NR/NR/NR
0.00 18,494.38 18,229.58 Settled Cash NR/NR/NR
TRADE DATE CASH 7,271.22EUR_CASH 8,484.50 8,669.84 0.00 0.01% 0.8570 0.8387NR/NR/NR
0.00 8,484.50 8,669.84 Settled Cash NR/NR/NR
TRADE DATE CASH 50,135.33GBP_CASH 65,854.28 67,865.73 0.00 0.11% 0.7613 0.7387NR/NR/NR
0.00 65,854.28 67,865.73 Settled Cash NR/NR/NR
TRADE DATE CASH 11,160,697.00JPY_CASH 98,324.98 99,733.68 0.00 0.16% 113.5083 111.9050NR/NR/NR
0.00 98,324.98 99,733.68 Settled Cash NR/NR/NR
TRADE DATE CASH 145.93MXN_CASH 8.73 7.84 0.00 0.00% 16.7159 18.6060NR/NR/NR
0.00 8.73 7.84 Settled Cash NR/NR/NR
TRADE DATE CASH 5,935.41NZD_CASH 4,121.90 4,073.17 0.00 0.01% 1.4400 1.4572NR/NR/NR
0.00 4,121.90 4,073.17 Settled Cash NR/NR/NR
TRADE DATE CASH 17,074.29SEK_CASH 2,036.20 2,048.76 0.00 0.00% 8.3854 8.3340NR/NR/NR
0.00 2,036.20 2,048.76 Settled Cash NR/NR/NR
TRADE DATE CASH 2,376,517.80USD_CASH 2,376,517.80 2,376,517.80 0.00 3.69% 1.0000 100.0000NR/NR/NR
0.00 2,376,517.80 2,376,517.80 Settled Cash NR/NR/NR
TRADE DATE CASH-386,907.06MARGINEUR -453,112.69 -461,328.60 0.00 -0.72% 0.8539 0.8387NR/NR/NR
Page 5 of 6
Water & Power Employees' Retirement Plan - Retiree Health Benefits FundSchedule of Current Holdings
November 30, 2017Asset ID Current Units/
Original Face
Security Description Book Value
Price Total
Market Value
Price Total
Accrued
Interest
% of
Assets
RatingsMoody/S&P/Fitch
0.00-436,598.41 -444,807.39 Settled Cash NR/NR/NR
0.00-16,478.28 -16,478.28 Unsettled Margin Variation NR/NR/NR
0.00-36.00 -42.93 Outstanding Interest at period end NR/NR/NR
TRADE DATE CASH-374,083.96MARGINGBP -488,987.34 -506,379.03 0.00 -0.79% 0.7650 0.7387NR/NR/NR
0.00-33.12 -44.84 Outstanding Interest at period end NR/NR/NR
0.00-490,510.92 -507,890.89 Settled Cash NR/NR/NR
0.00 1,556.70 1,556.70 Unsettled Margin Variation NR/NR/NR
TRADE DATE CASH-15,619,858.00MARGINJPY -140,600.29 -139,581.41 0.00 -0.22% 111.0941 111.9050NR/NR/NR
0.00-140,600.29 -139,581.41 Settled Cash NR/NR/NR
TRADE DATE CASH 547,047.06RESRVBLEEUR 623,660.35 652,271.50 0.00 1.01% 0.8772 0.8387NR/NR/NR
0.00 623,660.35 652,271.50 Settled Cash NR/NR/NR
TRADE DATE CASH 457,086.40RESRVBLEGBP 629,980.75 618,735.34 0.00 0.96% 0.7256 0.7387NR/NR/NR
0.00 629,980.75 618,735.34 Settled Cash NR/NR/NR
TRADE DATE CASH 15,619,858.00RESRVBLEJPY 137,064.09 139,581.41 0.00 0.22% 113.9603 111.9050NR/NR/NR
0.00 137,064.09 139,581.41 Settled Cash NR/NR/NR
$0.00Total Cash & Cash Equivalents 4.49%$2,886,870.22 $2,885,525.98
$64,088,095.79$60,804,663.97 $242,006.91Total Assets: 100.00%
Total Account Value (Market Value & Accrued Interest) $64,330,102.70
NR: SECURITY NOT RATED BY RATING AGENCY.
Page 6 of 6
33
Global Inflation-Linked Review
34
Global growth and inflation continue to improve from low levels
Moderate US growth persists with subdued inflation backdrop
Central banks signal path toward normalization
Government bonds remain underpinned by low policy rates
Spread sectors expected to outperform
Emerging markets should continue to provide superior performance
2018 Global Investment OutlookOur base case is for steady but unspectacular growth, where spread sectors are likely to outperform.
As of 17 Nov 17
35
-1
0
1
2
3
4
5
6
2001 2003 2005 2007 2009 2011 2013 2015 2017
Perce
nt
World Real GDP Growth
Source: International Monetary Fund. As of 31 Dec 16
“Reflation Trade” Versus “Secular Stagnation”Global growth has steadied and there is optimism that growth can finally pick up speed and perhaps be sustainable.
-2
0
2
4
6
8
10
12
14
16
18
1970 1975 1980 1985 1990 1995 2000 2005 2010 2015Pe
rcent
Developed Markets Inflation
Source: Bloomberg. As of 30 Sep 17
36
EM and DM Growth Synchronized?
OECD
EM
95
96
97
98
99
100
101
102
103
1999 2001 2003 2005 2007 2009 2011 2013 2015 2017
Index
Composite Leading Indicators
Source: OECD. As of 30 Sep 17
37
Global InflationGlobal developed markets’ inflation has finally stopped its decline, but is still at a very low level where accommodative monetary policy remains crucial for sustained growth.
-2
0
2
4
6
8
10
12
14
16
18
1970 1975 1980 1985 1990 1995 2000 2005 2010 2015
Perc
ent
Developed Markets Inflation
Source: Bloomberg. As of 30 Sep 17
38
Central Banks Response Global central bank policy remains accommodative despite Fed tightening.
0
10
20
30
40
50
60
70
80
90
100
110
120
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Balan
ce S
heet
(% of
GDP
)
Forecast
Source: Bloomberg, Western Asset, OECD. As of 30 Sep 17
Historic and Forecast Central Bank Balance Sheet Size
BoJ
ECB
Fed
39
Demographics – aging of societies in developed countries
Productivity – challenges of achieving real productivity growth
Debt burdens – continued drag on growth
Deceleration of globalization – global trade risks
Political ascendency of nationalism – increasing uncertainty in policy
Global HeadwindsDespite the market’s optimistic backdrop, global growth prospects face significant long-term secular headwinds
As of 30 Jun 17
40
US Growth Expansion is long in months, but not in magnitude.
1961-1969
1991-2000
Current Expansion
-10
0
10
20
30
40
50
60
1 6 11 16 21 26 31 36 41Pe
rcent
Quarters Since Prior Peak
Strength of Economic ExpansionsCumulative Real GDP Growth Since Prior Peak
1945-1948 1949-1953 1954-19571958-1960 1961-1969 1970-19731975-1980 1980-1981 1982-19901991-2000 2001-2007 Current Expansion
Source: J.P. Morgan, National Bureau of Economic Research, and Bureau of Economic Analysis. As of 31 Jul 17Note: The Atlanta Fed “GDPNow” key indicator uses “hard data” to predict real GDP by using aggregating statistical model forecasts of 13 subcomponents that comprise GDP.
98
0
20
40
60
80
100
120
140
1900 1929 1973 2007
Numb
er of
Mon
ths
Length of US Business CyclesExpansion Recession
Source: J.P. Morgan, National Bureau of Economic Research, and Bureau of Economic Analysis. As of 31 Aug 17
41
US InflationInflation expectations are not suggesting anything other than “gradual” policy changes by the Fed.
Jan '15 FOMC Meeting:"Market-based measures of inflation
compensation have declined substantially in recent months."
Dec '15 FOMC Meeting:"Market-based measures of
inflation compensation remain low."
Dec '16 FOMC Meeting:"Market-based measures of inflation
compensation have moved up considerably up but are still low."
Current: 1.9
1.0
1.2
1.4
1.6
1.8
2.0
2.2
2.4
2.6
2.8
2010 2011 2012 2013 2014 2015 2016 2017
Perc
ent10- year Breakeven Inflation
Source: Bloomberg, Federal Reserve. As of 30 Nov 17.
42
US Monetary PolicyMarket taking the Fed seriously, at least in 2017 and long run.
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
2015 2016 2017 2018 2019 2020 Long Run
Perce
nt
FOMC and Market Expectations for Rate Hikes
Fed Funds Futures - Pre-Election Fed Funds Futures - As of 21 Sep 17 FOMC Dots Median
Source: Bloomberg, Federal Reserve. As of 21 Sep 17
43
Forward Inflation
Expectations*
Eurozone Inflation
-1
0
1
2
3
4
5
2005 2007 2009 2011 2013 2015 2017Pe
rcent
Source: Bloomberg. As of 30 Nov 17 *Euro 5 year-5 year inflation swap
Eurozone Growth & InflationPolitical anxiety has given way to cautious optimism.
Eurozone Inflation
40
42
44
46
48
50
52
54
56
58
60
2012 2013 2014 2015 2016 2017
Index
Eurozone Composite PMI
Source: Western Asset, Bloomberg. As of 30 Nov 17
44
Japan Inflation remains well below target.
*The new policy framework consists of two major components: the first is "yield curve control" in which the Bank will control short-term and long-term interest rates; and the second is an "inflation-overshooting commitment" in which the Bank commits itself to expanding the monetary base until the year-on-year rate of increase in the observed consumer price index (CPI) exceeds the price stability target of 2 percent and stays above the target in a stable manner. Source: BoJ. As of 21 Sep 16
0153045607590105120135
6080
100120140160180200220
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Percent of GDPUSD/
JPY
USD / JPY (left) BoJ - Fed Balance Sheet (right)
Source: Bloomberg, Western Asset, OECD. As of 30 Sep 17
Forecast
CPI ex Food (Core)
BoJ Price Stability Target³
-4
-2
0
2
4
2011 2012 2013 2014 2015 2016 2017
Perce
nt
Source: Bloomberg. As of 30 Sep 17
45
Manufacturing PMI
Services PMI
48505254565860
2011 2012 2013 2014 2015 2016 2017
Perce
nt
Broad-Based Recovery in Economic Activity
Source: China Federation of Logistics and Purchasing. As 30 Sep 17Note: 3-Month Moving Average
Index=50
0
1
2
3
4
5
1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017
USD
(trilli
ons)
Chinese Foreign Reserves
Source: Bloomberg, Bank of America Merrill Lynch. As of 30 Sep 17
6.0
6.2
6.4
6.6
6.8
7.0
2012 2013 2014 2015 2016 2017
CNY/
USD
Rate
Chinese Yuan
Source: FactSet. As of 30 Sep 17
2.5
3.0
3.5
4.0
4.5
5.0
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Perce
nt
China 10-Year Yields
Source: Bloomberg. As of 30 Sep 17
ChinaChina has been able to support growth with a tremendous amount of stimulus to make growth resilient. At some point policy will turn back to neutral and growth will likely downshift toward the policy directive of 6.5% GDP growth.
46
Average
-2-101234567
1995 1998 2001 2004 2007 2010 2013 2016 2019
Perce
nt
Primary Balance
0
1
2
3
4
5
6
100105110115120125130135
2000 2005 2010 2015 2020 2025 2030
Percent
Perce
nt
Debt Sustainability
Average Yield at Issuance (RHS) Debt/ GDP Ratio (LHS)
ItalyWe believe Italian government debt is sustainable but contingent on continued monetary support from the ECB.
The Italian economy is growing again. Supportive ECB policy has eliminated deflation risks. Therefore nominal GDP is on a rising trend
Despite political uncertainty past governments have delivered consistent primary surpluses. Italy’s primary balance is one of the highest in the world
Italy’s average yield of debt at issuance is at a record low. Using conservative assumptions the debt / GDP ratio stabilizes and begins to fall. We believe Italian debt is sustainable in the long run
Valuations are attractive. We think Italian spreads price in increased political uncertainty
Assumptions %Real Growth 1.0Inflation 1.0Primary Balance 2.5Average Coupon 3.5
-2.0-1.5-1.0-0.50.00.51.01.52.02.53.0
2013 2014 2015 2016 2017 2018 2019
Year
-ove
r-Yea
r (%
)
Growth and InflationReal GDP + Inflation Real GDP Inflation
Forecast
Source: Bloomberg. As of 31 Dec 16 Source: Haver, Western Asset. As of 31 Dec 16
Source: Haver, Western Asset. As of 31 Dec 16
0
100
200
300
400
500
2011 2012 2013 2014 2015 2016 2017
Basis
Poin
ts
10 Year Yield Spreads - Italy vs. Germany
Source: Bloomberg. As of 31 Oct 17
47
Trade Weighted USDUS Dollar optimism fading after multi year appreciation.
70
80
90
100
110
120
13019
90
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
Trade Weighted USD
Source: Bloomberg. As of 30 Nov 17
48
Inflation Outlook
0.00.51.01.52.02.53.0
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Perce
nt
US Core Inflation
Source: Bloomberg. As of 31 Oct 17
CPI ex Food
-3-2-101234
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Inflat
ion (%
)
Chinese Inflation
Source: Bloomberg. As of 30 Nov 17
020406080
100120140160
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
$ per
Bar
rel
Oil Prices
Source: Bloomberg. As of 30 Nov 17
130
150170
190210
230250
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
FAO
Food
Inde
x
Global Food Prices
Source: Bloomberg. As of 30 Nov 17
49
Global growth and inflation continue to improve from low levels
Moderate US growth persists with subdued inflation backdrop
Central banks signal path toward normalization
Government bonds remain underpinned by low policy rates
Spread sectors expected to outperform
Emerging markets should continue to provide superior performance
2018 Global Investment OutlookOur base case is for steady but unspectacular growth, where spread sectors are likely to outperform.
As of 17 Nov 17
50
Appendix
51
Global InflationGlobal inflation ranges and pricing.
Country10yr Avg Inflation
(%)10yr High
Inflation (%)10yr Low Inflation
(%)Current Inflation
(%)Consensus
Inflation 2017 (%)Consensus
Inflation 2018(%)Current 10yr BE
(%)US 1.72 5.50 -1.96 2.23 2.10 2.10 1.84Canada 1.59 3.72 -0.95 1.40 1.60 1.90 1.55
Euro 1.41 4.10 -0.59 1.54 1.50 1.50 1.31France 1.13 3.62 -0.70 1.16 1.10 1.20 1.36Germany 1.32 3.34 -0.40 1.85 1.70 1.70 1.25Italy 1.42 4.10 -0.60 0.90 1.30 1.20 1.12Sweden 1.06 4.40 -1.53 1.87 1.80 1.90 1.91UK RPI 2.82 5.59 -1.57 3.88 3.60 3.40 2.97
Australia 2.40 4.99 1.02 1.80 2.00 2.20 1.81Japan 0.33 3.64 -2.53 0.20 0.40 0.80 0.49China 2.68 8.83 -1.78 1.60 1.60 2.30 n/aSource: Barclays, Bloomberg, Western Asset. As of 30 Nov 17
52
Biographies
Note: Western Asset experience reflects current position title and hire date.
FRANCES L. COOMBES19 Years Experience
– Western Asset Management Company – Client Serv ice Executive, 1998–– Columbia University, School of International and Public Affairs, M.P.P.– University of California, Berkeley, B.A.
PAUL E. WYNN35 Years Experience
– Western Asset Management Company – Product Specialist, 1992–– Morgan Grenfell – Portfolio Manager, 1982–1992– Keele University, B.S.
53
Key Contacts
Frances L. CoombesClient Service Executive385 E. Colorado Blvd.Pasadena, CA 91101 Ph: 626-844-9557Fax: [email protected]
James RaffiniClient Service Associate385 E. Colorado Blvd.Pasadena, CA 91101 Ph: 626-817-9458Fax: [email protected]
Richard BoothPortfolio ManagerWestern Asset Management Company Ltd10 Exchange Square, Primrose StreetLondon EC2A 2ENPh: +44 207 422 [email protected]
54
Fee Schedule
55
A. The Board shall pay the Contractor an annual flat fee of 17.5 basis points calculated as follows:
The basis would be the aggregated average market value of the total managed assets in the Accounts as valued by the Custodianand reconciled by the Contractor hereunder as of the last business day of each calendar month.
B. The Contractor warrants that the annual fee set forth above will not result in payment by the Board of fees exceeding those that would be payable for management of assets equal in value to the Accounts by any of the Contractor’s other clients for whom it provides the same or similar services. In the event that the Contractor enters into a future agreement with another client to provide the same or similar services that would produce a lower fee for investing assets equal in value to the Accounts, said lower fee shall automatically apply to this Contract and shall supersede the annual fee set forth above.
C. The contractor shall bill 1/4th of the fees above every quarter and in arrears.
D. For the initial quarter of service hereunder, the fee will be prorated beginning with the first day that funds are made available for investment. In the event of termination, expiration, and/or resignation of this Contract, the fee shall be prorated to the date of such termination, expiration, and/or resignation.
E. The annual fees shall be the sole compensation paid to the Contractor by the Board for the services provided and expenses incurred by the Contractor hereunder. No additional amounts shall be due the Contractor for overhead, out-of-pocket or other expenses incurred in connection with this agreement.
Fee Schedule
56
Glossary of Investment Terms
57
Treasury Inflation Protected Securities (TIPS)
Treasury inflation protected securities (TIPS) refer to a treasury security that is indexed to inflation in order to protect investors from the negative effects of inflation. TIPS are considered an extremely low-risk investment since they are backed by the U.S. government and because the par value rises with inflation, as measured by the Consumer Price Index, while the interest rate remains fixed.
Real Yield to Maturity
The nominal return an investor would require on a normal bond that would make the real return equal to that of the inflation-indexed bond, assuming a constant inflation rate.
Nominal Yield to Maturity
The yield to maturity is the internal rate of return on the bond's cash flows: the purchase price, the coupons received and the principal at maturity.
Break Even Inflation Rate
That average rate of actual inflation which if experienced, would make the return on the TIP identical to that on a similar maturity Nominal Bond.
Forward Break Even Inflation Rate
That future/forward average rate of actual inflation which if experienced, would make the return on the TIP identical to that on a similar maturity Nominal Bond
Glossary of Investment Terms
Source: http://en.wikipedia.org/wiki/Yield_(finance); Investopedia; Bloomberg Financial Definition; Western Asset
58
The clients listed are invested in a wide range of mandates, and are located in a variety of countries or regions of the United States.The clients listed in the Corporate company type have portfolios with an AUM of 43(M) or greater. The clients listed in the Public company type have portfolios with an AUM of $63(M) or greater. The clients listed in the Multi-Employer / Union company type have portfolios with an AUM of $15(M) or greater.The clients listed in the Healthcare company type have portfolios with an AUM of $11(M) or greater. The clients listed in the Eleemosynary company type have portfolios with an AUM of $4(M) or greater. The clients listed in the Insurance company type have portfolios with an AUM of $13(M) or greater. The clients listed in the Sub-Advisory company type have portfolios with an AUM of $12(M) or greater.
Clients that have advised Western Asset of account terminations have been excluded from the lists.
Representative Client List Disclosure
As of 31 Oct 17
59
Risk Disclosure
© Western Asset Management Company 2017. This publication is the property of Western Asset Management Company and is intended for the sole use of its clients, consultants, and other intended recipients. It should not be forwarded to any other person. Contents herein should be treated as confidential and proprietary information. This material may not be reproduced or used in any form or medium without express written permission.
Past results are not indicative of future investment results. This publication is for informational purposes only and reflects the current opinions of Western Asset Management. Information contained herein is believed to be accurate, but cannot be guaranteed. Opinions represented are not intended as an offer or solicitation with respect to the purchase or sale of any security and are subject to change without notice. Statements in this material should not be considered investment advice. Employees and/or clients of Western Asset Management may have a position in the securities mentioned. This publication has been prepared without taking into account your objectives, financial situation or needs. Before acting on this information, you should consider its appropriateness having regard to your objectives, financial situation or needs. It is your responsibility to be aware of and observe the applicable laws and regulations of your country of residence.
Western Asset Management Company Distribuidora de Títulos e Valores Mobiliários Limitada is authorised and regulated by Comissão de ValoresMobiliários and Banco Central do Brasil. Western Asset Management Company Pty Ltd ABN 41 117 767 923 is the holder of the Australian Financial Services Licence 303160. Western Asset Management Company Pte. Ltd. Co. Reg. No. 200007692R is a holder of a Capital Markets Services Licence for fund management and regulated by the Monetary Authority of Singapore. Western Asset Management Company Ltd is a registered financial instruments dealer whose business is investment advisory or agency business, investment management, and Type II Financial Instruments Dealing business with the registration number KLFB (FID) No. 427, and members of JSIAA (membership number 011-01319) and JITA. Western Asset Management Company Limited (“WAMCL”) is authorised and regulated by the Financial Conduct Authority (“FCA”). In the UK this communication is a financial promotion solely intended for professional clients as defined in the FCA Handbook and has been approved by WAMCL.