INVESTMENT MANAGER SUMMARY · 1/24/2018 · CHRISTUS Health Gundersen Health System Kaiser Permanente LCMC Health ... through disciplined and rigorous analysis, comparing prices

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


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


FranceItaly

GermanyJapan

CanadaSpain

AustraliaSweden

New ZealandMexico


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


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


FranceItaly

GermanyJapan

CanadaSpain

AustraliaSweden

New ZealandMexico


43.129.4

9.46.3

2.82.42.01.81.11.00.40.00.20.0


FranceItaly

GermanyJapan

CanadaSpain

AustraliaSweden

New ZealandMexico


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



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


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



55.9

24.7

3.7

12.3

3.4

AAA

AA

A

BBB


50.7

38.8

2.4

8.1

0.0

AAA

AA

A

BBB


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



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


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



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


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



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



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


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



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


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


TRADE DATE CASH 118,986.05CAD_CASH 93,700.60 92,358.96 0.00 0.02% 1.2699 1.2883NR/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


TRADE DATE CASH 480,475.01GBP_CASH 631,277.54 650,395.35 0.00 0.17% 0.7611 0.7387NR/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


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


TRADE DATE CASH 57,572.57SEK_CASH 6,865.75 6,908.20 0.00 0.00% 8.3855 8.3340NR/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



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


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


TRADE DATE CASH-104,588,194.00MARGINJPY -943,731.06 -934,615.92 0.00 -0.24% 110.8242 111.9050NR/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


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


TRADE DATE CASH 104,588,194.00RESRVBLEJPY 926,728.57 934,615.92 0.00 0.24% 112.8574 111.9050NR/NR/NR


TRADE DATE CASH 5.40RESRVBLEUSD 5.40 5.40 0.00 0.00% 1.0000 1.0000NR/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



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


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


Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


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



Original Face


Price Total

Market Value

Price Total

Accrued

Interest

% of

Assets


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



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Market Value

Price Total

Accrued

Interest

% of

Assets


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



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



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Market Value

Price Total

Accrued

Interest

% of

Assets


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


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



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Interest

% of

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TRADE DATE CASH 6,692.18AUD_CASH 5,125.81 5,080.37 0.00 0.01% 1.3056 1.3173NR/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


TRADE DATE CASH 7,271.22EUR_CASH 8,484.50 8,669.84 0.00 0.01% 0.8570 0.8387NR/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


TRADE DATE CASH 11,160,697.00JPY_CASH 98,324.98 99,733.68 0.00 0.16% 113.5083 111.9050NR/NR/NR


TRADE DATE CASH 145.93MXN_CASH 8.73 7.84 0.00 0.00% 16.7159 18.6060NR/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


TRADE DATE CASH 17,074.29SEK_CASH 2,036.20 2,048.76 0.00 0.00% 8.3854 8.3340NR/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


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



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Market Value

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Interest

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Assets



0.00-16,478.28 -16,478.28 Unsettled Margin Variation 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 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


TRADE DATE CASH 547,047.06RESRVBLEEUR 623,660.35 652,271.50 0.00 1.01% 0.8772 0.8387NR/NR/NR


TRADE DATE CASH 457,086.40RESRVBLEGBP 629,980.75 618,735.34 0.00 0.96% 0.7256 0.7387NR/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


$0.00Total 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


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


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


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


020406080

100120140160

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

$ per

Bar

rel

Oil Prices


130

150170

190210

230250

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

FAO

Food

Inde

x

Global Food Prices


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.

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