Loading...
The URL can be used to link to this page
Your browser does not support the video tag.
Home
My WebLink
About
04.a. Review Highmark Capital Management Government Accounting Standards Board (GASB 45) Other Post-Employment Benefits (OPEB) Sub-trust Quarterly Report (First Quarter 2018)
Page 1 of 28 Item 4.a. Central Contra Costa Sanitary District June 26, 2018 TO: FINANCE COMMITTEE FROM: THEAVASSALLO, FINANCE MANAGER REVIEWED BY: PHILIP R. LEI BER, DIRECTOR OF FINANCE AND ADMINISTRATION ANN SASAKI, DEPUTY GENERAL MANAGER ROGER S. BAILEY GENERAL MANAGER SUBJECT: REVIEW HIGHMARK CAPITAL MANAGEMENT GOVERNMENT ACCOUNTING STANDARDS BOARD (GASB 45) OTHER POST- EMPLOYMENT BENEFITS (OPEB) SUB-TRUST QUARTERLY REPORT (F I RST Q UART E R 2018) Attached for review is the most recent Highmark overview and GASB 45 O P E B/Pension Sub-trust Report. Andrew Brown, CFA, Director with Highmark Capital Management plans to provide an update in August 2018 for the 2nd quarter of 2018. Strategic Plan Tie-In GOAL THREE:Be a Fiscally Sound and Effective Water Sector Utility Strategy 1 - Conduct long-range financial planning ATTACHMENTS: 1. Highmark Overview of 1 st Quarter 2018 GAS B 45 O P E B/Pension Report 2. PARS Highmark 1 st Quarter 2018 GAS B 45 O P E B/Pension Report June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 124 of 156 Page 2 of 28 ,AH1GHMARfS._ CAPITAL MANAGEMENT EI' ENT May 1, 2018 Thea Vassallo Finance Manager Central Contra Costa Sanitary District 5019 Imhoff Place Martinez, CA 94553-4392 RE: 1St quarter 2018 OPEB/Pension Report Dear Thea, The first quarter of 2018 began with the potential to continue a trend most equity investors could easily get used to. Strong returns and uncommonly low volatility fed intensely bullish sentiment that had been building over the prior five quarters. A fast start out of the gate for global equity markets had many contemplating a `melt-up' scenario, where returns for an already rich equity market accelerates on the expectation that utopian conditions would prevail into the foreseeable future. Such an optimistic outlook was supported by late-cycle domestic fiscal stimulus and accelerating economic activity internationally amid ongoing monetary stimulus in Japan and Europe. There seemed little reason to worry; the global economy stood at its strongest point since the end of the global financial crisis. A tone of positivity was common on corporate earnings calls that cited generous tax reform legislation as the core driver of earnings growth. With persistently low inflation confounding even the Federal Reserve ("Fed") governors, it appeared the paradigm that price increases would follow strengthening growth was broken and investors would get to `have their cake and eat it too . The equity market caught the second swing of a combination punch later in the quarter when President Trump made it clear he intended to follow through on the less market friendly aspects of his agenda, namely protectionist trade policy. By slapping tariffs on imported steel and aluminum, fears of a resulting broader trade war further clouded otherwise robust corporate earnings and economic data. Most observers believe the administration is seeking to obtain leverage in trade negotiations. However, an uncontrollable escalation is well within the realm of possibility once the protectionist genie leaves the bottle. Economic Highlights Fed Funds: Following a change in leadership, the Fed continued on its path of raising short term rates. In March, the Federal Open Market Committee ("FOMC") increased the Fed Funds rate by 0.25% for the fifth time since moving off the zero bound range to 1.50% - 1.75% June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 125 of 156 Page 3 of 28 U.S. Growth: Final fourth quarter GDP growth decelerated slightly to 2.9% after growing 3.2% during the third quarter. For the full year 2017, the domestic economy grew by 2.3%' - slightly above average for this expansion cycle. Inflation: The Core Consumer Price Index, which excludes food and energy, accelerated to a nine year high of 3.1% annualized from December through February. However, many expect temporary factors pushing prices of certain goods and services higher will abate in the coming months. Employment: The economy added an average of 202,000 jobs per month for the first three months of the year. This figure showed modest acceleration from the average 187,000 net new jobs per month created last year. The unemployment rate held steady at 4.1% as the labor force participation rate also climbed.2 Corporate Earnings: According to Factset, the analyst consensus S&P 500 earnings growth estimate for the first quarter grew from 11.4% at the beginning of the quarter to 17.3% by the end of the quarter. Full year earnings growth estimates have increased by a similar amount as the impact of corporate tax reform is accounted for. Consumer: The Conference Board's measure of consumer confidence hit an 18-year high in February and dipped only slightly in March as the impact of recent tax cuts began to show up in pay checks. Housing: The S&P Corel-ogic Case-Shiller U.S. 20-city Home Price Index continued to show strong gains despite rising mortgage rates. Through January the index appreciated 6.4% over the prior 12-months, finally surpassing the 2006 peak level. Fed and Tariffs Nominated by President Trump to succeed Janet Yellen as Chair of the Federal Reserve, Jerome "Jay" Powell inherited perhaps one of the most scrutinized jobs in the world. In February, he took the reins of a policy making body that influences nearly all aspects of the global economy in some way. As widely anticipated, in his first meeting as Chair, the FOMC raised rates by 0.25% for the fifth time since moving off the zero bound range in 2015. The Committee's dot plot indicated an additional two more hikes to come in 2018, yet some market observers are predicting a fourth hike will be executed before the year is over. While we are not inclined to agree with that point of view just yet, we do believe the market will not be significantly disrupted if the pace quickens modestly In recent weeks, President Trump has announced his intention to place import tariffs as high as 25% on imported steel and as much as $60 billion on specific imported Chinese 1 BEA.gov 2 U.S. Bureau of Labor Statistics June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 126 of 156 Page 4 of 28 goods. These China-targeted tariffs are in response to what the Trump administration has called years of unfair trading practices by China, including what the administration has deemed intellectual property theft. The announcements have stirred friction between the United States and China and have resulted in threats of retaliatory tariffs from China. This in turn has rattled global equity markets, with investors concerned about the potential for negative economic impacts and inflationary pressures from a potential trade war. Given prior history, an important question emerges from the recent trade moves: do these changes represent a symbolic step with limited economic impact or has the U.S. embarked on a new confrontational policy path with unknown consequences? We believe that the most likely scenario ultimately will be one of negotiated compromises on a range of trade and intellectual property issues. The Central Contra Costa Sanitary District OPEB Plan returned -1.04% for the quarter, gross of investment fees, which trailed the District's Plan benchmark target of-0.84%. The Plan's fixed income investments returned -1.32%, which was slightly ahead of the Bloomberg Barclays Aggregate Benchmark of-1.46%. Higher treasury yields and wider credit spreads pressured bond prices lower. Inflation concerns, volatility in financial markets, geopolitical tensions, and concerns regarding a potentially hawkish Federal Reserve all served as negative factors for the fixed income market. The two-year Treasury yield rose 38 basis points to 2.27% and the ten-year yield rose 33 basis points to 2.74%. Investment-grade corporate bonds returned -2.3% (Bloomberg), underperforming comparable duration Treasuries by 0.8 percentage points. Corporate bonds have struggled lately, despite strong underlying fundamentals. The Pimco Total Return Fund (-1.27%), Prudential Total Return Fund (-1.35%) and the Vanguard Short- Term Investment Grade Fund (-0.51%), outpaced the benchmark. The separately managed fixed income portfolio was in-line with the benchmark return (-1.47%). Equity markets displayed similar volatility in the quarter, however they were down less than the fixed income market, returning -0.80%. All of the factors that pressured the fixed income market (geopolitical issues, hawkish Fed, inflationary worries) were negative catalysts for equity markets as well. The exuberance of the Tax and Job Act carried over from the end of 2017 with equity markets posting impressive gains through January. However, the strong January gave way to losses with worries that the Federal Reserve may be embolden to excessively hike interest rates to temper a strong economy. Small cap equities outperformed, and had a positive return for the quarter at 0.31%. Given tariffs and tax reform, investors favored the more domestic-focused smaller cap stocks. The Plan's large cap investments underperformed, returning -1.17%. The Plan's overweight to large cap value was a slight detractor with technology shares performing well, and helping the growth indices in the quarter. International investments were mixed against the benchmark. However, the emerging market allocation outperformed its benchmark and was higher by over 2%. For the quarter, the Plan's international equities returned 0.09%. REIT's declined by over 8% as higher-yielding securities were impacted by rising interest rates and inflation expectations. June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 127 of 156 Page 5 of 28 The Central Contra Costa Sanitary District Pension Plan returned -1.11% for the quarter, gross of investment fees, which slightly trailed the District's Plan benchmark target of -0.93%. Performance contributions from the various asset class segments were similar to the OPEB Plan. With fixed income markets down more than stocks in the quarter, the more heavily weighted bond allocation within the pension plan, had a slightly larger negative impact. With respect to asset allocation, we ended the quarter with a slight overweight to equities in the OPEB Plan, targeting a 51% level, and a corresponding bond/cash allocation of 49%. The Pension Plan maintained a similar slight overweight to equities targeting a 31% level. The U.S. economy is on solid footing with low unemployment and modest, yet improving growth. Economic activity outside of the U.S. is firming after being out of sync with the U.S. for most of the current cycle. We expect the rising tide of economic activity internationally, combined with domestic fiscal stimulus in the form of tax cuts and increased spending to further the duration of the current expansion cycle. Protectionist policies in the U.S. may ultimately disrupt the positive trend if a trade war develops. The issue warrants close monitoring, but we expect the saber rattling to subside. We forecast the Federal Reserve will raise the Fed Funds rate between two to three times in calendar year 2018. We expect tightening labor markets, increasing aggregate demand and dwindling excess capacity to produce inflationary pressure that will prompt the Fed to stay on a path of normalization. Our year-end 10-year Treasury forecast calls for a range between 2.75% - 3.25%. Andrew Brown June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 128 of 156 PARS: Central Contra Costa Sanitary District OPEB and Pension Plan First Quarter 2018 Presented by Andrew Brown, CFA HIGHMARK� CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 129 of 156 r r i �i CCCSD — OPEBInception Asset Allocation Beginning Value $5669683.26 Contributions 1011741,826.25 Total Assets: $57,247,603 Withdrawals -63,625,664.44 Gain (Loss) 81205,976.00 Period Ending: 3-31-2018 Interest and Dividends 1013581804.77 Net Accrued Income 116,336.08 1Q18 Return: -1.04% Ending Market Value $57,3631961.92* 1 Year Return: 7.77% Inception-to-Date Return: 9.59% Cash Inception Date 4-1-2009 $1.217.016 2.12°/0 Equity $29,521.227 51.57°/a Fixed Income $2615091360 46-31% Ending Market Value differs from total market value on page 3 due to differences in reporting methodology. The above ending market value includes accruals. HIGHMARrSL� PARS: Central Contra Costa Sanitary District CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 130 of 156 Asset Allocation - Central Contra Costa Sanitary District OPEB As of First Quarter 20'18 current Asset Allocation I nvestme nt Ve hi cle Equity 51.57% Range:40%-60 29,52'1,227 Large Cap Core 10.96% IVV i5 hares S&P 500 Index Fund 61276,001 4.28% VGIAX Vanguard Growth & Income Adm 2,452,740 Large Cap Value 7.02% IVE i5hares S&P 500 Value Fund 410201104 Large Cap Growth 3.97% IVW iShares S&P 500 Growth Fund 212691915 Mid Cap Core 4.00% IWR i5hares Russell MidCap Index Fund 212871562 Small Cap Value 4.87% UBVLX Undiscovered Mgrs Behavioral Value Inst 21786,209 Small Cap Growth 3.12% P RJIX T. Rowe Price New Horizons Fund 1 11785,321 International Core 3.71% NWHMX Nationwide Bailard Intl Equities 1 211221139 International Value 2.26% DODFX Dodge & Cox International Stock Fund 112941867 International Growth 2.27% MGRDX MFSO International Growth Fund Class R6 11299,906 Emerging Markets 3.57% HHHYX Hartford Schroders Emerging Mkts Eq Y 210411428 Real Estate 1.55% VNQ Vanguard REIT ETF 8851037 Fixed Income 46.31% Range:40%-60% 26,509,360 27.39% Core Fixed Income Portfolio 1516821436 Short-Term 4.47% VFS UX Vanguard Short-Term Corp Adm Fund 2 r 557,802 Intermediate-Term 7.20% PTfRX PIMCO Total Return Instl Fund 411241295 7.24% PTRQX Prudential Total Return Bond Q 4,144,827 Cash 2.12% Range: 0%-20% 11217,016 2.130/c FGZXX First American Government Obl ig Z 112171016 TOTAL 100.00% $57,247,603 IGH � PARS: Central Contra Costa Sanitary District 3 CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 131 of 156 Selected Period Performance CCCSD - OPEB Period Ending: 0313112018 Year Inception to Date to Da#e Sector (3 Months) 1 Year 3 Years 5 Years (108 Months) Cash Equivalents .31 .94 .46 _28 _22 Lipper Money Markel Funds Index __ .83 21 , Fixed Income ex Funds -1.47 Total Fixed Income -1.32 1.56 1.50 1.78 4.41 BC US Aggregate Bd Index -146 1.20 1.20 1.82 3.69 Total Equities -.80 14.08 8.72 10.98 14.88 Large Cap Funds -1,17 12.99 9.89 12.83 15.53 S&P 500 Composite Index - 76 1399 1078 1331 16.66 Mid Cap Funds -.46 11.25 6.78 9.82 Russell M dcap Index -46 12.20 801 1209 1810 Small Cap Funds .31 14.74 10.14 13.48 19.02 Russell 2000/nde,x -08 11 79 8.39 1147 16.94 International Equities .09 19.03 6.95 6.04 10.53 MSCI SAFE Index -7.53 14.80 5.55 6.49 1046 MSCI EM Free Index 142 24-93 881 499 1093 Real Estate-ETFs 1 Sctr Fds -8.27 Wilshire REIT Index -748 -3.64 97 613 18.62 Total Managed Portfolio -1:04 7.77 5.17 6.24 9.59 CCCSD OPEB --84 730 523 6.52 Account Inception:412009 CCCSD OPEB Benchmark consists of- 26.5%of S&P 500,5%Russell Midcap,7.5%Russell 2000, 1.75%Wilshire REIT,3.25%MSCI EM Free,6%MSCI EAFE,33.5%BC Aggregate, 10%ML 1-3 Yr US Corp/Govt, 1.5%ML US High Yield Mstr II,and 5%Citigroup 1 Month T-Bill Indexes., Returns are gross-of-fees unless othermse noted_Returns for periods over one year are annualized The information presented has been obtained from sources believed to be accurate and reliable.Past performance is not indicative of future returns.Securities are not FDIC insured,have no bank guarantee. and may lose value. ISH wo PARS: Central Contra Costa Sanitary District CAPITAL MANAGEMENT 4 June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 132 of 156 i Fixed Income Portfolio: Statistics As of First Quarter 2018 CCCSD BC Aggregate Bond OPEB Index Weighted Average Maturity 7.13 years 8.03 years Effective Duration 5.53 years 5.98 years Average Coupon 3.04% 3.07% Yield to Maturity 3.22% 3.10% Average Quality Aa3 Aa2 AJHIGHMART/"JN.@ PARS: Central Contra Costa Sanitary District CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 133 of 156 Fixed Income Portfolio: Sectors As of First Quarter 2018 50.0% 45.0O/o 40.0% 35.0% 30.0% 25.0% 20.0% 15.0% i 10.0% 5.0% 0.0% Cash Treasury Agency Corp Non-Corp MBS CMO ABS CMBS ■CCCSD OPEB 0.0% 25.0% 0.0% 45.7% 0.99°/a 20.0% 0.0% 8.3% 0.0% ■Barclays U.S.Aggregate Band Index 0.0% 38.5% 1.7% 25.3% 5.2% 27.0% 0.0% 0.5% 2.0% �� PARS: Central Contra Costa Sanitary District IGH K= 6 CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 134 of 156 Fixed Income Portfolio: Effective Duration and Effective Maturity As of First Quarter 2018 Effective Duration Effective Maturity 35% 3Q°!u 25% 25% 20% 20% 15% 1 - 15°k 10% tQ% 596 5% - 096 0-1 Yrs. 1-3 Yrs. 3-5 Yrs. 5-7 Yts. 7'10 10+ 0% Yrs. Yrs. 0-1 Yr. 1-3 Yrs. 3-5 Yrs. 5-7 Yrs. 7-10 Yrs. 10+Yrs. ■CCCSD OP EB 6.68% 17.61% 29.75% 25.52% 8.84% 11.61% ■CCCSD OPER 6.68% 14.98% 26.10% 19.94% 18.74% 13.55% BC Aggregate Bond Index 0.15°+6 23.1896 32.21% 22.28% 7.39% 14.79% BC Aggregate Bond Index 0.04% 20.99% 20.43% 26.52% 15.90% 16.11 HIGHMAR111L� PARS: Central Contra Costa Sanitary District CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 135 of 156 Holdings-Reporting as of Trade Date Account:6746055900-PARS/CCCSD 115P-OPEB As of:31-Mar-2018 Asset Type Asset Short Name Ticker Shares/Units Price Market Value Cash&Cash Equivalents CASH (24,510.8100) $1.0000 ($24,510.81) Cash&Cash Equivalents FIRST AMERN GOVT DBLIG FD CL 2#3676 FGZXX 1.241,527.1200 $1.0000 $1,241,527.12 Funds DODGE&COX INTLSTOCK F D(C LS D)#1048 DODFX 28,565.3380 $45.3300 $1,294,866.77 Funds HARTFORD SCHRODR MKTS EQCLY#1842 HHHYX 119,591.5760 $17.0700 $2,041,428.20 Funds ISHARES RUSSELL MI DCAP ETF I WR 11,081.0000 $206.4400 $2,287,561.64 Funds ISHARES S&P 500 GROWTH ETF IVW 14,638.0000 $155.0700 $2,269,914.66 Funds ISHARES S&P 500 VALUE ETF IVE 36,767.0000 $109.3400 $4,020,103.78 Funds ISHARES TR CORE S&P500 ETF IVV 23,650.0000 $265.3700 $6,276000.50 Funds MFS INTERNATIONAL GROWTH R6#4805 MGRDX 38,954.3210 $33.3700 $1,299,905.69 Funds NATIONWIDE BAI LARD I NTL EQ 1#6071 N WHMX 237,110.5280 $8.9500 $2,122,139.23 Funds PI MCO TOTAL RETURN 1 N STL #35 PTTRX 409,156.2480 $10.0800 $4,124,294.98 Funds PRUDENTIAL TOTAL RTRN BD CL Q PTRQX 2901050.8490 $14.2900 $4,144,826.63 Funds T ROWE PRICE NEW HORIZONS FD#532 PRJIX 31.920.6280 $55.9300 $1,785,320.72 Funds UNDISCOVERED MGRS BEHAVRL VAL 11368 UBVLX 41,155.2280 $67.7000 $2,786,208.94 Funds VANGUARD GRD&I NC ADM1 RAL SHRS#593 VGIAX 32,028.4690 $76.5800 $2,452,740.16 Funds VANGUARD REAL ESTATE ETF VNQ 111727.0000 $75.4700 $885,036.69 Funds VNGRD ST TERM INVMT GRADE ADM #539 VFSUX 243,368.4560 $10.5100 $2,557,802.47 Corporate Obligations AMERICAN EXPRESS CO 2.500'/0 8/01/22 AEC2522 751#000.0000 96.459% $72,344.25 Corporate Obligations AMERICAN INTL GROUP 2.300% 7/16/19 AIG2319 150,000.0000 99.071% $148.606.50 Corporate Obligations AMEX CREDIT BD 2.250% 8/15/19 AEC2219 80,000.0000 99.417% $79,533.60 Corporate Obligations AMXCA 2017-3 A 1.1644%11/15/22 A2A1122 200,000.0000 98.2049,*o' $196,408.00 Corporate Obligations AMXCA 2017-6 A 2.040'/0 5/15/23 A2A2023 100,000.0000 98.182% $98,182.00 Corporate Obligations ANHEUSER-BUSCH I N BEV 3.650% 2/01/26 A133626 1451000.0000 99.405% $144.137.25 Corporate Obligations AT&T INC NTS 4.125% 2/17/26 AI N4126 180.000.0000 100.242% $180,435.60 Corporate Obligations AT&T INC SR GLBL NT 4.450'/0 4/01/24 AIS4424 40,000.0000 103.215% $41,286.00 Corporate Obligations AVALON BAY CMNTYS INC 3.450'/o 6/01/25 AC13425 155,000.0000 98.909% $153,308.95 Corporate Obligations BB&T CORP BDS 2.450% 1/15/20 BCB2420 120,000.0000 99.168% $119,001.60 Corporate Obligations BB&T CORP SR MTN 2.8500/ 10/26/24 BCS2824 110,000.0000 95.956% $105,551.60 -.AHIGS K@ PARS: Central Contra Costa Sanitary District i� 8 CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 136 of 156 Holdings-Reporting as of Trade Date Account:6746055900-PARS/CCCSD 115P-OPEB As of:31-Mar-2018 Asset Type Asset Short Name Ticker Shares/Units Price Market Value Corporate Obligations BECTON DICKINSON BDS 2.133% 6/06/19 BDB2119 80,000.0000 98.868% $79,094.40 Corporate Obligations BK OF AMERICA CORP 4.000% 4/01/24 BOA4024 220,000.0000 102.186% $224,809.20 Corporate Obligations BK OF MONTREAL MTN 2.350% 9/11/22 BOM2322 205,000.0000 96.188% $197,185.40 Corporate Obligations BK OF NOVA SCOTIA 2.700% 3/07/22 BON2722 170,000.0000 98.080% $166,736.00 Corporate Obligations BK OF NY MELLON MTN 2.050% 5/03/21 BON2021 180,000.0000 97.079% $174,742.20 Corporate Obligations BOSTON PPTYS LTD PAR 2.750%10/01/26 BXP26A 18000.0000 91.032% $163,857.60 Corporate Obligations CAPITAL ONE BK USA 3.375% 2/15/23 COB3323 220,000.0000 97.450% $214,390.00 Corporate Obligations CC CCIT 2014-Al 2.8801% 1/23/23 CC22823A 125.000.0000 100.192% $125,,240.00 Corporate Obligations CDN IMPERIAL BK 2.550% 6/16/22 CIB2522 170,000.0000 97.582% $165,889.40 Corporate Obligations CITIGROUP INC 3.200%10/21/26 0133226 220,000.0000 95.061% $209,134.20 Corporate Obligations COMCAST CORP SR NT 3.375% 8/15/25 CCS3325 1901000.0000 97.836% $185,888.40 Corporate Obligations CVS HEALTH CORP 5.050% 3/25/48 CHC5048 155,000.0000 105.179% $163,027.45 Corporate Obligations DOW CHEM CO NTS 4.375%11/15/42 DCC4342 155,000.0000 99.555% $154,310.25 Corporate Obligations ECOLAB INC SR NT 2.375% 8/10/22 E152322 80,000.0000 96.815% $77,452.00 Corporate Obligations EL PASO ENERGY CORP 7.800% 8/01/31 EP31 115,000.0000 127.193% $146,271.95 Corporate Obligations EN BRIDGE INC 2.900% 7/15/22 E122922 150,000.0000 97.016% $145,524.00 Corporate Obligations ENTERPRISE PRODS NT 3.350° 3/15/23 EPN3323 175.000.0000 99.645% $174.378.75 Corporate Obligations ERP OVER LTD PRTN NT4.625%12/15/21 EOL4621 170,000.0000 104.496% $177,643.20 Corporate Obligations FIFTH THIRD BANCORP 2.600% 6/15/22 FTB2622 100,000.0000 96.961% $96,961.00 Corporate Obligations FORD MTR CO NTS 7.450% 7/16/31 F31 130,000.0000 121.161% $157,509.30 Corporate Obligations GEN ERAL MTRS FI N L CO 4.000% 10/06/26 GMF4026 150,000.0000 97.047% $145.570.50 Corporate Obligations GEORGIA PAC CORP 8.000% 1/15/24 GPC8024 140,000.0000 123.921% $173,489.40 Corporate Obligations HALLIBURTON CO BDS 3.800%11/15/25 HCB3825 180,000.0000 100.453% $180,815.40 Corporate Obligations HAROT 2017-3 A3 1.790% 9/20/21 H2A1721B 150,000.0000 98.512% $147,768.00 Corporate Obligations HA ROT 2017-4 A3 2.170%11/22/21 H2A2121A 150,000.0000 99.063% $148,594.50 Corporate Obligations HEWLETT PACKARD CO NT4.375% 9/15/21 HPC4321 150,000.0000 103.625% $155,437.50 Corporate Obligations JOHNSON &JOHNSON 3.625% 3/03/37 130,000.0000 99.621% $129,507.30 Corporate Obligations JPMORGAN CHASE NTS 3.200% 1/25/23 JCN3223 220,000.0000 99.053% $217,916.60 PARS: Central Contra Costa Sanitary District IGH K CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 137 of 156 Holdings-Reporting as of Trade Date Account: 6746055900-PARS/CCCSD 115P-CPEB As of:31-Mar-2018 Asset Type Asset Short Name Ticker Shares/Units Price Market Value Corporate Obligations KEY BANK NA 2.250% 3/16/20 KBN2220 100,000.0000 98.703% $98,703.00 Corporate Obligations MACY'S RETAIL HLDGS 4.375% 9/01/23 MRH4323 150,000.0000 100.681% $151,021.50 Corporate Obligations MI DAMERICAN ENERGY 3.750 11/15/23 ME33723 190,000.0000 101.978% $1931758.20 Corporate Obligations NAROT2016-C A3 1.180% 1/15/21 N2A1121 28,000.0000 98.783% $27,659.24 Corporate Obligations NAROT 2017-B A3 1.750%10/15/21 N 2A0121 300,000.0000 98.431% $295,,293.00 Corporate Obligations NORFOLK SOUTHERN COR 4.150% 2/28/48 NSC4148 100,000.0000 99.089% $991089.00 Corporate Obligations ORACLE CORP NTS 2.950%11/15/24 OCN2924 150,000.0000 97.301% $145,951.50 Corporate Obligations PETRO-CDA NT 6.800% 5/15/38 SU/38 120,000.0000 132.383% $158,859.60 Corporate Obligations PNC Fl N L SVCS GROUP 3.150a 5/19/27 PFS3127 100,000.0000 96.142% $96,142.00 Corporate Obligations QUEST DIAGNOSTICS BD 3.500% 3/30/25 QDB3525 150,000.0000 99.302% $148,953.00 Corporate Obligations ROYAL BK SCOTLAND GR 3.875% 9/12/23 RBS23B 80,000.0000 98.756% $79,004,80 Corporate Obligations SHI RE ACQ I NV I RELAN D2.875% 9/23/23 SA12823 155,000.0000 95.468% $147,975.40 Corporate Obligations TART 2016-D A3 1.230%10/15/20 T2A1220A 125,000.0000 98.894% $1231617.50 Corporate Obligations TAOT 2017-D A3 2.260'/ 1/18/22 T2A2222 150,000.0000 98.536% $147,804.00 Corporate Obligations TIME WARNER CABLE NT 7.300° 7/01/38 TWC7338 125,000.0000 119.890% $149,862.50 Corporate Obligations TRANSCONTINENTAL NT 6.050% 6/15/18 WMB/18 80.000.0000 100.639% $80,511.20 Corporate Obligations UNTO AIR 2013-1 4.300% 8/15/25 UA24325 82,740.5400 103.059% $851271.57 Corporate Obligations VERIZON COMM SR NT 4.125% 3/16/27 VC44127 60.000.0000 101.291% $60.774.60 Corporate Obligations VERIZON COMMUNICATIO 5.250% 3/16/37 120,000.0000 107.831% $129,397.20 Corporate Obligations WELLS FARGO&CO NEW 3.000%10/23/26 WFC3026A 220,000.0000 93.646% $206,021.20 Government Obligations FGLMC#E03097 2.500% 3/01/27 E03097F 230,818.2700 98.665% $227,736.85 Government Obligations FGLMC#G60453 3.000% 1/01/46 G60453F 235,895.9400 97.891% $230,920.89 Government Obligations FGLMC#J30401 3.000% 1/01/30 J30401F 2211767.8000 99.954916' $221,665.79 Government Obligations FGLMC#Q13204 3.000%11/01/42 Q13204F 163,046.9300 98.302% $1601278.39 Government Obligations FHLMC G14702 2.50000/a 3/1/2023 G14702F 2021742.1900 99.465% $201,657.52 Government Obligations FHLMC G15252 3.0000%12/1/2029 G15252F 178,561.1100 99.954% $178,478.97 Government Obligations FHLMC V60586 3.0000%8/1/2029 V60586F 226,015.5100 99.942% $2251884.42 Government Obligations FN MA AL8174 3.5000'%2/1/2046 AL8174A 368,488.8900 100.489% $370.290.80 ,AHIGHM �@ PARS: Central Contra Costa Sanitary District CAPITAL MANAGEMENT JO June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 138 of 156 Holdings-Reporting as of Trade Date Account:6746055900-PARS/CCCSD 115P-CPEB As of:31-Mar-2018 Asset Type Asset Short Name Ticker Shares/Units Price Market Value Government Obligations FNMA AL8924 3.0000%12/1/2030 AL8924A 323,593.6204 100.167% $324,134.02 Government Obligations FNMA AL9376 3.0000%8/1/2031 AL9376A 178,953.0700 100.025% $178,997.81 Government Obligations FNMA AS7729 3.0000'/8/1/2046 AS7729A 262,722.4500 97.811% $2561971.46 Government Obligations FNMA AT0293 3.0000%3/1/2043 AT0293A 162,124.6500 98.233% $159,259.91 Government Obligations FN MA BC1486 3.0000%8/1/2046 BC1486A 2321305.7800 97.810% $227,218.28 Government Obligations FNMA MA2779 2.0000%10/1/2026 MA2779A 185,101.4400 98.108% $181,598.93 Government Obligations US TREAS BDS 3.625% 8/15/43 UTB3643 6151000.0000 111.949% $6881486.35 Government Obligations US TREAS NTS 1.250%12/15/18 UTN 1218C 850,000.0000 99.449% $845,316.50 Government Obligations US TREAS NTS 1.500%11/30/19 UTN 1519E 450,000.0000 98.770% $444,465.00 Government Obligations US TREAS NTS 1.625% 4/30/23 UTN 1623 220,000.0000 95.477% $210,049.40 Government Obligations US TREAS NTS 1.875% 1/31/22 UTNO022B 4751000.0000 97.7349/o $464,236.50 Government ObI igati ons US TREAS NTS 2.000% 2/15/25 UTN 2025 150,000.0000 95.6849/o $143,526.00 Government Obligations US TREAS NTS 2.000% 5/31/24 UTN2024A 5801000.0000 96.277% $558,406.60 Government Obligations US TREAS NTS 2.375% 5/15/27 UTN2327 3501000.0000 97.020% $339,570.00 Government Obligations US TREAS NTS 3.125% 5/15/21 UTN3221 230,000.0000 102.078% $234,779.40 Municipal Obligations LOS ANGELES REV BDS 6.574% 7/01/45 LAR6545 1001000.0000 144.897% $144,897.00 Subtotals Cash&Cash Equivalents $1,217.016.31 Funds $40,,348,.151.06 Government Obligations $7,073,929.79 Municipal Obligations $144,897.00 Corporate obligations $8,463,609.26 Total $57,247,603.42 ,JHI PARS: Central Contra Costa Sanitary District CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 139 of 156 Since CCCSD — Pension Investment SummaryInception Asset Allocation Beginning Value $31359,081.81 Contributions 110001000.52 Total Assets: $4,361,184 Withdrawals -51382.27 Gain (Loss) -411755.57 Period Ending: 3-31-2018 Interest and Dividends 49$ 78.63 Net Accrued Income 131491.39 1Q18 Return: -1.11% Ending Market Value $4,374,814.51* Inception-to-Date Return: .82% Inception Date:9-1-2017 Cash $92,581 Equity 2.12% $ 1,362,005 31.23% Fixed Income $2.906,597 66.65°Io * Ending Market Value differs from total market value on page 3 due to differences in reporting methodology. The above ending market value includes accruals. HIGH�K� PARS: Central Contra Costa Sanitary District 12 CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 140 of 156 Asset Allocation -- Central Contra Costa Sanitary District Pension As of First Quarter 20'18 Current Asset Allocation Invest e�n.t Vehicle Eq u l 31.23% Range: 20%40% 11362,005 . Large Cap Core 3.93% IVV iShares Core S&P 500 171,429 4.20% VGIAX Vanguard Growth & Income Adm 183,365 Large Cap Value 4.53% 1VE iShares S&P 500 Value 1971577 Large Cap Growth 2.21% IVW iShares S&P 500 Growth 961298 Mid Cap Core 3.00% IWR iShares Russell MidCap Index Fund 1301883 Small Cap Value 3.30% UBVLX Undiscovered Mgrs Behavioral Value Inst 1437878 Small Cap Growth 1.52% PRJIX T. Rowe Price New Horizons Fund 1 66,211 International Core 2.52% NWHMX Nationwide Bailard Intl Equities I 11 oP 117 International Value 1.48% DODFX Dodge & Cox International Stock Fund 64,396 International Growth 1.51% MGRDX MFSO International Growth Fund Class R6 651808 Emerging Markets 2.00% HHHYX Hartford Schroders Emerging Mkts Eq Y 871137 Real Estate 1.03% VNQ Vanguard REIT ETF 44,905 Fixed Income 66.65% Range: 50%-80% 21906,597 . 46.65% Core Fixed Income Portfolio 21034,365 Short-Term 6.01% VFS UX Vanguard Short-Term Corp Adm Fund 2611939 Intermediate-Term 6.98% PTTRX P IMCO Total Return Instl Fund 3041486 7,01% PTRQX Prudential Total Return Bond Q 3051808 Cash 2.12% Range: 0%20% 92,581 Z 12% FGZXX First American Government Oblig Z 92,581 TOTAL 100.00% $4,361,184 PARS: Central Contra Costa Sanitary District IGH � 13 CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 141 of 156 Selected Period Performance PARSICCCSD 'I 15P - PENSION Account 6746055901 Period Ending: 03/31/2018 Year Inception to Date to Date Sector (3 Months) (7 Months) Cash Equivalents .31 .61 Upper Money Markel Funds Index . ` 7-7i" Fixed Income ex Funds -1.39 -1.32 Total Fixed Income -1.30 -1.29 BC US Aggregate Bd Inde'v -146 -155 Total Equities --.85 6.78 Large Cap Funds -1.16 7.46 S&P 500 Composite Index - 76 802 Mid Cap Funds -.33 7.98 Russell Midcap Index -46 850 Small Cap Funds -.23 9.79 Russell 2000 Index -08 970 International Equities .03 6.90 MSCI EA FE Index -153 519 MSCI EM Free Index 142 853 Real Estate-ETFs 1 S ctr Fds -8.18 -7.40 Wilshire REIT Index -748 -598 Total Managed Portfolio -1.11 .82 CCCSD Pension -93 147 Performance Inception: 0912017 CCCSD Pension Benchmark consists of; 15.5%of S&P 500.3%Russell Midcap,4.5%Russell 2000, 1%Wilshire REIT,2%MSCI EM Free,4%MSCI EAFE,49.25%BC Aggregate, 14%ML 1-3 Yr US Corp/Govt, 1.75° ML US High Yield Mstr II,and 5%Citigroup 1 Month T-Bill Indexes Returns are grass-of-fees unless otherwise noted. Returns for periods over one year are annualized. The information presented has been obtained from sources believed to be accurate and reliable, Past performance is not indicative of future returns Securities are not FDIC insured.have no bank guarantee, and may lose value. I�H we PARS: Central Contra Costa Sanitary District 13 CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 142 of 156 Fixed Income Portfolio: Statistics As of First Quarter 2018 CCCSD BC Aggregate Bond Pension Index Weighted Average Maturity 6.87 years 8.03 years Effective Duration 5.42 years 5.98 years Average Coupon 3.01% 3.07% Yield to Maturity 3.22% 3.10% Average Quality Aa3 Aa2 -..AHIGH�K� PARS: Central Contra Costa Sanitary District 14 CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 143 of 156 Fixed Income Portfolio: Sectors As of First Quarter 2018 50.0% 45.0% 40.0% 35.0% 30.0% 25.0% 20.0°)0 15.0% 10.0% -- - - 5.0% 0.0% .N - �- . N Cash Treasury Agency Corp Non-Corp MBS CMC ABS CMBS ■CCCSD Pension 0.0% 24.8% 0.0% 45.8% 0.00/0 197% 0-0% 9.8% 0.0% ■Barclays U.S.Aggregate Bond Index 0.0% 38-5% 1.7°/ 25,3% 5.20/6 27.0% 0.0% 0-5% 20% H1 H we PARS: Central Contra Costa Sanitary District 15 CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 144 of 156 Fixed Income Portfolio: Effective Duration and Effective Maturity As of First Quarter 2018 Effective Duration Effective Maturity soy 35°/0 30% 25°•6 25% 20% - 20% 15% i 596 5% 0% o -- 0-1 Yrs. 1-3 Yrs. 3-5 Yrs. 5-7 Yrs. Y� Yom+ 0/� 0-1 Yr. 1-3 Yrs. 3-5 Yrs. 5-7 Yrs. 7-10 Yrs. 10+Yrs. ■GCC SD Pension 6.11% 16.60% 31.59% 28.14°Io 7.86% 9.70% •CCCSD Pension 6.11% 14.44% 26.62% 19.15°k 21.53% 12.15% BC Aggregate Bond Index 0.15% 23.18% 32.21% 22.28% 7.39% 14.79% BC Aggregate Bond Index 0.04% 20.99% 20.4390 26.52% 15.90% 16.11% JHIGHMARK� PARS' Central Contra Costa Sanitary District 16 CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 145 of 156 Holdings-Reporting as of Trade Date Account:6746055901-PARS/CCCSD 115P-PENSION As of:31-Mar-2018 Asset Type Asset Short Name Ticker Shares/Units Price Market Value Cash&Cash Equivalents CASH 1,600.0000 $1.0000 $1..600-00 Cash&Cash Equivalents FIRST AMERN GOVT OBLIG FD CL Z#3676 FGZXX 90,981.4200 $1.0000 $90,981.42 Funds DODGE&COX INTL STOCK FD(CLSD)#1045 DODFX 11420.6140 $45.3300 $64,396.43 Funds HARTFORD SCHRODR MKTS EQ CL Y#1842 HHHYX 5,104.6950 $17.0700 $87,137.14 Funds ISHARES RUSSELL MI DCAP ETF I WR 634.0000 $206.4400 $130,882.96 Funds ISHARES S&P 500 GROWTH ETF IVW 621.0000 $155.0700 $96,298.47 Funds ISHARES S&P 500 VALUE ETF IVE 11807.0000 $109.3400 $197,577.38 Funds ISHARES TR CORE S&P500 ETF 1VV 646.0000 $265.3700 $171,429.02 Funds MFS INTERNATIONAL GROWTH R6#4805 MGRDX 1,972.0840 $33.3700 $65,808.44 Funds NATIONWIDE BAI LARD I NTL EQ 1#6071 NWHMX 121303.6020 $8.9500 $110,117.24 Funds P1 MCD TOTAL RETURN I NSTL #35 PTTRX 30,206.9500 $10.0800 $304,486.06 Funds PRUDENTIAL TOTAL RTRN BD CLQ PTRQX 211400.1350 $14.2900 $305,807.93 Funds T ROWE PRICE NEW HORIZONS FD#532 PRAX 11183.8110 $55.9300 $66,210.55 Funds UNDISCOVERED MGRS BEHAVRLVAL 11368 UBVLX 210125.2220 $67.7000 $143,877.53 Funds VANGUARD GRO&INC ADMIRAL SHRS#593 VGIAX 2,394.4260 $76.5800 $183,365.14 Funds VANGUARD REAL ESTATE ETF V N Q 595.0000 $75.4700 $44,9904.65 Funds VNGRD STTERM INVMTGRADE ADM #539 VFSUX 24,922.8280 $10.5100 $261,938.92 Corporate Obligations AMERICAN EXPRESS CO 2.500% 8/01/22 AEC2522 56,000.0000 96.459% $4,822.95 Corporate Obligations AMERICAN EXPRESS CO 3.000%10/30/24 AEC3024 201000.0000 96.4169/a $196,203.20 Corporate Obligations AMERICAN I NTL GROUP 2.300% 7/16/19 AIG2319 20,000.0000 99.071% $19,814.20 Corporate Obligations AMXCA 2017-3 A 1.1644%11/15/22 A2A1122 25,000.0000 98.204% $24,551.00 Corporate Obligations ANHEUSER-BUSCH I N BEV 3.6501/10 2/01/26 A133626 20,000.0000 99.405% $19,881.00 Corporate Obligations AT&T INC NTS 4.125% 2/17/26 AI N4126 25,000.0000 100.242% $25,060.50 Corporate Obligations AVALON BAY CMNTYS INC 3.450% 6/01/25 AC13425 20,000.0000 98.909% $19,781.80 Corporate Obligations BB&T CORP BDS 2.450% 1/15/20 BCB2420 156,000.0000 99.168% $14,875.20 Corporate Obligations BB&T CORP SR MTN 2.850'1 10/26/24 BCS2824 101000.0000 95.956% $9,595.60 Corporate Obligations BECTON DICKINSON BDS 2.133% 6/06/19 BDB2119 201000.0000 98.868% $19,773.60 Corporate Obligations BK OF AMERICA CORP 4,000% 4/01/24 BOA4024 25,000.0000 102.186% $25,546.50 O PARS: Central Contra Costa Sanitary District IGH I.. 17 CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 146 of 156 Holdings-Reporting as of Trade Date Account:6746055901-PARS/CCCSD 115P-PENSION As of:31-Mar-2018 Asset Type Asset Short Name Ticker Shares/Units Price Market Value Corporate Obligations BK OF MONTREAL MTN 2.350% 9/11/22 BOM2322 20,000.0000 96.188% $19,237.60 Corporate Obligations BK OF NOVA SCOTIA 2.700% 3/07/22 BON2722 201000.0000 98.080% $19,616.00 Corporate Obligations BK OF NY MELLON MTN 2.050% 5/03/21 BON 2021 20,000.0000 97.079% $19,415.80 Corporate Obligations BOSTON PPTYS LTD PAR 2.750%10/01/26 BXP26A 20,000.0000 91.032% $18,206.40 Corporate Obligations CAPITAL ONE BK USA 3.375% 2/15/23 COB3323 25,000.0000 97.450% $24,362.50 Corporate Obligations CC CCIT 2014-A1 2.880% 1/23/23 CC22823A 52,000.0000 100.192% $52,099.84 Corporate Obligations CDN IMPERIAL BK 2.550% 6/16/22 CI B2522 20,000.0000 97.582% $19,516.40 Corporate Obligations CIT 2012-4A A 1.580% 8/16/21 C2A1521B 30,000.0000 98.612% $29,583.60 Corporate Obligations CITIGROUP INC 3.200%10/21/26 C133226 25,000.0000 95.061% $23,765.25 Corporate Obligations COMCAST CORP SR NT 3.375% 8/15/25 CCS3325 20,000.0000 97.836% $19,567.20 Corporate Obligations CVS HEALTH CORP 5.050% 3/25/48 CHC5048 20,000.0000 105.179% $21,035.80 Corporate Obligations DOW CHEM CO NTS 4.375%11/15/42 DCC4342 20,000.0000 99.555% $19,911.00 Corporate Obligations ECOLAB INC SR NT 2.375% 8/10/22 EIS2322 20,000.0000 96.815% $19,363.00 Corporate Obligations EL PASO ENERGY CORP 7.800% 8/01/31 EP31 20.000.0000 127.193% $25,438.60 Corporate Obligations EN BRIDGE INC 2.900% 7/15/22 E122922 201000.0000 97.016% $19,403.20 Corporate Obligations ENTERPRISE PRODS NT 3.350% 3/15/23 EPN3323 20,000.0000 99.645% $19,929.00 Corporate Obligations ERP OVER LTD PRTN NT 4.625%12/15/21 EOL4621 251000.0000 104.496% $26,124.00 Corporate Obligations FIFTH THIRD BANCORP 2.600% 6/15/22 FTB2622 25,000.0000 96.961% $24,240.25 Corporate Obligations FORD MTR CO NTS 7.450'/❑ 7/16/31 F31 20,000.0000 121.161% $24,232.20 Corporate Obligations GEN ERAL MTRS FI N L CO 4.000%10/06/26 GMF4026 15,000.0000 97.0470 $14,557.05 Corporate Obligations GEORGIA PAC CORP 8.000% 1/15/24 GPC8024 10.000.0000 123.921% $12,392.10 Corporate Obligations HALLI BURTON CO BDS 3.800'/011/15/25 HCB3825 20,000.0000 100.453% $20.090.60 Corporate Obligations HAR 2017--4A-4 2.210% 3/21/24 H222224 25.000.0000 98.530% $24,632.50 Corporate Obligations HAROT 2017-4 A3 2.170%11/22/21 H2A2121A 20.000.0000 99.063% $19.812.60 Corporate Obligations HEWLETT PACKARD CO NT4.375% 9/15/21 HPC4321 20.000.0000 103.625% $20.725.00 Corporate Obligations JOHNSON &JOHNSON 3.625% 3/03/37 15,000.0000 99.621% $14,943.15 Corporate Obligations JPMORGAN CHASE NTS 3.200% 1/25/23 JCN3223 30,000.0000 99.053% $29,715.90 Corporate Obligations KEY BANK NA 2.250% 3/16/20 KBN 2220 101000.0000 98.703% $9,870.30 PARS: Central Contra Costa Sanitary District HIGHMARfS1. 18 CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 147 of 156 Holdings-Reporting as of Trade Date Account:6746055901-PARS/CCCSD 115P-PENSION As of:31-Mar-2018 Asset Type Asset Short Name Ticker Shares/Units Price Market Value Corporate Obligations MACY'S RETAIL HLDGS 4.375% 9/01/23 MRH4323 201000.0000 100.681% $20,136.20 Corporate Obligations MI DAMERICAN ENERGY 3.750%11/15/23 ME33723 20,000.0000 101.978% $20,395.60 Corporate Obligations NORFOLK SOUTHERN CDR 4.150° 2/28/48 NSC4148 10,000.0000 99.089% $9,908.90 Corporate Obligations ORACLE CORP NTS 2.950%11/15/24 OCN2924 25,000.0000 97.301% $24,325.25 Corporate Obligations PETRO-CDA NT 6.800% 5/15/38 SU/38 10,000.0000 132.383% $13,238.30 Corporate Obligations QUEST DIAGNOSTICS B133.500% 3/30/25 QDB3525 20,000.0000 99.302% $19,860.40 Corporate Obligations ROYAL BK SCOTLAND GR 3.875% 9/12/23 RBS23B 20,000.0000 98.756% $19,751.20 Corporate Obligations SHI RE ACQ I NV I RELAN❑2.875% 9/23/23 SA12823 20,000.0000 95.468% $191093.60 Corporate Obligations TA OT 2016-D A3 1.230%10/15/20 T2A1220A 251000.0000 98.894% $24,723.50 Corporate Obligations TACIT 2017-D A3 2.260% 1/18/22 T2A2222 25,000.0000 98.536% $24,634.00 Corporate Obligations TIME WARNER CABLE NT 7.3005% 7/01/38 TWC7338 151000.0000 119.890% $17,983.50 Corporate Obligations TRANSCONTINENTAL NT 6.050% 6/15/18 WMB/18 20,000.0000 100.639% $20,127.80 Corporate Obligations UNTO AIR 2013-1 4.300% 8/15/25 UA24325 241822.1600 103.059% $25,581.47 Corporate Obligations VERIZON COMM SR NT 4.125% 3/16/27 VC44127 10,000.0000 101.291% $10,129.10 Corporate Obligations VERIZON COMMUN ICATIO 5.250% 3/16/37 15,000.0000 107.831% $16,174.65 Corporate Obligations WELLS FARGO&CO NEW 3.000%10/23/26 WFC3026A 30,000.0000 93.646% $28,093.80 Government Obligations FGLMC#E03097 2.500% 3/01/27 E03097F 381469.7200 98.665% $37,.956.15 Government Obligations FGLMC#G60453 3.000% 1/01/46 G60453F 40,671.7200 97.891% $39,813.95 Government Obligations FGLMC#J30401 3.000% 1/01/30 J30401F 340849.2300 99.954% $34,833.20 Government Obligations FGLMC G08701 3.000% 4/01/46 G08701F 331021.6300 97.668% $32,251.57 Government Obligations FHLMC G15252 3.0000%12/1/2029 G15252F 40,724.4700 99.954% $40,705.74 Government Obligations FNMA#AB3678 3.500%10/01/41 AB3678A 481077.5400 100.943% $48,530.91 Government Obligations FNMA AL9376 3.0000%8/1/2031 AL9376A 40,671.1500 100.025% $40,681.32 Government Obligations FNMA AS7729 3.0000•©8/1/2046 AS7729A 451296.9800 97.811% $44,305.43 Government Obligations FNMA BC 1486 3.0000%8/1/2046 BC1486A 44,674.1800 97.810% $43,695.82 Government Obligations FNMA MA2779 2.0000%10/1/2026 MA2779A 39,383.2100 98.108% $38,638.08 Government Obligations US TREAS BDS 3.625% 8/15/43 UTB3643 751000.0000 111.949% $83,961.75 Government Obligations US TREAS NTS 1.250%12/15/18 UTN1218C 80,000.0000 99.449% $79,559.20 IGH MAaW 0 PARS: Central Contra Costa Sanitary District 10 CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 148 of 156 Holdings-Reporting as of Trade Date Account:6746055901-PARS/CCCSD 115P-PENSION As of:31-Mar-2018 Asset Type Asset Short Name Ticker Shares/Units Price Market Value Government Obligations US TREAS NTS 1.500%11/30/19 UTN 1519E 50,000.0000 98.770% $49,385.00 Government Obligations US TREAS NTS 1.625% 4/30/23 UTN 1623 55,000.0000 95.477% $52,512.35 Government Obligations US TREAS NTS 1.875% 1/31/22 UTNO022B 55,000.0000 97.7306 $53,753.70 Government obligations US TREAS NTS 2.000% 2/15/25 UTN2025 251000.0000 95.684% $23,921.00 Government Obligations US TREAS NTS 2.000% 5/31/24 UTN 2024A 50,000.0000 96.277% $48,138.50 Government Obligations US TREAS NTS 2.125% 8/15/21 UTN2521 25,000.0000 98.914% $24,728.50 Government Obligations US TREAS NTS 2.250%11/15/25 UTN2225 30,000.0000 96.793% $29,037.90 Government Obligations US TREAS NTS 2.375% 5/15/27 UTN 2327 30,000.0000 97.020% $29,106.00 Government Obligations US TREAS NTS 2.375%12/31/20 UTN2320 301000.0000 99.996% $29,998.80 Subtotals Cash&Cash Equivalents $92.,581.42 Funds $2.,234,,237-86 Government obligations $905,514.87 Corporate Obligations $1,,128,F849.66 Total $4,361,183.81 IGH � PARS: Central Contra Costa Sanitary District za CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 149 of 156 CENTRAL CONTRA COSTA SANITARY DISTRICT For Period Ending March 31 , 2018 3-Month YTD 1-Year 3-Year 5-Year Fund Name Inception Return Rank Return Rank Return Rank Return Rank Return Rank iShares Core S&P 500 ETF (4/17) -0.77 44 -0.77 44 13.95 35 10.73 13 13.25 13 iShares S&P 500 Value ETF (4/17) -3.61 82 -3.61 82 7.53 70 8.24 41 10.69 44 Vanguard Growth & Income Adm (12/16) -0.69 39 -0.69 39 13.95 35 10.57 16 13.47 9 iShares S&P 500 Growth ETF (4/17) 1.88 54 1.88 54 19.45 59 12.46 27 15.16 31 S&P 500 TR USD -0.76 - -0.76 - 13.99 - 10.78 - 13.31 - iShares Russell Mid-Cap ETF (3/16) -0.50 34 -0.50 34 12.02 33 7.83 39 11.90 20 Russell Mid Cap TR USD -0.46 - -0.46 - 12.20 - 8.01 - 12.09 - Undiscovered Managers Behavioral Val L (9/16) -3.19 68 -3.19 68 7.57 29 9.74 12 12.08 11 Russell 2000 Value TR USD -2.64 - -2.64 - 5.13 - 7.87 - 9.96 T. Rowe Price New Horizons I 6.27 8 6.27 8 27.04 11 14.07 6 17.11 3 Russell 2000 Growth TR USD 2.30 - 2.30 - 18.63 - 8.77 - 12.90 - Dodge& Cox International Stock -2.14 90 -2.14 90 10.96 92 3.76 91 7.26 23 Nationwide Ballard Intl Eqs R6 0.00 18 0.00 18 15.83 45 5.59 55 7.08 27 MFS@ International Growth R6 -1.18 76 -1.18 76 21.23 32 8.74 24 7.00 57 MSCI SAFE NR USD -1.53 - -1.53 - 14.80 - 5.55 - 6.50 - Hartford Schroders Emerging Mkts Eq Y 2.52 38 2.52 38 28.58 17 10.69 18 5.99 24 MSCI EM Free 1.42 - 1.42 - 24.93 - 8.81 - 4.99 - Data Source: Morningstar, SEI Investments Returns less than one year are not annualized. Past performance is not indicative of future returns. The information presented has been obtained from sources believed accurate and reliable. Securities are not FDIC insured, have no bank guarantee and may lose value. JHIGHMARIL),T/a PARS: Central Contra Costa Sanitary District CAPITAL MANAGEMENT 21 June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 150 of 156 CENTRAL CONTRA COSTA SANITARY DISTRICT For Period Ending March 31 , 2018 3-Month YTD 1-Year 3-Year 5-Year Fund Name Inception Return Rank Return Rank Return Rank Return Rank Return Rank Vanguard Real Estate ETF (4/17) -8.12 85 -8.12 85 x.49 81 0.76 55 5.76 46 Wilshire REIT Index -7.48 — -7.48 — -3.64 — 0.97 — 6.13 — PIMCO Total Return Instl -1.27 40 -1.27 40 2.13 15 1.62 30 1.83 41 Prudential Total Return Bond Q (5/16) -1.35 48 -1.35 48 3.37 4 2.62 5 3.16 3 Vanguard Short-Term Investment-Grade Adm -0.51 69 -0.51 69 0.76 38 1.50 23 1.60 16 BBgBarc US Agg Bond TR USD -1.46 — -1.46 — 1.20 — 1.20 — 1.82 — Data Source: Morningstar SEI Investments Returns less than one year are not annualized. Past performance is not indicative of future returns. The information presented has been obtained from sources believed accurate and reliable. Securities are not FDIC insured, have no bank guarantee and may lose value. HIGHMARA.� PARS: Central Contra Costa Sanitary District 22 CAPITAL MANAGEMENT June 26, 2018 Regular FINANCE Committee Meeting Agenda Packet- Page 151 of 156