HomeMy WebLinkAbout05.a. Receive Highmark Other Post-Employment Benefits (OPEB) and Pension Prefunding Sub-Trust Reports for the Third Quarter of Calendar Year 2022Page 1 of 27
Item 5.a.
F__1_448�411C_S0
November 21, 2022
TO: FINANCE COMMITTEE
FROM: KEVIN MIZUNO, FINANCE MANAGER
REVIEWED BY: PHILIPLEIBER, DIRECTOR OF FINANCE AND ADMINISTRATION
ROGER S. BAILEY, GENERAL MANAGER
SUBJECT: RECEIVE HIGHMARK OTHER POST -EMPLOYMENT BENEFITS (OPEB)
AND PENSION PREFUNDI NG SUB -TRUST REPORTS FOR THE THIRD
QUARTER OF CALENDAR YEAR 2022
Attached for review is a trust performance overview provided by Highmark, as well as OPEB and Pension
Pre -funding sub -trust investment reports for the quarter ending September 30, 2022.
Central San's Investment Manager at Highmark, has provided an in-depth written analysis of market and
fund performance attached to this memo (Attachment 1). In summary, this quarter's report reflects year-to-
date losses of-18.08% and-15.64% for Central San's OPEB and Pension Pre -funding sub -trusts,
respectively. The long-term targeted annual returns are 5.75% for the OPEB trust and 5.14% for the
Pension Pre -funding trust. In comparison, the inception -to -date annual returns have been 7.49% and
2.19% for the OPEB and Pension Pre -funding sub -trusts respectively. A presentation of financial
highlights comparing quarterly results to historical results as well as benchmarks is also included
(Attachment 2).
As approved by the Board, nearly the entire balance of the Pension Pre -funding trust was liquidated to
help finance the payoff of Central San's unfunded actuarial accrued liability (UAAL) totaling approximately
$70.8 million. Following the payoff of the UAAL in June 2021, a residual amount of $41,922 remained in
the trust as of September 30, 2022.
While not a new issue, staff emphasizes that a Public Agency Retirement Services (PARS) system
limitation results in "Contributions" and "Withdrawals" for the OPEB Trust appearing significantly
overstated on page 2 of 18 in Attachment 2. This is caused by two issues: (1) a change in account
number related to the establishment of the Pension Pre -funding Trust in 2017, and (2) several changes to
mutual fund investment share classes where movements of funds were reflected as withdrawals and
contributions.
Consistent with the Board -approved FY 2022-23 budget plan (and the year prior), the excess of OPEB
costs above and beyond the actuarially determined contribution (ADC) will be claimed from the OPEB
trust following the close of FY 2022-23. With total FY 2022-23 pay -go retiree OPEB premiums estimated
to be approximately $4.6 million, it is estimated Central San will claim a reimbursement of $1.3 million from
the OPEB trust in July 2023. Additionally, to augment the plan against losses due to adverse market
conditions in calendar year 2022, the Finance Committee and staff recommended the Board contribute an
additional $1.0 million to the OPEB trust in FY 2022-23 from favorable prior year budgetary variances at
November 21, 2022 Regular FINANCE Committee Meeting Agenda Packet - Page 167 of 244
Page 2 of 27
last month's Finance Committee meeting.
Strategic Plan Tie -In
GOAL FOUR: Governance and Fiscal Responsibility
Strategy 3 - Maintain financial stability and sustainability
ATTACHMENTS:
1. Highmark Overview, 3rd Quarter 2022
2. PARS Investment Report, 3rd Quarter 2022
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Attachment 1
JHIGHMARKO
CAPITAL MANAGEMENT
October 23, 2022
Phil Leiber
Director of Finance and Administration
Central Contra Costa Sanitary District
5019 Imhoff Place
Martinez, CA 94553-4392
RE: 3Q Quarter 2022 OPEB/Pension Report
Dear Mr. Leiber,
Market Commentary
Equity markets retreated into bear market territory in the third quarter as recession seemed
ever more likely and consumers began to retrench. Meanwhile, fixed income assets
appeared increasingly attractive given the historic sell-off in the bond market.
Stock Sell-off
Stock investors continued to flee the market —the S&P 500 and tech -heavy Nasdaq have
now recorded three straight down quarters for the first time since 2009.' After an overly -
enthusiastic July rally that reflected misplaced optimism the Federal Reserve (Fed) could
engineer a soft landing and avoid recession, investors reversed direction to reprice in the
Fed's aggressive normalization away from rock bottom rates. Markets continued to absorb
the impacts —reduced consumer savings and spending being one —of the end of fiscal
stimulus. It appears that Goldilocks has left the building and the Fed, shifting from
engineering economic growth, now must manage recessionary conditions.
It is not surprising that equity markets have retreated —the S&P 500's 28.7 percent return in
20212 represented unsustainable conditions resulting from low rates and the inescapable
laws of mean reversion are finally taking hold. But markets are late to the game at repricing a
recession, and are still holding at long-term averages. We anticipate future volatility as prices
reset below long-term averages in acknowledgement of weakening corporate demand and
cost fundamentals.
Purchasing Manager Index service sector activity fell to 443 in August, a 27-month
low and down from 47.3 the prior month. Excluding the decline between March and
May 2020 during the height of the pandemic, this reading signaled the sharpest
decline in output in 13 years.
The S&P 500 declined by 4.6 percent in the first quarter of 2022, 16.1 percent in the second
quarter and 4.9 percent in the third quarter. The Nasdaq declined by 8.9 percent in the first
quarter, 22.3 percent in the second quarter and 3.9 percent in the third quarter. Source: FactSet
2 Source: FactSet
3Source: S&P Global. A reading below 50 indicates contraction
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Attachment 1
• Many strategists have cut their corporate earnings forecasts: earnings growth
expectations for the S&P 500 stand at an increase of 3.7 percent for the third quarter,
down sharply from expectations of 9.8 percent growth at the end of June.4
Of S&P 500 companies that held earnings calls from June 15 through September 8,
240 used the term "recession". This is the highest number citing the term since at
least 2010, and well above the five-year average of 52.5
• Sales of existing homes declined for the seventh straight month in August as
mortgage rates over 6 percent hampered demand.6
Savings - Feast to Famine
The outlook for corporate profits and share appreciation is also dampened by recent
consumer retrenchment in the face of soaring inflation.' With consumer spending accounting
for between 60 and 70 percent of U.S. Gross Domestic Product (GDP),$ shifts in consumer
habits are an important bellwether of economic conditions. Whether the result of COVID-era
fiscal stimulus or COVID-era rainy day concerns, consumers enjoyed high levels of savings,
both in absolute terms as shown below, or as a percent of income9, and spending soared as
the 2020 mini -recession ended.
Some of the increased spending was due to stay-at-home COVID protocols, government
stimulus checks, and near negative interest rates that prompted many households to add
credit card debt, but it appears consumer savings and spending are reverting back to long-
term trends.10
4 Source: FactSet
5 Source: Factset
e Source: The National Association of Realtors.
Headline and core PCE inflation are 6.2 percent and 4.9 percent respectively on a year -over -year basis.
Source: U.S. Bureau of Economic Analysis as of 9/30.
$ Source: Federal Reserve Bank of St. Louis
9 Savings as a percent of income peaked at 34 percent in April of 2020 versus the 10-year median rate of 7
percent.
io Source: Piper Sandler; 97 percent of the decline in consumer spending over four months ending April
was due to declining savings rates as personal spending declined from $301 billion in January 2022 to $74
billion in April 2022 and to $24 billion in July 2022.
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Attachment 1
7000.0
6000.0
5000.0
4000.0
3000.0
2000.0
1000.0
0.0
Savings Back to Trend
4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4
n n n r— ri r— n n n r1 r-
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r1 r1 r1 r1 rl r_I r1 r1 r1 r1 r1 r1 r1 r1 r1 N N N N N N
O CDO CDO O CDO CDO CDO CDO CDO O CDO CDO
N N N N N N N N N N N N N N N N N N N N N
Source: Federal Reserve Bank of St. Louis, personal savings in U.S. Billions
Rising inflation is also dampening consumer spending along a wide range of industries from
cruises to autos. Particularly impacted are companies reliant on items that are typically
financed through bank or credit card borrowing.
Disposable personal income, after peaking last year, is also reverting back towards long-
term trends. While reduced spending may help drive down inflation, consumer retrenchment
is a worrying development for corporate profits and share prices.
Disposable Personal Income
20000.0
19000.0
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17000.0
16000.0
15000.0
14000.0
13000.0
12000.0
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r 1
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Source: Federal Reserve Bank of
St. Louis,
real
disposable
income
in U.S.
billions.
November 21, 2022 Regular FINANCE Committee Meeting Agenda Packet - Page 171 of 244
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Attachment 1
Dollar Strength - Not Always a Good Thing
At first glance, recent dollar strength might seem a source of pride. But global investors are
casting a wary eye on the greenback's recent peak. Demand for U.S. dollars does not reflect
a particular attraction for the currency in itself but, rather, an indication of heightening
tensions around the world arising from geopolitical tensions, uncertain economic prospects
globally and rising recession risks around the world.
Soaring U.S. Dollar
120,0000
115,0000
110,0000
105,0000
100,0000
95.0000
90.0000
85.0000
80.0000
R R
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R R
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The unusual strength of the dollar has prompted the Bank of England, the UK's central bank,
to intervene in currency markets to prop up the Pound —an indication of the seriousness of
the situation. And strong U.S. dollar conditions are particularly damaging to companies with
significant foreign earnings such as many of the large firms in the S&P 500. Emerging
market countries are particularly vulnerable to strong dollar conditions as they are frequently
reliant on dollar -denominated debt as well as food and energy imports priced in U.S. dollars.
While it may seem that emerging market economies and stock markets are not particularly
germane to U.S. investors, the world is increasingly interconnected from domestic to
developed to emerging markets. Many investors already hold emerging market stocks in
their funds and many global companies have significant investments in countries that could
face significant challenges from continuing dollar strength.
So far, the Fed leads the world in aggressively raising rates. We might see continuing dollar
strength as long as U.S. interest rates remain above those of other countries, providing a
magnet for global capital flows to the U.S.
Shifting Tides
A new global paradigm appears to be shaping up that is not hospitable to risk assets —higher
inflation, trade barriers, reduced globalization and dwindling open markets, and a shift from
"just in time" manufacturing to "just in case" inventories. The impacts of the Ukraine war and
rising tensions between China and Taiwan, coming on top of the COVID pandemic, have
altered global financial markets in fundamental ways not seen since the last cold war.
Corporate profits are likely to suffer in this new world order.
If there is any good news in today's situation, we believe the recession will fall into the
category of a cyclical recession rather than an event -driven recession, like the COVID
recession or the structural recession of 2008. Cyclical recessions are painful, but necessary,
to reset the economy onto a new path of growth. Like a controlled forest burn, a cyclical
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Attachment 1
recession clears out the undergrowth and leaves behind conditions conducive for green
shoots of recovery.
And there may be good news on the inflation front as it appears consumers are reducing
spending and companies are finding it more difficult to pass along price increases.
Consumers themselves appear to believe inflation may be tempering" and clogged supply
chains appear to be opening up as well with a 90 percent decline in ships waiting to unload
at Long Beach, California.12 Lastly, we may be seeing an easing of COVID concerns.
While equity market declines are understandably wrenching, we believe that, over time, the
inherent strength of the U.S. economy -- propped up by companies agile enough to remain
highly profitable -- will ultimately manage the downturn successfully. Investors with patience
and a long-term horizon should benefit from not overreacting to bad news in the short run to
take advantage of good values likely to emerge from unwarranted market dislocations.
Fixed Income Outlook
Multi -decade inflation highs, aggressive tightening of monetary policy globally, a
strengthening dollar, and slowing economic growth have helped cause the largest year-to-
date increase in U.S. interest rates in over four decades. Unpacking the drivers of higher
rates, and the effects of slowing economic growth, are key factors in forecasting the future
path of fixed income markets.
By most measures, we have reached peak U.S. inflation, as pricing pressures are
decelerating. That said, inflation remains high with recent measures of headline and core
PCE inflation readings of 6.2 percent and 4.9 percent respectively on a year -over -year
basis.13 With core PCE inflation well above the Fed's long-term target of 2 percent and
unemployment at only 3.5 percent,14 the Fed will remain aggressive in increasing the Fed
Funds rate until substantial and sustained progress is made to lower inflation irrespective of
slowing economic growth or rising unemployment.
Short maturity government bond yields are heavily influenced by both Fed Funds policy and
market expectations of what the Fed Funds rate will be over the next 3, 6, 12, 24 months,
etc. Given unrelentingly hawkish messages from the Fed, markets are now pricing the
average terminal lower -bound Fed Funds rate of 4.5 percent as cited by the Fed.15 This rate
is almost 200 basis points higher than the Fed's estimated long-term neutral rate and we
believe additional substantial increases in short maturity government bond yields are unlikely
unless inflation proves stickier and longer lasting, resulting in even more aggressive Fed
actions.
Intermediate and long maturity government bond yields, while also influenced by the path of
the Fed Funds rate, are also highly influenced by fundamental factors including both forward
economic growth estimates, and inflation expectations. Technical `supply' factors that are
impacting the bond market today include the budget deficit and quantitative tightening. On
the other hand `demand' influencers today focus on the absolute yield attractiveness to
domestic and foreign buyers, as well as relative yields for foreign buyers — after hedging
11 The University of Michigan's consumer sentiment survey showed one-year inflation expectations fell to
4.6 percent in September, the lowest reading in a year.
12 According to Bloomberg, while 109 ships awaited unloading in January 2022, only 8 were anchored
offshore in August.
" Source: U.S. Bureau of Economic Analysis as of 9/30.
14SOurce: U.S. Bureau of Labor Statistics as of 10/7.
llhttps://www.fed era I reserve.gov/moneta ryp o I icy/fo m c p roj to b 1202 209 21. ht m
November 21, 2022 Regular FINANCE Committee Meeting Agenda Packet - Page 173 of 244
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Attachment 1
costs are factored in. These supply and demand factors will often push and pull yields in
opposite directions.
With the interplay of various factors, we believe intermediate and longer maturity interest
rates are near 2022 highs and should modestly decline in 2023.
Factors pushing rates lower:
o Slowing economic growth estimates with markets anticipating a Fed policy pivot
occurring in the middle of 2023 towards easing rates over the following year or
two thereafter.
o Anticipated declining inflation and inflation expectations given an aggressive Fed
policy and slower economic growth.
o Smaller budget deficits resulting in reduced Treasury supply.
o Higher yields attracting domestic retail, insurance, and pension fund buyers.
Factors pushing rates higher:
o Weak foreign demand given the strong U.S. dollar, extremely high currency
hedging costs, and increased yields for similar maturity bonds in the home
country currency.
o Fed balance sheet reduction through quantitative tightening.
o Higher path of near -term Fed Funds policy rates.
Although we believe U.S. Treasury yields are near the highs for the year, short maturity
yields could trend modestly higher if the Fed needs to raise short rates above what is already
priced into the market. Conversely, we expect longer maturity Treasury yields will be
weighed down by declining economic growth prospects as Fed actions percolate through the
economy. Therefore, we expect the U.S. Treasury yield curve to remain inverted near term
and potentially invert even more.
Performance and Positioning
The Central Contra Costa Sanitary District OPEB Plan declined -4.54% gross of investment
fees for the third quarter, which trailed the Plan's benchmark target of-4.37%. Both the
equities (-5.36%) and fixed income (-4.13%) investments struggled in the quarter. The
underweight position the Plan continues to maintain to equities helped only slightly in this
environment. The cash positioning at quarter -end (4%) reflected elevated levels in
comparison to historical positioning.
Fixed income markets globally sold off due to an aggressive push on the behalf of global
central bank to raise rates to combat inflation rates not seen since the 1970s. Yield curves
around the world flattened in response to these rate hikes, leading to continued losses in
fixed income markets. Domestically, the U.S. Treasury market saw yields increase from
both the Federal Reserve's aggressive move to push interest rates higher, as well as
`hawkish' commentary from members of the Fed, who delivered a narrative to the market that
they would do `whatever it takes' to bring the level of inflation down to their stated 2% target.
Following comments from the Federal Reserve Chairman Jay Powell at their annual
symposium in Jackson Hole, the market began to believe that a Fed Funds rate of 4%, or
higher, was possible in calendar year 2022.
The Plan's fixed income segment returned -4.13% in the quarter, which declined less than
the Bloomberg U.S. Aggregate Bond Index benchmark return of-4.75%. Two of the three
November 21, 2022 Regular FINANCE Committee Meeting Agenda Packet - Page 174 of 244
Page 9 of 27
Attachment 1
intermediate -term fixed income managers outperformed the benchmark, with the top
performer being the internally managed fixed income separate account which declined
-4.38%. While the bulk of the Plan's assets are invested in intermediate -term fixed income
managers, exposure to a shorter duration/maturity fund, the Vanguard Short-term Investment
Grade Bond Fund (-1.87%) helped cushion performance slightly. Additionally, the Pimco
High Yield Fund, was down a slight -0.5% for the quarter.
The equities in the Plan declined-5.36%. The quarter started out on a highly positive note
with most domestic equity markets posting gains of between +8% to +9% in the month of
July. However, as mentioned previously, Jay Powell's comments following the Jackson Hole
conference led to a strong reversal in equity markets both domestically and globally. His
comments, combined with very strong CPI inflation levels (8.3% September), caused equity
gains from July to evaporate.
For the third quarter in a row, all equity segments were in the red. The S&P500 Index
declined-4.88%, and our large cap equity returns were in -line with those declines with the
Plan's large cap segment down-4.82%. Growth outperformed value in the quarter, as the
Russell 1000 Growth Index returned -3.6% and the Russell 1000 Value Index declined
-5.62%. Small cap equities and mid cap equities fared little better with the Russell 2000
Index (small cap index) declining (-2.19%), and the Russel Mid Cap Index down-3.44%.
Real estate equities (REITs) represented the biggest declines in the quarter as the Wilshire
REIT Index (-10.23%) was pressured by both rising interest rates and concerns that the
economy would be headed to a recession. International equity markets also declined
heavily, as most global economies struggle to avoid heading into recession. Only one
manager stood out positively in the quarter, the MFS International Growth Fund R6, posted a
-7.73% return, which ranked in the 11'h percentile of Morningstar's US Fund Large Growth
Universe. This decline was less than the benchmark return of -9.36% for the MSCI-EAFE
Index. The MSCI Emerging Market Index declined-11.57%, and our manager
underperformed in the quarter with the Hartford Schroders Emerging Market Fund declining
-12.16%.
For the third quarter in a row, we maintain our underweight to equities in the Plan's
benchmark asset allocation. Our concerns remain focused on the persistently high levels of
inflation that we are witnessing, which we believe will lead the Fed to raise rates that could
induce a strong recession. Currently our forecast calls for only a `modest' recession. But if
the Federal Reserve continues to hike rates beyond levels that the market anticipates, we
believe equity and bond markets will trade lower. We ended the quarter with a target asset
allocation position of 46% equities, 50% fixed income, and 4% cash/money market.
The Central Contra Costa Sanitary District Pension Pre -Funding Plan declined -4.55% in the
quarter, gross of investment fees, which lagged the District's Plan benchmark target of
-4.12%.
The Pension Plan also maintained an underweight allocation to equities, and ended the
quarter at a targeted allocation of 26.5% equities, 70.5% fixed income, and 3% cash/money
market.
Drew Brown
November 21, 2022 Regular FINANCE Committee Meeting Agenda Packet - Page 175 of 244
PARS: Central Contra Costa Sanitary District
OPEB and Pension Plan
Third Quarter 2022
Presented by
Andrew Brown, CFA
JHIGHMARKO
CAPITAL MANAGEMENT
CCCSD — OPEB
Asset Allocation
Total Assets: $71,237,864
Period Ending: 9-30-2022
3Q22 Return: -4.54%
1 Year Return:-15.40%
Inception -to -Date Return: 7.50%
Inception Date: 4-1-2009
Plan target rate of return: 5.75%
Fixed IncomE
$36,072,87(
50.64 /o
Cash
5an knn
Beginning Value
566,683.26
Contributions
108,121,733.71
Withdrawals
-65,763,076.29
Gain (Loss)
7,467,166.36
Interest and Dividends
20,845,356.60
Net Accrued Income
167,216.91
Ending Market Value
$71,405,080.55*
Equity
$32,624,185
45.80%
* Ending Market Value differs from total market value on page 3 due to differences in reporting methodology. The above ending market value includes accruals.
JHIGHMARKO
CAPITAL MANAGEMENT
NeveFnbeF`1, 2022
Asset Allocation - Central Contra Costa Sanitary District OPEB
As of Third Quarter 2022
Equity
45.80%
Range: 40%-60%
32, 624,185
Large Cap Core
8.97%
IVV
iShares Core S&P 500 ETF
6,388,991
6.79%
VGIAX
Vanguard Growth & Income Adm
4,836,080
Large Cap Value
5.44%
IVE
iShares S&P 500 Value ETF
3,873,207
Large Cap Growth
4.40%
IVW
iShares S&P 500 Growth ETF
3,133,445
Mid Cap Core
4.41%
IWR
iShares Russell Mid -Cap ETF
3,138,886
Small Cap Value
3.33%
UBVFX
Undiscovered Managers Behavioral Val R6
2,373,552
Small Cap Growth
3.58%
VBK
Vanguard Small -Cap Growth ETF
2,553,861
International Core
2.69%
VEA
Vanguard FTSE Developed Markets ETF
1,918,826
International Value
0.94%
DODFX
Dodge & Cox International Stock 1
666,777
International Growth
0.95%
MGRDX
MFS International Growth R6
676,642
Emerging Markets
2.44%
HHHFX
Hartford Schroders Emerging Mkts Eq F
1,737,826
Real Estate
1.86%
VNQ
Vanguard Real Estate ETF
1,326,092
Fixed Income
50.64%
Range: 40%-60%
36,072,870
28.00%
Core Fixed Income Portfolio
19,949,231
Short -Term
5.19%
VFSUX
Vanguard Short -Term Investment -Grade Adm
3,699,630
Intermediate -Term
8.20%
PTTRX
PIMCO Total Return Instl
5,844,672
8.18%
PTRQX
PGIM Total Return Bond R6
5,823,826
High Yield
1.06%
PHIYX
PIMCO High Yield Instl
755,511
Cash
3.57%
Range: 0%-20%
2,540,809
3.57%
FGZXX
First American Government Oblig Z
2,540,809
TOTAL 100.00% $71,237,864
JHIGHMARKO
CAPITAL MANAGEMENT
Selected Period Performance
CCCSD -OPEB
Period Ending: 9/30/2022
Year
Inception
to Date
to Date
3 Months
(9 Months)
1 Year
3 Years
5 Years
10 Years
04/01/2009
Cash Equivalents
.46
.61
.62
.46
1.00
.58
.48
Lipper Money Market Funds Index
.6-
.63
.47
.97
.54
Fixed Income ex Funds
-4.38
-13.83
-13.89
-2.62
.13
Total Fixed Income
-4.13
-14.01
-14.08
-2.65
.12
1.19
3.04
Bloomberg US Aggregate Bd Index
-4.75
-14.61
i^ gn
-3.26
-.27
.89
2.,,
Total Equities
-5.36
-23.85
-18.20
5.23
6.15
9.17
11.74
Large Cap Funds
-4.82
-23.33
-14.85
7.98
8.92
11.41
13.19
S&P 500 Composite Index
-4.88
-23.87
-15.47
8.16
9.24
11.70
14.02
Mid Cap Funds
-3.48
-24.37
-19.48
5.03
6.30
8.82
Russell Midcap Index
-3.44
-24.27
-19.39
5.19
6.48
10.30
13.90
Small Cap Funds
-3.26
-22.54
-19.87
4.93
5.21
10.27
13.98
Russell 2000 Index
-2.19
-25.10
-23.50
4.29
3.55
8.55
12.18
International Equities
-10.76
-26.71
-25.90
-1.19
-.74
2.80
6.25
MSC/ EAFE Index
-9.36
-27.09
-25.13
-1.83
-.84
3.67
6.32
MSC/ EMFree Index
-11.57
-27.16
-28.11
-2.07
-1.81
1.05
5.77
RR: REITS
-10.99
-29.35
-18.73
-2.36
2.65
Wilshire RE/T Index
-10.23
-29.66
-17.60
-2.17
2.88
6.15
13.75
Total Managed Portfolio
-4.54
-18.60
-15.40
1.71
3.50
5.29
7.50
CCCSD OPEB Benchmark
-4.37
-18.08
-15.00
1.86
3.43
5.33
7.49
Account Inception: 4/2009
From April 1, 2009 to July 31, 2017, the portfolio was invested in account 6746030600, PARS/Central Contra Costa Sant PRHCP. The portfolio then moved to account 6746055900, PARS/CCCSD
115 - OPEB. 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 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.
J HIGHMARKO
CAPITAL MANAGEMENT
Fixed Income Portfolio: Statistics
As of Third Quarter 2022
CCCSD BC Aggregate Bond
OPEB Index
Weighted Average Maturity 9.55 years 8.80 years
Effective Duration 6.34 years 6.28 years
Average Coupon 3.67% 2.95%
Yield to Maturity 5.18% 4.68%
Average Quality Aa3 Aa2
HIGHMARK®
CAPITAL MANAGEMENT Source: BondEdge
Fixed Income Portfolio: Sectors
As of Third Quarter 2022
45.0%
40.0%
35.0%
30.0%
25.0%
20.0%
15.0%
10.0%
5.0%
0.0%
■ CCCSD OPEB
■ Barclays U.S. Aggregate Bond Index
JHIGHMARKO
CAPITAL MANAGEMENT
NeyernbeF21,2022
Cash Treasury Agency Corp Non -Corp MBS CMO ABS CMBS
0.0% 20.3% 0.0% 33.3% 2.8% 28.4% 0.0% 14.1 % 1.2%
0.0% 40.5% 1.2% 23.3% 3.9% 28.7% 0.0% 0.3% 2.0%
Source: BondEdge
Fixed Income Portfolio: Effective Duration and Effective Maturity
As of Third Quarter 2022
Effective Duration
30%
25%
20%
15%
10%
5%
0%
0-1 Yrs. 1-3 Yrs. 3-5 Yrs. 5-7 Yrs. 7-10 10+
Yrs. Yrs.
■ CCCSD OPEB 15.53% 13.61 % 16.93% 17.44% 16.35% 20.14%
BC Aggregate Bond Index 0.16% 22.70% 20.23% 24.10% 17.99% 14.82%
JHIGHMARKO
CAPITAL MANAGEMENT
NeyernbeF21,2022
40%
35%
30%
25%
20%
15%
10%
5%
0%
0-1 Yr.
■ CCCSD OPEB 11.16%
BC Aggregate Bond Index 0.01%
Effective Maturity
1-3 Yrs. 3-5 Yrs. 5-7 Yrs. 7-10 Yrs. 10+ Yrs.
11.68% 13.51 % 8.06% 17.63% 37.96%
21.00% 15.45% 13.43% 19.89% 30.23%
Source: BondEdge
Holdings - Reporting as of Trade Date
Account: 6746055900- PARS/CCCSD 115P - OPEB
As of: 30-Sep-2022
Asset Type
Asset Name
Ticker
Shares/Units
Price
Market Value
Equities
DODGE & COX INTL STOCK FD(CLSD)#1048
DODFX
17,546.7600
$38.0000
$666,776.88
Equities
HARTFORD SCHRODERS EMRG MKT FD#3150
HHHFX
129,398.7750
$13.4300
$1,737,825.55
Equities
ISHARES RUSSELL MIDCAP ETF
IWR
50,505.0000
$62.1500
$3,138,885.75
Equities
ISHARES S&P 500 GROWTH ETF
IVW
54,165.0000
$57.8500
$3,133,445.25
Equities
ISHARES S&P 500 VALUE ETF
IVE
30,137.0000
$128.5200
$3,873,207.24
Equities
ISHARES TR CORE S&P500 ETF
IVV
17,814.0000
$358.6500
$6,388,991.10
Equities
MFS INTERNATIONAL GROWTH R6#4805
MGRDX
20,838.9760
$32.4700
$676,641.55
Equities
UNDISCOVERED MGRS BEHAVL R6#3467
UBVFX
32,711.5790
$72.5600
$2,373,552.17
Equities
VANGUARD FTSE DEVELOPED MARKETS ETF
VEA
52,773.0000
$36.3600
$1,918,826.28
Equities
VANGUARD GRO & INC ADMIRAL SHRS #593
VGIAX
60,443.4410
$80.0100
$4,836,079.71
Equities
VANGUARD REAL ESTATE ETF
VNQ
16,541.0000
$80.1700
$1,326,091.97
Equities
VANGUARD SMALL CAP GR VIPERS
VBK
13,088.0000
$195.1300
$2,553,861.44
Fixed Income
PIMCO HIGH YIELD,INSTL #108
PHIYX
101,410.8560
$7.4500
$755,510.88
Fixed Income
PIMCO TOTAL RETURN INSTL #35
PTTRX
687,608.4190
$8.5000
$5,844,671.56
Fixed Income
PRUDENTIAL TOTAL RTRN BD CL Q
PTRQX
495,644.8050
$11.7500
$5,823,826.46
Fixed Income
VNGRDSTTERMINVMTGRADEADM #539
VFSUX
375,978.6650
$9.8400
$3,699,630.06
Fixed Income
EXETER ATMOBILE REC 1.050% 5/15/26
EAR0026A
80,000.0000
96.916%
$77,532.80
Fixed Income
GM FIN CONS ATMB TR 0.450% 7/16/25
GFC0025B
100,989.8000
97.794%
$98,761.97
Fixed Income
UNITED STATES TREAS 0.125% 9/15/23
UST0123C
120,000.0000
96.137%
$115,364.40
Fixed Income
ACACN 2015-1A NITS 3.600% 9/15/28
A21\13627
157,626.0900
89.009%
$140,301.41
Fixed Income
AERCAP IRELAND CAPIT 3.300% 1/30/32
AIC3332
200,000.0000
75.207%
$150,414.00
Fixed Income
ALASKA AIRLINES EQ 4.800% 2/15/29
AAE4829
109,619.0400
94.405%
$103,485.85
Fixed Income
AT&T INC GLBL NT 3.500% 6/01/41
AIG3541
140,000.0000
72.028%
$100,839.20
Fixed Income
ATT 2013-1-2 2A 3.070% 3/15/48
A233048
235,000.0000
99.306%
$233,369.10
Fixed Income
AVIS BUD RENTAL FDG 2.970% 3/20/24
ABR2924
175,000.0000
99.593%
$174,287.75
Fixed Income
BOEING CO CR SEN SR 2.196% 2/04/26
BCC2126
125,000.0000
88.744%
$110,930.00
Fixed Income
BRITISH AIRWAYS 20134.625% 12/20/25
BA24625
78,857.6000
97.210%
$76,657.47
Fixed Income
BROADSTONE NET LEASE 2.600% 9/15/31
BNL2631
130,000.0000
73.626%
$95,713.80
Fixed Income
BRUNSWICK CORP 2.400% 8/18/31
BC22431
130,000.0000
69.489%
$90,335.70
Fixed Income
CALIFORNIA HEALTH FA 4.353% 6/01/41
CHF4341
135,000.0000
88.508%
$119,485.80
JHIGHMARK@
CAPITAL MANAGEMENT
Holdings - Reporting as of Trade Date
Account: 6746055900- PARS/CCCSD 115P - OPEB
As of: 30-Sep-2022
Asset Type
Asset Name
Ticker
Shares/Units
Price
Market Value
Fixed Income
CAPITAL ONE PRIME TR 2.670% 6/16/25
COP2625
115,000.0000
98.681%
$113,483.15
Fixed Income
CARVANA AUTO RECS TR 0.660% 6/12/28
CAR0628
98,648.7700
96.467%
$95,163.51
Fixed Income
CITIGROUP INC SR FLT 1.330% 2/24/28
CIS0028
165,000.0000
96.049%
$158,480.85
Fixed Income
CREDIT ACCP AUTO LN 2.390% 4/15/29
CAA2329
250,000.0000
98.985%
$247,462.50
Fixed Income
CROWN CASTLE TOWERS 3.663% 5/15/45
CCT3645
175,000.0000
96.828%
$169,449.00
Fixed Income
CVS HEALTH CORP 5.050% 3/25/48
CHC5048
57,000.0000
88.066%
$50,197.62
Fixed Income
DALLAS FT WORTH TEX 4.507% 11/01/51
DFW4551
150,000.0000
87.239%
$130,858.50
Fixed Income
DARDEN RESTAURANTS 4.550% 2/15/48
DR44548
70,000.0000
75.266%
$52,686.20
Fixed Income
DICKS SPORTING GOODS 4.100% 1/15/52
DSG4152
105,000.0000
61.797%
$64,886.85
Fixed Income
DNKN 2017-1A A211 4.030% 11/20/47
D2A4047
176,675.0000
90.818%
$160,452.70
Fixed Income
DRIVE AUTO REC TR 200.580% 12/15/25
DAR0025
195,000.0000
98.511%
$192,096.45
Fixed Income
DRIVE AUTO RECTR 204.300% 4/15/26
DAR4326
152,765.7000
100.073%
$152,877.22
Fixed Income
ENERGY TRANSFER OPER 5.800% 6/15/38
ETO5838
125,000.0000
87.600%
$109,500.00
Fixed Income
ENTERGYTEXAS INC 1M 5.000% 9/15/52
ETI5052
65,000.0000
89.370%
$58,090.50
Fixed Income
EXETER AUTO RECV TR 0.690% 1/15/26
EAR0826
275,000.0000
98.070%
$269,692.50
Fixed Income
EXETER AUTO RECV TR 3.710% 3/17/25
EAR3725
118,157.3200
99.217%
$117,232.15
Fixed Income
F&G GLOBAL FUNDING 2.000% 9/20/28
FGF2028
130,000.0000
80.866%
$105,125.80
Fixed Income
FAIRFAX US INC 4.875% 8/13/24
FU14824
115,000.0000
97.897%
$112,581.55
Fixed Income
FGLMC #E03097 2.500% 3/01/27
E03097F
58,372.5400
96.250%
$56,183.57
Fixed Income
FGLMC #G60453 3.000% 1/01/46
G60453F
103,380.4800
89.232%
$92,248.47
Fixed Income
FGLMC #J30401 3.000% 1/01/30
J30401F
66,124.5700
95.049%
$62,850.74
Fixed Income
FGLMC #Q13204 3.000% 11/01/42
Q13204F
76,330.3600
89.199%
$68,085.92
Fixed Income
FHLMC#SD8230 4.500% 6/01/52
SD8230A
404,600.8500
95.534%
$386,531.38
Fixed Income
FHLMC G08823 3.500% 7/01/48
G08823F
57,163.4500
91.325%
$52,204.52
Fixed Income
FHLMC G14702 2.5000% 3/1/2023
G14702F
4,942.4700
99.713%
$4,928.29
Fixed Income
FHLMC G15252 3.000% 12/01/29
G15252F
58,835.0000
95.046%
$55,920.31
Fixed Income
FHLMC Q38373 3.500% 1/01/46
Q38373F
54,838.0500
91.951%
$50,424.14
Fixed Income
FHLMC RB5091 2.500% 11/01/40
RB5091A
281,532.4800
86.261%
$242,852.73
Fixed Income
FHLMC SB0380 3.500% 2/01/34
SB0380A
78,355.2700
94.870%
$74,335.64
Fixed Income
FHLMC SB8006 3.000% 9/01/34
SB8006A
65,505.3200
93.125%
$61,001.83
JHIGHMARK@
CAPITAL MANAGEMENT
Holdings - Reporting as of Trade Date
Account: 6746055900- PARS/CCCSD 115P - OPEB
As of: 30-Sep-2022
Asset Type
Asset Name
Ticker
Shares/Units
Price
Market Value
Fixed Income
FHLMC SD8221 3.500% 6/01/52
SD8221A
596,651.2800
90.145%
$537,851.30
Fixed Income
FHLMC SD8222 4.000% 6/01/52
SD8222A
483,658.0000
92.909%
$449,361.81
Fixed Income
FHLMC V60586 3.0000% 8/1/2029
V60586F
62,697.2800
95.051%
$59,594.39
Fixed Income
FIRST HORIZON CORPOR 4.000% 5/26/25
FHC4025
145,000.0000
96.419%
$139,807.55
Fixed Income
FNMA#CB3630A 4.000% 5/01/52
CB3630A
642,014.6300
92.879%
$596,296.77
Fixed Income
FNMA # MA4626 4.000% 6/01/52
MA4626A
465,189.4700
92.899%
$432,156.37
Fixed Income
FNMA #MA3238 3.500% 11/01/47
MA3238A
39,123.9200
91.459%
$35,782.35
Fixed Income
FNMA AL81743.5000%2/1/2046
AL8174A
128,606.7800
91.893%
$118,180.63
Fixed Income
FNMA AL89243.0000%12/1/2030
AL8924A
99,444.0100
94.702%
$94,175.47
Fixed Income
FNMA AL9376 3.0000% 8/1/2031
AL9376A
56,437.2000
94.191%
$53,158.76
Fixed Income
FNMAAL9861 3.000% 8/01/30
AL9861A
136,635.0200
94.518%
$129,144.69
Fixed Income
FNMAAS4916 3.000% 5/01/30
AS4916A
91,598.6200
94.437%
$86,502.99
Fixed Income
F N MA AS7729 3.0000% 8/1/2046
AS7729A
101,505.2800
89.054%
$90,394.51
Fixed Income
FNMA AT0293 3.0000% 3/1/2043
AT0293A
72,785.9500
89.324%
$65,015.32
Fixed Income
FNMA BC 1486 3.0000% 8/1/2046
BC1486A
94,460.6600
89.050%
$84,117.22
Fixed Income
FNMA BM4913 3.000% 5/01/46
BM4913A
55,499.6600
89.528%
$49,687.74
Fixed Income
FNMA CA6348 2.500% 7/01/50
CA6348A
189,107.1900
84.555%
$159,899.58
Fixed Income
FNMA CA6638 2.500% 8/01/50
CA6638A
229,220.9200
84.618%
$193,962.16
Fixed Income
FNMA CA6801 2.500% 8/01/50
CA6801A
260,646.5300
84.476%
$220,183.76
Fixed Income
FNMA CA7231 2.500% 10/01/50
CA7231A
234,073.3500
84.538%
$197,880.93
Fixed Income
FNMA FM3494 2.500% 4/01/48
FM3494A
103,521.0500
84.772%
$87,756.86
Fixed Income
FNMA MA2730 2.500% 8/01/46
MA2730A
222,101.3300
84.350%
$187,342.47
Fixed Income
FNMA MA27792.0000% 10/1/2026
MA2779A
36,803.1700
95.769%
$35,246.03
Fixed Income
FNMA MA2895 3.000% 2/01/47
MA2895A
60,495.0400
88.808%
$53,724.44
Fixed Income
FNMA MA3210 3.500% 11/01/47
MA3210A
36,971.3200
91.191%
$33,714.52
Fixed Income
FNMA MA3313 3.500% 3/01/33
MA3313A
28,840.2100
94.797%
$27,339.65
Fixed Income
FNMA MA3332 3.500% 3/01/48
MA3332A
49,402.4600
91.197%
$45,053.56
Fixed Income
FNMA MA3489 3.500% 10/01/33
MA3489A
26,125.1500
94.807%
$24,768.47
Fixed Income
FNMA MA3536 4.000% 12/01/48
MA3536A
12,658.3000
94.305%
$11,937.41
Fixed Income
FNMA MA4123 2.000% 9/01/35
MA4123A
173,813.1200
88.227%
$153,350.10
JHIGHMARK@
CAPITAL MANAGEMENT
Holdings - Reporting as of Trade Date
Account: 6746055900- PARS/CCCSD 115P - OPEB
As of: 30-Sep-2022
Asset Type
Asset Name
Ticker
Shares/Units
Price
Market Value
Fixed Income
FNMA UMBS INT 2.000% 8/01/36
CB1446A
188,399.1500
88.226%
$166,217.03
Fixed Income
FORD CR AUTO OWN TR 1.870% 3/15/24
FCA0024
23,233.8900
99.738%
$23,173.02
Fixed Income
GOLDMAN SACHS GROUP 1.948% 10/21/27
GSG1927
175,000.0000
85.516%
$149,653.00
Fixed Income
HARLEY-DAVIDSON MTR 2.450% 5/15/25
HM22425
98,736.5500
99.063%
$97,811.39
Fixed Income
HASBRO INC 3.550% 11/19/26
H133526
100,000.0000
92.694%
$92,694.00
Fixed Income
HILTON GRAND VACA TR 3.540% 2/25/32
HGV3532
192,106.5100
97.079%
$186,495.08
Fixed Income
HSBC HOLDINGS PLC 1.480% 3/10/26
HHP1426
200,000.0000
98.560%
$197,120.00
Fixed Income
LLOYDS BANKING F/R 2.907% 11/07/23
LBG2923
200,000.0000
99.767%
$199,534.00
Fixed Income
LOS ANGELES REV BDS 6.574% 7/01/45
LAR6545
100,000.0000
116.655%
$116,655.00
Fixed Income
MAGALLANES INC 5.141% 3/15/52
M155152
165,000.0000
72.682%
$119,925.30
Fixed Income
MINNESOTA MUT LIFE 8.250% 9/15/25
MML8225
100,000.0000
106.030%
$106,030.00
Fixed Income
MVW 2020-1 1.740% 10/20/37
M211737
118,087.9100
90.668%
$107,067.95
Fixed Income
0KLAH0MA DEV FIN AUT4.135% 12/01/33
ODF4133
70,000.0000
96.454%
$67,517.80
Fixed Income
ONE GAS INC SR NIT 1.100% 3/11/24
OG11124
139,000.0000
95.731%
$133,066.09
Fixed Income
ONEBEACON U S HLDG 4.600% 11/09/22
OUS4622
120,000.0000
100.010%
$120,012.00
Fixed Income
PACIFIC GAS & ELEC 3.150% 1/01/26
PGE3126
125,000.0000
89.850%
$112,312.50
Fixed Income
PACIFIC LIFECORP SR 5.400% 9/15/52
PLS5452
130,000.0000
93.711%
$121,824.30
Fixed Income
P E N N MUTUAL LIFE INS 3.800% 4/29/61
PML3861
175,000.0000
64.474%
$112,829.50
Fixed Income
PHYSICIANS RLTY LP 3.950% 1/15/28
PRL3928
110,000.0000
90.231%
$99,254.10
Fixed Income
PRIMERICA INC SR NIT 2.800% 11/19/31
PIS2831
70,000.0000
78.520%
$54,964.00
Fixed Income
ROGERS COMMUNICATION 3.800% 3/15/32
RC33832
115,000.0000
86.485%
$99,457.75
Fixed Income
SANTANDER AUTO REC 0.890% 12/15/25
SAR0825
155,000.0000
98.690%
$152,969.50
Fixed Income
SANTANDER R E N G AT LN 2.800% 1/26/32
RA2832
230,000.0000
92.812%
$213,467.60
Fixed Income
SBA TOWER TRUST 1.631% 5/15/51
STT1651
140,000.0000
85.241%
$119,337.40
Fixed Income
SCHWAB CHARLES F/R 4.000%
SCC0049
65,000.0000
82.021%
$53,313.65
Fixed Income
SOUTHERN CALIF EDISO 4.700% 6/01/27
SCE0027
115,000.0000
97.058%
$111,616.70
Fixed Income
SPRINT SPECTRUM CO 4.738% 9/20/29
SSC4729
125,000.0000
98.559%
$123,198.75
Fixed Income
STANDARD CHARTERED 2.02201% 3/30/26
SC22026
200,000.0000
99.002%
$198,004.00
Fixed Income
TAOT 2019-C A3 MTGE 1.910% 9/15/23
T2A1923
9,459.4000
99.930%
$9,452.78
Fixed Income
TIME WARNER CABLE NT7.300% 7/01/38
TWC7338
105,000.0000
95.098%
$99,852.90
JHIGHMARK@
CAPITAL MANAGEMENT
Holdings - Reporting as of Trade Date
Account: 6746055900- PARS/CCCSD 115P - OPEB
As of: 30-Sep-2022
Asset Type
Asset Name
Ticker
Shares/Units
Price
Market Value
Fixed Income
TRI-STATE GENERATION 6.000% 6/15/40
TG66040
115,000.0000
88.769%
$102,084.35
Fixed Income
UNITEDAIRI4-2A 3.750% 9/03/26
UA13726
91,190.1800
90.673%
$82,684.87
Fixed Income
UNITED STATES TREAS 1.750% 8/15/41
UST1741
39,000.0000
68.371%
$26,664.69
Fixed Income
UNITED STATES TREAS 2.000% 8/15/51
UST2051
28,000.0000
68.305%
$19,125.40
Fixed Income
UNITED STATES TREAS 2.000% 11/15/41
UST0241
888,000.0000
71.570%
$635,541.60
Fixed Income
UNITED STATES TREAS 2.250% 5/15/41
UST2241
280,000.0000
75.598%
$211,674.40
Fixed Income
UNITED STATES TREAS 2.375% 2/15/42
UST2342
875,000.0000
76.625%
$670,468.75
Fixed Income
UNITED STATES TREAS 2.750% 8/15/32
UST2732
342,000.0000
91.438%
$312,717.96
Fixed Income
UNITED STATES TREAS 2.875% 5/15/32
UST2832
673,000.0000
92.453%
$622,208.69
Fixed Income
UNITED STATES TREAS 3.125% 8/31/27
UST3127
101,000.0000
95.922%
$96,881.22
Fixed Income
UNITED STATES TREAS 3.250% 5/15/42
UST3242
419,000.0000
88.750%
$371,862.50
Fixed Income
UNITED STATES TREAS 3.250% 6/30/29
UST3229
150,000.0000
95.582%
$143,373.00
Fixed Income
UNIV CALIF REGTS IVIED 4.132% 5/15/32
UCR4132
140,000.0000
91.210%
$127,694.00
Fixed Income
UNTD AIR 2013-1 4.300% 8/15/25
UA24325
150,776.8900
93.647%
$141,198.03
Fixed Income
VERIZON OWNERTR 1.940% 4/20/24
VOT0024
67,686.2900
99.771%
$67,531.29
Fixed Income
WELLS FARGO & CO SR 4.808% 7/25/28
WFC4828
90,000.0000
95.373%
$85,835.70
Fixed Income
WORLD OMNI AUTO RECV 0.870% 10/15/26
WOA0826
115,000.0000
93.291%
$107,284.65
Fixed Income
ANHEUSER-BUSCH INBEV WLDW IN
BUD/42
125,000.0000
89.233%
$111,541.25
Fixed Income
BLOCK FIN LCORP BDS 5.250% 10/01/25
HRB/25
80,000.0000
98.509%
$78,807.20
Fixed Income
COMMONWEALTH EDISON 5.875% 2/01/33
EXC/33
115,000.0000
101.746%
$117,007.90
Fixed Income
HESS CORP
HES/33
95,000.0000
104.558%
$99,330.10
Fixed Income
ASSOCIATED BANC-CORP 4.250% 1/15/25
ASB25
115,000.0000
97.237%
$111,822.55
Fixed Income
CONSOLIDATED EDISON 5.700% 12/01/36
ED36B
80,000.0000
96.023%
$76,818.40
Fixed Income
MOTOROLA SOLUTIONS 2.750% 5/24/31
MS131
150,000.0000
76.320%
$114,480.00
Fixed Income
PLAINS ALLAMERN PIP 6.700% 5/15/36
PAA36
140,000.0000
96.321%
$134,849.40
Fixed Income
VERIZON COMMUNICATIO 4.400% 11/01/34
VZ34B
145,000.0000
88.013%
$127,618.85
Fixed Income
BANK OF AMERICA CORP 4.375%
65,000.0000
80.250%
$52,162.50
Fixed Income
BANK OF NOVA SCOTIA
90,000.0000
89.272%
$80,344.80
Fixed Income
BANK OF NY MELLON 3.750%
135,000.0000
77.250%
$104,287.50
Fixed Income
BOARDWALK PIPELINES 4.800% 5/03/29
125,000.0000
91.831%
$114,788.75
JHIGHMARK@
CAPITAL MANAGEMENT
Holdings - Reporting as of Trade Date
Account: 6746055900- PARS/CCCSD 115P - OPEB
As of: 30-Sep-2022
Asset Type
Asset Name
Ticker Shares/Units
Price
Market Value
Fixed Income
BRITISH AIRWAYS PLC 3.300% 6/15/34
99,385.7000
84.750%
$84,229.38
Fixed Income
DELTA AIR LINES 2.500% 12/10/29
98,313.8800
83.833%
$82,419.87
Fixed Income
FEDERAL EX CORP 1.875% 8/20/35
129,492.9600
82.214%
$106,461.34
Fixed Income
JPMORGAN CHASE & CO 3.650%
65,000.0000
80.981%
$52,637.65
Fixed Income
PNC FINLSVCS GROUP 3.400%
135,000.0000
74.628%
$100,747.80
Fixed Income
SPIRITAIRLINES 2017-1
82,919.5600
82.466%
$68,380.44
Fixed Income
STORE CAP CORP 4.500% 3/15/28
115,000.0000
95.206%
$109,486.90
Fixed Income
TRUIST FINLCORP F/R 5.125%
115,000.0000
81.000%
$93,150.00
Fixed Income
UNITED STATES TREAS 1.875% 2/15/51
370,000.0000
66.203%
$244,951.10
Fixed Income
UNITED STATES TREAS 2.875% 5/15/52
697,000.0000
83.859%
$584,497.23
Cash & Cash Equivalents
CASH
(45,757.6900)
$1.0000
($45,757.69)
Cash & Cash Equivalents
FIRSTAMERN GOVTOBLIG FD CLZ#3676
FGZXX 2,586,566.7300
$1.0000
$2,586,566.73
SUBTOTALS
Cash & Cash Equivalents
$2,540,809.04
Equities
$32,624,184.89
Fixed Income
$36,072,869.71
TOTALS
$71, 237, 863.64
JHIGHMARK@
CAPITAL MANAGEMENT
CCCSD — Pension
Asset Allocation
Total Assets: $39,925
Period Ending: 9-30-2022
3Q22 Return: -4.55%
1 Year Return:-15.13%
Inception -to -Date Return: 1.89%
Inception Date: 9-1-2017
Plan target rate of return: 5.14%
Beginning Value
3,359,081.81
Contributions
7,245,356.09
Withdrawals
-12,944,449.13
Gain (Loss)
1,446,055.12
Interest and Dividends
933,881.49
Net Accrued Income
62.86
Ending Market Value
$41,922.13*
Cash Equity
$1,076 $10,696
1) cnrri 26 79o77-
$28,154
70.52%
* Ending Market Value differs from total market value on page 15 due to differences in reporting methodology. The above ending market value includes
cruals.
a
HIGHMARK®
CAPITAL MANAGEMENT
Asset Allocation - Central Contra Costa Sanitary District Pension
As of Third Quarter 2022
Equity
26.79%
Range: 20%-40%
10,696
Large Cap Core
4.49%
IVV
iShares Core S&P 500 ETF
1,793
4.08%
VGIAX
Vanguard Growth & Income Adm
1,627
Large Cap Value
3.22%
IVE
iShares S&P 500 Value ETF
1,285
0.91 %
DODFX
Dodge & Cox International Stock 1
362
Large Cap Growth
2.75%
IVW
iShares S&P 500 Growth ETF
1,099
Mid Cap Core
2.49%
IWR
iShares Russell Mid -Cap ETF
994
Small Cap Value
2.25%
UBVFX
Undiscovered Managers Behavioral Val R6
898
Small Cap Growth
1.95%
VBK
Vanguard Small -Cap Growth ETF
781
International Core
1.27%
VEA
Vanguard FTSE Developed Markets ETF
509
International Growth
0.96%
MGRDX
MFS International Growth R6
384
Emerging Markets
1.21%
HHHFX
Hartford Schroders Emerging Mkts Eq F
482
Real Estate
1.20%
VNQ
Vanguard Real Estate ETF
481
Fixed Income
70.52%
Range: 50%-80%
28,154
Short -Term
7.71%
VFSUX
Vanguard Short -Term Investment -Grade Adm
3,079
20.75%
AGG
iShares Core US Aggregate Bond ETF
8,285
Intermediate -Term
20.54%
PTTRX
PIMCO Total Return Instl
8,201
20.47%
PTRQX
PGIM Total Return Bond R6
8,172
High Yield
1.04%
PHIYX
PIMCO High Yield Instl
417
Cash
2.69%
Range: 0%-20%
1,076
2.69%
FGZXX
First American Government Oblig Z
1,076
TOTAL 100.00% $39,925
JHIGHMARK@
CAPITAL MANAGEMENT
Selected Period Performance
PARS/CCCSD 115P - PENSION
Account 6746055901
Period Ending: 9/30/2022
Year
Inception
to Date
to Date
3 Months
(9 Months)
1 Year
3 Years
5 Years
09/01/2017
Cash Equivalents
.46
.61
.61
.46
1.00
1.00
Lipper Money Market Funds Index
.4,9
.63
.47
.97
Total Fixed Income
-4.34
-14.91
-15.00
-3.21
-.19
-.27
Bloomberg US Aggregate Bd Index
-4.75
-14.61
-14.60
-3.26
-.27
-.36
Total Equities
-5.49
-23.89
-18.45
4.07
5.32
5.66
Large Cap Funds
-4.87
-23.57
-15.20
6.76
8.20
8.45
S&P 500 Composite Index
-4.88
-23.87
-15.47
8.16
9.24
9.52
Mid Cap Funds
-3.39
-24.02
-19.12
4.14
5.86
6.20
Russell Midcap Index
-3.44
-24.27
-19.39
5.19
6.48
6.95
Small Cap Funds
-3.41
-22.66
-19.96
3.53
4.23
5.05
Russell 2000 Index
-2.19
-25.10
-23.50
4.29
3.55
4.74
International Equities
-10.43
-26.13
-25.24
-1.06
-.68
-.35
MSCI EAFE Index
-9.36
-27.09
-25.13
-1.83
-.84
-.34
MSCI EMFree Index
-11.57
-27.16
-28.11
-2.07
-1.81
-1.85
RR: REITS
-11.00
-29.56
-19.03
-2.50
2.70
2.53
Wilshire REIT Index
-10.23
-29.66
-17.60
-2.17
2.88
2.82
Total Managed Portfolio
-4.55
-17.05
-15.13
-.27
1.88
1.89
CCCSD Pension Benchmark
-4.12
-15.64
-13.80
.18
2.11
2.19
Performance Inception: 09/2017
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 gross -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.
JHIGHMARK@
CAPITAL MANAGEMENT
Holdings - Reporting as of Trade Date
Account: 6746055901- PARS/CCCSD 115P - PENSION
As of: 30-Sep-2022
Asset Type
Asset Name
Ticker
Shares/Units
Price
Market Value
Cash & Cash Equivalents
CASH
(59.9200)
$1.0000
($59.92)
Cash &Cash Equivalents
FIRSTAMERN GOVTOBLIG FDCLZ#3676
FGZXX
1,135.6000
$1.0000
$1,135.60
Equities
DODGE & COX INTLSTOCK FD(CLSD)#1048
DODFX
9.5330
$38.0000
$362.25
Equities
HARTFORD SCHRODERS EMRG MKT FD#3150
HHHFX
35.8710
$13.4300
$481.75
Equities
ISHARES RUSSELL MIDCAP ETF
IWR
16.0000
$62.1500
$994.40
Equities
ISHARES S&P 500 GROWTH ETF
IVW
19.0000
$57.8500
$1,099.15
Equities
ISHARES S&P 500 VALUE ETF
IVE
10.0000
$128.5200
$1,285.20
Equities
ISHARES TR CORE S&P500 ETF
IVV
5.0000
$358.6500
$1,793.25
Equities
MFS INTERNATIONAL GROWTH R6#4805
MGRDX
11.8360
$32.4700
$384.31
Equities
UNDISCOVERED MGRS BEHAVL R6#3467
UBVFX
12.3740
$72.5600
$897.86
Equities
VANGUARD FTSE DEVELOPED MARKETS ETF
VEA
14.0000
$36.3600
$509.04
Equities
VANGUARD GRO & INC ADMIRALSHRS #593
VGIAX
20.3390
$80.0100
$1,627.32
Equities
VANGUARD REAL ESTATE ETF
VNQ
6.0000
$80.1700
$481.02
Equities
VANGUARD SMALL CAP GR VIPERS
VBK
4.0000
$195.1300
$780.52
Fixed Income
ISHARES CORE US AGGREGATE BD ETF
AGG
86.0000
$96.3400
$8,285.24
Fixed Income
PIMCO HIGH YIELD,INSTL #108
PHIYX
55.9110
$7.4500
$416.54
Fixed Income
PIMCO TOTAL RETURN INSTIL #35
PTTRX
964.8590
$8.5000
$8,201.30
Fixed Income
PRUDENTIAL TOTAL RTRN BID CLQ
PTRQX
695.4800
$11.7500
$8,171.89
Fixed Income
VNGRD STTERM INVMT GRADE ADM #539
VFSUX
312.8720
$9.8400
$3,078.66
SUBTOTALS
Cash & Cash Equivalents
$1,075.68
Equities
$10,696.07
Fixed Income
$28,153.63
TOTALS
$39, 925.38
JHIGHMARK@
CAPITAL MANAGEMENT
CENTRAL CONTRA COSTA SANITARY DISTRICT
September 30, 2022
3-Month
YTD
1-Year
3-Year
5-Year
10-Year
Fund Name
Inception
Return
Rank
Return
Rank
Return
Rank
Return
Rank
Return
Rank
Return
Rank
iShares Core S&P 500 ETF
(4/17)
-4.89
46
-23.88
48
-15.50
41
8.13
22
9.20
20
11.66
14
iShares S&P 500 Value ETF
(4/17)
-5.86
54
-16.69
50
-9.80
54
4.93
57
6.00
47
9.45
35
Vanguard Growth & Income Adm
(12/16)
-4.48
27
-22.69
34
-13.85
28
8.64
14
9.26
18
11.80
8
iShares S&P 500 Growth ETF
(4/17)
-3.90
42
-30.49
41
-21.23
26
9.72
20
11.22
18
12.99
17
S&P 500 TR USD
-4.88
-23.87
MID
CAP EQUITY FUNDS
-15.47
8.16
9.24
11.70
_AL
iShares Russell Mid -Cap ETF
(3/16)
-3.47
45
-24.35
79
-19.51
82
5.03
59
6.33
35
10.13
22
Russell Mid Cap TR USD
-3.44
--
-24.27
SMALL
--
CAP EQUITY
-19.39
--
5.19
--
6.48
10.30
--
Undiscovered Managers Behavioral Val R6
(9/16)
-5.61
63
-13.07
9
-6.72
5
9.14
16
5.99
9
10.79
2
Russell 2000 Value TR USD
-4.61
-21.12
-17.69
4.72
2.87
7.94
Vanguard Small -Cap Growth ETF
(1/22)
-0.79
40
-30.50
52
-30.09
58
2.82
76
5.65
59
9.15
62
Russell 2000 Growth TR USD
0.24
-29.28
-
-29.27
2.94
3.60
8.81
INTERNATIONAL•
Dodge & Cox International Stock 1
-10.69
45
-19.64
17
-17.71
19
0.25
16
-1.48
33
4.17
8
Vanguard FTSE Developed Markets ETF
(9/18)
-10.47
57
-27.72
53
-25.55
47
-1.25
35
-0.62
36
4.04
20
MFS International Growth R6
-7.73
11
-25.61
3
-21.94
2
0.99
18
3.04
10
5.56
21
MSCI EAFE NR USD
-9.36
-27.09
-
-25.13
-
-1.83
-0.84
3.67
Hartford Schroders Emerging Mkts Eq F
-12.16
77
-29.54
65
-31.60
70
-2.63
59
-1.70
43
1.53
34
IMSCI EM NR USD
-11.57
-27.16
-
-28.11
-2.07
-1.81
1.05
EQUITYREIT
Vanguard Real Estate ETF
(4/17)
-10.98
60
-29.25
64
-18.71
69
-1.62
54
3.07
57
6.23
36
Wilshire REIT Index
-10.23
--
-29.66
-
-17.60
--
-2.17
--
2.88
6.15
BOND FUNDS
iShares Core US Aggregate Bond ETF
(6/21)
-4.73
-14.50
-14.58
-3.29
-0.31
0.85
PIMCO Total Return Instl
-4.82
76
-15.59
61
-15.65
61
-3.14
61
-0.30
58
1.05
60
PGIM Total Return Bond R6
(5/16)
-4.57
61
-16.77
88
-16.51
80
-3.72
84
-0.14
46
1.74
15
Vanguard Short -Term Investment -Grade Adm
-1.87
76
-7.35
76
-7.98
77
-0.74
59
0.75
42
1.34
18
Bloomberg US Agg Bond TR USD
-4.75
--
-14.61
-
-14.60
--
-3.26
--
-0.27
0.89
--
PIMCO High Yield Instl
(12/20)
-0.50
36
-14.37
56
-13.79
52
-1.28
65
1.05
50
3.45
32
ICE BofA US HighYield str 11 Index
--
-14.62
--
-14.06
--
-0.67
--
1.41
3.90
--
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.
JHIGHMARK@
CAPITAL MANAGEMENT