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HomeMy WebLinkAbout04.a. PFM Asset Management (PFMAM) Other Post-Employment Benefits (OPEB) and Pension Prefunding Sub Trust Reports - Second quarter calendar year 2024Page 1 of 55 Item 4.a. F__1_448�411C_S0 September 17, 2024 TO: FINANCE COMMITTEE FROM: KEVIN MIZUNO, FINANCE MANAGER REVIEWED BY: PHILIPLEIBER, DEPUTYGM -ADMINISTRATION ROGER S. BAILEY, GENERAL MANAGER SUBJECT: RECEIVE PFM ASSET MANAGEMENT (PFMAM) OTHER POST - EMPLOYMENT BENEFITS (OPEB)AND PENSION PREFUNDING SUB - TRUST REPORTS FOR THE SECOND QUARTER OF CALENDAR YEAR 2024 HighMark Capital Management -joining PFM Asset Management (PFMAM-). a US Bank Subsidiary In January 2024 Central San was notified that HighMark Capital Management (HighMark), its OPEB and Pension-Prefunding trust investment manager, was joining PFM Asset Management (PFMAM) effective January 1, 2024. It was communicated that this change is part of the larger transfer of HighMark's institutional advisory businesses to PFMAM on that date. This change is ultimately connected to U.S. Bank's acquisition of Union Bank in December 2022 (HighMark being a subsidiary of Union Bank at that time) and U.S. Bank's acquisition of PFMAM a year prior in December 2021. A registered investment advisor with over 40 years of experience advising public and non-profit institutions, PFMAM has over $166 billion in assets under management and over $49 billion in assets under administration. Central San has been assured there will be no change to its investment strategy or portfolio's asset allocation, and investments will continue to be managed by portfolio managers from legacy HighMark, who have joined the PFMAM team. Accordingly, Mr. Andrew Brown continues to be the main point of contact for investment management services for Central San staff. That being said, there were some changes to the format of the quarterly report, which now reflects a format utilized by PFMAM instead of the older Highmark version. Performance Assessment Attached is the Investment Performance Review prepared by PFMAM (Attachment 1) providing a current and prospective outlook on the economy and the markets. In summary, this quarter's report reflects a quarterly return of 1.18 percent and 0.77 percent for Central San's OPEB and Pension Pre -funding sub - trusts, respectively. For the past year (last 12 months), annual returns were 11.18 percent and 8.12 percent for the OPEB and Pension Pre -funding sub -trusts, respectively. The long-term targeted annual returns are 5.75 percent for the OPEB trust and 5.14 percent for the Pension Pre -funding trust. I n comparison, the inception -to -date annual returns have been 6.14 percent and 4.31 percent for the OPEB and Pension Pre - funding sub -trusts respectively. September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 81 of 139 Page 2 of 55 As of June 30, 2024, the OPEB trust reported a market value of $90.1 million. Consistent with the Board - approved Fiscal Year (FY) 2023-24 budget plan (and the year prior), the excess of OPEB costs above and beyond the actuarially determined contribution (ADC) was claimed from the OPEB trust following the close of FY2023-24. With total FY2023-24 pay -go retiree OPEB premiums estimated to be approximately $3.8 million, Central San claimed a reimbursement of approximately $1.8 million from the O P E B trust in J my 2024. As approved by the Board, nearly the entire balance of the Pension Pre -funding trust was liquidated in June 2021 to help finance the payoff of Central San's unfunded actuarial accrued liability (UAAL) totaling approximately $70.8 million. In October 2023, the Board authorized an additional contribution of $1 million into the pension pre -funding trust utilizing favorable variances from the prior year (FY 2022-23). These contributions commenced in November 2023 and will be spread evenly throughout the remainder of the fiscal year. Inclusive of these newly authorized contributions as well as market gains/losses, the pension pre -funding trust reported a market value of approximately $1.1 million as of June 30, 2024. Strategic Plan Tie -In GOAL FOUR: Governance and Fiscal Responsibility Strategy 1 - Promote and uphold ethical behavior, openness, and accessibility, Strategy 3 - Maintain financial stability and sustainability ATTACHMENTS: 1. Quarterly Investment Performance Report- 6/30/24 September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 82 of 139 Attachment 1 pf m *1 asset management Investment Performance Review For the Quarter Ended June 30, 2024 NOT FDIC INSURED: NO BANK GUARANTEE: MAY LOSE VALUE September 17,®"K�tjQp�lr�uusf�r�c�Jw�s��f��r��/eA�dT�i��t�4al i�r�o�is8�rlti�� by, distribution to, or quotation to the general public Financial Markets & Investment Strategy Review September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 84 of 139 ptm 1 asset For the Quarter Ended June 30, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management Q. YTD 1 Year 3 Years 5 Years 7 Years 10 Years DOMESTIC EQUITY S&P 500 4.28% 15.29% 24.56% 10.01 % 15.05% 14.28% 12.86% Russell 3000 Index 3.22% 13.56% 23.12% 8.05% 14.14% 13.48% 12.15% Russell 1000 Value Index -2.17% 6.62% 13.06% 5.52% 9.01 % 8.61 % 8.23% Russell 1000 Index 3.57% 14.24 % 23.88 % 8.74 % 14.61 % 13.93 % 12.51 Russell 1000 Growth Index 8.33% 20.70% 33.48% 11.28% 19.34% 18.64% 16.33% Russell Midcap Index -3.35% 4.96% 12.88% 2.37% 9.46% 9.63% 9.04% Russell 2000 Value Index -3.64% -0.85% 10.90% -0.53% 7.07% 5.89% 6.23% Russell 2000 Index -3.28 % 1.73 % 10.06 % -2.58 % 6.94 % 6.85 % 7.00 Russell 2000 Growth Index -2.92% 4.44% 9.14% -4.86% 6.17% 7.28% 7.39% INTERNATIONAL EQUITY MSCI EAFE (Net) -0.42% 5.34% 11.54% 2.89% 6.46% 5.73% 4.33% MSCI AC World Index (Net) 2.87% 11.30% 19.38% 5.43% 10.76% 10.02% 8.43% MSCI AC World ex USA (Net) 0.96% 5.69% 11.62% 0.46% 5.55% 5.17% 3.84% MSCI AC World ex USA Small Cap (Net) 0.66% 2.78% 11.26% -1.45% 6.13% 4.92% 4.44% MSCI EM (Net) 5.00% 7.49% 12.55% -5.07% 3.10% 3.54% 2.79% ALTERNATIVES FTSE NAREIT Equity REIT Index 0.06% -0.13% 7.79% 0.30% 3.90% 4.86% 5.90% MSCI US REIT INDEX -0.22% -0.84% 6.25% -0.97% 2.68% 3.59% 4.55% FTSE Global Core Infrastructure 50150 Index (Net) 0.73% 2.29% 4.34% 2.18% 3.07% 4.71 % 4.79% Bloomberg Commodity Index Total Return 2.89% 5.14% 5.00% 5.65% 7.25% 5.14% -1.29% FIXED INCOME Blmbg. U.S. Aggregate 0. 07% -0. 71 % 2. 63% -3. 02 % -0.23% 0. 86% 1. 35% Blmbg. U.S. Government/Credit 0.05% -0.68% 2.74% -3.11 % -0.07% 1.04% 1.51 Blmbg. Intermed. U.S. Government/Credit 0.64% 0.49% 4.19% -1.18% 0.71% 1.39% 1.55% Blmbg. U.S. Treasury: 1-3 Year 0.91% 1.19% 4.51% 0.33% 1.02% 1.30% 1.12% ICE Bof4 U.S. High Yield 1.09% 2.62% 10.45% 1.65% 3.73% 4.10% 4.21 Blmbg. Global Aggregate Ex USD -2.11 % -5.26% -0.66% -7.48% -3.56% -1.61 % -1.86% JPM EMBI Global Diversified 0.30% 2.34% 9.23% -2.60% -0.03% 1.44% 2.60 CASH EQUIVALENT 90 Day U.S. Treasury Bill 1.32% 2.63% 5.40% 3.03% 2.16% 2.07% 1.50% Source: Investment Metrics. Returns are expressed as percentages. Please refer to the last page of this document for important disclosures relating to this material. September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 85 of 139 ptm 1 asset For the Quarter Ended June 30, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management THE ECONOMY ► In the first quarter, U.S. gross domestic product (GDP) grew at an annualized rate of 1.4%, cooling from the outsized gain of 3.4% in the fourth quarter of 2023. Consumer spending remained the main driver of growth, rising 1.5%. Within consumer spending this growth was focused entirely in the services sector as spending on goods fell modestly. While the first quarter's growth was a significant decline from the end of 2023, the U.S. economy remains significantly stronger than other developed markets such as Japan which shrank 0.5% during the quarter, and the Euro area which barely escaped another quarter of contraction with 0.3% growth. No, The U.S. unemployment rate ticked up slightly ending the quarter at 4.1 %. The average hourly earnings year -over -year (YoY) growth cooled to 3.9%%. This bodes well for easing wage pressures on inflation without large increases in unemployment as the labor market cools without a marked increase in layoffs. No, Inflation moderated from the hot pace experienced in the first quarter. Headline inflation (CPI) grew at a YoY rate of 3.3% in May, down from the 3.5% growth in March. Core CPI which excludes volatile food and energy eased to a three year low of 3.4%. The shelter price growth, which remains a driving force keeping overall inflation elevated, showed some promising deceleration to 5.4%. Both readings remain well above the Federal Reserve (Fed) target of 2%, likely reinforcing the Fed's wait and see approach to rate cuts. 0 0) N t U 0 0 0 10% 9% 8% 7% 6% 5% U.S. Inflation Rate Seasonally Adjusted (SA) 1-20 Jun-21 Jun-22 Jun-23 Jun-24 U.S. GDP Growth 40% 30 % 20 % w 10% 4.9% tl 3.4% 10% r. 1.4% 0% a y -10% ai a t -20% v -30% 0 0 -40 % 0 2019 8 I C7 2020 8 I C7 -0028 3 I F, C7028 8 I C7 d028 8 I C7 C7024� IF 0J Source: Bloomberg. Light blue bars indicate actual numbers; dark blue bars indicate forecasted estimates. 64% 63% r 62% 61% 60% 59% 58% Jun-19 Labor Force Participation Rate Seasonally Adjusted (SA) Jun-20 Jun-21 Jun-22 Jun-23 Jun-24 Core CPI CPI Source: Bureau of Labor Statistics. Source: Bureau of Labor Statistics. September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 86 of 139 ptm 1 asset For the Quarter Ended June 30, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management WHAT WE'RE WATCHING ► The Federal Open Market Committee (FOMC) continued to hold rates steady at 5.50% through the second quarter as Fed officials remain data dependent and are waiting to see signs that inflation is slowing sustainably to 2%. Due to the slower pace of cooling, in their statement of economic projections, the FOMC reduced the expected rate cuts this year down to 25 basis points (bps) from 75 bps. This is in divergence with some of the other major central banks, as the European Central Bank (ECB) and Bank of Canada (BOC) both cut rates in June. No, U.S. manufacturing activity dipped back into contraction during the second quarter with the ISM U.S. Manufacturing PMI reading at 48.5 in June signaling weak demand. The services sector also fell into contraction with the Services PMI falling to 48.8 in June due to lower business activity and contraction in employment. ► Consumer confidence, as measured by the University of Michigan's Consumer Sentiment survey, fell during the quarter, posting three consecutive months of decline ending at 68.2 in June down from the 79.4 reading at the end of the first quarter. This decline came as assessments of personal finances dipped, with consumers expressing concerns over the effect of high prices. No, Looking forward, we continue to watch the evolving geopolitical landscape as countries such as the U.K. and France saw changes in administration following recent elections which may impact domestic economic policy and market returns. Universitv of Michiqan Consumer Sentiment 100 80 60 40 20 0 Jun-20 Jun-21 Source: Bloomberg. Jun-22 Jun-23 Jun-24 Io 65 60 55 50 45 40 Jun-20 Source: Bloomberg U.S. ISM Manufacturing & Services PMI Jun-21 Jun-22 Jun-23 Manufacturing - Services Global Central Bank Rates -1% 1 Jun-20 Jun-21 Fed Target Rate Bank of England Target Rate Source: Bloomberg. Jun-24 Jun-22 Jun-23 Jun-24 ECB Target Rate Bank of Canada Target Rate September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 87 of 139 ptm 1 asset For the Quarter Ended June 30, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management DOMESTIC EQUITY ► The S&P 500 Index (S&P) posted a 4.28% return for the second quarter of 2024. As of June 28, 2024, the trailing 1-year return for the index was 24.56%. ► The market capitalization -weighted S&P 500 continued its streak of outperformance over the equal -weighted S&P 500 Index. During the quarter, the Magnificent Seven (M7) as a group outperformed, as the index return would have been -0.7% if the M7 were excluded from the benchmark. No, Within S&P 500, six of eleven GICS sectors posted negative returns over the quarter. The worst performing sectors were Materials (4.5%), Industrials (-2.9%), and Energy (-2.4%). The best performing sectors were Information Technology (13.8%), Communication Services (9.4%), and Utilities (4.7%). No, Small -caps, as represented by the Russell 2000 Index, returned -3.3% during the quarter, and slightly outperformed mid -caps but underperformed large - caps. The Russell Midcap and Russell 1000 indices returned -3.4% and 3.6%, respectively. ► According to FactSet Earnings Insight (as of June 21, 2024), the expected YoY earnings growth rate for S&P 500 for Q2 2024 was 8.8%, slightly down from the March 31 estimate of 9.0%. At the sector level, Energy (11 % to 14.7%) and Communication Services (16.3% to 18.5%) saw the best improvement in YoY earnings growth estimates from March 31 and June 21. Conversely, Industrials (0.9% to -3.3%) and Utilities (11.6% to 8.3%) saw the biggest decrease in estimates for this period. ► As of the end of the quarter, the S&P 500 forward P/E ratio was 24.3, above its 5-year average of 22.4. By comparison, the Russell 2000, which represents small -cap stocks, had a forward P/E ratio of 17.8, above its 5-year average of 17.7. S&P 500 Index Performance by Sector Periods Ended June 30, 2024 50% 40% 30% 20% 10% 0% -10% Consumer Consumer Real Energy Financials H'IMcare Industrials Info. Tech Materials Telecom Utilities Source: Bloomberg. 35 30 25 IL a�S y 20 15 10 Jun-19 P/E Ratios of Major Stock Indices* Jun-20 Jun-21 S&P 500 Russell 2000 30 25 20 CD 15 a rn 10 5 0 Jun-22 Jun-23 Jun-24 S&P 500 5-Year Average Russell 2000 5-Year Average Source: Bloomberg. *PIE ratios are calculated based on one-year forward estimates and adjusted to include only positive earnings results for consistency. September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 88 of 139 ptm 1 asset For the Quarter Ended June 30, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management NON-U.S. EQUITY ► Markets outside of the United States, as measured by the MSCI ACWI ex-U.S. Index, underperformed their U.S. counterparts, returning 0.96% for the quarter. Six of the 11 sectors posted strong positive returns for the quarter, with Information Technology (5.21 %) leading the way, followed by Communication Services (3.99%) and Healthcare (3.78%). Consumer Discretionary (-4.75%) was the worst performer for the quarter. ► Developed ex-U.S. Markets, as represented by the MSCI EAFE Index, significantly underperformed emerging markets (EM), represented by the MSCI Emerging Market Index, returning -0.42% versus 5.00% for the quarter. ► MSCI UK (3.70%) outperformed the MSCI EAFE Index on the back of a strengthening economy and improving business and manufacturing activity. Of the five largest -weighted countries in the index, France was the worst performer. French equities fell 6.96% as investors priced in fears of political instability and uncertainty surrounding election results. ► Within emerging markets, EM Asia (7.54%) was the largest contributor to overall returns during the quarter, benefitting from MSCI India and MSCI Taiwan's strong returns of 10.36% and 15.20%, respectively. MSCI China (7.16%) also fared well, buoyed by additional stimulus measures in the form of lower mortgage rates and lower downpayment for home loans. MSCI Latin America (-12.05%) on the other hand, underperformed the MSCI EM Index, dragged down by sticky inflation in Brazil. ► Value stocks outperformed growth stocks across the international equity markets. MSCI AC World ex -USA Value returned 1.26% while MSCI AC World ex -USA Growth returned 0.72%. Small -caps, as represented by MSCI ACWI ex-U.S. Small Cap Index, underperformed within the international equity markets, returning 0.66% for the quarter. ► Non-U.S. equities valuations have moved closer to their long-term average across international equity markets. As of June 30, 2024, MSCI EAFE's forward P/E stood at 15.40 versus a five-year average of 16.02. MSCI EM ended the quarter with a forward P/E ratio of 13.33, slightly higher than its five-year average of 13.29. MSCI ACWI ex-U.S. Sectors Periods Ended June 30, 2024 35 30 % 25 % 20% 15% 10% 5% 0% -5 i - I U 70 Consumer Consumer Energy Financials Healthcare Industrials Info Tech Materials Real Telecom Utilities Disc. Staples Estate TD -171% 1.31% 2.56% 3.78% -0.47% 5.21% -1.87% -4.67% 3.99% 2.21% �FIQI-4.75% 2.10% -4.82% 6.62% 8.61% 7.60% 6.45% 17.17% -3.48% -4.91% 6.21% -0.84% 1.93% -5.87% 18.90 % 1 18.74% 9.97 % Source: Bloomberg. 26 24 22 20 18 16 14 12 10 8 6- Jun-19 PIE Ratios of MSCI Equity Indices* Jun-20 Jun-21 Jun-22 Jun-23 Jun-24 MSCI EAFE _ _ MSCI EAFE 5-Year Average MSCI Emerging Markets MSCI Emerging Markets 5-Year Average Source: Bloomberg. *PIE ratios are calculated based on one-year forward estimates and adjusted to include only positive earnings results for consistency. September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 89 of 139 ptm 1 asset For the Quarter Ended June 30, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management FIXED INCOME ► The U.S. bond market represented by the Bloomberg U.S. Aggregate (Aggregate) Index was slightly positive in the second quarter, up 0.07%. The trailing one-year period return is 2.63%. ► The Bloomberg U.S. Treasury Index closed the quarter with a small gain of 0.09%. During the period, the FOMC maintained Fed funds rate at 5.5% and continued to signal fewer cuts for 2024 than the market originally anticipated. In reaction to lower number of cuts, rates beyond the one-year duration range generally rose higher. At the quarter end, the yield curve remained inverted, with the 10-year yield rising to 4.4%, while the 2-year yield ended at 4.8%. No, Corporate credit had mixed results for the quarter on the rising rates. The investment -grade (IG) Bloomberg U.S. Corporate (IG Corp) Index lost -0.09% while high yield bonds, as represented by the Bloomberg U.S. Corporate High Yield (HY) Index, gained 1.09%. Spreads widened in the "CCC" category while "BB" rated securities performed the best. ► The fixed-rate mortgage market, as measured by the Bloomberg U.S. Mortgage -Backed Securities (MBS) Index gained 0.07%. On the commercial side returns were positive with the Bloomberg U.S. Agency CMBS Index up 0.60% while the non -agency CMBS index gained 0.75%. No. EM USD sovereign bonds, as represented by the JP Morgan EMBI Global Diversified index, gained 0.30% supported by quasi -sovereign names. Venezuela, which recently re-entered the index, had a strong quarter. U.S. Treasury Yield Curve 6.0% 5.0% NN 4.0% 4.76% 4.40% 1 1 4.38% �1—�---------------�� 3.0% 2.0% 1.0% — — - 6/30/2023 3/31 /2024 6/30/2024 0.0% 3-mo 2-yr 5-yr 10-yr 30-yr Source: Bloomberg. 12% 10% 8% 6% 4% 2% 0% -2% Returns for Fixed -Income Segments Periods Ended June 30, 2024 Blmbg U.S. Aggregate Blmbg U.S. Treasury 0.07% 0.09% -0.71 % -0.86 % 2.62 % 1.54 Source: Bloomberg. Blmbg U.S. MBS Blmbg U.S. Corporate veld 0.07% -0.09% 1.09% -0.98 % -0.49 % 2.62 % 2.11% 4.62% 10.45% September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 90 of 139 ptm 1 asset For the Quarter Ended June 30, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management /_100=1:7►r_1%ILVA*I ► Public REITs, as measured by the FTSE NAREIT Equity REITs Index, returned 0.06% in the second quarter of 2024, compared to a -0.20% return in the prior quarter. Persistent high interest rates have kept returns in check for the asset class. Private real estate, as measured by the NCREIF Property Index, fell -0.98% in the first quarter of 2024, resulting in a -7.20% return over the twelve-month period ended March 2024. This was the sixth consecutive quarter of negative returns for the index. Weak performance has been driven by property value declines, primarily within the Office and Apartment sectors. No, Listed infrastructure, as measured by the S&P Global Infrastructure Index, gained 2.67% in the second quarter of 2024, compared to a 1.34% increase in the prior quarter. Performance was mixed, but mostly positive across the major sectors. In 01 2024, 13 private infrastructure funds raised $25.60 billion, a modest figure despite the broad slowdown seen in private markets fundraising. The asset class has received attention from investors in recent years due to expectations of income -like, countercyclical, and inflation -resistant returns. Long-term trends such as decarbonization, deglobalization, and digitization have also increased demand for the asset class. According to PitchBook, infrastructure funds posted a return of 5.37% in Q4 2023. The asset class has generated an annualized return of 10.81 % for the five years ended 04 2023. ► In Q1 2024, 25 private debt funds raised $30.42 billion, marking the weakest start to a year since 2016. The asset class has performed well relative to public fixed income over the long-term. While more opportunities may emerge as tight lending standards push banks out of the market, competition between private debt managers and a resurgence of the broadly syndicated loan market may keep future asset class returns in check. According to Cliffwater Direct Lending Index, U.S. middle market loans, a proxy for private debt, posted a return of 3.02% in Q1 2024. The asset class has also generated an annualized return of 9.15% for the five years ended Q1 2024. ► In 01 2024, 110 private equity funds raised $155.96 billion, a strong pace despite the challenging market environment. Recently, private equity performance has been impacted due to high borrowing costs, limited debt availability, and muted deal flow and exit activity. Recent trailing performance has lagged public equity indices; but remains strong longer term. According to Cambridge Associates, U.S. private equity posted a return of 2.97% in 04 2023. The asset class has generated an annualized return of 17.92% for the five years ended Q4 2023. Returns for Private Capital Assets - I V io Private Real Estate Infrastructure Private Debt Private Equity QTD -3.02 % 5.37 % 2.95 % 2.97 % ■YTD -7,90 % 14,46 % 12.13 % 9.31 % 1 Year -7,90% 14,46% 12.13% 9.31% Source: NCREIF, PitchBook, Cliffwater, Cambridge Associates. As of December 31, 2023, the most recent period for which all index data is available. Private Capital Fundraising & Dry Powder $1,800 $1,600 $1,400 $1,200 $1,000 0 m $800 $600 $400 $200 $0 Closed -End Infrastructure Private Debt Private Equity Venture Real Estate Capital ■YTD Fundraising ($B)* $16.08 $25.60 $30.42 $155.96 $29.83 Dry Powder ($B)** $395.87 $380.43 $525.58 $1,556.57 $702.79 Sources: Pitchbook. " Total capital raised in 2024 as of March 31, 2024 - most recent period for which ALL fundraising data is available. " Cumulative dry powder as of September 30, 2023, unless specified otherwise. September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 91 of 139 ptm 1 asset For the Quarter Ended June 30, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management Factors to Consider Over the Next 6-12 Months Monetary Policy (Global): • Fed remains data dependent. Recent Fed guidance has been revised from three rate cuts to one rate cut in 2024 with markets expecting two cuts. • Globally, major central banks have begun easing cycle with rate cuts leading to divergence from Fed policy. Financial Conditions (U.S.): Market measures, such as narrow corporate yield spreads, record equity index levels and low volatility, reflect economic confidence. With interest rates elevated and the gradual normalization of labor markets and the consumer, we continue to focus on identifying potential catalysts for a broader slow down. Corporate Fundamentals: • Earnings growth expectations and profit margins are improving across U.S. large caps while earnings growth recovery has been slower for U.S. small -cap and international equities. • Higher cash levels especially across S&P 500 companies a positive. Economic Growth (Global): • U.S. economic growth remains resilient but some softness as consumer spending tapers. • Economic growth outside U.S. remain mixed with slower but improved growth projected in Eurozone and continued growth projected in emerging markets. Consumer Spending (U.S.): • The consumer has begun to exercise caution and limit spending shedding light on a notable downshift over recent months. • Moderation in the pace of overall spending is expected to continue given persistent inflation, reduced/lower savings, and a cooling job market. Valuations: 0 • U.S. equity and credit markets have experienced a run up in valuations. Any negative shock relating to economic growth could lead to sell-off. • International equities look attractive but continued economic and geopolitical uncertainty is leading to increased volatility. Current outlook 0 Outlook one quarter ago Stance Unfavorable to Risk Assets Inflation (U.S.): • The latest inflation reading has revived market confidence that inflation is heading in the right direction after experiencing broad disinflation across both goods and services. • Despite progress on inflation, policymakers would like more data to confirm the downward trend. Labor Markets: The labor market normalization has begun. After the pandemic led jolt, labor force participation rate and non -farm payrolls have moved to be in line with long term averages. With the quits rate and excess demand for workers reaching a better balance, this should help cool wage pressures and inflation. Political Risks: • Geopolitical risks continue to remain elevated. Tensions between the U.S. and China, the war between Russia and Ukraine, the Israel and Hamas conflict, China's moves in South China Sea and Taiwan Strait further add to risks. • Elections across the globe could also lead to short- term volatility. Stance Favorable to Risk Assets Statements and opinions expressed about the next 6-12 months were developed based on our independent research with information obtained from Bloomberg. The views expressed within this material constitute the perspective and judgment of PFM Asset Management LLC at the time of distribution (June 30, 2024) and are subject to change. Information is obtained from sources generally believed to be reliable and available to the public; however, PFM Asset Management LLC cannot guarantee its accuracy, completeness, or suitability. September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 92 of 139 pf m) asset For the Quarter Ended June 30, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management Investment Strategy Overview U.S. Equities • - Large -Caps • - Small -Caps __ • _ Non-U.S. Equities • - Developed Markets • - Emerging Markets • - Recent earnings strength, fiscal support, and moderating inflation are positives, while rate cut uncertainty, election related volatility, higher valuations and geopolitical turbulence are negatives. The fed continues to be data dependent with recent guidance pointing to one rate cut. Given the rate cut uncertainty, we prefer to remain close to targets currently. Rising valuations for large caps are supported by improving earnings growth expectations but market breadth (measured by performance difference between equal weight and market cap weighted S&P 500) has been lagging in the recent months. Small -cap valuations are attractive and would benefit as investor sentiment/earnings growth expectations improve. Exposure to interest rate sensitive sectors such as regional banks remains a concern. • International equities continue to trade at a discount to U.S. equities but stronger dollar and slower growth in Eurozone warrants a neutral stance. • Recent ECB rate cuts, the recovery in manufacturing and services activity along with recent recovery in PEs are positive for developed market equities that continue to look attractive, but election related volatility needs to be watched. • EM equities trade at attractive valuations relative to developed market equities but strong dollar and China's uncertain growth weigh on outlook. • The higher for longer narrative has led to increased volatility and Fixed Income • uncertainty around rate cut path. Yields at the short -end of the curve look attractive even as long-term yields fell back from the recent highs. Given the rate cut scenarios, we are maintaining duration close to the Core Bonds • benchmark duration and consider ways to close any duration gap over the next few months. Investment Grade Credit • Credit markets remain attractive due to strong corporate fundamentals. We remain positive on investment -grade but are scaling down our High Yield Credit • exposure within high yield given the tighter spreads. We continue to closely watch for signs for any distress in the corporate credit space. Diversifying Assets Lower office sector exposure, attractive valuations and possibility of rate cuts this year are positives for listed real estate while higher level of Listed Real Estate • interest rates is a headwind. • Transition to renewable energy and increase in Al led data center Listed Global Infrastructure • infrastructure spend are tailwinds for listed infrastructure while higher level of interest rates is a headwind. Current outlook C Outlook one quarter ago The view expressed within this material constitute the perspective and judgment of PFMAsset Management LLC at the time of distribution (June 30, 2024) and are subject to change. September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 93 of 139 ptm 1 asset For the Quarter Ended June 30, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management Long -Term Strategic Approach to Private Capital/Alternatives Provide attractive returns with lower correlations to public market equities due to Private Equity their ability to invest in early -stage growth companies or ability to turnaround a struggling firm. • Higher interest rates, lower valuations, a lack of deal transparency, and economic uncertainty have been headwinds for this group over the past couple quarters leading to a decline in activity across the board • The current environment is favoring strategies such as secondaries and coinvesting while venture capital and growth investing strategies have seen a pull back. • Dry powder for new opportunities remains at historic highs, while trailing short- term performance is lagging public markets. • Less leveraged buyouts being completed has resulted in lower lending deal flow, but lower bank lending has created more opportunities for private lenders. Provides higher returns than the public market . Higher interest rates are creating attractive credit opportunities in higher risk/return Private Debt debt due to the ability to customize terms and areas of the market. floating rate structure of most notes. • Pessimism and higher interest rates benefitting providers of new real estate - backed debt. • High interest rates and tight lending standards have been a drag on the real estate market pressuring both cap rates and valuations. Real Assets Provides exposure to inflation sensitive assets • Commercial real estate space remains a focal point for the markets. Real Estate that typically generate returns from a • Real estate performance is bifurcated — with office and commercial struggling combination of capital appreciation and while residential & industrial assets have done well. Infrastructure income generation. • The Artificial Intelligence boom is driving demand for improved energy infrastructure while decarbonization trend is driving demand for clean energy infrastructure. • YTD 2024, macro and equity hedge strategies have generated strong returns Diversifying Assets Expected to lower the volatility and correlation amid economic uncertainty and strong public equity performance. within portfolios while providing access to • Higher interest rates have contributed to performance of credit strategies. Hedge Funds esoteric strategies • Extreme concentration within the equity markets hasn't been a substantial headwind to performance as seen with active public market equity managers. The view expressed within this material constitute the perspective and judgment of PFM Asset Management LLC at the time of distribution (June 30, 2024) and are subject to change. September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 94 of 139 ptm 1 asset For the Quarter Ended June 30, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management Long -Term Strategic Approach to Private Capital/Alternatives Provide attractive returns with lower correlations to public market equities due to Private Equity their ability to invest in early -stage growth companies or ability to turnaround a struggling firm. • Higher interest rates, lower valuations, a lack of deal transparency, and economic uncertainty have been headwinds for this group over the past couple quarters leading to a decline in activity across the board • The current environment is favoring strategies such as secondaries and coinvesting while venture capital and growth investing strategies have seen a pull back. • Dry powder for new opportunities remains at historic highs, while trailing short- term performance is lagging public markets. • Less leveraged buyouts being completed has resulted in lower lending deal flow, but lower bank lending has created more opportunities for private lenders. Provides higher returns than the public market . Higher interest rates are creating attractive credit opportunities in higher risk/return Private Debt debt due to the ability to customize terms and areas of the market. floating rate structure of most notes. • Pessimism and higher interest rates benefitting providers of new real estate - backed debt. • High interest rates and tight lending standards have been a drag on the real estate market pressuring both cap rates and valuations. Real Assets Provides exposure to inflation sensitive assets • Commercial real estate space remains a focal point for the markets. Real Estate that typically generate returns from a • Real estate performance is bifurcated — with office and commercial struggling combination of capital appreciation and while residential & industrial assets have done well. Infrastructure income generation. • The Artificial Intelligence boom is driving demand for improved energy infrastructure while decarbonization trend is driving demand for clean energy infrastructure. • YTD 2024, macro and equity hedge strategies have generated strong returns Diversifying Assets Expected to lower the volatility and correlation amid economic uncertainty and strong public equity performance. within portfolios while providing access to • Higher interest rates have contributed to performance of credit strategies. Hedge Funds esoteric strategies • Extreme concentration within the equity markets hasn't been a substantial headwind to performance as seen with active public market equity managers. The view expressed within this material constitute the perspective and judgment of PFM Asset Management LLC at the time of distribution (June 30, 2024) and are subject to change. September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 95 of 139 Pf m 1 asset management IMPORTANT DISCLOSURES This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation, as it was prepared without regard to any specific objectives or financial circumstances. Investment advisory services are provided by PFM Asset Management LLC ("PFMAM"), an investment adviser registered with the U.S. Securities and Exchange Commission and a subsidiary of U.S. Bancorp Asset Management, Inc. ("USBAM"). USBAM is a subsidiary of U.S. Bank National Association ("U.S. Bank"). U.S. Bank is a separate entity and subsidiary of U.S. Bancorp. U.S. Bank is not responsible for and does not guarantee the products, services or performance of PFMAM. The information contained is not an offer to purchase or sell any securities. Additional applicable regulatory information is available upon request. PFMAM professionals have exercised reasonable professional care in the preparation of this performance report. Information in this report is obtained from sources external to PFMAM and is generally believed to be reliable and available to the public; however, we cannot guarantee its accuracy, completeness or suitability. We rely on the client's custodian for security holdings and market values. Transaction dates reported by the custodian may differ from money manager statements. While efforts are made to ensure the data contained herein is accurate and complete, we disclaim all responsibility for any errors that may occur. References to particular issuers are for illustrative purposes only and are not intended to be recommendations or advice regarding such issuers. Fixed income manager and index characteristics are gathered from external sources. When average credit quality is not available, it is estimated by taking the market value weights of individual credit tiers on the portion of the strategy rated by a NRSRO. It is not possible to invest directly in an index. The index returns shown throughout this material do not represent the results of actual trading of investor assets. Third -party providers maintain the indices shown and calculate the index levels and performance shown or discussed. Index returns do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges would cause investment performance to be lower than the performance shown. The views expressed within this material constitute the perspective and judgment of PFMAM at the time of distribution and are subject to change. Any forecast, projection, or prediction of the market, the economy, economic trends, and equity or fixed -income markets are based upon certain assumptions and current opinion as of the date of issue and are also subject to change. Some, but not all assumptions are noted in the report. Assumptions may or may not be proven correct as actual events occur, and results may depend on events outside of your or our control. Changes in assumptions may have a material effect on results. Opinions and data presented are not necessarily indicative of future events or expected performance. For more information regarding PFMAM's services or entities, please visit www.pfmam.com. © 2024 PFM Asset Management LLC. Further distribution is not permitted without prior written consent. September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 96 of 139 Account Investment Performance Review Important Notice: Account information, including market values and performance returns, found on the following pages have been made available by U.S. Bank, as custodian of the account assets. PFM Asset Management LLC, as investment advisor to the account, will provide market values and performance returns when available. Values may vary from custodian based on a variety of factors, including but not limited to, differences in asset pricing, accruals, and trade/settlement date portfolio accounting methodologies. September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 97 of 139 bank PARS CCCSD 115P - OPEB 06/30/2024 September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 98 of 139 PARS/CCCSD 115P - OPEB (****055900) Period Ending: 06/30/2024 Selected Period Performance Selected Period Performance Year Inception to Date to Date Market Value 1 Month 3 Months (6 Months) 1 Year 3 Years 5 Years 08/01/2017 Large Cap U.S. Equity 24,727,643 3.44 4.07 15.37 24.68 10.06 14.90 14.16 S&P 500 Index (Total Return) 3.59 4.28 15.29 24.56 10.01 15.05 14.12 Mid Cap U.S. Equity 4,470,346 -.76 -3.35 4.83 12.63 2.23 9.34 9.58 S&P MidCap 400 Index -1.58 -3.45 6.17 13.57 4.47 10.27 9.38 Small Cap U.S. Equity 6,224,184 -.78 -.34 5.75 16.01 -.08 8.03 8.11 S&P SmallCap 600 Index -2.28 -3.11 -.72 8.66 -.26 8.06 7.72 Developed Markets Equity 5,090,237 -1.55 -.01 4.91 10.32 2.33 6.88 5.51 MSCI EAFE Index (Net) -1.61 -.42 5.34 11.54 2.89 6.46 5.37 Emerging Markets Equity 2,938,273 4.15 5.57 9.22 11.11 -6.13 3.39 2.84 MSCI Emerging Markets Index (Net) 3.94 5.00 7.49 12.55 -5.07 3.10 2.72 Taxable Investment Grade 40,022,354 1.00 .25 -.04 3.52 -2.40 .30 1.16 BBARC 1-3 Year US Government/Credit Index .56 .95 1.38 4.87 .55 1.25 1.50 BBARC Intermediate US Government/Credit Index .80 .64 .49 4.19 -1.18 .71 1.34 BBARC US Aggregate Bond Index .95 .07 -.71 2.63 -3.02 -.23 .81 High Yield Taxable 2,155,627 .91 1.41 Foreign Fixed Income 682,259 .50 .70 3.04 6.41 2.66 3.80 Other Fixed Income 37,321 .73 1.36 3.06 6.42 Total•1 . 49 •5 -3.02 2.60 3.87 Real Estate 1,548,714 1.49 -1.56 -2.83 5.01 -2.38 3.01 4.16 Dow Jones US Select REIT Index 2.74 -.16 -.55 7.15 -.14 2.78 3.87 Commodities 678,188 -4.03 FTSE 1 Month Treasury Bill Index .44 1.35 2.73 5.56 3.11 2.15 2.05 Pending 9911 11 11 11 11 11 11 For performance and rate of return methodologies, as well as other important information, please refer to the Appendix/Disclosures provided. (Mbank. nvestmentpro(Sct rsV 2024 Regular FINANCE Committee Meetinq�A enda Packet - Pae 99 of 139 NOTA DEPOSIT__• OT FDIC INSUF�ED •MAY L E VALUE • NOT BANK GUARANTEED • NOT INMIRED BYANY FEDERAL GOVERNMENTAGENCY PARS/CCCSD 115P - OPEB (****055900) Summary Investment Performance - 6 Months Beginning Market Value Beginning Accrued Income Beginning Portfolio Value Contributions Withdrawals Income Earned Gain/Loss Ending Market Value Ending Accrued Income Ending Portfolio Value Total Earnings Performance Total Portfolio Gross of Fees Total Equity S&P 500 Index (Total Return) S&P MidCap 400 Index S&P SmallCap 600 Index MSCI EAFE Index (Net) MSCI Emerging Markets Index (Net) Total Fixed Income BBARC 1-3 Year US Government/Credit Index BBARC Intermediate US Government/Credit Index BBARC US Aggregate Bond Index Total Real Assets Dow Jones US Select REIT Index Total Cash Equivalents FTSE 1 Month Treasury Bill Index 85,481,099.71 198,748.42 85,679,848.13 .00 -113,288.52 1,165,394.14 3,375,425.20 89,878,799.46 228,579.49 90,107,378.95 4,540,819.34 5.30 11.02 15.29 6.17 -.72 5.34 7.49 .08 1.38 .49 -.71 -4.74 -.55 2.62 2.73 Period Ending: 06/30/2024 For performance and rate of return methodologies, as well as other important information, please refer to the Appendix/Disclosures provided- nvestmentpro(SrsWc 2024 Regular FINANCE Committee Meetina Agenda Packet - Pae 100 of 139 NOTA DEPOSIT • OT FDIC INSURED • MAY L E VALUE • NOT BANK GUARANTEED • NOT INMIRED BYANY FEDERAL GOVERNMENTAGENCY embank. embank. PARS/CCCSD 115P - OPEB Portfolio Overview Account: XXXXXX5900 Holdings Method: Direct Report Date: 06/28/2024 Portfolio Summary Portfolio Asset Allocation Inv. Objective Consery Bal/Nontaxable-1 Total Portfolio Value $89,878,799 Net Realized Cap Gains YTD $41,052,464 Annual Income Projected $2,636,740 Equity $43,450,682 Fixed Income $42,680,287 Current Yield 2.93% Real Assets $2,222,195 Cash $1,525,635 Number of Securities 175 Invested Total $89,878,799 Portfolio Mgr. Ts Stl Rc #3 - Auto Portfolio Model Allocation ■ Portfolio 60% 50% 40% 30% 20% 10% 0% 48.34% 47.49% 2.47% 1.70% 100.00% 48% 2% 2% 47% ■ Equity Fixed Income ■ Real Assets Cash Cash Investment Municipal High Foreign Large Mid Cap Small Developed Equivalents Grade Yield Developed Cap U.S. U.S. Cap U.S. Markets Debt Equity Equity Equity Equity © 2024 FactSet Research Systems Inc. All rights reserved. Past Performance is no guarantee of future results. Not A Deposit I Not FDIC Insured I May Lose Value I Not Bank Guaranteed I Not Insured By Any Federal Government Agency Material is b ed on d�ta from s r es eem�d toh�r�fi l �/� agcuracy/completeness is of guQra�teed. eptem er 17, ��4 egu ar FFII HHIIVVCC:: l:ommlttee Meeting gen a Packet -Page 101 of 139 Emerging U.S. Commodities Markets Listed Equity Real Estate Holdings Date: 6/28/2024 embank. PARS/CCCSD 115P - OPEB Fixed Income Overview Account: XXXXXX5900 Holdings Method: Direct Report Date: 06/28/2024 Fixed Income Summary Fixed Income Asset Allocation Inv. Objective Consery Bal/Nontaxable-1 Total Fixed Income Value $42,680,287 Current Yield 4.46% Annual Income Projected $1,901,694 Investment Grade $39,134,179 91.69% High Yield $2,144,529 5.02% Number of Securities 161 Foreign Developed Debt $1,280,953 3.00% Municipal $120,627 0.28% Portfolio Mgr. Ts Stl Rc #3 - Auto 0% 3% ■ Investment Grade High Yield ■ Foreign Developed Debt Municipal Fixed Income Sector Exposures Fixed Income Market Value 35% 45,000,000 Mutual Funds & ETFs $14,855,079 35.00% Mortgage $10,265,246 24.00% Corporate $8,249,671 19.00% Treasury $6,481,749 15.00% ABS $2,363,033 6.00% CMBS $344,883 1.00% Municipal $120,627 0.00% 24°/ 19% ■ Mutual Funds & ETFs Mortgage ■ Corporate ■ CMBS ■ Municipal l b% Treasury ABS 40,000,000 35,000,000 30,000,000 25,000,000 20,000,000 15,000,000 10,000,000 5,000,000 0 -L— NT\3N\T�To ^T�31\TOT1 1T\�o\T�TT 1T\To\T�T3eJ\o��G�ose 0 © 2024 FactSet Research Systems Inc. All rights reserved. Past Performance is no guarantee of future results. Holdings Date: 6/28/2024 Not A Deposit I Not FDIC Insured I May Lose Value I Not Bank Guaranteed I Not Insured By Any Federal Government Agency Material is b ed on d�ta from s r es eemI to ft fi li /l agcuracy/completeness is of gu�ra�teed. eptem er 17, Ne egu ar FFII HHIIVVCC:: l:ommlttee Meeting gen a Packet - Page 102 of 139 ® bank. PARS/CCCSD 115P - OPEB Equity Overview Account: XXXXXX5900 Holdings Method: Direct and Indirect (securities held in mutual funds & ETFs) Report Date: 06/28/2024 Equity Summary Equity Asset Allocation Inv. Objective Consery Bal/Nontaxable-1 57% Total Equity Value $43,450,682 Current Yield 1.35% Annual Income Projected $588,200 Number of Securities 11 Large Cap U.S. $24,727,643 56.91% Small Cap U.S. $6,224,184 14.32% Portfolio Mgr. Ts Stl Rc #3 - Auto Developed Markets $5,090,237 11.71 % Mid Cap U.S. $4,470,346 10.29% 7% Emerging Markets $2,938,273 6.76% 12% ■ Large Cap U.S. Small Cap U.S. ■ Developed Markets Mid Cap U.S. Emerging Markets Bottom 5/ Top 5 Contributors (Trailing 12 Months) Equity Global Distribution 5.0% North America 83.60% 4.5% Asia 8.69% 4.0% Europe Im 6.73% South America 0.62% 3.5% Africa 0.19% 3.0% Middle East 0.16% 2.5 Equity Country Distribution 2.0 United States 82.32% 1.5% Japan 1.76% 1.0% Taiwan 70 1.67% 0.5% Hong Kong 1.52% 0.0 GSIMX MGRDX DODFX HHHFX VEA IWR WE IVW VGIAX IVV United Kingdom 1.48% © 2024 FactSet Research Systems Inc. All rights reserved. Past Performance is no guarantee of future results. Not A Deposit I Not FDIC Insured I May Lose Value I Not Bank Guaranteed I Not Insured By Any Federal Government Agency Material is b ed on d�ta from s r es eem�d to ft fi li /l agcuracy/completeness is of gu�ra�teed. eptem er 17, Ne egu ar FFII HHIIVVCC:: l:ommlttee Meeting gen a Packet - Page 103 of 139 Holdings Date: 6/28/2024 embank. PARS/CCCSD 115P - OPEB Common Stock Detail Account: XXXXXX5900 Holdings Method: Direct and Indirect (securities held in mutual funds & ETFs) Report Date: 06/28/2024 Top 10 Common Stock Holdings Microsoft Corporation NVIDIA Corporation Apple Inc. Amazon.com, Inc. Alphabet Inc. Class A Meta Platforms Inc Class A Alphabet Inc. Class C Taiwan Semiconductor Manufa. Eli Lilly and Company Berkshire Hathaway Inc. Class. Common Stock Characteristics Stock Full Port YTD 52 Wk Wt. (%) Wt. (%) Yield (%) Return (%)* Return (%)* Portfolio S&P 500 3.89 1.91 0.71 19.3 34.1 Market Cap - Wtd Avg $559.1 B $1009.413 3.72 1.82 0.03 149.5 200.5 Market Cap - Median $2.513 $34.813 3.26 1.60 0.44 9.7 11.9 Dividend Yield (%) 1.65 1.32 2.27 1.11 0.00 27.2 49.8 P/E NTM 17.9 21.1 1.40 0.69 0.48 30.5 51.7 PIE LTM 21.6 26.1 1.26 0.62 0.37 42.7 77.1 ROE (%) 23.0 30.1 0.95 0.47 0.48 30.3 51.7 1 Yr Beta vs. S&P Composite .96 1.02 0.88 0.43 1.57 64.3 71.5 Est 3-5 Yr EPS Growth (%) 15.2 16.2 0.87 0.42 0.55 55.8 98.8 Hist 3 Yr EPS Growth (%) 25.2 25.0 0.83 0.41 0.00 14.1 21.7 Number of Securities 5514 503 Common Stock Sector Exposures ■ Portfolio S&P 500 Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities 5% 10% 15% 20% 25% 30% 35% Portfolio S&P 500 6.43 9.34 9.90 9.95 5.10 5.77 4.17 3.65 14.29 12.42 11.23 11.72 11.10 8.13 24.36 32.45 3.76 2.15 6.16 2.15 3.52 2.26 Common Stock Market Cap Distribution ■ Portfolio S&P 500 80% 70% 60% 50% 40% 30% 20% 10% 0% > 50B 10B to 50B 213 to 10B 250MM to 213 < 250MM *Specific to the security - does not represent performance in the portfolio. © 2024 FactSet Research Systems Inc. All rights reserved. Past Performance is no guarantee of future results. Holdings Date: 6/28/2024 Not A Deposit I Not FDIC Insured I May Lose Value I Not Bank Guaranteed I Not Insured By Any Federal Government Agency Material is bed on d�ta from s r es eem�d toh�r�¢ai�l agcuracy/completeness is of guQra�teed. eptem er 17, ��4 egu ar FFII HHIIVVCC:: l:ommlttee Meeting gen a Packet -Page 104 of 139 PARS/CCCSD 115P - OPEB (****055900) Portfolio Holdings Portfolio Holdings Period Ending: 06/30/2024 Total Equity ID Units Unit Cost Total Cost Price Market Value Accrual % of Mkt Val Unrealized Gain/Loss Large Cap MF + ETF/ETNs ISHARES CORE S P 500 ETF 464287200 15,852.000 276.02 4,375,425.11 547.230 8,674,689.96 .00 9.7 4,299,264.85 ISHARES S P 500 GROWTH ETF 464287309 53,462.000 42.17 2,254,616.91 92.540 4,947,373.48 .00 5.5 2,692,756.57 ISHARES S P 500 VALUE ETF 464287408 24,353.000 112.34 2,735,901.11 182.010 4,432,489.53 .00 4.9 1,696,588.42 VANGUARD GROWTH & INCOME ADM SHS#593 921913208 63,498.807 78.56 4,988,775.16 105.090 6,673,089.63 .00 7.4 1,684,314.47 Total: Large Cap MF + ETF/ETNs 14,354,718.29 24,727,642.60 .00 27.5 10,372,924.31 MC MF + ETF/ETN ISHARES RUSSELL MID CAP ETF 464287499 55,135.000 56.03 3,089,366.54 81.080 4,470,345.80 .00 5.0 1,380,979.26 Total: MC MF + ETF/ETN 3,089,366.54 4,470,345.80 .00 5.0 1,380,979.26 SC MF + ETF/ETNs EMERALD GROWTH INSTITUTIONAL 317609253 117,657.683 23.02 2,707,999.44 26.950 3,170,874.56 .00 3.5 462,875.12 UNDISCOVERED MGRS BEHAVIORAL VALUE 904504479 37,528.384 66.12 2,481,310.07 81.360 3,053,309.32 .00 3.4 571,999.25 Total: SC MF + ETF/ETNs 5,189,309.51 6,224,183.88 .00 6.9 1,034,874.37 Dev Fgn Equity MF + ETF/ETNs GOLDMAN SACHS GQG PTNRS INTL OPPS IN 38147N293 43,889.845 23.24 1,020,000.00 23.180 1,017,366.61 .00 1.1 -2,633.39 MFS INTERNATIONAL GROWTH R6 552746356 25,312.188 32.69 827,566.11 42.790 1,083,108.52 .00 1.2 255,542.41 VANGUARD FTSE DEVELOPED ETF 921943858 60,497.000 44.28 2,678,580.14 49.420 2,989,761.74 .00 3.3 311,181.60 Total: Dev Fgn Equity MF + ETF/ETNs 4,526,146.25 5,090,236.87 .00 5.6 564,090.62 Ern Fgn Eq MF+ETF/ETN HARTFORD SCHRODERS EMERGING MARKETS 41665X859 172,332.730 15.41 2,655,076.62 17.050 2,938,273.05 .00 3.3 283,196.43 Total: Ern Fgn Eq MF+ETF/ETN 2,655,076.62 2,938,273.05 .00 3.3 283,196.43 Total: Total Equity Total Fixed Income 29,814,617.21 43,450,682.20 .00 48.3 13,636,064.99 Corporate Bonds ABBVIE INC 4.250% 11/21/49 00287YCB3 120,000.000 82.03 98,431.20 83.336 100,003.20 566.67 .1 1,572.00 AMERICAN HONDA MTN 4.900% 1/10/34 02665WEZO 95,000.000 99.69 94,702.65 97.043 92,190.85 2,211.13 .1 -2,511.80 ARIZONA PUB 5.700% 8/15/34 040555DH4 80,000.000 99.73 79,780.80 99.844 79,875.20 658.67 .1 94.40 AT T INC 2.550% 12/01/33 00206RMM1 205,000.000 80.15 164,315.70 79.515 163,005.75 435.63 .2 -1,309.95 ATHENE GLOBAL MTN 5.684% 2/23/26 04685A3S8 135,000.000 100.00 135,000.00 100.227 135,306.45 2,728.32 .2 306.45 For performance and rate of return methodologies, as well as other important information, please refer to the Appendix/Disclosures provided. (Mbank. nvestmentpro(Sct0 rsW& 2024 Regular FINANCE Committee Meetina Acienda Packet - Pae 105 of 139 NOTA DEPOSIT__• OT FDIC INSURED • MAY L E VALUE • NOT BANK GUARANTEED • NOT IN R BYANY FEDERAL GOVERNMENTAGENCY PARS/CCCSD 115P - OPEB (****055900) Portfolio Holdings Portfolio Holdings Period Ending: 06/30/2024 % of Unrealized ID Units Unit Cost Total Cost Price Market Value Accrual Mkt Val Gain/Loss BANK OF AMERICA MTN 3.194% 7/23/30 06051GHV4 155,000.000 90.80 140,746.20 90.802 140,743.10 2,172.81 .2 -3.10 BLACK HILLS CORP 6.000% 1/15/35 092113AX7 100,000.000 99.79 99,787.00 100.592 100,592.00 750.00 .1 805.00 BLACKROCK FUNDING 5.250% 3/14/54 09290DAC5 115,000.000 99.26 114,147.10 96.636 111,131.40 1,794.48 .1 -3,015.70 BRISTOL MYERS 5.550% 2/22/54 110122EKO 70,000.000 99.72 69,801.20 98.588 69,011.60 1,392.13 .1 -789.60 BROADSTONE NET 2.600% 9/15/31 11135EAA2 130,000.000 99.82 129,760.80 79.469 103,309.70 995.22 .1 -26,451.10 CISCO SYS INC 5.300% 2/26/54 17275RBU5 95,000.000 99.86 94,868.00 97.942 93,044.90 1,748.26 .1 -1,823.10 CITIGROUP INC SUB 6.174% 5/25/34 17327CAR4 150,000.000 101.00 151,500.80 101.699 152,548.50 926.10 .2 1,047.70 CITIZENS FINANCIAL 6.645% 4/25/35 174610BG9 140,000.000 100.10 140,142.00 103.365 144,711.00 1,705.55 .2 4,569.00 COMMONWEALTH EDISON 5.875% 2/01/33 202795HG8 125,000.000 131.01 163,762.10 102.446 128,057.50 3,059.90 .1 -35,704.60 CONSOLIDATED EDISON 5.700% 12/01/36 209111EQ2 80,000.000 96.51 77,204.80 101.267 81,013.60 380.00 .1 3,808.80 CVS CAREMARK 6.125% 9/15/39 126650BRO 35,000.000 100.35 35,122.85 100.004 35,001.40 631.22 .0 -121.45 CVS HEALTH CORP 5.050% 3/25/48 126650CZ1 57,000.000 99.43 56,675.10 86.161 49,111.77 767.60 .1 -7,563.33 DELL INTL LLC 5.400% 4/15/34 24703DBNO 80,000.000 99.80 79,841.60 98.948 79,158.40 1,236.00 .1 -683.20 DTE ELEC CO 5.200% 3/01/34 23338VAV8 95,000.000 99.95 94,955.35 99.679 94,695.05 1,660.39 .1 -260.30 DUKE ENERGY 5.550% 3/15/54 26442EAL4 140,000.000 99.74 139,634.60 96.318 134,845.20 2,309.42 .2 -4,789.40 ELECTRONIC ARTS INC 2.950% 2/15/51 285512AF6 80,000.000 58.35 46,680.80 64.771 51,816.80 891.56 .1 5,136.00 ENERGY TRANSFER L P 5.950% 5/15/54 29273VAWO 145,000.000 99.03 143,591.50 97.377 141,196.65 1,102.40 .2 -2,394.85 ENTERGY LLC 5.000% 9/01/33 29366WAD8 105,000.000 100.08 105,082.15 96.887 101,731.35 1,750.00 .1 -3,350.80 ERAC USA FINANCE 5.000% 2/15/29 26884TAY8 110,000.000 99.92 109,916.40 99.734 109,707.40 2,184.72 .1 -209.00 ESSENTIAL UTILS INC 3.351%4/15/50 29670GAE2 175,000.000 71.96 125,935.60 67.211 117,619.25 1,238.01 .1 -8,316.35 EXTRA SPACE STORAGE 5.700% 4/01/28 30225VAJ6 60,000.000 99.96 59,976.30 101.118 60,670.80 855.00 .1 694.50 F G ANNUITIES LIFE 6.500% 6/04/29 30190AAF1 95,000.000 99.74 94,756.80 99.670 94,686.50 463.13 .1 -70.30 F G GLOBAL MTN 2.000% 9/20/28 303211-2C5 130,000.000 99.73 129,646.40 85.729 111,447.70 733.70 .1 -18,198.70 FIRST HORIZON NATL 4.000% 5/26/25 320517AD7 145,000.000 110.95 160,883.30 98.097 142,240.65 563.89 .2 -18,642.65 FLORIDA PWR LT CO 5.150% 6/15/29 341081GT8 95,000.000 99.83 94,839.45 100.838 95,796.10 380.53 .1 956.65 GA GLOBAL MTN 0.800% 9/13/24 36143L2C8 160,000.000 98.13 157,006.40 98.889 158,222.40 384.00 .2 1,216.00 GA GLOBAL MTN 2.250% 1/06/27 361431-2G9 95,000.000 91.33 86,761.60 92.459 87,836.05 1,039.06 .1 1,074.45 GOLDMAN SACHS 1.948% 10/21/27 38141GYM0 155,000.000 90.96 140,990.55 92.343 143,131.65 587.11 .2 2,141.10 HARLEY DAVIDSON 5.950% 6/11/29 41283LBBO 120,000.000 99.84 119,810.40 99.788 119,745.60 396.67 .1 -64.80 IDAHO PWR CO 5.800% 4/01/54 45138LBJ1 55,000.000 99.08 54,491.80 99.148 54,531.40 797.50 .1 39.60 MARSH MCLENNAN 5.450% 3/15/54 571748BX9 95,000.000 98.96 94,010.10 97.133 92,276.35 1,884.03 .1 -1,733.75 MATTEL INC 5.450% 11/01/41 577081AW2 80,000.000 83.98 67,184.00 89.795 71,836.00 726.67 .1 4,652.00 MINNESOTA LIFE INS 8.250% 9/15/25 604074AA2 120,000.000 105.85 127,024.60 101.970 122,364.00 2,915.00 .1 -4,660.60 MORGAN STANLEY 6.407% 11/01/29 61747YFH3 140,000.000 103.96 145,545.40 104.336 146,070.40 3,737.42 .2 525.00 MOTOROLA SOLUTIONS 2.750% 5/24/31 620076BU2 150,000.000 77.12 115,686.00 84.759 127,138.50 423.96 .1 11,452.50 NEVADA POWER CO 6.000% 3/15/54 641423CG1 65,000.000 100.62 65,401.87 101.607 66,044.55 1,148.33 .1 642.68 NEW YORK LIFE MTN 5.000% 1/09/34 64952WFE8 160,000.000 99.99 159,987.20 98.304 157,286.40 3,822.22 .2 -2,700.80 NUVEEN LLC SR 5.550% 1/15/30 67080LAC9 110,000.000 99.98 109,975.50 100.534 110,587.40 1,356.67 .1 611.90 For performance and rate of return methodologies, as well as other important information, please refer to the Appendix/Disclosures provided. (Mbank. nvestmentpro(SrsW& 2024 Regular FINANCE Committee Meetina Agenda Packet - PaQe 106 of 139 NOTA DEPOSIT • OT FDIC INSURED • MAY L E VALUE • NOT BANK GUARANTEED • NOT IN R BYANY FEDERAL GOV NMENTAGENCY PARS/CCCSD 115P - OPEB (****055900) Portfolio Holdings Portfolio Holdings Period Ending: 06/30/2024 % of Unrealized ID Units Unit Cost Total Cost Price Market Value Accrual Mkt Val Gain/Loss OVINTIV INC 6.250% 7/15/33 69047QAC6 75,000.000 97.73 73,300.20 103.078 77,308.50 2,161.46 .1 4,008.30 PACIFIC GAS ELEC CO 4.950% 7/01/50 694308JN8 85,000.000 86.50 73,524.15 82.622 70,228.70 2,103.75 .1 -3,295.45 PACIFIC LIFE GF II 2.450% 1/11/32 6944PL2J7 45,000.000 79.08 35,586.00 81.077 36,484.65 520.63 .0 898.65 PACIFIC LIFECORP 5.400% 9/15/52 694476AF9 65,000.000 99.85 64,903.80 95.606 62,143.90 1,033.50 .1 -2,759.90 PLAINS ALL AMER PIPE 4.300% 1/31/43 72650RBC5 155,000.000 79.85 123,773.70 78.884 122,270.20 2,795.60 .1 -1,503.50 PNC FINL SVCS GROUP 3.400% 12/15/69 693475BC8 110,000.000 100.00 110,000.00 89.717 98,688.70 166.22 .1 -11,311.30 PROTECTIVE LIFE MTN 5.467% 12/08/28 74368CBV5 150,000.000 100.00 150,000.00 101.106 151,659.00 523.92 .2 1,659.00 REGIONS FINANCIAL 5.722% 6/06/30 7591 EPAU4 150,000.000 100.00 150,000.00 99.940 149,910.00 596.04 .2 -90.00 REINSURANCE GROUP 5.750% 9/15/34 759351AS8 130,000.000 99.29 129,073.10 99.637 129,528.10 996.67 .1 455.00 RELIANCE STAND MTN 5.243% 2/02/26 75951ACY2 145,000.000 99.09 143,676.15 98.929 143,447.05 3,146.53 .2 -229.10 SOUTHERN CA GAS CO 6.350% 11/15/52 842434CX8 100,000.000 100.60 100,599.00 107.787 107,787.00 811.39 .1 7,188.00 SOUTHERN CALIF 5.875% 12/01/53 842400HX4 70,000.000 100.39 70,275.56 99.756 69,829.20 342.71 .1 -446.36 SSM HEALTH CARE CORP 4.894% 6/01/28 784710AC9 245,000.000 100.00 245,000.00 99.415 243,566.75 999.19 .3 -1,433.25 STIFEL FINANCIAL 4.250% 7/18/24 860630AD4 125,000.000 97.31 121,637.35 99.916 124,895.00 2,405.38 .1 3,257.65 SUNCOR ENERGY INC 5.950% 12/01/34 867229AD8 95,000.000 94.60 89,873.80 102.137 97,030.15 471.04 .1 7,156.35 TRISTATE GENERAT 6.000% 6/15/40 89566EADO 115,000.000 139.97 160,967.80 92.414 106,276.10 306.67 .1 -54,691.70 TRUIST FINL CORP 5.125% 12/31/99 89832QAC3 64,000.000 107.43 68,758.26 94.729 60,626.56 .00 .1 -8,131.70 WELLS FARGO CO MTN 5.198% 1/23/30 95000U3J0 105,000.000 100.00 105,000.00 99.580 104,559.00 2,395.41 .1 -441.00 WEYERHAEUSER CO 7.375% 3/15/32 962166BR4 105,000.000 111.64 117,218.85 111.786 117,375.30 2,280.10 .1 156.45 Total: Corporate Bonds 6,808,531.69 6,644,954.33 81,567.29 7.7 -163,577.36 Gov/Agency Bonds U S TREASURY BD 3.625% 5/15/53 912810TR9 40,000.000 83.02 33,207.81 85.098 34,039.20 185.19 .0 831.39 U S TREASURY BD 3.875% 5/15/43 912810TS7 1,365,000.000 96.75 1,320,652.51 90.227 1,231,598.55 6,755.45 1.4 -89,053.96 U S TREASURY BD 4.125% 8/15/53 912810TT5 90,000.000 99.08 89,175.26 93.121 83,808.90 1,397.29 .1 -5,366.36 U S TREASURY BD 4.250% 2/15/54 912810TX6 247,000.000 96.55 238,489.51 95.219 235,190.93 3,950.98 .3 -3,298.58 U S TREASURY BD 5.000% 11/15/53 912810TVO 180,000.000 103.12 185,612.50 103.375 186,075.00 1,149.46 .2 462.50 U S TREASURY NT 3.375% 5/15/33 91282CHC8 1,484,000.000 96.62 1,433,837.27 92.676 1,375,311.84 6,396.73 1.5 -58,525.43 U S TREASURY NT 3.875% 8/15/33 91282CHT1 350,000.000 95.55 334,440.57 96.203 336,710.50 5,104.57 .4 2,269.93 U S TREASURY NT 4.000% 2/15/34 91282CJZ5 729,000.000 96.96 706,828.02 97.063 707,589.27 10,975.05 .8 761.25 U S TREASURY NT 4.250% 12/31/25 91282CJS1 135,000.000 99.79 134,720.51 99.043 133,708.05 2,884.34 .1 -1,012.46 U S TREASURY NT 4.250% 2/28/29 91282CKD2 32,000.000 100.46 32,147.50 99.551 31,856.32 454.57 .0 -291.18 U S TREASURY NT 4.250% 2/28/31 91282CKC4 180,000.000 100.24 180,428.91 99.410 178,938.00 2,556.93 .2 -1,490.91 U S TREASURY NT 4.250% 6/30/31 91282CKWO 75,000.000 99.57 74,674.81 99.438 74,578.50 .00 .1 -96.31 U S TREASURY NT 4.500% 11/15/33 91282CJJ1 456,000.000 103.16 470,430.37 100.922 460,204.32 2,620.76 .5 -10,226.05 U S TREASURY NT 4.500% 3/31/26 91282CKH3 330,000.000 99.15 327,189.85 99.477 328,274.10 3,732.79 .4 1,084.25 U S TREASURY NT 4.500% 5/31/29 91282CKT7 200,000.000 100.21 200,421.88 100.680 201,360.00 762.30 .2 938.12 U S TREASURY NT 4.625% 2/28/26 91282CKB6 400,000.000 99.82 399,281.25 99.641 398,564.00 6,183.42 .4 -717.25 For performance and rate of return methodologies, as well as other important information, please refer to the Appendix/Disclosures provided. (Mbank. nvestmentpro(SrsW& 2024 Regular FINANCE Committee Meetina Agenda Packet - PaQe 107 of 139 NOTA DEPOSIT • OT FDIC INSURED • MAY L E VALUE • NOT BANK GUARANTEED • NOT IN R BYANY FEDERAL GOV NMENTAGENCY PARS/CCCSD 115P - OPEB (****055900) Portfolio Holdings Portfolio Holdings Period Ending: 06/30/2024 % of Unrealized ID Units Unit Cost Total Cost Price Market Value Accrual Mkt Val Gain/Loss U S TREASURY NT 4.625% 5/15/34 91282CKQ3 339,000.000 99.39 336,919.22 100.031 339,105.09 2,002.45 .4 2,185.87 U S TREASURY NT 4.875% 11/30/25 91282CJL6 145,000.000 100.30 145,430.47 99.887 144,836.15 608.70 .2 -594.32 Total: Gov/Agency Bonds 6,643,888.22 6,481,748.72 57,720.98 7.2 -162,139.50 Invest Gr MF + ETF/ETNs BAIRD AGGREGATE BOND FD INSTL 057071854 434,589.446 9.79 4,253,636.36 9.660 4,198,134.05 .00 4.7 -55,502.31 DODGE COX INCOME 256210105 277,852.941 12.57 3,491,562.10 12.380 3,439,819.41 .00 3.8 -51,742.69 ISHARES CORE U.S. AGGREGATE BOND ETF 464287226 17,538.000 98.14 1,721,136.95 97.070 1,702,413.66 .00 1.9 -18,723.29 PGIM TOTAL RETURN BOND CL R6 74440B884 284,643.866 13.47 3,833,105.87 11.840 3,370,183.37 13,620.56 3.7 -462,922.50 Total: Invest Gr MF + ETF/ETNs 13,299,441.28 12,710,550.49 13,620.56 14.1 -588,890.79 Invest Gr Tax Muni CALIFORNIA HEALTH 4.353% 6/01/41 13032UD96 135,000.000 101.60 137,154.60 89.353 120,626.55 489.71 .1 -16,528.05 Total: Invest Gr Tax Muni 137,154.60 120,626.55 489.71 .1 -16,528.05 MBS/ABS/CMO/CMBS AIR CANADA 2015 1A 3.600% 9/15/28 009090AA9 206,439.700 96.74 199,717.53 94.901 195,913.34 2,188.26 .2 -3,804.19 ALASKA AIRLINES 4.800% 2/15/29 01166VAA7 94,333.320 111.12 104,824.19 98.059 92,502.31 1,710.58 .1 -12,321.88 BOFA AUTO TRUST 5.350% 11/15/28 09709AAC6 45,000.000 99.98 44,992.67 100.296 45,133.20 107.00 .1 140.53 BRITISH AIR 19 1 AA 3.300% 6/15/34 11043XAAl 88,913.780 101.25 90,025.21 89.906 79,938.82 130.41 .1 -10,086.39 CARVANA AUTO RECS TR 0.660% 6/12/28 14687GAC9 32,319.720 100.00 32,318.74 93.968 30,370.19 11.26 .0 -1,948.55 CREDIT ACCEPTANCE 2.390% 4/16/29 22534GAC7 .010 100.00 .01 .000 .00 .00 .0 -.01 CROWN CASTLE TOWERS 3.663% 5/15/45 22822RBD1 175,000.000 101.60 177,796.10 98.180 171,815.00 284.90 .2 -5,981.10 CTZNS AUTO RECV TR 6.130% 7/15/26 17331 KAB5 79,692.360 100.00 79,688.98 100.131 79,796.76 217.12 .1 107.78 DAIMLER TRUCKS 5.770% 12/15/27 233874ACO 65,000.000 99.99 64,994.23 100.289 65,187.85 166.69 .1 193.62 DB MASTER 4.030% 11/20/47 233046AF8 173,437.500 106.77 185,171.64 94.934 164,651.16 796.03 .2 -20,520.48 DELTA AIR LINES 5.000% 12/10/29 247361ZW1 76,627.760 101.25 77,585.60 90.817 69,591.03 223.50 .1 -7,994.57 F H L M C #RB5091 2.500% 11/01/40 3133KYUQO 238,774.370 104.86 250,377.32 87.160 208,115.74 497.45 .2 -42,261.58 F H L M C #SB0380 3.500% 2/01/34 3132CWM50 54,287.930 109.28 59,326.54 95.773 51,993.18 158.34 .1 -7,333.36 F H L M C #SD2080 4.000% 12/01/52 3132DPJZ2 713,652.280 94.19 672,199.11 91.644 654,019.50 4,733.99 .7 -18,179.61 F H L M C #SD8221 3.500% 5/01/52 3132DWD26 543,636.950 98.50 535,482.40 88.550 481,390.52 1,585.61 .5 -54,091.88 F H L M C #SD8222 4.000% 5/01/52 3132DWD34 436,100.300 100.20 436,986.12 91.572 399,345.77 1,453.67 .4 -37,640.35 F H L M C #SD8230 4.500% 5/01/52 3132DWEB5 357,493.280 101.11 361,473.19 94.408 337,502.26 1,340.60 .4 -23,970.93 F H L M C #SD8237 4.000% 7/01/52 3132DWEJ8 195,509.710 91.23 178,372.05 91.532 178,953.95 651.70 .2 581.90 F H L M C #SD8244 4.000% 9/01/52 3132DWERO 976,406.750 93.87 916,526.78 91.511 893,519.58 3,254.69 1.0 -23,007.20 F H L M C #SD8258 5.000% 9/01/52 3132DWE74 314,141.970 96.68 303,711.48 96.851 304,249.64 1,308.92 .3 538.16 F H L M C #SD8288 5.000% 12/01/52 3132DWF57 728,291.510 98.57 717,850.77 96.750 704,622.04 3,034.55 .8 -13,228.73 F H L M C #SD8299 5.000% 2/01/53 3132DWGG2 834,385.850 97.29 811,766.15 96.743 807,209.90 3,476.61 .9 -4,556.25 For performance and rate of return methodologies, as well as other important information, please refer to the Appendix/Disclosures provided. (Mbank. nvestmentpro� �s'�p�e: 2024 Regular FINANCE Committee Meetina Aclenda Packet - PaQe 108 of 139 NOTA DEPOSIT • OT FDIC INSURED • MAY L E VALUE • NOT BANK GUARANTEED • NOT IN R BYANY FEDERAL GOV NMENTAGENCY PARS/CCCSD 115P - OPEB (****055900) Portfolio Holdings Portfolio Holdings Period Ending: 06/30/2024 % of Unrealized ID Units Unit Cost Total Cost Price Market Value Accrual Mkt Val Gain/Loss F H L M C #SD8342 5.500% 6/01/53 3132DWHT3 371,602.530 97.87 363,705.96 98.658 366,615.62 1,703.18 .4 2,909.66 F H L M C GD G60453 3.000% 1/01/46 31335AQE1 83,706.980 101.19 84,700.99 87.858 73,543.28 209.27 .1 -11,157.71 F H L M C GD Q13204 3.000% 11/01/42 3132HPRZ9 61,827.110 100.14 61,914.06 88.690 54,834.46 154.57 .1 -7,079.60 F H L M C GD Q38373 3.500% 1/01/46 3132QVJT9 45,929.500 104.47 47,981.96 90.698 41,657.14 133.96 .0 -6,324.82 F H L M C MLTCL MTG 5.180% 3/25/29 3137HCKV3 215,000.000 100.11 215,235.16 101.266 217,721.90 928.08 .2 2,486.74 F N M A #AS7729 3.000% 8/01/46 3138WHSTO 85,981.770 101.00 86,841.59 87.452 75,192.78 214.95 .1 -11,648.81 F N M A #AT0293 3.000% 3/01/43 3138WMKF7 56,099.370 100.14 56,178.24 88.568 49,686.09 140.25 .1 -6,492.15 F N M A #BC1486 3.000% 8/01/46 3140EVUL9 77,211.260 101.00 77,983.35 87.420 67,498.08 193.03 .1 -10,485.27 F N M A #BM4913 3.000% 5/01/46 3140J91\172 47,077.710 101.67 47,864.78 88.202 41,523.48 117.69 .0 -6,341.30 F N M A #CA6348 2.500% 7/01/50 3140QEBSO 163,367.500 104.94 171,433.78 82.415 134,639.33 340.35 .1 -36,794.45 F N M A #CA6638 2.500% 8/01/50 3140QELU4 202,166.010 105.44 213,158.78 82.585 166,958.80 421.18 .2 -46,199.98 F N M A #CA6801 2.500% 8/01/50 3140QERX2 215,871.740 105.05 226,766.52 82.487 178,066.12 449.73 .2 -48,700.40 F N M A #CA7231 2.500% 10/01/50 3140QFA90 207,439.430 105.76 219,383.40 82.374 170,876.16 432.17 .2 -48,507.24 F N M A #CB1446 2.000% 8/01/36 3140QLTCO 150,462.240 104.42 157,115.47 88.684 133,435.93 250.77 .1 -23,679.54 F N M A #CB3630 4.000% 5/01/52 3140QPA80 583,329.990 100.08 583,785.71 91.676 534,773.60 1,944.43 .6 -49,012.11 F N M A #FM3494 2.500% 4/01/48 3140X63C3 89,079.060 105.92 94,354.21 84.425 75,205.00 185.58 .1 -19,149.21 F N M A #FS3275 3.000% 4/01/52 3140XJT94 414,998.410 87.70 363,934.16 85.179 353,491.50 1,037.50 .4 -10,442.66 F N M A #FS3394 4.000% 10/01/52 3140XJXY4 333,403.710 90.16 300,610.32 91.686 305,684.53 1,111.35 .3 5,074.21 F N M A #MA2730 2.500% 7/01/46 31418CA87 187,762.240 104.94 197,033.70 84.424 158,516.39 391.17 .2 -38,517.31 F N M A #MA2779 2.000% 9/01/26 31418CCR3 16,085.130 99.94 16,075.06 96.519 15,525.21 26.81 .0 -549.85 F N M A #MA2895 3.000% 2/01/47 31418CGDO 52,487.220 99.07 51,999.25 87.419 45,883.80 131.22 .1 -6,115.45 F N M A #MA3238 3.500% 1/01/48 31418CS47 33,315.010 104.52 34,819.38 89.992 29,980.84 97.17 .0 -4,838.54 F N M A #MA3332 3.500% 4/01/48 31418CV27 41,923.370 103.16 43,249.40 90.109 37,776.73 122.28 .0 -5,472.67 F N M A #MA4123 2.000% 8/01/35 31418DSM5 139,721.260 103.91 145,179.83 88.538 123,706.41 232.87 .1 -21,473.42 F N M A #MA4492 2.000% 11/01/51 31418D7E6 926,171.970 81.82 757,775.19 78.412 726,229.97 1,543.62 .8 -31,545.22 F N M A #MA4626 4.000% 5/01/52 31418ED80 416,994.740 100.00 416,994.74 91.576 381,867.10 1,389.98 .4 -35,127.64 F N M A #MA5013 4.500% 4/01/38 31418ESB7 198,381.970 99.81 198,010.00 97.830 194,077.08 743.93 .2 -3,932.92 FEDEX 2020 1 CLASS 1.875% 2/20/34 314353AAl 166,633.430 93.03 155,013.11 82.958 138,235.76 1,136.93 .2 -16,777.35 FIRST NATIONAL 10.19367% 9/17/29 32113CBY5 175,000.000 99.98 174,973.03 101.274 177,229.50 792.84 .2 2,256.47 FIRST NATL MSTR 8.24026% 4/16/29 32113CBV1 295,000.000 99.92 294,774.56 99.596 293,808.20 1,080.39 .3 -966.36 FNMA CB8133 5.000% 3/01/54 3140QUBB1 731,291.320 96.75 707,524.36 96.689 707,078.26 .00 .8 -446.10 GOLDEN CREDIT CARD 1.140% 8/15/28 380881 FB3 250,000.000 88.55 221,376.95 91.910 229,775.00 126.67 .3 8,398.05 HILTON GRAND 3.540% 2/25/32 43284BAAO 94,122.080 98.50 92,710.24 98.220 92,446.71 55.53 .1 -263.53 HILTON GRAND 5.500% 3/25/38 43283JAA4 102,702.250 99.98 102,684.19 100.553 103,270.19 94.14 .1 586.00 HUNTINGTON AUTO 5.230% 1/16/29 446144AE7 120,000.000 100.00 119,995.54 99.718 119,661.60 278.93 .1 -333.94 HYUNDAI AUTO RECV 1.600% 12/15/26 44933FAF3 145,000.000 95.56 138,559.96 99.241 143,899.45 103.11 .2 5,339.49 MMAF EQUIP FIN LLC 5.790% 11/13/26 55317WAB7 86,873.090 100.00 86,871.23 100.053 86,919.13 251.50 .1 47.90 MVW 2020 1 LLC 1.740% 10/20/37 55400EAA7 63,386.630 101.95 64,621.09 94.216 59,720.35 33.70 .1 -4,900.74 For performance and rate of return methodologies, as well as other important information, please refer to the Appendix/Disclosures provided. (Mbank. nvestmentpro(SrsW& 2024 Regular FINANCE Committee Meetina Agenda Packet - PaQe 109 of 139 NOTA DEPOSIT • OT FDIC INSURED • MAY L E VALUE • NOT BANK GUARANTEED • NOT IN R BYANY FEDERAL GOV NMENTAGENCY PARS/CCCSD 115P - OPEB (****055900) Portfolio Holdings Portfolio Holdings NAVISTAR FINL DL 6.180% 8/25/28 SANTANDER REVOLVING 2.800% 1/26/32 SBA TOWER TRUST 1.631 % 5/15/51 SBNA AUTO LEASE 6.270% 4/20/26 UNITED AIR 2014 2 3.750% 3/03/28 UNITED AIRLINES 4.300% 2/15/27 UTD AUTO CR SEC TR 5.57009% 7/10/25 WORLD OMNI AUTO 0.870% 10/15/26 Total: MBS/ABS/CMO/CMBS HY Tax MF + ETF/ETNs MAINSTAY MACKAY HI YLD COR BD FD R6 Total: HY Tax MF + ETF/ETNs Fgn Corporate Bonds BANK OF NOVA SCOTIA 4.900% 9/04/72 BARCLAYS PLC SR NT 5.690% 3/12/30 DIAGEO CAP PLC SR NT 2.125% 4/29/32 ELEMENT FLEET 6.319% 12/04/28 HSBC HLDGS PLC 2.804% 5/24/32 MACQUARIE GROUP 6.255% 12/07/34 Total: Fgn Corporate Bonds Private Placements SPRINT SPECTRUM 4.79064% 3/20/25 Total: Private Placements Total: Total Fixed Income REIT MF ETF/ETNs COHEN & STEERS INSTL REALTY SHARES Total: REIT MF ETF/ETNs Commodity MF ETF/ETNs MAINSTAY CBRE GLOBAL INFRASTRUCTURE Total: Commodity MF ETF/ETNs Period Ending: 06/30/2024 % of Unrealized ID Units Unit Cost Total Cost Price Market Value Accrual Mkt Val Gain/Loss 63938PBU2 115,000.000 99.99 114,983.66 100.584 115,671.60 118.45 .1 687.94 80286JAB1 230,000.000 105.52 242,688.67 98.728 227,074.40 107.33 .3 -15,614.27 78403DAT7 140,000.000 100.00 140,000.00 90.829 127,160.60 101.48 .1 -12,839.40 78436TAB2 214,643.700 100.00 214,635.89 100.314 215,317.68 411.22 .2 681.79 90932QAA4 78,925.970 106.51 84,063.26 96.493 76,158.04 970.13 .1 -7,905.22 909319AA3 66,040.200 107.60 71,060.97 98.427 65,001.39 1,072.79 .1 -6,059.58 90945CAAO .020 100.00 .02 .000 .00 .00 .0 -.02 98163CAG5 115,000.000 94.02 108,122.46 98.348 113,100.20 44.47 .1 4,977.74 14,669,930.99 13,862,317.13 48,758.58 15.3 -807,613.86 56063N881 417,223.505 5.15 2,148,296.57 5.140 2,144,528.82 11,098.15 2.4 -3,767.75 2,148,296.57 2,144,528.82 11,098.15 2.4 -3,767.75 064159VJ2 90,000.000 110.00 99,000.00 98.025 88,222.50 .00 .1 -10,777.50 06738ECR4 145,000.000 100.23 145,329.15 100.268 145,388.60 2,498.07 .2 59.45 25243YBE8 95,000.000 81.39 77,315.75 81.090 77,035.50 .00 .1 -280.25 286181AK8 105,000.000 100.00 105,000.00 103.380 108,549.00 497.62 .1 3,549.00 404280CT4 155,000.000 84.05 130,274.40 83.679 129,702.45 446.69 .1 -571.95 55608JBQO 125,000.000 100.00 125,000.00 103.518 129,397.50 521.25 .1 4,397.50 681,919.30 678,295.55 3,963.63 .7 -3,623.75 85208NAD2 37,500.000 107.20 40,200.00 99.375 37,265.62 54.89 .0 -2,934.38 40,200.00 37,265.62 54.89 .0 -2,934.38 44,429,362.65 42,680,287.21 217,273.79 47.5 -1,749,075.44 192471-1106 33,829.499 44.34 1,500,000.00 45.780 1,548,714.46 .00 1.7 48,714.46 1,500,000.00 1,548,714.46 .00 1.7 48,714.46 560641-298 55,248.619 12.67 700,000.00 12.190 673,480.67 4,707.18 .7-26,519.33 700,000.00 673,480.67 4,707.18 .7-26,519.33 For performance and rate of return methodologies, as well as other important information, please refer to the Appendix/Disclosures provided. (Mbank. nvestmentpro(SrsW& 2024 Regular FINANCE Committee Meetina Agenda Packet - PaQe 110 of 139 NOTA DEPOSIT • OT FDIC INSURED • MAY L E VALUE • NOT BANK GUARANTEED • NOT IN R BYANY FEDERAL GOV NMENTAGENCY PARS/CCCSD 115P - OPEB (****055900) Portfolio Holdings Portfolio Holdings Period Ending: 06/30/2024 % of Unrealized ID Units Unit Cost Total Cost Price Market Value Accrual Mkt Val Gain/Loss Total: Total Real Assets Total Cash Equivalents 2,200,000.00 2,222,195.13 4,707.18 2.4 22,195.13 Money Market Funds FIRST AM GOVT OB FD CL X 31846V336 1,677,625.480 1.00 1,677,625.48 1.000 1,677,625.48 6,598.52 1.9 .00 Total: Money Market Funds 1,677,625.48 1,677,625.48 6,598.52 1.9 .00 Pending Cash Pending Cash -151,990.560 1.00-151,990.56 1.000-151,990.56 .00 -.2 .00 Total: Pending Cash -151,990.56 -151,990.56 .00 -.2 .00 Total: Total Cash Equivalents 1,525,634.92 1,525,634.92 6,598.52 1.7 .00 Total 77,969,614.78 89,878,799.46 228,579.49 100.0 11,909,184.68 For performance and rate of return methodologies, as well as other important information, please refer to the Appendix/Disclosures provided- nvestmentpro(SrsWc 2024 Regular FINANCE Committee Meetina Agenda Packet - PaQe 111 of 139 NOTA DEPOSIT • OT FDIC INSURED • MAY L E VALUE • NOT BANK GUARANTEED • NOT IN R BYANY FEDERAL GOV NMENTAGENCY embank. bank PARS CCCSD 115P - PENSION 06/30/2024 September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 112 of 139 PARS/CCCSD 115P - PENSION ("'055901) Period Ending: 06/30/2024 Selected Period Performance Selected Period Performance Year Inception to Date to Date Market Value 1 Month 3 Months (6 Months) 1 Year 3 Years 5 Years 08/01/2017 Large Cap U.S. Equity 168,089 3.40 3.97 15.23 24.38 9.94 13.04 S&P 500 Index (Total Return) 3.59 4.28 15.29 24.56 10.01 15.05 14.12 Mid Cap U.S. Equity 30,973 -.81 -3.40 4.79 12.49 2.16 3.91 S&P MidCap 400 Index -1.58 -3.45 6.17 13.57 4.47 10.27 9.38 Small Cap U.S. Equity 44,300 -.77 -.32 5.80 16.05 .27 7.63 S&P SmallCap 600 Index -2.28 -3.11 -.72 8.66 -.26 8.06 7.72 Developed Markets Equity 40,248 -1.49 .30 5.07 10.04 2.62 6.94 MSCI EAFE Index (Net) -1.61 -.42 5.34 11.54 2.89 6.46 5.37 Emerging Markets Equity 22,474 4.15 5.57 9.22 11.11 -6.13 2.99 MSCI Emerging Markets Index (Net) 3.94 5.00 7.49 12.55 -5.07 3.10 2.72 Total-• Income•: 1 Taxable Investment Grade 694,974 .99 .29 -.11 3.81 -2.19 2.52 BBARC 1-3 Year US Government/Credit Index .56 .95 1.38 4.87 .55 1.25 1.50 BBARC Intermediate US Government/Credit Index .80 .64 .49 4.19 -1.18 .71 1.34 BBARC US Aggregate Bond Index .95 .07 -.71 2.63 -3.02 -.23 .81 High Yield Taxable 36,640 .91 1.41 Real Estate 11,077 1.49 -1.63 -2.79 4.69 -2.47 2.79 Dow Jones US Select REIT Index 2.74 -.16 -.55 7.15 -.14 2.78 3.87 Commodities 5,158 -4.02 FTSE 1 Month Treasury Bill Index .44 1.35 2.73 5.56 3.11 2.15 2.05 Pending Cash 1 11 11 11 11 11 11 11 For performance and rate of return methodologies, as well as other important information, please refer to the Appendix/Disclosures provided. (Mbank. nvestmentpro(Sct0 POMe: 2024 Regular FINANCE Committee Meetinq�A enda Packet - Pae 113 of 139 NOTA DEPOSIT__• OT FDIC INSUf�ED .MAY L E VALUE • NOT BANK GUARANTEED • NOT INMIRED BYANY FEDERAL GOVERNMENTAGENCY PARS/CCCSD 115P - PENSION ("'055901) Summary Investment Performance - 6 Months Beginning Market Value Beginning Accrued Income Beginning Portfolio Value Contributions Withdrawals Income Earned Gain/Loss Ending Market Value Ending Accrued Income Ending Portfolio Value Total Earnings Performance Total Portfolio Gross of Fees Total Equity S&P 500 Index (Total Return) S&P MidCap 400 Index S&P SmallCap 600 Index MSCI EAFE Index (Net) MSCI Emerging Markets Index (Net) Total Fixed Income BBARC 1-3 Year US Government/Credit Index BBARC Intermediate US Government/Credit Index BBARC US Aggregate Bond Index Total Real Assets Dow Jones US Select REIT Index Total Cash Equivalents FTSE 1 Month Treasury Bill Index 174,500.34 202.39 174,702.73 875,000.00 -759.05 12,379.95 15,231.52 1,075,490.31 1,064.84 1,076,555.15 27,611.47 3.44 11.02 15.29 6.17 -.72 5.34 7.49 -.05 1.38 .49 -.71 -4.66 -.55 2.62 2.73 Period Ending: 06/30/2024 For performance and rate of return methodologies, as well as other important information, please refer to the Appendix/Disclosures provided- nvestmentpro(SrsWc 2024 Regular FINANCE Committee Meetina Agenda Packet - Pae 114 of 139 NOTA DEPOSIT • OT FDIC INSURED • MAY L E VALUE • NOT BANK GUARANTEED • NOT INMIRED BYANY FEDERAL GOVERNMENTAGENCY embank. embank. PARS/CCCSD 115P - PENSION Portfolio Overview Account: XXXXXX5901 Holdings Method: Direct Report Date: 06/28/2024 Portfolio Summary Portfolio Asset Allocation Inv. Objective Income/Nontaxable-1 Total Portfolio Value $1,075,490 Net Realized Cap Gains YTD $89,848 Annual Income Projected $36,252 Fixed Income $730,726 Equity $306,083 Current Yield 3.37% Cash $22,482 Real Assets $16,199 Number of Securities 19 Invested Total $1,075,490 Portfolio Mgr. Ts Stl Rc #3 - Auto Portfolio Model Allocation ■ Portfolio 60% 50% 40% 30% 20% 10% 0% Cash Equivalents 68% 67.94% 28.46% 2% 2.09% 1.51 % 2% 100.00% 28% Fixed Income ■ Equity Cash ■ Real Assets Investment High Large Mid Cap Small Developed Emerging U.S. Commodities Grade Yield Cap U.S. U.S. Cap U.S. Markets Markets Listed Equity Equity Equity Equity Equity Real Estate © 2024 FactSet Research Systems Inc. All rights reserved. Past Performance is no guarantee of future results. Holdings Date: 6/28/2024 Not A Deposit I Not FDIC Insured I May Lose Value I Not Bank Guaranteed I Not Insured By Any Federal Government Agency Material is b ed on d�ta from s r es eemI to ft fi li /l agcuracy/completeness is of gu�ra�teed. eptem er 17, Ne egu ar FFII HHIIVVCC:: l:ommlttee Meeting gen a Packet - Page 115 of 139 embank. PARS/CCCSD 115P - PENSION Fixed Income Overview Account: XXXXXX5901 Holdings Method: Direct Report Date: 06/28/2024 Fixed Income Summary Fixed Income Asset Allocation Inv. Objective Income/Nontaxable-1 Total Fixed Income Value $730,726 Current Yield 4.15% Annual Income Projected $30,357 Investment Grade $694,275 95.01 % Number of Securities 5 High Yield $36,451 4.99% Portfolio Mgr. Ts Stl Rc #3 - Auto 95% ■ Investment Grade High Yield Fixed Income Sector Exposures Fixed Income Market Value Mutual Funds & ETFs $730,726 100.00% 1 ■ Mutual Funds & ETFs © 2024 FactSet Research Systems Inc. All rights reserved. Past Performance is no guarantee of future results. Not A Deposit I Not FDIC Insured I May Lose Value I Not Bank Guaranteed I Not Insured By Any Federal Government Agency Material is b ed on d�ta from s r es eemI to ft fi li /l agcuracy/completeness is of gu�ra�teed. eptem er 17, Ne egu ar FFII HHIIVVCC:: l:ommlttee Meeting gen a Packet - Page 116 of 139 8,000,000 7,000,000 6,000,000 5,000,000 4,000,000 3,000,000 2,000,000 1,000,000 0 12\5 \\`Z� LO 1T\,)1\,r 5% 1 OL2 1 L\Zg\2o23e��ovsG , Pc Holdings Date: 6/28/2024 ® bank. PARS/CCCSD 115P - PENSION Equity Overview Account: XXXXXX5901 Holdings Method: Direct and Indirect (securities held in mutual funds & ETFs) Report Date: 06/28/2024 Equity Summary Equity Asset Allocation Inv. Objective Income/Nontaxable-1 55% Total Equity Value $306,083 Current Yield 1.38% Annual Income Projected $4,230 Number of Securities 11 Large Cap U.S. $168,089 54.92% Small Cap U.S. $44,300 14.47% Portfolio Mgr. Ts Stl Rc #3 - Auto Developed Markets $40,248 13.15% Mid Cap U.S. $30,973 10.12% 7% Emerging Markets $22,474 7.34% 13% ■ Large Cap U.S. Small Cap U.S. ■ Developed Markets Mid Cap U.S. Emerging Markets Bottom 5/ Top 5 Contributors (Trailing 12 Months) Equity Global Distribution 4.0 North America 81.96% 3.5% Asia 9.51% Europe 7.47% ° South America 0.68% 2.5 o Africa 0.20% Middle East 0.17% 2.0% 1.5% 1.0% 0.5% 0.0% Eauitv Country Distribution United States 80.56% Japan 1.95% Taiwan7M 1.81% Hong Kong 1.65% 0 GSIMX MGRDX DODFX HHHFX VEA IWR WE IVW VGIAX IVV United Kingdom 1.63/ © 2024 FactSet Research Systems Inc. All rights reserved. Past Performance is no guarantee of future results. Not A Deposit I Not FDIC Insured I May Lose Value I Not Bank Guaranteed I Not Insured By Any Federal Government Agency Material is b ed on d�ta from s r es eem�d to ft fi li /l agcuracy/completeness is of gu�ra�teed. eptem er 17, R02c4 egu ar FFII HHIIVVCC:: l:ommlttee Meeting gen a Packet - Page 117 of 139 Holdings Date: 6/28/2024 embank. PARS/CCCSD 115P - PENSION Common Stock Detail Account: XXXXXX5901 Holdings Method: Direct and Indirect (securities held in mutual funds & ETFs) Report Date: 06/28/2024 Top 10 Common Stock Holdings Microsoft Corporation NVIDIA Corporation Apple Inc. Amazon.com, Inc. Alphabet Inc. Class A Meta Platforms Inc Class A Taiwan Semiconductor Manufa. Alphabet Inc. Class C Eli Lilly and Company Berkshire Hathaway Inc. Class. Common Stock Characteristics Stock Full Port YTD 52 Wk Wt. (%) Wt. (%) Yield (%) Return (%)* Return (%)* Portfolio S&P 500 3.69 1.07 0.71 19.3 34.1 Market Cap - Wtd Avg $522.313 $1009.413 3.55 1.03 0.03 149.5 200.5 Market Cap - Median $2.513 $34.813 3.10 0.89 0.44 9.7 11.9 Dividend Yield (%) 1.62 1.32 2.16 0.62 0.00 27.2 49.8 P/E NTM 17.7 21.1 1.34 0.39 0.48 30.5 51.7 PIE LTM 21.4 26.1 1.21 0.35 0.37 42.7 77.1 ROE (%) 22.7 30.1 0.96 0.28 1.57 64.3 71.5 1 Yr Beta vs. S&P Composite .93 1.02 0.91 0.26 0.48 30.3 51.7 Est 3-5 Yr EPS Growth (%) 15.1 16.2 0.82 0.24 0.55 55.8 98.8 Hist 3 Yr EPS Growth (%) 25.2 25.0 0.82 0.24 0.00 14.1 21.7 Number of Securities 5514 503 Common Stock Sector Exposures ■ Portfolio S&P 500 Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities 5% 10% 15% 20% 25% 30% 35% Portfolio S&P 500 6.30 9.34 9.82 9.95 5.16 5.77 4.30 3.65 14.41 12.42 11.22 11.72 11.19 8.13 23.91 32.45 3.84 2.15 6.22 2.15 3.61 2.26 Common Stock Market Cap Distribution ■ Portfolio S&P 500 80% 70% 60% 50% 40% 30% 20% 10% 0% > 50B 10B to 50B 213 to 10B 250MM to 213 < 250MM *Specific to the security - does not represent performance in the portfolio. © 2024 FactSet Research Systems Inc. All rights reserved. Past Performance is no guarantee of future results. Holdings Date: 6/28/2024 Not A Deposit I Not FDIC Insured I May Lose Value I Not Bank Guaranteed I Not Insured By Any Federal Government Agency Material is bed on d�ta from s r es eem�d toh�r�¢ai�l agcuracy/completeness is of guQra�teed. eptem er 17, ��4 egu ar FFII HHIIVVCC:: l:ommlttee Meeting gen a Packet -Page 118 of 139 PARS/CCCSD 115P - PENSION ("'055901) Period Ending: 06/30/2024 Portfolio Holdings Portfolio Holdings % of Unrealized ID Units Unit Cost Total Cost Price Market Value Accrual Mkt Val Gain/Loss Total Equity Large Cap MF + ETF/ETNs ISHARES CORE S P 500 ETF 464287200 109.000 500.68 54,573.99 547.230 59,648.07 .00 5.5 5,074.08 ISHARES S P 500 GROWTH ETF 464287309 343.000 80.20 27,508.09 92.540 31,741.22 .00 3.0 4,233.13 ISHARES S P 500 VALUE ETF 464287408 171.000 175.89 30,077.73 182.010 31,123.71 .00 2.9 1,045.98 VANGUARD GROWTH & INCOME ADM SHS#593 921913208 433.684 97.09 42,106.63 105.090 45,575.85 .00 4.2 3,469.22 Total: Large Cap MF + ETF/ETNs 154,266.44 168,088.85 .00 15.6 13,822.41 MC MF + ETF/ETN ISHARES RUSSELL MID CAP ETF 464287499 382.000 78.87 30,126.86 81.080 30,972.56 .00 2.9 845.70 Total: MC MF + ETF/ETN 30,126.86 30,972.56 .00 2.9 845.70 SC MF + ETF/ETNs EMERALD GROWTH INSTITUTIONAL 317609253 832.736 24.63 20,511.15 26.950 22,442.24 .00 2.1 1,931.09 UNDISCOVERED MGRS BEHAVIORAL VALUE 904504479 268.656 80.40 21,600.76 81.360 21,857.85 .00 2.0 257.09 Total: SC MF + ETF/ETNs 42,111.91 44,300.09 .00 4.1 2,188.18 Dev Fgn Equity MF + ETF/ETNs GOLDMAN SACHS GQG PTNRS INTL OPPS IN 38147N293 357.143 23.24 8,300.00 23.180 8,278.57 .00 .8 -21.43 MFS INTERNATIONAL GROWTH R6 552746356 196.209 40.95 8,035.40 42.790 8,395.78 .00 .8 360.38 VANGUARD FTSE DEVELOPED ETF 921943858 477.000 48.38 23,078.78 49.420 23,573.34 .00 2.2 494.56 Total: Dev Fgn Equity MF + ETF/ETNs 39,414.18 40,247.69 .00 3.8 833.51 Ern Fgn Eq MF+ETF/ETN HARTFORD SCHRODERS EMERGING MARKETS 41665X859 1,318.131 16.10 21,225.16 17.050 22,474.13 .00 2.1 1,248.97 Total: Ern Fgn Eq MF+ETF/ETN 21,225.16 22,474.13 .00 2.1 1,248.97 Total: Total Equity Total Fixed Income 287,144.55 306,083.32 .00 28.5 18,938.77 Invest Gr MF + ETF/ETNs BAIRD AGGREGATE BOND FD INSTL 057071854 19,696.733 9.64 189,797.09 9.660 190,270.44 .00 17.7 473.35 DODGE COX INCOME 256210105 14,768.045 12.44 183,642.24 12.380 182,828.40 .00 17.0 -813.84 ISHARES CORE U.S. AGGREGATE BOND ETF 464287226 1,425.000 97.73 139,269.07 97.070 138,324.75 .00 12.9 -944.32 PGIM TOTAL RETURN BOND CL R6 74440B884 15,443.525 11.95 184,479.21 11.840 182,851.34 699.46 17.0 -1,627.87 Total: Invest Gr MF + ETF/ETNs 697,187.61 694,274.93 699.46 64.6 -2,912.68 For performance and rate of return methodologies, as well as other important information, please refer to the Appendix/Disclosures provided. (Mbank. nvestmentpro(Sct0 rsW& 2024 Regular FINANCE Committee Meetina Acienda Packet - Pae 119 of 139 NOTA DEPOSIT__• OT FDIC INSURED • MAY L E VALUE • NOT BANK GUARANTEED • NOT IN R BYANY FEDERAL GOVERNMENTAGENCY PARS/CCCSD 115P - PENSION ("'055901) Portfolio Holdings Portfolio Holdings Period Ending: 06/30/2024 % of Unrealized ID Units Unit Cost Total Cost Price Market Value Accrual Mkt Val Gain/Loss HY Tax MF + ETF/ETNs MAINSTAY MACKAY HI YLD COR BD FD R6 56063N881 7,091.613 5.14 36,453.69 5.140 36,450.89 188.64 3.4 -2.80 Total: HY Tax MF + ETF/ETNs 36,453.69 36,450.89 188.64 3.4 -2.80 Total: Total Fixed Income Total Real Assets 733,641.30 730,725.82 888.10 68.0 -2,915.48 REIT MF ETF/ETNs COHEN & STEERS INSTL REALTY SHARES 19247U106 241.965 44.63 10,800.00 45.780 11,077.16 .00 1.0 277.16 Total: REIT MF ETF/ETNs 10,800.00 11,077.16 .00 1.0 277.16 Commodity MF ETF/ETNs MAINSTAY CBRE GLOBAL INFRASTRUCTURE 560641-298 420.208 12.61 5,300.00 12.190 5,122.34 35.80 .5 -177.66 Total: Commodity MF ETF/ETNs 5,300.00 5,122.34 35.80 .5 -177.66 Total: Total Real Assets Total Cash Equivalents 16,100.00 16,199.50 35.80 1.5 99.50 Money Market Funds FIRST AM GOVT OB FD CL X 31846V336 22,481.670 1.00 22,481.67 1.000 22,481.67 140.94 2.1 .00 Total: Money Market Funds 22,481.67 22,481.67 140.94 2.1 .00 Total: Total Cash Equivalents 22,481.67 22,481.67 140.94 2.1 .00 Total 1,059,367.52 1,075,490.31 1,064.84 100.0 16,122.79 For performance and rate of return methodologies, as well as other important information, please refer to the Appendix/Disclosures provided. (Mbank. nvestmentpro(S • rs13l: 2024 Regular FINANCE Committee Meetina Agenda Packet - PaQe 120 of 139 NOTA DEPOSIT OT FDIC INSURED • MAY L E VALUE • NOT BANK GUARANTEED • NOT IN R BYANY FEDERAL GOV NMENTAGENCY Important disclosures, definitions of terms and index descriptions If you have questions regarding this information or wish to receive definitions of any additional terms or indexes used in this report, please contact your Portfolio Manager. Important disclosures (page 1 of 4) The information provided here is not intended to replace your account statement. Your account statement is the official record of your account. C Equal Housing Lender. Credit products are offered by U.S. Bank National Association and subject to normal credit approval. LENDER Deposit products offered by U.S. Bank National Association. Member FDIC. For use in one-on-one meetings/presentations. This information represents the opinion of U.S. Bank. The views are subject to change at any time based on market or other conditions and are current as of the date indicated on the materials. This is not intended to be a forecast of future events or guarantee of future results. The factual information provided has been obtained from sources believed to be reliable but is not guaranteed as to accuracy or completeness. U.S. Bank and its representatives do not provide tax or legal advice. Your tax and financial situation is unique. You should consult your tax and/or legal advisor for advice and information concerning your particular situation. Past performance is no guarantee of future results. All performance data, while obtained from sources deemed to be reliable, are not guaranteed for accuracy. Indexes shown are unmanaged and are not available for direct investment, nor are they subject to fees and expenses. Performance reports included may show performance results gross of fees and expenses. If fees and expenses were included, the performance would be lower. If you have any questions, please speak with your relationship manager for additional information. Based on our strategic approach to creating diversified portfolios, guidelines are in place concerning the construction of portfolios and how investments should be allocated to specific asset classes based on client goals, objectives and tolerance for risk. Not all recommended asset classes will be suitable for every portfolio. Diversification and asset allocation do not guarantee returns or protect against losses. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 122 of 139 Important disclosures (page 2 of 4) Equity securities are subject to stock market fluctuations that occur in response to economic and business developments. Stocks of small -capitalization companies involve substantial risk. These stocks historically have experienced greater price volatility than stocks of larger companies and may be expected to do so in the future. Stocks of mid -capitalization companies can be expected to be slightly less volatile than those of small -capitalization companies, but still involve substantial risk and may be subject to more abrupt or erratic movements than large -capitalization companies. The value of large -capitalization stocks will rise and fall in response to the activities of the company that issued them, general market conditions and/or economic conditions. Growth investments focus on stocks of companies whose earnings/profitability are accelerating in the short term or have grown consistently over the long term. Such investments may provide minimal dividends, which could otherwise cushion stock prices in a market decline. Stock value may rise and fall significantly based, in part, on investors' perceptions of the company, rather than on fundamental analysis of the stocks. Investors should carefully consider the additional risks involved in growth investments. Value investments focus on stocks of income -producing companies whose price is low relative to one or more valuation factors, such as earnings or book value. Such investments are subject to risks that their intrinsic values may never be realized by the market, or such stocks may turn out not to have been undervalued. Investors should carefully consider the additional risks involved in value investments. International investing involves special risks, including foreign taxation, currency risks, risks associated with possible differences in financial standards and other risks associated with future political and economic developments. Investing in emerging markets may involve greater risks than investing in more developed countries. In addition, concentration of investments in a single region may result in greater volatility. Investments in real estate securities can be subject to fluctuations in the value of the underlying properties, the effect of economic conditions on real estate values, changes in interest rates and risks related to renting properties (such as rental defaults). There are special risks associated with an investment in commodities, including market price fluctuations, regulatory changes, interest rate changes, credit risk, economic changes and the impact of adverse political or financial factors. Investments in fixed income securities are subject to various risks, including changes in interest rates, credit quality, market valuations, liquidity, prepayments, early redemption, corporate events, tax ramifications and other factors. Investment in fixed income securities typically decrease in value when interest rates rise. This risk is usually greater for longer -term securities. Investments in lower -rated and non -rated securities present a greater risk of loss to principal and interest than higher -rated securities. Investments in high yield bonds offer the potential for high current income and attractive total return, but involve certain risks. Changes in economic conditions or other circumstances may adversely affect a bond issuer's ability to make principal and interest payments. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 123 of 139 Important disclosures (page 3 of 4) The municipal bond market is volatile and can be significantly affected by adverse tax, legislative or political changes and the financial condition of the issues of municipal securities. Interest rate increases can cause the price of a bond to decrease. Income on municipal bonds is free from federal taxes, but may be subject to the federal alternative minimum tax (AMT), state and local taxes. Treasury Inflation -Protected Securities (TIPS) offer a lower return compared to other similar investments and the principal value may increase or decrease with the rate of inflation. Gains in principal are taxable in that year, even though not paid out until maturity. Non -financial specialty assets, such as real estate, farm, ranch and timber properties, oil, gas and mineral interests or closely -held business interests are complex and involve unique risks specific to each asset type, including the total loss of value. Special risk considerations may include natural events or disasters, complex tax considerations and lack of liquidity. Specialty assets may not be suitable for all investors. Alternative investments very often use speculative investment and trading strategies. There is no guarantee that the investment program will be successful. Alternative investments are designed only for investors who are able to tolerate the full loss of an investment. These products are not suitable for every investor even if the investor does meet the financial requirements. It is important to consult with your investment professional to determine how these investments might fit your asset allocation, risk profile and tax situation. Hedge funds are speculative and involve a high degree of risk. An investment in a hedge fund involves a substantially more complicated set of risk factors than traditional investments in stocks or bonds, including the risks of using derivatives, leverage and short sales, which can magnify potential losses or gains. Restrictions exist on the ability to redeem or transfer interests in a fund. Exchange -traded funds (ETFs) are baskets of securities that are traded on an exchange like individual stocks at negotiated prices and are not individually redeemable. ETFs are designed to generally track a market index and shares may trade at a premium or a discount to the net asset value of the underlying securities. Private equity investments provide investors and funds the potential to invest directly into private companies or participate in buyouts of public companies that result in a delisting of the public equity. Investors considering an investment in private equity must be fully aware that these investments are illiquid by nature, typically represent a long-term binding commitment and are not readily marketable. The valuation procedures for these holdings are often subjective in nature. Private debt investments may be either direct or indirect and are subject to significant risks, including the possibility of default, limited liquidity and the infrequent availability of independent credit ratings for private companies. Structured products are subject to market risk and/or principal loss if sold prior to maturity or if the issuer defaults on the security. Investors should request and review copies of Structured Products Pricing Supplements and Prospectuses prior to approving or directing an investment in these securities. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 124 of 139 Important disclosures (page 4 of 4) Mutual fund investing involves risk and principal loss is possible. Investing in certain funds involves special risks, such as those related to investments in small- and mid -capitalization stocks, foreign, debt and high -yield securities and funds that focus their investments in a particular industry. Please refer to the fund prospectus for additional details pertaining to these risks. An investment in money market funds is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. Although these funds seek to preserve the value of an investment at $1.00 per share, it is possible to lose money by investing in these funds. Holdings of First American Funds: U.S. Bancorp Asset Management, Inc. is a registered investment advisor and subsidiary of U.S. Bank National Association. U.S. Bank National Association is a separate entity and wholly owned subsidiary of U.S. Bancorp. U.S. Bank is not responsible for and does not guarantee the products, performance or services of U.S. Bancorp Asset Management. U.S. Bancorp Asset Management, Inc. serves as an investment advisor to First American Funds. Holdings of Nuveen mutual funds: Firstar Capital Corporation (Firstar Capital), an affiliate of U.S. Bancorp, holds a less-than-10 percent ownership interest in Windy City Investments Holdings, LLC which was formerly the parent of Windy City Investment Inc. and the indirect parent of Nuveen Fund Advisors, LLC which is the investment advisor to the Nuveen Mutual Funds. On October 1, 2014, Windy City Investments, Inc. was sold to Teachers Insurance and Annuity Association of America. As a result of the sale, U.S. Bancorp no longer has an indirect ownership interest in Nuveen Fund Advisors, LLC. Depending on the outcome of certain factors, Firstar Capital might in the future receive an earn -out payment in respect of its interest in Windy City Investment Holdings, LLC, under the terms of the sale. Non- proprietary mutual funds: U.S. Bank may enter into agreements with other non-proprietary mutual funds or their service providers whereby U.S. Bank provides shareholder services and/or sub -transfer agency, custodial and other administrative support services and receives compensation for these services. Compensation received by U.S. Bank directly or indirectly from mutual funds does not increase fund fees and expenses beyond what is disclosed in the fund prospectuses. For more information, review the fund prospectus. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 125 of 139 Definitions of report and statement terms (page 1 of 5) Accredited Investor: Private placement securities generally require that investors be accredited due to the additional risks and speculative nature of the securities. For natural persons, the criteria is met by a net worth of more than $1 million (excluding primary residence) or an income of more than $200,000 individually ($300,000 jointly) for the two most recent years and a reasonable expectation for the same in the current year. For other entities, such as corporations, partnerships, trusts and employee benefit plans, the criteria is met with at least $5 million in assets. See full definition in Rule 501 of Regulation D under the Securities Act of 1933. Alpha: A measure of risk -adjusted performance. A statistic measuring that portion of a stock, fund or composite's total return attributable to specific or non -market risk. Alpha measures non -market return and indicates how much value has been added or lost. A positive Alpha indicates the fund or composite has performed better than its Beta would predict (i.e., the manager has added value above the benchmark). A negative Alpha indicates a fund or composite has underperformed given the composite's Beta. Alternative Investments: As used by U.S. Bank, an investment considered to be outside of the traditional asset classes of long -only stocks, bonds and cash. Examples of alternative investments include hedge funds, private equity, options and financial derivatives. Annualized Excess Return: Shows the difference between the annualized linked returns of a portfolio and the model benchmark. Performance reports provided annualize only periods greater than one year. Annualized or Annual Rate of Return: Represents the average annual change in the value of an investment over the periods indicated. Batting Average: Shows how consistently the portfolio return met or beat the market. Beta: A measure of your portfolio's risk relative to a benchmark. A portfolio with a beta of 1.5, for example, would be expected to return roughly 1.5 times the benchmark's return. A high Beta indicates a riskier portfolio. Bond Credit Rating: A grade given to bonds by a private independent rating service that indicates their credit quality. Ratings are the opinion of Standard & Poor's or other agencies as noted and not the opinion of U.S. Bank. Consumer Price Index (CPI): A measure of the average change in prices over time in a market basket of goods and services and is one of the most frequently used statistics for identifying periods of inflation and deflation. Convexity to Stated Maturity: A measure of the curvature in the relationship between bond prices and bond yields that demonstrates how the duration of a bond changes as the interest rate changes. Convexity is used as a risk -management tool and helps to measure and manage the amount of market risk to which a portfolio of bonds is exposed. This version of convexity measures the rate change in duration of a bond as the yield to (stated) maturity changes. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 126 of 139 Definitions of report and statement terms (page 2 of 5) Cost basis/book value: The original value of an asset at the time it was acquired. This is normally the purchase price or appraised value at the time of acquisition. This data is for information purposes only. Cumulative Excess Return: Shows the difference between the annualized linked returns of a portfolio and the model benchmark. Performance reports provided use unannualized returns in periods up to one year, but annualized returns for periods exceeding one year. Downside Capture: The downside capture ratio reflects how a portfolio compares to a benchmark during periods when the benchmark is down. A downside capture ratio of 0.80 (or 80 percent) means the portfolio has historically declined only 80 percent as much as the benchmark during down markets. Downside Deviation: The deviation of returns that fall below a minimum acceptable return (MAR). Although the numerator includes only returns below the MAR, the denominator includes all returns in the performance period. This risk statistic is similar to the downside standard deviation except the sum is restricted to returns less than the MAR instead of the mean. Downside Standard Deviation: The deviation of returns that fall below the mean return. Although the numerator includes only returns below the mean, the denominator includes all returns in the performance period. This risk statistic is similar to the downside deviation except the sum is restricted to returns less than the mean instead of the minimum acceptable return (MAR). Effective Maturity: The date of a bond's most likely redemption, given current market conditions, taking into consideration the optional and mandatory calls, the optional, mandatory and recurring puts, and the stated maturity. Estimated annual income: The amount of income a particular asset is anticipated to earn over the period indicted. The shares multiplied by the annual income rate. Gain/loss calculation: If an asset was sold, the difference between the proceeds received from the sale compared to the cost of acquiring the asset. If the value of the proceeds is the higher of the two numbers, then a gain was realized. If the value of the proceeds is the lower of the two numbers, a loss was incurred. This data is for information purposes only. Gross of Fees: Represents all assets included in the calculation of the portfolio -- before the deduction of trust and asset management fees -- and is inclusive of all applicable third party security fees and expenses Details of those fees and expenses are provided in the security's prospectus or offering documents. Information Ratio: The information ratio compares the average excess return of the portfolio over its associated benchmark divided by the tracking error. M-Squared: The hypothetical return of the portfolio after its risk has been adjusted to match a benchmark. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 127 of 139 Definitions of report and statement terms (page 3 of 5) Market Value: Publicly traded assets are valued using market quotations or valuation methods from financial industry services believed by us to be reliable. Assets, that are not publicly traded, may be reflected at values from other external sources or special valuations prepared by us. Assets for which a current value is not available may be reflected as not valued, at par value, or at a nominal value. Values shown do not necessarily reflect prices at which assets could have been bought or sold. Values are updated based on internal policy and may be updated less frequently than statement generation. Market Value Over Time: Many factors can impact the portfolio value over time, such as contributions to the account, distributions from the account, the investment of dividends and interest, the deduction of fees and expenses, and market performance. Modified Duration to Effective Maturity: A formula that expresses the measurable change in the value of a security in response to a change in interest rates. This version of Modified Duration takes into consideration a "horizon date/price" that is, given current conditions, the most likely redemption date/price using the set of calls/puts, as well as stated maturity. Modified Duration to Stated Maturity: A formula that expresses the measurable change in the value of a security in response to a change in interest rates. This version of Modified Duration uses stated maturity as the "horizon date/price" and ignores any potential call/put/pre- refunding, even if they are mandatory. Net of Fees: Represents all assets included in the calculation of the portfolio -- after the deduction of trust and asset management fees. Please refer to the client fee schedule for additional information. Price/Earnings Ratio (P/E): The P/E ratio of a company is calculated by dividing the price of the company's stock by its trailing 12-month earnings per share. A high P/E usually indicates that the market is paying a premium for current earnings because it believes in the firm's ability to grow its earnings. A low P/E indicates the market has less confidence that the company's earnings will increase. Within a portfolio, P/E is the weighted average of the price/earnings ratios of the stocks in the portfolio. Qualified Purchaser: Some private placement securities require that investors be Qualified Purchasers in addition to being Accredited Investors. For natural persons, the criteria is generally met when the client (individually or jointly) owns at least $5 million in investments. For other entities, such as corporations, partnerships, trusts and employee benefit plans, the criteria is met with at least $25 million in investments though there are other eligibility tests that may apply. See full definition in Section 2(a)(51) of the Investment Company Act of 1940. R-Squared: Measures the portion of the risk in your portfolio that can be attributed to the risk in the benchmark. Realized and Unrealized Gains/Losses: Are calculated for individual tax lots based on the records we have available. Some data may be incomplete or differ from what you are required to report on your tax return. Some data used in these calculations may have been obtained from outside sources and cannot be verified by U.S. Bank. The data is intended for informational purposes only and should not be used for tax reporting purposes. Please consult with your tax or legal advisor for questions concerning your personal tax or financial situation. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 128 of 139 Definitions of report and statement terms (page 4 of 5) Residual Risk: The amount of risk specific to the assets in a portfolio distinct from the market, represented by a benchmark. Return: An indication of the past performance of your portfolio. Sharpe Ratio: Measures of risk -adjusted return that calculates the return per unit of risk, where risk is the Standard Deviation of your portfolio. A high Sharpe ratio indicates that the portfolio is benefiting from taking risk. Sortino Ratio: Intended to differentiate between good and bad volatility. Similar to the Sharpe ratio, except it uses downside deviation for the denominator instead of standard deviation, the use of which doesn't discriminate between up and down volatility. Spread: The difference between the yields of two bonds with differing credit ratings (most often, a corporate bond with a certain amount of risk is compared to a standard traditionally lower risk Treasury bond). The bond spread will show the additional yield that could be earned from a bond which has a higher risk. Standard Deviation: A measure of the volatility and risk of your portfolio. A low standard deviation indicates a portfolio with less volatile returns and therefore less inherent risk. Time -weighted Return: The method used to calculate performance. Time -weighted return calculates period by period returns that negates the effect of external cash flows. Returns for periods of greater than one year are reported as an annualized (annual) rate of return. Returns of less than one year are reported on a cumulative return basis. Cumulative return is the aggregate amount an investment has gained or lost over time, independent of the period involved. Tracking Error: A divergence between the price behavior of a position or a portfolio and the price behavior of a benchmark. This is often in the context of a hedge or mutual fund that did not work as effectively as intended, creating an unexpected profit or loss instead. Traditional Investments: As used by U.S. Bank, an investment made in equity, fixed income or cash securities, mutual funds or exchange - traded funds (ETFs) where the investor buys at a price with the goal that the investment will go up in value. Top 10 Holdings: The 10 assets with the highest market values in the account. Total Portfolio Gross of Fees: Represents all assets included in the calculation of the portfolio, before the deduction of trust and asset management fees, and is inclusive of all applicable third -party security fees and expenses. Details of those fees and expenses are provided in the security's prospectus or offering documents. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 129 of 139 Definitions of report and statement terms (page 5 of 5) Total Return: The rate of return that includes the realized and unrealized gains and losses plus income for the measurement period. Treynor Ratio: Measures the performance of a sector relative to risk by dividing the return of the sector in excess of the risk -free return by the sector's Beta. The higher the Treynor ratio, the better the return relative to risk. Turnover Percent: Indicates how frequently asset are bought and sold within a portfolio. Turnover Ratio: The percentage of a mutual fund's or other investment vehicle's holdings that have been "turned over" or replaced with other holdings in a given year. Unrealized gain (loss) — The difference between the current market value (at the end of the statement period) and the cost to acquire the asset. If the current market value is higher than the cost, a gain is reflected. If the current market value is lower than the cost paid, a loss is reflected. This data is for information purposes only. Upside Capture: The upside capture ratio reflects how a portfolio compares to the selected model benchmark during periods when the benchmark is up. An upside capture ratio of 1.15 (or 115 percent) means the portfolio has historically beat the benchmark by 15 percent during up markets. Yield: The annual rate of return on an investment, expressed as a percentage. For bonds, it is the coupon rate divided by the market price. For stocks, it is the annual dividend divided by the market price. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 130 of 139 Frequently used indexes (page 1 of 5) Bloomberg Barclays 1-3 year U.S. Treasury Index: Measures the performance of the U.S. government bond market and includes public obligations of the U.S. Treasury with a maturity between one year and up to (but not including) three years. Bloomberg Barclays 1-5 year U.S. Treasury Index: Includes all publicly issued, U.S. Treasury securities that have a remaining maturity of greater than or equal to one year and less than five years, are rated investment grade and have $250 million or more of outstanding face value. The Bloomberg Barclays 1-5 year Municipal Index: Measures the performance of municipal bonds with time to maturity of more than one year and less than five years. Bloomberg Barclays 7-year Municipal Index: Includes municipal bonds with a minimum credit rating of Baa that have been issued as part of a transaction of at least $50 million, have a maturity value of at least $5 million and a maturity range of four to six years. Bloomberg Barclays Global Aggregate Index ex-U.S. Index: Measure of global investment grade debt from 24 local currency markets. This multi -currency benchmark includes Treasury, government -related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers. Bloomberg Barclays Global Treasury ex-U.S. Index: Includes government bonds issued by investment -grade counties outside the United States, in local currencies, that have a remaining maturity of one year or more and are rated investment grade. Bloomberg Barclays High Yield Municipal Bond Index: An unmanaged index made up of bonds that are non -investment grade, unrated or below Bat bonds. Bloomberg Barclays Intermediate Aggregate Index: Consists of one- to 10-year governments, one- to 10-year corporate bonds, all mortgages and all asset -backed securities within the Aggregate Index. Bloomberg Barclays Mortgage -Backed Securities Index: Covers agency mortgage -backed pass -through securities (both fixed-rate and hybrid adjustable -rate mortgages) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). Bloomberg Barclays U.S. Aggregate Bond Index: Measures the investment grade, U.S. dollar -denominated, fixed-rate taxable bond market, including Treasuries, government -related and corporate securities, mortgage -backed securities, asset -backed securities and commercial mortgage -backed securities. Bloomberg Barclays U.S. Corporate Bond Index: Measures the investment grade, fixed-rate, taxable corporate bond market and includes U.S. dollar -denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 131 of 139 Frequently used indexes (page 2 of 5) Bloomberg Barclays U.S. Corporate High Yield Bond Index: Measures the U.S. dollar denominated, high yield, fixed-rate corporate bond market. Bloomberg Barclays U.S. Municipal Bond Index: Measures the investment grade, U.S. dollar -denominated, fixed tax-exempt bond market. The index includes state and local general obligation, revenue, insured and pre -refunded bonds. Bloomberg Barclays U.S. Treasury Index: Measures U.S. dollar -denominated, fixed-rate, nominal debt issued by the U.S. Treasury. Bloomberg Barclays U.S. Treasury Inflation -Protected Securities (TIPS) Index: An unmanaged index includes all publicly issued, U.S. TIPS that have at least one year remaining to maturity, are rated investment grade, and have $250 million or more of outstanding face value. Cambridge U.S. Private Equity Index: This index is based on returns data compiled for U.S. private equity funds (including buyout, growth equity and mezzanine funds) that represent the majority of institutional capital raised by private equity partnerships formed since 1986. Returns may be delayed by up to six months. Quarterly performance is prorated based on the cube root for the months of the quarter. Citigroup 3-Month Treasury Bills: An unmanaged index and represents monthly return equivalents of yield averages of the last three- month Treasury Bill issues. Citigroup 6-Month Treasury Bills: An unmanaged index and represents monthly return equivalents of yield averages of the last six- month Treasury Bill issues. Credit Suisse Leverage Loan Index: Represents tradable, senior -secured, U.S. dollar -denominated non -investment grade loans. Dow Jones Industrial Average (DJIA): The price -weighted average of 30 significant U.S. stocks traded on the New York Stock Exchange and NASDAQ. The DJIA is the oldest and single most watched index in the world. Dow Jones Select REIT Index: Measures the performance of publicly traded REITs and REIT-like securities in the U.S. and is a proxy for direct real estate investment, in part by excluding companies whose performance may be driven by factors other than the value of real estate. HFRI Indices: The Hedge Fund Research, Inc. (HFRI) indexes are a series of benchmarks designed to reflect hedge fund industry performance by constructing composites of constituent funds, as reported by the hedge fund managers listed within the HFR Database. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 132 of 139 Frequently used indexes (page 3 of 5) HFRI Equity Hedge Total Index: Uses the HFR (Hedge Fund Research) database and consists only of equity hedge funds with a minimum of $50 million assets under management or a 12-month track record and that reported assets in U.S. dollars. HFRI Relative Value Fixed Income Corporate Index: Uses the HFR (Hedge Fund Research) database and consists of only relative value fixed income corporate funds with a minimum of $50 million assets under management or a 12-month track record and that reported assets in U.S. dollars. ICE BofAML 1-3 Year Corporate Index: Tracks U.S. dollar -denominated investment grade public debt issued in the U.S. bond market with maturities of one to three years. ICE BofAML 1-5 Year Corporate and Government Index: Tracks the performance of short-term U.S. investment grade government and corporate securities with maturities between one and five years. ICE BofAML U.S. 7-10 Year Index: Tracks the performance of U.S. dollar denominated investment grade rated corporate debt publicly issued in the U.S. domestic market and includes all securities with a remaining term to maturity of greater than or equal to seven years and less than 10 years. ICE BofAML Global Broad Market Index: Tracks the performance of investment grade public debt issued in the major domestic and Eurobond markets, including global bonds. ICE BofAML U.S. High Yield Master II Index: Commonly used benchmark index for high yield corporate bonds and measures the broad high yield market. J.P. Morgan Emerging Markets Bond Index Global (EMBI Global): Tracks total returns for traded external debt instruments in the emerging markets. London Interbank Offered Rate (LIBOR) 3-months: The interest rate offered by a specific group of London banks for U.S. dollar deposits with a three-month maturity. London Interbank Offered Rate (LIBOR) 9-months: The interest rate offered by a specific group of London banks for U.S. dollar deposits with a nine -month maturity. MSCI All Country World Index (ACWI): Designed to measure the equity market performance of developed and emerging markets. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 133 of 139 Frequently used indexes (page 4 of 5) Russell 2000 Value Index: Measures companies in the Russell 2000 Index having lower price -to -book ratios and lower forecasted growth values. The Russell 2000 Index includes the 2,000 firms from the Russell 3000 Index with the smallest market capitalizations. Russell 3000 Index: Measures the performance of the 3,000 largest U.S. securities based on total market capitalization. Russell Midcap Index: Measures the 800 smallest companies in the Russell 3000 Index. Russell Midcap Growth Index: Measures companies in the Russell Midcap Index having higher price -to -book ratios and higher forecasted growth values. Russell Midcap Value Index: Measures companies in the Russell Midcap Index having lower price -to -book ratios and lower forecasted growth values. MSCI All County World ex-U.S. Index (ACWI, excluding United States): Tracks the performance of stocks representing developed and emerging markets around the world that collectively comprise most foreign stock markets. U.S. stocks are excluded from the index. MSCI EAFE Index: Includes approximately 1,000 companies representing the stock markets of 21 countries in Europe, Australasia and the Far East. MSCI Emerging Markets (EM) Index: Designed to measure equity market performance in global emerging markets. MSCI World Index: Tracks equity market performance of developed markets through individual country indices. NAREIT Index: Includes REITs (Real Estate Investment Trusts) listed on the New York Stock Exchange, NASDAQ and American Stock Exchange. NASDAQ Composite Index: A market capitalization -weighted average of roughly 5,000 stocks that are electronically traded in the NASDAQ market. NCREIF Property Index (NPI): Measures the investment performance of a very large pool of individual commercial real estate properties acquired in the private market for investment purposes only. Russell 1000 Index: Measures the performance of the 1,000 largest companies in the Russell 3000 Index and is representative of the U.S. large capitalization securities market. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 134 of 139 Frequently used indexes (page 5 of 5) Russell 1000 Growth Index: Measures companies in the Russell 1000 Index with higher price -to -book ratios and higher forecasted growth values. It includes the largest 1,000 firms in the Russell 3000 Index. Russell 1000 Value Index: Measures companies in the Russell 1000 Index with lower price -to -book ratios and lower forecasted growth values. It includes the largest 1,000 firms in the Russell 3000 Index. Russell 2000 Index: Measures the performance of the 2,000 smallest companies in the Russell 3000 Index and is representative of the U.S. small capitalization securities market. Russell 2000 Growth Index: Measures companies in the Russell 2000 Index having higher price -to -book ratios and higher forecasted growth values. and is representative of U.S. securities exhibiting growth characteristics. The Russell 2000 Index includes the 2,000 firms from the Russell 3000 Index with the smallest market capitalizations. S&P 500 Index: Consists of 500 widely traded stocks that are considered to represent the performance of the U.S. stock market. S&P Global ex-U.S. Property Index: Measures the investable universe of publicly traded property companies domiciled in developed and emerging markets excluding the United States. The companies included are engaged in real estate related activities such as property ownership, management, development, rental and investment. S&P GSCL A composite index of commodity sector returns, representing an unleveraged, long -only investment in commodity futures that is broadly diversified across the spectrum of commodities. S&P/Case-Shiller Home Price Indexes: A group of indexes that track changes in home prices throughout the United States. Case- Shiller produces indexes representing certain metropolitan statistical areas (MSA) as well as a national index. Swiss Re Global Cat Bond Total Return Index: Tracks the aggregate performance of all U.S. dollar -denominated euros and Japanese yen -denominated catastrophe bonds, capturing all ratings, perils and triggers. U.S. Dollar Index: Indicates the general international value of the U.S. dollar by averaging the exchange rates between the U.S. dollar and six major world currencies. Wilshire 5000 Index: Composed of more than 6,700 publicly -traded U.S. companies and is designed to track the overall performance of the American stock markets. U.S. Bank I Public September 17, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 135 of 139