PA C I F I C A S S E T M A N A G E M E N T Corporate (Bank) Loan Strategy
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2 PA C I F I C A S S E T M A N A G E M E N T Corporate (Bank) Loan Strategy Presented to: Los Angeles Water and Power Employees Retirement Plan June 28 th, 2017 FOR INSTITUTIONAL INVESTOR USE ONLY
3 Section 1 Section 2 Section 3 Section 4 Section 5 Pacific Asset Management Investment Philosophy & Process Loan Market Overview Portfolio Overview Appendix Fee Schedule Investment Professionals GIPS Disclosures Portfolio Holdings Important Disclosures TABLE OF CONTENTS L O S A N G E L E S D E P A R T M E N T O F W A T E R A N D P O W E R
4 Executive Summary PA C I F I C A S S E T M A N A G E M E N T B A N K L O A N S T R AT E G Y Pacific Asset Management was awarded the U.S. Bank Loans mandate for the Plan on December 10 th, 2014 Pacific Asset Management has specialized in Bank Loans since our founding, with investment professionals managing loan investments for multiple decades Our differentiation is a more selective approach with a focus on the larger, rated bank loan issuers Our investment process has led to strong historical performance and downside risk protection relative to peers, as measured by downside market capture, default rates, and standard deviation With limited duration risk and low correlation to most asset classes, bank loans provide portfolio diversification, an interest rate hedge, and the ability to increase yields through credit risk 3
5 Presenter Bios R E P R E S E N T I N G PA C I F I C A S S E T M A N A G E M E N T Michael Marzouk, Managing Director Co-Portfolio Loan Manager Michael is a Managing Director for Pacific Asset Management and serves as a Co-Portfolio Manager for the Corporate Loan Strategy, and as a Portfolio Manager on the Core Plus, Short Duration, Strategic Income, and Limited Duration Strategies. In addition, Michael covers the Wireline sector. Prior to joining Pacific Asset Management in 2007, Michael worked in the investment banking field most recently as Vice President in the Leveraged Finance Group at the Royal Bank of Scotland. Prior to the Royal Bank of Scotland, he worked at UBS Investment Bank, Prudential Financial and Deutsche Bank. During his tenure in investment banking, Michael s experience included leveraged buy-outs and mergers and acquisitions advisory work. Michael has over 19 years of investment experience. He received his B.A. summa cum laude in Business- Economics from UCLA and his M.B.A. from the Anderson School of Management at UCLA. Michael is a CFA Charterholder and member of the CFA Society of Los Angeles. Dominic Nolan, CFA, Senior Managing Director Executive Committee Member Head of Product and Business Development Dominic is a Senior Managing Director for Pacific Asset Management and a member of the firm s Executive Committee. He is head of product and investment strategy design, business development, and account management. Prior to this, he was the director of institutional business at Lombardia Capital Partners. Prior to Lombardia Capital, he was Vice President and Product Manager for LM Capital Group, an institutional global fixed income manager. Prior to LM Capital, Mr. Nolan worked at Fidelity Investments. Mr. Nolan has over 17 years of industry and investment experience. He holds a bachelor's degree in business finance from CSU Fullerton and an MBA from the Anderson School of Management at UCLA. He is a CFA Charterholder and a member of the CFA Society of Los Angeles. Matthew Cecil, Director Matthew is a Director for Pacific Asset Management, responsible for business development and investment related activities within the firm. Prior to joining Pacific Asset Management, Matt spent several years at PIMCO where he serviced institutional clients and led a team that ensured compliance for segregated assets in all of the firm s 40-Act and ETF accounts. Prior to PIMCO, Matt worked at Wells Fargo and American Express. Matthew has over 11 years of industry and investment experience and has received a BA from Biola University and an MBA from the Paul Merage School of Business at the University of California, Irvine. 4
6 P A C I F IC ASSET MANAGEMENT Section 1
7 Pacific Asset Management I N T R O D U C T I O N Pacific Asset Management is a registered investment advisor specializing in institutional fixed income management. Our investment team focuses on credit investments, managing bank loans, high yield and investment grade bonds. Pacific Asset Management is a subsidiary of Pacific Life Insurance Company N E W P O R T B E A C H, C A Pacific Asset Management operates out of Pacific Life headquarters in Newport Beach, CA. Pacific Life has approximately $143 billion in company assets as of December 31, 2016 Our investment team possesses an average of 18 years of investment experience with members that have worked together for over 14 years We operate as a boutique investment management firm utilizing a team approach, offering our clients customized, nimble solutions supported by the scale and infrastructure of our parent, Pacific Life Insurance Company (Pacific Life) Pacific Asset Management exemplifies the integrity and trust of Pacific Life, which has a heritage of launching successful investment firms, including Pacific Investment Management Company (PIMCO)*, and Montauk Triguard* * PIMCO and Montauk Triguard are no longer affiliated with Pacific Life 6
8 Pacific Asset Management S T R AT E G I E S Focused on corporate debt Primary disciplines are Bank Loans, High Yield, and Investment Grade Bonds Bank Loan Strategy is longest tenured and largest discipline Diversified among institutional clients, mutual funds, and subadvisory Strategy AUM ($m) 5 Vehicle Availability 4 Bank Loan Strategies 1 2,508 SA, CF, MF Core Plus Bond Strategy 1,107 SA, MF High Yield Bond Strategy 914 SA, MF Investment Grade Strategies SA Short Duration Strategies SA, MF Strategic Credit Strategy 336 SA, MF Structured Products 194 CLO, ETF Limited Duration High Income Strategy 33 SA, MF Total Assets Under Management 6,312 Mutual Funds Structured Product $194m Sub-Advisory 7,000 6,000 Firm AUM ($m) by discipline $1,615m 5,000 $2,579m 4,000 AUM by Client Type 3,000 2,000 $2,118m 1, Institutional Bank Loan High Yield Investment Grade Structured Products 1 Contains two bank loan composites; 2 Contains investment grade bond composite, intermediate credit composite, intermediate gov/credit composite, custom intermediate composite; 3 Contains two short duration composites; 4 Separate Accounts ( SA ); Commingled Private Fund ( CF ); Registered Mutual Fund ( MF ); Collateralized Loan Obligation ( CLO ); Exchange Trade Fund ( ETF ); 5 As of 3/31/2017 7
9 Pacific Asset Management O R G A N I Z AT I O N Founded in 2007 A subsidiary of Pacific Life Insurance Company Institutional fixed income management with a focus on corporate credit Managing Directors average over 20 years of industry experience Managing team has meaningful stake in enterprise value of organization JP Leasure Dominic Nolan, CFA Senior Managing Director (20/MBA) Senior Managing Director (17/MBA) Bob Boyd Managing Director (18/MBA) Brian Robertson, CFA Managing Director (13/BA) Michael Marzouk, CFA Managing Director (19/MBA) David Weismiller, CFA Managing Director (19/MBA) Rex Olson, CFA Sr. Managing Director (29/MBA) Michael Lonia Managing Director (13/MBA) Ying Qiu, CFA Managing Director (17/MBA) Michael Long Managing Director (32/MBA) John Brueggemann Analyst (4/BS) Matthew Cecil Director (11/MBA) Shalini Viswanathan, CFA Senior Analyst (9/MBA) Michael Spitler, CFA Senior Director (13/BS) Megan Hyland Associate (2/BS) Tommy Zhang, CPA Analyst (4/BA) Ronald Rangel* Analyst Valerie Chang* Analyst Information in parentheses indicates number of years experience/highest academic degree obtained. * As of 6/1/2017 8
10 Pacific Asset Management RELATIONSHIP MANAGEMENT TEAM N E W P O R T B E A C H, C A Dominic Nolan, CFA Senior Managing Director Direct Line: (949) Dominic.Nolan@pacificlife.com Mathew Cecil Director Direct Line: (949) Fax:(949) Matthew.Cecil@PacificLife.com CLIENT SERVICES TEAM Mathew Cecil Director Direct Line: (949) Fax:(949) Matthew.Cecil@PacificLife.com 700 Newport Center Drive Newport Beach, CA Michael Spitler, CFA Senior Director Direct Line: (949) Michael.Spitler@pacificlife.com 9
11 I N V ESTMENT P H ILOSOPHY & PROCESS Section 2
12 Investment Objectives, Strategy, Process B A N K L O A N S T R AT E G Y Investment Objective The investment objective seeks to outperform the Credit Suisse Leveraged Loan Index by investing primarily in bank loan instruments of noninvestment grade companies. Investment Strategy Pacific Asset Management will seek to outperform the benchmark through a selective approach focused on the larger issuers within the bank loan universe. Pacific Asset Management believes a focus on the larger issuers provides a margin of safety and downside risk protection relative to the smaller issuers within the bank loan universe. Pacific Asset Management believes this focus on seeking to minimize loss while providing the upside of the asset class is a key differentiator in our process. Pacific Asset Management seeks to construct a selective portfolio, generally consisting of bank loan issuers. Investment Process Pacific Asset Management screens the approximate 1,200 companies in the bank loan universe generally filtering out those companies with less than $100m in EBITDA and an issue size of less than $300m. Following the initial screening process, we evaluate securities through a process based on fundamental credit analysis. Following an assessment of the issuer fundamentals, an evaluation of the loan structure takes place. The decision to act on an investment comes in two parts; the first being the individual issuer review and the second being the portfolio construction and relative value. Pacific Asset Management seeks a high conviction in potential issuers, defined as those that meet the requirements involved in the screening process combined with a high degree of comfort, understanding, and a margin of safety in the business, credit fundamentals, financials, management team, industry dynamics, sponsorship, and downside risk. 11
13 Investment Philosophy O U R I N V E S T M E N T P H I L O S O P H Y I S A N C H O R E D B Y F U N D A M E N T A L A N A L Y S I S Fundamental Analysis Fundamental credit analysis is the cornerstone of our investment process Selective Construction Building portfolios utilizing selective construction allows us to articulate our views on a security Top Down Market Assessment We incorporate a Top Down assessment to complement our bottom-up analysis Team Approach A robust process, where all members of the investment team review, challenge and share investment ideas Capital Preservation We focus on companies that we believe will meet their debt obligations, thus mitigating downside risk and preserving investor capital 12
14 Investment Process PA C I F I C A S S E T M A N A G E M E N T Our Investment Process Overview Market Assessment We assess the economic climate to identify potential headwinds and tailwinds. This assessment is used as a framework to determine portfolio risk positioning. Sector Allocation We identify potential economic impacts on various sectors and consider secular trends in the industries. These considerations drive our sector allocation. Screen Fundamental Analysis Investment Decision We utilize a team approach with close communication between Portfolio Management and Research to promote idea generation. The bottom-up approach comes into play during our security selection. We perform fundamental credit analysis on each company and a relative value analysis on each security. Our team draws on the group s experience which provides a blend of investment insight and perspective. We strive for consensus and thoroughly vet each investment we make. Monitor We consistently monitor the portfolio and utilize performance attribution analysis as a quantitative check on the results of our decision making process. 13
15 Loan Selection Process PA C I F I C A S S E T M A N A G E M E N T Our Selection Process B A N K L O A N U N I V E R S E ( 1, I S S U E R S ) Screen Fundamental Analysis Investment Decision Loan Facilities greater than $300mm 90% of index market value EBITDA greater than $100mm Credit Analysis Leverage Free Cash flow Competitive Position Industry Dynamics Management Loan Structure Guarantor Group Collateral Financial Covenants Capital Structure Enterprise Value 1 st Lien Coverage Junior Bonds Equity Loan Economics Price Coupon Yield Relative Value Catalyst Fundamentals Amend/Extend Potential Capital Markets Take-out Portfolio Loans 14
16 Risk Management DISCIPLINED APPROACH Our Approach Preserving investor capital in Pacific Asset Management takes a disciplined approach to managing investment risk by focusing on several main factors: downside scenarios is a core philosophy of our management Identify and Define We manage diversified portfolios, monitoring issuer weights, industry weights, and credit quality in accordance with portfolio guidelines Macro level analysis; define market and credit risks Partner with client to set guidelines Our portfolios typically hold larger issuers, which improves liquidity in various market environments Portfolio Management works closely with our Research team, actively monitoring credits Pacific Asset Management Manage Review and Report Portfolio diversification; issuer weights, sector weights, credit quality and liquidity Internal credit review Cash projections, trade and position analysis Client reporting utilizes a variety of internal and external resources to assist with the investment and reporting process Monitor Strategy performance dispersion Internal compliance checks Performance attribution 15
17 LADWP U.S. Bank Loans Guidelines L A D W P U. S. B A N K L O A N S I N V E S T M E N T G U I D E L I N E S * 1. Fixed-rate instruments shall be limited to 20% of the portfolio. 2. Non-benchmark market holdings (excluding cash) shall be limited to 40% of a portfolio. Benchmark market is based on currency denomination and security type (e.g., USD corporate industrial loan, USD corporate utility loan). Security type is based on Barclays Capital s Class 2 sector classifications and instrument (e.g., bond versus loan). 3. No more than 5% of the lesser of cost or market value of the portfolios will be invested in any one issuer. 4. No more than 20% of the lesser of cost or market value of the portfolios will be invested in any one industry. 5. Pacific Asset Management expected to have performed thorough due diligence on each security purchased (which may include, but is not limited to, the analysis of company audited financial statements in the case of corporate holdings, relevant government reports and records, etc.), and such due diligence must be available for each investment in case of a WPERP audit. 6. No securities shall be purchased on margin or sold short other than any initial and maintenance margin required in connection with futures transactions which may be used only for risk management purposes. 7. The portfolios shall not use leverage nor purchase Collateralized Loan Obligations (CLOs). 8. Although a fully invested position is encouraged, cash equivalents are also permissible as a transitional/temporary investment, subject to permanent investment. 9. If the portfolio produces characteristics that exceed the above limitations in these guidelines or the manager guidelines in Section 7.3, Pacific Asset Management is required to report these results to WPERP within a timely manner. 10. Any investments in securities (including, but not limited to, Build America Bonds, Recovery Zone Economic Development Bonds, Tax Credit Bonds, et. al.) issued by the City of Los Angeles and/or any of its affiliates are not permitted and should not be held in the WPERP portfolio. * Guidelines take from Water and Power Employees Retirement Plan Statement of Investment Objectives, Goals and Guidelines - Revised by the Board December 10,
18 L O A N MARKET OVERVIEW Section 3
19 Market Update 1 Q 1 7 L O A N M A R K E T U P D AT E The strong support for the asset class experienced during the 4 th quarter of 2016 continued into During the 1 st quarter of 2017 bank loans generated coupon-like returns (CSLL returned 1.20%). The market environment remained favorable as economic data, corporate earnings, and sentiment surrounding potential tax, regulatory, and fiscal reform supported credit risk. Bank loan technicals were supported with strong retail floating rate fund demand and CLO creation further aiding the asset class. YTD, lower quality and smaller issue/facility sizes outperformed with BB, B, CCC rated loans returning 0.63%, 1.06%, and 4.98%, respectively. Across issue sizes, smaller issuers outperformed with facility sizes less than $300m returning 3.02% versus facility sizes greater than $1bn returning 0.71%. Loans priced up to and including $90 have returned 3.37% YTD while loans priced over $90 have returned 1.03% YTD in Leveraged loan issuance was robust in 1Q17 with $331b issued, but approximately 75% of issuance was driven primarily by refinancing/repricing activity as borrowers took advantage of market conditions to reduce spreads. Commodity related sectors continued their outperformance with Energy and Metals/Minerals returning 4.62% and 3.16%, respectively. The Retail sector returned -2.44%, the only sector with a negative return which was driven by secular concerns. 18
20 2017 Outlook B A N K L O A N M A R K E T O U T L O O K The Credit Suisse Leveraged Loan Index returned 9.88% in The 2 nd half of 2016 experienced a risk on environment, positive economic and market technicals, and a dovish federal reserve. The 1 st quarter of 2017 was a continuation of this risk-on environment. We expect corporate health to keep the default rate below average (excluding energy), the U.S. economy to further improve (albeit slowly), and for further stabilization in the commodity sectors. We believe this points to an improved environment for credit risk. On a relative value basis, bank loans are compelling given an attractive effective yield of over 5%, with low duration risk, and relatively limited downside risk versus high yield bonds. We expect, on a total return basis, for the bank loan universe to return approximately 4-6% during This is supported by improved technicals, retail mutual fund flows, a rising rate environment and stabilization in the commodity space. We believe the role of bank loans in a portfolio is to diversify traditional fixed income, reduce portfolio duration, and improve yields through credit risk. Bond Indices January February March 1Q17 Barclays U.S. Corporate High Yield Index Barclays U.S. Corporate Index Credit Suisse Leveraged Loan Index Barclays U.S. Aggregate Index Barclays U.S. Treasury Index Barclays U.S. MBS Index
21 U.S. 10Yr Treasury (%) Performance During Rising Rates Periods L O A N S O V E R O T H E R F I X E D I N C O M E A S S E T C L A S S E S During periods of rising rates, loans have historically performed well compared to other fixed income asset classes bps bps 2 82 bps Date Range Rise in 10-Yr U.S. Treasury Credit Suisse Leveraged Loan Index Bloomberg Barclays U.S. Aggregate Index 12/31/2008 3/31/ bps 32.44% 6.21% 7/31/ /31/ bps 7.30% 1.14% 10/3/ /31/ bps 2.25% 2.93% Source: St. Louise Federal Reserve, Credit Suisse, Barclays, as of 12/31/
22 Jun-07 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Loan Funds AUM L O A N F U N D S A U M Loan mutual fund & ETF assets under management (market value) increased to $150 billion Recent fund flows into the asset class mark a reversal from the trend over the last several years US Loan Mutual Fund & ETF AUM Source: Thomson Reuters LPC, Lipper as of 03/31/
23 Loan Issuance S T R O N G I S S U A N C E 2016 issuance had lagged 2015 for most of the year There was an increase in issuance in the last 5 months of Leveraged loan issuance surged in 1Q17 but was driven primarily by refinancing activity as borrowers took advantage of market conditions to reduce spreads YTD Source: JP Morgan, as of 03/31/
24 Refinancing 2017 Story Refinancing activity spiked in 1Q17, amounting to a record $261 billion, as borrowers took advantage of market technicals to cut spreads As a share of leveraged loan volume, refinancings represented 76% of activity Refinancing New Money Source: Lipper, A Thomson Reuters Company as of 03/31/
25 CSLL Index Sector Returns S E C T O R A N A L Y S I S Returns of the CSLL Index sectors have been supported through a commodity driven rebound, a risk-on environment, and supportive fundamentals post 2/11/2016 The Energy sector represents 3.61% of the leveraged loan universe versus approximately 14% of the high yield universe The energy sector returned 37.22% and the metals/minerals sector returned 39.46% in 2016 The energy sector has returned 4.62% and the metals/minerals sector has returned 3.16% thus far in 2017 YTD 2017, the retail sector has been challenged posting a -2.44% return. This is due to shifting demographics, the advancement of ecommerce, and experience over ownership Credit Suisse Leveraged Loan Index UTILITY TRANSPORTATION SERVICE RETAIL METALS/MINERALS MEDIA/TELECOMMUNICATIONS MANUFACTURING INFORMATION TECHNOLOGY HOUSING HEALTHCARE GAMING/LEISURE FOREST PROD/CONTAINERS FOOD/TOBACCO FOOD AND DRUG FINANCIAL ENERGY CONSUMER NON-DURABLES CONSUMER DURABLES CHEMICALS AEROSPACE Credit Suisse Leveraged Loan Index -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% Index Weight 2017 Return (YTD) 2016 Return Source: Credit Suisse as of 03/31/
26 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 HY vs. Loans C A R R Y D I F F E R E N T I A L B E T W E E N H Y B O N D S A N D L O A N I S C O M P R E S S I N G There has been a narrowing valuation gap between the two asset classes The technicals supporting the loan asset class have become more favorable in recent months The more attractive tradeoff between carry and rate risk places leveraged loans in a better position to outperform going forward vs HY Barclays U.S. High Yield Index - Yield to Worst (%) CS Leveraged Loan Index Effective Yield (4-Year) Source: Barclays, Credit Suisse, as of 03/31/
27 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Credit Returns W H E R E I S T H E V A L U E I N C R E D I T P O S I T I O N I N G? There has been a rally in lower rated credits since February 2016 (this coincides with the rebound in commodity prices) 15% BB Monthly Toal Return CCC Monthly Total Return B Monthly Total Return Distressed In 2016, BB credits returned 6.91%; B credits returned 9.56%; CCC credits returned 25.63%; and distressed credits returned of 27.87% YTD in 2017, BB credits have a total return of 0.63%; B credits have a total return of 1.06%; CCC credits have a total return of 4.98%; and distressed credits had a total return of 4.82% 10% 5% 0% -5% -10% Source: Credit Suisse, as of 03/31/
28 LIBOR Continues to Rise L I B O R O N T H E M O V E Libor initially widened due to US Money Market reform Regulation requires prime money-market funds (excluding government moneymarket funds) to adopt a floating rate NAV The Federal Reserve increased the Federal Funds Rate in March %; bringing the range to 0.75%-1.00% Floating-rate loans may benefit if LIBOR continues to rise Month LIBOR Source: Federal Reserve, as of 03/31/
29 Default Overview H Y V S. L O A N D E F A U L T S - L T M R A T E In 2016, the par-weighted US high-yield default rate increased to 3.58%, up from 1.80% at the end of 2015 and peaking at 3.77% at the end of May, which was the highest level since May 2010 (4.26%). Excluding the Energy and Metals/Mining sectors, the default rate was a mere 0.55% 16% 14% 12% 10% HY Bonds Leveraged Loans For loans, the par weighted default rate increased marginally in 2016 to 1.71% from 1.69% at year-end last year, peaking at 2.27% at the end of July. And here too, Energy and Metals/Mining defaults have markedly lifted the LTM default rate, and excluding these commodity sectors, the default rate is a modest 0.38% 8% 6% 4% 2% 0% March 2017 HY Bonds: 1.90% Loans: 1.27% Source: JP Morgan as of 03/31/
30 P ORTFOLIO OVERVIEW Section 4
31 LADWP Guidelines I N V E S T M E N T O B J E C T I V E The investment objective for the LADWP Bank Loan segment is to outperform the Credit Suisse Leveraged Loan Index by investing primarily in bank loan instruments of non-investment grade companies. Investment Approach Selective Strategy seeks to add value through credit selection, with portfolio holdings typically ranging from names. Large Issuers This strategy will typically invest in bank loan facilities of larger companies, typically with an EBITDA of greater than $100 million. Liquid Due to our active management approach, we prefer names with daily liquidity. This allows for more fluid entry and exit of positions as needed. Lower Volatility Through Low Defaults Since inception, our strategy has had 3 issuer defaults versus 258* for the Bank Loan issuer universe. Internal Guidelines Portfolio Composition Bank Loans Minimum 80% Minimum Average Portfolio Credit Quality B Diversification Sector constraints such as 3x the Index weighting or 15% whichever is greater Maximum 5% account value per issuer in portfolio Opportunistic Secured Corporate Bonds Unsecured Corporate Bonds *Strategy defaults are benchmarked against the Moody s bank loan issuer universe, as of March 31,
32 Performance L A D W P L O A N A C C O U N T R E T U R N S A S O F 0 4 / 3 0 / LADWP Retirement Account Performance YTD 1 Year 2 Year Inception 2 LADWP Retirement Loan Account (Gross) LADWP Retirement Loan Account (Net) Credit Suisse Leveraged Loan Index Excess Return (Net) (0.37) LADWP Health Account Performance YTD 1 Year 2 Year Inception 2 LADWP Health Loan Account (Gross) LADWP Health Loan Account (Net) Credit Suisse Leveraged Loan Index Excess Return (Net) (0.38) Portfolio and Benchmark returns reflect an inception date of 9/1/ performance beginning at inception of account 9/1/ Inception data annualized 31
33 Performance L A D W P R E T U R N S V S. B E N C H M A R K Due to further advancement in the commodity markets, strong corporate earnings, and supportive economic data the bank loan asset class has experienced positive returns since mid-2016 Security and sector selection continues to be paramount for outperformance versus the benchmark 3.00% 2.00% 1.00% 0.00% Monthly Performance vs Benchmark -1.00% -2.00% Strategy (Gross) Strategy (Net) Index* -3.00% * Credit Suisse Leveraged Loan Index ** Portfolio inception was 9/1/2015 ; Data As of 4/30/
34 Cash Flows P O R T F O L I O C O N T R I B U T I O N S / W I T H D R A W A L S Retirement Account Initial Contribution: (8/2015) $125,000,000 Contributions: 0 Total Contributions: $125,000,000 Withdrawals: (0) Income Stripping: (0) Total Withdrawals: (0) Net Contribution $125,000,000 Portfolio Return $13,724,751 Market Value: (as of 4/30/2017) $138,724,751 Health Account Initial Contribution: (8/2015) $20,500,000 Contributions: 0 Total Contributions: $20,500,000 Withdrawals: (0) Income Stripping: (0) Total Withdrawals: (0) Net Contribution $20,500,000 Portfolio Return $2,248,536 Market Value: (as of 4/30/2017) $22,748,536 As of 4/30/
35 1Q 2017 Review 1 Q 1 7 P E R F O R M A N C E For the 1 st quarter, the portfolio(s) returned 1.28% net of fees versus the benchmark return of 1.20%. Since inception of the portfolio, the portfolio has returned 6.11% net of fees versus the benchmark return of 5.17% (annualized). Given the continuation of strong earnings coupled with further stabilization in commodity prices and economic data, we maintained our risk level from the prior quarter (as measured on an effective yield basis). We maintain our slight overweight regarding Energy exposure vs the benchmark (4.78% weighting as of 3/31/17 vs. index weighting of 3.61%) compared to a 4.48% weighting as of 12/31/16. We continue to focus on performing loans relative to the benchmark due to our underweight to distressed names (loans trading under $90 consisted of 2.88% of the portfolio vs 6.15% of the benchmark). We are overweight Housing, Forest Products/Containers, and Chemicals and underweight Healthcare, Media/telecom, and Aerospace sectors. We are slightly overweight the Energy sector. 4.00% 3.00% 2.00% 1.00% 0.00% -1.00% -2.00% -3.00% Strategy (Gross) Quarterly Performance vs Benchmark Strategy (Net) Index* 4Q2015 1Q2016 2Q2016 3Q2016 4Q2016 1Q2017 * Credit Suisse Leveraged Loan Index ** Portfolio inception was 9/1/
36 Portfolio Characteristics Characteristics** Strategy Index* Effective Duration Average Credit Quality B+ BB- Effective Yield (%) Number of Issues 133 1,487 Weighted Average Price ($) Weighted Average Coupon (%) Convexity Asset Allocation** Strategy (%) Index (%)* Cash Bank Loans First Lien Second Lien High Yield Bonds Secured Unsecured Retail Metals/Minerals Media/Telecom Manufacturing Service Information Technology Aerospace Transportation Cash Chemicals Utility Consumer Durables Housing Energy Healthcare Financial Food And Drug Food/Tobacco Forest Prod./Containers Gaming/Leisure *Credit Suisse Leveraged Loan Index as of 04/30/2017 ** Data provided via Factset Credit Quality** Strategy (%) Index (%)* BBB or above BB B CCC CC & Below Not Rated Cash Portfolio Positioning as of April 30, 2017 Portfolio risk is largely neutral to the index as measured by effective yield (5.21% vs 5.43%). Portfolio duration is above benchmark through a tactical allocation to High Yield bonds. Focus on the performing segment of the bank loan market as the average price of the portfolio was over par as of April 30, 2017 versus an average price of $97.56 in the index. 35
37 Portfolio Holdings T O P P O R T F O L I O H O L D I N G S Top 10 Holdings % of Portfolio Index* Rite Aid Corp Avaya Inc Sprint Communications Valeant Pharmaceuticals International, Inc Caesar's Entertainment Resort Properties, LLC VF Holding Corp CEC Entertainment Inc PQ Corporation Nexeo Solutions LLC/Corp Solera, LLC Top 10 Sectors (%) % of Portfolio Index* Information Technology Service Media/Telecom Housing Financial Gaming/Leisure Forest Products/Containers Food/Tobacco Chemicals Manufacturing * Credit Suisse Leveraged Loan Index as of 04/30/
38 Portfolio Analysis P O R T F O L I O A T T R I B U T I O N Top 5 Contributors YTD*** Contribution to Return(%) Total Return (%)* iheart Media Inc Peabody Energy Corp Accudyne Industries C & J Energy Services Kronos Inc Bottom 5 Contributors YTD*** Contribution to Return(%) Total Return (%)* HGIM Corp PETCO Animal Supplies EP Energy Vistra Energy Seadrill Partners Top 10 Contributions to Return by Sector *** Strategy (%) Media/Telecom 0.32 Service 0.20 Manufacturing 0.20 Information Technology 0.18 Energy 0.12 Housing 0.12 Food/Tobacco 0.11 Financial 0.10 Healthcare 0.10 Metals/Minerals 0.10 Years to Maturity Schedule*** Strategy (%) Index (%)* Years to Maturity: Years to Maturity: Years to Maturity: Years to Maturity: Years to Maturity: Less than Average Maturity: *Credit Suisse Leveraged Loan Index **Data provided via Factset ; ***Data as of 4/30/
39 Portfolio Analysis P O R T F O L I O C H A R A C T E R I S T I C S Characteristics** Strategy Index* Returns (Since Inception) Alpha 3.36 N/A Beta Sharpe Ratio Standard Deviation Tracking Error 1.54 N/A R-squared Correlation Coefficient Information Ratio 0.83 N/A Jensen's Alpha Treynor Ratio Annual Portfolio Turnover N/A 1 Annualized Since Inception Return 2 Annual Portfolio Turnover as of 3/31/2017; *Credit Suisse Leveraged Loan Index ** Data provided via evestment since inception date of portfolio 38
40 Portfolio Analysis H I S T O R I C A L R E S U LT S R E L AT I V E T O P E E R G R O U P The Strategy has outperformed 86% of its peer group since inception* Historical Results The Strategy s standard deviation has been less than 92% of the peer group since inception* The Strategy s philosophy of managing downside risk has led to a downside market capture that outperforms 96% of the peer group since inception* *Portfolio inception date is 9/1/2015 Source: Evestment Credit Suisse Leveraged Loan Index data as of 4/30/2017 (Performance returns are on a gross basis.) 39
41 Portfolio Analysis R I S K - R E W A R D A N A L Y S I S Historical Risk-Return The Strategy has outperformed its benchmark with lower volatility The Strategy s standard deviation has been less than 92% of the peer group since inception* *Portfolio inception date is 9/1/2015 Source: Evestment Credit Suisse Leveraged Loan Index data as of 4/30/2017 (Performance returns are on a gross basis.) 40
42 A P P ENDIX Section 5
43 Fee Schedule L O S A N G L E S W AT E R & P O W E R E M P L O Y E E S R E T I R E M E N T P L A N Fee Schedule 1. The Board shall pay Pacific Asset Management an annual flat fee of 32 basis points calculated as follows: The basis would be the aggregated average market value of the total managed assets in the Account as valued by the Custodian and reconciled by Pacific Asset Management hereunder as of the last business day of each calendar month. 2. Pacific Asset Management warrants that the annual fee set forth above will not result in payment by the Board of fees exceeding those that would be payable for management of assets equal in value to the Accounts by any of Pacific Asset Management's other clients for whom it provides the same or similar services. In the event that Pacific Asset Management enters into a future agreement with another client to provide the same or similar services that would produce a lower fee for investing assets equal in value to the Accounts, said lower fee shall automatically apply to this Contract and shall supersede the annual fee set forth above. 3. Pacific Asset Management shall bill 1/4th of the fees above every quarter and in arrears. 4. For the initial quarter of service hereunder, the fee will be prorated beginning with the first day that funds are made available for investment. In the event of termination, expiration, and/or resignation of this Contract, the fee shall be prorated to the date of such termination, expiration, and/or resignation. 5. The annual fees shall be the sole compensation paid to Pacific Asset Management by the Board for the services provided and expenses incurred by Pacific Asset Management hereunder. No additional amounts shall be due Pacific Asset Management for overhead, out-of-pocket or other expenses incurred in connection with this agreement. 42
44 Investment Professionals B I O G R A P H I E S JP Leasure, Senior Managing Director JP is a Senior Managing Director for Pacific Asset Management and is the Co-Portfolio Manager for the Corporate Loan Strategy. In addition, JP is a member of Pacific Asset Management s Executive Committee. In addition, JP covers the REITs sector. JP joined Pacific Life in 1997 and was formerly a senior member of Pacific Life's credit research team, responsible for overseeing approximately $10 billion of Pacific Life's portfolio of investment grade corporate public bonds and portfolio of leveraged loans. JP is a former member of Pacific Life's Workout Committee. Prior to joining Pacific Life, JP was a member of Credit Lyonnais' Leveraged Finance Group. JP has over 20 years of investment and banking experience and holds a bachelor's degree from the University of California, Los Angeles and an MBA from Columbia University. Dominic Nolan, CFA, Senior Managing Director Dominic is a Senior Managing Director for Pacific Asset Management and a member of the firm s Executive Committee. He is head of product and investment strategy design, business development, and account management. Prior to this, he was the director of institutional business at Lombardia Capital Partners. Prior to Lombardia Capital, he was Vice President and Product Manager for LM Capital Group, an institutional global fixed income manager. Prior to LM Capital, Mr. Nolan worked at Fidelity Investments. Mr. Nolan has over 17 years of industry and investment experience. He holds a bachelor's degree in business finance from CSU Fullerton and an MBA from the Anderson School of Management at UCLA. He is a CFA Charterholder and a member of the CFA Society of Los Angeles. Rex Olson, CFA, Senior Managing Director Rex is a Senior Managing Director for Pacific Asset Management. He is responsible for sector coverage of Autos, P&C and Life Insurance, Media Cable and Non-Cable, Banking & Brokerage, and Wireless. Rex joined Pacific Life in As Pacific Life's former head of credit research, Rex was responsible for overseeing approximately $17 billion in investment grade bonds, private placements, high-yield bonds and leveraged loans. Prior to that, Rex held portfolio management and analyst positions at GE Capital and Transamerica. Rex has over 29 years of investment and banking experience and holds a Bachelor of Science degree and an MBA from the University of Southern California. He is a CFA Charterholder. Michael Long, Managing Director Michael is a Managing Director for Pacific Asset Management His responsibilities include sector coverage of Gaming, Lodging, Food & Beverage, Consumer Products, and Services. Michael joined Pacific Life in 1994 as an Investment Analyst. Michael has over 32 years of experience in the financial and securities industry, including past investment analyst positions at Franklin Resources, Bradford and Marzec, and Great Northern Annuity. Michael holds a bachelor's degree in Economics from the University of California, Davis and an MBA from Pepperdine University. 43
45 Investment Professionals B I O G R A P H I E S Bob Boyd, Managing Director Bob is a Managing Director for Pacific Asset Management. He serves as the firm s Head of Credit Research and is a Co-Portfolio Manager on the High Yield Bond strategy and is responsible for credit analysis of the Leisure and Restaurants sectors He joined Pacific Asset Management in Previously, Bob was with PIMCO for 14 years, where he was a Vice President, Bank Loan Portfolio Manager, and Credit Analyst. Bob has over 18 years of investment experience, focused on leveraged finance, credit analysis, and structured products. He holds a bachelor's degree from California State University, Long Beach and an MBA from the University of Southern California. Michael Marzouk, CFA, Managing Director Michael is a Managing Director for Pacific Asset Management and serves as a Co-Portfolio Manager for the Corporate Loan Strategy, and as a Portfolio Manager on the Core Plus, Short Duration, Strategic Income, and Limited Duration Strategies. In addition, Michael covers the Wireline sector. Prior to joining Pacific Asset Management in 2007, Michael worked in the investment banking field most recently as Vice President in the Leveraged Finance Group at the Royal Bank of Scotland. Prior to the Royal Bank of Scotland, he worked at UBS Investment Bank, Prudential Financial and Deutsche Bank. During his tenure in investment banking, Michael s experience included leveraged buy-outs and mergers and acquisitions advisory work. Michael has over 19 years of investment experience. He received his B.A. summa cum laude in Business-Economics from UCLA and his M.B.A. from the Anderson School of Management at UCLA. Michael is a CFA Charterholder and member of the CFA Society of Los Angeles. Brian Robertson, CFA, Managing Director Brian is a Managing Director for Pacific Asset Management. Brian is the Lead Portfolio Manager on the Strategic Credit Strategy, a Co-Portfolio Manager on the High Yield Bond Strategy, and a Portfolio Manager on the Core Plus strategies. Brian also has credit research responsibilities in the Packaging and Forest Products sectors. Prior to joining Pacific Asset Management, Brian was a member of Pacific Life Insurance Company's credit research team, with responsibility for fixed income analysis and leveraged loan credit analysis. Brian joined Pacific Life in 2000 and has over 13 years of investment experience. He holds a bachelor's degree from the University of Michigan, is a CFA Charterholder and member of the CFA Society of Orange County. David Weismiller, CFA, Managing Director David is a Managing Director for Pacific Asset Management. David is the lead portfolio manager on the Short Duration Bond Strategy, the Portfolio Manager on the Core Plus and Investment Grade Strategies. In addition, David has credit research responsibilities in the Utilities sector. David has been with Pacific Asset Management since inception in Prior to this, he was part of Pacific Life s research team since June Before joining Pacific Life he was a corporate banking officer at Comerica Bank. He has over 19 years of investment and banking experience and holds a bachelor's degree from the University of California, Santa Barbara and an MBA from the University of California, Irvine. David is a CFA Charterholder and member of the CFA Society of Los Angeles. 44
46 Investment Professionals B I O G R A P H I E S Ying Qiu, CFA, Managing Director Ying is a Managing Director for Pacific Asset Management. She is a co-portfolio manager to various investment grade portfolios. In addition, Ying has credit research responsibilities focusing on Asset-Backed Securities (ABS) and Airlines sectors. Prior to joining Pacific Asset Management, Ying was with PIMCO for 8 years, where she was a Senior Vice President, portfolio manager and trader for both investment grade corporate and ABS. Prior to that, she worked for ING Investment Management for 9 years and was an ABS portfolio manager and trader. Ying has 17 years fixed income investment experience. Ying is a CFA Charter holder and holds a bachelor's degree from Renmin University of China and an MBA from Emory University. Michael Lonia, Managing Director Michael is a Managing Director for Pacific Asset Management and oversees trading for the group. Michael also has credit research responsibilities in the Rails sector. Prior to joining Pacific Asset Management, Michael was a member of Pacific Life's Operations Compliance team where he was responsible for trade reconciliation, processing various derivative products and corporate actions. Prior to joining Pacific Life in 2005, Michael performed portfolio modeling at American Express. He has over 13 years of investment and trading experience. Michael holds a bachelor's degree in both finance and operations management from the University of Delaware and has an MBA at the University of California, Irvine. Shalini Viswanathan, CFA, Senior Analyst Shalini a Senior Analyst for Pacific Asset Management, responsible for covering various sectors including Healthcare, Pharma and Technology, and Aerospace and Defense. Prior to joining Pacific Asset Management, Shalini spent four years as a High Yield Credit Analyst for First Western Capital Management. Prior to First Western Capital Management, she worked as a Senior Credit Analyst in the middle market commercial lending group of Comerica Bank. Shalini holds a bachelor s degree in Commerce from Madras University Stella Maris College and an MBA from the Anderson School of Management at University of California, Los Angeles. She has over 9 years of industry experience and is a CFA Charter holder and a member of the CFA Society of Los Angeles. Michael Spitler, CFA, Senior Director Michael is a Senior Director for Pacific Asset Management, responsible for business development activities within the firm. Prior to joining Pacific Asset Management, Michael spent seven years as a fixed income product and account manager for the Macquarie Funds Group in Los Angeles. As a product and account manager, Michael was responsible for institutional business development, product management and client servicing across bank loan, corporate credit, and absolute return strategies. Michael has over 13 years of industry and investment experience. Michael holds a BS in Business from Sacramento State University and completed part of his undergraduate coursework at the London School of Economics and the University of Pittsburgh's foreign study program. He is a CFA Charterholder and member of the CFA Society of Los Angeles. 45
47 Investment Professionals B I O G R A P H I E S Matthew Cecil, Director Matthew is a Director for Pacific Asset Management, responsible for business development and investment related activities within the firm. Prior to joining Pacific Asset Management, Matt spent several years at PIMCO where he serviced institutional clients and led a team that ensured compliance for segregated assets in all of the firm s 40-Act and ETF accounts. Prior to PIMCO, Matt built a financial advisory practice with Wells Fargo and was a senior team member of a practice within American Express. Matthew has over 11 years of industry and investment experience and has received a BA from Biola University and an MBA from the Paul Merage School of Business at the University of California, Irvine. John Brueggemann, Analyst John is an Analyst for Pacific Asset Management, responsible for covering various sectors including Retail, Energy, Construction Machinery, and Diversified Manufacturing. Prior to joining Pacific Asset Management, John spent two years as a Junior Investment Analyst in the Alternative Investment Management group, a division of Principal Investments within Wells Fargo Securities, where he helped invest in a portfolio of leveraged loans and high yield bonds. John has 4 years of industry experience and graduated from the University of Arizona where he received a Bachelor's of Science in Business Administration with an emphasis in Finance. Megan Hyland, Associate Megan is an Associate for Pacific Asset Management, where she is part of the business development and account management team. Prior to joining Pacific Asset Management, Megan was with State Street in Boston as a Mutual Fund Compliance Administrator, where she monitored and reviewed all SEC, CFTC, IRS, Prospectus, and SAI compliance. Megan received a bachelor's degree in Business Administration from San Diego State University, with an emphasis in Finance. Tommy Zhang, Analyst Tommy is an Analyst for Pacific Asset Management, responsible for covering various sectors including Chemicals, Metals & Mining, Homebuilders, and Building Materials. Prior to joining Pacific Asset Management, Tommy spent two years at Goldman Sachs, where he worked as an Associate in the Debt Underwriting Group. At Goldman, he was involved in the underwriting and origination of relationship loans for consumer retail and healthcare clients. Prior to Goldman, Tommy was an Associate in KPMG s Advisory practice. Tommy holds a bachelor s degree in Economics from the University of California, Los Angeles, and is a Certified Public Accountant. 46
48 GIPS Strategy Strategy CS Leveraged Composite Size % of Total Firm Assets # of Portfolios Dispersion (Gross) (Net) Loan Index ($m) Firm Assets ($m) 1Q % 2, , % 2, , % 1, , % 1, , <5 N/A 1, , <5 N/A , <5 N/A , <5 N/A , <5 N/A , <5 N/A , <5 N/A COMPLIANCE STATEMENT. Pacific Asset Management claims compliance with the Global Investment Performance Standards (GIPS ) and has prepared and presented this report in compliance with the GIPS standards. Pacific Asset Management has been independently verified for the periods of 2007 through Verification assesses whether (i) the Firm has complied with all the composite construction requirements of the GIPS standards on a Firm-wide basis and (ii) the Firm s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. The Corporate (Bank) Loan Composite has been examined for the periods of 2007 through The verification and performance examination reports are available upon request. FIRM DEFINITION. Pacific Asset Management (the firm ) is a business division of Pacific Life Fund Advisors LLC (PLFA), an SEC registered investment adviser and a subsidiary of Pacific Life Insurance Company (Pacific Life). The firm, as defined for compliance with GIPS, includes assets managed by the investment professionals of Pacific Asset Management for Pacific Life and for clients of Pacific Asset Management. COMPOSITE DESCRIPTION. The Corporate (Bank) Loan Composite consists of fixed income portfolios comprised of primarily the bank debt of non investment grade companies managed with a view towards current income. The Corporate (Bank) Loan Composite includes all actual, fully discretionary bank loan portfolios managed by Pacific Asset Management that meet the following criteria: minimum asset level of $5 million and no material client restrictions. For comparison purposes, the Corporate Bank Loan Composite is measured against the Credit Suisse Leveraged Loan Index. BENCHMARK. The Credit Suisse Leveraged Loan Index is an index designed to mirror the investable universe of the U.S. dollar denominated leveraged loan market. Index returns assume reinvestment of all dividends and distributions, if any. The index is unmanaged, has no fees and is not available for investment. Comparisons of returns to a benchmark index may be of limited value for various reasons. For example, indices not presented herein may have performed better (or worse) than the one used in the comparisons. There may be differences in the types of assets contained in such investment vehicles and those in the index. The performance information is not audited and accordingly no assurance is given with respect to its accuracy. 47
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