investment manager summary...2020/06/24 · david weismiller, cfa, managing director (22/mba)...

10

Item No. 10: Annual Presentation by Pacific Asset Management (PAM) – Active U.S. Bank Loans Manager (June 24, 2020, Regular Retirement Board Meeting)

____________________________________________________________________________

INVESTMENT MANAGER SUMMARY

MANAGEMENT Firm Name Pacific Asset Management Manager Tenure with Fund 4.75 years Investment Strategy/Vehicle U.S. Bank Loans Contract Expiration 04/30/2021

ASSETS Total Firm AUM (as of 03/31/2020) $11.8 Billion Total Firm Assets in Strategy (as of 03/31/2020) $3.5 Billion Total Assets Managed for the Plan (as of 04/30/2020)

RP - $146.6 Million HP - $24.0 Million

PERFORMANCE

as of 04/30/2020 1-Year 2-Year 3-Year Inception* PAM U.S. Bank Loans (gross) -3.72% -0.02% 1.74% 3.40% PAM U.S. Bank Loans (est. net) -4.02% -0.34% 1.42% 3.07% Credit Suisse Leveraged Loan -7.10% -1.49% 0.53% 2.16% Difference (net) 3.08% 1.15% 0.89% 0.91% *Performance inception date of 09/01/15

FEES Current Fee 0.32% Flat Rate

WATCH STATUS Not Applicable

PREVIOUSLY DISCLOSED LITIGATION

Not Applicable

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 2020

FOR INSTITUTIONAL INVESTOR USE ONLY

TA B L E OF C ONTENTS

L O S A N G E L E S W A T E R A N D 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

Section 1 Pacific Asset Management

Section 2 Investment Philosophy & Process

Section 3 Loan Market Overview

Section 4 Portfolio Overview

Section 5 Appendix

Fee Schedule Investment ProfessionalsGIPS DisclosuresPortfolio HoldingsImportant Disclosures

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, 2014.

• Pacific Asset Management has specialized in Bank Loans since our founding, with investment professionals managing loan investments for

multiple decades.

• Our philosophy is to participate to the upside while mitigating downside risk through a selective approach focused on the larger 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, standard deviation, and performance during 2008 and 2015.

• 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

Presenter Bios

• JP Leasure, Senior Managing Director

JP is a Senior Managing Director for Pacific Asset Management and is a Co-Portfolio Manager for the Corporate Loan Strategy and CLO Strategy. In addition, JP is a member of Pacific Asset Management’s Executive Committee. In addition, JP covers the REIT 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 23 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.

• 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 14 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.

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

4

Section 1

P A C IF IC A S S ET MA NA GEMENT

Pacific Asset Management

• 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 (Pacific Life).

• Pacific Asset Management is located in Newport Beach, CA. Pacific Mutual Holding

Company, the ultimate parent of the Pacific Life group of companies, has

approximately $171 billion in company assets as of December 31, 2019.

• Our portfolio managers possess an average of 22 years of investment experience

with members that have worked together for over 13 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.

• 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.*

I N T R O D U C T I O N

* PIMCO and Montauk Triguard are no longer affiliated with Pacific Life

N E W P O R T B E A C H , C A

6


7

Information in parentheses indicates number of years experience/highest academic degree obtained.1. Represents dedicated support from Pacific Global Asset Management LLC.

Portfolio Management

JP Leasure, Sr. Managing Director (23/MBA)Michael Marzouk, CFA, Managing Director (22/MBA)Bob Boyd, Managing Director (21/MBA)David Weismiller, CFA, Managing Director (22/MBA) Ying Qiu, CFA, Managing Director (20/MBA)Brian Robertson, CFA, Managing Director (16/BA)

Business Development / Client Service

Dominic Nolan, CFA, Sr. Managing Director (20/MBA)Michael Spitler, CFA, Senior Director (16/BS)Scott Goldberg, Senior Director (16/MBA)Matthew Cecil, Director (14/MBA)Megan Hyland, Senior Associate (4/BS)Claudia Flores, Associate (5/BS)

Operations1

Mark Falk, Chief Operating Officer (37/BA)Joshua Schwab, CFA, CPA, Operating Officer (15/BS)Chandra Manibog, Operations Manager (21/MBA)Saridyn Yip, Operations Analyst (14/BS)Joanne Chyun, CPA, Finance Director (15/MA) Kristie Sykes, CPA, Finance Manager (9/BA)Jessica Kim, Finance (7/BS)Jack Baumann, Infrastructure Director (37/MBA)Monika Hartz, Project Manager (14/MBA)Virtus Partners, LLC, Middle/Back Office

Compliance / Legal1

Carol Rumsey, Chief Compliance Officer (18/MBA)James Sandoval, Compliance Analyst (9/BA)Kiaton Ly, Compliance Manager (18/BA)Melissa Fejdasz, Legal Analyst (22/BA)JG Lallande, Counsel (21/JD)Leslie MacDonald, Counsel (16/JD)

Dominic Nolan, Executive CommitteeJP Leasure, Executive Committee

Trading

Michael Lonia, Managing Director (16/MBA)Michael Marzouk, CFA, Managing Director (22/MBA)Valerie Chang, Trade Assistant (3/BA)

Risk Management

Andrew Ross, CFA, FRM, CAIA, Sr. Director (14/MBA)Ravneet Boparai, Manager (21/MBA) 1

Lily Bowles, FSA, ESG Product Manager (7/MSc) 1

Research Analysts

Bob Boyd, Managing Director, Head of Research (21/MBA) ConsumerJP Leasure, Sr. Managing Director (23/MBA) REITsMichael Marzouk, CFA, Managing Director (22/MBA) WirelinesDavid Weismiller, CFA, Managing Director (22/MBA) Utilities & EnergyBrian Robertson, CFA, Managing Director (16/BA) Commodities & ConstructionYing Qiu, CFA, Managing Director (20/MBA) Structured ProductsMichael Lonia, Managing Director (16/MBA) IndustrialsMichael Long, Managing Director (35/MBA) Consumer

Rex Olson, CFA, Sr. Managing Director (32/MBA) Financials & MediaAndrew Ross, CFA, FRM, CAIA, Senior Director (14/MBA) Structured ProductsShalini Viswanathan, CFA, Analyst (12/MBA) Healthcare & TechnologyJohn Brueggemann, Analyst (7/BS) Industrials & EnergyTommy Zhang, CFA, Analyst (7/BA) Commodities & ConstructionRonald Rangel, CFA, Analyst (3/BA) ConsumerEdith Vargas, Analyst (2/BA) Generalist


8

• Focused on corporate debt

• Primary disciplines are Bank Loans, High Yield, Investment Grade, and Structured Products

• Bank Loan Strategy is longest tenured and largest discipline

• Diversified among institutional clients, mutual funds, and sub-advisory

S T R A T E G I E S

1 Contains three bank loan composites; 2 Contains five short/ultra short duration composites; 3 Contains three high yield composites; 4 Contains five investment grade composites; 5 Contains two strategic credit composites; 6 Separate Accounts (“SA”); Commingled Private Fund (“CF”); Registered Mutual Fund (“MF”); Collateralized Loan Obligation (“CLO”). 7 Excludes Money Market Funds previously managed by Pacific Asset Management.

Mutual Funds$3,989m

By Type

01,0002,0003,0004,0005,0006,0007,0008,0009,000

10,00011,00012,00013,00014,000

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

20

17

20

18

20

19

20

20

Bank Loan

High Yield

Investment Grade

Structured Products

Firm AUM ($m) by discipline7Sub-Advisory$3,110m

Structured Products$1,424m

Institutional$3,249m

Strategy AUM ($m) Vehicle Availability6

Bank Loan Strategies1 3,514 SA, CF, MF

Short Duration Strategies2 2,310 SA, MF

Core Plus Bond Strategy 1,446 SA, CF, CLO

Structured Products 1,424 SA, MF

High Yield Bond Strategies3 1,311 SA, MF

Investment Grade Strategies4 1,116 SA

Strategic Credit Strategies5 651 SA, MF

Total AUM 11,772As of March 31, 2020


RELATIONSHIP MANAGEMENT TEAM

Dominic Nolan, CFA

Senior Managing Director

Direct Line: (949) 219-1656

[email protected]

Mathew Cecil

Director

Direct Line: (949) 219-7034

[email protected]

CLIENT SERVICES TEAM

Mathew Cecil

Director

Direct Line: (949) 219-7034

[email protected]

Michael Spitler, CFA

Senior Director

Direct Line: (949) 219-3729

[email protected]

N E W P O R T B E A C H , C A

840 Newport Center Drive ● Newport Beach, CA 92660

9

Section 2

INV ES TMENT P H IL OS OP H Y & P ROC ES S

Investment Objectives, Strategy, Process

Investment Objective

The investment objective seeks to outperform the Credit Suisse Leveraged Loan Index by investing primarily in bank loan instruments of non-investment

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 80-150 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

high conviction investments, defined as those that meet the requirements involved in the screening process combined with a high degree of comfort,

understanding, and margin of safety with the business, credit fundamentals, financials, management team, industry dynamics, sponsorship, and downside

risk.

B A N K L O A N S T R AT E G Y

11

Selective Construction

• Building portfolios utilizing selective construction allows us to articulate our views on a security

Investment Philosophy

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

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

12

Investment Process


Our Investment Process – Overview

• We assess the economic climate to identify potential headwinds and tailwinds. This assessment is used as a framework to determine portfolio risk positioning.Market Assessment

• We identify potential economic impacts on various sectors and consider secular trends in the industries. These considerations drive our sector allocation. Sector Allocation

• We utilize a team approach with close communication between Portfolio Management and Research to promote idea generation. Screen

• 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.

Fundamental Analysis

• 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.

Investment Decision

• We consistently monitor the portfolio and utilize performance attribution analysis as a quantitative check on the results of our decision making process.Monitor

13

Loan Selection Process

B A N K L O A N

U N I V E R S E( 1 , 4 0 0

I S S U E R S )

• Loan Facilities greater than $300mm

• 90% of index market value

• EBITDA greater than $100mm

Screen Fundamental Analysis Investment Decision

• Credit Analysis

• Leverage

• Free Cash flow

• Competitive Position

• Industry Dynamics

• Management

• Loan Structure

• Guarantor Group

• Collateral

• Financial Covenants

• Capital Structure

• Enterprise Value

• 1st Lien Coverage

• Junior Bonds

• Equity

• Loan Economics

• Price

• Coupon

• Yield

• Relative Value

• Catalyst

• Fundamentals

• Amend/Extend Potential

• Capital Markets Take-out

Portfolio 80-150 Loans

Our Selection Process


14

Risk Management

A R E P E ATA B L E P R O C E S S

• Review guidelines and limits to ensure portfolio compliance

• Monitor for OFAC transactions

• Monitor for Restricted Issuers

Pre-Trade Review

• Compliance and Risk Managers work jointly with PMs

• Review / address post-trade exceptions

• Review manual rules

• Update Restricted Issuers List

• Ensure compliance with guidelines

Post-Trade Check

• Automated Factset Reporting

• Duration

• Yield

• OAS Levels

• Portfolio Characteristics

• Holdings

Daily Monitoring

• Automated Factset Reporting

• Portfolio Characteristic monitoring

• OAS monitoring

• Sector Analysis

Weekly/Monthly Reporting

• Portfolio Review

• Risk Rating Review

• Issuer Concentrations

• Sector OW/UW

• Ratings Dispersion

• OAS monitoring

• Portfolio Characteristics Monitoring

• Performance Ranking vs. Bench and Peers

• Positioning

• Manager Outlook vs. Current Portfolio Positioning

Quarterly Review

15

W P E R 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 *

WPERP U.S. Bank Loans Guidelines

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, 2014

16

Section 3

L OA N MA RKET OV ERV IEW

Bank Loan Market Update

B A N K L O A N M A R K E T U P D A T E• The Credit Suisse Leveraged Loan Index (CSLLI) returned -13.19% in 1Q20. The S&P/LSTA Loan Index returned -13.05% with the S&P/LSTA Performing Loan

Index returning -13.53%.

• While still negative on a total return basis, performance by credit quality was led by higher rated credits as BB, B, and CCC rated issuers returned -9.90%, -14.03%, and -21.22%, respectively. Similarly in 2019, higher credit quality assets strongly outperformed lower credit quality with BB, B, and CCC rated issuers returning 9.09%, 8.39%, and 2.70%, respectively.

• Performing loans (above $90 dollar price) returned -11.87% in 1Q20, while lower priced loans (up to and including $90 dollar price) returned -27.71%. Additionally, issue/facility sizes greater than $1bn returned -11.98%, while issuers below $300m returned -13.66% in 1Q20.

• Year to date, the loan asset class has experienced approximately $16bn of retail outflows. This is in addition to the nearly $37bn of retail outflows suffered in 2019. Following robust CLO issuance of $118bn in 2019, $17bn of CLO’s were issued in 1Q2020.

• The CSLLI entered the year with an average price $96.51. As a result of the aggregated effects of the novel Coronavirus pandemic, a historic energy sell-off and global economic pressures, the index experienced a significant price decline ending the 1st quarter at $82.70. During the 1st quarter, the index traded as low as a $76 in mid-March. However (assuming further price stabilization and economic revitalization), the asset class provides an attractive offering as the combined effects of coupon clipping and potential price appreciation may incentivize long-term investors.

• Per JPM, the actual par-weighted loan default rate ended the quarter at 2.21%. This reflects an increase from the start of the year; however, it remains below the long-term average default rate of 3.01%, which is based on historical annual default rates back to 1998. Notable is that defaults are expected to increase in 2020 (primarily focused on Energy and novel Coronavirus related exposures).

• Given the elevated implied default projections, we do believe a lot of bad news has already been priced in.

Source: JPM, Bloomberg Barclays, Credit Suisse as of March 31, 2020

Bond Indices 2017 2018 1Q19 2Q19 3Q19 4Q19 2019 1Q20

Bloomberg Barclays U.S. Treasury Index 2.31 0.86 2.11 3.01 2.40 -0.79 6.86 8.20

Bloomberg Barclays U.S. Aggregate Index 3.54 0.01 2.94 3.08 2.27 0.18 8.72 3.15

Bloomberg Barclays U.S. MBS Index 2.47 0.99 2.17 1.96 1.37 0.71 6.35 2.82

Bloomberg Barclays U.S. Corporate Index 6.42 -2.50 5.14 4.48 3.05 1.18 14.54 -3.63

Bloomberg Barclays U.S. High Yield Index 7.50 -2.10 7.26 2.50 1.33 2.61 14.32 -12.68

Credit Suisse Leveraged Loan Index 4.25 1.14 3.78 1.58 0.92 1.68 8.17 -13.19

18

Bank Loan Market Snapshot

H I S T O R I C A L C O N T E X T

Source: LCD, S&P LSTA Leveraged Loan Index 1Q20“Credit cycle chart” – Growth of $1 in the S&P/LSTA Loan Index

19

$0.50

$0.75

$1.00

$1.25

$1.50

$1.75

$2.00

$2.25

$2.50

2002 2006 2010 2014 2018

End of a Credit Cycle?

2008- GFC- Global volume falls to 30% of 2007 ($237bn)- US year end default rate rises to 4.35%

2009- $98bn Global volume- US default rate peaks at 8.2%

2010- Greek bailout- Dodd-Frank enaction- Ending of TARP

2007-$754bn global volume- US default rate 0.26%

2011-$437bn global volume- US default rate ~1.2%- US sovereign DG

2015-GREXIT

2016- BREXIT

2017-$787bn global volume- US default rate 1.8%- DIJA @ 25k

2019- US & China trade wars- 3 Fed rate cuts- US default rate 1.4%.

2020- COVID-19

-14% -12% -10% -8% -6% -4% -2% 0%

10/31/2008

3/31/2020

11/28/2008

9/30/2008

8/31/2011

12/31/2008

7/31/2007

1/31/2008

10 Worst CSLLI Monthly Returns

07/08: GFC2011: US debt DG18/19: US China trade wars2020: COVID-19/Oil prices

$50

$60

$70

$80

$90

$100

2008 2010 2012 2014 2016 2018 2020

CSLLI Average Price

Dec 2008: $61.64

Mar 2020: $82.70

Feb 2016:$89.24

• The CSLLI returned -13.19% in

1Q20.

• The month of March

represents the worst monthly

performance of the asset class

since 2008 and the second

worst month in the history of

the index.

• The YTD performance is in

stark contrast to the index’s

annual return in 2019 of

8.17%.

• As a result of the novel

Coronavirus impact and the

capitulation of the Energy

sector, the average price of the

index ended the period at

$82.70 from $96.51 at the

beginning of the quarter.


R E T U R N S , S U P P L Y , F L O W S , A N D Y I E L D S

Source: Credit Suisse, JPM, LCD, as of 1Q20

• After a strong total return in

2019, the dramatic impact of

the novel Coronavirus and

economic slowing was seen in

March 2020.

• After a robust January, the new

issuance loan market dried up

with limited activity in

February and March.

• Throughout 2019 and

continuing into 2020, the

accommodative actions of the

Fed led investors to increase

allocations toward fixed rate

securities over floating rate.

• Retail outflows of the asset

class totaled -$16bn in 1Q20,

following nearly $37bn out in

2019.

• Over 300bps higher from the

start of the year, the 4yr

effective yield of the CSLL

Index offers an attractive

9.75%. 5.0

6.0

7.0

8.0

9.0

10.0

Jun-16 Mar-17 Dec-17 Sep-18 Jun-19 Mar-20

CS Leveraged Loan Index Effective Yield (%) (4-Year)

2.30%

1.57%

-0.12%

1.59%

-0.23%

0.22%0.78%

-0.28%

0.42%

-0.49%

0.55%

1.61%

0.53%-1.35%

-13.19%

Jan

-19

Feb

-19

Mar

-19

Ap

r-1

9

May

-19

Jun

-19

Jul-

19

Au

g-1

9

Sep

-19

Oct

-19

No

v-1

9

Dec

-19

Jan

-20

Feb

-20

Mar

-20

2019-2020 CSLL Monthly Return (%)

2018 = +8.17%2019 = -13.19%

20

-$15B

-$13B

-$11B

-$9B

-$7B

-$5B

-$3B

-$1B

$1B

$3B

$5B

Mar2019

May2019

Jul2019

Sep2019

Nov2019

Jan2020

Mar2020

Loan Fund Flows

$0B

$10B

$20B

$30B

$40B

$50B

$60B

$70B

$80B

$90B

$100B

Jun-16 Mar-17 Dec-17 Sep-18 Jun-19 Mar-20

Monthly Loan Issuance

Institutional

Pro rata


Source: Credit Suisse, LCD, as of March 23, 2020 & 1Q20

I N D E X B R E A K D O W N

• All loan sectors experienced a

negative total return in 1Q20.

• The best performing sectors

included Food & Drug (-3.45%)

and Financials (-9.56%).

• Sectors with commodity and

novel Coronavirus exposure

were especially challenged as

Energy (-34.91%),

Metals/Minerals (-20.85%), and

Retail (-19.31%) were leading

laggards.

• Higher quality rated loans

(while still negative)

outperformed during 1Q20.

BB credits returned -9.90%,

followed by B credits returning

-14.03% and CCCs returning

-21.22%.

• As 2020 progressed, distressed

volumes within the asset class

rose.

• Larger facility sizes performed

better in both 2019 & 1Q20.

21

Facility/Issue Size TR(%)

1Q19 2Q19 3Q19 4Q19 2019 1Q20

$0-100mm 3.20 2.50 2.75 2.12 10.99 -9.81

$101-200mm 2.21 1.06 0.98 0.34 4.66 -13.62

$201-300mm 2.68 1.84 0.55 0.15 5.32 -13.73

$301mm and over 3.90 1.58 0.94 1.80 8.45 -13.16

$501mm and over 4.10 1.59 0.94 1.96 8.83 -12.88

$1,001mm and over 4.30 1.64 1.11 2.20 9.54 -11.98

CS Leveraged Loan Index

3.78 1.58 0.92 1.68 8.17 -13.19

-35%-30%-25%-20%-15%-10%

-5%0%5%

10%

FOO

D &

DR

UG

FIN

AN

CIA

L

FOR

. PR

OD

/CO

NT.

HEA

LTH

CA

RE

MED

IA/T

ELEC

OM

FOO

D/T

OB

AC

CO IT

CH

EMIC

ALS

HO

USI

NG

UTI

LITY

SER

VIC

E

CSL

LI

TRA

NSP

OR

TATI

ON

AER

OSP

AC

E

CO

NS.

DU

RA

BLE

S

MA

NU

FAC

TUR

ING

GA

MIN

G/L

EISU

RE

CO

NS.

NO

N-D

UR

AB

LES

RET

AIL

MET

ALS

/MIN

ERA

LS

ENER

GY

CSLLI 1Q20 Sector Breakout

1Q 2020 Index Weight

-35%

-30%

-25%

-20%

-15%

-10%

-5%

0%

5%

Jan-20 Feb-20 Mar-20

CSLLI 1Q20 Index Credit Quality

BB

B

CCC

NR

Distressed

0%

20%

40%

60%

80%

100%

$0B

$200B

$400B

$600B

$800B

$1000B

$1200B

$1400B

Mar

-08

Feb

-09

Jan

-10

Dec

-10

No

v-1

1

Oct

-12

Sep

-13

Au

g-1

4

Jul-

15

Jun

-16

May

-17

Ap

r-1

8

Mar

-19

Feb

-20

S&P LSTA LLI Performing Loan Breakdown

Distress amount Non-distress amount Distress ratio (rhs)

Distressed volume spikes to $672bn

Relative Value

Source: Credit Suisse, LCD, Federal Reserve, as of 1Q20

S P R E A D S , C O U P O N S A N D L I B O R

• Following four rate increases

by the the Federal Reserve in

2018, the Fed reversed course

in 2019 and adopted a more

dovish stance.

• In 2019, the Fed reduced the

Federal Funds Rate three

times, ending the year with a

range of 1.50% - 1.75%.

• In an off-cycle meeting in

March 2020, the Fed reduced

rates to a near zero bound

range.

• Additionally, the Fed enacted

purchasing programs in an

effort to increase

market/corporate liquidity and

stem the damage due to the

novel Coronavirus impact.

0

50

100

150

200

250

300

350

400

450

20

03

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

20

17

20

18

20

19

LTM

1Q

20

Avg. Spread Difference B/W 1st & 2nd Lien

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Mar-18 Sep-18 Mar-19 Sep-19 Mar-20

Fed Funds Rate

22

0%

20%

40%

60%

80%

100%

20

03

(3

27

)

20

04

(4

65

)

20

05

(4

64

)

20

06

(5

14

)

20

07

(6

29

)

20

08

(1

22

)

20

09

(1

18

)

20

10

(3

23

)

20

11

(4

48

)

20

12

(6

50

)

20

13

(9

24

)

20

14

(6

97

)

20

15

(4

60

)

20

16

(5

83

)

20

17

(9

83

)

20

18

(6

28

)

20

19

(4

46

)

1Q

20

(1

12

)

Distribution of Weighted Inst Spreads

Less Than L+200 L+200-249.9 L+250-299.9

L+300-349.5 L+350 or More

300

400

500

600

700

800

900

Mar-19 May-19 Jul-19 Sep-19 Nov-19 Jan-20 Mar-20

CSLL 4yr Discount Margin CSLL Coupon

Relative Value

Source: Barclays, Credit Suisse, S&P/LSTA Leveraged Loan Index, S&P 500, as of 1Q20

• After tightening in the first

quarter of 2019, loan spreads

remained relatively range

bound until mid-way thru

1Q20.

• Beginning in the end of

February, loan spreads

widened by nearly 400bps

reacting to economic stresses

caused by the novel

Coronavirus pandemic, the

massive reduction in energy

prices, and waning consumer

sentiment.

• Fixed vs floating yields now

offer similar yields. The 4yr

effective yield of loans is 9.75%

versus a 9.44% YTW for high

yield bonds.

L O A N S V E R S U S O T H E R A S S E T C L A S S E S

5.0

5.5

6.0

6.5

7.0

7.5

8.0

8.5

9.0

9.5

10.0

Mar-17 Sep-17 Mar-18 Sep-18 Mar-19 Sep-19 Mar-20

HY Fixed vs Floating Yields

Barclays U.S. HY Index - YTW (%)

CSLL Index Eff. Yield (%) (4-Yr)

High Yield YTW: 9.44%CSLL 4 Yr Yield: 9.75%

23

0

50

100

150

200

250

300

350

400

200

300

400

500

600

700

800

900

1,000

1,100

1,200

Jan-20 Feb-20 Mar-20

1Q20 Spread Movement

U.S. Corp HY - OASCSLLI 4yr DMU.S. Corp IG - OAS (rhs)

$600

$700

$800

$900

$1,000

$1,100

$1,200

1/1 1/10 1/19 1/28 2/6 2/15 2/24 3/4 3/13 3/22 3/31

Growth of $1,000 YTD 2020

Loans S&P 500High Yield TreasuriesHigh Grade

0%

20%

40%

60%

80%

100%

20

02

20

03

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

20

17

20

18

20

19

1Q

20

Large Corp Transactions – Debt/EBITDA >4x

Debt/EBITDA of 4x or Higher Debt/EBITDA of 5x or Higher

Fundamentals

Large Corporate loans classified as Issuers with EBTDA greater than $50mmSource: S&P Global Market Intelligence 1Q20

• Leverage levels of large

corporate loans (defined as

loans with an EBITDA of

greater than $50mm) saw a

marginal decrease in 1Q20.

• Even in light of a

quarter/quarter decline, credit

selection remains vital to

capital preservation and

possible alpha generation.

L E V E R A G E A N D C O N T I N U E D E B I T D A A D J U S T M E N T S

4.42

4.93

3.684.083.91

4.384.564.66

4.894.71

4.96 4.995.22 5.23 4.95

0.00

1.00

2.00

3.00

4.00

5.00

6.00

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

20

17

20

18

20

19

1Q

20

Avg. Debt Multiples of Large Corp Loans

FLD/EBITDA SLD/EBITDA

Other Sr Debt/EBITDA Sub Debt/EBITDA

0%

10%

20%

30%

40%

50%

60%

20

02

20

03

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

20

17

20

18

20

19

1Q

20

Transactions with EBITDA Adjustments

M&A LBO All Deals

0%

5%

10%

15%

20%

25%

30%

20

02

20

03

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

20

17

20

18

20

19

1Q

20

Avg. Adjustments to Debt/EBITDA Ratio

M&A LBO All Deals

24

Fundamentals

Large Corporate loans classified as Issuers with EBTDA greater than $50mmSource: S&P Global Market Intelligence 1Q20, JP Morgan 1Q20

A N E V O L V I N G M A R K E T , B U T D E F A U L T S A R E R I S I N G

8%

29%

4%9%

5%

26%

33%

57%63%

69%73%75%

85%86%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

20

17

20

18

20

19

Cov-Lite % of Instl Loans• Cov-lite loans have been

dominant for several years and

are likely to remain in the asset

class going forward.

• For loans, the actual par

weighted default rate ended

the period at 2.21% (per JPM).

• The actual high yield bond

default rated ended the period

at 3.63%.

• Implied defaults are

significantly higher, as they are

pricing in significant amounts

of future market/economic

distress.

• While the default environment

has been low, defaults and

downgrades are expected to

increase as a result of the

novel Coronavirus.

• JPM is forecasting a 5% loan

default rate for 2020.

25

-20%

0%

20%

40%

60%

Mar-06 Mar-08 Mar-10 Mar-12 Mar-14 Mar-16 Mar-18 Mar-20

Default Rates – Actual vs Implied

HY Bond Implied HY Bond Actual Loan Implied Loan Actual

Actual Loan Default Rate: 2.21%Implied Loan Default Rate: 17.94%

Actual HY Bond Default Rate: 3.63%Implied HY Bond Default Rate: 10.29%

Date Up Down Ratio Up % Down %

Jan-19 121 253 2.09 9.34% 19.54%

Feb-19 120 251 2.09 9.12% 19.09%

Mar-19 122 256 2.10 9.15% 19.19%

Apr-19 109 247 2.27 8.06% 18.27%

May-19 116 258 2.22 8.48% 18.86%

Jun-19 122 273 2.24 8.82% 19.74%

Jul-19 114 280 2.46 8.16% 20.05%

Aug-19 105 283 2.70 7.47% 20.12%

Sep-19 109 321 2.94 7.70% 22.67%

Oct-19 111 338 3.05 7.82% 23.80%

Nov-19 111 358 3.23 7.80% 25.16%

Dec-19 115 364 3.17 8.07% 25.55%

Jan-20 110 369 3.35 7.72% 25.89%

Feb-20 114 387 3.39 8.01% 27.19%

Mar-20 103 472 4.58 7.24% 33.20%

Up/Downgrade Rolling 12mths

Technicals

Large Corporate loans classified as Issuers with EBITDA greater than $50mmSource: S&P Global Market Intelligence 1Q20

• As a portion of the market, the

CLO buyer continues to

increase its lion share as the

main market buyer at over

70%.

• The retail investor (via loan

mutual funds) currently

accounts for approximately

~15% of market demand. This

is down from over 20% over

the last several years.

• Loan mutual fund

representation has decreased

as outflows have continued

from retail loan funds.

• Loan mutual fund & ETF assets

under management (market

value) have continued to

decline since the end of 2018.

L O A N M A R K E T M A K E U P

69.60%

1.30%

7.30%

6.10%

15.70%

Inst. Market by Type - 2019

CLO

Finance Co.

Hedge, Distressed & High-Yield Funds

Insurance Co.

Loan Mutual Funds

0

20

40

60

80

100

120

140

160

180

200

Feb-16 Jun-17 Oct-18 Feb-20

Loan Funds AUM

26

0%10%20%30%40%50%60%70%80%90%

100%

Primary Investor Market

US Banks Non-US Banks

Securities Firm Institutional Investor

Finance Co.

34.00%

18.00%

23.00%

13.00%

0.00%11.00%

2019 New Issue US Loan Volume by Purpose

Refinancing

LBO

Acquisition

Corp. Purpose

Dividend Recap

Other

Technicals

• 2020 gross bank loan issuance

was $199bn with nearly all

being attributable to

repricing/paydowns.

• As a result of an

accommodative Fed, retail

loan demand weakened in

both 2019 and thus far in

2020.

• 2019 CLO new issuance ended

at ~$118bn. So far in 2020,

CLO issuance stands at

~$17bn.

• 2020 CLO issuance is expected

to be significantly lower than

2019.

• In response to economic stress

and liquidity concerns, many

corporations are accessing

their lines of credit to create

capital/cash buffer.

I S S U A N C E

Source: LCD, JPM as of 1Q20

388.3

72.438.3

154.5

229.3 300.5

669.9

466.9

325.8

485.4

973.9

703.7

391.6

199.0

149.148.9 88.1

142.5202.1

236.9

501.2

278.7238.5

398.3

785.1

494.9

309.8

190.2239.3

23.4

-49.8

12.0 27.263.5

168.8 188.2

87.3 87.1

188.8 208.8

81.88.8

-200

0

200

400

600

800

1,000

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020YTD

Bank Loan New Issuance Paydowns / Repricings Net New Issuance

27

9.06%

1.82%

7.79%

27.29%

44.87%

9.17%

31.32%

5.69%

19.57%

24.20%

15.66%

3.56%

0% 10% 20% 30% 40% 50%

NR

CCC

B

BB

BBB

A

US Revolving Credit Drawdowns since March 5, 2020

Count: 282 Volume: $175.4B

-

20

40

60

80

100

120

140

2013 2014 2015 2016 2017 2018 2019 2020

US CLO Issuance

1Q 2Q 3Q 4Q

Section 4

P ORTF OL IO OV ERV IEW

I N V E S T M E N T O B J E C T I V E

The investment objective for the 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 80 – 120 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, the corporate bank loan strategy’s default rate is 0.40% versus the Moody Default rate of 3.23% during the same time period.1

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

WPERP

1 Corporate Bank Loan Strategy defaults are benchmarked against the Moody’s bank loan issuer universe as of March 31, 2020

29

YTD 2020 Review

P O R T F O L I O O V E R V I E W

• Year to date1 the portfolio(s) returned -6.35% net of fees versus the benchmark return of -9.46%. Since the inception2 of the portfolio, the portfolio has returned 3.26% net of fees versus the benchmark return of 2.16%.

• Thus far in 2020, index credit quality performance has been led by the outperformance of higher credit quality loans with BB credits returning -6.64%; B credits returning -9.55%; CCC credits returning -19.05%; and distressed credits returning -43.97%. The floating rate loan asset class (as well as nearly all asset classes) came under immense pressure from the novel coronavirus and the economic impacts in 2020.

• Year to date1, distressed issues (loans quoted up to and including a $90 dollar price) underperformed, returning -23.43% vs -10.41% for loanspriced over $90.

• Due to our focus on performing loans relative to the benchmark, we remain underweight distressed names and focused on companies with solid fundamentals and those with less exposure to COVID-19 related sectors.

• We are overweight the Financial, Service, Housing, and Manufacturing sectors. We are underweight the Media/Telecom, Utility, Chemical and Retail sectors. Notably, the portfolio has no exposure to the Energy or Metals/Mining sectors.

• There have been no defaults in the portfolio.

1 Year to Date as of April 30, 2020; 2 Portfolio inception was September 1, 2015; CSLL = Credit Suisse Leveraged Loan Index

30

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

Sep-15 Feb-16 Jul-16 Dec-16 May-17 Oct-17 Mar-18 Aug-18 Jan-19 Jun-19 Nov-19 Apr-20

Performance

Net CSLL Index

Performance

W P E R P L O A N A C C O U N T R E T U R N S A S O F A P R I L 3 0 , 2 0 2 0

12015 performance beginning at inception of account September 1, 2015; 2Inception data annualized

31

WPERP Retirement Account Performance 20151 2016 2017 2018 2019 2020 YTD Inception2

WPERP Retirement Loan Account (Gross) (0.23) 9.08 4.95 1.01 9.00 (6.24) 3.59

WPERP Retirement Loan Account (Net) (0.33) 8.74 4.61 0.68 8.65 (6.35) 3.26

Credit Suisse Leveraged Loan Index (2.62) 9.88 4.25 1.14 8.17 (9.46) 2.16

Excess Return (Net) 2.29 (1.14) 0.36 (0.46) 0.48 3.12 1.10

WPERP Health Account Performance 20151 2016 2017 2018 2019 2020 YTD Inception2

WPERP Health Loan Account (Gross) (0.23) 9.07 4.92 0.98 8.98 (6.26) 3.57

WPERP Health Loan Account (Net) (0.33) 8.72 4.59 0.66 8.63 (6.36) 3.24

Credit Suisse Leveraged Loan Index (2.62) 9.88 4.25 1.14 8.17 (9.46) 2.16

Excess Return (Net) 2.29 (1.16) 0.34 (0.49) 0.46 3.10 1.08

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 A S O F A P R I L 3 0 , 2 0 2 0

Retirement Account

Initial Contribution: (08/2015) $125,000,000

Contributions: 0

Total Contributions: $125,000,000

Withdrawals: (0)

Income Stripping: (0)

Total Withdrawals: (0)

Net Contribution: $125,000,000

Return: $22,370,674.66

Market Value: (as of 4/30/2020) $147,370,674.66

Health Account

Initial Contribution: (08/2015) $20,500,000

Contributions: 0

Total Contributions: $20,500,000

Withdrawals: (0)

Income Stripping: (0)

Total Withdrawals: (0)

Net Contribution: $20,500,000

Return: $3,646,185.95

Market Value: (as of 4/30/2020) $24,146,185.95

32

• Portfolio risk is underweight versus the index as measured by effective yield (6.15% vs 7.90%).

• Our focus remains on the performing segment of the bank loan market resulting in the average price of the portfolio being $93.06 as of April 30, 2020 versus an average price of $85.69 for the index.

Portfolio Characteristics

Characteristics Portfolio1 Index2

Effective Duration 0.32 0.25

Average Credit Quality B+ B

Effective Yield (%) 6.15 7.90

Number of Issuers 130 1,385

Weighted Average Price ($) 93.06 85.69

Weighted Average Coupon (%) 4.08 4.81

Convexity 0.24 0.22

1 Data provided via Factset as of April 30, 2020; 2 Credit Suisse Leveraged Loan Index as of April 30, 2020

Credit Quality Portfolio (%)1 Index (%)2

BBB or above 4.50 6.17

BB 22.99 28.68

B 64.28 57.24

CCC 5.55 4.93

CC & Below 0.00 0.43

Not Rated 0.00 2.55

Cash 2.67 0.00

Asset Allocation Portfolio (%)1 Index (%)2

Cash 2.67 0.00

Bank Loans 94.60 100.00

- First Lien 89.99 96.94

- Second Lien 4.61 3.06

High Yield Bonds 2.72 0.00

- Secured 1.66 0.00

- Unsecured 1.06 0.00

33

C H A R A C T E R I S T I C S A S O F A P R I L 3 0 , 2 0 2 0

Portfolio Holdings

Top 10 Holdings % of Portfolio1 % of Index2

Advanced Disposal Services, Inc. Term Loan 10-Nov-2023 2.21 0.13

Reynolds Group Holdings, Inc. Term Loan 05-Feb-2023 1.85 0.29

Jaguar Holding Co. Ii Term Loan 18-Aug-2022 1.78 0.28

Tempo Acquisition Llc Term Loan 01-May-2024 1.75 0.25

Dun & Bradstreet Corporation Term Loan 06-Feb-2026 1.73 0.22

Epicor Software Corporation Term Loan 01-Jun-2022 1.61 0.16

Stars Group Inc. Term Loan 10-Jul-2025 1.59 0.27

Bausch Health Companies Inc. Term Loan 01-Jun-2025 1.57 0.34

Sophia Lp Term Loan 30-Sep-2022 1.56 0.14

Refinitiv Us Holdings, Inc. Term Loan 01-Oct-2025 1.56 0.58

Top 10 Sectors (%) % of Portfolio1 % of Index2

Service 15.58 11.38

Information Technology 12.70 12.88

Financial 11.51 7.26

Healthcare 10.55 12.86

Gaming/Leisure 7.64 5.11

Manufacturing 7.09 4.07

Media/Telecom 6.63 14.77

Housing 6.55 2.93

Forest Products/Containers 4.79 2.89

Aerospace 4.64 2.14

T O P P O R T F O L I O H O L D I N G S A S O F A P R I L 3 0 , 2 0 2 0

34

1 Data provided via Factset as of April 30, 2020; 2 Credit Suisse Leveraged Loan Index as of April 30, 2020

Portfolio Analysis

1 Data as of April 30, 2019 - April 30, 2020; 2Data provided via Virtus as of April 30, 2019 – April 30, 2020; 3Credit Suisse Leveraged Loan Index; 4 As of April 30, 2020; 5Data provided via Factset as of April 30, 2020

Years to Maturity Schedule5 Portfolio (%) 4 Index (%) 4

Years to Maturity: 10 – 15 0.00 0.05




Years to Maturity: Less than 1 2.67 1.10

Top 10 Returns by Sector1 Contribution to Return (%) 2

Information Technology 0.14

Cash 0.10

Forest Prod/Containers 0.09

Food And Drug 0.03

Utility 0.02

Metals/Minerals 0.02

Media/Telecom 0.02

Consumer Non-Durables 0.01

Chemicals 0.01

Energy -0.01

Top 5 Contributors1 Contribution to Return(%)2

T-Mobile Us, Inc. 0.13

Nva Holdings, Inc. 0.10

Anschutz Corp. 0.08

Hindalco Industries Limited 0.02

Gfl Environmental Inc 0.02

Bottom 5 Contributors1 Contribution to Return(%) 2

NPC International Inc -0.67

Psav, Inc. -0.31

Asp Unifrax Holdings, Inc. -0.13

Clubcorp Holdings, Inc. -0.11

Ahern Rentals Inc -0.06

P O R T F O L I O A T T R I B U T I O N L T M - A S O F A P R I L 3 0 , 2 0 2 0

35

Portfolio Analysis

1Data provided via eVestment since inception date of portfolio as of April 30, 2020; 2Credit Suisse Leveraged Loan Index; 3Annualized Since Inception Return ; 4Annual Portfolio Turnover as of April 30, 2019 – April 30, 2020

Characteristics Portfolio1 Index2

Returns (Since Inception)3 3.59 2.16

Alpha 1.96 --

Beta 0.72 1.00

Sharpe Ratio 0.47 0.14

Standard Deviation 5.06 6.91

Tracking Error 2.14 --

R-squared 0.97 1.00

Correlation Coefficient 0.98 1.00

Information Ratio 0.67 --

Jensen's Alpha 1.62 --

Treynor Ratio 3.30 0.94

Annual Portfolio Turnover4 83.95 --

P O R T F O L I O C H A R A C T E R I S T I C S A S O F A P R I L 3 0 , 2 0 2 0

36

• The portfolio’s since inception

performance is a top tier

performer versus peers in the

eVestment US Floating Rate

Bank Loan Universe.

• The portfolio’s standard

deviation has been less than

91% of the peer group since

inception*

• The portfolio’s philosophy of

managing downside risk has led

to a downside market capture

that outperforms 92% of the

peer group since inception.*

Returns Analysis Rankings

Source: eVestment Alliance Floating Bank Loan Category as of April 30, 2020 (*Performance returns are on a gross basis. Please see the disclosures regarding gross performance in the Appendix) (*UMC=Up Market Capture Ratio; *DMC=Downside Market Capture Ratio)

* Inception: January 1, 2007

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

37

Historical Results

• The portfolio has significantly

outperformed its benchmark

with lower volatility.

• Sharpe Ratio of 1.69 since

inception1

Peer Group Risk/Return

R I S K - R E W A R D A N A L Y S I S Historical Risk-Return

1eVestment Alliance Floating Rate Loan Category as of April 30, 2020 (*Performance returns are on a gross basis. Please see the disclosures regarding gross performance in the Appendix); 2 Sharpe Ratio since inception; 3 Ranking based on the US Floating Rate eVestment Universe

Firm Name Product Sharpe Ratio2 Rank3

Pacific Asset Management Portfolio 0.47 4

Credit Suisse Leveraged Loan Index CS Leveraged Loan 0.14 63

38

Section 5

A P P END IX

Fee Schedule

L O S A N G E L E S W AT E R A N D 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.

40

Investment Professionals

• JP Leasure, Senior Managing Director

JP is a Senior Managing Director for Pacific Asset Management and is a Co-Portfolio Manager for the Corporate Loan Strategy and CLO Strategy. In addition, JP is a member of Pacific Asset Management’s Executive Committee. In addition, JP covers the REIT 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 23 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 LombardiaCapital, 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 20 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 Wirelines, Media Cable and Non-Cable, Banking & Brokerage, and Wireless. Rex joined Pacific Life in 2000. 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 32 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.

• 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 16 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.

B I O G R A P H I E S

41


• 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 Portfolio Manager for the CLO, CLO Opportunity and High Yield Strategies. In addition, Bob is also responsible for credit analysis of the Leisure sector. He joined Pacific Asset Management in 2012. Previously, Bob was at PIMCO for 14 years, where he was a Bank Loan Portfolio Manager and Credit Analyst. Bob has over 21 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. Michael is a Portfolio Manager for the Corporate (Bank) Loan Strategy and CLO Strategy, along with Strategies that incorporate bank loan instruments. Prior to joining Pacific Asset Management in 2007, Michael worked in investment banking most recently as Vice President in the Leveraged Finance Group at Royal Bank of Scotland. He received his B.A. summa cum laude in Business-Economics from UCLA and his MBA from the Anderson School of Management at UCLA. Michael is a CFA Charterholder and member of the CFA Society of Los Angeles.

• 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 2007. Prior to this, he was part of Pacific Life’s research team since June 2002. Before joining Pacific Life he was a corporate banking officer at Comerica Bank. He has over 22 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.

• Ying Qiu, CFA, Managing Director

Ying is a Managing Director for Pacific Asset Management. She is a Portfolio Manager for various investment grade portfolios and the CLO Opportunity Strategy. In addition, Ying has credit research responsibilities focusing on Asset-Backed Securities (ABS). 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 at ING Investment Management for 9 years and was an ABS portfolio manager and trader. Ying has 20 years fixed income investment experience, is a CFA Charterholder, and holds a bachelor’s degree from Renmin University of China and an MBA from Emory University.


42


• 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 16 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.

• 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, Tobacco. Michael joined Pacific Life in 1994 as an Investment Analyst. Michael has over 35 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.

• Andrew Ross, CFA, FRM, CAIA, Senior Director

Andrew is a Senior Director, Head of Investment Risk Management, and a member of the structured products investment team for Pacific Asset Management. Prior to joining Pacific Asset Management in 2018, Andy spent seven years at PAAMCO, where he served as a portfolio manager on the firm’s hedge fund and fixed income offerings, was a member of the firm’s Portfolio Construction Group, and covered investments in structured credit. Prior to this, he worked at IndyMac Bank (now part of CIT), with responsibilities in analyzing balance sheet credit risk, trading, and loan portfolio management. Andy has more than 14 years of investment and banking experience. He graduated from Dartmouth College with a BA in Economics and received his MBA with honors from The University of Chicago Booth School of Business with a concentration in Analytic Finance. He is a CFA Charterholder and has also earned the FRM, CAIA, and CQF designations.

• Shalini Viswanathan, CFA, Senior Analyst

Shalini a Senior Analyst for Pacific Asset Management, responsible for covering various sectors including Healthcare, Pharma, and Technology. 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 12 years of industry experience and is a CFA Charter holder and a member of the CFA Society of Los Angeles.


43


• John Brueggemann, Analyst

John is an Analyst for Pacific Asset Management, responsible for covering various sectors including Energy, Construction Machinery, Pipelines, 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 7 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.

• Tommy Zhang, CFA, Analyst

Tommy is an Analyst for Pacific Asset Management, responsible for credit research. 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 that, he was an Associate in KPMG’s Advisory practice. Tommy holds a bachelor’s degree in Economics from the University of California, Los Angeles. He is a CFA Charterholder, a member of the CFA Society of Orange County, and a Certified Public Accountant (inactive).

• Ronald Rangel, CFA, Analyst

Ron is an Analyst for Pacific Asset Management, responsible for credit research. Prior to joining the firm full-time, he was a Credit Analyst Intern for a year while

completing his undergraduate degree. Ron received his B.A. cum laude, Beta Gamma Sigma in Business Administration-Finance from the Mihaylo College of Business and Economics at California State University, Fullerton. While at Cal State Fullerton, he was a member of Titan Capital Management (formerly Applied Security Analysis Program) and President of the Student Managed Investment Fund. Ron is a CFA Charterholder and member of the CFA Society of Orange County.

• Edith Vargas, Analyst

Edith is an Analyst for Pacific Asset Management, responsible for credit research. Prior to joining the firm full-time, Edith was a credit analyst intern for six months while completing her undergraduate degree. Edith graduated from California State University, Fullerton where she received a bachelor’s degree in Business Administration with a concentration in Finance from the Mihaylo College of Business and Economics. While at Cal State Fullerton, Edith was a member of the Applied Security Analysis Program (ASAP).


44


• Valerie Chang, Analyst

Valerie is a Trading Assistant and Product Analyst for Pacific Asset Management. Her primary responsibility is assisting with trade execution, allocation, analytics and reporting within our bank loan and CLO strategy. Valerie received a dual bachelor’s degree in Economics and Business Administration, with an emphasis in Finance from the Argyros School of Business and Economics at Chapman University. While at Chapman University, Valerie was also part of the Student Managed Investment Fund and the university’s Research Challenge program.

• 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 16 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.

• Scott Goldberg, CIMA®, CAIA, Senior Director

Scott is a Senior Director for Pacific Asset Management, responsible for institutional business development, product and account management. Prior to joining Pacific Asset Management in 2017, Scott was responsible for institutional intermediary and strategic account relationships at RidgeWorth Investments. Prior to RidgeWorth, he held senior business development positions at Hartford Funds and Old Mutual Asset Management. He began his investment career with Trusco Capital Management, a firm whose assets reached $70 billion and was the predecessor entity to RidgeWorth Investments. Scott has a Bachelor’s degree in Business Administration from Emory University and an MBA with an emphasis in Finance from Georgia State University. He has over 16 years of industry experience and earned both the Certified Investment Management Analyst® certification and the Chartered Alternative Investment Analyst® designation.

• 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 14 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.


45



46

• Megan Hyland, Senior Associate

Megan is a Senior 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.

• Claudia Flores, Associate

Claudia 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, Claudia was with Goldman Sachs for 4 ½ years and spent time in Dallas working as an Operations Analyst, Salt Lake City within the Investment Banking division as an Industrials Knowledge Management Associate. Her last role was in Irvine with Ayco, a subsidiary of Goldman Sachs. Claudia received her Bachelor of Science in Finance from the University of Arizona.

Global Investment Performance Standards

Creation date of the Corporate Bank Loan Composite is February 10, 2009The annual composite dispersion is an asset‐weighted standard deviation calculated for the accounts in the Corporate Bank Loan Composite the entire year.

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 2018. 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 2018. The verification and performance examination reports are available upon request.

FIRM DEFINITION. Pacific Asset Management LLC (the “Firm”) specializes in institutional fixed income management with a focus on corporate credit. The Firm’s list of composite descriptions, as well as information regarding the Firm’s policies for valuing investments, calculating performance, and preparing compliant presentations, are available upon request.

The Firm definition changed on December 31, 2019. Prior to that date, the firm definition referred to Pacific Asset Management, a business division of Pacific Life Fund Advisors LLC (“PLFA”). As part of an internal restructuring initiative, the business division of PLFA, known as Pacific Asset Management, was reorganized into Pacific Asset Management LLC, an SEC registered investment adviser and an indirect wholly-owned subsidiary of Pacific Life Insurance Company (Pacific Life).

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.

Strategy(Gross)

Strategy(Net)

CS LeveragedLoan Index

# of Portfolios Dispersion (%)Composite Size

($m)% of

Firm AssetsTotal Firm Assets

($m)1Q20 -9.42 -9.53 -13.19 7 1.09 3,306 28 11,7722019 9.09 8.55 8.17 7 0.06 4,116 32 13,0132018 1.03 0.53 1.14 7 0.11 3,638 36 10,2062017 4.91 4.39 4.25 6 0.19 2,914 37 7,9282016 9.33 8.79 9.88 6 0.56 2,026 35 5,7922015 1.85 1.34 -0.38 7 0.40 1,942 35 5,4992014 1.26 0.76 2.06 <5 N/A 1,849 39 4,7852013 6.43 5.91 6.15 <5 N/A 1,378 30 4,4502012 10.69 10.14 9.43 <5 N/A 365 11 3,2072011 3.29 2.78 1.82 <5 N/A 225 8 2,8802010 10.67 10.12 9.97 <5 N/A 242 10 2,5192009 39.30 38.62 44.87 <5 N/A 189 7 2,7062008 -19.55 -19.96 -28.75 <5 N/A 159 6 2,6232007 3.50 2.99 1.88 <5 N/A 178 63 283

47

Global Investment Performance Standards

BENCHMARK. The Credit Suisse Leveraged Loan Index (“CS 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.

CURRENCY. Valuations are computed and performance is reported in U.S. dollars.

PERFORMANCE. All calculations are on a total return basis and includes the reinvestment of all income. Actual performance results may differ from composite returns, depending on the size of the account, investment guidelines and/or restrictions, inception date and other factors. Past performance is not indicative of future results. As with any investment vehicle, there is always the potential for gains as well as the possibility of losses.

FEES AND FEE SCHEDULE. Gross-of-fee returns are presented before management and custodial fees but after all trading expenses. Net-of-fee returns are presented after management fees and trading expenses. Net performance is calculated using the highest applicable fee as shown in the fee schedule provided. The treatment of withholding tax on dividends, interest income and capital gains, if applicable have not been considered in the performance calculations and are subject to each investors tax situation. The fee schedule, as stated in our ADV Part II, for portfolios in the Corporate Bank Loan Composite is: First $100 million 0.50%, excess negotiable.

EX-POST STANDARD DEVIATION. The three-year annualized ex-post standard deviation measures the variability of the composite and the benchmark returns over the preceding 36-month period, if available. The standard deviation of the composite and benchmark as of each year end is as follows:

POLICIES. Valuation, Calculation Methodology, and Presentation and Reporting Policies are available upon request.

LIST OF COMPOSITES. A complete list and description of Pacific Asset Management’s composites are available upon request.

Composite 3-year Standard Deviation (%)

Benchmark 3-year Standard Deviation (%)

2019 2.61 2.632018 2.39 2.752017 2.06 2.632016 2.37 2.782015 2.11 2.072014 2.18 1.922013 4.12 3.512012 4.66 4.072011 7.74 7.522010 11.66 12.922009 11.75 12.932008 N/A N/A2007 N/A N/A

48

Portfolio Holdings

W P E R P R E T I R E M E N T L O A N P O R T F O L I O

Holdings as of April 30, 2020 – data provided by Factset

Issuer/Company Weight (%) Coupon (%) MaturityAdvanced Disposal Services, Inc. Term Loan 10-nov-2023 2.21 3.00 11/10/2023

Reynolds Group Holdings, Inc. Term Loan 05-feb-2023 1.85 3.15 2/05/2023

Jaguar Holding Co. Ii Term Loan 18-aug-2022 1.78 3.50 8/18/2022

Tempo Acquisition Llc Term Loan 01-may-2024 1.75 3.15 5/01/2024

Dun & Bradstreet Corporation Term Loan 06-feb-2026 1.73 4.49 2/06/2026

Epicor Software Corporation Term Loan 01-jun-2022 1.61 3.66 6/01/2022

Stars Group Inc. Term Loan 10-jul-2025 1.59 4.95 7/10/2025

Bausch Health Companies Inc. Term Loan 01-jun-2025 1.57 3.72 6/02/2025

Sophia Lp Term Loan 30-sep-2022 1.56 4.70 9/30/2022

Refinitiv Us Holdings, Inc. Term Loan 01-oct-2025 1.56 3.65 10/01/2025

Applied Systems, Inc. Term Loan 19-sep-2025 1.55 8.45 9/19/2025

Berry Global Group, Inc. Term Loan 01-oct-2022 1.44 2.83 10/01/2022

Filtration Group Corporation Term Loan 29-mar-2025 1.39 3.40 3/31/2025

Srs Distribution, Inc. Term Loan 23-may-2025 1.37 4.32 5/23/2025

Assured Partners, Inc. Term Loan 11-feb-2027 1.35 3.90 2/12/2027

Alixpartners, Llp Term Loan 04-apr-2024 1.29 3.50 4/04/2024

Ultimate Software Group, Inc. Term Loan 03-may-2026 1.28 4.15 5/04/2026

Wand Newco 3, Inc. Term Loan 05-feb-2026 1.25 4.07 2/05/2026

Nfp Corp. Term Loan 15-feb-2027 1.24 3.65 2/15/2027

Gfl Environmental, Inc. Term Loan 31-may-2025 1.24 4.00 5/30/2025

Allied Universal Holdco Llc Term Loan 10-jul-2026 1.23 4.65 7/10/2026

Csc Holdings, Llc Term Loan 15-apr-2027 1.20 3.31 4/15/2027

Hub International Ltd. Term Loan 25-apr-2025 1.15 4.02 4/25/2025

Vertafore, Inc. Term Loan 02-jul-2026 1.15 7.65 7/02/2026

Clear Channel Outdoor Holdings, Inc. Term Loan 23-aug-2026 1.14 4.26 8/21/2026

PortfolioInception Dec 2015 April 2016 April 2017 April 2018 April 2019 April 2020

Change SinceInception

WPERP Retirement Loan Portfolio

$125,000,000 $124,698,615 $128,291,796 $138,724,751 $145,433,184 $152,205,082.40 $147,370,674.66 $22,370,674.66

49

Portfolio Holdings



Issuer/Company Weight (%) Coupon (%) MaturityAmerican Builders & Contractors Supply Co., Inc. Term Loan 15-jan-2027 1.09 2.40 1/15/2027

Regionalcare Hospital Partners Holdings, Inc. Term Loan 16-nov-2025 1.06 4.15 11/16/2025

Seaworld Parks & Entertainment, Inc. Term Loan 31-mar-2024 1.02 3.75 4/01/2024

T-mobile Usa, Inc. Term Loan 01-apr-2027 1.01 4.52 4/01/2027

Gates Global Llc Term Loan 31-mar-2024 1.00 3.75 4/01/2024

Uber Technologies, Inc. Term Loan 04-apr-2025 1.00 5.00 4/04/2025

Messer Industries Usa, Inc. Term Loan 02-mar-2026 0.96 3.95 3/02/2026

Spin Holdco, Inc. Term Loan 14-nov-2022 0.95 4.25 11/14/2022

Hillman Group, Inc. Term Loan 31-may-2025 0.93 5.07 5/30/2025

Golden Nugget, Inc. Term Loan 04-oct-2023 0.93 3.45 10/04/2023

Blackstone Mortgage Trust, Inc. Term Loan 23-apr-2026 0.91 2.65 4/23/2026

Commscope, Inc. Term Loan 04-apr-2026 0.90 3.65 4/06/2026

Standardaero Aviation Holdings, Inc. Term Loan 04-apr-2026 0.88 4.95 4/06/2026

Ardagh Packaging Finance Plc 5.25% 30-apr-2025 0.88 5.25 4/30/2025

Ewt Holdings Iii Corp. Term Loan 20-dec-2024 0.86 3.45 12/20/2024

Ply Gem Midco Llc Term Loan 12-apr-2025 0.85 4.58 4/12/2025

Petvet Care Centers Llc Term Loan 14-feb-2025 0.84 3.65 2/14/2025

Ortho Clinical Diagnostics Sa Term Loan 30-jun-2025 0.84 4.27 6/30/2025

Caesars Resort Collection Llc Term Loan 22-dec-2024 0.84 3.15 12/23/2024

1011778 B.c. Ulc Term Loan 19-nov-2026 0.83 2.15 11/19/2026

Zayo Group Holdings, Inc. Term Loan 19-feb-2027 0.82 3.40 3/09/2027

Acrisure Llc Term Loan 12-feb-2027 0.82 5.21 2/15/2027

Bass Pro Group Llc Term Loan 25-sep-2024 0.82 6.07 9/25/2024

Athenahealth, Inc. Term Loan 11-feb-2026 0.82 5.28 2/11/2026

Transdigm, Inc. Term Loan 22-aug-2024 0.82 2.65 8/22/2024

50




$125,000,000 $124,698,615 $128,291,796 $138,724,751 $145,433,184 $152,205,082.40 $147,370,674.66 $22,370,674.66

Portfolio Holdings



Issuer/Company Weight (%) Coupon (%) MaturityWhatabrands Llc Term Loan 03-aug-2024 0.81 3.73 7/31/2026

Alterra Mountain Co. Term Loan 31-jul-2024 0.81 3.15 7/31/2024

Kronos, Inc. Term Loan 01-nov-2023 0.78 4.76 11/01/2023

Vetcor, Inc. Term Loan 10-jul-2025 0.76 4.07 7/02/2025

Core & Main Lp Term Loan 01-aug-2024 0.76 3.99 8/01/2024

Brand Energy & Infrastructure Services, Inc. Term Loan 21-jun-2024 0.74 5.45 6/21/2024

Cushman & Wakefield Plc Term Loan 30-jan-2027 0.74 3.15 8/21/2025

Heartland Dental, Llc Term Loan 30-apr-2025 0.72 3.90 4/30/2025

Marriott International, Inc. 5.75% 01-may-2025 0.71 5.75 5/01/2025

Deerfield Dakota Holding Llc Term Loan 25-feb-2027 0.70 4.75 4/09/2027

Asp Unifrax Holdings, Inc. Term Loan 12-dec-2025 0.67 4.82 12/12/2025


Wp Cpp Holdings Llc Term Loan 30-apr-2025 0.67 4.75 4/30/2025

Pro Mach Group, Inc. Term Loan 07-mar-2025 0.65 3.32 3/07/2025

Alliant Holdings Intermediate Llc Term Loan 09-may-2025 0.63 3.15 5/09/2025

Pug Llc Term Loan 13-jan-2027 0.60 3.90 2/12/2027

Endo Luxembourg Finance Company I Sarl Term Loan 27-apr-2024 0.60 5.00 4/29/2024


Usi, Inc. Term Loan 16-may-2024 0.59 3.40 5/16/2024

Citycenter Holdings Llc Term Loan 18-apr-2024 0.58 3.00 4/18/2024

Avantor, Inc. Term Loan 21-nov-2024 0.57 3.25 11/21/2024

Transdigm, Inc. Term Loan 09-dec-2025 0.57 2.65 12/09/2025

On Semiconductor Corporation Term Loan 19-sep-2026 0.56 2.40 9/19/2026

Usi, Inc. Term Loan 12-nov-2026 0.56 4.40 12/02/2026

Da Vinci Purchaser Corp. Term Loan 11-dec-2026 0.56 5.24 1/08/2027

51




$125,000,000 $124,698,615 $128,291,796 $138,724,751 $145,433,184 $152,205,082.40 $147,370,674.66 $22,370,674.66

Portfolio Holdings



Issuer/Company Weight (%) Coupon (%) MaturityBroadstreet Partners, Inc. Term Loan 13-jan-2027 0.55 3.65 1/27/2027

Guidehouse Llp Term Loan 01-may-2025 0.55 4.90 5/01/2025


Bj's Wholesale Club, Inc. Term Loan 03-feb-2024 0.50 3.08 2/03/2024

Transdigm, Inc. Term Loan 30-may-2025 0.50 2.65 5/30/2025


Sunshine Luxembourg Vii Sarl Term Loan 16-jul-2026 0.47 5.32 10/01/2026

Diversitech Holdings, Inc. Term Loan 03-jun-2024 0.47 4.45 6/03/2024

Smg Holdings, Inc. Term Loan 23-jan-2025 0.47 3.40 1/23/2025

Nouryon Finance Bv Term Loan 01-oct-2025 0.47 3.86 10/01/2025

Clubcorp Holdings, Inc. Term Loan 18-sep-2024 0.44 4.20 9/18/2024

Curium Bidco Sarl Term Loan 25-jun-2026 0.42 5.07 7/09/2026

Veeam Software Group Gmbh Term Loan 04-feb-2027 0.42 4.86 2/26/2027

Ccc Information Services, Inc. Term Loan 27-apr-2024 0.42 3.75 4/29/2024

A. B. Boyd Co. Term Loan 06-sep-2025 0.41 3.90 9/06/2025

Belron Finance Us Llc Term Loan 13-nov-2025 0.41 3.96 11/13/2025


Froneri International Limited Term Loan 14-jan-2027 0.41 2.25 1/29/2027

Outfront Media Inc. Term Loan 18-nov-2026 0.41 2.58 11/18/2026

Advanced Drainage Systems, Inc. Term Loan 31-jul-2026 0.40 3.25 7/31/2026

Petsmart, Inc. Term Loan 11-mar-2022 0.40 5.00 3/11/2022

Garda World Security Corporation Term Loan 05-sep-2026 0.39 6.39 10/30/2026


Avantor, Inc. 6.0% 01-oct-2024 0.36 6.00 10/01/2024


52




$125,000,000 $124,698,615 $128,291,796 $138,724,751 $145,433,184 $152,205,082.40 $147,370,674.66 $22,370,674.66

Portfolio Holdings



Issuer/Company Weight (%) Coupon (%) MaturityGfl Environmental, Inc. 5.625% 01-may-2022 0.35 5.63 5/01/2022

Mister Car Wash Holdings, Inc. Term Loan 14-may-2026 0.35 4.38 5/14/2026


H-food Holdings Llc Term Loan 23-may-2025 0.34 4.09 5/23/2025

Avsc Holding Corp. Term Loan 01-sep-2025 0.33 9.01 9/01/2025

Avolon Tlb Borrower 1 (us) Llc Term Loan 15-jan-2025 0.33 2.50 1/15/2025

Ss&c Technologies, Inc. Term Loan 16-apr-2025 0.30 2.15 4/16/2025

Audio Visual Services Group Llc Term Loan 15-oct-2026 0.30 6.20 10/15/2026

Chg Ppc Parent Llc Term Loan 31-mar-2025 0.30 3.15 3/31/2025

Eg Finco Ltd. Term Loan 20-apr-2026 0.29 9.07 4/20/2026

Aldevron Llc Term Loan 18-sep-2026 0.29 5.70 10/12/2026

Api Group De, Inc. Term Loan 01-oct-2026 0.28 2.90 10/01/2026

Snacking Investments Bidco Pty Ltd. Term Loan 18-dec-2026 0.28 5.00 12/18/2026

Gardner Denver Holdings, Inc. Term Loan 28-feb-2027 0.28 2.15 3/01/2027

First Eagle Holdings, Inc. Term Loan 02-feb-2027 0.27 3.95 2/01/2027

Franklin Square Holdings Lp Term Loan 01-aug-2025 0.27 2.69 8/01/2025

Eg Finco Ltd. Term Loan 06-feb-2025 0.27 5.07 2/07/2025

Parexel International Corporation Term Loan 29-sep-2024 0.27 3.15 9/27/2024

Ufc Holdings Llc Term Loan 29-apr-2026 0.27 4.25 4/29/2026

Duravant Llc Term Loan 19-jul-2024 0.26 5.70 7/19/2024


Mauser Packaging Solutions Term Loan 03-apr-2024 0.25 4.56 4/03/2024

Athletico Holdings Llc Term Loan 31-oct-2025 0.25 4.33 10/31/2025

Arterra Wines Canada, Inc. Term Loan 15-dec-2023 0.24 3.80 12/15/2023

Flex Acquisition Co., Inc. Term Loan 29-jun-2025 0.24 4.68 6/29/2025

53




$125,000,000 $124,698,615 $128,291,796 $138,724,751 $145,433,184 $152,205,082.40 $147,370,674.66 $22,370,674.66

Portfolio Holdings



Issuer/Company Weight (%) Coupon (%) MaturityFly Funding Ii Sarl Term Loan 09-aug-2025 0.23 3.48 8/11/2025

Berkeley Finco Sarl Term Loan 28-jun-2026 0.22 4.32 11/12/2026

Finco I Llc Term Loan 27-dec-2022 0.22 2.40 12/27/2022

Caesars Entertainment Operating Co., Inc. Term Loan 06-oct-2024 0.21 2.40 10/07/2024

Brookfield Business Partners Lp Term Loan 30-apr-2026 0.21 3.90 4/30/2026

Belk, Inc. Term Loan 31-jul-2025 0.18 7.75 7/31/2025

Nep/ncp Holdco, Inc. Term Loan 20-oct-2025 0.18 4.70 10/20/2025

Transdigm, Inc. 6.25% 15-mar-2026 0.17 6.25 3/15/2026

Zayo Group Holdings, Inc. 4.0% 01-mar-2027 0.17 4.00 3/01/2027

Vertiv Group Corp. Term Loan 02-mar-2027 0.14 3.99 3/02/2027

Informatica Llc Term Loan 04-feb-2027 0.14 3.65 2/25/2027

Virgin Media Bristol Llc Term Loan 31-jan-2028 0.14 3.31 1/31/2028

Hydrochem Llc Term Loan 11-oct-2025 0.13 9.73 10/11/2025

Pregis Topco Corp. Term Loan 01-aug-2026 0.13 4.40 7/31/2026

Ancestry.com Operations, Inc. Term Loan 27-aug-2026 0.13 4.66 8/27/2026

Tacala, Llc Term Loan 31-jan-2027 0.13 3.90 2/05/2027


Bausch Health Companies Inc. Term Loan 27-nov-2025 0.12 3.47 11/27/2025

Anvil International Llc Term Loan 28-may-2027 0.09 10.08 5/28/2027

Ahern Rentals, Inc. 7.375% 15-may-2023 0.09 7.38 5/15/2023



Berkeley Finco Sarl Delayed Draw/multi-draw Term Loan 28-jun-2026 0.03 4.32 11/12/2026

Air Medical Group Holdings, Inc. Term Loan 28-apr-2022 0.00 4.25 4/28/2022

Solenis Holdings Llc Term Loan 26-jun-2025 0.00 5.61 6/26/2025

54




$125,000,000 $124,698,615 $128,291,796 $138,724,751 $145,433,184 $152,205,082.40 $147,370,674.66 $22,370,674.66

Portfolio Holdings



Issuer/Company Weight (%) Coupon (%) MaturityJ. Crew Group, Inc. Term Loan 05-mar-2021 0.00 4.54 3/05/2021


Reece Limited Term Loan 07-feb-2025 0.00 3.46 1/02/2027

Cash 2.67 -- --

55




$125,000,000 $124,698,615 $128,291,796 $138,724,751 $145,433,184 $152,205,082.40 $147,370,674.66 $22,370,674.66

Portfolio Holdings

W P E R P H E A LT H L O A N P O R T F O L I O

Issuer/Company Weight (%) Coupon (%) MaturityAdvanced Disposal Services, Inc. Term Loan 10-nov-2023 2.22 3.00 11/10/2023

Reynolds Group Holdings, Inc. Term Loan 05-feb-2023 1.86 3.15 2/05/2023

Jaguar Holding Co. Ii Term Loan 18-aug-2022 1.78 3.50 8/18/2022

Tempo Acquisition Llc Term Loan 01-may-2024 1.76 3.15 5/01/2024

Dun & Bradstreet Corporation Term Loan 06-feb-2026 1.74 4.49 2/06/2026

Epicor Software Corporation Term Loan 01-jun-2022 1.61 3.66 6/01/2022

Stars Group Inc. Term Loan 10-jul-2025 1.59 4.95 7/10/2025

Bausch Health Companies Inc. Term Loan 01-jun-2025 1.58 3.72 6/02/2025

Sophia Lp Term Loan 30-sep-2022 1.56 4.70 9/30/2022

Refinitiv Us Holdings, Inc. Term Loan 01-oct-2025 1.56 3.65 10/01/2025


Berry Global Group, Inc. Term Loan 01-oct-2022 1.44 2.83 10/01/2022

Filtration Group Corporation Term Loan 29-mar-2025 1.39 3.40 3/31/2025


Assuredpartners, Inc. Term Loan 11-feb-2027 1.35 3.90 2/12/2027

Alixpartners, Llp Term Loan 04-apr-2024 1.29 3.50 4/04/2024

Ultimate Software Group, Inc. Term Loan 03-may-2026 1.28 4.15 5/04/2026

Wand Newco 3, Inc. Term Loan 05-feb-2026 1.25 4.07 2/05/2026

Nfp Corp. Term Loan 15-feb-2027 1.24 3.65 2/15/2027

Gfl Environmental, Inc. Term Loan 31-may-2025 1.24 4.00 5/30/2025

Allied Universal Holdco Llc Term Loan 10-jul-2026 1.23 4.65 7/10/2026

Csc Holdings, Llc Term Loan 15-apr-2027 1.20 3.31 4/15/2027



Clear Channel Outdoor Holdings, Inc. Term Loan 23-aug-2026 1.14 4.26 8/21/2026



WPERP Health Loan Portfolio

$20,500,000 $20,450,665 $21,039,412 $22,748,536 $23,840,730 $24,946,999.59 $24,146,185.95 $3,646,185.95


56

Portfolio Holdings


Issuer/Company Weight (%) Coupon (%) MaturityAmerican Builders & Contractors Supply Co., Inc. Term Loan 15-jan-2027 1.09 2.40 1/15/2027

Regionalcare Hospital Partners Holdings, Inc. Term Loan 16-nov-2025 1.06 4.15 11/16/2025

Seaworld Parks & Entertainment, Inc. Term Loan 31-mar-2024 1.02 3.75 4/01/2024

T-mobile Usa, Inc. Term Loan 01-apr-2027 1.02 4.52 4/01/2027

Gates Global Llc Term Loan 31-mar-2024 1.01 3.75 4/01/2024

Uber Technologies, Inc. Term Loan 04-apr-2025 1.00 5.00 4/04/2025

Messer Industries Usa, Inc. Term Loan 02-mar-2026 0.96 3.95 3/02/2026

Spin Holdco, Inc. Term Loan 14-nov-2022 0.95 4.25 11/14/2022

Hillman Group, Inc. Term Loan 31-may-2025 0.94 5.07 5/30/2025

Golden Nugget, Inc. Term Loan 04-oct-2023 0.93 3.45 10/04/2023

Blackstone Mortgage Trust, Inc. Term Loan 23-apr-2026 0.91 2.65 4/23/2026

Commscope, Inc. Term Loan 04-apr-2026 0.90 3.65 4/06/2026


Ardagh Packaging Finance Plc 5.25% 30-apr-2025 0.88 5.25 4/30/2025

Ewt Holdings Iii Corp. Term Loan 20-dec-2024 0.86 3.45 12/20/2024

Ply Gem Midco Llc Term Loan 12-apr-2025 0.85 4.58 4/12/2025


Ortho Clinical Diagnostics Sa Term Loan 30-jun-2025 0.84 4.27 6/30/2025

Caesars Resort Collection Llc Term Loan 22-dec-2024 0.84 3.15 12/23/2024

1011778 B.c. Ulc Term Loan 19-nov-2026 0.83 2.15 11/19/2026

Zayo Group Holdings, Inc. Term Loan 19-feb-2027 0.82 3.40 3/09/2027

Acrisure Llc Term Loan 12-feb-2027 0.82 5.21 2/15/2027

Bass Pro Group Llc Term Loan 25-sep-2024 0.82 6.07 9/25/2024

Athenahealth, Inc. Term Loan 11-feb-2026 0.82 5.28 2/11/2026

Transdigm, Inc. Term Loan 22-aug-2024 0.82 2.65 8/22/2024


57




$20,500,000 $20,450,665 $21,039,412 $22,748,536 $23,840,730 $24,946,999.59 $24,146,185.95 $3,646,185.95

Portfolio Holdings


Issuer/Company Weight (%) Coupon (%) MaturityWhatabrands Llc Term Loan 03-aug-2024 0.81 3.73 7/31/2026

Alterra Mountain Co. Term Loan 31-jul-2024 0.81 3.15 7/31/2024


Vetcor, Inc. Term Loan 10-jul-2025 0.76 4.07 7/02/2025

Core & Main Lp Term Loan 01-aug-2024 0.76 3.99 8/01/2024

Brand Energy & Infrastructure Services, Inc. Term Loan 21-jun-2024 0.75 5.45 6/21/2024

Cushman & Wakefield Plc Term Loan 30-jan-2027 0.74 3.15 8/21/2025

Heartland Dental, Llc Term Loan 30-apr-2025 0.72 3.90 4/30/2025

Marriott International, Inc. 5.75% 01-may-2025 0.71 5.75 5/01/2025

Deerfield Dakota Holding Llc Term Loan 25-feb-2027 0.70 4.75 4/09/2027

Asp Unifrax Holdings, Inc. Term Loan 12-dec-2025 0.67 4.82 12/12/2025


Wp Cpp Holdings Llc Term Loan 30-apr-2025 0.67 4.75 4/30/2025

Pro Mach Group, Inc. Term Loan 07-mar-2025 0.65 3.32 3/07/2025


Pug Llc Term Loan 13-jan-2027 0.60 3.90 2/12/2027

Endo Luxembourg Finance Company I Sarl Term Loan 27-apr-2024 0.60 5.00 4/29/2024


Usi, Inc. Term Loan 16-may-2024 0.59 3.40 5/16/2024

Citycenter Holdings Llc Term Loan 18-apr-2024 0.58 3.00 4/18/2024

Avantor, Inc. Term Loan 21-nov-2024 0.57 3.25 11/21/2024

Transdigm, Inc. Term Loan 09-dec-2025 0.57 2.65 12/09/2025

On Semiconductor Corporation Term Loan 19-sep-2026 0.56 2.40 9/19/2026

Usi, Inc. Term Loan 12-nov-2026 0.56 4.40 12/02/2026

Da Vinci Purchaser Corp. Term Loan 11-dec-2026 0.56 5.24 1/08/2027


58




$20,500,000 $20,450,665 $21,039,412 $22,748,536 $23,840,730 $24,946,999.59 $24,146,185.95 $3,646,185.95

Portfolio Holdings


Issuer/Company Weight (%) Coupon (%) MaturityBroadstreet Partners, Inc. Term Loan 13-jan-2027 0.55 3.65 1/27/2027

Guidehouse Llp Term Loan 01-may-2025 0.55 4.90 5/01/2025


Bj's Wholesale Club, Inc. Term Loan 03-feb-2024 0.50 3.08 2/03/2024

Transdigm, Inc. Term Loan 30-may-2025 0.50 2.65 5/30/2025


Sunshine Luxembourg Vii Sarl Term Loan 16-jul-2026 0.47 5.32 10/01/2026

Diversitech Holdings, Inc. Term Loan 03-jun-2024 0.47 4.45 6/03/2024

Smg Holdings, Inc. Term Loan 23-jan-2025 0.47 3.40 1/23/2025

Nouryon Finance Bv Term Loan 01-oct-2025 0.47 3.86 10/01/2025

Clubcorp Holdings, Inc. Term Loan 18-sep-2024 0.44 4.20 9/18/2024

Curium Bidco Sarl Term Loan 25-jun-2026 0.42 5.07 7/09/2026

Veeam Software Group Gmbh Term Loan 04-feb-2027 0.42 4.86 2/26/2027

Ccc Information Services, Inc. Term Loan 27-apr-2024 0.42 3.75 4/29/2024

A. B. Boyd Co. Term Loan 06-sep-2025 0.41 3.90 9/06/2025

Belron Finance Us Llc Term Loan 13-nov-2025 0.41 3.96 11/13/2025


Froneri International Limited Term Loan 14-jan-2027 0.41 2.25 1/29/2027

Outfront Media Inc. Term Loan 18-nov-2026 0.41 2.58 11/18/2026

Advanced Drainage Systems, Inc. Term Loan 31-jul-2026 0.40 3.25 7/31/2026

Petsmart, Inc. Term Loan 11-mar-2022 0.40 5.00 3/11/2022

Garda World Security Corporation Term Loan 05-sep-2026 0.39 6.39 10/30/2026


Avantor, Inc. 6.0% 01-oct-2024 0.36 6.00 10/01/2024



59




$20,500,000 $20,450,665 $21,039,412 $22,748,536 $23,840,730 $24,946,999.59 $24,146,185.95 $3,646,185.95

Portfolio Holdings


Issuer/Company Weight (%) Coupon (%) MaturityGfl Environmental, Inc. 5.625% 01-may-2022 0.35 5.63 5/01/2022

Mister Car Wash Holdings, Inc. Term Loan 14-may-2026 0.35 4.38 5/14/2026



Avsc Holding Corp. Term Loan 01-sep-2025 0.34 9.01 9/01/2025

Avolon Tlb Borrower 1 (us) Llc Term Loan 15-jan-2025 0.33 2.50 1/15/2025


Audio Visual Services Group Llc Term Loan 15-oct-2026 0.30 6.20 10/15/2026

Chg Ppc Parent Llc Term Loan 31-mar-2025 0.30 3.15 3/31/2025

Eg Finco Ltd. Term Loan 20-apr-2026 0.30 9.07 4/20/2026

Aldevron Llc Term Loan 18-sep-2026 0.29 5.70 10/12/2026

Api Group De, Inc. Term Loan 01-oct-2026 0.28 2.90 10/01/2026

Snacking Investments Bidco Pty Ltd. Term Loan 18-dec-2026 0.28 5.00 12/18/2026

Gardner Denver Holdings, Inc. Term Loan 28-feb-2027 0.28 2.15 3/01/2027

First Eagle Holdings, Inc. Term Loan 02-feb-2027 0.27 3.95 2/01/2027

Franklin Square Holdings Lp Term Loan 01-aug-2025 0.27 2.69 8/01/2025


Parexel International Corporation Term Loan 29-sep-2024 0.27 3.15 9/27/2024

Ufc Holdings Llc Term Loan 29-apr-2026 0.27 4.25 4/29/2026



Mauser Packaging Solutions Term Loan 03-apr-2024 0.25 4.56 4/03/2024

Athletico Holdings Llc Term Loan 31-oct-2025 0.25 4.33 10/31/2025

Arterra Wines Canada, Inc. Term Loan 15-dec-2023 0.24 3.80 12/15/2023

Flex Acquisition Co., Inc. Term Loan 29-jun-2025 0.24 4.68 6/29/2025


60




$20,500,000 $20,450,665 $21,039,412 $22,748,536 $23,840,730 $24,946,999.59 $24,146,185.95 $3,646,185.95

Portfolio Holdings


Issuer/Company Weight (%) Coupon (%) MaturityFly Funding Ii Sarl Term Loan 09-aug-2025 0.23 3.48 8/11/2025

Berkeley Finco Sarl Term Loan 28-jun-2026 0.22 4.32 11/12/2026

Finco I Llc Term Loan 27-dec-2022 0.22 2.40 12/27/2022

Caesars Entertainment Operating Co., Inc. Term Loan 06-oct-2024 0.21 2.40 10/07/2024

Brookfield Business Partners Lp Term Loan 30-apr-2026 0.21 3.90 4/30/2026

Belk, Inc. Term Loan 31-jul-2025 0.18 7.75 7/31/2025


Transdigm, Inc. 6.25% 15-mar-2026 0.17 6.25 3/15/2026

Zayo Group Holdings, Inc. 4.0% 01-mar-2027 0.17 4.00 3/01/2027

Vertiv Group Corp. Term Loan 02-mar-2027 0.14 3.99 3/02/2027

Informatica Llc Term Loan 04-feb-2027 0.14 3.65 2/25/2027

Virgin Media Bristol Llc Term Loan 31-jan-2028 0.14 3.31 1/31/2028

Hydrochem Llc Term Loan 11-oct-2025 0.13 9.73 10/11/2025

Pregis Topco Corp. Term Loan 01-aug-2026 0.13 4.40 7/31/2026

Ancestry.com Operations, Inc. Term Loan 27-aug-2026 0.13 4.66 8/27/2026

Tacala, Llc Term Loan 31-jan-2027 0.13 3.90 2/05/2027


Bausch Health Companies Inc. Term Loan 27-nov-2025 0.12 3.47 11/27/2025

Anvil International Llc Term Loan 28-may-2027 0.09 10.08 5/28/2027

Ahern Rentals, Inc. 7.375% 15-may-2023 0.09 7.38 5/15/2023



Berkeley Finco Sarl Delayed Draw/multi-draw Term Loan 28-jun-2026 0.03 4.32 11/12/2026

J. Crew Group, Inc. Term Loan 05-mar-2021 0.00 4.54 3/05/2021



61




$20,500,000 $20,450,665 $21,039,412 $22,748,536 $23,840,730 $24,946,999.59 $24,146,185.95 $3,646,185.95

Portfolio Holdings


Issuer/Company Weight (%) Coupon (%) MaturityDeerfield Dakota Holding Llc Term Loan 13-feb-2025 0.00 -- 2/13/2025

Reece Limited Term Loan 07-feb-2025 0.00 3.46 1/02/2027

Cash 2.58 -- --


62




$20,500,000 $20,450,665 $21,039,412 $22,748,536 $23,840,730 $24,946,999.59 $24,146,185.95 $3,646,185.95

Important Disclosures

• The Information presented herein has been provided by Pacific Asset Management LLC. It has been provided for one-on-one presentation purposes only and is not for distribution.

• This information is intended for sophisticated investors who will understand and accept its inherent limitations, and will use it only for the purpose of discussing preliminary interest in Pacific Asset Management. This material is not a solicitation of any offer to buy or sell any security, commodity or other financial instrument (or related derivative) or to participate in any trading strategy.

• Pacific Asset Management was initially established in 2007 as a business division of Pacific Life Fund Advisors LLC. As part of an internal corporate restructuring effort, Pacific Asset Management was reorganized on December 31, 2019, into Pacific Asset Management LLC, an indirect wholly-owned subsidiary of Pacific Life Insurance Company.

• 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 indices are unmanaged, have no fees and are 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.

63

investment manager summary...2020/06/24 · david weismiller, cfa, managing director (22/mba)...

Documents