investment committee meeting senator fabian chavez …0228... · director of rates & credit d...
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INVESTMENT COMMITTEE MEETING SENATOR FABIAN CHAVEZ JR. BOARD ROOM
PERA BUILDING
February 28, 2019 at 9:00 AM
COMMITTEE MEMBERS TO BE APPOINTED
AGENDA
1. Roll Call 2. Approval of Agenda 3. Approval of Consent Agenda 4. Current Business ITEM PRESENTER
A Information Item: CIO Update Dominic Garcia Chief Investment Officer
B Action Item: Risk budget & Active Strategy Target Return Update
Thomas Toth Managing Director, Wilshire
Kristin Varela
Deputy Chief Investment Officer C Information Item: Quarterly Staff Consultant Report, Risk
Mitigation Portfolio Review Thomas Toth
Managing Director, Wilshire
Joaquin Lujan Director of Rates & Credit
D
Information Item: Investment Division Updates
1. Cash Plan & Rebalance Update (Oct. 2018 – Jan. 2019)
2. Manager Selection Activity Report 3. Securities Lending Update – Q4 2018
Kristin Varela Deputy Chief Investment Officer
5. Other Business 6. Adjournment
Consent Agenda Approval of minutes of February 12, 2019 Investments Committee meeting.
Any person with a disability who is in need of a reader, amplifier, qualified sign language interpreter, or any other form of auxiliary aid or service to attend or participate in the hearing or meeting, please contact Trish Winter at (505) 476-9305 at least one week prior to the meeting, or as soon as possible. Public documents, including the agenda and minutes, can be provided in various accessible formats. Please contact Trish Winter if a summary or other type of accessible format is needed.
Chief Investment Officer’s Update
Dominic Garcia, Chief Investment Officer
February 28, 2019
Slide 2
~ Maintain appropriate strategic asset allocation to meet the actuarial
discount rate assumption over the long run
Work toward 30 year funding period of unfunded actuarial accrued liability
Meet ten-year annualized returns to equal or exceed the policy benchmark
Achieve a total investment cost at or below 85 bps
Our 5-Year Strategic Plan Goals
Slide 3
5.7%
6.2%
5.75%
6.35%
0.60%
0.60%0.40%
0.40%
2018 REFERENCE (BOGLE)
PORTFOLIO
2019 REFERENCE (BOGLE)
PORTFOLIO
2018 RISK BUDGET
2019 RISK BUDGET
Beta Allocation Alpha Selection
BE
TA
E
xpec
tati
ons
6.75%
7.35%
For illustration purposes only, data is forecasted over a multi-year time period, and subject to change
Bridging the Gap: 10-Year Expectations
BE
TA
E
xpec
tati
ons
• Global Public Equity• Global Low Volatility Equity• Hedged Equity• Private Equity
Global Equity –Economic Growth
• Core Fixed Income• Global Core Fixed Income
Risk Mitigation –Safety and Liquidity
• Liquid Credit Strategies• Emerging Market Debt• Illiquid Credit Strategies
Credit Oriented –Hybrid Growth and Income
• Liquid Real Estate• Illiquid Real Estate• Liquid Real Assets• Illiquid Real Assets
Real Assets –Inflation Protection
• Risk Parity/BalanceMulti-Risk–Diversification
35.5%
19.5%
15.0%
20.0%
10.0%
PERA Asset Classes & Targets
Slide 5
1. Beta: Risk Allocation, better risk diversification• Board approved 10% allocation implementation
2. Allocation: Private/Illiquid active asset deployment• On-track for pacing plans• Co-invest• Secondary research• Total fund overlay
3. Selection: Public active idiosyncratic risk• 130/30 research• Portable alpha 2.0 study
Key Initiatives
Slide 6
• Risk Balance can deliver better returns with similar total risk, but less concentrated in a single risk and less dependent on a single favorable economic environment.
• Better diversification
• Better liability hedge
• Better able to withstand multiple economic scenarios
• Better drawdown profile
• Risk Balance will lag a traditional portfolio in certain environments, but over a full market cycle with meaningful inflation and economic recession can perform better.
• Risk Balance requires a long term perspective since investors will deviate from their peers (behavioral risk). A glide path can provide a stepwise path to investment.
Beta: Benefits of Risk Balance
Slide 7
92%
70% 62%
8%
4%8%
11% 11%
15% 20%
0%
20%
40%
60%
80%
100%
120%
Reference Portfolio PERA Current PERA Policy w/10% RiskAllocation
Risk Contribution
Global Equity Risk Reduction & Mitigation Credit Real Assets
Diversification Benefits
Slide 8
PERA Total Fund What-if Return
Slide 9
Risk/Return What-if Analysis (10 years)
Slide 10
Rolling Sharpe Ratio What-if (10 years)
Slide 11
3-Year Rolling Drawdown What-if Scenario
Better drawdown profile
Slide 12
Solution, ex ante, confirms our modelled expectations
Improves expected return/risk ratio
Improves Risk Diversification
Improves max drawdown profile
Conclusion
W i l s h i r e C o n s u l t i n g
WILSHIRE ASSOCIATES
February 2019
N e w M e x i c o P E R A A c t i v e R i s k B u d g e t R e c o m m e n d a t i o n
Thomas Toth, CFA, Managing Director
©2019 Wilshire Associates. 2
W i l s h i r e C o n s u l t i n g
Risk Budget Recommendat ion
•
–
»
»
•
–
©2019 Wilshire Associates. 3
W i l s h i r e C o n s u l t i n g
Act ive Risk Budget 2018 Resul ts
Cumulative Fund NOF Excess Return2.74%
-4%
-2%
0%
2%
4%
6%
8%
10%
Jan
-18
Mar
-18
May
-18
Jul-
18
Sep
-18
No
v-1
8
Jan
-19
Mar
-19
May
-19
Jul-
19
Sep
-19
No
v-1
9
Jan
-20
Mar
-20
May
-20
Jul-
20
Sep
-20
No
v-2
0
Cumulative Distribution, 95% confidence interval100 bps excess return and 150 bps tracking error expectation
Cumulative NOF Excess Return
Lower Band
Target
Upper Band
Total Fund 1-Year Tracking Error as of Dec 31, 2018 = 1.78%
©2019 Wilshire Associates. 4
W i l s h i r e C o n s u l t i n g
Risk Budget FrameworkFor 2019, the risk framework includes three components –Beta, Allocation, Active Selection• Beta captures the return and risk impact of the policy
portfolio composed only of liquid markets• Allocation captures the impact of utilizing both illiquid
investments and strategy weights that differ from policy beta targets
• Active Selection uses active risk and return estimates to capture idiosyncratic sources of return and risk within strategies
©2019 Wilshire Associates. 5
W i l s h i r e C o n s u l t i n g
Tota l Fund Risk Budget ing
Selection
Allocation
Market Beta Risk
Policy Portfolio Expected Risk and Return set during asset allocation process
Active Risk Budget is composed of variance driven by both idiosyncratic/factor liquid manager risk andilliquid asset implementation risk
©2019 Wilshire Associates. 6
W i l s h i r e C o n s u l t i n g
Tota l Fund Risk Budget ing 2019
Selection
Allocation
Market Beta Risk
(Passive)Expected Risk of 9.90% (Expected Return of 6.35%)
Expected Active Risk of 1.4% (Expected Return of 0.6%)
Expected Active Risk of 0.6% (Expected Active Return of 0.4%)
Total Fund Expected Risk of 10.2% (Total Fund Expected Return of 7.35%)=
©2019 Wilshire Associates. 7
W i l s h i r e C o n s u l t i n g
Risk Framework – Stress Test ing
• Market risk environment fluctuates over time• Understanding how changes in the market environment impact
the expected active risk is important • Risk Budget modeling was stressed to simulate a moderate and
extreme correlation environment– Base case target active risk is 1.5%– Moderate case active risk estimate increases to 2.7%– Extreme case active risk estimate increases to 3.4%
• Probability of tracking error exceeding 2% given probability of base, moderate, and extreme scenarios is about 26%
©2019 Wilshire Associates. 8
W i l s h i r e C o n s u l t i n g
Next Steps
• May – Portfolio Management Process Enhancement – Establish process for notifying the Investment Committee if
the adopted active risk budget range is breached– Discuss procedures and tools for adjusting the Total Fund
risk exposures to bring active risk in line with targets as market volatility fluctuates
©2019 Wilshire Associates.
This material contains confidential and proprietary information of Wilshire Associates Incorporated (Wilshire), and is intended for the exclusive use of the person to whom it is provided. It may not be disclosed, reproduced or redistributed, inwhole or in part, to any other person or entity without prior written permission from Wilshire. Third party information contained herein has been obtained from sources believed to be reliable. Wilshire gives no representations or warranties as to the accuracy of such information, and accepts no responsibility or liability (including for indirect, consequential or incidental damages) for any error, omission or inaccuracy in such information and for results obtained from its use. Information and opinions are as of the date indicated, and are subject to change without notice.
This material is intended for informational purposes only and should not be construed as legal, accounting, tax, investment, or other professional advice.
This report may include estimates, projections and other "forward-looking statements." Due to numerous factors, actual events may differ substantially from those presented.
Wilshire® is a registered service mark of Wilshire Associates Incorporated, Santa Monica, California. All other trade names, trademarks, and/or service marks are the property of their respective holders.
Copyright © 2019 Wilshire Associates Incorporated. All rights reserved.
W i l s h i r e C o n s u l t i n g
IMPORTANT INFORMATION
DISCLOSURE AUTHORIZED
W i l s h i r e C o n s u l t i n g
WILSHIRE ASSOCIATES
February 2019
Thomas Toth, CFA, Managing DirectorJoaquin Lujan, Director of Rates & Credit
R i s k R e d u c t i o n & M i t i g a t i o n R e v i e w
©2019 Wilshire Associates. 2
• Risk Reduction & Mitigation investments play three essential roles in the Total Fund– Serves as an economic diversifier to equity risk through
capital preservation properties and effective risk protection during period of market turbulence
– Source of income– Ready source of liquidity
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w
Strategic Role
©2019 Wilshire Associates. 3
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w
Strategic Role – Factor Exposures
Global Equity
Risk Reduction & Mitigation
Credit Oriented Fixed Income
Real AssetsMulti Risk Allocation
-5
-4
-3
-2
-1
0
1
2
3
4
5
-15 -10 -5 0 5 10 15
Infla
tion
Expo
sure
Growth Exposure
Bubble Size: Expected Return
• Risk Reduction & Mitigation provides stability and income
• Balance against other asset classes which provide growth exposure and return potential
©2019 Wilshire Associates. 4
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w
Strategic Role - Divers i f icat ion
©2019 Wilshire Associates. 5
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w
Strategic Role – Risk Contro l
©2019 Wilshire Associates. 6
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w
Performance
©2019 Wilshire Associates. 7
• Structure and guidelines were was adjusted in mid-2015 to reduce the active risk profile of the managers relative to the benchmark
Manager Inception Date Market Value
• BlackRock Core Active 6/30/1995 $1,026,259,245.63
• MacKay Shields Core Investment Grade 6/30/2012 $839,782,970.70
• PGIM (Prudential) Core Conservative 5/31/2012 $764,268,433.63
• Manulife Core Global Aggregate* 4/30/2011 $373,676,335.69
• Cash Composite 2/28/1989 $182,621,417.46
TOTAL RISK REDUCTION & MITIGATION COMPOSITE $3,186,608,403.11
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w
Manager Structure
©2019 Wilshire Associates. 8
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w
Performance – Rol l ing 1 Year Excess Return
©2019 Wilshire Associates. 9
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w
Performance – Act ive Risk
©2019 Wilshire Associates. 10
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w
Performance – Act ive Risk
* Risk and Tracking Error results represent standard deviation adjusted for correlation.
• Active risk of the Risk Mitigation portfolio is constrained and contributes little to active risk at the Total Fund level
• Consistent with risk budget approved by the Board
©2019 Wilshire Associates. 11
• Economic Highlights of 2019– Economic growth accelerated from a year earlier; real GDP expanded 3.0% for the four
quarters ending September
» Significant questions remain about the resiliency of this growth
– Inflation was steady with CPI up 1.9%;
– Treasury yields moved higher across all maturities while the curve inverted in the short-to-intermediate range
» Nominal discount rate moved above expected inflation during 2018 for the first time since the global financial crisis
• The European Central Bank and Bank of Japan both continue to reduce their stimulatory financial policies while China – All else equal these international influences will suppress US yields less than in recent years
• Return expectations remain muted given the relatively low global interest rate environment
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w
Market Envi ronment
©2019 Wilshire Associates. 12
U.S. Interest Rate Environment: December 2018 vs. December 2017, 10-Year & 20-Year Averages
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w
Yield Curve Envi ronment
Data sources: Bloomberg Index Services Limited, U.S. Department of Treasury
Core Treasury
LT Treasury3-5 Yr Treasury7-10 Yr Treasury
10-20 Yr Treasury
0.00
1.00
2.00
3.00
4.00
5.00
0 5 10 15 20 25 30
Yie
ld (
%)
Maturity
Dec-18 10-yr Avg 20-yr Avg Dec-17
©2019 Wilshire Associates. 13
• Expected Return of 3.55%
• Expected volatility of 4.80%
• Projected yield of 3.78%
Wilshire Forecast vs. Current Yield, Historical Return and Actual Following 10-Year Return
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w
Forward Looking Assumpt ions
Data sources: Bloomberg Index Services Limited, Wilshire Compass
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Annualiz
ed R
etu
rn (
%)
Core Bond Yield Wilshire Forecast Next 10 Years Historical Return
APPENDIX – Manager Information
©2019 Wilshire Associates. 15
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w – D o m e s t i c
Cumulat ive Absolute Returns
PERA’s actual GOF returns are used in the analysis; history prior to the inception date were backfilled with the manager’s
composite data.
©2019 Wilshire Associates. 16
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w – D o m e s t i c
Annual Absolute Returns
©2019 Wilshire Associates. 17
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w – D o m e s t i c
Rol l ing 3-year Absolute Risk
©2019 Wilshire Associates. 18
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w – D o m e s t i c
Rol l ing 1-year Track ing Error
©2019 Wilshire Associates. 19
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w – D o m e s t i c
Rol l ing 3-year Track ing Error
©2019 Wilshire Associates. 20
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w – M a n u l i f e
Cumulat ive Absolute Returns ( I n c e p t i o n : 0 5 / 11 )
Prior to May 1, 2015, PERA was invested in the Manulife Strategic Fixed Income Strategy,
benchmarked to the Bloomberg Universal, therefore the benchmark has been blended (Bloomberg
Universal prior to May 1, 2015; Bloomberg Global Agg Hedged thereafter).
©2019 Wilshire Associates. 21
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w – M a n u l i f e
Annual Absolute Returns
©2019 Wilshire Associates. 22
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w – M a n u l i f e
Rol l ing 3-year Absolute Risk
©2019 Wilshire Associates. 23
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w – M a n u l i f e
Rol l ing 1-year Track ing Error
©2019 Wilshire Associates. 24
R i s k R e d u c t i o n & M i t i g a t i o n O v e r v i e w – M a n u l i f e
Rol l ing 3-year Track ing Error
©2019 Wilshire Associates. 25
This material contains confidential and proprietary information of Wilshire Associates Incorporated (Wilshire), and is intended for the exclusive use of the person to whom it is provided. It may not be disclosed, reproduced or redistributed, in whole or in part, to any other person or entity without prior written permission from Wilshire. Third party information contained herein has been obtained from sources believed to be reliable. Wilshire gives no representations or warranties as to the accuracy of such information, and accepts no responsibility or liability (including for indirect, consequential or incidental damages) for any error, omission or inaccuracy in such information and for results obtained from its use. Information and opinions are as of the date indicated, and are subject to change without notice.
This material is intended for informational purposes only and should not be construed as legal, accounting, tax, investment, or other professional advice.
This report may include estimates, projections and other "forward-looking statements." Due to numerous factors, actual events may differ substantially from those presented.
Wilshire® is a registered service mark of Wilshire Associates Incorporated, Santa Monica, California. All other trade names, trademarks, and/or service marks are the property of their respective holders.
Copyright © 2019 Wilshire Associates Incorporated. All rights reserved.
W i l s h i r e C o n s u l t i n g
IMPORTANT INFORMATION
DISCLOSURE AUTHORIZED
NM Public Employees Retirement AssociationCash Flow Projection - FY 19
July August September October November December January February March April May JuneMonth Beginning Cash, BNYM $154 $104 $330 $147 $133 $144 $155 $166 $177 $188 $199 $210
Uses of CashIlliquid Asset Capital Calls
PE, RE, RA, Credit 85 105 111 97 80 80 80 80 80 80 80 80 Private Asset DrawdownsAsset Class Purchases
Liquid Asset Purchases 213Total Benefit Payments 99 100 100 100 100 100 100 100 100 100 100 100
Benefit Payments (BNYM) 55 63 57 62 50 50 50 50 50 50 50 50 Benefit Payments (STO) 44 36 43 38 50 50 50 50 50 50 50 50
Refunds 4 6 4 5 4 4 4 4 4 4 4 4Operational Expense 1 1 1 2 2 2 2 2 2 2 2 2
Other 0 0 0 0
Sources of CashAsset Class Sales
Liquid Asset Redemptions 0 346 163 110 100 100 100 100 100 100 100 100Illiquid Asset Distributions 88 43 31 29 40 40 40 40 40 40 40 40 Private Asset DistributionsIlliquid Asset Redemptions 0 0 0 4 Hedge Fund/Portable Alpha
Employee / Employer Contributions 50 63 38 54 50 50 50 50 50 50 50 50Other 2 4 4 2 1 1 1 1 1 1 1 1 Suspense Account / Corporate Action / Overlay
Month Ending Cash, BNYM $104 $330 $147 $133 $144 $155 $166 $177 $188 $199 $210 $221
Corporate Action 4 5 3 3 4 4 4 4 4 4 4 4 Overlay Cash 90 93 89 82 90 90 90 90 90 90 90 90Month Ending Cash, STO 18 38 28 36 20 20 20 20 20 20 20 20
Month-End Capital AllocationsActual Target Var. Range
Global Equity 6,800 6,671 6,819 6,399 6,493 6,484 6,476 6,468 6,460 5,265 5,258 5,252 (420) 42.8% 35.5% 7.3% +/-5%Risk Reduction & Mitigation 3,195 3,440 3,236 3,197 3,209 3,205 3,201 3,197 3,193 2,892 2,888 2,885 (38) 21.4% 19.5% 1.9% +/-3%Credit Oriented Fixed Income 2,375 2,354 2,309 2,301 2,239 2,236 2,233 2,230 2,228 2,225 2,222 2,219 (8) 15.4% 15.0% 0.4% +/-4%Real Assets 3,145 3,139 3,173 3,032 2,985 2,981 2,978 2,974 2,970 2,966 2,962 2,959 (141) 20.3% 20.0% 0.3% +/-4%Multi-Risk Allocation 0 0 0 - 0 0 0 0 0 1,483 1,481 1,479 0 0.0% 10.0% -10.0% +/-4%STO Cash 18 38 28 36 20 20 20 20 20 20 20 20 8 0.2% 0.0% 0.2%
Total (net of cash flows) $15,534 $15,642 $15,565 $14,965 $14,946 $14,927 $14,908 $14,889 $14,871 $14,852 $14,832 $14,813 (600) 100.0% 100.0%
Month-End Percentage AllocationsFund Balance (less STO) $15,515 $15,604 $15,537 $14,929 $14,926 $14,907 $14,888 $14,869 $14,851 $14,832 $14,812 $14,793Global Equity 43.8% 42.8% 43.9% 42.9% 43.5% 43.5% 43.5% 43.5% 43.5% 35.5% 35.5% 35.5%Risk Reduction & Mitigation 20.6% 22.0% 20.8% 21.4% 21.5% 21.5% 21.5% 21.5% 21.5% 19.5% 19.5% 19.5%Credit Oriented Fixed Income 15.3% 15.1% 14.9% 15.4% 15.0% 15.0% 15.0% 15.0% 15.0% 15.0% 15.0% 15.0%Real Assets 20.3% 20.1% 20.4% 20.3% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0%Multi-Risk Allocation 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 10.0% 10.0% 10.0%
100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
Actuals Projected
Current Month's Weights
Month's Activity
October Change in Value
Rebalance: $55m TIPS and $55m Listed Infrastructure
NM Public Employees Retirement AssociationCash Flow Projection - FY 19
July August September October November December January February March April May JuneMonth Beginning Cash, BNYM $154 $104 $330 $147 $133 $135 $146 $157 $168 $179 $190 $201
Uses of CashIlliquid Asset Capital Calls
PE, RE, RA, Credit 85 105 111 97 86 80 80 80 80 80 80 80 Private Asset DrawdownsAsset Class Purchases
Liquid Asset Purchases 213Total Benefit Payments 99 100 100 100 100 100 100 100 100 100 100 100
Benefit Payments (BNYM) 55 63 57 62 53 50 50 50 50 50 50 50 Benefit Payments (STO) 44 36 43 38 47 50 50 50 50 50 50 50
Refunds 4 6 4 5 5 4 4 4 4 4 4 4Operational Expense 1 1 1 2 5 2 2 2 2 2 2 2
Other 0 0 0 0 0
Sources of CashAsset Class Sales
Liquid Asset Redemptions 0 346 163 110 100 100 100 100 100 100 100 100Illiquid Asset Distributions 88 43 31 29 40 40 40 40 40 40 40 40 Private Asset DistributionsIlliquid Asset Redemptions 0 0 0 4 0 Hedge Fund/Portable Alpha
Employee / Employer Contributions 50 63 38 54 53 50 50 50 50 50 50 50Other 2 4 4 2 1 1 1 1 1 1 1 1 Suspense Account / Corporate Action / Overlay
Month Ending Cash, BNYM $104 $330 $147 $133 $135 $146 $157 $168 $179 $190 $201 $212
Corporate Action 4 5 3 3 3 4 4 4 4 4 4 4 Overlay Cash 90 93 89 82 87 90 90 90 90 90 90 90Month Ending Cash, STO 18 38 28 36 31 20 20 20 20 20 20 20
Month-End Capital AllocationsActual Target Var. Range
Global Equity 6,800 6,671 6,819 6,399 6,496 6,532 6,524 6,516 6,509 5,305 5,298 5,292 97 43.1% 35.5% 7.6% +/-5%Risk Reduction & Mitigation 3,195 3,440 3,236 3,197 3,218 3,229 3,225 3,221 3,217 2,914 2,910 2,907 21 21.4% 19.5% 1.9% +/-3%Credit Oriented Fixed Income 2,375 2,354 2,309 2,301 2,298 2,253 2,250 2,247 2,244 2,242 2,239 2,236 (3) 15.3% 15.0% 0.3% +/-4%Real Assets 3,145 3,139 3,173 3,032 3,013 3,003 3,000 2,996 2,992 2,989 2,985 2,981 (19) 20.0% 20.0% 0.0% +/-4%Multi-Risk Allocation 0 0 0 0 - 0 0 0 0 1,494 1,493 1,491 0 0.0% 10.0% -10.0% +/-4%STO Cash 18 38 28 36 31 20 20 20 20 20 20 20 (5) 0.2% 0.0% 0.2%
Total (net of cash flows) $15,534 $15,642 $15,565 $14,965 $15,055 $15,037 $15,019 $15,000 $14,982 $14,964 $14,945 $14,927 90 100.0% 100.0%
Month-End Percentage AllocationsFund Balance (less STO) $15,515 $15,604 $15,537 $14,929 $15,024 $15,017 $14,999 $14,980 $14,962 $14,944 $14,925 $14,907Global Equity 43.8% 42.8% 43.9% 42.9% 43.2% 43.5% 43.5% 43.5% 43.5% 35.5% 35.5% 35.5%Risk Reduction & Mitigation 20.6% 22.0% 20.8% 21.4% 21.4% 21.5% 21.5% 21.5% 21.5% 19.5% 19.5% 19.5%Credit Oriented Fixed Income 15.3% 15.1% 14.9% 15.4% 15.3% 15.0% 15.0% 15.0% 15.0% 15.0% 15.0% 15.0%Real Assets 20.3% 20.1% 20.4% 20.3% 20.1% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0%Multi-Risk Allocation 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 10.0% 10.0% 10.0%
100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
Actuals Projected
Current Month's Weights
Month's Activity
November Change in Value
Rebalance: $50m Liquid Real Estate, $50m Liquid Credit
NM Public Employees Retirement AssociationCash Flow Projection - FY 19
July August September October November December January February March April May JuneMonth Beginning Cash, BNYM $154 $104 $330 $147 $133 $135 $151 $162 $173 $184 $195 $206
Uses of CashIlliquid Asset Capital Calls
PE, RE, RA, Credit 85 105 111 97 86 109 80 80 80 80 80 80 Private Asset DrawdownsAsset Class Purchases
Liquid Asset Purchases 213 348
Total Benefit Payments 99 100 100 100 100 100 100 100 100 100 100 100Benefit Payments (BNYM) 55 63 57 62 53 57 50 50 50 50 50 50
Benefit Payments (STO) 44 36 43 38 47 43 50 50 50 50 50 50Refunds 4 6 4 5 5 5 4 4 4 4 4 4
Operational Expense 1 1 1 2 5 1 2 2 2 2 2 2Other 0 0 0 0 0 0
Sources of CashAsset Class Sales
Liquid Asset Redemptions 0 346 163 110 100 485 100 100 100 100 100 100
Illiquid Asset Distributions 88 43 31 29 40 42 40 40 40 40 40 40 Private Asset DistributionsIlliquid Asset Redemptions 0 0 0 4 0 0 Hedge Fund/Portable Alpha
Employee / Employer Contributions 50 63 38 54 53 46 50 50 50 50 50 50Other 2 4 4 2 1 2 1 1 1 1 1 1 Suspense Account / Corporate Action / Overlay
Month Ending Cash, BNYM $104 $330 $147 $133 $135 $151 $162 $173 $184 $195 $206 $217
Corporate Action 4 5 3 3 3 2 4 4 4 4 4 4 Overlay Cash 90 93 89 82 87 81 90 90 90 90 90 90Month Ending Cash, STO 18 38 28 36 31 28 20 20 20 20 20 20
Month-End Capital AllocationsActual Target Var. Range
Global Equity 6,800 6,671 6,819 6,399 6,496 6,190 6,328 6,319 6,310 5,142 5,134 5,127 (305) 42.4% 35.5% 6.9% +/-5%Risk Reduction & Mitigation 3,195 3,440 3,236 3,197 3,218 3,187 3,127 3,123 3,119 2,824 2,820 2,816 (32) 21.8% 19.5% 2.3% +/-3%Credit Oriented Fixed Income 2,375 2,354 2,309 2,301 2,298 2,267 2,182 2,179 2,176 2,173 2,169 2,166 (30) 15.5% 15.0% 0.5% +/-4%Real Assets 3,145 3,139 3,173 3,032 3,013 2,915 2,909 2,905 2,901 2,897 2,893 2,888 (97) 20.0% 20.0% 0.0% +/-4%Multi-Risk Allocation 0 0 0 0 0 - 0 0 0 1,448 1,446 1,444 0 0.0% 10.0% -10.0% +/-4%STO Cash 18 38 28 36 31 28 20 20 20 20 20 20 (4) 0.2% 0.0% 0.2%
Total (net of cash flows) $15,534 $15,642 $15,565 $14,965 $15,055 $14,587 $14,566 $14,546 $14,525 $14,504 $14,483 $14,462 (468) 100.0% 100.0%
Month-End Percentage AllocationsFund Balance (less STO) $15,515 $15,604 $15,537 $14,929 $15,024 $14,559 $14,546 $14,526 $14,505 $14,484 $14,463 $14,442Global Equity 43.8% 42.8% 43.9% 42.9% 43.2% 42.5% 43.5% 43.5% 43.5% 35.5% 35.5% 35.5%Risk Reduction & Mitigation 20.6% 22.0% 20.8% 21.4% 21.4% 21.9% 21.5% 21.5% 21.5% 19.5% 19.5% 19.5%Credit Oriented Fixed Income 15.3% 15.1% 14.9% 15.4% 15.3% 15.6% 15.0% 15.0% 15.0% 15.0% 15.0% 15.0%Real Assets 20.3% 20.1% 20.4% 20.3% 20.1% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0%Multi-Risk Allocation 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 10.0% 10.0% 10.0%
100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
Actuals
Repositioning: Fund new EM mandate ($215m) and additional funding to Global Low Vol. Equity ($133m)
Projected
Current Month's Weights
Month's Activity
December Change in Value
Repositioning: 100% liquidation of EM Equity ($300m) Rebalance: raised $185m to fund cash account - $60m REITS, $100m Global Agg., $25 Liquid Credit
NM Public Employees Retirement AssociationCash Flow Projection - FY 19
July August September October November December January February March April May JuneMonth Beginning Cash, BNYM $154 $104 $330 $147 $133 $135 $151 $157 $168 $179 $190 $201
Uses of CashIlliquid Asset Capital Calls
PE, RE, RA, Credit 85 105 111 97 86 109 117 80 80 80 80 80 Private Asset DrawdownsAsset Class Purchases
Liquid Asset Purchases 213 348Total Benefit Payments 99 100 100 100 100 100 102 100 100 100 100 100
Benefit Payments (BNYM) 55 63 57 62 53 57 55 50 50 50 50 50 Benefit Payments (STO) 44 36 43 38 47 43 46 50 50 50 50 50
Refunds 4 6 4 5 5 5 3 4 4 4 4 4Operational Expense 1 1 1 2 5 1 2 2 2 2 2 2
Other 0 0 0 0 0 0 0
Sources of CashAsset Class Sales
Liquid Asset Redemptions 0 346 163 110 100 485 135 100 100 100 100 100
Illiquid Asset Distributions 88 43 31 29 40 42 41 40 40 40 40 40 Private Asset DistributionsIlliquid Asset Redemptions 0 0 0 4 0 0 2 Hedge Fund/Portable Alpha
Employee / Employer Contributions 50 63 38 54 53 46 53 50 50 50 50 50Other 2 4 4 2 1 2 1 1 1 1 1 1 Suspense Account / Corporate Action / Overlay
Month Ending Cash, BNYM $104 $330 $147 $133 $135 $151 $157 $168 $179 $190 $201 $212
Corporate Action 4 5 3 3 3 2 4 4 4 4 4 Overlay Cash 90 93 89 82 87 81 90 90 90 90 90Month Ending Cash, STO 18 38 28 36 31 28 29 20 20 20 20 20
Month-End Capital AllocationsActual Target Var. Range
Global Equity 6,800 6,671 6,819 6,399 6,496 6,190 6,510 6,550 6,544 5,335 5,330 5,325 319 43.1% 35.5% 7.6% +/-5%Risk Reduction & Mitigation 3,195 3,440 3,236 3,197 3,218 3,187 3,230 3,237 3,234 2,931 2,928 2,925 43 21.4% 19.5% 1.9% +/-3%Credit Oriented Fixed Income 2,375 2,354 2,309 2,301 2,298 2,267 2,333 2,259 2,256 2,254 2,252 2,250 66 15.5% 15.0% 0.5% +/-4%Real Assets 3,145 3,139 3,173 3,032 3,013 2,915 2,989 3,011 3,009 3,006 3,003 3,000 74 19.8% 20.0% -0.2% +/-4%Multi-Risk Allocation 0 0 0 0 0 0 - 0 0 1,503 1,502 1,500 0 0.0% 10.0% -10.0% +/-4%STO Cash 18 38 28 36 31 28 29 20 20 20 20 20 2 0.2% 0.0% 0.2%
Total (net of cash flows) $15,534 $15,642 $15,565 $14,965 $15,055 $14,587 $15,091 $15,077 $15,063 $15,049 $15,035 $15,021 504 100.0% 100.0%
Month-End Percentage AllocationsFund Balance (less STO) $15,515 $15,604 $15,537 $14,929 $15,024 $14,559 $15,061 $15,057 $15,043 $15,029 $15,015 $15,001Global Equity 43.8% 42.8% 43.9% 42.9% 43.2% 42.5% 43.2% 43.5% 43.5% 35.5% 35.5% 35.5%Risk Reduction & Mitigation 20.6% 22.0% 20.8% 21.4% 21.4% 21.9% 21.4% 21.5% 21.5% 19.5% 19.5% 19.5%Credit Oriented Fixed Income 15.3% 15.1% 14.9% 15.4% 15.3% 15.6% 15.5% 15.0% 15.0% 15.0% 15.0% 15.0%Real Assets 20.3% 20.1% 20.4% 20.3% 20.1% 20.0% 19.8% 20.0% 20.0% 20.0% 20.0% 20.0%Multi-Risk Allocation 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 10.0% 10.0% 10.0%
100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
Actuals Projected
Current Month's Weights
Month's Activity
January Change in Value
Restructure: $55m residual proceeds from EM liquidation Rebalance: $80m to fund cash account - $18m REITS, $17m Listed Infra., $45m Liquid Credit
Manager Selection Activity ReportFebruary 2019
Slide 2
Overview: Manager Selection Process
Slide 3
Manager Selection Pipeline
LIQUID Allocation Stage 1 Stage 2 Stage 3 Stage 4 Stage 5
Global Core Fixed Income Risk Reduction
In Process Summary: evaluation of current manager (contract expiration)
Total Fund Overlay Cash Completed Completed Completed In Process Summary: Total Fund Overlay
(new mandate)
Risk Parity Index Replication Multi-Risk Completed Completed Completed Completed ApprovedSummary: Multi-Risk Allocation
(SAA Implementation)
ILLIQUID Allocation Stage 1 Stage 2 Stage 3 Stage 4 Stage 5
Contingent CapitalCredit In Process Summary: Private Debt
(new mandate)
Ardian Infrastructure VReal Assets Completed Completed Completed Completed ApprovedSummary: Private Core Infrastructure
(follow-on)
Slide 4
Risk Parity Index Replication SAA Implementation
Slide 5
Summary of Proposal
Per the newly adopted Strategic Asset Allocation (“SAA”), the Multi-Risk Allocation should constituteapproximately 10% of the total fund. On February 13, 2019 the Beta Team presented the following proposalfor Risk Parity index replication, in order to implement this newly approved asset class and bring allocationsin line with target ranges:
1) Utilize the investment management services of BNY Mellon Assets Management North AmericaCorporation (“AMNA”) for the implementation of PERA’s Risk Parity index replication strategy
2) Draw capital from passive Global Equity (8%) and passive Core Fixed Income (2%), over the nextyear, in accordance with PERA’s newly approved SAA targets
The target sizing of this mandate is equal 10% of the total fund. This mandate will serve as the betaexposure for the asset class, and can be drawn down to fund active Risk Parity strategies over time, inaccordance with the Board approved Active Risk Budget. PERA will seek to fund this mandate to it’s targetsizing through a 10-month funding plan, beginning on April 1, 2019 at approximately 1% of the total fund.Additional allocations will be determined monthly, based on the tracking error and correlations of thestrategy to it’s appropriate funding source.
Slide 6
RFI Overview: Scope of Work & Minimum Qualifications
Scope of Work:• Mandate: discretionary investment management services for a risk parity or risk
balanced strategy
• Proposed benchmark: Wilshire Risk Parity Iundex (Custom 15%)
Minimum Qualifications:• Registered with the SEC, or otherwise exempt from registration
• Submit entire form ADV if selected as a semi-finalist
• Have at least $10 billion in AUM at the firm level
• Provide liquidity on at least a monthly basis, with no more than 30-days notice
• Allow guideline adjustments on at least a monthly basis, with no more than 30-daysnotice
• Have the appropriate infrastructure and resources in place to support a mandate sizein the amount deemed appropriate by PERA, but not to exceed 10% of the total fund
Slide 7
RFI Overview: Procurement Timeline
Action Responsibility DateTime
1. Release of RFI PERA August 27, 2018
2. Return Acknowledgement of Compliance withMinimum Qualifications
OFFEROR August 31, 20185PM MT
3. Deadline for Submission of Written Questions OFFEROR September 7, 2018 5PM MT
4. Response to Written Questions PERA September 14, 2018 5PM MT
5. Deadline for Submission of Proposals OFFEROR September 28, 2018 5PM MT
6. Evaluation of ProposalsPERA
October 2018
7. Due DiligencePERA
November 2018
8. Contract Award PERA February 2019
9. New Contract Proposed Effective Date PERA/OFFEROR April 2019
Slide 8
• The RFI was issued on August 27, 2018 to 13 managers, to be submitted to PERA on or before September28, 2018.
• PERA and Wilshire issued a supplemental DDQ to all respondents, to further narrow the scope of theproposals. PERA focused on the manager’s ability to implement a low cost index replication mandate,absent of any active return enhancements. The deadline for submission was October 26, 2018. 13 offerorsresponded, but only 2 respondents expressed the interest or ability to implement the desired approachoutlined in the Supplemental DDQ.
• Based on the received responses to PERA’s Supplemental DDQ, 2 managers were selected for semi-finalistinterviews
• Interviews were conducted with the two semi-finalists on November 9, 2018 at PERA’s Santa Fe offices.Each respondent addressed the following topics during their interview: i) overview of the firm andstrategy focused team; ii) organizational and operational distinctions related to the management of riskparity and index solutions; iii) analysis of the S&P Risk Parity Index (15% volatility) and an analysis ofPERA’s policy portfolio; iv) the firm’s willingness to provide a custom Risk Parity index with a 15%volatility similar to the Wilshire Risk Parity Index, including an analysis of such index within the policyportfolio both quantitative and qualitatively; v) overview of trading systems and risk managementcontrols; vi) analysis of appropriate investment vehicle structures; and vii) best and final fee proposals
• Based on the interview criteria, as listed above, AMNA was selected for a finalist on-site interview
RFI Overview: Selection of Semi-Finalists
Slide 9
• Wilshire and the Beta Team attended the on-site due diligence visit on November 28, 2018 at theheadquarters of the selected finalist:
• BNY Mellon AMNA: San Francisco, CA
• Attendees included: Tom Toth (Wilshire), Rose Dean (Wilshire), Kristin Varela (Beta Team), AnnaMurphy (Beta Team), Isaac Olaoye (Ops. Team via phone), and Christine Ortega (Ops. Team via phone)
• Topics discussed included
(i) comprehensive review of the AMNA ownership and team structures, including comprehensivereview of recent merges, and oversight of each team associated with the potential mandate
(ii) in-depth review of the proposed custom risk parity index solution, including indexconstruction, implementation and monitoring of risk and
(iii) review of operational infrastructure and capabilities
(iv) discussions with ownership and management teams regarding sensitive topics such as legalnegotiations, compensation, succession planning, and fee negotiations
(v) thorough discussion of investment vehicle structure, reviewing the LP vs. CIT options, andPERA’s legal abilities within each
• The finalist due diligence visit confirmed Wilshire and PERA’s assessment of AMNA, identifying them ashighly capable and well-suited to manage PERA funds
RFI Overview: Selection of Finalist
Slide 10
Finalist: BNY Mellon AMNAOrganization
Investment Team
Investment Strategy
Efficient implementation and tracking of the Wilshire Risk Parity Index (15%) through a low cost and liquid investment structure.
Edge
Highlights
Objective: index replication of theWilshire Risk Parity Index(Custom 15%)
Target Return:
Target Risk:
Target Tracking Error:
Portfolio Construction:
Annual Transaction Costs:
Investment Approach:
DISCLOSURE AUTHORIZED BY CONTRACT
Slide 11
Finalist: BNY Mellon AMNATeam Structure
Slide 12
Finalist: BNY Mellon AMNAProposed Solution
PRIVATE AND CONFIDENTIAL
Slide 13
Finalist: BNY Mellon AMNAFee Review
Proposed fee schedule:
Flat Fee Schedule $ %$ %$ %$ %Amounts $ and above %
PRIVATE AND CONFIDENTIAL
Slide 14
Ardian Infrastructure V
Slide 15
On December 7, 2018 the Alpha Team completed their diligence efforts and proposed commitment of up to€60 million to Ardian Infrastructure Fund V (“Ardian”) an illiquid real asset partnership with a focus onessential infrastructure assets in OECD European markets. Ardian will acquire brownfield core infrastructureassets with predictable cash flows and revenues that provide a natural hedge against inflation. Ardian will seekto drive value through asset management initiatives and strong industrial partnerships. The fund will invest80% in Eurozone countries, and will target sectors such as transport, energy, utilities, telecommunications,social and renewables. PERA expects a net IRR of 10-13%, with a 6-7% recurring cash yield per annum. Acommitment to Ardian would be a follow-on investment for NM PERA, who previously committed $65million to Fund IV in 2015.
This presentation is based on due diligence material and data obtained by the investment division and consultant, directly from the manager, and focuseson the strategy of the recommended manager as it fits within the current portfolio. Additionally, PERA defers to the consultant’s primary diligence onmatters relating to the quality and sufficiency of the fund’s back office, compliance, and other operational matters.
Proposal
Slide 16
• PERA and Ardian maintain a successful relationship, dating back to 2015,which has contributed to favorable strategy diversification and meaningfuloutperformance, as compared to the portfolio’s policy index; 9.60% directalpha and 1.16x KS PME, net of fees performance for PERA’s position infund IV
Existing Relationship
• As PERA continues to build out its Infrastructure portfolio, there remains aneed for core foundation investments that can align more appropriately withthe Plan’s cash flows and inflation needs. Additionally, PERA seeks tofurther diversify geographic concentrations across the Real Assetsportfolio. North American exposure continues to drive portfolio riskcontribution, and Ardian’s European focus will assist in mitigating thisparticular risk
Portfolio Construction
• Access to a large scale and highly capable manager that capitalizes on themarket opportunities available due to the substantial imbalance between thecapital required to effectively address infrastructure needs and the plannedinvestment opportunities in the market
Market Opportunity
• Ardian’s infrastructure team has a 13-year track record of successfullydelivering an investment strategy that constructs a stable and welldiversified European portfolio. They have strategically structured their teamto constitute a unique mix of investment professionals with multi culturalbackgrounds and diverse professional expertise.
Firm Pedigree
Reasons to Invest
Slide 17
Firm Summary: Ardian Infrastructure Fund V
General PartnerFirm Ardian FRANCE Founded 1996
LocationsHeadquartered in Paris, with additionallocations in Germany, Italy, UK, Spain,Luxembourg, and US
Firm Pedigree
• Highly respected for its core values ofexcellence, loyalty, and entrepreneurship
• Infrastructure team benefits from supportof the broader Ardian platform
• Significant network of industrial partnersthat have contributed to 93% off marketdeal flow
Firm AUM Existing GP Yes
Ownership
••••
Alignment•••
DISCLOSURE AUTHORIZED BY CONTRACT
Slide 18
TargetSize
FundraisingStatus
••
Strategy
• Focus on lead investments in essential, matureinfrastructure assets, such as utilities, roads, airports,telecoms, with moderate risk/return profile primarily inEuropean countries
• Targeting assets capable of generating sustainable cashyields through the priority to mature infrastructurecompanies that can distribute dividends shortly afterinvestment
• Dedicated infrastructure investment professionals on theground in the 5 biggest European economies, to enhanceasset selectivity, diligence and transparency
• Active asset management initiatives for value creation andrisk mitigation; working directly alongside strategicpartners and portfolio company management
• Low leveraged portfolio (i) to lower its financing risk and(ii) to increase cash distributions from the Fund'sinvestments due to lower debt service
TargetProfile
• Sector:
• Regions:• Stage:• Equity size:
• Number of portfolio companies:• Holding period:• Limitations:
• Leverage:
Team • Structure
TrackRecord
Notable LPs
Fund Summary: Ardian Infrastructure Fund V
DISCLOSURE AUTHORIZED BY CONTRACT
Slide 19
ManagementFee
• GPCommitment
Carried Interest GovernanceCommittees
•
•
PreferredReturn
LP AdvisoryCommittee
•
•
•
InvestmentPeriod
Key Person
•
•
TermSuccessionPlanning
Terms and Governance: Ardian Infrastructure Fund V
PRIVATE AND CONFIDENTIAL
Slide 20
as of June 30, 2018
PRIVATE AND CONFIDENTIAL
Performance Review: Ardian Infrastructure Funds I-IV
Slide 21
as of June 30, 2018
PRIVATE AND CONFIDENTIAL
Performance Review: Ardian Infrastructure Funds I-IV
Slide 22
Due Diligence Performed: Ardian Infrastructure Fund V
Date Item
Early 2015 – May 2015 • Ardian IV fund diligence, resulting in a $65 million initial commitment
Ongoing • Oversight and monitoring of existing commitment
August 2018 • Launch of Albourne and PERA staff ’s Ardian V fund diligence
August 2018• On-site visit at PERA offices - review of existing fund and discussion on upcoming
fundraise
October 2018• Call with PERA staff and Ardian – review of fund positioning, in-depth discussion of
current market themes, pipeline, terms and timing
October 2018• Due diligence documents - received access to all fund related documents, including legal
agreements and PERA specific due diligence requests
October 2018• PERA on-site with Ardian - visited the New York office and met with strategy focused
team members to discuss various responsibilities within the fund
Ongoing• Albourne conducts primary diligence on matters relating to the quality and sufficiency of
the Fund’s back office, compliance, and other operational matters
Public Employees Retirement of New Mexico
YTD Monthly History - Volume Report ID:Reporting Currency: USD
GSL203For the month ending 12/31/2018
Global Securities Lending
Ending Balances for the Month Average Balances for the Month
Month
Performance
Market ValueLendableSecurities
Market ValueSecurities on
Loan
Percent ofPortfolio on
Loan
MonthlyGrossClient
Market ValueLendableSecurities
Market ValueSecurities on
Loan
Percent ofPortfolio on
Loan
Return onAvailable Assets
for Lending
Return onLoanedAssets
October 567,880,973.00 8.33% 214,603.31 6,975,135,958.57 563,727,539.25 8.08% 3.69 bp 45.68 bp
November6,724,348,465.23
576,392,442.24 8.57% 225,751.48 6,811,736,807.79 563,802,301.56 8.28% 3.88 bp 46.85 bp
December
6,438,886,715.08577,222,697.63 8.96% 233,353.62 6,618,949,855.19 570,848,062.17 8.62% 4.23 bp 49.05 bp
Workbench ReportsPage 1 of 21/18/2019 4:26:24 PM
6,818,520,091.32
Securities Lending Division Pricing Disclosures:
Prices of securities reported herein are provided by pricing vendors and ratings agencies (“pricing vendors”) used by The Bank of New York Mellon (BNYM) in the ordinary course of business. Such prices are not independently verified by BNYM. Some reported prices are not updated by pricing vendors on a regular basis (and therefore are considered ‘stale’) and in some casespricing vendors do not provide prices. For securities where BNYM’s pricing vendors do not provide prices, BNYM may use prices (which may be indicative bids) provided by one or more dealersin such securities or by the Depository Trust Company or other securities depository (generally par value or the price paid on the last trade settled through such depository) until such time thatBNYM’s pricing vendor provides prices.
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Neither BNYM, its pricing vendors or any other third party makes any representations or warranties with respect to any pricing information provided herein; the reported prices may not reflectthe actual amount that can be realized upon the sale of such securities. The pricing information herein may contain errors or omissions.
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UNDER NO CIRCUMSTANCES SHALL BNYM OR ANY OF ITS PRICING VENDORS OR OTHER SUPPLIERS BE LIABLE OR RESPONSIBLE FOR ANY DAMAGES, INCLUDING BUT NOT LIMITED TOANY DIRECT, INDIRECT, INCIDENTAL, EXEMPLARY, SPECIAL, OR CONSEQUENTIAL DAMAGES, LOST PROFITS, OR LOSS OF GOOD WILL (EVEN IF ADVISED OF THE POSSIBILITY OF SUCHDAMAGES) THAT RESULT FROM (1) ANY ERRORS OR OMISSIONS IN THE PRICING INFORMATION, (2) THE USE OF OR INABILITY TO USE ANY PRICING INFORMATION, (3) THECONSEQUENCES OF ANY DECISION MADE OR ACTION OR NON-ACTION TAKEN IN RELIANCE ON THE PRICING INFORMATION; OR (4) ANY OTHER MATTER RELATING TO THE PRICINGINFORMATION.
Reporting values for Mortgage Backed Securities have been reflected as current face.
Loan volumes are calculated using month end exchange rates. Earnings calculations useexchange rates that are based on final earnings reconciliation date.
Workbench ReportsPage 2 of 21/18/2019 4:26:24 PM
DISCLOSURE AUTHORIZED BY CONTRACT