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Kentucky Workers’ Compensation Funding Commission

Board of Directors July 24, 2019

9:00 a.m.

#42 Mill Creek Park Frankfort, Kentucky

AGENDA Kentucky Workers’ Compensation Funding Commission

Board of Directors

July 24, 2019

I. Call to Order - Judy Long, Madam Chair

a) Recording Notice, Angela Calloway

b) Confirmation of Legal Notice

c) Roll Call

d) Introductions

II. Minutes

a) Approval of May 22, 2019 Minutes

III. Coal Workers’ Pneumoconiosis Fund Liability Update – Jon Stewart, KEMI

IV. Executive Director Update – Reuben Jones

a) 2019 Priorities Review

b) 2020 Priorities

c) Pending Move

d) Online Quarterly Reporting

e) Actuarial Kick-Off

V. Audit & Collections Update – Lisa King

VI. Financials - Louie Hord

a) Year-to-Date Budget vs. Actual Expenses

b) Year-to-Date Internal Financial Statements

c) Fiscal Year-to-Date Inter-Agency Transfers

VII. Investments – David Rogan, Conning

a) Investment Update

VIII. Executive Session

a) Litigation Update

b) Personnel

c) Penalty Waivers

IX. Other Business - Open Session

a) Penalty Waivers

b) Litigation Update

X. New Business

XI. Adjournment

I. CALL TO ORDERJudy Long, Madam Chair

I. CALL TO ORDERJudy Long, Madam Chair

a) Recording Notice, Angela Callowayb) Confirmation of Legal Noticec) Roll Calld) Introductions

Intentionally Left Blank

II. Minutes II. Minutes

a) Approval of May 22, 2019 Minutes

1

MINUTES OF A MEETING KENTUCKY WORKERS’ COMPENSATION FUNDING COMMISSION

BOARD OF DIRECTORS May 22, 2019

Opening of Meeting:

1. A regular meeting of the Board of Directors, Kentucky Workers’ CompensationFunding Commission was held on May 22, 2019, in the Commission’s conferenceroom, located at 42 Mill Creek Park, Frankfort, Kentucky. Madam Chair Judy Longcalled the meeting to order.

2. Ms. Estee’ Jackson announced the meeting would be recorded in accordance withKentucky Revised Statute 61.835.

3. Madam Chair Long verified the press notice and asked for a roll call.

Directors Present:

4. Judy Long, Self–Insured Employers RepresentativeTimothy Densler, Labor RepresentativeDavid Dickerson, Secretary, Labor CabinetKim Bechtel, Designee for Secretary William Landrum, Finance & AdministrationCabinetStephanie Rich, Designee for Secretary Terry Gill, Cabinet for EconomicDevelopment

Others Present:

5. Reuben Jones, Executive Director, KWCFCLouie Hord, Director of Fiscal Operations, KWCFCLisa King, Director of Audit and Collections, KWCFCOlivia Orrender, Audit Review Manager, KWCFCBrooke Wallace, Intern, KWCFCEstee’ Jackson, Administrative Services Officer, KWCFCRyan Robinson, Administrative Services Officer, KWCFCMichael Swansburg, Deputy Secretary/General Counsel, Labor CabinetRobert Swisher, Commissioner, Department of Workers’ ClaimsRobert Milligan, Deputy Commissioner, Department of Workers’ ClaimsDavid Rogan, Conning Inc.Jon Stewart, KEMIDustin Miller, Government Strategies, AIG

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Approval of Minutes:

6. Mr. Timothy Densler made a motion to approve the March 27, 2019 RegularMeeting Minutes. Ms. Stephanie Rich seconded the motion. Motion carried.

Executive Director Update:

7. Mr. Reuben Jones updated the Board on several areas including the audit supporttool, and functional analysis regarding organizational structure, training andcertification requirements, and compensation adjustments.

8. Mr. Timothy Densler made the motion to approve the KWCFC functional analysischanges regarding organization structure, training and certification requirementsand compensation adjustments. Ms. Kim Bechtel seconded the motion. Motioncarried.

Coal Workers’ Pneumoconiosis Fund Liability Update: Jon Stewart, KEMI

9. Mr. Jon Stewart provided an update on the Coal Workers’ PneumoconiosisLiability.

10. Mr. Stewart reported that it will be two (2) years on June 30, 2019 since KEMI tookover the coal fund liability, and he is pleased with how much work has been doneand how successful the work has been in moving through the claims.

Financial Report: Louie Hord (report on file for referral)

11. Mr. Louie Hord reviewed the year to date budget versus actual expenses forKWCFC, the year to date internal financial statements, and fiscal year to dateinteragency transfers made by KWCFC for the period ending April 30, 2019.

12. Ms. Kim Bechtel made the motion to accept the financial reports as presented tothe Board. Ms. Stephanie Rich seconded the motion. Motion carried.

Investment Report: David Rogan, Conning, Inc. (report on file for referral)

13. Mr. David Rogan presented an update on the quarterly portfolio review, economicand capital market outlook and portfolio reports as of March 31, 2019.

14. Secretary David Dickerson made the motion to accept the Investment Report aspresented to the Board. Mr. Timothy Densler seconded the motion. Motioncarried.

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Audit & Collections Report: Lisa King (report on file for referral)

15. Ms. Lisa King presented an update on the number of audits ongoing and completed.

16. Ms. King reported on Audits in Protest, Final Audit Findings and Self-Insured Audit Assignment Findings.

17. Ms. Stephanie Rich made the motion to accept the Audit and Collections Report

as presented to the Board. Mr. Timothy Densler seconded the motion. Motion carried.

Contract Update:

18. Mr. Louie Hord reported the audit, actuary and investment contracts are due for renewal and asked the Board for their approval.

19. Mr. Timothy Densler made the motion to approve the renewal of the Financial

Audit, Actuary and Investment Contracts. Secretary David Dickerson seconded the motion. Motion carried.

Executive Session:

20. Madam Chair Long asked for a motion to go into Executive Session under KRS 61.810 (1) (c), (f) and (j) to discuss litigation, personnel and penalty waivers.

21. Mr. Timothy Densler made the motion to go into Executive Session. Ms. Stephanie

Rich seconded the motion. Motion carried.

Open Session:

22. Ms. Stephanie Rich made the motion to return to open session. Mr. Timothy Densler seconded the motion. Motion carried.

Other Business: Fiscal Year 2020 Board Meeting Schedule: July 24, 2019 September 25, 2019 November 20, 2019 January 22, 2020 March 25, 2020 May 20, 2020

23. Ms. Kim Bechtel made the motion to approve the proposed fiscal year 2020 Board meeting dates. Ms. Stephanie Rich seconded the motion. Motion carried.

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Board Member Elections:

24. Madam Chair Long opened the floor for discussion on the appointment of Chairperson, Vice-Chairman and Secretary Treasurer.

25. Secretary Dickerson made the motion to appoint Ms. Judy Long as Chairman,

Mr. Timothy Densler as Vice-Chairman and Ms. Brenda Collins as Secretary-Treasurer. Ms. Stephanie Rich seconded the motion. Motion carried.

New Business:

26. Deputy Secretary/General Counsel Michael Swansburg updated the Board on the upcoming physical move to a new state office building.

27. Mr. Swansburg added there are four (4) cabinets that will be moving into the new

location including Labor, Education and Workforce Development, Tourism and COT. The move date has not been determined yet, but it is expected to be the end of summer/fall.

28. Mr. Swansburg reported the Commission is expected to be located on the third

floor, along with Labor and COT, but that is subject to change. He stated there is a direct entrance to the third floor from the parking garage, as well as a health clinic and convenience store.

Adjournment:

29. Ms. Stephanie Rich made a motion to adjourn. Mr. Timothy Densler seconded the motion. Motion carried.

________________________________ Chairman of the Board

6/30/2019 12/31/2018 12/31/2017 InceptionCash, Investments and Receivables

Long-term bonds $ 11,202,178 $ 15,256,870 $ 15,371,134 $ 0

Cash and short-term investments 25,927,712 18,107,487 6,499,742 19,309,722

Coal fund assessments receivable 4,869,600 8,450,000 16,879,380 19,690,278

Transition funds receivable 882,855 920,703 1,000,000 1,000,000

Investment income receivable 124,043 135,805 161,158 0TOTAL CASH, INVESTMENTS AND RECEIVABLES $ 43,006,388 $ 42,870,865 $ 39,911,414 $ 40,000,000

Reserve for Unpaid Losses and Loss ExpensesLoss reserves $ 26,610,536 $ 29,066,337 $ 28,387,927 $ 28,500,464

Loss expense reserves 4,811 34,513 23,487 0

Incurred but not reported claim reserves 16,391,041 13,770,015 11,500,000 11,499,536NET LIABILITY FOR LOSSES AND LOSS EXPENSES $ 43,006,388 $ 42,870,865 $ 39,911,414 $ 40,000,000

Year to Date Year to Date 7/1/2017- Inception6/30/2019 12/31/2018 12/31/2017 to Date

Coal Fund Assessments Received $ 5,231,000 $ 17,750,414 $ 6,752,330 $ 29,733,744

Losses and Loss Expenses Paid, Net of RecoveriesLosses paid (2,249,208) (7,406,596) (4,109,302) (13,765,106)

Loss expenses paid (16) (240) (3,773) (4,029)

Subrogation recoveries received 389,980 590,443 0 980,423

Losses and Loss Expenses Paid, Net of Recoveries (1,859,244) (6,816,393) (4,113,075) (12,788,712)

Other Receipts / (Payments)Interest and dividend income 381,443 534,981 92,867 1,009,291

Realized investment gain / (loss) 65 0 0 65

Other investment income 1,000 0 0 1,000

Investment custody fees (493) (874) 0 (1,367)

Legal fees 0 0 (9,810) (9,810)

Transition fund expenses (37,848) (79,297) 0 (117,145)

Other expenses 0 0 0 0

Other Receipts / (Payments) 344,167 454,810 83,057 882,034

NET CASH RECEIVED (PAID) FOR THE PERIOD $ 3,715,923 $ 11,388,831 $ 2,722,312 $ 17,827,066

STATEMENT OF CASH ACTIVITY

KENTUCKY EMPLOYERS' MUTUAL INSURANCEKCWPF Loss Portfolio Transfer

6/30/2019

STATEMENT OF POSITION

Modified Cash Basis of Accounting

Kentucky Employers' Mutual Insurance

Schedule of KCWPF Claims

as of June 30, 2019

Recoveries

Count Indem/Med Expense Indem/Med Indem/Med Expense Indem/Med Expense

Initial "Pay Status"

Inception: 7/1/2017 542 22,707,962.53 0.00 0.00 28,500,464.19 0.00 51,208,426.72 0.00

Activity thru 4/30/2019

Closed (158) 849,446.00 3,793.05 (94,157.23) (2,324,840.15) 0.00 (1,569,551.38) 3,793.05

Balance in Pay Status 384 6,571,398.41 47.40 (593,705.16) (6,792,613.51) 0.00 (814,920.26) 47.40

Balance of Initial Files 384 19,383,010.53 0.00

Filed & Unresolved

Inception: 7/1/2017 760 0.00 0.00 0.00 0.00 0.00 0.00

Activity thru 4/30/2019

Dismissed or No Participation (372) 0.00 0.00 0.00 0.00 0.00 0.00

Settled (240) 2,469,970.60 0.00 (134,199.58) 0.00 0.00 2,335,771.02 0.00

Pay Status (135) 3,894,190.49 189.20 (178,261.00) 7,227,525.95 4,810.80 10,943,455.44 5,000.00

Balance of Filed & Unresolved 13

Balance in "Pay Status" 519 26,610,536.48 4,810.80

Paid O/S Reserve Incurred

IV. Executive Director Update –Reuben Jones

IV. Executive Director Update –Reuben Jones

a) 2019 Priorities Reviewb) 2020 Prioritiesc) Pending Moved) Online Quarterly Reportinge) Actuarial Kick-Off

Executive Director Update

Kentucky Workers’ Compensation Funding CommissionReuben Jones

“People First…Mission Always”

Topics FY 2019 Priorities Review

FY 2020 Priorities

Pending Move

Online Quarterly Reporting

Actuarial and Financial Audit Kick‐Off

Investment Program

7/22/2019 3:42:16 PM Official Use Only 2

FY 2019 Staff Priorities Complete 2018 audit

assignments

Implement audit program software

Submit administrative regulations

Submit legislative changes

Increase electronic QPR usage

Streamline financial audit and actuarial data collection efforts

Finalize policy and procedure review

Conduct Funding Commission functional analysis review

Enhance auditor fundamental training

Identify staff training opportunities

Implement records archive operations (Audit and Fiscal)

Process improvements

Maintain 2 year audit cycle

FY 2020 Staff Priorities Implement 2018 statutory

requirement of E‐File / E‐Pay beginning January 1, 2020

Upgrade E‐File / E‐Pay system to accept P&I and Audit payments

Increase electronic QPR usage

Implement audit program software

Complete 2019 audit assignments

Policy and Procedure Update

Submit legislative changes

Implement Training Requirements

Records Archive

Maintain 2 year audit cycle

Update BOD on Functional Analysis Review

Pending Office Move

• Move scheduled Fall 2019

• Archive / Scanning process in place

• Inventory listing provided to Labor Cabinet

• Staff ready to execute


Online Quarterly Reporting

• 2018 legislative requirement begins January 1, 2020 for all assessment payers to report and pay online

• Marketing efforts underway to increase awareness of legislative filing requirement

• Upgrades have been done to E‐File / E‐Pay system to provide more a user friendly environment to assessment payers


Actuarial & Audit Kick‐Off

• Weekly calls began on 06/24/19

• Stakeholders are beginning to provide information

• Blue & Company Auditors to begin in office testing July 15, 2019

• Target date for completion is September 25, 2019


Investment Program

• Program is delivering as expected

• Investment contract current through 2020

• Actual returns higher than original projections


Summary

• FY 2019 Priorities a success• FY 2020 Priorities in place• Move prep underway • Actions in place to increase E‐File / E‐Pay usage• Actuary and Audit reports to be presented at September meeting

• Investment program producing positive results 7/22/2019 3:42:16 PM Official Use Only 9

V. Audit & Collections Update – Lisa King V. Audit & Collections Update – Lisa King

KWCFC Audit Program Statistics

Total Audits

June 2013For Audit Yrs 2011-2012

November 2015For Audit Yrs 2013-2014

Insurance Carrier Group Self Insurer

January 2017For Audit Yrs 2015-2016 Total Audits

1089

117

1059

114

1059

114

31827

345

Total Audits Outstanding as of July 2019Assigned

November 2013For Audit Yrs 2011-2012

Insurance Carrier Group Self Insurer

Assigned November 2015

For Audit Yrs 2013-2014

Assigned as ofNovember 2017

For Audit Yrs 2015-2016 Total Outstanding

000

000

253

28

253

28

1


2

Initial ReviewStatus

Returned to AuditorFor Correction Status Total Outstanding

Insurance Carrier 2013Group Self Insurer 2013Insurance Carrier 2015Group Self Insurer 2015Insurance Carrier 2017Group Self Insurer 2017

0000

420

000000

0000

420

Total Audits Issued as of July 2019

Insurance Carrier 2013Group Self Insurer 2013Insurance Carrier 2015Group Self Insurer 2015Insurance Carrier 2017Group Self Insurer 2017

10891059386275

Total Audits In Review as of July 2019


3

24%

40%

36%

0%

2015‐2016 Audit Cycle Progress

Audits Outstanding Audits in Review

Audits Issued Audits Not Yet Assigned


Audits in Protestas of July 2019

2009201120132015

Number of Audits Additional Asmt Refund of Asmt Penalty & Interest Refund to Insured

20237

$286,434.62*$0.00*

$1,722,484.94*$1,662,289.56*$3,671,209.12

($162,654.61)*0.00*

($60,622.95)*($0.00)*

($223,277.56)

$2,358,549.65*$0.00*

$6,233,012.57*$2,637,384.67*$11,228,946.89

($4,096,716.06)*0.00*

($1,822,161.48)*($1,362,971.00)*($7,281,848.54)

*Amounts in protest subject to change

Final Audit Findings*

201320152017

Additional Asmt Refund of Asmt

*Includes Insurance Companies and Self Insurer Groups

Self Insurer Audit Assignment Findings as of July 2019

201620172018

Number of Audits Additional Asmt Refund of Asmt Penalty & Interest

111104102317

$73,770.11$34,143.36

$515,332.87$623,246.34

($5,961.80)($3,585.07)

($18.40)($9,565.27)

$23,405.26$11,834.42$62,213.66$97,453.34

($991,830.61)($237,478.08)

($1,512.05)($1,230,820.74)

$450,478.28$851,147.36

$1,442.90$1,303,068.54

4

Penalty & Interest Refund to Insured

as of July 2019

$1,187,899.17$939,635.61

$1,445.04$2,128,979.82

($74,685.76)($142,097.10)

0.00($216,782.86)

VI. Financials – Louie HordVI. Financials – Louie Hord

a) Year-to-Date Budget vs. Actual Expensesb) Year-to-Date Internal Financial Statementsc) Fiscal Year-to-Date Inter-Agency Transfers

VII. Investments – David Rogan, ConningVII. Investments – David Rogan, Conning

a) Investment Update

www.conning.com | © 2019 Conning, Inc. The names of certain companies, products and product brands, and the logos and images related thereto, are trademarks of their third party owners. They are used herein for illustrative and informational purposes only. Nothing herein implies sponsorship or endorsement of those companies or products by Conning, or an endorsement by such trademark owners of Conning or its products and services.

Portfolio Reports and AnalysisAs of June 30, 2019

http://www.conning.com

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Table of Contents

Section Description

I Quarterly Portfolio Review

II Economic and Capital Market Outlook

III Portfolio Reports

Compliance

3


4

ECONOMICSMarket headwinds from May turned mostly to tailwinds in June as the Fed’s June statement cleared the way to cut interest ratesat the July meeting. The expected resumption of talks between the U.S. and China indeed materialized at the late-June G-20meeting alongside an agreement between OPEC and Russia to sustain production cuts for another six to nine months. Stockand oil prices have rebounded, but the yield curve has remained near its lows. Our 2019 GDP estimate is 2.5% on a Q4/Q4basis versus the Fed’s 2.0%-2.2% forecast, given strength in consumption growth through May and improved housing sectorprospects, though ongoing delays in the 737 Max grounding continue to weigh on forecasts of equipment shipments through therest of the year. We think that the Fed will cut the federal-funds rate target 25 basis points at the July meeting as the marketexpects to provide insurance against further economic weakness. However, we think the market is being overly aggressive inforecasting two more cuts in 2019 as economic growth seems to be solid enough to make them unnecessary. Further cuts willbe dependent on key economic data items like fixed-investment spending, durable-goods orders and inflation measures.

INVESTMENT ACTIVITYFor the quarter, new fixed-income purchases totaled $1.5 million. These purchases had an average book yield of 3.73%,average duration of 7.49 and average credit quality of Aa1/A-/AA+. There were no long-term sales during the quarter.

PORTFOLIO HIGHLIGHTSThe duration of the total portfolio decreased by 0.20 to 5.93 over the quarte,r primarily due to the passage of time. The portfolio’soverall book yield ended the second quarter at 3.67%. The portfolio’s average credit quality ended the quarter at Aa3/AA-/AA-.Unrealized gains in the portfolio increased by $8.1 million and ended the quarter at $10.4 million. This change in the unrealizedposition was driven by corporate spread compression during the quarter, as well as the portfolio’s market value increasing due toTreasury yields falling over the quarter.

INVESTMENT PERFORMANCEThe fixed-income portfolio generated a total return of 3.70% over the quarter which was 0.26% greater than the benchmarkperformance of 3.43% over the same period. This outperformance can be attributed to the portfolio’s security selection andpositioning relative to the benchmark.

Executive Summary

Section I

5

% of Book Market Unrealized Eff Eff Mat Book TE MarketMV Value Value Gain/Loss Dur (Years) Yield Yield Yield Mdy's S&P Fitch

Short Term (Gross) 3,574,656 3,577,445 2,789 0.08 0.08 2.12 2.12 1.55 Aaa AAA AAA Pending Transactions 0 0

1.2 Short Term (Net) 3,574,656 3,577,445 2,789 0.08 0.08 2.12 2.12 1.55 Aaa AAA AAA29.5 Treasury 92,984,643 90,803,422 (2,181,222) 6.65 8.44 2.87 2.87 2.06 Aaa AA+ AAA11.5 Taxable Municipal 32,507,923 35,519,685 3,011,762 8.99 11.39 4.19 4.19 3.08 Aa3 AA AA0.5 EM Government 1,423,789 1,612,031 188,243 7.45 9.29 5.26 5.26 3.57 Baa3 BBB- A

39.3 Corporate 112,600,401 120,740,376 8,139,975 6.18 7.40 4.21 4.21 3.09 A3 A- A-14.1 MBS Pass-Through 42,258,195 43,291,418 1,033,223 2.51 4.96 3.60 3.60 2.84 Aaa AA+ AAA3.5 Asset Backed 10,586,007 10,822,238 236,231 2.42 2.65 3.86 3.86 2.78 Aa2 A+ AAA0.4 CMBS 1,223,123 1,234,452 11,329 5.75 6.65 3.85 3.85 3.61 NA A- NA

100.0 Subtotal: FIXED INCOME 297,158,737 307,601,067 10,442,330 5.93 7.58 3.67 3.67 2.72 Aa3 AA- AA-

100.0 Grand Total: 297,158,737 307,601,067 10,442,330 5.93 7.58 3.67 3.67 2.72 Aa3 AA- AA-

Kentucky Workers' Compensation Funding CommissionMonthly Holdings Summary Report

Kentucky WC Funding Commission / Kentucky WC Funding Comm - Fixed IncomeLocal Currency / STAT Accounting Basis

As of June 30, 2019

FIXED INCOME

Portfolio Summary

6

QTD YTDSep-18 Dec-18 Mar-19 Jun-19 Change Change

Market, Book and Unrealized Position (000s)Portfolio Market Value $289,273 $286,850 $297,152 $307,601 $10,449 $20,751Portfolio Book Value $299,860 $291,653 $294,796 $297,159 $2,363 $5,505Total Portfolio Unrealized Gain / (Loss) ($10,587) ($4,803) $2,356 $10,442 $8,086 $15,246

QTD Operational Net Inflows/(Outflows) (000s) $66,368 ($9,933) ($94) ($91)Estimated Annual Income (000s) $9,186 $10,752 $10,853 $10,897 $43 $144Asset Allocation Based on Market Value

Short Term 6.0% 0.3% 0.1% 1.2% 1.0% 0.9%Treasury 43.6% 30.6% 29.9% 29.5% -0.4% -1.1%Taxable Municipal 6.9% 10.8% 11.4% 11.5% 0.2% 0.7%Emerging Markets Government 0.0% 0.5% 0.5% 0.5% 0.0% 0.0%Corporate 25.2% 38.1% 39.3% 39.3% 0.0% 1.2%MBS Pass-Through 15.5% 16.0% 15.2% 14.1% -1.1% -1.9%Asset Backed 2.9% 3.8% 3.6% 3.5% -0.1% -0.3%CMBS 0.0% 0.0% 0.0% 0.4% 0.4% 0.4%

Total Asset Allocation 100% 100% 100% 100%Fixed-Income Duration Comparison

Portfolio Effective Duration 5.79 6.27 6.13 5.93 -0.20 -0.35Custom Benchmark Duration na na 6.08 6.09 0.00 naPercent of Neutral na na 101% 97% -3.4% na

Fixed-Income Book Yield 3.06% 3.69% 3.68% 3.67% -0.01% -0.02%Fixed-Income Market Yield 3.33% 3.60% 3.21% 2.72% -0.48% -0.87%Yield on 5-Year U.S. Treasury 2.95% 2.51% 2.23% 1.77% -0.47% -0.75%Yield on 10-Year U.S. Treasury 3.06% 2.69% 2.41% 2.01% -0.40% -0.68%Portfolio Credit Quality Aa2 / AA- / AA Aa3 / AA- / AA Aa3 / AA- / AA- Aa3 / AA- / AA-

Kentucky Workers' Compensation Funding CommissionTrend Report

Portfolio Trend Report

7

< 1 yr 1-2 yrs 2-3 yrs 3-4 yrs 4-5 yrs 5-7 yrs 7-10 yrs > 10 yrs03/31/2019 4.7% 3.2% 5.5% 2.6% 9.1% 16.2% 26.5% 32.2%06/30/2019 5.5% 4.1% 6.0% 3.5% 7.4% 17.2% 26.1% 30.2%Benchmark 0.0% 13.0% 11.7% 11.0% 10.6% 19.7% 11.3% 22.7%

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Aaa Aa A Baa <Baa NA/NR03/31/2019 47.1% 10.0% 22.1% 20.6% 0.0% 0.2%06/30/2019 46.1% 10.1% 22.4% 21.3% 0.0% 0.2%Benchmark 52.7% 8.8% 18.0% 20.5% 0.0% 0.0%

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<=1 2 3 4 5 6 7 8 9 10 > 1003/31/2019 4.7% 6.0% 8.0% 10.7% 7.1% 6.2% 6.1% 17.9% 13.4% 17.4% 2.6%06/30/2019 7.3% 6.6% 12.6% 7.2% 2.1% 6.9% 5.8% 18.3% 14.2% 16.3% 2.7%Benchmark 1.0% 15.3% 15.7% 14.7% 11.3% 7.2% 6.4% 5.7% 3.3% 0.9% 18.4%

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Short Term Treasury Government EmergingMarkets Corp MBS ABS CMBS

03/31/2019 0.1% 29.9% 11.4% 0.5% 39.3% 15.2% 3.6% 0.0%06/30/2019 1.2% 29.5% 11.5% 0.5% 39.3% 14.1% 3.5% 0.4%Benchmark 0.0% 31.0% 11.0% 0.5% 37.5% 16.0% 4.0% 0.0%

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Quality vs. Benchmark (Barclays Methodology)

Portfolio Allocation vs. Benchmark

Effective Maturity vs. Benchmark

Portfolio Graphs – June 30, 2019Effective Duration vs. Benchmark

8

0%

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Under3.0

3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 Over 7.0

Perc

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(MV)

03/31/201906/30/2019

Benchmark

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Conv15 Year

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GNMA15 Year

GNMA30 Year

OtherAgency

ARMs CMOs

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(MV)

03/31/201906/30/2019Benchmark

Aa4.8%

A43.0%

Baa52.2%

Bank Ener-gy REITs Cap

GoodsConsrNon Elec Comm Insur Tech Basic

IndFin

CompConsrCyc Broker Nat

Gas Trans IndOthr

UtilityOther

03/31/2019 29.1% 13.2% 12.9% 8.3% 7.3% 5.5% 5.1% 5.0% 3.6% 2.7% 2.1% 1.8% 1.8% 1.6% 0.0% 0.0% 0.0%06/30/2019 29.0% 13.2% 12.9% 8.4% 7.4% 5.5% 5.2% 4.9% 3.6% 2.7% 2.0% 1.8% 1.8% 1.6% 0.0% 0.0% 0.0%Benchmark 22.8% 8.8% 2.6% 5.1% 16.5% 6.5% 9.0% 4.5% 8.3% 3.1% 1.0% 7.3% 0.9% 0.5% 2.4% 0.4% 0.2%

0%

5%

10%

15%

20%

25%

30%

35%

Perc

enta

ge o

f Cor

pora

tes

(MV)

Corporate Quality (Barclays Methodology)

MBS Subclass

Industry Allocation vs. Benchmark

MBS Coupon

Portfolio Graphs – June 30, 2019

9

Trade Settle Cpn/ Maturity Eff Mat Eff Par Orig Total Total Book TE MktDate Date Description Dvd Date Date Dur Value Price Principal Amount Yield Yield Yield Mdy's S&P Fitch

05/09/19 05/22/19 CMWLTH FING AUTH PA3.807 06/01/41 06/01/41 14.60 275,000 100.000 275,000 275,000 3.81 3.81 3.81 A1 A A+

3.807 06/01/41 06/01/41 14.60 275,000 100.000 275,000 275,000 3.81 3.81 3.81 A1 A A+

04/11/19 04/18/19 FREMF 2019-K734 B 4.052 02/27/51 02/23/26 5.90 1,200,000 101.927 1,223,123 1,225,419 3.72 3.72 3.72 Aaa A- AAA

4.052 02/27/51 02/23/26 5.90 1,200,000 101.927 1,223,123 1,225,419 3.72 3.72 3.72 Aaa A- AAA

4.006 05/14/49 12/12/28 7.49 1,475,000 101.573 1,498,123 1,500,419 3.73 3.73 3.73 Aa1 A- AA+

4.006 05/14/49 12/12/28 7.49 1,475,000 101.573 1,498,123 1,500,419 3.73 3.73 3.73 Aa1 A- AA+

Total: Fixed Income

Grand Total:

Kentucky Workers' Compensation Funding CommissionLong Term Purchase Report


April 1, 2019 to June 30, 2019

Fixed IncomeTaxable Municipal

Subtotal: Taxable MunicipalCMBS

Subtotal: CMBS

Investment Activity – Purchases

10

There were no long-term sales during the quarter.

Investment Activity – Sales

11

BANK OF AMERICA CORP 5,000,000 4,847,750 5,142,282 294,532 A1 A 1.67%GENERAL ELECTRIC CO 5,000,000 4,642,885 5,023,621 380,736 A3 A- 1.63%CHRISTUS HEALTH 4,000,000 4,000,000 4,433,548 433,548 A1 A+ 1.44%ROYAL BK SCOTLND GRP PLC 4,000,000 4,000,000 4,326,100 326,100 Baa2 BBB 1.41%WABTEC CORP 4,000,000 3,995,560 4,267,332 271,772 Ba1 BBB 1.39%HSBC HOLDINGS PLC 4,000,000 3,938,370 4,173,832 235,462 A2 A 1.36%NATIONWIDE BUILDING SOCIETY 4,000,000 3,925,120 4,166,348 241,228 Aa3 A 1.35%PNC FINANCIAL SERVICES GROUP I 3,500,000 3,492,230 3,806,033 313,803 A3 A- 1.24%HEWLETT PACKARD ENTERPRISE CO 3,000,000 3,089,400 3,302,145 212,745 Baa2 BBB 1.07%COMCAST CORP 3,000,000 2,966,580 3,297,069 330,489 A3 A- 1.07%DUPONT DE NEMOURS INC 3,000,000 3,000,000 3,209,286 209,286 Baa1 A- 1.04%DUKE REALTY CORP 3,000,000 2,967,635 3,202,248 234,613 Baa1 BBB+ 1.04%FIRSTENERGY CORP 2,850,000 2,847,863 3,125,809 277,946 Baa3 BBB 1.02%ENERGY TRANSFER LP 3,000,000 2,865,990 3,095,601 229,611 Baa3 BBB- 1.01%NORTHROP GRUMMAN CORP 3,000,000 2,827,800 3,072,261 244,461 Baa2 BBB 1.00%AT&T INC 3,000,000 2,713,950 2,979,240 265,290 Baa2 BBB 0.97%AIRCASTLE LTD 2,375,000 2,370,986 2,465,222 94,235 Baa3 BBB- 0.80%BOSTON PROPERTIES INC 2,500,000 2,257,000 2,456,303 199,303 Baa1 A- 0.80%NATIONAL RETAIL PROPERTIES INC 2,000,000 1,985,760 2,167,094 181,334 Baa1 BBB+ 0.70%FIFTH THIRD BANCORP 2,000,000 2,001,166 2,150,462 149,296 A3 A- 0.70%Total: 66,225,000 64,736,045 69,861,835 5,125,790 Baa1 BBB+ 22.71%01/15/2027 4.34

08/23/2026 4.2108/13/2028 4.3907/04/2025 3.94

11/22/2027 3.9906/06/2026 4.5308/29/2023 4.44

07/12/2028 4.1309/11/2030 4.5608/01/2027 4.61

07/25/2025 4.3908/13/2028 4.2910/17/2023 4.21

06/27/2025 4.1707/21/2025 4.2207/26/2028 4.08

04/30/2028 4.3401/21/2029 5.0807/12/2028 4.96

MV % FI08/24/2024 3.7111/01/2026 4.46

Kentucky Workers' Compensation Funding CommissionTop 20 Corporate Holdings by Market Value


As of June 30, 2019

IssuerPar Value/

Shares Book Value Market Value Unreal G/L Eff MatTE

Yield Moody's S&P

Top Corporate Holdings

12

Cpn/ Maturity Par/ Book Market Unrealized Eff Book TE MarketCusip Description Dvd Date Shares Value Value Gain/Loss Dur Yield Yield Yield Mdy's S&P

Kentucky Workers' Compensation Funding CommissionClose Watch List Report


As of June 30, 2019

NONE

Close Watch List

13

ABS 26209BAF6 DRIVE 2018-4 C 3.66 10/17/2020 2,000,000 1,999,649 2,030,826 31,177 Y Aaa Aa3 A A

CORP 49456BAF8 KINDER MORGAN INC 4.30 03/29/2025 2,000,000 2,020,360 2,134,902 114,542 Y Baa2 Baa2 BBB BBB BBB BBB-

CORP 55336VAS9 MPLX LP 4.80 12/11/2028 1,750,000 1,740,060 1,923,891 183,831 Y Baa2 Baa3 BBB BBB BBB- BBB- 2FE

CORP 741531FA0 PRICOA GLOBAL FUNDING 1 3.45 09/01/2023 1,650,000 1,649,852 1,721,120 71,268 Y Aa3 A1 AA- AA- AA- AA- 1FE

CORP 78009PEH0 ROYAL BK SCOTLND GRP PLC5.08 01/21/2029 4,000,000 4,000,000 4,326,100 326,100 Y Baa2 Baa2 BBB BBB- A A 2FE

11,400,000 11,409,920 12,136,838 726,918

CORP 89352HAW9 TRANSCANADA PIPELINES 4.25 03/12/2028 1,000,000 985,330 1,079,759 94,429 Y Baa1 A3 BBB+ BBB+ A- A- 2FE

1,000,000 985,330 1,079,759 94,429

CMBS 302977AS2 FREMF 2019-K734 B 4.19 02/19/2026 1,200,000 1,223,123 1,234,452 11,329 N NA Aaa A- A- NA AAA 1FE

1,200,000 1,223,123 1,234,452 11,329

13,600,000 13,618,373 14,451,049 832,676

Total Rating Changes due to Withdrawn/Not Rated (Count = 1)

Grand Total

Total Upgrades (Count = 5)

Downgrades

Total Downgrades (Count = 1)

Rating Changes due to Withdrawn/Not Rated

Upgrades

Prior Fitch

Current NAIC

Held Mar

Current Mdy's

Prior Mdy's

Current S&P

Prior S&P

Current Fitch

Kentucky Workers' Compensation Funding CommissionRatings Change Report


From March 31, 2019 to June 30, 2019 Asset Types Included: All Asset Types

Sector

Cusip

Bond Description

Cpn/ Div

Eff Mat

Par Value

Book Value

Market Value

Unreal G/L

Ratings Change Report – Consolidated

14

Kentucky WC Funding Comm - Fixed IncomeSector Report - Rolling PeriodsTotal ReturnsJune 2019

% of Total Jun QTD YTD 3 Months InceptionTreasurys 29.6% 1.11% 3.38% 6.03% 3.38% 9.31%

Governments 12.1% 1.98% 5.14% 8.76% 5.14% 12.10%

Corporates 39.3% 2.26% 4.43% 9.83% 4.43% 10.48%

MBS 14.0% 0.78% 1.86% 3.71% 1.86% 5.11%

ABS 3.5% 0.58% 1.92% 3.15% 1.92% 5.64%

CMBS 0.4% 0.23% 1.76% 1.76% 1.76% 1.76%

Total Portfolio 100.0% 1.58% 3.70% 7.32% 3.70% 9.38% Benchmark 1.46% 3.43% 6.88% 3.43% 8.35% Variance 0.12% 0.26% 0.44% 0.26% 1.03%

Current Benchmark Portfolios Included

KWCFC_BM Kentucky WC Funding Comm - Fixed Income 8/1/18 - Current 8/2018-Current Fixed Weighted, consisting of 11.00% Barclays U.S. Treasury Intermediate Index 38.00% Barclays U.S. Corporate Investment Grade Index 16.00% Barclays MBS Fixed Rate Index 11.00% Barclays Taxable Municipal (full universe) ex BABs Index 4.00% Barclays ABS Aaa to Baa3, 0-5 Year Index 20.00% Barclays U.S. Treasury Index

Total returns include cash balances and short-term securities. Numbers reflect precise results. Comparative rounding issues may occur.

Performance Review

15


16

Actual Forecast Actual1Q19 2Q19 2018 2019 2020

Gross Domestic Product 3.1% 2.0% Real GDP (Q4/Q4) 3.0% 2.5% 2.3%Civilian Unemployment Rate 3.9% 3.6% 3.9% 3.7% 3.6%ISM Index 55.4 52.5 58.8 53.8 53.8Retail Sales 1.2% 7.1% 4.8% 3.6% 4.7%WTI Oil Price $55 $60 $65 $58 $61CPI Core (Y/Y) 2.1% 2.0% 2.2% 2.1% 2.3%Fed Funds Rate 2.43% 2.40% 1.88% 2.40% 2.40%2-Year Note Yield 2.27% 1.95% 2.53% 2.26% 2.40%10-Year Note Yield 2.41% 2.05% 2.90% 2.35% 2.45%Eurozone GDP 0.4% 0.2% 1.8% 1.2% 1.4%U.K. GDP 0.1% 0.3% 1.4% 1.3% 1.4%World GDP (Y/Y) na na 3.6% 3.3% 3.6%

Data Sources:© 2019 Action Economics, LLC – used by permission Prepared by Conning, Inc.© 2019 International Monetary Fund (IMF) World Economic Outlook (WEO) Update April 2019 – used with permission.

Economic Indicators (As of June 30, 2019)

Forecast

U.S

.G

loba

l

Economic Forecast 1¡ Growth and inflation readings are expected to fall for the

second quarter and remainder of the year from their respective 3.1% and 1.8% levels posted in the first quarter, driven by weaker exports, investment spending and inventory growth.

¡ Both manufacturing and consumer survey data have softened but are at levels suggesting slower but continued expansion. The Conference Board Consumer Confidence Survey saw a notable drop in expectations in June. Potential spillover into consumer spending will be closely watched.

¡ The ECB left rates unchanged at its June meeting and hinted that they would remain at current levels until the second half of 2020, focusing on the 2% target inflation, but sounded a dovish note due to global trade and political factors. Data was mixed, but employment data remains strong.

Key Themes 1 Investment Insights 1

Macro Outlook Summary

¡ Fed to Ease – The Fed struck a more accommodative tone at its June meeting, noting softening in business fixed-investment and market-based inflation expectations. The Committee moved from being patient to stating it “will act as appropriate to sustain the expansion.” Markets have priced in three 25 basis-point eases by the end of 2019, with one in July.

¡ Easing to Come in Europe? – Across Europe and the U.K., the backward data appear relatively strong, particularly employment data; inflation has moderated but sentiment is weak. The ECB and BOE are hedging their bets with talk of options and toolboxes, leaning towards easing in case their short-term outlooks do not materialize.

¡ Trade – Presidents Trump and Xi Jinping’s agreement to resume trade negotiations will provide at least temporary relief to the markets, but resolution of major issues will take time.

More accommodative monetary policy by the Fed should provide added support for continued U.S. economic expansion and a more stable fundamental foundation for most sectors. The added liquidity and stability should also support risk asset returns in a “carry” type of environment. While China-U.S. trade negotiations will resume, policy uncertainty is dampening fixed-investment spending and presents downside risks. With risk premiums at relatively narrow levels, aggressive portfolio positioning is not warranted. The U.S. bond market is well ahead of the Fed, but low inflation and slower U.S. and global growth will keep rates lower for longer. We retain a neutral duration target.

In Europe and U.K., it seems that bond markets and equity markets are overpricing policy easing in the near future; yield curves out to 10 years are below policy rate in both the U.K./EU. We believe that this represents a significant risk premium for two central banks that, in theory, remain biased towards tightening.

Section II

17

Asset Class Bias Supporting Commentary

Investment Grade

Corporates

¡ Credit metrics remain stretched considering the later stage of the credit cycle. The future direction of metrics will be influenced by theinteraction between the environment of slower economic growth, reduced net bond supply and lower cost of debt.

¡ Sentiment has benefited from the dovish shift by central banks and de-escalation of trade conflicts, although continued uncertainty is likely toweigh on corporate decision-making and capital investment.

¡ A combination of a slow-growth economic environment and low borrowing costs may spur acquisition activity.¡ Low global bond yields and the potential for falling dollar hedge costs should enhance the relative attractiveness of U.S. corporate credit and

continue to encourage investor flows.¡ Opportunities: Accommodative monetary policy and low global bond yields provide a supportive backdrop for spreads. Preferred industries

include communications, finance companies and REITs, all of which have a U.S.-centric orientation should trade concerns flare up.Opportunistically rotate into issuers with stronger credit profiles as spreads remain relatively compressed and the credit cycle remains in thelater stage. Underweight industries are consumer cyclicals, insurance and technology. Credit curves appear likely to flatten as the front endbecomes more expensive following Fed easing and risk appetite improves as trade negotiations resume.

High Yield Corporates

¡ Credit fundamentals remain supportive, benefiting from stable credit metrics and the more domestic orientation of high-yield issuers.¡ Moderate new issuance and shifting interest to fixed versus floating structure provide technical support.¡ Opportunities: Extension trades in BB-rated issues offer compelling spread pickup and provide benefit from potential credit-curve flattening.

Retail remains highly exposed to uncertainty surrounding tariffs.

Private Placements

¡ Robust issuance should persist as borrowers opportunistically come to market to take advantage of low borrowing costs.¡ Recent issuance has been fairly well diversified across industries.¡ Opportunities: Debut issuers and structured transactions with an element of complexity are anticipated to provide attractive value.

Bank Loans ▲ ¡ Fundamentals generally remain supportive as the default rate (1.30%) remains well below the historical average.¡ Opportunities: Technical imbalance in the loan market is providing the opportunity to buy performing credits at discounts.

Emerging Markets ▼

¡ Downside risks and the potential for fundamental deterioration, should trade conflicts continue, are not accurately reflected in valuations.¡ The dovish shift by central banks should provide a supportive technical backdrop and encourage investor flows.¡ Opportunities: Compressed spreads, a lower global growth outlook and the potential for re-escalation or spreading of trade disputes merit a

higher quality bias. Caution is warranted on Mexico/PEMEX given ratings downside risk and the potential for material spread widening.

Taxable Municipals ▲ ¡ Taxable municipals provide a high-quality diversifying asset class away from investment-grade corporate bonds.

¡ Opportunities: Taxable issues in health care, public higher education and transportation offer value.

Tax-Exempt

Municipals▼

¡ Tax-exempt municipals cheapened month over month. The 21% corporate tax rate limits demand from property-casualty companies andbanks.

¡ Opportunities: Value can be found in the 20-year to 30-year part of the curve in sub-5% coupons. Sectors of focus include health care,airports, housing bonds in the 20+ year part of the curve, and housing Tax-Exempt Mortgage Securities (TEMS) for shorter duration buyers.Negative tax-equivalent spreads in the front end with little roll-down should be considered as a source of liquidity.

Relative Value – July 2019

Overweight ▲ Marketweight = Underweight ▼

18


MBS

¡ The low-yield environment has remained supportive of specified pools, commanding very high pay-ups for high-quality pools. The recentwidening in MBS spreads caused us to move MBS back to neutral, as MBS looks fair versus corporates and Treasurys.

¡ Non-agency RMBS spreads have tightened but still look attractive versus agency MBS and corporates.¡ Opportunities: Focus on AAA and AA rated non-agency securities backed by non-qualified mortgages. These assets have short spread

durations, deleverage quickly and have little extension risk. Low pay-up, new-production 3.5s and 4.0s with high-quality servicers offer thebest value in agency MBS.

CMBS ▲¡ AAA conduit CMBS spreads are fair value after narrowing into quarter end and closing the gap with comparable corporates.¡ Supportive fundamentals, favorable technicals and robust demand across the capital stack should keep spreads range-bound near term.¡ Opportunities: Concentrate on AAA-rated agency/conduit non-agency benchmark names given current valuations. Prefer Freddie K

mezzanine to conduit mezzanine given the flatness of the credit curve. Selectively add to more defensive names in the single-borrowerspace.

ABS ▲¡ ABS spreads are fair value versus short, high-quality corporates.¡ We expect favorable technicals and sentiment to keep ABS spreads at the tight end of the range.¡ Opportunities: We favor the spread pickup from investing in esoteric ABS with a preference for new issue (higher yield and par priced).

CLO ▲ ¡ AAA CLOs look attractive versus other asset classes and we feel spreads may tighten near term.¡ Opportunities: Look for best-in-class CLO managers in the new-issue market.

Treasurys ▼ ¡ Moderate growth and inflation and a more dovish Fed should support a positive carry environment for most high-quality spread sectorassets. Inflation breakeven levels on TIPS have fallen but are only slightly below lower inflation forecasts and other market-based indicators.

Agencies ▼ ¡ Spreads over Treasurys are tight. Look to other high-quality sectors for added yield.

Duration Neutral ¡ We expect Treasury yields to remain in a lower range as global and domestic growth and inflation expectations moderate and the Fedappears poised to proactively mitigate downside risks. Resumption of U.S.-China trade talks may reduce but not eliminate uncertainty.

Yield Curve Ladder ¡ A laddered portfolio structure remains appropriate as only modest steepening of the curve should result from expected Fed easing.

Equities

¡ Valuation measures such as earnings yield and equity risk premium have become more attractive.¡ The shift in Fed policy and improving credit markets are supportive for equity markets.¡ Opportunities: While it is too early to have 100% confidence in a positive result, recent trade developments have the potential to provide

more stability and predictability in the U.S.-China trade relationship. Earnings growth should still be positive, providing for average marketreturns given cheap valuation levels.



19


European Governments ▼

¡ Core government bond yields fell further in June, with the German 10-year yield finishing the month yielding -0.33%.¡ At its meeting in June, the European Central Bank kept rates unchanged, as expected, and stated that it expects them to remain at current

levels at least through the first half of 2020, an extension of six months from the previous guidance. However, in answer to “Is that correctthat the next move in interest rates is more likely to be an increase than a cut?”, Draghi stated “No.”

¡ The ECB’s latest growth forecasts are 1.2% this year, 1.4% in 2020 and 2021, revised +0.1% for 2019, -0.2% for 2020 and -0.1% for 2021.¡ Its inflation forecasts showed no net change; 2019 was revised up 0.1% to 1.3%, 2020 was revised down 0.1% to 1.4%, and 2021 was left at

1.6%.¡ Duration: With yields at all-time lows and real yields still well in negative territory, we retain a short duration bias.

U.K.Governments ▼

¡ The Monetary Policy Committee made no policy changes at its June meeting, but continued to state that a tightening of policy over theforecast period would be appropriate, noting that forward inflation expectations had risen in the U.K., in contrast to elsewhere.

¡ The next prime minister, to be selected by Conservative Party members, will be either Boris Johnson or Jeremy Hunt, the final remainingcontenders after votes by Conservative Members of Parliament. Johnson has pledged that Brexit will be on October 31, deal or no deal,while Hunt, who had not ruled out no deal, would be more flexible over the date if he believed that a deal was close.

¡ The manufacturing PMI fell below 50 for the first time since July 2016, the month after the referendum, but the services index moved higher.¡ Duration: With yields out to nine years below Bank Rate and well below the inflation rate across the curve, we retain a short duration bias.

European-U.K.

Corporates▲

¡ European and sterling corporate spreads tightened in June; credit spreads closed the month slightly wider than five-year averages.Fundamentals remain supportive.

¡ The positive carry that corporates offer over historically low government bond yields remains a primary driver of our overweight allocation.¡ On the technical side, there has been increased speculation over the European Central Bank restarting the Corporate Sector Purchase

Programme.¡ Opportunities: Look to add to credit exposure defensively (up-in-quality with a preference for short to medium tenors).

European Structured

¡ Euro ABS spreads remained broadly unchanged, though U.K. paper moved slightly wider given Brexit concerns. The new-issue supplypipeline is busy and diverse across most sectors, with significant issuance expected from euro CLOs despite less economic arbitrageconditions.

¡ Opportunities: Focus remains on shorter dated AAA/AA tranche European CLOs where spreads continue to remain attractive relative toinvestment-grade credit and underlying collateral performance risk remains steady.

Asia Fixed Income

¡ Technicals remain strong. Higher quality issuers are maintaining supply discipline despite increasing demand from Chinese investors.¡ Valuations are less attractive after the rally, but improving corporate fundamentals and supportive technicals should limit spread widening.¡ Opportunities – Asia Credit: China’s three- to five-year A and BBB+ rated state-owned enterprises continue to offer spread pickup versus

U.S. peers despite limited direct impact from tariffs.¡ Opportunities – Asia Rates: Maintain constructive view on high yielders amidst easier global monetary policies.



20

1 Month 3 Month 1 Year 5 Year 5-Year Historical TrendsMin Current Max r r r r Z-score Ñ5 Years Ago Most RecentÒ

2 Year 1.76 0.31 2.97 -0.17 -0.51 -0.77 1.30 0.5

5 Year 1.77 0.94 3.09 -0.15 -0.47 -0.97 0.14 -0.2

10 Year 2.01 1.36 3.24 -0.12 -0.40 -0.86 -0.53 -0.8

30 Year 2.53 2.10 3.47 -0.04 -0.29 -0.46 -0.83 -1.4

TIPS 10-Year BE Spread 1.70 1.20 2.27 -0.04 -0.17 -0.43 -0.54 -0.6

IG Corporate 115 85 215 -13 -4 -8 16 -0.5

A 88 68 160 -12 -3 -14 4 -0.8

BBB 146 108 283 -16 -7 -7 20 -0.5

High Yield 377 303 839 -56 -14 14 40 -0.6

EM EM USD 154 121 284 -11 -3 -15 -22 -0.8

Taxable 119 106 191 3 -5 0 -12 -1.1

2-Year Ratio 74% 54% 130% 0% 6% 8% -23% -0.5

10-Year Ratio 81% 72% 111% 3% 3% -5% -13% -1.3

30-Year Ratio 95% 87% 122% 2% -2% -6% -7% -1.1

MBS 46 10 49 2 11 18 22 2.9

ABS 41 30 75 9 2 -6 -7 -1.0

CLO AAA DM 120 85 205 -3 -9 11 -26 -0.7

CMBS - Non Agency 83 69 186 3 -2 -3 -21 -0.9

CMBS - Agency 47 33 63 1 2 2 14 0.5

Equities Equity Risk Premium 3.63 3.12 4.01 -0.30 0.17 0.62 0.14 0.8

Data Sources: © 2019 Bloomberg L.P. / © 2019, J. P. Morgan Chase & Co. (“J.P. Morgan”) - all rights reserved. Information has been Prepared by Conning, Inc.obtained from sources believed to be reliable but J.P. Morgan does not warrant its completeness or accuracy. The index is usedwith permission. The Index may not be copied, used, or distributed without J.P. Morgan’s prior written approval. Statistics shown are OAS unless otherwise indicated.

Month End

5 Year

U.S

. Tre

asur

y

Yiel

dC

orpo

rate

sM

unic

ipal

sSt

ruct

ured

Historical Trends based on month-end data.

Market Overview – June 2019

21

1 Month 3 Month 1 Year 5 Year 5-Year Historical TrendsMin Current Max r r r r Z-score Ñ5 Years Ago Most RecentÒ

2 Year -0.75 -0.95 0.04 -0.09 -0.15 -0.09 -0.78 -1.1

5 Year -0.66 -0.69 0.36 -0.08 -0.21 -0.36 -1.01 -2.0

10 Year -0.33 -0.33 1.29 -0.13 -0.26 -0.63 -1.57 -2.5

IG Corporate 95 62 136 -11 -5 -6 4 0.0

AA 62 38 84 -3 5 -3 7 0.3

A 79 56 113 -9 -2 -6 4 0.0

BBB 118 72 178 -14 -10 -6 -2 0.0

Equities Euro Stoxx 50 3,474 2,680 3,829 193 122 78 245 0.7

2 Year 0.62 0.04 0.93 0.02 -0.02 -0.10 -0.25 0.5

5 Year 0.63 0.13 2.13 -0.01 -0.13 -0.39 -1.40 -0.8

10 Year 0.83 0.52 2.76 -0.05 -0.17 -0.45 -1.84 -1.5

IG Corporate 117 80 191 -15 -15 -2 2 -0.3

AA 61 47 121 -8 -6 -5 12 -0.5

A 87 60 163 -14 -10 -2 1 -0.4

BBB 151 100 242 -20 -19 -4 -4 -0.3

Equities FTSE 100 7,426 5,537 7,877 264 146 -211 682 1.0

AA 69 69 152 -3 -2 -22 -45 -1.3

A 117 101 203 -5 -1 -12 -2 -0.9

BBB 168 137 282 -16 -9 -30 -40 -0.8

Data Sources: © 2019 Bloomberg L.P. / © 2019, J. P. Morgan Chase & Co. (“J.P. Morgan”) - all rights reserved. Information has been Prepared by Conning, Inc.obtained from sources believed to be reliable but J.P. Morgan does not warrant its completeness or accuracy. The index is usedwith permission. The Index may not be copied, used, or distributed without J.P. Morgan’s prior written approval. Statistics shown are OAS unless otherwise indicated.

Euro

Cor

pora

tes

U.K

. Gilt

Yi

eld

GB

P C

orpo

rate

sJA

CI

Sp

read

Historical Trends based on month-end data.

Ger

man

B

und

Yiel

dMonth End

5 Year

Market Overview – June 2019

22

Cpn/ Maturity Par/ Book Market Unrealized Eff Book TE MarketCusip Description Dvd Date Shares Value Value Gain/Loss Dur Yield Yield Yield Mdy's S&P Fitch

85749P9B9 STATE STREET INSTL LIQUIDITY RESERVE0.010 07/15/19 83,332 83,332 83,332 0 0.04 0.01 0.01 0.01 NA NA912796VJ5 US TREASURY BILL 0.000 07/02/19 1,500,000 1,497,434 1,499,919 2,485 0.01 2.28 2.28 0.97 Aaa AAA AAA912796VR7 US TREASURY BILL 0.000 08/20/19 2,000,000 1,993,890 1,994,194 304 0.14 2.08 2.08 2.05 Aaa AAA AAA

0.000 08/20/19 3,583,332 3,574,656 3,577,445 2,789 0.08 2.12 2.12 1.55 Aaa AAA AAA0 0 0

0.000 07/29/19 3,583,332 3,574,656 3,577,445 2,789 0.08 2.12 2.12 1.55 Aaa AAA AAA

912810ED6 US TREASURY N/B 8.125 08/15/19 8,500,000 11,660,605 8,557,109 (3,103,496) 0.12 2.87 2.87 2.74 Aaa AA+ AAA912810EG9 US TREASURY N/B 8.750 08/15/20 3,000,000 4,319,414 3,225,938 (1,093,477) 1.06 3.09 3.09 1.96 Aaa AA+ AAA912810FM5 US TREASURY N/B 6.250 05/15/30 18,200,000 22,944,086 25,670,531 2,726,445 8.48 4.22 4.22 2.03 Aaa AA+ AAA912810FP8 US TREASURY N/B 5.375 02/15/31 29,000,000 39,424,141 38,941,563 (482,578) 9.07 2.50 2.50 2.05 Aaa AA+ AAA9128284G2 US TREASURY N/B 2.375 04/15/21 2,000,000 1,983,281 2,020,313 37,031 1.74 2.71 2.71 1.80 Aaa AA+ AAA912828F21 US TREASURY N/B 2.125 09/30/21 10,000,000 10,295,257 10,084,375 (210,882) 2.18 1.58 1.58 1.74 Aaa AA+ AAA912828VZ0 US TREASURY N/B 2.000 09/30/20 2,300,000 2,357,859 2,303,594 (54,266) 1.22 1.44 1.44 1.87 Aaa AA+ AAA

5.418 12/06/27 73,000,000 92,984,643 90,803,422 (2,181,222) 6.65 2.87 2.87 2.06 Aaa AA+ AAA

13063DGE2 CALIFORNIA ST 4.600 04/01/38 3,000,000 3,128,910 3,352,560 223,650 9.11 4.05 4.05 3.06 Aa3 AA- AA-20281PKW1 CMWLTH FING AUTH PA 3.807 06/01/41 275,000 275,000 289,352 14,352 14.77 3.81 3.81 3.45 A1 A A+213185KQ3 COOK CNTY IL 6.205 11/15/33 3,000,000 3,530,310 3,873,750 343,440 10.17 4.57 4.57 3.59 A2 AA429326ZV6 HIDALGO CNTY TX 4.044 08/15/30 3,000,000 3,000,000 3,249,420 249,420 8.20 4.04 4.04 3.00 Aa2 AA-544351MW6 LOS ANGELES CA 3.740 09/01/30 3,000,000 2,915,400 3,262,650 347,250 8.37 4.04 4.04 2.66 Aa2 AA569203MJ8 MARION & POLK CNTYS OR SCH DIS3.818 06/30/34 3,000,000 2,936,460 3,138,420 201,960 7.20 4.00 4.00 2.97 Aa2 NA59333P3V8 MIAMI-DADE CNTY FL AVIATION RE4.162 10/01/33 3,000,000 2,998,950 3,265,650 266,700 9.06 4.17 4.17 3.06 NA A A64461XDG7 NEW HAMPSHIRE ST HLTH & EDU FA3.609 07/01/35 1,825,000 1,693,673 1,883,163 189,490 9.51 4.22 4.22 3.16 Aa3 AA-

Treasury

Subtotal: Treasury

Taxable Municipal

Kentucky Workers' Compensation Funding CommissionMonthly Holdings Detail Report


As of June 30, 2019

FIXED INCOME

Short Term

Short Term (Gross) Pending Transactions

Subtotal: Short Term (Net)

Portfolio Detail

Section III

23

Portfolio DetailCpn/ Maturity Par/ Book Market Unrealized Eff Book TE Market

Cusip Description Dvd Date Shares Value Value Gain/Loss Dur Yield Yield Yield Mdy's S&P Fitch

64971XGJ1 NEW YORK CITY NY TRANSITIONAL4.000 08/01/33 3,000,000 2,977,620 3,263,250 285,630 8.97 4.07 4.07 2.89 Aa1 AAA AAA73209MAN7 POMONA CA REDEV AGY SUCCESSOR4.180 02/01/31 2,500,000 2,500,000 2,698,875 198,875 8.03 4.18 4.18 3.12 NA AA736688LS9 PORTLAND OR CMNTY CLG DIST4.500 06/01/33 2,000,000 2,000,000 2,299,200 299,200 8.54 4.50 4.50 2.61 Aa1 AA+79467BCM5 SALES TAX SECURITIZATION CORPI4.637 01/01/40 2,000,000 2,000,000 2,265,120 265,120 10.86 4.64 4.64 3.48 NA AA- AAA952347Z54 W CONTRA COSTA CA UNIF SCH DIS4.278 08/01/38 2,500,000 2,551,600 2,678,275 126,675 9.64 4.02 4.02 3.36 Aa3 AA- AAA

4.323 05/12/34 32,100,000 32,507,923 35,519,685 3,011,762 8.99 4.19 4.19 3.08 Aa3 AA AA

29245JAL6 EMPRESA NACIONAL DEL PET 5.250 11/06/29 1,425,000 1,423,789 1,612,031 188,243 7.45 5.26 5.26 3.57 Baa3 BBB- A

5.250 11/06/29 1,425,000 1,423,789 1,612,031 188,243 7.45 5.26 5.26 3.57 Baa3 BBB- A

00084DAT7 ABN AMRO BANK NV 3.400 08/27/21 1,050,000 1,049,234 1,070,883 21,650 2.05 3.43 3.43 2.45 A1 A A+00206RHV7 AT&T INC 2.950 07/15/26 3,000,000 2,713,950 2,979,240 265,290 6.18 4.53 4.53 3.06 Baa2 BBB A-00928QAR2 AIRCASTLE LTD 4.400 09/25/23 2,375,000 2,370,986 2,465,222 94,235 3.76 4.44 4.44 3.41 Baa3 BBB- BBB-015271AP4 ALEXANDRIA REAL ESTATE E 3.800 04/15/26 950,000 948,984 997,078 48,095 5.87 3.82 3.82 2.97 Baa1 BBB+05723KAE0 BAKER HUGHES LLC/CO-OBL 3.337 12/15/27 4,000,000 3,738,975 4,025,508 286,533 7.29 4.21 4.21 3.25 A3 A-06050TMH2 BANK OF AMERICA NA 2.771 08/28/20 2,000,000 2,000,000 2,000,748 748 0.16 2.77 2.77 2.19 Aa2 A+ AA-06051GGL7 BANK OF AMERICA CORP 3.705 04/24/28 3,000,000 2,847,750 3,141,534 293,784 6.76 4.36 4.36 3.02 A2 A- A+06368BQ68 BANK OF MONTREAL 4.338 10/05/28 1,350,000 1,350,000 1,411,673 61,673 3.85 4.34 4.34 3.18 Baa1 BBB+ A+10112RAY0 BOSTON PROPERTIES LP 2.750 10/01/26 2,500,000 2,257,000 2,456,303 199,303 6.44 4.21 4.21 3.02 Baa1 A- BBB+10373QAB6 BP CAP MARKETS AMERICA 3.796 09/21/25 1,525,000 1,525,000 1,625,851 100,851 5.44 3.80 3.80 2.61 A1 A-13607RAD2 CANADIAN IMPERIAL BANK 3.500 09/13/23 2,000,000 1,996,540 2,088,646 92,106 3.87 3.54 3.54 2.39 Aa2 A+ AA-14913Q2N8 CATERPILLAR FINL SERVICE 3.150 09/07/21 725,000 724,442 739,067 14,625 2.08 3.18 3.18 2.24 A3 A A17108JAA1 CHRISTUS HEALTH 4.341 07/01/28 4,000,000 4,000,000 4,433,548 433,548 7.33 4.34 4.34 2.93 A1 A+186108CL8 CLEVELAND ELECTRIC ILLUM 4.550 11/15/30 2,850,000 2,847,863 3,125,809 277,946 8.91 4.56 4.56 3.49 Baa3 BBB BBB+20030NCT6 COMCAST CORP 4.150 10/15/28 3,000,000 2,966,580 3,297,069 330,489 7.66 4.29 4.29 2.90 A3 A- A-25466AAP6 DISCOVER BANK 4.650 09/13/28 1,825,000 1,822,263 1,991,453 169,190 7.40 4.67 4.67 3.46 Baa2 BBB BBB+26078JAB6 DUPONT DE NEMOURS INC 4.205 11/15/23 3,000,000 3,000,000 3,209,286 209,286 3.93 4.21 4.21 2.48 Baa1 A- BBB+26441YBB2 DUKE REALTY LP 4.000 09/15/28 3,000,000 2,967,635 3,202,248 234,613 7.59 4.13 4.13 3.13 Baa1 BBB+ BBB+26884ABK8 ERP OPERATING LP 4.150 12/01/28 1,500,000 1,497,315 1,656,078 158,763 7.79 4.17 4.17 2.85 A3 A- A29364WBB3 ENTERGY LOUISIANA LLC 4.200 09/01/48 1,750,000 1,746,693 1,926,379 179,687 17.41 4.21 4.21 3.63 A2 A31677QBM0 FIFTH THIRD BANK 3.950 07/28/25 2,000,000 2,001,166 2,150,462 149,296 5.31 3.94 3.94 2.59 A3 A- A-337738AQ1 FISERV INC 3.800 10/01/23 1,000,000 999,540 1,049,321 49,781 3.84 3.81 3.81 2.55 Baa2 BBB369604BD4 GENERAL ELECTRIC CO 2.700 10/09/22 1,000,000 903,910 998,113 94,203 3.09 5.49 5.49 2.76 Baa1 BBB+ BBB+37045VAS9 GENERAL MOTORS CO 5.000 10/01/28 1,000,000 999,650 1,047,332 47,682 7.28 5.00 5.00 4.36 Baa3 BBB BBB

Emerging Markets Government

Subtotal: Emerging Markets Government

Corporate

Subtotal: Taxable Municipal

24



404280BK4 HSBC HOLDINGS PLC 4.041 03/13/28 2,000,000 1,946,460 2,094,898 148,438 6.56 4.39 4.39 3.34 A2 A AA-404280BS7 HSBC HOLDINGS PLC 3.950 05/18/24 1,000,000 991,910 1,041,250 49,340 3.58 4.11 4.11 2.82 A2 A AA-404280BZ1 HSBC HOLDINGS PLC 3.803 03/11/25 1,000,000 1,000,000 1,037,684 37,684 4.24 3.80 3.80 2.94 A2 A AA-40573LAQ9 CIGNA CORP 4.125 11/15/25 1,325,000 1,323,900 1,407,945 84,045 5.53 4.14 4.14 3.01 Baa2 A- BBB-42824CAW9 HP ENTERPRISE CO 4.900 10/15/25 3,000,000 3,089,400 3,302,145 212,745 5.27 4.39 4.39 3.06 Baa2 BBB BBB+49456BAF8 KINDER MORGAN INC 4.300 06/01/25 2,000,000 2,020,360 2,134,902 114,542 5.11 4.12 4.12 3.00 Baa2 BBB BBB52107QAJ4 LAZARD GROUP LLC 4.500 09/19/28 2,000,000 1,981,580 2,129,700 148,120 7.43 4.62 4.62 3.65 Baa3 A- A-539439AS8 LLOYDS BANKING GROUP PLC4.050 08/16/23 1,000,000 999,730 1,044,093 44,363 3.74 4.06 4.06 2.91 A3 BBB+ A+55279HAJ9 MANUF & TRADERS TRUST CO2.100 02/06/20 2,000,000 1,977,580 1,993,536 15,956 0.57 2.89 2.89 2.64 A3 A A55336VAS9 MPLX LP 4.800 02/15/29 1,750,000 1,740,060 1,923,891 183,831 7.61 4.87 4.87 3.55 Baa2 BBB BBB-58942HAC5 MERCY HEALTHCARE SYSTEM4.302 07/01/28 825,000 825,000 911,894 86,894 7.23 4.30 4.30 2.90 A2 A+ AA-637417AL0 NATIONAL RETAIL PROP INC 4.300 10/15/28 2,000,000 1,985,760 2,167,094 181,334 7.59 4.39 4.39 3.23 Baa1 BBB+ BBB+637432NQ4 NATIONAL RURAL UTIL COOP 3.900 11/01/28 1,500,000 1,499,010 1,635,512 136,502 7.78 3.91 3.91 2.77 A1 A A+638602BP6 NATIONWIDE BLDG SOCIETY 3.900 07/21/25 4,000,000 3,925,120 4,166,348 241,228 5.31 4.22 4.22 3.14 Aa3 A A+65557FAH9 NORDEA BANK ABP 4.625 09/13/33 1,525,000 1,525,000 1,618,226 93,226 7.45 4.63 4.63 3.83 Baa1 A- A+666807BN1 NORTHROP GRUMMAN CORP 3.250 01/15/28 3,000,000 2,827,800 3,072,261 244,461 7.28 3.99 3.99 2.92 Baa2 BBB BBB69349LAR9 PNC BANK NA 4.050 07/26/28 3,500,000 3,492,230 3,806,033 313,803 7.56 4.08 4.08 2.94 A3 A- A741531FA0 PRICOA GLOBAL FUNDING 1 3.450 09/01/23 1,650,000 1,649,852 1,721,120 71,268 3.84 3.45 3.45 2.36 Aa3 AA- AA-74368CAA2 PROTECTIVE LIFE GLOBAL 2.700 11/25/20 2,000,000 1,978,880 2,012,056 33,176 1.37 3.19 3.19 2.26 A1 AA- A756109AV6 REALTY INCOME CORP 3.875 04/15/25 2,000,000 1,988,820 2,123,218 134,398 5.09 3.97 3.97 2.69 A3 A- BBB+78009PEH0 ROYAL BK SCOTLND GRP PLC 5.076 01/27/30 4,000,000 4,000,000 4,326,100 326,100 7.52 5.08 5.08 4.04 Baa2 BBB A784710AB1 SSM HEALTH CARE 3.688 06/01/23 1,350,000 1,341,563 1,413,480 71,917 3.46 3.84 3.84 2.34 A1 A+ AA-816851BG3 SEMPRA ENERGY 3.400 02/01/28 2,000,000 1,877,300 1,991,124 113,824 7.27 4.20 4.20 3.46 Baa1 BBB+ BBB+855244AQ2 STARBUCKS CORP 3.800 08/15/25 1,025,000 1,024,057 1,094,035 69,978 5.34 3.81 3.81 2.57 Baa1 BBB+ BBB+86765BAU3 SUNOCO LOGISTICS PARTNER4.000 10/01/27 3,000,000 2,865,990 3,095,601 229,611 6.89 4.61 4.61 3.54 Baa3 BBB- BBB-89352HAW9 TRANSCANADA PIPELINES 4.250 05/15/28 1,000,000 985,330 1,079,759 94,429 7.33 4.44 4.44 3.19 Baa1 BBB+ A-913017DD8 UNITED TECHNOLOGIES CORP3.950 08/16/25 1,000,000 998,300 1,077,258 78,958 5.32 3.98 3.98 2.55 Baa1 BBB+91324PDP4 UNITEDHEALTH GROUP INC 3.875 12/15/28 725,000 722,506 787,026 64,520 8.00 3.92 3.92 2.84 A3 A+ A-91913YAU4 VALERO ENERGY CORP 3.400 09/15/26 2,000,000 1,907,720 2,039,706 131,986 6.23 4.08 4.08 3.08 Baa2 BBB BBB948741AM5 WEINGARTEN REALTY INVEST 3.250 08/15/26 2,000,000 1,842,260 1,947,742 105,482 6.18 4.44 4.44 3.67 Baa1 BBB95040QAE4 WELLTOWER INC 3.950 09/01/23 1,000,000 999,670 1,051,043 51,373 3.74 3.96 3.96 2.62 Baa1 BBB+ BBB+960386AM2 WABTEC CORP 4.950 09/15/28 4,000,000 3,995,560 4,267,332 271,772 7.27 4.96 4.96 4.05 Ba1 BBB BBB-98978VAN3 ZOETIS INC 3.900 08/20/28 2,000,000 1,996,220 2,137,514 141,294 7.56 3.92 3.92 3.01 Baa1 BBB

3.933 03/21/27 114,575,000 112,600,401 120,740,376 8,139,975 6.18 4.21 4.21 3.09 A3 A- A-Subtotal: Corporate

25



31335BQS8 FG G61365 4.500 01/01/46 4,377,170 4,535,159 4,649,598 114,440 2.80 3.74 3.74 2.93 Aaa AA+ AAA31335BYD2 FG G61608 4.500 09/01/48 2,295,686 2,382,133 2,406,377 24,244 2.05 3.58 3.58 3.03 Aaa AA+ AAA3140FPEX3 FN BE3749 4.500 07/01/47 4,359,850 4,526,070 4,634,244 108,174 2.41 3.71 3.71 2.95 Aaa AA+ AAA3140H1WL0 FN BJ0650 3.500 03/01/48 2,850,288 2,834,700 2,933,519 98,818 2.80 3.57 3.57 2.96 Aaa AA+ AAA3140J84H3 FN BM4423 4.500 02/01/48 4,459,479 4,608,593 4,706,591 97,997 1.91 3.52 3.52 2.56 Aaa AA+ AAA3140J8S46 FN BM4138 4.000 06/01/48 4,604,350 4,684,567 4,787,059 102,492 3.00 3.67 3.67 3.11 Aaa AA+ AAA3140J8UM3 FN BM4187 4.500 05/01/47 4,536,640 4,701,802 4,837,525 135,722 2.93 3.73 3.73 2.90 Aaa AA+ AAA3140JHKN2 FN BN1200 4.000 10/01/48 1,929,118 1,936,653 1,994,684 58,031 4.12 3.93 3.93 3.36 Aaa AA+ AAA31418CXN9 FN MA3384 4.000 06/01/48 1,804,035 1,836,310 1,873,115 36,805 1.36 3.58 3.58 2.77 Aaa AA+ AAA36179T4P7 G2 MA5330 4.000 07/20/48 2,620,868 2,685,980 2,726,886 40,905 0.95 3.33 3.33 2.42 Aaa AA+ AAA36179T7L3 G2 MA5399 4.500 08/20/48 2,869,873 2,981,417 2,992,387 10,970 0.91 3.19 3.19 2.59 Aaa AA+ AAA36183FLP2 G2 AJ9334 3.500 10/20/44 4,562,276 4,544,811 4,749,435 204,624 3.70 3.56 3.56 2.64 Aaa AA+ AAA

4.188 07/17/47 41,269,634 42,258,195 43,291,418 1,033,223 2.51 3.60 3.60 2.84 Aaa AA+ AAA

05522RDA3 BACCT 2018-A3 A3 3.100 12/15/23 1,000,000 999,859 1,021,619 21,760 1.95 3.13 3.13 2.03 NA AAA AAA12805PAJ5 CAI 2018-2A A 4.340 09/25/43 3,237,500 3,237,136 3,318,182 81,046 4.06 4.38 4.38 3.70 NA A26208MAF3 DRIVE 2018-5 C 3.990 01/15/25 2,000,000 1,999,554 2,064,025 64,471 2.18 4.03 4.03 2.51 A2 A26209BAF6 DRIVE 2018-4 C 3.660 11/15/24 2,000,000 1,999,649 2,030,826 31,177 1.26 3.70 3.70 2.36 Aaa A289333AB2 MDCP 2018-2A A2 4.605 10/20/27 600,000 599,988 619,638 19,651 2.37 4.65 4.65 3.19 NA NA80285MAE9 SDART 2018-4 A3 3.010 03/15/22 750,000 750,000 751,544 1,545 0.41 3.03 3.03 2.24 Aaa AAA89231AAD3 TAOT 2018-C A3 3.020 12/15/22 1,000,000 999,822 1,016,403 16,581 1.82 3.05 3.05 2.08 Aaa AAA

3.824 05/27/30 10,587,500 10,586,007 10,822,238 236,231 2.42 3.86 3.86 2.78 Aa2 A+ AAA

302977AS2 FREMF 2019-K734 B 4.190 02/27/51 1,200,000 1,223,123 1,234,452 11,329 5.75 3.85 3.85 3.61 NA A- NA

4.190 02/27/51 1,200,000 1,223,123 1,234,452 11,329 5.75 3.85 3.85 3.61 NA A- NA

4.359 03/31/31 277,740,465 297,158,737 307,601,067 10,442,330 5.93 3.67 3.67 2.72 Aa3 AA- AA-

4.359 03/31/31 277,740,465 297,158,737 307,601,067 10,442,330 5.93 3.67 3.67 2.72 Aa3 AA- AA-

CMBS

Subtotal: CMBS

Subtotal: FIXED INCOME

Grand Total:

MBS Pass-Through

Subtotal: MBS Pass-Through

Asset Backed

Subtotal: Asset Backed

118

Portfolio Compliance

Compliance

27


VIII. Executive SessionVIII. Executive Session

a) Penalty Waiversb) Litigation Updatec) Personnel Matters

IX. Other Business – Open Session IX. Other Business – Open Session

a) Penalty Waiversb) Litigation Update

X. New BusinessX. New Business

XI. Adjournment XI. Adjournment

kentucky workers’ compensation funding commission board of ... july bod book.pdf · investment...

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