View
3
Download
0
Category
Preview:
Citation preview
City of Sarasota Employee Pension PlanInvesco Fixed Income
Intermediate Core Fixed Income
July 2018
CONFIDENTIALITY NOTICE: All material presented is compiled from sources believed to be reliable and current, but accuracy cannot be guaranteed. This is not to be construed as an offer to buy or sell any financial instruments. It is not our intention to state, indicate or imply in any manner that current or past results are indicative of future profitability or expectations. As with all investments there are associated inherent risks. Please obtain and review all financial material carefully before investing. This publication may contain confidential and proprietary information of Invesco Advisers, Inc. and/or Invesco Ltd. Circulation, disclosure, or dissemination of all or any part of this material to any unauthorized persons is prohibited.
Item No. 8.1.
Page 1 of 50
Biography
Marvin E. Flewellen, CFA®
Head of IFI Client ManagementMarvin Flewellen is the Head of Client Management and Senior Client Portfolio Manager with Invesco Fixed
Income (IFI). In this role, he is responsible for leading the client engagement platform across public markets
for fixed income. He is also responsible for communicating the fixed income investment process and strategy
to prospective clients and consultants in key market segments.
Mr. Flewellen joined Invesco Fixed Income in 2003. He began his investment career in 1987, working as both
a fixed income trader and portfolio manager at Northern Trust Bank. He also held responsibilities in corporate
and municipal credit research. In 1994, Mr. Flewellen joined Duff & Phelps Investment Management, where
he was responsible for setting and implementing investment strategies within several product groups. He
also had trading responsibilities for specific sectors across the entire fixed income platform. Prior to joining
Invesco, Mr. Flewellen was the senior product manager for Zurich Scudder Investments, where he led the
fixed income business management, product development and external communication across the
institutional market.
Mr. Flewellen earned a BA degree in computational mathematics from DePauw University. He also earned a
MBA with a specialization in financial management from The University of Chicago Booth. He holds the
Chartered Financial Analyst (CFA) designation. Mr. Flewellen currently is a member of the board of trustees
of DePauw University and is the past chair of the investment committee.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC2
Page 2 of 50
Biography
Dane Hoard, CAIA®
Associate Client ManagerDane Hoard is an Associate Client Manager on Invesco Fixed Income’s (“IFI”) Client Management/Client
Portfolio Management team. In this role, he supports IFI by delivering the investment experience primarily for
institutional clients, a scope of work which includes facilitating communications and managing client-driven
deliverables. The Client team primarily focuses on servicing separate account clients, acting as a principal
point of contact beginning with the onboarding process and extending into all forms of business thereafter.
Workflow and other initiatives include coordinating the production and presentation of investment results and
market views, and streamlining IFI’s deliverables and processes for a consistent client-experience across the
IFI platform.
Mr. Hoard joined Invesco in 2018, bringing 5 years of institutional investment experience. Previously, he was
a Consultant for Aon Hewitt Investment Consulting, Inc., advising institutional clients including corporate
pension, 401(k), a variety of other plans in the retirement space. He began his career as an Investment
Analyst at Aon Hewitt (formerly Hewitt EnnisKnupp).
Mr. Hoard earned a BBA degree from Georgia Southern University, majoring in Finance and minoring in
Business Management. He earned the Chartered Alternative Investment Analyst (CAIA) designation in 2017
and is a member of CAIA Association’s Atlanta chapter. Additionally, he has also completed level 1 of the
Chartered Financial Analyst (CFA) program.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC3
Page 3 of 50
Table of contents
Portfolio Overview
Market Overview
Firm Overview & Investment Process
Appendix
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC4
Page 4 of 50
Portfolio Overview
Page 5 of 50
City of Sarasota Employee Pension Plan
Portfolio Summary
Inception Date: 4/1/1994
Assets Under Management: $28,072,266
Benchmark: Bloomberg Barclays Intermediate US Aggregate Index
Investment Guidelines:
▪ Portfolio fully invested in a separate account
▪ Investment grade ratings (AAA/Aaa to A/A3); No securities purchased below ‘A/A3’ rated
▪ Broad sector diversification (primary):
Treasuries Agencies Corporates
Mortgage-Backeds (MBS) Asset-Backeds(ABS) Commercial Mortgage-Backeds(CMBS)
▪ Interest rate range (duration) +/- 25% versus benchmark
As of 6/30/2018.
Source: Invesco.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC6
Page 6 of 50
City of Sarasota Employee Pension Plan
Market Value Reconciliation
As of 6/30/2018.
Source: Invesco.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC7
Quarter-to-Date Year-to-Date 1 Year
Beginning Market Value $28,076,173 $28,400,931 $28,214,323
Contributions $0 $0 $0
Distributions $0 $0 $13,080
Expenses $15,825 $31,807 $50,604
Investment Change ($19,732) ($360,471) ($205,741)
Ending Market Value $28,072,266 $28,072,266 $28,072,266
Page 7 of 50
City of Sarasota Employee Pension Plan
Trailing Performance as of June 30, 2018
0.03
-1.05
-0.29
1.34
1.83
3.38
5.15
0.01
-1.15
-0.47
1.16
1.64
3.19
4.95
0.09
-0.97
-0.32
1.27
1.83
3.29
4.88
0.07
-0.82-0.61
0.94
1.37
2.78
4.64
-2
0
2
4
6
3 Months YTD 1 Year 3 Year 5 Year 10 Year Since Inception
Retu
rns %
Sarasota Employee Pension Plan (Gross) Sarasota Employee Pension Plan (Net)
Barclays Intermediate Agg. Barclays Intermediate Agg. (A- or Better)
Inception date: April 1, 1994
Source: Invesco. As of 6/30/2018. * - Benchmark changed 5/31/2002 from Bloomberg Barclays (formerly Lehman) Intermediate Government/Credit Index to Bloomberg
Barclays (formerly Lehman) Intermediate Aggregate Index. Past performance is not indicative of future results.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC8
Page 8 of 50
City of Sarasota Employee Pension Plan
Trailing Performance as of June 30, 2018
Inception date: April 1, 1994
Source: Invesco. As of 6/30/2018. * - Benchmark changed 5/31/2002 from Bloomberg Barclays (formerly Lehman) Intermediate Government/Credit Index to Bloomberg
Barclays (formerly Lehman) Intermediate Aggregate Index. Past performance is not indicative of future results.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Performance Summary:
▪ Returns are negative year-to-date and only slightly below benchmark, despite notable performance in higher quality credits,
which was the best performing segment within investment grade as investors sought safe-haven assets.
▪ Trailing year returns have been negatively impacted by sharp spikes in interest rates over the past several years, and more
recently due to market weakness in 2018 given high levels of volatility and geopolitical risks fostering a risk-off sentiment.
▪ Long-term results have consistently returned near the benchmark, while maintaining portfolio guidelines which prohibit
BBB/Baa exposures. The overweight to A-rated credits and security selection have mostly offset the higher credit quality
restrictions over time, and is evident when comparing against a benchmark with similar constraints.
9
Attribution Summary - YTD 2018
Positives: Negatives:
Overweight to ABS Overweight to Corporate Credit
Security selection in the utilities sector, agency mortgages, and
ABS
Overweight allocations in financials and technology, media &
telecom (“TMT”)
Avoidance of BBB-rated securities Overweight to A-rated securities
Underweight to 3-5 Year maturities Overweight to 5-7 Year maturities
Page 9 of 50
City of Sarasota Employee Pension Plan
Annual Performance
-4
-2
0
2
4
6
8
10
12
2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000
Gro
ss R
etu
rns %
Sarasota Employees Barclays Intermediate Agg Barclays Intermediate Agg (A- of Better)
Inception date: April 1, 1994
As of 12/31/2017. * - Benchmark changed 5/31/2002 from Bloomberg Barclays (formerly Lehman) Intermediate Government/Credit Index to Bloomberg
Barclays (formerly Lehman) Intermediate Aggregate Index. Source: Invesco. Performance is gross of fees. Past performance is not indicative of future
results.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
▪ Consistent performance over the past 18 years versus the broad index.
▪ Outperforms index with similar restrictions over the majority of periods shown.
10
Page 10 of 50
City of Sarasota Employee Pension Plan
Characteristics
Sectors Sarasota
(as of 06/17)
Sarasota
(as of 12/17)
Sarasota
(as of 06/18)
Bloomberg Barclays
Intermediate Agg.
(as of 06/18)
Duration (yrs.) 4.20 4.16 4.32 4.28
Yield to Maturity 2.25 2.46 3.13 3.17
Average Quality Aa1 Aa1 Aa1 Aa1
# of securities 145 158 152 7,807
Sources: Invesco, Bloomberg Barclays, as of 6/30/2018. Due to rounding the percentages in the chart might not equal 100%. Benchmark: Bloomberg Barclays Intermediate U.S.
Aggregate Index. The characteristics are subject to change. This portfolio is actively managed. Average credit quality and quality distribution chart are internal measurements
calculated by taking the highest rating of the 3 major rating agencies (S&P, Moody’s & Fitch) at a security level. It is then changed into a numerical value, asset weighted and then
calculated to be shown at the portfolio level in Moody’s format. Non-rated securities are not included in the average quality calculation. Information on non-rated securities is
provided in the Quality Distribution chart, if applicable. Average Credit Quality calculations may vary across the industry and should not be the only factor in analyzing a portfolio.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
▪ Neutral duration posture – Shorter rates are moving higher, but moderate inflation risks favor longer maturities.
▪ YTM – negatively affected by the higher credit rating quality of the mandate. No purchases of securities rated below A-.
▪ Average Quality – consistent with index, but the mandate maintains a higher credit rating distribution.
11
Page 11 of 50
City of Sarasota Employee Pension Plan
Sector distribution Relative Positions
Sectors Sarasota
(as of 06/17)
Sarasota
(as of 12/17)
Sarasota
(as of 06/18)
Bloomberg Barclays
Intermediate Agg.
(as of 06/18)
Treasury 28.85 25.74 30.39 37.10
Agency 6.70 4.23 2.31 3.30
ABS 4.95 6.03 7.72 0.65
MBS 25.71 22.70 23.02 33.48
CMBS 5.29 5.74 4.56 2.23
Credit 27.65 33.60 30.82 20.35
Cash/ST 0.87 1.47 0.70 0.00
Pending Settlements 0.00 0.00 0.00 0.00
Other 0.00 0.50 0.48 2.88
As of 6/30/2018.
Source: Invesco; Bloomberg Barclays.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
▪ Treasury underweight enhances yield and relative return opportunities.
▪ Corporate credit overweight persists given supportive fundamentals. Positive long-term outlook on technicals despite near-term
weakness.
▪ MBS sector underweight driven by expectations for weakening technicals as the Fed tapers reinvestments.
12
Page 12 of 50
City of Sarasota Employee Pension Plan
Quality distribution (modified)
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Ratings Sarasota
(as of 06/17)
Sarasota
(as of 12/17)
Sarasota
(as of 06/18)
Bloomberg Barclays
Intermediate Agg.
(as of 06/18)
Aaa 71.64 65.57 69.12 73.97
Aa 6.42 4.669 4.15 6.35
A 21.06 25.50 24.10 9.06
Baa 0.00 2.77 1.94 10.45
Cash 0.87 1.47 0.70 0.00
NR 0.00 0.00 0.00 0.14
Pending Settlements 0.00 0.00 0.00 0.00
Relative Positions
As of 6/30/2018.
Source: Invesco; Bloomberg Barclays. Rating requirement is that the issuer must have at least 1 rating in the top three rating classifications.
▪ The overweight to single A rated securities due to investment guideline restrictions
13
Page 13 of 50
Market Overview
Page 14 of 50
Market Overview
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC15
Sources: Bloomberg, as of June 30, 2018
Past performance is not indicative of future results.
US Treasury Yields (%)
Fed Funds 3 Mo 6 Mo 2 Yr 5 Yr 10 Yr 30 Yr
6/30/2018 1.75 – 2.00 1.93 2.11 2.52 2.73 2.85 2.98
5/31/2018 1.50 – 1.75 1.93 2.08 2.40 2.68 2.83 3.00
4/30/2018 1.50 – 1.75 1.87 2.04 2.49 2.79 2.95 3.11
3/31/2018 1.50 – 1.75 1.73 1.93 2.27 2.56 2.74 2.97
2/28/2018 1.25 – 1.50 1.65 1.86 2.25 2.65 2.87 3.13
1/31/2018 1.25 – 1.50 1.46 1.66 2.14 2.52 2.72 2.95
12/31/2017 1.25 – 1.50 1.38 1.53 1.88 2.21 2.40 2.74
12/31/2016 0.50 – 0.75 0.50 0.61 1.19 1.93 2.44 3.07
▪ The US Treasury yields rose across the majority of the curve in June, with the year’s second Fed Funds rate hike and
a largely risk-on sentiment initially sent the curve higher; but, appetites for risk waned as the month progressed,
causing a modest rate rally and continued flattening as long-dated yields proceeded to fall.
Page 15 of 50
Market Overview
Investment Grade Sectors - Excess Returns (2Q 2018)
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC16
1) Source: Bloomberg Barclays
As of June 30, 2018. Excess returns are the curve-adjusted return differential of a given index/sector relative to a comparable term structure-matched position in treasuries. Past performance cannot guarantee future results.
2009 2010 2011 2012 2013 2014 2015 2016 2017 2Q18
YTD
2018
Agency 2.38 0.72 0.19 0.97 0.01 0.55 0.08 0.39 0.69 -0.15 0.00
ABS 24.96 1.69 0.52 2.46 0.24 0.53 0.44 0.95 0.92 0.17 -0.02
CMBS 29.60 15.01 0.47 8.41 0.97 1.08 -0.28 2.36 1.58 0.00 -0.06
MBS 4.95 2.25 -1.06 0.91 0.98 0.40 -0.05 -0.11 0.52 0.15 -0.24
Credit 19.90 1.92 -3.22 6.93 2.26 -0.18 -1.69 4.42 3.35 -0.91 -1.54
Industrial 23.12 1.75 -2.33 4.92 2.24 -1.10 -2.67 6.03 3.49 -1.13 -1.78
Utility 27.80 1.81 -1.60 4.67 2.95 -0.15 -2.03 4.83 3.41 -1.37 -2.20
Financials 21.41 3.26 -6.28 12.52 3.93 0.55 0.48 2.78 3.43 -0.67 -1.64
Aaa 1.68 0.64 -0.97 1.96 0.47 0.25 -0.07 0.39 1.05 -0.02 -0.19
Aa 11.47 0.95 -2.91 4.15 1.36 0.26 -0.04 2.33 2.18 -0.38 -0.67
A 19.12 1.70 -3.71 7.40 2.53 -0.39 -0.34 3.52 2.96 -0.90 -1.86
Baa 31.30 3.05 -3.52 8.56 2.66 -0.22 -3.65 6.66 4.47 -1.22 -1.76
High Yield 60.14 9.74 -2.40 13.94 9.23 -1.12 -5.77 15.73 6.10 0.96 0.79
▪ The investment grade sectors posted negative relative results for the quarter-end period as credit spreads gradually widened. Global demand for risk-assets waned throughout the quarter as steady economic growth was challenged by geopolitical uncertainties and investor fears over a developing trade war between the US and other major economies.
▪ The corporate credit sector underperformed duration-matched treasuries, with -91bps of excess return for the period against a backdrop of rising interest rates and trade war implications between the US and China. Technical factors continued to decline as elevated issuance and wider spreads further pressured valuations, despite strong corporate fundamentals.
Bloomberg Barclays Aggregate Index Excess Returns (%)1
Page 16 of 50
Credit Indications Within Economic Cycle
Factors supporting cycle arguments
USIG
USHY
EMIG
EURIG
EMHY
EURHY
Loans-US
Loans-EUR
Asia HY
Asia IG
Early Cycle Mid-Cycle Late Cycle Recession
Growth Accelerating Peaks Slows Contracts
Credit Spreads Opportunistic Declining Tight Widening
Defaults Plateau Trend lower Bottoms Rising
Margins Recovering Expanding Plateaus Declines & troughs
CAPEX Bottom then Rises Stabilizes Accelerates Declines
Dividends Payouts & ratios rise Payouts & ratios rise Payouts rise, ratios decline Payouts decline, ratios rise
Buybacks Reinstated Rising but less than FCF Rising & nearing or exceeds FCF Falls or halted
M&A Start of cycle Growing, major deals emerge Peaks, mega deals, high valuations End of cycle, cheap valuations
Cash Position Buildup Buildup & redeployment Declines Rebuild
17
Source: Invesco, June, 2018.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 17 of 50
Industries Vary Widely Within Corporate Credit Cycle
U.S. Banks
EnergyIndustrials
Utilities
Non-Cyclical
Telecomm
Healthcare
Technology
Consumer
Cyclical
Insurance
REITs
Metals
Autos
Media
Early Cycle Mid-Cycle Late Cycle Recession
Growth Accelerating Peaks Slows Contracts
Credit Spreads Opportunistic Declining Tight Widening
Defaults Plateau Trend lower Bottoms Rising
Margins Recovering Expanding Plateaus Declines & troughs
CAPEX Bottom then Rises Stabilizes Accelerates Declines
Dividends Payouts & ratios rise Payouts & ratios rise Payouts rise, ratios decline Payouts decline, ratios rise
Buybacks Reinstated Rising but less than FCF Rising & nearing or exceeds FCF Falls or halted
M&A Start of cycle Growing, major deals emerge Peaks, mega deals, high valuations End of cycle, cheap valuations
Cash Position Buildup Buildup & redeployment Declines Rebuild
18
Construction
EUR Banks
Source: Invesco, June, 2018.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 18 of 50
IFI Credit Scorecard – 3 month Projections
Asset Class Comparison
Asset Class
Ove
rall
Fu
nd
am
en
tal
Va
lua
tio
ns
Te
ch
nic
al
Current
Spread
US Investment Grade C B C D 110
EUR Investment Grade B B B C 111
UK Investment Grade C C C C 138
US High Yield C B E C 332
EUR High Yield C B E C 353
Emerging Markets - Sovereign C B B E 356
Emerging Market - Corporate C B B E 287
Asia Investment Grade B B B C 153
Asia High Yield B B B C 451
Bank Loans B B B B 540
Bank Loans - EUR B B C B 360
Source: Invesco, June, 2018.
19 FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 19 of 50
IFI Credit Scorecard – 3 month Projections
Asset Class Comparison
Asset Class
Ove
rall
Fu
nd
am
en
tals
Va
lua
tio
ns
Te
ch
nic
als
Start
Spread
Agency MBS D C D D 58
Non-Agency MBS – Legacy C B C C 95
Non-Agency MBS – GSE CRT (BBB) B B C B 86
Non-Agency MBS – GSE CRT (BIG) C B D B 204
ABS C B C C 45
CMBS C C C B 76
Municipals – Investment Grade B B C B 50
Municipals – High Yield B B C A 200
Source: Invesco, June, 2018.
20 FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 20 of 50
Global IG Credit Themes
▪ Central Bank Forces Less Favorable
– Rate Hikes Drive ↑ FX Hedge Costs
– QT, Deficits Push ↑ Net FI Supply
▪ Credit Fundamentals To Improve
+ Earnings, Leverage Trends
▪ US Fiscal Policy Expectations
+ Tax Policy Stimulus Enacted
▪ Cash Repatriation Opposing Forces
+ Lower Funding Needs
- Front End Selling Pressure
▪ Commodities – Crude Range Bound,
preferred vs Metals, Pipelines
▪ Consumer Related
+ EUR: Consumer Deleveraging
+ US: High Confidence Remaining
▪ Favor Housing/Constr. Related Sectors
▪ TMT Data/Wireless/Cloud
▪ Retail Sub-Sector Selectivity
+ Convenience, Less Internet Sensitive
▪ Biotech Innovative, Resilient
▪ US IG: Bear Flattener
- U/W Front End, Selling Pressure
+ 7-10yr (roll-down)
+ 30yr less attractive
▪ EU IG: ECB remains supportive
▪ UK IG: Brexit/Political Concern
▪ US IG Supply Outlook Moderating
+ M&A Uncertainty Remains
+ Organic Growth Returning
▪ Financials: Cap Structure
– T1/Preferred Less Rich
+ Senior/Sub Debt Cheap, Holdco
Funding Technical Abating
▪ BBB/A Basis Cheapened
▪ Single-A Industrials Rich
▪ HQ Secured FA Backed Notes Trade
Cheap vs Sr. Fins, HQ Industrials
Macro
Cre
dit
Secto
r
Qu
ality
Cu
rve, Tech
nic
als
Source: Invesco, June, 2018.21 FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 21 of 50
Credit Strategy – Valuations
As of June 15, 2018
HY Continues to Outperform EM and IG
Source: Barclays, JP Morgan, Bloomberg
22 FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 22 of 50
Credit vs Equity Relative Performance
US IG Diverging from Equities
S&P 500 vs. US IG Credit OAS
▪ IG spreads now pricing in higher market volatility
after the short-VIX trade unwind
▪ Pickup in M&A supply likely at fault for US IG
underperforming equities in Q218
US IG Credit: Yield to Worst vs OAS
▪ All-in yields touch 4% for the 1st time in over 7 years
▪ Should attract more demand from pension & insurance
Higher Yields Improves Relative Value vs Other Developed Markets
80
90
100
110
120
1302200
2300
2400
2500
2600
2700
2800
2900
Jun-1
7
Jul-1
7
Aug-1
7
Sep-1
7
Oct-
17
No
v-1
7
De
c-1
7
Jan-1
8
Feb
-18
Ma
r-1
8
Apr-
18
Ma
y-1
8
Jun-1
8
S&P 500 (lhs)US IG Credit OAS (rhs)
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50Yield to Worst OAS (in %)
Source: Bloomberg, Barclays as of June 13, 2018 Source: Bloomberg, Barclays as of June 13, 2018
23 FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 23 of 50
Becoming Easier to Generate Decent Yield in US IG
Yet Still Difficult for Foreign Investors to Find Yield
Source: Barclays as of May 31, 2018
27.3%
16.1%
0%
10%
20%
30%
40%
50%
60%
Fe
b-1
1
Jul-1
1
De
c-1
1
Ma
y-1
2
Oct-
12
Ma
r-1
3
Aug-1
3
Jan-1
4
Jun-1
4
No
v-1
4
Apr-
15
Sep-1
5
Feb
-16
Jul-1
6
De
c-1
6
Ma
y-1
7
Oct-
17
Ma
r-1
8
Share of Euro Agg Index WithNegative Yield
Share of Global Agg Index WithNegative Yield
Source: Barclays as of May 31, 2018
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Apr-
08
No
v-0
8
Jun-0
9
Jan-1
0
Aug-1
0
Ma
r-1
1
Oct-
11
Ma
y-1
2
De
c-1
2
Jul-1
3
Feb
-14
Sep-1
4
Apr-
15
No
v-1
5
Jun-1
6
Jan-1
7
Aug-1
7
Ma
r-1
8
Global Negative Yields Still Pervasive US IG Index: MV% w/YTW >= 3%
24 FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 24 of 50
FX-Hedged Yields by Tenor for Foreign Investors
Source: BAML Indices, Bloomberg, June 15, 2018
0.0
0.5
1.0
1.5
2.0
2.5
0 2 4 6 8 10 12 14 16 18 20 22 24 26
Eff
ecti
ve Y
ield
(E
UR
, %
)
Years to maturity
Hedged IG Yields for EUR Investors
EUR HG
USD HG in EUR
0.0
0.5
1.0
1.5
2.0
2.5
0 2 4 6 8 10 12 14 16 18 20 22 24 26
Eff
ecti
ve Y
ield
(JP
Y, %
)
Years to maturity
Hedged IG Yields for JPY Investors
USD HG in JPYEUR HG in JPYJPY HG
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
Jun-1
5
Aug-1
5
Oct-
15
De
c-1
5
Feb
-16
Apr-
16
Jun-1
6
Aug-1
6
Oct-
16
De
c-1
6
Feb
-17
Apr-
17
Jun-1
7
Aug-1
7
Oct-
17
De
c-1
7
Feb
-18
Apr-
18
US IG Yields, JPY-Hedged, by Maturity Bucket
1-3yr US Corp
3-5yr US Corp
5-7yr US Corp
7-10yr US Corp
10+y US Corp
40yr JGB
25FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 25 of 50
Credit Strategy – Issuance
Supply as of April 30, 2018
US IG: Spreads Still Struggling Despite Issuance -10% y/y
Source: Invesco, Bloomberg
519 544 557
326
493 464
567564
653 636672
608
5% 2%
-42%
51%
-6%
22%-1%
16%-3% 6%
-10%
0
100
200
300
400
500
600
700
800
900
1,000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
US Investment Grade: Year to Date Issuance ($bb) YTD Issuance 5/31 Y/Y% chg
88.6
168.1
96.4
128.6108.0
139.3126.4 121.5
33.7
135.6
97.1
126.3 122.6
0
20
40
60
80
100
120
140
160
180
Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18
US Investment Grade: Monthly Issuance ($bb)
26FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 26 of 50
Firm Overview and Investment Process
Page 27 of 50
Invesco Ltd.
Solely dedicated to investment management for the benefit of clients
28
Source: Invesco Ltd. Investment professional and AUM are as of March 31, 2018, and include all assets under advisement, distributed and overseen by Invesco.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Global ReachClient Focus High Performance Culture
▪ Over 750 investment
professionals in more than 20
countries
▪ US$934.2 billion in assets under
management for clients globally
▪ Global profile that spans nine of
the world’s ten largest markets
▪ Business focused exclusively on
investment management
▪ We’re relentless in our pursuit of
achieving more for clients
▪ Our global support platform
eliminates distractions and
empowers our distinct investment
teams with the potential to
produce strong, long-term
investment results
▪ A culture of accountability and
collaboration focused on helping
clients achieve their investment
objectives
Page 28 of 50
Our global perspective and local market knowledge help us
uncover investment opportunities
29
Scope of fixed income platform:
US$314.4 billion AUM
Depth of resources:
169 investment professionals
226 professionals
Global footprint:
10 locations in key markets
Rates 19 Currency 14 Credit 72 PM 77
London
Hong Kong
Tokyo
We have a well-resourced investment team with a strong global perspective
San Diego
New YorkAtlanta
London
Hong
Kong
Chicago
Louisville
ShenzhenMumbaiPalm Harbor
Source: Invesco, as of March 31, 2018. Subject to change without notice.
TorontoPortland
Shenzhen and Mumbai represent wholly owned Invesco subsidiaries and are not included in the official IFI location count.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 29 of 50
Invesco Fixed Income
Assets under management – March 31, 2018
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC30
IFI Asset Breakdown ($ billion)
Global Investment Grade $47
Multi Sector $11
Stable Value* $30
Bank Loans $44
High Yield $5
Emerging Markets $4
Structured Securities $40
Municipals $27
Global Liquidity $106
Total $314
* Approximately $23.8 billion of Stable Value Assets are managed within our Global Fixed Income and Structured Securities teams and are being reflected
in the line items of those groups above.
Global Investment
Grade
Multi Sector
Stable Value
Structured Securities
Bank Loans
Emerging Markets/High
Yield
Global Liquidity
Municipals
Page 30 of 50
Invesco Fixed Income Overview
IFI’s experienced teams provide broad market coverage and
specialized expertise
Fixed Income TeamsTeam Members
Average yrs.with Invesco
Average yrs.Industry Experience*
Portfolio Management & Trading 74 12 21
Global Research 95 9 17
Total Investment Professionals 169 10 19
Business Professionals 57 12 18
Total Fixed Income Employees 226 11 19
As of March 31, 2018. Subject to change without notice.
*Investment specific experience for investment professionals.
31 FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 31 of 50
▪ An economy’s cycle of expansions and
contractions matters for asset prices
▪ Successful long-term management requires skill
in determining market direction and effective
security selection
▪ Integrating local knowledge into a global view
strengthens our capabilities
▪ Multi-faceted risk management is critical for
exceptional long term performance
We believe return opportunities arise from both market
direction and fundamentally-based security selection
32
Our philosophy ties opportunity to the economic cycle
Economic
Cycle
Themes
Security
Selection
Market
Direction
We believe at different points in a market
cycle, market direction and security
selection differ in importance
For illustrative purposes only.
Source: Invesco, as of May 2018.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 32 of 50
Our disciplined process builds on our investment
philosophy as we seek to drive strong results
33
For illustrative purposes only.
Macro Research
Credit Research
Integrated
Strategy
Client Portfolio
Our investment process builds on
key components
Portfolio
Management
▪ Fundamentally–based macro
and credit research generate investable
views, themes and input for strategy
▪ Integrated strategy determines views on
market direction, risk positioning, and
asset allocation
▪ Portfolio managers utilize platform
views (the tool kit) for client portfolios
▪ Risk management is integrated
throughout our process
Platform
Tool Kit
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 33 of 50
Our macro process leverages experience with quantitative
tools to generate investment views
34
For illustrative purposes only.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Econometric Assessment
Regime & Policy
Determination
Thematic &
Opportunistic Ideas
The Macro Research Component Seasoned Macro Team
▪ Our deep and experienced team
integrates local market knowledge with a
global approach
▪ Country-specific, learning-based
quantitative modeling is employed in a
framework allowing easy comparison
across markets
▪ Seasoned local experts utilize detailed
country analysis and quantitative results
to generate rates and currency
positioning
▪ Our platform communicates decisions
broadly in a standardized format
Page 34 of 50
Rigorous credit research process identifies thematic and
high conviction investments
35
For illustrative purposes only.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Thematic &
Opportunistic
Ideas
PM & Research
Reconciliation
Fundamental
Analysis
Rigorous Credit Analysis
▪ Our research teams are well-resourced
and consistently apply a systematic
global framework
▪ Macro research views provide a
consistent starting point
▪ Standardized decisions and regular
forums provide comparability across
geography, asset classes, industries
and quality
▪ PMs & analysts synthesize research
into thematic ideas and high-conviction
security selection
The Credit Research Component
Page 35 of 50
Our Investment Strategy Team leads the integration of our
research and portfolio management platform
36
For illustrative purposes only.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Research Teams Portfolio Management Teams
Investment Strategy Team
Rob Waldner, Chair
Head, Global Macro/Chief Strategist
Raymund Uy
Head
Global Macro Research
Tony Wong
Head, Global Research, Liquidity
& Municipals
Michael Hyman
CIO, Global Investment Grade &
Emerging Markets
Gareth Isaac
CIO, EMEA
Joseph Portera
CIO, High Yield & Multi-Sector
Credit
John Anzalone
Head, Structured Securities
PM
Week 1 Week 2 Week 3 Week 4
Macro Sector Relative Value Asset Allocation
▪ Senior investors from research and
portfolio management lead integration
of strategy
▪ Culture of inclusion drives full potential
of our global resources to provide
actionable insights
▪ Structured weekly process, with
flexibility to adapt to market events
▪ Process results in broad risk
positioning and asset allocation
expressed as a model portfolio
Our integrated perspective
compounds our expertise
Page 36 of 50
Deep and experienced Investment Grade team
37 FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Michael Hyman (27)
CIO, Global Investment Grade and Emerging Markets
Global Investment Grade Credit Team
Portfolio Management & Trading
* Co-Heads of Investment Grade Credit Research. () Denotes years of experience as of March 31, 2018. Organization structure as of April 2018. Subject to change without notice. 1
Invesco Global Trading is a supporting group for Invesco Fixed Income and does not fall under IFI headcount. ^ The primary responsibilities of the client portfolio manager (CPM) are to
represent the investment team in the marketplace and to help manage the team's business responsibilities. The CPM does not manage portfolio assets.
Global Macro Team
26 Professionals
Public Corporate Credit
Team
49 Professionals
Structured Credit Team
17 Professionals
Investment Strategy Team
7 Professionals
Matt Brill, CFA (16)
Ryan Watts, CFA (17)
Robert Young, CFA (24)
Lyndon Man, CFA (17)
Luke Greenwood (24)
Heide Fiscella (31)
North America Europe
Chuck Burge (25)
Marvin Flewellen, CFA (33)Steven Thompson (26) Peter Wendt (24)
Global Investment Grade Credit Research
David Todd* (21) Paul English, CFA* (20)
Fabrice Pellous, CFA (19)Chris Maurice, CFA (8)
Ray Janssen (17)
Andy Stone , CFA (19) Jacob Habibi, CFA (19)
Ian Centis (31)
Justo Gonzalez (32)
Michael Breuer, CFA (8)
Samira Sattarzadeh, CFA (16)Jay Sammons, CFA (9)
Bixby Stewart (8) Maynard Xu, CFA (10)
Client Portfolio Management ^
Global Trading Support1
16 Professionals
Todd Schomberg, CFA (19)
Chris Freel, CFA (7)
Michael Booth, ACA (7)
Lucas Simmons, CFA (11)
Peter Wietrak, CFA (12) Jason Trujillo (11)
Sam Morton (16)
Cosmo Zhang (21) Matthew Kong (22)
Lisa Tao (10)Adrian Garcia (20)Yi Hu, CFA (11)
Page 37 of 50
Our portfolio managers are responsible for leveraging the platform as they target client risk and return objectives
Portfolio
Management
Platform
Tool Kit
Portfolio manager responsibilities
▪ Experienced PMs identify and implement relevant
platform tools as they seek to meet client needs
▪ PMs conduct ongoing risk management and portfolio
positioning, leveraging IFI and Invesco resources
▪ PMs are accountable for managing within client
guidelines and responsible for portfolio performance
▪ IFI oversight reviews portfolio risk positioning and return
attribution
38 FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC
Page 38 of 50
Appendix
Page 39 of 50
Michael Hyman
CIO, Global Investment Grade and EMD Portfolio Management
Michael Hyman is the CIO of Investment Grade Portfolio Management for Invesco Fixed
Income.
Prior to joining Invesco in 2013, Mr. Hyman was with ING Investment Management and ING
Institutional Markets for 12 years. At ING, he was head of investment grade corporate credit with
responsibility for managing a variety of investment grade credit-related portfolios, including
insurance, mutual fund and institutional separate account mandates. Preceding ING, Mr. Hyman
was a director of capital markets for GE Capital, where he was responsible for securitization and
derivative structuring. He also held trading and risk management positions at Société Générale
and Yasuda Trust and Bank. He entered the industry in 1991.
Mr. Hyman earned his BSE degree in finance from Pennsylvania State University and his MBA
from the Stern School of Business at New York University.
Biography
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC40
Page 40 of 50
Ryan Watts, CFA®
Portfolio Manager
Ryan Watts is a Portfolio Manager with Invesco Fixed Income, with primary responsibilities
within US Investment Grade Credit. He is responsible for the application of investment strategy
across fixed income portfolios, consistent with client investment objectives and guidelines. He is
also responsible for trading and monitoring corporate bond positions across portfolios in
telecommunications, media, and financials.
Mr. Watts joined Invesco in 2002 as performance analyst with Invesco's Performance and Risk
Measurement team. In that role, he was responsible for providing performance and statistical
analysis of fixed income and equity products across the firm. In 2007, he joined the portfolio
management team, where he was responsible for trading government bonds and derivatives, as
well as for implementing investment strategy across core and intermediate portfolios.
Mr. Watts earned a BA degree in business administration from Bellarmine University in 2002.
He holds the Chartered Financial Analyst charterholder and is a member of the CFA Society of
Atlanta.
Biography
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC41
Page 41 of 50
Robert B. Waldner, Jr., CFA®
Chief Strategist and Head of Multi-Sector
Rob Waldner is Chief Strategist and Head of Multi-Sector for Invesco Fixed Income (IFI). Mr.
Waldner has overall management responsibility for the IFI public credit asset class teams and the
Multi-Sector team. In this role, he is responsible for oversight of the portfolio construction process
for IFI’s public security portfolios. Mr. Waldner chairs the IFI Investment Strategy team and is
responsible for oversight of the overall IFI investment process. He joined Invesco in 2013.
Prior to joining Invesco, Mr. Waldner worked with Franklin Templeton for 17 years. At Franklin
Templeton, he was a senior strategist and senior portfolio manager. He was the lead manager for
Franklin absolute return strategies, and a member of the Fixed Income Policy Committee. Mr.
Waldner was instrumental in the launch of a number of new strategies on the Franklin Templeton
fixed income platform. Previously, Mr. Waldner was a member of the Macro team at Omega
Advisors and a portfolio manager with Glaxo (Bermuda) Ltd. He entered the industry in 1986.
Mr. Waldner earned a BSE degree in civil engineering from Princeton University, graduating
magna cum laude in 1986. He is a CFA charterholder.
Biography
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC42
Page 42 of 50
Ray Uy, CFA®
Head of Macro Research and Global Multi-Sector Portfolio Management
Raymund Uy is Head of Macro Research and Global Multi-Sector Portfolio Management for
Invesco Fixed Income.
Mr. Uy has been in the industry since 1993. He has experience in a variety of functions, including
global fixed income trading and portfolio management; currency trading and portfolio management;
credit research and macroeconomic analysis.
Mr. Uy worked at Hartford Investment Management (HIMCO) for eight years prior to joining
Invesco in 2012. At HIMCO, he was a lead portfolio manager for non-US-dollar-based fixed income
portfolios, and as head of Fixed Income Trading, he managed a centralized platform of traders
across multiple fixed income sectors. Before joining HIMCO, Mr. Uy spent six years at Mackay
Shields in New York and five years at Fiduciary Trust.
He earned a BBA from Hofstra University in New York, and is a CFA charterholder.
Biography
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC43
Page 43 of 50
Biography
Tony Wong
Head of Global Credit Research and Head of Global Liquidity
Tony Wong is Head of Global Credit Research for Invesco Fixed Income. He is responsible for providing
management oversight of Invesco Fixed Income’s global credit research organization. Mr. Wong directs
the credit research process and investment management-related support activities across Invesco Fixed
Income’s liquidity management, stable value, municipals and broad fixed income businesses,
encompassing public investment grade, high yield, and emerging markets.
Additionally, Mr. Wong is Head of Global Liquidity for Invesco Fixed Income. He is responsible for the
investment management and business development of our global liquidity business, which includes a
broad range of money market and short duration capabilities.
At the corporate level, Mr. Wong provides oversight and risk management support for various
counterparty credit risk related activities. He is a member of Invesco Ltd.’s Corporate Risk Management
Committee as well as the Invesco Atlanta Management Council. Externally, Mr. Wong is actively
involved with regulatory affairs, serving in various advisory roles with the Investment Company Institute.
Mr. Wong joined Invesco in 1996 as a fixed income analyst focusing on the analysis of corporations and
financial institutions. Prior to joining Invesco, Mr. Wong was in corporate finance as a business analyst
with Healthcare Realty Trust. Mr. Wong earned a BA degree in history and a BBA from Southern
Methodist University in Dallas. He also earned an MBA from University of St. Thomas in Houston.
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC44
Page 44 of 50
Paul English, CFA®
Head of US Investment Grade Research
Paul J. English is Head of US Investment Grade Research for Invesco Fixed Income. His
primary responsibilities include the management and coordination of the investment grade
research function, credit strategy, resource requirements and standards of practice. In addition,
his coverage responsibilities are focused on the analysis of financial institutions.
Mr. English joined Invesco in 1998. Previously, he was a manager of financial planning with
Macy's (Federated Department Stores.) He has also served as a finance manager responsible
for financial forecasting and analysis at Midland Enterprises in Cincinnati.
Mr. English earned a BS degree in business administration from Xavier University. He holds the
Chartered Financial Analyst (CFA) designation and is a member of the CFA Society of Atlanta.
Biography
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC45
Page 45 of 50
City of Sarasota Employee Pension Plan
Fixed Income Investment Appraisal
As of June 30, 2018
Source: InvescoFOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC46
Security Classification SecurityShares / Par
ValueCUSIP Price (Base)
Average Unit
Cost (Base)
Accrued
Income (Base)
Market Value
(USD)
Market Value
+ AI
(USD)
Account
Weight % S&P Rating Fitch Rating
Moody's
Rating
99.54 1.01 118,740 27,953,526 28,072,266 100.00 - - -
100.19 1.01 118,740 27,757,755 27,876,496 99.30 - - -
Fixed income UNITED STATES TREASURY NOTE/BOND T 2 7/8 05/31/25 2,325,700 9128284R8 100.38 1.01 5,663 2,334,603 2,340,266 8.34 AA+ AAA Aaa
UNITED STATES TREASURY NOTE/BOND T 2 3/4 05/31/23 1,715,400 9128284S6 100.13 1.00 3,996 1,717,544 1,721,540 6.13 AA+ AAA Aaa
UNITED STATES TREASURY NOTE/BOND T 2 5/8 06/15/21 1,508,000 9128284T4 100.01 1.00 1,730 1,508,176 1,509,907 5.38 AA+ AAA Aaa
UNITED STATES TREASURY NOTE/BOND T 2 7/8 05/15/28 1,047,500 9128284N7 100.20 0.99 3,864 1,049,587 1,053,450 3.75 AA+ AAA Aaa
FNCL AO8632 3.5 07-01-42 757,286 3138M0SW1 100.36 0.99 2,209 759,979 762,188 2.72 AA+ AAA Aaa
FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA 1 5/8
11/27/18
650,000 3135G0YT4 99.80 1.00 998 648,720 649,717 2.31 AA+ AAA Aaa
UNITED STATES TREASURY NOTE/BOND T 2 1/2 05/31/20 633,800 9128284Q0 99.95 1.00 1,342 633,503 634,845 2.26 AA+ AAA Aaa
UNITED STATES TREASURY NOTE/BOND T 1 3/8 04/30/20 485,000 912828K58 97.95 0.99 1,124 475,073 476,196 1.70 AA+ AAA Aaa
FNCL AU5918 3.0 09-01-43 458,752 3138X5SG3 97.70 0.99 1,147 448,205 449,352 1.60 AA+ AAA Aaa
FNCL AT5895 3.0 06-01-43 429,970 3138WTRR9 97.69 0.99 1,075 420,048 421,123 1.50 AA+ AAA Aaa
FNCL AS8804 3.5 02-01-47 417,168 3138WJYA0 99.81 0.99 1,217 416,358 417,574 1.49 AA+ AAA Aaa
FGLMC Q11836 3.5 10-01-42 407,718 3132HNBD0 100.30 1.07 1,189 408,951 410,140 1.46 AA+ AAA Aaa
CHASE ISSUANCE TRUST CHAIT 2014-A2 A2 400,000 161571GK4 99.43 1.00 492 397,724 398,216 1.42 AAA AAA NR
FGLMC A97043 4.5 02-01-41 350,667 312945ZG6 105.17 1.06 1,315 368,804 370,119 1.32 AA+ AAA Aaa
FGLMC G08542 4.0 08-01-43 342,594 3128MJS84 102.47 1.03 1,142 351,062 352,204 1.25 AA+ AAA Aaa
FNCL BE0468 3.0 10-01-46 346,976 3140FKQW3 96.96 1.04 867 336,423 337,291 1.20 AA+ AAA Aaa
GENERAL ELECTRIC CO GE 4.65 10/17/21 305,000 36962G5J9 104.01 1.00 2,915 317,233 320,149 1.14 A A A2
WELLS FARGO & CO WFC 4.1 06/03/26 300,000 94974BFY1 97.99 1.01 957 293,970 294,927 1.05 BBB+ A A3
NAVIENT STUDENT LOAN TRUST 2014-8 NAVSL 2014-8 A3 290,000 63939DAC9 100.41 1.00 124 291,182 291,306 1.04 AA+ AAA Aaa
FNCL BM1785 4.0 08-01-47 269,563 3140J56X2 102.71 1.02 899 276,871 277,769 0.99 AA+ AAA Aaa
UNITED STATES TREASURY NOTE/BOND T 1 1/2 05/31/20 275,000 912828XE5 98.07 1.00 349 269,693 270,043 0.96 AA+ AAA Aaa
COSTCO WHOLESALE CORP COST 2.3 05/18/22 261,000 22160KAK1 97.12 1.00 717 253,484 254,201 0.91 A+ A+ A1
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A FORDF
2014-2 A
250,000 34528QDA9 100.34 1.00 286 250,838 251,124 0.89 AAA NR Aaa
US BANCORP USB 3.6 09/11/24 250,000 91159HHK9 98.79 1.00 2,750 246,970 249,720 0.89 A- A+ A1
PNC BANK NA PNC 2.7 11/01/22 250,000 69349LAG3 96.13 1.00 1,125 240,320 241,445 0.86 A- A A3
Occidental Petroleum 235,000 674599CE3 97.15 1.00 2,397 228,313 230,710 0.82 A A A3
PEPSICO INC PEP 3.6 03/01/24 225,000 713448CM8 101.12 1.00 2,700 227,525 230,225 0.82 A+ A A1
FNCL AI4222 5.0 07-01-41 210,567 3138AHVQ6 107.81 1.08 877 227,005 227,882 0.81 AA+ AAA Aaa
BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2015-UBS7
BACM 2015-UBS7 A4
225,000 06054AAX7 100.22 1.03 695 225,493 226,188 0.81 NR AAA Aaa
WFRBS COMMERCIAL MORTGAGE TRUST 2013-C15 WFRBS 2013-
C15 A4
200,000 92938CAD9 103.48 1.03 692 206,965 207,657 0.74 AAA AAA Aaa
Fixed income Total
Grand Total
Page 46 of 50
City of Sarasota Employee Pension Plan
Fixed Income Investment Appraisal
As of June 30, 2018
Source: Invesco
FOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC47
Security Classification SecurityShares / Par
ValueCUSIP Price (Base)
Average Unit
Cost (Base)
Accrued
Income (Base)
Market Value
(USD)
Market Value
+ AI
(USD)
Account
Weight % S&P Rating Fitch Rating
Moody's
Rating
Fixed income FNCL AS5593 3.5 08-01-45 204,936 3138WFGB6 100.03 1.05 598 204,994 205,592 0.73 AA+ AAA Aaa
ORACLE CORP ORCL 2.95 05/15/25 214,000 68389XBC8 95.47 1.00 807 204,297 205,103 0.73 AA- A+ A1
FNCL AB9858 3.0 07-01-43 205,441 31417G5U6 97.69 1.03 514 200,700 201,214 0.72 AA+ AAA Aaa
FNCL 984280 6.0 06-01-38 181,002 31415MM51 110.44 1.08 905 199,908 200,813 0.72 AA+ AAA Aaa
BRISTOL-MYERS SQUIBB CO BMY 1 3/4 03/01/19 200,000 110122AV0 99.45 1.00 1,167 198,893 200,060 0.71 A+ A- A2
CME Class A 200,000 12572QAE5 98.94 1.00 1,767 197,873 199,640 0.71 AA- NR Aa3
UNITED STATES TREASURY NOTE/BOND T 1 5/8 06/30/20 200,000 912828XH8 98.22 1.00 1,634 196,445 198,079 0.71 AA+ AAA Aaa
BANK OF AMERICA CORP BAC 2.816 07/21/23 200,000 06051GGQ6 96.69 1.00 2,503 193,385 195,889 0.70 A- A+ A3
MORGAN STANLEY MS 3.591 07/22/28 200,000 61744YAK4 95.04 1.00 3,172 190,089 193,261 0.69 BBB+ A A3
UNITED STATES TREASURY NOTE/BOND T 1 3/8 05/31/21 194,000 912828R77 96.50 1.01 226 187,218 187,444 0.67 AA+ AAA Aaa
MICROSOFT CORP MSFT 1.55 08/08/21 185,000 594918BP8 95.89 1.00 1,139 177,398 178,537 0.64 AAA AA+ Aaa
FGLMC Q37878 4.0 12-01-45 171,557 3132QUXG3 102.34 1.07 572 175,566 176,138 0.63 AA+ AAA Aaa
Chevron 180,000 166764AB6 95.60 1.00 306 172,086 172,392 0.61 AA- NR Aa2
PUBLIC SERVICE ELECTRIC & GAS CO PEG 2.3 09/15/18 170,000 74456QBE5 99.91 1.00 1,151 169,842 170,993 0.61 A A+ Aa3
United Parcel Service (UPS) Class B 175,000 911312AQ9 96.90 1.00 1,072 169,570 170,642 0.61 A+ NR A1
WFRBS COMMERCIAL MORTGAGE TRUST 2013-C17 WFRBS 2013-
C17 A4
165,000 92938GAD0 102.97 1.03 553 169,900 170,453 0.61 AAA AAA Aaa
FNCL AX7566 3.5 01-01-45 167,686 3138Y9MQ8 99.98 1.04 489 167,646 168,135 0.60 AA+ AAA Aaa
BANK OF NEW YORK MELLON CORP/THE BK 2.661 05/16/23 168,000 06406RAC1 97.04 1.01 559 163,029 163,588 0.58 A AA- A1
BERKSHIRE HATHAWAY FINANCE CORP BRK 4 1/4 01/15/21 150,000 084664BQ3 103.12 1.07 2,940 154,678 157,617 0.56 AA A+ Aa2
SUNTRUST BANK/ATLANTA GA STI 2.45 08/01/22 160,000 86787EAT4 96.06 1.00 1,633 153,702 155,335 0.55 A- A- Baa1
FNCL AS7587 3.5 07-01-46 153,982 3138WHND0 99.92 1.04 449 153,862 154,311 0.55 AA+ AAA Aaa
MIDAMERICAN ENERGY CO BRKHEC 2.4 03/15/19 150,000 595620AJ4 99.75 1.00 1,060 149,626 150,686 0.54 A+ A+ Aa2
STATE STREET CORP STT 2.55 08/18/20 150,000 857477AS2 99.19 1.00 1,413 148,778 150,192 0.54 A AA- A1
CSAIL 2017-C8 COMMERCIAL MORTGAGE TRUST CSAIL 2017-C8 A2 150,000 12595BAB7 98.93 1.03 373 148,401 148,775 0.53 NR AAA Aaa
PRECISION CASTPARTS CORP PCP 2 1/4 06/15/20 150,000 740189AL9 98.77 1.00 150 148,159 148,309 0.53 AA- NR A2
BB&T CORP BBT 2 3/4 04/01/22 150,000 05531FAX1 97.68 1.02 1,031 146,518 147,549 0.53 A- A+ A2
FGLMC A94035 4.0 09-01-40 142,452 312942PU3 102.81 1.03 475 146,449 146,924 0.52 AA+ AAA Aaa
GOLDMAN SACHS GROUP INC/THE GS 2.905 07/24/23 150,000 38141GWM2 96.32 1.00 1,900 144,476 146,376 0.52 BBB+ A A3
ABBVIE INC ABBV 2.3 05/14/21 150,000 00287YAU3 97.17 1.00 450 145,759 146,209 0.52 A- NR Baa2
COMCAST CORP CMCSA 4.2 08/15/34 150,000 20030NBM2 95.49 1.00 2,380 143,240 145,620 0.52 A- A- A3
Page 47 of 50
City of Sarasota Employee Pension Plan
Fixed Income Investment Appraisal
As of June 30, 2018
Source: InvescoFOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC48
Security Classification SecurityShares / Par
ValueCUSIP Price (Base)
Average Unit
Cost (Base)
Accrued
Income (Base)
Market Value
(USD)
Market Value
+ AI
(USD)
Account
Weight % S&P Rating Fitch Rating
Moody's
Rating
Fixed income SYNCHRONY CREDIT CARD MASTER NOTE TRUST SYNCT 2017-1
A
145,000 87165LBP5 98.01 1.00 124 142,117 142,242 0.51 NR AAA Aaa
VISA INC V 2.8 12/14/22 143,000 92826CAC6 98.16 1.00 189 140,372 140,561 0.50 A+ NR A1
UNITED STATES TREASURY NOTE/BOND T 1 5/8 11/30/20 143,000 912828M98 97.76 1.00 197 139,794 139,990 0.50 AA+ AAA Aaa
CISCO SYSTEMS INC CSCO 2.45 06/15/20 140,000 17275RAX0 99.38 1.02 152 139,126 139,279 0.50 AA- NR A1
CITIBANK CREDIT CARD ISSUANCE TRUST CCCIT 2017-A9 A9 140,000 17305EGH2 98.77 1.00 707 138,275 138,982 0.50 AAA AAA NR
WORLD FINANCIAL NETWORK CREDIT CARD MASTER TRUST
WFNMT 2016-C A
141,000 981464FU9 98.48 1.00 108 138,861 138,969 0.50 AAA AAA NR
AMERISOURCEBERGEN CORP ABC 3.45 12/15/27 150,000 03073EAP0 92.13 0.98 230 138,188 138,418 0.49 A- A- Baa2
JPMORGAN CHASE & CO JPM 3.54 05/01/28 140,000 46647PAF3 95.74 1.01 826 134,035 134,861 0.48 A- AA- A3
FGLMC Q15424 3.5 02-01-43 133,370 3132J6PJ7 100.30 1.02 389 133,773 134,162 0.48 AA+ AAA Aaa
EXXON MOBIL CORP XOM 2.709 03/06/25 136,000 30231GAF9 96.04 1.00 1,177 130,620 131,797 0.47 AA+ NR Aaa
JPMorgan Chase 130,000 46625HJE1 99.07 0.99 1,150 128,795 129,945 0.46 A- AA- A3
CITIBANK CREDIT CARD ISSUANCE TRUST CCCIT 2018-A1 A1 130,000 17305EGK5 98.73 1.00 1,358 128,354 129,712 0.46 NR AAA Aaa
APPLE INC AAPL 3.35 02/09/27 130,000 037833CJ7 97.65 1.00 1,718 126,945 128,662 0.46 AA+ NR Aa1
CITIGROUP INC C 2.876 07/24/23 130,000 172967LM1 96.43 1.00 1,631 125,357 126,987 0.45 BBB+ A Baa1
FNCL 745886 5.5 04-01-36 114,647 31403DUK3 108.49 0.99 525 124,377 124,902 0.44 AA+ AAA Aaa
FNCL AE4595 4.5 09-01-40 114,778 31419FC95 105.17 1.05 430 120,717 121,147 0.43 AA+ AAA Aaa
COMM 2015-DC1 MORTGAGE TRUST COMM 2015-DC1 A2 120,000 12629NAB1 99.84 1.03 287 119,804 120,091 0.43 NR AAA Aaa
MORGAN STANLEY MS 2.8 06/16/20 120,000 61761JB32 99.19 1.00 140 119,032 119,172 0.42 BBB+ A A3
BANK 2017-BNK8 BANK 2017-BNK8 A4 120,000 06650AAE7 98.07 1.03 349 117,688 118,037 0.42 NR AAA Aaa
FNCL AL7890 3.5 12-01-45 117,691 3138EQXU1 99.91 1.05 343 117,581 117,925 0.42 AA+ AAA Aaa
CAPITAL ONE MULTI-ASSET EXECUTION TRUST COMET 2017-A4 A4 120,000 14041NFN6 97.98 1.00 106 117,571 117,677 0.42 AAA AAA NR
FGLMC G08633 4.0 03-01-45 110,801 3128MJV31 102.34 1.07 369 113,397 113,766 0.41 AA+ AAA Aaa
VERIZON COMMUNICATIONS INC VZ 2 5/8 08/15/26 125,000 92343VDD3 88.75 1.00 1,240 110,943 112,182 0.40 BBB+ A- Baa1
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C24 WFRBS 2014-
C24 A5
110,000 92939KAE8 100.17 1.03 331 110,191 110,521 0.39 NR AAA Aaa
CITIGROUP INC C 3.668 07/24/28 110,000 172967LP4 95.14 1.00 1,760 104,655 106,415 0.38 BBB+ A Baa1
NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP NRUC
10 3/8 11/01/18
100,000 637432LR4 102.56 0.99 1,729 102,560 104,289 0.37 A A+ A1
ANHEUSER-BUSCH INBEV FINANCE INC ABIBB 3.65 02/01/26 104,000 035242AP1 97.89 1.00 1,582 101,810 103,392 0.37 A- BBB A3
PACIFICORP BRKHEC 3.6 04/01/24 100,000 695114CR7 100.73 1.00 900 100,735 101,635 0.36 A+ A+ A1
CITIBANK CREDIT CARD ISSUANCE TRUST CCCIT 2013-A4 A4 100,000 17305EFB6 100.00 1.00 42 100,000 100,042 0.36 AAA NR Aaa
DUKE ENERGY PROGRESS LLC DUK 2.8 05/15/22 100,000 144141DC9 99 1.00 358 98,716 99,074 0.35 A NR Aa3
Page 48 of 50
City of Sarasota Employee Pension Plan
Fixed Income Investment Appraisal
As of June 30, 2018
Source: InvescoFOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC49
Security Classification SecurityShares / Par
ValueCUSIP Price (Base)
Average Unit
Cost (Base)
Accrued
Income (Base)
Market Value
(USD)
Market Value
+ AI
(USD)
Account
Weight % S&P Rating Fitch Rating
Moody's
Rating
Fixed income GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST
2018-1 GMCAR 2018-1 A3
100,000 36255PAD2 98.73 1.00 97 98,731 98,827 0.35 NR AAA Aaa
TOYOTA AUTO RECEIVABLES 2018-A OWNER TRUST TAOT 2018-A
A4
100,000 89238BAE2 98.57 1.00 112 98,575 98,687 0.35 AAA NR Aaa
JOHN DEERE CAPITAL CORP DE 1 1/4 10/09/19 100,000 24422ETJ8 98.15 0.99 285 98,155 98,439 0.35 A A A2
CSAIL 2017-CX10 COMMERCIAL MORTGAGE TRUST CSAIL 2017-
CX10 A2
98,000 12595JAC8 99.74 1.03 266 97,744 98,011 0.35 AAA AAA NR
Deere 100,000 244199BE4 97.47 1.00 166 97,468 97,634 0.35 A A A2
BANK OF AMERICA CORP BAC 6 7/8 11/15/18 95,000 590188JN9 101.55 0.83 835 96,476 97,310 0.35 A- A+ A3
CONOCOPHILLIPS CO COP 4.95 03/15/26 89,000 20826FAQ9 107.78 1.08 1,297 95,922 97,220 0.35 A- A- Baa1
COMCAST CORP CMCSA 3.15 02/15/28 100,000 20030NCA7 92.42 1.00 1,190 92,422 93,612 0.33 A- A- A3
LOWES COS INC LOW 2 1/2 04/15/26 101,000 548661DM6 91.48 1.00 533 92,390 92,923 0.33 A- NR A3
GOLDMAN SACHS GROUP INC/THE GS 3.691 06/05/28 96,000 38141GWL4 94.80 1.01 256 91,006 91,262 0.33 BBB+ A A3
WALMART INC WMT 3.3 04/22/24 90,000 931142DP5 99.56 1.00 569 89,601 90,170 0.32 AA AA Aa2
FNCL 741908 5.0 11-01-33 83,825 31402YGR9 107.09 0.97 349 89,768 90,117 0.32 AA+ AAA Aaa
NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP NRUC
2 01/27/20
90,000 637432NC5 98.59 1.00 770 88,732 89,502 0.32 A A+ A1
AMERICAN EXPRESS CREDIT CORP AXP 1 7/8 05/03/19 89,000 0258M0EK1 99.27 1.00 269 88,346 88,615 0.32 A- A A2
DOMINION ENERGY GAS HOLDINGS LLC D 3.6 12/15/24 86,000 257375AH8 99.52 1.00 138 85,591 85,729 0.31 BBB+ A- A2
FNCL 814789 6.0 04-01-35 74,484 31406NF66 111.91 1.02 372 83,354 83,727 0.30 AA+ AAA Aaa
APPLE INC AAPL 2.15 02/09/22 84,000 037833AY6 96.90 1.00 712 81,392 82,105 0.29 AA+ NR Aa1
UBS COMMERCIAL MORTGAGE TRUST 2017-C2 UBSCM 2017-C2 A2 82,000 90276CAB7 98.85 1.03 207 81,059 81,266 0.29 AAA AAA Aaa
TD AMERITRADE HOLDING CORP AMTD 3.3 04/01/27 80,000 87236YAF5 95.42 1.00 660 76,336 76,996 0.27 A A- A2
FNCI AE3069 4.0 09-01-25 73,827 31419DMT5 102.96 1.05 246 76,015 76,261 0.27 AA+ AAA Aaa
CHEVRON CORP CVX 1.961 03/03/20 76,000 166764AR1 98.73 1.00 489 75,035 75,524 0.27 AA- NR Aa2
FNCL 794633 5.5 10-01-34 64,915 31405NY66 109.11 1.02 298 70,830 71,127 0.25 AA+ AAA Aaa
UNITED AIRLINES 2018-1 CLASS AA PASS THROUGH TRUST UAL 3
1/2 03/01/30
69,000 909318AA5 97.10 1.00 919 66,997 67,916 0.24 A AA Aa3
APPLIED MATERIALS INC AMAT 3.3 04/01/27 67,000 038222AL9 97.06 1.00 553 65,027 65,580 0.23 A- NR A3
UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST UAL
3.1 07/07/28
62,311 90931LAA6 94.67 1.00 934 58,993 59,926 0.21 NR AA Aa3
CARMAX AUTO OWNER TRUST 2018-1 CARMX 2018-1 A4 60,000 14314AAD1 98.85 1.00 70 59,308 59,378 0.21 AAA AAA NR
HONDA AUTO RECEIVABLES 2017-3 OWNER TRUST HAROT 2017-3
A4
60,000 43814PAD2 97.35 1.00 43 58,408 58,451 0.21 AAA AAA NR
FREDDIE MAC REMICS FHR 3792 DF 57,823 3137A63Z3 100.22 1.00 64 57,948 58,012 0.21 AA+ AAA Aaa
ANHEUSER-BUSCH INBEV FINANCE INC ABIBB 2.65 02/01/21 58,000 035242AJ5 98.62 1.00 640 57,201 57,841 0.21 A- BBB A3
BMW VEHICLE LEASE TRUST 2016-2 BMWLT 2016-2 A3 54,821 05582XAD4 99.61 1.00 24 54,607 54,631 0.19 AAA AAA NR
Page 49 of 50
City of Sarasota Employee Pension Plan
Fixed Income Investment Appraisal
As of June 30, 2018
Source: InvescoFOR CITY OF SARASOTA EMPLOYEE PENSION USE ONLY NOT FOR USE WITH THE PUBLIC50
Security Classification SecurityShares / Par
ValueCUSIP Price (Base)
Average Unit
Cost (Base)
Accrued
Income (Base)
Market Value
(USD)
Market Value
+ AI
(USD)
Account
Weight % S&P Rating Fitch Rating
Moody's
Rating
Fixed income Citigroup 50,000 172967FT3 102.72 0.99 1,044 51,359 52,403 0.19 BBB+ A Baa1
FNCL 725220 5.0 03-01-34 48,261 31402CVM1 107.10 0.96 201 51,687 51,888 0.18 AA+ AAA Aaa
JPMORGAN CHASE & CO JPM 2.295 08/15/21 53,000 46623EKG3 96.61 1.00 460 51,204 51,663 0.18 A- AA- A3
Wells Fargo 50,000 94974BFJ4 98.00 1.00 661 49,002 49,663 0.18 BBB+ A A3
FNCL 729001 5.5 08-01-33 44,510 31402G3J0 108.70 0.99 204 48,380 48,584 0.17 AA+ AAA Aaa
BMW VEHICLE OWNER TRUST 2018-A BMWOT 2018-A A4 49,000 09659QAE7 98.65 1.00 17 48,340 48,357 0.17 NR AAA Aaa
GILEAD SCIENCES INC GILD 1.85 09/20/19 47,000 375558BR3 98.78 1.00 244 46,429 46,673 0.17 A NR A3
FNCL 725946 5.5 11-01-34 41,247 31402DP79 108.77 0.98 189 44,865 45,054 0.16 AA+ AAA Aaa
GILEAD SCIENCES INC GILD 2.35 02/01/20 45,000 375558AY9 99.02 1.00 441 44,560 45,000 0.16 A NR A3
GILEAD SCIENCES INC GILD 3 1/4 09/01/22 41,000 375558BC6 99.42 1.00 444 40,764 41,208 0.15 A NR A3
MERCEDES-BENZ AUTO LEASE TRUST 2018-A MBALT 2018-A A3 40,000 58772QAD8 99.35 1.00 43 39,739 39,782 0.14 AAA AAA NR
FHARM 1N0169 3.3 07-01-36 34,870 3128QGFJ6 103.79 1.02 193 36,191 36,384 0.13 AA+ AAA Aaa
FNCL AI4589 4.5 07-01-41 30,594 3138AJC34 104.41 1.05 115 31,943 32,057 0.11 AA+ AAA Aaa
FNARM 896286 3.9 06-01-36 26,211 31410SXP7 102.72 1.01 84 26,925 27,009 0.10 AA+ AAA Aaa
DUKE ENERGY FLORIDA LLC DUK 2.1 12/15/19 21,750 26444HAD3 99.42 1.00 20 21,625 21,645 0.08 A- NR A3
FGLMC A81625 6.0 09-01-38 19,631 312927YW0 109.59 1.02 98 21,515 21,613 0.08 AA+ AAA Aaa
FNARM 758614 3.9 11-01-33 12,174 31403UYK1 103.38 1.02 39 12,585 12,624 0.04 AA+ AAA Aaa
FNCL 736061 4.5 09-01-33 11,561 31402RWW5 104.64 0.93 43 12,098 12,141 0.04 AA+ AAA Aaa
FGLMC A12055 5.0 08-01-33 9,926 31296LH87 106.45 1.00 41 10,566 10,608 0.04 AA+ AAA Aaa
FNCL 725238 5.0 03-01-34 9,537 31402CV74 107.42 0.99 40 10,244 10,284 0.04 AA+ AAA Aaa
FNARM 796989 3.4 08-01-34 5,915 31405RNE2 103.60 1.02 17 6,128 6,145 0.02 AA+ AAA Aaa
FNCL 480950 6.5 03-01-29 3,369 31382FH36 110.23 1.00 18 3,713 3,732 0.01 AA+ AAA Aaa
FNCL 359435 7.5 12-01-22 1,436 31376MHL9 104.43 1.00 9 1,500 1,509 0.01 AA+ AAA Aaa
FNCI 254865 4.5 09-01-18 1,043 31371LCA5 100.73 1.02 4 1,050 1,054 0.00 AA+ AAA Aaa
FNCL 313097 6.5 05-01-26 935 31374FX20 110.23 0.95 5 1,030 1,035 0.00 AA+ AAA Aaa
FNCL 418147 6.5 05-01-28 860 31379FP81 110.23 1.00 5 948 953 0.00 AA+ AAA Aaa
FNARM 754623 5.1 11-01-33 617 31403QLC2 99.67 1.04 3 615 617 0.00 AA+ AAA Aaa
GNSF 377615 7.5 09-15-25 517 36204RN87 106.55 1.00 3 551 555 0.00 AA+ AAA Aaa
GNSF 417392 7.5 05-15-26 451 36206PUR9 106.69 1.03 3 481 484 0.00 AA+ AAA Aaa
FNCI 753693 4.5 09-01-18 466 31403NKE6 100.73 1.01 2 469 471 0.00 AA+ AAA Aaa
FNARM 675481 5.2 02-01-33 205 31391SM64 104.77 1.03 1 215 215 0.00 AA+ AAA Aaa
GNSF 299164 9.0 12-15-20 104 362207JH6 100.31 1.06 1 104 105 0.00 AA+ AAA Aaa
1.00 1.00 0 195,770 195,770 0.70
Cash & Cash equivalents Cash or Equivalents 195,770 CASHUSD00 1.00 1.00 0 195,770 195,770 0.70
Cash & Cash equivalents Total
Page 50 of 50
Recommended