external portion of investment pools and individual investment accounts that are held in a trust that meets the criteria in Paragraph 11c(1).
WHEREAS (6) The CEPPT is not a Code Section 401(a) qualified trust and the assets held in the CEPPT are not assets of any Employer Pension Plan or any plan qualified under Code Section 401(a).
NOW, THEREFORE, BE IT RESOLVED THAT EMPLOYER HEREBY MAKES THE
FOLLOWING REPRESENTATION AND WARRANTY AND THAT THE BOARD AND EMPLOYER AGREE TO THE FOLLOWING TERMS AND CONDITIONS:
A. Employer Representation and Warranty
Employer hereby represents and warrants that it is the State of California or a political subdivision thereof, or an entity whose income is excluded from gross income under Code Section 115(1).
B. Adoption and Approval of the Agreement; Effective Date; Amendment (1) Employer's governing body shall elect to participate in the CEPPT by adopting this Agreement and filing with the Board a true and correct original or certified copy of this Agreement as follows:
Filing by mail, send to: CalPERS
CEPPT
P.O. Box 1494
Sacramento, CA 95812-1494
Filing in person, deliver to: CalPERS Mailroom
CEPPT
400 Q Street
Sacramento, CA 95811
(2) Upon receipt of the executed Agreement, and after approval by the Board, the Board shall fix an effective date and shall promptly notify Employer of the effective date of the Agreement. Employer shall provide the Board such other documents as the Board may request, including, but not limited to a certified copy of the resolution(s) of the governing body of Employer authorizing the adoption of the Agreement and documentation naming Employer’s successor entity in the event that Employer ceases to exist prior to termination of this Agreement.
(3) The terms of this Agreement may be amended only in writing upon the agreement of both the Board and Employer, except as otherwise provided herein. Any such amendment or modification to this Agreement shall be adopted and executed in the same manner as required for the Agreement. Upon receipt of the executed amendment or modification, the Board shall fix the effective date of the amendment or modification.
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 282, Packet Page 597 1/12/2022
(4) The Board shall institute such procedures and processes as it deems necessary to administer the CEPPT, to carry out the purposes of this Agreement, and to maintain the tax-exempt status of the CEPPT. Employer agrees to follow such procedures and processes.
C. Employer Reports Provided for the Board’s Use in Trust Administration and Financial Reporting and Employer Contributions
(1) Employer shall provide to the Board a defined benefit pension plan cost report on the basis of the actuarial assumptions and methods prescribed by Actuarial Standards of Practice (ASOP) or prescribed by GASB. Such report shall be for the Board’s use in trust administration and financial reporting and shall be prepared at least as often as the minimum frequency required by applicable GASB Standards. This defined benefit pension plan cost report may be prepared as an actuarial valuation report or as a GASB compliant financial report. Such report shall be:
1) prepared and signed by a Fellow or Associate of the Society of Actuaries who is also a Member of the American Academy of Actuaries or a person with equivalent qualifications acceptable to the Board;
2) prepared in accordance with ASOP or with GASB; and
3) provided to the Board prior to the Board's acceptance of contributions for the reporting period or as otherwise required by the Board. (2) In the event that the Board determines, in its sole discretion, that Employer’s cost report is not suitable for the Board’s purposes and use or if Employer fails to provide a required report, the Board may obtain, at Employer's expense, a report that meets the Board’s trust administration and financial reporting needs. At the Board’s option, the Board may recover the costs of obtaining the report either by billing and collecting such amount from Employer or through a deduction from Employer's Prefunding Account (as defined in Paragraph D(2) below).
(3) Employer shall notify the Board in writing of the amount and timing of contributions to the CEPPT, which contributions shall be made in the manner established by the Board and in accordance with the terms of this Agreement and any procedures adopted by the Board.
(4) The Board may limit Employer’s contributions to the CEPPT to the amount necessary to fully fund the actuarial present value of total projected benefit payments not otherwise prefunded through the applicable Employer Pension Plan (Unfunded PVFB), as set forth in Employer’s cost report for the applicable period. If Employer’s contribution would cause the assets in Employer’s Prefunding Account to exceed the Unfunded PVFB, the Board may refuse to accept the contribution. If Employer’s cost report for the applicable period does not set forth the Unfunded PVFB, the Board may Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 283, Packet Page 598 1/12/2022
refuse to accept a contribution from Employer if the contribution would cause the assets in Employer’s Prefunding Account to exceed Employer’s total pension liability, as set forth in Employer’s cost report.
(5) No contributions are required. Contributions can be made at any time following the effective date of this Agreement if Employer has first complied with the requirements of this Agreement, including Paragraph C.
(6) Employer acknowledges and agrees that assets held in the CEPPT are not assets of any Employer Pension Plan or any plan qualified under Code Section 401(a), and will not become assets of such a plan unless and until such time as they are distributed from the CEPPT and deposited into an Employer Pension Plan.
D. Administration of Accounts; Investments; Allocation of Income (1) The Board has established the CEPPT as a trust fund consisting of an aggregation of separate single-employer accounts, with pooled administrative and investment functions.
(2) All Employer contributions and assets attributable to Employer contributions shall be separately accounted for in the CEPPT (Employer’s Prefunding Account). Assets in Employer’s Prefunding Account will be held for the exclusive purpose of funding Employer’s contributions to its Employer Pension Plan(s) and defraying the administrative expenses of the CEPPT.
(3) The assets in Employer’s Prefunding Account may be aggregated with the assets of other participating employers and may be co-invested by the Board in any asset classes appropriate for a Code Section 115 trust, subject to any additional requirements set forth in applicable law, including, but not limited to, subdivision (d) of GC Section 21711.
Employer shall select between available investment strategies in accordance with applicable Board procedures.
(4) The Board may deduct the costs of administration of the CEPPT from the investment income of the CEPPT or from Employer’s Prefunding Account in a manner determined by the Board.
(5) Investment income earned shall be allocated among participating employers and posted to Employer’s Prefunding Account daily Monday through Friday, except on holidays, when the allocation will be posted the following business day. (6) If, at the Board’s sole discretion and in compliance with accounting and legal requirements applicable to an Investment Trust Fund and to a Code Section 115 compliant trust, the Board determines to its satisfaction that all obligations to pay defined benefit pension plan benefits in accordance with the applicable Employer Pension Plan terms have been satisfied by payment or by defeasance with no remaining risk regarding the amounts to be paid or the value of assets held in the Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 284, Packet Page 599 1/12/2022
CEPPT, then the residual Employer assets held in Employer’s Prefunding Account may be returned to Employer.
E. Reports and Statements
(1) Employer shall submit with each contribution a contribution report in the form and containing the information prescribed by the Board.
(2) The Board, at its discretion but at least annually, shall prepare and provide a statement of Employer’s Prefunding Account reflecting the balance in Employer's Prefunding Account, contributions made during the period covered by the statement, investment income allocated during such period, and such other information as the Board may determine.
F. Disbursements
(1) Employer may receive disbursements from the CEPPT not to exceed, on an annual basis, the amount of the total annual Employer contributions to Employer’s Pension Plan for such year.
(2) Employer shall notify the Board in writing in the manner specified by the Board of the persons authorized to request disbursements from the CEPPT on behalf of Employer.
(3) Employer's request for disbursement shall be in writing signed by Employer's authorized representative, in accordance with procedures established by the Board, and the Board may rely conclusively upon such writing. The Board may, but is not required to, require that Employer certify or otherwise demonstrate that amounts disbursed from Employer’s Prefunding Account will be used solely for the purposes of the CEPPT.
However, in no event shall the Board have any responsibility regarding the application of distributions from Employer’s Prefunding Account.
(4) No disbursement shall be made from the CEPPT which exceeds the balance in Employer’s Prefunding Account.
(5) Requests for disbursements that satisfy the above requirements will be processed on at least a monthly basis.
(6) The Board shall not be liable for amounts disbursed in error if it has acted upon the written instruction of an individual authorized by Employer to request disbursements, and is under no duty to make any investigation or inquiry about the correctness of such instruction. In the event of any other erroneous disbursement, the extent of the Board’s liability shall be the actual dollar amount of the disbursement, plus interest at the actual earnings rate but not less than zero.
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 285, Packet Page 600 1/12/2022
G. Costs of Administration
Employer shall pay its share of the costs of administration of the CEPPT, as determined by the Board and in accordance with Paragraph D.
H. Termination of Employer’s Participation in the CEPPT (1) The Board may terminate Employer’s participation in the CEPPT if:
(a) Employer’s governing body gives written notice to the Board of its election to terminate; or
(b) The Board determines, in its sole discretion, that Employer has failed to satisfy the terms and conditions of applicable law, this Agreement or the Board's rules, regulations or procedures.
(2) If Employer’s participation in the CEPPT terminates for either of the foregoing reasons, all assets in Employer’s Prefunding Account shall remain in the CEPPT, except as otherwise provided below, and shall continue to be invested and accrue income as provided in Paragraph D, and Employer shall remain subject to the terms of this Agreement with respect to such assets.
(3) After Employer’s participation in the CEPPT terminates, Employer may not make further contributions to the CEPPT.
(4) After Employer’s participation in the CEPPT terminates, disbursements from Employer’s Prefunding Account may continue upon Employer’s instruction or otherwise in accordance with the terms of this Agreement.
(5) After Employer’s participation in the CEPPT terminates, the governing body of Employer may request either:
(a) A trustee to trustee transfer of the assets in Employer’s Prefunding Account to a trust dedicated to prefunding Employer’s required pension contributions; provided that the Board shall have no obligation to make such transfer unless the Board determines that the transfer will satisfy applicable requirements of the Code, other law and accounting standards, and the Board’s fiduciary duties. If the Board determines that the transfer will satisfy these requirements, the Board shall then have one hundred fifty (150) days from the date of such determination to effect the transfer. The amount to be transferred shall be the amount in Employer's Prefunding Account as of the date of the transfer (the “transfer date”) and shall include investment earnings up to an investment earnings allocation date preceding the transfer date. In no event shall the investment earnings allocation date precede the transfer date by more than 150 days.
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 286, Packet Page 601 1/12/2022
(b) A disbursement of the assets in Employer’s Prefunding Account; provided that the Board shall have no obligation to make such disbursement unless the Board determines that, in compliance with the Code, other law and accounting standards, and the Board’s fiduciary duties, all of Employer's obligations for payment of defined benefit pension plan benefits and reasonable administrative costs of the Board have been satisfied. If the Board determines that the disbursement will satisfy these requirements, the Board shall then have one hundred fifty (150) days from the date of such determination to effect the disbursement. The amount to be disbursed shall be the amount in Employer’s Prefunding Account as of the date of the disbursement (the “disbursement date”) and shall include investment earnings up to an investment earnings allocation date preceding the disbursement date. In no event shall the investment earnings allocation date precede the disbursement date by more than 150 days.
(6) After Employer’s participation in the CEPPT terminates and at such time that no assets remain in Employer’s Prefunding Account, this Agreement shall terminate. To the extent that assets remain in Employer’s Prefunding Account, this Agreement shall remain in full force and effect.
(7) If, for any reason, the Board terminates the CEPPT, the assets in Employer’s Prefunding Account shall be paid to Employer to the extent permitted by law and Code Section 115 after retention of (i) an amount sufficient to pay the Unfunded PVFB as set forth in a current defined benefit pension plan(s) cost report prepared in compliance with ASOP and the requirements of Paragraph C(1), and (ii) amounts sufficient to pay reasonable administrative costs of the Board. Amounts retained by the Board to pay the Unfunded PVFB shall be transferred to (i) another Code Section 115 trust dedicated to prefunding Employer’s required pension contributions, subject to the Board’s determination that such transfer will satisfy applicable requirements of the Code, other law and accounting standards, and the Board’s fiduciary duties or (ii) Employer’s Pension Plan, subject to acceptance by Employer’s Pension Plan. (8) If Employer ceases to exist but Employer’s Prefunding Account continues to exist, and if no provision has been made to the Board’s satisfaction by Employer with respect to Employer’s Prefunding Account, the Board shall be permitted to identify and appoint a successor to Employer under this Agreement, provided that the Board first determines, in its sole discretion, that there is a reasonable basis upon which to identify and appoint such a successor and provided further that such successor agrees in writing to be bound by the terms of this Agreement. If the Board is unable to identify or appoint a successor as provided in the preceding sentence, then the Board is authorized to appoint a third-party administrator or other successor to act on behalf of Employer under this Agreement and to otherwise carry out the intent of this Agreement with respect to Employer’s Prefunding Account. Any and all costs associated with such appointment shall be paid from the assets attributable to Employer’s Prefunding Account. At the Board’s option, and subject to acceptance by Employer’s Pension Plan, Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 287, Packet Page 602 the Board may instead transfer the assets in Employer’s Prefunding Account to Employer’s Pension Plan and terminate this Agreement.
(9) If the Board determines, in its sole discretion, that Employer has breached the representation and warranty set forth in Paragraph A., the Board shall take whatever action it deems necessary to preserve the tax-exempt status of the CEPPT.
I. Indemnification
Employer shall indemnify, defend, and hold harmless CalPERS, the Board, the CEPPT, and all of the officers, trustees, agents and employees of the foregoing from and against any loss, liability, claims, causes of action, suits, or expense (including reasonable attorneys’ fees and defense costs, lien fees, judgments, fines, penalties, expert witness fees, appeals, and claims for damages of any nature whatsoever) not charged to the CEPPT and imposed as a result of, arising out of, related to or in connection with (1) the performance of the Board’s duties or responsibilities under this Agreement, except to the extent that such loss, liability, suit or expense results or arises from the Board's own gross negligence, willful misconduct or material breach of this Agreement, or (2) without limiting the scope of Paragraph F(6) of this Agreement, any acts taken or transactions effected in accordance with written directions from Employer or any of its authorized representatives or any failure of the Board to act in the absence of such written directions to the extent the Board is authorized to act only at the direction of Employer.
J. General Provisions
(1) Books and Records
Employer shall keep accurate books and records connected with the performance of this Agreement. Such books and records shall be kept in a secure location at Employer's office(s) and shall be available for inspection and copying by the Board and its representatives.
(2) Notice
(a) Any notice or other written communication pursuant to this Agreement will be deemed effective immediately upon personal delivery, or if mailed, three (3) days after the date of mailing, or if delivered by express mail or e-mail, immediately upon the date of confirmed delivery, to the following:
For the Board:
Filing by mail, send to:
CalPERS
CEPPT
P.O. Box 1494
Sacramento, CA 95812-1494
1/12/2022
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 288, Packet Page 603 1/12/2022
Filing in person, deliver to:
CalPERS Mailroom
CEPPT
400 Q Street
Sacramento, CA 95811
For Employer:
(b) Either party to this Agreement may, from time to time by notice in writing served upon the other, designate a different mailing address to which, or a different person to whom, all such notices thereafter are to be addressed. (3) Survival
All representations, warranties, and covenants contained in this Agreement, or in any instrument, certificate, exhibit, or other writing intended by the parties to be a part of this Agreement shall survive the termination of this Agreement. (4) Waiver
No waiver of a breach, failure of any condition, or any right or remedy contained in or granted by the provisions of this Agreement shall be effective unless it is in writing and signed by the party waiving the breach, failure, right, or remedy. No waiver of any breach, failure, right, or remedy shall be deemed a waiver of any other breach, failure, right, or remedy, whether or not similar, nor shall any waiver constitute a continuing waiver unless the writing so specifies.
(5) Necessary Acts; Further Assurances
The parties shall at their own cost and expense execute and deliver such further documents and instruments and shall take such other actions as may be reasonably required or appropriate to evidence or carry out the intent and purposes of this Agreement.
(6) Incorporation of Amendments to Applicable Laws and Accounting Standards Any references to sections of federal or state statutes or regulations or accounting standards shall be deemed to include a reference to any amendments thereof and any successor provisions thereto.
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 289, Packet Page 604 1/12/2022
(7) Days
Wherever in this Agreement a set number of days is stated or allowed for a particular event to occur, the days are understood to include all calendar days, including weekends and holidays, unless otherwise stated.
(8) No Third Party Beneficiaries
Except as expressly provided herein, this Agreement is for the sole benefit of the parties hereto and their permitted successors and assignees, and nothing herein, expressed or implied, will give or be construed to give any other person any legal or equitable rights hereunder. Notwithstanding the foregoing, CalPERS, the CEPPT, and all of the officers, trustees, agents and employees of CalPERS, the CEPPT and the Board shall be considered third party beneficiaries of this Agreement with respect to Paragraph I above.
(9) Counterparts
This Agreement may be executed in one or more counterparts, each of which shall be deemed an original, but all of which together shall constitute one and the same instrument.
A majority vote of Employer’s Governing Body at a public meeting held on the ______ day of the month of __________________ in the year _________, authorized entering into this Agreement.
Signature of the Presiding Officer: ________________________________________ Printed Name of the Presiding Officer: _____________________________________ Name of Governing Body: ______________________________________________ Name of Employer: ___________________________________________________ Date: _______________________________
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 290, Packet Page 605 1/12/2022
BOARD OF ADMINISTRATION
CALIFORNIA PUBLIC EMPLOYEES’ RETIREMENT SYSTEM
BY_____________________________________
MELODY BENAVIDES
DIVISION CHIEF, PENSION CONTRACTS AND PREFUNDING PROGRAMS CALIFORNIA PUBLIC EMPLOYEES’ RETIREMENT SYSTEM
To be completed by CalPERS
The effective date of this Agreement is: _________________________ Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 291, Packet Page 606 California Public Employees’ Retirement System
California Employers’ Pension Prefunding Trust (CEPPT)
400 Q Street, Sacramento, CA 95811
www.calpers.ca.gov
Delegation of Authority to Request Disbursements
California Employers’ Pension Prefunding Trust
(CEPPT)
RESOLUTION
OF THE
(GOVERNING BODY)
OF THE
(NAME OF EMPLOYER)
The
(GOVERNING BODY)
delegates to the incumbents
in the positions of
(TITLE)
and
(TITLE)
, and/or
(TITLE)
authority to request on behalf of the
Employer disbursements from the Pension Prefunding Trust and to certify as to the purpose for which the disbursed funds will be used.
By
Title
Revised 07/2019
Date
Witness
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 292, Packet Page 607 California Public Employees’ Retirement System
California Employers’ Pension Prefunding Trust (CEPPT)
400 Q Street, Sacramento, CA 95811
www.calpers.ca.gov
California Employers’ Pension Prefunding Trust (CEPPT)
CERTIFICATION OF FUNDING POLICY
Rev 10/2022
EMPLOYER NAME: ________________________________________________________________ SECTION I: CEPPT Asset Allocation Strategy Selection
As the employer, I certify that my agency chooses the following CEPPT asset allocation strategy (select one):
CEPPT Asset Allocation
Strategy
10 Year Expected
Rate of Return
Expected Volatility
(Standard Deviation)
Strategy 1 4.5% 8.8%
Strategy 2 3.5% 6.1%
Concurrent
Enrollment
- -
SECTION II: Contributions and Reimbursements
As the employer, I certify that we intend to make CEPPT contributions and request eligible reimbursements in the following manner:
Contributions:
We intend to make an initial contribution of $___________________ on or around _____________. (MM/YYYY)
For fiscal year ending June 30, ______we intend to contribute the estimated following amount(s) in:
(YYYY)
Strategy 1: $______________________ and/or
Strategy 2: $______________________
For fiscal year ending June 30, ______ we intend to contribute the estimated following amount(s) in:
(YYYY)
Strategy 1: $______________________ and/or
Strategy 2: $______________________
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 293, Packet Page 608 California Public Employees’ Retirement System
California Employers’ Pension Prefunding Trust (CEPPT)
400 Q Street, Sacramento, CA 95811
www.calpers.ca.gov
California Employers’ Pension Prefunding Trust (CEPPT)
CERTIFICATION OF FUNDING POLICY
Rev 10/2022
Reimbursements:
During the two years period identified above, do you intend to seek a reimbursement? Yes
No
If you answered yes:
For fiscal year ending June 30, _______ we intend to seek an approximate reimbursement of $_________________. (YYYY)
For fiscal year ending June 30, _______ we intend to seek an approximate reimbursement of $_________________. (YYYY)
COMMENTS:
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 294, Packet Page 609 www.calpers.ca.gov
We understand we will be asked to provide information to CalPERS as required to facilitate compliance with Governmental Accounting Standards Board (GASB) reporting requirements and we agree to provide this information to CalPERS on a timely basis.
We understand that CEPPT will be reported in aggregate as a fiduciary fund for CalPERS reporting.
CEPPT assets will not be reported under GASB 67/68.
We understand that the cash flow information provided in Section II are estimated amounts and is being used for CEPPT asset management purposes. There is no implied commitment to contribute or reimburse.
Employer Name
Printed Name of Person Signing the Form
Title of Person Signing the Form
Signature Date
Designated Employer Contact Name
California Public Employees’ Retirement System
California Employers’ Pension Prefunding Trust
(CEPPT)
400 Q Street, Sacramento, CA 95811
California Employers’ Pension Prefunding Trust (CEPPT)
CERTIFICATION OF FUNDING POLICY
Rev 10/2022
Title of Designated Employer Contact
Phone # Email Address
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 295, Packet Page 610 California Public Employees’ Retirement System
California Employers’ Pension Prefunding Trust
(CEPPT)
400 Q Street, Sacramento, CA 95811
www.calpers.ca.gov
California Employers’ Pension Prefunding Trust (CEPPT)
CERTIFICATION OF FUNDING POLICY
Rev 10/2022
This page provides instructions to complete each section of the Certification of Pension Funding Policy.
SECTION I: CEPPT Asset Allocation Strategy Selection
Your CEPPT assets will be invested using the asset allocation strategy checked here. Each strategy has a different assumed 10 year expected rate of return and risk profile.
SECTION II: Contributions and Reimbursements
Here we ask you to indicate how you expect to make contributions to, and seek reimbursement from, the trust. All contributions are voluntary and never required. This section is for informational purpose.
There is no implied commitment to contribute or reimburse. Information provided is intended for investment forecast and asset management purposes.
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 296, Packet Page 611 Attachment 5
CERBT Private Letter Ruling
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 297, Packet Page 612 Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 298, Packet Page 613 Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 299, Packet Page 614 Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 300, Packet Page 615 Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 301, Packet Page 616 Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 302, Packet Page 617 Attachment 6
Asset Class Fact Sheets
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 303, Packet Page 618
MSCI ACWI IMI
Index Strategy
Fact Sheet
Equity
31 December 2022
Investment Objective
The Strategy seeks an investment return that approximates as closely as practicable, before expenses, the performance of its benchmark index (the "Index") over the long term.
Benchmark
The MSCI ACWI IMI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets.
Investment Strategy
The Strategy is managed using an "indexing" investment
approach, by which SSGA attempts to approximate, before expenses, the performance of the Index over the long term. SSGA will typically attempt to invest in the equity securities comprising the Index, in approximately the same proportions as they are represented in the Index. Equity securities may include common stocks, preferred stocks, depository receipts, or other securities convertible into common stock. Equity securities held by the Strategy may be denominated in foreign currencies and may be held outside the United States. In some cases, it may not be possible or practicable to purchase all of the securities comprising the Index, or to hold them in the same weightings as they represent in the Index. In those circumstances, SSGA may employ a sampling or optimization technique to construct the portfolio in question. A Portfolio may also invest in the securities of Chinese companies, normally restricted to residents of the People's Republic of China (commonly known as "A Shares" or "China A Shares"), through the Stock Connect program or other channels.
From time to time securities are added to or removed from the Index. SSGA may sell securities that are represented in the Index, or purchase securities that are not yet represented in the Index, prior to or after their removal or addition to the Index. SSGA may also utilize other pooled investment vehicles, including those managed by SSGA and its affiliates, as substitutes for gaining direct exposure to securities or a group of securities in the Index. The Strategy may at times purchase or sell index futures contracts, or options on those futures, or engage in other transactions involving the use of derivatives, in lieu of investment directly in the securities making up the Index or to enhance the Strategy's replication of the Index return. The Strategy's return may not match the return of the Index.
SSGA may implement the Strategy's asset allocations through investments in investment pools (which may, but will not necessarily, be registered under the U.S. Investment Company Act of 1940, as amended) managed or sponsored by SSGA or an affiliate. Because of the unit issuance processes employed by the various underlying investment pools, allocations by the Strategy to certain pools on a given trading day may be invested in such pools at the next trading day’s net asset value per unit. This will result in the portion of the Strategy’s assets being invested in such investment pools being held in cash for the trading day and may result in increased tracking error. This could adversely impact the return to any investor.
Key Facts
• Managed using an indexing strategy
• May use futures and other derivatives
• Only designated 'Securities Lending' Portfolios may lend and enter repurchase agreements (See applicable governing
documents for a Portfolio's authority to lend. Participation in a securities lending program may adversely affect the investment returns and risk profile of the Portfolio. See "Securities Lending Risk; Risks of Investment of Cash
Collateral" in the Strategy Disclosure Document.)
• May invest in other investment pools, including those managed by SSGA and its affiliates
• Is not a leveraged Strategy
• Will not sell securities short
1 This document provides summary information regarding the Strategy. It should be read in conjunction with the Strategy's Disclosure Document, which is available from SSGA. The Strategy Disclosure Document contains important information about the Strategy, including a description of a number of risks.
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 304, Packet Page 619 Performance
Composite
(Gross)1,2 (%)
Composite
(Net)1,3 (%)
Benchmark4 (%)
Total Returns
Q4 2022 10.03 10.00 9.84
YTD -18.02 -18.12 -18.40
1 Year -18.02 -18.12 -18.40
3 Year 4.34 4.20 3.89
5 Year 5.40 5.26 4.96
10 Year 8.39 8.25 7.94
Calendar Year Returns
2022 -18.02 -18.12 -18.40
2021 18.82 18.66 18.22
2020 16.60 16.45 16.25
2019 26.84 26.67 26.35
2018 -9.70 -9.82 -10.08
2017 24.47 24.31 23.95
1 The performance shown is of a Composite (as defined below) consisting of all discretionary accounts using this investment strategy. The performance shown is not that of a particular fund or shareclass. The performance shown is not indicative of individual plan participant results, which could differ substantially.
The above information is considered supplemental to the GIPS presentation for this Composite, which can be found in the Appendix or was previously presented.
A GIPS presentation is also available upon request. Past performance is not a reliable indicator of future performance. Performance returns for periods of less than one year are not annualized. The performance figures contained herein are provided on a gross and net of fees basis. Gross of fees do not reflect and net of fees do reflect the deduction of advisory or other fees which could reduce the return. Some members of this composite may accrue administration fees. The performance includes the reinvestment of dividends and other corporate earnings.
2 These performance figures are provided gross of fees and expenses other than actual trading fees and expenses, and reflect all items of income, gain, and loss (other than unrealized gain or loss on units of the securities lending pools held by any portfolio in the Composite). The performance figures do not take account of the mark to market value of the units of the securities lending cash collateral pools held by any of the portfolios in the Composite. If they had, the performance shown would have been lower.
3 These performance figures (i) are provided net of actual trading, audit, custody, administrative and legal fees and expenses; (ii) beginning on 9/30/2014, adjusted quarterly to reflect the highest investment management fee on the actual fee schedule, inclusive of incentive fee, if any, of any account within the Composite ("Management Fee") at the relevant time; prior to 9/30/2014, adjusted for an assumed investment management fee, which is equal to or higher than the Management Fee (except in each case certain small accounts-subject to a minimum investment management fee-may have incurred an actual investment management fee higher than that fee assumed in calculating the performance shown above); and (iii) reflect all items of income, gain and loss (other than unrealized gain or loss on units of the securities lending pools held by any portfolio in the Composite).
4 Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends (net of any applicable withholding tax rates) and other income and are calculated in U.S. dollars. It is not possible to invest directly in an index.
Performance returns are calculated in U.S. dollars.
Supplemental Information
Characteristics
Annual Dividend Yield (Trailing 12 Months) 2.28%
Beta (Trailing 36 Months) 1.00
Composite Assets Under Management (M) US$39,837.10
Estimated 3-5 Year EPS Growth 10.73%
Price/Book Ratio 2.3x
Price/Earnings (Forward 12 Months) 14.2x
Standard Deviation (Annualized 36 Months) 20.23%
Total Number of Holdings 5,390
Average Market Cap (M) US$243,545.87
Top Holdings Percent
APPLE INC 3.32
MICROSOFT CORP 2.70
AMAZON.COM INC 1.23
ALPHABET INC-CL A 0.84
UNITEDHEALTH GROUP INC 0.79
ALPHABET INC-CL C 0.78
JOHNSON & JOHNSON 0.74
EXXON MOBIL CORP 0.73
BERKSHIRE HATHAWAY INC-CL B 0.64
JPMORGAN CHASE & CO 0.63
2 For the purpose of complying with the Global Investment Performance Standards (GIPS®), the firm ("SSGA-Global") is defined as all portfolios managed across the global offices of State Street Global Advisors (SSGA) and SSGA Funds Management, Inc., with the exception of Charitable Asset Management which is held out to the marketplace as a distinct business entity. Prior to January 2011, SSGA-Global excluded its wrap fee business and assets accounted for on a book value basis (global cash and stable value assets). Prior to July 2017, SSGA-Global excluded Fiduciary Advisory Solutions. In January 2011, SSGA acquired the Bank of Ireland Asset Management Limited (now known as SSGA Ireland Limited), a GIPS Compliant firm. On January 01, 2012 SSGA Ireland Limited assets were merged into SSGA-Global. In July 2016, SSGA acquired the asset management and advisory services business conducted by GE Asset Management ("GEAM"), a GIPS Compliant firm. On July 01, 2017 GEAM assets were merged into SSGA-Global.
The MSCI ACWI IMI Index Composite (the "Composite"), inception date 4/1/2008, seeks to achieve the Investment Objective described above using the Investment Strategy described above, and includes all portfolios that SSGA has determined are similarly managed across the global offices of State Street Global Advisors (SSGA) and SSGA Funds Management, Inc., with the exception of Charitable Asset Management, which is held out to the market place as a distinct business entity. Prior to January 2011, the Composite also excluded portfolios within SSGA's wrap fee business (Intermediary Business Group [IBG]) and assets accounted for on a book value basis (global cash and stable value assets). Prior to July 2017, the Composite also excluded portfolios within the Fiduciary Advisory Solutions business.
To receive a complete list and description of SSGA-Global's composites and/or a GIPS® composite report, please contact your SSGA Representative. SSGA-Global claims compliance with the Global Investment Performance Standards (GIPS®). GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.
An investment in the Strategy is not FDIC insured, nor is it an obligation or deposit of, or guaranteed by State Street Corporation, SSGA or their affiliates.
The MSCI ACWI IMI Index is a trademark of MSCI Inc.
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 305, Packet Page 620 Sector Allocation Percent
Information Technology 19.12
Financials 14.99
Health Care 13.04
Industrials 11.17
Consumer Discretionary 10.65
Consumer Staples 7.37
Communication Services 6.35
Energy 5.48
Materials 5.33
Real Estate 3.33
Utilities 3.18
Top Countries Percent
United States 59.41
Japan 6.04
United Kingdom 3.93
China 3.24
Canada 3.12
France 2.74
Switzerland 2.38
Australia 2.16
Germany 1.97
India 1.69
If your account holds Russian securities and instruments, then as of the date of this publication, they have been fair valued. Such fair value may be zero. If your portfolio holds such Russian securities and instruments, then the portfolio may not be able to dispose of such securities and instruments depending on the relevant market, applicable sanctions requirements, and/or Russian capital controls or other counter measures. In such circumstances, the portfolio would continue to own and have exposure to Russian-related issuers and markets.
Please refer to your portfolio holdings report.
The Supplemental Information above (except for the Beta and Standard Deviation, if shown) is that of a single representative account within the Composite, which is subject to change. The representative account was chosen because it has no material restrictions and fairly represents the investment style of the Strategy. The Supplemental Information should not be deemed to be reflective of (and could differ from) the overall Composite or any other single account within the Composite. Certain Supplemental Information may be rounded to the nearest hundredth decimal and may result in the total not adding up to 100.
The Top Holdings reflect certain securities that the representative account has bought and may not be representative of the Strategy's current or future investments. In the case of fixed income and cash funds the securities are aggregated and shown at the issuer level. The Top Holdings do not include other assets or instruments that may be held by the representative account including, for example and not by way of limitation, cash or cash equivalents and derivatives such as futures, options and swaps. The figures presented are as of the date shown above, do not include the representative account's entire investment portfolio, and may change at any time. This information should not be considered a recommendation to invest in a particular sector or to buy or sell any security. It is not known whether an investment in any sectors or securities will be profitable in the future.
Characteristics are calculated using the month-end market value of holdings of the representative account, and where averages are shown these reflect the market weights of the securities in the representative account. For beta and standard deviation, if shown, these reflect Composite month-end returns.
Characteristics are as of the date indicated, are subject to change, and should not be relied upon as current thereafter.
Market data, prices, and dividend estimates for characteristics calculations provided by Factset Research Systems, Inc. All other portfolio data provided by SSGA. Sector reporting based on the Global Industry Classification Standard ("GICS®") which was developed by and is the exclusive property and a service mark of MSCI Inc. ("MSCI") and Standard & Poor's, a division of The McGrawHill Companies, Inc. ("S&P") and is licensed for use by State Street. Effective October 1, 2018, GICS renamed the "Telecommunication Services" sector to "Communication Services", which resulted in the sector reclassification of some companies.
Securities Lending
The Strategy may participate in an agency securities lending program (the "Lending Program") sponsored by State Street Bank and Trust Company ("State Street") for the purpose of lending the Strategy's securities and investing the collateral in a collateral reinvestment fund (each a "Collateral Pool"). None of the Collateral Pools are FDIC-insured bank deposits or otherwise guaranteed by SSGA or State Street or any of their respective affiliates. Investors may lose money by participating in the Lending Program and through investments in a Collateral Pool. For more information, including the risks associated with participating in the Lending Program you should review the SSGA Securities Lending Program Disclosure and the disclosure document and fact sheet for the relevant Collateral Pool.
3 Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 306, Packet Page 621 4 ssga.com
Information Classification: General
For institutional / professional
investors use only.
The Strategy is managed by State Street
Global Advisors Trust Company, a wholly
owned subsidiary of State Street Bank
and Trust Company, and a global leader in
providing investment management solutions
to clients worldwide. To learn more about
SSGA, visit our web site at www.ssga.com.
Important Information
SSGA generally delegates commodities
management for separately managed
accounts to SSGA FM, a wholly owned
subsidiary of State Street and an affiliate of
SSGA. SSGA FM is registered as a commodity
trading advisor ("CTA") with the Commodity
Futures Trading Commission and National
Futures Association.
Important Message About Risk
Investing involves risk including the risk of loss
of principal. Equity securities are volatile and
can decline significantly in response to broad
market and economic conditions. Generally,
among asset classes, stocks are more volatile
than bonds or short-term instruments. Stock
values fluctuate in response to the activities
of individual companies, the stock market and
economic conditions. At times, the risk level
of the Strategy may be greater than that of
the U.S. stock market in general. In addition,
the Strategy may use derivative instruments
which may involve risks such as potential
illiquidity of the markets and additional risk of
loss of principal.
All information is from SSGA unless otherwise
noted and has been obtained from sources
believed to be reliable, but its accuracy is not
guaranteed. There is no representation or
warranty as to the current accuracy, reliability
or completeness of, nor liability for, decisions
based on such information and it should not be
relied on as such.
The information provided does not constitute
investment advice and it should not be relied
on as such. It should not be considered a
solicitation to buy or an offer to sell a security.
It does not take into account any investor's
particular investment objectives, strategies,
tax status or investment horizon. You should
consult your tax and financial advisor.
The trademarks and service marks referenced
herein are the property of their respective
owners. Third party data providers make no
warranties or representations of any kind
relating to the accuracy, completeness or
timeliness of the data and have no liability
for damages of any kind relating to the use of
such data.
United States: State Street Global Advisors, 1
Iron Street, Boston, MA 02210.
State Street regards the Fact Sheets in
their distributed form to be complete
documents that include material
information regarding the Strategy for
investment consideration. The whole
or any part of this work may not be
reproduced, copied or transmitted or any
of its contents disclosed to third parties
without SSGA’s express written consent.
© 2022 State Street Corporation.
All Rights Reserved.
Tracking Number: 2256377.5.1.AM.INST
Expiration Date: 05/30/2023
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 307, Packet Page 622 Global Real Estate
Securities Index
Strategy
Fact Sheet
Alternative
31 December 2022
Investment Objective
The Portfolio seeks an investment return that approximates as closely as practicable, before expenses, the performance of its benchmark index (the "Index") over the long term.
Benchmark
FTSE® EPRA® NAREIT® Developed Index
Investment Strategy
The Strategy is managed using an "indexing" investment
approach, by which SSGA attempts to approximate, before expenses, the performance of the Index over the long term. SSGA will typically attempt to invest in the equity securities comprising the Index, in approximately the same proportions as they are represented in the Index. Equity securities may include common stocks, preferred stocks, depository receipts, or other securities convertible into common stock. In some cases, it may not be possible or practicable to purchase all of the securities comprising the Index, or to hold them in the same weightings as they represent in the Index. In those circumstances, SSGA may employ a sampling or optimization technique to construct the portfolio in question.
From time to time securities are added to or removed from the Index. SSGA may sell securities that are represented in the Index, or purchase securities that are not yet represented in the Index, prior to or after their removal or addition to the Index. The Strategy's return may not match the return of the Index.
Key Facts
• Managed using an indexing strategy
• Only designated 'Securities Lending' Portfolios may lend and enter repurchase agreements (See applicable governing
documents for a Portfolio's authority to lend. Participation in a securities lending program may adversely affect the investment returns and risk profile of the Portfolio. See "Securities Lending Risk; Risks of Investment of Cash
Collateral" in the Strategy Disclosure Document.)
• May invest in other investment pools, including those managed by SSGA and its affiliates
• Is not a leveraged strategy
• Will not sell securities short
Performance
Composite
(Gross)1,2 (%)
Composite
(Net)1,3 (%)
Benchmark4 (%)
Total Returns
Q4 2022 7.03 6.98 6.85
YTD -24.58 -24.73 -25.09
1 Year -24.58 -24.73 -25.09
3 Year -4.04 -4.22 -4.93
5 Year 0.68 0.53 -0.23
10 Year 3.81 3.68 2.99
Calendar Year Returns
2022 -24.58 -24.73 -25.09
2021 27.21 26.96 26.09
2020 -7.89 -8.05 -9.04
2019 22.72 22.60 21.91
2018 -4.60 -4.70 -5.63
2017 11.25 11.14 10.36
1 This document provides summary information regarding the Strategy. It should be read in conjunction with the Strategy's Disclosure Document, which is available from SSGA. The Strategy Disclosure Document contains important information about the Strategy, including a description of a number of risks.
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 308, Packet Page 623 1 The performance shown is of a Composite (as defined below) consisting of all discretionary accounts using this investment strategy. The performance shown is not that of a particular fund or shareclass. The performance shown is not indicative of individual plan participant results, which could differ substantially.
The above information is considered supplemental to the GIPS presentation for this Composite, which can be found in the Appendix or was previously presented.
A GIPS presentation is also available upon request. Past performance is not a reliable indicator of future performance. Performance returns for periods of less than one year are not annualized. The performance figures contained herein are provided on a gross and net of fees basis. Gross of fees do not reflect and net of fees do reflect the deduction of advisory or other fees which could reduce the return. Some members of this composite may accrue administration fees. The performance includes the reinvestment of dividends and other corporate earnings.
2 These performance figures are provided gross of fees and expenses other than actual trading fees and expenses, and reflect all items of income, gain, and loss (other than unrealized gain or loss on units of the securities lending pools held by any portfolio in the Composite). The performance figures do not take account of the mark to market value of the units of the securities lending cash collateral pools held by any of the portfolios in the Composite. If they had, the performance shown would have been lower.
3 These performance figures (i) are provided net of actual trading, audit, custody, administrative and legal fees and expenses; (ii) beginning on 9/30/2014, adjusted quarterly to reflect the highest investment management fee on the actual fee schedule, inclusive of incentive fee, if any, of any account within the Composite ("Management Fee") at the relevant time; prior to 9/30/2014, adjusted for an assumed investment management fee, which is equal to or higher than the Management Fee (except in each case certain small accounts-subject to a minimum investment management fee-may have incurred an actual investment management fee higher than that fee assumed in calculating the performance shown above); and (iii) reflect all items of income, gain and loss (other than unrealized gain or loss on units of the securities lending pools held by any portfolio in the Composite).
4 Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends (net of any applicable withholding tax rates) and other income and are calculated in U.S. dollars. It is not possible to invest directly in an index.
Performance returns are calculated in U.S. dollars.
Supplemental Information
Characteristics
Annual Dividend Yield (Trailing 12 Months) 4.24%
Beta (Trailing 36 Months) 1.00
Composite Assets Under Management (M) US$4,873.81
Standard Deviation (Annualized 36 Months) 22.76%
Total Number of Holdings 381
Average Market Cap (M) US$21,763.34
Top Holdings Percent
PROLOGIS INC 6.76
EQUINIX INC 3.94
PUBLIC STORAGE 2.85
REALTY INCOME CORP 2.59
SIMON PROPERTY GROUP INC 2.49
VICI PROPERTIES INC 2.03
WELLTOWER INC 2.02
DIGITAL REALTY TRUST INC 1.87
ALEXANDRIA REAL ESTATE EQUIT 1.54
AVALONBAY COMMUNITIES INC 1.47
Sector Allocation Percent
Diversified 25.28
Retail 15.86
Residential 14.98
Industrial 13.74
Office 7.94
Healthcare 7.15
Self Storage 6.00
Data Centers 4.05
Lodging/Resorts 2.56
Industrial/Office 2.34
Specialty 0.10
2 For the purpose of complying with the Global Investment Performance Standards (GIPS®), the firm ("SSGA-Global") is defined as all portfolios managed across the global offices of State Street Global Advisors (SSGA) and SSGA Funds Management, Inc., with the exception of Charitable Asset Management which is held out to the marketplace as a distinct business entity. Prior to January 2011, SSGA-Global excluded its wrap fee business and assets accounted for on a book value basis (global cash and stable value assets). Prior to July 2017, SSGA-Global excluded Fiduciary Advisory Solutions. In January 2011, SSGA acquired the Bank of Ireland Asset Management Limited (now known as SSGA Ireland Limited), a GIPS Compliant firm. On January 01, 2012 SSGA Ireland Limited assets were merged into SSGA-Global. In July 2016, SSGA acquired the asset management and advisory services business conducted by GE Asset Management ("GEAM"), a GIPS Compliant firm. On July 01, 2017 GEAM assets were merged into SSGA-Global.
The Global Real Estate Securities Index Composite (the "Composite"), inception date 3/1/2010, seeks to achieve the Investment Objective described above using the Investment Strategy described above, and includes all portfolios that SSGA has determined are similarly managed across the global offices of State Street Global Advisors (SSGA) and SSGA Funds Management, Inc., with the exception of Charitable Asset Management, which is held out to the market place as a distinct business entity. Prior to January 2011, the Composite also excluded portfolios within SSGA's wrap fee business (Intermediary Business Group [IBG]) and assets accounted for on a book value basis (global cash and stable value assets). Prior to July 2017, the Composite also excluded portfolios within the Fiduciary Advisory Solutions business.
To receive a complete list and description of SSGA-Global's composites and/or a GIPS® composite report, please contact your SSGA Representative. SSGA-Global claims compliance with the Global Investment Performance Standards (GIPS®). GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.
An investment in the Strategy is not FDIC insured, nor is it an obligation or deposit of, or guaranteed by State Street Corporation, SSGA or their affiliates. "FTSE®" is a trademark of the London Stock Exchange Group companies, "Nareit®" is a trademark of the National Association of Real Estate Investment Trusts ("Nareit") and "EPRA®" is a trademark of the European Public Real Estate Association ("EPRA") and all are used by FTSE International Limited ("FTSE") under license.
The FTSE® EPRA® Nareit® Developed Index is calculated by FTSE. Neither FTSE, Euronext N. V., Nareit nor EPRA sponsor, endorse or promote SSGA's investment products and are not in any way connected to it and do not accept any liability.
All intellectual property rights within the index values and constituent list vest in FTSE, Euronext N.V., Nareit and EPRA. SSGA obtained full license from FTSE to use such intellectual property rights in the creation of this product.
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 309, Packet Page 624 Top Countries Percent
United States 61.37
Japan 10.87
Hong Kong 4.98
United Kingdom 4.06
Australia 3.73
Singapore 3.66
Canada 2.81
Germany 1.75
Sweden 1.69
Switzerland 1.12
The Supplemental Information above (except for the Beta and Standard Deviation, if shown) is that of a single representative account within the Composite, which is subject to change. The representative account was chosen because it has no material restrictions and fairly represents the investment style of the Strategy. The Supplemental Information should not be deemed to be reflective of (and could differ from) the overall Composite or any other single account within the Composite. Certain Supplemental Information may be rounded to the nearest hundredth decimal and may result in the total not adding up to 100.
The Top Holdings reflect certain securities that the representative account has bought and may not be representative of the Strategy's current or future investments. In the case of fixed income and cash funds the securities are aggregated and shown at the issuer level. The Top Holdings do not include other assets or instruments that may be held by the representative account including, for example and not by way of limitation, cash or cash equivalents and derivatives such as futures, options and swaps. The figures presented are as of the date shown above, do not include the representative account's entire investment portfolio, and may change at any time. This information should not be considered a recommendation to invest in a particular sector or to buy or sell any security. It is not known whether an investment in any sectors or securities will be profitable in the future.
Characteristics are calculated using the month-end market value of holdings of the representative account, and where averages are shown these reflect the market weights of the securities in the representative account. For beta and standard deviation, if shown, these reflect Composite month-end returns.
Characteristics are as of the date indicated, are subject to change, and should not be relied upon as current thereafter.
Market data, prices, and dividend estimates for characteristics calculations provided by Factset Research Systems, Inc. All other portfolio data provided by SSGA.
Securities Lending
The Strategy may participate in an agency securities lending program (the "Lending Program") sponsored by State Street Bank and Trust Company ("State Street") for the purpose of lending the Strategy's securities and investing the collateral in a collateral reinvestment fund (each a "Collateral Pool"). None of the Collateral Pools are FDIC-insured bank deposits or otherwise guaranteed by SSGA or State Street or any of their respective affiliates. Investors may lose money by participating in the Lending Program and through investments in a Collateral Pool. For more information, including the risks associated with participating in the Lending Program you should review the SSGA Securities Lending Program Disclosure and the disclosure document and fact sheet for the relevant Collateral Pool.
3 ssga.com
Information Classification: General
For institutional / professional
investors use only.
The Strategy is managed by State Street
Global Advisors Trust Company, a wholly
owned subsidiary of State Street Bank
and Trust Company, and a global leader in
providing investment management solutions
to clients worldwide. To learn more about
SSGA, visit our web site at www.ssga.com.
Important Information
SSGA generally delegates commodities
management for separately managed
accounts to SSGA FM, a wholly owned
subsidiary of State Street and an affiliate of
SSGA. SSGA FM is registered as a commodity
trading advisor ("CTA") with the Commodity
Futures Trading Commission and National
Futures Association.
Important Message About Risk
Investing involves risk including the risk of
loss of principal. Generally, among asset
classes, stocks are more volatile than bonds
or short-term instruments. Stock values
fluctuate in response to the activities of
individual companies and general market and
economic conditions and at times the risk level
of the Strategy may be greater than that of
the U.S. stock market in general. In addition,
the Strategy may use derivative instruments
which may involve risks such as potential
illiquidity of the markets and additional risk of
loss of principal.
All information is from SSGA unless otherwise
noted and has been obtained from sources
believed to be reliable, but its accuracy is not
guaranteed. There is no representation or
warranty as to the current accuracy, reliability
or completeness of, nor liability for, decisions
based on such information and it should not be
relied on as such.
The information provided does not constitute
investment advice and it should not be relied
on as such. It should not be considered a
solicitation to buy or an offer to sell a security.
It does not take into account any investor's
particular investment objectives, strategies,
tax status or investment horizon. You should
consult your tax and financial advisor.
The trademarks and service marks referenced
herein are the property of their respective
owners. Third party data providers make no
warranties or representations of any kind
relating to the accuracy, completeness or
timeliness of the data and have no liability
for damages of any kind relating to the use of
such data.
United States: State Street Global Advisors, 1
Iron Street, Boston, MA 02210.
State Street regards the Fact Sheets in
their distributed form to be complete
documents that include material
information regarding the Strategy for
investment consideration. The whole
or any part of this work may not be
reproduced, copied or transmitted or any
of its contents disclosed to third parties
without SSGA’s express written consent.
© 2022 State Street Corporation.
All Rights Reserved.
Tracking Number: 2256553.5.1.AM.INST
Expiration Date: 05/30/2023
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 310, Packet Page 625 U.S. Aggregate Bond
Index Strategy
Fact Sheet
Fixed Income
31 December 2022
Investment Objective
The Strategy seeks an investment return that approximates as closely as practicable, before expenses, the performance of its benchmark index (the "Index") over the long term.
Benchmark
Bloomberg U.S. Aggregate Bond Index
Investment Strategy
The Strategy is managed using an "indexing" investment
approach, by which SSGA attempts to approximate, before expenses, the performance of the Index over the long term. The Strategy will not necessarily own all of the securities included in the Index.
The Strategy may attempt to invest in the securities comprising the Index, in the same proportions as they are represented in the Index, in limited cases where we believe it is practical to do so. However, due to the diverse composition of securities in the Index and the fact that many of the securities comprising the Index may be unavailable for purchase, it may not be possible for the Strategy to purchase some of the securities comprising the Index. In such a case, SSGA will select securities for the Portfolio that SSGA expects will provide a return comparable to that of the Index.
SSGA expects that it will typically seek to replicate Index returns for the Portfolio through investments in the "cash" bond markets - actual holdings of debt securities and other instruments - rather than through "notional" or "synthetic" positions achieved through the use of derivatives, such as futures contracts or swap transactions (except in the unusual case where SSGA believes that use of derivatives is necessary to achieve an exposure that is not readily available through the cash markets).
The Strategy's return may not match the return of the Index. There may be an increased variance between the return of the Strategy and the return of the Index due to differences between the Index pricing source and the source utilized to price the Strategy.
Key Facts
• Managed using an indexing strategy
• Does not normally use futures or other derivatives to create "notional" or "synthetic" index exposures
• Only designated 'Securities Lending' Portfolios may lend and enter repurchase agreements (See applicable governing
documents for a Portfolio's authority to lend. Participation in a securities lending program may adversely affect the investment returns and risk profile of the Portfolio. See "Securities Lending Risk; Risks of Investment of Cash
Collateral" in the Strategy Disclosure Document.)
• May invest in other investment pools, including those managed by SSGA and its affiliates
• Is not a leveraged strategy
• Will not sell securities short
1 This document provides summary information regarding the Strategy. It should be read in conjunction with the Strategy's Disclosure Document, which is available from SSGA. The Strategy Disclosure Document contains important information about the Strategy, including a description of a number of risks.
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 311, Packet Page 626 Performance
Composite
(Gross)1,2 (%)
Composite
(Net)1,3 (%)
Benchmark4 (%)
Total Returns
Q4 2022 1.71 1.69 1.87
YTD -13.12 -13.17 -13.01
1 Year -13.12 -13.17 -13.01
3 Year -2.73 -2.80 -2.71
5 Year 0.02 -0.05 0.02
10 Year 1.06 0.91 1.06
Calendar Year Returns
2022 -13.12 -13.17 -13.01
2021 -1.56 -1.63 -1.54
2020 7.60 7.53 7.51
2019 8.75 8.67 8.72
2018 0.01 -0.08 0.01
2017 3.53 3.44 3.54
1 The performance shown is of a Composite (as defined below) consisting of all discretionary accounts using this investment strategy. The performance shown is not that of a particular fund or shareclass. The performance shown is not indicative of individual plan participant results, which could differ substantially.
The above information is considered supplemental to the GIPS presentation for this Composite, which can be found in the Appendix or was previously presented.
A GIPS presentation is also available upon request. Past performance is not a reliable indicator of future performance. Performance returns for periods of less than one year are not annualized. The performance figures contained herein are provided on a gross and net of fees basis. Gross of fees do not reflect and net of fees do reflect the deduction of advisory or other fees which could reduce the return. Some members of this composite may accrue administration fees. The performance includes the reinvestment of dividends and other corporate earnings.
2 These performance figures are provided gross of fees and expenses other than actual trading fees and expenses, and reflect all items of income, gain, and loss (other than unrealized gain or loss on units of the securities lending pools held by any portfolio in the Composite). The performance figures do not take account of the mark to market value of the units of the securities lending cash collateral pools held by any of the portfolios in the Composite. If they had, the performance shown would have been lower.
3 These performance figures (i) are provided net of actual trading, audit, custody, administrative and legal fees and expenses; (ii) beginning on 9/30/2014, adjusted quarterly to reflect the highest investment management fee on the actual fee schedule, inclusive of incentive fee, if any, of any account within the Composite ("Management Fee") at the relevant time; prior to 9/30/2014, adjusted for an assumed investment management fee, which is equal to or higher than the Management Fee (except in each case certain small accounts-subject to a minimum investment management fee-may have incurred an actual investment management fee higher than that fee assumed in calculating the performance shown above); and (iii) reflect all items of income, gain and loss (other than unrealized gain or loss on units of the securities lending pools held by any portfolio in the Composite).
4 Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends (net of any applicable withholding tax rates) and other income and are calculated in U.S. dollars. It is not possible to invest directly in an index.
Performance returns are calculated in U.S. dollars.
Supplemental Information
Characteristics
Average Credit Quality AA2
Average Effective Convexity 0.61
Average Effective Maturity 8.59
Average Yield to Worst 4.68%
Composite Assets Under Management (M) US$20,543.18
Effective Duration 6.18
Total Number of Holdings 9,415
Credit Quality Breakdown Percent
Aaa 71.92
Aa 2.98
A 11.06
Baa 12.54
Not Rated 1.50
2 For the purpose of complying with the Global Investment Performance Standards (GIPS®), the firm ("SSGA-Global") is defined as all portfolios managed across the global offices of State Street Global Advisors (SSGA) and SSGA Funds Management, Inc., with the exception of Charitable Asset Management which is held out to the marketplace as a distinct business entity. Prior to January 2011, SSGA-Global excluded its wrap fee business and assets accounted for on a book value basis (global cash and stable value assets). Prior to July 2017, SSGA-Global excluded Fiduciary Advisory Solutions. In January 2011, SSGA acquired the Bank of Ireland Asset Management Limited (now known as SSGA Ireland Limited), a GIPS Compliant firm. On January 01, 2012 SSGA Ireland Limited assets were merged into SSGA-Global. In July 2016, SSGA acquired the asset management and advisory services business conducted by GE Asset Management ("GEAM"), a GIPS Compliant firm. On July 01, 2017 GEAM assets were merged into SSGA-Global.
The U.S. Aggregate Bond Index Composite (the "Composite"), inception date 4/1/1996, seeks to achieve the Investment Objective described above using the Investment Strategy described above, and includes all portfolios that SSGA has determined are similarly managed across the global offices of State Street Global Advisors (SSGA) and SSGA Funds Management, Inc., with the exception of Charitable Asset Management, which is held out to the market place as a distinct business entity. Prior to January 2011, the Composite also excluded portfolios within SSGA's wrap fee business (Intermediary Business Group [IBG]) and assets accounted for on a book value basis (global cash and stable value assets). Prior to July 2017, the Composite also excluded portfolios within the Fiduciary Advisory Solutions business.
To receive a complete list and description of SSGA-Global's composites and/or a GIPS® composite report, please contact your SSGA Representative. SSGA-Global claims compliance with the Global Investment Performance Standards (GIPS®). GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.
An investment in the Strategy is not FDIC insured, nor is it an obligation or deposit of, or guaranteed by State Street Corporation, SSGA or their affiliates. “Bloomberg®” and all Bloomberg Indices are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by SSGA. Bloomberg is not affiliated with SSGA, and Bloomberg does not approve, endorse, review, or recommend any SSGA product. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to any SSGA product. Prior to 3/31/2022, all Bloomberg fixed income indices were known as Bloomberg Barclays fixed income indices.
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 312, Packet Page 627 Top Issuers Percent
US/T 40.84
FNMA 19.53
GNMA 5.47
FHLMC 1.63
FNCL 0.83
BAC 0.67
JPM 0.62
FHMS 0.61
G2SF 0.52
MS 0.45
Sector Allocation Percent
Treasury 40.84
Mortgage Backed Securities 27.51
CORPORATE - INDUSTRIAL 13.99
Corporate - Finance 8.19
Non Corporates 3.82
Corporate - Utility 2.04
CMBS 1.83
Agency 1.17
Asset Backed Securities 0.45
Cash 0.15
Top Countries Percent
United States 93.05
Supranational 1.25
Canada 1.12
United Kingdom 1.04
Japan 0.61
Germany 0.39
Mexico 0.31
Netherlands 0.21
Belgium 0.18
Australia 0.16
The Supplemental Information above (except for the Beta and Standard Deviation, if shown) is that of a single representative account within the Composite, which is subject to change. The representative account was chosen because it has no material restrictions and fairly represents the investment style of the Strategy. The Supplemental Information should not be deemed to be reflective of (and could differ from) the overall Composite or any other single account within the Composite. Certain Supplemental Information may be rounded to the nearest hundredth decimal and may result in the total not adding up to 100.
The Top Holdings reflect certain securities that the representative account has bought and may not be representative of the Strategy's current or future investments. In the case of fixed income and cash funds the securities are aggregated and shown at the issuer level. The Top Holdings do not include other assets or instruments that may be held by the representative account including, for example and not by way of limitation, cash or cash equivalents and derivatives such as futures, options and swaps. The figures presented are as of the date shown above, do not include the representative account's entire investment portfolio, and may change at any time. This information should not be considered a recommendation to invest in a particular sector or to buy or sell any security. It is not known whether an investment in any sectors or securities will be profitable in the future.
Characteristics are calculated using the month-end market value of holdings of the representative account, and where averages are shown these reflect the market weights of the securities in the representative account. For beta and standard deviation, if shown, these reflect Composite month-end returns.
Characteristics are as of the date indicated, are subject to change, and should not be relied upon as current thereafter.
Market data, prices, and estimates for characteristics calculations provided by Bloomberg Portfolio Risk and Analytics Schedule of Services (PORT+). Average Credit Quality reflects market value weight of all the rated securities held by the portfolio (excludes unrated securities) using the middle rating provided by either S&P, Moody's and Fitch or lower if only two agency ratings are available. All other portfolio data provided by SSGA. Characteristics are as of the date indicated, are subject to change, and should not be relied upon as current thereafter. Fixed income asset class and country reporting based on Bloomberg indices.
Securities Lending
The Strategy may participate in an agency securities lending program (the "Lending Program") sponsored by State Street Bank and Trust Company ("State Street") for the purpose of lending the Strategy's securities and investing the collateral in a collateral reinvestment fund (each a "Collateral Pool"). None of the Collateral Pools are FDIC-insured bank deposits or otherwise guaranteed by SSGA or State Street or any of their respective affiliates. Investors may lose money by participating in the Lending Program and through investments in a Collateral Pool. For more information, including the risks associated with participating in the Lending Program you should review the SSGA Securities Lending Program Disclosure and the disclosure document and fact sheet for the relevant Collateral Pool.
3 Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 313, Packet Page 628 4 ssga.com
Information Classification: General
For institutional / professional
investors use only.
The Strategy is managed by State Street
Global Advisors Trust Company, a wholly
owned subsidiary of State Street Bank
and Trust Company, and a global leader in
providing investment management solutions
to clients worldwide. To learn more about
SSGA, visit our web site at www.ssga.com.
Important Information
SSGA generally delegates commodities
management for separately managed
accounts to SSGA FM, a wholly owned
subsidiary of State Street and an affiliate of
SSGA. SSGA FM is registered as a commodity
trading advisor ("CTA") with the Commodity
Futures Trading Commission and National
Futures Association.
Important Message About Risk
Investing involves risk including the risk of
loss of principal. Bonds generally present less
short-term risk and volatility than stocks, but
are subject to: interest rate risk (as interest
rates raise, bond prices usually fall); issuer
default risk; issuer credit risk; liquidity risk; and
inflation risk. These effects are usually more
pronounced for longer-term securities. Any
fixed income security sold or redeemed prior
to maturity may be subject to a substantial
gain or loss. Investing in high yield fixed income
securities, otherwise known as junk bonds, is
considered speculative and involves greater
risk of loss of principal and interest than
investing in investment grade fixed income
securities. These lower-quality debt securities
involve greater risk of default and price
changes due to potential changes in the credit
quality of the issuer. In addition, the Strategy
may use derivative instruments which may
involve risks such as potential illiquidity of the
markets and additional risk of loss of principal.
All information is from SSGA unless otherwise
noted and has been obtained from sources
believed to be reliable, but its accuracy is not
guaranteed. There is no representation or
warranty as to the current accuracy, reliability
or completeness of, nor liability for, decisions
based on such information and it should not be
relied on as such.
The information provided does not constitute
investment advice and it should not be relied
on as such. It should not be considered a
solicitation to buy or an offer to sell a security.
It does not take into account any investor's
particular investment objectives, strategies,
tax status or investment horizon. You should
consult your tax and financial advisor.
The trademarks and service marks referenced
herein are the property of their respective
owners. Third party data providers make no
warranties or representations of any kind
relating to the accuracy, completeness or
timeliness of the data and have no liability
for damages of any kind relating to the use of
such data.
United States: State Street Global Advisors, 1
Iron Street, Boston, MA 02210.
State Street regards the Fact Sheets in
their distributed form to be complete
documents that include material
information regarding the Strategy for
investment consideration. The whole
or any part of this work may not be
reproduced, copied or transmitted or any
of its contents disclosed to third parties
without SSGA’s express written consent.
© 2022 State Street Corporation.
All Rights Reserved.
Tracking Number: 2256543.5.1.AM.INST
Expiration Date: 05/30/2023
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 314, Packet Page 629 U.S. Treasury Inflation
Protected Securities
(TIPS) Index Strategy
Fact Sheet
Fixed Income
31 December 2022
Investment Objective
The Strategy seeks an investment return that approximates as closely as practicable, before expenses, the performance of its benchmark index (the "Index") over the long term.
Benchmark
Bloomberg U.S. Treasury Inflation Protected Securities
(TIPS) Index
Investment Strategy
The Strategy is managed using an "indexing" investment
approach, by which SSGA attempts to approximate, before expenses, the performance of the Index over the long term. The Strategy will not necessarily own all of the securities included in the Index.
The Strategy may attempt to invest in the securities comprising the Index, in the same proportions as they are represented in the Index, in limited cases where we believe it is practical to do so. However, due to the diverse composition of securities in the Index and the fact that many of the securities comprising the Index may be unavailable for purchase, it may not be possible for the Strategy to purchase some of the securities comprising the Index. In such a case, SSGA will select securities for the Portfolio that SSGA expects will provide a return comparable to that of the Index.
SSGA expects that it will typically seek to replicate Index returns for the Portfolio through investments in the "cash" bond markets - actual holdings of debt securities and other instruments - rather than through "notional" or "synthetic" positions achieved through the use of derivatives, such as futures contracts or swap transactions (except in the unusual case where SSGA believes that use of derivatives is necessary to achieve an exposure that is not readily available through the cash markets).
The Strategy's return may not match the return of the Index. There may be an increased variance between the return of the Strategy and the return of the Index due to differences between the Index pricing source and the source utilized to price the Strategy.
SSGA may implement the Strategy's asset allocations through investments in investment pools (which may, but will not necessarily, be registered under the U.S. Investment Company Act of 1940, as amended) managed or sponsored by SSGA or an affiliate. Because of the unit issuance processes employed by the various underlying investment pools, allocations by the Strategy to certain pools on a given trading day may be invested in such pools at the next trading day’s net asset value per unit. This will result in the portion of the Strategy’s assets being invested in such investment pools being held in cash for the trading day and may result in increased tracking error. This could adversely impact the return to any investor.
Key Facts
• Managed using an indexing strategy
• Does not normally use futures or other derivatives to create "notional" or "synthetic" index exposures
• Only designated 'Securities Lending' Portfolios may lend and enter repurchase agreements (See applicable governing
documents for a Portfolio's authority to lend. Participation in a securities lending program may adversely affect the investment returns and risk profile of the Portfolio. See "Securities Lending Risk; Risks of Investment of Cash
Collateral" in the Strategy Disclosure Document.)
• May invest in other investment pools, including those managed by SSGA and its affiliates
• Is not a leveraged strategy
• Will not sell securities short
1 This document provides summary information regarding the Strategy. It should be read in conjunction with the Strategy's Disclosure Document, which is available from SSGA. The Strategy Disclosure Document contains important information about the Strategy, including a description of a number of risks.
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 315, Packet Page 630 Performance
Composite
(Gross)1,2 (%)
Composite
(Net)1,3 (%)
Benchmark4 (%)
Total Returns
Q4 2022 1.97 1.96 2.04
YTD -11.87 -11.92 -11.85
1 Year -11.87 -11.92 -11.85
3 Year 1.21 1.14 1.21
5 Year 2.11 2.04 2.11
10 Year 1.12 1.00 1.12
Calendar Year Returns
2022 -11.87 -11.92 -11.85
2021 5.96 5.90 5.96
2020 11.01 10.94 10.99
2019 8.44 8.36 8.43
2018 -1.26 -1.34 -1.26
2017 3.02 2.94 3.01
1 The performance shown is of a Composite (as defined below) consisting of all discretionary accounts using this investment strategy. The performance shown is not that of a particular fund or shareclass. The performance shown is not indicative of individual plan participant results, which could differ substantially.
The above information is considered supplemental to the GIPS presentation for this Composite, which can be found in the Appendix or was previously presented.
A GIPS presentation is also available upon request. Past performance is not a reliable indicator of future performance. Performance returns for periods of less than one year are not annualized. The performance figures contained herein are provided on a gross and net of fees basis. Gross of fees do not reflect and net of fees do reflect the deduction of advisory or other fees which could reduce the return. Some members of this composite may accrue administration fees. The performance includes the reinvestment of dividends and other corporate earnings.
2 These performance figures are provided gross of fees and expenses other than actual trading fees and expenses, and reflect all items of income, gain, and loss (other than unrealized gain or loss on units of the securities lending pools held by any portfolio in the Composite). The performance figures do not take account of the mark to market value of the units of the securities lending cash collateral pools held by any of the portfolios in the Composite. If they had, the performance shown would have been lower.
3 These performance figures (i) are provided net of actual trading, audit, custody, administrative and legal fees and expenses; (ii) beginning on 9/30/2014, adjusted quarterly to reflect the highest investment management fee on the actual fee schedule, inclusive of incentive fee, if any, of any account within the Composite ("Management Fee") at the relevant time; prior to 9/30/2014, adjusted for an assumed investment management fee, which is equal to or higher than the Management Fee (except in each case certain small accounts-subject to a minimum investment management fee-may have incurred an actual investment management fee higher than that fee assumed in calculating the performance shown above); and (iii) reflect all items of income, gain and loss (other than unrealized gain or loss on units of the securities lending pools held by any portfolio in the Composite).
4 Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends (net of any applicable withholding tax rates) and other income and are calculated in U.S. dollars. It is not possible to invest directly in an index.
Performance returns are calculated in U.S. dollars.
Supplemental Information
Characteristics
Average Credit Quality AAA
Average Effective Convexity 0.87
Average Effective Maturity 7.11
Composite Assets Under Management (M) US$17,439.68
Real Duration 6.67
Real Yield 1.84%
Total Number of Holdings 48
Credit Quality Breakdown Percent
Aaa 100.00
Top Issuers Percent
US/T 99.96
Sector Allocation Percent
Treasury 99.96
Cash 0.04
2 For the purpose of complying with the Global Investment Performance Standards (GIPS®), the firm ("SSGA-Global") is defined as all portfolios managed across the global offices of State Street Global Advisors (SSGA) and SSGA Funds Management, Inc., with the exception of Charitable Asset Management which is held out to the marketplace as a distinct business entity. Prior to January 2011, SSGA-Global excluded its wrap fee business and assets accounted for on a book value basis (global cash and stable value assets). Prior to July 2017, SSGA-Global excluded Fiduciary Advisory Solutions. In January 2011, SSGA acquired the Bank of Ireland Asset Management Limited (now known as SSGA Ireland Limited), a GIPS Compliant firm. On January 01, 2012 SSGA Ireland Limited assets were merged into SSGA-Global. In July 2016, SSGA acquired the asset management and advisory services business conducted by GE Asset Management ("GEAM"), a GIPS Compliant firm. On July 01, 2017 GEAM assets were merged into SSGA-Global.
The U.S. Treasury Inflation Protected Securities (TIPS) Index Composite (the "Composite"), inception date 8/1/2000, seeks to achieve the Investment Objective described above using the Investment Strategy described above, and includes all portfolios that SSGA has determined are similarly managed across the global offices of State Street Global Advisors (SSGA) and SSGA Funds Management, Inc., with the exception of Charitable Asset Management, which is held out to the market place as a distinct business entity. Prior to January 2011, the Composite also excluded portfolios within SSGA's wrap fee business (Intermediary Business Group [IBG]) and assets accounted for on a book value basis (global cash and stable value assets). Prior to July 2017, the Composite also excluded portfolios within the Fiduciary Advisory Solutions business.
To receive a complete list and description of SSGA-Global's composites and/or a GIPS® composite report, please contact your SSGA Representative. SSGA-Global claims compliance with the Global Investment Performance Standards (GIPS®). GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.
An investment in the Strategy is not FDIC insured, nor is it an obligation or deposit of, or guaranteed by State Street Corporation, SSGA or their affiliates. “Bloomberg®” and all Bloomberg Indices are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by SSGA. Bloomberg is not affiliated with SSGA, and Bloomberg does not approve, endorse, review, or recommend any SSGA product. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to any SSGA product. Prior to 3/31/2022, all Bloomberg fixed income indices were known as Bloomberg Barclays fixed income indices.
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 316, Packet Page 631 The Supplemental Information above (except for the Beta and Standard Deviation, if shown) is that of a single representative account within the Composite, which is subject to change. The representative account was chosen because it has no material restrictions and fairly represents the investment style of the Strategy. The Supplemental Information should not be deemed to be reflective of (and could differ from) the overall Composite or any other single account within the Composite. Certain Supplemental Information may be rounded to the nearest hundredth decimal and may result in the total not adding up to 100.
The Top Holdings reflect certain securities that the representative account has bought and may not be representative of the Strategy's current or future investments. In the case of fixed income and cash funds the securities are aggregated and shown at the issuer level. The Top Holdings do not include other assets or instruments that may be held by the representative account including, for example and not by way of limitation, cash or cash equivalents and derivatives such as futures, options and swaps. The figures presented are as of the date shown above, do not include the representative account's entire investment portfolio, and may change at any time. This information should not be considered a recommendation to invest in a particular sector or to buy or sell any security. It is not known whether an investment in any sectors or securities will be profitable in the future.
Characteristics are calculated using the month-end market value of holdings of the representative account, and where averages are shown these reflect the market weights of the securities in the representative account. For beta and standard deviation, if shown, these reflect Composite month-end returns.
Characteristics are as of the date indicated, are subject to change, and should not be relied upon as current thereafter.
Market data, prices, and estimates for characteristics calculations provided by Bloomberg Portfolio Risk and Analytics Schedule of Services (PORT+). Average Credit Quality reflects market value weight of all the rated securities held by the portfolio (excludes unrated securities) using the middle rating provided by either S&P, Moody's and Fitch or lower if only two agency ratings are available. All other portfolio data provided by SSGA. Characteristics are as of the date indicated, are subject to change, and should not be relied upon as current thereafter. Fixed income asset class and country reporting based on Bloomberg indices.
Securities Lending
The Strategy may participate in an agency securities lending program (the "Lending Program") sponsored by State Street Bank and Trust Company ("State Street") for the purpose of lending the Strategy's securities and investing the collateral in a collateral reinvestment fund (each a "Collateral Pool"). None of the Collateral Pools are FDIC-insured bank deposits or otherwise guaranteed by SSGA or State Street or any of their respective affiliates. Investors may lose money by participating in the Lending Program and through investments in a Collateral Pool. For more information, including the risks associated with participating in the Lending Program you should review the SSGA Securities Lending Program Disclosure and the disclosure document and fact sheet for the relevant Collateral Pool.
3 ssga.com
Information Classification: General
For institutional / professional
investors use only.
The Strategy is managed by State Street
Global Advisors Trust Company, a wholly
owned subsidiary of State Street Bank
and Trust Company, and a global leader in
providing investment management solutions
to clients worldwide. To learn more about
SSGA, visit our web site at www.ssga.com.
Important Information
SSGA generally delegates commodities
management for separately managed
accounts to SSGA FM, a wholly owned
subsidiary of State Street and an affiliate of
SSGA. SSGA FM is registered as a commodity
trading advisor ("CTA") with the Commodity
Futures Trading Commission and National
Futures Association.
Important Message About Risk
Investing involves risk including the risk of
loss of principal. Bonds generally present less
short-term risk and volatility than stocks, but
are subject to: interest rate risk (as interest
rates raise, bond prices usually fall); issuer
default risk; issuer credit risk; liquidity risk; and
inflation risk. These effects are usually more
pronounced for longer-term securities. Any
fixed income security sold or redeemed prior
to maturity may be subject to a substantial
gain or loss. In addition, the Strategy may use
derivative instruments which may involve risks
such as potential illiquidity of the markets and
additional risk of loss of principal.
All information is from SSGA unless otherwise
noted and has been obtained from sources
believed to be reliable, but its accuracy is not
guaranteed. There is no representation or
warranty as to the current accuracy, reliability
or completeness of, nor liability for, decisions
based on such information and it should not be
relied on as such.
The information provided does not constitute
investment advice and it should not be relied
on as such. It should not be considered a
solicitation to buy or an offer to sell a security.
It does not take into account any investor's
particular investment objectives, strategies,
tax status or investment horizon. You should
consult your tax and financial advisor.
The trademarks and service marks referenced
herein are the property of their respective
owners. Third party data providers make no
warranties or representations of any kind
relating to the accuracy, completeness or
timeliness of the data and have no liability
for damages of any kind relating to the use of
such data.
United States: State Street Global Advisors, 1
Iron Street, Boston, MA 02210.
State Street regards the Fact Sheets in
their distributed form to be complete
documents that include material
information regarding the Strategy for
investment consideration. The whole
or any part of this work may not be
reproduced, copied or transmitted or any
of its contents disclosed to third parties
without SSGA’s express written consent.
© 2022 State Street Corporation.
All Rights Reserved.
Tracking Number: 2256543.5.1.AM.INST
Expiration Date: 05/30/2023
Attachment 3
Council Regular Meeting, 3/21/2023, Item No. 16., Item Page 317, Packet Page 632