Page 455 - FortWorthFY22AdoptedBudget

○ Asset Backed Securities (ABS)
○ Collateralized Mortgage Obligations (CMO)
○ Commercial Mortgage-Backed Securities (CMBS)
○ Corporate debt securities issued by U.S. or foreign entities including, but
not limited to, limited partnerships, equipment trust certificates and
enhanced equipment trust certificates
○ Securities issued under SEC Rule 144A
○ Municipal Bonds

Quality
The portfolio will maintain a minimum weighted average effective quality
of A- at all times. At the time of purchase, individual securities shall have
a minimum effective quality rating of BBB–. Note, high yield fixed income
can be purchased only in a diversified mutual fund or exchange traded
fund.

For purposes of determining an effective rating, when three agencies rate a
security (S&P, Moodys, Fitch) the middle rating will be used. When only
two of the three agencies rate a security the lower of the two ratings will be
used. When only one agency rates a security that rating will be used.

Duration
The manager will maintain the portfolio duration within +/- 25% of the
Bloomberg Barclays U.S. Aggregate Bond Index duration at all times.

Diversification
No more than 5% of the portfolio assets may be invested in any individual
issuer with the exception of securities issued or guaranteed by the U.S.
Government, its agencies, and Government Sponsored Enterprises.

No more than 30% of the portfolio may be invested in securities issued
under Rule 144A without registration rights (no limit on Rule 144a
securities with registration rights).

3. MATURITY AND LIQUIDITY
The OPEB trust assets shall provide sufficient liquidity, if necessary, for payment
of direct medical benefits and expenses.

4. PORTFOLIO COMPOSITION, RISK AND DIVERSIFICATION
Assets of the OPEB Trust Fund shall be invested in a broadly diversified portfolio
consisting of equity, debt, and cash equivalent securities. The portfolio shall also

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