walla walla county investment pool

Investment Portfolio Analysis

Quarter Ending September 30, 2019

Walla Walla County Investment Pool

Prepared by: Deanne Woodring, CFA President – Senior Investment Advisor

Government Portfolio Advisors [email protected]

(503) 248-9973

http://www.gpafixedincome.com/

2188 SW Park Place ￭ Suite 100 ￭ Portland OR 97205 ￭ www.gpafixedincome.com ￭ 503-248-9973

Table of Contents Quarter End Commentary ............................................................................................................................................................... 1 Walla Walla Compliance ................................................................................................................................................................. 2 Executive Summary ........................................................................................................................................................................ 3 NAV ................................................................................................................................................................................................ 7 Pooled Funds .................................................................................................................................................................................. 8 Pooled Investments Core .............................................................................................................................................................. 12 Pooled Liquidity ............................................................................................................................................................................. 23 Pooled Local Bonds ...................................................................................................................................................................... 25 School District Fund ...................................................................................................................................................................... 27 Disclaimer ..................................................................................................................................................................................... 35

http://www.gpafixedincome.com/

GPA QUARTERLY OBSERVATIONS: ENDING September 30th, 2019

12/31/18 3/31/19 6/30/19 9/30/19

3-month

bill

2.36 2.38 2.09 1.81

2- year

note

2.49 2.26 1.76 1.62

5 -year

note

2.51 2.23 1.77 1.54

10- year

note

2.68 2.41 2.01 1.67

Sources: Bloomberg

Economists' Survey Projections for RatesQuarterly Yield Change Economists' SurveyProjections

Q4-19 Q1-20 Q2-20 Q3-20

Fed

Funds

1.75 1.65 1.60 1.60

2 Year 1.55 1.56 1.57 1.62

10 year 1.69 1.76 1.82 1.89

Q4-19 Q1-20 Q2-20 Q3-20

Real GDP 1.70 1.70 1.80 1.80

Core PCE (YOY%) 1.80 2.00 2.00 2.00

Unemployment 3.70 3.80 3.80 3.90

Market Commentary

Market Yields: Yields continued to decline during the third quarter in response

to a slowdown in economic growth both domestically and globally. The yield on

the benchmark two year Treasury note declined 14 basis points from 1.76% to a

two year low of 1.62%. The catalyst to lower yields has been a combination of

continued trade issues with China, additional easing by the ECB, and the slow

erosion of GDP domestically. Investors continue to discount lower yields in the

future with five-year notes yielding less than 3 month Treasury bills.

FOMC: The Fed lowered rates on July 31 for the first time in over a decade.

They then followed up the first 25 basis point cut with a second 25 basis point

cut on September 18. The fed funds futures market is now pricing a 70%

probability for a third 25 basis point cut at the next Fed meeting on October 30.

Employment and Inflation: Nonfarm payroll growth has slowed considerably in

the first 3 quarters of 2019 versus 2018. Employment gains in 2019 are

averaging 161,000 per month compared with 223,000 throughout 2018. The

unemployment level continues to trade close to a fifty-year low of 3.5%. Wage

gains have averaged just over 3% and have had little impact on inflation.

Inflation during the quarter remained subdued with CPI running at a 1.7%

annualized rate while the Fed’s preferred inflation measurement, the Core PCE,

has annualized at 1.8%. Inflation has shown a slight increase but is still running

below the Fed’s target level of 2%.

Market Outlook

GDP: Real GDP ended Q2 2019 with a growth rate of 2%, which was down

sharply from Q1 growth of 3.1%. Third-quarter GDP is expected to slip to

1.9% with fourth-quarter GDP dropping to 1.7%. The weakening growth

projection is due the general decline in global GDP and the escalation of

trade tensions during the quarter.

Fed Funds: The market is pricing in a 70% probability of a 25 basis point cut

during the Fed’s October 30 meeting and a 43% probability of another 25

basis point cut at the Fed’s December 11 meeting.

Two-year: The two-year Treasury note is forecasted by over 80 economists

contributing to Bloomberg to trade at yields of 1.55%, 1.56%, 1.57%, and

1.62% at the end of each of the next four quarters. Current two-year notes

are yielding 1.46%, so the rise is expected to be moderate and is not priced

into the current yield curve.

Portfolio Positioning: Yields continued to decline in the third quarter,

rewarding investors holding longer maturities. The Treasury 0-5 year

benchmark produced total returns of 4.98% over the last 12 months while the

3 month treasury bill returned 2.38%. The return disparity between short and

long securities should narrow over the next few quarters and will reward

portfolios with broad diversification in maturities. The yield curve is telling

us that the market is in the early innings of a secular downtrend in yields.

GPA expects yields to continue to drift lower with increased bouts of

volatility due to uncertainties regarding ongoing trade issues with China.

1

Compliance ReportPolicy 2017 | 09/30/2019

Walla Walla County

Maturity ConstraintsPolicy

Requirement

% of Total

Accumulated

Portfolio

Allocation Within Limits

Under 30 days 10% 22% 34,111,836$ Yes S&P Moodys Fitch

Under 1 years 20% 51% 79,079,879$ Yes Muni's AA- Aa3 AA−

Under 5 years 100% 100% 155,329,514$ Yes Corp Bonds AA- Aa3 AA−

0% -$ Corp 2% A- A3 A−

Maximum Weighted Average Maturity 3 Years 1.38 Yes C P A-1+ P-1 F1+

Maximum Callable Securities 40% 23% 36,116,465$ Yes

Maximum Single Maturity 7 Years 7.59 Yes*

Longer maturity is on an Interlocal loan and approved by the Treasurer

Asset Allocation DiversificationMaximum Policy

AllocationIssuer Constraint

Percentage of

PortfolioMarket Value

% Within

Limits

Ratings

Compliance

Issuer

Compliance

US Treasury Obligations 100% 23.93% 37,178,085$ Yes

US Agencies Primary 100% 38.18% 59,308,377$ Yes

FHLB 40% 12.29% 19,097,534$ Yes

FNMA 40% 3.92% 6,088,433$ Yes

FHLMC 40% 12.90% 20,035,491$ Yes

FFCB 40% 9.07% 14,086,919$ Yes

US Agencies Secondary 10% 5% 1.30% 2,015,187$ Yes

Supranationals 10% 5% 6.43% 9,994,560$ Yes Yes Yes

Municipal Bonds- GO States - Locals WA 35% 5% 5.07% 7,880,223$ Yes Yes

Corporate Bonds 3% 0.00% -$

Commercial Paper 3% 2.56% 3,973,040$ Yes Yes Yes

Time Deposits Open Accounts 100% 15% 2.75% 4,278,659$ Yes Yes

Certificates of Deposit 50% 15% 0.00% -$

Bankers Acceptances 25% 10% 0.00% -$

Repurchase Agreements 10% 10% 0.00% -$

Registered Warrants 5% 0.00% -$

Interfund Walla Walla County 20% 0.56% 868,206$ Yes ** **

Local Government Investment Pool 100% 19.21% 29,833,177$ Yes ** **

Total 100% 155,329,514$

* FDIC or collateralized

** Ratings & Issuer restrictions do not apply to pool funds

STRATEGY REPORT Benchmark: BofA Merrill 0-3 year Treasury

Name Par AmountTotal Adjusted

CostMarket Value Unrealized Gain/Loss

Yield At

CostEff Dur Bench Dur

Walla Walla County Pool Core Fund 73,410,000$ 73,257,322$ 73,523,113$ 265,792$ 2.50 0.80 1.40

Walla Walla Liquidity 19,551,159$ 19,551,159$ 19,551,159$ -$ 1.93 0.05 0.10

Walla Walla Local Bonds 868,206$ 868,206$ 868,206$ -$ 1.97 2.76 2.00

Walla Walla Public SD 2018 Bonds 61,060,677$ 61,012,888$ 61,387,035$ 374,147$ 2.44 0.84 1.00

TOTAL PORTFOLIO 154,890,042$ 154,689,575$ 155,329,514$ 639,939$ 2.40 0.73 1.08

Minimum Ratings at Purchase

Policy states ONE rating meets requirement

25%

2

EXECUTIVE SUMMARY The purpose of this review is to provide the Treasurer of Walla Walla County, the County Finance Committee and the County Pool participants a review of the risk and return components of the Walla Walla County Investment Pool. Also, included is an overview of the portfolio strategy, market conditions and investment considerations. In addition, this report includes investment assets held by the Walla Walla Public School District that were invested in by the Treasurer. Walla Walla County Investment Pool: The goal of the County Pool is to provide market rates of return for participants’ investments that are consistent with the risk and return profile of the Pool. The key points of reference throughout this analysis will be on three specific strategies: 1) Management strategies to ensure that the policy objectives are being met, 2) Risk strategies to protect the NAV of the fund, and 3) Strategy recommendations based on the current rate environment. Quarterly Statistics for the County Pool: The Pool Market value ended the quarter at $93,942,479 down from $98,452,511 last quarter. The ending book yield gross of fees was 2.37% The liquidity component, which includes the LGIP and bank deposits is 20.9% of the County Investment Pool. Pool Investment Fund Purchases: There were 3 purchases for a total of $6 million par out to 7/21, 8/24 and 9/24. Pool Investment Fund Calls/Maturities: There were 7 maturities and 1 sell for $13.85 million in total redemptions. The total investment pool effective duration ended the quarter at .66 years.

The County Pool remains characterized as a well-diversified, low risk portfolio with sufficient liquidity balances and is in compliance with the Investment Policy. The weighted average maturity of the County Investment Pool at the end of the quarter was 1.72 years, while the LGIP remained less than 60 days at quarter end. In order to meet the daily cash demands of the participants, the County Pool maintains a balance in liquid assets that can provide for immediate access. The net asset value (NAV) measures the relationship between the current market value and the participant fund invested in the pool. The Pool pays all participants $1.00 in and out of the fund. It is important to monitor the NAV to measure the underlying asset value of the Pool through changing interest rate cycles. The Treasurer targets to manage the trading band from 98.50 to 101.50. The NAV price is calculated by taking the current market value of all the securities in the portfolio divided by the book value of the County Pool. The current NAV is 100.2837.

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Walla Walla Pool Investment Strategy: The Treasurer has segregated the portfolio into components based on the strategy of the overall portfolio. The investment core is the component that is not needed for daily liquidity and can be invested longer in maturity. The liquidity component is comprised of the LGIP and bank balances and is readily available for disbursement and the Local bonds support County issuers. Decisions are made specifically for each component based on dedicated benchmarks and the market environment. Walla Walla School District Bond Proceeds: The goal of the School District Bond Proceeds is to manage the investment maturities to expected cash flows. The School District has an ongoing cash flow schedule that is being used to make investment decisions. If expected cash flows are to change, the Treasurer will evaluate opportunities to accommodate the portfolio in order to meet adjusted disbursements. The primary purpose of the Bond Proceeds Portfolio is to fund project schedules. The Treasurer invests in a conservative and disciplined manner to optimize maturities with cash disbursements. The Bond Proceeds portfolio market value ended the quarter at $61,387,035 versus last quarter at $65,573,180. There was one maturity of $4MM that went to cash for current expenditures. The Bond Proceeds portfolio ended the quarter with a book yield of 2.44%.

TOTAL FUNDS MANAGED BY THE COUNTY TREASURER: The combined funds of the County Pool and the School District Fund are in the jurisdiction of the Treasurer and fall under the County’s Investment Policy. As of 9/30/19 the total assets were $155,329,514 The overall earnings yield on the combined assets was 2.40% The maturity duration of the combined portfolio was just under a year at .73 effective duration. Unrealized gains at the end of the quarter were $639,939

4

KEY POINTS OF FOCUS FOR THE COUNTY POOL INVESTMENTS

1. Objectives: Safety, Liquidity and Return

The Investment Policy objectives of safety, liquidity and return will be the basis of evaluation on the quarterly reports. Safety is addressed through asset diversification and credit quality. Liquidity is addressed through maturity distribution, cash flow analysis and overnight investments. Return is achieved through the selection of credit sector and maturity/duration management.

2. Risk: Credit Risk and Interest Rate Risk The risks associated with the County’s Investment Pool are: 1) Interest rate risk, which represents the negative impact on market value if interest rates move up. This is controlled by the overall maturity of the portfolio. 2) Credit risk, which is the risk associated with the ability of the issuers to pay its debt obligations. 3) Reinvestment rate risk, which is the risk associated with maturities and short-term securities that are coming due and are then reinvested at lower rates during declining interest rate cycles. The Pool remains within the policy constraints of a weighted average maturity of one and one-half years. Ranking on Interest rate risk: LOW Interest rate risk is directly correlated to effective duration and maturity. The County Investment Pool Core Fund at the end of the quarter had an effective duration of .80 years compared to the market benchmark duration of 1.40 years. The purchases over the last quarter added final maturity extension to the portfolio, but still kept the duration under 1 year. The duration to maturity ended the quarter at 2.02 and effective duration of .80 Years. Ranking on Credit risk: LOW The County Investment Pool continues to be invested in high quality securities, primarily agencies and municipal bonds. The County Pool holds 52.9% in primary and secondary agency securities, 2.2% in US Treasuries, 9.3% in Municipal bonds, 10.6% in Supranationals, 16.3% in the State Local Government Investment Pool (LGIP), 4.2% in Commercial Paper, and 4.6% in bank deposits supported by the State PDPC program. The municipal allocation includes intra-fund loans at the County. All asset class allocations are in line with the limits set by the Investment Policy as of 9/30/19. Ranking on reinvestment rate risk: LOW The reinvestment rate risk is the risk that rates will decline, and securities or cash will be reinvested at lower rates. The County Pool is exposed to reinvestment rate risk due to callable security positions. Callable holdings represent 34.18% of the County Investment Pool balances.

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3. GPA Observations & Recommendations

• The County Investment Pool portfolio earnings decreased this quarter to 2.37%. Rates on the State LGIP also declined from 2.51% to 2.20% due to the fed rate cuts over the quarter.

• The County Pool Core Fund effective duration is at 0.80 years, which is 57% of the 0-3 Year Treasury benchmark. GPA recommends extending the duration in anticipation of lower rates.

• The longest single maturity of the open market securities is 5.16 years but has a call date of 11/7/19. There are two interlocal government loans that have a maturity of over 7 years, which are allowable under the Treasurer’s discretion.

• The liquidity for the County Pool ended the quarter at 20.9% versus 16.5% last quarter. • Bond Proceed maturities will be used for needed cash disbursements. If there is excess cash available, investments will be made

to the next funding date requirement. • The core fund will be the primary portfolio that will be measured to the benchmark. The total return of the core fund performed

at 0.61% (net of fees) versus the benchmark at 0.58%. For the rolling one year period, the longer investment portfolio has earned 3.37% (net of fees) versus 3.83% for the benchmark.

• Interest rates declined during Q3 2019, with the two-year Treasury note falling from a yield of 1.75% to 1.62%. As of September 30, 2019, the consensus expectation by Bloomberg economists is for the two-year note to yield 1.55% at the end of Q3 2019. GPA is forecasting a 1.40% yield for the two-year Treasury at the end of Q4 2019.

• The Fed Funds rate was cut twice during Q3 2019 from a range of 2.25%-2.50% to a range of 1.75%-2.00%. The Fed is expected to lower the range to 1.50%-1.75%% at their meeting on October 30th. The market is pricing in a 40% probability of another 25 basis point cut at their December 11th meeting to a target range of 1.25%-1.50%.

• During Q4 2019, GPA is expecting short-duration Treasury notes to trade lower in yield. Economic conditions, both globally and in the U.S., are slowing and the momentum towards additional monetary easing is growing. We are recommending that portfolios maintain a neutral to overweight duration posture in this environment and manage durations at 100% to 110% of their respective benchmark duration.

6

628 Book Value: $93,676,687.00 Market Value: $93,942,479.00Market Value (NAV): 1.002837Total $ Unrealized Loss: $0 Total $ Unrealized Gain: $265,792

Basis Point Shift Gain (Loss)300 0.930339 0.945819 0.948671 0.951237 0.953559 0.955670 0.962490 (4,567,925)$ 250 0.942625 0.955375 0.957724 0.959837 0.961750 0.963488 0.969106 (3,762,306)$ 200 0.954910 0.964930 0.966776 0.968437 0.969940 0.971307 0.975721 (2,956,686)$ 150 0.967196 0.974486 0.975829 0.977037 0.978131 0.979125 0.982336 (2,151,067)$ 100 0.979482 0.984041 0.984881 0.985637 0.986321 0.986943 0.988952 (1,345,447)$ 50 0.991768 0.993597 0.993934 0.994237 0.994512 0.994761 0.995567 (539,828)$ 0 1.004053 1.003153 1.002987 1.002837 1.002702 1.002579 1.002183 265,792$

-50 1.016339 1.012708 1.012039 1.011437 1.010893 1.010398 1.008798 1,071,412$ -100 1.028625 1.022264 1.021092 1.020037 1.019083 1.018216 1.015413 1,877,031$ -150 1.040910 1.031819 1.030145 1.028637 1.027274 1.026034 1.022029 2,682,651$ -200 1.053196 0.350000 1.039197 1.037237 1.035464 1.033852 1.028644 3,488,270$ -250 1.065482 1.050930 1.048250 1.045837 1.043655 1.041670 1.035259 4,293,890$ -300 1.077768 1.060486 1.057302 1.054437 1.051845 1.049488 1.041875 5,099,509$

Redemption/Inflow -30% -10% -5% 0% 5% 10% 30%O/S Shares 65,573,681 84,309,018 88,992,853 93,676,687 98,360,521 103,044,356 121,779,693

Shift Upon NAV = NAV - (APM/365) * (Bp/10,000)Dilution Upon NAV= (NAV + Change) / (1+ Change)NAV = Market Value / Book Value* Source: S&P rating matrix

Weighted Average Maturity (days):

NAV and Sensitivity Analysis9/30/19

7

Walla Walla County Inv US Dollar 9/30/2019 logo.jpg Account Summary - SetFixed Income Allocation

Security Type Market Value % Assets

US Agency (USD) 49,650,134 52.9

Municipal (USD) 8,748,429 9.3

US Treasury (USD) 2,025,156 2.2

LGIP State Pool (USD) 15,272,500 16.3

Bank or Cash Deposit (USD) 4,278,659 4.6

Commercial Paper (USD) 3,973,040 4.2

Supranationals (USD) 9,994,560 10.6

Fixed Income Total 93,942,479 100.0

Par Value 93,829,366

Market Value 93,942,479

Amortized Book Value 93,676,687

Unrealized Gain/Loss 265,792

Estimated Annual Cash Flow 2,050,046

Fixed Income Totals

Book Yield 2.37

Maturity 1.72

Coupon 2.19

Moody Aa1

S&P AA+

Weighted Averages

Walla Walla County Investment Pool Total

Account Summary9/30/2019

8


Accrual Earnings and Activity9/30/2019

US Dollar

Cost Basis Summary Accrual Earnings SummaryQuarter to Date

Ending 9/30/2019Fiscal

Year-to-Date12/31/2018

Beginning Amortized Cost 98,167,808.18 93,787,278.63

Investment Purchases 6,000,000.00 42,357,729.00

Investment Maturities/Sells/Calls (13,854,301.85) (43,998,005.99)

Amortization 44,205.43 56,939.34

Change in Cash Equivalents 3,318,975.39 1,472,746.17

Realized Gains / Losses 0.00 0.00

Ending Amortized Costs 93,676,687.15 93,676,687.15

Quarter to DateEnding 9/30/2019

FiscalYear-to-Date12/31/2018

Amortization/Accretion 44,205.43 56,939.34

Interest Earned 503,609.57 1,581,288.37

Realized Gain (Loss) 0.00 0.00

Total Income 547,815.01 1,638,227.71

Average Portfolio Balance 90,811,506.03 93,943,060.67

Earnings Yield 2.39% 2.33%

MarketValue Summary Interest Earnings SummaryAs of

9/30/2019Ending Market Value 93,942,478.72

Unrealized Gain/Loss 265,791.57

Net Asset Value (NAV) 1.0028



Beginning Accrued Interest 376,428.23 389,952.91

Coupons Paid 278,256.15 1,179,464.27

Purchased Accrued Interest 0.00 (53,737.29)

Sold Accrued Interest 94,677.15 338,409.79

Ending Accrued Interest 507,104.51 507,104.51

Interest Earned 503,609.57 1,581,288.37

9

Walla Walla County Inv US Dollar 9/30/2019 logo.jpg Distribution Report - Set

Maturity Number Market Value% FI

HoldingsAverage

YTMAverageCoupon

AverageDuration

Under 1 Mth 4 19,551,159.08 20.8 1.9 1.918% 0.1

1 Mth - 12 Mths 14 27,469,023.92 29.2 2.0 1.895% 0.4

12 Mths - 24 Mths 6 10,888,982.86 11.6 2.1 2.386% 1.2

24 Mths - 36 Mths 6 11,241,039.26 12.0 2.2 2.287% 2.2

36 Mths - 60 Mths 10 20,554,011.60 21.9 2.3 2.369% 4.0

Over 60 Mths 3 4,238,262.00 4.5 3.6 3.661% 4.6

Duration Number Market Value% FI

HoldingsAverage

YTMAverageCoupon

AverageDuration

Under 1 Yr 18 47,020,183.00 50.1 2.0 1.904% 0.3

1 Yr - 2 Yrs 6 10,888,982.86 11.6 2.1 2.386% 1.2

2 Yrs - 3 Yrs 7 13,245,272.76 14.1 2.2 2.322% 2.3

3 Yrs - 5 Yrs 10 22,635,683.90 24.1 2.5 2.592% 4.2

5 Yrs - 10 Yrs 2 152,356.20 0.2 2.9 3.159% 6.1

Distribution by Maturity Distribution by Duration

S&P Rating Number Market Value% FI

HoldingsAverage

YTMAverageCoupon

AverageDuration

AAA 5 9,994,560.00 10.6 2.3 1.887% 0.7

AA+ 25 52,642,672.78 56.0 2.3 2.359% 2.5

AA 2 2,886,813.70 3.1 1.6 4.697% 0.5

AA- 1 2,010,840.00 2.1 1.9 2.653% 0.7

A-1+ 2 3,973,040.00 4.2 2.0 0.000% 0.3

N/A 7 20,419,365.54 21.7 1.9 1.923% 0.2

NR 1 2,015,186.70 2.1 1.8 2.100% 2.3

Moody Rating Number Market Value% FI

HoldingsAverage

YTMAverageCoupon

AverageDuration

Aaa 30 62,637,232.78 66.7 2.3 2.284% 2.2

Aa1 1 2,010,840.00 2.1 1.9 2.653% 0.7

Aa2 2 2,886,813.70 3.1 1.6 4.697% 0.5

P-1 2 3,973,040.00 4.2 2.0 0.000% 0.3

N/A 7 20,419,365.54 21.7 1.9 1.923% 0.2

NR 1 2,015,186.70 2.1 1.8 2.100% 2.3

Distribution by S&P Rating Distribution by Moody Rating


Distribution Report9/30/2019

10

Walla Walla County Inv Net of Accrued Fees | U 6/30/2019 - 9/30/2019 logo.jpg Total Return - Settled TrPortfolio Allocation as of 9/30/2019

Industry Group Market Value % Assets Yield

US Treasury 2,025,156.00 2.2 2.8

US Agency Bullet 17,541,390.44 18.7 2.1

US Agency Callable 32,108,744.04 34.2 2.6

Bank Deposit 2,244,516.61 2.4 0.1

State Investment Pool 15,272,500.44 16.3 2.2

Money Market Fund 2,034,142.03 2.2 1.8

Commercial Paper 3,973,040.00 4.2 2.5

Muni GO 2,886,813.70 3.1 1.6

Muni Rev 4,993,409.00 5.3 1.8

Municipal Direct 868,206.46 0.9 2.0

Supranationals 9,994,560.00 10.6 3.2

Total 93,942,478.72 100.0 2.4

Total Return For PeriodSince 6/30/2019

Beginning Principal Value 98,451,577.00

Beginning Accrued Interest 376,428.23

Net Contributions/Withdrawals -4,908,259.76

Market Value Change 26,228.18

Interest Earnings 503,609.57

Ending Principal Value 93,942,478.72

Accrued Interest 507,104.51

Total Return 529,837.76

Advisory Fees for Period -3,000.00

Net Total Return 526,837.76


Total ReturnNet of Accrued Fees | US Dollar 6/30/2019 - 9/30/2019

11

Walla Walla County PooUS Dollar 9/30/2019 logo.jpg Account Summary - SetFixed Income Allocation


US Agency (USD) 49,650,134 67.5

Municipal (USD) 7,880,223 10.7

US Treasury (USD) 2,025,156 2.8

Commercial Paper (USD) 3,973,040 5.4

Supranationals (USD) 9,994,560 13.6







Fixed Income Totals

Book Yield 2.50

Maturity 2.13

Coupon 2.26

Moody Aa1

S&P AA+

Weighted Averages

Walla Walla County Pool Core Fund


12

Walla Walla County Pool CoNet of Allocated Fees | US 9/30/2019 logo.jpg Performanc

Time Weighted Return Inception (12/31/2014) to Date

PortfolioQuarterTo Date

Fiscal YearTo Date

Latest1 Year

AnnualizedInception

To DateAccount 0.61 2.50 3.37 1.50

Index

ICE BAML 0-3 Year Treasury 0.58 2.72 3.83 1.30

Performance History


Performance Net of FeesNet of Allocated Fees | US Dollar 9/30/2019

13

Walla Walla County Pool CoGross of Fees | US Dollar 9/30/2019 logo.jpg Performanc

Time Weighted Return Inception (12/31/2014) to Date

PortfolioQuarterTo Date

Fiscal YearTo Date

Latest1 Year

AnnualizedInception

To DateAccount 0.61 2.51 3.38 1.51

Index

ICE BAML 0-3 Year Treasury 0.58 2.72 3.83 1.30

Performance History


Performance Gross of FeesGross of Fees | US Dollar 9/30/2019

14

Portfolio HoldingsWalla Walla County Pool Core Fund

September 30, 2019

Call Trade Amor Book Market Market Market Accrued Total Unrealized Pct. Dur Eff

Cusip Quantity Security Date Date Price Yield Price Yield Value Interest Value Gain/Loss Assets Mat Dur

US Treasury

912828M80 2,000,000 UNITED STATES

TREAS NTS

04-26-18 97.67 2.79 101.2578 1.59 2,025,156.00 13,442.62 2,038,598.62 71,768.20 2.8 3.04 3.03

2.000% Due 11-30-22

US Agency Bullet

3134G9KF3 2,000,000 FEDERAL HOME LN

MTG CORP

05-18-16 100.00 1.23 99.8900 1.91 1,997,800.58 8,400.00 2,006,200.58 -2,105.48 2.7 0.15 0.14

1.200% Due 11-25-19

3135G0ZY2 1,000,000 FEDERAL NATL MTG

ASSN

10-20-17 100.02 1.64 99.9791 1.88 999,790.86 6,076.39 1,005,867.25 -373.76 1.4 0.15 0.15

1.750% Due 11-26-19

3133EJLU1 2,000,000 FEDERAL FARM CR

BKS

05-02-18 99.97 2.52 100.1808 1.84 2,003,615.42 9,007.78 2,012,623.20 4,218.86 2.7 0.31 0.31

2.420% Due 01-24-20

3133EJGM5 2,000,000 FEDERAL FARM CR

BKS

03-16-18 99.97 2.38 100.1776 1.83 2,003,552.66 5,366.67 2,008,919.33 4,168.98 2.7 0.38 0.38

2.300% Due 02-19-20

313378J77 2,000,000 FEDERAL HOME

LOAN BANKS

05-03-18 99.73 2.49 100.0055 1.86 2,000,110.40 1,875.00 2,001,985.40 5,469.45 2.7 0.45 0.44

1.875% Due 03-13-20

3134GBX56 2,000,000 FEDERAL HOME LN

MTG CORP

04-23-19 99.83 2.40 100.4960 1.81 2,009,920.42 15,875.00 2,025,795.42 13,380.66 2.7 1.12 1.12

2.250% Due 11-24-20

3133EHW58 2,000,000 FEDERAL FARM CR

BKS

11-17-17 100.00 1.90 100.0618 1.85 2,001,235.90 13,088.89 2,014,324.79 1,158.82 2.7 1.13 1.13

1.900% Due 11-27-20

3130AABG2 2,500,000 FEDERAL HOME

LOAN BANKS

04-17-19 98.92 2.40 100.4071 1.68 2,510,177.50 15,885.42 2,526,062.92 37,263.36 3.4 2.10 2.09

1.875% Due 11-29-21

3132X0PX3 2,000,000 FEDERAL AGRIC MTG

CORP

02-16-17 100.08 2.06 100.7593 1.77 2,015,186.70 4,433.33 2,019,620.03 13,508.62 2.7 2.33 2.32

2.100% Due 02-23-22

17,500,000 2.15 1.82 17,541,390.44 80,008.47 17,621,398.91 76,689.51 23.9 0.98 0.98

US Agency Callable

3130AFD38 2,000,000 FEDERAL HOME

LOAN BANKS

11-27-19 10-31-18 100.00 3.00 100.1317 2.88 2,002,633.96 20,666.67 2,023,300.63 2,633.96 2.7 1.12 0.15

3.000% Due 11-27-20

3134GTXT5 2,000,000 FEDERAL HOME LN

MTG CORP

01-02-20 06-27-19 100.00 2.12 100.0239 2.11 2,000,478.88 10,506.94 2,010,985.82 478.88 2.7 1.71 0.36

2.125% Due 07-02-21

15


September 30, 2019



3130A9Z46 2,000,000 FEDERAL HOME

LOAN BANKS

11-26-19 11-15-16 99.69 1.75 99.2804 1.94 1,985,608.58 11,111.11 1,996,719.69 -8,136.87 2.7 2.10 0.82

1.600% Due 11-26-21

3130AFCU9 2,000,000 FEDERAL HOME

LOAN BANKS

11-26-19 11-16-18 100.00 3.12 100.1612 3.05 2,003,224.60 21,701.39 2,024,925.99 3,224.60 2.7 2.05 0.15

3.125% Due 11-26-21

3130AEXG0 2,000,000 FEDERAL HOME

LOAN BANKS

03-25-20 10-09-18 99.77 3.10 100.5496 2.77 2,010,991.62 1,000.00 2,011,991.62 15,672.09 2.7 2.38 0.49

3.000% Due 03-25-22

3134GTLC5 2,000,000 FEDERAL HOME LN

MTG CORP

02-10-20 04-24-19 100.00 2.52 100.2117 2.45 2,004,233.50 7,140.00 2,011,373.50 4,233.50 2.7 2.97 0.38

2.520% Due 11-10-22

3133EHKT9 2,000,000 FEDERAL FARM CR

BKS

10-25-19 09-21-17 99.94 2.24 100.0019 2.22 2,000,037.80 15,540.00 2,015,577.80 1,255.31 2.7 3.01 0.22

2.220% Due 11-25-22

3134GTMW0 2,000,000 FEDERAL HOME LN

MTG CORP

05-21-20 05-02-19 100.00 2.75 100.4663 2.64 2,009,325.12 19,861.11 2,029,186.23 9,325.12 2.7 4.29 0.99

2.750% Due 05-21-24

3134GTQQ9 2,000,000 FEDERAL HOME LN

MTG CORP

11-22-19 05-21-19 99.99 2.75 100.0576 2.74 2,001,151.66 18,791.67 2,019,943.33 1,430.94 2.7 4.29 0.22

2.750% Due 05-22-24

3134GTNX7 2,000,000 FEDERAL HOME LN

MTG CORP

05-28-20 05-21-19 100.00 2.70 100.4606 2.59 2,009,211.02 18,450.00 2,027,661.02 9,211.02 2.7 4.32 1.03

2.700% Due 05-28-24

3134GTYL1 4,000,000 FEDERAL HOME LN

MTG CORP

06-26-20 06-26-19 100.00 2.25 100.1331 2.22 4,005,325.24 23,250.00 4,028,575.24 5,325.24 5.4 4.45 1.37

2.250% Due 06-26-24

3133EKC61 2,000,000 FEDERAL FARM CR

BKS

08-20-20 08-14-19 100.00 2.02 99.6286 2.10 1,992,571.30 4,783.33 1,997,354.63 -7,428.70 2.7 4.80 1.82

2.100% Due 08-20-24

3134GT6N8 2,000,000 FEDERAL HOME LN

MTG CORP

03-12-20 09-05-19 100.00 2.12 99.9022 2.15 1,998,044.96 2,243.06 2,000,288.02 -1,955.04 2.7 4.67 1.38

2.125% Due 09-12-24

3133EJR68 4,080,000 FEDERAL FARM CR

BKS

11-07-19 11-14-18 99.94 3.69 100.1447 3.65 4,085,905.80 60,057.60 4,145,963.40 8,342.98 5.6 4.55 0.12

3.680% Due 11-07-24

32,080,000 2.64 2.59 32,108,744.04 235,102.88 32,343,846.92 43,613.03 43.7 3.48 0.69

Commercial Paper

89233GAF3 2,000,000 TOYOTA MOTOR

CREDIT CP

05-21-19 99.28 2.53 99.4110 2.03 1,988,220.00 0.00 1,988,220.00 2,588.89 2.7 0.29 0.29

0.000% Due 01-15-20

16


September 30, 2019



89233GBE5 2,000,000 TOYOTA MOTOR

CREDIT CP

05-21-19 99.08 2.54 99.2410 2.06 1,984,820.00 0.00 1,984,820.00 3,255.55 2.7 0.37 0.37

0.000% Due 02-14-20

4,000,000 2.54 2.05 3,973,040.00 0.00 3,973,040.00 5,844.44 5.4 0.33 0.33

Muni GO

592240UE3 2,000,000 MET PARK DIST OF

TACOMA WA

11-04-16 100.64 1.08 100.6100 1.37 2,012,200.00 33,333.33 2,045,533.33 -657.35 2.7 0.17 0.16

5.000% Due 12-01-19

886100UG9 855,000 THURSTON CNTY WA 08-21-18 101.28 2.86 102.2940 2.00 874,613.70 11,400.00 886,013.70 8,678.67 1.2 1.13 1.12

4.000% Due 12-01-20

2,855,000 1.62 1.56 2,886,813.70 44,733.33 2,931,547.03 8,021.32 3.9 0.46 0.45

Muni Rev

91523NQE9 2,475,000 UNIV OF

WASHINGTON

09-10-15 100.00 1.75 99.9440 2.08 2,473,614.00 14,437.50 2,488,051.50 -1,386.00 3.4 0.17 0.16

1.750% Due 12-01-19

29270CYN9 2,000,000 ENERGY NW WA

ELEC

REVENUE-COLUMBIA

02-27-17 100.61 1.80 100.5420 1.92 2,010,840.00 13,265.00 2,024,105.00 -1,446.73 2.7 0.74 0.73

2.653% Due 07-01-20

91523NMU7 500,000 UNIV OF WASH TXBL

REVENUE

09-22-17 100.52 2.29 101.7910 1.88 508,955.00 4,103.33 513,058.33 6,345.40 0.7 3.02 3.00

2.462% Due 12-01-22

4,975,000 1.83 1.99 4,993,409.00 31,805.83 5,025,214.83 3,512.67 6.8 0.69 0.68

Supranationals

4581X0CP1 2,000,000 INTER-AMERICAN

DEVELOP BK

05-10-18 99.47 2.64 99.9440 1.95 1,998,880.00 10,937.50 2,009,817.50 9,483.31 2.7 0.70 0.69

1.875% Due 06-16-20

45950KCG3 2,000,000 INTL FINANCE CORP 05-10-18 99.22 2.63 99.7700 1.92 1,995,400.00 6,770.83 2,002,170.83 11,023.29 2.7 0.78 0.77

1.625% Due 07-16-20

45905US54 2,000,000 INTL BK RECON &

DEVELOPMENT

05-03-18 99.63 2.68 100.2760 1.90 2,005,520.00 6,953.33 2,012,473.33 12,919.90 2.7 0.83 0.82

2.235% Due 08-05-20

45905UQ80 2,000,000 INTL BK RECON &

DEVELOPMENT

05-15-18 99.06 2.82 100.0050 1.94 2,000,100.00 15,383.33 2,015,483.33 18,988.19 2.7 1.08 1.08

1.950% Due 11-09-20

17


September 30, 2019



45905UZT4 2,000,000 INTL BK RECON &

DEVELOPMENT

11-22-19 04-23-19 99.54 5.07 99.7330 3.59 1,994,660.00 12,541.67 2,007,201.67 3,927.70 2.7 0.14 0.38

1.750% Due 11-22-21

10,000,000 3.17 2.26 9,994,560.00 52,586.67 10,047,146.67 56,342.39 13.6 0.71 0.75

TOTAL 73,410,000 2.50 2.22 73,523,113.18 457,679.81 73,980,792.99 265,791.57 100.0 2.02 0.80

18


Transaction Summary7/1/2019 - 9/30/2019

PurchasesTrade Date Settle Date Quantity Symbol Security

Adj UnitCost

AdjustedTotal Cost

6/27/2019 7/2/2019 2,000,000 3134GTXT5 FEDERAL HOME LN MTG CORP 100.00 2,000,000

2.125% Due 07-02-21

8/14/2019 8/20/2019 2,000,000 3133EKC61 FEDERAL FARM CR BKS 100.00 2,000,000

2.100% Due 08-20-24

9/5/2019 9/12/2019 2,000,000 3134GT6N8 FEDERAL HOME LN MTG CORP 100.00 2,000,000

2.125% Due 09-12-24

Total Purchases 6,000,000

SalesTrade Date Settle Date Quantity Symbol Security

Adj UnitCost

AdjustedTotal Cost

Amort. orAccretion

UnitPrice Proceeds Gain/Loss

8/16/2019 8/16/2019 4,000,000 3134GTNC3 FEDERAL HOME LN MTG CORP 100.00 4,000,000 0 100.00 4,000,000 0

2.720% Due 05-16-22

Total Sales 4,000,000 0 4,000,000 0

InterestTrade Date Settle Date Symbol Security Amount

7/1/2019 7/1/2019 29270CYN9 ENERGY NW WA ELEC REVENUE-COLUMBIA 26,530

2.653% Due 07-01-20

6/30/2019 7/1/2019 662523D55 NORTH SLOP BORO AK 29,625

5.000% Due 06-30-19

6/30/2019 7/1/2019 686053CJ6 OREGON ST SCHOOL BOARDS ASSOC 0

0.000% Due 06-30-19

6/27/2019 7/2/2019 3134GTXT5 FEDERAL HOME LN MTG CORP 0

2.125% Due 07-02-21

7/16/2019 7/16/2019 45950KCG3 INTL FINANCE CORP 16,260

1.625% Due 07-16-20

7/24/2019 7/24/2019 3133EJLU1 FEDERAL FARM CR BKS 24,200

2.420% Due 01-24-20

7/26/2019 7/26/2019 3134GBEW8 FEDERAL HOME LN MTG CORP 8,438

1.500% Due 07-26-19

19



InterestTrade Date Settle Date Symbol Security Amount7/26/2019 7/26/2019 3136G3A62 FEDERAL NATL MTG ASSN 7,875

1.050% Due 07-26-19

8/2/2019 8/2/2019 3133EF5V5 FEDERAL FARM CR BKS 6,750

1.350% Due 08-02-19

8/5/2019 8/5/2019 45905US54 INTL BK RECON & DEVELOPMENT 22,360

2.235% Due 08-05-20

8/7/2019 8/7/2019 3130ABZX7 FEDERAL HOME LOAN BANKS 8,566

1.410% Due 08-07-19

8/10/2019 8/10/2019 3134GTLC5 FEDERAL HOME LN MTG CORP 12,600

2.520% Due 11-10-22

8/15/2019 8/15/2019 3137EAEH8 FEDERAL HOME LN MTG CORP 13,750

1.375% Due 08-15-19

8/16/2019 8/16/2019 3134GTNC3 FEDERAL HOME LN MTG CORP 27,200

2.720% Due 05-16-22

8/19/2019 8/19/2019 3133EJGM5 FEDERAL FARM CR BKS 23,000

2.300% Due 02-19-20

8/14/2019 8/20/2019 3133EKC61 FEDERAL FARM CR BKS 0

2.100% Due 08-20-24

8/23/2019 8/23/2019 3132X0PX3 FEDERAL AGRIC MTG CORP 21,000

2.100% Due 02-23-22

9/5/2019 9/12/2019 3134GT6N8 FEDERAL HOME LN MTG CORP 0

2.125% Due 09-12-24

9/13/2019 9/13/2019 313378J77 FEDERAL HOME LOAN BANKS 18,750

1.875% Due 03-13-20

9/25/2019 9/25/2019 3130AEXG0 FEDERAL HOME LOAN BANKS 30,000

3.000% Due 03-25-22

Total Interest 296,903

MaturitiesTrade Date Settle Date Quantity Symbol Security

Adj UnitCost

AdjustedTotal Cost

Amort. orAccretion


6/30/2019 7/1/2019 1,185,000 662523D55 NORTH SLOP BORO AK 110.12 1,304,946 -119,946 100.00 1,185,000 0

20




Adj UnitCost

AdjustedTotal Cost

Amort. orAccretion


5.000% Due 06-30-19

6/30/2019 7/1/2019 700,000 686053CJ6 OREGON ST SCHOOL BOARDS ASSOC 96.98 678,839 21,161 100.00 700,000 0

0.000% Due 06-30-19

7/26/2019 7/26/2019 2,250,000 3134GBEW8 FEDERAL HOME LN MTG CORP 100.00 2,250,000 0 100.00 2,250,000 0

1.500% Due 07-26-19

7/26/2019 7/26/2019 1,500,000 3136G3A62 FEDERAL NATL MTG ASSN 99.03 1,485,462 14,538 100.00 1,500,000 0

1.050% Due 07-26-19

8/2/2019 8/2/2019 1,000,000 3133EF5V5 FEDERAL FARM CR BKS 99.67 996,730 3,270 100.00 1,000,000 0

1.350% Due 08-02-19

8/7/2019 8/7/2019 1,215,000 3130ABZX7 FEDERAL HOME LOAN BANKS 99.80 1,212,623 2,377 100.00 1,215,000 0

1.410% Due 08-07-19

8/15/2019 8/15/2019 2,000,000 3137EAEH8 FEDERAL HOME LN MTG CORP 99.56 1,991,280 8,720 100.00 2,000,000 0

1.375% Due 08-15-19

Total Maturities 9,919,880 -69,880 9,850,000 0

ExpensesTrade Date Settle Date Symbol Security Amount7/31/2019 7/31/2019 manfee Management Fee 1,000

8/31/2019 8/31/2019 manfee Management Fee 1,000


Total Expenses 3,000

ContributionsTrade Date Settle Date Quantity Symbol Security

UnitPrice Amount

7/2/2019 7/2/2019 cash CASH ACCOUNT 2,000,000



Total Contributions 6,000,000

21



WithdrawalsTrade Date Settle Date Quantity Symbol Security

UnitPrice Amount


7/16/2019 7/16/2019 cash CASH ACCOUNT 16,260













Total Withdrawals 14,146,903

22

Walla Walla Liquidity US Dollar 9/30/2019 logo.jpg Account Summary - SetFixed Income Allocation


LGIP State Pool (USD) 15,272,500.44 78.1

Bank or Cash Deposit (USD) 4,278,658.64 21.9

Fixed Income Total 19,551,159.08 100.0


Market Value 19,551,159.08

Amortized Book Value 19,551,159.08

Unrealized Gain/Loss 0.00

Estimated Annual Cash Flow 374,903.87

Fixed Income Totals

Book Yield 1.92

Maturity 0.08

Coupon 1.92

Moody Not Rated

S&P Not Rated

Weighted Averages

Walla Walla Liquidity


23

Portfolio HoldingsWalla Walla Liquidity

September 30, 2019



Bank Deposit

SYS117600 2,244,517 BAKER BOYER BANK 12-31-18 100.00 0.10 100.0000 0.10 2,244,516.61 0.00 2,244,516.61 0.00 11.5 0.08 0.05

0.100% Due 10-29-19

State Investment Pool

WAPOOL 15,272,500 WASHINGTON LGIP 12-31-18 100.00 2.20 100.0000 2.20 15,272,500.44 0.00 15,272,500.44 0.00 78.1 0.08 0.05

2.197% Due 10-29-19

Money Market Fund

SYSUMPQ11 1,017,195 UMPQUA BANK MMF 12-31-18 100.00 1.91 100.0000 1.91 1,017,194.82 0.00 1,017,194.82 0.00 5.2 0.08 0.05

1.900% Due 10-29-19

000WAFED3 1,016,947 WASHINGTON

FEDERAL MMF

12-31-18 100.00 1.76 100.0000 1.76 1,016,947.21 0.00 1,016,947.21 0.00 5.2 0.08 0.05

1.750% Due 10-29-19

2,034,142 1.83 1.83 2,034,142.03 0.00 2,034,142.03 0.00 10.4 0.08 0.05

TOTAL 19,551,159 1.92 1.92 19,551,159.08 0.00 19,551,159.08 0.00 100.0 0.08 0.05

24

Walla Walla Local Bond US Dollar 9/30/2019 logo.jpg Account Summary - SetFixed Income Allocation


Municipal (USD) 868,206.46 100.0

Fixed Income Total 868,206.46 100.0

Par Value 868,206

Market Value 868,206.46

Amortized Book Value 868,206.46

Unrealized Gain/Loss 0.00

Estimated Annual Cash Flow 17,840.73

Fixed Income Totals

Book Yield 1.97

Maturity 3.09

Coupon 2.05

Moody Not Rated

S&P Not Rated

Weighted Averages

Walla Walla Local Bonds


25

Portfolio HoldingsWalla Walla Local Bonds

September 30, 2019



Municipal Direct

JAIL 2016 715,850 WALLA WALLA

COUNTY

12-31-18 100.00 1.75 100.0000 1.73 715,850.26 36,914.01 752,764.27 0.00 82.5 2.09 2.06

1.820% Due 12-01-21

FAIR12820 71,725 WALLA WALLA

COUNTY

12-31-18 100.00 2.88 100.0000 2.82 71,724.85 6,190.00 77,914.85 0.00 8.3 5.98 5.96

3.067% Due 12-08-26

FAIR2012B 80,631 WALLA WALLA

COUNTY

12-31-18 100.00 3.07 100.0000 3.00 80,631.35 6,320.69 86,952.04 0.00 9.3 6.18 6.16

3.240% Due 04-30-27

868,206 1.97 1.94 868,206.46 49,424.70 917,631.16 0.00 100.0 2.79 2.76

TOTAL 868,206 1.97 1.94 868,206.46 49,424.70 917,631.16 0.00 100.0 2.79 2.76

26

Walla Walla Public SD 2US Dollar 9/30/2019 logo.jpg Account Summary - SetFixed Income Allocation


US Agency (USD) 11,673,430 19.0

US Treasury (USD) 35,152,929 57.3

LGIP State Pool (USD) 14,560,677 23.7







Fixed Income Totals

Book Yield 2.44

Maturity 0.87

Coupon 2.16

Moody Aaa

S&P AA+

Weighted Averages

Walla Walla Public SD 2018 Bonds


27


Accrual Earnings and Activity9/30/2019

US Dollar

Cost Basis Summary Accrual Earnings SummaryQuarter to Date

Ending 9/30/2019Fiscal

Year-to-Date12/31/2018

Beginning Amortized Cost 65,163,314.33 65,681,609.50

Investment Purchases 0.00 50,335,378.63

Investment Maturities/Sells/Calls (4,000,000.00) (4,000,000.00)

Amortization 49,714.01 116,832.49

Change in Cash Equivalents (200,140.20) (51,120,932.48)

Realized Gains / Losses 0.00 0.00

Ending Amortized Costs 61,012,888.14 61,012,888.14



Amortization/Accretion 49,714.01 116,832.49

Interest Earned 348,777.11 1,096,429.09

Realized Gain (Loss) 0.00 0.00

Total Income 398,491.12 1,213,261.58

Average Portfolio Balance 64,777,486.11 64,954,118.68

Earnings Yield 2.44% 2.50%

MarketValue Summary Interest Earnings SummaryAs of

9/30/2019Ending Market Value 61,387,035.19

Unrealized Gain/Loss 374,147.04

Net Asset Value (NAV) 1.0061



Beginning Accrued Interest 204,650.83 0.00

Coupons Paid 291,085.25 1,112,594.58

Purchased Accrued Interest 0.00 (278,508.18)

Sold Accrued Interest 35,000.00 35,000.00

Ending Accrued Interest 227,342.69 227,342.69

Interest Earned 348,777.11 1,096,429.09

28

Walla Walla Public SD 2US Dollar 9/30/2019 logo.jpg Distribution Report - Set

Maturity Number Market Value% FI

HoldingsAverage

YTMAverageCoupon

AverageDuration

Under 1 Mth 1 14,560,677.02 23.7 2.2 2.197% 0.1

1 Mth - 12 Mths 7 17,499,018.73 28.5 1.9 1.487% 0.6

12 Mths - 24 Mths 7 29,327,339.44 47.8 1.8 2.549% 1.4

Duration Number Market Value% FI

HoldingsAverage

YTMAverageCoupon

AverageDuration

Under 1 Yr 8 32,059,695.75 52.2 2.0 1.809% 0.3

1 Yr - 2 Yrs 7 29,327,339.44 47.8 1.8 2.549% 1.4

Distribution by Maturity Distribution by Duration

S&P Rating Number Market Value% FI

HoldingsAverage

YTMAverageCoupon

AverageDuration

AA+ 14 46,826,358.17 76.3 1.8 2.152% 1.1

N/A 1 14,560,677.02 23.7 2.2 2.197% 0.1

Moody Rating Number Market Value% FI

HoldingsAverage

YTMAverageCoupon

AverageDuration

Aaa 14 46,826,358.17 76.3 1.8 2.152% 1.1

N/A 1 14,560,677.02 23.7 2.2 2.197% 0.1

Distribution by S&P Rating Distribution by Moody Rating


Distribution Report9/30/2019

29

Portfolio HoldingsWalla Walla Public SD 2018 Bonds

September 30, 2019



US Treasury

912828H52 2,000,000 UNITED STATES

TREAS NTS

02-22-19 99.58 2.53 99.7773 1.92 1,995,546.00 4,211.96 1,999,757.96 3,921.09 3.3 0.33 0.33

1.250% Due 01-31-20

9128284C1 2,000,000 UNITED STATES

TREAS NTS

02-22-19 99.87 2.52 100.1758 1.90 2,003,516.00 122.95 2,003,638.95 6,170.23 3.3 0.50 0.49

2.250% Due 03-31-20

912828X96 2,000,000 UNITED STATES

TREAS NTS

02-22-19 99.38 2.51 99.7734 1.87 1,995,468.00 11,331.52 2,006,799.52 7,836.95 3.3 0.62 0.61

1.500% Due 05-15-20

912828XY1 2,000,000 UNITED STATES

TREAS NTS

02-22-19 99.98 2.53 100.4648 1.87 2,009,296.00 12,635.87 2,021,931.87 9,689.55 3.3 0.74 0.73

2.500% Due 06-30-20

9128282Q2 2,500,000 UNITED STATES

TREAS NTS

02-22-19 99.13 2.52 99.7031 1.84 2,492,577.50 4,789.40 2,497,366.90 14,433.28 4.1 0.86 0.86

1.500% Due 08-15-20

912828PC8 4,000,000 UNITED STATES

TREAS NTS

02-22-19 100.12 2.52 100.8984 1.81 4,035,936.00 39,660.33 4,075,596.33 31,224.67 6.6 1.10 1.09

2.625% Due 11-15-20

9128283Q1 5,000,000 UNITED STATES

TREAS NTS

02-22-19 99.36 2.51 100.2656 1.79 5,013,280.00 21,195.65 5,034,475.65 45,434.35 8.2 1.26 1.26

2.000% Due 01-15-21

912828C57 5,000,000 UNITED STATES

TREAS NTS

02-22-19 99.64 2.50 100.7344 1.75 5,036,720.00 307.38 5,037,027.38 54,655.09 8.2 1.47 1.46

2.250% Due 03-31-21

9128284P2 5,000,000 UNITED STATES

TREAS NTS

02-22-19 100.21 2.49 101.4414 1.72 5,072,070.00 49,575.41 5,121,645.41 61,616.73 8.3 1.57 1.56

2.625% Due 05-15-21

9128284W7 1,000,000 UNITED STATES

TREAS NTS

02-22-19 100.51 2.47 101.9570 1.68 1,019,570.00 3,512.23 1,023,082.23 14,492.14 1.7 1.82 1.81

2.750% Due 08-15-21

30,500,000 2.51 1.80 30,673,979.50 147,342.69 30,821,322.19 249,474.09 50.0 1.13 1.12

US Treasury Bill

912796RT8 4,500,000 UNITED STATES

TREAS BILLS

02-22-19 99.37 2.53 99.5322 1.82 4,478,949.00 0.00 4,478,949.00 7,368.64 7.3 0.26 0.25

0.000% Due 01-02-20

US Agency Bullet

313370US5 2,500,000 FEDERAL HOME

LOAN BANKS

02-22-19 100.32 2.52 100.9466 1.86 2,523,666.22 3,993.06 2,527,659.28 15,552.96 4.1 0.93 0.93

2.875% Due 09-11-20

30

Portfolio HoldingsWalla Walla Public SD 2018 Bonds

September 30, 2019



313371U79 4,000,000 FEDERAL HOME

LOAN BANKS

02-22-19 100.70 2.52 101.5280 1.83 4,061,121.04 38,194.44 4,099,315.48 32,923.56 6.6 1.16 1.16

3.125% Due 12-11-20

3135G0U35 5,000,000 FEDERAL NATL MTG

ASSN

02-22-19 100.40 2.51 101.7728 1.70 5,088,642.40 37,812.50 5,126,454.90 68,827.79 8.3 1.67 1.66

2.750% Due 06-22-21

11,500,000 2.52 1.78 11,673,429.66 80,000.00 11,753,429.66 117,304.32 19.0 1.34 1.33

State Investment Pool

WAPOOL 14,560,677 WASHINGTON LGIP 12-27-18 100.00 2.20 100.0000 2.20 14,560,677.02 0.00 14,560,677.02 0.00 23.7 0.08 0.05

2.197% Due 10-29-19

TOTAL 61,060,677 2.44 1.89 61,387,035.18 227,342.69 61,614,377.88 374,147.04 100.0 0.85 0.84

31



InterestTrade Date Settle Date Symbol Security Amount7/15/2019 7/15/2019 9128283Q1 UNITED STATES TREAS NTS 50,000

2.000% Due 01-15-21

7/17/2019 7/17/2019 WAPOOL WASHINGTON LGIP 0

2.197% Due 10-29-19

7/31/2019 7/31/2019 912828H52 UNITED STATES TREAS NTS 12,500

1.250% Due 01-31-20

7/31/2019 7/31/2019 WAPOOL WASHINGTON LGIP 31,007

2.197% Due 10-29-19


2.197% Due 10-29-19

8/15/2019 8/15/2019 9128282Q2 UNITED STATES TREAS NTS 18,750

1.500% Due 08-15-20

8/15/2019 8/15/2019 9128284W7 UNITED STATES TREAS NTS 13,750

2.750% Due 08-15-21

8/31/2019 8/31/2019 WAPOOL WASHINGTON LGIP 28,750

2.197% Due 10-29-19


2.197% Due 10-29-19


2.197% Due 10-29-19


2.197% Due 10-29-19

9/11/2019 9/11/2019 313370US5 FEDERAL HOME LOAN BANKS 35,938

2.875% Due 09-11-20


2.197% Due 10-29-19

9/30/2019 9/30/2019 912828F39 UNITED STATES TREAS NTS 35,000

1.750% Due 09-30-19

9/30/2019 9/30/2019 9128284C1 UNITED STATES TREAS NTS 22,500

2.250% Due 03-31-20

9/30/2019 9/30/2019 912828C57 UNITED STATES TREAS NTS 56,250

2.250% Due 03-31-21

32



InterestTrade Date Settle Date Symbol Security Amount9/30/2019 9/30/2019 WAPOOL WASHINGTON LGIP 21,641

2.197% Due 10-29-19


2.197% Due 10-29-19

Total Interest 326,085


Adj UnitCost

AdjustedTotal Cost

Amort. orAccretion


9/30/2019 9/30/2019 4,000,000 912828F39 UNITED STATES TREAS NTS 99.55 3,982,031 17,969 100.00 4,000,000 0

1.750% Due 09-30-19

Total Maturities 3,982,031 17,969 4,000,000 0

ExpensesTrade Date Settle Date Symbol Security Amount7/31/2019 7/31/2019 manfee Management Fee 1,450

7/31/2019 7/31/2019 treasfee TREASURER FEE 967





Total Expenses 7,250


UnitPrice Amount


7/31/2019 7/31/2019 93,507 WAPOOL WASHINGTON LGIP 100.00 93,507

2.197% Due 10-29-19


2.197% Due 10-29-19

9/30/2019 9/30/2019 4,171,329 WAPOOL WASHINGTON LGIP 100.00 4,171,329

33




UnitPrice Amount

2.197% Due 10-29-19

Total Contributions 4,318,585

WithdrawalsTrade Date Settle Date Quantity Symbol Security

UnitPrice Amount




2.197% Due 10-29-19




2.197% Due 10-29-19


2.197% Due 10-29-19



2.197% Due 10-29-19


Total Withdrawals 8,763,413

34

This report is for general informational purposes only and is not intended to provide specific advice or recommendations. Government Portfolio Advisors (GPA) is an investment advisor registered with the Securities and Exchange Commission and is required to maintain a written disclosure statement of our background and business experience. Questions About an Account: GPA's monthly & quarterly reports are intended to detail the investment advisory activity managed by GPA. The custodian bank maintains the control of assets and executes (ie. Settles) all investment transactions. The custodian statement is the official record of security and cash holdings and transactions. GPA recognizes that clients may use these reports to facilitate record keeping and that the custodian bank statement and the GPA report should be reconciled and differences resolved. Many custodians use a settlement date basis which may result in the need to reconcile due to a timing difference.

GPA relies on the information provided by the client's when reporting pool balances, bank balances and other assets that are not held at the client's custodial bank.

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Market Value:Generally, market prices in GPA's reports are derived from closing bid prices as of the last business day of the month as supplied by Interactive Data or Bloomberg. Where prices are not available from generally recognized sources the securities are priced using a yield-based matrix system to arrive at an estimated market value. Prices that fall between data points are interpolated. Non-negotiable FDIC –insured bank certificates of deposit are priced at par. Although GPA believes the prices to be reliable, the values of the securities do not always represent the prices at which the securities could have been bought or sold.

Amortized Cost:The original cost of the principal of the security is adjusted for the amount of the periodic reduction of any discount or premium from the purchase date until the date of the report. Discount or premiums with respect to short term securities (those with less than one year to maturity at time of issuance) is amortized on a straightline basis. Such discount or premium with respect to longer term securities is amortized using a straight-line basis. Financial Situation:In order to better serve you, GPA should be promptly notified of any material change in your investment objective or financial situation.

Callable Securities:Securities subject to redemption prior to maturity may be redeemed in whole or in part before maturity, which could affect the yield represented. Certain call dates may not show up on the report if the call date has passed and it is continuously callable. Bonds purchased at a premium will be amortized to call date versus all others will be amortized to maturity.

Duration:The duration listed on the reports is duration to maturity and duration to call. Effective duration is calculated on Bloomberg and imported into these reports and reflects the OAS duration which incorporates the probability of the bond being called. Effective duration is what GPA compares to the benchmark to reflect current market risk.

Benchmark Duration: The benchmark duration is the historical weighted average of the benchmark duration over monthly periods. GPA is reporting this number as a static amount period over period.

Portfolio:The securities in this portfolio are not guaranteed or otherwise protected by GPA, the FDIC (except for non-negotiable certificates of deposit) or any government agency. Investment in securities involves risks, including the possible loss of the amount invested.

Rating:Information provided for ratings is based upon a good faith inquiry of selected sources, but its accuracy and completeness cannot be guaranteed.

Coupon Payments and Maturities on Weekends:Oftentimes, coupon payments and maturities will occur on a weekend or holiday. GPA will track these payments on an accrual basis, while the custodian bank may track on a cash basis. The accrual basis allocates the earnings in the period earned.

Disclaimer & Terms9/30/2019

35

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