walla walla county investment pool
TRANSCRIPT
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
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
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.
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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%
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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
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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.
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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
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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
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Walla Walla County Investment Pool Total
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
Quarter to DateEnding 9/30/2019
FiscalYear-to-Date12/31/2018
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
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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
Walla Walla County Investment Pool Total
Distribution Report9/30/2019
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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
Walla Walla County Investment Pool Total
Total ReturnNet of Accrued Fees | US Dollar 6/30/2019 - 9/30/2019
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Walla Walla County PooUS Dollar 9/30/2019 logo.jpg Account Summary - SetFixed Income Allocation
Security Type Market Value % Assets
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 Total 73,523,113 100.0
Par Value 73,410,000
Market Value 73,523,113
Amortized Book Value 73,257,322
Unrealized Gain/Loss 265,792
Estimated Annual Cash Flow 1,657,302
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
Account Summary9/30/2019
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
Walla Walla County Pool Core Fund
Performance Net of FeesNet of Allocated Fees | US Dollar 9/30/2019
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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
Walla Walla County Pool Core Fund
Performance Gross of FeesGross of Fees | US Dollar 9/30/2019
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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
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
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
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
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
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
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
Walla Walla County Pool Core Fund
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
Walla Walla County Pool Core Fund
Transaction Summary7/1/2019 - 9/30/2019
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
UnitPrice Proceeds Gain/Loss
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
Walla Walla County Pool Core Fund
Transaction Summary7/1/2019 - 9/30/2019
MaturitiesTrade Date Settle Date Quantity Symbol Security
Adj UnitCost
AdjustedTotal Cost
Amort. orAccretion
UnitPrice Proceeds Gain/Loss
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
9/30/2019 9/30/2019 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
8/20/2019 8/20/2019 cash CASH ACCOUNT 2,000,000
9/12/2019 9/12/2019 cash CASH ACCOUNT 2,000,000
Total Contributions 6,000,000
21
Walla Walla County Pool Core Fund
Transaction Summary7/1/2019 - 9/30/2019
WithdrawalsTrade Date Settle Date Quantity Symbol Security
UnitPrice Amount
7/1/2019 7/1/2019 cash CASH ACCOUNT 1,941,155
7/16/2019 7/16/2019 cash CASH ACCOUNT 16,260
7/24/2019 7/24/2019 cash CASH ACCOUNT 24,200
7/26/2019 7/26/2019 cash CASH ACCOUNT 3,766,313
8/2/2019 8/2/2019 cash CASH ACCOUNT 1,006,750
8/6/2019 8/6/2019 cash CASH ACCOUNT 22,360
8/7/2019 8/7/2019 cash CASH ACCOUNT 1,223,566
8/12/2019 8/12/2019 cash CASH ACCOUNT 12,600
8/15/2019 8/15/2019 cash CASH ACCOUNT 2,013,750
8/16/2019 8/16/2019 cash CASH ACCOUNT 4,027,200
8/19/2019 8/19/2019 cash CASH ACCOUNT 23,000
8/23/2019 8/23/2019 cash CASH ACCOUNT 21,000
9/13/2019 9/13/2019 cash CASH ACCOUNT 18,750
9/25/2019 9/25/2019 cash CASH ACCOUNT 30,000
Total Withdrawals 14,146,903
22
Walla Walla Liquidity US Dollar 9/30/2019 logo.jpg Account Summary - SetFixed Income Allocation
Security Type Market Value % Assets
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
Par Value 19,551,159
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
Account Summary9/30/2019
23
Portfolio HoldingsWalla Walla Liquidity
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
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
Security Type Market Value % Assets
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
Account Summary9/30/2019
25
Portfolio HoldingsWalla Walla Local Bonds
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
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
Security Type Market Value % Assets
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 Total 61,387,035 100.0
Par Value 61,060,677
Market Value 61,387,035
Amortized Book Value 61,012,888
Unrealized Gain/Loss 374,147
Estimated Annual Cash Flow 1,318,022
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
Account Summary9/30/2019
27
Walla Walla Public SD 2018 Bonds
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
Quarter to DateEnding 9/30/2019
FiscalYear-to-Date12/31/2018
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
Quarter to DateEnding 9/30/2019
FiscalYear-to-Date12/31/2018
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
Walla Walla Public SD 2018 Bonds
Distribution Report9/30/2019
29
Portfolio HoldingsWalla Walla Public SD 2018 Bonds
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
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
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
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
Walla Walla Public SD 2018 Bonds
Transaction Summary7/1/2019 - 9/30/2019
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
7/31/2019 7/31/2019 WAPOOL WASHINGTON LGIP 0
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
8/31/2019 8/31/2019 WAPOOL WASHINGTON LGIP 0
2.197% Due 10-29-19
9/4/2019 9/4/2019 WAPOOL WASHINGTON LGIP 0
2.197% Due 10-29-19
9/5/2019 9/5/2019 WAPOOL WASHINGTON LGIP 0
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
9/26/2019 9/26/2019 WAPOOL WASHINGTON LGIP 0
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
Walla Walla Public SD 2018 Bonds
Transaction Summary7/1/2019 - 9/30/2019
InterestTrade Date Settle Date Symbol Security Amount9/30/2019 9/30/2019 WAPOOL WASHINGTON LGIP 21,641
2.197% Due 10-29-19
9/30/2019 9/30/2019 WAPOOL WASHINGTON LGIP 0
2.197% Due 10-29-19
Total Interest 326,085
MaturitiesTrade Date Settle Date Quantity Symbol Security
Adj UnitCost
AdjustedTotal Cost
Amort. orAccretion
UnitPrice Proceeds Gain/Loss
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
8/31/2019 8/31/2019 manfee Management Fee 1,450
8/31/2019 8/31/2019 treasfee TREASURER FEE 967
9/30/2019 9/30/2019 manfee Management Fee 1,450
9/30/2019 9/30/2019 treasfee TREASURER FEE 967
Total Expenses 7,250
ContributionsTrade Date Settle Date Quantity Symbol Security
UnitPrice Amount
7/1/2019 7/1/2019 cash CASH ACCOUNT 25,000
7/31/2019 7/31/2019 93,507 WAPOOL WASHINGTON LGIP 100.00 93,507
2.197% Due 10-29-19
8/31/2019 8/31/2019 28,750 WAPOOL WASHINGTON LGIP 100.00 28,750
2.197% Due 10-29-19
9/30/2019 9/30/2019 4,171,329 WAPOOL WASHINGTON LGIP 100.00 4,171,329
33
Walla Walla Public SD 2018 Bonds
Transaction Summary7/1/2019 - 9/30/2019
ContributionsTrade Date Settle Date Quantity Symbol Security
UnitPrice Amount
2.197% Due 10-29-19
Total Contributions 4,318,585
WithdrawalsTrade Date Settle Date Quantity Symbol Security
UnitPrice Amount
7/1/2019 7/1/2019 cash CASH ACCOUNT 25,000
7/15/2019 7/15/2019 cash CASH ACCOUNT 50,000
7/17/2019 7/17/2019 56,633 WAPOOL WASHINGTON LGIP 100.00 56,633
2.197% Due 10-29-19
7/31/2019 7/31/2019 cash CASH ACCOUNT 12,500
8/15/2019 8/15/2019 cash CASH ACCOUNT 32,500
9/4/2019 9/4/2019 1,355,853 WAPOOL WASHINGTON LGIP 100.00 1,355,853
2.197% Due 10-29-19
9/5/2019 9/5/2019 1,771,276 WAPOOL WASHINGTON LGIP 100.00 1,771,276
2.197% Due 10-29-19
9/11/2019 9/11/2019 cash CASH ACCOUNT 35,938
9/26/2019 9/26/2019 1,309,963 WAPOOL WASHINGTON LGIP 100.00 1,309,963
2.197% Due 10-29-19
9/30/2019 9/30/2019 cash CASH ACCOUNT 4,113,750
Total Withdrawals 8,763,413
34
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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