Monthly Investment Report Walla Walla County · slashing rates back to zero, re-instituting their...

March 31, 2020 WWPS 2018 BP Portfolio

Monthly Investment ReportWalla Walla County

GPA Investment Report 2

Walla Walla County | WWPS 2018 BP Portfolio March 31, 2020

New month, same story. March was another month for the history books as the ongoing COVID-19 pandemic pushed Treasury yields to historic lows with the 10-year yield hitting a low of 0.33% and the 30-year yield briefly touching 0.70%. The selloff in risk assets intensified during the month with the S&P 500 losing 12.5% of its value on the month and at one point was down over 24% for the month. Stocks weren’t the only eye-popping asset class in March, corporate credit and municipal bonds spreads were equally up for sale with front-end credit spreads widening by as much as 350 basis points (3.50%) and 5-year AAA-rated tax-exempt municipal bonds trading as much as 226 basis points (2.26%) over 5-year Treasuries. In response to the wild market reaction and economic uncertainty, the Federal Reserve came to the rescue by slashing rates back to zero, re-instituting their bond-buying campaign and initiating a host of new programs aimed at supporting market functionality and the credit markets. The Fed’s push in March was massive. They added more than $1 trillion to their balance sheet, more than any month in the “QE” days of old. While markets ended the month on better footing, it is safe to say volatility will remain and the Fed’s balance sheet will continue to grow. Backward looking economic data is of little help at this point. We are in uncharted territory and what lies ahead is unknown. The last two weeks of March gave us our first meaningful economic reads since the crisis gained traction in the United States with the release of weekly unemployment claims. The releases were record setting as 3.3 million Americans filed for unemployment the week ending March 21st and another 6.6 million filed the week ending March 28th. To put these claims numbers in context, the previous weekly record was 695 thousand claims back in 1982 – making the latest read a record by near 9.5 times the previous record. While markets always operate in the realm of uncertainty, we conclude that this time feels uniquely unclear. We continue to recommend clients stick with their strategy and to be patient when approaching perceived market opportunities.

Month End Commentary - March 2020Treasuries Total Return

3 month bill 2.26%

1 year note 3.85%

2 year note 5.38%

3 year note 7.26%

5 year note 10.88%

Treasury Curve Total Returns Last 12 Months

Treasuries 03/31/2019 01/31/2020 02/29/2020 03/31/2020 1 Month Change

12 Month Change

3 month bill 2.38% 1.54% 1.27% 0.06% -1.21% -2.32%

6 month bill 2.42% 1.52% 1.15% 0.14% -1.01% -2.28%

2 year note 2.26% 1.31% 0.91% 0.25% -0.67% -2.01%

3 year note 2.21% 1.29% 0.90% 0.29% -0.60% -1.91%

5 year note 2.23% 1.31% 0.94% 0.38% -0.56% -1.85%

10 year note 2.41% 1.51% 1.15% 0.67% -0.48% -1.74%

Changes In The Treasury Market (Absolute Yield Levels)

Benchmark Period Return YTM Duration (Years)

ICE BAML 90 Day Bill 0.29% 0.07% 0.16

ICE BAML 0-1 Year Treasury 0.60% 0.07% 0.46



Treasury Benchmark Total Returns In Month



Metric Value

Cash and Cash Equivalents 16,312,371.02

Investments 38,924,803.81

Book Yield 2.063

Effective Duration 0.558

Years to Maturity 0.565

Avg Credit Rating AA+

Portfolio Characteristics Allocation by Asset Class

Summary Overview

Account Par Amount Book Value Original Cost Principal Value Net Unrealized Gain (Loss)

Accrued Yield at Cost Maturity in Years

Effective Duration

Benchmark

WWCO-WWPS '18 Bond Liquidity 16,312,371.02 16,312,371.02 16,312,371.02 16,312,371.02 0.00 0.00 0.998 0.010 0.010 ICE BofA US 1-Month Treasury Bill Index

WWCO-WWPS '18 Bond Investments 38,000,000.00 38,004,361.47 37,976,758.29 38,701,550.00 697,188.53 223,253.81 2.509 0.798 0.787 ICE BofA 0-1 Year US

Treasury Notes & Bonds

Total 54,312,371.02 54,316,732.49 54,289,129.31 55,013,921.02 697,188.53 223,253.81 2.061 0.564 0.557

Strategic Structure



Accrual Activity Summary

Fair Market Activity Summary

Portfolio Activity

Month to Date Fiscal Year to Date (07/01/2019)

Beginning Book Value 58,577,650.47 65,188,023.58

Maturities/Calls (2,000,000.00) (12,500,000.00)

Purchases 0.00 0.00

Sales 0.00 0.00

Change in Cash, Payables, Receivables (2,263,504.85) 1,526,553.80

Amortization/Accretion 2,586.87 102,155.11

Realized Gain (Loss) 0.00 0.00

Ending Book Value 54,316,732.49 54,316,732.49


Beginning Market Value 59,042,965.87 65,598,197.22


Purchases 0.00 0.00

Sales 0.00 0.00

Change in Cash, Payables, Receivables (2,263,504.85) 1,526,553.80


Change in Net Unrealized Gain (Loss) 231,873.13 287,014.89

Net Realized Gain (Loss) 0.00 0.00

Ending Market Value 55,013,921.02 55,013,921.02

Sales Market Value

Month to Date 0.00

Fiscal Year to Date 0.00

Sales Market Value

Month to Date (2,000,000.00)

Fiscal Year to Date (12,500,000.00)

Sales Market Value

Month to Date 0.00




Fair Market Return

Accrued Book Return

Return Management-Income Detail


Market Value Change 231,873.13 287,014.89


Interest Earned 100,059.35 952,732.98

Fair Market Earned Income 334,519.35 1,341,902.98

Average Portfolio Balance 56,946,175.29 61,248,258.77

Fair Market Return for Period 0.59% 2.24%



Interest Earned 100,059.35 952,732.98


Book Income 102,646.22 1,054,888.09


Book Yield at End of Period 2.06 2.06

Interest Income

Return Comparisons


Beginning Accrued Interest 255,873.93 204,650.83

Coupons Paid 132,679.48 959,130.00

Purchased Accrued Interest 0.00 0.00

Sold Accrued Interest 0.00 0.00

Ending Accrued Interest 223,253.81 223,253.81

Interest Earned 100,059.35 952,732.98

Periodic for performance less than one year. Annualized for performance greater than one year.



Security Type Distribution



Security Type Par Amount Book Yield Market Value % of Market Value

Pooled Funds 16,312,371.02 0.998 16,312,371.02 29.53%

US Agency 11,500,000.00 2.516 11,830,300.00 21.42%

US Treasury 26,500,000.00 2.507 27,094,503.81 49.05%

Total 54,312,371.02 2.063 55,237,174.83 100.00%



Risk Management-Credit/Issuer

Credit Rating S&P/Moody’s/Fitch

Market Value %

S&P

AA+ 38,924,803.81 70.47

NA 16,312,371.02 29.53

Moody's

Aaa 38,924,803.81 70.47

NA 16,312,371.02 29.53

Fitch

AAA 38,924,803.81 70.47

NA 16,312,371.02 29.53

Total 55,237,174.83 100.00

Issuer Concentration



Risk Management-Maturity/Duration

Distribution by Effective Duration

0.56 Yrs Effective Duration 0.57 Yrs Years to Maturity 205 Days to Maturity



Holdings by Maturity & Ratings

Cusip Par Amount Security Coupon Rate

Maturity Date

Call Date Market Value Accrued Market Value + Accrued

Book Yield

Market Yield

% of Portfolio

Years to Maturity

Eff Duration

S&P, Moody, Fitch

WA_LGIP 16,312,371.02 WASHINGTON LGIP 0.998 03/31/2020 16,312,371.02 0.00 16,312,371.02 0.998 29.53 0.010 0.010 NANANA

912828X96 2,000,000.00 UNITED STATES TREASURY

1.500 05/15/2020 2,003,400.00 11,373.63 2,014,773.63 2.515 0.124 3.65 0.123 0.124 AA+AaaAAA

912828XY1 2,000,000.00 UNITED STATES TREASURY

2.500 06/30/2020 2,011,920.00 12,637.36 2,024,557.36 2.526 0.115 3.67 0.249 0.250 AA+AaaAAA

9128282Q2 2,500,000.00 UNITED STATES TREASURY

1.500 08/15/2020 2,514,650.00 4,739.01 2,519,389.01 2.525 -0.057 4.56 0.375 0.376 AA+AaaAAA

313370US5 2,500,000.00 FEDERAL HOME LOAN BANKS

2.875 09/11/2020 2,529,050.00 3,993.06 2,533,043.06 2.523 0.257 4.59 0.449 0.444 AA+AaaAAA

912828PC8 4,000,000.00 UNITED STATES TREASURY

2.625 11/15/2020 4,063,440.00 39,807.69 4,103,247.69 2.516 0.081 7.43 0.627 0.617 AA+AaaAAA

313371U79 4,000,000.00 FEDERAL HOME LOAN BANKS

3.125 12/11/2020 4,077,400.00 38,194.44 4,115,594.44 2.517 0.333 7.45 0.698 0.686 AA+AaaAAA

9128283Q1 5,000,000.00 UNITED STATES TREASURY

2.000 01/15/2021 5,076,550.00 21,153.85 5,097,703.85 2.513 0.064 9.23 0.794 0.786 AA+AaaAAA

912828C57 5,000,000.00 UNITED STATES TREASURY

2.250 03/31/2021 5,105,850.00 307.38 5,106,157.38 2.497 0.131 9.24 1.000 0.994 AA+AaaAAA

9128284P2 5,000,000.00 UNITED STATES TREASURY

2.625 05/15/2021 5,140,050.00 49,759.62 5,189,809.62 2.491 0.129 9.40 1.123 1.104 AA+AaaAAA

3135G0U35 5,000,000.00 FEDERAL NATIONAL MORTGAGE ASSOCIATION

2.750 06/22/2021 5,143,850.00 37,812.50 5,181,662.50 2.511 0.393 9.38 1.227 1.203 AA+AaaAAA

9128284W7 1,000,000.00 UNITED STATES TREASURY

2.750 08/15/2021 1,035,390.00 3,475.27 1,038,865.27 2.469 0.174 1.88 1.375 1.355 AA+AaaAAA

Total 54,312,371.02 2.008 55,013,921.02 223,253.81 55,237,174.83 2.055 0.168 100.00 0.559 0.552


Walla Walla County | WWPS '18 Bond Liquidity March 31, 2020

Metric Value

Cash and Cash Equivalents 16,312,371.02

Book Yield 0.998



Avg Credit Rating NA


Summary Overview

Account Par Amount Book Value Original Cost Principal Value Net Unrealized Gain (Loss)


Effective Duration

Benchmark

WWCO-WWPS '18 Bond Liquidity 16,312,371.02 16,312,371.02 16,312,371.02 16,312,371.02 0.00 0.00 0.998 0.010 0.010 ICE BofA US 1-Month

Treasury Bill Index

Total 16,312,371.02 16,312,371.02 16,312,371.02 16,312,371.02 0.00 0.00 0.998 0.010 0.010

Strategic Structure



Accrued Book Return



Interest Earned 17,991.98 42,146.50

Book Income 17,991.98 42,146.50



Interest Income

Return Comparisons


Beginning Accrued Interest 0.00 0.00

Coupons Paid 17,991.98 42,146.50



Ending Accrued Interest 0.00 0.00

Interest Earned 17,991.98 42,146.50




Holdings by Security Type

Market Price is rounded to the third decimal

Settlement Date


Maturity Date

Call Date Book Yield

Market Yield

Market Value + Accrued

Net Unrealized Gain (Loss)

% Asset Eff Dur

Pooled Funds

WA_LGIP 16,312,371.02 WASHINGTON LGIP 0.998 0.998 16,312,371.02 0.00 100.000 0.010

Total 16,312,371.02 0.998 16,312,371.02 0.00 100.000 0.010

Portfolio Total 16,312,371.02 0.998 16,312,371.02 0.00 100.000 0.010



Transactions

Cusip Security Trade Date Settlement Date

Coupon Payment Price Principal

AmountAccrued Amount Total Amount Broker

Buy

WA_LGIP WASHINGTON LGIP 03/31/2020 03/31/2020 0.00 1.00 17,991.98 0.00 17,991.98 Direct

Total 0.00 17,991.98 0.00 17,991.98

Sell

WA_LGIP WASHINGTON LGIP 03/02/2020 03/02/2020 0.00 1.00 2,281,496.83 0.00 2,281,496.83 Direct

Total 0.00 2,281,496.83 0.00 2,281,496.83

Interest Income

WA_LGIP WASHINGTON LGIP 03/31/2020 03/31/2020 17,991.98 17,991.98 0.00 17,991.98

Total 17,991.98 17,991.98 0.00 17,991.98

Portfolio Total 17,991.98 2,317,480.79 0.00 2,317,480.79


Walla Walla County | WWPS '18 Bond Investments March 31, 2020

Metric Value

Investments 38,924,803.81

Book Yield 2.509



Avg Credit Rating AA+


Summary Overview

Account Par Amount Book Value Original Cost Principal Value



Effective Duration

Benchmark

WWCO-WWPS '18 Bond Investments 38,000,000.00 38,004,361.47 37,976,758.29 38,701,550.00 697,188.53 223,253.81 2.509 0.798 0.787 ICE BofA 0-1 Year US

Treasury Notes & Bonds

Total 38,000,000.00 38,004,361.47 37,976,758.29 38,701,550.00 697,188.53 223,253.81 2.509 0.798 0.787

Strategic Structure



Accrual Activity Summary

Fair Market Activity Summary

Portfolio Activity


Beginning Book Value 40,001,774.60 46,494,367.44


Purchases 0.00 0.00

Sales 0.00 0.00

Change in Cash, Payables, Receivables 0.00 0.00



Ending Book Value 38,004,361.47 38,004,361.47


Beginning Market Value 40,467,090.00 46,842,510.00


Purchases 0.00 0.00

Sales 0.00 0.00

Change in Cash, Payables, Receivables 0.00 0.00


Change in Net Unrealized Gain (Loss) 231,873.13 349,045.97

Net Realized Gain (Loss) 0.00 0.00

Ending Market Value 38,701,550.00 38,701,550.00

Purchases Market Value

Month to Date 0.00


Maturities/Calls Market Value

Month to Date (2,000,000.00)

Fiscal Year to Date (8,500,000.00)

Sales Market Value

Month to Date 0.00




Fair Market Return

Accrued Book Return



Market Value Change 231,873.13 349,045.97


Interest Earned 82,067.37 244,852.03

Fair Market Earned Income 316,527.37 603,892.03


Fair Market Return for Period 0.78% 1.48%



Interest Earned 82,067.37 244,852.03


Book Income 84,654.24 254,846.06



Interest Income

Return Comparisons


Beginning Accrued Interest 255,873.93 188,089.28

Coupons Paid 114,687.50 209,687.50



Ending Accrued Interest 223,253.81 223,253.81

Interest Earned 82,067.37 244,852.03




Holdings by Security Type

Market Price is rounded to the third decimal

Settlement Date


Maturity Date

Call Date Book Yield

Market Yield

Market Value + Accrued


% Asset Eff Dur

US Treasury02/27/2019 9128282Q2 2,500,000.00 United States 1.500 08/15/2020 2.525 -0.057 2,519,389.01 23,976.72 6.498 0.376

02/27/2019 9128283Q1 5,000,000.00 United States 2.000 01/15/2021 2.513 0.064 5,097,703.85 96,268.89 13.117 0.786

02/27/2019 9128284P2 5,000,000.00 United States 2.625 05/15/2021 2.491 0.129 5,189,809.62 132,823.92 13.281 1.104

02/27/2019 9128284W7 1,000,000.00 United States 2.750 08/15/2021 2.469 0.174 1,038,865.27 31,667.50 2.675 1.355

02/27/2019 912828C57 5,000,000.00 United States 2.250 03/31/2021 2.497 0.131 5,106,157.38 117,792.26 13.193 0.994

02/27/2019 912828PC8 4,000,000.00 United States 2.625 11/15/2020 2.516 0.081 4,103,247.69 60,822.19 10.499 0.617

02/27/2019 912828X96 2,000,000.00 United States 1.500 05/15/2020 2.515 0.124 2,014,773.63 5,795.36 5.177 0.124

02/27/2019 912828XY1 2,000,000.00 United States 2.500 06/30/2020 2.526 0.115 2,024,557.36 12,049.67 5.199 0.250

Total 26,500,000.00 2.507 0.093 27,094,503.81 481,196.51 69.639 0.755

US Agency02/27/2019 313370US5 2,500,000.00 Federal Home Loan Banks 2.875 09/11/2020 2.523 0.257 2,533,043.06 25,221.97 6.535 0.444

02/27/2019 313371U79 4,000,000.00 Federal Home Loan Banks 3.125 12/11/2020 2.517 0.333 4,115,594.44 60,991.29 10.535 0.686

02/27/2019 3135G0U35 5,000,000.00 Federal National Mortgage Association

2.750 06/22/2021 2.511 0.393 5,181,662.50 129,778.76 13.291 1.203

Total 11,500,000.00 2.516 0.343 11,830,300.00 215,992.02 30.361 0.860

Portfolio Total 38,000,000.00 2.509 0.169 38,924,803.81 697,188.53 100.000 0.787



Transactions

Cusip Security Trade Date Settlement Date

Coupon Payment Price Principal

AmountAccrued Amount Total Amount Broker

Maturity

9128284C1 UNITED STATES TREASURY 03/31/2020 03/31/2020 0.00 100.00 2,000,000.00 0.00 2,000,000.00

Total 0.00 2,000,000.00 0.00 2,000,000.00

Coupon

313370US5 FEDERAL HOME LOAN BANKS 03/11/2020 03/11/2020 35,937.50 0.00 0.00 35,937.50

912828C57 UNITED STATES TREASURY 03/31/2020 03/31/2020 56,250.00 0.00 0.00 56,250.00

9128284C1 UNITED STATES TREASURY 03/31/2020 03/31/2020 22,500.00 0.00 0.00 22,500.00

Total 114,687.50 0.00 0.00 114,687.50

Cash Transfer

CCYUSD US DOLLAR 03/11/2020 03/11/2020 0.00 (35,937.50) 0.00 (35,937.50)

CCYUSD US DOLLAR 03/31/2020 03/31/2020 0.00 (2,078,750.00) 0.00 (2,078,750.00)

Total 0.00 (2,114,687.50) 0.00 (2,114,687.50)

Portfolio Total 114,687.50 (114,687.50) 0.00 0.00



Cash Flow Forecasting

One Year Projection

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 custodial bank maintains the control of assets and settles all investment transactions. The custodial 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 custodial bank statement and the GPA report should be reconciled, and differences documented.

Trade Date versus Settlement Date: Many custodial banks use settlement date basis and post coupons or maturities on the following business days when they occur on weekend. These items may result in the need to reconcile due to a timing difference. GPA reports are on a trade date basis in accordance with GIPS performance standards. GPA can provide all account settings to support the reason for any variance.

Bank Deposits and Pooled Investment Funds Held in Liquidity Accounts Away from the Custodial Bank are Referred to as Line Item Securities: GPA relies on the information provided by clients when reporting pool balances, bank balances and other assets that are not held at the client’s custodial bank. GPA does not guarantee the accuracy of information received from third parties. Balances cannot be adjusted once submitted however corrective transactions can be entered as adjustments in the following months activity. Assets held outside the custodial bank that are reported to GPA are included in GPA’s oversight compliance reporting and strategic plan.

Account Control: GPA does not have the authority to withdraw or deposit funds from or to any client’s custodial account. Clients retain responsibility for the deposit and withdrawal of funds to the custodial account. Our clients retain responsibility for their internal accounting policies, implementing and enforcing internal controls and generating ledger entries or otherwise recording transactions.

Custodial Bank Interface: Our contract provides for the ability for GPA to interface into our client’s custodial bank to reconcile transactions, maturities and coupon payments. The GPA client portal will be available to all clients to access this information directly at any time.

Market Price: Generally, GPA has set all securities market pricing to match custodial bank pricing. There may be certain securities that will require pricing override due to inaccurate custodial bank pricing that will otherwise distort portfolio performance returns. GPA may utilize Reuter’s pricing source for commercial paper, discount notes and supranational bonds when custodial bank pricing does not reflect current market levels. The pricing variances are obvious when market yields are distorted from the current market levels.

Amortized Cost: The original cost on 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. Discounts or premiums are amortized on a straight-line basis on all securities. This can be changed at the client’s request.

Callable Securities: Securities subject to redemption in whole or in part prior to the stated final maturity at the discretion of the security’s issuer are referred to as “callable”. Certain call dates may not show up on the report if the call date has passed or if the security is continuously callable until maturity date. Bonds purchased at a premium will be amortized to the next call date while all other callable securities will be amortized to maturity. If the bond is amortized to the call date, amortization will be reflected to that date and once the call date passes, the bond will be fully amortized.

Duration: The duration is the effective duration. Duration on callable securities is based on the probability of the security being called given market rates and security characteristics.

Benchmark Duration: The benchmark duration is based on the duration of the stated benchmark that is assigned to each account.

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: On occasion, coupon payments and maturities occur on a weekend or holiday. GPA’s report settings are on the accrual basis so the coupon postings and maturities will be accounted for in the period earned. The bank may be set at a cash basis, which may result in a reconciliation variance.

Cash and Cash Equivalents: GPA has defined cash and cash equivalents to be cash, bank deposits, LGIP pools and repurchase agreements. This may vary from your custodial bank which typically defines cash and equivalents as all securities that mature under 90 days. Check with your custodial bank to understand their methodology.

Account Settings: GPA has the portfolio settings at the lot level, if a security is sold our setting will remove the lowest cost security first. First-in-first-out (FIFO) settings are available at the client’s request.

Historical Numbers: Data was transferred from GPA’s legacy system, however, variances may exist from the data received due to a change of settings on Clearwater. GPA is utilizing this information for historical return data with the understanding the accrual settings and pricing sources may differ slightly.

Financial Situation: In order to better serve you, GPA should be promptly notified of any material change in your investment objective or financial situation.

No Guarantee: The securities in the 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.

Monthly Investment Report Walla Walla County · slashing rates back to zero, re-instituting their...

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