Report of Independent Auditors

Unaudited Financial Statements With Other Financial Information

West Virginia Board of Treasury Investments Consolidated Fund

For the Month and Fiscal Year to Date Ended November 30, 2019

Fiscal Year is July 1, 2019 through June 30, 2020

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West Virginia Board of Treasury Investments Consolidated Fund

Unaudited Financial Statements with Other Financial Information For the Month and Fiscal Year to Date Ended November 30, 2019

Contents

Unaudited Financial Statements: Unaudited Combining Statement of Fiduciary Net Position ...... 2 Unaudited Combining Statement of Changes in Fiduciary Net Position ...... 4 Notes to Unaudited Financial Statements ...... 9

Schedule of Investments in Securities ...... 18

Other Financial Information: Schedule of Net Asset Values ...... 32 Portfolio Statistics ...... 33 Participant Net Asset Values ...... 34 Glossary of Financial and Investment Terms ...... 35

West Virginia Board of Treasury Investments Consolidated Fund Combining Statement of Fiduciary Net Position -- Unaudited

November 30, 2019

(In Thousands)

WV Government WV Short WV Money Money Market Term Bond Market Pool Pool Pool WV Bank Pool Assets Investments: At amortized cost $ 3,922,968 $ 253,797 $ - $ 71,856 At fair value - - 813,522 - Receivables: Accrued interest 3,465 150 3,979 467 Dividends 269 - 5 - Receivable for investments sold - - - - Other - - - - Total receivables 3,734 150 3,984 467 Total assets 3,926,702 253,947 817,506 72,323

Liabilities Accrued expenses 357 31 108 3 Dividends payable - - 1,823 - Payable for investments purchased - - - - Total liabilities 357 31 1,931 3

Net Position Held in trust for investment pool participants 3,926,345 253,916 815,575 72,320 Held in trust for individual investment account holders - - - - Total net position $ 3,926,345 $ 253,916 $ 815,575 $ 72,320

See accompanying notes to unaudited financial statements.

Economic Development Authority - Ame rican School Fund Woodmark Loan Pool Reserve Pool Account Account Total

$ 120,577 $ 19,735 $ - $ - $ 4,388,933 - - 1,127 1,684 816,333

246 31 - 27 8,365 - - 2 - 276 ------246 31 2 27 8,641 120,823 19,766 1,129 1,711 5,213,907

4 - - - 503 - - - - 1,823 - - - - - 4 - - - 2,326

120,819 19,766 - - 5,208,741 - - 1,129 1,711 2,840 $ 120,819 $ 19,766 $ 1,129 $ 1,711 $ 5,211,581

West Virginia Board of Treasury Investments Consolidated Fund Combining Statement of Changes in Fiduciary Net Position -- Unaudited

For the Periods Ended November 30, 2019

WV Money Market Pool WV Government Money Month of Fiscal Year Month of Fiscal Year November (5 Months) November (5 Months) Additions Investment income: Interest $ 3,113 $ 16,441 $ 165 $ 858 Dividends 269 1,588 - 2 Net (amortization) accretion 3,158 18,975 239 1,455 Provision for uncollectible loans - - - - Total investment income 6,540 37,004 404 2,315

Investment expenses: Investment advisor fees 103 495 8 38 Custodian bank fees 8 50 1 5 Administrative fees 67 334 5 27 Total investment expenses 178 879 14 70

Net investment income 6,362 36,125 390 2,245 Net realized gain (loss) from investments - 1 1 1 Net increase (decrease) in fair value of investments - - - -

Net increase (decrease) in net position from operations 6,362 36,126 391 2,246

Participant transaction additions: Purchase of pool units by participants 834,483 4,918,612 16,490 106,801 Reinvestment of pool distributions 6,362 36,122 391 2,245 Contibutions to individual investment accounts - - - - Total participant transaction additions 840,845 4,954,734 16,881 109,046

Total additions 847,207 4,990,860 17,272 111,292

Deductions Distributions to pool participants: Net investment income 6,362 36,125 390 2,245 Net realized gain (loss) from investments - 1 1 1 Total distributions to pool participants 6,362 36,126 391 2,246

Participant transaction deductions: Redemption of pool units by participants 840,403 4,993,902 35,886 107,289 Withdrawals from individual investment accounts - - - - Total participant transaction deductions 840,403 4,993,902 35,886 107,289

Total deductions 846,765 5,030,028 36,277 109,535

Net increase (decrease) in net position 442 (39,168) (19,005) 1,757

Inter-pool transfers in - 6,700 - - Inter-pool transfers out - (500) - - Net inter-pool transfers in (out) - 6,200 - -

Change in net position 442 (32,968) (19,005) 1,757 Net position at beginning of period 3,925,903 3,959,313 272,921 252,159 Net position at end of period $ 3,926,345 $ 3,926,345 $ 253,916 $ 253,916

See accompanying notes to unaudited financial statements.

WV Short Term Bond Pool WV Bank Pool Loan Pool Month of Fiscal Year Month of Fiscal Year Month of Fiscal Year November (5 Months) November (5 Months) November (5 Months)

$ 1,779 $ 9,160 $ 136 $ 748 $ 243 $ 1,218 12 134 - 4 - 3 (22) 295 ------1,769 9,589 136 752 243 1,221

37 196 - - - - 2 12 - - - - 13 67 1 6 2 10 52 275 1 6 2 10

1,717 9,314 135 746 241 1,211 106 2,052 - - - - (1,477) (847) - - - -

346 10,519 135 746 241 1,211

- 96,058 141 775 - 4,561 2,618 11,361 135 746 241 1,211 ------2,618 107,419 276 1,521 241 5,772

2,964 117,938 411 2,267 482 6,983

1,717 9,314 135 746 241 1,211 106 2,052 - - - - 1,823 11,366 135 746 241 1,211

6,596 28,822 141 775 977 4,355 ------6,596 28,822 141 775 977 4,355

8,419 40,188 276 1,521 1,218 5,566

(5,455) 77,750 135 746 (736) 1,417

- - - 500 - - - - - (6,700) - - - - - (6,200) - -

(5,455) 77,750 135 (5,454) (736) 1,417 821,030 737,825 72,185 77,774 121,555 119,402 $ 815,575 $ 815,575 $ 72,320 $ 72,320 $ 120,819 $ 120,819

West Virginia Board of Treasury Investments Consolidated Fund Combining Statement of Changes in Fiduciary Net Position -- Unaudited (Continued)

For the Periods Ended November 30, 2019

Reserve Pool School Fund Account Month of Fiscal Year Month of Fiscal Year November (5 Months) November (5 Months) Additions Investment income: Interest $ 31 $ 178 $ - $ - Dividends - - 1 10 Net (amortization) accretion - - - - Provision for uncollectible loans - - - - Total investment income 31 178 1 10

Investment expenses: Investment advisor fees - - - - Custodian bank fees - - - - Administrative fees - - - - Total investment expenses - - - -

Net investment income 31 178 1 10 Net realized gain (loss) from investments - - - - Net increase (decrease) in fair value of investments - - - -

Net increase (decrease) in net position from operations 31 178 1 10

Participant transaction additions: Purchase of pool units by participants 35 189 - - Reinvestment of pool distributions 31 178 - - Contibutions to individual investment accounts - - 20 128 Total participant transaction additions 66 367 20 128

Total additions 97 545 21 138

Deductions Distributions to pool participants: Net investment income 31 178 - - Net realized gain (loss) from investments - - - - Total distributions to pool participants 31 178 - -

Participant transaction deductions: Redemption of pool units by participants 35 189 - - Withdrawals from individual investment accounts - - - 436 Total participant transaction deductions 35 189 - 436

Total deductions 66 367 - 436

Net increase (decrease) in net position 31 178 21 (298)

Inter-pool transfers in - - - - Inter-pool transfers out - - - - Net inter-pool transfers in (out) - - - -

Change in net position 31 178 21 (298) Net position at beginning of period 19,735 19,588 1,108 1,427 Net position at end of period $ 19,766 $ 19,766 $ 1,129 $ 1,129

See accompanying notes to unaudited financial statements.

Economic Development Total Month of Fiscal Year Month of Fiscal Year November (5 Months) November (5 Months)

$ 8 $ 38 $ 5,475 $ 28,641 - - 282 1,741 (1) (7) 3,374 20,718 - - - - 7 31 9,131 51,100

- - 148 729 - - 11 67 - - 88 444 - - 247 1,240

7 31 8,884 49,860 - - 107 2,054 (10) (12) (1,487) (859)

(3) 19 7,504 51,055

- - 851,149 5,126,996 - - 9,778 51,863 - - 20 128 - - 860,947 5,178,987

(3) 19 868,451 5,230,042

- - 8,876 49,819 - - 107 2,054 - - 8,983 51,873

- - 884,038 5,135,332 - 44 - 480 - 44 884,038 5,135,812

- 44 893,021 5,187,685

(3) (25) (24,570) 42,357

- - - 7,200 - - - (7,200) - - - -

(3) (25) (24,570) 42,357 1,714 1,736 5,236,151 5,169,224 $ 1,711 $ 1,711 $ 5,211,581 $ 5,211,581

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West Virginia Board of Treasury Investments

Consolidated Fund

Notes to Unaudited Financial Statements

November 30, 2019

1. Organization and Operations

The West Virginia Board of Treasury Investments (the “BTI”) is charged with managing the individual investment pools and accounts of the Consolidated Fund under authority of West Virginia State Code Chapter 12, Article 6C, West Virginia Treasury Investments Act. The West Virginia Legislature established the BTI as a public corporation of the State of West Virginia, to make short-term operating funds of the state more accessible to state government and to allow the West Virginia Investment Management Board (the “IMB”), which had managed the Consolidated Fund, to focus on the state’s long- term trust investments. The Consolidated Fund is the statutory title of the fund that collectively refers to the investment pools and accounts that the BTI manages. The BTI operates on a fiscal year that begins July 1 and ends June 30.

The accompanying financial statements include investment balances and transactions of the individual investment pools and accounts of the Consolidated Fund under management of the BTI. The BTI provides a business-type activity that charges fees on a cost-reimbursement basis. Those operating activities are not included in these financial statements. Only the investment activities of the Consolidated Fund are shown in these fiduciary fund financial statements.

The West Virginia State Treasurer’s Office provides direct administrative and management services to the BTI. The BTI does not employ a staff, but reimburses the Treasurer’s Office for all personnel expenses of Treasury employees assigned to administer and manage the BTI. The Treasurer’s Office also provides various supplementary administrative services. A five-member Board of Directors governs the BTI. The State Governor, State Treasurer, and State Auditor serve as ex officio members of the Board. The Governor appoints the two remaining members subject to the advice and consent of the State Senate. Of the two members appointed by the Governor, one shall be a certified public accountant and one shall be an attorney, and both shall have experience in finance, investing and management. The State Treasurer is Chairman of the Board.

The Consolidated Fund provides for the investment of moneys not currently needed to fund state governmental operations, as well as providing the opportunity for local governments to participate in large investment pools, and for those funds statutorily required to be invested in the Consolidated Fund. The following investment pools and accounts make up the Consolidated Fund:

WV Money Market – This pool consists of the operating funds of the State, funds held by State agencies, and funds from local governments who desire the opportunity to invest with the State. Its purpose is to provide for the investment of all surplus funds and to supply the daily cash needs of the State. The pool is co-managed by Federated Investors and UBS Asset Management.

WV Government Money Market – This pool consists of investors who wish to invest in a pool that restricts its investments to U.S. Government Obligations, U.S. Government Agency Obligations, or repurchase agreements. The pool is managed by UBS Asset Management.

WV Short Term Bond – This pool consists of the operating funds of the State that are not needed immediately to fund the State’s liquidity requirements. The pool is managed Sterling Capital Management.

WV Bank – This pool consists of certificates of deposit purchased by the State through the West Virginia Certificate of Deposit program. Through competitive auction, the program purchases CDs from state banks and depositories to make state investment funds available for consumer and business loans within the state.

Loan – This pool is composed of loans made by the State. Within the Loan Pool is a non-recourse loan made by the West Virginia Economic Development Authority (the “WVEDA”) to the West Virginia Enterprise Advancement Corporation (the “WVEAC”), which in turn invests the funds in the West Virginia Enterprise Capital Fund, LLC (the “WVECF”), which then invests the money in venture capital funds. The WVEAC is a non-profit corporation that has a common board of directors with the WVEDA. The non- recourse loan program was authorized pursuant to WV Code §12-6-9, which requires the BTI to transfer up to $25,000,000 in State funds to the WVEDA. The funds transferred by the BTI are to be repaid with proceeds received by the WVEDA from the WVEAC, which will make repayment to the WVEDA from the proceeds it receives from the WVECF. The Loan Pool is restricted by statute to receiving 3% earnings on the funds transferred to the WVEDA. Although the non-recourse loan made by the WVEDA may earn an excess of 3%, only 3% will be given to the Loan Pool, and the WVEDA will retain the rest. The BTI is not responsible for exercising any discretion over or making any decisions in regard to the lending, investing and repayment activities of the non-recourse loan program, or for any other loans in the Loan Pool. The WVEDA provides all bookkeeping and accounting records of the non-recourse loan program. The BTI’s role is to transfer the funds to the WVEDA when requested and to maintain an accounting for the loans within the Loan Pool based on information provided by the WVEDA. In the 2017 legislative session, the West Virginia State Legislature established a program to provide loan guarantees for borrowings related to projects for the expansion of broadband services to unserved and underserved areas of West Virginia. Under the program, the BTI, subject to a liquidity determination and cash availability, shall make available to the WVEDA, from the Consolidated Fund, in the form of a nonrecourse revolving loan, $50 million, for the purpose of insuring the payment or repayment of any debt instrument entered into by an entity for purposes of expanding broadband services to unserved and underserved areas of the state. The nonrecourse revolving loan is payable by the WVEDA solely from moneys received in respect to the insured debt instruments.

Reserve – This pool is composed of an interest-bearing depository account with United Bank. The pool was created to provide an added layer of security for the WV Money Market and WV Government Money Market Pools. The objective of this pool is to provide support for the WV Money Market and WV Government Money Market Pools to ensure their unit net position does not fall below $0.9985. The State is the sole participant in this pool. Other funds are transferred to this pool as management deems necessary.

Participant Directed Accounts – The BTI also maintains pools for individual State agencies with specific investment needs. These pools are collectively referred to as Participant Directed Accounts, and include the following: School Fund and Economic Development Authority – American Woodmark (“EDA – AW”). Each agency is the sole owner of the investments in its pool and is responsible for the investment decisions in accordance with the legal restrictions applicable to those assets. The BTI serves as custodian of these pools and has no discretion over investment and financial decisions made for them.

The BTI is authorized by West Virginia Code Chapter 12, Article 6C, Section 9, to invest in United States government and agency obligations, commercial paper, corporate bonds, repurchase agreements, asset- backed securities, and investments in accordance with the Linked Deposit Program, which is a program using financial institutions in the state to reduce loan costs to small businesses by offsetting interest reductions on the loans with certificates of deposit, loans approved by the Legislature, and any other programs authorized by the Legislature. In addition to the restrictions in investment types, at no time shall more than seventy-five percent of the Consolidated Fund be invested in any bond, note, debenture, commercial paper or other evidence of indebtedness of any private corporation or association and at no

time shall more than five percent be invested in securities issued by a single private corporation or association. Further, no less than fifteen percent of the Consolidated Fund shall be invested in any direct obligation of or obligation guaranteed by the United States government.

2. Significant Accounting Policies

Basis of Accounting

The financial statements of the BTI are reported using the economic resources measurement focus and the accrual basis of accounting in conformity with accounting principles generally accepted in the United States of America. Under this method of accounting, revenues are recorded when earned and expenses are recorded when a liability is incurred, regardless of the timing of related cash flows.

An investment trust fund, which is a type of fiduciary fund, is used to account for each of the investment pools and accounts of the Consolidated Fund. The Consolidated Fund is composed of three external investment pools (WV Money Market, WV Government Money Market, and WV Short Term Bond), three internal investment pools (WV Bank, Loans, and Reserve) and two individual investment accounts (School Fund and Economic Development Authority – American Woodmark).

Cash Equivalents

Cash equivalents are short-term investments with maturities when acquired of 90 days or less.

Investment Carrying Value

The BTI is an investment vehicle of the State, its component units, and local governments, all of which are government entities. The investments of the WV Money Market, WV Government Money Market, WV Bank, Loan, and Reserve pools or accounts are carried at amortized cost, as permissible under Governmental Accounting Standards Board (“GASB”) Statement No. 31, as amended by GASB Statement Nos. 72 and 79. The WV Money Market and WV Government Money Market pools measure all investments at amortized cost for financial reporting purposes in accordance with criteria established in GASB Statement No. 79. The criteria specify that the pools must transact with their participants at a stable net asset value per share and meet requirements for portfolio maturity, portfolio quality, portfolio diversification, portfolio liquidity, and shadow pricing. The BTI does not place any limitations or restrictions on participant withdrawals from the WV Money Market and WV Government Money Market pools, such as redemption notice periods, maximum transaction amounts, and any authority to impose liquidity fees or redemption gates.

The specific exceptions to fair value reporting for the other pools and accounts referred to above are defined in professional standards as follows. The WV Bank Pool contains nonnegotiable certificates of deposit, which are nonparticipating interest-earning investment contracts. The Loan Pool contains loans receivable arising from lending activities of economic development authorities. The Reserve Pool contains a bank depository account that has no market.

The investments of the remaining pools and participant accounts are reported at fair value, which is determined by third party pricing services based on asset portfolio pricing models and other sources. The BTI measures fair value at the end of each month. See Note 4 for a discussion and summary of the measurement of the fair values. Investments in commingled investment pools are valued at the reported unit values of the individual funds. Commissions on the purchases of securities by the BTI are a component of the security price quoted by the seller and are included in the investment cost.

Repurchase Agreements

The BTI uses only tri-party repurchase agreements. Under the terms of a tri-party repurchase agreement, the seller transfers collateral securities to an account of the BTI’s manager/agent at the seller’s custodian bank. This arrangement perfects the BTI’s lien on the collateral and effectively protects the BTI from a default by the seller. The BTI requires sellers in repurchase transactions to pledge collateral of at least 102% of the cash borrowed from the BTI. If the seller defaults and the fair value of the collateral declines, realization of the collateral by the BTI may be delayed or limited.

Asset-backed Securities

Certain pools invest in various asset-backed securities and structured corporate debt. The securities are reported at fair value. The pools invest in these securities to enhance yields on investments. Changes in market interest rates affect the cash flows of these securities and may result in changes in fair value. The overall return or yield on these securities depends on the changes in the interest and principal payment pattern and market value of the underlying assets.

Investment Transactions

Investment transactions are accounted for on a trade date basis.

Investment Gains and Losses

Gains and losses on the sale of investment securities are recognized at the time of sale by the average cost method. The calculation of realized gains and losses is independent of the calculation of the net increase in the fair value of investments. Realized gains and losses on investments held in more than one fiscal year and sold in the current year may have been recognized as an increase or decrease in the fair value of investments reported in the prior year.

Interest Income

Interest income is recognized as earned on the accrual method with one exception. The cost recovery method of income recognition is used for the interest on the WVEDA Non-Recourse Loan held by the Loan Pool. Under this method, interest income will only be recognized once the principal balance of the loan has been recovered.

Dividend Income

Dividend income is recognized on the ex-dividend date.

Amortization

Discounts and premiums on securities purchased are amortized over the life of the respective securities using the scientific method of amortization. This method maintains a constant book yield over the life of the security. The amortization of asset-backed securities considers the effect of prepayments on the life of the security. Historical prepayment speeds are obtained from market data vendors and are updated annually. The effect of changing prepayment assumptions is reported in the Combined Statement of Changes in Fiduciary Net Position in the year of the change.

Allowance for Loan Losses

The allowance for loan losses is available to absorb future loan losses. The allowance is increased by provisions charged against operations and reduced by charge-offs (losses), net of recoveries. The provision is based on several factors including: analytical reviews of loan loss experience in relationship to outstanding loans; a continuing review of problem loans and overall portfolio quality, including analysis of the quality of the underlying collateral; and management’s judgment on the impact of current and expected economic conditions on the portfolio. At November 30, 2019, the Loan Pool had an allowance for uncollectible loans of $23,968,000.

Distributions to Participants

The net income of the WV Money Market and WV Government Money Market Pools are declared as dividends and distributed daily to the participants based upon their pro rata participation in the pools. The distributions of net investment income are credited to the participants’ accounts in the form of dividend reinvestments in the pool and have been included in distributions to participants and reinvestment of distributions as presented on the Statement of Changes in Fiduciary Net Position.

The monthly net income of the WV Short Term Bond Pool is declared as a dividend on the last day of the month and distributed to the participants in the pool on the first day of the following month. Distributions are paid in the form of reinvestments in the pools and have been included in distributions to participants and reinvestment of distributions as presented on the Statement of Changes in Fiduciary Net Position.

The net income of the WV Bank Pool is determined monthly and reinvested in the pool. The earnings are transferred periodically to the State Participation Account which represents invested cash of the state not specifically allocated to individual agencies.

The net income of the Loan Pool is determined monthly and distributed to the participant on the last day of the month. Distributions are paid in the form of reinvestments in the pool and have been included in distributions to participants and reinvestment of distributions as presented on the Statement of Changes in Fiduciary Net Position.

The net income of the Reserve Pool is declared as a dividend and distributed on the last day of the month. If the pool incurs a loss resulting in negative income, the loss will be distributed on the last day of the month.

Expenses

Each pool is charged for its direct investment-related cost and for its allocated share of other expenses. The other expenses are allocated to the pools based on asset size. Certain pools cannot be charged expenses or must be charged a reduced expense. The BTI proprietary fund pays all expenses on behalf of the pools and is subsequently reimbursed by the pools.

3. Investments

The BTI has adopted an investment policy in accordance with the “Uniform Prudent Investor Act.” The “prudent investor rule” guides those with responsibility for investing the money for others. Such fiduciaries must act as a prudent person would be expected to act, with discretion and intelligence, to seek reasonable income, preserve capital, and, in general, avoid speculative investments. The BTI’s investment policy is to invest assets in a manner that strives for maximum safety, provides adequate liquidity to meet all operating requirements, and achieves the highest possible investment return consistent with the primary objectives of safety and liquidity. The BTI recognizes that risk, volatility, and the possibility of loss in purchasing power are present to some degree in all types of investments. Due to the short-term nature of the Consolidated Fund, the BTI believes that it is imperative to review and adjust the investment policy in reaction to interest

rate market fluctuations/trends on a regular basis and has adopted a formal review schedule. Investment policies have been established for each investment pool and account of the Consolidated Fund. Two of the BTI’s pools, the WV Money Market and WV Government Money Market Pools, have been rated AAAm by Standard & Poor’s. A fund rated “AAAm” has extremely strong capacity to maintain principal stability and to limit exposure to principal losses due to credit, market, and/or liquidity risks. “AAAm” is the highest principal stability fund rating assigned by Standard & Poor’s. Neither the BTI itself nor any of the other Consolidated Fund pools or accounts has been rated for credit risk by any organization.

4. Investments Measured at Fair Value

The BTI measures the WV Short Term Bond Pool, the Municipal Bond Commission Account, the School Fund Account and the EDA-AW Account at fair value for financial reporting purposes. GASB Statement No. 72 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value is a market-based measurement, not an entity-specific measurement. The BTI categorizes fair value measurements within the fair value hierarchy established by accounting principles generally accepted in the Unites States of America in accordance with GASB Statement No. 72.

The fair value hierarchy established under GASB Statement No. 72 categorizes the inputs to valuation techniques used to measure fair value into three levels as follows:

Level 1 inputs – Quoted prices (unadjusted) for identical assets or liabilities in active markets that a government can access at the measurement date.

Level 2 inputs – Inputs – other than quoted prices included within Level 1 – that are observable for an asset or liability, either directly or indirectly.

Level 3 inputs – Unobservable inputs for an asset or liability.

The fair value hierarchy gives the highest priority to Level 1 inputs and the lowest priority to Level 3 inputs.

The table below summarizes the recurring fair value measurements of the investment securities in the WV Short Term Bond Pool in accordance with GASB Statement No. 72 fair value hierarchy levels as of November 30, 2019 (in thousands).

Investment Type Level 1 Level 2 Level 3 Total U.S. Treasury Notes $ 127,775 $ - $ - $ 127,775 U.S. agency collateralized mortgage obligations - 62,204 - 62,204 Corporate fixed-rate bonds and notes - 406,608 - 406,608 Corporate floating-rate bonds and notes - 14,042 - 14,042 Collateralized mortgage obligations - 4,486 - 4,486 Commercial mortgage backed sec - 217 217 Municipal Securities - 42,679 42,679 Asset-backed securities - 153,375 - 153,375 Money market funds 2,136 - - 2,136 $ 129,911 $ 683,611 $ - $ 813,522

The valuation methodologies and inputs presented below are used in the fair value measurements for investments in securities in the WV Short Term Bond Pool classified as Level 2 in the preceding table.

U.S. Agency Collateralized Mortgage Obligations

Level 2 U.S. agency collateralized mortgage obligations are evaluated using predicted cash flows, adjusted by an applicable spread/yield/price adjustment incorporating benchmark yields, collateral performance, and prevailing market conditions.

Corporate Fixed-Rate Bonds and Notes

Level 2 corporate fixed rate bonds and notes are priced using spread, yield and price based evaluations. For spread- and yield-based evaluations, a bullet (non-call) spread scale is created for relevant maturities for each issuer. The spreads are based on the new issue market, secondary trading and dealer quotes. For price-based evaluations, evaluators use recently executed transactions of similar securities and dealer quotes to arrive at appropriate pricing.

Corporate Floating-Rate Bonds and Notes

Level 2 corporate floating-rate bonds and notes are evaluated by calculating current and future coupons, then discounting each cash flow by an appropriate discount margin. A basic yield scale covering a range of quality ratings and maturities is established for the corresponding indices. The yield scale consists of discount margins obtained from primary and secondary dealers in the new issue market. Final yields are calculated by the adding the appropriate discount margin to each forward rate plus special adjustments to capture issue-specific characteristics, as applicable. The resulting yields are then used to discount each cash flow.

Collateralized Mortgage Obligations

Level 2 collateralized mortgage obligations are evaluated using predicted cash flows, adjusted by an applicable spread/yield/price adjustment incorporating benchmark yields, collateral performance, and prevailing market conditions.

Commercial Mortgage-Backed Securities

Level 2 commercial mortgage-backed securities are evaluated using predicted cash flows, adjusted by an applicable spread/yield/price adjustment incorporating benchmark yields, collateral performance, third- party real estate analysis, and prevailing market conditions.

Asset-Backed Securities

Level 2 asset-backed securities are evaluated using predicted cash flows, adjusted by an applicable spread/yield/price adjustment incorporating benchmark yields, collateral performance, and prevailing market conditions.

The School Fund Account holds a money market fund reported at a fair value of $1,127,000 using Level 1 inputs.

The EDA-AW Account holds a U.S. Treasury bond reported at a fair value of $1,683,000 using Level 1 inputs.

5. Related Party Transactions

Intergovernmental Investments

The BTI is required by law to enter into certain investment transactions with other state entities. At November 30, 2019, the BTI’s intergovernmental investments, which are assets of the Loan Pool, included the following:

a. The “WVEDA Revolving Loan” is an obligation of the West Virginia Economic Development Authority (WVEDA). The terms of the loan program require the BTI to make available on a revolving basis up to $175,000,000 for the WVEDA to use to fund economic development initiatives. The interest rate is reset on July 1 of each year and is based on the twelve month return of the WV Money Market Pool. The rate for the year ending June 30, 2020, is 2.46%. The rate has a 1% annual adjustment cap. The WVEDA makes monthly principal and interest payments calculated on a 120-month amortization of the outstanding balance. At November 30, 2019, the outstanding balance was $118,733,000.

b. The “WVEDA Non-recourse Loan” represents an obligation of the WVEDA. The BTI assumed the loan as of July 8, 2005. The loan was originally entered into with the West Virginia Investment Management Board on April 9, 2002. The terms of the loan allow for the WVEDA to borrow up to $25,000,000 from the BTI through June 29, 2012. As of March 2010, the WVEDA had borrowed the maximum amount. The funds borrowed by the WVEDA are to be loaned, without recourse, to the West Virginia Enterprise Advancement Corporation (WVEAC), for investment in the West Virginia Enterprise Capital Fund, to fund certain venture capital initiatives. The loan earns interest at 3%, which is fixed for the term of the loan. The WVEDA is required to make annual principal payments of $10,000 plus accrued interest for the first ten years. However, in the event the WVEDA has not received any returns from the investment with the WVEAC, these payments may be deferred through June 30, 2012. Beginning June 30, 2013, the WVEDA was expected to make principal and interest payments sufficient to repay all outstanding principal and accrued interest in full by June 30, 2022. On June 24, 2013, the BTI was notified by the WVEDA that the WVEDA had not received monetary returns from its venture capital investments and therefore would be unable to make the scheduled payment on June 30, 2013. At November 30, 2019, $24,326,000 of principal was outstanding.

Because of the uncertain collectability of this loan, the BTI has elected to recognize income on a cost recovery basis. Any payments received will be applied to reduce the outstanding principal balances until that balance is fully recovered. Any amounts received after recovery of the principal balance will be recognized as interest income when received. Additionally, a valuation reserve of $23,968,000 has been accrued at November 30, 2019.

c. The “WVEDA Broadband Loan” represents an obligation of the WVEDA. During its 2017 regular legislative session, the West Virginia State Legislature passed House Bill 3093 (“HB 3093”). The purpose of HB 3093 was to provide for the enhancement and expansion of broadband internet services throughout the state. Under provisions of the bill, effective July 7, 2017, the BTI is required to make available to the WVEDA, from the Consolidated Fund, up to $50 million to insure the payment or repayment of any debt entered into by an entity for purposes of expanding broadband services to unserved and underserved areas of the state. The loan is structured as a non- recourse, revolving loan that is payable by the WVEDA solely from moneys received in respect to the insured debt instruments. The WVEDA may not insure more than $10 million per entity in one calendar year. The loan has a variable rate equal to the 12-month average yield on the WV Money Market Pool. The rate resets quarterly and the maximum annual adjustment may not exceed 1.00%. For the quarter ending December 31, 2019, the annualized rate is 2.44%. The WVEDA is required to make quarterly payments to pay all accrued interest on a loan for the prior quarter. On a quarterly basis, the WVEDA determines the outstanding balance of the insured debt covered by the loan and

adjusts the outstanding balance of the loan to equal the outstanding balance of the insured debt. At November 30, 2019, the outstanding balance was $1,480,000.

As of November 30, 2019, the WVEDA has provided the BTI with a Notice of Intent to Request Advance (the “Notice”) indicating that the WVEDA is providing insurance, in the amount of $10 million, to insure a broadband expansion loan. The WVEDA does not intend to draw the funds for the loan insurance until there is an event of default on the insured loan. As of November 30, 2019, the insured loan is in good standing and the likelihood of default appears remote.

17 West Virginia Board of Treasury Investments Schedule of Investments in Securities November 30, 2019 (In thousands)

WEST VIRGINIA MONEY MARKET POOL

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

U.S. Treasury Notes United States Treasury 1.125 % 1.981 % 12/31/2019 12,000 $ 11,992 $ 11,994 United States Treasury 1.250 2.114 02/29/2020 9,000 8,981 8,989

Total U. S. Treasury Notes 0.5% 20,973 20,983

U.S. Treasury Bills United States Treasury Bill 0.000 1.556 12/03/2019 75,000 74,997 74,997 United States Treasury Bill 0.000 1.836 12/05/2019 10,000 9,998 9,999 United States Treasury Bill 0.000 1.707 12/10/2019 20,000 19,993 19,993 United States Treasury Bill 0.000 2.075 12/26/2019 33,000 32,955 32,966 United States Treasury Bill 0.000 2.118 01/02/2020 20,000 19,964 19,973 United States Treasury Bill 0.000 2.090 01/30/2020 20,000 19,933 19,947

Total U. S. Treasury Bills 4.5% 177,840 177,875

Commercial Paper BNP Paribas 0.000 1.551 12/02/2019 34,000 34,000 34,000 Rabobank Nederland 0.000 1.572 12/02/2019 30,000 30,000 30,000 Natixis NY Branch 0.000 1.551 12/02/2019 30,000 30,000 30,000 Fairway Finance Corporation 0.000 2.186 12/02/2019 15,000 15,000 14,999 Barton Capital Corporation 0.000 2.151 12/03/2019 10,000 9,999 9,999 CNPC Finance HK LTD 0.000 1.978 12/04/2019 15,000 14,998 14,998 Jupiter Securitization Company LLC 0.000 1.673 12/04/2019 20,000 19,998 19,998 Sumitomo Mitsui Trust Bank 0.000 2.140 12/04/2019 20,000 19,998 19,998 Cancara Asset Sec LLC 0.000 2.033 12/05/2019 5,400 5,399 5,399 Liberty Street Funding LLC 0.000 2.185 12/05/2019 13,000 12,998 12,998 Bedford Row Funding 0.000 2.275 12/06/2019 9,000 8,998 8,998 CNPC Finance HK LTD 0.000 1.978 12/06/2019 35,000 34,992 34,992 Federation Des Caisses 0.000 1.602 12/06/2019 20,000 19,996 19,996 Sheffield Receivables 0.000 2.172 12/06/2019 20,000 19,995 19,995 Skandivaniska Enskilda Bank 0.000 2.133 12/06/2019 25,000 24,994 24,993 Oversea-Chinese Bank 2.142 F 2.150 12/06/2019 15,000 15,000 14,999 Starbird Funding Corp 0.000 2.151 12/10/2019 12,000 11,994 11,994 UnitedHealth Group Inc 0.000 2.075 12/10/2019 30,000 29,986 29,986 DBS Bank LTD 0.000 2.339 12/11/2019 7,000 6,996 6,996 Gotham Funding Corporation 0.000 2.087 12/11/2019 22,000 21,989 21,989 Gotham Funding Corporation 0.000 2.211 12/12/2019 20,000 19,988 19,988 Manhattan Asset Funding 0.000 2.141 12/13/2019 35,000 34,977 34,977 Albion Capital Corporation 0.000 1.948 12/16/2019 40,000 39,970 39,970 Citigroup Global Markets 0.000 2.653 12/16/2019 7,000 6,993 6,993 DNB Nor Bank ASA 1.863 F 1.865 12/16/2019 12,000 12,000 12,000 Sumitomo Mitsui Trust Bank 0.000 2.162 12/17/2019 15,000 14,987 14,987 CAFCO LLC 0.000 1.758 12/18/2019 40,000 39,969 39,969 Manhattan Asset Funding 0.000 1.736 12/18/2019 10,000 9,992 9,992 Nestle Capital Corporation 0.000 2.646 12/23/2019 3,000 2,995 2,995 Natixis NY Branch 0.000 2.126 12/30/2019 11,000 10,982 10,982 Barton Capital Corporation 0.000 1.841 01/03/2020 20,000 19,968 19,968 Chariot Funding LLC 0.000 2.069 01/06/2020 10,000 9,980 9,980 Victory Receivables Corporation 0.000 1.830 01/07/2020 20,000 19,964 19,964 Sheffield Receivables 0.000 2.134 01/08/2020 20,000 19,957 19,957 United Overseas Bank 0.000 2.038 01/08/2020 20,000 19,959 19,965

F – Floating rate note security. * Fair value is determined by a third party pricing service and reported in accordance with GASB 72. Fair value is not determined for loans. Their reported fair value equals amortized cost. ** Rate represents last business day of the month.

See accompanying notes to financial statements.

18 West Virginia Board of Treasury Investments Schedule of Investments in Securities November 30, 2019 (In thousands)

WEST VIRGINIA MONEY MARKET POOL (Continued)

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

Antalis SA 0.000 2.069 01/09/2020 22,500 22,452 22,452 Collateralized Co LLC 0.000 2.666 01/10/2020 10,000 9,972 9,972 Charta LLC 0.000 1.800 01/10/2020 9,000 8,983 8,983 LMA Americas LLC 0.000 2.039 01/10/2020 20,000 19,957 19,957 Gotham Funding Corporation 0.000 1.830 01/13/2020 20,000 19,958 19,958 Victory Receivables Corporation 0.000 1.831 01/13/2020 19,500 19,459 19,459 Bedford Row Funding 2.161 F 2.167 01/13/2020 8,000 8,000 8,000 Chariot Funding LLC 0.000 2.093 01/14/2020 36,800 36,709 36,709 Antalis SA 0.000 1.986 01/15/2020 20,000 19,952 19,952 United Overseas Bank 0.000 2.113 01/15/2020 10,000 9,975 9,979 DNB Nor Bank ASA 0.000 2.035 01/16/2020 10,000 9,975 9,975 Coca-Cola Company 0.000 2.633 01/17/2020 29,000 28,904 28,904 Albion Capital Corporation 0.000 2.018 01/21/2020 20,000 19,945 19,945 Manhattan Asset Funding 0.000 1.987 01/22/2020 15,000 14,958 14,958 United Overseas Bank 0.000 1.977 01/22/2020 5,000 4,986 4,988 Thunder Bay Funding 0.000 2.134 01/22/2020 13,000 12,961 12,966 Alpine Sec LLC 0.000 2.196 01/23/2020 25,000 24,922 24,922 Chariot Funding LLC 0.000 2.922 01/27/2020 5,000 4,978 4,978 United Overseas Bank 0.000 2.165 01/29/2020 9,300 9,268 9,274 Collateralized Co LLC 0.000 2.145 02/03/2020 7,000 6,974 6,976 Antalis SA 0.000 1.915 02/03/2020 8,000 7,974 7,973 DBS Bank LTD 0.000 2.194 02/03/2020 3,500 3,487 3,489 Starbird Funding Group 0.000 1.905 02/03/2020 8,000 7,974 7,973 Versailles 0.000 2.062 02/03/2020 10,000 9,965 9,966 Fairway Finance Corporation 1.867 F 1.955 02/03/2020 4,000 4,000 4,001 Liberty Street Funding LLC 0.000 2.073 02/04/2020 15,000 14,946 14,949 Nieuw Amsterdam Receivables 0.000 2.078 02/04/2020 7,000 6,975 6,976 CAFCO LLC 0.000 2.090 02/05/2020 15,000 14,944 14,951 Manhattan Asset Funding 1.850 F 1.830 02/06/2020 5,000 5,000 5,000 LMA Americas LLC 0.000 2.162 02/07/2020 21,600 21,515 21,525 Thunder Bay Funding 1.800 F 1.800 02/07/2020 25,000 25,000 25,000 Old Line Funding Corporation 0.000 2.090 02/10/2020 10,000 9,960 9,964 Collateralized Co LLC 0.000 2.173 02/10/2020 15,000 14,938 14,945 Westpac Banking Corporation 1.850 F 1.850 02/10/2020 12,500 12,500 12,502 ASB Finance LTD 1.875 F 1.918 02/10/2020 12,000 12,000 12,004 Versailles 1.855 F 1.898 02/10/2020 10,000 10,000 10,000 DNB Nor Bank ASA 0.000 2.026 02/13/2020 20,000 19,919 19,925 Sheffield Receivables 0.000 2.198 02/13/2020 15,000 14,934 14,942 Old Line Funding Corporation 0.000 2.049 02/14/2020 12,000 11,950 11,955 Versailles 0.000 1.936 02/14/2020 25,000 24,902 24,900 Westpac Banking Corporation 1.830 F 1.830 02/14/2020 10,000 10,000 10,001 Crown Point Capital Company 2.080 2.080 02/18/2020 25,000 25,000 25,000 Alpine Sec LLC 0.000 2.063 02/18/2020 10,000 9,956 9,957 Kells Funding LLC 0.000 2.049 02/18/2020 6,000 5,974 5,975 Toyota Motor Credit Corporation 1.912 F 1.919 02/18/2020 25,000 25,000 25,010 CRC Funding LLC 0.000 2.038 02/21/2020 25,000 24,887 24,892 Kells Funding LLC 0.000 2.049 02/21/2020 10,000 9,955 9,957 Sumitomo Mitsui Trust Bank 0.000 1.996 02/25/2020 25,000 24,884 24,886 Sumitomo Mitsui Trust Bank 0.000 1.980 02/28/2020 5,000 4,976 4,976 Old Line Funding Corporation 1.800 F 1.800 02/28/2020 15,000 15,000 15,000 Atlantic Asset Securities Corporation 0.000 1.896 03/02/2020 20,000 19,906 19,902 Kells Funding LLC 0.000 2.069 03/02/2020 10,000 9,949 9,951 Versailles 0.000 1.936 03/04/2020 15,000 14,926 14,924 Atlantic Asset Securities Corporation 0.000 2.045 03/05/2020 12,000 11,937 11,939 Thunder Bay Funding 0.000 2.058 03/05/2020 18,000 17,905 17,915 Royal Bank of Canada 1.864 F 1.934 03/05/2020 5,000 5,000 5,001

See accompanying notes to financial statements.

19 West Virginia Board of Treasury Investments Schedule of Investments in Securities November 30, 2019 (In thousands)

WEST VIRGINIA MONEY MARKET POOL (Continued)

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

Citigroup Global Markets 0.000 1.994 03/09/2020 6,000 5,968 5,971 Collateralized Co LLC 0.000 2.077 03/12/2020 3,000 2,983 2,984 Jupiter Securitization Company LLC 0.000 2.741 03/13/2020 22,500 22,329 22,377 Bedford Row Funding 1.923 F 1.919 03/13/2020 1,000 1,000 1,000 Jupiter Securitization Company LLC 0.000 2.741 03/16/2020 4,000 3,969 3,978 Alpine Securitization 1.940 1.940 03/17/2020 35,000 35,000 35,000 Starbird Funding Group 0.000 1.918 03/17/2020 25,000 24,862 24,858 Anglesea Funding LLC 1.974 F 1.982 03/18/2020 12,500 12,500 12,506 National Australia Bank 0.000 2.689 03/19/2020 30,000 29,763 29,831 Ridgefield Funding Company LLC 0.000 1.939 03/20/2020 25,000 24,856 24,850 Thunder Bay Funding 0.000 2.069 04/06/2020 25,000 24,823 24,850 Old Line Funding Corporation 0.000 2.038 04/09/2020 15,000 14,893 14,900 Royal Bank of Canada 1.830 F 1.830 04/09/2020 15,000 15,000 15,000 Citigroup Global Markets 0.000 2.007 04/15/2020 7,000 6,948 6,952 ING (US) Funding LLC 0.000 1.934 04/17/2020 10,000 9,928 9,928 Old Line Funding Corporation 0.000 2.007 04/20/2020 10,000 9,924 9,928 Old Line Funding Corporation 1.941 F 1.947 04/29/2020 12,500 12,500 12,500 DBS Bank LTD 0.000 1.935 05/01/2020 20,000 19,841 19,839 JP Morgan Securities 1.949 F 2.021 05/01/2020 5,000 5,000 5,001 DBS Bank LTD 0.000 1.904 05/07/2020 20,000 19,838 19,833 Credit Industriel 1.954 F 1.944 05/07/2020 9,000 9,000 9,000 National Bank of Canada 1.900 F 1.960 05/07/2020 9,000 9,000 9,000 Canadian Imperial Bank 1.940 F 1.967 05/07/2020 9,000 8,999 9,001 Old Line Funding Corporation 2.018 F 2.018 05/11/2020 5,000 5,000 5,000 LMA Americas LLC 0.000 1.945 05/14/2020 8,000 7,931 7,930 LMA Americas LLC 0.000 1.914 05/15/2020 8,000 7,931 7,930 Citigroup Global Markets 0.000 2.051 05/26/2020 7,000 6,931 6,934 Bedford Row Funding 1.922 F 1.899 05/27/2020 7,000 7,000 7,000 European Investment Bank 0.000 1.979 05/29/2020 5,000 4,952 4,952 Thunder Bay Funding 1.890 F 1.890 06/02/2020 5,000 5,000 5,000 Toronto Dominion Bank 1.820 F 1.820 06/18/2020 20,000 20,000 20,000 Federation Des Caisses 2.239 F 2.264 06/23/2020 5,000 4,999 5,001 Citigroup Global Markets 0.000 1.936 07/01/2020 10,000 9,889 9,889 ING US Finding 1.979 F 2.051 07/01/2020 10,000 10,000 10,002 Collateralized Co LLC 2.009 F 2.085 07/02/2020 10,000 10,000 10,003 ING US Finding 2.039 F 2.115 07/02/2020 10,000 10,000 10,005 Royal Bank of Canada 1.944 F 2.014 08/05/2020 10,000 10,000 9,999 Oversea-Chinese Bank 2.024 F 2.028 08/06/2020 7,000 7,000 7,001 Toronto Dominion Bank 2.270 F 2.233 10/05/2020 10,000 10,000 10,005 Bedford Row Funding 0.000 1.954 10/09/2020 5,000 4,918 4,919

Bedford Row Funding 2.059 F 2.084 10/23/2020 10,000 10,000 10,002 Canadian Imperial Bank 2.034 F 2.042 11/04/2020 10,000 10,000 10,000 Bank of Nova Scotia 2.034 F 2.031 11/09/2020 10,000 10,000 10,000 Bedford Row Funding 2.029 F 2.031 11/13/2020 10,000 10,000 10,000 Toronto Dominion Bank 2.049 F 2.041 11/13/2020 15,000 15,000 15,000

Total Commercial Paper 50.9% 1,996,912 1,997,206

Negotiable Certificates of Deposit Bank of Montreal 1.580 1.580 12/03/2019 16,700 16,700 16,700 Norinchukin Bank NY 1.580 1.580 12/06/2019 25,000 25,000 25,000 China Construction Bank Corporation 1.590 1.590 12/06/2019 40,000 40,000 40,000 Skandivaniska Enskilda Bank 2.320 2.320 12/09/2019 5,000 5,000 5,000 Canadian Imperial Bank 2.185 F 2.185 01/03/2020 10,000 10,000 10,004 Toronto Dominion Bank 2.100 2.100 01/06/2020 20,000 20,000 20,008

See accompanying notes to financial statements.

20 West Virginia Board of Treasury Investments Schedule of Investments in Securities November 30, 2019 (In thousands)

WEST VIRGINIA MONEY MARKET POOL (Continued)

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

Svenska Handelsbanken NY 2.141 F 2.126 01/14/2020 8,000 8,000 8,002 Mitsubishi UFJ Trust & Bank 1.888 F 1.888 01/24/2020 10,000 10,000 10,003 Svenska Handelsbanken NY 1.986 F 1.975 01/27/2020 8,000 8,000 8,001 Sumitomo Mitsui Bank NY 1.880 F 1.879 01/27/2020 22,000 22,000 22,006 Landesbank Hessen 2.200 1.900 01/27/2020 25,000 25,011 25,023 Sumitomo Mitsui Trust Bank 1.881 F 1.892 01/29/2020 14,000 14,000 14,004 Bank of Nova Scotia 1.901 F 1.901 02/06/2020 15,000 15,000 15,003 Canadian Imperial Bank 1.901 F 1.901 02/06/2020 10,000 10,000 10,003 MUFG Bank LTD/NY 2.050 2.050 02/18/2020 29,000 29,000 29,011 Oversea-Chinese Bank 1.842 F 1.842 02/21/2020 17,000 17,000 17,004 MUFG Bank LTD/NY 2.030 2.030 02/24/2020 15,000 15,000 15,000 MUFG Bank LTD/NY 2.020 2.020 02/27/2020 10,000 10,000 10,003 Sumitomo Mitsui Bank NY 1.900 1.900 03/06/2020 10,000 10,000 10,001 Skandivaniska Enskilda Bank 1.936 F 1.959 03/12/2020 10,000 10,000 10,003 Westpac Banking Corporation 1.820 F 1.820 03/13/2020 20,000 20,000 20,002 Nordea Bank 2.060 2.060 03/18/2020 25,000 25,000 25,019 Bank of Montreal 2.700 2.700 03/19/2020 25,000 25,000 25,065 Sumitomo Mitsui Bank NY 1.880 F 1.880 04/02/2020 15,000 15,000 15,002 Sumitomo Mitsui Bank NY 2.015 F 2.015 04/08/2020 10,000 10,000 10,000 MUFG Bank LTD/NY 1.910 1.910 04/14/2020 10,000 10,000 10,000 Sumitomo Mitsui Bank NY 1.950 1.950 04/22/2020 20,000 20,000 20,006 Royal Bank of Canada 1.830 F 1.830 04/24/2020 5,000 5,000 5,000 Sumitomo Mitsui Bank NY 1.978 F 1.978 04/24/2020 10,000 10,000 10,000 Bank of Montreal 1.880 F 1.879 04/27/2020 10,000 10,000 10,000 Mitsubishi UFJ Trust & Bank 1.971 F 1.971 04/30/2020 10,000 10,000 10,001 Canadian Imperial Bank 1.889 F 1.961 05/01/2020 23,000 23,000 23,006 Canadian Imperial Bank 1.889 F 1.961 05/01/2020 20,000 20,000 20,005 Svenska Handelsbanken NY 2.011 F 2.011 05/01/2020 10,000 10,000 10,002 Sumitomo Mitsui Bank NY 2.051 F 2.044 05/05/2020 10,000 10,000 10,000 Bank of Montreal 1.940 F 1.940 05/07/2020 10,000 10,000 9,999 Skandivaniska Enskilda Bank 1.954 F 1.951 05/11/2020 5,000 5,000 4,998 Credit Suisse New York 2.003 F 2.007 05/11/2020 10,000 10,000 10,000 Bank of Montreal 1.935 F 1.935 05/15/2020 14,000 14,000 13,997 Canadian Imperial Bank 1.935 F 1.935 05/15/2020 15,000 15,000 15,000 Bank of Nova Scotia 1.933 F 1.935 05/18/2020 5,000 5,000 4,998 Credit Suisse New York 1.979 F 1.983 05/26/2020 10,000 10,000 10,000 Glencove Funding LLC 2.037 F 2.034 05/27/2020 15,000 15,000 15,000 Bank of Montreal 1.750 F 1.750 06/05/2020 5,000 5,000 5,000 Royal Bank of Canada 1.830 F 1.830 06/12/2020 10,000 10,000 10,001 Bank of Nova Scotia 1.820 F 1.820 06/22/2020 10,000 10,000 9,999 Toronto Dominion Bank 1.908 F 1.908 06/25/2020 25,000 25,000 25,000 Bank of Nova Scotia 2.061 F 2.061 07/01/2020 10,000 10,000 10,002 Canadian Imperial Bank 2.061 F 2.061 07/01/2020 10,000 10,000 10,003 Nordea Bank 2.040 F 2.040 07/07/2020 10,000 10,000 9,999 Nordea Bank 2.300 F 2.094 07/10/2020 10,000 10,012 10,012 Australia & New Zealand Bank 2.035 F 2.035 07/15/2020 7,000 7,000 7,001 Skandivaniska Enskilda Bank 1.971 F 2.074 07/31/2020 10,000 10,000 10,001 Oversea-Chinese Bank 2.044 F 2.044 08/05/2020 10,000 10,000 10,001 Cooperative Rabobank 1.989 F 1.989 08/14/2020 4,000 4,000 4,000 Toronto Dominion Bank 1.900 F 1.900 08/20/2020 15,000 15,000 15,000 Canadian Imperial Bank 1.900 F 1.918 08/28/2020 5,000 5,000 4,995 Bank of Nova Scotia 1.910 F 1.910 09/03/2020 15,000 15,000 15,000 Bank of Montreal 2.015 F 2.015 09/08/2020 20,000 20,000 20,000 Bank of Nova Scotia 1.950 F 1.950 09/14/2020 10,000 10,000 10,000 Royal Bank of Canada 1.870 F 1.870 09/21/2020 25,000 25,000 24,984 Bank of Nova Scotia 2.279 F 2.279 09/23/2020 25,000 25,000 25,000

See accompanying notes to financial statements.

21 West Virginia Board of Treasury Investments Schedule of Investments in Securities November 30, 2019 (In thousands)

WEST VIRGINIA MONEY MARKET POOL (Continued)

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

Toronto Dominion Bank 2.236 F 2.290 09/28/2020 7,500 7,500 7,504 Toronto Dominion Bank 2.034 F 2.034 10/20/2020 10,000 10,000 10,002 Bank of Nova Scotia 2.116 F 2.116 10/21/2020 10,000 10,000 10,002 National Australia Bank 2.028 F 2.028 11/06/2020 10,000 10,000 10,002 Bank of Montreal 2.045 F 2.041 11/13/2020 10,000 10,000 10,000 Bank of Montreal 2.044 F 2.050 11/18/2020 25,000 10,000 10,000

Total Negotiable Certificates of Deposit 23.4% 920,223 920,387

Repurchase Agreements Bank of America Securities 1.620 1.620 12/02/2019 189,600 189,600 189,600 Merrill Lynch PFS Inc 1.620 1.620 12/02/2019 139,000 139,000 139,000 BNP Paribas SA 1.630 1.630 12/02/2019 250,000 250,000 250,000 Merrill Lynch PFS Inc 1.630 1.630 01/07/2020 50,000 50,000 50,000

Total Repurchase Agreements 16.0% 628,600 628,600

Money Market Funds ** Federated 1.560 200 200 200 ** Federated 1.780 176,993 177,014 177,046 ** BlackRock Liquidity 1.560 1,206 1,206 1,206

Total Money Market Funds 4.5% 178,420 178,452

Total Money Market Pool 100.0% $ 3,922,968 $ 3,923,503

WEST VIRGINIA GOVERNMENT MONEY MARKET POOL

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

U.S. Treasury Notes United States Treasury 1.125 % 1.981 % 12/31/2019 2,000 $ 1,999 $ 1,999 United States Treasury 1.250 2.114 02/29/2020 1,000 998 999 United States Treasury 2.250 1.694 03/31/2020 2,000 2,004 2,003 United States Treasury 1.125 1.873 04/30/2020 1,500 1,495 1,497 United States Treasury 1.375 1.691 04/30/2020 1,000 999 999 United States Treasury 2.375 1.873 04/30/2020 1,000 1,002 1,003 United States Treasury 1.500 1.615 05/31/2020 1,000 999 999 United States Treasury 1.375 1.600 05/31/2020 2,000 1,998 1,997 United States Treasury 2.500 1.643 05/31/2020 2,000 2,008 2,008 United States Treasury 1.625 1.641 06/30/2020 2,000 2,000 2,000

Total U. S. Treasury Notes 6.1% 15,502 15,504

U.S. Treasury Bills United States Treasury 0.000 2.100 12/05/2019 6,500 6,499 6,499 United States Treasury 0.000 2.075 12/26/2019 4,000 3,994 3,996 United States Treasury 0.000 2.090 01/30/2020 5,000 4,983 4,987 United States Treasury 0.000 1.696 03/05/2020 1,000 996 996 United States Treasury 0.000 1.744 03/27/2020 2,000 1,989 1,991 United States Treasury 0.000 1.725 04/02/2020 1,000 994 995 United States Treasury 0.000 1.702 04/09/2020 4,000 3,976 3,978

Total U. S. Treasury Bills 9.2% 23,431 23,442

See accompanying notes to financial statements.

22 West Virginia Board of Treasury Investments Schedule of Investments in Securities November 30, 2019 (In thousands)

WEST VIRGINIA GOVERNMENT MONEY MARKET POOL (Continued)

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

U. S. Government Agency Bonds and Notes Federal Home Loan Bank 1.595 F 1.599 01/17/2020 1,500 1,500 1,500 Federal Home Loan Bank 1.560 F 1.560 01/24/2020 3,000 3,000 3,000 Federal Farm Credit Bank 1.698 F 1.698 03/25/2020 1,000 1,000 1,000 Federal Home Loan Bank 1.625 F 1.615 03/26/2020 2,000 2,000 2,000 Federal Home Loan Bank 1.753 F 1.753 03/26/2020 2,000 2,000 2,000 Federal Home Loan Bank 1.575 F 1.565 04/22/2020 2,000 2,000 1,999 Federal Home Loan Bank 1.610 F 1.610 05/06/2020 5,000 5,000 4,999 Federal Home Loan Bank 1.735 F 1.735 05/08/2020 2,500 2,500 2,500 Federal Home Loan Bank 1.630 F 1.630 05/11/2020 5,000 5,000 4,999 Federal Home Loan Mort Corporation 1.555 F 1.555 05/13/2020 2,000 2,000 2,000 Federal Home Loan Bank 1.570 F 1.570 05/14/2020 1,200 1,200 1,200 Federal Home Loan Bank 1.709 F 1.709 05/20/2020 2,000 2,000 2,000 Federal Home Loan Bank 1.570 F 1.570 05/22/2020 1,000 1,000 1,000 Federal Home Loan Bank 1.850 F 1.850 07/02/2020 1,500 1,500 1,501 Federal Home Loan Bank 1.650 F 1.650 07/17/2020 2,000 2,000 2,000 Federal Home Loan Bank 1.580 F 1.580 08/21/2020 1,000 1,000 999 Federal Farm Credit Bank 1.778 F 1.830 09/09/2020 1,500 1,499 1,501 Federal Home Loan Bank 2.050 2.050 09/10/2020 1,000 1,000 1,000 Federal Home Loan Bank 1.670 F 1.670 10/07/2020 1,000 1,000 1,000 Federal Farm Credit Bank 1.630 F 1.730 11/27/2020 1,000 1,000 1,000

Total U. S. Government Agency Bonds and Notes 15.4% 39,199 39,198

U.S. Agency Discount Notes Federal Home Loan Bank 0.000 1.717 12/02/2019 10,000 10,000 10,000 Federal Home Loan Bank 0.000 1.958 12/03/2019 1,000 1,000 1,000 Federal Home Loan Bank 0.000 1.741 12/04/2019 5,000 4,999 4,999 Federal Home Loan Bank 0.000 1.727 12/05/2019 1,000 1,000 1,000 Federal Home Loan Bank 0.000 1.553 12/06/2019 1,243 1,243 1,243 Federal Home Loan Bank 0.000 1.583 12/09/2019 4,050 4,049 4,049 Federal Home Loan Bank 0.000 1.586 12/11/2019 14,050 14,045 14,045 Federal Farm Credit Bank 0.000 2.118 12/12/2019 1,750 1,749 1,749 Federal National Mortgage Association 0.000 1.564 12/12/2019 5,000 4,998 4,998 Federal Home Loan Bank 0.000 1.970 12/13/2019 1,000 999 999 Federal Home Loan Bank 0.000 1.976 12/16/2019 2,000 1,998 1,999 Federal Home Loan Bank 0.000 1.571 12/18/2019 15,000 14,990 14,990 Federal Home Loan Bank 0.000 1.584 12/20/2019 2,700 2,698 2,698 Federal Home Loan Bank 0.000 2.073 01/06/2020 2,000 1,996 1,997 Federal Home Loan Bank 0.000 1.576 01/08/2020 8,000 7,987 7,987 Federal Home Loan Bank 0.000 1.711 01/10/2020 4,000 3,993 3,993 Federal Home Loan Bank 0.000 1.732 01/15/2020 2,000 1,996 1,996 Federal Farm Credit Bank 0.000 1.680 01/16/2020 1,000 998 998 Federal Home Loan Bank 0.000 1.586 01/22/2020 3,000 2,993 2,993 Federal Home Loan Bank 0.000 1.587 01/23/2020 3,000 2,993 2,993 Federal Home Loan Bank 0.000 1.630 01/24/2020 9,470 9,448 9,448 Federal Home Loan Bank 0.000 1.591 01/27/2020 5,000 4,988 4,988 Federal Home Loan Bank 0.000 1.680 01/28/2020 1,000 997 997 Federal National Mortgage Association 0.000 1.608 01/29/2020 5,000 4,988 4,987 Federal Home Loan Bank 0.000 2.007 02/07/2020 1,250 1,246 1,246 Federal Home Loan Mort Corporation 0.000 1.725 02/20/2020 2,000 1,992 1,993 Federal Home Loan Bank 0.000 1.599 02/21/2020 2,000 1,993 1,993 Federal Home Loan Mort Corporation 0.000 1.685 03/18/2020 7,000 6,965 6,967 Federal Home Loan Bank 0.000 1.708 04/03/2020 4,000 3,977 3,977

Total U.S. Agency Discount Notes 48.6% 123,318 123,322

See accompanying notes to financial statements.

23 West Virginia Board of Treasury Investments Schedule of Investments in Securities November 30, 2019 (In thousands)

WEST VIRGINIA GOVERNMENT MONEY MARKET POOL (Continued)

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

Repurchase Agreements Goldman, Sachs & Co 1.620 1.620 12/02/2019 52,100 52,100 52,100

Total Repurchase Agreements 20.5% 52,100 52,100

Money Market Funds ** BlackRock Liquidity 1.560 247 247 247

Total Money Market Funds 0.1% 247 247

Total Government Money Market Pool 100.0% $ 253,797 $ 253,813

WEST VIRGINIA SHORT TERM BOND POOL

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

U. S. Treasury Notes and Bonds United States Treasury 2.625 % 1.735 % 08/31/2020 9,000 $ 9,059 $ 9,063 United States Treasury 2.750 2.159 08/15/2021 14,700 14,844 14,965 United States Treasury 1.250 2.486 10/31/2021 15,000 14,656 14,887 United States Treasury 1.875 2.774 11/30/2021 12,950 12,726 13,011 United States Treasury 1.875 2.387 01/31/2022 26,700 26,413 26,838 United States Treasury 1.875 1.765 08/31/2022 29,307 29,393 29,516 United States Treasury 2.000 1.513 11/30/2022 19,275 19,549 19,495

Total U. S. Treasury Notes and Bonds 15.7% 126,640 127,775

U.S. Agency Collateralized Mortgage Obligations Federal Home Loan Mort Corporation 2.015 F 2.122 03/15/2021 4 4 4 FRESB Multifamily Mortgage 1.810 2.086 06/25/2021 2,469 2,461 2,465 Federal National Mortgage Association 2.510 2.915 08/01/2021 3,425 3,407 3,447 Federal National Mortgage Association 2.510 2.912 08/01/2021 4,190 4,168 4,216 Federal National Mortgage Association 2.510 2.912 08/01/2021 3,260 3,243 3,281 FHLMC Multifamily Mortgage 1.749 1.906 02/25/2022 997 994 996 Federal Home Loan Mort Corporation 2.864 2.802 08/25/2022 4,242 4,239 4,325 Federal Home Loan Mort Corporation 2.838 1.679 09/25/2022 4,388 4,455 4,480 Government National Mort Association 4.000 2.366 09/16/2026 1,643 1,728 1,734 Federal National Mortgage Association 3.000 2.840 05/01/2030 5,898 5,950 6,060 Federal Home Loan Mort Corporation 2.365 F 2.362 08/15/2030 91 91 92 Federal Home Loan Mort Corporation 2.265 F 2.330 09/15/2030 47 47 47 Federal Home Loan Mort Corporation 2.165 F 2.175 07/15/2031 37 37 37 Federal Home Loan Mort Corporation 2.215 F 2.222 12/15/2031 94 94 94 Federal Home Loan Mort Corporation 2.165 F 2.172 01/15/2033 147 147 148 Federal National Mortgage Association 1.958 F 2.290 03/25/2036 554 554 548 Government National Mort Association 2.000 2.022 12/20/2037 3,647 3,639 3,638 Government National Mort Association 2.500 2.512 10/20/2039 2,346 2,343 2,359 Federal National Mortgage Association 1.750 1.849 05/25/2040 2,585 2,564 2,565 Government National Mort Association 2.397 F 2.187 12/20/2060 2,020 2,002 2,015 Government National Mort Association 2.497 F 2.225 12/20/2060 1,844 1,846 1,843

See accompanying notes to financial statements.

24 West Virginia Board of Treasury Investments Schedule of Investments in Securities November 30, 2019 (In thousands)

WEST VIRGINIA SHORT TERM BOND POOL (Continued)

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

Government National Mort Association 2.597 F 2.300 02/20/2061 2,577 2,591 2,582 Government National Mort Association 2.497 F 2.225 06/20/2062 2,612 2,615 2,611 Government National Mort Association 2.517 F 2.240 08/20/2062 1,194 1,197 1,194 Government National Mort Association 2.337 F 2.102 12/20/2062 1,697 1,688 1,691 Government National Mort Association 2.397 F 2.146 03/20/2063 2,078 2,073 2,073 Government National Mort Association 2.447 F 2.185 04/20/2063 1,999 1,998 1,996 Government National Mort Association 2.697 F 2.388 08/20/2063 2,825 2,848 2,836 Government National Mort Association 2.397 F 2.153 04/20/2065 2,834 2,824 2,827

Total U.S. Agency Collateralized Mortgage Obligations 7.6% 61,847 62,204

Corporate Fixed-Rate Bonds and Notes Duke Energy Florida LLC 2.100 2.100 12/15/2019 78 78 78 Georgia Pacific LLC 5.400 3.528 11/01/2020 6,000 6,100 6,178 Dominion Energy Gas Holdings 2.800 3.550 11/15/2020 5,000 4,965 5,032 US Bank NA 3.000 3.042 02/04/2021 4,290 4,288 4,341 Regions Financial Corporation 3.200 3.223 02/08/2021 1,950 1,949 1,973 Crown Castle International Corporation 3.400 3.405 02/15/2021 2,000 2,000 2,027 Bristol-Myers Squibb Company 2.875 2.889 02/19/2021 1,720 1,719 1,735 Exelon Corporation 2.450 2.455 04/15/2021 1,000 999 1,003 Cargill Inc 3.050 3.442 04/19/2021 2,500 2,487 2,538 Citizens Bank NA 2.550 2.534 05/13/2021 1,800 1,800 1,812 Huntington National Bank 3.250 3.291 05/14/2021 4,000 3,998 4,066 Cargill Inc 4.307 3.452 05/14/2021 1,600 1,619 1,653 American Express 3.375 3.381 05/17/2021 2,000 2,000 2,038 CVS Corporation 2.125 2.184 06/01/2021 1,000 999 1,000 Diamond 1 Fin/Diamond 2 4.420 3.504 06/15/2021 3,000 3,041 3,089 Coventry Health Care Inc 5.450 3.761 06/15/2021 1,000 1,025 1,040 Capital One Financial Corporation 4.750 3.652 07/15/2021 3,000 3,051 3,124 Mitsubishi UFJ Financial Group 3.535 3.570 07/26/2021 2,500 2,499 2,558 Citizens Financial Group 2.375 2.386 07/28/2021 2,660 2,660 2,669 New York Life Global Funding 3.250 3.280 08/06/2021 2,100 2,099 2,146 Tyson Foods Inc 2.250 2.299 08/23/2021 1,310 1,309 1,316 Ryder System Inc 2.250 2.296 09/01/2021 1,250 1,249 1,249 Seven & I Holdings 3.350 3.435 09/17/2021 4,000 3,994 4,077 Cigna Corporation 3.400 3.400 09/17/2021 1,000 1,000 1,022 Smithfield Foods Inc 2.650 2.732 10/03/2021 1,290 1,288 1,281 ConAgra Foods Inc 3.800 3.512 10/22/2021 5,180 5,207 5,333 National Australia Bank 3.700 3.741 11/04/2021 4,300 4,297 4,434 American Express 3.700 3.691 11/05/2021 3,500 3,501 3,609 Credit Suisse NY 2.100 2.106 11/12/2021 2,250 2,250 2,255 Public Service Enterprise Group 2.000 2.372 11/15/2021 5,428 5,390 5,422 Cargill Inc 3.250 3.532 11/15/2021 1,250 1,243 1,283 AbbVie Inc 2.150 2.158 11/19/2021 6,000 5,999 6,006 American Electric Power Company Inc 3.650 3.672 12/01/2021 4,750 4,748 4,900 BPCE SA 2.750 3.300 12/02/2021 4,750 4,700 4,808 AERCAP Ireland CAP/GLOBAL 4.450 4.497 12/16/2021 2,550 2,548 2,656 John Deere Capital Corporation 3.200 3.234 01/10/2022 5,500 5,496 5,645 Westpac Banking Corporation 2.800 3.194 01/11/2022 6,050 6,002 6,149 Sumitomo Mitsui Financial 2.846 3.468 01/11/2022 6,000 5,925 6,090 Fox Corporation 3.666 3.666 01/25/2022 3,750 3,750 3,871 Royal Bank of Canada 2.750 2.086 02/01/2022 6,200 6,287 6,311 Pacificorp 2.950 2.950 02/01/2022 5,500 5,500 5,607 Jackson National Life Global 3.300 2.844 02/01/2022 4,200 4,240 4,315 Key Bank NA 3.300 3.221 02/01/2022 5,500 5,509 5,650 FMC Corporation 3.950 3.553 02/01/2022 3,200 3,226 3,301

See accompanying notes to financial statements.

25 West Virginia Board of Treasury Investments Schedule of Investments in Securities November 30, 2019 (In thousands)

WEST VIRGINIA SHORT TERM BOND POOL (Continued)

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

Caterpillar Financial Services 2.950 2.967 02/26/2022 5,365 5,363 5,484 AT&T Inc 3.200 3.384 03/01/2022 6,000 5,976 6,139 Regency Energy Partner 5.875 4.208 03/01/2022 5,000 5,177 5,309 Toyota Industries Corporation 3.110 3.104 03/12/2022 5,500 5,500 5,614 Burlington North Santa Fe 3.050 2.966 03/15/2022 2,300 2,304 2,354 Cadillac Fairview Property 3.125 3.082 03/20/2022 5,395 5,400 5,517 ING Group 3.150 2.525 03/29/2022 6,300 6,388 6,443 Cintas Corporation 2.900 3.011 04/01/2022 5,500 5,486 5,610 Huntington National Bank 3.125 3.155 04/01/2022 1,825 1,824 1,869 Midwest Connector Capital Company 3.625 3.053 04/01/2022 6,000 6,076 6,153 WEA Finance LLC 3.150 2.308 04/05/2022 2,820 2,874 2,877 MassMutual Global Funding 2.500 3.264 04/13/2022 5,000 4,914 5,059 Saudi Arabian Oil Company 2.750 2.843 04/16/2022 5,175 5,163 5,225 DBS Group Holdings LTD 2.850 2.634 04/16/2022 5,750 5,777 5,829 Goldman Sachs Group Inc 3.000 3.406 04/26/2022 11,679 11,570 11,814 Avolon Holdings 3.625 3.647 05/01/2022 3,885 3,883 3,970 Guardian Life GLOB Fund 2.500 3.617 05/08/2022 5,000 4,871 5,052 International Business Machines 2.850 2.869 05/13/2022 5,302 5,300 5,403 Consumers Energy Company 2.850 2.745 05/15/2022 2,715 2,721 2,774 Discovery Communications 3.300 4.059 05/15/2022 4,000 3,930 4,095 Compass Bank 2.875 2.908 06/29/2022 2,000 1,998 2,030 Athene Global Funding 3.000 3.214 07/01/2022 6,325 6,291 6,429 Penske Truck Leasing 4.875 3.799 07/11/2022 5,000 5,132 5,326 Mitsubishi UFJ Financial Group 2.623 2.349 07/18/2022 4,000 4,028 4,047 Reliance Stand Life II 2.625 2.639 07/22/2022 6,000 5,998 6,068 Wells Fargo & Company 2.625 2.644 07/22/2022 5,000 4,998 5,060 Charter Communications 4.464 3.277 07/23/2022 2,800 2,883 2,938 Federal Realty Investment Trust 3.000 3.686 08/01/2022 3,885 3,818 3,970 Baltimore Gas & Electric Company 2.800 2.388 08/15/2022 3,631 3,670 3,685 Philip Morris Intl Inc 2.375 2.425 08/17/2022 3,897 3,892 3,932 Centerpoint Energy Inc 2.500 3.003 09/01/2022 5,828 5,751 5,867 Ryder System Inc 2.500 2.405 09/01/2022 4,000 4,010 4,028 Wells Fargo Bank NA 2.082 2.127 09/09/2022 3,500 3,496 3,496 VISA Inc 2.150 2.214 09/15/2022 4,000 3,993 4,038 National Rural Utilities 2.300 2.301 09/15/2022 3,600 3,600 3,623 Korea Hydro & Nuclear Power 3.000 3.821 09/19/2022 5,500 5,381 5,601 PRICOA Global Funding 2.450 2.424 09/21/2022 5,330 5,334 5,391 PAYPAL Holdings Inc 2.200 1.497 09/26/2022 4,700 4,707 4,719 UnitedHealth Group Inc 2.375 2.285 10/15/2022 3,000 3,007 3,033 Macquarie Bank LTD 2.100 2.114 10/17/2022 6,000 5,998 5,997 Bank of America Corporation 2.503 3.831 10/21/2022 4,000 3,856 4,034 Constellation Brands Inc 2.650 2.787 11/07/2022 5,500 5,479 5,573 DH Europe Finance II 2.050 2.052 11/15/2022 4,650 4,650 4,651 Jones Lang LaSalle Inc 4.400 3.211 11/15/2022 7,294 7,536 7,618 NiSource Finance Corporation 2.650 2.677 11/17/2022 860 859 870 Toronto Dominion Bank 1.900 1.937 12/01/2022 5,825 5,819 5,804 MPLX LP 3.500 3.569 12/01/2022 2,000 1,996 2,048 Cooperative Rabobank 2.750 2.029 01/10/2023 4,000 4,086 4,069 NBC Universal Media LLC 2.875 2.701 01/15/2023 2,860 2,874 2,938 AERCAP Ireland CAP/GLOBAL 3.300 3.357 01/23/2023 2,000 1,997 2,048 PNC Bank 2.950 2.430 01/30/2023 4,174 4,240 4,262 Barclays PLC 4.610 3.187 02/15/2023 4,200 4,381 4,380 Morgan Stanley 3.750 2.988 02/25/2023 6,000 6,139 6,281 JP Morgan Chase & Company 3.207 3.203 04/01/2023 7,000 7,000 7,158 Lloyds Banking Group PLC 2.907 2.589 11/07/2023 2,458 2,487 2,485 Diamondback Energy Inc 4.750 3.981 11/01/2024 3,697 3,823 3,831

Total Corporate Fixed-Rate Bonds and Notes 50.0% 399,738 406,608

See accompanying notes to financial statements.

26 West Virginia Board of Treasury Investments Schedule of Investments in Securities November 30, 2019 (In thousands)

WEST VIRGINIA SHORT TERM BOND POOL (Continued)

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

Corporate Floating-Rate Bonds and Notes Sempra Energy 2.501 F 2.501 01/15/2021 965 965 965 Citibank NA 3.165 F 2.649 02/19/2022 4,000 4,000 4,044 Becton Dickinson & Company 3.142 F 3.142 06/06/2022 2,000 2,000 2,020 Citigroup Inc 2.312 F 2.312 11/04/2022 6,000 6,000 6,012 Albemarle Corporation 2.941 F 2.960 11/15/2022 1,000 1,000 1,001

Total Corporate Floating-Rate Bonds and Notes 1.7% 13,965 14,042

Collateralized Mortgage Obligations Galton Funding Mortgage Trust 4.500 4.352 02/25/2059 4,396 4,482 4,486

Total Collateralized Mortgage Obligations 0.6% 4,482 4,486

Commercial Mortgage-Backed Securities Wells Fargo RBS 2.713 F 2.713 03/15/2044 217 217 217

Total Commercial Mortgage-Backed Securities 0.0% 217 217

Municiples Hampton Roads Sanitation 1.699 1.699 02/01/2022 3,145 3,145 3,133 State of New York 1.900 1.900 02/15/2022 2,905 2,905 2,905 State of New York 1.850 1.850 03/15/2022 4,100 4,100 4,075 State of New York 2.030 2.057 08/01/2022 6,000 5,996 6,004 State of California 2.500 1.777 10/01/2022 8,000 8,158 8,150 Mississippi State 1.809 1.809 10/01/2022 5,000 5,000 4,996 Nassau County Interim Finance 2.722 1.838 11/15/2022 2,510 2,574 2,560 Houston TX Utility Sys Revenue 1.716 1.716 11/15/2022 2,000 2,000 1,986 State of New York 1.910 1.910 03/15/2023 2,860 2,860 2,839 Massachusetts Water Resources 1.772 1.772 08/01/2023 3,445 3,445 3,422 Houston TX Utility Sys Revenue 1.746 1.746 11/15/2023 2,635 2,635 2,609

Total Corporate Floating-Rate Bonds and Notes 5.2% 42,818 42,679

Asset-Backed Securities Volvo Financial Equipment 1.890 1.898 09/15/2020 115 115 115 Ford Credit Auto Lease Trust 2.170 2.180 02/15/2021 1,320 1,320 1,320 BMW Vehicle Lease Trust 2.190 2.214 03/22/2021 575 575 575 Great American Leasing Receivables 2.600 2.620 06/15/2021 1,865 1,865 1,870 MMAF Equipment Finance 2.920 2.944 07/12/2021 390 390 391 Master Credit Card Trust 2.260 2.281 07/21/2021 4,000 4,000 4,001 Hyundai Auto Lease Trust 2.210 2.223 09/15/2021 3,400 3,400 3,401 GM Financial Auto Leasing 2.120 2.134 09/20/2021 2,000 2,000 2,000 Hertz Vehicle Financing LLC 2.670 3.532 09/25/2021 4,750 4,713 4,765 AmeriCredit Automobile Receivables 1.980 1.994 12/20/2021 755 755 755 GMF Floorplan 2.220 2.236 01/18/2022 2,000 2,000 2,000 Santander Retail Auto Lease Trust 2.370 2.387 01/20/2022 1,500 1,500 1,503 Enterprise Fleet Financing 2.040 2.057 02/22/2022 1,024 1,024 1,024 Santander Drive Auto Receivables 3.010 3.027 03/15/2022 623 623 623 AmeriCredit Automobile Receivables 1.900 1.914 03/18/2022 1,345 1,345 1,344 Securitized Term Auto Receivables 2.289 2.371 03/25/2022 2,405 2,403 2,409 Nextgear Floorplan 2.540 2.555 04/18/2022 4,000 4,000 4,005 Santander Retail Auto Lease Trust 3.060 3.081 04/20/2022 3,000 3,000 3,021 Mercedes-Benz Auto Lease Trust 2.025 F 2.034 05/16/2022 1,800 1,800 1,800 Honda Auto Receivables Owner Trust 3.010 3.028 05/18/2022 1,300 1,300 1,313 Hertz Fleet Lease Funding LP 2.700 2.724 07/11/2022 5,000 4,999 5,036

See accompanying notes to financial statements.

27 West Virginia Board of Treasury Investments Schedule of Investments in Securities November 30, 2019 (In thousands)

WEST VIRGINIA SHORT TERM BOND POOL (Continued)

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

Gracechurch Card PLC 2.165 F 2.175 07/15/2022 4,000 4,000 4,000 PFS Financing Corporation 2.365 F 2.377 07/15/2022 1,650 1,650 1,650 GM Financial Consumer Auto Loan 2.320 0.000 07/18/2022 3,393 3,393 3,402 Enterprise Fleet Financing 2.130 2.140 07/20/2022 171 171 171 World Omni Automobile Lease 2.320 2.331 08/15/2022 1,297 1,297 1,297 MMAF Equipment Finance LLC 2.210 2.220 10/17/2022 1,736 1,736 1,738 PFS Financing Corporation 2.400 2.421 10/17/2022 3,400 3,399 3,407 Nextgear Floorplan 2.560 2.573 10/17/2022 4,000 4,000 4,014 Dell Equipment Finance Trust 2.190 2.202 10/24/2022 866 866 866 Volvo Financial Equipment 2.265 F 2.276 11/15/2022 3,350 3,350 3,355 Golden Credit Card Trust 2.620 2.634 01/15/2023 1,900 1,900 1,914 Enterprise Fleet Financing 2.220 2.231 01/20/2023 1,800 1,800 1,803 Great American Leasing Receivables 2.360 2.373 01/20/2023 4,750 4,750 4,756 AmeriCredit Automobile Receivables 3.150 3.078 03/20/2023 2,090 2,093 2,113 World Omni Automobile Lease 2.940 2.961 05/15/2023 3,000 3,000 3,021 BMW Floorplan Master Owner Trust 3.150 3.179 05/15/2023 1,600 1,600 1,627 Ally Master Owner Trust 3.290 3.311 05/15/2023 1,000 1,000 1,018 GM Financial Consumer Auto Loan 2.060 2.075 05/16/2023 3,500 3,500 3,502 Ally Master Owner Trust 3.300 3.327 07/17/2023 1,250 1,250 1,275 AESOP 3.070 2.376 09/20/2023 4,935 5,000 5,033 Mercedes-Benz Auto Lease Trust 2.510 2.476 10/16/2023 1,400 1,401 1,403 First National Master Trust 2.205 F 2.215 10/16/2023 3,200 3,200 3,204 Dell Equipment Finance Trust 3.370 3.400 10/22/2023 1,220 1,220 1,238 AESOP 2.970 2.272 03/20/2024 3,000 3,046 3,060 Enterprise Fleet Financing 3.550 2.213 05/20/2024 5,000 5,151 5,156 ARI Fleet Lease Trust 2.110 2.124 07/15/2024 879 879 880 Discover Card Master Trust 3.040 3.059 07/15/2024 5,000 5,000 5,129 Daimler Trucks Retail Trust 3.030 3.050 11/15/2024 2,500 2,500 2,522 Capital One Prime Auto Receivables 1.960 1.978 02/18/2025 5,150 5,149 5,149 ARI Fleet Lease Trust 2.280 2.296 04/15/2026 5,000 4,999 5,008 ARI Fleet Lease Trust 2.530 2.508 11/15/2027 8,350 8,361 8,439 Ford Credit Auto Owner Trust 2.360 2.854 03/15/2029 11,000 10,775 11,091 Chesapeake Funding II LLC 1.990 1.999 05/15/2029 1,533 1,533 1,532 Chesapeake Funding II LLC 1.910 1.920 08/15/2029 814 814 814 Chesapeake Funding II LLC 1.950 1.961 09/15/2031 3,773 3,772 3,771 Social Professional Loan Program 2.558 F 2.572 07/25/2039 419 419 419 Social Professional Loan Program 2.390 2.402 02/25/2042 1,761 1,326 1,327

Total Asset Backed Securities 19.0% 152,427 153,375

Money Market Funds ** BlackRock Liquidity 1.560 2,136 2,136 2,136

Total Money Market Funds 0.3% 2,136 2,136

Total Short Term Bond Pool 94.75% $ 804,270 $ 813,522

See accompanying notes to financial statements.

28 West Virginia Board of Treasury Investments Schedule of Investments in Securities November 30, 2019 (In thousands)

WEST VIRGINIA BANK POOL

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

Certificates of Deposit BcBank Inc 2.450 % 2.450 % 12/12/2019 2,500 $ 2,500 $ 2,500 Citizens Bank of WV 2.450 2.450 12/12/2019 5,000 5,000 5,000 WesBanco Bank 2.450 2.450 12/12/2019 7,500 7,500 7,500 BcBank Inc 2.400 2.400 01/09/2020 1,500 1,500 1,500 Citizens Bank of WV 2.400 2.400 01/09/2020 5,000 5,000 5,000 WesBanco Bank 2.400 2.400 01/09/2020 8,500 8,500 8,500 WesBanco Bank 2.120 2.120 02/13/2020 10,000 10,000 10,000 WesBanco Bank 2.120 2.120 03/12/2020 10,000 10,000 10,000 Bank of Romney 2.000 2.000 04/09/2020 500 500 500 WesBanco Bank 2.000 2.000 04/09/2020 10,000 10,000 10,000 Bank of Romney 1.800 1.800 05/14/2020 1,000 1,000 1,000 WesBanco Bank 1.800 1.800 05/14/2020 10,000 10,000 10,000

Total Certificates of Deposit 99.5% 71,500 71,500

Money Market Funds ** BlackRock Liquidity 1.560 356 356 356

Total Money Market Funds 0.5% 356 356

Total West Virginia Bank Pool 100.0% $ 71,856 $ 71,856

STATE LOAN POOL

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

Loans and Mortgages Intergovernmental Loans WVEDA Revolving Loan 2.460 % 118,733 $ 118,733 $ 118,733 WVEDA Non-Recourse Loan 3.000 24,326 24,326 24,326 WVEDA Broadband Loan 2.440 1,480 1,480 1,480

Total Intergovernmental Loans 144,539 144,539

Reserve for uncollectable loans 23,968 23,968 23,968 Loans and Mortgages, net of reserve for uncollectable loans 100.0% 120,571 120,571

Money Market Funds ** BlackRock Liquidity 1.560 6 6 6

Total Money Market Funds 0.0% 6 6

Total State Loan Pool 100.0% $ 120,577 $ 120,577

See accompanying notes to financial statements.

29 West Virginia Board of Treasury Investments Schedule of Investments in Securities November 30, 2019 (In thousands)

RESERVE POOL

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

Depository Accounts United National Bank 1.83% ** F 1.838% 08/31/2022 19,733 $ 19,733 $ 19,733

Total Depository Accounts 100.0% 19,733 19,733

Money Market Funds BlackRock Liquidity 1.560 ** 2 2 2

Total Money Market Funds 0.0% 2 2

Total Reserve Pool 100.0% $ 19,735 $ 19,735

SCHOOL FUND

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

Money Market Funds ** BlackRock Liquidity 1.560 1,127 $ 1,127 $ 1,127

Total Money Market Funds 100.0% 1,127 1,127

Total School Fund 100.0% $ 1,127 $ 1,127

EDA - AW

% of AMORTIZED FAIR SECURITY NAME POOL COUPON YIELD MATURITY UNITS COST VALUE*

U. S. Treasury Issues United States Treasury Bond 6.250 % 4.929 % 08/15/2023 1,445 $ 1,508 $ 1,683

Total U. S. Treasury Issues 99.9% 1,508 1,683

Money Market Funds ** BlackRock Liquidity 1.560 1 1 1.00

Total Money Market Funds 0.1% 1 1.00 Total EDA-AW 100.0% $ 1,509 $ 1,684

See accompanying notes to financial statements.

Other Financial Information

WEST VIRGINIA BOARD OF TREASURY INVESTMENTS SCHEDULE OF NET ASSET VALUES (UNAUDITED) NOVEMBER 30, 2019

(IN THOUSANDS EXCEPT FOR INVESTMENT UNIT DATA)

WV Government WV Short WV Money Money Term Bond WV Bank Reserve Market Pool Market Pool Pool Pool Loan Pool Pool

Paid-in capital $ 3,926,345 $ 253,916 $ 806,322 $ 72,320 $ 120,819 $ 19,766 Accumulated undistributed net investment income (loss) ------Accumulated undistributed net realized gain (loss) ------Unrealized net appreciation (depreciation) of investments - - 9,253 - - - Net position at value $ 3,926,345 $ 253,916 $ 815,575 $ 72,320 $ 120,819 $ 19,766

Investment unit data: Units outstanding 3,926,344,957 253,916,485 7,921,569 72,320,081 120,819,285 19,765,911 Net position, unit price $ 1.00 $ 1.00 $ 102.96 $ 1.00 $ 1.00 $ 1.00

WEST VIRGINIA BOARD OF TREASURY INVESTMENTS PORTFOLIO STATISTICS (UNAUDITED) NOVEMBER 30, 2019

West Virginia West Virginia West Virginia Government Short Term Money Market Money Market Bond Pool

Weighted Average Days to Maturity 36 days 36 days N/A

Maximum Weighted Average Investment Maturity Term Per Board Guidelines 60 days 60 days N/A

Effective Duration N/A N/A 728 days

Effective Duration Permissible Range Per Board Guidelines N/A N/A 546 to 819 days

Money Market Yield - Monthly 1.90% 1.65% N/A

The money market yield represents the rate of income, net of expenses, earned over the past month and is not intended to indicate future performance. The return is annualized over a 365-day year, assuming no reinvestment of earnings.

WEST VIRGINIA BOARD OF TREASURY INVESTMENTS PARTICIPANT NET ASSET VALUES (UNAUDITED) NOVEMBER 30, 2019 (IN THOUSANDS) WV Money Market Pool State Agencies: Local Governments: WV State Treasurer's Office: State Participation $ 752,657 Wood Co Board of Education 21,258 Banking Services 400,647 Mercer County Board of Education 30,082 Safekeeping 33,101 City of Charleston 22,756 Safe Road Bonds 8,830 Fayette County Board of Education 18,108 Roads to Prosp Debt Service 114 Marshall County Board of Education 22,952 Broadband Loan Guarantee 10,016 Tyler Co Board of Education 9,852 Veterans Lottery 1,227 Taylor County Board of Education 8,253 Total WV State Treasurer's Office 1,206,592 Boone County Commission 4,890 Department of Transportation 1,085,977 Pleasants County Board of Education 5,206 Higher Education Policy Commission 259,473 Braxton County Board of Education 5,003 Public Employees Insurance Agency 150,772 Kanawha EOC 4,654 Department of Environmental Protection 106,661 Berkeley Co PSSD 30,144 WV Lottery Commission 137,182 Berkeley Co PSWD 3,508 Department of Commerce 179,009 Lewis County Board of Education 3,409 Department of Health and Human Resources 121,928 City of Weirton 2,858 Division of Natural Resources 83,231 Lincoln County Board of Education 4,626 Board of Risk and Insurance Management 42,460 Roane County Board of Education 10,228 Water Development Authority 59,805 Fayette County Commission 2,213 WV Municipal Pension Oversight Board 28,299 Kanawha County Emergency Ambulance Authority 4,250 WV Economic Development Authority 48,462 Mason County Board of Education 10,742 School Building Authority 16,898 Ritchie County Board of Education 1,412 Regional Jail Authority 13,118 Wyoming County Board of Education 1,093 WV Housing Development Fund 16,950 Berkeley County Board of Education 5,810 WVU 11,677 Pleasants County Commission 1,037 Insurance Commission 10,872 Cabell County Board of Education 57,127 WV State Auditor's Office 5,817 Greenbrier County Board of Education 3,479 Performance and wage bond accounts 20,009 Other 13,321 Other 12,882 Total net asset value 308,271 Total State Agencies 3,618,074 $ 3,926,345

WV Government Money Market Pool WV Short Term Bond Pool State Agencies: State Agencies: Municipal Bond Commission $ 204,449 WV State Treasurer's Office: WV Economic Development Authority 7,697 State Participation $ 179,300 Other 7,411 Banking Services 25,660 Total State Agencies 219,557 Prepaid Tuition Escrow 305,975 Local Governments: Total WV State Treasurer's Office 510,935 Ohio County Board of Education 31,552 Department of Environmental Protection 228,260 Hancock County Commission 1,153 WV Lottery Commission 31,003 Other 1,654 WV Economic Development Authority 18,569 Total Local Governments 34,359 Higher Education Policy Commission 6,164 Total net asset value $ 253,916 DHHR - Children's Health Insurance 4,610 WV Court of Claims 5,281 WV Parkways Authority 3,476 Department of Transportation 2,279 WV State Auditor's Office 2,584 Other 1,788 Total State Agencies 814,949 Local Governments: Other 626 Total Local Governments 626 Total net asset value $ 815,575

Glossary of Financial and Investment Terms

Agency Securities – Securities issued by U.S. Government agencies, such as the Federal Home Loan Bank. These securities have high credit ratings but are not backed by the full faith and credit of the U.S. Government.

Asset-Backed Notes – Financial instruments collateralized by one or more types of assets including real property, mortgages, and receivables.

Banker’s Acceptance – A high quality, short-term negotiable discount note drawn on and accepted by banks that are obligated to pay the face amount at maturity.

Basis Point – The smallest measure used in quoting yields or returns. One basis point is 0.01% of yield. One hundred basis points equals 1%. For example, a yield that changed from 8.75% to 9.50% increased by 75 basis points.

Benchmark – A standard unit used as the basis of comparison; a universal unit that is identified with sufficient detail so that other similar classifications can be compared as being above, below, or comparable to the benchmark.

Capital Gain (Loss) – Also known as capital appreciation (depreciation), capital gain (loss) measures the increase (decrease) in value of an asset over time.

Certificates of Deposit (CDs) – A debt instrument issued by banks, usually paying interest, with maturities ranging from seven days to several years.

Commercial Paper – Short-term obligations with maturities ranging from one to 270 days. They are issued by banks, corporations, and other borrowers to investors with temporarily idle cash.

Compounded Annual Total Return – Compounded annual total return measures the implicit annual percentage change in value of an investment, assuming reinvestment of dividends, interest, and realized capital gains, including those attributable to currency fluctuations. In effect, compounded annual total return smoothes fluctuations in long-term investment returns to derive an implied year-to-year annual return.

Consumer Price Index (CPI) – A measure of change in consumer prices, as determined by a monthly survey of the U.S. Bureau of Labor Statistics. Components of the CI include housing costs, food, transportation, electricity, etc.

Cumulative Rate of Return – A measure of the total return earned for a particular time period. This calculation measures the absolute percentage change in value of an investment over a specified period, assuming reinvestment of dividends, interest income, and realized capital gains. For example, if a $100 investment grew to $120 in a two-year period, the cumulative rate of return would be 20%.

Derivative – Derivatives are generally defined as contracts whose value depends on, or derives from, the value of an underlying asset, reference rate, or index. For example, an option is a derivative instrument because its value derives from an underlying stock, stock index, or future.

Discount Rate – The interest rate that the Federal Reserve charges banks for loans, using government securities or eligible paper as collateral.

Expense Ratio – The amount, expressed as a percentage of total investment, that shareholders pay for mutual fund operating expenses and management fees.

Federal Funds Rate – The interest rate charged by banks with excess reserves at a Federal Reserve district bank to banks needing overnight loans to meet reserve requirements. The federal funds rate is one of the most sensitive indicators of the direction of interest rates because it is set daily by the market.

Federal Reserve Board – The governing body of the Federal Reserve System (twelve regional Federal banks monitoring the commercial and savings banks in their regions). The board establishes FRS policies on such key matters as reserve requirements and other regulations, sets the discount rate, and tightens or loosens the availability of credit in the economy.

Gross Domestic Product (GDP) – Total final value of goods and services produced in the United States over a particular period or time, usually one year. The GDP growth rate is the primary indicator of the health of the economy.

Index – A benchmark used in executing investment strategy which is viewed as an independent representation of market performance. An index implicitly assumes cost-free transactions; some assume reinvestment of income. Examples: S&P Index, Lehman Brothers Aggregate Index, Russell 2000 Index.

Inflation – A measure of the rise in price of goods and services, as happens when spending increases relative to the supply of goods on the market, i.e. too much money chasing too few goods.

Investment Income – The equity dividends, bond interest, and/or cash interest paid on an investment.

Market Value – Also known as fair value. The price at which buyers and sellers trade similar items in an open marketplace. Stocks and bonds are valued at a market price. Real estate is valued on an appraised basis.

Maturity Date – The date on which the principal amount of a bond or other debt instrument becomes payable or due.

Money Market Fund – An open-ended mutual fund that invests in commercial paper, bankers’ acceptances, repurchase agreements, government securities, certificates of deposit, and other highly liquid and safe securities and pays money market rates of interest. The fund’s net asset value remains a constant $1 per share – only the interest rate goes up or down.

Net Asset Value (NAV) – The total assets minus total liabilities, including any valuation gains or losses on investments or currencies, and any accrued income or expense.

Par Value – The stated or face value of a stock or bond. It has little significance for common stocks; however, for bonds it specifies the payment amount at maturity.

Principal – Face value of an obligation, such as a bond or a loan, that must be repaid at maturity.

Realized Gain (Loss) – A gain (loss) that has occurred financially. The difference between the principal amount received and the cost basis of an asset realized at sale.

Repurchase Agreements (Repos) – An agreement to purchase securities from an entity for a specified amount of cash and to resell the securities to the entity at an agreed upon price and time. Repos are widely used as a money market instrument.

Reverse Repurchase Agreements (Reverse Repos) – An agreement to sell securities to an entity for a specified amount of cash and to repurchase the securities from the entity at an agreed upon price and time.

Treasury Bill (T-Bill) – Short-term, highly liquid government securities issued at a discount from the face value and returning the face amount at maturity.

Treasury Bond or Note – Debt obligations of the Federal government that make semi-annual coupon payments and are sold at or near par value in denominations of $1,000 or more.

Turnover – The minimum of security purchases or sales divided by the fiscal year’s beginning and ending market value for a given portfolio.

Unrealized Gain (Loss) – A profit (loss) that has not been realized through the sale of a security. The gain (loss) is realized when a security or futures contract is actually sold or settled.

Variable Rate Note – Floating rate notes with a coupon rate adjusted at set intervals, such as daily, weekly, or monthly, based on different interest rate indices, such as LIBOR, Fed Funds, and Treasury Bills.

Volatility – A statistical measure of the tendency of a market price or yield to vary over time. Volatility is said to be high if the price, yield, or return typically changes dramatically in a short period of time.

Yield – The return on an investor’s capital investment