West Virginia Investment Management Board 2016 AUDITED FINANCIAL STATEMENTS

AUDITED FINANCIAL STATEMENTS

INVESTMENT POOLS Year Ended June 30, 2016

Table of Contents

Investment Pools Audited Financial Statements

Large Cap Domestic Equity Pool .......................................................................................................................A Non-Large Cap Domestic Equity Pool ............................................................................................................... B International Qualified Pool ............................................................................................................................... C International Nonqualified Pool .........................................................................................................................D International Equity Pool.................................................................................................................................... E Short-Term Fixed Income Pool .......................................................................................................................... F Total Return Fixed Income Pool ........................................................................................................................G Opportunistic Debt Pool .....................................................................................................................................H Core Fixed Income Pool ...................................................................................................................................... I TIPS Pool ............................................................................................................................................................ J TRS Annuity Pool ..............................................................................................................................................K Private Equity Pool............................................................................................................................................. L Real Estate Pool ................................................................................................................................................ M Hedge Fund Pool ................................................................................................................................................N

Administrative Fund Audited Financial Statements

June 30, 2016

A

LARGE CAP DOMESTIC EQUITY POOL

AUDITED FINANCIAL STATEMENTS

Large Cap Domestic Equity Pool Audited Financial Statements June 30, 2016 Table of Contents

Independent Auditors’ Report

Statement of Assets and Liabilities

A-1

Schedule of Investments

A-2

Statement of Operations

A-11

Statement of Changes in Net Assets

A-12

Notes to Financial Statements

A-13

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board Large Cap Domestic Equity Pool, which comprise the statement of assets and liabilities, including the schedule of investments, as of June 30, 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board Large Cap Domestic Equity Pool at June 30, 2016, and the results of its operations and changes in its net assets for the year then ended, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

September 9, 2016

A member firm of Ernst & Young Global Limited

Large Cap Domestic Equity Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands, except unit data)

Assets Investments at fair value (cost $2,906,173), including securities on loan of $798,386 (Note 6) Cash Cash pledged as collateral for futures contracts Receivables: Investments sold Dividends Securities lending income Unrealized appreciation on futures contracts (Note 7)

$

3,703,860 44 2,607 113,862 3,728 99 3,026

Total assets

3,827,226

Liabilities Accrued expenses Payable for investments purchased Payable upon return of securities loaned (Note 6)

1,132 3,823 530,481 Total liabilities Net assets

535,436 $

3,291,790

$

140,280,496 23.47

Unit data Units outstanding Net asset value, unit price

See accompanying notes to financial statements.

West Virginia Investment Management Board A-1

Large Cap Domestic Equity Pool Schedule of Investments June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Common Stock Basic Materials Air Products and Chemicals Inc Albemarle Corporation Alcoa Inc Avery Dennison Corp Ball Corporation CF Industries Holdings Inc Dow Chemical Company Eastman Chemical Company Ecolab Inc EI DuPont de Nemours & Co FMC Corporation Freeport-McMoran Inc International Paper Company Intl Flavors & Fragrances Inc LyondellBasell Industries NV Martin Marietta Materials Inc Monsanto Company Newmont Mining Corp Nucor Corporation Owens-Illinois Inc PPG Industries Inc Praxair Inc Sealed Air Corporation Sherwin-Williams Co The Mosaic Company Vulcan Materials Company WestRock Company Total Basic Materials - 3.0%

16,300 9,600 116,400 69,400 83,000 23,000 189,900 13,600 85,800 73,900 12,500 103,700 34,300 29,900 173,700 15,200 36,900 107,100 39,300 14,700 24,700 24,000 43,200 10,100 29,600 100,600 20,730

Capital Goods 3M Co Acuity Brands Inc Alaska Air Group Inc Allegion PLC American Airlines Group Inc Ametek Inc Automatic Data Processing Inc Boeing Company C. H. Robinson Worldwide Inc Caterpillar Inc Cintas Corp CSX Corp Cummins Inc Danaher Corp Deere & Company Delta Air Lines Dover Corp Dun & Bradstreet Corp Eaton Corp PLC Emerson Electric Co Expeditors Intl of Washington Fastenal Company FedEx Corp Flowserve Corp Fluor Corporation General Dynamics Corp General Electric Company Honeywell International Inc Illinois Tool Works Inc Ingersoll-Rand PLC Iron Mountain Inc Jacobs Engineering Group Inc JB Hunt Transport Services Inc

Cost

$

72,200 21,200 36,200 59,566 82,600 61,900 134,600 69,700 50,800 49,300 65,600 80,200 14,200 69,500 25,100 251,000 13,400 3,500 38,469 54,200 52,400 69,200 21,100 12,900 33,400 103,400 1,309,981 75,600 39,800 21,400 19,544 11,500 8,600

See accompanying notes to financial statements.

West Virginia Investment Management Board A-2

Fair Value

1,385 761 1,411 4,262 4,820 547 7,787 484 6,611 2,805 466 3,095 924 2,736 12,927 2,208 3,128 4,060 1,805 382 1,296 2,284 1,672 1,439 1,587 9,138 813 80,833

7,739 5,300 2,395 3,525 3,728 3,046 7,706 6,356 3,517 3,480 3,436 1,499 1,011 4,260 1,464 9,130 559 283 2,186 2,624 2,323 2,690 2,000 505 1,735 11,717 31,357 4,872 2,712 825 518 534 706

$

2,315 761 1,079 5,188 6,000 554 9,440 923 10,176 4,789 579 1,155 1,454 3,769 12,927 2,918 3,816 4,190 1,942 265 2,573 2,697 1,986 2,966 775 12,108 806 98,151

12,644 5,257 2,110 4,136 2,338 2,862 12,366 9,052 3,772 3,737 6,437 2,092 1,597 7,020 2,034 9,144 929 426 2,298 2,827 2,570 3,072 3,203 583 1,646 14,397 41,238 8,794 4,146 1,363 778 573 696

Large Cap Domestic Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Kansas City Southern L-3 Communications Hldgs Inc Lockheed Martin Corp Masco Corporation Neilsen Holdings PLC Norfolk Southern Corp Northrop Grumman Corp PACCAR Inc Parker-Hannifin Corporation Pentair PLC Pitney Bowes Inc Quanta Services Inc Raytheon Company Republic Services Inc Robert Half International Inc Rockwell Automation Inc Rockwell Collins Inc Roper Technologies Inc Ryder System Inc Snap-On Inc Southwest Airlines Co Stanley Black & Decker Inc Stericycle Inc Textron Inc TransDigm Group Inc Tyco International Plc Union Pacific Corp United Continental Holdings United Parcel Service Inc United Rentals Inc United Technologies Corp Verisk Analytics Inc W.W. Grainger Inc Waste Management Inc Xylem Inc Total Capital Goods - 10.6% Communication Services AT&T Inc CenturyLink Inc Frontier Communications Corp Level 3 Communications Inc Verizon Communications Total Communication Services - 1.8% Consumer Discretionary Advance Auto Parts Inc Amazon.com Inc AutoNation Inc AutoZone Inc Bed Bath & Beyond Inc Best Buy Co Inc Borg-Warner Inc CarMax Inc Carnival Corp CBS Corp Charter Communications Inc Chipotle Mexican Grill Inc Coach Inc Comcast Corp Darden Restaurants Inc Delphi Automotive PLC Discovery Communications Inc Dollar General Corp Dollar Tree Inc

Cost

Fair Value

9,700 6,700 100,500 276,400 75,700 24,800 90,500 31,000 12,200 16,609 54,500 72,300 124,500 181,400 12,400 10,800 19,300 53,900 5,300 43,700 296,700 42,377 12,600 23,400 9,500 37,800 76,000 70,600 63,400 8,900 66,000 22,200 4,900 85,600 63,700

1,078 520 15,145 7,559 3,487 1,516 10,519 1,299 826 683 1,074 1,664 11,781 7,072 336 706 1,351 7,234 251 5,687 7,999 3,772 1,165 492 2,528 926 3,988 3,527 4,664 1,039 5,177 1,756 695 4,242 2,341 259,837

874 983 24,941 8,552 3,934 2,111 20,116 1,608 1,318 968 970 1,672 16,926 9,308 473 1,240 1,643 9,193 324 6,897 11,634 4,713 1,312 856 2,505 1,610 6,631 2,897 6,829 597 6,768 1,800 1,114 5,673 2,844 347,971

702,381 47,743 409,986 25,900 452,649

22,886 1,573 2,343 1,232 18,976 47,010

30,350 1,385 2,025 1,334 25,276 60,370

14,100 54,300 6,200 14,000 13,900 24,100 20,200 16,800 107,100 34,758 1 2,600 98,100 498,050 47,700 140,900 33,800 23,800 20,936

2,235 19,653 248 8,121 639 898 760 414 4,742 794 1,013 3,797 16,418 2,498 7,751 758 1,247 1,039

2,279 38,858 291 11,114 601 737 596 824 4,734 1,892 1,047 3,997 32,468 3,021 8,820 825 2,237 1,973

See accompanying notes to financial statements.

West Virginia Investment Management Board A-3

Large Cap Domestic Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

DR Horton Inc eBay Inc Expedia Inc Foot Locker Inc Ford Motor Company Fortune Brands Home & Security Garmin Ltd General Motors Co Genuine Parts Company Goodyear Tire & Rubber Co H&R Block Inc Hanesbrands Inc Harley-Davidson Inc Harman Intl Industries Inc Hasbro Inc Home Depot Inc Interpublic Group of Co Inc Johnson Controls Inc Kohl's Corporation L Brands Inc Leggett & Platt Inc Lennar Corporation LKQ Corporation Lowe's Companies Inc Macys Inc Marriott International Inc Mattel Inc McDonald's Corporation Michael Kors Holdings Ltd Mohawk Industries Inc Netflix Inc Newell Rubbermaid Inc News Corporation Nike Inc Nordstrom Inc Omnicom Group Inc O'Reilly Automotive Inc Priceline Group Inc PulteGroup Inc PVH Corp Ralph Lauren Corp Ross Stores Inc Royal Caribbean Cruises Ltd Scripps Networks Interactive Signet Jewelers Ltd Staples Inc Starbucks Corp Starwood Hotels & Resorts Inc Target Corp TEGNA Inc The Gap Inc Tiffany & Co Time Warner Inc TJX Companies Inc Tractor Supply Company TripAdvisor Inc Twenty-First Century Fox Ulta Salon Cosmetics & Frag Under Armour Inc Urban Outfitters Inc VF Corp Viacom Inc Walt Disney Company Whirlpool Corporation Wyndham Worldwide Corporation

Cost

179,500 183,200 26,450 26,700 329,800 25,200 10,900 118,200 19,500 214,700 50,600 31,000 16,900 6,500 74,800 240,100 187,500 54,500 14,800 174,100 35,600 25,100 50,700 167,700 28,000 71,780 238,500 140,500 25,600 25,800 157,900 169,399 41,975 279,200 11,800 32,800 68,700 7,210 31,100 6,600 5,300 84,800 89,100 16,700 7,500 57,600 359,200 14,700 83,500 20,200 19,000 10,400 68,400 71,700 34,800 10,950 127,800 5,200 115,005 9,000 132,700 30,300 253,300 6,300 9,600

See accompanying notes to financial statements.

West Virginia Investment Management Board A-4

Fair Value 4,606 3,739 2,226 1,701 3,800 1,423 469 4,187 1,269 6,353 1,392 1,060 575 297 5,262 14,825 3,408 1,707 812 13,393 1,251 814 1,633 8,170 592 4,564 7,278 13,555 1,794 4,497 12,780 5,852 354 12,414 531 1,990 10,945 6,088 364 800 559 3,184 6,601 912 907 1,184 16,163 619 5,280 240 459 510 2,720 2,606 2,961 398 2,491 1,061 4,109 277 6,838 1,189 15,374 516 158

5,651 4,289 2,812 1,465 4,146 1,461 462 3,345 1,974 5,509 1,164 779 766 467 6,282 30,658 4,331 2,412 561 11,687 1,820 1,157 1,607 13,277 941 4,770 7,463 16,908 1,267 4,896 14,445 8,228 480 15,412 449 2,673 18,625 9,001 606 622 475 4,807 5,983 1,040 618 497 20,518 1,087 5,830 468 403 631 5,030 5,537 3,173 704 3,464 1,267 4,401 248 8,160 1,257 24,778 1,050 684

Large Cap Domestic Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Wynn Resorts Limited Yum Brands Inc Total Consumer Discretionary - 13.3% Consumer Staples Altria Group Inc Archer-Daniels-Midland Co Brown Forman Corp Campbell Soup Co Church & Dwight Company Inc Clorox Company Coca-Cola Company Colgate-Palmolive Co ConAgra Foods Inc Constellation Brands Inc Costco Wholesale Corp CVS Health Corp Dr Pepper Snapple Group Inc Estee Lauder Companies Inc General Mills Inc Hershey Company Hormel Foods Corp JM Smucker Company Kellogg Company Kimberly Clark Corporation Kraft Heinz Co Kroger Co McCormick & Company Inc Mead Johnson Nutrition Co Molson Coors Brewing Co Mondelez International Inc Monster Beverage Corp PepsiCo Inc Philip Morris Intl Inc Proctor & Gamble Company Reynolds American Inc Sysco Corp Tyson Foods Inc Walgreen Boots Alliance Inc Wal-Mart Stores Inc Whole Foods Market Inc Total Consumer Staples - 12.0% Energy Anadarko Petroleum Corp Apache Corporation Baker Hughes Inc Cabot Oil & Gas Corporation Chesapeake Energy Corp Chevron Corporation Cimarex Energy Co Columbia Pipeline Group Inc Concho Resources Inc ConocoPhillips Devon Energy Corporation Diamond Offshore Drilling Inc EOG Resources Inc EQT Corp Exxon Mobil Corporation First Solar Inc FMC Technologies Inc Halliburton Company Helmerich & Payne Inc Hess Corp Kinder Morgan Inc

Cost

Fair Value

7,700 56,700

763 3,371 323,245

698 4,702 438,692

457,820 49,300 69,800 118,800 19,300 94,700 439,600 91,700 91,200 130,900 94,500 244,176 142,100 51,800 143,200 11,700 229,400 28,400 87,600 107,700 58,766 486,300 71,100 15,509 32,100 253,100 12,533 198,364 173,300 293,532 439,986 107,000 187,100 153,000 129,600 28,000

17,106 1,473 5,924 6,708 1,656 9,236 15,257 4,519 2,919 8,654 10,335 13,872 9,485 3,401 6,630 649 6,861 3,014 6,106 10,119 2,619 10,260 5,877 603 2,190 8,203 1,149 14,967 11,955 20,073 13,873 4,156 9,769 8,964 7,724 893 267,199

31,571 2,114 6,963 7,904 1,986 13,106 19,927 6,712 4,360 21,651 14,840 23,377 13,731 4,715 10,213 1,328 8,396 4,328 7,153 14,807 5,200 17,891 7,584 1,407 3,246 11,519 2,014 21,015 17,628 24,853 23,728 5,429 12,496 12,740 9,463 897 396,292

44,900 58,300 36,609 39,900 393,000 181,400 30,800 37,300 19,100 104,700 43,700 6,100 52,900 14,500 546,594 57,100 22,400 72,400 26,100 22,900 154,128

2,948 4,259 1,810 513 2,801 16,689 3,360 510 1,769 5,443 2,448 588 3,302 733 41,300 3,369 730 2,487 1,484 1,285 5,896

2,391 3,246 1,652 1,027 1,682 19,016 3,675 951 2,278 4,565 1,584 148 4,413 1,123 51,238 2,768 597 3,279 1,752 1,376 2,885

See accompanying notes to financial statements.

West Virginia Investment Management Board A-5

Large Cap Domestic Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Marathon Oil Corp Marathon Petroleum Corporation Murphy Oil Corporation National-Oilwell Varco Inc Newfield Exploration Company Noble Energy Inc Occidental Petroleum Corp ONEOK Inc Phillips 66 Pioneer Natural Resources Co Range Resources Corporation Schlumberger Ltd Southwestern Energy Company Spectra Energy Corp Tesoro Corporation Transocean Ltd Valero Energy Corporation Williams Companies Inc Total Energy - 5.5% Financial Services Affiliated Managers Group Inc AFLAC Inc Allstate Corp American Express Co American International Group American Tower Corporation Ameriprise Financial Inc Aon PLC Apartment Investment & Mgmt Co Arthur J Gallagher & Co Assurant Inc Avalonbay Communities Inc Bank of America Corporation Bank of New York Mellon Corp BB&T Corporation Berkshire Hathaway Inc BlackRock Inc Boston Properties Inc Capital One Financial Corp CBRE Group Inc Charles Schwab Corp CHUBB Ltd Cincinnati Financial Corp Citigroup Inc Citizens Financial Group Inc CME Group Inc Comerica Inc Crown Castle Intl Corporation Digital Realty Trust Inc Discover Financial Services E*Trade Financial Corporation Equifax Inc Equinix Inc Equity Residential Essex Property Trust Inc Extra Space Storage Inc Federal Realty Investment Trst Fifth Third Bancorp Franklin Resources Inc General Growth Properties Inc Goldman Sachs Group Inc Hartford Financial Services Gp HCP Inc Host Hotels & Resorts Inc

Cost

Fair Value

70,000 65,900 15,500 32,600 106,400 53,300 95,300 17,200 133,740 21,200 16,100 143,042 33,700 59,300 91,500 245,300 211,300 56,700

1,447 1,810 747 1,513 4,062 2,099 7,281 556 9,374 2,446 935 10,251 1,367 1,333 7,371 3,459 11,383 1,702 172,860

1,051 2,502 492 1,097 4,701 1,912 7,201 816 10,611 3,206 695 11,312 424 2,172 6,855 2,917 10,776 1,226 181,612

4,900 54,000 205,700 68,300 182,400 58,300 14,800 26,600 81,200 30,300 51,100 45,400 1,173,977 200,900 72,000 219,596 13,888 12,800 57,400 23,700 273,700 62,595 98,800 261,960 63,300 116,700 16,400 46,300 37,200 113,100 159,720 89,800 35,629 118,600 27,500 97,700 29,100 114,700 30,400 52,500 45,400 214,600 41,700 61,662

1,001 2,814 9,569 3,327 8,543 4,200 613 1,507 2,672 1,456 3,827 6,861 17,451 7,447 2,195 21,771 3,595 1,017 3,238 424 6,478 6,051 5,917 13,177 1,335 9,291 546 3,068 3,526 4,620 4,159 6,339 10,519 7,615 5,496 8,670 4,434 1,682 1,023 1,149 7,034 8,546 1,491 828

690 3,897 14,389 4,150 9,647 6,623 1,330 2,906 3,586 1,442 4,410 8,190 15,579 7,805 2,564 31,795 4,757 1,688 3,645 628 6,927 8,182 7,399 11,104 1,265 11,367 675 4,696 4,054 6,061 3,752 11,530 13,814 8,169 6,272 9,041 4,818 2,018 1,014 1,566 6,746 9,524 1,475 1,000

See accompanying notes to financial statements.

West Virginia Investment Management Board A-6

Large Cap Domestic Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Huntington Bancshares Inc Intercontinental Exchange Inc Invesco Limited JP Morgan Chase & Co KeyCorp Kimco Realty Corporation Legg Mason Inc Leucadia National Corporation Lincoln National Corp Loews Corp M & T Bank Corporation Macerich Company Marsh & McLennan Cos Inc MasterCard Inc MetLife Inc Moody's Corp Morgan Stanley Nasdaq Inc Navient Corporation Northern Trust Corp PayPal Holdings Inc People's United Financial Inc PNC Financial Services Group Principal Financial Group Inc Progressive Corp Prologis Inc Prudential Financial Inc Public Storage Realty Income Corp Regions Financial Corp S&P Global Inc Simon Property Group Inc SL Green Realty Corp State Street Corp SunTrust Banks Inc Synchrony Financial T Rowe Price Group Inc Torchmark Corporation Total System Services Inc Travelers Cos Inc UDR Inc Unum Group US Bancorp Ventas Inc Visa Inc Vornado Realty Trust Wells Fargo & Company Welltower Inc Western Union Company Weyerhaeuser Company Willis Towers Watson PLC XL Group PLC Zions Bancorporation Total Financial Services - 17.2% Health Care Abbott Laboratories AbbVie Inc Aetna Inc Agilent Technologies Inc Alexion Pharmaceuticals Inc Allergan PLC AmerisourceBergen Corp Amgen Inc Anthem Inc

Cost

Fair Value

340,600 31,631 36,300 461,853 72,000 182,300 8,700 31,600 19,500 24,900 29,001 38,800 156,200 151,700 92,700 49,900 127,400 92,900 27,800 41,400 200,400 252,500 60,700 23,500 335,500 85,100 43,400 53,200 87,900 128,100 83,800 43,916 9,200 33,100 75,800 74,147 20,700 52,700 135,200 89,100 98,300 26,600 263,900 28,400 326,500 15,940 698,500 30,000 40,200 65,879 14,321 111,600 39,700

3,398 6,561 714 21,716 616 4,681 270 805 559 893 3,209 2,821 6,022 9,224 3,837 3,393 3,879 3,977 156 2,666 5,859 4,005 4,294 671 10,253 3,369 2,557 11,203 5,249 872 5,104 6,100 1,233 1,687 2,473 2,234 1,150 2,270 6,384 7,556 3,528 621 8,511 1,349 11,184 1,100 25,552 1,706 603 1,481 1,765 3,629 968 452,439

3,045 8,096 927 28,700 796 5,721 257 548 756 1,023 3,429 3,313 10,693 13,359 3,692 4,676 3,310 6,008 332 2,743 7,317 3,702 4,940 966 11,239 4,173 3,096 13,597 6,097 1,090 8,988 9,525 980 1,785 3,114 1,874 1,510 3,258 7,180 10,606 3,629 846 10,643 2,068 24,217 1,596 33,060 2,285 771 1,961 1,780 3,717 998 566,222

124,300 139,000 124,329 29,600 24,800 89,069 90,700 86,277 117,100

3,736 5,279 8,329 787 3,098 18,719 5,910 8,307 11,478

4,886 8,605 15,184 1,313 2,896 20,583 7,194 13,127 15,380

See accompanying notes to financial statements.

West Virginia Investment Management Board A-7

Large Cap Domestic Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Baxter International Inc Becton Dickinson & Company Biogen Inc Boston Scientific Corp Bristol-Myers Squibb Company Cardinal Health Inc Celgene Corporation Centene Corp Cerner Corporation CIGNA Corporation CR Bard Inc DaVita HealthCare Partners Inc DENTSPLY SIRONA Inc Edwards Lifesciences Corp Eli Lilly and Company Endo International PLC Express Scripts Holding Co Gilead Sciences Inc HCA Holdings Inc Henry Schein Inc Hologic Inc Humana Inc Illumina Inc Intuitive Surgical Inc Johnson & Johnson Laboratory Corp of Amer Hldgs Mallinckrodt PLC McKesson Corp Medtronic PLC Merck & Co Inc Mylan NV Patterson Companies Inc PerkinElmer Inc Perrigo Co PLC Pfizer Inc Quest Diagnostics Inc Regeneron Pharmaceuticals Inc St Jude Medical Inc Stryker Corporation Thermo Fisher Scientific Inc UnitedHealth Group Inc Universal Health Services Inc Varian Medical Systems Inc Vertex Pharmaceuticals Inc Waters Corporation Zimmer Biomet Holdings Inc Zoetis Inc Total Health Care - 12.4% Technology Accenture PLC Activision Blizzard Inc Adobe Systems Inc Akamai Technologies Inc Alliance Data Systems Corp Alphabet Inc Amphenol Corp Analog Devices Inc Apple Inc Applied Materials Inc Autodesk Inc Broadcom LTD CA Inc Cisco Systems Inc Citrix Systems Inc

Cost

Fair Value

46,345 58,708 18,500 221,000 146,142 108,200 103,000 14,100 25,100 126,200 19,400 13,500 119,100 131,200 140,500 19,500 53,568 199,800 25,200 43,100 23,100 12,500 12,300 4,000 334,500 8,500 8,800 21,700 151,176 237,880 37,900 7,600 63,000 12,900 678,737 12,700 25,400 25,000 35,900 104,100 152,000 34,400 9,100 31,700 20,500 16,000 104,199

1,465 6,354 2,548 2,751 4,944 6,839 6,946 883 835 10,564 2,738 543 6,984 9,260 7,944 1,577 2,957 9,601 1,854 6,731 797 828 2,168 1,559 24,742 717 643 2,279 11,344 9,555 2,250 207 2,889 2,035 16,633 690 9,836 1,033 2,457 10,413 9,994 3,899 407 2,920 2,109 957 4,278 287,600

2,096 9,956 4,474 5,165 10,749 8,441 10,159 1,006 1,471 16,152 4,562 1,044 7,389 13,085 11,064 304 4,060 16,667 1,941 7,620 799 2,248 1,727 2,646 40,575 1,107 535 4,050 13,118 13,704 1,639 364 3,302 1,170 23,898 1,034 8,870 1,950 4,302 15,382 21,462 4,613 748 2,727 2,883 1,926 4,945 408,297

109,900 370,300 106,600 15,100 5,200 70,278 29,100 25,600 805,600 125,100 19,600 114,753 24,200 452,500 21,100

9,497 11,823 7,659 533 1,336 32,414 855 851 43,220 1,955 603 11,438 456 9,612 1,166

12,451 14,675 10,211 845 1,019 49,039 1,668 1,450 77,015 2,999 1,061 17,833 794 12,982 1,690

See accompanying notes to financial statements.

West Virginia Investment Management Board A-8

Large Cap Domestic Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Cognizant Tech Solutions Corp Corning Inc CSRA Inc Electronic Arts Inc EMC Corporation F5 Networks Inc Facebook Inc Fidelity Ntl Information Svcs Fiserv Inc FLIR Systems Inc Global Payments Inc Harris Corporation Hewlett Packard Enterprise HP Inc IBM Corporation Intel Corporation Intuit Inc Juniper Networks Inc KLA-Tencor Corporation Lam Research Corporation Linear Technology Corp Microchip Technology Inc Micron Technology Inc Microsoft Corporation Motorola Solutions Inc NetApp Inc NVIDIA Corporation Oracle Corporation Paychex Inc Qorvo Inc Qualcomm Inc Red Hat Inc Salesforce.com Inc Seagate Technology PLC Skyworks Solutions Inc Symantec Corporation TE Connectivity Ltd Teradata Corporation Texas Instruments Inc VeriSign Inc Western Digital Corp Xerox Corporation Xilinx Inc Yahoo! Inc Total Technology - 15.2% Utilities AES Corporation AGL Resources Inc Alliant Energy Corp Ameren Corporation American Electric Power Co Inc American Water Works Co Inc CenterPoint Energy Inc CMS Energy Corporation Consolidated Edison Inc Dominion Resources Inc DTE Energy Company Duke Energy Corp Edison International Entergy Corporation Eversource Energy Exelon Corp FirstEnergy Corp NextEra Energy Inc

Cost

Fair Value

61,700 90,000 12,300 199,200 202,700 5,400 349,600 104,300 168,200 12,700 34,217 37,000 139,800 152,400 75,000 612,200 69,200 293,400 14,500 46,950 21,200 43,700 89,800 1,144,702 75,218 27,800 249,000 264,200 104,900 10,800 124,500 51,000 56,700 26,600 16,000 50,600 29,900 14,300 94,800 72,500 25,920 83,895 106,100 73,600

2,242 1,520 318 11,421 4,256 734 23,532 4,851 8,706 355 2,536 2,544 2,658 2,636 10,283 15,805 4,901 7,813 595 3,152 685 1,827 967 39,064 5,025 889 6,718 7,216 4,801 886 6,539 3,110 2,265 763 1,474 835 1,203 540 3,307 5,599 1,199 714 4,573 1,586 346,061

3,532 1,843 288 15,091 5,507 615 39,952 7,685 18,288 393 2,442 3,087 2,554 1,913 11,384 20,080 7,723 6,599 1,062 3,947 986 2,218 1,236 58,574 4,962 684 11,705 10,814 6,242 597 6,669 3,703 4,503 648 1,012 1,039 1,708 359 5,939 6,268 1,225 796 4,894 2,764 499,262

61,900 19,400 19,300 108,900 104,200 60,200 36,900 171,700 63,900 56,500 77,400 63,907 73,100 15,500 84,296 94,347 35,238 95,600

843 1,021 766 4,761 5,218 4,278 572 5,339 4,029 2,894 5,163 3,797 3,825 1,167 4,029 3,763 1,482 6,942

773 1,280 766 5,835 7,303 5,088 886 7,874 5,140 4,403 7,672 5,483 5,678 1,261 5,049 3,430 1,230 12,466

See accompanying notes to financial statements.

West Virginia Investment Management Board A-9

Large Cap Domestic Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

NiSource Inc NRG Energy Inc PG&E Corp Pinnacle West Capital Corp PPL Corporation Public Service Enterprise Grp SCANA Corporation Sempra Energy Southern Company TECO Energy Inc WEC Energy Group Inc Xcel Energy Inc Total Utilities - 4.8%

Cost

207,100 31,400 79,800 49,300 221,300 97,400 97,900 80,500 123,500 180,000 137,307 162,000

2,937 785 3,892 3,219 7,396 3,616 6,305 6,260 5,258 4,728 6,270 5,520 116,075

5,492 471 5,101 3,996 8,354 4,540 7,407 9,179 6,623 4,975 8,966 7,256 153,977

2,353,159

3,150,846

11,749 10,784

11,749 10,784

22,533

22,533

23,906 23,306 18,203 19,248 436 25,355

23,906 23,306 18,203 19,248 436 25,355 110,454

23,906 23,306 18,203 19,248 436 25,355 110,454

35,337 3,170 114,571 5,923 21,894 7,042 22,634 10,200 4,154 13,882 3,868 20,371 5,369 37,425 8,642

35,337 3,170 114,571 5,923 21,894 7,042 22,634 10,200 4,154 13,882 3,868 20,371 5,369 37,425 8,642 314,482

35,337 3,170 114,571 5,923 21,894 7,042 22,634 10,200 4,154 13,882 3,868 20,371 5,369 37,425 8,642 314,482

22,618 20,354 20,807 22,490 19,276

22,618 20,354 20,807 22,490 19,276 105,545

22,618 20,354 20,807 22,490 19,276 105,545

530,481

530,481

Total Common Stock - 95.8% Money Market Mutual Funds Dreyfus Cash Management Institutional Fund Dreyfus Treasury Prime Cash Management Institutional Fund

11,748,519 10,784,243

Total Money Market Mutual Funds - 0.7% Investments made with Cash Collateral for Securities Loaned Money Market Mutual Funds Blackrock Cash Funds: Prime - Institutional Shares Federated Money Market Management - Institutional Shares Fidelity Institutional Money Market Prime Money Market Portfolio Invesco Government Liquidity Funds Assets Portfolio Morgan Stanley Institutional Liquidity Funds Government Portfolio Morgan Stanley Institutional Liquidity Funds Prime Portfolio Total Money Market Mutual Funds - 3.4% Repurchase Agreements Barclays Bank PLC, 0.38% Due 7/1/2016 BNP Paribas Securities Corp, 0.38% Due 7/1/2016 Cantor Fitzgerald Securities Inc, 0.47% Due 7/1/2016 Citigroup Global Markets Inc, 0.46% Due 7/1/2016 Citigroup Global Markets Inc, 0.39% Due 7/6/2016 Deutsche Bank Securities Inc, 0.45% Due 7/1/2016 Deutsche Bank Securities Inc, 0.7% Due 7/5/2016 ING Bank NV, 0.55% Due 7/1/2016 Mizuho Securities USA Inc, 0.38% Due 7/1/2016 Mizuho Securities USA Inc, 0.4% Due 7/1/2016 Morgan, Stanley & Co. LLC, 0.56% Due 8/2/2016 Morgan, Stanley & Co. LLC, 0.68% Due 9/29/2016 Morgan, Stanley & Co. LLC, 0.73% Due 10/3/2016 Societe Generale, 0.4% Due 7/1/2016 Societe Generale, 0.51% Due 8/4/2016 Total Repurchase Agreements - 9.6% Time Deposits BNP Paribas, 0.28% Due 7/1/2016 Credit Agricole CIB, 0.31% Due 7/1/2016 HSBC Bank PLC, 0.35% Due 7/1/2016 Nordea Bank Finland PLC, 0.28% Due 7/1/2016 Svenska Handelsbanken AB, 0.3% Due 7/1/2016 Total Time Deposits - 3.0% Total Investments made with Cash Collateral for Securities Loaned - 12.6% Total Investments - 112.5%

Fair Value

$

See accompanying notes to financial statements.

West Virginia Investment Management Board A-10

2,906,173

$

3,703,860

Large Cap Domestic Equity Pool Statement of Operations Year Ended June 30, 2016 (Amounts in thousands)

Investment income Dividends Net securities lending income

$

Total investment income

68,887 532 69,419

Expenses Investment advisor fees Trustee fees Custodian bank fees Management fees Fiduciary bond fees Professional service fees

(3,824) (10) (100) (885) (5) (161) Total expenses

(4,985)

Investment income, net

64,434

Realized and unrealized gain (loss) from investments Net realized gain (loss) from: Investments Futures contracts

137,518 (773) 136,745

Net change in unrealized appreciation (depreciation) on: Investments Futures contracts

(73,284) 3,229 (70,055) Net gain from investments

Net increase in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board A-11

66,690 $

131,124

Large Cap Domestic Equity Pool Statement of Changes in Net Assets Year Ended June 30, 2016 (Amounts in thousands, except unit data)

Operations Investment income, net Net realized gain from investments Net change in unrealized appreciation (depreciation) on investments

$

Net increase in net assets from operations

64,434 136,745 (70,055) 131,124

Unit transactions Proceeds from sale of units Amount paid for repurchase of units

157,584 (416,410) Net decrease in net assets from unit transactions

(258,826)

Decrease in net assets

(127,702)

Net assets, beginning of year Net assets, end of year

3,419,492 $

3,291,790

Unit data Units sold Units repurchased

7,035,351 (18,454,936) Net decrease in units

See accompanying notes to financial statements.

West Virginia Investment Management Board A-12

(11,419,585)

Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The accompanying financial statements reflect only the investments and investment related operations of the IMB’s Large Cap Domestic Equity Pool (Pool). They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP Not required Required Required Not required Required

State and Local GAAP Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. The Pool’s objective is to exceed, net of external investment management fees, the S&P 500 Stock Index over three- to fiveyear periods. Assets are managed by INTECH Investment Management, LLC (INTECH) and State Street Global Advisors (SSgA). NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The IMB reports its investments at fair value in accordance with the FASB’s ASC Topic 820 (ASC 820). Refer to Note 5 for further discussion and presentation of the reporting requirements under ASC 820. Fair value of the Pool’s portfolio securities is determined as follows: •

Equity securities are valued at the last sale price or official closing price reported in the market in which they are primarily traded.

West Virginia Investment Management Board A-13

Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) • • •

•

Open-end regulated investment companies or other commingled investment funds are valued at the net asset value of the fund as reported by the fund’s administrator. Futures contracts are valued at the last settlement price established each day by the exchange on which they are traded. Fixed income securities are valued according to prices furnished by independent pricing services to the Pool’s custodian. These services determine the security prices by a number of methods including, but not limited to, dealer quotes, live market trading levels when available, live feeds of trade execution data, spreads over U.S. Treasury securities, and other models and formulae appropriate to the specific security type. Repurchase agreements and time deposits are valued at amortized cost, provided such amount approximates fair value.

Investments for which the fair value cannot be determined by one of the above listed processes are valued at fair value as determined in accordance with the IMB’s established procedures. Repurchase Agreements - In connection with transactions in repurchase agreements, it is the IMB's policy that its designated custodian or mutual third party take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the IMB may be delayed or limited. Security Loans - The IMB, through its lending agent, the Bank of New York Mellon, loans securities to various brokers on a temporary basis. Each transaction for U.S. securities is secured by collateral based on the market value of the securities loaned. The required collateral percentage varies based on the type of collateral received. The required percentage for cash collateral and non-cash collateral consisting of debt obligations and securities issued by the United States Government or its agencies or instrumentalities is at least 102 percent of the market value of the securities loaned. The required percentage of non-cash collateral consisting of equity securities is at least 107 percent of the market value of the securities loaned. Cash collateral received is invested in repurchase agreements, money market mutual funds, and time deposits. Such investments, except for repurchase transactions, are made at the risk of the Pool and, as such, the Pool is liable for investment losses. The lending agent contractually indemnifies the IMB for any repurchase agreement investment losses. Investments made with cash are reported at fair value on the Statement of Assets and Liabilities. Securities loaned remain on the Statement of Assets and Liabilities and Schedule of Investments. The IMB receives compensation in the form of loan premium fees and income from the investment of the cash collateral. Expenses related to the lending of securities are rebates paid by the lending agent to brokers and the lending agent’s fees for its services. The income earned by the IMB is reported in the Statement of Operations as net securities lending income. The IMB also continues to receive dividends on the securities loaned. Gains or losses in the fair value of the securities loaned that may occur during the term of the loans are reflected in the Statement of Operations as a change in unrealized appreciation or depreciation on investments. Futures Contracts - A futures contract is an agreement between a buyer or a seller and the clearinghouse of a futures exchange in which the parties agree to buy or sell a commodity, financial instrument or index at a specified future date and price. Upon entering into a financial futures contract, the IMB is required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Cash (variation margin) is received from or paid to the broker on a daily basis for the fluctuations of the underlying securities or index. The IMB records futures at fair market value as determined by the exchange on which they are traded. Gains or losses on open futures positions are unrealized. These gains or losses become realized when the position is closed. Stock index futures may be used to provide immediate exposure to fluctuations in the market values of the stocks in the underlying index and to provide liquidity for cash flows. The market risk associated with holding stock index futures results from changes in the market value of the contractual positions due to changes in the value of the underlying instruments or indices. Investment risk associated with these futures contracts arises because the value of the futures contracts may not correlate perfectly with changes in the values of the underlying instruments or indices due to market distortions.

West Virginia Investment Management Board A-14

Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Other risks associated with futures contracts are liquidity risk and credit risk. Liquidity risk arises when there is insufficient trading in a particular futures contract. Credit risk arises from the potential inability of counterparties to meet the terms of the contracts. The IMB’s managers generally only utilize futures contracts that are traded on major exchanges or are executed with major dealers. The major exchanges assume the risk of a counterparty default and generally require an initial margin deposit of cash or securities. Investment Transactions - Investment transactions are accounted for on a trade date basis. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. 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. Interest Income - Interest income is recognized as earned on the accrual method. Dividend Income - Dividend income is recognized on the ex-dividend date. Distributions to Participants - The Pool does not routinely distribute dividends of net investment income or net realized gains. Expenses - The IMB's Trustees adopt an annual budget and fee schedule for services to be provided to all of the investment pools under its management. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. These other expenses are allocated to the individual pools based on asset size. The IMB pays all expenses on behalf of the Pool. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for income taxes is required as of June 30, 2016. Indemnifications - In the normal course of business, the IMB has entered into contracts that provide a variety of indemnifications. Any exposure to the Pool under these arrangements would involve future claims that may be made against the IMB. The Pool’s maximum exposure under these arrangements is unknown. No such claims have occurred, nor are they expected to occur therefore the IMB expects the risk of loss to be remote.

West Virginia Investment Management Board A-15

Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 3. INVESTMENT RISK DISCLOSURES Credit Risk The Pool is exposed to credit risk from certain investments made with cash collateral for securities loaned. This risk is limited by requiring minimum ratings on debt instruments. Long-term debt instruments must be rated A or better by Moody’s or Standard & Poor’s at the time of purchase. Short-term debt instruments must be rated P-1 by Moody’s or A-1 by Standard & Poor’s at the time of purchase.

Investment Type Foreign corporate bonds Foreign government bonds Money market mutual funds Time deposits U.S. corporate bonds U.S. Government agency bonds U.S. Government agency MBS U.S. Treasury bonds Total rated investments Common stock Total investments

Moody’s A Aa Aaa P-1 A Aaa Aaa Aaa

S&P A A AAA A-1 A AA AA AA

$

$

Fair Value 3,156 10 132,987 105,546 12,246 3,335 109,742 32,119 399,141 3,322,262 3,721,403

Percent of Total Investments 0.1% 0.0 3.6 2.8 0.3 0.1 2.9 0.9 10.7 89.3 100.0%

This table includes investments received as collateral for repurchase agreements with a fair value of $332,025 as compared to the amortized cost of the repurchase agreements of $314,482. Concentration of Credit Risk The Pool is restricted from investing more than 5 percent of the value of the Pool in any one company. At June 30, 2016, the Pool was in compliance with this restriction and is not exposed to concentration of credit risk. Custodial Credit Risk At June 30, 2016, the Pool held no securities that were subject to custodial credit risk. Repurchase agreements, when held, are collateralized to a minimum of 102 percent and the collateral is held in the name of the IMB. All remaining securities are held by the IMB’s custodian in the name of the IMB. Interest Rate Risk The Pool is exposed to interest rate risk from certain investments made with cash collateral for securities loaned. The weighted average maturity for investments made with cash collateral for securities loaned is not to exceed 90 days. The following table provides the weighted average maturities (WAM) for applicable investments made with cash collateral for securities loaned as of June 30, 2016. Investment Type Repurchase agreements Time deposits

$ Total

$

Fair Value 314,482 105,545 420,027

Foreign Currency Risk The Pool is exposed to no or minimal foreign currency risk.

West Virginia Investment Management Board A-16

WAM (days) 2 1 1

Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 4. DERIVATIVE FINANCIAL INSTRUMENTS Futures contracts are the only derivative financial instruments held in the Pool. These derivative financial instruments are not designated as hedging instruments under ASC 815; they are used to provide immediate exposure to fluctuations in the market values of the stocks in the underlying index and to provide liquidity for cash flows. The primary underlying risk exposure managed by using these derivative financial instruments is market risk. See Note 2 for discussion on the risks associated with investing in these derivatives. The table below presents the fair value of the derivative financial instruments recorded in the Statement of Assets and Liabilities as of June 30, 2016:

Derivative Type Equity contracts

Asset Derivatives Statement of Assets and Liabilities Location Fair Value Unrealized appreciation on futures contracts

$

Liability Derivatives Statement of Assets and Liabilities Location Fair Value

3,026

$

-

The table below presents the impact of the derivative financial instruments recorded in the Statement of Operations for the year ended June 30, 2016:

Derivative Type

Statement of Operations Location

Realized Gain (Loss)

Equity contracts Net realized loss from futures contracts

$

(773)

Statement of Operations Location

Change in Unrealized Appreciation (Depreciation)

Change in unrealized appreciation (depreciation) on futures contracts

$

3,229

The Pool’s open futures contracts outstanding at June 30, 2016, as disclosed in Note 7, is indicative of the volume of futures activity for the year ended June 30, 2016. NOTE 5. FAIR VALUE MEASUREMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Fair value of an investment is the amount 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 (i.e., the exit price). ASC 820 established a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical financial instruments (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are:

West Virginia Investment Management Board A-17

Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 5. FAIR VALUE MEASUREMENTS (continued) Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 2 Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not considered active; observable inputs other than observable quoted prices for the asset or liability; or inputs derived principally from or corroborated by observable market data. Level 3 Unobservable pricing inputs for assets and liabilities. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The table below summarizes the valuation of the investment securities in accordance with ASC 820 fair value hierarchy levels as of June 30, 2016: Assets Common stock Futures contracts Investments made with cash collateral for securities loaned Money market mutual funds Total

Level 1 $ 3,150,846 3,026

$

110,454 22,533 3,286,859

Level 2 $

Level 3 -

$

420,027 420,027

$

$

-

$

$

Total 3,150,846 3,026 530,481 22,533 3,706,886

There were no transfers in or out of Levels 1 and 2 during the year ended June 30, 2016. NOTE 6. SECURITIES LENDING The following table presents the amounts of various accounts related to securities lending at June 30, 2016.

Securities on loan Collateral received: Cash Non-cash Total collateral received

$

$ $

Fair Value 798,386

530,481 297,962 828,443

The Bank of New York Mellon (BNYM), as agent for the IMB, loans the IMB’s securities to various counterparties. These transactions are executed under Master Securities Lending Agreements (MSLA) which permit BNYM under certain circumstances, such as defaults, to offset amounts payable to the same counterparty against amounts to be received and thus create one single net payment due to or from the counterparty. The amounts listed in the above table represent all securities loaned which are subject to a MSLA on a net payment basis. The IMB has elected not to offset the fair value of the securities on loan against the liability for the return of the collateral on the Statement of Assets and Liabilities.

West Virginia Investment Management Board A-18

Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 7. FUTURES CONTRACTS At June 30, 2016, open positions in futures contracts were as follows:

Expiration Sept 2016

Open Contracts 1,049 S&P 500

Position

Notional Value at June 30, 2016

Long

$

109,631

Notional Value Upon Entering Contract $

Unrealized Appreciation (Depreciation)

106,605

$

3,026

At June 30, 2016, the Pool had pledged cash of $2,607 to cover margin requirements on open futures contracts. NOTE 8. INVESTMENT ADVISORY FEES The IMB has approved investment advisory agreements with INTECH and SSgA to manage the investments of the Pool. These agreements provide for quarterly payments, based on average end of month assets under management, to the investment advisors. The IMB makes these payments and the Pool transfers funds to the IMB to facilitate the payments. The fees paid to INTECH consist of a base fee of 0.05 percent annually of the net assets under management and a performance incentive fee that is earned when the actual investment return exceeds the return of the S&P 500 over rolling three-year periods. The maximum fee allowable under the agreement is 0.70 percent annually of the net assets under management. The effective fee rate earned by INTECH for the year ended June 30, 2016, was 0.22 percent. The fees paid to SSgA include a base fee of 0.02 percent annually on the first $50 million of net assets under management and a base fee of 0.01 percent annually on the assets over $50 million. The effective fee rate earned by SSgA for the year ended June 30, 2016, was 0.01 percent. NOTE 9. FINANCIAL HIGHLIGHTS Per Unit Operating Performance (a): Net asset value at June 30, 2015 Income from investment operations: Net investment income Net realized and unrealized gain on investment transactions Total from investment operations Net asset value at June 30, 2016 Total Return (b) Supplemental Data: Ratio to average net assets (c): Expenses Net investment income Portfolio turnover rate (a) Calculation based on the average shares outstanding (b) Return data is net of fees for the full fiscal year (c) All ratios are for the fiscal year

West Virginia Investment Management Board A-19

$

22.54

$

0.44 0.49 0.93 23.47 4.1%

0.15% 1.93% 36.57%

Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 10. SCHEDULE OF PARTICIPATION The following schedule provides the value of participants’ accounts in the Pool at June 30, 2016. Participant Teachers' Retirement System Public Employees' Retirement System Workers' Compensation Old Fund West Virginia Retiree Health Benefit Trust Fund State Police Death, Disability and Retirement Fund Revenue Shortfall Reserve Fund - Part B Deputy Sheriff's Retirement System Judges' Retirement System State Police Retirement System Coal Workers' Pneumoconiosis Fund Public Employees Insurance Agency West Virginia Department of Environmental Protection Agency Board of Risk and Insurance Management Emergency Medical Services Retirement System West Virginia Prepaid Tuition Trust Fund Wildlife Endowment Fund Workers' Compensation Self-Insured Employer Security Risk Pool Workers' Compensation Self-Insured Employer Guaranty Risk Pool West Virginia Department of Environmental Protection Trust Berkeley County Development Authority Workers' Compensation Uninsured Employers' Fund Municipal Police Officers' and Firefighters' Retirement System Municipal Policemen’s or Firemen’s Pension and Relief Funds Total

Account Value 1,386,945 1,208,724 157,082 130,999 121,456 46,537 37,009 35,736 29,775 29,399 20,772 19,089 15,710 12,643 12,169 11,736 6,496 3,968 2,013 1,307 1,298 642 285 $ 3,291,790 $

NOTE 11. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through September 9, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board A-20

June 30, 2016

B

NON-LARGE CAP DOMESTIC EQUITY POOL

AUDITED FINANCIAL STATEMENTS

Non-Large Cap Domestic Equity Pool Audited Financial Statements June 30, 2016 Table of Contents

Independent Auditors’ Report

Statement of Assets and Liabilities

B-1

Schedule of Investments

B-2

Statement of Operations

B-7

Statement of Changes in Net Assets

B-8

Notes to Financial Statements

B-9

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board NonLarge Cap Domestic Equity Pool, which comprise the statement of assets and liabilities, including the schedule of investments, as of June 30, 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board Non-Large Cap Domestic Equity Pool at June 30, 2016, and the results of its operations and changes in its net assets for the year then ended, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

September 9, 2016

A member firm of Ernst & Young Global Limited

Non-Large Cap Domestic Equity Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands, except unit data)

Assets Investments at fair value (cost $1,107,240), including securities on loan of $422,464 (Note 5) Receivables: Investments sold Dividends Securities lending income

$

1,141,869

18,904 972 66 Total assets

1,161,811

Liabilities Accrued expenses Payable for investments purchased Payable upon return of securities loaned (Note 5)

190 10,252 369,258 Total liabilities Net assets

379,700 $

782,111

$

28,623,278 27.32

Unit data Units outstanding Net asset value, unit price

See accompanying notes to financial statements.

West Virginia Investment Management Board B-1

Non-Large Cap Domestic Equity Pool Schedule of Investments June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Common Stock Basic Materials Axalta Coating Systems Ltd Cabot Corporation Clearwater Paper Corp Dominion Diamond Corp Global Brass & Copper Holdings Kaiser Aluminum Corp Martix Service Co Mercer International Inc Nevsun Resources LTD Olympic Steel PolyOne Corporation Reliance Steel & Aluminum Co Ryerson Holding Corp Summit Materials Inc Trinseo SA WR Grace & Co Total Basic Materials - 5.6%

234,380 23,909 10,764 117,328 16,750 57,392 29,331 209,300 435,474 13,534 156,460 68,918 55,631 182,790 88,676 80,995

Cost

$

Fair Value

6,707 1,142 428 1,706 477 4,596 473 2,934 1,678 345 4,873 4,907 764 3,683 3,639 6,286 44,638

$

6,218 1,092 704 1,037 457 5,189 484 1,670 1,280 370 5,514 5,300 974 3,740 3,807 5,930 43,766

Capital Goods Acco Brands Corp Aegion Corp Allegiant Travel Company AO Smith Corp Atlas Air Worldwide Holdings Babcock & Wilcox Enterprises Brink's Company Builders Firstsource Inc BWX Technologies Comfort Systems USA Inc EMCOR Group Inc Flowserve Corp Hawaiian Holdings Inc HD Supply Holdings Inc Huntington Ingalls Industries IHS Inc Knoll Inc Lennox International Inc MasTec Inc Meritor Inc Middleby Corporation Miller Herman Inc Myers Industries Inc MYR Group Inc Old Dominion Freight Line Inc Owens Corning Inc Quanta Services Inc REX American Resources Corp SkyWest Inc Snap-On Inc Spirit AeroSystems Holdings TransDigm Group Inc Wabash National Corporation WESCO International Inc Total Capital Goods - 15.8%

37,038 249,312 37,322 59,970 6,240 22,737 87,769 565,350 79,445 48,463 108,650 89,800 46,227 222,490 29,417 55,410 269,830 46,920 83,641 110,619 46,705 35,025 16,673 115,191 99,140 83,098 148,632 21,925 82,495 49,355 75,209 15,285 352,360 18,951

326 4,543 7,306 4,518 267 487 2,645 7,241 2,720 1,068 4,604 4,299 918 6,732 1,495 5,617 6,231 4,966 1,642 1,348 4,990 878 233 3,140 6,413 3,608 3,348 1,268 1,606 7,743 3,327 2,001 4,729 1,079 113,336

383 4,864 5,654 5,284 258 334 2,501 6,360 2,842 1,578 5,352 4,056 1,755 7,747 4,943 6,406 6,551 6,691 1,867 796 5,383 1,047 240 2,774 5,979 4,281 3,436 1,312 2,183 7,789 3,234 4,031 4,475 976 123,362

Communication Services EarthLink Holdings Corp FairPoint Communications MagicJack VocalTec Ltd Total Communication Services - 0.8%

458,961 165,370 127,396

3,078 2,220 1,060 6,358

2,937 2,428 801 6,166

53,241

1,941

1,165

Consumer Discretionary Aaron's Inc

See accompanying notes to financial statements.

West Virginia Investment Management Board B-2

Non-Large Cap Domestic Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Big Lots Inc Bravo Brio Restaurant Group Carrols Restaurant Group Inc Cooper Tire & Rubber Company Dana Holding Corporation Ethan Allen Interiors Inc Francesca's Holding Corp Gannett Co Inc Goodyear Tire & Rubber Co Hertz Global Holdings Inc Interpublic Group of Co Inc Jack in the Box Inc La-Z-Boy Inc Lear Corporation Lions Gate Entertainment Corp LKQ Corporation Lululemon Athletica Movado Group Inc MSG Networks Inc New Media Investment Group Inc Nexstar Broadcasting Group Nord Anglia Education Inc NVR Inc Rent-A-Center Inc RetailMeNot Inc Sonic Corporation Strayer Education Inc Time Inc Ulta Salon Cosmetics & Frag Vail Resorts Inc Visteon Corporation Total Consumer Discretionary - 11.7% Consumer Staples Aramark Avon Products Inc Dean Foods Company Ingredion Inc Medifast Inc Nu Skin Enterprises Inc Omega Protein Corporation Pinnacle Foods Inc Sanderson Farms Inc Total Consumer Staples - 2.5% Energy Archrock Inc Atwood Oceanics Inc Bill Barrett Corporation Bristow Group Inc Cosan Lte DHT Holdings Inc Diamond Offshore Drilling Inc Dril-Quip Inc Ensco PLC Euronav NV Nabors Industries Ltd Noble Corp plc Oceaneering International Inc Oil States International Inc Pioneer Energy Services Corp Renewable Energy Group Inc Rowan Companies PLC Superior Energy Services, Inc

Cost

Fair Value

78,649 65,033 26,870 120,140 50,530 117,871 100,539 110,106 72,677 51,357 250,720 68,150 16,227 19,202 142,810 237,140 58,810 63,285 143,662 203,973 120,370 174,295 377 172,451 194,095 155,192 9,716 252,072 26,435 50,955 10,656

3,968 773 327 3,654 1,067 3,800 1,834 1,614 2,296 577 5,559 4,635 387 1,162 3,118 7,725 3,432 1,614 2,515 3,542 5,564 3,651 443 2,254 1,642 4,335 487 3,653 2,773 5,000 820 86,162

3,941 533 320 3,583 534 3,894 1,111 1,521 1,865 569 5,792 5,855 451 1,954 2,889 7,517 4,344 1,372 2,204 3,686 5,727 3,685 671 2,118 1,496 4,198 477 4,149 6,441 7,044 701 91,807

260,280 190,733 251,043 2,759 51,090 19,367 62,653 28,310 4,489

8,442 814 4,407 291 1,645 752 1,304 1,279 401 19,335

8,699 721 4,541 357 1,700 895 1,252 1,310 389 19,864

88,389 277,594 104,076 32,061 87,494 623,045 15,028 19,240 310,259 304,733 89,137 94,567 31,412 160,577 79,809 39,698 273,563 49,271

788 4,460 780 463 483 3,514 369 1,152 5,145 3,267 957 1,349 993 5,450 357 340 4,828 962

833 3,475 665 366 570 3,134 366 1,124 3,013 2,794 896 779 938 5,280 367 351 4,831 907

See accompanying notes to financial statements.

West Virginia Investment Management Board B-3

Non-Large Cap Domestic Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Tsakos Energy Navigation Ltd Total Energy - 4.0% Financial Services Affiliated Managers Group Inc Altisource Portfolio Solutions American Financial Group Inc Ashford Hospitality Trust Aspen Insurance Holdings Ltd Assurant Inc Assured Guaranty Ltd Axis Capital Hldgs Ltd Berkshire Hills Bancorp Inc Brandywine Realty Trust Care Capital Properties Inc CBL & Associates Properties Central Pacific Financial Corp Colony Starwood Homes Coresite Realty Corporation CoStar Group Inc Customers Bancorp Inc Evercore Partners Inc Everest Re Group Ltd Farmer Mac Federated National Holding Co First NBC Bank Holding Company First Potomac Realty Trust First Republic Bank FirstService Corporation Flagstar Bancorp Inc GAMCO Investors Inc Gaming and Leisure Properties Genworth Financial Inc Great Western Bancorp Inc Green Dot Corporation Hanover Insurance Group Inc HCI Group Inc Hersha Hospitality Trust Highwoods Properties, Inc Hospitality Properties Trust Jones Lang LaSalle Inc KCG Holdings Inc LaSalle Hotel Properties Liberty Property Trust Mack-Cali Realty Corp MGIC Investments Corp MSCI Inc National Storage Affiliates Navient Corporation Northrim BanCorp Inc Old Republic International Cor Popular Inc Radian Group Inc Raymond James Financial Inc Reinsurance Group of America I RLJ Lodging Trust Ryman Hospitality Properties Select Income Senior Housing Prop Trust STAG Industrial Inc Starwood Property Trust Inc Summit Hotel Properties Synovus Financial Corp Taubman Centers Inc TCF Financial Corporation

Cost

Fair Value

90,568

870 36,527

425 31,114

37,475 69,144 35,524 754,759 108,100 122,963 200,340 20,611 84,309 53,657 41,851 383,070 168,569 66,450 47,973 37,365 27,036 28,141 32,978 57,569 13,035 41,834 80,259 76,850 13,917 210,284 14,029 63,293 599,311 116,655 19,844 35,335 80,081 238,788 15,330 189,016 34,395 25,577 24,124 26,246 195,736 181,646 82,370 229,520 200,681 3,537 281,617 37,408 88,502 114,430 58,297 105,293 93,300 87,936 62,473 139,052 287,240 392,990 22,708 62,905 88,269

6,340 1,908 2,420 6,035 3,954 7,561 5,468 865 2,057 632 1,120 6,867 3,966 1,968 2,524 6,671 612 1,267 3,527 1,907 374 849 816 3,031 482 3,852 477 2,080 2,395 2,916 439 3,076 3,517 6,234 640 5,154 3,182 343 592 758 3,958 1,732 5,804 4,566 2,563 95 5,135 1,068 1,093 4,595 4,209 2,432 4,387 2,134 1,153 2,859 5,973 4,240 666 4,395 1,208

5,275 1,925 2,626 4,053 5,014 10,613 5,083 1,134 2,270 901 1,097 3,566 3,978 2,021 4,255 8,170 679 1,244 6,024 2,005 248 702 738 5,379 638 5,133 460 2,182 1,546 3,679 456 2,990 2,185 4,095 809 5,444 3,352 340 569 1,042 5,285 1,081 6,352 4,779 2,398 93 5,432 1,096 922 5,641 5,654 2,259 4,726 2,285 1,301 3,311 5,952 5,203 658 4,668 1,117

See accompanying notes to financial statements.

West Virginia Investment Management Board B-4

Non-Large Cap Domestic Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

THL Credit Inc Total System Services Inc TransUnion Universal Insurance Holdings Validus Holdings Limited Voya Financial Inc Waddell & Reed Financial Inc Walker & Dunlop Inc WP Glimcher Inc Xenia Hotels & Resorts Inc Total Financial Services - 28.2% Health Care Acorda Therapeutics Inc Air Methods Corporation Align Technology Alkermes PLC Amedisys Inc Ariad Pharmaceuticals Inc BioTelemetry Inc DexCom Inc Emergent Biosolutions Inc Enanta Pharmaceuticals Inc Five Prime Therapeutics Inc Jazz Pharmaceuticals PLC Luminex Corporation Magellan Health Services Inc Merrimack Pharmaceuticals Mettler-Toledo International I Nektar Therapeutics Neurocrine Biosciences Inc Orthofix International NV Pacira Pharmaceuticals Inc Quest Diagnostics Inc Repliegn Corp Steris PLC Team Health Holdings Inc United Therapeutics Corp Vanda Pharmaceuticals Inc Wright Medical Group NV Total Health Care - 13.5% Technology Alpha & Omega Semiconductor Aspen Technology Inc AVG Technologies NV Black Box Corporation Celestica Inc Criteo SA - ADR CyberArk Software Ltd DHI Group Inc Extreme Networks Inc Fleetmatics Group PLC Fortinet Inc Genpact Limited IAC/InterActive Corporation Insight Enterprises Inc Kulicke & Soffa Industries Inc Microsemi Corporation MicroStrategy Incorporated NeuStar Inc ON Semiconductor Corp QLIK Technologies Inc Sabre Corporation Sanmina Corp

Cost

Fair Value

239,097 161,130 180,880 55,135 112,607 160,018 16,924 81,418 335,655 172,838

2,922 5,396 5,810 1,011 4,214 3,846 593 2,007 3,452 2,653 205,045

2,661 8,558 6,049 1,024 5,472 3,962 291 1,855 3,756 2,900 220,661

50,452 44,091 86,615 122,280 9,015 699,524 56,230 120,795 132,105 12,348 63,492 65,453 25,895 9,776 558,340 25,837 93,200 120,475 24,511 120,050 123,130 12,470 123,345 123,770 32,241 76,907 288,086

1,669 1,552 4,859 5,030 351 4,288 923 7,805 4,113 336 2,886 9,978 509 661 5,567 4,875 1,405 4,701 965 6,826 8,463 353 8,642 6,524 3,043 860 6,592 103,776

1,287 1,580 6,977 5,285 455 5,169 917 9,583 3,715 272 2,625 9,249 524 643 3,009 9,428 1,326 5,476 1,039 4,049 10,024 341 8,480 5,034 3,415 861 5,004 105,767

61,422 116,603 67,748 40,230 262,633 85,770 83,220 37,243 408,465 45,640 211,240 68,150 27,338 13,787 82,257 146,274 2,045 79,262 848,130 145,640 201,260 76,872

701 4,567 1,338 807 2,786 3,772 4,002 320 1,556 2,044 6,183 1,378 1,945 310 1,030 5,032 305 1,990 7,650 3,227 5,376 1,663

856 4,692 1,287 526 2,442 3,939 4,044 232 1,385 1,978 6,673 1,829 1,539 358 1,001 4,780 358 1,863 7,481 4,308 5,392 2,061

See accompanying notes to financial statements.

West Virginia Investment Management Board B-5

Non-Large Cap Domestic Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Shopify Inc Splunk Inc Take-Two Interactive Software Teradata Corporation Teradyne Inc VeriFone Systems Inc Vishay Intertechnology Inc Web.com Group Inc Total Technology - 11.1%

Cost

Fair Value

67,510 129,820 108,117 40,408 75,889 240,750 327,004 183,931

2,016 6,921 3,496 939 1,424 6,445 4,145 4,029 87,397

2,077 7,034 4,100 1,013 1,494 4,464 4,052 3,344 86,602

55,170 167,936 7,440 152,310 111,800 83,353 41,871 136,033 78,806

2,006 4,638 446 1,890 2,549 2,746 2,273 4,307 2,753 23,608

2,608 5,105 469 2,283 3,962 3,678 3,296 6,150 4,151 31,702

726,182

760,811

11,799,891

11,800

11,800

16,641 16,223 12,671 13,398 304 17,649

16,641 16,223 12,671 13,398 304 17,649 76,886

16,641 16,223 12,671 13,398 304 17,649 76,886

Repurchase Agreements Barclays Bank PLC, 0.38% Due 7/1/2016 BNP Paribas Securities Corp, 0.38% Due 7/1/2016 Cantor Fitzgerald Securities Inc, 0.47% Due 7/1/2016 Citigroup Global Markets Inc, 0.46% Due 7/1/2016 Citigroup Global Markets Inc, 0.39% Due 7/6/2016 Deutsche Bank Securities Inc, 0.45% Due 7/1/2016 Deutsche Bank Securities Inc, 0.7% Due 7/5/2016 ING Bank NV, 0.55% Due 7/1/2016 Mizuho Securities USA Inc, 0.38% Due 7/1/2016 Mizuho Securities USA Inc, 0.4% Due 7/1/2016 Morgan, Stanley & Co. LLC, 0.56% Due 8/2/2016 Morgan, Stanley & Co. LLC, 0.68% Due 9/29/2016 Morgan, Stanley & Co. LLC, 0.73% Due 10/3/2016 Societe Generale, 0.4% Due 7/1/2016 Societe Generale, 0.51% Due 8/4/2016 Total Repurchase Agreements - 28.0%

24,597 2,206 79,750 4,123 15,240 4,902 15,755 7,100 2,891 9,663 2,693 14,180 3,737 26,051 6,016

24,597 2,206 79,750 4,123 15,240 4,902 15,755 7,100 2,891 9,663 2,693 14,180 3,737 26,051 6,016 218,904

24,597 2,206 79,750 4,123 15,240 4,902 15,755 7,100 2,891 9,663 2,693 14,180 3,737 26,051 6,016 218,904

Time Deposits BNP Paribas, 0.28% Due 7/1/2016 Credit Agricole CIB, 0.31% Due 7/1/2016 HSBC Bank PLC, 0.35% Due 7/1/2016 Nordea Bank Finland PLC, 0.28% Due 7/1/2016 Svenska Handelsbanken AB, 0.3% Due 7/1/2016 Total Time Deposits - 9.4%

15,744 14,168 14,483 15,655 13,418

15,744 14,168 14,483 15,655 13,418 73,468

15,744 14,168 14,483 15,655 13,418 73,468

369,258

369,258

Utilities El Paso Electric Company Great Plains Energy Inc NorthWestern Corporation NRG Energy Inc PNM Resources Inc Portland General Electric Co Southwest Gas Corporation UGI Corporation Vectren Corp Total Utilities - 4.1% Total Common Stock - 97.3% Money Market Mutual Fund Dreyfus Cash Management Institutional Fund - 1.5% Investments made with Cash Collateral for Securities Loaned Money Market Mutual Funds Blackrock Cash Funds: Prime - Institutional Shares Federated Money Market Management - Institutional Shares Fidelity Institutional Money Market Prime Money Market Portfolio Invesco Government Liquidity Funds Assets Portfolio Morgan Stanley Institutional Liquidity Funds Government Portfolio Morgan Stanley Institutional Liquidity Funds Prime Portfolio Total Money Market Mutual Funds - 9.8%

Total Investments made with Cash Collateral for Securities Loaned - 37.4% Total Investments - 146.0%

$

See accompanying notes to financial statements.

West Virginia Investment Management Board B-6

1,107,240

$

1,141,869

Non-Large Cap Domestic Equity Pool Statement of Operations Year Ended June 30, 2016 (Amounts in thousands)

Investment income Dividends, net of foreign withholding taxes ($1) Net securities lending income

$

Total investment income

11,805 535 12,340

Expenses Investment advisor fees Trustee fees Custodian bank fees Management fees Fiduciary bond fees Professional service fees

(962) (2) (39) (205) (1) (40) Total expenses

(1,249)

Investment income, net

11,091

Realized and unrealized loss from investments Net realized loss from investments Net change in unrealized appreciation (depreciation) on investments

(16,409) (67,447)

Net loss from investments Net decrease in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board B-7

(83,856) $

(72,765)

Non-Large Cap Domestic Equity Pool Statement of Changes in Net Assets Year Ended June 30, 2016 (Amounts in thousands, except unit data)

Operations Investment income, net Net realized loss from investments Net change in unrealized appreciation (depreciation) on investments

$

Net decrease in net assets from operations

11,091 (16,409) (67,447) (72,765)

Unit transactions Proceeds from sale of units Amount paid for repurchase of units

70,211 (26,763) Net increase in net assets from unit transactions

43,448

Decrease in net assets

(29,317)

Net assets, beginning of year Net assets, end of year

811,428 $

782,111

Unit data Units sold Units repurchased

2,691,030 (955,605) Net increase in units

See accompanying notes to financial statements.

West Virginia Investment Management Board B-8

1,735,425

Non-Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The accompanying financial statements reflect only the investments and investment-related operations of the IMB’s NonLarge Cap Domestic Equity Pool (Pool). They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP

State and Local GAAP

Not required Required Required Not required Required

Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. The Pool invests in the equities of small- to mid-sized companies and its objective is to exceed, net of external investment management fees, the Russell 2500 Index over three- to five-year periods. Assets are managed by AJO and Westfield Capital Management (Westfield). NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The IMB reports its investments at fair value in accordance with the FASB’s ASC Topic 820 (ASC 820). Refer to Note 4 for further discussion and presentation of the reporting requirements under ASC 820.

West Virginia Investment Management Board B-9

Non-Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Fair value of the Pool’s portfolio securities is determined as follows: • • •

•

Equity securities are valued at the last sale price or official closing price reported in the market in which they are primarily traded. Open-end regulated investment companies or other commingled investment funds are valued at the net asset value of the fund as reported by the fund’s administrator. Fixed income securities are valued according to prices furnished by independent pricing services to the Pool’s custodian. These services determine the security prices by a number of methods including, but not limited to, dealer quotes, live market trading levels when available, live feeds of trade execution data, spreads over U.S. Treasury securities, and other models and formulae appropriate to the specific security type. Repurchase agreements and time deposits are valued at amortized cost, provided such amount approximates fair value.

Investments for which the fair value cannot be determined by one of the above listed processes are valued at fair value as determined in accordance with the IMB’s established procedures. Repurchase Agreements - In connection with transactions in repurchase agreements, it is the IMB's policy that its designated custodian or mutual third party take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the IMB may be delayed or limited. Security Loans - The IMB, through its lending agent, the Bank of New York Mellon, loans securities to various brokers on a temporary basis. Each transaction for U.S. securities is secured by collateral based on the market value of the securities loaned. The required collateral percentage varies based on the type of collateral received. The required percentage for cash collateral and non-cash collateral consisting of debt obligations and securities issued by the United States Government or its agencies or instrumentalities is at least 102 percent of the market value of the securities loaned. The required percentage of non-cash collateral consisting of equity securities is at least 107 percent of the market value of the securities loaned. Cash collateral received is invested in repurchase agreements, money market mutual funds, and time deposits. Such investments, except for repurchase transactions, are made at the risk of the Pool and, as such, the Pool is liable for investment losses. The lending agent contractually indemnifies the IMB for any repurchase agreement investment losses. Investments made with cash are reported at fair value on the Statement of Assets and Liabilities. Securities loaned remain on the Statement of Assets and Liabilities and Schedule of Investments. The IMB receives compensation in the form of loan premium fees and income from the investment of the cash collateral. Expenses related to the lending of securities are rebates paid by the lending agent to brokers and the lending agent’s fees for its services. The income earned by the IMB is reported in the Statement of Operations as net securities lending income. The IMB also continues to receive dividends on the securities loaned. Gains or losses in the fair value of the securities loaned that may occur during the term of the loans are reflected in the Statement of Operations as a change in unrealized appreciation or depreciation on investments. Investment Transactions - Investment transactions are accounted for on a trade date basis. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. 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. Interest Income - Interest income is recognized as earned on the accrual method. Dividend Income - Dividend income is recognized on the ex-dividend date.

West Virginia Investment Management Board B-10

Non-Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Distributions to Participants - The Pool does not routinely distribute dividends of net investment income or net realized gains. Expenses - The IMB's Trustees adopt an annual budget and fee schedule for services to be provided to all of the investment pools under its management. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. These other expenses are allocated to the individual pools based on asset size. The IMB pays all expenses on behalf of the Pool. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for income taxes is required as of June 30, 2016. Indemnifications - In the normal course of business, the IMB has entered into contracts that provide a variety of indemnifications. Any exposure to the Pool under these arrangements would involve future claims that may be made against the IMB. The Pool’s maximum exposure under these arrangements is unknown. No such claims have occurred, nor are they expected to occur therefore the IMB expects the risk of loss to be remote. NOTE 3. INVESTMENT RISK DISCLOSURES Credit Risk The Pool is exposed to credit risk from investments made with cash collateral for securities loaned. This risk is limited by requiring minimum ratings on debt instruments. Long-term debt instruments must be rated A or better by Moody’s or Standard & Poor’s at the time of purchase. Short-term debt instruments must be rated P-1 by Moody’s or A-1 by Standard & Poor’s at the time of purchase. The following table provides information on the weighted average credit ratings of the Pool’s investments as of June 30, 2016.

Investment Type Foreign corporate bonds Foreign government bonds Money market mutual funds Time deposits U.S. corporate bonds U.S. Government agency bonds U.S. Government agency MBS U.S. Treasury bonds Total rated investments Common stock Total investments

Moody’s A Aa Aaa P-1 A Aaa Aaa Aaa

S&P A A AAA A-1 A AA AA AA

$

$

Fair Value 2,198 7 88,686 73,468 8,524 2,322 76,389 22,357 273,951 880,130 1,154,081

Percent of Total Investments 0.2% 0.0 7.7 6.4 0.7 0.2 6.6 1.9 23.7 76.3 100.0%

This table includes investments received as collateral for repurchase agreements with a fair value of $231,116 as compared to the amortized cost of the repurchase agreements of $218,904. Concentration of Credit Risk The Pool is restricted from investing more than 5 percent of the value of the Pool in any one company. At June 30, 2016, the Pool was in compliance with this restriction and is not exposed to concentration of credit risk.

West Virginia Investment Management Board B-11

Non-Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 3. INVESTMENT RISK DISCLOSURES (continued) Custodial Credit Risk At June 30, 2016, the Pool held no securities that were subject to custodial credit risk. Repurchase agreements, when held, are collateralized to a minimum of 102 percent and the collateral is held in the name of the IMB. All remaining securities are held by the IMB’s custodian in the name of the IMB. Interest Rate Risk The Pool is exposed to interest rate risk from certain investments made with cash collateral for securities loaned. The weighted average maturity for investments made with cash collateral for securities loaned is not to exceed 90 days. The maturity of floating rate notes is assumed to be the next interest reset date. The following table provides the weighted average maturities (WAM) for applicable investments made with cash collateral for securities loaned as of June 30, 2016. Investment Type Repurchase agreements Time deposits

$ Total

$

Fair Value 218,904 73,468 292,372

WAM (days) 2 1 1

Foreign Currency Risk The Pool is exposed to no or minimal foreign currency risk. NOTE 4. FAIR VALUE MEASUREMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Fair value of an investment is the amount 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 (i.e., the exit price). ASC 820 established a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical financial instruments (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are: Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 2 Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not considered active; observable inputs other than observable quoted prices for the asset or liability; or inputs derived principally from or corroborated by observable market data. Level 3 Unobservable pricing inputs for assets and liabilities. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

West Virginia Investment Management Board B-12

Non-Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 4. FAIR VALUE MEASUREMENTS (continued) The table below summarizes the valuation of the investment securities in accordance with ASC 820 fair value hierarchy levels as of June 30, 2016: Assets Common stock Investments made with cash collateral for securities loaned Money market mutual fund Total

$

Level 1 760,811

$

76,886 11,800 849,497

Level 2

Level 3

$

-

$

292,372 292,372

$

-

$

-

$

Total 760,811

$

369,258 11,800 1,141,869

There were no transfers in or out of Levels 1 and 2 during the year ended June 30, 2016. NOTE 5. SECURITIES LENDING The following table presents the amounts of various accounts related to securities lending at June 30, 2016.

Securities on loan Collateral received: Cash Non-cash Total collateral received

$

$ $

Fair Value 422,464

369,258 62,214 431,472

The Bank of New York Mellon (BNYM), as agent for the IMB, loans the IMB’s securities to various counterparties. These transactions are executed under Master Securities Lending Agreements (MSLA) which permit BNYM under certain circumstances, such as defaults, to offset amounts payable to the same counterparty against amounts to be received and thus create one single net payment due to or from the counterparty. The amounts listed in the above table represent all securities loaned which are subject to a MSLA on a net payment basis. The IMB has elected not to offset the fair value of the securities on loan against the liability for the return of the collateral on the Statement of Assets and Liabilities. NOTE 6. INVESTMENT ADVISORY FEES The IMB has approved investment advisory agreements with AJO and Westfield to manage the investments of the Pool. These agreements provide for quarterly payments, based on average end of month assets under management, to the investment advisors. The IMB makes these payments and the Pool transfers funds to the IMB to facilitate the payments. The fees paid to AJO consist of a base fee of 0.05 percent annually of the net assets under management and a performance incentive fee that is earned when the actual investment return exceeds the return of the Russell 2500 Value index over rolling three-year periods. The maximum fee allowable under the agreement is 1.25 percent annually of the net assets under management. The effective fee rate earned by AJO for the year ended June 30, 2016, was 0.15 percent. The fees paid to Westfield include a base fee of 0.10 percent annually of net assets under management and a performance incentive fee that is earned when the actual investment return exceeds the return of the Russell 2500 Growth index over rolling three-year periods. The maximum fee allowable under the agreement is 1.00 percent annually of the net assets under management. The effective fee rate earned by Westfield for the year ended June 30, 2016, was 0.10 percent.

West Virginia Investment Management Board B-13

Non-Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 7. FINANCIAL HIGHLIGHTS Per Unit Operating Performance (a): Net asset value at June 30, 2015 Income from investment operations: Net investment income Net realized and unrealized loss on investment transactions Total from investment operations Net asset value at June 30, 2016

$

30.18

$

0.40 (3.26) (2.86) 27.32 -9.5%

Total Return (b) Supplemental Data: Ratio to average net assets (c): Expenses Net investment income Portfolio turnover rate

0.16% 1.44% 89.54%

(a) Calculation based on the average shares outstanding (b) Return data is net of fees for the full fiscal year (c) All ratios are for the fiscal year NOTE 8. SCHEDULE OF PARTICIPATION The following schedule provides the value of participants’ accounts in the Pool at June 30, 2016. Participant Teachers' Retirement System Public Employees' Retirement System Workers' Compensation Old Fund West Virginia Retiree Health Benefit Trust Fund State Police Death, Disability and Retirement Fund Revenue Shortfall Reserve Fund - Part B Deputy Sheriff's Retirement System Judges' Retirement System Coal Workers' Pneumoconiosis Fund State Police Retirement System Public Employees Insurance Agency West Virginia Department of Environmental Protection Agency Board of Risk and Insurance Management West Virginia Prepaid Tuition Trust Fund Emergency Medical Services Retirement System Wildlife Endowment Fund Workers' Compensation Self-Insured Employer Security Risk Pool Workers' Compensation Self-Insured Employer Guaranty Risk Pool West Virginia Department of Environmental Protection Trust Berkeley County Development Authority Workers' Compensation Uninsured Employers' Fund Municipal Police Officers' and Firefighters' Retirement System Municipal Policemen’s or Firemen’s Pension and Relief Funds Total

West Virginia Investment Management Board B-14

Account Value 330,567 $ 287,306 36,940 31,019 29,329 10,895 8,752 8,575 7,022 6,001 4,992 4,421 3,716 3,013 2,979 2,780 1,551 940 476 312 306 151 68 $ 782,111

Non-Large Cap Domestic Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 9. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through September 9, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board B-15

June 30, 2016

C

INTERNATIONAL QUALIFIED POOL

AUDITED FINANCIAL STATEMENTS

International Qualified Pool Audited Financial Statements June 30, 2016 Table of Contents

Independent Auditors’ Report

Statement of Assets and Liabilities

C-1

Schedule of Investments

C-2

Statement of Operations

C-3

Statement of Changes in Net Assets

C-4

Notes to Financial Statements

C-5

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board International Qualified Pool, which comprise the statement of assets and liabilities, including the schedule of investments, as of June 30, 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board International Qualified Pool at June 30, 2016, and the results of its operations and changes in its net assets for the year then ended, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

September 9, 2016

A member firm of Ernst & Young Global Limited

International Qualified Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands, except unit data)

Assets Investment at fair value (cost $381,372)

$

1,208,025

Liabilities Accrued expenses

48 Net assets

$

1,207,977

$

20,968,354 57.61

Unit data Units outstanding Net asset value, unit price

See accompanying notes to financial statements.

West Virginia Investment Management Board C-1

International Qualified Pool Schedule of Investments June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Investment in Other Fund The Silchester International Investors International Value Equity Group Trust - 100.0% Investment Objective - To achieve desired exposure to publicly traded equity securities of companies ordinarily incorporated in countries other than the United States. Redemption Provisions - Monthly on the first business day. No underlying investments exceed 5% of net assets of the International Qualified Pool.

Cost

12,085,877

$

381,372

Fair Value

$

1,208,025

The Silchester International Investors International Value Equity Group Trust had investments in the following countries at June 30, 2016. Percent of Fair Value Japan United Kingdom Switzerland France Hong Kong South Korea Singapore Thailand Finland Brazil China Taiwan Denmark Germany Sweden Turkey Netherlands Norway Italy Malaysia Belgium Greece Spain Mexico Total

25.1 19.4 10.3 10.1 6.7 5.3 3.7 3.1 2.0 1.9 1.9 1.6 1.4 1.2 1.0 1.0 0.7 0.7 0.6 0.6 0.5 0.5 0.5 0.2 100.0

%

%

See accompanying notes to financial statements.

West Virginia Investment Management Board C-2

International Qualified Pool Statement of Operations Year Ended June 30, 2016 (Amounts in thousands)

Investment income

$

-

Expenses Investment advisor fees Trustee fees Management fees Fiduciary bond fees Professional service fees

(6,323) (4) (329) (2) (65) Total expenses

(6,723)

Investment loss, net

(6,723)

Realized and unrealized gain (loss) from investment Net realized gain from investment Net change in unrealized appreciation (depreciation) on investment

4,356 (100,293)

Net loss from investment Net decrease in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board C-3

(95,937) $

(102,660)

International Qualified Pool Statement of Changes in Net Assets Year Ended June 30, 2016 (Amounts in thousands, except unit data)

Operations Investment loss, net Net realized gain from investment Net change in unrealized appreciation (depreciation) on investment

$

Net decrease in net assets from operations

(6,723) 4,356 (100,293) (102,660)

Unit transactions Proceeds from sale of units Amount paid for repurchase of units

4,358 (3,961) Net increase in net assets from unit transactions

397

Decrease in net assets

(102,263)

Net assets, beginning of year Net assets, end of year

1,310,240 $

1,207,977

Unit data Units sold Units repurchased

75,861 (69,101) Net increase in units

See accompanying notes to financial statements.

West Virginia Investment Management Board C-4

6,760

International Qualified Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The accompanying financial statements reflect only the investments and investment related operations of the IMB’s International Qualified Pool (Pool). They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP

State and Local GAAP

Not required Required Required Not required Required

Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. The Pool invests in The Silchester International Investors International Value Equity Group Trust (Silchester). The Pool’s objective is to produce investment returns that exceed the Morgan Stanley Capital International's Europe Australasia Far East Index by 200 basis points on an annualized basis over three- to five-year periods, net of external investment management fees. Only “qualified participants” (as defined by the Internal Revenue Code) may invest in the Pool. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The IMB reports its investments at fair value in accordance with the FASB’s ASC Topic 820 (ASC 820). Refer to Note 4 for further discussion and presentation of the reporting requirements under ASC 820. Commingled investment funds are valued at the net asset value of the fund as reported by the fund’s administrator. Investments for which the fair value cannot be determined are valued at fair value in accordance with the IMB’s established procedures.

West Virginia Investment Management Board C-5

International Qualified Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Investment Transactions - Investment transactions are accounted for on a trade date basis. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. 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. Distributions to Participants - The Pool does not routinely distribute dividends of net investment income or net realized gains. Expenses - The IMB's Trustees adopt an annual budget and fee schedule for services to be provided to all of the investment pools under its management. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. These other expenses are allocated to the individual pools based on asset size. The IMB pays all expenses on behalf of the Pool. In addition to these direct and allocated expenses, the Pool bears certain expenses indirectly, such as fees of the investment fund in which the Pool invests that are reflected in the reported net asset value of such fund. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for income taxes is required as of June 30, 2016. Indemnifications - In the normal course of business, the IMB has entered into contracts that provide a variety of indemnifications. Any exposure to the Pool under these arrangements would involve future claims that may be made against the IMB. The Pool’s maximum exposure under these arrangements is unknown. No such claims have occurred, nor are they expected to occur therefore the IMB expects the risk of loss to be remote. NOTE 3. INVESTMENT RISK DISCLOSURES The Pool invests in a collective trust fund that invests in equities denominated in foreign currencies. The value of this investment at June 30, 2016, was $1,208,025. This investment, although denominated in U.S. dollars, is exposed to foreign currency risk through the underlying investments. The Pool is not exposed to credit risk, interest rate risk, custodial credit risk, or concentration of credit risk. NOTE 4. FAIR VALUE MEASUREMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Fair value of an investment is the amount 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 (i.e., the exit price). ASC 820 established a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical financial instruments (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are:

West Virginia Investment Management Board C-6

International Qualified Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 4. FAIR VALUE MEASUREMENTS (continued) Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 2 Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not considered active; observable inputs other than observable quoted prices for the asset or liability; or inputs derived principally from or corroborated by observable market data. Level 3 Unobservable pricing inputs for assets and liabilities. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. U.S. GAAP does not require the Pool to categorize within the fair value hierarchy table investments for which fair value is measured using the net asset value per share practical expedient. The investment in Silchester is valued using the net asset value per share practical expedient. As Silchester is the only investment in the Pool, a fair value hierarchy table is not presented. There were no transfers in or out of Levels 1 and 2 during the year ended June 30, 2016. NOTE 5. INVESTMENT ADVISORY FEES The IMB has approved an investment advisory agreement with Silchester to manage the investments of the Pool. The Pool pays these advisory fees, based on end of month assets under management, by redeeming shares from the commingled fund managed by Silchester. The fees paid to Silchester are based on a descending scale of fee rates ranging from 1.0 percent annually on the first $25 million of assets under management to 0.55 percent annually on assets between $50 million and $75 million. For assets greater than $75 million the fee rate is 0.50 percent. The effective fee rate earned by Silchester for the year ended June 30, 2016, was 0.51 percent.

West Virginia Investment Management Board C-7

International Qualified Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 6. FINANCIAL HIGHLIGHTS Per Unit Operating Performance (a): Net asset value at June 30, 2015 Income from investment operations: Net investment loss Net realized and unrealized loss on investment transactions Total from investment operations Net asset value at June 30, 2016

$

62.51

$

(0.32) (4.58) (4.90) 57.61 -7.8%

Total Return (b) Supplemental Data: Ratio to average net assets (c): Expenses Net investment loss Portfolio turnover rate

0.54% -0.54% 0.00%

(a) Calculation based on the average shares outstanding (b) Return data is net of fees for the full fiscal year (c) All ratios are for the fiscal year and do not reflect the Pool’s proportionate share of income and expenses of the underlying investee fund. NOTE 7. SCHEDULE OF PARTICIPATION The following schedule provides the value of participants’ accounts in the Pool at June 30, 2016. Participant Teachers' Retirement System Public Employees' Retirement System State Police Death, Disability and Retirement Fund Deputy Sheriff's Retirement System Judges' Retirement System State Police Retirement System Emergency Medical Services Retirement System Municipal Police Officers' and Firefighters' Retirement System Municipal Policemen’s or Firemen’s Pension and Relief Funds Total

Account Value 594,432 512,339 52,215 15,596 15,247 12,443 5,314 269 122 $ 1,207,977 $

NOTE 8. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through September 9, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board C-8

June 30, 2016

D

INTERNATIONAL NONQUALIFIED POOL

AUDITED FINANCIAL STATEMENTS

International Nonqualified Pool Audited Financial Statements June 30, 2016 Table of Contents

Independent Auditors’ Report

Statement of Assets and Liabilities

D-1

Schedule of Investments

D-2

Statement of Operations

D-3

Statement of Changes in Net Assets

D-4

Notes to Financial Statements

D-5

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board International Nonqualified Pool, which comprise the statement of assets and liabilities, including the schedule of investments, as of June 30, 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board International Nonqualified Pool at June 30, 2016, and the results of its operations and changes in its net assets for the year then ended, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

September 9, 2016

A member firm of Ernst & Young Global Limited

International Nonqualified Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands, except unit data)

Assets Investment at fair value (cost $74,184)

$

141,311

Liabilities Accrued expenses

5 Net assets

$

141,306

$

2,667,901 52.97

Unit data Units outstanding Net asset value, unit price

See accompanying notes to financial statements.

West Virginia Investment Management Board D-1

International Nonqualified Pool Schedule of Investments June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Investment in Other Fund The Silchester International Investors International Value Equity Trust - 100.0%

Cost

1,351,387

$

74,184

Fair Value

$

141,311

Investment Objective - To achieve desired exposure to publicly traded equity securities of companies ordinarily incorporated in countries other than the United States. Redemption Provisions - Monthly on the first business day. No underlying investments exceed 5% of net assets of the International Nonqualified Pool. The Silchester International Investors International Value Equity Trust had investments in the following countries at June 30, 2016. Percent of Fair Value Japan United Kingdom Switzerland France Hong Kong South Korea Singapore Thailand Finland Brazil China Taiwan Denmark Germany Sweden Turkey Netherlands Norway Italy Malaysia Belgium Greece Spain Mexico Total

25.2 19.5 10.3 10.1 6.7 5.2 3.7 3.1 2.0 1.9 1.9 1.6 1.3 1.2 1.0 1.0 0.7 0.7 0.6 0.6 0.5 0.5 0.5 0.2 100.0

%

%

See accompanying notes to financial statements.

West Virginia Investment Management Board D-2

International Nonqualified Pool Statement of Operations Year Ended June 30, 2016 (Amounts in thousands)

Investment income

$

-

Expenses Investment advisor fees Management fees Professional service fees

(895) (39) (8) Total expenses

(942)

Investment loss, net

(942)

Realized and unrealized gain (loss) from investment Net realized gain from investment Net change in unrealized appreciation (depreciation) on investment

431 (11,779)

Net loss from investment Net decrease in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board D-3

(11,348) $

(12,290)

International Nonqualified Pool Statement of Changes in Net Assets Year Ended June 30, 2016 (Amounts in thousands, except unit data)

Operations Investment loss, net Net realized gain from investment Net change in unrealized appreciation (depreciation) on investment

$

Net decrease in net assets from operations

(942) 431 (11,779) (12,290)

Unit transactions Proceeds from sale of units Amount paid for repurchase of units

2,198 (2,151) Net increase in net assets from unit transactions

47

Decrease in net assets

(12,243)

Net assets, beginning of year Net assets, end of year

153,549 $

141,306

Unit data Units sold Units repurchased

39,984 (39,123) Net increase in units

See accompanying notes to financial statements.

West Virginia Investment Management Board D-4

861

International Nonqualified Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The accompanying financial statements reflect only the investments and investment related operations of the IMB’s International Nonqualified Pool (Pool). They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP

State and Local GAAP

Not required Required Required Not required Required

Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. The Pool invests in The Silchester International Investors International Value Equity Trust (Silchester). The Pool’s objective is to produce investment returns that exceed the Morgan Stanley Capital International's Europe Australasia Far East Index by 200 basis points on an annualized basis over three- to five-year periods, net of external investment management fees. The Pool exists for participants who are not “qualified” (as defined by the Internal Revenue Code). NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The IMB reports its investments at fair value in accordance with the FASB’s ASC Topic 820 (ASC 820). Refer to Note 4 for further discussion and presentation of the reporting requirements under ASC 820. Commingled investment funds are valued at the net asset value of the fund as reported by the fund’s administrator. Investments for which the fair value cannot be determined are valued at fair value in accordance with the IMB’s established procedures.

West Virginia Investment Management Board D-5

International Nonqualified Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Investment Transactions - Investment transactions are accounted for on a trade date basis. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. 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. Distributions to Participants - The Pool does not routinely distribute dividends of net investment income or net realized gains. Expenses - The IMB's Trustees adopt an annual budget and fee schedule for services to be provided to all of the investment pools under its management. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. These other expenses are allocated to the individual pools based on asset size. The IMB pays all expenses on behalf of the Pool. In addition to these direct and allocated expenses, the Pool bears certain expenses indirectly, such as fees of the investment fund in which the Pool invests that are reflected in the reported net asset value of such fund. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for income taxes is required as of June 30, 2016. Indemnifications - In the normal course of business, the IMB has entered into contracts that provide a variety of indemnifications. Any exposure to the Pool under these arrangements would involve future claims that may be made against the IMB. The Pool’s maximum exposure under these arrangements is unknown. No such claims have occurred, nor are they expected to occur therefore the IMB expects the risk of loss to be remote. NOTE 3. INVESTMENT RISK DISCLOSURES The Pool invests in a collective trust fund that invests in equities denominated in foreign currencies. The value of this investment at June 30, 2016, was $141,311. This investment, although denominated in U.S. dollars, is exposed to foreign currency risk through the underlying investments. The Pool is not exposed to credit risk, interest rate risk, custodial credit risk, or concentration of credit risk. NOTE 4. FAIR VALUE MEASUREMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Fair value of an investment is the amount 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 (i.e., the exit price). ASC 820 established a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical financial instruments (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are:

West Virginia Investment Management Board D-6

International Nonqualified Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 4. FAIR VALUE MEASUREMENTS (continued) Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 2 Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not considered active; observable inputs other than observable quoted prices for the asset or liability; or inputs derived principally from or corroborated by observable market data. Level 3 Unobservable pricing inputs for assets and liabilities. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. U.S. GAAP does not require the Pool to categorize within the fair value hierarchy table investments for which fair value is measured using the net asset value per share practical expedient. The investment in Silchester is valued using the net asset value per share practical expedient. As Silchester is the only investment in the Pool, a fair value hierarchy table is not presented. There were no transfers in or out of Levels 1 and 2 during the year ended June 30, 2016. NOTE 5. INVESTMENT ADVISORY FEES The IMB has approved an investment advisory agreement with Silchester to manage the investments of the Pool. The Pool pays these advisory fees, based on end of month assets under management, by redeeming shares from the commingled fund managed by Silchester. The fees paid to Silchester are based on a descending scale of fee rates ranging from 1.0 percent annually on the first $25 million of assets under management to 0.55 percent annually on assets between $50 million and $75 million. For assets greater than $75 million the fee rate is 0.50 percent. The effective fee rate earned by Silchester for the year ended June 30, 2016 was 0.62 percent.

West Virginia Investment Management Board D-7

International Nonqualified Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 6. FINANCIAL HIGHLIGHTS Per Unit Operating Performance (a): Net asset value at June 30, 2015 Income from investment operations: Net investment loss Net realized and unrealized loss on investment transactions Total from investment operations Net asset value at June 30, 2016

$

57.57

$

(0.35) (4.25) (4.60) 52.97 -8.0%

Total Return (b) Supplemental Data: Ratio to average net assets (c): Expenses Net investment loss Portfolio turnover rate

0.65% -0.65% 0.00%

(a) Calculation based on the average shares outstanding (b) Return data is net of fees for the full fiscal year (c) All ratios are for the fiscal year and do not reflect the Pool’s proportionate share of income and expenses of the underlying investee fund. NOTE 7. SCHEDULE OF PARTICIPATION The following schedule provides the value of participants’ accounts in the Pool at June 30, 2016. Participant West Virginia Retiree Health Benefit Trust Fund Workers' Compensation Old Fund Revenue Shortfall Reserve Fund - Part B Coal Workers' Pneumoconiosis Fund Public Employees Insurance Agency Board of Risk and Insurance Management Wildlife Endowment Fund West Virginia Department of Environmental Protection Agency West Virginia Prepaid Tuition Trust Fund West Virginia Department of Environmental Protection Trust Workers' Compensation Self-Insured Employer Guaranty Risk Pool Berkeley County Development Authority Workers' Compensation Uninsured Employers' Fund Workers' Compensation Self-Insured Employer Security Risk Pool Total

Account Value 48,963 $ 42,953 12,096 10,198 8,533 4,892 4,395 3,405 3,037 748 721 536 498 331 $ 141,306

NOTE 8. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through September 9, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board D-8

June 30, 2016

E

INTERNATIONAL EQUITY POOL

AUDITED FINANCIAL STATEMENTS

International Equity Pool Audited Financial Statements June 30, 2016 Table of Contents

Independent Auditors’ Report

Statement of Assets and Liabilities

E-1

Schedule of Investments

E-2

Statement of Operations

E-29

Statement of Changes in Net Assets

E-30

Notes to Financial Statements

E-31

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board International Equity Pool, which comprise the statement of assets and liabilities, including the schedule of investments, as of June 30, 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board International Equity Pool at June 30, 2016, and the results of its operations and changes in its net assets for the year then ended, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

September 9, 2016

A member firm of Ernst & Young Global Limited

International Equity Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands, except unit data)

Assets Investments at fair value (cost $3,267,887), including securities on loan of $343,560 (Note 5) Cash denominated in foreign currencies (cost $16,370) Receivables: Investments sold Dividends Reclaimable foreign taxes withheld Securities lending income Unrealized appreciation on foreign currency contracts (Note 6)

$

3,024,934 16,307 24,960 8,632 3,098 240 68

Total assets

3,078,239

Liabilities Accrued expenses Accrued capital gains taxes Payable for investments purchased Payable upon return of securities loaned (Note 5) Unrealized depreciation on foreign currency contracts (Note 6) Other

4,664 849 26,541 189,568 63 8 Total liabilities Net assets

221,693 $

2,856,546

$

121,667,357 23.48

Unit data Units outstanding Net asset value, unit price

See accompanying notes to financial statements.

West Virginia Investment Management Board E-1

International Equity Pool Schedule of Investments June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Common Stock Argentina Nortel Inversora SA - ADR - 0.1%

101,540

Australia APN Outdoor Group Ltd Aristocrat Leisure Ltd Arrium Ltd ASG Group Ltd Ausdrill Ltd Australian Pharmaceutical Ind Challenger Ltd Cochlear Ltd Collins Foods Ltd CSR Ltd Domino's Pizza Enterprises Ltd Downer EDI Ltd Evolution Mining Ltd GBST Holdings Ltd Genworth Mortgage Insurance Hansen Technologies Ltd Harvey Norman Holdings Ltd IDP Education Ltd Infomedia Ltd LendLease Group Macquarie Group Ltd Metals X Ltd Metcash Ltd Mineral Resources Ltd National Australia Bank Ltd Orica Ltd Orora Ltd OZ Minerals Pacific Brands Ltd Pact Group Holdings Ltd Perseus Mining Ltd Premier Investment Ltd Primary Health Care Ltd Qantas Airways Ltd Ramelius Resources Ltd Regis Resources Ltd Reject Shop Ltd Resolute Mining Ltd Sandfire Resources NL Seven Group Holdings Ltd SG Fleet Group Ltd Sirtex Medical Ltd SmartGroup Corp Ltd SMS Management Technology Ltd Southern Cross Media Group Treasury Wine Estates Vita Group Ltd Vocus Communications Ltd Watpac Ltd Webjet Ltd Total Australia - 2.5% Austria CA Immobilien Anlagen AG Erste Group Bank AG Kapsch TrafficCom AG OMV AG Porr AG S Immo AG S&T AG

Cost

$

Fair Value

2,095

$

2,876

35,406 191,400 5,091,200 274,530 615,106 546,962 954,600 29,613 56,903 754,133 51,700 1,262,727 1,176,100 122,133 28,647 54,422 1,422,700 111,787 189,268 579,300 79,400 50,066 2,228,700 476,100 276,913 231,500 510,104 93,801 194,911 110,354 204,436 67,000 951,300 1,964,863 383,922 183,264 13,439 287,303 16,659 374,000 26,428 7,923 23,413 43,667 2,069,100 247,600 115,553 295,800 59,913 19,278

156 1,765 7,292 170 1,674 480 3,636 2,219 195 2,032 1,568 4,627 1,758 392 56 118 4,242 346 196 5,425 1,549 41 6,268 4,410 7,224 3,962 866 375 110 382 61 865 4,381 5,414 112 316 112 141 78 2,637 56 217 56 160 3,378 1,591 149 1,782 54 84 85,178

182 1,967 83 186 330 684 6,134 2,674 180 2,044 2,623 3,573 2,040 376 59 137 4,884 343 82 5,435 4,073 52 3,153 2,946 5,243 2,125 1,048 395 166 495 79 711 2,798 4,126 124 467 122 275 65 1,674 72 151 100 53 1,918 1,702 354 1,877 37 102 70,519

14,881 494,136 2,703 238,000 8,315 7,552 7,726

269 14,683 89 9,096 257 74 61

248 11,149 101 6,667 225 70 62

See accompanying notes to financial statements.

West Virginia Investment Management Board E-2

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Voestalpine AG Wienerberger AG Total Austria - 0.9% Belgium Agfa Gevaert NV Befimmo SCA Bekaert NV bpost SA CFE Delhaize Le Lion SA D'Ieteren SA NV Econocom GROUP SA GIMV NV Intervest Offices Ion Beam Applications Melexis NV Mobistar SA Retail Estates Sioen Industries NV Sofina SA Total Belgium - 0.6% Bermuda BW Offshore Ltd China Yuchai International Ltd Clear Media Ltd Cosan Ltd Credicorp Ltd Emperor International Holdings Fairwood Holdings Limited First Pacific Company Ltd Labixiaoxin Snacks Group Ltd Le Saunda Holdings Ltd NewOcean Energy Holdings Ltd North Atlantic Drilling Ltd Pacific Andes International Petra Diamonds Limited Playmates Holdings Ltd Skyworth Digital Holdings Ltd Soundwill Holdings Ltd Valuetronics Holdings Ltd Varitronix International Ltd Vostok New Ventures Ltd Yue Yuen Industrial Holdings Total Bermuda - 1.5% Brazil Ambev SA Banco do Brasil SA Cia de Ferro Ligas da Bahia CIA Paranaense De Energia CIA Saneamento de Minas Gerais Companhia de Concessoes Rodov Companhia Paranaense - ADR Cosan SA Industrial e Comercio Embraer SA - ADR Estacio Participacoes SA FII BTG Pactual Corp Office Fd Itau Unibanco Holding SA - ADR JBS SA Kroton Educacional SA Light SA Lojas Renner SA Marfrig Frigorificos e Comerci

Cost

Fair Value

221,400 5,320

7,938 89 32,556

7,384 74 25,980

19,867 4,560 73,413 3,063 1,201 109,900 6,982 9,094 5,198 2,352 22,600 2,374 2,554 626 6,131 2,245

56 269 2,991 78 150 6,613 311 104 256 59 896 148 54 53 90 281 12,409

64 293 3,178 78 109 11,541 301 104 294 67 1,063 148 59 55 128 296 17,778

667,330 188,252 46,000 38,088 29,600 362,000 16,500 14,872,314 2,144,000 264,000 352,000 14,505 992,000 134,693 147,000 12,578,000 32,500 252,700 951,000 20,458 3,221,500

208 3,169 37 217 3,553 106 56 8,902 1,389 118 138 95 53 209 183 6,407 60 94 876 148 8,694 34,712

14 2,037 40 248 4,568 72 64 10,774 177 56 115 98 19 209 192 10,279 53 97 503 114 12,727 42,456

905,300 2,022,501 48,900 336,280 14,700 774,000 755,350 364,700 525,738 2,070,800 15,753 661,300 2,823,800 2,266,600 455,100 747,800 6,467,785

3,955 18,139 116 3,688 108 3,482 9,389 2,787 13,579 9,390 582 5,706 11,442 5,567 4,006 3,931 17,016

5,383 10,846 116 2,103 136 4,059 6,783 3,792 11,419 10,962 436 6,243 8,814 9,622 1,601 5,530 11,346

See accompanying notes to financial statements.

West Virginia Investment Management Board E-3

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Mills Estruturas E Servicos MRV Engenharia e Participacoes Petroleo Brasileiro SA - ADR Telefonica Brasil - ADR Telefonica Brasil SA Tim Participacoes SA - ADR Totvs SA Viver Incorporadora e Construr Total Brazil - 4.7% Canada Aecon Group Inc AGF Management Limited Agrium Inc Air Canada Alacer Gold Corporation Americas Silver Corporation Andrew Peller Ltd Argonaut Gold Inc Artis Real Estate Investment BCE Inc Birchcliff Energy Ltd Bonavista Energy Corporation Canadian Imperial Bank Canadian Tire Corporation Ltd Canfor Pulp Products Inc Capstone Mining Corp Cascades Inc CCL Industries Inc Celestica Inc Centerra Gold Inc Cipher Pharmaceuticals Inc Cogeco Communications Inc Cogeco Inc Cott Corporation Dollarama Inc Dominion Diamond Corp Dorel Industries Inc Dream Industrial Real Estate Dream Office Real Estate Inv Enerflex Ltd Enerplus Corp Ensign Energy Services Inc Entertainment One Ltd Extendicare Inc FirstService Corporation Genworth MI Canada Inc Granite Oil Corp Granite Real Estate Investment Hardwoods Distribution Inc High Arctic Energy Services Industrial Alliance Life Ins Intertape Polymer Group Inc Just Energy Group Inc Laurentian Bank of Canada Linamar Corporation Lucara Diamond Corporation Macro Enterprises Inc Magellan Aerospace Corp Magna International Inc Maple Leaf Foods Inc Martinrea International Inc Merus Labs International Inc Metro Inc Morguard Real Estate Inv Trust

Cost

Fair Value

3,734,046 1,366,400 1,682,985 495,689 76,700 702,450 1 30,474

5,494 4,323 18,317 6,250 630 9,268 4,813 161,978

5,000 4,610 10,787 6,741 1,053 7,411 16 134,809

46,100 39,100 85,000 515,500 449,847 232,000 2,900 95,600 18,900 136,000 72,000 115,500 103,400 98,200 34,536 131,500 82,400 9,500 491,200 253,500 24,100 66,100 2,503 173,000 37,900 20,163 3,600 31,100 9,300 69,300 26,200 319,300 543,059 37,800 27,200 124,300 10,400 1,272 4,800 38,714 3,400 23,900 16,800 83,174 8,400 170,900 22,400 10,700 181,900 96,900 16,300 116,300 19,500 5,300

522 160 8,581 4,877 938 65 61 84 195 5,927 380 282 6,667 7,774 385 69 585 1,233 3,252 1,354 203 3,041 102 1,931 2,200 302 100 171 153 641 139 4,002 2,899 251 812 3,581 58 33 62 175 113 316 115 2,496 302 264 114 86 5,191 2,195 182 157 305 56

624 151 7,650 3,529 1,067 65 62 280 196 6,403 381 293 7,726 10,643 275 86 581 1,645 4,546 1,503 125 3,451 108 2,415 2,632 177 95 209 133 570 172 1,782 1,252 237 1,238 3,172 64 38 58 121 106 388 101 3,089 298 458 28 148 6,352 2,059 100 148 676 60

See accompanying notes to financial statements.

West Virginia Investment Management Board E-4

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

National Bank of Canada Nevsun Resources Ltd Newmarket Gold Inc North American Energy Partners Northern Blizzard Resources In Parex Resources Inc Parkland Fuel Corporation Premium Brands Holdings Corp Pure Indurstrial Real Estate Quebecor Inc Reitmans (Canada) Ltd Richmont Mines Inc RMP Energy Inc Rogers Communications Inc Rogers Sugar Inc Shaw Communications Inc ShawCor Ltd Stornoway Diamond Corp Stuart Olson Inc Teck Corporation Teranga Gold Corporation Theratechnologies Inc Torstar Corporation Total Energy Services Inc Transcontinental Inc Uni-Select Inc Western Energy Services Corp Westjet Airlines Ltd Wi-Lan Inc Yellow Pages Ltd/Canada Total Canada - 4.1% Cayman Islands Alibaba Group Holding Ltd - ADR ArtGo Holdings Ltd Aupu Group Holding Company Ltd Baidu Inc - ADR Belle International Holdings Bosideng International Holding Central China Real Estate Ltd Cheung Kong Property Holdings China Aoyuan Property Group China Cord Blood Corp China Fordoo Holdings Ltd China King Highway Holdings China Lodging Group Ltd - ADR China Maple Leaf Educational China Mengniu Dairy Co China Resources Cement Holding China Shanshui Cement Group China Wood Optimization Ltd Chow Tai Fook Jewellery Group Chun Sing Engineering Holdings CNQC International Holdings Country Garden Holdings Co Ctrip.com International - ADR Easy One Financial Group Ltd FIH Mobile Ltd Geely Automobile Holdings Ltd Hengan International Group Huajin International Holdings Huaxi Holdings Co Ltd Ju Teng International Hldgs Kingboard Laminates Holding Kingdom Holding

Cost

Fair Value

183,600 27,900 48,300 19,864 22,400 267,400 5,100 16,800 76,500 69,000 4,400 11,894 53,000 88,000 56,419 366,200 2,700 163,500 9,500 299,800 132,000 28,500 7,300 9,300 239,200 72,600 15,300 349,100 54,700 9,241

4,727 96 139 116 56 1,890 85 467 300 1,954 24 54 61 3,393 216 8,815 71 127 57 7,795 55 63 40 103 3,637 1,466 141 1,360 132 179 113,758

6,247 81 141 56 82 2,576 88 704 303 1,967 15 110 51 3,544 257 6,993 67 120 43 3,927 117 59 9 93 3,225 1,831 39 5,666 138 130 118,445

100,960 113,000 364,000 26,820 8,539,000 64,496,200 159,000 361,000 297,000 82,481 196,000 41,389 2,768 2,890,000 1,324,000 7,580,000 3,932,000 252,000 13,548,000 90,000 167,500 12,114,000 79,300 455,200 6,766,000 6,755,000 328,500 158,000 254,000 158,000 3,250,500 260,000

7,969 22 108 4,733 7,225 13,487 51 2,193 60 379 95 101 78 2,021 2,811 5,165 2,724 72 13,105 18 63 4,747 2,796 69 3,215 3,724 3,171 59 85 89 2,844 60

8,029 13 122 4,429 4,997 5,487 30 2,252 65 474 59 108 101 2,593 2,301 2,423 3,188 98 9,710 25 67 5,090 3,267 4 2,172 3,648 2,740 59 107 63 1,990 42

See accompanying notes to financial statements.

West Virginia Investment Management Board E-5

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Lifestyle International Hldngs Peak Sport Products Ltd Pico Far East Holdings Ltd Powerlong Real Estate Holdings QinQin Foodstuffs Group Real Nutriceutical Group Sands China Ltd Sky Light Holdings Ltd Suchuang Gas Corporation Ltd Sunny Optical Tech Tencent Holdings Ltd Top Spring International Hldgs Universal Health International WH Group Ltd Yingde Gases Yongsheng Advanced Materials Total Cayman Islands - 3.9%

Cost

Fair Value

8,322,500 808,000 404,000 387,000 65,700 138,000 692,400 326,000 20,000 470,000 798,200 77,500 7,162,000 2,977,000 15,521,000 75,000

14,444 219 99 67 93 40 2,643 100 7 1,348 9,947 40 2,894 2,292 11,424 19 129,015

13,946 242 114 77 93 13 2,316 37 6 1,645 18,119 28 411 2,333 5,642 14 110,789

Chile Embotelladora Andina SA - ADR Empresa Nacional de Telecomuni Enersis Chile SA Sociedad Quimica Minera Chile - ADR Total Chile - 0.8%

5,529 469,908 66,740,183 411,961

124 4,072 7,028 7,342 18,566

117 4,256 7,820 10,184 22,377

China Air China Ltd Bank of China Ltd Baoye Group Company Ltd China Bluechemical Ltd China Construction Bank Corp China Minsheng Banking Corp China Pet & Chem Cor (Sinopec) China Railway Construction Ltd Chongqing Machinery & Electric Dongfeng Motor Group Company Great Wall Motor Company Ltd Harbin Power Equipment Company PICC Property & Casualty Co Ping An Insurance Co Shanghai Pharmaceuticals Sinopharm Medicine Holding Co Weiqiao Textile Company Ltd Zhuzhou CRRC Times Electric Co Total China - 2.9%

3,365,000 17,159,000 72,000 5,766,000 13,071,000 3,942,599 12,868,000 5,528,000 7,926,000 15,312,000 4,573,500 224,000 2,758,000 893,000 2,528,500 982,000 3,867,708 497,500

2,807 5,669 61 3,338 9,883 4,111 9,175 5,620 1,644 21,001 3,984 105 6,046 4,629 5,184 3,773 4,944 2,927 94,901

2,299 6,834 48 1,011 8,626 3,801 9,289 6,890 828 15,948 3,785 82 4,309 3,931 5,567 4,677 2,926 2,732 83,583

41,600 994,900

1,560 10,987 12,547

1,453 8,009 9,462

1,371,900

10,052

5,378

162,300 659,500

5,652 6,763 12,415

2,759 5,871 8,630

2,479 8,475 211,300 70,635 17,853

412 56 5,929 2,660 1,471

433 43 5,534 3,091 3,226

Colombia Bancolombia SA - ADR Grupo Aval Acciones y Valores - ADR Total Colombia - 0.3% Cyprus Globaltrans Investment PLC - GDR - 0.2% Czech Republic CEZ Telefonica 02 Czech Republic Total Czech Republic - 0.3% Denmark Alk-Abello A/S Chemometec A/S Danske Bank A/S DFDS A/S Genmab A/S

See accompanying notes to financial statements.

West Virginia Investment Management Board E-6

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

H Lundbeck A/S H+H International A/S NKT Holdings A/S PER Aarsleff A/S Ringkjoebing Landbobank Akties Rockwool Intl A/S Royal Unibrew A/S Schouw & Co A/S SimCorp A/S Solar A/S TDC A/S Total Denmark - 0.7% Egypt Commercial International Bank - 0.1% Finland Atria Oyj Cargotec Corporation Cramo Oyj Finnair Oyj F-Secure Oyj HKScan Oyj Huhtamaki Lassila & Tikanoja Oyj Neste Oil Oyj Oriola-Kd Oyj Outokumpu Technology Suominen Oyj TietoEnator Oyj UPM-Kymmene Oyj Valmet Corporation Total Finland - 1.0% France Altran Technologies SA Atos Origin Aubay Axa BNP Paribas Bonduelle SA Cegedim SA Cellectis SA Chargeurs Coface SA Compagnie des Alpes Credit Agricole SA Criteo SA - ADR Derichebourg SA Devoteam SA Electricite de France (EDF) Esso SAF EuropaCorp Exel Industries SA Flamel Technologies SA - ADR Groupe Crit Groupe FNAC SA Guerbet Innate Pharma SA Ipsos Ispen SA Le Belier Lectra MGI Coutier Neopost SA

Cost

Fair Value

79,000 4,575 32,443 9,491 253 3,297 32,599 2,691 29,500 1,132 100,200

2,721 49 1,960 223 57 593 1,208 114 1,554 60 753 19,820

2,947 46 1,634 206 52 595 1,451 149 1,443 52 488 21,390

363,635

1,783

1,631

6,308 111,474 10,959 34,123 19,175 57,843 57,200 16,768 210,200 14,643 234,200 8,366 146,000 356,100 68,600

68 4,450 218 173 58 338 1,669 326 4,146 70 1,030 42 3,618 6,163 928 23,297

63 4,510 225 158 57 199 2,363 310 7,503 66 1,052 37 3,980 6,488 911 27,922

9,353 69,600 5,260 428,700 156,900 5,883 2,135 32,200 58,361 53,820 8,169 620,500 3,132 30,479 1,348 470,800 1,647 6,245 687 39,686 5,487 11,799 6,682 8,051 28,612 21,638 4,797 16,080 23,350 58,500

125 5,492 116 10,894 10,162 156 78 1,236 434 631 146 5,407 143 116 49 14,672 119 37 55 420 259 594 328 94 852 1,023 110 167 331 4,576

124 5,763 120 8,480 6,930 142 65 867 646 365 169 5,211 144 78 64 5,738 73 26 60 426 366 637 408 93 812 1,332 212 247 532 1,350

See accompanying notes to financial statements.

West Virginia Investment Management Board E-7

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Nexity Paris Orleans SA Plastivaloire Renault SA Sanofi-Synthelabo SA SCOR SE SEB SA Societe Generale Sopra Group STEF-TFE Synergie SA Technicolor Teleperformance Thales SA Total SA Trigano SA Ubisoft Entertainment SA Valeo SA Vetoquinol SA Total France - 4.1% Germany ADVA AG Optical Networking Allianz AG Aurelius AG BASF AG Bauer AG Bayer AG Bechtle AG Bet-At-Home.com AG Carl Zeiss Meditec AG Cenit AG Centrotec Sustainable AG Daimler AG Deutsche Bank AG Deutsche Beteiligungs AG Deutsche Euroshop AG Deutsche Wohnen AG-BR Dialog Semiconductor PLC DIC Asset AG Duerr AG E.On AG ELMOS Semiconductor AG Evotec AG Francotyp-Postalia Holding AG Gerresheimer AG GFT Technologies AG Grammer AG H&R AG Hochtief AG Homag Group AG Hornbach Baumarkt Aktiengesell Hypoport AG K+S AG KION Group AG Kloeckner & Company AG Koenig & Bauer AG Kontron AG Krones AG Leifheit AG Leoni AG Merck KGaA Metro AG Muenchener Rueckversicherungs Nordex SE

Cost

Fair Value

45,600 8,493 530 61,800 291,000 152,600 19,000 183,300 11,300 3,729 4,015 37,513 27,000 41,500 390,500 9,468 20,329 74,700 402

2,187 198 42 5,163 24,776 3,648 1,879 9,489 1,479 241 75 258 1,749 2,822 21,175 223 544 1,031 21 135,822

2,315 203 54 4,699 24,221 4,548 2,299 5,745 1,168 264 115 234 2,309 3,458 18,819 547 745 3,330 16 116,569

24,972 67,400 41,444 81,800 2,865 122,800 7,943 1,208 2,870 2,678 9,470 209,600 378,700 18,164 41,651 93,000 23,689 5,979 1,676 252,600 15,908 54,948 6,815 19,030 7,372 2,211 11,110 24,800 1,793 6,636 6,028 177,400 10,109 100,688 20,269 8,993 13,268 2,023 10,644 59,500 224,500 45,600 20,760

204 9,038 2,004 5,492 58 13,835 597 44 110 40 219 17,902 17,765 604 2,084 2,592 1,127 51 126 7,276 247 219 41 1,246 190 89 113 2,674 56 262 394 3,756 556 1,135 494 56 1,329 117 292 5,152 6,608 7,822 316

213 9,569 2,427 6,238 39 12,278 833 92 116 57 139 12,462 5,185 531 1,902 3,154 706 57 127 2,533 196 232 29 1,459 146 89 151 3,188 72 179 573 3,615 488 1,110 1,029 28 1,397 123 291 6,019 6,851 7,612 586

See accompanying notes to financial statements.

West Virginia Investment Management Board E-8

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Norma Group SE Pfeiffer Vacuum Technology AG Publity AG Rheinmetall AG Rhoen-Klinikum AG Salzgitter AG Sartorius AG SHW AG Siemens AG Sixt SE Software AG Stada Arzneimittel AG Stratec Biomedical AG Suedzucker AG Surteco SE Talanx AG TLG Immobilien AG TUI AG Verbio Vereinigte BioEnergie VIB Vermoegen AG Volkswagen AG Washtec AG Wuestenrot & Wuerttembergische Xing AG Total Germany - 4.8%

Cost

Fair Value

2,052 3,185 1,177 9,497 60,543 3,681 1,268 3,403 126,200 11,500 89,392 157,955 2,631 4,871 2,265 171,300 49,582 77,902 48,347 5,600 55,300 4,732 2,854 1,164

98 305 53 599 1,765 119 93 103 12,710 522 2,543 7,727 135 106 90 5,912 813 1,289 277 104 7,067 118 54 199 157,133

97 298 39 561 1,771 97 93 101 12,872 587 3,033 8,149 152 107 52 5,068 1,040 880 285 121 7,397 165 52 221 137,359

Greece Alapis Holding Ind & Commer Hellenic Telecommunication Org Total Greece - 0.2%

46,477 684,559

1,132 6,157 7,289

2 6,137 6,139

Hong Kong AIA Group Ltd Beijing Enterprises Holdings China Everbright Ltd China Merchants Holdings Intl China Mobile (Hong Kong) Ltd China National Materials Co China Overseas Land & Invstmnt China Resources Power Dah Chong Hong Holdings Ltd Fountain Set (Holdings) Ltd Fushan Intl Energy Group Ltd Guangnan Holdings Ltd Hong Kong Ferry Company Lai Sun Development Lippo Limited Liu Chong Hing Investment Ltd Luk Fook Holdings PCCW Ltd S&C Engine Group Ltd Sinotruk Hong Kong Ltd Sun Hung Kai & Company Truly International Holdings Total Hong Kong - 2.3%

1,306,200 607,000 1,836,000 600,000 2,031,000 275,000 1,778,000 2,110,000 138,000 1,118,000 5,912,000 290,000 27,000 7,346,000 104,000 38,000 4,430,000 7,129,000 244,939 60,000 100,000 246,000

6,284 3,697 4,573 2,157 23,241 59 5,777 5,759 63 187 1,964 66 35 192 56 64 12,743 4,580 356 39 59 54 72,005

7,804 3,427 3,526 1,593 23,208 59 5,615 3,144 65 130 1,052 32 30 113 60 45 9,765 4,778 364 26 58 118 65,012

Hungary Magyar Telekom OTP Bank Nyrt Richter Gedeon Nyrt Total Hungary - 0.3%

1,833,240 130,380 160,918

7,371 2,654 2,393 12,418

2,877 2,914 3,200 8,991

1,774,900 608,008

4,415 3,948

3,984 3,108

India Apollo Tyres Ltd Bharti Infratel Ltd

See accompanying notes to financial statements.

West Virginia Investment Management Board E-9

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

HDFC Bank Ltd HDFC Bank Ltd - ADR ICICI Bank Ltd ICICI Bank Ltd - ADR Indiabulls Housing Finance Ltd ITC Ltd Jubilant Life Sciences Ltd Maruti Suzuki India Ltd McLeod Russel India Ltd PC Jeweller Ltd Reliance Infrastructure Ltd Rural Electrification Corp Tata Motors Ltd - ADR Ultra Tech Cement Ltd United Phosphorus Ltd Zee Entertainment Enterprises Total India - 2.6% Indonesia Bank Rakyat Indonesia Energi Mega Persada Tbk Indofood Sukses Mak Tbk Jakarta Int'l Hotels & Dev Matahari Department Store Tbk PT Bank Pembangunan Daerah Jaw PT Japfa Comfeed Indonesia TBK PT Lautan Luas Tbk PT Telekomunikasi Indonesia PT XL Axiata Tbk Total Indonesia - 1.0% Ireland ICON PLC Paddy Power Betfair PLC Smurfit Kappa Group PLC UDG Healthcare PLC Total Ireland - 0.2% Israel Bayside Land Corporation Ltd Big Shopping Centers Ltd Ceragon Networks Ltd CyberArk Software Ltd Delek Automotive Systems Ltd El Al Israel Airlines Enzymotec Ltd Formula Systems Ltd Hilan Ltd Inrom Construction Industries Internet Gold Golden Lines Israel Discount Bank Joel Jerusalem Oil Exploration Melisron Ltd Orbotech Ltd Plus500 Ltd Teva Pharmaceutical Ltd Wix.com Ltd Total Israel - 0.8% Italy Amplifon SpA Ascopiave SpA Autostrada Torino-Midland SpA Banca Ifis SpA Banca Mediolanum SPA

Cost

Fair Value

301,073 17,370 818,145 356,900 551,500 324,930 583,900 72,144 15,692 56,352 2,004,029 1,522,000 182,100 81,922 466,279 766,822

4,978 670 3,057 2,818 2,010 1,733 3,405 2,373 95 308 16,508 5,776 4,852 3,124 4,092 3,697 67,859

6,088 1,152 2,916 2,563 5,483 1,774 2,716 4,476 45 322 16,204 3,911 6,313 4,140 3,800 5,186 74,181

6,331,700 18,920,300 4,579,000 6,806 2,654,800 3,510,100 1,894,300 405,900 10,999,700 45,366,162

4,706 147 2,553 1 3,414 241 120 30 3,140 14,039 28,391

5,176 72 2,513 4,019 299 160 11 3,313 12,601 28,164

7,563 13,773 182,700 11,311

307 1,279 4,062 90 5,738

529 1,454 4,019 89 6,091

221 3,980 17,784 3,905 13,886 320,164 5,466 1,102 10,634 26,620 537 3,903,007 1,446 3,234 217,357 94,031 171,700 1,250

75 225 30 187 152 168 52 37 143 66 6 7,322 58 131 4,700 897 6,922 38 21,209

75 232 29 190 116 213 46 36 143 81 7 6,719 56 130 5,553 821 8,627 38 23,112

42,549 271,001 5,468 39,266 21,623

254 694 92 844 145

398 813 59 792 147

See accompanying notes to financial statements.

West Virginia Investment Management Board E-10

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Biesse SpA Brembo SpA Buzzi Unicem SpA Cerved Information Solutions CIR SpA Cofide-Compagnia Finanziaria Danieli SpA Datalogic SPA DiaSorin Digital Brothers SpA El En SpA Elica SpA Emak SpA Enel SpA Engineering Ingegneria Info ERG SpA Esprinet SpA FNM SpA Immobiliare Grande Disbribuzio Iren SpA Italmobiliare SpA La Doria SpA Mediobanca SpA Prysmian SpA Recordati SpA Reno de Medici SpA Reply SpA SAES Getters Spa Saras SpA Servizi Italia SpA Sesa SpA Sogefi SpA Vittoria Assicurazioni SpA Total Italy - 0.9% Japan Adastria Holdings Co Aderans Company Ltd Ahresty Corporation Aichi Bank Ltd Airport Facilities Co Ltd Akita Bank Ltd Amiyai Tei Co Ltd Amuse Inc Anabuki Kosan Inc Arakawa Chemical Industries Arata Corporation ARC Land Sakamoto Co Ltd Arealink Co Ltd Asahi Broadcasting Corp Asahi Intecc Co Ltd Asahi Kasei Corp Asahi Net Inc Asanuma Corporation Aska Pharmaceutical Company Astellas Pharma Inc Bando Chemical Industries Ltd BML Inc Brother Industries Ltd Bunka Shutter Co Ltd Canon Marketing Japan Inc Central Glass Company Ltd Central Sports Co Ltd Century Leasing System Inc Chiba Kogyo Bank Ltd

Cost

Fair Value

49,851 68,319 18,285 9,506 68,112 96,920 9,216 3,351 8,439 38,118 12,388 45,886 67,425 1,920,200 4,611 47,453 63,960 50,605 142,952 38,018 10,585 41,219 651,100 60,252 31,593 434,168 802 5,531 538,003 4,188 6,842 107,316 8,735

627 2,943 309 76 97 76 126 59 419 447 103 117 84 9,210 278 644 680 32 122 57 386 268 6,400 1,271 590 180 53 74 1,072 24 119 463 125 29,560

625 3,750 318 75 73 37 128 54 516 281 188 92 53 8,490 337 540 366 25 117 59 358 517 3,729 1,315 948 143 102 69 932 17 107 157 84 26,811

101,500 22,600 84,300 5,700 7,500 19,000 6,300 66,000 51,000 22,700 3,700 40,600 28,650 10,700 44,100 642,000 53,200 84,000 80,400 415,700 47,000 7,900 266,300 59,000 3,000 172,000 7,000 158,600 19,400

2,412 218 680 311 64 60 239 1,039 162 208 81 390 335 82 1,914 3,825 246 174 709 6,103 188 287 3,655 395 53 685 125 2,018 143

3,997 111 571 240 36 54 268 1,217 120 208 80 448 366 65 2,139 4,431 233 172 1,342 6,483 226 361 2,824 470 54 736 162 5,078 70

See accompanying notes to financial statements.

West Virginia Investment Management Board E-11

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Chimney Co Ltd Chiyoda Integre Company Chubu Shiryo Company Chugoku Marine Paints Ltd CKD Corporation Cleanup Corp Coca-Cola West Company Computer Engineering & Consult Corona Corporation CTI Engineering Company Ltd DA Consortium Inc Dai Nippon Toryo Co Ltd Daifuku Co Ltd Daiichi Jitsugyo Company Ltd Daiichi Kigenso Kagaku-Kyogyo Daiken Corporation Daikyo Inc Daito Bank Ltd Daito Pharmaceutical Co Ltd Daiwa Industries Ltd Daiwabo Company Ltd Data Communication System Co DCM Japan Holdings Co Ltd Doutor Nichires Holdings Co DyDo Drinco Inc Eco's Co Ltd Edion Corporation Eighteenth Bank Ltd Eizo Nannao Corporation Falco Holdings Co Ltd Ferrotec Corporation Fidea Holdings Co Ltd Foster Electric Company Ltd Fuji Kiko Co Ltd Fuji Oil Company Ltd Fuji Pharmaceutical Co Ltd Fuji Soft ABC Incorporated Fujikura Kasei Company Ltd Fujikura Ltd Fujishoji Company Ltd Fujitsu Frontech Ltd Fujitsu General Ltd Fukoku Company Ltd Fukuda Corporation Fukuda Denshi Company Ltd Fukui Computer Holdings Inc Funai Electric Company Ltd Furusato Industries Ltd FuRyu Corporation Fuso Pharmaceutical Industries Futaba Industrial Company Future Architect Inc G-7 Holdings Inc Gakken Company Ltd Gakkyusha Co Ltd GEO Corporation GMO Cloud KK Gourmet Navigator Inc Grandy House Corporation Gunma Bank Ltd Hagihara Industries Inc Hakuto Co Ltd Handsman Co Ltd Happinet Corporation Hard Off Corporation Co Ltd

Cost

21,600 47,000 6,700 12,000 352,700 5,000 2,000 9,921 13,600 43,100 22,400 190,000 111,700 31,000 2,900 37,000 461,000 230,000 31,460 19,900 656,000 16,100 69,100 82,300 6,700 9,700 51,300 28,000 51,700 10,600 56,600 173,900 27,800 11,000 316,900 3,900 6,300 35,700 1,390,000 4,500 29,500 3,000 25,100 43,000 1,000 5,400 20,900 17,600 2,400 95,000 60,500 45,800 13,800 25,000 5,000 274,800 5,000 7,700 17,600 665,800 5,200 16,000 2,400 34,200 24,300

See accompanying notes to financial statements.

West Virginia Investment Management Board E-12

Fair Value 322 1,063 56 81 3,184 42 40 93 148 523 144 314 1,846 148 80 115 739 244 464 173 1,243 323 503 1,417 281 105 397 85 1,645 145 417 333 535 47 4,653 75 147 191 7,274 56 312 45 241 322 56 43 236 234 59 294 303 306 196 57 56 3,349 57 189 58 3,005 86 174 57 360 239

574 865 47 73 2,603 37 56 132 134 346 250 350 1,979 133 77 117 665 386 859 170 1,388 298 589 1,433 359 117 422 68 1,374 139 794 227 433 35 5,869 86 148 191 6,341 46 274 66 176 436 58 111 183 212 62 254 283 333 160 61 56 3,680 51 222 54 2,401 128 133 58 285 294

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Hazama Ando Corp Heiwa Corporation Heiwa Real Estate Co Ltd Hiday Hidaka Corp Hioki E. E. Corporation Hirata Corporation Hitachi Zosen Fukui Corp Hodogaya Chemical Company Ltd Hokko Chemical Industry Co Ltd Hokuriku Electrical Construct Ichigo Real Estate Investment Ichiken Co Ltd Ichinen Holdings Co Ltd Iida Group Holdings Co Ltd Inaba Seisakusho Co Ltd I-Net Corp Infocom Corporation Information Ser Interntl Dent Intage Holdings Inc Ishihara Sangyo Kaisha Ltd Isuzu Motors Ltd IT Holdings Corporation ITC Networks Corporation ITFOR Inc Itochu Corp Itochu Enex Company Ltd Itoki Corp Iwai Cosmo Holdings Inc Iwasaki Electric Company Ltd JAC Recruitment Co Ltd JAFCO Company Japan Airlines Co Ltd Japan Foundation Engineering Japan Lifeline Co Ltd Japan Logistics Fund Inc Japan Securities Finance Co JEOL Ltd Jimoto Holdings Inc JK Holdings Co Ltd J-Oil Mills Inc Joshin Denki Co Ltd Kaga Electronics Company Kajima Corp Kanematsu Corporation Kanematsu Electronics Ltd Kappa Create Co Ltd Kasai Kogyo Co Ltd Kato Deka Kogyo Co Ltd KDDI Corporation Keihanshin Real Estate Company Keihin Corporation Kenko Mayonnaise Co Ltd Kinki Nippon Tourist Co Ltd Kirindo Holdings Co Ltd KI-Star Real Estate Co Ltd Kitagawa Iron Works Co Ltd Kita-Nippon Bank Ltd Kitano Construction Corp Kohnan Shoji Co Ltd Koito Manufacturing Company Komatsu Wall Industry Co Ltd Komeri Co Ltd Konishi Company Ltd Kosaido Co Ltd Krosaki Harima Corporation

Cost

292,700 284,300 5,500 3,600 4,900 8,900 3,440 20,000 14,000 23,500 301 44,000 18,300 105,000 38,200 12,200 30,700 16,500 400 45,000 641,900 64,400 4,400 12,600 363,400 20,500 118,100 73,300 404,000 62,100 33,300 164,100 14,800 55,100 72 15,800 22,000 65,400 7,400 142,000 14,000 57,400 256,000 252,000 6,600 23,700 55,800 11,000 213,400 87,100 334,000 7,400 428,000 32,000 7,900 201,000 3,400 54,000 18,200 46,100 7,300 2,200 20,200 22,700 73,000

See accompanying notes to financial statements.

West Virginia Investment Management Board E-13

Fair Value 1,156 5,080 64 95 107 357 45 36 58 238 230 149 172 2,076 472 117 314 318 6 45 8,168 1,117 56 53 2,569 138 719 846 888 970 1,248 5,517 69 1,212 155 61 110 114 40 454 111 683 1,511 402 117 238 534 64 1,899 495 3,821 148 770 362 204 495 87 133 192 2,108 171 56 199 121 153

1,615 5,734 69 87 92 576 40 53 38 162 235 112 164 2,132 498 124 470 256 6 26 7,812 1,472 55 60 4,391 180 649 603 532 1,040 817 5,266 49 2,218 168 59 84 90 33 469 117 647 1,767 395 116 296 501 107 6,475 431 5,089 206 592 284 184 327 83 133 336 2,101 107 57 259 67 169

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

KRS Corporation Kura Corporation Kurabo Industries Ltd Kusuri No Aoki Co Ltd KYB Co Ltd Kyodo Printing Co Ltd Kyorin Co Ltd Kyoritsu Printing Co Ltd Kyowa Exeo Corporation Kyowa Leather Cloth Co Ltd Kyudenko Corporation Leopalace21 Corporation Lion Corporation Maezawa Kasei Industries Co Marubeni Corporation Marubun Corporation Marudai Food Company Ltd Maruka Machinery Co Ltd Matsui Construction Co Ltd Matsumotokiyoshi Holdings Co Matsuya Foods Company Ltd MAX Company Ltd Megmilk Snow Brand Co Ltd Meiji Electric Industries Co Meisei Industrial Co Ltd Meiwa Estate Company Ltd Melco Holdings Inc Menicon Co Ltd Mie Bank Ltd Mikuni Corporation Miraca Holdings Inc Miroku Jyoho Service Co Ltd Misumi Group Inc Mitani Corporation Mito Securities Company Ltd Mitsubishi Gas Chemical Co Mitsubishi Research Institute Mitsubishi Tokyo Finl Grp Inc Mitsuboshi Belting Co Ltd Mitsui High - Tec Inc Mitsui Home Company Ltd Mitsui Matsushima Co Ltd Mitsuuroko Company Ltd Mixi Inc Mizuho Financial Grp Inc Mochida Pharmaceutical Company Money Square Holdings Inc Monogatari Corporation Mori Trust Sogo Reit Inc Morinaga Milk Industry Company MTI Ltd Namura Shipbuilding Company NEC Networks & System Int Net One Systems Co Ltd New Japan Radio Co Ltd Nexon Co Ltd Nichi Iko Pharmaceutical Co Nichias Corp Nichiban Company Ltd Nichiha Corp Nichirei Corporation Nichireki Co Ltd Nichirin Co Ltd Nihon Eslead Corp Nihon Tokushu Toryo Co Ltd

Cost

22,700 35,500 28,000 27,600 1,012,000 68,000 9,900 51,900 239,500 45,200 125,600 381,100 192,000 4,000 873,700 39,500 27,000 6,600 32,000 89,300 9,300 6,000 80,400 11,600 87,100 18,100 2,900 15,000 25,000 20,000 74,800 84,200 123,100 3,800 95,700 1,384,200 5,700 1,324,600 37,000 60,200 7,000 56,000 7,600 13,200 4,906,800 17,400 11,600 10,000 36 114,000 118,100 9,100 10,800 54,500 112,000 104,100 23,800 8,000 52,000 64,000 187,000 32,000 24,400 13,000 5,400

See accompanying notes to financial statements.

West Virginia Investment Management Board E-14

Fair Value 369 998 60 1,381 3,996 195 189 131 2,146 252 2,803 2,172 2,853 43 4,774 231 104 103 187 1,906 177 70 1,759 116 380 85 60 483 57 74 2,164 525 1,751 80 382 7,429 180 6,530 244 437 34 55 39 431 10,435 1,197 154 419 62 343 574 54 243 314 592 1,593 487 61 259 764 1,610 299 306 130 32

584 2,083 49 1,789 3,245 208 193 148 2,974 353 3,710 2,656 3,154 39 3,913 224 128 72 337 4,339 246 68 2,802 111 374 98 59 428 43 57 3,223 1,193 2,199 103 215 7,165 174 5,886 287 367 30 56 37 540 7,093 1,399 96 508 68 791 752 50 191 313 402 1,529 481 61 390 1,004 1,712 198 300 127 55

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Nihon Trim Co Ltd Nihon Unisys Ltd Nihon Yamamura Glass Co Ltd Nipon Piston Ring Co Ltd Nippon Chemical Industrial Co Nippon Chemiphar Co Ltd Nippon Flour Mills Company Ltd Nippon Pillar Packing Co Ltd Nippon Road Company Ltd Nippon Seisen Co Ltd Nippon Signal Co Ltd Nippon Systemware Co Ltd Nippon Telegraph & Telephone Nippon Television Network Nishimatsuya Chain Co Ltd Nissan Motor Co Ltd Nissan Tokyo Sales Holdings Nisshinbo Industries Inc Nittan Valve Co Ltd Nittetsu Mining Company Nitto Kogyo Corporation Nitto Kohki Co Ltd Nittoc Construction Co Ltd Noritz Corporation North Pacific Bank Ltd Novarese Inc NTT DoCoMo NuFlare Technology Inc Obayashi Corporation Obayashi Road Corporation Odelic Co Ltd Oenon Holdings Ohashi Technica Inc Oita Bank Ltd Okamura Corp Open House Co Ltd Origin Electric Co Ltd Osaka Organic Chemical Ind Osaki Electric Company Paltac Corp PanaHome Corporation Paramount Bed Holdings Co Ltd Pepper Food Service Co Ltd Proto Corporation Raito Kogyo Co Ltd Renaissance Inc Resona Holdings Inc Rheon Automatic Machinery Ricoh Company Ltd Right On Co Ltd Rock Field Co Ltd Round One Corp Royal Holdings Company Ltd Saint Marc Holdings Co Ltd Saizeriya Company Ltd Sakai Ovex Co Ltd San-Ai Oil Co Ltd Sanbio Co Ltd Sanko Metal Industries Co Sankyo Tateyama Inc Sanoh Industrial Company Ltd Sansha Electric Manufacturing Sanyo Chemical Industries Ltd Sanyo Shokai Ltd Scroll Corporation

Cost

13,300 5,100 188,000 15,700 181,000 19,000 99,000 26,700 40,000 50,000 29,000 23,300 447,100 272,000 49,800 1,051,700 39,200 639,900 15,400 30,000 42,800 6,200 27,600 6,300 705,600 13,300 197,600 2,700 143,700 16,700 1,600 22,000 23,800 153,000 21,600 119,400 113,000 10,000 17,000 73,100 7,000 4,200 4,900 2,900 5,300 10,500 2,641,100 18,000 533,600 26,500 7,000 55,500 16,000 10,800 22,700 54,000 40,000 24,000 33,000 47,000 24,800 8,800 9,000 225,000 48,400

See accompanying notes to financial statements.

West Virginia Investment Management Board E-15

Fair Value 891 41 285 312 318 97 476 221 207 249 274 203 10,467 4,496 470 9,653 173 7,132 58 141 858 114 116 106 3,211 128 3,026 127 1,387 110 52 41 241 599 218 2,306 431 59 115 1,102 56 171 57 42 47 113 13,848 98 5,415 370 75 339 292 308 384 94 240 406 94 855 173 68 70 561 175

918 63 279 210 346 85 770 239 153 197 225 237 20,919 4,454 703 9,410 82 5,757 47 96 527 131 105 112 1,905 108 5,329 128 1,520 104 55 43 282 438 214 3,226 285 52 131 1,476 55 212 55 34 55 118 9,577 95 4,598 345 103 445 284 326 404 75 226 402 92 660 132 41 69 421 177

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Seika Corporation Seikitokyu Kogyo Co Ltd Seiko Epson Corporation Seino Holdings Corporation Ltd Sekisui Plastics Co Ltd Senshu Electric Co Ltd Shikoku Bank Ltd Shimamura Co Ltd Shinagawa Refractories Company Shin-Etsu Polymer Company Ltd Shinnihon Corporation Shinoken Shinsho Corporation Shizuoka Gas Company Ltd Showa Sangyo Co Ltd SIA Reit Inc Sinanen Company Ltd Sinko Industires Ltd Sintokogio Ltd SK-Electronics Co Ltd SKY Perfect JSAT Corp Softbank Technology Corp Sourcenext Corporation SRA Holdings Inc Star Flyer Inc Starts Corporation Inc Stella Chemifa Corp Studio Alice Co Ltd Suminoe Textile Co Ltd Sumitomo Corporation Sumitomo Mitsui Financial Grp Sumitomo Rubber Industries Ltd Suncall Corporation Systena Corp Takaoka Toko Holdings Co Ltd Takara Printing Co Ltd Takashima & Co Ltd Takiron Co Ltd Takisawa Machine Tool Co Ltd Takuma Co Ltd Tayca Corporation Teikoku Sen I Co Ltd Tenma Corporation Tera Probe Inc T-Gaia Corporation The Bank of Kochi Ltd The Nagano Bank Ltd TKC Corporation Toa Road Corp Toagosei Company Ltd Tocalo Co Ltd Tochigi Bank Ltd TOENEC Corporation Togami Electric Manufacturing Toho Bank Ltd Toho Pharmaceutical Co Ltd Tokai Holdings Corp Tokai Rika Company Ltd Token Corporation Tokyo Rakutechi Company Ltd Tokyo Sangyo Company Ltd Tokyo Seimitsue Company Ltd Tokyo Steel Manufacturing Tokyo Tekko Company Ltd Tokyu Contruction Co Ltd

Cost

114,000 40,000 283,600 330,000 39,000 1,800 27,000 18,700 35,000 88,300 68,300 36,600 17,000 44,500 59,000 18 18,000 10,000 6,600 3,800 745,300 13,600 48,800 23,800 2,400 4,100 36,900 16,500 75,000 501,600 236,600 437,200 12,000 89,900 7,600 20,000 13,000 47,000 78,000 120,000 86,000 4,600 6,800 19,100 44,000 38,000 96,000 11,100 20,000 301,000 3,400 119,000 45,000 18,000 26,000 186,700 145,200 232,100 7,100 7,000 8,800 157,200 17,900 14,000 27,800

See accompanying notes to financial statements.

West Virginia Investment Management Board E-16

Fair Value 294 193 5,045 1,730 129 22 56 2,219 77 445 309 969 38 274 212 66 70 118 58 64 3,975 211 210 377 101 86 972 334 208 6,753 7,417 6,421 77 802 122 253 29 239 153 933 357 53 90 218 551 56 173 282 81 2,621 74 533 301 82 98 4,325 600 4,574 418 29 32 2,978 108 62 234

269 188 4,514 3,008 121 28 53 2,767 65 514 445 978 27 312 250 75 69 111 49 32 3,422 259 216 456 71 81 1,257 387 140 5,009 6,748 5,809 52 1,217 123 250 20 209 93 1,060 409 58 101 130 616 37 179 290 52 2,752 55 408 228 66 80 4,479 924 3,389 556 32 29 3,627 97 50 252

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

TOLI Corporation Tomoku Co Ltd Tonami Transportation Company Top REIT Inc Toppan Forms Co Ltd Toridoll.corporation Torii Pharmaceutical Co Ltd Toukei Computer Co Ltd Towa Bank Ltd Towa Pharmaceutical Co Ltd Toyo Engineering Corp Toyo Kohan Company Ltd Toyo Machinery & Metal Co Toyo Securities Co Ltd Toyoda Gosei Company Ltd Trans Cosmos Inc Tsukuba Bank, Ltd. Tsuruha Holdings Inc TV Tokyo Holdings Corporation TYK Corp TYO Inc Ube Industries Ltd Uchida Yoko Company Ulvac Inc Unizo Holdings Company Ltd USC Corporation Usen Corp V Technology Co Ltd Vital-KSK Holdings Inc Warabeya Nichiyo Co Ltd WDB Holdings W-Scope Corporation Yachiyo Industry Company Ltd Ya-Man Ltd Yamanashi Chuo Bank Yamaya Corporation Yamazen Corporation Yellow Hat Ltd Yokohama Rubber Company Ltd Yuasa Trading Co Yume No Machi Souzou Iinkai Yurtec Corporation Yusen Air & Sea Service Co Zenkoku Hosho Co Ltd Zenrin Co Ltd Zuken Inc Total Japan - 13.3% Korea Aekyung Petrochemical Co Ltd Amorepacific Corporation Anapass Inc Asia Paper Manufacturing Co BGF Retail Co Ltd BS Financial Group Inc Daeduck Electronics Company Daegu Energy Co Ltd Daehan Steel Co Ltd Daesung Holdings Co Ltd DK UIL Co Ltd Dong Ah Tire & Rubber Company Dongwon Development Co GMB Korea Corp Hana Financial Group Husteel Co Ltd

Cost

Fair Value

22,000 26,000 40,000 31 8,000 5,500 12,900 7,000 310,000 44,900 210,000 35,000 78,800 206,000 271,600 2,000 123,500 23,600 17,100 15,000 72,800 2,765,000 216,000 166,700 39,500 23,000 11,200 15,800 7,300 8,200 8,200 57,600 11,700 3,300 12,000 4,300 36,000 2,900 252,000 20,600 2,700 48,000 3,600 34,900 2,400 5,300

60 83 148 116 74 112 294 108 291 3,089 628 160 422 654 5,323 51 415 2,050 313 37 127 4,844 654 3,852 2,092 442 43 868 56 159 89 1,128 102 62 54 91 315 56 2,710 416 48 376 42 1,004 58 56 355,927

62 72 102 126 82 147 299 122 239 2,333 692 83 270 384 4,794 57 327 2,846 335 22 116 4,528 958 5,062 1,555 349 33 1,793 69 151 63 1,346 95 65 42 69 285 64 3,124 421 51 326 36 1,259 47 47 381,024

1,082 10,984 3,127 2,100 18,028 342,600 8,028 13,940 31,774 3,210 11,356 2,620 86,803 4,580 515,826 3,111

57 3,584 43 44 2,674 53 75 276 27 111 44 183 39 19,481 57

89 4,115 35 37 3,342 2,400 50 75 225 26 96 61 331 22 10,412 37

See accompanying notes to financial statements.

West Virginia Investment Management Board E-17

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Hyundai Mobis Hyundai Motor Company Industrial Bank of Korea Jahwa Elextronice Co Ltd KB Financial Group Inc Kia Motors Corporation Korea Aerospace Industries Ltd Korea Electric Power Corp Korea Flange Co Ltd KT&G Corporation Kunsul Chemical Ind Kyungchang Industrial Co Ltd LG Chemical Ltd LG Telecom Ltd Neowiz Holdings Corp NHN Corporation Posco RedcapTour Co Ltd Saeron Automotive Corp Sam Young Electronics Co Ltd Sam-A Pharmaceutical Co Ltd Samsung Card Co Samsung Electronics Co Ltd Sewon Precision Industry Co Shinhan Financial Group SK Telecom Company Ltd Unick Corporation Visang Education Inc Total Korea - 6.3% Liechtenstein VP Bank AG - 0.0% Luxembourg Adecoagro SA Aperam B&M European Value Retail SA Stabilus SA Ternium - ADR Total Luxembourg - 0.6% Malaysia AMMB Holdings Bhd Carlsberg Brewery Malaysia Bhd Gadang Holding Bhd Genting Malaysia Bhd Guinness Anchor Bhd Insas Bhd JCY International Bhd K&N Kenanga Holding Bhd Kimlun Corporation Bhd KSL Holdings Bhd Land & General Bhd Malaysia Bldg Society Bhd Malaysian Pacific Industries NTPM Holdings Bhd Padini Holdings Bhd Scientex Bhd Shell Refining Company Sunway Construction Group Bhd Ta Ann Holdings Bhd Tenage Nasional Bhd Top Glove Corporation Bhd UOA Development Bhd VS Industry Bhd

Cost

Fair Value

71,744 21,672 473,400 4,433 199,029 444,020 22,027 138,400 2,494 73,200 1,320 7,381 19,748 644,200 4,225 7,112 38,777 1,861 4,160 4,090 3,721 2,874 36,535 3,159 506,704 56,500 208 5,354

17,617 3,387 6,897 55 8,131 23,272 1,391 6,799 52 5,425 36 81 4,709 5,551 51 3,814 12,781 41 43 36 59 90 40,060 98 19,463 7,643 1 59 194,390

15,696 2,549 4,583 47 5,633 16,653 1,400 7,257 30 8,675 40 35 4,458 6,096 52 4,384 6,783 29 29 43 59 104 45,199 51 16,716 10,571 1 53 178,579

854

85

77

349,894 31,088 87,928 1,156 607,500

2,782 1,100 298 61 11,466 15,707

3,838 1,090 300 55 11,579 16,862

2,283,300 52,100 177,700 3,872,300 19,000 10,700 1,577,000 302,500 149,600 93,800 65,932 5,041,100 38,500 272,700 373,700 77,000 131,800 215,300 170,200 3,937,500 327,300 106,400 2,346,500

3,858 169 83 4,040 67 2 317 60 55 64 12 2,862 45 59 155 209 97 64 160 12,638 286 58 465

2,515 171 90 4,274 71 2 235 37 67 26 6 900 72 57 220 238 99 85 139 13,771 373 58 687

See accompanying notes to financial statements.

West Virginia Investment Management Board E-18

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

WTK Holdings Bhd Total Malaysia - 0.9%

Cost

Fair Value

523,900

165 25,990

138 24,331

2,536,300 542,800 6,373,000 2,972,372 55,400 162,400 116,562 1,078,600 25,957 8,964,222 1,472,800 376,408 7,178,875 18,713,415

5,041 1,729 6,427 20,262 5,125 2,296 183 5,936 116 14,676 3,357 554 13,317 8,415 87,434

4,328 2,045 3,876 18,340 5,124 2,322 239 5,994 106 11,661 1,780 604 12,024 1 68,444

27,448 1,187,300 47,556 6,498 75,270 2,352 130,196 2,406 150,800 288,400 155,600 75,220 72,839 785 712,600 2,555 269,000

538 8,873 427 98 2,042 54 1,216 55 2,622 4,288 4,960 314 121 8 3,139 113 4,237 33,105

567 4,656 652 98 2,046 52 651 58 533 6,376 3,871 301 125 8 2,914 104 5,878 28,890

New Zealand Air New Zealand Ltd Chorus Ltd Fletcher Building Ltd New Zealand Refining Company Nuplex Industries Ltd Restaurant Brands New Zealand Total New Zealand - 0.3%

43,010 402,320 964,900 113,049 94,020 16,844

79 943 4,637 252 247 59 6,217

64 1,209 5,896 196 352 65 7,782

Norway ABG Sundal Collier ASA Aker ASA Austevoll Seafood Bakkafrost P/F Det Norske Oljeselskap ASA DNB Holding ASA Kongsberg Automotive Holdings Kvaerner ASA Salmar ASA Sparebank 1 Nord-Norge Sparebanken 1 SMN StatoilHydro ASA TGS Nopec Geophysical Company Yara International ASA Total Norway - 0.7%

55,778 5,683 50,762 33,386 11,523 642,300 484,722 374,086 4,504 40,353 22,291 281,300 7,980 160,200

42 137 325 676 139 7,459 405 519 131 227 197 7,399 129 7,008 24,793

36 145 423 1,255 140 7,626 316 340 133 190 124 4,844 130 5,050 20,752

Mexico Alfa SA A Shares Alsea SAB de CV America Movil SAB de CV Cemex SAB de CV - ADR Fomento Economico Mexicano SAB - ADR Gruma SA Grupo Aeromexico Sab De CV Grupo Financiero Banorte Industrias Bachoco Macquarie Mexico Real Estate OHL Mexico SAB de CV Prologis Property Mexico SA TF Administradora Industrial S Urbi Desarrollos Urbanos SA Total Mexico - 2.4% Netherlands Accell Group NV Aegon NV AMG Advanced Metallurgical Arcadis NV BE Semiconductor Industries Beter Bed Holding NV BinckBank NV Corbion NV Delta Lloyd NV Koninklijke Ahold NV Koninklijke Philips Electronic Nieuwe Steen Investments NV Ordina NV Tetragon Financial Group Ltd TNT NV Vastned Retail Yandex NV-A Total Netherlands - 1.0%

See accompanying notes to financial statements.

West Virginia Investment Management Board E-19

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Pakistan Nishat Mills Ltd - 0.2%

Cost

Fair Value

4,997,940

6,035

5,150

246,000

21,265

12,856

Philippines Cebu Air Inc Metropolitan Bank & Trust Co SM Investments Corporation Total Philippines - 0.4%

44,040 3,063,390 199,950

90 4,676 3,283 8,049

92 5,883 4,110 10,085

Poland Asseco Poland SA KGHM Polska Miedz Neuca SA Tauron Polska Energia SA Total Poland - 0.2%

9,354 145,800 1,164 3,607,200

144 4,936 91 4,356 9,527

123 2,429 101 2,586 5,239

5,246 11,214 4,974 21,242

59 55 213 140 467

35 54 206 112 407

Russia Gazprom - ADR Gazprom PAO Lukoil PJSC - ADR Magnit MMC Norilsk Nickel - ADR Mobile TeleSystems Mobile TeleSystems - ADR NovaTek OAO - GDR Rostelecom - ADR Sberbank of Russia Sberbank of Russia - ADR Sberbank of Russia - GDR Sistema JSFC - GDR Total Russia - 3.1%

2,601,050 513,580 700,106 23,308 297,400 2,767,861 482,195 36,715 184,400 1,864,300 1,477,708 175,000 166,200

21,619 1,149 36,003 4,791 5,060 9,568 5,998 3,493 3,775 2,782 12,696 2,131 4,541 113,606

11,263 1,122 29,215 3,288 3,952 10,532 3,993 3,745 1,586 3,882 12,891 1,528 1,251 88,248

Singapore Best World International Ltd China Aviation Oil Singapore China Sunsine Chemical Holding Chip Eng Seng Corporation Ltd CSE Global Ltd DBS Group Holdings Ltd Ezra Holdings Ltd Frasers Commercial Trust Fu Yu Corp Hock Lian Seng Holdings Hong Leong Asia Ltd Innovalues Ltd Singapore O&G Ltd Sino Grandness Food Industry Sunningdale Tech Ltd UMS Holdings Ltd United Engineers Limited Vallianz Holdings Ltd Venture Corp Ltd Yangzijiang Shipbuilding Yanlord Land Group Ltd Total Singapore - 0.5%

324,000 107,700 44,400 514,800 54,000 461,900 2,531,800 56,400 1,574,400 130,900 1,164,000 451,500 63,700 235,400 130,460 403,750 91,300 1,748,800 144,800 6,217,800 690,500

275 93 15 361 30 4,897 192 59 230 40 2,220 179 29 114 113 187 145 58 870 4,487 561 15,155

277 98 13 243 18 5,409 137 53 223 34 644 340 39 108 102 175 149 49 891 4,135 582 13,719

Panama Copa Holdings - 0.4%

Qatar Al Khaleej Takaful Group National Leasing Qatar Fuel QSC United Development Company Total Qatar - 0.0%

See accompanying notes to financial statements.

West Virginia Investment Management Board E-20

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Cost

Fair Value

South Africa Anglogold Ashanti Ltd Astral Foods Ltd Barclays Africa Group Ltd Blue Label Telecoms Ltd Clover Industries Ltd FirstRand Ltd Foschini Ltd Holdsport Ltd Imperial Holdings Ltd JSE Ltd Liberty Holdings Ltd MTN Group Ltd Naspers Ltd Peregrine Holdings Ltd Reunert Ltd Super Group Ltd Telkom South Africa Ltd Wilson Bayly Holmes-OVCON Total South Africa - 1.3%

236,259 161,900 373,777 77,045 26,856 1,121,952 334,693 9,431 315,300 30,264 29,092 617,342 68,088 336,794 18,160 30,134 70,121 79,353

3,714 2,256 5,387 66 42 4,524 3,813 42 2,432 326 402 9,590 5,763 773 86 77 325 668 40,286

4,317 1,399 3,677 97 34 3,435 3,177 38 3,218 382 240 6,025 10,414 676 78 81 317 682 38,287

Spain Almirall SA Banco Santander Ctrl Hisp SA Corporacion Financiera Alba SA Distribuidora Internacional de Ence Energia Y Celulosa SA Faes Farma SA Gamesa Corporation Tecnologica Gas Natural SDG SA Iberdrola SA Immobiliaria Colonial SA Intl Consolidated Airlines Mapfire SA Papeles y Cartones de Europa Prosegur Compania de Seguridad Repsol SA Total Spain - 1.4%

31,513 965,900 419 896,111 24,473 59,449 148,200 323,900 944,200 110,613 542,800 3,230,700 50,328 55,300 282,500

559 7,552 17 4,730 59 183 2,818 6,770 5,093 80 4,251 11,345 280 323 7,856 51,916

469 3,680 17 5,179 58 194 2,913 6,356 6,385 80 2,685 7,028 266 332 3,581 39,223

20,214 7,743 20,306 13,257 10,688 4,223 357,132 6,428 21,604 19,928 21,714 28,043 17,858 1,501 48,880 26,184 39,000 17,671 7,720 22,809 7,005 2,862 308 35,320 22,375

46 315 297 254 152 106 5,487 82 187 175 42 183 326 36 404 342 1,005 148 73 113 107 37 3 174 989

38 295 387 266 262 114 6,862 77 182 151 48 197 304 34 346 334 1,167 152 73 132 109 53 4 155 1,264

Sweden Acando AB Avanza Bank Holding AB Axfood AB B&B Tools AB Bilia AB BioGaia AB Boliden AB Bonava AB Bure Equity AB Byggmax Group AB Catella AB CellaVision AB Clas Ohlson AB Creades Dios Fastigheter AB Duni AB Evolution Gaming Group Granges AB Haldex AB HiQ International AB Hufvudstaden AB IAR Systems Group AB Investment AB Oresund KappAhl Holding AB L E Lundergforetagen AB

See accompanying notes to financial statements.

West Virginia Investment Management Board E-21

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Lindab International AB Medivir AB-B SHS Moberg Pharma AB MQ Holding AB Mycronic AB NCC AB Nolato AB Nordea AB Nordnet AB Peab AB Saab AB Scandi Standard AB Securitas AB Skandinaviska Enskilda Banken Swedish Orphan Biovitrum AB Telefonaktiebolaget LM Telia AB Tethys Oil AB Unibet Group PLC Vitrolife AB Total Sweden - 1.8% Switzerland AFG Arbonia-Forster Holdi-BR Also Holding APG SGA SA Aryzta AG Ascom Holding AG Autoneum Holding AG Bachem Holding AG Baloise Holding Ltd Bobst Group AG Bucher Industries AG Burkhalter Holding AG Calida Holding AG Coltene Holding AG Credit Suisse Group EFG International AG Emmi AG Feintool International Holding Forbo Holding AG Galenica AG Georg Fischer AG Gurit Holding AG Huber & Suhner AG Implenia AG Interroll Holding AG Kaba Holding AG Kardex AG Komax Holding AG Kudelski SA - BR Liechtenstein Landesbank-BR Logitech International SA Lonza Group AG Metall Zug AG Mobilezone Holding AG Mobimo Holding AG Oriflame Holdimgs AG Rieter Holding AG Siegfried Holding AG Straumann AG Swiss Life Holding Swiss Re Ltd Tamedia AG Tecan Group AG

Cost

Fair Value

7,828 32,867 9,464 139,031 286,424 6,428 2,091 736,900 26,094 73,478 62,900 32,719 137,600 567,300 214,907 855,000 1,642,900 33,861 189,800 17,703

66 452 73 613 2,042 126 51 8,762 112 595 2,162 191 1,618 4,626 2,910 8,174 12,046 289 2,196 434 58,621

60 214 41 525 2,121 148 55 6,166 80 553 1,946 233 2,100 4,884 2,607 6,489 7,702 256 1,732 972 51,890

5,216 788 250 118,335 10,446 897 3,143 94,000 8,084 422 47 5,631 3,181 788,000 9,152 1,636 835 775 2,977 8,888 185 1,596 10,793 51 255 3,486 3,285 46,819 1,447 4,115 11,931 57 10,449 2,401 11,546 1,193 579 450 65,330 200,800 684 6,061

91 59 104 5,437 186 172 212 7,679 385 101 5 182 212 20,948 120 634 88 626 2,681 4,479 103 70 726 26 157 210 504 729 57 66 1,083 151 143 536 243 248 102 177 10,498 14,658 91 740

74 58 102 4,353 166 210 255 10,440 402 99 6 177 225 8,339 35 997 79 920 4,006 7,089 116 86 711 48 178 311 679 930 53 67 1,974 163 135 546 292 244 111 177 15,015 17,468 115 944

See accompanying notes to financial statements.

West Virginia Investment Management Board E-22

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Temenos Group AG UBS Group AG Valiant Holding AG Vontobel Holding AG Zehnder Group AG Zurich Financial Services AG Total Switzerland - 3.4%

Cost

Fair Value

39,100 442,200 2,809 5,086 15,494 36,000

1,855 7,739 291 230 657 10,448 96,939

1,947 5,706 270 220 601 8,847 95,986

Taiwan Advanced Semiconductor Engr AU Optronics Corp - ADR Catcher Technology Co Ltd Compal Electronics Inc CompeqManufacturing Co CTBC Financial Holding Co Ltd Gigabyte Technology Company Hon Hai Precision Industry Co King Yuan Electronics Co Ltd Largan Precision Co Ltd MediaTek Inc Micro-Star International Co Pegatron Corp President Chain Store Corp Primax Electronics Ltd Taiwan Semiconductor - ADR Total Taiwan - 2.9%

2,110,000 352,688 434,000 7,983,938 5,706,000 5,241,000 2,968,000 3,430,250 4,182,000 24,400 835,000 3,722,000 3,269,000 633,000 2,944,000 719,900

2,269 1,337 4,561 6,227 3,308 2,822 2,206 8,930 2,966 1,514 6,186 4,917 6,399 4,558 3,569 12,517 74,286

2,397 1,231 3,195 5,012 3,025 2,738 3,519 8,773 3,701 2,228 6,316 6,819 6,871 4,925 3,838 18,883 83,471

Thailand Advanced Information Tech Airports of Thailand Public Co AP Thailand PCL Bangchak Petroleum PCL Bangkok Bank Public Company Bangkok Dusit Medical Services Cal-Comp Electronics PCL Forth Corp PCL Hana Microelectronics PCL Hwafong Rubber Thailand Public IMPACT Growth Real Estate Inv Jasmine Broadband Internet Kasikornbank PCL KGI Securities Thailand PCL Krung Thai Bank PCL Lalin Property Public Company M.K. Real Estate Development MFEC PCL Padaeng Industry Public Co Ltd PTT PLC SNC Former Public Company Ltd Star Petroleum Refining PCL Supalai Public Company Ltd Synnex Thailand PCL-NVDR Thai Nakarin Hospital PCL Thai Union Group Public Co Thanachart Capital Total Thailand - 1.7%

52,600 173,100 523,000 4,953,500 1,288,000 3,398,500 716,900 257,700 172,600 729,400 148,800 30,247,700 818,900 1,745,700 8,788,600 774,100 1,090,700 176,400 116,300 346,200 251,000 2,188,200 6,574,300 405,300 64,000 3,426,500 3,963,600

55 1,732 103 3,498 5,840 2,079 72 55 173 119 54 8,037 3,829 208 2,776 109 137 42 59 3,448 119 697 3,430 58 45 2,012 4,271 43,057

43 1,921 109 4,511 5,810 2,311 55 60 145 104 62 9,038 3,962 162 4,077 89 133 23 40 3,084 107 595 4,471 74 70 2,145 3,948 47,149

2,551,213 99,432 63,720 14,095 126,091 133,840 288,920

6,951 69 62 163 59 85 195

7,301 48 65 148 58 80 207

Turkey AkBank TAS Akfen Gayrimenkul Vatirim Ortk Akis Gayrimenkul Yatirimi AS Alarko Gayrimenkul Yatirim Albaraka Turk Katilim Bankasi Anadolu Anonim Turk Sigorta Anadolu Cam Sanayii AS

See accompanying notes to financial statements.

West Virginia Investment Management Board E-23

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

BIM Birlesik Magazalar AS EGE Seramik Sanayi ve Ticaret Emlak Konut Gayrimenkul Yatiri Haci Omer Sabanci Holding Is Gayrimenkul Yatrim Ortaklig Koc Holding AS Sasa Polyester Sanyi AS Selcuk Exza Deposu Ticaret AS Sinpas Gayrimenkul Yatirim O Tav Havalimanlari Holding AS Tekfen Holding AS Torunlar Gayrimenkul Yatirim Turkiye Garanti Bankasi AS Turkiye Halk Bankasi Turkiye Vakiflar Bankasi T-D Vakif Gayrimenkul Yatirim Ort Total Turkey - 1.9% United Arab Emirates Emaar Properties PJSC NCC (TABREED) Total United Arab Emirates - 0.2% United Kingdom 3I Group PLC 888 Holdings PLC Abcam PLC Aberdeen Asset Management PLC Admiral Group PLC Advanced Medical Solutions Aggreko PLC Aldermore Group PLC AMEC PLC Arcos Dorados Holdings Inc AstraZeneca Group PLC Atlassian Corporation PLC Auto Trader Group Aviva PLC Avon Rubber PLC Awilco Drilling PLC Barclays PLC Barratt Developments PLC Bellway plc Berkeley Group Holdings PLC Big Yellow Group PLC Bodycote PLC Booker Group PLC BP Amoco PLC British Aerospace PLC BT Group PLC Cairn Energy PLC Capital & Regional PLC Capital Shopping Centres Group Carillion PLC Centamin Centrica PLC Character Group PLC Chesnara PLC Computacenter PLC Costain Group PLC Cranswick PLC Crest Nicholson Holdings Creston PLC CVS Group PLC Dart Group PLC

Cost

Fair Value

97,005 48,540 15,491,723 905,500 184,561 988,106 16,670 2,124,209 306,068 495,400 11,056 54,387 2,187,850 794,700 6,258,538 73,197

1,753 65 15,174 3,155 100 4,356 12 3,513 69 3,881 27 99 7,438 4,429 10,852 57 62,564

1,891 67 15,407 2,966 108 4,508 21 2,031 67 2,124 28 95 5,767 2,360 9,816 57 55,220

3,270,307 291,611

5,266 116 5,382

5,520 111 5,631

886,500 604,915 146,064 758,301 122,300 32,158 213,067 29,961 217,200 1,662,566 172,900 6,666 122,300 490,300 12,937 13,849 1,730,100 596,700 113,900 109,814 5,842 29,948 34,102 2,259,600 2,249,500 618,300 522,100 146,889 21,659 55,029 293,590 2,025,400 9,043 14,131 482,984 11,999 4,134 560,231 20,744 22,201 72,795

6,135 1,838 1,135 3,128 3,028 70 3,501 98 3,636 7,808 9,297 124 599 3,777 157 305 9,061 3,972 4,020 4,224 60 206 79 18,947 12,690 1,785 1,512 160 82 173 406 9,611 68 71 1,733 69 127 4,901 41 158 433

6,488 1,656 1,503 2,832 3,319 84 3,640 48 1,423 7,930 10,325 173 578 2,582 147 53 3,206 3,234 2,890 3,704 61 206 79 13,235 15,757 3,389 1,449 104 84 172 518 6,106 57 52 4,762 51 115 2,666 24 232 513

See accompanying notes to financial statements.

West Virginia Investment Management Board E-24

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Davis Service Group PLC DCC PLC De La Rue PLC Debenhams PLC Dechra Pharmaceuticals PLC Derwent London PLC Domino's Pizza Group PLC EasyJet PLC EMIS Group PLC Faroe Petroleum PLC FDM Guoup Holdings PLC Fidessa Group PLC FirstGroup PLC Galliford Try PLC Game Digital PLC Genel Energy PLC Genus PLC GlaxoSmithKline PLC Go Ahead Group PLC Greggs PLC Halfords Group PLC Halma PLC Hargreaves Services PLC Henderson Group PLC Hikma Pharmaceuticals PLC HomeServe PLC HSBC Holdings PLC Hunting PLC ICAP PLC IG Group Holdings PLC Imagination Technologies Group Inchcape PLC Indivior PLC Informa PLC Inland Homes PLC Inmarsat PLC Intermediate Capital Goup PLC ITE Group PLC J Sainsbury PLC JD Sports Fashion PLC John Wood Group PLC Johnson Service Group PLC Jupiter Fund Management Kainos Group PLC Ladbrokes PLC Lamprell PLC Lloyds TSB Group PLC Londonmetric Property PLC Lookers PLC Luxfer Holdings PLC - ADR Mail.ru Group Ltd - GDR Man Group PLC Marshalls PLC Marston's PLC McBride PLC Meggitt PLC MFI Furniture Group PLC Michael Page International Micro Focus International PLC Mimecast Ltd Mitie Group PLC Mondi PLC Moneysupermarket.com Group PLC Morgan Advanced Materials PLC Morgan Sindall PLC

Cost

97,024 31,600 7,603 3,859,503 68,450 1,918 231,569 225,600 17,165 209,096 6,877 9,358 159,294 24,540 22,991 83,485 11,816 317,400 2,378 44,647 230,171 14,098 30,020 208,100 58,804 10,917 1,289,500 150,747 17,508 225,700 61,147 151,731 512,105 24,498 233,328 23,442 155,724 2,888,101 2,883,059 156,097 11,077 38,470 18,176 14,313 46,063 195,992 5,570,000 34,099 126,926 5,987 89,990 60,003 214,593 1,286,900 150,306 541,307 44,959 44,469 156,814 10,419 578,700 319,836 806,647 38,626 22,524

See accompanying notes to financial statements.

West Virginia Investment Management Board E-25

Fair Value 1,642 2,770 56 4,081 880 66 887 4,736 225 444 58 321 213 300 120 156 258 7,620 86 639 1,673 189 227 589 1,263 78 12,199 1,687 96 2,587 154 1,778 1,482 233 243 251 1,283 8,162 13,275 2,213 90 40 88 52 69 495 6,794 68 275 79 2,060 93 903 3,285 307 2,844 228 175 3,625 88 2,805 4,617 3,198 119 301

1,580 2,782 52 2,853 1,072 67 1,029 3,275 212 190 41 246 214 299 21 156 247 6,808 62 579 989 192 72 587 1,938 77 8,031 967 98 2,442 159 1,274 1,719 239 186 252 1,021 5,521 8,953 2,406 102 46 89 25 69 187 4,025 68 182 72 1,638 93 682 2,317 313 2,937 231 177 3,381 104 1,919 5,964 2,922 120 198

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

NETeller PLC Novae Group PLC Old Mutual PLC Ophir Energy PLC Paragon Group Companies PLC Pedragon PLC Pennon Group PLC Persimmon plc Qinetiq PLC Rank Group PLC Redefine International PLC Redrow PLC Regus PLC ReneSola Ltd - ADR Renew Holdings PLC Rentokil Initial PLC Restaurant Group PLC Ricardo PLC Rightmove PLC Rotork PLC Royal Dutch Shell B Shares RPC Group PLC Safestore Holdings PLC Savills PLC Scapa Group SEGRO Senior PLC Shaftesbury PLC Smiths Group PLC Soco International PLC Softcat PLC Sports Direct International St Ives PLC Stagecoach Group PLC Standard Chartered PLC Trinity Mirror plc Tullett Prebon PLC Unite Group PLC Vertu Motors PLC Vesuvius PLC Weir Group PLC WH Sith PLC William Morrison Supermarkets WNS Holdings Ltd - ADR WS Atkins PLC Total United Kingdom - 8.9% United States Cognizant Tech Solutions A DHT Holdings Inc Eros International PLC Total United States - 0.2%

Cost

489,000 30,998 2,679,100 26,954 37,093 604,269 9,833 30,900 1,609,114 47,771 202,937 478,900 43,088 53,382 76,870 150,545 42,281 11,765 38,632 80,790 688,900 56,783 173,998 101,617 63,044 125,771 63,925 6,619 199,100 25,553 87,442 31,444 72,820 35,082 442,461 22,491 77,326 44,853 540,886 365,100 81,700 6,561 2,730,313 40,338 12,738

2,878 335 7,307 28 120 351 124 626 5,967 195 122 3,267 194 75 294 321 163 120 1,946 235 20,904 591 596 1,313 174 736 172 78 2,658 59 417 132 222 109 8,236 55 417 470 510 1,727 1,498 163 9,661 916 273 303,898

2,542 311 7,174 28 120 225 124 598 4,784 137 123 2,013 166 66 338 389 163 116 1,884 234 18,989 595 859 833 222 697 176 78 3,069 49 388 134 80 108 3,339 26 314 372 304 1,400 1,574 138 6,840 1,089 226 255,650

84,600 50,955 5,439

3,871 256 88 4,215

4,842 256 88 5,186

2,961,422

2,736,592

6,053 6,384 5,076 149 4,108 11,578 17,316 4,007

8,553 6,547 2,199 200 641 8,192 15,861 1,418

Total Common Stock - 95.9% Preferred Stock Brazil Alpargatas SA Banco Bradesco SA Banco do Estado do Rio Grande Bradespar SA Centrais Elect de Sata Catarin CIA Paranaense De Energia Companhia Brasileira de Distri Companhia Energetica de Minas

Fair Value

2,619,800 832,964 825,000 72,300 155,600 898,153 1,087,860 624,000

See accompanying notes to financial statements.

West Virginia Investment Management Board E-26

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Petroleo Brasileiro SA Total Brazil - 1.7%

Cost

Fair Value

1,878,200

11,253 65,924

5,522 49,133

27,112 563 953 102 12,715

469 68 89 63 204 893

413 34 65 35 191 738

116,549

8,762

9,562

Russia Surgutneftegas - 0.3%

14,268,800

9,925

8,578

South Africa Absa Bank Ltd - 0.0%

505

40

26

85,544

68,037

33,236

-

-

8,332,709

743

80

Chile Empresa Nacional de Tele - OSA - 0.0%

128,769

-

124

Malaysia Malaysia Building Society - 0.0%

564,300

90

13

833

217

30,520,254

30,520

30,520

8,543 8,329 6,505 6,878 156 9,061

8,543 8,329 6,505 6,878 156 9,061 39,472

8,543 8,329 6,505 6,878 156 9,061 39,472

12,628 1,133 40,942 2,116 7,824 2,516 8,088 3,645 1,484 4,961 1,382 7,280 1,919 13,374

12,628 1,133 40,942 2,116 7,824 2,516 8,088 3,645 1,484 4,961 1,382 7,280 1,919 13,374

12,628 1,133 40,942 2,116 7,824 2,516 8,088 3,645 1,484 4,961 1,382 7,280 1,919 13,374

Germany Biotest AG Draegerwerk AG Hornbach Holding AG & Co KGaA KSB AG Villeroy & Boch AG Total Germany - 0.0% Korea Hyundai Motor Company - 0.3%

Total Preferred Stock - 2.3% Rights Australia Vocus Communications Ltd - 0.0% Bermuda BW Offshore Ltd - 0.0%

Total Rights - 0.0% Money Market Mutual Fund Dreyfus Cash Management Institutional Fund - 1.1% Investments made with Cash Collateral for Securities Loaned Money Market Mutual Funds Blackrock Cash Funds: Prime - Institutional Shares Federated Money Market Management - Institutional Shares Fidelity Institutional Money Market Prime Money Market Portfolio Invesco Government Liquidity Funds Assets Portfolio Morgan Stanley Institutional Liquidity Funds Government Portfolio Morgan Stanley Institutional Liquidity Funds Prime Portfolio Total Money Market Mutual Funds - 1.4% Repurchase Agreements Barclays Bank PLC, 0.38% Due 7/1/2016 BNP Paribas Securities Corp, 0.38% Due 7/1/2016 Cantor Fitzgerald Securities Inc, 0.47% Due 7/1/2016 Citigroup Global Markets Inc, 0.46% Due 7/1/2016 Citigroup Global Markets Inc, 0.39% Due 7/6/2016 Deutsche Bank Securities Inc, 0.45% Due 7/1/2016 Deutsche Bank Securities Inc, 0.7% Due 7/5/2016 ING Bank NV, 0.55% Due 7/1/2016 Mizuho Securities USA Inc, 0.38% Due 7/1/2016 Mizuho Securities USA Inc, 0.4% Due 7/1/2016 Morgan, Stanley & Co. LLC, 0.56% Due 8/2/2016 Morgan, Stanley & Co. LLC, 0.68% Due 9/29/2016 Morgan, Stanley & Co. LLC, 0.73% Due 10/3/2016 Societe Generale, 0.4% Due 7/1/2016

See accompanying notes to financial statements.

West Virginia Investment Management Board E-27

International Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares or Par Value

Societe Generale, 0.51% Due 8/4/2016 Total Repurchase Agreements - 3.9% Time Deposits BNP Paribas, 0.28% Due 7/1/2016 Credit Agricole CIB, 0.31% Due 7/1/2016 HSBC Bank PLC, 0.35% Due 7/1/2016 Nordea Bank Finland PLC, 0.28% Due 7/1/2016 Svenska Handelsbanken AB, 0.3% Due 7/1/2016 Total Time Deposits - 1.3%

Cost

3,088

3,088 112,380

3,088 112,380

8,082 7,274 7,435 8,037 6,888

8,082 7,274 7,435 8,037 6,888 37,716

8,082 7,274 7,435 8,037 6,888 37,716

189,568

189,568

Total Investments made with Cash collateral for Securities Loaned - 5.2% Total Investments - 105.9%

Fair Value

$

See accompanying notes to financial statements.

West Virginia Investment Management Board E-28

3,267,887

$

3,024,934

International Equity Pool Statement of Operations Year Ended June 30, 2016 (Amounts in thousands)

Investment income Dividends, net of foreign withholding taxes ($5,663) Net securities lending income

$

Total investment income

88,900 2,605 91,505

Expenses Investment advisor fees Trustee fees Custodian bank fees Management fees Fiduciary bond fees Professional service fees

(16,070) (8) (1,371) (724) (4) (142) Total expenses

(18,319)

Investment income, net

73,186

Realized and unrealized gain (loss) from investments and foreign currency Net realized loss from: Investments, net of foreign capital gains taxes ($96) Foreign currency transactions

(33,922) (69,879) (103,801)

Net change in unrealized appreciation (depreciation) on: Investments, net of change in accrued foreign capital gains taxes ($128) Translation of assets and liabilities in foreign currencies

(252,092) 48,875 (203,217)

Net loss from investments and foreign currency Net decrease in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board E-29

(307,018) $

(233,832)

International Equity Pool Statement of Changes in Net Assets Year Ended June 30, 2016 (Amounts in thousands, except unit data)

Operations Investment income, net Net realized loss from investments and foreign currency transactions Net change in unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies

$

73,186 (103,801) (203,217)

Net decrease in net assets from operations

(233,832)

Unit transactions Proceeds from sale of units Amount paid for repurchase of units

455,899 (124,353) Net increase in net assets from unit transactions

331,546

Increase in net assets

97,714

Net assets, beginning of year

2,758,832

Net assets, end of year

$

2,856,546

Unit data Units sold Units repurchased

19,759,219 (5,172,819) Net increase in units

See accompanying notes to financial statements.

West Virginia Investment Management Board E-30

14,586,400

International Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The accompanying financial statements reflect only the investments and investment related operations of the IMB’s International Equity Pool (Pool). They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP

State and Local GAAP

Not required Required Required Not required Required

Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. This Pool invests in the equities of international companies. Assets are managed by Acadian Asset Management, LLC (Acadian), Axiom International Investors, LLC (Axiom), Brandes Investment Partners, L.P. (Brandes), LSV Asset Management (LSV), and Oberweis Asset Management, Inc (Oberweis). The objective of the Pool is to exceed, net of external investment management fees, Morgan Stanley Capital International’s All Country World Free Ex US Index over three- to five-year periods. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The IMB reports its investments at fair value in accordance with the FASB’s ASC Topic 820 (ASC 820). Refer to Note 4 for further discussion and presentation of the reporting requirements under ASC 820.

West Virginia Investment Management Board E-31

International Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Fair value of the Pool’s portfolio securities is determined as follows: • • • •

•

Equity securities are valued at the last sale price or official closing price reported in the market in which they are primarily traded. Open-end regulated investment companies or other commingled investment funds are valued at the net asset value of the fund as reported by the fund’s administrator. Equity securities that trade in non-U.S. markets are valued in U.S. dollars using period end spot market exchange rates as supplied by the Pool’s custodian. Fixed income securities are valued according to prices furnished by independent pricing services to the Pool’s custodian. These services determine the security prices by a number of methods including, but not limited to, dealer quotes, live market trading levels when available, live feeds of trade execution data, spreads over U.S. Treasury securities, and other models and formulae appropriate to the specific security type. Repurchase agreements and time deposits are valued at amortized cost, provided such amount approximates fair value.

Investments for which the fair value cannot be determined by one of the above listed processes are valued at fair value as determined in accordance with the IMB’s established procedures. Foreign Currency - Amounts denominated in or expected to settle in foreign currencies are translated into U.S. dollars at exchange rates reported by the Pool’s custodian, Bank of New York Mellon, on the following basis: • •

Market value of investment securities, other assets and liabilities - at the closing rate of exchange at the valuation date. Purchases and sales of investment securities, income and expenses - at the rate of exchange prevailing on the respective dates of such transactions.

The IMB isolates that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from market prices of securities held. Reported net realized foreign exchange gains and losses arise from sales of portfolio securities, sales and maturities of shortterm securities, sales of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities including investments in securities at month end, resulting from changes in the exchange rate. Repurchase Agreements - In connection with transactions in repurchase agreements, it is the IMB's policy that its designated custodian or mutual third party take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the IMB may be delayed or limited. Security Loans - The IMB, through its lending agent, the Bank of New York Mellon, loans securities to various brokers on a temporary basis. Each transaction for international securities is secured by collateral based on the market value of the securities loaned. The required collateral percentage varies based on the type of collateral received. The required percentage for cash collateral and non-cash collateral consisting of debt obligations and securities issued by the United States Government or its agencies or instrumentalities is 105 percent unless the foreign securities loaned are denominated and payable in U.S. Dollars, then the collateral shall be at least 102 percent of the market value of the securities loaned. The required percentage of non-cash collateral consisting of equity securities is at least 107 percent of the market value of the securities loaned. Cash collateral received is invested in repurchase agreements, money market mutual funds, and time deposits. Such investments, except for repurchase transactions, are made at the risk of the Pool and, as such, the Pool is liable for investment losses. The lending agent contractually indemnifies the IMB for any repurchase agreement investment

West Virginia Investment Management Board E-32

International Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) losses. Investments made with cash are reported at fair value on the Statement of Assets and Liabilities. Securities loaned remain on the Statement of Assets and Liabilities and Schedule of Investments. The IMB receives compensation in the form of loan premium fees and income from the investment of the cash collateral. Expenses related to the lending of securities are rebates paid by the lending agent to brokers and the lending agent’s fees for its services. The income earned by the IMB is reported in the Statement of Operations as net securities lending income. The IMB also continues to receive dividends on the securities loaned. Gains or losses in the fair value of the securities loaned that may occur during the term of the loans are reflected in the Statement of Operations as a change in unrealized appreciation or depreciation on investments. Foreign Currency Contracts - A foreign currency contract is an agreement between two parties to exchange different currencies at a specified exchange rate at an agreed upon future date. The managers, as listed in Note 1, enter into such contracts to correspond to investment transactions trading in foreign currencies. Risks associated with such contracts include movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. These contracts have relatively short durations and are valued at the prevailing market exchange rates at month end. An unrealized gain or loss is recorded as the difference between the amount valued at month end and the amount to be received or paid at the settlement date. The unrealized gain or loss is reclassified to realized gain or loss when the contract settles. Investment Transactions - Investment transactions are accounted for on a trade date basis. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. 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. Interest Income - Interest income is recognized as earned on the accrual method. Dividend Income - Dividend income is recognized on the ex-dividend date. Distributions to Participants - The Pool does not routinely distribute dividends of net investment income or net realized gains. Expenses - The IMB's Trustees adopt an annual budget and fee schedule for services to be provided to all of the investment pools under its management. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. These other expenses are allocated to the individual pools based on asset size. The IMB pays all expenses on behalf of the Pool. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for U.S. federal or state income taxes is required as of June 30, 2016. In certain foreign countries the Pool’s dividend income and capital gains may be taxable. Taxes on dividend income are generally withheld from the payments and as a result there is no provision recorded for these taxes. In certain cases there may be a full or partial reclaim available for the withheld taxes. Capital gains taxes, if any, on sales of securities may be assessed and paid concurrent with the sale or upon the filing of a return with the taxing authority. In countries where the IMB is liable for capital gains taxes, the IMB will estimate and accrue a capital gains tax liability for unrealized gains on securities held in such countries. The outstanding reclaims and accrued capital gains taxes are reported on the Statement of Assets and Liabilities. Dividend income is reported net of withheld taxes on the Statement of Operations. Net realized gain (loss) from investments and net change in unrealized appreciation (depreciation) on investments are reported net of capital gains taxes on the Statement of Operations.

West Virginia Investment Management Board E-33

International Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Indemnifications - In the normal course of business, the IMB has entered into contracts that provide a variety of indemnifications. Any exposure to the Pool under these arrangements would involve future claims that may be made against the IMB. The Pool’s maximum exposure under these arrangements is unknown. No such claims have occurred, nor are they expected to occur therefore the IMB expects the risk of loss to be remote. NOTE 3. INVESTMENT RISK DISCLOSURES Credit Risk The Pool is exposed to credit risk from investments made with cash collateral for securities loaned. This risk is limited by requiring minimum ratings on debt instruments. Long-term debt instruments must be rated A or better by Moody’s or Standard & Poor’s at the time of purchase. Short-term debt instruments must be rated P-1 by Moody’s or A-1 by Standard & Poor’s at the time of purchase.

Investment Type Foreign corporate bonds Foreign government bonds Money market mutual funds Time deposits U.S. corporate bonds U.S. Government agency bonds U.S. Government agency MBS U.S. Treasury bonds Total rated investments Common stock Preferred stock Rights Total investments

Moody’s A Aa Aaa P-1 A Aaa Aaa Aaa

S&P A A AAA A-1 A AA AA AA

$

$

Fair Value 1,127 4 69,992 37,717 4,376 1,192 39,216 11,478 165,102 2,797,848 68,037 217 3,031,204

Percent of Total Investments 0.0% 0.0 2.4 1.2 0.1 0.0 1.3 0.4 5.4 92.4 2.2 0.0 100.0%

This table includes investments received as collateral for repurchase agreements with a fair value of $118,650 as compared to the amortized cost of the repurchase agreements of $112,380. Concentration of Credit Risk The Pool is restricted from investing more than 5 percent of the value of the Pool in any one company. At June 30, 2016, the Pool was in compliance with this restriction and is not exposed to concentration of credit risk. Custodial Credit Risk At June 30, 2016, the Pool held no securities that were subject to custodial credit risk. Repurchase agreements, when held, are collateralized to a minimum of 102 percent and the collateral is held in the name of the IMB. All remaining securities are held by the IMB’s custodian in the name of the IMB. Interest Rate Risk The Pool is exposed to interest rate risk from certain investments made with cash collateral for securities loaned. The weighted average maturity for investments made with cash collateral for securities loaned is not to exceed 90 days. The following table provides the weighted average maturities (WAM) for applicable investments made with cash collateral for securities loaned as of June 30, 2016.

West Virginia Investment Management Board E-34

International Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 3. INVESTMENT RISK DISCLOSURES (continued) Investment Type Repurchase agreements Time deposits

Fair Value 112,380 37,716 150,096

$ Total

$

WAM (days) 2 1 1

Foreign Currency Risk The Pool has both equity securities and cash that are denominated in foreign currencies and are exposed to foreign currency risks. The amounts at fair value (in U.S. dollars) of investments and cash denominated in foreign currencies as of June 30, 2016 are as follows:

Currency Australian Dollar Brazil Real British Pound Canadian Dollar Chilean Peso Czech Koruna Danish Krone Egyptian Pound Emirati Dirham Euro Currency Unit Hong Kong Dollar Hungarian Forint Indian Rupee Indonesian Rupiah Israeli Shekel Japanese Yen Malaysian Ringgit Mexican Peso New Taiwan Dollar New Zealand Dollar Norwegian Krone Pakistan Rupee Philippine Peso Polish Zloty Qatari Riyal Singapore Dollar South African Rand South Korean Won Swedish Krona Swiss Franc Thailand Baht Turkish Lira Total

$

$

Investments 70,519 134,558 251,332 114,574 12,200 8,630 21,390 1,631 5,631 423,512 277,680 8,991 64,154 28,164 16,429 381,024 24,344 44,979 63,355 7,782 20,899 5,150 10,085 5,239 407 13,817 38,313 188,612 52,296 95,697 47,149 55,220 2,493,763

Cash $

$

1,384 1,156 2,256 211 685 368 1,390 (20) 5 504 776 135 697 132 49 2,588 207 383 1,166 3 28 1 16 105 94 1,479 1 1 507 16,307

Total $

$

71,903 135,714 253,588 114,785 12,885 8,998 22,780 1,611 5,636 424,016 278,456 9,126 64,851 28,296 16,478 383,612 24,551 45,362 64,521 7,785 20,927 5,150 10,086 5,239 423 13,922 38,407 190,091 52,297 95,697 47,150 55,727 2,510,070

Percent of Total Investments and Cash 2.4% 4.5 8.3 3.8 0.4 0.3 0.7 0.1 0.2 13.8 9.2 0.3 2.1 0.9 0.5 12.6 0.8 1.5 2.1 0.3 0.7 0.2 0.3 0.2 0.0 0.5 1.3 6.3 1.7 3.1 1.6 1.8 82.5%

This table excludes investments held by the Pool that are denominated in U.S. dollars. The market value of the U.S. dollar denominated investments is $531,171 or 17.5 percent.

West Virginia Investment Management Board E-35

International Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 4. FAIR VALUE MEASUREMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Fair value of an investment is the amount 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 (i.e., the exit price). ASC 820 established a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical financial instruments (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are: Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 2 Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not considered active; observable inputs other than observable quoted prices for the asset or liability; or inputs derived principally from or corroborated by observable market data. Level 3 Unobservable pricing inputs for assets and liabilities. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The table below summarizes the valuation of the investment securities in accordance with ASC 820 fair value hierarchy levels as of June 30, 2016: Assets Common stock Foreign currency contracts Investments made with cash collateral for securities loaned Preferred stock Rights Money market mutual fund Total Liabilities Foreign currency contracts

Level 1 $ 2,736,592 -

$

39,472 68,037 217 30,520 2,874,838

Level 2 $

-

68

$

$

150,096 150,164

$

Level 1 $

Level 3 -

$

Level 2 (63)

-

$

-

$

Level 3 $

NOTE 5. SECURITIES LENDING The following table presents the amounts of various accounts related to securities lending at June 30, 2016.

Collateral received: Cash Non-cash Total collateral received

$

$ $

Fair Value 343,560

189,568 184,110 373,678

West Virginia Investment Management Board E-36

189,568 68,037 217 30,520 3,025,002 Total

There were no transfers in or out of Levels 1 and 2 during the year ended June 30, 2016.

Securities on loan

$

Total 2,736,592 68

(63)

International Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 5. SECURITIES LENDING (continued) The Bank of New York Mellon (BNYM), as agent for the IMB, loans the IMB’s securities to various counterparties. These transactions are executed under Master Securities Lending Agreements (MSLA) which permit BNYM under certain circumstances, such as defaults, to offset amounts payable to the same counterparty against amounts to be received and thus create one single net payment due to or from the counterparty. The amounts listed in the above table represent all securities loaned which are subject to a MSLA on a net payment basis. The IMB has elected not to offset the fair value of the securities on loan against the liability for the return of the collateral on the Statement of Assets and Liabilities. NOTE 6. FOREIGN CURRENCY CONTRACTS At June 30, 2016, open foreign currency contracts are as follows:

Position Long Long Long Long Long Long Long Long Long Long Long Long Long Long Long Long Long Long Long Long Long Long Long Short Short Short Short Short Short Short Short Short Short Short Short Short Short Short

Foreign Currency

T rade Date

Settlement Date

British Pound Vs. Japanese Yen Danish Krone Danish Krone Vs. Australian Dollar Egyptian Pound Euro Currency Unit Euro Currency Unit Euro Currency Unit Euro Currency Unit Vs. Australian Dollar Euro Currency Unit Vs. British Pound Euro Currency Unit Vs. Japanese Yen Hong Kong Dollar Vs. British Pound Hong Kong Dollar Vs. British Pound Indian Rupee Israeli Shekel Vs. Australian Dollar Japanese Yen Japanese Yen Vs. Australian Dollar Norwegian Krone Vs. Australian Dollar South African Rand South African Rand South Korean Won Swiss Franc Vs. Hong Kong Dollar T hailand Baht T hailand Baht Australian Dollar Canadian Dollar Chilean Peso Chilean Peso Danish Krone Euro Currency Unit Hong Kong Dollar Indian Rupee Indian Rupee Indian Rupee Indonesian Rupiah Indonesian Rupiah Indonesian Rupiah Japanese Yen Malaysian Ringgit

6/30/2016 6/29/2016 6/30/2016 5/26/2016 6/30/2016 6/30/2016 6/30/2016 6/30/2016 6/29/2016 6/30/2016 6/29/2016 6/30/2016 6/30/2016 6/30/2016 6/28/2016 6/30/2016 6/30/2016 6/24/2016 6/27/2016 6/29/2016 6/30/2016 6/30/2016 6/30/2016 6/29/2016 6/29/2016 6/29/2016 6/30/2016 6/29/2016 6/29/2016 6/30/2016 6/28/2016 6/29/2016 6/30/2016 6/29/2016 6/30/2016 6/30/2016 6/30/2016 6/28/2016

7/6/2016 7/1/2016 7/4/2016 7/12/2016 7/6/2016 7/1/2016 7/1/2016 7/6/2016 7/1/2016 7/6/2016 7/4/2016 7/4/2016 7/1/2016 7/4/2016 7/1/2016 7/6/2016 7/4/2016 7/1/2016 7/1/2016 7/1/2016 7/6/2016 7/6/2016 7/6/2016 7/1/2016 7/5/2016 7/1/2016 7/5/2016 7/1/2016 7/1/2016 7/5/2016 7/1/2016 7/5/2016 7/5/2016 7/11/2016 7/1/2016 7/12/2016 7/5/2016 7/1/2016

Receivable (in foreign (in U. S. currency) dollars) 5,018 118 844 180 1,263 859 296 12 13 3,052 243 300 27,374 876 23,254 906 3,050 1,392 10,959 1,169,889 429 139,928 65,304

$

6,709 18 126 20 1,404 954 329 13 15 3,390 31 39 406 227 227 9 364 95 748 1,016 440 3,982 1,858 378 471 456 824 2,059 144 38 15 18 18 862 72 1,114 413 12

West Virginia Investment Management Board E-37

Payable (in foreign (in U. S. currency) dollars) 689,140 169

18 11 349,932 23 29 305 12 489

3,406

509 611 301,513 546,803 13,785 129 293 1,010 1,215 1,211 11,309,509 953,734 14,661,953 42,578 49

$

6,717 18 126 20 1,401 951 327 13 15 3,411 31 39 407 227 226 9 364 92 710 1,013 439 3,995 1,864 379 471 455 826 2,058 144 38 15 18 18 856 72 1,110 415 12

Unrealized Appreciation (Depreciation) $

(8) 3 3 2 (21) (1) 1 3 38 3 1 (13) (6) (1) 1 (2) 1 6 4 (2) (Continued)

International Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 6. FOREIGN CURRENCY CONTRACTS (continued)

Position Short Short Short Short Short Short

Foreign Currency Malaysian Ringgit Malaysian Ringgit South Korean Won South Korean Won T hailand Baht T hailand Baht

T rade Date 6/29/2016 6/30/2016 6/29/2016 6/30/2016 6/30/2016 6/30/2016

Settlement Date 7/5/2016 7/5/2016 7/1/2016 7/5/2016 7/6/2016 7/6/2016

Receivable (in foreign (in U. S. currency) dollars) 44 54 2,839 19 129 343 $ 32,742

Payable (in foreign (in U. S. currency) dollars) 176 216 3,280,116 21,696 4,518 12,031

44 53 2,848 19 129 342 $ 32,737

Unrealized Appreciation (Depreciation)

$

1 (9) 1 5

NOTE 7. INVESTMENT ADVISORY FEES The IMB has approved investment advisory agreements with Acadian, Axiom, Brandes, LSV, and Oberweis to manage the investments of the Pool. These agreements provide for quarterly payments, based on average end of month assets under management, to the investment advisors. The IMB makes these payments and the Pool transfers funds to the IMB to facilitate the payments. The fees paid to Acadian are based on a descending scale of fee rates ranging from 0.70 percent annually on the first $100 million of assets under management and 0.50 percent annually for assets greater than $100 million. The effective fee rate earned by Acadian for the year ended June 30, 2016, was 0.57 percent. The fees paid to Axiom are based on a descending scale of fee rates ranging from 1.0 percent annually on the first $25 million of assets under management to 0.70 percent annually on assets between $125 million and $175 million. For assets greater than $175 million the fee rate is 0.60 percent annually. The effective fee rate earned by Axiom for the year ended June 30, 2016, was 0.73 percent. The fees paid to Brandes are based on a descending scale of fee rates ranging from 0.95 percent annually on the first $25 million of assets under management to 0.80 percent annually on assets between $50 million and $150 million. For assets greater than $150 million the fee rate is 0.70 percent annually. The effective fee rate earned by Brandes for the year ended June 30, 2016, was 0.74 percent. The fees paid to LSV are based on a descending scale of fee rates ranging from 0.75 percent annually on the first $25 million of assets under management to 0.55 percent annually on assets between $50 million and $100 million. For assets greater than $100 million the fee rate is 0.45 percent annually. The effective fee rate earned by LSV for the year ended June 30, 2016, was 0.46 percent. The fees paid to Oberweis are based on a descending scale of fee rates ranging from 1.0 percent annually on the first $50 million of assets under management to 0.90 percent annually on assets between $50 million and $100 million. For assets greater than $100 million the fee rate is 0.80 percent annually. The effective fee rate earned by Oberweis for the year ended June 30, 2016, was 0.88 percent.

West Virginia Investment Management Board E-38

International Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 8. FINANCIAL HIGHLIGHTS Per Unit Operating Performance (a): Net asset value at June 30, 2015 Income from investment operations: Net investment income Net realized and unrealized loss on investment and foreign currency transactions Total from investment operations Net asset value at June 30, 2016

$

25.76

$

0.63 (2.91) (2.28) 23.48 -8.9%

Total Return (b) Supplemental Data: Ratio to average net assets (c): Expenses Net investment income Portfolio turnover rate

0.67% 2.70% 36.63%

(a) Calculation based on the average shares outstanding (b) Return data is net of fees for the full fiscal year (c) All ratios are for the fiscal year NOTE 9. SCHEDULE OF PARTICIPATION The following schedule provides the value of participants’ accounts in the Pool at June 30, 2016. Participant Teachers' Retirement System Public Employees' Retirement System Workers' Compensation Old Fund West Virginia Retiree Health Benefit Trust Fund State Police Death, Disability and Retirement Fund Revenue Shortfall Reserve Fund - Part B Deputy Sheriff's Retirement System Judges' Retirement System Coal Workers' Pneumoconiosis Fund State Police Retirement System West Virginia Department of Environmental Protection Agency Public Employees Insurance Agency Board of Risk and Insurance Management Emergency Medical Services Retirement System Wildlife Endowment Fund West Virginia Prepaid Tuition Trust Fund Workers' Compensation Self-Insured Employer Security Risk Pool Workers' Compensation Self-Insured Employer Guaranty Risk Pool West Virginia Department of Environmental Protection Trust Workers' Compensation Uninsured Employers' Fund Berkeley County Development Authority Municipal Police Officers' and Firefighters' Retirement System Municipal Policemen’s or Firemen’s Pension and Relief Funds Total

West Virginia Investment Management Board E-39

Account Value 1,181,323 $ 1,034,365 154,844 118,113 105,304 46,318 31,668 30,934 27,440 25,322 20,247 18,240 15,055 10,797 10,589 8,990 7,818 4,284 1,814 1,142 1,140 551 248 $ 2,856,546

International Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 10. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through September 9, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board E-40

June 30, 2016

F

SHORT-TERM FIXED INCOME POOL

AUDITED FINANCIAL STATEMENTS

Short-Term Fixed Income Pool Audited Financial Statements June 30, 2016 Table of Contents

Independent Auditors’ Report

Statement of Assets and Liabilities

F-1

Schedule of Investments

F-2

Statement of Operations

F-3

Statement of Changes in Net Assets

F-4

Notes to Financial Statements

F-5

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board ShortTerm Fixed Income Pool, which comprise the statement of assets and liabilities, including the schedule of investments, as of June 30, 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board Short-Term Fixed Income Pool at June 30, 2016, and the results of its operations and changes in its net assets for the year then ended, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

September 9, 2016

A member firm of Ernst & Young Global Limited

Short-Term Fixed Income Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands, except unit data)

Assets Investments at fair value (cost $353,163) Dividends receivable

$

Total assets

353,163 1 353,164

Liabilities Cash overdraft Accrued expenses

82,160 39 Total liabilities Net assets

82,199 $

270,965

$

270,879,301 1.00

Unit data Units outstanding Net asset value, unit price

See accompanying notes to financial statements.

West Virginia Investment Management Board F-1

Short-Term Fixed Income Pool Schedule of Investments June 30, 2016 (Amounts in thousands, except share data)

Description

Par Value or Shares

U. S. Treasury Bond United States Treasury, Zero Coupon, Due 7/28/2016 - 27.6%

74,798

U. S. Government Agency Bonds Federal Home Loan Bank, Zero Coupon, Due 7/19/2016 Federal Home Loan Bank, Zero Coupon, Due 7/21/2016 Federal Home Loan Bank, Zero Coupon, Due 7/26/2016 Federal Home Loan Bank, Zero Coupon, Due 7/27/2016 Federal Home Loan Bank, Zero Coupon, Due 8/16/2016 Federal Home Loan Bank, Zero Coupon, Due 8/18/2016 Federal Home Loan Bank, Zero Coupon, Due 8/19/2016 Federal Home Loan Bank, Zero Coupon, Due 8/22/2016 Federal Home Loan Bank, Zero Coupon, Due 8/23/2016 Federal Home Loan Bank, Zero Coupon, Due 8/24/2016 Federal Home Loan Bank, Zero Coupon, Due 8/30/2016 Federal Home Loan Bank, Zero Coupon, Due 9/7/2016 Federal Home Loan Bank, Zero Coupon, Due 9/14/2016 Federal Home Loan Bank, Zero Coupon, Due 12/14/2016 Federal Home Loan Mort Corp, Zero Coupon, Due 10/3/2016

1,907 2,644 15,500 14,000 10,000 10,000 15,000 10,000 10,000 3,073 6,589 15,840 5,000 6,000 5,000

Cost $

Liquidating Trust Residential Capital LLC - 0.0%

130,482

2,999 1,999 3,000 3,000 2,999 4,249 2,998 3,000 2,999 4,499 5,999 2,999 2,999 2,995 3,000 3,000

2,999 1,999 3,000 3,000 2,999 4,249 2,998 3,000 2,999 4,499 5,999 2,999 2,999 2,995 3,000 3,000

52,734

52,734

13,000

13,000

13,000

82,160,724

82,161

82,161

54

Total Investments - 130.3%

74,786

130,482

Total Commercial Paper - 19.4%

Money Market Mutual Fund Dreyfus Cash Management Institutional Fund - 30.3%

$

1,907 2,644 15,497 13,996 9,995 9,997 14,993 9,996 9,996 3,071 6,586 15,828 4,996 5,986 4,994

3,000 2,000 3,000 3,000 3,000 4,250 3,000 3,000 3,000 4,500 6,000 3,000 3,000 3,000 3,000 3,000

Repurchase Agreement Repurchase Agreement, 0.42% Due 7/1/2016 - 4.8%

74,786 1,907 2,644 15,497 13,996 9,995 9,997 14,993 9,996 9,996 3,071 6,586 15,828 4,996 5,986 4,994

Total U. S. Government Agency Bonds - 48.2% Commercial Paper Abbott Laboratories, Due 7/15/2016 Atlantic Asset Securitization, Due 7/20/2016 Exxon Mobil Corp, Due 7/6/2016 Gotham Funding Corporation, Due 7/13/2016 Gotham Funding Corporation, Due 8/3/2016 Intercontinental Exchange Group, Due 7/14/2016 Macquarie Bank, Due 8/4/2016 Manhattan Asset Funding Co LLC, Due 7/1/2016 Manhattan Asset Funding Co LLC, Due 7/28/2016 Metlife Funding Inc, Due 7/19/2016 National Rural Utilities Co-op, Due 7/11/2016 Nieuw Amsterdam Receivables, Due 8/1/2016 Pfizer Inc, Due 8/1/2016 Toyota Motor Credit Corp, Due 10/4/2016 Wal-Mart Stores Inc, Due 7/5/2016 Working Capital Management Co, Due 7/6/2016

Fair Value

$

See accompanying notes to financial statements.

West Virginia Investment Management Board F-2

353,163

$

353,163

Short-Term Fixed Income Pool Statement of Operations Year Ended June 30, 2016 (Amounts in thousands)

Investment income Interest Securities lending income Dividends

$

Total investment income

439 3 1 443

Expenses Investment advisor fees Trustee fee Custodian bank fees Management fees Professional service fees

(91) (1) (11) (50) (11) Total expenses

(164)

Investment income, net

279

Net realized gain from investments

15

Net increase in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board F-3

$

294

Short-Term Fixed Income Pool Statement of Changes in Net Assets Year Ended June 30, 2016 (Amounts in thousands, except unit data)

Operations Investment income, net Net realized gain from investments

$

Net increase in net assets from operations

279 15 294

Distributions to unitholders Investment income, net

(279)

Unit transactions Proceeds from sale of units Reinvestment of distributions Amount paid for repurchase of units

1,604,019 279 (1,603,064) Net increase in net assets from unit transactions

1,234

Increase in net assets

1,249

Net assets, beginning of year

269,716

Net assets, end of year

$

270,965

Unit data Units sold Units issued from reinvestment of distributions Units repurchased

1,604,019,075 279,307 (1,603,064,597) Net increase in units

See accompanying notes to financial statements.

West Virginia Investment Management Board F-4

1,233,785

Short-Term Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The accompanying financial statements reflect only the investments and investment related operations of the IMB’s ShortTerm Fixed Income Pool (Pool). They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP

State and Local GAAP

Not required Required Required Not required Required

Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. The main objective of the Pool is to maintain sufficient liquidity to fund withdrawals by the participant plans and to invest cash contributions until such time as the money can be transferred to other asset classes without sustaining capital losses. JP Morgan Investment Advisors, Inc. (JPM) manages the Pool. The Pool’s investment objective, net of external investment management fees, is to meet or exceed the Citigroup ninety-day T-bill Index plus fifteen basis points. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The IMB reports its investments at fair value in accordance with the FASB’s ASC Topic 820 (ASC 820). Refer to Note 4 for further discussion and presentation of the reporting requirements under ASC 820.

West Virginia Investment Management Board F-5

Short-Term Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Fair value of the Pool’s portfolio securities is determined as follows: •

All securities are valued at amortized cost provided such amount approximates fair value. The basic premise underlying the use of the amortized cost method of valuation is that high-quality, short-term debt securities held until maturity will eventually return to their amortized cost value, regardless of any current disparity between the amortized cost value and market value, and would not ordinarily be expected to fluctuate significantly in value. The Pool values its securities at amortized cost so long as the deviation between the amortized cost and current market value remains minimal and results in the computation of a share price that represents fairly the current net asset value per share of the fund.

Repurchase Agreements - In connection with transactions in repurchase agreements, it is the IMB's policy that its designated custodian or mutual third party take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the IMB may be delayed or limited. Investment Transactions - Investment transactions are accounted for on a trade date basis. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. 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. Interest Income - Interest income is recognized as earned on the accrual method. 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. Dividend Income - Dividend income is recognized on the ex-dividend date. Distributions to Participants - The net investment income of the Pool is declared as a dividend and distributed daily to the participants based upon their pro rata participation in the Pool. The distributions of net investment income are credited to the participants’ accounts in the form of dividend reinvestments in the Pool and are presented first as distributions to participants, and then as reinvestment of distributions on the Statement of Changes in Net Assets. The Pool does not routinely distribute dividends of net realized gains. Expenses - The IMB's Trustees adopt an annual budget and fee schedule for services to be provided to all of the investment pools under its management. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. These other expenses are allocated to the individual pools based on asset size. The IMB pays all expenses on behalf of the Pool. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for income taxes is required as of June 30, 2016. Indemnifications - In the normal course of business, the IMB has entered into contracts that provide a variety of indemnifications. Any exposure to the Pool under these arrangements would involve future claims that may be made against the IMB. The Pool’s maximum exposure under these arrangements is unknown. No such claims have occurred, nor are they expected to occur therefore the IMB expects the risk of loss to be remote.

West Virginia Investment Management Board F-6

Short-Term Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 3. INVESTMENT RISK DISCLOSURES Credit Risk The IMB limits the exposure to credit risk in the Pool by requiring all corporate bonds to be rated AA or higher. Commercial paper must be rated A-1 by Standard & Poor’s and P-1 by Moody’s. Additionally, the Pool must have at least 15 percent of its assets in United States Treasury issues. The following table provides information on the weighted average credit ratings of the Pool’s investments as of June 30, 2016. Carrying Value Investment Type Commercial paper Money market mutual fund U.S. Government agency bonds U.S. Treasury bonds Total investments

Moody’s P-1 Aaa P-1 Aaa

S&P A-1 AAA A-1 AA

$

$

52,734 82,161 130,482 88,046 353,423

Percent of Total Investments 14.9% 23.2 37.0 24.9 100.0%

This table includes U.S. Treasury notes received as collateral for a repurchase agreement with a fair value of $13,260 as compared to the amortized cost of the repurchase agreement of $13,000. Concentration of Credit Risk The Pool is restricted from investing more than 5 percent of the value of the Pool in any one corporate name. At June 30, 2016, the Pool was in compliance with this restriction and is not exposed to concentration of credit risk. Custodial Credit Risk At June 30, 2016, the Pool held no investments that were subject to custodial credit risk. Repurchase agreements are collateralized at 102 percent and the collateral is held in the name of the IMB. All remaining investments are held by the IMB’s custodian in the name of the IMB. Interest Rate Risk The weighted average maturity of the investments of the Pool is not to exceed 60 days. The maturity of floating rate notes is assumed to be the next interest rate reset date. The following table provides the weighted average maturities (WAM) for the applicable asset types in the Pool as of June 30, 2016. Investment Type Commercial paper Money market mutual fund Repurchase agreement U.S. Government agency bonds U.S. Treasury bond Total applicable investments

$

$

Carrying Value 52,734 82,161 13,000 130,482 74,786 353,163

Foreign Currency Risk The Pool has no investments that are subject to foreign currency risk.

West Virginia Investment Management Board F-7

WAM (days) 22 N/A 1 55 28 39

Short-Term Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 4. FAIR VALUE MEASUREMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Fair value of an investment is the amount 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 (i.e., the exit price). ASC 820 established a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical financial instruments (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are: Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 2 Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not considered active; observable inputs other than observable quoted prices for the asset or liability; or inputs derived principally from or corroborated by observable market data. Level 3 Unobservable pricing inputs for assets and liabilities. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The table below summarizes the valuation of the investments in accordance with ASC 820 fair value hierarchy levels as of June 30, 2016: Assets Commercial paper Money market mutual fund Repurchase agreement U.S. Government agency bonds U.S. Treasury bonds Total

Level 1 $

$

82,161 82,161

$

$

Level 2 52,734 13,000 130,482 74,786 271,002

Level 3 $

$

-

$

$

Total 52,734 82,161 13,000 130,482 74,786 353,163

There were no transfers in or out of Levels 1 and 2 during the year ended June 30, 2016. NOTE 5. INVESTMENT ADVISORY FEES The IMB has approved an investment advisory agreement with JPM to manage the investments of the Pool. This agreement provides for quarterly payments, based on average daily assets under management, to the investment advisor. The IMB makes these payments and the Pool transfers funds to the IMB to facilitate the payments. The fees paid to JPM are based on a two-tier scale of fee rates that are 0.05 percent annually on the first $300 million of assets under management and 0.04 percent annually for assets greater than $300 million. The effective fee rate earned by JPM for the year ended June 30, 2016, was 0.05 percent.

West Virginia Investment Management Board F-8

Short-Term Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 6. FINANCIAL HIGHLIGHTS Per Unit Operating Performance (a): Net asset value at June 30, 2015 Income from investment operations: Net investment income (b) Net realized gain (loss) on investment transactions (b) Total from investment operations Less distributions from net investment income (b) Net asset value at June 30, 2016

1.00

$

1.00 0.2%

Total Return (c) Supplemental Data: Ratio to average net assets (d): Expenses Net investment income Weighted average days to maturity Maximum weighted average investment maturity per Board guidelines Money market yield (e) (a) (b) (c) (d) (e)

$

0.09% 0.16% 39 60 days 0.30%

Calculation based on the average shares outstanding Per share amount is less than $0.01, amount is rounded for reporting purposes Return data is net of fees for the full fiscal year All ratios are for the fiscal year The money market yield represents the rate of income, net of expenses, earned over the past month divided by average shares outstanding and is not intended to indicate future performance. The return is annualized over a 365-day year, assuming no reinvestment of earnings.

West Virginia Investment Management Board F-9

Short-Term Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 7. SCHEDULE OF PARTICIPATION The following schedule provides the value of participants’ accounts in the Pool at June 30, 2016. The balances do not include undistributed gains. To the extent the Pool has undistributed realized gains or accumulated realized losses, the net asset value of the Pool may be higher or lower than the total below. Participant Teachers' Retirement System Revenue Shortfall Reserve Fund Workers' Compensation Old Fund State Police Death, Disability and Retirement Fund Coal Workers' Pneumoconiosis Fund Public Employees' Retirement System Board of Risk and Insurance Management Workers' Compensation Self-Insured Employer Security Risk Pool West Virginia Department of Environmental Protection Agency Workers' Compensation Self-Insured Employer Guaranty Risk Pool Workers' Compensation Uninsured Employers' Fund West Virginia Prepaid Tuition Trust Fund State Police Retirement System Deputy Sheriff's Retirement System Emergency Medical Services Retirement System Judges' Retirement System Municipal Police Officers' and Firefighters' Retirement System Public Employees Insurance Agency Wildlife Endowment Fund West Virginia Retiree Health Benefit Trust Fund Revenue Shortfall Reserve Fund - Part B Berkeley County Development Authority Municipal Policemen’s or Firemen’s Pension and Relief Funds Total

Account Value 104,030 75,030 43,590 13,286 10,886 7,511 6,641 1,913 1,808 1,240 1,093 1,003 894 775 407 371 121 103 78 67 24 5 3 $ 270,879 $

NOTE 8. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through September 9, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board F-10

June 30, 2016

G

TOTAL RETURN FIXED INCOME POOL

AUDITED FINANCIAL STATEMENTS

Total Return Fixed Income Pool Audited Financial Statements June 30, 2016 Table of Contents

Independent Auditors’ Report

Statement of Assets and Liabilities

G-1

Schedule of Investments

G-2

Statement of Operations

G-17

Statement of Changes in Net Assets

G-18

Notes to Financial Statements

G-19

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board Total Return Fixed Income Pool, which comprise the statement of assets and liabilities, including the schedule of investments, as of June 30, 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board Total Return Fixed Income Pool at June 30, 2016, and the results of its operations and changes in its net assets for the year then ended, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

September 9, 2016

A member firm of Ernst & Young Global Limited

Total Return Fixed Income Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands, except unit data)

Assets Investments at fair value (cost $2,049,047), including securities on loan of $207,311 (Note 6) Cash denominated in foreign currencies (cost $3,154) Cash pledged as collateral for derivative contracts Cash pledged as collateral for derivative contracts denominated in foreign currencies (cost $5,114) Swap premiums paid (Note 8) Unrealized appreciation on futures contracts (Note 7) Unrealized appreciation on swap contracts (Note 8) Unrealized appreciation on foreign currency forward contracts (Note 9) Receivables: Accrued interest Investments sold Dividends Securities lending income Reclaimable foreign taxes withheld Other

$

2,149,802 3,267 29,833 5,107 3,175 5,597 837 1,054 14,897 87,717 10 57 50 250

Total assets

2,301,653

Liabilities Cash overdraft Accrued expenses Distributions payable Payable for investments purchased Payable upon return of securities loaned (Note 6) Swap premiums received (Note 8) Unrealized depreciation on futures contracts (Note 7) Unrealized depreciation on swap contracts (Note 8) Unrealized depreciation on foreign currency forward contracts (Note 9) Option contracts written at fair value (premiums received $1,257)

1 1,569 4,940 17,213 100,663 2,963 7,013 18,200 4,747 435 Total liabilities Net assets

157,744 $

2,143,909

$

148,260,641 14.46

Unit data Units outstanding Net asset value, unit price

See accompanying notes to financial statements.

West Virginia Investment Management Board G-1

Total Return Fixed Income Pool Schedule of Investments June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description Municipal Bonds California, 7.5% Due 4/1/2034 California, 7.625% Due 3/1/2040 Illinois, 5.665% Due 3/1/2018 Illinois, 5.1% Due 6/1/2033 Los Angeles Unified School District, 6.758% Due 7/1/2034 New Jersey Turnpike Authority, 7.102% Due 1/1/2041

10,775 1,600 4,275 5,200 4,125 3,790

Cost

$

Total Municipal Bonds - 1.9% U.S. Treasury Bonds United States Treasury, 0.625% Due 10/15/2016 United States Treasury, 0.875% Due 1/31/2017 United States Treasury, 0.75% Due 6/30/2017 United States Treasury, 1.0% Due 8/15/2018 United States Treasury, 1.25% Due 11/15/2018 United States Treasury, 0.75% Due 2/15/2019 United States Treasury, 1.375% Due 9/30/2020 United States Treasury, 1.625% Due 11/30/2020 United States Treasury, 1.125% Due 2/28/2021 United States Treasury, 2.875% Due 5/15/2043 United States Treasury, Zero Coupon, Due 11/15/2043 United States Treasury, 3.375% Due 5/15/2044

9,342 6,266 100 21,622 8,113 35,068 112 13,489 4,134 2,013 211 1,232

100,546

101,702

6,856 31 5,179 4,707 2,383 6,316

7,213 32 5,009 4,565 2,704 7,027

25,472

26,550

2,810

2,586

2,699

77,449 159,490

81,208 169,176

82,739 172,103

250,384

254,842

526 111

526 111

637

637

14,126 49,910

14,048 50,579

64,036

64,627

30 6,664

37 6,482

6,694

6,519

Total U.S. Government Agency MBS - 11.9% U.S. Government Agency TBA Federal Home Loan Mortgage Corp, 3.5% Due 8/1/2046 Federal National Mortgage Association, 5.0% Due 7/1/2046

500 100

Total U.S. Government Agency CMO - 0.0% U.S. Government Agency CMO FHLMC Issues, 0.992% - 6.0% Due 3/15/2034 - 12/15/2043 FNMA Issues, 0.803% - 7.5% Due 8/25/2033 - 12/25/2045

12,955 48,121

Total U.S. Government Agency CMO - 3.0% U.S. Government Agency CMO Interest-Only FHLMC Issue, 1.795% Due 6/25/2020 GNMA Issues, 0.364% - 1.113% Due 9/16/2044 - 6/16/2056

16,344 2,524 4,512 4,992 5,946 5,763

9,335 6,258 100 21,498 8,012 34,862 109 13,149 4,078 1,886 135 1,124

9,335 6,250 100 21,450 8,000 35,000 110 13,105 4,105 1,790 400 1,000

Total U.S. Treasury Inflation Protected Securities - 1.2%

U.S. Government Agency MBS FHLMC Issues, 1.788% - 6.5% Due 1/1/2024 - 3/1/2046 FNMA Issues, 2.372% - 7.0% Due 1/1/2021 - 12/1/2045

$

40,081

6,940 30 3,460 4,300 2,650 6,450

U.S. Government Agency Bond Federal National Mortgage Association, Zero Coupon, Due 10/9/2019 - 0.1%

11,343 1,678 4,315 4,892 4,445 4,280 30,953

Total U.S. Treasury Bonds - 4.7% U.S. Treasury Inflation Protected Securities United States Treasury, 0.375% Due 7/15/2025 United States Treasury, 0.625% Due 1/15/2026 United States Treasury, 2.125% Due 2/15/2040 United States Treasury, 0.75% Due 2/15/2042 United States Treasury, 0.75% Due 2/15/2045 United States Treasury, 1.0% Due 2/15/2046

Fair Value

773 113,227

Total U.S. Government Agency CMO Interest-Only - 0.3%

See accompanying notes to financial statements.

West Virginia Investment Management Board G-2

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description U.S. Corporate Bonds Basic Materials Alcoa Inc, 5.87% Due 2/23/2022 Barrick NA Finance LLC, 5.7% Due 5/30/2041 Dow Chemical Company, 9.4% Due 5/15/2039 Freeport-McMoran Inc, 4.0% Due 11/14/2021 Glencore Funding LLC, 2.875% Due 4/16/2020 Reynolds Group Issuer Inc, 6.875% Adj, Due 2/15/2021 Rock-Tenn Co, 4.0% Due 3/1/2023 Total Basic Materials Capital Goods BNSF Railway Co 2007-1 P, 5.996% Due 4/1/2024 Burlington NO SF 00-1 TR, 8.251% Due 1/15/2021 Burlington NO SF 06-2 TR, 5.629% Due 4/1/2024 Burlington North Santa Fe, 4.1% Due 6/1/2021 Burlington North Santa Fe, 3.05% Due 9/1/2022 CBC Ammo LLC/CBC Finco, 7.25% Due 11/15/2021 Cemex Finance LLC, 6.0% Due 4/1/2024 Continental Airlines Inc, 9.25% Due 5/10/2017 Continental Airlines Inc, 7.25% Due 11/10/2019 CRH America Inc, 3.875% Due 5/18/2025 Delta Air Lines, 6.821% Due 8/10/2022 Eaton Corp, 4.15% Due 11/2/2042 Florida East Coast Holdings, 6.75% Due 5/1/2019 General Electric Capital Corp, 5.875% Due 1/14/2038 Global Brass and Copper, 9.5% Due 6/1/2019 Lockheed Martin Corp, 4.5% Due 5/15/2036 Union Pacific Railroad Co 07-3, 6.176% Due 1/2/2031 Union Pacific Railroad Co 1999 Pass-Through Trust, 7.6% Due 1/2/2020 Union Pacific Railroad Co 2005 Pass-Through Trust, 5.082% Due 1/2/2029 Vulcan Materials Company, 7.5% Due 6/15/2021 Waste Management Inc, 3.5% Due 5/15/2024 West Corp, 5.375% Due 7/15/2022 Total Capital Goods Communication Services AT&T Corp, 8.25% Adj, Due 11/15/2031 AT&T Inc, 3.4% Due 5/15/2025 AT&T Inc, 4.5% Due 5/15/2035 AT&T Inc, 6.55% Due 2/15/2039 AT&T Inc, 5.35% Due 9/1/2040 AT&T Inc, 4.75% Due 5/15/2046 AT&T Inc, 5.65% Due 2/15/2047 CenturyLink Inc, 5.625% Due 4/1/2020 CenturyLink Inc, 5.8% Due 3/15/2022 Sprint Capital Corp, 6.9% Due 5/1/2019 Sprint Communications, 9.0% Due 11/15/2018 Sprint Communications, 11.5% Due 11/15/2021 Sprint Corp, 7.875% Due 9/15/2023 Sprint Corp, 7.625% Due 2/15/2025 Verizon Communications, 5.15% Due 9/15/2023 Verizon Communications, 6.4% Due 9/15/2033 Verizon Communications, 4.272% Due 1/15/2036 Verizon Communications, 6.55% Due 9/15/2043 Total Communication Services Consumer Discretionary 21st Century Fox America, 8.45% Due 8/1/2034 21st Century Fox America, 6.4% Due 12/15/2035 21st Century Fox America, 6.65% Due 11/15/2037 CEC Entertainment Inc, 8.0% Due 2/15/2022 Charter Comm Operating LLC/CAP, 4.908% Due 7/23/2025 Charter Comm Operating LLC/CAP, 6.384% Due 10/23/2035

Cost

Fair Value

1,110 300 7,240 620 1,860 1,360 110

1,129 291 10,288 614 1,858 1,360 110 15,650

1,160 310 11,321 560 1,748 1,401 115 16,615

621 174 289 2,075 6,600 630 950 431 4,037 4,300 1,552 2,730 1,750 1,230 440 420 660 334 3,351 4,840 580 1,270

674 190 309 2,070 6,582 606 950 431 4,037 4,290 1,552 2,749 1,766 1,516 476 412 702 361 3,443 5,100 579 1,229 40,024

723 197 325 2,294 7,027 532 922 455 4,612 4,537 1,804 2,940 1,741 1,664 462 469 804 377 3,740 5,814 627 1,181 43,247

2,750 1,775 2,130 925 4,375 4,595 2,950 795 605 360 1,680 680 1,758 370 3,030 228 1,936 14,280

3,283 1,770 2,124 1,046 4,829 4,579 2,943 837 588 256 1,878 582 1,889 371 3,211 244 1,699 15,062 47,191

3,955 1,816 2,179 1,140 4,786 4,709 3,378 825 587 344 1,789 672 1,437 293 3,529 291 1,981 19,241 52,952

400 2,260 2,785 580 2,750 370

561 2,621 3,003 566 2,742 370

600 2,870 3,652 561 3,007 438

See accompanying notes to financial statements.

West Virginia Investment Management Board G-3

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description Charter Comm Operating LLC/CAP, 6.484% Due 10/23/2045 Comcast Corp, 3.375% Due 8/15/2025 Cox Communications Inc, 3.25% Due 12/15/2022 Cox Communications Inc, 2.95% Due 6/30/2023 Dish DBS Corp, 7.875% Due 9/1/2019 Dish DBS Corp, 5.125% Due 5/1/2020 Dollar Tree Inc, 5.75% Due 3/1/2023 Ford Motor Company, 4.75% Due 1/15/2043 Ford Motor Credit Company LLC, 5.75% Due 2/1/2021 Ford Motor Credit Company LLC, 5.875% Due 8/2/2021 Ford Motor Credit Company LLC, 3.664% Due 9/8/2024 General Motors Co, 3.5% Due 10/2/2018 Greenpoint Manufacture Housing, 3.929% Adj, Due 2/20/2032 Greenpoint Manufacture Housing, 3.934% Adj, Due 3/13/2032 Hilton Worldwide Financial LLC, 5.625% Due 10/15/2021 L Brands Inc, 8.5% Due 6/15/2019 Lennar Corporation, 4.5% Due 11/15/2019 Macys Inc, 6.9% Due 4/1/2029 Macys Retail Holdings Inc, 6.65% Due 7/15/2024 Macys Retail Holdings Inc, 6.7% Due 7/15/2034 Macys Retail Holdings Inc, 6.375% Due 3/15/2037 McDonalds Corp, 4.7% Due 12/9/2035 McDonalds Corp, 4.875% Due 12/9/2045 Newell Rubbermaid Inc, 4.2% Due 4/1/2026 NVR Inc, 3.95% Due 9/15/2022 Relx Capital Inc, 3.125% Due 10/15/2022 Time Warner Cable Inc, 8.75% Due 2/14/2019 Time Warner Cable Inc, 4.0% Due 9/1/2021 Time Warner Cable Inc, 6.55% Due 5/1/2037 Time Warner Cable Inc, 7.3% Due 7/1/2038 Time Warner Cable Inc, 6.75% Due 6/15/2039 Time Warner Cable Inc, 5.875% Due 11/15/2040 Time Warner Entertainment, 8.375% Due 7/15/2033 Time Warner Inc, 7.625% Due 4/15/2031 Time Warner Inc, 7.7% Due 5/1/2032 Toll Brothers Finance Corp, 4.0% Due 12/31/2018 Toll Brothers Finance Corp, 5.875% Due 2/15/2022 United Rentals North America, 5.75% Due 11/15/2024 United Rentals North America, 5.875% Due 9/15/2026 Viacom Inc, 5.85% Due 9/1/2043 Total Consumer Discretionary Consumer Staples Altria Group Inc, 2.85% Due 8/9/2022 Altria Group Inc, 10.2% Due 2/6/2039 Altria Group Inc, 5.375% Due 1/31/2044 Anheuser-Busch Inbev Finance Inc, 3.65% Due 2/1/2026 Anheuser-Busch Inbev Finance Inc, 4.7% Due 2/1/2036 Anheuser-Busch Inbev Finance Inc, 4.9% Due 2/1/2046 CVS Health Corp, 4.0% Due 12/5/2023 CVS Health Corp, 6.943% Due 1/10/2030 CVS Health Corp, 5.125% Due 7/20/2045 Kraft Heinz Foods Co, 4.875% Due 2/15/2025 Kraft Heinz Foods Co, 5.2% Due 7/15/2045 Kroger Co, 3.3% Due 1/15/2021 Kroger Co, 3.4% Due 4/15/2022 Mondelez International Inc, 4.0% Due 2/1/2024 Reynolds American Inc, 8.125% Due 6/23/2019 Reynolds American Inc, 5.85% Due 8/15/2045 Total Consumer Staples Energy Anadarko Petroleum Corp, 4.85% Due 3/15/2021 Anadarko Petroleum Corp, 5.55% Due 3/15/2026

Cost

Fair Value

4,140 410 2,925 3,475 760 1,330 480 1,930 1,525 6,750 470 3,000 350 675 1,400 530 2,000 3,000 4,415 1,990 5,475 980 1,310 1,500 100 4,951 2,890 3,665 800 580 2,400 70 780 3,500 9,474 350 610 880 60 2,280

4,147 410 2,658 3,145 835 1,330 504 1,926 1,544 7,420 464 3,000 294 566 1,469 608 2,041 3,039 4,243 2,032 5,293 977 1,310 1,501 100 4,824 3,165 3,648 806 673 2,464 75 802 4,099 11,200 356 643 868 60 2,266 96,668

4,943 443 2,917 3,349 838 1,352 510 2,043 1,734 7,742 487 3,089 308 594 1,449 615 2,083 3,297 5,104 2,144 5,539 1,105 1,532 1,626 106 5,032 3,374 3,896 932 726 2,820 76 1,057 4,801 13,227 363 656 887 60 2,286 106,270

460 1,240 1,190 4,260 3,690 6,410 1,010 1,661 1,360 330 1,140 2,150 740 1,240 2,680 1,770

461 1,960 1,232 4,253 3,660 6,395 1,006 1,661 1,378 352 1,139 2,147 737 1,240 3,056 1,790 32,467

482 2,298 1,526 4,564 4,147 7,511 1,117 1,996 1,687 362 1,350 2,285 792 1,356 3,177 2,262 36,912

2,510 700

2,514 698

2,662 773

See accompanying notes to financial statements.

West Virginia Investment Management Board G-4

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description California Resources Corp, 6.0% Due 11/15/2024 Chesapeake Energy Corp, 6.625% Due 8/15/2020 Chesapeake Energy Corp, 5.75% Due 3/15/2023 Cnooc Finance 2015 US, 3.5% Due 5/5/2025 Comstock Resources Inc, 10.0% Due 3/15/2020 Devon Energy Corporation, 5.85% Due 12/15/2025 Devon Energy Corporation, 5.6% Due 7/15/2041 Devon Energy Corporation, 5.0% Due 6/15/2045 Exxon Mobil Corporation, 4.114% Due 3/1/2046 Halliburton Company, 3.8% Due 11/15/2025 Halliburton Company, 4.85% Due 11/15/2035 Halliburton Company, 5.0% Due 11/15/2045 Kerr-McGee Corporation, 6.95% Due 7/1/2024 Kerr-McGee Corporation, 7.875% Due 9/15/2031 Kinder Morgan Energy Partners, 4.25% Due 9/1/2024 Kinder Morgan Energy Partners, 6.5% Due 9/1/2039 Kinder Morgan Energy Partners, 5.0% Due 3/1/2043 Kinder Morgan Energy Partners, 5.4% Due 9/1/2044 Kinder Morgan Inc, 5.625% Due 11/15/2023 Kinder Morgan Inc, 7.8% Due 8/1/2031 Kinder Morgan Inc, 5.55% Due 6/1/2045 Petroleos Mexicanos, 6.875% Due 8/4/2026 Pride International Inc, 6.875% Due 8/15/2020 Schlumberger Holdings Corp, 4.0% Due 12/21/2025 Southern Natural Gas, 5.9% Due 4/1/2017 Transcont Gas Pipe Line, 7.85% Due 2/1/2026 WPX Energy Inc, 8.25% Due 8/1/2023 Total Energy Financial Services ACE INA Holdings, 3.35% Due 5/3/2026 ACE INA Holdings, 4.35% Due 11/3/2045 ALLY Financial Inc, 8.0% Due 12/31/2018 ALLY Financial Inc, 8.0% Due 11/1/2031 BAC Capital Trust XI, 6.625% Due 5/23/2036 Bank of America Corp, 5.42% Due 3/15/2017 Bank of America Corp, 5.625% Due 7/1/2020 Bank of America Corp, 5.0% Due 5/13/2021 Bank of America Corp, 3.3% Due 1/11/2023 Bank of America Corp, 4.2% Due 8/26/2024 Bank of America Corp, 4.0% Due 1/22/2025 Bank of America Corp, 4.25% Due 10/22/2026 Bank of America Corp, 5.0% Due 1/21/2044 Boston Properties LP, 3.85% Due 2/1/2023 Boston Properties LP, 3.8% Due 2/1/2024 Capital One Financial Corp, 3.5% Due 6/15/2023 Capital One Financial Corp, 3.75% Due 4/24/2024 CIT Group Inc, 5.25% Due 3/15/2018 CIT Group Inc, 5.5% Due 2/15/2019 Citigroup Inc, 5.5% Due 9/13/2025 Citigroup Inc, 4.45% Due 9/29/2027 Citigroup Inc, 4.65% Due 7/30/2045 Compass Bank, 3.875% Due 4/10/2025 Corp Bond Backed CTF-CCE, 7% Due 5/15/2098 Credit Agricole SA, 8.125%, Perpetual ERP Operating LP, 4.625% Due 12/15/2021 ERP Operating LP, 3.0% Due 4/15/2023 Goldman Sachs Capital II, 4.0%, Perpetual Goldman Sachs Group Inc, 4.25% Due 10/21/2025 Goldman Sachs Group Inc, 6.25% Due 2/1/2041 Goldman Sachs Group Inc, 5.15% Due 5/22/2045 Goldman Sachs Group Inc, 4.75% Due 10/21/2045 HSBC Finance Corp, 6.676% Due 1/15/2021 ILFC E-Capital Trust II, 4.23% Due 12/21/2065

Cost

Fair Value

770 1,560 150 2,430 2,460 810 50 950 1,250 1,320 1,680 1,950 480 1,115 6,000 3,325 2,400 2,925 2,475 469 4,000 1,930 800 2,190 570 2,190 460

638 1,656 84 2,410 2,464 811 51 938 1,253 1,318 1,683 1,954 500 1,251 5,979 3,740 2,433 2,747 2,326 346 3,335 1,927 740 2,189 570 2,245 466 49,266

377 1,096 96 2,462 1,980 894 48 886 1,410 1,379 1,819 2,145 555 1,329 6,075 3,478 2,272 2,886 2,651 526 4,064 2,158 764 2,357 585 2,725 461 50,913

460 910 940 1,280 12,130 600 1,075 150 330 2,955 1,620 1,780 2,140 1,300 1,525 7,270 3,200 400 770 1,890 1,670 1,520 570 5,000 1,470 2,628 1,350 2,109 280 2,410 2,080 820 350 4,520

459 925 1,028 1,518 11,290 608 1,187 149 327 2,954 1,611 1,772 2,136 1,349 1,522 7,153 3,158 411 805 1,956 1,663 1,518 557 4,396 1,470 2,643 1,303 1,733 279 2,413 2,076 813 345 3,958

490 1,047 1,027 1,482 14,844 617 1,209 168 340 3,055 1,651 1,846 2,475 1,391 1,637 7,502 3,339 412 806 2,119 1,720 1,670 547 5,857 1,460 2,968 1,386 1,579 289 3,119 2,170 904 392 3,571

See accompanying notes to financial statements.

West Virginia Investment Management Board G-5

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description International Finance Corp, 7.75% Due 12/3/2016 (Indian Rupee) International Finance Corp, 6.45% Due 10/30/2018 (Indian Rupee) JP Morgan Chase & Co, 3.875% Due 9/10/2024 JP Morgan Chase & Co, 4.95% Due 6/1/2045 Lehman Bros CAP TR VII, 6.5% Adj, Due 7/19/2017 (a) Lehman Bros CAP TR VII, 6.5% Adj, Due 12/28/2017 (a) Lehman Bros CAP TR VII, 5.86% Perpetual (a) MetLife Inc, 6.4% Due 12/15/2036 Navient Corp, 6.0% Due 1/25/2017 Navient Corp, 4.625% Due 9/25/2017 Navient Corp, 8.45% Due 6/15/2018 Navient Corp, 5.5% Due 1/15/2019 Navient Corp, 8.0% Due 3/25/2020 Provident Companies Inc, 7.25% Due 3/15/2028 Rio Oil Finance Trust, 9.25% Adj, Due 7/6/2024 Rio Oil Finance Trust, 9.75% Adj, Due 1/6/2027 Santander Holdings USA, 3.45% Due 8/27/2018 State Street Corp, 4.956% Due 3/15/2018 State Street Corp, 3.1% Due 5/15/2023 Teachers Insurance & Annuity, 6.85% Due 12/16/2039 Visa Inc, 4.15% Due 12/14/2035 Visa Inc, 4.3% Due 12/14/2045 Wachovia Capital Trust III, 5.57% Due 12/29/2049 Wells Fargo & Company, 4.48% Due 1/16/2024 Wells Fargo & Company, 4.1% Due 6/3/2026 Wells Fargo & Company, 4.3% Due 7/22/2027 Wells Fargo & Company, 5.375% Due 11/2/2043 Wells Fargo & Company, 4.65% Due 11/4/2044 Wells Fargo & Company, 4.9% Due 11/17/2045 Wells Fargo Capital X, 5.95% Due 12/15/2036 Total Financial Services Health Care Aetna Inc, 2.4% Due 6/15/2021 Aetna Inc, 2.8% Due 6/15/2023 Aetna Inc, 3.2% Due 6/15/2026 Alere Inc, 6.5% Due 6/15/2020 Bioscrip Inc, 8.875% Due 2/15/2021 Celgene Corporation, 5.0% Due 8/15/2045 CIGNA Corporation, 7.65% Due 3/1/2023 CIGNA Corporation, 7.875% Due 5/15/2027 CIGNA Corporation, 6.15% Due 11/15/2036 DJO Finance Corp, 10.75% Due 4/15/2020 Gilead Sciences Inc, 3.65% Due 3/1/2026 Humana Inc, 3.15% Due 12/1/2022 Humana Inc, 8.15% Due 6/15/2038 Humana Inc, 4.625% Due 12/1/2042 Iasis Healthcare/Cap Crp, 8.375% Due 5/15/2019 Medtronic Inc, 3.5% Due 3/15/2025 NY & Presbyterian Hospital, 4.063% Due 8/1/2056 NY & Presbyterian Hospital, 4.763% Due 8/1/2116 Tenet Healthcare Corporation, 5.0% Adj, Due 3/1/2019 UnitedHealth Group Inc, 4.625% Due 7/15/2035 Universal Hospital Service, 7.625% Due 8/15/2020 Valeant Pharmaceuticals, 6.375% Due 10/15/2020 Zoetis Inc, 4.5% Due 11/13/2025 Total Health Care Technology Diamond 1 Fin/Diamond 2, 3.48% Due 6/1/2019 Diamond 1 Fin/Diamond 2, 4.42% Due 6/15/2021 Diamond 1 Fin/Diamond 2, 5.45% Due 6/15/2023 Hewlett Packard Enterprise, 3.6% Due 10/15/2020 Intel Corporation, 3.7% Due 7/29/2025

Cost

Fair Value

175,000 40,000 4,670 1,860 110 8,860 4,430 2,790 5,775 2,050 2,450 160 780 2,225 14,924 9,825 1,400 1,840 810 1,230 1,640 3,830 2,050 190 1,060 7,965 810 720 840 430

2,820 633 4,691 1,852 2,584 5,765 2,072 2,636 164 848 2,721 14,504 9,825 1,399 1,847 809 1,229 1,638 3,824 2,046 171 1,059 7,969 808 715 834 411 143,359

2,602 590 4,835 2,042 2,978 5,847 2,065 2,649 160 797 2,744 12,760 8,302 1,429 1,928 838 1,671 1,855 4,434 2,024 208 1,134 8,600 944 759 919 454 150,657

590 150 910 1,820 1,600 940 1,925 1,545 3,488 2,000 1,170 250 730 220 3,500 240 400 300 970 610 2,230 200 5,300

590 150 907 1,862 1,434 937 2,009 1,663 3,614 2,034 1,166 249 734 223 3,645 238 400 300 970 610 1,972 177 5,322 31,206

602 153 936 1,811 1,480 1,035 2,388 2,137 4,321 1,620 1,273 257 1,058 229 3,362 262 430 317 938 708 2,049 172 5,845 33,383

3,600 10,120 3,125 5,800 70

3,600 10,147 3,124 5,799 70

3,688 10,416 3,242 6,054 78

See accompanying notes to financial statements.

West Virginia Investment Management Board G-6

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description Micron Technology Inc, 5.25% Due 8/1/2023 Micron Technology Inc, 5.5% Due 2/1/2025 Qualcomm Inc, 4.8% Due 5/20/2045 Xerox Corporation, 6.35% Due 5/15/2018 Xerox Corporation, 4.5% Due 5/15/2021 Total Technology Utilities AES Corporation, 8.0% Due 6/1/2020 Dominion Resources Inc, 5.75% Due 10/1/2054 FirstEnergy Corp, 7.375% Due 11/15/2031 Mirant Mid Atlantic Trust, 9.125% Due 6/30/2017 Pacific Gas & Electric, 6.05% Due 3/1/2034 Total Utilities

Cost

Fair Value

140 350 1,220 7,452 1,124

135 333 1,214 7,770 1,143 33,335

119 298 1,280 7,968 1,137 34,280

3,900 5,050 1,010 2,366 1,300

3,900 5,050 1,240 2,399 1,417 14,006

4,544 5,025 1,254 2,265 1,732 14,820

503,172

540,049

Total U.S. Corporate Bonds - 25.2% Bank Loan Neiman Marcus, 4.25% Due 10/25/2020 - 0.0%

1,045

1,028

936

Corporate Asset Backed Issues Access Group Inc, 1.038% Due 10/25/2035 Babson CLO Ltd, 6.184% Due 7/20/2027 Community Funding CLO Ltd, 5.75% Adj, Due 11/1/2027 Cumberland Park CLO Ltd, 5.634% Due 7/20/2026 Dryden Senior Loan Fund, 6.576% Due 8/15/2028 Magnetite CLO Ltd, 4.033% Due 7/18/2028 Morgan Stanley Resecuritization, 0.713% Due 7/26/2045 National Collegiate Student Loan Trust, 0.723% Due 3/26/2029 Neuberger Berman CLO Ltd, 5.878% Due 7/15/2027 Oaktree CLO Ltd, 6.234% Due 10/20/2027 SLM Student Loan Trust, 0.698% Due 7/25/2022 SMB Private Education Loan Trust, 1.642% Due 5/15/2023 SMB Private Education Loan Trust, 4.5% Due 11/15/2025 SMB Private Education Loan Trust, 3.5% Due 12/15/2025

2,009 2,750 2,770 1,500 2,850 1,000 5,956 4,820 2,750 850 3,840 2,580 5,970 1,850

1,817 2,613 2,770 1,369 2,753 949 5,604 4,617 2,582 698 3,627 2,568 4,929 1,760

1,717 2,241 2,687 1,179 2,450 862 5,350 4,370 2,163 706 3,600 2,553 5,299 1,803

38,656

36,980

Total Corporate Asset Backed Issues - 1.7% Corporate ABS Residual SMB Private Education Loan Trust, Due 9/18/2046 - 0.3%

3,902

5,346

5,385

Corporate CMO Banc of America Funding Corp, 0.593% Adj, Due 7/27/2018 BBCCRE Trust, 4.563% Adj, Due 8/10/2025 Jamestown CLO Ltd, 7.114% Due 1/15/2028 Lone Star Portfolio Trust, 7.66% Due 9/15/2020 Lone Star Portfolio Trust, 7.342% Due 9/15/2020 Morgan Stanley Mortgage Loan, 2.681% Adj, Due 10/25/2034 Residential Asset Securitization, 4.75% Due 2/25/2019 Waterfall Commercial Mortgage Trust, 4.104% Adj, Due 9/19/2022 Wells Fargo Mortgage Backed, 2.851% Adj, Due 12/25/2034

6,237 5,940 1,500 4,309 4,351 626 310 5,293 963

6,046 4,931 1,316 4,309 4,351 623 310 5,293 795

6,100 5,389 1,274 4,015 4,129 613 314 5,088 957

27,974

27,879

401,700

10,758

10,472

650

646

644

2,450 2,233

2,465 2,209

2,572 2,328

Total Corporate CMO - 1.3% Corporate Preferred Security Citigroup Capital XIII - 0.5% Foreign Government Bonds Angola Republic of Angola, 9.5% Due 11/12/2025 Argentina Province of Neuquen, 8.625% Due 5/12/2028 Province of Salta, 9.5% Due 3/16/2022

See accompanying notes to financial statements.

West Virginia Investment Management Board G-7

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description Provincia De Buenos Aire, 9.125% Due 3/16/2024 Republic of Argentina, 6.875% Due 4/22/2021 Republic of Argentina, 7.5% Due 4/22/2026 Republic of Argentina, 7.5% Due 4/22/2026 Republic of Argentina, 7.625% Due 4/22/2046 Total Argentina

Cost

Fair Value

1,530 710 470 225 310

1,511 710 470 225 297 7,887

1,683 757 508 243 335 8,426

Armenia Republic of Armenia, 7.15% Due 3/26/2025

1,660

1,645

1,685

Azerbaijan State Oil Company of the Azer, 4.75% Due 3/13/2023

1,600

1,531

1,530

17,722 7,018 5,500 9,700

7,310 1,836 989 9,413 19,548

5,433 2,005 1,542 9,015 17,995

2,600

2,560

2,627

717

749

755

3,400,000 1,600

1,473 1,687 3,160

1,189 1,718 2,907

1,600

1,768

1,778

950

956

940

El Salvador Republic of El Salvador, 7.65% Due 6/15/2035

4,000

4,061

3,560

Ethiopia Federal Republic of Ethiopia, 6.625% Due 12/11/2024

1,200

1,085

1,119

Gabon Gabonese Republic, 6.95% Due 6/16/2025

2,100

2,029

1,833

Georgia Georgian Oil & Gas Corp, 6.75% Due 4/26/2021 Republic of Georgia, 6.875% Due 4/12/2021 Total Georgia

2,100 1,600

2,079 1,694 3,773

2,169 1,760 3,929

Germany Bosnia & Herzegovina, 0.625% Adj, Due 12/11/2017 (Deutsche Mark) Bosnia & Herzegovina, 0.625% Adj, Due 12/11/2021 (Deutsche Mark) Total Germany

357 4,308

357 2,548 2,905

188 2,054 2,242

Ghana Ghana Government Bond, 23.0% Due 8/21/2017 (Ghana Cedi) Republic of Ghana, 10.75% Due 10/14/2030

7,500 2,570

1,899 2,642 4,541

1,871 2,707 4,578

Grenada Government of Grenada, 7.0% Adj, Due 5/12/2030

3,663

2,093

1,996

Brazil Nota Do Tesouro Nacional, 10.0% Due 1/1/2017 (Brazil Real) Nota Do Tesouro Nacional, 10.0% Due 1/1/2023 (Brazil Real) Nota Do Tesouro Nacional, 10.0% Due 1/1/2025 (Brazil Real) Nota Do Tesouro Nacional, 15.882% Adj, Due 8/15/2030 (Brazil Real) Total Brazil Cameroon Republic of Cameroon, 9.5% Due 11/19/2025 Cayman Islands Dominican Republic, 8.5% Due 1/2/2020 Colombia Bogota Distrio Capital, 9.75% Due 7/26/2028 (Colombian Peso) Republic of Colombia, 4.375% Due 7/12/2021 Total Colombia Dominican Republic Dominican Republic, 7.5% Due 5/6/2021 Ecuador Republic of Ecuador, 10.5% Due 3/24/2020

See accompanying notes to financial statements.

West Virginia Investment Management Board G-8

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description

Cost

Fair Value

Honduras Republic of Honduras, 8.75% Due 12/16/2020

1,100

1,100

1,232

Indonesia Republic of Indonesia, 4.875% Due 5/5/2021

3,100

3,219

3,366

Iraq Republic of Iraq, 5.8% Due 1/15/2028

7,000

6,050

5,329

Jamaica Government of Jamaica, 7.875% Due 7/28/2045

1,700

1,669

1,815

678,480 1,441,020 1,323,350 1,195,200

5,981 14,507 12,587 10,359 43,434

6,977 14,854 13,757 12,431 48,019

2,000 1,125

1,730 948 2,678

2,045 1,091 3,136

Kenya Kenya Infrastructure Bond, 11.0% Due 9/15/2025 (Kenyan Shilling) Republic of Kenya, 6.875% Due 6/24/2024 Total Kenya

229,450 1,000

2,529 883 3,412

2,149 925 3,074

Mexico Mex Bonos Desarr Fix Rt, 6.5% Due 6/9/2022 (Mexican Peso) Mex Bonos Desarr Fix Rt, 10.0% Due 12/5/2024 (Mexican Peso) Mex Bonos Desarr Fix Rt, 7.75% Due 11/13/2042 (Mexican Peso) Mexican Udibonos, 4.5% Due 12/4/2025 (Mexican Peso) Mexican Udibonos, 4.0% Due 11/15/2040 (Mexican Peso) Total Mexico

387,710 28,580 92,584 13,592 75,109

29,622 2,627 6,045 810 5,885 44,989

21,970 1,986 5,837 838 4,479 35,110

Mongolia Mongolia International Bond, 5.125% Due 12/5/2022

2,400

2,128

1,967

Mozambique Republic of Mozambique, 10.5% Due 1/18/2023

2,768

2,657

1,938

Nigeria Central Bank of Nigeria, 0.0% Adj, Due 11/15/2020

2,650

3,666

1,921

Paraguay Republic of Paraguay, 4.625% Due 1/25/2023

1,700

1,634

1,768

254,400 78,470 263,260

3,566 972 3,667 8,205

3,886 1,148 4,125 9,159

1,677

1,642

1,627

950 2,906 2,906 70,400

940 2,906 2,906 6,624

988 2,713 2,713 4,814

Japan Japan Govt CPI Linked, 0.1% Due 9/10/2023 (Japanese Yen) Japan Govt CPI Linked, 0.1% Due 3/10/2024 (Japanese Yen) Japan Govt CPI Linked, 0.1% Due 9/10/2024 (Japanese Yen) Japan Govt CPI Linked, 0.1% Due 3/10/2025 (Japanese Yen) Total Japan Kazakhstan Republic of Kazakhstan, 6.95% Due 7/10/2042 Republic of Kazakhstan, 4.875% Due 10/14/2044 Total Kazakhstan

Russia Russia Government Bond-OFZ, 7.5% Due 3/15/2018 (Russian Ruble) Russia Government Bond-OFZ, 7.0% Due 1/25/2023 (Russian Ruble) Russia Government Bond-OFZ, 8.15% Due 2/3/2027 (Russian Ruble) Total Russia Seychelles Republic of Seychelles, 7.0% Adj, Due 1/1/2026 South Africa Banque Quest Africanine D, 5.5% Due 5/6/2021 Development Bank of South Africa, 7.175% Adj, Due 12/20/2023 Development Bank of South Africa, 7.175% Adj, Due 12/20/2023 Republic of South Africa, 8.0% Due 12/21/2018 (South African Rand)

See accompanying notes to financial statements.

West Virginia Investment Management Board G-9

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description Republic of South Africa, 4.665% Due 1/17/2024 Total South Africa

Cost

Fair Value

1,700

1,728 15,104

1,756 12,984

350 320,000

455 2,335 2,790

384 2,371 2,755

3,000 14,660

3,134 5,338 8,472

3,226 5,094 8,320

1,600,000 4,000,000 267,300 742,900

474 1,573 80 204 2,331

470 1,162 79 208 1,919

3,000 3,500 2,400

2,987 3,272 715 6,974

2,459 3,349 777 6,585

144,862

5,925

3,759

24,137 6,200

4,017 4,463 8,480

845 2,526 3,371

237,496

217,698

1,700

1,699

1,547

930 6,685 520

930 6,738 495 8,163

1,081 7,103 574 8,758

Austria ESAL GMBH, 6.25% Due 2/5/2023

2,400

2,148

2,370

Azerbaijan International Bank of Azerbaijan, 5.625% Due 6/11/2019

3,200

3,058

3,129

940

959

949

Brazil OI SA, 9.75% Due 9/15/2016 (Brazil Real)

7,612

2,157

362

Canada Anadarko Finance Co, 7.5% Due 5/1/2031 Barrick Gold Corporation, 4.1% Due 5/1/2023 Glencore Finance Canada, 5.8% Due 11/15/2016 Glencore Finance Canada, 2.7% Due 10/25/2017 Teck Resources Limited, 5.2% Due 3/1/2042

556 433 150 1,340 3,500

605 432 152 1,340 1,897

666 457 152 1,335 2,292

Tunisia Banque Cent de Tunisie, 4.5% Due 6/22/2020 (Euro Currency Unit) Banque Cent de Tunisie, 4.2% Due 3/17/2031 (Japanese Yen) Total Tunisia Turkey Republic of Turkey, 6.75% Due 4/3/2018 Turkey Government Bond, 8.2% Due 11/16/2016 (Turkish Lira) Total Turkey Uganda Uganda Government, 10.25% Due 7/14/2016 (Ugandan Shilling) Uganda Government, 10.75% Due 9/8/2016 (Ugandan Shilling) Uganda Government, 16.75% Due 2/23/2017 (Ugandan Shilling) Uganda Government, 14.625% Due 11/1/2018 (Ugandan Shilling) Total Uganda Ukraine City of Kyiv, Zero Coupon, Due 9/1/2019 Oschadbank Via SSB#1 PLC, 9.625% Adj, Due 3/20/2025 Ukraine Government, Zero Coupon, Due 5/31/2040 Total Ukraine Uruguay Republica Orient Uruguay, 3.7% Due 6/26/2037 (Uruguayan Peso) Venezuela Republic of Venezuela, 0.0% Adj, Due 4/15/2020 Republic of Venezuela, 7.65% Due 4/21/2025 Total Venezuela Total Foreign Government Bonds - 10.2% Foreign Corporate Bonds Armenia Ardshininvestbank CJSC, 12.0% Due 7/29/2020 Australia BHP Billiton Financial USA LTD, 5.0% Due 9/30/2043 BHP Billiton Financial USA LTD, 6.75% Adj, Due 10/19/2075 FMG Resources August 2006, 9.75% Due 3/1/2022 Total Australia

Bermuda NCL Corp Ltd, 5.25% Due 11/15/2019

See accompanying notes to financial statements.

West Virginia Investment Management Board G-10

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description Transcanada Trust, 5.625% Due 5/20/2075 Valeant Pharmaceuticals, 6.125% Due 4/15/2025 Total Canada

Cost

Fair Value

5,450 900

5,443 936 10,805

5,028 722 10,652

1,536 4,600 6,325 2,310 990 4,432

1,762 3,587 6,630 2,412 1,000 4,197 19,588

1,716 3,638 5,793 1,698 997 4,033 17,875

3,100

3,013

3,245

720 1,480 6,550,000 3,200,000

715 1,398 2,728 1,016 5,857

700 1,286 1,601 1,037 4,624

2,400

2,394

2,239

8,400 4,465 1,070 3,317 1,840 930 740 1,730

8,394 4,425 1,070 4,329 1,840 938 740 1,750 23,486

8,638 4,528 1,048 4,093 2,054 889 732 1,906 23,888

Guernsey Credit Suisse GP Fund Ltd, 4.875% Due 5/15/2045

1,900

1,894

1,892

India Bharti Airtel Ltd, 4.375% Due 6/10/2025

1,410

1,400

1,478

Ireland AerCapital Ireland Capital Ltd/A, 4.625% Due 7/1/2022 Ardagh Packaging Fin/Hldgs USA, 6.25% Due 1/31/2019 Ardagh Packaging Fin/Hldgs USA, 3.653% Due 12/15/2019 Total Ireland

590 2,090 200

599 2,155 197 2,951

604 2,124 201 2,929

Italy Intesa Sanpaolo SpA, 5.017% Due 6/26/2024 Telecom Italia SpA, 5.303% Due 5/30/2024 Total Italy

4,120 4,330

4,157 4,433 8,590

3,772 4,319 8,091

940

938

974

1,650 3,275 80 1,770 870 1,700

1,629 3,265 80 1,805 875 1,701

1,714 3,412 82 1,737 846 1,745

Cayman Islands Iirsa Norte Finance Ltd, 8.75% Due 5/30/2024 Peru Enhanced Pass-Thru, Zero Coupon, Due 6/2/2025 Petrobras Global Finance, 5.375% Due 1/27/2021 Shelf Drill Hold Ltd, 8.625% Due 11/1/2018 Transocean Inc, 3.0% Due 10/15/2017 Vale Overseas Limited, 6.875% Due 11/21/2036 Total Cayman Islands Chile Codelco Inc, 4.5% Due 9/16/2025 Colombia Ecopetrol SA, 5.375% Due 6/26/2026 Ecopetrol SA, 5.875% Due 5/28/2045 Empresa De Telecomunic, 7.0% Due 1/17/2023 (Colombian Peso) Fideicomiso Pa Costera, 6.25% Due 1/15/2034 (Colombian Peso) Total Colombia Ethiopia Ethiopian Railways Corporation, 4.615% Adj, Due 8/2/2021 France BNP Paribas, 4.25% Due 10/15/2024 BNP Paribas, 4.375% Due 9/28/2025 BNP Paribas, 7.375% Adj, Perpetual BPCE SA, 12.5%, Perpetual Credit Agricole SA, 8.375% Due 12/13/2049 Numericable - SFR SAS, 6.25% Due 5/15/2024 Numericable - SFR SAS, 7.375% Due 5/1/2026 Pernod Ricard SA, 4.45% Due 1/15/2022 Total France

Jersey UBS Group Funding, 4.125% Due 9/24/2025 Luxembourg Actavis Funding SCS, 3.45% Due 3/15/2022 Actavis Funding SCS, 3.8% Due 3/15/2025 Actavis Funding SCS, 4.55% Due 3/15/2035 Convatec Finance International SA, 8.25% Due 1/15/2019 Mallinckrodt International Finance, 3.5% Due 4/15/2018 Millicom International Cellular, 6.625% Due 10/15/2021

See accompanying notes to financial statements.

West Virginia Investment Management Board G-11

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description Telecom Italia Capital, 7.175% Due 6/18/2019 Telecom Italia Capital, 7.721% Due 6/4/2038 Total Luxembourg

Cost

Fair Value

9,550 3,425

10,056 3,458 22,869

10,768 3,562 23,866

600

600

576

300 5,850 5,150 4,400 3,525 2,175 1,750 9,095 3,650 23,500

299 5,850 5,360 4,318 3,601 2,188 2,027 8,383 3,624 1,673 37,323

320 6,238 5,434 4,279 3,574 2,095 1,804 9,140 3,327 1,311 37,522

Netherlands Enel Finance International NV, 6.8% Due 9/15/2037 Enel Finance International NV, 6.0% Due 10/7/2039 ING Bank NV, 5.8% Due 9/25/2023 Petrobras Global Finance, 3.0% Due 1/15/2019 Petrobras Global Finance, 4.375% Due 5/20/2023 Petrobras Global Finance, 6.85% Due 6/5/2115 Rabobank Nederland, 4.625% Due 12/1/2023 Rabobank Nederland, 5.25% Due 8/4/2045 Rabobank Nederland, 11.0%, Perpetual Shell International Finance, 4.375% Due 5/11/2045 Total Netherlands

2,475 4,252 2,170 700 8,015 1,480 1,720 1,680 544 1,690

2,843 4,059 2,162 637 7,946 1,097 1,715 1,673 593 1,687 24,412

3,210 5,025 2,381 649 6,510 1,125 1,814 1,868 649 1,835 25,066

New Zealand Myriad International Holdings BV, 6.0% Due 7/18/2020 Myriad International Holdings BV, 5.5% Due 7/21/2025 Total New Zealand

5,200 5,475

5,284 5,473 10,757

5,675 5,694 11,369

Nigeria FBN Finance Co BV, 8.0% Due 7/23/2021 Fidelity Bank PLC, 6.875% Due 5/9/2018 Total Nigeria

2,000 2,900

1,712 2,792 4,504

1,377 2,248 3,625

Russia Alfa Bank, 7.5% Due 9/26/2019 Russian Agricultural Bank OJSC, 6.0% Due 6/3/2021 Russian Railways via RZD Capital, 5.7% Due 4/5/2022 Total Russia

2,700 2,950 1,900

2,596 2,955 1,546 7,097

2,943 2,950 2,040 7,933

Singapore Golden Legacy PTE Ltd, 9.0% Due 4/24/2019

1,800

1,800

1,834

South Africa Edcon Ltd, 9.5% Due 3/1/2018 (b)

2,200

1,885

638

670

621

740

Sri Lanka National Savings Bank, 8.875% Due 9/18/2018

1,950

2,007

2,078

Sweden Nordea Bank AB, 4.875% Due 5/13/2021

2,980

2,972

3,277

Mauritius MTN Mauritius Investments, 4.755% Due 11/11/2024 Mexico Alfa SA, 5.25% Due 3/25/2024 Cemex SAB DE CV, 6.5% Due 12/10/2019 Cemex SAB DE CV, 7.25% Due 1/15/2021 Cemex SAB DE CV, 6.125% Due 5/5/2025 Petroleos Mexicanos, 4.875% Due 1/18/2024 Petroleos Mexicanos, 4.25% Due 1/15/2025 Petroleos Mexicanos, 6.625% Due 6/15/2035 Petroleos Mexicanos, 6.375% Due 1/23/2045 Petroleos Mexicanos, 5.625% Due 1/23/2046 Red Carreteras Occide, 9.0% Due 6/10/2028 (Mexican Peso) Total Mexico

Spain Telefonica Emisiones SAU, 5.134% Due 4/27/2020

See accompanying notes to financial statements.

West Virginia Investment Management Board G-12

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description

Cost

Fair Value

Trinidad and Tobago Petro Co Trinidad and Tobago Ltd, 6.0% Due 5/8/2022

1,100

1,064

1,062

Turkey Yasar Holdings, 8.875% Due 5/6/2020

1,650

1,668

1,745

1,060 5,525 1,970 2,600 1,125 1,690 3,735 10,575 500 6,575 6,760 1,950 10,430 1,060 4,130 5,450 1,100 1,700 2,410 1,800

1,349 5,517 3,009 2,288 1,124 1,677 3,732 11,177 495 6,480 6,766 1,955 10,303 1,053 4,240 5,409 1,097 1,698 2,389 1,864 73,622

1,335 5,341 3,035 2,159 1,241 1,705 3,950 12,697 528 7,118 6,858 1,975 10,938 1,084 4,197 5,314 1,086 1,730 2,608 1,755 76,654

292,301

292,987

1,250 900 500 510 400 250 750 750

1,210 861 488 498 389 242 744 732 5,164

1,207 848 486 496 362 242 727 730 5,098

1,164 3,201

1,582 4,055 5,637

1,280 3,521 4,801

United Kingdom Barclays Bank PLC, 10.18% Due 6/12/2021 Barclays PLC, 4.375% Due 9/11/2024 British Telecom PLC, 9.625% Adj, Due 12/15/2030 Ferrexpo Finance PLC, 10.375% Due 4/7/2019 HSBC Holdings PLC, 5.1% Due 4/5/2021 HSBC Holdings PLC, 4.25% Due 8/18/2025 HSBC Holdings PLC, 4.3% Due 3/8/2026 HSBC Holdings PLC, 6.5% Due 5/2/2036 HSBC Holdings PLC, 5.25% Due 3/14/2044 Imperial Tobacco Finance, 4.25% Due 7/21/2025 Lloyds Banking Group PLC, 4.5% Due 11/4/2024 Lloyds Banking Group PLC, 4.65% Due 3/24/2026 Royal Bank of Scotland Group PLC, 6.125% Due 12/15/2022 Royal Bank of Scotland Group PLC, 6.1% Due 6/10/2023 Royal Bank of Scotland Group PLC, 6.0% Due 12/19/2023 Royal Bank of Scotland Group PLC, 5.125% Due 5/28/2024 Santander UK Group Holdings, 4.75% Due 9/15/2025 Standard Chartered PLC, 5.7% Due 3/26/2044 UBM PLC, 5.75% Due 11/3/2020 Vedanta Resources PLC, 9.5% Due 7/18/2018 Total United Kingdom Total Foreign Corporate Bonds - 13.7% Foreign Asset Backed Issues Cayman Islands ALM Loan Funding, 3.228% Due 1/15/2025 Arrowpoint CLO Ltd, 3.406% Due 3/12/2026 Carlyle Global Market Strategy, 3.428% Due 10/15/2025 Madison Park Funding Ltd, 3.388% Due 10/23/2025 Pinnacle Park CLO Ltd, 4.128% Due 4/15/2026 Saratoga Investment Corp, 3.534% Due 10/20/2023 Shackleton CLO Ltd, 3.63% Due 1/13/2025 Venture CDO Ltd, 3.378% Due 4/15/2026 Total Cayman Islands Germany Magnus Dritte Immobilienbesitz, 7.25% Due 7/1/2024 (Euro Currency Unit) Magnus-Relda Holding Vier GMBH, 7.0% Due 10/28/2024 (Euro Currency Unit) Total Germany Netherlands C.S. European Mortgage Capital, 7.165% Adj, Due 7/20/2019 (Euro Currency Unit)

1,686

2,030

1,827

12,831

11,726

2,714,602

30,424

44,753

330,127

4,374

5,488

Total Foreign Asset Backed Issues - 0.5% Investments in Other Funds Western Asset Emerging Markets Corporate Credit Portfolio, LLC Investment Objective - To maximize total return by investing in U.S. dollar-denominated fixed income securities of non-U.S. issuers in developing markets. Redemption Provisions - Daily Western Asset Emerging Markets Local Debt Portfolio, LLC Investment Objective - To maximize total return by investing in lower rated debt and other fixed income securities of non-U.S. issuers. Redemption Provisions - Daily

See accompanying notes to financial statements.

West Virginia Investment Management Board G-13

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description Western Asset Floating Rate High Income Fund, LLC Investment Objective - To maximize total return by investing in U.S. dollar-denominated loans, loan participations and below investment grade fixed income securities.

Cost

Fair Value

2,278,232

34,956

43,567

1,628,846

26,060

30,648

2,304,890

25,185

32,149

5,167,722

50,053

86,342

5,778

126

170

11,916,104

119,161

117,552

290,339

360,669

45,508,950

45,509

45,509

471

-

-

275 275 508 1,208 440

208 243 421 872

(39) (57) 230 123 282 539

9,910,000 9,910,000 22,770,000 4,970,000 4,970,000 929 6,450,000 6,410,000 362 407

162 145 63 26 26 73 14 19 109 154

149 149 15 11 11 6 4 4 124 178

Redemption Provisions - Daily Western Asset Mortgage Backed Securities Portfolio, LLC Investment Objective - To maximize total return by investing in debt securities issued or guaranteed by the U.S. government. Redemption Provisions - Daily Western Asset Opportunistic Asian Securities Portfolio, LLC Investment Objective - To maximize total return by investing in debt and fixed income securities of Asian issuers. Redemption Provisions - Daily Western Asset Opportunistic Structured Securities Portfolio, LLC Investment Objective - To maximize total return by investing in primarily investment grade asset backed fixed income securities. Redemption Provisions - Daily Western Asset Opportunistic US Dollar High Yield Securities Portfolio, LLC Investment Objective - To maximize total return by investing in fixed income securities that are rated below investment grade at time of purchase. Redemption Provisions - Daily Western Asset Structured Product Opportunities, LLC Investment Objective - To maximize total return by investing in structured debt including, but not limited to, mortgage-backed securities, asset-backed securities, and other collateralized debt. Redemption Provisions - Daily Total Investments in Other Funds - 16.9% Money Market Mutual Fund Dreyfus Cash Management Institutional Fund - 2.1% Liquidating Trust Residential Capital LLC - 0.0% Options Contracts Purchased Call, strike price, expiration 3M GBP Libor Option, 98.875, 9/21/2016 (British Pound) 3M GBP Libor Option, 99, 9/21/2016 (British Pound) US Treasury 5Yr Option, 122, 7/22/2016 US Treasury 5Yr Option, 123, 7/22/2016 US Treasury 10Yr Option, 133, 7/22/2016 Total Calls Put, strike price, expiration BNP Paribas Swaption (CDX.NA.HY.26), 102, 9/21/2016 BNP Paribas Swaption (CDX.NA.HY.26), 102, 9/21/2016 CSFB Swaption (CDX.NA.HY.26), 95, 8/17/2016 CSFB Swaption (CDX.NA.HY.26), 98, 8/17/2016 Deutsche Bank Swaption (CDX.NA.HY.26), 98, 8/17/2016 Euro 90 Day Future Option, 99.125, 7/15/2016 JP Morgan Chase Bank Swaption (CDX.NA.HY.26), 95, 8/17/2016 JP Morgan Chase Bank Swaption (CDX.NA.HY.26), 95, 8/17/2016 US Treasury 10Yr Option, 132.25, 7/22/2016 US Treasury 10Yr Option, 132.5, 7/22/2016

See accompanying notes to financial statements.

West Virginia Investment Management Board G-14

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Par Value, Shares, Contracts, or Notional Value

Description US Treasury 5Yr Option, 118, 7/22/2016 Total Puts

Cost

250

3 794

2 653

1,666

1,192

4,536 4,423 3,454 3,653 83 4,811

4,536 4,423 3,454 3,653 83 4,811 20,960

4,536 4,423 3,454 3,653 83 4,811 20,960

1,124 788 21,741 4,295 734 601 2,634 6,705 4,154 1,336 3,866 7,102 1,640 1,936 1,019

1,124 788 21,741 4,295 734 601 2,634 6,705 4,154 1,336 3,866 7,102 1,640 1,936 1,019 59,675

1,124 788 21,741 4,295 734 601 2,634 6,705 4,154 1,336 3,866 7,102 1,640 1,936 1,019 59,675

4,292 3,862 3,948 4,268 3,658

4,292 3,862 3,948 4,268 3,658 20,028

4,292 3,862 3,948 4,268 3,658 20,028

100,663

100,663

Total Option Contracts Purchased - 0.1% Investments made with Cash Collateral for Securities Loaned Money Market Mutual Funds Blackrock Cash Funds: Prime - Institutional Shares Federated Money Market Management - Institutional Shares Fidelity Institutional Money Market Prime Money Market Portfolio Invesco Government Liquidity Funds Assets Portfolio Morgan Stanley Institutional Liquidity Funds Government Portfolio Morgan Stanley Institutional Liquidity Funds Prime Portfolio Total Money Market Mutual Funds Repurchase Agreements Barclays Bank PLC, 0.38% Due 7/1/2016 BNP Paribas Securities Corp, 0.38% Due 7/1/2016 Cantor Fitzgerald Securities Inc, 0.47% Due 7/1/2016 Citigroup Global Markets Inc, 0.46% Due 7/1/2016 Citigroup Global Markets Inc, 0.39% Due 7/6/2016 Deutsche Bank Securities Inc, 0.45% Due 7/1/2016 Deutsche Bank Securities Inc, 0.7% Due 7/5/2016 ING Bank NV, 0.55% Due 7/1/2016 Mizuho Securities USA Inc, 0.38% Due 7/1/2016 Mizuho Securities USA Inc, 0.4% Due 7/1/2016 Morgan, Stanley & Co. LLC, 0.56% Due 8/2/2016 Morgan, Stanley & Co. LLC, 0.68% Due 9/29/2016 Morgan, Stanley & Co. LLC, 0.73% Due 10/3/2016 Societe Generale, 0.4% Due 7/1/2016 Societe Generale, 0.51% Due 8/4/2016 Total Repurchase Agreements Time Deposits BNP Paribas, 0.28% Due 7/1/2016 Credit Agricole CIB, 0.31% Due 7/1/2016 HSBC Bank PLC, 0.35% Due 7/1/2016 Nordea Bank Finland PLC, 0.28% Due 7/1/2016 Svenska Handelsbanken AB, 0.3% Due 7/1/2016 Total Time Deposits Total Investments made with Cash Collateral for Securities Loaned - 4.7% Total Investments - 100.3% (a) (b)

Fair Value

$

Pending Bankruptcy In Default

See accompanying notes to financial statements.

West Virginia Investment Management Board G-15

2,049,047

$

2,149,802

Total Return Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands)

Type

Expiration Date

Description

Strike Price

Notional or Contracts

Premiums Received

Fair Value

Options Contracts Written Call Call Call Call Put Put Put Put

US Treasury 5Yr Option US Treasury 10Yr Option US Treasury 10Yr Option 3M GBP Libor Option (British Pound) BNP Paribas Swaption (CDX.NA.HY.26) US Treasury Long Bond Option BNP Paribas Swaption (CDX.NA.HY.26) BNP Paribas Swaption (CDX.NA.HY.26)

7/22/2016 7/22/2016 7/22/2016 9/21/2016 7/20/2016 7/22/2016 9/21/2016 9/21/2016

122.500 136.000 134.000 99.125 100.000 161.000 99.000 99.000

(604) (440) (92) (275) (20,170,000) (978) (19,820,000) (19,820,000)

Total Options Contracts Written - (0.0%)

(199) (81) (56) (169) (453) (158) (141) $

See accompanying notes to financial statements.

West Virginia Investment Management Board G-16

(1,257)

(137) (27) (27) 80 (21) (31) (136) (136) $

(435)

Total Return Fixed Income Pool Statement of Operations Year Ended June 30, 2016 (Amounts in thousands)

Investment income Interest, net of withholding taxes ($42) Dividends Net securities lending income

$

Total investment income

78,146 843 524 79,513

Expenses Investment advisor fees Trustee fees Custodian bank fees Management fees Fiduciary bond fees Professional service fees

(4,985) (6) (178) (609) (4) (119) Total expenses

(5,901)

Investment income, net

73,612

Realized and unrealized gain (loss) from investments and foreign currency Net realized gain (loss) from: Investments Futures contracts Options written Swaps contracts Foreign currency transactions

28,690 (4,446) 5,837 (4,074) (12,761) 13,246

Net change in unrealized appreciation (depreciation) on: Investments Futures contracts Options written Swaps contracts Translation of assets and liabilities in foreign currencies

(10,390) (3,949) 851 (17,898) 206 (31,180)

Net loss from investments and foreign currency Net increase in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board G-17

(17,934) $

55,678

Total Return Fixed Income Pool Statement of Changes in Net Assets Year Ended June 30, 2016 (Amounts in thousands, except unit data)

Operations Investment income, net Net realized gain from investments and foreign currency transactions Net change in unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies

$

73,612 13,246 (31,180)

Net increase in net assets from operations

55,678

Distributions to unitholders Investment income, net

(73,612)

Unit transactions Proceeds from sale of units Reinvestment of distributions Amount paid for repurchase of units

153,788 76,135 (461,699) Net decrease in net assets from unit transactions

(231,776)

Decrease in net assets

(249,710)

Net assets, beginning of year Net assets, end of year

2,393,619 $

2,143,909

Unit data Units sold Units issued from reinvestment of distributions Units repurchased

10,723,708 5,336,896 (32,543,438) Net decrease in units

See accompanying notes to financial statements.

West Virginia Investment Management Board G-18

(16,482,834)

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The accompanying financial statements reflect only the investments and investment related operations of the IMB’s Total Return Fixed Income Pool (Pool). They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP

State and Local GAAP

Not required Required Required Not required Required

Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. The main objective of this Pool is to earn superior returns with low volatility by actively investing in the extended fixed income markets. Dodge & Cox (DAC), Franklin Templeton Investments (FTI), and Western Asset Management Company (Western) manage the Pool. The Pool’s investment objective, net of external investment management fees, is to meet or exceed the Barclays Capital Universal Index. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The IMB reports its investments at fair value in accordance with the FASB’s ASC Topic 820 (ASC 820). Refer to Note 5 for further discussion and presentation of the reporting requirements under ASC 820.

West Virginia Investment Management Board G-19

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Fair value of the Pool’s portfolio securities is determined as follows: •

• • • • •

Fixed income securities are valued according to prices furnished by independent pricing services to the Pool’s custodian. These services determine the security prices by a number of methods including, but not limited to, dealer quotes, live market trading levels when available, live feeds of trade execution data, spreads over U.S. Treasury securities, and other models and formulae appropriate to the specific security type. Open-end regulated investment companies or other commingled investment funds are valued at the net asset value of the fund as reported by the fund’s administrator. Futures and option contracts are valued at the last settlement price established each day by the exchange on which they are traded. Credit default, interest rate, and currency swap values are based on market values received from third parties or are determined by valuation models. Foreign currency forward contracts are valued at the difference between the forward contract amount and the monthend forward exchange rate. Repurchase agreements and time deposits are valued at amortized cost, provided such amount approximates fair value.

Investments for which the fair value cannot be determined by one of the above listed processes are valued at fair value as determined in accordance with the IMB’s established procedures. Foreign Currency - Amounts denominated in or expected to settle in foreign currencies are translated into U.S. dollars at exchange rates reported by the Bank of New York Mellon on the following basis: • •

Market value of investment securities, other assets and liabilities - at the closing rate of exchange at the valuation date. Purchases and sales of investment securities, income and expenses - at the rate of exchange prevailing on the respective dates of such transactions.

The IMB isolates that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from market prices of securities held. Reported net realized foreign exchange gains and losses arise from sales of portfolio securities, sales and maturities of shortterm securities, sales of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities including investments in securities at month end, resulting from changes in the exchange rate. Option Contracts - The IMB may purchase or write bond, currency, or index option contracts that have recognized liquidity and are actively traded on major exchanges or are executed with major dealers. These option contracts give the purchaser (seller) of the contract the right to buy (call) or sell (put) the security, or settle cash for an index option, underlying the contract at an agreed upon price (strike price) during or at the conclusion of a specified period of time. Premiums paid upon the purchase of an option contract are recorded as an asset and subsequently adjusted to market value. Upon exercising a purchased option, a gain or loss is recorded equal to the difference between the market value of the underlying instrument and the strike price of the option, minus premiums paid. If the option expires unexercised, a loss is recognized in the amount of the premiums paid for the option.

West Virginia Investment Management Board G-20

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Premiums received when option contracts are written are recorded as a liability and subsequently adjusted to market value. If a written option contract expires unexercised, a gain is recorded equal to the amount of the premiums received. The difference between the premiums received and the amount paid to effect a closing transaction is also recorded as a gain or loss. When a written option is exercised, a gain or loss is recorded equal to the difference between the market value of the underlying instrument and the strike price of the option, minus premiums received. Written option contracts are used to enhance investment returns and reduce portfolio convexity when implied volatility is high. Purchased option contracts are used to increase portfolio convexity when implied volatility is low, to implement certain yield curve strategies, or to hedge sector exposure. When writing put options, there is risk that a loss may be incurred if the market price of the underlying instrument decreases and the option is exercised. This loss is determined by market conditions and cannot be specifically limited. The risk associated with writing call options is the loss of potential profit if the market price of the security increases and the option is exercised. Purchased put or call options bear the risk of loss of the premium paid if market conditions are not favorable to exercise the option. There may also be risk that the value of the option contract does not correlate perfectly with movements of the underlying instrument due to certain market distortions. The IMB limits its exposure to credit risk by only buying or selling options traded on major exchanges, or executed with major dealers. There is a risk of the inability to enter into a closing transaction if a liquid secondary market does not exist. The IMB maintains sufficient levels of cash or cash equivalents to meet cash flow obligations. Repurchase Agreements - In connection with transactions in repurchase agreements, it is the IMB's policy that its designated custodian or mutual third party take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the IMB may be delayed or limited. Security Loans - The IMB, through its lending agent, the Bank of New York Mellon, loans securities to various brokers on a temporary basis. Each transaction for international and domestic securities is secured by collateral based on the market value of the securities loaned. The required collateral percentage varies based on the type of collateral received and the type of security loaned. For U.S. securities, the required percentage of cash collateral and non-cash collateral consisting of debt obligations and securities issued by the United States Government or its agencies or instrumentalities is at least 102 percent of the market value of the securities loaned plus accrued income. For international securities, the required collateral is at least 105 percent of the market value of the securities on loan unless the foreign securities loaned are denominated and payable in U.S. Dollars, then the collateral shall be at least 102 percent of the market value of the securities loaned. Cash collateral received is invested in repurchase agreements, money market mutual funds, and time deposits. Such investments, except for repurchase transactions, are made at the risk of the Pool and, as such, the Pool is liable for investment losses. The lending agent contractually indemnifies the IMB for any repurchase agreement investment losses. Investments made with cash are reported at fair value on the Statement of Assets and Liabilities. Securities loaned remain on the Statement of Assets and Liabilities and Schedule of Investments. The IMB receives compensation in the form of loan premium fees and income from the investment of the cash collateral. Expenses related to the lending of securities are rebates paid by the lending agent to brokers and the lending agent’s fees for its services. The income earned by the IMB is reported in the Statement of Operations as net securities lending income. The IMB also continues to receive interest or dividends on the securities loaned. Gains or losses in the fair value of the securities loaned that may occur during the term of the loans are reflected in the Statement of Operations as a change in unrealized appreciation or depreciation on investments. Futures Contracts - A futures contract is an agreement between a buyer or a seller and the clearinghouse of a futures exchange in which the parties agree to buy or sell a commodity, financial instrument or index at a specified future date and price. Upon entering into a financial futures contract, the IMB is required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Cash (variation margin) is received from or paid to the broker for the fluctuations of the underlying securities or index. The IMB records futures at fair market value. Gains or losses on open futures positions are unrealized. These gains or losses become realized when the position is closed.

West Virginia Investment Management Board G-21

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Interest rate futures may be used to enhance portfolio yields, manage portfolio duration, or as an alternative investment of cash. The market risk associated with holding interest rate futures results from changes in the market value of the contractual positions due to changes in the value of the underlying instruments or indices. Investment risk associated with these futures contracts arises because the value of the futures contracts may not correlate perfectly with changes in the values of the underlying instruments or indices due to market distortions. Other risks associated with futures contracts are liquidity risk and credit risk. Liquidity risk arises when there is insufficient trading in a particular futures contract. Credit risk arises from the potential inability of counterparties to meet the terms of the contracts. The IMB’s managers generally only utilize futures contracts that are traded on major exchanges or are executed with major dealers. The major exchanges assume the risk of a counterparty default and generally require an initial margin deposit of cash or securities. Foreign Currency Forward Contracts - A foreign currency forward contract is an agreement between two parties to exchange different currencies at a specified exchange rate at an agreed upon future date. The IMB enters into such contracts to take advantage of the relative changes in currency exchange rates. Risks associated with such contracts include movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. These contracts are valued at the prevailing market exchange rates at month end. An unrealized gain or loss is recorded as the difference between the amount valued at month end and the amount to be received or paid at the expiration date. The unrealized gain or loss is reclassified to realized gain or loss when the contract expires. Credit Default Swaps - Credit default swaps are agreements between counterparties to transfer the credit risk of referenced debt securities. The buyer of the credit default swap gains protection against a negative credit event such as a default or credit rating downgrade and the seller assumes the credit risk and is obligated to pay upon the occurrence of such an event. Fair values are based on market values received from third parties or are determined by valuation models. Credit default swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Upfront payments received or made by the Pool on credit default swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid are recorded as interest income. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In accordance with its principal investment strategy, the Pool enters into credit default swaps as a seller of protection primarily to gain exposure similar to the high yield bond market. Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. If a credit event occurs, as defined under the terms of the swap agreement, the Pool will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The Notional Principal reflects the maximum potential amount the Pool could be required to pay as a seller of credit protection if a credit event occurs. As the seller of protection, the Pool receives periodic premium payments from the counterparty and may also receive or pay an upfront premium adjustment to the stated periodic premium. The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

West Virginia Investment Management Board G-22

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Interest Rate Swaps - Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Interest rate swaps do not involve the exchange of principal between the parties. Interest is paid or received periodically. Fair values are based on market values received from third parties or are determined by valuation models. Currency Swaps - Currency swaps represent agreements between counterparties to exchange principal and interest payments in one currency for principal and interest payments of another currency. Fair values are based on market values received from third parties or are determined by valuation models. Asset-Backed Securities - The Pool invests in various asset-backed securities, mortgage-backed securities, and structured corporate debt. The securities are reported at fair value, which is determined by a third party pricing service based on asset portfolio pricing models and other sources. The Pool invests 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. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. 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. Interest Income - Interest income is recognized as earned on the accrual method. 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 reflected in the Statement of Operations in the year of the change. Interest income also includes paydown gains and losses on mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities. Dividend Income - Dividend income is recognized on the ex-dividend date. Distributions to Participants - The monthly net investment income of the Pool is declared as a dividend on the last day of the month and distributed to the participants of the Pool on the first day of the following 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 Net Assets. The Pool does not routinely distribute dividends of net realized gains. Expenses - The IMB's Trustees adopt an annual budget and fee schedule for services to be provided to all of the investment pools under its management. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. These other expenses are allocated to the individual pools based on asset size. The IMB pays all expenses on behalf of the Pool. In addition to these direct and allocated expenses, the Pool bears certain expenses indirectly, such as fees of other investment funds in which the Pool invests that are reflected in the reported net asset value of such funds. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for income taxes is required as of June 30, 2016.

West Virginia Investment Management Board G-23

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Indemnifications - In the normal course of business, the IMB has entered into contracts that provide a variety of indemnifications. Any exposure to the Pool under these arrangements would involve future claims that may be made against the IMB. The Pool’s maximum exposure under these arrangements is unknown. No such claims have occurred, nor are they expected to occur therefore the IMB expects the risk of loss to be remote. NOTE 3. INVESTMENT RISK DISCLOSURES Credit Risk The IMB limits the exposure to credit risk in the Pool by maintaining at least an average rating of investment grade as defined by the Nationally Recognized Statistical Rating Organizations. The following table provides the weighted average credit ratings of the rated assets in the Pool as of June 30, 2016.

Investment Type Bank loan Corporate asset backed issues Corporate CMO Corporate preferred securities Foreign asset backed issues Foreign corporate bonds Foreign government bonds Money market mutual funds Municipal bonds Time deposits U.S. corporate bonds U.S. Government agency bonds U.S. Government agency CMO U.S. Government agency CMO interestonly U.S. Government agency MBS U.S. Government agency TBA U.S. Treasury bonds U.S. Treasury inflation-protected securities Total rated investments Common stock Corporate ABS residual Investments in other funds Options contracts purchased Total investments

Moody’s B A Ba Ba A Baa Ba Aaa A P-1 Baa Aaa Aaa Aaa

S&P B A BB BB A BBB BB AAA A A-1 BBB AA AA AA

Aaa Aaa Aaa Aaa

AA AA AA AA

Fair Value $

936 36,980 27,879 10,472 11,726 293,586 217,700 66,469 40,081 20,028 542,373 3,332 64,627 6,519

$

275,666 637 107,797 26,550 1,753,358 32,528 5,385 360,669 1,192 2,153,132

Percent of Total Investments 0.0% 1.7 1.3 0.5 0.5 13.6 10.1 3.1 1.9 0.9 25.2 0.2 3.0 0.3 12.8 0.0 5.0 1.2 81.3 1.5 0.3 16.8 0.1 100.0%

This table includes investments received as collateral for repurchase agreements with a fair value of $63,005 as compared to the amortized cost of the repurchase agreements of $59,675. Concentration of Credit Risk The Pool is restricted from investing more than 5 percent of the value of the Pool in any one corporate name. At June 30, 2016, the Pool was in compliance with this restriction and is not exposed to concentration of credit risk. Custodial Credit Risk At June 30, 2016, the Pool held no securities that were subject to custodial credit risk. Repurchase agreements, when held, are collateralized at 102 percent and the collateral is held in the name of the IMB. Investments in commingled funds are held in an account in the name of the IMB. All remaining securities are held by the IMB’s custodian in the name of the IMB.

West Virginia Investment Management Board G-24

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 3. INVESTMENT RISK DISCLOSURES (continued) Interest Rate Risk The IMB monitors interest rate risk of the Pool by evaluating the effective duration of the investments in the Pool. The following table provides the weighted average effective duration for the various asset types in the Pool as of June 30, 2016.

Investment Type Bank loan Corporate asset backed issues Corporate ABS residual Corporate CMO Corporate preferred securities Foreign asset backed issues Foreign corporate bonds Foreign government bonds Investment in other funds Money market mutual funds Municipal Bonds Options contracts purchased Repurchase agreements Time deposits U.S. corporate bonds U.S. Government agency bonds U.S. Government agency CMO U.S. Government agency CMO interest-only U.S. Government agency MBS U.S. Government agency TBA U.S. Treasury bonds U.S. Treasury inflation-protected securities Total investments

Fair Value $

$

936 36,980 5,385 27,879 10,472 11,726 292,987 217,698 360,669 66,469 40,081 1,192 59,675 20,028 540,049 2,699 64,627 6,519 254,842 637 101,702 26,550 2,149,802

Effective Duration (years) 0.1 1.8 N/A 1.9 0.1 2.4 6.6 6.0 2.9 N/A 10.4 N/A 0.0 0.0 8.3 3.3 0.9 34.0 1.7 0.0 3.0 19.5 5.1

The Pool invests in commercial and residential mortgage-backed securities, asset-backed securities, and collateralized mortgage obligations. The cash flows from these securities are based on the payment of the underlying collateral. The effective duration and yield to maturity of these securities are dependent on estimated prepayment assumptions that consider historical experience, market conditions and other criteria. Actual prepayments may vary with changes in interest rates. Rising interest rates often result in a slower rate of prepayments while declining rates tend to lead to faster prepayments. As a result, the fair values of these securities are highly sensitive to interest rate changes. At June 30, 2016, the Pool held $407,958 of these securities. This represents approximately 19 percent of the value of the Pool’s securities. Foreign Currency Risk The Pool has foreign government bonds and foreign corporate bonds that are denominated in foreign currencies and are exposed to foreign currency risks. The Pool also has foreign denominated futures contracts, a currency swap, and foreign exchange forward contracts. Refer to Notes 7, 8, and 9, respectively, for details on these contracts. Additionally, the Pool has indirect exposure to foreign currency risk through its ownership interests in certain of the commingled investment pools. Approximately $82,390, or 23 percent, of the commingled investment pools hold substantially all of their investments in foreign currencies. This represents approximately 4 percent of the value of the Pool’s securities. The amounts at fair value (in U.S. dollars) of investments and cash denominated in foreign currencies as of June 30, 2016, are as follows:

West Virginia Investment Management Board G-25

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 3. INVESTMENT RISK DISCLOSURES (continued)

Currency Brazil Real British Pound Colombian Peso Deutsche Mark Euro Currency Unit Ghana Cedi Indian Rupee Japanese Yen Kenyan Shilling Mexican Peso Russian Ruble South African Rand Turkish Lira Ugandan Shilling Uruguayan Peso Zambian Kwacha Total

$

$

Investments 18,357 (16) 3,827 2,242 7,012 1,871 3,192 50,390 2,149 36,421 9,159 4,814 5,094 1,919 3,759 150,190

Cash $

$

Total 739 29 4,749 308 1,458 588 192 311 8,374

$

$

19,096 13 3,827 2,242 11,761 2,179 3,192 51,848 2,149 36,421 9,747 5,006 5,094 1,919 3,759 311 158,564

Percent of Total Investments and Cash 0.9% 0.0 0.2 0.1 0.5 0.1 0.1 2.4 0.1 1.7 0.4 0.2 0.2 0.1 0.2 0.0 7.2%

This table excludes investments and cash held by the Pool that are denominated in U.S. dollars. The market value of the U.S. dollar denominated investments and cash is $2,029,009. This represents approximately 93 percent of the value of the Pool’s investments and cash. NOTE 4. DERIVATIVE FINANCIAL INSTRUMENTS Derivative financial instruments held in the Pool may include foreign exchange contracts, futures, options, credit default swaps, interest rate swaps, and currency swaps. None of these derivative financial instruments are designated as hedging instruments under ASC 815; they are used to implement portfolio strategy, capture valuation opportunities, and to exploit market inefficiencies. The primary risks managed by using these derivative financial instruments include interest rate, foreign exchange rate, and market price risks. See Note 2 for additional information on the Pool’s purpose for entering into derivatives and for discussion on the risks associated with investing in these derivatives. The Pool, through its investment managers, is a party to International Swap and Derivative Association, Inc. (ISDA) Master Agreements (MA) that may allow the netting of counterparty’s obligations against those of the Pool in the event of a default by the counterparty. The Pool is required to disclose the positions held at year-end that were entered into pursuant to agreements that allow for such netting.

West Virginia Investment Management Board G-26

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 4. DERIVATIVE FINANCIAL INSTRUMENTS (continued) The table below presents the fair value of the derivative financial instruments recorded in the Statement of Assets and Liabilities as of June 30, 2016:

Assets Investments at fair value Unrealized appreciation on swap contracts Unrealized appreciation on futures contracts Unrealized appreciation on foreign currency forward contracts Total

Credit Contracts $ 343

143

252

442

-

837

5,597

-

-

-

5,597

$

6,589

$

Interest Rate Contracts

Liabilities Options contracts written at fair value Unrealized depreciation on swap contracts Unrealized depreciation on futures contracts Unrealized depreciation on foreign currency forward contracts Total

Foreign Exchange Contracts

Interest Rate Contracts $ 849

$

595

$

$

Credit Contracts

(142)

$

(17,920)

-

$

442

$

-

$

(25,075)

$

( 573)

-

-

$

$

(435)

-

(18,200)

-

(7,013)

(4,747) (4,747)

$

1,054 8,680

Total -

(280)

Total 1,192

$

Foreign Exchange Contracts -

-

$

1,054 1,054

$

Currency Contracts

(293)

(7,013)

$

Currency Contracts

(4,747) (30,395)

$

At June 30, 2016, the Pool had pledged cash of $34,940 to cover margin requirements on open derivative contracts and counterparties had deposited in segregated accounts securities with a value of $642 in connections with open swap contracts. For financial reporting purposes, the Pool does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. The following table presents the Pool’s derivative assets and liabilities net of amounts available for offset under a netting provision and net of related collateral pledged or received by the Pool as of June 30, 2016.

Derivative Type Foreign currency forwards Swaps Total

Derivative Type Foreign currency forwards Swaps Total

Derivative Assets Subject to a MA $ $

77 511 588

Derivatives Available for Offset $ $

Derivative Liabilities Subject to a MA $ $

(834) (17) (851)

(44) (17) (61)

Non-Cash Collateral Received $ $

Derivatives Available for Offset $ $

44 17 61

Cash Collateral Received

(442) (442) Non-Cash Collateral Pledged

$ $

$ $

-

Cash Collateral Pledged -

West Virginia Investment Management Board G-27

$ $

260 260

Net Amount of Derivative Assets $ $

33 52 85

Net Amount of Derivative Liabilities $ $

(530) (530)

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 4. DERIVATIVE FINANCIAL INSTRUMENTS (continued) The table below presents the impact of the derivative financial instruments recorded in the Statement of Operations for the year ended June 30, 2016:

Realized Gain (Loss) From: Investments Futures contracts Options written Swap contracts Foreign currency transactions Total Net Change in Unrealized Appreciation (Depreciation) From: Investments Futures contracts Options written Swap contracts Translation of assets and liabilities in foreign currency Total

Interest Rate Contracts $ (9,490) (4,446) 5,278 (1,870)

$

(10,528)

Interest Rate Contracts $ (528) (3,949) 676 (17,777)

$

(21,578)

Credit Contracts $ (102) 559 (2,204)

$

(1,747)

Credit Contracts $ (112) 175 (97)

$

(34)

Foreign Exchange Contracts

Currency Contracts $

-

$

$

$

(24)

4 (20)

$

(5,438) (5,438)

$

$

Foreign Exchange Contracts

Currency Contracts $

-

$

$

-

(6,076) (6,076)

$

$

Total (9,592) (4,446) 5,837 (4,074) (5,438) (17,713)

Total (640) (3,949) 851 (17,898)

(6,072) (27,708)

The average volume of financial derivative activity for the year ended June 30, 2016, was as follows: Average notional value of: Foreign currency forward contracts Futures contracts Option contracts Option contracts written Swap contracts

$

123,994 1,589,079 343,930 259,335 826,228

NOTE 5. FAIR VALUE MEASUREMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Fair value of an investment is the amount 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 (i.e., the exit price). ASC 820 established a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical financial instruments (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are: Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 2 Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not considered active; observable inputs other than observable quoted prices for the asset or liability; or inputs derived principally from or corroborated by observable market data. Level 3 Unobservable pricing inputs for assets and liabilities.

West Virginia Investment Management Board G-28

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 5. FAIR VALUE MEASUREMENTS (continued) In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. U.S. GAAP does not require the Pool to categorize within the fair value hierarchy table investments for which fair value is measured using the net asset value per share practical expedient. The table that follows sets forth information about the level within the fair value hierarchy at which the Pool’s assets and liabilities are measured at June 30, 2016. All of the Pool’s investments in other funds were valued using the net asset value per share practical expedient, as such they have not been categorized in the fair value hierarchy. Assets Bank loan Corporate asset backed issues Corporate ABS residual Corporate CMO Corporate preferred security Foreign asset backed issues Foreign corporate bonds Foreign currency forward contracts Foreign government bonds Futures contracts Investments made with cash collateral for securities loaned Money market mutual fund Municipal bonds Options contracts purchased Swaps U.S. corporate bonds U.S. Government agency bond U.S. Government agency CMO U.S. Government agency CMO interest-only U.S. Government agency MBS U.S. Government agency TBA U.S. Treasury bonds U.S. Treasury inflation protected securities Total Investments in other funds Total Liabilities Foreign currency forward contracts Futures contracts Options contracts written Swaps Total

Level 1 $

$

10,472 5,597

$

Level 2 936 36,980 5,385 27,879 11,726 292,987 1,054 217,698 -

Level 3 $

-

$

Total 936 36,980 5,385 27,879 10,472 11,726 292,987 1,054 217,698 5,597

20,960 45,509 849 -

79,703 40,081 343 837 540,049 2,699 64,627

-

100,663 45,509 40,081 1,192 837 540,049 2,699 64,627

-

6,519 254,842 637 101,702

-

6,519 254,842 637 101,702

83,387

26,550 $ 1,713,234

-

26,550 $ 1,796,621 360,669 $ 2,157,290

-

$

Level 1 $

$

(7,013) (142) (7,155)

Level 2 (4,747) (293) (18,200) $ (23,240) $

There were no transfers in or out of Levels 1 and 2 during the year ended June 30, 2016.

West Virginia Investment Management Board G-29

$

Level 3 $

$

$

Total (4,747) (7,013) (435) (18,200) (30,395)

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 6. SECURITIES LENDING The following table presents the amounts of various accounts related to securities lending at June 30, 2016.

Securities on loan

Fair Value 207,311

$

Collateral received: Cash Non-cash Total collateral received

$

100,663 111,325 211,988

$

The Bank of New York Mellon (BNYM), as agent for the IMB, loans the IMB’s securities to various counterparties. These transactions are executed under Master Securities Lending Agreements (MSLA) which permit BNYM under certain circumstances, such as defaults, to offset amounts payable to the same counterparty against amounts to be received and thus create one single net payment due to or from the counterparty. The amounts listed in the above table represent all securities loaned which are subject to a MSLA on a net payment basis. The IMB has elected not to offset the fair value of the securities on loan against the liability for the return of the collateral on the Statement of Assets and Liabilities. NOTE 7. FUTURES CONTRACTS At June 30, 2016, open positions in futures contracts denominated in U.S. dollars were as follows:

Expiration Sep 2016 Sep 2016 Dec 2016 Mar 2017 Sep 2016 Sep 2016 Sep 2016 Sep 2016 Sep 2016 Sep 2016

Open Contracts 2,092 147 (300) (1,190) (480) (71) (271) (104) (247) (146)

Position

US Treasury 5 Yr Note Future US Ultra Bond Future Euro 90 Day Future Euro 90 Day Future US Long Bond Future US Treasury 2 Yr Note Future US Treasury 10 Yr Note Future US Treasury 10 Yr Note Future US Treasury 10 Yr Note Future US Ultra Bond Future

Long Long Short Short Short Short Short Short Short Short

Notional Value at June 30, 2016

Notional Value Upon Entering Contract

Unrealized Appreciation (Depreciation)

$

$

$

255,567 27,397 (74,494) (295,432) (82,725) (15,572) (36,039) (15,150) (32,847) (27,211) $ (296,506)

$

251,778 25,683 (74,314) (295,075) (82,819) (15,465) (35,129) (14,596) (32,727) (25,424) (298,088)

3,789 1,714 (180) (357) 94 (107) (910) (554) (120) (1,787) 1,582

$

At June 30, 2016, open positions in futures contracts denominated in foreign currencies were as follows:

Expiration Sep 2016 Sep 2016

Open Contracts

Currency Position

(570) Euro Bund Future EUR (100) JPN 10Yr Bond Future JPY

Short Short

Notional Value at June 30, 2016 Local Currency (95,258) (15,292,000)

Initial Notional Value Local Currency (93,321) (15,205,200)

June 30, 2016 Exchange Rate 1.1109 0.0097

Unrealized Appreciation (Depreciation) U.S. Dollars $ $

West Virginia Investment Management Board G-30

(2,152) (846) (2,998)

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 8. SWAPS At June 30, 2016, the open positions in credit default swaps were as follows:

Underlying Company / Termination Interest Rate Credit Index Date Receive (Pay)

Counterparty

Buyer Protection Citigroup Global Markets CDX.NA.HY.23 Goldman Sachs CDX.NA.HY.26 Barclays Capital CDX.NA.HY.26 Seller Protection Deutsche Bank* Barclays Capital JP Morgan Chase & Co Citigroup Global Markets Deutsche Bank* Total

12/20/2019 06/20/2021 06/20/2021

Berkshire Hathaway Inc CDX.NA.HY.25 CDX.NA.IG.25 CDX.NA.IG.25 Fed Republic of Brazil

03/20/2024 12/20/2020 12/20/2020 12/20/2020 12/20/2020

(5.0% Fixed) (5.0% Fixed) (5.0% Fixed) 1.0% 5.0% 1.0% 1.0% 1.0%

Upfront Unrealized Notional Premiums Appreciation Value Paid (Received) (Depreciation) $ 10,903 10,090 11,010

Fixed Fixed Fixed Fixed Fixed

$

2,130 2,831 6,230 6,230 981 $

(690) $ (133) (291)

(8) (192) (63)

(37) (13) 29 15 (146) (1,266) $

(17) 129 20 34 69 (28)

At June 30, 2016, the open position in a currency swap was as follows: Receiving Counterparty

Maturity Date

Notional

Rate

Paying Premiums Paid

Barclays Capital* 07/01/2024 $ 1,632 USD 9.01% Fixed $ 1,632

Notional

Rate

Unrealized Premiums Appreciation Received (Depreciation)

1,200 EUR 7.25% Fixed $ (1,631) $

442

Included in the unrealized appreciation (depreciation) amount on the currency swap is unrealized appreciation of $298 due to the translation of foreign currency to U.S. dollars. At June 30, 2016, the open positions in interest rate swaps were as follows:

Counterparty Barclays Capital Deutsche Bank RBS Holdings USA Inc Barclays Capital BNP Paribas BNP Paribas Total

Maturity Date 02/15/2041 02/15/2041 10/31/2022 11/30/2022 06/13/2021 06/13/2026

Receiving Rate Base 0.63% 0.63% 0.64% 0.67% 1.19% 0.66%

Floating Floating Floating Floating Fixed Floating

3M Libor 3M Libor 3M Libor 3M Libor N/A 3M Libor

Paying Rate

Base

Notional Value

2.72% Fixed 2.49% Fixed 1.90% Fixed 1.90% Fixed 0.66% Floating 1.58% Fixed

N/A N/A N/A N/A 3M Libor N/A

$ 12,804 13,332 49,600 200,508 15,750 15,720

Premiums Unrealized Paid Appreciation (Received) (Depreciation) $

$

* Available for offset under a netting provision.

West Virginia Investment Management Board G-31

(22) $ 232 1,265 2 1,477 $

(2,343) (1,809) (2,614) (10,888) 143 (266) (17,777)

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 9. FOREIGN CURRENCY FORWARD CONTRACTS At June 30, 2016, open foreign currency forward contracts were as follows:

Position Long Long Long Long Long Long Long Long Long Short Short Short Short Short Short Short Short Short Short Short Short Short Short Short Short Short Short

Foreign Currency

T rade Date

Settlement Date

Euro Currency Unit c Euro Currency Unit a Euro Currency Unit c Euro Currency Unit a Ghana Cedia,g Japanese Yen c Japanese Yen c Mexican Peso e Mexican Peso e Brazil Reala Brazil Reald,g Brazil Reald,g Euro Currency Unit b Euro Currency Unit f Euro Currency Unit c Euro Currency Unit a,g Euro Currency Unit c,g Euro Currency Unit c Euro Currency Unit c Euro Currency Unit c,g Japanese Yen a Japanese Yen c Japanese Yen c,g Japanese Yen c Japanese Yen a Japanese Yen c Mexican Peso e

04/04/2016 04/05/2016 05/26/2016 06/28/2016 06/30/2016 04/04/2016 06/30/2016 05/04/2016 06/20/2016 04/04/2016 06/06/2016 06/10/2016 05/04/2016 05/05/2016 05/05/2016 06/08/2016 06/08/2016 06/14/2016 06/29/2016 06/30/2016 04/05/2016 05/05/2016 06/08/2016 06/17/2016 06/28/2016 06/30/2016 06/23/2016

07/14/2016 07/14/2016 08/12/2016 07/14/2016 07/07/2016 07/14/2016 07/01/2016 08/12/2016 08/12/2016 07/14/2016 09/06/2016 09/12/2016 08/12/2016 08/12/2016 08/12/2016 09/13/2016 09/13/2016 08/12/2016 08/12/2016 07/05/2016 07/14/2016 08/12/2016 09/13/2016 08/12/2016 07/14/2016 07/14/2016 08/12/2016

Receivable (in foreign (in U. S. currency) dollars) 1,120 11,920 1,800 5,120 1 1,205 24,200 103,575 17,813

1,245 13,249 2,003 5,691 12 236 5,590 961 7,696 4,145 4,125 4,793 5,391 18,103 1,258 1,715 1,035 1,219 68 7,877 37,136 2,406 250 2,084 235 6,413 $ 134,936

Payable (in foreign (in U. S. currency) dollars)

$

$

28,458 15,000 14,500 4,160 4,700 15,789 1,100 1,500 920 1,100 61 868,320 3,967,454 256,000 26,000 213,296 24,200 117,540

Counterparty, Moody's Rating, S&P Rating a - Barclays PLC, Baa, BBB b - BNY Mellon, A, A c - Citigroup Inc, Baa, BBB d - Deutsche Bank, A, BBB e - Morgan Stanley, A, BBB f - UBS AG, Ba, A g - Available for offset under a netting provision.

West Virginia Investment Management Board G-32

1,280 13,577 2,019 5,670 11 235 5,785 950 8,844 4,584 4,424 4,629 5,230 17,569 1,225 1,671 1,024 1,224 68 8,468 38,726 2,502 254 2,080 236 6,344 $ 138,629

Unrealized Appreciation (Depreciation) $

$

(35) (328) (16) 21 1 1 (195) 11 (1,148) (439) (299) 164 161 534 33 44 11 (5) (591) (1,590) (96) (4) 4 (1) 69 (3,693)

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 10. INVESTMENT ADVISORY FEES The IMB has approved investment advisory agreements with DAC, FTI, and Western to manage the investments of the Pool. These agreements provide for quarterly payments, based on average end of month assets under management, to the investment advisors. The IMB makes these payments and the Pool transfers funds to the IMB to facilitate the payments. The fees paid to DAC are based on a descending scale of fee rates ranging from 0.40 percent annually on the first $10 million of assets under management to 0.12 percent annually on assets between $125 million and $700 million. For assets greater than $700 million the fee rate is 0.10 percent annually. The effective fee rate earned by DAC for the year ended June 30, 2016, was 0.12 percent. The fees paid to FTI are based on a descending scale of fee rates ranging from 0.70 percent annually on the first $100 million of assets under management to 0.50 percent annually on assets between $100 million and $200 million. For assets greater than $200 million the fee rate is 0.40 percent annually. The effective fee rate earned by FTI for the year ended June 30, 2016, was 0.62 percent. The fees paid to Western are based on a descending scale of fee rates ranging from 0.40 percent annually on the first $500 million of assets under management to 0.10 percent annually on assets between $1.5 billion and $2 billion. For assets greater than $2 billion the fee rate is 0.05 percent annually. The maximum fee allowable under the agreement is 0.25 percent annually of the net assets under management. The effective fee rate earned by Western for the year ended June 30, 2016, was 0.25 percent. NOTE 11. FINANCIAL HIGHLIGHTS Per Unit Operating Performance (a): Net asset value at June 30, 2015 Income from investment operations: Net investment income Net realized and unrealized loss on investment and foreign currency transactions Total from investment operations Less distributions from net investment income Net asset value at June 30, 2016

$

14.53

$

0.46 (0.07) 0.39 (0.46) 14.46 2.8%

Total Return (b) Supplemental Data: Ratio to average net assets (c): Expenses Net investment income Portfolio turnover rate (a) Calculation based on the average shares outstanding (b) Return data is net of fees for the full fiscal year (c) All ratios are for the fiscal year and do not reflect the Pool’s proportionate share of income and expenses of the underlying investee funds.

West Virginia Investment Management Board G-33

0.26% 3.22% 47.43%

Total Return Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 12. SCHEDULE OF PARTICIPATION The following schedule provides the value of participants’ accounts in the Pool at June 30, 2016. The balances do not include the distribution declared by the Pool on the last day of the month and reinvested to the participant’s account on the first day of the following month. Participant Teachers' Retirement System Public Employees' Retirement System Workers' Compensation Old Fund Revenue Shortfall Reserve Fund - Part B Revenue Shortfall Reserve Fund Coal Workers' Pneumoconiosis Fund West Virginia Retiree Health Benefit Trust Fund State Police Death, Disability and Retirement Fund Public Employees Insurance Agency West Virginia Department of Environmental Protection Agency Board of Risk and Insurance Management Judges' Retirement System Deputy Sheriff's Retirement System State Police Retirement System Workers' Compensation Self-Insured Employer Security Risk Pool West Virginia Prepaid Tuition Trust Fund Workers' Compensation Self-Insured Employer Guaranty Risk Pool Emergency Medical Services Retirement System Wildlife Endowment Fund Workers' Compensation Uninsured Employers' Fund West Virginia Department of Environmental Protection Trust Berkeley County Development Authority Municipal Police Officers' and Firefighters' Retirement System Municipal Policemen’s or Firemen’s Pension and Relief Funds Total

Account Value 572,691 509,586 471,875 143,124 86,515 57,183 55,311 50,489 46,613 30,391 29,183 15,443 15,204 13,364 12,811 12,647 7,535 5,364 4,960 1,997 699 550 258 116 $ 2,143,909 $

NOTE 13. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through September 9, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board G-34

June 30, 2016

H

OPPORTUNISTIC DEBT POOL

AUDITED FINANCIAL STATEMENTS

Opportunistic Debt Pool Financial Statements - Unaudited June 30, 2016 Table of Contents

Independent Auditors’ Report

Statement of Assets and Liabilities

H-1

Schedule of Investments

H-2

Statement of Operations

H-3

Statement of Changes in Net Assets

H-4

Statement of Cash Flows

H-5

Notes to Financial Statements

H-6

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board Opportunistic Debt Pool, which comprise the statement of assets and liabilities, including the schedule of investments, as of June 30, 2016, and the related statements of operations, changes in net assets and cash flows for the period October 1, 2015 (inception date) to June 30, 2016, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board Opportunistic Debt Pool at June 30, 2016, and the results of its operations, changes in its net assets and its cash flows for the period October 1, 2015 (inception date) to June 30, 2016, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

October 5, 2016

A member firm of Ernst & Young Global Limited

Opportunistic Debt Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands, except unit data)

Assets Investments at fair value (cost $113,211) Dividends receivable

$

Total assets

114,258 1 114,259

Liabilities Accrued expenses

13 Net assets

$

114,246

$

11,366,024 10.05

Unit data Units outstanding Net asset value, unit price

See accompanying notes to financial statements.

West Virginia Investment Management Board H-1

Opportunistic Debt Pool Schedule of Investments June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Direct Lending Funds AG Mountain Laurel Direct Lending Fund, L.P. Investment Objective - To generate current income while preserving capital primarily through investments in senior secured loans to middle market companies domiciled in the U.S.

Cost

$

Fair Value

23,800

$

23,670

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Opportunistic Debt Pool. WV Direct Lending, LLC Investment Objective - To generate current income while preserving capital primarily through investments in senior secured loans to middle market companies domiciled in North America.

89,311

90,488

113,111

114,158

100

100

Redemption Provisions - Upon termination of the limited liability company. See below for additional information on underlying investments that exceed 5% of net assets of the Opportunistic Debt Pool. Total Direct Lending Funds - 99.9% Money Market Mutual Fund Dreyfus Cash Management Institutional Fund - 0.1%

99,556

Total Investments - 100.0%

$

113,211

$

114,258

The following investments held by WV Direct Lending, LLC represent 5% or more of the Opportunistic Debt Pool's Net Assets as of June 30, 2016. Disclosure of the individual names of the borrowers are prohibited by the confidentiality clause in the WV Direct Lending, LLC agreement. Industry - Percent of Investment Debt Instruments Aerospace & Defense, 7.5% Due 2/6/2018 - 9.5% Beverages, 7.5% Due 2/2/2021 - 10.0% Communication Equipment, 9.0% Due 3/28/2019 - 7.6% Construction & Engineering, 8.0% Due 12/22/2020 - 10.4% Diversified Consumer Services, 7.0% Due 1/31/2022 - 8.4% Hotels, Restaurants & Leisure, 8.75% Due 12/11/2017 - 9.0% Household Durables, 9.0% Due 6/18/2019 - 7.8%

Par Value

$

8,600 8,998 6,800 9,401 7,851 8,194 7,089

Cost

$

See accompanying notes to financial statements.

West Virginia Investment Management Board H-2

Fair Value

8,443 8,812 6,749 9,233 7,624 8,194 7,044

$

8,599 9,022 6,868 9,420 7,617 8,170 7,102

Opportunistic Debt Pool Statement of Operations For the period October 1, 2015 (inception date) to June 30, 2016 (Amounts in thousands)

Investment income Dividends

$ Total investment income

47 47

Expenses Custodian bank fees Management fees Professional service fees

(1) (12) (161) Total expenses

(174)

Investment loss, net

(127)

Unrealized gain from investments Net change in unrealized appreciation (depreciation) on investments

1,047

Net gain from investments Net increase in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board H-3

1,047 $

920

Opportunistic Debt Pool Statement of Changes in Net Assets For the period October 1, 2015 (inception date) to June 30, 2016 (Amounts in thousands, except unit data)

Operations Investment loss, net Net change in unrealized appreciation (depreciation) on investments

$

Net increase in net assets from operations

(127) 1,047 920

Unit transactions Proceeds from sale of units Amount paid for repurchase of units

121,578 (8,252) Net increase in net assets from unit transactions

113,326

Increase in net assets

114,246

Net assets, beginning of period

-

Net assets, end of period

$

114,246

Unit data Units sold Units repurchased

12,192,235 (826,211) Net increase in units

See accompanying notes to financial statements.

West Virginia Investment Management Board H-4

11,366,024

Opportunistic Debt Pool Statement of Cash Flows For the period October 1, 2015 (inception date) to June 30, 2016 (Amounts in thousands)

Cash flows from operating activities Net increase in net assets from operations

$

Adjustments to reconcile net increase in net assets from operations to net cash used in operating activities: Contributions to direct lending funds Purchases and sales of short-term investment securities, net Increase in dividends receivable Increase in accrued expenses Net change in unrealized appreciation (depreciation) on investments

920

(113,111) (100) (1) 13 (1,047)

Net cash used in operating activities

(113,326)

Cash flows from financing activities Proceeds from units sold Paid for repurchase of units

121,578 (8,252) Net cash provided by financing activities

113,326

Net change in cash

-

Cash Beginning of period balance End of period balance

$

See accompanying notes to financial statements.

West Virginia Investment Management Board H-5

-

Opportunistic Debt Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The Opportunistic Debt Pool (Pool) began operations on October 1, 2015. The accompanying financial statements reflect only the investments and investment related operations of the IMB’s Opportunistic Debt Pool. They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP Not required Required Required Not required Required

State and Local GAAP Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. The Pool was established to hold the IMB’s investments in middle market direct loans. Assets are managed by Angelo, Gordon & Co. and TCW Asset Management Company. The objective of the Pool is to generate a total net return of 7-9% over a normal market cycle (typically a 5-7 year period), and/or 250 basis points above the return of the Credit Suisse Leveraged Loan Index. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The IMB reports its investments at fair value in accordance with the FASB’s ASC Topic 820 (ASC 820). Refer to Note 4 for further discussion and presentation of the reporting requirements under ASC 820.

West Virginia Investment Management Board H-6

Opportunistic Debt Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Fair value of the Pool’s portfolio securities is determined as follows: •

•

Investments in direct lending funds are not securities for which market quotations are readily available. The IMB has concluded that the net asset value reported by the underlying funds approximates the fair value of these investments and consequently these investments are carried at net asset value as a practical expedient for fair market value. Due to the nature of the investments held by the funds, changes in market conditions and the economic environment may significantly impact the net asset value of the funds and, consequently, the fair value of the IMB’s interests in the funds. Although a secondary market exists for these investments, it is not active and individual transactions are typically not observable. When transactions do occur in this limited secondary market, they may occur at discounts to the reported net asset value. It is therefore reasonably possible that if the IMB were to sell these investments in the secondary market a buyer may require a discount to the reported net asset value, and the discount could be significant. The IMB believes that the net asset value of such investments is a reasonable estimate of fair value as of June 30, 2016. Open-end regulated investment companies are valued at the net asset value of the fund as reported by the fund’s administrator.

Investments for which the fair value cannot be determined by one of the above listed processes are valued at fair value as determined in accordance with the IMB’s established procedures. Investment Transactions - Investment transactions are accounted for on a trade date basis. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. Investment Gains and Losses - Gains and losses on investments in direct lending funds are recognized when the fund has realized its interest in a portfolio holding and we have sufficient information as to the amount and date of the distribution. Gains and losses on the sale of investments in other funds are recognized at the time of sale by the average cost method. Income from Direct Lending Funds - Income from direct lending funds is recognized when distributed. Dividend Income - Dividend income is recognized on the ex-dividend date. Distributions to Participants - The Pool does not routinely distribute dividends of net investment income or net realized gains. Expenses - The IMB's Trustees adopt an annual budget and fee schedule for services to be provided to all of the investment pools under its management. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. These other expenses are allocated to the individual pools based on asset size. The IMB pays all expenses on behalf of the Pool. In addition to these direct and allocated expenses, the Pool bears certain expenses indirectly, such as fees of other investment funds in which the Pool invests that are reflected in the reported net asset value of such funds. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for income taxes is required as of June 30, 2016. Indemnifications - In the normal course of business, the IMB has entered into contracts that provide a variety of indemnifications. Any exposure to the Pool under these arrangements would involve future claims that may be made against the IMB. The Pool’s maximum exposure under these arrangements is unknown. No such claims have occurred, nor are they expected to occur therefore the IMB expects the risk of loss to be remote.

West Virginia Investment Management Board H-7

Opportunistic Debt Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 3. INVESTMENT RISK DISCLOSURES Credit Risk The Pool is exposed to credit risk from investments in unrated direct lending funds. This risk is limited by requiring that underlying fund holdings are at least 90 percent collateralized by one or more assets of the issuer. The Pool also holds shares of a money market fund with the highest credit rating. Concentration of Credit Risk Due to being in the infancy stage of the program, the fund is exposed to concentration of credit risk. Approximately 32 percent of committed capital has been called. As the program becomes fully funded, the concentration of credit risk will be mitigated. Each asset manager is restricted from investing more than 10 percent of the capital commitment in a single issuer for investments that are expected to be held longer than one year. At June 30, 2016, the Pool was in compliance with this restriction. Custodial Credit Risk At June 30, 2016, the Pool held no securities that were subject to custodial credit risk. Interest Rate Risk The Pool is exposed to interest rate risk from investments in direct lending funds. The IMB manages interest rate risk of the Pool by requiring at least 80 percent of the fund holdings that mature in more than one year to have variable or floating interest rate structures. Foreign Currency Risk The investments in direct lending funds might be indirectly exposed to foreign currency risk. NOTE 4. FAIR VALUE MEASUREMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Fair value of an investment is the amount 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 (i.e., the exit price). ASC 820 established a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical financial instruments (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are: Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 2 Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not considered active; observable inputs other than observable quoted prices for the asset or liability; or inputs derived principally from or corroborated by observable market data. Level 3 Unobservable pricing inputs for assets and liabilities with redemption terms that are not short term. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

West Virginia Investment Management Board H-8

Opportunistic Debt Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 4. FAIR VALUE MEASUREMENTS (continued) U.S. GAAP does not require the Pool to categorize within the fair value hierarchy table investments for which fair value is measured using the net asset value per share practical expedient. The table that follows sets forth information about the level within the fair value hierarchy at which the Pool’s assets and liabilities are measured at June 30, 2016. All of the Pool’s investments in direct lending funds were valued using the net asset value per share practical expedient, as such they have not been categorized in the fair value hierarchy table. Assets Money market mutual fund Direct lending funds

$

Level 1 100

Level 2 $

Level 3 -

$

Total -

Total

$ $

100 114,158 114,258

There were no transfers in or out of Levels 1 and 2 during the period ended June 30, 2016. NOTE 5. COMMITMENTS As of June 30, 2016, the IMB has made commitments to two direct lending funds. Total Commitment $ 350,000

Fund Classification Direct lending funds

Funded Commitment $ 113,111

Unfunded Commitment $ 236,889

NOTE 6. FINANCIAL HIGHLIGHTS Per Unit Operating Performance (a): Net asset value at October 1, 2015 (inception date) Income from investment operations: Net investment loss Net unrealized gain on investment transactions Total from investment operations Net asset value at June 30, 2016

$

10.00

$

(0.02) 0.07 0.05 10.05 0.8%

Total Return (b) Supplemental Data: Ratio to average net assets (c): Expenses Net investment income Portfolio turnover rate

0.35% -0.26% 0.00%

(a) Calculation based on the average shares outstanding (b) Return data is net of fees from inception-to-date and is not annualized (c) All ratios are from inception-to-date annualized and do not reflect the Pool’s proportionate share of income and expenses of the underlying investee funds.

West Virginia Investment Management Board H-9

Opportunistic Debt Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 7. SCHEDULE OF PARTICIPATION The following schedule provides the value of participants’ accounts in the Pool at June 30, 2016. Participant Teachers' Retirement System Public Employees' Retirement System Workers' Compensation Old Fund Revenue Shortfall Reserve Fund - Part B Revenue Shortfall Reserve Fund West Virginia Retiree Health Benefit Trust Fund Coal Workers' Pneumoconiosis Fund State Police Death, Disability and Retirement Fund Public Employees Insurance Agency West Virginia Department of Environmental Protection Agency Board of Risk and Insurance Management Deputy Sheriff's Retirement System Judges' Retirement System State Police Retirement System Workers' Compensation Self-Insured Employer Security Risk Pool West Virginia Prepaid Tuition Trust Fund Workers' Compensation Self-Insured Employer Guaranty Risk Pool Emergency Medical Services Retirement System Wildlife Endowment Fund Workers' Compensation Uninsured Employers' Fund West Virginia Department of Environmental Protection Trust Berkeley County Development Authority Municipal Police Officers' and Firefighters' Retirement System Municipal Policemen’s or Firemen’s Pension and Relief Funds Total

Account Value 31,268 27,595 24,783 7,195 4,344 3,054 2,918 2,745 2,374 1,606 1,555 854 825 689 643 635 398 292 274 109 39 30 15 6 $ 114,246 $

NOTE 8. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through October 5, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board H-10

June 30, 2016

I

CORE FIXED INCOME POOL

AUDITED FINANCIAL STATEMENTS

Core Fixed Income Pool Audited Financial Statements June 30, 2016 Table of Contents

Statement of Assets and Liabilities

I-1

Schedule of Investments

I-2

Statement of Operations

I-24

Statement of Changes in Net Assets

I-25

Notes to Financial Statements

I-26

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board Core Fixed Income Pool, which comprise the statement of assets and liabilities, including the schedule of investments, as of June 30, 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board Core Fixed Income Pool at June 30, 2016, and the results of its operations and changes in its net assets for the year then ended, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

September 9, 2016

A member firm of Ernst & Young Global Limited

Core Fixed Income Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands, except unit data)

Assets Investments at fair value (cost $997,737), including securities on loan of $74,364 (Note 5) Receivables: Accrued interest Investments sold Dividends Securities lending income

$

1,057,990

4,664 535 5 15 Total assets

1,063,209

Liabilities Accrued expenses Distributions payable Payable for investments purchased Payable upon return of securities loaned (Note 5)

370 2,533 1,434 65,825 Total liabilities Net assets

70,162 $

993,047

$

87,143,339 11.40

Unit data Units outstanding Net asset value, unit price

See accompanying notes to financial statements.

West Virginia Investment Management Board I-1

Core Fixed Income Pool Schedule of Investments June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Municipal Bonds American Municipal Power-Ohio, 7.499% Due 2/15/2050 California, 7.3% Due 10/1/2039 Illinois, 5.1% Due 6/1/2033 Los Angeles Department of Airports, 6.582% Due 5/15/2039 New York St Dorm Authority, 5.6% Due 3/15/2040 Ohio State University, 4.8% Due 6/1/2111 Ohio Univ Gen Receipts Athens, 5.59% Due 12/1/2114 Port Authority NY and NJ, 5.647% Due 11/1/2040 Port Authority NY and NJ, 5.647% Due 11/1/2040 Port Authority NY and NJ, 4.458% Due 10/1/2062 Tennessee Valley Authority, Zero Coupon, Due 11/1/2025 Tennessee Valley Authority, 5.88% Due 4/1/2036 Tennessee Valley Authority, 5.25% Due 9/15/2039 Tennessee Valley Authority, 4.625% Due 9/15/2060

580 195 350 255 260 761 300 600 75 330 2,500 650 1,198 400

Cost

$

Total Municipal Bonds - 1.0% U.S. Treasury Bonds United States Treasury, 4.625% Due 2/15/2017 United States Treasury, Zero Coupon, Due 2/15/2017 United States Treasury, 3.125% Due 4/30/2017 United States Treasury, 0.625% Due 8/31/2017 United States Treasury, 4.25% Due 11/15/2017 United States Treasury, Zero Coupon, Due 11/15/2017 United States Treasury, Zero Coupon, Due 2/15/2018 United States Treasury, 3.125% Due 5/15/2019 United States Treasury, Zero Coupon, Due 5/15/2019 United States Treasury, Zero Coupon, Due 8/15/2019 United States Treasury, Zero Coupon, Due 11/15/2019 United States Treasury, Zero Coupon, Due 2/15/2020 United States Treasury, Zero Coupon, Due 5/15/2020 United States Treasury, Zero Coupon, Due 8/15/2020 United States Treasury, 2.625% Due 11/15/2020 United States Treasury, Zero Coupon, Due 2/15/2021 United States Treasury, 8.125% Due 5/15/2021 United States Treasury, 3.125% Due 5/15/2021 United States Treasury, Zero Coupon, Due 5/15/2021 United States Treasury, Zero Coupon, Due 8/15/2021 United States Treasury, 2.0% Due 10/31/2021 United States Treasury, Zero Coupon, Due 11/15/2021 United States Treasury, 2.125% Due 12/31/2021 United States Treasury, Zero Coupon, Due 2/15/2022 United States Treasury, Zero Coupon, Due 5/15/2022 United States Treasury, Zero Coupon, Due 8/15/2022 United States Treasury, Zero Coupon, Due 11/15/2022 United States Treasury, 7.125% Due 2/15/2023 United States Treasury, Zero Coupon, Due 2/15/2023 United States Treasury, Zero Coupon, Due 5/15/2023 United States Treasury, Zero Coupon, Due 8/15/2023 United States Treasury, Zero Coupon, Due 5/15/2024 United States Treasury, 2.375% Due 8/15/2024 United States Treasury, Zero Coupon, Due 8/15/2024 United States Treasury, Zero Coupon, Due 11/15/2024 United States Treasury, Zero Coupon, Due 11/15/2024 United States Treasury, Zero Coupon, Due 2/15/2025 United States Treasury, Zero Coupon, Due 2/15/2026 United States Treasury, Zero Coupon, Due 5/15/2026 United States Treasury, Zero Coupon, Due 8/15/2026 United States Treasury, Zero Coupon, Due 11/15/2026 United States Treasury, Zero Coupon, Due 2/15/2027 United States Treasury, Zero Coupon, Due 8/15/2027 United States Treasury, Zero Coupon, Due 11/15/2027 United States Treasury, Zero Coupon, Due 2/15/2028 United States Treasury, Zero Coupon, Due 5/15/2028 United States Treasury, 5.5% Due 8/15/2028

6,500 6,122 6,115 10,500 300 7,380 3,950 2,590 4,550 2,800 1,000 1,920 9,722 5,000 400 3,105 1,000 2,000 4,780 2,000 1,000 5,315 1,000 2,460 4,285 300 1,900 1,000 3,910 2,000 730 1,100 1,400 1,100 700 550 200 300 850 164 4,500 16,825 950 3,800 2,736 700 1,050

See accompanying notes to financial statements.

West Virginia Investment Management Board I-2

Fair Value

593 248 325 328 254 753 300 600 91 330 1,873 808 1,495 395

$

855 295 336 355 351 852 369 789 98 378 2,022 942 1,642 498

8,393

9,782

6,562 5,999 6,150 10,481 312 7,048 3,732 2,678 4,059 2,626 955 1,792 8,764 4,396 408 2,790 1,204 2,139 4,371 1,807 996 4,557 1,006 2,060 3,746 256 1,623 1,207 3,315 1,665 615 773 1,408 782 585 399 124 230 529 124 2,940 11,983 566 2,652 1,718 502 1,144

6,669 6,105 6,246 10,509 315 7,321 3,911 2,768 4,453 2,731 972 1,860 9,376 4,811 429 2,958 1,339 2,200 4,539 1,889 1,047 4,991 1,054 2,295 3,981 278 1,750 1,376 3,580 1,820 662 981 1,507 975 631 485 175 256 722 139 3,777 14,054 783 3,115 2,225 566 1,501

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

United States Treasury, Zero Coupon, Due 11/15/2028 United States Treasury, Zero Coupon, Due 2/15/2029 United States Treasury, Zero Coupon, Due 5/15/2029 United States Treasury, 6.125% Due 8/15/2029 United States Treasury, Zero Coupon, Due 8/15/2029 United States Treasury, Zero Coupon, Due 11/15/2029 United States Treasury, Zero Coupon, Due 2/15/2030 United States Treasury, Zero Coupon, Due 5/15/2030 United States Treasury, Zero Coupon, Due 8/15/2030 United States Treasury, Zero Coupon, Due 11/15/2030 United States Treasury, 5.375% Due 2/15/2031 United States Treasury, Zero Coupon, Due 2/15/2031 United States Treasury, Zero Coupon, Due 5/15/2031 United States Treasury, Zero Coupon, Due 8/15/2031 United States Treasury, Zero Coupon, Due 11/15/2031 United States Treasury, Zero Coupon, Due 2/15/2032 United States Treasury, Zero Coupon, Due 8/15/2032 United States Treasury, Zero Coupon, Due 11/15/2032 United States Treasury, Zero Coupon, Due 2/15/2033 United States Treasury, Zero Coupon, Due 5/15/2033 United States Treasury, Zero Coupon, Due 8/15/2033 United States Treasury, Zero Coupon, Due 11/15/2033 United States Treasury, Zero Coupon, Due 2/15/2034 United States Treasury, Zero Coupon, Due 5/15/2034 United States Treasury, Zero Coupon, Due 8/15/2034 United States Treasury, Zero Coupon, Due 11/15/2034 United States Treasury, Zero Coupon, Due 2/15/2035 United States Treasury, Zero Coupon, Due 5/15/2035 United States Treasury, 4.5% Due 2/15/2036 United States Treasury, Zero Coupon, Due 5/15/2036 United States Treasury, 4.75% Due 2/15/2037 United States Treasury, 4.375% Due 2/15/2038 United States Treasury, 4.5% Due 5/15/2038 United States Treasury, 4.25% Due 5/15/2039 United States Treasury, 4.375% Due 11/15/2039

2,400 2,740 3,150 312 2,450 700 2,200 1,900 3,100 1,800 1,000 1,050 250 1,200 520 900 300 12,450 950 3,400 700 12,150 1,250 8,050 9,725 850 380 500 1,000 200 500 1,500 650 1,000 1,075

U. S. Government Agency MBS FHLMC Issues, 2.339% - 10.0% Due 5/1/2017 - 6/1/2043 FNMA Issues, 1.47% - 8.5% Due 12/1/2016 - 7/1/2043 GNMA Issues, 4.375% - 7.5% Due 9/15/2031 - 6/20/2063

1,919 2,178 2,485 477 1,922 545 1,702 1,462 2,369 1,368 1,483 792 187 894 385 662 217 8,960 678 2,413 493 8,495 866 5,537 6,637 576 256 334 1,440 130 744 2,138 943 1,398 1,528

180,597

200,740

400

413

431

26,874 138,037 8,563

28,328 140,526 9,650

29,106 148,844 9,460

178,504

187,410

36,260 45,363 40,521

39,452 48,843 41,694

122,144

129,989

727 1,530 1,022

990 2,179 2,060

3,279

5,229

2,597 4,576

2,869 5,026

Total U. S. Government Agency MBS - 18.9% U. S. Government Agency CMO FHLMC Issues, 0.742% - 26.803% Due 3/15/2018 - 11/15/2046 FNMA Issues, 0.523% - 36.46% Due 1/25/2017 - 5/25/2051 GNMA Issues, 0.737% - 105.865% Due 3/17/2031 - 12/20/2065

35,000 43,976 39,782

Total U. S. Government Agency CMO - 13.1% U. S. Government Agency CMO Interest-Only FHLMC Issues, 1.876% - 7.558% Due 9/15/2024 - 8/15/2040 FNMA Issues, 1.529% - 7.447% Due 3/25/2023 - 4/25/2041 GNMA Issues, 5.382% - 7.258% Due 10/20/2032 - 8/16/2039

8,951 13,826 12,600

Total U. S. Government Agency CMO Interest-Only - 0.5% U. S. Government Agency CMO Principal-Only FHLMC Issues, Due 3/15/2020 - 9/15/2043 FNMA Issues, Due 12/1/2024 - 12/25/2043

Fair Value 1,396 1,765 2,302 413 1,687 391 1,313 1,126 1,897 1,043 1,251 615 149 707 279 576 187 7,616 524 1,857 308 6,997 641 5,073 6,631 491 216 292 1,196 81 653 1,738 831 1,197 1,380

Total U.S. Treasury Bonds - 20.2% U.S. Treasury Inflation Protected Security United States Treasury, 0.125% Due 1/15/2022

Cost

3,149 5,714

See accompanying notes to financial statements.

West Virginia Investment Management Board I-3

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

GNMA Issues, Due 1/17/2033 - 12/20/2040

1,214

1,107

8,142

9,002

504 3,800 592 4,645 9,818 2,646

577 3,841 679 4,743 10,110 2,855

22,005

22,805

136 400 192 327 326 200 540 320 90 534 227 307 91 857 90 625 300 613 33 250

142 460 206 341 335 198 620 359 89 533 173 298 90 906 90 700 300 626 32 279 6,777

146 461 228 359 335 212 673 383 100 530 199 244 83 921 96 800 301 651 33 313 7,068

81 117 278 386 75 170 615 124 225 255 227 230 300 150 225 456 234 300 500 80 280 395 50 92 209 640 200

81 115 291 386 75 170 646 123 242 276 226 232 296 166 227 464 233 299 499 87 287 404 62 92 209 666 203

81 122 316 420 80 176 663 127 273 287 239 259 317 203 234 494 249 334 544 114 301 454 60 97 221 693 230

400 3,900 700 4,900 10,590 3,000

Total U. S. Government Agency Bonds - 2.3% U.S. Corporate Bonds Basic Materials Barrick NA Finance LLC, 4.4% Due 5/30/2021 CF Industries Inc, 7.125% Due 5/1/2020 Dow Chemical Company, 8.55% Due 5/15/2019 Dow Chemical Company, 4.125% Due 11/15/2021 Dow Chemical Company, 3.0% Due 11/15/2022 Dow Chemical Company, 3.5% Due 10/1/2024 Ecolab Inc, 5.5% Due 12/8/2041 EI DuPont de Nemours & Co, 5.6% Due 12/15/2036 EI DuPont de Nemours & Co, 4.9% Due 1/15/2041 Freeport-McMoran Inc, 2.15% Due 3/1/2017 Freeport-McMoran Inc, 3.875% Due 3/15/2023 Freeport-McMoran Inc, 5.4% Due 11/14/2034 Monsanto Company, 4.7% Due 7/15/2064 Nucor Corporation, 5.85% Due 6/1/2018 Nucor Corporation, 4.0% Due 8/1/2023 PPG Industries Inc, 9.0% Due 5/1/2021 Praxair Inc, 1.25% Due 11/7/2018 The Mosaic Company, 3.75% Due 11/15/2021 The Mosaic Company, 4.875% Due 11/15/2041 Union Carbide Corp, 7.5% Due 6/1/2025 Total Basic Materials Capital Goods ABB Finance USA Inc, 1.625% Due 5/8/2017 ABB Finance USA Inc, 2.875% Due 5/8/2022 ABB Finance USA Inc, 4.375% Due 5/8/2042 American Airlines 2013-2, 4.95% Due 1/15/2023 American Airlines PT TRS 11-1, 5.25% Due 1/31/2021 Amern Airline 16-2 A PTT, 3.65% Due 6/15/2028 Arrow Electronics Inc, 6.875% Due 6/1/2018 Arrow Electronics Inc, 4.0% Due 4/1/2025 Arrow Electronics Inc, 7.5% Due 1/15/2027 BAE Systems Holdings Inc, 6.375% Due 6/1/2019 BAE Systems Holdings Inc, 3.8% Due 10/7/2024 Boeing Company, 4.875% Due 2/15/2020 Boeing Company, 2.85% Due 10/30/2024 Boeing Company, 6.125% Due 2/15/2033 Burlington North Santa Fe, 5.65% Due 5/1/2017 Burlington North Santa Fe, 3.45% Due 9/15/2021 Burlington North Santa Fe, 3.05% Due 9/1/2022 Burlington North Santa Fe, 3.85% Due 9/1/2023 Burlington North Santa Fe, 3.4% Due 9/1/2024 Burlington North Santa Fe, 7.29% Due 6/1/2036 Caterpillar Financial Services, 5.45% Due 4/15/2018 Caterpillar Financial Services, 7.15% Due 2/15/2019 Caterpillar Inc, 5.3% Due 9/15/2035 Continental Airlines Inc, 4.0% Due 10/29/2024 CRH America Inc, 3.875% Due 5/18/2025 CSX Corp, 6.25% Due 3/15/2018 CSX Corp, 7.375% Due 2/1/2019

Fair Value 969

Total U. S. Government Agency CMO Principal-Only - 0.9% U. S. Government Agency Bonds Federal Home Loan Bank, 5.5% Due 7/15/2036 FICO Strip Principal, Zero Coupon, Due 5/11/2018 FICO Strip Principal, Zero Coupon, Due 9/26/2019 RFCSP Strip Principal, Zero Coupon, Due 10/15/2019 RFCSP Strip Principal, Zero Coupon, Due 7/15/2020 RFCSP Strip Principal, Zero Coupon, Due 10/15/2020

Cost

See accompanying notes to financial statements.

West Virginia Investment Management Board I-4

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

CSX Corp, 4.25% Due 6/1/2021 CSX Corp, 3.95% Due 5/1/2050 Danaher Corp, 3.9% Due 6/23/2021 Deere & Company, 2.6% Due 6/8/2022 Deere & Company, 7.125% Due 3/3/2031 Deere & Company, 3.9% Due 6/9/2042 Delta Air Lines, 4.95% Due 5/23/2019 Delta Air Lines 2011-1, 5.3% Due 4/15/2019 Delta Air Lines 2012-1A, 4.75% Due 5/7/2020 Eaton Corporation, 7.625% Due 4/1/2024 FedEx Corp, 3.2% Due 2/1/2025 FedEx Corp, 3.25% Due 4/1/2026 FedEx Corp, 3.9% Due 2/1/2035 General Electric Capital Corp, 5.625% Due 5/1/2018 General Electric Capital Corp, 6.0% Due 8/7/2019 General Electric Capital Corp, 5.5% Due 1/8/2020 General Electric Capital Corp, 4.375% Due 9/16/2020 General Electric Capital Corp, 5.875% Due 1/14/2038 Honeywell International Inc, 5.3% Due 3/1/2018 Illinois Tool Works Inc, 3.9% Due 9/1/2042 Ingersoll-Rand GL Hld Co, 4.25% Due 6/15/2023 John Deere Capital Corp, 1.2% Due 10/10/2017 John Deere Capital Corp, 1.3% Due 3/12/2018 John Deere Capital Corp, 5.75% Due 9/10/2018 John Deere Capital Corp, 3.4% Due 9/11/2025 Lockheed Martin Corp, 4.25% Due 11/15/2019 Lockheed Martin Corp, 3.1% Due 1/15/2023 Lockheed Martin Corp, 4.07% Due 12/15/2042 Norfolk Southern Corp, 2.903% Due 2/15/2023 Norfolk Southern Corp, 3.95% Due 10/1/2042 Northrop Grumman Corp, 5.05% Due 8/1/2019 Parker-Hannifin Corp, 3.3% Due 11/21/2024 Penske Truck Leasing/PTL, 3.375% Due 3/15/2018 Penske Truck Leasing/PTL, 3.375% Due 2/1/2022 Pitney Bowes Inc, 5.6% Due 3/15/2018 Precision Castparts Corp, 3.25% Due 6/15/2025 Raytheon Company, 3.15% Due 12/15/2024 Republic Services Inc, 5.5% Due 9/15/2019 Republic Services Inc, 3.55% Due 6/1/2022 Roper Technologies Inc, 3.0% Due 12/15/2020 Ryder System Inc, 2.5% Due 3/1/2017 Ryder System Inc, 3.5% Due 6/1/2017 Ryder System Inc, 2.5% Due 3/1/2018 Ryder System Inc, 2.65% Due 3/2/2020 Ryder System Inc, 2.875% Due 9/1/2020 Union Pacific Corp, 4.163% Due 7/15/2022 Union Pacific Corp, 2.95% Due 1/15/2023 Union Pacific Corp, 4.3% Due 6/15/2042 Union Pacific Corp, 4.821% Due 2/1/2044 Union Pacific Corp, 4.15% Due 1/15/2045 Union Pacific RR Co, 2.695% Due 5/12/2027 United Air 2016-1 AA PTT, 3.1% Due 7/7/2028 United Technologies Corp, 3.1% Due 6/1/2022 United Technologies Corp, 5.4% Due 5/1/2035 United Technologies Corp, 4.5% Due 6/1/2042 United Technologies Corp, 4.15% Due 5/15/2045 UNP RR CO 2003 PASS TRUST, 4.698% Due 1/2/2024 UPS of America Inc, 8.375% Due 4/1/2020 UPS of America Inc, 8.375% Due 4/1/2030 W.W. Grainger Inc, 3.75% Due 5/15/2046 Waste Management Inc, 4.75% Due 6/30/2020 Waste Management Inc, 2.4% Due 5/15/2023 Total Capital Goods Communication Services AT&T Inc, 5.5% Due 2/1/2018

Cost

Fair Value

335 170 275 179 165 77 72 41 128 325 170 139 96 915 698 486 128 200 205 640 162 128 400 233 163 305 163 336 738 103 490 139 615 250 100 485 81 360 309 160 78 96 80 193 164 358 43 50 494 150 468 235 106 170 143 240 53 125 230 249 622 123

346 168 275 179 223 76 72 41 128 393 170 139 96 931 717 516 128 148 217 634 162 128 400 238 163 311 162 328 739 103 509 139 624 244 102 484 81 382 308 160 78 96 81 193 164 361 43 50 489 148 468 235 106 169 141 240 52 140 291 248 625 123 22,962

367 170 302 184 237 82 76 44 136 414 177 145 98 992 800 555 143 270 220 688 180 128 402 257 176 334 172 358 762 106 542 150 630 255 106 517 88 402 334 165 79 98 81 195 167 403 46 55 597 164 469 239 113 210 164 264 57 157 344 257 697 125 24,733

370

375

394

See accompanying notes to financial statements.

West Virginia Investment Management Board I-5

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

AT&T Inc, 4.6% Due 2/15/2021 AT&T Inc, 3.875% Due 8/15/2021 AT&T Inc, 3.8% Due 3/15/2022 AT&T Inc, 3.0% Due 6/30/2022 AT&T Inc, 6.3% Due 1/15/2038 AT&T Inc, 6.0% Due 8/15/2040 AT&T Inc, 5.35% Due 9/1/2040 AT&T Inc, 4.3% Due 12/15/2042 AT&T Inc, 4.35% Due 6/15/2045 Centel Capital Corp, 9.0% Due 10/15/2019 Verizon Communications, 2.625% Due 2/21/2020 Verizon Communications, 4.5% Due 9/15/2020 Verizon Communications, 5.15% Due 9/15/2023 Verizon Communications, 3.5% Due 11/1/2024 Verizon Communications, 5.05% Due 3/15/2034 Verizon Communications, 4.862% Due 8/21/2046 Verizon Communications, 4.522% Due 9/15/2048 Verizon Communications, 5.012% Due 8/21/2054 Verizon Communications, 4.672% Due 3/15/2055 Total Communication Services Consumer Discretionary 21st Century Fox America, 7.25% Due 5/18/2018 21st Century Fox America, 8.875% Due 4/26/2023 21st Century Fox America, 7.75% Due 1/20/2024 21st Century Fox America, 7.3% Due 4/30/2028 21st Century Fox America, 6.65% Due 11/15/2037 Amazon.com Inc, 3.8% Due 12/5/2024 American Honda Finance, 7.625% Due 10/1/2018 Bed Bath & Beyond Inc, 3.749% Due 8/1/2024 Bed Bath & Beyond Inc, 4.915% Due 8/1/2034 CBS Corp, 3.7% Due 8/15/2024 Charter Communications Operating LLC/CAP, 4.464% Due 7/23/2022 Comcast Cable Communications Holdings, 9.455% Due 11/15/2022 Comcast Cable Holdings, 10.125% Due 4/15/2022 Comcast Corp, 6.5% Due 1/15/2017 Comcast Corp, 3.375% Due 2/15/2025 Comcast Corp, 4.2% Due 8/15/2034 Cox Communications Inc, 5.875% Due 12/1/2016 Cox Communications Inc, 3.85% Due 2/1/2025 Daimler Finance NA LLC, 2.95% Due 1/11/2017 Daimler Finance NA LLC, 2.375% Due 8/1/2018 Daimler Finance NA LLC, 2.25% Due 7/31/2019 Daimler Finance NA LLC, 2.25% Due 3/2/2020 Daimler Finance NA LLC, 3.5% Due 8/3/2025 Discovery Communications, 4.375% Due 6/15/2021 Discovery Communications, 4.95% Due 5/15/2042 eBay Inc, 2.6% Due 7/15/2022 ERAC USA Finance LLC, 6.7% Due 6/1/2034 ERAC USA Finance LLC, 5.625% Due 3/15/2042 Ford Motor Company, 6.625% Due 10/1/2028 Ford Motor Credit Company LLC, 2.24% Due 6/15/2018 Ford Motor Credit Company LLC, 2.375% Due 3/12/2019 Ford Motor Credit Company LLC, 2.597% Due 11/4/2019 General Motors Financial Co, 3.1% Due 1/15/2019 General Motors Financial Co, 3.2% Due 7/13/2020 Historic TW Inc, 9.15% Due 2/1/2023 Home Depot Inc, 2.0% Due 6/15/2019 Home Depot Inc, 2.625% Due 6/1/2022 Home Depot Inc, 3.0% Due 4/1/2026 Hyundai Capital America, 2.4% Due 10/30/2018 Johnson Controls Inc, 5.0% Due 3/30/2020 Johnson Controls Inc, 4.25% Due 3/1/2021 Johnson Controls Inc, 3.625% Due 7/2/2024 Lowe's Companies Inc, 3.375% Due 9/15/2025 Lowe's Companies Inc, 7.11% Due 5/15/2037

Cost

Fair Value

400 765 300 285 600 750 1,374 64 156 200 140 353 355 573 693 818 230 165 276

438 795 319 285 576 798 1,376 50 159 215 137 353 397 570 692 618 178 152 266 8,749

438 824 319 292 721 876 1,503 62 151 231 145 392 413 609 769 894 239 174 279 9,725

64 450 150 250 125 804 500 125 45 509 327 775 240 200 285 158 200 500 300 227 300 150 300 165 385 1,247 365 72 400 248 1,200 300 120 227 945 303 536 130 160 500 80 69 230 195

66 477 167 251 133 811 532 125 45 506 327 863 288 201 285 157 203 499 300 227 302 150 299 176 400 1,185 438 77 463 248 1,197 300 120 227 1,084 302 530 129 162 511 80 69 229 231

71 613 196 331 164 901 569 127 42 532 351 1,105 325 206 307 174 203 504 303 232 308 153 321 177 334 1,235 484 87 506 250 1,217 307 123 230 1,270 311 561 138 162 547 86 73 251 277

See accompanying notes to financial statements.

West Virginia Investment Management Board I-6

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Lowe's Companies Inc, 4.65% Due 4/15/2042 Macys Retail Holdings Inc, 7.45% Due 7/15/2017 Macys Retail Holdings Inc, 3.625% Due 6/1/2024 Macys Retail Holdings Inc, 4.5% Due 12/15/2034 NBC Universal Media LLC, 4.375% Due 4/1/2021 NBC Universal Media LLC, 5.95% Due 4/1/2041 Starbucks Corp, 2.7% Due 6/15/2022 Target Corp, 3.5% Due 7/1/2024 Target Corp, 2.5% Due 4/15/2026 TCI Communications Inc, 7.875% Due 2/15/2026 The Gap Inc, 5.95% Due 4/12/2021 Time Warner Cable Inc, 6.75% Due 7/1/2018 Time Warner Cable Inc, 8.75% Due 2/14/2019 Time Warner Cable Inc, 7.3% Due 7/1/2038 Time Warner Entertainment, 8.375% Due 7/15/2033 Time Warner Inc, 4.75% Due 3/29/2021 Time Warner Inc, 3.55% Due 6/1/2024 Toyota Motor Credit Corp, 2.15% Due 3/12/2020 Viacom Inc, 3.875% Due 12/15/2021 Viacom Inc, 3.125% Due 6/15/2022 Viacom Inc, 4.85% Due 12/15/2034 Walt Disney Company, 3.75% Due 6/1/2021 Total Consumer Discretionary Consumer Staples Anheuser-Busch, 8.2% Due 1/15/2039 Anheuser-Busch Inbev Finance, 1.9% Due 2/1/2019 Anheuser-Busch Inbev Finance, 3.3% Due 2/1/2023 Anheuser-Busch Inbev Finance, 3.7% Due 2/1/2024 Anheuser-Busch Inbev Finance, 4.7% Due 2/1/2036 Brown Forman Corp, 4.5% Due 7/15/2045 Bunge Limited Finance Co, 8.5% Due 6/15/2019 Bunge NA Finance LP, 5.9% Due 4/1/2017 Cargill Inc, 7.35% Due 3/6/2019 Cargill Inc, 4.307% Due 5/14/2021 Cargill Inc, 3.3% Due 3/1/2022 Coca-Cola Company, 3.3% Due 9/1/2021 ConAgra Foods Inc, 3.2% Due 1/25/2023 Costco Wholesale Corp, 2.25% Due 2/15/2022 CVS Health Corp, 2.125% Due 6/1/2021 CVS Health Corp, 3.5% Due 7/20/2022 CVS Health Corp, 2.875% Due 6/1/2026 CVS Health Corp, 5.926% Due 1/10/2034 Diageo Investment Corp, 2.875% Due 5/11/2022 Dr Pepper Snapple Group Inc, 2.0% Due 1/15/2020 General Mills Inc, 5.65% Due 2/15/2019 General Mills Inc, 3.15% Due 12/15/2021 Kellogg Company, 1.75% Due 5/17/2017 Kellogg Company, 3.25% Due 5/21/2018 Kimberly Clark Corporation, 7.5% Due 11/1/2018 Kraft Foods Group Inc, 6.125% Due 8/23/2018 Kraft Foods Group Inc, 5.375% Due 2/10/2020 Kraft Foods Group Inc, 3.5% Due 6/6/2022 Kraft Foods Group Inc, 5.0% Due 6/4/2042 Kraft Heinz Foods Co, 3.5% Due 7/15/2022 Kraft Heinz Foods Co, 3.95% Due 7/15/2025 Kroger Co, 6.15% Due 1/15/2020 Kroger Co, 7.5% Due 4/1/2031 Mondelez International Inc, 4.0% Due 2/1/2024 PepsiCo Inc, 7.9% Due 11/1/2018 PepsiCo Inc, 3.1% Due 7/17/2022 PepsiCo Inc, 2.75% Due 4/30/2025 PepsiCo Inc, 4.45% Due 4/14/2046 Tyson Foods Inc, 3.95% Due 8/15/2024 Walgreen Boots Alliance Inc, 3.1% Due 9/15/2022 Walgreens Boots Alliance, 3.1% Due 6/1/2023

Cost

Fair Value

217 300 376 94 350 175 211 257 585 100 229 150 300 300 550 220 275 500 177 340 388 330

216 312 376 76 360 175 211 256 585 101 221 156 332 332 655 237 275 500 175 333 360 353 21,969

253 318 371 83 392 235 223 285 600 143 239 164 350 376 745 247 292 514 187 339 362 366 23,748

255 105 664 297 1,043 182 373 54 250 191 485 104 171 122 458 216 370 222 290 388 470 50 115 333 250 435 169 365 103 485 423 760 250 500 171 181 300 308 235 227 83

361 106 662 312 1,034 179 385 53 262 196 484 104 172 122 457 216 367 222 289 387 488 52 115 336 264 473 186 370 102 484 423 806 315 500 185 181 299 326 234 226 83

406 107 700 320 1,172 208 436 56 289 210 513 113 176 126 464 233 378 257 305 390 522 53 116 345 286 477 190 388 118 515 460 875 350 547 198 193 310 359 254 234 85

See accompanying notes to financial statements.

West Virginia Investment Management Board I-7

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Walgreens Boots Alliance, 3.45% Due 6/1/2026 Walgreens Boots Alliance, 4.5% Due 11/18/2034 Wal-Mart Stores Inc, 7.55% Due 2/15/2030 Wal-Mart Stores Inc, 5.25% Due 9/1/2035 Wal-Mart Stores Inc, 5.0% Due 10/25/2040 Wal-Mart Stores Inc, 4.75% Due 10/2/2043 Wal-Mart Stores Inc, 4.3% Due 4/22/2044 Total Consumer Staples Energy Anadarko Petroleum Corp, 8.7% Due 3/15/2019 Anadarko Petroleum Corp, 6.95% Due 6/15/2019 ANR Pipeline Co, 9.625% Due 11/1/2021 Apache Corporation, 3.25% Due 4/15/2022 Apache Corporation, 4.75% Due 4/15/2043 Boardwalk Pipelines LP, 5.95% Due 6/1/2026 Buckeye Partners LP, 2.65% Due 11/15/2018 Buckeye Partners LP, 4.875% Due 2/1/2021 Buckeye Partners LP, 4.35% Due 10/15/2024 Buckeye Partners LP, 5.85% Due 11/15/2043 Burlington Resources, 8.2% Due 3/15/2025 Cenovus Energy Inc, 3.0% Due 8/15/2022 Chevron Corp, 2.419% Due 11/17/2020 Chevron Corp, 2.566% Due 5/16/2023 Chevron Corp, 3.191% Due 6/24/2023 ConocoPhillips, 5.2% Due 5/15/2018 ConocoPhillips, 6.65% Due 7/15/2018 ConocoPhillips, 5.75% Due 2/1/2019 ConocoPhillips Company, 3.35% Due 11/15/2024 Devon Energy Corporation, 6.3% Due 1/15/2019 Devon Energy Corporation, 3.25% Due 5/15/2022 Devon Energy Corporation, 4.75% Due 5/15/2042 Diamond Offshore Drilling Inc, 4.875% Due 11/1/2043 Energy Transfer Partners LP, 3.6% Due 2/1/2023 Energy Transfer Partners LP, 4.05% Due 3/15/2025 Energy Transfer Partners LP, 4.75% Due 1/15/2026 Enterprise Products Operations, 6.5% Due 1/31/2019 Enterprise Products Operations, 2.85% Due 4/15/2021 Enterprise Products Operations, 3.35% Due 3/15/2023 Enterprise Products Operations, 3.9% Due 2/15/2024 Enterprise Products Operations, 3.75% Due 2/15/2025 Enterprise Products Operations, 3.7% Due 2/15/2026 Enterprise Products Operations, 5.75% Due 3/1/2035 EOG Resources Inc, 4.4% Due 6/1/2020 EOG Resources Inc, 4.1% Due 2/1/2021 Exxon Mobil Corporation, 2.397% Due 3/6/2022 Freeport-McMoran Oil & Gas, 6.5% Due 11/15/2020 Gulf South Pipeline, 4.0% Due 6/15/2022 Halliburton Company, 6.15% Due 9/15/2019 Halliburton Company, 3.5% Due 8/1/2023 Halliburton Company, 7.45% Due 9/15/2039 Hess Corp, 7.3% Due 8/15/2031 Magellan Midstream Partners, 6.55% Due 7/15/2019 Magellan Midstream Partners, 3.2% Due 3/15/2025 Magellan Midstream Partners, 5.15% Due 10/15/2043 Marathon Oil Corp, 6.0% Due 10/1/2017 Marathon Oil Corp, 5.9% Due 3/15/2018 Marathon Oil Corp, 2.8% Due 11/1/2022 Marathon Petroleum Corporation, 3.625% Due 9/15/2024 Nabors Industries Inc, 5.0% Due 9/15/2020 Nabors Industries Inc, 4.625% Due 9/15/2021 Noble Energy Inc, 3.9% Due 11/15/2024 Occidental Petroleum Corp, 2.7% Due 2/15/2023 Occidental Petroleum Corp, 3.5% Due 6/15/2025 OneOk Partners LP, 6.65% Due 10/1/2036 Petroleos Mexicanos, 6.375% Due 2/4/2021

Cost

Fair Value

184 89 350 354 71 250 303

183 88 419 334 85 248 301 14,476

189 93 534 465 89 308 354 15,766

300 285 240 185 153 106 100 200 215 35 180 200 880 500 190 501 294 100 225 495 244 157 200 170 257 220 140 470 109 192 125 123 485 340 200 770 268 285 360 340 100 250 330 164 225 200 110 323 386 176 570 226 425 220 75 274

303 293 286 181 153 105 100 207 216 35 232 188 880 500 190 520 311 100 193 532 243 156 166 169 257 219 155 470 112 192 125 123 579 358 211 770 282 280 376 351 98 326 368 164 232 206 114 220 385 187 587 225 421 219 85 274

342 316 315 190 157 111 101 210 213 34 235 183 908 511 202 536 320 110 232 536 237 141 142 163 252 226 157 486 112 203 130 128 535 368 217 790 269 273 409 353 138 287 373 163 240 207 114 293 379 166 523 230 432 232 78 298

See accompanying notes to financial statements.

West Virginia Investment Management Board I-8

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Petroleos Mexicanos, 6.875% Due 8/4/2026 Plains All American Pipeline, 2.6% Due 12/15/2019 Plains All American Pipeline, 3.6% Due 11/1/2024 Plains All American Pipeline, 4.65% Due 10/15/2025 Plains All American Pipeline, 4.9% Due 2/15/2045 Spectra Energy Capital, 6.2% Due 4/15/2018 Spectra Energy Capital, 6.75% Due 7/15/2018 Spectra Energy Capital, 8.0% Due 10/1/2019 Spectra Energy Partners, 4.75% Due 3/15/2024 Sunoco Logistics Partner, 4.65% Due 2/15/2022 Sunoco Logistics Partner, 5.3% Due 4/1/2044 Texas Eastern Transmission, 6.0% Due 9/15/2017 Valero Energy Corporation, 9.375% Due 3/15/2019 Valero Energy Corporation, 6.125% Due 2/1/2020 Total Energy Financial Services ACE INA Holdings, 3.15% Due 3/15/2025 African Development Bank, 8.8% Due 9/1/2019 AIG Sunamer Global Finance X, 6.9% Due 3/15/2032 Allstate Corp, 3.15% Due 6/15/2023 American Express Co, 7.0% Due 3/19/2018 American Express Co, 3.625% Due 12/5/2024 American Express Credit Co, 1.8% Due 7/31/2018 American Express Credit Co, 2.25% Due 5/5/2021 American International Group, 4.125% Due 2/15/2024 Ameriprise Financial Inc, 4.0% Due 10/15/2023 Ameritech Capital Funding, 6.45% Due 1/15/2018 Bank of America, 2.05% Due 12/7/2018 Bank of America Corp, 6.875% Due 4/25/2018 Bank of America Corp, 5.65% Due 5/1/2018 Bank of America Corp, 5.625% Due 7/1/2020 Bank of America Corp, 5.0% Due 5/13/2021 Bank of America Corp, 4.125% Due 1/22/2024 Bank of America Corp, 4.0% Due 4/1/2024 Bank of America Corp, 3.95% Due 4/21/2025 Bank of America Corp, 3.875% Due 8/1/2025 Bank of New York Mellon, 4.6% Due 1/15/2020 Bank of New York Mellon, 3.65% Due 2/4/2024 Bank of New York Mellon, 3.25% Due 9/11/2024 Barclays PLC, 3.25% Due 1/12/2021 BB&T Corporation, 6.85% Due 4/30/2019 BB&T Corporation, 2.05% Due 5/10/2021 Berkshire Hathaway Finance, 5.4% Due 5/15/2018 Berkshire Hathaway Finance, 3.0% Due 5/15/2022 Berkshire Hathaway Finance, 4.3% Due 5/15/2043 BlackRock Inc, 6.25% Due 9/15/2017 BlackRock Inc, 3.375% Due 6/1/2022 BlackRock Inc, 3.5% Due 3/18/2024 Blackstone Holdings Financial, 5.875% Due 3/15/2021 Blackstone Holdings Financial, 4.75% Due 2/15/2023 Blackstone Holdings Financial, 4.45% Due 7/15/2045 Boston Properties LP, 3.125% Due 9/1/2023 Boston Properties LP, 3.8% Due 2/1/2024 Capital One Financial Corp, 3.5% Due 6/15/2023 Capital One Financial Corp, 3.2% Due 2/5/2025 Charles Schwab Corp, 3.225% Due 9/1/2022 Chubb Corp, 5.75% Due 5/15/2018 Citigroup Inc, 1.75% Due 5/1/2018 Citigroup Inc, 2.4% Due 2/18/2020 Citigroup Inc, 2.7% Due 3/30/2021 Citigroup Inc, 5.5% Due 9/13/2025 Citigroup Inc, 7.0% Due 12/1/2025 Citigroup Inc, 3.7% Due 1/12/2026 Citigroup Inc, 4.3% Due 11/20/2026 Citigroup Inc, 8.125% Due 7/15/2039

Cost

Fair Value

220 85 250 285 195 445 160 450 500 450 50 350 200 300

220 85 250 285 195 449 155 481 499 471 52 366 236 334 19,308

246 83 235 288 174 473 171 517 550 469 49 367 239 339 19,706

300 1,000 110 140 595 104 261 267 618 300 70 1,125 650 2,100 190 775 211 204 298 291 115 333 500 400 225 515 300 295 208 500 200 160 550 230 107 350 398 1,560 242 500 228 240 485 310 577 490 1,150 300 195

300 1,171 115 140 617 104 261 269 631 299 71 1,125 659 2,104 191 784 224 203 297 290 115 332 522 401 224 514 310 300 206 509 199 162 549 227 106 328 397 1,558 241 506 245 238 484 310 577 523 1,149 299 191

313 1,216 143 149 650 107 263 272 652 325 75 1,141 710 2,250 214 868 227 218 303 309 127 364 532 399 258 523 324 315 231 532 217 174 644 257 108 360 427 1,610 244 532 247 241 490 316 647 614 1,211 309 304

See accompanying notes to financial statements.

West Virginia Investment Management Board I-9

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

CME Group Inc, 3.0% Due 9/15/2022 CME Group Inc, 3.0% Due 3/15/2025 CNA Financial Corp, 3.95% Due 5/15/2024 Comerica Bank, 5.2% Due 8/22/2017 Commonwealth, 6.65% Due 1/15/2018 Commonwealth REIT, 5.875% Due 9/15/2020 Credit Suisse GP Fund Ltd, 3.8% Due 9/15/2022 Deutsche Bank AG London, 1.875% Due 2/13/2018 Discover Bank, 3.2% Due 8/9/2021 Equifax Inc, 2.3% Due 6/1/2021 ERP Operating LP, 4.625% Due 12/15/2021 Fifth Third Bancorp, 2.875% Due 7/27/2020 FMR LLC, 6.45% Due 11/15/2039 Goldman Sachs Group Inc, 5.95% Due 1/18/2018 Goldman Sachs Group Inc, 2.625% Due 1/31/2019 Goldman Sachs Group Inc, 7.5% Due 2/15/2019 Goldman Sachs Group Inc, 5.375% Due 3/15/2020 Goldman Sachs Group Inc, 6.0% Due 6/15/2020 Goldman Sachs Group Inc, 2.75% Due 9/15/2020 Goldman Sachs Group Inc, 2.625% Due 4/25/2021 Goldman Sachs Group Inc, 5.25% Due 7/27/2021 Goldman Sachs Group Inc, 4.0% Due 3/3/2024 Goldman Sachs Group Inc, 3.75% Due 2/25/2026 Goldman Sachs Group Inc, 6.75% Due 10/1/2037 HCP Inc, 2.625% Due 2/1/2020 HCP Inc, 4.2% Due 3/1/2024 HCP Inc, 3.875% Due 8/15/2024 HCP Inc, 3.4% Due 2/1/2025 HSBC USA Inc, 2.35% Due 3/5/2020 HSBC USA Inc, 2.75% Due 8/7/2020 Huntington Bancshares Inc, 3.15% Due 3/14/2021 Huntington National Bank, 2.875% Due 8/20/2020 Jackson National Life Global, 2.25% Due 4/29/2021 Jefferies Group LLC, 5.125% Due 4/13/2018 Jefferies Group LLC, 6.875% Due 4/15/2021 Jefferies Group LLC, 6.45% Due 6/8/2027 Keycorp, 2.9% Due 9/15/2020 Keycorp, 5.1% Due 3/24/2021 Legg Mason Inc, 4.75% Due 3/15/2026 Liberty Mutual Group Inc, 5.0% Due 6/1/2021 Lincoln National Corp, 4.85% Due 6/24/2021 Lincoln National Corp, 4.2% Due 3/15/2022 Manuf & Traders Trust Co, 6.625% Due 12/4/2017 Marsh & McLennan Cos Inc, 2.35% Due 9/10/2019 Marsh & McLennan Cos Inc, 2.35% Due 3/6/2020 Mass Mutual Global Funding, 2.5% Due 10/17/2022 Met Life Global Funding I, 1.5% Due 1/10/2018 Met Life Global Funding I, 2.3% Due 4/10/2019 MetLife Inc, 3.6% Due 11/13/2025 Morgan Stanley, 5.95% Due 12/28/2017 Morgan Stanley, 6.625% Due 4/1/2018 Morgan Stanley, 5.625% Due 9/23/2019 Morgan Stanley, 2.65% Due 1/27/2020 Morgan Stanley, 5.75% Due 1/25/2021 Morgan Stanley, 3.7% Due 10/23/2024 MUFG Americas Holdings Corp, 3.0% Due 2/10/2025 National City Bank, 5.8% Due 6/7/2017 National Retail Property Inc, 4.0% Due 11/15/2025 National Rural Utilities Co-op, 5.45% Due 2/1/2018 National Rural Utilities Co-op, 10.375% Due 11/1/2018 Nationwide Mutual Insurance, 9.375% Due 8/15/2039 New York Life Global Fdg, 2.15% Due 6/18/2019 Northern Trust Company, 6.5% Due 8/15/2018 Pacific Life Global Funding, 5.0% Due 5/15/2017 PNC Bank NA, 6.875% Due 4/1/2018 PNC Bank NA, 2.7% Due 11/1/2022

300 316 170 250 430 325 250 223 500 148 326 199 250 345 255 980 1,130 590 106 61 138 174 195 140 570 66 227 184 449 494 99 250 430 340 590 330 84 550 111 625 384 94 715 244 285 211 178 545 288 1,115 650 1,310 100 115 278 467 850 401 195 410 615 732 250 400 250 400

See accompanying notes to financial statements.

West Virginia Investment Management Board I-10

Cost

Fair Value 299 315 171 251 411 322 250 223 499 148 343 200 248 356 257 1,024 1,202 623 106 61 138 174 195 144 570 66 226 183 449 494 99 249 430 340 662 289 84 596 111 665 402 94 719 244 285 210 178 548 288 1,132 657 1,288 100 115 278 465 851 402 204 458 740 731 261 400 258 400

318 330 179 260 449 361 251 222 509 150 368 207 326 368 261 1,121 1,257 673 108 62 156 186 205 173 575 68 228 178 449 498 103 257 436 356 670 367 87 619 117 690 425 101 763 249 291 214 179 558 302 1,186 704 1,453 102 131 291 475 884 425 208 495 935 750 277 411 273 404

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

PNC Financial Services Group, 3.9% Due 4/29/2024 PNC Funding Corp, 5.625% Due 2/1/2017 PNC Funding Corp, 5.125% Due 2/8/2020 Pricoa Global Funding 1, 1.6% Due 5/29/2018 Principal Financial Group Inc, 1.85% Due 11/15/2017 Principal Life Global Funding II, 2.25% Due 10/15/2018 Progressive Corp, 4.35% Due 4/25/2044 Prudential Financial Inc, 2.35% Due 8/15/2019 Prudential Financial Inc, 5.9% Due 3/17/2036 Prudential Financial Inc, 4.6% Due 5/15/2044 Prudential Insurance Company, 8.3% Due 7/1/2025 Realty Income Corp, 3.25% Due 10/15/2022 Reliance Stand Life II, 3.05% Due 1/20/2021 Royal Bank of Canada, 2.5% Due 1/19/2021 Simon Property Group LP, 4.375% Due 3/1/2021 Simon Property Group LP, 3.75% Due 2/1/2024 Simon Property Group LP, 3.375% Due 10/1/2024 Southtrust Bank, 7.69% Due 5/15/2025 State Street Corp, 3.1% Due 5/15/2023 State Street Corp, 2.65% Due 5/19/2026 SunTrust Banks Inc, 2.35% Due 11/1/2018 TD Ameritrade Holding Co, 2.95% Due 4/1/2022 Toronto-Dominion Bank, 1.95% Due 1/22/2019 Toronto-Dominion Bank, 2.125% Due 4/7/2021 Travelers PPTY Casualty, 7.75% Due 4/15/2026 US Bank NA, 2.8% Due 1/27/2025 Ventas Realty LP, 3.75% Due 5/1/2024 Ventas Realty LP/CAP Corp, 4.25% Due 3/1/2022 Ventas Realty LP/CAP Corp, 3.25% Due 8/15/2022 Visa Inc, 2.8% Due 12/14/2022 Wachovia Corp, 5.75% Due 6/15/2017 Wells Fargo & Company, 2.15% Due 1/30/2020 Wells Fargo & Company, 2.55% Due 12/7/2020 Wells Fargo & Company, 4.6% Due 4/1/2021 Wells Fargo & Company, 4.48% Due 1/16/2024 Wells Fargo & Company, 3.0% Due 4/22/2026 Wells Fargo & Company, 4.1% Due 6/3/2026 Wells Fargo & Company, 4.65% Due 11/4/2044 Wells Fargo & Company, 4.9% Due 11/17/2045 Welltower Inc, 3.75% Due 3/15/2023 Total Financial Services Health Care AbbVie Inc, 1.75% Due 11/6/2017 AbbVie Inc, 2.9% Due 11/6/2022 AbbVie Inc, 3.2% Due 11/6/2022 AbbVie Inc, 4.5% Due 5/14/2035 Abbvie Inc, 4.3% Due 5/14/2036 Actavis Inc, 3.25% Due 10/1/2022 Aetna Inc, 2.8% Due 6/15/2023 Aetna Inc, 4.25% Due 6/15/2036 Aetna Inc, 6.75% Due 12/15/2037 Aetna Inc, 4.5% Due 5/15/2042 Allergan Inc, 3.375% Due 9/15/2020 Amgen Inc, 5.7% Due 2/1/2019 Amgen Inc, 2.2% Due 5/22/2019 Amgen Inc, 3.875% Due 11/15/2021 Amgen Inc, 3.125% Due 5/1/2025 Amgen Inc, 4.95% Due 10/1/2041 Amgen Inc, 4.663% Due 6/15/2051 Anthem Inc, 4.65% Due 8/15/2044 Baxalta Inc, 3.6% Due 6/23/2022 Baxter International Inc, 4.25% Due 3/15/2020 Bayer US Finance LLC, 3.375% Due 10/8/2024 Becton Dickinson & Company, 3.734% Due 12/15/2024 Biogen Inc, 6.875% Due 3/1/2018

Cost

Fair Value

118 300 160 150 52 353 362 250 188 62 650 285 206 575 275 585 325 400 539 300 630 164 145 462 410 294 59 185 109 310 775 500 813 425 209 168 323 307 247 310

118 303 160 150 52 353 361 250 217 62 761 286 206 574 299 587 324 450 532 300 633 164 145 461 473 293 59 193 110 310 779 499 812 433 202 167 323 305 245 309 60,018

127 307 179 151 52 360 414 255 226 67 867 292 213 594 305 638 349 522 558 306 640 171 147 470 565 306 62 200 113 327 808 508 837 475 229 171 345 324 270 321 63,717

283 196 76 141 448 164 120 92 490 71 206 210 285 610 255 200 123 314 81 146 200 98 105

283 195 76 140 446 163 120 92 630 68 213 213 290 649 254 198 128 313 81 154 198 98 114

285 200 79 147 457 168 123 95 665 75 215 233 292 665 266 220 129 334 84 159 208 106 114

See accompanying notes to financial statements.

West Virginia Investment Management Board I-11

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Biogen Inc, 3.625% Due 9/15/2022 Cardinal Health Inc, 2.4% Due 11/15/2019 Cardinal Health Inc, 3.75% Due 9/15/2025 Celgene Corporation, 3.95% Due 10/15/2020 Celgene Corporation, 3.25% Due 8/15/2022 Celgene Corporation, 3.625% Due 5/15/2024 Express Scripts Holding Co, 3.5% Due 6/15/2024 Forest Laboratories Inc, 5.0% Due 12/15/2021 Gilead Sciences Inc, 4.4% Due 12/1/2021 Gilead Sciences Inc, 3.25% Due 9/1/2022 Gilead Sciences Inc, 3.65% Due 3/1/2026 Gilead Sciences Inc, 4.6% Due 9/1/2035 GlaxoSmithKline Capital Inc, 6.375% Due 5/15/2038 Johnson & Johnson, 2.05% Due 3/1/2023 Johnson & Johnson, 3.55% Due 3/1/2036 Laboratory Corp of America Holdings, 4.0% Due 11/1/2023 Laboratory Corp of America Holdings, 3.6% Due 2/1/2025 Medco Health Solutions, 7.125% Due 3/15/2018 Medtronic Inc, 3.5% Due 3/15/2025 Medtronic Inc, 4.375% Due 3/15/2035 Merck & Company Inc, 2.35% Due 2/10/2022 Novartis Capital Corp, 3.4% Due 5/6/2024 Pfizer Inc, 4.65% Due 3/1/2018 Pfizer Inc, 6.2% Due 3/15/2019 Roche Holdings Inc, 2.875% Due 9/29/2021 Stryker Corporation, 3.5% Due 3/15/2026 Teva Pharm Finance IV BV, 3.65% Due 11/10/2021 Thermo Fisher Scientific Inc, 3.0% Due 4/15/2023 UnitedHealth Group Inc, 4.7% Due 2/15/2021 UnitedHealth Group Inc, 2.875% Due 3/15/2022 UnitedHealth Group Inc, 3.75% Due 7/15/2025 UnitedHealth Group Inc, 6.875% Due 2/15/2038 Zoetis Inc, 3.25% Due 2/1/2023 Total Health Care Technology Apple Inc, 1.0% Due 5/3/2018 Apple Inc, 2.15% Due 2/9/2022 Apple Inc, 2.85% Due 2/23/2023 Apple Inc, 2.4% Due 5/3/2023 Apple Inc, 3.2% Due 5/13/2025 Apple Inc, 4.5% Due 2/23/2036 Cisco Systems Inc, 4.45% Due 1/15/2020 Cisco Systems Inc, 2.45% Due 6/15/2020 Cisco Systems Inc, 2.9% Due 3/4/2021 Cisco Systems Inc, 2.95% Due 2/28/2026 Cisco Systems Inc, 5.5% Due 1/15/2040 Diamond 1 Finance/Diamond 2, 5.45% Due 6/15/2023 HP Inc, 3.75% Due 12/1/2020 HP Inc, 4.375% Due 9/15/2021 HP Inc, 6.0% Due 9/15/2041 IBM Corporation, 7.625% Due 10/15/2018 IBM Corporation, 8.375% Due 11/1/2019 IBM Corporation, 4.0% Due 6/20/2042 Intel Corporation, 3.3% Due 10/1/2021 Intel Corporation, 3.1% Due 7/29/2022 Intel Corporation, 3.7% Due 7/29/2025 Intuit Inc, 5.75% Due 3/15/2017 Microsoft Corporation, 3.625% Due 12/15/2023 Microsoft Corporation, 3.5% Due 2/12/2035 Microsoft Corporation, 3.75% Due 5/1/2043 National Semiconductor, 6.6% Due 6/15/2017 Oracle Corporation, 5.75% Due 4/15/2018 Oracle Corporation, 5.0% Due 7/8/2019 Oracle Corporation, 2.95% Due 5/15/2025 Oracle Corporation, 6.5% Due 4/15/2038

Cost

Fair Value

297 225 182 250 294 75 180 173 265 131 145 300 275 575 330 200 291 690 290 167 122 313 205 700 500 56 201 131 115 65 315 380 470

297 225 182 262 294 75 179 183 289 131 148 303 311 574 328 202 291 733 288 166 122 311 213 773 509 56 206 130 125 67 314 526 458 14,387

315 231 198 270 304 78 186 194 299 140 158 334 393 589 365 214 302 753 316 189 126 342 218 791 532 59 213 134 130 68 346 555 479 15,140

313 529 244 284 311 202 125 125 99 130 300 316 49 297 122 330 460 508 236 220 143 863 120 221 500 430 250 400 385 605

313 529 244 284 310 201 125 125 99 135 294 316 49 297 122 348 533 403 236 224 143 876 120 219 493 448 252 403 383 668

314 539 256 289 330 227 138 130 105 138 393 328 52 320 117 377 565 538 256 236 159 891 133 229 506 453 271 444 400 824

See accompanying notes to financial statements.

West Virginia Investment Management Board I-12

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Oracle Corporation, 5.375% Due 7/15/2040 Oracle Corporation, 4.375% Due 5/15/2055 Texas Instruments Inc, 1.75% Due 5/1/2020 Xerox Corporation, 5.625% Due 12/15/2019 Total Technology Utilities AGL Capital Corporation, 5.25% Due 8/15/2019 AGL Capital Corporation, 3.5% Due 9/15/2021 AGL Capital Corporation, 5.875% Due 3/15/2041 Alabama Power Co, 6.125% Due 5/15/2038 American Water Capital Corp, 3.4% Due 3/1/2025 American Water Capital Corp, 6.593% Due 10/15/2037 Appalachian Power Company, 5.95% Due 5/15/2033 Arizona Public Service, 2.2% Due 1/15/2020 Arizona Public Service, 5.05% Due 9/1/2041 Arizona Public Service, 4.5% Due 4/1/2042 Atmos Energy Corp, 8.5% Due 3/15/2019 Atmos Energy Corp, 4.125% Due 10/15/2044 Baltimore Gas & Electric Co, 2.8% Due 8/15/2022 Berkshire Hathaway Energy, 3.5% Due 2/1/2025 Berkshire Hathaway Energy, 6.125% Due 4/1/2036 Boston Gas Company, 4.487% Due 2/15/2042 Centerpoint Energy Inc, 6.5% Due 5/1/2018 Centerpoint Energy Resources, 4.5% Due 1/15/2021 Cleveland Electric Illuminating Co, 7.88% Due 11/1/2017 Cleveland Electric Illuminating Co, 8.875% Due 11/15/2018 Commonwealth Edison, 4.6% Due 8/15/2043 Connecticut Light and Power, 5.65% Due 5/1/2018 Cons Edison Co of NY, 5.1% Due 6/15/2033 Cons Edison Co of NY, 6.3% Due 8/15/2037 Cons Edison Co of NY, 5.5% Due 12/1/2039 Consumers Energy Company, 6.7% Due 9/15/2049 Dominion Gas Holdings LLC, 2.8% Due 11/15/2020 Dominion Resources Inc, 6.4% Due 6/15/2018 Dominion Resources Inc, 2.75% Due 9/15/2022 Dominion Resources Inc, 4.9% Due 8/1/2041 DTE Electric Company, 3.9% Due 6/1/2021 DTE Electric Company, 2.65% Due 6/15/2022 DTE Energy Company, 2.4% Due 12/1/2019 DTE Energy Company, 3.3% Due 6/15/2022 DTE Energy Company, 3.5% Due 6/1/2024 Duke Energy Carolinas, 7.0% Due 11/15/2018 Duke Energy Carolinas, 4.3% Due 6/15/2020 Duke Energy Carolinas, 3.9% Due 6/15/2021 Duke Energy Carolinas, 6.0% Due 1/15/2038 Duke Energy Corp, 3.55% Due 9/15/2021 Duke Energy Florida Inc, 6.4% Due 6/15/2038 Duke Energy Ohio Inc, 5.45% Due 4/1/2019 Duke Energy Progress Inc, 5.3% Due 1/15/2019 Duke Energy Progress Inc, 2.8% Due 5/15/2022 Duke Energy Progress Inc, 4.1% Due 3/15/2043 Duke Energy Progress Inc, 4.15% Due 12/1/2044 Entergy Gulf States LA, 6.0% Due 5/1/2018 Exelon Generation Co LLC, 2.95% Due 1/15/2020 Exelon Generation Co LLC, 4.0% Due 10/1/2020 Exelon Generation Co LLC, 5.75% Due 10/1/2041 Florida Power & Light, 3.25% Due 6/1/2024 Florida Power & Light, 4.95% Due 6/1/2035 Florida Power & Light, 5.96% Due 4/1/2039 Indiana Michigan Power, 7.0% Due 3/15/2019 John Sevier Comb Cycle, 4.626% Due 1/15/2042 Kansas City Power & Light, 6.375% Due 3/1/2018 Kansas City Power & Light, 5.3% Due 10/1/2041 Kentucky Utilities Company, 3.25% Due 11/1/2020 Massachusetts Electric, 5.9% Due 11/15/2039

Cost

Fair Value

270 385 165 183

274 383 165 184 10,198

326 404 168 196 11,052

400 353 120 303 227 300 250 56 175 103 150 142 278 121 125 85 310 300 300 225 300 435 200 150 350 394 97 465 50 64 310 53 113 192 120 250 211 210 71 176 280 395 200 83 150 161 380 97 288 86 500 250 335 145 1,095 280 385 170 182

410 350 120 375 227 348 233 56 203 102 150 142 277 121 153 85 328 323 311 234 299 460 208 160 340 455 97 479 50 63 326 53 113 192 120 267 211 222 92 177 318 399 203 83 149 160 398 97 288 86 499 291 364 153 1,138 297 383 178 181

438 375 146 402 246 434 291 57 216 119 177 155 288 131 166 92 336 326 324 262 353 470 230 200 441 460 100 507 51 70 341 55 115 202 127 284 235 232 95 188 399 439 220 87 164 177 412 100 307 89 537 304 465 165 1,282 301 457 181 228

See accompanying notes to financial statements.

West Virginia Investment Management Board I-13

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Midamerican Energy Co, 3.7% Due 9/15/2023 Nevada Power Company, 6.5% Due 8/1/2018 Nevada Power Company, 7.125% Due 3/15/2019 Nevada Power Company, 5.375% Due 9/15/2040 Nextera Energy Capital, 6.0% Due 3/1/2019 Niagara Mohawk Power, 4.881% Due 8/15/2019 NiSource Finance Corp, 6.4% Due 3/15/2018 NiSource Finance Corp, 5.45% Due 9/15/2020 Northern States Power- Minn, 6.25% Due 6/1/2036 Northern States Power- Minn, 5.35% Due 11/1/2039 Nstar Electric Co, 2.375% Due 10/15/2022 Ohio Power Company, 6.05% Due 5/1/2018 Oncor Electric Delivery, 6.8% Due 9/1/2018 Pacific Gas & Electric, 8.25% Due 10/15/2018 Pacific Gas & Electric, 3.25% Due 9/15/2021 Pacific Gas & Electric, 3.5% Due 6/15/2025 Pacific Gas & Electric, 6.35% Due 2/15/2038 PacifiCorp, 5.5% Due 1/15/2019 PacifiCorp, 6.1% Due 8/1/2036 Pennsylvania Electric Co, 6.05% Due 9/1/2017 Potomac Electric Power, 5.4% Due 6/1/2035 Potomac Electric Power, 7.9% Due 12/15/2038 PPL Capital Funding Inc, 4.2% Due 6/15/2022 Progress Energy Inc, 7.75% Due 3/1/2031 PSEG Power LLC, 4.15% Due 9/15/2021 Public Service Colorado, 3.2% Due 11/15/2020 Public Service Electric & Gas, 5.375% Due 11/1/2039 Public Service Oklahoma, 5.15% Due 12/1/2019 Public Service Oklahoma, 4.4% Due 2/1/2021 San Diego Gas & Electric, 5.35% Due 5/15/2040 Sempra Energy, 9.8% Due 2/15/2019 Sempra Energy, 2.875% Due 10/1/2022 Sempra Energy, 4.05% Due 12/1/2023 Sierra Pacific Power Co, 3.375% Due 8/15/2023 South Carolina E & G, 4.5% Due 6/1/2064 Southern Cal Edison, 6.05% Due 3/15/2039 Southern Cal Edison, 5.5% Due 3/15/2040 Southern Calif Gas Co, 3.2% Due 6/15/2025 Southern Calif Gas Co, 5.75% Due 11/15/2035 Southern Company, 1.95% Due 9/1/2016 Southwestern Electric Power, 6.45% Due 1/15/2019 Southwestern Public Service, 8.75% Due 12/1/2018 Teco Finance Inc, 5.15% Due 3/15/2020 Virginia Electric & Power Co, 5.4% Due 4/30/2018 Virginia Electric & Power Co, 3.45% Due 2/15/2024 Virginia Electric & Power Co, 4.45% Due 2/15/2044 Wisconsin Electric Power, 1.7% Due 6/15/2018 Wisconsin Electric Power, 2.95% Due 9/15/2021 Wisconsin Electric Power, 3.1% Due 6/1/2025 Xcel Energy Inc, 4.7% Due 5/15/2020 Total Utilities

485 355 300 51 125 100 299 299 360 64 200 205 615 605 49 156 420 350 316 210 180 455 120 100 656 45 169 213 137 27 450 105 137 98 55 250 170 285 375 130 115 288 570 490 71 105 300 11 272 45

Total U.S. Corporate Bonds - 22.2% Corporate Asset Backed Issues Academic Loan Funding Trust, 1.253% Due 12/27/2022 Ally Auto Receivables Trust, 1.03% Due 9/20/2017 Ally Auto Receivables Trust, 1.2% Due 8/15/2018 American Credit Acceptance Receivables Trust, 1.33% Due 11/10/2016 American Homes 4 Rent, 3.786% Due 10/17/2024 American Homes 4 Rent, 5.149% Due 10/17/2024 American Homes 4 Rent, 6.231% Due 10/17/2024 American Homes 4 Rent, 3.678% Due 12/17/2024 American Homes 4 Rent, 5.04% Due 12/17/2024 American Homes 4 Rent, 3.467% Due 4/17/2025 American Homes 4 Rent, 4.407% Due 4/17/2025

205 320 1,161 16 2,195 1,260 200 1,507 323 1,799 418

See accompanying notes to financial statements.

West Virginia Investment Management Board I-14

Cost

Fair Value 484 380 313 51 125 100 316 320 387 64 198 203 649 666 49 155 571 355 353 216 211 615 125 119 674 45 176 221 136 27 500 105 137 98 54 248 167 284 472 130 118 310 619 493 71 113 300 11 272 45 27,448

534 393 346 63 139 109 324 338 499 84 206 221 683 697 53 170 570 385 425 221 213 714 131 140 700 48 218 237 150 35 542 107 148 106 57 342 220 306 480 130 128 337 633 526 77 121 302 12 289 50 30,010

206,292

220,665

205 320 1,161 16 2,215 1,260 217 1,507 323 1,798 416

204 320 1,163 16 2,355 1,347 213 1,617 343 1,903 425

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

American Homes 4 Rent, 3.732% Due 10/17/2025 American Homes 4 Rent, 5.036% Due 10/17/2025 AmeriCredit Auto Receivables, 1.42% Due 10/8/2019 AmeriCredit Auto Receivables, 1.81% Due 10/8/2020 AmeriCredit Auto Receivables, 1.6% Due 11/9/2020 Angel Oak Mortgage Trust, 4.5% Due 11/25/2045 Axis Equipment Finance Receivables, 1.9% Due 3/20/2018 B2R Mortgage Trust, 2.524% Due 5/15/2048 B2R Mortgage Trust, 3.336% Due 11/15/2048 BCC Funding Corp, 2.224% Due 9/20/2018 Blue Elephant Loan Trust, 3.12% Due 12/15/2022 BXG Receivables Note Trust, 2.66% Due 7/2/2019 CarNow Auto Receivables Trust, 1.69% Due 1/15/2020 CFC LLC, 1.44% Due 11/16/2020 CFC LLC, 1.75% Due 6/15/2021 Chase Funding Mortgage Loan, 5.192% Adj, Due 11/25/2034 Chase Funding Mortgage Loan, 4.277% Due 11/25/2034 Colony American Finance Ltd, 2.544% Due 6/15/2048 Concord Funding Company LLC, 3.145% Due 1/15/2017 Consumer Credit Origination, 2.82% Due 8/15/2017 CPS Auto Trust, 1.11% Due 2/15/2017 CPS Auto Trust, 2.52% Due 3/15/2017 CPS Auto Trust, 1.31% Due 5/15/2017 CPS Auto Trust, 1.82% Due 6/15/2017 CPS Auto Trust, 1.49% Due 7/17/2017 CPS Auto Trust, 3.77% Due 10/15/2018 CPS Auto Trust, 4.35% Due 1/15/2019 CPS Auto Trust, 4.0% Due 4/15/2019 CPS Auto Trust, 4.63% Due 8/16/2021 Credit Acceptance Auto Loan, 1.55% Due 10/15/2021 Credit Acceptance Auto Loan, 2.4% Due 2/15/2023 Drive Auto Receivables Trust, 2.12% Due 4/15/2017 Drive Auto Receivables Trust, 4.12% Due 11/15/2018 Drive Auto Receivables Trust, 1.59% Due 12/17/2018 Drive Auto Receivables Trust, 3.84% Due 1/15/2019 DT Auto Owner Trust, 2.0% Due 9/16/2019 DT Auto Owner Trust, 1.75% Due 11/15/2019 Exeter Auto Receivables Trust, 1.32% Due 2/15/2017 Fifth Third Auto Trust, 0.96% Due 3/15/2017 First Investors Auto Owner Trust, 1.59% Due 12/16/2019 Firstkey Lending Trust, 2.553% Due 7/9/2019 Firstkey Lending Trust, 3.417% Due 8/9/2019 Flagship Credit Auto Trust, 1.43% Due 10/17/2017 Flagship Credit Auto Trust, 2.84% Due 6/17/2018 Flagship Credit Auto Trust, 3.95% Due 11/17/2018 Ford Credit Auto Lease Trust, 0.89% Due 9/15/2017 Ford Credit Auto Lease Trust, 1.1% Due 11/15/2017 GLC Trust, 3.0% Due 3/15/2018 GLC II Trust, 4.0% Due 9/18/2017 GLS Auto Receivables Trust, 2.73% Due 10/15/2020 GLS Auto Receivables Trust, 2.25% Due 12/15/2020 Go Financial Auto Securitization, 1.81% Due 3/15/2018 Gold Key Resorts LLC, 3.22% Due 7/15/2020 Honda Auto Receivables Owner, 0.77% Due 5/18/2017 LV Tower 52 Issuer LLC, 5.5% Due 7/15/2019 MarketPlace Loan Trust, 3.25% Due 9/17/2017 MarketPlace Loan Trust, 3.25% Due 12/18/2017 Nationstar HECM Loan Trust, 3.844% Due 5/25/2018 Nationstar HECM Loan Trust, 2.883% Due 11/25/2025 NCUA Guaranteed Notes, 0.795% Adj, Due 12/7/2020 New Residential Advance Receivables Trust, 2.315% Due 8/15/2016 New Residential Advance Receivables Trust, 3.6% Due 8/15/2016 New Residential AdvanceReceivables Trust, 4.679% Due 8/15/2018 NRPL Trust, 3.75% Due 10/25/2057 Ocwen Master Advance Receivables Trust, 4.1% Due 9/17/2046 Ocwen Master Advance Receivables Trust, 3.211% Due 11/15/2047

782 136 1,285 952 233 520 376 317 1,274 670 240 126 407 339 209 372 315 664 1,250 102 200 156 255 86 386 140 150 100 516 386 806 408 294 676 640 2,651 3,135 216 180 384 813 481 178 178 88 96 88 371 360 1,109 508 210 359 182 1,267 229 407 284 828 88 1,000 350 321 842 657 2,824

See accompanying notes to financial statements.

West Virginia Investment Management Board I-15

Cost

Fair Value 782 136 1,285 952 233 518 376 317 1,274 670 240 126 407 339 209 359 297 664 1,250 102 200 156 255 86 386 140 150 100 516 386 806 408 294 676 640 2,651 3,135 216 180 384 814 484 178 178 88 96 88 370 360 1,109 507 210 359 182 1,267 228 406 284 828 88 1,000 350 321 865 656 2,824

844 144 1,287 960 234 521 376 319 1,314 669 240 126 407 337 208 386 321 665 1,251 102 200 156 254 86 385 136 145 95 501 386 811 409 294 676 635 2,659 3,135 216 180 384 818 490 178 177 89 96 88 365 354 1,109 507 210 357 182 1,237 228 407 284 828 88 999 349 324 827 657 2,836

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

OneMain Financial Issuance Trust, 2.47% Due 12/18/2017 OneMain Financial Issuance Trust, 2.57% Due 10/18/2018 OneMain Financial Issuance Trust, 3.19% Due 3/18/2026 Oportun Funding III LLC, 3.69% Due 7/8/2021 Park Place Securities Inc, 1.391% Due 10/25/2034 PFS Tax Lien Trust, 1.44% Due 9/17/2018 Progreso Receivables Funding, 3.625% Due 3/8/2018 Progreso Receivables Funding, 3.5% Due 7/8/2019 Progreso Receivables Funding, 3.0% Due 7/28/2020 Progress Residential Trust, 2.74% Due 6/12/2020 Progress Residential Trust, 3.138% Due 6/12/2020 Residential Asset Mortgage Products, 0.753% Due 3/25/2036 RMAT, 3.75% Due 5/25/2055 Santander Drive Auto Receivables Trust, 1.93% Due 9/17/2019 Santander Drive Auto Receivables Trust, 1.84% Due 11/18/2019 Santander Drive Auto Receivables Trust, 1.97% Due 3/16/2021 Saxon Asset Securities Trust, 4.795% Due 6/25/2033 Selene Non-Performing Loans, 2.981% Due 5/25/2017 Springcastle SPV, 2.7% Due 5/25/2023 Springcastle SPV, 4.61% Due 10/25/2027 Springleaf Funding Trust, 2.41% Due 6/15/2017 Springleaf Funding Trust, 3.16% Due 5/15/2019 Springleaf Funding Trust, 3.62% Due 8/15/2019 Sunset Mortgage Loan Company, 3.721% Due 11/16/2017 Tidewater Auto Receivables Trust, 1.4% Due 9/15/2016 Truman Capital Mortgage Loan, 3.125% Due 4/25/2053 Vericrest Opportunity Loan, 4.375% Due 11/25/2018 Vericrest Opportunity Loan, 3.5% Due 6/26/2045 Vericrest Opportunity Loan, 3.5% Due 6/26/2045 Vericrest Opportunity Loan, 3.375% Due 10/25/2054 Vericrest Opportunity Loan, 3.5% Due 2/25/2055 Vericrest Opportunity Loan, 3.5% Due 2/25/2055 Vericrest Opportunity Loan, 3.375% Due 2/25/2055 Vericrest Opportunity Loan, 3.5% Due 3/25/2055 Vericrest Opportunity Loan, 3.875% Adj, Due 4/26/2055 Vericrest Opportunity Loan, 3.375% Due 8/27/2057 Vericrest Opportunity Loan, 3.625% Due 10/25/2057 Vericrest Opportunity Loan, 3.375% Due 10/25/2058 Westlake Automobile Receivable, 1.57% Due 6/17/2019

1,377 1,750 1,151 952 15 143 883 1,000 401 1,131 503 361 272 132 19 108 81 110 1,477 550 991 1,153 272 566 19 1 739 1,572 612 178 463 835 526 736 404 912 527 820 1,297

Total Corporate Asset Backed Issues - 7.2% Corporate CMO A10 Securitization, 2.4% Due 11/15/2025 A10 Securitization, 1.72% Due 4/15/2033 A10 Securitization, 2.1% Due 4/15/2034 Ajax Mortgage Loan Trust, 3.875% Due 7/25/2060 American Tower Trust I, 1.551% Due 3/15/2018 ARLP Securitization Trust, 3.967% Due 5/25/2055 ASG Resecuritization Trust, 2.346% Adj, Due 3/26/2037 ASG Resecuritization Trust, 2.511% Adj, Due 6/26/2037 Banc of America Alternative Loan Trust, 5.0% Due 9/25/2018 Banc of America Alternative Loan Trust, 5.5% Due 2/25/2019 Banc of America Alternative Loan Trust, 5.5% Due 9/25/2019 Banc of America Alternative Loan Trust, 5.5% Due 9/25/2033 Banc of America Alternative Loan Trust, 6.0% Due 1/25/2034 Banc of America Alternative Loan Trust, 6.0% Due 1/25/2034 Banc of America Commercial Mortgage, 4.727% Due 7/10/2043 Banc of America Commercial Mortgage, 5.889% Due 7/10/2044 Banc of America Funding Corp, 5.5% Due 10/25/2034 Banc of America Funding Corp, 3.082% Adj, Due 12/20/2034 Banc of America Funding Corp, 5.076% Adj, Due 2/26/2035 Banc of America Merrill Lynch, 2.959% Due 12/10/2030 Banc of America Merrill Lynch, 4.354% Adj, Due 8/15/2034 Banc of America Mortgage Securities, 5.0% Due 4/25/2019 Banc of America Mortgage Securities, 6.5% Due 9/25/2032

6 170 588 389 380 875 352 116 73 73 64 147 149 230 89 137 223 74 150 187 350 16 48

See accompanying notes to financial statements.

West Virginia Investment Management Board I-16

Cost

Fair Value 1,377 1,750 1,151 952 14 143 883 1,000 401 1,130 503 318 272 132 19 108 81 110 1,477 550 991 1,153 272 565 19 1 738 1,571 612 178 463 837 526 737 403 911 527 829 1,297

1,380 1,749 1,163 952 15 142 881 1,001 394 1,147 506 357 270 131 19 107 82 109 1,482 551 991 1,160 266 563 19 1 742 1,561 607 177 460 831 521 729 403 906 525 811 1,297

70,880

71,452

6 170 588 388 381 875 343 106 73 71 64 132 145 223 89 137 221 74 155 191 334 16 47

6 169 586 385 381 855 349 115 74 73 62 148 153 236 89 137 228 73 151 196 342 16 49

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Banc of America Mortgage Securities, 3.181% Adj, Due 4/25/2033 Banc of America Mortgage Securities, 3.275% Adj, Due 6/25/2033 Banc of America Mortgage Securities, 3.198% Adj, Due 4/25/2034 Banc of America Mortgage Securities, 5.5% Due 4/25/2034 Bank of America Corp, 5.75% Due 9/20/2034 BB-UBS Trust, 2.892% Due 6/5/2020 BB-UBS Trust, 3.43% Due 11/5/2024 BCAP LLC Trust, 5.5% Due 11/26/2034 BCAP LLC Trust, 3.019% Adj, Due 4/26/2035 BCAP LLC Trust, 2.379% Adj, Due 5/26/2037 BCAP LLC Trust, 1.439% Adj, Due 9/11/2038 BCAP LLC Trust, 2.563% Adj, Due 7/26/2045 Bear Stearns Adjustable Rate Mortgage, 2.93% Adj, Due 7/25/2033 Bear Stearns Adjustable Rate Mortgage, 3.367% Adj, Due 5/25/2034 Bear Stearns Adjustable Rate Mortgage, 2.38% Adj, Due 8/25/2035 Bear Stearns Alt-A Trust, 1.093% Due 7/25/2034 Bear Stearns Commercial Mortgage, 5.537% Due 10/12/2041 CAM Mortgage Trust, 3.5% Due 7/15/2064 Chase Mortgage Finance Corp, 3.044% Adj, Due 2/25/2037 Chase Mortgage Finance Corp, 2.899% Adj, Due 2/25/2037 Chase Mortgage Finance Corp, 3.143% Adj, Due 7/25/2037 Citi Held for Asset Issuance, 1.85% Due 12/15/2021 Citigroup Commercial Mortgage, 2.11% Due 1/12/2018 Citigroup Mortgage Loan Trust, 5.25% Due 10/25/2033 Citigroup Mortgage Loan Trust, 2.647% Adj, Due 8/25/2034 Citigroup Mortgage Loan Trust, 2.762% Adj, Due 2/25/2035 Citigroup Mortgage Loan Trust, 5.5% Due 5/25/2035 Citigroup Mortgage Loan Trust, 6.0% Due 6/25/2036 Citigroup Mortgage Loan Trust, 4.0% Due 11/25/2036 Citigroup Mortgage Loan Trust, 4.5% Due 12/25/2036 Citigroup Mortgage Loan Trust, 2.971% Adj, Due 11/25/2038 Cobalt CMBS Commercial Mortgag, 5.223% Due 8/15/2048 COMM Mortgage Trust, 1.247% Due 8/13/2016 COMM Mortgage Trust, 3.796% Due 8/10/2024 COMM Mortgage Trust, 3.759% Due 8/10/2025 Countrywide Home Loans, 4.5% Due 6/25/2019 Credit Suisse Mortgage Trust, 2.496% Adj, Due 7/27/2037 Credit Suisse Mortgage Trust, 1.449% Due 6/28/2047 CS First Boston Mortgage Securities, 3.131% Adj, Due 6/25/2033 CS First Boston Mortgage Securities, 5.25% Due 11/25/2033 CS First Boston Mortgage Securities, 5.5% Due 9/25/2034 CS First Boston Mortgage Securities, 5.5% Due 12/25/2034 Deutsche ALT-A Securities Inc, 5.85% Adj, Due 2/25/2020 FHLMC Multifamily Structured, 3.151% Due 11/25/2025 GCAT, 3.75% Due 7/25/2020 GMAC Mortgage Corp Loan Trust, 5.0% Due 1/25/2020 GMAC Mortgage Corp Loan Trust, 3.126% Adj, Due 10/19/2033 GMAC Mortgage Corp Loan Trust, 5.5% Due 10/25/2033 GMAC Mortgage Corp Loan Trust, 3.173% Adj, Due 12/19/2033 GMAC Mortgage Corp Loan Trust, 6.5% Due 1/25/2035 GS Mortgage Securities Trust, 2.318% Due 1/10/2018 GS Mortgage Securities Trust, 2.706% Due 12/10/2019 GSMPS Mortgage Loan Trust, 6.0% Due 9/25/2034 GSMPS Mortgage Loan Trust, 0.803% Due 3/25/2035 GSMPS Mortgage Loan Trust, 0.953% Due 6/25/2035 GSR Mortgage Loan Trust, 5.5% Due 1/25/2037 Household Home Equity Loan Trust, 0.648% Due 3/20/2036 Household Home Equity Loan Trust, 1.648% Due 11/20/2036 IMPAC CMB Trust, 1.053% Due 5/25/2035 IMPAC Secured Assets Corp, 5.5% Due 8/25/2033 IMPAC Secured Assets Corp, 0.803% Due 5/25/2036 IMPAC Secured Assets Corp, 0.803% Due 8/25/2036 JP Morgan Chase Commercial Mortgage, 5.588% Adj, Due 8/12/2037 JP Morgan Chase Commercial Mortgage, 5.552% Due 5/12/2045 JP Morgan Chase Commercial Mortgage, 5.399% Due 5/15/2045 JP Morgan Chase Commercial Mortgage, 0.597% Due 5/15/2047

59 130 334 88 192 1,000 1,100 244 29 172 357 633 128 51 184 353 116 446 313 100 195 344 355 96 73 44 193 304 198 295 319 128 330 1,000 625 61 122 477 264 317 221 250 84 969 776 54 286 147 623 163 489 433 171 345 28 35 55 155 176 338 279 249 65 69 98 262

See accompanying notes to financial statements.

West Virginia Investment Management Board I-17

Cost

Fair Value 58 130 332 89 171 1,014 1,092 232 29 171 357 639 129 51 178 345 115 446 307 100 182 344 357 80 73 44 193 286 198 296 319 129 330 1,025 642 60 122 454 255 309 232 261 83 997 779 54 277 144 615 167 493 439 165 230 25 30 50 139 163 319 244 236 65 69 97 239

59 130 332 88 199 1,024 1,171 252 28 171 336 628 128 51 185 335 117 446 312 99 193 343 357 97 70 43 198 308 198 297 317 129 327 1,100 685 62 123 457 261 320 231 260 85 1,053 772 55 282 147 612 168 493 443 175 291 26 33 55 155 171 341 250 243 65 69 97 261

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

JP Morgan Mortgage Trust, 2.705% Adj, Due 11/25/2033 JP Morgan Mortgage Trust, 3.022% Adj, Due 8/25/2034 JP Morgan Mortgage Trust, 2.916% Adj, Due 2/25/2035 JP Morgan Mortgage Trust, 2.827% Adj, Due 7/25/2035 Ladder Capital Commercial Mortgage, 3.985% Due 2/15/2028 LB-UBS Commercial Mortgage Trust, 5.43% Due 2/15/2040 MASTR Adjustable Rate Mortgage, 2.924% Adj, Due 11/21/2034 MASTR Asset Securitization, 5.5% Due 9/25/2033 MASTR Asset Securitization, 5.25% Due 12/25/2033 MASTR Reperforming Loan Trust, 0.803% Due 5/25/2035 Merrill Lynch Mortgage Investment, 1.073% Due 10/25/2028 Merrill Lynch Mortgage Investment, 0.913% Due 4/25/2029 Merrill Lynch Mortgage Investment, 1.413% Due 4/25/2029 Merrill Lynch Mortgage Investment, 1.601% Due 8/25/2029 Merrill Lynch Mortgage Investment, 3.125% Adj, Due 7/25/2033 Merrill Lynch Mortgage Investment, 2.756% Adj, Due 8/25/2034 Merrill Lynch Mortgage Investment, 2.515% Adj, Due 12/25/2034 Morgan Stanley BAML Trust, 3.669% Due 1/15/2021 Morgan Stanley Capital I Trust, 4.054% Due 6/15/2021 Morgan Stanley Capital I Trust, 5.82% Adj, Due 6/11/2042 Morgan Stanley Mortgage Loan, 5.685% Adj, Due 4/25/2034 Morgan Stanley Re-REMIC Trust, 2.0% Due 9/27/2017 Morgan Stanley Re-REMIC Trust, 0.25% Due 3/27/2019 Morgan Stanley Re-REMIC Trust, 1.0% Due 4/27/2019 NCUA Guaranteed Notes, 2.9% Due 10/29/2020 NCUA Guaranteed Notes, 2.65% Due 10/29/2020 NCUA Guaranteed Notes, 1.006% Adj, Due 12/8/2020 NCUA Guaranteed Notes, 2.4% Due 12/8/2020 Oak Hill Advisors Residential Loan Trust, 3.721% Adj, Due 7/25/2055 PFP III, 1.884% Adj, Due 10/14/2017 PFP III, 3.684% Adj, Due 4/14/2018 PFP III, 4.434% Adj, Due 4/14/2018 Pretium Mortgage Credit Partn, 3.75% Due 7/27/2030 Prime Mortgage Trust, 6.0% Due 2/25/2034 RAIT Trust, 1.692% Due 12/15/2031 RAIT Trust, 1.792% Due 12/15/2031 RBSCF Trust, 3.26% Due 2/11/2023 RBSSP Resecuritization Trust, 6.5% Due 2/26/2036 RBSSP Resecuritization Trust, 4.0% Due 5/26/2037 Residential Accredit Loans, 15.675% Due 10/25/2017 Residential Accredit Loans, 1.103% Due 7/25/2033 Residential Accredit Loans, 5.5% Due 8/25/2033 Residential Accredit Loans, 5.75% Due 10/25/2033 Residential Accredit Loans, 5.5% Due 5/25/2034 Resource Capital Corp, 3.442% Due 6/15/2018 Resource Capital Corp, 1.842% Due 8/15/2032 Salomon Brothers Mortgage Securities, 3.95% Due 4/25/2032 Salomon Brothers Mortgage Securities, 2.74% Adj, Due 9/25/2033 Senior Homeowner as Program, 4.0% Due 5/25/2053 Sequoia Mortgage Trust, 1.048% Due 12/20/2034 Springleaf Mortgage Loan Trust, 1.27% Due 6/25/2058 Springleaf Mortgage Loan Trust, 2.31% Due 6/25/2058 Springleaf Mortgage Loan Trust, 3.14% Due 6/25/2058 Springleaf Mortgage Loan Trust, 3.79% Due 6/25/2058 Springleaf Mortgage Loan Trust, 1.78% Adj, Due 12/25/2065 Springleaf Mortgage Loan Trust, 3.52% Adj, Due 12/25/2065 Springleaf Mortgage Loan Trust, 4.48% Adj, Due 12/25/2065 Structured Adjustable Rate Mortgage, 5.5% Due 10/25/2033 Structured Adjustable Rate Mortgage, 2.658% Adj, Due 12/25/2033 Structured Adjustable Rate Mortgage, 5.54% Due 12/25/2033 Structured Adjustable Rate Mortgage, 5.55% Adj, Due 3/25/2034 Structured Asset Mortgage Investment, 1.148% Due 3/19/2034 Structured Asset Mortgage Investment, 1.108% Due 10/19/2034 Structured Asset Securities Co, 3.45% Due 2/25/2032 Structured Asset Securities Co, 5.264% Adj, Due 11/25/2033 Structured Asset Securities Co, 5.0% Due 5/25/2035

420 543 287 372 461 324 569 26 429 481 141 183 178 195 73 123 292 1,000 340 241 136 389 400 145 61 115 549 189 501 276 235 195 854 106 154 296 531 373 51 18 218 809 249 1,118 307 160 49 204 745 834 126 414 288 286 1,487 498 1,500 306 107 507 282 772 384 184 53 40

See accompanying notes to financial statements.

West Virginia Investment Management Board I-18

Cost

Fair Value 417 519 287 373 470 330 565 23 442 334 134 172 149 183 72 121 286 1,020 341 240 138 389 351 144 61 115 549 189 501 276 235 195 853 108 154 296 538 383 50 18 197 809 235 884 307 160 44 198 739 799 126 414 288 286 1,481 491 1,462 300 106 489 273 747 351 172 52 31

421 544 291 371 503 329 578 26 443 378 134 171 169 186 67 125 292 1,065 358 249 143 386 356 143 61 115 550 191 498 274 231 192 852 110 152 295 554 394 50 19 197 810 261 1,135 289 158 49 202 737 804 126 414 288 286 1,486 498 1,498 312 106 521 285 743 365 183 53 40

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Thornburg Mortgage Securities, 1.093% Due 9/25/2043 Thornburg Mortgage Securities, 2.228% Adj, Due 12/25/2044 UBS-BAMLL Trust, 3.663% Due 6/10/2022 UBS-Barclays Commercial Mortgage, 3.244% Due 3/10/2023 V Mortgage LLC, 3.875% Adj, Due 4/25/2054 Vendee Mortgage Trust, 6.75% Due 6/15/2026 Vendee Mortgage Trust, 6.75% Due 6/15/2028 Vericrest Opportunity Loan, 3.125% Due 9/25/2043 Vericrest Opportunity Loan, 4.25% Due 9/25/2043 VNO Mortgage Trust, 2.996% Due 11/15/2022 WAMU Mortgage Pass-Through Certificates, 5.5% Due 8/25/2019 WAMU Mortgage Pass-Through Certificates, 2.426% Adj, Due 8/25/2033 WAMU Mortgage Pass-Through Certificates, 2.479% Adj, Due 8/25/2033 WAMU Mortgage Pass-Through Certificates, 2.523% Adj, Due 9/25/2033 WAMU Mortgage Pass-Through Certificates, 2.585% Adj, Due 9/25/2033 WAMU Mortgage Pass-Through Certificates, 5.25% Due 10/25/2033 WAMU Mortgage Pass-Through Certificates, 2.785% Adj, Due 6/25/2034 WAMU Mortgage Pass-Through Certificates, 2.785% Adj, Due 6/25/2034 WAMU Mortgage Pass-Through Certificates, 5.5% Due 6/25/2034 WAMU Mortgage Pass-Through Certificates, 5.0% Due 7/25/2034 Wells Fargo Mortgage Backed, 2.615% Adj, Due 11/25/2033 Wells Fargo Mortgage Backed, 2.728% Adj, Due 2/25/2034 Wells Fargo Mortgage Backed, 2.774% Adj, Due 9/25/2034 Wells Fargo Mortgage Backed, 2.877% Adj, Due 10/25/2034 Wells Fargo Mortgage Backed, 2.979% Adj, Due 10/25/2034 Wells Fargo Mortgage Backed, 2.979% Adj, Due 10/25/2034 Wells Fargo Mortgage Backed, 2.952% Adj, Due 12/25/2034 Wells Fargo Mortgage Backed, 2.979% Adj, Due 12/25/2034 Wells Fargo Mortgage Backed, 2.952% Adj, Due 12/25/2034 Wells Fargo Mortgage Backed, 2.979% Adj, Due 12/25/2034 Wells Fargo Mortgage Backed, 3.013% Adj, Due 3/25/2035 Wells Fargo Mortgage Backed, 2.869% Adj, Due 6/25/2035 Wells Fargo Re-REMIC Trust, 1.75% Due 4/20/2017 WF-RBS Commercial Mortgage Trust, 4.375% Due 5/15/2021 WF-RBS Commercial Mortgage Trust, 3.44% Due 1/15/2022

412 176 578 229 194 382 339 859 368 544 124 96 119 383 127 600 105 262 398 156 235 144 557 306 171 118 241 142 161 142 855 68 19 600 400

Total Corporate CMO - 5.9% Corporate CMO Interest-Only Bear Stearns Commercial Mortgage, 0.393% Adj, Due 6/11/2041 CD Commercial Mortgage Trust, 0.022% Adj, Due 1/15/2046 CD Commercial Mortgage Trust, 0.576% Adj, Due 12/11/2049 Commercial Mortgage Trust, 1.901% Adj, Due 8/15/2045 LB-UBS Commercial Mortgage Trust, 0.341% Adj, Due 2/15/2041 ML-CFC Commercial Mortgage Trust, 0.79% Adj, Due 12/12/2049 Morgan Stanley Capital I Trust, 0.63% Adj, Due 12/15/2043 Morgan Stanley Capital I Trust, 0.38% Adj, Due 2/12/2044 Morgan Stanley Mortgage Loan, 5.5% Due 8/25/2034 Washington Mutual Mortgage Pass-Through, 5.5% Due 5/25/2035

450 7,401 23,470 889 3,808 9,645 9,384 31,169 2,264 375

Total Corporate CMO Interest-Only - 0.1% Corporate CMO Principal-Only MASTR Resecuritization Trust, Due 5/28/2035 Structured Asset Mortgage Investment, Due 7/25/2032 Washington Mutual Mortgage Pass-Through, Due 7/25/2033

78 60 102

Total Corporate CMO Principal-Only - 0.0% Foreign Government Bonds Canada Nova Scotia Province, 9.25% Due 3/1/2020 Quebec Province, 6.35% Due 1/30/2026 Total Canada

200 900

See accompanying notes to financial statements.

West Virginia Investment Management Board I-19

Cost

Fair Value 391 178 585 234 194 399 378 858 361 553 124 94 118 379 124 556 98 261 390 160 234 144 525 293 166 108 228 132 153 141 867 65 19 603 402

395 174 613 243 194 443 403 852 354 571 126 96 120 385 123 623 106 264 415 162 235 143 557 304 172 120 242 146 163 146 873 69 19 663 430

57,101

58,738

6 9 200 53 22 108 121 49 267 33

37 72 18 10 30 468 78

868

713

44 52 76

61 56 83

172

200

231 1,056 1,287

251 1,185 1,436

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Colombia Republic of Colombia, 5.0% Due 6/15/2045

Cost

Fair Value

234

232

243

1,635 1,000

1,412 791 2,203

1,425 847 2,272

294 578 815 364 162 326

293 576 814 359 161 315 2,518

310 622 852 392 194 360 2,730

Poland Republic of Poland, 4.0% Due 1/22/2024

162

161

175

South Africa Republic of South Africa, 5.375% Due 7/24/2044

377

371

395

6,772

7,251

250 146 81 712 406

250 146 81 760 406 1,643

251 159 94 814 449 1,767

97 379 233 200 400 620 136 214 300 615 500 485 500 267 153 100 447 225 500 259 300 485 200 150 380 147 260 1,152 250 400 300

96 377 233 247 490 615 136 214 306 627 656 483 542 337 152 104 452 234 506 259 386 485 263 150 389 144 260 1,171 250 437 306

94 407 240 222 479 641 140 223 309 650 700 553 550 280 122 106 481 293 513 288 424 491 258 162 405 146 267 1,184 274 450 321

Israel Aid-Israel, Zero Coupon, Due 8/15/2023 Aid-Israel, Zero Coupon, Due 8/15/2024 Total Israel Mexico United Mexican States, 3.5% Due 1/21/2021 United Mexican States, 4.0% Due 10/2/2023 United Mexican States, 3.6% Due 1/30/2025 United Mexican States, 4.75% Due 3/8/2044 United Mexican States, 5.55% Due 1/21/2045 United Mexican States, 5.75% Due 10/12/2110 Total Mexico

Total Foreign Government Bonds - 0.7% Foreign Corporate Bonds Australia AUST & NZ Banking Group NY, 1.45% Due 5/15/2018 BHP Billiton Financial USA LTD, 3.85% Due 9/30/2023 BHP Billiton Financial USA LTD, 5.0% Due 9/30/2043 Macquarie Group LTD, 6.25% Due 1/14/2021 Westpac Banking Corp, 4.875% Due 11/19/2019 Total Australia Canada Agrium Inc, 4.125% Due 3/15/2035 Agrium Inc, 5.25% Due 1/15/2045 Air Canada 2013-1A PTT, 4.125% Due 5/15/2025 Alberta Energy Company Ltd, 8.125% Due 9/15/2030 Anadarko Finance Co, 7.5% Due 5/1/2031 Bank of Montreal, 2.55% Due 11/6/2022 Bank of Nova Scotia, 2.45% Due 3/22/2021 Bank of Nova Scotia, 2.8% Due 7/21/2021 Canadian Natural Resources Ltd, 5.7% Due 5/15/2017 Canadian Natural Resources Ltd, 5.9% Due 2/1/2018 Canadian Pacific Railroad Co, 7.125% Due 10/15/2031 Canadian Pacific Railroad Co, 4.8% Due 9/15/2035 CDP Financial, 4.4% Due 11/25/2019 Cenovus Energy Inc, 6.75% Due 11/15/2039 Cenovus Energy Inc, 4.45% Due 9/15/2042 Encana Corp, 6.5% Due 5/15/2019 Petro-Canada, 6.05% Due 5/15/2018 Petro-Canada, 6.8% Due 5/15/2038 Potash Corp-Saskatchewan, 3.25% Due 12/1/2017 Rogers Communications Inc, 4.1% Due 10/1/2023 Rogers Communications Inc, 8.75% Due 5/1/2032 Royal Bank of Canada, 1.875% Due 2/5/2020 Suncor Energy Inc, 6.5% Due 6/15/2038 Thomson Reuters Corp, 4.7% Due 10/15/2019 Thomson Reuters Corp, 3.95% Due 9/30/2021 Thomson Reuters Corp, 4.5% Due 5/23/2043 Toronto-Dominion Bank, 2.25% Due 11/5/2019 Total Capital Canada LTD, 2.75% Due 7/15/2023 Trans-Canada Pipelines, 6.5% Due 8/15/2018 Trans-Canada Pipelines, 7.125% Due 1/15/2019 Trans-Canada Pipelines, 3.75% Due 10/16/2023

See accompanying notes to financial statements.

West Virginia Investment Management Board I-20

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Trans-Canada Pipelines, 7.625% Due 1/15/2039 Total Canada

Cost

Fair Value

50

50 11,357

70 11,743

200 336 45 330 150 544 416 125

204 336 42 388 166 546 379 123 2,184

223 339 31 201 155 483 352 88 1,872

1,000

1,000

1,039

167

166

151

France BPCE SA, 1.625% Due 1/26/2018 Electricite De France, 2.15% Due 1/22/2019 Orange SA, 2.75% Due 2/6/2019 Orange SA, 9.0% Adj, Due 3/1/2031 Total Capital International SA, 1.55% Due 6/28/2017 Total Capital International SA, 3.75% Due 4/10/2024 Total Capital SA, 2.125% Due 8/10/2018 Total France

500 194 365 230 112 200 170

499 193 365 297 112 206 170 1,842

502 198 376 356 113 220 173 1,938

Germany Deutsche Bank AG London, 2.95% Due 8/20/2020 Deutsche Bank AG London, 3.375% Due 5/12/2021 Deutsche Bank AG London, 3.7% Due 5/30/2024 Total Germany

110 175 333

110 175 332 617

109 176 331 616

250

249

262

Japan Bank Tokyo - Mitsubishi UFJ, 2.35% Due 9/8/2019 Bank Tokyo - Mitsubishi UFJ, 2.75% Due 9/14/2020 Nippon Telegraph & Telephone, 1.4% Due 7/18/2017 Nomura Holdings Inc, 6.7% Due 3/4/2020 Total Japan

600 300 67 94

600 300 67 95 1,062

614 311 67 109 1,101

Luxembourg Actavis Funding SCS, 3.45% Due 3/15/2022 Covidien International, 2.95% Due 6/15/2023 Schlumberger Investment, 2.4% Due 8/1/2022 Tyco International Finance, 3.9% Due 2/14/2026 Total Luxembourg

105 340 540 154

105 352 509 153 1,119

109 354 548 166 1,177

Mexico America Movil SAB DE CV, 5.0% Due 3/30/2020 America Movil SAB DE CV, 3.125% Due 7/16/2022 Petroleos Mexicanos, 4.875% Due 1/18/2024 Petroleos Mexicanos, 4.25% Due 1/15/2025 Petroleos Mexicanos, 4.5% Due 1/23/2026 Petroleos Mexicanos, 5.5% Due 6/27/2044 Petroleos Mexicanos, 6.375% Due 1/23/2045 Total Mexico

300 426 98 74 563 109 212

321 429 98 74 562 111 210 1,805

332 437 99 71 542 98 213 1,792

214 200

214 208

222 223

Cayman Islands Hutch Whampoa Int 11 Ltd, 4.625% Due 1/13/2022 Hutch Whampoa Int 12 II, 2.0% Due 11/8/2017 Noble Holding International, 3.95% Due 3/15/2022 Noble Holding International, 6.2% Due 8/1/2040 Petrobras Global Finance, 7.875% Due 3/15/2019 Transocean Inc, 6.5% Due 11/15/2020 Transocean Inc, 8.125% Due 12/15/2021 Transocean Inc, 5.05% Due 10/15/2022 Total Cayman Islands China ICBC, 3.231% Due 11/13/2019 Colombia Ecopetrol SA, 4.125% Due 1/16/2025

Italy Eni SpA, 5.7% Due 10/1/2040

Netherlands Airbus Group Finance BV, 2.7% Due 4/17/2023 Deutsche Telekom International Finance, 6.75% Due 8/20/2018

See accompanying notes to financial statements.

West Virginia Investment Management Board I-21

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Deutsche Telekom International Finance, 6.0% Due 7/8/2019 Deutsche Telekom International Finance, 8.75% Adj, Due 6/15/2030 Enel Finance International NV, 5.125% Due 10/7/2019 Heineken NV, 1.4% Due 10/1/2017 Heineken NV, 3.4% Due 4/1/2022 Koninklijke Philips NV, 5.75% Due 3/11/2018 Koninklijke Philips NV, 3.75% Due 3/15/2022 Koninklijke Philips NV, 7.2% Due 6/1/2026 Mylan NV, 3.95% Due 6/15/2026 Rabobank Nederland, 3.375% Due 1/19/2017 Rabobank Nederland, 3.875% Due 2/8/2022 Rabobank Nederland, 4.375% Due 8/4/2025 Rabobank Nederland, 5.8% Due 9/30/2110 Shell International Finance, 4.3% Due 9/22/2019 Shell International Finance, 4.375% Due 3/25/2020 Shell International Finance, 3.25% Due 5/11/2025 Shell International Finance, 2.875% Due 5/10/2026 Shell International Finance, 6.375% Due 12/15/2038 Shell International Finance, 4.0% Due 5/10/2046 Siemens Financieringsmat, 6.125% Due 8/17/2026 Total Netherlands

Cost

Fair Value

635 170 700 250 250 80 370 180 231 82 645 250 300 285 290 485 653 140 631 470

641 221 700 250 251 83 389 213 229 82 658 250 290 285 289 484 651 146 620 507 7,661

712 256 773 251 268 86 397 228 234 83 701 261 363 310 319 509 663 190 644 622 8,315

Norway Statoil ASA, 3.15% Due 1/23/2022 Statoil ASA, 2.45% Due 1/17/2023 Statoil ASA, 2.65% Due 1/15/2024 Statoil ASA, 3.25% Due 11/10/2024 Total Norway

350 130 204 239

350 130 204 238 922

367 132 206 252 957

Spain Telefonica Emisiones SAU, 3.192% Due 4/27/2018 Telefonica Emisiones SAU, 5.134% Due 4/27/2020 Telefonica Emisiones SAU, 5.462% Due 2/16/2021 Total Spain

210 358 117

210 388 117 715

216 395 133 744

Sweden Nordea Bank AB, 4.25% Due 9/21/2022 Skandinaviska Enskilda, 1.75% Due 3/19/2018 Stadshypotek AB, 1.875% Due 10/2/2019 Svenska Handelsbanken AB, 3.125% Due 7/12/2016 Svenska Handelsbanken AB, 2.875% Due 4/4/2017 Total Sweden

655 242 332 494 463

675 241 331 494 463 2,204

692 243 337 494 469 2,235

Switzerland Credit Suisse New York, 3.0% Due 10/29/2021 Credit Suisse New York, 3.625% Due 9/9/2024 Total Switzerland

400 250

409 249 658

410 259 669

315 125 254 200 377 282 189 219 275 200 145 402 315 83 521 389 300

321 125 253 197 377 280 189 219 275 200 186 408 325 83 518 388 300

337 132 244 226 396 284 205 235 294 204 223 452 262 58 518 418 331

United Kingdom Aon PLC, 4.0% Due 11/27/2023 Aon PLC, 3.875% Due 12/15/2025 Barclays PLC, 3.65% Due 3/16/2025 BG Energy Capital PLC, 5.125% Due 10/15/2041 BP Capital Markets PLC, 3.245% Due 5/6/2022 BP Capital Markets PLC, 2.75% Due 5/10/2023 BP Capital Markets PLC, 3.994% Due 9/26/2023 BP Capital Markets PLC, 3.814% Due 2/10/2024 British Telecom PLC, 5.95% Due 1/15/2018 British Telecom PLC, 2.35% Due 2/14/2019 British Telecom PLC, 9.625% Adj, Due 12/15/2030 Diageo Capital PLC, 4.828% Due 7/15/2020 Ensco PLC, 4.7% Due 3/15/2021 Ensco PLC, 5.2% Due 3/15/2025 HSBC Bank PLC, 1.5% Due 5/15/2018 HSBC Bank PLC, 4.125% Due 8/12/2020 HSBC Bank PLC, 4.75% Due 1/19/2021

See accompanying notes to financial statements.

West Virginia Investment Management Board I-22

Core Fixed Income Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

HSBC Holdings PLC, 3.6% Due 5/25/2023 Lloyds Bank PLC, 1.75% Due 3/16/2018 Lloyds Bank PLC, 2.7% Due 8/17/2020 Santander UK PLC, 2.5% Due 3/14/2019 Standard Chartered PLC, 5.2% Due 1/26/2024 State Grid Overseas Investment, 3.125% Due 5/22/2023 Vodafone Group PLC, 2.95% Due 2/19/2023 Total United Kingdom

Cost

375 325 500 466 500 600 369

379 325 500 465 500 596 362 7,771

383 324 509 471 521 624 370 8,021

42,975

44,399

650 202

650 202 852

642 204 846

957

957

947

1,809

1,793

21,566,284

21,566

21,566

263

-

-

2,966 2,892 2,259 2,388 54 3,146

2,966 2,892 2,259 2,388 54 3,146 13,705

2,966 2,892 2,259 2,388 54 3,146 13,705

4,385 393 14,216 735 2,717 874 2,809 1,266 515 1,723 480 2,528 666 4,644 1,072

4,385 393 14,216 735 2,717 874 2,809 1,266 515 1,723 480 2,528 666 4,644 1,072 39,023

4,385 393 14,216 735 2,717 874 2,809 1,266 515 1,723 480 2,528 666 4,644 1,072 39,023

2,806 2,526 2,582 2,791 2,392

2,806 2,526 2,582 2,791 2,392 13,097

2,806 2,526 2,582 2,791 2,392 13,097

65,825

65,825

Total Foreign Corporate Bonds - 4.5% Foreign Asset Backed Issues Cayman Islands Carlyle Global Market Strategy, 2.528% Due 7/15/2019 N-Star Real Estate CDO LTD, 5.453% Due 7/25/2019 Total Cayman Islands Ireland Trafigura Securitisation Finance, 1.392% Due 10/15/2021 Total Foreign Asset Backed Issues - 0.2% Money Market Mutual Fund Dreyfus Cash Management Institutional Fund - 2.2% Liquidating Trust Residential Capital LLC - 0.0% Investments made with Cash Collateral for Securities Loaned Money Market Mutual Funds Blackrock Cash Funds: Prime - Institutional Shares Federated Money Market Management - Institutional Shares Fidelity Institutional Money Market Prime Money Market Portfolio Invesco Government Liquidity Funds Assets Portfolio Morgan Stanley Institutional Liquidity Funds Government Portfolio Morgan Stanley Institutional Liquidity Funds Prime Portfolio Total Money Market Mutual Funds Repurchase Agreements Barclays Bank PLC, 0.38% Due 7/1/2016 BNP Paribas Securities Corp, 0.38% Due 7/1/2016 Cantor Fitzgerald Securities Inc, 0.47% Due 7/1/2016 Citigroup Global Markets Inc, 0.46% Due 7/1/2016 Citigroup Global Markets Inc, 0.39% Due 7/6/2016 Deutsche Bank Securities Inc, 0.45% Due 7/1/2016 Deutsche Bank Securities Inc, 0.7% Due 7/5/2016 ING Bank NV, 0.55% Due 7/1/2016 Mizuho Securities USA Inc, 0.38% Due 7/1/2016 Mizuho Securities USA Inc, 0.4% Due 7/1/2016 Morgan, Stanley & Co. LLC, 0.56% Due 8/2/2016 Morgan, Stanley & Co. LLC, 0.68% Due 9/29/2016 Morgan, Stanley & Co. LLC, 0.73% Due 10/3/2016 Societe Generale, 0.4% Due 7/1/2016 Societe Generale, 0.51% Due 8/4/2016 Total Repurchase Agreements Time Deposits BNP Paribas, 0.28% Due 7/1/2016 Credit Agricole CIB, 0.31% Due 7/1/2016 HSBC Bank PLC, 0.35% Due 7/1/2016 Nordea Bank Finland PLC, 0.28% Due 7/1/2016 Svenska Handelsbanken AB, 0.3% Due 7/1/2016 Total Time Deposits Total Investments made with Cash Collateral for Securities Loaned - 6.6% Total Investments - 106.5%

Fair Value

$

See accompanying notes to financial statements.

West Virginia Investment Management Board I-23

997,737

$

1,057,990

Core Fixed Income Pool Statement of Operations Year Ended June 30, 2016 (Amounts in thousands)

Investment income Interest Dividends Net securities lending income

$

Total investment income

33,761 42 115 33,918

Expenses Investment advisor fees Trustee fees Custodian bank fees Management fees Fiduciary bond fees Professional service fees

(1,435) (3) (76) (272) (2) (54) Total expenses

(1,842)

Investment income, net

32,076

Realized and unrealized gain from investments Net realized gain from investments Net change in unrealized appreciation (depreciation) on investments

4,331 23,519

Net gain from investments Net increase in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board I-24

27,850 $

59,926

Core Fixed Income Pool Statement of Changes in Net Assets Year Ended June 30, 2016 (Amounts in thousands, except unit data)

Operations Investment income, net Net realized gain from investments Net change in unrealized appreciation (depreciation) on investments

$

Net increase in net assets from operations

32,076 4,331 23,519 59,926

Distributions to unitholders Investment income, net

(32,076)

Unit transactions Proceeds from sale of units Reinvestment of distributions Amount paid for repurchase of units

89,714 32,428 (224,926) Net decrease in net assets from unit transactions

(102,784)

Decrease in net assets

(74,934)

Net assets, beginning of year Net assets, end of year

1,067,981 $

993,047

Unit data Units sold Units issued from reinvestment of distributions Units repurchased

8,075,992 2,914,655 (20,192,238) Net decrease in units

See accompanying notes to financial statements.

West Virginia Investment Management Board I-25

(9,201,591)

Core Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The accompanying financial statements reflect only the investments and investment related operations of the IMB’s Core Fixed Income Pool (Pool). They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP Not required Required Required Not required Required

State and Local GAAP Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. The main objective of this Pool is to generate investment income, provide stability and diversification, but not at the expense of total return. JP Morgan Investment Advisors, Inc. (JPM) manages this Pool. This Pool’s investment objective, net of external investment management fees, is to meet or exceed the Barclays Capital U.S. Aggregate Index. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The IMB reports its investments at fair value in accordance with the FASB’s ASC Topic 820 (ASC 820). Refer to Note 4 for further discussion and presentation of the reporting requirements under ASC 820.

West Virginia Investment Management Board I-26

Core Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Fair value of the Pool’s portfolio securities is determined as follows: •

• •

Fixed income securities are valued according to prices furnished by independent pricing services to the Pool’s custodian. These services determine the security prices by a number of methods including, but not limited to, dealer quotes, live market trading levels when available, live feeds of trade execution data, spreads over U.S. Treasury securities, and other models and formulae appropriate to the specific security type. Open-end regulated investment companies or other commingled investment funds are valued at the net asset value of the fund as reported by the fund’s administrator. Repurchase agreements and time deposits are valued at amortized cost, provided such amount approximates fair value.

Investments for which the fair value cannot be determined by one of the above listed processes are valued at fair value as determined in accordance with the IMB’s established procedures. Repurchase Agreements - In connection with transactions in repurchase agreements, it is the IMB's policy that its designated custodian or mutual third party take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the IMB may be delayed or limited. Security Loans - The IMB, through its lending agent, the Bank of New York Mellon, loans securities to various brokers on a temporary basis. Each transaction for international and domestic securities is secured by collateral based on the market value of the securities loaned. The required collateral percentage varies based on the type of collateral received and the type of security loaned. For U.S. securities, the required percentage of cash collateral and non-cash collateral consisting of debt obligations and securities issued by the United States Government or its agencies or instrumentalities is at least 102 percent of the market value of the securities loaned plus accrued income. For international securities, the required collateral is at least 105 percent of the market value of the securities on loan unless the foreign securities loaned are denominated and payable in U.S. Dollars, then the collateral shall be at least 102 percent of the market value of the securities loaned. Cash collateral received is invested in repurchase agreements, money market mutual funds, and time deposits. Such investments, except for repurchase transactions, are made at the risk of the Pool and, as such, the Pool is liable for investment losses. The lending agent contractually indemnifies the IMB for any repurchase agreement investment losses. Investments made with cash are reported at fair value on the Statement of Assets and Liabilities. Securities loaned remain on the Statement of Assets and Liabilities and Schedule of Investments. The IMB receives compensation in the form of loan premium fees and income from the investment of the cash collateral. Expenses related to the lending of securities are rebates paid by the lending agent to brokers and the lending agent’s fees for its services. The income earned by the IMB is reported in the Statement of Operations as net securities lending income. The IMB also continues to receive interest or dividends on the securities loaned. Gains or losses in the fair value of the securities loaned that may occur during the term of the loans are reflected in the Statement of Operations as a change in unrealized appreciation or depreciation on investments. Asset-Backed Securities - The Pool invests in various asset-backed securities, mortgage-backed securities, and structured corporate debt. The securities are reported at fair value, which is determined by a third party pricing service based on asset portfolio pricing models and other sources. The Pool invests 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. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

West Virginia Investment Management Board I-27

Core Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) 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. Interest Income - Interest income is recognized as earned on the accrual method. 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 reflected in the Statement of Operations in the year of the change. Interest income also includes paydown gains and losses on mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities. Dividend Income - Dividend income is recognized on the ex-dividend date. Distributions to Participants - The monthly net investment income is declared as a dividend on the last day of the month and distributed to the participants of the Pool on the first day of the following 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 Net Assets. The Pool does not routinely distribute dividends of net realized gains. Expenses - The IMB's Trustees adopt an annual budget and fee schedule for services to be provided to all of the investment pools under its management. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. These other expenses are allocated to the individual pools based on asset size. The IMB pays all expenses on behalf of the Pool. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for income taxes is required as of June 30, 2016. Indemnifications - In the normal course of business, the IMB has entered into contracts that provide a variety of indemnifications. Any exposure to the Pool under these arrangements would involve future claims that may be made against the IMB. The Pool’s maximum exposure under these arrangements is unknown. No such claims have occurred, nor are they expected to occur therefore the IMB expects the risk of loss to be remote.

West Virginia Investment Management Board I-28

Core Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 3. INVESTMENT RISK DISCLOSURES Credit Risk The IMB limits the exposure to credit risk in the Pool by maintaining at least an average rating of investment grade as defined by the Nationally Recognized Statistical Rating Organizations. The following table provides the weighted average credit ratings of the rated assets in the Pool as of June 30, 2016.

Investment Type Corporate asset backed issues Corporate CMO Corporate CMO interest-only Corporate CMO principal-only Foreign asset backed issues Foreign corporate bonds Foreign government bonds Money market mutual funds Municipal bonds Time deposits U.S. corporate bonds U.S. Government agency bonds U.S. Government agency CMO U.S. Government agency CMO interest-only U.S. Government agency CMO principal-only U.S. Government agency MBS U.S. Treasury bonds U.S. Treasury inflation protected security Total rated investments Common stock Total investments

Moody’s Aa A Ba B Aa A Aa Aa Aa P-1 A Aaa Aaa Aaa Aaa Aaa Aaa Aaa

S&P AA A AAA AA AA A A AAA AA A-1 A AA AA AA AA AA AA AA

$

$

Fair Value 71,452 58,738 713 200 1,793 44,793 7,252 35,271 9,782 13,097 222,175 23,219 129,989 5,229 9,002 201,029 204,730 431 1,038,895 21,270 1,060,165

Percent of Total Investments 6.7% 5.5 0.1 0.0 0.2 4.2 0.7 3.3 0.9 1.2 21.1 2.2 12.3 0.5 0.8 19.0 19.3 0.0 98.0 2.0 100.0%

This table includes investments received as collateral for repurchase agreements with a fair value of $41,198 as compared to the amortized cost of the repurchase agreements of $39,023. Concentration of Credit Risk The Pool is restricted from investing more than 5 percent of the value of the Pool in any one corporate name. At June 30, 2016, the Pool was in compliance with this restriction and is not exposed to concentration of credit risk. Custodial Credit Risk At June 30, 2016, the Pool held no securities that were subject to custodial credit risk. Repurchase agreements, when held, are collateralized at 102 percent and the collateral is held in the name of the IMB. All remaining securities are held by the IMB’s custodian in the name of the IMB.

West Virginia Investment Management Board I-29

Core Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 3. INVESTMENT RISK DISCLOSURES (continued) Interest Rate Risk The IMB monitors interest rate risk of the Pool by evaluating the effective duration of the investments in the Pool. The following table provides the weighted average effective duration for the various asset types in the Pool as of June 30, 2016.

Investment Type Corporate asset backed issues Corporate CMO Corporate CMO interest-only Corporate CMO principal-only Foreign asset backed issues Foreign corporate bonds Foreign government bonds Money market mutual funds Municipal bonds Repurchase agreements Time deposits U.S. corporate bonds U.S. Government agency bonds U.S. Government agency CMO U.S. Government agency CMO interest-only U.S. Government agency CMO principal-only U.S. Government agency MBS U.S. Treasury bonds U.S. Treasury inflation protected security Total investments

$

$

Fair Value 71,452 58,738 713 200 1,793 44,399 7,251 35,271 9,782 39,023 13,097 220,665 22,805 129,989 5,229 9,002 187,410 200,740 431 1,057,990

Effective Duration (years) 2.1 2.5 (17.4) 4.2 0.1 5.7 9.0 N/A 14.4 0.0 0.0 6.3 3.8 3.0 5.9 7.2 4.4 8.5 3.4 4.9

The Pool invests in commercial and residential mortgage-backed securities, asset-backed securities, and collateralized mortgage obligations. The cash flows from these securities are based on the payment of the underlying collateral. The effective duration and yield to maturity of these securities are dependent on estimated prepayment assumptions that consider historical experience, market conditions and other criteria. Actual prepayments may vary with changes in interest rates. Rising interest rates often result in a slower rate of prepayments while declining rates tend to lead to faster prepayments. As a result, the fair values of these securities are highly sensitive to interest rate changes. At June 30, 2016, the Pool held $464,526 of these securities. This represents approximately 44 percent of the value of the Pool’s securities. Foreign Currency Risk None of the securities held by the Pool are exposed to foreign currency risk.

West Virginia Investment Management Board I-30

Core Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 4. FAIR VALUE MEASUREMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Fair value of an investment is the amount 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 (i.e., the exit price). ASC 820 established a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical financial instruments (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are: Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 2 Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not considered active; observable inputs other than observable quoted prices for the asset or liability; or inputs derived principally from or corroborated by observable market data. Level 3 Unobservable pricing inputs for assets and liabilities. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The table below summarizes the valuation of the investment securities in accordance with ASC 820 fair value hierarchy levels as of June 30, 2016: Assets Corporate asset backed issues Corporate CMO Corporate CMO interest - only Corporate CMO principal - only Foreign asset backed issues Foreign corporate bonds Foreign government bonds Investments made with cash collateral for securities loaned Money market mutual fund Municipal bonds U.S. corporate bonds U.S. Government agency bonds U.S. Government agency CMO U.S. Government agency CMO interestonly U.S. Government agency CMO principalonly U.S. Government agency MBS U.S. Treasury bonds U.S. Treasury inflation protected security Total

Level 1 $

$

-

$

Level 2 71,452 58,738 713 200 1,793 44,399 7,251

Level 3 $

-

$

Total 71,452 58,738 713 200 1,793 44,399 7,251

13,705 21,566 -

52,120 9,782 220,665 22,805 129,989

-

65,825 21,566 9,782 220,665 22,805 129,989

-

5,229

-

5,229

-

9,002 187,410 200,740 431 1,022,719

-

9,002 187,410 200,740 431 1,057,990

35,271

$

There were no transfers in or out of Levels 1 and 2 during the year ended June 30, 2016.

West Virginia Investment Management Board I-31

$

-

$

Core Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 5. SECURITIES LENDING The following table presents the amounts of various accounts related to securities lending at June 30, 2016.

Securities on loan Collateral received: Cash Non-cash Total collateral received

$

Fair Value 74,364

$ $

65,825 10,251 76,076

The Bank of New York Mellon (BNYM), as agent for the IMB, loans the IMB’s securities to various counterparties. These transactions are executed under Master Securities Lending Agreements (MSLA) which permit BNYM under certain circumstances, such as defaults, to offset amounts payable to the same counterparty against amounts to be received and thus create one single net payment due to or from the counterparty. The amounts listed in the above table represent all securities loaned which are subject to a MSLA on a net payment basis. The IMB has elected not to offset the fair value of the securities on loan against the liability for the return of the collateral on the Statement of Assets and Liabilities. NOTE 6. INVESTMENT ADVISORY FEES The IMB has approved an investment advisory agreement with JPM to manage the investments of the Pool. This agreement provides for quarterly payments, based on average end of month assets under management, to the investment advisor. The IMB makes these payments and the Pool transfers funds to the IMB to facilitate the payments. The fees paid to JPM consist of a base fee of 0.075 percent annually of the net assets under management and a performance incentive fee that is earned when the actual investment return exceeds the return of the Barclays Capital US Aggregate index over rolling three-year periods. The maximum fee allowable under the agreement is 0.15 percent annually of the net assets under management. The effective fee rate earned by JPM for the year ended June 30, 2016, was 0.14 percent. NOTE 7. FINANCIAL HIGHLIGHTS Per Unit Operating Performance (a): Net asset value at June 30, 2015 Income from investment operations: Net investment income Net realized and unrealized gain on investment transactions Total from investment operations Less distributions from net investment income Net asset value at June 30, 2016

$

11.08

$

0.35 0.32 0.67 (0.35) 11.40

Total Return (b) Supplemental Data: Ratio to average net assets (c): Expenses Net investment income Portfolio turnover rate (a) Calculation based on the average shares outstanding (b) Return data is net of fees for the full fiscal year (c) All ratios are for the fiscal year

West Virginia Investment Management Board I-32

6.1%

0.18% 3.12% 16.79%

Core Fixed Income Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 8. SCHEDULE OF PARTICIPATION The following schedule provides the value of participants’ accounts in the Pool at June 30, 2016. The balances do not include the distribution declared by the Pool on the last day of the month and reinvested to the participant’s account on the first day of the following month. Participant Teachers' Retirement System Public Employees' Retirement System Workers' Compensation Old Fund Revenue Shortfall Reserve Fund - Part B Revenue Shortfall Reserve Fund Coal Workers' Pneumoconiosis Fund West Virginia Retiree Health Benefit Trust Fund State Police Death, Disability and Retirement Fund Public Employees Insurance Agency West Virginia Department of Environmental Protection Agency West Virginia Prepaid Tuition Trust Fund Board of Risk and Insurance Management Deputy Sheriff's Retirement System Judges' Retirement System State Police Retirement System Workers' Compensation Self-Insured Employer Security Risk Pool Workers' Compensation Self-Insured Employer Guaranty Risk Pool Emergency Medical Services Retirement System Wildlife Endowment Fund Workers' Compensation Uninsured Employers' Fund West Virginia Department of Environmental Protection Trust Berkeley County Development Authority Municipal Police Officers' and Firefighters' Retirement System Municipal Policemen’s or Firemen’s Pension and Relief Funds Total

Account Value 262,479 234,334 218,456 64,967 39,278 26,109 25,335 24,291 21,171 13,865 13,391 13,308 7,116 7,052 6,128 5,814 3,450 2,489 2,327 913 333 252 135 54 $ 993,047 $

NOTE 9. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through September 9, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board I-33

June 30, 2016

J

TIPS POOL

AUDITED FINANCIAL STATEMENTS

TIPS Pool Audited Financial Statements June 30, 2016 Table of Contents

Independent Auditors’ Report

Statement of Assets and Liabilities

J-1

Schedule of Investments

J-2

Statement of Operations

J-3

Statement of Changes in Net Assets

J-4

Notes to Financial Statements

J-5

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board TIPS Pool, which comprise the statement of assets and liabilities, including the schedule of investments, as of June 30, 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board TIPS Pool at June 30, 2016, and the results of its operations and changes in its net assets for the year then ended, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

September 9, 2016

A member firm of Ernst & Young Global Limited

TIPS Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands, except unit data)

Assets Investments at fair value (cost $363,693), including securities on loan of $53,761 (Note 5) Receivables: Accrued interest Investments sold Securities lending income

$

374,749

1,259 14,451 6 Total assets

390,465

Liabilities Accrued expenses Payable for investments purchased

42 1,850 Total liabilities Net assets

1,892 $

388,573

$

34,540,611 11.25

Unit data Units outstanding Net asset value, unit price

See accompanying notes to financial statements.

West Virginia Investment Management Board J-1

TIPS Pool Schedule of Investments June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

U.S. Treasury Inflation-Protected Securities United States Treasury, 2.625% Due 7/15/2017 United States Treasury, 1.625% Due 1/15/2018 United States Treasury, 0.125% Due 4/15/2018 United States Treasury, 1.375% Due 7/15/2018 United States Treasury, 2.125% Due 1/15/2019 United States Treasury, 0.125% Due 4/15/2019 United States Treasury, 1.875% Due 7/15/2019 United States Treasury, 1.375% Due 1/15/2020 United States Treasury, 0.125% Due 4/15/2020 United States Treasury, 1.25% Due 7/15/2020 United States Treasury, 1.125% Due 1/15/2021 United States Treasury, 0.125% Due 4/15/2021 United States Treasury, 0.625% Due 7/15/2021 United States Treasury, 0.125% Due 1/15/2022 United States Treasury, 0.125% Due 7/15/2022 United States Treasury, 0.125% Due 1/15/2023 United States Treasury, 0.375% Due 7/15/2023 United States Treasury, 0.625% Due 1/15/2024 United States Treasury, 0.125% Due 7/15/2024 United States Treasury, 2.375% Due 1/15/2025 United States Treasury, 0.25% Due 1/15/2025 United States Treasury, 0.375% Due 7/15/2025 United States Treasury, 2.0% Due 1/15/2026 United States Treasury, 0.625% Due 1/15/2026 United States Treasury, 2.375% Due 1/15/2027 United States Treasury, 1.75% Due 1/15/2028 United States Treasury, 3.625% Due 4/15/2028 United States Treasury, 2.5% Due 1/15/2029 United States Treasury, 3.875% Due 4/15/2029 United States Treasury, 3.375% Due 4/15/2032 United States Treasury, 2.125% Due 2/15/2040 United States Treasury, 2.125% Due 2/15/2041 United States Treasury, 0.75% Due 2/15/2042 United States Treasury, 0.625% Due 2/15/2043 United States Treasury, 1.375% Due 2/15/2044 United States Treasury, 0.75% Due 2/15/2045 United States Treasury, 1.0% Due 2/15/2046

4,375 4,922 17,774 4,997 4,628 17,846 5,230 6,424 17,850 9,955 11,422 5,712 12,492 13,846 14,510 14,632 14,633 14,637 14,637 7,648 14,637 14,637 5,866 13,209 4,796 4,970 3,242 4,932 3,974 1,708 2,693 3,497 6,347 4,767 7,317 8,217 4,284

Cost

$

Total U.S. Treasury Inflation-Protected Securities - 96.4% Money Market Mutual Fund Dreyfus Cash Management Institutional Fund - 0.0% Total Investments - 96.4%

127,149 $

See accompanying notes to financial statements.

West Virginia Investment Management Board J-2

Fair Value

5,220 5,768 18,659 5,733 5,414 18,367 6,178 7,398 18,292 11,401 12,794 5,895 13,626 14,855 15,824 15,601 14,939 15,318 14,479 10,931 14,913 14,559 7,766 13,651 6,657 6,143 6,138 6,506 7,604 3,004 3,661 4,507 6,822 4,497 8,077 7,897 4,472

$

5,259 5,835 18,679 5,816 5,534 18,613 6,343 7,592 18,653 11,739 13,367 5,910 13,959 14,925 15,439 15,383 15,569 15,724 14,908 11,602 15,024 15,213 8,325 14,013 6,991 6,639 6,642 6,971 8,339 3,376 3,899 5,042 6,738 4,829 8,681 8,384 4,667

363,566

374,622

127

127

363,693

$

374,749

TIPS Pool Statement of Operations Year Ended June 30, 2016 (Amounts in thousands)

Investment income Interest Dividends Net securities lending income

$

Total investment income

5,133 1 77 5,211

Expenses Investment advisor fees Trustee fees Custodian bank fees Management fees Fiduciary bond fees Professional service fees

(104) (1) (16) (112) (1) (22) Total expenses

(256)

Investment income, net

4,955

Realized and unrealized gain from investments Net realized gain from investments Net change in unrealized appreciation (depreciation) on investments

710 11,414

Net gain from investments Net increase in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board J-3

12,124 $

17,079

TIPS Pool Statement of Changes in Net Assets Year Ended June 30, 2016 (Amounts in thousands, except unit data)

Operations Investment income, net Net realized gain from investments Net change in unrealized appreciation (depreciation) on investments

$

Net increase in net assets from operations

4,955 710 11,414 17,079

Unit transactions Proceeds from sale of units Amount paid for repurchase of units

27,739 (85,778) Net decrease in net assets from unit transactions

(58,039)

Decrease in net assets

(40,960)

Net assets, beginning of year Net assets, end of year

429,533 $

388,573

Unit data Units sold Units repurchased

2,577,911 (7,864,148) Net decrease in units

See accompanying notes to financial statements.

West Virginia Investment Management Board J-4

(5,286,237)

TIPS Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The accompanying financial statements reflect only the investments and investment related operations of the IMB’s TIPS Pool (Pool). They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP Not required Required Required Not required Required

State and Local GAAP Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. The Pool invests in Treasury Inflation-Protected Securities (TIPS) and its objective is to match the performance of the Barclay’s Capital U.S. TIPS Bond Index on an annualized basis over rolling three-year to five-year periods, gross of fees. Assets are managed by State Street Global Advisors (SSgA). NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The IMB reports its investments at fair value in accordance with the FASB’s ASC Topic 820 (ASC 820). Refer to Note 4 for further discussion and presentation of the reporting requirements under ASC 820.

West Virginia Investment Management Board J-5

TIPS Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Fair value of the Pool’s portfolio securities is determined as follows: • •

Fixed income securities are valued according to prices furnished by independent pricing services to the Pool’s custodian. These services determine the security prices primarily by dealer quotes. Open-end regulated investment companies or other commingled investment funds are valued at the net asset value of the fund as reported by the fund’s administrator.

Investments for which the fair value cannot be determined by one of the above listed processes are valued at fair value as determined in accordance with the IMB’s established procedures. Security Loans - The IMB, through its lending agent, the Bank of New York Mellon, loans securities to various brokers on a temporary basis. Each transaction for U.S. securities is secured by cash collateral and non-cash collateral consisting of debt obligations and securities issued by the United States Government or its agencies or instrumentalities of at least 102 percent of the market value of the securities loaned plus accrued income. Cash collateral received, if any, is invested in repurchase agreements, money market mutual funds, and time deposits. Such investments, except for repurchase transactions, are made at the risk of the Pool and, as such, the Pool is liable for investment losses. The lending agent contractually indemnifies the IMB for any repurchase agreement investment losses. Investments made with cash are reported at fair value on the Statement of Assets and Liabilities. Securities loaned remain on the Statement of Assets and Liabilities and Schedule of Investments. The IMB receives compensation in the form of loan premium fees and income from the investment of the cash collateral. Expenses related to the lending of securities are rebates paid by the lending agent to brokers and the lending agent’s fees for its services. The income earned by the IMB is reported in the Statement of Operations as net securities lending income. The IMB also continues to receive interest or dividends on the securities loaned. Gains or losses in the fair value of the securities loaned that may occur during the term of the loans are reflected in the Statement of Operations as a change in unrealized appreciation or depreciation on investments. Investment Transactions - Investment transactions are accounted for on a trade date basis. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. 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. Interest Income - Interest income is recognized as earned on the accrual method. 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. For TIPS, the principal amount is adjusted monthly to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to interest income. Dividend Income - Dividend income is recognized on the ex-dividend date. Distributions to Participants - The Pool does not routinely distribute dividends of net investment income or net realized gains. Expenses - The IMB's Trustees adopt an annual budget and fee schedule for services to be provided to all of the investment pools under its management. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. These other expenses are allocated to the individual pools based on asset size. The IMB pays all expenses on behalf of the Pool.

West Virginia Investment Management Board J-6

TIPS Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for income taxes is required as of June 30, 2016. Indemnifications - In the normal course of business, the IMB has entered into contracts that provide a variety of indemnifications. Any exposure to the Pool under these arrangements would involve future claims that may be made against the IMB. The Pool’s maximum exposure under these arrangements is unknown. No such claims have occurred, nor are they expected to occur therefore the IMB expects the risk of loss to be remote. NOTE 3. INVESTMENT RISK DISCLOSURES Credit Risk The IMB limits the exposure to credit risk in the Pool by primarily investing in U.S. Treasury inflation protected securities. The following table provides the weighted average credit ratings of the rated assets in the Pool as of June 30, 2016.

Investment Type Money market mutual fund U.S. Treasury inflation-protected securities Total investments

Moody’s Aaa Aaa

S&P AAA AA

$ $

Fair Value 127 374,622 374,749

Percent of Total Investments 0.0% 100.0 100.0%

Concentration of Credit Risk The Pool is restricted from investing more than 5 percent of the value of the Pool in any one corporate name. At June 30, 2016, the Pool was in compliance with this restriction and is not exposed to concentration of credit risk. Custodial Credit Risk At June 30, 2016, the Pool held no securities that were subject to custodial credit risk. All securities are held by the IMB’s custodian in the name of the IMB. Interest Rate Risk The IMB monitors interest rate risk of the Pool by evaluating the real modified duration of the investments in the Pool. The following table provides the weighted average real modified duration for the applicable asset types in the Pool as of June 30, 2016.

Investment Type Money market mutual fund U.S. Treasury inflation-protected securities Total investments

$ $

Fair Value 127 374,622 374,749

Foreign Currency Risk None of the securities held by the Pool are exposed to foreign currency risk.

West Virginia Investment Management Board J-7

Real Modified Duration (years) N/A 7.9 7.9

TIPS Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 4. FAIR VALUE MEASUREMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Fair value of an investment is the amount 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 (i.e., the exit price). ASC 820 established a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical financial instruments (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are: Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 2 Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not considered active; observable inputs other than observable quoted prices for the asset or liability; or inputs derived principally from or corroborated by observable market data. Level 3 Unobservable pricing inputs for assets and liabilities. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The table below summarizes the valuation of the investment securities in accordance with ASC 820 fair value hierarchy levels as of June 30, 2016: Assets Money market mutual fund U.S. Treasury inflation-protected securities Total

$

Level 1 127

Level 2

Level 3

Total

$

-

$

-

$

127

$

127

$

374,622 374,622

$

-

$

374,622 374,749

There were no transfers in or out of Levels 1 and 2 during the year ended June 30, 2016. NOTE 5. SECURITIES LENDING The following table presents the amounts of various accounts related to securities lending at June 30, 2016.

Securities on loan Collateral received: Cash Non-cash Total collateral received

$

$ $

Fair Value 53,761

54,862 54,862

The Bank of New York Mellon (BNYM), as agent for the IMB, loans the IMB’s securities to various counterparties. These transactions are executed under Master Securities Lending Agreements (MSLA) which permit BNYM under certain circumstances, such as defaults, to offset amounts payable to the same counterparty against amounts to be received and thus create one single net payment due to or from the counterparty. The amounts listed in the above table represent all securities loaned which are subject to a MSLA on a net payment basis. The IMB has elected not to offset the fair value of the securities on loan against the liability for the return of the collateral on the Statement of Assets and Liabilities.

West Virginia Investment Management Board J-8

TIPS Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 6. INVESTMENT ADVISORY FEES The IMB has approved an investment advisory agreement with SSgA to manage the investments of the Pool. This agreement provides for quarterly payments, based on average end of month assets under management, to the investment advisor. The IMB makes these payments and the Pool transfers funds to the IMB to facilitate the payments. The fees paid to SSgA include a base fee of 0.03 percent annually on the first $200 million of net assets under management and a base fee of 0.02 percent annually on the assets over $200 million. The effective fee rate earned by SSgA for the year ended June 30, 2016, was 0.02 percent. NOTE 7. FINANCIAL HIGHLIGHTS Per Unit Operating Performance (a): Net asset value at June 30, 2015 Income from investment operations: Net investment income Net realized and unrealized gain on investment transactions Total from investment operations Net asset value at June 30, 2016

$

10.79

$

0.13 0.33 0.46 11.25 4.3%

Total Return (b) Supplemental Data: Ratio to average net assets (c): Expenses Net investment income Portfolio turnover rate

0.06% 1.18% 20.98%

(a) Calculation based on the average shares outstanding (b) Return data is net of fees for the full fiscal year (c) All ratios are for the fiscal year NOTE 8. SCHEDULE OF PARTICIPATION The following schedule provides the value of participants’ accounts in the Pool at June 30, 2016. Participant Workers' Compensation Old Fund Revenue Shortfall Reserve Fund Revenue Shortfall Reserve Fund - Part B Coal Workers' Pneumoconiosis Fund Public Employees Insurance Agency Board of Risk and Insurance Management Workers' Compensation Self-Insured Employer Security Risk Pool Workers' Compensation Self-Insured Employer Guaranty Risk Pool Workers' Compensation Uninsured Employers' Fund Total

West Virginia Investment Management Board J-9

Account Value 132,676 130,548 59,019 25,066 17,854 13,368 5,523 3,423 1,096 $ 388,573 $

TIPS Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 9. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through September 9, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board J-10

June 30, 2016

K

TRS ANNUITY POOL

AUDITED FINANCIAL STATEMENTS

TRS Annuity Pool Audited Financial Statements June 30, 2016 Table of Contents

Independent Auditors’ Report

Statement of Assets and Liabilities

K-1

Statement of Operations

K-2

Statement of Changes in Net Assets

K-3

Notes to Financial Statements

K-4

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board TRS Annuity Pool, which comprise the statement of assets and liabilities as of June 30, 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board TRS Annuity Pool at June 30, 2016, and the results of its operations and changes in its net assets for the year then ended, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

September 9, 2016

A member firm of Ernst & Young Global Limited

TRS Annuity Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands)

Assets

$

-

Liabilities Accrued expenses

135 Net assets

See accompanying notes to financial statements.

West Virginia Investment Management Board K-1

$

(135)

TRS Annuity Pool Statement of Operations Year Ended June 30, 2016 (Amounts in thousands)

Investment income

$

-

Expenses Professional service fees

(670) Total expenses

(670)

Investment loss, net

(670)

Net decrease in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board K-2

$

(670)

TRS Annuity Pool Statement of Changes in Net Assets Year Ended June 30, 2016 (Amounts in thousands)

Operations Investment loss, net

$

(670)

Capital transactions Contributions by TRS

631 Increase in net assets from capital transactions

631

Decrease in net assets

(39)

Net assets, beginning of year

(96)

Net assets, end of year

See accompanying notes to financial statements.

West Virginia Investment Management Board K-3

$

(135)

TRS Annuity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The accompanying financial statements reflect only the investments and investment related operations of the TRS Annuity Pool (Pool). They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP Not required Required Required Not required Required

State and Local GAAP Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. The Pool held an investment contract issued by the Variable Annuity Life Insurance Company (VALIC) strictly for the benefit of the Teachers’ Retirement System (TRS). On December 10, 2008, the IMB assumed responsibility for this investment as part of the restructuring of the Teachers’ Defined Contribution (TDC) plan, a separate retirement plan administered solely by the Consolidated Public Retirement System, whereby certain TDC participants elected to transfer the ownership of their individual TDC retirement accounts to the TRS in exchange for current participation in the TRS defined benefit plan. The final amount transferred under the contract was $248,293. The IMB initially requested the immediate redemption of the entire balance but VALIC denied the request, claiming the amounts were subject to withdrawal restrictions. Effective April 23, 2009, the IMB, while reserving its rights under the contract, executed the appropriate forms with VALIC to elect to withdraw funds under the Five Year Equal Annual Installment method. By making this election the guaranteed minimum annual yield of 4.5 percent became the fixed rate for this contract. The first four withdrawals of $55,058 each occurred on May 4, 2009, 2010, 2011 and 2012. The final withdraw of $55,191 occurred on May 8, 2013. On that date, all remaining income, net of all management fees, was distributed to TRS and all units of ownership in the Pool were redeemed.

West Virginia Investment Management Board K-4

TRS Annuity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY (continued) In response to VALIC’s denial to allow the IMB to liquidate the contract in its entirety, the IMB sued VALIC and the litigation is ongoing. The case is presently set for trial in September, 2016. The outcome of the litigation is unknown and accordingly the IMB has not accrued any potential revenues from the case. There are ongoing legal fees associated with this litigation and these expenses are accrued to the Pool. The funding for the payment of these expenses results from contributions by the TRS into the TRS Annuity Pool. No other management fees are charged to the Pool and none have been charged since the final withdrawal on May 8, 2013. Amounts recovered pursuant to the litigation, if any, will be recorded in the TRS Annuity Pool and distributed to the TRS. Once the case is resolved the TRS Annuity Pool will be closed. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The investment contract held by this Pool was the sole investment of the Pool and it was fully redeemed on May 8, 2013. However, the Pool is to be kept open so that all on-going expenses associated with the investment contract can be properly reported and charged to the TRS. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. 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. Distributions to Participants - The Pool does not routinely distribute dividends of net investment income or net realized gains. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for income taxes is required as of June 30, 2016. NOTE 3. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through September 9, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board K-5

June 30, 2016

L

PRIVATE EQUITY POOL

AUDITED FINANCIAL STATEMENTS

Private Equity Pool Audited Financial Statements June 30, 2016 Table of Contents

Independent Auditors’ Report

Statement of Assets and Liabilities

L-1

Schedule of Investments

L-2

Statement of Operations

L-13

Statement of Changes in Net Assets

L-14

Statement of Cash Flows

L-15

Notes to Financial Statements

L-16

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board Private Equity Pool, which comprise the statement of assets and liabilities, including the schedule of investments, as of June 30, 2016, and the related statements of operations, changes in net assets and cash flows for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board Private Equity Pool at June 30, 2016, and the results of its operations, changes in its net assets and its cash flows for the year then ended, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

October 5, 2016

A member firm of Ernst & Young Global Limited

Private Equity Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands, except unit data)

Assets Investments at fair value (cost $1,170,772) Dividends receivable

$

Total assets

1,436,496 11 1,436,507

Liabilities Accrued expenses

209 Net assets

$

1,436,298

$

76,551,414 18.76

Unit data Units outstanding Net asset value, unit price

See accompanying notes to financial statements.

West Virginia Investment Management Board L-1

Private Equity Pool Schedule of Investments June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Private Equity Partnerships Corporate Finance - Buyout Funds Advent International GPE VI - A, L.P. Investment Objective - To provide risk capital for, and make investments in the securities of, privately held and publicly listed companies primarily in Europe and North America. Contractual termination date is in March 2018.

Cost

$

Fair Value

19,419

$

29,030

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Advent International GPE VIII - B, L.P. (a) Investment Objective - To provide risk capital for, and make investments in the securities of, privately held and publicly listed companies primarily in Europe and North America. Contractual termination date is in March 2018.

-

(119)

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Altaris Health Partners III, L.P. Investment Objective - To make growth equity investments in control and non-control environments in small and lower middle market companies within the healthcare industry. Contractual termination date is in December 2023.

12,806

15,903

21,648

23,728

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Carlyle Partners V, L.P. Investment Objective - To generate superior, long-term capital appreciation through privately negotiated equity and equity related investments. Contractual termination date is in May 2018. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. CenterOak Equity Fund I, L.P. (b) Investment Objective - To make control equity investments in small and lower middle market U.S. companies, primarily in the industrial growth, business services and consumer sectors. This regionally focused Fund concentrates on the South and Southwestern U.S. Contractual termination date is in December 2025.

116

(1,443)

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Court Square Capital Partners III, L.P. Investment Objective - To make leveraged acquisitions of mature, upper middle market companies in the U.S., primarily in the business services, general industrial, healthcare, and telecom & technology sectors. Contractual termination date is in October 2023. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool.

See accompanying notes to financial statements.

West Virginia Investment Management Board L-2

13,655

12,494

Private Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Franklin Park International Fund 2013, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets by investing in funds outside of the United States, Canada, and western Europe. Contractual termination date is in February 2028.

Cost

Fair Value 7,371

7,952

6,341

8,035

1,292

1,070

448

427

29,930

40,752

27,316

33,973

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Franklin Park International Fund 2014, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets by investing in funds outside of the United States, Canada, and western Europe. Contractual termination date is in January 2029. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Franklin Park International Fund 2015, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets by investing in funds outside of the United States, Canada, and western Europe. Contractual termination date is in January 2030. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Franklin Park International Fund 2016, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets by investing in funds outside of the United States, Canada, and western Europe. Contractual termination date is in January 2031. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Hellman & Friedman Capital Partners VII, L.P. Investment Objective - To make investments, both domestically and internationally, in public and private companies seeking long-term capital appreciation. Contractual termination date is in June 2021. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. JFL Equity Investors III, L.P. Investment Objective - To seek long-term capital appreciation by acquiring, holding, and disposing of securities involved in or connected with defense, aerospace, marine, or engineering industries. Contractual termination date is in September 2020. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool.

See accompanying notes to financial statements.

West Virginia Investment Management Board L-3

Private Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

JFL Equity Investors IV, L.P. Investment Objective - To seek long-term capital appreciation by acquiring, holding, and disposing of securities involved in or connected with defense, aerospace, marine, or engineering industries. Contractual termination date is in March 2026.

Cost

Fair Value 9,361

8,855

11,366

12,112

27,784

30,928

20,406

12,600

39,259

32,797

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. LS Power Equity Partners III, L.P. Investment Objective - To acquire and operate electric power generation and transmission assets in the United States through multi-asset acquisitions. Contractual termination date is in February 2024. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Mason Wells Buyout Fund III, L.P. Investment Objective - To deliver superior risk-adjusted investment returns by applying the Mason Wells Value Creation System to drive improvements to operating and financial performance at portfolio companies. Contractual termination date is in August 2020. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Natural Gas Partners IX, L.P. Investment Objective - To generate long-term capital gains through equity investments in companies engaged in the energy and resource related industries, with an emphasis on privately negotiated equity investments in North American oil and gas companies. Contractual termination date is in December 2017. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. NGP Natural Resources X, L.P. Investment Objective - To generate long-term capital gains through equity investments in companies engaged in the energy, water, and food and agriculture sectors, with an emphasis on privately negotiated equity investments in North American oil and gas companies. Contractual termination date is in December 2021. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool.

See accompanying notes to financial statements.

West Virginia Investment Management Board L-4

Private Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

NGP Natural Resources XI, L.P. Investment Objective - To generate long-term capital gains through equity investments in companies engaged in the energy, water, and food and agriculture sectors, with an emphasis on privately negotiated equity investments in North American oil and gas companies. Contractual termination date is in December 2024.

Cost

Fair Value

10,475

11,104

14,583

24,122

7,097

5,275

14,207

19,526

23,060

15,325

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Odyssey Investment Partners Fund IV, L.P. Investment Objective - To seek long-term capital appreciation by principally pursuing control oriented equity and equity related investments in middle market companies located primarily in the United States. Contractual termination date is in August 2018. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Odyssey Investment Partners Fund V, L.P. Investment Objective - To seek long-term capital appreciation by principally pursuing control oriented equity and equity related investments in middle market companies located primarily in the United States. Contractual termination date is in July 2024. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Riverside Fund IV, L.P. Investment Objective - To pursue and add value to control investments in small, profitable healthcare and technology companies primarily in the United States through financial and operational improvements and to grow the companies both organically and through add-on acquisitions. Contractual termination date is in December 2019. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Riverside Fund V, L.P. Investment Objective - To pursue and add value to control investments in small, profitable healthcare and technology companies primarily in the United States through financial and operational improvements and to grow the companies both organically and through add-on acquisitions. Contractual termination date is in May 2022. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool.

See accompanying notes to financial statements.

West Virginia Investment Management Board L-5

Private Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Siris Partners III, L.P. Investment Objective - To make control equity investment in middle-market technology and telecom companies. Contractual termination date is February 2025.

Cost

Fair Value 6,304

5,425

2,936

2,672

17,545

28,924

35,370

39,593

2,213

1,950

3,599

3,496

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Thoma Bravo Discover Fund, L.P. Investment Objective - To invest in lower middle market software and technology enabled services companies based in the United States. Contractual termination date is in December 2025. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Thoma Bravo Fund X, L.P. Investment Objective - To seek long-term capital appreciation by acquiring, holding, and disposing of securities involved in or connected with enterprise and infrastructure software, financial and business services, and education. Contractual termination date is in December 2021. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Thoma Bravo Fund XI, L.P. Investment Objective - To seek long-term capital appreciation by acquiring, holding, and disposing of securities involved in or connected with application, infrastructure and security software, with a secondary focus on business, media and technology-enabled services. Contractual termination date is in May 2024. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Thoma Bravo Fund XII, L.P. Investment Objective - To seek long-term capital appreciation by acquiring, holding, and disposing of securities involved in or connected with application, infrastructure and security software, with a secondary focus on business, media and technology-enabled services. Contractual termination date is in March 2026. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Vista Equity Partners Fund VI, L.P. Investment Objective - To make control buyout investments in upper-middle market and large enterprise software and technology-enabled service companies. Contractual termination date will be determined upon fund final closing date. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool.

See accompanying notes to financial statements.

West Virginia Investment Management Board L-6

Private Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Vista Foundation Fund III, L.P. (c) Investment Objective - To make control buyout and minority growth equity investments in lower-middle market enterprise software companies. Contractual termination date will be determined upon fund final closing date.

Cost

Fair Value -

(67)

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Wellspring Capital Partners V, L.P. Investment Objective - To target under-managed or underperforming companies possessing strong core franchises and solid fundamentals in the consumer products, manufacturing, retail, distribution, and business and consumer service industries. Contractual termination date is in June 2021.

40,508

54,854

25,211

32,408

17,851

13,609

469,477

527,310

24,080

43,115

37,016

44,167

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Welsh, Carson, Anderson & Stowe XI, L.P. Investment Objective - To provide capital to domestic or foreign corporations, partnerships and joint ventures and to assist in developing the business of those enterprises. Contractual termination date is in May 2020. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Wicks Capital Partners Fund IV, L.P. Investment Objective - To invest in and build middle market businesses in selected segments of the information, education and media industries. Contractual termination date is in October 2022. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Total Corporate Finance - Buyout Funds Corporate Finance - Distressed Debt Castlelake II, L.P. Investment Objective - To pursue an opportunistic distressed investment strategy, with a primary focus of acquiring assets such as non-performing loan portfolios, aviation assets, corporate debt, and other distressed assets. Contractual termination date is in July 2018. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Castlelake III, L.P. Investment Objective - To pursue an opportunistic distressed investment strategy, with a primary focus of acquiring assets such as non-performing loan portfolios, aviation assets, corporate debt, and other distressed assets. Contractual termination date is in February 2020. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool.

See accompanying notes to financial statements.

West Virginia Investment Management Board L-7

Private Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Clearlake Capital III, L.P. Investment Objective - To make special situation investments in small and middle market companies, specifically distressed debt, rescue financing, growth capital, and turnaround investments. Contractual termination date is in October 2022.

Cost

Fair Value

36,731

46,081

14,099

13,914

35,413

40,726

147,339

188,003

15,408

25,837

27,932

37,645

43,340

63,482

7,943

6,231

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Clearlake Capital IV, L.P. Investment Objective - To make special situation equity and debt investment in middle market U.S. companies, providing capital for growth, balance sheet restructuring, or recapitalizations. Contractual termination date is in September 2025. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. H.I.G. Bayside Debt & LBO Fund II, L.P. Investment Objective - To invest in distressed debt obligations and other securities of distressed lower middle market companies. Contractual termination date is in June 2017. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Total Corporate Finance - Distressed Debt Corporate Finance - Growth Equity LLR Equity Partners III, L.P. Investment Objective - To provide investors with substantial long-term capital gains by investing in a diversified portfolio of equity securities. Contractual termination date is in July 2018. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. TA XI, L.P. Investment Objective - To achieve capital appreciation with relatively modest risk by originating investments in profitable, middle-market companies in growth industries. Contractual termination date is in July 2020. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Total Corporate Finance - Growth Equity Corporate Finance - Mezzanine Insight Equity Mezzanine I, L.P. Investment Objective - To invest in mezzanine securities issued by companies in which Insight is also an equity sponsor. Contractual termination date is in February 2019. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool.

See accompanying notes to financial statements.

West Virginia Investment Management Board L-8

Private Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Levine Leichtman Capital Partners V, L.P. Investment Objective - To make debt and equity investments in middle market companies which typically provide both elements of current income and equity appreciation. Contractual termination date is in March 2024.

Cost

Fair Value

30,190

30,791

1,340

1,455

39,473

38,477

21,619

32,819

23,169

23,947

2,268

2,818

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. PineBridge Structured Capital Partners III, L.P. Investment Objective - To make debt and preferred equity investments in small and middle market companies. Contractual termination date is in March 2023. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Total Corporate Finance - Mezzanine Corporate Finance - Turnaround Insight Equity II, L.P. Investment Objective - To acquire underperforming, operationally challenged, or financially distressed small and middle market businesses and to seek to reorganize operations and strategy to restore profitability and growth. Contractual termination date is in October 2018. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. KPS Special Situations Fund III (Supplemental), L.P. Investment Objective - Seek to invest alongside KPS Special Situations Fund III, L.P. and KPS Special Situations Fund III (A), L.P., to make controlling equity and equity-related investments in underperforming or distressed companies engaged in manufacturing, transportation, and service industries that need immediate and significant change. Contractual termination date is in November 2017. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. KPS Special Situations Fund IV, L.P. Investment Objective - To make controlling equity and equity-related investments in underperforming or distressed companies engaged in manufacturing, transportation, and service industries that need immediate and significant change. Contractual termination date is May 2026. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool.

See accompanying notes to financial statements.

West Virginia Investment Management Board L-9

Private Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Platinum Equity Capital Partners II, L.P. Investment Objective - To make private investments in equity, equity oriented or debt securities that offer equity-like returns, of underperforming companies to generate capital appreciation. Contractual termination date is in August 2018.

Cost

Fair Value

24,559

24,818

7,520

6,331

79,135

90,733

20,166

26,842

17,672

32,200

14,957

20,798

18,184

36,559

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Sycamore Partners II, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets. Contractual termination date is in May 2024. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Total Corporate Finance - Turnaround Venture Capital Franklin Park Venture Fund Series 2008, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets. Contractual termination date is in March 2023. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Franklin Park Venture Fund Series 2009, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets. Contractual termination date is in January 2024. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Franklin Park Venture Fund Series 2010, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets. Contractual termination date is in January 2025. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Franklin Park Venture Fund Series 2011, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets. Contractual termination date is in January 2026. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool.

See accompanying notes to financial statements.

West Virginia Investment Management Board L-10

Private Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Franklin Park Venture Fund Series 2012, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets. Contractual termination date is in January 2027.

Cost

Fair Value

17,447

29,843

13,901

17,512

13,679

15,757

3,959

3,697

98

95

120,063

183,303

898,827

1,091,308

103,187

172,646

103,187

172,646

Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Franklin Park Venture Fund Series 2013, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets. Contractual termination date is in February 2028. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Franklin Park Venture Fund Series 2014, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets. Contractual termination date is in January 2029. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Franklin Park Venture Fund Series 2015, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets. Contractual termination date is in January 2030. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Franklin Park Venture Fund Series 2016, L.P. Investment Objective - To realize long-term compounded returns in excess of those available through conventional investments in the public equity markets. Contractual termination date is in January 2031. Redemption Provisions - Upon termination of the partnership. No underlying investments exceed 5% of net assets of the Private Equity Pool. Total Venture Capital Total Private Equity Partnerships - 76.0% Multiple Strategy Hedge Fund Bridgewater All Weather Portfolio II, LTD Investment Objective - To seek to provide attractive returns with relatively limited risks, with no material bias to perform better or worse in any particular type of economic environment.

95,023

Redemption Provisions - Monthly on the first business day A detail of the underlying investments is not available. Total Multiple Strategy Hedge Fund - 12.0%

See accompanying notes to financial statements.

West Virginia Investment Management Board L-11

Private Equity Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Investment in Other Fund State Street Global Advisors Russell 3000 Index Non-Lending Fund Investment Objective - To match the return of the Russell 3000 Index.

Cost

5,506,886

Fair Value

117,401

121,185

117,401

121,185

51,357

51,357

Redemption Provisions - Daily No underlying investments exceed 5% of net assets of the Private Equity Pool. Total Investment in Other Fund - 8.4% Money Market Mutual Fund Dreyfus Cash Management Institutional Fund - 3.6% Total Investments - 100.0%

51,357,358 $

1,170,772

$

(a) As of June 30, 2016 the general partner of Advent International GPE VIII - B, L.P. had not called any commitments from limited partners. The negative fair value reflects the IMB's share of fees and expenses. (b) As of June 30, 2016 the general partner of CenterOak Equity Fund I, L.P. had not called any commitments from limited partners for the purpose of making investments. Therefore, the IMB had only funded commitments for fees and expenses. As such, a negative fair value is reflected at June 30, 2016. (c) As of June 30, 2016 the general partner of Vista Foundation Fund III, L.P. had not called any commitments from limited partners. The negative fair value reflects the IMB's share of fees and expenses.

See accompanying notes to financial statements.

West Virginia Investment Management Board L-12

1,436,496

Private Equity Pool Statement of Operations Year Ended June 30, 2016 (Amounts in thousands)

Investment income Income distributions from limited partnerships Dividends Fund closing income

$

Total investment income

10,557 73 11 10,641

Expenses Trustee fees Custodian bank fees Management fees Fiduciary bond fees Professional service fees Management fees - external

(4) (3) (362) (2) (896) (205) Total expenses

(1,472)

Investment income, net

9,169

Realized and unrealized gain (loss) from investments Net realized gain from investments Net change in unrealized appreciation (depreciation) on investments

162,466 (75,617)

Net gain from investments Net increase in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board L-13

86,849 $

96,018

Private Equity Pool Statement of Changes in Net Assets Year Ended June 30, 2016 (Amounts in thousands, except unit data)

Operations Investment income, net Net realized gain from investments Net change in unrealized appreciation (depreciation) on investments

$

Net increase in net assets from operations

9,169 162,466 (75,617) 96,018

Unit transactions Proceeds from sale of units Amount paid for repurchase of units

75,082 (138,803) Net decrease in net assets from unit transactions

(63,721)

Increase in net assets

32,297

Net assets, beginning of year

1,404,001

Net assets, end of year

$

1,436,298

Unit data Units sold Units repurchased

4,306,692 (8,028,116) Net decrease in units

See accompanying notes to financial statements.

West Virginia Investment Management Board L-14

(3,721,424)

Private Equity Pool Statement of Cash Flows Year Ended June 30, 2016 (Amounts in thousands)

Cash flows from operating activities Net increase in net assets from operations

$

Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: Contributions to limited partnerships Purchase of investments Distributions from limited partnerships Proceeds from disposition of investments Purchases and sales of short-term investment securities, net Decrease in receivable for partnership distributions Increase in dividends receivable Increase in accrued expenses Net realized gain from investments Net change in unrealized appreciation (depreciation) on investments

96,018

(229,739) (155,000) 193,868 240,000 5,400 588 (9) 32 (162,466) 75,617

Net cash provided by operating activities

64,309

Cash flows from financing activities Proceeds from units sold Paid for repurchase of units

75,082 (138,803) Net cash used in financing activities

(63,721)

Net change in cash

588

Cash (overdraft) Beginning balance Ending balance

$

See accompanying notes to financial statements.

West Virginia Investment Management Board L-15

(588) -

Private Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The accompanying financial statements reflect only the investments and investment related operations of the IMB’s Private Equity Pool (Pool). They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP Not required Required Required Not required Required

State and Local GAAP Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. The Pool holds investments in private equity funds, a hedge fund, and a commingled investment fund. Franklin Park Associates, LLC has been retained by the IMB to provide consulting services for the private equity funds. The hedge fund is managed by Bridgewater Associates, LP and the commingled investment fund is managed by State Street Global Advisors. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The IMB reports its investments at fair value in accordance with the FASB’s ASC Topic 820 (ASC 820). Refer to Note 4 for further discussion and presentation of the reporting requirements under ASC 820.

West Virginia Investment Management Board L-16

Private Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Fair value of the Pool’s portfolio investments is determined as follows: •

•

Investments in private equity partnerships and other private funds are not securities for which market quotations are readily available. The IMB has concluded that the net asset value reported by the general partners or fund administrators approximates the fair value of these investments and consequently these investments are carried at net asset value as a practical expedient for fair market value. Due to the nature of the investments held by the funds, changes in market conditions and the economic environment may significantly impact the net asset value of the funds and, consequently, the fair value of the IMB’s interests in the funds. Although a secondary market exists for these investments, it is not active and individual transactions are typically not observable. When transactions do occur in this limited secondary market, they may occur at discounts to the reported net asset value. It is therefore reasonably possible that if the IMB were to sell these investments in the secondary market a buyer may require a discount to the reported net asset value, and the discount could be significant. The IMB believes that the net asset value of such investments is a reasonable estimate of fair value as of June 30, 2016. Open-end regulated investment companies or other commingled investment funds are valued at the net asset value of the fund as reported by the fund’s administrator.

Investments for which the fair value cannot be determined by one of the above listed processes are valued at fair value as determined in accordance with the IMB’s established procedures. Investment Transactions - Investment transactions are accounted for on a trade date basis. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. Investment Gains and Losses - Gains and losses on investments in partnerships are recognized when the partnership has realized its interest in a portfolio company and we have sufficient information as to the amount and date of the distribution. Gains and losses on the sale of other investments are recognized at the time of sale by the average cost method. Dividend Income - Dividend income is recognized on the ex-dividend date. Income from Partnerships - Income from private equity partnerships and other private funds is recognized when distributed to the partners. Distributions to Participants - The Pool does not routinely distribute dividends of net investment income or net realized gains. Expenses - The IMB's Trustees adopt an annual budget and fee schedule for services to be provided to all of the investment pools under its management. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. Direct investment-related costs include fees charged by external managers that are outside of their respective private equity partnership or other private fund, the custodian bank, legal counsel, and the consultant. Other expenses are allocated to the individual pools based on asset size. The IMB pays all expenses on behalf of the Pool. In addition to these direct and allocated expenses, the Pool bears certain expenses indirectly, such as fees of other investment funds in which the Pool invests that are reflected in the reported net asset value of such funds. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for income taxes is required as of June 30, 2016.

West Virginia Investment Management Board L-17

Private Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Indemnifications - In the normal course of business, the IMB has entered into contracts that provide a variety of indemnifications. Any exposure to the Pool under these arrangements would involve future claims that may be made against the IMB. The Pool’s maximum exposure under these arrangements is unknown. No such claims have occurred, nor are they expected to occur therefore the IMB expects the risk of loss to be remote. NOTE 3. INVESTMENT RISK DISCLOSURES The Pool holds limited partnerships, shares of a hedge fund, a commingled investment fund, and a money market fund with the highest credit rating. The investments in limited partnerships and the hedge fund might be indirectly exposed to foreign currency risk, credit risk, interest rate risk, and/or custodial credit risk. The commingled investment fund is held in an account in the name of the IMB. The Pool is restricted from investing more than 10 percent of the IMB’s total private equity exposure in a single fund. At June 30, 2016, the Pool was in compliance with this restriction and is not exposed to concentration of credit risk. NOTE 4. FAIR VALUE MEASUREMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Fair value of an investment is the amount 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 (i.e., the exit price). ASC 820 established a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical financial instruments (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are: Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 2 Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not considered active; observable inputs other than observable quoted prices for the asset or liability; or inputs derived principally from or corroborated by observable market data. Level 3 Unobservable pricing inputs for assets and liabilities with redemption terms that are not short term. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. U.S. GAAP does not require the Pool to categorize within the fair value hierarchy table investments for which fair value is measured using the net asset value per share practical expedient. The table that follows sets forth information about the level within the fair value hierarchy at which the Pool’s assets and liabilities are measured at June 30, 2016. All of the Pool’s investments in private equity partnerships and its investment in a multiple strategy hedge fund were valued using the net asset value per share practical expedient, as such they have not been categorized in the fair value hierarchy table.

West Virginia Investment Management Board L-18

Private Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 4. FAIR VALUE MEASUREMENTS (continued) Assets Investment in other fund Money market mutual fund Total

Level 1 $ 121,185 51,357 $ 172,542

Level 2 $ $

Level 3 -

$ $

-

$ $

Private equity partnerships Multiple strategy hedge fund Total

$

Total 121,185 51,357 172,542 1,091,308 172,646 1,436,496

There were no transfers in or out of Levels 1, 2, and 3 during the year ended June 30, 2016. NOTE 5. COMMITMENTS As of June 30, 2016, the IMB had made commitments to fifty-eight private equity general partnerships.

Partnership Classification Corporate finance - buyout funds Corporate finance - distressed debt Corporate finance - growth equity Corporate finance - mezzanine Corporate finance - turnaround Venture capital Total

Total Commitment $ 1,274,000 210,000 80,000 90,000 200,000 220,500 $ 2,074,500

Funded Commitment $ 615,449 167,445 75,214 38,778 105,327 129,640 $ 1,131,853

Unfunded Commitment $ 658,551 42,555 4,786 51,222 94,673 90,860 $ 942,647

NOTE 6. FINANCIAL HIGHLIGHTS Per Unit Operating Performance (a): Net asset value at June 30, 2015 Income from investment operations: Net investment income Net realized and unrealized gain on investment transactions Total from investment operations Net asset value at June 30, 2016

$

17.49

$

0.12 1.15 1.27 18.76 7.3%

Total Return (b) Supplemental Data: Ratio to average net assets (c): Expenses Net investment income Portfolio turnover rate

0.10% 0.67% 28.94%

(a) Calculation based on the average shares outstanding (b) Return data is net of fees for the full fiscal year. (c) All ratios are for the fiscal year and do not reflect the Pool’s proportionate share of income and expenses of the underlying investee funds.

West Virginia Investment Management Board L-19

Private Equity Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 7. SCHEDULE OF PARTICIPATION The following schedule provides the value of participants’ accounts in the Pool at June 30, 2016. Participant Teachers' Retirement System Public Employees' Retirement System West Virginia Retiree Health Benefit Trust Fund State Police Death, Disability and Retirement Fund Deputy Sheriff's Retirement System Judges' Retirement System State Police Retirement System Emergency Medical Services Retirement System Wildlife Endowment Fund Berkeley County Development Authority Municipal Police Officers' and Firefighters' Retirement System Municipal Policemen’s or Firemen’s Pension and Relief Funds Total

Account Value 669,655 582,482 63,161 58,643 17,840 17,387 14,287 6,091 5,672 634 309 137 $ 1,436,298 $

NOTE 8. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through October 5, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board L-20

June 30, 2016

M

REAL ESTATE POOL

AUDITED FINANCIAL STATEMENTS

Real Estate Pool Audited Financial Statements June 30, 2016 Table of Contents

Independent Auditors’ Report

Statement of Assets and Liabilities

M-1

Schedule of Investments

M-2

Statement of Operations

M-10

Statement of Changes in Net Assets

M-11

Statement of Cash Flows

M-12

Notes to Financial Statements

M-13

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board Real Estate Pool, which comprise the statement of assets and liabilities, including the schedule of investments, as of June 30, 2016, and the related statements of operations, changes in net assets and cash flows for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board Real Estate Pool at June 30, 2016, and the results of its operations, changes in its net assets and its cash flows for the year then ended, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

October 5, 2016

A member firm of Ernst & Young Global Limited

Real Estate Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands, except unit data)

Assets Investments at fair value (cost $1,301,674), including securities on loan of $38,762 (Note 5) Receivables: Investments sold Interest Income distributions from real estate limited partnerships and funds Dividends Reclaimable foreign taxes withheld Securities lending income

$

1,541,401

1,616 103 5,524 1,091 29 8 Total assets

1,549,772

Liabilities Accrued expenses Payable for investments purchased Payable upon return of securities loaned (Note 5)

962 620 33,244 Total liabilities Net assets

34,826 $

1,514,946

$

105,243,389 14.39

Unit data Units outstanding Net asset value, unit price

See accompanying notes to financial statements.

West Virginia Investment Management Board M-1

Real Estate Pool Schedule of Investments June 30, 2016 (Amounts in thousands, except share data) Description

Cost

Par Value or Shares

Real Estate Limited Partnerships and Funds Core Funds CIM VI-1, LLC Investment Objective -To invest in substantially stabilized core real estate and real estate related assets located in urban areas that are experiencing positive transition due to urbanization trends. Contractual termination date is in April 2022.

$

Fair Value

28,454

$

37,270

Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Harrison Street Core Property Fund, L.P. Investment Objective - To invest primarily in a core portfolio of properties related to education, healthcare, and storage sectors of the commercial real estate market. No contractual termination date.

57,645

67,066

142,807

188,716

20,206

20,356

2,033

1,613

154,107

200,255

111,475

139,161

82,894

99,414

599,621

753,851

10,614

13,773

Redemption Provisions - Quarterly subject to the terms of the fund's governing documents and available liquidity. No underlying investments exceed 5% of net assets of the Real Estate Pool. Invesco Core Real Estate - U.S.A., L.P. Investment Objective - The Fund will invest in core properties located in the United States. No contractual termination date. Redemption Provisions - Quarterly with 90 days written notice. No underlying investments exceed 5% of net assets of the Real Estate Pool. PCCP First Mortgage II, L.P. Investment Objective - To invest in senior, floating-rate first mortgage loans secured by commercial real estate properties. Contractual termination date is in June 2020. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Quadrant Fund I, LLC Investment Objective - To achieve a highly stable dividend yield and attractive total return by investing in real estate assets on a relative value basis across private and public, debt and equity investments. No contractual termination date. Redemption Provisions - Quarterly on the last business day. No underlying investments exceed 5% of net assets of the Real Estate Pool. RREEF America REIT II, Inc. Investment Objective - To invest in a portfolio of income producing core real estate properties diversified by property type and geographically in the United States. No contractual termination date. Redemption Provisions - Quarterly with 45 days written notice. No underlying investments exceed 5% of net assets of the Real Estate Pool. UBS Trumbull Property Fund Investment Objective - To invest in a portfolio of core equity investments in income producing real property diversified by property type and geographically in the United States. No contractual termination date. Redemption Provisions - Quarterly with 60 days written notice. No underlying investments exceed 5% of net assets of the Real Estate Pool. UBS Trumbull Property Income Fund Investment Objective - To provide investors with a positive total return in excess of the rate of inflation in all market conditions on a rolling three to five year period. No contractual termination date. Redemption Provisions - Quarterly with 60 days written notice. No underlying investments exceed 5% of net assets of the Real Estate Pool. Total Core Funds Opportunistic Funds Blackstone RE Partners Europe III, L.P. Investment Objective - To invest in a broad range of real estate and real estate related investments in Europe. Contractual termination date is in December 2018. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool.

See accompanying notes to financial statements.

West Virginia Investment Management Board M-2

Real Estate Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Blackstone RE Partners Europe IV, L.P. Investment Objective - To invest in a broad range of real estate and real estate related investments in Europe. Contractual termination date is in March 2025.

Cost

Fair Value 35,296

38,185

12,665

15,499

19,429

23,913

18,105

18,513

1,877

3,253

15,339

20,172

6,724

6,764

-

2,186

4,924

6,911

Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. CIM VIII, LLC Investment Objective - To acquire various property types in urban locations across the United States and create value through redeveloping and repositioning assets. Contractual termination date is in July 2023. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Kennedy Wilson Real Estate Fund IV, L.P. Investment Objective - To seek targeted real estate investment in opportunistic and value-add strategies located primarily in the western United States. Contractual termination date is in May 2019. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Kennedy Wilson Real Estate Fund V, L.P. Investment Objective - To seek targeted real estate investment in opportunistic and value-add strategies located primarily in the western United States. Contractual termination date is in September 2022. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Lone Star Real Estate Fund II, L.P. Investment Objective - To invest in distressed global commercial real estate debt and equity investments. Contractual termination date is in April 2019. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Lone Star Real Estate Fund III, L.P. Investment Objective - To invest in distressed global commercial real estate debt and equity investments. Contractual termination date is in October 2021. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Lone Star Real Estate Fund IV, L.P. Investment Objective - To invest in distressed global commercial real estate debt and equity investments. Contractual termination date is in April 2023. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Lone Star Fund VII, L.P. Investment Objective - To invest in global real estate investments in distressed loans and securities, with a focus on single family and residential assets. Contractual termination date is in December 2019. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Lone Star Fund VIII, L.P. Investment Objective - To invest in global real estate investments in distressed loans and securities, with a focus on single family and residential assets. Contractual termination date is in May 2021. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool.

See accompanying notes to financial statements.

West Virginia Investment Management Board M-3

Real Estate Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Lone Star Fund IX, L.P. Investment Objective - To invest in global real estate investments in distressed loans and securities, with a focus on single family and residential assets. Contractual termination date is in July 2022.

Cost

Fair Value 13,908

14,492

-

12,596

23,100

31,941

3,126

2,288

165,107

210,486

42,761

46,915

Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Oaktree Real Estate Opportunities Fund V, L.P. Investment Objective - To target distressed real estate debt and equity investments that provide an opportunity for substantial long-term capital appreciation and current income. Contractual termination date is in March 2021. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Oaktree Real Estate Opportunities Fund VI, L.P. Investment Objective - To target distressed real estate debt and equity investments that provide an opportunity for substantial long-term capital appreciation and current income. Contractual termination date is in August 2021. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Woodbourne Canada Partners III, L.P. Investment Objective - To build and acquire a diversified real estate portfolio in Canada with a primary focus on multi-residential assets including senior housing and other purpose built properties in fragmented sectors. Contractual termination date is in November 2023. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Total Opportunistic Funds Value Funds ABR Chesapeake Investors IV, L.P. Investment Objective - To generate a 14% net return to investors through the acquisition of moderately leveraged real estate assets generally valued between $10 million and $30 million in the value-add sector. Contractual termination date is in September 2025. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. ABR Chesapeake Investors V-b, L.P. (a) Investment Objective - To invest in moderately leveraged real estate assets generally valued between $10 million and $30 million in the value-add sector across the U.S. Estimated contractual termination date is in December 2027. Redemption Provisions - Upon termination of partnership.

(62)

(62)

No underlying investments exceed 5% of net assets of the Real Estate Pool. AG Core Plus Realty Fund III, L.P. Investment Objective - To invest in core plus equity real estate investments primarily located in the U.S. that provide opportunities to enhance and stabilize returns, and to generate a gross return ranging from 13-15%. Contractual termination date is in December 2020. Redemption Provisions - Upon termination of partnership.

27,381

32,596

11,245

11,493

No underlying investments exceed 5% of net assets of the Real Estate Pool. AG Core Plus Realty Fund IV, L.P. Investment Objective - To invest in core plus equity real estate investments primarily located in the U.S. that provide opportunities to enhance and stabilize returns, and to generate a gross return ranging from 13-15%. Contractual termination date is in January 2025. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool.

See accompanying notes to financial statements.

West Virginia Investment Management Board M-4

Real Estate Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

BPG Investment Partnership IX, L.P. Investment Objective -To invest in a broad range of real estate assets in the U.S. in which value can be enhanced through intense operations and asset management, and to generate an internal rate of return in excess of 12%, net of fees, costs, and carried interest. Contractual termination date is in August 2020. Redemption Provisions - Upon termination of partnership.

Cost

Fair Value 22,335

26,005

12,713

13,936

24,216

30,701

42,435

43,701

9,143

8,820

35,521

39,435

5,745

7,150

37,850

38,844

No underlying investments exceed 5% of net assets of the Real Estate Pool. Bristol Value II, L.P. Investment Objective -To invest in properties and other real estate-related investments with high return value-added potential and achieve a leveraged internal rate of return of 14-18%. Contractual termination date is in January 2021. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. DRA Growth & Income Fund VII, LLC Investment Objective - To capitalize on inefficiencies in real estate markets and to make real estate investments that provide value-add opportunities expected to provide investors a 12-15% rate of return on their investments. Contractual termination date is in December 2021. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. DRA Growth & Income Fund VIII, LLC Investment Objective - To capitalize on inefficiencies in real estate markets and to make real estate investments that provide value-add opportunities expected to provide investors a 12-15% rate of return on their investments. Contractual termination date is in December 2023. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Equus Investment Partnership X, L.P. Investment Objective -To invest in a broad range of real estate assets in the U.S. in which value can be enhanced through intense operations and asset management, and to generate an internal rate of return in excess of 12%, net of fees, costs, and carried interest. Contractual termination date is in October 2022. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Madison International Real Estate Liquidity Fund V, L.P. Investment Objective - To acquire illiquid ownership interests in core-quality properties within the United States and Europe with long-term cash flow profiles and limited lease expiration risks. Contractual termination date is in March 2022. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Madison International Real Estate Liquidity Fund VI, L.P. Investment Objective - To acquire illiquid ownership interests in core-quality properties within the United States and Europe with long-term cash flow profiles and limited lease expiration risks. Contractual termination date is in June 2024. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Mesa West Real Estate Income Fund III, L.P. Investment Objective - To originate and service first mortgage and mezzanine loans on middlemarket, value-added and traditional commercial real estate assets in the United States. Contractual termination date is in October 2021. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool.

See accompanying notes to financial statements.

West Virginia Investment Management Board M-5

Real Estate Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

PCCP Credit VI, L.P. Investment Objective - To invest in senior, floating-rate first mortgage loans secured by commercial real estate properties. Contractual termination date is in January 2020.

Cost

Fair Value 23,603

23,392

4,666

2,117

25,157

25,252

Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. RCG Longview Debt Fund IV, L.P. Investment Objective - To generate attractive risk-adjusted returns by capitalizing on inefficiencies in the commercial real estate lending marketplace by making debt and debt-like investments in real estate assets. Contractual termination date is in December 2016. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Rubenstein Properties Fund II, L.P. Investment Objective - To invest in value-added office real estate opportunities across the eastern United States. Contractual termination date is in April 2024. Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Rubenstein Properties Fund III, L.P. (b) Investment Objective - To invest in value-added office real estate opportunities across the eastern United States. Contractual termination date is in January 2027.

-

(69)

Redemption Provisions - Upon termination of partnership. No underlying investments exceed 5% of net assets of the Real Estate Pool. Total Value Funds Total Real Estate Limited Partnerships and Funds - 87.0% Common Stock Australia GPT Group Mirvac Group Scentre Group Vicinity Centres Westfield Corp Total Australia - 0.3%

103,529 577,543 471,516 306,045 148,659

Cayman Islands Cheung Kong Property Holdings - 0.1%

155,000

324,709

350,226

1,089,437

1,314,563

375 868 1,529 686 1,028 4,486

417 869 1,727 757 1,179 4,949

1,044

967

France Gecina SA ICADE Klepierre Unibail-Rodamco Total France - 0.3%

7,602 3,798 43,313 7,656

996 336 1,859 1,839 5,030

1,035 269 1,918 1,987 5,209

Germany Deutsche Wohnen AG-BR LEG Immobilien AG Vonovia SE Total Germany - 0.1%

9,469 16,563 5,931

225 1,132 176 1,533

321 1,544 216 2,081

25,300 257,600 122,393

119 1,427 1,747 3,293

142 1,753 1,468 3,363

2,800 309 99 13

394 332 71 71

454 391 63 80

Hong Kong Henderson Land Development Co Link REIT Sun Hung Kai Properties Ltd Total Hong Kong - 0.2% Japan Daito Trust Construct Co Ltd GLP-J-REIT Invincible Investment Corp Japan Real Estate Inv Corp

See accompanying notes to financial statements.

West Virginia Investment Management Board M-6

Real Estate Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Japan Retail Fund Inv Corp Kenedix Realty Investment Corp Mitsubishi Estate Co Ltd Mitsui Fudosan Co Ltd Mori Hills REIT Investment Nippon Prologis REIT Inc Orix Jreit Inc Sumitomo Realty & Development Total Japan - 0.6%

Cost

Fair Value

689 120 90,537 66,500 365 447 402 20,000

1,328 584 1,921 1,398 446 891 547 587 8,570

1,760 717 1,653 1,511 574 1,094 695 537 9,529

9,778 66,844

411 353 764

418 268 686

Spain Hispania Activos Inmobiliarios - 0.0%

9,353

128

109

Sweden Hufvudstaden AB - 0.0%

24,432

301

381

48,307 7,582 52,759 60,475 135,650 45,272

511 180 314 444 1,843 124 3,416

392 265 442 435 1,884 223 3,641

16,640 20,578 19,835 7,035 21,845 11,935 15,535 3,025 33,500 3,200 18,125 111,625 21,675 31,925 17,415 3,525 6,300 70,435 4,193 28,400 132,139 31,870 20,000 21,767 10,210 11,625 115,785 31,175 17,900 87,425 22,965 8,395 15,803 26,400

1,514 770 2,983 840 536 296 361 246 926 167 565 1,816 1,665 939 367 1,313 182 4,544 900 932 3,243 1,143 491 539 389 308 1,940 858 926 2,136 768 632 349 474

1,723 909 3,578 928 578 277 332 268 1,034 178 871 2,025 2,362 1,134 464 1,367 184 4,852 956 979 3,940 1,128 700 704 539 335 1,877 910 1,187 2,743 912 717 422 421

Netherlands Eurocommercial Properties NV Nieuwe Steen Investments NV Total Netherlands - 0.0%

United Kingdom British Land Company PLC Derwent London PLC Great Portland Estates PLC Hammerson PLC Land Securities Group PLC Safestore Holdings PLC Total United Kingdom - 0.2% United States Alexandria Real Estate Equitie Apartment Investment & Mgmt Co Avalonbay Communities Inc Boston Properties Inc Brixmor Property Group Inc Chesapeake Lodging Trust Columbia Property Trust Inc Coresite Realty Corporation CubeSmart CyrusOne Inc DCT Industrial Trust Inc DDR Corp Digital Realty Trust Inc Douglas Emmett Inc Duke Realty Corp Equinix Inc Equity Commonwealth Equity Residential Essex Property Trust Inc Gaming & Leisure Properties General Growth Properties Inc HCP Inc Healthcare Realty Trust Inc Healthcare Trust of America Highwoods Properties Inc Hospitality Properties Trust Host Hotels & Resorts Inc Hudson Pacific Properties Kilroy Realty Corporation Kimco Realty Corporation Liberty Property Trust Macerich Company MGM Growth Properties LLC Paramount Group Inc

See accompanying notes to financial statements.

West Virginia Investment Management Board M-7

Real Estate Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

Pebblebrook Hotel Trust Prologis Inc Public Storage QTS Realty Trust Inc Regency Centers Corp RLJ Lodging Trust Senior Housing Prop Trust Simon Property Group Inc SL Green Realty Corp Sovran Self Storage, Inc Spirit Realty Capital Inc Sun Communities Inc Sunstone Hotel Investors Inc UDR Inc VEREIT Inc Vornado Realty Trust Weingarten Realty Investors Welltower Inc Total United States - 5.2%

32,235 77,901 16,175 7,100 17,315 9,050 60,770 34,120 17,300 4,775 100,462 20,625 45,097 33,500 130,900 37,215 14,700 57,972

Total Common Stock - 7.0% U.S. Preferred Stock Alexandria Real Estate Equitie American Homes 4 Rent American Homes 4 Rent Apartment Investment & Mgmt Co Apartment Investment & Mgmt Co Ashford Hospitality Trust CBL & Associates Properties Corporate Office Properties CubeSmart DDR Corp Digital Realty Trust Inc General Growth Properties Inc Hersha Hospitality Trust Kilroy Realty Corporation Kilroy Realty Corporation LaSalle Hotel Properties National Retail Property Inc Pebblebrook Hotel Trust Penn Real Estate Invest Tst Penn Real Estate Invest Tst PS Business Parks Inc Public Storage Regency Centers Corp Regency Centers Corp Sabra Health Care REIT Inc Saul Centers Inc Senior Housing Prop Trust SL Green Realty Corp STAG Industrial Inc Sunstone Hotel Investors Inc Sunstone Hotel Investors Inc Taubman Centers Inc Taubman Centers Inc Terreno Realty Corp Urstadt Biddle Properties Inc Urstadt Biddle Properties Inc Vornado Realty Trust Welltower Inc WP Glimcher Inc

6,950 28,750 40,175 34,000 575 13,000 7,400 11,075 3,350 2,725 9,525 28,600 11,325 4,150 8,350 17,400 3,650 30,350 13,825 250 300 650 16,100 450 1,400 3,250 2,100 21,300 1,450 8,450 4,350 16,550 2,825 800 42,925 38,900 2,850 3,300 42,000

Total U.S. Preferred Stock - 0.8%

See accompanying notes to financial statements.

West Virginia Investment Management Board M-8

Cost

Fair Value 969 2,979 3,091 367 1,208 177 1,104 5,466 1,597 491 1,102 1,310 586 843 1,383 3,440 555 3,656 66,382

846 3,820 4,134 397 1,450 194 1,266 7,401 1,842 501 1,283 1,581 544 1,237 1,327 3,726 600 4,416 78,099

94,947

109,014

178 719 1,004 854 15 307 183 287 88 71 267 757 283 108 212 435 96 770 359 6 8 18 416 11 35 82 53 546 38 211 109 418 72 20 1,070 973 72 85 1,084

184 721 1,055 921 14 326 184 287 86 71 276 766 286 110 215 451 96 769 365 7 8 18 419 12 37 86 55 557 37 223 114 430 73 21 1,150 1,070 75 86 1,106

12,320

12,767

Real Estate Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Par Value or Shares

U.S. Corporate Bonds Alexandria Real Estate Equitie, 4.6% Due 4/1/2022 CBL & Associates, 5.25% Due 12/1/2023 Equity One, Inc, 3.75% Due 11/15/2022 First Industrial LP, 7.5% Due 12/1/2017 Government Properties In, 3.75% Due 8/15/2019 Highwoods Realty LP, 7.5% Due 4/15/2018 Mack-Cali Realty LP, 7.75% Due 8/15/2019 Prologis LP, 4.0% Due 1/15/2018 Regency Centers LP, 6.0% Due 6/15/2020 Senior Housing Prop Trust, 3.25% Due 5/1/2019 Senior Housing Prop Trust, 6.75% Due 4/15/2020 Senior Housing Prop Trust, 6.75% Due 12/15/2021 SL Green Realty Corp, 7.75% Due 3/15/2020 SL Green Realty Corp, 4.5% Due 12/1/2022 Ventas Realty LP/CAP Corp, 2.0% Due 2/15/2018

94 210 48 123 299 1,000 69 1,000 65 2,087 795 24 1,521 27 215

Cost

Fair Value

99 198 48 131 303 1,088 76 1,022 72 2,081 874 26 1,735 28 215

102 199 49 131 307 1,091 78 1,033 74 2,096 874 27 1,778 28 216

7,996

8,083

63,730

63,730

1,498 1,461 1,141 1,206 27 1,589

1,498 1,461 1,141 1,206 27 1,589 6,922

1,498 1,461 1,141 1,206 27 1,589 6,922

Repurchase Agreements Barclays Bank PLC, 0.38% Due 7/1/2016 BNP Paribas Securities Corp, 0.38% Due 7/1/2016 Cantor Fitzgerald Securities Inc, 0.47% Due 7/1/2016 Citigroup Global Markets Inc, 0.46% Due 7/1/2016 Citigroup Global Markets Inc, 0.39% Due 7/6/2016 Deutsche Bank Securities Inc, 0.45% Due 7/1/2016 Deutsche Bank Securities Inc, 0.7% Due 7/5/2016 ING Bank NV, 0.55% Due 7/1/2016 Mizuho Securities USA Inc, 0.38% Due 7/1/2016 Mizuho Securities USA Inc, 0.4% Due 7/1/2016 Morgan, Stanley & Co. LLC, 0.56% Due 8/2/2016 Morgan, Stanley & Co. LLC, 0.68% Due 9/29/2016 Morgan, Stanley & Co. LLC, 0.73% Due 10/3/2016 Societe Generale, 0.4% Due 7/1/2016 Societe Generale, 0.51% Due 8/4/2016 Total Repurchase Agreements - 1.3%

2,215 199 7,180 371 1,372 441 1,419 639 260 870 242 1,277 336 2,345 542

2,215 199 7,180 371 1,372 441 1,419 639 260 870 242 1,277 336 2,345 542 19,708

2,215 199 7,180 371 1,372 441 1,419 639 260 870 242 1,277 336 2,345 542 19,708

Time Deposits BNP Paribas, 0.28% Due 7/1/2016 Credit Agricole CIB, 0.31% Due 7/1/2016 HSBC Bank PLC, 0.35% Due 7/1/2016 Nordea Bank Finland PLC, 0.28% Due 7/1/2016 Svenska Handelsbanken AB, 0.3% Due 7/1/2016 Total Time Deposits - 0.4%

1,417 1,276 1,304 1,409 1,208

1,417 1,276 1,304 1,409 1,208 6,614

1,417 1,276 1,304 1,409 1,208 6,614

33,244

33,244

Total U.S. Corporate Bonds - 0.5% Money Market Mutual Fund Dreyfus Cash Management Institutional Fund - 4.2%

63,729,879

Investments made with Cash Collateral for Securities Loaned Money Market Mutual Funds Blackrock Cash Funds: Prime - Institutional Shares Federated Money Market Management - Institutional Shares Fidelity Institutional Money Market Prime Money Market Portfolio Invesco Government Liquidity Funds Assets Portfolio Morgan Stanley Institutional Liquidity Funds Government Portfolio Morgan Stanley Institutional Liquidity Funds Prime Portfolio Total Money Market Mutual Funds - 0.5%

Total Investments made with Cash Collateral for Securities Loaned - 2.2% Total Investments - 101.7%

$

1,301,674

(a) As of June 30, 2016, the general partner of ABR Chesapeake Investors V-b, L.P., had not called any commitments from limited partners. The negative cost and fair value reflects rebated management fees that the IMB paid in July 2016. (b) As of June 30, 2016, the general partner of Rubenstein Properties Fund III, L.P., had not called any commitments from limited partners. The negative fair value reflects the IMB's share of fees and expenses.

See accompanying notes to financial statements.

West Virginia Investment Management Board M-9

$

1,541,401

Real Estate Pool Statement of Operations Year Ended June 30, 2016 (Amounts in thousands)

Investment income Interest Income distributions from real estate limited partnerships and funds Dividends, net of foreign withholding taxes ($54) Fund closing interest Net securities lending income

$

Total investment income

457 49,938 6,768 1,184 49 58,396

Expenses Investment advisor fees Trustee fees Custodian bank fees Management fees Fiduciary bond fees Professional service fees Management fees - external Fund closing costs

(1,128) (4) (79) (382) (2) (540) (3,625) (86) Total expenses

(5,846)

Investment income, net

52,550

Realized and unrealized gain (loss) from investments and foreign currency Net realized gain (loss) from: Investments Foreign currency transactions

34,651 (1,533) 33,118

Net change in unrealized appreciation (depreciation) on: Investments Translation of assets and liabilities in foreign currencies

59,483 2,196 61,679

Net gain from investments and foreign currency Net increase in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board M-10

94,797 $

147,347

Real Estate Pool Statement of Changes in Net Assets Year Ended June 30, 2016 (Amounts in thousands, except unit data)

Operations Investment income, net Net realized gain from investments and foreign currency transactions Net change in unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies

$

52,550 33,118 61,679

Net increase in net assets from operations

147,347

Unit transactions Proceeds from sale of units Amount paid for repurchase of units

86,733 (208,681) Net decrease in net assets from unit transactions

(121,948)

Increase in net assets

25,399

Net assets, beginning of year

1,489,547

Net assets, end of year

$

1,514,946

Unit data Units sold Units repurchased

6,426,992 (15,758,646) Net decrease in units

See accompanying notes to financial statements.

West Virginia Investment Management Board M-11

(9,331,654)

Real Estate Pool Statement of Cash Flows Year Ended June 30, 2016 (Amounts in thousands)

Cash flows from operating activities Net increase in net assets from operations

$

Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: Contributions to real estate limited partnerships and funds Purchase of investments Distributions from real estate limited partnerships and funds Proceeds from disposition of investments Purchases and sales of short-term investment securities, net Net disbursement from foreign currency contracts Increase in receivable for investments sold Decrease in reclaimable foreign taxes withheld Decrease in interest receivable Increase in income distributions from real estate limited partnerships and funds Increase in dividends receivable Increase in securities lending income receivable Increase in accrued expenses Increase in payable for investments purchased Net amortization Net realized gain from investments Net realized loss from foreign currency transactions Net change in unrealized appreciation (depreciation) on investments Net change in unrealized appreciation (depreciation) on the translation of investments in foreign currencies

147,347

(217,205) (111,620) 152,673 276,562 (26,146) (20) (620) 6 496 (5,524) (85) (5) 356 247 287 (34,651) 1,533 (59,483) (2,200)

Net cash provided by operating activities

121,948

Cash flows from financing activities Proceeds from units sold Amount paid for repurchase of units

86,733 (208,681) Net cash used in financing activities

(121,948)

Net change in cash

-

Cash Beginning balance Ending balance

$

See accompanying notes to financial statements.

West Virginia Investment Management Board M-12

-

Real Estate Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The accompanying financial statements reflect only the investments and investment related operations of the IMB’s Real Estate Pool (Pool). They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP Not required Required Required Not required Required

State and Local GAAP Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. The Pool holds the IMB’s investments in real estate investment trusts (REITs) and real estate limited partnerships and funds. Courtland Partners, Ltd. has been retained by the IMB to provide consulting services for the real estate limited partnerships and funds. The REITs are managed by CBRE Clarion Securities, LLC (CBRE) and Security Capital Research & Management Inc. (SCRM). NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The IMB reports its investments at fair value in accordance with the FASB’s ASC Topic 820 (ASC 820). Refer to Note 4 for further discussion and presentation of the reporting requirements under ASC 820.

West Virginia Investment Management Board M-13

Real Estate Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Fair value of the Pool’s portfolio securities is determined as follows: •

• • •

• •

Investments in real estate limited partnerships and funds are not securities for which market quotations are readily available. The IMB has concluded that the net asset value reported by the general partners or fund administrators approximates the fair value of these investments and consequently these investments are carried at net asset value as a practical expedient for fair market value. Due to the nature of the investments held by the funds, changes in market conditions and the economic environment may significantly impact the net asset value of the funds and, consequently, the fair value of the IMB’s interests in the funds. Although a secondary market exists for these investments, it is not active and individual transactions are typically not observable. When transactions do occur in this limited secondary market, they may occur at discounts to the reported net asset value. It is therefore reasonably possible that if the IMB were to sell these investments in the secondary market a buyer may require a discount to the reported net asset value, and the discount could be significant. The IMB believes that the net asset value of such investments is a reasonable estimate of fair value as of June 30, 2016. Equity securities are valued at the last sale price or official closing price reported in the market in which they are primarily traded. Equity securities that trade in non-U.S. markets are valued in U.S. Dollars using period end spot market exchange rates as supplied by the Pool’s custodian. Fixed income securities are valued according to prices furnished by independent pricing services to the Pool’s custodian. These services determine the security prices by a number of methods including, but not limited to, dealer quotes, live market trading levels when available, live feeds of trade execution data, spreads over U.S. Treasury securities, and other models and formulae appropriate to the specific security type. Open-end regulated investment companies or other commingled investment funds are valued at the net asset value of the fund as reported by the fund’s administrator. Repurchase agreements and time deposits are valued at amortized cost, provided such amount approximates fair value.

Investments for which the fair value cannot be determined by one of the above listed processes are valued at fair value as determined in accordance with the IMB’s established procedures. Repurchase Agreements - In connection with transactions in repurchase agreements, it is the IMB's policy that its designated custodian or mutual third party take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the IMB may be delayed or limited. Security Loans - The IMB, through its lending agent, the Bank of New York Mellon, loans securities to various brokers on a temporary basis. Each transaction for international and domestic securities is secured by collateral based on the market value of the securities loaned. The required collateral percentage varies based on the type of collateral received and the type of security loaned. For U.S. securities, the required percentage of cash collateral and non-cash collateral consisting of debt obligations and securities issued by the United States Government or its agencies or instrumentalities is at least 102 percent of the market value of the securities loaned plus accrued income, if applicable. For international securities, the required percentage is 105 percent unless the foreign securities loaned are denominated and payable in U.S. Dollars, then the collateral shall be at least 102 percent of the market value of the securities loaned. Loans of equity securities may also be collateralized by equity securities and the required percentage of non-cash collateral consisting of equity securities is at least 107 percent of the market value of the securities loaned. Cash collateral received is invested in repurchase agreements, money market mutual funds, and time deposits. Such investments, except for repurchase transactions, are made at the risk of the Pool and, as such, the Pool is liable for investment losses. The lending agent contractually indemnifies the IMB for any repurchase agreement investment losses. Investments made with cash are reported at fair value on the Statement of Assets and Liabilities. Securities loaned remain on the Statement of Assets and Liabilities and Schedule of Investments. The IMB receives compensation in the form of loan premium fees and income from the investment of the cash collateral. Expenses related to the lending of securities are rebates paid by the lending agent to brokers and the lending agent’s fees for its

West Virginia Investment Management Board M-14

Real Estate Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) services. The income earned by the IMB is reported in the Statement of Operations as net securities lending income. The IMB also continues to receive interest or dividends on the securities loaned. Gains or losses in the fair value of the securities loaned that may occur during the term of the loans are reflected in the Statement of Operations as a change in unrealized appreciation or depreciation on investments. Foreign Currency - Amounts denominated in or expected to settle in foreign currencies are translated into U.S. dollars at exchange rates reported by the Bank of New York Mellon on the following basis: • •

Market value of investment securities, other assets and liabilities - at the closing rate of exchange at the valuation date. Purchases and sales of investment securities, income and expenses - at the rate of exchange prevailing on the respective dates of such transactions.

The IMB isolates that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from market prices of securities held. Reported net realized foreign exchange gains and losses arise from sales of portfolio securities, sales and maturities of shortterm securities, sales of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities including investments in securities at month end, resulting from changes in the exchange rate. Foreign Currency Contracts - A foreign currency contract is an agreement between two parties to exchange different currencies at a specified exchange rate at an agreed upon future date. The managers, as listed in Note 1, enter into such contracts to correspond to investment transactions trading in foreign currencies. Risks associated with such contracts include movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. These contracts have relatively short durations and are valued at the prevailing market exchange rates at month end. An unrealized gain or loss is recorded as the difference between the amount valued at month end and the amount to be received or paid at the settlement date. The unrealized gain or loss is reclassified to realized gain or loss when the contract settles. Investment Transactions - Investment transactions are accounted for on a trade date basis. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. Investment Gains and Losses - Gains and losses on investments in real estate funds are recognized when the real estate fund has realized its interest in a portfolio holding and we have sufficient information as to the amount and date of the distribution. Gains and losses on the sale of other investments are recognized at the time of sale by the average cost method. Interest Income - Interest income is recognized as earned on the accrual method. 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. Dividend Income - Dividend income is recognized on the ex-dividend date. Income from Partnerships - Income from real estate partnerships is recognized when distributed to the partners. Distributions to Participants - The Pool does not routinely distribute dividends of net investment income or net realized gains.

West Virginia Investment Management Board M-15

Real Estate Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Expenses - The IMB's Trustees adopt an annual budget and fee schedule for services to be provided to all of the investment pools under its management. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. Direct investment-related costs include fees charged by external managers that are outside of their respective real estate partnership, the custodian bank, legal counsel, and the consultant. Other expenses are allocated to the individual pools based on asset size. The IMB pays all expenses on behalf of the Pool. In addition to these direct and allocated expenses, the Pool bears certain expenses indirectly, such as fees of other investment funds in which the Pool invests that are reflected in the reported net asset value of such funds. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for income taxes is required as of June 30, 2016. In certain foreign countries the Pool’s dividend income and capital gains may be taxable. Such taxes are generally withheld from the payments of these types of income and as a result there is no provision recorded for these taxes. In certain cases there may be a full or partial reclaim available for the withheld taxes. The outstanding reclaims are reported on the Statement of Assets and Liabilities. Dividend income is reported net of withheld taxes on the Statement of Operations. Indemnifications - In the normal course of business, the IMB has entered into contracts that provide a variety of indemnifications. Any exposure to the Pool under these arrangements would involve future claims that may be made against the IMB. The Pool’s maximum exposure under these arrangements is unknown. No such claims have occurred, nor are they expected to occur therefore the IMB expects the risk of loss to be remote. NOTE 3. INVESTMENT RISK DISCLOSURES Credit Risk The IMB limits the exposure to credit risk in the Pool by maintaining at least an average rating of investment grade as defined by the Nationally Recognized Statistical Rating Organizations. The following table provides the weighted average credit ratings of the rated assets in the Pool as of June 30, 2016.

Investment Type Foreign corporate bonds Foreign government bonds Money market mutual funds Time deposits U.S. corporate bonds U.S. Government agency bonds U.S. Government agency MBS U.S. preferred stock U.S. Treasury bonds Total rated investments Common stock Real estate limited partnerships and funds Total investments

Moody’s A Aa Aaa P-1 Baa Aaa Aaa Baa Aaa

S&P A A AAA A-1 BBB AA AA BB AA

Fair Value $

$

198 1 70,652 6,614 8,850 209 6,878 12,767 2,013 108,182 119,757 1,314,563 1,542,502

Percent of Total Investments 0.0% 0.0 4.6 0.4 0.6 0.0 0.4 0.8 0.1 6.9 7.8 85.3 100.0%

This table includes investments received as collateral for repurchase agreements with a fair value of $20,809 as compared to the amortized cost of the repurchase agreements of $19,708.

West Virginia Investment Management Board M-16

Real Estate Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 3. INVESTMENT RISK DISCLOSURES (continued) Concentration of Credit Risk The Pool’s investments in real estate limited partnerships and funds might be indirectly exposed to concentration of credit risk. Custodial Credit Risk At June 30, 2016, the Pool held no securities that were directly subject to custodial credit risk. Repurchase agreements, when held, are collateralized to a minimum of 102 percent and the collateral is held in the name of the IMB. All remaining securities, except for the investments in real estate limited partnerships and funds, are held by the IMB’s custodian in the name of the IMB. The investments in real estate limited partnerships and funds might be indirectly exposed to custodial credit risk. Interest Rate Risk The IMB monitors interest rate risk of the Pool by evaluating the effective duration of the investments in the Pool. The following table provides the weighted average effective duration for the various asset types in the Pool as of June 30, 2016.

Investment Type Common stock Money market mutual funds Real estate limited partnerships and funds Repurchase agreements Time deposits U.S. corporate bonds U.S. preferred stock Total

$

$

Fair Value 109,014 70,652 1,314,563 19,708 6,614 8,083 12,767 1,541,401

Effective Duration (years) N/A N/A N/A 0.0 0.0 2.5 2.2 1.0

Investments in real estate limited partnerships and funds and common stocks do not have an effective duration. Foreign Currency Risk The Pool has real estate investment trusts and real estate limited partnerships and funds that are denominated in foreign currencies and are exposed to foreign currency risks. The amounts at fair value (in U.S. dollars) of investments denominated in foreign currencies as of June 30, 2016, are as follows:

Currency Australian Dollar British Pound Canadian Dollar Euro Currency Unit Hong Kong Dollar Japanese Yen Swedish Krona

$

Total

$

Investments 4,949 3,641 2,288 60,042 4,331 9,529 381 85,161

Percent of Total Investments 0.3% 0.2 0.1 3.9 0.3 0.6 0.0 5.4%

This table excludes investments held by the Pool that are denominated in U.S. dollars. The market value of the U.S. dollar denominated investments is $1,456,240. This represents approximately 95 percent of the value of the Pool’s investments.

West Virginia Investment Management Board M-17

Real Estate Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 4. FAIR VALUE MEASUREMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Fair value of an investment is the amount 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 (i.e., the exit price). ASC 820 established a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical financial instruments (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are: Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 2 Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not considered active; observable inputs other than observable quoted prices for the asset or liability; or inputs derived principally from or corroborated by observable market data. Level 3 Unobservable pricing inputs for assets and liabilities with redemption terms that are not short term. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. U.S. GAAP does not require the Pool to categorize within the fair value hierarchy table investments for which fair value is measured using the net asset value per share practical expedient. The table that follows sets forth information about the level within the fair value hierarchy at which the Pool’s assets and liabilities are measured at June 30, 2016. All of the Pool’s investments in real estate limited partnerships and funds were valued using the net asset value per share practical expedient, as such they have not been categorized in the fair value hierarchy table. Assets Common stock Investments made with cash collateral for securities loaned Money market mutual fund U.S. corporate bonds U.S. preferred stock Total Real estate limited partnerships and funds Total

$

Level 1 109,014

$

6,922 63,730 12,767 192,433

Level 2

Level 3

$

-

$

26,322 8,083 34,405

-

$

$

-

33,244 63,730 8,083 12,767 $ 226,838 1,314,563 $ 1,541,401

There were no transfers in or out of Levels 1, 2, and 3 during the year ended June 30, 2016.

West Virginia Investment Management Board M-18

Total 109,014

$

Real Estate Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 5. SECURITIES LENDING The following table presents the amounts of various accounts related to securities lending at June 30, 2016.

Securities on loan

$

Collateral received: Cash Non-cash Total collateral received

Fair Value 38,762

$

33,244 7,145 40,389

$

The Bank of New York Mellon (BNYM), as agent for the IMB, loans the IMB’s securities to various counterparties. These transactions are executed under Master Securities Lending Agreements (MSLA) which permit BNYM under certain circumstances, such as defaults, to offset amounts payable to the same counterparty against amounts to be received and thus create one single net payment due to or from the counterparty. The amounts listed in the above table represent all securities loaned which are subject to a MSLA on a net payment basis. The IMB has elected not to offset the fair value of the securities on loan against the liability for the return of the collateral on the Statement of Assets and Liabilities. NOTE 6. COMMITMENTS As of June 30, 2016, the IMB has made commitments to forty-three real estate limited partnerships and funds. Total Commitment $ 605,000 542,409 689,000 $ 1,836,409

Partnership Classification Core funds Opportunistic funds Value funds Total

Funded Commitment $ 550,206 254,448 368,521 $ 1,173,175

Unfunded Commitment $ 54,794 287,961 320,479 $ 663,234

NOTE 7. FOREIGN CURRENCY CONTRACTS At June 30, 2016, open foreign currency contracts are as follows:

Position Long Short Short

Foreign Currency Australian Dollar British Pound British Pound

T rade Date 6/30/2016 6/29/2016 6/30/2016

Settlement Date 7/1/2016 7/1/2016 7/5/2016

Receivable (in foreign (in U. S. currency) dollars) 242

$

$

Payable (in foreign (in U. S. currency) dollars)

180 221 133 534

$ 165 100 $

180 221 133 534

Unrealized Appreciation (Depreciation) $

$

-

NOTE 8. INVESTMENT ADVISORY FEES The IMB has approved investment advisory agreements with CBRE and SCRM to manage the publicly traded real estate investment trusts of the Pool. These agreements provide for quarterly payments, based on average end of month assets under management, to the investment advisors. The IMB makes these payments and the Pool transfers funds to the IMB to facilitate the payments. The fees paid to CBRE are based on a descending scale of fee rates ranging from 0.65 percent annually on the first $50 million of assets under management to 0.55 percent annually on assets between $50 million and $100 million. For assets greater than $100 million, the fee rate is 0.45 percent annually. The effective fee rate earned by CBRE for the year ended June 30, 2016, was 0.62 percent.

West Virginia Investment Management Board M-19

Real Estate Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 8. INVESTMENT ADVISORY FEES (continued) From July 1, 2015, to February 29, 2016, the fees paid to SCRM were based on a descending scale of fee rates ranging from 0.75 percent annually on the first $50 million of assets under management to 0.65 percent annually on assets between $50 million and $100 million. For assets greater than $100 million the fee rate was 0.60 percent annually. Effective March 1, 2016, the fees paid to SCRM are based on a descending scale of fee rates ranging from 1.00 percent annually on the first $10 million of assets under management to 0.55 percent annually on assets between $100 million and $125 million. For assets greater than $125 million the fee rate is 0.50 percent annually. The effective fee rate earned by SCRM for the year ended June 30, 2016, was 0.70 percent. NOTE 9. FINANCIAL HIGHLIGHTS Per Unit Operating Performance (a): Net asset value at June 30, 2015 Income from investment operations: Net investment income Net realized and unrealized gain on investment and foreign currency transactions Total from investment operations Net asset value at June 30, 2016

$

13.00

$

0.49 0.90 1.39 14.39 10.8%

Total Return (b) Supplemental Data: Ratio to average net assets (c): Expenses Net investment income Portfolio turnover rate

0.40% 3.62% 23.57%

(a) Calculation based on the average shares outstanding (b) Return data is net of fees for the full fiscal year (c) All ratios are for the fiscal year and do not reflect the Pool’s proportionate share of income and expenses of the underlying investee funds. NOTE 10. SCHEDULE OF PARTICIPATION The following schedule provides the value of participants’ accounts in the Pool at June 30, 2016. Participant Teachers' Retirement System Public Employees' Retirement System West Virginia Retiree Health Benefit Trust Fund State Police Death, Disability and Retirement Fund Deputy Sheriff's Retirement System Judges' Retirement System State Police Retirement System Emergency Medical Services Retirement System Wildlife Endowment Fund Berkeley County Development Authority Municipal Police Officers' and Firefighters' Retirement System Municipal Policemen’s or Firemen’s Pension and Relief Funds

Account Value 713,179 610,902 64,582 63,514 18,288 17,323 14,145 6,096 5,819 656 305 137 $ 1,514,946 $

Total

West Virginia Investment Management Board M-20

Real Estate Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 11. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through October 5, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board M-21

June 30, 2016

N

HEDGE FUND POOL

AUDITED FINANCIAL STATEMENTS

Hedge Fund Pool Audited Financial Statements June 30, 2016 Table of Contents

Independent Auditors’ Report

Statement of Assets and Liabilities

N-1

Schedule of Investments

N-2

Statement of Operations

N-7

Statement of Changes in Net Assets

N-8

Statement of Cash Flows

N-9

Notes to Financial Statements

N-10

West Virginia Investment Management Board

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

Report of Independent Auditors To the Board of Trustees The West Virginia Investment Management Board We have audited the accompanying financial statements of The West Virginia Investment Management Board Hedge Fund Pool, which comprise the statement of assets and liabilities, including the schedule of investments, as of June 30, 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The West Virginia Investment Management Board Hedge Fund Pool at June 30, 2016, and the results of its operations and changes in its net assets for the year then ended, in conformity with U.S. generally accepted accounting principles, as described in Note 1. Basis of Accounting As more fully described in Note 1, these financial statements were prepared in conformity with U.S. generally accepted accounting principles established by the Financial Accounting Standards Board, which is a basis of accounting other than generally accepted accounting principles for state and local governments established by the Government Accounting Standards Board. Our opinion is not modified with respect to this matter.

September 9, 2016

A member firm of Ernst & Young Global Limited

Hedge Fund Pool Statement of Assets and Liabilities June 30, 2016 (Amounts in thousands, except unit data)

Assets Investments at fair value (cost $1,253,615) Advance on investment in other fund (Note 5) Receivables: Investment funds redeemed Accrued interest Dividends

$

1,508,463 75,000 14,866 63 16

Total assets

1,598,408

Liabilities Accrued expenses

131 Net assets

$

1,598,277

$

120,354,355 13.28

Unit data Units outstanding Net asset value, unit price

See accompanying notes to financial statements.

West Virginia Investment Management Board N-1

Hedge Fund Pool Schedule of Investments June 30, 2016 (Amounts in thousands, except share data)

Description

Shares

Hedge Funds Directional Funds Brevan Howard Fund Limited Investment Objective - To generate consistent long-term appreciation through active leveraged trading and investment on a global basis.

Cost

$

38,256

Fair Value

$

53,464

Redemption Provisions - Monthly with 90 days prior written notice subject to provisions on maximum withdrawals. A detail of the underlying investments is not available. Bridgewater Pure Alpha Ltd. Investment Objective - To achieve substantial capital appreciation in a wide range of asset classes using proprietary investment systems.

38,624

56,700

13,900

16,779

35,000

41,855

125,780

168,798

46,001

77,252

55,000

71,614

Redemption Provisions - Monthly with 5 days prior written notice. A detail of the underlying investments is not available. Bridgewater Pure Alpha Major Markets, Ltd. Investment Objective - To achieve substantial capital appreciation in a wide range of asset classes using proprietary investment systems. Redemption Provisions - Monthly with 5 days prior written notice. A detail of the underlying investments is not available. Graham Global Investment Fund II, Ltd. Investment Objective - To achieve long-term capital appreciation through professionally managed trading in derivative instruments of global fixed income, foreign exchange, commodities, and other stock indices. Redemption Provisions - Monthly with 3 days prior written notice. A detail of the underlying investments is not available. Total Directional Funds Equity Long/Short Funds MW Eureka Fund Investment Objective - To provide investors with above average absolute returns primarily through investing and trading in equities and equity related instruments. Redemption Provisions - Monthly with 30 days prior written notice. A detail of the underlying investments is not available. PFM Diversified Offshore Fund Investment Objective - To generate attractive risk-adjusted capital appreciation by employing a variety of strategies primarily focused in liquid equity markets. Redemption Provisions - Every three years with 45 days prior written notice and subject to maximum withdrawal restrictions. A detail of the underlying investments is not available.

See accompanying notes to financial statements.

West Virginia Investment Management Board N-2

Hedge Fund Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Scopia PX International, Ltd. Investment Objective - To identify investment opportunities that will yield attractive rates of return, regardless of market direction.

Cost

Fair Value

50,000

56,229

151,001

205,095

22,500

28,052

40,000

47,287

40,000

57,035

96,842

102,007

57,918

91,420

Redemption Provisions - Quarterly with 60 days prior written notice, subject to provisions on maximum withdrawals. A detail of the underlying investments is not available. Total Equity Long/Short Funds Event Driven Fund Pershing Square International, Ltd. Investment Objective - To invest in long and short investment opportunities that exhibit significant valuation discrepancies between current trading prices and intrinsic business value. Redemption Provisions - Quarterly with 65 days prior written notice subject to maximum withdrawal restrictions. A detail of the underlying investments is not available. Long Biased Fund Elementum NatCat Offshore Fund Ltd. Investment Objective - To achieve long-term capital appreciation through investment in a portfolio of natural catastrophe-linked securities, derivatives, and other instruments. Redemption Provisions - Monthly with 90 days prior written notice. A detail of the underlying investments is not available. Multiple Strategy Funds Anchorage Capital Partners Offshore, Ltd. Investment Objective - To earn superior risk-adjusted returns while emphasizing preservation of capital. Redemption Provisions - Annually with 90 days prior written notice subject to provisions on maximum withdrawals. A detail of the underlying investments is not available. CQS Diversified Fund (SPC) Ltd. SPA II Investment Objective - To target an absolute return of 10-15% with limited volatility through investments in several hedge fund strategies within the CQS group. Redemption Provisions - Monthly with 95 days prior written notice subject to provisions on maximum withdrawals. A detail of the underlying investments is not available. Davidson Kempner International, Ltd. Investment Objective - To achieve capital appreciation. Redemption Provisions - Quarterly with 60 days prior written notice subject to provisions on maximum withdrawals. A detail of the underlying investments is not available.

See accompanying notes to financial statements.

West Virginia Investment Management Board N-3

Hedge Fund Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Double Black Diamond, Ltd. Investment Objective - To produce returns substantially in excess of those derived from risk-free investments without a substantial increase in overall risk.

Cost

Fair Value

90,000

105,170

25,414

45,905

100,000

100,278

80,000

76,847

59,246

69,301

30,268

44,629

33,842

41,165

Redemption Provisions - Quarterly with 60 days prior written notice subject to maximum withdrawal provisions. A detail of the underlying investments is not available. GoldenTree Offshore Fund, Ltd. Investment Objective - To achieve superior risk-adjusted total returns through investments in public and private non-investment grade and nonrated debt securities. Redemption Provisions - Quarterly with 90 days prior written notice subject to provisions on maximum withdrawals. A detail of the underlying investments is not available. HBK Multi-Strategy Offshore Fund, Ltd. Investment Objective - To deliver attractive absolute returns with relatively low volatility and low correlation to major market indicies. Redemption Provisions - Quarterly with 90 days prior written notice. A detail of the underlying investments is not available. Hudson Bay International Fund, Ltd. Investment Objective - To deliver an attractive rate of return by employing a variety of multiple absolute return strategies. Redemption Provisions - Quarterly with 65 days prior written notice. A detail of the underlying investments is not available. Magnetar Capital Fund II, Ltd. Investment Objective - To achieve superior risk-adjusted returns. Redemption Provisions - Quarterly with 90 days prior written notice subject to provisions on maximum withdrawals. A detail of the underlying investments is not available. OZ Asia Overseas Fund, Ltd. Investment Objective - To achieve consistent, absolute returns with low volatility primarily by seeking to exploit pricing inefficiencies in equity debt securities of Asian companies. Redemption Provisions - Annually with 45 days prior written notice. A detail of the underlying investments is not available. Perry Partners International, Inc. Investment Objective - To achieve positive annual returns accompanied by a low level of beta and volatility in correlation relative to equity markets. Redemption Provisions - Quarterly with 90 days prior written notice subject to provisions on maximum withdrawals. A detail of the underlying investments is not available.

See accompanying notes to financial statements.

West Virginia Investment Management Board N-4

Hedge Fund Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Pine River Fund, Ltd. Investment Objective - To generate superior risk-adjusted returns by investing and trading in global markets, primarily employing relative value strategies.

Cost

Fair Value

80,000

92,290

804

928

40,000

51,541

35,000

43,567

769,334

922,083

70,000

67,435

75,000

69,713

145,000

137,148

1,253,615

1,508,463

Redemption Provisions - Quarterly with 45 days prior written notice, subject to provisions on maximum withdrawals. A detail of the underlying investments is not available. Shepherd Investments International, Ltd. Investment Objective - To achieve an attractive rate of return, relative to the level of risk assumed. Redemption Provisions - Redemption has been requested and proceeds will be paid subject to provisions on maximum withdrawals and upon liquidation of investments. A detail of the underlying investments is not available. Tenor Opportunity Fund, Ltd. Investment Objective - To generate attractive risk-adjusted returns by employing a variety of strategies primarily focused on convertible arbitrage. Redemption Provisions - Quarterly with 60 days prior written notice subject to to maximum withdrawal provisions. A detail of the underlying investments is not available. Winton Futures Fund, Ltd. Investment Objective - To deliver long-term capital appreciation through compound growth. Redemption Provisions - Monthly with 3 days prior written notice. A detail of the underlying investments is not available. Total Multiple Strategy Funds Relative Value Funds KLS Diversified Fund Ltd. Investment Objective - To deliver high risk-adjusted absolute returns with low volatility and low correlation to equity and bond markets. Redemption Provisions - Monthly with 60 days prior written notice. A detail of the underlying investments is not available. Menta Global Offshore Ltd. Investment Objective - To deliver consistent superior performance with controlled risk and low correlation to broad market indices through a disciplined, research-driven investment approach. Redemption Provisions - Monthly with 45 days prior written notice. A detail of the underlying investments is not available. Total Relative Value Funds Total Hedge Funds - 94.4%

See accompanying notes to financial statements.

West Virginia Investment Management Board N-5

Hedge Fund Pool Schedule of Investments (continued) June 30, 2016 (Amounts in thousands, except share data) Description

Shares

Money Market Mutual Fund Dreyfus Cash Management Institutional Fund - 0.0% Total Investments - 94.4%

Cost 20

Fair Value -

$

* - Value is less than $1,000

See accompanying notes to financial statements.

West Virginia Investment Management Board N-6

1,253,615

- * $

1,508,463

Hedge Fund Pool Statement of Operations Year Ended June 30, 2016 (Amounts in thousands)

Investment income Interest Dividends

$

Total investment income

7 20 27

Expenses Trustee fees Custodian bank fees Management fees Fiduciary bond fees Professional service fees

(5) (1) (419) (2) (497) Total expenses

(924)

Investment loss, net

(897)

Realized and unrealized gain (loss) from investments Net realized gain from investments Net change in unrealized appreciation (depreciation) on investments

9,417 (85,479)

Net loss from investments Net decrease in net assets from operations

See accompanying notes to financial statements.

West Virginia Investment Management Board N-7

(76,062) $

(76,959)

Hedge Fund Pool Statement of Changes in Net Assets Year Ended June 30, 2016 (Amounts in thousands, except unit data)

Operations Investment loss, net Net realized gain from investments Net change in unrealized appreciation (depreciation) on investments

$

Net decrease in net assets from operations

(897) 9,417 (85,479) (76,959)

Unit transactions Proceeds from sale of units Amount paid for repurchase of units

103,349 (90,846) Net increase in net assets from unit transactions

12,503

Decrease in net assets

(64,456)

Net assets, beginning of year Net assets, end of year

1,662,733 $

1,598,277

Unit data Units sold Units repurchased

7,701,429 (6,668,415) Net increase in units

See accompanying notes to financial statements.

West Virginia Investment Management Board N-8

1,033,014

Hedge Fund Pool Statement of Cash Flows Year Ended June 30, 2016 (Amounts in thousands)

Cash flows from operating activities Net decrease in net assets from operations

$

Adjustments to reconcile net decrease in net assets from operations to net cash used in operating activities: Purchase of investment funds Proceeds from redemption of investment funds Purchases and sales of short-term investment securities, net Increase in accrued interest Increase in dividends receivable Increase in receivable for investment funds redeemed Decrease in advance on investments in other funds Decrease in accrued expenses Net realized gain from investments Net change in unrealized appreciation (depreciation) on investments

(76,959)

(90,000) 53,582 15,035 (7) (13) (5,198) 15,000 (5) (9,417) 85,479

Net cash used in operating activities

(12,503)

Cash flows from financing activities Proceeds from units sold Amount paid for repurchase of units

103,349 (90,846) Net cash provided by financing activities

12,503

Net change in cash

-

Cash Beginning balance Ending balance

$

See accompanying notes to financial statements.

West Virginia Investment Management Board N-9

-

Hedge Fund Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 1. DESCRIPTION OF THE ENTITY The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public body corporate created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Coal Workers’ Pneumoconiosis funds, and certain other state government funds. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other Trustees for a term of six years. The IMB operates on a fiscal year beginning July 1 and ending June 30. The accompanying financial statements reflect only the investments and investment related operations of the IMB’s Hedge Fund Pool (Pool). They do not reflect activity of the other investment pools under the control of the IMB or the Administrative Fund of the IMB, or any other assets or liabilities, or restrictions thereon, or the various investment pool participants. Accordingly, these financial statements are not intended to and do not present the comprehensive financial position and operations of the IMB or any of the investment pool participants. The Pool is considered an investment company under U.S. Generally Accepted Accounting Principles (GAAP) and follows the accounting and reporting guidance applicable to investment companies as defined by the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946 – Financial Services – Investment Companies, which is a comprehensive basis of accounting other than GAAP for state and local governments established by the Government Accounting Standards Board. The IMB has selected this basis of accounting because it believes that the disclosures required for investment companies better reflect the purpose and operations of the Pool. A summary of the differences between financial statements prepared in accordance with GAAP for investment companies and GAAP for state and local governments are as follows:

Management Discussion and Analysis Schedule of Investments Statement of Operations Investment Risk Disclosures Financial Highlights

Investment Company GAAP Not required Required Required Not required Required

State and Local GAAP Required Not required Not required Required Not required

There are no differences in the reported amounts of assets, liabilities, net assets, investment operations, distributions, or unit transactions between GAAP for investment companies and GAAP for state and local governments. The Pool was established to hold the IMB’s investments in hedge funds. Albourne America, LLC has been retained by the IMB to provide consulting services for this investment strategy. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES Investment Valuation - The IMB reports its investments at fair value in accordance with the FASB’s ASC Topic 820 (ASC 820). Refer to Note 4 for further discussion and presentation of the reporting requirements under ASC 820.

West Virginia Investment Management Board N-10

Hedge Fund Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES (continued) Fair value of the Pool’s portfolio securities is determined as follows: •

•

Investments in hedge funds are not securities for which market quotations are readily available. The IMB has concluded that the net asset value reported by the underlying funds approximates the fair value of these investments and consequently these investments are carried at net asset value as a practical expedient for fair market value. These investments are redeemable with the fund at net asset value under the original terms of the agreements and operations of the underlying fund. However, it is possible that these redemption rights may be restricted or eliminated by the funds in the future in accordance with the underlying fund agreements. Due to the nature of the investments held by the funds, changes in market conditions and the economic environment may significantly impact the net asset value of the funds and, consequently, the fair value of the IMB’s interests in the funds. Although a secondary market exists for these investments, it is not active and individual transactions are typically not observable. When transactions do occur in this limited secondary market, they may occur at discounts to the reported net asset value. It is therefore reasonably possible that if the IMB were to sell these investments in the secondary market a buyer may require a discount to the reported net asset value, and the discount could be significant. The IMB believes that the net asset value of such investments is a reasonable estimate of fair value as of June 30, 2016. Open-end regulated investment companies or other commingled investment funds are valued at the net asset value of the fund as reported by the fund’s administrator.

Investments for which the fair value cannot be determined by one of the above listed processes are valued at fair value as determined in accordance with the IMB’s established procedures. Investment Transactions - Investment transactions are accounted for on a trade date basis. Use of Estimates - The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. Investment Gains and Losses - Gains and losses on the sale of investments in other funds are recognized at the time of sale by the average cost method. Dividend Income - Dividend income is recognized on the ex-dividend date. Distributions to Participants - The Pool does not routinely distribute dividends of net investment income or net realized gains. Expenses - The IMB's Trustees adopt an annual budget and fee schedule for services to be provided to all of the investment pools under its management. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. These other expenses are allocated to the individual pools based on asset size. The IMB pays all expenses on behalf of the Pool. In addition to these direct and allocated expenses, the Pool bears certain expenses indirectly, such as fees of other investment funds in which the Pool invests that are reflected in the reported net asset value of such funds. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and exempt from U.S. federal and state taxation. In accordance with FASB ASC 740 Income Taxes, the IMB has considered and assessed the impact of uncertain tax positions and determined that it has no such positions and therefore there is no impact on the Pool’s financial statements. Accordingly, no provision for income taxes is required as of June 30, 2016. Indemnifications - In the normal course of business, the IMB has entered into contracts that provide a variety of indemnifications. Any exposure to the Pool under these arrangements would involve future claims that may be made against the IMB. The Pool’s maximum exposure under these arrangements is unknown. No such claims have occurred, nor are they expected to occur therefore the IMB expects the risk of loss to be remote.

West Virginia Investment Management Board N-11

Hedge Fund Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 3. INVESTMENT RISK DISCLOSURES The Pool holds shares in hedge funds and shares of a money market fund with the highest credit rating. The investments in hedge funds might be indirectly exposed to foreign currency risk, credit risk, interest rate risk, and/or custodial credit risk. The Pool is restricted from investing more than 10 percent of the value of the Pool with any single manager. At June 30, 2016, the Pool was in compliance with this restriction and is not exposed to concentration of credit risk. NOTE 4. FAIR VALUE MEASUREMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Fair value of an investment is the amount 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 (i.e., the exit price). ASC 820 established a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical financial instruments (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are: Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 2 Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not considered active; observable inputs other than observable quoted prices for the asset or liability; or inputs derived principally from or corroborated by observable market data. Level 3 Unobservable pricing inputs for assets and liabilities with redemption terms that are not short term. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. U.S. GAAP does not require the Pool to categorize within the fair value hierarchy table investments for which fair value is measured using the net asset value per share practical expedient. All of the Pool’s investments in hedge funds were valued using the net asset value per share practical expedient. As these are the only investments in the Pool, a fair value hierarchy table is not presented. There were no transfers in or out of Levels 1 and 2 during the year ended June 30, 2016. NOTE 5. ADVANCE ON INVESTMENT IN OTHER FUND On June 27, 2016, the IMB funded $75 million to FCOI II Holdings L.P. As of June 30, 2016, this amount has been recorded as an advance on investment in other fund. The subscription terms of the aforementioned fund requires contributions to be received in advance of the July 1, 2016 subscription day.

West Virginia Investment Management Board N-12

Hedge Fund Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 6. FINANCIAL HIGHLIGHTS Per Unit Operating Performance (a): Net asset value at June 30, 2015 Income from investment operations: Net investment loss Net realized and unrealized loss on investment transactions Total from investment operations Net asset value at June 30, 2016

$

13.93

$

(0.01) (0.64) (0.65) 13.28 -4.7%

Total Return (b) Supplemental Data: Ratio to average net assets (c): Expenses Net investment loss Portfolio turnover rate

0.06% -0.06% 3.45%

(a) Calculation based on the average shares outstanding (b) Return data is net of fees for the full fiscal year (c) All ratios are for the fiscal year and do not reflect the Pool’s proportionate share of income and expenses of the underlying investee funds. NOTE 7. SCHEDULE OF PARTICIPATION The following schedule provides the value of participants’ accounts in the Pool at June 30, 2016. Participant Teachers' Retirement System Public Employees' Retirement System West Virginia Retiree Health Benefit Trust Fund State Police Death, Disability and Retirement Fund Coal Workers' Pneumoconiosis Fund Public Employees Insurance Agency Board of Risk and Insurance Management West Virginia Department of Environmental Protection Agency Deputy Sheriff's Retirement System Judges' Retirement System State Police Retirement System Workers' Compensation Self-Insured Employer Security Risk Pool Workers' Compensation Self-Insured Employer Guaranty Risk Pool Emergency Medical Services Retirement System Wildlife Endowment Fund Workers' Compensation Uninsured Employers' Fund West Virginia Department of Environmental Protection Trust Berkeley County Development Authority Municipal Police Officers' and Firefighters' Retirement System Municipal Policemen’s or Firemen’s Pension and Relief Funds Total

West Virginia Investment Management Board N-13

Account Value 664,889 580,641 66,295 57,311 50,216 36,014 28,793 26,213 18,794 18,232 15,033 10,936 7,433 6,354 5,922 2,383 1,683 666 323 146 $ 1,598,277 $

Hedge Fund Pool Notes to Financial Statements (Amounts in thousands, except share data)

NOTE 8. SUBSEQUENT EVENTS The IMB has performed an evaluation of events subsequent to June 30, 2016, through September 9, 2016, the date the Pool’s financial statements were available for issuance. The IMB has determined that there were no significant subsequent events which have not been recognized in the Pool’s financial statements that require disclosure.

West Virginia Investment Management Board N-14

AUDITED FINANCIAL STATEMENTS

ADMINISTRATIVE FUND Year Ended June 30, 2016

AUDITED FINANCIAL STATEMENTS

ADMINISTRATIVE FUND

June 30, 2016

Administrative Fund Audited Financial Statements June 30, 2016 Table of Contents

Independent Auditors' Report

Management's Discussion and Analysis

i

Statement of Net Position

1

Statement of Revenues, Expenses, and Changes in Net Position

2

Statement of Cash Flows

3

Notes to Financial Statements

4

West Virginia Investment Management Board

Ernst & Young LLP 900 United Center 500 Virginia Street East Charleston, WV 25301

Tel: +1 304 343 8971 Fax: +1 304 357 5994 ey.com

Report of Independent Auditors The Board of Trustees The West Virginia Investment Management Board Report on the Financial Statements We have audited the accompanying financial statements of the West Virginia Investment Management Board Administrative Fund (the Fund), as of and for the year ended June 30, 2016, and the related notes to the financial statements, which collectively comprise the Fund’s basic financial statements as listed in the table of contents. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express opinions on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

1 A member firm of Ernst & Young Global Limited

Opinions In our opinion, the financial statements referred to above present fairly, in all material respects, the respective financial position of the West Virginia Investment Management Board Administrative Fund as of June 30, 2016, and the respective changes in financial position and cash flows thereof for the year then ended in conformity with U.S. generally accepted accounting principles. Basis of Presentation As described in Note 1, the financial statements present only the Fund of the West Virginia Investment Management Board and do not include the financial position and results of operations of the West Virginia Investment Management Board for any of their investment pools. These financial statements do not purport to, and do not, present fairly the financial position of the West Virginia Investment Management Board for any of their investment pools at June 30, 2016, and changes in its financial position, and, where applicable, cash flows thereof, for the year ended in conformity with U.S. generally accepted accounting principles. Our opinion is not modified with respect to this matter. Required Supplementary Information U.S. generally accepted accounting principles require that management’s discussion and analysis on pages i-iii be presented to supplement the basic financial statements. Such information, although not a part of the basic financial statements, is required by the Governmental Accounting Standards Board which considers it to be an essential part of financial reporting for placing the basic financial statements in an appropriate operational, economic or historical context. We have applied certain limited procedures to the required supplementary information in accordance with auditing standards generally accepted in the United States, which consisted of inquiries of management about the methods of preparing the information and comparing the information for consistency with management’s responses to our inquiries, the basic financial statements, and other knowledge we obtained during our audit of the basic financial statements. We do not express an opinion or provide any assurance on the information because the limited procedures do not provide us with sufficient evidence to express an opinion or provide any assurance.

EY September 9, 2016

2 A member firm of Ernst & Young Global Limited

Administrative Fund Management’s Discussion and Analysis This discussion and analysis of the West Virginia Investment Management Board’s (IMB) financial performance provides an overview of the IMB’s administrative financial activities for the fiscal year ended June 30, 2016. Please read it in conjunction with the IMB Administrative Fund basic financial statements, which follow this discussion. The IMB operates investment pools and issues separate audited financial statements on the investment pools. FINANCIAL HIGHLIGHTS •

The IMB is required by law to charge a fee sufficient to cover the cost of providing investment management services. Investment service fee revenues were $45.5 million, as compared to $46.4 million for the previous fiscal year. The change primarily results from a decrease in advisor fees attributed to lower assets under management. Average assets of the investment pools managed by the IMB decreased by $236 million from the previous year.

•

Fees paid to outside investment advisors decreased by $1.5 million over the previous year as a result of a decrease in assets under management. The average expense ratio for investment advisor fees across all pools was 21.6 basis points for the year, as compared to 22.2 basis points for the previous year.

•

Custodian bank fees increased by $43,000 from the previous year, largely as a result of an increase in the amount of international assets under custody and an increase in the number of transactions in foreign markets.

•

Fees for professional services increased by $549,000, primarily attributable to an increase in legal fees related to the ongoing litigation.

•

Administrative expenses increased by $9,000, or 0.2 percent, from the previous year. The expense ratio for administrative expenses was 2.6 basis points of average net assets, which is consistent with the prior year. Salaries increased by $30,000 from $2,402,000 to $2,432,000. In total, administrative expenses were $1.1 million lower than the expenses included in the fiscal year budget approved by the Board of Trustees.

•

Dividend income increased from the prior year.

THE FINANCIAL REPORTS This financial report consists of three financial statements: the Statement of Net Position; the Statement of Revenues, Expenses, and Changes in Net Position; and the Statement of Cash Flows. These statements include all assets and liabilities of the IMB Administrative Fund using the economic resources measurement focus and the accrual basis of accounting. The accrual basis of accounting takes into account all revenues and expenses regardless of when cash is received or paid. These statements give an overall perspective of the IMB Administrative Fund’s financial position and the changes in the financial position during the current fiscal year. The Statement of Net Position presents the IMB Administrative Fund’s assets and liabilities, with the difference between the two reported as net position. The Statement of Revenues, Expenses, and Changes in Net Position describes how the IMB Administrative Fund’s net position changed during the fiscal year. The Statement of Cash Flows identifies the sources of cash received by the IMB Administrative Fund and how that cash was used in the IMB Administrative Fund’s activities during the year. The ending cash presented in this statement is a significant portion of the IMB Administrative Fund’s assets as reported in the Statement of Net Position. This statement also contains a reconciliation of the operating loss as reported in the Statement of Revenues, Expenses, and Changes in Net Position to the cash provided by the IMB Administrative Fund’s operating activities during the year.

West Virginia Investment Management Board i

Administrative Fund Management’s Discussion and Analysis FINANCIAL ANALYSIS The IMB Administrative Fund’s total assets as of June 30, 2016, were $12.9 million, and were mostly comprised of cash and cash equivalents and receivables for investment service fees. This was $312,000 lower than the previous year. Total liabilities as of June 30, 2016, were $8.5 million, consisting of invoices payable and accrued liabilities for investment management and consulting fees, custodial fees, and administrative expenses. This was $321,000 lower than the previous year. These minor changes can be attributed to fluctuations in the timing of receipts and disbursements made in the normal course of business. Table 1 Net Position and Assets Under Management (In thousands) Cash and cash equivalents Receivables Other assets Total assets Total liabilities Net position Composition of net position: Net investment in capital assets Unrestricted

$

Assets under management at June 30 Table 2 Changes in Net Position (In thousands) Investment service fees Expenses Advisor fees Custodian fees Trustee fees Fiduciary bond expense Professional service fees Administrative expenses Operating (loss)/income Nonoperating revenues (Decrease)/increase in net position Net position – beginning of year Net position – end of year

2016

2015

$ 3,853 8,677 396 12,926 (8,498) $ 4,428

$ 3,880 8,931 427 13,238 (8,819) $ 4,419

328 4,100

$

$ 16,724,159

344 4,075

$ 17,143,319

2016

2015

Percentage Change

$ 45,542

$ 46,392

-1.8%

(35,842) (1,867) (50) (26) (3,357) (4,393) 7 2 9 4,419 $ 4,428

(37,297) (1,824) (50) (26) (2,808) (4,384) 3 1 4 4,415 $ 4,419

West Virginia Investment Management Board ii

-3.9% 2.4% 0.0% 0.0% 19.6% 0.2% n/a n/a n/a 0.1% 0.2%

Administrative Fund Management’s Discussion and Analysis CAPITAL ASSETS The IMB Administrative Fund made acquisitions of capital assets totaling $66,200 during the current fiscal year. The June 30, 2016 work in progress balance of $24,000 relates to the development of two software solutions that are scheduled to be completed in fiscal year 2017. There were no disposals. CONTACTING THE IMB This financial report is designed to provide its readers with a general overview of the IMB Administrative Fund’s finances. If you have any questions about this report or need additional information including the audited financial statements of the IMB Investment Pools, contact the IMB at 500 Virginia Street, East, Suite 200, Charleston, WV 25301-2164, or visit us at www.wvimb.org.

West Virginia Investment Management Board iii

Administrative Fund Statement of Net Position June 30, 2016

Assets Current assets: Cash and cash equivalents Accounts receivable Prepaid expenses Dividend receivable

$

Total current assets

3,852,980 8,677,317 67,415 382 12,598,094

Capital assets: Equipment Office furniture Other depreciable property Leasehold improvements Work in progress Less accumulated depreciation

455,304 218,749 121,190 260,360 24,000 (751,301)

Total capital assets (net of accumulated depreciation)

328,302

Total assets

12,926,396

Liabilities Current liabilities: Accounts payable and accrued expenses

8,498,737 Total current liabilities

8,498,737

Total liabilities

8,498,737

Net position Net investment in capital assets Unrestricted

328,302 4,099,357 Total net position

See accompanying notes to financial statements.

West Virginia Investment Management Board 1

$

4,427,659

Administrative Fund Statement of Revenues, Expenses, and Changes in Net Position Year Ended June 30, 2016

Operating revenues Investment service fees

$ 45,541,696 Total operating revenues

45,541,696

Operating expenses Advisor fees Custodian fees Trustee fees Fiduciary bond expenses Professional service fees Administrative expenses

35,841,705 1,866,827 50,000 25,875 3,357,201 4,393,689 Total operating expenses

45,535,297

Operating income

6,399

Nonoperating revenues Dividend income

2,104 Total nonoperating revenues

2,104

Increase in net position

8,503

Net position, beginning of year

4,419,156 Net position, end of year

See accompanying notes to financial statements.

West Virginia Investment Management Board 2

$

4,427,659

Administrative Fund Statement of Cash Flows Year Ended June 30, 2016

Cash flows from operating activities Cash received from customers Cash paid to suppliers Cash paid to employees

$ 45,795,361 (42,311,365) (3,430,496) Net cash provided by operating activities

53,500

Cash flows from capital and related financing activities Construction and acquisition of capital assets

(82,699)

Net cash used for capital and related financing activities

(82,699)

Cash flows from investing activities Dividends on investments

1,760 Net cash provided by investing activities

1,760

Net decrease in cash and cash equivalents

(27,439)

Cash and cash equivalents, beginning of year Cash and cash equivalents, end of year

3,880,419 $

3,852,980

$

6,399

Reconciliation of operating income to net cash used on operating activities: Operating income Adjustments to reconcile operating loss to net cash provided by operating activities: Depreciation Change in assets and liabilities: Decrease in accounts receivable Decrease in prepaid expenses Decrease in accounts payable and accrued expenses

98,749 253,665 15,124 (320,437) Total adjustments

Net cash used on operating activities

See accompanying notes to financial statements.

West Virginia Investment Management Board 3

47,101 $

53,500

Administrative Fund Notes to Financial Statements NOTE 1. NATURE OF ORGANIZATION The West Virginia Investment Management Board (IMB) was organized on April 25, 1997, as a public corporation created by West Virginia Code §12-6-1 to provide prudent fiscal administration and investment management services to designated state pension funds, the state’s Workers’ Compensation and Pneumoconiosis funds, and certain other state government funds. The IMB has established distinct investment pools to efficiently invest the entrusted funds. Separate financial statements are issued for these investment pools. The IMB Administrative Fund’s financial statements are included as an internal service fund of the State of West Virginia in the State’s financial statements and are presented as a blended component unit. A Board of Trustees, consisting of thirteen members, governs the IMB. The Governor, the State Auditor, and the State Treasurer are ex officio members of the Board of Trustees. The Governor appoints all other trustees for a term of six years. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES The accounting and reporting policies of the IMB Administrative Fund conform to accounting principles generally accepted in the United States of America. The following is a summary of significant accounting policies. Cash and Cash Equivalents - Cash and cash equivalents consist of cash held in checking and money market accounts. Management believes the IMB Administrative Fund is not exposed to any significant credit or market risk on cash and cash equivalents. Cash equivalents are maintained with a financial institution in an institutional Treasury Money Market Fund which has an average maturity of less than 90 days. Fair Value Measurements - GASB has issued Statement No. 72, Fair Value Measurement and Application, effective for periods beginning after June 15, 2015. The IMB Administrative Fund adopted this standard, which categorizes its fair value measurements within the fair value hierarchy established by generally accepted accounting principles. The hierarchy is based on the valuation inputs used to measure the fair value of the asset. Level 1 inputs are quoted prices in active markets for identical assets; Level 2 inputs are significant other observable inputs; Level 3 inputs are significant unobservable inputs. The IMB Administrative Fund’s cash equivalents are invested in an institutional Treasury Money Market fund valued at $3,852,780 as of June 30, 2016, using quoted market prices (Level 1 inputs). Capital Assets - Purchased assets, when they meet the thresholds defined in the capitalization policy, are recorded at cost. Threshold requirements are $2,500 for office equipment, furniture, fixtures, computer hardware, and software, and $10,000 for buildings, building improvements, land improvements, infrastructure, and leasehold improvements. Land is capitalized irrespective of cost. Depreciation on purchased assets is provided for over the estimated useful lives of the assets, ranging from three years to ten years using the straight-line method. Leasehold improvements are amortized over the life of the lease. Revenues and Expenses - The IMB’s Board of Trustees adopts an annual budget and fee schedule for services to be provided to the investment pools. Revenues of the IMB Administrative Fund are derived from the allocation of fees to the investment pools per the fee schedule. Each investment pool is charged for its direct investment-related cost and for its allocated share of other expenses. Revenues and expenses are recorded when earned or incurred in accordance with the economic resources measurement focus and the accrual basis of accounting. The carrying value of investment service fees receivable approximates its fair value. Income Taxes - The IMB is a public corporation organized under laws of the State of West Virginia and is exempt from federal and state taxation. Accordingly, the IMB Administrative Fund financial statements have been prepared recognizing that the IMB is not subject to federal or state income taxes.

West Virginia Investment Management Board 4

Administrative Fund Notes to Financial Statements NOTE 3. CAPITAL ASSETS Capital assets activity for the fiscal year ended June 30, 2016 was as follows: Beginning Balance Capital assets, not being depreciated: Work in progress Total capital assets, not being depreciated

$

Capital assets, being depreciated: Office equipment Office furniture Other depreciable property Leasehold improvements Total capital assets, being depreciated Less accumulated depreciation for: Office equipment Office furniture Other depreciable property Leasehold improvements Total accumulated depreciation Capital assets, net

$

7,500 7,500

Increases

$

62,547 62,547

Ending Balance

Decreases

$

(46,047) (46,047)

$

24,000 24,000

455,304 218,749 54,990 260,360 989,403

66,200 66,200

-

455,304 218,749 121,190 260,360 1,055,603

(409,598) (127,312) (31,391) (84,251) (652,552)

(21,633) (11,074) (18,065) (47,977) (98,749)

-

(431,231) (138,386) (49,456) (132,228) (751,301)

344,351

$

29,998

$

(46,047)

$

328,302

Depreciation expense of $98,749 was charged to the investment management activity and is included in the administrative expenses. NOTE 4. OPERATING LEASES On July 9, 2012, the IMB executed an amendment to renew its long-term lease, originally dated August 26, 2002, and previously amended on December 7, 2006, for a period of seven years beginning on January 1, 2013, at a monthly cost of $18,971. Effective November 1, 2013, the monthly cost increased to $19,633 based on actual square footage calculations. Under the original and amended lease, beginning on January 1, 2013, and continuing throughout the term, the IMB shall pay as additional rent a portion of the increase in utility costs and taxes over the base year 2012 amounts. The IMB shall receive a refund if the actual amount is less than the base year 2012 amount. Rent expense for the year ended June 30, 2016 totaled $230,463. The following is a schedule of future minimum rental payments required under this lease. Fiscal years ending June 30: 2017 2018 2019 2020 Total

$

235,599 235,599 235,599 117,800 824,597

West Virginia Investment Management Board 5

Administrative Fund Notes to Financial Statements NOTE 5. EMPLOYEE BENEFIT PLANS Retirement - The IMB provides a defined contribution money purchase pension plan (Pension Plan) covering all of its employees. An employee becomes eligible to participate in the Pension Plan on the earlier of the January 1 or July 1 coinciding with or following the employee’s hire date. The Pension Plan is solely funded by the IMB, which contributes 10 percent of each covered employee’s salary. Contributions for the year ended June 30, 2016 totaled $239,061. The plan provides for a five-year vesting schedule with vesting increasing 20 percent per year. Healthcare - On November 1, 2011, the IMB established the Defined Contribution Medical Plan (the Plan). The Plan is maintained for the exclusive benefit of employees and is a medical reimbursement plan under Internal Revenue Service Code Section 105(h). The Plan identifies the IMB as the Plan Administrator and authorizes the IMB to amend the Plan as needed. On November 1 of each plan year, the IMB determines an amount to credit each eligible employee that is allocated to a Health Reimbursement Arrangement (HRA) account for each participant. Current annual credits are $2,500 for single employees and $5,000 for employees with qualifying spouses or dependents. These credits are to be used to reimburse participants for out-of-pocket medical expenses not covered by any other source. Medical Expenses shall be defined under Internal Revenue Service Code Section 213(d). Any amount remaining in a participant’s HRA account at the end of the plan year shall be credited to the participant’s account for the following year, in addition to the annual contribution. Upon separation from employment or retirement, a former employee or dependent will not continue to receive the annual credit but may use the remaining continued balance accumulated in the HRA account. The IMB may at its discretion, through resolution of its Board of Trustees, discontinue funding the annual credits or terminate the Plan at any time without liability for such discontinuance or termination. Contributions made to the Plan by the IMB for the year ended June 30, 2016 were $102,883. NOTE 6. CASH AND INVESTMENT RISK At June 30, 2016, all of the IMB Administrative Fund’s cash equivalents are invested in an institutional Treasury Money Market fund. This investment fund is rated Aaa by Moody’s and AAA by Standard & Poor’s and has no significant custodial credit risk or interest rate risk. The investment fund invests in U.S. Treasuries and is not exposed to a concentration of credit risk or any foreign currency risk. Cash balances are held in a FDIC insured bank account, the balance of which is below the $250,000 insurance limit at all times.

West Virginia Investment Management Board 6