CTF 1st qtr 2005a - WashingtonCapital Markets Quarter Ended December 31, 2016 Indices Returns MSCI ACWI IMI - Quarter Industry Returns Capital Market Highlights 1 Qtr. 1.35% 1 Qtr

Washington State Investment Board

Investment Reports Quarterly Report – December 31, 2016

Total Assets Under Management ............................................................................................................ 2

Commingled Trust Fund (CTF) ............................................................................................................ 3-10

Defined Contribution Plans .............................................................................................................. 11-15

Daily Priced Investment Options ...................................................................................................... 16-18

Labor & Industries .................................................................................................................................. 19

Permanent and Other Funds ............................................................................................................ 20-24

Total Assets Under Management Quarter Ended December 31, 2016

Stakeholder Overview $112,425,238,507

Asset Class Overview for All Funds

Retirement Funds(CTF, Defined

Contribution, and Higher Education Retirement

Plan)$93,364,490,385

83.05%

Labor & Industries' Funds$15,827,560,246

14.08%

Permanent & Other Funds

$3,233,187,8762.88%

Fixed Income21.14%

Fixed Income88.02%

Fixed Income47.89%Tangibles

3.30%

Real Estate15.00%

Public Equity39.70%

Public Equity11.98%

Public Equity47.75%

Private Equity18.77%

Innovation0.04%

Cash2.05%

Cash4.35%

Retirement Funds(CTF, Defined Contribution, and Higher

Education Retirement Plan)

Labor & Industries' Funds Permanent & Other Funds

The WSIB invests for 35 funds:

17 Retirement Funds

5 State Insurance Funds for injured workers

13 Permanent and Other Trust Funds

Total Assets Under Management Page 2

Capital Markets Quarter Ended December 31, 2016

Indices Returns

MSCI ACWI IMI - Quarter Industry Returns

Capital Market Highlights

1 Qtr.1.35%

1 Qtr.4.00%

1 Qtr.-1.57% 1 Qtr.

-2.61%

1 Yr.8.72%

1 Yr.12.66%

1 Yr.4.41%

1 Yr.3.91%

3 Yr.3.57%

3 Yr.8.45%

3 Yr.-1.44%

3 Yr.3.28%

5 Yr.9.95%

5 Yr.14.66%

5 Yr.5.35% 5 Yr.

2.78%

10 Yr.4.10%

10 Yr.7.21%

10 Yr.1.28%

10 Yr.4.57%

Public Equity and Global EquityBenchmark

(MSCI ACWI IMIw/U.S. Gross blend)

U.S. EquityBenchmark

(MSCI U.S. IMI blend)

Non-U.S. Equity Benchmark(MSCI ACWI ex U.S. IMI blend)

Fixed Income Benchmark(Bloomberg Barclays Universal)

-2.84%-2.38%

-5.58%2.89%

-0.71%2.13%

-5.77%12.35%

7.74%-5.84%

0.78%

UtilitiesTelecommunication Services

Real EstateMaterials

Information TechnologyIndustrials

Health CareFinancials

EnergyConsumer Staples

Consumer Discretionary

Public equity as measured by the MSCI ACWI IMI w/U.S. Gross returned 1.4% outperforming fixed income as

measured by the Bloomberg Barclays Universal which returned -2.6% for the quarter.

The best industry return for the quarter as shown with the MSCI ACWI IMI was Financials at 12.4%. The lowest return was Consumer Staples at -5.8%.

In the Bloomberg Barclays indices, U.S. Corporate Yield had the highest return for the quarter earning 1.8%

while U.S. Treasury had the lowest return at -3.83%. For the yield curve, the short end of the curve (6 Month Treasuries) outperformed the long end of the curve (30 Year Treasuries), returning 0.1% compared to -13.8% respectively for the quarter.

GDP was 1.9% (annualized) for the quarter. Inflation, as measured by the CPI, was 0.8%.

The federal funds target was raised from 0.50% to 0.75%. This is the only the second time it has been raised

since 2008.

Commingled Trust Fund Page 3

Highlights Quarter Ended December 31, 2016

Commingled Trust Fund

Asset Allocation

Fixed Income

Tangible Assets

Real Estate

Public Equity

Private Equity

Innovation

Performance for all annualized time periods are positive. The CTF outperformed the passive benchmark for all time periods.

Asset transfers for the quarter consisted of transfers from Fixed Income for $500 million, Private Equity for $484 million, and Innovation for $10 million, to fund Tangible Assets with $71 million, Real Estate with $219 million, and Public Equity with $15 million. The remaining funds were held to pay participant withdrawals.

Fixed Income returned -2.7% for the quarter. It underperformed its benchmark, Bloomberg Barclays Universal, which returned -2.6%. It outperformed its benchmark for the 1, 10, and 20 year time periods.

Public Equity returned 1.4% for the quarter. It outperformed its benchmark for the quarter, 1, 3, 5, and 20 year time periods.

The WSIB Private Equity quarter return was 3.6%. It underperformed its custom benchmark which is currently the MSCI ACWI IMI w/U.S. Gross +300 basis points (lagged one quarter), which returned 6.4%. It outperformed the benchmark for the 3, 10, and 20 year time period.

As of September 30, 2016, there were $12.6 billion in unfunded commitments.

Innovation outperformed its custom benchmark for the 5 year time period.

The WSIB Tangible Assets quarter return was 2.1% and outperformed its benchmark, CPI lagged one quarter plus 400 basis points, which returned 1.5%.


The WSIB Real Estate quarter return was 3.3%. It outperformed NCREIF (lagged one quarter) for the quarter, 3, 5, and 20 year time periods. For the 10 year time period, it underperformed its benchmark of 8% return over rolling 10 years.



Allocation and Historical Market Values Quarter Ended December 31, 2016

Market Values

Asset Class Market Valueby Asset

Classwith

OverlayFixed Income $ 17,269,191,855 20.30% 20.30%

Tangible Assets $ 3,077,358,298 3.62% 3.62%

Real Estate $ 14,000,724,086 16.46% 16.46%

Public Equity $ 31,811,257,736 37.39% 38.93%

Private Equity $ 17,526,126,626 20.60% 20.60%

Innovation $ 40,302,394 0.05% 0.05%

Cash $ 1,359,762,877 1.60% 0.05%

Total Fund $ 85,084,723,871

Annual Performance and Growth of the CTF (Fiscal Years Ended June 30)

Note: Page 4-9, Totals may not add up due to rounding.

Actual Asset Allocation

Market Value Changes

Quarter:

$ 866,666,139

Fiscal Year:

$ 3,459,775,773

21.33%

-1.24%

-22.84%

13.22%21.14%

1.40%12.36% 17.06%

4.93% 2.65% 4.83%

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 FYTD 2017

93.9% 93.2%92.9% 92.5% 92.1% 92.9% 91.6% 91.5% 91.3% 91.2%

91.1%

6.1% 6.8%7.1% 7.5%

7.9% 8.1% 8.4%8.5% 8.7% 8.8% 8.9%

$63.9 $62.2 $47.4 $52.6 $62.3 $61.8 $67.9 $78.1 $80.5 $81.6 $85.1

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 FYTD 2017

% of Defined Benefit % of Defined Contribution

Tangible

45%

17.5% 21.5% 25.5%

35% 40%

Innovation

0%

Fixed Income

Real Estate

12%

30%15% 20% 25%

Public Equity

32%

5% 10%

5.0%Cash

3%

Private Equity

19% 23% 27%

37% 42%

18%15%

1.5% 3.5% 5.5%

12/31/16

6/30/15

2016 Allocation Range

Actu

al

6/30/16


Performance Quarter Ended December 31, 2016

Qtr. 1 Year 3 Year 5 Year 10 Year 20 Year

Total Fund $85,084,723,871 100.0% 1.33% 8.61% 6.56% 9.53% 5.66% 7.70%

Passive Benchmark2 0.13% 7.36% 3.61% 7.83% 4.45% 6.35%

Implementation Value Added Benchmark3 1.73% 9.64% 6.08% 9.79% 5.98% N/A

TUCS Public Fund >$1B Median4 0.96% 7.86% 5.20% 8.76% 5.35% N/A

TUCS Public/Corporate Fund >$1B Median4 0.57% 7.77% 5.15% 8.57% 5.39% N/A

Fixed Income $17,269,191,855 20.3% -2.73% 5.77% 2.86% 2.75% 5.12% 5.91%

Bloomberg Barclays Universal -2.61% 3.91% 3.28% 2.78% 4.57% 5.48%

Tangible Assets5 $3,077,358,298 3.6% 2.08% 7.92% 4.42% 3.16% N/A N/A

CPI (Lagged One Quarter) + 400 bp 1.45% 5.48% 5.04% 5.24% N/A N/A

Real Estate5 $14,000,724,086 16.5% 3.34% 8.34% 12.98% 13.72% 7.09% 11.27%

8% Return Over Rolling 10 Years 8.00%

NCREIF (Lagged One Quarter) 1.77% 9.22% 11.31% 11.18% 7.22% 9.83%

Public Equity6 $31,811,257,736 37.4% 1.39% 9.23% 3.98% 10.26% 4.05% 6.57%

Custom Benchmark 1.35% 8.72% 3.57% 9.95% 4.10% 6.54%

Private Equity5 $17,526,126,626 20.6% 3.62% 10.00% 10.95% 13.05% 8.97% 11.62%

Custom Benchmark9 6.44% 15.63% 8.56% 14.21% 7.11% 9.38%

Innovation7 $40,302,394 0.0% -6.79% 0.04% -6.22% 7.72% N/A

Custom Benchmark 1.92% 17.11% -1.63% 0.95%

Overlay8 $218,770,789 0.04% 0.15% 0.08% 0.03% 0.08% 0.04%

Cash $1,140,992,088 1.6% 0.21% 0.57% 0.27% 0.23% 0.98% 2.06%

90 Day T-Bills 0.09% 0.35% 0.16% 0.14% 0.84% 2.33%

Outperformed the composite benchmark Underperformed the composite benchmark

1 Performance figures are net of all non-appropriated fees. 2 Currently 69% MSCI ACWI IMI w/ U.S. Gross, 31% Bloomberg Barclays Universal. Over time the benchmark has been adjusted by changing both

benchmarks and percentages. 3 The implementation value added benchmark consists of market indices, as defined in each asset class’s policy, weighted according to the asset

allocation targets. This custom benchmark differs from the passive benchmark as it is not an investable benchmark due to the uninvestable premium added to the private equity benchmark.

4 TUCS returns have been adjusted to reflect fees equivalent to those incurred by the WSIB (6.5 bp over one, three, and five years and 10 bp for ten years).

5 Tangible assets, real estate, and private equity use the latest market value known plus cash flows since then. For compositing purposes their returns are calculated using monthy time-weighted returns. 6 Public equity benchmark is a custom historical blend. It is currently the MSCI ACWI IMI w/U.S. Gross 7 The overall benchmark is the weighted average of the underlying benchmarks for each asset/idea within the portfolio. 8 To show the performance, cash and the cash held in the overlay are seperated out on this page. 9 Private equity benchmark is a custom historical blend. Historically it was the Russell 3000 (Lagged One Quarter) +300bps. As of April 1, 2008 it

changed to the MSCI ACWI IMI w/U.S. Gross (Lagged One Quarter) +300bps.


Public Equity Performance Quarter Ended December 31, 2016

Global Markets

Qtr. 1 Year 3 Year 5 Year 10 Year

Total Global 0.66% 7.44% 4.48% 11.31% N/AMSCI ACWI IMI w/ U.S. Gross 1.35% 8.72% 3.57% 9.96% N/A

Aberdeen Asset Management -2.07% 8.31% -0.81% 5.11% N/AArrowstreet Capital 3.04% 11.07% 7.13% 14.28% N/AD.E. Shaw 0.45% 5.48% 3.94% 11.38% N/ALongview 1.50% 9.02% 7.11% 15.82% N/AMagellan 0.64% 4.54% 5.06% N/A N/AWilliam Blair & Company -2.88% 1.96% 3.62% 10.15% N/A

Non-U.S. Markets


Total Non-U.S. Equity -1.31% 6.12% -1.00% 5.38% 1.24%Custom Benchmark -1.57% 4.41% -1.44% 5.35% 1.28%

Total Developed -0.60% 3.69% -0.62% 6.82% 1.70%Custom Benchmark -0.70% 2.95% -1.20% 6.44% 1.17%

SSgA -0.61% 3.54% -0.71% 6.95% N/AMondrian Investment Partners -0.56% 4.60% -0.12% 6.15% 1.73%

Total Emerging -3.29% 13.86% -2.05% 1.41% 1.78%Custom Benchmark -4.45% 9.90% -2.40% 1.54% 2.04%

Aberdeen Asset Management -5.19% 12.01% -0.98% 2.70% N/AAQR Capital Management -2.40% 12.47% N/A N/A N/ABlackRock Trust Company EM IMI -4.47% 9.81% -2.54% N/A N/ABrandes Investment Partners -0.85% 25.13% N/A N/A N/ALazard Asset Management -1.66% 21.93% -1.94% 2.86% 3.34%Mondrian Investment Partners -3.88% 9.10% -2.96% 0.78% N/A

U.S. Markets


Total U.S. Equity 4.34% 13.34% 8.49% 14.71% 6.81%MSCI U.S. IMI (Gross) 4.00% 12.66% 8.45% 14.66% 7.21%

BlackRock Trust Company 4.01% 12.68% 8.54% N/A N/A

Total Fundamental 6.25% 17.24% N/A N/A N/ACustom Benchmark 6.27% 17.26% N/A N/A N/A

BlackRock Trust Company Fundamental 6.25% 17.24% N/A N/A N/A

Outperformed the composite benchmark Underperformed the composite benchmark

Developed Markets Benchmark: MSCI World ex U.S. IMI (Custom) - Switched October 1, 2007Emerging Markets Benchmark: Custom Emerging Markets IMI (Custom) - Switched October 1, 2007.Non-U.S. Equity Benchmark: MSCI ACWI IMI ex U.S. (Custom) - Switched October 1, 2007.U.S. Fundamental Benchmark: Russell Fundamental U.S. Index (Custom).

$8,851,091,873

$10,502,858,451

$12,457,300,417


Public Equity Market Values Quarter Ended December 31, 2016

Global Markets $8,851,091,873

Aberdeen Asset Management $1,217,542,077 13.76%Arrowstreet Capital $2,734,543,406 30.89%D.E. Shaw $396,558,654 4.48%Longview $1,796,188,352 20.29%Magellan $1,520,982,536 17.18%William Blair & Company $1,185,058,286 13.39%

Non-U.S. Markets $10,502,858,451

DevelopedSSgA $6,244,234,480 80.37%Mondrian Investment Partners $1,524,887,186 19.63%

EmergingAberdeen Asset Management $540,050,732 19.76%AQR Capital Management $540,885,899 19.79%BlackRock Trust Company EM IMI $364,587,465 13.34%Brandes Investment Partners $286,479,480 10.48%Lazard Asset Management $424,383,833 15.52%Mondrian Investment Partners $577,319,163 21.12%

U.S. Markets $12,457,300,417

BlackRock Trust Company $10,588,077,900 84.99%BlackRock Trust Company Fundamental $1,869,222,517 15.01%

Transition Accounts for Public Equity $255,770


Asset Class Details Quarter Ended December 31, 2016

Public Equity

CTF Weight CTF Weight

United States 57.17% Apple Inc. 1.35%

United Kingdom 6.88% Alphabet Inc. 1.04%

Japan 6.63% Microsoft Corp. 0.95%

Switzerland 2.97% Wells Fargo & Co. 0.83%

Germany 2.86% Exxon Mobil Corp. 0.74%

France 2.70% Royal Dutch Shell PLC 0.68%

Canada 2.15% Taiwan Semiconductor Mfg. Co. Ltd 0.67%

China 1.59% Oracle Corp. 0.63%

Australia 1.53% Facebook Inc. 0.63%

Brazil 1.32% Nestle SA 0.61%

Fixed Income

Sep 16 Dec 16

WSIB Portfolio 5.74 5.68

Bloomberg Barclays Universal 5.39 5.69

Difference 6.61% -0.26%

Innovation

Duration

Sector Weighting

$40,302,394

There are currently 3 funds in the Innovation Portfolio. A mezzanine fund, a distressed whole loan debt strategy, and a resource equity strategy.

$17,269,191,855

$31,811,257,736

Top Ten Countries by Weight Top Ten Holdings

Distressed Debt74.57%

Mezzanine25.26%

Resource Equity0.17%

U.S.53.70%

U.S.57.17%

Other Developed Countries 35.92%

Other Developed Countries 32.79%

Emerging10.39%

Emerging10.03%

MSCI ACWI IMI w/U.S.Gross

WSIB

1.36% 0.00%

32.78%

0.00%

59.94%

4.96% 0.29% 0.37% 0.29%0.00% 0.00%

30.14%

1.92%

42.26%

23.73%

0.00% 1.56% 0.39%

Cash TIPS Treasury Agency Credit Pass-Through CMO CMBS ABS

WSIB Fixed Income Bloomberg Barclays Universal


Asset Class Details Quarter Ended December 31, 2016

Private Equity $17,526,126,626

Industry Distribution

Unfunded Commitments: $12.6 billion

Real Estate $14,000,724,086

Property Distribution

0.5% is in loan portfolios spread across multiple U.S. regions. 0.6% is spread across multiple countries.


Tangible Assets $3,077,358,298

Sector Distribution


Distribution charts and unfunded commitments are lagged one quarter.

Sector Distribution

Geographical Distribution

Geographical Distribution

Hospitality 5.6%Office 5.1%

Residential27.1%

Retail 17.6%

Industrial23.7%

Storage 6.0%Debt 0.5%

Health Care 4.2%Land 4.1% Other 6.1%

10.9%16.0%

11.7%23.0%

2.7%1.5%

7.1%1.0%

18.2%5.0%

2.9%

FinancialHealth Care

IndustrialsIT

MaterialsTelecom Services

EnergyUtilities

Consumer DiscretionaryConsumer Staples

Real Estate

Special Situations/Multi Strategy

10.3%

Venture Capital/Growth Equity

9.9%

Distressed Debt 6.1%

Buyout Small 2.2%Buyout Mid 19.4%

Buyout Large 22.0%

Buyout Mega30.1%

8.9%

21.8%

1.7%

2.9%

1.0%

7.7%

9.0%

0.9%

4.7%

6.3%

0.8%7.0%

Latin America

18.5%Europe 4.5%

Asia

3.2%Australia/ Pacific

2.7%Latin

America

11.0%Europe

1.3%Australia/

Pacific

77.4%North

America

6.4%Africa

Society Essentials22.7% Minerals & Mining

5.4%

Energy53.0%

Agriculture19.0%

1.2%Asia


Plan 3 Market Values - TRS and SERS Quarter Ended December 31, 2016

Teachers' Retirement System (TRS)

% of Assets Option Market Value Quarterly Change

61.83% WSIB TAP Fund $4,688,808,342 $41,322,8430.94% Socially Responsible Balanced Fund 71,166,958 (1,124,038)0.14% Retirement Maturity Strategy Fund 10,268,333 (1,573,846)0.14% Retirement Strategy Fund 2005 10,644,487 (127,969)0.53% Retirement Strategy Fund 2010 39,963,633 (80,090)1.83% Retirement Strategy Fund 2015 139,156,882 (2,535,716)3.83% Retirement Strategy Fund 2020 290,587,283 (4,630,511)3.81% Retirement Strategy Fund 2025 288,882,459 808,8422.94% Retirement Strategy Fund 2030 223,183,002 3,113,7132.05% Retirement Strategy Fund 2035 155,626,799 3,004,1151.11% Retirement Strategy Fund 2040 83,973,082 1,905,8050.54% Retirement Strategy Fund 2045 40,680,203 1,765,4030.33% Retirement Strategy Fund 2050 24,666,000 1,757,5520.19% Retirement Strategy Fund 2055 14,607,318 1,269,9690.02% Retirement Strategy Fund 2060 1,734,068 460,9008.42% U.S. Large Stock Fund 638,860,452 17,768,0622.02% U.S. Small Value Stock Fund 153,300,434 21,142,3081.23% Global Equity Fund 93,625,611 594,2370.50% Emerging Markets Equity Fund 38,205,327 (2,223,723)4.08% Bond Market Fund 309,669,280 (13,138,277)3.51% Short Term Investment Fund 266,309,462 7,240,311

Total Fund $7,583,919,415 $76,719,889

School Employees' Retirement System (SERS)


74.67% WSIB TAP Fund $1,303,020,052 $8,055,0980.61% Socially Responsible Balanced Fund 10,645,566 (198,581)0.12% Retirement Maturity Strategy Fund 2,103,153 (117,984)0.18% Retirement Strategy Fund 2005 3,106,518 (270,045)0.74% Retirement Strategy Fund 2010 12,950,868 (281,768)1.80% Retirement Strategy Fund 2015 31,386,849 (1,923,427)3.12% Retirement Strategy Fund 2020 54,477,707 (81,128)2.60% Retirement Strategy Fund 2025 45,402,888 292,1471.31% Retirement Strategy Fund 2030 22,791,997 480,1690.87% Retirement Strategy Fund 2035 15,202,383 941,1920.50% Retirement Strategy Fund 2040 8,718,938 550,1650.34% Retirement Strategy Fund 2045 5,920,004 425,1830.28% Retirement Strategy Fund 2050 4,868,455 380,1730.24% Retirement Strategy Fund 2055 4,225,331 296,2060.05% Retirement Strategy Fund 2060 959,466 473,7624.07% U.S. Large Stock Fund 71,046,949 1,595,7211.16% U.S. Small Value Stock Fund 20,310,319 2,937,5810.56% Global Equity Fund 9,850,476 309,2280.21% Emerging Markets Equity Fund 3,723,769 (141,229)1.82% Bond Market Fund 31,751,336 (1,834,969)4.73% Short Term Investment Fund 82,535,849 (167,305)

Total Fund $1,744,998,874 $11,720,189

17.4

6%12

.16%

Defined Contribution Plans Page 11

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Typewritten Text

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Plan 3 Market Values - PERS Quarter Ended December 31, 2016

Public Employees' Retirement System (PERS)


59.41% WSIB TAP Fund $1,540,743,199 $23,230,3951.20% Socially Responsible Balanced Fund 31,219,381 831,9150.21% Retirement Maturity Strategy Fund 5,500,175 1,214,4990.20% Retirement Strategy Fund 2005 5,215,435 (467,117)0.67% Retirement Strategy Fund 2010 17,400,413 (1,283,946)1.69% Retirement Strategy Fund 2015 43,810,313 (2,045,887)3.65% Retirement Strategy Fund 2020 94,618,844 (1,189,745)4.26% Retirement Strategy Fund 2025 110,540,062 102,0672.83% Retirement Strategy Fund 2030 73,418,761 1,284,6402.18% Retirement Strategy Fund 2035 56,650,185 1,569,0871.32% Retirement Strategy Fund 2040 34,257,149 851,9201.09% Retirement Strategy Fund 2045 28,265,050 1,376,7600.81% Retirement Strategy Fund 2050 21,032,594 1,886,4550.63% Retirement Strategy Fund 2055 16,225,802 1,492,7510.07% Retirement Strategy Fund 2060 1,936,391 (388,538)6.36% U.S. Large Stock Fund 165,054,763 3,386,4642.78% U.S. Small Value Stock Fund 72,145,783 11,746,1331.25% Global Equity Fund 32,362,562 (182,438)0.58% Emerging Markets Equity Fund 14,960,499 (299,164)2.80% Bond Market Fund 72,704,262 (1,909,936)6.00% Short Term Investment Fund 155,524,212 1,801,618

Total Fund $2,593,585,834 $43,007,933

19.6

2%


Market Values - DCP and JRA Quarter Ended December 31, 2016

Deferred Compensation (DCP)


0.63% Retirement Maturity Strategy Fund $24,291,646 ($803,358)0.94% Retirement Strategy Fund 2005 35,956,372 (616,997)2.61% Retirement Strategy Fund 2010 99,811,063 (5,453,918)7.31% Retirement Strategy Fund 2015 279,654,983 (11,002,524)

11.02% Retirement Strategy Fund 2020 421,499,100 (2,545,300)9.31% Retirement Strategy Fund 2025 356,079,991 5,480,5935.98% Retirement Strategy Fund 2030 228,890,654 3,978,0023.94% Retirement Strategy Fund 2035 150,674,923 2,263,3862.11% Retirement Strategy Fund 2040 80,713,684 2,337,6171.11% Retirement Strategy Fund 2045 42,380,231 1,751,8790.37% Retirement Strategy Fund 2050 14,247,058 909,1120.30% Retirement Strategy Fund 2055 11,311,572 745,0440.09% Retirement Strategy Fund 2060 3,554,871 927,7383.78% Socially Responsible Balanced Fund 144,721,052 (1,548,791)

10.70% U.S. Large Stock Fund 409,443,956 15,953,2215.92% U.S. Small Value Stock Fund 226,494,962 32,692,3953.22% Global Equity Fund 123,051,173 933,7821.35% Emerging Markets Equity Fund 51,794,968 (2,648,769)6.29% Bond Market Fund 240,691,176 (13,738,710)

23.03% Savings Pool 881,141,560 9,264,433Total Fund $3,826,404,995 $38,878,834

Judicial Retirement Account (JRA)


0.00% Retirement Maturity Strategy Fund $0 $00.00% Retirement Strategy Fund 2005 0 03.36% Retirement Strategy Fund 2010 381,766 (3,418)

10.34% Retirement Strategy Fund 2015 1,173,986 (18,236)13.17% Retirement Strategy Fund 2020 1,496,137 (3,733)4.39% Retirement Strategy Fund 2025 498,073 58,1831.97% Retirement Strategy Fund 2030 223,177 2,9580.78% Retirement Strategy Fund 2035 88,800 (5,763)0.51% Retirement Strategy Fund 2040 58,283 4290.00% Retirement Strategy Fund 2045 0 00.00% Retirement Strategy Fund 2050 0 00.00% Retirement Strategy Fund 2055 0 00.00% Retirement Strategy Fund 2060 0 02.32% Socially Responsible Balanced Fund 263,666 (4,812)

10.81% U.S. Large Stock Fund 1,227,463 41,7579.28% U.S. Small Value Stock Fund 1,054,017 191,9355.71% Global Equity Fund 647,985 7,6032.14% Emerging Markets Equity Fund 242,954 (192,454)5.35% Bond Market Fund 608,025 (15,683)

29.88% Savings Pool 3,393,199 44,592Total Fund $11,357,530 $103,357

45.7

1%34

.52%



One Year Returns Fund Index

Equity Funds


U.S. Large Stock Fund 3.83% 11.99% 8.92% 14.71% 7.06%

S&P 500 3.82% 11.95% 8.86% 14.65% 6.94%

Global Equity Fund 1.44% 9.25% 3.73% 10.11% N/A

MSCI ACWI IMI 1.27% 8.36% 3.25% 9.61% 3.84%

Emerging Markets Equity Fund -4.97% 9.78% -2.68% 1.31% N/A

MSCI EM IMI -4.45% 9.90% -2.40% 1.54% 2.07%

U.S. Small Value Stock Fund 14.06% 31.89% 8.55% 15.32% N/A

Russell 2000 Value 14.07% 31.74% 8.31% 15.07% 6.26%

Cash Funds


Short Term Investment Fund (Plan 3) 0.18% 0.59% 0.30% 0.28% 0.97%

One Month LIBOR 0.10% 0.35% 0.23% 0.22% 1.00%

Savings Pool (DCP) 0.36% 1.26% 0.79% 1.11% 2.58%

Bond Fund


Bond Market Fund -2.26% 5.48% 3.50% 3.35% 5.49%

Bloomberg Barclays Intermediate Credit -1.90% 3.68% 2.90% 3.29% 4.74%

Returns shown are after manager and portfolio expenses but before the WSIB and record keeping fees.

11.9

9%

9.25

%

9.78

%

31.8

9%

0.59

%

1.26

% 5.48

%11.9

5%

8.36

%

9.90

%

31.7

4%

0.35

%

3.68

%

U.S. LargeStock Fund

GlobalEquity Fund

EmergingMarkets Equity

Fund

U.S. SmallValue Stock Fund

MoneyMarket

SavingsPool

Bond Market Fund



One Year Returns Fund Index

Balanced Funds


WSIB TAP Fund (Plan 3) 1.33% 8.61% 6.56% 9.53% 5.66%

Custom Benchmark 0.13% 7.36% 3.61% 7.83% 4.45%

Socially Responsible Balanced Fund 0.69% 8.88% 5.47% 8.63% 6.71%

Custom Benchmark 0.35% 6.81% 4.98% 8.43% 5.78%

Retirement Maturity Strategy Fund -1.35% 5.10% 3.08% 5.17% N/A

Composite Index -1.13% 4.47% 2.83% 5.10% N/A

Retirement Strategy Fund 2005 -1.11% 5.82% 3.28% 6.16% N/A

2005 Composite Index -0.95% 5.24% 3.06% 6.13% N/A







Retirement Strategy Fund 2025 0.05% 8.41% 3.81% 9.26% N/A

2025 Composite Index 0.15% 8.19% 3.77% 9.40% N/A













Retirement Strategy Fund 2060 0.85% 8.75% N/A N/A N/A

2060 Composite Index 0.89% 8.38% N/A N/A N/A

8.61

%

8.88

%

5.10

%

5.82

%

6.77

%

7.69

%

8.11

%

8.41

%

8.68

%

8.78

%

8.70

%

8.68

%

8.72

%

8.73

%

8.75

%

7.36

%

6.81

%

4.47

%

5.24

%

6.33

%

7.37

%

7.88

%

8.19

%

8.48

%

8.62

%

8.43

%

8.38

%

8.38

%

8.38

%

8.38

%

WSIB TAPFund

SociallyBalanced

Fund

Ret.MaturityStrategy

2005 2010 2015 2020 2025 2030 2035 2040 2045 2050 2055 2060


Savings Pool Quarter Ended December 31, 2016

Characteristics

Market Value

$ 885,035,468

GIC Issuers by Percentage

Metropolitan Life Insurance Co. 14.95%

Protective Life Insurance Co. 14.90%

Prudential Insurance Co. of America 14.90%

Jackson National Life Insurance Co. 14.85%

New York Life Insurance Corp. 14.83%

United of Omaha Life Insurance Co. 7.35%

Return

Note: Totals may not add up due to rounding

Composition Distribution

S&P Rating Distribution

Average Maturity

1.8 Years

Average Yield

1.41%

Number of Holdings

26

0.36%1.26%

0.79% 1.11%

2.58%

5.60%

Qtr. 1 Year 3 Year 5 Year 10 Year Since Inception 1/1/86

AA+14.83%

AA14.85%

AA-52.09%

NR-Cash18.24%

Cash 18.24%

GICs81.76%

Daily Priced Investment Options Page 16

Bond Fund Quarter Ended December 31, 2016

Characteristics Asset Class Distribution

Fund Index

Average Maturity 5.2 years 4.8 years Market Value

Yield to Maturity 2.93% 2.75% $ 1,806,001,279

Modified Duration 4.51 4.28

Average Coupon 3.24% 3.41%

Number of Holdings 238 4,516

Top Ten Issuers

Unilever Capital Corp. 1.10% Waste Management Inc. 0.85%

Ontario, Province of 1.00% EQT Corp. 0.85%

Cencosud SA 0.90% U.S. Bancorp Investments, Inc. 0.84%

Burlington Northern Santa Fe Corp. 0.85% Citigroup Inc. 0.84%

Macquarie Bank Ltd. 0.85% APT Pipelines Ltd. 0.84%

Moody's Equivalent Rating Distribution

Sector Distribution

Return


Cash 3.76%

Bonds96.24%

3.76% 5.11%13.05%

35.90% 37.13%

5.06%11.75% 12.45%

33.58%42.22%

NR-Cash Aaa Aa A Baa Below Baa

WSIB Bond Fund Bloomberg Barclays Intermediate Credit Index

-2.26%

5.48%3.50% 3.35%

5.49% 5.79%

-1.90%

3.68% 2.90% 3.29%4.74% 5.45%

Qtr. 1 Year 3 Year 5 Year 10 Year Since Inception7/20/00

48.06%

7.53%18.30% 21.81%

0.54% 3.76%

46.53%

4.36%

30.92%

18.18%

Industrial Utility Financial Non-Corporate Treasuries Cash


TIPS Fund Quarter Ended December 31, 2016

Characteristics Asset Class Distribution

Fund Index

Average Maturity 8.4 years 8.3 years Market Value

Yield to Maturity 0.18% 0.18% $ 251,490,944

Modified Duration 4.93 4.87

Average Coupon 0.68% 0.76%

Number of Holdings 25 37

Return


Cash 1.65%

U.S. TIPS98.35%

-2.53%

4.88%

2.35%

N/A N/A1.52%

-2.41%

4.68%

2.26%0.89%

4.36%

1.49%

Qtr. 1 Year 3 Year 5 Year 10 Year Since Inception10/1/13

WSIB TIPS Fund Bloomberg Barclays TIPS Index


Labor & Industries Quarter Ended December 31, 2016

One Year Performance

Total Fund

Market Value Qtr. 1 Year 3 Year 5 Year 10 Year

Accident Fund $5,749,316,353 -2.83% 6.49% 4.06% 3.97% 5.50%

CMI -2.70% 5.49% 4.00% 3.94% 5.04%

Medical Aid $5,425,878,469 -2.12% 6.44% 3.76% 4.11% 5.01%

CMI -2.04% 5.19% 3.61% 3.96% 4.61%

Pension Reserve $4,539,960,146 -2.68% 6.85% 4.32% 4.17% 5.50%

CMI -2.70% 5.49% 4.00% 3.94% 5.04%

Supplemental Pension $112,405,279 0.00% 1.09% 0.82% 0.83% 1.84%

CMI N/A N/A N/A N/A N/A

Labor and Industries' Statutory Accounting Return *

Qtr. 1 Year 3 Year 5 Year

Accident Fund 1.27% 5.48% 4.80% 5.54%

Medical Aid 1.21% 5.26% 4.59% 5.70%

Pension Reserve 1.27% 5.52% 4.69% 5.64%

Supplemental Pension 0.21% 0.96% 0.87% 0.74%

Duration

CMI Target Actual % Difference

Accident Fund 7.33 7.00 7.43 6.18%

Medical Aid 6.32 6.00 6.17 2.84%

Pension Reserve 7.33 7.00 7.19 2.73%

$15,827,560,246

* Uses net income, realized and unrealized gains and losses on equity securities, and realized gains and losses on fixed income in the numerator. The denominator uses book value for fixed income securities and market value for equities. Below investment grade fixed income securities are carried at the lower of book or market value.

6.49%5.49%

6.44%5.19%

6.85%5.49%

1.09%N/A

AccidentFund CMI

MedicalAid CMI

PensionReserve CMI

SupplementalPension CMI

Labor and Industries' Funds Page 19

Permanent Funds Quarter Ended December 31, 2016

One Year Performance

Market Value

Agricultural Fund $ 229,255,536

Normal School $ 272,140,392

Scientific Permanent $ 258,439,875

State University $ 36,344,558

Common School $ 214,742,949

American Indian Scholarship Endowment Fund (AISEF) $ 346,202

Total Returns


Agricultural Fund -0.81% 6.18% 4.42% 4.85% 5.86%

Custom Benchmark 1 ( 67.8% / 32.2% ) -0.77% 5.73% 4.69% 4.90% 5.70%

Normal School -0.83% 6.14% 4.39% 4.78% 5.76%


Scientific Permanent -0.81% 6.16% 4.40% 4.85% 5.79%


State University -0.82% 6.15% 4.40% 4.83% 5.78%


Common School -0.84% 6.11% 4.41% 5.11% 5.72%


AISEF -2.98% 3.00% 2.74% 2.07% N/A


All of the custom benchmarks use previous month-end weights adjusted for new purchases during the current month.

1 The custom benchmark is a combination of the Bloomberg Barclays Aggregate and Russell 3000. The numbers in parantheses are the breakdown respectively for the current quarter.

2 The custom benchmark is a combination of the Bloomberg Barclays Aggregate and the 90 Day Tbill. The numbers in parantheses are the breakdown respectively for the current quarter.

6.18% 6.14% 6.16% 6.15% 6.11%

3.00%

AgriculturalFund

NormalSchool

ScientificPermanent

StateUniversity

CommonSchool

AISEF

Permanent and Other Funds Page 20

Permanent Funds Quarter Ended December 31, 2016

Equity Returns


Agricultural Fund 4.38% 13.22% 7.75% N/A N/A

Normal School 4.38% 13.22% 7.75% N/A N/A

Scientific Permanent 4.38% 13.22% 7.77% N/A N/A

State University 4.38% 13.22% 7.75% N/A N/A

Common School 4.38% 13.22% 7.75% N/A N/A

Russell 3000 4.21% 12.74% 8.43% 14.67% 7.07%

Fixed Income Returns


Agricultural Fund -3.10% 3.09% 2.86% 2.27% 4.49%

Normal School -3.10% 3.09% 2.86% 2.27% 4.48%

Scientific Permanent -3.10% 3.09% 2.86% 2.27% 4.48%

State University -3.10% 3.09% 2.86% 2.27% 4.49%

Common School -3.10% 3.09% 2.86% 2.27% 4.47%

AISEF -3.10% 3.10% 2.86% 2.27% N/A

Bloomberg Barclays Aggregate -2.98% 2.65% 3.03% 2.23% 4.34%

Cash Returns


AISEF 0.09% 0.10% 0.08% 0.09% N/A

90 Day Tbill 0.09% 0.35% 0.16% 0.14% 0.84%


GET Quarter Ended December 31, 2016

Portfolio Size and Allocation

Total $2,093,874,977

Cash $112,837,631

Fixed Income $836,947,569

Equity $1,144,089,777

Assets Under Management

Total Return

4th Qtr. 2016 1 Year 3 Year 5 Year 10 Year

GET - College Tuition Program Passive Benchmark CPI (inflation) + 3.25%

15.3 12.5 14.9 15.7 18.0 10.8

-2.3 -2.6 -2.8

-104.8-57.3

788980 832

1,2411,587

1,8072,156

2,471 2,586 2,393 2,094

-300

-250

-200

-150

-100

-50

0

50

100

150

200

250

300

-3,000

-2,500

-2,000

-1,500

-1,000

-500

0

500

1,000

1,500

2,000

2,500

3,000

Cont

ribu

tion

s in

Mill

ions

Ass

et S

ize

in M

illio

ns

Net Contributions

Growth of Assets

Cash5.39%

Fixed Income39.97%

Equity54.64%


DDEF Quarter Ended December 31, 2016

State Funds

Total $12,032,258

Cash $12,017


Global Equity $2,087,077

Private Funds

Total $42,694,414

Cash $9,267

Balanced Fund $42,685,147


DDEF State Funds Inflation (CPI) 90 Day Tbill


DDEF Private Funds Inflation (CPI) 90 Day Tbill

Cash0.10%

Fixed Income82.55%

Global Equity17.35%

Cash0.02%

Balanced Fund99.98%


WSOS Quarter Ended December 31, 2016

Private and State Match Scholarship

Private Private AllocationTotal $32,796,868

Equity $20,082,088


Cash $45

State MatchTotal $15,887,092

Cash $15,887,092

Private and State Match Endowment

Private Private AllocationTotal $14,602,576

Equity $11,838,262


Cash $324

State MatchTotal $10,027,624

Cash $10,027,624

Scholarship Benchmarks: Private 60% MSCI ACWI IMI w/U.S. Gross & 40% Bloomberg Barclays Intermediate Credit, State Match 90 Day TbillEndowment Benchmarks: Private 80% MSCI ACWI IMI w/U.S. Gross & 20% Bloomberg Barclays Intermediate Credit, State Match 90 Day Tbill* Since Inception: Private 10/1/14, State Match 11/25/14

4th Qtr. 2016 1 Year 3 Year 5 Year 10 Year Since Inception*

Private Private Benchmark State Match State Match Benchmark

4th Qtr. 2016 1 Year 3 Year 5 Year 10 Year Since Inception*

Private Private Benchmark State Match State Match Benchmark

Equity61.23%

Fixed Income38.77%

Equity81.07%

Fixed Income18.93%


Documents

CTF 1st qtr 2005a - WashingtonCapital Markets Quarter Ended December 31, 2016 Indices Returns MSCI ACWI IMI - Quarter Industry Returns Capital Market Highlights 1 Qtr. 1.35% 1 Qtr