LGIP Trust financial statements, 2022 June 30

Office of the State Treasurer
Ter Local Government Investment Pool Trust
LGIP Trust Financial Statements
June 30, 2022

Local Government Investment Pool Trust Table of Contents
SECTION I FINANCIAL Independent Auditor's Report....................................................................................................................... 1 Management's Discussion and Analysis....................................................................................................... 5 BASIC FINANCIAL STATEMENTS Local Government Investment Pool (LGIP) Trust Financial Statements Combined LGIP Trust: Statement of Net Position ........................................................................ 21 Combined LGIP Trust: Statement of Changes in Net Position...................................................... 22 Notes to the Financial Statements .................................................................................................. 23 SUPPLEMENTARY INFORMATION Combining Statement of Net Position ........................................................................................................ 41 Combining Statement of Changes in Net Position...................................................................................... 42 SECTION II INTERNAL CONTROL AND COMPLIANCE Independent Auditor's Report on Internal Control Over Financial Reporting and on Compliance and Other Matters Based on an Audit of Financial Statements Performed in Accordance with Government Auditing Standards..................................................................................... 45
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SECTION I FINANCIAL

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Greg S. Griffin State Auditor
INDEPENDENT AUDITOR'S REPORT
The Honorable Brian P. Kemp, Governor of Georgia Members of the General Assembly of the State of Georgia Members of the State Depository Board
and Mr. Steven N. McCoy, State Treasurer
Report on the Audit of the Financial Statements
Opinion
We have audited the accompanying financial statements of the Local Government Investment Pool Trust of the Office of the State Treasurer of the State of Georgia (Trust), as of and for the year ended June 30, 2022, and the related notes to the financial statements, which collectively comprise the Trust's basic financial statements as listed in the table of contents.
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Trust as of June 30, 2022, and the changes in financial position for the year then ended in accordance with accounting principles generally accepted in the United States of America.
Basis for Opinion
We conducted our audit in accordance with auditing standards generally accepted in the United States of America (GAAS) and the standards applicable to financial audits contained in Government Auditing Standards issued by the Comptroller General of the United States. Our responsibilities under those standards are further described in the Auditor's Responsibilities for the Audit of the Financial Statements section of our report.
We are required to be independent of the Trust and to meet our other ethical responsibilities, in accordance with the relevant ethical requirements relating to our audit. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
Responsibilities of Management for the Financial Statements
Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America, and for the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.
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270 Washington Street, SW, Suite 4-101 Atlanta, Georgia 30334 | Phone (404) 656-2180

In preparing the financial statements, management is required to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Trust's ability to continue as a going concern for twelve months beyond the financial statement date, including any currently known information that may raise substantial doubt shortly thereafter.
Auditor's Responsibilities for the Audit of the Financial Statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor's report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and therefore is not a guarantee that an audit conducted in accordance with GAAS and Government Auditing Standards will always detect a material misstatement when it exists. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there is a substantial likelihood that, individually or in the aggregate, they would influence the judgment made by a reasonable user based on the financial statements.
In performing an audit in accordance with GAAS and Government Auditing Standards, we:
Exercise professional judgment and maintain professional skepticism throughout the audit.
Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements.
Obtain an understanding of internal control relevant to the audit 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 Trust's internal control. Accordingly, no such opinion is expressed.
Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluate the overall presentation of the financial statements.
Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial doubt about the Trust's ability to continue as a going concern for a reasonable period of time.
We are required to communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit, significant audit findings, and certain internal control related matters that we identified during the audit.
Emphasis of Matter
As discussed in Note 1 to the financial statements, the financial statements present only the Office of the State Treasurer Local Government Investment Pool Trust of the State of Georgia and do not purport to, and do not, present fairly the financial position of the Office of the State Treasurer of the State of
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Georgia, or the State of Georgia, as of June 30, 2022, or the changes in its financial position for the year then ended in accordance with accounting principles generally accepted in the United States of America. Our opinion is not modified with respect to this matter.
Required Supplementary Information
Accounting principles generally accepted in the United States of America require that the Management's Discussion and Analysis be presented to supplement the basic financial statements. Such information is the responsibility of management and, although not a part of the basic financial statements, is required by the Governmental Accounting Standards Board who 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 GAAS, 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 appropriate evidence to express an opinion or provide any assurance.
Supplementary Information
Our audit was conducted for the purpose of forming an opinion on the financial statements that collectively comprise the Trust's basic financial statements. The accompanying supplementary information, as listed in the table of contents, is presented for the purposes of additional analysis and is not a required part of the basic financial statements.
The supplementary information is the responsibility of management and was derived from and relates directly to the underlying accounting and other records used to prepare the basic financial statements. Such information has been subjected to the auditing procedures applied in the audit of the basic financial statements and certain additional procedures, including comparing and reconciling such information directly to the underlying accounting and other records used to prepare the basic financial statements or to the basic financial statements themselves, and other additional procedures in accordance with GAAS. In our opinion, the information is fairly stated, in all material respects, in relation to the basic financial statements as a whole.
Other Reporting Required by Government Auditing Standards
In accordance with Government Auditing Standards, we have also issued our report dated November 7, 2022 on our consideration of the Trust's internal control over financial reporting and on our tests of its compliance with certain provisions of laws, regulations, contracts, and grant agreements and other matters. The purpose of that report is solely to describe the scope of our testing of internal control over financial reporting and compliance and the results of that testing, and not to provide an opinion on the effectiveness of the Trust's internal control over financial reporting or on compliance. That report is an integral part of an audit performed in accordance with Government Auditing Standards in considering the Trust's internal control over financial reporting and compliance.
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A copy of this report has been filed as a permanent record and made available to the press of the State, as provided for by Official Code of Georgia Annotated section 50-6-24. Respectfully submitted, Greg S. Griffin State Auditor November 7, 2022
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Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)

The Office of the State Treasurer (OST) for the State of Georgia provides the Management's Discussion and Analysis of the Local Government Investment Pool (LGIP) Trust's Financial Statements. The LGIP Trust consists of four offerings: Georgia Fund 1 (GF1), Georgia Fund 1 Plus (GF1 Plus), Georgia Extended Asset Pool (GEAP), and Georgia Extended Asset Pool Plus (GEAP Plus); and the LGIP Trust Reserve. This overview and analysis of the LGIP Trust's financial activity is for the fiscal year (FY) ended June 30, 2022.

Financial Highlights

GF1

At fiscal year-end, GF1 reported a net position in the amount of $27.9 billion. GF1's net position increased by $4.5 billion over the previous fiscal year. Net yield paid to participants ranged from 4 basis points (bp) to 108 bp for FY22.

GF1 Plus At fiscal year-end, GF1 Plus reported a net position in the amount of $12 billion. The net position for GF1 Plus increased by $4.2 billion over the previous fiscal year. Net yield paid to participants ranged from 17 bp to 120 bp for FY22.

GEAP At fiscal year-end, GEAP reported a net position in the amount of $0 million. The net yield earned by participants for FY22 was 0.01%

GEAP Plus At fiscal year-end, GEAP Plus reported a net position in the amount of $2.4 billion. The net position for GEAP Plus increased by $2.2 billion over the previous fiscal year. The net yield earned by participants for FY22 was 0.28% - 0.51%. (See Note 1 to the Financial Statements.)

Overview of the Financial Statements
The financial statements report the aggregate activities of GF1, GF1 Plus, GEAP, GEAP Plus, and the LGIP Trust Reserve. GF1 is managed by OST to maintain a stable NAV of $1.00 and is rated AAAf/S1 by Fitch Ratings. The primary objective since the pool's inception is preservation of principal. OST continues to operate and report monthly to participants on an amortized cost basis. Per the Governmental Accounting Standards Board (GASB), to qualify for the use of amortized cost accounting for financial reporting purposes, an investment pool must meet all the criteria listed in GASB Statement No. 79 (Certain External Investment Pools and Pool Participants). GF1 is managed as a stable NAV pool but does not comply with all the requirements listed in GASB No. 79. Therefore, the investments of GF1 are reported at fair market value at fiscal year-end.
GF1 Plus is primarily managed by OST's investment staff with a portion of the pool invested by a subadvisor. GF1 Plus is managed to maintain a stable $1.00 NAV and accrues investment income on a daily basis. GF1 Plus distributes income to participants on a monthly basis and reinvests at $1.00 based on the amortized cost of the investments in the pool. GF1 Plus is managed as a stable NAV pool but does not comply with all the requirements listed in GASB No. 79. Therefore, the investments of GF1 Plus are reported at fair market value at fiscal year-end.
GEAP Plus was established on July 1, 2018, and GEAP was established on July 1, 2019. Both offerings are comprised of individual Target Maturity Portfolios (TMPs). GEAP and GEAP Plus investments are invested by a subadvisor. As of June 30, 2022, GEAP did not have any outstanding TMPs, and GEAP Plus

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Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)
consists of 11 individual TMPs. TMP maturities ranged from one month to 2.3 years. Participants may invest in any new TMP offerings. Each TMP is managed to provide principal and income at maturity consistent with maintaining preservation of principal if held to maturity. The participant account values and yields are determined by using the amortized cost valuation method. Securities are initially valued at cost. Thereafter, discounts are accreted, and premiums are amortized to maturity, regardless of the impact of changes in interest rates on the market value of securities. All earned interest is reinvested within each respective TMP and paid at maturity. The investments of GEAP Plus are reported at fair market value at fiscal year-end.
The LGIP Trust's Financial Statements consist of the Statement of Net Position, Statement of Changes in Net Position, and Notes to the Financial Statements. The following is a description of the basic financial statements:

Statement of Net Position The Statement of Net Position presents the assets and liabilities of the LGIP Trust. The difference between the assets and liabilities is reported as net position. The Statement of Net Position provides a breakdown of participants.

Statement of Changes in Net Position The Statement of Changes in Net Position presents information on how the net position changed during the fiscal year. Additions consist of contributions from participants and net investment income. Deductions consist of distributions to participants and operating expenses.

Notes to the Financial Statements The Notes to the Financial Statements describe the LGIP Trust as a reporting entity and further clarify financial activity as reported in the Financial Statements.

Net Position

GF1 GF1 experienced an increase in net position of $4.5 billion in FY22. Total assets were higher compared to the previous fiscal year. The change in net position in FY22 versus FY21 resulted primarily from changes in deposits and withdrawals of the participants in the pool. Aggregate deposits increased by 13%, and withdrawals increased by 9% in comparison to FY21. GF1's net position is a function of several parameters some of which are independent of the pool's performance. The State of Georgia experienced significant revenue growth in FY22 resulting in increased balances in State Funds. Also, boards of education and local government accounts grew in FY22. OST has discretion to transact deposits and withdrawals from certain state accounts including the State General Fund account to optimize earnings and liquidity. GF1 is a voluntary investment option for state and local government entities.

Summaries of the net position as of June 30 for GF1 are presented below (amounts in thousands):

Cash and Cash Equivalents Investments in Securities Accrued Interest and Other Receivables Net Position

2022 $ 13,211,494
14,684,131 18,537
$ 27,914,162

2021 $ 9,850,909
13,516,754 2,838
$ 23,370,501

Variance $ 3,360,585
1,167,377 15,699
$ 4,543,661

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Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)

Below are charts reflecting the assets of GF1, the maturity distribution of holdings, and participant information at June 30, 2022. Historical information can be found on the website at www.ost.ga.gov.

GF1 Asset Detail

Supranationals 4.67%
Municipal Bonds 0.23%

U.S. Treasuries 16.56%

Repos 7 Days 12.14%

Repos > 7 Days 22.69%

Money Market Mutual Funds 2.43%

FHLB 18.89%

FFCB 10.87%

Bank Demand Deposits 11.52%

30%

28.41%

25%

20%

15%

10%

5%

0% Overnight

GF1 Maturity Distribution

15.86%

19.83%

13.43%

19.82%

2.65% 2-7 days

8-30 days

31-90 days

91-180 days

181+ days

7

Cities 7%

Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)
GF1 Participant Distribution

Counties 20%

College & Univ. 2%

Special Dist. 1.96%

State General Funds 27%

Fed. Stimulus Funds 0.03%

Boards of Ed. 20%

Revenue Shortfall Reserve 0.01%
State Agency Funds 22%

GF1 Plus GF1 Plus was established as an LGIP investment option in FY17 for the state, state agencies, and eligible municipalities looking to benefit from higher yields available by adding credit exposure. The net position of GF1 Plus is a function of several parameters some of which are independent of the pool's performance. In FY22, GF1 Plus experienced an increase in net position of $4.2 billion. Total assets were higher compared to last fiscal year. The FY22 net position increased as a result of higher balances for the State General Fund and Revenue Shortfall Reserve offset with decreases in OPEB (K-12), and OPEB (State) accounts. GF1 Plus invested in GEAP Plus TMPs to provide longer duration, buy and hold positions that would not interfere with the more actively managed duration positions in the GF1 Plus Rates portfolio.

Summaries of the net position as of June 30 for GF1 Plus are presented below (amounts in thousands):

Cash and Cash Equivalents Investments in Securities Accrued Interest and Other Receivables Less: Accrued Expenses and Other Payables Net Position

2022 $ 6,683,884
5,335,532 6,815 654
$ 12,025,577

2021 $ 3,519,867
4,334,537 2,397 466
$ 7,856,335

Variance $ 3,164,017
1,000,995 4,418 188
4,169,242

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Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)
Below are charts reflecting the assets of GF1 Plus, the maturity distribution of holdings, and participant information at June 30, 2022. Historical information can be found on the website at www.ost.ga.gov.
GF1 Plus Asset Detail

Corporates 0.12%
Municipal 0.27%
CP 13.28%

GEAP Plus TMP Bank Demand

12.00%

Deposits 1.72%

CD 10.11%

Supranationals 0.68% Sovereign Credit 0.21% U.S. Treasury 3.94%

FHLB 3.95%

Asset-Backed Securities 0.84%

Repos > 7 Days 52.88%

45%

40%

35%

30%

25%

20%

15%

10%

5%

3.02%

0% Overnight

GF1 Plus Maturity Distribution
42.43%
24.74%

23.46%

1.47% 2-7 days

4.88%

8-30 days

31-90 days

91-180 days

181+ days

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Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)

GF1 Plus Participant Distribution

GDOT 23%

Lottery for Education Reserve 4.98%

OPEB (State) 0.01%
OPEB (K-12) 0.01%

State General Funds
30%

Revenue Shortfall Reserve
35%

GEFA 7%
GEAP GEAP is a series of TMPs with maturities up to five years. The participant account value and yield are determined by using the amortized cost valuation method. This involves initially valuing a security at cost and thereafter accreting to maturity any discount or amortizing to maturity any premium, regardless of the impact of changes in interest rates affecting the market value of the underlying investments. The reduction in Net Position in FY22 over FY21 was due to the investment of maturing TMPs into GEAP Plus. GEAP is managed by a subadvisor overseen by OST. OST does not expect to utilize GEAP in the upcoming fiscal year.

Summaries of the net position as of June 30 for GEAP is presented below (amounts in thousands):

Cash and Cash Equivalents Investments in Securities Accrued Interest and Other Receivables Less: Accrued Expenses and Other Payables Net Position

2022

$

-

-

-

-

$

-

2021

$

1,929

40,161

121

5

$

42,206

Variance

$

(1,929)

(40,161)

(121)

(5)

$ (42,206)

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Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)

GEAP Plus GEAP Plus is a series of TMPs with maturities up to five years. The participant account value and yield are determined by using the amortized cost valuation method. This involves initially valuing a security at cost and thereafter accreting to maturity any discount or amortizing to maturity any premium, regardless of the impact of changes in interest rates affecting the market value of the underlying investments. The investments of GEAP Plus TMPs are reported at fair market value at fiscal year-end. The increase in Net Position in FY22 over FY21 was due to investments from GF1 Plus and GEAP that matured and were reinvested in GEAP Plus TMPs. GEAP Plus is managed by a subadvisor overseen by OST.

Summaries of the net position as of June 30 for GEAP Plus are presented below (amounts in thousands):

Cash and Cash Equivalents Investments in Securities Accrued Interest and Other Receivables Less: Accrued Expenses and Other Payables Net Position

2022

$

11,110

2,382,162

4,341

308

$ 2,397,305

2021

$

7,905

182,121

1,440

24

$ 191,442

Variance

$

3,205

2,200,041

2,901

284

$ 2,205,863

Below are charts reflecting the assets of GEAP Plus, the maturity distribution of holdings, and participant information at June 30, 2022. Historical information can be found on the website at www.ost.ga.gov.
GEAP Plus Asset Detail

CP 1.84%
CDs 2.11%
GF1 0.16%

Corporates 4.63%

Money Market Mutual Funds 0.31%

U.S. Treasuries 90.95%

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Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)
GEAP Plus Maturity Distribution

100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0%

0.88% Overnight

0.00% 2 - 7 Days

87.43%

10.27% 8 - 30 Days

0.00% 31 - 90 Days

1.42% 91 - 180 Days

181+ Days

OPEB State 28.62%

OPEB K-12 10.55%

GEAP Plus Participant Distribution

GF1 Plus 60.83%
LGIP Trust Reserve The LGIP Trust Reserve retains all unexpended administrative fees and interest earned on the reserve balance. According to O.C.G.A 36-83-8(l), "payments of amounts for administrative expenses shall be deemed contractually obligated funds held in trust for the benefit of the local government investment pool and shall not lapse" and will be held in trust for the benefit of the LGIP. The LGIP Trust Reserve is to be maintained for the benefit of all LGIP participants, whether pooled participants or separately managed accounts, and may be utilized at the discretion of the State Treasurer for the benefit of the LGIP. As of June 30, 2022, the LGIP Trust Reserve's net position was $44.03 million reflecting an increase in net position of $8.0 million in FY22. The LGIP Trust Reserve's net position is primarily a function of the
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Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)
administrative fees collected from the four offerings in the LGIP Trust less operating expenses related to management of the offerings. During FY22, the State Treasurer assessed an administrative fee of 5 basis points on the average daily balances of participant accounts for GF1 and the daily fund balance for GF1 Plus, GEAP, and GEAP Plus. However, a portion of the GF1 administrative fee was waived from July 2021 through December 2021. Such administrative fee waivers were directed by the State Treasurer as provided for in the LGIP Trust Policy.

Change in Net Position

GF1 Net investment income (i.e., total investment income plus miscellaneous income less administrative expenses) increased 179% compared to FY21. This increase was primarily due to an increase in GF1's portfolio yield from FY21 and growth in balances. Aggregate deposits increased by 13%, and withdrawals increased by 9% in comparison to FY21. Approximately $4.2 billion of State General and Revenue Shortfall Reserve funds were transferred to GF1 Plus in FY22.

The Federal Open Market Committee (FOMC) maintained Fed Funds in the 0.00% - 0.25% until March. The FOMC increased rates by 25bp during March, 50bp during May, and 75bp during June. The FOMC reacted to inflationary pressures by beginning to raise rates aggressively. These rate increases began to be reflected in short term securities. As a result, GF1 experienced higher yields during the late part of FY22 and higher investment income and distributions of earnings to participants. GF1 distributes income to participants monthly, based on their average daily balance. Distributions include interest income based on stated rates (both received and accrued), amortization of discounts and premiums on a straight-line basis, realized investment gains and losses calculated on an amortized cost basis, and are net of investment expenses and administrative fees.

Summaries of the changes in the net position as of June 30 for GF1 are presented below (amounts in thousands):

Net Investment Income Pool Participant Deposits and Reinvestment of Distributions Less: Distribution of Earnings Less: Pool Participant Withdrawals Change in Net Position

2022

2021

Variance

$

49,074 $

17,606 $

31,468

76,642,655 62,623
72,085,445 $ 4,543,661

68,060,048 17,986
65,900,779 $ 2,158,889

8,582,607 44,637
6,184,666 $ 2,384,772

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Billions

Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)
GF1 Average Monthly Balances

$35
FY 2022 $30

$25

$20

FY 2021

$15

$10

$5

$0 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

FY 2021

FY 2022

GF1 Plus Net investment income (i.e., total investment income plus miscellaneous income less administrative expenses) decreased 279% compared to FY21. This decrease was primarily due to an unrealized decrease in the fair market value of the TMP holdings offset by higher yields and growth in balances during FY22. The higher portfolio yield resulted from an increasing yield curve in both short-term treasury and credit markets starting in October 2021 and continuing into fiscal year end as the market anticipated higher rates.

Balances increased due to deposits from the State General Funds and the Revenue Shortfall Reserve during different points in FY22 of approximately $4.2 billion.

Summaries of the changes in the net position as of June 30 for GF1 Plus are presented below (amounts in thousands):

Net Investment Income Pool Participant Deposits and Reinvestment of Distributions Less: Distribution of Earnings Less: Operating Expense Less: Pool Participant Withdrawals Change in Net Position

2022

2021

$ (29,914) $

16,694

Variance $ (46,608)

7,629,154 44,233 844
3,384,921 $ 4,169,242

2,083,504 16,095 600 -
$ 2,083,503

5,545,650 28,138 244
3,384,921 $ 2,085,739

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Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)
GF1 Plus Average Monthly Balances

$14 FY 2022
$12
$10
$8 FY 2021
$6
$4

$2

$0 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

FY 2021

FY 2022

Billions

GEAP GEAP was established in July of FY20 as an investment for the LGIP Trust, including OPEB Trust funds. GEAP TMPs were initially funded with approximately $163 million of OPEB Trust funds. No additional TMP funds were received for investment into TMPs in FY22. Earned interest was retained in each TMP. The decline in Net Investment Income resulted mostly from a reduction in GEAP TMP balances as maturing GEAP TMPs were reinvested into GEAP Plus TMPs during FY22. In accordance with the OPEB Trust Investment Policy, OPEB Trust funds from maturing TMPs were partly distributed for reinvestment in equity investments managed by the Division of Investment Services of the Teachers Retirement System of Georgia. The remainder of OPEB Trust principal and interest was reinvested in GF1 Plus.

A summary of the changes in the net position as of June 30 for GEAP is presented below (amounts in thousands):

Net Investment Income Participant Deposits and Reinvestment of Distributions Less: Distribution of Earnings Less: Operating Expense Less: Participant Withdrawals Change in Net Position

2022

2021

$

6$

1,093

Variance

$

(1,087)

1

1,066

(1,065)

1

1,067

(1,066)

5

26

(21)

42,207

83,475

(41,268)

$ (42,206) $ (82,409) $

40,203

GEAP Plus GEAP Plus was established in July of FY19 as an investment for the LGIP Trust, including OPEB Trust funds. Earned interest was retained in each TMP. The decline in Net Investment Income resulted from the unrealized loss on the investments in GEAP Plus due to the rising interest rate environment. The net position increase in FY22 over FY21 was due to GF1 Plus, OPEB K-12, OPEB State, and GEAP maturity investments into TMPs. There were approximately $326 million of maturing GEAP Plus TMPs reinvested in new GEAP Plus TMPs. In accordance with the OPEB Trust Investment Policy, OPEB Trust funds from

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Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)

maturing TMPs were partly distributed for reinvestment in equity investments managed by the Division of Investment Services of the Teachers Retirement System of Georgia.

Summaries of the changes in the net position as of June 30 for GEAP Plus are presented below (amounts in thousands):

Net Investment Income Participant Deposits and Reinvestment of Distributions Less: Distribution of Earnings Less: Operating Expense Less: Participant Withdrawals Change in Net Position

2022

2021

$ (67,981) $

10,533

Variance $ (78,514)

2,609,696 8,906 709
326,237 $ 2,205,863

10,303

2,599,393

10,307

(1,401)

228

481

1,323,086

(996,849)

$ (1,312,785) $ 3,518,648

LGIP Trust Reserve The LGIP Trust Reserve retains all unexpended administrative fees and interest earned on the reserve balance. The LGIP Trust Reserve grew $8 million from $36 million in FY21 to $44.03 million in FY22. This resulted in a 22% increase in net position of the LGIP Trust Reserve for FY22. Interest income on the LGIP Trust Reserve increased by 173% due to increase in the yield on its investments. Administrative fees from the offerings in the Trust increased by 13% compared to FY22.
Monthly Yield
GF1 The annualized monthly net yield distributed to participants represents the annualized percent return of GF1 investments based on net investment income distributed to participants' average daily balances in the pool. GF1's yield is closely tied to the Fed Funds target which is a rate to which other money market rates are anchored. GF1 invests in high quality investments that are permitted by the OST Investment Policy, as approved by the State Depository Board. These maturities are typically 397 days or less.
GF1 Monthly Net Yields

1.20% 1.00%

FY 2022

0.80%

0.60%

0.40%

0.20%

FY 2021

0.00%

Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

FY2021

FY2022

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Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)
GF1 Plus The monthly net yield represents the annualized percent return of GF1 Plus investments. GF1 Plus performance is measured against the net yield for GF1.
GF1 Plus Monthly Net Yields

1.40% 1.20%

FY 2022

1.00%

0.80%

0.60%

0.40% 0.20%

FY 2021

0.00%

Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

FY2021

FY2022

GEAP Plus The monthly net yield represents the annualized percent return of GEAP Plus investments. GEAP Plus TMPs are invested in obligations of the U.S. Treasury, obligations of U.S. Government Sponsored Entities, and up to 35% in high quality credit instruments. Each TMP seeks to achieve a return for a given holding period that outperforms the return of a similar maturity U.S. Treasury.
GEAP Plus Monthly Net Yields

2.25% 2.00% 1.75% 1.50% 1.25% 1.00% 0.75% 0.50% 0.25% 0.00%

FY 2021

FY 2022

Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

FY 2021

FY 2022

17

Local Government Investment Pool Trust Management's Discussion and Analysis (Unaudited)
FY23 Outlook Beginning in March of 2022, the Federal Open Market Committee (FOMC) began an aggressive shift in monetary policy and increased the Federal Funds Rate by 25-basis points. Following the March meeting, the Fed further increased the Federal Funds Rate at the May, June and July meetings by 50-basis points, 75-basis points, and 75-basis points respectfully. The aggressive shift in monetary policy was brought on by inflationary concerns due to excessive government stimulus, supply chain issues and disruptions in the global economy caused by Russia's invasion of Ukraine. As of July 2022, the Consumer Price Index (CPI) stood at 8.5% (YoY), a 40 year high. The aggressive actions of the FOMC have also created some concerns in the market and fear of a recession are present. We saw back-to-back contractions on Q1 2022 and Q2 2022 U.S. Gross Domestic Product (GDP), which by traditional standards would indicate that the U.S. economy is in a recession. The FOMC dismissed the notion of a recession citing that the strong employment data offset the contractions in GDP. Due to the fear of a recession, the market has priced in interest rate cuts beginning Q4 of 2023. Based on these factors we expect the Fed to continue tightening rates for the remainder of 2022 and then pause before easing in the later part of 2023. In managing GF1, OST expects to experience continued tightening in monetary policy by the FOMC. We expect that the FOMC will continue to raise interest rates until inflationary pressures stabilize. Our strategy will be defensive in nature, keeping GF1's Weighted Average Maturity (WAM) low so the portfolio is more reactive to rising interest rates. To accomplish this, we will maintain higher weightings in overnight repurchase agreements and floating rate notes. This strategy will also allow us to efficiently deploy assets in longer tenor fixed maturities if we see a shift in monetary policy from the FOMC. In managing GF1 Plus and GEAP Plus, OST's strategy will continue to maintain relatively short maturities to take advantage of expected FOMC rate increases through the remainder of 2022. This strategy will allow the opportunity to increase duration and yield once FOMC has determined inflationary pressure is subsiding. GF1 Plus and GEAP Plus will continue using high quality credit securities to add additional yield to the portfolio.
18

BASIC FINANCIAL STATEMENTS

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Local Government Investment Pool Trust Statement of Net Position As of June 30, 2022

(amounts in thousands)

Assets

Cash and Cash Equivalents

$

Investments in Securities

Accrued Interest and Other Receivables TOTAL ASSETS

Liabilities

Accrued Expenses and Other Payables TOTAL LIABILITIES

TOTAL NET POSITION

$

Net Position Consists of

Net Position Held in Trust for Internal Participants

$

Net Position Held in Trust for External Participants

Restricted Reserve Funds

Unrealized Fair Market Value Adjustment

TOTAL NET POSITION

$

19,944,745 20,959,377
29,060 40,933,182
524 524 40,932,658
27,502,190 13,552,337
44,031 (165,900) 40,932,658

The notes to the financial statements are an integral part of this statement. 21

Local Government Investment Pool Trust Statement of Changes in Net Position
For the Fiscal Year Ended June 30, 2022

(amounts in thousands)

Additions

Interest Income

$

Net Increase (Decrease) in Fair Value of Investments

Net Investment Income

Participant Deposits and Reinvestment of Distributions

TOTAL ADDITIONS

$

Deductions

Distribution of Earnings

$

Operating Expenses

Participant Withdrawals

TOTAL DEDUCTIONS

$

Change in Net Position

Net Position

Beginning of Year

End of Year

$

119,490 (96,545) 22,945 85,205,902 85,228,847
115,763 8,408
75,657,685 75,781,856
9,446,991
31,485,667 40,932,658

The notes to the financial statements are an integral part of this statement. 22

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022
(1) Significant Accounting Policies
Reporting Entity
Georgia Fund 1 ("GF1"), Georgia Fund 1 Plus ("GF1 Plus"), Georgia Extended Asset Pool ("GEAP"), and Georgia Extended Asset Pool Plus ("GEAP Plus") are investment offerings of the Local Government Investment Pool Trust (the "LGIP Trust" or "Trust") and are investment offerings for the State of Georgia (the "State") and local governments, including state agencies, colleges and universities, counties, school districts, special districts, or any department, agency, or board of a political subdivision. The State Depository Board ("Board") prescribes cash management policies and procedures for the State and provides oversight for the offerings. The Board meets regularly and is comprised of the Governor, the State Chief Financial Officer, the State Accounting Officer, the Commissioner of Transportation, the Commissioner of Banking and Finance, the State Revenue Commissioner, and the State Treasurer. The offerings are managed by the Office of the State Treasurer ("OST"). The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America as issued by the Governmental Accounting Standards Board ("GASB") which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date the financial statements were issued have been evaluated in the preparation of the financial statements. All applicable pronouncements required by GASB are presented in the financial statements. The offerings in the Trust are not registered with the SEC.
GF1 is managed as a stable Net Asset Value ("NAV") pool. Investments are restricted to those enumerated in O.C.G.A. 50-5A-7, 50-17-2, 50-17-27, 50-17-63, 36-83-2, and 36-83-4. The primary objectives of the pool are safety of capital, liquidity, investment income, and diversification. GF1 participant deposits are not guaranteed or insured by any bank, the Federal Deposit Insurance Corporation ("FDIC"), the State, or any other government agency. It is possible to lose money investing in GF1.
OST operates GF1 and provides monthly statements of balances and interest income to participants on an amortized cost basis. While GF1 transacts at $1.00 based on the amortized cost of the investments in the pool, GF1 participants should report their investments in GF1 at their respective fiscal year end at fair market value. The fair market valuation factor for GF1 at June 30, 2022, was $1.00.
GF1 Plus is managed as a stable NAV pool. It was established as an alternative to GF1 to provide higher yields by increasing credit exposure. The credit portion of the pool is managed by a subadvisor. GF1 Plus participant deposits are not guaranteed or insured by any bank, the FDIC, the State, or any other government agency. It is possible to lose money investing in GF1 Plus.
Similar to GF1, GF1 Plus transacts at $1.00 based on the amortized cost of the investments in the pool. Participants should report their investments in GF1 Plus at fair value. The current fair market valuation factor for GF1 Plus at June 30, 2022, was $0.99.
GEAP and GEAP Plus are comprised of individual Target Maturity Portfolios ("TMPs") with maturities up to five years. As of June 30, 2022, GEAP did not have any outstanding TMPs, and GEAP Plus consists of 11 individual TMPs. The TMPs are presented as combined on the Financial Statements, including Statement of Net Position and Statement of Changes in Net Position. New TMP offerings are available to participants that do not expect to need access to their investment prior to the termination date of the TMP. Each TMP is independent from all other TMPs. If one TMP loses value, no other TMP is impacted by such loss. The participant account value and yield are determined by using the amortized cost valuation method. This involves initially valuing a security at cost and thereafter accreting to maturity any discount or amortizing to maturity any premium, regardless of the impact of changes in interest rates in the market value of the underlying investments. GEAP and GEAP Plus are managed by a subadvisor overseen by
23

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022
(1) Significant Accounting Policies (Continued)
OST. In FY 22, all GEAP TMPs matured and the proceeds were reinvested in new GEAP Plus TMPs and equities investments by the Division of Investment Services of the Teachers' Retirement System.
The accompanying financial statements present the financial position of only GF1, GF1 Plus, GEAP, GEAP Plus, and the LGIP Trust Reserve. These do not include any other agencies or component units of the State or any other funds of OST. In the State's Annual Comprehensive Financial Report, the Trust is not reported as a separate fund. Instead, the State's portion of the Trust is reported on the balance sheet as "Pooled Investments in State Treasury." The portion of the Trust belonging to external participating institutions is reported as the Investment Trust Fund.
Changes in Financial Accounting and Reporting
In FY22, the Trust did not implement any new GASB Statements.
Basis of Accounting
The accompanying statements are prepared based on the flow of economic resources measurement focus and the accrual basis of accounting. Under the accrual basis of accounting, revenues are recognized in the accounting period in which they are earned and realized. Expenses are recognized in the period incurred.
Cash and Cash Equivalents
Cash includes bank deposits, which are reported at carrying value. Cash equivalents are short-term, highly liquid investments that are both readily convertible to known amounts of cash and so near the maturity that they present insignificant risk of changes in value because of changes in interest rates. Generally, investments with original maturities of three months or less meet this definition.
Investments
All offerings generally value investments as follows:
All investments except repurchase agreements, non-negotiable certificates of deposit ("CD"), direct-issued commercial paper, and other such nonparticipating investments are priced at fair value.
Per GASB 31, repurchase agreements, non-negotiable CD's, direct-issued commercial paper, and other such nonparticipating investments are carried at cost because they are nonparticipating contracts that do not capture interest rate changes in their value.
Security transactions are accounted for on a trade date basis which means that the purchases and sales of securities are recorded on the day the trade takes place with a corresponding payable or receivable.
State of Georgia Code 50-5A-7 stipulates "Pursuant to an investment policy adopted by the State Depository Board, the Office of the State Treasurer shall invest funds through the state treasurer." This policy, Investment Policy for the Office of the State Treasurer, pertains to the investment of state funds, public funds comprising the Local Government Investment Pool, and other funds in the possession of OST. Through the investment policy, the LGIP Trust is authorized to invest in such securities permitted in the Code references 50-5A-7, 50-17-2, 50-17-27, 50-17-63, 36-83-2, and 36-83-4. Such investments include:
Repurchase agreements Certificates of deposit Commercial paper
24

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022
(1) Significant Accounting Policies (Continued) Bank deposits held for investment purposes Prime bankers acceptances Municipal bonds Corporate obligations Foreign sovereign credit The International Bank for Reconstruction and Development or the International Financial Corporation GF1, GF1+, and GEAP+ and any other funds comprising the LGIP Trust Asset-backed securities Commercial mortgage-backed securities Money market mutual funds U.S. Agency obligations, including government-sponsored enterprises ("GSEs") U.S. Treasury obligations
Investment Income, Gains, and Losses, Expenses, and Distributions GF1 is managed to maintain a stable $1.00 NAV. For purposes of calculating earnings to each participant, all investments are valued at amortized cost. The pool distributes income to participants monthly, based on their average daily balance. Distributions include interest income based on stated rates (both received and accrued), amortization of discounts and premiums on a straight-line basis, realized investment gains and losses calculated on an amortized cost basis, and are net of investment expenses and administrative fees. GF1 Plus is managed to maintain a stable $1.00 NAV and accrues investment income on a daily basis. GF1 Plus distributes income to participants on a monthly basis and reinvests at $1.00 based on the amortized cost of the investments in the pool. GEAP and GEAP Plus are comprised of individual TMPs. Each TMP is managed to provide principal and income upon maturity consistent with maintaining preservation of principal if held to maturity. The participant account values and yields are determined by using the amortized cost valuation method. Securities are initially valued at cost. Thereafter any discounts are accreted and any premiums are amortized to maturity, regardless of the impact of changes in interest rates on the market value of securities. All earned interest is reinvested within the respective TMP and paid at maturity. For each offering, unrealized gains (losses) are reported in the equity section of the Statement of Net Position as "Unrealized Fair Market Value Adjustment." Changes in the fair value of marketable securities are recognized at the end of the fiscal year.
25

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022
(1) Significant Accounting Policies (Continued)
Administrative Fees and LGIP Trust Reserve
According to O.C.G.A. 36-83-8(l), "payments of amounts for administrative expenses shall be deemed contractually obligated funds held in trust for the benefit of the local government investment pool and shall not lapse" and will be held in trust (the "LGIP Trust Reserve") for the benefit of the LGIP. The LGIP Trust Reserve shall retain all unexpended administrative fees and interest earned on the reserve balance. During FY22, OST assessed an administrative fee of 5 basis points on the average daily balances of GF1 participant accounts. Due to historically low rates during FY22, the State Treasurer waived a portion of the GF1 administrative fee. The waiver ranged from 0.5 to 2 basis points from July 2021 through December 2021. For GF1 Plus, GEAP, and GEAP Plus, OST assessed an administrative fee of 5 basis points on the daily fund balance. The total fees assessed were $14.7 million, of which $10.7 million were GF1 fees, $3.7 million were GF1 Plus fees, $422 were GEAP fees, and $305 thousand were GEAP Plus fees.
The LGIP Trust Reserve may be utilized at the discretion of the State Treasurer in the interest of the LGIP. According to the Trust Policy, administrative fees collected from LGIP participants are to be used to fund expenses related to carrying out the investment functions and operations of the OST. The total LGIP Trust expenses paid from the administrative fees collected were $6.9 million resulting in a net increase in the LGIP Trust Reserve of $8 million from administrative fees and interest, leaving a balance of $44 million in the LGIP Trust Reserve.
Investments in Georgia Fund 1 and GEAP Plus
GF1 Plus, GEAP Plus, and the LGIP Trust Reserve invested a portion of their assets in GF1. The portion of the investments in GF1 appears in the Statement of Net Position for GF1 Plus, GEAP Plus, and the LGIP Trust Reserve under the "Cash and Cash Equivalent" account. Additionally, GF1 Plus invested a portion of its assets in GEAP Plus. The portion of the investments in GEAP Plus appears in the Combining Statement of Net Position for GF1 Plus under the asset "Investments in Securities."
In the disclosures for GF1 Plus, the investments in GEAP Plus are listed as "Target Maturity Portfolios" and disclose the risks associated with these TMPs not the underlying securities. The risks for the underlying securities in these TMPs are disclosed in GEAP Plus.
(2) Subsequent Event
For FY22, the Trust did not have any subsequent events.
(3) Investment Disclosures
Interest Rate Risk
Interest rate risk is the risk associated with changes in interest rates that could adversely affect the fair value of an investment. GF1 and GF1 Plus use the weighted average maturity ("WAM") method to analyze interest rate risk. WAM expresses the average time until maturity for the investments in a portfolio weighted to reflect the dollar size of the individual investments within the portfolio. WAM is an acceptable method for reporting interest rate risk according to GASB 40. OST seeks to match investment terms to the cash requirements of the pool.
OST makes the following assumptions when calculating the WAM. The calculation uses the par value of the securities as the dollar size. For securities with interest rate resets, the WAM was calculated to the reset date and not the final maturity date. For callable securities, the securities are calculated to either the call date or the final maturity date depending on OST's expectation that these securities will be called. The
26

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022

(3) Investment Disclosures (Continued)
WAM for securities likely to be called is calculated to the call date, whereas the WAM for securities not likely to be called is calculated to the final maturity date.
GF1 At June 30, 2022, GF1's WAM was as follows:

Investment Type Bank Deposits Held for Investment Purposes Money Market Mutual Fund Municipal Bonds Repurchase Agreements Supranational Obligations U.S. Agency Obligations U.S. Treasury Obligations Total
GF1 WAM (Days)

Carrying Value

(amounts in thousands)

$

3,214,678

678,349

60,892

9,717,758

1,302,215

8,301,662

4,620,073

$

27,895,627

GF1 Plus At June 30, 2022, the WAM for GF1 Plus was as follows:

WAM (Days)
1 1 53 6 63 101 42
43

Investment Type Asset-Backed Securities Bank Deposits Held for Investment Purposes Commercial Paper Corporates GEAP Plus Target Maturity Portfolios(1) Municipal Bonds Negotiable Certificate of Deposit Repurchase Agreements Sovereign Credit Supranational Obligations U.S. Agency Obligations U.S. Treasury Obligations Total
GF1 Plus WAM (Days)

Carrying Value (amounts in thousands)

$

100,393

207,062

1,596,415

14,110

1,442,448 32,968

1,215,582

6,355,360 24,770

82,034

474,891

473,067

$

12,019,100

WAM (Days)
232 1
24 15 655 446 37
4 519 279 697 559
147

(1) The GEAP Plus TMPs consist of the following maturities: October 2023 E, April 2024 E, and October 2024 E.
GEAP At June 30, 2022, the offering had no investments.

27

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022

(3) Investment Disclosures (Continued)

GEAP Plus GEAP Plus uses the duration method to analyze interest rate risk. GEAP Plus is a series of TMPs with an intent to hold securities to maturity. The individual TMPs are not actively managed to respond to interest rate changes. At June 30, 2022, the duration for GEAP Plus was as follows by maturities:

July 2022 D
Investment Type Commercial Paper Corporates Money Market Mutual Fund Negotiable Certificate of Deposit U.S. Treasury Obligations Total

Carrying Value

(amounts in thousands)

$

29,961

6,500

943

36,747

141,901

$

216,052

Duration 0.03 0.04 0.00 0.04 0.04

July 2022 D Duration

0.04

July 2022 F
Investment Type Commercial Paper Money Market Mutual Fund U.S. Treasury Obligations Total
July 2022 F Duration

Carrying Value

(amounts in thousands)

$

13,993

25

26,490

$

40,508

Duration 0.03 0.00 0.04
0.04

January 2023 D
Investment Type Corporates Money Market Mutual Fund U.S. Treasury Obligations Total
January 2023 D Duration

Carrying Value

(amounts in thousands)

$

39,966

2,323

171,076

$

213,365

Duration 0.41 0.00 0.54
0.51

January 2023 F
Investment Type Money Market Mutual Fund Negotiable Certificate of Deposit U.S. Treasury Obligations Total
January 2023 F Duration

Carrying Value

(amounts in thousands)

$

228

13,836

26,095

$

40,159

Duration 0.00 0.54 0.54
0.54

28

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022

(3) Investment Disclosures (Continued)
July 2023 D
Investment Type Corporates Money Market Mutual Fund U.S. Treasury Obligations Total
July 2023 D Duration
July 2023 F
Investment Type Corporates Money Market Mutual Fund U.S. Treasury Obligations Total
July 2023 F Duration
October 2023 E
Investment Type Money Market Mutual Fund U.S. Treasury Obligations Total
October 2023 E Duration
January 2024 A
Investment Type U.S. Treasury Obligations Total
January 2024 A Duration
January 2024 F
Investment Type Corporates Money Market Mutual Fund U.S. Treasury Obligations Total
January 2024 F Duration

Carrying Value

(amounts in thousands)

$

48,954

916

161,537

$

211,407

Duration 0.84 0.00 1.03
0.98

Carrying Value

(amounts in thousands)

$

5,689

74

34,286

$

40,049

Duration 0.93 0.00 1.03
1.01

Carrying Value

(amounts in thousands)

$

229

520,489

$

520,718

Duration 0.00 1.28
1.28

Carrying Value

(amounts in thousands)

$

39,795

$

39,795

Duration 1.47
1.47

Carrying Value

(amounts in thousands)

$

9,772

84

29,861

$

39,717

Duration 1.48 0.00 1.52
1.51

29

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022

(3) Investment Disclosures (Continued)
April 2024 E
Investment Type Money Market Mutual Fund U.S. Treasury Obligations Total
April 2024 E Duration

Carrying Value

(amounts in thousands)

$

911

515,211

$

516,122

Duration 0.00 1.76
1.76

October 2024 E
Investment Type Money Market Mutual Fund U.S. Treasury Obligations Total
October 2024 E Duration

Carrying Value

(amounts in thousands)

$

1,591

510,004

$

511,595

Duration 0.00 2.24
2.24

LGIP Trust Reserve At June 30, 2021, the LGIP Trust Reserve's WAM was as follows:

Investment Type Bank Deposit Total
LGIP Trust Reserve WAM (Days)

Carrying Value (amounts in thousands)

$

42,359

$

42,359

WAM (Days)
1
1

Credit Risk

Credit risk is the risk that an issuer or other counterparty to an investment will not fulfill its obligations to the holder of the investment. For internally managed portfolios, OST utilizes a counterparty risk assessment model to assess the credit risk of counterparties that have been approved to serve as repurchase agreement counterparties or depositories. OST has assigned credit limits to each counterparty based upon the counterparty risk assessment model which incorporates market indicators, default probabilities, issuer research and issuer ratings to determine maximum credit exposure per institution, term of investment for respective counterparties, and collateralization requirements in accordance with the OST Investment Policy. OST's subadvisor utilizes its own credit research in the management of credit risk for the portfolios it invests.

The nationally recognized statistical rating organizations ("NRSROs") rate the long-term senior debt (with original maturity longer than 1 year) of the GSEs with split ratings equivalent to AAA and AA+ ratings. In the credit risk disclosure tables, the rating for the long-term senior debt of the GSEs is listed as AA. The short-term rating of the GSEs is equivalent to an A-1+ rating. The issuing GSEs are rated but specific bonds are not always individually rated.

30

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022

(3) Investment Disclosures (Continued)

GF1

At June 30, 2022, the pool's securities and underlying collateral for repurchase agreements were rated as

follows (amounts in thousands):

Long-Term Ratings

Short-Term

Carrying

Credit Risk Investments

AAA

AA

A

BBB

A-1+

A-1

Value

Money Market Mutual Fund

$ 678,349 $

-

$

-

$

-

$

-

$

-

$ 678,349

Municipal Bonds

-

-

10,800

-

50,092

-

60,892

Repurchase Agreements

124,045

2,783,593

1,239,261

1,528,864

4,339

602,042

6,282,144

Supranational Obligations

1,302,215

-

-

-

-

-

1,302,215

U.S. Agency Obligations

-

8,301,662

-

-

-

-

8,301,662

Total Credit Risk Investments

$ 2,104,609 $ 11,085,255 $ 1,250,061 $ 1,528,864 $ 54,431 $ 602,042 $ 16,625,262

U.S. Treasury Obligations

4,620,073

Repurchase Agreements Backed by:

U.S. Agency Obligations Explicitly Guaranteed

1,027,467

U.S. Treasury Obligations

2,408,146

Total Securities

$ 24,680,948

GF1 Plus

At June 30, 2022, the pool's securities and underlying collateral for repurchase agreements were rated as

follows (amounts in thousands):

Credit Risk Investments Asset-Backed Securities Commercial Paper Corporates GEAP Plus Target Maturity Portfolios Municipal Bonds Negotiable Certificate of Deposit Repurchase Agreements Sovereign Credit Supranational Obligations U.S. Agency Obligations Total Credit Risk Investments

AAA $ 78,110
8,431 63,781 82,034 $ 232,356

Long-Term Ratings

AA

A

$

-

$ 22,283

-

-

-

14,110

-

-

-

24,537

-

-

1,757,951 1,541,429

-

24,770

-

-

474,891

-

$ 2,232,842 $ 1,627,129

BBB

$

-

-

-

-

-

-

2,617,567

-

-

-

$ 2,617,567

A-1+

$

-

234,270

-

-

-

249,174

-

-

-

-

$ 483,444

Short-Term

A-1

$

-

1,362,145

-

-

-

916,531

-

-

-

-

$ 2,278,676

A-2

$

-

-

-

-

-

49,877

-

-

-

-

$ 49,877

Not Rated

$

-

-

-

1,442,448

-

-

-

-

-

-

$ 1,442,448

Carrying Value
$ 100,393 1,596,415 14,110 1,442,448 32,968 1,215,582 5,980,728 24,770 82,034 474,891
$ 10,964,339

U.S. Treasury Obligations Repurchase Agreements Backed by:
U.S. Agency Obligations Explicitly Guaranteed U.S. Treasury Obligations Total Securities

473,067
274,272 100,360 $ 11,812,038

GEAP At June 30, 2022, the offering had no investments.

GEAP Plus At June 30, 2022, the securities in the GEAP Plus offering were rated as follows by TMP maturities (amounts in thousands):

July 2022 D
Credit Risk Investments Commercial Paper Corporates Money Market Mutual Fund Negotiable Certificate of Deposit Total Credit Risk Investments
U.S. Treasury Obligations Total Securities

Long-Term Ratings

AAA

A

$

-

$

-

-

6,500

943

-

-

-

$

943 $ 6,500

Short-Term

A-1+

A-1

$

-

$ 29,961

-

-

-

-

19,987

16,760

$ 19,987 $ 46,721

Carrying Value
$ 29,961 6,500 943
36,747 $ 74,151
141,901 $ 216,052

31

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022

(3) Investment Disclosures (Continued)

July 2022 F
Credit Risk Investments Commercial Paper Money Market Mutual Fund Total Credit Risk Investments
U.S. Treasury Obligations Total Securities

Long-Term Ratings

AAA

$

-

25

$

25

Short-Term A-1
$ 13,993 -
$ 13,993

Carrying Value
$ 13,993 25
$ 14,018
26,490 $ 40,508

January 2023 D
Credit Risk Investments Corporates Money Market Mutual Fund Total Credit Risk Investments
U.S. Treasury Obligations Total Securities

Long-Term Ratings

AAA

A

BBB

$ 9,233 $ 22,187 $ 8,546

2,323

-

-

$ 11,556 $ 22,187 $ 8,546

Carrying Value
$ 39,966 2,323
$ 42,289
171,076 $ 213,365

January 2023 F
Credit Risk Investments Money Market Mutual Fund Negotiable Certificate of Deposit Total Credit Risk Investments
U.S. Treasury Obligations Total Securities

Long-Term Ratings

AAA

$

228

-

$

228

Short-Term

A-1+

$

-

13,836

$ 13,836

Carrying

Value

$

228

13,836

$ 14,064

26,095

$ 40,159

July 2023 D
Credit Risk Investments Corporates Money Market Mutual Fund Total Credit Risk Investments
U.S. Treasury Obligations Total Securities

Long-Term Ratings

AAA

AA

$

-

$ 25,082 $

916

-

$

916 $ 25,082 $

A 23,872
23,872

Carrying Value
$ 48,954 916
$ 49,870
161,537 $ 211,407

32

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022

(3) Investment Disclosures (Continued)

July 2023 F
Credit Risk Investments Corporates Money Market Mutual Fund Total Credit Risk Investments
U.S. Treasury Obligations Total Securities

Long-Term Ratings

AAA

A

$

-

$ 5,689

74

-

$

74 $ 5,689

Carrying Value
$ 5,689 74
$ 5,763
34,286 $ 40,049

October 2023 E
Credit Risk Investments Money Market Mutual Fund Total Credit Risk Investments
U.S. Treasury Obligations Total Securities

Long-Term Ratings

AAA

$

229

$

229

Carrying

Value

$

229

$

229

520,489

$ 520,718

January 2024 A
U.S. Treasury Obligations Total Securities

Carrying Value

$

39,795

$

39,795

January 2024 F
Credit Risk Investments Corporates Money Market Mutual Fund Total Credit Risk Investments
U.S. Treasury Obligations Total Securities

Long-Term Ratings

AAA

AA

$

-

$ 3,587 $

84

-

$

84 $ 3,587 $

A 6,185 6,185

Carrying Value
$ 9,772 84
$ 9,856
29,861 $ 39,717

April 2024 E
Credit Risk Investments Money Market Mutual Fund Total Credit Risk Investments
U.S. Treasury Obligations Total Securities

Long-Term Ratings

AAA

$

911

$

911

Carrying Value

$

911

$

911

515,211 $ 516,122

33

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022

(3) Investment Disclosures (Continued)

October 2024 E
Credit Risk Investments Money Market Mutual Fund Total Credit Risk Investments
U.S. Treasury Obligations Total Securities

Long-Term Ratings

AAA

$

1,591

$

1,591

Carrying Value
$ 1,591 $ 1,591
510,004 $ 511,595

Custodial Credit Risk

Custodial credit risk for deposits is the risk that, in the event of a bank failure, the Trust's deposits may not be fully recovered. The OST Investment Policy specifies safety of capital, liquidity, investment return and diversification as its objectives. In carrying out these objectives, OST maintains balances in accounts in banks approved for investment by the Board.

As of June 30, 2022, bank deposits of the Trust were as follows (amounts in thousands):

Georgia Fund 1 Georgia Fund 1 Plus GEAP GEAP Plus LGIP Trust Reserve
Total

Insured or Collateralized $ 3,214,678
207,063 -
42,359 $ 3,464,100

Uninsured and

Uncollateralized

$

-

-

-

-

-

$

-

Total Bank Balance
$ 3,214,678 207,063 42,359
$ 3,464,100

Concentration of Credit Risk
Concentration of credit risk is the risk associated with losses that may occur due to lack of diversification. Concentration of credit risk is mitigated by limiting the percentage of total investments with any one issuer. OST limits concentration of credit risk by establishing maximum issuer exposure limits based on criteria established using OST's counterparty risk assessment model.
GASB 40 requires the disclosure of the concentration of credit risk in any issuer that represents 5% or more of total investments. As of June 30, 2022, the concentration of credit risk for the offerings in the Trust is as follows:
Approximately 38.23% of GF1 was invested in U.S. agency obligations not explicitly guaranteed by the U.S. Government or in repurchase agreements collateralized with U.S. agency obligations not explicitly guaranteed by the U.S.
Approximately 16.28% of GF1 Plus was invested in U.S. agency obligations not explicitly guaranteed by the U.S. Government or in repurchase agreements collateralized with U.S. agency obligations not explicitly guaranteed by the U.S., and 12% was invested in Target Maturity Portfolios in GEAP Plus.

34

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022

(3) Investment Disclosures (Continued)

At June 30, 2022, in the GEAP Plus offering, the following TMPs had concentrations of credit risk greater than 5%: o Approximately 34.54% of the TMP for July 2022 F was invested in commercial paper by Atlantic Asset Securitization. o Approximately 34.45% of the TMP for January 2023 F was invested in negotiable CDs by Toronto Dominion. o Approximately 14.2% of the TMP for July 2023 F was invested in corporate obligations of Protective Life Global. o Approximately 15.57% of the TMP for January 2024 F was invested in corporate obligations of Caterpillar and 9.03% was invested in corporate obligations of MetLife.

Fair Value Measurements

In accordance with GASB 72, some investments in the offerings are measured using inputs divided into three fair value hierarchies:

Level 1 Unadjusted quoted prices for identical assets or liabilities in active markets that a government can access at the measurement date.
Level 2 Inputs, other than quoted prices included within Level 1, that are observable for an asset or liability, either directly or indirectly. Matrix pricing is used for the securities classified in Level 2 of the fair value hierarchy in the Trust.
Level 3 Unobservable inputs for an asset or liability.

GF1 At June 30, 2022, GF1 has the following investments reported at fair value (amount in thousands):

Investment Type Money Market Mutual Fund Municipal Bonds Supranational Obligations U.S. Agency Obligations U.S. Treasury Obligations Total

Level 1 $ 678,349
4,620,073 $ 5,298,422

Level 2

$

-

60,892

1,302,215

8,301,662

-

$ 9,664,769

Level 3

$

-

-

-

-

-

$

-

Fair Value $ 678,349
60,892 1,302,215 8,301,662 4,620,073 $ 14,963,191

35

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022

(3) Investment Disclosures (Continued)

GF1 Plus At June 30, 2022, GF1 Plus has the following investments reported at fair value (amount in thousands):

Investment Type

Level 1

Asset-Backed Securities

$

-

Commercial Paper

-

Corporates

-

Municipal Bonds

-

Negotiable Certificate of Deposit

-

Sovereign Credit

-

Supranational Obligations

-

U.S. Agency Obligations

-

U.S. Treasury Obligations

473,067

$ 473,067

Reconciling Item:

GEAP Plus Target Maturity Portfolios

Total

Level 2 $ 100,393
1,596,415 14,110 32,968
1,215,582 -
82,034 474,891
$ 3,516,393

Level 3

$

-

-

-

-

-

24,770

-

-

-

$ 24,770

Fair Value $ 100,393
1,596,415 14,110 32,968
1,215,582 24,770 82,034
474,891 473,067 $ 4,014,230
1,442,448 $ 5,456,678

GEAP At June 30, 2022, the offering had no investments.

GEAP Plus At June 30, 2022, GEAP Plus has the following investments reported at fair value (amount in thousands):

Investment Type Commercial Paper Corporates Money Market Mutual Fund Negotiable Certificate of Deposit U.S. Treasury Obligations Total

Level 1

$

-

-

7,324

-

2,176,745

$ 2,184,069

Level 2 $ 43,954
110,881 -
50,583 -
$ 205,418

Level 3

$

-

-

-

-

-

$

-

Fair Value $ 43,954
110,881 7,324 50,583
2,176,745 $ 2,389,487

The remaining investments in the Trust are exempt from GASB 72's disclosure requirement because they are not reported at fair value and are instead valued using cost-based measures.

36

Local Government Investment Pool Trust Notes to the Financial Statements Year Ended June 30, 2022

(4) Equity of Internal and External Participants

Per GASB 31, "The external portion of an external investment pool is the portion that belongs to legally separate entities that are not part of the sponsoring government's financial reporting entity. The internal portion of each external investment pool is the portion that belongs to the primary government and its component units." The following table describes the equity of internal and external participants in the offering's net position, and shows that net position is composed of participants' account balances and the unrealized fair market value adjustment (amounts in thousands):

Internal Participants External Participants Restricted Reserve Funds Unrealized Fair Market Value Adjustment Total Net Position

Georgia Fund 1 $ 14,373,901
13,552,337 1,235

Georgia Fund 1 Plus $ 12,100,569
-

GEAP

$

-

-

-

(13,311)

(74,992)

-

$ 27,914,162 $ 12,025,577 $

-

GEAP Plus $ 2,474,902
-

Trust Reserve

$

-

-

44,031

Eliminations

Total

$ (1,447,182) $ 27,502,190

-

13,552,337

(1,235)

44,031

(77,597) $ 2,397,305 $

-

-

(165,900)

44,031 $ (1,448,417) $ 40,932,658

(5) Involuntary Participation
GASB 31 requires the disclosure of any involuntary participation in the Trust. The Statement defines involuntary participants as "those that are required by legal provisions to invest in the external investment pool." O.C.G.A. 50-5A-7 requires certain internal funds to be invested by the State Treasurer but does not require the funds to be invested in the Trust. External participants are voluntary participants of the offerings.

37

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SUPPLEMENTARY INFORMATION

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Local Government Investment Pool Trust Supplementary Information
Combining Statement of Net Position As of June 30, 2022

(amounts in thousands)
Assets Cash and Cash Equivalents Investments in Securities Accrued Interest and Other Receivables TOTAL ASSETS
Liabilities Accrued Expenses and Other Payables TOTAL LIABILITIES TOTAL NET POSITION

Georgia Fund 1

Georgia Fund 1 Plus

GEAP

$ 13,211,494 $ 6,683,884 $

-

14,684,131

5,335,532

-

18,537

6,815

-

27,914,162

12,026,231

-

-

654

-

-

654

-

$ 27,914,162 $ 12,025,577 $

-

Net Position Consists of

Net Position Held in Trust for

Internal Participants

$ 14,373,901 $ 12,100,569 $

-

Net Position Held in Trust for

External Participants

13,552,337

-

-

Restricted Reserve Funds(1)

1,235

-

-

Unrealized Fair Market Value

Adjustment

(13,311)

(74,992)

-

TOTAL NET POSITION

$ 27,914,162 $ 12,025,577 $

-

GEAP Plus Trust Reserve Eliminations

Total

$

11,110 $

2,382,162

4,341 2,397,613

43,593 -

$

(5,336) $

(1,442,448)

19,944,745 20,959,377

438 44,031

(1,071) (1,448,855)

29,060 40,933,182

308 308 $ 2,397,305 $

44,031

(438) (438) $ (1,448,417) $

524 524 40,932,658

$ 2,474,902 $
-
(77,597) $ 2,397,305 $

-

$ (1,447,182) $ 27,502,190

44,031

(1,235)

13,552,337 44,031

-

-

44,031 $ (1,448,417) $

(165,900) 40,932,658

(1) See Note 1 to the Financial Statements subsection Administrative Fees and LGIP Trust Reserve for more information on the Reserve Funds.

41

Local Government Investment Pool Trust Supplementary Information
Combining Statement of Changes in Net Position For the Fiscal Year Ended June 30, 2022

(amounts in thousands)

Additions Interest Income Net Increase (Decrease) in Fair Value of Investments Less: Administrative Fees Net Investment Income Participant Deposits and Reinvestment of Distributions TOTAL ADDITIONS

Georgia Fund 1

$

63,061

(3,284) (10,703) 49,074

76,642,655 $ 76,691,729

Georgia Fund 1 Plus

$

47,997

(74,177) (3,734) (29,914)

7,629,154 $ 7,599,240

GEAP

$

167

(161) 6

1

$

7

GEAP Plus Trust Reserve

$

13,575 $

(81,251) (305)
(67,981)

2,609,696 $ 2,541,715 $

109
14,742 14,851
14,851

Eliminations

$

(5,419)

62,328 -
56,909.00

(1,675,604) $ (1,618,695)

Total

$

119,490

(96,545) -
22,945

85,205,902 $ 85,228,847

Deductions Distribution of Earnings Operating Expenses Participant Withdrawals TOTAL DEDUCTIONS

$

62,623 $

44,233 $

-

844

72,085,445

3,384,921

$ 72,148,068 $ 3,429,998 $

1$ 5 42,207 42,213 $

8,906 $ 709
326,237 335,852 $

-

$

6,850

-

6,850 $

(181,125) (181,125)

$

115,763

8,408

75,657,685

$ 75,781,856

Change in Net Position

4,543,661

4,169,242

(42,206)

2,205,863

8,001

(1,437,570)

9,446,991

Net Position Beginning of Year End of Year

23,370,501

7,856,335

$ 27,914,162 $ 12,025,577 $

42,206 -

191,442 $ 2,397,305 $

36,030 44,031

(10,847) $ (1,448,417)

31,485,667 $ 40,932,658

42

SECTION II INTERNAL CONTROL AND COMPLIANCE

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Greg S. Griffin State Auditor
INDEPENDENT AUDITOR'S REPORT ON INTERNAL CONTROL OVER FINANCIAL REPORTING AND ON COMPLIANCE AND OTHER MATTERS BASED ON AN AUDIT OF FINANCIAL STATEMENTS PERFORMED IN
ACCORDANCE WITH GOVERNMENT AUDITING STANDARDS
The Honorable Brian P. Kemp, Governor of Georgia Members of the General Assembly of the State of Georgia Members of the State Depository Board
and Mr. Steven N. McCoy, State Treasurer
We have audited the financial statements of the Local Government Investment Pool Trust of the Office of the State Treasurer of the State of Georgia (Trust), as of and for the year ended June 30, 2022, and the related notes to the financial statements, which collectively comprise the Trust's basic financial statements, and have issued our report thereon dated November 7, 2022. We conducted our audit in accordance with the auditing standards generally accepted in the United States of America (GAAS) and the standards applicable to financial audits contained in Government Auditing Standards issued by the Comptroller General of the United States.
Report on Internal Control Over Financial Reporting
In planning and performing our audit of the financial statements, we considered the Trust's internal control over financial reporting (internal control) as a basis for designing audit procedures that are appropriate in the circumstances for the purpose of expressing our opinion on the basic financial statements, but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control. Accordingly, we do not express an opinion on the effectiveness of the Trust's internal control.
A deficiency in internal control exists when the design or operation of a control does not allow management or employees, in the normal course of performing their assigned functions, to prevent, or detect and correct, misstatements on a timely basis. A material weakness is a deficiency, or a combination of deficiencies, in internal control, such that there is a reasonable possibility that a material misstatement of the Trust's financial statements will not be prevented, or detected and corrected, on a timely basis. A significant deficiency is a deficiency, or a combination of deficiencies, in internal control that is less severe than a material weakness, yet important enough to merit attention by those charged with governance.
Our consideration of internal control was for the limited purpose described in the first paragraph of this section and was not designed to identify all deficiencies in internal control that might be material weaknesses or significant deficiencies. Given these limitations, during our audit we did not identify any deficiencies in internal control that we consider to be material weaknesses. However, material weaknesses or significant deficiencies may exist that were not identified.
45
270 Washington Street, SW, Suite 4-101 Atlanta, Georgia 30334 | Phone (404) 656-2180

Report on Compliance and Other Matters As part of obtaining reasonable assurance about whether the Trust's financial statements are free from material misstatement, we performed tests of its compliance with certain provisions of laws, regulations, contracts, and grant agreements, noncompliance with which could have a direct and material effect on the financial statements. However, providing an opinion on compliance with those provisions was not an objective of our audit, and accordingly, we do not express such an opinion. The results of our tests disclosed no instances of noncompliance or other matters that are required to be reported under Government Auditing Standards. Purpose of this Report The purpose of this report is solely to describe the scope of our testing of internal control and compliance and the results of that testing, and not to provide an opinion on the effectiveness of the Trust's internal control or on compliance. This report is an integral part of an audit performed in accordance with Government Auditing Standards in considering the Trust's internal control and compliance. Accordingly, this communication is not suitable for any other purpose. Respectfully submitted,
Greg S. Griffin State Auditor November 7, 2022
46