CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending March 31, 2022
City of Cupertino
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of March 31, 2022
1 SECTION |
Section 1 |
Economic Update
2 Economic Update
▪
▪
▪
The Russian invasion into Ukraine and resulting Western sanctions on Russia have fueled volatility in financial markets. The latest escalation has exacerbated inflationary pressures, particularly in energy and commodities, and has caused tightening conditions in financial markets. While consumer spending and economic growth remain strong, we believe an extended conflict in Eastern Europe along with elevated energy prices increases the risk of an economic slowdown later this year.
While we expect the Fed to tighten monetary policy, the FOMC has very little margin for error as it attempts to combat inflation without pushing the economy into a recession. Over the near-term, we expect financial market volatility to remain elevated and conditions to remain tighter with heightened geopolitical risk, supply chain bottlenecks and persistent inflation, and the Fed's pivot to less accommodative monetary policy.
The Federal Open Market Committee (FOMC) raised the federal funds rate by 0.25% at their March 16th meeting to a target range of 0.25% to 0.50%. The Federal Reserve also ended their bond-buying program as expected in March, which included the purchase of treasury and agency mortgage-backed securities. Fed Chair Powell suggested that balance sheet runoff could begin as early as their next meeting in May, sooner than previously anticipated, and that the pace of the unwind will likely be faster than in the previous quantitative tightening cycle. The dot plot favors six additional rate hikes in 2022,which implies a 25 basis point rate hike at each remaining meeting this year, but the Fed hasn’t ruled out incorporating one or more 50 basis point hikes to address inflation. The FOMC’s Summary of Economic Projections forecasts higher Personal Consumption Expenditure (PCE) inflation this year at 4.3% and a lower growth rate of 2.8% real GDP. We are anticipating additional rates hikes by the Fed this year, but we do not believe that monetary policy is on a pre-set course and expect the Fed's policy adjustments will depend on developments in the economy.
In March, yields increased dramatically and the curve continued to flatten. The 2-year Treasury yield increased 90 basis points to 2.34%, the 5-year Treasury yield increased 74 basis points to 2.46%, and the 10-year Treasury yield increased 51 basis points to 2.34%. The spread between the 2-year and 10-year Treasury yield declined to zero at March month-end versus 40 basis points at February month-end and 158 basis points one year ago. While the flat yield curve bears watching over the longer run, the spread between 3-month and 10-year treasuries is still steep at about 185 basis points, which indicates likely economic growth in the coming year.
3 Source: US Department of Labor Source: US Department of Labor Employment
The U.S. economy added 431,000 jobs in March, with upward revisions from the prior months totaling 95,000. Trends in employment remain strong, with the three-month moving average payrolls at 561,000 and the six-month moving average at 600,000. Job gains were broad based in March, led by leisure and hospitality and professional and business services. The unemployment rate fell to 3.6% from 3.8%, the lowest level since February 2020.The labor participation rate increased marginally to 62.4%in March from 62.3%in February but remains lower than the pre- pandemic level of 63.4%. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons, fell to 6.9% in March from 7.2% in February, declining below its pre-pandemic level of 7.0% in February 2020.
Wage growth accelerated in March, with average hourly earnings rising 5.6% from 5.2% year-over-year. As more participants enter the labor force, wage inflation dynamics should start to moderate, helping to lower the current elevated inflation readings. -22,000
-18,000
-14,000
-10,000
-6,000
-2,000
2,000
6,000
MOM Change In (000's)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
0.0%
4.0%
8.0%
12.0%
16.0%
20.0%
24.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Rate (%)
4 Source: US Department of Labor Source: US Department of Commerce Inflation
Although U.S. consumer prices were in line with expectations in February, inflation hit a 40-year high. The Consumer Price Index (CPI) was up
7.9% year-over-year in February, versus a 7.5% year-over-year gain in January. Core CPI (CPI less food and energy) was up 6.4% year-over-year in February, versus up 6.0% in January. Rising food and rent prices were primary contributors to the big increase, as well as the month-end surge in gas prices, which is likely to be even more pronounced in the March report. The Personal Consumption Expenditures (PCE) index was up 6.4% year-over-year in February, up from 6.0% in January. Core PCE was up 5.4% year-over-year in February, versus up 5.2% in January.
Current inflation readings continue to run well above the Fed’s longer-run target of around 2.0%. We believe pricing pressures are likely to increase in the coming months considering the recent surge in commodity prices, and will likely remain elevated longer than anticipated as a result of the conflict in Europe.
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
YOY( %) Change
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YOY( %) Change
5 Retail sales edged higher in February, but there are signs that higher gas prices are impacting discretionary spending. On a year-over-year basis, retail sales were up 17.6% in February versus up 14% in January. On a month-over-month basis, retail sales moderated, rising 0.3% in February versus an upwardly revised increase of 4.9% in January. Excluding vehicles and gas, retail sales were down 0.4% month-over-month.
Although inflation threatens to put a dent in expected growth, we believe high levels of consumer savings along with improvement in the health situation and continued improvement in the labor market should provide a healthy tailwind for consumer spending. The Consumer Confidence index rebounded to 107.2 in March following declines in January and February, primarily driven by positive assessments of employment. However, while consumers’ evaluations of the present situation was strong, future expectations have been deteriorating.
Source: US Department of Commerce Source: The Conference Board -30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Retail Sales YOY % Change
YOY (%) Change
80 90
100
110
120
130
140
Index Level
Consumer Confidence
Consumer
6 Source: The Conference Board Source: Federal Reserve Bank of Chicago Economic Activity
The Conference Board’s Leading Economic Index (LEI) increased 0.3% month-over-month in February, following a 0.5% downwardly revised decline in January. On a year-over-year basis, the LEI was up 7.6% in February versus up 7.3% in January. The Conference Board acknowledged that the data do not fully reflect the impact of the Russian invasion of Ukraine on global supply chain issues, shortages, and the resulting soaring prices, which could result in slower than expected growth in the first half of the year. Meanwhile, the Chicago Fed National Activity Index (CFNAI) fell to 0.51 in February from a downwardly revised 0.59 in January. On a 3-month moving average basis, the CFNAI declined to
0.35 in February, while January was revised downward to 0.37. -8.00
-6.00
-4.00
-2.00
0.00 2.00
4.00 6.00
Chicago Fed National Activity Index (CFNAI)
3 Month Average
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
Leading Economic Indicators (LEI)
MOM ( %) Change
7 Source: US Department of Commerce Source: S&P
Housing
0 200
400
600
800
1000
1200
1400
1600
1800
2000
MOM Change (In Thousands of Units)
Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
0.0%
3.0%
6.0%
9.0%
12.0%
15.0%
18.0%
21.0%
24.0%
S&P/Case-Shiller 20 City Composite Home Price Index
YOY( %) Change
Total housing starts rebounded 6.8% to an annual rate of 1,769,000in February. Single-family starts increased 5.7%, and multi-family starts increased 9.3%, month-over-month. On a year-over-year basis, total housing starts were up 22.3% in February driven by multi-family starts.
According to the Case-Shiller 20-City home price index, home prices were up 19.1% year-over-year in January versus up 18.6% year-over-year in December, suggesting tight supply may be continuing to support prices. Rising mortgage rates and affordability could be headwinds to further price growth.
8 Source: Institute for Supply Management Source: Federal Reserve Manufacturing
The Institute for Supply Management (ISM) manufacturing index fell to an 18-month low of 57.1in March from 58.6in February due to surging energy and commodities prices triggered by Russia's invasion of Ukraine. Readings above 50.0 are indicative of expansion in the manufacturing sector. On a month-over-month basis, the Industrial Production index rose 0.5% in February, following a 1.4% increase in January. Capacity utilization rose to 77.6% in February, up from 77.3% in January. Although capacity utilization remains below its longer-run average of 79.6%, it is running above the pre-pandemic level of 76.3%.
40 42
44 46
48 50
52 54
56 58
60 62
64 66
Institute of Supply Management Purchasing Manager Index
EXPANDING
CONTRACTING
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Industrial Production
YOY( %) Change
9 Source: US Department of Commerce Source: US Department of Commerce 3/21 6/21 9/21 12/21
7.4% 7.9% 1.4% 1.8%
-0.4% -0.7% 2.1% 5.8%
-1.6% -0.2% -1.3% -0.2%
0.8% -0.4% -0.4% -0.3%
0.0% 0.0% 0.5% -0.2%
6.3% 6.7% 2.3% 6.9%
Gross Private Domestic Investment
Personal Consumption Expenditures
Components of GDP
Federal Government Expenditures
State and Local (Consumption and Gross
Investment)
Net Exports and Imports
Total
-35.0%
-30.0%
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
According to the third estimate, fourth quarter GDP grew at an annualized rate of 6.9%, revised slightly downward from the second estimate of
7.0%. Economic growth reaccelerated in the fourth quarter after slowing to a pace of 2.3% growth in the third quarter, bringing overall GDP growth for 2021to 5.7%. The most significant contributor to fourth quarter growth was inventory build, potentially reflecting some easing in supply chain disruptions. The fourth-quarter's build will make for a tough comparison in the first quarter. The consensus estimate calls for 1.1% GDP growth in the first quarter, 3.0% growth in the current quarter, and 3.3% growth for 2022. 10 Federal Reserve
Source: Federal Reserve Source: Bloomberg
As expected the Federal Open Market Committee (FOMC) raised the federal funds rate by 0.25% at their March meeting to a target range of
0.25% to 0.50%., This was the first increase since 2018, after two years of holding the federal funds rates near zero to insulate the economy from the impacts of the pandemic. The Federal Reserve (Fed) also ended their bond-buying program as expected in March, which grew the balance sheet to about $8.9 trillion. Fed Chair Powell suggested that balance sheet runoff could begin as early as their next meeting in May, sooner than previously anticipated, and that the pace of the unwind will likely be faster than in the previous quantitative tightening cycle. The dot plot favors six additional rate hikes in 2022,which implies a 25 basis point rate hike at each remaining meeting this year, but the Fed hasn’t ruled out incorporating one or more 50 basis point hikes to address inflation. The FOMC’s Summary of Economic Projections forecasts higher Personal Consumption Expenditure (PCE) inflation this year at 4.3% and a lower growth rate of 2.8% real GDP.
0.00%
0.25%
0.50%
0.75%
1.00%
1.25%
1.50%
1.75%
2.00%
2.25%
2.50%
2.75%
Effective Federal Funds Rate
Yield (%)
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000
10,000,000
Federal Reserve Balance Sheet Assets
In $ millions
11 Source: Bloomberg Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yield (%)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
US Treasury Yield Curve
Mar-22
Dec-21
Mar-21
Yield (%)
Bond Yields
At the end of March, the 2-year Treasury yield was 217 basis points higher, and the 10-Year Treasury yield was about 60 basis points higher, year- over-year. The spread between the 2-year Treasury yield and 10-year Treasury yield declined to zero at March month-end compared to the average historical spread (since 2003) of about 130 basis points. While the flat yield curve bears watching over the longer run, the spread between 3-month and 10-year treasuries is still steep at about 185 basis points, which indicates likely economic growth in the coming year. 12 Section 2|SECTION |
Section 2 |
Account Profile
13 Objectives
Chandler Asset Management Performance Objective
The performance objective for the portfolio is to earn a total rate of return through a market cycle that is equal to or above the return on the benchmark index.
Investment Objectives
The City of Cupertino’s investment objectives, in order of priority, are to provide safety to ensure the preservation of capital in the overall portfolio, provide sufficient liquidity for cash needs and a market rate of return consistent with the investment program.
Strategy
In order to achieve these objectives, the portfolio invests in high quality fixed incomes securities consistent with the investment policy and California Government Code.
As of March 31, 2022
14 Compliance As of March 31, 2022
Category Standard Comment
Treasury Issues No Limitation Complies
Agency Issues 25% per Agency/GSE issuer; 20% max agency callable securities; Issued by Federal Agencies or U.S. Government Sponsored Enterprise obligations. Complies Supranational "AA" rating category or better by a NRSRO; 30% maximum; 10% max per issuer; USD denominated senior unsecured unsubordinated obligations issued or unconditionally guaranteed by IBRD, IFC, or IADB. Complies Municipal Securities
"A" rating category or better by a NRSRO; 30% maximum; 5% max per issuer; Obligations of the City, State of California, and any local agency within the State of California; Obligations of any of the other 49 states in addition to California, including bonds payable solely out of the revenues from a revenue-producing property owned, controlled, or operated by a state or by a department, board, agency, or authority of any of the other 49 states in addition to California.
Complies
Corporate Medium Term Notes "A" rating category or better by a NRSRO; 30% maximum; 5% max per issuer; Issued by corporations organized and operating within the U.S. or by depository institutions licensed by the U.S. or any state and operating within the U.S. Complies Asset Backed/ Mortgage Backed/
Collateralized Mortgage Obligation
"AA" rating category or better by a NRSRO; 20% maximum; 5% max per issuer on Asset-Backed or Commercial Mortgage security; There is no issuer limitation on any Mortgage security where the issuer is the U.S. Treasury or a Federal Agency/GSE . Complies Negotiable Certificates of Deposit (NCDs)
No rating required if amount of the NCD is insured up to the FDIC limit; If above FDIC insured limit, requires "A-1" short-term rated or "A" long- term rating category or better by a NRSRO; 30% maximum; 5% max per issuer; Issued by nationally or state chartered banks, state or federal savings associations, or state or federal credit unions, or by a federally licensed or state-licensed branch of a foreign bank.
Complies
Certificates of Deposit (CDs)/Time
Deposit (TDs)
30% maximum; 5% max per issuer; Certificates of Deposit, Time Deposit, non-negotiable, and collateralized in accordance with California Government Code. Complies
Banker’s Acceptances "A-1" short-term rated or better by a NRSRO; or "A" long-term rating category or better by a NRSRO; 40% maximum; 5% max per issuer; 180 days max maturity Complies
Commercial Paper
"A-1" short term rated or better a NRSRO; "A" long-term issuer rating category or better by a NRSRO; 25% maximum; 5% max per issuer; 270 days max maturity; Issued by corporations organized and operating in the U.S. with assets > $500 million; 10% max outstanding paper of the issuing corporation.
Complies
Money Market Funds
20% maximum; Daily money market funds administered for or by trustees, paying agents and custodian banks contracted by a City of Cupertino as allowed under California Government Code; Only funds holding U.S. Treasury obligations, Government agency obligations or repurchase agreements collateralized by U.S. Treasury or Government agency obligations can be utilized.
Complies
Local Agency Investment Fund (LAIF) Maximum amount permitted by LAIF; Not used by investment adviser Complies Repurchase Agreements 1 year max maturity; 102% collateralized; A PSA Master Repurchase Agreement is required between City of Cupertino and the broke/dealer or financial institution for all repurchase agreements; Not used by investment adviser Complies Prohibited Securities
Reverse Repurchase Agreement; Common stocks; Long-term (> 5 years maturity) notes and bonds; Special circumstances arise that necessitate purchase of securities beyond the 5-year limitation. On such occasions, request must be approved by City Council prior to purchase; Futures/Options; Inverse floaters; Ranges notes, Mortgage-derived, Interest-only strips; Zero interest accrual securities; Purchasing/selling securities on margin; Foreign currency denominated securities.
Complies
Minimum Budgeted Operating
Expenditures in Short Term Investments Minimum 6 months of budgeted operating expenditures in short term investments to provide sufficient liquidity for expected disbursements Complies Max Per Issuer 5% per issuer, unless otherwise specified in the policy Complies Maximum maturity 5 years Complies
City of Cupertino
Assets managed by Chandler Asset Management are in full compliance with state law and with the City's investment policy. 15 Portfolio Characteristics
City of Cupertino
03/31/22 12/31/21
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 2.62 2.81 2.83
Average Modified Duration 2.53 2.49 2.59
Average Purchase Yield n/a 1.31% 1.21%
Average Market Yield 2.30% 2.43% 0.96%
Average Quality** AAA AA+/Aa1 AA/Aa1
Total Market Value 150,202,612 139,803,983
*ICE BofA 1-5 Yr US Treasury & Agency Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of March 31, 2022
16 City of Cupertino
Sector Distribution
ABS
12.7%
Agency
22.4%
CMO
5.3%Corporate
26.1%
Money Market
Fund
1.8%
Municipal Bonds
0.5%
Negotiable CD
0.2%
Supranational
8.2%
US Treasury
22.7%
March 31, 2022 December 31, 2021
ABS
8.5%
Agency
25.3%
CMO
5.2%
Corporate
27.1%
Money Market
Fund
0.5%
Municipal Bonds
0.6%
Negotiable CD
0.3%
Supranational
9.2%
US Treasury
23.5%
As of March 31, 2022
17 Duration Allocation As of March 31, 2022
City of Cupertino
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ 03/31/22 2.1% 1.3% 3.1% 28.8% 28.8% 28.7% 7.2% 0.0%
0%
5%
10%
15%
20%
25%
30%
35%
0 - 0.25 Years 0.25 - 0.5 Years 0.5 - 1 Years 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years 5+ Years ABS
Agency
CMO
Corporate
Money Market Fund
Municipal Bonds
Negotiable CD
Supranational
US Treasury
18 Portfolio Allocation & Duration Changes
City of Cupertino
As of March 31, 2022
Benchmark: ICE BofA 1-5 Yr US Treasury & Agency Index
98.6%100.8%
99.3%
96.2%
98.4%
97.5%
100.0%101.0%
80.0%
85.0%
90.0%
95.0%
100.0%
105.0%
110.0%
03/31/2212/31/2109/30/2106/30/2103/31/2112/31/2009/30/2006/30/20 Duration as a % of the Benchmark
0.3%
0.6%
0.5%
5.2%
9.2%
8.5%
25.3%
23.5%
27.1%
0.2%
0.5%
1.8%
5.3%
8.2%
12.7%
22.4%
22.7%
26.1%
Negotiable CD
Municipal Bonds
Money Market
Fund
CMO
Supranational
ABS
Agency
US Treasury
Corporate
Portfolio Allocation
03/31/22
12/31/21
19 Issue Name Investment Type % Portfolio
Government of United States US Treasury 22.73%
Federal National Mortgage Association Agency 9.99%
Federal Home Loan Mortgage Corp Agency 6.25%
Federal Home Loan Bank Agency 6.16%
Federal Home Loan Mortgage Corp CMO 5.34%
International Finance Corp Supranational 3.37%
Inter-American Dev Bank Supranational 3.34%
Hyundai Auto Receivables ABS 1.85%
Wells Fargo 100% Treasury MMKT Fund Money Market Fund 1.79% Honda ABS ABS 1.67%
Toyota Motor Corp Corporate 1.64%
Bank of America Corp Corporate 1.63%
JP Morgan Chase & Co Corporate 1.55%
Intl Bank Recon and Development Supranational 1.49%
Toronto Dominion Holdings Corporate 1.45%
Deere & Company Corporate 1.34%
Toyota ABS ABS 1.29%
GM Financial Automobile Leasing Trust ABS 1.25%
Toyota Lease Owner Trust ABS 1.21%
Bank of Montreal Chicago Corporate 1.18%
John Deere ABS ABS 1.18%
Amazon.com Inc Corporate 1.18%
Metlife Inc Corporate 1.18%
Air Products & Chemicals Corporate 1.14%
Salesforce.com Inc Corporate 1.12%
New York Life Global Funding Corporate 1.08%
Berkshire Hathaway Corporate 1.06%
American Express ABS ABS 1.01%
Royal Bank of Canada Corporate 1.00%
Paccar Financial Corporate 0.97%
Wal-Mart Stores Corporate 0.90%
Honda Motor Corporation Corporate 0.89%
Hyundai Auto Lease Securitization ABS 0.87%
Guardian Life Global Funding Corporate 0.86%
US Bancorp Corporate 0.83%
Caterpillar Inc Corporate 0.73%
Verizon Owner Trust ABS 0.71%
Bank of New York Corporate 0.68%
Issuers
City of Cupertino – Account #10659
As of March 31, 2022
20 Issue Name Investment Type % Portfolio
Apple Inc Corporate 0.68%
United Health Group Inc Corporate 0.64%
Charles Schwab Corp/The Corporate 0.62%
Mass Mutual Insurance Corporate 0.62%
BMW Vehicle Lease Trust ABS 0.57%
Prudential Financial Inc Corporate 0.57%
Northwestern Mutual Glbl Corporate 0.52%
State of California Municipal Bonds 0.51%
Nissan ABS ABS 0.45%
GM Financial Securitized Term Auto Trust ABS 0.42%
Mercedes-Benz Auto Lease Trust ABS 0.26%
Toronto Dominion Holdings Negotiable CD 0.23%
TOTAL 100.00%
Issuers
City of Cupertino – Account #10659
As of March 31, 2022
21 AAA AA A <A NR
03/31/22 18.8% 54.5% 17.4% 0.0% 9.3%
12/31/21 15.6% 56.1% 20.6% 0.0% 7.7%
Source: S&P Ratings
March 31, 2022 vs. December 31, 2021
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
AAA AA A <A NR
03/31/22 12/31/21
Quality Distribution
City of Cupertino
As of March 31, 2022
22 Total Rate of Return Annualized Since Inception January 31, 2019 Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the ending value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
Investment Performance
City of Cupertino
-4.00%
-3.00%
-2.00%
-1.00%
0.00%
1.00%
2.00%
12 months 2 years 3 years 5 years 10 years Since Inception City of Cupertino Gross of Fees ICE BofA 1-5 Yr US Treasury & Agency Index City of Cupertino Net of Fees Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since Inception
City of Cupertino Gross of Fees -3.18% -3.60% -0.94% 1.10% N/A N/A 1.22% ICE BofA 1-5 Yr US Treasury & Agency Index -3.16% -3.71% -1.91% 0.91% N/A N/A 1.15% City of Cupertino Net of Fees -3.18% -3.65% -1.01 1.03% N/A N/A 1.15% As of March 31, 2022
23 Purchase Yield as of 03/31/22 = 1.31%
0.00 0.50
1.00 1.50
2.00 2.50
Percent (%)
Historical Average Purchase Yield
City of Cupertino
As of March 31, 2022
24 SECTION |
Section 3 |
Portfolio Holdings
25 Holdings Report
City of Cupertino - Account #10659
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
ABS
58770FAC6 Mercedes Benz Auto Lease Trust 2020-A A3
1.840% Due 12/15/2022
45,840.79 01/21/2020
1.85%
45,834.75
45,839.31
100.03
0.91%
45,856.15
37.49 0.03%
16.84 Aaa / AAA
NR
0.71 0.04
47789JAD8 John Deere Owner Trust 2019-A A3
2.910% Due 07/17/2023
104,239.61 Various
1.94%
106,286.60
104,500.12
100.16
1.13%
104,404.00
134.82
0.07%
(96.12)
Aaa / NR
AAA
1.30 0.09
43815NAC8 Honda Auto Receivables Trust 2019-3 A3
1.780% Due 08/15/2023
352,726.20 Various
1.93%
352,133.25
352,632.44
100.08
1.48%
353,018.61
279.04
0.24%
386.17
Aaa / AAA
NR
1.38 0.29
58769EAC2 Mercedes-Benz Auto Lease Trust 2020-B A3
0.400% Due 11/15/2023
345,000.00 09/15/2020
0.40%
344,982.51
344,994.01
99.39 1.72%
342,894.12
61.33 0.23%
(2,099.89)
NR / AAA
AAA
1.63 0.46
477870AC3 John Deere Owner Trust 2019-B A3
2.210% Due 12/15/2023
258,036.46 08/27/2019
1.79%
260,425.31
258,985.00
100.27
1.25%
258,724.39
253.45
0.17%
(260.61)
Aaa / NR
AAA
1.71 0.28
92348AAA3 Verizon Owner Trust 2019-C A1A
1.940% Due 04/22/2024
278,229.78 10/01/2019
1.95%
278,208.33
278,220.05
100.13
1.59%
278,588.14
164.93
0.19%
368.09
NR / AAA
AAA
2.06 0.38
89238EAC0 Toyota Lease Owner Trust 2021-A A3
0.390% Due 04/22/2024
700,000.00 03/23/2022
2.16%
686,000.00
686,180.15
98.15 2.19%
687,068.20
83.42 0.46%
888.05
Aaa / AAA
NR
2.06 1.03
44891VAC5 Hyundai Auto Lease Trust 2021-B A3
0.330% Due 06/17/2024
790,000.00 06/08/2021
0.34%
789,881.50
789,923.21
97.86 2.28%
773,090.84
115.87
0.51%
(16,832.37)
Aaa / AAA
NR
2.22 1.11
65479JAD5 Nissan Auto Receivables Owner 2019-C A3
1.930% Due 07/15/2024
673,855.83 Various
1.70%
677,198.70
675,665.85
100.19
1.42%
675,161.09
578.02
0.45%
(504.76)
Aaa / AAA
NR
2.29 0.38
43813DAC2 Honda Auto Receivables 2020-2 A3
0.820% Due 07/15/2024
133,629.84 05/18/2020
0.83%
133,619.33
133,624.02
99.32 1.99%
132,717.28
48.70 0.09%
(906.74)
Aaa / AAA
NR
2.29 0.58
47789KAC7 John Deere Owner Trust 2020-A A3
1.100% Due 08/15/2024
192,771.59 03/04/2020
1.11%
192,759.80
192,765.27
99.68 1.69%
192,160.70
94.24 0.13%
(604.57)
Aaa / NR
AAA
2.38 0.53
43813KAC6 Honda Auto Receivables Trust 2020-3 A3
0.370% Due 10/18/2024
575,000.00 09/22/2020
0.38%
574,915.53
574,956.03
98.74 2.13%
567,771.68
76.83 0.38%
(7,184.35)
NR / AAA
AAA
2.55 0.71
36262XAC8 GM Financial Auto Lease Trust 2021-3 A2
0.390% Due 10/21/2024
965,000.00 08/10/2021
0.39%
964,986.88
964,990.23
97.13 2.54%
937,284.24
115.00
0.62%
(27,705.99)
NR / AAA
AAA
2.56 1.35
47787NAC3 John Deere Owner Trust 2020-B A3
0.510% Due 11/15/2024
215,720.33 07/14/2020
0.52%
215,687.46
215,703.43
98.89 2.22%
213,319.36
48.90 0.14%
(2,384.07)
Aaa / NR
AAA
2.63 0.65
09690AAC7 BMW Vehicle Lease Trust 2021-2 A3
0.330% Due 12/26/2024
425,000.00 09/08/2021
0.34%
424,956.14
424,966.59
97.49 2.43%
414,321.45
23.38 0.28%
(10,645.14)
Aaa / NR
AAA
2.74 1.20
89236XAC0 Toyota Auto Receivables 2020-D A3
0.350% Due 01/15/2025
455,000.00 10/06/2020
0.36%
454,915.23
454,944.40
98.85 2.14%
449,762.04
70.78 0.30%
(5,182.36)
NR / AAA
AAA
2.80 0.64
44891WAC3 Hyundai Auto Lease Trust 2022-A A3
1.160% Due 01/15/2025
540,000.00 01/11/2022
1.16%
539,988.07
539,989.12
97.64 2.61%
527,254.38
278.40
0.35%
(12,734.74)
Aaa / AAA
NR
2.80 1.64
As of March 31, 2022
26 Holdings Report
City of Cupertino - Account #10659
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
92290BAA9 Verizon Owner Trust 2020-B A
0.470% Due 02/20/2025
800,000.00 08/04/2020
0.48%
799,832.00
799,892.68
98.62 2.09%
788,939.20
114.89
0.53%
(10,953.48)
Aaa / NR
AAA
2.90 0.86
89238LAC4 Toyota Lease Owner Trust 2022-A A3
1.960% Due 02/20/2025
1,150,000.00 02/23/2022
1.98%
1,149,818.99
1,149,825.86
98.31 2.87%
1,130,602.95
688.72
0.75%
(19,222.91)
NR / AAA
AAA
2.90 1.88
36265MAC9 GM Financial Auto Lease Trust 2022-1 A3
1.900% Due 03/20/2025
945,000.00 02/15/2022
1.91%
944,991.87
944,992.25
98.80 2.58%
933,631.65
548.63
0.62%
(11,360.60)
Aaa / NR
AAA
2.97 1.78
05601XAC3 BMW Vehicle Lease Trust 2022-1 A3
1.100% Due 03/25/2025
450,000.00 01/11/2022
1.11%
449,932.73
449,938.81
97.51 2.72%
438,808.05
82.50 0.29%
(11,130.76)
NR / AAA
AAA
2.99 1.55
43813GAC5 Honda Auto Receivables Trust 2021-1 A3
0.270% Due 04/21/2025
295,000.00 02/17/2021
0.27%
294,994.60
294,996.53
97.92 2.54%
288,853.68
22.13 0.19%
(6,142.85)
Aaa / NR
AAA
3.06 0.92
89240BAC2 Toyota Auto Receivables Owners 2021-A A3
0.260% Due 05/15/2025
1,090,000.00 02/02/2021
0.27%
1,089,797.70
1,089,872.29
98.10 2.26%
1,069,321.61
125.96
0.71%
(20,550.68)
Aaa / NR
AAA
3.13 0.95
44933LAC7 Hyundai Auto Receivables Trust 2021-A A3
0.380% Due 09/15/2025
515,000.00 04/20/2021
0.38%
514,945.82
514,962.27
97.50 2.34%
502,124.49
86.98 0.33%
(12,837.78)
NR / AAA
AAA
3.46 1.29
43815GAC3 Honda Auto Receivables Trust 2021-4 A3
0.880% Due 01/21/2026
460,000.00 11/16/2021
0.89%
459,903.03
459,913.50
96.82 2.58%
445,385.80
112.44
0.30%
(14,527.70)
Aaa / NR
AAA
3.81 1.89
47789QAC4 John Deere Owner Trust 2021-B A3
0.520% Due 03/16/2026
580,000.00 07/13/2021
0.52%
579,948.26
579,958.12
95.82 2.82%
555,754.84
134.04
0.37%
(24,203.28)
Aaa / NR
AAA
3.96 1.85
89238JAC9 Toyota Auto Receivables Trust 2021-D A3
0.710% Due 04/15/2026
430,000.00 11/09/2021
0.71%
429,990.84
429,991.90
96.22 2.82%
413,763.20
135.69
0.28%
(16,228.70)
NR / AAA
AAA
4.04 1.81
43815BAC4 Honda Auto Receivables Trust 2022-1 A3
1.880% Due 05/15/2026
740,000.00 02/15/2022
1.89%
739,888.70
739,892.20
98.21 2.68%
726,750.31
618.31
0.48%
(13,141.89)
Aaa / AAA
NR
4.13 2.26
44935FAD6 Hyundai Auto Receivables Trust 2021-C A3
0.740% Due 05/15/2026
1,330,000.00 Various
2.02%
1,296,371.65
1,296,706.03
96.10 2.82%
1,278,127.34
437.42
0.85%
(18,578.69)
NR / AAA
AAA
4.13 1.90
362554AC1 GM Financial Securitized Term 2021-4 A3
0.680% Due 09/16/2026
350,000.00 10/13/2021
0.68%
349,991.08
349,992.24
96.60 2.67%
338,089.85
99.17 0.23%
(11,902.39)
Aaa / AAA
NR
4.47 1.73
47787JAC2 John Deere Owner Trust 2022-A A3
2.320% Due 09/16/2026
450,000.00 03/10/2022
2.34%
449,900.46
449,901.71
98.70 2.91%
444,164.40
435.00
0.30%
(5,737.31)
Aaa / NR
AAA
4.47 2.22
448977AD0 Hyundai Auto Receivables Trust 2022-A A3
2.220% Due 10/15/2026
1,010,000.00 03/09/2022
2.23%
1,009,961.12
1,009,961.64
98.75 2.79%
997,405.30
934.25
0.66%
(12,556.34)
NR / AAA
AAA
4.55 2.21
380146AC4 GM Financial Auto Receivables 2022-1 A3
1.260% Due 11/16/2026
295,000.00 01/11/2022
1.27%
294,974.36
294,975.88
96.81 3.09%
285,592.74
154.88
0.19%
(9,383.14)
NR / AAA
AAA
4.63 1.76
As of March 31, 2022
27 Holdings Report
City of Cupertino - Account #10659
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
02589BAA8 American Express Credit Accoun 22-1 A
2.210% Due 03/15/2027
1,545,000.00 03/21/2022
2.69%
1,524,359.77
1,524,530.51
98.17 2.87%
1,516,780.58
1,233.00
1.01%
(7,749.93)
Aaa / NR
AAA
4.96 2.82
TOTAL ABS 19,485,050.43 1.32%
19,422,382.37
19,419,183.65 2.45%
19,107,492.66
8,428.61
12.73%
(311,690.99)
Aaa / AAA
Aaa
3.26 1.48
Agency
3137EAER6 FHLMC Note
0.375% Due 05/05/2023
1,350,000.00 05/05/2020
0.39%
1,349,433.00
1,349,793.02
98.41 1.85%
1,328,541.75
2,053.13
0.89%
(21,251.27)
Aaa / AA+
AAA
1.10 1.08
3137EAEN5 FHLMC Note
2.750% Due 06/19/2023
550,000.00 06/21/2019
1.83%
569,470.00
555,937.28
100.96
1.95%
555,262.40
4,285.42
0.37%
(674.88)
Aaa / AA+
AAA
1.22 1.19
3130A3DL5 FHLB Note
2.375% Due 09/08/2023
2,000,000.00 09/06/2019
1.52%
2,066,320.00
2,023,847.95
100.41
2.08%
2,008,190.00
3,034.72
1.34%
(15,657.95)
Aaa / AA+
NR
1.44 1.40
3135G0U43 FNMA Note
2.875% Due 09/12/2023
1,500,000.00 06/21/2019
1.89%
1,559,805.00
1,520,530.07
101.07
2.12%
1,515,991.50
2,276.04
1.01%
(4,538.57)
Aaa / AA+
AAA
1.45 1.41
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
1,755,000.00 12/02/2020
0.28%
1,753,262.55
1,754,028.93
96.85 2.17%
1,699,745.58
1,425.94
1.13%
(54,283.35)
Aaa / AA+
AAA
1.68 1.65
3130A0F70 FHLB Note
3.375% Due 12/08/2023
2,100,000.00 Various
1.75%
2,222,418.00
2,155,534.22
101.82
2.27%
2,138,182.20
22,246.88
1.44%
(17,352.02)
Aaa / AA+
AAA
1.69 1.62
3130A0XE5 FHLB Note
3.250% Due 03/08/2024
1,500,000.00 03/28/2019
2.27%
1,568,115.00
1,526,665.17
101.79
2.30%
1,526,895.00
3,114.58
1.02%
229.83
Aaa / AA+
NR
1.94 1.87
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
1,500,000.00 06/18/2019
1.96%
1,564,890.20
1,528,669.92
101.01
2.40%
1,515,177.00
12,817.70
1.02%
(13,492.92)
Aaa / AA+
NR
2.21 2.11
3135G0V75 FNMA Note
1.750% Due 07/02/2024
1,500,000.00 07/16/2019
1.96%
1,484,895.00
1,493,139.40
98.70 2.34%
1,480,530.00
6,489.58
0.99%
(12,609.40)
Aaa / AA+
AAA
2.26 2.18
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
2,000,000.00 09/13/2019
1.79%
2,103,380.00
2,050,783.16
101.05
2.43%
2,021,062.00
2,875.00
1.35%
(29,721.16)
Aaa / AA+
AAA
2.46 2.35
3135G0W66 FNMA Note
1.625% Due 10/15/2024
1,975,000.00 Various
1.73%
1,965,802.75
1,970,193.84
98.07 2.41%
1,936,884.48
14,798.79
1.30%
(33,309.36)
Aaa / AA+
AAA
2.55 2.45
3135G0X24 FNMA Note
1.625% Due 01/07/2025
1,295,000.00 Various
1.38%
1,309,953.95
1,303,604.18
97.73 2.48%
1,265,616.45
4,910.21
0.85%
(37,987.73)
Aaa / AA+
AAA
2.78 2.67
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
2,365,000.00 02/13/2020
1.52%
2,363,178.95
2,363,954.27
97.29 2.49%
2,300,899.04
4,828.54
1.54%
(63,055.23)
Aaa / AA+
AAA
2.87 2.77
3135G03U5 FNMA Note
0.625% Due 04/22/2025
1,860,000.00 04/22/2020
0.67%
1,856,168.40
1,857,653.57
94.55 2.49%
1,758,568.62
5,134.38
1.17%
(99,084.95)
Aaa / AA+
AAA
3.06 2.99
3135G04Z3 FNMA Note
0.500% Due 06/17/2025
2,500,000.00 Various
0.50%
2,499,227.30
2,499,638.86
93.84 2.51%
2,345,910.00
3,611.11
1.56%
(153,728.86)
Aaa / AA+
AAA
3.22 3.14
As of March 31, 2022
28 Holdings Report
City of Cupertino - Account #10659
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
3137EAEU9 FHLMC Note
0.375% Due 07/21/2025
1,250,000.00 07/21/2020
0.48%
1,243,775.00
1,245,880.72
93.36 2.48%
1,166,971.25
911.46
0.78%
(78,909.47)
Aaa / AA+
AAA
3.31 3.24
3135G05X7 FNMA Note
0.375% Due 08/25/2025
2,500,000.00 Various
0.48%
2,487,983.75
2,491,582.07
93.18 2.48%
2,329,610.00
937.51
1.55%
(161,972.07)
Aaa / AA+
AAA
3.41 3.34
3137EAEX3 FHLMC Note
0.375% Due 09/23/2025
2,500,000.00 Various
0.46%
2,489,362.80
2,492,432.70
92.94 2.51%
2,323,402.50
208.33
1.55%
(169,030.20)
Aaa / AA+
AAA
3.48 3.41
3135G06G3 FNMA Note
0.500% Due 11/07/2025
2,500,000.00 Various
0.56%
2,492,700.00
2,494,722.91
93.23 2.48%
2,330,670.00
5,000.00
1.56%
(164,052.91)
Aaa / AA+
AAA
3.61 3.52
TOTAL Agency 34,500,000.00 1.17%
34,950,141.65
34,678,592.24 2.36%
33,548,109.77
100,959.32
22.40%
(1,130,482.47)
Aaa / AA+
Aaa
2.52 2.45
CMO
3137B4WB8 FHLMC K033 A2
3.060% Due 07/25/2023
1,000,000.00 08/13/2019
2.02%
1,037,656.25
1,012,560.81
100.97
2.06%
1,009,744.00
510.00
0.67%
(2,816.81)
Aaa / NR
NR
1.32 1.16
3137B5JM6 FHLMC K034 A2
3.531% Due 07/25/2023
1,000,000.00 09/26/2019
2.00%
1,053,867.19
1,018,561.56
101.40
2.18%
1,014,011.00
2,942.50
0.68%
(4,550.56)
NR / NR
AAA
1.32 1.19
3137B7MZ9 FHLMC K036 A2
3.527% Due 10/25/2023
1,000,000.00 08/19/2019
1.92%
1,061,914.06
1,023,222.85
101.35
2.41%
1,013,544.00
587.83
0.68%
(9,678.85)
Aaa / NR
AAA
1.57 1.39
3137BFE98 FHLMC K041 A2
3.171% Due 10/25/2024
1,300,000.00 07/01/2021
0.72%
1,398,414.06
1,376,100.21
101.14
2.62%
1,314,848.60
3,435.25
0.88%
(61,251.61)
Aaa / AAA
AAA
2.57 2.36
3137BLMZ8 FHLMC K049 A2
3.010% Due 07/25/2025
1,000,000.00 07/01/2021
0.87%
1,079,687.50
1,065,009.66
100.78
2.70%
1,007,847.33
2,508.33
0.67%
(57,162.33)
NR / NR
AAA
3.32 3.02
3137BLW95 FHLMC K050 A2
3.334% Due 08/25/2025
950,000.00 11/16/2021
1.17%
1,018,132.81
1,011,425.43
101.80
2.70%
967,095.25
2,639.42
0.65%
(44,330.18)
NR / NR
AAA
3.41 3.06
3137BM7C4 FHLMC K051 A2
3.308% Due 09/25/2025
440,000.00 03/15/2022
2.21%
453,079.69
452,934.71
101.76
2.70%
447,725.08
1,212.93
0.30%
(5,209.63)
NR / NR
AAA
3.49 3.14
3137BN6G4 FHLMC KO53
2.995% Due 12/25/2025
570,000.00 03/15/2022
2.29%
582,001.17
581,879.24
100.84
2.70%
574,789.14
1,422.63
0.38%
(7,090.10)
NR / NR
AAA
3.74 3.35
3137BSP72 FHLMC K058 A2
2.653% Due 08/25/2026
650,000.00 11/12/2021
1.35%
687,451.17
684,508.27
99.66 2.71%
647,790.00
1,437.04
0.43%
(36,718.27)
NR / NR
AAA
4.41 4.07
TOTAL CMO 7,910,000.00 1.51%
8,372,203.90
8,226,202.74 2.50%
7,997,394.40
16,695.93
5.34%
(228,808.34)
Aaa / AAA
Aaa
2.61 2.36
As of March 31, 2022
29 Holdings Report
City of Cupertino - Account #10659
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Corporate
24422ETG4 John Deere Capital Corp Note
2.800% Due 03/06/2023
1,000,000.00 03/28/2019
2.60%
1,007,580.00
1,001,786.94
100.88
1.85%
1,008,763.00
1,944.44
0.67%
6,976.06
A2 / A
A
0.93 0.92
06406RAG2 Bank of NY Mellon Corp Note
3.500% Due 04/28/2023
1,000,000.00 03/05/2019
3.15%
1,013,650.00
1,003,536.55
101.39
2.18%
1,013,917.00
14,875.00
0.68%
10,380.45
A1 / A
AA-
1.08 1.04
037833AK6 Apple Inc Note
2.400% Due 05/03/2023
1,000,000.00 03/11/2019
2.79%
984,840.00
996,019.50
100.57
1.87%
1,005,718.00
9,866.67
0.68%
9,698.50
Aaa / AA+
NR
1.09 1.06
931142EK5 Wal-Mart Stores Callable Note Cont 5/26/2023
3.400% Due 06/26/2023
1,000,000.00 03/13/2019
2.80%
1,023,630.00
1,006,473.97
101.75
1.86%
1,017,476.00
8,972.22
0.68%
11,002.03
Aa2 / AA
AA
1.24 1.12
69371RP59 Paccar Financial Corp Note
3.400% Due 08/09/2023
435,000.00 06/18/2019
2.56%
449,315.85
439,689.84
101.17
2.51%
440,092.55
2,136.33
0.29%
402.71
A1 / A+
NR
1.36 1.31
02665WCQ2 American Honda Finance Note
3.625% Due 10/10/2023
1,300,000.00 Various
2.77%
1,345,306.00
1,315,946.02
101.40
2.68%
1,318,220.80
22,384.38
0.89%
2,274.78
A3 / A-
A
1.53 1.45
24422EVN6 John Deere Capital Corp Note
0.450% Due 01/17/2024
1,030,000.00 03/01/2021
0.47%
1,029,268.70
1,029,542.68
96.74 2.32%
996,408.61
952.75
0.66%
(33,134.07)
A2 / A
A
1.80 1.77
06051GHF9 Bank of America Corp Callable Note 1X 3/5/2023
3.550% Due 03/05/2024
1,200,000.00 Various
2.51%
1,226,303.25
1,210,854.06
100.70
2.33%
1,208,391.61
3,076.68
0.81%
(2,462.45)
A2 / A-
AA-
1.93 1.86
89114QCA4 Toronto Dominion Bank Note
2.650% Due 06/12/2024
1,500,000.00 09/11/2019
2.24%
1,527,255.00
1,512,621.55
99.95 2.67%
1,499,248.50
12,035.42
1.01%
(13,373.05)
A1 / A
AA-
2.20 2.10
06367TQW3 Bank of Montreal Note
0.625% Due 07/09/2024
600,000.00 02/09/2022
1.89%
582,216.00
583,207.37
95.11 2.86%
570,643.80
854.17
0.38%
(12,563.57)
A2 / A-
AA-
2.28 2.22
79466LAG9 Salesforce.com Inc Callable Note Cont 7/15/2022
0.625% Due 07/15/2024
1,760,000.00 Various
0.87%
1,748,937.40
1,750,341.10
95.83 2.51%
1,686,544.64
2,322.23
1.12%
(63,796.46)
A2 / A+
NR
2.29 2.24
78013XZU5 Royal Bank of Canada Note
2.550% Due 07/16/2024
1,500,000.00 Various
1.98%
1,533,359.18
1,518,581.40
99.63 2.72%
1,494,462.00
7,968.76
1.00%
(24,119.40)
A1 / A
AA-
2.30 2.20
91159HHX1 US Bancorp Callable Note Cont 6/28/2024
2.400% Due 07/30/2024
1,250,000.00 10/10/2019
2.07%
1,268,262.50
1,258,706.05
99.43 2.65%
1,242,836.25
5,083.33
0.83%
(15,869.80)
A2 / A+
A+
2.33 2.24
009158AV8 Air Products & Chemicals Callable Note Cont 4/30/2024
3.350% Due 07/31/2024
1,675,000.00 08/07/2019
2.07%
1,771,212.00
1,717,364.50
101.31
2.70%
1,696,867.13
9,507.95
1.14%
(20,497.37)
A2 / A
NR
2.34 1.99
69371RR40 Paccar Financial Corp Note
0.500% Due 08/09/2024
680,000.00 08/03/2021
0.52%
679,632.80
679,711.53
95.54 2.46%
649,697.16
491.11
0.43%
(30,014.37)
A1 / A+
NR
2.36 2.31
69371RQ25 Paccar Financial Corp Note
2.150% Due 08/15/2024
370,000.00 08/08/2019
2.20%
369,182.30
369,611.96
98.94 2.62%
366,059.87
1,016.47
0.24%
(3,552.09)
A1 / A+
NR
2.38 2.29
14913Q3B3 Caterpillar Finl Service Note
2.150% Due 11/08/2024
1,100,000.00 01/28/2020
1.92%
1,111,517.00
1,106,286.80
99.19 2.47%
1,091,074.60
9,394.31
0.73%
(15,212.20)
A2 / A
A
2.61 2.49
As of March 31, 2022
30 Holdings Report
City of Cupertino - Account #10659
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
74153WCQ0 Pricoa Global Funding Note
1.150% Due 12/06/2024
885,000.00 12/01/2021
1.19%
884,088.45
884,183.44
95.67 2.84%
846,714.90
3,194.60
0.57%
(37,468.54)
Aa3 / AA-
AA-
2.69 2.60
89114TZL9 Toronto-Dominion Bank Note
1.450% Due 01/10/2025
700,000.00 03/15/2022
2.79%
674,737.00
675,104.91
95.88 3.01%
671,165.60
2,227.36
0.45%
(3,939.31)
A1 / A
NR
2.78 2.68
89236TJT3 Toyota Motor Credit Corp Note
1.450% Due 01/13/2025
1,215,000.00 01/10/2022
1.50%
1,213,371.90
1,213,487.77
96.45 2.78%
1,171,883.30
3,817.13
0.78%
(41,604.47)
A1 / A+
A+
2.79 2.69
64952WEK5 New York Life Global Note
1.450% Due 01/14/2025
1,680,000.00 01/11/2022
1.49%
1,678,185.60
1,678,313.07
96.20 2.88%
1,616,215.44
5,210.33
1.08%
(62,097.63)
Aaa / AA+
AAA
2.79 2.69
06367WB85 Bank of Montreal Note
1.850% Due 05/01/2025
1,240,000.00 07/23/2021
0.85%
1,285,656.80
1,277,415.98
96.21 3.15%
1,193,026.32
9,558.33
0.80%
(84,389.66)
A2 / A-
AA-
3.09 2.94
46647PCH7 JP Morgan Chase & Co Callable Note Cont 6/1/2024
0.824% Due 06/01/2025
1,370,000.00 05/24/2021
0.78%
1,371,773.90
1,371,281.86
95.43 2.33%
1,307,444.43
3,762.93
0.87%
(63,837.43)
A2 / A-
AA-
3.17 3.09
46647PCK0 JP Morgan Chase & Co Callable Note Cont 6/23/2024
0.969% Due 06/23/2025
655,000.00 Various
0.93%
655,406.85
655,328.55
95.56 2.37%
625,885.91
1,727.78
0.42%
(29,442.64)
A2 / A-
AA-
3.23 3.14
40139LBC6 Guardian Life Glob Fun Note
0.875% Due 12/10/2025
1,400,000.00 Various
1.12%
1,385,860.00
1,387,510.48
92.29 3.10%
1,292,127.20
3,777.08
0.86%
(95,383.28)
Aa2 / AA+
NR
3.70 3.57
66815L2A6 Northwestern Mutual Glbl Note
0.800% Due 01/14/2026
850,000.00 12/06/2021
1.47%
827,449.50
829,165.63
92.15 3.01%
783,260.55
1,454.44
0.52%
(45,905.08)
Aaa / AA+
AAA
3.79 3.67
06051GHY8 Bank of America Corp Callable Note Cont 2/13/2025
2.015% Due 02/13/2026
600,000.00 05/24/2021
1.05%
620,988.00
616,200.45
96.36 2.92%
578,155.20
1,612.00
0.39%
(38,045.25)
A2 / A-
AA-
3.88 3.67
46647PBK1 JP Morgan Chase & Co Callable Note Cont 4/22/2025
2.083% Due 04/22/2026
401,000.00 05/20/2021
1.11%
415,969.33
412,701.01
96.61 2.99%
387,409.71
3,689.17
0.26%
(25,291.30)
A2 / A-
AA-
4.06 3.82
023135BX3 Amazon.com Inc Callable Note Cont 4/12/2026
1.000% Due 05/12/2026
1,875,000.00 05/10/2021
1.09%
1,866,900.00
1,868,337.24
93.86 2.58%
1,759,822.50
7,239.58
1.18%
(108,514.74)
A1 / AA
AA-
4.12 3.97
91324PEC2 United Health Group Inc Callable Note Cont 4/15/2026
1.150% Due 05/15/2026
1,035,000.00 Various
1.37%
1,025,051.35
1,025,694.98
93.05 2.95%
963,016.79
4,496.50
0.64%
(62,678.19)
A3 / A+
A
4.13 3.96
89236TJK2 Toyota Motor Credit Corp Note
1.125% Due 06/18/2026
1,385,000.00 06/15/2021
1.13%
1,384,390.60
1,384,486.38
92.90 2.93%
1,286,714.86
4,457.97
0.86%
(97,771.52)
A1 / A+
A+
4.22 4.05
06051GJD2 Bank of America Corp Callable Note Cont 6/19/2025
1.319% Due 06/19/2026
700,000.00 07/16/2021
1.27%
701,274.00
701,046.82
93.83 2.91%
656,814.90
2,616.02
0.44%
(44,231.92)
A2 / A-
AA-
4.22 4.04
As of March 31, 2022
31 Holdings Report
City of Cupertino - Account #10659
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
57629WDE7 Mass Mutual Global funding Note
1.200% Due 07/16/2026
1,000,000.00 08/19/2021
1.15%
1,002,230.00
1,001,954.37
92.44 3.09%
924,419.00
2,500.00
0.62%
(77,535.37)
Aa3 / AA+
AA+
4.30 4.12
58989V2D5 Met Tower Global Funding Note
1.250% Due 09/14/2026
770,000.00 09/07/2021
1.27%
769,291.60
769,368.80
92.42 3.08%
711,661.72
454.51
0.47%
(57,707.08)
Aa3 / AA-
AA-
4.46 4.27
931142ER0 Wal-Mart Stores Callable Note Cont 08/17/2026
1.050% Due 09/17/2026
350,000.00 09/08/2021
1.09%
349,338.50
349,409.50
93.10 2.70%
325,844.05
142.92
0.22%
(23,565.45)
Aa2 / AA
AA
4.47 4.31
59217GER6 Metlife Note
1.875% Due 01/11/2027
1,115,000.00 01/03/2022
1.90%
1,113,728.90
1,113,784.59
94.08 3.22%
1,049,016.53
4,645.83
0.70%
(64,768.06)
Aa3 / AA-
AA-
4.79 4.49
808513BY0 Charles Schwab Corp Callable Note Cont 2/3/2027
2.450% Due 03/03/2027
960,000.00 03/01/2022
2.46%
959,729.90
959,734.11
97.21 3.06%
933,244.80
1,829.34
0.62%
(26,489.31)
A2 / A
A
4.93 4.58
084664CZ2 Berkshire Hathaway Callable Note Cont 2/15/2027
2.300% Due 03/15/2027
1,615,000.00 03/07/2022
2.30%
1,614,693.15
1,614,696.01
98.28 2.67%
1,587,247.84
1,650.89
1.06%
(27,448.17)
Aa2 / AA
A+
4.96 4.64
TOTAL Corporate 40,201,000.00 1.70%
40,471,583.31
40,289,487.77 2.67%
38,977,513.07
182,946.93
26.07%
(1,311,974.70)
A1 / A+
AA-
2.92 2.79
Money Market Fund
94975H270 Wells Fargo 100% Treasury Money Mkt Fund 2,692,903.95 Various
0.01%
2,692,903.95
2,692,903.95
1.00 0.01%
2,692,903.95
0.00 1.79%
0.00 Aaa / AAA
NR
0.00 0.00
TOTAL Money Market Fund 2,692,903.95 0.01%
2,692,903.95
2,692,903.95 0.01%
2,692,903.95
0.00 1.79%
0.00 Aaa / AAA
NR
0.00 0.00
Municipal Bonds
13063DRK6 California State Taxable GO
2.400% Due 10/01/2024
755,000.00 10/16/2019
1.91%
772,342.35
763,786.53
99.41 2.64%
750,568.15
9,060.00
0.51%
(13,218.38)
Aa2 / AA-
AA
2.51 2.38
TOTAL Municipal Bonds 755,000.00 1.91%
772,342.35
763,786.53 2.64%
750,568.15
9,060.00
0.51%
(13,218.38)
Aa2 / AA-
AA
2.51 2.38
Negotiable CD
89114W7M1 Toronto Dominion Yankee CD
0.240% Due 04/28/2022
350,000.00 04/29/2021
0.24%
349,999.99
350,000.00
99.99 0.33%
349,975.50
788.67
0.23%
(24.50)
P-1 / A-1
F-1+
0.08 0.08
TOTAL Negotiable CD 350,000.00 0.24%
349,999.99
350,000.00 0.33%
349,975.50
788.67
0.23%
(24.50)
Aaa / AA
Aaa
0.08 0.08
As of March 31, 2022
32 Holdings Report
City of Cupertino - Account #10659
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Supranational
45950KCP3 International Finance Corp Note
2.875% Due 07/31/2023
2,700,000.00 07/01/2021
0.31%
2,842,425.00
2,791,680.20
100.96
2.14%
2,725,903.80
13,153.13
1.82%
(65,776.40)
Aaa / AAA
NR
1.33 1.30
4581X0DP0 Inter-American Dev Bank Note
0.250% Due 11/15/2023
2,800,000.00 07/01/2021
0.37%
2,792,300.00
2,794,702.90
96.88 2.22%
2,712,668.00
2,644.44
1.81%
(82,034.90)
Aaa / AAA
NR
1.63 1.60
45950KCT5 International Finance Corp Note
0.375% Due 07/16/2025
2,500,000.00 05/27/2021
0.66%
2,471,150.00
2,476,973.64
93.10 2.57%
2,327,570.00
1,953.13
1.55%
(149,403.64)
Aaa / AAA
NR
3.30 3.23
459058JL8 Intl. Bank Recon & Development Note
0.500% Due 10/28/2025
2,400,000.00 Various
0.60%
2,388,859.25
2,391,525.17
92.91 2.59%
2,229,847.21
5,100.01
1.49%
(161,677.96)
Aaa / AAA
AAA
3.58 3.49
4581X0DV7 Inter-American Dev Bank Note
0.875% Due 04/20/2026
2,460,000.00 04/13/2021
0.97%
2,448,733.20
2,450,868.09
93.40 2.60%
2,297,701.50
9,626.46
1.54%
(153,166.59)
Aaa / AAA
AAA
4.06 3.92
TOTAL Supranational 12,860,000.00 0.57%
12,943,467.45
12,905,750.00 2.41%
12,293,690.51
32,477.17
8.21%
(612,059.49)
Aaa / AAA
Aaa
2.69 2.62
US Treasury
912828T91 US Treasury Note
1.625% Due 10/31/2023
650,000.00 Various
1.94%
641,405.27
646,929.42
99.21 2.13%
644,870.85
4,435.08
0.43%
(2,058.57)
Aaa / AA+
AAA
1.59 1.54
912828V23 US Treasury Note
2.250% Due 12/31/2023
1,500,000.00 06/21/2019
1.80%
1,529,472.66
1,511,407.04
100.04
2.23%
1,500,586.50
8,484.12
1.00%
(10,820.54)
Aaa / AA+
AAA
1.75 1.70
912828B66 US Treasury Note
2.750% Due 02/15/2024
2,000,000.00 Various
2.14%
2,053,613.28
2,021,832.75
100.83
2.29%
2,016,640.00
6,837.01
1.35%
(5,192.75)
Aaa / AA+
AAA
1.88 1.82
91282CBR1 US Treasury Note
0.250% Due 03/15/2024
1,450,000.00 03/30/2021
0.33%
1,446,488.28
1,447,678.36
96.13 2.29%
1,393,812.50
167.46
0.93%
(53,865.86)
Aaa / AA+
AAA
1.96 1.93
912828X70 US Treasury Note
2.000% Due 04/30/2024
1,700,000.00 06/10/2019
1.92%
1,705,976.56
1,702,544.64
99.31 2.34%
1,688,246.20
14,276.24
1.13%
(14,298.44)
Aaa / AA+
AAA
2.08 2.01
912828XX3 US Treasury Note
2.000% Due 06/30/2024
2,000,000.00 Various
1.80%
2,018,574.22
2,008,637.69
99.16 2.39%
1,983,124.00
10,055.25
1.33%
(25,513.69)
Aaa / AA+
AAA
2.25 2.18
912828D56 US Treasury Note
2.375% Due 08/15/2024
1,700,000.00 09/18/2019
1.71%
1,753,191.41
1,725,734.91
99.86 2.44%
1,697,543.50
5,018.99
1.13%
(28,191.41)
Aaa / AA+
AAA
2.38 2.29
912828YY0 US Treasury Note
1.750% Due 12/31/2024
2,100,000.00 03/15/2022
1.97%
2,087,203.13
2,087,403.67
98.09 2.47%
2,059,803.90
9,238.26
1.38%
(27,599.77)
Aaa / AA+
AAA
2.76 2.65
912828ZC7 US Treasury Note
1.125% Due 02/28/2025
1,500,000.00 03/18/2020
0.81%
1,523,144.53
1,513,627.99
96.22 2.48%
1,443,282.00
1,467.39
0.96%
(70,345.99)
Aaa / AA+
AAA
2.92 2.84
91282CED9 US Treasury Note
1.750% Due 03/15/2025
2,100,000.00 03/14/2022
2.01%
2,084,414.07
2,084,655.82
97.99 2.46%
2,057,836.20
1,697.69
1.37%
(26,819.62)
Aaa / AA+
AAA
2.96 2.86
As of March 31, 2022
33 Holdings Report
City of Cupertino - Account #10659
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
2,500,000.00 03/21/2022
2.24%
2,360,839.85
2,362,065.93
93.73 2.50%
2,343,262.50
3,936.46
1.56%
(18,803.43)
Aaa / AA+
AAA
3.08 3.02
91282CAB7 US Treasury Note
0.250% Due 07/31/2025
1,500,000.00 03/12/2021
0.72%
1,469,765.63
1,476,988.60
92.81 2.51%
1,392,187.50
621.55
0.93%
(84,801.10)
Aaa / AA+
AAA
3.34 3.28
91282CAM3 US Treasury Note
0.250% Due 09/30/2025
2,400,000.00 Various
0.56%
2,366,140.63
2,374,101.83
92.48 2.51%
2,219,532.00
16.39 1.48%
(154,569.83)
Aaa / AA+
AAA
3.50 3.44
91282CAT8 US Treasury Note
0.250% Due 10/31/2025
2,450,000.00 Various
0.49%
2,422,492.19
2,429,360.28
92.30 2.51%
2,261,369.60
2,571.82
1.51%
(167,990.68)
Aaa / AA+
AAA
3.59 3.52
91282CAZ4 US Treasury Note
0.375% Due 11/30/2025
2,250,000.00 03/26/2021
0.77%
2,209,658.20
2,218,355.20
92.55 2.51%
2,082,480.75
2,827.95
1.39%
(135,874.45)
Aaa / AA+
AAA
3.67 3.59
91282CBH3 US Treasury Note
0.375% Due 01/31/2026
2,500,000.00 05/27/2021
0.75%
2,456,445.31
2,464,294.84
92.26 2.50%
2,306,542.50
1,553.87
1.54%
(157,752.34)
Aaa / AA+
AAA
3.84 3.76
91282CBW0 US Treasury Note
0.750% Due 04/30/2026
2,500,000.00 05/27/2021
0.80%
2,493,652.34
2,494,739.70
93.25 2.50%
2,331,347.50
7,872.93
1.56%
(163,392.20)
Aaa / AA+
AAA
4.08 3.96
91282CCZ2 US Treasury Note
0.875% Due 09/30/2026
1,400,000.00 10/18/2021
1.19%
1,379,054.68
1,380,955.64
93.20 2.48%
1,304,843.40
33.47 0.87%
(76,112.24)
Aaa / AA+
AAA
4.50 4.36
91282CDG3 US Treasury Note
1.125% Due 10/31/2026
1,400,000.00 11/15/2021
1.25%
1,391,468.75
1,392,105.41
94.18 2.48%
1,318,570.40
6,613.26
0.88%
(73,535.01)
Aaa / AA+
AAA
4.59 4.40
TOTAL US Treasury 35,600,000.00 1.30%
35,393,000.99
35,343,419.72 2.44%
34,045,881.80
87,725.19
22.73%
(1,297,537.92)
Aaa / AA+
Aaa
3.05 2.97
TOTAL PORTFOLIO 154,353,954.38 1.31%
155,368,025.96
154,669,326.60 2.43%
149,763,529.81
439,081.82
100.00%
(4,905,796.79)
Aa1 / AA+
Aaa
2.81 2.49
TOTAL MARKET VALUE PLUS ACCRUALS 150,202,611.63
As of March 31, 2022
34 SECTION |
Section 4 |
Transactions
35 Transaction Ledger
City of Cupertino - Account #10659
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 01/11/2022 59217GER6 1,115,000.00 Metlife Note
1.875% Due: 01/11/2027
99.886 1.90% 1,113,728.90 0.00 1,113,728.90 0.00
Purchase 01/13/2022 89236TJT3 1,215,000.00 Toyota Motor Credit Corp Note
1.45% Due: 01/13/2025
99.866 1.50% 1,213,371.90 0.00 1,213,371.90 0.00
Purchase 01/14/2022 64952WEK5 1,680,000.00 New York Life Global Note
1.45% Due: 01/14/2025
99.892 1.49% 1,678,185.60 0.00 1,678,185.60 0.00
Purchase 01/19/2022 05601XAC3 450,000.00 BMW Vehicle Lease Trust 2022-1 A3
1.1% Due: 03/25/2025
99.985 1.11% 449,932.73 0.00 449,932.73 0.00
Purchase 01/19/2022 380146AC4 295,000.00 GM Financial Auto Receivables 2022-1 A3
1.26% Due: 11/16/2026
99.991 1.27% 294,974.36 0.00 294,974.36 0.00
Purchase 01/19/2022 44891WAC3 540,000.00 Hyundai Auto Lease Trust 2022-A A3
1.16% Due: 01/15/2025
99.998 1.16% 539,988.07 0.00 539,988.07 0.00
Purchase 02/11/2022 06367TQW3 600,000.00 Bank of Montreal Note
0.625% Due: 07/09/2024
97.036 1.89% 582,216.00 333.33 582,549.33 0.00
Purchase 02/23/2022 36265MAC9 945,000.00 GM Financial Auto Lease Trust 2022-1 A3
1.9% Due: 03/20/2025
99.999 1.91% 944,991.87 0.00 944,991.87 0.00
Purchase 02/23/2022 43815BAC4 740,000.00 Honda Auto Receivables Trust 2022-1 A3
1.88% Due: 05/15/2026
99.985 1.89% 739,888.70 0.00 739,888.70 0.00
Purchase 02/28/2022 89238LAC4 1,150,000.00 Toyota Lease Owner Trust 2022-A A3
1.96% Due: 02/20/2025
99.984 1.98% 1,149,818.99 0.00 1,149,818.99 0.00
Purchase 03/03/2022 808513BY0 550,000.00 Charles Schwab Corp Callable Note Cont 2/3/2027
2.45% Due: 03/03/2027
99.892 2.47% 549,406.00 0.00 549,406.00 0.00
Purchase 03/03/2022 808513BY0 410,000.00 Charles Schwab Corp Callable Note Cont 2/3/2027
2.45% Due: 03/03/2027
100.079 2.43% 410,323.90 0.00 410,323.90 0.00
Purchase 03/15/2022 084664CZ2 1,615,000.00 Berkshire Hathaway Callable Note Cont 2/15/2027
2.3% Due: 03/15/2027
99.981 2.30% 1,614,693.15 0.00 1,614,693.15 0.00
Purchase 03/15/2022 91282CED9 2,100,000.00 US Treasury Note
1.75% Due: 03/15/2025
99.258 2.01% 2,084,414.07 0.00 2,084,414.07 0.00
December 31, 2021 through March 31, 2022
As of March 31, 2022
36 Transaction Ledger
City of Cupertino - Account #10659
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Purchase 03/16/2022 448977AD0 1,010,000.00 Hyundai Auto Receivables Trust 2022-A A3
2.22% Due: 10/15/2026
99.996 2.23% 1,009,961.12 0.00 1,009,961.12 0.00
Purchase 03/16/2022 47787JAC2 450,000.00 John Deere Owner Trust 2022-A A3
2.32% Due: 09/16/2026
99.978 2.34% 449,900.46 0.00 449,900.46 0.00
Purchase 03/16/2022 912828YY0 2,100,000.00 US Treasury Note
1.75% Due: 12/31/2024
99.391 1.97% 2,087,203.13 7,613.95 2,094,817.08 0.00
Purchase 03/17/2022 89114TZL9 700,000.00 Toronto-Dominion Bank Note
1.45% Due: 01/10/2025
96.391 2.79% 674,737.00 1,832.64 676,569.64 0.00
Purchase 03/18/2022 3137BM7C4 440,000.00 FHLMC K051 A2
3.308% Due: 09/25/2025
102.973 2.21% 453,079.69 687.33 453,767.02 0.00
Purchase 03/18/2022 3137BN6G4 570,000.00 FHLMC KO53
2.995% Due: 12/25/2025
102.105 2.29% 582,001.17 806.15 582,807.32 0.00
Purchase 03/22/2022 44935FAD6 1,000,000.00 Hyundai Auto Receivables Trust 2021-C A3
0.74% Due: 05/15/2026
96.645 2.46% 966,445.31 143.89 966,589.20 0.00
Purchase 03/22/2022 912828ZL7 2,500,000.00 US Treasury Note
0.375% Due: 04/30/2025
94.434 2.24% 2,360,839.85 3,677.49 2,364,517.34 0.00
Purchase 03/23/2022 02589BAA8 1,545,000.00 American Express Credit Accoun 22-1 A
2.21% Due: 03/15/2027
98.664 2.69% 1,524,359.77 474.23 1,524,834.00 0.00
Purchase 03/25/2022 89238EAC0 700,000.00 Toyota Lease Owner Trust 2021-A A3
0.39% Due: 04/22/2024
98.000 2.16% 686,000.00 37.92 686,037.92 0.00
Subtotal 24,420,000.00 24,160,461.74 15,606.93 24,176,068.67 0.00 TOTAL ACQUISITIONS 24,420,000.00 24,160,461.74 15,606.93 24,176,068.67 0.00
DISPOSITIONS
Sale 01/07/2022 912828L57 550,000.00 US Treasury Note
1.75% Due: 09/30/2022
101.043 1.62% 555,736.33 2,617.79 558,354.12 5,218.20
Sale 01/13/2022 05531FBG7 800,000.00 Truist Financial Corporation Callable Note Cont 5/20/2022
3.05% Due: 06/20/2022
100.942 0.21% 807,536.00 1,558.89 809,094.89 -358.77
December 31, 2021 through March 31, 2022
As of March 31, 2022
37 Transaction Ledger
City of Cupertino - Account #10659
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Sale 01/13/2022 89236TJD8 355,000.00 Toyota Motor Credit Corp Note
0.4% Due: 04/06/2023
99.524 0.44% 353,310.20 382.61 353,692.81 -1,512.60
Sale 01/13/2022 912828N30 500,000.00 US Treasury Note
2.125% Due: 12/31/2022
101.566 1.69% 507,832.03 381.56 508,213.59 5,741.08
Sale 01/14/2022 05531FBG7 1,200,000.00 Truist Financial Corporation Callable Note Cont 5/20/2022
3.05% Due: 06/20/2022
100.933 0.21% 1,211,196.00 2,440.00 1,213,636.00 -552.91 Sale 01/14/2022 69353RFE3 1,200,000.00 PNC Bank Callable Note Cont 6/28/2022
2.45% Due: 07/28/2022
100.938 2.16% 1,211,256.00 13,556.67 1,224,812.67 9,720.60 Sale 02/17/2022 912828N30 50,000.00 US Treasury Note
2.125% Due: 12/31/2022
100.910 1.69% 50,455.08 140.88 50,595.96 266.78
Sale 02/18/2022 808513AT2 1,500,000.00 Charles Schwab Corp Callable Note Cont 12/25/2022
2.65% Due: 01/25/2023
101.135 2.40% 1,517,025.00 2,539.58 1,519,564.58 15,694.60 Sale 02/25/2022 912828N30 700,000.00 US Treasury Note
2.125% Due: 12/31/2022
100.953 1.69% 706,671.88 2,301.10 708,972.98 4,102.15
Sale 03/03/2022 3137EAER6 150,000.00 FHLMC Note
0.375% Due: 05/05/2023
99.057 0.39% 148,585.80 184.38 148,770.18 -1,389.53
Sale 03/03/2022 912828N30 750,000.00 US Treasury Note
2.125% Due: 12/31/2022
100.953 1.69% 757,148.44 2,729.63 759,878.07 4,448.62
Sale 03/08/2022 3137EAEN5 250,000.00 FHLMC Note
2.75% Due: 06/19/2023
101.717 1.83% 254,292.50 1,508.68 255,801.18 1,447.86
Sale 03/08/2022 912828T91 1,350,000.00 US Treasury Note
1.625% Due: 10/31/2023
100.156 1.82% 1,352,109.38 7,756.91 1,359,866.29 8,751.54 Subtotal 9,355,000.00 9,433,154.64 38,098.68 9,471,253.32 51,577.62 TOTAL DISPOSITIONS 9,355,000.00 9,433,154.64 38,098.68 9,471,253.32 51,577.62 December 31, 2021 through March 31, 2022
As of March 31, 2022
38 Important Disclosures
2022 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential. Prices are provided by IDC, an independent pricing source. In the event IDC does not provide a price or if the price provided is not reflective of fair market value, Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures. Our valuation procedures are also disclosed in Item 5 of our Form ADV Part 2A.
Performance results are presented gross-of-advisory fees and represent the client’s Total Return. The deduction of advisory fees lowers performance results. These results include the reinvestment of dividends and other earnings. Past performance may not be indicative of future results. Therefore, clients should not assume that future performance of any specific investment or investment strategy will be profitable or equal to past performance levels. All investment strategies have the potential for profit or loss. Economic factors, market conditions or changes in investment strategies, contributions or withdrawals may materially alter the performance and results of your portfolio.
Index returns assume reinvestment of all distributions. Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the deduction of an investment management fee, the incurrence of which would have the effect of decreasing historical performance results. It is not possible to invest directly in an index.
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This report is provided for informational purposes only and should not be construed as a specific investment or legal advice. The information contained herein was obtained from sources believed to be reliable as of the date of publication, but may become outdated or superseded at any time without notice. Any opinions or views expressed are based on current market conditions and are subject to change. This report may contain forecasts and forward-looking statements which are inherently limited and should not be relied upon as indicator of future results. Past performance is not indicative of future results. This report is not intended to constitute an offer, solicitation, recommendation or advice regarding any securities or investment strategy and should not be regarded by recipients as a substitute for the exercise of their own judgment.
Fixed income investments are subject to interest, credit and market risk. Interest rate risk: the value of fixed income investments will decline as interest rates rise. Credit risk: the possibility that the borrower may not be able to repay interest and principal. Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk. Market risk: the bond market in general could decline due to economic conditions, especially during periods of rising interest rates.
Ratings information have been provided by Moody’s, S&P and Fitch through data feeds we believe to be reliable as of the date of this statement, however we cannot guarantee its accuracy.
Security level ratings for U.S. Agency issued mortgage-backed securities (“MBS”) reflect the issuer rating because the securities themselves are not rated. The issuing U.S. Agency guarantees the full and timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P, Moody’s and Fitch respectively.
As of March 31, 2022
39 Benchmark Disclosures
ICE BofA 1-5 Yr US Treasury & Agency Index
The ICE BofA 1-5 Year US Treasury & Agency Index tracks the performance of US dollar denominated US Treasury and nonsubordinated US agency debt issued in the US domestic market. Qualifying securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch). Qualifying securities must have at least one year remaining term to final maturity and less than five years remaining term to final maturity, at least 18 months to maturity at time of issuance, a fixed coupon schedule, and a minimum amount outstanding of $1 billion for sovereigns and $250 million for agencies.
As of March 31, 2022
40