CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending June 30, 2022
City of Cupertino
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of June 30, 2022
1 SECTION |
Section 1 |
Economic Update
2 Economic Update
Financial markets are experiencing he ightened volatility and tighter conditions as central banks employ more restrictive monetary policies to combat persistent inflation. The conflict between Russia and Ukraine has exacerbated inflationary pressures, particularly with energy and commodities, and strict COVID lockdowns in China are intensifying distressed supply chains. Inflation is weighing heavily on consumer sentiment and beginning to impact discretionary spending. Labor markets remain strong, but wage gains are not keeping up with inflation. While we expect the Fed to continue 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. We continue to believe the risk of an economic slowdown later this year has increased. Over the near- term, we expect financial market volatility to remain intensified and conditions to remain tighter with persistent inflation, geopolitical risk, supply chain bottlenecks, and the Fed's shift to a more hawkish monetary policy.
At the June meeting, persistently high inflation led the Federal Open Market Committee (FOMC) to announce a 0.75% federal funds rate increase to 1.50%- 1.75%. Federal Reserve Chair Powell indicated the committee may raise rates by 50 or 75 bps at the July meeting and continue to tighten as needed to dampen inflation. The Fed will continue shrinking its $9 trillion balance sheet by $47 billion per month as of June, increasing to $95 billion in September. We anticipate additional rates hikes as the Fed remains “committed” to the 2% long-term inflation target. In the second half of the year, monetary policy will be dependent on how the economy responds to tighter conditions.
In June, yields rose, and the curve flattened. The 2-year Treasury yield soared 40 basis points to 2.96%, the 5-year Treasury yield increased 22 basis points to 3.04%, and the 10-year Treasury yield rose 17 basis points to 3.02%. The spread between the 2-year and 10-year Treasury yield fell to 6 basis points at June month-end, down from 29 basis points at May month-end, and down significantly from 122 basis points one year ago. The spread between 3-month and 10-year treasuries is wider at about 135 basis points but continues to compress with each Fed rate hike. The shape of the curve bears watching but does not indicate a high probability of an imminent recession. 3 Source: US Department of Labor Source: US Department of Labor Employment
The U.S. economy a dded 372,000jobs in June, and job gains in May were revised down to 384,000from 390,000. Trends in employment remain strong, with the three-month moving average payrolls at 375,000and the six-month moving average at 457,000.Hiring was led by education and health services, followed by professional and business services, and leisure and hospitality. The unemployment rate remained unchanged at 3.6% for the fourth month, and the U-6 underemployment rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons, declined to a seasonally adjusted 6.7% rate. Average hourly earnings rose 5.1% year-over-year in June, easing from a revised 5.3% year-over-year gain in May, which reflects a continuing, slow deceleration in wage growth that could help ease broad cyclical price pressures. The labor participation rate decreased to 62.2%from 62.3%, suggesting a slower pace for workers returning to the labor market despite higher wages.
-5,000
-4,000
-3,000
-2,000
-1,000
0 1,000
2,000
3,000
4,000
5,000
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
The Consumer Price I ndex (CPI) hit a 40-year high in June with broad-based price increases for most goods and services. Headline CPI was up
9.1% year-over-year in June, surpassing expectations, up from 8.6% year-over-year in May. Core CPI (CPI less food and energy) was up 5.9% in June, down from 6.0% in May. Gasoline, shelter, and food were the largest contributors to the increase. The Personal Consumption Expenditures (PCE) index was up 6.3% year-over-year in May, unchanged from April. Core PCE was up 4.7% year-over-year in May, versus up
4.9% year-over-year in April. Persistently elevated levels of inflation are likely to keep the Federal Reserve on the path of tightening monetary policy as long as they continue to run well above the Fed’s longer-run target of around 2.0%.
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Cor e Deflator Y OY % Change
YOY( %) Change
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YOY( %) Change
5 Retail sales rose 1.0% in June from an upwardly revised -0.1% in May, led by a significant dollar value increase in gasoline sales. The higher- than-expected results indicate consumer demand is holding up more than expected despite inflation. Retail sales growth is at risk as consumers dip into savings and assume more debt. On a year-over-year basis, retail sales were up 8.4% in June versus up 8.2% revised in May.
The Consumer Confidence index fell to 98.7 in June from a downwardly revised 103.2 in May. U.S. consumer savings rates are declining, and the wealth effect is waning from recent financial market declines. While the average consumer still has capacity to spend from accumulated savings, higher wages, and credit lines, consumer balance sheets and discretionary spending decisions are increasingly pressured by elevated gas, food, and shelter costs.
Source: US Department of Commerce Source: The Conference Board
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 L eading Economic Index (LEI) decreased 0.4% month-over-month in May, following a 0.4% decline in April. On a year- over-year basis, the LEI was up 3.0% in May versus up 4.4% in April. The May monthly decline was fueled by tumbling stock prices, a slowdown in housing construction, and gloomier expectations. The index remains near historical highs, but the decline suggests weaker economic activity is likely in near term. Likewise, the Chicago Fed National Activity Index (CFNAI) fell to +0.01in May after a downwardly revised 0.40in April. On a 3-month moving average basis, the CFNAI decreased to 0.20 in May from 0.40 in April. -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
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
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 de clined 14.4% to an annual rate of 1,549,000in May, from a revised 1,810,000in units in April. Single-family home starts fell by 9.2% and multi-family fell 23.7% month-over-month. On a year-over-year basis, total housing starts decreased 3.5%, driven by multi- family. According to the Case-Shiller 20-City home price index, home prices were up 21.2% in April versus 21.1% year-over-year in March, setting another new record. While tight supply has continued 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 Suppl y Management (ISM) manufacturing index dropped sharply to a two-year low of 53.0in June from 56.1in May. Readings above 50.0 are indicative of expansion in the manufacturing sector. The decline was primarily driven by weakness in new orders due to softening consumer demand, supply constraints, and labor shortages. On a month-over-month basis, the Industrial Production index declined
0.2% in June, following a revised 0.0% change in May. Capacity utilization declined to 80.0% in June, from an upwardly revised 80.3% in May bringing it in line with its longer run average.
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 6/21 9/21 12/21 3/22
7.9% 1.4% 1.8% 1.2%
-0.7% 2.1% 5.8% 0.9%
-0.2% -1.3% -0.2% -3.2%
-0.4% -0.4% -0.3% -0.5%
0.0% 0.5% -0.2% -0.1%
6.7% 2.3% 6.9% -1.6%
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 t hird estimate, first quarter 2022GDP contracted at an annualized rate of 1.6%, revised down from the second estimate of a
1.5% decline, and following fourth quarter 2021growth of 6.9%. The most significant contributors to the decline were a widening of the trade deficit and slower inventory build. Personal consumption expenditures increased at a healthy pace with strong positive revisions to the previous reading, reflecting a shift in consumer demand from goods to services. The consensus estimate calls for 1.0% growth in the second quarter, 1.8% growth in the current quarter and 2.1% growth for 2022. 10 Federal Reserve
Source: Federal Reserve Source: Bloomberg
At the June m eeting, persistently high inflation led the Federal Open Market Committee (FOMC) to announce a 0.75% federal funds rate increase to 1.50% - 1.75%. Federal Reserve Chair Powell indicated the committee may raise rates by 50 or 75 bps at the July meeting and continue to tighten as needed to dampen inflation. Dot plot projections rose significantly from March, with the median fed funds target rate at
3.4% by the end of this year and 3.8% in 2023. The Fed will continue shrinking its $9 trillion balance sheet by $47 billion per month beginning this month, increasing to $95 billion in September. We anticipate additional rates hikes as the Fed remains “committed” to the 2% long-term inflation target. Although the FOMC views the economy as strong, the committee downgraded their economic outlook as trends cool later this year from tightening conditions.
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%
3.0%
3.5%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yield (%)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
US Treasury Yield Curve
Jun-22
Mar-22
Jun-21
Yield (%)
Bond Yields
At the end of June, the 2-year Treasury yield was 271basis points higher, and the 10-Year Treasury yield was about 155 basis points higher, year- over-year. The spread between the 2-year Treasury yield and 10-year Treasury yield fell to 6 basis points at June month-end, down from 29 basis points at May month-end, which is narrow compared to the average historical spread (since 2003)of about 130 basis points. The spread between 3-month and 10-year treasuries is wider at about 135 basis points but continues to compress with each Fed rate hike. The shape of the curve bears watching but does not indicate a high probability of an imminent recession. 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 June 30, 2022
14 Compliance As of June 30, 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 City of Cupertino
Assets managed by Chandler Asset Management are in full compliance with state law and with the City's investment policy. 15 Compliance As of June 30, 2022
Category Standard Comment
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. 16 Portfolio Characteristics
City of Cupertino
06/30/22 03/31/22
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 2.61 2.74 2.81
Average Modified Duration 2.51 2.39 2.49
Average Purchase Yield n/a 1.41% 1.31%
Average Market Yield 2.98% 3.25% 2.43%
Average Quality** AAA AA+/Aa1 AA+/Aa1
Total Market Value 148,744,657 150,202,612
*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 June 30, 2022
17 City of Cupertino
Sector Distribution
ABS
13.5%
Agency
22.0%
CMO
5.3%Corporate
26.7%
Money Market
Fund
0.8%
Municipal Bonds
0.5%
Supranational
7.8%
US Treasury
23.3%
June 30, 2022 March 31, 2022
ABS
12.7%
Agency
22.4%
CMO
5.3%Corporate
26.1%
Money Market
Fund
1.8%
Municipal Bonds
0.5%
Supranational
8.2%
US Treasury
22.7%
Negotiable CD
0.2%
As of June 30, 2022
18 Duration Allocation As of June 30, 2022
City of Cupertino
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ 06/30/22 1.1% 0.8% 6.0% 31.8% 30.6% 24.1% 5.7% 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
Supranational
US Treasury
19 Portfolio Allocation & Duration Changes
City of Cupertino
As of June 30, 2022
Benchmark: ICE BofA 1-5 Yr US Treasury & Agency Index
95.6%
98.6%100.8%99.3%
96.2%
98.4%
97.5%
100.0%
80.0%
85.0%
90.0%
95.0%
100.0%
105.0%
110.0%
06/30/2203/31/2212/31/2109/30/2106/30/2103/31/2112/31/2009/30/20 Duration as a % of the Benchmark
0.2%
0.5%
1.8%
5.3%
8.2%
12.7%
22.4%
22.7%
26.1%
0.0%
0.5%
0.9%
5.3%
7.8%
13.5%
22.0%
23.3%
26.7%
Negotiable CD
Municipal Bonds
Money Market
Fund
CMO
Supranational
ABS
Agency
US Treasury
Corporate
Portfolio Allocation
06/30/22
03/31/22
20 Issue Name Investment Type % Portfolio
Government of United States US Treasury 23.33%
Federal National Mortgage Association Agency 9.98%
Federal Home Loan Bank Agency 6.15%
Federal Home Loan Mortgage Corp Agency 5.89%
Federal Home Loan Mortgage Corp CMO 5.30%
Inter-American Dev Bank Supranational 3.34%
International Finance Corp Supranational 2.95%
American Express ABS ABS 1.93%
Hyundai Auto Receivables ABS 1.85%
Royal Bank of Canada Corporate 1.70%
Bank of America Corp Corporate 1.62%
Toyota Motor Corp Corporate 1.62%
Bank of New York Corporate 1.59%
JP Morgan Chase & Co Corporate 1.53%
Honda ABS ABS 1.49%
Intl Bank Recon and Development Supranational 1.48%
Toronto Dominion Holdings Corporate 1.44%
Paccar Financial Corporate 1.26%
GM Financial Automobile Leasing Trust ABS 1.25%
Toyota ABS ABS 1.24%
Toyota Lease Owner Trust ABS 1.21%
Bank of Montreal Chicago Corporate 1.17%
Metlife Inc Corporate 1.15%
Amazon.com Inc Corporate 1.15%
Air Products & Chemicals Corporate 1.14%
Salesforce.com Inc Corporate 1.12%
Prudential Financial Inc Corporate 1.12%
United Health Group Inc Corporate 1.09%
New York Life Global Funding Corporate 1.07%
Berkshire Hathaway Corporate 1.03%
John Deere ABS ABS 0.95%
Hyundai Auto Lease Securitization ABS 0.87%
Wells Fargo 100% Treasury MMKT Fund Money Market Fund 0.85% Guardian Life Global Funding Corporate 0.85%
US Bancorp Corporate 0.83%
Caterpillar Inc Corporate 0.72%
GM Financial Securitized Term Auto Trust ABS 0.67%
Deere & Company Corporate 0.67%
Issuers
City of Cupertino – Account #10659
As of June 30, 2022
21 Issue Name Investment Type % Portfolio
Verizon Owner Trust ABS 0.65%
Mass Mutual Insurance Corporate 0.61%
Charles Schwab Corp/The Corporate 0.61%
BMW Vehicle Lease Trust ABS 0.57%
Northwestern Mutual Glbl Corporate 0.52%
State of California Municipal Bonds 0.50%
Northern Trust Corp Corporate 0.46%
Morgan Stanley Corporate 0.41%
BMW ABS ABS 0.35%
Nissan ABS ABS 0.32%
Wal-Mart Stores Corporate 0.21%
Mercedes-Benz Auto Lease Trust ABS 0.18%
TOTAL 100.00%
Issuers
City of Cupertino – Account #10659
As of June 30, 2022
22 AAA AA A <A NR
06/30/22 18.4% 53.6% 19.0% 0.0% 9.0%
03/31/22 18.8% 54.5% 17.4% 0.0% 9.3%
Source: S&P Ratings
June 30, 2022 vs. March 31, 2022
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
AAA AA A <A NR
06/30/22 03/31/22
Quality Distribution
City of Cupertino
As of June 30, 2022
23 12-Month Earnings
Investment Performance
City of Cupertino
As of June 30, 2022
Source: City Cupertino Monthly Investment Report. Interest earnings include accrued interest and realized gains and losses on amortized cost.
Investment Earnings
July 2021 183,692
August 2021 157,972
September 2021 159,892
October 2021 151,138
November 2021 176,398
December 2021 149,494
January 2022 160,604
February 2022 161,702
March 2022 167,198
April 2022 196,298
May 2022 176,436
June 2022 162,140
Total 2,002,963
Change in Fair Value
Unrealized Gain/Loss Position 6/30/2021 2,050,499
Unrealized Gain/Loss Position 6/30/2022 (6,858,172)
Change in Fair Value (8,908,672)
24 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
-6.00%
-5.00%
-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 -0.94% -4.71% -2.22% 0.32% N/A N/A 0.85% ICE BofA 1-5 Yr US Treasury & Agency Index -0.81% -4.60% -2.45% 0.04% N/A N/A 0.82% City of Cupertino Net of Fees -0.95% -4.76% -2.28% 0.25% N/A N/A 0.78% As of June 30, 2022
25 Purchase Yield as of 06/30/22 = 1.41%
0.00 0.50
1.00 1.50
2.00 2.50
Percent (%)
Historical Average Purchase Yield
City of Cupertino
As of June 30, 2022
26 SECTION |
Section 3 |
Portfolio Holdings
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
ABS
43815NAC8 Honda Auto Receivables Trust 2019-3 A3
1.780% Due 08/15/2023
199,336.03 Various
1.93%
199,000.94
199,311.91
99.90 2.37%
199,141.08
157.69
0.13%
(170.83)
Aaa / AAA
NR
1.13 0.17
58769EAC2 Mercedes-Benz Auto Lease Trust 2020-B A3
0.400% Due 11/15/2023
272,540.50 09/15/2020
0.40%
272,526.68
272,537.26
99.33 2.65%
270,716.39
48.45 0.18%
(1,820.87)
NR / AAA
AAA
1.38 0.30
477870AC3 John Deere Owner Trust 2019-B A3
2.210% Due 12/15/2023
128,817.76 08/27/2019
1.79%
130,010.33
129,222.12
99.95 2.44%
128,759.14
126.53
0.09%
(462.98)
Aaa / NR
AAA
1.46 0.21
92348AAA3 Verizon Owner Trust 2019-C A1A
1.940% Due 04/22/2024
173,764.62 10/01/2019
1.95%
173,751.22
173,759.28
99.88 2.40%
173,558.88
103.00
0.12%
(200.40)
NR / AAA
AAA
1.81 0.26
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
688,522.06
97.83 3.35%
684,825.40
83.42 0.46%
(3,696.66)
Aaa / AAA
NR
1.81 0.73
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
789,936.35
97.40 3.49%
769,475.01
115.87
0.52%
(20,461.34)
Aaa / AAA
NR
1.97 0.83
65479JAD5 Nissan Auto Receivables Owner 2019-C A3
1.930% Due 07/15/2024
472,049.18 Various
1.70%
474,390.93
473,179.12
99.70 2.98%
470,640.11
404.91
0.32%
(2,539.01)
Aaa / AAA
NR
2.04 0.29
43813DAC2 Honda Auto Receivables 2020-2 A3
0.820% Due 07/15/2024
103,485.10 05/18/2020
0.83%
103,476.96
103,481.08
98.83 3.23%
102,272.78
37.71 0.07%
(1,208.30)
Aaa / AAA
NR
2.04 0.48
47789KAC7 John Deere Owner Trust 2020-A A3
1.100% Due 08/15/2024
143,725.01 03/04/2020
1.11%
143,716.22
143,720.79
98.99 3.46%
142,270.80
70.27 0.10%
(1,449.99)
Aaa / NR
AAA
2.13 0.43
43813KAC6 Honda Auto Receivables Trust 2020-3 A3
0.370% Due 10/18/2024
480,194.03 09/22/2020
0.38%
480,123.49
480,162.92
98.19 3.38%
471,497.72
64.16 0.32%
(8,665.20)
NR / AAA
AAA
2.30 0.60
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
964,991.58
96.79 3.43%
934,009.03
115.00
0.63%
(30,982.55)
NR / AAA
AAA
2.31 1.07
47787NAC3 John Deere Owner Trust 2020-B A3
0.510% Due 11/15/2024
161,692.64 07/14/2020
0.52%
161,668.00
161,681.73
98.35 3.33%
159,027.46
36.65 0.11%
(2,654.27)
Aaa / NR
AAA
2.38 0.58
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
424,971.39
97.07 3.49%
412,544.53
23.38 0.28%
(12,426.86)
Aaa / NR
AAA
2.49 0.93
89236XAC0 Toyota Auto Receivables 2020-D A3
0.350% Due 01/15/2025
371,225.19 10/06/2020
0.36%
371,156.03
371,183.87
98.50 3.19%
365,664.24
57.75 0.25%
(5,519.63)
NR / AAA
AAA
2.55 0.53
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
539,990.45
96.61 3.66%
521,674.56
278.40
0.35%
(18,315.89)
Aaa / AAA
NR
2.55 1.37
92290BAA9 Verizon Owner Trust 2020-B A
0.470% Due 02/20/2025
800,000.00 08/04/2020
0.48%
799,832.00
799,901.92
98.43 3.17%
787,412.80
114.89
0.53%
(12,489.12)
Aaa / NR
AAA
2.65 0.58
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
1,149,845.40
97.47 3.55%
1,120,864.75
688.72
0.75%
(28,980.65)
NR / AAA
AAA
2.65 1.61
As of June 30, 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
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
944,993.19
97.35 3.70%
919,922.54
548.63
0.62%
(25,070.65)
Aaa / NR
AAA
2.72 1.50
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
449,946.51
96.55 3.84%
434,472.75
82.50 0.29%
(15,473.76)
NR / AAA
AAA
2.74 1.27
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
294,996.97
97.62 3.54%
287,989.33
22.13 0.19%
(7,007.64)
Aaa / NR
AAA
2.81 0.73
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
1,089,888.57
97.65 3.47%
1,064,362.11
125.96
0.72%
(25,526.46)
Aaa / NR
AAA
2.88 0.73
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
514,966.70
96.59 3.80%
497,434.38
86.98 0.33%
(17,532.32)
NR / AAA
AAA
3.21 1.00
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
459,920.95
95.37 3.78%
438,717.18
112.44
0.30%
(21,203.77)
Aaa / NR
AAA
3.56 1.62
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
579,961.65
94.89 3.90%
550,381.14
134.04
0.37%
(29,580.51)
Aaa / NR
AAA
3.71 1.53
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
429,992.60
95.28 3.79%
409,713.89
135.69
0.28%
(20,278.71)
NR / AAA
AAA
3.79 1.56
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
739,900.80
96.81 3.55%
716,370.32
618.31
0.48%
(23,530.48)
Aaa / AAA
NR
3.88 1.94
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
1,299,676.37
95.56 3.57%
1,270,884.16
437.42
0.85%
(28,792.21)
NR / AAA
AAA
3.88 1.59
05602RAD3 BMW Vehicle Owner Trust 2022-A A3
3.210% Due 08/25/2026
530,000.00 05/10/2022
3.23%
529,972.44
529,973.51
98.96 4.46%
524,480.05
283.55
0.35%
(5,493.46)
Aaa / AAA
NR
4.16 0.85
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
349,992.90
94.95 4.17%
332,308.20
99.17 0.22%
(17,684.70)
Aaa / AAA
NR
4.22 1.47
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
449,908.79
97.45 3.74%
438,538.05
464.00
0.30%
(11,370.74)
Aaa / NR
AAA
4.22 1.82
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
1,009,964.62
96.92 3.83%
978,893.02
996.53
0.66%
(31,071.60)
NR / AAA
AAA
4.30 1.95
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
294,977.81
95.68 4.09%
282,247.15
154.88
0.19%
(12,730.66)
NR / AAA
AAA
4.38 1.55
362585AC5 GM Financial Securitized ART 2022-2 A3
3.100% Due 02/16/2027
390,000.00 04/05/2022
3.13%
389,918.49
389,923.63
99.09 3.60%
386,467.77
503.75
0.26%
(3,455.86)
Aaa / AAA
NR
4.64 1.90
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
1,526,256.85
96.71 3.52%
1,494,172.59
1,517.53
1.01%
(32,084.26)
Aaa / NR
AAA
4.71 2.57
As of June 30, 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
02582JJT8 American Express Credit Trust 2022-2 A
3.390% Due 05/17/2027
1,375,000.00 05/17/2022
3.42%
1,374,695.85
1,374,706.48
99.89 3.46%
1,373,420.13
2,071.67
0.92%
(1,286.35)
NR / AAA
AAA
4.88 2.68
TOTAL ABS 20,656,830.06 1.54%
20,589,823.15
20,596,348.13 3.54%
20,115,129.44
10,921.98
13.53%
(481,218.69)
Aaa / AAA
Aaa
3.27 1.38
Agency
3137EAER6 FHLMC Note
0.375% Due 05/05/2023
1,350,000.00 05/05/2020
0.39%
1,349,433.00
1,349,840.22
97.91 2.89%
1,321,739.10
787.50
0.89%
(28,101.12)
Aaa / AA+
AAA
0.85 0.83
3130A3DL5 FHLB Note
2.375% Due 09/08/2023
2,000,000.00 09/06/2019
1.52%
2,066,320.00
2,019,714.30
99.41 2.88%
1,988,290.00
14,909.72
1.35%
(31,424.30)
Aaa / AA+
NR
1.19 1.15
3135G0U43 FNMA Note
2.875% Due 09/12/2023
1,500,000.00 06/21/2019
1.89%
1,559,805.00
1,516,998.44
100.04
2.84%
1,500,610.50
13,057.29
1.02%
(16,387.94)
Aaa / AA+
AAA
1.20 1.16
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
1,755,000.00 12/02/2020
0.28%
1,753,262.55
1,754,173.32
96.30 2.92%
1,689,987.78
329.06
1.14%
(64,185.54)
Aaa / AA+
AAA
1.43 1.41
3130A0F70 FHLB Note
3.375% Due 12/08/2023
2,100,000.00 Various
1.75%
2,222,418.00
2,147,330.31
100.57
2.97%
2,111,923.80
4,528.13
1.42%
(35,406.51)
Aaa / AA+
AAA
1.44 1.39
3130A0XE5 FHLB Note
3.250% Due 03/08/2024
1,500,000.00 03/28/2019
2.27%
1,568,115.00
1,523,233.02
100.50
2.94%
1,507,534.50
15,302.08
1.02%
(15,698.52)
Aaa / AA+
NR
1.69 1.62
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
1,500,000.00 06/18/2019
1.96%
1,564,890.20
1,525,428.98
99.72 3.02%
1,495,816.51
2,036.46
1.01%
(29,612.47)
Aaa / AA+
NR
1.96 1.88
3135G0V75 FNMA Note
1.750% Due 07/02/2024
1,500,000.00 07/16/2019
1.96%
1,484,895.00
1,493,897.98
97.82 2.88%
1,467,325.50
13,052.08
1.00%
(26,572.48)
Aaa / AA+
AAA
2.01 1.93
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
2,000,000.00 09/13/2019
1.79%
2,103,380.00
2,045,625.49
99.67 3.03%
1,993,472.00
17,250.00
1.35%
(52,153.49)
Aaa / AA+
AAA
2.21 2.10
3135G0W66 FNMA Note
1.625% Due 10/15/2024
1,975,000.00 Various
1.73%
1,965,802.75
1,970,665.14
97.00 2.99%
1,915,669.03
6,775.35
1.29%
(54,996.11)
Aaa / AA+
AAA
2.30 2.22
3135G0X24 FNMA Note
1.625% Due 01/07/2025
1,295,000.00 Various
1.38%
1,309,953.95
1,302,830.48
96.64 3.02%
1,251,453.04
10,171.14
0.85%
(51,377.44)
Aaa / AA+
AAA
2.53 2.42
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
2,365,000.00 02/13/2020
1.52%
2,363,178.95
2,364,045.07
96.21 3.02%
2,275,276.63
13,697.29
1.54%
(88,768.44)
Aaa / AA+
AAA
2.62 2.52
3135G03U5 FNMA Note
0.625% Due 04/22/2025
1,860,000.00 04/22/2020
0.67%
1,856,168.40
1,857,844.73
93.60 3.02%
1,740,891.18
2,228.13
1.17%
(116,953.55)
Aaa / AA+
AAA
2.81 2.75
3135G04Z3 FNMA Note
0.500% Due 06/17/2025
2,500,000.00 Various
0.50%
2,499,227.30
2,499,666.87
92.85 3.04%
2,321,275.00
486.11
1.56%
(178,391.87)
Aaa / AA+
AAA
2.97 2.90
3137EAEU9 FHLMC Note
0.375% Due 07/21/2025
1,250,000.00 07/21/2020
0.48%
1,243,775.00
1,246,191.28
92.34 3.02%
1,154,220.00
2,083.33
0.78%
(91,971.28)
Aaa / AA+
AAA
3.06 2.99
As of June 30, 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
3135G05X7 FNMA Note
0.375% Due 08/25/2025
2,500,000.00 Various
0.48%
2,487,983.75
2,492,198.84
91.94 3.08%
2,298,430.00
3,281.25
1.55%
(193,768.84)
Aaa / AA+
AAA
3.16 3.08
3137EAEX3 FHLMC Note
0.375% Due 09/23/2025
2,500,000.00 Various
0.46%
2,489,362.80
2,492,974.49
91.79 3.06%
2,294,862.50
2,552.08
1.54%
(198,111.99)
Aaa / AA+
AAA
3.24 3.16
3135G06G3 FNMA Note
0.500% Due 11/07/2025
2,500,000.00 Various
0.56%
2,492,700.00
2,495,087.81
91.91 3.06%
2,297,757.50
1,875.00
1.55%
(197,330.31)
Aaa / AA+
AAA
3.36 3.28
TOTAL Agency 33,950,000.00 1.15%
34,380,671.65
34,097,746.77 2.99%
32,626,534.57
124,402.00
22.02%
(1,471,212.20)
Aaa / AA+
Aaa
2.29 2.22
CMO
3137B4WB8 FHLMC K033 A2
3.060% Due 07/25/2023
1,000,000.00 08/13/2019
2.02%
1,037,656.25
1,010,179.49
99.87 3.00%
998,711.00
510.00
0.67%
(11,468.49)
Aaa / NR
NR
1.07 0.90
3137B5JM6 FHLMC K034 A2
3.531% Due 07/25/2023
1,000,000.00 09/26/2019
2.00%
1,053,867.19
1,015,042.60
100.20
3.09%
1,001,998.00
2,942.50
0.68%
(13,044.60)
NR / NR
AAA
1.07 0.93
3137B7MZ9 FHLMC K036 A2
3.527% Due 10/25/2023
1,000,000.00 08/19/2019
1.92%
1,061,914.06
1,019,528.30
100.15
3.22%
1,001,454.00
587.83
0.67%
(18,074.30)
Aaa / NR
AAA
1.32 1.13
3137BFE98 FHLMC K041 A2
3.171% Due 10/25/2024
1,300,000.00 07/01/2021
0.72%
1,398,414.06
1,368,523.50
99.53 3.32%
1,293,906.90
3,435.25
0.87%
(74,616.60)
Aaa / AAA
AAA
2.32 2.11
3137BLMZ8 FHLMC K049 A2
3.010% Due 07/25/2025
1,000,000.00 07/01/2021
0.87%
1,079,687.50
1,060,025.77
98.82 3.38%
988,241.33
2,508.33
0.67%
(71,784.44)
NR / NR
AAA
3.07 2.77
3137BLW95 FHLMC K050 A2
3.334% Due 08/25/2025
950,000.00 11/16/2021
1.17%
1,018,132.81
1,006,836.18
99.93 3.30%
949,336.90
2,639.42
0.64%
(57,499.28)
NR / NR
AAA
3.16 2.81
3137BM7C4 FHLMC K051 A2
3.308% Due 09/25/2025
440,000.00 03/15/2022
2.21%
453,079.69
451,992.30
99.86 3.30%
439,370.36
1,212.93
0.30%
(12,621.94)
NR / NR
AAA
3.24 2.89
3137BN6G4 FHLMC KO53
2.995% Due 12/25/2025
570,000.00 03/15/2022
2.29%
582,001.17
581,086.71
98.67 3.38%
562,438.95
1,422.63
0.38%
(18,647.76)
NR / NR
AAA
3.49 3.11
3137BSP72 FHLMC K058 A2
2.653% Due 08/25/2026
650,000.00 11/12/2021
1.35%
687,451.17
682,524.53
97.07 3.40%
630,954.35
1,437.04
0.43%
(51,570.18)
NR / NR
AAA
4.16 3.82
TOTAL CMO 7,910,000.00 1.51%
8,372,203.90
8,195,739.38 3.25%
7,866,411.79
16,695.93
5.30%
(329,327.59)
Aaa / AAA
Aaa
2.35 2.10
Corporate
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
1,029,606.12
95.94 3.16%
988,184.06
2,111.50
0.67%
(41,422.06)
A2 / A
A
1.55 1.52
As of June 30, 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
06051GHF9 Bank of America Corp Callable Note 1X 3/5/2023
3.550% Due 03/05/2024
1,200,000.00 Various
2.69%
1,226,303.25
1,207,039.28
99.71 3.55%
1,196,493.60
13,726.67
0.81%
(10,545.68)
A2 / A-
AA-
1.68 1.60
89114QCA4 Toronto Dominion Bank Note
2.650% Due 06/12/2024
1,500,000.00 09/11/2019
2.24%
1,527,255.00
1,511,191.21
98.21 3.61%
1,473,199.50
2,097.92
0.99%
(37,991.71)
A1 / A
AA-
1.95 1.88
06367TQW3 Bank of Montreal Note
0.625% Due 07/09/2024
600,000.00 02/09/2022
1.89%
582,216.00
585,048.49
94.14 3.65%
564,866.40
1,791.67
0.38%
(20,182.09)
A2 / A-
AA-
2.03 1.97
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
1,751,392.48
94.71 3.33%
1,666,920.64
5,072.23
1.12%
(84,471.84)
A2 / A+
NR
2.04 1.99
78013XZU5 Royal Bank of Canada Note
2.550% Due 07/16/2024
1,500,000.00 Various
1.98%
1,533,359.18
1,516,561.19
97.73 3.71%
1,465,897.50
17,531.26
1.00%
(50,663.69)
A1 / A
AA-
2.05 1.95
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
1,257,738.71
97.63 3.59%
1,220,352.50
12,583.33
0.83%
(37,386.21)
A2 / A+
A+
2.08 1.99
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
1,712,291.90
99.80 3.45%
1,671,596.40
23,536.08
1.14%
(40,695.50)
A2 / A
NR
2.09 1.97
69371RR40 Paccar Financial Corp Note
0.500% Due 08/09/2024
680,000.00 08/03/2021
0.52%
679,632.80
679,742.02
94.15 3.40%
640,251.28
1,341.11
0.43%
(39,490.74)
A1 / A+
NR
2.11 2.06
69371RQ25 Paccar Financial Corp Note
2.150% Due 08/15/2024
370,000.00 08/08/2019
2.20%
369,182.30
369,652.69
97.31 3.47%
360,041.82
3,005.22
0.24%
(9,610.87)
A1 / A+
NR
2.13 2.04
14913Q3B3 Caterpillar Finl Service Note
2.150% Due 11/08/2024
1,100,000.00 01/28/2020
1.92%
1,111,517.00
1,105,685.86
97.10 3.44%
1,068,048.30
3,481.81
0.72%
(37,637.56)
A2 / A
A
2.36 2.26
74153WCQ0 Pricoa Global Funding Note
1.150% Due 12/06/2024
885,000.00 12/01/2021
1.19%
884,088.45
884,259.26
94.02 3.75%
832,037.18
706.77
0.56%
(52,222.08)
Aa3 / AA-
AA-
2.44 2.36
89114TZL9 Toronto-Dominion Bank Note
1.450% Due 01/10/2025
700,000.00 03/15/2022
2.79%
674,737.00
677,336.88
94.63 3.69%
662,429.60
4,764.86
0.45%
(14,907.28)
A1 / A
NR
2.53 2.43
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
1,213,622.95
94.86 3.59%
1,152,567.23
8,221.50
0.78%
(61,055.72)
A1 / A+
A+
2.54 2.44
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
1,678,463.72
94.49 3.75%
1,587,410.16
11,300.33
1.07%
(91,053.56)
Aaa / AA+
AAA
2.55 2.44
69371RR73 Paccar Financial Corp Note
2.850% Due 04/07/2025
885,000.00 03/31/2022
2.86%
884,769.90
884,787.75
98.11 3.57%
868,246.95
5,885.25
0.59%
(16,540.80)
A1 / A+
NR
2.77 2.62
78016EZ59 Royal Bank of Canada Note
3.375% Due 04/14/2025
1,050,000.00 04/07/2022
3.39%
1,049,611.50
1,049,639.15
98.74 3.86%
1,036,722.75
7,579.69
0.70%
(12,916.40)
A1 / A
AA-
2.79 2.62
06406RBC0 Bank of NY Mellon Corp Callable Note Cont 3/25/2025
3.350% Due 04/25/2025
1,370,000.00 04/19/2022
3.35%
1,369,808.20
1,369,819.76
98.96 3.74%
1,355,741.04
8,286.60
0.92%
(14,078.72)
A1 / A
AA-
2.82 2.65
As of June 30, 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
06367WB85 Bank of Montreal Note
1.850% Due 05/01/2025
1,240,000.00 07/23/2021
0.85%
1,285,656.80
1,274,392.13
94.88 3.77%
1,176,557.88
3,823.33
0.79%
(97,834.25)
A2 / A-
AA-
2.84 2.71
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
1,371,134.59
93.53 3.60%
1,281,329.50
940.73
0.86%
(89,805.09)
A2 / A-
AA-
2.92 2.83
46647PCK0 JP Morgan Chase & Co Callable Note Cont 6/23/2024
0.969% Due 06/23/2025
655,000.00 Various
0.95%
655,406.85
655,268.63
93.51 3.66%
612,486.57
141.05
0.41%
(42,782.06)
A2 / A-
AA-
2.98 2.89
74153WCM9 Pricoa Global Funding Note
0.800% Due 09/01/2025
904,000.00 04/06/2022
3.26%
832,972.72
837,776.50
91.37 3.71%
825,954.06
2,410.67
0.56%
(11,822.44)
Aa3 / AA-
AA-
3.18 3.07
06406HCQ0 Bank of New York Callable Note Cont 10/18/2025
3.950% Due 11/18/2025
1,000,000.00 04/05/2022
3.20%
1,024,910.00
1,023,268.64
99.93 3.97%
999,301.00
4,718.06
0.67%
(23,967.64)
A1 / A
AA-
3.39 3.12
40139LBC6 Guardian Life Glob Fun Note
0.875% Due 12/10/2025
1,400,000.00 Various
1.12%
1,385,860.00
1,388,352.99
90.21 3.94%
1,262,983.40
714.58
0.85%
(125,369.59)
Aa2 / AA+
NR
3.45 3.33
66815L2A6 Northwestern Mutual Glbl Note
0.800% Due 01/14/2026
850,000.00 12/06/2021
1.47%
827,449.50
830,535.52
89.98 3.86%
764,813.85
3,154.44
0.52%
(65,721.67)
Aaa / AA+
AAA
3.55 3.41
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
614,795.07
93.81 4.12%
562,840.80
4,634.50
0.38%
(51,954.27)
A2 / A-
AA-
3.63 3.40
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
411,747.75
93.59 4.25%
375,299.11
1,600.96
0.25%
(36,448.64)
A2 / A-
AA-
3.81 3.58
6174468Q5 Morgan Stanley Callable Note Cont 4/28/2025
2.188% Due 04/28/2026
650,000.00 05/23/2022
3.98%
615,699.50
616,584.52
93.70 4.33%
609,044.80
2,488.85
0.41%
(7,539.72)
A1 / A-
A
3.83 3.59
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
1,868,740.91
91.02 3.50%
1,706,658.75
2,552.08
1.15%
(162,082.16)
A1 / AA
AA-
3.87 3.73
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
1,026,256.50
90.77 3.73%
939,419.82
1,520.88
0.63%
(86,836.68)
A3 / A+
A
3.88 3.72
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
1,384,516.75
90.43 3.74%
1,252,393.18
562.66
0.84%
(132,123.57)
A1 / A+
A+
3.97 3.81
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
700,965.75
90.83 4.18%
635,789.70
307.77
0.43%
(65,176.05)
A2 / A-
AA-
3.97 3.79
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
1,001,840.87
89.98 3.90%
899,761.00
5,500.00
0.61%
(102,079.87)
Aa3 / AA+
AA+
4.05 3.86
As of June 30, 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
58989V2D5 Met Tower Global Funding Note
1.250% Due 09/14/2026
770,000.00 09/07/2021
1.27%
769,291.60
769,404.11
88.88 4.16%
684,389.09
2,860.76
0.46%
(85,015.02)
Aa3 / AA-
AA-
4.21 4.00
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
349,442.47
91.05 3.34%
318,691.45
1,061.67
0.21%
(30,751.02)
Aa2 / AA
AA
4.22 4.05
59217GER6 Metlife Note
1.875% Due 01/11/2027
1,115,000.00 01/03/2022
1.90%
1,113,728.90
1,113,847.94
90.87 4.10%
1,013,220.57
9,872.40
0.69%
(100,627.37)
Aa3 / AA-
AA-
4.54 4.23
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
959,747.32
93.40 4.01%
896,592.96
7,709.34
0.61%
(63,154.36)
A2 / A
A
4.68 4.31
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
1,614,711.30
94.59 3.56%
1,527,662.42
10,937.14
1.03%
(87,048.88)
Aa2 / AA
A+
4.71 4.37
665859AW4 Northern Trust Company Callable Note Cont 4/10/2027
4.000% Due 05/10/2027
670,000.00 05/05/2022
4.04%
668,914.60
668,945.51
100.75
3.83%
674,992.84
3,796.67
0.46%
6,047.33
A2 / A+
A+
4.86 4.29
91324PEG3 United Health Group Inc Callable Note Cont 4/15/2027
3.700% Due 05/15/2027
675,000.00 05/17/2022
3.69%
675,316.70
675,309.39
99.56 3.80%
672,015.15
2,844.37
0.45%
(3,294.24)
A3 / A+
A
4.88 4.40
TOTAL Corporate 41,670,000.00 1.85%
41,769,264.58
41,641,464.58 3.70%
39,503,204.81
207,176.71
26.70%
(2,138,259.77)
A1 / A+
AA-
3.05 2.89
Money Market Fund
94975H270 Wells Fargo 100% Treasury Money Mkt Fund 1,264,193.62 Various
0.64%
1,264,193.62
1,264,193.62
1.00 0.64%
1,264,193.62
0.00 0.85%
0.00 Aaa / AAA
NR
0.00 0.00
TOTAL Money Market Fund 1,264,193.62 0.64%
1,264,193.62
1,264,193.62 0.64%
1,264,193.62
0.00 0.85%
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
762,911.73
98.02 3.32%
740,066.10
4,530.00
0.50%
(22,845.63)
Aa2 / AA-
AA
2.26 2.16
TOTAL Municipal Bonds 755,000.00 1.91%
772,342.35
762,911.73 3.32%
740,066.10
4,530.00
0.50%
(22,845.63)
Aa2 / AA-
AA
2.26 2.16
Supranational
45950KCP3 International Finance Corp Note
2.875% Due 07/31/2023
2,050,000.00 07/01/2021
0.31%
2,158,137.50
2,106,575.25
100.03
2.84%
2,050,699.05
24,721.01
1.40%
(55,876.20)
Aaa / AAA
NR
1.08 1.05
As of June 30, 2022
34 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
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
2,795,515.78
96.54 2.84%
2,703,008.00
894.44
1.82%
(92,507.78)
Aaa / AAA
NR
1.38 1.35
45950KCT5 International Finance Corp Note
0.375% Due 07/16/2025
2,500,000.00 05/27/2021
0.66%
2,471,150.00
2,478,716.90
92.29 3.04%
2,307,335.00
4,296.88
1.55%
(171,381.90)
Aaa / AAA
NR
3.05 2.98
459058JL8 Intl. Bank Recon & Development Note
0.500% Due 10/28/2025
2,400,000.00 Various
0.60%
2,388,859.25
2,392,115.68
91.80 3.11%
2,203,108.80
2,100.01
1.48%
(189,006.88)
Aaa / AAA
AAA
3.33 3.25
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
2,451,429.58
91.97 3.13%
2,262,380.82
4,245.21
1.52%
(189,048.76)
Aaa / AAA
AAA
3.81 3.68
TOTAL Supranational 12,210,000.00 0.58%
12,259,179.95
12,224,353.19 2.99%
11,526,531.67
36,257.55
7.77%
(697,821.52)
Aaa / AAA
Aaa
2.51 2.44
US Treasury
912828T91 US Treasury Note
1.625% Due 10/31/2023
650,000.00 Various
1.94%
641,405.27
647,412.86
98.32 2.92%
639,081.95
1,779.55
0.43%
(8,330.91)
Aaa / AA+
AAA
1.34 1.30
912828V23 US Treasury Note
2.250% Due 12/31/2023
1,500,000.00 06/21/2019
1.80%
1,529,472.66
1,509,782.57
98.98 2.95%
1,484,766.00
91.71 1.00%
(25,016.57)
Aaa / AA+
AAA
1.50 1.46
912828B66 US Treasury Note
2.750% Due 02/15/2024
2,000,000.00 Various
2.14%
2,053,613.28
2,018,932.34
99.72 2.93%
1,994,376.00
20,662.99
1.35%
(24,556.34)
Aaa / AA+
AAA
1.63 1.56
91282CBR1 US Treasury Note
0.250% Due 03/15/2024
1,450,000.00 03/30/2021
0.33%
1,446,488.28
1,447,974.26
95.55 2.94%
1,385,543.15
1,063.86
0.93%
(62,431.11)
Aaa / AA+
AAA
1.71 1.68
912828X70 US Treasury Note
2.000% Due 04/30/2024
1,700,000.00 06/10/2019
1.92%
1,705,976.56
1,702,239.95
98.33 2.94%
1,671,644.00
5,728.26
1.13%
(30,595.95)
Aaa / AA+
AAA
1.84 1.78
912828XX3 US Treasury Note
2.000% Due 06/30/2024
2,000,000.00 Various
1.80%
2,018,574.22
2,007,680.28
98.18 2.94%
1,963,672.00
108.69
1.32%
(44,008.28)
Aaa / AA+
AAA
2.00 1.94
912828D56 US Treasury Note
2.375% Due 08/15/2024
1,700,000.00 09/18/2019
1.71%
1,753,191.41
1,723,033.78
98.77 2.98%
1,679,015.20
15,168.51
1.14%
(44,018.58)
Aaa / AA+
AAA
2.13 2.04
912828YY0 US Treasury Note
1.750% Due 12/31/2024
2,100,000.00 03/15/2022
1.97%
2,087,203.13
2,088,544.23
97.00 3.00%
2,037,081.90
99.86 1.37%
(51,462.33)
Aaa / AA+
AAA
2.51 2.42
912828ZC7 US Treasury Note
1.125% Due 02/28/2025
1,500,000.00 03/18/2020
0.81%
1,523,144.53
1,512,462.44
95.27 2.98%
1,429,101.00
5,640.29
0.96%
(83,361.44)
Aaa / AA+
AAA
2.67 2.59
91282CED9 US Treasury Note
1.750% Due 03/15/2025
3,100,000.00 Various
2.23%
3,057,617.20
3,061,160.30
96.78 3.00%
3,000,217.20
15,921.20
2.03%
(60,943.10)
Aaa / AA+
AAA
2.71 2.60
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
2,500,000.00 03/21/2022
2.24%
2,360,839.85
2,373,223.26
92.91 3.00%
2,322,655.00
1,579.48
1.56%
(50,568.26)
Aaa / AA+
AAA
2.84 2.78
91282CAB7 US Treasury Note
0.250% Due 07/31/2025
1,500,000.00 03/12/2021
0.72%
1,469,765.63
1,478,709.26
91.92 3.01%
1,378,770.00
1,564.23
0.93%
(99,939.26)
Aaa / AA+
AAA
3.09 3.03
As of June 30, 2022
35 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
91282CAM3 US Treasury Note
0.250% Due 09/30/2025
2,400,000.00 Various
0.56%
2,366,140.63
2,375,945.91
91.46 3.03%
2,195,155.20
1,508.20
1.48%
(180,790.71)
Aaa / AA+
AAA
3.25 3.19
91282CAT8 US Treasury Note
0.250% Due 10/31/2025
2,450,000.00 Various
0.49%
2,422,492.19
2,430,795.12
91.23 3.04%
2,235,147.25
1,031.93
1.50%
(195,647.87)
Aaa / AA+
AAA
3.34 3.27
91282CAZ4 US Treasury Note
0.375% Due 11/30/2025
2,250,000.00 03/26/2021
0.77%
2,209,658.20
2,220,505.82
91.44 3.03%
2,057,431.50
714.65
1.38%
(163,074.32)
Aaa / AA+
AAA
3.42 3.35
91282CBH3 US Treasury Note
0.375% Due 01/31/2026
2,500,000.00 05/27/2021
0.75%
2,456,445.31
2,466,614.02
91.04 3.03%
2,275,977.50
3,910.57
1.53%
(190,636.52)
Aaa / AA+
AAA
3.59 3.50
91282CBW0 US Treasury Note
0.750% Due 04/30/2026
2,500,000.00 05/27/2021
0.80%
2,493,652.34
2,495,060.97
91.79 3.03%
2,294,727.50
3,158.97
1.54%
(200,333.47)
Aaa / AA+
AAA
3.84 3.72
91282CCZ2 US Treasury Note
0.875% Due 09/30/2026
1,400,000.00 10/18/2021
1.19%
1,379,054.68
1,382,010.44
91.46 3.03%
1,280,452.60
3,079.23
0.86%
(101,557.84)
Aaa / AA+
AAA
4.25 4.11
91282CDG3 US Treasury Note
1.125% Due 10/31/2026
1,400,000.00 11/15/2021
1.25%
1,391,468.75
1,392,534.57
92.31 3.03%
1,292,320.40
2,653.53
0.87%
(100,214.17)
Aaa / AA+
AAA
4.34 4.17
TOTAL US Treasury 36,600,000.00 1.34%
36,366,204.12
36,334,622.38 2.99%
34,617,135.35
85,465.71
23.33%
(1,717,487.03)
Aaa / AA+
Aaa
2.80 2.72
TOTAL PORTFOLIO 155,016,023.68 1.41%
155,773,883.32
155,117,379.78 3.25%
148,259,207.35
485,449.88
100.00%
(6,858,172.43)
Aa1 / AA+
Aaa
2.74 2.39
TOTAL MARKET VALUE PLUS ACCRUALS 148,744,657.23
As of June 30, 2022
36 SECTION |
Section 4 |
Transactions
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
ACQUISITIONS
Purchase 04/07/2022 06406HCQ0 1,000,000.00 Bank of New York Callable Note Cont 10/18/2025
3.95% Due: 11/18/2025
102.491 3.21% 1,024,910.00 15,251.39 1,040,161.39 0.00
Purchase 04/07/2022 69371RR73 885,000.00 Paccar Financial Corp Note
2.85% Due: 04/07/2025
99.974 2.86% 884,769.90 0.00 884,769.90 0.00
Purchase 04/08/2022
74153WCM9 904,000.00 Pricoa Global Funding Note
0.8% Due: 09/01/2025
92.143 3.26% 832,972.72 743.29 833,716.01 0.00
Purchase 04/12/2022
91282CED9 1,000,000.00 US Treasury Note
1.75% Due: 03/15/2025
97.320 2.71% 973,203.13 1,331.52 974,534.65 0.00
Purchase 04/13/2022
362585AC5 390,000.00 GM Financial Securitized ART 2022-2 A3
3.1% Due: 02/16/2027
99.979 3.13% 389,918.49 0.00 389,918.49 0.00
Purchase 04/14/2022 78016EZ59 1,050,000.00 Royal Bank of Canada Note
3.375% Due: 04/14/2025
99.963 3.39% 1,049,611.50 0.00 1,049,611.50 0.00
Purchase 04/26/2022
06406RBC0 1,370,000.00 Bank of NY Mellon Corp Callable Note Cont 3/25/2025
3.35% Due: 04/25/2025
99.986 3.35% 1,369,808.20 0.00 1,369,808.20 0.00
Purchase 05/10/2022
665859AW4 670,000.00 Northern Trust Company Callable Note Cont 4/10/2027
4% Due: 05/10/2027
99.838 4.04% 668,914.60 0.00 668,914.60 0.00
Purchase 05/18/2022
05602RAD3 530,000.00 BMW Vehicle Owner Trust 2022-A A3
3.21% Due: 08/25/2026
99.995 3.23% 529,972.44 0.00 529,972.44 0.00
Purchase 05/20/2022 91324PEG3 260,000.00 United Health Group Inc Callable Note Cont 4/15/2027
3.7% Due: 05/15/2027
100.077 3.68% 260,200.20 0.00 260,200.20 0.00
Purchase 05/20/2022
91324PEG3 260,000.00 United Health Group Inc Callable Note Cont 4/15/2027
3.7% Due: 05/15/2027
100.077 3.68% 260,200.20 0.00 260,200.20 0.00
Purchase 05/20/2022
91324PEG3 155,000.00 United Health Group Inc Callable Note Cont 4/15/2027
3.7% Due: 05/15/2027
99.946 3.71% 154,916.30 0.00 154,916.30 0.00
Purchase 05/24/2022
02582JJT8 1,375,000.00 American Express Credit Trust 2022-2 A
3.39% Due: 05/17/2027
99.978 3.42% 1,374,695.85 0.00 1,374,695.85 0.00
March 31, 2022 through June 30, 2022
As of June 30, 2022
38 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 05/25/2022 6174468Q5 650,000.00 Morgan Stanley Callable Note Cont 4/28/2025
2.188% Due: 04/28/2026
94.723 3.98% 615,699.50 1,066.65 616,766.15 0.00
Subtotal 10,499,000.00 10,389,793.03 18,392.85 10,408,185.88 0.00 TOTAL ACQUISITIONS 10,499,000.00 10,389,793.03 18,392.85 10,408,185.88 0.00
DISPOSITIONS
Sale 04/04/2022
69371RP59 435,000.00 Paccar Financial Corp Note
3.4% Due: 08/09/2023
101.510 2.56% 441,568.50 2,259.58 443,828.08 1,907.08
Sale 04/07/2022 06406RAG2 1,000,000.00 Bank of NY Mellon Corp Note
3.5% Due: 04/28/2023
101.441 3.15% 1,014,410.00 15,458.33 1,029,868.33 10,927.58 Sale 04/12/2022
037833AK6 1,000,000.00 Apple Inc Note
2.4% Due: 05/03/2023
100.336 2.79% 1,003,360.00 10,600.00 1,013,960.00 7,230.21 Sale 04/12/2022
24422ETG4 1,000,000.00 John Deere Capital Corp Note
2.8% Due: 03/06/2023
100.708 2.60% 1,007,080.00 2,800.00 1,009,880.00 5,351.04 Sale 05/09/2022
931142EK5 1,000,000.00 Wal-Mart Stores Callable Note Cont 5/26/2023
3.4% Due: 06/26/2023
100.893 2.80% 1,008,930.00 12,561.11 1,021,491.11 3,041.77 Sale 05/19/2022 3137EAEN5 550,000.00 FHLMC Note
2.75% Due: 06/19/2023
100.505 1.83% 552,777.50 6,302.08 559,079.58 -2,517.91
Sale 05/23/2022
02665WCQ2 700,000.00 American Honda Finance Note
3.625% Due: 10/10/2023
100.908 2.52% 706,356.00 3,030.90 709,386.90 -1,428.72
Sale 05/25/2022
02665WCQ2 600,000.00 American Honda Finance Note
3.625% Due: 10/10/2023
100.903 2.52% 605,418.00 2,718.75 608,136.75 -1,228.19
Sale 06/30/2022
45950KCP3 650,000.00 International Finance Corp Note
2.875% Due: 07/31/2023
99.751 0.31% 648,378.25 7,786.46 656,164.71 -19,605.66
Subtotal 6,935,000.00 6,988,278.25 63,517.21 7,051,795.46 3,677.20 March 31, 2022 through June 30, 2022
As of June 30, 2022
39 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
Maturity 04/28/2022 89114W7M1 350,000.00 Toronto Dominion Yankee CD
0.24% Due: 04/28/2022
100.000 350,000.00 851.66 350,851.66 0.00
Subtotal 350,000.00 350,000.00 851.66 350,851.66 0.00
TOTAL DISPOSITIONS 7,285,000.00 7,338,278.25 64,368.87 7,402,647.12 3,677.20 March 31, 2022 through June 30, 2022
As of June 30, 2022
40 Important Disclosures
2022 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential . Prices are provided by ICE Data Services Inc (“IDS”), an independent pricing source. In the event IDS 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.
Source ICE Data Indices, LLC ("ICE"), used with permission. ICE permits use of the ICE indices and related data on an "as is" basis; ICE, its affiliates and their respective third party suppliers disclaim any and all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, or derived therefrom. Neither ICE data, its affiliates or their respective third party providers guarantee the quality, adequacy, accuracy, timeliness or completeness of the indices or the index data or any component thereof, and the indices and index data and all components thereof are provided on an "as is" basis and licensee's use it at licensee's own risk. ICE data, its affiliates and their respective third party do not sponsor, endorse, or recommend chandler asset management, or any of its products or services.
This re port 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 June 30, 2022
41 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 June 30, 2022
42