CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending August 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 August 31, 2022
1 SECTION |
Section 1 |
Economic Update
2 Economic Update
Persistently high inflation and m ore restrictive monetary policies around the globe are setting the tone for financial markets. Labor markets and consumer balance sheets remain strong; however, inflation is weighing heavily on consumer sentiment and beginning to impact discretionary spending. Corporate earnings have generally performed better than expected. While evidence of slower economic conditions has begun to mount, we expect the Federal Reserve to continue to raise rates until a sustainable improvement in inflationary conditions has been achieved. Over the near-term, we expect financial market volatility to remain intensified and conditions to tighten with persistent inflation, geopolitical risk, supply chain bottlenecks, and the Fed's hawkish monetary policy.
At the July meeting, the Federal Open Market Committee (FOMC) delivered another 75-basis point increase to the Fed Funds Rate, increasing the range to 2.25% to 2.50%. The FOMC acknowledged spending and production were trending lower, offset by a strong labor market and elevated inflation metrics. Although declining to provide “forward guidance”, Fed Chair Powell acknowledged current policy settings are close to neutral but emphasized policy would need to move to a more restrictive stance to counterbalance the elevated inflation trends. We anticipate additional rates hikes as the Fed remains focused on lowering inflation.
In August, yields rose, and the curve inverted further. The 2-year Treasury yield increased 61 basis points to 3.50%, the 5- year Treasury yield rose 68 basis points to 3.35%, and the 10-year Treasury yield gained 54 basis points to 3.20%. The spread between the 2-year Treasury yield and 10-year Treasury yield became more inverted at -30 basis points at August month- end versus -24 basis points at July month-end. The spread was a positive 110 basis points one year ago. The spread between 3-month and 10-year treasuries compressed to just 27 basis points in August. The shape of the curve does not necessarily indicate an imminent recession but bears watching as a better predictor of recession over the medium-term. 3 Source: US Department of Labor Source: US Department of Labor Employment
The U.S. economy a dded 315,000jobs in August, surpassing market expectations of 298,000,while gains were revised downward by 107,000for the prior two months. Trends in employment remain strong, with the three-month moving average payrolls at 378,000and the six-month moving average at 381,000.Hiring was widespread, led by professional and business services, healthcare, and retail. The unemployment rate rose to 3.7% from 3.5%, as the labor participation rate increased to 62.4% from 62.1% in July. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons increased to 7.0% from 6.7% last month.
Average hourly earnings rose 5.2% year-over-year in August, remaining consistent with July, adding to broader inflationary pressures in the economy. The strong August labor report bolsters the case for the Fed to continue raising the federal funds rate. -500
0 500
1,000
1,500
2,000
2,500
3,000
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%
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) increased more than expected in August, with broad-based gains led by shelter and food. Headline CPI increased 8.3% year-over-year in August, versus expectations for an 8.0% increase, and down from an 8.5% year-over-year gain in July. Core CPI (CPI less food and energy) rose 6.2% year-over-year in August, up from a 5.9% year-over-year gain in July. The annual increase of rent and owner’s equivalent rent of 6.3% and 6.6% respectively were the largest annual increases since 1986. The Personal Consumption Expenditures (PCE) index came in better than expected, up 6.3% year-over-year in July, versus a 6.8% year-over-year increase June. Core PCE was up 4.6% year-over-year in July, versus up 4.8% year-over-year in June. Persistently elevated inflation is likely to keep the Federal Reserve on the path of tightening monetary policy as long as it continues 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 unexpectedly rose in August by 9.1% year-over-year. Although the August data surprised to the upside, July was revised down to
10.1% growth year-over-year. Retail sales growth is at risk as consumers dip into savings and assume more debt. The Consumer Confidence index rose to 103.2 in August from a downwardly revised 95.3 in July. Both current conditions and future expectations improved from last month. Energy prices have eased; however, discretionary spending decisions remain pressured by broad-based inflation.
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 less than expected to -0.4% in July, following a decline to -0.7% in June. With the index now flat year-over-year versus +1.4% in June, the Conference Board stated that consumer pessimism, equity market volatility, and lower economic indicators suggest economic weakness will intensify and spread throughout the US economy. The Chicago Fed National Activity Index (CFNAI) rose to +0.27 in July with all four broad categories improving from a downwardly revised -0.25 in June. On a 3-month moving average basis, the CFNAI was unchanged at -0.09 in July. -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%
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 9.6% to an annual rate of 1,446,000in July, from a revised 1,599,000in units in June. Single-family home starts fell by 10.1%and multi-family decreased 8.6% month-over-month. On a year-over-year basis, total housing starts decreased 8.1%, driven by a drop in all home types as homebuyers struggle with a combination of elevated prices and higher mortgage rates. According to the Case-Shiller 20- City home price index, home prices were up 18.6% year-over-year in June, easing from a 20.5% year-over-year increase in May. The rate of home price increases will likely continue to decelerate as the year progresses due to the substantial rise in mortgage rates and the negative performance of financial markets.
8 Source: Institute for Supply Management Source: Federal Reserve Manufacturing
The Institute for Suppl y Management (ISM) manufacturing index was unchanged in August at 52.8, remaining stable from July. Readings above
50.0 are indicative of expansion in the manufacturing sector. Both new orders and employment improved, while price increases moderated.
Total industrial production declined by -0.2% in August, following a downwardly revised increase of 0.5% in July. Capacity utilization fell to
80.0% in August from 80.2% in July, a rate that is 0.4 percentage points above its long-run (1972-2021) 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 9/21 12/21 3/22 6/22
1.4% 1.8% 1.2% 1.0%
2.1% 5.8% 0.9% -2.7%
-1.3% -0.2% -3.2% 1.4%
-0.4% -0.3% -0.5% -0.3%
0.5% -0.2% -0.1% -0.1%
2.3% 6.9% -1.6% -0.6%
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 s econd estimate, U.S. GDP contracted less than originally reported, down -0.6% annualized in the second quarter, an improvement from the first estimate of -0.9%. The upturn reflected positive revisions for consumer spending and inventory investment. The largest negative contribution was from a drop in gross residential investment as the housing sector diminished sharply. The second quarter decline followed a first quarter contraction of -1.6%. Although many market participants link two quarters in a row of negative GDP growth with a recession, an official declaration by the National Bureau of Economic Research is unlikely given the mosaic of data and the strength of the labor market. The consensus estimate calls for 1.4% growth in the third quarter and 1.6% growth for the full year 2022. 10 Federal Reserve
Source: Federal Reserve Source: Bloomberg
At the July m eeting, the Federal Open Market Committee (FOMC) delivered another 75-basis point increase to the Fed Funds Rate, increasing the range to 2.25% to 2.50%. The FOMC acknowledged spending and production were trending lower, offset by a strong labor market and elevated inflation metrics. Although declining to provide “forward guidance”, Fed Chair Powell acknowledged current policy settings are close to neutral but emphasized policy would need to move to a more restrictive stance to counterbalance the elevated inflation trends. The Fed will continue shrinking its $9 trillion balance sheet by $47.5 billion per month, increasing to $95 billion in September. We anticipate additional rates hikes as the Fed remains focused on lowering inflation. As inflation metrics begin to moderate, we believe the Federal Reserve will decelerate their pace of tightening, but a material decline in inflation in the short-term is unlikely.
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%
4.0%
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%
4.0%
US Treasury Yield Curve
Aug-22
May-22
Aug-21
Yield (%)
Bond Yields
At the end of August, the 2-year Treasury yield was 329 basis points higher, and the 10-Year Treasury yield was about 189basis points higher, year-over-year. The spread between the 2-year Treasury yield and 10-year Treasury yield became more inverted at -30 basis points at August month-end versus -24 basis points at July month-end. The average historical spread (since 2003) is about 130 basis points. The spread between 3-month and 10-year treasuries compressed to just 27 basis points. The shape of the yield curve does not indicate an imminent recession but bears watching as a better predictor of recession over the medium-term. 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 August 31, 2022
14 Compliance As of August 31, 2022
Category Standard Comment
Treasury Issues N o L im itation Complies
Agency Issues 25% per Agency/GSE i ssuer; 20% max agency cal l abl e securi ti es; Issued by Federal Agenci es 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 Se curitie s
"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 Medi um 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/
Collate ralize d Mortgage Obligation
"AA" rati ng category or better by a NRSRO; 20% maxi mum; 5% max per i ssuer on Asset-Backed or Commerci al Mortgage securi ty; There i s no i ssuer l i mi tati on on any Mortgage securi ty where the i ssuer i s the U.S. Treasury or a Federal Agency/GSE .
Complies
Negoti abl e Certi fi cates of Deposi t
(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 l
icensed or state-licensed branch of a foreign bank.
Complies
Certi fi cates of Deposi t (CDs)/Ti me
Deposit (TDs)
30% m axim um ; 5% m ax pe r issue r; Ce rtificate s of De posit, Tim e De posit, non-ne gotiable , and collate ralize d 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
Commerci al 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 o
bligations can be utilized.
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 August 31, 2022
Category Standard Comment
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; Z
ero 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 Maxi mum maturi ty 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 Summary – City of Cupertino #10659 As of August 31, 2022 17 Purchase Yield as of 08/31/22 = 1.56%
0.00 0.50
1.00 1.50
2.00 2.50
Percent (%)
Historical Average Purchase Yield
City of Cupertino
As of August 31, 2022
18 SECTION |
Section 3 |
Portfolio Holdings
19 Issue Name Investment Type % Portfolio
Government of United States US Treasury 27.53%
Federal National Mortgage Association Agency 8.91%
Federal Home Loan Mortgage Corp CMO 5.27%
Federal Home Loan Bank Agency 5.07%
Federal Home Loan Mortgage Corp Agency 4.97%
Inter-American Dev Bank Supranational 3.34%
American Express ABS ABS 1.92%
Hyundai Auto Receivables ABS 1.85%
Royal Bank of Canada Corporate 1.69%
Toyota Motor Corp Corporate 1.62%
Bank of New York Corporate 1.60%
Bank of America Corp Corporate 1.56%
International Finance Corp Supranational 1.54%
JP Morgan Chase & Co Corporate 1.54%
Intl Bank Recon and Development Supranational 1.47%
Toronto Dominion Holdings Corporate 1.44%
Honda ABS ABS 1.36%
John Deere ABS ABS 1.33%
Northwestern Mutual Glbl Corporate 1.30%
Paccar Financial Corporate 1.26%
GM Financial Automobile Leasing Trust ABS 1.25%
Toyota Lease Owner Trust ABS 1.22%
Bank of Montreal Chicago Corporate 1.18%
Amazon.com Inc Corporate 1.15%
Metlife Inc Corporate 1.14%
Toyota ABS ABS 1.14%
Salesforce.com Inc Corporate 1.13%
Air Products & Chemicals Corporate 1.12%
Prudential Financial Inc Corporate 1.11%
United Health Group Inc Corporate 1.09%
New York Life Global Funding Corporate 1.07%
Berkshire Hathaway Corporate 1.04%
Hyundai Auto Lease Securitization ABS 0.87%
Guardian Life Global Funding Corporate 0.84%
US Bancorp Corporate 0.82%
Caterpillar Inc Corporate 0.72%
GM Financial Securitized Term Auto Trust ABS 0.68%
Deere & Company Corporate 0.67%
Issuers
City of Cupertino – Account #10659
As of August 31, 2022
20 Issue Name Investment Type % Portfolio
Charles Schwab Corp/The Corporate 0.61%
Verizon Owner Trust ABS 0.61%
Mass Mutual Insurance Corporate 0.60%
BMW Vehicle Lease Trust ABS 0.57%
State of California Municipal Bonds 0.50%
Northern Trust Corp Corporate 0.46%
Morgan Stanley Corporate 0.42%
Verizon Master Trust ABS 0.39%
BMW ABS ABS 0.35%
Nissan ABS ABS 0.24%
Wal-Mart Stores Corporate 0.22%
Mercedes-Benz Auto Lease Trust ABS 0.14%
Wells Fargo 100% Treasury MMKT Fund Money Market Fund 0.04% TOTAL 100.00%
Issuers
City of Cupertino – Account #10659
As of August 31, 2022
21 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
110,281.49 Various
1.93%
110,096.11
110,279.03
99.84 3.27%
110,110.22
87.24 0.07%
(168.81)
Aaa / AAA
NR
0.96 0.10
58769EAC2 Mercedes-Benz Auto Lease Trust 2020-B A3
0.400% Due 11/15/2023
209,551.58 09/15/2020
0.40%
209,540.96
209,549.87
99.43 3.20%
208,356.51
37.25 0.14%
(1,193.36)
NR / AAA
AAA
1.21 0.20
477870AC3 John Deere Owner Trust 2019-B A3
2.210% Due 12/15/2023
76,282.57 08/27/2019
1.79%
76,988.78
76,494.12
99.87 3.31%
76,180.89
74.93 0.05%
(313.23)
Aaa / NR
AAA
1.29 0.12
92348AAA3 Verizon Owner Trust 2019-C A1A
1.940% Due 04/22/2024
114,235.57 10/01/2019
1.95%
114,226.76
114,232.39
99.74 3.26%
113,932.96
67.72 0.08%
(299.43)
NR / AAA
AAA
1.64 0.20
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
690,117.65
98.09 3.79%
686,633.50
83.42 0.46%
(3,484.15)
Aaa / AAA
NR
1.64 0.56
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
789,945.30
97.70 3.83%
771,820.52
115.87
0.52%
(18,124.78)
Aaa / AAA
NR
1.80 0.66
65479JAD5 Nissan Auto Receivables Owner 2019-C A3
1.930% Due 07/15/2024
360,199.61 Various
1.70%
361,986.49
360,990.06
99.64 3.43%
358,887.76
308.97
0.24%
(2,102.30)
Aaa / AAA
NR
1.87 0.24
43813DAC2 Honda Auto Receivables 2020-2 A3
0.820% Due 07/15/2024
85,823.19 05/18/2020
0.83%
85,816.44
85,820.14
98.74 3.71%
84,741.39
31.28 0.06%
(1,078.75)
Aaa / AAA
NR
1.87 0.44
47789KAC7 John Deere Owner Trust 2020-A A3
1.100% Due 08/15/2024
114,500.71 03/04/2020
1.11%
114,493.71
114,497.62
99.04 3.73%
113,405.97
55.98 0.08%
(1,091.65)
Aaa / NR
AAA
1.96 0.36
43813KAC6 Honda Auto Receivables Trust 2020-3 A3
0.370% Due 10/18/2024
412,256.56 09/22/2020
0.38%
412,196.00
412,233.13
98.00 3.95%
404,010.19
55.08 0.27%
(8,222.94)
NR / AAA
AAA
2.13 0.56
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
964,992.50
96.84 3.92%
934,484.77
115.00
0.63%
(30,507.73)
NR / AAA
AAA
2.14 0.90
47787NAC3 John Deere Owner Trust 2020-B A3
0.510% Due 11/15/2024
139,828.63 07/14/2020
0.52%
139,807.32
139,820.24
98.21 4.07%
137,331.99
31.69 0.09%
(2,488.25)
Aaa / NR
AAA
2.21 0.50
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
424,974.67
97.25 3.88%
413,303.58
23.38 0.28%
(11,671.09)
Aaa / NR
AAA
2.32 0.78
89236XAC0 Toyota Auto Receivables 2020-D A3
0.350% Due 01/15/2025
316,534.22 10/06/2020
0.36%
316,475.24
316,501.34
98.27 3.85%
311,047.73
49.24 0.21%
(5,453.61)
NR / AAA
AAA
2.38 0.49
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
539,991.36
96.70 3.91%
522,177.84
278.40
0.35%
(17,813.52)
Aaa / AAA
NR
2.38 1.21
92290BAA9 Verizon Owner Trust 2020-B A
0.470% Due 02/20/2025
800,000.00 08/04/2020
0.48%
799,832.00
799,908.23
98.63 3.55%
789,046.40
114.89
0.53%
(10,861.83)
Aaa / NR
AAA
2.48 0.44
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
1,149,858.71
97.02 4.05%
1,115,712.75
688.72
0.75%
(34,145.96)
NR / AAA
AAA
2.48 1.44
As of August 31, 2022
22 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
944,993.83
97.22 4.00%
918,756.41
548.63
0.62%
(26,237.42)
Aaa / NR
AAA
2.55 1.34
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
449,951.74
96.88 3.91%
435,969.90
82.50 0.29%
(13,981.84)
NR / AAA
AAA
2.57 1.12
43813GAC5 Honda Auto Receivables Trust 2021-1 A3
0.270% Due 04/21/2025
276,106.97 02/17/2021
0.27%
276,101.92
276,104.42
97.54 4.00%
269,323.02
20.71 0.18%
(6,781.40)
Aaa / NR
AAA
2.64 0.66
89240BAC2 Toyota Auto Receivables Owners 2021-A A3
0.260% Due 05/15/2025
986,412.54 02/02/2021
0.27%
986,229.47
986,321.73
97.52 3.96%
961,908.08
113.99
0.65%
(24,413.65)
Aaa / NR
AAA
2.71 0.67
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
514,969.72
96.84 4.03%
498,726.00
86.98 0.34%
(16,243.72)
NR / AAA
AAA
3.04 0.87
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
459,926.02
95.31 3.99%
438,422.32
112.44
0.30%
(21,503.70)
Aaa / NR
AAA
3.39 1.53
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
579,964.06
95.03 4.12%
551,158.34
134.04
0.37%
(28,805.72)
Aaa / NR
AAA
3.54 1.40
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
429,993.08
95.28 3.99%
409,711.31
135.69
0.28%
(20,281.77)
NR / AAA
AAA
3.62 1.46
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
739,906.67
96.36 3.91%
713,063.27
618.31
0.48%
(26,843.40)
Aaa / AAA
NR
3.71 1.82
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
1,301,700.13
95.42 3.94%
1,269,125.90
437.42
0.86%
(32,574.23)
NR / AAA
AAA
3.71 1.45
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
529,975.02
98.80 4.16%
523,664.91
283.55
0.35%
(6,310.11)
Aaa / AAA
NR
3.99 1.30
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
349,993.34
95.02 4.27%
332,558.10
99.17 0.22%
(17,435.24)
Aaa / AAA
NR
4.05 1.41
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
449,913.61
96.99 3.97%
436,463.55
464.00
0.29%
(13,450.06)
Aaa / NR
AAA
4.05 1.85
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
1,009,966.66
96.56 4.15%
975,206.52
996.53
0.66%
(34,760.14)
NR / AAA
AAA
4.13 1.81
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
294,979.12
95.94 4.10%
283,030.38
154.88
0.19%
(11,948.74)
NR / AAA
AAA
4.21 1.44
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
389,927.67
98.52 3.95%
384,210.06
503.75
0.26%
(5,717.61)
Aaa / AAA
NR
4.47 1.80
47800AAC4 John Deere Owner Trust 2022-B A3
3.740% Due 02/16/2027
655,000.00 07/12/2022
3.77%
654,937.45
654,939.51
99.28 4.09%
650,265.66
2,789.94
0.44%
(4,673.85)
Aaa / NR
AAA
4.47 2.24
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
1,527,433.04
96.27 3.78%
1,487,348.33
1,517.53
1.00%
(40,084.71)
Aaa / NR
AAA
4.54 2.42
As of August 31, 2022
23 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
1,374,723.83
98.86 3.87%
1,359,338.75
2,071.67
0.92%
(15,385.08)
NR / AAA
AAA
4.71 2.53
92348KAV5 Verizon Master Trust 2022-5 A1A
3.720% Due 07/20/2027
570,000.00 08/02/2022
3.75%
569,974.92
569,975.44
100.00
3.96%
569,974.92
1,178.00
0.39%
(0.52)
NR / AAA
AAA
4.89 1.85
TOTAL ABS 21,192,013.64 1.68%
21,124,081.62
21,135,865.00 3.91%
20,619,410.70
14,568.79
13.92%
(516,454.30)
Aaa / AAA
Aaa
3.23 1.35
Agency
3130A3DL5 FHLB Note
2.375% Due 09/08/2023
400,000.00 09/06/2019
1.52%
413,264.00
403,379.59
98.75 3.63%
395,018.80
4,565.28
0.27%
(8,360.79)
Aaa / AA+
NR
1.02 0.98
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
1,755,000.00 12/02/2020
0.28%
1,753,262.55
1,754,271.70
95.96 3.56%
1,684,148.90
1,060.31
1.14%
(70,122.80)
Aaa / AA+
AAA
1.26 1.23
3130A0F70 FHLB Note
3.375% Due 12/08/2023
2,100,000.00 Various
1.75%
2,222,418.00
2,141,740.82
99.72 3.60%
2,094,147.30
16,340.63
1.42%
(47,593.52)
Aaa / AA+
AAA
1.27 1.22
3130A0XE5 FHLB Note
3.250% Due 03/08/2024
1,500,000.00 03/28/2019
2.27%
1,568,115.00
1,520,894.63
99.45 3.62%
1,491,762.00
23,427.08
1.02%
(29,132.63)
Aaa / AA+
NR
1.52 1.45
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
1,500,000.00 06/18/2019
1.96%
1,564,890.20
1,523,220.86
98.79 3.58%
1,481,890.51
9,223.96
1.01%
(41,330.35)
Aaa / AA+
NR
1.79 1.71
3135G0V75 FNMA Note
1.750% Due 07/02/2024
1,500,000.00 07/16/2019
1.96%
1,484,895.00
1,494,414.82
97.06 3.41%
1,455,928.50
4,302.08
0.99%
(38,486.32)
Aaa / AA+
AAA
1.84 1.78
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
2,000,000.00 09/13/2019
1.79%
2,103,380.00
2,042,111.48
98.91 3.43%
1,978,268.00
26,833.33
1.35%
(63,843.48)
Aaa / AA+
AAA
2.04 1.93
3135G0W66 FNMA Note
1.625% Due 10/15/2024
1,975,000.00 Various
1.73%
1,965,802.75
1,970,986.23
96.22 3.49%
1,900,250.20
12,124.31
1.29%
(70,736.03)
Aaa / AA+
AAA
2.13 2.05
3135G0X24 FNMA Note
1.625% Due 01/07/2025
1,295,000.00 Various
1.38%
1,309,953.95
1,302,303.36
95.95 3.43%
1,242,556.39
3,156.56
0.84%
(59,746.97)
Aaa / AA+
AAA
2.36 2.27
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
2,365,000.00 02/13/2020
1.52%
2,363,178.95
2,364,106.94
95.44 3.46%
2,257,163.09
1,872.29
1.52%
(106,943.85)
Aaa / AA+
AAA
2.45 2.37
3135G03U5 FNMA Note
0.625% Due 04/22/2025
1,860,000.00 04/22/2020
0.67%
1,856,168.40
1,857,974.97
92.65 3.57%
1,723,237.92
4,165.63
1.17%
(134,737.05)
Aaa / AA+
AAA
2.64 2.57
3135G04Z3 FNMA Note
0.500% Due 06/17/2025
2,500,000.00 Various
0.50%
2,499,227.30
2,499,685.96
91.98 3.54%
2,299,532.50
2,569.44
1.55%
(200,153.46)
Aaa / AA+
AAA
2.80 2.73
3137EAEU9 FHLMC Note
0.375% Due 07/21/2025
1,250,000.00 07/21/2020
0.48%
1,243,775.00
1,246,402.88
91.53 3.48%
1,144,157.50
520.83
0.77%
(102,245.38)
Aaa / AA+
AAA
2.89 2.82
3135G05X7 FNMA Note
0.375% Due 08/25/2025
2,500,000.00 Various
0.48%
2,487,983.75
2,492,619.06
91.27 3.48%
2,281,867.51
156.25
1.54%
(210,751.55)
Aaa / AA+
AAA
2.99 2.92
As of August 31, 2022
24 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
3137EAEX3 FHLMC Note
0.375% Due 09/23/2025
2,500,000.00 Various
0.46%
2,489,362.80
2,493,343.62
91.14 3.45%
2,278,615.00
4,114.58
1.54%
(214,728.62)
Aaa / AA+
AAA
3.07 2.99
3135G06G3 FNMA Note
0.500% Due 11/07/2025
2,500,000.00 Various
0.56%
2,492,700.00
2,495,336.43
91.07 3.49%
2,276,705.00
3,958.33
1.54%
(218,631.43)
Aaa / AA+
AAA
3.19 3.10
TOTAL Agency 29,500,000.00 1.13%
29,818,377.65
29,602,793.35 3.51%
27,985,249.12
118,390.89
18.96%
(1,617,544.23)
Aaa / AA+
Aaa
2.31 2.24
CMO
3137B4WB8 FHLMC K033 A2
3.060% Due 07/25/2023
1,000,000.00 08/13/2019
2.02%
1,037,656.25
1,008,557.05
99.29 3.77%
992,913.00
510.00
0.67%
(15,644.05)
Aaa / NR
NR
0.90 0.73
3137B5JM6 FHLMC K034 A2
3.531% Due 07/25/2023
1,000,000.00 09/26/2019
2.00%
1,053,867.19
1,012,645.06
99.66 3.70%
996,587.00
2,942.50
0.67%
(16,058.06)
NR / NR
AAA
0.90 0.77
3137B7MZ9 FHLMC K036 A2
3.527% Due 10/25/2023
1,000,000.00 08/19/2019
1.92%
1,061,914.06
1,017,011.14
99.50 3.83%
994,974.00
587.83
0.67%
(22,037.14)
Aaa / NR
AAA
1.15 0.97
3137BFE98 FHLMC K041 A2
3.171% Due 10/25/2024
1,300,000.00 07/01/2021
0.72%
1,398,414.06
1,363,361.34
98.72 3.74%
1,283,412.00
3,435.25
0.87%
(79,949.34)
Aaa / AAA
AAA
2.15 1.95
3137BLMZ8 FHLMC K049 A2
3.010% Due 07/25/2025
1,000,000.00 07/01/2021
0.87%
1,079,687.50
1,056,630.15
97.70 3.84%
977,023.33
2,508.33
0.66%
(79,606.82)
NR / NR
AAA
2.90 2.61
3137BLW95 FHLMC K050 A2
3.334% Due 08/25/2025
950,000.00 11/16/2021
1.17%
1,018,132.81
1,003,709.43
98.51 3.84%
935,833.60
2,639.42
0.63%
(67,875.83)
NR / NR
AAA
2.99 2.65
3137BM7C4 FHLMC K051 A2
3.308% Due 09/25/2025
440,000.00 03/15/2022
2.21%
453,079.69
451,350.23
98.40 3.84%
432,943.28
1,212.93
0.29%
(18,406.95)
NR / NR
AAA
3.07 2.74
3137BN6G4 FHLMC KO53
2.995% Due 12/25/2025
570,000.00 03/15/2022
2.29%
582,001.17
580,546.75
97.60 3.77%
556,330.26
1,422.63
0.38%
(24,216.49)
NR / NR
AAA
3.32 2.95
3137BSP72 FHLMC K058 A2
2.653% Due 08/25/2026
650,000.00 11/12/2021
1.35%
687,451.17
681,172.98
95.84 3.78%
622,934.65
1,437.04
0.42%
(58,238.33)
NR / NR
AAA
3.99 3.66
TOTAL CMO 7,910,000.00 1.51%
8,372,203.90
8,174,984.13 3.78%
7,792,951.12
16,695.93
5.27%
(382,033.01)
Aaa / AAA
Aaa
2.18 1.94
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
1,029,649.34
95.77 3.62%
986,455.72
566.50
0.67%
(43,193.62)
A2 / A
A
1.38 1.35
89114QCA4 Toronto Dominion Bank Note
2.650% Due 06/12/2024
1,500,000.00 09/11/2019
2.24%
1,527,255.00
1,510,216.70
97.71 4.00%
1,465,593.00
8,722.92
0.99%
(44,623.70)
A1 / A
AA-
1.78 1.71
As of August 31, 2022
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
06367TQW3 Bank of Montreal Note
0.625% Due 07/09/2024
600,000.00 02/09/2022
1.89%
582,216.00
586,302.88
94.20 3.89%
565,218.00
541.67
0.38%
(21,084.88)
A2 / A-
AA-
1.86 1.81
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
1,752,108.82
94.74 3.55%
1,667,409.92
1,405.56
1.13%
(84,698.90)
A2 / A+
NR
1.87 1.83
78013XZU5 Royal Bank of Canada Note
2.550% Due 07/16/2024
1,500,000.00 Various
1.98%
1,533,359.18
1,515,184.80
97.36 4.03%
1,460,374.50
4,781.26
0.99%
(54,810.30)
A1 / A
AA-
1.88 1.80
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
1,257,079.64
97.60 3.71%
1,219,941.25
2,583.33
0.82%
(37,138.39)
A2 / A+
A+
1.92 1.85
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
1,708,835.85
99.24 3.76%
1,662,305.18
4,831.91
1.12%
(46,530.67)
A2 / A
NR
1.92 1.83
69371RR40 Paccar Financial Corp Note
0.500% Due 08/09/2024
680,000.00 08/03/2021
0.52%
679,632.80
679,762.79
93.91 3.79%
638,598.88
207.78
0.43%
(41,163.91)
A1 / A+
NR
1.94 1.90
69371RQ25 Paccar Financial Corp Note
2.150% Due 08/15/2024
370,000.00 08/08/2019
2.20%
369,182.30
369,680.44
96.97 3.77%
358,783.08
353.56
0.24%
(10,897.36)
A1 / A+
NR
1.96 1.89
14913Q3B3 Caterpillar Finl Service Note
2.150% Due 11/08/2024
1,100,000.00 01/28/2020
1.92%
1,111,517.00
1,105,276.42
96.67 3.75%
1,063,412.90
7,423.47
0.72%
(41,863.52)
A2 / A
A
2.19 2.09
74153WCQ0 Pricoa Global Funding Note
1.150% Due 12/06/2024
885,000.00 12/01/2021
1.19%
884,088.45
884,310.92
93.50 4.19%
827,475.00
2,403.02
0.56%
(56,835.92)
Aa3 / AA-
AA-
2.27 2.19
89114TZL9 Toronto-Dominion Bank Note
1.450% Due 01/10/2025
700,000.00 03/15/2022
2.79%
674,737.00
678,857.57
94.34 3.99%
660,358.30
1,437.92
0.45%
(18,499.27)
A1 / A
NR
2.36 2.28
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
1,213,715.05
94.46 3.92%
1,147,685.36
2,349.00
0.78%
(66,029.69)
A1 / A+
A+
2.37 2.28
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
1,678,566.36
93.99 4.14%
1,579,020.24
3,180.33
1.07%
(99,546.12)
Aaa / AA+
AAA
2.38 2.29
69371RR73 Paccar Financial Corp Note
2.850% Due 04/07/2025
885,000.00 03/31/2022
2.86%
884,769.90
884,800.76
97.57 3.84%
863,490.96
10,089.00
0.59%
(21,309.80)
A1 / A+
NR
2.60 2.45
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
1,049,661.13
98.22 4.10%
1,031,263.80
13,485.94
0.70%
(18,397.33)
A1 / A
AA-
2.62 2.45
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
1,369,830.62
98.67 3.88%
1,351,821.47
15,935.76
0.92%
(18,009.15)
A1 / A
AA-
2.65 2.48
06367WB85 Bank of Montreal Note
1.850% Due 05/01/2025
1,240,000.00 07/23/2021
0.85%
1,285,656.80
1,272,331.93
94.39 4.09%
1,170,408.72
7,646.67
0.79%
(101,923.21)
A2 / A-
AA-
2.67 2.54
As of August 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
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
1,371,034.24
93.60 4.02%
1,282,347.40
2,822.20
0.87%
(88,686.84)
A2 / A-
AA-
2.75 2.66
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
655,245.60
93.74 4.01%
613,989.14
1,198.87
0.42%
(41,256.46)
A2 / A-
AA-
2.81 2.71
66815L2J7 Northwestern Mutual Glbl Note
4.000% Due 07/01/2025
1,170,000.00 06/27/2022
4.01%
1,169,602.20
1,169,624.70
99.52 4.18%
1,164,403.89
7,800.00
0.79%
(5,220.81)
Aaa / AA+
AAA
2.84 2.63
74153WCM9 Pricoa Global Funding Note
0.800% Due 09/01/2025
904,000.00 04/06/2022
3.26%
832,972.72
841,322.14
90.38 4.25%
817,069.55
3,616.00
0.55%
(24,252.59)
Aa3 / AA-
AA-
3.01 2.89
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
1,022,071.42
99.96 3.96%
999,566.00
11,301.39
0.68%
(22,505.42)
A1 / A
AA-
3.22 2.96
40139LBC6 Guardian Life Glob Fun Note
0.875% Due 12/10/2025
1,400,000.00 Various
1.12%
1,385,860.00
1,388,927.01
89.18 4.46%
1,248,577.40
2,756.26
0.84%
(140,349.61)
Aa2 / AA+
NR
3.28 3.16
66815L2A6 Northwestern Mutual Glbl Note
0.800% Due 01/14/2026
850,000.00 12/06/2021
1.47%
827,449.50
831,468.85
89.53 4.16%
761,039.00
887.78
0.51%
(70,429.85)
Aaa / AA+
AAA
3.38 3.26
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
613,837.56
93.82 4.36%
562,922.40
604.50
0.38%
(50,915.16)
A2 / A-
AA-
3.46 3.27
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
411,098.27
93.59 4.56%
375,289.48
2,993.10
0.26%
(35,808.79)
A2 / A-
AA-
3.64 3.41
6174468Q5 Morgan Stanley Callable Note Cont 4/28/2025
2.188% Due 04/28/2026
650,000.00 05/23/2022
4.18%
615,699.50
618,067.53
93.98 4.54%
610,899.90
4,859.18
0.42%
(7,167.63)
A1 / A-
A
3.66 3.42
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
1,869,015.94
90.64 3.73%
1,699,417.50
5,677.08
1.15%
(169,598.44)
A1 / AA
AA-
3.70 3.56
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
1,026,639.06
91.21 3.71%
943,973.82
3,504.62
0.64%
(82,665.24)
A3 / A+
A
3.71 3.56
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
1,384,537.44
90.42 3.86%
1,252,311.46
3,159.53
0.85%
(132,225.98)
A1 / A+
A+
3.80 3.64
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
700,910.51
91.03 4.44%
637,222.60
1,846.60
0.43%
(63,687.91)
A2 / A-
AA-
3.80 3.62
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
1,001,763.55
89.49 4.17%
894,868.00
1,500.00
0.60%
(106,895.55)
Aa3 / AA+
AA+
3.88 3.71
As of August 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
58989V2D5 Met Tower Global Funding Note
1.250% Due 09/14/2026
770,000.00 09/07/2021
1.27%
769,291.60
769,428.16
88.26 4.46%
679,638.19
4,464.93
0.46%
(89,789.97)
Aa3 / AA-
AA-
4.04 3.83
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
349,464.93
90.86 3.49%
317,998.45
1,674.17
0.22%
(31,466.48)
Aa2 / AA
AA
4.05 3.88
59217GER6 Metlife Note
1.875% Due 01/11/2027
1,115,000.00 01/03/2022
1.90%
1,113,728.90
1,113,891.09
90.07 4.40%
1,004,232.56
2,903.65
0.68%
(109,658.53)
Aa3 / AA-
AA-
4.37 4.10
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
959,756.31
93.43 4.06%
896,916.48
11,629.33
0.61%
(62,839.83)
A2 / A
A
4.51 4.15
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
1,614,721.72
94.28 3.68%
1,522,584.86
17,127.97
1.04%
(92,136.86)
Aa2 / AA
A+
4.54 4.20
06051GHT9 Bank of America Corp Callable Note 1X 4/23/2026
3.559% Due 04/23/2027
1,150,000.00 Various
4.37%
1,114,222.54
1,114,746.31
95.58 4.70%
1,099,118.25
14,552.35
0.75%
(15,628.06)
A2 / A-
AA-
4.65 4.16
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
668,982.36
99.78 4.05%
668,550.79
8,263.33
0.46%
(431.57)
A2 / A+
A+
4.69 4.12
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
675,298.62
99.00 3.93%
668,251.35
7,006.87
0.46%
(7,047.27)
A3 / A+
A
4.71 4.23
TOTAL Corporate 42,790,000.00 1.95%
42,826,786.07
42,718,025.34 4.00%
40,440,804.75
210,095.31
27.43%
(2,277,220.59)
A1 / A+
AA-
2.97 2.80
Money Market Fund
94975H270 Wells Fargo 100% Treasury Money Mkt Fund 54,535.78 Various
1.66%
54,535.78
54,535.78
1.00 1.66%
54,535.78
0.00 0.04%
0.00 Aaa / AAA
NR
0.00 0.00
TOTAL Money Market Fund 54,535.78 1.66%
54,535.78
54,535.78 1.66%
54,535.78
0.00 0.04%
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
762,315.70
97.55 3.63%
736,487.40
7,550.00
0.50%
(25,828.30)
Aa2 / AA-
AA
2.09 1.99
TOTAL Municipal Bonds 755,000.00 1.91%
772,342.35
762,315.70 3.63%
736,487.40
7,550.00
0.50%
(25,828.30)
Aa2 / AA-
AA
2.09 1.99
As of August 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
Supranational
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
2,796,069.61
96.40 3.32%
2,699,144.00
2,061.11
1.82%
(96,925.61)
Aaa / AAA
NR
1.21 1.18
45950KCT5 International Finance Corp Note
0.375% Due 07/16/2025
2,500,000.00 05/27/2021
0.66%
2,471,150.00
2,479,904.61
91.42 3.54%
2,285,425.00
1,171.88
1.54%
(194,479.61)
Aaa / AAA
NR
2.88 2.81
459058JL8 Intl. Bank Recon & Development Note
0.500% Due 10/28/2025
2,400,000.00 Various
0.60%
2,388,859.25
2,392,518.01
90.86 3.59%
2,180,712.00
4,100.00
1.47%
(211,806.01)
Aaa / AAA
AAA
3.16 3.08
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
2,451,812.13
90.93 3.56%
2,236,755.00
7,832.71
1.51%
(215,057.13)
Aaa / AAA
AAA
3.64 3.51
TOTAL Supranational 10,160,000.00 0.64%
10,101,042.45
10,120,304.36 3.49%
9,402,036.00
15,165.70
6.35%
(718,268.36)
Aaa / AAA
Aaa
2.65 2.57
US Treasury
912828T91 US Treasury Note
1.625% Due 10/31/2023
650,000.00 Various
1.94%
641,405.27
647,742.23
97.95 3.44%
636,644.45
3,559.11
0.43%
(11,097.78)
Aaa / AA+
AAA
1.17 1.13
912828V23 US Treasury Note
2.250% Due 12/31/2023
1,500,000.00 06/21/2019
1.80%
1,529,472.66
1,508,675.78
98.43 3.47%
1,476,445.50
5,777.85
1.00%
(32,230.28)
Aaa / AA+
AAA
1.33 1.29
912828B66 US Treasury Note
2.750% Due 02/15/2024
2,000,000.00 Various
2.14%
2,053,613.28
2,016,956.24
99.00 3.46%
1,979,922.00
2,540.76
1.34%
(37,034.24)
Aaa / AA+
AAA
1.46 1.41
91282CBR1 US Treasury Note
0.250% Due 03/15/2024
1,450,000.00 03/30/2021
0.33%
1,446,488.28
1,448,175.86
95.21 3.47%
1,380,614.60
1,674.59
0.93%
(67,561.26)
Aaa / AA+
AAA
1.54 1.51
912828X70 US Treasury Note
2.000% Due 04/30/2024
1,700,000.00 06/10/2019
1.92%
1,705,976.56
1,702,032.37
97.68 3.44%
1,660,554.90
11,456.52
1.13%
(41,477.47)
Aaa / AA+
AAA
1.67 1.61
912828XX3 US Treasury Note
2.000% Due 06/30/2024
2,000,000.00 Various
1.80%
2,018,574.22
2,007,027.98
97.45 3.45%
1,949,062.00
6,847.83
1.32%
(57,965.98)
Aaa / AA+
AAA
1.83 1.77
912828D56 US Treasury Note
2.375% Due 08/15/2024
1,700,000.00 09/18/2019
1.71%
1,753,191.41
1,721,193.45
97.98 3.45%
1,665,734.80
1,865.15
1.13%
(55,458.65)
Aaa / AA+
AAA
1.96 1.89
912828YY0 US Treasury Note
1.750% Due 12/31/2024
2,100,000.00 03/15/2022
1.97%
2,087,203.13
2,089,321.32
96.23 3.44%
2,020,922.40
6,291.44
1.37%
(68,398.92)
Aaa / AA+
AAA
2.34 2.25
912828ZC7 US Treasury Note
1.125% Due 02/28/2025
1,500,000.00 03/18/2020
0.81%
1,523,144.53
1,511,668.33
94.45 3.46%
1,416,738.00
46.62 0.96%
(94,930.33)
Aaa / AA+
AAA
2.50 2.43
91282CED9 US Treasury Note
1.750% Due 03/15/2025
3,100,000.00 Various
2.23%
3,057,617.20
3,063,597.61
95.88 3.46%
2,972,125.00
25,061.14
2.02%
(91,472.61)
Aaa / AA+
AAA
2.54 2.43
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
2,500,000.00 03/21/2022
2.24%
2,360,839.85
2,380,824.96
92.18 3.47%
2,304,590.00
3,158.97
1.56%
(76,234.96)
Aaa / AA+
AAA
2.67 2.61
As of August 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
91282CAB7 US Treasury Note
0.250% Due 07/31/2025
1,500,000.00 03/12/2021
0.72%
1,469,765.63
1,479,881.57
91.13 3.47%
1,366,992.00
326.09
0.92%
(112,889.57)
Aaa / AA+
AAA
2.92 2.86
91282CAM3 US Treasury Note
0.250% Due 09/30/2025
2,400,000.00 Various
0.56%
2,366,140.63
2,377,202.32
90.68 3.46%
2,176,406.40
2,524.60
1.47%
(200,795.92)
Aaa / AA+
AAA
3.08 3.02
91282CAT8 US Treasury Note
0.250% Due 10/31/2025
2,450,000.00 Various
0.49%
2,422,492.19
2,431,772.71
90.43 3.47%
2,215,432.10
2,063.86
1.50%
(216,340.61)
Aaa / AA+
AAA
3.17 3.10
91282CAZ4 US Treasury Note
0.375% Due 11/30/2025
2,250,000.00 03/26/2021
0.77%
2,209,658.20
2,221,971.08
90.54 3.48%
2,037,217.50
2,143.95
1.38%
(184,753.58)
Aaa / AA+
AAA
3.25 3.17
91282CBH3 US Treasury Note
0.375% Due 01/31/2026
2,500,000.00 05/27/2021
0.75%
2,456,445.31
2,468,194.12
90.11 3.47%
2,252,637.50
815.22
1.52%
(215,556.62)
Aaa / AA+
AAA
3.42 3.34
91282CBW0 US Treasury Note
0.750% Due 04/30/2026
2,500,000.00 05/27/2021
0.80%
2,493,652.34
2,495,279.85
90.81 3.44%
2,270,215.00
6,317.93
1.54%
(225,064.85)
Aaa / AA+
AAA
3.67 3.55
91282CCZ2 US Treasury Note
0.875% Due 09/30/2026
1,400,000.00 10/18/2021
1.19%
1,379,054.68
1,382,729.09
90.46 3.40%
1,266,452.60
5,154.37
0.86%
(116,276.49)
Aaa / AA+
AAA
4.08 3.93
91282CDG3 US Treasury Note
1.125% Due 10/31/2026
1,400,000.00 11/15/2021
1.25%
1,391,468.75
1,392,826.96
91.23 3.40%
1,277,281.60
5,307.07
0.87%
(115,545.36)
Aaa / AA+
AAA
4.17 3.99
91282CEW7 US Treasury Note
3.250% Due 06/30/2027
3,000,000.00 Various
3.12%
3,018,222.66
3,017,759.24
99.69 3.32%
2,990,625.00
16,691.58
2.03%
(27,134.24)
Aaa / AA+
AAA
4.83 4.41
91282CFB2 US Treasury Note
2.750% Due 07/31/2027
400,000.00 08/22/2022
3.12%
393,218.75
393,252.60
97.48 3.31%
389,906.40
956.52
0.26%
(3,346.20)
Aaa / AA+
AAA
4.92 4.54
91282CFH9 US Treasury Note
3.125% Due 08/31/2027
3,000,000.00 08/26/2022
3.20%
2,989,570.31
2,989,576.02
99.27 3.28%
2,978,202.00
258.98
2.01%
(11,374.02)
Aaa / AA+
AAA
5.00 4.59
TOTAL US Treasury 43,000,000.00 1.61%
42,767,215.84
42,747,661.69 3.43%
40,684,721.75
110,840.15
27.53%
(2,062,939.94)
Aaa / AA+
Aaa
2.98 2.85
TOTAL PORTFOLIO 155,361,549.42 1.56%
155,836,585.66
155,316,485.35 3.69%
147,716,196.62
493,306.77
100.00%
(7,600,288.73)
Aa1 / AA
Aaa
2.82 2.44
TOTAL MARKET VALUE PLUS ACCRUALS 148,209,503.39
As of August 31, 2022
30 SECTION |
Section 4 |
Transactions
31 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 07/01/2022 66815L2J7 1,170,000.00 Northwestern Mutual Glbl Note 4% Due: 07/01/2025
99.966 4.01% 1,169,602.20 0.00 1,169,602.20 0.00
Purchase 07/15/2022 91282CEW7 1,500,000.00 US Treasury Note
3.25% Due: 06/30/2027
100.609 3.12% 1,509,140.63 1,987.09 1,511,127.72 0.00
Purchase 07/19/2022
91282CEW7 1,500,000.00 US Treasury Note
3.25% Due: 06/30/2027
100.605 3.12% 1,509,082.03 2,516.98 1,511,599.01 0.00
Purchase 07/20/2022
47800AAC4 655,000.00 John Deere Owner Trust 2022-B A3
3.74% Due: 02/16/2027
99.990 3.77% 654,937.45 0.00 654,937.45 0.00
Purchase 08/05/2022 06051GHT9 638,000.00 Bank of America Corp Callable Note 1X 4/23/2026
3.559% Due: 04/23/2027
96.937 4.35% 618,458.06 6,433.49 624,891.55 0.00
Purchase 08/09/2022
06051GHT9 512,000.00 Bank of America Corp Callable Note 1X 4/23/2026
3.559% Due: 04/23/2027
96.829 4.38% 495,764.48 5,365.39 501,129.87 0.00
Purchase 08/11/2022
92348KAV5 570,000.00 Verizon Master Trust 2022-5 A1A
3.72% Due: 07/20/2027
99.996 3.75% 569,974.92 0.00 569,974.92 0.00
Purchase 08/23/2022 91282CFB2 400,000.00 US Treasury Note
2.75% Due: 07/31/2027
98.305 3.12% 393,218.75 687.50 393,906.25 0.00
Purchase 08/31/2022
91282CFH9 3,000,000.00 US Treasury Note
3.125% Due: 08/31/2027
99.652 3.20% 2,989,570.31 0.00 2,989,570.31 0.00
Subtotal 9,945,000.00 9,909,748.83 16,990.45 9,926,739.28 0.00 TOTAL ACQUISITIONS 9,945,000.00 9,909,748.83 16,990.45 9,926,739.28 0.00
DISPOSITIONS
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
Sale 07/15/2022 45950KCP3 2,050,000.00 International Finance Corp Note
2.875% Due: 07/31/2023
99.565 0.31% 2,041,074.30 27,013.02 2,068,087.32 -63,495.75 May 31, 2022 through August 31, 2022
As of August 31, 2022
32 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 07/19/2022 3135G0U43 1,500,000.00 FNMA Note
2.875% Due: 09/12/2023
99.631 1.89% 1,494,465.00 15,213.54 1,509,678.54 -21,834.87 Sale 08/05/2022
06051GHF9 536,000.00 Bank of America Corp Callable Note 1X 3/5/2023
3.55% Due: 03/05/2024
99.708 2.16% 534,434.88 7,928.33 542,363.21 -4,079.30
Sale 08/09/2022
06051GHF9 664,000.00 Bank of America Corp Callable Note 1X 3/5/2023
3.55% Due: 03/05/2024
99.650 2.16% 661,676.00 10,083.58 671,759.58 -5,379.82
Sale 08/29/2022
3130A3DL5 1,600,000.00 FHLB Note
2.375% Due: 09/08/2023
98.827 1.52% 1,581,232.00 18,050.00 1,599,282.00 -32,395.40 Sale 08/29/2022
3137EAER6 1,350,000.00 FHLMC Note
0.375% Due: 05/05/2023
98.006 0.39% 1,323,082.35 1,603.13 1,324,685.48 -26,788.48 Subtotal 8,350,000.00 8,284,342.78 87,678.06 8,372,020.84 -173,579.28 TOTAL DISPOSITIONS 8,350,000.00 8,284,342.78 87,678.06 8,372,020.84 -173,579.28 May 31, 2022 through August 31, 2022
As of August 31, 2022
33 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 August 31, 2022
34 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 August 31, 2022
35