CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending March 31, 2023
City of Cupertino
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of March 31, 2023
1 SECTION |
Section 1 |
Economic Update
2 Economic Update
Economic trends have been decelerating along with tighter financial conditions and restrictive monetary policy. Recent data suggests p ositive but below trend growth this year. Although the pace of job growth is moderating, labor markets remain solid, and the U.S. consumer has demonstrated resiliency. Market participants and the Federal Reserve are maintaining very divergent views regarding the future trajectory of monetary policy. Given the cumulative effects of tighter monetary policy and stress in the banking sector, we believe the Federal Reserve is likely near a pause in their rate hiking campaign. If moderate growth continues, we believe the Fed will likely maintain the Federal Funds rate in restrictive territory until inflationary pressures subside.
At the March meeting, the Federal Open Market Committee voted unanimously to raise the target federal funds rate by
0.25% to a range of 4.75 – 5.00%. Fed Chair Powell reiterated the committee’s focus on bringing down inflation to their 2% target; however, the committee softened language about "ongoing increases" in rates in the prior statement to "some additional policy firming may be appropriate". The statement also emphasized that the U.S. banking system is “sound and resilient” and acknowledged the tightening of financial conditions. The Chandler team believes the FOMC is likely near a pause in their rate hiking cycle.
In March, the yield curve inversion narrowed. The 2-year Treasury yield plummeted 79 basis points to 4.03%, the 5-year Treasury yield plunged 61 basis points to 3.58%, and the 10-year Treasury yield fell 45 basis points to 3.47%. The inversion between the 2-year Treasury yield and 10-year Treasury yield declined to -56 basis points at March month-end versus -90 basis points at February month-end. There was no spread between the 2-year Treasury and 10-year Treasury yield one year ago – the yields were approximately equal. The inversion between 3-month and 10-year Treasuries widened to -128 in March from -89 basis points in February. The shape of the yield curve indicates that the probability of recession is increasing.
3 Source: US Department of Labor Source: US Department of Labor Employment
The U.S. economy a dded 236,000jobs in March, and the prior two months were revised downward by 17,000. Although the pace of job growth is moderating, employment remains strong, with the three-month moving average payrolls at 345,000and the six-month moving average at 315,000.The private sector reported broad gains, led by leisure and hospitality. The unemployment rate fell to 3.5% due to a sharp rise in the number of people employed, and the participation rate increased to 62.6% from 62.5% in February. 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 6.7% from the prior month at 6.8%. Average hourly earnings rose 4.2% year-over-year in March, down from a 4.6% increase in February. Job Openings dipped to 9.9 million, the first drop below 10 million since May of 2021. While the overall pace of hiring is slowing, levels remain consistent with a solid labor market.
0 100
200
300
400
500
600
700
800
900
1,000
MOM Change In (000's)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Rate (%)
4 Source: US Department of Labor Source: US Department of Commerce Inflation
The Consumer Price Index (CPI) increased in March 0.1% month-over-month and 5.0% year-over-year, down from 6.0% in February. The Core CPI, which excludes volatile food and energy components, rose 0.4% month-over-month and 5.6% year-over-year, accelerating from 5.5% in February. Housing remained the largest factor in headline CPI representing 60% of the increase. The Personal Consumption Expenditures (PCE) index rose 5.0% year-over-year in February, improving from a 5.3% year-over-year gain in January. Core PCE, the Federal Reserve’s preferred inflation gauge, increased 4.6% year-over-year in February, the smallest increase since October 2021. Inflationary trends are declining but remain above the Fed's 2% target.
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 Advance Retail Sales fell more than expected month-over-month at -1.0% in March, which translated to a year-over-year deceleration to 2.9% from 5.9% in February. The report indicated a broad-based cooling in discretionary spending as consumers are becoming more cautious about the outlook for the US economy. The Conference Board’s Consumer Confidence Index unexpectedly increased to 104.2in Marchfrom 103.4in February. While high inflation and recession concerns remain top of mind for many consumers, the strong labor market and low unemployment continue to support the strength in Consumer Confidence.
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 Leading Economic Index (LEI) remained in negative territory for the eleventh consecutive month at -0.3% in February, unchanged from -0.3% in January. The LEI was down 6.5% year-over-year in February versus down 5.9% year-over-year in January. The consistent decline month-over-month continues to signal future contraction in the economy. The Chicago Fed National Activity Index (CFNAI) declined to -0.19 in February from +0.23 in January. On a 3-month moving average basis, the CFNAI increased to -0.13 in February from -0.27 in January, indicating a rate of growth below the historical average trend. -0.50
-0.25
0.00 0.25
0.50 0.75
1.00 Chicago Fed National Activity Index (CFNAI)
3 Month Average
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
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 rose 9.8% month-over-month in February to 1,450,000units and were down 18.4% compared to February 2022. Starts for both single-family and multi-family homes increased as mortgage rates declined from recent peaks. The 30-year fixed rate mortgage fell to an average of 6.24%according to Freddie Mac, down from a peak of 7.08%in October, but up from 4.67%a year ago. According to the Case-Shiller 20-City Home Price Index, the year-over-year increase continued its declining rate of gain to +2.55% in January from +4.62% in December, clearly displaying the impact of higher mortgage rates year-over-year, which have reduced demand for homebuying as affordability has declined. This is the lowest rate of annual appreciation since December 2019. 8 Source: Institute for Supply Management Source: Federal Reserve Manufacturing
The Institute for Suppl y Management (ISM) manufacturing index fell to 46.3in Marchfrom 47.7in February. This is the fifth consecutive month of readings below 50.0,which is indicative of contraction in the manufacturing sector. All components weakened, including the headline, new orders, employment, and prices. Industrial production rose 0.4% in Marchdue to an 8.4% increase in utilities production, as demand increased for heating. This equates to a +0.5% increase in industrial production from the prior year. Capacity utilization increased to 79.8%in Marchfrom an upwardly revised 79.6% in February, inching above its 1972-2021 average of 79.6%. 40 42
44 46
48 50
52 54
56 58
60 62
64 66
Institute of Supply Management Purchasing Manager Index
EXPANDING
CONTRACTING
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Industrial Production
YOY( %) Change
9 Source: US Department of Commerce Source: US Department of Commerce 3/22 6/22 9/22 12/22
0.9% 1.4% 1.5% 0.7%
1.0% -2.8% -1.8% 0.8%
-3.1% 1.2% 2.9% 0.4%
-0.4% -0.2% 0.2% 0.4%
0.0% -0.1% 0.4% 0.3%
-1.6% -0.6% 3.3% 2.6%
Net Exports and Imports
Total
Gross Private Domestic Investment
Personal Consumption Expenditures
Components of GDP
Federal Government Expenditures
State and Local (Consumption and Gross
Investment) -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%
40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
According to the t hird estimate, fourth quarter 2022GDP growth was revised downward to 2.6% from 2.7%. The revision lower was primarily due to weaker growth in personal consumption expenditures and a wider trade gap in net exports. The consensus estimate calls for 1.6% growth in the first quarter and 1.0% growth for the full year 2023. 10 Federal Reserve
Source: Federal Reserve Source: Bloomberg
At the March m eeting, the Federal Open Market Committee voted unanimously to raise the target federal funds rate by 0.25% to a range of
4.75 – 5.00%. Fed Chair Powell reiterated the committee’s focus on bringing down inflation to their 2% target; however, the committee softened language about "ongoing increases" in rates in the prior statement to "some additional policy firming may be appropriate". The statement also emphasized that the U.S. banking system is “sound and resilient” and acknowledged the tightening in financial conditions.
Powell indicated that the extent of these effects is uncertain but speculated that tighter credit conditions could be equivalent to a rate hike or more. The Summary of Economic Projections was little changed, with the consensus target federal funds rate rising to 5.1% by the end of 2023 (implying one more quarter point hike), falling to 4.3% in 2024(up from 4.1% previously), and declining to 3.1% by the end of 2025. No rate cuts were in the Fed’s base case for this year, contrary to the market consensus. Although projections imply policymakers are winding down interest rate hikes, the statement clearly reflected optionality for the Fed to remain data dependent. The Chandler team believes the Fed is likely near a pause in their rate hiking cycle.
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
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%
4.5%
5.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yield (%)
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Yield Curve
Mar-23
Dec-22
Mar-22
Yield (%)
Bond Yields
At the end of March, the 2-year Treasury yield was 169 basis points higher, and the 10-Year Treasury yield was about 113 basis points higher, year-over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -56 basis points at Marchmonth-end versus -90 basis points at February month-end. The average historical spread (since 2003)is about +130 basis points. The inversion between 3- month and 10-year Treasuries widened to -128 in March from -89 basis points in February. The shape of the yield curve indicates that the probability of recession is increasing.
12 Section 2|SECTION |
Section 2 |
Account Profile
13 Objectives
Chandler Asset Management Performance Objective
The performance objective for the portfolio is to earn a total rate of return through a market cycle that is equal to or above the return on the benchmark index.
Investment Objectives
The City of Cupertino’s investment objectives, in order of priority, are to provide safety to ensure the preservation of capital in the overall portfolio, provide sufficient liquidity for cash needs and a market rate of return consistent with the investment program.
Strategy
In order to achieve these objectives, the portfolio invests in high quality fixed incomes securities consistent with the investment policy and California Government Code.
As of March 31, 2023
14 Compliance As of March 31, 2023
Category Standard Comment
Treasury Issues N o L im itation 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 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 licensed or state-licensed branch of a foreign bank.
Complies
Certi fi cates of Deposi t (CDs)/Ti me
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
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 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 March 31, 2023
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; 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 As of March 31, 2023
17 Portfolio Characteristics
City of Cupertino
03/31/23 12/31/22
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 2.62 2.69 2.67
Average Modified Duration 2.50 2.31 2.28
Average Purchase Yield n/a 1.88% 1.70%
Average Market Yield 4.02% 4.41% 4.63%
Average Quality** AAA AA/Aa1 AA/Aa1
Total Market Value 149,670,106 147,282,846
*ICE BofA 1-5 Yr US Treasury & Agency Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of March 31, 2023
18 City of Cupertino
Sector Distribution
ABS
12.2%
Agency
15.5%
CMO
3.8%
Corporate
27.1%
Money Market
Fund
0.5%
Municipal Bonds
0.5%
Supranational
6.3%
US Treasury
34.1%
March 31, 2023 December 31, 2022
ABS
13.4%
Agency
17.2%
CMO
3.9%
Corporate
27.2%
Money Market
Fund
0.5%
Municipal Bonds
0.5%
Supranational
6.3%
US Treasury
31.0%
As of March 31, 2023
19 Duration Allocation As of March 31, 2023
City of Cupertino
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ 03/31/23 1.3% 1.5% 6.1% 36.9% 30.8% 10.2% 13.2% 0.0%
0%
5%
10%
15%
20%
25%
30%
35%
40%
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
20 Portfolio Allocation & Duration Changes
City of Cupertino
As of March 31, 2023
Benchmark: ICE BofA 1-5 Yr US Treasury & Agency Index
92.5%92.2%
96.2%95.6%
98.6%100.8%99.3%
96.2%
80.0%
85.0%
90.0%
95.0%
100.0%
105.0%
110.0%
03/31/2312/31/2209/30/2206/30/2203/31/2212/31/2109/30/2106/30/21 Duration as a % of the Benchmark
0.5%
0.5%
3.9%
6.3%
13.4%
17.2%
27.2%
31.0%
0.5%
0.5%
3.8%
6.3%
12.2%
15.5%
27.1%
34.1%
Money Market
Fund
Municipal Bonds
CMO
Supranational
ABS
Agency
Corporate
US Treasury
Portfolio Allocation
03/31/23
12/31/22
21 Issue Name Investment Type % Portfolio
Government of United States US Treasury 34.06%
Federal National Mortgage Association Agency 8.85%
Federal Home Loan Mortgage Corp Agency 4.36%
Federal Home Loan Mortgage Corp CMO 3.83%
Inter-American Dev Bank Supranational 3.33%
Federal Home Loan Bank Agency 2.30%
American Express ABS ABS 1.88%
John Deere ABS ABS 1.86%
Hyundai Auto Receivables ABS 1.75%
Royal Bank of Canada Corporate 1.67%
Toyota Motor Corp Corporate 1.61%
Bank of New York Corporate 1.55%
Bank of America Corp Corporate 1.55%
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 1.42%
Northwestern Mutual Glbl Corporate 1.29%
Paccar Financial Corporate 1.25%
GM Financial Automobile Leasing Trust ABS 1.19%
Bank of Montreal Chicago Corporate 1.16%
Amazon.com Inc Corporate 1.14%
Metlife Inc Corporate 1.13%
Salesforce.com Inc Corporate 1.12%
Prudential Financial Inc Corporate 1.11%
Air Products & Chemicals Corporate 1.11%
United Health Group Inc Corporate 1.08%
New York Life Global Funding Corporate 1.06%
Honda ABS ABS 1.03%
Berkshire Hathaway Corporate 1.02%
Toyota Lease Owner Trust ABS 0.97%
Guardian Life Global Funding Corporate 0.85%
US Bancorp Corporate 0.81%
Toyota ABS ABS 0.76%
Caterpillar Inc Corporate 0.71%
Hyundai Auto Lease Securitization ABS 0.71%
GM Financial Securitized Term Auto Trust ABS 0.66%
MasterCard Inc Corporate 0.65%
Issuers
City of Cupertino – Account #10659
As of March 31, 2023
22 Issue Name Investment Type % Portfolio
Mass Mutual Insurance Corporate 0.60%
Charles Schwab Corp/The Corporate 0.58%
State of California Municipal Bonds 0.50%
BMW Vehicle Lease Trust ABS 0.49%
Wells Fargo 100% Treasury MMKT Fund Money Market Fund 0.48% Northern Trust Corp Corporate 0.45%
Morgan Stanley Corporate 0.41%
Verizon Master Trust ABS 0.38%
BMW ABS ABS 0.35%
Wal-Mart Stores Corporate 0.21%
Verizon Owner Trust ABS 0.17%
Nissan ABS ABS 0.02%
TOTAL 100.00%
Issuers
City of Cupertino – Account #10659
As of March 31, 2023
23 AAA AA A <A NR
03/31/23 15.3% 58.5% 18.7% 0.0% 7.6%
12/31/22 16.0% 57.1% 18.8% 0.0% 8.0%
Source: S&P Ratings
March 31, 2023 vs. December 31, 2022
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
AAA AA A <A NR
03/31/23 12/31/22
Quality Distribution
City of Cupertino
As of March 31, 2023
24 0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ City of Cupertino ICE BofA 1-5 Yr US Treasury & Agency Index Portfolio Compared to the Benchmark
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ Portfolio 1.3% 1.5% 6.1% 36.9% 30.8% 10.2% 13.2% 0.0%
Benchmark* 0.0% 0.0% 1.7% 35.8% 27.9% 20.2% 14.4% 0.0%
*ICE BofA 1-5 Yr US Treasury & Agency Index
Duration Distribution
City of Cupertino
As of March 31, 2023
25 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
-2.50%
-2.00%
-1.50%
-1.00%
-0.50%
0.00%
0.50%
1.00%
1.50%
12 months 2 years 3 years 5 years 10 years Since Inception City of Cupertino ICE BofA 1-5 Yr US Treasury & Agency Index Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since Inception
City of Cupertino 1.64% -0.26% -1.95% -0.71% N/A N/A 0.86% ICE BofA 1-5 Yr US Treasury & Agency Index 1.81% -0.38% -2.06% -1.40% N/A N/A 0.78% As of March 31, 2023
26 Purchase Yield as of 03/31/23 = 1.88%
0.00 0.50
1.00 1.50
2.00 2.50
Percent (%)
Historical Average Purchase Yield
City of Cupertino
As of March 31, 2023
27 SECTION |
Section 3 |
Portfolio Holdings
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
ABS
89238EAC0 Toyota Lease Owner Trust 2021-A A3
0.390% Due 04/22/2024
332,089.16 03/23/2022
2.16%
325,447.37
329,989.18
99.05 5.58%
328,936.97
39.57 0.22%
(1,052.21)
Aaa / AAA
NR
1.06 0.18
44891VAC5 Hyundai Auto Lease Trust 2021-B A3
0.330% Due 06/17/2024
541,121.52 06/08/2021
0.34%
541,040.35
541,105.01
98.80 5.96%
534,628.60
79.36 0.36%
(6,476.41)
Aaa / AAA
NR
1.22 0.21
65479JAD5 Nissan Auto Receivables Owner 2019-C A3
1.930% Due 07/15/2024
33,753.24 Various
1.70%
33,920.69
33,804.32
99.86 6.61%
33,706.05
28.96 0.02%
(98.27)
Aaa / AAA
NR
1.29 0.03
43813DAC2 Honda Auto Receivables 2020-2 A3
0.820% Due 07/15/2024
34,769.09 05/18/2020
0.83%
34,766.36
34,768.24
99.00 5.34%
34,421.72
12.67 0.02%
(346.52)
Aaa / AAA
NR
1.29 0.22
47789KAC7 John Deere Owner Trust 2020-A A3
1.100% Due 08/15/2024
29,181.72 03/04/2020
1.11%
29,179.94
29,181.17
99.57 5.28%
29,054.98
14.27 0.02%
(126.19)
Aaa / NR
AAA
1.38 0.10
43813KAC6 Honda Auto Receivables Trust 2020-3 A3
0.370% Due 10/18/2024
206,120.78 09/22/2020
0.38%
206,090.50
206,114.67
98.22 5.37%
202,451.00
27.54 0.14%
(3,663.67)
NR / AAA
AAA
1.55 0.35
36262XAC8 GM Financial Auto Lease Trust 2021-3 A2
0.390% Due 10/21/2024
879,250.27 08/10/2021
0.39%
879,238.32
879,246.30
97.98 5.51%
861,501.72
104.78
0.58%
(17,744.58)
NR / AAA
AAA
1.56 0.39
47787NAC3 John Deere Owner Trust 2020-B A3
0.510% Due 11/15/2024
59,352.21 07/14/2020
0.52%
59,343.16
59,350.15
99.01 4.91%
58,761.71
13.45 0.04%
(588.44)
Aaa / NR
AAA
1.63 0.22
09690AAC7 BMW Vehicle Lease Trust 2021-2 A3
0.330% Due 12/26/2024
303,787.63 09/08/2021
0.34%
303,756.27
303,777.52
98.01 5.83%
297,734.66
16.71 0.20%
(6,042.86)
Aaa / NR
AAA
1.74 0.36
89236XAC0 Toyota Auto Receivables 2020-D A3
0.350% Due 01/15/2025
151,883.81 10/06/2020
0.36%
151,855.52
151,871.89
98.39 5.80%
149,444.25
23.63 0.10%
(2,427.64)
NR / AAA
AAA
1.80 0.29
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
539,994.45
97.25 5.60%
525,140.82
278.40
0.35%
(14,853.63)
Aaa / AAA
NR
1.80 0.62
92290BAA9 Verizon Owner Trust 2020-B A
0.470% Due 02/20/2025
263,143.40 08/04/2020
0.48%
263,088.13
263,120.30
98.86 5.33%
260,140.41
37.79 0.17%
(2,979.89)
Aaa / NR
AAA
1.90 0.23
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
1,149,904.23
97.04 5.54%
1,115,918.60
688.72
0.75%
(33,985.63)
NR / AAA
AAA
1.90 0.83
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
944,996.02
97.34 5.41%
919,870.56
548.63
0.61%
(25,125.46)
Aaa / NR
AAA
1.97 0.76
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
449,969.66
97.50 5.66%
438,764.85
82.50 0.29%
(11,204.81)
NR / AAA
AAA
1.99 0.55
43813GAC5 Honda Auto Receivables Trust 2021-1 A3
0.270% Due 04/21/2025
162,041.83 02/17/2021
0.27%
162,038.87
162,040.89
97.27 5.87%
157,620.03
12.15 0.11%
(4,420.86)
Aaa / NR
AAA
2.06 0.48
89240BAC2 Toyota Auto Receivables Owners 2021-A A3
0.260% Due 05/15/2025
590,848.46 02/02/2021
0.27%
590,738.80
590,814.62
97.46 5.57%
575,832.05
68.28 0.38%
(14,982.57)
Aaa / NR
AAA
2.13 0.48
As of March 31, 2023
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
44933LAC7 Hyundai Auto Receivables Trust 2021-A A3
0.380% Due 09/15/2025
392,283.30 04/20/2021
0.38%
392,242.03
392,268.10
97.24 5.26%
381,457.85
66.25 0.25%
(10,810.25)
NR / AAA
AAA
2.46 0.56
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
459,943.37
95.51 5.26%
439,345.08
112.44
0.29%
(20,598.29)
Aaa / NR
AAA
2.81 1.03
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
579,972.29
95.67 5.59%
554,865.70
134.04
0.37%
(25,106.59)
Aaa / NR
AAA
2.96 0.86
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
429,994.71
95.33 5.42%
409,919.43
135.69
0.27%
(20,075.28)
NR / AAA
AAA
3.04 1.00
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
739,926.71
95.88 4.95%
709,483.88
618.31
0.47%
(30,442.83)
Aaa / AAA
NR
3.13 1.36
44935FAD6 Hyundai Auto Receivables Trust 2021-C A3
0.740% Due 05/15/2026
1,330,000.00 Various
2.03%
1,296,371.65
1,308,620.05
95.40 5.49%
1,268,845.28
437.42
0.85%
(39,774.77)
NR / AAA
AAA
3.13 0.97
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
529,980.17
97.71 4.90%
517,885.79
283.55
0.35%
(12,094.38)
Aaa / AAA
NR
3.41 1.38
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
349,994.86
94.86 5.77%
332,024.70
99.17 0.22%
(17,970.16)
Aaa / AAA
NR
3.47 1.02
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
449,930.11
96.65 5.05%
434,938.95
464.00
0.29%
(14,991.16)
Aaa / NR
AAA
3.47 1.24
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
1,009,973.60
96.14 5.00%
970,973.60
996.53
0.65%
(39,000.00)
NR / AAA
AAA
3.55 1.41
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
294,983.60
95.01 5.68%
280,288.35
154.88
0.19%
(14,695.25)
NR / AAA
AAA
3.63 1.14
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
389,941.47
96.84 5.16%
377,662.35
503.75
0.25%
(12,279.12)
Aaa / AAA
NR
3.88 1.56
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
654,949.66
98.07 4.89%
642,376.84
1,088.76
0.43%
(12,572.82)
Aaa / NR
AAA
3.88 1.72
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
1,531,454.85
95.46 4.70%
1,474,798.29
1,517.53
0.99%
(56,656.56)
Aaa / NR
AAA
3.96 1.86
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
1,374,783.15
97.66 4.60%
1,342,783.75
2,071.67
0.90%
(31,999.40)
NR / AAA
AAA
4.13 1.99
47800BAC2 John Deere Owner Trust 2022-C A3
5.090% Due 06/15/2027
1,050,000.00 10/12/2022
5.15%
1,049,918.52
1,049,928.53
100.81
4.74%
1,058,522.85
2,375.33
0.71%
8,594.32
Aaa / NR
AAA
4.21 1.98
As of March 31, 2023
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
92348KAV5 Verizon Master Trust 2022-5 A1A
3.720% Due 07/20/2027
570,000.00 08/02/2022
3.75%
569,974.92
569,980.69
98.64 5.10%
562,220.64
647.90
0.38%
(7,760.05)
NR / AAA
AAA
4.31 1.32
TOTAL ABS 18,824,626.42 2.03%
18,762,184.91
18,786,674.54 5.23%
18,282,322.31
13,784.63
12.22%
(504,352.23)
Aaa / AAA
AAA
2.94 1.11
Agency
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
855,000.00 12/02/2020
0.28%
854,153.55
854,809.07
96.98 4.85%
829,173.87
694.69
0.55%
(25,635.20)
Aaa / AA+
AAA
0.68 0.66
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
1,500,000.00 06/18/2019
1.96%
1,564,890.20
1,515,670.52
98.11 4.50%
1,471,660.50
12,817.70
0.99%
(44,010.02)
Aaa / AA+
NR
1.21 1.16
3135G0V75 FNMA Note
1.750% Due 07/02/2024
1,500,000.00 07/16/2019
1.96%
1,484,895.00
1,496,182.07
96.48 4.67%
1,447,206.00
6,489.58
0.97%
(48,976.07)
Aaa / AA+
AAA
1.26 1.21
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
2,000,000.00 09/13/2019
1.79%
2,103,380.00
2,030,095.82
98.07 4.26%
1,961,428.00
2,875.00
1.31%
(68,667.82)
Aaa / AA+
AAA
1.46 1.40
3135G0W66 FNMA Note
1.625% Due 10/15/2024
1,975,000.00 Various
1.73%
1,965,802.75
1,972,084.20
96.09 4.28%
1,897,771.58
14,798.79
1.28%
(74,312.62)
Aaa / AA+
AAA
1.55 1.48
3135G0X24 FNMA Note
1.625% Due 01/07/2025
1,295,000.00 Various
1.38%
1,309,953.95
1,300,500.90
95.59 4.24%
1,237,934.53
4,910.21
0.83%
(62,566.37)
Aaa / AA+
AAA
1.78 1.71
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
2,365,000.00 02/13/2020
1.52%
2,363,178.95
2,364,318.48
95.19 4.21%
2,251,236.41
4,828.54
1.51%
(113,082.07)
Aaa / AA+
AAA
1.87 1.80
3135G03U5 FNMA Note
0.625% Due 04/22/2025
1,860,000.00 04/22/2020
0.67%
1,856,168.40
1,858,420.31
92.98 4.22%
1,729,349.88
5,134.38
1.16%
(129,070.43)
Aaa / AA+
AAA
2.06 2.00
3135G04Z3 FNMA Note
0.500% Due 06/17/2025
2,500,000.00 Various
0.50%
2,499,227.30
2,499,751.23
92.41 4.13%
2,310,277.50
3,611.11
1.55%
(189,473.73)
Aaa / AA+
AAA
2.22 2.15
3137EAEU9 FHLMC Note
0.375% Due 07/21/2025
1,250,000.00 07/21/2020
0.48%
1,243,775.00
1,247,126.40
92.00 4.04%
1,150,037.50
911.46
0.77%
(97,088.90)
Aaa / AA+
AAA
2.31 2.25
3135G05X7 FNMA Note
0.375% Due 08/25/2025
2,500,000.00 Various
0.48%
2,487,983.75
2,494,055.94
91.55 4.11%
2,288,837.51
937.51
1.53%
(205,218.43)
Aaa / AA+
AAA
2.41 2.34
3137EAEX3 FHLMC Note
0.375% Due 09/23/2025
2,500,000.00 Various
0.46%
2,489,362.80
2,494,605.84
91.36 4.08%
2,284,012.50
208.33
1.53%
(210,593.34)
Aaa / AA+
AAA
2.48 2.42
3135G06G3 FNMA Note
0.500% Due 11/07/2025
2,500,000.00 Various
0.56%
2,492,700.00
2,496,186.54
91.49 3.98%
2,287,272.50
5,000.00
1.53%
(208,914.04)
Aaa / AA+
AAA
2.61 2.53
TOTAL Agency 24,600,000.00 1.03%
24,715,471.65
24,623,807.32 4.23%
23,146,198.28
63,217.30
15.51%
(1,477,609.04)
Aaa / AA+
AAA
1.94 1.88
As of March 31, 2023
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
CMO
3137BFE98 FHLMC K041 A2
3.171% Due 10/25/2024
1,300,000.00 07/01/2021
0.72%
1,398,414.06
1,345,710.08
97.50 4.85%
1,267,458.40
3,435.25
0.85%
(78,251.68)
Aaa / AAA
AAA
1.57 1.40
3137BLMZ8 FHLMC K049 A2
3.010% Due 07/25/2025
1,000,000.00 07/01/2021
0.87%
1,079,687.50
1,045,019.33
96.78 4.50%
967,814.00
2,508.33
0.65%
(77,205.33)
NR / NR
AAA
2.32 2.08
3137BLW95 FHLMC K050 A2
3.334% Due 08/25/2025
950,000.00 11/16/2021
1.17%
1,018,132.81
993,017.98
97.39 4.50%
925,178.40
2,639.42
0.62%
(67,839.58)
NR / NR
AAA
2.41 2.12
3137BM7C4 FHLMC K051 A2
3.308% Due 09/25/2025
440,000.00 03/15/2022
2.21%
453,079.69
449,154.75
97.29 4.48%
428,072.48
1,212.93
0.29%
(21,082.27)
NR / NR
AAA
2.49 2.20
3137BN6G4 FHLMC KO53
2.995% Due 12/25/2025
570,000.00 03/15/2022
2.29%
582,001.17
578,700.41
96.45 4.42%
549,750.18
1,422.63
0.37%
(28,950.23)
NR / NR
AAA
2.74 2.42
3137BSP72 FHLMC K058 A2
2.653% Due 08/25/2026
650,000.00 11/12/2021
1.35%
687,451.17
676,551.53
94.81 4.30%
616,276.70
1,437.04
0.41%
(60,274.83)
NR / NR
AAA
3.41 3.14
3137FBBX3 FHLMC K068 A2
3.244% Due 08/25/2027
1,000,000.00 09/28/2022
4.41%
950,664.06
955,701.20
96.10 4.22%
961,006.00
2,703.33
0.64%
5,304.80
Aaa / NR
NR
4.41 3.95
TOTAL CMO 5,910,000.00 1.74%
6,169,430.46
6,043,855.28 4.50%
5,715,556.16
15,358.93
3.83%
(328,299.12)
Aaa / AAA
AAA
2.69 2.40
Corporate
89114QCA4 Toronto Dominion Bank Note
2.650% Due 06/12/2024
1,500,000.00 09/11/2019
2.24%
1,527,255.00
1,506,884.48
97.21 5.08%
1,458,156.00
12,035.42
0.98%
(48,728.48)
A1 / A
AA-
1.20 1.15
06367TQW3 Bank of Montreal Note
0.625% Due 07/09/2024
600,000.00 02/09/2022
1.89%
582,216.00
590,592.08
94.55 5.10%
567,309.60
854.17
0.38%
(23,282.48)
A2 / A-
AA-
1.28 1.24
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
1,754,558.20
94.98 4.68%
1,671,626.88
2,322.23
1.12%
(82,931.32)
A2 / A+
NR
1.29 1.25
78013XZU5 Royal Bank of Canada Note
2.550% Due 07/16/2024
1,500,000.00 Various
1.98%
1,533,359.18
1,510,478.41
96.74 5.18%
1,451,172.00
7,968.76
0.97%
(59,306.41)
A1 / A
AA-
1.30 1.24
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
1,254,826.06
96.13 5.45%
1,201,583.75
5,083.33
0.81%
(53,242.31)
A2 / A+
A+
1.33 1.28
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
1,697,018.39
98.38 4.61%
1,647,880.08
9,507.95
1.11%
(49,138.31)
A2 / A
NR
1.34 1.28
69371RR40 Paccar Financial Corp Note
0.500% Due 08/09/2024
680,000.00 08/03/2021
0.52%
679,632.80
679,833.82
94.35 4.85%
641,605.84
491.11
0.43%
(38,227.98)
A1 / A+
NR
1.36 1.32
As of March 31, 2023
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
69371RQ25 Paccar Financial Corp Note
2.150% Due 08/15/2024
370,000.00 08/08/2019
2.20%
369,182.30
369,775.32
96.45 4.85%
356,872.40
1,016.47
0.24%
(12,902.92)
A1 / A+
NR
1.38 1.32
14913Q3B3 Caterpillar Finl Service Note
2.150% Due 11/08/2024
1,100,000.00 01/28/2020
1.92%
1,111,517.00
1,103,876.42
96.35 4.54%
1,059,841.20
9,394.31
0.71%
(44,035.22)
A2 / A
A
1.61 1.54
74153WCQ0 Pricoa Global Funding Note
1.150% Due 12/06/2024
885,000.00 12/01/2021
1.19%
884,088.45
884,487.57
94.30 4.72%
834,537.30
3,251.15
0.56%
(49,950.27)
Aa3 / AA-
AA-
1.69 1.62
89114TZL9 Toronto-Dominion Bank Note
1.450% Due 01/10/2025
700,000.00 03/15/2022
2.79%
674,737.00
684,057.33
94.09 4.97%
658,662.20
2,283.75
0.44%
(25,395.13)
A1 / A
NR
1.78 1.71
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
1,214,029.97
94.67 4.60%
1,150,210.13
3,817.13
0.77%
(63,819.84)
A1 / A+
A+
1.79 1.72
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
1,678,917.32
94.47 4.71%
1,587,114.48
5,210.33
1.06%
(91,802.84)
Aaa / AA+
AAA
1.79 1.72
69371RR73 Paccar Financial Corp Note
2.850% Due 04/07/2025
885,000.00 03/31/2022
2.86%
884,769.90
884,845.27
96.54 4.67%
854,389.62
12,190.88
0.58%
(30,455.65)
A1 / A+
NR
2.02 1.90
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
1,049,736.27
97.04 4.92%
1,018,959.90
16,439.06
0.69%
(30,776.37)
A1 / A
AA-
2.04 1.91
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
1,369,867.75
96.30 5.26%
1,319,346.99
19,887.83
0.89%
(50,520.76)
A1 / A
AA-
2.07 1.93
06367WB85 Bank of Montreal Note
1.850% Due 05/01/2025
1,240,000.00 07/23/2021
0.85%
1,285,656.80
1,265,287.35
93.66 5.10%
1,161,369.12
9,558.33
0.78%
(103,918.23)
A2 / A-
AA-
2.09 1.99
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
1,370,691.11
94.76 5.37%
1,298,227.08
3,762.93
0.87%
(72,464.03)
A1 / A-
AA-
2.17 2.08
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
655,166.83
94.73 5.36%
620,483.47
1,727.78
0.42%
(34,683.36)
A1 / A-
AA-
2.23 2.13
66815L2J7 Northwestern Mutual Glbl Note
4.000% Due 07/01/2025
1,170,000.00 06/27/2022
4.01%
1,169,602.20
1,169,701.65
98.53 4.69%
1,152,855.99
11,700.00
0.78%
(16,845.66)
Aaa / AA+
AAA
2.25 2.10
74153WCM9 Pricoa Global Funding Note
0.800% Due 09/01/2025
904,000.00 04/06/2022
3.26%
832,972.72
853,445.96
90.72 4.92%
820,140.44
602.67
0.55%
(33,305.52)
Aa3 / AA-
AA-
2.42 2.34
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
1,017,977.68
96.71 5.30%
967,124.00
14,593.06
0.66%
(50,853.68)
A1 / A
AA-
2.64 2.42
40139LBC6 Guardian Life Glob Fun Note
0.875% Due 12/10/2025
1,400,000.00 Various
1.12%
1,385,860.00
1,390,889.78
90.19 4.80%
1,262,657.20
3,777.08
0.85%
(128,232.58)
Aa1 / AA+
NR
2.70 2.59
As of March 31, 2023
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
66815L2A6 Northwestern Mutual Glbl Note
0.800% Due 01/14/2026
850,000.00 12/06/2021
1.47%
827,449.50
834,660.24
89.92 4.70%
764,347.20
1,454.44
0.51%
(70,313.04)
Aaa / AA+
AAA
2.79 2.69
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
610,563.50
93.69 5.61%
562,140.60
1,612.00
0.38%
(48,422.90)
A2 / A-
AA-
2.88 1.79
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
408,877.49
93.57 5.42%
375,228.53
3,689.17
0.25%
(33,648.96)
A1 / A-
AA-
3.06 1.95
6174468Q5 Morgan Stanley Callable Note Cont 4/28/2025
2.188% Due 04/28/2026
650,000.00 05/23/2022
4.82%
615,699.50
623,138.45
93.83 5.36%
609,868.35
6,044.35
0.41%
(13,270.10)
A1 / A-
A+
3.08 1.97
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
1,869,956.35
90.66 4.23%
1,699,951.88
7,239.58
1.14%
(170,004.47)
A1 / AA
AA-
3.12 3.00
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
1,027,947.22
90.93 4.29%
941,073.75
4,496.50
0.63%
(86,873.47)
A3 / A+
A
3.13 2.99
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
1,384,608.20
90.18 4.44%
1,248,936.22
4,457.97
0.84%
(135,671.98)
A1 / A+
A+
3.22 3.08
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
700,721.64
91.41 5.48%
639,877.00
2,616.02
0.43%
(60,844.64)
A2 / A-
AA-
3.22 2.13
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
1,001,499.14
88.88 4.90%
888,756.00
2,500.00
0.60%
(112,743.14)
Aa3 / AA+
AA+
3.30 3.15
58989V2D5 Met Tower Global Funding Note
1.250% Due 09/14/2026
770,000.00 09/07/2021
1.27%
769,291.60
769,510.40
88.74 4.83%
683,288.76
454.51
0.46%
(86,221.64)
Aa3 / AA-
AA-
3.46 3.30
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
349,541.73
90.15 4.13%
315,512.40
142.92
0.21%
(34,029.33)
Aa2 / AA
AA
3.47 3.33
59217GER6 Metlife Note
1.875% Due 01/11/2027
1,115,000.00 01/03/2022
1.90%
1,113,728.90
1,114,038.67
89.36 5.00%
996,336.13
4,645.83
0.67%
(117,702.54)
Aa3 / AA-
AA-
3.79 3.55
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
959,787.09
89.57 5.44%
859,878.72
1,829.34
0.58%
(99,908.37)
A2 / A
A
3.93 3.65
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
1,614,757.34
94.68 3.76%
1,529,046.47
1,650.89
1.02%
(85,710.87)
Aa2 / AA
A+
3.96 3.72
As of March 31, 2023
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
06051GHT9 Bank of America Corp Callable Note 1X 4/23/2026
3.559% Due 04/23/2027
1,150,000.00 Various
4.85%
1,114,222.54
1,119,155.62
94.98 5.35%
1,092,272.30
17,963.07
0.74%
(26,883.32)
A2 / A-
AA-
4.07 2.80
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
669,108.38
97.97 4.55%
656,368.18
10,496.67
0.45%
(12,740.20)
A2 / A+
A+
4.11 3.68
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
675,261.74
97.81 4.28%
660,241.13
9,435.00
0.45%
(15,020.61)
A3 / A+
A
4.13 3.72
57636QAW4 MasterCard Inc Callable Note Cont 2/9/28
4.875% Due 03/09/2028
945,000.00 03/06/2023
4.90%
944,083.35
944,094.89
102.92
4.20%
972,633.69
2,815.31
0.65%
28,538.80
Aa3 / A+
NR
4.95 4.29
TOTAL Corporate 42,705,000.00 2.08%
42,741,600.72
42,634,173.11 4.84%
40,257,882.98
241,019.30
27.06%
(2,376,290.13)
A1 / A+
AA-
2.48 2.26
Money Market Fund
94975H270 Wells Fargo 100% Treasury Money Mkt Fund 724,920.33 Various
4.15%
724,920.33
724,920.33
1.00 4.15%
724,920.33
0.00 0.48%
0.00 Aaa / AAA
NR
0.00 0.00
TOTAL Money Market Fund 724,920.33 4.15%
724,920.33
724,920.33 4.15%
724,920.33
0.00 0.48%
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
760,277.69
96.96 4.52%
732,070.65
9,060.00
0.50%
(28,207.04)
Aa2 / AA-
AA
1.51 1.43
TOTAL Municipal Bonds 755,000.00 1.91%
772,342.35
760,277.69 4.52%
732,070.65
9,060.00
0.50%
(28,207.04)
Aa2 / AA-
AA
1.51 1.43
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
2,797,963.34
97.17 4.92%
2,720,830.00
2,644.44
1.82%
(77,133.34)
Aaa / AAA
NR
0.63 0.61
45950KCT5 International Finance Corp Note
0.375% Due 07/16/2025
2,500,000.00 05/27/2021
0.66%
2,471,150.00
2,483,965.84
92.19 3.98%
2,304,650.00
1,953.13
1.54%
(179,315.84)
Aaa / AAA
NR
2.30 2.24
459058JL8 Intl. Bank Recon & Development Note
0.500% Due 10/28/2025
2,400,000.00 Various
0.60%
2,388,859.25
2,393,893.71
91.64 3.95%
2,199,264.00
5,100.01
1.47%
(194,629.71)
Aaa / AAA
AAA
2.58 2.51
As of March 31, 2023
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
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
2,453,120.22
91.35 3.91%
2,247,180.48
9,626.46
1.51%
(205,939.74)
Aaa / AAA
AAA
3.06 2.95
TOTAL Supranational 10,160,000.00 0.64%
10,101,042.45
10,128,943.11 4.22%
9,471,924.48
19,324.04
6.34%
(657,018.63)
Aaa / AAA
AAA
2.06 2.00
US Treasury
912828X70 US Treasury Note
2.000% Due 04/30/2024
1,700,000.00 06/10/2019
1.92%
1,705,976.56
1,701,322.54
97.25 4.63%
1,653,316.30
14,276.24
1.11%
(48,006.24)
Aaa / AA+
AAA
1.08 1.04
912828XX3 US Treasury Note
2.000% Due 06/30/2024
2,000,000.00 Various
1.80%
2,018,574.22
2,004,797.55
97.03 4.46%
1,940,626.00
10,055.25
1.30%
(64,171.55)
Aaa / AA+
AAA
1.25 1.21
912828D56 US Treasury Note
2.375% Due 08/15/2024
1,700,000.00 09/18/2019
1.71%
1,753,191.41
1,714,900.72
97.34 4.39%
1,654,710.30
5,018.99
1.11%
(60,190.42)
Aaa / AA+
AAA
1.38 1.33
912828YY0 US Treasury Note
1.750% Due 12/31/2024
2,100,000.00 03/15/2022
1.97%
2,087,203.13
2,091,978.46
95.94 4.18%
2,014,687.50
9,238.26
1.35%
(77,290.96)
Aaa / AA+
AAA
1.76 1.69
912828ZC7 US Treasury Note
1.125% Due 02/28/2025
1,500,000.00 03/18/2020
0.81%
1,523,144.53
1,508,952.98
94.55 4.11%
1,418,320.50
1,467.39
0.95%
(90,632.48)
Aaa / AA+
AAA
1.92 1.86
91282CED9 US Treasury Note
1.750% Due 03/15/2025
3,100,000.00 Various
2.23%
3,057,617.20
3,071,931.63
95.65 4.09%
2,965,100.40
2,506.11
1.98%
(106,831.23)
Aaa / AA+
AAA
1.96 1.89
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
2,500,000.00 03/21/2022
2.24%
2,360,839.85
2,406,817.87
92.75 4.04%
2,318,750.00
3,936.46
1.55%
(88,067.87)
Aaa / AA+
AAA
2.08 2.03
91282CAB7 US Treasury Note
0.250% Due 07/31/2025
1,500,000.00 03/12/2021
0.72%
1,469,765.63
1,483,890.13
91.83 3.94%
1,377,480.00
621.55
0.92%
(106,410.13)
Aaa / AA+
AAA
2.34 2.29
91282CAM3 US Treasury Note
0.250% Due 09/30/2025
2,400,000.00 Various
0.56%
2,366,140.63
2,381,498.42
91.51 3.84%
2,196,280.80
16.39 1.47%
(185,217.62)
Aaa / AA+
AAA
2.50 2.45
91282CAT8 US Treasury Note
0.250% Due 10/31/2025
2,450,000.00 Various
0.49%
2,422,492.19
2,435,115.43
91.18 3.87%
2,233,807.10
2,571.82
1.49%
(201,308.33)
Aaa / AA+
AAA
2.59 2.52
91282CAZ4 US Treasury Note
0.375% Due 11/30/2025
2,250,000.00 03/26/2021
0.77%
2,209,658.20
2,226,981.30
91.22 3.87%
2,052,423.00
2,827.95
1.37%
(174,558.30)
Aaa / AA+
AAA
2.67 2.60
91282CBH3 US Treasury Note
0.375% Due 01/31/2026
2,500,000.00 05/27/2021
0.75%
2,456,445.31
2,473,597.04
90.78 3.84%
2,269,432.50
1,553.87
1.52%
(204,164.54)
Aaa / AA+
AAA
2.84 2.77
91282CBW0 US Treasury Note
0.750% Due 04/30/2026
2,500,000.00 05/27/2021
0.80%
2,493,652.34
2,496,028.30
91.16 3.82%
2,279,102.50
7,872.93
1.53%
(216,925.80)
Aaa / AA+
AAA
3.08 2.98
91282CCZ2 US Treasury Note
0.875% Due 09/30/2026
1,400,000.00 10/18/2021
1.19%
1,379,054.68
1,385,186.43
90.56 3.78%
1,267,875.00
33.47 0.85%
(117,311.43)
Aaa / AA+
AAA
3.50 3.39
91282CDG3 US Treasury Note
1.125% Due 10/31/2026
1,400,000.00 11/15/2021
1.25%
1,391,468.75
1,393,826.75
91.21 3.77%
1,276,898.00
6,613.26
0.86%
(116,928.75)
Aaa / AA+
AAA
3.59 3.44
As of March 31, 2023
36 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
91282CEW7 US Treasury Note
3.250% Due 06/30/2027
3,250,000.00 Various
3.18%
3,260,312.50
3,258,536.10
98.27 3.69%
3,193,885.50
26,552.13
2.15%
(64,650.60)
Aaa / AA+
AAA
4.25 3.90
91282CFB2 US Treasury Note
2.750% Due 07/31/2027
400,000.00 08/22/2022
3.12%
393,218.75
394,049.95
96.30 3.68%
385,218.80
1,823.20
0.26%
(8,831.15)
Aaa / AA+
AAA
4.34 4.02
91282CFH9 US Treasury Note
3.125% Due 08/31/2027
4,500,000.00 Various
3.28%
4,468,902.34
4,472,383.65
97.81 3.67%
4,401,562.50
12,228.26
2.95%
(70,821.15)
Aaa / AA+
AAA
4.42 4.07
91282CFM8 US Treasury Note
4.125% Due 09/30/2027
3,450,000.00 Various
4.31%
3,421,152.34
3,423,620.62
101.88
3.67%
3,514,956.60
388.83
2.35%
91,335.98
Aaa / AA+
AAA
4.50 4.08
91282CFZ9 US Treasury Note
3.875% Due 11/30/2027
850,000.00 12/05/2022
3.81%
852,656.25
852,486.95
101.04
3.63%
858,832.35
11,039.49
0.58%
6,345.40
Aaa / AA+
AAA
4.67 4.19
91282CGC9 US Treasury Note
3.875% Due 12/31/2027
2,750,000.00 Various
3.67%
2,775,107.42
2,774,227.76
101.05
3.63%
2,778,897.00
26,787.81
1.87%
4,669.24
Aaa / AA+
AAA
4.76 4.27
91282CGH8 US Treasury Note
3.500% Due 01/31/2028
3,000,000.00 02/07/2023
3.81%
2,957,929.69
2,959,133.02
99.48 3.62%
2,984,298.00
17,403.31
2.01%
25,164.98
Aaa / AA+
AAA
4.84 4.39
91282CGP0 US Treasury Note
4.000% Due 02/29/2028
3,700,000.00 Various
4.00%
3,699,113.28
3,699,259.15
101.71
3.62%
3,763,303.30
12,869.57
2.52%
64,044.15
Aaa / AA+
AAA
4.92 4.42
TOTAL US Treasury 52,900,000.00 2.29%
52,523,617.20
52,610,522.75 3.87%
50,799,763.95
177,702.54
34.06%
(1,810,758.80)
Aaa / AA+
AAA
3.28 3.06
TOTAL PORTFOLIO 156,579,546.75 1.88%
156,510,610.07
156,313,174.13 4.41%
149,130,639.14
539,466.74
100.00%
(7,182,534.99)
Aa1 / AA
AAA
2.69 2.31
TOTAL MARKET VALUE PLUS ACCRUALS 149,670,105.88
As of March 31, 2023
37 SECTION |
Section 4 |
Transactions
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
ACQUISITIONS
Purchase 01/06/2023 91282CGC9 750,000.00 US Treasury Note
3.875% Due: 12/31/2027
99.660 3.95% 747,451.17 481.70 747,932.87 0.00
Purchase 01/26/2023 91282CGC9 2,000,000.00 US Treasury Note
3.875% Due: 12/31/2027
101.383 3.57% 2,027,656.25 5,566.30 2,033,222.55 0.00
Purchase 02/08/2023
91282CGH8 3,000,000.00 US Treasury Note
3.5% Due: 01/31/2028
98.598 3.81% 2,957,929.69 2,320.44 2,960,250.13 0.00
Purchase 02/28/2023
91282CGP0 2,100,000.00 US Treasury Note
4% Due: 02/29/2028
99.285 4.16% 2,084,988.28 0.00 2,084,988.28 0.00
Purchase 03/09/2023
57636QAW4 945,000.00 MasterCard Inc Callable Note Cont 2/9/28
4.875% Due: 03/09/2028
99.903 4.90% 944,083.35 0.00 944,083.35 0.00
Purchase 03/17/2023
91282CGP0 1,600,000.00 US Treasury Note
4% Due: 02/29/2028
100.883 3.80% 1,614,125.00 2,956.52 1,617,081.52 0.00
Subtotal 10,395,000.00 10,376,233.74 11,324.96 10,387,558.70 0.00 TOTAL ACQUISITIONS 10,395,000.00 10,376,233.74 11,324.96 10,387,558.70 0.00
DISPOSITIONS
Sale 01/26/2023
912828V23 1,500,000.00 US Treasury Note
2.25% Due: 12/31/2023
97.762 1.80% 1,466,425.78 2,424.03 1,468,849.81 -39,625.84 Sale 02/08/2023 3137EAFA2 900,000.00 FHLMC Note
0.25% Due: 12/04/2023
96.198 0.28% 865,782.00 400.00 866,182.00 -33,974.70
Sale 02/08/2023
912828B66 2,000,000.00 US Treasury Note
2.75% Due: 02/15/2024
97.910 1.96% 1,958,203.13 26,453.80 1,984,656.93 -53,653.49 Sale 02/24/2023
3130A0XE5 1,500,000.00 FHLB Note
3.25% Due: 03/08/2024
98.041 2.27% 1,470,615.00 22,479.17 1,493,094.17 -43,641.63 Sale 03/09/2023
24422EVN6 830,000.00 John Deere Capital Corp Note
0.45% Due: 01/17/2024
95.959 0.47% 796,459.70 539.50 796,999.20 -33,363.90
December 31, 2022 through March 31, 2023
As of March 31, 2023
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
Sale 03/15/2023 91282CBR1 1,450,000.00 US Treasury Note
0.25% Due: 03/15/2024
95.648 0.33% 1,386,902.34 0.00 1,386,902.34 -61,907.58
Sale 03/16/2023
24422EVN6 200,000.00 John Deere Capital Corp Note
0.45% Due: 01/17/2024
96.120 0.47% 192,240.00 147.50 192,387.50 -7,718.44
Subtotal 8,380,000.00 8,136,627.95 52,444.00 8,189,071.95 -273,885.58 TOTAL DISPOSITIONS 8,380,000.00 8,136,627.95 52,444.00 8,189,071.95 -273,885.58 December 31, 2022 through March 31, 2023
As of March 31, 2023
40 Important Disclosures
2023 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.
Your qualified custodian bank maintains control of all assets reflected in this statement and we urge you to compare this statement to the one you receive from your qualified custodian. Chandler does not have any authority to withdraw or deposit funds from/to the custodian account.
As of March 31, 2023
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 March 31, 2023
42