CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending June 30, 2023
City of Cupertino
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of June 30, 2023
1 SECTION |
Section 1 |
Economic Update
2 Economic Update
Recent economic d ata continues to suggest positive 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. Inflationary trends are subsiding, but core levels remain well above the Fed’s target. Given the cumulative effects of restrictive monetary policy and tighter financial conditions, we believe the economy will gradually soften and the Fed will remain data dependent as they tread cautiously going forward.
At the June meeting, the Federal Open Market Committee paused in their rate hiking campaign after ten straight rate increases and left the target Federal Funds rate in the current range of 5.00- 5.25%. Market participants viewed the FOMC’s decision as a ‘hawkish’ pause, expecting further tightening in the future, primarily based on the updated release of the FOMC’s Summary of Economic Projections (SEP) forecast which reflected a stronger economic outlook and higher rates compared to the March forecast. We believe the resiliency of future economic data will determine if the Federal Reserve can stay on hold for a period of time or will be forced to tighten policy further to bring inflation back down towards their 2% policy objective.
The yield curve remained inverted in June. The 2-year Treasury yield surged 50 basis points to 4.90%, the 5-year Treasury yield rose 40 basis points to 4.16%, and the 10-year Treasury yield increased 19 basis points to 3.84%. The inversion between the 2-year Treasury yield and 10-year Treasury yield widened to -106basis points at June month-end versus -76 basis points at May month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was +6 basis points.
The inversion between 3-month and 10-year Treasuries narrowed to -146 basis points in June from -176 basis points in May.
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 latest US j obs report showed mixed signals regarding the state of the labor market in May. The U.S. economy added 339,000jobs in May, following an upward revision of 41,000to 294,000jobs for the month of April. The pace of job growth remains healthy with the three-month moving average payrolls at 283,000and the six-month moving average at 302,000.The unemployment rate increased to 3.7% on a decline in household employment, while the labor force participation rate remained at 62.6% in May. 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 6.7% from the prior month at
6.6%. Average hourly earnings decelerated to 4.3% year-over-year in May, down from a 4.4% increase in March. Job Openings in April edged up to 10.1 million and separations decreased to 5.7 million, indicating continuing demand for labor. While the longer-term trend 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 May by 0.1% month-over-month and 4.0% year-over-year, down from 4.9% in April. The Core CPI, which excludes volatile food and energy components, remained firm at 0.4% month-over-month and 5.3% year-over-year, decelerating modestly from 5.5% in April. The Personal Consumption Expenditures (PCE) index rose 3.8% year-over-year in May, down from a 4.3% gain in April. Core PCE, the Federal Reserve’s preferred inflation gauge, increased 4.6% year-over-year in May, down slightly from a 4.7% increase in April. Core inflation remains stubbornly elevated above the Fed's 2% target, with service-sector inflation and strong wage growth as headwinds.
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 Federal Reserve
Source: Federal Reserve Source: Bloomberg
At the June m eeting, the Federal Open Market Committee paused in their rate hiking campaign after ten straight rate increases and left the target Federal Funds rate in the current range of 5.00- 5.25%. Market participants viewed the FOMC’s decision as a ‘hawkish’ pause, expecting further tightening in the future, primarily based on the updated release of the FOMC’s Summary of Economic Projections (SEP) forecast. The SEP is forecasting higher GDP, a lower unemployment rate, and higher PCE inflation compared to the March2023forecast. The median forecast for the Fed Funds rate was also increased to 5.6% in June, compared to the prior forecast of 5.1% in March, suggesting another 50 basis points of tightening in 2023. We believe the resiliency of future economic data will determine if the Federal Reserve can stay on hold for a period of time or will be forced to tighten policy further to bring inflation back down towards their 2% policy objective.
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
5.50%
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
6 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
Jun-23
Mar-23
Jun-22
Yield (%)
Bond Yields
At the end of June, the 2-year Treasury yield was 194basis points higher, and the 10-Year Treasury yield was about 82 basis points higher, year- over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield widened to -106 basis points at June month-end versus - 76 basis points at May month-end. The average historical spread (since 2003) is about +130basis points. The inversion between 3-month and 10-year Treasuries narrowed to -146 basis points in June from -176 basis points in May. The shape of the yield curve indicates that the probability of recession is increasing.
7 Section 2|SECTION |
Section 2 |
Account Profile
8 Objectives
Chandler Asset Management Performance Objective
The performance objective for the portfolio is to earn a total rate of return through a market cycle that is equal to or above the return on the benchmark index.
Investment Objectives
The City of Cupertino’s investment objectives, in order of priority, are to provide safety to ensure the preservation of capital in the overall portfolio, provide sufficient liquidity for cash needs and a market rate of return consistent with the investment program.
Strategy
In order to achieve these objectives, the portfolio invests in high quality fixed incomes securities consistent with the investment policy and California Government Code.
As of June 30, 2023
9 Compliance As of June 30, 2023
Category Standard Comment
Treasury Issues No Limitation Complies
Agency Issues 25% per Agency/GSE issuer; 20% max agency callable securities; Issued by Federal Agencies or U.S. Government Sponsored Enterprise obligations. Complies
Supranational "AA" rating category or better by a NRSRO; 30% maximum; 10% max per issuer; USD denominated senior unsecured unsubordinated obligations issued or unconditionally guaranteed by IBRD, IFC, or IADB. Complies Municipal Securities
"A" rating category or better by a NRSRO; 30% maximum; 5% max per issuer; Obligations of the City, State of California, and any local agency within the State of California; Obligations of any of the other 49 states in addition to California, including bonds payable solely out of the revenues from a revenue-producing property owned, controlled, or operated by a state or by a department, board, agency, or authority of any of the other 49 states in addition to California.
Complies
Corporate Medium Term Notes "A" rating category or better by a NRSRO; 30% maximum; 5% max per issuer; Issued by corporations organized and operating within the U.S. or by depository institutions licensed by the U.S. or any state and operating within the U.S. Complies Asset Backed/ Mortgage Backed/
Collateralized Mortgage Obligation
"AA" rating category or better by a NRSRO; 20% maximum; 5% max per issuer on Asset-Backed or Commercial Mortgage security; There is no issuer limitation on any Mortgage security where the issuer is the U.S. Treasury or a Federal Agency/GSE .
Complies
Negotiable Certificates of Deposit (NCDs)
No rating required if amount of the NCD is insured up to the FDIC limit; If above FDIC insured limit, requires "A-1" short- term rated or "A" long-term rating category or better by a NRSRO; 30% maximum; 5% max per issuer; Issued by nationally or state chartered banks, state or federal savings associations, or state or federal credit unions, or by a federally licensed or state-licensed branch of a foreign bank.
Complies
Certificates of Deposit (CDs)/Time
Deposit (TDs)
30% maximum; 5% max per issuer; Certificates of Deposit, Time Deposit, non-negotiable, and collateralized in accordance with California Government Code. Complies
Banker’s Acceptances "A-1" short-term rated or better by a NRSRO; or "A" long-term rating category or better by a NRSRO; 40% maximum; 5% max per issuer; 180 days max maturity Complies
Commercial Paper
"A-1" short term rated or better a NRSRO; "A" long-term issuer rating category or better by a NRSRO; 25% maximum; 5% max per issuer; 270 days max maturity; Issued by corporations organized and operating in the U.S. with assets > $500 million; 10% max outstanding paper of the issuing corporation.
Complies
Money Market Funds
20% maximum; Daily money market funds administered for or by trustees, paying agents and custodian banks contracted by a City of Cupertino as allowed under California Government Code; Only funds holding U.S. Treasury obligations, Government agency obligations or repurchase agreements collateralized by U.S. Treasury or Government agency obligations can be utilized.
Complies
Local Agency Investment Fund (LAIF) Maximum amount permitted by LAIF; Not used by investment adviser Complies City of Cupertino
Assets managed by Chandler Asset Management are in full compliance with state law and with the City's investment policy. 10 Compliance As of June 30, 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; Zero interest accrual securities; Purchasing/selling securities on margin; Foreign currency denominated securities.
Complies
Minimum Budgeted Operating
Expenditures in Short Term Investments
Minimum 6 months of budgeted operating expenditures in short term investments to provide sufficient liquidity for expected disbursements Complies
Max Per Issuer 5% per issuer, unless otherwise specified in the policy Complies Maximum maturity 5 years Complies
City of Cupertino
Assets managed by Chandler Asset Management are in full compliance with state law and with the City's investment policy. 11 Portfolio Summary – City of Cupertino #10659 As of June 30, 2023 12 Purchase Yield as of 06/30/23 = 1.95%
0.00 0.50
1.00 1.50
2.00 2.50
Percent (%)
Historical Average Purchase Yield
City of Cupertino
As of June 30, 2023
13 SECTION |
Section 3 |
Portfolio Holdings
14 Issue Name Investment Type % Portfolio
Government of United States US Treasury 35.67%
Federal National Mortgage Association Agency 8.82%
Federal Home Loan Mortgage Corp Agency 4.36%
Federal Home Loan Mortgage Corp CMO 3.80%
Inter-American Dev Bank Supranational 3.33%
Federal Home Loan Bank Agency 2.30%
American Express ABS ABS 1.87%
John Deere ABS ABS 1.76%
Hyundai Auto Receivables ABS 1.71%
Royal Bank of Canada Corporate 1.67%
Toyota Motor Corp Corporate 1.60%
Bank of America Corp Corporate 1.55%
JP Morgan Chase & Co Corporate 1.54%
Bank of New York Corporate 1.54%
International Finance Corp Supranational 1.54%
Intl Bank Recon and Development Supranational 1.46%
Toronto Dominion Holdings Corporate 1.42%
Northwestern Mutual Glbl Corporate 1.29%
Paccar Financial Corporate 1.25%
Bank of Montreal Chicago Corporate 1.16%
Amazon.com Inc Corporate 1.13%
Salesforce.com Inc Corporate 1.13%
Metlife Inc Corporate 1.13%
Air Products & Chemicals Corporate 1.11%
Prudential Financial Inc Corporate 1.10%
United Health Group Inc Corporate 1.07%
New York Life Global Funding Corporate 1.07%
GM Financial Automobile Leasing Trust ABS 1.02%
Berkshire Hathaway Corporate 1.02%
Honda ABS ABS 0.95%
Guardian Life Global Funding Corporate 0.84%
US Bancorp Corporate 0.82%
Toyota Lease Owner Trust ABS 0.82%
Caterpillar Inc Corporate 0.71%
GM Financial Securitized Term Auto Trust ABS 0.67%
MasterCard Inc Corporate 0.65%
Toyota ABS ABS 0.63%
Mass Mutual Insurance Corporate 0.60%
Issuers
City of Cupertino – Account #10659
As of June 30, 2023
15 Issue Name Investment Type % Portfolio
Charles Schwab Corp/The Corporate 0.58%
Hyundai Auto Lease Securitization ABS 0.52%
State of California Municipal Bonds 0.49%
Northern Trust Corp Corporate 0.44%
Morgan Stanley Corporate 0.41%
Verizon Master Trust ABS 0.38%
BMW Vehicle Lease Trust ABS 0.37%
BMW ABS ABS 0.35%
Wal-Mart Stores Corporate 0.21%
Wells Fargo 100% Treasury MMKT Fund Money Market Fund 0.13% Verizon Owner Trust ABS 0.07%
TOTAL 100.00%
Issuers
City of Cupertino – Account #10659
As of June 30, 2023
16 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
91,167.99 03/23/2022
2.16%
89,344.63
90,896.50
99.69 6.22%
90,883.09
10.86 0.06%
(13.41)
Aaa / AAA
NR
0.81 0.05
44891VAC5 Hyundai Auto Lease Trust 2021-B A3
0.330% Due 06/17/2024
239,581.62 06/08/2021
0.34%
239,545.68
239,578.29
99.45 6.07%
238,259.37
35.14 0.16%
(1,318.92)
Aaa / AAA
NR
0.97 0.10
43813DAC2 Honda Auto Receivables 2020-2 A3
0.820% Due 07/15/2024
15,563.04 05/18/2020
0.83%
15,561.82
15,562.73
99.49 5.66%
15,484.40
5.67 0.01%
(78.33)
Aaa / AAA
NR
1.04 0.10
47789KAC7 John Deere Owner Trust 2020-A A3
1.100% Due 08/15/2024
1,999.85 03/04/2020
1.11%
1,999.73
1,999.82
99.83 7.52%
1,996.36
0.98 0.00%
(3.46)
Aaa / NR
AAA
1.13 0.03
43813KAC6 Honda Auto Receivables Trust 2020-3 A3
0.370% Due 10/18/2024
132,905.15 09/22/2020
0.38%
132,885.62
132,902.76
98.61 5.95%
131,063.75
17.76 0.09%
(1,839.01)
NR / AAA
AAA
1.30 0.25
36262XAC8 GM Financial Auto Lease Trust 2021-3 A2
0.390% Due 10/21/2024
605,741.63 08/10/2021
0.39%
605,733.40
605,739.74
98.59 5.86%
597,221.27
72.18 0.40%
(8,518.47)
NR / AAA
AAA
1.31 0.25
47787NAC3 John Deere Owner Trust 2020-B A3
0.510% Due 11/15/2024
24,012.85 07/14/2020
0.52%
24,009.19
24,012.28
99.28 5.17%
23,840.32
5.44 0.02%
(171.96)
Aaa / NR
AAA
1.38 0.15
09690AAC7 BMW Vehicle Lease Trust 2021-2 A3
0.330% Due 12/26/2024
190,761.46 09/08/2021
0.34%
190,741.76
190,757.26
98.70 6.39%
188,290.72
10.49 0.13%
(2,466.54)
Aaa / NR
AAA
1.49 0.21
89236XAC0 Toyota Auto Receivables 2020-D A3
0.350% Due 01/15/2025
91,064.31 10/06/2020
0.36%
91,047.34
91,058.15
98.94 6.01%
90,097.39
14.17 0.06%
(960.76)
NR / AAA
AAA
1.55 0.19
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
539,995.78
98.22 5.87%
530,395.56
278.40
0.36%
(9,600.22)
Aaa / AAA
NR
1.55 0.38
92290BAA9 Verizon Owner Trust 2020-B A
0.470% Due 02/20/2025
110,213.94 08/04/2020
0.48%
110,190.79
110,205.54
99.30 5.63%
109,445.09
15.83 0.07%
(760.45)
Aaa / NR
AAA
1.65 0.13
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
1,149,923.77
97.81 5.92%
1,124,764.40
688.72
0.75%
(25,159.37)
NR / AAA
AAA
1.65 0.56
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
944,996.96
98.05 5.87%
926,603.69
548.63
0.62%
(18,393.27)
Aaa / NR
AAA
1.72 0.49
05601XAC3 BMW Vehicle Lease Trust 2022-1 A3
1.100% Due 03/25/2025
367,689.92 01/11/2022
1.11%
367,634.96
367,671.42
98.29 5.84%
361,402.42
67.41 0.24%
(6,269.00)
NR / AAA
AAA
1.74 0.36
43813GAC5 Honda Auto Receivables Trust 2021-1 A3
0.270% Due 04/21/2025
119,274.80 02/17/2021
0.27%
119,272.63
119,274.29
97.65 6.18%
116,475.07
8.95 0.08%
(2,799.22)
Aaa / NR
AAA
1.81 0.39
89240BAC2 Toyota Auto Receivables Owners 2021-A A3
0.260% Due 05/15/2025
439,862.73 02/02/2021
0.27%
439,781.10
439,844.11
97.82 5.87%
430,262.29
50.83 0.29%
(9,581.82)
Aaa / NR
AAA
1.88 0.39
44933LAC7 Hyundai Auto Receivables Trust 2021-A A3
0.380% Due 09/15/2025
304,823.89 04/20/2021
0.38%
304,791.82
304,814.70
97.38 6.00%
296,830.19
51.48 0.20%
(7,984.51)
NR / AAA
AAA
2.21 0.46
As of June 30, 2023
17 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
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
459,950.82
95.98 5.92%
441,499.26
112.44
0.30%
(18,451.56)
Aaa / NR
AAA
2.56 0.80
47789QAC4 John Deere Owner Trust 2021-B A3
0.520% Due 03/16/2026
501,919.07 07/13/2021
0.52%
501,874.29
501,898.14
95.80 6.12%
480,831.94
116.00
0.32%
(21,066.20)
Aaa / NR
AAA
2.71 0.75
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
429,995.41
95.77 6.14%
411,795.09
135.69
0.28%
(18,200.32)
NR / AAA
AAA
2.79 0.78
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
739,935.32
95.55 5.87%
707,074.44
618.31
0.47%
(32,860.88)
Aaa / AAA
NR
2.88 1.13
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
1,311,590.39
96.07 5.87%
1,277,697.76
437.42
0.86%
(33,892.63)
NR / AAA
AAA
2.88 0.77
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
529,982.38
97.22 5.76%
515,273.95
283.55
0.35%
(14,708.43)
Aaa / AAA
NR
3.16 1.10
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
349,995.52
95.50 6.14%
334,267.15
99.17 0.22%
(15,728.37)
Aaa / AAA
NR
3.22 0.82
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
449,937.19
96.32 5.88%
433,454.85
464.00
0.29%
(16,482.34)
Aaa / NR
AAA
3.22 1.04
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
1,009,976.58
95.98 5.78%
969,371.74
996.53
0.65%
(40,604.84)
NR / AAA
AAA
3.30 1.14
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
294,985.52
95.52 5.90%
281,786.66
154.88
0.19%
(13,198.86)
NR / AAA
AAA
3.38 0.97
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
389,947.40
96.77 5.72%
377,383.89
503.75
0.25%
(12,563.51)
Aaa / AAA
NR
3.64 1.25
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
654,954.02
97.15 5.73%
636,361.32
1,088.76
0.43%
(18,592.70)
Aaa / NR
AAA
3.64 1.46
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
1,533,181.19
94.73 5.53%
1,463,637.21
1,517.53
0.98%
(69,543.98)
Aaa / NR
AAA
3.71 1.62
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
1,374,808.61
96.51 5.43%
1,326,956.13
2,071.67
0.89%
(47,852.48)
NR / AAA
AAA
3.88 1.75
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
1,049,934.08
99.21 5.61%
1,041,673.50
2,375.33
0.70%
(8,260.58)
Aaa / NR
AAA
3.96 1.69
92348KAV5 Verizon Master Trust 2022-5 A1A
3.720% Due 07/20/2027
570,000.00 08/02/2022
3.75%
569,974.92
569,982.94
98.78 5.25%
563,053.98
647.90
0.38%
(6,928.96)
NR / AAA
AAA
4.06 1.09
TOTAL ABS 17,051,582.25 2.17%
16,993,972.37
17,020,289.61 5.79%
16,535,434.25
13,505.87
11.09%
(484,855.36)
Aaa / AAA
AAA
2.82 0.97
As of June 30, 2023
18 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
Agency
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
855,000.00 12/02/2020
0.28%
854,153.55
854,879.41
97.84 5.41%
836,534.57
160.31
0.56%
(18,344.84)
Aaa / AA+
AAA
0.43 0.42
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
1,500,000.00 06/18/2019
1.96%
1,564,890.20
1,512,429.57
97.57 5.52%
1,463,544.00
2,036.46
0.98%
(48,885.57)
Aaa / AA+
NR
0.96 0.92
3135G0V75 FNMA Note
1.750% Due 07/02/2024
1,500,000.00 07/16/2019
1.96%
1,484,895.00
1,496,940.65
96.43 5.44%
1,446,480.00
13,052.08
0.98%
(50,460.65)
Aaa / AA+
AAA
1.01 0.97
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
2,000,000.00 09/13/2019
1.79%
2,103,380.00
2,024,938.16
97.17 5.33%
1,943,320.00
17,250.00
1.31%
(81,618.16)
Aaa / AA+
AAA
1.21 1.15
3135G0W66 FNMA Note
1.625% Due 10/15/2024
1,975,000.00 Various
1.73%
1,965,802.75
1,972,555.49
95.41 5.35%
1,884,375.15
6,775.35
1.27%
(88,180.34)
Aaa / AA+
AAA
1.30 1.25
3135G0X24 FNMA Note
1.625% Due 01/07/2025
1,295,000.00 Various
1.38%
1,309,953.95
1,299,727.20
94.82 5.22%
1,227,873.68
10,171.14
0.83%
(71,853.52)
Aaa / AA+
AAA
1.53 1.46
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
2,365,000.00 02/13/2020
1.52%
2,363,178.95
2,364,409.28
94.40 5.16%
2,232,498.51
13,697.29
1.51%
(131,910.77)
Aaa / AA+
AAA
1.62 1.55
3135G03U5 FNMA Note
0.625% Due 04/22/2025
1,860,000.00 04/22/2020
0.67%
1,856,168.40
1,858,611.47
92.48 5.02%
1,720,157.76
2,228.13
1.15%
(138,453.71)
Aaa / AA+
AAA
1.81 1.76
3135G04Z3 FNMA Note
0.500% Due 06/17/2025
2,500,000.00 Various
0.50%
2,499,227.30
2,499,779.25
91.81 4.93%
2,295,207.50
486.11
1.54%
(204,571.75)
Aaa / AA+
AAA
1.97 1.91
3137EAEU9 FHLMC Note
0.375% Due 07/21/2025
1,250,000.00 07/21/2020
0.48%
1,243,775.00
1,247,436.97
91.24 4.90%
1,140,486.25
2,083.33
0.77%
(106,950.72)
Aaa / AA+
AAA
2.06 2.00
3135G05X7 FNMA Note
0.375% Due 08/25/2025
2,500,000.00 Various
0.48%
2,487,983.75
2,494,672.71
90.99 4.83%
2,274,872.51
3,281.25
1.53%
(219,800.20)
Aaa / AA+
AAA
2.16 2.09
3137EAEX3 FHLMC Note
0.375% Due 09/23/2025
2,500,000.00 Various
0.46%
2,489,362.80
2,495,147.64
90.74 4.80%
2,268,417.50
2,552.08
1.52%
(226,730.14)
Aaa / AA+
AAA
2.24 2.17
3135G06G3 FNMA Note
0.500% Due 11/07/2025
2,500,000.00 Various
0.56%
2,492,700.00
2,496,551.45
90.63 4.76%
2,265,792.50
1,875.00
1.52%
(230,758.95)
Aaa / AA+
AAA
2.36 2.29
TOTAL Agency 24,600,000.00 1.03%
24,715,471.65
24,618,079.25 5.09%
22,999,559.93
75,648.53
15.47%
(1,618,519.32)
Aaa / AA+
AAA
1.69 1.63
CMO
3137BFE98 FHLMC K041 A2
3.171% Due 10/25/2024
1,300,000.00 07/01/2021
0.72%
1,398,414.06
1,338,133.37
97.07 5.56%
1,261,926.90
3,435.25
0.85%
(76,206.47)
Aaa / AAA
AAA
1.32 1.16
3137BLMZ8 FHLMC K049 A2
3.010% Due 07/25/2025
1,000,000.00 07/01/2021
0.87%
1,079,687.50
1,040,035.44
95.78 5.26%
957,834.00
2,508.33
0.64%
(82,201.44)
NR / NR
AAA
2.07 1.83
As of June 30, 2023
19 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
3137BLW95 FHLMC K050 A2
3.334% Due 08/25/2025
950,000.00 11/16/2021
1.17%
1,018,132.81
988,428.72
96.28 5.24%
914,660.00
2,639.42
0.61%
(73,768.72)
NR / NR
AAA
2.16 1.88
3137BM7C4 FHLMC K051 A2
3.308% Due 09/25/2025
440,000.00 03/15/2022
2.22%
453,079.69
448,212.35
96.15 5.21%
423,060.88
242.59
0.28%
(25,151.47)
NR / NR
AAA
2.24 1.96
3137BN6G4 FHLMC KO53
2.995% Due 12/25/2025
570,000.00 03/15/2022
2.29%
582,001.17
577,907.88
95.27 5.13%
543,042.42
1,422.63
0.37%
(34,865.46)
NR / NR
AAA
2.49 2.18
3137BSP72 FHLMC K058 A2
2.653% Due 08/25/2026
650,000.00 11/12/2021
1.35%
687,451.17
674,567.79
93.62 4.87%
608,522.20
1,437.04
0.41%
(66,045.59)
NR / NR
AAA
3.16 2.90
3137FBBX3 FHLMC K068 A2
3.244% Due 08/25/2027
1,000,000.00 09/28/2022
4.41%
950,664.06
958,247.75
94.54 4.71%
945,408.00
2,703.33
0.64%
(12,839.75)
Aaa / NR
NR
4.16 3.72
TOTAL CMO 5,910,000.00 1.74%
6,169,430.46
6,025,533.30 5.17%
5,654,454.40
14,388.59
3.80%
(371,078.90)
Aaa / AAA
AAA
2.44 2.16
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
1,505,454.14
96.98 5.97%
1,454,667.00
2,097.92
0.98%
(50,787.14)
A1 / A
AA-
0.95 0.92
06367TQW3 Bank of Montreal Note
0.625% Due 07/09/2024
600,000.00 02/09/2022
1.89%
582,216.00
592,433.20
94.98 5.74%
569,871.00
1,791.67
0.38%
(22,562.20)
A2 / A-
AA-
1.03 0.99
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
1,755,609.59
95.19 5.44%
1,675,340.48
5,072.23
1.13%
(80,269.11)
A2 / A+
NR
1.04 1.01
78013XZU5 Royal Bank of Canada Note
2.550% Due 07/16/2024
1,500,000.00 Various
1.99%
1,533,359.18
1,508,458.20
96.92 5.62%
1,453,839.00
17,531.26
0.99%
(54,619.20)
A1 / A
AA-
1.05 1.00
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
1,253,858.72
96.46 5.82%
1,205,688.75
12,583.33
0.82%
(48,169.97)
A3 / A
A
1.08 1.03
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
1,691,945.80
97.42 5.84%
1,631,707.95
23,536.08
1.11%
(60,237.85)
A2 / A
NR
1.09 1.03
69371RR40 Paccar Financial Corp Note
0.500% Due 08/09/2024
680,000.00 08/03/2021
0.52%
679,632.80
679,864.31
94.67 5.52%
643,745.80
1,341.11
0.43%
(36,118.51)
A1 / A+
NR
1.11 1.07
69371RQ25 Paccar Financial Corp Note
2.150% Due 08/15/2024
370,000.00 08/08/2019
2.20%
369,182.30
369,816.05
96.26 5.62%
356,163.48
3,005.22
0.24%
(13,652.57)
A1 / A+
NR
1.13 1.08
14913Q3B3 Caterpillar Finl Service Note
2.150% Due 11/08/2024
1,100,000.00 01/28/2020
1.92%
1,111,517.00
1,103,275.48
95.82 5.38%
1,054,061.80
3,481.81
0.71%
(49,213.68)
A2 / A
A+
1.36 1.30
74153WCQ0 Pricoa Global Funding Note
1.150% Due 12/06/2024
885,000.00 12/01/2021
1.19%
884,088.45
884,563.39
93.57 5.89%
828,122.82
706.77
0.56%
(56,440.57)
Aa3 / AA-
AA-
1.44 1.38
As of June 30, 2023
20 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
89114TZL9 Toronto-Dominion Bank Note
1.450% Due 01/10/2025
700,000.00 03/15/2022
2.79%
674,737.00
686,289.30
94.13 5.51%
658,921.90
4,821.25
0.44%
(27,367.40)
A1 / A
NR
1.53 1.46
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
1,214,165.15
94.32 5.35%
1,146,014.73
8,221.50
0.77%
(68,150.42)
A1 / A+
A+
1.54 1.47
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
1,679,067.97
93.96 5.60%
1,578,559.92
11,300.33
1.07%
(100,508.05)
Aaa / AA+
AAA
1.55 1.48
69371RR73 Paccar Financial Corp Note
2.850% Due 04/07/2025
885,000.00 03/31/2022
2.86%
884,769.90
884,864.38
95.71 5.42%
847,036.16
5,885.25
0.57%
(37,828.22)
A1 / A+
NR
1.77 1.68
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
1,049,768.53
96.27 5.59%
1,010,808.75
7,579.69
0.68%
(38,959.78)
A1 / A
AA-
1.79 1.69
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
1,369,883.69
96.16 5.60%
1,317,345.42
8,414.08
0.89%
(52,538.27)
A1 / A
AA-
1.82 1.72
06367WB85 Bank of Montreal Note
1.850% Due 05/01/2025
1,240,000.00 07/23/2021
0.85%
1,285,656.80
1,262,263.51
93.42 5.67%
1,158,357.16
3,823.33
0.78%
(103,906.35)
A2 / A-
AA-
1.84 1.76
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
1,370,543.83
95.06 6.07%
1,302,372.70
940.73
0.87%
(68,171.13)
A1 / A-
AA-
1.92 1.83
46647PCK0 JP Morgan Chase & Co Callable Note Cont 6/23/2024
0.969% Due 06/23/2025
655,000.00 Various
0.95%
655,406.85
655,133.02
94.92 6.08%
621,735.83
141.05
0.42%
(33,397.19)
A1 / A-
AA-
1.98 1.89
66815L2J7 Northwestern Mutual Glbl Note
4.000% Due 07/01/2025
1,170,000.00 06/27/2022
4.01%
1,169,602.20
1,169,734.68
96.85 5.69%
1,133,145.00
23,400.00
0.78%
(36,589.68)
Aaa / AA+
AAA
2.01 1.85
74153WCM9 Pricoa Global Funding Note
0.800% Due 09/01/2025
904,000.00 04/06/2022
3.26%
832,972.72
858,650.05
89.92 5.81%
812,833.41
2,410.67
0.55%
(45,816.64)
Aa3 / AA-
AA-
2.18 2.09
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
1,016,220.47
96.39 5.59%
963,887.00
4,718.06
0.65%
(52,333.47)
A1 / A
AA-
2.39 2.22
40139LBC6 Guardian Life Glob Fun Note
0.875% Due 12/10/2025
1,400,000.00 Various
1.12%
1,385,860.00
1,391,732.29
89.00 5.76%
1,246,018.20
714.58
0.84%
(145,714.09)
Aa1 / AA+
NR
2.45 2.35
66815L2A6 Northwestern Mutual Glbl Note
0.800% Due 01/14/2026
850,000.00 12/06/2021
1.47%
827,449.50
836,030.13
89.12 5.45%
757,516.60
3,154.44
0.51%
(78,513.53)
Aaa / AA+
AAA
2.55 2.44
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
609,158.12
93.65 6.20%
561,882.00
4,634.50
0.38%
(47,276.12)
A1 / A-
AA-
2.63 1.54
As of June 30, 2023
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
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
407,924.23
93.65 5.83%
375,537.30
1,600.96
0.25%
(32,386.93)
A1 / A-
AA-
2.81 1.73
6174468Q5 Morgan Stanley Callable Note Cont 4/28/2025
2.188% Due 04/28/2026
650,000.00 05/23/2022
4.87%
615,699.50
625,315.12
93.87 5.77%
610,160.20
2,488.85
0.41%
(15,154.92)
A1 / A-
A+
2.83 1.74
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
1,870,360.02
89.90 4.81%
1,685,675.63
2,552.08
1.13%
(184,684.39)
A1 / AA
AA-
2.87 2.76
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
1,028,508.73
90.43 4.75%
935,955.68
1,520.88
0.63%
(92,553.05)
A3 / A+
A
2.88 2.76
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
1,384,638.57
89.41 5.01%
1,238,357.59
562.66
0.83%
(146,280.98)
A1 / A+
A+
2.97 2.85
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
700,640.56
91.60 5.90%
641,213.30
307.77
0.43%
(59,427.26)
A1 / A-
AA-
2.97 1.89
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
1,001,385.64
88.39 5.38%
883,944.00
5,500.00
0.60%
(117,441.64)
Aa3 / AA+
AA+
3.05 2.90
58989V2D5 Met Tower Global Funding Note
1.250% Due 09/14/2026
770,000.00 09/07/2021
1.27%
769,291.60
769,545.71
87.49 5.57%
673,647.59
2,860.76
0.45%
(95,898.12)
Aa3 / AA-
AA-
3.21 3.05
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
349,574.70
89.28 4.68%
312,489.80
1,061.67
0.21%
(37,084.90)
Aa2 / AA
AA
3.22 3.08
59217GER6 Metlife Note
1.875% Due 01/11/2027
1,115,000.00 01/03/2022
1.90%
1,113,728.90
1,114,102.02
89.09 5.30%
993,324.51
9,872.40
0.67%
(120,777.51)
Aa3 / AA-
AA-
3.54 3.30
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
959,800.30
89.58 5.63%
859,940.16
7,709.34
0.58%
(99,860.14)
A2 / A-
A
3.68 3.40
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
1,614,772.64
93.51 4.21%
1,510,186.50
10,937.14
1.02%
(104,586.14)
Aa2 / AA
A+
3.71 3.47
06051GHT9 Bank of America Corp Callable Note 1X 4/23/2026
3.559% Due 04/23/2027
1,150,000.00 Various
4.92%
1,114,222.54
1,121,048.29
94.81 5.58%
1,090,282.80
7,730.94
0.74%
(30,765.49)
A1 / A-
AA-
3.82 2.61
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
669,162.47
96.34 5.05%
645,459.91
3,796.67
0.44%
(23,702.56)
A2 / A+
A+
3.86 3.50
As of June 30, 2023
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
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
675,245.91
96.40 4.73%
650,689.88
3,191.25
0.44%
(24,556.03)
A3 / A+
A
3.88 3.54
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
944,140.55
101.13
4.60%
955,687.95
14,332.50
0.65%
11,547.40
Aa3 / A+
NR
4.70 4.03
TOTAL Corporate 42,705,000.00 2.08%
42,741,600.72
42,634,949.46 5.47%
40,052,195.66
237,332.73
27.01%
(2,582,753.80)
A1 / A+
AA-
2.23 2.03
Money Market Fund
94975H270 Wells Fargo 100% Treasury Money Mkt Fund
197,058.62 Various
4.69%
197,058.62
197,058.62
1.00 4.69%
197,058.62
0.00 0.13%
0.00 Aaa / AAA
NR
0.00 0.00
TOTAL Money Market Fund 197,058.62 4.69%
197,058.62
197,058.62 4.69%
197,058.62
0.00 0.13%
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
759,402.88
96.17 5.60%
726,120.50
4,530.00
0.49%
(33,282.38)
Aa2 / AA-
AA
1.26 1.20
TOTAL Municipal Bonds 755,000.00 1.91%
772,342.35
759,402.88 5.60%
726,120.50
4,530.00
0.49%
(33,282.38)
Aa2 / AA-
AA
1.26 1.20
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
2,798,776.22
98.13 5.32%
2,747,746.40
894.44
1.84%
(51,029.82)
Aaa / AAA
NR
0.38 0.37
45950KCT5 International Finance Corp Note
0.375% Due 07/16/2025
2,500,000.00 05/27/2021
0.66%
2,471,150.00
2,485,709.10
91.44 4.82%
2,286,050.00
4,296.88
1.54%
(199,659.10)
Aaa / AAA
NR
2.05 1.99
459058JL8 Intl. Bank Recon & Development Note
0.500% Due 10/28/2025
2,400,000.00 Various
0.60%
2,388,859.25
2,394,484.23
90.76 4.74%
2,178,333.61
2,100.01
1.46%
(216,150.62)
Aaa / AAA
AAA
2.33 2.26
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
2,453,681.71
90.21 4.64%
2,219,195.52
4,245.21
1.49%
(234,486.19)
Aaa / AAA
AAA
2.81 2.71
TOTAL Supranational 10,160,000.00 0.64%
10,101,042.45
10,132,651.26 4.90%
9,431,325.53
11,536.54
6.33%
(701,325.73)
Aaa / AAA
AAA
1.81 1.75
US Treasury
912796YT0 US Treasury Bill
4.888% Due 11/02/2023
1,500,000.00 05/08/2023
5.08%
1,463,954.69
1,474,747.92
98.32 5.08%
1,474,747.92
0.00 0.99%
0.00 P-1 / A-1+
F-1+
0.34 0.33
As of June 30, 2023
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
912796ZN2 US Treasury Bill
5.228% Due 12/28/2023
1,500,000.00 06/28/2023
5.44%
1,460,358.13
1,460,793.75
97.39 5.44%
1,460,793.75
0.00 0.98%
0.00 P-1 / A-1+
F-1+
0.50 0.48
912828X70 US Treasury Note
2.000% Due 04/30/2024
1,700,000.00 06/10/2019
1.92%
1,705,976.56
1,701,017.86
97.22 5.45%
1,652,785.90
5,728.26
1.11%
(48,231.96)
Aaa / AA+
AAA
0.84 0.81
912828XX3 US Treasury Note
2.000% Due 06/30/2024
2,000,000.00 Various
1.80%
2,018,574.22
2,003,840.14
96.70 5.43%
1,934,062.00
108.69
1.30%
(69,778.14)
Aaa / AA+
AAA
1.00 0.97
912828D56 US Treasury Note
2.375% Due 08/15/2024
1,700,000.00 09/18/2019
1.71%
1,753,191.41
1,712,199.59
96.77 5.36%
1,645,081.50
15,168.51
1.11%
(67,118.09)
Aaa / AA+
AAA
1.13 1.08
912828YY0 US Treasury Note
1.750% Due 12/31/2024
2,100,000.00 03/15/2022
1.97%
2,087,203.13
2,093,119.02
95.07 5.21%
1,996,476.30
99.86 1.34%
(96,642.72)
Aaa / AA+
AAA
1.51 1.45
912828ZC7 US Treasury Note
1.125% Due 02/28/2025
1,500,000.00 03/18/2020
0.81%
1,523,144.53
1,507,787.42
93.73 5.09%
1,405,957.50
5,640.29
0.95%
(101,829.92)
Aaa / AA+
AAA
1.67 1.61
91282CED9 US Treasury Note
1.750% Due 03/15/2025
3,100,000.00 Various
2.23%
3,057,617.20
3,075,508.97
94.59 5.09%
2,932,407.80
15,921.20
1.98%
(143,101.17)
Aaa / AA+
AAA
1.71 1.64
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
2,500,000.00 03/21/2022
2.24%
2,360,839.85
2,417,975.21
92.01 4.99%
2,300,195.00
1,579.48
1.54%
(117,780.21)
Aaa / AA+
AAA
1.84 1.78
91282CAB7 US Treasury Note
0.250% Due 07/31/2025
1,500,000.00 03/12/2021
0.72%
1,469,765.63
1,485,610.78
91.00 4.84%
1,364,941.50
1,564.23
0.92%
(120,669.28)
Aaa / AA+
AAA
2.09 2.03
91282CAM3 US Treasury Note
0.250% Due 09/30/2025
2,400,000.00 Various
0.56%
2,366,140.63
2,383,342.50
90.57 4.71%
2,173,780.80
1,508.20
1.46%
(209,561.70)
Aaa / AA+
AAA
2.25 2.19
91282CAT8 US Treasury Note
0.250% Due 10/31/2025
2,450,000.00 Various
0.49%
2,422,492.19
2,436,550.27
90.25 4.71%
2,211,125.00
1,031.93
1.48%
(225,425.27)
Aaa / AA+
AAA
2.34 2.27
91282CAZ4 US Treasury Note
0.375% Due 11/30/2025
2,250,000.00 03/26/2021
0.77%
2,209,658.20
2,229,131.92
90.27 4.68%
2,030,976.00
714.65
1.36%
(198,155.92)
Aaa / AA+
AAA
2.42 2.35
91282CBH3 US Treasury Note
0.375% Due 01/31/2026
2,500,000.00 05/27/2021
0.75%
2,456,445.31
2,475,916.22
89.78 4.61%
2,244,532.50
3,910.57
1.51%
(231,383.72)
Aaa / AA+
AAA
2.59 2.51
91282CBW0 US Treasury Note
0.750% Due 04/30/2026
2,500,000.00 05/27/2021
0.80%
2,493,652.34
2,496,349.57
90.05 4.53%
2,251,172.50
3,158.97
1.51%
(245,177.07)
Aaa / AA+
AAA
2.84 2.74
91282CCZ2 US Treasury Note
0.875% Due 09/30/2026
1,400,000.00 10/18/2021
1.19%
1,379,054.68
1,386,241.23
89.47 4.39%
1,252,563.20
3,079.23
0.84%
(133,678.03)
Aaa / AA+
AAA
3.25 3.13
91282CDG3 US Treasury Note
1.125% Due 10/31/2026
1,400,000.00 11/15/2021
1.25%
1,391,468.75
1,394,255.91
89.92 4.41%
1,258,906.60
2,653.53
0.85%
(135,349.31)
Aaa / AA+
AAA
3.34 3.20
91282CEW7 US Treasury Note
3.250% Due 06/30/2027
3,250,000.00 Various
3.18%
3,260,312.50
3,258,035.26
96.17 4.30%
3,125,586.75
287.02
2.10%
(132,448.51)
Aaa / AA+
AAA
4.00 3.70
91282CFB2 US Treasury Note
2.750% Due 07/31/2027
400,000.00 08/22/2022
3.12%
393,218.75
394,392.21
94.28 4.29%
377,109.20
4,588.40
0.26%
(17,283.01)
Aaa / AA+
AAA
4.09 3.76
As of June 30, 2023
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
91282CFH9 US Treasury Note
3.125% Due 08/31/2027
4,500,000.00 Various
3.28%
4,468,902.34
4,473,941.67
95.64 4.28%
4,303,651.50
47,002.38
2.92%
(170,290.17)
Aaa / AA+
AAA
4.17 3.81
91282CFM8 US Treasury Note
4.125% Due 09/30/2027
3,450,000.00 Various
4.31%
3,421,152.34
3,425,081.68
99.44 4.27%
3,430,728.30
35,772.54
2.32%
5,646.62
Aaa / AA+
AAA
4.25 3.82
91282CFZ9 US Treasury Note
3.875% Due 11/30/2027
850,000.00 12/05/2022
3.81%
852,656.25
852,354.14
98.58 4.23%
837,947.00
2,789.79
0.56%
(14,407.14)
Aaa / AA+
AAA
4.42 4.00
91282CGC9 US Treasury Note
3.875% Due 12/31/2027
2,750,000.00 Various
3.67%
2,775,107.42
2,772,957.03
98.60 4.22%
2,711,436.75
289.57
1.82%
(61,520.28)
Aaa / AA+
AAA
4.51 4.08
91282CGH8 US Treasury Note
3.500% Due 01/31/2028
3,000,000.00 02/07/2023
3.81%
2,957,929.69
2,961,238.85
97.11 4.20%
2,913,165.00
43,798.34
1.98%
(48,073.85)
Aaa / AA+
AAA
4.59 4.12
91282CGP0 US Treasury Note
4.000% Due 02/29/2028
3,700,000.00 Various
4.00%
3,699,113.28
3,699,296.71
99.26 4.17%
3,672,682.90
49,467.39
2.50%
(26,613.81)
Aaa / AA+
AAA
4.67 4.16
TOTAL US Treasury 55,900,000.00 2.45%
55,447,930.02
55,571,685.83 4.66%
52,962,813.17
245,863.03
35.67%
(2,608,872.66)
Aaa / AA+
AAA
2.88 2.68
TOTAL PORTFOLIO 157,278,640.87 1.95%
157,138,848.64
156,959,650.21 5.11%
148,558,962.06
602,805.29
100.00%
(8,400,688.15)
Aa1 / AA
AAA
2.42 2.06
TOTAL MARKET VALUE PLUS ACCRUALS 149,161,767.35
As of June 30, 2023
25 SECTION |
Section 4 |
Transactions
26 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 05/09/2023 912796YT0 1,500,000.00 US Treasury Bill
4.888% Due: 11/02/2023
97.597 5.08% 1,463,954.69 0.00 1,463,954.69 0.00
Purchase 06/29/2023 912796ZN2 1,500,000.00 US Treasury Bill
5.228% Due: 12/28/2023
97.357 5.44% 1,460,358.13 0.00 1,460,358.13 0.00
Subtotal 3,000,000.00 2,924,312.82 0.00 2,924,312.82 0.00 TOTAL ACQUISITIONS 3,000,000.00 2,924,312.82 0.00 2,924,312.82 0.00 March 31, 2023 through June 30, 2023
As of June 30, 2023
27 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 I CE 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 report is provided for informational purposes only and should not be construed as a specific investment or legal advice. The information contained herein was obtained from sources believed to be reliable as of the date of publication, but may become outdated or superseded at any time without notice. Any opinions or views expressed are based on current market conditions and are subject to change. This report may contain forecasts and forward-looking statements which are inherently limited and should not be relied upon as indicator of future results. Past performance is not indicative of future results. This report is not intended to constitute an offer, solicitation, recommendation or advice regarding any securities or investment strategy and should not be regarded by recipients as a substitute for the exercise of their own judgment.
Fixed i ncome 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 June 30, 2023
28 Benchmark Disclosures
ICE BofA 1-3 Yr US Treasury & Agency Index
The ICE BofA 1-3 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 three years remaining term to final maturity, at least 18 months to maturity at time of issuance, a fixed coupon schedule, and a minimum amount outstanding of $1 billion for sovereigns and $250 million for agencies.
As of June 30, 2023
29