CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending September 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 September 30, 2023
1 SECTION |
Section 1 |
Economic Update
2 Economic Update
Recent economic data 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 monetarypolicy and tighter financial conditions, we believe the economy will gradually soften and the Fed will remain data dependent as they tread cautiously going forward.
As anticipated at the September meeting, the Federal Open Market Committee voted unanimously to maintain the target Federal Funds at the range of 5.25 - 5.50%. The Fed’s Summaryof Economic Projections (SEP) also revealed expectations of higher economic growth, reduced unemployment, and a gradual easing of inflation compared to earlier forecasts. The Fed is continuing to focus on achieving price stability and bringing inflation down towardtheir 2% policy objective, while leaving the option open for the possibility of additional rate hikes in the future if needed.
The yield curve remained inverted in September. The 2-year Treasury yield increased 18 basis points to 5.05%, the 5-year Treasury yield rose 36 basis points to 4.61%, and the 10-year Treasury yield increased 46 basis points to 4.57%. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -48 basis points at September month-end versus -76 basis points at August month- end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -45 basis points. The inversion between 3-month and 10-year Treasuries narrowed to -88 basis points in Septemberfrom -134 basis points in August. The shape of the yield curve indicates that the probability of recession persists.
3 Employment
-400
-200
0 200
400
600
800
1,000MOM Change In Thousands (000's)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Rate (%)
The U.S. economy added 187,000 jobs in August, exceeding consensus expectations, and the last two months were revised downwardby 110,000 jobs. The pace of job growth is softening with the three-month moving average payrolls at 150,000 and the six-month moving average at 194,000. The unemployment rate rose to 3.8% in August from 3.5% in July, and the labor force participation rate increased to
62.8%, the highest level since February of 2020. The U-6 underemploymentrate, which includes those who are marginally attached to the labor force and employed part time for economic reasons, increased to 7.1% from the prior month at 6.7%. Average hourly earnings declined to 4.3% year-over-year in August from 4.4% in July. While the U.S. labor market is moderating, employment remains strong by historical standards.
Source: US Department of Labor Source: US Department of Labor 4 Inflation
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
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
Fed Target
YOY (%) Change
The Consumer Price Index (CPI) increased in August by 0.6% month-over-month and 3.7% year-over-year, accelerating from 3.2% year-over- year in July due to surging energy prices. The Core CPI, which excludes volatile food and energy components, was up 0.3% month-over- month and 4.3% year-over-year, decelerating from 4.7% last month. Shelter remained the largest contributor to the Core CPI increase. The Personal Consumption Expenditures (PCE) index rose 0.4% month-over-monthand 3.5% year-over-year in August, up from a 3.4% year- over-year gain in July. Core PCE, the Federal Reserve’s preferred inflation gauge, increased just 0.1% month-over-monthand 3.9% year- over-year in August, down from a 4.3% increase in July. Personal income and spending remained relatively healthy, but the personal savings rate continued its declining trend to 3.9% in August from 4.1% in July. Inflation remains above the Fed's 2% target.
Source: US Department of Labor Source: US Department of Commerce 5 Federal Reserve
Source: Federal Reserve Source: Bloomberg
0 1,000,000
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
R ec ession
In $ millions
At the September meeting,the Federal Open Market Committee voted unanimously to leave the Federal Funds rate unchanged at a target range of 5.25 - 5.50%. Nonetheless, the Fed conveyed a consensus view that another rate hike is possible later in the year, along with its commitmentto keeping rates at their current level until inflation subsides closer to its 2% target, endorsing a data-dependent'higher-for- longer' strategy. The Fed’s Summary of Economic Projections (SEP) also revealed expectations of higher economic growth, reduced unemployment, and a gradual easing of inflation compared to earlier forecasts. We believe the resiliency of future economic data will determine if the Federal Reserve can stay on hold for or will tighten policy further to curb inflation. Since the Federal Reserve began its Quantitative Tightening campaign in June 2022, securities holdings have declined by over $1 trillion to $8.024T.
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Effective Federal Funds Rate
R ec ession
Yield (%)
6 Bond Yields
Source: Bloomberg Source: Bloomberg
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
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
Sep-23
Jun-23
Sep-22
Yield (%)
At the end of September, the 2-year Treasury yield was 77 basis points higher, and the 10-Year Treasury yield was about 74 basis points higher, year-over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -48 basis points at September month-end versus -76 basis points at August month-end. The average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10-year Treasuries narrowed to -88 basis points in September from -134 basis points in August. The shape of the yield curve indicates that the probability of recession persists. 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 September 30, 2023
9 Compliance As of September 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 September 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 September 30, 2023 12 Purchase Yield as of 09/30/23 = 2.03%
0.00 0.50
1.00 1.50
2.00 2.50
Percent (%)
Historical Average Purchase Yield
City of Cupertino
As of September 30, 2023
13 SECTION |
Section 3 |
Portfolio Holdings
14 Issue Name Investment Type % Portfolio
Government of United States US Treasury 37.21%
Federal National Mortgage Association Agency 8.82%
Federal Home Loan Mortgage Corp Agency 4.35%
Federal Home Loan Mortgage Corp CMO 3.77%
Inter-American Dev Bank Supranational 3.34%
Federal Home Loan Bank Agency 2.29%
American Express ABS ABS 1.87%
John Deere ABS ABS 1.69%
Royal Bank of Canada Corporate 1.66%
Toyota Motor Corp Corporate 1.60%
JP Morgan Chase & Co Corporate 1.55%
Bank of New York Corporate 1.54%
Bank of America Corp Corporate 1.54%
Hyundai Auto Receivables ABS 1.53%
International Finance Corp Supranational 1.53%
Intl Bank Recon and Development Supranational 1.46%
Toronto Dominion Holdings Corporate 1.43%
Northwestern Mutual Glbl Corporate 1.27%
Paccar Financial Corporate 1.25%
Bank of Montreal Chicago Corporate 1.17%
Salesforce.com Inc Corporate 1.13%
Amazon.com Inc Corporate 1.13%
Metlife Inc Corporate 1.11%
Prudential Financial Inc Corporate 1.11%
Air Products & Chemicals Corporate 1.10%
New York Life Global Funding Corporate 1.06%
United Health Group Inc Corporate 1.06%
Berkshire Hathaway Corporate 0.99%
Guardian Life Global Funding Corporate 0.84%
Honda ABS ABS 0.83%
US Bancorp Corporate 0.81%
Toyota Lease Owner Trust ABS 0.72%
GM Financial Automobile Leasing Trust ABS 0.72%
Caterpillar Inc Corporate 0.71%
GM Financial Securitized Term Auto Trust ABS 0.63%
MasterCard Inc Corporate 0.63%
Mass Mutual Insurance Corporate 0.59%
Charles Schwab Corp/The Corporate 0.57%
Issuers
City of Cupertino – Account #10659
As of September 30, 2023
15 Issue Name Investment Type % Portfolio
State of California Municipal Bonds 0.49%
Toyota ABS ABS 0.46%
Northern Trust Corp Corporate 0.43%
Morgan Stanley Corporate 0.41%
Verizon Master Trust ABS 0.38%
BMW ABS ABS 0.34%
Hyundai Auto Lease Securitization ABS 0.27%
BMW Vehicle Lease Trust ABS 0.21%
Wal-Mart Stores Corporate 0.21%
Wells Fargo 100% Treasury MMKT Fund Money Market Fund 0.17% Verizon Owner Trust ABS 0.00%
TOTAL 100.00%
Issuers
City of Cupertino – Account #10659
As of September 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
43813KAC6 Honda Auto Receivables Trust 2020-3 A3
0.370% Due 10/18/2024
68,329.04 09/22/2020
0.38%
68,319.00
68,328.62
99.16 6.01%
67,757.13
9.13 0.05%
(571.49)
NR / AAA
AAA
1.05 0.15
36262XAC8 GM Financial Auto Lease Trust 2021-3 A2
0.390% Due 10/21/2024
316,458.74 08/10/2021
0.39%
316,454.44
316,458.20
99.36 5.86%
314,421.06
37.71 0.21%
(2,037.14)
NR / AAA
AAA
1.06 0.12
47787NAC3 John Deere Owner Trust 2020-B A3
0.510% Due 11/15/2024
6,102.55 07/14/2020
0.52%
6,101.62
6,102.47
99.78 5.99%
6,089.18
1.38 0.00%
(13.29)
Aaa / NR
AAA
1.13 0.04
09690AAC7 BMW Vehicle Lease Trust 2021-2 A3
0.330% Due 12/26/2024
80,650.65 09/08/2021
0.34%
80,642.32
80,649.80
99.43 5.99%
80,192.79
4.44 0.05%
(457.01)
Aaa / NR
AAA
1.24 0.10
89236XAC0 Toyota Auto Receivables 2020-D A3
0.350% Due 01/15/2025
38,748.02 10/06/2020
0.36%
38,740.80
38,745.83
99.47 6.23%
38,542.62
6.03 0.03%
(203.21)
NR / AAA
AAA
1.30 0.09
44891WAC3 Hyundai Auto Lease Trust 2022-A A3
1.160% Due 01/15/2025
408,599.02 01/11/2022
1.16%
408,590.00
408,596.85
98.90 5.84%
404,104.84
210.66
0.27%
(4,492.01)
Aaa / AAA
NR
1.30 0.23
92290BAA9 Verizon Owner Trust 2020-B A
0.470% Due 02/20/2025
5,413.17 08/04/2020
0.48%
5,412.03
5,412.82
99.80 4.84%
5,402.16
0.78 0.00%
(10.66)
Aaa / NR
AAA
1.39 0.05
89238LAC4 Toyota Lease Owner Trust 2022-A A3
1.960% Due 02/20/2025
1,100,310.19 02/23/2022
1.98%
1,100,137.00
1,100,256.16
98.72 6.07%
1,086,187.71
658.96
0.72%
(14,068.45)
NR / AAA
AAA
1.39 0.31
36265MAC9 GM Financial Auto Lease Trust 2022-1 A3
1.900% Due 03/20/2025
779,035.85 02/15/2022
1.91%
779,029.15
779,034.13
98.72 6.18%
769,088.34
452.27
0.51%
(9,945.79)
Aaa / NR
AAA
1.47 0.30
05601XAC3 BMW Vehicle Lease Trust 2022-1 A3
1.100% Due 03/25/2025
242,643.65 01/11/2022
1.11%
242,607.39
242,635.63
98.83 6.13%
239,796.23
44.48 0.16%
(2,839.40)
NR / AAA
AAA
1.48 0.23
43813GAC5 Honda Auto Receivables Trust 2021-1 A3
0.270% Due 04/21/2025
82,104.42 02/17/2021
0.27%
82,102.92
82,104.19
98.22 6.10%
80,642.80
6.16 0.05%
(1,461.39)
Aaa / NR
AAA
1.56 0.30
89240BAC2 Toyota Auto Receivables Owners 2021-A A3
0.260% Due 05/15/2025
304,955.87 02/02/2021
0.27%
304,899.28
304,947.56
98.27 6.03%
299,692.94
35.24 0.20%
(5,254.62)
Aaa / NR
AAA
1.62 0.30
44933LAC7 Hyundai Auto Receivables Trust 2021-A A3
0.380% Due 09/15/2025
223,739.67 04/20/2021
0.38%
223,716.13
223,734.87
97.97 5.89%
219,199.99
37.79 0.15%
(4,534.88)
NR / AAA
AAA
1.96 0.37
43815GAC3 Honda Auto Receivables Trust 2021-4 A3
0.880% Due 01/21/2026
394,284.05 11/16/2021
0.89%
394,200.93
394,248.35
96.10 6.44%
378,912.10
96.38 0.25%
(15,336.25)
Aaa / NR
AAA
2.31 0.70
47789QAC4 John Deere Owner Trust 2021-B A3
0.520% Due 03/16/2026
428,221.60 07/13/2021
0.52%
428,183.40
428,206.38
96.59 5.88%
413,602.97
98.97 0.28%
(14,603.41)
Aaa / NR
AAA
2.46 0.64
89238JAC9 Toyota Auto Receivables Trust 2021-D A3
0.710% Due 04/15/2026
371,935.67 11/09/2021
0.71%
371,927.74
371,932.31
96.20 6.20%
357,795.79
117.37
0.24%
(14,136.52)
NR / AAA
AAA
2.54 0.69
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
739,944.02
96.48 5.78%
713,930.55
618.31
0.48%
(26,013.47)
Aaa / AAA
NR
2.62 0.91
As of September 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
44935FAD6 Hyundai Auto Receivables Trust 2021-C A3
0.740% Due 05/15/2026
1,139,633.54 Various
2.03%
1,110,818.51
1,126,432.12
96.64 5.94%
1,101,352.12
374.81
0.73%
(25,080.00)
NR / AAA
AAA
2.62 0.64
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
529,984.62
97.56 5.95%
517,042.03
283.55
0.34%
(12,942.59)
Aaa / AAA
NR
2.90 0.90
362554AC1 GM Financial Securitized Term 2021-4 A3
0.680% Due 09/16/2026
301,789.22 10/13/2021
0.68%
301,781.53
301,785.93
95.94 6.21%
289,531.75
85.51 0.19%
(12,254.18)
Aaa / AAA
NR
2.96 0.73
47787JAC2 John Deere Owner Trust 2022-A A3
2.320% Due 09/16/2026
450,000.00 03/10/2022
2.34%
449,900.46
449,944.35
96.82 6.16%
435,667.95
464.00
0.29%
(14,276.40)
Aaa / NR
AAA
2.96 0.83
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
1,009,979.59
96.77 5.74%
977,341.64
996.53
0.65%
(32,637.95)
NR / AAA
AAA
3.04 0.92
380146AC4 GM Financial Auto Receivables 2022-1 A3
1.260% Due 11/16/2026
292,304.20 01/11/2022
1.27%
292,278.79
292,291.78
96.63 5.58%
282,455.01
153.46
0.19%
(9,836.77)
NR / AAA
AAA
3.13 0.78
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
389,953.39
97.21 5.72%
379,106.52
503.75
0.25%
(10,846.87)
Aaa / AAA
NR
3.38 1.08
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
654,958.43
97.34 5.85%
637,595.34
1,088.76
0.43%
(17,363.09)
Aaa / NR
AAA
3.38 1.28
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
1,534,926.51
95.18 5.75%
1,470,461.48
1,517.53
0.98%
(64,465.03)
Aaa / NR
AAA
3.46 1.39
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
1,374,834.35
96.51 5.72%
1,326,969.88
2,071.67
0.89%
(47,864.47)
NR / AAA
AAA
3.63 1.53
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
1,049,939.70
98.93 5.85%
1,038,783.90
2,375.33
0.69%
(11,155.80)
Aaa / NR
AAA
3.71 1.51
92348KAV5 Verizon Master Trust 2022-5 A1A
3.720% Due 07/20/2027
570,000.00 08/02/2022
3.75%
569,974.92
569,985.22
99.36 4.97%
566,374.23
647.90
0.38%
(3,610.99)
NR / AAA
AAA
3.81 0.86
TOTAL ABS 14,900,259.12 2.35%
14,849,470.70
14,876,354.18 5.87%
14,498,041.05
12,998.86
9.67%
(378,313.13)
Aaa / AAA
AAA
2.73 0.87
Agency
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
855,000.00 12/02/2020
0.28%
854,153.55
854,950.53
99.11 5.27%
847,428.12
694.69
0.57%
(7,522.41)
Aaa / AA+
AA+
0.18 0.18
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
1,500,000.00 06/18/2019
1.96%
1,564,890.20
1,509,153.01
98.08 5.68%
1,471,263.00
12,817.70
0.99%
(37,890.01)
Aaa / AA+
NR
0.71 0.68
3135G0V75 FNMA Note
1.750% Due 07/02/2024
1,500,000.00 07/16/2019
1.96%
1,484,895.00
1,497,707.57
97.24 5.53%
1,458,543.00
6,489.58
0.98%
(39,164.57)
Aaa / AA+
AA+
0.76 0.73
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
2,000,000.00 09/13/2019
1.79%
2,103,380.00
2,019,723.82
97.56 5.54%
1,951,132.00
2,875.00
1.30%
(68,591.82)
Aaa / AA+
NR
0.96 0.92
As of September 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
3135G0W66 FNMA Note
1.625% Due 10/15/2024
1,975,000.00 Various
1.73%
1,965,802.75
1,973,031.96
96.15 5.48%
1,898,909.18
14,798.79
1.28%
(74,122.78)
Aaa / AA+
AA+
1.04 1.00
3135G0X24 FNMA Note
1.625% Due 01/07/2025
1,295,000.00 Various
1.38%
1,309,953.95
1,298,945.00
95.43 5.39%
1,235,850.88
4,910.21
0.83%
(63,094.12)
Aaa / AA+
AA+
1.27 1.22
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
2,365,000.00 02/13/2020
1.52%
2,363,178.95
2,364,501.08
95.05 5.30%
2,247,972.71
4,828.54
1.50%
(116,528.37)
Aaa / AA+
AA+
1.37 1.32
3135G03U5 FNMA Note
0.625% Due 04/22/2025
1,860,000.00 04/22/2020
0.67%
1,856,168.40
1,858,804.73
93.06 5.31%
1,730,997.84
5,134.38
1.16%
(127,806.89)
Aaa / AA+
AA+
1.56 1.51
3135G04Z3 FNMA Note
0.500% Due 06/17/2025
2,500,000.00 Various
0.50%
2,499,227.30
2,499,807.58
92.46 5.15%
2,311,495.00
3,611.11
1.54%
(188,312.58)
Aaa / AA+
AA+
1.72 1.66
3137EAEU9 FHLMC Note
0.375% Due 07/21/2025
1,250,000.00 07/21/2020
0.48%
1,243,775.00
1,247,750.95
91.91 5.12%
1,148,878.75
911.46
0.77%
(98,872.20)
Aaa / AA+
AA+
1.81 1.76
3135G05X7 FNMA Note
0.375% Due 08/25/2025
2,500,000.00 Various
0.48%
2,487,983.75
2,495,296.26
91.47 5.14%
2,286,715.00
937.51
1.52%
(208,581.26)
Aaa / AA+
AA+
1.90 1.85
3137EAEX3 FHLMC Note
0.375% Due 09/23/2025
2,500,000.00 Various
0.46%
2,489,362.80
2,495,695.38
91.18 5.12%
2,279,402.50
208.33
1.52%
(216,292.88)
Aaa / AA+
AA+
1.98 1.93
3135G06G3 FNMA Note
0.500% Due 11/07/2025
2,500,000.00 Various
0.56%
2,492,700.00
2,496,920.36
90.94 5.10%
2,273,447.50
5,000.00
1.52%
(223,472.86)
Aaa / AA+
AA+
2.11 2.04
TOTAL Agency 24,600,000.00 1.03%
24,715,471.65
24,612,288.23 5.30%
23,142,035.48
63,217.30
15.46%
(1,470,252.75)
Aaa / AA+
AA+
1.43 1.39
CMO
3137BFE98 FHLMC K041 A2
3.171% Due 10/25/2024
1,294,917.17 07/01/2021
0.72%
1,392,946.45
1,325,271.41
97.40 5.77%
1,261,192.35
3,421.82
0.84%
(64,079.06)
Aaa / AAA
AAA
1.07 0.93
3137BLMZ8 FHLMC K049 A2
3.010% Due 07/25/2025
1,000,000.00 07/01/2021
0.87%
1,079,687.50
1,034,996.78
95.82 5.54%
958,229.33
2,508.33
0.64%
(76,767.45)
NR / NR
AAA
1.82 1.61
3137BLW95 FHLMC K050 A2
3.334% Due 08/25/2025
950,000.00 11/16/2021
1.17%
1,018,132.81
983,789.03
96.27 5.50%
914,528.90
2,639.42
0.61%
(69,260.13)
NR / NR
AAA
1.90 1.66
3137BM7C4 FHLMC K051 A2
3.308% Due 09/25/2025
440,000.00 03/15/2022
2.21%
453,079.69
447,259.59
96.05 5.51%
422,627.48
1,212.93
0.28%
(24,632.11)
NR / NR
AAA
1.99 1.74
3137BN6G4 FHLMC KO53
2.995% Due 12/25/2025
570,000.00 03/15/2022
2.29%
582,001.17
577,106.64
95.17 5.43%
542,474.70
1,422.63
0.36%
(34,631.94)
NR / NR
AAA
2.24 1.96
3137BSP72 FHLMC K058 A2
2.653% Due 08/25/2026
650,000.00 11/12/2021
1.35%
687,451.17
672,562.26
93.06 5.27%
604,858.15
1,437.04
0.40%
(67,704.11)
NR / NR
AAA
2.90 2.68
As of September 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
3137FBBX3 FHLMC K068 A2
3.244% Due 08/25/2027
1,000,000.00 09/28/2022
4.41%
950,664.06
960,822.28
93.53 5.10%
935,315.00
2,703.33
0.62%
(25,507.28)
Aaa / NR
NR
3.90 3.51
TOTAL CMO 5,904,917.17 1.74%
6,163,962.85
6,001,807.99 5.47%
5,639,225.91
15,345.50
3.77%
(362,582.08)
Aaa / AAA
AAA
2.18 1.94
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
1,504,008.09
97.71 6.03%
1,465,681.50
12,035.42
0.98%
(38,326.59)
A1 / A
AA-
0.70 0.67
06367TQW3 Bank of Montreal Note
0.625% Due 07/09/2024
600,000.00 02/09/2022
1.89%
582,216.00
594,294.55
96.00 5.98%
576,015.00
854.17
0.38%
(18,279.55)
A2 / A-
AA-
0.78 0.75
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
1,756,672.53
96.11 5.72%
1,691,558.88
2,322.23
1.13%
(65,113.65)
A2 / A+
NR
0.79 0.77
78013XZU5 Royal Bank of Canada Note
2.550% Due 07/16/2024
1,500,000.00 Various
1.99%
1,533,359.18
1,506,415.80
97.36 6.00%
1,460,368.50
7,968.76
0.98%
(46,047.30)
A1 / A
AA-
0.79 0.77
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
1,252,880.76
97.14 5.97%
1,214,192.50
5,083.33
0.81%
(38,688.26)
A3 / A
A
0.83 0.80
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
1,686,817.46
98.18 5.61%
1,644,520.03
9,507.95
1.10%
(42,297.43)
A2 / A
NR
0.84 0.80
69371RR40 Paccar Financial Corp Note
0.500% Due 08/09/2024
680,000.00 08/03/2021
0.52%
679,632.80
679,895.13
95.71 5.69%
650,811.00
491.11
0.43%
(29,084.13)
A1 / A+
NR
0.86 0.83
69371RQ25 Paccar Financial Corp Note
2.150% Due 08/15/2024
370,000.00 08/08/2019
2.20%
369,182.30
369,857.23
96.97 5.74%
358,797.88
1,016.47
0.24%
(11,059.35)
A1 / A+
NR
0.88 0.85
14913Q3B3 Caterpillar Finl Service Note
2.150% Due 11/08/2024
1,100,000.00 01/28/2020
1.92%
1,111,517.00
1,102,667.93
96.30 5.65%
1,059,282.40
9,394.31
0.71%
(43,385.53)
A2 / A
A+
1.11 1.06
74153WCQ0 Pricoa Global Funding Note
1.150% Due 12/06/2024
885,000.00 12/01/2021
1.19%
884,088.45
884,640.05
94.62 5.92%
837,409.13
3,251.15
0.56%
(47,230.92)
Aa3 / AA-
AA-
1.19 1.14
89114TZL9 Toronto-Dominion Bank Note
1.450% Due 01/10/2025
700,000.00 03/15/2022
2.79%
674,737.00
688,545.80
94.67 5.84%
662,675.30
2,283.75
0.44%
(25,870.50)
A1 / A
NR
1.28 1.23
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
1,214,301.82
94.95 5.57%
1,153,608.48
3,817.13
0.77%
(60,693.34)
A1 / A+
A+
1.29 1.24
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
1,679,220.27
94.76 5.72%
1,591,946.16
5,210.33
1.06%
(87,274.11)
Aaa / AA+
AAA
1.29 1.24
69371RR73 Paccar Financial Corp Note
2.850% Due 04/07/2025
885,000.00 03/31/2022
2.86%
884,769.90
884,883.69
96.01 5.62%
849,727.44
12,190.88
0.57%
(35,156.25)
A1 / A+
NR
1.52 1.44
As of September 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
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
1,049,801.14
96.48 5.80%
1,013,028.45
16,439.06
0.69%
(36,772.69)
A1 / A
AA-
1.54 1.45
06406RBC0 Bank of NY Mellon Corp Callable Note Cont 3/25/2025
3.350% Due 04/25/2025
1,370,000.00 04/19/2022
3.35%
1,369,808.20
1,369,899.81
96.42 5.77%
1,320,974.55
19,887.83
0.89%
(48,925.26)
A1 / A
AA-
1.57 1.48
06367WB85 Bank of Montreal Note
1.850% Due 05/01/2025
1,240,000.00 07/23/2021
0.85%
1,285,656.80
1,259,206.43
93.85 5.97%
1,163,738.76
9,558.33
0.78%
(95,467.67)
A2 / A-
AA-
1.59 1.51
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
1,370,394.91
96.27 6.23%
1,318,834.62
3,762.93
0.88%
(51,560.29)
A1 / A-
AA-
1.67 1.59
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
655,098.83
95.97 6.31%
628,592.37
1,727.78
0.42%
(26,506.46)
A1 / A-
AA-
1.73 1.64
66815L2J7 Northwestern Mutual Glbl Note
4.000% Due 07/01/2025
1,170,000.00 06/27/2022
4.01%
1,169,602.20
1,169,768.07
97.09 5.76%
1,135,984.59
11,700.00
0.76%
(33,783.48)
Aaa / AA+
AAA
1.75 1.65
74153WCM9 Pricoa Global Funding Note
0.800% Due 09/01/2025
904,000.00 04/06/2022
3.26%
832,972.72
863,911.33
91.11 5.76%
823,603.66
602.67
0.55%
(40,307.67)
Aa3 / AA-
AA-
1.92 1.85
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
1,014,443.94
96.28 5.83%
962,794.00
14,593.06
0.65%
(51,649.94)
A1 / A
AA-
2.14 1.98
40139LBC6 Guardian Life Glob Fun Note
0.875% Due 12/10/2025
1,400,000.00 Various
1.12%
1,385,860.00
1,392,584.06
89.76 5.92%
1,256,670.80
3,777.08
0.84%
(135,913.26)
Aa1 / AA+
NR
2.20 2.11
66815L2A6 Northwestern Mutual Glbl Note
0.800% Due 01/14/2026
850,000.00 12/06/2021
1.47%
827,449.50
837,415.07
89.65 5.69%
762,020.75
1,454.44
0.51%
(75,394.32)
Aaa / AA+
AAA
2.29 2.20
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
607,737.30
94.09 6.59%
564,559.80
1,612.00
0.38%
(43,177.50)
A1 / A-
AA-
2.38 1.31
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
406,960.50
93.86 6.27%
376,380.61
3,689.17
0.25%
(30,579.89)
A1 / A-
AA-
2.56 1.48
6174468Q5 Morgan Stanley Callable Note Cont 4/28/2025
2.188% Due 04/28/2026
650,000.00 05/23/2022
4.93%
615,699.50
627,515.71
93.94 6.28%
610,605.45
6,044.35
0.41%
(16,910.26)
A1 / A-
A+
2.58 1.50
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
1,870,768.13
89.91 5.17%
1,685,790.00
7,239.58
1.13%
(184,978.13)
A1 / AA
AA-
2.62 2.51
As of September 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
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
1,029,076.42
89.96 5.30%
931,046.67
4,496.50
0.62%
(98,029.75)
A2 / A+
A
2.62 2.51
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
1,384,669.27
89.30 5.41%
1,236,777.30
4,457.97
0.83%
(147,891.97)
A1 / A+
A+
2.72 2.60
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
700,558.60
91.71 6.49%
641,951.80
2,616.02
0.43%
(58,606.80)
A1 / A-
AA-
2.72 1.65
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
1,001,270.90
88.51 5.70%
885,126.00
2,500.00
0.59%
(116,144.90)
Aa3 / AA+
AA+
2.79 2.67
58989V2D5 Met Tower Global Funding Note
1.250% Due 09/14/2026
770,000.00 09/07/2021
1.27%
769,291.60
769,581.40
88.10 5.68%
678,407.73
454.51
0.45%
(91,173.67)
Aa3 / AA-
AA-
2.96 2.83
931142ER0 Wal-Mart Stores Callable Note Cont 08/17/2026
1.050% Due 09/17/2026
350,000.00 09/08/2021
1.09%
349,338.50
349,608.03
89.16 5.03%
312,071.55
142.92
0.21%
(37,536.48)
Aa2 / AA
AA
2.97 2.85
59217GER6 Metlife Note
1.875% Due 01/11/2027
1,115,000.00 01/03/2022
1.90%
1,113,728.90
1,114,166.06
88.64 5.72%
988,342.69
4,645.83
0.66%
(125,823.37)
Aa3 / AA-
AA-
3.28 3.09
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
959,813.66
89.07 6.03%
855,113.28
1,829.34
0.57%
(104,700.38)
A2 / A-
A
3.42 3.19
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
1,614,788.10
91.73 4.93%
1,481,494.41
1,650.89
0.99%
(133,293.69)
Aa2 / AA
A+
3.46 3.25
06051GHT9 Bank of America Corp Callable Note 1X 4/23/2026
3.559% Due 04/23/2027
1,150,000.00 Various
4.94%
1,114,222.54
1,122,961.76
93.82 6.20%
1,078,903.55
17,963.07
0.73%
(44,058.21)
A1 / A-
AA-
3.56 2.36
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
669,217.16
94.59 5.68%
633,772.43
10,496.67
0.43%
(35,444.73)
A2 / A+
A+
3.61 3.24
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
675,229.92
94.79 5.30%
639,814.28
9,435.00
0.43%
(35,415.64)
A2 / A+
A
3.62 3.28
As of September 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
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
944,186.71
99.25 5.07%
937,892.66
2,815.31
0.63%
(6,294.05)
Aa3 / A+
NR
4.44 3.93
TOTAL Corporate 42,705,000.00 2.08%
42,741,600.72
42,635,734.33 5.75%
40,140,886.96
241,019.30
26.90%
(2,494,847.37)
A1 / A+
AA-
1.97 1.79
Money Market Fund
94975H270 Wells Fargo 100% Treasury Money Mkt Fund
252,748.53 Various
4.91%
252,748.53
252,748.53
1.00 4.91%
252,748.53
0.00 0.17%
0.00 Aaa / AAA
NR
0.00 0.00
TOTAL Money Market Fund 252,748.53 4.91%
252,748.53
252,748.53 4.91%
252,748.53
0.00 0.17%
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
758,518.46
96.92 5.60%
731,739.21
9,060.00
0.49%
(26,779.25)
Aa2 / AA-
AA
1.01 0.96
TOTAL Municipal Bonds 755,000.00 1.91%
772,342.35
758,518.46 5.60%
731,739.21
9,060.00
0.49%
(26,779.25)
Aa2 / AA-
AA
1.01 0.96
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
2,799,598.03
99.38 5.23%
2,782,662.40
2,644.44
1.86%
(16,935.63)
Aaa / AAA
NR
0.13 0.12
45950KCT5 International Finance Corp Note
0.375% Due 07/16/2025
2,500,000.00 05/27/2021
0.66%
2,471,150.00
2,487,471.51
91.82 5.21%
2,295,397.50
1,953.13
1.53%
(192,074.01)
Aaa / AAA
NR
1.79 1.74
459058JL8 Intl. Bank Recon & Development Note
0.500% Due 10/28/2025
2,400,000.00 Various
0.60%
2,388,859.25
2,395,081.22
91.01 5.12%
2,184,132.01
5,100.01
1.46%
(210,949.21)
Aaa / AAA
AAA
2.08 2.01
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
2,454,249.37
90.23 4.99%
2,219,724.42
9,626.46
1.49%
(234,524.95)
Aaa / AAA
AAA
2.56 2.46
TOTAL Supranational 10,160,000.00 0.64%
10,101,042.45
10,136,400.13 5.14%
9,481,916.33
19,324.04
6.33%
(654,483.80)
Aaa / AAA
AAA
1.55 1.50
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
1,493,483.33
99.57 5.08%
1,493,483.33
0.00 1.00%
0.00 P-1 / A-1+
F-1+
0.09 0.09
912796ZN2 US Treasury Bill
5.228% Due 12/28/2023
1,500,000.00 06/28/2023
5.44%
1,460,358.13
1,480,832.50
98.72 5.44%
1,480,832.50
0.00 0.99%
0.00 P-1 / A-1+
F-1+
0.24 0.24
As of September 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
912828X70 US Treasury Note
2.000% Due 04/30/2024
1,700,000.00 06/10/2019
1.92%
1,705,976.56
1,700,709.82
98.03 5.47%
1,666,532.10
14,228.26
1.12%
(34,177.72)
Aaa / AA+
AA+
0.58 0.56
912828XX3 US Treasury Note
2.000% Due 06/30/2024
2,000,000.00 Various
1.80%
2,018,574.22
2,002,872.22
97.46 5.50%
1,949,140.00
10,108.69
1.31%
(53,732.22)
Aaa / AA+
AA+
0.75 0.73
912797GB7 US Treasury Bill
5.119% Due 07/11/2024
1,000,000.00 07/27/2023
5.39%
950,378.99
959,620.73
95.96 5.39%
959,620.73
0.00 0.64%
0.00 P-1 / A-1+
F-1+
0.78 0.76
912797GK7 US Treasury Bill
5.119% Due 08/08/2024
1,000,000.00 08/30/2023
5.39%
951,232.07
955,639.67
95.56 5.39%
955,639.67
0.00 0.64%
0.00 P-1 / A-1+
F-1+
0.86 0.84
912828D56 US Treasury Note
2.375% Due 08/15/2024
1,700,000.00 09/18/2019
1.71%
1,753,191.41
1,709,468.78
97.36 5.51%
1,655,043.50
5,156.59
1.11%
(54,425.28)
Aaa / AA+
AA+
0.88 0.85
912797GL5 US Treasury Bill
5.162% Due 09/05/2024
1,000,000.00 09/25/2023
5.44%
950,526.04
951,243.05
95.12 5.44%
951,243.05
0.00 0.63%
0.00 P-1 / A-1+
F-1+
0.93 0.91
912828YY0 US Treasury Note
1.750% Due 12/31/2024
2,100,000.00 03/15/2022
1.97%
2,087,203.13
2,094,272.12
95.68 5.37%
2,009,273.70
9,287.36
1.34%
(84,998.42)
Aaa / AA+
AA+
1.25 1.20
912828ZC7 US Treasury Note
1.125% Due 02/28/2025
1,500,000.00 03/18/2020
0.81%
1,523,144.53
1,506,609.06
94.39 5.28%
1,415,859.00
1,437.16
0.94%
(90,750.06)
Aaa / AA+
AA+
1.42 1.37
91282CED9 US Treasury Note
1.750% Due 03/15/2025
3,100,000.00 Various
2.23%
3,057,617.20
3,079,125.63
95.09 5.29%
2,947,907.80
2,384.61
1.97%
(131,217.83)
Aaa / AA+
AA+
1.46 1.41
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
2,500,000.00 03/21/2022
2.24%
2,360,839.85
2,429,255.15
92.71 5.23%
2,317,675.00
3,923.23
1.55%
(111,580.15)
Aaa / AA+
AA+
1.58 1.54
91282CAB7 US Treasury Note
0.250% Due 07/31/2025
1,500,000.00 03/12/2021
0.72%
1,469,765.63
1,487,350.35
91.56 5.13%
1,373,437.50
631.79
0.92%
(113,912.85)
Aaa / AA+
AA+
1.84 1.78
91282CAM3 US Treasury Note
0.250% Due 09/30/2025
2,400,000.00 Various
0.56%
2,366,140.63
2,385,206.84
91.00 5.04%
2,184,000.00
16.39 1.46%
(201,206.84)
Aaa / AA+
AA+
2.00 1.95
91282CAT8 US Treasury Note
0.250% Due 10/31/2025
2,450,000.00 Various
0.49%
2,422,492.19
2,438,000.90
90.68 5.02%
2,221,557.10
2,563.18
1.48%
(216,443.80)
Aaa / AA+
AA+
2.09 2.03
91282CAZ4 US Treasury Note
0.375% Due 11/30/2025
2,250,000.00 03/26/2021
0.77%
2,209,658.20
2,231,306.17
90.61 5.00%
2,038,623.75
2,835.55
1.36%
(192,682.42)
Aaa / AA+
AA+
2.17 2.10
91282CBH3 US Treasury Note
0.375% Due 01/31/2026
2,500,000.00 05/27/2021
0.75%
2,456,445.31
2,478,260.88
90.02 4.96%
2,250,487.50
1,579.48
1.50%
(227,773.38)
Aaa / AA+
AA+
2.34 2.27
91282CBW0 US Treasury Note
0.750% Due 04/30/2026
2,500,000.00 05/27/2021
0.80%
2,493,652.34
2,496,674.36
90.08 4.88%
2,252,050.00
7,846.47
1.51%
(244,624.36)
Aaa / AA+
AA+
2.58 2.49
91282CCZ2 US Treasury Note
0.875% Due 09/30/2026
1,400,000.00 10/18/2021
1.19%
1,379,054.68
1,387,307.62
89.23 4.77%
1,249,281.60
33.47 0.83%
(138,026.02)
Aaa / AA+
AA+
3.00 2.90
91282CDG3 US Treasury Note
1.125% Due 10/31/2026
1,400,000.00 11/15/2021
1.25%
1,391,468.75
1,394,689.78
89.60 4.79%
1,254,422.40
6,591.03
0.84%
(140,267.38)
Aaa / AA+
AA+
3.09 2.95
As of September 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
91282CEW7 US Treasury Note
3.250% Due 06/30/2027
3,250,000.00 Various
3.18%
3,260,312.50
3,257,528.92
95.01 4.72%
3,087,880.25
26,693.27
2.08%
(169,648.67)
Aaa / AA+
AA+
3.75 3.44
91282CFB2 US Treasury Note
2.750% Due 07/31/2027
400,000.00 08/22/2022
3.12%
393,218.75
394,738.23
93.15 4.72%
372,609.20
1,853.26
0.25%
(22,129.03)
Aaa / AA+
AA+
3.84 3.56
91282CFH9 US Treasury Note
3.125% Due 08/31/2027
4,500,000.00 Various
3.28%
4,468,902.34
4,475,516.81
94.38 4.71%
4,247,050.50
11,976.30
2.84%
(228,466.31)
Aaa / AA+
AA+
3.92 3.62
91282CFM8 US Treasury Note
4.125% Due 09/30/2027
3,450,000.00 Various
4.31%
3,421,152.34
3,426,558.79
97.92 4.70%
3,378,171.00
388.83
2.25%
(48,387.79)
Aaa / AA+
AA+
4.00 3.64
91282CFZ9 US Treasury Note
3.875% Due 11/30/2027
850,000.00 12/05/2022
3.81%
852,656.25
852,219.87
96.94 4.69%
823,968.75
11,069.16
0.56%
(28,251.12)
Aaa / AA+
AA+
4.17 3.74
91282CGC9 US Treasury Note
3.875% Due 12/31/2027
2,750,000.00 Various
3.67%
2,775,107.42
2,771,672.32
96.92 4.68%
2,665,245.00
26,930.20
1.79%
(106,427.32)
Aaa / AA+
AA+
4.25 3.83
91282CGH8 US Treasury Note
3.500% Due 01/31/2028
3,000,000.00 02/07/2023
3.81%
2,957,929.69
2,963,367.82
95.43 4.67%
2,863,008.00
17,690.22
1.92%
(100,359.82)
Aaa / AA+
AA+
4.34 3.94
91282CGP0 US Treasury Note
4.000% Due 02/29/2028
3,700,000.00 Various
4.00%
3,699,113.28
3,699,334.68
97.41 4.65%
3,604,321.70
12,604.40
2.41%
(95,012.98)
Aaa / AA+
AA+
4.42 3.98
TOTAL US Treasury 58,900,000.00 2.59%
58,300,067.12
58,502,866.40 5.00%
55,668,364.63
177,828.90
37.21%
(2,834,501.77)
Aaa / AA+
AA+
2.52 2.35
TOTAL PORTFOLIO 158,177,924.82 2.03%
157,896,706.37
157,776,718.25 5.36%
149,554,958.10
538,793.90
100.00%
(8,221,760.15)
Aa1 / AA
AA+
2.14 1.83
TOTAL MARKET VALUE PLUS ACCRUALS 150,093,752.00
As of September 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 07/28/2023 912797GB7 1,000,000.00 US Treasury Bill
5.119% Due: 07/11/2024
95.038 5.39% 950,378.99 0.00 950,378.99 0.00
Purchase 08/31/2023 912797GK7 1,000,000.00 US Treasury Bill
5.119% Due: 08/08/2024
95.123 5.39% 951,232.07 0.00 951,232.07 0.00
Purchase 09/26/2023
912797GL5 1,000,000.00 US Treasury Bill
5.162% Due: 09/05/2024
95.053 5.44% 950,526.04 0.00 950,526.04 0.00
Subtotal 3,000,000.00 2,852,137.10 0.00 2,852,137.10 0.00 TOTAL ACQUISITIONS 3,000,000.00 2,852,137.10 0.00 2,852,137.10 0.00 June 30, 2023 through September 30, 2023
As of September 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 September 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 September 30, 2023
29