CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending January 31, 2024
City of Cupertino
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of January 31, 2024
1 SECTION |
Section 1 |
Economic Update
2 Economic Update
Recent economic da ta has shown above trend growth fueled by a rise in consumer spending and a continuing healthy US job market.
Inflationary trends are subsiding, but core levels remain 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 loosen monetary policy in 2024.
As expected at t he January meeting, the Federal Open Market Committee voted unanimously to leave the Federal Funds rate unchanged at a target range of 5.25 - 5.50%. Fed Chair Powell signaled that the federal funds rate is likely at or near its peak, but discounted market expectations of a rate cut in March. We believe the FOMC will loosen monetary policy in mid-2024 as inflation and economic growth continue to moderate.
US Treasury r ates declined minimally in the front-end of the yield curve in January. The 2-year Treasury yield declined 4 basis points to
4.21%, the 5-year Treasury yield dropped 1 basis point to 3.84%, and the 10-year Treasury yield decreased 3 basis points to 3.91%. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -30 basis points at January month-endversus -37 basis points at December month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -69 basis points. The inversion between 3-month and 10-year Treasuries remained at -146 basis points in January from December. Interest rates peaked in the third quarter of 2023 prior to Fed Chair Powell’s dovish remarks late in the year, which resulted in a decline in yields across the curve. The Fed signaled a shift towards less restrictive monetary policy in 2024. 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 353,000 jobs in January, vastly exceeding consensus expectations of 185,000, and upwardly revised 333,000 jobs in December. Leading sectors included professional and business services, health care, retail trade, and social assistance. The trajectory of job creation has increased, with the three-month moving average payrolls at 289,000 and the six-month moving average at 248,000.
The unemployment rate remained unchanged at 3.7% for the third month, and the labor participation rate was unchanged at 62.5%, remaining below the pre-pandemic level of 63.3%. The U-6 underemploymentrate, which includes those who are marginally attached to the labor force and employed part time for economic reasons rose to 7.2% from 7.1% last month. Average hourly earnings rose 4.5% year- over-year in January, increasing from an upwardly revised 4.3% gain last month. 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 0.3% month-over-monthand 3.4% year-over-year in December, increasing from 3.1% year-over- year in November. The Core CPI, which excludes volatile food and energy components, was up 0.3% month-over-monthand 3.9% year- over-year, down from November. Shelter costs remain elevated, contributing to more than half of the overall increase while motor-vehicle insurance costs jumped by over 20%, the most since 1976. The Personal Consumption Expenditures (PCE) Index headline inflation increased 0.2% month-over-month and rose 2.6% year-over-year in line with November. Core PCE, the Federal Reserve’s preferred inflation gauge, increased 0.2% month-over-monthand continued its deceleration to 2.9% year-over-year in December from a 3.2% year- over-year in November. The trend is moderating, but 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
Recession
In $ millions
As expected at the January meeting, the Federal Open Market Committee voted unanimously to leave the federal funds rate unchanged at a target range of 5.25-5.50%. The Fed assesses the progress to achieving its employment and inflation goals are moving into better balance, yet changes to monetary policy remain data dependent. The Committee does not expect it will be appropriate to reduce the target range until it has gained greater confidence that inflation is moving sustainably toward 2 percent. However, Fed Chair Powell signaled that the federal funds rate is likely at or near its peak. The futures market is pricing in 5 rate cuts in 2024. We believe the FOMC will loosen monetary policy in mid-2024 as inflation and economic growth continue to moderate. Since the Fed began its Quantitative Tightening campaign in June 2022, securities holdings have declined by over $1.3T to approximately $7.6T.
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Effective Federal Funds Rate
Recession
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
Jan-24
Oct-23
Jan-23
Yield (%)
At the end of January, the 2-year Treasury yield was 1 basis point lower, and the 10-Year Treasury yield was 40 basis points lower, year- over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowedto -30 basis points at January month-end versus -37 basis points at December month-end. The average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10-year Treasuries was unchanged at -146 basis points in January from December. The shape of the yield curve indicates that the probability of recession persists.
7 Periodic Table of Asset Class Returns As of January 31, 2024 Index returns as of 1/31/2024. Past performance is not indicative of future results. Index returns assume reinvestment of all distributions and do not reflect fees or expenses. It is not possible to invest directly in an index. This information is not intended to constitute an offer, solicitation, recommendation, or advice regarding securities or investment strategy. Please see attached Asset Class Disclosure. 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 YTD 2024 US Real Estate
30.4%
US Real Estate
2.5%
US Small Cap
Stocks
20.4%
Emerging Market
Stocks
37.3%
International
Bonds
3.2%
US Large Cap
Stocks
31.5%
US Mid Cap
Stocks
19.8%
US Real Estate
43.1%
Diversified
Commodities
26.0%
US Large Cap
Stocks
26.3%
Diversified
Commodities
4.5%
US Large Cap
Stocks
13.7%
US Large Cap
Stocks
1.4%
US High Yield
Bonds
17.5%
International
Stocks
25.0%
US Core Bonds
0.0%
US Mid Cap
Stocks
30.6%
US Small Cap
Stocks
19.2%
Diversified
Commodities
40.4%
US High Yield
Bonds
-11.2%
US Small Cap
Stocks
19.1%
US Large Cap
Stocks
1.7%
US Mid Cap
Stocks
13.4%
International
Bonds
1.3%
US Mid Cap
Stocks
12.6%
US Large Cap
Stocks
21.8%
US High Yield
Bonds
-2.3%
US Small Cap
Stocks
25.9%
US Large Cap
Stocks
18.4%
US Large Cap
Stocks
28.7%
International
Bonds
-12.7%
International
Stocks
18.2%
International
Stocks
0.6%
International
Bonds
9.1%
US Core Bonds
0.6%
US Large Cap
Stocks
12.0%
US Mid Cap
Stocks
20.3%
US Large Cap
Stocks
-4.4%
US Real Estate
25.8%
Emerging Market
Stocks
18.3%
US Mid Cap
Stocks
24.0%
US Core Bonds
-13.3%
US Mid Cap
Stocks
14.5%
US High Yield
Bonds
0.0%
US Core Bonds
6.4%
US Mid Cap
Stocks
-0.6%
Diversified
Commodities
11.4%
International
Real Estate
20.0%
US Real Estate
-4.6%
International
Stocks
22.0%
International
Stocks
7.8%
US Small Cap
Stocks
21.1%
International
Stocks
-14.5%
US Real Estate
13.7%
US Core Bonds
-0.2%
US Small Cap
Stocks
6.1%
International
Stocks
-0.8%
Emerging Market
Stocks
11.2%
US Small Cap
Stocks
15.2%
International
Real Estate
-6.4%
International
Real Estate
21.0%
US Core Bonds
7.6%
International
Stocks
11.3%
US Mid Cap
Stocks
-16.9%
US High Yield
Bonds
13.5%
International
Bonds
-0.4%
International
Real Estate
2.8%
International
Real Estate
-3.8%
US Real Estate
8.6%
US High Yield
Bonds
7.5%
US Mid Cap
Stocks
-8.1%
Emerging Market
Stocks
18.4%
US High Yield
Bonds
6.2%
International
Real Estate
8.1%
US Small Cap
Stocks
-17.8%
Emerging Market
Stocks
9.8%
US Mid Cap
Stocks
-1.4%
US High Yield
Bonds
2.5%
US Small Cap
Stocks
-4.1%
International
Bonds
4.9%
Diversified
Commodities
5.8%
US Small Cap
Stocks
-11.0%
Diversified
Commodities
17.6%
International
Bonds
4.7%
US High Yield
Bonds
5.4%
US Large Cap
Stocks
-18.1%
International
Bonds
8.7%
International
Real Estate
-3.7%
Emerging Market
Stocks
-2.2%
High Yield Bonds
-4.6%
US Core Bonds
2.6%
US Real Estate
5.1%
International
Stocks
-13.8%
US High Yield
Bonds
14.4%
International
Real Estate
-7.1%
US Core Bonds
-1.6%
Emerging Market
Stocks
-20.1%
International
Real Estate
6.3%
US Small Cap
Stocks
-3.8%
International
Stocks
-4.9%
Emerging Market
Stocks
-14.9%
International
Real Estate
1.3%
US Core Bonds
3.6%
Diversified
Commodities
-13.8%
US Core Bonds
9.0%
US Real Estate
-7.6%
International
Bonds
-2.1%
International
Real Estate
-24.3%
US Core Bonds
5.4%
US Real Estate
-4.1%
Diversified
Commodities
-33.1%
Diversified
Commodities
-32.9%
International
Stocks
1.0%
International
Bonds
2.6%
Emerging Market
Stocks
-14.6%
International
Bonds
8.1%
Diversified
Commodities
-23.7%
Emerging Market
Stocks
-2.5%
US Real Estate
-24.5%
Diversified
Commodities
-4.3%
Emerging Market
Stocks
-4.6%
8 Section 2|SECTION |
Section 2 |
Account Profile
9 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 January 31, 2024
10 Compliance As of January 31, 2024
Category Standard Comment
Treasury Issues N o L im itation Complies
Agency Issues 25% per Agency/GSE issuer; 20% max agency callable securities; Issued by Federal Agencies or U.S. Government Sponsored Enterprise obligations. Complies
Supranational "AA" rating category or better by a NRSRO; 30% maximum; 10% max per issuer; USD denominated senior unsecured unsubordinated obligations issued or unconditionally guaranteed by IBRD, IFC, or IADB. Complies Municipal Se curitie s
"A" rating category or better by a NRSRO; 30% maximum; 5% max per issuer; Obligations of the City, State of California, and any local agency within the State of California; Obligations of any of the other 49 states in addition to California, including bonds payable solely out of the revenues from a revenue-producing property owned, controlled, or operated by a state or by a department, board, agency, or authority of any of the other 49 states in addition to California.
Complies
Corporate Medi um Term Notes "A" rating category or better by a NRSRO; 30% maximum; 5% max per issuer; Issued by corporations organized and operating within the U.S. or by depository institutions licensed by the U.S. or any state and operating within the U.S. Complies Asset Backed/ Mortgage Backed/
Collate ralize d Mortgage Obligation
"AA" rati ng category or better by a NRSRO; 20% maxi mum; 5% max per i ssuer on Asset-Backed or Commerci al Mortgage securi ty; There i s no i ssuer l i mi tati on on any Mortgage securi ty where the i ssuer i s the U.S. Treasury or a Federal Agency/GSE .
Complies
Negoti abl e Certi fi cates of Deposi t
(NCDs)
No rating required if amount of the NCD is insured up to the FDIC limit; If above FDIC insured limit, requires "A-1" short- term rated or "A" long-term rating category or better by a NRSRO; 30% maximum; 5% max per issuer; Issued by nationally or state chartered banks, state or federal savings associations, or state or federal credit unions, or by a federally licensed or state-licensed branch of a foreign bank.
Complies
Certi fi cates of Deposi t (CDs)/Ti me
Deposit (TDs)
30% maximum; 5% max per issuer; Certificates of Deposit, Time Deposit, non-negotiable, and collateralized in accordance with California Government Code. Complies
Banker’s Acceptances "A-1" short-term rated or better by a NRSRO; or "A" long-term rating category or better by a NRSRO; 40% maximum; 5% max per issuer; 180 days max maturity Complies
Commerci al Paper
"A-1" short term rated or better a NRSRO; "A" long-term issuer rating category or better by a NRSRO; 25% maximum; 5% max per issuer; 270 days max maturity; Issued by corporations organized and operating in the U.S. with assets > $500 million; 10% max outstanding paper of the issuing corporation.
Complies
Money Market Funds
20% maximum; Daily money market funds administered for or by trustees, paying agents and custodian banks contracted by a City of Cupertino as allowed under California Government Code; Only funds holding U.S. Treasury obligations, Government agency obligations or repurchase agreements collateralized by U.S. Treasury or Government agency obligations can be utilized.
Complies
Local Agency Investment Fund (LAIF) Maximum amount permitted by LAIF; Not used by investment adviser Complies City of Cupertino
Assets managed by Chandler Asset Management are in full compliance with state law and with the City's investment policy. 11 Compliance As of January 31, 2024
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 Maxi mum maturi ty 5 years Complies
City of Cupertino
Assets managed by Chandler Asset Management are in full compliance with state law and with the City's investment policy. 12 Portfolio Summary – City of Cupertino #10659 As of January 31, 2024 13 Purchase Yield as of 01/31/24 = 2.24%
0.00 0.50
1.00 1.50
2.00 2.50
Percent (%)
Historical Average Purchase Yield
City of Cupertino
As of January 31, 2024
14 SECTION |
Section 3 |
Portfolio Holdings
15 Issue Name Investment Type % Portfolio
Government of United States US Treasury 35.68%
Federal National Mortgage Association Agency 8.75%
Federal Home Loan Mortgage Corp Agency 3.77%
Federal Home Loan Mortgage Corp CMO 3.72%
Federal Home Loan Bank Agency 2.26%
Federal Farm Credit Bank Agency 1.87%
American Express ABS ABS 1.84%
Royal Bank of Canada Corporate 1.63%
Toyota Motor Corp Corporate 1.59%
JP Morgan Chase & Co Corporate 1.54%
Bank of America Corp Corporate 1.53%
John Deere ABS ABS 1.53%
International Finance Corp Supranational 1.52%
Bank of New York Corporate 1.52%
Inter-American Dev Bank Supranational 1.48%
Intl Bank Recon and Development Supranational 1.45%
Toronto Dominion Holdings Corporate 1.40%
Northwestern Mutual Glbl Corporate 1.26%
Paccar Financial Corporate 1.23%
Hyundai Auto Receivables ABS 1.20%
Honda ABS ABS 1.17%
GM Financial Securitized Term Auto Trust ABS 1.16%
Bank of Montreal Chicago Corporate 1.16%
Amazon.com Inc Corporate 1.13%
Toyota ABS ABS 1.12%
Metlife Inc Corporate 1.12%
Salesforce.com Inc Corporate 1.11%
Prudential Financial Inc Corporate 1.10%
JP Morgan ABS ABS 1.10%
Morgan Stanley Corporate 1.08%
Air Products & Chemicals Corporate 1.07%
United Health Group Inc Corporate 1.05%
New York Life Global Funding Corporate 1.05%
Berkshire Hathaway Corporate 1.00%
Guardian Life Global Funding Corporate 0.84%
US Bancorp Corporate 0.80%
Mercedes-Benz ABS 0.73%
Caterpillar Inc Corporate 0.70%
Issuers
City of Cupertino – Account #10659
As of January 31, 2024
16 Issue Name Investment Type % Portfolio
MasterCard Inc Corporate 0.64%
Mass Mutual Insurance Corporate 0.59%
Charles Schwab Corp/The Corporate 0.59%
Bank of America Credit Card Trust ABS 0.56%
State of California Municipal Bonds 0.48%
Northern Trust Corp Corporate 0.43%
Toyota Lease Owner Trust ABS 0.36%
BMW ABS ABS 0.31%
GM Financial Automobile Leasing Trust ABS 0.24%
Wal-Mart Stores Corporate 0.21%
Wells Fargo 100% Treasury MMKT Fund Money Market Fund 0.14% Hyundai Auto Lease Securitization ABS 0.11%
BMW Vehicle Lease Trust ABS 0.05%
TOTAL 100.00%
Issuers
City of Cupertino – Account #10659
As of January 31, 2024
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
ABS
44891WAC3 Hyundai Auto Lease Trust 2022-A A3
1.160% Due 01/15/2025
170,049.66 01/11/2022
1.16%
170,045.91
170,049.32
99.55 5.25%
169,290.39
87.67 0.11%
(758.93)
Aaa / AAA
NR
0.96 0.11
89238LAC4 Toyota Lease Owner Trust 2022-A A3
1.960% Due 02/20/2025
565,790.14 02/23/2022
1.98%
565,701.08
565,775.35
99.40 5.59%
562,377.29
338.85
0.36%
(3,398.06)
NR / AAA
AAA
1.06 0.17
36265MAC9 GM Financial Auto Lease Trust 2022-1 A3
1.900% Due 03/20/2025
366,626.08 02/15/2022
1.91%
366,622.92
366,625.76
99.52 5.47%
364,860.04
212.85
0.24%
(1,765.72)
Aaa / NR
AAA
1.13 0.13
05601XAC3 BMW Vehicle Lease Trust 2022-1 A3
1.100% Due 03/25/2025
70,743.30 01/11/2022
1.11%
70,732.72
70,742.60
99.57 5.54%
70,441.93
12.97 0.05%
(300.67)
NR / AAA
AAA
1.15 0.10
43813GAC5 Honda Auto Receivables Trust 2021-1 A3
0.270% Due 04/21/2025
38,943.76 02/17/2021
0.27%
38,943.05
38,943.73
99.04 5.83%
38,571.54
2.92 0.02%
(372.19)
Aaa / NR
AAA
1.22 0.17
89240BAC2 Toyota Auto Receivables Owners 2021-A A3
0.260% Due 05/15/2025
150,186.32 02/02/2021
0.27%
150,158.45
150,185.26
99.11 5.84%
148,850.56
17.35 0.10%
(1,334.70)
Aaa / NR
AAA
1.29 0.16
44933LAC7 Hyundai Auto Receivables Trust 2021-A A3
0.380% Due 09/15/2025
125,907.94 04/20/2021
0.38%
125,894.69
125,906.70
98.83 5.51%
124,429.66
21.26 0.08%
(1,477.04)
NR / AAA
AAA
1.62 0.23
43815GAC3 Honda Auto Receivables Trust 2021-4 A3
0.880% Due 01/21/2026
296,510.93 11/16/2021
0.89%
296,448.42
296,490.57
97.36 5.43%
288,684.82
72.48 0.19%
(7,805.75)
Aaa / NR
AAA
1.98 0.58
47789QAC4 John Deere Owner Trust 2021-B A3
0.520% Due 03/16/2026
323,465.50 07/13/2021
0.52%
323,436.65
323,456.67
97.46 5.42%
315,262.09
74.76 0.20%
(8,194.58)
Aaa / NR
AAA
2.12 0.52
89238JAC9 Toyota Auto Receivables Trust 2021-D A3
0.710% Due 04/15/2026
283,392.65 11/09/2021
0.71%
283,386.60
283,390.71
97.24 5.54%
275,573.28
89.43 0.18%
(7,817.43)
NR / AAA
AAA
2.21 0.57
43815BAC4 Honda Auto Receivables Trust 2022-1 A3
1.880% Due 05/15/2026
676,845.05 02/15/2022
1.89%
676,743.25
676,804.49
97.67 5.29%
661,090.12
565.54
0.43%
(15,714.37)
Aaa / AAA
NR
2.29 0.68
44935FAD6 Hyundai Auto Receivables Trust 2021-C A3
0.740% Due 05/15/2026
847,644.95 Various
2.03%
826,212.70
840,384.68
97.48 5.63%
826,247.00
278.78
0.53%
(14,137.68)
NR / AAA
AAA
2.29 0.51
05602RAD3 BMW Vehicle Owner Trust 2022-A A3
3.210% Due 08/25/2026
484,681.67 05/10/2022
3.23%
484,656.46
484,670.33
98.44 5.51%
477,101.73
259.30
0.31%
(7,568.60)
Aaa / AAA
NR
2.57 0.69
362554AC1 GM Financial Securitized Term 2021-4 A3
0.680% Due 09/16/2026
236,278.03 10/13/2021
0.68%
236,272.00
236,276.04
96.77 5.75%
228,636.09
66.95 0.15%
(7,639.95)
Aaa / AAA
NR
2.63 0.64
47787JAC2 John Deere Owner Trust 2022-A A3
2.320% Due 09/16/2026
355,884.56 03/10/2022
2.34%
355,805.83
355,848.12
97.86 5.30%
348,283.58
366.96
0.23%
(7,564.54)
Aaa / NR
AAA
2.63 0.72
448977AD0 Hyundai Auto Receivables Trust 2022-A A3
2.220% Due 10/15/2026
922,024.14 03/09/2022
2.23%
921,988.64
922,009.19
97.83 5.39%
901,981.17
909.73
0.58%
(20,028.02)
NR / AAA
AAA
2.71 0.69
380146AC4 GM Financial Auto Receivables 2022-1 A3
1.260% Due 11/16/2026
231,389.97 01/11/2022
1.27%
231,369.85
231,382.17
97.25 5.41%
225,029.29
121.48
0.15%
(6,352.88)
NR / AAA
AAA
2.79 0.66
As of January 31, 2024
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
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
389,961.39
98.21 5.34%
383,020.95
503.75
0.25%
(6,940.44)
Aaa / AAA
NR
3.05 0.80
47800AAC4 John Deere Owner Trust 2022-B A3
3.740% Due 02/16/2027
655,000.00 07/12/2022
3.77%
654,937.45
654,964.32
98.57 5.16%
645,647.91
1,088.76
0.42%
(9,316.41)
Aaa / NR
AAA
3.05 1.02
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
1,537,259.91
96.98 5.05%
1,498,268.39
1,517.53
0.97%
(38,991.52)
Aaa / NR
AAA
3.12 1.08
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
1,374,868.77
98.18 4.90%
1,350,041.00
2,071.67
0.87%
(24,827.77)
NR / AAA
AAA
3.29 1.23
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
1,049,947.21
99.99 5.15%
1,049,914.95
2,375.33
0.68%
(32.26)
Aaa / NR
AAA
3.37 1.26
89231FAD2 Toyota Auto Recievables Owner 2023-C A3
5.160% Due 04/17/2028
1,300,000.00 11/21/2023
5.65%
1,294,718.75
1,295,482.70
100.75
4.84%
1,309,685.00
2,981.33
0.85%
14,202.30
NR / AAA
AAA
4.21 1.96
438123AC5 Honda Auto Receivables OT 2023-4 A3
5.670% Due 06/21/2028
805,000.00 Various
5.63%
806,992.67
806,864.45
102.06
4.80%
821,547.58
1,267.88
0.53%
14,683.13
Aaa / NR
AAA
4.39 2.18
58769FAC9 Mercedes-Benz Auto Receivables 2023-2 A3
5.950% Due 11/15/2028
1,100,000.00 11/29/2023
3.88%
1,123,289.06
1,120,529.91
102.85
4.11%
1,131,324.70
2,908.89
0.73%
10,794.79
NR / AAA
AAA
4.79 1.47
05522RDH8 Bank of America Credit Card Tr BACCT 2023-A2 A2
4.980% Due 11/15/2028
850,000.00 01/24/2024
4.28%
858,798.83
858,747.27
101.31
4.52%
861,151.15
1,881.33
0.56%
2,403.88
Aaa / NR
AAA
4.79 2.55
36268GAD7 GM Financial Securitized Term 2024-1 A3
4.850% Due 12/18/2028
950,000.00 01/23/2024
4.90%
950,074.22
950,073.93
100.36
4.74%
953,412.40
1,791.81
0.62%
3,338.47
Aaa / NR
AAA
4.88 2.27
161571HV9 Chase Issuance Trust 2024-A1 A
4.600% Due 01/16/2029
1,690,000.00 01/24/2024
4.66%
1,689,742.61
1,689,742.85
100.33
4.52%
1,695,511.09
215.94
1.10%
5,768.24
NR / AAA
AAA
4.96 2.71
TOTAL ABS 17,856,364.65 3.42%
17,841,865.44
17,867,384.40 5.02%
17,726,235.70
22,103.50
11.48%
(141,148.70)
Aaa / AAA
AAA
3.40 1.33
Agency
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
1,500,000.00 06/18/2019
1.96%
1,564,890.20
1,504,772.38
99.17 5.16%
1,487,487.00
5,630.21
0.97%
(17,285.38)
Aaa / AA+
NR
0.37 0.36
3135G0V75 FNMA Note
1.750% Due 07/02/2024
1,500,000.00 07/16/2019
1.96%
1,484,895.00
1,498,732.91
98.56 5.26%
1,478,371.50
2,114.58
0.96%
(20,361.41)
Aaa / AA+
AA+
0.42 0.41
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
2,000,000.00 09/13/2019
1.79%
2,103,380.00
2,012,752.47
98.72 5.01%
1,974,348.00
22,041.67
1.29%
(38,404.47)
Aaa / AA+
NR
0.62 0.59
3135G0W66 FNMA Note
1.625% Due 10/15/2024
1,975,000.00 Various
1.73%
1,965,802.75
1,973,668.98
97.68 5.01%
1,929,164.20
9,449.83
1.25%
(44,504.78)
Aaa / AA+
AA+
0.71 0.68
As of January 31, 2024
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
3135G0X24 FNMA Note
1.625% Due 01/07/2025
1,295,000.00 Various
1.38%
1,309,953.95
1,297,899.23
97.14 4.80%
1,257,898.25
1,402.92
0.81%
(40,000.98)
Aaa / AA+
AA+
0.94 0.91
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
2,365,000.00 02/13/2020
1.52%
2,363,178.95
2,364,623.82
96.83 4.68%
2,290,067.34
16,653.54
1.49%
(74,556.48)
Aaa / AA+
AA+
1.04 1.00
3135G03U5 FNMA Note
0.625% Due 04/22/2025
1,860,000.00 04/22/2020
0.67%
1,856,168.40
1,859,063.11
95.32 4.60%
1,772,901.78
3,196.88
1.15%
(86,161.33)
Aaa / AA+
AA+
1.22 1.19
3135G04Z3 FNMA Note
0.500% Due 06/17/2025
2,500,000.00 Various
0.50%
2,499,227.30
2,499,845.45
94.75 4.47%
2,368,800.00
1,527.78
1.53%
(131,045.45)
Aaa / AA+
AA+
1.38 1.34
3137EAEU9 FHLMC Note
0.375% Due 07/21/2025
1,250,000.00 07/21/2020
0.48%
1,243,775.00
1,248,170.72
94.43 4.32%
1,180,340.00
130.21
0.76%
(67,830.72)
Aaa / AA+
AA+
1.47 1.44
3135G05X7 FNMA Note
0.375% Due 08/25/2025
2,500,000.00 Various
0.48%
2,487,983.75
2,496,129.92
93.98 4.39%
2,349,562.51
4,062.51
1.52%
(146,567.41)
Aaa / AA+
AA+
1.57 1.53
3137EAEX3 FHLMC Note
0.375% Due 09/23/2025
2,500,000.00 Various
0.46%
2,489,362.80
2,496,427.71
93.69 4.40%
2,342,210.00
3,333.33
1.52%
(154,217.71)
Aaa / AA+
AA+
1.65 1.60
3135G06G3 FNMA Note
0.500% Due 11/07/2025
2,500,000.00 Various
0.56%
2,492,700.00
2,497,413.58
93.52 4.35%
2,337,992.50
2,916.67
1.51%
(159,421.08)
Aaa / AA+
AA+
1.77 1.72
3133EPC60 FFCB Note
4.625% Due 11/15/2027
2,800,000.00 11/09/2023
4.73%
2,789,612.00
2,790,166.60
102.30
3.96%
2,864,422.40
27,338.89
1.87%
74,255.80
Aaa / AA+
AA+
3.79 3.42
TOTAL Agency 26,545,000.00 1.44%
26,650,930.10
26,539,666.88 4.59%
25,633,565.48
99,799.02
16.65%
(906,101.40)
Aaa / AA+
AA+
1.45 1.38
CMO
3137BFE98 FHLMC K041 A2
3.171% Due 10/25/2024
1,283,264.51 07/01/2021
0.72%
1,380,411.65
1,303,236.38
98.44 5.36%
1,263,295.63
3,391.03
0.82%
(39,940.75)
Aaa / AAA
AAA
0.73 0.62
3137BLMZ8 FHLMC K049 A2
3.010% Due 07/25/2025
1,000,000.00 07/01/2021
0.87%
1,079,687.50
1,028,260.31
97.49 4.82%
974,933.33
2,508.33
0.63%
(53,326.98)
NR / NR
AAA
1.48 1.30
3137BLW95 FHLMC K050 A2
3.334% Due 08/25/2025
950,000.00 11/16/2021
1.17%
1,018,132.81
977,585.97
97.86 4.79%
929,658.60
2,639.42
0.60%
(47,927.37)
NR / NR
AAA
1.57 1.35
3137BM7C4 FHLMC K051 A2
3.308% Due 09/25/2025
440,000.00 03/15/2022
2.21%
453,079.69
445,985.80
97.64 4.83%
429,634.48
1,212.93
0.28%
(16,351.32)
NR / NR
AAA
1.65 1.43
3137BN6G4 FHLMC KO53
2.995% Due 12/25/2025
570,000.00 03/15/2022
2.29%
582,001.17
576,035.42
97.14 4.64%
553,724.81
1,422.63
0.36%
(22,310.61)
NR / NR
AAA
1.90 1.65
3137BSP72 FHLMC K058 A2
2.653% Due 08/25/2026
650,000.00 11/12/2021
1.35%
687,451.17
669,880.95
95.57 4.48%
621,234.90
1,437.04
0.40%
(48,646.05)
NR / NR
AAA
2.57 2.38
As of January 31, 2024
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
3137FBBX3 FHLMC K068 A2
3.244% Due 08/25/2027
1,000,000.00 09/28/2022
4.41%
950,664.06
964,264.32
96.24 4.38%
962,447.00
2,703.33
0.62%
(1,817.32)
Aaa / NR
NR
3.57 3.23
TOTAL CMO 5,893,264.51 1.75%
6,151,428.05
5,965,249.15 4.81%
5,734,928.75
15,314.71
3.72%
(230,320.40)
Aaa / AAA
AAA
1.85 1.64
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
1,502,074.78
99.00 5.44%
1,484,985.00
5,410.42
0.96%
(17,089.78)
A1 / A
AA-
0.36 0.36
06367TQW3 Bank of Montreal Note
0.625% Due 07/09/2024
600,000.00 02/09/2022
1.89%
582,216.00
596,783.10
97.93 5.46%
587,568.00
229.17
0.38%
(9,215.10)
A2 / A-
AA-
0.44 0.43
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
1,758,093.64
97.87 5.41%
1,722,557.76
488.88
1.11%
(35,535.88)
A2 / A+
NR
0.45 0.44
78013XZU5 Royal Bank of Canada Note
2.550% Due 07/16/2024
1,500,000.00 Various
1.99%
1,533,359.18
1,503,685.20
98.68 5.50%
1,480,206.00
1,593.76
0.96%
(23,479.20)
A1 / A
AA-
0.46 0.45
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
1,251,573.25
98.52 5.45%
1,231,448.75
83.33 0.80%
(20,124.50)
A3 / A
A
0.50 0.49
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
1,679,961.11
99.01 5.39%
1,658,362.23
155.87
1.07%
(21,598.88)
A2 / A
NR
0.50 0.49
69371RR40 Paccar Financial Corp Note
0.500% Due 08/09/2024
680,000.00 08/03/2021
0.52%
679,632.80
679,936.34
97.49 5.44%
662,940.84
1,624.44
0.43%
(16,995.50)
A1 / A+
NR
0.52 0.51
69371RQ25 Paccar Financial Corp Note
2.150% Due 08/15/2024
370,000.00 08/08/2019
2.20%
369,182.30
369,912.28
98.36 5.28%
363,913.50
3,668.14
0.24%
(5,998.78)
A1 / A+
NR
0.54 0.52
14913Q3B3 Caterpillar Finl Service Note
2.150% Due 11/08/2024
1,100,000.00 01/28/2020
1.92%
1,111,517.00
1,101,855.66
97.80 5.10%
1,075,775.80
5,452.64
0.70%
(26,079.86)
A2 / A
A+
0.77 0.75
74153WCQ0 Pricoa Global Funding Note
1.150% Due 12/06/2024
885,000.00 12/01/2021
1.19%
884,088.45
884,742.53
96.54 5.39%
854,343.60
1,554.90
0.55%
(30,398.93)
Aa3 / AA-
AA-
0.85 0.82
89114TZL9 Toronto-Dominion Bank Note
1.450% Due 01/10/2025
700,000.00 03/15/2022
2.79%
674,737.00
691,562.65
96.61 5.19%
676,249.00
592.08
0.44%
(15,313.65)
A1 / A
NR
0.95 0.91
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
1,214,484.53
96.71 5.04%
1,174,988.84
880.88
0.76%
(39,495.69)
A1 / A+
A+
0.95 0.92
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
1,679,423.89
96.56 5.20%
1,622,208.00
1,150.33
1.05%
(57,215.89)
Aaa / AA+
AAA
0.96 0.93
69371RR73 Paccar Financial Corp Note
2.850% Due 04/07/2025
885,000.00 03/31/2022
2.86%
884,769.90
884,909.51
97.88 4.71%
866,223.84
7,987.13
0.57%
(18,685.67)
A1 / A+
NR
1.18 1.14
As of January 31, 2024
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
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
1,049,844.74
98.21 4.92%
1,031,166.15
10,532.81
0.67%
(18,678.59)
A1 / A
AA-
1.20 1.15
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
1,369,921.35
98.06 4.99%
1,343,354.87
12,238.67
0.88%
(26,566.48)
A1 / A
AA-
1.23 1.18
06367WB85 Bank of Montreal Note
1.850% Due 05/01/2025
1,240,000.00 07/23/2021
0.85%
1,285,656.80
1,255,119.25
96.26 4.97%
1,193,626.48
5,735.00
0.78%
(61,492.77)
A2 / A-
AA-
1.25 1.21
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
1,370,195.84
98.34 5.88%
1,347,231.98
1,881.47
0.87%
(22,963.86)
A1 / A-
AA-
1.33 0.33
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
655,053.13
98.10 5.87%
642,559.59
669.96
0.42%
(12,493.54)
A1 / A-
AA-
1.39 0.39
66815L2J7 Northwestern Mutual Glbl Note
4.000% Due 07/01/2025
1,170,000.00 06/27/2022
4.01%
1,169,602.20
1,169,812.71
98.95 4.78%
1,157,677.56
3,900.00
0.75%
(12,135.15)
Aaa / AA+
AAA
1.42 1.36
74153WCM9 Pricoa Global Funding Note
0.800% Due 09/01/2025
904,000.00 04/06/2022
3.26%
832,972.72
870,945.44
93.85 4.88%
848,407.62
3,013.33
0.55%
(22,537.82)
Aa3 / AA-
AA-
1.59 1.53
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
1,012,068.80
98.48 4.84%
984,774.00
8,009.72
0.64%
(27,294.80)
A1 / A
AA-
1.80 1.70
40139LBC6 Guardian Life Glob Fun Note
0.875% Due 12/10/2025
1,400,000.00 Various
1.12%
1,385,860.00
1,393,722.84
92.83 4.96%
1,299,554.20
1,735.42
0.84%
(94,168.64)
Aa1 / AA+
NR
1.86 1.80
66815L2A6 Northwestern Mutual Glbl Note
0.800% Due 01/14/2026
850,000.00 12/06/2021
1.47%
827,449.50
839,266.68
92.64 4.79%
787,418.75
321.11
0.51%
(51,847.93)
Aaa / AA+
AAA
1.96 1.89
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
605,837.72
96.44 5.59%
578,647.80
5,642.00
0.38%
(27,189.92)
A1 / A-
AA-
2.04 0.99
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
405,672.02
96.16 5.34%
385,621.25
2,297.03
0.25%
(20,050.77)
A1 / A-
AA-
2.22 1.18
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
630,457.80
96.40 5.20%
626,623.40
3,674.02
0.41%
(3,834.40)
A1 / A-
A+
2.24 1.20
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
1,871,313.75
92.62 4.44%
1,736,630.63
4,114.58
1.13%
(134,683.12)
A1 / AA
AA-
2.28 2.21
As of January 31, 2024
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
91324PEC2 United Health Group Inc Callable Note Cont 4/15/2026
1.150% Due 05/15/2026
1,035,000.00 Various
1.38%
1,025,051.35
1,029,835.39
92.85 4.47%
961,027.52
2,512.74
0.62%
(68,807.87)
A2 / A+
A
2.29 2.21
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
1,384,710.32
92.57 4.45%
1,282,048.80
1,861.09
0.83%
(102,661.52)
A1 / A+
A+
2.38 2.30
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
700,449.02
94.62 5.39%
662,372.90
1,077.18
0.43%
(38,076.12)
A1 / A-
AA-
2.38 1.34
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
1,001,117.49
91.56 4.88%
915,616.00
500.00
0.59%
(85,501.49)
Aa3 / AA+
AA+
2.46 2.37
58989V2D5 Met Tower Global Funding Note
1.250% Due 09/14/2026
770,000.00 09/07/2021
1.27%
769,291.60
769,629.12
91.35 4.80%
703,367.28
3,662.85
0.46%
(66,261.84)
Aa3 / AA-
AA-
2.62 2.51
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
349,652.59
92.20 4.22%
322,698.60
1,367.92
0.21%
(26,953.99)
Aa2 / AA
AA
2.63 2.53
61690U7W4 Morgan Stanley Bank NA Callable Note Cont 9/30/2026
5.882% Due 10/30/2026
1,000,000.00 Various
5.88%
1,000,082.50
1,000,075.63
102.83
4.73%
1,028,259.01
14,705.01
0.67%
28,183.38
Aa3 / A+
AA-
2.75 2.42
59217GER6 Metlife Note
1.875% Due 01/11/2027
1,115,000.00 01/03/2022
1.90%
1,113,728.90
1,114,251.68
91.90 4.86%
1,024,712.88
1,161.46
0.66%
(89,538.80)
Aa3 / AA-
AA-
2.95 2.80
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
959,831.51
93.37 4.78%
896,364.48
9,669.33
0.59%
(63,467.03)
A2 / A-
A
3.09 2.89
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
1,614,808.76
94.58 4.17%
1,527,447.62
14,032.56
1.00%
(87,361.14)
Aa2 / AA
A+
3.12 2.94
06051GHT9 Bank of America Corp Callable Note 1X 4/23/2026
3.559% Due 04/23/2027
1,150,000.00 Various
4.93%
1,114,222.54
1,125,520.00
96.64 5.17%
1,111,332.40
11,141.65
0.73%
(14,187.60)
A1 / A-
AA-
3.23 2.09
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
669,290.27
98.57 4.47%
660,439.10
6,030.00
0.43%
(8,851.17)
A2 / A+
A+
3.27 3.01
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
675,208.53
97.94 4.38%
661,073.40
5,272.50
0.43%
(14,135.13)
A2 / A+
A
3.29 3.04
As of January 31, 2024
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
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
944,248.42
102.80
4.11%
971,471.34
18,171.56
0.64%
27,222.92
Aa3 / A+
NR
4.11 3.57
TOTAL Corporate 43,705,000.00 2.17%
43,741,683.22
43,636,859.27 5.01%
42,153,296.77
185,802.94
27.39%
(1,483,562.50)
A1 / A+
AA-
1.67 1.46
Money Market Fund
94975H270 Wells Fargo 100% Treasury Money Mkt Fund 214,782.55 Various
4.90%
214,782.55
214,782.55
1.00 4.90%
214,782.55
0.00 0.14%
0.00 Aaa / AAA
NR
0.00 0.00
TOTAL Money Market Fund 214,782.55 4.90%
214,782.55
214,782.55 4.90%
214,782.55
0.00 0.14%
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
757,336.03
98.26 5.08%
741,871.31
6,040.00
0.48%
(15,464.72)
Aa2 / AA-
AA
0.67 0.64
TOTAL Municipal Bonds 755,000.00 1.91%
772,342.35
757,336.03 5.08%
741,871.31
6,040.00
0.48%
(15,464.72)
Aa2 / AA-
AA
0.67 0.64
Supranational
45950KCT5 International Finance Corp Note
0.375% Due 07/16/2025
2,500,000.00 05/27/2021
0.66%
2,471,150.00
2,489,827.79
94.19 4.53%
2,354,862.50
390.63
1.52%
(134,965.29)
Aaa / AAA
NR
1.46 1.42
459058JL8 Intl. Bank Recon & Development Note
0.500% Due 10/28/2025
2,400,000.00 Various
0.60%
2,388,859.25
2,395,879.39
93.49 4.42%
2,243,788.80
3,100.00
1.45%
(152,090.59)
Aaa / AAA
AAA
1.74 1.70
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
2,455,008.30
92.95 4.24%
2,286,491.28
6,038.96
1.48%
(168,517.02)
Aaa / AAA
AAA
2.22 2.15
TOTAL Supranational 7,360,000.00 0.74%
7,308,742.45
7,340,715.48 4.40%
6,885,142.58
9,529.59
4.46%
(455,572.90)
Aaa / AAA
AAA
1.80 1.75
US Treasury
912828XX3 US Treasury Note
2.000% Due 06/30/2024
2,000,000.00 Various
1.80%
2,018,574.22
2,001,578.14
98.70 5.18%
1,974,062.00
3,516.48
1.28%
(27,516.14)
Aaa / AA+
AA+
0.41 0.41
912797GB7 US Treasury Bill
5.119% Due 07/11/2024
1,000,000.00 07/27/2023
5.39%
950,378.99
977,108.93
97.71 5.39%
977,108.93
0.00 0.63%
0.00 P-1 / A-1+
F-1+
0.44 0.43
912797GK7 US Treasury Bill
5.119% Due 08/08/2024
1,000,000.00 08/30/2023
5.39%
951,232.07
973,127.88
97.31 5.39%
973,127.88
0.00 0.63%
0.00 P-1 / A-1+
F-1+
0.52 0.51
As of January 31, 2024
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
912828D56 US Treasury Note
2.375% Due 08/15/2024
1,700,000.00 09/18/2019
1.71%
1,753,191.41
1,705,817.81
98.56 5.10%
1,675,562.50
18,651.49
1.10%
(30,255.31)
Aaa / AA+
AA+
0.54 0.52
912797GL5 US Treasury Bill
5.162% Due 09/05/2024
1,000,000.00 09/25/2023
5.44%
950,526.04
968,881.60
96.89 5.44%
968,881.60
0.00 0.63%
0.00 P-1 / A-1+
F-1+
0.60 0.58
912828YY0 US Treasury Note
1.750% Due 12/31/2024
2,100,000.00 03/15/2022
1.97%
2,087,203.13
2,095,813.76
97.29 4.81%
2,043,153.00
3,230.77
1.32%
(52,660.76)
Aaa / AA+
AA+
0.92 0.89
912828ZC7 US Treasury Note
1.125% Due 02/28/2025
1,500,000.00 03/18/2020
0.81%
1,523,144.53
1,505,033.65
96.30 4.68%
1,444,453.50
7,139.42
0.94%
(60,580.15)
Aaa / AA+
AA+
1.08 1.05
91282CED9 US Treasury Note
1.750% Due 03/15/2025
3,100,000.00 Various
2.23%
3,057,617.20
3,083,960.93
96.87 4.65%
3,003,004.10
20,716.34
1.96%
(80,956.83)
Aaa / AA+
AA+
1.12 1.08
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
2,500,000.00 03/21/2022
2.24%
2,360,839.85
2,444,335.94
94.97 4.57%
2,374,317.50
2,395.26
1.54%
(70,018.44)
Aaa / AA+
AA+
1.25 1.22
91282CAB7 US Treasury Note
0.250% Due 07/31/2025
1,500,000.00 03/12/2021
0.72%
1,469,765.63
1,489,676.07
94.01 4.42%
1,410,117.00
10.30 0.91%
(79,559.07)
Aaa / AA+
AA+
1.50 1.47
91282CAM3 US Treasury Note
0.250% Due 09/30/2025
2,400,000.00 Various
0.56%
2,366,140.63
2,387,699.39
93.51 4.34%
2,244,187.20
2,032.79
1.45%
(143,512.19)
Aaa / AA+
AA+
1.67 1.62
91282CAT8 US Treasury Note
0.250% Due 10/31/2025
2,450,000.00 Various
0.49%
2,422,492.19
2,439,940.30
93.23 4.31%
2,284,242.80
1,564.90
1.48%
(155,697.50)
Aaa / AA+
AA+
1.75 1.71
91282CAZ4 US Treasury Note
0.375% Due 11/30/2025
2,250,000.00 03/26/2021
0.77%
2,209,658.20
2,234,213.05
93.20 4.27%
2,097,069.75
1,452.36
1.36%
(137,143.30)
Aaa / AA+
AA+
1.83 1.79
91282CBH3 US Treasury Note
0.375% Due 01/31/2026
2,500,000.00 05/27/2021
0.75%
2,456,445.31
2,481,395.60
92.70 4.22%
2,317,577.50
25.76 1.50%
(163,818.10)
Aaa / AA+
AA+
2.00 1.95
91282CBW0 US Treasury Note
0.750% Due 04/30/2026
2,500,000.00 05/27/2021
0.80%
2,493,652.34
2,497,108.60
92.79 4.14%
2,319,825.00
4,790.52
1.50%
(177,283.60)
Aaa / AA+
AA+
2.25 2.18
91282CCZ2 US Treasury Note
0.875% Due 09/30/2026
1,400,000.00 10/18/2021
1.19%
1,379,054.68
1,388,733.34
92.13 4.02%
1,289,804.60
4,150.27
0.84%
(98,928.74)
Aaa / AA+
AA+
2.67 2.58
91282CDG3 US Treasury Note
1.125% Due 10/31/2026
1,400,000.00 11/15/2021
1.25%
1,391,468.75
1,395,269.85
92.49 4.04%
1,294,890.80
4,024.04
0.84%
(100,379.05)
Aaa / AA+
AA+
2.75 2.65
91282CJP7 US Treasury Note
4.375% Due 12/15/2026
2,500,000.00 12/28/2023
4.01%
2,525,097.66
2,524,309.01
100.95
4.02%
2,523,827.50
14,344.26
1.64%
(481.51)
Aaa / AA+
AA+
2.87 2.66
91282CEW7 US Treasury Note
3.250% Due 06/30/2027
3,250,000.00 Various
3.18%
3,260,312.50
3,256,851.99
97.77 3.96%
3,177,382.00
9,285.71
2.06%
(79,469.99)
Aaa / AA+
AA+
3.41 3.19
91282CFB2 US Treasury Note
2.750% Due 07/31/2027
400,000.00 08/22/2022
3.12%
393,218.75
395,200.85
96.09 3.96%
384,343.60
30.22 0.25%
(10,857.25)
Aaa / AA+
AA+
3.50 3.29
91282CFH9 US Treasury Note
3.125% Due 08/31/2027
4,500,000.00 Various
3.28%
4,468,902.34
4,477,622.71
97.25 3.95%
4,376,425.50
59,495.19
2.87%
(101,197.21)
Aaa / AA+
AA+
3.58 3.30
As of January 31, 2024
25 Holdings Report
City of Cupertino - Account #10659
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
91282CFM8 US Treasury Note
4.125% Due 09/30/2027
3,450,000.00 Various
4.31%
3,421,152.34
3,428,533.63
100.61
3.94%
3,471,024.30
48,215.16
2.28%
42,490.67
Aaa / AA+
AA+
3.67 3.33
91282CFZ9 US Treasury Note
3.875% Due 11/30/2027
850,000.00 12/05/2022
3.81%
852,656.25
852,040.35
99.76 3.94%
847,974.45
5,669.57
0.55%
(4,065.90)
Aaa / AA+
AA+
3.83 3.51
91282CGC9 US Treasury Note
3.875% Due 12/31/2027
2,750,000.00 Various
3.67%
2,775,107.42
2,769,954.74
99.80 3.93%
2,744,629.25
9,368.14
1.78%
(25,325.49)
Aaa / AA+
AA+
3.92 3.59
91282CGH8 US Treasury Note
3.500% Due 01/31/2028
3,000,000.00 02/07/2023
3.81%
2,957,929.69
2,966,214.16
98.45 3.92%
2,953,476.00
288.46
1.91%
(12,738.16)
Aaa / AA+
AA+
4.00 3.69
91282CGP0 US Treasury Note
4.000% Due 02/29/2028
3,700,000.00 Various
4.00%
3,699,113.28
3,699,385.45
100.29
3.92%
3,710,552.40
62,615.38
2.44%
11,166.95
Aaa / AA+
AA+
4.08 3.67
TOTAL US Treasury 56,700,000.00 2.54%
56,194,875.40
56,439,807.73 4.30%
54,881,020.66
283,012.79
35.68%
(1,558,787.07)
Aaa / AA+
AA+
2.42 2.26
TOTAL PORTFOLIO 159,029,411.71 2.24%
158,876,649.56
158,761,801.49 4.65%
153,970,843.80
621,602.55
100.00%
(4,790,957.69)
Aa1 / AA
AA+
2.10 1.73
TOTAL MARKET VALUE PLUS ACCRUALS 154,592,446.35
As of January 31, 2024
26 SECTION |
Section 4 |
Transactions
27 Transaction Ledger
City of Cupertino - Account #10659
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 01/25/2024 36268GAD7 950,000.00 GM Financial Securitized Term 2024-1 A3
4.85% Due: 12/18/2028
100.008 4.90% 950,074.22 1,023.89 951,098.11 0.00
Purchase 01/26/2024 05522RDH8 850,000.00 Bank of America Credit Card Tr BACCT 2023-A2 A2
4.98% Due: 11/15/2028
101.035 4.28% 858,798.83 1,293.42 860,092.25 0.00
Purchase 01/31/2024 161571HV9 1,690,000.00 Chase Issuance Trust 2024-A1 A
4.6% Due: 01/16/2029
99.985 4.66% 1,689,742.61 0.00 1,689,742.61 0.00
Subtotal 3,490,000.00 3,498,615.66 2,317.31 3,500,932.97 0.00 TOTAL ACQUISITIONS 3,490,000.00 3,498,615.66 2,317.31 3,500,932.97 0.00
DISPOSITIONS
Sale 01/29/2024
912828X70 1,700,000.00 US Treasury Note
2% Due: 04/30/2024
99.172 1.92% 1,685,921.88 8,406.59 1,694,328.47 -14,386.16 Subtotal 1,700,000.00 1,685,921.88 8,406.59 1,694,328.47 -14,386.16 TOTAL DISPOSITIONS 1,700,000.00 1,685,921.88 8,406.59 1,694,328.47 -14,386.16 December 31, 2023 through January 31, 2024
As of January 31, 2024
28 Important Disclosures
2024 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential. Prices are provided by ICE Data Services Inc (“IDS”), an independent pricing source. In the event IDS does not provide a price or if the price provided is not reflective of fair market value, Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures . Our valuation procedures are also disclosed in Item 5 of our Form ADV Part 2A.
Performance results are presented gross-of-advisory fees and represent the client’s Total Return. The deduction of advisory fees lowers performance results. These results include the reinvestment of dividends and other earnings. Past performance may not be indicative of future results. Therefore, clients should not assume that future performance of any specific investment or investment strategy will be profitable or equal to past performance levels. All investment strategies have the potential for profit or loss. Economic factors, market conditions or changes in investment strategies, contributions or withdrawals may materially alter the performance and results of your portfolio.
Index returns assume reinvestment of all distributions. Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the deduction of an investment management fee, the incurrence of which would have the effect of decreasing historical performance results. It is not possible to invest directly in an index.
Source ICE Data Indices, LLC ("ICE"), used with permission. ICE permits use of the ICE indices and related data on an "as is" basis; ICE, its affiliates and their respective third party suppliers disclaim any and all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, or derived therefrom. Neither ICE data, its affiliates or their respective third party providers guarantee the quality, adequacy, accuracy, timeliness or completeness of the indices or the index data or any component thereof, and the indices and index data and all components thereof are provided on an "as is" basis and licensee's use it at licensee's own risk. ICE data, its affiliates and their respective third party do not sponsor, endorse, or recommend chandler asset management, or any of its products or services.
This re port is provided for informational purposes only and should not be construed as a specific investment or legal advice. The information contained herein was obtained from sources believed to be reliable as of the date of publication, but may become outdated or superseded at any time without notice. Any opinions or views expressed are based on current market conditions and are subject to change. This report may contain forecasts and forward-looking statements which are inherently limited and should not be relied upon as indicator of future results. Past performance is not indicative of future results. This report is not intended to constitute an offer, solicitation, recommendation or advice regarding any securities or investment strategy and should not be regarded by recipients as a substitute for the exercise of their own judgment.
Fixed income investments are subject to interest, credit and market risk. Interest rate risk: the value of fixed income investments will decline as interest rates rise. Credit risk: the possibility that the borrower may not be able to repay interest and principal. Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk. Market risk: the bond market in general could decline due to economic conditions, especially during periods of rising interest rates.
Ratings information have been provided by Moody’s, S&P and Fitch through data feeds we believe to be reliable as of the date of this statement, however we cannot guarantee its accuracy.
Security level ratings for U.S. Agency issued mortgage-backed securities (“MBS”) reflect the issuer rating because the securities themselves are not rated. The issuing U.S. Agency guarantees the full and timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P, Moody’s and Fitch respectively.
Your qualified custodian bank maintains control of all assets reflected in this statement and we urge you to compare this statement to the one you receive from your qualified custodian. Chandler does not have any authority to withdraw or deposit funds from/to the custodian account.
As of January 31, 2024
29 Asset Class 10-Year Snapshot Disclosure As of January 31, 2024 US Small Cap Stocks – Morgan Stanley Capital International (MSCI) Small Cap 1750 – The MSCI Small Cap 1750 is a market capitalization weighted index that measures the performance of small capitalization U.S. stocks.
US Mid Cap Stocks – Morgan Stanley Capital International (MSCI) Mid Cap 450 – The MSCI Mid Cap 450 is a market capitalization weighted index that measures the performance of mid-capitalization U.S. stocks.
US Large Cap Stocks – Standard & Poor’s 500 – The S&P 500 is a market value weighted index of 500 large capitalization stocks. The 500 companies included in the index capture approximately 80% of available U.S. market capitalization.
International Stocks – Morgan Stanley Capital International (MSCI) EAFE – The MSCI EAFE International Equity Index is a market capitalization weighted index that captures international equity performance of large and mid-cap stocks in the developed stock markets of Europe, Australasia, and the Far East.
Emerging Market Stocks – Morgan Stanley Capital International (MSCI) Emerging Markets – The MSCI Emerging Markets Index is a market capitalization weighted index that captures equity performance of large and mid-cap stocks across emerging market countries. U.S. Real Estate – Morgan Stanley Capital International (MSCI) REIT – The MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITs. It represents about 99% of the US REIT universe and securities are classified in the REIT sector according to the Global Industry Classification Standard (GICS®). It excludes Mortgage REITs and selected Specialized REITs.
International Real Estate – S&P Developed Ex-US Property – The S&P Developed Ex-US Property Index is a market capitalization weighted index that captures the performance of a universe of publicly traded property companies based in developing countries outside of the US. The companies included are engaged in real estate related activities, such as property ownership, management, development, rental and investment.
US Core Bonds – ICE BofA US Corporate, Government, Mortgage – The ICE BofA US Corporate, Government, Mortgage index is a broad measure of US investment grade bond performance, including US Treasuries, agencies, investment-grade corporates and mortgage securities. US High Yield Bonds – ICE BofA US High Yield – The ICE BofA High Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. International Bonds – Bloomberg Barclays Global Aggregate ex-USD Total Return Index Value Unhedged USD – Index from 2/1/2013 – current. This index measures the performance of global investment grade debt from 24 local currency markets. This multi- currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers. S&P Citigroup International Govt Bond – Index from 1/1/2009 – 1/31/2013. This index measures the performance of sovereign bonds of non-U.S. developed countries.
Diversified Commodities – S&P GSCI Commodity Index – The S&P GSCI Commodity Index is a world production-weighted measure of general commodity price movements and inflation in the world economy. It consists of a basket of physical commodity futures contracts.
Source ICE Data Indices, LLC ("ICE"), used with permission. ICE permits the use of 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 representation, 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 is at licensee’s own risk. ICE data, its affiliates and their respective third party do not sponsor, endorse, or recommend Chandler, or any of its products or services.
Bloomberg® and B loomberg Barclays Global Aggregate ex-USD Total Return Index Value Unhedged USD are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited ("BISL"), the administrator of the index (collectively, "Bloomberg") and have been licensed for use for certain purposes by Chandler Asset Management Inc. Bloomberg is not affiliated with Chandler Asset Management Inc., and Bloomberg does not approve, endorse, review, or recommend this product. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to this product.
Morgan Stanley Capital International® (MSCI), the MSCI indices are service marks of Morgan Stanley Capital International and its affiliates, and have been licensed for use for certain purposes by Chandler Asset Management Inc. MSCI is not affiliated with Chandler Asset Management Inc., and MSCI does not approve, endorse, review, or recommend these products. MSCI does not guarantee the timeliness, accurateness, or completeness of any data or information relating to these products.
Disclosure: This report is provided for informational purposes only and should not be construed as 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.
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 judgement.
All i nvestments contain risk and may lose value. Fixed income investments are subject to interest rate, 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. International: Non-US markets may be more volatile due to a variety of factors including less liquidity, transparency and oversight of companies and assets. Values of non-US investments may fluctuate due to changes in currency exchange rates. Non-US companies are also subject to risks that come with political and economic stability that may affect their respective countries. These risks may be greater in emerging market countries. Equities: Investments on equities are subject to risks from stock market fluctuations that occur in response to economic and business developments. 30 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 January 31, 2024
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