FOR PROFESSIONAL CLIENTS ONLY
NOT TO BE REPRODUCED WITHOUT PRIOR WRITTEN APPROVAL
PLEASE REFER TO ALL RISK DISCLOSURES AT THE BACK OF THIS DOCUMENT
CITY OF SAN PABLO
June 2022
Contents
Fixed income market review 3
Activity and performance summary 4
Recap of securities held 6
Maturity distribution of securities held 7
Securities held 8
GASB 40 - Deposit and investment risk disclosure 12
Securities sold and matured 15
Detail of return and interest received 16
Transaction report 19
Additional information 20
FIXED INCOME MARKET REVIEW
As of June 30, 2022
CITY OF SAN PABLO
Chart 1: Federal Reserve once again forecasts a steeper hiking cycle Source: Bloomberg, June 30, 2022
Chart 2: Treasury yields largely edge down from their highs Source: Bloomberg, June 30, 2022
Economic Indicators and Monetary Policy
CPI rebounded to another 40-year record at 8.6% year-on-yea r. Core CPI, however, came in at 6% year-on-year, below the 6.5% high from two month s ago.
Non-core
(food and energy) items drove the surprise, although both “s ticky” and “flexible” categories accelerated. On the
flexible
side, used car prices rebounded 1.8% (16%
year-on-year) and travel and fuel costs also surged 13% (38% year-on-year). On the
sticky
side, health services rose a strong 0.4%, driven by insuranc e. Shelter rose
0.6%, the fastest since 1990.
Following the CPI report, the Federal Reserve guided market s to expect a 75bp hike instead of a 50bp hike at its June 15 meeting, which it duly delivered. It was the largest US policy rate move since 1994, taking rates to 1.5-1.75%. Th e new quarterly “dot plot” was revised sharply higher, with the median projectio n approaching 4% for end- 2023, from less than 3% at the previous meeting (Chart 1).
Job growth remained robust. Payrolls showed 390,000 jobs ad ded. The unemployment rate remained unchanged at 3.6%, and average h ourly earnings rose a somewhat more modest 0.3% than the recent trend, indicating labor market conditions did not materially tighten during the month.
Elsewhere, the ISM manufacturing index remained well in exp ansionary territory, printing at 56.1, up from 55.4, a bit stronger than consensus expectations at 54.5. The new orders index increased to 55.1 from 53.5. The ISM service s index weakened by more than anticipated, however, from 57.1 to 55.9.
Interest Rate Summary
Yields edged up again in response to inflation and rate hike c oncerns (Chart 2). At the end of June, the 3-month US Treasury bill yielded 1.71%, the 6 -month US Treasury bill yielded 2.52%, the 2-year US Treasury note yielded 2.96%, th e 5-year US Treasury note yielded 3.04% and the 10-year US Treasury note yielded 3.02%. 3 ACTIVITY AND PERFORMANCE SUMMARY
For the period June 1, 2022 - June 30, 2022
CITY OF SAN PABLO
Amortized Cost Basis Activity Summary
29,107,581.18 Opening balance
68,301.99 Income received
68,301.99 Total receipts
0.00 Total disbursements
0.00 Interportfolio transfers
0.00 Total Interportfolio transfers
0.00 Realized gain (loss)
0.00 Change in accruals from security movement
(16,468.16) Total amortization expense
1,562.39 Total OID/MKT accretion income
0.00 Return of capital
Closing balance 29,160,977.40
Ending fair value 28,405,367.27
(755,610.13) Unrealized gain (loss)
Comparative Rates of Return (%)
* Twelve
month trailing
* Six
month trailing
* One month
Fed Funds 0.26 0.22 0.10
Overnight Repo 0.22 0.20 0.09
Merrill Lynch 3m US Treas Bill 0.34 0.32 0.12
Merrill Lynch 6m US Treas Bill 0.51 0.49 0.16
ML 1 Year US Treasury Note 0.85 0.78 0.22
ML 2 Year US Treasury Note 1.22 1.03 0.24
ML 5 Year US Treasury Note 1.68 1.18 0.26
* rates reflected are cumulative
Summary of Amortized Cost Basis Return for the Period
Total portfolio
Interest earned 39,941.23
Accretion (amortization) (14,905.77)
Realized gain (loss) on sales 0.00
Total income on portfolio 25,035.46
Average daily amortized cost 29,137,232.73
Period return (%)
Weighted average final maturity in days 498
YTD return (%)
Detail of Amortized Cost Basis Return
Interest
earned
Realized
gain (loss)
Accretion
(amortization)
Total
income
0.00 Cash and Cash Equivalents 121.99 0.00 121.99
0.00 Corporate Bonds 16,476.53 (9,372.47) 7,104.06
0.00 Government Agencies 17,258.56 (3,531.11) 13,727.45
0.00 Government Bonds 6,084.15 (2,002.19) 4,081.96
Total 39,941.23 (14,905.77) 0.00 25,035.46
0.09 0.55
4 ACTIVITY AND PERFORMANCE SUMMARY
For the period June 1, 2022 - June 30, 2022
CITY OF SAN PABLO
Fair Value Basis Activity Summary
28,518,582.12 Opening balance
68,301.99 Income received
68,301.99 Total receipts
0.00 Total disbursements
0.00 Interportfolio transfers
0.00 Total Interportfolio transfers
0.00 Unrealized gain (loss) on security movements
0.00 Change in accruals from security movement
0.00 Return of capital
Change in fair value for the period (181,516.84)
Ending fair value 28,405,367.27
Comparative Rates of Return (%)
* Twelve
month trailing
* Six
month trailing
* One month
Fed Funds 0.26 0.22 0.10
Overnight Repo 0.22 0.20 0.09
ICE Bofa 3 Months US T-BILL 0.17 0.14 0.02
ICE Bofa 6m US Treas Bill 0.02 (0.02) (0.07)
ICE Bofa 1 Yr US Treasury Note (1.44) (1.27) (0.51)
ICE BofA US Treasury 1-3 (3.30) (2.84) (0.58)
ICE BofA US Treasury 1-5 (4.61) (3.95) (0.58)
* rates reflected are cumulative
Detail of Fair Value Basis Return
Interest
earned
Change in
fair value
Total
income
Cash and Cash Equivalents 121.99 0.00 121.99
Corporate Bonds 16,476.53 (57,754.76) (41,278.23)
Government Agencies 17,258.56 (100,988.73) (83,730.17)
Government Bonds 6,084.15 (22,773.35) (16,689.20)
Total 39,941.23 (181,516.84) (141,575.61)
Summary of Fair Value Basis Return for the Period
Total portfolio
Interest earned 39,941.23
Total income on portfolio (141,575.61)
Average daily total value * 28,517,642.97
Period return (%) (0.49)
Weighted average final maturity in days 498
Change in fair value (181,516.84)
YTD return (%) (2.39)
* Total value equals market value and accrued interest
5 RECAP OF SECURITIES HELD
As of June 30, 2022
CITY OF SAN PABLO
Weighted
average
final
maturity (days)
Weighted
average
effective
duration (years)
Percent
of
portfolio
Amortized
cost
Historical
cost
Fair value Unrealized
gain (loss)
Cash and Cash Equivalents 1,790,308.89 1,790,308.89 1, 790,308.89 0.00 6.07 0.00 1 Corporate Bonds 7,816,591.50 7,645,544.05 7,428,041.07 (217,502.98) 586 26.51 1.31 Government Agencies 15,767,703.70 15,642,126.27 15,168 ,685.77 (473,440.50) 555 53.49 1.47 Government Bonds 4,105,980.47 4,082,998.19 4,018,331.5 4 (64,666.65) 326 13.93 0.87 Total 29,480,584.56 29,160,977.40 28,405,367.27 (755,610.13) 498 100.00 1.25 Cash and Cash Equivalents
Corporate Bonds
Government Agencies
Government Bonds
Portfolio diversification (%)
Cash and Cash Equivalents 6.07
Corporate Bonds 26.51
Government Agencies 53.49
Government Bonds 13.93
Portfolio diversification (%)
6 MATURITY DISTRIBUTION OF SECURITIES HELD
As of June 30, 2022
CITY OF SAN PABLO
Maturity Historic cost Percent
Under 90 days 2,437,972.95 8.27
90 to 179 days 2,529,813.13 8.58
180 days to 1 year 2,514,415.50 8.53
1 to 2 years 17,596,301.78 59.69
2 to 3 years 4,402,081.20 14.93
3 to 4 years 0.00 0.00
4 to 5 years 0.00 0.00
Over 5 years 0.00 0.00
29,480,584.56 100.00
Maturity distribution
0.00 5.00
10.00 15.00
20.00 Historical cost (mm)
Un
der 90 d
ays
90 to 179 d
ays 180 days
to 1 yea
r
1 to
2 years
2 to 3
years
3 to 4
years
4 to
5 years
Over 5 years
7 SECURITIES HELD
As of June 30, 2022
CITY OF SAN PABLO
Amortized cost Fair value Unrealized
gain
(loss)
Coupon Maturity/
Call date
Historical cost Cusip Total
accrued
interest
%
Port
cost
Par value or
shares
Description
Cash and Cash Equivalents
0.000 1,790,308.89 1,790,308.89 0.00 0.00 6.07 1,790,308.89 1,790,308.89 Cash and Cash Equivalents Total Cash and Cash Equivalents 1,790,308.89 1,790,308.89 1,790,308.89 0.00 6.07 0.00 1,790,308.89 Corporate Bonds
25468PCW4 2.350 12/01/2022 502,850.00 500,351.88 (1,505.22) 946.53 1.71498,846.66 500,000.00 TWDC ENTERPRISES 18 CORP 2.35% 01DEC2022 90331HNV1 3.400 07/24/2023 629,250.00 607,682.48 (8,187.83) 8,840. 00 06/24/2023
2.13599,494.65 600,000.00 US BANK NA CINCINNATI 3.4% 24JUL2023 (CALLABLE 23JUN23)
459200HP9 3.375 08/01/2023 567,572.50 562,607.06 (11,647.71) 7,682 .81 1.93550,959.35 550,000.00 IBM CORP 3.375% 01AUG2023 06051GHC6 3.004 12/20/2023 525,840.00 505,588.80 (7,227.86) 417.22 12/20/2022
1.78498,360.94 500,000.00 BANK OF AMERICA CORP 3.004% 20DEC2023 (CALLABLE 20DEC22)
17325FAS7 3.650 01/23/2024 1,007,152.00 971,376.85 (18,626.82) 15, 122.15 12/23/2023
3.42952,750.03 950,000.00 CITIBANK NA 3.65% 23JAN2024 (CALLABLE 23DEC23) 693475AV7 3.500 01/23/2024 644,448.00 627,199.52 (27,115.52) 9,158 .33 12/24/2023
2.19600,084.00 600,000.00 PNC FINANCIAL SERVICES 3.5% 23JAN2024 (CALLABLE 23DEC23)
06051GHF9 3.550 03/05/2024 535,690.00 509,204.26 (10,810.28) 5,670 .14 03/05/2023
1.82498,393.98 500,000.00 BANK OF AMERICA CORP 3.55% 05MAR2024 (CALLABLE 05MAR23)
46647PBZ8 0.697 03/16/2024 702,695.00 701,212.51 (16,513.56) 1,409 .49 03/16/2023
2.38684,698.95 700,000.00 JPMORGAN CHASE & CO 0.697% 16MAR2024 (CALLABLE 16MAR23)
459200JY8 3.000 05/15/2024 535,390.00 521,084.07 (25,088.73) 1,875 .00 1.82495,995.34 500,000.00 IBM CORP 3% 15MAY2024 14913Q2V0 2.850 05/17/2024 1,064,950.00 1,043,839.63 (52,856.16) 3 ,404.17 3.61990,983.47 1,000,000.00 CATERPILLAR FINL SERVICE 2.85% 17MAY2024 8 SECURITIES HELD
As of June 30, 2022
CITY OF SAN PABLO
Amortized cost Fair value Unrealized
gain
(loss)
Coupon Maturity/
Call date
Historical cost Cusip Total
accrued
interest
%
Port
cost
Par value or
shares
Description
Corporate Bonds
89236TJN6 0.625 09/13/2024 568,914.00 571,859.36 (8,158.69) 1,114. 58 1.93563,700.67 600,000.00 TOYOTA MOTOR CREDIT CORP 0.625% 13SEP2024 931142DV2 2.650 12/15/2024 531,840.00 523,537.63 (29,764.60) 552.0 8 10/15/2024
1.80493,773.03 500,000.00 WALMART INC 2.65% 15DEC2024 (CALLABLE 15OCT24) Total Corporate Bonds 7,816,591.50 7,645,544.05 7,428,041.07 (217,502.98) 26. 5156,192.50 7,500,000.00 Government Agencies
3130A3KM5 2.500 12/09/2022 1,022,510.00 1,002,879.40 (2,020.03) 1, 458.33 3.471,000,859.37 1,000,000.00 FEDERAL HOME LOAN BANK 2.5% 09DEC2022 3133EKKT2 2.250 02/08/2023 1,014,550.00 1,002,436.18 (3,826.05) 8, 875.00 3.44998,610.13 1,000,000.00 FEDERAL FARM CREDIT BANK 2.25% 08FEB2023 3137EAEN5 2.750 06/19/2023 1,499,865.50 1,462,325.11 (15,737.86) 1 ,218.40 5.091,446,587.25 1,450,000.00 FREDDIE MAC 2.75% 19JUN2023 3133EKZK5 1.600 08/14/2023 1,000,509.00 1,000,143.50 (15,095.80) 6 ,044.44 3.39985,047.70 1,000,000.00 FEDERAL FARM CREDIT BANK 1.6% 14AUG2023 3135G0U43 2.875 09/12/2023 1,041,890.00 1,011,936.99 (12,027.87) 8 ,625.00 3.53999,909.12 1,000,000.00 FANNIE MAE 2.875% 12SEP2023 3134GXJH8 0.220 09/29/2023 1,199,700.00 1,199,864.21 (40,868.76) 7 .33 09/29/2022
4.071,158,995.45 1,200,000.00 FREDDIE MAC 0.22% 29SEP2023 (CALLABLE 29SEP22) 3137EAFA2 0.250 12/04/2023 500,500.00 500,282.73 (19,187.72) 90.28 1.70481,095.01 500,000.00 FREDDIE MAC 0.25% 04DEC2023 3135G0V34 2.500 02/05/2024 1,038,382.00 1,014,093.01 (21,187.30) 1 0,069.44 3.52992,905.71 1,000,000.00 FANNIE MAE 2.5% 05FEB2024 3133EMBE1 0.300 03/28/2024 1,498,875.00 1,499,439.29 (67,158.14) 1 ,150.00 5.081,432,281.15 1,500,000.00 FEDERAL FARM CREDIT BANK 0.3% 28MAR2024 (CALLABLE 12JUL22)
9 SECURITIES HELD
As of June 30, 2022
CITY OF SAN PABLO
Amortized cost Fair value Unrealized
gain
(loss)
Coupon Maturity/
Call date
Historical cost Cusip Total
accrued
interest
%
Port
cost
Par value or
shares
Description
Government Agencies
3130AMQQ8 0.350 04/23/2024 1,200,000.00 1,200,000.00 (51,556.02) 8 1.67 09/23/2022
4.071,148,443.98 1,200,000.00 FEDERAL HOME LOAN BANK 0.35% 23APR2024 (CALLABLE 23SEP22)
3136G46B4 0.350 04/26/2024 1,449,595.00 1,449,788.06 (68,676.25) 9 02.22 07/26/2022
4.921,381,111.81 1,450,000.00 FANNIE MAE 0.35% 26APR2024 (CALLABLE 26JUL22) 3135G0V75 1.750 07/02/2024 601,990.80 600,863.28 (14,419.82) 5,191 .67 2.04586,443.46 600,000.00 FANNIE MAE 1.75% 02JUL2024 3135G0W66 1.625 10/15/2024 797,190.40 798,655.50 (23,422.13) 2,708 .33 2.70775,233.37 800,000.00 FANNIE MAE 1.625% 15OCT2024 3133EMCN0 0.400 10/15/2024 799,000.00 799,419.01 (47,131.36) 666.6 7 2.71752,287.65 800,000.00 FEDERAL FARM CREDIT BANK 0.4% 15OCT2024 (CALLABLE 12JUL22)
3130AL2A1 0.500 02/10/2025 1,103,146.00 1,100,000.00 (71,125.39) 2 ,138.89 08/10/2022
3.741,028,874.61 1,100,000.00 FEDERAL HOME LOAN BANK 0.5% 10FEB2025 (CALLABLE 10AUG22)
Total Government Agencies 15,767,703.70 15,642,126.27 15,168,685.77 (473,440.50) 53.4949,227.67 15,600,000.00 Government Bonds
9128282S8 1.625 08/31/2022 647,664.06 649,875.26 175.77 3,501.70 2. 20650,051.03 650,000.00 USA TREASURY 1.625% 31AUG2022 912828M49 1.875 10/31/2022 1,004,453.13 1,000,448.23 (1,296.63) 3, 108.02 3.41999,151.60 1,000,000.00 USA TREASURY 1.875% 31OCT2022 91282CCU3 0.125 08/31/2023 693,519.53 695,418.61 (18,195.95) 290.0 8 2.35677,222.66 700,000.00 USA TREASURY 0.125% 31AUG2023 9128285K2 2.875 10/31/2023 1,147,781.25 1,132,980.55 (34,183.67) 5 ,242.19 3.891,098,796.88 1,100,000.00 USA TREASURY 2.875% 31OCT2023 10 SECURITIES HELD
As of June 30, 2022
CITY OF SAN PABLO
Amortized cost Fair value Unrealized
gain
(loss)
Coupon Maturity/
Call date
Historical cost Cusip Total
accrued
interest
%
Port
cost
Par value or
shares
Description
Government Bonds
912828U57 2.125 11/30/2023 612,562.50 604,275.54 (11,166.17) 1,045 .08 2.08593,109.37 600,000.00 USA TREASURY 2.125% 30NOV2023 Total Government Bonds 4,105,980.47 4,082,998.19 4,018,331.54 (64,666.65) 13.9 313,187.07 4,050,000.00 Grand total 29,480,584.56 29,160,977.40 (755,610.13) 28,940,308.89 100.00118,607.24 28,405,367.27 11 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE
As of June 30, 2022
CITY OF SAN PABLO
Cusip S&P
rating
Moody
rating
Historical
cost
% Portfolio
hist cost
Market
value
% Portfolio
mkt value
Effective
dur (yrs)
Description Coupon Maturity
date
Call date Par value or
shares
Federal National Mortgage Association
3135G0U43 FANNIE MAE 2.875% 2.875 09/12/2023 AA+ Aaa 1,000,000.00 1 ,041,890.00 3.53 999,909.12 3.52 1.16 3135G0V34 FANNIE MAE 2.5% 2.500 02/05/2024 AA+ Aaa 1,000,000.00 1,0 38,382.00 3.52 992,905.71 3.50 1.54 3136G46B4 FANNIE MAE 0.35% 0.350 04/26/2024 07/26/2022 AA+ Aaa 1,45 0,000.00 1,449,595.00 4.92 1,381,111.81 4.86 1.77 3135G0V75 FANNIE MAE 1.75% 1.750 07/02/2024 AA+ Aaa 600,000.00 601, 990.80 2.04 586,443.46 2.06 1.93 3135G0W66 FANNIE MAE 1.625% 1.625 10/15/2024 AA+ Aaa 800,000.00 797 ,190.40 2.70 775,233.37 2.73 2.22 Issuer total 4,850,000.00 4,929,048.20 16.72 4,735,603.47 16.67 1.68 Federal Farm Credit Banks Funding Corp
3133EKKT2 FEDERAL FARM CREDIT 2.250 02/08/2023 AA+ Aaa 1,000,000.0 0 1,014,550.00 3.44 998,610.13 3.52 0.60 3133EKZK5 FEDERAL FARM CREDIT 1.600 08/14/2023 AA+ Aaa 1,000,000.0 0 1,000,509.00 3.39 985,047.70 3.47 1.09 3133EMBE1 FEDERAL FARM CREDIT 0.300 03/28/2024 AA+ Aaa 1,500,000.0 0 1,498,875.00 5.08 1,432,281.15 5.04 1.68 3133EMCN0 FEDERAL FARM CREDIT 0.400 10/15/2024 AA+ Aaa 800,000.00 7 99,000.00 2.71 752,287.65 2.65 2.18 Issuer total 4,300,000.00 4,312,934.00 14.63 4,168,226.63 14.67 1.38 United States Treasury Note/Bond
9128282S8 USA TREASURY 1.625% 1.625 08/31/2022 AA+ Aaa 650,000.00 6 47,664.06 2.20 650,051.03 2.29 0.17 912828M49 USA TREASURY 1.875% 1.875 10/31/2022 AA+ Aaa 1,000,000.0 0 1,004,453.13 3.41 999,151.60 3.52 0.33 91282CCU3 USA TREASURY 0.125% 0.125 08/31/2023 AA+ Aaa 700,000.00 6 93,519.53 2.35 677,222.66 2.38 1.15 9128285K2 USA TREASURY 2.875% 2.875 10/31/2023 AA+ Aaa 1,100,000.0 0 1,147,781.25 3.89 1,098,796.88 3.87 1.30 912828U57 USA TREASURY 2.125% 2.125 11/30/2023 AA+ Aaa 600,000.00 6 12,562.50 2.08 593,109.37 2.09 1.38 Issuer total 4,050,000.00 4,105,980.47 13.93 4,018,331.54 14.15 0.87 Federal Home Loan Banks
3130A3KM5 FEDERAL HOME LOAN 2.500 12/09/2022 AA+ Aaa 1,000,000.00 1 ,022,510.00 3.47 1,000,859.37 3.52 0.44 3130AMQQ FEDERAL HOME LOAN 0.350 04/23/2024 09/23/2022 AA+ Aaa 1,2 00,000.00 1,200,000.00 4.07 1,148,443.98 4.04 1.75 12 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE
As of June 30, 2022
CITY OF SAN PABLO
Cusip S&P
rating
Moody
rating
Historical
cost
% Portfolio
hist cost
Market
value
% Portfolio
mkt value
Effective
dur (yrs)
Description Coupon Maturity
date
Call date Par value or
shares
Federal Home Loan Banks
3130AL2A1 FEDERAL HOME LOAN 0.500 02/10/2025 08/10/2022 AA+ Aaa 1,1 00,000.00 1,103,146.00 3.74 1,028,874.61 3.62 2.48 Issuer total 3,300,000.00 3,325,656.00 11.28 3,178,177.96 11.19 1.59 Federal Home Loan Mortgage Corp
3137EAEN5 FREDDIE MAC 2.75% 2.750 06/19/2023 AA+ Aaa 1,450,000.00 1 ,499,865.50 5.09 1,446,587.25 5.09 0.95 3134GXJH8 FREDDIE MAC 0.22% 0.220 09/29/2023 09/29/2022 AA+ Aaa 1,2 00,000.00 1,199,700.00 4.07 1,158,995.45 4.08 1.23 3137EAFA2 FREDDIE MAC 0.25% 0.250 12/04/2023 AA+ Aaa 500,000.00 500 ,500.00 1.70 481,095.01 1.69 1.41 Issuer total 3,150,000.00 3,200,065.50 10.85 3,086,677.71 10.87 1.13 Cash and Cash Equivalents
INVESTED CASH 0.000 1,790,308.89 1,790,308.89 0.00 1,790,308.89 6.30 0.00 Issuer total 1,790,308.89 1,790,308.89 0.00 1,790,308.89 6.30 0.00 International Business Machines Corp
459200HP9 IBM CORP 3.375% 3.375 08/01/2023 A- A3 550,000.00 567,572 .50 1.93 550,959.35 1.94 1.05 459200JY8 IBM CORP 3% 3.000 05/15/2024 A- A3 500,000.00 535,390.00 1 .82 495,995.34 1.75 1.80 Issuer total 1,050,000.00 1,102,962.50 3.74 1,046,954.69 3.69 1.41 Bank of America Corp
06051GHC6 BANK OF AMERICA CORP 3.004 12/20/2023 12/20/2022 A- A2 50 0,000.00 525,840.00 1.78 498,360.94 1.75 0.47 06051GHF9 BANK OF AMERICA CORP 3.550 03/05/2024 03/05/2023 A- A2 50 0,000.00 535,690.00 1.82 498,393.98 1.75 0.67 Issuer total 1,000,000.00 1,061,530.00 3.60 996,754.92 3.51 0.57 Caterpillar Financial Services Corp
14913Q2V0 CATERPILLAR FINL 2.850 05/17/2024 A A2 1,000,000.00 1,064 ,950.00 3.61 990,983.47 3.49 1.81 Issuer total 1,000,000.00 1,064,950.00 3.61 990,983.47 3.49 1.81 13 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE
As of June 30, 2022
CITY OF SAN PABLO
Cusip S&P
rating
Moody
rating
Historical
cost
% Portfolio
hist cost
Market
value
% Portfolio
mkt value
Effective
dur (yrs)
Description Coupon Maturity
date
Call date Par value or
shares
Citibank NA
17325FAS7 CITIBANK NA 3.65% 3.650 01/23/2024 12/23/2023 A+ Aa3 950, 000.00 1,007,152.00 3.42 952,750.03 3.35 1.45 Issuer total 950,000.00 1,007,152.00 3.42 952,750.03 3.35 1.45 JPMorgan Chase & Co
46647PBZ8 JPMORGAN CHASE & CO 0.697 03/16/2024 03/16/2023 A- A2 700 ,000.00 702,695.00 2.38 684,698.95 2.41 0.70 Issuer total 700,000.00 702,695.00 2.38 684,698.95 2.41 0.70 PNC Financial Services Group Inc/The
693475AV7 PNC FINANCIAL 3.500 01/23/2024 12/24/2023 A- A3 600,000.0 0 644,448.00 2.19 600,084.00 2.11 1.45 Issuer total 600,000.00 644,448.00 2.19 600,084.00 2.11 1.45 US Bank NA/Cincinnati OH
90331HNV1 US BANK NA CINCINNATI 3.400 07/24/2023 06/24/2023 AA- A1 600,000.00 629,250.00 2.13 599,494.65 2.11 0.99 Issuer total 600,000.00 629,250.00 2.13 599,494.65 2.11 0.99 Toyota Motor Credit Corp
89236TJN6 TOYOTA MOTOR CREDIT 0.625 09/13/2024 A+ A1 600,000.00 568 ,914.00 1.93 563,700.67 1.98 2.15 Issuer total 600,000.00 568,914.00 1.93 563,700.67 1.98 2.15 TWDC Enterprises 18 Corp
25468PCW4 TWDC ENTERPRISES 18 2.350 12/01/2022 BBB+ A2 500,000.00 5 02,850.00 1.71 498,846.66 1.76 0.42 Issuer total 500,000.00 502,850.00 1.71 498,846.66 1.76 0.42 Walmart Inc
931142DV2 WALMART INC 2.65% 2.650 12/15/2024 10/15/2024 AA Aa2 500, 000.00 531,840.00 1.80 493,773.03 1.74 2.30 Issuer total 500,000.00 531,840.00 1.80 493,773.03 1.74 2.30 Grand total 28,940,308.89 29,480,584.56 100.00 28,405,367.27 100.00 1.25 14 SECURITIES SOLD AND MATURED
For the period June 1, 2022 - June 30, 2022
CITY OF SAN PABLO
Historical cost Amortized cost
at sale or
maturity
Fair value at
sale or
maturity
Realized
gain
(loss)
Price Coupon Trade date
Settle date
Maturity/
Call date
Par value or
shares
Cusip Accrued
interest
sold
Description / Broker
Government Agencies
313379Q69 2.125 06/10/2022 (1,100,000.00) 1,106,138.00 1,100,000.00 0.0 0 1,100,000.00 0.00 0.00 06/10/2022
FEDERAL HOME LN BKS CONS BD
2.125 DUE 06-10-2022 REG
(1,100,000.00) 0.001,106,138.00 1,100,000.00 1,100,000.00 0.00 Total (Government Agencies) Grand total Grand total (1,100,000.00) 0.001,106,138.00 1,100,000.00 1,100,000.00 0.00 15 DETAIL OF RETURN AND INTEREST RECEIVED
For the period June 1, 2022 - June 30, 2022
CITY OF SAN PABLO
Description Interest earned Accretion
(amortization)
Realized gain
(loss)
Change in fair
value
Interest receivedCusip
Cash
Cash and Cash Equivalents 121.99 0.00 0.00 121.990.00
Total Cash 121.99 0.00 0.00 121.990.00
Corporate Bonds
BANK OF AMERICA CORP 3.004% 20DEC2023 (CALLABLE 20DEC22) 1,209.94 (986.26) (1,510.85) 7,510.000.00 06051GHC6 BANK OF AMERICA CORP 3.55% 05MAR2024 (CALLABLE 05MAR23) 1,429.86 (1,127.06) (3,582.65) 0.000.00 06051GHF9 CATERPILLAR FINL SERVICE 2.85% 17MAY2024 2,295.84 (1,942.67) (8,264.91) 0.000.00 14913Q2V0 CITIBANK NA 3.65% 23JAN2024 (CALLABLE 23DEC23) 2,793.26 (1,203.20) (9,363.03) 0.000.00 17325FAS7 IBM CORP 3% 15MAY2024 1,208.33 (937.07) (4,767.75) 0.000.00 459200JY8 IBM CORP 3.375% 01AUG2023 1,495.31 (967.29) (3,417.11) 0.000.00 459200HP9 JPMORGAN CHASE & CO 0.697% 16MAR2024 (CALLABLE 16MAR23) 393.03 (142.09) (2,401.96) 0.000.00 46647PBZ8 PNC FINANCIAL SERVICES 3.5% 23JAN2024 (CALLABLE 23DEC23) 1,691.66 (1,530.93) (4,578.50) 0.000.00 693475AV7 TOYOTA MOTOR CREDIT CORP 0.625% 13SEP2024 302.08 1,064.59 (6,259.48) 0.000.00 89236TJN6 TWDC ENTERPRISES 18 CORP 2.35% 01DEC2022 946.53 (69.91) (2,347.34) 5,875.000.00 25468PCW4 US BANK NA CINCINNATI 3.4% 24JUL2023 (CALLABLE 23JUN23) 1,643.33 (674.66) (5,780.20) 0.000.00 90331HNV1 WALMART INC 2.65% 15DEC2024 (CALLABLE 15OCT24) 1,067.36 (855.92) (5,480.98) 6,625.000.00 931142DV2 Total Corporate Bonds 16,476.53 (9,372.47) (57,754.76) 20,010.000.00 Government Agencies
FANNIE MAE 0.35% 26APR2024 (CALLABLE 26JUL22) 408.82 9.69 (11,250.59) 0.000.00 3136G46B4 FANNIE MAE 1.625% 15OCT2024 1,047.22 48.89 (4,647.06) 0.000.00 3135G0W66 FANNIE MAE 1.75% 02JUL2024 845.84 (35.87) (4,083.19) 0.000.00 3135G0V75 16 DETAIL OF RETURN AND INTEREST RECEIVED
For the period June 1, 2022 - June 30, 2022
CITY OF SAN PABLO
Description Interest earned Accretion
(amortization)
Realized gain
(loss)
Change in fair
value
Interest receivedCusip
Government Agencies
FANNIE MAE 2.5% 05FEB2024 2,013.88 (759.79) (6,279.37) 0.000.00 3135G0V34 FANNIE MAE 2.875% 12SEP2023 2,315.97 (828.96) (6,902.11) 0.000.00 3135G0U43 FEDERAL FARM CREDIT BANK 0.3% 28MAR2024 (CALLABLE 12JUL22) 362.50 26.79 (7,368.45) 0.000.00 3133EMBE1 FEDERAL FARM CREDIT BANK 0.4% 15OCT2024 (CALLABLE 12JUL22) 257.78 21.12 (5,242.04) 0.000.00 3133EMCN0 FEDERAL FARM CREDIT BANK 1.6% 14AUG2023 1,288.88 (10.66) (7,781.17) 0.000.00 3133EKZK5 FEDERAL FARM CREDIT BANK 2.25% 08FEB2023 1,812.50 (335.25) (5,108.27) 0.000.00 3133EKKT2 FEDERAL HOME LN BKS CONS BD 2.125 DUE 06-10-2022 REG 584.37 (56.89) (379.43) 11,687.500.00 313379Q69 FEDERAL HOME LOAN BANK 0.35% 23APR2024 (CALLABLE 23SEP22) 338.34 0.00 (7,953.46) 2,100.000.00 3130AMQQ8 FEDERAL HOME LOAN BANK 0.5% 10FEB2025 (CALLABLE 10AUG22) 443.06 0.00 (7,420.55) 0.000.00 3130AL2A1 FEDERAL HOME LOAN BANK 2.5% 09DEC2022 2,013.89 (543.28) (2,960.41) 12,500.000.00 3130A3KM5 FREDDIE MAC 0.22% 29SEP2023 (CALLABLE 29SEP22) 212.66 9.07 (7,525.07) 1,320.000.00 3134GXJH8 FREDDIE MAC 0.25% 04DEC2023 100.70 (16.50) (3,272.43) 625.000.00 3137EAFA2 FREDDIE MAC 2.75% 19JUN2023 3,212.15 (1,059.47) (12,815.13) 19,937.500.00 3137EAEN5 Total Government Agencies 17,258.56 (3,531.11) (100,988.73) 48,170.000.00 Government Bonds
USA TREASURY 0.125% 31AUG2023 71.33 321.88 (4,593.75) 0.000.00 91282CCU3 USA TREASURY 1.625% 31AUG2022 861.07 60.36 (714.00) 0.000.00 9128282S8 USA TREASURY 1.875% 31OCT2022 1,528.54 (109.32) (2,371.84) 0.000.00 912828M49 USA TREASURY 2.125% 30NOV2023 1,045.08 (247.62) (5,039.07) 0.000.00 912828U57 17 DETAIL OF RETURN AND INTEREST RECEIVED
For the period June 1, 2022 - June 30, 2022
CITY OF SAN PABLO
Description Interest earned Accretion
(amortization)
Realized gain
(loss)
Change in fair
value
Interest receivedCusip
Government Bonds
USA TREASURY 2.875% 31OCT2023 2,578.13 (2,027.49) (10,054.69) 0.000.00 9128285K2 Total Government Bonds 6,084.15 (2,002.19) (22,773.35) 0.000.00 Grand total 39,941.23 (14,905.77) (181,516.84) 68,301.990.00 18 TRANSACTION REPORT
For the period June 1, 2022 - June 30, 2022
CITY OF SAN PABLO
Maturity Par value or
shares
Interest Transaction totalPrincipal Transaction Cusip Sec type Description Trade date Settle date
Realized
gain(loss)
5,875.00 06/01/2022
06/01/2022
Income 25468PCW4 Corporate Bonds TWDC ENTERPRISES 18 CORP 12/ 01/2022 500,000.00 0.00 5,875.000.00 625.00 06/04/2022
06/04/2022
Income 3137EAFA2 Government Agencies FREDDIE MAC 0.25% 12/04/ 2023 500,000.00 0.00 625.00 0.00 12,500.00 06/09/2022
06/09/2022
Income 3130A3KM5 Government Agencies FEDERAL HOME LOAN BANK 1 2/09/2022 1,000,000.00 0.00 12,500.000.00 11,687.50 06/10/2022
06/10/2022
Income 313379Q69 Government Agencies FEDERAL HOME LN BKS CON S 06/10/2022 1,100,000.00 0.00 11,687.50 0.00
0.00 06/10/2022
06/10/2022
Capital Change 313379Q69 Government Agencies FEDERAL HOME LN BKS CON S 06/10/2022 (1,100,000.00) 1,100,000.00 1,100,000.000.00 6,625.00 06/15/2022
06/15/2022
Income 931142DV2 Corporate Bonds WALMART INC 2.65% 12/15/2024 500,000.00 0.00 6,625.000.00 19,937.50 06/19/2022
06/19/2022
Income 3137EAEN5 Government Agencies FREDDIE MAC 2.75% 06/19/ 2023 1,450,000.00 0.00 19,937.500.00 7,510.00 06/20/2022
06/20/2022
Income 06051GHC6 Corporate Bonds BANK OF AMERICA CORP 12/20/2 023 500,000.00 0.00 7,510.000.00 2,100.00 06/23/2022
06/23/2022
Income 3130AMQQ8 Government Agencies FEDERAL HOME LOAN BANK 0 4/23/2024 1,200,000.00 0.00 2,100.000.00 1,320.00 06/29/2022
06/29/2022
Income 3134GXJH8 Government Agencies FREDDIE MAC 0.22% 09/29/ 2023 1,200,000.00 0.00 1,320.000.00 121.99 Income Cash and Cash Equivalents Cash 121.990.00 0.00 0.00 06/30/2022 19 ADDITIONAL INFORMATION
As of June 30, 2022
CITY OF SAN PABLO
Past performance is not a guide to future performance. The value of investments and any income from them will fluctuate and is not guaranteed (this may partly be due to exchange rate changes) and investors may not get back the amount invested. Transactions in foreign securities may be executed and settled in local markets. Performance comparisons will be affected by changes in interest rates. Investment returns fluctuate due to changes in market conditions. Investment involves risk, including the possible loss of principal. No assurance can be given that the performance objectives of a given strategy will be achieved. The information contained herein is for your reference only and is being provided in response to your specific request and has been obtained from sources believed to be reliable; however, no representation is made regarding its accuracy or completeness. This document must not be used for the purpose of an offer or solicitation in any jurisdiction or in any circumstances in which such offer or solicitation is unlawful or otherwise not permitted. This document should not be duplicated, amended, or forwarded to a third party without consent from Insight. This is a marketing document intended for professional clients only and should not be made available to or relied upon by retail clients Investment advisory services in North America are provided through two different SEC-registered investment advisers using the brand Insight Investment: Insight North America LLC (INA) and Insight Investment International Limited (IIIL). The North American investment advisers are associated with a broader group of global investment managers that also (individually and collectively) use the corporate brand Insight Investment and may be referred to as Insight, Insight Group or Insight Investment.
INA is an investment adviser registered with the Securities and Exchange Commission (SEC), under the Investment Advisers Act of 1940, as amended. Registration with the SEC does not imply a certain level of skill or training.
You may request, without charge, additional information about Insight. Moreover, specific information relating to Insights strategies, including investment advisory fees, may be obtained from INA's Form ADV Part 2A, which is available without charge upon request.
Where indicated, performance numbers used in the analysis are gross returns. The performance reflects the reinvestment of all dividends and income. INA charges management fees on all portfolios managed and these fees will reduce the returns on the portfolios. For example, assume that $30 million is invested in an account with INA, and this account achieves a 5.0% annual return compounded monthly, gross of fees, for a period of five years.
At the end of five years that account would have grown to $38,500,760 before the deduction of management fees. Assuming management fees of 0.25% per year are deducted monthly from the account, the value at the end of the five year period would be $38,022,447. Actual fees for new accounts are dependent on size and subject to negotiation. INA's investment advisory fees are discussed in Part 2A of its Form ADV.
Unless otherwise stated, the source of information is Insight. Any forecasts or opinions are Insight’s own at the date of this document (or as otherwise specified) and may change. Material in this publication is for general information only and is not advice, investment advice, or the recommendation of any purchase or sale of any security. Insight makes no implied or expressed recommendations concerning the manner in which an account should or would be handled, as appropriate investment strategies depend upon specific investment guidelines and objectives and should not be construed to be an assurance that any particular security in a strategy will remain in any fund, account, or strategy, or that a previously held security will not be repurchased. It should not be assumed that any of the security transactions or holdings referenced herein have been or will prove to be profitable or that future investment decisions will be profitable or will equal or exceed the past investment performance of the securities listed.
Please compare the information provided in this statement to the information provided in the statement received from your Custodian.
For trading activity the Clearing broker will be reflected. In certain cases the Clearing broker will differ from the Executing broker.
In calculating ratings distributions and weighted average portfolio quality, Insight assigns U.S Treasury and U.S agency securities a quality rating based on the methodology used within the respective benchmark index. When Moody’s, S&P and Fitch rate a security, Bank of America and Merrill Lynch indexes assign a simple weighted average statistic while Barclays indexes assign the median statistic. Insight assigns all other securities the lower of Moody’s and S&P ratings.
Information about the indices shown here is provided to allow for comparison of the performance of the strategy to that of certain well-known and widely recognized indices. There is no representation that such index is an appropriate benchmark for such comparison. You cannot invest directly in an index and the indices represented do not take into account trading commissions and/or other brokerage or custodial costs. The volatility of the indices may be materially different from that of the strategy. In addition, the strategy’s holdings may differ substantially from the securities that comprise the indices shown.
The ICE BofA 3 Month US T-Bill index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
The ICE BofA 6 Month US T-Bill index measures the performance of Treasury bills with time to maturity of less than 6 months.
The ICE BofA 1-Year US Treasury Index is a one-security index comprised of the most recently issued 1-year US Treasury note. The index is rebalanced monthly. In order to qualify for inclusion, a 1-year note must be auctioned on or before the third business day before the last business day of the month.
The ICE BofA 3-Year US Treasury Index is a one-security index comprised of the most recently issued 3-year US Treasury note. The index is rebalanced monthly. In order to qualify for inclusion, a 3-year note must be auctioned on or before the third business day before the last business day of the month.
The ICE BofA 5-Year US Treasury Index is a one-security index comprised of the most recently issued 5-year US Treasury note. The index is rebalanced monthly. In order to qualify for inclusion, a 5-year note must be auctioned on or before the third business day before the last business day of the month.
The ICE BofA 1-3 US Year Treasury Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than three years.
The ICE BofA 1-5 US Year Treasury Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than five years. 20 ADDITIONAL INFORMATION
As of June 30, 2022
CITY OF SAN PABLO
Insight does not provide tax or legal advice to its clients and all investors are strongly urged to consult their tax and legal advisors regarding any potential strategy or investment.
Insight is a group of wholly owned subsidiaries of The Bank of New York Mellon Corporation. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation and may also be used as a generic term to reference the Corporation as a whole or its various subsidiaries generally. Products and services may be provided under various brand names and in various countries by subsidiaries, affiliates and joint ventures of The Bank of New York Mellon Corporation where authorized and regulated as required within each jurisdiction. Unless you are notified to the contrary, the products and services mentioned are not insured by the FDIC (or by any governmental entity) and are not guaranteed by or obligations of The Bank of New York Mellon Corporation or any of its affiliates. The Bank of New York Corporation assumes no responsibility for the accuracy or completeness of the above data and disclaims all expressed or implied warranties in connection therewith. © 2022 Insight Investment. All rights reserved.
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