_____________________________________________________________________
MONTHLY INVESTMENT REPORT
January 2022
City of Santa Clara
Monthly Investment Report
TABLE OF CONTENTS
Page #
1 Summary of Investment Portfolio 1
2 Summary of Investments 3
3 Investment Maturity Distribution Schedule 4
4 Attachment A: Investment Inventory With Market Value 5 1 CITY OF SANTA CLARA
SUMMARY OF INVESTMENT PORTFOLIO
All securities held by the City of Santa Clara as of January 31, 2022 were in compliance with the City's Investment Policy Statement regarding current market strategy and long-term goals and objectives. All securities held are rated “A” or higher by two nationally recognized rating agencies. There is adequate cash flow and maturity of investments to meet the City’s needs for the next six months.
The following table provides the breakdown of the total portfolio among the City, the Sports and Open Space Authority (SOSA), and the Housing Authority (HA) as of January 31, 2022.
On January 31, 2022 the cost value and market value of the City's unrestricted pooled investment portfolio were $794,495,008 and $790,073,442 respectively.
Investment Strategy and Market Update
The City's investment strategy for January 2022 was to invest funds not required to meet current obligations, in securities listed in the prevailing Investment Policy Statement, with maturities not to exceed five years from date of purchase. This strategy ensures safety of the City’s funds, provides liquidity to meet the City’s cash needs, and earns a reasonable portfolio return.
On July 14, 2020, City Council approved entering into a contra ct with PFM Asset Management LLC (“PFM”) for the management of the City’s investment portfolio. The City has leveraged PFM’s extensive investment management experience and dedicated credit and risk management personnel to further diversify the portfolio and enhance returns. PFM began actively managing the City’s securities portfolio on September 1, 2020.
As of January 31, 2022, 47.64% of the City’s portfolio consists of U.S. Treasury Notes, 27.07% consists of Federal Agencies, 5.64% consists of Local Agency Investment Fund (LAIF), 12.66% consists of investment grade Corporate Notes, 2.31% consists of investment grade Supranational Obligations, 1.45% consists of investment grade Asset-Back Securities, 2.30% consists of Negotiable Certificates of Deposit, and 0.52% consists of investment grade Municipal Bonds. In addition, City bond proceeds ar e invested in separate funds and are not included in the calculation of the City’s portfolio yield.
The City’s portfolio yield, including LAIF and money market accounts, was 1.19% and the average maturity of the City’s portfoli o was 1.99 years.
COST VALUE PERCENTAGE
City $90,437,274 99.49%
SOSA
8,493 0.00%
HA 4,049,241 0.51%
Unrestricted $794,495,008 100.00%
Restricted Bond Proceeds 2,146,380
Total Inves
tments $796,641,388
2 Traditionally the City has compared the portfolio yield to the 24-month moving average yield of the two-year Treasury Note (Benchmark Yield*). During 2021 annual Investment Policy review, the City evaluated alternate portfolio performance benchmarks in order to establish an independent standard to serve as a measure of the performance of the portfolio and to help guide the maturity structure of the portfolio. The City began using the 24-Month moving average yield of the ICE BaML 0-5 US Treasury Index as benchmark, effective March 23, 2021.
The City’s securities portfolio compared to the ICE BaML 0-5 US Treasury Index (Benchmark) as of January 31, 2022 was as follows:
Description
Average Maturity
(Years)
Yield to Maturity
(At Cost) 1
Santa Clara Portfolio 2.10 1.28%
Benchmark 2.23 0.35%
1. Yield to Maturity at Cost: The expected rate of return based on the original cost, annual interest receipts, maturity value, and the time period from purchase date to maturity, stated as a percentage on an annualized basis.
The Benchmark yield represents the 24-month moving average yield of the ICE BaML 0-5 US Treasury Index.
CITY OF SANTA CLARA
SUMMARY OF INVESTMENTS JANUARY 31, 2022
PER
COST % OF INVESTMENT
INVESTMENT TYPE VALUE PORTFOLIO POLICY
U.S. Treasury Notes 379,481,797 47.64% No Limit Federal Agency Notes 215,706,704 27.07% 80%
Corporate Notes 100,890,982 12.66% 15%
Municipal Bonds 4,145,000 0.52% 20%
Supranational Obligations 18,376,628 2.31% 10% Asset-Backed Securities 11,553,044 1.45% 20% Negotiable Certificates of Deposit 18,360,000 2.30% 25% Money Market Fund 1,086,872 0.14% 10% Per Fund Local Agency Investment Fund (LAIF) 44,893,981 5.64% $75 M Mutual Fund - Traffic Mitigation Bond Proceeds 2,146,380 0.27% 10% Per Fund TOTAL INVESTMENTS 796,641,388$ 100.00%
U.S. Treasury Notes
47.64%
Federal Agency Notes
27.08%
Corporate Notes
12.66%
Municipal Bonds
0.52%
Supranational Obligations
2.31%
Asset‐Backed Securities
1.45%
Negotiable Certificates of
Deposit
2.30%
Money Market Fund
0.14%
Local Agency Investment Fund
(LAIF)
5.64%
Mutual Fund ‐ Traffic
Mitigation Bond Proceeds
0.27%
3 CITY OF SANTA CLARA
INVESTMENT MATURITY DISTRIBUTION
AS OF JANUARY 31, 2022
UNRESTRICTED POOLED PORTFOLIO
MATURITY
(IN MONTHS) COST VALUE
DEMAND 45,980,853$ (a) 2 5.79%
0 TO 6 81,365,255 11 10.24%
7 TO 12 55,505,752 13 6.99%
13 TO 18 106,303,072 14 13.38%
19 TO 24 136,377,802 26 17.17%
25 TO 30 98,159,163 17 12.35%
31 TO 36 83,828,514 13 10.55%
37 TO 42 81,929,846 13 10.31%
43 TO 48 68,642,498 13 8.64%
49 TO 54 33,314,385 7 4.19%
55 TO 60 3,087,868 2 0.39%
TOTAL 794,495,008$ 131 100.00%
Average Maturity of Unrestricted Pool: 1.99 Years
(a) $20 m
illion is earmarked for the City's Electric Utility power-trading.
NUMBER OF
INVESTMENTS DISTRIBUTION
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
22%
24%
INVESTMENT MATURITY DISTRIBUTION
UNRESTRICTED POOLED PORTFOLIO
AS OF JANUARY 31, 2022
Maturity (Months)
Distribution Percentage
4 City of Santa Clara Monthly Report
1/31/2022
Description Issue Date Coupon Rate Maturity Date CUSIP Par Value S&P Rating Settle Date Cost Value YTM at Cost Market Value Unrealized G/L UNITED STATES TREASURY 3/2/2015 1.750% 2/28/2022 912828J43 2, 800,000.00 AA+ 3/3/2017 2,735,687.50 2.24% 2,803,500.00 67,812.50 UNITED STATES TREASURY 3/31/2017 1.875% 3/31/2022 912828W89 5, 000,000.00 AA+ 1/24/2018 4,902,343.75 2.37% 5,013,700.00 111,356.25 UNITED STATES TREASURY 5/1/2017 1.875% 4/30/2022 912828X47 5, 000,000.00 AA+ 1/19/2018 4,901,757.81 2.36% 5,020,200.00 118,442.19 UNITED STATES TREASURY 6/1/2015 1.875% 5/31/2022 912828XD7 5, 000,000.00 AA+ 6/8/2017 5,024,218.75 1.77% 5,025,200.00 981.25 UNITED STATES TREASURY 6/30/2015 2.125% 6/30/2022 912828XG0 25,000, 000.00 AA+ 12/21/2018 25,448,046.88 1.60% 25,175,750.00 -272,296.88 UNITED STATES TREASURY 7/31/2017 1.875% 7/31/2022 9128282P4 5, 000,000.00 AA+ 3/26/2018 4,853,515.63 2.59% 5,034,400.00 180,884.37 UNITED STATES TREASURY 8/31/2015 1.875% 8/31/2022 912828L24 5,000, 000.00 AA+ 9/28/2017 4,991,015.00 1.91% 5,038,500.00 47,485.00 UNITED STATES TREASURY 10/2/2017 1.875% 9/30/2022 9128282W9 5, 000,000.00 AA+ 4/19/2018 4,820,117.19 2.74% 5,043,150.00 223,032.81 UNITED STATES TREASURY 9/30/2015 1.750% 9/30/2022 912828L57 5,000, 000.00 AA+ 10/5/2017 4,950,781.25 1.96% 5,038,650.00 87,868.75 UNITED STATES TREASURY 11/2/2015 1.875% 10/31/2022 912828M49 5, 000,000.00 AA+ 10/25/2017 4,953,515.63 2.07% 5,046,500.00 92,984.37 UNITED STATES TREASURY 11/30/2015 2.000% 11/30/2022 912828M80 5, 000,000.00 AA+ 12/15/2017 4,960,546.88 2.17% 5,052,550.00 92,003.12 UNITED STATES TREASURY 12/31/2015 2.125% 12/31/2022 912828N30 1, 300,000.00 AA+ 5/14/2018 1,260,187.50 2.84% 1,315,847.00 55,659.50 UNITED STATES TREASURY 1/15/2020 1.500% 1/15/2023 912828Z29 2,850, 000.00 AA+ 4/20/2020 2,947,968.75 0.24% 2,868,924.00 -79,044.75 UNITED STATES TREASURY 2/1/2016 1.750% 1/31/2023 912828P38 5, 000,000.00 AA+ 2/13/2018 4,810,937.50 2.57% 5,045,900.00 234,962.50 UNITED STATES TREASURY 2/29/2016 1.500% 2/28/2023 912828P79 10, 000,000.00 AA+ 2/27/2018 9,450,000.00 2.68% 10,069,900.00 619,900.00 UNITED STATES TREASURY 3/31/2016 1.500% 3/31/2023 912828Q29 10, 000,000.00 AA+ 4/10/2018 9,479,290.00 2.62% 10,072,300.00 593,010.00 UNITED STATES TREASURY 3/31/2021 0.125% 3/31/2023 91282CBU4 5, 000,000.00 AA+ 6/29/2021 4,992,187.50 0.21% 4,955,300.00 -36,887.50 UNITED STATES TREASURY 5/2/2016 1.625% 4/30/2023 912828R28 10, 000,000.00 AA+ 5/8/2018 9,446,875.00 2.82% 10,085,900.00 639,025.00 UNITED STATES TREASURY 5/31/2016 1.625% 5/31/2023 912828R69 10, 000,000.00 AA+ 7/16/2018 9,484,375.00 2.76% 10,089,500.00 605,125.00 UNITED STATES TREASURY 7/2/2018 2.625% 6/30/2023 9128284U1 5,030, 000.00 AA+ 8/26/2021 5,252,616.80 0.22% 5,145,337.90 -107,278.90 UNITED STATES TREASURY 6/30/2016 1.375% 6/30/2023 912828S35 20, 000,000.00 AA+ 1/17/2019 20,053,710.95 1.31% 20,105,400.00 51,689.05 UNITED STATES TREASURY 7/31/2018 2.750% 7/31/2023 912828Y61 10, 000,000.00 AA+ 9/18/2018 9,918,710.94 2.93% 10,256,300.00 337,589.06 UNITED STATES TREASURY 8/31/2016 1.375% 8/31/2023 9128282D1 5, 000,000.00 AA+ 9/12/2018 4,657,031.25 2.87% 5,024,600.00 367,568.75 UNITED STATES TREASURY 9/30/2016 1.375% 9/30/2023 912828T26 7, 500,000.00 AA+ 11/13/2018 6,947,167.97 3.01% 7,536,075.00 588,907.03 UNITED STATES TREASURY 10/15/2020 0.125% 10/15/2023 91282CAP6 5,260, 000.00 AA+ 3/26/2021 5,248,288.28 0.21% 5,173,315.20 -74,973.08 UNITED STATES TREASURY 10/31/2016 1.625% 10/31/2023 912828T91 5, 000,000.00 AA+ 1/25/2019 4,787,695.31 2.58% 5,043,950.00 256,254.69 UNITED STATES TREASURY 11/30/2018 2.875% 11/30/2023 9128285P1 9,745, 000.00 AA+ 6/23/2021 10,349,875.20 0.32% 10,051,480.25 -298,394.95 UNITED STATES TREASURY 11/30/2016 2.125% 11/30/2023 912828U57 10,000, 000.00 AA+ 2/28/2019 10,251,562.50 1.57% 10,177,300.00 -74,262.50 UNITED STATES TREASURY 1/3/2017 2.250% 12/31/2023 912828V23 5, 000,000.00 AA+ 3/13/2019 4,957,812.50 2.44% 5,102,550.00 144,737.50 UNITED STATES TREASURY 1/15/2021 0.125% 1/15/2024 91282CBE0 5,000, 000.00 AA+ 3/26/2021 4,981,445.31 0.26% 4,898,650.00 -82,795.31 UNITED STATES TREASURY 1/15/2021 0.125% 1/15/2024 91282CBE0 2,510, 000.00 AA+ 3/31/2021 2,497,744.14 0.30% 2,459,122.30 -38,621.84 UNITED STATES TREASURY 1/15/2021 0.125% 1/15/2024 91282CBE0 11,000, 000.00 AA+ 6/11/2021 10,972,500.00 0.22% 10,777,030.00 -195,470.00 UNITED STATES TREASURY 1/15/2021 0.125% 1/15/2024 91282CBE0 5,525, 000.00 AA+ 7/14/2021 5,497,375.00 0.33% 5,413,008.25 -84,366.75 UNITED STATES TREASURY 1/31/2019 2.500% 1/31/2024 9128285Z9 5,000, 000.00 AA+ 4/14/2020 5,407,421.88 0.34% 5,130,100.00 -277,321.88 UNITED STATES TREASURY 2/28/2017 2.125% 2/29/2024 912828W48 1, 625,000.00 AA+ 4/15/2021 1,637,941.42 0.31% 1,656,102.50 18,161.08 UNITED STATES TREASURY 4/15/2021 0.375% 4/15/2024 91282CBV2 5,415, 000.00 AA+ 10/15/2021 5,397,443.55 0.51% 5,315,147.40 -82,296.15 UNITED STATES TREASURY 5/1/2017 2.000% 4/30/2024 912828X70 5, 000,000.00 AA+ 5/16/2019 4,952,734.38 2.20% 5,085,150.00 132,415.62 UNITED STATES TREASURY 5/15/2014 2.500% 5/15/2024 912828WJ5 6,050, 000.00 AA+ 8/16/2019 6,332,174.65 1.48% 6,220,852.00 -111,322.65 UNITED STATES TREASURY 6/30/2019 1.750% 6/30/2024 9128286Z8 7, 250,000.00 AA+ 12/12/2019 7,253,398.44 1.74% 7,331,852.50 78,454.06 UNITED STATES TREASURY 6/30/2017 2.000% 6/30/2024 912828XX3 5,000, 000.00 AA+ 8/29/2019 5,136,328.13 1.41% 5,086,350.00 -49,978.13 UNITED STATES TREASURY 7/15/2021 0.375% 7/15/2024 91282CCL3 5, 250,000.00 AA+ 9/10/2021 5,246,718.75 0.40% 5,135,340.00 -111,378.75 UNITED STATES TREASURY 7/31/2017 2.125% 7/31/2024 9128282N9 5,000, 000.00 AA+ 9/10/2019 5,133,315.75 1.56% 5,104,500.00 -28,815.75 UNITED STATES TREASURY 8/31/2017 1.875% 8/31/2024 9128282U3 2,985, 000.00 AA+ 3/10/2020 3,149,640.66 0.62% 3,028,491.45 -121,149.21 UNITED STATES TREASURY 8/31/2019 1.250% 8/31/2024 912828YE4 4,750, 000.00 AA+ 1/5/2021 4,928,867.19 0.21% 4,743,302.50 -185,564.69 UNITED STATES TREASURY 10/31/2017 2.250% 10/31/2024 9128283D0 10,000, 000.00 AA+ 11/18/2019 10,290,625.00 1.64% 10,244,900.00 -45,725.00 UNITED STATES TREASURY 11/30/2017 2.125% 11/30/2024 9128283J7 5,000, 000.00 AA+ 1/6/2020 5,118,945.31 1.62% 5,105,650.00 -13,295.31 UNITED STATES TREASURY 1/2/2018 2.250% 12/31/2024 9128283P3 10,000, 000.00 AA+ 1/7/2020 10,300,781.25 1.62% 10,251,600.00 -49,181.25 2/10/2022 4:37 PM 1 of 4
Attachment A
City of Santa Clara Monthly Report
1/31/2022
Description Issue Date Coupon Rate Maturity Date CUSIP Par Value S&P Rating Settle Date Cost Value YTM at Cost Market Value Unrealized G/L UNITED STATES TREASURY 1/31/2020 1.375% 1/31/2025 912828Z52 5,000, 000.00 AA+ 4/22/2020 5,238,671.88 0.37% 4,997,250.00 -241,421.88 UNITED STATES TREASURY 1/31/2020 1.375% 1/31/2025 912828Z52 1,950, 000.00 AA+ 5/7/2021 2,013,146.48 0.50% 1,948,927.50 -64,218.98 UNITED STATES TREASURY 2/28/2018 2.750% 2/28/2025 9128283Z1 6,200, 000.00 AA+ 3/6/2020 6,850,757.82 0.61% 6,451,162.00 -399,595.82 UNITED STATES TREASURY 8/31/2020 0.250% 8/31/2025 91282CAJ0 16, 330,000.00 AA+ 8/2/2021 16,153,942.19 0.52% 15,624,544.00 -529,398.19 UNITED STATES TREASURY 10/31/2020 0.250% 10/31/2025 91282CAT8 5, 400,000.00 AA+ 10/7/2021 5,285,882.83 0.78% 5,153,652.00 -132,230.83 UNITED STATES TREASURY 11/30/2020 0.375% 11/30/2025 91282CAZ4 4, 450,000.00 AA+ 11/4/2021 4,327,625.00 1.07% 4,260,029.50 -67,595.50 UNITED STATES TREASURY 12/31/2020 0.375% 12/31/2025 91282CBC4 3, 820,000.00 AA+ 5/3/2021 3,751,956.25 0.76% 3,653,333.40 -98,622.85 UNITED STATES TREASURY 1/31/2021 0.375% 1/31/2026 91282CBH3 8, 025,000.00 AA+ 11/30/2021 7,817,478.52 1.01% 7,661,708.25 -155,770.27 UNITED STATES TREASURY 1/31/2021 0.375% 1/31/2026 91282CBH3 4, 050,000.00 AA+ 1/6/2022 3,906,351.56 1.27% 3,866,656.50 -39,695.06 UNITED STATES TREASURY 2/28/2021 0.500% 2/28/2026 91282CBQ3 8, 100,000.00 AA+ 8/31/2021 8,027,226.56 0.70% 7,776,229.56 -250,997.00 UNITED STATES TREASURY 2/28/2021 0.500% 2/28/2026 91282CBQ3 5, 175,000.00 AA+ 12/7/2021 5,035,517.58 1.15% 4,945,468.44 -90,049.14 U.S. Treasury Bond / Note Subtotal 380,345,000.00 379,481,796.70 380,738,089.40 1,256,292.70 FANNIE MAE 10/6/2017 2.000% 10/5/2022 3135G0T78 5,000,000. 00 AA+ 1/26/2018 4,890,750.00 2.50% 5,047,650.00 156,900.00 FANNIE MAE 11/25/2020 0.250% 11/27/2023 3135G06H1 4,950,000. 00 AA+ 11/25/2020 4,944,357.00 0.29% 4,870,998.00 -73,359.00 FANNIE MAE 11/25/2020 0.250% 11/27/2023 3135G06H1 5,225,000. 00 AA+ 1/22/2021 5,230,799.75 0.21% 5,141,609.00 -89,190.75 FANNIE MAE 7/8/2019 1.750% 7/2/2024 3135G0V75 15,000,000. 00 AA+ 12/18/2019 15,566,089.75 0.90% 15,156,000.00 -410,089.75 FANNIE MAE 1/10/2020 1.625% 1/7/2025 3135G0X24 7,500,000. 00 AA+ 1/22/2020 7,499,025.00 1.63% 7,542,975.00 43,950.00 FANNIE MAE 4/24/2020 0.625% 4/22/2025 3135G03U5 10,000,000. 00 AA+ 5/7/2020 10,050,600.00 0.52% 9,750,300.00 -300,300.00 FANNIE MAE 11/12/2020 0.500% 11/7/2025 3135G06G3 1,860,000. 00 AA+ 12/29/2020 1,864,929.00 0.44% 1,790,194.20 -74,734.80 FNMA Medium Term Note Subtotal 49,535,000.00 50,046,550.50 49,299,726.20 -746,824.30 FEDERAL FARM CREDIT BANKS 10/14/2016 1.400% 4/14/2022 3133EGY S8 5,000,000.00 AA+ 2/4/2020 4,994,485.00 1.45% 5,011,700.00 17,215.00 FEDERAL FARM CREDIT BANKS 7/19/2019 1.850% 7/19/2022 3133EKVE3 5,000,000.00 AA+ 7/17/2019 4,994,300.00 1.89% 5,031,200.00 36,900.00 FEDERAL FARM CREDIT BANKS 8/5/2019 1.850% 8/5/2022 3133EKY J9 5,000,000.00 AA+ 8/13/2019 5,029,800.00 1.64% 5,034,150.00 4,350.00 FEDERAL FARM CREDIT BANKS 11/1/2017 2.080% 11/1/2022 3133EHM91 1,800,000.00 AA+ 10/7/2019 1,834,398.00 1.44% 1,818,918.00 -15,480.00 FEDERAL FARM CREDIT BANKS 3/16/2018 2.710% 12/16/2022 3133EJG U7 5,000,000.00 AA+ 3/28/2018 5,015,935.00 2.64% 5,095,450.00 79,515.00 FEDERAL FARM CREDIT BANKS 6/19/2018 2.890% 6/19/2023 3133EJS D2 5,000,000.00 AA+ 11/28/2018 4,980,250.00 2.98% 5,139,700.00 159,450.00 FEDERAL FARM CREDIT BANKS 1/17/2020 1.600% 7/17/2023 3133ELH Z0 5,000,000.00 AA+ 1/16/2020 4,998,200.00 1.61% 5,051,000.00 52,800.00 FEDERAL FARM CREDIT BANKS 8/14/2018 2.900% 8/14/2023 3133EJW V7 5,000,000.00 AA+ 9/17/2018 4,977,050.00 3.00% 5,149,250.00 172,200.00 FEDERAL FARM CREDIT BANKS 10/2/2018 3.050% 10/2/2023 3133EJD 48 7,575,000.00 AA+ 11/27/2018 7,583,620.35 3.02% 7,829,747.25 246,126.90 FEDERAL FARM CREDIT BANKS 11/1/2017 2.200% 11/1/2023 3133EHN2 5 2,965,000.00 AA+ 6/26/2019 3,006,094.90 1.87% 3,023,529.10 17,434.20 FEDERAL FARM CREDIT BANKS 2/27/2019 2.610% 2/27/2024 3133EKBW 5 5,000,000.00 AA+ 3/20/2019 5,033,150.00 2.47% 5,140,850.00 107,700.00 FEDERAL FARM CREDIT BANKS 4/22/2019 2.450% 7/22/2024 3133EKHV1 5,000,000.00 AA+ 9/4/2019 5,250,650.00 1.38% 5,142,400.00 -108,250.00 FEDERAL FARM CREDIT BANKS 11/1/2019 1.650% 11/1/2024 3133EK4Y9 5,000,000.00 AA+ 11/8/2019 4,962,850.00 1.81% 5,042,850.00 80,000.00 FEDERAL FARM CREDIT BANKS 1/23/2020 1.650% 1/23/2025 3133ELJM7 7,320,000.00 AA+ 5/18/2020 7,689,367.20 0.56% 7,377,608.40 -311,758.80 FEDERAL FARM CREDIT BANKS 5/14/2020 0.500% 5/14/2025 3133ELZM9 10,000,000.00 AA+ 5/15/2020 9,982,800.00 0.53% 9,723,600.00 -259,200.00 FEDERAL FARM CREDIT BANKS 6/9/2020 0.500% 6/9/2025 3133ELH23 10,000,000.00 AA+ 6/12/2020 9,997,540.00 0.50% 9,711,500.00 -286,040.00 FFCB Medium Term Note Subtotal 89,660,000.00 90,330,490.45 90,323,452.75 -7,037.70 FEDERAL FARM CREDIT BANKS 7/2/2020 0.500% 7/2/2025 3133ELR71 10,000,000.00 AA+ 7/14/2020 10,017,640.00 0.46% 9,700,000.00 -317,640.00 FFCB Coupon Note Subtotal 10,000,000.00 10,017,640.00 9,700,000.00 -317,640.00 FEDERAL HOME LOAN BANKS 2/17/2012 2.250% 3/11/2022 313378CR0 5,000,000.00 AA+ 3/13/2020 5,150,900.00 0.72% 5,012,150.00 -138,750.00 FEDERAL HOME LOAN BANKS 8/15/2013 3.125% 9/9/2022 313383WD9 5,000,000.00 AA+ 12/12/2018 5,039,800.00 2.90% 5,076,800.00 37,000.00 FEDERAL HOME LOAN BANKS 10/17/2014 2.375% 9/8/2023 3130A3DL5 5,000,000.00 AA+ 9/5/2019 5,164,135.00 1.53% 5,100,000.00 -64,135.00 2/10/2022 4:37 PM 2 of 4
Attachment A
City of Santa Clara Monthly Report
1/31/2022
Description Issue Date Coupon Rate Maturity Date CUSIP Par Value S&P Rating Settle Date Cost Value YTM at Cost Market Value Unrealized G/L FEDERAL HOME LOAN BANKS 12/9/2013 3.375% 12/8/2023 3130A0F 70 5,000,000.00 AA+ 1/8/2019 5,147,870.00 2.73% 5,203,700.00 55,830.00 FEDERAL HOME LOAN BANKS 1/16/2015 2.250% 12/8/2023 3130A3VC5 5,000,000.00 AA+ 3/12/2020 5,282,425.00 0.72% 5,099,850.00 -182,575.00 FEDERAL HOME LOAN BANKS 5/8/2014 2.875% 6/14/2024 3130A1XJ2 5,000,000.00 AA+ 11/20/2019 5,270,205.00 1.64% 5,181,150.00 -89,055.00 FEDERAL HOME LOAN BANKS 11/6/2014 2.750% 12/13/2024 3130A3GE8 5,000,000.00 AA+ 3/12/2020 5,461,300.00 0.77% 5,190,800.00 -270,500.00 FHLB Medium Term Note Subtotal 35,000,000.00 36,516,635.00 35,864,450.00 -652,185.00 FREDDIE MAC 5/7/2020 0.375% 5/5/2023 3137EAER6 5,000,000. 00 AA+ 5/8/2020 5,014,545.00 0.28% 4,966,050.00 -48,495.00 FREDDIE MAC 9/4/2020 0.250% 9/8/2023 3137EAEW5 1,640,000. 00 AA+ 9/4/2020 1,640,761.21 0.24% 1,618,926.00 -21,835.21 FREDDIE MAC 9/4/2020 0.250% 9/8/2023 3137EAEW5 4,295,000. 00 AA+ 9/4/2020 4,293,582.65 0.26% 4,239,809.25 -53,773.40 FREDDIE MAC 10/16/2020 0.125% 10/16/2023 3137EAEY1 3,270,000. 00 AA+ 10/16/2020 3,257,802.90 0.25% 3,215,783.40 -42,019.50 FREDDIE MAC 2/14/2020 1.500% 2/12/2025 3137EAEP0 5,000,000. 00 AA+ 5/20/2020 5,226,960.00 0.53% 5,014,300.00 -212,660.00 FREDDIE MAC 9/25/2020 0.375% 9/23/2025 3137EAEX3 9,390,000. 00 AA+ 9/25/2020 9,361,736.10 0.44% 9,006,981.90 -354,754.20 FHLMC Medium Term Note Subtotal 28,595,000.00 28,795,387.86 28,061,850.55 -733,537.31
INTER-AMERICAN
DEVELOPMENT BANK 9/23/2021 0.500% 9/23/2024 4581X0DZ8 11,065,000.00 AAA 9/23/2021 11,056,811.90 0.52% 10,818,582.45 -238,229.45
INTL BANK OF
RECONSTRUCTION AND DEV 4/20/2021 0.126% 4/20/2023 459058JV6 7,335,000.00 AAA 4/20/2021 7,319,816.55 0.23% 7,260,696.45 -59,120.10 Supranational Subtotal 18,400,000.00 18,376,628.45 18,079,278.90 -297,349.55
CALIFORNIA EARTHQUAKE
AUTHORITY 11/24/2020 1.477% 7/1/2023 13017HAK2 1,430,000.00 NR 11/ 24/2020 1,430,000.00 1.48% 1,435,948.80 5,948.80
LOS ANGELES COMMUNITY
COLLEGE DISTRICT C 11/10/2020 0.773% 8/1/2025 54438CYK2 2,715,000.00 AA+ 11/10/2020 2,715,000.00 0.77% 2,636,753.70 -78,246.30 Municipals Subtotal 4,145,000.00 4,145,000.00 4,072,702.50 -72,297.50 3M COMPANY 9/14/2018 3.250% 2/14/2024 88579YBB6 5,000,000. 00 A+ 11/29/2021 5,241,250.00 1.03% 5,194,750.00 -46,500.00 ADOBE INC 1/26/2015 3.250% 2/1/2025 00724FAC5 4,000,000.00 A+ 1/26/2022 4,183, 680.00 1.68% 4,167,880.00 -15,800.00 ALPHABET INC 4/27/2016 3.375% 2/25/2024 02079KAB3 5,330,000. 00 AA+ 11/23/2021 5,642,444.60 0.75% 5,549,489.40 -92,955.20 AMAZON.COM INC 5/12/2021 0.450% 5/12/2024 023135BW5 4,245, 000.00 AA 5/12/2021 4,238,802.30 0.50% 4,153,308.00 -85,494.30 APPLE INC 11/13/2017 2.750% 1/13/2025 037833DF4 5,000,000.00 AA+ 3/9/2021 5,340,100.00 0.94% 5,157,100.00 -183,000.00 APPLE INC 11/13/2017 2.750% 1/13/2025 037833DF4 5,000,000.00 AA+ 3/29/2021 5,355,200.00 0.84% 5,157,100.00 -198,100.00 BANK OF AMERICA 7/23/2013 4.100% 7/ 24/2023 06053FAA7 4,070,000.00 A- 9/15/2020 4,482,494.50 0.52% 4,239,719.00 -242,775.50 BANK OF NY MELLON CORP 1/28/2021 0.750% 1/28/2026 06406RAQ0 9 ,000,000.00 A 2/10/2021 9,025,920.00 0.69% 8,629,830.00 -396,090.00 BRISTOL-MYERS SQUIBB CO 11/13/2020 0.750% 11/13/2025 110122DN5 5, 725,000.00 A+ 6/30/2021 5,672,673.50 0.96% 5,478,023.50 -194,650.00
CATERPILLAR FINANCIAL
SERVICES CORP 1/10/2022 0.950% 1/10/2024 14913R2S5 2,535,000.00 A 1/10/2022 2,534,594.40 0.96% 2,514,136.95 -20,457.45 HONEYWELL INTERNATIONAL 5/18/2020 1.350% 6/1/2025 438516CB0 5,000,000.00 A 9/8/2021 5,097,900.00 0.82% 4,938,300.00 -159,600.00 JOHN DEERE CAPITAL CORP 6/17/2021 1.050% 6/17/2026 24422EVR7 5 ,000,000.00 A 12/8/2021 4,908,600.00 1.47% 4,825,750.00 -82,850.00 JOHNSON & JOHNSON 8/25/2020 0.550% 9/1/2025 478160CN2 5,000,000.00 AAA 9/3/2020 5,023,550.00 0.45% 4,791,300.00 -232,250.00 JPMORGAN CHASE & CO 9/16/2020 0.653% 9/16/2024 46647PBS4 2,675, 000.00 A- 9/16/2020 2,675,000.00 0.65% 2,636,266.00 -38,734.00 JPMORGAN CHASE & CO 8/10/2021 0.768% 8/9/2025 46647PCM6 2, 340,000.00 A- 8/10/2021 2,340,000.00 0.77% 2,271,742.20 -68,257.80 MASTERCARD INC 12/3/2019 2.000% 3/3/2025 57636QAN4 5,000, 000.00 A+ 3/9/2021 5,213,450.00 0.91% 5,049,050.00 -164,400.00 MERCK & CO INC 3/7/2019 2.900% 3/7/2024 58933YAU9 5,375, 000.00 A+ 11/23/2021 5,623,916.25 0.85% 5,541,195.00 -82,721.25 MICROSOFT CORP 2/6/2017 2.875% 2/6/2024 594918BX1 5,000,000. 00 AAA 11/29/2021 5,202,600.00 1.00% 5,143,300.00 -59,300.00 MICROSOFT CORP 2/12/2015 2.700% 2/12/2025 594918BB9 5,000,000. 00 AAA 3/9/2021 5,341,700.00 0.92% 5,137,950.00 -203,750.00 TARGET CORP 1/24/2022 1.950% 1/15/2027 87612EBM7 990,000.00 A 1/24/2022 988,317.00 1.99% 988,891.20 574.20 2/10/2022 4:37 PM 3 of 4
Attachment A
City of Santa Clara Monthly Report
1/31/2022
Description Issue Date Coupon Rate Maturity Date CUSIP Par Value S&P Rating Settle Date Cost Value YTM at Cost Market Value Unrealized G/L TOYOTA MOTOR CREDIT CORP 1/11/2021 0.450% 1/11/2024 89236THU2 6,100,000.00 A+ 1/11/2021 6,099,634.00 0.45% 5,985,930.00 -113,704.00 UNILEVER CAPITAL CORP 9/14/2020 0.375% 9/14/2023 904764BJ5 660,000.00 A+ 9/14/2020 659,155.20 0.42% 649,611.60 -9,543.60 Corporate Note Subtotal 98,045,000.00 100,890,981.75 98,200,622.85 -2,690,358.90 CARMAX AUTO OWNER TRUST 4/21/2021 0.520% 2/17/2026 14314QAC8 2,375,000.00 AAA 4/21/2021 2,374,488.19 0.52% 2,353,197.50 -21,290.69
DISCOVER CARD EXECUTION
NOTE TRUST 9/27/2021 0.580% 9/15/2026 254683CP8 2,100,000.00 AAA 9/27/2021 2,099,550.39 0.58% 2,053,506.00 -46,044.39
HONDA AUTO RECEIVABLES
OWNER T 11/24/2021 0.880% 1/21/2026 43815GAC3 1,615,000.00 NR 11/ 24/2021 1,614,659.56 0.89% 1,596,815.10 -17,844.46
HYUNDAI AUTO RECEIVABLES
TRUST 4/28/2021 0.380% 9/15/2025 44933LAC7 1,575,000.00 AAA 4/28/2021 1,574,834.31 0.38% 1,558,541.25 -16,293.06
HYUNDAI AUTO RECEIVABLES
TRUST 11/17/2021 0.740% 5/15/2026 44935FAD6 1,245,000.00 AAA 11/17/2021 1,244,722.12 0.75% 1,228,068.00 -16,654.12
TOYOTA AUTO RECEIVABLES
OWNER 9/27/2021 0.430% 1/15/2026 89239BAC5 2,645,000.00 AAA 9/27/2021 2,644,789.19 0.43% 2,601,331.05 -43,458.14 Asset-Backed Security Subtotal 11,555,000.00 11,553,043.76 11,391,458.90 -161,584.86 BARCLAYS BANK PLC 2/12/2021 0.290% 2/4/2022 06742TWL6 11, 000,000.00 A-1 2/12/2021 11,000,000.00 0.29% 11,000,220.00 220.00 HSBC BANK USA NA 2/26/2021 0.250% 2/25/2022 40435RKU4 7,360,000.00 A-1 2/26/2021 7,360,000.00 0.25% 7,360,736.00 736.00 Certificate of Deposit Subtotal 18,360,000.00 18,360,000.00 18,360,956.00 956.00
WELLS FARGO PUBLIC
INSTITUTION 2/1/2022 992995944 1,086,872.51 9/1/2020 1,086,872.51 0.07% 1,086,872.51 -
LOCAL AGENCY
INVESTMENT
FUND 2/1/2022 44,893,981.38 9/30/1997 44,893,981.38 0.62% 44,893,981.38 - DREY
FUS TREASURY 2/1/2022 2,146,379.73 10/31/1997 2,146,379.73 0.03% 2,146,379.73 - Cash Equiv
alent Subtotal 48,127,233.62 48,127,233.62 48,127,233.62 - Grand T
otal Count 132 791,767,233.62 796,641,388.09 792,219,821.67 (4,421,566.42) 2/10/2022 4:37 PM 4 of 4
Attachment A