_____________________________________________________________________
MONTHLY INVESTMENT REPORT
November 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 November 30, 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 nationa lly 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 November 30, 2022.
On November 30, 2022 the cost value and market value of the City's unrestricted pooled investment portfolio were $870,259,185 and $829,400,259 respectively.
Investment Strategy and Market Update
The City's investment strategy for November 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 fr om date of purchase. This strategy ensu res 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 lever aged 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 November 30, 2022, 42.10% of the City’s portfolio consists of U.S. Treasury Notes, 21.07% consists of Federal Agencies,
19.66% consists of investment grade Corporate Notes, 8.05% c onsists of Local Agency Investment Fund (LAIF), 2.88% consists of California Asset Management Program (CAMP), 2.11% consists of investment grade Supranational Obligations, 2.09% consists of Negotiable Certificates of Deposit, 1.32% consists of investment grade Asset-Back Securities, and 0.48% consists of investment grade Municipal Bonds. In addition, City bond proceeds are invested in separate funds and are not included in the calculation of the City’s portfolio yield.
The City’s portfolio yield, including LAIF, CAMP, and money market accounts, was 1.71% and the average maturity of the City’s portfolio was 1.95 years.
COST VALUE PERCENTAGE
City $866,043,278 99.52%
SOSA 305 0.00%
HA 4,215,602 0.48% Unrestricted $870,259,185 100.00%
Restricted Bond Proceeds 2,172,426
Total Investments $872,431,611
2 The City’s securities portfolio compared to the Benchmark ICE Ba ML 1-5 US Treasury Index as of November 30, 2022 was as follows:
Description
Average Maturity
(Years)
Yield to Maturity
(At Cost) 1
Santa Clara Portfolio 2.19 1.63%
1-5 US Treasury 2.59 1.59%
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.
CITY OF SANTA CLARA
SUMMARY OF INVESTMENTS NOVEMBER 30, 2022
PER
COST % OF INVESTMENT
INVESTMENT TYPE VALUE PORTFOLIO POLICY
U.S. Treasury Notes 367,283,777 42.10% No Limit Federal Agency Notes 183,754,337 21.07% 80%
Corporate Notes 171,517,009 19.66% 25%
Municipal Bonds 4,145,000 0.48% 20%
Supranational Obligations 18,376,628 2.11% 20% Asset-Backed Securities 11,542,003 1.32% 10% Negotiable Certificates of Deposit 18,270,000 2.09% 30% Money Market Fund 14,406 0.00% 10% Per Fund Local Agency Investment Fund (LAIF) 70,258,380 8.05% $75 M California Asset Management Program (CAMP) 25,097,645 2.88% No Limit Mutual Fund - Traffic Mitigation Bond Proceeds 2,172,426 0.24% 10% Per Fund TOTAL INVESTMENTS 872,431,611$ 100.00%
U.S. Treasury Notes
42.10%
Federal Agency Notes
21.06%
Corporate Notes
19.66%
Municipal Bonds
0.48%
Supranational Obligations
2.11%
Asset‐Backed Securities
1.32%
Negotiable Certificates of Deposit
2.09%
Money Market Fund
0.00%
Local Agency Investment Fund
(LAIF)
8.05%
California Asset Management
Program (CAMP)
2.88% Mutual Fund ‐ Traffic
Mitigation Bond Proceeds
0.24%
3 CITY OF SANTA CLARA
INVESTMENT MATURITY DISTRIBUTION
AS OF NOVEMBER 30, 2022
UNRESTRICTED POOLED PORTFOLIO
MATURITY
(IN MONTHS) COST VALUE
DEMAND 95,370,431$ (a) 3 10.96%
0 TO 6 23,334,362 3 2.68%
7 TO 12 134,114,963 23 15.41%
13 TO 18 109,492,806 23 12.58%
19 TO 24 93,190,501 14 10.71%
25 TO 30 116,236,516 20 13.36%
31 TO 36 89,805,546 18 10.32%
37 TO 42 87,635,823 19 10.07%
43 TO 48 33,660,152 6 3.87%
49 TO 54 56,411,714 13 6.48%
55 TO 60 31,006,371 5 3.56%
TOTAL 870,259,185$ 147 100.00%
Average Maturity of Unrestricted Pool: 1.95 Years
(a) $20 million 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 NOVEMBER 30, 2022
Maturity (Months)
Distribution Percentage
4 City of Santa Clara Monthly Report
11/30/2022
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 7/2/2018 2.625% 6/30/2023 9128284U1 5,030, 000.00 AA+ 8/26/2021 5,252,616.80 0.22% 4,972,808.90 -279,807.90 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% 19,619,600.00 -434,110.95 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% 9,875,800.00 -42,910.94 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% 4,876,000.00 218,968.75 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% 7,293,450.00 346,282.03 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% 5,052,072.20 -196,216.08 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% 4,861,700.00 74,004.69 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% 9,563,840.45 -786,034.75 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% 9,743,400.00 -508,162.50 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% 4,868,350.00 -89,462.50 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% 4,753,700.00 -227,745.31 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% 2,386,357.40 -111,386.74 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% 10,458,140.00 -514,360.00 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% 5,252,838.50 -244,536.50 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% 4,878,300.00 -529,121.88 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% 1,575,421.25 -62,520.17 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% 5,111,056.05 -286,387.50 UNITED STATES TREASURY 4/30/2019 2.250% 4/30/2024 9128286R6 3,825, 000.00 AA+ 3/25/2022 3,827,838.87 2.21% 3,701,146.50 -126,692.37 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% 4,821,100.00 -131,634.38 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% 5,871,101.50 -461,073.15 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% 6,945,282.50 -308,115.94 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% 4,807,400.00 -328,928.13 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% 4,913,685.00 -333,033.75 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% 4,807,400.00 -325,915.75 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% 2,853,719.70 -295,920.96 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% 4,493,405.00 -435,462.19 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% 9,610,900.00 -679,725.00 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% 4,788,500.00 -330,445.31 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% 9,588,700.00 -712,081.25 UNITED STATES TREASURY 1/15/2022 1.125% 1/15/2025 91282CDS7 2, 095,000.00 AA+ 4/12/2022 2,007,026.37 2.71% 1,959,893.45 -47,132.92 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% 4,701,950.00 -536,721.88 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% 1,833,760.50 -179,385.98 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% 5,999,740.00 -851,017.82 UNITED STATES TREASURY 8/31/2020 0.250% 8/31/2025 91282CAJ0 4, 120,000.00 AA+ 8/2/2021 4,075,581.25 0.52% 3,707,340.80 -368,240.45 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% 4,839,750.00 -446,132.83 UNITED STATES TREASURY 10/31/2020 0.250% 10/31/2025 91282CAT8 5, 510,000.00 AA+ 6/7/2022 5,024,216.02 3.00% 4,938,337.50 -85,878.52 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% 3,988,846.50 -338,778.50 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% 3,419,931.40 -332,024.85 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% 7,155,732.00 -661,746.52 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% 3,611,304.01 -295,047.55 UNITED STATES TREASURY 1/31/2021 0.375% 1/31/2026 91282CBH3 7, 735,000.00 AA+ 2/25/2022 7,305,949.22 1.84% 6,897,144.80 -408,804.42 UNITED STATES TREASURY 1/31/2021 0.375% 1/31/2026 91282CBH3 8, 710,000.00 AA+ 5/3/2022 7,905,345.70 3.00% 7,766,532.79 -138,812.91 UNITED STATES TREASURY 2/28/2021 0.500% 2/28/2026 91282CBQ3 3, 575,000.00 AA+ 8/31/2021 3,574,577.43 0.70% 3,191,938.76 -382,638.67 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% 4,620,498.74 -415,018.84 UNITED STATES TREASURY 5/31/2021 0.750% 5/31/2026 91282CCF6 5, 860,000.00 AA+ 3/21/2022 5,520,989.84 2.20% 5,238,312.60 -282,677.24 UNITED STATES TREASURY 5/31/2021 0.750% 5/31/2026 91282CCF6 9, 250,000.00 AA+ 6/8/2022 8,477,480.47 2.99% 8,268,667.50 -208,812.97 UNITED STATES TREASURY 8/15/2016 1.500% 8/15/2026 9128282A7 5,350, 000.00 AA+ 8/15/2022 5,033,388.67 3.08% 4,893,163.50 -140,225.17 12/8/2022 12:29 PM 1 of 4
Attachment A
City of Santa Clara Monthly Report
11/30/2022
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 9/30/2021 0.875% 9/30/2026 91282CCZ2 8, 500,000.00 AA+ 4/5/2022 7,878,769.53 2.61% 7,571,970.00 -306,799.53 UNITED STATES TREASURY 10/31/2021 1.125% 10/31/2026 91282CDG3 5, 700,000.00 AA+ 8/8/2022 5,267,601.56 3.05% 5,118,429.00 -149,172.56 UNITED STATES TREASURY 11/15/2016 2.000% 11/15/2026 912828U24 8,840, 000.00 AA+ 6/8/2022 8,472,242.19 3.01% 8,210,503.60 -261,738.59 UNITED STATES TREASURY 12/31/2021 1.250% 12/31/2026 91282CDQ1 5, 340,000.00 AA+ 4/14/2022 5,000,617.97 2.69% 4,803,490.20 -197,127.77 UNITED STATES TREASURY 2/15/2017 2.250% 2/15/2027 912828V98 2,100, 000.00 AA+ 4/20/2022 2,040,691.41 2.88% 1,964,319.00 -76,372.41 UNITED STATES TREASURY 2/15/2017 2.250% 2/15/2027 912828V98 5,400, 000.00 AA+ 6/13/2022 5,159,109.38 3.29% 5,051,106.00 -108,003.38 UNITED STATES TREASURY 2/15/2017 2.250% 2/15/2027 912828V98 7,910, 000.00 AA+ 7/7/2022 7,705,452.34 2.85% 7,398,934.90 -306,517.44 UNITED STATES TREASURY 3/31/2022 2.500% 3/31/2027 91282CEF 4 940,000.00 AA+ 11/30/2022 883,159.38 4.03% 887,679.60 4,520.22 UNITED STATES TREASURY 4/30/2020 0.500% 4/30/2027 912828ZN3 7,000, 000.00 AA+ 8/3/2022 6,262,812.50 2.89% 6,052,550.00 -210,262.50 UNITED STATES TREASURY 5/15/2017 2.375% 5/15/2027 912828X88 5,400, 000.00 AA+ 8/8/2022 5,248,546.88 3.01% 5,066,496.00 -182,050.88 UNITED STATES TREASURY 6/30/2020 0.500% 6/30/2027 912828ZV5 5,675, 000.00 AA+ 8/15/2022 5,034,789.06 3.00% 4,878,059.75 -156,729.31 UNITED STATES TREASURY 7/31/2022 2.750% 7/31/2027 91282CFB2 10, 800,000.00 AA+ 9/14/2022 10,392,046.88 3.60% 10,290,348.00 -101,698.88 UNITED STATES TREASURY 8/15/2017 2.250% 8/15/2027 9128282R0 11,115, 000.00 AA+ 9/6/2022 10,537,975.20 3.40% 10,351,732.95 -186,242.25 UNITED STATES TREASURY 9/30/2022 4.125% 9/30/2027 91282CFM8 3, 785,000.00 AA+ 11/3/2022 3,760,308.79 4.27% 3,831,139.15 70,830.36 U.S. Treasury Bond / Note Subtotal 373,500,000.00 367,283,777.34 350,854,777.95 -16,428,999.39 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% 4,729,675.50 -214,681.50 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% 4,992,435.25 -238,364.50 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% 14,366,550.00 -1,199,539.75 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% 7,080,150.00 -418,875.00 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% 9,158,300.00 -892,300.00 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% 1,671,619.20 -193,309.80 FNMA Medium Term Note Subtotal 44,535,000.00 45,155,800.50 41,998,729.95 -3,157,070.55 FEDERAL FARM CREDIT BANKS 6/19/2018 2.890% 6/19/2023 3133EJSD2 5,000,000.00 AA+ 11/28/2018 4,980,250.00 2.98% 4,946,650.00 -33,600.00 FEDERAL FARM CREDIT BANKS 1/17/2020 1.600% 7/17/2023 3133ELHZ0 5,000,000.00 AA+ 1/16/2020 4,998,200.00 1.61% 4,901,150.00 -97,050.00 FEDERAL FARM CREDIT BANKS 8/14/2018 2.900% 8/14/2023 3133EJWV7 5,000,000.00 AA+ 9/17/2018 4,977,050.00 3.00% 4,931,200.00 -45,850.00 FEDERAL FARM CREDIT BANKS 10/2/2018 3.050% 10/2/2023 3133EJD48 7,575,000.00 AA+ 11/27/2018 7,583,620.35 3.02% 7,458,799.50 -124,820.85 FEDERAL FARM CREDIT BANKS 11/1/2017 2.200% 11/1/2023 3133EHN25 2 ,965,000.00 AA+ 6/26/2019 3,006,094.90 1.87% 2,896,923.60 -109,171.30 FEDERAL FARM CREDIT BANKS 2/27/2019 2.610% 2/27/2024 3133EKBW5 5,000,000.00 AA+ 3/20/2019 5,033,150.00 2.47% 4,871,550.00 -161,600.00 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% 4,842,250.00 -408,400.00 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% 4,749,750.00 -213,100.00 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% 6,902,320.80 -787,046.40 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% 9,126,300.00 -856,500.00 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% 9,112,500.00 -885,040.00 FFCB Medium Term Note Subtotal 67,860,000.00 68,461,572.45 64,739,393.90 -3,722,178.55 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% 9,082,400.00 -935,240.00 FFCB Coupon Note Subtotal 10,000,000.00 10,017,640.00 9,082,400.00 -935,240.00 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% 4,910,000.00 -254,135.00 FEDERAL HOME LOAN BANKS 12/9/2013 3.375% 12/8/2023 3130A0F70 5,000,000.00 AA+ 1/8/2019 5,147,870.00 2.73% 4,927,850.00 -220,020.00 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% 4,873,750.00 -408,675.00 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% 4,863,950.00 -406,255.00 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% 4,831,800.00 -629,500.00 FHLB Medium Term Note Subtotal 25,000,000.00 26,325,935.00 24,407,350.00 -1,918,585.00 12/8/2022 12:29 PM 2 of 4
Attachment A
City of Santa Clara Monthly Report
11/30/2022
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 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% 4,910,400.00 -104,145.00 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% 1,583,288.80 -57,472.41 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% 4,146,478.90 -147,103.75 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% 3,138,644.10 -119,158.80 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% 4,702,000.00 -524,960.00 FREDDIE MAC 8/30/2022 4.050% 8/28/2025 3134GXS54 5,000,000. 00 AA+ 8/30/2022 4,998,000.00 4.06% 4,897,050.00 -100,950.00 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% 8,449,591.50 -912,144.60 FHLMC Medium Term Note Subtotal 33,595,000.00 33,793,387.86 31,827,453.30 -1,965,934.56
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% 10,304,059.95 -752,751.95
INTL BANK OF
RECONSTRUCTION AND DEV 4/20/2021 0.125% 4/20/2023 459058JV6 7,335,000.00 AAA 4/20/2021 7,319,816.55 0.23% 7,209,938.25 -109,878.30 Supranational Subtotal 18,400,000.00 18,376,628.45 17,513,998.20 -862,630.25
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% 1,395,794.40 -34,205.60
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% 2,445,970.65 -269,029.35 Municipals Subtotal 4,145,000.00 4,145,000.00 3,841,765.05 -303,234.95 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% 4,914,400.00 -326,850.00 3M COMPANY 3/27/2020 2.650% 4/15/2025 88579YBM2 2,560,000. 00 A+ 4/25/2022 2,511,616.00 3.32% 2,452,787.20 -58,828.80 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% 3,911,160.00 -272,520.00 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% 5,316,728.30 -325,716.30 AMAZON.COM INC 5/12/2021 0.450% 5/12/2024 023135BW5 245, 000.00 AA 5/12/2021 302,801.19 0.50% 231,265.30 -71,535.89 AMAZON.COM INC 5/12/2021 0.450% 5/12/2024 023135BW5 4,000, 000.00 AA 3/14/2022 3,874,280.00 1.94% 3,775,760.00 -98,520.00 AMAZON.COM INC 4/13/2022 3.300% 4/ 13/2027 023135CF1 6,715,000.00 AA 4/25/2022 6, 672,964.10 3.44% 6,437,939.10 -235,025.00 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% 4,836,050.00 -504,050.00 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% 4,836,050.00 -519,150.00 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% 4,053,597.90 -428,896.60 BANK OF AMERICA CORP 3/22/2022 3.384% 4/2/2026 06051GKM0 5, 000,000.00 A- 3/22/2022 5,005,100.00 3.36% 4,761,100.00 -244,000.00 BANK OF AMERICA CORP 4/22/2021 1.734% 7/22/2027 06051GJS9 1, 420,000.00 A- 8/10/2022 1,281,251.80 3.92% 1,244,246.60 -37,005.20 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% 8,003,520.00 -1,022,400.00 BLACKROCK INC 3/28/2017 3.200% 3/15/ 2027 09247XAN1 4,140,000.00 AA- 5/18/2022 4,085,352.00 3.50% 3,971,750.40 -113,601.60 BLACKROCK INC 3/28/2017 3.200% 3/15/ 2027 09247XAN1 4,140,000.00 AA- 5/18/2022 4,086,055.80 3.50% 3,971,750.40 -114,305.40 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% 5,161,660.00 -511,013.50
CATERPILLAR FINANCIAL SERVI
C 1/10/2022 0.950% 1/10/2024 14913R2S5 2,535,000.00 A 1/10/2022 2,534,594.40 0.96% 2,433,828.15 -100,766.25 CATERPILLAR FINANCIAL SERVIC 1/10/2022 0.950% 1/10/2024 14913R2S5 3,100,000.00 A 3/14/2022 3,045,409.00 1.94% 2,976,279.00 -69,130.00 ELI LILLY & CO 3/5/2015 2.750% 6/1/2025 532457BH0 5,415,000. 00 A+ 2/10/2022 5,559,255.60 1.91% 5,194,663.65 -364,591.95 HERSHEY COMPANY 8/21/2015 3.200% 8/21/2025 427866AU2 3,000, 000.00 A 3/30/2022 3,014,040.00 3.05% 2,899,110.00 -114,930.00 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% 4,635,300.00 -462,600.00 HONEYWELL INTERNATIONAL 5/18/2020 1.350% 6/1/2025 438516CB0 2,255,000.00 A 3/22/2022 2,181,960.55 2.41% 2,090,520.30 -91,440.25 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% 4,450,700.00 -457,900.00 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% 4,544,300.00 -479,250.00 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% 2,570,086.50 -104,913.50 12/8/2022 12:29 PM 3 of 4
Attachment A
City of Santa Clara Monthly Report
11/30/2022
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 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% 2,158,860.60 -181,139.40 JPMORGAN CHASE & CO 3/13/2020 2.005% 3/13/2026 46647PBH8 2, 800,000.00 A- 3/22/2022 2,712,500.00 2.84% 2,601,900.00 -110,600.00 JPMORGAN CHASE & CO 4/22/2021 1.578% 4/22/2027 46647PCB0 4, 100,000.00 A- 8/10/2022 3,710,746.00 3.80% 3,619,890.00 -90,856.00 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% 4,749,750.00 -463,700.00 MASTERCARD INC 12/3/2019 2.000% 3/3/2025 57636QAN4 5,000, 000.00 A+ 3/10/2022 4,990,800.00 2.06% 4,749,750.00 -241,050.00 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% 5,267,446.25 -356,470.00 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% 4,909,850.00 -292,750.00 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% 4,845,400.00 -496,300.00 QUALCOMM INC 5/20/2015 3.450% 5/20/2025 747525AF0 5,850,000. 00 A 5/19/2022 5,860,588.50 3.39% 5,714,631.00 -145,957.50 STATE STREET BANK & TR 2/7/2022 1.746% 2/6/2026 857477BR3 1,115,000.00 A 2/7/2022 1,115,000.00 1.75% 1,037,920.05 -77,079.95 STATE STREET BANK & TR 10/29/2020 2.901% 3/30/2026 857477BM4 4, 250,000.00 A 3/14/2022 4,275,372.50 2.74% 4,040,687.50 -234,685.00 TARGET CORP 1/24/2022 1.950% 1/15/2027 87612EBM7 990,000.00 A 1/24/2022 988,317.00 1.99% 905,008.50 -83,308.50 TARGET CORP 1/24/2022 1.950% 1/15/2027 87612EBM7 4,595,000. 00 A 2/1/2022 4,567,889.50 2.08% 4,200,519.25 -367,370.25 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% 5,812,995.00 -286,639.00 UNILEVER CAPITAL CORP 9/14/2020 0.375% 9/14/2023 904764BJ5 660,000.00 A+ 9/14/2020 659,155.20 0.42% 637,111.20 -22,044.00 WAL-MART STORES INC 6/27/2018 3.550% 6/26/2025 931142ED1 5, 700,000.00 AA 2/8/2022 6,011,847.00 1.87% 5,622,993.00 -388,854.00 Corporate Note Subtotal 169,200,000.00 171,517,008.99 160,549,265.15 -10,967,743.84 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% 2,277,292.50 -97,195.69
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% 1,946,574.00 -152,976.39
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% 1,526,788.70 -87,870.86
HYUNDAI AUTO RECEIVABLES
TRUST 4/28/2021 0.380% 9/15/2025 44933LAC7 1,563,958.37 AAA 4/28/2021 1,563,793.84 0.38% 1,507,530.75 -56,263.09
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% 1,169,764.65 -74,957.47
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% 2,509,126.35 -135,662.84 Asset-Backed Security Subtotal 11,543,958.37 11,542,003.29 10,937,076.95 -604,926.34 BARCLAYS BANK PLC 2/3/2022 1.050% 2/1/2023 06742TG34 11,000, 000.00 A-1 2/3/2022 11,000,000.00 1.05% 10,934,990.00 -65,010.00 TORONTO DOMINION BANK NY 10/31/2022 5.470% 10/25/2024 89115B6F 2 7,270,000.00 A 10/31/2022 7,270,000.00 5.44% 7,342,627.30 72,627.30 Certificate of Deposit Subtotal 18,270,000.00 18,270,000.00 18,277,617.30 7,617.30
PRINCIPAL PUBLIC DEPOSIT
SWEEP PROGRAM 2.00% 12/1/2022 992995944 14,405.79 9/1/2020 14,405.79 14,405.79 -
LOCAL AGENCY INVESTMENT
FUND 2.01% 12/1/2022 70,258,380.49 9/30/1997 70,258,380.49 70,258,380.49 -
CALIFORNIA ASSET
MANAGEMENT PROGRAM 3.90% 12/1/2022 25,097,644.67 10/4/2022 25,097,644.67 25,097,644.67 - DREYFUS TREASURY 3.62% 12/1/2022 2,172,426.21 10/31/1997 2,172,426.21 2,172,426.21 - Cash Equivalent Subtotal 97,542,857.16 97,542,857.16 97,542,857.16 - Grand Total Count 148 873,591,815.53
872,431,611.04 831,572,684.91 (40,858,926.13)
12/8/2022 12:29 PM 4 of 4
Attachment A