_____________________________________________________________________
MONTHLY INVESTMENT REPORT
January 2023
City of Santa Clara
Monthly Investment Report
TABLE OF CONTENTS
Page #
1 Summary of Investment Portfolio 1
2 Summary of Investments 5
3 Investment Maturity Distribution Schedule 6
4 Attachment A: Investment Inventory With Market Value 7 1 CITY OF SANTA CLARA
SUMMARY OF INVESTMENT PORTFOLIO
All securities held by the City of Santa Clara as of January 31, 2023 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, 2023.
On January 31, 2023 the cost value and market value of the City's unrestricted pooled investment portfolio were $881,794,171 and $847,719,714 respectively.
Investment Strategy and Market Update
Recession worries persist, but readings of consumer spending and business investment are still showing growth.
Strong labor market conditions and slowly but surely moderating inflation have kept the door open for a soft landing.
On February 1, the Federal Reserve (Fed) voted to raise the federal funds overnight target rate by 25 basis points (bps) to a new range of 4.50% to 4.75%. This marks a modest downshift following the 50 bp hike in December and the preceding four consecutive 75 bp hikes. Comments from Fed Chair Jerome Powell emphasized that the Fed anticipates “ongoing increases” may be needed to tame inflation. The Committee meets next on March 22, 2023.
The labor market remains strong as the economy added 517,000 jobs in January, significantly outpacing expectations of 189,000 and the prior release of 260,000. The unemployment rate fell to 3.4%. The Fed has reiterated that the current tightening cycle is likely to result in softening in the labor market, although these figures have yet to materialize that notion. As a result of the blockbuster January jobs report, market sentiment adjusted around expectations for a slightly higher terminal rate and reduced potential for rate cuts in 2023.
The benchmark 3-month, 2- and 10-year U.S. Treasury yields finished the month at 4.67%, 4.20%, and 3.51%, up 30 bps, down 23 bps, and down 37 basis points for the month, respectively.
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
COST VALUE PERCENTAGE
City $877,609,859 99.53%
SOSA 4,560 0.00%
HA 4,179,752 0.47% Unrestricted $881,794,171 100.00%
Restricted Bond Proceeds 2,187,517
Total Investments $883,981,687
2 of the City’s funds, provides liquidity to meet the City’s cash needs, and earns a reasonable portfolio return. PFM Asset Management LLC began actively managing the City’s securities portfolio on September 1, 2020.
As of January 31, 2023, 42.43% of the City’s portfolio consists of U.S. Treasury Notes, 21.85% consists of investment grade Corporate Notes, 19.66% consists of Federal Agencies, 10.80% consists of California Asset Management Program (CAMP), 1.26% consists of investment grade Asset-Back Securities, 1.25% consists of investment grade Supranational Obligations, 1.20% consists of Local Agency Investment Fund (LAIF), 0.82% consists of Negotiable Certificates of Deposit, and 0.47% 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.
U.S. Treasury Notes
42.43%
Federal Agen cy Notes
19.66%
Corporate Notes
21.85%
Municipal Bonds
0.47%
Supranational Obligations
1.25%
Asset -Backed Securities
1.26%
Negotiable Certificates
of De posit
0.82%
Mone y Ma rke t Fund
0.01% Loca l Agency Investment Fund
(LAIF)
1.20%
California Asset Management
Progra m (CAMP)
10.80%
Mutual Fund - Tra ffic
Mi ti gation Bond Proceeds
0.25%
3 The City’s securities portfolio is benchmarked against the ICE BAML 1-5 US Treasury Index.
1.91%
1.93%
2.04%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
Oct-20 Jan-21 Apr-21 Jul-21 Oct-21 Jan-22 Apr-22 Jul-22 Oct-22 Jan-23 Securities Portfolio Yield at Cost vs Index 24-Month Average of Yield at Market January 2023
Securities Portfolio (yield at cost)
City's Benchmark Index (24-month rolling average market yield) BofA 1-5 AAA-A Corp & Gov't Index (24-month rolling average market yield) 4 The following table summarizes the investment yields other information of the City’s investment portfolio components, along with comparable-maturity market indices. Also shown are the monthly interest income and aggregate year-to-date income.
Current Month
1/31/2023
Investment Yield
Liquidity Portfolio1 4.31%
LAIF average monthly yield 2.45%
Securities Portfolio2 1.91%
ICE BAML 1-5 US Treasury Index (24-month rolling average market yield) 1.93% ICE BAML 1-5 AAA-A US Corporate & Government Index (24-month rolling average market yield) 2.04%
City Portfolio (Liquidity + Securities) 2.21%
Investment Total Return*
Securities Portfolio 0.99%
ICE BAML 1-5 US Treasury Index 1.05%
ICE BAML 1-5 AAA-A US Corporate & Government Index 1.12%
Average Maturity of Investments (in years)
Liquidity Portfolio1 0.08
Securities Portfolio2 2.44
City Portfolio (Liquidity + Securities) 2.12
ICE BAML 1-5 US Treasury Index 2.61
ICE BAML 1-5 AAA-A US Corporate & Government Index 2.63
Interest Income Current Month3 $ 2,058,507
Interest Income Fiscal Year To Date3 $ 7,926,501
1. Consists of CAMP, LAIF, Dreyfus Traffic Mitigation Fund, & Principal Sweep Account
2. Core long term portfolio managed by PFM Asset Management
3. Cash basis
* Total rate of return including earnings, distributions, and capital appreciation/depreciation of all portfolio assets
5 CITY OF SANTA CLARA
SUMMARY OF INVESTMENTS JANUARY 31, 2023
PER
COST INVESTMENT
INVESTMENT TYPE VALUE
% OF
PORTFOLIO POLICY
U.S. Treasury Notes 375,095,218 42.43%
Federal Agency Notes 173,759,539 19.66%
Corporate Notes 193,149,674 21.85%
Municipal Bonds 4,145,000 0.47%
Supranational Obligations 11,056,812 1.25%
Asset-Backed Securities 11,142,702 1.26%
Negotiable Certificates of Deposit 7,270,000 0.82% Money Market Fund 77,287 0.01%
Local Agency Investment Fund (LAIF) 10,625,413 1.20% California Asset Management Program (CAMP) 95,472,525 10.80% Mutual Fund - Traffic Mitigation Bond Proceeds 2,187,517 0.25% No Limit
80%
25%
20%
20%
10%
30%
10% Per Fund
$75 M
No Limit
10% Per Fund
TOTAL INVESTMENTS 883,981,687$ 100.00%
6 INVESTMENT MATURITY DISTRIBUTION
AS OF JANUARY 31, 2023
UNRESTRICTED POOLED PORTFOLIO
MATURITY
(IN MONTHS) COST VALUE
DEMAND 106,175,224$ (a) 3 12.04%
0 TO 6 6,428,200 2 0.73%
7 TO 12 134,766,179 26 15.28%
13 TO 18 96,722,681 18 10.97%
19 TO 24 93,105,540 15 10.56%
25 TO 30 109,045,914 19 12.37%
31 TO 36 83,985,333 18 9.52%
37 TO 42 74,982,844 16 8.50%
43 TO 48 44,662,764 9 5.06%
49 TO 54 62,562,977 13 7.09%
55 TO 60 69,356,515 8 7.88%
TOTAL 881,794,171$ 147 100.00%
Average Maturity of Unrestricted Pool: 2.12 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 JANUARY 31, 2023
Maturity (Months)
Distribution Percentage
City of Santa Clara Monthly Report
1/31/2023
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 9/30/2016 1.375% 9/30/2023 912828T26 7, 500,000.00 AA+ 11/13/2018 6,947,167.97 3.01% 7,333,875.00 386,707.03 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% 5,091,732.60 -156,555.68 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% 4,884,400.00 96,704.69 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% 9,595,804.05 -754,071.15 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% 9,784,000.00 -467,562.50 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% 4,887,100.00 -70,712.50 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% 4,786,150.00 -195,295.31 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% 2,402,647.30 -95,096.84 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% 10,529,530.00 -442,970.00 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% 5,288,695.75 -208,679.25 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% 4,891,200.00 -516,221.88 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% 1,580,117.50 -57,823.92 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% 5,146,578.45 -250,865.10 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% 3,714,304.50 -113,534.37 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% 4,840,250.00 -112,484.38 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% 5,889,554.00 -442,620.65 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% 6,973,340.00 -280,058.44 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% 4,825,400.00 -310,928.13 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% 4,947,495.00 -299,223.75 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% 4,829,100.00 -304,215.75 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% 2,868,405.90 -281,234.76 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% 4,520,100.00 -408,767.19 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% 9,649,200.00 -641,425.00 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% 4,810,750.00 -308,195.31 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% 9,634,800.00 -665,981.25 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% 1,974,202.30 -32,824.07 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% 4,733,200.00 -505,471.88 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% 1,845,948.00 -167,198.48 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% 6,026,586.00 -824,171.82 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% 3,747,593.20 -327,988.05 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% 4,888,242.00 -397,640.83 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% 4,987,817.30 -36,398.72 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% 4,032,812.50 -294,812.50 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% 3,460,079.60 -291,876.65 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% 7,240,716.75 -576,761.77 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% 3,654,193.49 -252,158.07 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% 6,979,058.45 -326,890.77 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% 7,858,771.71 -46,573.99 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% 3,230,227.00 -344,350.43 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% 4,675,923.00 -359,594.58 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% 5,303,768.80 -217,221.04 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% 8,371,990.00 -105,490.47 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% 4,949,178.00 -84,210.67 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% 7,666,915.00 -211,854.53 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% 5,181,870.00 -85,731.56 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% 8,296,163.20 -176,078.99 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% 4,862,550.60 -138,067.37 2/9/2023 10:48 AM 1 of 4
Attachment A
City of Santa Clara Monthly Report
1/31/2023
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 2/15/2017 2.250% 2/15/2027 912828V98 2,100, 000.00 AA+ 4/20/2022 2,040,691.41 2.88% 1,987,545.00 -53,146.41 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% 5,110,830.00 -48,279.38 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% 7,486,419.50 -219,032.84 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% 896,854.00 13,694.62 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% 6,135,360.00 -127,452.50 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% 5,122,008.00 -126,538.88 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% 4,951,210.50 -83,578.56 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% 10,396,296.00 4,249.12 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% 10,471,108.05 -66,867.15 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% 3,861,721.95 101,413.16 UNITED STATES TREASURY 10/31/2020 0.500% 10/31/2027 91282CAU5 21, 480,000.00 AA+ 1/6/2023 18,292,401.56 3.91% 18,564,304.80 271,903.24 UNITED STATES TREASURY 10/31/2022 4.125% 10/31/2027 91282CFU0 10, 930,000.00 AA+ 12/8/2022 11,081,995.31 3.81% 11,156,251.00 74,255.69 UNITED STATES TREASURY 10/31/2022 4.125% 10/31/2027 91282CFU0 5, 100,000.00 AA+ 12/13/2022 5,165,343.75 3.83% 5,205,570.00 40,226.25 UNITED STATES TREASURY 10/31/2022 4.125% 10/31/2027 91282CFU0 4, 750,000.00 AA+ 1/31/2023 4,833,310.55 3.72% 4,848,325.00 15,014.45 UNITED STATES TREASURY 12/31/2022 3.875% 12/31/2027 91282CGC9 8, 255,000.00 AA+ 1/31/2023 8,320,459.57 3.70% 8,348,529.15 28,069.58 U.S. Treasury Bond / Note Subtotal 383,985,000.00 375,095,218.14 362,214,669.90 -12,880,548.24 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% 4,767,939.00 -176,418.00 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% 5,032,824.50 -197,975.25 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% 14,440,500.00 -1,125,589.75 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% 7,137,300.00 -361,725.00 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% 9,244,700.00 -805,900.00 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% 1,691,651.40 -173,277.60 FNMA Medium Term Note Subtotal 44,535,000.00 45,155,800.50 42,314,914.90 -2,840,885.60 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% 4,926,550.00 -71,650.00 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% 4,947,150.00 -29,900.00 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% 7,482,357.75 -101,262.60 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% 2,909,258.00 -96,836.90 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% 4,890,400.00 -142,750.00 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% 4,863,350.00 -387,300.00 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% 4,779,400.00 -183,450.00 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% 6,953,780.40 -735,586.80 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% 9,216,500.00 -766,300.00 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% 9,203,200.00 -794,340.00 FFCB Medium Term Note Subtotal 62,860,000.00 63,481,322.45 60,171,946.15 -3,309,376.30 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% 9,174,500.00 -843,140.00 FFCB Coupon Note Subtotal 10,000,000.00 10,017,640.00 9,174,500.00 -843,140.00 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% 4,923,850.00 -240,285.00 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% 4,939,750.00 -208,120.00 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% 4,892,000.00 -390,425.00 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% 4,880,900.00 -389,305.00 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% 4,854,350.00 -606,950.00 FHLB Medium Term Note Subtotal 25,000,000.00 26,325,935.00 24,490,850.00 -1,835,085.00 2/9/2023 10:48 AM 2 of 4
Attachment A
City of Santa Clara Monthly Report
1/31/2023
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 9/4/2020 0.250% 9/8/2023 3137EAEW5 1,640,000. 00 AA+ 9/4/2020 1,640,761.21 0.24% 1,595,244.40 -45,516.81 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% 4,177,789.45 -115,793.20 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% 3,163,561.50 -94,241.40 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% 4,747,500.00 -479,460.00 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% 4,924,300.00 -73,700.00 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% 8,543,961.00 -817,775.10 FHLMC Medium Term Note Subtotal 28,595,000.00 28,778,842.86 27,152,356.35 -1,626,486.51
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% 10,374,322.70 -682,489.20 Supranational Subtotal 11,065,000.00 11,056,811.90 10,374,322.70 -682,489.20
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% 1,408,650.10 -21,349.90
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% 2,491,338.30 -223,661.70 Municipals Subtotal 4,145,000.00 4,145,000.00 3,899,988.40 -245,011.60 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% 4,916,400.00 -324,850.00 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% 2,454,092.80 -57,523.20 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% 3,904,920.00 -278,760.00 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% 5,276,540.10 -365,904.50 ALPHABET INC 8/9/2016 1.998% 8/15/2026 02079KAC1 5,740,000. 00 AA+ 1/30/2023 5,354,386.80 4.05% 5,341,414.40 -12,972.40 AMAZON.COM INC 5/12/2021 0.450% 5/12/2024 023135BW5 245, 000.00 AA 5/12/2021 302,801.19 0.50% 232,414.35 -70,386.84 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% 3,794,520.00 -79,760.00 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% 6,494,076.50 -178,887.60 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% 4,848,200.00 -491,900.00 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% 4,848,200.00 -507,000.00 BANK OF AMERICA 4/19/2016 3.500% 4/19/2026 06051GFX2 4,140,000.00 A- 1/25/2023 4,019,070.60 4.48% 4,028,220.00 9,149.40 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% 4,836,550.00 -168,550.00 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% 1,272,334.20 -8,917.60 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% 8,116,920.00 -909,000.00 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% 3,987,896.40 -97,455.60 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% 3,987,896.40 -98,159.40 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% 5,194,922.25 -477,751.25
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% 2,444,931.45 -89,662.95 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% 2,989,857.00 -55,552.00 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% 5,213,886.90 -345,368.70 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% 2,909,310.00 -104,730.00 HOME DEPOT INC 9/14/2017 2.800% 9/14/2027 437076BT8 7,805, 000.00 A 1/27/2023 7,364,719.95 4.15% 7,346,924.55 -17,795.40 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% 4,659,450.00 -438,450.00 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% 2,101,411.95 -80,548.60 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% 4,501,900.00 -406,700.00 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% 4,571,350.00 -452,200.00 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% 2,599,832.50 -75,167.50 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% 2,179,803.60 -160,196.40 2/9/2023 10:48 AM 3 of 4
Attachment A
City of Santa Clara Monthly Report
1/31/2023
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 3/13/2020 2.005% 3/13/2026 46647PBH8 2,800,000.00 A- 3/22/2022 2,712,500.00 2.84% 2,634,016.00 -78,484.00 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% 3,684,834.00 -25,912.00 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% 4,752,150.00 -461,300.00 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% 4,752,150.00 -238,650.00 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% 5,266,425.00 -357,491.25 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% 4,857,850.00 -483,850.00 MICROSOFT CORP 11/3/2015 3.125% 11/3/2025 594918BJ2 5,100, 000.00 AAA 1/25/2023 4,940,982.00 4.33% 4,963,065.00 22,083.00 NOVARTIS CAPITAL CORP 11/20/2015 3. 000% 11/20/2025 66989HAJ7 10,000,000.00 AA- 1/31/2023 9,638,600.00 4.38% 9,654,800.00 16,200.00 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% 5,727,969.00 -132,619.50 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% 1,045,089.50 -69,910.50 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% 4,089,647.50 -185,725.00 TARGET CORP 1/24/2022 1.950% 1/15/2027 87612EBM7 990,000.00 A 1/24/2022 988,317.00 1.99% 913,443.30 -74,873.70 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% 4,239,668.65 -328,220.85 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% 5,855,451.00 -244,183.00 UNILEVER CAPITAL CORP 9/14/2020 0.375% 9/14/2023 904764BJ5 660,000.00 A+ 9/14/2020 659,155.20 0.42% 642,331.80 -16,823.40 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% 5,631,258.00 -380,589.00 Corporate Note Subtotal 192,915,000.00 193,149,673.84 183,764,324.10 -9,385,349.74 CARMAX AUTO OWNER TRUST 4/21/2021 0.520% 2/17/2026 14314QAC8 2,159,253.77 AAA 4/21/2021 2,158,788.46 0.52% 2,082,643.45 -76,145.01
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% 1,967,763.00 -131,787.39
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% 1,537,447.70 -77,211.86
HYUNDAI AUTO RECEIVABLES
TRUST 4/28/2021 0.380% 9/15/2025 44933LAC7 1,380,337.09 AAA 4/28/2021 1,380,191.88 0.38% 1,333,902.55 -46,289.33
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% 1,183,260.45 -61,461.67
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% 2,521,161.10 -123,628.09 Asset-Backed Security Subtotal 11,144,590.86 11,142,701.60 10,626,178.25 -516,523.35 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% 7,360,438.80 90,438.80 Certificate of Deposit Subtotal 7,270,000.00 7,270,000.00 7,360,438.80 90,438.80
PRINCIPAL PUBLIC DEPOSIT
SWEEP PROGRAM 2.250% 2/1/2023 992995944 77,286.58 9/1/2020 77,286.58 77,286.58 -
LOCAL AGENCY INVESTMENT
FUND 2.425% 2/1/2023 10,625,412.81 9/30/1997 10,625,412.81 10,625,412.81 -
CALIFORNIA ASSET
MANAGEMENT PROGRAM 4.530% 2/1/2023 95,472,525.02 10/4/2022 95,472,525.02 95,472,525.02 - DREYFUS TREASURY 4.200% 2/1/2023 2,187,516.52 10/31/1997 2,187,516.52 2,187,516.52 - Cash Equivalent Subtotal 108,362,740.93 108,362,740.93 108,362,740.93 - Grand Total Count 148 889,877,331.79
883,981,687.22 849,907,230.48 (34,074,456.74)
2/9/2023 10:48 AM 4 of 4
Attachment A