_____________________________________________________________________
MONTHLY INVESTMENT REPORT
December 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 December 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 December 31, 2023.
On December 31, 2023 the cost value and market value of the City's unrestricted pooled investment portfolio were $1,045,071,016 and $1,029,699,079 respectively.
Investment Strategy and Market Update
At the conclusion of its meeting on December 13, a surprisingly dovish Federal Reserve (Fed) suggested it had likely reached the end of its historic rate-hiking cycle. In addition to maintaining the overnight target rate at its current range of 5.25% to 5.50%, the Fed published an updated “dot plot” showing a total of three 25 basis point (bps) rate cuts by the end of 2024, more than previously projected. Yields fell notably as a result.
The December employment report showed non-farm payrolls increased by 216,000, beating expectations, while the unemployment rate was unchanged at 3.7%. For the year, non-farm payrolls showed 225,000 new jobs created per month, down from 2022’s blistering pace of 399,000, while the unemployment rate increased modestly from its historically low level at the beginning of the year. The number of job openings also fell to the lowest level since March 2021, pointing to a labor market that continues to moderate.
Inflation (measured by the year-over-year (YoY) change in the consumer price index (CPI)) fell to 3.1% in November as lower energy prices continue to offset higher shelter costs. The Fed’s preferred gauge of inflation, the Personal Consumption Expenditure (PCE) index, fell slightly on a month-over-month basis between October and November, the first monthly decline in more than 3.5 years.
U.S. Treasury yields continued their descent from the multiyear highs reached in October and rallied significantly into year-end. The Fed’s dovish tone added downward pressure on yields as policymakers appeared to affirm that easier monetary policy may be the
COST VALUE PERCENTAGE
City $1,044,137,625 99.91%
SOSA 11,812
0.00%
HA 921,579 0.09% Unrestricted $1,045,071,016 100.00%
Restricted Bond Proceeds 2,289,329
Total Investments $1,047,360,345
2 most likely outcome in 2024. The benchmark 2-, 5-, and 10-year U.S. Treasuries finished the month at 4.25%, 3.85%, and 3.88%, moving down 43, 42, and 45 bps for the month, respectively.
The City's investment strategy for December 2023 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 l iquidity 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 December 31, 2023, 39.96% of the City’s portfolio consists of U.S. Treasury Notes, 17.93 % consists of investment grade Corporate Notes, 15.77% consists of California Asset Management Program (CAMP), 11.71% consists of Federal Agencies, 5.57% consists of investment grade Mortgage -Backed Securities, 5.51% consists of investment grade Asset -Back Securities, 1.41% consists of Negotiable Certificates of Deposit, 1. 06% consists of investment grade Supranational Obligations, 0.56 % consists of Local Agency Investment Fund (LAIF), and 0.26% 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
39.96%
Federal Agency Notes
11.71%
Corporate Notes
17.93%
Municipal Bonds
0.26%
Supranational Obligations
1.06%
Asset-Backed Securities
5.51%
Negotiable Certificates
of Deposit
1.41%
Mortgage-Backed
Securities
5.57%
Money Market Fund
0.04%
Local Agency Investment Fund
(LAIF)
0.56%
California Asset Management
Program (CAMP)
15.77%
Mutual Fund - Traffic Mitigation
Bond Proceeds
0.22%
3 The City’s securities portfolio is benchmarked against the ICE BAML 1-5 US Treasury Index.
3.05%
3.80%
3.95%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 Jun-23 Sep-23 Dec-23 Securities Portfolio Yield at Cost vs Index 24-Month Average of Yield at Market 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
12/31/2023
Investment Yield
Liquidity Portfolio1 5.48%
LAIF average monthly yield 3.93%
Securities Portfolio2 3.05%
ICE BAML 1-5 US Treasury Index (24-month rolling average market yield) 3.80% ICE BAML 1-5 AAA-A US Corporate & Government Index (24-month rolling average market yield) 3.95%
City Portfolio (Liquidity + Securities) 3.46%
Investment Total Return*
Securities Portfolio 1.45%
ICE BAML 1-5 US Treasury Index 1.49%
ICE BAML 1-5 AAA-A US Corporate & Government Index 1.52%
Average Maturity of Investments (in years)
Liquidity Portfolio1 0.08
Securities Portfolio2 2.64
City Portfolio (Liquidity + Securities) 2.20
ICE BAML 1-5 US Treasury Index 2.77
ICE BAML 1-5 AAA-A US Corporate & Government Index 2.75
Interest Income Current Month3 $ 1,734,149
Interest Income Fiscal Year-To-Date3 $ 12,509,621
1. Consists of CAMP Pool, 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 DECEMBER 31, 2023
PER
COST % OF INVESTMENT
INVESTMENT TYPE VALUE PORTFOLIO POLICY
U.S. Treasury Notes 418,547,639 39.96% No Limit Federal Agency Notes 122,755,226 11.71% 80% Corporate Notes 187,836,386 17.93% 25%
Municipal Bonds 2,715,000 0.26% 20%
Supranational Obligations 11,056,812 1.06% 20% Asset-Backed Securities 57,679,406 5.51% 10% Negotiable Certificates of Deposit 14,770,000 1.41% 30% Mortgage-Backed Securities 58,288,768 5.57% 15% Money Market Fund 406,278 0.04% 10% Per Fund Local Agency Investment Fund (LAIF) 5,813,383 0.56% $75 M California Asset Management Program (CAMP) 165,202,118 15.77% No Limit Mutual Fund - Traffic Mitigation Bond Proceeds 2,289,329 0.22% 10% Per Fund TOTAL INVESTMENTS $ 1,047,360,345 100.00%
6 INVESTMENT MATURITY DISTRIBUTION
AS OF DECEMBER 31, 2023
UNRESTRICTED POOLED PORTFOLIO
MATURITY NUMBER OF
(IN MONTHS) COST VALUE INVESTMENTS DISTRIBUTION
DEMAND $ 171,421,780 (a) 3 16.40%
0 TO 6 26,241,158 6 2.51%
7 TO 12 96,728,591 14 9.26%
13 TO 18 134,195,193 23 12.84%
19 TO 24 82,507,858 17 7.89%
25 TO 30 96,286,095 20 9.21%
31 TO 36 65,716,827 11 6.29%
37 TO 42 74,379,290 16 7.12%
43 TO 48 105,037,295 14 10.05%
49 TO 54 117,449,448 21 11.24%
55 TO 60 75,107,481 16 7.19%
TOTAL $ 1,045,071,016 161 100.00%
Average Maturity of Unrestricted Pool: 2.20 Years
(a) $20 million is earmarked for the City's Electric Utility power- trading.
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
22%
24%
INVESTMENT MATURITY DISTRIBUTION
UNRESTRICTED POOLED PORTFOLIO
AS OF DECEMBER 31, 2023
City of Santa Clara Monthly Report
12/31/2023
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 7/6/2023 0.000% 1/4/2024 912797FW2 5,850,000.00 A-1+ 12/21/2023 5,838,164.31 5.21% 5,848,303.50 10,139.19 UNITED STATES TREASURY 7/6/2023 0.000% 1/4/2024 912797FW2 5,345,000.00 A-1+ 12/18/2023 5,331,791.51 5.25% 5,343,449.95 11,658.44 UNITED STATES TREASURY 7/15/2021 0.375% 7/15/2024 91282CCL3 2,910,000.00 AA+ 9/10/2021 2,908,181.25 0.40% 2,837,919.30 -70,261.95 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% 4,915,650.00 -217,665.75 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% 2,923,897.05 -225,743.61 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% 4,633,672.50 -295,194.69 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% 9,784,400.00 -506,225.00 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% 4,878,300.00 -240,645.31 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% 9,753,300.00 -547,481.25 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% 2,018,113.50 11,087.13 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% 4,824,050.00 -414,621.88 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% 1,881,379.50 -131,766.98 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% 6,067,072.00 -783,685.82 UNITED STATES TREASURY 6/30/2020 0.250% 6/30/2025 912828ZW3 10,860,000.00 AA+ 10/5/2023 9,991,200.00 5.12% 10,200,363.60 209,163.60 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% 3,846,267.20 -229,314.05 UNITED STATES TREASURY 10/31/2020 0.250% 10/31/2025 91282CAT8 5,510,000.00 AA+ 6/7/2022 5,024,216.04 3.00% 5,118,073.70 93,857.66 UNITED STATES TREASURY 10/31/2020 0.250% 10/31/2025 91282CAT8 5,400,000.00 AA+ 10/ 7/2021 5,285,882.81 0.78% 5,015,898.00 -269,984.81 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% 4,132,403.50 -195,221.50 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% 3,540,223.20 -211,733.05 UNITED STATES TREASURY 1/31/2019 2.625% 1/31/2026 9128286A3 10,490,000.00 AA+ 10/ 5/2023 9,948,699.61 5.01% 10,160,194.40 211,494.79 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% 8,047,256.10 141,910.40 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% 7,146,443.85 -159,505.37 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% 3,741,835.50 -164,516.06 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% 7,414,377.75 -403,100.77 UNITED STATES TREASURY 2/15/2023 4.000% 2/15/2026 91282CGL9 5,300,000.00 AA+ 12/18/2023 5,260,250.00 4.37% 5,275,779.00 15,529.00 UNITED STATES TREASURY 2/28/2021 0.500% 2/28/2026 91282CBQ3 5,175,000.00 AA+ 12/7/2021 5,067,214.15 1.15% 4,782,217.50 -284,996.65 UNITED STATES TREASURY 2/28/2021 0.500% 2/28/2026 91282CBQ3 3,575,000.00 AA+ 8/31/2021 3,542,880.86 0.70% 3,303,657.50 -239,223.36 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% 8,538,582.50 61,102.03 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% 5,409,307.40 -111,682.44 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% 5,007,279.00 -26,109.67 UNITED STATES TREASURY 9/15/2023 4.625% 9/15/2026 91282CHY0 10,000,000.00 AA+ 10/3/2023 9,930,468.75 4.88% 10,139,500.00 209,031.25 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% 7,807,080.00 -71,689.53 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% 5,259,789.00 -7,812.56 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% 8,357,247.60 -114,994.59 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% 4,929,087.00 -71,530.97 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% 7,508,963.00 -196,489.34 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% 5,126,220.00 -32,889.38 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% 1,993,530.00 -47,161.41 UNITED STATES TREASURY 3/31/2022 2.500% 3/31/2027 91282CEF4 940,000.00 AA+ 11/30/2022 883,159.38 4.03% 898,395.60 15,236.22 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% 6,248,340.00 -14,472.50 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% 5,128,974.00 -119,572.88 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% 5,040,989.00 6,199.94 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% 10,367,136.00 -24,910.88 UNITED STATES TREASURY 8/15/1997 6.375% 8/15/2027 912810FA1 9,390,000.00 AA+ 10/5/2023 9,913,052.34 4.78% 10,144,110.90 231,058.56 1/12/2024 2:25 PM 1 of 5
Attachment A
City of Santa Clara Monthly Report
12/31/2023
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 8/15/2017 2.250% 8/15/2027 9128282R0 11,115,000.00 AA+ 9/6/2022 10,537,975.20 3.40% 10,482,889.95 -55,085.25 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% 3,808,959.05 48,650.26 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% 18,883,068.00 590,666.44 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% 10,998,749.70 -83,245.61 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% 4,779,877.50 -53,433.05 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% 5,132,079.00 -33,264.75 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% 8,241,461.80 -78,997.77 UNITED STATES TREASURY 12/31/2022 3.875% 12/31/2027 91282CGC9 7,325,000.00 AA+ 2/8/2023 7,333,583.98 3.85% 7,312,987.00 -20,596.98 UNITED STATES TREASURY 12/31/2022 3.875% 12/31/2027 91282CGC9 4,850,000.00 AA+ 2/2/2023 4,906,078.13 3.62% 4,842,046.00 -64,032.13 UNITED STATES TREASURY 1/31/2021 0.750% 1/31/2028 91282CBJ9 5,815,000.00 AA+ 2/7/2023 5,009,758.79 3.83% 5,126,736.60 116,977.81 UNITED STATES TREASURY 1/31/2023 3.500% 1/31/2028 91282CGH8 7,505,000.00 AA+ 5/16/2023 7,508,517.97 3.49% 7,386,571.10 -121,946.87 UNITED STATES TREASURY 2/28/2023 4.000% 2/29/2028 91282CGP0 7,360,000.00 AA+ 5/16/2023 7,532,500.00 3.46% 7,384,140.80 -148,359.20 UNITED STATES TREASURY 2/28/2023 4.000% 2/29/2028 91282CGP0 6,600,000.00 AA+ 3/7/2023 6,526,781.25 4.25% 6,621,648.00 94,866.75 UNITED STATES TREASURY 3/31/2021 1.250% 3/31/2028 91282CBS9 5,820,000.00 AA+ 5/9/2023 5,236,408.59 3.50% 5,218,910.40 -17,498.19 UNITED STATES TREASURY 3/31/2021 1.250% 3/31/2028 91282CBS9 5,470,000.00 AA+ 5/10/2023 4,912,530.08 3.54% 4,905,058.40 -7,471.68 UNITED STATES TREASURY 3/31/2023 3.625% 3/31/2028 91282CGT2 5,765,000.00 AA+ 5/4/2023 5,816,569.73 3.42% 5,702,161.50 -114,408.23 UNITED STATES TREASURY 3/31/2023 3.625% 3/31/2028 91282CGT2 5,030,000.00 AA+ 5/2/2023 5,023,712.50 3.65% 4,975,173.00 -48,539.50 UNITED STATES TREASURY 4/30/2023 3.500% 4/30/2028 91282CHA2 5,075,000.00 AA+ 5/2/2023 5,042,488.28 3.64% 4,994,307.50 -48,180.78 UNITED STATES TREASURY 5/31/2023 3.625% 5/31/2028 91282CHE4 11,735,000.00 AA+ 6/5/2023 11,695,577.73 3.70% 11,610,726.35 -84,851.38 UNITED STATES TREASURY 6/30/2023 4.000% 6/30/2028 91282CHK0 11,300,000.00 AA+ 7/10/2023 11,117,699.22 4.36% 11,353,449.00 235,749.78 UNITED STATES TREASURY 6/30/2023 4.000% 6/30/2028 91282CHK0 1,700,000.00 AA+ 7/3/2023 1,687,183.59 4.17% 1,708,041.00 20,857.41 UNITED STATES TREASURY 7/31/2023 4.125% 7/31/2028 91282CHQ7 4,950,000.00 AA+ 8/2/2023 4,921,962.89 4.25% 5,001,034.50 79,071.61 UNITED STATES TREASURY 8/31/2023 4.375% 8/31/2028 91282CHX2 1,735,000.00 AA+ 8/31/2023 1,742,726.17 4.28% 1,772,146.35 29,420.18 U.S. Treasury Bond / Note Subtotal 431,210,000.00 418,547,638.53 413,581,251.60 -4,966,386.93 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% 14,749,800.00 -816,289.75 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% 7,267,575.00 -231,450.00 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% 9,507,800.00 -542,800.00 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% 1,732,497.00 -132,432.00 FNMA Medium Term Note Subtotal 34,360,000.00 34,980,643.75 33,257,672.00 -1,722,971.75 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% 4,932,900.00 -317,750.00 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% 4,864,250.00 -98,600.00 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% 7,102,083.60 -587,283.60 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% 9,466,200.00 -516,600.00 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% 9,450,900.00 -546,640.00 FFCB Medium Term Note Subtotal 37,320,000.00 37,883,207.20 35,816,333.60 -2,066,873.60 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% 9,440,400.00 -577,240.00 FFCB Coupon Note Subtotal 10,000,000.00 10,017,640.00 9,440,400.00 -577,240.00 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% 4,946,450.00 -323,755.00 FEDERAL HOME LOAN BANKS 12/11/2023 5.480% 9/11/2024 3130AY3C8 5,330,000.00 AA+ 12/18/2023 5,330,533.00 5.48% 5,332,238.60 1,705.60 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% 4,904,550.00 -556,750.00 FHLB Medium Term Note Subtotal 15,330,000.00 16,062,038.00 15,183,238.60 -878,799.40 1/12/2024 2:25 PM 2 of 5
Attachment A
City of Santa Clara Monthly Report
12/31/2023
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 2/14/2020 1.500% 2/12/2025 3137EAEP0 5,000,000.00 AA+ 5/20/2020 5,226,960.00 0.53% 4,827,050.00 -399,910.00 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% 4,933,700.00 -64,300.00 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% 8,763,968.70 -597,767.40 FREDDIE MAC 10/10/2023 6.000% 10/10/2028 3134H1FT5 4,225,000.00 AA+ 10/10/2023 4,225,000.00 6.00% 4,244,139.25 19,139.25 FHLMC Medium Term Note Subtotal 23,615,000.00 23,811,696.10 22,768,857.95 -1,042,838.15 FANNIEMAE-ACES 7/1/2023 4.190% 7/1/2028 3136BQDE6 8,750,000.00 AA+ 11/30/2023 8,410,595.70 5.14% 8,631,455.00 220,859.30 FANNIEMAE-ACES 7/1/2023 4.190% 7/1/2028 3136BQDE6 7,600,000.00 AA+ 7/31/2023 7,471,156.25 4.58% 7,497,035.20 25,878.95
FHLMC MULTIFAMILY
STRUCTURED P 1/30/2017 3.347% 11/1/2026 3137BTUM1 5,345,997.48 AA+ 5/24/2023 5,181,441.00 4.31% 5,181,233.84 -207.16
FHLMC MULTIFAMILY
STRUCTURED P 5/15/2017 3.224% 3/1/2027 3137BXQY1 8,000,000.00 AA+ 8/18/2023 7,546,250.00 4.98% 7,723,200.00 176,950.00
FHLMC MULTIFAMILY
STRUCTURED P 7/1/2017 3.243% 4/1/2027 3137F1G44 4,545,000.00 AA+ 8/18/2023 4,285,260.35 4.97% 4,383,561.60 98,301.25
FHLMC MULTIFAMILY
STRUCTURED P 8/1/2017 3.117% 6/1/2027 3137F2LJ3 6,525,000.00 AA+ 8/22/2023 6,101,894.53 5.01% 6,262,956.00 161,061.47
FHLMC MULTIFAMILY
STRUCTURED P 7/1/2023 4.819% 6/1/2028 3137HACX2 7,500,000.00 AA+ 7/20/2023 7,574,910.00 4.59% 7,626,150.00 51,240.00
FHLMC MULTIFAMILY
STRUCTURED P 7/1/2023 4.777% 6/1/2028 3137HAD45 6,093,544.55 AA+ 7/27/2023 6,093,392.21 4.78% 6,120,112.40 26,720.19
FHLMC MULTIFAMILY
STRUCTURED P 10/1/2023 4.740% 8/1/2028 3137HAQ74 5,750,000.00 AA+ 10/19/2023 5,623,868.00 5.26% 5,829,580.00 205,712.00 Federal Agency Commercial
Mortgage-Backed Security Subtotal 60,109,542.03 58,288,768.04 59,255,284.04 966,516.00
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% 10,709,481.55 -347,330.35 Supranational Subtotal 11,065,000.00 11,056,811.90 10,709,481.55 -347,330.35
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% 2,550,443.85 -164,556.15 Municipals Subtotal 2,715,000.00 2,715,000.00 2,550,443.85 -164,556.15 3M COMPANY 3/27/2020 2.650% 4/15/2025 88579YBM2 2,560,000.00 BBB+ 4/25/2022 2,511,616.00 3.32% 2,479,872.00 -31,744.00 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% 3,929,840.00 -253,840.00 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% 5,420,683.80 66,297.00 AMAZON.COM INC 5/12/2021 0.450% 5/12/2024 023135BW5 4,000,000.00 AA 3/ 14/2022 3,932,438.89 1.94% 3,929,320.00 -3,118.89 AMAZON.COM INC 5/12/2021 0.450% 5/12/2024 023135BW5 245,000.00 AA 5/12/2021 244,642.30 0.50% 240,670.85 -3,971.45 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% 6,518,317.65 -154,646.45 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% 4,898,950.00 -456,250.00 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% 4,898,950.00 -441,150.00 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% 4,862,800.00 -142,300.00 BANK OF AMERICA CORP 8/18/2023 5.526% 8/18/2026 06428CAA2 4,000,000.00 A+ 8/18/2023 3,998,360.00 5.54% 4,073,840.00 75,480.00 1/12/2024 2:25 PM 3 of 5
Attachment A
City of Santa Clara Monthly Report
12/31/2023
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 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% 1,300,933.00 19,681.20 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% 8,291,790.00 -734,130.00 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% 4,010,211.00 -75,844.80 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% 4,010,211.00 -75,141.00 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% 5,342,398.25 -330,275.25 CITIGROUP INC 9/29/2023 5.803% 9/29/2028 17325FBB3 11,225,000.00 A+ 9/29/2023 11,225,000.00 5.80% 11,720,359.25 495,359.25 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% 5,269,769.70 -289,485.90 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% 2,933,880.00 -80,160.00 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% 7,418,808.60 54,088.65 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% 4,773,250.00 -324,650.00 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% 2,152,735.75 -29,224.80 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% 4,604,600.00 -304,000.00 JOHN DEERE CAPITAL CORP 7/14/2023 4.950% 7/14/2028 24422EXB0 605,000.00 A 7 /18/2023 610,874.55 4.73% 620,252.05 9,377.50 JOHN DEERE CAPITAL CORP 7/14/2023 4.950% 7/14/2028 24422EXB0 505,000.00 A 7 /14/2023 504,247.55 4.98% 517,731.05 13,483.50 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% 4,684,200.00 -339,350.00 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% 2,269,027.80 -70,972.20 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% 2,690,072.00 -22,428.00 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% 3,783,562.00 72,816.00 JPMORGAN CHASE & CO 2/24/2022 2.947% 2/24/2028 46647PCW4 2,925,000.00 A- 9/18/2023 2,674,532.25 5.13% 2,751,957.00 77,424.75 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% 4,843,950.00 -146,850.00 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% 4,843,950.00 -369,500.00 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% 5,349,415.00 -274,501.25 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% 4,892,700.00 -449,000.00 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% 4,978,008.00 37,026.00 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% 9,723,700.00 85,100.00 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% 5,743,588.50 -117,000.00 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% 1,071,414.65 -43,585.35 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% 4,129,257.50 -146,115.00 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% 4,286,997.15 -280,892.35 TARGET CORP 1/24/2022 1.950% 1/15/2027 87612EBM7 990,000.00 A 1 /24/2022 988,317.00 1.99% 923,640.30 -64,676.70 TOYOTA MOTOR CREDIT CORP 9/11/2023 5.250% 9/11/2028 89236TLB9 5,600,000.00 A+ 9/11/2023 5,590,256.00 5.29% 5,798,576.00 208,320.00 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% 5,620,200.00 -391,647.00 Corporate Note Subtotal 188,235,000.00 187,836,386.39 182,604,389.85 -5,231,996.54
AMERICAN EXPRESS CREDIT
ACCOUN 9/19/2023 5.230% 9/15/2028 02582JKD1 6,170,000.00 AAA 9/19/2023 6,169,724.20 5.23% 6,269,707.20 99,983.00 BANK OF AMERICA AUTO TRUST 7/31/2023 5.530% 2/15/2028 06428AAC2 3,120,000.00 NR 7/31/2023 3,119,881.75 5.53% 3,156,223.20 36,341.45 BANK OF AMERICA AUTO TRUST 11/21/2023 5.740% 6/15/2028 06054YAC1 6,595,000.00 NR 11/21/2023 6,594,880.63 5.74% 6,720,832.60 125,951.97
BANK OF AMERICA CREDIT
CARD TR 12/14/2023 4.980% 11/15/2028 05522RDH8 3,045,000.00 NR 12/ 14/2023 3,044,591.06 4.98% 3,080,443.80 35,852.74 CARMAX AUTO OWNER TRUST 4/21/2021 0.520% 2/17/2026 14314QAC8 950,591.79 AAA 4/21/2021 950,386.95 0.52% 929,507.66 -20,879.29 CHASE ISSUANCE TRUST 9/15/2023 5.160% 9/15/2028 161571HT4 6,045,000.00 AAA 9/ 15/2023 6,043,324.33 5.17% 6,138,516.15 95,191.82
CITIBANK CREDIT CARD
ISSUANCE 12/1/2023 5.230% 12/1/2027 17305EGW9 1,855,000.00 AAA 12/11/2023 1,854,767.38 5.23% 1,868,838.30 14,070.92
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% 2,031,582.00 -67,968.39 1/12/2024 2:25 PM 4 of 5
Attachment A
City of Santa Clara Monthly Report
12/31/2023
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 FIFTH THIRD AUTO TRUST 8/23/2023 5.530% 8/15/2028 31680EAD3 5,270,000.00 AAA 8/23/2023 5,269,673.26 5.53% 5,343,094.90 73,421.64
HONDA AUTO RECEIVABLES
OWNER T 11/24/2021 0.880% 1/21/2026 43815GAC3 1,124,931.88 NR 11/ 24/2021 1,124,694.74 0.89% 1,091,577.65 -33,117.09
HONDA AUTO RECEIVABLES
OWNER T 8/22/2023 5.410% 2/18/2028 43815QAC1 4,825,000.00 AAA 8/22/2023 4,824,005.09 5.42% 4,887,676.75 63,671.66
HYUNDAI AUTO RECEIVABLES
TRUST 4/28/2021 0.380% 9/15/2025 44933LAC7 455,493.43 AAA 4/ 28/2021 455,445.51 0.38% 449,048.20 -6,397.31
HYUNDAI AUTO RECEIVABLES
TRUST 11/17/2021 0.740% 5/15/2026 44935FAD6 859,690.03 AAA 11/17/2021 859,498.15 0.75% 836,349.45 -23,148.70
HYUNDAI AUTO RECEIVABLES
TRUST 11/13/2023 5.540% 10/16/2028 44918CAD4 2,530,000.00 AAA 11/13/2023 2,529,667.31 5.54% 2,582,472.20 52,804.89 KUBOTA CREDIT OWNER TRUST 7/26/2023 5.280% 1/18/2028 500945AC4 1,925,000.00 NR 7/ 26/2023 1,924,513.75 5.29% 1,946,579.25 22,065.50
TOYOTA AUTO RECEIVABLES
OWNER 9/27/2021 0.430% 1/15/2026 89239BAC5 1,556,506.91 AAA 9/27/2021 1,556,382.86 0.43% 1,515,088.26 -41,294.60
TOYOTA AUTO RECEIVABLES
OWNER 8/15/2023 5.160% 4/17/2028 89231FAD2 1,505,000.00 AAA 8/15/2023 1,504,659.57 5.17% 1,515,640.35 10,980.78
TOYOTA AUTO RECEIVABLES
OWNER 11/14/2023 5.540% 8/15/2028 89239FAD4 1,725,000.00 AAA 11/14/2023 1,724,814.05 5.54% 1,758,654.75 33,840.70 USAA AUTO OWNER TRUST 9/15/2023 5.580% 5/15/2028 90291VAC4 6,030,000.00 AAA 9/15/2023 6,028,944.75 5.58% 6,103,445.40 74,500.65 Asset-Backed Security Subtotal 57,687,214.04 57,679,405.73 58,225,278.07 545,872.34 COOPERATIEVE RABOBANK U.A. 7/20/2023 5.080% 7/17/2026 21684LGS5 7,500,000.00 A+ 7/20/2023 7,500,000.00 5.08% 7,595,475.00 95,475.00
TORONTO DOMINION BANK N
Y 10/31/2022 5.470% 10/25/2024 89115B6F2 7,270,000.00 A 10/31/2022 7,270,000.00 5.44% 7,289,192.80 19,192.80 Certificate of Deposit Subtotal 14,770,000.00 14,770,000.00 14,884,667.80 114,667.80
PRINCIPAL PUBLIC DEPOSIT
SWEEP PROGRAM 2.850% 1/1/2024 992995944 406,278.37
9/1/2020 406,278.37 406,278.37 -
LOCAL AGENCY INVESTMENT
FUND 3.930% 1/1/2024 5,813,383.07 9/30/1997 5,813,383.07 5,813,383.07 -
CALIFORNIA ASSET
MANAGEMENT PROGRAM 5.550% 1/1/2024 165,202,118.40 10/4/2022 165,202,118.40 165,202,118.40 -
DREYFUS TREASUR
Y 5.250% 1/1/2024 2,289,329.06 10/31/1997 2,289,329.06 2,289,329.06 - Cash Equivalent Subtotal 173,711,108.90 173,711,108.90 173,711,108.90 - Grand Total Count 162 1,060,127,864.97 1,047,360,344.54 1,031,988,407.81 (15,371,936.73) 1/12/2024 2:25 PM 5 of 5
Attachment A