_____________________________________________________________________
MONTHLY INVESTMENT REPORT
August 2024
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 August 31, 2024 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 August 31, 2024.
On August 31, 2024 the cost value and market value of the City's unrestricted pooled investment portfolio were $1,172,886,773 and $1,175,422,852 respectively.
Investment Strategy and Market Update
Chair Powell’s remarks at the annual Jackson Hole Symposium effectively cemented expectations for a rate cut at the September meeting. Powell said, “the time has come for policy to adjust.” Although he did not clarify the size, he stated that “the timing and pace of rate cuts will depend on incoming data, the evolving outlook, and the balance of risks.”
July inflation readings maintained an encouraging trajectory towards the Fed’s 2% target, with the Core Personal Consumption Expenditure (PCE) Price Index coming in at 2.6% year-over-year, in line with recent months and holding near a three-year low.
The Bureau of Labor Statistics (BLS) announced its preliminary estimate for the upcoming annual benchmark revision to the establishment survey employment series (commonly known as “nonfarm payrolls”). It estimates that the total number of jobs added during the 12-month period ended March 2024 will be revised lower by 818,000 jobs, resulting in 2.1 million jobs being added during the period instead of the original estimate of 2.9 million. While revisions based on more complete data are common, this represented the largest downward revision since 2009, further reinforcing that labor markets are softening.
Yields on benchmark 2-, 5-, and 10-year U.S. Treasuries ended the month at 3.92%, 3.70%, and 3.90%, respectively, representing changes of -34, -21, and -13 bps for the month, respectively.
COST VALUE PERCENTAGE
City $1,171,685,918 99.90%
SOSA 5,529
0.00%
HA 1,195,326 0.10% Unrestricted $1,172,886,773 100.00%
Restricted Bond Proceeds 2,369,895
Total Investments $1,175,256,668
2 The City's investment strategy for August 2024 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. PFM Asset Management LLC began actively managing the City’s securities portfolio on September 1, 2020.
As of August 31, 2024, 42.52% of the City’s portfolio consists of U.S. Treasury Notes, 20.35% consists of California Asset Management Program (CAMP), 18.67% consists of investment grade Corporate Notes, 6.72% consists of Federal Agencies, 5.35% consists of investment grade Asset -Back Securities, 4.95 % consists of investment grade Mortgage- Backed Securities, 0.6 4% consists of Negotiable Certificates of Deposit, and 0.51% consists of Local Agency Investment Fund (LAIF). 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
42.52%
Federal Agency Notes
6.72%
Corporate Notes
18.67%
Asset-Backed Securities
5.35%
Negotiable Certificates of
Deposit
0.64%
Mortgage-Backed Securities
4.95% Money Market Fund
0.09%
Local Agency Investment
Fund (LAIF)
0.51%
California Asset Management
Program (CAMP)
20.35%
Mutual Fund - Traffic Mitigation
Bond Proceeds
0.20%
3 The City’s securities portfolio is benchmarked against the ICE BAML 1-5 US Treasury Index.
3.45%
4.46%
4.62%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
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 Mar-24 Jun-24 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
8/31/2024
Investment Yield
Liquidity Portfolio1 5.35%
LAIF average monthly yield 4.58%
Securities Portfolio2 3.45%
ICE BAML 1-5 US Treasury Index (24-month rolling average market yield) 4.46% ICE BAML 1-5 AAA-A US Corporate & Government Index (24-month rolling average market yield) 4.62%
City Portfolio (Liquidity + Securities) 3.85%
Investment Total Return*
Securities Portfolio 1.14%
ICE BAML 1-5 US Treasury Index 1.00%
ICE BAML 1-5 AAA-A US Corporate & Government Index 1.01%
Average Maturity of Investments (in years)
Liquidity Portfolio1 0.08
Securities Portfolio2 2.81
City Portfolio (Liquidity + Securities) 2.22
ICE BAML 1-5 US Treasury Index 2.78
ICE BAML 1-5 AAA-A US Corporate & Government Index 2.78
Cash Interest Income Current Month3 $ 3,241,658 Cash Interest Income Fiscal Year-To-Date3 $ 7,690,783
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 AUGUST 31, 2024
PER
COST % OF INVESTMENT
INVESTMENT TYPE VALUE PORTFOLIO POLICY
U.S. Treasury Notes 499,686,440 42.52% No Limit Federal Agency Notes 79,100,843 6.72% 80% Corporate Notes 219,427,649 18.67% 25%
Asset-Backed Securities 62,839,631 5.35% 10% Negotiable Certificates of Deposit 7,500,000 0.64% 30% Mortgage-Backed Securities 58,178,936 4.95% 15% Money Market Fund 1,030,426 0.09% 10% Per Fund Local Agency Investment Fund (LAIF) 6,001,483 0.51% $75 M California Asset Management Program (CAMP) 239,121,365 20.35% No Limit Mutual Fund - Traffic Mitigation Bond Proceeds 2,369,895 0.20% 10% Per Fund TOTAL INVESTMENTS $ 1,175,256,668 100.00%
6 INVESTMENT MATURITY DISTRIBUTION
AS OF AUGUST 31, 2024
UNRESTRICTED POOLED PORTFOLIO
MATURITY NUMBER OF
(IN MONTHS) COST VALUE INVESTMENTS DISTRIBUTION
DEMAND (a) $ 226,153,275 (a) 3 16.62%
0 TO 6 72,925,854 13 5.74%
7 TO 12 87,052,003 14 8.66%
13 TO 18 111,830,838 22 9.97%
19 TO 24 53,170,287 11 4.73%
25 TO 30 61,509,336 12 6.23%
31 TO 36 86,042,157 15 7.03%
37 TO 42 123,385,106 20 9.71%
43 TO 48 145,149,347 27 13.14%
49 TO 54 118,106,144 19 10.57%
55 TO 60 87,562,428 16 7.60%
TOTAL $ 1,172,886,775 172 100.00%
Average Maturity of Unrestricted Pool: 2.22 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 AUGUST 31, 2024
City of Santa Clara Monthly Report
8/31/2024
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 ,928,300.00 -310,371.88 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% 1,922,037.00 -91,109.48 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% 6,138,992.00 -711,765.82 UNITED STATES TREASURY 8/31/2020 0.250% 8/31/2025 91282CAJ 0 4,120,000.00 AA+ 8/2/2021 4,075,581.25 0.52% 3, 955,570.80 -120,010.45 UNITED STATES TREASURY 11/2/2020 0.250% 10/31/2025 91282CAT 8 5,510,000.00 AA+ 6/7/2022 5,024,216.04 3.00% 5,261,003.10 236,787.06 UNITED STATES TREASURY 11/2/2020 0.250% 10/31/2025 91282CAT 8 5,400,000.00 AA+ 10/7/2021 5,285,882.81 0.78% 5, 155,974.00 -129,908.81 UNITED STATES TREASURY 11/30/2020 0.375% 11/30/2025 91282CAZ 4 4,450,000.00 AA+ 11/4/2021 4,327,625.00 1.07% 4,243,475.50 -84,149.50 UNITED STATES TREASURY 12/31/2020 0.375% 12/31/2025 91282CBC 4 3,820,000.00 AA+ 5/3/2021 3,751,956.25 0.76% 3, 633,622.20 -118,334.05 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% 10,272,857.00 324,157.39 UNITED STATES TREASURY 2/1/2021 0.375% 1/31/2026 91282CBH 3 8,710,000.00 AA+ 5/3/2022 7,905,345.70 3.00% 8,263,612.50 358,266.80 UNITED STATES TREASURY 2/1/2021 0.375% 1/31/2026 91282CBH 3 7,735,000.00 AA+ 2/25/2022 7,305,949.22 1.84% 7,338,581.25 32,632.03 UNITED STATES TREASURY 2/1/2021 0.375% 1/31/2026 91282CBH 3 4,050,000.00 AA+ 1/6/2022 3,906,351.56 1.27% 3,842,437.50 -63,914.06 UNITED STATES TREASURY 2/1/2021 0.375% 1/31/2026 91282CBH 3 8,025,000.00 AA+ 11/30/2021 7,817,478.52 1.01% 7, 613,718.75 -203,759.77 UNITED STATES TREASURY 3/1/2021 0.500% 2/28/2026 91282CBQ 3 5,175,000.00 AA+ 12/7/2021 5,067,214.15 1.15% 4, 906,935.00 -160,279.15 UNITED STATES TREASURY 3/1/2021 0.500% 2/28/2026 91282CBQ 3 3,575,000.00 AA+ 8/31/2021 3,542,880.86 0.70% 3, 389,815.00 -153,065.86 UNITED STATES TREASURY 6/1/2021 0.750% 5/31/2026 91282CCF6 9,250,000.00 AA+ 6/8/ 2022 8,477,480.47 2.99% 8 ,745,967.50 268,487.03 UNITED STATES TREASURY 6/1/2021 0.750% 5/31/2026 91282CCF6 5,860,000.00 AA+ 3/21/ 2022 5,520,989.84 2.20% 5 ,540,688.60 19,698.76 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% 5,106, 307.50 72,918.83 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% 10,134,000.00 203,531.25 UNITED STATES TREASURY 9/30/2021 0.875% 9/30/2026 91282CCZ2 5,585,000.00 AA+ 4/5/ 2022 5,176,815.04 2.61% 5 ,251,631.35 74,816.31 UNITED STATES TREASURY 11/1/2021 1.125% 10/31/2026 91282CDG3 5,700,000.00 AA+ 8/8/2022 5,267,601.56 3.05% 5 ,375,385.00 107,783.44 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% 8,490,908.40 18,666.21 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% 5 ,034,018.00 33,400.03 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% 7,614,324.20 -91,128.14 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% 5,198, 148.00 39,038.62 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% 2 ,021,502.00 -19,189.41 UNITED STATES TREASURY 3/31/2022 2.500% 3/31/ 2027 91282CEF4 940,000.00 AA+ 11/30/2022 883,159.38 4.03 % 910,004.60 26,845.22 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% 6,417,040.00 154,227.50 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% 5,198,580.00 -49,966.88 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 ,176,451.25 141,662.19 UNITED STATES TREASURY 8/1/2022 2.750% 7/31/2027 91282CFB 2 10,800,000.00 AA+ 9/14/2022 10,392,046.88 3.60% 10,487,016.00 94,969.12 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% 10,080,352.80 167,300.46 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, 639,166.85 101,191.65 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% 3,823,455.60 63,146.81 UNITED STATES TREASURY 11/2/2020 0.500% 10/31/2027 91282CAU 5 21,480,000.00 AA+ 1/6/2023 18,292,401.56 3.91% 19,392,358.80 1,099,957.24 UNITED STATES TREASURY 10/31/2022 4.125% 10/31/2027 91282CFU 0 10,930,000.00 AA+ 12/8/2022 11,081,995.31 3.81% 11,036,348.90 -45,646.41 UNITED STATES TREASURY 10/31/2022 4.125% 10/31/2027 91282CFU 0 4,750,000.00 AA+ 1/31/2023 4,833,310.55 3.72% 4,796,217.50 -37,093.05 UNITED STATES TREASURY 10/31/2022 4.125% 10/31/2027 91282CFU 0 5,100,000.00 AA+ 12/13/2022 5,165,343.75 3.83% 5,149,623.00 -15,720.75 UNITED STATES TREASURY 11/17/1997 6.125% 11/15/2027 912810FB9 3,100,000.00 AA+ 7/24/2024 3,288,058.59 4.14% 3,319, 542.00 31,483.41 UNITED STATES TREASURY 1/3/2023 3.875% 12/31/2027 91282CGC9 8,255,000.00 AA+ 1/31/ 2023 8,320,459.57 3.70% 8 ,281,416.00 -39,043.57 UNITED STATES TREASURY 1/3/2023 3.875% 12/31/2027 91282CGC9 7,325,000.00 AA+ 2/8/ 2023 7,333,583.98 3.85% 7 ,348,440.00 14,856.02 UNITED STATES TREASURY 1/3/2023 3.875% 12/31/2027 91282CGC9 4,850,000.00 AA+ 2/2/ 2023 4,906,078.13 3.62% 4 ,865,520.00 -40,558.13 UNITED STATES TREASURY 2/1/2021 0.750% 1/31/2028 91282CBJ 9 5,815,000.00 AA+ 2/7/2023 5,009,758.79 3.83% 5,256,236.65 246,477.86 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 ,437,605.10 -70,912.87 UNITED STATES TREASURY 2/28/2023 4.000% 2/29/2028 91282CGP0 8,080,000.00 AA+ 1/26/ 2024 8,063,587.50 4.05% 8 ,139,307.20 75,719.70 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 ,414,022.40 -118,477.60 9/17/2024 3:17 PM 1 of 5
Attachment A
City of Santa Clara Monthly Report
8/31/2024
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 2/28/2023 4.000% 2/29/2028 91282CGP0 6,600,000.00 AA+ 3/7/ 2023 6,526,781.25 4.25% 6 ,648,444.00 121,662.75 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% 5,331,469.20 95,060.61 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% 5,010,848.20 98,318.12 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 ,739,345.75 -77,223.98 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% 5 ,007,616.50 -16,096.00 UNITED STATES TREASURY 5/1/2023 3.500% 4/30/2028 91282CHA2 5,075,000.00 AA+ 5/2/ 2023 5,042,488.28 3.64% 5 ,029,629.50 -12,858.78 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% 11,677,263.80 -18,313.93 UNITED STATES TREASURY 5/31/2023 3.625% 5/31/2028 91282CHE4 8,285,000.00 AA+ 1/26/ 2024 8,149,074.22 4.04% 8 ,244,237.80 95,163.58 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% 11,396,728.00 279,028.78 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 ,714,552.00 27,368.41 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 ,014,597.50 92,634.61 UNITED STATES TREASURY 8/31/2023 4.375% 8/31/2028 91282CHX2 7,940,000.00 AA+ 1/26/2024 8,054,137.50 4.03% 8 ,119,602.80 65,465.30 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 ,774,245.70 31,519.53 UNITED STATES TREASURY 10/31/2023 4.875% 10/31/2028 91282CJF9 5,900,000.00 AA+ 1/4/ 2024 6,140,839.84 3.94% 6 ,150,986.00 10,146.16 UNITED STATES TREASURY 10/31/2023 4.875% 10/31/2028 91282CJF9 5,160,000.00 AA+ 1/8/ 2024 5,355,717.19 4.00% 5 ,379,506.40 23,789.21 UNITED STATES TREASURY 11/30/2023 4.375% 11/30/2028 91282CJN2 8,025,000.00 AA+ 1/26/ 2024 8,150,704.10 4.01% 8 ,218,402.50 67,698.40 UNITED STATES TREASURY 1/2/2024 3.750% 12/31/2028 91282CJR 3 14,950,000.00 AA+ 1/19/2024 14,770,132.81 4.02% 14,948,206.00 178,073.19 UNITED STATES TREASURY 1/2/2024 3.750% 12/31/2028 91282CJR 3 6,250,000.00 AA+ 1/4/2024 6,202,148.44 3.92% 6,249,250.00 47,101.56 UNITED STATES TREASURY 1/31/2024 4.000% 1/31/2029 91282CJW 2 6,400,000.00 AA+ 2/13/2024 6,367,750.00 4.11% 6,464,768.00 97,018.00 UNITED STATES TREASURY 1/31/2024 4.000% 1/31/2029 91282CJW 2 5,030,000.00 AA+ 2/14/2024 4,968,107.42 4.28% 5,080,903.60 112,796.18 UNITED STATES TREASURY 2/16/1999 5.250% 2/15/2029 912810FG8 8,610,000.00 AA+ 7/24/2024 9,040,500.00 4.04% 9 ,169,994.40 129,494.40 UNITED STATES TREASURY 2/29/2024 4.250% 2/28/2029 91282CKD 2 2,850,000.00 AA+ 3/7/2024 2,867,923.83 4.11% 2,910,334.50 42,410.67 UNITED STATES TREASURY 4/1/2024 4.125% 3/31/2029 91282CKG 5 10,050,000.00 AA+ 4/11/2024 9,938,900.39 4.37% 10,208,589.00 269,688.61 UNITED STATES TREASURY 4/30/2024 4.625% 4/30/2029 91282CKP5 16,425,000.00 AA+ 4/30/2024 16,412,167.97 4.64% 17,038,309.50 626,141.53 UNITED STATES TREASURY 4/30/2024 4.625% 4/30/2029 91282CKP5 5,625,000.00 AA+ 8/2/2024 5,809,570.31 3.86% 5,835,037.50 25,467.19 UNITED STATES TREASURY 5/31/2024 4.500% 5/31/2029 91282CKT 7 4,950,000.00 AA+ 6/7/2024 4,993,892.58 4.30% 5,113,399.50 119,506.92 UNITED STATES TREASURY 7/1/2024 4.250% 6/30/2029 91282CKX 8 16,955,000.00 AA+ 7/3/2024 16,859,603.14 4.38% 17,331,231.45 471,628.31 UNITED STATES TREASURY 7/1/2024 4.250% 6/30/2029 91282CKX 8 1,100,000.00 AA+ 8/15/2024 1,128,316.41 3.67% 1,124,409.00 -3,907.41 UNITED STATES TREASURY 7/1/2024 4.250% 6/30/2029 91282CKX 8 7,590,000.00 AA+ 7/3/2024 7,538,411.72 4.40% 7,758,422.10 220,010.38 U.S. Treasury Bond / Note Subtotal 511,475,000.00 499,686,439.40 504,238,847.00 4,552,407.60 FANNIE MAE 1/10/2020 1.625% 1/7/2025 3135G 0X24 225,000.00 AA+ 1/22/2020 224,970. 75 1.63% 222,381.00 -2,589.75 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% 9,753,400.00 -297,200.00 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 ,780,001.40 -84,927.60 FNMA Medium Term Note Subtotal 12,085,000.00 12,140,499.75 11,755,782.40 -384,717.35 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 ,223,449.20 -465,918.00 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 ,714,600.00 -268,200.00 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 ,686,500.00 -311,040.00 FFCB Medium Term Note Subtotal 27,320,000.00 27,669,707.20 26,624,549.20 -1,045,158.00 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% 9,663,900.00 -353,740.00 FFCB Coupon Note Subtotal 10,000,000.00 10,017,640.00 9,663,900.00 -353,740.00 9/17/2024 3:17 PM 2 of 5
Attachment A
City of Santa Clara Monthly Report
8/31/2024
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 11/6/2014 2.750% 12/13/2024 3130A3GE8 5,000,000.00 AA+ 3/12/ 2020 5,461,300.00 0.77% 4 ,969,300.00 -492,000.00 FHLB Medium Term Note Subtotal 5,000,000.00 5,461,300.00 4,969,300.00 -492,000.00 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, 925,800.00 -301,160.00 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 ,968,500.00 -29,500.00 FREDDIE MAC 9/25/2020 0.375% 9/23/2025 3137EAEX 3 9,390,000.00 AA+ 9/25/2020 9,361,736.10 0.44% 9, 005,385.60 -356,350.50 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 ,220,817.25 -4,182.75 FHLMC Medium Term Note Subtotal 23,615,000.00 23,811,696.10 23,120,502.85 -691,193.25 FANNIE MAE-ACES 7/1/2023 4.190% 7/1/2028 3136BQDE6 8,750,000.00 AA+ 11/30/ 2023 8,410,595.70 0.86% 8 ,715,875.00 305,279.30 FANNIE MAE-ACES 7/1/2023 4.190% 7/1/2028 3136BQDE6 7,600,000.00 AA+ 7/31/ 2023 7,471,156.25 0.35% 7 ,570,360.00 99,203.75
FHLMC MULTIFAMILY
STRUCTURED PASS THROU 1/1/2017 3.347% 11/1/2026 3137BTU M1 5,262,569.26 AA+ 5/24/2023 5,100,580.80 4.29% 5,154,476.09 53,895.29
FHLMC MULTIFAMILY
STRUCTURED PASS THROU 5/1/2017 3.224% 3/1/2027 3137BXQY1 8,000,000.00 AA+ 8/18/ 2023 7,546,250.00 4.94% 7 ,812,960.00 266,710.00
FHLMC MULTIFAMILY
STRUCTURED PASS THROU 7/1/2017 3.243% 4/1/2027 3137F1G44 4,545,000.00 AA+ 8/18/ 2023 4,285,260.35 4.93% 4 ,435,920.00 150,659.65
FHLMC MULTIFAMILY
STRUCTURED PASS THROU 8/1/2017 3.117% 6/1/2027 3137F2LJ3 6,525,000.00 AA+ 8/22/ 2023 6,101,894.53 4.97% 6 ,344,649.00 242,754.47
FHLMC MULTIFAMILY
STRUCTURED PASS THROU 7/1/2023 4.819% 6/1/2028 3137HAC X2 7,500,000.00 AA+ 7/20/2023 7,574,910.00 4.59% 7 ,641,075.00 66,165.00
FHLMC MULTIFAMILY
STRUCTURED PASS THROU 7/1/2023 4.777% 6/1/2028 3137HAD 45 6,064,572.20 AA+ 7/27/2023 6,064,420.59 4.78% 6,127,522.46 63,101.87
FHLMC MULTIFAMILY
STRUCTURED PASS THROU 10/1/2023 4.740% 8/1/2028 3137HAQ 74 5,750,000.00 AA+ 10/19/2023 5, 623,868.00 0.46% 5,843,610.00 219,742.00 Federal Agency Commercial
Mortgage-Backed Security Subtotal 59,997,141.46 58,178, 936.22 59,646,447.55 1,467,511.33 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 ,972,800.00 -210,880.00 ADOBE INC 4/4/2024 4.800% 4/4/2029 00724PAF 6 1,635,000.00 A+ 4/4/2024 1,632,563.85 4.83% 1,676,349.15 43,785.30 ADOBE INC 4/4/2024 4.800% 4/4/2029 00724PAF 6 1,340,000.00 A+ 4/4/2024 1,337,762.20 4.84% 1,373,888.60 36,126.40 ALPHABET INC 8/9/2016 1.998% 8/15/2026 02079KAC 1 5,740,000.00 AA+ 1/30/2023 5,354,386.80 4.05% 5,521,707.80 167,321.00 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% 6,582,647.35 -90,316.75 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, 960,200.00 -395,000.00 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, 960,200.00 -379,900.00
BANK OF NEW YORK MELLON
CORPORATION 1/28/2021 0.750% 1/28/2026 06406RAQ 0 9,000,000.00 A 2/10/2021 9,025,920.00 0.69% 8, 551,440.00 -474,480.00 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% 4,051,611.00 -34,444.80 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% 4,051,611.00 -33,741.00 BLACKROCK INC 3/14/2024 4.700% 3/14/2029 09290DAA9 2,924,000.00 AA- 4/11/2024 2,911,222.12 4.80% 2,989,673.04 78,450.92 BLACKROCK INC 3/14/2024 4.700% 3/14/2029 09290DAA9 350,000.00 AA- 3/14/2024 349,366.50 4.74% 357,861.00 8,494.50 BOFA SECURITIES INC. 3/22/2022 3.384% 4/2/2026 06051GKM 0 5,000,000.00 A- 3/22/2022 5,005,100.00 3.36% 4,945,300.00 -59,800.00 BOFA SECURITIES INC. 8/18/2023 5.526% 8/18/2026 06428CAA2 4,000,000.00 A+ 8/18/2023 3,998,360.00 5.54% 4,090,800.00 92,440.00 BOFA SECURITIES INC. 4/22/2021 1.734% 7/22/2027 06051GJS 9 1,420,000.00 A- 8/10/2022 1,281,251.80 3.92% 1 ,347,083.00 65,831.20 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 ,475,504.50 -197,169.00 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% 11,780,188.50 555,188.50 ELI LILLY & COMPANY 3/5/2015 2.750% 6/1/2025 532457BH0 5,415,000.00 A+ 2/ 10/2022 5,559,255.60 1.91% 5 ,340,706.20 -218,549.40 ELI LILLY & COMPANY 8/14/2024 4.200% 8/14/ 2029 532457CQ9 1,555,000.00 A+ 8/14/ 2024 1,557,643.50 4.16 % 1,558,421.00 777.50 9/17/2024 3:17 PM 3 of 5
Attachment A
City of Santa Clara Monthly Report
8/31/2024
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 ELI LILLY & COMPANY 8/14/2024 4.200% 8/14/ 2029 532457CQ9 445,000.00 A+ 8/14/ 2024 444,025.45 4.25% 445,979.00 1,953.55 HERSHEY CO/THE 8/21/2015 3.200% 8/21/2025 427866AU2 3,000,000.00 A 3/30/2022 3,014,040.00 3.05% 2 ,964,240.00 -49,800.00 HOME DEPOT INC/THE 9/14/2017 2.800% 9/14/2027 437076BT8 7,805,000.00 A 1/27/2023 7,364,719.95 4.15% 7,509,268.55 144,548.60
HONEYWELL INTERNATIONAL
INC 5/18/2020 1.350% 6/1/2025 438516CB0 5,000,000.00 A 9/8/2021 5,097,900.00 0.82% 4, 878,950.00 -218,950.00
HONEYWELL INTERNATIONAL
INC 5/18/2020 1.350% 6/1/2025 438516CB0 2,255,000.00 A 3/22/2022 2,181,960.55 2.41% 2,200,406.45 18,445.90 JOHN DEERE CAPITAL CORP 6/17/2021 1.050% 6/17/2026 24422EVR 7 5,000,000.00 A 12/8/2021 4, 908,600.00 1.47% 4, 726,200.00 -182,400.00 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% 620,639.25 9,764.70 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 % 518,054.25 13,806.70 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% 4,811,100.00 -212,450.00
JPMORGAN CHASE FINANCIAL
CO LLC 3/13/2020 2.005% 3/13/2026 46647PBH 8 2,800,000.00 A- 3/22/2022 2,712,500.00 2.84% 2 ,751,700.00 39,200.00
JPMORGAN CHASE FINANCIAL
CO LLC 4/22/2021 1.578% 4/22/2027 46647PCB0 4,100,000.00 A- 8/10/ 2022 3,710,746.00 3.80% 3 ,901,191.00 190,445.00
JPMORGAN CHASE FINANCIAL
CO LLC 2/24/2022 2.947% 2/24/2028 46647PCW4 2,925,000.00 A- 9/18/2023 2,674,532.25 5.13% 2 ,816,833.50 142,301.25
JPMORGAN CHASE FINANCIAL
CO LLC 4/22/2024 5.571% 4/22/2028 46647PEE2 5,000,000.00 A- 8/9/2024 5,103,350.00 4.95% 5 ,125,900.00 22,550.00 MASTERCARD INC 12/3/2019 2.000% 3/3/2025 57636QAN 4 5,000,000.00 A+ 3/9/2021 5,213,450.00 0.91% 4, 932,250.00 -281,200.00 MASTERCARD INC 12/3/2019 2.000% 3/3/2025 57636QAN 4 5,000,000.00 A+ 3/10/2022 4,990,800.00 2.06% 4,932,250.00 -58,550.00 MASTERCARD INC 5/31/2019 2.950% 6/1/2029 57636QAM 6 7,500,000.00 A+ 6/27/2024 6,889,875.00 4.82% 7,126,050.00 236,175.00 META PLATFORMS INC 8/9/2024 4.300% 8/15/2029 30303M8S4 5,370,000.00 AA- 8/14/ 2024 5,385,895.20 4.23% 5 ,406,301.20 20,406.00 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, 953,600.00 -388,100.00 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% 5,030,997.00 90,015.00 MORGAN STANLEY BANK NA 5/30/2024 5.504% 5/26/2028 61690U8B9 6,105,000.00 A+ 5/31/2024 6,117,881.55 5.45% 6 ,257,380.80 139,499.25 MORGAN STANLEY BANK NA 5/30/2024
5.504% 5/26/2028 61690U8B9 3,145,000.00 A+ 5/30/2024 3,145,000.00 5.50% 3 ,223,499.20 78,499.20
NOVARTIS FINANCE
CORPORATION 11/20/2015 3.000% 11/20/2025 66989HAJ 7 10,000,000.00 AA- 1/31/2023 9,638,600.00 4.38% 9,840,400.00 201,800.00 PACCAR FINANCIAL CORP 1/31/2024 4.600% 1/31/2029 69371RS8 0 7,000,000.00 A+ 7/30/2024 6,996,080.00 4.61% 7,100,800.00 104,720.00 PEPSICO INC 7/17/2024 4.500% 7/17/2029 713448FX1 4,380,000.00 A+ 7/17/2024 4,373,211.00 4.53% 4,467, 819.00 94,608.00 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% 5,796,004.50 -64,584.00 STATE STREET CORP 2/7/2022 1.746% 2/6/2026 857477BR3 1,115,000.00 A 2/7/2022 1,115,000.00 1.75% 1,097,884.75 -17,115.25 STATE STREET CORP 10/29/2020 2.901% 3/30/2026 857477BM4 4,250,000.00 A 3/ 14/2022 4,275,372.50 2.74% 4 ,193,092.50 -82,280.00 TARGET CORP 1/24/2022 1.950% 1/15/2027 87612EBM 7 4,595,000.00 A 2/1/2022 4,567,889.50 2.08% 4, 387,627.65 -180,261.85 TARGET CORP 1/24/2022 1.950% 1/15/ 2027 87612EBM7 990,000.00 A 1/24/ 2022 988,317.00 1.99% 945,321.30 -42,995.70 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 ,784,464.00 194,208.00 WALMART INC. 6/27/2018 3.550% 6/26/2025 931142ED1 5,700,000.00 AA 2/ 8/2022 6,011,847.00 1.87% 5,655,255.00 -356,592.00 Corporate Note Subtotal 220,464,000.00 219,427,649.32 217,989,451.04 -1,438,198.28
AMERICAN EXPRESS CREDIT
TRUST 2023-1 9/19/2023 5.230% 9/15/2028 02582JKD1 6,170,000.00 AAA 9/19/ 2023 6,169,724.20 5.24% 6 ,286,551.30 116,827.10 BA CREDIT CARD TRUST 12/14/2023 4.980% 11/15/2028 05522RDH8 3,045,000.00 NR 12/14/2023 3,044,591.06 4.98% 3,090,796.80 46,205.74 BOFA AUTO TRUST 2024-1 7/31/2023 5.530% 2/15/2028 06428AAC 2 3,120,000.00 NR 7/31/2023 3,119,881.75 5.53% 3,151,855.20 31,973.45 BOFA AUTO TRUST 2024-1 11/21/2023 5.740% 6/15/2028 06054YAC1 6,595,000.00 NR 11/21/2023 6, 594,880.63 5.76% 6,707,246.90 112,366.27
CARMAX AUTO OWNER TRUST
2023-3 4/21/2021 0.520% 2/17/ 2026 14314QAC8 234,216.02 AAA 4/21/2021 234,16 5.55 0.52% 232,784.96 -1,380.59 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% 6,146,253.75 102,929.42 9/17/2024 3:17 PM 4 of 5
Attachment A
City of Santa Clara Monthly Report
8/31/2024
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 CHASE ISSUANCE TRUST 1/31/2024 4.600% 1/16/2029 161571HV9 7,605,000.00 AAA 1/31/2024 7,603,841.76 4.60% 7,660,972.80 57,131.04
CITIBANK CREDIT CARD
ISSUANCE TRUST 12/11/2023 5.230% 12/8/2027 17305EGW9 1,855,000.00 AAA 12/11/ 2023 1,854,767.38 5.23% 1 ,868,003.55 13,236.17
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% 2,095,674.00 -3,876.39 FIFTH THIRD AUTO TRUST 8/23/2023 5.530% 8/15/2028 31680EAD 3 5,270,000.00 AAA 8/23/2023 5,269,673.26 5.53% 5,326,230.90 56,557.64
GM FINANCIAL SECURITIZED
TERM AUTO RECE 1/17/2024 4.850% 12/18/ 2028 36268GAD7 815,000.00 NR 1/ 17/2024 814,836.10 4.85% 821,601.50 6,765.40
HONDA AUTO RECEIVABLES
OWNER TRUST 2024 11/24/2021 0.880% 1/21/ 2026 43815GAC3 506,231.39 NR 11/ 24/2021 506,124.67 0.89 % 498,086.13 -8,038.54
HONDA AUTO RECEIVABLES
OWNER TRUST 2024 8/22/2023 5.410% 2/18/2028 43815QAC1 4,825,000.00 AAA 8/22/2023 4,824,005.09 5.42% 4,869,872.50 45,867.41
HYUNDAI AUTO RECEIVABLES
TRUST 2024-B 11/17/2021 0.740% 5/15/2026 44935FAD6 352,490.23 AAA 11/17/2021 352,411.56 0.75 % 348,263.87 -4,147.69
HYUNDAI AUTO RECEIVABLES
TRUST 2024-B 11/13/2023 5.540% 10/16/2028 44918CAD 4 2,530,000.00 AAA 11/13/2023 2,529,667.31 5.54% 2 ,578,651.90 48,984.59
KUBOTA CREDIT OWNER TRUST
2024-2A 7/26/2023 5.280% 1/18/2028 500945AC4 1,925,000.00 NR 7/26/2023 1,924,513.75 5.29% 1,945, 520.50 21,006.75
TOYOTA AUTO RECEIVABLES
OWNER TRUST COM 9/27/2021 0.430% 1/15/ 2026 89239BAC5 595,301.39 AAA 9/27/2021 595,253.95 0.43% 588,628.06 -6,625.89
TOYOTA AUTO RECEIVABLES
OWNER TRUST COM 8/15/2023 5.160% 4/17/2028 89231FAD2 1,505,000.00 AAA 8/15/ 2023 1,504,659.57 5.17% 1 ,517,009.90 12,350.33
TOYOTA AUTO RECEIVABLES
OWNER TRUST COM 11/14/2023 5.540% 8/15/2028 89239FAD4 1,725,000.00 AAA 11/14/ 2023 1,724,814.05 5.54% 1 ,760,000.25 35,186.20 USAA AUTO OWNER TRUST 2024
-
A 9/15/2023 5.580% 5/15/2028 90291VAC 4 6,030,000.00 AAA 9/15/2023 6,028,944.75 5.58% 6,088,068.90 59,124.15 Asset-Backed Security Subtotal 62,848,239.03 62,839, 631.11 63,582,073.67 742,442.56
COOPERATIEVE RABOBANK
UA/NY 7/20/2023 5.080% 7/17/2026 21684LGS5 7,500,000.00 A+ 7/20/2023 7,500,000.00 5.08% 7,678,725.00 178,725.00 Certificate of Deposit Subtotal 7,500,000.00 7,500,000.00 7,678,725.00 178,725.00
PRINCIPAL PUBLIC DEPOSIT
SWEEP PROGRAM 2.950% 9/1/2024 992995944 1,030,426.00 9/1/2020 1,030,426.00 1,030,426.00 -
LOCAL AGENCY INVESTMENT
FUND 4.579% 9/1/2024 6,001,482.83 9/30/1997 6,001,482.83 6,001,482.83 -
CALIFORNIA ASSET
MANAGEMENT PROGRAM 5.410% 9/1/2024 219,121,365.41 10/4/2022 219,121,365.41 219,121,365.41 -
CALIFORNIA ASSET
MANAGEMENT PROGRAM -
TERM 5.120% 9/25/2024 10,000,000.00 1/25/2024 10,000,000.00 10,000,000.00 -
CALIFORNIA ASSET
MANAGEMENT PROGRAM -
TERM 5.120% 10/21/2024 10,000,000.00 1/25/2024 10,000,000.00 10,000,000.00 -
DREYFUS TREASUR
Y 5.340% 9/1/2024 2,369,894.50 10/31/1997 2,369,894.50 2,369,894.50 - Cash Equivalent Subtotal 248,523,168.74 248,523,168.74 248,523,168.74 - Grand Total Count 173 1,188,827,549.24 1,175,256,667.84 1,177,792,747.45 2,536,079.61 9/17/2024 3:17 PM 5 of 5
Attachment A