_____________________________________________________________________
MONTHLY INVESTMENT REPORT
July 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 July 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 July 31, 2024.
On July 31, 2024 the cost value and market value of the City's unrestricted pooled investment portfolio were $1,144,485,162 and $1,140,507,508 respectively.
Investment Strategy and Market Update
At the July Federal Open Market Committee (FOMC) meeting, the Federal Reserve (Fed) left the federal funds target rate unchanged at 5.25% to 5.50%, which was in line with expectations. However, the Committee’s accompanying statement highlighted a transition to a more balanced consideration of both parts of its dual mandate of maximum employment and price stability.
Furthermore, Fed Chair Powell hinted that a rate cut could be on the table at the September meeting.
June inflation readings continued to make gradual progress towards the Fed’s 2% target. Both the year-over-year change in the Consumer Price Index (CPI) and Personal Consumption Expenditures Index (PCE) slowed to 3.0% and 2.5%, respectively. The improved inflation picture was highlighted by Chair Powell at the latest FOMC meeting. He noted that recent readings have added to the Fed’s confidence that inflation is moving sustainably towards 2%.
The July jobs report missed expectations badly. Nonfarm payrolls showed just 114,000 net new jobs versus estimates of 175,000.
The unemployment rate also ticked higher to 4.3% underscoring continuing moderation of the labor market from historically tight levels. Combined with other weakening measures of employment, such as a rise in weekly jobless claims, the market response was swift and decidedly downbeat. Immediately after the report, stocks went into a two-day tailspin and bond yields plunged.
Yields on benchmark 2-, 5-, and 10-year U.S. Treasuries ended the month at 4.26%, 3.91%, and 4.03%, respectively, representing changes of -50, -47, and -37 bps for the month, respectively.
COST VALUE PERCENTAGE
City $1,143,369,370 99.89%
SOSA 6,064
0.00%
HA 1,209,728 0.11% Unrestricted $1,144,485,162 100.00%
Restricted Bond Proceeds 2,369,542
Total Investments $1,146,844,704
2 The City's investment strategy for July 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 July 31, 2024, 44.01% of the City’s portfolio consists of U.S. Treasury Notes, 18.56% consists of California Asset Management Program (CAMP), 18.47% consists of investment grade Corporate Notes, 6.90% consists of Federal Agencies, 5.51% consists of investment grade Asset -Back Securities, 5.07% consists of investment grade Mortgage -Backed Securities, 0.65% consists of Negotiable Certificates of Deposit, and 0.52% 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
44.01%Federal Agency Notes
6.90%
Corporate Notes
18.47%
Asset-Backed Securities
5.51%
Negotiable Certificates of Deposit
0.65%
Mortgage-Backed Securities
5.07% Money Market Fund
0.10%
Local Agency Investment
Fund (LAIF)
0.52%
California Asset Management
Program (CAMP)
18.56%
Mutual Fund - Traffic Mitigation
Bond Proceeds
0.21%
3 The City’s securities portfolio is benchmarked against the ICE BAML 1-5 US Treasury Index.
3.44%
4.44%
4.60%
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
7/31/2024
Investment Yield
Liquidity Portfolio1 5.35%
LAIF average monthly yield 4.52%
Securities Portfolio2 3.44%
ICE BAML 1-5 US Treasury Index (24-month rolling average market yield) 4.44% ICE BAML 1-5 AAA-A US Corporate & Government Index (24-month rolling average market yield) 4.60%
City Portfolio (Liquidity + Securities) 3.81%
Investment Total Return*
Securities Portfolio 1.40%
ICE BAML 1-5 US Treasury Index 1.48%
ICE BAML 1-5 AAA-A US Corporate & Government Index 1.48%
Average Maturity of Investments (in years)
Liquidity Portfolio1 0.09
Securities Portfolio2 2.82
City Portfolio (Liquidity + Securities) 2.27
ICE BAML 1-5 US Treasury Index 2.75
ICE BAML 1-5 AAA-A US Corporate & Government Index 2.77
Cash Interest Income Current Month3 $ 4,188,125 Cash Interest Income Fiscal Year-To-Date3 $ 4,188,125
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 JULY 31, 2024
PER
COST % OF INVESTMENT
INVESTMENT TYPE VALUE PORTFOLIO POLICY
U.S. Treasury Notes 504,671,016 44.01% No Limit Federal Agency Notes 79,100,843 6.90% 80% Corporate Notes 211,788,351 18.47% 25%
Asset-Backed Securities 63,164,957 5.51% 10% Negotiable Certificates of Deposit 7,500,000 0.65% 30% Mortgage-Backed Securities 58,192,657 5.07% 15% Money Market Fund 1,158,512 0.10% 10% Per Fund Local Agency Investment Fund (LAIF) 6,001,483 0.52% $75 M California Asset Management Program (CAMP) 212,907,343 18.56% No Limit Mutual Fund - Traffic Mitigation Bond Proceeds 2,359,542 0.21% 10% Per Fund TOTAL INVESTMENTS $ 1,146,844,704 100.00%
6 INVESTMENT MATURITY DISTRIBUTION
AS OF JULY 31, 2024
UNRESTRICTED POOLED PORTFOLIO
MATURITY NUMBER OF
(IN MONTHS) COST VALUE INVESTMENTS DISTRIBUTION
DEMAND (a) $ 190,228,338 3 16.62%
0 TO 6 65,669,783 12 5.74%
7 TO 12 99,079,096 16 8.66%
13 TO 18 114,174,628 21 9.97%
19 TO 24 54,113,557 13 4.73%
25 TO 30 71,305,868 13 6.23%
31 TO 36 80,496,382 16 7.03%
37 TO 42 111,094,846 16 9.71%
43 TO 48 150,375,933 27 13.14%
49 TO 54 121,009,098 21 10.57%
55 TO 60 87,098,633 13 7.60%
TOTAL $ 1,144,646,162 171 100.00%
Average Maturity of Unrestricted Pool: 2.27 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 JULY 31, 2024
City of Santa Clara Monthly Report
7/31/2024
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 1/15/2022 1.125% 1/15/2025 91282CDS7 2,095,000.00 AA+ 4/12/ 2022 2,007,026.37 2.71% 2 ,057,750.90 50,724.53 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 ,909,850.00 -328,821.88 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% 1,914,841.50 -98,304.98 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% 6,119,648.00 -731,109.82 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, 927,843.20 -147,738.05 UNITED STATES TREASURY 10/31/2020 0.250% 10/31/2025 91282CAT 8 5,510,000.00 AA+ 6/7/2022 5,024,216.04 3.00% 5,222,433.10 198,217.06 UNITED STATES TREASURY 10/31/2020 0.250% 10/31/2025 91282CAT 8 5,400,000.00 AA+ 10/7/2021 5,285,882.81 0.78% 5, 118,174.00 -167,708.81 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, 211,702.50 -115,922.50 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, 605,277.80 -146,678.45 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% 10,210,966.00 262,266.39 UNITED STATES TREASURY 1/31/2021 0.375% 1/31/2026 91282CBH 3 8,710,000.00 AA+ 5/3/2022 7,905,345.70 3.00% 8,196,284.20 290,938.50 UNITED STATES TREASURY 1/31/2021 0.375% 1/31/2026 91282CBH 3 7,735,000.00 AA+ 2/25/2022 7,305,949.22 1.84% 7,278,789.70 -27,159.52 UNITED STATES TREASURY 1/31/2021 0.375% 1/31/2026 91282CBH 3 4,050,000.00 AA+ 1/6/2022 3,906,351.56 1.27% 3,811,131.00 -95,220.56 UNITED STATES TREASURY 1/31/2021 0.375% 1/31/2026 91282CBH 3 8,025,000.00 AA+ 11/30/2021 7,817,478.52 1.01% 7, 551,685.50 -265,793.02 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 ,263,748.00 3,498.00 UNITED STATES TREASURY 2/28/2021 0.500% 2/28/2026 91282CBQ 3 5,175,000.00 AA+ 12/7/2021 5,067,214.15 1.15% 4, 866,518.24 -200,695.91 UNITED STATES TREASURY 2/28/2021 0.500% 2/28/2026 91282CBQ 3 3,575,000.00 AA+ 8/31/2021 3,542,880.86 0.70% 3, 361,894.26 -180,986.60 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 ,671,135.00 193,654.53 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 ,493,281.20 -27,708.64 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% 5,063, 882.00 30,493.33 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% 10,076,200.00 145,731.25 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 ,920,300.00 41,530.47 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 ,326,593.00 58,991.44 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% 8,422,840.40 -49,401.79 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 ,988,734.80 -11,883.17 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% 7,553,733.60 -151,718.74 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% 5,156, 784.00 -2,325.38 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% 2 ,005,416.00 -35,275.41 UNITED STATES TREASURY 3/31/2022 2.500% 3/31/ 2027 91282CEF4 940,000.00 AA+ 11/30/2022 883,159.38 4.03 % 902,653.80 19,494.42 UNITED STATES TREASURY 4/30/2020 0.500% 4/30/2027 912828ZN3 7,000,000.00 AA+ 8/3/2022 6,262,81 2.50 2.89% 6,351, 660.00 88,847.50 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% 5,155,974.00 -92,572.88 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% 5,122, 992.75 88,203.69 UNITED STATES TREASURY 7/31/2022 2.750% 7/31/2027 91282CFB 2 10,800,000.00 AA+ 9/14/2022 10,392,046.88 3.60% 10,400,508.00 8,461.12 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% 10,023,073.80 110,021.46 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% 10,541,021.40 3,046.20 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% 3,794,916.70 34,607.91 UNITED STATES TREASURY 10/31/2020 0.500% 10/31/2027 91282CAU 5 21,480,000.00 AA+ 1/6/2023 18,292,401.56 3.91% 19,185,936.00 893,534.44 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% 10, 959,073.80 -122,921.51 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% 4,762,635.00 -70,675.55 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% 5,113,566.00 -51,777.75 UNITED STATES TREASURY 11/15/1997 6.125% 11/15/2027 912810FB9 3,100,000.00 AA+ 7/24/2024 3,288,058.59 4.14% 3,302, 833.00 14,774.41 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 ,217,935.05 -102,524.52 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 ,292,110.75 -41,473.23 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 ,828,223.50 -77,854.63 UNITED STATES TREASURY 1/31/2021 0.750% 1/31/2028 91282CBJ 9 5,815,000.00 AA+ 2/7/2023 5,009,758.79 3.83% 5,200,819.70 191,060.91 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 ,379,216.20 -129,301.77 8/14/2024 4:52 PM 1 of 5
Attachment A
City of Santa Clara Monthly Report
7/31/2024
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 8,080,000.00 AA+ 1/26/ 2024 8,063,587.50 4.05% 8 ,077,172.00 13,584.50 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 ,357,424.00 -175,076.00 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 ,597,690.00 70,908.75 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% 5,276,877.60 40,469.01 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% 4,959,539.60 47,009.52 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 ,691,842.15 -124,727.58 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 ,966,169.30 -57,543.20 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 ,987,760.75 -54,727.53 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% 11,584,674.65 -110,903.08 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 ,178,869.15 29,794.93 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% 11,305,763.00 188,063.78 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 ,700,867.00 13,683.41 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% 4 ,975,740.00 53,777.11 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 ,058,464.80 4,327.30 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 ,760,886.20 18,160.03 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 ,107,208.00 -33,631.84 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 ,341,219.20 -14,497.99 UNITED STATES TREASURY 11/30/2023 4.375% 11/30/2028 91282CJN2 8,025,000.00 AA+ 1/26/ 2024 8,150,704.10 4.02% 8 ,157,894.00 7,189.90 UNITED STATES TREASURY 12/31/2023 3.750% 12/31/2028 91282CJR3 14,950,000.00 AA+ 1/19/ 2024 14,770,132.81 4.02% 14,825,616.00 55,483.19 UNITED STATES TREASURY 12/31/2023 3.750% 12/31/2028 91282CJR3 6,250,000.00 AA+ 1/4/ 2024 6,202,148.44 3.92% 6 ,198,000.00 -4,148.44 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% 6,413,248.00 45,498.00 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% 5,040,412.10 72,304.68 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% 9,102, 061.50 61,561.50 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% 2,887,306.50 19,382.67 UNITED STATES TREASURY 3/31/2024 4.125% 3/31/2029 91282CKG 5 10,050,000.00 AA+ 4/11/2024 9,938,900.39 4.37% 10,126,179.00 187,278.61 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% 16,907,566.50 495,398.53 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% 5,072,958.00 79,065.42 UNITED STATES TREASURY 6/30/2024 4.250% 6/30/2029 91282CKX 8 18,920,000.00 AA+ 7/3/2024 18,812,835.94 4.38% 19,181,663.60 368,827.66 UNITED STATES TREASURY 6/30/2024 4.250% 6/30/2029 91282CKX 8 7,590,000.00 AA+ 7/3/2024 7,538,411.72 4.40% 7,694,969.70 156,557.98 U.S. Treasury Bond / Note Subtotal 517,025,000.00 504,671,016.34 505,378,629.65 707,613.31 FANNIE MAE 1/10/2020 1.625% 1/7/2025 3135G 0X24 225,000.00 AA+ 1/22/2020 224,970. 75 1.63% 221,604.75 -3,366.00 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% 9,693,900.00 -356,700.00 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 ,766,981.40 -97,947.60 FNMA Medium Term Note Subtotal 12,085,000.00 12,140,499.75 11,682,486.15 -458,013.60 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 ,193,949.60 -495,417.60 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 ,660,700.00 -322,100.00 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 ,631,600.00 -365,940.00 FFCB Medium Term Note Subtotal 27,320,000.00 27,669,707.20 26,486,249.60 -1,183,457.60 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% 9,605,000.00 -412,640.00 FFCB Coupon Note Subtotal 10,000,000.00 10,017,640.00 9,605,000.00 -412,640.00 8/14/2024 4:52 PM 2 of 5
Attachment A
City of Santa Clara Monthly Report
7/31/2024
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 ,956,900.00 -504,400.00 FHLB Medium Term Note Subtotal 5,000,000.00 5,461,300.00 4,956,900.00 -504,400.00 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, 907,050.00 -319,910.00 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 ,957,850.00 -40,150.00 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% 8, 945,571.30 -416,164.80 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 ,226,690.00 1,690.00 FHLMC Medium Term Note Subtotal 23,615,000.00 23,811,696.10 23,037,161.30 -774,534.80 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 ,605,397.50 194,801.80 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 ,474,402.40 3,246.15
FHLMC MULTIFAMILY
STRUCTURED P 1/30/2017 3.347% 11/1/2026 3137BTU M1 5,272,735.54 AA+ 5/24/2023 5,110,434.15 4.31% 5,121,144.39 10,710.24
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 ,747,360.00 201,110.00
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 ,397,742.00 112,481.65
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 ,286,837.50 184,942.97
FHLMC MULTIFAMILY
STRUCTURED P 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 ,597,575.00 22,665.00
FHLMC MULTIFAMILY
STRUCTURED P 7/1/2023 4.777% 6/1/2028 3137HAD 45 6,068,439.59 AA+ 7/27/2023 6,068,287.88 4.78% 6,088,950.92 20,663.04
FHLMC MULTIFAMILY
STRUCTURED P 10/1/2023 4.740% 8/1/2028 3137HAQ 74 5,750,000.00 AA+ 10/19/2023 5, 623,868.00 5.26% 5,803,360.00 179,492.00 Federal Agency Commercial
Mortgage-Backed Security Subtotal 60,011,175.13 58,192, 656.86 59,122,769.71 930,112.85 3M COMPANY 3/27/2020 2.650% 4/15/2025 88579YBM 2 2,560,000.00 BBB+ 4/25/2022 2,511,616.00 3.32% 2,512,665.60 1,049.60 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 ,961,000.00 -222,680.00 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% 1,664,282.85 31,719.00 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% 1,363,999.40 26,237.20 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% 5,471,712.40 117,325.60 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, 525,704.15 -147,259.95 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, 946,900.00 -408,300.00 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, 946,900.00 -393,200.00 BANK OF AMERICA CORP 3/22/2022 3.384% 4/2/2026 06051GKM 0 5,000,000.00 A- 3/22/2022 5,005,100.00 3.36% 4,933,100.00 -72,000.00 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% 4,061,680.00 63,320.00 BANK OF AMERICA CORP 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 ,332,925.60 51,673.80 BANK OF NY MELLON CORP 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, 484,480.00 -541,440.00 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% 4,016,255.40 -69,800.40 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% 4,016,255.40 -69,096.60 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% 2,955,754.64 44,532.52 BLACKROCK INC 3/14/2024 4.700% 3/14/2029 09290DAA9 350,000.00 AA- 3/14/2024 349,366.50 4.74% 353,801.00 4,434.50 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 ,440,982.75 -231,690.75 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% 11,692,970.25 467,970.25 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 ,318,504.70 -240,750.90 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 ,947,410.00 -66,630.00 8/14/2024 4:52 PM 3 of 5
Attachment A
City of Santa Clara Monthly Report
7/31/2024
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 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 ,428,486.80 63,766.85 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, 852,200.00 -245,700.00 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% 2,188,342.20 6,381.65 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, 680,350.00 -228,250.00 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% 615,520.95 4,646.40 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% 513,781.95 9,534.40 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% 4,785,300.00 -238,250.00 JPMORGAN CHASE & CO 8/10/2021 0.768% 8/9/2024 46647PCM6 2,340,000.00 A- 8/10/ 2021 2,340,000.00 0.77% 2 ,337,519.60 -2,480.40 JPMORGAN CHASE & CO 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 ,742,796.00 30,296.00 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 ,869,867.00 159,121.00 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 ,791,356.75 116,824.50 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, 907,750.00 -305,700.00 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% 4,907,750.00 -83,050.00 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% 7,044,825.00 154,950.00 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, 944,350.00 -397,350.00 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% 5,007,027.00 66,045.00 MORGAN STANLEY 5/30/2024 5.504% 5/26/2028 61690U8B9 6,105,000.00 A+ 5/31/2024 6,117,881.55 5.44% 6 ,214,218.45 96,336.90 MORGAN STANLEY 5/30/2024 5.504% 5/26/2028 61690U8B9 3,145,000.00 A+ 5/30/2024 3,145,000.00 5.50% 3 ,201,264.05 56,264.05 NOVARTIS CAPITAL CORP 11/20/2015 3.000% 11/20/2025 66989HAJ 7 10,000,000.00 AA- 1/31/2023 9,638,600.00 4.38% 9,799,200.00 160,600.00 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 ,032,270.00 36,190.00 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% 4,417, 580.40 44,369.40 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% 5,775,295.50 -85,293.00 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% 1,094,472.85 -20,527.15 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 ,177,452.50 -97,920.00 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, 331,890.30 -235,999.20 TARGET CORP 1/24/2022 1.950% 1/15/ 2027 87612EBM7 990,000.00 A 1/24/ 2022 988,317.00 1.99% 933,312.60 -55,004.40 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 ,751,312.00 161,056.00 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% 5,635,533.00 -376,314.00 Corporate Note Subtotal 212,994,000.00 211,788,351.17 208,928,309.04 -2,860,042.13
AMERICAN EXPRESS CREDIT
ACCOUNT 9/19/2023 5.230% 9/15/2028 02582JKD1 6,170,000.00 AAA 9/19/ 2023 6,169,724.20 5.23% 6 ,247,310.10 77,585.90 BANK OF AMERICA AUTO TRUST 7/31/2023 5.530% 2/15/2028 06428AAC 2 3,120,000.00 NR 7/31/2023 3,119,881.75 5.53% 3,141,996.00 22,114.25 BANK OF AMERICA AUTO TRUST 11/21/2023 5.740% 6/15/2028 06054YAC 1 6,595,000.00 NR 11/21/2023 6,594,880.63 5.74% 6,683,109.20 88,228.57
BANK OF AMERICA 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% 3,071,826.45 27,235.39 CARMAX AUTO OWNER TRUST 4/21/2021 0.520% 2/17/ 2026 14314QAC8 316,966.07 AAA 4/21/2021 316,89 7.77 0.52% 314,370.12 -2,527.65 CHASE ISSUANCE TRUST 1/31/2024 4.600% 1/15/2027 161571HV9 7,605,000.00 AAA 1/31/2024 7,603,841.76 4.61% 7,614,658.35 10,816.59 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 ,115,424.25 72,099.92
CITIBANK CREDIT CARD
ISSUANCE 12/11/2023 5.230% 12/8/2027 17305EGW9 1,855,000.00 AAA 12/11/ 2023 1,854,767.38 5.23% 1 ,861,511.05 6,743.67
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% 2,086,833.00 -12,717.39 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% 5,308,629.10 38,955.84 8/14/2024 4:52 PM 4 of 5
Attachment A
City of Santa Clara Monthly Report
7/31/2024
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
GM FINANCIAL SECURITIZED
TERM 1/17/2024 4.850% 12/18/ 2028 36268GAD7 815,000.00 NR 1/ 17/2024 814,836.10 4.85% 817,249.40 2,413.30
HONDA AUTO RECEIVABLES
OWNER TRUST 11/24/2021 0.880% 1/21/ 2026 43815GAC3 576,991.52 NR 11/24/ 2021 576,869.88 0.89% 566,588.36 -10,281.52
HONDA AUTO RECEIVABLES
OWNER TRUST 8/22/2023 5.410% 2/18/2028 43815QAC1 4,825,000.00 AAA 8/22/2023 4,824,005.09 5.42% 4,856,845.00 32,839.91
HYUNDAI AUTO RECEIVABLES
TRUST 11/17/2021 0.740% 5/15/2026 44935FAD6 411,363.53 AAA 11/17/2021 411,271.72 0.75 % 405,592.10 -5,679.62
HYUNDAI AUTO RECEIVABLES
TRUST 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 ,564,306.80 34,639.49 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% 1,939, 957.25 15,443.50
TOYOTA AUTO RECEIVABLES
OWNERS 9/27/2021 0.430% 1/15/ 2026 89239BAC5 708,298.37 AAA 9/27/2021 708,241.92 0.43% 698,814.25 -9,427.67
TOYOTA AUTO RECEIVABLES
OWNERS 8/15/2023 5.160% 4/17/2028 89231FAD2 1,505,000.00 AAA 8/15/ 2023 1,504,659.57 5.17% 1 ,509,530.05 4,870.48
TOYOTA AUTO RECEIVABLES
OWNERS 11/14/2023 5.540% 8/15/2028 89239FAD4 1,725,000.00 AAA 11/14/ 2023 1,724,814.05 5.54% 1 ,752,134.25 27,320.20 USAA AUTO OWNER TRUST 9/15/2023 5.580% 5/15/2028 90291VAC 4 6,030,000.00 AAA 9/15/2023 6,028,944.75 5.58% 6,065,154.90 36,210.15 Asset-Backed Security Subtotal 63,173,619.49 63,164,956.67 63,621,839.98 456,883.31 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% 7,620,825.00 120,825.00 Certificate of Deposit Subtotal 7,500,000.00 7,500,000.00 7,620,825.00 120,825.00
PRINCIPAL PUBLIC DEPOSIT
SWEEP PROGRAM 2.950% 8/1/2024 992995944 1,158,511.94 9/1/2020 1,158,511.94 1,158,511.94 -
LOCAL AGENCY INVESTMENT
FUND 4.332% 8/1/2024 6,001,482.83 9/30/1997 6,001,482.83 6,001,482.83 -
CALIFORNIA ASSET
MANAGEMENT PROGRAM 5.430% 8/1/2024 182,907,342.72 10/4/2022 182,907,342.72 182,907,342.72 -
CALIFORNIA ASSET
MANAGEMENT PROGRAM -
TERM 5.120% 8/23/2024 10,000,000.00 1/25/2024 10,000,000.00 10,000,000.00 -
CALIFORNIA ASSET
MANAGEMENT PROGRAM -
TER
M 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 5.180% 8/1/2024 2,359,542.04 10/31/1997 2,359,542.04 2,359,542.04 - Cash Equivalent Subtotal 222,426,879.53 222,426,879.53 222,426,879.53 - Grand Total Count 172 1,161,150,674.15 1,146,844,703.62 1,142,867,049.96 (3,977,653.66) 8/14/2024 4:52 PM 5 of 5
Attachment A