HomeMy WebLinkAbout011420-08.1CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending December 31, 2019
Town of Danville
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of December 31, 2019
1
SECTION |Section 1 |Economic Update
2
Economic Update
▪
▪
▪
Economicgrowth has slowed overthe past yearand the consensus forecast calls for GDP growth of 1.8%in 2020 versus 2.3%
in 2019.We are not anticipating arecession within our 6-month outlook horizon.We believe the impact of monetary policy
on economicgrowth is somewhat lagged, and the more accommodative monetary policy stance of the Federal Reserve and
otherglobal central banks throughout 2019 should provide atailwind for an ongoing slow economicgrowth environment in
2020.However,an uncertain outlook on the future path of global central bank policy, lingering uncertainty about trade
policy and Brexit, and the upcoming US presidential election potentially sets the stage for a continued volatile financial
market environment this year. The recent confirmation of aphase one trade deal is consistent with our view that there will
be modest incremental progress on trade in front of the presidential election cycle.
The Federal Open Market Committee (FOMC) kept the target fed funds rate unchanged in December in a range of 1.50%-
1.75%. The vote to keep policy unchanged was unanimous and the Fed's quarterly update on their Summary of Economic
Projections was little changed from the September 2019 forecast. Notably the Fed's forecast calls for no change to the fed
funds rate in 2020. We believe the hurdle rate to tighten policy remains high, as market-based measures of inflation are still
too low. Conversely,if market-based inflation metrics fail to improve, and/or the domestic or global economy experiences
an exogenous shock, we believe the Fed has left the door open for additional policy accommodation.
The Treasury yield curve steepened slightly in December. The 2-year Treasury yield decreased about 4 basis points to 1.57%,
the 5-year Treasury yield increased almost seven basis points to 1.69%, and the 10-year Treasury yield increased about
fourteen basis points to 1.92%. We believe the increase in longer-term yields were driven by more favorable developments
with regard to global trade and Brexit.
3
Source: US Department of Labor Source: US Department of Labor
Employment
U.S. nonfarm payrolls rose by 266,000 in November, well above expectations of 180,000. Octoberpayrolls were also revised upward by 28,000 to
156,000.On a trailing 3-month and 6-month basis, payrolls increased an average of about 205,000 and 196,000 per month, respectively. The
unemployment rate declined to 3.5% from 3.6%in October,as the participation rate ticked down to 63.2% from 63.3%. A broader measure of
unemployment called the U-6, which includes those who are marginally attached to the labor force and employed part time for economic
reasons, reversed back to 6.9%in November after ticking up to 7.0%in October. Wages increased 0.2%in November, slightly below
expectations,but the October increase in wages was revised up to 0.4% from 0.2%. The average workweek was unchanged in November.On a
year-over-year basis, wages were up 3.1% in November, versus up 3.2% in October.
0
50
100
150
200
250
300
350
MO
M
C
h
a
n
g
e
I
n
(
0
0
0
'
s
)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
11.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Ra
t
e
(
%
)
4
Source: US Department of Labor Source: US Department of Commerce
Inflation
The ConsumerPrice Index (CPI) was up 2.1% year-over-year in November,up from 1.8%in October. Core CPI (CPI less food and energy) was up
2.3% year-over-year in November, unchanged from October. The Personal Consumption Expenditures (PCE) index was up 1.5% year-over-year
in November versus up 1.4% year-over-year in October. Core PCE, which is the Fed's primary inflation gauge, was up 1.6% year-over-year in
November versus 1.7% year-over-year in October. Core PCE softened and remains below the Fed’s 2.0% inflation target.
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
5
Retail sales increased 0.2%in November, following growth of 0.4%in October. Excluding auto and gas, retail sales were flat in November,
below expectations of 0.4%.On a year-over-year basis, retail sales increased 3.3%in November, versus 3.2%in October. The Consumer
Confidence Index was nearly unchanged at 126.5 in December versus 126.8 in November. Overall, the index remains at a strong level.
Source: US Department of Commerce Source: The Conference Board
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
Retail Sales YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
110
115
120
125
130
135
140
145
In
d
e
x
L
e
v
e
l
Consumer Confidence
Consumer
6
Source: The Conference Board Source: Federal Reserve Bank of Chicago
Economic Activity
The Leading Economic Index (LEI) was flat in November, following adownwardly-revised 0.2% decline in October. Although the index remains
slightly positive on a year-over-year basis,up 0.1%, the year-over-year rate of change has decelerated. The Conference Board believes the
index points to roughly 2.0% GDP growth in 2020.The Chicago Fed National Activity Index (CFNAI) jumped to +0.56 in Novemberfrom -0.76 in
October. Weakness in vehicle production related to the GM strike (which ended on October 25)contributed to the October decline.On a 3-
month moving average basis, the index improved to -0.25 in November versus -0.35 in October. Negative values are generally consistent with
below-average growth,but the index suggests that trends are improving. Periods of economic contraction have historically been associated
with values below -0.70 on a 3-month moving average basis.
-0.70
-0.50
-0.30
-0.10
0.10
0.30
0.50
0.70
Chicago Fed National Activity Index (CFNAI)
3
M
o
n
t
h
A
v
e
r
a
g
e
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
Leading Economic Indicators (LEI)
MO
M
(
%
)
C
h
a
n
g
e
7
Source: US Department of Commerce Source: S&P
Housing
0
200
400
600
800
1000
1200
1400
1600
1800
MO
M
C
h
a
n
g
e
(
I
n
T
h
o
u
s
a
n
d
s
o
f
U
n
i
t
s
)
Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
1.5%
2.5%
3.5%
4.5%
5.5%
6.5%
7.5%
S&P/Case -Shiller 20 City Composite Home Price Index
YO
Y
(
%
)
C
h
a
n
g
e
Housing starts increased 3.2%in November to a 1.365 million annualized rate and starts in the prior month were revised higher. Permits were
also stronger than expected in November,up 1.4%. Multi-family starts rose 4.9% month-over-month in November to an annualized rate of
427,000. Single-family starts rose 2.4%in November to an annualized rate of 938,000. The trends suggest that low mortgage rates and astrong
labor market continue to drive housing activity. According to the Case-Shiller 20-City home price index, home prices were up 2.2% year-over-
year in October, versus up 2.1% year-over-year in September. The year-over-year pace of price appreciation remains low but suggests that
pricing in the sector may be gaining momentum.
8
Source: Institute for Supply Management Source: Federal Reserve
Manufacturing
The Institute forSupply Management (ISM) manufacturing index decreased to 47.2 in Decemberfrom 48.1 in November. The reading was below
expectations and suggests the manufacturing sector remains in contraction. The Industrial Production index declined 0.8% year-over-year in
November versus down 1.3% year-over-year in October.On a month-over-month basis, the index rose 1.1%in November, greater than the
consensus forecast of 0.9%, following a 0.9% decline in October. The manufacturing component of the index also rose 1.1%in November,
following a 0.7% decline in October. The GM strike negatively impacted manufacturing volumes in October. Capacity Utilization increased to
77.3% in November from 76.6% in October, but remains below the long-run average of 79.8% indicating there is still excess capacity for growth.
46
48
50
52
54
56
58
60
62
64
Institute of Supply Management Purchasing Manager
Index
EXPANDING
CONTRACTING
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
Industrial Production
YO
Y
(
%
)
C
h
a
n
g
e
9
Source: US Department of Commerce Source: US Department of Commerce
12/18 3/19 6/19 9/19
1.0% 0.8% 3.0% 2.1%
0.5% 1.1% -1.2% -0.2%
-0.4% 0.7% -0.7% -0.1%
0.1% 0.1% 0.5% 0.2%
-0.1% 0.4% 0.3% 0.1%
1.1% 3.1% 2.0% 2.1%
Total
Components of GDP
Net Exports and Imports
Personal Consumption
Expenditures
Gross Private Domestic
Investment
Federal Government
Expenditures
State and Local (Consumption and
Gross Investment)0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
According to the third estimate, third quarter 2019 GDP grew at a2.1% annualized rate. This follows growth of 3.1%in the first quarter, and 2.0%
in the second quarter on 2019.Third quarter growth was fueled by consumer spending which contributed 2.1%to GDP in the quarter, while
business investment and exports were a drag on the economy. The consensus estimate for the fourth quarter signals a slowdown to 1.6%
growth. The consensus forecast calls for GDP growth of 1.8% in 2020 versus 2.3% in 2019 and 2.9% in 2018.
10
Federal Reserve
Source: Federal Reserve Source: Bloomberg
3,700,000
3,800,000
3,900,000
4,000,000
4,100,000
4,200,000
4,300,000
4,400,000
4,500,000
Federal Reserve Balance Sheet Assets
In
$
m
i
l
l
i
o
n
s
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
Long Run Federal Funds Rates
FOMC DOTS Median of the Longer Run Projections
Effective Federal Funds Rate
Yi
e
l
d
(
%
)
The FOMC cut the fed funds rate by 25 basis points three times in 2019 to a range of 1.50-1.75%.In October, the Fed started to increase its
purchases of short-term Treasury securities in order to provide sufficient liquidity to the banking system and money markets. Fed ChairPowell
has emphasized that the purchases are aimed at controlling the level of short-term lending rates but are not a form of economic stimulus.
Nevertheless, we believe an expansion of the Fed's balance is supportive of ongoing economic growth.
11
Source: Bloomberg Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yi
e
l
d
(
%
)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
US Treasury Yield Curve
Dec-19
Sep-19
Dec-18
Y
i
e
l
d
(
%
)
Bond Yields
Treasury yields declined meaningfully in 2019.At year-end, the 3-month T-bill yield was down 81 basis points, the 2-Year Treasury yield was
down 92 basis points, and the 10-Year Treasury yield was down 77 basis points.We believe the year-over-year decline in long-term Treasury
yields largely reflects adecline in global economicgrowth and inflation expectations, while the decline in shorter-term rates is in line with the
Fed's three 25 basis point rate cuts in 2019.
12
Section 2|SECTION |Section 2 |Account Profile
13
Objectives
Chandler Asset Management Performance Objective
The performance objective is to achieve a return that equals the return on an unmanaged index of one-to-
three year Tr easury securities (a “market rate of return”).
Investment Objectives
The primary investment objectives of the Town of Danville are to preserve principal and to maintain
adequate liquidity to meet the Town’s cash flow requirements.The Town expects to achieve a rate of
return which is consistent with its primary objectives.
Strategy
In order to meet its objectives,the Town invests in securities permitted under California Government
Code Section 53600 et seq.and under its Investment Policy.The maximum maturity of the Town’s
investments is five years,unless specifically authorized by the Town Council.
As of December 31, 2019
14
Category Standard Comment
Treasury Issues No Limit; Obligations of the U.S. Treasury or securities guaranteed by the full faith and credit of the U.S. ("Treasury obligations")
excluding securities which have been stripped of their coupon Complies
Agency Issues No Limit; Obligations guaranteed by the full faith and credit of agencies or instrumentalities of the U.S. government ("Agency
obligations"), including, but not limited to FNMA, FFCB, FHLB, FHLMC.Complies
Municipal Securities
"A" rating category or better by a NRSRO; 30% maximum; 5% per issuer; Obligations of the Town, State of California, and any local
agency within the State of California; any of the other 49 states, in addition to California, including bonds payable solely out of the
revenues from a revenue-producing property owned, controlled, or operated by a state or by a department, board, agency, or
authority of any of the other 49 states, in addition to California.
Complies
Supranational Securities
"AA" rated category or higher by a NRSRO; 30% maximum; 5% max per issuer; U.S. dollar denominated senior unsecured
unsubordinated obligations issued or unconditionally guaranteed by the International Bank for Reconstruction and Development
("IBRD"), the International Finance Corporation ("IFC") or the Inter-American Development Bank ("IADB")
Complies
Banker’s Acceptances "A-1" short-term rated or higher by a NRSRO; and "A" long-term rated category or higher by a NRSRO; 40% maximum; 5% max per
issuer; 180 days max maturity Complies
Commercial Paper
"A-1" short-term rated or higher by a NRSRO; and "A" long-term rated category or higher by a NRSRO, if any; 25% maximum; 5% max
per issuer; 270 days max maturity; Issued by corporations organized and operating within the U.S. and having total assets in excess
of $500 million
Complies
Negotiable CDs "A-1" short-term rated or higher by a NRSRO; and "A" long-term rated category or higher by a NRSRO; 30% maximum; 5% max per
issuer; 2 years max maturity Complies
Corporate Medium Term Notes "A" rated category or higher by a NRSRO; 30% maximum (Town Council Directive as of 7/21/16: 20% maximum. Of the 20% total
permitted, up to 10% rated "A", and the balance rated "AA" or better); 5% max per issuer Complies
Mortgage Pass-Through Securities 15% maximum; 5% per issuer; Issued by Agencies of the U.S. government only Complies
Collateralized Mortgage Obligation (CMOs)
and Asset Backed Securities (ABS)AAA rated by a NRSRO; 15% maximum (combination of ABS and CMOs); 5% max per issuer Complies
Bank/Time Deposits FDIC insured/ Collateralized Complies
Money Market Mutual Funds and Mutual
Funds
Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience greater than 5 years;
10% max per one Mutual Fund; 20% maximum in Money Market Mutual Funds; 20% maximum combined of total portfolio in these
s ecurities.
Complies
Repurchase Agreements 15% maximum; 102% collateralized; 30 days max maturity; Not used by Investment Adviser Complies
Local Agency Investment Fund (LAIF)30% maximum or $10 million, whichever is higher; The amount invested in LAIF should be based upon the Town's cash flow needs
and the difference in yield paid upon funds invested in LAIF compared to other investment options authorized by the policy.Complies
Prohibited Inverse floaters, Range notes, Mortgage-derived, Interest-only strips; Zero interest accrual securities; Purchasing/Selling securities
on Margin; Reverse Repurchase Agreements; Securities lending; Foreign currency denominated securities Complies
Max Per Issuer 5% max per issuer (except LAIF, Treasuries, Agencies, Money Market Mutual Funds, LAIF); or unless otherwise stated in the
investment policy Complies
Maximum maturity 5 years Complies
Assets managed by Chandler Asset Management are in full compliance with state law and the Client’s investment policy.
Town of Danville - All Accounts
Compliance As of December 31, 2019
15
Portfolio Characteristics
Danville Short Term Treasury Pool
12/31/2019 9/30/2019
Benchmark*Portfolio Portfolio
Average Maturity (yrs)1.86 1.86 1.92
Average Modified Duration 1.80 1.73 1.81
Average Purchase Yield n/a 2.10%2.06%
Average Market Yield 1.60%1.69%1.79%
Average Quality**AAA AA+/Aa1 AA+/Aa1
Total Market Value 72,712,000 74,935,849
*ICE BAML 1-3 Yr US Treasury Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of December 31, 2019
16
Danville Short Term Treasury Pool
Sector Distribution
ABS
3.1%
Agency
40.5%
LAIF
0.1%
Money Market
Fund FI
0.4%
Supranational
6.7%
US Corporate
16.9%
US Treasury
32.2%
December 31, 2019 September 30, 2019
ABS
2.3%
Agency
42.1%
LAIF
0.1%
Money Market
Fund FI
1.3%
Supranational
6.5%
US Corporate
16.4%
US Treasury
31.3%
As of December 31, 2019
17
Issue Name Investment Type % Portfolio
Government of United States US Treasury 32.25%
Federal Home Loan Bank Agency 20.11%
Federal National Mortgage Association Agency 11.48%
Federal Farm Credit Bank Agency 6.88%
Inter-American Dev Bank Supranational 3.23%
Apple Inc US Corporate 2.09%
Intl Bank Recon and Development Supranational 2.07%
Federal Home Loan Mortgage Corp Agency 2.06%
Honda ABS ABS 1.97%
BlackRock Inc/New York US Corporate 1.43%
Toyota Motor Corp US Corporate 1.42%
Berkshire Hathaway US Corporate 1.42%
Honda Motor Corporation US Corporate 1.40%
Oracle Corp US Corporate 1.40%
International Finance Corp Supranational 1.40%
PNC Financial Services Group US Corporate 1.26%
Wal-Mart Stores US Corporate 1.16%
State Street Bank US Corporate 1.11%
Bank of New York US Corporate 1.07%
US Bancorp US Corporate 1.07%
IBM Corp US Corporate 1.06%
Nissan ABS ABS 0.78%
Paccar Financial US Corporate 0.70%
John Deere ABS ABS 0.38%
ChevronTexaco Corp US Corporate 0.36%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund FI 0.35%
Local Agency Investment Fund LAIF 0.10%
TOTAL 100.00%
Issuers
Danville Short Term Treasury Pool –Account #21
As of December 31, 2019
18
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
December 31, 2019 September 30, 2019
December 31, 2019 vs. September 30, 2019
0 -0.25 0.25 -0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
12/31/19 9.6%8.1%16.9%21.1%31.0%13.2%0.0%0.0%
09/30/19 7.5%8.9%17.2%18.7%23.9%23.8%0.0%0.0%
Danville Short Term Treasury Pool
Duration Distribution As of December 31, 2019
19
Purchase Yield as of 12/31/2019 = 2.10%
1.0
1.2
1.4
1.6
1.8
2.0
2.2
Pe
r
c
e
n
t
(
%
)
Historical Average Purchase Yield
Danville Short Term Treasury Pool
As of December 31, 2019
20
$1,000,000
$1,500,000
$2,000,000
$2,500,000
$3,000,000
Danville Total Return
Danville Realized Return
LAIF
Growth of $1 Million
Growth Over Time As of December 31, 2019
As of 12/31/2019 Dollar Value Return
Danville Total Return $2,472,640 3.73%
Danville Realized Return $2,407,741 3.61%
LAIF $1,961,942 2.76%
Historical Return of $1 Million Invested on March 31, 1995
21
Total and Realized Rate of Return Annualized Since Inception 03/31/1995
Total rate of return: A measure of a portfolio’s performance over time.It is the internal rate of return,which equates the beginning value of the portfolio with the ending market value;it includes interest earnings,
realized and unrealized gains and losses in the portfolio.Realized rate of return: A measure of a portfolio’s return over time.It is the internal rate which equates the beginning book value of the portfolio with the
ending book value;it includes interest earnings,realized gains and losses in the portfolio.
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
12 months 2 years 3 years 5 years 10 years Since Inception
Danville Short Term Treasury Pool ICE BAML 1-3 Yr US Treasury Index
Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since
Inception
Danville Short Term Treasury Pool 0.51%3.77%2.73%2.09%1.59%1.47%3.73%
ICE BAML 1-3 Yr US Treasury Index 0.51%3.55%2.56%1.84%1.39%1.22%3.46%
REALIZED RATE OF RETURN
Danville Short Term Treasury Pool 0.52%2.02%1.83%1.67%1.42%1.56%3.61%
Investment Performance
Danville Short Term Treasury Pool
As of December 31, 2019
22
Portfolio Characteristics
Danville NERIAD Improvement Fund (89-1 90A)
12/31/2019 9/30/2019
Benchmark*Portfolio Portfolio
Average Maturity (yrs)0.16 0.54 0.46
Average Modified Duration 0.16 0.53 0.45
Average Purchase Yield n/a 2.06%2.41%
Average Market Yield 1.50%1.85%2.14%
Average Quality**AAA AAA/Aaa AAA/Aaa
Total Market Value 856,385 851,694
*ICE BAML 3-Month US Treasury Bill Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of December 31, 2019
23
Issue Name Investment Type % Portfolio
Government of United States US Treasury 97.57%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund FI 2.43%
TOTAL 100.00%
Issuers
Danville NERIAD Improvement Fund (89-1 90A) –Account #24
As of December 31, 2019
24
SECTION |Section 3 |Portfolio Holdings
25
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
ABS
43814UAG4 Honda Auto Receivables Trust 2018-2 A3
3.010% Due 05/18/2022
275,000.00 05/22/2018
3.03%
274,994.01
274,996.41
100.92
1.90%
277,536.88
298.91
0.38%
2,540.47
NR / AAA
AAA
2.38
0.82
43815HAC1 Honda Auto Receivables Trust 2018-3 A3
2.950% Due 08/22/2022
615,000.00 08/21/2018
2.98%
614,915.62
614,944.09
101.01
1.91%
621,197.97
503.96
0.86%
6,253.88
Aaa / NR
AAA
2.64
0.95
43815NAC8 Honda Auto Receivables Trust 2019-3 A3
1.780% Due 08/15/2023
535,000.00 08/20/2019
1.79%
534,995.56
534,996.07
99.77
1.89%
533,785.55
423.24
0.73%
(1,210.52)
Aaa / AAA
NR
3.62
2.16
477870AC3 John Deere Owner Trust 2019-B A3
2.210% Due 12/15/2023
275,000.00 07/16/2019
2.23%
274,941.62
274,947.48
100.65
1.92%
276,798.78
270.11
0.38%
1,851.30
Aaa / NR
AAA
3.96
2.19
65479JAD5 Nissan Auto Receivables Owner 2019-C A3
1.930% Due 07/15/2024
570,000.00 10/16/2019
1.94%
569,969.90
569,971.12
100.04
1.92%
570,226.29
488.93
0.78%
255.17
Aaa / AAA
NR
4.54
2.45
TOTAL ABS 2,270,000.00 2.36%
2,269,816.71
2,269,855.17 1.91%
2,279,545.47
1,985.15
3.14%
9,690.30
Aaa / AAA
Aaa
3.48
1.74
Agency
3133EG3J2 FFCB Note
1.550% Due 01/10/2020
1,500,000.00 03/30/2017
1.59%
1,498,545.00
1,499,987.10
100.00
1.64%
1,499,962.50
11,043.75
2.08%
(24.60)
Aaa / AA+
AAA
0.03
0.02
3137EAEE5 FHLMC Note
1.500% Due 01/17/2020
1,485,000.00 01/12/2017
1.54%
1,483,396.20
1,484,976.57
99.99
1.71%
1,484,854.47
10,147.50
2.06%
(122.10)
Aaa / AA+
AAA
0.05
0.04
3135G0T29 FNMA Note
1.500% Due 02/28/2020
1,310,000.00 Various
1.62%
1,305,529.60
1,309,762.81
99.98
1.61%
1,309,747.17
6,713.75
1.81%
(15.64)
Aaa / AA+
AAA
0.16
0.16
313378J77 FHLB Note
1.875% Due 03/13/2020
1,000,000.00 03/10/2016
1.43%
1,017,230.00
1,000,847.96
100.04
1.66%
1,000,418.00
5,625.00
1.38%
(429.96)
Aaa / AA+
NR
0.20
0.20
3130AECJ7 FHLB Note
2.625% Due 05/28/2020
1,500,000.00 05/30/2018
2.44%
1,505,160.00
1,501,049.01
100.39
1.66%
1,505,862.00
3,609.38
2.08%
4,812.99
Aaa / AA+
AAA
0.41
0.41
3135G0D75 FNMA Note
1.500% Due 06/22/2020
1,500,000.00 10/19/2015
1.44%
1,503,954.00
1,500,400.73
99.93
1.65%
1,498,945.50
562.50
2.06%
(1,455.23)
Aaa / AA+
AAA
0.48
0.47
3130A5Z77 FHLB Note
1.830% Due 07/29/2020
1,500,000.00 10/23/2015
1.52%
1,521,315.00
1,502,575.46
100.10
1.65%
1,501,572.00
11,590.00
2.08%
(1,003.46)
Aaa / AA+
AAA
0.58
0.57
3133EHW58 FFCB Note
1.900% Due 11/27/2020
350,000.00 11/21/2017
1.97%
349,279.00
349,782.25
100.29
1.57%
351,024.10
628.06
0.48%
1,241.85
Aaa / AA+
AAA
0.91
0.89
3130A3UQ5 FHLB Note
1.875% Due 12/11/2020
1,500,000.00 01/27/2016
1.58%
1,520,355.00
1,503,956.32
100.21
1.65%
1,503,187.50
1,562.50
2.07%
(768.82)
Aaa / AA+
NR
0.95
0.93
3133EJT74 FFCB Note
3.050% Due 11/15/2021
1,600,000.00 12/11/2018
2.87%
1,607,984.00
1,605,108.57
102.63
1.62%
1,642,056.00
6,235.56
2.27%
36,947.43
Aaa / AA+
AAA
1.88
1.81
As of December 31, 2019
26
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
3130AAB49 FHLB Note
1.875% Due 12/10/2021
1,000,000.00 12/15/2017
2.16%
989,100.00
994,681.28
100.49
1.62%
1,004,893.00
1,093.75
1.38%
10,211.72
Aaa / AA+
AAA
1.95
1.90
3135G0S38 FNMA Note
2.000% Due 01/05/2022
1,400,000.00 09/27/2017
1.90%
1,405,418.00
1,402,554.35
100.77
1.61%
1,410,789.80
13,688.89
1.96%
8,235.45
Aaa / AA+
AAA
2.02
1.95
3135G0U92 FNMA Note
2.625% Due 01/11/2022
1,000,000.00 02/13/2019
2.58%
1,001,160.00
1,000,809.38
102.02
1.61%
1,020,234.00
12,395.83
1.42%
19,424.62
Aaa / AA+
AAA
2.03
1.95
3130AEBM1 FHLB Note
2.750% Due 06/10/2022
1,475,000.00 Various
2.84%
1,470,268.25
1,472,062.42
102.74
1.60%
1,515,479.90
2,366.15
2.09%
43,417.48
Aaa / AA+
NR
2.44
2.36
3135G0W33 FNMA Note
1.375% Due 09/06/2022
1,525,000.00 Various
1.55%
1,517,278.00
1,518,021.79
99.34
1.63%
1,514,967.03
6,698.35
2.09%
(3,054.76)
Aaa / AA+
AAA
2.68
2.61
313383WD9 FHLB Note
3.125% Due 09/09/2022
1,000,000.00 11/05/2018
3.10%
1,000,830.00
1,000,580.94
104.00
1.60%
1,039,983.00
9,722.22
1.44%
39,402.06
Aaa / AA+
AAA
2.69
2.56
3133EKY91 FFCB Note
1.375% Due 10/11/2022
1,500,000.00 10/15/2019
1.64%
1,488,585.00
1,489,390.64
99.37
1.61%
1,490,484.00
4,583.33
2.06%
1,093.36
Aaa / AA+
AAA
2.78
2.71
3130A3KM5 FHLB Note
2.500% Due 12/09/2022
1,250,000.00 08/27/2018
2.80%
1,235,000.00
1,239,709.08
102.48
1.63%
1,281,031.25
1,909.72
1.76%
41,322.17
Aaa / AA+
NR
2.94
2.83
3130AFE78 FHLB Note
3.000% Due 12/09/2022
1,700,000.00 12/20/2018
2.77%
1,714,756.00
1,710,926.98
103.97
1.61%
1,767,416.90
3,116.67
2.43%
56,489.92
Aaa / AA+
AAA
2.94
2.81
3135G0T94 FNMA Note
2.375% Due 01/19/2023
1,500,000.00 03/18/2019
2.46%
1,495,455.00
1,496,388.64
102.26
1.61%
1,533,870.00
16,031.25
2.13%
37,481.36
Aaa / AA+
AAA
3.05
2.91
3130ADRG9 FHLB Note
2.750% Due 03/10/2023
900,000.00 03/28/2019
2.24%
917,136.00
913,832.39
103.34
1.67%
930,024.90
7,631.25
1.29%
16,192.51
Aaa / AA+
NR
3.19
3.03
3133834G3 FHLB Note
2.125% Due 06/09/2023
1,500,000.00 06/10/2019
2.00%
1,507,305.00
1,506,283.60
101.62
1.64%
1,524,280.50
1,947.92
2.10%
17,996.90
Aaa / AA+
NR
3.44
3.30
TOTAL Agency 28,995,000.00 2.09%
29,055,039.05
29,003,688.27 1.63%
29,331,083.52
138,903.33
40.53%
327,395.25
Aaa / AA+
Aaa
1.74
1.68
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 75,270.35 Various
2.03%
75,270.35
75,270.35
1.00
2.03%
75,270.35
438.26
0.10%
0.00
NR / NR
NR
0.00
0.00
TOTAL LAIF 75,270.35 2.03%
75,270.35
75,270.35 2.03%
75,270.35
438.26
0.10%
0.00
NR / NR
NR
0.00
0.00
As of December 31, 2019
27
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Money Market Fund FI
94975H296 Wells Fargo Treasury Plus MMFD 453 254,785.54 Various
1.48%
254,785.54
254,785.54
1.00
1.48%
254,785.54
0.00
0.35%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund FI 254,785.54 1.48%
254,785.54
254,785.54 1.48%
254,785.54
0.00
0.35%
0.00
Aaa / AAA
NR
0.00
0.00
Supranational
4581X0CX4 Inter-American Dev Bank Note
1.625% Due 05/12/2020
1,240,000.00 04/05/2017
1.70%
1,237,061.20
1,239,655.49
99.94
1.78%
1,239,285.76
2,742.64
1.71%
(369.73)
Aaa / AAA
AAA
0.36
0.36
459058GA5 Intl. Bank Recon & Development Note
1.625% Due 09/04/2020
1,500,000.00 08/22/2017
1.63%
1,499,685.00
1,499,929.40
99.92
1.74%
1,498,804.50
7,921.88
2.07%
(1,124.90)
Aaa / AAA
AAA
0.68
0.67
45950KCM0 International Finance Corp Note
2.250% Due 01/25/2021
1,000,000.00 Various
2.35%
997,047.20
998,948.66
100.60
1.68%
1,005,994.00
9,750.00
1.40%
7,045.34
Aaa / AAA
NR
1.07
1.04
4581X0CN6 Inter-American Dev Bank Note
1.750% Due 04/14/2022
1,100,000.00 09/13/2018
2.99%
1,054,218.00
1,070,741.62
100.16
1.68%
1,101,729.20
4,117.36
1.52%
30,987.58
Aaa / AAA
AAA
2.29
2.22
TOTAL Supranational 4,840,000.00 2.11%
4,788,011.40
4,809,275.17 1.72%
4,845,813.46
24,531.88
6.70%
36,538.29
Aaa / AAA
Aaa
1.05
1.02
US Corporate
857477AS2 State Street Bank Note
2.550% Due 08/18/2020
800,000.00 05/22/2017
1.90%
816,280.00
803,170.53
100.40
1.91%
803,188.00
7,536.67
1.11%
17.47
A1 / A
AA-
0.63
0.62
69353REW4 PNC Bank Callable Note Cont 3/30/2021
2.150% Due 04/29/2021
910,000.00 04/03/2018
3.01%
887,257.00
900,171.77
100.33
1.88%
912,984.80
3,369.53
1.26%
12,813.03
A2 / A
A+
1.33
1.22
09247XAH4 Blackrock Inc Note
4.250% Due 05/24/2021
1,000,000.00 04/27/2018
3.03%
1,035,570.00
1,016,165.29
103.28
1.86%
1,032,780.00
4,368.06
1.43%
16,614.71
Aa3 / AA-
NR
1.40
1.35
037833CC2 Apple Inc Callable Note Cont 7/4/2021
1.550% Due 08/04/2021
750,000.00 11/21/2017
2.33%
729,450.00
741,149.33
99.62
1.79%
747,186.75
4,746.88
1.03%
6,037.42
Aa1 / AA+
NR
1.59
1.55
459200HA2 IBM Corp Note
2.900% Due 11/01/2021
750,000.00 05/08/2018
3.14%
744,165.00
746,924.11
101.86
1.87%
763,912.50
3,625.00
1.06%
16,988.39
A2 / A
NR
1.84
1.77
084664BT7 Berkshire Hathaway Note
3.000% Due 05/15/2022
1,000,000.00 03/16/2018
2.98%
1,000,670.00
1,000,382.04
102.74
1.81%
1,027,402.00
3,833.33
1.42%
27,019.96
Aa2 / AA
A+
2.37
2.28
68389XBB0 Oracle Corp Callable Note Cont 3/15/2022
2.500% Due 05/15/2022
1,000,000.00 10/09/2019
1.86%
1,016,200.00
1,014,797.25
101.31
1.89%
1,013,130.00
3,194.44
1.40%
(1,667.25)
A1 / A+
A
2.37
2.14
69371RQ33 Paccar Financial Corp Note
2.000% Due 09/26/2022
500,000.00 09/23/2019
2.04%
499,390.00
499,443.99
100.57
1.78%
502,841.50
2,638.89
0.70%
3,397.51
A1 / A+
NR
2.74
2.64
As of December 31, 2019
28
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
166764AB6 Chevron Corp Callable Note Cont 9/5/2022
2.355% Due 12/05/2022
255,000.00 06/19/2019
2.28%
255,606.90
255,513.68
101.40
1.82%
258,571.28
433.71
0.36%
3,057.60
Aa2 / AA
NR
2.93
2.59
89236TEL5 Toyota Motor Credit Corp Note
2.700% Due 01/11/2023
1,000,000.00 01/25/2019
3.22%
980,920.00
985,375.97
102.05
2.00%
1,020,464.00
12,750.00
1.42%
35,088.03
Aa3 / AA-
A+
3.03
2.86
90331HNL3 US Bank NA Callable Note Cont 12/23/22
2.850% Due 01/23/2023
750,000.00 04/29/2019
2.77%
752,190.00
751,795.03
102.41
2.01%
768,108.00
9,381.25
1.07%
16,312.97
A1 / AA-
AA-
3.07
2.82
06406RAE7 Bank of NY Mellon Corp Callable Note Cont 12/29/2022
2.950% Due 01/29/2023
750,000.00 07/25/2019
2.37%
764,625.00
762,842.58
102.70
2.01%
770,253.75
9,341.67
1.07%
7,411.17
A1 / A
AA-
3.08
2.83
037833AK6 Apple Inc Note
2.400% Due 05/03/2023
750,000.00 05/29/2019
2.54%
746,205.00
746,774.38
101.71
1.87%
762,798.00
2,900.00
1.05%
16,023.62
Aa1 / AA+
NR
3.34
3.19
931142EK5 Wal-Mart Stores Callable Note Cont 5/26/2023
3.400% Due 06/26/2023
800,000.00 03/27/2019
2.54%
827,616.00
822,662.94
105.15
1.83%
841,199.20
377.78
1.16%
18,536.26
Aa2 / AA
AA
3.49
3.22
02665WCT6 American Honda Finance Note
3.550% Due 01/12/2024
950,000.00 08/19/2019
2.07%
1,008,634.00
1,003,775.23
105.50
2.12%
1,002,241.45
15,832.01
1.40%
(1,533.78)
A2 / A
NR
4.04
3.70
TOTAL US Corporate 11,965,000.00 2.57%
12,064,778.90
12,050,944.12 1.91%
12,227,061.23
84,329.22
16.93%
176,117.11
A1 / AA-
A+
2.46
2.30
US Treasury
912828H52 US Treasury Note
1.250% Due 01/31/2020
1,350,000.00 10/05/2016
1.04%
1,359,127.57
1,350,225.93
99.97
1.62%
1,349,565.30
7,061.82
1.87%
(660.63)
Aaa / AA+
AAA
0.08
0.08
912828VA5 US Treasury Note
1.125% Due 04/30/2020
1,650,000.00 11/02/2016
1.08%
1,652,390.29
1,650,225.15
99.83
1.64%
1,647,163.65
3,145.31
2.27%
(3,061.50)
Aaa / AA+
AAA
0.33
0.33
912828XM7 US Treasury Note
1.625% Due 07/31/2020
1,500,000.00 10/19/2015
1.32%
1,520,922.99
1,502,540.48
100.00
1.63%
1,499,941.50
10,200.41
2.08%
(2,598.98)
Aaa / AA+
AAA
0.58
0.58
912828L32 US Treasury Note
1.375% Due 08/31/2020
1,200,000.00 01/30/2017
1.66%
1,188,238.40
1,197,814.93
99.83
1.63%
1,197,984.00
5,575.55
1.66%
169.07
Aaa / AA+
AAA
0.67
0.66
912828L65 US Treasury Note
1.375% Due 09/30/2020
500,000.00 04/25/2017
1.61%
496,095.43
499,149.28
99.80
1.65%
498,984.50
1,746.93
0.69%
(164.78)
Aaa / AA+
AAA
0.75
0.74
912828WC0 US Treasury Note
1.750% Due 10/31/2020
1,300,000.00 12/22/2015
1.73%
1,301,121.54
1,300,192.19
100.08
1.65%
1,301,066.00
3,875.00
1.79%
873.81
Aaa / AA+
AAA
0.84
0.82
912828M98 US Treasury Note
1.625% Due 11/30/2020
1,200,000.00 02/27/2017
1.66%
1,198,457.15
1,199,624.13
99.98
1.65%
1,199,719.20
1,704.92
1.65%
95.07
Aaa / AA+
AAA
0.92
0.90
912828Q37 US Treasury Note
1.250% Due 03/31/2021
1,500,000.00 06/15/2017
1.64%
1,478,501.12
1,492,932.09
99.54
1.62%
1,493,145.00
4,764.34
2.06%
212.91
Aaa / AA+
AAA
1.25
1.23
As of December 31, 2019
29
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
912828Q78 US Treasury Note
1.375% Due 04/30/2021
1,500,000.00 06/08/2017
1.65%
1,484,536.28
1,494,722.09
99.70
1.61%
1,495,429.50
3,513.05
2.06%
707.41
Aaa / AA+
AAA
1.33
1.31
912828T34 US Treasury Note
1.125% Due 09/30/2021
1,250,000.00 01/10/2018
2.20%
1,202,392.58
1,227,617.15
99.20
1.59%
1,239,941.25
3,573.26
1.71%
12,324.10
Aaa / AA+
AAA
1.75
1.72
912828F96 US Treasury Note
2.000% Due 10/31/2021
1,500,000.00 08/29/2018
2.76%
1,465,781.25
1,480,214.05
100.75
1.58%
1,511,191.50
5,109.89
2.09%
30,977.45
Aaa / AA+
AAA
1.84
1.79
912828W55 US Treasury Note
1.875% Due 02/28/2022
1,300,000.00 02/08/2018
2.49%
1,269,226.56
1,283,594.43
100.61
1.59%
1,307,972.90
8,236.61
1.81%
24,378.47
Aaa / AA+
AAA
2.16
2.10
912828W89 US Treasury Note
1.875% Due 03/31/2022
1,250,000.00 10/24/2017
1.98%
1,244,580.08
1,247,253.19
100.64
1.59%
1,257,958.75
5,955.43
1.74%
10,705.56
Aaa / AA+
AAA
2.25
2.19
912828L24 US Treasury Note
1.875% Due 08/31/2022
900,000.00 10/04/2018
3.01%
862,488.28
874,404.70
100.73
1.59%
906,609.60
5,702.27
1.25%
32,204.90
Aaa / AA+
AAA
2.67
2.58
912828M80 US Treasury Note
2.000% Due 11/30/2022
950,000.00 04/29/2019
2.28%
940,759.77
942,494.96
101.13
1.60%
960,724.55
1,661.20
1.32%
18,229.59
Aaa / AA+
AAA
2.92
2.82
912828R28 US Treasury Note
1.625% Due 04/30/2023
1,500,000.00 06/19/2019
1.87%
1,486,582.03
1,488,437.71
99.99
1.63%
1,499,883.00
4,151.79
2.07%
11,445.29
Aaa / AA+
AAA
3.33
3.22
912828R69 US Treasury Note
1.625% Due 05/31/2023
1,500,000.00 04/11/2019
2.30%
1,460,156.25
1,467,056.86
100.00
1.62%
1,500,058.50
2,131.15
2.07%
33,001.64
Aaa / AA+
AAA
3.42
3.30
912828T91 US Treasury Note
1.625% Due 10/31/2023
1,500,000.00 09/13/2019
1.78%
1,490,917.97
1,491,563.24
99.91
1.65%
1,498,653.00
4,151.79
2.07%
7,089.76
Aaa / AA+
AAA
3.84
3.69
TOTAL US Treasury 23,350,000.00 1.87%
23,102,275.54
23,190,062.56 1.62%
23,365,991.70
82,260.72
32.25%
175,929.14
Aaa / AA+
Aaa
1.73
1.68
TOTAL PORTFOLIO 71,750,055.89 2.11%
71,609,977.49
71,653,881.18 1.69%
72,379,551.27
332,448.56
100.00%
725,670.09
Aa1 / AA+
Aaa
1.86
1.73
TOTAL MARKET VALUE PLUS ACCRUALS 72,711,999.83
As of December 31, 2019
30
Holdings Report
Danville NERIAD Improvement Fund (89-1 90A) -Account #24
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Money Market Fund FI
94975H296 Wells Fargo Treasury Plus MMFD 453 20,770.60 11/30/2019
1.48%
20,770.60
20,770.60
1.00
1.48%
20,770.60
0.00
2.43%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund FI 20,770.60 1.48%
20,770.60
20,770.60 1.48%
20,770.60
0.00
2.43%
0.00
Aaa / AAA
NR
0.00
0.00
US Treasury
912796SD2 US Treasury Bill
2.462% Due 02/27/2020
200,000.00 02/26/2019
2.54%
195,022.30
195,022.30
97.51
2.54%
195,022.30
4,198.23
23.26%
0.00
P-1 / A-1+
F-1+
0.16
0.16
912828X96 US Treasury Note
1.500% Due 05/15/2020
200,000.00 05/30/2019
2.32%
198,453.13
199,403.35
99.95
1.63%
199,898.40
387.36
23.39%
495.05
Aaa / AA+
AAA
0.37
0.37
9128282Q2 US Treasury Note
1.500% Due 08/15/2020
160,000.00 09/30/2019
1.83%
159,537.50
159,671.91
99.92
1.63%
159,875.04
906.52
18.77%
203.13
Aaa / AA+
AAA
0.62
0.62
912828M98 US Treasury Note
1.625% Due 11/30/2020
275,000.00 12/02/2019
1.70%
274,806.64
274,822.09
99.98
1.65%
274,935.65
390.71
32.15%
113.56
Aaa / AA+
AAA
0.92
0.90
TOTAL US Treasury 835,000.00 2.07%
827,819.57
828,919.65 1.85%
829,731.39
5,882.82
97.57%
811.74
Aaa / AA+
Aaa
0.55
0.54
TOTAL PORTFOLIO 855,770.60 2.06%
848,590.17
849,690.25 1.85%
850,501.99
5,882.82
100.00%
811.74
Aaa / AAA
Aaa
0.54
0.53
TOTAL MARKET VALUE PLUS ACCRUALS 856,384.81
As of December 31, 2019
31
SECTION |Section 4 |Transactions
32
Transaction Ledger
Danville Short Term Treasury Pool -Account #21
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 10/11/2019 68389XBB0 1,000,000.00 Oracle Corp Callable Note Cont 3/15/2022
2.5% Due: 05/15/2022
101.620 1.86%1,016,200.00 10,138.89 1,026,338.89 0.00
Purchase 10/16/2019 3133EKY91 1,500,000.00 FFCB Note
1.375% Due: 10/11/2022
99.239 1.64%1,488,585.00 286.46 1,488,871.46 0.00
Purchase 10/23/2019 65479JAD5 570,000.00 Nissan Auto Receivables Owner 2019-C A3
1.93% Due: 07/15/2024
99.995 1.94%569,969.90 0.00 569,969.90 0.00
Subtotal 3,070,000.00 3,074,754.90 10,425.35 3,085,180.25 0.00
TOTAL ACQUISITIONS 3,070,000.00 3,074,754.90 10,425.35 3,085,180.25 0.00
DISPOSITIONS
Maturity 10/02/2019 3137EADM8 1,300,000.00 FHLMC Note
1.25% Due: 10/02/2019
100.000 1,300,000.00 0.00 1,300,000.00 0.00
Maturity 10/08/2019 68389XAX3 1,000,000.00 Oracle Corp Note
2.25% Due: 10/08/2019
100.000 1,000,000.00 0.00 1,000,000.00 0.00
Maturity 11/15/2019 3130AA3R7 650,000.00 FHLB Note
1.375% Due: 11/15/2019
100.000 650,000.00 0.00 650,000.00 0.00
Maturity 12/13/2019 313381C94 1,600,000.00 FHLB Note
1.25% Due: 12/13/2019
100.000 1,600,000.00 0.00 1,600,000.00 0.00
Subtotal 4,550,000.00 4,550,000.00 0.00 4,550,000.00 0.00
TOTAL DISPOSITIONS 4,550,000.00 4,550,000.00 0.00 4,550,000.00 0.00
September 30, 2019 through December 31, 2019
As of December 31, 2019
33
Transaction Ledger
Danville NERIAD Improvement Fund (89-1 90A) -Account #24
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 12/03/2019 912828M98 275,000.00 US Treasury Note
1.625% Due: 11/30/2020
99.930 1.70%274,806.64 36.63 274,843.27 0.00
Subtotal 275,000.00 274,806.64 36.63 274,843.27 0.00
TOTAL ACQUISITIONS 275,000.00 274,806.64 36.63 274,843.27 0.00
DISPOSITIONS
Maturity 11/04/2019 313312NV8 84,000.00 FFCB Discount Note
2.6% Due: 11/04/2019
100.000 82,149.67 1,850.33 84,000.00 0.00
Maturity 11/30/2019 9128283H1 200,000.00 US Treasury Note
1.75% Due: 11/30/2019
100.000 200,000.00 0.00 200,000.00 0.00
Subtotal 284,000.00 282,149.67 1,850.33 284,000.00 0.00
TOTAL DISPOSITIONS 284,000.00 282,149.67 1,850.33 284,000.00 0.00
September 30, 2019 through December 31, 2019
As of December 31, 2019
34
Important Disclosures
2019 Chandler Asset Management,Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential.Prices are provided by IDC,an independent pricing source.In the event IDC does not provide a price or if the price provided is not reflective of fair market
value,Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures.Our valuation procedures are also disclosed in
Item 5 of our Form ADV Part 2A.
Performance results are presented gross-of-advisory fees and represent the client’s Total Return.The deduction of advisory fees lowers performance results.These results include the reinvestment of
dividends and other earnings.Past performance may not be indicative of future results.Therefore,clients should not assume that future performance of any specific investment or investment strategy
will be profitable or equal to past performance levels.All investment strategies have the potential for profit or loss.Economic factors,market conditions or changes in investment strategies,
contributions or withdrawals may materially alter the performance and results of your portfolio.
Index returns assume reinvestment of all distributions.Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the
deduction of an investment management fee,the incurrence of which would have the effect of decreasing historical performance results.It is not possible to invest directly in an index.
Source ice Data Indices,LLC ("ICE"),used with permission. ICE permits use of the ICE indices and related data on an "as is"basis; ICE,its affiliates and their respective third party suppliers disclaim any and
all warranties and representations, express and/or implied,including any warranties of merchantability or fitness for a particular purpose or use,including the indices,index data and any data included
in,related to,or derived therefrom.Neither ICE data,its affiliates or their respective third party providers guarantee the quality,adequacy,accuracy,timeliness or completeness of the indices or the
index data or any component thereof,and the indices and index data and all components thereof are provided on an "as is"basis and licensee's use it at licensee's own risk. ICE data,its affiliates and their
respective third party do not sponsor,endorse,or recommend chandler asset management,or any of its products or services.
This report is provided for informational purposes only and should not be construed as a specific investment or legal advice.The information contained herein was obtained from sources believed to be
reliable as of the date of publication,but may become outdated or superseded at any time without notice.Any opinions or views expressed are based on current market conditions and are subject to
change.This report may contain forecasts and forward-looking statements which are inherently limited and should not be relied upon as indicator of future results.Past performance is not indicative of
future results.This report is not intended to constitute an offer,solicitation,recommendation or advice regarding any securities or investment strategy and should not be regarded by recipients as a
substitute for the exercise of their own judgment.
Fixed income investments are subject to interest, credit and market risk.Interest rate risk:the value of fixed income investments will decline as interest rates rise.Credit risk:the possibility that the
borrower may not be able to repay interest and principal.Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk.Market risk:the bond market in
general could decline due to economic conditions,especially during periods of rising interest rates.
Ratings information have been provided by Moody’s,S&P and Fitch through data feeds we believe to be reliable as of the date of this statement, however we cannot guarantee its accuracy.
Security level ratings for U.S.Agency issued mortgage-backed securities (“MBS”)reflect the issuer rating because the securities themselves are not rated.The issuing U.S.Agency guarantees the full and
timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P,Moody’s and Fitch respectively.
As of December 31, 2019
35
Benchmark Disclosures
ICE BAML 1-3 Yr US Treasury Index
The ICE BAML 1-3 Year US Treasury Index tracks the performance of US dollar denominated sovereign debt publicly issued by the US government in its domestic market.Qualifying securities must have at
least one year remaining term to final maturity and less than three years remaining term to final maturity,a fixed coupon schedule and a minimum amount outstanding of $1 billion.Qualifying securities
must haveat least 18 months to final maturity at the time of issuance.(Index:G1O2.Please visit www.mlindex.ml.com for more information)
ICE BAML 3-Month US Treasury Bill Index
The ICE BAML US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month.At the end of the month that issue is sold and rolled into a
newly selected issue.The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to,but not beyond,three months from the rebalancing date.(Index: G0O1.
Please visit www.mlindex.ml.com for more information)
ICE BAML 1-3 Yr US Corp/Govt Rated AAA-A Index
The ICE BAML 1-3 AAA-A Year US Corporate &Government Index tracks the performance of US dollar denominated investment grade debt publicly issued in the US domestic market,including US Treasury,
US agency,foreign government, supranational and corporate securities.Qualifying securities must be rated AAA through A3 (based on an average of Moody’s,S&P and Fitch).In addition, qualifying
securities must have at least one year remaining term to final maturity and less than three years remaining term to final maturity,at least 18 months to final maturity at point of issuance,a fixed coupon
scheduleand a minimum amount outstanding of $1 billion for US Treasuriesand $250 million for all other securities.(Index:GVPB.Please visit www.mlindex.ml.com for more information)
As of December 31, 2019
36
Supplement to Quarterly Investment Report
Town Managed Cash Account
Average Average
Maturity Yield Cost
Town Funds 0 2.103%6,720,162
Trust Fund 0 2.103%1,231,335
.
Community Development Agency DS/Successor Agency 0 2.103%35,910
NERIAD 0 2.103%434,375
Total LAIF Funds Managed by the Town 8,421,782$
LAIF Funds Managed/Reported by Chandler Investments 75,270
Total LAIF Funds 8,497,052$
LAIF Funds Managed by the Town
(Local Agency Investment Fund)
NOVEMBER 2019