HomeMy WebLinkAbout042120-06.1 UPDATEDINVESTMENT REPORT
Town of Danville
Period Ending March 31, 2020
CAICHANDLER
ASSET MANAGEMENT
CHANDLER ASSET MANAGEMENT, INC. 1 800.317.4747 1 www.chandlerasset.com
Table of Contents
SECTION 1
SECTION 2
SECTION 3
SECTION 4
Economic Update
Account Profile
Portfolio Holdings
Transactions
As of March 31, 2020
1 CM
Section 1 1 Economic Update
2
1 Economic Update
■ Financial markets have experienced significant turbulence, driven by a high level of uncertainty about the impact of the
COVID-19 pandemic on the global economy. US Treasury yields have declined, amid a global flight to quality. At the end of
the first quarter, the yield on 2 -year Treasuries was down 132 basis points year-to-date, and the yield on 10 -year Treasuries
was down nearly 125 basis points. The S&P 500 index declined 20.0% in the first quarter. There are still many unknowns
about the coronavirus including how widespread it will become, how long it will take to contain the virus, and the actual
impact on economic activity. We believe containment efforts and supply chain disruptions will cause a sharp increase in
unemployment and a swift and deep contraction in economic activity. Financial markets will likely remain volatile over the
near term but we believe that large-scale global monetary and fiscal stimulus programs will help mitigate the longer-term
impact of the pandemic. Notably, President Trump approved a $2 trillion economic relief package on March 27, the largest
fiscal stimulus package in US history.
• The Fed has taken a wide range of aggressive actions to help stabilize and provide liquidity to the financial markets. The Fed
has lowered the fed funds target rate to a range of 0.0%-0.25% and said it will purchase Treasury and agency mortgage-
backed securities in any amount needed to support smooth market functioning. Policymakers have established several
facilities to help support the flow of credit to businesses and state and local governments including the Commercial Paper
Funding Facility, Main Street Lending Facility, Money Market Mutual Fund Liquidity Facility, Municipal Liquidity Facility,
Paycheck Protection Program Liquidity Facility, Primary Market Corporate Credit Facility, Secondary Market Corporate Credit
Facility, and Term Asset -Backed Securities Loan Facility. The Fed has also provided short-term funding through large-scale
repo operations and lowered the reserve requirement for depository institutions. Fed Chair Powell has indicated that the
Fed will continue to act "forcefully, proactively, and aggressively" until the economy is solidly on a road to recovery.
• The slope of the Treasury yield curve steepened in March, though rates across the curve declined meaningfully. At March
month-end, the yield on 10 -year Treasuries was down 48 basis points to 0.67% while the yield on 2 -year Treasuries was
down 67 basis points to 0.25%. The yield on 3 -month T-bills declined 121 basis points in March. The movement in yields has
been driven by fears about the coronavirus and its potential impact on global economic growth and inflation expectations,
as well as the cumulative 150 basis point cut to the fed funds target rate in March.
3 CM
IEmployment
600
400
200
t•
-a
c 0
3
0
H -200
-400
-600
-800
Change in Nonfarm Payrolls and Unemployment Rate
March 2015 - March 2020
•
• •
• -
r •
• • -
0
- ♦
••
. — — .1 .,,,
I
II
IIIII
11
1
,
l
l
:liri
11
ehel 11FFIE1
I.:
Nonfarm Payrolls
— - - Unemployment Rate
47
'es
Source: US Department of Labor
'17
16
47
1>
4c
IcP
470,..s
6%
5%
4%
3%
2%
1%
0%
Unemployment Rate
U.S. nonfarm payrolls declined by 701,000 in March. Employment in leisure and hospitality was particularly weak with payrolls down 459,000.
The U-3 unemployment rate increased to 4.4% in March from 3.5% in February, and the participation rate declined to 62.7% from 63.4%. 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, increased to 8.7% from 7.0%. Wages rose 0.4% in March and were up 3.1% on year -over -year basis. The average
workweek declined to 34.2 hours from 34.4 hours. Notably, the establishment survey of payrolls and the household survey of unemployment
were collected in the first half of March, which predates many of the business and school closures related to the pandemic.
4 CM
In thousands
Initial Claims for Unemployment
12,000 -
10,000 -
8,000 -
6,000 -
4,000 -
2,000 -
Intitial Claims For Unemployment January 24, 2020 - April 10, 2020
Initial Jobless Claims
--Continuing Claims
3,059
1,753 1,678 1,729 1,692 1,719 1,699 1,702 1,784
212 201 204 215 220 217 211 282
o
,357 o
3,307
5,245
O,3/�O O�j4 o o,,<3 0,3 O���/�O O0,06/�O O0,/Z�/�O Oma,/�O�O Oma,/� j/�O O�jO�/�O O�j'10 <30
More than 5.2 million people filed an initial claim for unemployment in the April 11 week, following more than 6.6 million in the prior week
and nearly 6.9 million claims two weeks prior. So far, roughly 22 million people have filed an initial claim for unemployment since the stay-at-
home orders began in mid-March.
5 CM
1 Inflation
YOY( %) Change
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
•
Consumer Price Index (CPI)
•
•
,' %� --••
CPI YOY % Change
- - - Core CPI YOY % Change
✓ S 60 ✓ S O
dr4'71 Jo c14 dr19 4�VS �°4 s9 Pc
4s9
3.5%
3.0%
2.5%
Personal Consumption Expenditures (PCE)
0.5%
PCE Price Deflator YOY % Change
- - - PCE Core Deflator YOY % Change
0.0%
ilidi.�p '1,),6 41,,,,j,
41d�1� 94818 �0G1d' APo.6 ik,j, -q4g19 /PO. '$6�19
Source: US Department of Labor Source: US Department of Commerce
The Consumer Price Index (CPI) was up 1.5% year -over -year in March, down from 2.3% in February. Core CPI (CPI less food and energy) was up
2.1% year -over -year in March, down from 2.4% in February. The CPI data for March indicates that the initial net effect of the pandemic has
been deflationary. The Personal Consumption Expenditures (PCE) index was up 1.8% year -over -year in February, unchanged from 1.8% year -
over -year in January. Core PCE, which is the Fed's primary inflation gauge, was up 1.8% year -over -year in February versus L7% year -over -year
in January. Core PCE was trending below the Fed's 2.0% inflation target before the COVID-19 pandemic.
6 CM
1 Consumer
Retail Sales YOY % Change
8.0%
6.0%
4.0%
2.0% 11111111111111111111111
`.' 0.0%
o -2.0%
-4.0%
-6.0%
-8.0%
SPp 1 00e �d,. ✓�, Z S0,0
c9 d' 9 9
Source: US Department of Commerce
O
Index Level
145
140
135
130
125
120
115
110
Consumer Confidence
'/<//2 S 66' ✓ S
/1/40dr1S 1c Patz c19 drZ9 �'� 19 x°,619 �'c19 d~�O
Source: The Conference Board
On a year -over -year basis, retail sales fell 6.2% in March versus an increase of 4.3% in February. On a month -over -month basis, retail sales
plunged 8.7% in March, the worst monthly decline on record. Vehicle, gasoline, restaurant, and clothing sales were particularly weak in the
month. On a control group basis, retail sales rose 1.9% in March (which was better than expected), helped bya surge in consumer stockpiling.
The Consumer Confidence Index remained fairly strong in March but declined to 120.0 from 132.6 in February. The cut-off date for the survey
was March 19. Confidence was high going into the pandemic, but we expect to see a meaningful decline in the coming months.
7 CM
1 Economic Activity
MOM (%) Change
2.0%
1.0%
0.0%
-1.0%
-2.0%
- 3.0%
-4.0%
-5.0%
- 6.0%
- 7.0%
- 8.0%
Leading Economic Indicators (LEI) Chicago Fed National Activity Index (CFNAI)
410 j%
9
AD
cQ cQ 9 9 9 9 o
0.50
0.25
0.00
a)
cy -0.25
a,
a' -0.50
s
c -0.75
0
M -1.00
- 1.25
- 1.50
- 1.75
S0p� % �ar1 ✓4i sok Z Ooc� 47
9 9 9 •9 o
Source: The Conference Board Source: Federal Reserve Bank of Chicago
The Conference Board's Leading Economic Index (LEI) fell 6.7% in March, the largest monthly decline in its 60 -year history. On a year -over -year
basis, the LEI was down 6.6% in March reflecting broad-based deterioration. According to the Conference Board, the LEI suggests that the US
economy is facing a "very deep" contraction. The Chicago Fed National Activity Index (CFNAI) declined to -4.19 in March from 0.06 in February.
On a 3 -month moving average basis, the CFNAI declined to -1.47 in March from -0.20 in February.
8 CALM
1 Housing
MOM Change (In Thousands of Units)
1800
1600
1400
1200
1000
800
600
400
200
0
Housing Starts
• Multi Family Housing Starts
■ Single Family Housing Starts
1111111111
✓ S O ✓ S O
r1S C�,� 1S �,b1, Pc1S 0/. Vs, C�,i 19 �°,b 1,9 Pc19 d ~�O
7.5%
6.5%
S&P/Case-Shiller 20 City Composite Home Price
Index
2.5%
1.5%
Source: US Department of Commerce Source: S&P
✓od) 1 .. ✓4/ Oce, ✓d/� •i .. .1<9, Oee ✓d/
1
8 6 �Q 9 9 9 9 \-)
O
Housing starts declined 22.3% in March to an annual pace of 1.216 million, although the pace was 1.4% higher on a year -over -year basis. On a
month -over -month basis, single family starts fell 17.5% to an annualized rate of 856,000, while multi -family starts declined 31.7% to an
annualized rate of 360,000. Low mortgage rates and a strong labor market were fueling housing activity heading into the COVID-19 crisis.
Although the month -over -month declines in activity were significant in March, housing starts are generally on pace with the year-ago rate.
According to the Case-Shiller 20 -City home price index, home prices were up 3.1% year -over -year in January, versus up 2.9% year -over -year in
December, which suggests that pricing in the sector was gaining momentum prior to the pandemic.
9 CM
1 Manufacturing
64
62
60
58
56
54
52
50
48
46
Institute of Supply Management Purchasing
Manager Index
✓42`1� SPp 4OPc1cp 4; ✓4� l9 i4 j9 Ooc19 4
9 O
6.0%
4.0%
2.0%
v
s 0.0%
u
a
-2.0%
0
>-
-4.0% -4.0%
-6.0%
-8.0%
Industrial Production
✓ O ✓ O
�a/.'4 4� 4 S PpZ� Pc l� 1.s.<94� s 1`9 � vs) �C' a~,)O
Source: Institute for Supply Management Source: Federal Reserve
The Institute for Supply Management (ISM) manufacturing index decreased to 49.1 in March from 50.1 in February. The sub -50.0 reading
suggests that the manufacturing sector is in contraction but it was stronger than the consensus estimate of 44.0. The Industrial Production
index was down 5.5% year -over -year in March, versus up 0.02% in February. On a month -over -month basis, the Industrial Production index fell
5.4% in March (the worst monthly decline since 1946), following a 0.5% increase in February. Capacity Utilization dropped to 72.7% in March
from 77.0% in February, well below the long -run average of 79.8%.
10 CM
Gross Domestic Product (GDP)
Components of GDP 3/19 6/19 9/19 12/19
Personal Consumption
Expenditures
0.8% 3.0% 2.1% 1.2%
Gross Private Domestic
Investment
1.1% -1.2% -0.2% -1.1%
Net Exports and Imports
0.7% -0.7% -0.1% 1.5%1
Federal Government
Expenditures
0.1% 0.5% 0.2% 0.2%
State and Local (Consumption and
Gross Investment) 0.4% 0.3% 0.1% 0.2%
Total
3.1%
2.0% 2.1% 2.1%
Source: US Department of Commerce
4.5%
4.0%
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
•
"� 1S OPc1 �� 16 OPc1
S 6
Source: US Department of Commerce
./42,
J
4 4 19
00c,
Fourth quarter 2019 GDP grew at a 2.1% annualized rate, in line with expectations. This follows growth of 2.1% in the third quarter, 2.0% in the
second quarter, and 3.1% in the first quarter. Overall, GDP grew 2.3% in 2019, down from 2.9% in 2018. Fourth quarter growth was fueled by net
exports and consumer spending which contributed 1.5% and 1.2% to GDP in the quarter, respectively, while gross private domestic investment
was a drag on the economy. We believe the economy was expanding at a moderate pace at the beginning of this year but containment efforts
related to the COVID-19 pandemic have almost certainly resulted in a steep contraction in US economic activity beginning in early March.
11 CAI
1 Federal Reserve
6,700,000
6,200,000
5,700,000
0
E 5,200,000
c
4,700,000
4,200,000
3,700,000
Federal Reserve Balance Sheet Assets Effective Federal Funds Rate
3.00%
9,b, Oct � 9,a, -/<i
18 .z 1c9 l9 19 j9
Source: Federal Reserve
Oct; •/.4)
a 14
2.50%
2.00% •
1.50%
1.00%
0.50%
0.00%
-14j� ••/04 Oct jd' -/0/2j9 i l9 -/e/4 Oct j9 ✓dhc.)O O
- - ' ' ` - -
•
•
•
•
•
•
1
1
1
1
1
1
•I
Source: Bloomberg
The Fed has taken a wide range of aggressive actions this month to help stabilize and provide liquidity to the financial markets. The Fed has
lowered the fed funds target rate to a range of 0.0%-0.25% and said it will purchase Treasury and agency mortgage-backed securities in any
amount needed to support smooth market functioning. Policymakers reinstated the Commercial Paper Funding Facility and Money Market
Mutual Fund Liquidity Facility in order to provide liquidity to the commercial paper, money markets, and the municipal bond markets. The Fed
has established the Primary Market Corporate Credit Facility and Secondary Market Corporate Credit Facility to support the corporate bond
market. The Term Asset -Backed Securities Loan Facility has been established to enable the issuance of asset-backed securities backed by
student loans, auto loans, credit card loans, and loans guaranteed by the Small Business Administration. The Fed has established the Paycheck
Protection Program Liquidity Facility and Fed's Main Street Lending Facility which will support the flow of credit to businesses. The Fed
established the Municipal Liquidity Facility to purchase short-term debt directly from US states, counties, and cities. The Fed has also provided
short-term funding through large-scale repo operations and lowered the reserve requirement for depository institutions.
12 CM
1 Bond Yields
US Treasury Note Yields
4.0%
3.5% - • • • 2 -Year
— - - 5 -Year
3.0%, - . 10 -Year
•i
2.5%.. • • •... N.
13 2.0% %•
a, �.,..*
1.5%
1.0%
s
e
•,e 1.0%
4.0%
3.5%
3.0% -
e
0.5% :� 0.5%
0.0%
j% S
dr19 .4 ep%
OP c% 47 I j<'/), 9 SO4 Ones /L1dr�
,9 9 9 p
0.0%
US Treasury Yield Curve
--Mar-20
— - - Dec -19
Mar -19
........ -----
. I•
.1 6\-) S
/lo ii o y,. y,.
Source: Bloomberg Source: Bloomberg
.
.
.
•
,yr 10
•
At March month-end, Treasury yields were much lower on a year -over -year basis. The 3 -month T-bill yield was down 232 basis points, the 2 -
year Treasury yield was down 202 basis points, and the 10 -Year Treasury yield was down 174 basis points, year -over -year. Much of the spread
movement was in the month of March, with the Fed cutting rates by a total of 150 basis points and concerns about a global recession and a
flight to safe -haven assets driving down yields across the curve.
13 CM«
Section 2 1 Account Profile
14 CA
Objectives
As of March 31, 2020
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.
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 Treasury securities (a "market rate of return").
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.
15CA
1 Compliance
Category
Treasury Issues
Agency Issues
Municipal Securities
Supranational Securities
Banker's Acceptances
Commercial Paper
Negotiable CDs
Corporate Medium Term Notes
Mortgage Pass -Through Securities
Collateralized Mortgage Obligation (CMOs)
and Asset Backed Securities (ABS)
Bank/Time Deposits
Money Market Mutual Funds and Mutual
Funds
Repurchase Agreements
Local Agency Investment Fund (LAIF)
Prohibited
Max Per Issuer
Maximum maturity
As of March 31, 2020
Town of Danville - All Accounts
Assets managed by Chandler Asset Management are in full compliance with state law and the Client's investment policy.
Standard
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
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.
"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.
"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")
"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
"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
"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
"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
15% maximum; 5% per issuer; Issued by Agencies of the U.S. government only
AAA rated by a NRSRO; 15% maximum (combination of ABS and CMOs); 5% max per issuer
FDIC insured/ Collateralized
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 securities.
15% maximum; 102% collateralized; 30 days max maturity; Not used by Investment Adviser
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.
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
5% max per issuer (except LAIF, Treasuries, Agencies, Money Market Mutual Funds, LAIF); or unless otherwise stated in the investment policy
5 years
Comment
Complies
Complies
Complies
Complies
Complies
Complies
Complies
Complies
Complies
Complies
Complies
Complies
Complies
Complies
Complies
Complies
Complies
16 C�'
1 Portfolio Characteristics
Danville Short Term Treasury Pool
As of March 31, 2020
3/31/2020 12/31/2019
Benchmark* Portfolio Portfolio
Average Maturity (yrs)
Average Modified Duration
Average Purchase Yield
Average Market Yield
Average Quality**
Total Market Value
1.85
1.81
n/a
0.20%
AAA
1.89
1.76
2.08%
0.66%
AA+/Aa 1
71,001,742
1.86
1.73
2.10%
1.69%
AA+/Aa 1
72,712,000
*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.
17 CM
Sector Distribution
US Treasury
31.3%
Supranational
6.9%
LAI F
0.1%
March 31, 2020
Commercial
Paper
2.0%
ABS
3.7%
Money Market
Fund FI
0.2%
Corporate
16.2%
Danville Short Term Treasury Pool
Agency
39.5%
US Treasury
32.3%
Supranational
6.7%
LAI F
0.1%
As of March 31, 2020
December 31, 2019
ABS
3.1%
Money Market
Fund FI
0.4%
Corporate
16.9%
Agency
40.5%
18 CM
IIssuers
Danville Short Term Treasury Pool — Account #21
As of March 31, 2020
Issue Name Investment Type
% Portfolio
Government of United States
Federal Home Loan Bank
Federal National Mortgage Association
Federal Farm Credit Bank
Inter -American Dev Bank
Apple Inc
Intl Bank Recon and Development
Honda ABS
MUFG Bank Ltd/NY
Berkshire Hathaway
BlackRock Inc/New York
Oracle Corp
International Finance Corp
Toyota Motor Corp
Honda Motor Corporation
PNC Financial Services Group
Wal-Mart Stores
State Street Bank
US Bancorp
Bank of New York
John Deere ABS
Nissan ABS
Paccar Financial
ChevronTexaco Corp
Wells Fargo Adv Tsy Plus Money Market Fund
Local Agency Investment Fund
US Treasury
Agency
Agency
Agency
Supranational
Corporate
Supranational
ABS
Commercial Paper
Corporate
Corporate
Corporate
Supranational
Corporate
Corporate
Corporate
Corporate
Corporate
Corporate
Corporate
ABS
ABS
Corporate
Corporate
Money Market Fund FI
LAIF
31.35%
21.85%
12.66%
5.03%
3.36%
2.18%
2.12%
1.99%
1.97%
1.48%
1.46%
1.45%
1.43%
1.43%
1.39%
1.29%
1.21%
1.13%
1.09%
1.09%
0.90%
0.81%
0.69%
0.37%
0.17%
0.11%
TOTAL
100.00%
19 CM
1 Duration Distribution
35.0%
30.0%
25.0%
20.0%
15.0%
10.0%
5.0%
0.0%
0 - 0.25
Danville Short Term Treasury Pool
March 31, 2020 vs. December 31, 2019
0.25 - 0.50 0.50 - 1
■ March 31, 2020
1-2
2-3 3-4
3 December 31, 2019
4-5 5+
As of March 31, 2020
0 - 0.25 0.25 - 0.50
0.50-1 1-2
2-3 3-4
4-5 5+
03/31/20
12/31/19
10.1%
9.6%
9.9%
8.1%
12.3%
16.9%
23.9%
21.1%
30.8%
31.0%
12.9%
13.2%
0.0%
0.0%
0.0%
0.0%
20 CM
1 Historical Average Purchase Yield
Danville Short Term Treasury Pool
Purchase Yield as of 3/31/2020 = 2.08%
2.2
2.0
1.8
1.4
1.2
As of March 31, 2020
1.0
oc' j6 0.6s 9,�j ✓41� 9�1�Oces O, �61� 9p�•lcP ✓4� lcfl 9tsc; 1�0 1���0c 19 6'61 �'br 19 ��i 194 19�c1 19�c �O 0,6
21 CM
1 Growth Over Time
$3,000, 000
$2,500, 000
$2,000, coo
$1,500,000
$1,000, 000
As of March 31, 2020
Growth of $1 Million
- Danville Total Return
- Danville Realized Return
- LAIF
q3� S%+ f 47 trib rjytif St�scb 0A�' a � S�� 2,,��5TO �.4), To �jo, ��s� -0, T •L-0, f�� 4), 6,6 `f�� /jh !� ij�� f Mrd S' S'
, To 1)t`rT�o'0, !te a',.. s04 '0, ��°.o -0, fT4 0,
s 's em 9 6 s, .s as % a1 0�, a� o,5 `o; °,9 o,, c 7 q as a6. a� o,) o6, o9 CI) 1� 11 �� 1� � r�, �,� 1� 1 1� t � t ,/ s 0
Historical Return of $1 Million Invested on March 31, 1995
As of 03/31/2020 Dollar Value Return
Danville Total Return $2,521,845 3.77%
Danville Realized Return $2,421,102 3.60%
LAIF $1,971,129 2.75%
22 CM
1 Investment Performance
6.00%
5.00%
4.00%
3.00%
2.00%
1.00%
0.00%
Danville Short Term Treasury Pool
Total and Realized Rate of Return Annualized Since Inception 03/31/1995
12 months 2 years
i
3 years 5 years
n
As of March 31, 2020
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 1.99% 4.70% 3.79% 2.65% 1.90% 1.60% 3.77%
ICE BAML 1-3 Yr US Treasury Index 2.81% 5.42% 4.06% 2.70% 1.85% 1.43% 3.54%
REALIZED RATE OF RETURN
Danville Short Term Treasury Pool 0.55% 2.10% 1.93% 1.75% 1.49% 1.54% 3.60%
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.
23 CM
1 Portfolio Characteristics
Danville NERIAD Improvement Fund (89-1 90A)
As of March 31, 2020
3/31/2020 12/31/2019
Benchmark* Portfolio Portfolio
Average Maturity (yrs)
Average Modified Duration
Average Purchase Yield
Average Market Yield
Average Quality**
Total Market Value
0.16
0.16
n/a
0.08%
AAA
0.33
0.32
1.50%
0.12%
AAA/Aa a
864,032
0.54
0.53
2.06%
1.85%
AAA/Aa a
856,385
*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.
24 CM
IIssuers
Danville NERIAD Improvement Fund (89-1 90A) — Account #24
As of March 31, 2020
Issue Name
Investment Type % Portfolio
Government of United States
Wells Fargo Adv Tsy Plus Money Market Fund
Federal Farm Credit Bank
US Treasury
Money Market Fund FI
Agency
74.31%
20.26%
5.43%
TOTAL
100.00%
25 CM
Section 3 1 Portfolio Holdings
26 cit
Holdings Report
Danville Short Term Treasury Pool - Account #21
As of March 31, 2020
CUSIP
Security Description
Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port. Moody/S&P Maturity
Gain/Loss Fitch Duration
ABS
43814UAG4
43815HAC1
43815NAC8
477870AC3
65479JAD5
47789KAC7
Honda Auto Receivables Trust 2018-2 A3
3.010% Due 05/18/2022
Honda Auto Receivables Trust 2018-3 A3
2.950% Due 08/22/2022
Honda Auto Receivables Trust 2019-3 A3
1.780% Due 08/15/2023
John Deere Owner Trust 2019-B A3
2.210% Due 12/15/2023
Nissan Auto Receivables Owner 2019-C A3
1.930% Due 07/15/2024
John Deere Owner Trust 2020-A A3
1.100% Due 08/15/2024
260,680.78
606,982.23
535,000.00
275,000.00
570,000.00
370,000.00
05/22/2018
3.03%
08/21/2018
2.98%
08/20/2019
1.79%
07/16/2019
2.23%
10/16/2019
1.94%
03/04/2020
1.11%
TOTAL ABS
2,617,663.01
2.18%
260,675.10
260,677.73
606,898.95
606,932.26
534,995.56
534,996.43
274,941.62
274,950.79
569,969.90
569,972.71
369,977.39
369,977.68
2,617,458.52
2,617,507.60
100.59 262,207.31
2.11% 283.35
100.92 612,566.43
1.70% 497.39
100.53 537,825.34
1.50% 423.24
100.82 277,247.30
1.74% 270.11
100.99 575,620.20
1.49% 488.93
98.17 363,221.60
1.87% 226.11
2,628,688.18
1.68% 2,189.13
0.37%
1,529.58
0.86%
5,634.17
0.76%
2,828.91
0.39%
2,296.51
0.81%
5,647.49
0.51%
(6,756.08)
3.71%
11,180.58
NR / AAA
AM
Aaa / NR
AM
Aaa / AAA
NR
Aaa / NR
AM
Aaa / AAA
NR
Aaa / NR
AM
Aaa / AAA
Aaa
2.13
0.64
2.39
0.72
3.38
1.86
3.71
1.69
4.29
2.18
4.38
2.39
3.40
1.60
Agency
3130AECJ7
3135GOD75
3130A5Z77
3133EHW58
3130A3UQ5
3133EJT74
3130AAB49
313500S38
3135G0U92
FHLB Note
2.625% Due 05/28/2020
FNMA Note
1.500% Due 06/22/2020
FHLB Note
1.830% Due 07/29/2020
FFCB Note
1.900% Due 11/27/2020
FHLB Note
1.875% Due 12/11/2020
FFCB Note
3.050% Due 11/15/2021
FHLB Note
1.875% Due 12/10/2021
FNMA Note
2.000% Due 01/05/2022
FNMA Note
2.625% Due 01/11/2022
1,500,000.00
1,500,000.00
1,500,000.00
350,000.00
1,500,000.00
1,600,000.00
1,000,000.00
1,400,000.00
1,000,000.00
05/30/2018
2.45%
10/19/2015
1.44%
10/23/2015
1.52%
11/21/2017
1.97%
01/27/2016
1.58%
12/11/2018
2.87%
12/15/2017
2.16%
09/27/2017
1.90%
02/13/2019
2.58%
1,505,160.00
1,500,404.01
1,503,954.00
1,500,189.94
1,521,315.00
1,501,459.43
349,279.00
349,842.12
1,520,355.00
1,502,912.77
1,607,984.00
1,604,428.92
989,100.00
995,363.94
1,405,418.00
1,402,238.10
1,001,160.00
1,000,709.98
100.36
0.41%
100.28
0.25%
100.51
0.28%
101.08
0.25%
101.10
0.29%
104.20
0.45%
102.40
0.45%
102.87
0.37%
103.87
0.44%
1,505,343.00
13,453.13
1,504,210.50
6,187.50
1,507,614.00
4,727.50
353,789.45
2,290.56
1,516,513.50
8,593.75
1,667,142.40
18,435.56
1,024,019.00
5,781.25
1,440,114.20
6,688.89
1,038,685.00
5,833.33
2.14%
4,938.99
2.13%
4,020.56
2.13%
6,154.57
0.50%
3,947.33
2.15%
13,600.73
2.37%
62,713.48
1.45%
28,655.06
2.04%
37,876.10
1.47%
37,975.02
Aaa / AA+
AM
Aaa / AA+
AM
Aaa / AA+
AM
Aaa / AA+
AAA
Aaa / AA+
NR
Aaa / AA+
AAA
Aaa / AA+
AM
Aaa / AA+
AAA
Aaa / AA+
AM
0.16
0.16
0.23
0.22
0.33
0.33
0.66
0.65
0.70
0.69
1.63
1.58
1.70
1.66
1.77
1.73
1.78
1.74
27 CM
Holdings Report
Danville Short Term Treasury Pool - Account #21
As of March 31, 2020
CUSIP
Security Description
Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port. Moody/S&P Maturity
Gain/Loss Fitch Duration
3130AEBM1
3135G0W33
313383WD9
FHLB Note
2.750% Due 06/10/2022
FNMA Note
1.375% Due 09/06/2022
FHLB Note
3.125% Due 09/09/2022
1,475,000.00
1,525,000.00
1,000,000.00
3133EKY91
3130A3KM5
3130AFE78
3135G0T94
3130ADRG9
3133834G3
3135G0V34
3130A7PH2
FFCB Note
1.375% Due 10/11/2022
FHLB Note
2.500% Due 12/09/2022
FHLB Note
3.000% Due 12/09/2022
FNMA Note
2.375% Due 01/19/2023
FHLB Note
2.750% Due 03/10/2023
FHLB Note
2.125% Due 06/09/2023
FNMA Note
2.500% Due 02/05/2024
FHLB Note
1.875% Due 03/08/2024
1,500,000.00
1,250,000.00
1,700,000.00
1,500,000.00
900,000.00
1,500,000.00
1,700,000.00
1,500,000.00
Various
2.84%
Various
1.55%
11/05/2018
3.10%
1,470,268.25
1,472,362.44
1,517,278.00
1,518,670.43
1,000,830.00
1,000,527.11
10/15/2019
1.64%
08/27/2018
2.80%
12/20/2018
2.77%
03/18/2019
2.46%
03/28/2019
2.24%
06/10/2019
2.00%
03/24/2020
0.82%
03/03/2020
0.85%
1,488,585.00
1,490,342.76
1,235,000.00
1,240,581.84
1,714,756.00
1,710,000.27
1,495,455.00
1,496,683.64
917,136.00
912,750.99
1,507,305.00
1,505,827.98
1,808,052.00
1,807,516.33
1,560,525.00
1,559,368.21
105.14
0.39%
102.41
0.38%
106.63
0.39%
101.18
0.90%
105.41
0.47%
106.63
0.51%
105.39
0.44%
106.67
0.47%
105.54
0.38%
107.57
0.51%
105.81
0.39%
1,550,820.90
12,506.77
1,561,754.03
1,456.16
1,066,341.00
1,909.72
2.20%
78,458.46
2.20%
43,083.60
1.50%
65,813.89
Aaa / AA+
NR
Aaa / AA+
AAA
Aaa / AA+
AAA
1,517,748.00 2.15% Aaa / AA+
9,739.58 27,405.24 AAA
1,317,601.25 1.87% Aaa / AA+
9,722.22 77,019.41 NR
1,812,684.50 2.58% Aaa / AA+
15,866.67 102,684.23 AAA
1,580,847.00 2.24% Aaa / AA+
7,125.00 84,163.36 AAA
959,990.40 1.35% Aaa / AA+
1,443.75 47,239.41 NR
1,583,083.50 2.24% Aaa / AA+
9,916.67 77,255.52 NR
1,828,640.70 2.58% Aaa / AA+
6,611.11 21,124.37 AAA
1,587,079.50 2.24% Aaa / AA+
1,796.88 27,711.29 NR
TOTAL Agency
Commercial Paper
62479LDV4 MUFG Bank Ltd Discount CP
1.680% Due 04/29/2020
TOTAL Commercial Paper
26,900,000.00
1,400,000.00
1,400,000.00
2.04%
27,118,915.25
27,072,181.21
27,924,021.83 39.54%
Aaa / AA+
0.43% 150,086.00 851,840.62 Aaa
01/30/2020 1,394,185.33
1.71% 1,394,185.33
99.58
1.71%
1,394,185.33
3,985.34
2.19
2.12
2.44
2.39
2.44
2.36
2.53
2.47
2.69
2.59
2.69
2.58
2.81
2.71
2.94
2.84
3.19
3.08
3.85
3.67
3.94
3.81
2.11
2.04
1.97% P-1 / A-1
0.00 NR
1.71%
1,394,185.33
1,394,185.33
1.71%
1,394,185.33
3,985.34
1.97% P-1 / A-1
0.00 NR
0.08
0.08
0.08
0.08
Corporate
857477AS2 State Street Bank Note
2.550% Due 08/18/2020
69353REW4 PNC Bank Callable Note Cont 3/30/2021
2.150% Due 04/29/2021
800,000.00
910,000.00
05/22/2017
1.90%
I I
816,280.00
801,916.10
100.16 801,296.00
2.11% 2,436.67
04/03/2018
3.01%
887,257.00
902,019.65
100.03 910,302.12
2.11% 8,260.78
1.13% Al / A
(620.10) AA -
1.29% A2 / A
8,282.47 A+
0.38
0.38
1.08
0.98
28 CM
Holdings Report
Danville Short Term Treasury Pool - Account #21
As of March 31, 2020
CUSIP
Security Description
Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port. Moody/S&P Maturity
Gain/Loss Fitch Duration
09247XAH4
Blackrock Inc Note
4.250% Due 05/24/2021
1,000,000.00
04/27/2018
3.03%
1,035,570.00
1,013,275.23
102.33
2.18%
1,023,295.00
14,993.06
1.46%
Aa3 / AA -
10,019.77 NR
1.15
1.10
037833CC2 Apple Inc Callable Note Cont 7/4/2021
1.550% Due 08/04/2021
084664BT7 Berkshire Hathaway Note
3.000% Due 05/15/2022
750,000.00
1,000,000.00
68389XBB0
69371RQ33
166764AB6
Oracle Corp Callable Note Cont 3/15/2022
2.500% Due 05/15/2022
Paccar Financial Corp Note
2.000% Due 09/26/2022
Chevron Corp Callable Note Cont 9/5/2022
2.355% Due 12/05/2022
89236TEL5
90331HNL3
06406RAE7
037833AK6
931142EK5
02665WCT6
Toyota Motor Credit Corp Note
2.700% Due 01/11/2023
US Bank NA Callable Note Cont 12/23/22
2.850% Due 01/23/2023
Bank of NY Mellon Corp Callable Note Cont 12/29/2022
2.950% Due 01/29/2023
Apple Inc Note
2.400% Due 05/03/2023
Wal-Mart Stores Callable Note Cont 5/26/2023
3.400% Due 06/26/2023
American Honda Finance Note
3.550% Due 01/12/2024
1,000,000.00
500,000.00
255,000.00
1,000,000.00
750,000.00
750,000.00
750,000.00
800,000.00
950,000.00
11/21/2017
2.33%
03/16/2018
2.98%
729,450.00
742,535.58
1,000,670.00
1,000,341.85
10/09/2019
1.86%
09/23/2019
2.04%
06/19/2019
2.28%
1,016,200.00
1,013,240.55
499,390.00
499,494.64
255,606.90
255,469.95
01/25/2019
3.22%
04/29/2019
2.77%
07/25/2019
2.37%
05/29/2019
2.54%
03/27/2019
2.54%
08/19/2019
2.07%
TOTAL Corporate
11,215,000.00
2.54%
980,920.00
986,579.21
752,190.00
751,648.92
764,625.00
761,802.83
746,205.00
747,015.38
827,616.00
821,041.61
1,008,634.00
1,000,450.81
11,320,613.90
11,296,832.31
100.62
1.05%
103.87
1.15%
101.71
1.60%
98.51
2.62%
101.37
1.77%
100.61
2.47%
102.37
1.95%
102.24
2.11%
104.26
1.00%
106.06
1.43%
103.20
2.65%
754,627.50
1,840.63
1,038,727.00
11,333.33
1.07%
12,091.92
1.48%
38,385.15
Aal / AA+
NR
Aa2 / AA
A+
1,017,124.00
9,444.44
492,538.00
138.89
258,492.74
1,935.03
1.45%
3,883.45
0.69%
(6,956.64)
0.37%
3,022.79
A3 / A+
A-
A1/A+
NR
Aa2 / AA
NR
1.87%
1,006,100.00
6,000.00
767,793.00
4,037.50
766,763.25
3,810.42
781,912.50
7,400.00
848,441.60
7,177.78
980,434.20
7,400.76
11,447,846.91
86,209.29
1.43%
19,520.79
1.09%
16,144.08
1.09%
4,960.42
1.11%
34,897.12
1.21%
27,399.99
1.39%
(20,016.61)
16.24%
151,014.60
Al / AA-
A+
Al / AA-
AA -
A1 /A
AA-
Aal / AA+
NR
Aa2 / AA
AA
A3 / A
NR
Al / AA-
A+
1.35
1.24
2.12
2.04
2.12
1.89
2.49
2.41
2.68
2.34
2.78
2.65
2.82
2.61
2.83
2.62
3.09
2.96
3.24
2.98
3.79
3.50
2.25
2.10
LAIF
■
90LAIF$00 Local Agency Investment Fund State Pool
75, 270.35
TOTAL LAIF 75,270.35
Various
1.74%
1.74%
75,270.35
75,270.35
75,270.35
75,270.35
1.00
1.74%
1.74%
75,270.35
391.18
75,270.35
391.18
0.11% NR/NR
0.00 NR
0.11% NR / NR
0.00 NR
0.00
0.00
0.00
0.00
29 CM
Holdings Report
Danville Short Term Treasury Pool - Account #21
As of March 31, 2020
Security Description Par Value/Units
Purchase Date Cost Value Mkt Price Market Value % of Port. Moody/S&P Maturity
Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration
Money Market Fund FI
94975H296 Wells Fargo Treasury Plus MMFD 453
TOTAL Money Market Fund FI
119,010.69
Various
0.22%
119,010.69
119,010.69
1.00
0.22%
119,010.69
0.00
0.17% Aaa/AAA 0.00
0.00 NR 0.00
119,010.69 0.22%
119,010.69
119,010.69
0.22%
119,010.69
0.00
0.17% Aaa / AAA 0.00
0.00 NR 0.00
Supranational
4581X0CX4 Inter -American Dev Bank Note 1,240,000.00 04/05/2017 1,237,061.20
1.625% Due 05/12/2020
1.70% 1,239,892.99
100.16
0.26%
1,241,931.92
7,780.14
1.76% Aaa / AAA
2,038.93 AAA
0.12
0.11
459058GA5 Intl. Bank Recon & Development Note 1,500,000.00 08/22/2017 1,499,685.00 100.46 1,506,864.00 2.12% Aaa / AAA 0.43
1.625% Due 09/04/2020 1.63% 1,499,955.41 0.55% 1,828.13 6,908.59 AAA 0.42
45950KCM0 International Finance Corp Note 1,000,000.00 Various 997,047.20 101.40 1,014,010.00 1.43% Aaa /AAA 0.82
2.250% Due 01/25/2021 2.35% 999,193.98 0.53% 4,125.00 14,816.02 NR 0.81
4581X0CN6 Inter -American Dev Bank Note 1,100,000.00 09/13/2018 1,054,218.00 102.42 1,126,581.50 1.60% Aaa /AAA 2.04
1.750% Due 04/14/2022 2.99% 1,073,934.08 0.55% 8,929.86 52,647.42 AAA 1.99
4,788,011.40 4,889,387.42 6.92% Aaa / AAA 0.80
TOTAL Supranational 4,840,000.00 2.11% 4,812,976.46 0.47% 22,663.13 76,410.96 Aaa 0.79
US Treasury
912828VA5 US Treasury Note 1,325,000.00 11/02/2016 1,326,919.48 100.08 1,326,102.40 1.88% Aaa / AA+ 0.08
1.125% Due 04/30/2020 1.08% 1,325,043.69 0.13% 6,252.34 1,058.71 AAA 0.08
912828XM7 US Treasury Note 1,500,000.00 10/19/2015 1,520,922.99 100.50 1,507,500.00 2.13% Aaa / AA+ 0.33
1.625% Due 07/31/2020 1.32% 1,501,449.99 0.13% 4,084.82 6,050.01 AAA 0.34
912828L32 US Treasury Note 1,200,000.00 01/30/2017 1,188,238.40 100.53 1,206,374.40 1.70% Aaa / AA+ 0.42
1.375% Due 08/31/2020 1.66% 1,198,633.21 0.10% 1,434.78 7,741.19 AAA 0.42
912828L65 US Treasury Note 500,000.00 04/25/2017 496,095.43 100.66 503,281.00 0.71% Aaa / AA+ 0.50
1.375% Due 09/30/2020 1.61% 499,432.86 0.06% 18.78 3,848.14 AAA 0.50
912828WC0 US Treasury Note 1,300,000.00 12/22/2015 1,301,121.54 100.97 1,312,594.40 1.86% Aaa / AA+ 0.59
1.750% Due 10/31/2020 1.73% 1,300,134.66 0.09% 9,562.50 12,459.74 AAA 0.58
912828M98 US Treasury Note 1,200,000.00 02/27/2017 1,198,457.15 101.03 1,212,374.40 1.72% Aaa / AA+ 0.67
1.625% Due 11/30/2020 1.66% 1,199,726.54 0.08% 6,553.28 12,647.86 AAA 0.66
912828Q37 US Treasury Note 1,500,000.00 06/15/2017 1,478,501.12 101.12 1,516,816.50 2.14% Aaa / AA+ 1.00
1.250% Due 03/31/2021 1.64% 1,494,345.67 0.13% 51.23 22,470.83 AAA 1.00
912828Q78 US Treasury Note 1,500,000.00 06/08/2017 1,484,536.28 101.33 1,519,980.00 2.15% Aaa / AA+ 1.08
1.375% Due 04/30/2021 1.65% 1,495,712.38 0.14% 8,669.30 24,267.62 AAA 1.07
30 CAt
Holdings Report
Danville Short Term Treasury Pool - Account #21
As of March 31, 2020
CUSIP
Security Description
Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port. Moody/S&P Maturity
Gain/Loss Fitch Duration
912828T34
912828F96
912828W55
912828W89
912828L24
912828M80
912828R28
912828R69
912828T91
US Treasury Note
1.125% Due 09/30/2021
US Treasury Note
2.000% Due 10/31/2021
US Treasury Note
1.875% Due 02/28/2022
US Treasury Note
1.875% Due 03/31/2022
US Treasury Note
1.875% Due 08/31/2022
US Treasury Note
2.000% Due 11/30/2022
US Treasury Note
1.625% Due 04/30/2023
US Treasury Note
1.625% Due 05/31/2023
US Treasury Note
1.625% Due 10/31/2023
TOTAL US Treasury
1,250,000.00
1,500,000.00
1,300,000.00
1,250,000.00
900,000.00
950,000.00
1,500,000.00
1,500,000.00
1,500,000.00
21,675,000.00
01/10/2018
2.20%
08/29/2018
2.76%
02/08/2018
2.49%
10/24/2017
1.98%
10/04/2018
3.01%
04/29/2019
2.28%
06/19/2019
1.87%
04/11/2019
2.30%
09/13/2019
1.78%
1,202,392.58
1,230,809.68
1,465,781.25
1,482,905.41
1,269,226.56
1,285,486.58
1,244,580.08
1,247,558.02
862,488.28
876,798.50
940,759.77
943,136.84
1,486,582.03
1,489,303.69
1,460,156.25
1,469,462.82
1,490,917.97
1,492,112.02
101.38
0.21%
102.82
0.21%
103.17
0.21%
103.31
0.22%
103.92
0.25%
104.57
0.28%
104.08
0.29%
104.16
0.30%
104.69
0.31%
1,267,187.50
38.42
1,542,304.50
12,609.89
1,341,234.70
2,119.57
1,291,357.50
64.04
935,262.00
1,467.39
993,380.80
6,385.25
1,561,230.00
10,245.54
1,562,461.50
8,191.60
1,570,371.00
10,245.54
1.78%
36,377.82
2.19%
59,399.09
1.89%
55,748.12
1.82%
43,799.48
1.32%
58,463.50
1.41%
50,243.96
2.21%
71,926.31
2.21%
92,998.68
2.23%
78,258.98
1.93%
21,417,677.16
21,532,052.56
0.19%
22,169,812.60
87,994.27
31.35%
637,760.04
TOTAL PORTFOLIO
68,841,944.05
2.09%
68,851,142.60
68,920,016.51
Aaa / AA+
AAA
Aaa / AA+
AAA
Aaa / AA+
AAA
Aaa / AA+
AAA
Aaa / AA+
AAA
Aaa / AA+
AAA
Aaa / AA+
AM
Aaa / AA+
AAA
Aaa/AA+
AAA
Aaa / AA+
Aaa
70,648,223.31 100.00% Aa1 / AA+
0.66% 353,518.34 1,728,206.80 Aaa
TOTAL MARKET VALUE PLUS ACCRUALS
71,001,741.65
1.50
1.49
1.59
1.55
1.92
1.89
2.00
1.97
2.42
2.37
2.67
2.59
3.08
3.00
3.17
3.08
3.59
3.47
1.62
1.59
1.89
1.76
31 Ci
1 Holdings Report
Danville NERIAD Improvement Fund (89-1 90A) - Account #24
As of March 31, 2020
CUSIP Security Description
Par Value/Units
Purchase Date Cost Value Mkt Price Market Value % of Port. Moody/S&P Maturity
Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration
Agency
313312YA2 FFCB Discount Note
0.530% Due 06/12/2020
TOTAL Agency
47,000.00 03/24/2020
0.54%
47,000.00 0.54%
46,945.34 99.88 46,945.34 5.43% P-1 / A-1+ 0.20
46,945.34 0.54% 4.84 0.00 F-1+ 0.20
46,945.34
46,945.34
46,945.34 5.43% Aaa / AAA 0.20
0.54% 4.84 0.00 Aaa 0.20
Money Market Fund FI
94975H296 Wells Fargo Treasury Plus MMFD 453 175,025.26 02/27/2020 175,025.26 1.00 175,025.26 20.26% Aaa / AAA 0.00
0.22% 175,025.26 0.22% 0.00 0.00 NR 0.00
175,025.26 175,025.26 20.26% Aaa / AAA 0.00
TOTAL Money Market Fund FI 175,025.26 0.22% 175,025.26 0.22% 0.00 0.00 NR 0.00
US Treasury
912828X96 US Treasury Note 200,000.00 05/30/2019 198,453.13 100.17 200,340.80 23.32% Aaa / AA+ 0.12
1.500% Due 05/15/2020 2.32% 199,805.54 0.12% 1,137.36 535.26 AAA 0.12
9128282Q2 US Treasury Note 160,000.00 09/30/2019 159,537.50 100.59 160,937.44 18.66% Aaa / AA+ 0.38
1.500% Due 08/15/2020 1.83% 159,803.44 (0.06%) 303.30 1,134.00 AAA 0.38
912828M98 US Treasury Note 275,000.00 12/02/2019 274,806.64 101.03 277,835.80 32.33% Aaa / AA+ 0.67
1.625% Due 11/30/2020 1.70% 274,870.56 0.08% 1,501.79 2,965.24 AAA 0.66
632,797.27 639,114.04 74.31% Aaa / AA+ 0.42
TOTAL US Treasury 635,000.00 1.93% 634,479.54 0.06% 2,942.45 4,634.50 Aaa 0.42
TOTAL PORTFOLIO
857,025.26 1.51%
854,767.87
856,450.14
861,084.64 100.00% Aaa / AAA 0.33
0.12% 2,947.29 4,634.50 Aaa 0.32
TOTAL MARKET VALUE PLUS ACCRUALS
864,031.93
32 CM
Section 4 1 Transactions
33 CA
1 Transaction Ledger
Danville Short Term Treasury Pool - Account #21
December 31, 2019 through March 31, 2020
As of March 31, 2020
Transaction Settlement
Type Date
CUSIP Quantity Security Description
c
Price Aq/Disp
Yield
Amount
Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 01/31/2020 62479LDV4 1,400,000.00 MUFG Bank Ltd Discount CP
1.68% Due: 04/29/2020
Purchase 03/04/2020 3130A7PH2 1,500,000.00 FHLB Note
1.875% Due: 03/08/2024
Purchase 03/11/2020 47789KAC7 370,000.00 John Deere Owner Trust 2020-A A3
1.1% Due: 08/15/2024
Purchase 03/25/2020 3135G0V34 1,700,000.00 FNMA Note
2.5% Due: 02/05/2024
99.585 1.71% 1,394,185.33 0.00 1,394,185.33
104.035 0.85% 1,560,525.00 13,750.00 1,574,275.00 0.00
99.994 1.11% 369,977.39 0.00 369,977.39 0.00
106.356 0.82% 1,808,052.00 5,902.78 1,813,954.78 0.00
0.00
Subtotal 4,970,000.00
5,132,739.72 19,652.78 5,152,392.50 0.00
TOTAL ACQUISITIONS 4,970,000.00
5,132,739.72 19,652.78 5,152,392.50 0.00
DISPOSITIONS
Sale
03/09/2020 912828VA5 325,000.00 US Treasury Note
1.125% Due: 04/30/2020
100.059
0.71% 325,190.43 1,305.80
326,496.23 171.21
Subtotal 325,000.00
325,190.43 1,305.80
326,496.23 171.21
Call
03/06/2020 459200HA2 750,000.00 IBM Corp Note
2.9% Due: 11/01/2021
102.650
1.27% 769,877.18
7,552.08 777,429.26 22,654.66
Subtotal
750,000.00 769,877.18
7,552.08 777,429.26 22,654.66
Maturity 01/10/2020 3133EG3J2 1,500,000.00 FFCB Note 100.000 1,500,000.00 0.00 1,500,000.00 0.00
1.55% Due: 01/10/2020
Maturity 01/17/2020 3137EAEE5 1,485,000.00 FHLMC Note 100.000 1,485,000.00 0.00 1,485,000.00 0.00
1.5% Due: 01/17/2020
Maturity 01/31/2020 912828H52 1,350,000.00 US Treasury Note 100.000 1,350,000.00 0.00 1,350,000.00 0.00
1.25% Due: 01/31/2020
Maturity 02/28/2020 3135G0T29 1,310,000.00 FNMA Note 100.000 1,310,000.00 0.00 1,310,000.00 0.00
1.5% Due: 02/28/2020
34 CM
1 Transaction Ledger
December 31,
2019 through March 31, 2020
Danville Short Term Treasury Pool - Account #21
As of March 31, 2020
Transaction
Type
Settlement
Date
CUSIP
Quantity Security Description
c
Price Aq/Disp
Yield
Amount
Interest
Pur/Sold Total Amount Gain/Loss
Maturity
03/13/2020
313378J77
1,000,000.00 FHLB Note
1.875% Due: 03/13/2020
100.000
1,000,000.00
0.00
1,000,000.00
0.00
Subtotal
6,645,000.00
6,645,000.00
0.00 6,645,000.00
0.00
TOTAL DISPOSITIONS
7,720,000.00
7,740,067.61 8,857.88 7,748,925.49 22,825.87
35 CM
1 Transaction Ledger
December 31,
2019 through March 31, 2020
Danville NERIAD Improvement Fund (89-1 90A) - Account #24
As of March 31, 2020
Transaction
Type
Settlement
Date
CUSIP
Quantity Security Description
c
Price Aq/Disp
Yield
Amount
Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase
03/25/2020 313312YA2
47,000.00 FFCB Discount Note
0.53% Due: 06/12/2020
99.884 0.54%
46,945.34
0.00
46,945.34
0.00
Subtotal
47,000.00
46,945.34
0.00 46,945.34
0.00
TOTAL ACQUISITIONS
47,000.00
46,945.34
0.00
46,945.34
0.00
DISPOSITIONS
Maturity
02/27/2020 912796SD2
200,000.00 US Treasury Bill
2.462% Due: 02/27/2020
100.000
195,022.30
4,977.70 200,000.00
0.00
Subtotal
200,000.00
195,022.30
4,977.70 200,000.00
0.00
TOTAL DISPOSITIONS 200,000.00
195,022.30 4,977.70
200,000.00 0.00
36 CM
IImportant Disclosures
2019 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
As of March 31, 2020
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.
37 CM
1 Benchmark Disclosures
As of March 31, 2020
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 have at 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
schedule and a minimum amount outstanding of $1 billion for US Treasuries and $250 million for all other securities. (Index: GVPB. Please visit www.mlindex.ml.com for more information)
38 CM