HomeMy WebLinkAbout072120-07.1I INVESTMENT REPORT
Town of Danville
Period Ending June 30, 2020
CHANDLER
,It ASSET MANAGEMENT
CHANDLER ASSET MANAGEMENT, INC. 1 800.317.4747 1 www.chandlerasset.com
ITable of Contents
SECTION 1
SECTION 2
SECTION 3
SECTION 4
Economic Update
Account Profile
Portfolio Holdings
Transactions
As of June 30, 2020
1 Qt. ``'
til
�ti � Section 1 Economic Update
Economic Update
■ Economic data remains weak but is showing signs of improvement. We believe financial market participants are looking
through the data and expect conditions to recover further in the second half of the year, supported by robust fiscal and
monetary relief. First quarter GDP declined 5.0% and the decline in second quarter GDP is expected to be more severe, but
economic output is expected to grow in the third quarter. More than 40 million people have filed for unemployment since
mid-March, though many of those jobs have already started to return. We believe additional fiscal stimulus, beyond the
$2.7 trillion that has already been announced, may be necessary to foster a strong recovery.
The Federal Open Market Committee (FOMC) kept monetary policy unchanged at its June 9-10 meeting, as expected, with
the fed funds target rate in the range of 0%-0.25%. According the Fed's economic projections, policymakers expect to keep
that range unchanged through 2022. The Fed will continue to purchase Treasury and agency mortgage-backed securities as
needed to support smooth market functioning and will continue to support the flow of credit to households, businesses,
and municipalities through the various lending programs that have already been announced. Although some economic data
has recently surprised to the upside, Fed Chair Powell maintained a dovish tone during his press conference and cautioned
that unemployment is likely to remain elevated even as the economy recovers. He noted the outlook for the economy
remains highly uncertain and depends largely on the path of the pandemic. He also hinted that the Fed is considering the
option of yield curve control (i.e. structuring their bond purchases to target a cap on yields across the Treasury yield curve).
Overall, the Fed remains highly accommodative.
Treasury yields were nearly unchanged in June. The yield on 2 -year Treasuries declined about one basis point to 0.15% and
the yield on 10 -year Treasuries was essentially unchanged at 0.66%. Global economic weakness continues to put downward
pressure on inflation expectations. An ongoing global demand for safe -haven assets has also kept a lid on Treasury rates.
3 CIS .
0
0
0
S
v
ao
C
s
u
Employment
10,000
Ems
2,000
-2,000
-6,000
-10,000
-14,000
-18,000
-22,000
Nonfarm Payroll (000's)
00 OC
1c4 1cP lcQ 19 l,9 l9 l9 �O �O
Source: US Department of Labor
24.0%
22.0%
20.0%
18.0%
16.0%
14.0%
' 12.0%
°C 10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
Unemployment Rate
1
1 ,
- - - Underemployment Rate (U6) 1
Unemployment Rate (U3) 1 ,�
1
1
1
1
I
1
✓4� 1� S�� I� QPc lcQ �dr� ✓4�
l9 p j9 9 130 �Pc ja�✓�� �O
9 O
Source: US Department of Labor
U.S. nonfarm payrolls were better than expected in June increasing by 4,800,000 versus expectations of 3,230,000. The unemployment rate
declined to 11.1% in June (versus expectations of 12.5%) from 13.3% in May. If the workers who classified themselves as employed but absent
from work in the June survey had instead been classified as unemployed on temporary layoff, the total unemployment rate would have been
about 1% higher. Job growth was broad-based in June, with particularly strong gains in leisure and hospitality and retail trade, but the
improvement was still a long way from recovering the number of jobs lost in those sectors in April. The U-6 underemployment rate, which
includes those who are marginally attached to the labor force and employed part time for economic reasons, remained very high but eased to
18.0% in June from 21.2% in May. The labor participation rate increased to 61.5% in June from 60.8% in May.
Initial Claims for Unemployment
Initial Claims For Unemployment April 03, 2020 -July 03, 2020
22,548 24,912
25,000 22,377 20,841 21,268 I 20,606 20,289 19,231 18,760
18,011 I I 18,062
20,000 I
15,819
y
15,000
c
N
11,914, Initial Jobless Claims
r
10,000 6,615 Continuing Claims
5,237
3,867
5,000 4,442 3,176 2,687
2,446 2,123 1,897 1,566 1,540 1,482
Obi Off/
OS OS/ OSi OS OS/ 06' 06' 06' 06' 01/
09 -170, .7j, )V 01, 0,5, 1s, ��i �0--,)0-
i Os, 1�j 79, �6' ,
�O �O �O �O ,)O ,)O �O ,)O �O �O ,)O �O �O �O
Source: US Department of Labor
In the most recent week of July 4th, more than 1.3 million people filed an initial claim for unemployment. The level of continuing
unemployment claims (where the data is lagged by one week) remained very high in the week of June 26th but declined to nearly 18.1 million
from the prior week level of about 18.8 million.
5 c�'
Inflation
Consumer Price Index (CPI)
3.5%
3.0%
3.0%
2.5%
2.5%
Gl
2.0%
-
-
�♦
to
%
♦ ���-+
,�•
s2.0%
-b.0 4, .0
u
1.0%
•
1.5%
PCE Price DeflatorYOY % Change
`
o
- -
- PCE Core Deflator YOY % Change
0.0%
1.0%
X01-. �Pb 1'4 - ele, �0G19 X06
�9 l9
CPI YOY % Change
0.5
Source: US Deportment
of Commerce
- -
- Core CPI YOY % Change
0.0%
Oil �d`19
01,
�tg19 �01,19O
b l9
Source: US Department
of Labor
Personal Consumption Expenditures (PCE)
3.5%
3.0%
2.5%
Gl
2.0%
-
-
�♦
t
u
%
♦ ���-+
o
•
1.0%
• '
PCE Price DeflatorYOY % Change
0.5%
- -
- PCE Core Deflator YOY % Change
0.0%
X01-. �Pb 1'4 - ele, �0G19 X06
�9 l9
Source: US Deportment
of Commerce
The Consumer Price Index (CPI) was up 0.1% year -over -year in May, down from 0.3% in April. Core CPI (CPI less food and energy) was up just
1.2% year -over -year in May, down from 1.4% in April. The Personal Consumption Expenditures (PCE) index was up just 0.5% year -over -year in
May, versus up 0.6% year -over -year in April and 1.3% in March. Core PCE, which is the Fed's primary inflation gauge, was up 1.0% year -over -
year in May, versus up 1.0% year -over -year in April and 1.7% in March. Consumer pricing data indicate that the effect of the pandemic has been
deflationary.
6 011111 .
Consumer
10.0%
5.0%
0.0%
v
�o
s -5.0%
v
} -10.0%
0
-15.0%
-20.0%
-25.0%
Retail Sales YOY % Change
4-7 �4�1� �oG1�06'19
1"
4l0j 19
q4g 19 �oG 19
X06
�Oil-
Source: US Department of Commerce
150
140
130
120
v
X 110
c
100
90
80
Consumer Confidence
✓4�'Ic4 s�p'IcQ 10,c1cQ d�1 SPpO
19 l9 �c�d�✓��>p9 19 �
Source: The Conference Board
On a year -over -year basis, retail sales were down 6.1% in May versus down of 19.9% in April. On a month -over -month basis, retail sales jumped
17.7% in May (a much stronger rebound than expected), following a 14.7% decline in April. In May, month -over -month increases were
particularly strong for clothing, furniture, sporting goods, electronics, appliances, and auto sales. Consumer confidence continued to recover in
June. The Consumer Confidence index rose to 98.1 in June from 85.9 in May. Both the Present Situation index the Expectations index
improved.
IEconomic Activity
4.0%
2.0%
0 0.0%
C
M
s
U
75- -2.0%
0 -4.0%
-6.0%
Leading Economic Indicators (LEI)
-8.0%
Source: The Conference Board
q
Pb 7,q d` 7 g19
2.00
1.00
0.00
-1.00
o�
-2.00
a -3.00
t
o -4.00
M -5.00
-6.00
-7.00
-8.00
Chicago Fed National Activity Index (CFNAI)
X01 X06 2fa` 4f7 1<1
79 )o ,)p 1� 1cQ 1cQ
Source: Federal Reserve Bank of Chicago
.cPb fid` y4e"7,9
�joG .cPb �dL
Z9 1,g . j9 I9 �p "30
The Conference Board's Leading Economic Index (LEI) rose 2.8% in May, following a 6.1% decline in April. On a year -over -year basis, the LEI was
down 10.6% in May versus down 13.0% in April. According to the Conference Board, the path toward economic recovery remains highly
uncertain. The Chicago Fed National Activity Index (CFNAI) increased to 2.61 in May from -17.89 in April. On a 3 -month moving average basis,
the CFNAI improved to -6.65 in May from -7.50 in April, which remains deeply below the -0.7 recessionary level.
8 C�
Housing
2000
1800
1600
4-
0
1400
c
1200
0
1000
:11,
W
600
s
400
�
200
0
Housing Starts
Multi Family Housing Starts
■ Single Family Housing Starts
8.0%
7.0%
6.0%
twv
2 5.0%
s
U
4.0%
0 3.0%
2.0%
1.0%
S&P/Case-Shiller 20 City Composite Home Price Index
�oG1�
��b19
/d`�9
91�g19
p�19 �ob�o
O`�0
9pr1� ✓(�j1�
OCIA,
✓d��9
9p�Z9 ✓(�j19
OC�Z9
✓d��O 9pr�O
Source: US Department of Commerce
Source: S&P
Housing starts rose 4.3% in May to an annual pace of 974,000. Single family starts were roughly flat at an annualized rate of 675,000, while multi-
family starts increased 15.0%to an annualized rate of 299,000. Permits increased 14.4% in May to an annualized rate of 1,220,000. Accordingto
the Case-Shiller 20 -City home price index, home prices were up 4.0% year -over -year in April versus up 3.9% year -over -year in March. We
believe low inventory and low mortgage rates continue to support prices.
9 CIS .
62
60
58
56
54
52
50
48
46
44
42
40
Manufacturing
Institute of Supply Management Purchasing Manager
Index
8.0%
4.0%
0.0%
v
-4.0%
U
0
} -8.0%
0
-12.0%
-16.0%
-20.0%
Industrial Production
✓�� 1 sp0(1 �dr ✓�� 19 5��1 pPc1 �dr� ✓4�
11�9
�0j, q4�Z
tioG1 �0"V �a`1 q4�1
tioG1 �Pb� �a`�
19 9 9 O O
�p
cQ 9 9 9
9 O p
Source: Institute for Supply Management
Source: Federal Reserve
The Institute for Supply Management (ISM) manufacturing index improved meaningfully to 52.6 in June from 43.1 in May. The reading above
50.0 suggests that the manufacturing sector is no longer contracting. The Industrial Production index was down 15.3% year -over -year in May,
versus down 16.3% in April. On a month -over -month basis, the Industrial Production index increased 1.4% in May, following a 12.5% decline in
April. Capacity Utilization improved to 64.8% in May from 64.0% in April, but remains well below the long -run average of 79.8%. Overall
manufacturing conditions remain under pressure but the sector is showing modest improvement from April.
10 CI1111 .
Gross Domestic Product (GDP)
Personal Consumption Expenditures 3.0% 2.1% 1.2% -4.7%
Gross Private Domestic Investment -1.2% -0.2% -1.1% -1.8%
Net Exports and Imports
Federal Government Expenditures
State and Local (Consumption and
Gross Investment)
-0.7% -0.1% 1.5% 1.3%
0.5% 0.2% 0.2% 0.1%
0.3% 0.1% 0.2% 0.1%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
-1.0%
-2.0%
-3.0%
-4.0%
-5.0%
-6.0%
Gross Domestic Product (GDP)
� GDP QOQ % Change
GDP YOY % Change
Total 2.0% 2.1% 2.1% -5.0% /17dr SPav, 117dr SPb, �di s�°p, 117�'r, s�b, 47dr, . �dr
19 19 _�O
Source: US Department of Commerce
Source: US Department of Commerce
First quarter US gross domestic product (GDP) declined 5.0%, a slightly larger decline than the initial estimate of -4.8%. Consumer spending
declined 6.8% in the quarter. Notably, the decline in second quarter 2020 GDP is expected to be much more severe. The Bloomberg median
estimate for second quarter GDP is -34.7%, and consumer spending is expected to decline 39.7%. The consensus forecast calls for a return to
positive GDP growth in the third quarter. According to the National Bureau of Economic Research, the US economy officially entered a
recession in February 2020, following a 128 -month economic expansion. Economic data remains weak but is showing early signs of
improvement, which suggests that the recession (which is the period between the peak of economic activity and the trough) may technically
already be over.
Federal Reserve
7,500,000
7,000,000
6,500,000
6,000,000
5,500,000
5,000,000
4,500,000
4,000,000
3,500,000
Federal Reserve Balance Sheet Assets
Oct ,� 9,6, 0c ✓�� fpr ,
1d, 1�p 1g 1,g 1g 1g �� 1)p 2�
Effective Federal Funds Rate
3.00%
2.50%
2.00%
1.50% '
1.00%
0.50%
0.00%
��/, �c� ✓dh �br ��/, �c� ✓ah fib,,
1� 1� ,'9 1y 19 19 �0 ,)p -,o
Source: Federal Reserve Source: Bloomberg
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 continues to purchase Treasury and agency mortgage-backed securities 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 to 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
Bond Yields
US Treasury Note Yields
4.0%
3.5% . • • • 2 -Year
- - - 5 -Year
3.0%
10 -Year
2.5% .••.. ��•yA�
2.0%
1.5% �.''- do
04
1.0
0.5
0.0%
✓4�, SPp ��°c, �dr ✓4�J, s�°,b, O�c` �dr ✓4�J,
1�p 1� 1� 19 19 19 1g 2p �p
Source: Bloomberg
US Treasury Yield Curve
4.0%
3.5% . • • • Jun -20
Mar -20
3.0% Jun -19
2.5
0
2.0
v
} 1.5%
1.0
f •
0.5% •.•
0.0%
a'
6
�n-
o /p r r r Yr yr
Source: Bloomberg
At June month-end, Treasury yields were much lower on a year -over -year basis. The 3 -month T-bill yield was down 196 basis points, the 2 -year
Treasury yield was down 161 basis points, and the 10 -Year Treasury yield was down 135 basis points, year -over -year. Much of the spread
movement was in the month of March 2020, 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
til
Section 2 Account Profile
14 Cjj1
IObjectives As of June 30, 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.
15 QJ
Compliance
Category
Treasury Issues
Agency Issues
Municipal Securities
Supranational Securities
As of June 30, 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") orthe Inter -
American Development Bank ("IADB")
Comment
Complies
Complies
Complies
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
"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
Commercial Paper Complies
maturity; Issued by corporations organized and operating within the U.S. and having total assets in excess of $500 million
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 Complies
"A", and the balance rated "AA" or better); 5% max per issuer
Mortgage Pass -Through Securities 15% maximum; 5% per issuer; Issued by Agencies of the U.S. government only Complies
Collateralized Mortgage Obligation (CMOs)
AAA rated by a NRSRO; 15% maximum (combination of ABS and CMOs); 5%"max per issuer Complies
and Asset Backed Securities (ABS)
Bank/Time Deposits FDIC insured/ Collateralized Complies
Money Market Mutual Funds and Mutual 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
Complies
Funds Fund; 20% maximum in Money Market Mutual Funds; 20% maximum combined of total portfolio in these securities.
Repurchase Agreements 15% maximum; 102% collateralized; 30 days max maturity; Not used by Investment Adviser Complies
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
Local Agency Investment Fund (LAIF) Complies
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
Prohibited Complies
Repurchase Agreements; Securities lending; Foreign currency denominated securities
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
16 QJ
Portfolio Characteristics As of June 30, 2020
Danville Short Term Treasury Pool
Average Maturity (yrs)
1.86
1.91
1.89
Average Modified Duration
1.82
1.80
1.76
Average Purchase Yield
n/a
1.93%
2.08%
Average Market Yield
0.17%
0.29%
0.66%
Average Quality"
AAA
AA+/Aa1
AA+/Aa1
Total Market Value
71,586,117
71,001,742
*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 C1J'"
I Sector Distribution
USTreasim/
29.1°/
Supranational
5.1%
Money Market
Fund FI
0.9%
LAIF
0.1%
June 30, 2020
Corporate
16.5%
Danville Short Term Treasury Pool
March 31, 2020
Agency
44.7%
US TreaSL
31.4%
Supranational
6.9%
Money Market
Fund FI
0.2%
LAI F
0.1% Corporate
16.2%
As of June 30, 2020
Agency
39.5%
18 QJ
Commercial
ABS
Paper
ABS
3.5%
2.0%
3.7%
Agency
44.7%
US TreaSL
31.4%
Supranational
6.9%
Money Market
Fund FI
0.2%
LAI F
0.1% Corporate
16.2%
As of June 30, 2020
Agency
39.5%
18 QJ
Issuers
Danville Short Term Treasury Pool — Account #21
As of June 30, 2020
Government of United States
US Treasury
29.14%
Federal Home Loan Bank
Agency
19.47%
Federal National Mortgage Association
Agency
12.50%
Federal Farm Credit Bank
Agency
9.06%
Federal Home Loan Mortgage Corp
Agency
3.68%
Apple Inc
Corporate
2.18%
Intl Bank Recon and Development
Supranational
2.11%
Honda ABS
ABS
1.76%
Inter -American Dev Bank
Supranational
1.58%
Toyota Motor Corp
Corporate
1.49%
Berkshire Hathaway
Corporate
1.47%
Honda Motor Corporation
Corporate
1.47%
BlackRock Inc/New York
Corporate
1.45%
Oracle Corp
Corporate
1.45%
International Finance Corp
Supranational
1.43%
PNC Financial Services Group
Corporate
1.29%
Wal-Mart Stores
Corporate
1.22%
State Street Bank
Corporate
1.13%
Bank of New York
Corporate
1.13%
US Bancorp
Corporate
1.12%
Wells Fargo Adv Tsy Plus Money Market Fund
Money Market Fund FI
0.94%
John Deere ABS
ABS
0.91%
Nissan ABS
ABS
0.82%
Paccar Financial
Corporate
0.72%
ChevronTexaco Corp
Corporate
0.37%
Local Agency Investment Fund
LAIF
0.11%
TOTAL
100.00%
19 Qt�
I Duration Distribution
Danville Short Term Treasury Pool
June 30, 2020 vs. March 31, 2020
45.0%
40.0%
35.0%
30.0%
25.0%
20.0%
15.0%
10.0%
5.0%
0.0%
0-0.25 0.25-0.50 0.50-1 1-2 2-3 3-4 4-5 5+
NJ u ne 30, 2020 March 31, 2020
i
06/30/20 10.2% 6.8% 9.4% 26.6% 38.5% 8.5% 0.0% 0.0%
03/31/20 10.1% 9.9% 12.3% 23.9% 30.8% 12.9% 0.0% 0.0%
As of June 30, 2020
IHistorical Average Purchase Yield
Danville Short Term Treasury Pool
Purchase Yield as of 6/30/2020 = 1.93%
2.2
2.0
IIS
1.4
1.2
1.0
4,r 27a ✓�j `Spa 2pL ✓0 41- 41- ✓4/ .5�� /jipG 1?0 19 19 1?0 1 19 1O -O 1`01
day gyp,
As of June 30, 2020
21 CIJ'"
IGrowth over Time As of June 30, 2020
Growth of $1 Million
$3,000,000
$2,500,000
$2,000,000
$1,500,000
Danville Total Return
-Danville Realized Return
LAI IF
$1,000,000 -&-- i i i i i i i i Ir
Historical Return of $1 Million Invested on March 31, 1995
As of 06/30/2020
Dollar Value
Return
Danville Total Return
$2,542,614
3.76%
Danville Realized Return
$2,433,209
3.58%
LAIF
$1,978,003
2.74%
Investment Performance
4.50%
4.00%
3.50%
3.00%
2.50%
2.00%
1.50%
1.00%
0.50%
0.00%
As of June 30, 2020
Danville Short Term Treasury Pool
Total and Realized Rate of Return Annualized Since Inception 03/31/1995
12 months 2 years 3 years
■ Danville Short Term Treasury Pool
TOTAL RATE OF RETURN
Danville Short Term Treasury Pool
ICE BAML 1-3 Yr US Treasury Index
REALIZED RATE OF RETURN
Danville Short Term Treasury Pool
5 years 10 years Since Inception
ICE BAML 1-3 Yr US Treasury Index
Annualized
0.50% 2.10% 1.98% 1.81% 1.55% 1.52% 3.58%
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 Q `"
Since
3 months 12 months 2 years 3 years 5 years 10 years
Inception
0.82% 4.12% 4.06% 2.82% 2.04% 1.52%
3.76%
0.13% 4.06% 4.01% 2.69% 1.84% 1.33%
3.51%
0.50% 2.10% 1.98% 1.81% 1.55% 1.52% 3.58%
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 Q `"
Portfolio Characteristics As of June 30, 2020
Danville NERIAD Improvement Fund (89-1 90A)
Average Maturity (yrs)
0.16
0.43
0.33
Average Modified Duration
0.16
0.43
0.32
Average Purchase Yield
n/a
1.02%
1.50%
Average Market Yield
0.14%
0.19%
0.12%
Average Quality"
AAA
AA+/Aaa
AAA/Aaa
Total Market Value
864,415
864,032
*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 Q ", I
Issuers
Danville NERIAD Improvement Fund (89-1 90A) — Account #24
Government of United States
Federal Farm Credit Bank
Wells Fargo Adv Tsy Plus Money Market Fund
TOTAL
US Treasury
Agency
Money Market Fund FI
As of June 30, 2020
79.93%
11.71%
8.35%
100.00%
25 Q `"
til
Section 3 Portfolio Holdings
26 Cjj1
Holdings Report
Danville Short Term Treasury Pool - Account #21
As of June 30, 2020
ABS
43814UAG4
Honda Auto Receivables Trust 2018-2 A3
206,087.80
05/22/2018
206,083.31
101.39
208,954.68
0.29%
NR /AAA
1.88
3.010% Due 05/18/2022
3.03%
206,085.67
0.41%
224.01
2,869.01
AAA
0.53
43815HAC1
Honda Auto Receivables Trust 2018-3 A3
493,320.34
08/21/2018
493,252.66
101.75
501,971.18
0.70%
Aaa / NR
2.15
2.950% Due 08/22/2022
2.98%
493,283.96
0.22%
404.25
8,687.22
AAA
0.64
43815NAC8
Honda Auto Receivables Trust 2019-3 A3
535,000.00
08/20/2019
534,995.56
102.06
545,997.46
0.76%
Aaa / AAA
3.13
1.780% Due 08/15/2023
1.79%
534,996.79
0.55%
423.24
11,000.67
NR
1.64
477870AC3
John Deere Owner Trust 2019-B A3
275,000.00
07/16/2019
274,941.62
101.81
279,988.78
0.39%
Aaa / NR
3.46
2.210% Due 12/15/2023
2.23%
274,954.10
0.88%
270.11
5,034.68
AAA
1.35
65479JAD5
Nissan Auto Receivables Owner 2019-C A3
570,000.00
10/16/2019
569,969.90
102.78
585,856.26
0.82%
Aaa /AAA
4.04
1.930% Due 07/15/2024
1.94%
569,974.29
0.48%
488.93
15,881.97
NR
1.89
47789KAC7
John Deere Owner Trust 2020-A A3
370,000.00
03/04/2020
369,977.39
100.85
373,132.05
0.52%
Aaa / NR
4.13
1.100% Due 08/15/2024
1.11%
369,978.96
0.74%
180.89
3,153.09
AAA
2.32
2,449,220.44
2,495,900.41
3.49%
Aaa / AAA
3.23
TOTAL ABS
2,449,408.14
2.11%
2,449,273.77
0.52%
1,991.43
46,626.64
Aaa
1.47
Agency
313OA5Z77
FHLB Note
1,500,000.00
10/23/2015
1,521,315.00
100.13
1,501,921.50
2.11%
Aaa / AA+
0.08
1.830% Due 07/29/2020
1.52%
1,500,343.39
0.24%
11,590.00
1,578.11
AAA
0.08
3133EHW58
FFCB Note
350,000.00
11/21/2017
349,279.00
100.71
352,494.10
0.49%
Aaa / AA+
0.41
1.900% Due 11/27/2020
1.97%
349,901.98
0.15%
628.06
2,592.12
AAA
0.41
313OA3UQ5
FHLB Note
1,500,000.00
01/27/2016
1,520,355.00
100.77
1,511,533.50
2.11%
Aaa / AA+
0.45
1.875% Due 12/11/2020
1.58%
1,501,869.22
0.15%
1,562.50
9,664.28
NR
0.45
3133EJT74
FFCB Note
1,600,000.00
12/11/2018
1,607,984.00
103.91
1,662,539.20
2.33%
Aaa /AA+
1.38
3.050% Due 11/15/2021
2.87%
1,603,749.27
0.20%
6,235.56
58,789.93
AAA
1.35
3130AAB49
FHLB Note
1,000,000.00
12/15/2017
989,100.00
102.34
1,023,379.00
1.43%
Aaa /AA+
1.45
1.875% Due 12/10/2021
2.16%
996,046.59
0.25%
1,093.75
27,332.41
AAA
1.43
3135GOS38
FNMA Note
1,400,000.00
09/27/2017
1,405,418.00
102.74
1,438,364.20
2.03%
Aaa / AA+
1.52
2.000% Due 01/05/2022
1.90%
1,401,921.84
0.19%
13,688.89
36,442.36
AAA
1.48
3135GOU92
FNMA Note
1,000,000.00
02/13/2019
1,001,160.00
103.70
1,037,035.00
1.47%
Aaa / AA+
1.53
2.625% Due 01/11/2022
2.58%
1,000,610.58
0.20%
12,395.83
36,424.42
AAA
1.49
3133ELYR9
FFCB Note
1,420,000.00
04/30/2020
1,418,196.60
100.02
1,420,322.34
1.98%
Aaa / AA+
1.85
0.250% Due 05/06/2022
0.31%
1,418,334.94
0.24%
542.36
1,987.40
AAA
1.84
3130AEBM1
FHLB Note
1,475,000.00
Various
1,470,268.25
104.79
1,545,627.43
2.16%
Aaa /AA+
1.95
2.750% Due 06/10/2022
2.84%
1,472,662.46
0.28%
2,366.15
72,964.97
NR
1.90
27 Q. `"
IHoldings Report As of June 30, 2020
Danville Short Term Treasury Pool - Account #21
3135GOW33
FNMA Note
1,525,000.00
Various
1,517,278.00
102.48
1,562,879.48
2.19%
Aaa / AA+
2.19
100.28
1.375% Due 09/06/2022
1.13%
1.55%
1,519,319.07
0.23%
6,698.35
43,560.41
AAA
2.15
313383WD9
FHLB Note
1,000,000.00
11/05/2018
1,000,830.00
106.28
1,062,761.00
1.50%
Aaa / AA+
2.19
903,867.51
3.125% Due 09/09/2022
3,369.53
3.10%
1,000,473.27
0.25%
9,722.22
62,287.73
AAA
2.12
3133EKY91
FFCB Note
1,500,000.00
10/15/2019
1,488,585.00
102.50
1,537,551.00
2.15%
Aaa / AA+
2.28
1.375% Due 10/11/2022
1.64%
1,491,294.89
0.27%
4,583.33
46,256.11
AAA
2.24
313OA3KM5
FHLB Note
1,250,000.00
08/27/2018
1,235,000.00
105.26
1,315,796.25
1.84%
Aaa / AA+
2.44
2.500% Due 12/09/2022
2.80%
1,241,454.60
0.33%
1,909.72
74,341.65
NR
2.38
3130AFE78
FHLB Note
1,700,000.00
12/20/2018
1,714,756.00
106.59
1,812,096.30
2.54%
Aaa / AA+
2.44
3.000% Due 12/09/2022
2.77%
1,709,073.57
0.29%
3,116.67
103,022.73
AAA
2.37
3135GOT94
FNMA Note
1,500,000.00
03/18/2019
1,495,455.00
105.64
1,584,637.50
2.24%
Aaa / AA+
2.56
2.375% Due 01/19/2023
2.46%
1,496,978.64
0.16%
16,031.25
87,658.86
AAA
2.47
3130ADRG9
FHLB Note
900,000.00
03/28/2019
917,136.00
106.25
956,291.40
1.35%
Aaa / AA+
2.69
2.750% Due 03/10/2023
2.24%
911,669.59
0.41%
7,631.25
44,621.81
NR
2.59
3137EAER6
FHLMC Note
1,330,000.00
05/05/2020
1,329,441.40
100.26
1,333,455.34
1.86%
Aaa / AA+
2.85
0.375% Due 05/05/2023
0.39%
1,329,469.51
0.28%
748.13
3,985.83
AAA
2.83
3135GO4Q3
FNMA Note
1,425,000.00
05/20/2020
1,420,710.75
99.90
1,423,503.75
1.99%
NR / AA+
2.89
0.250% Due 05/22/2023
0.35%
1,420,867.43
0.29%
385.94
2,636.32
AAA
2.88
3133ELG81
FFCB Note
1,500,000.00
06/02/2020
1,498,875.00
100.03
1,500,417.00
2.10%
Aaa / AA+
2.94
0.300% Due 06/08/2023
0.33%
1,498,898.63
0.29%
287.50
1,518.37
AAA
2.92
313383463
FHLB Note
1,500,000.00
06/10/2019
1,507,305.00
105.38
1,580,655.00
2.21%
Aaa / AA+
2.94
2.125% Due 06/09/2023
2.00%
1,505,372.35
0.29%
1,947.92
75,282.65
NR
2.86
3137EAES4
FHLMC Note
1,305,000.00
06/24/2020
1,301,189.40
99.84
1,302,969.42
1.82%
Aaa / AA+
2.99
0.250% Due 06/26/2023
0.35%
1,301,206.80
0.30%
45.31
1,762.62
AAA
2.97
3135GOV34
FNMA Note
1,700,000.00
03/24/2020
1,808,052.00
107.85
1,833,531.60
2.59%
Aaa / AA+
3.60
2.500% Due 02/05/2024
0.82%
1,800,552.64
0.30%
17,236.11
32,978.96
AAA
3.43
313OA7PH2
FHLB Note
1,500,000.00
03/03/2020
1,560,525.00
105.43
1,581,487.50
2.22%
Aaa / AA+
3.69
1.875% Due 03/08/2024
0.85%
1,555,608.63
0.39%
8,828.13
25,878.87
NR
3.56
31,078,214.40
31,881,248.81
44.72%
Aaa / AA+
2.23
TOTAL Agency
30,880,000.00
1.68%
31,027,679.89
0.26%
129,274.93
853,568.92
Aaa
2.17
Corporate
857477AS2 State Street Bank Note
800,000.00 05/22/2017
816,280.00
100.28
802,272.80
1.13%
Al / A 0.13
2.550% Due 08/18/2020
1.90%
800,661.68
0.41%
7,536.67
1,611.12
AA- 0.13
69353REW4 PNC Bank Callable Note Cont 3/30/2021
910,000.00 04/03/2018
887,257.00
101.31
921,924.64
1.29%
A2 / A 0.83
2.150% Due 04/29/2021
3.01%
903,867.51
0.40%
3,369.53
18,057.13
A+ 0.74
28 Q ", I
Holdings Report
Danville Short Term Treasury Pool - Account #21
As of June 30, 2020
09247XAH4
Blackrock Inc Note
1,000,000.00
04/27/2018
1,035,570.00
103.35
1,033,450.00
1.45%
Aa3 /AA-
0.90
1.15% 75,270.35
4.250% Due 05/24/2021
0.00
3.03%
1,010,385.17
0.52%
4,368.06
23,064.83
NR
0.89
037833CC2
Apple Inc Callable Note Cont 7/4/2021
750,000.00
11/21/2017
729,450.00
101.47
761,012.25
1.07%
Aa1 / AA+
1.10
1.550% Due 08/04/2021
2.33%
743,921.83
0.10%
4,746.88
17,090.42
NR
1.00
084664BT7
Berkshire Hathaway Note
1,000,000.00
03/16/2018
1,000,670.00
104.89
1,048,932.00
1.47%
Aa2/AA
1.87
3.000% Due 05/15/2022
2.98%
1,000,301.65
0.38%
3,833.33
48,630.35
A+
1.83
68389XBBO
Oracle Corp Callable Note Cont 3/15/2022
1,000,000.00
10/09/2019
1,016,200.00
103.40
1,033,979.00
1.45%
A3 / A
1.87
2.S00% Due 05/15/2022
1.86%
1,011,683.84
0.50%
3,194.44
22,295.16
A-
1.67
69371RQ33
Paccar Financial Corp Note
500,000.00
09/23/2019
499,390.00
103.15
515,771.00
0.72%
Al / A+
2.24
2.000% Due 09/26/2022
2.04%
499,545.28
0.58%
2,638.89
16,225.72
NR
2.18
166764AB6
Chevron Corp Callable Note Cont 9/5/2022
255,000.00
06/19/2019
255,606.90
104.10
265,462.65
0.37%
Aa2 / AA
2.43
2.355% Due 12/05/2022
2.28%
255,426.22
0.46%
433.71
10,036.43
NR
2.13
89236TEL5
Toyota Motor Credit Corp Note
1,000,000.00
01/25/2019
980,920.00
105.05
1,050,499.00
1.49%
Al / A+
2.53
2.700% Due 01/11/2023
3.22%
987,782.45
0.68%
12,750.00
62,716.55
A+
2.43
90331HNL3
US Bank NA Callable Note Cont 12/23/22
750,000.00
04/29/2019
752,190.00
105.59
791,944.50
1.12%
Al / AA-
2.57
2.850% Due 01/23/2023
2.77%
751,502.82
0.58%
9,381.25
40,441.68
AA-
2.38
06406RAE7
Bank of NY Mellon Corp Callable Note Cont 12/29/2022
750,000.00
07/25/2019
764,625.00
106.32
797,436.00
1.13%
Al / A
2.58
2.950% Due 01/29/2023
2.37%
760,763.09
0.40%
9,341.67
36,672.91
AA-
2.40
037833AK6
Apple Inc Note
750,000.00
05/29/2019
746,205.00
105.71
792,802.50
1.11%
Aa1/AA+
2.84
2.400% Due 05/03/2023
2.54%
747,256.37
0.38%
2,900.00
45,546.13
NR
2.75
931142EK5
Wal-Mart Stores Callable Note Cont 5/26/2023
800,000.00
03/27/2019
827,616.00
108.94
871,493.60
1.22%
Aa2 / AA
2.99
3.400% Due 06/26/2023
2.54%
819,420.28
0.31%
377.78
52,073.32
AA
2.79
02665WCT6
American Honda Finance Note
950,000.00
08/19/2019
1,008,634.00
108.93
1,034,827.40
1.47%
A3/A-
3.54
3.550% Due 01/12/2024
2.07%
997,126.39
0.97%
15,832.01
37,701.01
NR
3.29
11,320,613.90
11,721,807.34
16.49%
Al / A+
2.02
TOTAL Corporate
11,215,000.00
2.54%
11,289,644.58
0.49%
80,704.22
432,162.76
A+
1.89
LAI F
90 LAI F$00 Local Agency Investment Fund State Pool 75,270.35 Various 75,270.35
1.00 75,270.35
0.11%
NR/NR
0.00
1.15% 75,270.35
1.15% 298.96
0.00
NR
0.00
75,270.35
75,270.35
0.11%
NR/NR
0.00
TOTAL LAIF 75,270.35 1.15% 75,270.35
1.15% 298.96
0.00
NR
0.00
29 Q ", I
IHoldings Report As of June 30, 2020
Danville Short Term Treasury Pool - Account #21
Money Market Fund FI
94975H296 Wells Fargo Treasury Plus MMFD 453 671,474.29 Various 671,474.29
1.00 671,474.29
0.94%
Aaa /AAA
0.00
0.05% 671,474.29
0.05% 0.00
0.00
NIR
0.00
671,474.29
671,474.29
0.94%
Aaa / AAA
0.00
TOTAL Money Market Fund FI 671,474.29 0.05% 671,474.29
0.05% 0.00
0.00
NR
0.00
Supranational
459058GA5 Intl. Bank Recon & Development Note
1,500,000.00
08/22/2017
1,499,685.00
100.23
1,503,519.00
2.11%
Aaa /AAA
0.18
1.625% Due 09/04/2020
912828XM7
1.63%
1,499,981.42
0.30%
7,921.88
3,537.58
AAA
0.18
45950KCMO International Finance Corp Note
1,000,000.00
Various
997,047.20
101.09
1,010,850.00
1.43%
Aaa / AAA
0.57
2.250% Due 01/25/2021
AAA
2.35%
999,439.29
0.34%
9,750.00
11,410.71
NR
0.56
4581XOCN6 Inter -American Dev Bank Note
1,100,000.00
09/13/2018
1,054,218.00
102.59
1,128,516.40
1.58%
Aaa / AAA
1.79
1.750% Due 04/14/2022
5,514.95
2.99%
1,077,126.54
0.30%
4,117.36
51,389.86
AAA
1.76
496,095.43
100.30
501,484.00
3,550,950.20
Aaa / AA+
3,642,885.40
5.12%
Aaa / AAA
0.79
TOTAL Supranational
3,600,000.00
2.25%
3,576,547.25
0.31%
21,789.24
66,338.15
Aaa
0.77
US Treasury
912828XM7
US Treasury Note
1,500,000.00
10/19/2015
1,520,922.99
100.12
1,501,797.00
2.11%
Aaa / AA+
0.08
1.625% Due 07/31/2020
1.32%
1,500,359.50
0.22%
10,178.57
1,437.50
AAA
0.09
9128281-32
US Treasury Note
1,200,000.00
01/30/2017
1,188,238.40
100.20
1,202,374.80
1.69%
Aaa / AA+
0.17
1.375% Due 08/31/2020
1.66%
1,199,451.49
0.20%
5,514.95
2,923.31
AAA
0.17
9128281-65
US Treasury Note
500,000.00
04/25/2017
496,095.43
100.30
501,484.00
0.70%
Aaa / AA+
0.25
1.375% Due 09/30/2020
1.61%
499,716.43
0.19%
1,728.14
1,767.57
AAA
0.25
912828WCO
US Treasury Note
1,300,000.00
12/22/2015
1,301,121.54
100.52
1,306,717.10
1.83%
Aaa /AA+
0.34
1.750% Due 10/31/2020
1.73%
1,300,077.13
0.20%
3,832.88
6,639.97
AAA
0.33
912828M98
US Treasury Note
1,200,000.00
02/27/2017
1,198,457.15
100.59
1,207,030.80
1.69%
Aaa / AA+
0.42
1.625% Due 11/30/2020
1.66%
1,199,828.95
0.22%
1,651.64
7,201.85
AAA
0.42
912828Q37
US Treasury Note
1,500,000.00
06/15/2017
1,478,501.12
100.80
1,512,070.50
2.12%
Aaa /AA+
0.75
1.250% Due 03/31/2021
1.64%
1,495,759.25
0.18%
4,713.11
16,311.25
AAA
0.75
912828Q78
US Treasury Note
1,500,000.00
06/08/2017
1,484,536.28
100.98
1,514,766.00
2.12%
Aaa /AA+
0.83
1.375% Due 04/30/2021
1.65%
1,496,702.67
0.19%
3,474.86
18,063.33
AAA
0.83
912828T34
US Treasury Note
1,250,000.00
01/10/2018
1,202,392.58
101.19
1,264,843.75
1.77%
Aaa /AA+
1.25
1.125% Due 09/30/2021
2.20%
1,234,002.22
0.17%
3,534.84
30,841.53
AAA
1.24
912828F96
US Treasury Note
1,500,000.00
08/29/2018
1,465,781.25
102.44
1,536,562.50
2.15%
Aaa /AA+
1.34
2.000% Due 10/31/2021
2.76%
1,485,596.78
0.17%
5,054.35
50,965.72
AAA
1.32
30 Q ", I
Holdings Report
Danville Short Term Treasury Pool - Account #21
As of June 30, 2020
912828W55 US Treasury Note
1,300,000.00
02/08/2018
1,269,226.56
102.82
1,336,663.90
1.88%
Aaa / AA+
1.67
1.875% Due 02/28/2022
2.49%
1,287,378.73
0.18%
8,147.08
49,285.17
AAA
1.64
912828W89 US Treasury Note
1,250,000.00
10/24/2017
1,244,580.08
102.96
1,287,060.00
1.81%
Aaa / AA+
1.75
1.875% Due 03/31/2022
1.98%
1,247,862.85
0.18%
5,891.39
39,197.15
AAA
1.72
912828L24 US Treasury Note
900,000.00
10/04/2018
862,488.28
103.68
933,152.40
1.31%
Aaa /AA+
2.17
1.875% Due 08/31/2022
3.01%
879,192.31
0.17%
5,640.29
53,960.09
AAA
2.12
912828M80 US Treasury Note
950,000.00
04/29/2019
940,759.77
104.40
991,821.85
1.39%
Aaa / AA+
2.42
2.000% Due 11/30/2022
2.28%
943,778.72
0.17%
1,609.29
48,043.13
AAA
2.37
912828R28 US Treasury Note
1,500,000.00
06/19/2019
1,486,582.03
104.08
1,561,171.50
2.19%
Aaa / AA+
2.83
1.625% Due 04/30/2023
1.87%
1,490,169.67
0.18%
4,106.66
71,001.83
AAA
2.77
912828R69 US Treasury Note
1,500,000.00
04/11/2019
1,460,156.25
104.21
1,563,163.50
2.19%
Aaa /AA+
2.92
1.625% Due 05/31/2023
2.30%
1,471,868.78
0.18%
2,064.55
91,294.72
AAA
2.86
912828T91 US Treasury Note
1,500,000.00
09/13/2019
1,490,917.97
104.77
1,571,542.50
2.20%
Aaa / AA+
3.34
1.625% Due 10/31/2023
1.78%
1,492,660.80
0.19%
4,106.66
78,881.70
AAA
3.25
20,090,757.68
20,792,222.10
29.14%
Aaa / AA+
1.47
TOTAL US Treasury
20,350,000.00
1.99%
20,224,406.28
0.19%
71,249.26
567,815.82
Aaa
1.44
69,236,501.26
71,280,808.70
100.00%
Aa1 / AA+
1.91
TOTAL PORTFOLIO
69,241,152.78
1.94%
69,314,296.41
0.29%
305,308.04
1,966,512.29
Aaa
1.80
TOTAL MARKET VALUE PLUS ACCRUALS
71,586,116.74
31 CEJ`:::,
IHoldings Report As of June 30, 2020
Danville NERIAD Improvement Fund (89-1 90A) - Account #24
Agency
3133EJPW3 FFCB Note
100,000.00
04/08/2020
101,432.00
101.17
101,170.20
11.71%
Aaa / AA+
0.48
2.700% Due 12/21/2020
0.65%
100,967.72
0.23%
75.00
202.48
AAA
0.47
101,432.00
101,170.20
11.71%
Aaa / AA+
0.48
TOTAL Agency
100,000.00
0.65%
100,967.72
0.23%
75.00
202.48
Aaa
0.47
Money Market Fund FI
94975H296 Wells Fargo Treasury Plus MMFD 453
72,218.33
Various
72,218.33
1.00
72,218.33
8.35%
Aaa / AAA
0.00
0.05%
72,218.33
0.05%
0.00
0.00
NR
0.00
72,218.33
72,218.33
8.35%
Aaa / AAA
0.00
TOTAL Money Market Fund FI
72,218.33
0.05%
72,218.33
0.05%
0.00
0.00
NR
0.00
US Treasury
9128282Q2 US Treasury Note
160,000.00
09/30/2019
159,537.50
100.16
160,260.80
18.64%
Aaa /AA+
0.13
1.500% Due 08/15/2020
1.83%
159,934.96
0.21%
903.30
325.84
AAA
0.13
912828M98 US Treasury Note
275,000.00
12/02/2019
274,806.64
100.59
276,611.22
32.04%
Aaa / AA+
0.42
1.625% Due 11/30/2020
1.70%
274,919.03
0.22%
378.50
1,692.19
AAA
0.42
912828Q37 US Treasury Note
250,000.00
06/03/2020
252,177.73
100.80
252,011.75
29.24%
Aaa /AA+
0.75
1.250% Due 03/31/2021
0.19%
251,981.73
0.18%
785.52
30.02
AAA
0.75
686,521.87
688,883.77
79.93%
Aaa / AA+
0.47
TOTAL US Treasury
685,000.00
1.18%
686,835.72
0.20%
2,067.32
2,048.05
Aaa
0.47
860,172.20
862,272.30
100.00%
Aaa / AA+
0.43
TOTAL PORTFOLIO
857,218.33
1.02%
860,021.77
0.19%
2,142.32
2,250.53
Aaa
0.43
TOTAL MARKET VALUE PLUS ACCRUALS
864,414.62
32 Q. `"
;:- Section 4 Transactions
33 Cjj:
ITransaction Ledger
March 31, 2020 through June 30, 2020
Danville Short Term Treasury Pool - Account #21
ACQUISITIONS
0.31%
1,418,196.60
0.00
1,418,196.60
0.00
Purchase
05/06/2020
3133ELYR9
1,420,000.00
1,329,441.40
FFCB Note
99.699
0.35%
1,420,710.75
0.00
1,420,710.75
0.25% Due: 05/06/2022
Purchase
05/07/2020
3137EAER6
1,330,000.00
1,498,875.00
FHLMC Note
99.708
0.35%
1,301,189.40
0.00
1,301,189.40
0.375% Due: 05/05/2023
Purchase
05/22/2020
3135GO4Q3
1,425,000.00
US Treasury Note
FNMA Note
1,325,000.00
0.00
1,325,000.00
0.00
0.25% Due: 05/22/2023
Purchase
06/08/2020
3133ELG81
1,500,000.00
FFCB Note
Maturity
05/12/2020
4581XOCX4
0.3% Due: 06/08/2023
Purchase
06/26/2020
3137EAES4
1,305,000.00
1,240,000.00
FHLMC Note
1.625% Due: 05/12/2020
0.25% Due: 06/26/2023
As of June 30, 2020
99.873
0.31%
1,418,196.60
0.00
1,418,196.60
0.00
99.958
0.39%
1,329,441.40
0.00
1,329,441.40
0.00
99.699
0.35%
1,420,710.75
0.00
1,420,710.75
0.00
99.925
0.33%
1,498,875.00
0.00
1,498,875.00
0.00
99.708
0.35%
1,301,189.40
0.00
1,301,189.40
0.00
Subtotal 6,980,000.00 6,968,413.15 0.00 6,968,413.15 0.00
TOTAL ACQUISITIONS 6,980,000.00 6,968,413.15 0.00 6,968,413.15 0.00
DISPOSITIONS
Maturity
04/29/2020
62479LDV4
1,400,000.00
MUFG Bank Ltd Discount CP
99.585
1,394,185.33
5,814.67
1,400,000.00
0.00
1.68% Due: 04/29/2020
Maturity
04/30/2020
912828VA5
1,325,000.00
US Treasury Note
100.000
1,325,000.00
0.00
1,325,000.00
0.00
1.125% Due: 04/30/2020
Maturity
05/12/2020
4581XOCX4
1,240,000.00
Inter -American Dev Bank Note
100.000
1,240,000.00
0.00
1,240,000.00
0.00
1.625% Due: 05/12/2020
Maturity
05/28/2020
3130AECJ7
1,500,000.00
FHLB Note
100.000
1,500,000.00
0.00
1,500,000.00
0.00
2.625% Due: 05/28/2020
Maturity
06/22/2020
3135GOD75
1,500,000.00
FNMA Note
100.000
1,500,000.00
0.00
1,500,000.00
0.00
1.5% Due: 06/22/2020
Subtotal 6,965,000.00 6,959,185.33 5,814.67 6,965,000.00 0.00
TOTAL DISPOSITIONS 6,965,000.00 6,959,185.33 5,814.67 6,965,000.00 0.00
34 Q. `;
ITransaction Ledger As of June 30, 2020
Danville NERIAD Improvement Fund (89-1 90A) - Account #24
March 31, 2020 through June 30, 2020
ACQUISITIONS
Purchase 04/09/2020
3133EJPW3
100,000.00
FFCB Note
101.432 0.65%
101,432.00
810.00
102,242.00
0.00
2.7% Due: 12/21/2020
Purchase 06/04/2020
912828Q37
250,000.00
US Treasury Note
100.871 0.19%
252,177.73
554.99
252,732.72
0.00
1.25% Due: 03/31/2021
Subtotal
350,000.00
353,609.73
1,364.99
354,974.72
0.00
TOTAL ACQUISITIONS
350,000.00
353,609.73
1,364.99
354,974.72
0.00
DISPOSITIONS
Maturity 05/15/2020
912828X96
200,000.00
US Treasury Note
100.000
200,000.00
0.00
200,000.00
0.00
1.5% Due: 05/15/2020
Maturity 06/12/2020
313312YA2
47,000.00
FFCB Discount Note
100.000
46,945.34
54.66
47,000.00
0.00
0.53% Due: 06/12/2020
Subtotal
247,000.00
246,945.34
54.66
247,000.00
0.00
TOTAL DISPOSITIONS
247,000.00
246,945.34
54.66
247,000.00
0.00
35 Q. `;
IImportant Disclosures As of June 30, 2020
2020 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.
36 Q.
Benchmark Disclosures As of June 30, 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: G102. Please visit www.mlindex.mLcom 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: G001.
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)
37 Q `"
Supplement to Quarterly Investment Report
Town Managed Cash Account
LAW Funds Managed by the Town
(Local Agency Investment Fund)
MAY 2020
Total LAW Funds Managed by the Town $ 11,304,246
LAIF Funds Managed/Reported by Chandler Investments 75,270
Total LAW Funds $ 11,379,516
Average
Maturity
Average
Yield
Cost
Town Funds
0
1.363%
9,645,567
Trust Fund
0
1.363%
1,004,306
Community Development Agency DS/Successor Agency
0
1.363%
220,464
NERIAD
0
1.363%
433,908
Total LAW Funds Managed by the Town $ 11,304,246
LAIF Funds Managed/Reported by Chandler Investments 75,270
Total LAW Funds $ 11,379,516