HomeMy WebLinkAbout102020-08.1CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending September 30, 2020
Town of Danville
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of September 30, 2020
1
SECTION |Section 1 |Economic Update
2
Economic Update
▪
▪
▪
The US economy continues to experience asomewhat uneven and slowing pace of economic growth, consistent with more
of a U-shaped (rather than V-shaped) recovery, following a sharp decline in economic activity in the second quarter. The
outlook for the economy remains uncertain and is largely dependent on the course of the pandemic, the amount of
additional fiscal relief, and the timeline for a vaccine,in our view. The Fed’s highly accommodative monetary policy
framework, along with aswift and robust fiscal policy response from the government earlierthis year, has provided support
for the financial markets amid a challenging economic backdrop. However,we believe financial markets are poised for
increased volatility through year-end due to the upcoming election, aresurgence in virus cases, and an unclear outlook for
additional fiscal relief.If the expected timeline foraCOVID-19vaccine was pushed into second half of next year or beyond,
we believe that would fuel a significant amount of financial market volatility.
The Federal Open MarketCommittee (FOMC) kept monetary policy unchanged in September with the fed funds targetrate
in arange of 0.0%to 0.25%. Monetary policy remains highly accommodative and Fed ChairPowell maintained a dovish tone
during his press conference. The Fed will continue to use its balance sheet to support smooth financial market functioning
by purchasing Treasury and agency mortgage-backed securities and will continue to use its lending facilities to support the
flow of credit to businesses and municipalities,as needed.In the September policy statement, the FOMC noted that
inflation continues to run below its 2.0% target,as weaker demand and loweroil prices are holding down consumerprices.
Longer-term, the FOMC will allow inflation to run above 2.0% for some period of time before it looks to tighten policy,
which implies the fed funds target rate will remain anchored nearzero foryears. The Fed’s updated summary of economic
projections signals that the target fed funds rate will remain unchanged through at least 2023,as policymakers do not
expect inflation to exceed 2.0% during that timeframe.
On a year-to-date basis, the yield on 2-year Treasuries was down 144 basis points to 0.13% and the yield on 10-year
Treasuries was down about 123 basis points to 0.68%at the end of September.In September, the Treasury yield curve was
little changed on a month-over-month basis, following moderate curve steepening in August.We believe a wave of new
Treasury issuance in August put increased upward pressure on longer-term rates.
3
Source: US Department of Labor Source: US Department of Labor
Employment
U.S. nonfarm payrolls were lowerthan expected,up 661,000 in Septemberversus expectations of 859,000. The unemployment rate declined to
7.9%in Septemberfrom 8.4%in August. The decline in the unemployment rate was betterthan expected, however,it was partially driven by a
decline in the labor participation rate to 61.4%in September from 61.7%in August. The labor participation rate improved modestly after
plunging to 60.2%in April,but remains near the lowest levels since the 1970’s.Nearly 4.5million people have dropped out of the laborforce
since January, and 12.6 million people in the labor force were unemployed in September, according to the U.S. Bureau of Labor Statistics
household survey. Workers who classified themselves as employed but absent from work in the September survey understated the
unemployment rate by about 0.4%. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and
employed part time for economic reasons, remained high but eased to 12.8% in September from 14.2% in August.
-22,000
-18,000
-14,000
-10,000
-6,000
-2,000
2,000
6,000
10,000
MO
M
C
h
a
n
g
e
I
n
(
0
0
0
'
s
)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
0.0%
4.0%
8.0%
12.0%
16.0%
20.0%
24.0%
28.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Ra
t
e
(
%
)
4
Initial Claims for Unemployment
840 849 873 866 893 884 1,011 1,104 971 1,191 1,435 1,422 1,308 1,310
10,976
11,979 12,747 12,747 13,544 13,292
14,492 14,759
15,480 16,090 16,951 16,151
17,304
-
5,000
10,000
15,000
20,000
25,000
In
t
h
o
u
s
a
n
d
s
Initial Jobless Claims
Continuing Claims
Initial Claims For Unemployment July 03, 2020 -October 02, 2020
In the most recent week, the number of initial jobless claims declined to 840,000 compared to 849,000 in the prior week. The level of
continuing unemployment claims (where the data is lagged by one week) declined to about 11.0 million from roughly 12.0 million in the prior
week. Continuing jobless claims have declined from the peak of nearly 25 million in early May,but they remain well above the 2019 average of
1.7 million.
Source: US Department of Labor
5
Source: US Department of Labor Source: US Department of Commerce
Inflation
The Consumer Price Index (CPI) was up 1.4% year-over-year in September, versus up 1.3%in August. Core CPI (CPI less food and energy) was
up 1.7% year-over-year in September, unchanged from August. The Personal Consumption Expenditures (PCE) index was up 1.4% year-over-
year in August, versus up 1.1% year-over-year in July. Core PCE, which is the Fed's primary inflation gauge, was up 1.6% year-over-year in
August, versus up 1.4% year-over-year in July. Pricing pressures are increasing but remain below the Fed's inflation target.
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
6
Retail sales were softer than expected in August and sales for July were revised down.On a year-over-yearbasis, retail sales were up 2.6%in
August, versus up 2.4%in July.On amonth-over-month basis, retail sales were up just 0.6%in August, following a0.9% increase in July. Control
group retail sales fell 0.2%in August, well below expectations for a 0.5% increase. The Consumer Confidence index jumped to 101.8 in
September from 86.3 in August. The improvement in consumer confidence was much better than expected in September but the index
remains well below pre-pandemic levels at the start of this year.
Source: US Department of Commerce Source: The Conference Board
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
Retail Sales YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
80
90
100
110
120
130
140
150
In
d
e
x
L
e
v
e
l
Consumer Confidence
Consumer
7
Source: The Conference Board Source: Federal Reserve Bank of Chicago
Economic Activity
The Conference Board’s Leading Economic Index (LEI) rose 1.2%in August, following a 2.0% increase in July.On a year-over-yearbasis, the LEI
was down 4.7%in August versus down 6.1%in July. According to the Conference Board, the recovery is losing steam and the US economy will
likely head into 2021 under substantially weakened economic conditions. The Chicago Fed National Activity Index (CFNAI) declined to 0.79 in
August from 2.54 in July.On a 3-month moving average basis, the CFNAI declined to 3.05 in August from 4.23 in July. Although the CFNAI
declined in August on a 3-month moving basis, it is above the -0.7 recessionary level.
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
Chicago Fed National Activity Index (CFNAI)
3
M
o
n
t
h
A
v
e
r
a
g
e
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
Leading Economic Indicators (LEI)
MO
M
(
%
)
C
h
a
n
g
e
8
Source: US Department of Commerce Source: S&P
Housing
0
200
400
600
800
1000
1200
1400
1600
1800
2000
MO
M
C
h
a
n
g
e
(
I
n
T
h
o
u
s
a
n
d
s
o
f
U
n
i
t
s
)
Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
S&P/Case-Shiller 20 City Composite Home Price Index
YO
Y
(
%
)
C
h
a
n
g
e
Total housing starts fell 5.1%in August to an annual pace of 1,416,000. Single family starts rose 4.1%to an annualized rate of 1,021,000, while
multi-family starts declined 22.7%to an annualized rate of 395,000.On a year-over-year basis, total housing starts were up 2.8%in August.
Meanwhile, permits declined 0.9%in August on amonth-over-month basis,to an annualized rate of 1,470,000(flat on a year-over-yearbasis).
According to the Case-Shiller 20-City home price index, home prices were up 3.9% year-over-year in July versus up 3.5% year-over-year in June.
The housing market has remained strong during the pandemic. Very low mortgage rates, solid stock market performance, and a meaningful
shift toward working from home are providing strong tailwinds for the housing sector, despite an otherwise challenging economic backdrop.
9
Source: Institute for Supply Management Source: Federal Reserve
Manufacturing
The Institute for Supply Management (ISM) manufacturing index slipped to 55.4 in September from 56.0 in August. New orders remained
strong but declined to 60.2 in Septemberfrom 67.6 in August. Readings above 50.0are indicative of expansion in the manufacturing sector. The
Industrial Production index was down 7.7% year-over-year in August, versus down 7.4%in July.On a month-over-month basis, the Industrial
Production index increased just 0.4%in August, missing expectations of 1.2%, following a3.5% increase in July. Capacity Utilization improved
to 71.4%in August from 71.1%in July,but remains well below the long-run average of 79.8%. Overall manufacturing conditions have improved,
following a deep contraction, but the pace of improvement is slowing.
40
42
44
46
48
50
52
54
56
58
60
62
Institute of Supply Management Purchasing Manager
Index
EXPANDING
CONTRACTING
-20.0%
-16.0%
-12.0%
-8.0%
-4.0%
0.0%
4.0%
8.0%
Industrial Production
YO
Y
(
%
)
C
h
a
n
g
e
10
Source: US Department of Commerce Source: US Department of Commerce
9/19 12/19 3/20 6/20
1.8% 1.1% -4.8% -24.0%
0.3% -0.6% -1.6% -8.8%
0.0% 1.5% 1.1% 0.6%
0.3% 0.3% 0.1% 1.2%
0.1% 0.2% 0.1% -0.4%
2.6% 2.4% -5.0% -31.4%
Gross Private Domestic Investment
Personal Consumption Expenditures
Components of GDP
Federal Government Expenditures
State and Local (Consumption and
Gross Investment)
Net Exports and Imports
Total
-35.0%
-30.0%
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
According to the third estimate,US gross domestic product (GDP) declined at an annual rate of 31.4%in the second quarter, just slightly less
negative than the initial and second estimates but still the largest decline on record. This follows a 5.0% annualized decline in first quarter
GDP. Personal consumption expenditures plunged 33.2%in the second quarter, following a 6.9% decline in the first quarter. The consensus
forecast calls forastrongrebound in consumerspending and overall economicactivity in the third quarter, and a slowerpace of improvement
in activity thereafter.
11
Federal Reserve
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 PaperFunding 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.
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
Effective Federal Funds Rate
Yi
e
l
d
(
%
)
3,500,000
4,000,000
4,500,000
5,000,000
5,500,000
6,000,000
6,500,000
7,000,000
7,500,000
Federal Reserve Balance Sheet Assets
In
$
m
i
l
l
i
o
n
s
12
Source: Bloomberg Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
US Treasury Note Yields
2-Year
5-Year
10-Year
Y
i
e
l
d
(
%
)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
US Treasury Yield Curve
Sep-20
Jun-20
Sep-19
Yi
e
l
d
(
%
)
Bond Yields
At Septembermonth-end, Treasury yields were much lower on ayear-over-yearbasis. The 3-month T-bill yield was down 172 basis points, the
2-year Treasury yield was down 150 basis points, and the 10-Year Treasury yield was down 98 basis points, year-over-year. Yields declined
precipitously in March 2020,with the Fed cuttingrates by atotal of 150 basis points and a flight to safe-haven assets drivingdown yields across
the curve. The Fed has signaled plans to keep the front end of the Treasury yield curve anchored near zero for at least the next few years.
13
Section 2|SECTION |Section 2 |Account Profile
14
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”).
Investment Objectives
The primary investment objectives of the Town of Danville are to preserve principal and to maintain
adequate liquidity to meet the Town’s cash flow requirements.The Town expects to achieve a rate of
return which is consistent with its primary objectives.
Strategy
In order to meet its objectives,the Town invests in securities permitted under California Government
Code Section 53600 et seq.and under its Investment Policy.The maximum maturity of the Town’s
investments is five years,unless specifically authorized by the Town Council.
As of September 30, 2020
15
Compliance As of September 30, 2020
Category Standard Comment
Treasury Issues No Limit; Obligations of the U.S. Treasury or securities guaranteed by the full faith and credit of the U.S. ("Treasury obligations") excluding securities which have been stripped of
their coupon Complies
Agency Issues No Limit; Obligations guaranteed by the full faith and credit of agencies or instrumentalities of the U.S. government ("Agency obligations"), including, but not limited to FNMA,
FFCB, FHLB, FHLMC.Complies
Municipal Securities
"A" rating category or better by a NRSRO; 30% maximum; 5% per issuer; Obligations of the Town, State of California, and any local agency within the State of California; any of
the other 49 states, in addition to California, including bonds payable solely out of the revenues from a revenue-producing property owned, controlled, or operated by a state or
by a department, board, agency, or authority of any of the other 49 states, in addition to California.
Complies
Supranational Securities
"AA" rated category or higher by a NRSRO; 30% maximum; 5% max per issuer; U.S. dollar denominated senior unsecured unsubordinated obligations issued or unconditionally
guaranteed by the International Bank for Reconstruction and Development ("IBRD"), the International Finance Corporation ("IFC") or the Inter-American Development Bank
("IADB")
Complies
Banker’s Acceptances "A-1" short-term rated or higher by a NRSRO; and "A" long-term rated category or higher by a NRSRO; 40% maximum; 5% max per issuer; 180 days max maturity Complies
Commercial Paper "A-1" short-term rated or higher by a NRSRO; and "A" long-term rated category or higher by a NRSRO, if any; 25% maximum; 5% max per issuer; 270 days max maturity; Issued
by corporations organized and operating within the U.S. and having total assets in excess of $500 million Complies
Negotiable CDs "A-1" short-term rated or higher by a NRSRO; and "A" long-term rated category or higher by a NRSRO; 30% maximum; 5% max per issuer; 2 years max maturity Complies
Corporate Medium Term Notes "A" rated category or higher by a NRSRO; 30% maximum (Town Council Directive as of 7/21/16: 20% maximum. Of the 20% total permitted, up to 10% rated "A", and the
balance rated "AA" or better); 5% max per issuer Complies
Mortgage Pass-Through Securities 15% maximum; 5% per issuer; Issued by Agencies of the U.S. government only Complies
Collateralized Mortgage Obligation (CMOs)
and Asset Backed Securities (ABS)AAA rated by a NRSRO; 15% maximum (combination of ABS and CMOs); 5% max per issuer Complies
Bank/Time Deposits FDIC insured/ Collateralized Complies
Money Market Mutual Funds and Mutual
Funds
Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience greater than 5 years; 10% max per one Mutual Fund; 20%
maximum in Money Market Mutual Funds; 20% maximum combined of total portfolio in these securities.Complies
Repurchase Agreements 15% maximum; 102% collateralized; 30 days max maturity; Not used by Investment Adviser Complies
Local Agency Investment Fund (LAIF)30% maximum or $10 million, whichever is higher; The amount invested in LAIF should be based upon the Town's cash flow needs and the difference in yield paid upon funds
invested in LAIF compared to other investment options authorized by the policy.Complies
Prohibited Inverse floaters, Range notes, Mortgage-derived, Interest-only strips; Zero interest accrual securities; Purchasing/Selling securities on Margin; Reverse Repurchase Agreements;
Securities lending; Foreign currency denominated securities Complies
Max Per Issuer 5% max per issuer (except LAIF, Treasuries, Agencies, Money Market Mutual Funds, LAIF); or unless otherwise stated in the investment policy Complies
Maximum maturity 5 years Complies
Assets managed by Chandler Asset Management are in full compliance with state law and the Client’s investment policy.
Town of Danville - All Accounts
16
Portfolio Characteristics
Danville Short Term Treasury Pool
9/30/2020 6/30/2020
Benchmark*Portfolio Portfolio
Average Maturity (yrs)1.87 1.94 1.91
Average Modified Duration 1.83 1.84 1.80
Average Purchase Yield n/a 1.78%1.93%
Average Market Yield 0.13%0.22%0.29%
Average Quality**AAA AA+/Aa1 AA+/Aa1
Total Market Value 71,722,240 71,586,117
*ICE BAML 1-3 Yr US Treasury Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of September 30, 2020
17
Danville Short Term Treasury Pool
Sector Distribution
ABS
3.2%
Agency
52.8%
Corporate
15.3%
LAIF
0.1%
Money Market
Fund FI
1.0%
Supranational
3.0%
US Treasury
24.6%
September 30, 2020 June 30, 2020
ABS
3.5%
Agency
44.7%
Corporate
16.5%
LAIF
0.1%
Money Market
Fund FI
0.9%
Supranational
5.1%
US Treasury
29.1%
As of September 30, 2020
18
Issue Name Investment Type % Portfolio
Government of United States US Treasury 24.55%
Federal Home Loan Bank Agency 17.32%
Federal National Mortgage Association Agency 14.42%
Federal Farm Credit Bank Agency 11.15%
Federal Home Loan Mortgage Corp Agency 9.95%
Apple Inc Corporate 2.17%
Inter-American Dev Bank Supranational 1.58%
Honda ABS ABS 1.51%
Toyota Motor Corp Corporate 1.47%
Berkshire Hathaway Corporate 1.47%
Honda Motor Corporation Corporate 1.46%
BlackRock Inc/New York Corporate 1.45%
Oracle Corp Corporate 1.45%
International Finance Corp Supranational 1.41%
PNC Financial Services Group Corporate 1.29%
Wal-Mart Stores Corporate 1.22%
US Bancorp Corporate 1.11%
Bank of New York Corporate 1.11%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund FI 0.99%
John Deere ABS ABS 0.92%
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%
Issuers
Danville Short Term Treasury Pool –Account #21
As of September 30, 2020
19
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
45.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
September 30, 2020 June 30, 2020
September 30, 2020 vs. June 30, 2020
0 -0.25 0.25 -0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
09/30/20 7.2%5.0%6.9%34.4%38.0%8.4%0.0%0.0%
06/30/20 10.2%6.8%9.4%26.6%38.5%8.5%0.0%0.0%
Danville Short Term Treasury Pool
Duration Distribution As of September 30, 2020
20
Purchase Yield as of 9/30/2020 = 1.78%
1.0
1.2
1.4
1.6
1.8
2.0
2.2
Pe
r
c
e
n
t
(
%
)
Historical Average Purchase Yield
Danville Short Term Treasury Pool
As of September 30, 2020
21
Growth of $1 Million
Growth Over Time As of September 30, 2020
As of 09/30/2020 Dollar Value Return
Danville Total Return $2,547,458 3.74%
Danville Realized Return $2,444,474 3.57%
LAIF $1,982,002 2.72%
Historical Return of $1 Million Invested on March 31, 1995
22
Total and Realized Rate of Return Annualized Since Inception 03/31/1995
Total rate of return: A measure of a portfolio’s performance over time.It is the internal rate of return,which equates the beginning value of the portfolio with the ending market value;it includes interest earnings,
realized and unrealized gains and losses in the portfolio.Realized rate of return: A measure of a portfolio’s return over time.It is the internal rate which equates the beginning book value of the portfolio with the
ending book value;it includes interest earnings,realized gains and losses in the portfolio.
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
12 months 2 years 3 years 5 years 10 years Since Inception
Danville Short Term Treasury Pool ICE BAML 1-3 Yr US Treasury Index
Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since
Inception
Danville Short Term Treasury Pool 0.19%3.55%3.98%2.78%2.01%1.45%3.74%
ICE BAML 1-3 Yr US Treasury Index 0.10%3.58%3.97%2.64%1.80%1.28%3.48%
REALIZED RATE OF RETURN
Danville Short Term Treasury Pool 0.46%2.05%2.00%1.85%1.60%1.50%3.57%
Investment Performance
Danville Short Term Treasury Pool
As of September 30, 2020
23
Portfolio Characteristics
Danville NERIAD Improvement Fund (89-1 90A)
9/30/2020 6/30/2020
Benchmark*Portfolio Portfolio
Average Maturity (yrs)0.16 0.43 0.43
Average Modified Duration 0.16 0.43 0.43
Average Purchase Yield n/a 0.70%1.02%
Average Market Yield 0.10%0.12%0.19%
Average Quality**AAA AAA/Aaa AA+/Aaa
Total Market Value 864,966 864,415
*ICE BAML 3-Month US Treasury Bill Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of September 30, 2020
24
Issue Name Investment Type % Portfolio
Government of United States US Treasury 87.10%
Federal Farm Credit Bank Agency 11.71%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund FI 1.18%
TOTAL 100.00%
Issuers
Danville NERIAD Improvement Fund (89-1 90A) –Account #24
As of September 30, 2020
25
SECTION |Section 3 |Portfolio Holdings
26
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
ABS
43814UAG4 Honda Auto Receivables Trust 2018-2 A3
3.010% Due 05/18/2022
150,792.73 05/22/2018
3.03%
150,789.44
150,791.38
101.14
0.28%
152,512.82
163.90
0.21%
1,721.44
NR / AAA
AAA
1.63
0.42
43815HAC1 Honda Auto Receivables Trust 2018-3 A3
2.950% Due 08/22/2022
378,874.38 08/21/2018
2.98%
378,822.40
378,849.73
101.31
0.39%
383,846.28
310.47
0.54%
4,996.55
Aaa / NR
AAA
1.89
0.51
43815NAC8 Honda Auto Receivables Trust 2019-3 A3
1.780% Due 08/15/2023
535,000.00 08/20/2019
1.79%
534,995.56
534,997.16
101.90
0.38%
545,190.15
423.24
0.76%
10,192.99
Aaa / AAA
NR
2.87
1.34
477870AC3 John Deere Owner Trust 2019-B A3
2.210% Due 12/15/2023
275,000.00 07/16/2019
2.23%
274,941.62
274,957.44
102.37
0.28%
281,516.40
270.11
0.39%
6,558.96
Aaa / NR
AAA
3.21
1.21
65479JAD5 Nissan Auto Receivables Owner 2019-C A3
1.930% Due 07/15/2024
570,000.00 10/16/2019
1.94%
569,969.90
569,975.90
102.47
0.43%
584,077.29
488.93
0.82%
14,101.39
Aaa / AAA
NR
3.79
1.62
47789KAC7 John Deere Owner Trust 2020-A A3
1.100% Due 08/15/2024
370,000.00 03/04/2020
1.11%
369,977.39
369,980.24
101.31
0.36%
374,851.81
180.89
0.52%
4,871.57
Aaa / NR
AAA
3.88
1.76
TOTAL ABS 2,279,667.11 2.05%
2,279,496.31
2,279,551.85 0.37%
2,321,994.75
1,837.54
3.24%
42,442.90
Aaa / AAA
Aaa
3.06
1.26
Agency
3133EHW58 FFCB Note
1.900% Due 11/27/2020
350,000.00 11/21/2017
1.97%
349,279.00
349,962.50
100.27
0.17%
350,959.35
2,290.56
0.49%
996.85
Aaa / AA+
AAA
0.16
0.16
3130A3UQ5 FHLB Note
1.875% Due 12/11/2020
1,500,000.00 01/27/2016
1.58%
1,520,355.00
1,500,814.20
100.34
0.13%
1,505,146.50
8,593.75
2.11%
4,332.30
Aaa / AA+
NR
0.20
0.20
3133EJT74 FFCB Note
3.050% Due 11/15/2021
1,600,000.00 12/11/2018
2.87%
1,607,984.00
1,603,062.15
103.26
0.15%
1,652,176.00
18,435.56
2.33%
49,113.85
Aaa / AA+
AAA
1.13
1.10
3130AAB49 FHLB Note
1.875% Due 12/10/2021
1,000,000.00 12/15/2017
2.16%
989,100.00
996,736.75
102.05
0.16%
1,020,461.00
5,781.25
1.43%
23,724.25
Aaa / AA+
AAA
1.19
1.18
3135G0S38 FNMA Note
2.000% Due 01/05/2022
1,400,000.00 09/27/2017
1.90%
1,405,418.00
1,401,602.12
102.38
0.11%
1,433,374.60
6,688.89
2.01%
31,772.48
Aaa / AA+
AAA
1.27
1.25
3135G0U92 FNMA Note
2.625% Due 01/11/2022
1,000,000.00 02/13/2019
2.58%
1,001,160.00
1,000,510.09
103.18
0.14%
1,031,840.00
5,833.33
1.45%
31,329.91
Aaa / AA+
AAA
1.28
1.26
3133ELYR9 FFCB Note
0.250% Due 05/06/2022
1,420,000.00 04/30/2020
0.31%
1,418,196.60
1,418,562.22
100.15
0.15%
1,422,189.64
1,429.86
1.98%
3,627.42
Aaa / AA+
AAA
1.60
1.60
3130AEBM1 FHLB Note
2.750% Due 06/10/2022
1,475,000.00 Various
2.84%
1,470,268.25
1,472,965.78
104.40
0.15%
1,539,963.43
12,506.77
2.16%
66,997.65
Aaa / AA+
NR
1.69
1.65
3137EAET2 FHLMC Note
0.125% Due 07/25/2022
1,500,000.00 08/11/2020
0.19%
1,498,245.00
1,498,368.24
99.91
0.17%
1,498,641.00
354.17
2.09%
272.76
Aaa / AA+
AAA
1.82
1.82
As of September 30, 2020
27
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
3135G0W33 FNMA Note
1.375% Due 09/06/2022
1,525,000.00 Various
1.55%
1,517,278.00
1,519,974.83
102.35
0.16%
1,560,790.23
1,456.16
2.18%
40,815.40
Aaa / AA+
AAA
1.93
1.91
313383WD9 FHLB Note
3.125% Due 09/09/2022
1,000,000.00 11/05/2018
3.10%
1,000,830.00
1,000,418.85
105.67
0.20%
1,056,679.00
1,909.72
1.48%
56,260.15
Aaa / AA+
AAA
1.94
1.90
3133EKY91 FFCB Note
1.375% Due 10/11/2022
1,500,000.00 10/15/2019
1.64%
1,488,585.00
1,492,257.47
102.43
0.18%
1,536,448.50
9,739.58
2.16%
44,191.03
Aaa / AA+
AAA
2.03
2.00
3130A3KM5 FHLB Note
2.500% Due 12/09/2022
1,250,000.00 08/27/2018
2.80%
1,235,000.00
1,242,336.96
105.08
0.18%
1,313,507.50
9,722.22
1.84%
71,170.54
Aaa / AA+
NR
2.19
2.13
3130AFE78 FHLB Note
3.000% Due 12/09/2022
1,700,000.00 12/20/2018
2.77%
1,714,756.00
1,708,136.68
106.09
0.21%
1,803,570.80
15,866.67
2.54%
95,434.12
Aaa / AA+
AAA
2.19
2.12
3135G0T94 FNMA Note
2.375% Due 01/19/2023
1,500,000.00 03/18/2019
2.46%
1,495,455.00
1,497,276.89
104.91
0.24%
1,573,579.50
7,125.00
2.20%
76,302.61
Aaa / AA+
AAA
2.30
2.24
3130ADRG9 FHLB Note
2.750% Due 03/10/2023
900,000.00 03/28/2019
2.24%
917,136.00
910,576.31
106.18
0.21%
955,612.80
1,443.75
1.33%
45,036.49
Aaa / AA+
NR
2.44
2.38
3137EAER6 FHLMC Note
0.375% Due 05/05/2023
1,330,000.00 05/05/2020
0.39%
1,329,441.40
1,329,516.53
100.43
0.21%
1,335,705.70
1,995.00
1.87%
6,189.17
Aaa / AA+
AAA
2.59
2.58
3135G04Q3 FNMA Note
0.250% Due 05/22/2023
1,425,000.00 05/20/2020
0.35%
1,420,710.75
1,421,227.81
100.07
0.22%
1,426,021.73
1,276.56
1.99%
4,793.92
Aaa / AA+
AAA
2.64
2.63
3133ELG81 FFCB Note
0.300% Due 06/08/2023
1,500,000.00 06/02/2020
0.33%
1,498,875.00
1,498,993.15
100.22
0.22%
1,503,316.50
1,412.50
2.10%
4,323.35
Aaa / AA+
AAA
2.69
2.67
3133834G3 FHLB Note
2.125% Due 06/09/2023
1,500,000.00 06/10/2019
2.00%
1,507,305.00
1,504,911.72
105.10
0.22%
1,576,498.50
9,916.67
2.21%
71,586.78
Aaa / AA+
NR
2.69
2.61
3137EAES4 FHLMC Note
0.250% Due 06/26/2023
1,305,000.00 06/24/2020
0.35%
1,301,189.40
1,301,526.96
100.09
0.22%
1,306,171.89
860.94
1.82%
4,644.93
Aaa / AA+
AAA
2.74
2.73
3135G05G4 FNMA Note
0.250% Due 07/10/2023
1,460,000.00 Various
0.28%
1,458,850.00
1,458,938.72
99.98
0.26%
1,459,699.24
821.25
2.04%
760.52
Aaa / AA+
AAA
2.78
2.76
3133EL3V4 FFCB Note
0.200% Due 08/14/2023
1,500,000.00 08/12/2020
0.27%
1,496,880.00
1,497,005.83
99.92
0.23%
1,498,861.50
391.67
2.09%
1,855.67
Aaa / AA+
AAA
2.87
2.86
3137EAEV7 FHLMC Note
0.250% Due 08/24/2023
1,500,000.00 09/28/2020
0.22%
1,501,095.00
1,501,092.93
100.07
0.23%
1,501,017.00
416.67
2.09%
(75.93)
Aaa / AA+
AAA
2.90
2.89
3137EAEW5 FHLMC Note
0.250% Due 09/08/2023
1,490,000.00 Various
0.26%
1,489,430.30
1,489,442.82
100.04
0.24%
1,490,545.34
279.38
2.08%
1,102.52
Aaa / AA+
AAA
2.94
2.93
3135G0V34 FNMA Note
2.500% Due 02/05/2024
1,700,000.00 03/24/2020
0.82%
1,808,052.00
1,793,512.42
107.50
0.25%
1,827,573.10
6,611.11
2.56%
34,060.68
Aaa / AA+
AAA
3.35
3.22
As of September 30, 2020
28
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
3130A7PH2 FHLB Note
1.875% Due 03/08/2024
1,500,000.00 03/03/2020
0.85%
1,560,525.00
1,551,807.75
105.52
0.26%
1,582,807.50
1,796.88
2.21%
30,999.75
Aaa / AA+
NR
3.44
3.34
TOTAL Agency 36,830,000.00 1.40%
37,001,399.70
36,961,538.68 0.20%
37,763,157.85
134,955.87
52.84%
801,619.17
Aaa / AA+
Aaa
2.19
2.16
Corporate
69353REW4 PNC Bank Callable Note Cont 3/30/2021
2.150% Due 04/29/2021
910,000.00 04/03/2018
3.01%
887,257.00
905,735.69
100.92
0.30%
918,399.30
8,260.78
1.29%
12,663.61
A2 / A
A+
0.58
0.49
09247XAH4 Blackrock Inc Note
4.250% Due 05/24/2021
1,000,000.00 04/27/2018
3.03%
1,035,570.00
1,007,463.35
102.58
0.28%
1,025,786.00
14,993.06
1.45%
18,322.65
Aa3 / AA-
NR
0.65
0.64
037833CC2 Apple Inc Callable Note Cont 7/4/2021
1.550% Due 08/04/2021
750,000.00 11/21/2017
2.33%
729,450.00
745,323.31
100.96
0.28%
757,208.25
1,840.63
1.06%
11,884.94
Aa1 / AA+
NR
0.84
0.76
084664BT7 Berkshire Hathaway Note
3.000% Due 05/15/2022
1,000,000.00 03/16/2018
2.98%
1,000,670.00
1,000,261.02
104.27
0.36%
1,042,742.00
11,333.33
1.47%
42,480.98
Aa2 / AA
A+
1.62
1.58
68389XBB0 Oracle Corp Callable Note Cont 3/15/2022
2.500% Due 05/15/2022
1,000,000.00 10/09/2019
1.86%
1,016,200.00
1,010,110.03
103.13
0.34%
1,031,324.00
9,444.44
1.45%
21,213.97
A3 / A
A-
1.62
1.43
69371RQ33 Paccar Financial Corp Note
2.000% Due 09/26/2022
500,000.00 09/23/2019
2.04%
499,390.00
499,596.49
103.06
0.45%
515,315.50
138.89
0.72%
15,719.01
A1 / A+
NR
1.99
1.96
166764AB6 Chevron Corp Callable Note Cont 9/5/2022
2.355% Due 12/05/2022
255,000.00 06/19/2019
2.28%
255,606.90
255,382.02
103.81
0.37%
264,722.64
1,935.03
0.37%
9,340.62
Aa2 / AA
NR
2.18
1.88
89236TEL5 Toyota Motor Credit Corp Note
2.700% Due 01/11/2023
1,000,000.00 01/25/2019
3.22%
980,920.00
988,998.92
104.90
0.53%
1,049,011.00
6,000.00
1.47%
60,012.08
A1 / A+
A+
2.28
2.21
90331HNL3 US Bank NA Callable Note Cont 12/23/2022
2.850% Due 01/23/2023
750,000.00 04/29/2019
2.77%
752,190.00
751,355.10
105.47
0.39%
791,008.50
4,037.50
1.11%
39,653.40
A1 / AA-
AA-
2.32
2.16
06406RAE7 Bank of NY Mellon Corp Callable Note Cont 12/29/2022
2.950% Due 01/29/2023
750,000.00 07/25/2019
2.37%
764,625.00
759,711.91
105.34
0.56%
790,027.50
3,810.42
1.11%
30,315.59
A1 / A
AA-
2.33
2.18
037833AK6 Apple Inc Note
2.400% Due 05/03/2023
750,000.00 05/29/2019
2.54%
746,205.00
747,500.01
105.29
0.35%
789,657.75
7,400.00
1.11%
42,157.74
Aa1 / AA+
NR
2.59
2.50
931142EK5 Wal-Mart Stores Callable Note Cont 5/26/2023
3.400% Due 06/26/2023
800,000.00 03/27/2019
2.54%
827,616.00
817,781.14
108.04
0.36%
864,300.80
7,177.78
1.22%
46,519.66
Aa2 / AA
AA
2.74
2.54
02665WCT6 American Honda Finance Note
3.550% Due 01/12/2024
950,000.00 08/19/2019
2.07%
1,008,634.00
993,765.44
109.11
0.74%
1,036,547.85
7,400.76
1.46%
42,782.41
A3 / A-
NR
3.28
3.10
TOTAL Corporate 10,415,000.00 2.58%
10,504,333.90
10,482,984.43 0.41%
10,876,051.09
83,772.62
15.28%
393,066.66
A1 / AA-
A+
1.90
1.79
As of September 30, 2020
29
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 75,270.35 Various
0.66%
75,270.35
75,270.35
1.00
0.66%
75,270.35
188.54
0.11%
0.00
NR / NR
NR
0.00
0.00
TOTAL LAIF 75,270.35 0.66%
75,270.35
75,270.35 0.66%
75,270.35
188.54
0.11%
0.00
NR / NR
NR
0.00
0.00
Money Market Fund FI
94975H296 Wells Fargo Treasury Plus MMFD 453 710,070.18 Various
0.01%
710,070.18
710,070.18
1.00
0.01%
710,070.18
0.00
0.99%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund FI 710,070.18 0.01%
710,070.18
710,070.18 0.01%
710,070.18
0.00
0.99%
0.00
Aaa / AAA
NR
0.00
0.00
Supranational
45950KCM0 International Finance Corp Note
2.250% Due 01/25/2021
1,000,000.00 Various
2.35%
997,047.20
999,687.29
100.64
0.25%
1,006,386.00
4,125.00
1.41%
6,698.71
Aaa / AAA
NR
0.32
0.32
4581X0CN6 Inter-American Dev Bank Note
1.750% Due 04/14/2022
1,100,000.00 09/13/2018
2.99%
1,054,218.00
1,080,354.08
102.32
0.24%
1,125,531.00
8,929.86
1.58%
45,176.92
Aaa / AAA
AAA
1.54
1.51
TOTAL Supranational 2,100,000.00 2.69%
2,051,265.20
2,080,041.37 0.24%
2,131,917.00
13,054.86
2.99%
51,875.63
Aaa / AAA
Aaa
0.96
0.95
US Treasury
912828WC0 US Treasury Note
1.750% Due 10/31/2020
1,300,000.00 12/22/2015
1.73%
1,301,121.54
1,300,018.97
100.13
0.15%
1,301,747.20
9,520.38
1.83%
1,728.23
Aaa / AA+
AAA
0.08
0.08
912828M98 US Treasury Note
1.625% Due 11/30/2020
1,200,000.00 02/27/2017
1.66%
1,198,457.15
1,199,932.48
100.25
0.13%
1,202,978.40
6,553.28
1.69%
3,045.92
Aaa / AA+
AAA
0.17
0.17
912828Q37 US Treasury Note
1.250% Due 03/31/2021
1,500,000.00 06/15/2017
1.64%
1,478,501.12
1,497,188.37
100.57
0.10%
1,508,613.00
51.51
2.10%
11,424.63
Aaa / AA+
AAA
0.50
0.50
912828Q78 US Treasury Note
1.375% Due 04/30/2021
1,500,000.00 06/08/2017
1.65%
1,484,536.28
1,497,703.84
100.74
0.11%
1,511,074.50
8,631.11
2.12%
13,370.66
Aaa / AA+
AAA
0.58
0.58
912828T34 US Treasury Note
1.125% Due 09/30/2021
1,250,000.00 01/10/2018
2.20%
1,202,392.58
1,237,229.84
100.98
0.15%
1,262,207.50
38.63
1.76%
24,977.66
Aaa / AA+
AAA
1.00
1.00
912828F96 US Treasury Note
2.000% Due 10/31/2021
1,500,000.00 08/29/2018
2.76%
1,465,781.25
1,488,317.71
102.01
0.15%
1,530,117.00
12,554.35
2.15%
41,799.29
Aaa / AA+
AAA
1.08
1.07
912828W55 US Treasury Note
1.875% Due 02/28/2022
1,300,000.00 02/08/2018
2.49%
1,269,226.56
1,289,291.67
102.46
0.13%
1,332,042.40
2,087.36
1.86%
42,750.73
Aaa / AA+
AAA
1.41
1.40
As of September 30, 2020
30
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
912828W89 US Treasury Note
1.875% Due 03/31/2022
1,250,000.00 10/24/2017
1.98%
1,244,580.08
1,248,171.03
102.61
0.13%
1,282,666.25
64.39
1.79%
34,495.22
Aaa / AA+
AAA
1.50
1.49
912828L24 US Treasury Note
1.875% Due 08/31/2022
900,000.00 10/04/2018
3.01%
862,488.28
881,612.42
103.33
0.13%
929,988.00
1,445.10
1.30%
48,375.58
Aaa / AA+
AAA
1.92
1.89
912828M80 US Treasury Note
2.000% Due 11/30/2022
950,000.00 04/29/2019
2.28%
940,759.77
944,427.65
104.04
0.13%
988,334.40
6,385.25
1.39%
43,906.75
Aaa / AA+
AAA
2.17
2.12
912828R28 US Treasury Note
1.625% Due 04/30/2023
1,500,000.00 06/19/2019
1.87%
1,486,582.03
1,491,045.17
103.82
0.14%
1,557,304.50
10,200.41
2.19%
66,259.33
Aaa / AA+
AAA
2.58
2.52
912828R69 US Treasury Note
1.625% Due 05/31/2023
1,500,000.00 04/11/2019
2.30%
1,460,156.25
1,474,301.18
103.95
0.14%
1,559,179.50
8,191.60
2.19%
84,878.32
Aaa / AA+
AAA
2.67
2.61
912828T91 US Treasury Note
1.625% Due 10/31/2023
1,500,000.00 09/13/2019
1.78%
1,490,917.97
1,493,215.62
104.52
0.16%
1,567,792.50
10,200.41
2.20%
74,576.88
Aaa / AA+
AAA
3.08
3.00
TOTAL US Treasury 17,150,000.00 2.08%
16,885,500.86
17,042,455.95 0.14%
17,534,045.15
75,923.78
24.55%
491,589.20
Aaa / AA+
Aaa
1.46
1.44
TOTAL PORTFOLIO 69,560,007.64 1.79%
69,507,336.50
69,631,912.81 0.22%
71,412,506.37
309,733.21
100.00%
1,780,593.56
Aa1 / AA+
Aaa
1.94
1.84
TOTAL MARKET VALUE PLUS ACCRUALS 71,722,239.58
As of September 30, 2020
31
Holdings Report
Danville NERIAD Improvement Fund (89-1 90A) -Account #24
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Agency
3133EJPW3 FFCB Note
2.700% Due 12/21/2020
100,000.00 04/08/2020
0.65%
101,432.00
100,453.09
100.58
0.13%
100,577.20
750.00
11.71%
124.11
Aaa / AA+
AAA
0.22
0.22
TOTAL Agency 100,000.00 0.65%
101,432.00
100,453.09 0.13%
100,577.20
750.00
11.71%
124.11
Aaa / AA+
Aaa
0.22
0.22
Money Market Fund FI
94975H296 Wells Fargo Treasury Plus MMFD 453 10,227.96 Various
0.01%
10,227.96
10,227.96
1.00
0.01%
10,227.96
0.00
1.18%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund FI 10,227.96 0.01%
10,227.96
10,227.96 0.01%
10,227.96
0.00
1.18%
0.00
Aaa / AAA
NR
0.00
0.00
US Treasury
912828M98 US Treasury Note
1.625% Due 11/30/2020
275,000.00 12/02/2019
1.70%
274,806.64
274,968.04
100.25
0.13%
275,682.55
1,501.79
32.05%
714.51
Aaa / AA+
AAA
0.17
0.17
912828Q37 US Treasury Note
1.250% Due 03/31/2021
250,000.00 06/03/2020
0.19%
252,177.73
251,313.90
100.57
0.10%
251,435.50
8.59
29.07%
121.60
Aaa / AA+
AAA
0.50
0.50
9127963S6 US Treasury Bill
0.122% Due 07/15/2021
225,000.00 08/24/2020
0.12%
224,753.96
224,753.96
99.89
0.12%
224,753.96
28.10
25.99%
0.00
P-1 / A-1+
F-1+
0.79
0.79
TOTAL US Treasury 750,000.00 0.72%
751,738.33
751,035.90 0.12%
751,872.01
1,538.48
87.10%
836.11
Aaa / AAA
Aaa
0.46
0.46
TOTAL PORTFOLIO 860,227.96 0.71%
863,398.29
861,716.95 0.12%
862,677.17
2,288.48
100.00%
960.22
Aaa / AAA
Aaa
0.43
0.43
TOTAL MARKET VALUE PLUS ACCRUALS 864,965.65
As of September 30, 2020
32
SECTION |Section 4 |Transactions
33
Transaction Ledger
Danville Short Term Treasury Pool -Account #21
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 07/10/2020 3135G05G4 560,000.00 FNMA Note
0.25% Due: 07/10/2023
99.785 0.32%558,796.00 0.00 558,796.00 0.00
Purchase 08/12/2020 3135G05G4 900,000.00 FNMA Note
0.25% Due: 07/10/2023
100.006 0.25%900,054.00 200.00 900,254.00 0.00
Purchase 08/12/2020 3137EAET2 1,500,000.00 FHLMC Note
0.125% Due: 07/25/2022
99.883 0.19%1,498,245.00 98.96 1,498,343.96 0.00
Purchase 08/18/2020 3133EL3V4 1,500,000.00 FFCB Note
0.2% Due: 08/14/2023
99.792 0.27%1,496,880.00 33.33 1,496,913.33 0.00
Purchase 09/04/2020 3137EAEW5 890,000.00 FHLMC Note
0.25% Due: 09/08/2023
99.967 0.26%889,706.30 0.00 889,706.30 0.00
Purchase 09/10/2020 3137EAEW5 600,000.00 FHLMC Note
0.25% Due: 09/08/2023
99.954 0.27%599,724.00 25.00 599,749.00 0.00
Purchase 09/29/2020 3137EAEV7 1,500,000.00 FHLMC Note
0.25% Due: 08/24/2023
100.073 0.22%1,501,095.00 395.83 1,501,490.83 0.00
Subtotal 7,450,000.00 7,444,500.30 753.12 7,445,253.42 0.00
TOTAL ACQUISITIONS 7,450,000.00 7,444,500.30 753.12 7,445,253.42 0.00
DISPOSITIONS
Maturity 07/29/2020 3130A5Z77 1,500,000.00 FHLB Note
1.83% Due: 07/29/2020
100.000 1,500,000.00 0.00 1,500,000.00 0.00
Maturity 07/31/2020 912828XM7 1,500,000.00 US Treasury Note
1.625% Due: 07/31/2020
100.000 1,500,000.00 0.00 1,500,000.00 0.00
Maturity 08/18/2020 857477AS2 800,000.00 State Street Bank Note
2.55% Due: 08/18/2020
100.000 800,000.00 0.00 800,000.00 0.00
Maturity 08/31/2020 912828L32 1,200,000.00 US Treasury Note
1.375% Due: 08/31/2020
100.000 1,200,000.00 0.00 1,200,000.00 0.00
Maturity 09/04/2020 459058GA5 1,500,000.00 Intl. Bank Recon & Development Note
1.625% Due: 09/04/2020
100.000 1,500,000.00 0.00 1,500,000.00 0.00
June 30, 2020 through September 30, 2020
As of September 30, 2020
34
Transaction Ledger
Danville Short Term Treasury Pool -Account #21
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Maturity 09/30/2020 912828L65 500,000.00 US Treasury Note
1.375% Due: 09/30/2020
100.000 500,000.00 0.00 500,000.00 0.00
Subtotal 7,000,000.00 7,000,000.00 0.00 7,000,000.00 0.00
TOTAL DISPOSITIONS 7,000,000.00 7,000,000.00 0.00 7,000,000.00 0.00
June 30, 2020 through September 30, 2020
As of September 30, 2020
35
Transaction Ledger
Danville NERIAD Improvement Fund (89-1 90A) -Account #24
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 08/25/2020 9127963S6 225,000.00 US Treasury Bill
0.122% Due: 07/15/2021
99.891 0.12%224,753.96 0.00 224,753.96 0.00
Subtotal 225,000.00 224,753.96 0.00 224,753.96 0.00
TOTAL ACQUISITIONS 225,000.00 224,753.96 0.00 224,753.96 0.00
DISPOSITIONS
Maturity 08/15/2020 9128282Q2 160,000.00 US Treasury Note
1.5% Due: 08/15/2020
100.000 160,000.00 0.00 160,000.00 0.00
Subtotal 160,000.00 160,000.00 0.00 160,000.00 0.00
TOTAL DISPOSITIONS 160,000.00 160,000.00 0.00 160,000.00 0.00
June 30, 2020 through September 30, 2020
As of September 30, 2020
36
Important Disclosures
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.
As of September 30, 2020
37
Benchmark Disclosures
ICE BAML 1-3 Yr US Treasury Index
The ICE BAML 1-3 Year US Treasury Index tracks the performance of US dollar denominated sovereign debt publicly issued by the US government in its domestic market.Qualifying securities must have at
least one year remaining term to final maturity and less than three years remaining term to final maturity,a fixed coupon schedule and a minimum amount outstanding of $1 billion.Qualifying securities
must haveat least 18 months to final maturity at the time of issuance.(Index:G1O2.Please visit www.mlindex.ml.com for more information)
ICE BAML 3-Month US Treasury Bill Index
The ICE BAML US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month.At the end of the month that issue is sold and rolled into a
newly selected issue.The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to,but not beyond,three months from the rebalancing date.(Index: G0O1.
Please visit www.mlindex.ml.com for more information)
ICE BAML 1-3 Yr US Corp/Govt Rated AAA-A Index
The ICE BAML 1-3 AAA-A Year US Corporate &Government Index tracks the performance of US dollar denominated investment grade debt publicly issued in the US domestic market,including US Treasury,
US agency,foreign government, supranational and corporate securities.Qualifying securities must be rated AAA through A3 (based on an average of Moody’s,S&P and Fitch).In addition, qualifying
securities must have at least one year remaining term to final maturity and less than three years remaining term to final maturity,at least 18 months to final maturity at point of issuance,a fixed coupon
scheduleand a minimum amount outstanding of $1 billion for US Treasuriesand $250 million for all other securities.(Index:GVPB.Please visit www.mlindex.ml.com for more information)
As of September 30, 2020
38