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INVESTMENT REPORT
Period Ending March 31, 2021
Town of Danville
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of March 31, 2021
1
SECTION |Section 1 |Economic Update
2
Economic Update
▪
▪
▪
Economic growth is poised to accelerate meaningfully in the current quarter as vaccine distribution becomes more
widespread in the US amid an ongoing backdrop of robust fiscal support, low interest rates, and accommodative monetary
policy. The vaccine rollout has been fasterthan expected and roughly 20%of the US population is now fully vaccinated, and
more than one third has received at least one dose. Meanwhile, robust fiscal spending along with the Federal Reserve’s
highly accommodative monetary policy continues to provide support for the economy and financial markets. Last month,
President Biden signed a $1.9 trillion fiscal relief plan (bringing the total amount of pandemic-related fiscal relief
legislation in the last year to about $5.5trillion) and at then end of March he unveiled a $2.3trillion infrastructure spending
proposal.We expect some version of an infrastructure spending bill to come to fruition later this year. Estimates for US
gross domestic product (GDP) growth this year continue to migrate higher. The current Bloomberg consensus estimate for
2021 US GDP growth is now 6.2%.
The Federal Open Market Committee kept monetary policy unchanged at their March meeting as expected, with the fed
funds target rate in a range of 0.0%to 0.25%. The Fed also continues to purchase $80 billion of Treasuries per month, and
$40 billion of agency mortgage-backed securities per month. The Fed intends to remain highly accommodative until the
labor market has made a strong recovery and inflation is sustainably on track to achieve their 2.0% longer-run target. The
majority of Fed policymakers expect to keep the fed funds rate unchanged through 2023.Though inflation rates are likely to
increase in the coming months (due to low inflation last year and near-term supply constraints), the Fed believes the
increase will be transitory and the Fed intends to remain on the sidelines. Fed Chair Powell emphasized thatpolicymakers
will clearly telegraph their outlook for monetary policy well in advance of any future policy changes.
The yield curve has steepened. Year-to-date, the yield on 2-yearTreasuries is about four basis points higherwhile the yield
on 10-year Treasuries is nearly 83 basis points higher,as of March month-end.In April,we have seen a modest retreat in
longer-term Treasury yields. Nevertheless,we believe the Treasury yield curve is poised to modestly steepen further as
the year progresses, which would be consistent with an improving economic outlook, more widespread vaccine
distribution, the anticipation of ongoing fiscal spending, and a moderate pick-up in inflation.
3
Will $5.5 Trillion Stimulus Propel Growth and Inflation?
Source: US Congress
Fiscal Package Amount
CARES Act $2.23 Trillion
Coronavirus Relief Bill $484 Billion
Phase 4 Stimulus $908 Billion
American Rescue Plan $1.9 Trillion
Total So Far $5.5 Trillion
Individuals42%$799 Billion
Individuals
$799 Billion (42%)
176
48
123
105
59
16
146
Stimulus Checks
Unemployment Assistance
Tax Credits
Local Governments
$360 Billion (19%)
Transportation/Education/Housing
$280 Billion (15%)
Health $228 Billion (12%)
Business $75 Billion (4%)
Other $146 Billion (15%)
States
Municipalities
Infrastructure
Public Transit, Airlines/Airports, Amtrak
K-12/Higher Education
Housing Assistance
COVID Testing/ContactTracing, FEMA
Vaccine Distribution
Defense Production
Transportation $56 Billion
Education $176 Billion
Housing $48 Billion
COVID Policy $123 Billion
Healthcare $105 Billion
Small Business $59 Billion
Agriculture $16 Billion
PPP
Restaurants, Small Business Loans
Farm Relief
Pension Bailouts, Cybersecurity
2021
American
Rescue Plan
$1.9 Trillion
4
Federal Reserve
Source: Federal Reserve Source: Bloomberg
Lastyear, the Fed took awide range of aggressive actions to help stabilize and provide liquidity to the financial markets. The Fed 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. Last year, policymakers reinstated the Commercial Paper Funding Facility and Money Market Mutual Fund Liquidity
Facility. The Fed also established the Primary Market Corporate Credit Facility, Secondary Market Corporate Credit Facility, TermAsset-Backed
Securities Loan Facility, Paycheck Protection Program Liquidity Facility, Main Street Lending Facility, and Municipal Liquidity Facility. The Fed
has also provided short-term funding through large-scale repo operations and lowered the reserve requirement for depository institutions.
Notably, many of the Fed's lending facilities expired at the end of 2020,including the Fed’s corporate credit, asset-backed securities, municipal
lending, and Main Street Lending programs.
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
8,000,000
Federal Reserve Balance Sheet Assets
In
$
m
i
l
l
i
o
n
s
5
Source: US Department of Labor Source: US Department of Labor
Employment
U.S. nonfarm payrolls were much stronger than expected in March,up 916,000, versus the Bloomberg consensus forecast of 660,000. February
payrolls were also revised higher reflecting a 468,000 gain. Payrolls in the leisure and hospitality sector showed the strongest gains adding
another 280,000 jobs.As expected, the unemployment rate declined to 6.0%in March from 6.2%in February. The participation rate increased
in March to 61.5% from 61.4% last month but remains below pre-pandemic levels. Although the employment picture continues to improve,
payrolls are approximately 8.4 million below the 152.5 million level prior to the pandemic. The U-6 underemployment rate, which includes
those who are marginally attached to the labor force and employed part time for economicreasons, declined to 10.7%in March from 11.1%in
February.
-22,000
-18,000
-14,000
-10,000
-6,000
-2,000
2,000
6,000
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%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Ra
t
e
(
%
)
6
Initial Claims for Unemployment
744 728 658 765 734 761 747 847 863 837 836 886 904 781
3,734 3,750 3,841 4,123 4,157 4,383 4,469 4,592 4,655 4,791 4,878 5,061 5,240
-
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
In
t
h
o
u
s
a
n
d
s
Initial Jobless Claims
Continuing Claims
Initial Claims For Unemployment January 01, 2021 -April 02, 2021
In the most recent week, the number of initial jobless claims increased to 744,000 versus 728,000 in the prior week. The level of continuing
unemployment claims (where the data is lagged by one week) declined slightly to about 3.734 million from roughly 3.750 million in the prior
week. Although continuing jobless claims are much lower than the peak of nearly 25 million last May, they remained above the 2019 (pre-
pandemic) average of 1.7 million.
Source: US Department of Labor
7
Source: US Department of Labor Source: US Department of Commerce
Inflation
The ConsumerPrice Index (CPI) was up 1.7% year-over-year in February, versus up 1.4% year-over-year in January. However, Core CPI (CPI less
food and energy) was up just 1.3% year-over-year in February, versus up 1.4%in January. The Personal Consumption Expenditures (PCE) index
was up 1.6% year-over-year in February, versus up 1.4% year-over-year in January. Core PCE, which is the Fed's primary inflation gauge, was up
1.4% year-over-year in February, versus up 1.5% year-over-year in January. Inflation rates are likely to increase as we begin to cycle through
the deflationary impact of the pandemic last year, but for now inflation remains below the Fed's longer-run 2.0% target.
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
8
On ayear-over-yearbasis, retail sales were up 6.3%in February versus up 9.5%in January.On a month-over-month basis, retail sales fell 3.0%
in February, following a sizable 7.6% increase in January. While January sales were boosted by federal stimulus checks, February sales were
likely hindered by severe winter weather.We expect retail sales to bounce back in March,as another round of federal stimulus checks were
delivered in the month. The Consumer Confidence index jumped to 109.7 in March from 90.4 in February, which also points to a pick-up in
consumer spending for March.
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%
15.0%
Retail Sales YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
80
90
100
110
120
130
140
In
d
e
x
L
e
v
e
l
Consumer Confidence
Consumer
9
Source: The Conference Board Source: Federal Reserve Bank of Chicago
Economic Activity
The Conference Board’s Leading Economic Index (LEI) rose 0.2% month-over-month in February (following a 0.4% increase in January)but
remained down 1.3%on a year-over-year basis. According to the Conference Board, the index suggests the economy should continue to
improve this year. While some components of the LEI showed signs of weakness in February, the Conference Board believes it may have been
due to transitory factors such as bad weatherand supply-chain disruptions. Severe winterweather likely had anegative impact on the Chicago
Fed National Activity Index (CFNAI)in February as well. The CFNAI dropped to -1.09 in February from +0.75 in January.On a 3-month moving
average basis, the CFNAI declined to -0.02 in February from 0.46 in January. The index turned negative on both aone month and 3-month basis
in February, and a negative index reading corresponds to below trend growth.
-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%
Leading Economic Indicators (LEI)
MO
M
(
%
)
C
h
a
n
g
e
10
Source: US Department of Commerce Source: S&P
Housing
0
200
400
600
800
1000
1200
1400
1600
1800
MO
M
C
h
a
n
g
e
(
I
n
T
h
o
u
s
a
n
d
s
o
f
U
n
i
t
s
)
Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
S&P/Case-Shiller 20 City Composite Home Price Index
YO
Y
(
%
)
C
h
a
n
g
e
Total housing starts declined 10.3%in February to an annual pace of 1,421,000. Single family starts fell 8.5%to an annualized rate of 1,040,000,
while multi-family starts fell 15.0%to an annualized rate of 381,000.On a year-over-year basis, total housing starts were down 9.3%in
February. Meanwhile, permits declined 10.8%on a month-over-month basis in February,to an annualized rate of 1,682,000.It appears that
risingmortgage rates is beginning to present aheadwind to the housing sector which has been quite strong during the pandemic. According to
the Case-Shiller20-City home price index, home prices were up 11.1% year-over-year in January versus up 10.2% year-over-year in December.
We believe rising mortgage rates may put pressure on home prices in the months ahead.
11
Source: Institute for Supply Management Source: Federal Reserve
Manufacturing
The Institute for Supply Management (ISM) manufacturing index increased to 64.7 in March from 60.8 in February. Readings above 50.0 are
indicative of expansion in the manufacturing sector.We believe a weaker US dollar has been supportive of the US manufacturing sector
throughout the pastyear. The Industrial Production index was down 4.3% year-over-year in February, versus down 2.0%in January.On amonth-
over-month basis, the Industrial Production index fell 2.2%in February, following a 1.1% increase in January. The Federal Reserve said the
decline was largely driven by severe winterweather. Capacity Utilization dropped to 73.8%in February from 75.5%in January and remains well
below the long-run average of 79.8%.
40
42
44
46
48
50
52
54
56
58
60
62
64
66
Institute of Supply Management Purchasing Manager
Index
EXPANDING
CONTRACTING
-18.0%
-14.0%
-10.0%
-6.0%
-2.0%
2.0%
6.0%
Industrial Production
YO
Y
(
%
)
C
h
a
n
g
e
12
Source: US Department of Commerce Source: US Department of Commerce
3/20 6/20 9/20 12/20
-4.8% -24.0% 25.4% 1.6%
-1.6% -8.8% 12.0% 4.4%
1.1% 0.6% -3.2% -1.5%
0.1% 1.2% -0.4% -0.1%
0.1% -0.4% -0.4% -0.1%
-5.0% -31.4% 33.4% 4.3%
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%
15.0%
20.0%
25.0%
30.0%
35.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
According to the third estimate, real US gross domestic product (GDP) grew at an annualized rate of 4.3%in the fourth quarter of 2020 (slightly
higher than the second estimate of 4.1%), following 33.4% growth in the third quarter and a 31.4% annualized decline in the second quarter.
Personal consumption expenditures rose at an annual rate of 2.3%in the fourth quarter. The consensus forecast for US gross domesticproduct
growth in 2021 is 6.2%, following a 3.5% decline in 2020.
13
Source: Bloomberg Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
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%
US Treasury Yield Curve
Mar-21
Dec-20
Mar-20
Y
i
e
l
d
(
%
)
Bond Yields
The treasury yield curve is much steeperrelative to this time last year. The 3-month T-bill yield is about four basis points lower, and the 2-year
Treasury yield is about four basis points higher, while the 10-Year Treasury yield is about 83 basis points higher, year-over-year,as of March
month-end. Yields declined precipitously in March 2020,with the Fed cutting rates by a total of 150 basis points and a flight to safe-haven
assets driving down yields across the curve. Since late 2020,longer-term yields have been rising and the yield curve has steepened. The Fed
has signaled plans to keep the front end of the Treasury yield curve anchored near zero until at least 2023.
14
Section 2|SECTION |Section 2 |Account Profile
15
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 March 31, 2021
16
Compliance As of March 31, 2021
Category Standard Comment
U.S. Treasuries No Limitation; 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
Federal Agencies No Limitation; 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
Supranational Obligations "AA" rating category or higher by a NRSRO; 30% max; 5% max per issuer; USD denominated senior unsecured unsubordinated obligations; Issued or unconditionally
guaranteed by International Bank for Reconstruction (IBRD), International Finance Corporation (IFC), or Inter-American Development Bank (IADB);Complies
Municipal Securities (CA, Local Agency) "A" rating category or better by a NRSRO; 30% max; 5% max per issuer; Include obligations of the Town, State of California, and any local agency within the State of California Complies
Municipal Securities (CA, Other States)
"A" rating category or better by a NRSRO; 30% max; 5% max per issuer; 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
Corporate Medium Term Notes "A" rating category or higher by a NRSRO; 30% max (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
Agency Mortgage Pass-Through
Securities 15% max; 5% max 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% max(combination of ABS and CMOs); 5% max per issuer Complies
Negotiable Certificates of Deposit (NCD)"A-1" short-term rated or higher by a NRSRO; and "A" long-term rating category or higher by a NRSRO; 30% max; 5% max per issuer; 2 years max maturity Complies
Bank/Time Deposits Funds on deposit in banks must be FDIC insured or collateralized in accordance with California Government Code Complies
Banker’s Acceptances "A-1" short-term rated or higher by a NRSRO; and "A" long-term rating category or higher by a NRSRO; 40% max; 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 rating category or higher by a NRSRO, if any; 25% max; 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
Money Market Mutual Funds Highest rating by two NRSROs; or SEC registered adviser with AUM >$500 million and experience greater than 5 years; 20% max in Money Market Mutual Funds; 20% max
combined Money Market Mutual Funds and Mutual Funds Complies
Mutual Funds Highest rating by two NRSROs; or SEC registered adviser with AUM >$500 million and experience greater than 5 years; 10% max per one Mutual Fund; 20% max combined
Money Market Mutual Funds and Mutual Funds Complies
Local Agency Investment Fund (LAIF)30% max 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
Repurchase Agreements 15% max; 30 days max maturity; Market value of securities shall not be < 102% of the repurchase amount; Collateralized by Treasury or Agency obligations; Delivered to the
Town's custody bank; Not used by Investment Adviser Complies
Prohibited Inverse floaters, range notes, mortgage derived interest-only strips; zero interest accrual if held to maturity; Trading securities for the sole purpose of speculating on the
future direction of interest rates; Purchasing or selling securities on margin; Reverse Repurchase Agreements; Securities lending; Foreign currency denominated securities Complies
Max Per Issuer 5% max per issuer, with the exception of LAIF, Treasuries, Agencies, Money Market Mutual Funds; 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
17
Portfolio Characteristics
Danville Short Term Treasury Pool
3/31/2021 12/31/2020
Benchmark*Portfolio Portfolio
Average Maturity (yrs)1.87 1.90 1.88
Average Modified Duration 1.84 1.81 1.79
Average Purchase Yield n/a 1.49%1.68%
Average Market Yield 0.18%0.24%0.18%
Average Quality**AAA AA+/Aaa AA+/Aa1
Total Market Value 71,768,836 71,828,103
*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 March 31, 2021
18
Danville Short Term Treasury Pool
Sector Distribution
ABS
3.1%
Agency
54.7%Corporate
13.3%
LAIF
0.1%
Money Market
Fund FI
2.9%
Supranational
2.1%
US Treasury
23.8%
March 31, 2021 December 31, 2020
ABS
3.0%
Agency
56.3%Corporate
15.2%
LAIF
0.1%
Money Market
Fund FI
1.0%
Supranational
3.5%
US Treasury
20.9%
As of March 31, 2021
19
Issue Name Investment Type % Portfolio
Government of United States US Treasury 23.85%
Federal Home Loan Bank Agency 15.03%
Federal National Mortgage Association Agency 14.98%
Federal Home Loan Mortgage Corp Agency 14.06%
Federal Farm Credit Bank Agency 10.60%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund FI 2.91%
Apple Inc Corporate 2.15%
Inter-American Dev Bank Supranational 1.57%
Toyota Motor Corp Corporate 1.46%
Berkshire Hathaway Corporate 1.45%
Honda Motor Corporation Corporate 1.44%
BlackRock Inc/New York Corporate 1.42%
John Deere ABS ABS 1.24%
Wal-Mart Stores Corporate 1.20%
Honda ABS ABS 1.10%
US Bancorp Corporate 1.10%
Bank of New York Corporate 1.10%
Deere & Company Corporate 0.86%
Nissan ABS ABS 0.81%
Paccar Financial Corporate 0.71%
Intl Bank Recon and Development Supranational 0.49%
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 March 31, 2021
20
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
March 31, 2021 December 31, 2020
March 31, 2021 vs. December 31, 2020
0 -0.25 0.25 -0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
03/31/21 4.5%3.1%12.6%31.5%42.2%4.8%1.4%0.0%
12/31/20 5.9%4.1%11.1%37.6%39.1%2.2%0.0%0.0%
Danville Short Term Treasury Pool
Duration Distribution As of March 31, 2021
21
Purchase Yield as of 3/31/2021 = 1.49%
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 March 31, 2021
22
Growth of $1 Million
Growth Over Time As of December 31, 2020
As of 03/31/2021 Dollar Value Return
Danville Total Return $2,549,122 3.66%
Danville Realized Return $2,466,384 3.53%
LAIF $1,986,877 2.68%
Historical Return of $1 Million Invested on March 31, 1995
23
Total and Realized Rate of Return Annualized Since Inception 03/31/1995
Total rate of return: A measure of a portfolio’s performance over time.It is the internal rate of return, which equates the beginning value of the portfolio with the ending market value;it includes interest earnings,
realized and unrealized gains and losses in the portfolio.Realized rate of return: A measure of a portfolio’s return over time.It is the internal rate which equates the beginning book value of the portfolio with the
ending book value;it includes interest earnings,realized gains and losses in the portfolio.
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
12 months 2 years 3 years 5 years 10 years Since Inception
Danville Short Term Treasury Pool ICE BAML 1-3 Yr US Treasury Index
Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since
Inception
Danville Short Term Treasury Pool -0.08%1.08%2.87%2.88%1.87%1.46%3.66%
ICE BAML 1-3 Yr US Treasury Index -0.05%0.24%2.80%2.77%1.71%1.29%3.41%
REALIZED RATE OF RETURN
Danville Short Term Treasury Pool 0.46%1.87%1.99%1.91%1.66%1.48%3.53%
Investment Performance
Danville Short Term Treasury Pool
As of March 31, 2021
24
Portfolio Characteristics
Danville NERIAD Improvement Fund (89-1 90A)
3/31/2021 12/31/2020
Benchmark*Portfolio Portfolio
Average Maturity (yrs)0.16 0.64 0.59
Average Modified Duration 0.15 0.63 0.59
Average Purchase Yield n/a 0.10%0.13%
Average Market Yield 0.02%0.10%0.13%
Average Quality**AAA AAA/Aaa AAA/Aaa
Total Market Value 865,454 865,149
*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 March 31, 2021
25
Issue Name Investment Type % Portfolio
Government of United States US Treasury 98.54%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund FI 1.46%
TOTAL 100.00%
Issuers
Danville NERIAD Improvement Fund (89-1 90A) –Account #24
As of March 31, 2021
26
SECTION |Section 3 |Portfolio Holdings
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
ABS
43814UAG4 Honda Auto Receivables Trust 2018-2 A3
3.010% Due 05/18/2022
56,974.10 05/22/2018
3.03%
56,972.85
56,973.74
100.52
0.34%
57,272.93
61.93
0.08%
299.19
NR / AAA
AAA
1.13
0.20
43815HAC1 Honda Auto Receivables Trust 2018-3 A3
2.950% Due 08/22/2022
187,181.02 08/21/2018
2.98%
187,155.33
187,172.05
100.83
0.28%
188,733.13
153.38
0.26%
1,561.08
Aaa / NR
AAA
1.39
0.31
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
534,997.88
101.25
0.27%
541,705.69
423.24
0.76%
6,707.81
Aaa / AAA
NR
2.38
0.83
477870AC3 John Deere Owner Trust 2019-B A3
2.210% Due 12/15/2023
257,078.37 07/16/2019
2.23%
257,023.79
257,044.77
101.35
0.27%
260,543.27
252.51
0.36%
3,498.50
Aaa / NR
AAA
2.71
0.69
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
569,979.07
101.81
0.30%
580,331.25
488.93
0.81%
10,352.18
Aaa / AAA
NR
3.29
1.11
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
369,982.78
100.87
0.41%
373,214.93
180.89
0.52%
3,232.15
Aaa / NR
AAA
3.38
1.25
47788UAC6 John Deere Owner Trust 2021-A A3
0.360% Due 09/15/2025
255,000.00 03/02/2021
0.37%
254,950.99
254,951.81
99.61
0.52%
253,998.11
53.55
0.35%
(953.70)
Aaa / NR
AAA
4.46
2.43
TOTAL ABS 2,231,233.49 1.74%
2,231,045.81
2,231,102.10 0.33%
2,255,799.31
1,614.43
3.15%
24,697.21
Aaa / AAA
Aaa
2.94
1.07
Agency
3133EJT74 FFCB Note
3.050% Due 11/15/2021
1,600,000.00 12/11/2018
2.87%
1,607,984.00
1,601,702.86
101.84
0.09%
1,629,457.60
18,435.56
2.30%
27,754.74
Aaa / AA+
AAA
0.63
0.61
3130AAB49 FHLB Note
1.875% Due 12/10/2021
1,000,000.00 12/15/2017
2.16%
989,100.00
998,102.06
101.23
0.10%
1,012,262.00
5,781.25
1.42%
14,159.94
Aaa / AA+
AAA
0.70
0.69
3135G0S38 FNMA Note
2.000% Due 01/05/2022
1,400,000.00 09/27/2017
1.90%
1,405,418.00
1,400,969.61
101.44
0.11%
1,420,105.40
6,688.89
1.99%
19,135.79
Aaa / AA+
AAA
0.77
0.76
3133ELYR9 FFCB Note
0.250% Due 05/06/2022
1,420,000.00 04/30/2020
0.31%
1,418,196.60
1,419,011.84
100.12
0.14%
1,421,748.02
1,429.86
1.98%
2,736.18
Aaa / AA+
AAA
1.10
1.09
3130AEBM1 FHLB Note
2.750% Due 06/10/2022
1,475,000.00 Various
2.84%
1,470,268.25
1,473,565.83
103.15
0.11%
1,521,393.18
12,506.77
2.14%
47,827.35
Aaa / AA+
NR
1.19
1.17
3137EAET2 FHLMC Note
0.125% Due 07/25/2022
1,500,000.00 08/11/2020
0.19%
1,498,245.00
1,498,816.85
99.99
0.13%
1,499,823.00
343.75
2.09%
1,006.15
Aaa / AA+
AAA
1.32
1.31
3135G0W33 FNMA Note
1.375% Due 09/06/2022
1,525,000.00 Various
1.55%
1,517,278.00
1,521,272.12
101.83
0.09%
1,552,959.35
1,456.16
2.17%
31,687.23
Aaa / AA+
AAA
1.44
1.42
313383WD9 FHLB Note
3.125% Due 09/09/2022
1,000,000.00 11/05/2018
3.10%
1,000,830.00
1,000,311.18
104.25
0.17%
1,042,460.00
1,909.72
1.46%
42,148.82
Aaa / AA+
AAA
1.44
1.42
As of March 31, 2021
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
3133EKY91 FFCB Note
1.375% Due 10/11/2022
1,500,000.00 10/15/2019
1.64%
1,488,585.00
1,494,161.71
101.84
0.17%
1,527,528.00
9,739.58
2.14%
33,366.29
Aaa / AA+
AAA
1.53
1.51
3130A3KM5 FHLB Note
2.500% Due 12/09/2022
1,250,000.00 08/27/2018
2.80%
1,235,000.00
1,244,082.48
103.90
0.19%
1,298,691.25
9,722.22
1.82%
54,608.77
Aaa / AA+
NR
1.69
1.65
3130AFE78 FHLB Note
3.000% Due 12/09/2022
1,700,000.00 12/20/2018
2.77%
1,714,756.00
1,706,283.27
104.75
0.18%
1,780,690.50
15,866.67
2.50%
74,407.23
Aaa / AA+
AAA
1.69
1.64
3135G0T94 FNMA Note
2.375% Due 01/19/2023
1,500,000.00 03/18/2019
2.46%
1,495,455.00
1,497,866.90
103.98
0.16%
1,559,685.00
7,125.00
2.18%
61,818.10
Aaa / AA+
AAA
1.81
1.76
3130ADRG9 FHLB Note
2.750% Due 03/10/2023
900,000.00 03/28/2019
2.24%
917,136.00
908,413.51
104.91
0.22%
944,175.60
1,443.75
1.32%
35,762.09
Aaa / AA+
NR
1.94
1.90
3137EAER6 FHLMC Note
0.375% Due 05/05/2023
1,330,000.00 05/05/2020
0.39%
1,329,441.40
1,329,609.54
100.43
0.17%
1,335,663.14
2,022.71
1.86%
6,053.60
Aaa / AA+
AAA
2.10
2.08
3135G04Q3 FNMA Note
0.250% Due 05/22/2023
1,425,000.00 05/20/2020
0.35%
1,420,710.75
1,421,940.73
100.12
0.19%
1,426,732.80
1,276.56
1.99%
4,792.07
Aaa / AA+
AAA
2.14
2.13
3133ELG81 FFCB Note
0.300% Due 06/08/2023
1,500,000.00 06/02/2020
0.33%
1,498,875.00
1,499,180.14
100.13
0.24%
1,501,995.00
1,412.50
2.09%
2,814.86
Aaa / AA+
AAA
2.19
2.18
3133834G3 FHLB Note
2.125% Due 06/09/2023
1,500,000.00 06/10/2019
2.00%
1,507,305.00
1,504,000.48
104.21
0.20%
1,563,094.50
9,916.67
2.19%
59,094.02
Aaa / AA+
NR
2.19
2.14
3137EAES4 FHLMC Note
0.250% Due 06/26/2023
1,305,000.00 06/24/2020
0.35%
1,301,189.40
1,302,160.32
100.08
0.21%
1,306,029.65
860.94
1.82%
3,869.33
Aaa / AA+
AAA
2.24
2.23
3135G05G4 FNMA Note
0.250% Due 07/10/2023
1,460,000.00 Various
0.28%
1,458,850.00
1,459,129.58
100.07
0.22%
1,461,049.74
821.25
2.04%
1,920.16
Aaa / AA+
AAA
2.28
2.27
3133EL3V4 FFCB Note
0.200% Due 08/14/2023
1,500,000.00 08/12/2020
0.27%
1,496,880.00
1,497,526.31
99.92
0.23%
1,498,764.00
391.67
2.09%
1,237.69
Aaa / AA+
AAA
2.37
2.36
3137EAEV7 FHLMC Note
0.250% Due 08/24/2023
1,500,000.00 09/28/2020
0.22%
1,501,095.00
1,500,904.75
100.03
0.24%
1,500,444.00
385.42
2.09%
(460.75)
Aaa / AA+
AAA
2.40
2.39
3137EAEW5 FHLMC Note
0.250% Due 09/08/2023
1,490,000.00 Various
0.26%
1,489,430.30
1,489,537.41
99.98
0.26%
1,489,640.91
237.98
2.08%
103.50
Aaa / AA+
AAA
2.44
2.43
3137EAEZ8 FHLMC Note
0.250% Due 11/06/2023
1,455,000.00 11/03/2020
0.28%
1,453,690.50
1,453,866.14
99.92
0.28%
1,453,833.09
1,475.21
2.03%
(33.05)
Aaa / AA+
AAA
2.60
2.58
3135G06H1 FNMA Note
0.250% Due 11/27/2023
1,500,000.00 11/24/2020
0.27%
1,499,160.00
1,499,253.85
99.88
0.30%
1,498,189.50
1,312.50
2.09%
(1,064.35)
Aaa / AA+
AAA
2.66
2.64
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
1,500,000.00 12/09/2020
0.26%
1,499,610.00
1,499,649.79
99.85
0.31%
1,497,682.50
1,218.75
2.09%
(1,967.29)
Aaa / AA+
AAA
2.68
2.66
3135G0V34 FNMA Note
2.500% Due 02/05/2024
1,700,000.00 03/24/2020
0.82%
1,808,052.00
1,779,585.04
106.21
0.30%
1,805,644.80
6,611.11
2.53%
26,059.76
Aaa / AA+
AAA
2.85
2.75
As of March 31, 2021
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
3130A7PH2 FHLB Note
1.875% Due 03/08/2024
1,500,000.00 03/03/2020
0.85%
1,560,525.00
1,544,288.60
104.42
0.36%
1,566,292.50
1,796.88
2.18%
22,003.90
Aaa / AA+
NR
2.94
2.86
TOTAL Agency 38,435,000.00 1.23%
38,583,066.20
38,545,192.90 0.20%
39,116,035.03
122,189.33
54.67%
570,842.13
Aaa / AA+
Aaa
1.92
1.90
Corporate
09247XAH4 Blackrock Inc Note
4.250% Due 05/24/2021
1,000,000.00 04/27/2018
3.03%
1,035,570.00
1,001,683.22
100.53
0.62%
1,005,333.00
14,993.06
1.42%
3,649.78
Aa3 / AA-
NR
0.15
0.15
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
748,095.81
100.32
0.30%
752,417.25
1,840.63
1.05%
4,321.44
Aa1 / AA+
NR
0.35
0.26
084664BT7 Berkshire Hathaway Note
3.000% Due 05/15/2022
1,000,000.00 03/16/2018
2.98%
1,000,670.00
1,000,180.64
103.14
0.20%
1,031,394.00
11,333.33
1.45%
31,213.36
Aa2 / AA
A+
1.12
1.10
69371RQ33 Paccar Financial Corp Note
2.000% Due 09/26/2022
500,000.00 09/23/2019
2.04%
499,390.00
499,697.78
102.40
0.38%
512,011.00
138.89
0.71%
12,313.22
A1 / A+
NR
1.49
1.47
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
255,294.56
102.91
0.31%
262,431.47
1,935.03
0.37%
7,136.91
Aa2 / AA-
NR
1.68
1.40
89236TEL5 Toyota Motor Credit Corp Note
2.700% Due 01/11/2023
1,000,000.00 01/25/2019
3.22%
980,920.00
991,405.41
104.04
0.42%
1,040,359.00
6,000.00
1.46%
48,953.59
A1 / A+
A+
1.78
1.74
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
751,062.89
104.52
0.23%
783,872.25
4,037.50
1.10%
32,809.36
A1 / AA-
AA-
1.82
1.69
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
757,632.42
104.55
0.33%
784,092.75
3,810.42
1.10%
26,460.33
A1 / A
AA-
1.83
1.71
037833AK6 Apple Inc Note
2.400% Due 05/03/2023
750,000.00 05/29/2019
2.54%
746,205.00
747,982.00
104.47
0.26%
783,492.75
7,400.00
1.10%
35,510.75
Aa1 / AA+
NR
2.09
2.03
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
814,538.49
106.65
0.30%
853,229.60
7,177.78
1.20%
38,691.11
Aa2 / AA
AA
2.24
2.08
02665WCT6 American Honda Finance Note
3.550% Due 01/12/2024
950,000.00 08/19/2019
2.07%
1,008,634.00
987,116.60
107.91
0.67%
1,025,103.20
7,400.76
1.44%
37,986.60
A3 / A-
NR
2.79
2.65
24422EVN6 John Deere Capital Corp Note
0.450% Due 01/17/2024
615,000.00 03/01/2021
0.47%
614,563.35
614,575.01
99.95
0.47%
614,692.50
207.56
0.86%
117.49
A2 / A
A
2.80
2.77
TOTAL Corporate 9,120,000.00 2.48%
9,215,440.25
9,169,264.83 0.38%
9,448,428.77
66,274.96
13.26%
279,163.94
A1 / AA-
AA-
1.65
1.57
As of March 31, 2021
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
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 75,270.35 Various
0.35%
75,270.35
75,270.35
1.00
0.35%
75,270.35
113.48
0.11%
0.00
NR / NR
NR
0.00
0.00
TOTAL LAIF 75,270.35 0.35%
75,270.35
75,270.35 0.35%
75,270.35
113.48
0.11%
0.00
NR / NR
NR
0.00
0.00
Money Market Fund FI
94975H296 Wells Fargo Treasury Plus MMFD 453 2,086,650.20 Various
0.01%
2,086,650.20
2,086,650.20
1.00
0.01%
2,086,650.20
0.00
2.91%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund FI 2,086,650.20 0.01%
2,086,650.20
2,086,650.20 0.01%
2,086,650.20
0.00
2.91%
0.00
Aaa / AAA
NR
0.00
0.00
Supranational
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
1,086,739.01
101.59
0.21%
1,117,512.00
8,929.86
1.57%
30,772.99
Aaa / AAA
AAA
1.04
1.02
459058JM6 Intl. Bank Recon & Development Note
0.250% Due 11/24/2023
355,000.00 11/17/2020
0.32%
354,236.75
354,325.97
99.72
0.36%
354,013.10
313.09
0.49%
(312.87)
Aaa / AAA
AAA
2.65
2.63
TOTAL Supranational 1,455,000.00 2.35%
1,408,454.75
1,441,064.98 0.25%
1,471,525.10
9,242.95
2.06%
30,460.12
Aaa / AAA
Aaa
1.42
1.41
US Treasury
912828T34 US Treasury Note
1.125% Due 09/30/2021
1,250,000.00 01/10/2018
2.20%
1,202,392.58
1,243,614.92
100.54
0.05%
1,256,738.75
38.42
1.75%
13,123.83
Aaa / AA+
AAA
0.50
0.50
912828F96 US Treasury Note
2.000% Due 10/31/2021
1,500,000.00 08/29/2018
2.76%
1,465,781.25
1,493,700.44
101.13
0.06%
1,516,933.50
12,596.69
2.13%
23,233.06
Aaa / AA+
AAA
0.59
0.58
912828W55 US Treasury Note
1.875% Due 02/28/2022
1,300,000.00 02/08/2018
2.49%
1,269,226.56
1,293,075.98
101.61
0.11%
1,320,972.90
2,119.57
1.84%
27,896.92
Aaa / AA+
AAA
0.92
0.91
912828W89 US Treasury Note
1.875% Due 03/31/2022
1,250,000.00 10/24/2017
1.98%
1,244,580.08
1,248,780.69
101.77
0.10%
1,272,118.75
64.04
1.77%
23,338.06
Aaa / AA+
AAA
1.00
0.99
912828L24 US Treasury Note
1.875% Due 08/31/2022
900,000.00 10/04/2018
3.01%
862,488.28
886,400.03
102.46
0.13%
922,148.10
1,467.39
1.29%
35,748.07
Aaa / AA+
AAA
1.42
1.40
912828M80 US Treasury Note
2.000% Due 11/30/2022
950,000.00 04/29/2019
2.28%
940,759.77
945,711.40
103.08
0.15%
979,241.95
6,368.13
1.37%
33,530.55
Aaa / AA+
AAA
1.67
1.64
912828R28 US Treasury Note
1.625% Due 04/30/2023
1,500,000.00 06/19/2019
1.87%
1,486,582.03
1,492,777.14
102.98
0.19%
1,544,707.50
10,234.81
2.17%
51,930.36
Aaa / AA+
AAA
2.08
2.04
As of March 31, 2021
31
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
912828R69 US Treasury Note
1.625% Due 05/31/2023
1,500,000.00 04/11/2019
2.30%
1,460,156.25
1,479,113.10
103.07
0.20%
1,546,054.50
8,169.64
2.17%
66,941.40
Aaa / AA+
AAA
2.17
2.13
912828T91 US Treasury Note
1.625% Due 10/31/2023
1,500,000.00 09/13/2019
1.78%
1,490,917.97
1,494,313.18
103.51
0.26%
1,552,675.50
10,234.81
2.18%
58,362.32
Aaa / AA+
AAA
2.59
2.52
91282CBA8 US Treasury Note
0.125% Due 12/15/2023
750,000.00 01/08/2021
0.22%
747,861.33
748,021.53
99.54
0.29%
746,572.50
275.58
1.04%
(1,449.03)
Aaa / AA+
AAA
2.71
2.70
912828YE4 US Treasury Note
1.250% Due 08/31/2024
1,000,000.00 02/09/2021
0.26%
1,034,804.69
1,033,463.99
102.57
0.49%
1,025,742.00
1,086.96
1.43%
(7,721.99)
Aaa / AA+
AAA
3.42
3.34
912828Z52 US Treasury Note
1.375% Due 01/31/2025
1,500,000.00 02/24/2021
0.40%
1,557,011.72
1,555,622.16
102.86
0.62%
1,542,832.50
3,418.51
2.15%
(12,789.66)
Aaa / AA+
AAA
3.84
3.73
912828ZF0 US Treasury Note
0.500% Due 03/31/2025
850,000.00 03/12/2021
0.61%
846,115.23
846,159.94
99.32
0.67%
844,222.55
11.61
1.18%
(1,937.39)
Aaa / AA+
AAA
4.00
3.95
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
1,000,000.00 01/26/2021
0.33%
1,001,953.13
1,001,872.69
98.71
0.70%
987,070.00
1,574.59
1.38%
(14,802.69)
Aaa / AA+
AAA
4.08
4.03
TOTAL US Treasury 16,750,000.00 1.69%
16,610,630.87
16,762,627.19 0.27%
17,058,031.00
57,660.75
23.85%
295,403.81
Aaa / AA+
Aaa
2.13
2.09
TOTAL PORTFOLIO 70,153,154.04 1.51%
70,210,558.43
70,311,172.55 0.24%
71,511,739.76
257,095.90
100.00%
1,200,567.21
Aaa / AA+
Aaa
1.90
1.81
TOTAL MARKET VALUE PLUS ACCRUALS 71,768,835.66
As of March 31, 2021
32
Holdings Report
Danville NERIAD Improvement Fund (89-1 90A) -Account #24
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Money Market Fund FI
94975H296 Wells Fargo Treasury Plus MMFD 453 12,663.61 03/31/2021
0.01%
12,663.61
12,663.61
1.00
0.01%
12,663.61
0.00
1.46%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund FI 12,663.61 0.01%
12,663.61
12,663.61 0.01%
12,663.61
0.00
1.46%
0.00
Aaa / AAA
NR
0.00
0.00
US Treasury
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
166.30
25.99%
0.00
P-1 / A-1+
F-1+
0.29
0.29
9127964W6 US Treasury Bill
0.103% Due 11/04/2021
250,000.00 11/30/2020
0.10%
249,758.70
249,758.70
99.90
0.10%
249,758.70
86.84
28.87%
0.00
P-1 / A-1+
F-1+
0.60
0.60
912828G53 US Treasury Note
1.875% Due 11/30/2021
125,000.00 12/18/2020
0.11%
127,075.20
126,465.91
101.21
0.06%
126,513.63
785.54
14.71%
47.72
Aaa / AA+
AAA
0.67
0.66
912828ZG8 US Treasury Note
0.375% Due 03/31/2022
250,000.00 03/30/2021
0.08%
250,742.19
250,740.16
100.29
0.09%
250,722.75
2.56
28.97%
(17.41)
Aaa / AA+
AAA
1.00
1.00
TOTAL US Treasury 850,000.00 0.10%
852,330.05
851,718.73 0.10%
851,749.04
1,041.24
98.54%
30.31
Aaa / AAA
Aaa
0.65
0.64
TOTAL PORTFOLIO 862,663.61 0.10%
864,993.66
864,382.34 0.10%
864,412.65
1,041.24
100.00%
30.31
Aaa / AAA
Aaa
0.64
0.63
TOTAL MARKET VALUE PLUS ACCRUALS 865,453.89
As of March 31, 2021
33
SECTION |Section 4 |Transactions
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
ACQUISITIONS
Purchase 01/11/2021 91282CBA8 750,000.00 US Treasury Note
0.125% Due: 12/15/2023
99.715 0.22%747,861.33 69.54 747,930.87 0.00
Purchase 01/27/2021 912828ZL7 1,000,000.00 US Treasury Note
0.375% Due: 04/30/2025
100.195 0.33%1,001,953.13 911.60 1,002,864.73 0.00
Purchase 02/10/2021 912828YE4 1,000,000.00 US Treasury Note
1.25% Due: 08/31/2024
103.480 0.26%1,034,804.69 5,628.45 1,040,433.14 0.00
Purchase 02/25/2021 912828Z52 1,500,000.00 US Treasury Note
1.375% Due: 01/31/2025
103.801 0.40%1,557,011.72 1,424.38 1,558,436.10 0.00
Purchase 03/04/2021 24422EVN6 615,000.00 John Deere Capital Corp Note
0.45% Due: 01/17/2024
99.929 0.47%614,563.35 0.00 614,563.35 0.00
Purchase 03/10/2021 47788UAC6 255,000.00 John Deere Owner Trust 2021-A A3
0.36% Due: 09/15/2025
99.981 0.37%254,950.99 0.00 254,950.99 0.00
Purchase 03/15/2021 912828ZF0 850,000.00 US Treasury Note
0.5% Due: 03/31/2025
99.543 0.61%846,115.23 1,938.19 848,053.42 0.00
Subtotal 5,970,000.00 6,057,260.44 9,972.16 6,067,232.60 0.00
TOTAL ACQUISITIONS 5,970,000.00 6,057,260.44 9,972.16 6,067,232.60 0.00
DISPOSITIONS
Sale 02/10/2021 3135G0U92 1,000,000.00 FNMA Note
2.625% Due: 01/11/2022
102.342 0.08%1,023,420.00 2,114.58 1,025,534.58 23,054.09
Sale 02/25/2021 912828Q78 1,500,000.00 US Treasury Note
1.375% Due: 04/30/2021
100.238 0.03%1,503,574.22 6,666.09 1,510,240.31 4,270.69
Sale 03/03/2021 912828Q37 1,500,000.00 US Treasury Note
1.25% Due: 03/31/2021
100.094 0.03%1,501,406.25 7,932.69 1,509,338.94 1,841.20
Sale 03/26/2021 68389XBB0 1,000,000.00 Oracle Corp Callable Note Cont 3/15/2022
2.5% Due: 05/15/2022
101.968 0.76%1,019,680.00 9,097.22 1,028,777.22 12,580.74
Subtotal 5,000,000.00 5,048,080.47 25,810.58 5,073,891.05 41,746.72
December 31, 2020 through March 31, 2021
As of March 31, 2021
35
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
Call 03/30/2021 69353REW4 910,000.00 PNC Bank Callable Note Cont 3/30/2021
2.15% Due: 04/29/2021
100.000 2.15%910,000.00 8,206.43 918,206.43 609.19
Subtotal 910,000.00 910,000.00 8,206.43 918,206.43 609.19
Maturity 01/25/2021 45950KCM0 1,000,000.00 International Finance Corp Note
2.25% Due: 01/25/2021
100.000 1,000,000.00 0.00 1,000,000.00 0.00
Subtotal 1,000,000.00 1,000,000.00 0.00 1,000,000.00 0.00
TOTAL DISPOSITIONS 6,910,000.00 6,958,080.47 34,017.01 6,992,097.48 42,355.91
December 31, 2020 through March 31, 2021
As of March 31, 2021
36
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 03/31/2021 912828ZG8 250,000.00 US Treasury Note
0.375% Due: 03/31/2022
100.297 0.08%250,742.19 0.00 250,742.19 0.00
Subtotal 250,000.00 250,742.19 0.00 250,742.19 0.00
TOTAL ACQUISITIONS 250,000.00 250,742.19 0.00 250,742.19 0.00
DISPOSITIONS
Maturity 03/31/2021 912828Q37 250,000.00 US Treasury Note
1.25% Due: 03/31/2021
100.000 250,000.00 0.00 250,000.00 0.00
Subtotal 250,000.00 250,000.00 0.00 250,000.00 0.00
TOTAL DISPOSITIONS 250,000.00 250,000.00 0.00 250,000.00 0.00
December 31, 2020 through March 31, 2021
As of March 31, 2021
37
Important Disclosures
2021 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 materiallyalter 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,theincurrence of whichwould have the effect of decreasing historical performance results.It is not possible to invest directlyin 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 anyand
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 notsponsor,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 declinedue to economic conditions,especially during periods of rising interest rates.
Ratingsinformation have been providedby Moody’s,S&P and Fitch through data feeds we believe to be reliable as of the date of this statement,howeverwe 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 March 31, 2021
38
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 $1 billion. Qualifying securities
must have at least 18 months to final maturity at the time of issuance. (Index: G1O2. Please visit www.mlindex.ml.com for more information)
ICE BAML 3-Month US Treasury Bill Index
The ICE BAML US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a
newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. (Index: G0O1.
Please visit www.mlindex.ml.com for more information)
As of March 31, 2021
39
Supplement to Quarterly Investment Report
Town Managed Cash Account
Average Average
Maturity Yield Cost
Town Funds 0 0.407%14,034,291
Trust Fund 0 0.407%1,159,816
.
Community Development Agency DS/Successor Agency 0 0.407%28,460
NERIAD 0 0.407%411,212
Total LAIF Funds Managed by the Town 15,633,778$
LAIF Funds Managed/Reported by Chandler Investments 75,270
Total LAIF Funds 15,709,048$
LAIF Funds Managed by the Town
(Local Agency Investment Fund)
FEBRUARY 2021