HomeMy WebLinkAbout072021-08.1CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending June 30, 2021
Town of Danville
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of June 30, 2021
1
SECTION |Section 1 |Economic Update
2
Economic Update
▪
▪
▪
The US economy continues to recover and while some pockets of the economy remain dislocated, real gross domestic
product (GDP)is approaching pre-pandemiclevels. The recovery has been fueled by robust fiscal spending, accommodative
monetary policy, and a swift vaccine rollout. These factors are beginning to moderate but should continue to provide
tailwinds for the economy in the coming quarters. Vaccinations have slowed down, and infection rates in the US have
recently ticked up but remain well below their peak. Some pandemic-related fiscal relief is starting to phase out,but
President Biden and a group of bipartisan senators have agreed to an overall framework for a roughly $1 trillion
infrastructure plan (including about $579 billion in new federal spending above previously approved levels). Though the
details still need to be hashed out and a deal would need full congressional approval, the negotiations signal that more
fiscal stimulus is likely on the horizon. Meanwhile, the Federal Reserve continues to signal that it will look past any near-
term uptick in inflation to facilitate continued improvement in the labor market. Estimates for US GDP growth remain
strong. The current Bloomberg consensus estimate for 2021 and 2022 US GDP growth are 6.6% and 4.1%, respectively.
The Federal Open Market Committee (FOMC) kept monetary policy unchanged at its June meeting. The fed funds target
rate remains in the range of 0.0%to 0.25%, and the Fed continues to purchase $80 billion of Treasuries permonth, and $40
billion of agency mortgage-backed securities per month. The Fed has started to discuss the idea of reducing its asset
purchases at some point,but that decision remains uncertain. FOMC members’updated economicprojections also suggest
thatthe Fed may start to raise interest rates in 2023,versus the previous estimate of 2024,as the economy may be on track
to reach their employment and inflation goals at a faster than expected pace. Overall, monetary policy remains highly
accommodative fornow,but the Fed seems to be inching toward apath of policy normalization.We anticipate the Fed will
remain on the sidelines over the near-term,but we believe the probability that the Fed will begin tapering its asset
purchases during the first half of next year has increased.
The yield curve flattened in June.We believe multiple factors influenced Treasury rates in the month, including market
technicals, dollar strengthening, uneven global vaccination rates, and a more modest forecast for U.S. infrastructure
spending than initially expected. Nevertheless,we believe longer-term rates have room to move higher this year and we
believe the Treasury yield curve is poised to steepen in the second half of the year.
3
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.In June 2021,the Fed announced plans to gradually unwind its corporate credit facility and expects
to sell the full portfolio by year-end.
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
8,500,000
Federal Reserve Balance Sheet Assets
In
$
m
i
l
l
i
o
n
s
4
Source: US Department of Labor Source: US Department of Labor
Employment
Job growth was stronger than expected in June. U.S. nonfarm payrolls increased by 850,000, versus the consensus forecast of 720,000. May
payrolls were also revised up by 24,000 to 583,000.On a trailing 3-month and 6-month basis, payrolls increased by an average of 567,000 and
543,000 per month, respectively, which is indicative of a steady recovery in the labor market. The leisure and hospitality sectors continue to
drive the job gains in June and increased by 343,000. Government payrolls also posted a solid increase of 188,000 in June. The labor
participation rate was unchanged at 61.6%in June and is 1.7% lowerthan the pre-pandemic level. The employment-population ratio was also
unchanged in the month at 58.0% and is 3.1% below the pre-pandemic level. The unemployment rate ticked higher to 5.9%in June from 5.8%
in May and remains well above the pre-pandemiclow of 3.5%in February 2020.The U-6underemployment rate, which includes those who are
marginally attached to the laborforce and employed parttime foreconomic reasons, declined to 9.8%in June from 10.2%in May (versus 7.0%
in February 2020). The index of aggregate private weekly payrolls was up 2.8%in June from February 2020,suggesting a solid increase in
aggregate wages.
-22,000
-18,000
-14,000
-10,000
-6,000
-2,000
2,000
6,000
M
O
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
(
%
)
5
Initial Claims for Unemployment
373 371 416 418 374 388 405 444 478 507 590 566 586 742
3,339 3,484 3,412 3,528 3,517
3,769 3,611 3,738 3,640 3,680 3,653 3,652 3,708
-
1,000
2,000
3,000
4,000
5,000
6,000
In
t
h
o
u
s
a
n
d
s
Initial Jobless Claims
Continuing Claims
Initial Claims For Unemployment April 02, 2021 -July 02, 2021
In the most recent week, the number of initial jobless claims was 373,000 versus 371,000 in the prior week. The level of continuing
unemployment claims (where the data is lagged by one week) declined modestly to 3.339 million versus 3.484 million in the prior week.
Although continuing jobless claims have declined significantly from the peak of nearly 25 million lastMay, they remained above the 2019 (pre-
pandemic) average of 1.7 million.
Source: US Department of Labor
6
Source: US Department of Labor Source: US Department of Commerce
Inflation
The Consumer Price Index (CPI) was up 5.0% year-over-year in May versus up 4.2%in April. Core CPI (CPI less food and energy) was up 3.8%
year-over-year in May, versus up 3.0%in April. The Personal Consumption Expenditures (PCE) index was up 3.9% year-over-year in May, versus
up 3.6% year-over-year in April. Core PCEwas up 3.4% year-over-year in May, versus up 3.1% year-over-year in April. Current inflation readings
are running well above the Fed’s longer-run target of around 2.0%. However, the Fed believes that much (if not all)of the recent pricing
pressure have been caused by pandemic-related factors (e.g., base effects and supply chain disruptions). Fed policymakers have reiterated
that they believe most of those factors will be temporary.
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
Y
O
Y
(
%
)
C
h
a
n
g
e
7
On ayear-over-yearbasis, retail sales were up 28.1%in May versus up 53.4%in April. The year-over-yeargains are distorted by the drop-off in
spending and activity at the early stage of the pandemic last year.On a month-over-month basis, retail sales declined 1.3%in May, following a
0.9% increase in April. Retail sales have been somewhat uneven on a monthly basis due to the timing of fiscal stimulus and economic
reopening. Overall,we believe consumer spending remains healthy and consistent with an ongoing recovery in economic activity. The
Consumer Confidence index jumped to 127.3 in June from 120.0 in May, reflecting a strong view of current conditions and a more upbeat
outlook.
Source: US Department of Commerce Source: The Conference Board
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Retail Sales YOY % Change
Y
O
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
8
Source: The Conference Board Source: Federal Reserve Bank of Chicago
Economic Activity
The Conference Board’s Leading Economic Index (LEI) increased 1.3% month-over-month in May (in line with expectations), following a1.3%
increase in April.On a year-over-year basis, the LEI was up 14.7%in May against a severe decline in the index during the early stage of the
pandemic last year. According to the Conference Board, the index suggests that economic growth will remain strong in the near term.
Meanwhile, the Chicago Fed National Activity Index (CFNAI) increased to 0.29 in May from -0.09 in April.On a 3-month moving average basis,
the CFNAI increased to 0.81 in May from 0.17 in April, and it continues to signal above-trend economic 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)
M
O
M
(
%
)
C
h
a
n
g
e
9
Source: US Department of Commerce Source: S&P
Housing
0
200
400
600
800
1000
1200
1400
1600
1800
2000
M
O
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%
14.0%
16.0%
S&P/Case-Shiller 20 City Composite Home Price Index
YO
Y
(
%
)
C
h
a
n
g
e
Total housing starts rose 3.6%in May to an annual pace of 1,572,000. Single-family starts rose 4.2%in May while multi-family starts were up
2.4%.On a year-over-year basis, housing starts were up 50.3%in May,due in part to the steep decline in activity during the early stage of the
pandemiclast year. According to the Case-Shiller20-City home price index, home prices were up 14.9% year-over-year in April versus up 13.4%
year-over-year in March. Low inventory and strong demand continue to put upward pressure on home prices.
10
Source: Institute for Supply Management Source: Federal Reserve
Manufacturing
The Institute for Supply Management (ISM) manufacturing index eased slightly to 60.6 in June from 61.2 in May. The index continues to point to
strength in manufacturing,as readings above 50.0 are indicative of expansion in the manufacturing sector.We believe a weaker US dollarhas
been supportive of the US manufacturing sector during the pandemic, though the dollar index has been creeping highersince the end of May.
The Industrial Production index was up 16.3% year-over-year in May, versus up 17.6%in April. The year-over-year rates are distorted by the
effects of the pandemic last year.On a month-over-month basis, the Industrial Production index increased 0.8%in May, following a 0.1%
increase in April. Capacity Utilization increased to 75.2%in May from 74.6%in April but remains well below the long-run average of 79.8%. Chip
shortages continue to weigh on activity in the manufacturing sector.
40
42
44
46
48
50
52
54
56
58
60
62
64
66
Institute of Supply Management Purchasing Manager
Index
EXPANDING
CONTRACTING
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Industrial Production
YO
Y
(
%
)
C
h
a
n
g
e
11
Source: US Department of Commerce Source: US Department of Commerce
6/20 9/20 12/20 3/21
-24.0% 25.4% 1.6% 7.4%
-8.8% 12.0% 4.4% -0.6%
0.6% -3.2% -1.5% -1.5%
1.2% -0.4% -0.1% 0.9%
-0.4% -0.4% -0.1% 0.1%
-31.4% 33.4% 4.3% 6.4%
Components of GDP
Federal Government Expenditures
State and Local (Consumption and Gross
Investment)
Net Exports and Imports
Total
Gross Private Domestic Investment
Personal Consumption Expenditures
-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)
US economic growth accelerated in the first quarter. According to the third estimate, real US gross domestic product (GDP) grew at an
annualized rate of 6.4%in the first quarter, following 4.3% growth in the fourth quarter of 2020.Economic growth is believed to have
accelerated even further in the second quarter to an annualized rate of 9.2%. The consensus forecast for full year 2021 US gross domestic
product growth is 6.6%, following a 3.5% decline in 2020.
12
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%
3.0%
US Treasury Yield Curve
Jun-21
Mar-21
Jun-20
Yi
e
l
d
(
%
)
Bond Yields
The treasury yield curve is steeper on a year-over-year basis. The 3-month T-bill yield was about nine basis points lower, while the 2-year
Treasury yield was about ten basis points higher, and the 10-Year Treasury yield was about 81 basis points higher, year-over-year,as of June
month-end. The Fed has signaled plans to keep the front end of the Treasury yield curve anchored near zero until 2023.We believe longer-
term rates still have room to move higher this year.
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 June 30, 2021
15
Compliance As of June 30, 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
16
Portfolio Characteristics
Danville Short Term Treasury Pool
6/30/2021 3/31/2021
Benchmark*Portfolio Portfolio
Average Maturity (yrs)1.86 1.96 1.90
Average Modified Duration 1.83 1.83 1.81
Average Purchase Yield n/a 1.42%1.49%
Average Market Yield 0.24%0.30%0.24%
Average Quality**NR AA+/Aa1 AA+/Aaa
Total Market Value 74,767,650 71,768,836
*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 June 30, 2021
17
Danville Short Term Treasury Pool
Sector Distribution
ABS
4.6%
Agency
48.4%
Corporate
15.0%
LAIF
0.1%
Money Market
Fund
0.2%
Supranational
2.0%
US Treasury
29.8%
June 30, 2021 March 31, 2021
ABS
3.2%
Agency
54.7%
Corporate
13.3%
LAIF
0.1%
Money Market
Fund
2.9%
Supranational
2.1%
US Treasury
23.9%
As of June 30, 2021
18
Issue Name Investment Type % Portfolio
Government of United States US Treasury 29.79%
Federal National Mortgage Association Agency 14.37%
Federal Home Loan Bank Agency 14.31%
Federal Home Loan Mortgage Corp Agency 11.48%
Federal Farm Credit Bank Agency 8.23%
Apple Inc Corporate 2.05%
Deere & Company Corporate 1.54%
Inter-American Dev Bank Supranational 1.50%
Toyota Motor Corp Corporate 1.40%
Honda Motor Corporation Corporate 1.39%
Berkshire Hathaway Corporate 1.37%
Toyota ABS ABS 1.37%
Caterpillar Inc Corporate 1.21%
Wal-Mart Stores Corporate 1.13%
John Deere ABS ABS 1.10%
Bank of New York Corporate 1.06%
US Bancorp Corporate 1.05%
JP Morgan Chase & Co Corporate 1.00%
Honda ABS ABS 0.83%
Nissan ABS ABS 0.77%
Amazon.com Inc Corporate 0.76%
Paccar Financial Corporate 0.69%
Mercedes-Benz Auto Lease Trust ABS 0.48%
Intl Bank Recon and Development Supranational 0.47%
ChevronTexaco Corp Corporate 0.35%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund 0.19%
Local Agency Investment Fund LAIF 0.10%
TOTAL 100.00%
Issuers
Danville Short Term Treasury Pool –Account #21
As of June 30, 2021
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+
June 30, 2021 March 31, 2021
June 30, 2021 vs. March 31, 2021
0 -0.25 0.25 -0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
06/30/21 1.5%7.2%12.0%36.7%34.7%7.9%0.0%0.0%
03/31/21 4.5%3.1%12.6%31.5%42.2%4.8%1.4%0.0%
Danville Short Term Treasury Pool
Duration Distribution As of June 30, 2021
20
Purchase Yield as of 6/30/2021 = 1.42%
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 June 30, 2021
21
Growth of $1 Million
Growth Over Time As of June 31, 2021
As of 06/30/2021 Dollar Value Return
Danville Total Return $2,549,261 3.63%
Danville Realized Return $2,475,642 3.51%
LAIF $1,988,376 2.65%
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%
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 0.01%0.26%2.17%2.78%1.77%1.38%3.63%
ICE BAML 1-3 Yr US Treasury Index -0.03%0.07%2.05%2.68%1.60%1.20%3.38%
REALIZED RATE OF RETURN
Danville Short Term Treasury Pool 0.38%1.74%1.92%1.90 1.68%1.47%3.51%
Investment Performance
Danville Short Term Treasury Pool
As of June 30, 2021
23
Portfolio Characteristics
Danville NERIAD Improvement Fund (89-1 90A)
6/30/2021 3/31/2021
Benchmark*Portfolio Portfolio
Average Maturity (yrs)0.15 0.39 0.64
Average Modified Duration 0.15 0.39 0.63
Average Purchase Yield n/a 0.10%0.10%
Average Market Yield 0.04%0.10%0.10%
Average Quality**NR AAA/Aaa AAA/Aaa
Total Market Value 865,634 865,454
*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 June 30, 2021
24
Issue Name Investment Type % Portfolio
Government of United States US Treasury 98.40%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund 1.60%
TOTAL 100.00%
Issuers
Danville NERIAD Improvement Fund (89-1 90A) –Account #24
As of June 30, 2021
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
15,648.04 05/22/2018
3.030%
15,647.69
15,647.96
100.20
0.16%
15,679.38
17.01
0.02%
31.42
NR / AAA
AAA
0.88
0.07
43815HAC1 Honda Auto Receivables Trust 2018-3 A3
2.950% Due 08/22/2022
102,111.29 08/21/2018
2.981%
102,097.27
102,107.27
100.52
0.30%
102,641.04
83.67
0.14%
533.77
Aaa / NR
AAA
1.15
0.20
43815NAC8 Honda Auto Receivables Trust 2019-3 A3
1.780% Due 08/15/2023
500,352.09 08/20/2019
1.787%
500,347.94
500,350.45
100.92
0.23%
504,958.83
395.83
0.68%
4,608.38
Aaa / AAA
NR
2.13
0.59
477870AC3 John Deere Owner Trust 2019-B A3
2.210% Due 12/15/2023
193,165.72 07/16/2019
2.230%
193,124.71
193,142.80
101.30
0.09%
195,684.41
189.73
0.26%
2,541.61
Aaa / NR
AAA
2.46
0.61
65479JAD5 Nissan Auto Receivables Owner 2019-C A3
1.930% Due 07/15/2024
570,000.00 10/16/2019
1.940%
569,969.90
569,980.65
101.24
0.29%
577,089.09
488.93
0.77%
7,108.44
Aaa / AAA
NR
3.04
0.76
47789KAC7 John Deere Owner Trust 2020-A A3
1.100% Due 08/15/2024
370,000.00 03/04/2020
1.105%
369,977.39
369,984.06
100.77
0.34%
372,847.89
180.89
0.50%
2,863.83
Aaa / NR
AAA
3.13
1.01
58769KAD6 Mercedes-Benz Auto Lease Trust 2021-B A3
0.400% Due 11/15/2024
360,000.00 06/22/2021
0.404%
359,972.82
359,972.88
99.95
0.42%
359,822.16
8.00
0.48%
(150.72)
NR / AAA
AAA
3.38
2.06
47788UAC6 John Deere Owner Trust 2021-A A3
0.360% Due 09/15/2025
255,000.00 03/02/2021
0.368%
254,950.99
254,955.20
99.87
0.43%
254,669.78
40.80
0.34%
(285.42)
Aaa / NR
AAA
4.21
1.92
89190GAC1 Toyota Auto Receivables Trust 2021-B A3
0.260% Due 11/17/2025
1,025,000.00 06/08/2021
0.265%
1,024,889.61
1,024,891.23
99.78
0.36%
1,022,748.08
125.85
1.37%
(2,143.15)
NR / AAA
AAA
4.39
2.17
TOTAL ABS 3,391,277.14 1.09%
3,390,978.32
3,391,032.50 0.32%
3,406,140.66
1,530.71
4.56%
15,108.16
Aaa / AAA
Aaa
3.34
1.38
Agency
3133EJT74 FFCB Note
3.050% Due 11/15/2021
1,600,000.00 12/11/2018
2.870%
1,607,984.00
1,601,023.21
101.10
0.11%
1,617,659.20
6,235.56
2.17%
16,635.99
Aaa / AA+
AAA
0.38
0.37
3130AAB49 FHLB Note
1.875% Due 12/10/2021
1,000,000.00 12/15/2017
2.162%
989,100.00
998,784.72
100.80
0.07%
1,008,024.00
1,093.75
1.35%
9,239.28
Aaa / AA+
AAA
0.45
0.44
3135G0S38 FNMA Note
2.000% Due 01/05/2022
1,400,000.00 09/27/2017
1.905%
1,405,418.00
1,400,653.36
100.98
0.09%
1,413,724.20
13,688.89
1.91%
13,070.84
Aaa / AA+
AAA
0.52
0.51
3130AEBM1 FHLB Note
2.750% Due 06/10/2022
1,475,000.00 Various
2.836%
1,470,268.25
1,473,865.84
102.48
0.12%
1,511,582.95
2,366.15
2.02%
37,717.11
Aaa / AA+
NR
0.95
0.94
3135G0W33 FNMA Note
1.375% Due 09/06/2022
1,525,000.00 Various
1.550%
1,517,278.00
1,521,920.75
101.44
0.16%
1,546,926.45
6,698.35
2.08%
25,005.70
Aaa / AA+
AAA
1.19
1.17
313383WD9 FHLB Note
3.125% Due 09/09/2022
1,000,000.00 11/05/2018
3.101%
1,000,830.00
1,000,257.34
103.55
0.14%
1,035,506.00
9,722.22
1.40%
35,248.66
Aaa / AA+
AAA
1.19
1.17
As of June 30, 2021
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
3133EKY91 FFCB Note
1.375% Due 10/11/2022
1,500,000.00 10/15/2019
1.637%
1,488,585.00
1,495,113.84
101.59
0.14%
1,523,785.50
4,583.33
2.04%
28,671.66
Aaa / AA+
AAA
1.28
1.27
3130A3KM5 FHLB Note
2.500% Due 12/09/2022
1,250,000.00 08/27/2018
2.799%
1,235,000.00
1,244,955.24
103.32
0.19%
1,291,527.50
1,909.72
1.73%
46,572.26
Aaa / AA+
NR
1.44
1.42
3130AFE78 FHLB Note
3.000% Due 12/09/2022
1,700,000.00 12/20/2018
2.766%
1,714,756.00
1,705,356.56
104.04
0.20%
1,768,613.70
3,116.67
2.37%
63,257.14
Aaa / AA+
AAA
1.44
1.42
3135G0T94 FNMA Note
2.375% Due 01/19/2023
1,500,000.00 03/18/2019
2.458%
1,495,455.00
1,498,161.90
103.37
0.20%
1,550,569.50
16,031.25
2.10%
52,407.60
Aaa / AA+
AAA
1.56
1.52
3130ADRG9 FHLB Note
2.750% Due 03/10/2023
900,000.00 03/28/2019
2.243%
917,136.00
907,332.12
104.27
0.22%
938,442.60
7,631.25
1.27%
31,110.48
Aaa / AA+
NR
1.69
1.65
3137EAER6 FHLMC Note
0.375% Due 05/05/2023
1,330,000.00 05/05/2020
0.389%
1,329,441.40
1,329,656.05
100.25
0.24%
1,333,363.57
775.83
1.78%
3,707.52
Aaa / AA+
AAA
1.85
1.84
3135G04Q3 FNMA Note
0.250% Due 05/22/2023
1,425,000.00 05/20/2020
0.351%
1,420,710.75
1,422,297.18
99.99
0.26%
1,424,850.38
385.94
1.91%
2,553.20
Aaa / AA+
AAA
1.89
1.89
3133ELG81 FFCB Note
0.300% Due 06/08/2023
1,500,000.00 06/02/2020
0.325%
1,498,875.00
1,499,273.63
100.07
0.27%
1,501,014.00
287.50
2.01%
1,740.37
Aaa / AA+
AAA
1.94
1.93
3133834G3 FHLB Note
2.125% Due 06/09/2023
1,500,000.00 06/10/2019
1.998%
1,507,305.00
1,503,544.85
103.35
0.39%
1,550,293.50
1,947.92
2.08%
46,748.65
Aaa / AA+
NR
1.94
1.91
3137EAES4 FHLMC Note
0.250% Due 06/26/2023
1,305,000.00 06/24/2020
0.348%
1,301,189.40
1,302,477.00
99.99
0.26%
1,304,826.44
45.31
1.75%
2,349.44
Aaa / AA+
AAA
1.99
1.98
3135G05G4 FNMA Note
0.250% Due 07/10/2023
1,460,000.00 Various
0.276%
1,458,850.00
1,459,225.02
99.99
0.26%
1,459,833.56
1,733.75
1.95%
608.54
Aaa / AA+
AAA
2.03
2.02
3133EL3V4 FFCB Note
0.200% Due 08/14/2023
1,500,000.00 08/12/2020
0.270%
1,496,880.00
1,497,786.54
99.78
0.30%
1,496,722.50
1,141.67
2.00%
(1,064.04)
Aaa / AA+
AAA
2.12
2.11
3137EAEV7 FHLMC Note
0.250% Due 08/24/2023
1,500,000.00 09/28/2020
0.225%
1,501,095.00
1,500,810.65
99.98
0.26%
1,499,644.50
1,322.92
2.01%
(1,166.15)
Aaa / AA+
AAA
2.15
2.14
3137EAEW5 FHLMC Note
0.250% Due 09/08/2023
1,490,000.00 Various
0.263%
1,489,430.30
1,489,584.71
99.90
0.30%
1,488,524.90
1,169.23
1.99%
(1,059.81)
Aaa / AA+
AAA
2.19
2.18
3137EAEZ8 FHLMC Note
0.250% Due 11/06/2023
1,455,000.00 11/03/2020
0.280%
1,453,690.50
1,453,974.86
99.89
0.30%
1,453,431.51
555.73
1.94%
(543.35)
Aaa / AA+
AAA
2.35
2.34
3135G06H1 FNMA Note
0.250% Due 11/27/2023
1,500,000.00 11/24/2020
0.269%
1,499,160.00
1,499,323.85
99.81
0.33%
1,497,178.50
354.17
2.00%
(2,145.35)
Aaa / AA+
AAA
2.41
2.40
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
1,500,000.00 12/09/2020
0.259%
1,499,610.00
1,499,682.41
99.87
0.30%
1,498,039.50
281.25
2.00%
(1,642.91)
Aaa / AA+
AAA
2.43
2.42
3135G0V34 FNMA Note
2.500% Due 02/05/2024
1,700,000.00 03/24/2020
0.824%
1,808,052.00
1,772,621.35
105.46
0.38%
1,792,843.80
17,236.11
2.42%
20,222.45
Aaa / AA+
AAA
2.60
2.50
As of June 30, 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
3130A7PH2 FHLB Note
1.875% Due 03/08/2024
1,500,000.00 03/03/2020
0.850%
1,560,525.00
1,540,529.03
103.87
0.43%
1,558,021.50
8,828.13
2.10%
17,492.47
Aaa / AA+
NR
2.69
2.62
TOTAL Agency 35,515,000.00 1.29%
35,666,624.60
35,618,212.01 0.24%
36,064,949.76
109,142.60
48.38%
446,737.75
Aaa / AA+
Aaa
1.73
1.71
Corporate
037833CC2 Apple Inc Callable Note Cont 7/4/2021
1.550% Due 08/04/2021
750,000.00 11/21/2017
2.328%
729,450.00
749,482.06
100.01
0.86%
750,057.00
4,746.88
1.01%
574.94
Aa1 / AA+
NR
0.10
0.01
084664BT7 Berkshire Hathaway Note
3.000% Due 05/15/2022
1,000,000.00 03/16/2018
2.982%
1,000,670.00
1,000,140.45
102.37
0.29%
1,023,651.00
3,833.33
1.37%
23,510.55
Aa2 / AA
A+
0.87
0.87
69371RQ33 Paccar Financial Corp Note
2.000% Due 09/26/2022
500,000.00 09/23/2019
2.042%
499,390.00
499,748.43
102.03
0.35%
510,161.00
2,638.89
0.69%
10,412.57
A1 / A+
NR
1.24
1.22
166764AB6 Chevron Corp Callable Note Cont 9/5/2022
2.355% Due 12/05/2022
255,000.00 06/19/2019
2.283%
255,606.90
255,250.83
102.39
0.32%
261,096.29
433.71
0.35%
5,845.46
Aa2 / AA-
NR
1.43
1.17
89236TEL5 Toyota Motor Credit Corp Note
2.700% Due 01/11/2023
1,000,000.00 01/25/2019
3.218%
980,920.00
992,608.65
103.61
0.33%
1,036,115.00
12,750.00
1.40%
43,506.35
A1 / A+
A+
1.53
1.49
90331HNL3 US Bank NA Callable Note Cont 12/23/2022
2.850% Due 01/23/2023
750,000.00 04/29/2019
2.766%
752,190.00
750,916.78
103.74
0.32%
778,033.50
9,381.25
1.05%
27,116.72
A1 / AA-
AA-
1.57
1.44
06406RAE7 Bank of NY Mellon Corp Callable Note Cont 12/29/2022
2.950% Due 01/29/2023
750,000.00 07/25/2019
2.366%
764,625.00
756,592.68
103.95
0.31%
779,598.00
9,341.67
1.06%
23,005.32
A1 / A
AA-
1.58
1.46
037833AK6 Apple Inc Note
2.400% Due 05/03/2023
750,000.00 05/29/2019
2.536%
746,205.00
748,223.00
103.75
0.36%
778,112.25
2,900.00
1.04%
29,889.25
Aa1 / AA+
NR
1.84
1.80
931142EK5 Wal-Mart Stores Callable Note Cont 5/26/2023
3.400% Due 06/26/2023
800,000.00 03/27/2019
2.536%
827,616.00
812,917.16
105.98
0.25%
847,804.80
377.78
1.13%
34,887.64
Aa2 / AA
AA
1.99
1.86
02665WCT6 American Honda Finance Note
3.550% Due 01/12/2024
950,000.00 08/19/2019
2.072%
1,008,634.00
983,792.18
107.54
0.55%
1,021,668.00
15,832.01
1.39%
37,875.82
A3 / A-
NR
2.54
2.41
24422EVN6 John Deere Capital Corp Note
0.450% Due 01/17/2024
615,000.00 03/01/2021
0.475%
614,563.35
614,612.88
99.90
0.49%
614,369.01
899.44
0.82%
(243.87)
A2 / A
A
2.55
2.53
023135BW5 Amazon.com Inc Callable Note Cont 11/12/2021
0.450% Due 05/12/2024
570,000.00 05/10/2021
0.499%
569,167.80
569,205.77
99.81
0.52%
568,934.10
349.13
0.76%
(271.67)
A1 / AA
AA-
2.87
2.84
14913R2L0 Caterpillar Financial Service Note
0.450% Due 05/17/2024
905,000.00 05/10/2021
0.495%
903,787.30
903,837.09
99.70
0.56%
902,268.71
497.75
1.21%
(1,568.38)
A2 / A
A
2.88
2.86
24422EVQ9 John Deere Capital Corp Note
0.450% Due 06/07/2024
540,000.00 06/07/2021
0.492%
539,325.00
539,337.97
99.70
0.55%
538,391.34
141.75
0.72%
(946.63)
A2 / A
A
2.94
2.91
As of June 30, 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
46647PCH7 JP Morgan Chase & Co Callable Note Cont 6/1/2024
0.824% Due 06/01/2025
750,000.00 05/24/2021
0.735%
750,972.00
750,952.04
99.82
0.89%
748,620.00
515.00
1.00%
(2,332.04)
A2 / A-
AA-
3.92
2.88
TOTAL Corporate 10,885,000.00 1.94%
10,943,122.35
10,927,617.97 0.46%
11,158,880.00
64,638.59
15.01%
231,262.03
A1 / A+
A+
1.97
1.84
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 75,270.35 Various
0.250%
75,270.35
75,270.35
1.00
0.25%
75,270.35
94.93
0.10%
0.00
NR / NR
NR
0.00
0.00
TOTAL LAIF 75,270.35 0.25%
75,270.35
75,270.35 0.25%
75,270.35
94.93
0.10%
0.00
NR / NR
NR
0.00
0.00
Money Market Fund
94975H296 Wells Fargo Treasury Plus MMFD 453 142,203.35 Various
0.010%
142,203.35
142,203.35
1.00
0.01%
142,203.35
0.00
0.19%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund 142,203.35 0.01%
142,203.35
142,203.35 0.01%
142,203.35
0.00
0.19%
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
2.986%
1,054,218.00
1,089,931.47
101.29
0.12%
1,114,157.00
4,117.36
1.50%
24,225.53
Aaa / AAA
AAA
0.79
0.78
459058JM6 Intl. Bank Recon & Development Note
0.250% Due 11/24/2023
355,000.00 11/17/2020
0.322%
354,236.75
354,389.40
99.67
0.39%
353,829.57
91.22
0.47%
(559.83)
Aaa / AAA
AAA
2.40
2.39
TOTAL Supranational 1,455,000.00 2.33%
1,408,454.75
1,444,320.87 0.18%
1,467,986.57
4,208.58
1.97%
23,665.70
Aaa / AAA
Aaa
1.18
1.17
US Treasury
912828T34 US Treasury Note
1.125% Due 09/30/2021
1,250,000.00 01/10/2018
2.198%
1,202,392.58
1,246,807.46
100.27
0.07%
1,253,325.00
3,534.84
1.68%
6,517.54
Aaa / AA+
AAA
0.25
0.25
912828F96 US Treasury Note
2.000% Due 10/31/2021
1,500,000.00 08/29/2018
2.757%
1,465,781.25
1,496,391.80
100.64
0.07%
1,509,669.00
5,054.35
2.03%
13,277.20
Aaa / AA+
AAA
0.34
0.33
912828W55 US Treasury Note
1.875% Due 02/28/2022
1,300,000.00 02/08/2018
2.493%
1,269,226.56
1,294,968.13
101.20
0.09%
1,315,538.90
8,147.08
1.77%
20,570.77
Aaa / AA+
AAA
0.67
0.66
912828W89 US Treasury Note
1.875% Due 03/31/2022
1,250,000.00 10/24/2017
1.978%
1,244,580.08
1,249,085.51
101.34
0.10%
1,266,698.75
5,891.39
1.70%
17,613.24
Aaa / AA+
AAA
0.75
0.75
As of June 30, 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
912828L24 US Treasury Note
1.875% Due 08/31/2022
900,000.00 10/04/2018
3.015%
862,488.28
888,793.83
102.04
0.13%
918,351.90
5,640.29
1.24%
29,558.07
Aaa / AA+
AAA
1.17
1.15
912828M80 US Treasury Note
2.000% Due 11/30/2022
950,000.00 04/29/2019
2.284%
940,759.77
946,353.28
102.59
0.17%
974,641.10
1,609.29
1.31%
28,287.82
Aaa / AA+
AAA
1.42
1.40
912828R28 US Treasury Note
1.625% Due 04/30/2023
1,500,000.00 06/19/2019
1.866%
1,486,582.03
1,493,643.12
102.53
0.24%
1,537,968.00
4,106.66
2.06%
44,324.88
Aaa / AA+
AAA
1.83
1.81
912828R69 US Treasury Note
1.625% Due 05/31/2023
1,500,000.00 04/11/2019
2.303%
1,460,156.25
1,481,519.06
102.64
0.25%
1,539,550.50
2,064.55
2.06%
58,031.44
Aaa / AA+
AAA
1.92
1.89
912828T91 US Treasury Note
1.625% Due 10/31/2023
1,500,000.00 09/13/2019
1.778%
1,490,917.97
1,494,861.96
103.04
0.32%
1,545,528.00
4,106.66
2.07%
50,666.04
Aaa / AA+
AAA
2.34
2.29
91282CBA8 US Treasury Note
0.125% Due 12/15/2023
750,000.00 01/08/2021
0.223%
747,861.33
748,203.76
99.48
0.34%
746,074.50
40.98
1.00%
(2,129.26)
Aaa / AA+
AAA
2.46
2.45
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
1,000,000.00 04/14/2021
0.363%
1,000,351.56
1,000,326.86
99.88
0.42%
998,750.00
788.93
1.34%
(1,576.86)
Aaa / AA+
AAA
2.79
2.77
91282CCC3 US Treasury Note
0.250% Due 05/15/2024
1,250,000.00 05/12/2021
0.355%
1,246,093.75
1,246,254.43
99.46
0.44%
1,243,261.25
399.12
1.66%
(2,993.18)
Aaa / AA+
AAA
2.88
2.86
91282CCG4 US Treasury Note
0.250% Due 06/15/2024
1,500,000.00 06/10/2021
0.327%
1,496,542.97
1,496,593.44
99.40
0.45%
1,490,976.00
163.93
1.99%
(5,617.44)
Aaa / AA+
AAA
2.96
2.94
912828YE4 US Treasury Note
1.250% Due 08/31/2024
1,000,000.00 02/09/2021
0.264%
1,034,804.69
1,031,023.90
102.37
0.50%
1,023,672.00
4,177.99
1.37%
(7,351.90)
Aaa / AA+
AAA
3.17
3.10
912828Z52 US Treasury Note
1.375% Due 01/31/2025
1,500,000.00 02/24/2021
0.400%
1,557,011.72
1,552,009.30
102.76
0.60%
1,541,425.50
8,603.25
2.07%
(10,583.80)
Aaa / AA+
AAA
3.59
3.48
912828ZF0 US Treasury Note
0.500% Due 03/31/2025
850,000.00 03/12/2021
0.615%
846,115.23
846,399.29
99.53
0.63%
845,982.05
1,068.31
1.13%
(417.24)
Aaa / AA+
AAA
3.75
3.70
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
1,000,000.00 01/26/2021
0.329%
1,001,953.13
1,001,758.32
98.96
0.65%
989,570.00
631.79
1.32%
(12,188.32)
Aaa / AA+
AAA
3.84
3.80
912828ZT0 US Treasury Note
0.250% Due 05/31/2025
1,500,000.00 06/11/2021
0.533%
1,483,359.38
1,483,554.88
98.35
0.68%
1,475,274.00
317.62
1.97%
(8,280.88)
Aaa / AA+
AAA
3.92
3.89
TOTAL US Treasury 22,000,000.00 1.38%
21,836,978.53
21,998,548.33 0.33%
22,216,256.45
56,347.03
29.79%
217,708.12
Aaa / AA+
Aaa
2.19
2.16
TOTAL PORTFOLIO 73,463,750.84 1.42%
73,463,632.25
73,597,205.38 0.30%
74,531,687.14
235,962.44
100.00%
934,481.76
Aa1 / AA+
Aaa
1.96
1.83
TOTAL MARKET VALUE PLUS ACCRUALS 74,767,649.58
As of June 30, 2021
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
Money Market Fund
94975H296 Wells Fargo Treasury Plus MMFD 453 13,835.83 Various
0.010%
13,835.83
13,835.83
1.00
0.01%
13,835.83
0.00
1.60%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund 13,835.83 0.01%
13,835.83
13,835.83 0.01%
13,835.83
0.00
1.60%
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
0.123%
224,753.96
224,753.96
99.89
0.12%
224,753.96
235.41
25.99%
0.00
P-1 / A-1+
F-1+
0.04
0.04
9127964W6 US Treasury Bill
0.103% Due 11/04/2021
250,000.00 11/30/2020
0.104%
249,758.70
249,758.70
99.90
0.10%
249,758.70
151.61
28.87%
0.00
P-1 / A-1+
F-1+
0.35
0.35
912828G53 US Treasury Note
1.875% Due 11/30/2021
125,000.00 12/18/2020
0.112%
127,075.20
125,916.95
100.75
0.08%
125,937.50
198.51
14.57%
20.55
Aaa / AA+
AAA
0.42
0.42
912828ZG8 US Treasury Note
0.375% Due 03/31/2022
250,000.00 03/30/2021
0.078%
250,742.19
250,555.12
100.21
0.09%
250,527.25
235.66
28.97%
(27.87)
Aaa / AA+
AAA
0.75
0.75
TOTAL US Treasury 850,000.00 0.10%
852,330.05
850,984.73 0.10%
850,977.41
821.19
98.40%
(7.32)
Aaa / AAA
Aaa
0.40
0.40
TOTAL PORTFOLIO 863,835.83 0.10%
866,165.88
864,820.56 0.10%
864,813.24
821.19
100.00%
(7.32)
Aaa / AAA
Aaa
0.39
0.39
TOTAL MARKET VALUE PLUS ACCRUALS 865,634.43
As of June 30, 2021
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 04/15/2021 91282CBV2 1,000,000.00 US Treasury Note
0.375% Due: 04/15/2024
100.035 0.36%1,000,351.56 0.00 1,000,351.56 0.00
Purchase 05/12/2021 023135BW5 570,000.00 Amazon.com Inc Callable Note Cont 11/12/2021
0.45% Due: 05/12/2024
99.854 0.50%569,167.80 0.00 569,167.80 0.00
Purchase 05/17/2021 14913R2L0 905,000.00 Caterpillar Financial Service Note
0.45% Due: 05/17/2024
99.866 0.50%903,787.30 0.00 903,787.30 0.00
Purchase 05/17/2021 91282CCC3 1,250,000.00 US Treasury Note
0.25% Due: 05/15/2024
99.688 0.36%1,246,093.75 16.98 1,246,110.73 0.00
Purchase 06/01/2021 46647PCH7 150,000.00 JP Morgan Chase & Co Callable Note Cont
6/1/2024
0.824% Due: 06/01/2025
100.000 0.77%150,000.00 0.00 150,000.00 0.00
Purchase 06/01/2021 46647PCH7 400,000.00 JP Morgan Chase & Co Callable Note Cont
6/1/2024
0.824% Due: 06/01/2025
100.163 0.73%400,652.00 0.00 400,652.00 0.00
Purchase 06/01/2021 46647PCH7 200,000.00 JP Morgan Chase & Co Callable Note Cont
6/1/2024
0.824% Due: 06/01/2025
100.160 0.73%200,320.00 0.00 200,320.00 0.00
Purchase 06/10/2021 24422EVQ9 540,000.00 John Deere Capital Corp Note
0.45% Due: 06/07/2024
99.875 0.49%539,325.00 0.00 539,325.00 0.00
Purchase 06/14/2021 89190GAC1 1,025,000.00 Toyota Auto Receivables Trust 2021-B A3
0.26% Due: 11/17/2025
99.989 0.26%1,024,889.61 0.00 1,024,889.61 0.00
Purchase 06/14/2021 912828ZT0 1,500,000.00 US Treasury Note
0.25% Due: 05/31/2025
98.891 0.53%1,483,359.38 143.44 1,483,502.82 0.00
Purchase 06/15/2021 91282CCG4 1,500,000.00 US Treasury Note
0.25% Due: 06/15/2024
99.770 0.33%1,496,542.97 0.00 1,496,542.97 0.00
March 31, 2021 through June 30, 2021
As of June 30, 2021
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
Purchase 06/29/2021 58769KAD6 360,000.00 Mercedes-Benz Auto Lease Trust 2021-B A3
0.4% Due: 11/15/2024
99.992 0.40%359,972.82 0.00 359,972.82 0.00
Subtotal 9,400,000.00 9,374,462.19 160.42 9,374,622.61 0.00
TOTAL ACQUISITIONS 9,400,000.00 9,374,462.19 160.42 9,374,622.61 0.00
DISPOSITIONS
Sale 05/12/2021 3137EAET2 1,500,000.00 FHLMC Note
0.125% Due: 07/25/2022
100.019 0.11%1,500,285.00 557.29 1,500,842.29 1,367.09
Sale 06/08/2021 3133ELYR9 1,420,000.00 FFCB Note
0.25% Due: 05/06/2022
100.177 0.06%1,422,513.40 315.56 1,422,828.96 3,333.58
Subtotal 2,920,000.00 2,922,798.40 872.85 2,923,671.25 4,700.67
Maturity 05/24/2021 09247XAH4 1,000,000.00 Blackrock Inc Note
4.25% Due: 05/24/2021
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 3,920,000.00 3,922,798.40 872.85 3,923,671.25 4,700.67
March 31, 2021 through June 30, 2021
As of June 30, 2021
35
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 June 30, 2021
36
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 June 30, 2021
37