HomeMy WebLinkAbout101921-08.1CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending September 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 September 30, 2021
1
SECTION |Section 1 |Economic Update
2
Economic Update
▪
▪
▪
While some pockets of the economy remain dislocated,US real gross domestic product (GDP) has recovered to pre-
pandemic levels. The recovery has been fueled by robust fiscal spending, accommodative monetary policy, and
vaccinations. These factors are beginning to moderate but should continue to provide tailwinds for the economy in the
coming quarters. The resurgence of the virus in the US is causing some disruption in economicactivity and having anegative
impact on consumersentiment. Supply chain and labor market disruptions are also likely to continue while global infection
rates remain uncontained, putting ongoing upward pressure on transportation, input, and labor costs. Some pandemic-
related fiscal relief has started to phase out,but an infrastructure spending plan is on the horizon. Meanwhile, the Federal
Reserve remains accommodative and continues to facilitate further improvement in the labor market. Overall,we believe
the US economy continues to grow at a strong, above-trend, pace but we believe economic data will remain somewhat
choppy over the near-term.
The Federal Open MarketCommittee (FOMC) kept monetary policy unchanged at its September meeting but indicated that
they are preparing to reduce the magnitude of theirasset purchases. The fed funds targetrate remains in the range of 0.0%
to 0.25%. For now, the Fed continues to purchase $80 billion of Treasuries per month, and $40 billion of agency mortgage-
backed securities permonth. However, the Fed is now widely expected to make the official announcement about tapering
asset purchases at the next FOMC meeting in early November. The tapering process would likely commence December1st,
and Fed ChairPowell signaled that asset purchases would likely end by mid-2022. The projected timeline forliftoff on rate
hikes was also pulled forward in the Fed’s updated summary of economic projections. The median estimate among Fed
policymakers now calls for one 25 basis point rate hike in 2022,versus the previous outlook for no rate hikes next year.
Monetary policy remains highly accommodative for now but the Fed is moving toward a path of policy normalization.We
believe the Fed will be cautious as it moves toward aslow and steady withdrawal of monetary policy accommodation, amid
a backdrop of an improving labor market and growing economy.
The Treasury yield curve steepened in September. The 10-year Treasury yield rose nearly 18 basis points in September to
1.49%, while the 2-year Treasury yield rose about seven basis points to 0.28%.We believe some of the factors that put
downward pressure on longer-term rates over the summer including concerns about the Delta COVID-19 variant, market
technicals, and uneven global vaccination rates, have started to ease.We expect the front-end of the curve to remain
anchored near zero over the near-term and believe the yield curve may be poised for further steepening.At the end of
September, the 10-year Treasury yield was down about 25 basis points from its high this year in March.
3
Source: US Department of Labor Source: US Department of Labor
Employment
Job growth underwhelmed in August as nonfarm payrolls increased by 235,000 compared to the Bloomberg consensus estimate of 733,000.
However, there were upward revisions to the prior months and the three-month moving average is a robust 750,000 compared to the six-
month moving average of 653,000, signaling momentum in the trend. Both the unemployment rate (U-3) and underemployment rate (U-6)
moved lower in August to 5.2% and 8.8%, compared to 5.4% and 9.2%in July, respectively. Average Hourly Earnings on a year-over-yearbasis
ticked higher to 4.3% versus 4.1% last month, foreshadowing the risk case of wage inflation remaining elevated over an intermediate time
horizon due to the pandemic related distortions between the demand and supply of workers.
-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
(
%
)
4
Initial Claims for Unemployment
362 351 335 312 345 354 349 377 387 399 424 368 386 368
2,802 2,820 2,715 2,852 2,805 2,908 2,865 2,899 2,980
3,296 3,262 3,265 3,367
-
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 June 25, 2021 -September 24, 2021
In the most recent week, the number of initial jobless claims was 362,000 versus 351,000 in the prior week. The level of continuing
unemployment claims (where the data is lagged by one week) declined to 2.802 million from 2.820 million in the prior week. Continuing
jobless claims have declined significantly from the peak of nearly 25 million in May 2020,but they remained above the 2019 (pre-pandemic)
average of 1.7 million.
Source: US Department of Labor
5
Source: US Department of Labor Source: US Department of Commerce
Inflation
The Consumer Price Index (CPI) was up 5.3% year-over-year in August, versus up 5.4% year-over-year in July. Core CPI (CPI less food and
energy) was up 4.0% year-over-year in August (below expectations), versus up 4.3%in July, suggesting that pricing pressures may be easing
slightly. The Personal Consumption Expenditures (PCE) index was up 4.3% year-over-year in August, versus up 4.2%in July. Core PCE was up
3.6% year-over-year in August, unchanged from July. Current inflation readings are running well above the Fed’s longer-run target of around
2.0%. While the Fed believes many of the factors fueling higher inflation will be temporary, the upward pressure on inflation from supply
chain bottlenecks and pandemic-related disruptions is likely to remain elevated over the near-term.
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
Y
O
Y
(
%
)
C
h
a
n
g
e
6
On a year-over-year basis, retail sales were up 15.1%in August.On a month-over-month basis, retail sales were stronger than expected in
August,up 0.7% versus expectations of a 0.7% decline. The month-over-month gain was driven largely by increases in online shopping,
furniture and home furnishings, and general merchandise stores. These gains were partially offset by declines in vehicles, electronics and
appliances, sporting goods, hobby, musical instrument, and bookstores,on aseasonally adjusted basis. Excluding vehicles and gas, retail sales
were up 2.0% month-over-month, following a 1.4% decline in July. In our view, the August retail sales report indicates that consumers have the
propensity to spend but theirspending patterns continue to be influenced by the pandemic, with the deltavirus outbreak driving more people
back to online shopping in the month. Furthermore,we believe high prices fueled by supply chain constraints on bigger ticket items like
vehicles and appliances may now be pressuring sales of those items. The Consumer Confidence index declined to 109.3 in September from
115.2 in August. Consumers remain concerned about the Delta variant and the economic impact of the virus.
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
7
Source: The Conference Board Source: Federal Reserve Bank of Chicago
Economic Activity
The Conference Board’s Leading Economic Index (LEI) increased 0.9% month-over-month in August (slightly above expectations), following a
0.8% increase in July.On ayear-over-year basis, the LEI was up 10.0%in August. According to the Conference Board, the LEI’s sharp increase in
August suggests the economy is on a rapidly rising trajectory. The Conference Board is forecasting 6.0% GDP growth for 2021 and 4.0% GDP
growth in 2022.Meanwhile, the Chicago Fed National Activity Index (CFNAI) declined to 0.29 in August from 0.75 in July, pulled down by
production and employment. However,on a3-month movingaverage basis, the CFNAI improved to 0.43 in August from 0.36 in July. A reading
above zero signals 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
8
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%
3.0%
6.0%
9.0%
12.0%
15.0%
18.0%
21.0%
24.0%
S&P/Case-Shiller 20 City Composite Home Price Index
YO
Y
(
%
)
C
h
a
n
g
e
Total housing starts increased 3.9%in August to an annual pace of 1,615,000, led by multi-family starts. Single-family starts declined 2.8%in
August while multi-family starts rose 20.6%.On ayear-over-yearbasis, housing starts were up 17.4%in August. According to the Case-Shiller 20-
City home price index, home prices were up 20.0% year-over-year in July versus up 19.1% year-over-year in June. Low mortgage rates and tight
supply continue to support prices.
9
Source: Institute for Supply Management Source: Federal Reserve
Manufacturing
The Institute for Supply Management (ISM) manufacturing index increased to 61.1 in September from 59.9 in August. The index points to
continued strength in manufacturing,as readings above 50.0 are indicative of expansion in the manufacturing sector. New orders were
particularly strong, increasing to 66.7 in August from 64.9 in July, which The Industrial Production index was up 6.0% year-over-year in August,
versus up 6.6%in July.On a month-over-month basis, the Industrial Production index increased 0.4%in August, following a 0.8% increase in
July. Capacity Utilization increased to 76.4%in August from 76.2%in July but remains well below the long-run average of 79.8%. Chip shortages
and other supply chain bottlenecks 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
10
Source: US Department of Commerce Source: US Department of Commerce
9/20 12/20 3/21 6/21
25.5% 2.3% 7.4% 7.9%
11.7% 4.0% -0.4% -0.7%
-3.3% -1.7% -1.6% -0.2%
-0.3% -0.2% 0.8% -0.4%
0.1% 0.1% 0.0% 0.0%
33.8% 4.5% 6.3% 6.7%
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)
Real US gross domesticproduct (GDP) grew at an annualized rate of 6.7%in the second quarter, following 6.3% growth in the first quarter.As of
the second quarter, real US GDP had exceeded its pre-pandemic level. The consensus forecast for full year 2021 US gross domestic product
growth has moderated but remains well above the long-run trend growth rate of about 1.8%. The current Bloomberg consensus estimates for
2021 and 2022 US GDP growth are 5.9% and 4.1%, respectively, following a 3.4% decline in 2020.
11
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 started purchasing Treasury and agency mortgage-backed securities (MBS)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, Term
Asset-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 unwind its corporate credit
facility. The Fed is now widely expected to starttapering theirTreasury and agency MBS purchases before this year-end, and stop making asset
purchases around the middle of next year.
0.00%
0.50%
1.00%
1.50%
2.00%
Effective Federal Funds Rate
Yi
e
l
d
(
%
)
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000
Federal Reserve Balance Sheet Assets
In
$
m
i
l
l
i
o
n
s
12
Source: Bloomberg Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
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
Sep-21
Jun-21
Sep-20
Yi
e
l
d
(
%
)
Bond Yields
The treasury yield curve is steeper on a year-over-year basis.At the end of September, the 2-year Treasury yield was about 15 basis points
higher and the 10-Year Treasury yield was about 80 basis points higher, year-over-year. However, the yield curve was less steep than the
historical average. The spread between the 2-year Treasury yield and 10-year Treasury yield was 121 basis points at September month-end
compared to the average historical spread (since 2002)of about 135 basis points.We believe the curve remains poised for furthersteepening,
amid a growing economy and improving labor market, while the Fed is expected to slowly normalize monetary policy.
13
Section 2|SECTION |Section 2 |Account Profile
14
Objectives
Chandler Asset Management Performance Objective
The performance objective is to achieve a return that equals the return on an unmanaged index of one-to -
three year Treasury securities (a “market rate of return”).
Investment Objectives
The primary investment objectives of the Town of Danville are to preserve principal and to maintain
adequate liquidity to meet the Town’s cash flow requirements.The Town expects to achieve a rate of
return which is consistent with its primary objectives.
Strategy
In order to meet its objectives,the Town invests in securities permitted under California Government
Code Section 53600 et seq.and under its Investment Policy.The maximum maturity of the Town’s
investments is five years,unless specifically authorized by the Town Council.
As of September 30, 2021
15
Compliance As of September 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
9/30/2021 6/30/2021
Benchmark*Portfolio Portfolio
Average Maturity (yrs)1.86 1.94 1.96
Average Modified Duration 1.83 1.81 1.83
Average Purchase Yield n/a 1.26%1.42%
Average Market Yield 0.27%0.33%0.30%
Average Quality**AAA AA+/Aa1 AA+/Aa1
Total Market Value 79,803,532 74,767,563
*ICE BofA 1-3 Yr US Treasury Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of September 30, 2021
17
Danville Short Term Treasury Pool
Sector Distribution
ABS
4.2%
Agency
45.2%
Corporate
13.5%
LAIF
0.1%
Money Market
Fund
0.6%
Supranational
4.7%
US Treasury
31.6%
September 30, 2021 June 30, 2021
ABS
4.6%
Agency
48.4%
Corporate
15.0%
LAIF
0.1%
Money Market
Fund
0.2%
Supranational
2.0%
US Treasury
29.8%
As of September 30, 2021
18
Issue Name Investment Type % Portfolio
Government of United States US Treasury 31.61%
Federal National Mortgage Association Agency 13.39%
Federal Home Loan Bank Agency 13.37%
Federal Home Loan Mortgage Corp Agency 10.76%
Federal Farm Credit Bank Agency 7.71%
Inter-American Dev Bank Supranational 2.96%
Deere & Company Corporate 1.45%
John Deere ABS ABS 1.37%
Toyota Motor Corp Corporate 1.30%
International Finance Corp Supranational 1.29%
Berkshire Hathaway Corporate 1.29%
Toyota ABS ABS 1.28%
Honda Motor Corporation Corporate 1.28%
Caterpillar Inc Corporate 1.13%
Paccar Financial Corporate 1.12%
Wal-Mart Stores Corporate 1.06%
Apple Inc Corporate 0.98%
Bank of New York Corporate 0.98%
US Bancorp Corporate 0.98%
JP Morgan Chase & Co Corporate 0.94%
Amazon.com Inc Corporate 0.71%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund 0.60%
Nissan ABS ABS 0.60%
Honda ABS ABS 0.52%
Mercedes-Benz Auto Lease Trust ABS 0.45%
Intl Bank Recon and Development Supranational 0.44%
ChevronTexaco Corp Corporate 0.33%
Local Agency Investment Fund LAIF 0.09%
TOTAL 100.00%
Issuers
Danville Short Term Treasury Pool –Account #21
As of September 30, 2021
19
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
Danville Short Term Treasury Pool ICE BofA 1-3 Yr US Treasury Index
Portfolio Compared to the Benchmark as of September 30, 2021
0 -0.25 0.25 -0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
Portfolio 4.0% 5.7% 11.0% 37.7% 31.9% 9.7% 0.0% 0.0%
Benchmark*0.0% 0.0% 2.7% 55.8% 41.5% 0.0% 0.0% 0.0%
*ICE BofA 1-3 Yr US Treasury Index
Duration Distribution
Danville Short Term Treasury Pool
As of September 30, 2021
20
Purchase Yield as of 9/30/2021 = 1.26%
1.0
1.2
1.4
1.6
1.8
2.0
2.2
Pe
r
c
e
n
t
(
%
)
Historical Average Purchase Yield
Danville Short Term Treasury Pool
As of September 30, 2021
21
Growth of $1 Million
Growth Over Time As of September 30, 2021
As of 09/30/2021 Dollar Value Return
Danville Total Return $2,550,586 3.60%
Danville Realized Return $2,484,132 3.49%
LAIF $1,989,439 2.63%
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 BofA 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 0.05%0.12%1.82%2.68%1.78%1.33%3.60%
ICE BofA 1-3 Yr US Treasury Index 0.06%0.03%1.79%2.64%1.63%1.16%3.35%
REALIZED RATE OF RETURN
Danville Short Term Treasury Pool 0.34%1.62%1.84%1.88%1.69%1.45%3.49%
Investment Performance
Danville Short Term Treasury Pool
As of September 30, 2021
23
Portfolio Characteristics
Danville NERIAD Improvement Fund (89-1 90A)
9/30/2021 6/30/2021
Benchmark*Portfolio Portfolio
Average Maturity (yrs)0.16 0.41 0.39
Average Modified Duration 0.15 0.41 0.39
Average Purchase Yield n/a 0.09%0.10%
Average Market Yield 0.04%0.08%0.10%
Average Quality**AAA AAA/Aaa AAA/Aaa
Total Market Value 865,867 865,634
*ICE BofA 3-Month US Treasury Bill Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of September 30, 2021
24
Issue Name Investment Type % Portfolio
Government of United States US Treasury 99.48%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund 0.52%
TOTAL 100.00%
Issuers
Danville NERIAD Improvement Fund (89-1 90A) –Account #24
As of September 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
43815HAC1 Honda Auto Receivables Trust 2018-3 A3
2.950% Due 08/22/2022
30,766.95 08/21/2018
2.98%
30,762.72
30,766.01
100.22
0.22%
30,836.05
25.21
0.04%
70.04
Aaa / NR
AAA
0.89
0.08
43815NAC8 Honda Auto Receivables Trust 2019-3 A3
1.780% Due 08/15/2023
381,426.92 08/20/2019
1.79%
381,423.75
381,425.93
100.75
0.23%
384,270.84
301.75
0.48%
2,844.91
Aaa / AAA
NR
1.87
0.48
477870AC3 John Deere Owner Trust 2019-B A3
2.210% Due 12/15/2023
156,995.40 07/16/2019
2.23%
156,962.07
156,978.68
100.95
0.27%
158,491.41
154.20
0.20%
1,512.73
Aaa / NR
AAA
2.21
0.49
65479JAD5 Nissan Auto Receivables Owner 2019-C A3
1.930% Due 07/15/2024
473,289.42 10/16/2019
1.94%
473,264.43
473,274.69
101.00
0.22%
478,017.58
405.98
0.60%
4,742.89
Aaa / AAA
NR
2.79
0.58
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
369,985.34
100.69
0.22%
372,559.29
180.89
0.47%
2,573.95
Aaa / NR
AAA
2.88
0.78
58769KAD6 Mercedes-Benz Auto Lease Trust 2021-B A3
0.400% Due 11/15/2024
360,000.00 06/22/2021
0.40%
359,972.82
359,975.57
99.98
0.41%
359,915.40
64.00
0.45%
(60.17)
NR / AAA
AAA
3.13
1.80
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
254,958.63
99.91
0.41%
254,782.23
40.80
0.32%
(176.40)
Aaa / NR
AAA
3.96
1.78
89190GAC1 Toyota Auto Receivables Trust 2021-B A3
0.260% Due 11/17/2025
1,025,000.00 06/08/2021
0.26%
1,024,889.61
1,024,900.00
99.72
0.47%
1,022,118.73
118.44
1.28%
(2,781.27)
NR / AAA
AAA
4.13
1.32
47789QAC4 John Deere Owner Trust 2021-B A3
0.520% Due 03/16/2026
310,000.00 07/13/2021
0.52%
309,972.35
309,973.84
99.93
0.55%
309,791.99
71.64
0.39%
(181.85)
Aaa / NR
AAA
4.46
2.41
TOTAL ABS 3,362,478.69 0.93%
3,362,176.13
3,362,238.69 0.36%
3,370,783.52
1,362.91
4.23%
8,544.83
Aaa / AAA
Aaa
3.34
1.20
Agency
3133EJT74 FFCB Note
3.050% Due 11/15/2021
1,600,000.00 12/11/2018
2.87%
1,607,984.00
1,600,336.09
100.36
0.15%
1,605,800.00
18,435.56
2.04%
5,463.91
Aaa / AA+
AAA
0.13
0.12
3130AAB49 FHLB Note
1.875% Due 12/10/2021
1,000,000.00 12/15/2017
2.16%
989,100.00
999,474.88
100.33
0.16%
1,003,339.00
5,781.25
1.26%
3,864.12
Aaa / AA+
AAA
0.19
0.19
3135G0S38 FNMA Note
2.000% Due 01/05/2022
1,400,000.00 09/27/2017
1.90%
1,405,418.00
1,400,333.63
100.49
0.15%
1,406,834.80
6,688.89
1.77%
6,501.17
Aaa / AA+
AAA
0.27
0.26
3130AEBM1 FHLB Note
2.750% Due 06/10/2022
1,475,000.00 Various
2.84%
1,470,268.25
1,474,169.17
101.87
0.06%
1,502,520.55
12,506.77
1.90%
28,351.38
Aaa / AA+
NR
0.69
0.69
3135G0W33 FNMA Note
1.375% Due 09/06/2022
1,525,000.00 Various
1.55%
1,517,278.00
1,522,576.52
101.17
0.12%
1,542,810.48
1,456.16
1.94%
20,233.96
Aaa / AA+
AAA
0.93
0.93
313383WD9 FHLB Note
3.125% Due 09/09/2022
1,000,000.00 11/05/2018
3.10%
1,000,830.00
1,000,202.92
102.84
0.10%
1,028,439.00
1,909.72
1.29%
28,236.08
Aaa / AA+
AAA
0.94
0.93
As of September 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
1.64%
1,488,585.00
1,496,076.42
101.31
0.10%
1,519,645.50
9,739.58
1.92%
23,569.08
Aaa / AA+
AAA
1.03
1.02
3130A3KM5 FHLB Note
2.500% Due 12/09/2022
1,250,000.00 08/27/2018
2.80%
1,235,000.00
1,245,837.60
102.74
0.20%
1,284,260.00
9,722.22
1.62%
38,422.40
Aaa / AA+
NR
1.19
1.17
3130AFE78 FHLB Note
3.000% Due 12/09/2022
1,700,000.00 12/20/2018
2.77%
1,714,756.00
1,704,419.67
103.43
0.12%
1,758,253.90
15,866.67
2.22%
53,834.23
Aaa / AA+
AAA
1.19
1.17
3135G0T94 FNMA Note
2.375% Due 01/19/2023
1,500,000.00 03/18/2019
2.46%
1,495,455.00
1,498,460.15
102.83
0.20%
1,542,399.00
7,125.00
1.94%
43,938.85
Aaa / AA+
AAA
1.30
1.28
3130ADRG9 FHLB Note
2.750% Due 03/10/2023
900,000.00 03/28/2019
2.24%
917,136.00
906,238.83
103.69
0.19%
933,226.20
1,443.75
1.17%
26,987.37
Aaa / AA+
NR
1.44
1.42
3137EAER6 FHLMC Note
0.375% Due 05/05/2023
1,330,000.00 05/05/2020
0.39%
1,329,441.40
1,329,703.07
100.22
0.24%
1,332,908.71
2,022.71
1.67%
3,205.64
Aaa / AA+
AAA
1.59
1.59
3135G04Q3 FNMA Note
0.250% Due 05/22/2023
1,425,000.00 05/20/2020
0.35%
1,420,710.75
1,422,657.56
100.04
0.23%
1,425,508.73
1,276.56
1.79%
2,851.17
Aaa / AA+
AAA
1.64
1.64
3133ELG81 FFCB Note
0.300% Due 06/08/2023
1,500,000.00 06/02/2020
0.33%
1,498,875.00
1,499,368.15
100.10
0.24%
1,501,500.00
1,412.50
1.88%
2,131.85
Aaa / AA+
AAA
1.69
1.68
3133834G3 FHLB Note
2.125% Due 06/09/2023
1,500,000.00 06/10/2019
2.00%
1,507,305.00
1,503,084.22
103.16
0.25%
1,547,341.50
9,916.67
1.95%
44,257.28
Aaa / AA+
NR
1.69
1.66
3137EAES4 FHLMC Note
0.250% Due 06/26/2023
1,305,000.00 06/24/2020
0.35%
1,301,189.40
1,302,797.16
100.03
0.24%
1,305,328.86
860.94
1.64%
2,531.70
Aaa / AA+
AAA
1.74
1.73
3135G05G4 FNMA Note
0.250% Due 07/10/2023
1,460,000.00 Various
0.28%
1,458,850.00
1,459,321.50
99.97
0.26%
1,459,630.62
821.25
1.83%
309.12
Aaa / AA+
AAA
1.78
1.77
3133EL3V4 FFCB Note
0.200% Due 08/14/2023
1,500,000.00 08/12/2020
0.27%
1,496,880.00
1,498,049.64
99.82
0.30%
1,497,271.50
391.67
1.88%
(778.14)
Aaa / AA+
AAA
1.87
1.87
3137EAEV7 FHLMC Note
0.250% Due 08/24/2023
1,500,000.00 09/28/2020
0.22%
1,501,095.00
1,500,715.52
99.96
0.27%
1,499,344.50
385.42
1.88%
(1,371.02)
Aaa / AA+
AAA
1.90
1.89
3137EAEW5 FHLMC Note
0.250% Due 09/08/2023
1,490,000.00 Various
0.26%
1,489,430.30
1,489,632.53
99.92
0.29%
1,488,840.78
237.98
1.87%
(791.75)
Aaa / AA+
AAA
1.94
1.93
3137EAEZ8 FHLMC Note
0.250% Due 11/06/2023
1,455,000.00 11/03/2020
0.28%
1,453,690.50
1,454,084.78
99.94
0.28%
1,454,193.93
1,465.10
1.82%
109.15
Aaa / AA+
AAA
2.10
2.09
3135G06H1 FNMA Note
0.250% Due 11/27/2023
1,500,000.00 11/24/2020
0.27%
1,499,160.00
1,499,394.62
99.88
0.31%
1,498,150.50
1,291.67
1.88%
(1,244.12)
Aaa / AA+
AAA
2.16
2.15
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
1,500,000.00 12/09/2020
0.26%
1,499,610.00
1,499,715.39
99.78
0.35%
1,496,698.50
1,218.75
1.88%
(3,016.89)
Aaa / AA+
AAA
2.18
2.17
3135G0V34 FNMA Note
2.500% Due 02/05/2024
1,700,000.00 03/24/2020
0.82%
1,808,052.00
1,765,581.14
105.02
0.35%
1,785,263.50
6,611.11
2.25%
19,682.36
Aaa / AA+
AAA
2.35
2.28
As of September 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
0.85%
1,560,525.00
1,536,728.14
103.62
0.38%
1,554,231.00
1,796.88
1.95%
17,502.86
Aaa / AA+
NR
2.44
2.39
TOTAL Agency 35,515,000.00 1.29%
35,666,624.60
35,608,959.30 0.22%
35,973,741.06
120,384.78
45.23%
364,781.76
Aaa / AA+
Aaa
1.48
1.47
Corporate
084664BT7 Berkshire Hathaway Note
3.000% Due 05/15/2022
1,000,000.00 03/16/2018
2.98%
1,000,670.00
1,000,099.82
101.72
0.25%
1,017,166.00
11,333.33
1.29%
17,066.18
Aa2 / AA
A+
0.62
0.62
69371RQ33 Paccar Financial Corp Note
2.000% Due 09/26/2022
500,000.00 09/23/2019
2.04%
499,390.00
499,799.64
101.84
0.14%
509,183.50
138.89
0.64%
9,383.86
A1 / A+
NR
0.99
0.98
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
255,206.62
101.91
0.30%
259,857.75
1,935.03
0.33%
4,651.13
Aa2 / AA-
NR
1.18
0.92
89236TEL5 Toyota Motor Credit Corp Note
2.700% Due 01/11/2023
1,000,000.00 01/25/2019
3.22%
980,920.00
993,825.11
103.03
0.32%
1,030,326.00
6,000.00
1.30%
36,500.89
A1 / A+
A+
1.28
1.26
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
750,769.07
103.23
0.22%
774,260.25
4,037.50
0.98%
23,491.18
A1 / AA-
AA-
1.32
1.21
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
755,541.50
103.28
0.31%
774,614.25
3,810.42
0.98%
19,072.75
A1 / A
AA-
1.33
1.23
037833AK6 Apple Inc Note
2.400% Due 05/03/2023
750,000.00 05/29/2019
2.54%
746,205.00
748,466.64
103.23
0.36%
774,233.25
7,400.00
0.98%
25,766.61
Aa1 / AA+
NR
1.59
1.55
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
811,278.02
105.13
0.29%
841,040.80
7,177.78
1.06%
29,762.78
Aa2 / AA
AA
1.74
1.61
02665WCT6 American Honda Finance Note
3.550% Due 01/12/2024
950,000.00 08/19/2019
2.07%
1,008,634.00
980,431.23
106.44
0.70%
1,011,177.15
7,400.76
1.28%
30,745.92
A3 / A-
NR
2.28
2.19
24422EVN6 John Deere Capital Corp Note
0.450% Due 01/17/2024
615,000.00 03/01/2021
0.47%
614,563.35
614,651.18
99.97
0.46%
614,818.58
568.88
0.77%
167.40
A2 / A
A
2.30
2.28
023135BW5 Amazon.com Inc Note
0.450% Due 05/12/2024
570,000.00 05/10/2021
0.50%
569,167.80
569,275.62
99.77
0.54%
568,692.42
990.38
0.71%
(583.20)
A1 / AA
AA-
2.62
2.59
14913R2L0 Caterpillar Financial Service Note
0.450% Due 05/17/2024
905,000.00 05/10/2021
0.50%
903,787.30
903,938.89
99.81
0.52%
903,254.26
1,515.88
1.13%
(684.63)
A2 / A
A
2.63
2.61
24422EVQ9 John Deere Capital Corp Note
0.450% Due 06/07/2024
540,000.00 06/07/2021
0.49%
539,325.00
539,394.78
99.76
0.54%
538,725.06
749.25
0.68%
(669.72)
A2 / A
A
2.69
2.66
69371RR40 Paccar Financial Corp Note
0.500% Due 08/09/2024
385,000.00 08/03/2021
0.52%
384,792.10
384,802.15
99.72
0.60%
383,922.00
278.06
0.48%
(880.15)
A1 / A+
NR
2.86
2.83
As of September 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
0.74%
750,972.00
750,890.84
99.97
0.84%
749,760.75
2,060.00
0.94%
(1,130.09)
A2 / A-
AA-
3.67
2.63
TOTAL Corporate 10,520,000.00 1.86%
10,598,464.45
10,558,371.11 0.43%
10,751,032.02
55,396.16
13.54%
192,660.91
A1 / A+
A+
1.89
1.77
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 75,270.35 Various
0.21%
75,270.35
75,270.35
1.00
0.21%
75,270.35
78.37
0.09%
0.00
NR / NR
NR
0.00
0.00
TOTAL LAIF 75,270.35 0.21%
75,270.35
75,270.35 0.21%
75,270.35
78.37
0.09%
0.00
NR / NR
NR
0.00
0.00
Money Market Fund
94975H296 Wells Fargo Treasury Plus MMFD 453 480,941.38 Various
0.01%
480,941.38
480,941.38
1.00
0.01%
480,941.38
0.00
0.60%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund 480,941.38 0.01%
480,941.38
480,941.38 0.01%
480,941.38
0.00
0.60%
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
1,093,159.01
100.87
0.14%
1,109,551.30
8,929.86
1.40%
16,392.29
Aaa / AAA
AAA
0.54
0.53
459058JM6 Intl. Bank Recon & Development Note
0.250% Due 11/24/2023
355,000.00 11/17/2020
0.32%
354,236.75
354,453.53
99.77
0.36%
354,175.69
313.09
0.44%
(277.84)
Aaa / AAA
AAA
2.15
2.14
4581X0DZ8 Inter-American Dev Bank Note
0.500% Due 09/23/2024
1,250,000.00 09/15/2021
0.52%
1,249,075.00
1,249,081.75
99.70
0.60%
1,246,298.75
138.89
1.56%
(2,783.00)
Aaa / AAA
NR
2.98
2.95
45950KCR9 International Finance Corp Note
1.375% Due 10/16/2024
1,000,000.00 07/29/2021
0.46%
1,028,980.00
1,027,495.12
102.31
0.61%
1,023,140.00
6,302.08
1.29%
(4,355.12)
Aaa / AAA
NR
3.05
2.97
TOTAL Supranational 3,705,000.00 1.21%
3,686,509.75
3,724,189.41 0.44%
3,733,165.74
15,683.92
4.70%
8,976.33
Aaa / AAA
Aaa
2.19
2.16
US Treasury
912828W55 US Treasury Note
1.875% Due 02/28/2022
1,300,000.00 02/08/2018
2.49%
1,269,226.56
1,296,881.07
100.75
0.08%
1,309,750.00
2,087.36
1.64%
12,868.93
Aaa / AA+
AAA
0.41
0.42
912828W89 US Treasury Note
1.875% Due 03/31/2022
1,250,000.00 10/24/2017
1.98%
1,244,580.08
1,249,393.69
100.90
0.08%
1,261,230.00
64.39
1.58%
11,836.31
Aaa / AA+
AAA
0.50
0.50
As of September 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
3.01%
862,488.28
891,213.94
101.63
0.09%
914,695.20
1,445.10
1.15%
23,481.26
Aaa / AA+
AAA
0.92
0.91
912828M80 US Treasury Note
2.000% Due 11/30/2022
950,000.00 04/29/2019
2.28%
940,759.77
947,002.22
102.18
0.13%
970,707.15
6,385.25
1.22%
23,704.93
Aaa / AA+
AAA
1.17
1.15
912828R28 US Treasury Note
1.625% Due 04/30/2023
1,500,000.00 06/19/2019
1.87%
1,486,582.03
1,494,518.62
102.23
0.21%
1,533,457.50
10,200.41
1.93%
38,938.88
Aaa / AA+
AAA
1.58
1.56
912828R69 US Treasury Note
1.625% Due 05/31/2023
1,500,000.00 04/11/2019
2.30%
1,460,156.25
1,483,951.46
102.32
0.23%
1,534,863.00
8,191.60
1.93%
50,911.54
Aaa / AA+
AAA
1.67
1.64
912828T91 US Treasury Note
1.625% Due 10/31/2023
1,500,000.00 09/13/2019
1.78%
1,490,917.97
1,495,416.77
102.74
0.31%
1,541,074.50
10,200.41
1.94%
45,657.73
Aaa / AA+
AAA
2.08
2.04
91282CBA8 US Treasury Note
0.125% Due 12/15/2023
750,000.00 01/08/2021
0.22%
747,861.33
748,387.99
99.52
0.34%
746,425.50
276.64
0.94%
(1,962.49)
Aaa / AA+
AAA
2.21
2.20
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
1,000,000.00 04/14/2021
0.36%
1,000,351.56
1,000,297.35
99.88
0.42%
998,750.00
1,731.56
1.25%
(1,547.35)
Aaa / AA+
AAA
2.54
2.52
91282CCC3 US Treasury Note
0.250% Due 05/15/2024
1,250,000.00 05/12/2021
0.36%
1,246,093.75
1,246,582.92
99.50
0.44%
1,243,798.75
1,180.37
1.56%
(2,784.17)
Aaa / AA+
AAA
2.62
2.61
91282CCG4 US Treasury Note
0.250% Due 06/15/2024
1,500,000.00 06/10/2021
0.33%
1,496,542.97
1,496,883.63
99.43
0.46%
1,491,445.50
1,106.56
1.87%
(5,438.13)
Aaa / AA+
AAA
2.71
2.69
91282CCL3 US Treasury Note
0.375% Due 07/15/2024
1,500,000.00 07/28/2021
0.38%
1,499,648.44
1,499,669.23
99.71
0.48%
1,495,663.50
1,192.26
1.88%
(4,005.73)
Aaa / AA+
AAA
2.79
2.77
912828YE4 US Treasury Note
1.250% Due 08/31/2024
1,000,000.00 02/09/2021
0.26%
1,034,804.69
1,028,557.01
102.14
0.51%
1,021,406.00
1,070.44
1.28%
(7,151.01)
Aaa / AA+
AAA
2.92
2.86
91282CCX7 US Treasury Note
0.375% Due 09/15/2024
1,400,000.00 09/13/2021
0.44%
1,397,265.63
1,397,305.55
99.55
0.53%
1,393,765.80
232.04
1.75%
(3,539.75)
Aaa / AA+
AAA
2.96
2.94
912828YM6 US Treasury Note
1.500% Due 10/31/2024
1,350,000.00 08/06/2021
0.45%
1,395,246.09
1,393,212.13
102.91
0.55%
1,389,340.35
8,474.18
1.75%
(3,871.78)
Aaa / AA+
AAA
3.09
3.00
912828Z52 US Treasury Note
1.375% Due 01/31/2025
1,500,000.00 02/24/2021
0.40%
1,557,011.72
1,548,356.74
102.50
0.62%
1,537,441.50
3,474.86
1.93%
(10,915.24)
Aaa / AA+
AAA
3.34
3.25
912828ZF0 US Treasury Note
0.500% Due 03/31/2025
850,000.00 03/12/2021
0.61%
846,115.23
846,641.27
99.42
0.67%
845,053.00
11.68
1.06%
(1,588.27)
Aaa / AA+
AAA
3.50
3.46
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
1,000,000.00 01/26/2021
0.33%
1,001,953.13
1,001,642.69
98.86
0.70%
988,633.00
1,569.29
1.24%
(13,009.69)
Aaa / AA+
AAA
3.58
3.55
912828ZT0 US Treasury Note
0.250% Due 05/31/2025
1,500,000.00 06/11/2021
0.53%
1,483,359.38
1,484,612.89
98.28
0.73%
1,474,218.00
1,260.25
1.85%
(10,394.89)
Aaa / AA+
AAA
3.67
3.64
As of September 30, 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
912828ZW3 US Treasury Note
0.250% Due 06/30/2025
1,500,000.00 07/29/2021
0.56%
1,482,246.09
1,483,027.71
98.19
0.74%
1,472,871.00
947.69
1.85%
(10,156.71)
Aaa / AA+
AAA
3.75
3.72
TOTAL US Treasury 25,000,000.00 1.04%
24,943,210.95
25,033,554.88 0.42%
25,164,589.25
61,102.34
31.61%
131,034.37
Aaa / AA+
Aaa
2.42
2.39
TOTAL PORTFOLIO 78,658,690.42 1.26%
78,813,197.61
78,843,525.12 0.33%
79,549,523.32
254,008.48
100.00%
705,998.20
Aa1 / AA+
Aaa
1.94
1.81
TOTAL MARKET VALUE PLUS ACCRUALS 79,803,531.80
As of September 30, 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
94975H296 Wells Fargo Treasury Plus MMFD 453 4,469.12 Various
0.01%
4,469.12
4,469.12
1.00
0.01%
4,469.12
0.00
0.52%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund 4,469.12 0.01%
4,469.12
4,469.12 0.01%
4,469.12
0.00
0.52%
0.00
Aaa / AAA
NR
0.00
0.00
US Treasury
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
217.10
28.87%
0.00
P-1 / A-1+
F-1+
0.10
0.10
912828G53 US Treasury Note
1.875% Due 11/30/2021
125,000.00 12/18/2020
0.11%
127,075.20
125,361.95
100.30
0.09%
125,372.25
787.65
14.57%
10.30
Aaa / AA+
AAA
0.17
0.17
912828ZG8 US Treasury Note
0.375% Due 03/31/2022
250,000.00 03/30/2021
0.08%
250,742.19
250,368.04
100.16
0.06%
250,390.50
2.58
28.92%
22.46
Aaa / AA+
AAA
0.50
0.50
912796K57 US Treasury Bill
0.070% Due 07/14/2022
235,000.00 07/19/2021
0.07%
234,835.96
234,835.96
99.93
0.07%
234,835.96
33.36
27.13%
0.00
P-1 / A-1+
F-1+
0.79
0.79
TOTAL US Treasury 860,000.00 0.09%
862,412.05
860,324.65 0.08%
860,357.41
1,040.69
99.48%
32.76
Aaa / AAA
Aaa
0.41
0.41
TOTAL PORTFOLIO 864,469.12 0.09%
866,881.17
864,793.77 0.08%
864,826.53
1,040.69
100.00%
32.76
Aaa / AAA
Aaa
0.41
0.41
TOTAL MARKET VALUE PLUS ACCRUALS 865,867.22
As of September 30, 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 07/21/2021 47789QAC4 310,000.00 John Deere Owner Trust 2021-B A3
0.52% Due: 03/16/2026
99.991 0.52%309,972.35 0.00 309,972.35 0.00
Purchase 07/29/2021 91282CCL3 1,500,000.00 US Treasury Note
0.375% Due: 07/15/2024
99.977 0.38%1,499,648.44 213.99 1,499,862.43 0.00
Purchase 07/30/2021 912828ZW3 1,500,000.00 US Treasury Note
0.25% Due: 06/30/2025
98.816 0.56%1,482,246.09 305.71 1,482,551.80 0.00
Purchase 08/02/2021 45950KCR9 1,000,000.00 International Finance Corp Note
1.375% Due: 10/16/2024
102.898 0.46%1,028,980.00 4,048.61 1,033,028.61 0.00
Purchase 08/09/2021 69371RR40 385,000.00 Paccar Financial Corp Note
0.5% Due: 08/09/2024
99.946 0.52%384,792.10 0.00 384,792.10 0.00
Purchase 08/09/2021 912828YM6 1,350,000.00 US Treasury Note
1.5% Due: 10/31/2024
103.352 0.45%1,395,246.09 5,557.74 1,400,803.83 0.00
Purchase 09/15/2021 91282CCX7 1,400,000.00 US Treasury Note
0.375% Due: 09/15/2024
99.805 0.44%1,397,265.63 0.00 1,397,265.63 0.00
Purchase 09/23/2021 4581X0DZ8 1,250,000.00 Inter-American Dev Bank Note
0.5% Due: 09/23/2024
99.926 0.52%1,249,075.00 0.00 1,249,075.00 0.00
Subtotal 8,695,000.00 8,747,225.70 10,126.05 8,757,351.75 0.00
TOTAL ACQUISITIONS 8,695,000.00 8,747,225.70 10,126.05 8,757,351.75 0.00
DISPOSITIONS
Sale 09/14/2021 912828T34 1,250,000.00 US Treasury Note
1.125% Due: 09/30/2021
100.051 -0.04%1,250,634.77 6,416.50 1,257,051.27 1,196.10
Sale 09/16/2021 912828F96 1,500,000.00 US Treasury Note
2% Due: 10/31/2021
100.234 0.08%1,503,515.63 11,331.52 1,514,847.15 4,846.52
Subtotal 2,750,000.00 2,754,150.40 17,748.02 2,771,898.42 6,042.62
June 30, 2021 through September 30, 2021
As of September 30, 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
Redemption 07/06/2021 037833CC2 750,000.00 Apple Inc Callable Note Cont 7/4/2021
1.55% Due: 08/04/2021
100.000 1.55%750,000.00 4,843.75 754,843.75 441.77
Subtotal 750,000.00 750,000.00 4,843.75 754,843.75 441.77
TOTAL DISPOSITIONS 3,500,000.00 3,504,150.40 22,591.77 3,526,742.17 6,484.39
June 30, 2021 through September 30, 2021
As of September 30, 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 07/20/2021 912796K57 235,000.00 US Treasury Bill
0.07% Due: 07/14/2022
99.930 0.07%234,835.96 0.00 234,835.96 0.00
Subtotal 235,000.00 234,835.96 0.00 234,835.96 0.00
TOTAL ACQUISITIONS 235,000.00 234,835.96 0.00 234,835.96 0.00
DISPOSITIONS
Maturity 07/15/2021 9127963S6 225,000.00 US Treasury Bill
0.122% Due: 07/15/2021
100.000 224,753.96 246.04 225,000.00 0.00
Subtotal 225,000.00 224,753.96 246.04 225,000.00 0.00
TOTAL DISPOSITIONS 225,000.00 224,753.96 246.04 225,000.00 0.00
June 30, 2021 through September 30, 2021
As of September 30, 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 September 30, 2021
38
Benchmark Disclosures
ICE BofA 1-3 Yr US Treasury Index
The ICE BofA 1-3 Year US Treasury Index tracks the performance of US dollar-denominated sovereign debt publicly issued by the US government in its domestic market .Qualifying securities must have at
least one year remaining term to final maturity and less than three years remaining term to final maturity,a fixed coupon schedule,and a minimum amount outstanding of $1 billion.Qualifying securities
must haveat least 18 months to final maturity at thetime of issuance.
ICE BofA 3-Month US Treasury Bill Index
The ICE BofA US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a
newlyselected issue.The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to,butnotbeyond,three months from the rebalancingdate.
As of September 30, 2021
39
Supplement to Quarterly Investment Report
Town Managed Cash Account
Average Average
Maturity Yield Cost
Town Funds 0 0.221%14,405,814
Trust Fund 0 0.221%1,136,341
.
Community Development Agency DS/Successor Agency 0 0.221%331,866
NERIAD 0 0.221%391,128
Total LAIF Funds Managed by the Town 16,265,150$
LAIF Funds Managed/Reported by Chandler Investments 75,270
Total LAIF Funds 16,340,420$
LAIF Funds Managed by the Town
(Local Agency Investment Fund)
August 2021