HomeMy WebLinkAbout011122-07.1CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending December 31, 2021
Town of Danville
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of December 31, 2021
1
SECTION |Section 1 |Economic Update
2
Economic Update
In our view,economic growth is likely to moderate but remain modestly above-trend in 2022,fueled in part by ongoing
tailwinds from fiscal support,accommodative monetary policy,and continued progress on vaccinations.Our outlook
assumes an improving global health backdrop, though risks to the downside remain.Covid infection rates in the US and on a
global basis have recently increased,and the new omicron variant poses a significant risk to the outlook.Given the high
level of uncertainty regarding omicron’s impact on the global health situation,supply chains,and the broader economy,we
expect financial market volatility will be elevated over the near-term.Inflation readings continue to run hot,but market-
based inflation expectations remain relatively contained and we believe inflation may be at or near a peak.We expect
supply chain bottlenecks will continue to put upward pressure on prices over the near-term but should improve during
2022.
The Federal Open Market Committee (FOMC)kept the fed funds target rate unchanged in December,in a range of 0.0%-
0.25%,but announced plans to accelerate the pace of their tapering process.The Fed will reduce the magnitude of their
monthly asset purchases by $30 billionin January,doubling the pace of the monthly reduction in asset purchases that began
in November.Should the Fed continue to reduce their monthly asset purchases at the new pace,their bond-buying
program would end this spring (late-March or mid-April).The FOMC’s updated Summary of Economic Projections indicates
that policymakers may be prepared to hike the fed funds rate three times in 2022 (based on the median estimate),up from
the previous projection of just one 25 basis point hike.The Fed’s updated projections suggest that these hikes would be
amid a backdrop of strong economic growth.With inflation now more elevated and prolonged than originally anticipated,
we believe the Fed’s decision to accelerate the tapering process is prudent.However,we do not believe that monetary
policy is on a pre-set course and expect the Fed will adjust policy if necessary,depending on developments in the
economy.
In December,the 2-year Treasury yield increased nearly 17 basis points to 0.73%,the 5-year Treasury yield increased ten
basis points to 1.26%,and the 10-year Treasury yield increased about seven basis points to 1.51%in the month.Given the
high level of uncertainty regarding the outlook for monetary policy as well as the unknown impact of the new omicron
variant,we believe an ongoing flight to quality may keep downward pressure on the longer end of the Treasury curve,at
least over the near-term.
3
Source: US Department of Labor Source: US Department of Labor
Employment
Job growth was weaker than expected in November,but the unemployment rate still declined four tenths of a percent to 4.2%.We believe a
variety of factors are keeping some workers out of the labor force, which has likely held back job growth despite strong demand from
employers.U.S.nonfarm payrolls increased by 210,000 in November,versus the consensus forecast of 550,000.On a trailing 3-month and 6-
month basis,payrolls increased an average of 378,000 and 612,000 per month,as job growth has decelerated from the summer months.The
labor participation rate improved to 61.8%in November from 61.6%in October but remains lower than the pre-pandemic level of 63.4%.The
employment-population ratio increased to 59.2%from 58.8%,but also remains below the pre-pandemic level of 61.1%.The U-6
underemployment rate,which includes those who are marginally attached to the labor force and employed part time for economic reasons,
declined to 7.8%in November from 8.3%in October (versus 7.0%in February 2020).Annualized average hourly earnings were up by 4.8%in
November (unchanged from October),reflecting strong wage growth driven in part by the ongoing imbalance in the supply and demand for
labor.
-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
-
5,000
10,000
15,000
20,000
25,000
In
t
h
o
u
s
a
n
d
s
Initial Jobless Claims
Continuing Claims
Initial Claims For Unemployment April 10, 2020 -December 24, 2021
In the most recent week,the number of initial jobless claims was 198,000,versus 206,000 in the prior week.The level of continuing
unemployment claims (where the data is lagged by one week)declined to 1.716 million versus 1.856 million in the prior week.Continuing
jobless claims have declined significantly from the peak of nearly 25 millionin May 2020,and are in the range of pre-pandemic levels (the 2019
average was 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 6.8%year-over-year in November,versus up 6.2%year-over-year in October.Core CPI (CPI less food
and energy)was up 4.9%year-over-year in November,versus up 4.6%in October.Pricing pressures were widespread in November,with
notable gains for energy,food,used cars and trucks,new vehicles,and rent.The Personal Consumption Expenditures (PCE)index was up 5.7%
year-over-year in November,up from 5.1%in October.Core PCE was up 4.7%year-over-year in November,versus up 4.2%in October.Current
inflation readings continue to run well above the Fed’s longer-run target of around 2.0%.Upward pressure on inflation from supply chain
bottlenecks and pandemic-related disruptions is likely to remain elevated over the near-term.
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
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 18.2%in November versus up 16.3%in October.On a month-over-month basis,retail sales were
softer than expected in November,up 0.3%versus expectations of 0.8%,but this followed an upwardly revised gain of 1.8%in October.In our
view,the data suggests that consumers may have started shopping early this holiday season in anticipation of supply shortages.Higher gas
prices seem to have taken some wallet share,with spending at gasoline stations up 1.7%month-over-month.Amid the current resurgence of
virus cases,the outlook for December retail sales is uncertain,and nonstore retailers (online)may be poised to outperform.The Consumer
Confidence index increased to 115.8 in December from 111.9 in November.The improvement came despite the arrival of the omicron variant
and still elevated inflation.
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 1.1%month-over-month in November,following a 0.9%increase in October.
On a year-over-year basis,the LEI was up 9.8%in November versus up 9.6%in October.The Conference Board believes the strong gain in the
LEI in November suggests that the economic expansion will continue into the first half of 2022,but they caution that ongoing supply chain
headwinds and the current resurgence of the virus pose risks to the outlook.The Conference Board expects GDP growth to moderate in the
first quarter to 2.2%versus their forecast of 6.5%growth in the fourth quarter of this year.Meanwhile,the Chicago Fed National Activity Index
(CFNAI)declined to 0.37 in November from 0.76 in October.On a 3-month moving average basis,the CFNAI increased to 0.37 in November
versus 0.21 in October.
-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 jumped 11.8%in November to an annual pace of 1,679,000.Single-family starts increased 11.3%while multi-family starts
increased 12.9%,month-over-month.On a year-over-year basis total housing starts were up 8.3%in November.According to the Case-Shiller
20-City home price index,home prices were up 18.4%year-over-year in October versus up 19.1%year-over-year in September,suggesting the
acceleration in home prices is easing. However, tight supply will likely continue to support prices.
9
Source: Institute for Supply Management Source: Federal Reserve
Manufacturing
The Institute for Suppl y Management (ISM)manufacturing index increased to 61.1 in November from 60.8 in October,pointing to continued
strength in manufacturing. Readings above 50.0 are indicative of expansion in the manufacturing sector.The Industrial Production index was
up 5.3%in November,on par with October’s year-over-year gain.On a month-over-month basis,the Industrial Production index increased
0.5%in November,following an upwardly revised 1.7%increase in October.Though manufacturing production likely remains constrained by
supply chain bottlenecks,capacity utilization increased to 76.8%in November from 76.5%in October.Although capacity utilization remains
below its longer-run average of 79.6%, it is running above the pre-pandemic level of 76.3%.
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
12/20 3/21 6/21 9/21
2.3% 7.4% 7.9% 1.4%
4.0% -0.4% -0.7% 2.1%
-1.7% -1.6% -0.2% -1.3%
-0.2% 0.8% -0.4% -0.4%
0.1% 0.0% 0.0% 0.5%
4.5% 6.3% 6.7% 2.3%
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)
Real US gross domestic product (GDP)growth decelerated in the third quarter amid widespread supply chain disruptions and a surge in the
Covid Delta variant.However,third quarter growth was slightly better than previously estimated.According to the final estimate,third quarter
GDP grew at an annualized rate of 2.3%in the third quarter,revised up from the second estimate of 2.1%and the advance estimate of 2.0%.
This follows a much stronger pace of growth in the first half of this year,with first and second quarter annualized GDP growth up 6.3%and
6.7%,respectively.The consensus forecast calls for 6.0%GDP growth in the current quarter.For the first quarter of 2022,the consensus
estimate calls for 4.0% GDP growth. Though the impact on economic activity from each resurgence of the virus seems to lessen with each wave,
we believe there is risk to the first quarter growth outlook.
11
Federal Reserve
Source: Federal Reserve Source: Bloomberg
Last year,the Fed took a wide 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,and 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.
Many of the Fed's lending facilities expired at the end of 2020.In June 2021,the Fed announced plans to unwind its corporate credit facility.
The Fed started to taper their Treasury and agency MBS purchases in November 2021,and we believe the Fed's bond-buying program islikely
to end in the spring of 2022. The Fed has also signaled that they are likely to start hiking the fed funds target rate in 2022.
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
Effective Federal Funds Rate
Yi
e
l
d
(
%
)
2,000,000
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%
US Treasury Note Yields
2-Year
5-Year
10-Year
Y
i
e
l
d
(
%
)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
US Treasury Yield Curve
Dec-21
Sep-21
Dec-20
Y
i
e
l
d
(
%
)
Bond Yields
At the end of December,the 2-year Treasury yield was about 61 basis points higher and the 10-Year Treasury yield was about 60 basis points
higher,year-over-year.The spread between the 2-year Treasury yield and 10-year Treasury yield was 78 basis points at year-end compared to
the average historical spread (since 2002) of about 135 basis points.
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 December 31, 2021
15
Compliance As of December 31, 2021
Category Standard Comment
U.S. Treasuries No Limitation; Obligations of the U.S. Treasury or securities guaranteed by the full faith and credit of the U.S. ("Treasury obligations")
excluding securities which have been stripped of their coupon Complies
Federal Agencies No Limitation; Obligations guaranteed by the full faith and credit of agencies or instrumentalities of the U.S. government ("Agency
obligations"), including, but not limited to FNMA, FFCB, FHLB, FHLMC.Complies
Supranational Obligations
"AA" rating category or higher by a NRSRO; 30% max; 5% max per issuer; USD denominated senior unsecured unsubordinated obligations;
Issued or unconditionally guaranteed by International Bank for Reconstruction (IBRD), International Finance Corporation (IFC), or Inter-
American Development Bank (IADB);
Complies
Municipal Securities (CA, Local Agency)"A" rating category or better by a NRSRO; 30% max; 5% max per issuer; Include obligations of the Town, State of California, and any local
agency within the State of California Complies
Municipal Securities (CA, Other States)
"A" rating category or better by a NRSRO; 30% max; 5% max per issuer; Any of the other 49 states, in addition to California, including
bonds payable solely out of the revenues from a revenue-producing property owned, controlled, or operated by a state or by a
department, board, agency, or authority of any of the other 49 states, in addition to California.
Complies
Corporate Medium Term Notes "A" rating category or higher by a NRSRO; 30% max (Town Council Directive as of 7/21/16: 20% maximum. Of the 20% total permitted, up
to 10% rated "A", and the balance rated "AA" or better); 5% max per issuer Complies
Agency Mortgage Pass-Through Securities 15% max; 5% max per issuer; Issued by Agencies of the U.S. government only Complies
Collateralized Mortgage Obligation
(CMOs) and Asset Backed Securities (ABS)AAA rated by a NRSRO; 15% max(combination of ABS and CMOs); 5% max per issuer Complies
Negotiable Certificates of Deposit (NCD)"A-1" short-term rated or higher by a NRSRO; and "A" long-term rating category or higher by a NRSRO; 30% max; 5% max per issuer; 2
years max maturity Complies
Bank/Time Deposits Funds on deposit in banks must be FDIC insured or collateralized in accordance with California Government Code Complies
Banker’s Acceptances "A-1" short-term rated or higher by a NRSRO; and "A" long-term rating category or higher by a NRSRO; 40% max; 5% max per issuer; 180
days max maturity Complies
Commercial Paper "A-1" short-term rated or higher by a NRSRO; and "A" long-term rating category or higher by a NRSRO, if any; 25% max; 5% max per issuer;
270 days max maturity; Issued by corporations organized and operating within the U.S. and having total assets in excess of $500 million Complies
Money Market Mutual Funds Highest rating by two NRSROs; or SEC registered adviser with AUM >$500 million and experience greater than 5 years; 20% max in Money
Market Mutual Funds; 20% max combined Money Market Mutual Funds and Mutual Funds Complies
Mutual Funds Highest rating by two NRSROs; or SEC registered adviser with AUM >$500 million and experience greater than 5 years; 10% max per one
Mutual Fund; 20% max combined Money Market Mutual Funds and Mutual Funds Complies
Local Agency Investment Fund (LAIF)30% max or $10 million, whichever is higher; The amount invested in LAIF should be based upon the Town's cash flow needs and the
difference in yield paid upon funds invested in LAIF compared to other investment options authorized by the policy.Complies
Repurchase Agreements 15% max; 30 days max maturity; Market value of securities shall not be < 102% of the repurchase amount; Collateralized by Treasury or
Agency obligations; Delivered to the Town's custody bank; Not used by Investment Adviser Complies
Prohibited
Inverse floaters, range notes, mortgage derived interest-only strips; zero interest accrual if held to maturity; Trading securities for the sole
purpose of speculating on the future direction of interest rates; Purchasing or selling securities on margin; Reverse Repurchase
Agreements; Securities lending; Foreign currency denominated securities
Complies
Max Per Issuer 5% max per issuer, with the exception of LAIF, Treasuries, Agencies, Money Market Mutual Funds; or unless otherwise stated in the
investment policy Complies
Maximum Maturity 5 years Complies
Assets managed by Chandler Asset Management are in full compliance with state law and the Client’s investment policy.
Town of Danville - All Accounts
16
Portfolio Characteristics
Danville Short Term Treasury Pool
12/31/2021 9/30/2021
Benchmark*Portfolio Portfolio
Average Maturity (yrs)1.85 1.89 1.94
Average Modified Duration 1.82 1.78 1.81
Average Purchase Yield n/a 1.16%1.26%
Average Market Yield 0.68%0.69%0.33%
Average Quality**AAA AA+/Aa1 AA+/Aa1
Total Market Value 79,425,827 79,803,532
*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 December 31, 2021
17
Danville Short Term Treasury Pool
Sector Distribution
ABS
4.5%
Agency
39.5%
Corporate
15.3%
LAIF
0.1%Money Market
Fund
0.4%
Supranational
4.7%
US Treasury
35.6%
December 31, 2021 September 30, 2021
ABS
4.2%
Agency
45.2%
Corporate
13.5%
LAIF
0.1%
Money Market
Fund
0.6%
Supranational
4.7%
US Treasury
31.6%
As of December 31, 2021
18
Issue Name Investment Type % Portfolio
Government of United States US Treasury 35.62%
Federal National Mortgage Association Agency 12.68%
Federal Home Loan Mortgage Corp Agency 10.74%
Federal Home Loan Bank Agency 10.42%
Federal Farm Credit Bank Agency 5.68%
Inter-American Dev Bank Supranational 2.95%
Toyota ABS ABS 1.58%
Deere & Company Corporate 1.44%
Toyota Motor Corp Corporate 1.30%
Berkshire Hathaway Corporate 1.28%
Honda Motor Corporation Corporate 1.28%
International Finance Corp Supranational 1.28%
John Deere ABS ABS 1.26%
Charles Schwab Corp/The Corporate 1.26%
Amazon.com Inc Corporate 1.25%
Caterpillar Inc Corporate 1.13%
Paccar Financial Corporate 1.12%
Wal-Mart Stores Corporate 1.05%
Bank of New York Corporate 0.98%
US Bancorp Corporate 0.98%
Apple Inc Corporate 0.97%
JP Morgan Chase & Co Corporate 0.93%
Honda ABS ABS 0.68%
Nissan ABS ABS 0.47%
Mercedes-Benz Auto Lease Trust ABS 0.45%
Intl Bank Recon and Development Supranational 0.44%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund 0.37%
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 December 31, 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 December 31, 2021
0 -0.25 0.25 -0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
Portfolio 5.5% 5.1% 11.9% 38.8% 28.4% 10.4% 0.0% 0.0%
Benchmark*0.0% 0.0% 2.8% 55.8% 41.3% 0.0% 0.0% 0.0%
*ICE BofA 1-3 Yr US Treasury Index
Duration Distribution
Danville Short Term Treasury Pool
As of December 31, 2021
20
Purchase Yield as of 12/31/2021 = 1.16%
0.0
0.5
1.0
1.5
2.0
2.5
Pe
r
c
e
n
t
(
%
)
Historical Average Purchase Yield
Danville Short Term Treasury Pool
As of December 31, 2021
21
Growth of $1 Million
Growth Over Time As of December 31, 2021
As of 12/31/2021 Dollar Value Return
Danville Total Return $2,538,516 3.54%
Danville Realized Return $2,493,224 3.47%
LAIF $1,990,501 2.61%
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.
-1.00%
-0.50%
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 -0.47%-0.50%1.32%2.13%1.79%1.26%3.54%
ICE BofA 1-3 Yr US Treasury Index -0.53%-0.55%1.26%2.02%1.61%1.09%3.29%
REALIZED RATE OF RETURN
Danville Short Term Treasury Pool 0.37%1.55%1.76%1.85%1.71%1.45%3.47%
Investment Performance
Danville Short Term Treasury Pool
As of December 31, 2021
23
Portfolio Characteristics
Danville NERIAD Improvement Fund (89-1 90A)
12/31/2021 9/30/2021
Benchmark*Portfolio Portfolio
Average Maturity (yrs)0.16 0.58 0.41
Average Modified Duration 0.15 0.58 0.41
Average Purchase Yield n/a 0.11%0.09%
Average Market Yield 0.03%0.14%0.08%
Average Quality**AAA AAA/Aaa AAA/Aaa
Total Market Value 865,905 865,867
*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 December 31, 2021
24
Issue Name Investment Type % Portfolio
Government of United States US Treasury 99.30%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund 0.70%
TOTAL 100.00%
Issuers
Danville NERIAD Improvement Fund (89-1 90A) –Account #24
As of December 31, 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
43815NAC8 Honda Auto Receivables Trust 2019-3 A3
1.780% Due 08/15/2023
280,490.21 08/20/2019
1.79%
280,487.88
280,489.67
100.57
0.35%
282,090.97
221.90
0.36%
1,601.30
Aaa / AAA
NR
1.62
0.40
477870AC3 John Deere Owner Trust 2019-B A3
2.210% Due 12/15/2023
119,264.74 07/16/2019
2.23%
119,239.42
119,253.49
100.66
0.63%
120,050.34
117.14
0.15%
796.85
Aaa / NR
AAA
1.96
0.42
65479JAD5 Nissan Auto Receivables Owner 2019-C A3
1.930% Due 07/15/2024
371,136.34 10/16/2019
1.94%
371,116.75
371,125.84
100.81
0.38%
374,132.15
318.35
0.47%
3,006.31
Aaa / AAA
NR
2.54
0.52
47789KAC7 John Deere Owner Trust 2020-A A3
1.100% Due 08/15/2024
321,916.86 03/04/2020
1.11%
321,897.19
321,905.23
100.35
0.58%
323,049.36
157.38
0.41%
1,144.13
Aaa / NR
AAA
2.62
0.68
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
359,978.26
99.25
0.81%
357,285.24
64.00
0.45%
(2,693.02)
NR / AAA
AAA
2.88
1.85
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
254,962.06
99.19
0.84%
252,937.05
40.80
0.32%
(2,025.01)
Aaa / NR
AAA
3.71
1.70
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
1,024,908.77
99.03
0.87%
1,015,107.73
118.44
1.28%
(9,801.04)
NR / AAA
AAA
3.88
1.58
43815GAC3 Honda Auto Receivables Trust 2021-4 A3
0.880% Due 01/21/2026
260,000.00 11/16/2021
0.89%
259,945.19
259,946.95
99.76
0.99%
259,372.62
63.56
0.33%
(574.33)
Aaa / NR
AAA
4.06
2.13
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
309,975.75
98.86
1.02%
306,467.55
71.64
0.39%
(3,508.20)
Aaa / NR
AAA
4.21
2.30
89238JAC9 Toyota Auto Receivables Trust 2021-D A3
0.710% Due 04/15/2026
245,000.00 11/09/2021
0.71%
244,994.78
244,994.99
99.39
1.37%
243,493.99
77.31
0.31%
(1,501.00)
NR / AAA
AAA
4.29
0.94
TOTAL ABS 3,547,808.15 0.82%
3,547,466.98
3,547,541.01 0.79%
3,533,987.00
1,250.52
4.45%
(13,554.01)
Aaa / AAA
Aaa
3.33
1.35
Agency
3135G0S38 FNMA Note
2.000% Due 01/05/2022
1,400,000.00 09/27/2017
1.90%
1,405,418.00
1,400,013.90
100.01
1.03%
1,400,149.80
13,688.89
1.78%
135.90
Aaa / AA+
AAA
0.01
0.01
3130AEBM1 FHLB Note
2.750% Due 06/10/2022
1,475,000.00 Various
2.84%
1,470,268.25
1,474,472.49
101.14
0.16%
1,491,884.33
2,366.15
1.88%
17,411.84
Aaa / AA+
NR
0.44
0.44
313383WD9 FHLB Note
3.125% Due 09/09/2022
1,000,000.00 11/05/2018
3.10%
1,000,830.00
1,000,148.49
101.95
0.29%
1,019,465.00
9,722.22
1.30%
19,316.51
Aaa / AA+
AAA
0.69
0.68
3133EKY91 FFCB Note
1.375% Due 10/11/2022
1,500,000.00 10/15/2019
1.64%
1,488,585.00
1,497,039.01
100.97
0.12%
1,514,610.00
4,583.33
1.91%
17,570.99
Aaa / AA+
AAA
0.78
0.77
3130AFE78 FHLB Note
3.000% Due 12/09/2022
1,700,000.00 12/20/2018
2.77%
1,714,756.00
1,703,482.78
102.45
0.38%
1,741,648.30
3,116.67
2.20%
38,165.52
Aaa / AA+
AAA
0.94
0.93
As of December 31, 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
3135G0T94 FNMA Note
2.375% Due 01/19/2023
1,500,000.00 03/18/2019
2.46%
1,495,455.00
1,498,758.39
102.05
0.41%
1,530,808.50
16,031.25
1.95%
32,050.11
Aaa / AA+
AAA
1.05
1.03
3130ADRG9 FHLB Note
2.750% Due 03/10/2023
900,000.00 03/28/2019
2.24%
917,136.00
905,145.55
102.64
0.52%
923,774.40
7,631.25
1.17%
18,628.85
Aaa / AA+
NR
1.19
1.17
3137EAER6 FHLMC Note
0.375% Due 05/05/2023
1,330,000.00 05/05/2020
0.39%
1,329,441.40
1,329,750.09
99.78
0.54%
1,327,124.54
775.83
1.67%
(2,625.55)
Aaa / AA+
AAA
1.34
1.34
3135G04Q3 FNMA Note
0.250% Due 05/22/2023
1,425,000.00 05/20/2020
0.35%
1,420,710.75
1,423,017.94
99.59
0.55%
1,419,126.15
385.94
1.79%
(3,891.79)
Aaa / AA+
AAA
1.39
1.39
3133ELG81 FFCB Note
0.300% Due 06/08/2023
1,500,000.00 06/02/2020
0.33%
1,498,875.00
1,499,462.67
99.65
0.54%
1,494,807.00
287.50
1.88%
(4,655.67)
Aaa / AA+
AAA
1.44
1.43
3133834G3 FHLB Note
2.125% Due 06/09/2023
1,500,000.00 06/10/2019
2.00%
1,507,305.00
1,502,623.59
102.19
0.60%
1,532,787.00
1,947.92
1.93%
30,163.41
Aaa / AA+
NR
1.44
1.42
3137EAES4 FHLMC Note
0.250% Due 06/26/2023
1,305,000.00 06/24/2020
0.35%
1,301,189.40
1,303,117.32
99.53
0.57%
1,298,829.96
45.31
1.64%
(4,287.36)
Aaa / AA+
AAA
1.48
1.48
3135G05G4 FNMA Note
0.250% Due 07/10/2023
1,460,000.00 Various
0.28%
1,458,850.00
1,459,417.97
99.46
0.60%
1,452,174.40
1,733.75
1.83%
(7,243.57)
Aaa / AA+
AAA
1.52
1.52
3133EL3V4 FFCB Note
0.200% Due 08/14/2023
1,500,000.00 08/12/2020
0.27%
1,496,880.00
1,498,312.74
99.71
0.38%
1,495,593.00
1,141.67
1.88%
(2,719.74)
Aaa / AA+
AAA
1.62
1.61
3137EAEV7 FHLMC Note
0.250% Due 08/24/2023
1,500,000.00 09/28/2020
0.22%
1,501,095.00
1,500,620.40
99.36
0.64%
1,490,406.00
1,322.92
1.88%
(10,214.40)
Aaa / AA+
AAA
1.65
1.64
3137EAEW5 FHLMC Note
0.250% Due 09/08/2023
1,490,000.00 Various
0.26%
1,489,430.30
1,489,680.35
99.33
0.65%
1,480,031.90
1,169.23
1.86%
(9,648.45)
Aaa / AA+
AAA
1.69
1.68
3137EAEZ8 FHLMC Note
0.250% Due 11/06/2023
1,455,000.00 11/03/2020
0.28%
1,453,690.50
1,454,194.71
99.13
0.73%
1,442,276.03
555.73
1.82%
(11,918.68)
Aaa / AA+
AAA
1.85
1.84
3135G06H1 FNMA Note
0.250% Due 11/27/2023
1,500,000.00 11/24/2020
0.27%
1,499,160.00
1,499,465.38
99.13
0.71%
1,487,016.00
354.17
1.87%
(12,449.38)
Aaa / AA+
AAA
1.91
1.90
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
1,500,000.00 12/09/2020
0.26%
1,499,610.00
1,499,748.36
99.07
0.74%
1,485,982.50
281.25
1.87%
(13,765.86)
Aaa / AA+
AAA
1.93
1.91
3135G0V34 FNMA Note
2.500% Due 02/05/2024
1,700,000.00 03/24/2020
0.82%
1,808,052.00
1,758,540.92
103.56
0.78%
1,760,486.00
17,236.11
2.24%
1,945.08
Aaa / AA+
AAA
2.10
2.03
3130A7PH2 FHLB Note
1.875% Due 03/08/2024
1,500,000.00 03/03/2020
0.85%
1,560,525.00
1,532,927.25
102.32
0.80%
1,534,872.00
8,828.13
1.94%
1,944.75
Aaa / AA+
NR
2.19
2.13
As of December 31, 2021
28
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
3135G05X7 FNMA Note
0.375% Due 08/25/2025
1,000,000.00 12/09/2021
1.17%
971,060.00
971,530.22
97.29
1.14%
972,891.00
1,312.50
1.23%
1,360.78
Aaa / AA+
AAA
3.65
3.60
TOTAL Agency 31,140,000.00 1.10%
31,288,322.60
31,201,470.52 0.58%
31,296,743.81
94,517.72
39.52%
95,273.29
Aaa / AA+
Aaa
1.45
1.44
Corporate
084664BT7 Berkshire Hathaway Note
3.000% Due 05/15/2022
1,000,000.00 03/16/2018
2.98%
1,000,670.00
1,000,059.18
100.94
0.47%
1,009,391.00
3,833.33
1.28%
9,331.82
Aa2 / AA
A+
0.37
0.37
69371RQ33 Paccar Financial Corp Note
2.000% Due 09/26/2022
500,000.00 09/23/2019
2.04%
499,390.00
499,850.84
101.22
0.34%
506,103.00
2,638.89
0.64%
6,252.16
A1 / A+
NR
0.74
0.73
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
255,162.42
101.27
0.48%
258,232.38
433.71
0.33%
3,069.96
Aa2 / AA-
NR
0.93
0.68
89236TEL5 Toyota Motor Credit Corp Note
2.700% Due 01/11/2023
1,000,000.00 01/25/2019
3.22%
980,920.00
995,041.58
102.25
0.50%
1,022,500.00
12,750.00
1.30%
27,458.42
A1 / A+
A+
1.03
1.01
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
750,621.36
102.14
0.65%
766,023.00
9,381.25
0.98%
15,401.64
A1 / AA-
AA-
1.06
0.96
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
754,490.33
102.21
0.71%
766,596.00
9,341.67
0.98%
12,105.67
A1 / A
AA-
1.08
0.97
037833AK6 Apple Inc Note
2.400% Due 05/03/2023
750,000.00 05/29/2019
2.54%
746,205.00
748,710.28
102.39
0.60%
767,947.50
2,900.00
0.97%
19,237.22
Aaa / AA+
NR
1.34
1.32
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
809,638.87
104.03
0.51%
832,268.80
377.78
1.05%
22,629.93
Aa2 / AA
AA
1.48
1.38
02665WCT6 American Honda Finance Note
3.550% Due 01/12/2024
950,000.00 08/19/2019
2.07%
1,008,634.00
977,070.28
104.98
1.07%
997,280.55
15,832.01
1.28%
20,210.27
A3 / A-
NR
2.03
1.94
24422EVN6 John Deere Capital Corp Note
0.450% Due 01/17/2024
615,000.00 03/01/2021
0.47%
614,563.35
614,689.47
99.05
0.92%
609,151.97
1,260.75
0.77%
(5,537.50)
A2 / A
A
2.05
2.02
808513BN4 Charles Schwab Corp Callable Note Cont 2/18/2024
0.750% Due 03/18/2024
1,000,000.00 11/17/2021
0.92%
996,020.00
996,221.34
99.57
0.95%
995,709.00
2,145.83
1.26%
(512.34)
A2 / A
A
2.21
2.18
023135BW5 Amazon.com Inc Note
0.450% Due 05/12/2024
1,000,000.00 Various
0.69%
994,141.10
994,465.96
99.04
0.86%
990,382.00
612.51
1.25%
(4,083.96)
A1 / AA
AA-
2.36
2.34
14913R2L0 Caterpillar Financial Service Note
0.450% Due 05/17/2024
905,000.00 05/10/2021
0.50%
903,787.30
904,040.68
98.78
0.97%
893,959.91
497.75
1.13%
(10,080.77)
A2 / A
A
2.38
2.36
24422EVQ9 John Deere Capital Corp Note
0.450% Due 06/07/2024
540,000.00 06/07/2021
0.49%
539,325.00
539,451.60
98.78
0.96%
533,391.48
162.00
0.67%
(6,060.12)
A2 / A
A
2.44
2.41
As of December 31, 2021
29
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
69371RR40 Paccar Financial Corp Note
0.500% Due 08/09/2024
385,000.00 08/03/2021
0.52%
384,792.10
384,819.61
98.29
1.17%
378,403.80
759.31
0.48%
(6,415.81)
A1 / A+
NR
2.61
2.57
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
750,829.63
98.85
1.10%
741,385.50
515.00
0.93%
(9,444.13)
A2 / A-
AA-
3.42
3.36
TOTAL Corporate 11,950,000.00 1.75%
12,019,457.75
11,975,163.43 0.77%
12,068,725.89
63,441.79
15.27%
93,562.46
A1 / A+
A+
1.71
1.66
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 75,270.35 Various
0.22%
75,270.35
75,270.35
1.00
0.22%
75,270.35
76.54
0.09%
0.00
NR / NR
NR
0.00
0.00
TOTAL LAIF 75,270.35 0.22%
75,270.35
75,270.35 0.22%
75,270.35
76.54
0.09%
0.00
NR / NR
NR
0.00
0.00
Money Market Fund
94975H296 Wells Fargo Treasury Plus MMFD 453 292,173.35 Various
0.01%
292,173.35
292,173.35
1.00
0.01%
292,173.35
0.00
0.37%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund 292,173.35 0.01%
292,173.35
292,173.35 0.01%
292,173.35
0.00
0.37%
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
1,096,386.55
100.43
0.24%
1,104,752.00
4,117.36
1.40%
8,365.45
Aaa / AAA
AAA
0.28
0.29
459058JM6 Intl. Bank Recon & Development Note
0.250% Due 11/24/2023
355,000.00 11/17/2020
0.32%
354,236.75
354,517.65
99.10
0.73%
351,789.38
91.22
0.44%
(2,728.27)
Aaa / AAA
AAA
1.90
1.89
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
1,249,159.40
98.68
0.99%
1,233,437.50
1,701.39
1.56%
(15,721.90)
Aaa / AAA
NR
2.73
2.70
45950KCR9 International Finance Corp Note
1.375% Due 10/16/2024
1,000,000.00 07/29/2021
0.46%
1,028,980.00
1,025,218.29
101.01
1.01%
1,010,149.00
2,864.58
1.28%
(15,069.29)
Aaa / AAA
NR
2.79
2.73
TOTAL Supranational 3,705,000.00 1.21%
3,686,509.75
3,725,281.89 0.75%
3,700,127.88
8,774.55
4.67%
(25,154.01)
Aaa / AAA
Aaa
1.94
1.91
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
1,298,794.01
100.28
0.15%
1,303,659.50
8,282.11
1.65%
4,865.49
Aaa / AA+
AAA
0.16
0.16
As of December 31, 2021
30
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
912828W89 US Treasury Note
1.875% Due 03/31/2022
1,250,000.00 10/24/2017
1.98%
1,244,580.08
1,249,701.87
100.43
0.15%
1,255,327.50
5,988.15
1.59%
5,625.63
Aaa / AA+
AAA
0.25
0.25
912828L24 US Treasury Note
1.875% Due 08/31/2022
900,000.00 10/04/2018
3.01%
862,488.28
893,634.06
101.05
0.29%
909,422.10
5,733.77
1.15%
15,788.04
Aaa / AA+
AAA
0.67
0.66
912828M80 US Treasury Note
2.000% Due 11/30/2022
950,000.00 04/29/2019
2.28%
940,759.77
947,651.15
101.45
0.41%
963,767.40
1,670.33
1.22%
16,116.25
Aaa / AA+
AAA
0.92
0.91
912828R28 US Treasury Note
1.625% Due 04/30/2023
1,500,000.00 06/19/2019
1.87%
1,486,582.03
1,495,394.12
101.45
0.53%
1,521,679.50
4,174.72
1.92%
26,285.38
Aaa / AA+
AAA
1.33
1.32
912828R69 US Treasury Note
1.625% Due 05/31/2023
1,500,000.00 04/11/2019
2.30%
1,460,156.25
1,486,383.85
101.51
0.55%
1,522,675.50
2,142.86
1.92%
36,291.65
Aaa / AA+
AAA
1.41
1.40
912828T91 US Treasury Note
1.625% Due 10/31/2023
1,500,000.00 09/13/2019
1.78%
1,490,917.97
1,495,971.58
101.69
0.69%
1,525,371.00
4,174.72
1.93%
29,399.42
Aaa / AA+
AAA
1.83
1.80
91282CBA8 US Treasury Note
0.125% Due 12/15/2023
750,000.00 01/08/2021
0.22%
747,861.33
748,572.22
98.86
0.71%
741,474.75
43.78
0.93%
(7,097.47)
Aaa / AA+
AAA
1.96
1.95
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
1,000,000.00 04/14/2021
0.36%
1,000,351.56
1,000,267.84
99.02
0.81%
990,156.00
803.57
1.25%
(10,111.84)
Aaa / AA+
AAA
2.29
2.27
91282CCC3 US Treasury Note
0.250% Due 05/15/2024
1,250,000.00 05/12/2021
0.36%
1,246,093.75
1,246,911.42
98.66
0.82%
1,233,202.50
405.73
1.55%
(13,708.92)
Aaa / AA+
AAA
2.37
2.36
91282CCG4 US Treasury Note
0.250% Due 06/15/2024
1,500,000.00 06/10/2021
0.33%
1,496,542.97
1,497,173.81
98.55
0.85%
1,478,203.50
175.14
1.86%
(18,970.31)
Aaa / AA+
AAA
2.46
2.44
91282CCL3 US Treasury Note
0.375% Due 07/15/2024
1,500,000.00 07/28/2021
0.38%
1,499,648.44
1,499,699.13
98.79
0.86%
1,481,778.00
2,598.51
1.87%
(17,921.13)
Aaa / AA+
AAA
2.54
2.52
912828YE4 US Treasury Note
1.250% Due 08/31/2024
1,000,000.00 02/09/2021
0.26%
1,034,804.69
1,026,090.11
100.94
0.89%
1,009,414.00
4,247.24
1.28%
(16,676.11)
Aaa / AA+
AAA
2.67
2.61
91282CCX7 US Treasury Note
0.375% Due 09/15/2024
1,400,000.00 09/13/2021
0.44%
1,397,265.63
1,397,535.08
98.61
0.90%
1,380,531.60
1,566.30
1.74%
(17,003.48)
Aaa / AA+
AAA
2.71
2.68
912828YM6 US Treasury Note
1.500% Due 10/31/2024
1,350,000.00 08/06/2021
0.45%
1,395,246.09
1,389,681.47
101.59
0.93%
1,371,462.30
3,468.23
1.73%
(18,219.17)
Aaa / AA+
AAA
2.84
2.76
91282CDH1 US Treasury Note
0.750% Due 11/15/2024
1,500,000.00 11/10/2021
0.80%
1,497,832.03
1,497,925.00
99.46
0.94%
1,491,913.50
1,460.64
1.88%
(6,011.50)
Aaa / AA+
AAA
2.88
2.83
912828Z52 US Treasury Note
1.375% Due 01/31/2025
1,500,000.00 02/24/2021
0.40%
1,557,011.72
1,544,704.18
101.17
0.99%
1,517,520.00
8,631.11
1.92%
(27,184.18)
Aaa / AA+
AAA
3.09
3.00
912828ZF0 US Treasury Note
0.500% Due 03/31/2025
1,350,000.00 Various
0.66%
1,342,150.39
1,343,163.26
98.37
1.01%
1,328,009.85
1,724.59
1.67%
(15,153.41)
Aaa / AA+
AAA
3.25
3.20
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
1,000,000.00 01/26/2021
0.33%
1,001,953.13
1,001,527.06
97.81
1.04%
978,125.00
642.27
1.23%
(23,402.06)
Aaa / AA+
AAA
3.33
3.29
As of December 31, 2021
31
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
912828ZT0 US Treasury Note
0.250% Due 05/31/2025
1,500,000.00 06/11/2021
0.53%
1,483,359.38
1,485,670.90
97.30
1.06%
1,459,570.50
329.67
1.84%
(26,100.40)
Aaa / AA+
AAA
3.42
3.38
912828ZW3 US Treasury Note
0.250% Due 06/30/2025
1,500,000.00 07/29/2021
0.56%
1,482,246.09
1,484,169.12
97.19
1.07%
1,457,812.50
10.36
1.84%
(26,356.62)
Aaa / AA+
AAA
3.50
3.47
91282CAB7 US Treasury Note
0.250% Due 07/31/2025
1,350,000.00 12/02/2021
1.06%
1,310,871.09
1,311,720.45
97.04
1.10%
1,309,975.20
1,412.36
1.65%
(1,745.25)
Aaa / AA+
AAA
3.58
3.55
TOTAL US Treasury 28,350,000.00 1.02%
28,247,949.23
28,342,341.69 0.77%
28,231,051.70
59,686.16
35.62%
(111,289.99)
Aaa / AA+
Aaa
2.29
2.26
TOTAL PORTFOLIO 79,060,251.85 1.16%
79,157,150.01
79,159,242.24 0.69%
79,198,079.98
227,747.28
100.00%
38,837.74
Aa1 / AA+
Aaa
1.89
1.78
TOTAL MARKET VALUE PLUS ACCRUALS 79,425,827.26
As of December 31, 2021
32
Holdings Report
Danville NERIAD Improvement Fund (89-1 90A) -Account #24
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Money Market Fund
94975H296 Wells Fargo Treasury Plus MMFD 453 6,070.38 11/30/2021
0.01%
6,070.38
6,070.38
1.00
0.01%
6,070.38
0.00
0.70%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund 6,070.38 0.01%
6,070.38
6,070.38 0.01%
6,070.38
0.00
0.70%
0.00
Aaa / AAA
NR
0.00
0.00
US Treasury
912828ZG8 US Treasury Note
0.375% Due 03/31/2022
250,000.00 03/30/2021
0.08%
250,742.19
250,180.97
100.07
0.10%
250,169.50
239.53
28.92%
(11.47)
Aaa / AA+
AAA
0.25
0.25
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
75.39
27.13%
0.00
P-1 / A-1+
F-1+
0.53
0.53
91282CAR2 US Treasury Note
0.125% Due 10/31/2022
125,000.00 11/29/2021
0.20%
124,916.99
124,924.92
99.83
0.33%
124,790.00
26.76
14.41%
(134.92)
Aaa / AA+
AAA
0.83
0.83
912796N96 US Treasury Bill
0.143% Due 11/03/2022
250,000.00 11/04/2021
0.14%
249,640.78
249,640.78
99.86
0.14%
249,640.78
56.41
28.84%
0.00
P-1 / A-1+
F-1+
0.84
0.84
TOTAL US Treasury 860,000.00 0.11%
860,135.92
859,582.63 0.14%
859,436.24
398.09
99.30%
(146.39)
Aaa / AAA
Aaa
0.58
0.58
TOTAL PORTFOLIO 866,070.38 0.11%
866,206.30
865,653.01 0.14%
865,506.62
398.09
100.00%
(146.39)
Aaa / AAA
Aaa
0.58
0.58
TOTAL MARKET VALUE PLUS ACCRUALS 865,904.71
As of December 31, 2021
33
SECTION |Section 4 |Transactions
34
Transaction Ledger
Danville Short Term Treasury Pool -Account #21
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 10/15/2021 912828ZF0 500,000.00 US Treasury Note
0.5% Due: 03/31/2025
99.207 0.73%496,035.16 103.02 496,138.18 0.00
Purchase 11/15/2021 89238JAC9 245,000.00 Toyota Auto Receivables Trust 2021-D A3
0.71% Due: 04/15/2026
99.998 0.71%244,994.78 0.00 244,994.78 0.00
Purchase 11/15/2021 91282CDH1 1,500,000.00 US Treasury Note
0.75% Due: 11/15/2024
99.855 0.80%1,497,832.03 0.00 1,497,832.03 0.00
Purchase 11/19/2021 808513BN4 1,000,000.00 Charles Schwab Corp Callable Note Cont
2/18/2024
0.75% Due: 03/18/2024
99.602 0.92%996,020.00 1,270.83 997,290.83 0.00
Purchase 11/24/2021 43815GAC3 260,000.00 Honda Auto Receivables Trust 2021-4 A3
0.88% Due: 01/21/2026
99.979 0.89%259,945.19 0.00 259,945.19 0.00
Purchase 12/03/2021 91282CAB7 1,350,000.00 US Treasury Note
0.25% Due: 07/31/2025
97.102 1.06%1,310,871.09 1,146.40 1,312,017.49 0.00
Purchase 12/06/2021 023135BW5 430,000.00 Amazon.com Inc Note
0.45% Due: 05/12/2024
98.831 0.94%424,973.30 129.00 425,102.30 0.00
Purchase 12/10/2021 3135G05X7 1,000,000.00 FNMA Note
0.375% Due: 08/25/2025
97.106 1.17%971,060.00 1,093.75 972,153.75 0.00
Subtotal 6,285,000.00 6,201,731.55 3,743.00 6,205,474.55 0.00
TOTAL ACQUISITIONS 6,285,000.00 6,201,731.55 3,743.00 6,205,474.55 0.00
DISPOSITIONS
Sale 11/18/2021 3135G0W33 1,525,000.00 FNMA Note
1.375% Due: 09/06/2022
100.986 0.14%1,540,036.50 4,193.75 1,544,230.25 17,117.84
Sale 12/03/2021 3130A3KM5 1,250,000.00 FHLB Note
2.5% Due: 12/09/2022
102.231 0.30%1,277,887.50 15,104.17 1,292,991.67 31,445.68
Subtotal 2,775,000.00 2,817,924.00 19,297.92 2,837,221.92 48,563.52
Maturity 11/15/2021 3133EJT74 1,600,000.00 FFCB Note
3.05% Due: 11/15/2021
100.000 1,600,000.00 0.00 1,600,000.00 0.00
September 30, 2021 through December 31, 2021
As of December 31, 2021
35
Transaction Ledger
Danville Short Term Treasury Pool -Account #21
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Maturity 12/10/2021 3130AAB49 1,000,000.00 FHLB Note
1.875% Due: 12/10/2021
100.000 1,000,000.00 0.00 1,000,000.00 0.00
Subtotal 2,600,000.00 2,600,000.00 0.00 2,600,000.00 0.00
TOTAL DISPOSITIONS 5,375,000.00 5,417,924.00 19,297.92 5,437,221.92 48,563.52
September 30, 2021 through December 31, 2021
As of December 31, 2021
36
Transaction Ledger
Danville NERIAD Improvement Fund (89-1 90A) -Account #24
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 11/05/2021 912796N96 250,000.00 US Treasury Bill
0.143% Due: 11/03/2022
99.856 0.14%249,640.78 0.00 249,640.78 0.00
Purchase 11/30/2021 91282CAR2 125,000.00 US Treasury Note
0.125% Due: 10/31/2022
99.934 0.20%124,916.99 12.95 124,929.94 0.00
Subtotal 375,000.00 374,557.77 12.95 374,570.72 0.00
TOTAL ACQUISITIONS 375,000.00 374,557.77 12.95 374,570.72 0.00
DISPOSITIONS
Maturity 11/04/2021 9127964W6 250,000.00 US Treasury Bill
0.103% Due: 11/04/2021
100.000 249,758.70 241.30 250,000.00 0.00
Maturity 11/30/2021 912828G53 125,000.00 US Treasury Note
1.875% Due: 11/30/2021
100.000 125,000.00 0.00 125,000.00 0.00
Subtotal 375,000.00 374,758.70 241.30 375,000.00 0.00
TOTAL DISPOSITIONS 375,000.00 374,758.70 241.30 375,000.00 0.00
September 30, 2021 through December 31, 2021
As of December 31, 2021
37
Important Disclosures
2021 Chandler Asset Management,Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential.Prices are provided by IDC,an independent pricing source.In the event IDC does not provide a price or if the price provided is not reflective of fair market
value,Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures.Our valuation procedures are also disclosed in
Item 5 of our Form ADV Part 2A.
Performance results are presented gross-of-advisory fees and represent the client’s Total Return.The deduction of advisory fees lowers performance results.These results include the reinvestment of
dividends and other earnings.Past performance may not be indicative of future results.Therefore,clients should not assume that future performance of any specific investment or investment strategy
will be profitable or equal to past performance levels.All investment strategies have the potential for profit or loss.Economic factors,market conditions or changes in investment strategies,
contributions or withdrawals may materially alter the performance and results of your portfolio.
Index returns assume reinvestment of all distributions.Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the
deduction of an investment management fee,the incurrence of which would have the effect of decreasing historical performance results.It is not possible to invest directly in an index.
Source ice Data Indices,LLC ("ICE"),used with permission. ICE permits use of the ICE indices and related data on an "as is"basis; ICE,its affiliates and their respective third party suppliers disclaim any and
all warranties and representations, express and/or implied,including any warranties of merchantability or fitness for a particular purpose or use,including the indices,index data and any data included
in,related to,or derived therefrom.Neither ICE data,its affiliates or their respective third party providers guarantee the quality,adequacy,accuracy,timeliness or completeness of the indices or the
index data or any component thereof,and the indices and index data and all components thereof are provided on an "as is"basis and licensee's use it at licensee's own risk. ICE data,its affiliates and their
respective third party do not sponsor,endorse,or recommend chandler asset management,or any of its products or services.
This report is provided for informational purposes only and should not be construed as a specific investment or legal advice.The information contained herein was obtained from sources believed to be
reliable as of the date of publication,but may become outdated or superseded at any time without notice.Any opinions or views expressed are based on current market conditions and are subject to
change.This report may contain forecasts and forward-looking statements which are inherently limited and should not be relied upon as indicator of future results.Past performance is not indicative of
future results.This report is not intended to constitute an offer,solicitation,recommendation or advice regarding any securities or investment strategy and should not be regarded by recipients as a
substitute for the exercise of their own judgment.
Fixed income investments are subject to interest, credit and market risk.Interest rate risk:the value of fixed income investments will decline as interest rates rise.Credit risk:the possibility that the
borrower may not be able to repay interest and principal.Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk.Market risk:the bond market in
general could decline due to economic conditions,especially during periods of rising interest rates.
Ratings information have been provided by Moody’s,S&P and Fitch through data feeds we believe to be reliable as of the date of this statement, however we cannot guarantee its accuracy.
Security level ratings for U.S.Agency issued mortgage-backed securities (“MBS”)reflect the issuer rating because the securities themselves are not rated.The issuing U.S.Agency guarantees the full and
timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P,Moody’s and Fitch respectively.
As of December 31, 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 the time 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
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 rebalancingdate.
ICE BofA 1-3 Yr AAA-A US Corp & Govt Index
The ICE BofA 1-3 AAA-A Year US Corporate &Government Index tracks the performance of US dollar denominated investment grade debt publicly issued in the US domestic market,including US Treasury,
US agency,foreign government, supranational,and corporate securities.Qualifying securities must be rated AAA through A3 (based on an average of Moody’s,S&P and Fitch).In addition, qualifying
securities must have at least one year remaining term to final maturity and less than three years remaining term to final maturity,at least 18 months to final maturity at point of issuance,a fixed coupon
schedule,and a minimum amount outstanding of $1 billion for US Treasuries and $250 million for all other securities.
As of December 31, 2021
39
Supplement to Quarterly Investment Report
Town Managed Cash Account
Average Average
Maturity Yield Cost
Town Funds 0 0.203%9,820,526
Trust Fund 0 0.203%2,320,252
.
Community Development Agency DS/Successor Agency 0 0.203%43,897
NERIAD 0 0.203%390,890
Total LAIF Funds Managed by the Town 12,575,566$
LAIF Funds Managed/Reported by Chandler Investments 75,270
Total LAIF Funds 12,650,836$
LAIF Funds Managed by the Town
(Local Agency Investment Fund)
November 2021