HomeMy WebLinkAbout041823-10.1CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending March 31, 2023
Town of Danville
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of March 31, 2023
1
SECTION |Section 1 |Economic Update
2
Economic Update
▪
▪
▪
Economic trends have been decelerating along with tighter financial conditions and restrictive monetary policy. Recent data
suggests positive but below trend growth this year. Although the pace of job growth is moderating, labor markets remain
solid, and the U.S. consumer has demonstrated resiliency. Market participants and the Federal Reserve are maintaining very
divergent views regarding the future trajectory of monetary policy. Given the cumulative effects of tighter monetary policy
and stress in the banking sector,we believe the Federal Reserve is likely near a pause in their rate hiking campaign.If
moderate growth continues,we believe the Fed will likely maintain the Federal Funds rate in restrictive territory until
inflationary pressures subside.
At the March meeting, the Federal Open Market Committee voted unanimously to raise the target federal funds rate by
0.25%to a range of 4.75 –5.00%. Fed Chair Powell reiterated the committee’s focus on bringing down inflation to their 2%
target; however, the committee softened language about "ongoing increases"in rates in the prior statement to "some
additional policy firming may be appropriate". The statement also emphasized that the U.S. banking system is “sound and
resilient”and acknowledged the tightening of financial conditions. The Chandler team believes the FOMC is likely near a
pause in their rate hiking cycle.
In March, the yield curve inversion narrowed. The 2-year Treasury yield plummeted 79 basis points to 4.03%, the 5-year
Treasury yield plunged 61 basis points to 3.58%, and the 10-year Treasury yield fell 45 basis points to 3.47%. The inversion
between the 2-year Treasury yield and 10-year Treasury yield declined to -56 basis points at March month-end versus -90
basis points at February month-end. There was no spread between the 2-yearTreasury and 10-year Treasury yield one year
ago –the yields were approximately equal. The inversion between 3-month and 10-year Treasuries widened to -128 in
March from -89 basis points in February. The shape of the yield curve indicates that the probability of recession is
increasing.
3
Source: US Department of Labor Source: US Department of Labor
Employment
The U.S. economy added 236,000jobs in March, and the priortwo months were revised downward by 17,000. Although the pace of job growth
is moderating, employment remains strong, with the three-month moving average payrolls at 345,000 and the six-month moving average at
315,000. The private sector reported broad gains, led by leisure and hospitality. The unemployment rate fell to 3.5%due to a sharp rise in the
number of people employed, and the participation rate increased to 62.6% from 62.5%in February. The U-6 underemployment rate, which
includes those who are marginally attached to the labor force and employed part time for economicreasons, declined to 6.7% from the prior
month at 6.8%. Average hourly earnings rose 4.2% year-over-year in March, down from a4.6% increase in February. Job Openings dipped to 9.9
million, the first drop below 10 million since May of 2021. While the overall pace of hiring is slowing, levels remain consistent with a solid labor
market.
0
100
200
300
400
500
600
700
800
900
1,000
MO
M
C
h
a
n
g
e
I
n
(
0
0
0
'
s
)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Ra
t
e
(
%
)
4
Source: US Department of Labor Source: US Department of Commerce
Inflation
The Consumer Price Index (CPI) increased in February 0.4% month-over-month and 6.0% year-over-year, down from 6.4%in January. The Core
CPI, which excludes volatile food and energy components, rose 0.5% month-over-month and 5.5% year-over-year, decelerating from 5.6%in
January. Shelter costs were the primary factor in the headline CPI representing 70%of the increase.Of note, used car prices experienced a
significant drop of 13.6% when compared to a year ago, the largest decline since 1960.The Personal Consumption Expenditures (PCE) index
rose 5.0% year-over-year in February, improving from a 5.3% year-over-year gain in January. Core PCE, the Federal Reserve’s preferred
inflation gauge, increased 4.6% year-over-year in February, the smallest increase since October 2021.Inflationary trends are declining but
remain above the Fed's 2% target.
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
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%
8.0%
9.0%
10.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
5
Advance Retail Sales fell -0.4%in February,but prior months were revised higher. Retail sales rose 5.4% year-over-year in February, versus
January’s upwardly revised 7.7% year-over-year gain. The overall report exceeded expectations and points toward the resilience of the U.S.
consumer. The Conference Board’s Consumer Confidence Index unexpectedly increased to 104.2 in March from 103.4 in February. While high
inflation and recession concerns remain top of mind formany consumers, the strong labormarket and low unemployment continue to support
the strength in Consumer Confidence.
Source: US Department of Commerce Source: The Conference Board
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Retail Sales YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
80
90
100
110
120
130
140
In
d
e
x
L
e
v
e
l
Consumer Confidence
Consumer
6
Source: The Conference Board Source: Federal Reserve Bank of Chicago
Economic Activity
The Conference Board’s Leading EconomicIndex (LEI) remained in negative territory for the eleventh consecutive month at -0.3%in February,
unchanged from -0.3%in January. The LEI was down 6.5% year-over-year in February versus down 5.9% year-over-year in January. The
consistent decline month-over-month continues to signal future contraction in the economy. The Chicago Fed National Activity Index (CFNAI)
declined to -0.19 in February from +0.23 in January.On a 3-month moving average basis, the CFNAI increased to -0.13 in February from -0.27 in
January, indicating a rate of growth below the historical average trend.
-0.50
-0.25
0.00
0.25
0.50
0.75
1.00
Chicago Fed National Activity Index (CFNAI)
3
M
o
n
t
h
A
v
e
r
a
g
e
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
Leading Economic Indicators (LEI)
MO
M
(
%
)
C
h
a
n
g
e
7
Source: US Department of Commerce Source: S&P
Housing
0
200
400
600
800
1000
1200
1400
1600
1800
2000
MO
M
C
h
a
n
g
e
(
I
n
T
h
o
u
s
a
n
d
s
o
f
U
n
i
t
s
)
Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
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 rose 9.8% month-over-month in February to 1,450,000 units and were down 18.4% compared to February 2022.Starts for
both single-family and multi-family homes increased as mortgage rates declined from recent peaks. The 30-year fixed rate mortgage fell to an
average of 6.24% according to Freddie Mac, down from apeak of 7.08%in October,but up from 4.67% a yearago. According to the Case-Shiller
20-City Home Price Index, the year-over-year increase continued its declining rate of gain to +2.55%in January from +4.62%in December,
clearly displaying the impact of higher mortgage rates year-over-year, which have reduced demand for homebuying as affordability has
declined. This is the lowest rate of annual appreciation since December 2019.
8
Source: Institute for Supply Management Source: Federal Reserve
Manufacturing
The Institute forSupply Management (ISM) manufacturing index fell to 46.3 in March from 47.7 in February. This is the fifth consecutive month
of readings below 50.0, which is indicative of contraction in the manufacturing sector. All components weakened, including the headline, new
orders, employment, and prices. Industrial production was flat in February after an upward revision to +0.3%in January. This equates to a -
0.25% decline from the prior year. Capacity utilization remained at 78.0%in February versus a downwardly revised 78.0%in January and has
fallen below the 1972-2021 average of 79.6%.
40
42
44
46
48
50
52
54
56
58
60
62
64
66
Institute of Supply Management Purchasing Manager Index
EXPANDING
CONTRACTING
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Industrial Production
YO
Y
(
%
)
C
h
a
n
g
e
9
Source: US Department of Commerce Source: US Department of Commerce
3/22 6/22 9/22 12/22
0.9% 1.4% 1.5% 0.7%
1.0% -2.8% -1.8% 0.8%
-3.1% 1.2% 2.9% 0.4%
-0.4% -0.2% 0.2% 0.4%
0.0% -0.1% 0.4% 0.3%
-1.6% -0.6% 3.3% 2.6%
Federal Government Expenditures
State and Local (Consumption and Gross
Investment)
Gross Private Domestic Investment
Personal Consumption Expenditures
Components of GDP
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%
40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
According to the third estimate, fourth quarter 2022 GDP growth was revised downward to 2.6% from 2.7%. The revision lower was primarily
due to weaker growth in personal consumption expenditures and a wider trade gap in net exports. The consensus estimate calls for 1.6%
growth in the first quarter and 1.0% growth for the full year 2023.
10
Federal Reserve
Source: Federal Reserve Source: Bloomberg
At the March meeting, the Federal Open Market Committee voted unanimously to raise the target federal funds rate by 0.25%to a range of
4.75 –5.00%. Fed Chair Powell reiterated the committee’s focus on bringing down inflation to their 2%target; however, the committee
softened language about "ongoing increases"in rates in the prior statement to "some additional policy firming may be appropriate". The
statement also emphasized that the U.S. banking system is “sound and resilient”and acknowledged the tightening in financial conditions.
Powell indicated thatthe extent of these effects is uncertain but speculated thattighter credit conditions could be equivalent to arate hike or
more. The Summary of EconomicProjections was little changed, with the consensus targetfederal funds rate rising to 5.1%by the end of 2023
(implying one more quarter point hike), falling to 4.3%in 2024 (up from 4.1% previously), and declining to 3.1%by the end of 2025.No rate
cuts were in the Fed’s base case for this year, contrary to the market consensus. Although projections imply policymakers are winding down
interest rate hikes, the statement clearly reflected optionality for the Fed to remain data dependent. The Chandlerteam believes the Fed is
likely near a pause in their rate hiking cycle.
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
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
10,000,000
Federal Reserve Balance Sheet Assets
In
$
m
i
l
l
i
o
n
s
11
Source: Bloomberg Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yi
e
l
d
(
%
)
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Yield Curve
Mar-23
Dec-22
Mar-22
Yi
e
l
d
(
%
)
Bond Yields
At the end of March, the 2-year Treasury yield was 169 basis points higher, and the 10-Year Treasury yield was about 113 basis points higher,
year-over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -56basis points at March month-end
versus -90basis points at February month-end. The average historical spread (since 2003)is about +130 basis points. The inversion between 3-
month and 10-year Treasuries widened to -128 in March from -89 basis points in February. The shape of the yield curve indicates that the
probability of recession is increasing.
12
Section 2|SECTION |Section 2 |Account Profile
13
Objectives
Chandler Asset Management Performance Objective
The performance objective is to achieve a return that equals the return on an unmanaged index of one-to-
three year Treasury securities (a “market rate of return”).
Investment Objectives
The primary investment objectives of the Town of Danville are to preserve principal and to maintain
adequate liquidity to meet the Town’s cash flow requirements.The Town expects to achieve a rate of
return which is consistent with its primary objectives.
Strategy
In order to meet its objectives,the Town invests in securities permitted under California Government
Code Section 53600 et seq.and under its Investment Policy.The maximum maturity of the Town’s
investments is five years,unless specifically authorized by the Town Council.
As of March 31, 2023
14
Compliance As of March 31, 2023
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 &
Development (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
Assets managed by Chandler Asset Management are in full compliance with state law and the Client’s investment policy.
Town of Danville - All Accounts
15
Compliance As of March 31, 2023
Category Standard Comment
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 not backed by US
Government; 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
03/31/23 12/31/22
Benchmark*Portfolio Portfolio
Average Maturity (yrs)1.83 1.70 1.72
Average Modified Duration 1.76 1.52 1.54
Average Purchase Yield n/a 1.59%1.48%
Average Market Yield 4.20%4.40%4.56%
Average Quality**AAA AA+/Aa1 AA+/Aa1
Total Market Value 90,156,496 88,846,043
*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 March 31, 2023
17
Danville Short Term Treasury Pool
Sector Distribution
ABS
5.4%
Agency
29.7%
Corporate
14.4%LAIF
0.1%
Money Market
Fund
0.3%
Supranational
2.8%
US Treasury
47.3%
March 31, 2023 December 31, 2022
ABS
5.8%
Agency
32.6%
Corporate
14.4%
LAIF
0.1%
Money Market
Fund
0.2%
Supranational
2.8%
US Treasury
44.2%
As of March 31, 2023
18
Issue Name Investment Type % Portfolio
Government of United States US Treasury 47.32%
Federal Home Loan Mortgage Corp Agency 9.35%
Federal National Mortgage Association Agency 7.66%
Federal Farm Credit Bank Agency 7.40%
Federal Home Loan Bank Agency 5.29%
Apple Inc Corporate 2.18%
Wal-Mart Stores Corporate 1.67%
Inter-American Dev Bank Supranational 1.31%
Deere & Company Corporate 1.23%
Toyota ABS ABS 1.20%
Microsoft Corporate 1.10%
International Finance Corp Supranational 1.07%
Amazon.com Inc Corporate 1.06%
Honeywell Corp Corporate 1.06%
MasterCard Inc Corporate 1.06%
Charles Schwab Corp/The Corporate 1.06%
Honda Motor Corporation Corporate 1.05%
Caterpillar Inc Corporate 0.96%
John Deere ABS ABS 0.92%
JP Morgan Chase & Co Corporate 0.79%
Honda ABS ABS 0.73%
Hyundai Auto Receivables ABS 0.64%
Colgate-Palmolive Co.Corporate 0.51%
GM Financial Automobile Leasing Trust ABS 0.49%
GM Financial Securitized Term Auto Trust ABS 0.46%
Paccar Financial Corporate 0.40%
Intl Bank Recon and Development Supranational 0.38%
Mercedes-Benz Auto Lease Trust ABS 0.36%
BMW ABS ABS 0.33%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund 0.32%
State Street Bank Corporate 0.28%
BMW Vehicle Lease Trust ABS 0.28%
Local Agency Investment Fund LAIF 0.08%
Nissan ABS ABS 0.02%
TOTAL 100.00%
Issuers
Danville Short Term Treasury Pool –Account #21
As of March 31, 2023
19
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
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
0 -0.25 0.25 -0.50 0.50 -1 1 -2 2 -3 3 -4 4 -5 5+
Portfolio 11.7% 6.8% 16.4% 34.1% 23.7% 4.2% 3.2% 0.0%
Benchmark*0.0% 0.0% 2.9% 58.1% 39.0% 0.0% 0.0% 0.0%
*ICE BofA 1-3 Yr US Treasury Index
Duration Distribution
Danville Short Term Treasury Pool
As of March 31, 2023
20
AAA AA A <A NR
03/31/23 8.4%82.4%7.9%0.0%1.3%
12/31/22 7.5%82.3%8.9%0.0%1.4%
Source: S&P Ratings
March 31, 2023 vs. December 31, 2022
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
90.0%
AAA AA A <A NR
03/31/23 12/31/22
Quality Distribution
Danville Short Term Treasury Pool
As of March 31, 2023
21
Purchase Yield as of 03/31/23 = 1.59%
0.00
0.50
1.00
1.50
2.00
2.50
Pe
r
c
e
n
t
(
%
)
Historical Average Purchase Yield
Danville Short Term Treasury Pool
As of March 31, 2023
22
Growth Over Time As of March 31, 2023
Growth of $1 Million
As of 03/31/2023 Dollar Value Return
Danville Total Return $2,495,243 3.32%
Danville Realized Return $2,536,301 3.38%
LAIF $2,024,747 2.55%
Historical Return of $1 Million Invested on March 31, 1995
23
Total and Realized Rate of Return Annualized Since Inception March 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 lossesin the portfolio.
-2.00%
-1.00%
0.00%
1.00%
2.00%
3.00%
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 1.48%0.47%-1.06%-0.35%1.28%0.97%3.32%
ICE BofA 1-3 Yr US Treasury Index 1.55%0.20%-1.33%-0.81%1.11%0.81%3.07%
REALIZED RATE OF RETURN
Danville Short Term Treasury Pool 0.38%1.39%1.41%1.56%1.71%1.42%3.38%
Investment Performance
Danville Short Term Treasury Pool
As of March 31, 2023
24
Portfolio Characteristics
Danville NERIAD Improvement Fund (89-1 90A)
03/31/23 12/31/22
Benchmark*Portfolio Portfolio
Average Maturity (yrs)0.15 0.41 0.45
Average Modified Duration 0.15 0.41 0.44
Average Purchase Yield n/a 4.20%3.37%
Average Market Yield 4.49%4.59%4.56%
Average Quality**AAA AA+/Aaa AA+/Aaa
Total Market Value 882,582 872,767
*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 March 31, 2023
25
Issue Name Investment Type % Portfolio
Government of United States US Treasury 97.31%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund 2.69%
TOTAL 100.00%
Issuers
Danville NERIAD Improvement Fund (89-1 90A) –Account #24
As of March 31, 2023
26
SECTION |Section 3 |Portfolio Holdings
27
Holdings Report
Danville Short Term Treasury Pool -Account #21
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
ABS
65479JAD5 Nissan Auto Receivables Owner 2019-C A3
1.930% Due 07/15/2024
13,992.25 10/16/2019
1.94%
13,991.51
13,992.05
99.86
6.61%
13,972.69
12.00
0.02%
(19.36)
Aaa / AAA
NR
1.29
0.03
47789KAC7 John Deere Owner Trust 2020-A A3
1.100% Due 08/15/2024
37,885.02 03/04/2020
1.11%
37,882.71
37,884.30
99.57
5.28%
37,720.49
18.52
0.04%
(163.81)
Aaa / NR
AAA
1.38
0.10
58769KAD6 Mercedes-Benz Auto Lease Trust 2021-B A3
0.400% Due 11/15/2024
328,537.45 06/22/2021
0.40%
328,512.65
328,529.74
97.75
5.76%
321,143.39
58.41
0.36%
(7,386.35)
NR / AAA
AAA
1.63
0.42
05601XAC3 BMW Vehicle Lease Trust 2022-1 A3
1.100% Due 03/25/2025
255,000.00 01/11/2022
1.11%
254,961.88
254,982.81
97.50
5.66%
248,633.42
46.75
0.28%
(6,349.39)
NR / AAA
AAA
1.99
0.55
36266FAC3 GM Financial Auto Lease Trust 2022-2 A3
3.420% Due 06/20/2025
450,000.00 05/03/2022
3.45%
449,953.07
449,972.11
98.23
5.24%
442,034.10
470.25
0.49%
(7,938.01)
NR / AAA
AAA
2.22
0.99
47788UAC6 John Deere Owner Trust 2021-A A3
0.360% Due 09/15/2025
180,267.64 03/02/2021
0.37%
180,233.00
180,252.81
96.78
5.63%
174,462.66
28.84
0.19%
(5,790.15)
Aaa / NR
AAA
2.46
0.61
89190GAC1 Toyota Auto Receivables Trust 2021-B A3
0.260% Due 11/17/2025
877,980.31 06/08/2021
0.26%
877,885.76
877,939.32
96.56
5.47%
847,748.81
101.46
0.94%
(30,190.51)
NR / AAA
AAA
2.64
0.66
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
259,967.99
95.51
5.26%
248,325.48
63.56
0.28%
(11,642.51)
Aaa / NR
AAA
2.81
1.03
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
309,985.19
95.67
5.59%
296,566.15
71.64
0.33%
(13,419.04)
Aaa / NR
AAA
2.96
0.86
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
244,996.99
95.33
5.42%
233,558.75
77.31
0.26%
(11,438.24)
NR / AAA
AAA
3.04
1.00
43815BAC4 Honda Auto Receivables Trust 2022-1 A3
1.880% Due 05/15/2026
425,000.00 02/15/2022
1.89%
424,936.08
424,957.91
95.88
4.95%
407,473.85
355.11
0.45%
(17,484.06)
Aaa / AAA
NR
3.13
1.36
05602RAD3 BMW Vehicle Owner Trust 2022-A A3
3.210% Due 08/25/2026
300,000.00 05/10/2022
3.23%
299,984.40
299,988.77
97.71
4.90%
293,142.90
160.50
0.33%
(6,845.87)
Aaa / AAA
NR
3.41
1.38
47787JAC2 John Deere Owner Trust 2022-A A3
2.320% Due 09/16/2026
330,000.00 03/10/2022
2.34%
329,927.00
329,948.75
96.65
5.05%
318,955.23
340.27
0.35%
(10,993.52)
Aaa / NR
AAA
3.47
1.24
448977AD0 Hyundai Auto Receivables Trust 2022-A A3
2.220% Due 10/15/2026
595,000.00 03/09/2022
2.23%
594,977.09
594,984.44
96.14
5.00%
572,009.20
587.07
0.64%
(22,975.24)
NR / AAA
AAA
3.55
1.41
380146AC4 GM Financial Auto Receivables 2022-1 A3
1.260% Due 11/16/2026
170,000.00 01/11/2022
1.27%
169,985.23
169,990.55
95.01
5.68%
161,522.10
89.25
0.18%
(8,468.45)
NR / AAA
AAA
3.63
1.14
362585AC5 GM Financial Securitized ART 2022-2 A3
3.100% Due 02/16/2027
260,000.00 04/05/2022
3.13%
259,945.66
259,960.98
96.84
5.16%
251,774.90
335.83
0.28%
(8,186.08)
Aaa / AAA
NR
3.88
1.56
TOTAL ABS 5,038,662.67 1.55%
5,038,088.36
5,038,334.71 5.31%
4,869,044.12
2,816.77
5.40%
(169,290.59)
Aaa / AAA
AAA
2.87
1.00
As of March 31, 2023
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
Agency
3137EAER6 FHLMC Note
0.375% Due 05/05/2023
1,330,000.00 05/05/2020
0.39%
1,329,441.40
1,329,982.62
99.64
4.23%
1,325,170.77
2,022.71
1.47%
(4,811.85)
Aaa / AA+
AAA
0.10
0.09
3135G04Q3 FNMA Note
0.250% Due 05/22/2023
1,425,000.00 05/20/2020
0.35%
1,420,710.75
1,424,800.23
99.40
4.48%
1,416,515.55
1,276.56
1.57%
(8,284.68)
Aaa / AA+
AAA
0.14
0.14
3133ELG81 FFCB Note
0.300% Due 06/08/2023
1,500,000.00 06/02/2020
0.33%
1,498,875.00
1,499,930.14
99.17
4.77%
1,487,617.50
1,412.50
1.65%
(12,312.64)
Aaa / AA+
AAA
0.19
0.18
3133834G3 FHLB Note
2.125% Due 06/09/2023
1,500,000.00 06/10/2019
2.00%
1,507,305.00
1,500,345.47
99.46
4.99%
1,491,870.00
9,916.67
1.67%
(8,475.47)
Aaa / AA+
NR
0.19
0.19
3137EAES4 FHLMC Note
0.250% Due 06/26/2023
1,305,000.00 06/24/2020
0.35%
1,301,189.40
1,304,700.72
99.00
4.55%
1,291,888.67
860.94
1.43%
(12,812.05)
NR / AA+
AAA
0.24
0.23
3135G05G4 FNMA Note
0.250% Due 07/10/2023
1,460,000.00 Various
0.28%
1,458,850.00
1,459,895.13
98.85
4.49%
1,443,155.98
821.25
1.60%
(16,739.15)
Aaa / AA+
AAA
0.28
0.27
3133EL3V4 FFCB Note
0.200% Due 08/14/2023
1,500,000.00 08/12/2020
0.27%
1,496,880.00
1,499,613.93
98.27
4.97%
1,474,050.00
391.67
1.64%
(25,563.93)
Aaa / AA+
AAA
0.37
0.36
3137EAEV7 FHLMC Note
0.250% Due 08/24/2023
1,500,000.00 09/28/2020
0.22%
1,501,095.00
1,500,149.93
98.22
4.81%
1,473,351.00
385.42
1.63%
(26,798.93)
Aaa / AA+
AAA
0.40
0.39
3137EAEW5 FHLMC Note
0.250% Due 09/08/2023
1,490,000.00 Various
0.26%
1,489,430.30
1,489,916.84
98.02
4.89%
1,460,472.67
237.98
1.62%
(29,444.17)
Aaa / AA+
AAA
0.44
0.43
3137EAEZ8 FHLMC Note
0.250% Due 11/06/2023
1,455,000.00 11/03/2020
0.28%
1,453,690.50
1,454,738.34
97.29
4.91%
1,415,573.87
1,465.10
1.57%
(39,164.47)
Aaa / AA+
AAA
0.60
0.58
3135G06H1 FNMA Note
0.250% Due 11/27/2023
1,500,000.00 11/24/2020
0.27%
1,499,160.00
1,499,815.38
97.11
4.78%
1,456,677.00
1,291.67
1.62%
(43,138.38)
Aaa / AA+
AAA
0.66
0.64
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
1,500,000.00 12/09/2020
0.26%
1,499,610.00
1,499,911.46
96.98
4.85%
1,454,691.00
1,218.75
1.61%
(45,220.46)
Aaa / AA+
AAA
0.68
0.66
3135G0V34 FNMA Note
2.500% Due 02/05/2024
1,700,000.00 03/24/2020
0.82%
1,808,052.00
1,723,722.46
98.10
4.82%
1,667,672.80
6,611.11
1.86%
(56,049.66)
Aaa / AA+
AAA
0.85
0.82
3130A7PH2 FHLB Note
1.875% Due 03/08/2024
1,500,000.00 03/03/2020
0.85%
1,560,525.00
1,514,129.39
97.38
4.77%
1,460,694.00
1,796.88
1.62%
(53,435.39)
Aaa / AA+
NR
0.94
0.91
3130APQ81 FHLB Callable Note Mnthly 12/8/2021
1.000% Due 11/08/2024
900,000.00 08/01/2022
3.11%
858,798.00
870,825.60
94.76
4.42%
852,866.10
3,575.00
0.95%
(17,959.50)
Aaa / AA+
NR
1.61
1.55
3130AQF40 FHLB Note
1.000% Due 12/20/2024
1,000,000.00 07/27/2022
3.15%
950,740.00
964,629.52
94.61
4.28%
946,096.00
2,805.56
1.05%
(18,533.52)
Aaa / AA+
AAA
1.73
1.67
3133ENKS8 FFCB Note
1.125% Due 01/06/2025
595,000.00 01/06/2022
1.20%
593,661.25
594,207.30
94.37
4.48%
561,503.29
1,580.47
0.62%
(32,704.01)
Aaa / AA+
AAA
1.77
1.71
As of March 31, 2023
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
3133ENPG9 FFCB Note
1.750% Due 02/14/2025
1,500,000.00 Various
1.83%
1,496,422.50
1,497,745.55
95.71
4.16%
1,435,617.00
3,427.08
1.60%
(62,128.55)
Aaa / AA+
AAA
1.88
1.81
3133ENPY0 FFCB Note
1.750% Due 02/25/2025
750,000.00 03/14/2022
2.06%
743,440.50
745,764.92
95.43
4.28%
715,702.50
1,312.50
0.80%
(30,062.42)
Aaa / AA+
AAA
1.91
1.83
3133ENWH9 FFCB Note
2.900% Due 05/09/2025
1,000,000.00 05/03/2022
2.97%
998,050.00
998,631.80
97.49
4.16%
974,914.00
11,438.89
1.09%
(23,717.80)
Aaa / AA+
AAA
2.11
1.99
3135G05X7 FNMA Note
0.375% Due 08/25/2025
1,000,000.00 12/09/2021
1.17%
971,060.00
981,255.26
91.55
4.11%
915,535.00
375.00
1.02%
(65,720.26)
Aaa / AA+
AAA
2.41
2.34
TOTAL Agency 27,410,000.00 0.92%
27,436,986.60
27,354,711.99 4.62%
26,721,634.70
54,223.71
29.70%
(633,077.29)
Aaa / AA+
AAA
0.80
0.77
Corporate
037833AK6 Apple Inc Note
2.400% Due 05/03/2023
750,000.00 05/29/2019
2.54%
746,205.00
749,915.25
99.82
4.44%
748,619.25
7,400.00
0.84%
(1,296.00)
Aaa / AA+
NR
0.09
0.09
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
801,532.24
99.66
4.79%
797,319.20
7,177.78
0.89%
(4,213.04)
Aa2 / AA
AA
0.24
0.23
02665WCT6 American Honda Finance Note
3.550% Due 01/12/2024
950,000.00 08/19/2019
2.07%
1,008,634.00
960,448.18
98.81
5.11%
938,721.60
7,400.76
1.05%
(21,726.58)
A3 / A-
A
0.79
0.75
24422EVN6 John Deere Capital Corp Note
0.450% Due 01/17/2024
615,000.00 03/01/2021
0.47%
614,563.35
614,878.87
96.67
4.77%
594,525.42
568.88
0.66%
(20,353.45)
A2 / A
A+
0.80
0.77
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
998,351.81
95.19
5.96%
951,892.00
270.83
1.06%
(46,459.81)
A2 / A
A
0.97
0.93
023135BW5 Amazon.com Inc Note
0.450% Due 05/12/2024
1,000,000.00 Various
0.69%
994,141.10
997,387.06
95.84
4.31%
958,418.00
1,737.51
1.06%
(38,969.06)
A1 / AA
AA-
1.12
1.09
14913R2L0 Caterpillar Financial Service Note
0.450% Due 05/17/2024
905,000.00 05/10/2021
0.50%
903,787.30
904,544.13
95.45
4.64%
863,808.02
1,515.88
0.96%
(40,736.11)
A2 / A
A
1.13
1.10
24422EVQ9 John Deere Capital Corp Note
0.450% Due 06/07/2024
540,000.00 06/07/2021
0.49%
539,325.00
539,732.59
95.22
4.65%
514,189.08
769.50
0.57%
(25,543.51)
A2 / A
A+
1.19
1.15
69371RR40 Paccar Financial Corp Note
0.500% Due 08/09/2024
385,000.00 08/03/2021
0.52%
384,792.10
384,905.91
94.35
4.85%
363,262.13
278.06
0.40%
(21,643.78)
A1 / A+
NR
1.36
1.32
57636QAN4 MasterCard Inc Callable Note 1x 02/03/2025
2.000% Due 03/03/2025
1,000,000.00 02/25/2022
2.03%
999,010.00
999,367.05
95.66
4.38%
956,625.00
1,555.56
1.06%
(42,742.05)
Aa3 / A+
NR
1.93
1.85
037833DT4 Apple Inc Callable Note Cont 4/11/2025
1.125% Due 05/11/2025
500,000.00 02/25/2022
2.04%
485,870.00
490,664.76
93.86
4.20%
469,277.00
2,187.50
0.52%
(21,387.76)
Aaa / AA+
NR
2.12
2.04
As of March 31, 2023
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
46647PCH7 JP Morgan Chase & Co Callable Note Cont 6/1/2024
0.824% Due 06/01/2025
750,000.00 05/24/2021
1.93%
750,972.00
750,526.92
94.76
5.37%
710,708.25
2,060.00
0.79%
(39,818.67)
A1 / A-
AA-
2.17
2.08
194162AM5 Colgate Palmolive Co. Note
3.100% Due 08/15/2025
470,000.00 08/01/2022
3.13%
469,567.60
469,659.81
97.45
4.24%
458,006.07
1,861.72
0.51%
(11,653.74)
Aa3 / AA-
NR
2.38
2.25
931142EW9 Wal-Mart Stores Note
3.900% Due 09/09/2025
700,000.00 09/26/2022
4.64%
685,776.00
688,219.31
99.70
4.03%
697,878.30
1,668.33
0.78%
9,658.99
Aa2 / AA
AA
2.45
2.30
594918BJ2 Microsoft Callable Note Cont 8/3/2025
3.125% Due 11/03/2025
1,000,000.00 01/20/2023
4.28%
970,060.00
972,038.28
97.53
4.14%
975,261.00
12,847.22
1.10%
3,222.72
Aaa / AAA
NR
2.60
2.42
857477BR3 State Street Bank Callable Note Cont 2/6/2025
1.746% Due 02/06/2026
265,000.00 02/02/2022
2.94%
265,000.00
265,000.00
93.89
5.25%
248,796.84
706.89
0.28%
(16,203.16)
A1 / A
AA-
2.86
1.78
037833BY5 Apple Inc Callable Note Cont 11/23/2025
3.250% Due 02/23/2026
750,000.00 02/01/2023
4.27%
728,265.00
729,375.12
97.83
4.05%
733,710.75
2,572.92
0.82%
4,335.63
Aaa / AA+
NR
2.90
2.72
438516BL9 Honeywell Intl Callable Note 08/01/2026
2.500% Due 11/01/2026
1,000,000.00 01/11/2023
4.43%
933,280.00
937,029.39
94.92
4.04%
949,240.00
10,416.67
1.06%
12,210.61
A2 / A
A
3.59
3.34
TOTAL Corporate 13,380,000.00 2.27%
13,302,884.45
13,253,576.68 4.61%
12,930,257.91
62,996.01
14.41%
(323,318.77)
A1 / AA-
A+
1.66
1.56
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 75,270.35 Various
2.88%
75,270.35
75,270.35
1.00
2.88%
75,270.35
521.08
0.08%
0.00
NR / NR
NR
0.00
0.00
TOTAL LAIF 75,270.35 2.88%
75,270.35
75,270.35 2.88%
75,270.35
521.08
0.08%
0.00
NR / NR
NR
0.00
0.00
Money Market Fund
94975H296 Wells Fargo Treasury Plus MMFD 453 289,004.27 Various
4.60%
289,004.27
289,004.27
1.00
4.60%
289,004.27
0.00
0.32%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund 289,004.27 4.60%
289,004.27
289,004.27 4.60%
289,004.27
0.00
0.32%
0.00
Aaa / AAA
NR
0.00
0.00
Supranational
459058JM6 Intl. Bank Recon & Development Note
0.250% Due 11/24/2023
355,000.00 11/17/2020
0.32%
354,236.75
354,834.80
97.16
4.75%
344,932.20
313.09
0.38%
(9,902.60)
Aaa / AAA
AAA
0.65
0.63
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
1,249,543.41
94.54
4.36%
1,181,731.25
138.89
1.31%
(67,812.16)
Aaa / AAA
NR
1.48
1.44
As of March 31, 2023
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
45950KCR9 International Finance Corp Note
1.375% Due 10/16/2024
1,000,000.00 07/29/2021
0.46%
1,028,980.00
1,013,957.92
95.56
4.38%
955,593.00
6,302.08
1.07%
(58,364.92)
Aaa / AAA
NR
1.55
1.49
TOTAL Supranational 2,605,000.00 0.47%
2,632,291.75
2,618,336.13 4.42%
2,482,256.45
6,754.06
2.76%
(136,079.68)
Aaa / AAA
AAA
1.39
1.35
US Treasury
912828R28 US Treasury Note
1.625% Due 04/30/2023
1,500,000.00 06/19/2019
1.87%
1,486,582.03
1,499,724.03
99.77
4.40%
1,496,521.50
10,234.81
1.67%
(3,202.53)
Aaa / AA+
AAA
0.08
0.08
912828T91 US Treasury Note
1.625% Due 10/31/2023
1,500,000.00 09/13/2019
1.78%
1,490,917.97
1,498,715.49
98.23
4.73%
1,473,516.00
10,234.81
1.65%
(25,199.49)
Aaa / AA+
AAA
0.59
0.57
91282CBA8 US Treasury Note
0.125% Due 12/15/2023
750,000.00 01/08/2021
0.22%
747,861.33
749,483.36
96.86
4.68%
726,474.75
275.58
0.81%
(23,008.61)
Aaa / AA+
AAA
0.71
0.69
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
1,000,000.00 04/14/2021
0.36%
1,000,351.56
1,000,121.89
95.71
4.64%
957,148.00
1,730.77
1.06%
(42,973.89)
Aaa / AA+
AAA
1.04
1.01
912828X70 US Treasury Note
2.000% Due 04/30/2024
1,000,000.00 07/27/2022
3.06%
981,914.06
988,872.36
97.25
4.63%
972,539.00
8,397.79
1.09%
(16,333.36)
Aaa / AA+
AAA
1.08
1.04
91282CCC3 US Treasury Note
0.250% Due 05/15/2024
1,250,000.00 05/12/2021
0.36%
1,246,093.75
1,248,536.05
95.36
4.53%
1,191,992.50
1,182.67
1.32%
(56,543.55)
Aaa / AA+
AAA
1.13
1.10
91282CCG4 US Treasury Note
0.250% Due 06/15/2024
1,500,000.00 06/10/2021
0.33%
1,496,542.97
1,498,608.99
95.09
4.46%
1,426,407.00
1,102.34
1.58%
(72,201.99)
Aaa / AA+
AAA
1.21
1.18
91282CCL3 US Treasury Note
0.375% Due 07/15/2024
1,500,000.00 07/28/2021
0.38%
1,499,648.44
1,499,846.96
94.98
4.41%
1,424,766.00
1,180.94
1.58%
(75,080.96)
Aaa / AA+
AAA
1.29
1.26
912828YE4 US Treasury Note
1.250% Due 08/31/2024
1,000,000.00 02/09/2021
0.26%
1,034,804.69
1,013,889.70
95.75
4.37%
957,539.00
1,086.96
1.06%
(56,350.70)
Aaa / AA+
AAA
1.42
1.38
91282CCX7 US Treasury Note
0.375% Due 09/15/2024
1,400,000.00 09/13/2021
0.44%
1,397,265.63
1,398,670.24
94.48
4.33%
1,322,727.00
242.53
1.47%
(75,943.24)
Aaa / AA+
AAA
1.46
1.42
912828YM6 US Treasury Note
1.500% Due 10/31/2024
1,350,000.00 08/06/2021
0.45%
1,395,246.09
1,372,220.09
95.80
4.27%
1,293,258.15
8,502.76
1.44%
(78,961.94)
Aaa / AA+
AAA
1.59
1.53
91282CDH1 US Treasury Note
0.750% Due 11/15/2024
1,500,000.00 11/10/2021
0.80%
1,497,832.03
1,498,825.02
94.54
4.27%
1,418,028.00
4,257.60
1.58%
(80,797.02)
Aaa / AA+
AAA
1.63
1.58
91282CDN8 US Treasury Note
1.000% Due 12/15/2024
850,000.00 01/26/2022
1.39%
840,636.72
844,451.39
94.76
4.21%
805,474.45
2,498.63
0.90%
(38,976.94)
Aaa / AA+
AAA
1.71
1.66
912828YY0 US Treasury Note
1.750% Due 12/31/2024
1,500,000.00 03/15/2022
2.03%
1,488,632.81
1,492,874.63
95.94
4.18%
1,439,062.50
6,598.76
1.60%
(53,812.13)
Aaa / AA+
AAA
1.76
1.69
912828Z52 US Treasury Note
1.375% Due 01/31/2025
1,500,000.00 02/24/2021
0.40%
1,557,011.72
1,526,639.88
95.17
4.13%
1,427,520.00
3,418.51
1.59%
(99,119.88)
Aaa / AA+
AAA
1.84
1.78
As of March 31, 2023
32
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
912828ZC7 US Treasury Note
1.125% Due 02/28/2025
1,000,000.00 02/03/2022
1.43%
990,820.31
994,270.89
94.55
4.11%
945,547.00
978.26
1.05%
(48,723.89)
Aaa / AA+
AAA
1.92
1.86
912828ZF0 US Treasury Note
0.500% Due 03/31/2025
1,350,000.00 Various
0.66%
1,342,150.39
1,345,788.34
93.27
4.04%
1,259,138.25
18.44
1.40%
(86,650.09)
Aaa / AA+
AAA
2.00
1.95
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
2,000,000.00 Various
1.50%
1,934,296.88
1,954,125.74
92.75
4.04%
1,855,000.00
3,149.18
2.06%
(99,125.74)
Aaa / AA+
AAA
2.08
2.03
912828ZT0 US Treasury Note
0.250% Due 05/31/2025
1,500,000.00 06/11/2021
0.53%
1,483,359.38
1,490,903.43
92.27
4.01%
1,384,101.00
1,256.87
1.54%
(106,802.43)
Aaa / AA+
AAA
2.17
2.12
912828ZW3 US Treasury Note
0.250% Due 06/30/2025
1,500,000.00 07/29/2021
0.56%
1,482,246.09
1,489,814.14
92.17
3.92%
1,382,520.00
942.68
1.53%
(107,294.14)
Aaa / AA+
AAA
2.25
2.20
91282CAB7 US Treasury Note
0.250% Due 07/31/2025
1,350,000.00 12/02/2021
1.06%
1,310,871.09
1,325,046.53
91.83
3.94%
1,239,732.00
559.39
1.38%
(85,314.53)
Aaa / AA+
AAA
2.34
2.29
912828K74 US Treasury Note
2.000% Due 08/15/2025
1,500,000.00 04/21/2022
2.96%
1,454,882.81
1,467,698.92
95.67
3.92%
1,435,020.00
3,729.28
1.60%
(32,678.92)
Aaa / AA+
AAA
2.38
2.28
9128285C0 US Treasury Note
3.000% Due 09/30/2025
1,500,000.00 04/21/2022
2.96%
1,502,109.38
1,501,532.11
97.80
3.93%
1,467,012.00
122.95
1.63%
(34,520.11)
Aaa / AA+
AAA
2.50
2.38
9128285J5 US Treasury Note
3.000% Due 10/31/2025
1,600,000.00 06/02/2022
2.87%
1,606,562.50
1,604,971.91
97.80
3.90%
1,564,812.80
20,154.70
1.76%
(40,159.11)
Aaa / AA+
AAA
2.59
2.43
912828M56 US Treasury Note
2.250% Due 11/15/2025
1,700,000.00 06/09/2022
3.05%
1,655,839.84
1,666,228.39
95.95
3.89%
1,631,136.40
14,475.83
1.83%
(35,091.99)
Aaa / AA+
AAA
2.63
2.49
9128285T3 US Treasury Note
2.625% Due 12/31/2025
1,100,000.00 07/13/2022
3.21%
1,079,031.25
1,083,354.19
96.79
3.87%
1,064,637.20
7,258.63
1.19%
(18,716.99)
Aaa / AA+
AAA
2.76
2.60
9128286L9 US Treasury Note
2.250% Due 03/31/2026
1,800,000.00 08/03/2022
3.00%
1,753,523.44
1,761,878.78
95.64
3.80%
1,721,460.60
110.66
1.91%
(40,418.18)
Aaa / AA+
AAA
3.00
2.86
9128286S4 US Treasury Note
2.375% Due 04/30/2026
1,600,000.00 09/08/2022
3.43%
1,542,500.00
1,551,326.19
95.91
3.79%
1,534,625.60
15,955.80
1.72%
(16,700.59)
Aaa / AA+
AAA
3.08
2.90
91282CEF4 US Treasury Note
2.500% Due 03/31/2027
1,450,000.00 11/28/2022
4.01%
1,363,566.41
1,370,231.96
95.51
3.72%
1,384,863.10
99.04
1.54%
14,631.14
Aaa / AA+
AAA
4.00
3.76
91282CEW7 US Treasury Note
3.250% Due 06/30/2027
1,500,000.00 10/05/2022
4.01%
1,451,308.59
1,456,169.25
98.27
3.69%
1,474,101.00
12,254.83
1.65%
17,931.75
Aaa / AA+
AAA
4.25
3.90
91282CFH9 US Treasury Note
3.125% Due 08/31/2027
1,600,000.00 01/20/2023
3.59%
1,568,437.50
1,569,714.27
97.81
3.67%
1,565,000.00
4,347.83
1.74%
(4,714.27)
Aaa / AA+
AAA
4.42
4.07
As of March 31, 2023
33
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
91282CFM8 US Treasury Note
4.125% Due 09/30/2027
1,250,000.00 03/08/2023
4.44%
1,234,130.86
1,234,340.54
101.88
3.67%
1,273,535.00
140.88
1.41%
39,194.46
Aaa / AA+
AAA
4.50
4.08
TOTAL US Treasury 44,400,000.00 1.85%
43,916,978.52
43,998,875.66 4.10%
42,515,215.80
146,500.71
47.32%
(1,483,659.86)
Aaa / AA+
AAA
2.18
2.07
TOTAL PORTFOLIO 93,197,937.29 1.59%
92,691,504.30
92,628,109.79 4.40%
89,882,683.60
273,812.34
100.00%
(2,745,426.19)
Aa1 / AA+
AAA
1.70
1.52
TOTAL MARKET VALUE PLUS ACCRUALS 90,156,495.94
As of March 31, 2023
34
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 23,740.62 Various
4.60%
23,740.62
23,740.62
1.00
4.60%
23,740.62
0.00
2.69%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund 23,740.62 4.60%
23,740.62
23,740.62 4.60%
23,740.62
0.00
2.69%
0.00
Aaa / AAA
NR
0.00
0.00
US Treasury
912796YV5 US Treasury Bill
4.338% Due 04/27/2023
125,000.00 10/28/2022
4.49%
122,319.18
122,319.18
97.86
4.49%
122,319.18
2,289.24
14.12%
0.00
P-1 / A-1+
F-1+
0.07
0.07
91282CCK5 US Treasury Note
0.125% Due 06/30/2023
250,000.00 07/13/2022
3.10%
242,998.05
248,204.63
98.91
4.51%
247,273.75
78.56
28.03%
(930.88)
Aaa / AA+
AAA
0.25
0.25
91282CDA6 US Treasury Note
0.250% Due 09/30/2023
250,000.00 11/03/2022
4.81%
240,039.06
244,506.39
97.85
4.65%
244,629.00
1.71
27.72%
122.61
Aaa / AA+
AAA
0.50
0.49
91282CBA8 US Treasury Note
0.125% Due 12/15/2023
250,000.00 03/20/2023
4.51%
242,148.44
242,469.51
96.86
4.68%
242,158.25
91.86
27.45%
(311.26)
Aaa / AA+
AAA
0.71
0.69
TOTAL US Treasury 875,000.00 4.18%
847,504.73
857,499.71 4.59%
856,380.18
2,461.37
97.31%
(1,119.53)
Aaa / AA+
AAA
0.43
0.42
TOTAL PORTFOLIO 898,740.62 4.20%
871,245.35
881,240.33 4.59%
880,120.80
2,461.37
100.00%
(1,119.53)
Aaa / AA+
AAA
0.41
0.41
TOTAL MARKET VALUE PLUS ACCRUALS 882,582.17
As of March 31, 2023
35
SECTION |Section 4 |Transactions
36
Transaction Ledger
Danville Short Term Treasury Pool -Account #21
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 01/13/2023 438516BL9 1,000,000.00 Honeywell Intl Callable Note 08/01/2026
2.5% Due: 11/01/2026
93.328 4.43%933,280.00 5,000.00 938,280.00 0.00
Purchase 01/23/2023 91282CFH9 1,600,000.00 US Treasury Note
3.125% Due: 08/31/2027
98.027 3.59%1,568,437.50 20,027.62 1,588,465.12 0.00
Purchase 01/24/2023 594918BJ2 1,000,000.00 Microsoft Callable Note Cont 8/3/2025
3.125% Due: 11/03/2025
97.006 4.28%970,060.00 7,031.25 977,091.25 0.00
Purchase 02/03/2023 037833BY5 750,000.00 Apple Inc Callable Note Cont 11/23/2025
3.25% Due: 02/23/2026
97.102 4.27%728,265.00 10,833.33 739,098.33 0.00
Purchase 03/10/2023 91282CFM8 1,250,000.00 US Treasury Note
4.125% Due: 09/30/2027
98.730 4.44%1,234,130.86 22,806.49 1,256,937.35 0.00
Subtotal 5,600,000.00 5,434,173.36 65,698.69 5,499,872.05 0.00
TOTAL ACQUISITIONS 5,600,000.00 5,434,173.36 65,698.69 5,499,872.05 0.00
DISPOSITIONS
Maturity 01/11/2023 89236TEL5 1,000,000.00 Toyota Motor Credit Corp Note
2.7% Due: 01/11/2023
100.000 1,000,000.00 0.00 1,000,000.00 0.00
Maturity 01/19/2023 3135G0T94 1,500,000.00 FNMA Note
2.375% Due: 01/19/2023
100.000 1,500,000.00 0.00 1,500,000.00 0.00
Maturity 01/23/2023 90331HNL3 750,000.00 US Bank NA Callable Note Cont 12/23/2022
2.85% Due: 01/23/2023
100.000 750,000.00 0.00 750,000.00 0.00
Maturity 01/29/2023 06406RAE7 750,000.00 Bank of NY Mellon Corp Callable Note Cont
12/29/2022
2.95% Due: 01/29/2023
100.000 750,000.00 0.00 750,000.00 0.00
December 31, 2022 through March 31, 2023
As of March 31, 2023
37
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 03/10/2023 3130ADRG9 900,000.00 FHLB Note
2.75% Due: 03/10/2023
100.000 900,000.00 0.00 900,000.00 0.00
Subtotal 4,900,000.00 4,900,000.00 0.00 4,900,000.00 0.00
TOTAL DISPOSITIONS 4,900,000.00 4,900,000.00 0.00 4,900,000.00 0.00
December 31, 2022 through March 31, 2023
As of March 31, 2023
38
Transaction Ledger
Danville NERIAD Improvement Fund (89-1 90A) -Account #24
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 03/21/2023 91282CBA8 250,000.00 US Treasury Note
0.125% Due: 12/15/2023
96.859 4.51%242,148.44 82.42 242,230.86 0.00
Subtotal 250,000.00 242,148.44 82.42 242,230.86 0.00
TOTAL ACQUISITIONS 250,000.00 242,148.44 82.42 242,230.86 0.00
DISPOSITIONS
Maturity 03/15/2023 912828ZD5 250,000.00 US Treasury Note
0.5% Due: 03/15/2023
100.000 250,000.00 0.00 250,000.00 0.00
Subtotal 250,000.00 250,000.00 0.00 250,000.00 0.00
TOTAL DISPOSITIONS 250,000.00 250,000.00 0.00 250,000.00 0.00
December 31, 2022 through March 31, 2023
As of March 31, 2023
39
Important Disclosures
2023Chandler Asset Management,Inc,An Independent Registered Investment Adviser.
Information contained herein is confidential.Prices are provided by ICE Data Services Inc (“IDS”),an independent pricing source.In the event IDS 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 orwithdrawals 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 March 31, 2023
40
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 have atleast 18 monthsto 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 selectedat each month-end rebalancing is the outstanding Treasury Bill thatmatures closest to,but not beyond,three months from the rebalancing date.
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 $1billion for US Treasuries and $250 million for all other securities.
As of March 31, 2023
41
Supplement to Quarterly Investment Report
Town Managed Cash Account
Average Average
Maturity Yield Cost
Town Funds 0 2.624%13,226,886
Trust Fund 0 2.624% 1,893,034
.
Community Development Agency DS/Successor Agency 0 2.624%363,140
NERIAD 0 2.624%351,123
Total LAIF Funds Managed by the Town 15,834,182$
LAIF Funds Managed/Reported by Chandler Investments 75,270
Total LAIF Funds 15,909,452$
LAIF Funds Managed by the Town
(Local Agency Investment Fund)
February 2023