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INVESTMENT REPORT
Period Ending September 30, 2023
Town of Danville
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of September 30, 2023
1
SECTION |Section 1 |Economic Update
2
Economic Update
▪
▪
▪
Recent economic data continues to suggest positive but below trend growth this year. Labor markets remain solid, and the U.S. consumer
has demonstrated resiliency. Inflationary trends are subsiding,but core levels remain well above the Fed’s target. Given the cumulative
effects of restrictive monetary policy and tighter financial conditions,we believe the economy will gradually soften and the Fed will remain
data dependent as they tread cautiously going forward.
As anticipated at the September meeting, the Federal Open Market Committee voted unanimously to maintain the target Federal Funds at
the range of 5.25 - 5.50%. The Fed’s Summary of Economic Projections (SEP) also revealed expectations of higher economic growth, reduced
unemployment, and a gradual easing of inflation compared to earlier forecasts. The Fed is continuing to focus on achieving price stability
and bringing inflation down toward their 2%policy objective, while leaving the option open for the possibility of additional rate hikes in the
future if needed.
The yield curve remained inverted in September. The 2-year Treasury yield increased 18 basis points to 5.05%, the 5-year Treasury yield
rose 36 basis points to 4.61%, and the 10-year Treasury yield increased 46 basis points to 4.57%. The inversion between the 2-year
Treasury yield and 10-year Treasury yield narrowed to -48 basis points at September month-end versus -76 basis points at August month-
end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -45 basis points. The inversion between 3-month
and 10-year Treasuries narrowed to -88 basis points in September from -134 basis points in August. The shape of the yield curve indicates
that the probability of recession persists.
3
Employment
-400
-200
0
200
400
600
800
1,000
MO
M
C
h
a
n
g
e
I
n
T
h
o
u
s
a
n
d
s
(
0
0
0
'
s
)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Ra
t
e
(
%
)
The U.S. economy added 336,000 jobs in September, exceeding consensus expectations of 170,000, and the last two months were revised
upward by 119,000 jobs. The largest gains came from leisure and hospitality, bringing restaurant and bar employment back in-line with
pre-pandemic levels. The pace of job growth has picked up recently, with the three-month moving average payrolls at 266,000 and the six-
month moving average at 234,000. The unemployment rate was unchanged at 3.8%, and the labor participation rate was consistent with
last month’s report at 62.8%. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and
employed part time for economic reasons declined slightly to 7.0% from the prior month at 7.1%. Average hourly earnings declined to
4.2% year-over-year in September from 4.3% in August. Employment remains strong by historical standards.
Source: US Department of Labor Source: US Department of Labor
4
Job Openings & Labor Turnover Survey
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
Job Openings
Recession
Historical Average
In
T
h
o
u
s
a
n
d
s
(
0
0
0
'
s
)
The Labor Department’s Job Openings and Labor Turnover Survey (JOLTS) unexpectedly increased to 9.61 million in August from a revised
8.92 million in July. The level significantly surpassed the survey of Bloomberg economists’expectations of 8.82 million and reflects
approximately 1.5 job openings per available worker. Although JOLTS was an upside surprise, the quits rate remained at a benign 2.3%
for August, well below its 3.0% peak in April 2022.Fewer quits can imply that workers are less confident in their ability to find another
job in the current market. The current level of job openings remains elevated from a historical perspective.
Source: US Department of Labor
5
Inflation
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
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
Fed Target
YO
Y
(
%
)
C
h
a
n
g
e
The Consumer Price Index (CPI) increased in August by 0.6% month-over-month and 3.7% year-over-year, accelerating from 3.2% year-over-
year in July due to surging energy prices. The Core CPI, which excludes volatile food and energy components, was up 0.3% month-over-
month and 4.3% year-over-year, decelerating from 4.7% last month. Shelter remained the largest contributor to the Core CPI increase. The
Personal Consumption Expenditures (PCE) index rose 0.4% month-over-month and 3.5% year-over-year in August,up from a 3.4% year-
over-year gain in July. Core PCE, the Federal Reserve’s preferred inflation gauge, increased just 0.1% month-over-month and 3.9% year-
over-year in August, down from a 4.3% increase in July. Personal income and spending remained relatively healthy,but the personal
savings rate continued its declining trend to 3.9% in August from 4.1% in July. Inflation remains above the Fed's 2% target.
Source: US Department of Labor Source: US Department of Commerce
6
Consumer
-30.0%
-20.0%
-10.0%
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
Retail Sales rose 0.6%in August, exceeding the consensus forecast. Sales of motor vehicles and higher gasoline prices drove greater
than expected gains. However, Control Group Sales, which are used to calculate gross domestic product and exclude food services, auto
dealers, building materials stores and gasoline stations, rose just 0.1%, the smallest advance in five months.On a year-over-year basis,
retail sales growth decelerated to a 2.5% gain in August versus a downwardly revised 2.6% gain in July. The Conference Board’s
Consumer Confidence Index dropped more than expected to 103.0 in September from an upwardly revised 108.7 in August, primarily due
to significantly weaker future expectations for employment. While the consumer has been resilient, dwindling excess savings, rising
credit card balances, and the resumption of student loan payments pose potential headwinds to future economic growth.
80
90
100
110
120
130
140
In
d
e
x
L
e
v
e
l
Consumer Confidence
Source: US Department of Commerce Source: The Conference Board
7
Leading Indicators of Economic Activity
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Leading Economic Indicators (LEI)
Recession
YO
Y
(%
)
C
h
a
n
g
e
-1.00
-0.75
-0.50
-0.25
0.00
0.25
0.50
0.75
1.00
Chicago Fed National Activity Index (CFNAI)
Recession
3
M
o
n
t
h
A
v
e
r
a
g
e
The Conference Board’s Leading Economic Index (LEI) remained in negative territory for the seventeenth consecutive month at -0.4%in
August due to weak new orders, deteriorating consumer expectations of business conditions, high interest rates, and tight credit
conditions. The index declined 7.6% year-over-year. The consistent decline month-over-month continues to signal future contraction in the
economy. The Chicago Fed National Activity Index (CFNAI) surprised to the downside at -0.16 in August from downwardly revised 0.07 in
July.On a 3-month moving average basis, the CFNAI remained negative at -0.14 in August, indicating a rate of growth below the historical
average trend.
Source: The Conference Board Source: Federal Reserve Bank of Chicago
8
Housing
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
2,200
2,400
In
T
h
o
u
s
a
n
d
s
o
f
U
n
i
t
s
Annualized Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
Starts of new homes slowed -11.3%to 1.283 million units at a seasonally adjusted annual rate in August after a downward revision to
1.447 million units in July. The slower starts came from both a 4.3% decline in single-family home starts and 26.3% decline in multi-family
homes, continuing the reversal of strong multi-family homebuilding in the second half of 2022 and early 2023.Total starts of new homes
are down 14.8% year-over-year. According to Freddie Mac, average 30-year fixed rate mortgage rates increased to 7.35%as of September
28th. Rising mortgage rates are prompting homebuilders to offer incentives to attract buyers and has caused homebuilder sentiment to
reach a five-month low. According to the Case-Shiller 20-City Home Price Index, housing prices rose 0.1% year-over-year in July, improving
from a 1.2% decline in June. Tight inventories and higher mortgage rates continue to impact affordability.
Source: US Department of Commerce Source: S&P
-20.0%
-16.0%
-12.0%
-8.0%
-4.0%
0.0%
4.0%
8.0%
12.0%
16.0%
20.0%
24.0%
S&P/Case-Shiller 20 City Composite Home Price Index
Recession
YO
Y
(
%
)
C
h
a
n
g
e
9
Survey Based Measures
40
45
50
55
60
65
70
Institute of Supply Management (ISM) Surveys
ISM Manufacturing ISM Services
EXPANDING
CONTRACTING
The Institute for Supply Management (ISM) Manufacturing index remained in contraction territory at 49.0 in September,up from 47.6 in
August. This is the eleventh consecutive month of readings below 50.0, which is indicative of contraction in the manufacturing sector.
However, this is the highest reading since November 2022,as both employment and new orders improved, while prices paid subsided.
The ISM Services Index eased to 53.6 in September from the six-month high of 54.5 in August. The prices paid component continued to
grow primarily due to high labor costs and an uptick in energy costs, but new orders reflected a significant slowdown.
Source: Institute for Supply Management
10
Gross Domestic Product (GDP)
Components of GDP 9/22 12/22 3/23 6/23
1.1% 0.8% 2.5% 0.6%
-1.5% 0.6% -1.7% 0.9%
2.6% 0.3% 0.6% 0.0%
0.1% 0.6% 0.3% 0.1%
0.4% 0.3% 0.5% 0.5%
2.7% 2.6% 2.3% 2.1%
State and Local (Consumption and Gross
Investment)
Personal Consumption Expenditures
Gross Private Domestic Investment
Net Exports and Imports
Federal Government Expenditures
Total
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Source: US Department of Commerce Source: US Department of Commerce
According to the third estimate, second quarter annualized GDP growth remained unchanged at 2.1%. A material decline in consumer
spending was offset by improvement in business investment. Historically low unemployment, wage growth and savings built up during the
pandemic has supported consumer spending at a level to keep economic growth intact,but there are signs the consumer is beginning to
show signs of stress. The consensus estimate calls for 3.0% growth for the third quarter and 2.1% for the full year 2023.
11
Federal Reserve
Source: Federal Reserve Source: Bloomberg
0
1,000,000
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
Recession
In
$
m
i
l
l
i
o
n
s
At the September meeting, the Federal Open Market Committee voted unanimously to leave the Federal Funds rate unchanged at a target
range of 5.25 - 5.50%. Nonetheless, the Fed conveyed a consensus view that another rate hike is possible later in the year, along with its
commitment to keeping rates at their current level until inflation subsides closer to its 2%target, endorsing a data-dependent 'higher-for-
longer' strategy. The Fed’s Summary of Economic Projections (SEP) also revealed expectations of higher economic growth, reduced
unemployment, and a gradual easing of inflation compared to earlier forecasts.We believe the resiliency of future economic data will
determine if the Federal Reserve can stay on hold for or will tighten policy further to curb inflation. Since the Federal Reserve began its
Quantitative Tightening campaign in June 2022, securities holdings have declined by over $1 trillion to $8.024T.
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Effective Federal Funds Rate
Recession
Yi
e
l
d
(
%
)
12
Bond Yields
Source: Bloomberg Source: Bloomberg
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Y
i
e
l
d
(
%
)
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Yield Curve
Sep-23
Jun-23
Sep-22
Yi
e
l
d
(
%
)
At the end of September, the 2-year Treasury yield was 77 basis points higher, and the 10-Year Treasury yield was about 74 basis points
higher, year-over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -48 basis points at
September month-end versus -76 basis points at August month-end. The average historical spread (since 2003)is about +130 basis
points. The inversion between 3-month and 10-year Treasuries narrowed to -88 basis points in September from -134 basis points in
August. The shape of the yield curve indicates that the probability of recession persists.
13
Section 2|SECTION |Section 2 |Account Profile
14
Objectives
Chandler Asset Management Performance Objective
The performance objective is to achieve a return that equals the return on an unmanaged index of one-to-
three year Treasury securities (a “market rate of return”).
Investment Objectives
The primary investment objectives of the Town of Danville are to preserve principal and to maintain
adequate liquidity to meet the Town’s cash flow requirements. The Town expects to achieve a rate of
return which is consistent with its primary objectives.
Strategy
In order to meet its objectives, the Town invests in securities permitted under California Government
Code Section 53600 et seq. and under its Investment Policy. The maximum maturity of the Town’s
investments is five years, unless specifically authorized by the Town Council.
As of September 30, 2023
15
Compliance As of September 30, 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; 5 years max maturity Complies
Federal Agencies 30% max per Agency issuer; 20% max agency callable securities; 5 years max maturity Complies
Supranational Obligations "AA" rating category or higher by a NRSRO; 30% max; 5% max per issuer; 5 years max maturity; USD denominated senior
unsecured unsubordinated obligations; Issued or unconditionally guaranteed by IBRD, IFC, or IADB Complies
Municipal Securities (CA, Local Agency)"A" rating category or better by a NRSRO; 30% max; 5% max per issuer; 5 years max maturity Complies
Municipal Securities (CA, Other States)"A" rating category or better by a NRSRO; 30% max; 5% max per issuer; 5 years max maturity 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; 5 years max maturity Complies
Asset-Backed Securities, Collateralized
Mortgage Obligations AAA rated by a NRSRO; 15% max(combination of ABS and CMOs); 5% max per issuer; 5 years max maturity Complies
Agency Mortgage Pass-Through
Securities 15% max; 5% max per issuer; 5 years max maturity; Issued by Agencies of the U.S. government only 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; or organized within the U.S. as special purpose corporation, trust, or LLC, provided
it has program wide-credit enhancements including, but not limited, to overcollateralization, LOC, or surety bond.
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; 102% collateralized by Treasuries or Agencies; Not used by Investment Adviser 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, unless specified as shorter than five years Complies
Town of Danville - All Accounts
Assets managed by Chandler Asset Management are in full compliance with state law and the Client’s investment policy.
16
Portfolio Characteristics
Danville Short Term Treasury Pool
09/30/23 06/30/23
Benchmark*Portfolio Portfolio
Average Maturity (yrs)1.84 1.91 1.89
Average Modified Duration 1.75 1.68 1.69
Average Purchase Yield n/a 2.28%1.94%
Average Market Yield 5.14%5.26%5.03%
Average Quality**AA+AA+/Aa1 AA+/Aa1
Total Market Value 90,701,639 90,054,332
*ICE BofA 1-3 Yr US Treasury Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of September 30, 2023
17
Danville Short Term Treasury Pool
Sector Distribution
ABS
6.0%
Agency
24.2%
CMO
4.9%
Corporate
14.3%LAIF
0.1%
Money Market
Fund
0.7%
Supranational
2.8%
US Treasury
47.1%
September 30, 2023 June 30, 2023
ABS
5.0%
Agency
27.6%
CMO
3.9%
Corporate
12.7%LAIF
0.1%
Money Market
Fund
0.8%
Supranational
2.8%
US Treasury
47.3%
As of September 30, 2023
18
Issue Name Investment Type % Portfolio
Government of United States US Treasury 47.11%
Federal Farm Credit Bank Agency 9.53%
Federal Home Loan Bank Agency 6.90%
Federal Home Loan Mortgage Corp CMO 4.90%
Federal National Mortgage Association Agency 4.51%
Federal Home Loan Mortgage Corp Agency 3.24%
Inter-American Dev Bank Supranational 1.31%
Apple Inc Corporate 1.31%
Deere & Company Corporate 1.24%
Bank of America Corp Corporate 1.10%
JP Morgan ABS ABS 1.10%
Charles Schwab Corp/The Corporate 1.08%
Microsoft Corporate 1.07%
Amazon.com Inc Corporate 1.07%
International Finance Corp Supranational 1.06%
MasterCard Inc Corporate 1.05%
Honda Motor Corporation Corporate 1.05%
Honeywell Corp Corporate 1.03%
Paccar Financial Corporate 0.98%
Caterpillar Inc Corporate 0.97%
Toyota ABS ABS 0.82%
JP Morgan Chase & Co Corporate 0.80%
Wal-Mart Stores Corporate 0.75%
GM Financial Automobile Leasing Trust ABS 0.72%
John Deere ABS ABS 0.72%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund 0.71%
Honda ABS ABS 0.69%
Hyundai Auto Receivables ABS 0.64%
BMW ABS ABS 0.52%
Colgate-Palmolive Co.Corporate 0.50%
GM Financial Securitized Term Auto Trust ABS 0.46%
Intl Bank Recon and Development Supranational 0.39%
State Street Bank Corporate 0.28%
Mercedes-Benz Auto Lease Trust ABS 0.15%
BMW Vehicle Lease Trust ABS 0.15%
Local Agency Investment Fund LAIF 0.08%
TOTAL 100.00%
Issuers
Danville Short Term Treasury Pool – Account #21
As of September 30, 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 8.8% 7.5% 16.2% 34.6% 18.0% 10.5% 4.3% 0.0%
Benchmark*0.0% 0.0% 2.6% 58.7% 38.7% 0.0% 0.0% 0.0%
*ICE BofA 1-3 Yr US Treasury Index
Duration Distribution
Danville Short Term Treasury Pool
As of September 30, 2023
20
AAA AA A <A NR
09/30/23 9.5%74.9%9.6%0.0%5.9%
06/30/23 8.5%78.5%7.9%0.0%5.1%
Source: S&P Ratings
September 30, 2023 vs. June 30, 2023
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
09/30/23 06/30/23
Quality Distribution
Danville Short Term Treasury Pool
As of September 30, 2023
21
Purchase Yield as of 09/30/23 = 2.28%
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 September 30, 2023
22
Growth Over Time As of September 30, 2023
Growth of $1 Million
As of 09/30/2023 Dollar Value Return
Danville Total Return $2,510,346 3.28%
Danville Realized Return $2,560,382 3.35%
LAIF $2,057,055 2.56%
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 losses in 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 Danville Short Term Treasury Pool - Realized
Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since
Inception
Danville Short Term Treasury Pool 0.72%2.91%-0.79%-0.49%1.28%1.03%3.28%
ICE BofA 1-3 Yr US Treasury Index 0.74%2.47%-1.26%-0.84%1.06%0.81%3.02%
REALIZED RATE OF RETURN
Danville Short Term Treasury Pool 0.52%1.70%1.52%1.56%1.73%1.45%3.35%
Investment Performance
Danville Short Term Treasury Pool
As of September 30, 2023
24
Portfolio Characteristics
Danville NERIAD Improvement Fund (89-1 90A)
09/30/23 06/30/23
Benchmark*Portfolio Portfolio
Average Maturity (yrs)0.17 0.19 0.44
Average Modified Duration 0.16 0.19 0.43
Average Purchase Yield n/a 5.02%4.91%
Average Market Yield 5.29%5.21%5.19%
Average Quality**AA+AAA/Aaa AA+/Aaa
Total Market Value 904,460 891,945
*ICE BofA 3-Month US Treasury Bill Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of September 30, 2023
25
Issue Name Investment Type % Portfolio
Government of United States US Treasury 70.90%
Wells Fargo Adv Tsy Plus Money Market Fund Money Market Fund 29.10%
TOTAL 100.00%
Issuers
Danville NERIAD Improvement Fund (89-1 90A) – Account #24
As of September 30, 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
58769KAD6 Mercedes-Benz Auto Lease Trust 2021-B A3
0.400% Due 11/15/2024
141,048.23 06/22/2021
0.40%
141,037.58
141,047.02
99.15
5.55%
139,845.93
25.08
0.15%
(1,201.09)
NR / AAA
AAA
1.13
0.16
05601XAC3 BMW Vehicle Lease Trust 2022-1 A3
1.100% Due 03/25/2025
137,498.08 01/11/2022
1.11%
137,477.53
137,493.54
98.83
6.13%
135,884.54
25.21
0.15%
(1,609.00)
NR / AAA
AAA
1.48
0.23
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
449,982.83
98.79
6.03%
444,566.25
470.25
0.49%
(5,416.58)
NR / AAA
AAA
1.72
0.47
47788UAC6 John Deere Owner Trust 2021-A A3
0.360% Due 09/15/2025
110,187.12 03/02/2021
0.37%
110,165.95
110,181.00
97.63
6.07%
107,575.46
17.63
0.12%
(2,605.54)
Aaa / NR
AAA
1.96
0.41
89190GAC1 Toyota Auto Receivables Trust 2021-B A3
0.260% Due 11/17/2025
555,269.56 06/08/2021
0.26%
555,209.76
555,253.09
97.20
5.98%
539,705.35
64.16
0.60%
(15,547.74)
NR / AAA
AAA
2.13
0.49
43815GAC3 Honda Auto Receivables Trust 2021-4 A3
0.880% Due 01/21/2026
222,856.21 11/16/2021
0.89%
222,809.23
222,836.03
96.10
6.44%
214,167.71
54.48
0.24%
(8,668.32)
Aaa / NR
AAA
2.31
0.70
47789QAC4 John Deere Owner Trust 2021-B A3
0.520% Due 03/16/2026
228,877.06 07/13/2021
0.52%
228,856.64
228,868.93
96.59
5.88%
221,063.65
52.90
0.24%
(7,805.28)
Aaa / NR
AAA
2.46
0.64
89238JAC9 Toyota Auto Receivables Trust 2021-D A3
0.710% Due 04/15/2026
211,916.83 11/09/2021
0.71%
211,912.32
211,914.92
96.20
6.20%
203,860.39
66.87
0.22%
(8,054.53)
NR / AAA
AAA
2.54
0.69
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
424,967.85
96.48
5.78%
410,027.68
355.11
0.45%
(14,940.17)
Aaa / AAA
NR
2.62
0.91
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
299,991.29
97.56
5.95%
292,665.30
160.50
0.32%
(7,325.99)
Aaa / AAA
NR
2.90
0.90
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
329,959.19
96.82
6.16%
319,489.83
340.27
0.35%
(10,469.36)
Aaa / NR
AAA
2.96
0.83
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
594,987.98
96.77
5.74%
575,760.67
587.07
0.64%
(19,227.31)
NR / AAA
AAA
3.04
0.92
380146AC4 GM Financial Auto Receivables 2022-1 A3
1.260% Due 11/16/2026
168,446.49 01/11/2022
1.27%
168,431.85
168,439.33
96.63
5.58%
162,770.69
88.43
0.18%
(5,668.64)
NR / AAA
AAA
3.13
0.78
379929AD4 GM Financial Auto Leasing 2023-3 A3
5.380% Due 11/20/2026
210,000.00 08/08/2023
5.45%
209,974.82
209,976.17
99.60
5.67%
209,170.29
345.22
0.23%
(805.88)
NR / AAA
AAA
3.14
1.75
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
259,968.92
97.21
5.72%
252,737.68
335.83
0.28%
(7,231.24)
Aaa / AAA
NR
3.38
1.08
05592XAD2 BMW Vehicle Owner Trust 2023-A A3
5.470% Due 02/25/2028
175,000.00 07/11/2023
5.54%
174,968.99
174,970.89
99.74
5.67%
174,539.75
159.54
0.19%
(431.14)
NR / AAA
AAA
4.41
1.88
As of September 30, 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
161571HT4 Chase Issuance Trust 23-A1 A
5.160% Due 09/15/2028
995,000.00 09/07/2023
5.23%
994,724.19
994,728.22
99.63
5.35%
991,336.41
2,281.87
1.10%
(3,391.81)
NR / AAA
AAA
4.96
2.66
TOTAL ABS 5,516,099.58 2.65%
5,515,292.16
5,515,567.20 5.81%
5,395,167.58
5,430.42
5.95%
(120,399.62)
Aaa / AAA
AAA
3.04
1.14
Agency
3137EAEZ8 FHLMC Note
0.250% Due 11/06/2023
1,455,000.00 11/03/2020
0.28%
1,453,690.50
1,454,956.99
99.51
5.13%
1,447,928.70
1,465.10
1.60%
(7,028.29)
Aaa / AA+
AA+
0.10
0.10
3135G06H1 FNMA Note
0.250% Due 11/27/2023
1,500,000.00 11/24/2020
0.27%
1,499,160.00
1,499,956.15
99.22
5.19%
1,488,343.50
1,291.67
1.64%
(11,612.65)
Aaa / AA+
AA+
0.16
0.16
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
1,500,000.00 12/09/2020
0.26%
1,499,610.00
1,499,977.06
99.11
5.27%
1,486,716.00
1,218.75
1.64%
(13,261.06)
Aaa / AA+
AA+
0.18
0.18
3135G0V34 FNMA Note
2.500% Due 02/05/2024
1,700,000.00 03/24/2020
0.82%
1,808,052.00
1,709,718.56
98.95
5.55%
1,682,195.90
6,611.11
1.86%
(27,522.66)
Aaa / AA+
AA+
0.35
0.34
3130A7PH2 FHLB Note
1.875% Due 03/08/2024
1,500,000.00 03/03/2020
0.85%
1,560,525.00
1,506,568.92
98.40
5.59%
1,476,064.50
1,796.88
1.63%
(30,504.42)
Aaa / AA+
NR
0.44
0.43
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
879,920.86
95.13
5.60%
856,189.80
3,575.00
0.95%
(23,731.06)
Aaa / AA+
NR
1.11
1.07
3130AQF40 FHLB Note
1.000% Due 12/20/2024
1,000,000.00 07/27/2022
3.15%
950,740.00
974,920.14
94.82
5.44%
948,192.00
2,805.56
1.05%
(26,728.14)
Aaa / AA+
NR
1.22
1.18
3133ENKS8 FFCB Note
1.125% Due 01/06/2025
595,000.00 01/06/2022
1.20%
593,661.25
594,431.86
94.84
5.39%
564,306.93
1,580.47
0.62%
(30,124.93)
Aaa / AA+
AA+
1.27
1.22
3133ENPG9 FFCB Note
1.750% Due 02/14/2025
1,500,000.00 Various
1.83%
1,496,422.50
1,498,347.84
95.19
5.44%
1,427,791.50
3,427.08
1.58%
(70,556.34)
Aaa / AA+
AA+
1.38
1.32
3133ENPY0 FFCB Note
1.750% Due 02/25/2025
750,000.00 03/14/2022
2.06%
743,440.50
746,878.46
95.25
5.31%
714,385.50
1,312.50
0.79%
(32,492.96)
Aaa / AA+
AA+
1.41
1.35
3133ENWH9 FFCB Note
2.900% Due 05/09/2025
1,000,000.00 05/03/2022
2.97%
998,050.00
998,957.39
96.34
5.30%
963,428.00
11,438.89
1.07%
(35,529.39)
Aaa / AA+
AA+
1.61
1.52
3135G05X7 FNMA Note
0.375% Due 08/25/2025
1,000,000.00 12/09/2021
1.17%
971,060.00
985,166.65
91.47
5.14%
914,686.00
375.00
1.01%
(70,480.65)
Aaa / AA+
AA+
1.90
1.85
3133EPNG6 FFCB Note
4.375% Due 06/23/2026
2,000,000.00 06/22/2023
4.42%
1,997,620.00
1,997,831.22
98.69
4.89%
1,973,752.00
23,819.44
2.20%
(24,079.22)
Aaa / AA+
AA+
2.73
2.51
3133EPSW6 FFCB Note
4.500% Due 08/14/2026
1,500,000.00 08/09/2023
4.58%
1,496,550.00
1,496,701.09
99.01
4.87%
1,485,151.50
8,812.50
1.65%
(11,549.59)
Aaa / AA+
AA+
2.87
2.65
3130ATUS4 FHLB Note
4.250% Due 12/10/2027
1,500,000.00 05/15/2023
3.66%
1,536,930.00
1,533,876.47
98.25
4.71%
1,473,801.00
19,656.25
1.65%
(60,075.47)
Aaa / AA+
NR
4.20
3.75
As of September 30, 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
3133EPGW9 FFCB Note
3.875% Due 04/25/2028
1,500,000.00 04/27/2023
3.76%
1,507,905.00
1,507,240.82
96.26
4.80%
1,443,858.00
25,187.50
1.62%
(63,382.82)
Aaa / AA+
AA+
4.57
4.05
3130AWC24 FHLB Note
4.000% Due 06/09/2028
1,500,000.00 07/06/2023
4.49%
1,467,705.00
1,469,197.47
97.12
4.69%
1,456,765.50
20,000.00
1.63%
(12,431.97)
Aaa / AA+
NR
4.70
4.16
TOTAL Agency 22,400,000.00 2.34%
22,439,919.75
22,354,647.95 5.16%
21,803,556.33
134,373.70
24.19%
(551,091.62)
Aaa / AA+
AA+
1.85
1.70
CMO
3137BVZ82 FHLMC K063
3.430% Due 01/25/2027
1,000,000.00 06/06/2023
4.48%
965,625.00
968,580.32
94.62
5.26%
946,221.00
2,858.33
1.05%
(22,359.32)
NR / NR
AAA
3.32
2.93
3137F2LJ3 FHLMC K066 A2
3.117% Due 06/25/2027
1,000,000.00 05/18/2023
4.28%
958,984.38
962,639.51
93.06
5.24%
930,632.00
2,597.50
1.03%
(32,007.51)
NR / NR
AAA
3.74
3.31
3137FBBX3 FHLMC K068 A2
3.244% Due 08/25/2027
1,000,000.00 05/12/2023
4.00%
970,820.31
973,421.23
93.53
5.10%
935,315.00
2,703.33
1.03%
(38,106.23)
Aaa / NR
NR
3.90
3.51
3137FETN0 FHLMC K073 A2
3.350% Due 01/25/2028
720,000.00 05/24/2023
4.34%
691,987.50
694,029.56
93.02
5.19%
669,778.56
402.00
0.74%
(24,251.00)
NR / NR
AAA
4.32
3.83
3137FJEH8 FHLMC K081 A2
3.900% Due 08/25/2028
1,000,000.00 09/05/2023
4.88%
957,968.75
958,501.96
95.10
5.03%
951,029.00
3,250.00
1.05%
(7,472.96)
NR / NR
AAA
4.91
4.32
TOTAL CMO 4,720,000.00 4.40%
4,545,385.94
4,557,172.58 5.16%
4,432,975.56
11,811.16
4.90%
(124,197.02)
Aaa / NR
AAA
4.02
3.56
Corporate
02665WCT6 American Honda Finance Note
3.550% Due 01/12/2024
950,000.00 08/19/2019
2.07%
1,008,634.00
953,762.80
99.35
5.83%
943,832.60
7,400.76
1.05%
(9,930.20)
A3 / A-
A
0.28
0.28
24422EVN6 John Deere Capital Corp Note
0.450% Due 01/17/2024
615,000.00 03/01/2021
0.47%
614,563.35
614,955.04
98.47
5.67%
605,599.11
568.88
0.67%
(9,355.93)
A2 / A
A+
0.30
0.29
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
999,208.68
97.61
6.02%
976,077.00
270.83
1.08%
(23,131.68)
A2 / A-
A
0.47
0.45
023135BW5 Amazon.com Inc Note
0.450% Due 05/12/2024
1,000,000.00 Various
0.69%
994,141.10
998,561.92
96.90
5.63%
969,013.00
1,737.51
1.07%
(29,548.92)
A1 / AA
AA-
0.62
0.60
14913R2L0 Caterpillar Financial Service Note
0.450% Due 05/17/2024
905,000.00 05/10/2021
0.50%
903,787.30
904,746.62
96.87
5.57%
876,678.93
1,515.88
0.97%
(28,067.69)
A2 / A
A+
0.63
0.61
24422EVQ9 John Deere Capital Corp Note
0.450% Due 06/07/2024
540,000.00 06/07/2021
0.49%
539,325.00
539,845.61
96.69
5.43%
522,128.70
769.50
0.58%
(17,716.91)
A2 / A
A+
0.69
0.67
As of September 30, 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
69371RR40 Paccar Financial Corp Note
0.500% Due 08/09/2024
385,000.00 08/03/2021
0.52%
384,792.10
384,940.63
95.71
5.69%
368,473.88
278.06
0.41%
(16,466.75)
A1 / A+
NR
0.86
0.83
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
999,532.05
95.30
5.47%
953,026.00
1,555.56
1.05%
(46,506.05)
Aa3 / A+
NR
1.42
1.37
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
492,880.51
93.53
5.36%
467,661.00
2,187.50
0.52%
(25,219.51)
Aaa / AA+
NR
1.61
1.55
46647PCH7 JP Morgan Chase & Co Callable Note Cont 6/1/2024
0.824% Due 06/01/2025
750,000.00 05/24/2021
2.03%
750,972.00
750,405.17
96.27
6.23%
721,989.75
2,060.00
0.80%
(28,415.42)
A1 / A-
AA-
1.67
1.59
194162AM5 Colgate Palmolive Co. Note
3.100% Due 08/15/2025
470,000.00 08/01/2022
3.13%
469,567.60
469,731.61
96.23
5.24%
452,280.53
1,861.72
0.50%
(17,451.08)
Aa3 / AA-
NR
1.88
1.78
931142EW9 Wal-Mart Stores Note
3.900% Due 09/09/2025
700,000.00 09/26/2022
4.64%
685,776.00
690,636.20
97.48
5.28%
682,355.10
1,668.33
0.75%
(8,281.10)
Aa2 / AA
AA
1.95
1.84
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
977,441.66
95.81
5.27%
958,085.00
12,847.22
1.07%
(19,356.66)
Aaa / AAA
NR
2.10
1.96
857477BR3 State Street Bank Callable Note Cont 2/6/2025
1.746% Due 02/06/2026
265,000.00 02/02/2022
3.04%
265,000.00
265,000.00
94.37
6.16%
250,067.78
706.89
0.28%
(14,932.22)
A1 / A
AA-
2.36
1.30
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
732,939.19
95.55
5.25%
716,658.75
2,572.92
0.79%
(16,280.44)
Aaa / AA+
NR
2.40
2.26
69371RS56 Paccar Financial Corp Note
5.050% Due 08/10/2026
515,000.00 08/03/2023
5.07%
514,742.50
514,754.72
99.52
5.23%
512,519.25
3,684.40
0.57%
(2,235.47)
A1 / A+
NR
2.86
2.61
06428CAA2 Bank Of America NA Callable Note cont 7/17/2026
5.526% Due 08/18/2026
1,000,000.00 08/24/2023
5.48%
1,001,360.00
1,001,317.42
99.51
5.71%
995,147.00
6,600.50
1.10%
(6,170.42)
Aa1 / A+
AA
2.88
2.61
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
945,826.05
92.52
5.15%
925,238.00
10,416.67
1.03%
(20,588.05)
A2 / A
A
3.09
2.88
TOTAL Corporate 13,345,000.00 2.60%
13,245,165.95
13,236,485.88 5.56%
12,896,831.38
58,703.13
14.28%
(339,654.50)
A1 / A+
A+
1.53
1.42
LAIF
90LAIF$00 Local Agency Investment Fund State Pool
75,754.01 Various
3.61%
75,754.01
75,754.01
1.00
3.61%
75,754.01
677.88
0.08%
0.00
NR / NR
NR
0.00
0.00
TOTAL LAIF 75,754.01 3.61%
75,754.01
75,754.01 3.61%
75,754.01
677.88
0.08%
0.00
NR / NR
NR
0.00
0.00
As of September 30, 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
Money Market Fund
94975H296 Wells Fargo Treasury Plus MMFD 453
647,125.54 Various
5.21%
647,125.54
647,125.54
1.00
5.21%
647,125.54
0.00
0.71%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund 647,125.54 5.21%
647,125.54
647,125.54 5.21%
647,125.54
0.00
0.71%
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
354,962.36
99.22
5.50%
352,224.61
313.09
0.39%
(2,737.75)
Aaa / AAA
AAA
0.15
0.15
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
1,249,697.86
95.14
5.67%
1,189,227.50
138.89
1.31%
(60,470.36)
Aaa / AAA
NR
0.98
0.95
45950KCR9 International Finance Corp Note
1.375% Due 10/16/2024
1,000,000.00 07/29/2021
0.46%
1,028,980.00
1,009,429.02
95.76
5.61%
957,644.00
6,302.08
1.06%
(51,785.02)
Aaa / AAA
NR
1.05
1.01
TOTAL Supranational 2,605,000.00 0.47%
2,632,291.75
2,614,089.24 5.62%
2,499,096.11
6,754.06
2.76%
(114,993.13)
Aaa / AAA
AAA
0.89
0.86
US Treasury
912828T91 US Treasury Note
1.625% Due 10/31/2023
1,500,000.00 09/13/2019
1.78%
1,490,917.97
1,499,819.08
99.70
5.13%
1,495,551.00
10,200.41
1.66%
(4,268.08)
Aaa / AA+
AA+
0.08
0.08
91282CBA8 US Treasury Note
0.125% Due 12/15/2023
750,000.00 01/08/2021
0.22%
747,861.33
749,849.81
98.95
5.22%
742,148.25
276.64
0.82%
(7,701.56)
Aaa / AA+
AA+
0.21
0.21
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
1,000,000.00 04/14/2021
0.36%
1,000,351.56
1,000,063.19
97.32
5.48%
973,164.00
1,731.56
1.07%
(26,899.19)
Aaa / AA+
AA+
0.54
0.53
912828X70 US Treasury Note
2.000% Due 04/30/2024
1,000,000.00 07/27/2022
3.06%
981,914.06
994,027.70
98.03
5.47%
980,313.00
8,369.57
1.09%
(13,714.70)
Aaa / AA+
AA+
0.58
0.56
91282CCC3 US Treasury Note
0.250% Due 05/15/2024
1,250,000.00 05/12/2021
0.36%
1,246,093.75
1,249,189.47
96.81
5.51%
1,210,107.50
1,180.37
1.34%
(39,081.97)
Aaa / AA+
AA+
0.62
0.61
91282CCG4 US Treasury Note
0.250% Due 06/15/2024
1,500,000.00 06/10/2021
0.33%
1,496,542.97
1,499,186.21
96.41
5.49%
1,446,153.00
1,106.56
1.60%
(53,033.21)
Aaa / AA+
AA+
0.71
0.69
91282CCL3 US Treasury Note
0.375% Due 07/15/2024
1,500,000.00 07/28/2021
0.38%
1,499,648.44
1,499,906.42
96.10
5.48%
1,441,524.00
1,192.26
1.59%
(58,382.42)
Aaa / AA+
AA+
0.79
0.77
912828YE4 US Treasury Note
1.250% Due 08/31/2024
1,000,000.00 02/09/2021
0.26%
1,034,804.69
1,008,982.72
96.24
5.50%
962,422.00
1,064.56
1.06%
(46,560.72)
Aaa / AA+
AA+
0.92
0.89
91282CCX7 US Treasury Note
0.375% Due 09/15/2024
1,400,000.00 09/13/2021
0.44%
1,397,265.63
1,399,126.80
95.29
5.48%
1,334,102.00
230.77
1.47%
(65,024.80)
Aaa / AA+
AA+
0.96
0.93
As of September 30, 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
912828YM6 US Treasury Note
1.500% Due 10/31/2024
1,350,000.00 08/06/2021
0.45%
1,395,246.09
1,365,197.16
95.91
5.44%
1,294,735.05
8,474.18
1.44%
(70,462.11)
Aaa / AA+
AA+
1.09
1.04
91282CDH1 US Treasury Note
0.750% Due 11/15/2024
1,500,000.00 11/10/2021
0.80%
1,497,832.03
1,499,187.01
94.98
5.40%
1,424,766.00
4,249.32
1.58%
(74,421.01)
Aaa / AA+
AA+
1.13
1.09
91282CDN8 US Treasury Note
1.000% Due 12/15/2024
850,000.00 01/26/2022
1.39%
840,636.72
846,078.63
94.96
5.37%
807,134.50
2,508.20
0.89%
(38,944.13)
Aaa / AA+
AA+
1.21
1.17
912828YY0 US Treasury Note
1.750% Due 12/31/2024
1,500,000.00 03/15/2022
2.03%
1,488,632.81
1,494,912.04
95.68
5.37%
1,435,195.50
6,633.83
1.59%
(59,716.54)
Aaa / AA+
AA+
1.25
1.20
912828Z52 US Treasury Note
1.375% Due 01/31/2025
1,500,000.00 02/24/2021
0.40%
1,557,011.72
1,519,374.46
94.95
5.34%
1,424,296.50
3,474.86
1.57%
(95,077.96)
Aaa / AA+
AA+
1.34
1.29
912828ZC7 US Treasury Note
1.125% Due 02/28/2025
1,000,000.00 02/03/2022
1.43%
990,820.31
995,770.79
94.39
5.28%
943,906.00
958.10
1.04%
(51,864.79)
Aaa / AA+
AA+
1.42
1.37
912828ZF0 US Treasury Note
0.500% Due 03/31/2025
1,350,000.00 Various
0.66%
1,342,150.39
1,346,844.13
93.18
5.29%
1,257,978.60
18.44
1.39%
(88,865.53)
Aaa / AA+
AA+
1.50
1.46
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
2,000,000.00 Various
1.51%
1,934,296.88
1,965,171.78
92.71
5.23%
1,854,140.00
3,138.58
2.05%
(111,031.78)
Aaa / AA+
AA+
1.58
1.54
912828ZT0 US Treasury Note
0.250% Due 05/31/2025
1,500,000.00 06/11/2021
0.53%
1,483,359.38
1,493,007.95
92.21
5.19%
1,383,163.50
1,260.25
1.53%
(109,844.45)
Aaa / AA+
AA+
1.67
1.62
912828ZW3 US Treasury Note
0.250% Due 06/30/2025
1,500,000.00 07/29/2021
0.56%
1,482,246.09
1,492,084.56
91.91
5.15%
1,378,594.50
947.69
1.52%
(113,490.06)
Aaa / AA+
AA+
1.75
1.70
91282CAB7 US Treasury Note
0.250% Due 07/31/2025
1,350,000.00 12/02/2021
1.06%
1,310,871.09
1,330,406.26
91.56
5.13%
1,236,093.75
568.61
1.36%
(94,312.51)
Aaa / AA+
AA+
1.84
1.78
912828K74 US Treasury Note
2.000% Due 08/15/2025
1,500,000.00 04/21/2022
2.96%
1,454,882.81
1,474,516.80
94.49
5.12%
1,417,324.50
3,831.52
1.57%
(57,192.30)
Aaa / AA+
AA+
1.88
1.80
9128285C0 US Treasury Note
3.000% Due 09/30/2025
1,500,000.00 04/21/2022
2.96%
1,502,109.38
1,501,225.02
96.12
5.06%
1,441,816.50
122.95
1.59%
(59,408.52)
Aaa / AA+
AA+
2.00
1.91
9128285J5 US Treasury Note
3.000% Due 10/31/2025
1,600,000.00 06/02/2022
2.87%
1,606,562.50
1,604,008.08
96.02
5.03%
1,536,374.40
20,086.96
1.72%
(67,633.68)
Aaa / AA+
AA+
2.09
1.96
912828M56 US Treasury Note
2.250% Due 11/15/2025
1,700,000.00 06/09/2022
3.05%
1,655,839.84
1,672,672.82
94.48
5.02%
1,606,234.80
14,447.69
1.79%
(66,438.02)
Aaa / AA+
AA+
2.13
2.02
9128285T3 US Treasury Note
2.625% Due 12/31/2025
1,100,000.00 07/13/2022
3.21%
1,079,031.25
1,086,385.22
95.05
4.98%
1,045,515.90
7,297.21
1.16%
(40,869.32)
Aaa / AA+
AA+
2.25
2.13
9128286L9 US Treasury Note
2.250% Due 03/31/2026
1,800,000.00 08/03/2022
3.00%
1,753,523.44
1,768,249.72
93.84
4.90%
1,689,188.40
110.66
1.86%
(79,061.32)
Aaa / AA+
AA+
2.50
2.38
9128286S4 US Treasury Note
2.375% Due 04/30/2026
1,600,000.00 09/08/2022
3.43%
1,542,500.00
1,559,243.79
93.96
4.89%
1,503,374.40
15,902.17
1.68%
(55,869.39)
Aaa / AA+
AA+
2.58
2.43
As of September 30, 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
912828YG9 US Treasury Note
1.625% Due 09/30/2026
2,000,000.00 06/07/2023
4.09%
1,848,984.38
1,863,224.07
91.29
4.78%
1,825,704.00
88.80
2.01%
(37,520.07)
Aaa / AA+
AA+
3.00
2.87
91282CEF4 US Treasury Note
2.500% Due 03/31/2027
1,450,000.00 11/28/2022
4.01%
1,363,566.41
1,380,230.28
92.89
4.73%
1,346,857.15
99.04
1.49%
(33,373.13)
Aaa / AA+
AA+
3.50
3.29
91282CEW7 US Treasury Note
3.250% Due 06/30/2027
1,500,000.00 10/05/2022
4.01%
1,451,308.59
1,461,340.77
95.01
4.72%
1,425,175.50
12,319.97
1.58%
(36,165.27)
Aaa / AA+
AA+
3.75
3.44
91282CFH9 US Treasury Note
3.125% Due 08/31/2027
1,600,000.00 01/20/2023
3.59%
1,568,437.50
1,573,150.28
94.38
4.71%
1,510,062.40
4,258.24
1.67%
(63,087.88)
Aaa / AA+
AA+
3.92
3.62
91282CFM8 US Treasury Note
4.125% Due 09/30/2027
1,250,000.00 03/08/2023
4.44%
1,234,130.86
1,236,084.72
97.92
4.70%
1,223,975.00
140.88
1.35%
(12,109.72)
Aaa / AA+
AA+
4.00
3.64
TOTAL US Treasury 44,900,000.00 1.94%
44,279,380.87
44,428,517.74 5.15%
42,597,091.60
136,290.85
47.11%
(1,831,426.14)
Aaa / AA+
AA+
1.79
1.70
TOTAL PORTFOLIO 94,208,979.13 2.28%
93,380,315.97
93,429,360.14 5.26%
90,347,598.11
354,041.20
100.00%
(3,081,762.03)
Aa1 / AA+
AA+
1.91
1.68
TOTAL MARKET VALUE PLUS ACCRUALS 90,701,639.31
As of September 30, 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
263,156.47 Various
5.21%
263,156.47
263,156.47
1.00
5.21%
263,156.47
0.00
29.10%
0.00
Aaa / AAA
NR
0.00
0.00
TOTAL Money Market Fund 263,156.47 5.21%
263,156.47
263,156.47 5.21%
263,156.47
0.00
29.10%
0.00
Aaa / AAA
NR
0.00
0.00
US Treasury
912797FC6 US Treasury Bill
4.765% Due 10/26/2023
150,000.00 04/26/2023
4.95%
146,386.54
146,386.54
97.59
4.95%
146,386.54
3,117.11
16.53%
0.00
P-1 / A-1+
F-1+
0.07
0.07
91282CBA8 US Treasury Note
0.125% Due 12/15/2023
250,000.00 03/20/2023
4.51%
242,148.44
247,810.90
98.95
5.22%
247,382.75
92.21
27.36%
(428.15)
Aaa / AA+
AA+
0.21
0.21
91282CBR1 US Treasury Note
0.250% Due 03/15/2024
250,000.00 06/28/2023
5.39%
241,171.88
244,341.82
97.72
5.34%
244,297.00
27.47
27.01%
(44.82)
Aaa / AA+
AA+
0.46
0.45
TOTAL US Treasury 650,000.00 4.95%
629,706.86
638,539.26 5.20%
638,066.29
3,236.79
70.90%
(472.97)
Aaa / AA+
AA+
0.27
0.27
TOTAL PORTFOLIO 913,156.47 5.02%
892,863.33
901,695.73 5.21%
901,222.76
3,236.79
100.00%
(472.97)
Aaa / AAA
AA+
0.19
0.19
TOTAL MARKET VALUE PLUS ACCRUALS 904,459.55
As of September 30, 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 07/10/2023 3130AWC24 1,500,000.00 FHLB Note
4% Due: 06/09/2028
97.847 4.49%1,467,705.00 6,500.00 1,474,205.00 0.00
Purchase 07/18/2023 05592XAD2 175,000.00 BMW Vehicle Owner Trust 2023-A A3
5.47% Due: 02/25/2028
99.982 5.54%174,968.99 0.00 174,968.99 0.00
Purchase 08/10/2023 69371RS56 515,000.00 Paccar Financial Corp Note
5.05% Due: 08/10/2026
99.950 5.07%514,742.50 0.00 514,742.50 0.00
Purchase 08/14/2023 3133EPSW6 1,500,000.00 FFCB Note
4.5% Due: 08/14/2026
99.770 4.58%1,496,550.00 0.00 1,496,550.00 0.00
Purchase 08/16/2023 379929AD4 210,000.00 GM Financial Auto Leasing 2023-3 A3
5.38% Due: 11/20/2026
99.988 5.45%209,974.82 0.00 209,974.82 0.00
Purchase 08/28/2023 06428CAA2 1,000,000.00 Bank Of America NA Callable Note cont 7/17/2026
5.526% Due: 08/18/2026
100.136 5.48%1,001,360.00 1,535.00 1,002,895.00 0.00
Purchase 09/08/2023 3137FJEH8 1,000,000.00 FHLMC K081 A2
3.9% Due: 08/25/2028
95.797 4.88%957,968.75 758.33 958,727.08 0.00
Purchase 09/15/2023 161571HT4 995,000.00 Chase Issuance Trust 23-A1 A
5.16% Due: 09/15/2028
99.972 5.23%994,724.19 0.00 994,724.19 0.00
Subtotal 6,895,000.00 6,817,994.25 8,793.33 6,826,787.58 0.00
TOTAL ACQUISITIONS 6,895,000.00 6,817,994.25 8,793.33 6,826,787.58 0.00
DISPOSITIONS
Maturity 07/10/2023 3135G05G4 1,460,000.00 FNMA Note
0.25% Due: 07/10/2023
100.000 1,460,000.00 0.00 1,460,000.00 0.00
Maturity 08/14/2023 3133EL3V4 1,500,000.00 FFCB Note
0.2% Due: 08/14/2023
100.000 1,500,000.00 0.00 1,500,000.00 0.00
Maturity 08/24/2023 3137EAEV7 1,500,000.00 FHLMC Note
0.25% Due: 08/24/2023
100.000 1,500,000.00 0.00 1,500,000.00 0.00
June 30, 2023 through September 30, 2023
As of September 30, 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 09/08/2023 3137EAEW5 1,490,000.00 FHLMC Note
0.25% Due: 09/08/2023
100.000 1,490,000.00 0.00 1,490,000.00 0.00
Subtotal 5,950,000.00 5,950,000.00 0.00 5,950,000.00 0.00
TOTAL DISPOSITIONS 5,950,000.00 5,950,000.00 0.00 5,950,000.00 0.00
June 30, 2023 through September 30, 2023
As of September 30, 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
DISPOSITIONS
Maturity 09/30/2023 91282CDA6 250,000.00 US Treasury Note
0.25% Due: 09/30/2023
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
June 30, 2023 through September 30, 2023
As of September 30, 2023
39
Important Disclosures
2023 Chandler 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 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.
Your qualified custodian bank maintains control of all assets reflected in this statement and we urge you to compare this statement to the one you receive from your qualified custodian. Chandler does
not have any authority to withdraw or deposit funds from/to the custodian account.
As of September 30, 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 at 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 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 $1 billion for US Treasuries and $250 million for all other securities.
As of September 30, 2023
41
Supplement to Quarterly Investment Report
Town Managed Cash Account
Average Average
Maturity Yield Cost
Town Funds 0 3.434%13,996,313
Trust Fund 0 3.434% 1,911,027
.
Community Development Agency DS/Successor Agency 0 3.434%45,704
NERIAD 0 3.434%331,143
Total LAIF Funds Managed by the Town 16,284,187$
LAIF Funds Managed/Reported by Chandler Investments 75,270
Total LAIF Funds 16,359,457$
LAIF Funds Managed by the Town
(Local Agency Investment Fund)
August 2023
8.1