HomeMy WebLinkAbout071624-09.1INVESTMENT REPORT
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
CHANDLER ASSET MANAGEMENT | chandlerasset.com
Chandler Team:
For questions about your account, please call (800) 317-4747,
or contact clientservice@chandlerasset.com
Information contained herein is confidential. We urge you to compare this statement to the one you receive from your qualified custodian. Please see Important Disclosures at the end of the statement.
TABLE OF CONTENTS
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
SECTION 1 | ECONOMIC UPDATE
SECTION 2 | ACCOUNT PROFILE
SECTION 3 | PORTFOLIO HOLDINGS
SECTION 4 | TRANSACTIONS
1
SECTION 1 | ECONOMIC UPDATE
2
Economic Update
Recent economic data suggests positive but slower growth this year fueled by consumer spending. While the consumer has been resilient,
growing credit card debt, higher delinquencies, and a moderating labor market pose potential headwinds to future economic growth.
Inflationary trends are subsiding, but core levels remain 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 loosen monetary policy in 2024.
As expected at the June meeting, the Federal Open Market Committee voted unanimously to leave the federal funds rate unchanged at a
target range of 5.25-5.50%, emphasizing the need to see sustained evidence of easing inflation before considering any rate cuts. The
FOMC's latest projections now suggest only one interest rate cut in 2024, with four more cuts expected in 2025 and a slightly higher long-
term neutral rate. Additionally, the Fed continues to reduce its holdings of U.S. Treasury securities and agency mortgage-backed securities
as per its predefined schedule of $25 billion and $35 billion per month.
The US Treasury yield curve shifted lower in June as economic data moderated. The 2-year Treasury yield fell 12 basis points to 4.76%, the
5-year Treasury dropped 13 basis points to 4.38%, and the 10-year Treasury yield declined 10 basis points to 4.40%. The inversion between
the 2-year Treasury yield and 10-year Treasury yield remained relatively stable at -36 basis points at June month-end versus -37 basis
points at May month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -106 basis points. The
inversion between 3-month and 10-year Treasuries widened to -96 basis points in June from -91 basis points in May.
3
Employment
-400
-200
0
200
400
600
800
1,000
MO
M
Ch
a
n
g
e
In
Th
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 206,000 jobs in June, remaining ahead of consensus expectations of 190,000 jobs. The gains were broad based,
with government, health care, and social assistance posting the largest gains. The three-month moving average and six-month moving
average payrolls have weakened from the first quarter to 177,000 and 222,000 respectively. The unemployment rate edged up to 4.1% in
June, and the labor participation rate inched up to 62.6%, remaining below the pre-pandemic level of 63.3%. The U-6 underemployment
rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons held steady at
7.4%. Average hourly earnings rose 3.9% year-over-year in June, down from 4.1% year-over-year in May. The labor markets continue to
show signs of cooling in line with the Federal Reserve’s view that there has been “substantial” progress towards better balance in the
labor market between demand and supply for workers.
Source: US Department of Labor Source: US Department of Labor
4
Job Openings & Labor Turnover Survey
14,000
Recession
12,000
Historical Average
10,000
8,000
6,000
4,000
2,000
0
Job Openings
In
Th
o
u
s
a
n
d
s
(0
0
0
'
s
)
Source: US Department of Labor
The Labor Department’s Job Openings and Labor Turnover Survey (JOLTS) increased to 8.140 million job openings in May from a
downwardly revised 7.919 million in April. Job openings still represent a healthy ratio of around 1.2 jobs for each unemployed individual.
While the current level of job openings remains elevated from a historical perspective, the trend is decelerating.
5
Inflation
10.0%
9.0%
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YO
Y
(%
)
Ch
a
n
g
e
10.0%
9.0%
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
Fed Target
YO
Y
(%
)
Ch
a
n
g
e
In May, the Consumer Price Index (CPI) remained unchanged month-over-month and rose 3.3% year-over-year, reflecting broad-based cost
reductions. The Core CPI, which excludes volatile food and energy components, was up 0.2% month-over-month and 3.4% year-over-year
in May, down from 3.6% in April and lower than expected. The Personal Consumption Expenditures (PCE) Index decelerated in May as
expected. The headline PCE deflator was unchanged in May from April versus up 0.3% in the prior month. Year-over-year, the PCE
deflator rose 2.6%. The Core PCE deflator (the Fed’s preferred gauge) increased 0.1% in May from the prior month versus up 0.3% in April.
The Core PCE deflator also rose 2.6% year-over-year, still above the Fed’s 2% inflation target. Much of the lingering inflation has been
driven by shelter costs and demand for services.
Source: US Department of Labor Source: US Department of Commerce
6
Consumer
60.0%
50.0%
40.0%
30.0%
20.0%
10.0%
0.0%
-10.0%
-20.0%
-30.0%
Retail Sales YOY % Change
YO
Y
(%
)
Ch
a
n
g
e
May Retail Sales increased below expectations to +0.1% after a downwardly revised -0.2%, pointing to a fatigued consumer. On a year-
over-year basis, Retail Sales growth further slowed to +2.3% in May. Nonstore retailers were a bright spot in May, up 0.8% following a
1.8% decline in April. The Conference Board’s Consumer Confidence Index fell to 100.4 in June from 101.3 in May. While the present
situation component rose marginally, consumers are less optimistic about future expectations for business conditions and potential
income increases. While the consumer has been resilient, consumption has begun to moderate in the face of higher interest rates, rising
credit card balances, and growing delinquencies.
0
20
40
60
80
100
120
140
160
In
d
e
x
Le
v
e
l
Consumer Confidence
Recession
Source: US Department of Commerce Source: The Conference Board
All time high is 144.70 (1/31/00); All time low is 25.30 (2/28/09)
7
Leading Indicators of Economic Activity
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
Leading Economic Indicators (LEI)
Recession
YO
Y
(%
)
Ch
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 Mo
n
t
h
Av
e
r
a
g
e
The Conference Board’s Leading Economic Index (LEI) declined for the third consecutive month to -0.5% in May following a -0.6% decline
in April. The index declined 5.3% year-over-year. The primary drivers for the negative print were a decline in new orders, weak consumer
sentiment about future business conditions, and lower building permits. The Chicago Fed National Activity Index (CFNAI) increased to 0.18
in May from -0.26 in April, surpassing consensus expectations. However, the three-month moving average fell to -0.09 in May from -0.05
in April, indicating below-trend growth expectations for the economy.
Source: The Conference Board Source: Federal Reserve Bank of Chicago
8
Housing
2,400
2,200
2,000
1,800
1,600
1,400
1,200
1,000
800
600
400
200
0
In
Th
o
u
s
a
n
d
s
of
Un
i
t
s
Annualized Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
May Housing Starts declined 5.5% month-over-month from April to 1.352 million units. This equates to -19.3% less starts compared to
May 2023. Single family starts were 5.2% lower month-over-month due to higher mortgage interest rates, lack of existing unit supply and
home affordability. Multi-family home starts declined 10.3% month-over-month. The Freddie Mac average rate for a 30-year fixed
mortgage edged down to 6.92% in June from 7.06% in May. According to the Case-Shiller 20-City Home Price Index, housing prices rose a
higher-than-expected 7.2% year-over-year in April versus March's upwardly revised 7.5% increase. Tight inventories and higher mortgage
rates continue to impact affordability.
Source: US Department of Commerce Source: S&P
24.0%
20.0%
16.0%
12.0%
8.0%
4.0%
0.0%
-4.0%
-8.0%
-12.0%
-16.0%
-20.0%
S&P/Case-Shiller 20 City Composite Home Price Index
Recession
YO
Y
(%
)
Ch
a
n
g
e
9
Survey Based Measures
45
40
50
65
60
55
70
Institute of Supply Management (ISM) Surveys
ISM Manufacturing ISM Services
EXPANDING
CONTRACTING
Source: Institute for Supply Management
The Institute for Supply Management (ISM) Manufacturing index edged down to 48.5 in June from 48.7 in May. While new orders picked
up, prices paid for materials fell the most in over a year. The ISM Services Index returned to contraction declining to 48.8 in June, from
53.8 in the previous month. Although the level of the decline was a surprise, the trend in the Services PMI, which applies to a larger share
of US economic output, has been steadily decreasing.
10
Gross Domestic Product (GDP)
Components of GDP 6/23 9/23 12/23 3/24
Personal Consumption Expenditures 0.6%2.1%2.2%1.0%
Gross Private Domestic Investment 0.9%1.7%0.2%0.8%
Net Exports and Imports 0.0%0.0%0.3%-0.7%
Federal Government Expenditures 0.1%0.5%0.2%0.0%
0.5%0.5%0.6%0.3%
2.1%4.9%3.4%1.4%Total
State and Local (Consumption and Gross
Investment)
-40.0%
-30.0%
40.0%
30.0%
20.0%
10.0%
0.0%
-10.0%
-20.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Source: US Department of Commerce Source: US Department of Commerce
The third and final estimate of first quarter GDP came in as expected with growth up 1.4%, a small upward revision from 1.3% in the
second estimate. Notably, the personal consumption expenditures component was revised down substantially to +1.5% in the final
estimate from +2.0% in the second estimate. Weaker growth in consumer spending was offset by upward revisions in other major
categories, particularly gross fixed investment. The consensus projection calls for 2.0% growth in the second quarter and 2.3% growth for
the full year 2024.
11
Federal Reserve
Source: Federal Reserve Source: Bloomberg
10,000,000
9,000,000
8,000,000
7,000,000
6,000,000
5,000,000
4,000,000
3,000,000
2,000,000
1,000,000
0
Federal Reserve Balance Sheet Assets
Recession
In
$ mi
l
l
i
o
n
s
As expected at the June meeting, the Federal Open Market Committee voted unanimously to leave the federal funds rate unchanged at a
target range of 5.25-5.50%, emphasizing the need to see sustained evidence of easing inflation before considering any rate cuts. The
FOMC's latest projections now suggest only one interest rate cut in 2024, with four more cuts expected in 2025 and a slightly higher long-
term neutral rate. The Fed’s inflation projections ticked up marginally, while unemployment and GDP growth forecasts remained steady.
Additionally, the Fed continues to reduce its holdings of U.S. Treasury securities and agency mortgage-backed securities as per its
predefined schedule of $25 billion and $35 billion per month. Since the Fed began its Quantitative Tightening campaign in June 2022,
securities holdings have declined by approximately $1.7T to approximately $7.3T.
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
Yi
e
l
d
(%
)
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Yield Curve
Jun-24
Mar-24
Jun-23
Yi
e
l
d
(%
)
At the end of June, the 2-year Treasury yield was 15 basis points lower, and the 10-Year Treasury yield was 56 basis points higher, year-
over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield remained relatively stable at -36 basis points at
June month-end versus -37 basis points at May month-end. The inversion has occurred since July 2022 and remains historically long. The
average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10-year Treasuries widened to -96
basis points in June from -91 basis points in May.
13
SECTION 2 | ACCOUNT PROFILE
14
OBJECTIVES
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
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.
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").
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.
15
STATEMENT OF COMPLIANCE
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Rules Name Limit Actual Compliance
Status Notes
AGENCY MORTGAGE SECURITIES (CMOS)
Max % (MV; ABS, CMO, & MBS)15.0 4.6 Compliant
Max % Issuer (MV)30.0 7.0 Compliant
Max Maturity (Years)5.0 0.0 Compliant
Min Rating (AAA by 1)0.0 0.0 Compliant
ASSET-BACKED SECURITIES (ABS)
Max % (MV; ABS, CMO & MBS)15.0 4.6 Compliant
Max % Issuer (MV)5.0 1.1 Compliant
Max Maturity (Years)5 4 Compliant
Min Rating (AAA by 1)0.0 0.0 Compliant
BANKERS' ACCEPTANCES
Max % (MV)40.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
Max Maturity (Days)180 0.0 Compliant
Min Rating (A-1 by 1 or A- by 1)0.0 0.0 Compliant
COLLATERALIZED BANK DEPOSITS
Max % (MV)100.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
COLLATERALIZED TIME DEPOSITS (NON-NEGOTIABLE
CD/TD)
Max % (MV)100.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
COMMERCIAL PAPER
Max % (MV)25.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
Max Maturity (Days)270 0.0 Compliant
Min Rating (A-1 by 1 or A- by 1)0.0 0.0 Compliant
CORPORATE MEDIUM TERM NOTES
Max % (MV)20.0 14.6 Compliant
Max % Issuer (MV)5.0 1.4 Compliant
16
STATEMENT OF COMPLIANCE
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Rules Name Limit Actual Compliance
Status Notes
Max Maturity (Years)5 2 Compliant
Min Rating (A- by 1)0.0 0.0 Compliant
FDIC INSURED TIME DEPOSITS (NON-NEGOTIABLE CD/
TD)
Max % (MV)100.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
FEDERAL AGENCIES
Max % (MV)100.0 22.7 Compliant
Max % Issuer (MV)30.0 12.8 Compliant
Max Callables (MV)20.0 0.9 Compliant
Max Maturity (Years)5 4 Compliant
LOCAL AGENCY INVESTMENT FUND (LAIF)
Max % (MV)30.0 0.0 Compliant
MONEY MARKET MUTUAL FUNDS
Max % (MV)20.0 0.1 Compliant
Max % Issuer (MV)20.0 0.1 Compliant
Min Rating (AAA by 2)0.0 0.0 Compliant
MORTGAGE-BACKED SECURITIES (NON-AGENCY)
Max % (MV)15.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
Max Maturity (Years)5.0 0.0 Compliant
Min Rating (AAA by 1)0.0 0.0 Compliant
MUNICIPAL SECURITIES (CA, LOCAL AGENCY)
Max % (MV)30.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
Max Maturity (Years)5 0.0 Compliant
Min Rating (A- by 1)0.0 0.0 Compliant
MUNICIPAL SECURITIES (CA, OTHER STATES)
Max % (MV)30.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
17
STATEMENT OF COMPLIANCE
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Rules Name Limit Actual Compliance
Status Notes
Max Maturity (Years)5 0.0 Compliant
Min Rating (A- by 1)0.0 0.0 Compliant
MUTUAL FUNDS
Max % (MV)20.0 0.0 Compliant
Max % Issuer (MV)10.0 0.0 Compliant
Min Rating (AAA by 2)0.0 0.0 Compliant
NEGOTIABLE CERTIFICATES OF DEPOSIT (NCD)
Max % (MV)30.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
Max Maturity (Years)5 0.0 Compliant
Min Rating (A-1 by 1 or A- by 1 if > FDIC Limit)0.0 0.0 Compliant
REPURCHASE AGREEMENTS
Max % (MV)15.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
Max Maturity (Days)30.0 0.0 Compliant
SUPRANATIONAL OBLIGATIONS
Max % (MV)30.0 6.0 Compliant
Max % Issuer (MV)5.0 2.4 Compliant
Max Maturity (Years)5 4 Compliant
Min Rating (AA- by 1)0.0 0.0 Compliant
U.S. TREASURIES
Max % (MV)100.0 45.0 Compliant
Max % Issuer (MV)100.0 45.0 Compliant
Max Maturity (Years)5 4 Compliant
18
PORTFOLIO CHARACTERISTICS
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Benchmark*6/30/2024
Portfolio
3/31/2024
Portfolio
Average Maturity (yrs)1.92 2.05 1.93
Average Modified Duration 1.82 1.82 1.72
Average Purchase Yield 3.23%2.88%
Average Market Yield 4.79%4.93%5.50%
Average Quality**AA+AA+AA+
Total Market Value 94,325,543 93,259,864
*Benchmark: ICE BofA 1-3 Year US Treasury Index
**The credit quality is a weighted average calculation of the highest of S&P, Moody’s and Fitch.
19
SECTOR DISTRIBUTION
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Sector as a Percentage of Market Value
Sector 06/30/2024 03/31/2024
US Treasury 45.1%44.4%
Agency 22.7%20.2%
Corporate 14.5%17.0%
Agency CMBS 7.0%7.1%
Supras 6.0%6.0%
ABS 4.6%4.5%
Money Mkt Fd 0.1%0.8%
Cash 0.1%0.1%
20
ISSUERS
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Issuer Investment Type % Portfolio
United States US Treasury 45.11%
Farm Credit System Agency 12.75%
Federal Home Loan Banks Agency 8.89%
FHLMC Agency CMBS 7.00%
Inter-American Development Bank Supras 2.38%
International Finance Corporation Supras 2.03%
International Bank for Recon and Dev Supras 1.54%
State Street Corporation Corporate 1.41%
Apple Inc.Corporate 1.29%
Bank of America Corporation Corporate 1.07%
Caterpillar Inc.Corporate 1.07%
Chase Issuance Trust ABS 1.06%
Cisco Systems, Inc.Corporate 1.06%
Deere & Company Corporate 1.06%
Mastercard Incorporated Corporate 1.04%
Microsoft Corporation Corporate 1.04%
FNMA Agency 1.01%
Honeywell International Inc.Corporate 1.01%
Toyota Motor Corporation Corporate 0.99%
PACCAR Inc Corporate 0.96%
BMW Vehicle Owner Trust ABS 0.83%
Walmart Inc.Corporate 0.74%
Toyota Auto Receivables Owner Trust ABS 0.56%
Bank of America Credit Card Trust ABS 0.51%
Colgate-Palmolive Company Corporate 0.49%
Morgan Stanley Corporate 0.47%
JPMorgan Chase & Co.Corporate 0.43%
Hyundai Auto Receivables Trust ABS 0.39%
21
ISSUERS
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Issuer Investment Type % Portfolio
PepsiCo, Inc.Corporate 0.39%
Honda Auto Receivables Owner Trust ABS 0.38%
John Deere Owner Trust ABS 0.31%
GM Financial Securitized Term ABS 0.30%
GM Financial Automobile Leasing Trus ABS 0.22%
Allspring Group Holdings LLC Money Mkt Fd 0.14%
Cash Cash 0.06%
TOTAL 100.00%
22
0-.25 .25-.5 .5-1 1-2 2-3 3-4 4-5 5-7 7+
Portfolio 6.1%8.7%16.5%23.3%31.1%10.9%3.4%0.0%0.0%
ICE BofA 1-3 Year US Treasury Index 0.0%0.0%3.7%58.3%38.0%0.0%0.0%0.0%0.0%
DURATION DISTRIBUTION
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Portfolio Compared to the Benchmark
23
QUALITY DISTRIBUTION
Rating 03/31/2024 06/30/2024
AAA 13.0%12.5%
AA 75.1%76.6%
A 11.3%10.4%
NR 0.6%0.4%
Rating 03/31/2024 06/30/2024
AAA 82.3%85.2%
AA 4.3%4.3%
A 9.2%8.0%
NR 4.2%2.5%
Rating 03/31/2024 06/30/2024
AAA 8.6%7.8%
AA 72.8%74.0%
A 4.6%4.1%
NR 14.0%14.0%
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
S &P Rating Moody’s Rating Fitch Rating
24
HISTORICAL AVERAGE PURCHASE YIELD
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Purchase Yield as of 06/30/24 = 3.23%
25
Growth of $1 Million
GROWTH OVER TIME
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
As of 06/30/2024 Dollar Value Return
Danville Total Return $2,636,217 3.37%
Danville Realized Return $2,612,051 3.34%
LAIF $2,141,110 2.64%
Historical Return of $1 Million Invested on March 31, 1995
26
3 Months 12 Months 2 Years 3 Years 5 Years 10 Years Since Inception
TOTAL RATE OF RETURN
Danville ST Treasury Pool 1.01%4.83%2.83%0.82%1.36%1.37%3.37%
Benchmark 0.94%4.53%2.30%0.40%1.06%1.13%3.12%
REALIZED RATE OF RETURN
Danville ST Treasury Pool 0.76%2.60%2.05%1.82%1.86%1.58%3.34%
*Periods over 1 year are annualized.
Benchmark: ICE BofA 1-3 Year US Treasury Index
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.
INVESTMENT PERFORMANCE
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Total Rate of Return : Inception | 04/01/1995
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
3 months 12 months 2 years 3 years 5 years 10 years Since Inception
Danville Short Term Treasury Pool Benchmark Realized Rate of Return
27
PORTFOLIO CHARACTERISTICS
Danville NERIAD Improvement Fund (89-1 90A) | Account #24 | As of June 30, 2024
Benchmark*6/30/2024
Portfolio
3/31/2024
Portfolio
Average Maturity (yrs)0.24 0.56 0.36
Average Modified Duration 0.23 0.54 0.35
Average Purchase Yield 5.13%5.29%
Average Market Yield 5.37%5.21%5.22%
Average Quality**AA+AAA AAA
Total Market Value 940,205 928,362
*Benchmark: ICE BofA 3-Month US Treasury Bill Index
**The credit quality is a weighted average calculation of the highest of S&P, Moody’s and Fitch.
28
ISSUERS
Danville NERIAD Improvement Fund (89-1 90A) | Account #24 | As of June 30, 2024
Issuer Investment Type % Portfolio
United States US Treasury 98.28%
Allspring Group Holdings LLC Money Mkt Fd 1.71%
Cash Cash 0.01%
TOTAL 100.00%
29
SECTION 3 | PORTFOLIO HOLDINGS
30
HOLDINGS REPORT
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
ABS
47788UAC6 JDOT 2021 A3 0.36 09/15/2025 22,860.59 03/02/2021 22,856.20 99.37 22,716.79 0.02%Aaa/NA 1.21
0.37%22,859.67 4.93%3.66 (142.88)AAA 0.14
89190GAC1 TAOT 2021-B A3 0.26 11/17/2025 166,848.36 06/08/2021 166,830.39 98.99 165,164.19 0.18%NA/AAA 1.38
0.27%166,844.27 4.29%19.28 (1,680.08)AAA 0.27
43815GAC3 HAROT 2021-4 A3 0.88 01/21/2026 103,889.60 11/16/2021 103,867.70 97.97 101,775.77 0.11%Aaa/NA 1.56
0.89%103,882.51 4.64%25.40 (2,106.74)AAA 0.55
47789QAC4 JDOT 2021-B A3 0.52 03/16/2026 91,156.99 07/13/2021 91,148.86 98.07 89,401.55 0.10%Aaa/NA 1.71
0.53%91,154.48 4.81%21.07 (1,752.93)AAA 0.45
89238JAC9 TAOT 2021-D A3 0.71 04/15/2026 101,995.41 11/09/2021 101,993.24 98.00 99,954.43 0.11%NA/AAA 1.79
0.71%101,994.68 4.44%32.19 (2,040.24)AAA 0.57
43815BAC4 HAROT 2022-1 A3 1.88 05/15/2026 263,157.00 02/15/2022 263,117.42 98.11 258,175.81 0.28%Aaa/AAA 1.87
1.89%263,141.38 4.63%219.88 (4,965.58)NA 0.70
05602RAD3 BMWOT 2022-A A3 3.21 08/25/2026 186,665.23 05/10/2022 186,655.52 98.66 184,169.33 0.20%Aaa/AAA 2.15
3.23%186,660.81 4.97%99.87 (2,491.48)NA 0.78
47787JAC2 JDOT 2022 A3 0.36 09/15/2026 183,239.32 03/10/2022 183,198.78 98.03 179,634.76 0.19%Aaa/NA 2.21
2.34%183,221.16 5.46%188.94 (3,586.40)AAA 0.64
448977AD0 HART 2022-A A3 2.22 10/15/2026 373,983.14 03/09/2022 373,968.74 98.19 367,204.59 0.39%NA/AAA 2.29
2.23%373,976.82 4.60%369.00 (6,772.23)AAA 0.78
380146AC4 GMCAR 2022-1 A3 1.26 11/16/2026 91,088.57 01/11/2022 91,080.65 97.78 89,070.66 0.09%NA/AAA 2.38
1.27%91,085.25 4.27%47.82 (2,014.59)AAA 0.76
379929AD4 GMALT 2023-3 A3 5.38 11/20/2026 210,000.00 08/08/2023 209,974.82 99.93 209,848.17 0.22%NA/AAA 2.39
5.38%209,981.58 5.51%345.22 (133.41)AAA 1.22
362585AC5 GMCAR 2022-2 A3 3.1 02/16/2027 194,966.42 04/05/2022 194,925.67 98.42 191,886.14 0.20%Aaa/AAA 2.63
3.13%194,946.60 4.81%251.83 (3,060.45)NA 0.97
05592XAD2 BMWOT 2023-A A3 5.47 02/25/2028 175,000.00 07/11/2023 174,968.99 100.31 175,548.35 0.19%NA/AAA 3.66
5.47%174,975.42 5.39%159.54 572.92 AAA 1.96
89239FAD4 TAOT 2023-D A3 5.54 08/15/2028 255,000.00 11/07/2023 254,972.51 100.71 256,821.44 0.27%NA/AAA 4.13
6.30%254,976.15 5.32%627.87 1,845.29 AAA 2.51
161571HT4 CHAIT 2023-1 A 5.16 09/15/2028 995,000.00 09/07/2023 994,724.19 100.26 997,540.04 1.06%NR/AAA 4.21
5.17%994,767.97 5.11%2,281.87 2,772.07 AAA 2.03
31
HOLDINGS REPORT
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
096919AD7 BMWOT 2024-A A3 5.18 02/26/2029 420,000.00 06/04/2024 419,936.20 100.10 420,414.92 0.45%Aaa/AAA 4.66
5.18%419,936.94 5.21%1,208.67 477.98 NA 2.10
05522RDJ4 BACCT 2024-1 A 4.93 03/15/2029 475,000.00 06/06/2024 474,973.35 100.04 475,188.39 0.51%Aaa/AAA 4.71
4.93%474,973.63 4.99%1,170.88 214.76 NA 2.61
4,309,193.24 99.42 4,284,515.31 4.57%Aaa/AAA 3.31
Total ABS 4,309,850.62 3.89%4,309,379.31 4.99%7,072.96 (24,863.99)AAA 1.53
AGENCY
3130APQ81 FEDERAL HOME LOAN BANKS 1.0 900,000.00 08/01/2022 858,798.00 98.35 885,131.23 0.94%Aaa/AA+0.36
11/08/2024 3.09%893,538.89 5.73%1,325.00 (8,407.66)AA+0.35
3130AQF40 FEDERAL HOME LOAN BANKS 1.0 1,000,000.00 07/27/2022 950,740.00 97.97 979,716.40 1.04%Aaa/AA+0.47
12/20/2024 3.13%990,327.95 5.40%305.56 (10,611.55)AA+0.46
3133ENKS8 FEDERAL FARM CREDIT BANKS 595,000.00 01/06/2022 593,661.25 97.88 582,356.84 0.62%Aaa/AA+0.52
FUNDING CORP 1.125 01/06/2025 1.20%594,768.08 5.35%3,253.91 (12,411.24)AA+0.50
3133ENPG9 FEDERAL FARM CREDIT BANKS 1,500,000.00 --1,496,422.50 97.81 1,467,199.76 1.56%Aaa/AA+0.63
FUNDING CORP 1.75 02/14/2025 1.83%1,499,249.61 5.37%9,989.58 (32,049.86)AA+0.60
3133ENPY0 FEDERAL FARM CREDIT BANKS 750,000.00 03/14/2022 743,440.50 97.71 732,847.13 0.78%Aaa/AA+0.66
FUNDING CORP 1.75 02/25/2025 2.05%748,545.71 5.36%4,593.75 (15,698.58)AA+0.63
3133ENWH9 FEDERAL FARM CREDIT BANKS 1,000,000.00 05/03/2022 998,050.00 98.10 980,978.46 1.05%Aaa/AA+0.86
FUNDING CORP 2.9 05/09/2025 2.97%999,444.89 5.19%4,188.89 (18,466.43)AA+0.83
3135G05X7 FEDERAL NATIONAL MORTGAGE 1,000,000.00 12/09/2021 971,060.00 94.81 948,103.18 1.01%Aaa/AA+1.15
ASSOCIATION 0.375 08/25/2025 1.17%991,023.04 5.07%1,312.50 (42,919.86)AA+1.12
3133EPNG6 FEDERAL FARM CREDIT BANKS 2,000,000.00 06/22/2023 1,997,620.00 99.29 1,985,886.00 2.12%Aaa/AA+1.98
FUNDING CORP 4.375 06/23/2026 4.42%1,998,427.85 4.75%1,944.44 (12,541.85)AA+1.87
3133EPSW6 FEDERAL FARM CREDIT BANKS 1,500,000.00 08/09/2023 1,496,550.00 99.49 1,492,288.35 1.59%Aaa/AA+2.12
FUNDING CORP 4.5 08/14/2026 4.58%1,497,563.59 4.76%25,687.50 (5,275.24)AA+1.97
3130AXU63 FEDERAL HOME LOAN BANKS 4.625 1,000,000.00 11/30/2023 1,002,530.00 99.90 998,994.87 1.07%Aaa/AA+2.38
11/17/2026 4.53%1,002,031.95 4.67%5,652.78 (3,037.08)AA+2.22
3130B1EF0 FEDERAL HOME LOAN BANKS 4.625 1,000,000.00 06/26/2024 1,001,530.00 100.12 1,001,152.76 1.07%Aaa/AA+2.95
06/11/2027 4.57%1,001,524.33 4.58%6,038.19 (371.57)AA+2.71
3133EPH81 FEDERAL FARM CREDIT BANKS 1,500,000.00 12/08/2023 1,504,500.00 99.78 1,496,708.04 1.60%Aaa/AA+3.26
FUNDING CORP 4.5 10/04/2027 4.41%1,503,844.22 4.57%16,312.50 (7,136.18)AA+2.97
32
HOLDINGS REPORT
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
3133EPC60 FEDERAL FARM CREDIT BANKS 1,750,000.00 11/09/2023 1,743,507.50 100.02 1,750,300.74 1.87%Aaa/AA+3.38
FUNDING CORP 4.625 11/15/2027 4.73%1,744,525.15 4.62%10,342.01 5,775.59 AA+3.08
3130ATUS4 FEDERAL HOME LOAN BANKS 4.25 1,500,000.00 05/15/2023 1,536,930.00 99.11 1,486,674.23 1.59%Aaa/AA+3.45
12/10/2027 3.66%1,527,813.67 4.53%3,718.75 (41,139.44)AA+3.16
3133EPGW9 FEDERAL FARM CREDIT BANKS 1,500,000.00 04/27/2023 1,507,905.00 97.93 1,468,897.55 1.57%Aaa/AA+3.82
FUNDING CORP 3.875 04/25/2028 3.76%1,506,051.38 4.47%10,656.25 (37,153.84)AA+3.48
3130AWC24 FEDERAL HOME LOAN BANKS 4.0 1,500,000.00 07/06/2023 1,467,705.00 98.67 1,480,042.92 1.58%Aaa/AA+3.94
06/09/2028 4.49%1,474,124.44 4.37%3,666.67 5,918.48 AA+3.60
3130AVBD3 FEDERAL HOME LOAN BANKS 4.5 1,500,000.00 04/26/2024 1,484,775.00 100.42 1,506,302.66 1.61%Aaa/AA+4.69
03/09/2029 4.74%1,485,307.10 4.40%21,000.00 20,995.55 AA+4.13
21,355,724.75 98.85 21,243,581.10 22.65%Aaa/AA+2.41
Total Agency 21,495,000.00 3.72%21,458,111.86 4.81%129,988.28 (214,530.77)AA+2.21
AGENCY CMBS
3137BVZ82 FHMS K-063 A2 3.43 01/25/2027 1,000,000.00 06/06/2023 965,625.00 96.36 963,584.30 1.03%Aaa/AA+2.57
4.47%975,868.86 4.98%2,858.33 (12,284.56)AAA 2.27
3137F2LJ3 FHMS K-066 A2 3.117 06/25/2027 1,000,000.00 05/18/2023 958,984.38 95.14 951,379.20 1.01%Aaa/AA+2.99
4.23%970,284.60 4.92%2,597.50 (18,905.40)AAA 2.66
3137FBBX3 FHMS K-068 A2 3.244 08/25/2027 1,000,000.00 05/12/2023 970,820.31 95.27 952,651.00 1.02%Aaa/AA+3.15
3.98%978,623.08 4.87%2,703.33 (25,972.08)AA+2.86
3137FBU79 FHMS K-069 A2 3.187 09/25/2027 1,140,000.00 12/27/2023 1,097,561.72 95.02 1,083,183.77 1.15%Aaa/AAA 3.24
4.27%1,103,412.00 4.89%3,027.65 (20,228.24)AA+2.89
3137FETN0 FHMS K-073 A2 3.35 01/25/2028 720,000.00 05/24/2023 691,987.50 95.10 684,736.49 0.73%Aaa/AA+3.57
4.27%698,635.67 4.87%2,010.00 (13,899.18)AAA 3.18
3137FJEH8 FHMS K-081 A2 3.9 08/25/2028 1,000,000.00 09/05/2023 957,968.75 96.48 964,818.70 1.03%Aaa/AA+4.15
4.85%964,946.55 4.82%3,250.00 (127.85)AAA 3.71
3137FJKE8 FHMS K-082 A2 3.92 09/25/2028 1,000,000.00 10/30/2023 940,742.19 96.54 965,394.20 1.03%Aaa/AA+4.24
5.31%948,867.06 4.82%3,266.67 16,527.14 AAA 3.74
6,583,689.85 95.72 6,565,747.66 7.00%Aaa/AA+3.41
Total Agency CMBS 6,860,000.00 4.49%6,640,637.81 4.88%19,713.48 (74,890.15)AAA 3.04
33
HOLDINGS REPORT
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
CASH
CCYUSD Receivable 60,142.98 --60,142.98 1.00 60,142.98 0.06%Aaa/AAA 0.00
0.00%60,142.98 0.00%0.00 0.00 AAA 0.00
60,142.98 1.00 60,142.98 0.06%Aaa/AAA 0.00
Total Cash 60,142.98 0.00%60,142.98 0.00%0.00 0.00 AAA 0.00
CORPORATE
69371RR40 PACCAR FINANCIAL CORP 0.5 385,000.00 08/03/2021 384,792.10 99.49 383,018.08 0.41%A1/A+0.11
08/09/2024 0.52%384,992.60 5.27%759.31 (1,974.52)NA 0.11
57636QAN4 MASTERCARD INC 2.0 03/03/2025 1,000,000.00 02/25/2022 999,010.00 97.81 978,053.61 1.04%Aa3/A+0.67
2.03%999,779.10 5.35%6,555.56 (21,725.49)NA 0.65
037833DT4 APPLE INC 1.125 05/11/2025 500,000.00 02/25/2022 485,870.00 96.50 482,521.82 0.51%Aaa/AA+0.86
2.03%496,198.10 5.32%781.25 (13,676.28)NA 0.84
194162AM5 COLGATE-PALMOLIVE CO 3.1 470,000.00 08/01/2022 469,567.60 97.84 459,832.04 0.49%Aa3/A+1.13
08/15/2025 3.13%469,839.13 5.10%5,504.22 (10,007.09)NA 1.07
931142EW9 WALMART INC 3.9 09/09/2025 700,000.00 09/26/2022 685,776.00 98.56 689,952.64 0.74%Aa2/AA 1.19
4.64%694,254.93 5.15%8,493.33 (4,302.29)AA 1.13
594918BJ2 MICROSOFT CORP 3.125 11/03/2025 1,000,000.00 01/20/2023 970,060.00 97.52 975,204.50 1.04%Aaa/AAA 1.34
4.28%985,531.95 5.06%5,034.72 (10,327.45)WR 1.29
857477BR3 STATE STREET CORP 1.746 265,000.00 02/02/2022 265,000.00 97.57 258,569.40 0.28%A1/A 1.61
02/06/2026 1.75%265,000.00 5.84%1,863.61 (6,430.60)AA-0.58
037833BY5 APPLE INC 3.25 02/23/2026 750,000.00 02/01/2023 728,265.00 97.20 728,972.79 0.78%Aaa/AA+1.65
4.27%738,275.56 5.04%8,666.67 (9,302.77)NA 1.56
89236TJK2 TOYOTA MOTOR CREDIT CORP 1.125 1,000,000.00 02/08/2024 921,800.00 92.61 926,075.55 0.99%A1/A+1.97
06/18/2026 4.68%934,574.80 5.12%406.25 (8,499.25)A+1.90
69371RS56 PACCAR FINANCIAL CORP 5.05 515,000.00 08/03/2023 514,742.50 99.90 514,472.15 0.55%A1/A+2.11
08/10/2026 5.07%514,819.09 5.10%10,186.27 (346.95)NA 1.94
06428CAA2 BANK OF AMERICA NA 5.526 1,000,000.00 08/24/2023 1,001,360.00 100.71 1,007,100.28 1.07%Aa1/A+2.13
08/18/2026 5.48%1,000,962.96 5.17%20,415.50 6,137.32 AA 1.88
61690U7W4 MORGAN STANLEY BANK NA 5.882 440,000.00 10/30/2023 440,000.00 101.23 445,427.20 0.47%Aa3/A+2.33
10/30/2026 5.88%440,000.00 5.31%4,385.36 5,427.20 AA-2.07
34
HOLDINGS REPORT
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
438516BL9 HONEYWELL INTERNATIONAL INC
2.5 11/01/2026
1,000,000.00 01/11/2023
4.42%
933,280.00
958,997.00
94.51
5.02%
945,130.81
4,166.67
1.01%
(13,866.19)
A2/A
A
2.34
2.22
713448FW3 PEPSICO INC 5.125 11/10/2026 360,000.00 11/08/2023
5.13%
359,902.80
359,923.55
100.44
4.92%
361,581.81
2,613.75
0.39%
1,658.26
A1/A+
NA
2.36
2.11
48125LRU8 JPMORGAN CHASE BANK NA 5.11
12/08/2026
405,000.00 12/05/2023
5.11%
405,000.00
405,000.00
99.98
5.12%
404,935.15
1,322.21
0.43%
(64.85)
Aa2/A+
AA
2.44
2.26
24422EXF1 JOHN DEERE CAPITAL CORP 4.5
01/08/2027
1,000,000.00 01/10/2024
4.53%
999,220.00
999,342.14
99.00
4.92%
990,046.73
21,625.00
1.06%
(9,295.41)
A1/A
A+
2.53
2.30
17275RBQ4 CISCO SYSTEMS INC 4.8 02/26/2027 1,000,000.00 --
4.81%
999,620.00
999,664.36
99.73
4.91%
997,295.80
16,666.67
1.06%
(2,368.56)
A1/AA-
NA
2.66
2.43
857477CL5 STATE STREET CORP 4.993
03/18/2027
1,065,000.00 03/13/2024
4.99%
1,065,000.00
1,065,000.00
99.88
5.04%
1,063,712.05
15,214.09
1.13%
(1,287.95)
A1/A
AA-
2.71
2.48
14913UAL4 CATERPILLAR FINANCIAL SERVICES
CORP 5.0 05/14/2027
1,000,000.00 05/15/2024
4.89%
1,002,930.00
1,002,809.26
100.06
4.97%
1,000,617.18
6,527.78
1.07%
(2,192.08)
A2/A
A+
2.87
2.63
Total Corporate 13,855,000.00 4.28%
13,631,196.00
13,714,964.53
98.30
5.10%
13,612,519.59
141,188.21
14.52%
(102,444.94)
Aa3/A+
A+
1.94
1.78
MONEY MARKET
FUND
VP4530003 ALLSPRING:TRS+ MM I 129,910.99 --
5.16%
129,910.99
129,910.99
1.00
5.16%
129,910.99
0.00
0.14%
0.00
Aaa/
AAAm
NA
0.00
0.00
Total Money Market
Fund 129,910.99 5.16%
129,910.99
129,910.99
1.00
5.16%
129,910.99
0.00
0.14%
0.00
Aaa/
AAAm
NA
0.00
0.00
SUPRANATIONAL
4581X0DZ8 INTER-AMERICAN DEVELOPMENT
BANK 0.5 09/23/2024
1,250,000.00 09/15/2021
0.52%
1,249,075.00
1,249,929.11
98.88
5.40%
1,236,020.06
1,701.39
1.32%
(13,909.04)
Aaa/AAA
NA
0.23
0.23
45950KCR9 INTERNATIONAL FINANCE CORP
1.375 10/16/2024
1,000,000.00 07/29/2021
0.47%
1,028,980.00
1,002,648.05
98.83
5.41%
988,260.10
2,864.58
1.05%
(14,387.95)
Aaa/AAA
NA
0.30
0.29
35
HOLDINGS REPORT
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
45950KDF4 INTERNATIONAL FINANCE CORP 925,000.00 11/29/2023 921,984.50 99.29 918,416.44 0.98%Aaa/AAA 2.54
4.375 01/15/2027 4.49%922,536.63 4.68%18,660.59 (4,120.19)NA 2.33
4581X0EM6 INTER-AMERICAN DEVELOPMENT 1,000,000.00 01/30/2024 1,004,020.00 99.28 992,823.77 1.06%Aaa/AAA 2.59
BANK 4.375 02/01/2027 4.23%1,003,466.15 4.67%18,229.17 (10,642.38)NA 2.37
459058KT9 INTERNATIONAL BANK FOR 1,500,000.00 03/11/2024 1,456,965.00 96.35 1,445,311.43 1.54%Aaa/AAA 4.03
RECONSTRUCTION AND DEVELOPM 4.23%1,459,957.32 4.50%24,645.83 (14,645.89)NA 3.65
3.5 07/12/2028
5,661,024.50 98.36 5,580,831.80 5.95%Aaa/AAA 2.03
Total Supranational 5,675,000.00 2.79%5,638,537.25 4.92%66,101.56 (57,705.46)NA 1.85
US TREASURY
91282CCL3 UNITED STATES TREASURY 0.375 1,500,000.00 07/28/2021 1,499,648.44 99.81 1,497,122.25 1.60%Aaa/AA+0.04
07/15/2024 0.38%1,499,995.45 5.03%2,596.15 (2,873.20)AA+0.04
912828YE4 UNITED STATES TREASURY 1.25 1,000,000.00 02/09/2021 1,034,804.69 99.30 993,017.58 1.06%Aaa/AA+0.17
08/31/2024 0.26%1,001,635.66 5.41%4,177.99 (8,618.08)AA+0.17
91282CCX7 UNITED STATES TREASURY 0.375 1,400,000.00 09/13/2021 1,397,265.63 98.98 1,385,781.25 1.48%Aaa/AA+0.21
09/15/2024 0.44%1,399,810.39 5.28%1,540.76 (14,029.14)AA+0.21
912828YM6 UNITED STATES TREASURY 1.5 1,350,000.00 08/06/2021 1,395,246.09 98.72 1,332,667.97 1.42%Aaa/AA+0.34
10/31/2024 0.45%1,354,681.95 5.40%3,411.68 (22,013.98)AA+0.33
91282CDH1 UNITED STATES TREASURY 0.75 1,500,000.00 11/10/2021 1,497,832.03 98.31 1,474,599.62 1.57%Aaa/AA+0.38
11/15/2024 0.80%1,499,729.00 5.35%1,436.82 (25,129.39)AA+0.37
91282CDN8 UNITED STATES TREASURY 1.0 850,000.00 01/26/2022 840,636.72 98.08 833,639.16 0.89%Aaa/AA+0.46
12/15/2024 1.39%848,515.04 5.29%371.58 (14,875.88)AA+0.45
912828YY0 UNITED STATES TREASURY 1.75 1,500,000.00 03/15/2022 1,488,632.81 98.24 1,473,632.82 1.57%Aaa/AA+0.50
12/31/2024 2.03%1,497,962.59 5.36%71.33 (24,329.77)AA+0.49
912828Z52 UNITED STATES TREASURY 1.375 1,500,000.00 02/24/2021 1,557,011.72 97.76 1,466,396.49 1.56%Aaa/AA+0.59
01/31/2025 0.40%1,508,496.18 5.31%8,612.64 (42,099.69)AA+0.57
912828ZC7 UNITED STATES TREASURY 1.125 1,000,000.00 02/03/2022 990,820.31 97.33 973,271.48 1.04%Aaa/AA+0.67
02/28/2025 1.43%998,016.53 5.24%3,760.19 (24,745.05)AA+0.65
912828ZF0 UNITED STATES TREASURY 0.5 1,350,000.00 --1,342,150.39 96.57 1,303,712.40 1.39%Aaa/AA+0.75
03/31/2025 0.66%1,348,424.95 5.21%1,696.72 (44,712.55)AA+0.73
36
HOLDINGS REPORT
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
912828ZL7 UNITED STATES TREASURY 0.375
04/30/2025
2,000,000.00 --
1.52%
1,934,296.88
1,981,710.66
96.12
5.19%
1,922,363.28
1,263.59
2.05%
(59,347.38)
Aaa/AA+
AA+
0.83
0.81
912828ZT0 UNITED STATES TREASURY 0.25
05/31/2025
1,500,000.00 06/11/2021
0.53%
1,483,359.38
1,496,158.97
95.62
5.19%
1,434,331.05
317.62
1.53%
(61,827.92)
Aaa/AA+
AA+
0.92
0.89
912828ZW3 UNITED STATES TREASURY 0.25
06/30/2025
1,500,000.00 07/29/2021
0.55%
1,482,246.09
1,495,483.98
95.31
5.12%
1,429,643.55
10.19
1.52%
(65,840.43)
Aaa/AA+
AA+
1.00
0.97
91282CAB7 UNITED STATES TREASURY 0.25
07/31/2025
1,350,000.00 12/02/2021
1.05%
1,310,871.09
1,338,431.20
94.96
5.08%
1,282,025.39
1,409.34
1.37%
(56,405.80)
Aaa/AA+
AA+
1.08
1.06
912828K74 UNITED STATES TREASURY 2.0
08/15/2025
1,500,000.00 04/21/2022
2.94%
1,454,882.81
1,484,724.98
96.69
5.06%
1,450,371.09
11,291.21
1.55%
(34,353.89)
Aaa/AA+
AA+
1.13
1.08
9128285C0 UNITED STATES TREASURY 3.0
09/30/2025
1,500,000.00 04/21/2022
2.96%
1,502,109.38
1,500,765.22
97.56
5.03%
1,463,437.50
11,311.48
1.56%
(37,327.72)
Aaa/AA+
AA+
1.25
1.20
9128285J5 UNITED STATES TREASURY 3.0
10/31/2025
1,600,000.00 06/02/2022
2.87%
1,606,562.50
1,602,564.96
97.47
4.98%
1,559,562.50
8,086.96
1.66%
(43,002.46)
Aaa/AA+
AA+
1.34
1.28
912828M56 UNITED STATES TREASURY 2.25
11/15/2025
1,700,000.00 06/09/2022
3.04%
1,655,839.84
1,682,321.85
96.43
4.97%
1,639,238.28
4,885.19
1.75%
(43,083.57)
Aaa/AA+
AA+
1.38
1.33
9128285T3 UNITED STATES TREASURY 2.625
12/31/2025
1,100,000.00 07/13/2022
3.20%
1,079,031.25
1,090,923.48
96.74
4.90%
1,064,164.07
78.46
1.13%
(26,759.41)
Aaa/AA+
AA+
1.50
1.44
9128286L9 UNITED STATES TREASURY 2.25
03/31/2026
1,800,000.00 08/03/2022
2.99%
1,753,523.44
1,777,788.73
95.75
4.81%
1,723,500.00
10,180.33
1.84%
(54,288.73)
Aaa/AA+
AA+
1.75
1.68
9128286S4 UNITED STATES TREASURY 2.375
04/30/2026
1,600,000.00 09/08/2022
3.42%
1,542,500.00
1,571,098.57
95.81
4.79%
1,533,000.00
6,402.17
1.63%
(38,098.57)
Aaa/AA+
AA+
1.83
1.76
912828YG9 UNITED STATES TREASURY 1.625
09/30/2026
2,000,000.00 06/07/2023
4.09%
1,848,984.38
1,897,449.28
93.59
4.66%
1,871,796.88
8,169.40
2.00%
(25,652.40)
Aaa/AA+
AA+
2.25
2.16
91282CEF4 UNITED STATES TREASURY 2.5
03/31/2027
1,450,000.00 11/28/2022
4.00%
1,363,566.41
1,395,200.45
94.79
4.54%
1,374,384.76
9,112.02
1.47%
(20,815.69)
Aaa/AA+
AA+
2.75
2.60
91282CKJ9 UNITED STATES TREASURY 4.5
04/15/2027
2,000,000.00 05/17/2024
4.58%
1,995,468.75
1,995,648.29
99.85
4.55%
1,997,031.24
18,934.43
2.13%
1,382.95
Aaa/AA+
AA+
2.79
2.57
91282CEW7 UNITED STATES TREASURY 3.25
06/30/2027
1,500,000.00 10/05/2022
4.00%
1,451,308.59
1,469,083.92
96.49
4.51%
1,447,324.22
132.47
1.54%
(21,759.70)
Aaa/AA+
AA+
3.00
2.82
91282CFB2 UNITED STATES TREASURY 2.75
07/31/2027
2,000,000.00 06/21/2024
4.46%
1,901,875.00
1,902,481.78
94.95
4.52%
1,899,062.50
22,967.03
2.02%
(3,419.28)
Aaa/AA+
AA+
3.08
2.88
37
HOLDINGS REPORT
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
91282CFH9 UNITED STATES TREASURY 3.125
08/31/2027
1,600,000.00 01/20/2023
3.59%
1,568,437.50
1,578,294.91
95.94
4.51%
1,535,000.00
16,711.96
1.64%
(43,294.91)
Aaa/AA+
AA+
3.17
2.94
91282CFM8 UNITED STATES TREASURY 4.125
09/30/2027
1,250,000.00 03/08/2023
4.44%
1,234,130.86
1,238,696.21
98.87
4.50%
1,235,839.85
12,961.07
1.32%
(2,856.36)
Aaa/AA+
AA+
3.25
2.98
9128285M8 UNITED STATES TREASURY 3.125
11/15/2028
1,800,000.00 04/10/2024
4.66%
1,687,078.13
1,692,269.17
94.96
4.40%
1,709,226.56
7,184.10
1.82%
16,957.39
Aaa/AA+
AA+
4.38
4.01
Total US Treasury 43,700,000.00 2.45%
42,900,121.11
43,148,364.34
96.84
4.94%
42,305,143.73
179,084.89
45.11%
(843,220.62)
Aaa/AA+
AA+
1.57
1.48
Total Portfolio 96,084,904.59 3.23%
94,631,003.42
95,100,049.07
97.44
4.93%
93,782,393.14
543,149.38
100.00%
(1,317,655.93)
Aa1/AA
AA+
2.05
1.82
Total Market Value +
Accrued 94,325,542.53
38
HOLDINGS REPORT
Danville NERIAD Improvement Fund (89-1 90A) | Account #24 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
CASH
CCYUSD Receivable 72.69 --
0.00%
72.69
72.69
1.00
0.00%
72.69
0.00
0.01%
0.00
Aaa/AAA
AAA
0.00
0.00
Total Cash 72.69 0.00%
72.69
72.69
1.00
0.00%
72.69
0.00
0.01%
0.00
Aaa/AAA
AAA
0.00
0.00
MONEY MARKET
FUND
VP4530003 ALLSPRING:TRS+ MM I 16,113.01 --
5.16%
16,113.01
16,113.01
1.00
5.16%
16,113.01
0.00
1.71%
0.00
Aaa/
AAAm
NA
0.00
0.00
Total Money Market
Fund 16,113.01 5.16%
16,113.01
16,113.01
1.00
5.16%
16,113.01
0.00
1.71%
0.00
Aaa/
AAAm
NA
0.00
0.00
US TREASURY
912797GL5 UNITED STATES TREASURY
09/05/2024
250,000.00 12/15/2023
5.05%
241,205.26
247,784.53
99.04
5.28%
247,607.90
0.00
26.34%
(176.63)
P-1/A-1+
F1+
0.18
0.18
91282CDN8 UNITED STATES TREASURY 1.0
12/15/2024
250,000.00 03/14/2024
5.21%
242,343.75
245,350.57
98.08
5.29%
245,187.99
109.29
26.08%
(162.58)
Aaa/AA+
AA+
0.46
0.45
912797KJ5 UNITED STATES TREASURY
03/20/2025
200,000.00 04/26/2024
5.21%
191,044.44
192,780.44
96.40
5.15%
192,791.66
0.00
20.51%
11.22
P-1/A-1+
F1+
0.72
0.71
912797LN5 UNITED STATES TREASURY
06/12/2025
250,000.00 06/13/2024
5.08%
237,836.98
238,406.60
95.33
5.09%
238,322.50
0.00
25.35%
(84.10)
P-1/A-1+
F1+
0.95
0.93
Total US Treasury 950,000.00 5.13%
912,430.43
924,322.14
97.28
5.21%
923,910.05
109.29
98.28%
(412.09)
Aaa/AAA
AAA
0.57
0.55
Total Portfolio 966,185.70 5.13%
928,616.13
940,507.84
95.62
5.21%
940,095.75
109.29
100.00%
(412.09)
Aaa/AAA
AAA
0.56
0.54
Total Market Value +
Accrued 940,205.04
39
SECTION 4 | TRANSACTIONS
40
TRANSACTION LEDGER
Danville Short Term Treasury Pool | Account #21|04/01/2024 Through 06/30/2024|
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 04/15/2024 9128285M8 1,800,000.00 UNITED STATES
TREASURY 3.125
11/15/2028
93.727 4.66%(1,687,078.13)(23,489.01)(1,710,567.14)0.00
Purchase 04/30/2024 3130AVBD3 1,500,000.00 FEDERAL HOME LOAN
BANKS 4.5 03/09/2029
98.985 4.74%(1,484,775.00)(9,562.50)(1,494,337.50)0.00
Purchase 05/17/2024 14913UAL4 1,000,000.00 CATERPILLAR
FINANCIAL SERVICES
CORP 5.0 05/14/2027
100.293 4.89%(1,002,930.00)(416.67)(1,003,346.67)0.00
Purchase 05/20/2024 91282CKJ9 2,000,000.00 UNITED STATES
OF AMERICA
(GOVERNMENT) 4.5
04/15/2027
99.773 4.58%(1,995,468.75)(8,606.56)(2,004,075.31)0.00
Purchase 06/11/2024 096919AD7 420,000.00 BMWOT 2024-A A3
5.18 02/26/2029
99.985 5.18%(419,936.20)0.00 (419,936.20)0.00
Purchase 06/13/2024 05522RDJ4 475,000.00 BACCT 2024-1 A 4.93
03/15/2029
99.994 4.93%(474,973.35)0.00 (474,973.35)0.00
Purchase 06/24/2024 91282CFB2 2,000,000.00 UNITED STATES
TREASURY 2.75
07/31/2027
95.094 4.46%(1,901,875.00)(21,909.34)(1,923,784.34)0.00
Purchase 06/27/2024 3130B1EF0 1,000,000.00 FEDERAL HOME
LOAN BANKS 4.625
06/11/2027
100.153 4.57%(1,001,530.00)(5,524.31)(1,007,054.31)0.00
Total Purchase 10,195,000.00 (9,968,566.43)(69,508.39)(10,038,074.82)0.00
TOTAL
ACQUISITIONS 10,195,000.00 (9,968,566.43)(69,508.39)(10,038,074.82)0.00
DISPOSITIONS
Call
Redemption
06/03/2024 46647PCH7 (750,000.00)JPMORGAN CHASE &
CO 0.824 06/01/2025
100.000 0.82%750,000.00 0.00 750,000.00 0.00
41
TRANSACTION LEDGER
Danville Short Term Treasury Pool | Account #21|04/01/2024 Through 06/30/2024|
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
Total Call
Redemption (750,000.00)750,000.00 0.00 750,000.00 0.00
Maturity 04/15/2024 91282CBV2 (1,000,000.00)UNITED STATES
TREASURY 0.375
04/15/2024
100.000 0.38%1,000,000.00 0.00 1,000,000.00 0.00
Maturity 04/30/2024 912828X70 (1,000,000.00)UNITED STATES
TREASURY 2.0
04/30/2024
100.000 2.00%1,000,000.00 0.00 1,000,000.00 0.00
Maturity 05/12/2024 023135BW5 (1,000,000.00)AMAZON.COM INC
0.45 05/12/2024
100.000 0.45%1,000,000.00 0.00 1,000,000.00 0.00
Maturity 05/15/2024 91282CCC3 (1,250,000.00)UNITED STATES
OF AMERICA
(GOVERNMENT) 0.25
05/15/2024
100.000 0.25%1,250,000.00 0.00 1,250,000.00 0.00
Maturity 05/17/2024 14913R2L0 (905,000.00)CATERPILLAR
FINANCIAL SERVICES
CORP 0.45 05/17/2024
100.000 0.45%905,000.00 0.00 905,000.00 0.00
Maturity 06/07/2024 24422EVQ9 (540,000.00)JOHN DEERE CAPITAL
CORP 0.45 06/07/2024
100.000 0.45%540,000.00 0.00 540,000.00 0.00
Maturity 06/15/2024 91282CCG4 (1,500,000.00)UNITED STATES
TREASURY 0.25
06/15/2024
100.000 0.25%1,500,000.00 0.00 1,500,000.00 0.00
Total Maturity (7,195,000.00)7,195,000.00 0.00 7,195,000.00 0.00
TOTAL
DISPOSITIONS (7,945,000.00)7,945,000.00 0.00 7,945,000.00 0.00
42
TRANSACTION LEDGER
Danville NERIAD Improvement Fund (89-1 90A) | Account #24|04/01/2024 Through 06/30/2024|
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 04/29/2024 912797KJ5 200,000.00 UNITED STATES
TREASURY 03/20/2025
95.522 5.21%(191,044.44)0.00 (191,044.44)0.00
Purchase 06/14/2024 912797LN5 250,000.00 UNITED STATES
TREASURY 06/12/2025
95.135 5.08%(237,836.98)0.00 (237,836.98)0.00
Total Purchase 450,000.00 (428,881.42)0.00 (428,881.42)0.00
TOTAL
ACQUISITIONS 450,000.00 (428,881.42)0.00 (428,881.42)0.00
DISPOSITIONS
Maturity 04/25/2024 912797HG5 (150,000.00)UNITED STATES
TREASURY 04/25/2024
100.000 0.00%150,000.00 0.00 150,000.00 0.00
Maturity 06/13/2024 912797FS1 (250,000.00)UNITED STATES
TREASURY 06/13/2024
100.000 0.00%250,000.00 0.00 250,000.00 0.00
Total Maturity (400,000.00)400,000.00 0.00 400,000.00 0.00
TOTAL
DISPOSITIONS (400,000.00)400,000.00 0.00 400,000.00 0.00
43
IMPORTANT DISCLOSURES
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
2024 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.
44
BENCHMARK DISCLOSURES
Danville Short Term Treasury Pool | Account #21 | As of June 30, 2024
Benchmark Disclosure
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 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 $250 million for all other securities.
ICE BofA 3-Month US Treasury Bill Index The ICE BofA US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for
a full month.At the end of the month that issue is sold and rolled into a newly selected issue.The issue selected at each month-
end rebalancing is the outstanding Treasury Bill that matures closest to,but not beyond,three months from the rebalancing date.
45
Supplement to Quarterly Investment Report
Town Managed Cash Account
Average Average
Maturity Yield Cost
Town Funds 0 4.332%19,048,333
Trust Fund 0 4.332%1,901,835
.
Community Development Agency DS/Successor Agency 0 4.332%53,658
NERIAD 0 4.332%178,073
Total LAIF Funds Managed by the Town 21,181,900$
LAIF Funds Managed by the Town
(Local Agency Investment Fund)
MAY 2024
9.1