September 26, 2024 - Monthly Treasurer’s Investment Report for August 2024INVESTMENT REPORT
City of Cupertino | As of August 31, 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
City of Cupertino | Account #10659 | As of August 31, 2024
ECONOMIC UPDATE
ACCOUNT PROFILE
PORTFOLIO HOLDINGS
TRANSACTIONS
1
ECONOMIC UPDATE
2
Recent economic data suggests positive but slower growth this year fueled by consumer spending.While the consumer has been resilient,
declining savings rates,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.The labor market is showing signs of
cooling,reflecting an improved balance between supply and demand for workers.Given the cumulative effects of restrictive monetary
policy and tighter financial conditions,we believe the economy will gradually soften and the Fed will begin lowering interest rates at
upcoming meetings with pace and magnitude determined by the incoming data.
As expected at the July meeting,the Federal Open Market Committee voted unanimously to leave the federal funds rate unchanged at a
target range of 5.25-5.50%.Although this was the eighth straight meeting they left the overnight rate unchanged, they noted that risks to
achieving their employment and inflation goals are moving “into better balance”.In addition, the FOMC adjusted their evaluation of the
labor market pointing out that job gains have moderated. The market is now pricing in more aggressive easing in the coming months.
The US Treasury yield curve shifted significantly lower in August as economic data continued to moderate.The 2-year Treasury yield fell 34
basis points to 3.92%,the 5-year Treasury dropped 21 basis points to 3.70%,and the 10-year Treasury yield declined 13 basis points to
3.90%.The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -2 basis points at August month-end versus -
23 basis points at July month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -75 basis points.
The inversion between 3-month and 10-year Treasuries ended the month of August at -121 basis points.
ECONOMIC UPDATE
3
-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 142,000 jobs in August,below expectations of 165,000.The three-month moving average and six-month moving
average payrolls continued to trend weaker to 116,000 and 163,000 respectively.The unemployment rate increased to 4.2%in August,
and the labor participation rate remained at 62.7%,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 rose to 7.9%from
7.8%.Average hourly earnings rose 3.8%year-over-year in August. 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
EMPLOYMENT
4
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
In July, the Consumer Price Index (CPI)rose 0.2%month-over-month and 2.9%year-over-year,down from 3.0%in June and lower than
expected.The Core CPI,which excludes volatile food and energy components,was up 0.2%month-over-month and 3.2%year-over-year in
July,down from 3.3%in June. The Personal Consumption Expenditures (PCE)Index rose 0.2%from the previous month and 2.5%year-over-
year in July. The Core PCE deflator (the Fed’s preferred gauge)increased 0.2%month-over-month and 2.6%over the past year,still above
the Fed’s 2%inflation target.Much of the lingering inflation has been driven by shelter costs and demand for services,but recent data
provide confirmation that inflation is moderating.
Source: US Department of Labor Source: US Department of Commerce
INFLATION
5
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
As expected at the July meeting, the Federal Open Market Committee voted unanimously to leave the federal funds rate unchanged at a
target range of 5.25-5.50%. Although this was the eighth straight meeting they left the overnight rate unchanged, they noted that risks to
achieving their employment and inflation goals are moving “into better balance”. In addition, the FOMC adjusted their evaluation of the
labor market pointing out that job gains have moderated. 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
(
%
)
FEDERAL RESERVE
6
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
Aug-24
May-24
Aug-23
Yi
e
l
d
(
%
)
At the end of August, the 2-year Treasury yield was 34 basis points lower,and the 10-Year Treasury yield was 13 basis points lower,year-
over-year.The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -2 basis points at August month-end
versus -23 basis points at July month-end. The yield curve inversion which began in July 2022 has been historically long.The average
historical spread (since 2003)is about +110 basis points. The inversion between 3-month and 10-year Treasuries tightened to -121 basis
points in August from -126 basis points in July.
BOND YIELDS
7
PERIODIC TABLE OF ASSET CLASS RETURNS
Index returns as of 8/31/2024.Past performance is not indicative of future results.Index returns assume reinvestment of all distributions and do not reflect fees or expenses.It is not possible to invest directly in an
index.This information is not intended to constitute an offer,solicitation,recommendation,or advice regarding securities or investment strategy.Please see attached Asset Class Disclosure.
2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 YTD 2024
US Real Estate
30.4%
US Real Estate
2.5%
US Small Cap
Stocks
20.4%
Emerging Market
Stocks
37.3%
International
Bonds
3.2%
US Large Cap
Stocks
31.5%
US Mid Cap
Stocks
19.8%
US Real Estate
43.1%
Diversified
Commodities
26.0%
US Large Cap
Stocks
26.3%
US Large Cap
Stocks
19.5%
US Large Cap
Stocks
13.7%
US Large Cap
Stocks
1.4%
US High Yield
Bonds
17.5%
International
Stocks
25.0%
US Core Bonds
0.0%
US Mid Cap
Stocks
30.6%
US Small Cap
Stocks
19.2%
Diversified
Commodities
40.4%
US High Yield
Bonds
-11.2%
US Small Cap
Stocks
19.1%
US Real Estate
12.8%
US Mid Cap
Stocks
13.4%
International
Bonds
1.3%
US Mid Cap
Stocks
12.6%
US Large Cap
Stocks
21.8%
US High Yield
Bonds
-2.3%
US Small Cap
Stocks
25.9%
US Large Cap
Stocks
18.4%
US Large Cap
Stocks
28.7%
International
Bonds
-12.7%
International
Stocks
18.2%
US Mid Cap
Stocks
12.3%
International
Bonds
9.1%
US Core Bonds
0.6%
US Large Cap
Stocks
12.0%
US Mid Cap
Stocks
20.3%
US Large Cap
Stocks
-4.4%
US Real Estate
25.8%
Emerging Market
Stocks
18.3%
US Mid Cap
Stocks
24.0%
US Core Bonds
-13.3%
US Mid Cap
Stocks
14.5%
International
Stocks
12.0%
US Core Bonds
6.4%
US Mid Cap
Stocks
-0.6%
Diversified
Commodities
11.4%
International
Real Estate
20.0%
US Real Estate
-4.6%
International
Stocks
22.0%
International
Stocks
7.8%
US Small Cap
Stocks
21.1%
International
Stocks
-14.5%
US Real Estate
13.7%
Emerging Market
Stocks
9.5%
US Small Cap
Stocks
6.1%
International
Stocks
-0.8%
Emerging Market
Stocks
11.2%
US Small Cap
Stocks
15.2%
International
Real Estate
-6.4%
International
Real Estate
21.0%
US Core Bonds
7.6%
International
Stocks
11.3%
US Mid Cap
Stocks
-16.9%
US High Yield
Bonds
13.5%
US Small Cap
Stocks
9.3%
International
Real Estate
2.8%
International
Real Estate
-3.8%
US Real Estate
8.6%
US High Yield
Bonds
7.5%
US Mid Cap
Stocks
-8.1%
Emerging Market
Stocks
18.4%
US High Yield
Bonds
6.2%
International
Real Estate
8.1%
US Small Cap
Stocks
-17.8%
Emerging Market
Stocks
9.8%
US High Yield
Bonds
6.3%
US High Yield
Bonds
2.5%
US Small Cap
Stocks
-4.1%
International
Bonds
4.9%
Diversified
Commodities
5.8%
US Small Cap
Stocks
-11.0%
Diversified
Commodities
17.6%
International
Bonds
4.7%
US High Yield
Bonds
5.4%
US Large Cap
Stocks
-18.1%
International
Bonds
8.7%
Diversified
Commodities
5.3%
Emerging Market
Stocks
-2.2%
High Yield Bonds
-4.6%
US Core Bonds
2.6%
US Real Estate
5.1%
International
Stocks
-13.8%
US High Yield
Bonds
14.4%
International
Real Estate
-7.1%
US Core Bonds
-1.6%
Emerging Market
Stocks
-20.1%
International
Real Estate
6.3%
International
Real Estate
3.7%
International
Stocks
-4.9%
Emerging Market
Stocks
-14.9%
International
Real Estate
1.3%
US Core Bonds
3.6%
Diversified
Commodities
-13.8%
US Core Bonds
9.0%
US Real Estate
-7.6%
International
Bonds
-2.1%
International
Real Estate
-24.3%
US Core Bonds
5.4%
US Core Bonds
3.2%
Diversified
Commodities
-33.1%
Diversified
Commodities
-32.9%
International
Stocks
1.0%
International
Bonds
2.6%
Emerging Market
Stocks
-14.6%
International
Bonds
8.1%
Diversified
Commodities
-23.7%
Emerging Market
Stocks
-2.5%
US Real Estate
-24.5%
Diversified
Commodities
-4.3%
International
Bonds
2.4%
8
ACCOUNT PROFILE
9
OBJECTIVES
City of Cupertino | Account #10659 | As of August 31, 2024
Investment Objectives
The City of Cupertino's investment objectives, in order of priority, are to provide safety to ensure the preservation of
capital in the overall portfolio, provide sufficient liquidity for cash needs and a market rate of return consistent with the
investment program.
Chandler Asset Management Performance Objective
The performance objective for the portfolio is to earn a total rate of return through a market cycle that is equal to or
above the return on the benchmark index.
Strategy
In order to achieve these objectives, the portfolio invests in high quality fixed incomes securities consistent with the
investment policy and California Government Code.
10
STATEMENT OF COMPLIANCE
City of Cupertino | Account #10659 | As of August 31, 2024
Rules Name Limit Actual Compliance
Status Notes
AGENCY MORTGAGE SECURITIES (CMOS)
Max % (MV)100.0 8.9 Compliant
Max % Issuer (MV; Agencies & Agency CMOs)25.0 5.4 Compliant
Max Maturity (Years)5.0 4.8 Compliant
ASSET-BACKED SECURITIES (ABS)
Max % (MV; Non Agency ABS & MBS)20.0 10.3 Compliant
Max % Issuer (MV)5.0 1.7 Compliant
Max Maturity (Years)5 4 Compliant
Min Rating (AA- 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
CERTIFICATE OF DEPOSIT PLACEMENT SERVICE (CDARS)
Max % (MV)30.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
Max Maturity (Years)5.0 0.0 Compliant
COLLATERALIZED TIME DEPOSITS (NON-NEGOTIABLE
CD/TD)
Max % (MV; FDIC & Collateralized CD)30.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
Max Maturity (Years)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)30.0 28.4 Compliant
11
STATEMENT OF COMPLIANCE
City of Cupertino | Account #10659 | As of August 31, 2024
Rules Name Limit Actual Compliance
Status Notes
Max % Issuer (MV)5.0 1.6 Compliant
Max Maturity (Years)5 4 Compliant
Min Rating (A- by 1)0.0 0.0 Compliant
FDIC INSURED TIME DEPOSITS (NON-NEGOTIABLE CD/
TD)
Max % (MV; FDIC & Collateralized CD)30.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
Max Maturity (Years)5 0.0 Compliant
FEDERAL AGENCIES
Max % (MV)100.0 13.2 Compliant
Max % Issuer (MV; Agencies & Agency CMOs)25.0 5.4 Compliant
Max Callables (MV)20.0 0.0 Compliant
Max Maturity (Years)5 3 Compliant
LOCAL AGENCY INVESTMENT FUND (LAIF)
Max Concentration (MV)75.0 0.0 Compliant
MONEY MARKET MUTUAL FUNDS
Max % (MV)20.0 0.9 Compliant
Min Rating (AAA by 2)0.0 0.0 Compliant
MORTGAGE-BACKED SECURITIES (NON-AGENCY)
Max % (MV)20.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
Max Maturity (Years)5.0 0.0 Compliant
Min Rating (AA- 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
12
STATEMENT OF COMPLIANCE
City of Cupertino | Account #10659 | As of August 31, 2024
Rules Name Limit Actual Compliance
Status Notes
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
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)10.0 0.0 Compliant
Max % Issuer (MV)5.0 0.0 Compliant
Max Maturity (Years)1.0 0.0 Compliant
SUPRANATIONAL OBLIGATIONS
Max % (MV)30.0 4.2 Compliant
Max % Issuer (MV)10.0 1.4 Compliant
Max Maturity (Years)5 1 Compliant
Min Rating (AA- by 1)0.0 0.0 Compliant
U.S. TREASURIES
Max % (MV)100.0 33.9 Compliant
Max Maturity (Years)5 4 Compliant
13
PORTFOLIO SUMMARY
City of Cupertino | Account #10659 | As of August 31, 2024
Portfolio Characteristics
Average Modified Duration 2.06
Average Coupon 2.87%
Average Purchase YTM 3.03%
Average Market YTM 4.26%
Average Quality AA
Average Final Maturity 2.44
Average Life 2.13
Sector Allocation
Performance Review
Total Rate of Return 1M 3M YTD 1YR 2YRS 3YRS 5YRS 10YRS Since Inception
(02/01/19)
City of Cupertino 0.94%2.78%3.82%6.45%3.90%0.73%1.46%--1.84%
Benchmark Return*0.90%2.63%3.32%5.89%3.43%0.39%1.06%--1.62%
Account Summary
Beg. Values as of
08/01/2024
End Values as of
08/31/2024
Market Value 166,073,410.34 167,623,776.34
Accrued Interest 949,835.47 965,903.79
Total Market Value 167,023,245.81 168,589,680.13
Income Earned 529,083.10 275,385.76
Cont/WD 0.00 0.00
Par 169,638,868.11 170,011,066.68
Book Value 168,748,757.29 169,101,423.17
Cost Value 168,555,901.12 168,866,440.12
Maturity Distribution
Top Issuers
United States 33.92%
FHLMC 12.51%
FNMA 5.39%
Farm Credit System 3.17%
Morgan Stanley 1.79%
American Express Credit Master Trust 1.72%
New York Life Insurance Company 1.60%
International Finance Corporation 1.44%
Credit Quality
*Periods over 1 year are annualized.
Benchmark: ICE BofA 1-3 Year US Treasury & Agency Index Secondary Benchmark:
*See Footnote
14
HISTORICAL AVERAGE PURCHASE YIELD
City of Cupertino | Account #10659 | As of August 31, 2024
Purchase Yield as of 08/31/24 = 3.03%
15
PORTFOLIO HOLDINGS
16
ISSUERS
City of Cupertino | Account #10659 | As of August 31, 2024
Issuer Investment Type % Portfolio
United States US Treasury 33.92%
FHLMC Agency CMBS 8.97%
FNMA Agency 5.39%
FHLMC Agency 3.54%
Farm Credit System Agency 3.17%
Morgan Stanley Corporate 1.79%
American Express Credit Master Trust ABS 1.72%
New York Life Insurance Company Corporate 1.60%
International Finance Corporation Supras 1.44%
Bank of America Corporation Corporate 1.43%
The Home Depot, Inc.Corporate 1.43%
John Deere Owner Trust ABS 1.41%
Inter-American Development Bank Supras 1.39%
International Bank for Recon and Dev Supras 1.37%
Cisco Systems, Inc.Corporate 1.21%
Deere & Company Corporate 1.21%
Massachusetts Mutual Life Insurance Corporate 1.17%
Federal Home Loan Banks Agency 1.14%
JPMorgan Chase & Co.Corporate 1.14%
Honda Auto Receivables Owner Trust ABS 1.12%
GM Financial Securitized Term ABS 1.09%
State Street Corporation Corporate 1.07%
Amazon.com, Inc.Corporate 1.06%
Chase Issuance Trust ABS 1.02%
Bank of America Credit Card Trust ABS 0.99%
UnitedHealth Group Incorporated Corporate 0.98%
Berkshire Hathaway Inc.Corporate 0.92%
PepsiCo, Inc.Corporate 0.91%
17
ISSUERS
City of Cupertino | Account #10659 | As of August 31, 2024
Issuer Investment Type % Portfolio
Wells Fargo & Company Money Mkt Fd 0.90%
Prologis, Inc.Corporate 0.89%
The Progressive Corporation Corporate 0.89%
Toyota Auto Receivables Owner Trust ABS 0.87%
Realty Income Corporation Corporate 0.85%
The Toronto-Dominion Bank Corporate 0.81%
Guardian Life Global Funding Corporate 0.80%
Toyota Motor Corporation Corporate 0.78%
Bank of Montreal Corporate 0.73%
MERCEDES-BENZ AUTO RECEIVABLES TRUST ABS 0.67%
Metropolitan Life Global Funding I Corporate 0.63%
Caterpillar Inc.Corporate 0.61%
BNY Mellon Corp Corporate 0.59%
BMW Vehicle Owner Trust ABS 0.58%
Mastercard Incorporated Corporate 0.58%
Meta Platforms, Inc.Corporate 0.55%
The Charles Schwab Corporation Corporate 0.55%
Hyundai Auto Receivables Trust ABS 0.53%
Chubb Limited Corporate 0.52%
PACCAR Inc Corporate 0.52%
Pricoa Global Funding I Corporate 0.52%
Northwestern Mutual Global Funding Corporate 0.48%
Met Tower Global Funding Corporate 0.43%
Northern Trust Corporation Corporate 0.40%
Hyundai Auto Lease Securitization Tr ABS 0.37%
Walmart Inc.Corporate 0.20%
Cash Cash 0.09%
WC MMF Sweep Money Mkt Fd 0.03%
18
ISSUERS
City of Cupertino | Account #10659 | As of August 31, 2024
Issuer Investment Type % Portfolio
TOTAL 100.00%
19
HOLDINGS REPORT
City of Cupertino | Account #10659 | As of August 31, 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
43815GAC3 HAROT 2021-4 A3 0.88 01/21/2026 144,189.75 11/16/2021 144,159.35 98.39 141,870.11 0.08%Aaa/NA 1.39
0.89%144,180.64 5.78%35.25 (2,310.53)AAA 0.33
47789QAC4 JDOT 2021-B A3 0.52 03/16/2026 137,647.93 07/13/2021 137,635.65 98.48 135,562.30 0.08%Aaa/NA 1.54
0.52%137,644.38 5.91%31.81 (2,082.08)AAA 0.28
89238JAC9 TAOT 2021-D A3 0.71 04/15/2026 141,811.74 11/09/2021 141,808.72 98.47 139,640.63 0.08%NA/AAA 1.62
0.71%141,810.77 5.75%44.75 (2,170.14)AAA 0.30
44935FAD6 HART 2021-C A3 0.74 05/15/2026 376,555.82 --367,034.80 98.80 372,041.90 0.22%NA/AAA 1.70
2.17%373,079.77 5.49%123.85 (1,037.88)AAA 0.25
43815BAC4 HAROT 2022-1 A3 1.88 05/15/2026 378,728.67 02/15/2022 378,671.70 98.44 372,833.49 0.22%Aaa/AAA 1.70
1.89%378,707.53 5.55%316.45 (5,874.04)NA 0.42
05602RAD3 BMWOT 2022-A A3 3.21 08/25/2026 274,957.20 05/10/2022 274,942.91 99.07 272,391.03 0.16%Aaa/AAA 1.98
3.23%274,951.00 5.22%147.10 (2,559.97)NA 0.47
47787JAC2 JDOT 2022 A3 0.36 09/15/2026 208,977.88 03/10/2022 208,931.66 98.55 205,940.96 0.12%Aaa/NA 2.04
2.34%208,958.25 5.69%215.48 (3,017.29)AAA 0.43
362554AC1 GMCAR 2021-4 A3 0.68 09/16/2026 127,934.77 10/13/2021 127,931.51 98.17 125,595.37 0.07%Aaa/AAA 2.04
0.68%127,933.61 5.56%36.25 (2,338.24)NA 0.37
448977AD0 HART 2022-A A3 2.22 10/15/2026 528,989.08 03/09/2022 528,968.71 98.51 521,085.40 0.31%NA/AAA 2.12
2.23%528,980.47 5.68%521.94 (7,895.08)AAA 0.43
380146AC4 GMCAR 2022-1 A3 1.26 11/16/2026 130,896.30 01/11/2022 130,884.92 98.31 128,682.70 0.08%NA/AAA 2.21
1.27%130,891.67 5.33%68.72 (2,208.97)AAA 0.41
362585AC5 GMCAR 2022-2 A3 3.1 02/16/2027 253,297.11 04/05/2022 253,244.17 98.78 250,195.06 0.15%Aaa/AAA 2.46
3.13%253,272.19 5.28%327.18 (3,077.13)NA 0.56
47800AAC4 JDOT 2022-B A3 3.74 02/16/2027 517,776.20 07/12/2022 517,726.75 99.14 513,300.80 0.31%Aaa/NA 2.46
3.77%517,750.45 5.19%860.66 (4,449.66)AAA 0.61
02589BAA8 AMXCA 2022-1 A 2.21 03/17/2025 1,545,000.00 03/21/2022 1,524,359.77 98.47 1,521,329.06 0.91%Aaa/NA 0.54
2.69%1,541,272.03 5.18%1,517.53 (19,942.97)AAA 0.52
44934FAD7 HALST 24B A3 5.41 05/17/2027 610,000.00 05/14/2024 609,983.04 101.37 618,387.07 0.37%NA/AAA 2.71
5.41%609,984.63 4.63%1,466.71 8,402.45 AAA 1.62
02582JJT8 AMXCA 2022-2 A 05/17/2027 1,375,000.00 05/17/2022 1,374,695.85 98.89 1,359,684.29 0.81%NA/AAA 0.70
3.42%1,374,896.66 5.07%2,071.67 (15,212.37)AAA 0.67
20
HOLDINGS REPORT
City of Cupertino | Account #10659 | As of August 31, 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
47800BAC2 JDOT 2022-C A3 5.09 06/15/2027 999,553.58 10/12/2022 999,476.01 100.09 1,000,498.06 0.60%Aaa/NA 2.79
5.15%999,507.76 5.01%2,261.21 990.30 AAA 0.71
89231FAD2 TAOT 2023-C A3 5.16 04/17/2028 1,300,000.00 11/21/2023 1,294,718.75 100.80 1,310,368.80 0.78%NA/AAA 3.63
5.40%1,295,646.09 4.64%2,981.33 14,722.71 AAA 1.38
438123AC5 HAROT 2023-4 A3 5.67 06/21/2028 805,000.00 --806,992.67 101.93 820,534.49 0.49%Aaa/NA 3.81
5.64%806,573.79 4.50%1,267.88 13,960.70 AAA 1.54
47800RAD5 JDOT 2024 A3 4.96 11/15/2028 500,000.00 03/25/2024 499,765.63 101.22 506,108.40 0.30%Aaa/NA 4.21
5.13%499,787.49 4.34%1,102.22 6,320.91 AAA 1.81
05522RDH8 BACCT 2023-2 A 4.98 11/16/2026 850,000.00 01/24/2024 858,798.83 101.50 862,782.73 0.51%Aaa/NA 2.21
4.58%856,918.45 4.30%1,881.33 5,864.28 AAA 2.04
58769FAC9 MBART 2023-2 A3 5.95 11/15/2028 1,100,000.00 11/29/2023 1,123,289.06 102.30 1,125,337.29 0.67%NA/AAA 4.21
5.18%1,118,985.65 4.39%2,908.89 6,351.64 AAA 1.40
437930AC4 HONDO-242-A3 5.27 11/20/2028 535,000.00 05/14/2024 534,935.00 101.80 544,622.46 0.32%NA/AAA 4.22
5.27%534,939.07 4.40%1,018.13 9,683.38 AAA 1.93
36268GAD7 GMCAR 2024-1 A3 4.85 12/18/2028 1,310,000.00 --1,307,922.66 100.81 1,320,612.44 0.79%Aaa/NA 4.30
4.97%1,308,090.95 4.43%2,647.29 12,521.49 AAA 1.71
161571HV9 CHAIT 241 A 4.6 01/16/2029 1,690,000.00 01/24/2024 1,689,742.61 100.74 1,702,436.20 1.02%NR/AAA 4.38
4.61%1,689,773.01 4.31%3,455.11 12,663.20 AAA 2.20
096919AD7 BMWOT 2024-A A3 5.18 02/26/2029 695,000.00 06/04/2024 694,894.43 101.68 706,704.98 0.42%Aaa/AAA 4.49
5.24%694,899.46 4.36%600.02 11,805.52 NA 1.90
05522RDJ4 BACCT 2024-1 A 4.93 03/15/2029 785,000.00 06/06/2024 784,955.96 101.82 799,291.63 0.48%Aaa/AAA 4.54
4.93%784,957.99 4.25%1,720.02 14,333.64 NA 2.48
17,316,471.14 100.34 17,377,837.62 10.37%Aaa/AAA 2.96
Total ABS 17,321,316.03 4.23%17,334,393.75 4.76%29,628.78 43,443.88 AAA 1.29
AGENCY
3137EAEP0 FEDERAL HOME LOAN MORTGAGE 2,365,000.00 02/13/2020 2,363,178.95 98.52 2,329,899.28 1.39%Aaa/AA+0.45
CORP 1.5 02/12/2025 1.52%2,364,836.35 4.93%1,872.29 (34,937.07)AA+0.43
3135G03U5 FEDERAL NATIONAL MORTGAGE 1,860,000.00 04/22/2020 1,856,168.40 97.53 1,814,140.75 1.08%Aaa/AA+0.64
ASSOCIATION 0.625 04/22/2025 0.67%1,859,510.55 4.60%4,165.63 (45,369.80)AA+0.62
3135G04Z3 FEDERAL NATIONAL MORTGAGE 2,500,000.00 --2,499,227.30 96.89 2,422,172.25 1.45%Aaa/AA+0.79
ASSOCIATION 0.5 06/17/2025 0.50%2,499,911.02 4.56%2,569.44 (77,738.77)AA+0.77
21
HOLDINGS REPORT
City of Cupertino | Account #10659 | As of August 31, 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
3137EAEU9 FEDERAL HOME LOAN MORTGAGE 1,250,000.00 07/21/2020 1,243,775.00 96.52 1,206,525.29 0.72%Aaa/AA+0.89
CORP 0.375 07/21/2025 0.48%1,248,897.66 4.43%520.83 (42,372.37)AA+0.86
3135G05X7 FEDERAL NATIONAL MORTGAGE 2,500,000.00 --2,487,983.75 96.20 2,405,025.00 1.43%Aaa/AA+0.98
ASSOCIATION 0.375 08/25/2025 0.47%2,497,573.57 4.39%156.25 (92,548.57)AA+0.96
3137EAEX3 FEDERAL HOME LOAN MORTGAGE 2,500,000.00 --2,489,362.80 95.90 2,397,598.20 1.43%Aaa/AA+1.06
CORP 0.375 09/23/2025 0.46%2,497,695.87 4.39%4,114.58 (100,097.67)AA+1.03
3135G06G3 FEDERAL NATIONAL MORTGAGE 2,500,000.00 --2,492,700.00 95.70 2,392,485.35 1.43%Aaa/AA+1.19
ASSOCIATION 0.5 11/07/2025 0.56%2,498,267.70 4.28%3,958.33 (105,782.35)AA+1.15
3130B0TY5 FEDERAL HOME LOAN BANKS 4.75 1,875,000.00 04/10/2024 1,870,050.00 102.23 1,916,771.85 1.14%Aaa/AA+2.61
04/09/2027 4.85%1,870,697.62 3.84%34,635.42 46,074.23 AA+2.39
3133ERDS7 FEDERAL FARM CREDIT BANKS 2,400,000.00 06/20/2024 2,412,552.00 102.25 2,453,940.79 1.46%Aaa/AA+2.68
FUNDING CORP 4.75 05/06/2027 4.55%2,411,690.47 3.86%36,416.67 42,250.32 AA+2.46
3133EPC60 FEDERAL FARM CREDIT BANKS 2,800,000.00 11/09/2023 2,789,612.00 102.28 2,863,942.28 1.71%Aaa/AA+3.21
FUNDING CORP 4.625 11/15/2027 4.73%2,791,681.07 3.86%38,130.56 72,261.22 AA+2.92
22,504,610.20 98.53 22,202,501.05 13.25%Aaa/AA+1.52
Total Agency 22,550,000.00 1.99%22,540,761.88 4.30%126,540.00 (338,260.83)AA+1.42
AGENCY CMBS
3137BFE98 FHMS K-041 A2 3.171 10/25/2024 884,369.07 07/01/2021 951,318.57 99.53 880,242.60 0.53%Aaa/AA+0.15
0.66%886,068.30 5.00%2,336.95 (5,825.69)AAA 0.14
3137BLMZ8 FHMS K-049 A2 3.01 07/25/2025 991,693.37 07/01/2021 1,070,718.94 98.39 975,726.12 0.58%Aaa/AA+0.90
0.87%1,008,150.24 4.89%2,487.50 (32,424.12)AAA 0.76
3137BLW95 FHMS K-050 A2 3.334 08/25/2025 950,000.00 11/16/2021 1,018,132.81 98.58 936,531.66 0.56%Aaa/AA+0.98
1.22%966,844.08 4.84%2,639.42 (30,312.42)AAA 0.81
3137BM7C4 FHMS K-051 A2 3.308 09/25/2025 429,104.72 03/15/2022 441,860.53 98.50 422,652.78 0.25%Aaa/AA+1.07
2.32%432,791.07 4.74%1,182.90 (10,138.29)AAA 0.92
3137BN6G4 FHMS K-053 A2 2.995 12/25/2025 570,000.00 03/15/2022 582,001.17 98.03 558,747.35 0.33%Aaa/AA+1.32
2.32%574,060.85 4.62%1,422.63 (15,313.51)AAA 1.11
3137BSP72 FHMS K-058 A2 2.653 08/25/2026 650,000.00 11/12/2021 687,451.17 96.88 629,692.44 0.38%Aaa/AA+1.98
1.36%665,237.70 4.28%1,437.04 (35,545.26)AAA 1.85
3137FBBX3 FHMS K-068 A2 3.244 08/25/2027 1,000,000.00 09/28/2022 950,664.06 97.53 975,280.30 0.58%Aaa/AA+2.98
4.36%970,224.94 4.10%2,703.33 5,055.36 AA+2.73
22
HOLDINGS REPORT
City of Cupertino | Account #10659 | As of August 31, 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
3137FKUP9 FHMS K-087 A2 3.771 12/25/2028 2,000,000.00 07/01/2024 1,913,359.38 98.48 1,969,646.00 1.18%Aaa/AAA 4.32
4.86%1,916,480.59 4.14%6,285.00 53,165.41 AA+3.82
3137FL6P4 FHMS K-089 A2 3.563 01/25/2029 1,288,000.00 07/03/2024 1,228,178.44 97.84 1,260,203.16 0.75%Aaa/AA+4.40
4.70%1,230,151.78 4.08%3,824.29 30,051.37 AA+3.96
3137H5YC5 FHMS K-748 A2 2.26 01/25/2029 2,000,000.00 07/03/2024 1,801,718.75 92.53 1,850,624.40 1.10%Aaa/AA+4.40
4.74%1,808,259.49 4.15%3,766.67 42,364.91 AAA 4.02
3137FKZZ2 FHMS K-088 A2 3.69 01/25/2029 2,550,000.00 07/17/2024 2,465,830.08 98.15 2,502,911.96 1.49%Aaa/AA+4.40
4.50%2,467,955.06 4.13%7,841.25 34,956.90 AA+3.92
3137FNAE0 FHMS K-095 A2 2.785 06/25/2029 2,200,000.00 07/17/2024 2,039,382.82 94.27 2,074,002.04 1.24%Aaa/AA+4.82
4.47%2,043,445.65 4.12%5,105.83 30,556.39 AAA 4.32
15,150,616.71 96.98 15,036,260.80 8.97%Aaa/AA+3.36
Total Agency CMBS 15,513,167.16 3.64%14,969,669.75 4.31%41,032.79 66,591.04 AAA 3.00
CASH
CCYUSD Receivable 156,352.66 --156,352.66 1.00 156,352.66 0.09%Aaa/AAA 0.00
0.00%156,352.66 0.00%0.00 0.00 AAA 0.00
156,352.66 1.00 156,352.66 0.09%Aaa/AAA 0.00
Total Cash 156,352.66 0.00%156,352.66 0.00%0.00 0.00 AAA 0.00
CORPORATE
64952WEK5 NEW YORK LIFE GLOBAL FUNDING 1,680,000.00 01/11/2022 1,678,185.60 98.65 1,657,249.24 0.99%Aaa/AA+0.37
1.45 01/14/2025 1.49%1,679,776.51 5.23%3,180.33 (22,527.27)AAA 0.36
69371RR73 PACCAR FINANCIAL CORP 2.85 885,000.00 03/31/2022 884,769.90 98.73 873,799.52 0.52%A1/A+0.60
04/07/2025 2.86%884,954.23 5.03%10,089.00 (11,154.71)NA 0.57
06367WB85 BANK OF MONTREAL 1.85 1,240,000.00 07/23/2021 1,285,656.80 98.01 1,215,357.62 0.73%A2/A-0.67
05/01/2025 0.86%1,248,041.44 4.94%7,646.67 (32,683.83)AA-0.64
74153WCM9 PRICOA GLOBAL FUNDING I 0.8 904,000.00 04/06/2022 832,972.72 96.18 869,491.19 0.52%Aa3/AA-1.00
09/01/2025 3.23%883,126.44 4.78%3,616.00 (13,635.25)AA-0.97
06406HCQ0 BANK OF NEW YORK MELLON CORP 1,000,000.00 04/05/2022 1,024,910.00 99.26 992,612.92 0.59%A1/A 1.22
3.95 11/18/2025 3.21%1,007,955.75 4.58%11,301.39 (15,342.83)AA-1.15
23
HOLDINGS REPORT
City of Cupertino | Account #10659 | As of August 31, 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
40139LBC6 GUARDIAN LIFE GLOBAL FUNDING
0.875 12/10/2025
1,400,000.00 --
1.12%
1,385,860.00
1,395,694.87
95.51
4.55%
1,337,206.95
2,756.25
0.80%
(58,487.92)
Aa1/AA+
NA
1.28
1.23
66815L2A6 NORTHWESTERN MUTUAL GLOBAL
FUNDING 0.8 01/14/2026
850,000.00 12/06/2021
1.46%
827,449.50
842,473.13
95.23
4.44%
809,446.53
887.78
0.48%
(33,026.59)
Aaa/AA+
AAA
1.37
1.33
06051GHY8 BANK OF AMERICA CORP 2.015
02/13/2026
600,000.00 05/24/2021
1.06%
620,988.00
602,548.21
98.54
5.78%
591,215.75
604.50
0.35%
(11,332.46)
A1/A-
AA-
1.45
0.43
46647PBK1 JPMORGAN CHASE & CO 2.083
04/22/2026
401,000.00 05/20/2021
1.11%
415,969.33
403,440.77
98.10
6.41%
393,376.04
2,993.10
0.23%
(10,064.73)
A1/A-
AA-
1.64
0.62
023135BX3 AMAZON.COM INC 1.0 05/12/2026 1,875,000.00 05/10/2021
1.09%
1,866,900.00
1,872,258.60
94.87
4.17%
1,778,766.24
5,677.08
1.06%
(93,492.35)
A1/AA
AA-
1.70
1.64
91324PEC2 UNITEDHEALTH GROUP INC 1.15
05/15/2026
1,035,000.00 --
1.37%
1,025,051.35
1,031,149.70
94.88
4.31%
981,977.77
3,504.63
0.59%
(49,171.93)
A2/A+
A
1.70
1.65
89236TJK2 TOYOTA MOTOR CREDIT CORP 1.125
06/18/2026
1,385,000.00 06/15/2021
1.13%
1,384,390.60
1,384,781.40
94.53
4.33%
1,309,286.90
3,159.53
0.78%
(75,494.51)
A1/A+
A+
1.80
1.74
06051GJD2 BANK OF AMERICA CORP 1.319
06/19/2026
700,000.00 07/16/2021
1.27%
701,274.00
700,259.26
97.05
5.91%
679,336.64
1,846.60
0.41%
(20,922.62)
A1/A-
AA-
1.80
0.77
57629WDE7 MASSMUTUAL GLOBAL FUNDING II
1.2 07/16/2026
1,000,000.00 08/19/2021
1.15%
1,002,230.00
1,000,851.84
94.23
4.45%
942,337.06
1,500.00
0.56%
(58,514.78)
Aa3/AA+
AA+
1.87
1.81
58989V2D5 MET TOWER GLOBAL FUNDING 1.25
09/14/2026
770,000.00 09/07/2021
1.27%
769,291.60
769,711.75
93.82
4.47%
722,433.37
4,464.93
0.43%
(47,278.39)
Aa3/AA-
AA-
2.04
1.95
931142ER0 WALMART INC 1.05 09/17/2026 350,000.00 09/08/2021
1.09%
349,338.50
349,729.75
94.21
4.04%
329,718.11
1,674.17
0.20%
(20,011.64)
Aa2/AA
AA
2.05
1.97
61690U7W4 MORGAN STANLEY BANK NA 5.882
10/30/2026
1,000,000.00 --
5.88%
1,000,082.50
1,000,058.91
103.04
4.39%
1,030,438.95
19,770.06
0.61%
30,380.04
Aa3/A+
AA-
2.16
1.91
59217GER6 METROPOLITAN LIFE GLOBAL
FUNDING I 1.875 01/11/2027
1,115,000.00 01/03/2022
1.90%
1,113,728.90
1,114,399.95
94.57
4.33%
1,054,404.40
2,903.65
0.63%
(59,995.55)
Aa3/AA-
AA-
2.36
2.26
17275RBQ4 CISCO SYSTEMS INC 4.8 02/26/2027 2,000,000.00 --
4.71%
2,004,911.40
2,004,114.26
101.62
4.11%
2,032,403.74
1,333.33
1.21%
28,289.48
A1/AA-
NA
2.49
2.25
808513BY0 CHARLES SCHWAB CORP 2.45
03/03/2027
960,000.00 03/01/2022
2.46%
959,729.90
959,862.43
95.23
4.49%
914,193.51
11,629.33
0.55%
(45,668.92)
A2/A-
A
2.50
2.38
24422EXM6 JOHN DEERE CAPITAL CORP 4.85
03/05/2027
2,000,000.00 03/11/2024
4.77%
2,004,220.00
2,003,552.25
101.52
4.21%
2,030,359.38
46,883.33
1.21%
26,807.13
A1/A
A+
2.51
2.29
24
HOLDINGS REPORT
City of Cupertino | Account #10659 | As of August 31, 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
084664CZ2 BERKSHIRE HATHAWAY FINANCE
CORP 2.3 03/15/2027
1,615,000.00 03/07/2022
2.30%
1,614,693.15
1,614,844.56
95.95
4.00%
1,549,590.45
17,127.97
0.92%
(65,254.11)
Aa2/AA
A+
2.54
2.40
857477CL5 STATE STREET CORP 4.993
03/18/2027
1,760,000.00 03/13/2024
4.99%
1,760,000.00
1,760,000.00
101.60
4.32%
1,788,078.37
39,788.66
1.07%
28,078.37
A1/A
AA-
2.54
2.24
89115A2W1 TORONTO-DOMINION BANK 4.98
04/05/2027
1,340,000.00 03/26/2024
4.98%
1,340,000.00
1,340,000.00
101.36
4.41%
1,358,284.97
27,063.53
0.81%
18,284.97
A1/A
AA-
2.59
2.36
57629W4S6 MASSMUTUAL GLOBAL FUNDING II
5.1 04/09/2027
1,000,000.00 06/20/2024
4.99%
1,002,630.00
1,002,451.91
102.18
4.20%
1,021,829.93
20,116.67
0.61%
19,378.02
Aa3/AA+
AA+
2.61
2.37
06051GHT9 BANK OF AMERICA CORP 3.559
04/23/2027
1,150,000.00 --
4.29%
1,114,222.54
1,129,950.11
98.23
5.31%
1,129,600.71
14,552.36
0.67%
(349.40)
A1/A-
AA-
2.64
1.55
665859AW4 NORTHERN TRUST CORP 4.0
05/10/2027
670,000.00 05/05/2022
4.03%
668,914.60
669,416.88
99.59
4.16%
667,263.75
8,263.33
0.40%
(2,153.13)
A2/A+
A+
2.69
2.49
14913UAL4 CATERPILLAR FINANCIAL SERVICES
CORP 5.0 05/14/2027
1,000,000.00 05/10/2024
5.04%
998,930.00
999,036.61
102.07
4.18%
1,020,666.46
14,861.11
0.61%
21,629.85
A2/A
A+
2.70
2.47
91324PEG3 UNITEDHEALTH GROUP INC 3.7
05/15/2027
675,000.00 05/17/2022
3.69%
675,316.70
675,168.91
98.91
4.13%
667,610.55
7,353.75
0.40%
(7,558.36)
A2/A+
A
2.70
2.51
437076DB5 HOME DEPOT INC 4.875 06/25/2027 1,350,000.00 06/17/2024
4.96%
1,346,913.30
1,347,104.99
101.93
4.14%
1,376,114.32
12,065.63
0.82%
29,009.33
A2/A
A
2.82
2.51
46647PEA0 JPMORGAN CHASE & CO 5.04
01/23/2028
1,500,000.00 03/11/2024
5.02%
1,500,780.00
1,500,651.74
101.20
5.07%
1,518,020.28
7,980.00
0.91%
17,368.54
A1/A-
AA-
3.40
2.22
57636QAW4 MASTERCARD INC 4.875 03/09/2028 945,000.00 03/06/2023
4.90%
944,083.35
944,355.28
102.73
4.04%
970,769.25
22,010.63
0.58%
26,413.97
Aa3/A+
NA
3.52
3.07
61690U8E3 MORGAN STANLEY BANK NA 4.968
07/14/2028
1,950,000.00 07/17/2024
4.97%
1,950,000.00
1,950,000.00
101.24
4.93%
1,974,274.52
11,302.20
1.18%
24,274.52
Aa3/A+
AA-
3.87
2.63
74340XBL4 PROLOGIS LP 4.375 02/01/2029 1,500,000.00 07/18/2024
4.68%
1,481,235.00
1,481,732.99
99.94
4.39%
1,499,140.34
5,468.75
0.89%
17,407.35
A3/A
WR
4.42
3.96
743315AV5 PROGRESSIVE CORP 4.0 03/01/2029 1,500,000.00 07/16/2024
4.72%
1,455,495.00
1,456,707.81
98.99
4.25%
1,484,919.60
30,000.00
0.89%
28,211.79
A2/A
A
4.50
4.07
64952WFG3 NEW YORK LIFE GLOBAL FUNDING
5.0 06/06/2029
1,000,000.00 07/01/2024
5.12%
994,880.00
995,053.51
102.92
4.31%
1,029,206.64
11,805.56
0.61%
34,153.13
Aaa/AA+
AAA
4.76
4.16
437076DC3 HOME DEPOT INC 4.75 06/25/2029 1,000,000.00 07/01/2024
4.93%
992,260.00
992,519.56
102.24
4.23%
1,022,388.17
8,708.33
0.61%
29,868.61
A2/A
A
4.82
4.17
25
HOLDINGS REPORT
City of Cupertino | Account #10659 | As of August 31, 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
756109CB8 REALTY INCOME CORP 4.0
07/15/2029
1,463,000.00 08/08/2024
4.69%
1,419,212.41
1,419,771.61
97.55
4.57%
1,427,220.68
7,477.56
0.85%
7,449.07
A3/A-
NA
4.87
4.34
713448FX1 PEPSICO INC 4.5 07/17/2029 1,500,000.00 07/15/2024
4.53%
1,497,675.00
1,497,733.57
102.00
4.04%
1,530,068.72
8,250.00
0.91%
32,335.14
A1/A+
NA
4.88
4.26
171239AL0 CHUBB INA HOLDINGS LLC 4.65
08/15/2029
865,000.00 08/12/2024
4.52%
869,887.39
869,841.10
101.47
4.32%
877,734.72
3,463.60
0.52%
7,893.62
A3/A
A
4.96
4.30
30303M8S4 META PLATFORMS INC 4.3
08/15/2029
912,000.00 08/12/2024
4.33%
910,584.09
910,597.27
100.68
4.15%
918,167.65
2,396.53
0.55%
7,570.37
Aa3/AA-
NA
4.96
4.34
Total Corporate 47,845,000.00 3.54%
47,675,623.13
47,695,679.88
99.10
4.49%
47,376,361.90
427,477.82
28.26%
(319,317.98)
A1/A+
A+
2.71
2.34
MONEY MARKET
FUND
992995944 WC MMF SWEEP 51,354.16 --
2.85%
51,354.16
51,354.16
1.00
2.85%
51,354.16
0.00
0.03%
0.00
NA/NA
NA
0.00
0.00
VP4520004 WF ADV 100% TREAS MM FD-SVC
CL #008
1,513,876.68 --
0.01%
1,513,876.68
1,513,876.68
1.00
0.01%
1,513,876.68
0.00
0.90%
0.00
Aaa/
AAAm
NA
0.00
0.00
Total Money Market
Fund 1,565,230.84 0.10%
1,565,230.84
1,565,230.84
1.00
0.10%
1,565,230.84
0.00
0.93%
0.00
Aaa/AAA
NA
0.00
0.00
SUPRANATIONAL
45950KCT5 INTERNATIONAL FINANCE CORP
0.375 07/16/2025
2,500,000.00 05/27/2021
0.66%
2,471,150.00
2,493,908.17
96.52
4.51%
2,412,933.55
1,171.88
1.44%
(80,974.62)
Aaa/AAA
NA
0.87
0.85
459058JL8 INTERNATIONAL BANK FOR
RECONSTRUCTION AND DEVELOPM
0.5 10/28/2025
2,400,000.00 --
0.60%
2,388,859.25
2,397,261.58
95.73
4.34%
2,297,441.86
4,100.00
1.37%
(99,819.72)
Aaa/AAA
NA
1.16
1.12
4581X0DV7 INTER-AMERICAN DEVELOPMENT
BANK 0.875 04/20/2026
2,460,000.00 04/13/2021
0.97%
2,448,733.20
2,456,322.56
94.89
4.15%
2,334,288.69
7,832.71
1.39%
(122,033.87)
Aaa/AAA
NA
1.64
1.58
Total Supranational 7,360,000.00 0.74%
7,308,742.45
7,347,492.30
95.72
4.33%
7,044,664.09
13,104.58
4.20%
(302,828.21)
Aaa/AAA
NA
1.22
1.18
26
HOLDINGS REPORT
City of Cupertino | Account #10659 | As of August 31, 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
US TREASURY
912828ZC7 UNITED STATES TREASURY 1.125 1,500,000.00 03/18/2020 1,523,144.53 98.23 1,473,457.04 0.88%Aaa/AA+0.50
02/28/2025 0.81%1,502,305.49 4.81%46.62 (28,848.45)AA+0.48
91282CED9 UNITED STATES TREASURY 1.75 3,100,000.00 --3,057,617.20 98.48 3,052,803.71 1.82%Aaa/AA+0.54
03/15/2025 2.23%3,092,334.27 4.68%25,061.14 (39,530.56)AA+0.52
912828ZL7 UNITED STATES TREASURY 0.375 2,500,000.00 03/21/2022 2,360,839.85 97.25 2,431,308.60 1.45%Aaa/AA+0.66
04/30/2025 2.22%2,470,451.46 4.67%3,158.97 (39,142.86)AA+0.64
91282CAB7 UNITED STATES TREASURY 0.25 1,500,000.00 03/12/2021 1,469,765.63 96.31 1,444,628.91 0.86%Aaa/AA+0.91
07/31/2025 0.72%1,493,703.54 4.44%326.09 (49,074.63)AA+0.89
91282CAM3 UNITED STATES TREASURY 0.25 2,400,000.00 --2,366,140.63 95.75 2,297,906.26 1.37%Aaa/AA+1.08
09/30/2025 0.56%2,392,015.75 4.35%2,524.59 (94,109.49)AA+1.05
91282CAT8 UNITED STATES TREASURY 0.25 2,450,000.00 --2,422,492.19 95.48 2,339,271.49 1.40%Aaa/AA+1.17
10/31/2025 0.49%2,443,298.79 4.29%2,063.86 (104,027.30)AA+1.13
91282CAZ4 UNITED STATES TREASURY 0.375 2,250,000.00 03/26/2021 2,209,658.20 95.36 2,145,585.94 1.28%Aaa/AA+1.25
11/30/2025 0.76%2,239,246.91 4.25%2,143.95 (93,660.98)AA+1.21
91282CBH3 UNITED STATES TREASURY 0.375 2,500,000.00 05/27/2021 2,456,445.31 94.88 2,371,875.00 1.41%Aaa/AA+1.42
01/31/2026 0.75%2,486,824.01 4.16%815.22 (114,949.01)AA+1.38
91282CBW0 UNITED STATES TREASURY 0.75 2,500,000.00 05/27/2021 2,493,652.34 94.76 2,368,945.30 1.41%Aaa/AA+1.66
04/30/2026 0.80%2,497,860.58 4.05%6,317.93 (128,915.28)AA+1.61
91282CCZ2 UNITED STATES TREASURY 0.875 1,400,000.00 10/18/2021 1,379,054.68 94.03 1,316,437.50 0.79%Aaa/AA+2.08
09/30/2026 1.19%1,391,202.27 3.90%5,154.37 (74,764.77)AA+2.01
91282CDG3 UNITED STATES TREASURY 1.125 1,400,000.00 11/15/2021 1,391,468.75 94.30 1,320,265.63 0.79%Aaa/AA+2.17
10/31/2026 1.25%1,396,274.36 3.90%5,307.07 (76,008.72)AA+2.09
91282CJP7 UNITED STATES TREASURY 4.375 2,500,000.00 12/28/2023 2,525,097.66 101.08 2,526,953.13 1.51%Aaa/AA+2.29
12/15/2026 4.01%2,519,368.34 3.87%23,309.43 7,584.78 AA+2.14
91282CKJ9 UNITED STATES TREASURY 4.5 2,300,000.00 04/17/2024 2,283,109.38 101.65 2,338,003.91 1.39%Aaa/AA+2.62
04/15/2027 4.77%2,285,212.97 3.83%39,307.38 52,790.94 AA+2.41
91282CKR1 UNITED STATES TREASURY 4.5 3,200,000.00 05/08/2024 3,186,500.00 101.70 3,254,249.98 1.94%Aaa/AA+2.70
05/15/2027 4.65%3,187,843.84 3.83%42,652.17 66,406.15 AA+2.49
91282CEW7 UNITED STATES TREASURY 3.25 3,250,000.00 --3,260,312.50 98.53 3,202,265.63 1.91%Aaa/AA+2.83
06/30/2027 3.18%3,255,679.72 3.80%18,082.54 (53,414.09)AA+2.65
27
HOLDINGS REPORT
City of Cupertino | Account #10659 | As of August 31, 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
91282CFB2 UNITED STATES TREASURY 2.75
07/31/2027
400,000.00 08/22/2022
3.12%
393,218.75
396,001.96
97.10
3.81%
388,406.25
956.52
0.23%
(7,595.71)
Aaa/AA+
AA+
2.91
2.75
91282CFH9 UNITED STATES TREASURY 3.125
08/31/2027
4,500,000.00 --
3.28%
4,468,902.34
4,481,269.50
98.12
3.80%
4,415,273.46
388.47
2.63%
(65,996.04)
Aaa/AA+
AA+
3.00
2.82
91282CFM8 UNITED STATES TREASURY 4.125
09/30/2027
3,450,000.00 --
4.31%
3,421,152.34
3,431,953.48
101.02
3.77%
3,485,039.06
59,880.12
2.08%
53,085.58
Aaa/AA+
AA+
3.08
2.82
91282CFZ9 UNITED STATES TREASURY 3.875
11/30/2027
850,000.00 12/05/2022
3.81%
852,656.25
851,729.48
100.26
3.79%
852,191.40
8,369.36
0.51%
461.92
Aaa/AA+
AA+
3.25
2.99
91282CGC9 UNITED STATES TREASURY 3.875
12/31/2027
2,750,000.00 --
3.67%
2,775,107.42
2,766,980.38
100.32
3.77%
2,758,808.58
18,243.04
1.65%
(8,171.80)
Aaa/AA+
AA+
3.33
3.07
91282CGH8 UNITED STATES TREASURY 3.5
01/31/2028
3,000,000.00 02/07/2023
3.81%
2,957,929.69
2,971,143.19
99.10
3.78%
2,973,046.86
9,130.43
1.77%
1,903.67
Aaa/AA+
AA+
3.42
3.17
91282CGP0 UNITED STATES TREASURY 4.0
02/29/2028
3,700,000.00 --
4.01%
3,699,113.28
3,699,473.36
100.73
3.77%
3,727,171.88
408.84
2.22%
27,698.52
Aaa/AA+
AA+
3.50
3.23
91282CKG5 UNITED STATES TREASURY 4.125
03/31/2029
2,300,000.00 04/17/2024
4.62%
2,249,867.19
2,253,638.24
101.58
3.75%
2,336,296.88
39,920.08
1.39%
82,658.63
Aaa/AA+
AA+
4.58
4.07
91282CKX8 UNITED STATES TREASURY 4.25
06/30/2029
2,000,000.00 07/01/2024
4.41%
1,985,546.88
1,986,030.24
102.22
3.74%
2,044,375.00
14,551.63
1.22%
58,344.76
Aaa/AA+
AA+
4.83
4.31
Total US Treasury 57,700,000.00 2.85%
57,188,792.99
57,491,842.10
98.62
4.01%
56,864,567.38
328,119.82
33.92%
(627,274.72)
Aaa/AA+
AA+
2.40
2.23
Total Portfolio 170,011,066.68 3.03%
168,866,440.12
169,101,423.17
97.65
4.26%
167,623,776.34
965,903.79
100.00%
(1,477,646.83)
Aa2/AA-
AA
2.44
2.06
Total Market Value +
Accrued 168,589,680.13
28
TRANSACTIONS
29
TRANSACTION LEDGER
City of Cupertino | Account #10659|08/01/2024 Through 08/31/2024|
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 08/09/2024 756109CB8 1,463,000.00 REALTY INCOME CORP
4.0 07/15/2029
97.007 4.69%(1,419,212.41)(3,901.33)(1,423,113.74)0.00
Purchase 08/15/2024 30303M8S4 667,000.00 META PLATFORMS INC
4.3 08/15/2029
99.852 4.33%(666,012.84)(478.02)(666,490.86)0.00
Purchase 08/15/2024 30303M8S4 245,000.00 META PLATFORMS INC
4.3 08/15/2029
99.825 4.34%(244,571.25)(175.58)(244,746.83)0.00
Purchase 08/15/2024 171239AL0 604,000.00 CHUBB INA HOLDINGS
LLC 4.65 08/15/2029
100.584 4.52%(607,527.36)(1,170.25)(608,697.61)0.00
Purchase 08/15/2024 171239AL0 80,000.00 CHUBB INA HOLDINGS
LLC 4.65 08/15/2029
100.562 4.52%(80,449.60)(155.00)(80,604.60)0.00
Purchase 08/15/2024 171239AL0 181,000.00 CHUBB INA HOLDINGS
LLC 4.65 08/15/2029
100.503 4.53%(181,910.43)(350.69)(182,261.12)0.00
Total Purchase 3,240,000.00 (3,199,683.89)(6,230.87)(3,205,914.76)0.00
TOTAL
ACQUISITIONS 3,240,000.00 (3,199,683.89)(6,230.87)(3,205,914.76)0.00
DISPOSITIONS
Sale 08/09/2024 06406RBC0 (1,370,000.00)BANK OF NEW YORK
MELLON CORP 3.35
04/25/2025
98.850 3.35%1,354,245.00 13,258.56 1,367,503.56 (15,709.63)
Sale 08/13/2024 89236TJT3 (1,215,000.00)TOYOTA MOTOR
CREDIT CORP 1.45
01/13/2025
98.386 1.50%1,195,389.90 1,468.13 1,196,858.03 (19,382.82)
Sale 08/14/2024 78016EZ59 (1,050,000.00)ROYAL BANK OF
CANADA 3.375
04/14/2025
98.871 3.39%1,038,145.50 11,812.50 1,049,958.00 (11,768.36)
Total Sale (3,635,000.00)3,587,780.40 26,539.19 3,614,319.59 (46,860.82)
TOTAL
DISPOSITIONS (3,635,000.00)3,587,780.40 26,539.19 3,614,319.59 (46,860.82)
30
TRANSACTION LEDGER
City of Cupertino | Account #10659|08/01/2024 Through 08/31/2024|
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
31
IMPORTANT DISCLOSURES
City of Cupertino | Account #10659 | As of August 31, 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.
32
ASSET CLASS 10-YEAR SNAPSHOT DISCLOSURE
US Small Cap Stocks –Morgan Stanley Capital International (MSCI)Small Cap 1750 –
The MSCI Small Cap 1750 is a market capitalization weighted index that measures the
performance of small capitalization U.S.stocks.
US Mid Cap Stocks –Morgan Stanley Capital International (MSCI)Mid Cap 450 –
The MSCI Mid Cap 450 is a market capitalization weighted index that measures the performance
of mid-capitalization U.S.stocks.
US Large Cap Stocks –Standard &Poor’s 500 –The S&P 500 is a market value weighted index of
500 large capitalization stocks.The 500 companies included in the index capture approximately
80%of available U.S.market capitalization.
International Stocks –Morgan Stanley Capital International (MSCI)EAFE –The MSCI EAFE
International Equity Index is a market capitalization weighted index that captures international
equity performance of large and mid-cap stocks in the developed stock markets of Europe,
Australasia, and the Far East.
Emerging Market Stocks –Morgan Stanley Capital International (MSCI)Emerging Markets –The
MSCI Emerging Markets Index is a market capitalization weighted index that captures equity
performance of large and mid-cap stocks across emerging market countries.
U.S.Real Estate –Morgan Stanley Capital International (MSCI)REIT –The MSCI US REIT Index is a
free float-adjusted market capitalization index that is comprised of equity REITs.It represents
about 99%of the US REIT universe and securities are classified in the REIT sector according to the
Global Industry Classification Standard (GICS®).It excludes Mortgage REITs and selected
Specialized REITs.
International Real Estate –S&P Developed Ex-US Property –The S&P Developed Ex-US Property
Index is a market capitalization weighted index that captures the performance of a universe of
publicly traded property companies based in developing countries outside of the US.The
companies included are engaged in real estate related activities, such as property ownership,
management,development,rental and investment.
US Core Bonds –ICE BofA US Corporate,Government, Mortgage –The ICE BofA US Corporate,
Government,Mortgage index is a broad measure of US investment grade bond performance,
including US Treasuries, agencies,investment-grade corporates and mortgage securities.
US High Yield Bonds –ICE BofA US High Yield –The ICE BofA High Yield Bond Index measures the
market of USD-denominated,non-investment grade,fixed-rate,taxable corporate bonds.
International Bonds –Bloomberg Barclays Global Aggregate ex-USD Total Return Index Value
Unhedged USD –Index from 2/1/2013 –current.This index measures the performance of global
investment grade debt from 24 local currency markets.This multi-currency benchmark includes
treasury,government-related,corporate and securitized fixed-rate bonds from both developed
and emerging markets issuers.S&P Citigroup International Govt Bond –Index from 1/1/2009 –
1/31/2013.This index measures the performance of sovereign bonds of non-U.S.developed
countries.
Diversified Commodities –S&P GSCI Commodity Index –The S&P GSCI Commodity Index is a
world production-weighted measure of general commodity price movements and inflation in
the world economy.It consists of a basket of physical commodity futures contracts.
Source ICE Data Indices,LLC ("ICE"),used with permission.ICE permits the use of 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 representation,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
is at licensee’s own risk.ICE data,its affiliates and their respective third party do not sponsor,endorse,or
recommend Chandler,or any of its products or services.
Bloomberg® and Bloomberg Barclays Global Aggregate ex-USD Total Return Index Value Unhedged USD are
service marks of Bloomberg Finance L.P.and its affiliates,including Bloomberg Index Services Limited
("BISL"),the administrator of the index (collectively,"Bloomberg") and have been licensed for use for certain
purposes by Chandler Asset Management Inc.Bloomberg is not affiliated with Chandler Asset Management
Inc.,and Bloomberg does not approve,endorse, review,or recommend this product.Bloomberg does not
guarantee the timeliness,accurateness,or completeness of any data or information relating to this product.
Morgan Stanley Capital International®(MSCI),the MSCI indices are service marks of Morgan Stanley Capital
International and its affiliates,and have been licensed for use for certain purposes by Chandler Asset
Management Inc.MSCI is not affiliated with Chandler Asset Management Inc.,and MSCI does not approve,
endorse,review,or recommend these products.MSCI does not guarantee the timeliness,accurateness,or
completeness of any data or information relating to these products.
Disclosure:This report is provided for informational purposes only and should not be construed as 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.
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 judgement.
All investments contain risk and may lose value.Fixed income investments are subject to interest rate,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.International:Non-US markets may be more volatile due to a variety of factors including less
liquidity,transparency and oversight of companies and assets.Values of non-US investments may fluctuate
due to changes in currency exchange rates.Non-US companies are also subject to risks that come with
political and economic stability that may affect their respective countries.These risks may be greater in
emerging market countries.Equities:Investments on equities are subject to risks from stock market
fluctuations that occur in response to economic and business developments.
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BENCHMARK DISCLOSURES
City of Cupertino | Account #10659 | As of August 31, 2024
Benchmark Disclosure
ICE BofA 1-3 Yr US Treasury & Agency Index The ICE BofA 1-3 Year US Treasury & Agency Index tracks the performance of US dollar denominated US Treasury and
nonsubordinated US agency debt issued in the US domestic market. Qualifying securities must have an investment grade rating
(based on an average of Moody’s, S&P and Fitch). 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 maturity at time of issuance, a fixed
coupon schedule, and a minimum amount outstanding of $1 billion for sovereigns and $250 million for agencies.
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