5,359,322 5,359,322 5,359,322
47,853,723 47,581,034 47,853,723 0.63 4.232%
California CLASS 97,009,278 97,009,278 97,009,278 5.421% Investments 254,089,450 248,155,217 256,449,338 2.27 3.176% 2.06 404,311,773 398,104,851 406,671,661
Total Funds with Fiscal Agents 2,772,560
Total Investment Portfolio 400,877,411
1. I hereby certify that the investments are in compliance with the investment policy adopted by the City Council. There are no items of non-compliance for this period.
3. Th
e market value for LAIF is provided by the State Treasurer's Office.
4. T
he market values for investments held by fiscal agents are provided by each respective trustee or fiscal agent.
5. Th
e value of LAIF incorporates accrued interest receivable provided by the City's investment advisors.
6. Th
e City has the ability to meet its budgeted expenditures for the next six months pending any future action by City Council or any unforeseen catastrophic event. /S/ Launa Jimenez
City Treasurer
2. Th e market values for the investments in the General Portfolio are provided by the City's investment advisors.
CITY OF MORENO VALLEY
Treasurer's Cash and Investments Report
March 2024
Bank Accounts
State of California LAIF Pool
Par Value
Average Maturity
(in years)
Average Yield
to Maturity
Average
Duration
(in years)Cost Value Market ValueGeneral Portfolio
CITY OF MORENO VALLEY
Treasurer's Cash and Investments Report
Asset Balance (par) Avg YTM (2) Balance Yield Balance Yield Asset Balance (par) Investment
Portfolio (4)
Benchmark 1-5
Gov(5)
Apr 21 258,986,067 1.14% 83,309,833 0.339% 163,515,676 1.64% 1.10% 0.34% May 21 293,505,179 1.01% 122,550,449 0.315% 163,706,976 1.59% 0.83% 0.25% Jun 21 300,785,514 0.95% 129,050,449 0.262% 164,046,885 1.54% 0.31% -0.09% Jul 21 289,495,404 0.96% 110,832,982 0.221% 174,080,540 1.45% 0.39% 0.04% Aug 21 286,942,097 0.93% 106,832,983 0.221% 174,309,851 1.40% 0.29% 0.01% Sep 21 288,344,781 0.92% 106,832,983 0.206% 174,624,047 1.38% 0.02% -0.27% Oct 21 288,711,262 0.91% 106,900,067 0.203% 174,923,444 1.38% -0.42% -0.63% Nov 21 294,654,846 0.92% 100,300,067 0.203% 184,906,704 1.35% -0.62% -0.71% Dec 21 294,627,511 0.94% 92,300,067 0.212% 195,311,898 1.32% -0.95% -1.05% Jan 22 294,969,319 0.94% 92,358,252 0.234% 195,595,521 1.30% -1.88% -1.92% Feb 22 324,897,541 0.98% 107,358,252 0.278% 205,732,226 1.34% -2.02% -2.01% Mar 22 325,131,296 0.99% 107,658,252 0.365% 206,012,398 1.35% -3.64% -3.70% Apr 22 324,515,844 1.06% 107,738,556 0.523% 206,412,804 1.36% -4.72% -4.76% May 22 346,565,395 1.12% 115,338,556 0.684% 216,762,042 1.40% -4.39% -4.33% Jun 22 383,476,803 1.19% 162,579,173 0.861% 217,107,439 1.40% -4.79% -4.74% Jul 22 369,199,807 1.28% 141,304,379 1.090% 217,349,391 1.44% -4.38% -4.36% Aug 22 370,452,358 1.41% 146,304,379 1.276% 217,602,629 1.48% -5.38% -5.50% Sep 22 372,470,167 1.54% 151,304,379 1.513% 217,877,998 1.51% -6.67% -6.91% Oct 22 380,053,901 1.69% 149,798,931 1.772% 218,428,420 1.59% -6.48% -6.66% Nov 22 376,300,861 1.80% 145,798,931 2.007% 218,675,380 1.60% -5.30% -5.59% Dec 22 373,294,517 1.93% 150,798,931 2.173% 219,057,237 1.62% -4.99% -5.30% Jan 23 384,155,072 2.10% 148,573,248 2.425% 229,475,983 1.67% -3.15% -3.36% Feb 23 396,819,683 2.18% 153,573,248 2.624% 229,652,364 1.75% -3.61% -4.07% Mar 23 385,367,736 2.41% 139,573,248 2.831% 240,071,115 1.81% -0.25% -0.40% Apr 23 392,130,838 2.50% 133,568,086 2.870% 250,640,411 1.89% 1.11% 0.96% May 23 393,035,454 2.59% 117,568,086 2.993% 260,980,803 1.97% 0.10% -0.20% Jun 23 401,600,214 2.89% 124,116,027 3.167% 272,037,037 2.07% 0.25% -0.24% Jul 23 392,167,170 2.92% 107,575,030 3.296% 272,444,923 2.14% -0.17% -0.65% Aug 23 367,750,075 2.97% 84,575,030 3.434% 273,304,577 2.21% 1.22% 0.86% Sep 23 371,172,113 3.16% 93,575,029 3.534% 273,977,067 2.35% 2.56% 2.30% Oct 23 382,761,429 3.22% 99,466,248 3.670% 274,376,978 2.41% 2.89% 2.60% Nov 23 375,964,757 3.31% 97,466,247 3.843% 274,739,732 3.15% 3.31% 2.99% Dec 23 379,752,092 3.34% 97,466,248 3.929% 275,892,133 3.22% 4.70% 4.48% Jan 24 403,275,278 3.28% 102,929,639 4.012% 276,491,973 3.30% 4.11% 3.73% Feb 24 410,683,320 2.68% 57,128,309 5.440% 73,426,639 4.122% 255,895,778 3.18% 4.52% 4.25% Mar 24 406,671,661 2.48% 97,009,278 5.421% 47,853,723 4.232% 256,449,338 3.18% 3.32% 2.68% Notes:
PORTFOLIO PERFORMANCE - 36 MONTH TREND
Period
Total General Portfolio (1) Local Agency Investment Fund (LAIF) Chandler Asset Management (CAM) Rate of Return (3)
Weighted Avg
YTM (2)
California CLASS
(1) Total General Portfolio includes all assets that comprise the City's Investment Portfolio which is LAIF, California CLASS as well as assets managed by Chandler Asset Management. (2) Yield to Maturity (YTM): The rate of return on an investment or security if it were to be held until maturity. This yield does not reflect changes in the market value of a security. (4) The Rate of Return for the investment portfolio reflects the performance of the portfolio during the past twelve months. (5) The portfolio benchmark is the ICE Bank of America-Merrill Lynch 1 to 5 year Government Index. (3) Rate of Return represents the gain or loss on an investment or portfolio of investments over a specified period, expressed as a percentage of increase over the initial investment cost. Gains on investments are considered to be any income received from the security or portfolio plus any realized capital gain. This measure of return recognizes the changes in market values of a security or portfolio of securities.
CITY OF MORENO VALLEY
Treasurer's Cash and Investments Report
10/1/2023
########
260817451 273977067
0 /S/ Launa Jimenez
45230 2014136
PORTFOLIO CHARACTERISTICS
The portfolio invested in LAIF and California CLASS represents th e City's immediate cash liquidity needs and is managed by City staff in a manner to fund the day to day operations of the City.
The portfolio managed by Chandler is comprised of idle cash bala nces related to funds that generally expect to expend cash with the next 12 to 60 months. 10203040
5060708090100
110
120130140150160170180
190200210220230240250
260270280290300310320
330340350360370380390
400410420
Millions
Portfolio Balances Trend ($)
LAIF
Chandler
CA Class
$
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
Benchmark Comparison
Ice BAML Government 1-5 Index City Portfolio
0.00%
0.25%
0.50%
0.75%
1.00%
1.25%
1.50%
1.75%
2.00%
2.25%
2.50%
2.75%
3.00%
3.25%
3.50%
3.75%
4.00%
4.25%
4.50%
4.75%
5.00%
5.25%
5.50%
5.75%
Avg Yield to Maturity Trend
LAIF Chandler CA Class
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Portfolio Balances Trend (%)
LAIF
Chandler
CA Class
CITY OF MORENO VALLEY
Treasurer's Cash and Investments Report
Trustee 45200
Investment
Type Issuer Value Date Maturity Date Market Value
Stated
Rate Yield Price
% of of
Portfolio
Wells Fargo 2014 Partial Refunding of the 2005 Lease Revenue Bonds Money Market WF Government Fund 3/31/2024 4/1/2024 $ 2,366 0.03% 0.03% 1.00 0.09% Wells Fargo 2017 Ref unding of the 2007 RDA TABs Money Market WF Government Fund 3/31/2024 4/ 1/2024 $ 2,259 0.02% 0.02% 1. 00 0.08% Wells Fargo 2019 Taxable Lease Revenue Bonds (Electric Utility) Money Market WF Government Fund 3/31/2024 4/1/2024 $ 2,757,445 0.02% 0.02% 1.00 99.45% Wilmington Trust 2020 Taxable Refunding of the 2013 TRIP COPs Money Market Federated Hermes Gov Fund 3/31/2024 4/1/2024 $ 9,844 0.03% 0.03% 1.00 0.36% Wells Fargo 2021 Taxable Refunding Lease Revenue Bonds (Electric Utility) Money Mark et WF Government Fund 3/31/2024 4/1/2024 $ 646 0.02% 0.02% 1.00 0.02% Total 2,772,560$ 100%
Trustee Bond Description Construction fund Debt Service Reserve &
Other Total
Wells Fargo 2014 Partial Refunding of the 2005 Lease Revenue Bonds $0 $2,366 $0 $2,366 Wells Fargo 2017 Refunding of the 2007 RDA TABs $0 $2,259 $0 $2,259 Wells Fargo 2019 Taxable Lease Revenue Bonds (Electric Utility) $2,756,830 $615 $0 $2,757,445 Wilmington Trust 2020 Taxable Re funding of the 2013 TRIP COPs $0 $9,844 $0 $9,844 Wells Fargo 2021 Taxable Re funding Lease Revenue Bonds (Electric Utility) $0 $646 $0 $646 Total $2,756,830 $15,730 $0 $2,772,560
FUNDS WITH FISCAL AGENTS
By Investment Type
By Fund Purpose
CITY OF MORENO VALLEY
Treasurer's Cash and Investments Report
Account Name Account Number Investment Issuer Value Date Maturity Date Market Value Stated
Rate Yield Price
% of of
Portfolio
Wells Fargo 2014 Partial Refunding of the 2005 Lease Revenue Bonds Revenue fund 83478300 Money Market WF Gov Fund 03/31/24 04/01/24 2,366 0.03% 0.03% 1.000 0.085% Interest fund 83478301 Money Market WF Gov Fund 03/31/24 04/01/24 -
0.00% 0.00% 0.000 0.000%
Principal fund 83478302 Money Market WF Gov Fund 03/31/24 04/01/24 -
0.00% 0.00% 0.000 0.000%
2,366
Wells Fargo 2017 Refunding of the 2007 RDA TABs
Income fund 49150300 Money Market WF Gov Fund 03/31/24 04/01/24 2,259 0.02% 0.02% 1.000 0.081% Interest fund 49150301 Money Market WF Gov Fund 03/31/24 04/01/24 -
0.00% 0.00% 0.000 0.000%
Reserve fund 49150304 Money Market WF Gov Fund 03/31/24 04/01/24 -
0.00% 0.00% 0.000 0.000%
2,259
Wells Fargo 2019 Taxable Lease Revenue Bonds (Electric utility) Revenue fund 83056100 Money Market WF Gov Fund 03/31/24 04/01/24 615 0.02% 0.02% 1.000 0.022% Interest fund 83056101 Money Market WF Gov Fund 03/31/24 04/01/24 -
0.00% 0.00% 0.000 0.000%
Construction fund 83056103 Money Market WF Gov Fund 03/31/24 04/01/24 2,756,830 0.02% 0.02% 1.000 99.433% Reserve Fund 83056105 Money Market WF Gov Fund 03/31/24 04/01/24 -
0.00% 0.00% 0.000 0.000%
2,757,445
Wilmington Trust 2020 Taxable Refunding of the 2013 TRIP COPs Revenue fund 143629-000 Money Market Federated Gov Obl Fund 03/31/24 04/01/24 345 0.03% 0.03% 1.000 0.012% Interest fund 143629-001 Money Market Federated Gov Obl Fund 03/31/24 04/01/24 89
0.03% 0.03% 1.000 0.003%
Principal fund 143629-002 Money Market Federated Gov Obl Fund 03/31/24 04/01/24 -
0.00% 0.00% 0.000 0.000%
Reserve fund 143629-003 Money Market Federated Gov Obl Fund 03/31/24 04/01/24 -
0.00% 0.00% 0.000 0.000%
Admin fund 143629-004 Money Market Federated Gov Obl Fund 03/31/24 04/01/24 867
0.03% 0.03% 1.000 0.031%
Surplus fund 143629-005 Money Market Federated Gov Obl Fund 03/31/24 04/01/24 -
0.00% 0.00% 0.000 0.000%
Interest fund 144078-003 Money Market Federated Gov Obl Fund 03/31/24 04/01/24 8,543 0.03% 0.03% 1.000 0.308% 9,844
Wells Fargo 2021 Taxable Refunding Lease Revenue Bonds (Electric Utility) Revenue fund 83056107 Money Market WF Gov Fund 03/31/24 04/01/24 646 0.02% 0.02% 1.000 0.023% Interest fund 83056108 Money Market WF Gov Fund 03/31/24 04/01/24 -
0.00% 0.00% 0.000 0.000%
Principal fund 83056109 Money Market WF Gov Fund 03/31/24 04/01/24 -
0.00% 0.00% 0.000 0.000%
Reserve fund 83056111 Money Market WF Gov Fund 03/31/24 04/01/24 -
0.00% 0.00% 0.000 0.000%
646
T
otals 2,772,560 100.000%
Type Summary of Bond Proceeds with Fiscal Agents
1 Construction Funds 2,756,830
2 Principal & Interest Accounts 15,730
3 Debt Service Reserve Funds -
4 Custody Accounts -
5 Arbitrage Rebate Accounts -
6 Other Accounts -
T
otal Fiscal Agent Funds 2,772,560
FUNDS WITH FISCAL AGENTS
Construction Funds
Total Fiscal Agent Funds
Principal & Interest Accounts
Debt Service Reserve Funds
Custody Accounts
Arbitrage Rebate Accounts
Other Accounts
MONTHLY ACCOUNT STATEMENT
City of Moreno Valley | As of March 31, 2024
CHANDLER ASSET MANAGEMENT | 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.
Chandler Team:
For questions about your account, please call (800) 317-4747, or contact [email protected]
Custodian:
US Bank
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
PORTFOLIO SUMMARY
Portfolio Characteristics
Sector Allocation
Performance Review
Account Summary
Maturity Distribution
Top Issuers
Credit Quality
Total Rate of Return 1M 3M YTD 1YR 2YRS 3YRS 5YRS 10YRS Since Inception (06/01/10)
City of Moreno Valley 0.47% 0.30% 0.30% 3.32% 1.51% (0.23%) 1.26% 1.40% 1.53% Benchmark Return* 0.36% (0.01%) (0.01%) 2.45% 1.02% (0.58%) 0.96% 1.12% 1.22% Secondary Benchmark Return* 0.39% 0.06% 0.06% 2.68% 1.13% (0.51%) 1.05% 1.22% 1.36% Average Modified Duration 2.46
Average Coupon 2.56%
Average Purchase YTM 2.75%
Average Market YTM 4.86%
Average Quality AA
Average Final Maturity 2.80
Average Life 2.71
Beg. Values as of
03/01/2024
End Values as of
03/31/2024
Market Value 205,008,502.83 205,834,811.31
Accrued Interest 943,837.52 1,081,931.52
Total Market Value 205,952,340.35 206,916,742.82
Income Earned 466,048.78 389,496.76
Cont/WD (46,211.36) 0.00
Par 213,317,679.96 213,815,942.74
Book Value 211,931,419.52 212,275,999.24
Cost Value 211,812,774.36 212,130,822.55
United States 23.24%
FHLMC 15.76%
United States Department of The Trea 8.82%
FNMA 7.38%
Inter-American Development Bank 2.94%
International Bank for Recon and Dev 2.73%
Bank of America Corporation 1.89%
The World Bank Group 1.68%
*Periods over 1 year are annualized.
Benchmark: ICE BofA 1-5 Year Unsubordinated US Treasury & Agency Index Secondary Benchmark: ICE BofA 1-5 Year AAA-A Corp/Govt *See Footnote
The credit quality is a weighted average calculation of the highest of S&P , Moody’s’ and Fitch
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
STATEMENT OF COMPLIANCE
Rules Name Limit Actual Compliance
Status Notes
AGENCY MORTGAGE SECURITIES (CMOS)
Max % (MV) 20.0 0.0 Compliant
Max Maturity (Years) 5.0 0.0 Compliant
ASSET-BACKED SECURITIES (ABS)
Max % (MV) 20.0 6.0 Compliant
Max % Issuer (MV) 5.0 1.1 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
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 BANK DEPOSITS
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Years) 5.0 0.0 Compliant
COLLATERALIZED TIME DEPOSITS (NON-NEGOTIABLE
CD/TD)
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Years) 5.0 0.0 Compliant
COMMERCIAL PAPER
Max % (MV) 40.0 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 27.3 Compliant
Max % Issuer (MV) 5.0 1.9 Compliant
Max Maturity (Years) 5 4 Compliant
Min Rating (A- by 1) 0.0 0.0 Compliant
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
STATEMENT OF COMPLIANCE
Rules Name Limit Actual Compliance
Status Notes
FDIC INSURED TIME DEPOSITS (NON-NEGOTIABLE CD/
TD)
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Years) 5 0.0 Compliant
FEDERAL AGENCIES
Max % (MV) 100.0 15.0 Compliant
Max Maturity (Years) 5 4 Compliant
LOCAL AGENCY INVESTMENT FUND (LAIF)
Max % (MV) 100.0 0.0 Compliant
MONEY MARKET MUTUAL FUNDS
Max % (MV) 20.0 0.2 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) 100.0 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) 100.0 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
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
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
STATEMENT OF COMPLIANCE
Rules Name Limit Actual Compliance
Status Notes
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 Maturity (Years) 1.0 0.0 Compliant
REVERSE REPURCHASE AGREEMENTS
Max % (MV) 20.0 0.0 Compliant
Max Maturity (Days) 92.0 0.0 Compliant
SUPRANATIONAL OBLIGATIONS
Max % (MV) 30.0 8.5 Compliant
Max Maturity (Years) 5 2 Compliant
Min Rating (AA- by 1) 0.0 0.0 Compliant
U.S. TREASURIES
Max % (MV) 100.0 32.1 Compliant
Max Maturity (Years) 5 4 Compliant
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
HOLDINGS REPORT
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
44891WAC3 HALST 2022-A A3 1.16 01/15/2025 77,777.14 01/11/2022
1.16%
77,775.42
77,776.75
99.81 5.65%
77,631.94
40.10 0.04%
(144.81)
Aaa/AAA
NA
0.79 0.04
89238LAC4 TLOT 2022-A A3 1.96 02/20/2025 435,556.27 02/23/2022
1.96%
435,487.72
435,538.13
99.65 4.48%
434,038.66
260.85
0.21%
(1,499.47)
NA/AAA
AAA
0.89 0.11
36265MAC9 GMALT 2022-1 A3 1.9 03/20/2025 194,150.19 02/15/2022
1.91%
194,148.52
194,149.75
99.76 3.51%
193,678.09
112.72
0.09%
(471.66)
Aaa/NA
AAA
0.97 0.07
43813GAC5 HAROT 2021-1 A3 0.27 04/21/2025 27,078.67 02/17/2021
0.27%
27,078.17
27,078.58
99.43 4.70%
26,923.82
2.03 0.01%
(154.76)
Aaa/NA
AAA
1.06 0.15
89240BAC2 TAOT 2021-A A3 0.26 05/15/2025 107,146.11 02/02/2021
0.27%
107,126.22
107,142.46
99.49 4.63%
106,599.96
12.38 0.05%
(542.50)
Aaa/NA
AAA
1.12 0.14
02582JJT8 AMXCA 2022-2 A 05/17/2027 1,840,000.00 05/17/2022
3.42%
1,839,592.99
1,839,779.05
97.93 5.33%
1,801,987.07
2,772.27
0.88%
(37,791.98)
NA/AAA
AAA
1.12 1.60
44933LAC7 HART 2021-A A3 0.38 09/15/2025 113,533.69 04/20/2021
0.39%
113,521.75
113,530.80
99.18 5.26%
112,603.31
19.17 0.05%
(927.50)
NA/AAA
AAA
1.46 0.24
43815GAC3 HAROT 2021-4 A3 0.88 01/21/2026 334,159.28 11/16/2021
0.89%
334,088.84
334,131.79
97.56 5.98%
326,015.72
81.68 0.16%
(8,116.07)
Aaa/NA
AAA
1.81 0.67
47789QAC4 JDOT 2021-B A3 0.52 03/16/2026 329,246.13 07/13/2021
0.52%
329,216.77
329,235.33
97.64 5.58%
321,491.66
76.09 0.16%
(7,743.66)
Aaa/NA
AAA
1.96 0.53
89238JAC9 TAOT 2021-D A3 0.71 04/15/2026 321,349.10 11/09/2021
0.71%
321,342.26
321,346.33
97.44 6.15%
313,122.57
101.40
0.15%
(8,223.76)
NA/AAA
AAA
2.04 0.72
44935FAD6 HART 2021-C A3 0.74 05/15/2026 234,167.33 11/09/2021
0.75%
234,115.06
234,146.12
97.77 6.00%
228,943.41
77.02 0.11%
(5,202.71)
NA/AAA
AAA
2.12 0.66
43815BAC4 HAROT 2022-1 A3 1.88 05/15/2026 868,958.52 02/15/2022
1.89%
868,827.83
868,898.08
97.68 6.04%
848,763.75
726.06
0.41%
(20,134.33)
Aaa/AAA
NA
2.12 0.81
05602RAD3 BMWOT 2022-A A3 3.21
08/25/2026 563,921.22 05/10/2022
3.23%
563,891.90
563,905.81
98.48 5.71%
555,371.61
301.70
0.27%
(8,534.20)
Aaa/AAA
NA
2.40 0.93
47787JAC2 JDOT 2022 A3 0.36 09/15/2026 583,253.75 03/10/2022
2.34%
583,124.74
583,187.68
97.90 5.74%
571,006.94
601.40
0.28%
(12,180.74)
Aaa/NA
AAA
2.46 0.77
362554AC1 GMCAR 2021-4 A3 0.68 09/16/2026 259,974.90 10/13/2021
0.68%
259,968.27
259,972.05
97.10 6.58%
252,444.73
73.66 0.12%
(7,527.32)
Aaa/AAA
NA
2.46 0.85
448977AD0 HART 2022-A A3 2.22 10/15/2026 961,106.86 03/09/2022
2.23%
961,069.86
961,088.14
97.85 6.00%
940,447.00
948.29
0.46%
(20,641.14)
NA/AAA
AAA
2.54 0.91
380146AC4 GMCAR 2022-1 A3 1.23 11/16/2026 288,381.39 01/11/2022
1.27%
288,356.33
288,369.26
97.54 6.28%
281,291.99
151.40
0.14%
(7,077.27)
NA/AAA
AAA
2.63 0.90
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
HOLDINGS REPORT
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
362585AC5 GMCAR 2022-2 A3 3.1 02/16/2027 473,317.58 04/05/2022
3.13%
473,218.66
473,263.08
98.21 5.87%
464,835.30
611.37
0.23%
(8,427.78)
Aaa/AAA
NA
2.88 1.12
47800AAC4 JDOT 2022-B A3 3.74 02/16/2027 875,000.00 07/12/2022
3.77%
874,916.44
874,949.09
98.54 5.73%
862,188.42
1,454.44
0.42%
(12,760.66)
Aaa/NA
AAA
2.88 1.04
47800BAC2 JDOT 2022-C A3 5.09 06/15/2027 1,405,000.00 10/12/2022
5.15%
1,404,890.97
1,404,925.89
99.65 5.67%
1,400,044.85
3,178.42
0.68%
(4,881.05)
Aaa/NA
AAA
3.21 1.33
161571HT4 CHAIT 2023-1 A 5.16 09/15/2028 2,200,000.00 09/07/2023
5.17%
2,199,390.16
2,199,456.58
100.51
5.33%
2,211,213.18
5,045.33
1.07%
11,756.60
NR/AAA
AAA
4.46 2.26
Total ABS 12,493,078.14 3.17%
12,491,148.86
12,491,870.76
98.71 5.59%
12,330,644.00
16,647.79
5.99%
(161,226.77)
Aaa/AAA
AAA
2.58 1.22
AGENCY
3135G0X24 FEDERAL NATIONAL MORTGAGE
ASSOCIATION 1.625 01/07/2025 3,210,000.00 --
1.19%
3,276,100.10
3,220,524.56
97.36 5.18%
3,125,267.27
12,171.25
1.52%
(95,257.30)
Aaa/AA+
AA+
0.77 0.75
3137EAEP0 FEDERAL HOME LOAN MORTGAGE
CORP 1.5 02/12/2025 3,590,000.00 02/13/2020
1.52%
3,587,235.70
3,589,519.85
96.91 5.20%
3,479,096.61
7,329.58
1.69%
(110,423.24)
Aaa/AA+
AA+
0.87 0.84
3130A4CH3 FEDERAL HOME LOAN BANKS 2.375
03/14/2025 2,750,000.00 03/19/2020
1.20%
2,908,867.50
2,780,289.57
97.51 5.09%
2,681,488.32
3,084.20
1.30%
(98,801.26)
Aaa/AA+
AA+
0.95 0.93
3135G03U5 FEDERAL NATIONAL MORTGAGE
ASSOCIATION 0.625 04/22/2025 2,830,000.00 04/22/2020
0.67%
2,824,170.20
2,828,766.28
95.48 5.06%
2,702,116.49
7,811.98
1.31%
(126,649.79)
Aaa/AA+
AA+
1.06 1.03
3135G04Z3 FEDERAL NATIONAL MORTGAGE
ASSOCIATION 0.5 06/17/2025 3,400,000.00 --
0.51%
3,398,324.20
3,399,656.23
94.84 4.95%
3,224,391.36
4,911.11
1.57%
(175,264.87)
Aaa/AA+
AA+
1.21 1.18
3137EAEU9 FEDERAL HOME LOAN MORTGAGE
CORP 0.375 07/21/2025 3,400,000.00 --
0.45%
3,388,108.00
3,396,824.17
94.34 4.90%
3,207,511.65
2,479.17
1.56%
(189,312.51)
Aaa/AA+
AA+
1.31 1.27
3135G05X7 FEDERAL NATIONAL MORTGAGE
ASSOCIATION 0.375 08/25/2025 3,150,000.00 12/16/2020
0.43%
3,141,904.50
3,147,583.65
93.93 4.91%
2,958,889.50
1,181.25
1.44%
(188,694.15)
Aaa/AA+
AA+
1.40 1.37
3137EAEX3 FEDERAL HOME LOAN MORTGAGE
CORP 0.375 09/23/2025 3,385,000.00 --
0.44%
3,374,969.55
3,381,976.62
93.67 4.87%
3,170,725.47
282.08
1.54%
(211,251.15)
Aaa/AA+
AA+
1.48 1.44
3135G06G3 FEDERAL NATIONAL MORTGAGE
ASSOCIATION 0.5 11/07/2025 3,400,000.00 --
0.56%
3,389,186.80
3,396,524.23
93.47 4.79%
3,178,076.59
6,800.00
1.54%
(218,447.64)
Aaa/AA+
AA+
1.61 1.56
3133EPME2 FEDERAL FARM CREDIT BANKS
FUNDING CORP 3.875 06/08/2028
3,200,000.00 06/06/2023
3.97%
3,186,080.00
3,188,350.48
98.36 4.31%
3,147,468.93
38,922.22
1.53%
(40,881.55)
Aaa/AA+
AA+
4.19 3.78
Total Agency 32,315,000.00 1.10%
32,474,946.55
32,330,015.63
95.57 4.92%
30,875,032.18
84,972.85
15.00%
(1,454,983.44)
Aaa/AA+
AA+
1.49 1.42
AGENCY CMBS
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
HOLDINGS REPORT
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
3137BLW95 FHMS K-050 A2 3.334 08/25/2025 588,000.00 02/07/2022
1.79%
616,389.38
598,903.49
97.64 5.27%
574,113.26
1,633.66
0.28%
(24,790.23)
Aaa/AA+
AAA
1.40 1.21
3137BSP72 FHMS K-058 A2 2.653 08/25/2026 950,000.00 11/12/2021
1.36%
1,004,736.33
977,145.14
95.21 5.11%
904,487.97
2,100.29
0.44%
(72,657.17)
Aaa/AA+
AAA
2.40 2.24
3137FAWS3 FHMS K-067 A2 3.194 07/25/2027 675,000.00 09/28/2022
4.37%
640,538.09
651,384.27
95.51 5.03%
644,680.01
1,796.62
0.31%
(6,704.26)
Aaa/AA+
AA+
3.32 3.03
3137FBU79 FHMS K-069 A2 3.187 09/25/2027 1,255,000.00 09/28/2022
4.37%
1,189,161.52
1,209,167.38
95.40 5.02%
1,197,231.85
3,333.07
0.58%
(11,935.54)
Aaa/AAA
AA+
3.49 3.11
3137FCLD4 FHMS K-071 A2 3.286 11/25/2027 3,250,000.00 04/13/2023
4.03%
3,146,914.06
3,168,613.09
95.50 5.02%
3,103,784.45
8,899.58
1.51%
(64,828.64)
Aaa/AA+
AAA
3.65 3.32
3137FEBQ2 FHMS K-072 A2 3.444 12/25/2027 1,115,000.00 05/05/2023
3.98%
1,088,910.74
1,094,031.50
95.98 5.03%
1,070,205.43
3,200.05
0.52%
(23,826.07)
Aaa/AA+
AAA
3.74 3.36
3137FETN0 FHMS K-073 A2 3.35 01/25/2028 2,005,000.00 05/24/2023
4.27%
1,926,992.97
1,941,273.33
95.63 5.03%
1,917,326.76
5,597.29
0.93%
(23,946.56)
Aaa/AA+
AAA
3.82 3.42
3137F4D41 FHMS K-074 A2 3.6 01/25/2028 2,200,000.00 07/25/2023
4.73%
2,099,710.93
2,115,082.80
96.46 5.04%
2,122,068.52
6,600.00
1.03%
6,985.72
Aaa/AA+
AAA
3.82 3.42
3137FEZU7 FHMS K-076 A2 3.9 04/25/2028 2,069,000.00 05/05/2023
3.94%
2,062,615.20
2,063,782.89
97.25 5.04%
2,011,999.46
6,724.25
0.98%
(51,783.43)
Aaa/AA+
AAA
4.07 3.59
3137FJEH8 FHMS K-081 A2 3.9 08/25/2028 6,200,000.00 --
5.01%
5,899,464.85
5,932,030.60
97.02 5.04%
6,015,026.10
20,150.00
2.92%
82,995.50
Aaa/AA+
AAA
4.40 3.92
3137FJKE8 FHMS K-082 A2 3.92 09/25/2028 1,500,000.00 11/28/2023
4.74%
1,446,796.88
1,450,535.81
97.05 5.04%
1,455,730.95
4,900.00
0.71%
5,195.14
Aaa/AA+
AAA
4.49 3.95
3137H4BY5 FHMS K-746 A2 2.031 09/25/2028 1,750,000.00 03/21/2024
4.64%
1,568,164.06
1,568,949.29
89.52 5.00%
1,566,564.65
2,961.88
0.76%
(2,384.64)
Aaa/AA+
AAA
4.49 4.13
Total Agency
CMBS 23,557,000.00 4.32%
22,690,395.01
22,770,899.60
95.91 5.04%
22,583,219.42
67,896.70
10.97%
(187,680.17)
Aaa/AA+
AAA
3.91 3.50
CASH
CCYUSD Receivable 96,060.84 --
0.00%
96,060.84
96,060.84
1.00 0.00%
96,060.84
0.00 0.05%
0.00 Aaa/AAA
AAA
0.00 0.00
Total Cash 96,060.84 0.00%
96,060.84
96,060.84
1.00 0.00%
96,060.84
0.00 0.05%
0.00 Aaa/AAA
AAA
0.00 0.00
CORPORATE
74153WCQ0 PRICOA GLOBAL FUNDING I 1.15
12/06/2024 1,185,000.00 12/01/2021
1.18%
1,183,779.45
1,184,722.20
97.11 5.53%
1,150,772.21
4,353.23
0.56%
(33,949.99)
Aa3/AA-
AA-
0.68 0.66
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
HOLDINGS REPORT
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
89236TJT3 TOYOTA MOTOR CREDIT CORP 1.45
01/13/2025 1,715,000.00 01/10/2022
1.50%
1,712,701.90
1,714,398.22
97.05 5.34%
1,664,445.08
5,387.96
0.81%
(49,953.14)
A1/A+
A+
0.79 0.76
90331HPL1 US BANK NA 2.05 01/21/2025 810,000.00 01/16/2020
2.09%
808,274.70
809,721.42
97.34 5.47%
788,424.73
3,228.75
0.38%
(21,296.69)
A2/A+
A+
0.81 0.78
87612EBL9 TARGET CORP 2.25 04/15/2025 2,000,000.00 02/07/2022
1.88%
2,022,420.00
2,006,904.57
97.13 5.12%
1,942,542.98
20,750.00
0.94%
(64,361.59)
A2/A
A
1.04 1.00
06367WB85 BANK OF MONTREAL 1.85
05/01/2025 1,571,000.00 07/23/2021
0.86%
1,628,844.22
1,587,629.16
96.30 5.41%
1,512,893.83
12,109.79
0.74%
(74,735.33)
A2/A-
AA-
1.08 1.05
64952WDQ3 NEW YORK LIFE GLOBAL FUNDING
0.95 06/24/2025 950,000.00 11/17/2021
1.29%
938,543.00
946,082.11
94.92 5.27%
901,703.68
2,431.74
0.44%
(44,378.42)
Aaa/AA+
AAA
1.23 1.20
40139LBC6 GUARDIAN LIFE GLOBAL FUNDING
0.875 12/10/2025 1,700,000.00 --
1.12%
1,682,830.00
1,693,052.26
92.96 5.26%
1,580,349.36
4,586.46
0.77%
(112,702.91)
Aa1/AA+
NA
1.70 1.64
66815L2A6 NORTHWESTERN MUTUAL GLOBAL
FUNDING 0.8 01/14/2026 1,100,000.00 12/06/2021
1.46%
1,070,817.00
1,087,278.71
92.78 5.08%
1,020,609.62
1,882.22
0.50%
(66,669.08)
Aaa/AA+
AAA
1.79 1.73
06051GHY8 BANK OF AMERICA CORP 2.015
02/13/2026 750,000.00 02/17/2022
2.45%
737,512.50
744,126.06
96.88 5.76%
726,579.57
2,015.00
0.35%
(17,546.49)
A1/A-
AA-
1.87 0.84
46647PBK1 JPMORGAN CHASE & CO 2.083
04/22/2026 1,034,000.00 --
1.37%
1,061,039.22
1,041,627.08
96.36 5.68%
996,323.36
9,512.71
0.48%
(45,303.72)
A1/A-
AA-
2.06 1.02
78016EZQ3 ROYAL BANK OF CANADA 1.2
04/27/2026 1,000,000.00 07/09/2021
1.13%
1,003,440.00
1,001,486.93
92.43 5.12%
924,271.75
5,133.33
0.45%
(77,215.18)
A1/A
AA-
2.07 1.99
6174468Q5 MORGAN STANLEY 2.188
04/28/2026 1,100,000.00 05/18/2022
4.32%
1,039,071.00
1,076,258.16
96.48 5.61%
1,061,226.63
10,228.90
0.52%
(15,031.54)
A1/A-
A+
2.08 1.03
023135BX3 AMAZON.COM INC 1.0 05/12/2026 2,615,000.00 05/10/2021
1.09%
2,603,703.20
2,610,230.11
92.34 4.85%
2,414,777.01
10,096.81
1.17%
(195,453.10)
A1/AA
AA-
2.11 2.04
91324PEC2 UNITEDHEALTH GROUP INC 1.15
05/15/2026 430,000.00 --
1.08%
431,391.30
430,586.91
92.49 4.92%
397,728.00
1,868.11
0.19%
(32,858.91)
A2/A+
A
2.12 2.05
89236TJK2 TOYOTA MOTOR CREDIT CORP 1.125
06/18/2026 1,785,000.00 06/15/2021
1.13%
1,784,214.60
1,784,652.46
92.04 4.96%
1,642,963.80
5,745.47
0.80%
(141,688.66)
A1/A+
A+
2.22 2.14
06051GJD2 BANK OF AMERICA CORP 1.319
06/19/2026 1,800,000.00 --
1.24%
1,805,843.00
1,801,793.83
95.06 5.58%
1,711,009.08
6,726.90
0.83%
(90,784.75)
A1/A-
AA-
2.22 1.18
57629WDE7 MASSMUTUAL GLOBAL FUNDING II
1.2 07/16/2026 1,250,000.00 08/19/2021
1.15%
1,252,787.50
1,251,303.33
91.55 5.14%
1,144,389.85
3,125.00
0.56%
(106,913.48)
Aa3/AA+
AA+
2.29 2.21
58989V2D5 MET TOWER GLOBAL FUNDING 1.25
09/14/2026 975,000.00 09/07/2021
1.27%
974,103.00
974,559.85
91.04 5.19%
887,593.26
575.52
0.43%
(86,966.59)
Aa3/AA-
AA-
2.46 2.36
931142ER0 WALMART INC 1.05 09/17/2026 445,000.00 09/08/2021
1.09%
444,158.95
444,585.92
91.68 4.67%
407,954.44
181.71
0.20%
(36,631.48)
Aa2/AA
AA
2.47 2.38
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
HOLDINGS REPORT
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
59217GER6 METROPOLITAN LIFE GLOBAL
FUNDING I 1.875 01/11/2027 1,575,000.00 01/03/2022
1.90%
1,573,204.50
1,574,001.95
91.85 5.05%
1,446,676.40
6,562.50
0.70%
(127,325.55)
Aa3/AA-
AA-
2.78 2.64
808513BY0 CHARLES SCHWAB CORP 2.45
03/03/2027 1,425,000.00 03/01/2022
2.46%
1,424,601.70
1,424,764.35
93.19 4.98%
1,327,940.87
2,715.42
0.65%
(96,823.48)
A2/A-
A
2.92 2.76
084664CZ2 BERKSHIRE HATHAWAY FINANCE
CORP 2.3 03/15/2027 2,395,000.00 03/07/2022
2.30%
2,394,544.95
2,394,731.36
94.16 4.43%
2,255,250.43
2,448.22
1.10%
(139,480.92)
Aa2/AA
A+
2.96 2.81
06051GHT9 BANK OF AMERICA CORP 3.559
04/23/2027 1,500,000.00 --
4.29%
1,453,356.24
1,469,712.87
96.49 5.38%
1,447,385.10
23,430.08
0.70%
(22,327.77)
A1/A-
AA-
3.06 1.93
665859AW4 NORTHERN TRUST CORP 4.0
05/10/2027 895,000.00 05/05/2022
4.03%
893,550.10
894,099.57
97.42 4.90%
871,943.37
14,021.67
0.42%
(22,156.20)
A2/A+
A+
3.11 2.84
91324PEG3 UNITEDHEALTH GROUP INC 3.7
05/15/2027 910,000.00 05/17/2022
3.69%
910,425.60
910,263.61
96.96 4.76%
882,341.03
12,719.78
0.43%
(27,922.58)
A2/A+
A
3.12 2.87
89115A2C5 TORONTO-DOMINION BANK 4.108
06/08/2027 2,000,000.00 08/26/2022
4.18%
1,993,300.00
1,995,529.49
97.34 5.00%
1,946,813.46
25,789.11
0.95%
(48,716.03)
A1/A
NA
3.19 2.91
756109AU8 REALTY INCOME CORP 3.65
01/15/2028 1,500,000.00 04/10/2023
4.87%
1,422,720.00
1,438,495.96
95.29 5.03%
1,429,370.04
11,558.33
0.69%
(9,125.92)
A3/A-
WR
3.79 3.45
24422EWR6 JOHN DEERE CAPITAL CORP 4.75
01/20/2028 1,650,000.00 01/23/2023
4.40%
1,675,393.50
1,669,369.34
100.21
4.69%
1,653,519.45
15,457.29
0.80%
(15,849.89)
A1/A
A+
3.81 3.42
037833ET3 APPLE INC 4.0 05/10/2028 1,000,000.00 05/08/2023
4.01%
999,449.70
999,548.19
98.42 4.42%
984,237.52
15,666.67
0.48%
(15,310.67)
Aaa/AA+
NA
4.11 3.69
58933YBH7 MERCK & CO INC 4.05 05/17/2028 1,165,000.00 05/08/2023
4.05%
1,165,218.35
1,165,178.37
98.30 4.50%
1,145,209.77
17,562.38
0.56%
(19,968.59)
A1/A+
NA
4.13 3.70
91324PDK5 UNITEDHEALTH GROUP INC 3.85
06/15/2028 1,000,000.00 11/02/2023
5.24%
943,820.00
948,726.99
96.88 4.67%
968,800.63
11,336.11
0.47%
20,073.64
A2/A+
A
4.21 3.79
74340XCG4 PROLOGIS LP 4.875 06/15/2028 2,350,000.00 --
4.99%
2,338,786.70
2,340,480.62
100.11
4.84%
2,352,525.00
33,732.29
1.14%
12,044.38
A3/A
NA
4.21 3.71
89115A2U5 TORONTO-DOMINION BANK 5.523
07/17/2028 1,000,000.00 07/12/2023
5.36%
1,006,890.00
1,005,913.26
102.13
4.96%
1,021,274.89
11,352.83
0.50%
15,361.63
A1/A
AA-
4.30 3.76
78016HZS2 ROYAL BANK OF CANADA 5.2
08/01/2028 1,750,000.00 09/12/2023
5.50%
1,727,337.50
1,729,879.56
101.00
4.94%
1,767,425.75
15,166.67
0.86%
37,546.18
A1/A
AA-
4.34 3.82
74456QBX3 PUBLIC SERVICE ELECTRIC AND GAS
CO 3.65 09/01/2028 1,000,000.00 12/14/2023
4.44%
966,790.00
968,818.53
95.62 4.76%
956,155.70
3,041.67
0.46%
(12,662.83)
A1/A
WR
4.42 4.01
40139LBH5 GUARDIAN LIFE GLOBAL FUNDING
5.737 10/02/2028 1,000,000.00 11/02/2023
5.63%
1,004,470.00
1,004,103.32
103.66
4.82%
1,036,593.27
28,525.64
0.50%
32,489.95
Aa1/AA+
NA
4.51 3.84
26442CAX2 DUKE ENERGY CAROLINAS LLC 3.95
11/15/2028 2,000,000.00 12/06/2023
4.79%
1,927,120.00
1,931,765.90
96.67 4.76%
1,933,441.00
29,844.44
0.94%
1,675.10
Aa3/A
NA
4.63 4.10
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
HOLDINGS REPORT
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
756109BS2 REALTY INCOME CORP 4.7
12/15/2028 1,000,000.00 12/14/2023
4.71%
999,730.00
999,745.54
98.49 5.06%
984,912.71
13,838.89
0.48%
(14,832.83)
A3/A-
NA
4.71 4.11
66815L2Q1 NORTHWESTERN MUTUAL GLOBAL
FUNDING 4.71 01/10/2029 1,500,000.00 --
4.67%
1,502,853.80
1,502,725.71
98.90 4.97%
1,483,467.18
15,896.25
0.72%
(19,258.53)
Aaa/AA+
AAA
4.78 4.18
57629W5B2 MASSMUTUAL GLOBAL FUNDING II
4.85 01/17/2029 1,290,000.00 01/09/2024
4.85%
1,289,832.30
1,289,839.18
99.38 5.00%
1,282,007.90
12,860.58
0.62%
(7,831.29)
Aa3/AA+
AA+
4.80 4.19
46647PAM8 JPMORGAN CHASE & CO 3.509
01/23/2029 2,000,000.00 01/18/2024
5.07%
1,888,580.00
1,893,842.14
94.59 5.09%
1,891,864.92
13,256.22
0.92%
(1,977.22)
A1/A-
AA-
4.82 3.48
64952WFF5 NEW YORK LIFE GLOBAL FUNDING
4.7 01/29/2029 1,000,000.00 01/22/2024
4.74%
998,190.00
998,252.41
98.90 4.96%
989,045.00
8,094.44
0.48%
(9,207.41)
Aaa/AA+
AAA
4.83 4.24
17275RBR2 CISCO SYSTEMS INC 4.85
02/26/2029 1,115,000.00 02/21/2024
4.86%
1,114,609.75
1,114,617.23
100.74
4.68%
1,123,230.31
5,257.53
0.55%
8,613.08
A1/AA-
NA
4.91 4.30
Total Corporate 58,235,000.00 3.17%
57,800,249.23
57,855,404.74
96.35 5.02%
56,057,989.93
460,074.63
27.23%
(1,797,414.81)
A1/A+
AA-
3.05 2.65
MONEY MARKET
FUND
60934N104 FEDERATED HRMS GV O INST 334,803.76 --
5.17%
334,803.76
334,803.76
1.00 5.17%
334,803.76
0.00 0.16%
0.00 Aaa/
AAAm
AA
0.00 0.00
Total Money
Market Fund 334,803.76 5.17%
334,803.76
334,803.76
1.00 5.17%
334,803.76
0.00 0.16%
0.00 Aaa/
AAAm
AA
0.00 0.00
SUPRANATIONAL
45950KCR9 INTERNATIONAL FINANCE CORP
1.375 10/16/2024 2,500,000.00 07/12/2021
0.54%
2,567,250.00
2,511,189.49
97.93 5.29%
2,448,180.12
15,755.21
1.19%
(63,009.37)
Aaa/AAA
NA
0.54 0.53
459058HT3
INTERNATIONAL BANK FOR
RECONSTRUCTION AND DEVELOPM
1.625 01/15/2025
2,500,000.00 07/12/2021
0.56%
2,592,325.00
2,520,828.98
97.24 5.24%
2,430,974.25
8,581.67
1.18%
(89,854.73)
Aaa/AAA
NA
0.79 0.77
4581X0DL9 INTER-AMERICAN DEVELOPMENT
BANK 0.875 04/03/2025 3,000,000.00 12/14/2021
1.08%
2,980,230.00
2,993,973.76
95.88 5.13%
2,876,437.35
12,979.17
1.40%
(117,536.41)
Aaa/AAA
AAA
1.01 0.98
459058JL8
INTERNATIONAL BANK FOR
RECONSTRUCTION AND DEVELOPM
0.5 10/28/2025
3,400,000.00 --
0.60%
3,384,848.15
3,394,929.40
93.53 4.81%
3,180,135.70
7,225.00
1.54%
(214,793.70)
Aaa/AAA
NA
1.58 1.53
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
HOLDINGS REPORT
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
4581X0DV7 INTER-AMERICAN DEVELOPMENT
BANK 0.875 04/20/2026 3,435,000.00 04/13/2021
0.97%
3,419,267.70
3,428,546.83
92.58 4.71%
3,180,265.00
13,441.82
1.55%
(248,281.82)
Aaa/AAA
NA
2.05 1.99
45950KCX6 INTERNATIONAL FINANCE CORP
0.75 10/08/2026 3,800,000.00 11/08/2021
1.14%
3,728,332.00
3,763,226.68
91.02 4.56%
3,458,635.17
13,695.83
1.68%
(304,591.51)
Aaa/AAA
NA
2.52 2.44
Total
Supranational 18,635,000.00 0.84%
18,672,252.85
18,612,695.15
94.38 4.92%
17,574,627.60
71,678.70
8.54%
(1,038,067.55)
Aaa/AAA
AAA
1.50 1.46
US TREASURY
912828YV6 UNITED STATES TREASURY 1.5
11/30/2024 2,800,000.00 02/04/2022
1.47%
2,802,187.50
2,800,517.59
97.58 5.24%
2,732,269.54
14,114.75
1.33%
(68,248.05)
Aaa/AA+
AA+
0.67 0.65
91282CDN8 UNITED STATES TREASURY 1.0
12/15/2024 3,000,000.00 12/14/2021
0.98%
3,001,640.63
3,000,386.20
97.12 5.19%
2,913,662.10
8,852.46
1.42%
(86,724.10)
Aaa/AA+
AA+
0.71 0.69
91282CED9 UNITED STATES TREASURY 1.75
03/15/2025 1,495,000.00 04/08/2022
2.70%
1,454,938.67
1,481,946.31
96.94 5.07%
1,449,188.61
1,208.59
0.70%
(32,757.70)
Aaa/AA+
AA+
0.96 0.93
91282CAM3 UNITED STATES TREASURY 0.25
09/30/2025 3,300,000.00 03/29/2021
0.74%
3,228,199.22
3,276,124.61
93.45 4.83%
3,083,824.23
22.54 1.50%
(192,300.38)
Aaa/AA+
AA+
1.50 1.46
91282CAT8 UNITED STATES TREASURY 0.25
10/31/2025 3,400,000.00 02/22/2021
0.54%
3,354,046.88
3,384,476.38
93.15 4.80%
3,167,046.89
3,572.80
1.54%
(217,429.49)
Aaa/AA+
AA+
1.59 1.55
91282CAZ4 UNITED STATES TREASURY 0.375
11/30/2025 2,200,000.00 03/26/2021
0.76%
2,160,554.69
2,185,950.35
93.04 4.77%
2,046,773.43
2,772.54
0.99%
(139,176.92)
Aaa/AA+
AA+
1.67 1.63
91282CCZ2 UNITED STATES TREASURY 0.875
09/30/2026 1,780,000.00 10/18/2021
1.19%
1,753,369.53
1,766,559.50
91.52 4.50%
1,629,047.65
42.55 0.79%
(137,511.85)
Aaa/AA+
AA+
2.50 2.41
91282CDK4 UNITED STATES TREASURY 1.25
11/30/2026 3,500,000.00 12/16/2021
1.17%
3,512,714.84
3,506,838.88
91.95 4.49%
3,218,222.66
14,702.87
1.56%
(288,616.22)
Aaa/AA+
AA+
2.67 2.56
912828Z78 UNITED STATES TREASURY 1.5
01/31/2027 1,150,000.00 02/07/2022
1.77%
1,135,355.47
1,141,662.77
92.22 4.45%
1,060,515.62
2,890.80
0.52%
(81,147.14)
Aaa/AA+
AA+
2.84 2.72
91282CET4 UNITED STATES TREASURY 2.625
05/31/2027 1,800,000.00 06/09/2022
3.07%
1,763,367.19
1,776,701.05
94.76 4.40%
1,705,710.94
15,879.10
0.83%
(70,990.11)
Aaa/AA+
AA+
3.17 2.97
91282CEW7 UNITED STATES TREASURY 3.25
06/30/2027 2,975,000.00 --
3.12%
2,993,090.82
2,986,846.00
96.57 4.44%
2,872,966.78
24,437.50
1.40%
(113,879.22)
Aaa/AA+
AA+
3.25 3.02
91282CFB2 UNITED STATES TREASURY 2.75
07/31/2027 900,000.00 08/22/2022
3.12%
884,742.19
889,709.65
94.97 4.39%
854,718.75
4,147.66
0.42%
(34,990.90)
Aaa/AA+
AA+
3.33 3.13
91282CFH9 UNITED STATES TREASURY 3.125
08/31/2027 3,150,000.00 --
3.41%
3,109,707.03
3,122,277.04
96.06 4.38%
3,025,968.75
8,559.78
1.47%
(96,308.29)
Aaa/AA+
AA+
3.42 3.19
91282CFM8 UNITED STATES TREASURY 4.125
09/30/2027 3,900,000.00 10/20/2022
4.45%
3,843,632.81
3,860,032.81
99.22 4.37%
3,869,683.58
439.55
1.88%
9,650.77
Aaa/AA+
AA+
3.50 3.16
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
HOLDINGS REPORT
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
91282CFZ9 UNITED STATES TREASURY 3.875
11/30/2027 1,250,000.00 12/05/2022
3.81%
1,253,906.25
1,252,871.74
98.38 4.36%
1,229,785.15
16,278.18
0.60%
(23,086.59)
Aaa/AA+
AA+
3.67 3.34
91282CGC9 UNITED STATES TREASURY 3.875
12/31/2027 3,350,000.00 --
3.71%
3,375,494.14
3,369,343.69
98.39 4.34%
3,295,955.09
32,809.75
1.60%
(73,388.61)
Aaa/AA+
AA+
3.75 3.42
91282CGH8 UNITED STATES TREASURY 3.5
01/31/2028 5,000,000.00 --
3.84%
4,923,765.63
4,940,791.97
97.07 4.34%
4,853,710.95
29,326.92
2.36%
(87,081.02)
Aaa/AA+
AA+
3.84 3.53
91282CGP0 UNITED STATES TREASURY 4.0
02/29/2028 5,000,000.00 --
4.08%
4,981,033.20
4,985,233.09
98.83 4.31%
4,941,601.55
17,391.30
2.40%
(43,631.54)
Aaa/AA+
AA+
3.92 3.58
91282CHE4 UNITED STATES TREASURY 3.625
05/31/2028 3,000,000.00 06/14/2023
4.00%
2,950,429.69
2,958,275.35
97.46 4.29%
2,923,945.32
36,547.13
1.42%
(34,330.03)
Aaa/AA+
AA+
4.17 3.78
91282CHQ7 UNITED STATES TREASURY 4.125
07/31/2028 4,000,000.00 08/21/2023
4.46%
3,941,718.75
3,948,919.15
99.38 4.28%
3,975,000.00
27,651.10
1.93%
26,080.85
Aaa/AA+
AA+
4.33 3.91
91282CHX2 UNITED STATES TREASURY 4.375
08/31/2028 1,100,000.00 09/25/2023
4.62%
1,088,398.44
1,089,609.49
100.41
4.27%
1,104,511.72
4,184.78
0.54%
14,902.23
Aaa/AA+
AA+
4.42 3.97
91282CJF9 UNITED STATES TREASURY 4.875
10/31/2028 1,700,000.00 10/27/2023
4.79%
1,706,441.41
1,705,901.98
102.51
4.26%
1,742,699.22
34,834.82
0.85%
36,797.24
Aaa/AA+
AA+
4.59 4.01
91282CJN2 UNITED STATES TREASURY 4.375
11/30/2028 1,400,000.00 12/28/2023
3.83%
1,434,125.00
1,432,340.93
100.53
4.25%
1,407,382.82
20,584.02
0.68%
(24,958.12)
Aaa/AA+
AA+
4.67 4.13
91282CJR3 UNITED STATES TREASURY 3.75
12/31/2028 4,500,000.00 --
3.99%
4,452,480.47
4,454,545.88
97.87 4.25%
4,404,023.46
42,651.10
2.14%
(50,522.42)
Aaa/AA+
AA+
4.75 4.26
91282CJW2 UNITED STATES TREASURY 4.0
01/31/2029 2,500,000.00 02/16/2024
4.31%
2,465,625.00
2,466,386.35
98.97 4.24%
2,474,218.75
16,758.24
1.20%
7,832.40
Aaa/AA+
AA+
4.84 4.33
Total US Treasury 68,150,000.00 3.04%
67,570,965.45
67,784,248.76
96.89 4.49%
65,982,433.57
380,660.85
32.06%
(1,801,815.19)
Aaa/AA+
AA+
3.21 2.95
Total Portfolio 213,815,942.74 2.75%
212,130,822.55
212,275,999.24
96.13 4.86%
205,834,811.31
1,081,931.52
100.00%
(6,441,187.94)
Aa2/AA-
AA
2.80 2.46
Total Market
Value + Accrued 206,916,742.82
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
TRANSACTION LEDGER
Transaction Type Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 03/01/2024 60934N104 18,250.00 FEDERATED HRMS GV O INST 1.000 5.16% (18,250.00) 0.00 (18,250.00) 0.00 Purchase 03/04/2024 60934N104 2,883.91 FEDERATED HRMS GV O INST 1.000 5.18% (2,883.91) 0.00 (2,883.91) 0.00 Purchase 03/04/2024 60934N104 17,456.25 FEDERATED HRMS GV O INST 1.000 5.18% (17,456.25) 0.00 (17,456.25) 0.00 Purchase 03/14/2024 60934N104 38,750.00 FEDERATED HRMS GV O INST 1.000 5.18% (38,750.00) 0.00 (38,750.00) 0.00 Purchase 03/15/2024 60934N104 476,044.67 FEDERATED HRMS GV O INST 1.000 5.18% (476,044.67) 0.00 (476,044.67) 0.00 Purchase 03/15/2024 60934N104 27,547.77 FEDERATED HRMS GV O INST 1.000 5.18% (27,547.77) 0.00 (27,547.77) 0.00 Purchase 03/18/2024 60934N104 2,336.25 FEDERATED HRMS GV O INST 1.000 5.18% (2,336.25) 0.00 (2,336.25) 0.00 Purchase 03/18/2024 60934N104 70,114.97 FEDERATED HRMS GV O INST 1.000 5.18% (70,114.97) 0.00 (70,114.97) 0.00 Purchase 03/20/2024 60934N104 372,287.59 FEDERATED HRMS GV O INST 1.000 5.18% (372,287.59) 0.00 (372,287.59) 0.00 Purchase 03/21/2024 60934N104 44,337.81 FEDERATED HRMS GV O INST 1.000 5.18% (44,337.81) 0.00 (44,337.81) 0.00 Purchase 03/25/2024 3137H4BY5 1,750,000.00 FHMS K-746 A2 2.031 09/25/2028 89.609 4.64% (1,568,164.06) (2,369.50) (1,570,533.56) 0.00 Purchase 03/25/2024 60934N104 154,357.86 FEDERATED HRMS GV O INST 1.000 5.18% (154,357.86) 0.00 (154,357.86) 0.00 Total Purchase 2,974,367.08 (2,792,531.14) (2,369.50) (2,794,900.64) 0.00 TOTAL ACQUISITIONS 2,974,367.08 (2,792,531.14) (2,369.50) (2,794,900.64) 0.00
DISPOSITIONS
Sale 03/25/2024 60934N104 (1,512,663.14) FEDERATED HRMS GV O INST 1.000 5.18% 1,512,663.14 0.00 1,512,663.14 0.00 Total Sale (1,512,663.14) 1,512,663.14 0.00 1,512,663.14 0.00 TOTAL DISPOSITIONS (1,512,663.14) 1,512,663.14 0.00 1,512,663.14 0.00 OTHER
TRANSACTIONS
Coupon 03/01/2024 3137BLW95 0.00 FHMS K-050 A2 3.334
08/25/2025 1.69% 1,633.66 0.00 1,633.66 0.00
Coupon 03/01/2024 3137BSP72 0.00 FHMS K-058 A2 2.653
08/25/2026 1.35% 2,100.29 0.00 2,100.29 0.00
Coupon 03/01/2024 3137FAWS3 0.00 FHMS K-067 A2 3.194
07/25/2027 4.32% 1,796.63 0.00 1,796.63 0.00
Coupon 03/01/2024 3137FBU79 0.00 FHMS K-069 A2 3.187
09/25/2027 4.33% 3,333.07 0.00 3,333.07 0.00
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
TRANSACTION LEDGER
Transaction Type Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
Coupon 03/01/2024 3137FCLD4 0.00 FHMS K-071 A2 3.286
11/25/2027 4.00% 8,899.58 0.00 8,899.58 0.00
Coupon 03/01/2024 3137FEBQ2 0.00 FHMS K-072 A2 3.444
12/25/2027 3.96% 3,200.05 0.00 3,200.05 0.00
Coupon 03/01/2024 3137FETN0 0.00 FHMS K-073 A2 3.35
01/25/2028 4.25% 5,597.29 0.00 5,597.29 0.00
Coupon 03/01/2024 3137F4D41 0.00 FHMS K-074 A2 3.6 01/25/2028 4.71% 6,600.00 0.00 6,600.00 0.00 Coupon 03/01/2024 3137FEZU7 0.00 FHMS K-076 A2 3.9 04/25/2028 3.93% 6,724.25 0.00 6,724.25 0.00 Coupon 03/01/2024 74456QBX3 0.00 PUBLIC SERVICE ELECTRIC AND GAS CO 3.65 09/01/2028 4.44% 18,250.00 0.00 18,250.00 0.00 Coupon 03/01/2024 3137FJEH8 0.00 FHMS K-081 A2 3.9 08/25/2028 4.99% 20,150.00 0.00 20,150.00 0.00 Coupon 03/01/2024 3137FJKE8 0.00 FHMS K-082 A2 3.92
09/25/2028 4.73% 4,900.00 0.00 4,900.00 0.00
Coupon 03/03/2024 808513BY0 0.00 CHARLES SCHWAB CORP 2.45 03/03/2027 2.46% 17,456.25 0.00 17,456.25 0.00
Coupon 03/14/2024 3130A4CH3 0.00 FEDERAL HOME LOAN BANKS
2.375 03/14/2025 1.20% 32,656.25 0.00 32,656.25 0.00
Coupon 03/14/2024 58989V2D5 0.00 MET TOWER GLOBAL FUNDING
1.25 09/14/2026 1.27% 6,093.75 0.00 6,093.75 0.00
Coupon 03/15/2024
44891RAC4 0.00 HART 2020-C A3 0.38
05/15/2025 0.37% 8.72 0.00 8.72 0.00
Coupon 03/15/2024 89240BAC2 0.00 TAOT 2021-A A3 0.26
05/15/2025 0.29% 33.80 0.00 33.80 0.00
Coupon 03/15/2024 44933LAC7 0.00 HART 2021-A A3 0.38
09/15/2025 0.39% 45.64 0.00 45.64 0.00
Coupon 03/15/2024 47789QAC4 0.00 JDOT 2021-B A3 0.52
03/16/2026 0.53% 156.92 0.00 156.92 0.00
Coupon 03/15/2024 89238JAC9 0.00 TAOT 2021-D A3 0.71
04/15/2026 0.71% 206.66 0.00 206.66 0.00
Coupon 03/15/2024 44935FAD6 0.00 HART 2021-C A3 0.74
05/15/2026 0.76% 158.33 0.00 158.33 0.00
Coupon 03/15/2024 44891WAC3 0.00 HALST 2022-A A3 1.16
01/15/2025 1.17% 153.71 0.00 153.71 0.00
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
TRANSACTION LEDGER
Transaction Type Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
Coupon 03/15/2024 43815BAC4 0.00 HAROT 2022-1 A3 1.88
05/15/2026 1.90% 1,464.40 0.00 1,464.40 0.00
Coupon 03/15/2024 91282CED9 0.00 UNITED STATES TREASURY 1.75 03/15/2025 2.70% 13,081.25 0.00 13,081.25 0.00
Coupon 03/15/2024 084664CZ2 0.00 BERKSHIRE HATHAWAY
FINANCE CORP 2.3 03/15/2027 2.30% 27,542.50 0.00 27,542.50 0.00 Coupon 03/15/2024 448977AD0 0.00 HART 2022-A A3 2.22
10/15/2026 2.23% 1,900.61 0.00 1,900.61 0.00
Coupon 03/15/2024 47787JAC2 0.00 JDOT 2022 A3 0.36 09/15/2026 2.35% 1,186.89 0.00 1,186.89 0.00 Coupon 03/15/2024 47800AAC4 0.00 JDOT 2022-B A3 3.74
02/16/2027 3.77% 2,727.08 0.00 2,727.08 0.00
Coupon 03/15/2024 47800BAC2 0.00 JDOT 2022-C A3 5.09
06/15/2027 5.15% 5,959.54 0.00 5,959.54 0.00
Coupon 03/15/2024 161571HT4 0.00 CHAIT 2023-1 A 5.16
09/15/2028 5.23% 9,460.00 0.00 9,460.00 0.00
Coupon 03/15/2024 02582JJT8 0.00 AMXCA 2022-2 A 05/17/2027 3.42% 5,198.00 0.00 5,198.00 0.00 Coupon 03/16/2024 362554AC1 0.00 GMCAR 2021-4 A3 0.68
09/16/2026 0.68% 158.80 0.00 158.80 0.00
Coupon 03/16/2024 380146AC4 0.00 GMCAR 2022-1 A3 1.23
11/16/2026 1.27% 324.31 0.00 324.31 0.00
Coupon
03/16/2024 362585AC5 0.00 GMCAR 2022-2 A3 3.1
02/16/2027 3.13% 1,294.02 0.00 1,294.02 0.00
Coupon 03/17/2024 931142ER0 0.00 WALMART INC 1.05
09/17/2026 1.09% 2,336.25 0.00 2,336.25 0.00
Coupon 03/20/2024 36265MAC9 0.00 GMALT 2022-1 A3 1.9
03/20/2025 1.91% 590.46 0.00 590.46 0.00
Coupon 03/20/2024 89238LAC4 0.00 TLOT 2022-A A3 1.96
02/20/2025 2.00% 1,024.85 0.00 1,024.85 0.00
Coupon 03/21/2024 43813GAC5 0.00 HAROT 2021-1 A3 0.27
04/21/2025 0.27% 9.15 0.00 9.15 0.00
Coupon 03/21/2024 43815GAC3 0.00 HAROT 2021-4 A3 0.88
01/21/2026 0.90% 267.38 0.00 267.38 0.00
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
TRANSACTION LEDGER
Transaction Type Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
Coupon 03/23/2024 3137EAEX3 0.00
FEDERAL HOME LOAN
MORTGAGE CORP 0.375
09/23/2025
0.44% 6,346.88 0.00 6,346.88 0.00
Coupon 03/25/2024 05601XAC3 0.00 BMWLT 2022-1 A3 1.03
03/25/2025 0.00% 90.04 0.00 90.04 0.00
Coupon 03/25/2024 05602RAD3 0.00 BMWOT 2022-A A3 3.21
08/25/2026 3.24% 1,618.21 0.00 1,618.21 0.00
Coupon 03/31/2024 91282CAM3 0.00 UNITED STATES TREASURY 0.25 09/30/2025 0.74% 4,125.00 0.00 4,125.00 0.00
Coupon 03/31/2024 91282CCZ2 0.00 UNITED STATES TREASURY
0.875 09/30/2026 1.19% 7,787.50 0.00 7,787.50 0.00
Coupon 03/31/2024 91282CFM8 0.00 UNITED STATES TREASURY
4.125 09/30/2027 4.45% 80,437.50 0.00 80,437.50 0.00
Total Coupon 0.00 315,085.47 0.00 315,085.47 0.00
Dividend 03/28/2024 60934N104 0.00 FEDERATED HRMS GV O INST 5.18% 3,710.84 0.00 3,710.84 0.00 Total Dividend 0.00 3,710.84 0.00 3,710.84 0.00
Principal Paydown 03/15/2024 89240BAC2 48,863.58 TAOT 2021-A A3 0.26 05/15/2025 0.29% 48,863.58 -- 48,863.58 (0.00)
Principal Paydown 03/15/2024 44891RAC4 27,547.77 HART 2020-C A3 0.38 05/15/2025 0.37% 27,547.77 -- 27,547.77 (0.01)
Principal Paydown 03/15/2024 44933LAC7 30,604.98 HART 2021-A A3 0.38 09/15/2025 0.39% 30,604.98 --
30,604.98 0.00
Principal Paydown 03/15/2024 47789QAC4 32,880.16 JDOT 2021-B A3 0.52 03/16/2026 0.53% 32,880.16 -- 32,880.16 0.01
Principal Paydown 03/15/2024 89238JAC9 27,930.69 TAOT 2021-D A3 0.71 04/15/2026 0.71% 27,930.69 -- 27,930.69 0.00
Principal Paydown 03/15/2024 44935FAD6 22,576.34 HART 2021-C A3 0.74 05/15/2026 0.76% 22,576.34 -- 22,576.34 0.00
Principal Paydown 03/15/2024 44891WAC3 81,232.23 HALST 2022-A A3 1.16 01/15/2025 1.17% 81,232.23 -- 81,232.23 0.01
Principal Paydown 03/15/2024 43815BAC4 65,764.27 HAROT 2022-1 A3 1.88 05/15/2026 1.90% 65,764.27 -- 65,764.27 0.00
Principal Paydown 03/15/2024 448977AD0 66,252.13 HART 2022-A A3 2.22 10/15/2026 2.23% 66,252.13 -- 66,252.13 0.01
City of Moreno Valley | As of March 31, 2024
Execution Time: 04/11/2024 10:24:03 AM Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
TRANSACTION LEDGER
Transaction Type Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
Principal Paydown 03/15/2024 47787JAC2 30,656.24 JDOT 2022 A3 0.36 09/15/2026 2.35% 30,656.24 -- 30,656.24 (0.00) Principal Paydown 03/16/2024 362554AC1 20,263.16 GMCAR 2021-4 A3 0.68 09/16/2026 0.68% 20,263.16 -- 20,263.16 (0.00)
Principal Paydown 03/16/2024 380146AC4 20,481.43 GMCAR 2022-1 A3 1.23 11/16/2026 1.27% 20,481.43 -- 20,481.43 (0.00)
Principal Paydown 03/16/2024 362585AC5 27,593.25 GMCAR 2022-2 A3 3.1 02/16/2027 3.13% 27,593.25 -- 27,593.25 (0.00)
Principal Paydown 03/20/2024 36265MAC9 178,772.40 GMALT 2022-1 A3 1.9 03/20/2025 1.91% 178,772.40 -- 178,772.40 0.00
Principal Paydown 03/20/2024 89238LAC4 191,899.88 TLOT 2022-A A3 1.96 02/20/2025 2.00% 191,899.88 -- 191,899.88 (0.00)
Principal Paydown 03/21/2024 43813GAC5 13,607.06 HAROT 2021-1 A3 0.27 04/21/2025 0.27% 13,607.06 -- 13,607.06 (0.00)
Principal Paydown 03/21/2024 43815GAC3 30,454.22 HAROT 2021-4 A3 0.88 01/21/2026 0.90% 30,454.22 -- 30,454.22 (0.00)
Principal Paydown 03/25/2024 05601XAC3 98,220.38 BMWLT 2022-1 A3 1.03 03/25/2025 0.00% 98,220.38 -- 98,220.38 0.01
Principal Paydown 03/25/2024 05602RAD3 41,017.95 BMWOT 2022-A A3 3.21 08/25/2026 3.24% 41,017.95 -- 41,017.95 0.00
Total Principal
Paydown 1,056,618.12 1,056,618.12 -- 1,056,618.12 0.03
TOTAL OTHER
TRANSACTIONS 1,056,618.12 1,375,414.43
0.00 1,375,414.43 0.03
MONTHLY ACCOUNT STATEMENT
City of Moreno Valley Limited Strategy | Account #10670 | As of March 31, 2024 CHANDLER ASSET MANAGEMENT | chandlerasset.com
/ŶĨŽƌŵĂƟŽŶĐŽŶƚĂŝŶĞĚŚĞƌĞŝŶŝƐĐŽŶĮĚĞŶƟĂů͘tĞƵƌŐĞLJŽƵƚŽĐŽŵƉĂƌĞƚŚŝƐƐƚĂƚĞŵĞŶƚƚŽƚŚĞŽŶĞLJŽƵƌĞĐĞŝǀĞĨƌŽŵLJŽƵƌƋƵĂůŝĮĞĚĐƵƐƚŽĚŝĂŶ͘WůĞĂƐĞƐĞĞ/ŵƉŽƌƚĂŶƚŝƐĐůŽƐƵƌĞƐĂƚƚŚĞĞŶĚŽĨƚŚĞƐƚĂƚĞŵĞŶƚ͘ Chandler Team:
&ŽƌƋƵĞƐƟŽŶƐĂďŽƵƚLJŽƵƌĂĐĐŽƵŶƚ͕ƉůĞĂƐĞĐĂůů;ϴϬϬͿϯϭϳͲϰϳϰϳ͕ ŽƌĐŽŶƚĂĐƚĐůŝĞŶƚƐĞƌǀŝĐĞΛĐŚĂŶĚůĞƌĂƐƐĞƚ͘ĐŽŵ
Custodian:
US Bank
City of Moreno Valley Limited Strategy | As of March 31, 2024
džĞĐƵƟŽŶdŝŵĞ͗ϬϰͬϭϮͬϮϬϮϰϬϯ͗Ϯϱ͗ϯϭWD Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
PORTFOLIO SUMMARY
Portfolio Characteristics
Sector Allocation
Account Summary
Maturity Distribution
Top Issuers
Credit Quality
ǀĞƌĂŐĞDŽĚŝĮĞĚƵƌĂƟŽŶ Ϭ͘ϭϰ
ǀĞƌĂŐĞŽƵƉŽŶ ϭ͘ϵϬй
ǀĞƌĂŐĞWƵƌĐŚĂƐĞzdD ϱ͘Ϯϱй
ǀĞƌĂŐĞDĂƌŬĞƚzdD ϱ͘ϯϭй
ǀĞƌĂŐĞYƵĂůŝƚLJ AAA
ǀĞƌĂŐĞ&ŝŶĂůDĂƚƵƌŝƚLJ Ϭ͘ϭϰ
ǀĞƌĂŐĞ>ŝĨĞ Ϭ͘ϭϰ
Beg. Values as of
03/01/2024
End Values as of
03/31/2024
Market Value ϰϮ͕ϭϯϭ͕ϱϵϵ͘ϲϲ ϰϮ͕ϯϮϬ͕ϰϬϱ͘ϴϵ
Accrued Interest Ϭ͘ϬϬ Ϭ͘ϬϬ
Total Market Value 42,131,599.66 42,320,405.89
/ŶĐŽŵĞ
ĂƌŶĞĚ ϭϵϴ͕ϯϲϮ͘ϵϬ ϭϲϬ͕ϯϴϮ͘ϭϭ
ŽŶƚͬt ;ϮϬ͕ϵϱϯ͕ϳϴϴ͘ϲϰͿ Ϭ͘ϬϬ
WĂƌ ϰϮ͕ϱϳϴ͕Ϭϵϳ͘ϱϲ ϰϮ͕ϲϯϯ͕ϯϵϱ͘ϴϯ
Book Value ϰϮ͕ϭϰϭ͕Ϯϱϳ͘ϳϳ ϰϮ͕ϯϮϴ͕ϰϭϱ͘ϴϯ
Cost Value ϰϭ͕ϰϵϬ͕ϲϰϴ͘Ϭϱ ϰϭ͕ϵϱϴ͕ϲϮϳ͘ϱϴ
United States ϲϯ͘Ϭϲй
&ĞĚĞƌĂƚĞĚ,ĞƌŵĞƐ͕/ŶĐ͘ ϯϲ͘ϴϭй
*See Footnote
dŚĞĐƌĞĚŝƚƋƵĂůŝƚLJŝƐĂǁĞŝŐŚƚĞĚĂǀĞƌĂŐĞĐĂůĐƵůĂƟŽŶŽĨƚŚĞŚŝŐŚĞƐƚŽĨ^ΘW ͕DŽŽĚLJ͛Ɛ͛ĂŶĚ&ŝƚĐŚ
City of Moreno Valley Limited Strategy | As of March 31, 2024
džĞĐƵƟŽŶdŝŵĞ͗ϬϰͬϭϮͬϮϬϮϰϬϯ͗Ϯϱ͗ϯϭWD Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
STATEMENT OF COMPLIANCE
Rules Name Limit Actual Compliance
Status Notes
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City of Moreno Valley Limited Strategy | As of March 31, 2024
džĞĐƵƟŽŶdŝŵĞ͗ϬϰͬϭϮͬϮϬϮϰϬϯ͗Ϯϱ͗ϯϭWD Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
STATEMENT OF COMPLIANCE
Rules Name Limit Actual Compliance
Status Notes
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DĂdžй;DsͿ ϯϬ͘Ϭ Ϭ͘Ϭ ŽŵƉůŝĂŶƚ
City of Moreno Valley Limited Strategy | As of March 31, 2024
džĞĐƵƟŽŶdŝŵĞ͗ϬϰͬϭϮͬϮϬϮϰϬϯ͗Ϯϱ͗ϯϭWD Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
STATEMENT OF COMPLIANCE
Rules Name Limit Actual Compliance
Status Notes
DĂdžй/ƐƐƵĞƌ;DsͿ ϱ͘Ϭ Ϭ͘Ϭ ŽŵƉůŝĂŶƚ
DĂdžDĂƚƵƌŝƚLJ;zĞĂƌƐͿ 5 Ϭ͘Ϭ ŽŵƉůŝĂŶƚ
DŝŶZĂƟŶŐ;ͲϭďLJϭŽƌͲďLJϭŝĨх&/>ŝŵŝƚͿ Ϭ͘Ϭ Ϭ͘Ϭ ŽŵƉůŝĂŶƚ Z
WhZ,^
'Z
D
Ed^
DĂdžDĂƚƵƌŝƚLJ;zĞĂƌƐͿ ϭ͘Ϭ Ϭ͘Ϭ ŽŵƉůŝĂŶƚ
Z
s
Z^
Z
WhZ,^
'Z
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DĂdžй;DsͿ ϮϬ͘Ϭ Ϭ͘Ϭ ŽŵƉůŝĂŶƚ
DĂdžDĂƚƵƌŝƚLJ;ĂLJƐͿ ϵϮ͘Ϭ Ϭ͘Ϭ ŽŵƉůŝĂŶƚ
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DĂ
džй;DsͿ ϯϬ͘Ϭ Ϭ͘Ϭ ŽŵƉůŝĂŶƚ
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DŝŶZĂƟŶŐ;ͲďLJϭͿ Ϭ͘Ϭ Ϭ͘Ϭ ŽŵƉůŝĂŶƚ
U.S.
TREASURIES
DĂdžй;DsͿ ϭϬϬ͘Ϭ ϲϯ͘ϭ ŽŵƉůŝĂŶƚ
DĂdžDĂƚƵƌŝƚLJ;zĞĂƌƐͿ 5 Ϭ͘Ϭ ŽŵƉůŝĂŶƚ
City of Moreno Valley Limited Strategy | As of March 31, 2024
džĞĐƵƟŽŶdŝŵĞ͗ϬϰͬϭϮͬϮϬϮϰϬϯ͗Ϯϱ͗ϯϭWD Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
HOLDINGS REPORT
Cusip ^ĞĐƵƌŝƚLJĞƐĐƌŝƉƟŽŶ WĂƌsĂůƵĞͬ
Units
WƵƌĐŚĂƐĞĂƚĞ
WƵƌĐŚĂƐĞzŝĞůĚ
Cost Value
Book Value
DŬƚWƌŝĐĞ
Mkt YTM
Market Value
Accrued Int.
йŽĨWŽƌƚ͘
Gain/Loss
DŽŽĚLJΖƐͬ
^ΘW
Fitch
Maturity
ƵƌĂƟŽŶ
^,
zh^ ZĞĐĞŝǀĂďůĞ ϱϱ͕Ϯϵϴ͘Ϯϳ ͲͲ
Ϭ͘ϬϬй
ϱϱ͕Ϯϵϴ͘Ϯϳ
ϱϱ͕Ϯϵϴ͘Ϯϳ
ϭ͘ϬϬ
Ϭ͘ϬϬй
ϱϱ͕Ϯϵϴ͘Ϯϳ
Ϭ͘ϬϬ
Ϭ͘ϭϯй
Ϭ͘ϬϬ
Aaa/AAA
AAA
Ϭ͘ϬϬ
Ϭ͘ϬϬ
Total Cash 55,298.27 0.00%
55,298.27
55,298.27
1.00 0.00%
55,298.27
0.00 0.13%
0.00 Aaa/AAA
AAA
0.00 0.00
DKE
zDZ<
d
&hE
ϲϬϵϯϰEϭϬϰ &
Zd
,ZD^'sK/E^ d ϭϱ͕ϱϳϴ͕Ϭϵϳ͘ϱϲ ͲͲ
ϱ͘ϭϳй
ϭϱ͕ϱϳϴ͕Ϭϵϳ͘ϱϲ
ϭϱ͕ϱϳϴ͕Ϭϵϳ͘ϱϲ
ϭ͘ϬϬ
ϱ͘ϭϳй
ϭϱ͕ϱϳϴ͕Ϭϵϳ͘ϱϲ
Ϭ͘ϬϬ
ϯϲ͘ϴϭй
Ϭ͘ϬϬ
Aaa/
AAAm
AA
Ϭ͘ϬϬ
Ϭ͘ϬϬ
T
otal Money
Market Fund 15,578,097.56 5.17%
15,578,097.56
15,578,097.56
1.00 5.17%
15,578,097.56
0.00 36.81%
0.00 Aaa/
AAAm
AA
0.00 0.00
US TREASURY
ϵϭϮϳϵϲtϮ hE/d
^d
d
^dZ
^hZz
06/20/2024 Ϯϳ͕ϬϬϬ͕ϬϬϬ͘ϬϬ 12/22/2023
ϱ͘ϯϬй
Ϯϲ͕ϯϮϱ͕Ϯϯϭ͘ϳϱ
Ϯϲ͕ϲϵϱ͕ϬϮϬ͘ϬϬ
ϵϴ͘ϴϰ
ϱ͘ϰϭй
Ϯϲ͕ϲϴϳ͕ϬϭϬ͘Ϭϲ
Ϭ͘ϬϬ
ϲϯ͘Ϭϲй
;ϴ͕ϬϬϵ͘ϵϰͿ
WͲϭͬͲϭн
&ϭн
Ϭ͘ϮϮ
Ϭ͘ϮϮ
Tot
al US Treasury 27,000,000.00
12/22/2023
5.30%
26,325,231.75
26,695,020.00
98.84 5.41%
26,687,010.06
0.00 63.06%
(8,009.94)
WͲϭͬͲϭн
&ϭн
0.22 0.22
dŽƚĂůWŽƌƞŽůŝŽ 42,633,395.83 5.25%
41,958,627.58
42,328,415.83
62.70 5.31%
42,320,405.89
0.00 100.00%
(8,009.94)
Aaa/AAA
н
0.14 0.14
Total Market
sĂůƵĞнĐĐƌƵĞĚ 42,320,405.89
City of Moreno Valley Limited Strategy | As of March 31, 2024
džĞĐƵƟŽŶdŝŵĞ͗ϬϰͬϭϮͬϮϬϮϰϬϯ͗Ϯϱ͗ϯϭWD Chandler Asset Management | [email protected] | www.chandlerasset.com | 800.317.4747
TRANSACTION LEDGER
dƌĂŶƐĂĐƟŽŶdLJƉĞ ^ĞƩůĞŵĞŶƚ
ĂƚĞ h^/W YƵĂŶƟƚLJ ^ĞĐƵƌŝƚLJĞƐĐƌŝƉƟŽŶ WƌŝĐĞ ĐƋͬŝƐƉ
Yield Amount /ŶƚĞƌĞƐƚWƵƌͬ
Sold Total Amount Gain/Loss
ACQUISITIONS
WƵƌĐŚĂƐĞ 03/04/2024 ϲϬϵϯϰEϭϬϰ Ϯϴ͕ϱϮϮ͘ϯϮ &
Zd
,ZD^'sK/E^d ϭ͘ϬϬϬ ϱ͘ϭϴй ;Ϯϴ͕ϱϮϮ͘ϯϮͿ Ϭ͘ϬϬ ;Ϯϴ͕ϱϮϮ͘ϯϮͿ Ϭ͘ϬϬ WƵƌĐŚĂƐĞ 03/07/2024 ϲϬϵϯϰEϭϬϰ ϭϱ͕ϱϬϬ͕ϬϬϬ͘ϬϬ
&
Zd
,ZD^'sK/E^d ϭ͘ϬϬϬ ϱ͘ϭϲй ;ϭϱ͕ϱϬϬ ͕ϬϬϬ͘ϬϬͿ Ϭ͘ϬϬ ;ϭϱ͕ϱϬϬ͕ϬϬϬ͘ϬϬͿ Ϭ͘ϬϬ dŽƚĂůWƵƌĐŚĂƐĞ 15,528,522.32 (15,528,522.32) 0.00 (15,528,522.32) 0.00 TOTAL ACQUISITIONS 15,528,522.32 (15,528,522.32) 0.00 (15,528,522.32) 0.00 /^WK^/d/KE^
Maturity 03/07/2024 ϵϭϮϳϵϳ'Yϰ ;ϭϱ͕ϱϬϬ͕ϬϬϬ͘ϬϬͿ hE/d
^dd
^dZ
^hZz
03/07/2024 ϭϬϬ͘ϬϬϬ Ϭ͘ϬϬй ϭϱ͕ϱϬϬ͕ϬϬϬ͘ϬϬ Ϭ͘ϬϬ ϭϱ͕ϱϬϬ͕ϬϬϬ͘ϬϬ Ϭ͘ϬϬ Total Maturity (15,500,000.00) 15,500,000.00 0.00 15,500,000.00 0.00 dKd>/^WK^/d/KE^ (15,500,000.00) 15,500,000.00 0.00 15,500,000.00 0.00 Kd,
Z
TRANSACTIONS
ŝǀŝĚĞŶĚ ϬϯͬϮϴͬϮϬϮϰ ϲϬϵϯϰEϭϬϰ Ϭ͘ϬϬ &
Zd
,ZD^'sK/E^d ϱ͘ϭϵй ϱϱ͕ Ϯϵϴ͘Ϯϳ Ϭ͘ϬϬ ϱϱ͕Ϯϵϴ͘Ϯϳ Ϭ͘ϬϬ
dŽƚ
ĂůŝǀŝĚĞŶĚ 0.00 55,298.27 0.00 55,298.27 0.00
dKd>
Kd,
Z
TRANSACTIONS 0.00 55,298.27 0.00 55,298.27 0.00
DAX
FTSE
Nikkei
S&P 500
NASDAQ
Hang Seng
DOW JONES
World Stock Market Indices
Recent economic data has shown above trend growth fueled by a rise in consumer spending and a continuing healthy US job market. 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 March meeting, the Federal Open Market Committee voted unanimously to leave the Federal Funds rate unchanged at a target range of 5.25 - 5.50%. The March Summary of Economic Projections (SEP) showed stronger real GDP growth outlook and higher core inflation projections for 2024 on resilient labor market and consumer data. The median projection for the Federal Funds rate by year-end remained the same at 4.625%, implying three 0.25% cuts. We continue to believe the FOMC will loosen monetary policy in mid-2024 as inflation and economic growth continue to moderate.
The US Treasury yield curve stabilized in March as the Federal Open Market Committee (FOMC) left the Federal Funds rate unchanged. The 2-year Treasury yield remained steady at
4.62%, while the 5-year Treasury fell by 4 basis points to 4.21%, and the 10-year Treasury yield dropped by 5 basis points to 4.20%. By the end of March, the inversion between the 2- year Treasury yield and the 10-year Treasury yield widened to -42 basis points, compared to -37 basis points at the end of February. The movement of the yield curve suggests a potential flattening trend, indicating market expectations for slower economic growth. Upcoming inflation data are likely to be the primary drivers of the direction of interest rates in the near term and will play a key role in the Federal Reserve’s timing of potential rate cuts.
The US Treasury yield curve held within a narrow range in March.The 2-year Treasury yield was unchanged at 4.62%, the 5-year Treasury fell 4 basis points to 4.21%, and the 10-year Treasury yield dropped 5 basis points to 4.20%. The inversion between the 2-year Treasury yield and 10-year Treasury yield widened to -42 basis points at March month-end versus -37 basis points at February month-end. The spread between the 2-year Treasury and 10- year Treasury yield one year ago was -56 basis points. The inversion between 3-month and 10-year Treasuries widened to -117 basis points in March from -113 basis points in February.
Market Summary
BOND MARKET REVIEW
A Monthly Review of Fixed Income Markets
MARCH 2024
(UK)
(Japan)
(Germany)
(Hong Kong)
TREASURY YIELDS Trend 02/29/2024 1/31/2024 Change
Chandler Asset Management | 800.317.4747 | chandlerasset.com 5,096.27
7,630.02
16,091.92
38,996.39
17,678.19
16,511.44
250.62
(0.55)
1,026.37
927.91
774.43
846.09
data as of 02/29/2024
Change
(1/31/2024)
5.17%
(0.01%)
4.58%
39,166.19 2,879.48 7.94%
Source: Bloomberg. Please see
descriptions of indices on Page 2.
2.22%
6.12%
%CHG
6.63%
3-Month
2-Year
3-Year
5-Year
7-Year
10-Year
30-Year
5.38 4.62
4.42 4.25
4.27 4.25
4.38 5.37
4.21 3.98
3.84 3.88
3.91 4.17
0.02 0.41
0.43 0.41
0.40 0.34
0.21 Source: Bloomberg
Market Data
Toll Free: 800.317.4747
[email protected]
chandlerasset.com
Source: Bloomberg
( / )
TREASURY YIELDS WERE RANGE BOUND IN MARCH
,-,,11cHANDLER
" '· ASSET MANAGEMENT
7.00% ---- FEBRUARY2023 - - JANUARY2024 --FEBRUARY2024
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5.00% - ~~
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A
A
A
A
A
A
A
Economic Roundup
Retail Sales
Labor Market
Housing Starts
Consumer Prices
Crude oil prices increased as geopolitical concerns pushed prices higher Credit Spreads Tightened in March
ECONOMIC INDICATOR
Trade Balance
Gross Domestic Product
Unemployment Rate
Prime Rate
Refinitiv/CoreCommodity CRB Index
Oil (West Texas Int.)
Consumer Price Index (y/o/y)
Producer Price Index (y/o/y)
Euro/Dollar
CREDIT SPREADS
3-month top rated commercial paper
2-year A corporate note
5-year A corporate note
5-year Agency note
Prior Release
(67.60) $B ln JAN 24
3.40% DEC 24
3.70% JAN 24
8.50% JAN 24
272.41 JAN 24
$75.85 JAN 24
3.10% JAN 24
(0.80%) JAN 24
1.08 JAN 24
Spread to Treasuries (%)
5.34 0.42
0.65 0.06
One Month Ago (%)
5.35 0.47
0.68 0.10
Change
(0.01)
(0.05)
(0.03)
(0.04)
Chandler Asset Management | 800.317.4747 | chandlerasset.com Housing Starts increased 10.7% month-over-month in February to 1.521 million units, due to milder weather than seen in January and some rising confidence among homebuilders as mortgage rates fell below 7%. Starts for multi-family homes increased 8.6%, while single family homes increased
11.6% for the month. Total starts of new single-family homes are up 35.2% year-over-year. According to Freddie Mac, 30-year fixed mortgage rates averaged 6.79% as of March 31st. According to the Case-Shiller 20-City Home Price Index, housing prices rose 6.59% year-over-ye ar in January, accelerating from a 6.15% year-over-year gain in December. Tight inventories and higher mortgage rates continue to impact affor dability.
The U.S. economy added a better-than-expected 303,000 jobs in March, and the prior two months were revised up by 22,000. Leading sectors included healthcare and government. Job creation remains healthy, with the three-month moving average payrolls at 276,000 and the six-mo nth moving average at 244,000. The unemployment rate edged down to 3.8% in March. The labor participation rate ticked up to 62.7% but remained 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 was unchanged at 7.3%. Average hourly earnings rose 4.1% year-over-year in March, down from 4.3% last month. E mployment remains strong by historical standards.
March Retail Sales rose above expectations at +0.7% after a sizeable upward revision to +0.9% in February. On a year-over-year basis, Retail Sales growth increased 4.0% for March. Sales were supported by higher gas prices and higher volume sales in a busy travel period for spring break at schools, as well as strength from non-store retailers. The Conference Board’s Consumer Confidence Index edged down to 104.7 in March after a sizeable downward revision to 104.8 in February. The lower reading was largely due to a deteriorating view of the labor market and future business conditions, along with concerns about the highly polarized political environment. While the consumer has been resilient, dwindling excess savings, rising credit card balances, and the resumption of student loan payments pose potential headwinds to future economic growth.
The Consumer Price Index (CPI) came in higher than expected in March, increasing 0.4% month-over-month and 3.5% year-over-year. The Core CPI, which excludes volatile food and energy components, was up 0.4% month-over-month and 3.8% year-over-year in March, unchanged from 3.8% in February.
Energy costs accelerated during the month, and shelter costs remain elevated. The Personal Consumption Expenditures (PCE) Index headline inflation increased 0.3% month-over-month and rose 2.5% year-over-year in February, in line with expectations. Core PCE, the Federal Rese rve’s preferred inflation gauge, increased 0.3% month-over-month and rose 2.8% year-over-year. While the trend is moderating, the path to the Fed's 2% inflation target remains uneven.
BOND MARKET REVIEW
World Stock Market Index Descriptions
S&P 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 US market capitalization. NASDAQ–The NASDAQ Composite Index is the market capitalization-weighted index of over 3.300 common stocks listed on the NASDAQ stock exchange. Dow Jones–The Dow Jones Industrial Average is an index that tracks 30 large, publicly-owned companies trading on the New York Stock Exchange and the NASDAQ. The Financial Times Stock Exchange Group (FTSE)– The FTSE is a share index of the 100 companies listed on the London Stock Exchange with the highest market capitalization. DAX–The Deutscher Aktienindex (DAX) is a blue chip stock market index consisting of the 30 major German companies trading on the Frankfurt Stock Exchange. Hang Seng–The Hang Seng Index is a freefloat-adjusted market-capitalization- weighted stock market index in Hong Kong. It is used to record and monitor daily changes of the largest companies of the Hong Kong stock market and is the main indicator of overall market performance in Hong Kong. Nikkei–Japan's Nikkei 225 Stock Average is a price-weighted index composed of Japan's top 225 blue-chip companies traded on the Tokyo Stock Exchange. ©2024 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.© 2024 Chandler Asset Management, Inc. An Independent Registered Investment Adviser. Data source: Bloomberg, Federal Reserve, and the US Department of Labor. 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.
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 an 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 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. The S&P Corelogic Case-Shiller home price index tracks monthly changes in the value of residential real estate in 20 metropolitan regions across the nation.
Source: Bloomberg
Source: Bloomberg
Data as of 02/29/2024
Since 1988, Chandler
Asset Management
has specialized in
providing fixed
income investment
solutions to risk-averse
public agencies and
institutions. Chandler’s
mission is to provide
fully customizable
client-centered portfolio
management that
preserves principal,
mitigates risk, and
generates income in
our clients’ portfolios.
Current Release
(68.90) $B ln FEB 24
3.40% DEC 23
3.90% FEB 24
8.50% FEB 24
275.08 FEB 24
$78.26 FEB 24
3.20% FEB 24
(1.10%) FEB 24
1.08 FEB 24
One Year Ago
(70.08) $B ln FEB 23
2.60% DEC 22
3.60% FEB 23
7.75% FEB 23
269.84 FEB 23
$77.05 FEB 23
6.00% FEB 23
6.30% FEB 23
1.06 FEB 23