CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending December 31, 2023
City of Murrieta
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Consolidated Information
SECTION 4 Portfolio Holdings
SECTION 5 Transactions
Table of Contents As of December 31, 2023
1 SECTION |
Section 1 |
Economic Update
2 Economic Update
▪
▪
▪
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 December meeting, the Federal Open Market Committee voted unanimouslyto leave the Federal Funds rate unchanged at a target range of 5.25 - 5.50%. Fed Chair Powell signaled that the federal funds rate is likely at or near its peak. The new Summary of Economic Projections reflected Core PCE inflation reaching the target 2% level in 2026 without a significant increase in unemployment.We believe the FOMC will loosen monetary policy in mid-2024 as inflation and economic growth continue to moderate.
US Treasury rates fell steeply across the yield curve in December on decelerating inflation readings and a more dovish Federal Reserve outlook. The 2-year Treasury yield declined43 basis points to 4.25%, the 5-year Treasury yield dropped42 basis points to 3.85%, and the 10- year Treasury yield decreased 45 basis points to 3.88%. The inversion between the 2-year Treasury yield and 10-year Treasury yield widened to -37 basis points at December month-end versus -35 basis points at November month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -55 basis points. The inversion between 3-month and 10-year Treasuries widened to - 146 basis points in December from -107 basis points in November. Interest rates peaked in 2023 followed by the Fed’s dovish pivot late in the year, resulting in a decline in yields across the curve and signaling less restrictive monetary policy in 2024. The shape of the yield curve indicates that the probability of recession persists. 3 Employment
-400
-200
0 200
400
600
800
1,000MOM Change In Thousands (000'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)
Rate (%)
The U.S. economy added 216,000 jobsin December, exceeding consensus expectations of 175,000, and the last two months were revised down by 71,000 jobs. Leading sectors included government, leisure, hospitality, and healthcare. The trajectory of job creation is gradually moderating, with the three-month moving average payrollsat 165,000 and the six-month moving average at 193,000. The unemployment rate remained unchanged at 3.7%, and the labor participation rate decreased to 62.5% from 62.8%, falling well 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 7.1% from 7.0% last month. Average hourly earnings rose 4.1% year-over-year in December, increasing from a 4.0% gain last month. Employment remains strongby historical standards, but data are trending toward a less robust labor market outlook.
Source: US Department of Labor Source: US Department of Labor 4 Job Openings & Labor Turnover Survey
0 2,000
4,000
6,000
8,000
10,000
12,000
14,000
Job Openings
Recession
Historical Average
In Thousands (000's)
The Labor Department’s Job Openings and Labor Turnover Survey (JOLTS) dipped to 8.79 million in November, comparedto an upwardly revised 8.85 million for October. While on a downward trend, job openings still represent a healthy ratio of around 1.4 jobs for each unemployed individual. The quits rate declined to 2.2%, hovering around pre-pandemic levels, down from its high of 3.0% in mid-2022 when labor demand far outstripped supply. While the current level of job openings remains elevated from a historical perspective, the trend is decelerating.
Source: US Department of Labor
5 Inflation
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YOY (%) Change
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
YOY (%) Change
The Consumer Price Index (CPI) increased 0.1% month-over-month and 3.1% year-over-year in November, edging down from 3.2% year- over-year in October. The Core CPI, which excludes volatile food and energy components, was up 0.3% month-over-month and 4.0% year- over-year, unchanged from Octoberas expected. Shelter was the largest contributorto November's Core CPI monthly advance, accounting for 70% of the increase. The Personal Consumption Expenditures (PCE) Index eased more than expected in November, as headline inflation fell 0.1% month-over-month and rose 2.6% year-over-year, down from a 2.9% increase in October. Core PCE, the Federal Reserve’s preferred inflation gauge, increased 0.1% month-over-month and decelerated to 3.2% year-over-year in November from a 3.4% year-over-year increase in October. The trend is moderating, but inflation remains above the Fed's 2% target.
Source: US Department of Labor Source: US Department of Commerce 6 Consumer
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Retail Sales YOY % Change
YOY (%) Change
Retail Sales rose 0.3% in November after a downwards revision to -0.2% in October, exceeding the -0.1% consensus forecast. On a year- over-year basis, Retail Sales growth accelerated to 4.1% in November from 2.2% in October buoyed by non-store retailers up 10.6%, as well as food services and drinking places up 11.3%. The Conference Board’s Consumer Confidence Index surged to 110.7 in December from 101.0 in November, far surpassing consensus expectations. Positive ratings of job availability and increased confidence in personal income prospects contributed to the substantial increase. 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. 0 20
40 60
80 100
120
140
160
Index Level
Consumer Confidence
Recession
Source: US Department of Commerce Source: The Conference Board All time high is 144.70 (1/31/00); All time low is 25.30 (2/28/09) 7 Housing
0 200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
2,200
2,400In Thousands of Units
Annualized Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
Housing Starts increased sharply month-over-monthin Novemberby 14.8% to an annual rate of 1.560 million units. Starts were up 18% for single-family units and up 6.9% for multi-family. Total starts of new homes are up 9.3% year-over-year. The pick-up in growth can be partially attributed to lower costs of construction materials and homebuilders adjusting projects to accommodate the higher interest rate environment. According to Freddie Mac, average 30-year fixed rate mortgage rates declined to 6.49% as of December 21st, paralleling the dropin the 10-year US Treasury yield. According to the Case-Shiller 20-City Home Price Index, housing prices rose 4.9% year-over-year in October, accelerating from a 3.9% year-over-year gain in September. Tight inventories and higher mortgage rates continue to impact affordability.
Source: US Department of Commerce Source: S&P
-20.0%
-16.0%
-12.0%
-8.0%
-4.0%
0.0%
4.0%
8.0%
12.0%
16.0%
20.0%
24.0%
S&P/Case-Shiller 20 City Composite Home Price Index
Recession
YOY (%) Change
8 Survey Based Measures
40 45
50 55
60 65
70 Institute of Supply Management (ISM) Surveys
ISM Manufacturing ISM Services
EXPANDING
CONTRACTING
The Institute for Supply Management (ISM) Manufacturing index moved higher to 47.4 in December from 46.7 in November due to improved performance as suppliers are better able to meet lower demand levels. However, this marks the 14th consecutive month of contraction in factory activity below a reading of 50. The ISM Services Index unexpectedly declined to 50.6 in December from 52.7 in November, narrowly remaining in the expansion zone above 50. Notably, the employment component of the index plummeted by 7.4 points to 43.3, entering contractionary territory. This decline was primarily driven by increased layoffs and a softening in consumer demand.
Source: Institute for Supply Management
9 Gross Domestic Product (GDP)
Components of GDP 12/22 3/23 6/23 9/23
0.8% 2.5% 0.6% 2.1%
0.6% -1.7% 0.9% 1.7%
0.3% 0.6% 0.0% 0.0%
0.6% 0.3% 0.1% 0.5%
0.3% 0.5% 0.5% 0.5%
2.6% 2.3% 2.1% 4.9%
Personal Consumption Expenditures
Gross Private Domestic Investment
Net Exports and Imports
Federal Government Expenditures
Total
State and Local (Consumption and Gross
Investment)
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Source: US Department of Commerce Source: US Department of Commerce According to the third estimate, third quarter GDP grew at an annualized rate of 4.9%, revised down from the second estimate of 5.2%, with the downward revisions driven primarily by personal consumption expenditures. The consensus estimate calls for a marked slowing to 1.2% in the fourth quarter and 2.4% for full year 2023. 10 Leading Indicators of Economic Activity
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Leading Economic Indicators (LEI)
Recession
YOY (%) Change
-1.00
-0.75
-0.50
-0.25
0.00 0.25
0.50 0.75
1.00 Chicago Fed National Activity Index (CFNAI)
Recession
3 Month Average
The Conference Board’s Leading Economic Index (LEI) fell 0.5% in November, marking the twentieth consecutive month-over-month decline. The index dropped 7.6% year-over-year. The Conference Board expects the consistent decline month-over-month to result in a slowdown in economic activity. The Chicago Fed National Activity Index (CFNAI) improvedin Novemberto 0.03 from a downwardly revised -0.66 in October. On a 3-month moving average basis, the CFNAI rose slightly to -0.20 in November from -0.26 in October, indicating a rate of growth below the historical average trend.
Source: The Conference Board Source: Federal Reserve Bank of Chicago 11 Federal Reserve
Source: Federal Reserve Source: Bloomberg
0 1,000,000
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000
10,000,000
Federal Reserve Balance Sheet Assets
Recession
In $ millions
As expected at the December 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 Fed acknowledged inflation eased over the past year while remaining elevated. Fed Chair Powell signaled that the federal funds rate is likely at or near its peak. The Summary of Economic Projections reflected Core PCE inflation reaching the target 2% level in 2026 without a significant increase in unemployment. The median forecast for the federal funds rate declined to 4.6%, implying three quarter-point cuts next year, four in 2025 and three in 2026, placing the federal funds target rate around
2.9% at the end of the forecast horizon. The market interpreted the statement as dovish, with futures contracts pricing in rate cuts sooner and more aggressively than the Fed’s forecasts next year. We believe the FOMC will loosen monetary policy in mid-2024 as inflation and economic growth continue to moderate. Since the Fed began its Quantitative Tightening campaign in June 2022, securities holdings have declined by over $1.2T to approximately $7.8T.
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Effective Federal Funds Rate
Recession
Yield (%)
12 Bond Yields
Source: Bloomberg Source: Bloomberg
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yield (%)
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Yield Curve
Dec-23
Sep-23
Dec-22
Yield (%)
At the end of December, the 2-year Treasury yield was 18 basis points lower, and the 10-Year Treasury yield was flat, year-over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield widened to -37 basis points at December month-end versus -35 basis points at November month-end. The average historical spread (since 2003) is about +130 basis points. The inversion between 3- month and 10-year Treasuries widened to -146 basis points in December from -107 basis points in November. The shape of the yield curve indicates that the probability of recession persists. 13 Section 2|SECTION |
Section 2 |
Account Profile
14 Objectives
Chandler Asset Management Performance Objective
The performance objective for the portfolio is to achieve a rate of return over a market cycle that equals or exceeds the return on a market index of similar duration and sector allocation.
Investment Objectives
The City of Murrieta'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.
Strategy
In order to achieve these objectives, the portfolio invests in high quality fixed income securities consistent with the investment policy and California Government Code.
As of December 31, 2023
15 Compliance As of December 31, 2023
Category Standard Comment
U.S. Treasuries No limit; 5 years max maturity Complies Federal Agencies 30% max per Agency/GSE issuer; 20% max agency callable securities; 5 years max maturity Complies Municipal Securities (CA, Other States) "A" rating category or better by a NRSRO; 30% max; 5% max per issuer; 5 years max maturity Complies Supranational Obligations "AA" rating category or higher by a NRSRO; 30% max; 10% max per issuer; 5 years max maturity; USD denominated senior unsecured unsubordinated obligations; Issued or unconditionally guaranteed by IBRD, IFC, or IADB Complies Corporate Medium Term Notes
"A" rating category or higher by a NRSRO; 30% max; 5% max per issuer in Medium Term Notes and Commercial Paper; 5 years max maturity; Issued by corporations organized and operating within the U.S. or by depository institutions licensed by the U.S. or any state and operating within the U.S.
Complies
Asset-Backed Securities, Mortgage-
Backed Securities, Collateralized
Mortgage Obligations, Pass-Through
Securities
"AA" rating category or higher by a NRSRO; 20% max (total aggregate in mortgage-backed and asset-backed securities); 5% max per issuer that is not a U.S. government agency; Mortgage-Backed Securities, Collateralized Mortgage Obligations and Asset-Backed Securities limited to mortgage-backed pass-through securities issued by a U.S. government agency or consumer receivable pass-through certificates or bonds; 5 years max maturity Complies
Negotiable Certificates of Deposit (NCD)
The amount of NCD insured up to the FDIC limit does not require any credit ratings; Any amount above FDIC insured limit must be issued by institutions with "A-1" short-term debt rating or better by a NRSRO; or "A" long-term rating category or better by a NRSRO; 30% max (combined with CDARS); 5% max per issuer; 5 years max maturity Complies
Certificate of Deposit Placement Service
(CDARS) 30% max (combination of Certificates of Deposit, including CDARS); 5 years max maturity Complies Time Deposits (Non-negotiable CD/TD) 20% max combined FDIC & Collateralized CD/TD; 5 years max maturity Complies Collateralized Bank Deposits Deposits with financial institutions will be collateralized with pledged securities per California Government Code Complies Banker’s Acceptances
"A-1" rated or higher by a NRSRO; "A" rating category or higher by a NRSRO, if issuers have senior debt outstanding; 30% max; 5% max in bankers acceptance of any one commercial bank; 180 days max maturity; Issued by FDIC insured commercial banks.
Complies
Commercial Paper
25% max; 40% max if the Agency’s investment assets under management are greater than $100 million, under a provision sunsetting on January 1, 2026; 5% max per issuer in Commercial Paper and Medium Term Notes; 270 days maturity; Prime Commercial Paper with the highest rating by a NRSRO; The entity that issues the commercial paper shall meet all of the conditions in either 1) or 2): 1) (a) be organized and operating in the U.S. as a general corporation, (b) have total assets in excess of $500 million, and (c) have debt other than commercial paper, if any, that has "A" rating category or higher by a NRSRO; 2) (a) be organized within the U.S. as a special purpose corporation, trust, or limited liability company; (b) have program-wide credit enhancements including, but not limited to, overcollateralization, letters of credit, or surety bond; and (c) have commercial paper that has "A-1" rating category or higher by a NRSRO.
Complies
Murrieta Consolidated
Assets managed by Chandler Asset Management are in full compliance with state law and the Client's investment policy. 16 Compliance As of December 31, 2023
Category Standard Comment
Money Market Funds
"AAA" rating category by two NRSROs; 20% max (aggregate investment in combination of Money Market Funds and Mutual Funds); Investment in any individual fund may not exceed 10% of the fund; Registered under the Investment Company Act of 1940; "no load"; constant net asset value per share $1; invest only in securities authorized by California statute.
Complies
Mutual Funds
"AAA" rating category by two NRSROs; 20% max (aggregate investment in combination of Mutual Funds and Money Market Funds); Investment in any individual Mutual Fund shall not exceed 10% of the portfolio; Investment in any individual fund may not exceed 10% of the fund; Registered under the Investment Company Act of 1940; "no load"; invest only in securities authorized by California statute.
Complies
Local Agency Investment Fund (LAIF) Maximum amount permitted by LAIF, pursuant to California Government Code; Not used by investment adviser Complies Repurchase Agreements 20% max; 1 year max maturity; 102% collateralized; Not used by investment adviser Complies Max Per Issuer 5% max per issuer for all non-federal government securities, with the exception of Money Market Funds, Mutual Funds, Supranationals, LAIF, or unless otherwise specified in the investment policy Complies Maximum Maturity 5 years max maturity, unless the City Council has by resolution granted authority to make such an investment at least 3 months prior to the date of the investment Complies
Murrieta Consolidated
Assets managed by Chandler Asset Management are in full compliance with state law and the Client's investment policy. 17 Portfolio Characteristics
City of Murrieta
12/31/23 09/30/23
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 1.85 2.01 2.01
Average Modified Duration 1.77 1.78 1.76
Average Purchase Yield n/a 2.92% 2.63%
Average Market Yield 4.37% 4.62% 5.29%
Average Quality** AA+ AA/Aa1 AA/Aa1
Total Market Value 132,457,325 129,095,855
*ICE BofA 1-3 Yr US Treasury Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of December 31, 2023
18 City of Murrieta
Sector Distribution
ABS
4.7%
Agency
20.7%
CMO
6.1%
Corporate
24.6%
Money Market
Fund
0.1%
Supranational
1.5%
US Treasury
42.3%
December 31, 2023 September 30, 2023
ABS
5.7%
Agency
20.2%
CMO
6.1%
Corporate
22.4%
Money Market
Fund
0.7%
Supranational
2.1%
US Treasury
42.8%
As of December 31, 2023
19 Issue Name Investment Type % Portfolio
Government of United States US Treasury 42.30%
Federal Home Loan Bank Agency 11.26%
Federal Farm Credit Bank Agency 7.94%
Federal Home Loan Mortgage Corp CMO 6.14%
Paccar Financial Corporate 1.91%
Bank of America Corp Corporate 1.51%
Federal National Mortgage Association Agency 1.50%
Microsoft Corporate 1.41%
Caterpillar Inc Corporate 1.39%
Deere & Company Corporate 1.21%
JP Morgan Chase & Co Corporate 1.20%
Inter-American Dev Bank Supranational 1.16%
Florida Power and Light Corporate 1.14%
JP Morgan ABS ABS 1.01%
Amazon.com Inc Corporate 0.92%
Toyota Motor Corp Corporate 0.84%
National Rural Utilities Corporate 0.82%
Metlife Inc Corporate 0.77%
Morgan Stanley Corporate 0.76%
Home Depot Corporate 0.76%
US Bancorp Corporate 0.75%
Northern Trust Corp Corporate 0.75%
Duke Energy Field Services Corporate 0.75%
Apple Inc Corporate 0.75%
Toronto Dominion Holdings Corporate 0.74%
Chubb Corporation Corporate 0.74%
Royal Bank of Canada Corporate 0.73%
Honeywell Corp Corporate 0.72%
ChevronTexaco Corp Corporate 0.68%
American Express ABS ABS 0.67%
Bank of New York Corporate 0.67%
Mass Mutual Insurance Corporate 0.57%
Public Service El & Gas Corporate 0.55%
John Deere ABS ABS 0.52%
GM Financial Securitized Term Auto Trust ABS 0.50%
Honda ABS ABS 0.47%
Charles Schwab Corp/The Corporate 0.43%
Hyundai Auto Receivables ABS 0.40%
Issuers
City of Murrieta – Account
As of December 31, 2023
20 Issue Name Investment Type % Portfolio
Pepsico Inc Corporate 0.40%
Intl Bank Recon and Development Supranational 0.38%
United Health Group Inc Corporate 0.32%
Verizon Master Trust ABS 0.31%
BMW ABS ABS 0.25%
State Street Bank Corporate 0.24%
GM Financial Automobile Leasing Trust ABS 0.21%
BMW Vehicle Lease Trust ABS 0.18%
Salesforce.com Inc Corporate 0.15%
Toyota ABS ABS 0.12%
First American Govt Obligation Fund Class-Z Money Market Fund 0.07% Mercedes-Benz Auto Lease Trust ABS 0.03%
TOTAL 100.00%
Issuers
City of Murrieta – Account
As of December 31, 2023
21 AAA AA A <A NR
12/31/23 7.5% 66.7% 19.5% 0.0% 6.3%
09/30/23 9.4% 66.8% 17.2% 0.0% 6.6%
Source: S&P Ratings
December 31, 2023 vs. September 30, 2023
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
AAA AA A <A NR
12/31/23 09/30/23
Quality Distribution
City of Murrieta
As of December 31, 2023
22 0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ December 31, 2023 September 30, 2023
December 31, 2023 vs. September 30, 2023
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ 12/31/23 10.9% 7.3% 11.5% 27.6% 25.8% 12.5% 4.3% 0.0%
09/30/23 8.0% 10.8% 13.7% 28.9% 22.6% 11.5% 4.4% 0.0%
City of Murrieta
Duration Distribution As of December 31, 2023
23 Total Rate of Return Annualized Since Inception January 31, 2020 Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the ending value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
Investment Performance
City of Murrieta
-1.00%
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
12 months 2 years 3 years 5 years 10 years Since Inception City of Murrieta ICE BofA 1-3 Yr US Treasury Index
Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since Inception
City of Murrieta 2.61% 4.86% 0.74% 0.34% N/A N/A 0.95%
ICE BofA 1-3 Yr US Treasury Index 2.49% 4.26% 0.22% -0.04% N/A N/A 0.62% As of December 31, 2023
24 Portfolio Characteristics
Murrieta Liquidity
12/31/23
Portfolio
09/30/23
Portfolio
Average Maturity (yrs) 0.29 0.42
Modified Duration 0.28 0.41
Average Purchase Yield 5.70% 5.58%
Average Market Yield 5.56% 5.61%
Average Quality* AAA/Aaa AAA/Aaa
Total Market Value 11,198,702 11,020,682
*Portfolio is S&P and Moody’s, respectively.
As of December 31, 2023
25 Murrieta Liquidity
Sector Distribution
Commercial
Paper
35.0%
Money Market
Fund
2.3%Negotiable CD
18.3%
US Treasury
44.4%
December 31, 2023 September 30, 2023
Commercial
Paper
17.6%
Money Market
Fund
19.7%
Negotiable CD
18.2%
US Treasury
44.5%
As of December 31, 2023
26 0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
45.0%
50.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ Murrieta Liquidity
Portfolio Compared to the Benchmark
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ Murrieta Liquidity 46.7% 35.0% 18.3% 0.0% 0.0% 0.0% 0.0% 0.0% Duration Distribution
Murrieta Liquidity
As of December 31, 2023
27 Issue Name Investment Type % Portfolio
Government of United States US Treasury 44.40%
Cooperatieve Rabobank UA Negotiable CD 18.28%
MUFG Bank Ltd/NY Commercial Paper 17.57%
Toyota Motor Corp Commercial Paper 17.47%
First American Govt Obligation Fund Class-Z Money Market Fund 2.28% TOTAL 100.00%
Issuers
Murrieta Liquidity – Account
As of December 31, 2023
28 Portfolio Characteristics
Murrieta Consolidated
12/31/23
Portfolio
09/30/23
Portfolio
Average Maturity (yrs) 1.87 1.89
Modified Duration 1.66 1.65
Average Purchase Yield 3.13% 2.86%
Average Market Yield 4.69% 5.32%
Average Quality* AA/Aa1 AA+/Aa1
Total Market Value 143,656,027 140,116,536
*Portfolio is S&P and Moody’s, respectively.
As of December 31, 2023
29 Murrieta Consolidated
Sector Distribution
ABS
4.3%
Agency
19.1%
CMO
5.7%
Commercial
Paper
2.7%
Corporate
22.7%
Money Market
Fund
0.2%
Negotiable CD
1.4%
Supranational
1.4%
US Treasury
42.5%
December 31, 2023 September 30, 2023
ABS
5.2%
Agency
18.6%
CMO
5.7%
Commercial
Paper
1.4%
Corporate
20.6%
Money Market
Fund
2.2%
Negotiable CD
1.4%
Supranational
2.0%
US Treasury
42.9%
As of December 31, 2023
30 SECTION |
Section 3 |
Consolidated Information
31 Portfolio Characteristics
Murrieta Consolidated
12/31/23 09/30/23
Portfolio Portfolio
Average Maturity (yrs) 1.87 1.89
Modified Duration 1.66 1.65
Average Purchase Yield 3.13% 2.86%
Average Market Yield 4.69% 5.32%
Average Quality* AA/Aa1 AA+/Aa1
Total Market Value 143,656,027 140,116,536
* Portfolio is S&P and Moody’s respectively.
As of December 31, 2023
32 Murrieta Consolidated
Sector Distribution
ABS
4.3%
Agency
19.1%
CMO
5.7%
Commercial
Paper
2.7%
Corporate
22.7%
Money Market
Fund
0.2%
Negotiable CD
1.4%
Supranational
1.4%
US Treasury
42.5%
December 31, 2023 September 30, 2023
ABS
5.2%
Agency
18.6%
CMO
5.7%
Commercial
Paper
1.4%
Corporate
20.6%
Money Market
Fund
2.2%
Negotiable CD
1.4%
Supranational
2.0%
US Treasury
42.9%
As of December 31, 2023
33 SECTION |
Section 4 |
Portfolio Holdings
34 Holdings Report
City of Murrieta - Account
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
ABS
58769KAD6 Mercedes-Benz Auto Lease Trust 2021-B A3
0.400% Due 11/15/2024
44,170.92 06/22/2021
0.40%
44,167.59
44,167.59
99.81 6.17%
44,087.35
7.85 0.03%
(80.24)
NR / AAA
AAA
0.88 0.03
05601XAC3 BMW Vehicle Lease Trust 2022-1 A3
1.100% Due 03/25/2025
84,501.02 01/11/2022
1.11%
84,488.39
84,488.39
99.43 6.24%
84,021.48
15.49 0.06%
(466.91)
NR / AAA
AAA
1.23 0.11
43813GAC5 Honda Auto Receivables Trust 2021-1 A3
0.270% Due 04/21/2025
41,577.59 02/17/2021
0.27%
41,576.83
41,576.83
98.79 6.20%
41,072.76
3.12 0.03%
(504.07)
Aaa / NR
AAA
1.31 0.20
89240BAC2 Toyota Auto Receivables Owners 2021-A A3
0.260% Due 05/15/2025
156,201.08 02/02/2021
0.27%
156,172.09
156,172.09
98.89 6.00%
154,472.09
18.05 0.12%
(1,700.00)
Aaa / NR
AAA
1.37 0.19
47788UAC6 John Deere Owner Trust 2021-A A3
0.360% Due 09/15/2025
101,136.99 03/02/2021
0.37%
101,117.56
101,117.56
98.22 5.62%
99,341.10
16.18 0.08%
(1,776.46)
Aaa / NR
AAA
1.71 0.34
44933LAC7 Hyundai Auto Receivables Trust 2021-A A3
0.380% Due 09/15/2025
124,356.94 04/20/2021
0.38%
124,343.86
124,343.86
98.59 5.75%
122,597.41
21.00 0.09%
(1,746.45)
NR / AAA
AAA
1.71 0.26
05593AAC3 BMW Vehicle Lease Trust 2023-1 A3
5.160% Due 11/25/2025
155,000.00 02/07/2023
5.22%
154,996.31
154,996.31
99.87 5.37%
154,804.24
133.30
0.12%
(192.07)
Aaa / AAA
NR
1.90 0.80
44934KAC8 Hyundai Auto Receivables Trust 2021-B A3
0.380% Due 01/15/2026
411,427.87 07/20/2021
0.39%
411,337.07
411,337.07
97.82 5.84%
402,474.79
69.49 0.30%
(8,862.28)
NR / AAA
AAA
2.04 0.40
43815GAC3 Honda Auto Receivables Trust 2021-4 A3
0.880% Due 01/21/2026
229,862.24 11/16/2021
0.89%
229,813.80
229,813.80
97.04 5.75%
223,047.74
56.19 0.17%
(6,766.06)
Aaa / NR
AAA
2.06 0.61
47789QAC4 John Deere Owner Trust 2021-B A3
0.520% Due 03/16/2026
252,861.88 07/13/2021
0.52%
252,839.32
252,839.32
97.29 5.63%
246,013.62
58.44 0.19%
(6,825.70)
Aaa / NR
AAA
2.21 0.53
43815PAC3 Honda Auto Receivables 2022-2 A3
3.730% Due 07/20/2026
365,000.00 08/15/2022
3.76%
364,978.25
364,978.25
98.46 5.28%
359,374.29
491.63
0.27%
(5,603.96)
NR / AAA
AAA
2.55 1.02
05602RAD3 BMW Vehicle Owner Trust 2022-A A3
3.210% Due 08/25/2026
341,700.36 05/10/2022
3.23%
341,682.59
341,682.59
98.59 5.24%
336,876.92
182.81
0.25%
(4,805.67)
Aaa / AAA
NR
2.65 0.70
362554AC1 GM Financial Securitized Term 2021-4 A3
0.680% Due 09/16/2026
180,108.75 10/13/2021
0.68%
180,104.16
180,104.16
96.65 5.81%
174,071.14
51.03 0.13%
(6,033.02)
Aaa / AAA
NR
2.71 0.65
47787JAC2 John Deere Owner Trust 2022-A A3
2.320% Due 09/16/2026
346,467.08 03/10/2022
2.34%
346,390.45
346,390.45
97.77 5.39%
338,728.39
357.25
0.26%
(7,662.06)
Aaa / NR
AAA
2.71 0.73
380146AC4 GM Financial Auto Receivables 2022-1 A3
1.260% Due 11/16/2026
179,299.85 01/11/2022
1.27%
179,284.26
179,284.26
97.07 5.49%
174,047.98
94.13 0.13%
(5,236.28)
NR / AAA
AAA
2.88 0.69
379929AD4 GM Financial Auto Leasing 2023-3 A3
5.380% Due 11/20/2026
280,000.00 08/08/2023
5.45%
279,966.43
279,966.43
100.67
5.00%
281,873.20
460.29
0.21%
1,906.77
NR / AAA
AAA
2.89 1.53
36265WAD5 GM Financial Securitized Auto 2022-3 A3
3.640% Due 04/16/2027
320,000.00 07/06/2022
3.67%
319,997.79
319,997.79
98.38 5.18%
314,830.72
485.33
0.24%
(5,167.07)
Aaa / NR
AAA
3.29 1.07
As of December 31, 2023
35 Holdings Report
City of Murrieta - Account
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
02582JJT8 American Express Credit Trust 2022-2 A
3.390% Due 05/17/2027
905,000.00 05/17/2022
3.42%
904,799.81
904,799.81
97.95 4.99%
886,482.80
1,363.53
0.67%
(18,317.01)
NR / AAA
AAA
3.38 1.30
92348KAV5 Verizon Master Trust 2022-5 A1A
3.720% Due 07/20/2027
415,000.00 08/02/2022
3.75%
414,981.74
414,981.74
99.90 4.58%
414,594.55
471.72
0.31%
(387.19)
NR / AAA
AAA
3.55 0.62
161571HT4 Chase Issuance Trust 23-A1 A
5.160% Due 09/15/2028
1,320,000.00 09/07/2023
5.23%
1,319,634.10
1,319,634.10
101.55
4.59%
1,340,415.12
3,027.20
1.01%
20,781.02
NR / AAA
AAA
4.71 2.46
TOTAL ABS 6,253,672.57 3.11%
6,252,672.40
6,252,672.40 5.18%
6,193,227.69
7,384.03
4.68%
(59,444.71)
Aaa / AAA
AAA
3.11 1.17
Agency
3133EKMX1 FFCB Note
2.230% Due 02/23/2024
2,000,000.00 07/16/2019
1.97%
2,022,820.00
2,022,820.00
99.54 5.42%
1,990,734.00
15,857.78
1.51%
(32,086.00)
Aaa / AA+
AA+
0.15 0.14
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
2,000,000.00 09/13/2019
1.76%
2,101,140.00
2,101,140.00
98.93 5.29%
1,978,578.00
2,715.28
1.50%
(122,562.00)
Aaa / AA+
NR
0.45 0.44
3135G0V75 FNMA Note
1.750% Due 07/02/2024
2,000,000.00 10/21/2019
1.66%
2,007,660.00
2,007,660.00
98.33 5.15%
1,966,642.00
17,402.78
1.50%
(41,018.00)
Aaa / AA+
AA+
0.50 0.49
3130AQF40 FHLB Note
1.000% Due 12/20/2024
1,400,000.00 12/21/2021
1.03%
1,398,768.00
1,398,768.00
96.40 4.85%
1,349,591.60
427.78
1.02%
(49,176.40)
Aaa / AA+
NR
0.97 0.94
3133ENKS8 FFCB Note
1.125% Due 01/06/2025
755,000.00 01/06/2022
1.20%
753,301.25
753,301.25
96.64 4.55%
729,665.22
4,128.91
0.55%
(23,636.03)
Aaa / AA+
AA+
1.02 0.98
3133ENPG9 FFCB Note
1.750% Due 02/14/2025
1,200,000.00 02/25/2022
1.82%
1,197,456.00
1,197,456.00
96.95 4.57%
1,163,448.00
7,991.67
0.88%
(34,008.00)
Aaa / AA+
AA+
1.13 1.08
3130AWLZ1 FHLB Note
4.750% Due 06/12/2026
2,000,000.00 08/16/2023
4.78%
1,998,620.00
1,998,620.00
101.25
4.20%
2,025,056.00
5,013.89
1.53%
26,436.00
Aaa / AA+
NR
2.45 2.29
3133EPZY4 FFCB Note
5.000% Due 07/30/2026
2,000,000.00 11/09/2023
4.85%
2,007,480.00
2,007,480.00
102.09
4.14%
2,041,706.00
16,944.44
1.55%
34,226.00
Aaa / AA+
NR
2.58 2.39
3133EPSW6 FFCB Note
4.500% Due 08/14/2026
2,405,000.00 08/09/2023
4.58%
2,399,468.50
2,399,468.50
100.84
4.16%
2,425,228.46
41,185.63
1.86%
25,759.96
Aaa / AA+
AA+
2.62 2.41
3130AWTQ3 FHLB Note
4.625% Due 09/11/2026
4,500,000.00 Various
4.81%
4,476,030.00
4,476,030.00
101.29
4.11%
4,558,261.50
84,984.38
3.51%
82,231.50
Aaa / AA+
NR
2.70 2.47
3130AXU63 Federal Home Loan Banks Note
4.625% Due 11/17/2026
1,750,000.00 11/30/2023
4.53%
1,754,427.50
1,754,427.50
101.41
4.10%
1,774,708.25
9,892.36
1.35%
20,280.75
Aaa / AA+
NR
2.88 2.66
3130AVVX7 FHLB Note
3.750% Due 06/09/2028
1,120,000.00 06/07/2023
4.00%
1,107,243.20
1,107,243.20
99.34 3.91%
1,112,606.88
2,566.67
0.84%
5,363.68
Aaa / AA+
NR
4.44 4.04
3130AWC24 FHLB Note
4.000% Due 06/09/2028
2,000,000.00 07/06/2023
4.49%
1,956,940.00
1,956,940.00
100.35
3.91%
2,007,000.00
4,888.89
1.52%
50,060.00
Aaa / AA+
NR
4.44 4.02
As of December 31, 2023
36 Holdings Report
City of Murrieta - Account
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
3133EPWK7 FFCB Note
4.500% Due 09/22/2028
2,000,000.00 10/12/2023
4.71%
1,981,460.00
1,981,460.00
102.60
3.89%
2,052,030.00
24,750.00
1.57%
70,570.00
Aaa / AA+
AA+
4.73 4.18
TOTAL Agency 27,130,000.00 3.60%
27,162,814.45
27,162,814.45 4.41%
27,175,255.91
238,750.46
20.70%
12,441.46
Aaa / AA+
AA+
2.32 2.13
CMO
3137BM7C4 FHLMC K051 A2
3.308% Due 09/25/2025
1,223,000.00 06/23/2022
3.33%
1,220,420.23
1,220,420.23
97.54 4.82%
1,192,932.55
3,371.40
0.90%
(27,487.68)
NR / NR
AAA
1.74 1.51
3137BSP72 FHLMC K058 A2
2.653% Due 08/25/2026
2,000,000.00 02/09/2023
4.35%
1,890,546.88
1,890,546.88
95.42 4.49%
1,908,336.00
4,421.67
1.44%
17,789.12
NR / NR
AAA
2.65 2.46
3137BTUM1 FHLMC K061 A2
3.347% Due 11/25/2026
898,654.79 09/22/2022
4.37%
866,394.49
866,394.49
96.92 4.50%
870,957.35
2,506.50
0.66%
4,562.86
NR / NR
AAA
2.90 2.56
3137BVZ82 FHLMC K063
3.430% Due 01/25/2027
862,000.00 Various
4.09%
839,600.51
839,600.51
97.17 4.42%
837,630.40
2,463.89
0.63%
(1,970.11)
NR / NR
AAA
3.07 2.72
3137F1G44 FHLMC K065 A2
3.243% Due 04/25/2027
1,000,000.00 09/19/2022
4.08%
965,468.75
965,468.75
96.45 4.40%
964,479.00
2,702.50
0.73%
(989.75)
NR / NR
AAA
3.32 3.00
3137FBU79 FHLMC K069 A2
3.187% Due 09/25/2027
1,250,000.00 05/18/2023
4.65%
1,200,732.43
1,200,732.43
95.94 4.38%
1,199,255.00
3,319.79
0.91%
(1,477.43)
NR / AAA
NR
3.74 3.33
3137F4X72 FHLMC K075 A2
3.650% Due 02/25/2028
1,165,000.00 09/14/2023
4.92%
1,107,478.13
1,107,478.13
97.21 4.37%
1,132,454.56
3,543.54
0.86%
24,976.43
NR / NR
AAA
4.16 3.74
TOTAL CMO 8,398,654.79 4.26%
8,090,641.42
8,090,641.42 4.49%
8,106,044.86
22,329.29
6.14%
15,403.44
NR / AAA
AAA
3.04 2.73
Corporate
24422EVN6 John Deere Capital Corp Note
0.450% Due 01/17/2024
865,000.00 03/01/2021
0.47%
864,385.85
864,385.85
99.79 5.10%
863,211.18
1,773.25
0.65%
(1,174.67)
A2 / A
A+
0.05 0.04
69371RR24 Paccar Financial Corp Note
0.350% Due 02/02/2024
795,000.00 01/28/2021
0.39%
794,077.80
794,077.80
99.56 5.50%
791,483.72
1,151.65
0.60%
(2,594.08)
A1 / A+
NR
0.09 0.09
594918BX1 Microsoft Callable Note Cont 12/6/2023
2.875% Due 02/06/2024
1,850,000.00 07/18/2019
2.07%
1,914,361.50
1,914,361.50
99.75 5.37%
1,845,384.25
21,422.74
1.41%
(68,977.25)
Aaa / AAA
NR
0.10 0.09
166764BT6 Chevron Corp Callable Note Cont 1/3/2024
2.895% Due 03/03/2024
900,000.00 11/04/2019
1.94%
935,334.00
935,334.00
99.51 5.72%
895,584.60
8,540.25
0.68%
(39,749.40)
Aa2 / AA-
NR
0.17 0.17
808513BN4 Charles Schwab Corp Callable Note Cont 2/18/2024
0.750% Due 03/18/2024
575,000.00 03/16/2021
0.77%
574,712.50
574,712.50
98.97 5.60%
569,094.18
1,233.85
0.43%
(5,618.32)
A2 / A-
A
0.21 0.21
As of December 31, 2023
37 Holdings Report
City of Murrieta - Account
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
023135BW5 Amazon.com Inc Note
0.450% Due 05/12/2024
805,000.00 05/10/2021
0.50%
803,824.70
803,824.70
98.23 5.40%
790,774.04
493.06
0.60%
(13,050.66)
A1 / AA
AA-
0.36 0.36
91324PEB4 United Health Group Inc Callable Note Cont 5/15/2022
0.550% Due 05/15/2024
425,000.00 11/08/2021
0.78%
422,560.50
422,560.50
98.19 5.50%
417,321.53
298.68
0.32%
(5,238.97)
A2 / A+
A
0.37 0.36
24422EVQ9 John Deere Capital Corp Note
0.450% Due 06/07/2024
760,000.00 06/07/2021
0.49%
759,050.00
759,050.00
97.86 5.50%
743,753.48
228.00
0.56%
(15,296.52)
A2 / A
A+
0.44 0.42
06051GJY6 Bank of America Corp Callable Note Cont 6/14/2023
5.720% Due 06/14/2024
960,000.00 06/07/2021
2.22%
960,064.00
960,064.00
99.86 6.07%
958,642.56
2,745.60
0.73%
(1,421.44)
A1 / A-
AA-
0.45 0.20
89236TJH9 Toyota Motor Credit Corp Note
0.500% Due 06/18/2024
1,140,000.00 06/15/2021
0.54%
1,138,643.40
1,138,643.40
97.68 5.62%
1,113,581.64
205.83
0.84%
(25,061.76)
A1 / A+
A+
0.47 0.45
79466LAG9 Salesforce.com Inc Callable Note Cont 7/15/2022
0.625% Due 07/15/2024
200,000.00 06/29/2021
0.64%
199,898.00
199,898.00
97.48 5.43%
194,958.40
576.39
0.15%
(4,939.60)
A2 / A+
NR
0.54 0.52
91159HHX1 US Bancorp Callable Note Cont 6/28/2024
2.400% Due 07/30/2024
1,000,000.00 11/09/2021
0.85%
1,041,550.00
1,041,550.00
98.27 5.45%
982,713.00
10,066.67
0.75%
(58,837.00)
A3 / A
A
0.58 0.56
69371RR40 Paccar Financial Corp Note
0.500% Due 08/09/2024
245,000.00 08/03/2021
0.52%
244,867.70
244,867.70
97.06 5.50%
237,800.68
483.19
0.18%
(7,067.02)
A1 / A+
NR
0.61 0.59
78016EYM3 Royal Bank of Canada Note
1.600% Due 01/21/2025
1,000,000.00 01/12/2022
1.60%
1,000,000.00
1,000,000.00
96.47 5.08%
964,651.00
7,111.11
0.73%
(35,349.00)
A1 / A
AA-
1.06 1.02
06406RBC0 Bank of NY Mellon Corp Callable Note Cont 3/25/2025
3.350% Due 04/25/2025
900,000.00 04/19/2022
3.35%
899,874.00
899,874.00
97.68 5.19%
879,097.50
5,527.50
0.67%
(20,776.50)
A1 / A
AA-
1.32 1.26
14913R2V8 Caterpillar Financial Service Note
3.400% Due 05/13/2025
480,000.00 05/10/2022
3.44%
479,390.40
479,390.40
98.29 4.70%
471,789.60
2,176.00
0.36%
(7,600.80)
A2 / A
A+
1.37 1.31
438516CB0 Honeywell Intl Callable Note Cont 5/1/2025
1.350% Due 06/01/2025
1,000,000.00 03/09/2022
2.31%
970,280.00
970,280.00
95.46 4.70%
954,648.00
1,125.00
0.72%
(15,632.00)
A2 / A
A
1.42 1.37
89115A2A9 Toronto-Dominion Bank Note
3.766% Due 06/06/2025
1,000,000.00 06/02/2022
3.70%
1,001,830.00
1,001,830.00
98.39 4.95%
983,871.00
2,615.28
0.74%
(17,959.00)
A1 / A
NR
1.43 1.37
63743HFE7 National Rural Utilities Note
3.450% Due 06/15/2025
1,105,000.00 Various
3.61%
1,099,973.65
1,099,973.65
97.92 4.95%
1,081,964.06
1,694.34
0.82%
(18,009.59)
A2 / A-
A
1.46 1.40
14913R2Z9 Caterpillar Financial Service Note
3.650% Due 08/12/2025
1,375,000.00 08/08/2022
3.69%
1,373,336.25
1,373,336.25
98.37 4.71%
1,352,610.88
19,377.95
1.04%
(20,725.37)
A2 / A
A+
1.62 1.52
As of December 31, 2023
38 Holdings Report
City of Murrieta - Account
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
26442UAA2 Duke Energy Progress LLC Callable Note Cont 5/15/25
3.250% Due 08/15/2025
1,000,000.00 06/23/2022
3.57%
990,710.00
990,710.00
97.72 4.73%
977,173.00
12,277.78
0.75%
(13,537.00)
Aa3 / A
NR
1.62 1.54
437076CR1 Home Depot Callable Note Cont 8/15/2025
4.000% Due 09/15/2025
1,000,000.00 09/14/2022
4.13%
996,380.00
996,380.00
99.07 4.57%
990,738.00
11,777.78
0.76%
(5,642.00)
A2 / A
A
1.71 1.61
023135CN4 Amazon.com Inc Note
4.600% Due 12/01/2025
425,000.00 11/29/2022
4.60%
424,974.50
424,974.50
100.26
4.45%
426,107.98
1,629.17
0.32%
1,133.48
A1 / AA
AA-
1.92 1.81
857477BR3 State Street Bank Callable Note Cont 2/6/2025
1.746% Due 02/06/2026
335,000.00 02/02/2022
3.06%
335,000.00
335,000.00
96.09 5.45%
321,905.52
2,355.89
0.24%
(13,094.48)
A1 / A
AA-
2.10 1.06
037833BY5 Apple Inc Callable Note Cont 11/23/2025
3.250% Due 02/23/2026
1,000,000.00 02/22/2023
4.72%
959,390.00
959,390.00
97.57 4.45%
975,669.00
11,555.56
0.75%
16,279.00
Aaa / AA+
NR
2.15 2.02
57629W6F2 Mass Mutual Global funding Note
4.500% Due 04/10/2026
750,000.00 04/04/2023
4.52%
749,482.50
749,482.50
99.70 4.64%
747,777.75
7,593.75
0.57%
(1,704.75)
Aa3 / AA+
AA+
2.28 2.12
00440EAV9 Chubb INA Holdings Inc Callable Note Cont 2/3/2026
3.350% Due 05/03/2026
1,000,000.00 09/13/2023
5.23%
954,220.00
954,220.00
97.29 4.58%
972,850.00
5,397.22
0.74%
18,630.00
A3 / A
A
2.34 2.21
58989V2F0 Met Tower Global Funding Note
5.400% Due 06/20/2026
1,000,000.00 06/12/2023
5.38%
1,000,440.00
1,000,440.00
101.49
4.75%
1,014,876.00
1,650.00
0.77%
14,436.00
Aa3 / AA-
AA-
2.47 2.29
61747YET8 Morgan Stanley Callable Note Cont 7/17/2025
4.679% Due 07/17/2026
1,000,000.00 09/14/2022
5.46%
994,030.00
994,030.00
99.04 5.32%
990,403.00
21,315.44
0.76%
(3,627.00)
A1 / A-
A+
2.55 1.44
69371RS56 Paccar Financial Corp Note
5.050% Due 08/10/2026
1,450,000.00 Various
4.99%
1,451,925.00
1,451,925.00
101.40
4.47%
1,470,363.80
28,679.80
1.13%
18,438.80
A1 / A+
NR
2.61 2.38
06428CAA2 Bank Of America NA Callable Note cont 7/17/2026
5.526% Due 08/18/2026
1,000,000.00 09/13/2023
5.57%
998,810.00
998,810.00
101.85
4.74%
1,018,459.00
20,415.50
0.78%
19,649.00
Aa1 / A+
AA
2.63 2.31
713448FW3 Pepsico Inc. Callable Note Cont 10/10/2026
5.125% Due 11/10/2026
510,000.00 11/08/2023
5.13%
509,862.30
509,862.30
102.11
4.30%
520,779.87
3,702.81
0.40%
10,917.57
A1 / A+
NR
2.86 2.55
48125LRU8 JP Morgan Chase Bank Callable Note Cont 11/08/2026
5.110% Due 12/08/2026
1,575,000.00 Various
5.08%
1,576,460.00
1,576,460.00
100.90
4.77%
1,589,132.48
5,141.94
1.20%
12,672.48
Aa2 / A+
AA
2.94 2.67
665859AW4 Northern Trust Company Callable Note Cont 4/10/2027
4.000% Due 05/10/2027
1,000,000.00 09/14/2022
4.23%
990,460.00
990,460.00
98.65 4.44%
986,468.00
5,666.67
0.75%
(3,992.00)
A2 / A+
A+
3.36 3.09
74456QBU9 Public Service El & Gas Callable Note Cont 02/01/28
3.700% Due 05/01/2028
750,000.00 06/22/2023
4.79%
715,005.00
715,005.00
96.82 4.51%
726,164.25
4,625.00
0.55%
11,159.25
A1 / A
NR
4.34 3.93
As of December 31, 2023
39 Holdings Report
City of Murrieta - Account
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
341081GN1 Florida Power and Light Callable Note Cont 3/15/2028
4.400% Due 05/15/2028
1,500,000.00 05/22/2023
4.64%
1,484,025.00
1,484,025.00
100.16
4.35%
1,502,398.50
8,433.33
1.14%
18,373.50
Aa2 / A+
AA-
4.38 3.78
TOTAL Corporate 32,675,000.00 3.23%
32,609,188.55
32,609,188.55 4.97%
32,324,201.45
241,063.98
24.59%
(284,987.10)
A1 / A+
A+
1.67 1.50
Money Market Fund
31846V567 First American Govt Obligation MMKT Class-Z 90,320.00 Various
5.23%
90,320.00
90,320.00
1.00 5.23%
90,320.00
0.00 0.07%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 90,320.00 5.23%
90,320.00
90,320.00 5.23%
90,320.00
0.00 0.07%
0.00 Aaa / AAA
AAA
0.00 0.00
Supranational
4581X0DZ8 Inter-American Dev Bank Note
0.500% Due 09/23/2024
1,585,000.00 09/15/2021
0.52%
1,583,827.10
1,583,827.10
96.79 5.05%
1,534,077.12
2,157.36
1.16%
(49,749.98)
Aaa / AAA
NR
0.73 0.71
459058KT9 Intl. Bank Recon & Development Note
3.500% Due 07/12/2028
500,000.00 07/24/2023
4.26%
483,115.00
483,115.00
97.91 4.01%
489,566.00
8,215.28
0.38%
6,451.00
Aaa / AAA
NR
4.53 4.07
TOTAL Supranational 2,085,000.00 1.40%
2,066,942.10
2,066,942.10 4.80%
2,023,643.12
10,372.64
1.54%
(43,298.98)
Aaa / AAA
NR
1.66 1.53
US Treasury
91282CBE0 US Treasury Note
0.125% Due 01/15/2024
2,000,000.00 01/12/2021
0.24%
1,992,890.63
1,992,890.63
99.82 4.64%
1,996,322.00
1,154.89
1.51%
3,431.37
Aaa / AA+
AA+
0.04 0.04
9128285Z9 US Treasury Note
2.500% Due 01/31/2024
2,000,000.00 09/13/2019
1.72%
2,065,631.70
2,065,631.70
99.77 5.18%
1,995,406.00
20,923.91
1.52%
(70,225.70)
Aaa / AA+
AA+
0.08 0.08
91282CBR1 US Treasury Note
0.250% Due 03/15/2024
2,000,000.00 06/28/2021
0.40%
1,991,875.00
1,991,875.00
99.00 5.13%
1,980,078.00
1,483.52
1.50%
(11,797.00)
Aaa / AA+
AA+
0.21 0.20
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
1,100,000.00 04/28/2021
0.36%
1,100,644.53
1,100,644.53
98.63 5.19%
1,084,875.00
879.10
0.82%
(15,769.53)
Aaa / AA+
AA+
0.29 0.29
91282CCC3 US Treasury Note
0.250% Due 05/15/2024
1,000,000.00 05/12/2021
0.36%
996,875.00
996,875.00
98.20 5.15%
982,031.00
322.80
0.74%
(14,844.00)
Aaa / AA+
AA+
0.37 0.37
91282CCT6 US Treasury Note
0.375% Due 08/15/2024
2,000,000.00 08/26/2021
0.46%
1,995,234.38
1,995,234.38
97.13 5.09%
1,942,656.00
2,832.88
1.47%
(52,578.38)
Aaa / AA+
AA+
0.62 0.61
91282CCX7 US Treasury Note
0.375% Due 09/15/2024
1,800,000.00 09/10/2021
0.44%
1,796,484.38
1,796,484.38
96.84 4.98%
1,743,188.40
2,002.75
1.32%
(53,295.98)
Aaa / AA+
AA+
0.71 0.69
As of December 31, 2023
40 Holdings Report
City of Murrieta - Account
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
912828YM6 US Treasury Note
1.500% Due 10/31/2024
1,700,000.00 09/24/2021
0.55%
1,749,273.44
1,749,273.44
97.29 4.86%
1,653,914.70
4,343.41
1.25%
(95,358.74)
Aaa / AA+
AA+
0.84 0.81
91282CDH1 US Treasury Note
0.750% Due 11/15/2024
2,000,000.00 11/29/2021
0.81%
1,996,328.13
1,996,328.13
96.50 4.89%
1,930,078.00
1,936.81
1.46%
(66,250.13)
Aaa / AA+
AA+
0.88 0.85
91282CDN8 US Treasury Note
1.000% Due 12/15/2024
900,000.00 12/29/2021
0.99%
900,386.72
900,386.72
96.43 4.86%
867,902.40
418.03
0.66%
(32,484.32)
Aaa / AA+
AA+
0.96 0.93
912828Z52 US Treasury Note
1.375% Due 01/31/2025
2,000,000.00 06/04/2021
0.51%
2,062,500.00
2,062,500.00
96.48 4.74%
1,929,610.00
11,508.15
1.47%
(132,890.00)
Aaa / AA+
AA+
1.09 1.05
912828ZC7 US Treasury Note
1.125% Due 02/28/2025
1,200,000.00 02/09/2022
1.59%
1,183,359.38
1,183,359.38
96.05 4.65%
1,152,609.60
4,561.81
0.87%
(30,749.78)
Aaa / AA+
AA+
1.16 1.13
912828ZF0 US Treasury Note
0.500% Due 03/31/2025
2,000,000.00 03/03/2021
0.54%
1,997,031.25
1,997,031.25
95.08 4.60%
1,901,640.00
2,540.98
1.44%
(95,391.25)
Aaa / AA+
AA+
1.25 1.22
912828ZL7 US Treasury Note
0.375% Due 04/30/2025
2,000,000.00 04/12/2021
0.66%
1,977,343.75
1,977,343.75
94.63 4.57%
1,892,656.00
1,277.47
1.43%
(84,687.75)
Aaa / AA+
AA+
1.33 1.30
912828ZT0 US Treasury Note
0.250% Due 05/31/2025
1,800,000.00 10/14/2021
0.78%
1,765,757.81
1,765,757.81
94.18 4.55%
1,695,164.40
393.44
1.28%
(70,593.41)
Aaa / AA+
AA+
1.42 1.38
91282CAB7 US Treasury Note
0.250% Due 07/31/2025
2,000,000.00 12/02/2021
1.06%
1,942,031.25
1,942,031.25
93.65 4.44%
1,873,046.00
2,092.39
1.42%
(68,985.25)
Aaa / AA+
AA+
1.58 1.55
91282CAJ0 US Treasury Note
0.250% Due 08/31/2025
1,000,000.00 03/22/2022
2.42%
928,828.13
928,828.13
93.36 4.43%
933,555.00
844.78
0.71%
4,726.87
Aaa / AA+
AA+
1.67 1.62
9128285C0 US Treasury Note
3.000% Due 09/30/2025
3,250,000.00 Various
2.90%
3,259,882.81
3,259,882.81
97.70 4.38%
3,175,097.25
24,774.59
2.42%
(84,785.56)
Aaa / AA+
AA+
1.75 1.67
9128285J5 US Treasury Note
3.000% Due 10/31/2025
2,500,000.00 06/23/2022
3.02%
2,498,632.81
2,498,632.81
97.67 4.33%
2,441,797.50
12,774.73
1.85%
(56,835.31)
Aaa / AA+
AA+
1.84 1.75
912828M56 US Treasury Note
2.250% Due 11/15/2025
2,500,000.00 06/23/2022
3.11%
2,431,152.34
2,431,152.34
96.31 4.32%
2,407,812.50
7,263.05
1.82%
(23,339.84)
Aaa / AA+
AA+
1.88 1.80
9128285T3 US Treasury Note
2.625% Due 12/31/2025
2,500,000.00 09/14/2022
3.76%
2,412,792.97
2,412,792.97
96.91 4.25%
2,422,657.50
180.29
1.83%
9,864.53
Aaa / AA+
AA+
2.00 1.92
9128286L9 US Treasury Note
2.250% Due 03/31/2026
2,500,000.00 09/14/2022
3.74%
2,377,832.03
2,377,832.03
95.93 4.16%
2,398,242.50
14,293.03
1.82%
20,410.47
Aaa / AA+
AA+
2.25 2.15
912828U24 US Treasury Note
2.000% Due 11/15/2026
3,000,000.00 09/13/2023
4.66%
2,767,031.25
2,767,031.25
94.54 4.03%
2,836,173.00
7,747.25
2.15%
69,141.75
Aaa / AA+
AA+
2.88 2.74
912828YX2 US Treasury Note
1.750% Due 12/31/2026
1,750,000.00 12/27/2023
3.96%
1,641,240.23
1,641,240.23
93.69 4.00%
1,639,599.50
84.13 1.24%
(1,640.73)
Aaa / AA+
AA+
3.00 2.88
91282CEF4 US Treasury Note
2.500% Due 03/31/2027
2,500,000.00 11/17/2022
4.02%
2,349,414.06
2,349,414.06
95.57 3.96%
2,389,355.00
15,881.15
1.82%
39,940.94
Aaa / AA+
AA+
3.25 3.06
As of December 31, 2023
41 Holdings Report
City of Murrieta - Account
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
91282CEW7 US Treasury Note
3.250% Due 06/30/2027
1,300,000.00 12/12/2022
3.87%
1,266,687.50
1,266,687.50
97.72 3.95%
1,270,395.10
116.07
0.96%
3,707.60
Aaa / AA+
AA+
3.50 3.27
91282CFB2 US Treasury Note
2.750% Due 07/31/2027
2,000,000.00 07/26/2023
4.30%
1,887,109.38
1,887,109.38
95.99 3.96%
1,919,844.00
23,016.30
1.47%
32,734.62
Aaa / AA+
AA+
3.58 3.33
91282CFH9 US Treasury Note
3.125% Due 08/31/2027
2,500,000.00 01/24/2023
3.65%
2,445,117.19
2,445,117.19
97.19 3.96%
2,429,687.50
26,399.38
1.85%
(15,429.69)
Aaa / AA+
AA+
3.67 3.39
91282CFM8 US Treasury Note
4.125% Due 09/30/2027
1,600,000.00 02/22/2023
4.19%
1,595,500.00
1,595,500.00
100.63
3.94%
1,610,124.80
16,770.49
1.23%
14,624.80
Aaa / AA+
AA+
3.75 3.41
9128283F5 US Treasury Note
2.250% Due 11/15/2027
1,400,000.00 06/07/2023
4.05%
1,298,937.50
1,298,937.50
94.02 3.93%
1,316,327.60
4,067.31
1.00%
17,390.10
Aaa / AA+
AA+
3.88 3.64
TOTAL US Treasury 57,800,000.00 2.24%
56,673,805.55
56,673,805.55 4.46%
55,811,846.25
212,884.89
42.30%
(861,959.30)
Aaa / AA+
AA+
1.79 1.70
TOTAL PORTFOLIO 134,432,647.36 2.92%
132,946,384.47
132,946,384.47 4.62%
131,724,539.28
732,785.29
100.00%
(1,221,845.19)
Aa1 / AA
AA+
2.01 1.78
TOTAL MARKET VALUE PLUS ACCRUALS 132,457,324.57
As of December 31, 2023
42 Holdings Report
Murrieta Liquidity - Account
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Commercial Paper
62479LDC6 MUFG Bank Ltd Discount CP
5.640% Due 04/12/2024
2,000,000.00 09/13/2023
5.89%
1,933,886.67
1,933,886.67
96.69 5.89%
1,933,886.67
34,153.33
17.57%
0.00 P-1 / A-1
NR
0.28 0.27
89233GEM4 Toyota Motor Credit Discount CP
5.620% Due 05/21/2024
2,000,000.00 10/02/2023
5.87%
1,927,876.67
1,927,876.67
96.39 5.87%
1,927,876.67
28,100.00
17.47%
0.00 P-1 / A-1+
F-1
0.39 0.38
TOTAL Commercial Paper 4,000,000.00 5.88%
3,861,763.34
3,861,763.34 5.88%
3,861,763.34
62,253.33
35.04%
0.00 P-1 / A-1
F-1
0.34 0.33
Money Market Fund
31846V567 First American Govt Obligation MMKT Class-Z 255,264.98 Various
5.23%
255,264.98
255,264.98
1.00 5.23%
255,264.98
0.00 2.28%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 255,264.98 5.23%
255,264.98
255,264.98 5.23%
255,264.98
0.00 2.28%
0.00 Aaa / AAA
AAA
0.00 0.00
Negotiable CD
21684XH82 Cooperative Rabobank UA Yankee CD
5.900% Due 09/06/2024
2,000,000.00 09/13/2023
5.90%
1,999,872.84
1,999,872.84
100.43
5.16%
2,008,630.00
38,022.22
18.28%
8,757.16
P-1 / A-1
F-1+
0.68 0.67
TOTAL Negotiable CD 2,000,000.00 5.90%
1,999,872.84
1,999,872.84 5.16%
2,008,630.00
38,022.22
18.28%
8,757.16
Aaa / AA
AAA
0.68 0.67
US Treasury
912797HY6 US Treasury Bill
5.313% Due 01/09/2024
2,500,000.00 09/13/2023
5.48%
2,456,835.94
2,456,835.94
98.27 5.48%
2,456,835.94
40,212.67
22.30%
0.00 P-1 / A-1+
F-1+
0.02 0.02
912797GQ4 US Treasury Bill
5.298% Due 03/07/2024
2,500,000.00 09/13/2023
5.51%
2,435,620.66
2,435,620.66
97.42 5.51%
2,435,620.66
40,099.13
22.11%
0.00 P-1 / A-1+
F-1+
0.18 0.18
TOTAL US Treasury 5,000,000.00 5.50%
4,892,456.60
4,892,456.60 5.50%
4,892,456.60
80,311.80
44.40%
0.00 Aaa / AAA
AAA
0.10 0.10
TOTAL PORTFOLIO 11,255,264.98 5.70%
11,009,357.76
11,009,357.76 5.56%
11,018,114.92
180,587.35
100.00%
8,757.16
Aaa / AAA
AAA
0.29 0.28
TOTAL MARKET VALUE PLUS ACCRUALS 11,198,702.27
As of December 31, 2023
43 SECTION |
Section 5 |
Transactions
44 Transaction Ledger
City of Murrieta - Account
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 10/16/2023 3133EPWK7 2,000,000.00 FFCB Note
4.5% Due: 09/22/2028
99.073 4.71% 1,981,460.00 6,000.00 1,987,460.00 0.00
Purchase 11/10/2023 3133EPZY4 2,000,000.00 FFCB Note
5% Due: 07/30/2026
100.374 4.85% 2,007,480.00 2,777.78 2,010,257.78 0.00
Purchase 11/10/2023 713448FW3 510,000.00 Pepsico Inc. Callable Note Cont 10/10/2026
5.125% Due: 11/10/2026
99.973 5.13% 509,862.30 0.00 509,862.30 0.00
Purchase 12/01/2023 3130AXU63 1,750,000.00 Federal Home Loan Banks Note
4.625% Due: 11/17/2026
100.253 4.53% 1,754,427.50 3,147.57 1,757,575.07 0.00
Purchase 12/08/2023 48125LRU8 575,000.00 JP Morgan Chase Bank Callable Note Cont 11/08/2026
5.11% Due: 12/08/2026
100.000 5.11% 575,000.00 0.00 575,000.00 0.00
Purchase 12/08/2023 48125LRU8 1,000,000.00 JP Morgan Chase Bank Callable Note Cont 11/08/2026
5.11% Due: 12/08/2026
100.146 5.06% 1,001,460.00 0.00 1,001,460.00 0.00
Purchase 12/13/2023 69371RS56 1,000,000.00 Paccar Financial Corp Note
5.05% Due: 08/10/2026
100.215 4.96% 1,002,150.00 17,254.17 1,019,404.17 0.00
Purchase 12/28/2023 912828YX2 1,750,000.00 US Treasury Note
1.75% Due: 12/31/2026
93.785 3.96% 1,641,240.23 15,062.84 1,656,303.07 0.00
Subtotal 10,585,000.00 10,473,080.03 44,242.36 10,517,322.39 0.00 TOTAL ACQUISITIONS 10,585,000.00 10,473,080.03 44,242.36 10,517,322.39 0.00
DISPOSITIONS
Sale 12/12/2023 91282CBA8 900,000.00 US Treasury Note
0.125% Due: 12/15/2023
99.980 2.51% 899,824.22 553.28 900,377.50 1,722.66
Subtotal 900,000.00 899,824.22 553.28 900,377.50 1,722.66 Maturity 10/16/2023 3137EAEY1 1,575,000.00 FHLMC Note
0.125% Due: 10/16/2023
100.000 1,575,000.00 0.00 1,575,000.00 5,874.75
September 30, 2023 through December 31, 2023
As of December 31, 2023
45 Transaction Ledger
City of Murrieta - Account
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Maturity 11/01/2023 3133EHN25 2,000,000.00 FFCB Note
2.2% Due: 11/01/2023
100.000 2,000,000.00 0.00 2,000,000.00 -31,280.00
Maturity 11/24/2023 459058JM6 750,000.00 Intl. Bank Recon & Development Note
0.25% Due: 11/24/2023
100.000 750,000.00 0.00 750,000.00 1,612.50
Maturity 12/04/2023 3137EAFA2 1,465,000.00 FHLMC Note
0.25% Due: 12/04/2023
100.000 1,465,000.00 0.00 1,465,000.00 1,450.35
Maturity 12/15/2023 91282CBA8 1,100,000.00 US Treasury Note
0.125% Due: 12/15/2023
100.000 1,100,000.00 0.00 1,100,000.00 2,320.31
Subtotal 6,890,000.00 6,890,000.00 0.00 6,890,000.00 -20,022.09 TOTAL DISPOSITIONS 7,790,000.00 7,789,824.22 553.28 7,790,377.50 -18,299.43 September 30, 2023 through December 31, 2023
As of December 31, 2023
46 Transaction Ledger
Murrieta Liquidity - Account
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 10/03/2023 89233GEM4 2,000,000.00 Toyota Motor Credit Discount CP
5.62% Due: 05/21/2024
96.394 5.87% 1,927,876.67 0.00 1,927,876.67 0.00
Subtotal 2,000,000.00 1,927,876.67 0.00 1,927,876.67 0.00 TOTAL ACQUISITIONS 2,000,000.00 1,927,876.67 0.00 1,927,876.67 0.00 September 30, 2023 through December 31, 2023
As of December 31, 2023
47 Important Disclosures
2023 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential. Prices are provided by ICE Data Services Inc (“IDS”), an independent pricing source. In the event IDS does not provide a price or if the price provided is not reflective of fair market value, Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures. Our valuation procedures are also disclosed in Item 5 of our Form ADV Part 2A.
Performance results are presented gross-of-advisory fees and represent the client’s Total Return. The deduction of advisory fees lowers performance results. These results include the reinvestment of dividends and other earnings. Past performance may not be indicative of future results. Therefore, clients should not assume that future performance of any specific investment or investment strategy will be profitable or equal to past performance levels. All investment strategies have the potential for profit or loss. Economic factors, market conditions or changes in investment strategies, contributions or withdrawals may materially alter the performance and results of your portfolio.
Index returns assume reinvestment of all distributions. Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the deduction of an investment management fee, the incurrence of which would have the effect of decreasing historical performance results. It is not possible to invest directly in an index.
Source ICE Data Indices, LLC ("ICE"), used with permission. ICE permits use of the ICE indices and related data on an "as is" basis; ICE, its affiliates and their respective third party suppliers disclaim any and all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, or derived therefrom. Neither ICE data, its affiliates or their respective third party providers guarantee the quality, adequacy, accuracy, timeliness or completeness of the indices or the index data or any component thereof, and the indices and index data and all components thereof are provided on an "as is" basis and licensee's use it at licensee's own risk. ICE data, its affiliates and their respective third party do not sponsor, endorse, or recommend chandler asset management, or any of its products or services.
This report is provided for informational purposes only and should not be construed as a specific investment or legal advice. The information contained herein was obtained from sources believed to be reliable as of the date of publication, but may become outdated or superseded at any time without notice. Any opinions or views expressed are based on current market conditions and are subject to change. This report may contain forecasts and forward-looking statements which are inherently limited and should not be relied upon as indicator of future results. Past performance is not indicative of future results. This report is not intended to constitute an offer, solicitation, recommendation or advice regarding any securities or investment strategy and should not be regarded by recipients as a substitute for the exercise of their own judgment.
Fixed income investments are subject to interest, credit and market risk. Interest rate risk: the value of fixed income investments will decline as interest rates rise. Credit risk: the possibility that the borrower may not be able to repay interest and principal. Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk. Market risk: the bond market in general could decline due to economic conditions, especially during periods of rising interest rates.
Ratings information have been provided by Moody’s, S&P and Fitch through data feeds we believe to be reliable as of the date of this statement, however we cannot guarantee its accuracy.
Security level ratings for U.S. Agency issued mortgage-backed securities (“MBS”) reflect the issuer rating because the securities themselves are not rated. The issuing U.S. Agency guarantees the full and timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P, Moody’s and Fitch respectively.
Your qualified custodian bank maintains control of all assets reflected in this statement and we urge you to compare this statement to the one you receive from your qualified custodian. Chandler does not have any authority to withdraw or deposit funds from/to the custodian account.
As of December 31, 2023
48 Benchmark Disclosures
ICE BofA 1-3 Yr US Treasury Index
The ICE BofA 1-3 Year US Treasury Index tracks the performance of US dollar-denominated sovereign debt publicly issued by the US government in its domestic market. Qualifying securities must have at least one year remaining term to final maturity and less than three years remaining term to final maturity, a fixed coupon schedule, and a minimum amount outstanding of $1 billion. Qualifying securities must have at least 18 months to final maturity at the time of issuance.
As of December 31, 2023
49