INVESTMENT REPORT
City of Murrieta | As of September 30, 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.
TABLE OF CONTENTS
ECONOMIC UPDATE
ACCOUNT PROFILE
CONSOLIDATED INFORMATION
PORTFOLIO HOLDINGS
TRANSACTIONS
1 ECONOMIC UPDATE
2 ▪
▪
▪
Recent economic data suggests positive but slower growth this year fueled by consumer spending. While the consumer has been resilient, declining savings rates, growing credit card debt, higher delinquencies, and a moderating labor market pose potential headwinds to future economic growth. Inflationary trends are subsiding, but core levels remain above the Fed’s target. The labor market is showing signs of cooling, reflecting an improved balance between supply and demand for workers. Given the cumulative effects of restrictive monetary policy and tighter financial conditions, we believe the economy will gradually soften and the Fed will continue to lower rates at a measured pace through this year with the ability to move more aggressively should the employment data warrant.
The Federal Open Market Committee (FOMC) delivered the first rate cut of the easing cycle with a 50 basis point cut at the September meeting. Although a reduction in the Fed Funds Rate was widely anticipated, the magnitude was somewhat of a surprise, as market participants were split between whether the FOMC would cutby 25 basis points or 50 basis points. Chair Jerome Powell reiterated previous statements acknowledging that monetary policy has shifted into a more balanced approach addressing price stability and full employment in tandem. The Fed released the quarterly Summary of Economic Projections (SEP) which now forecasts a substantially lower median Fed Funds Rate expectation among Fed Governors in 2025 due to lower inflation expectations and a higher projected unemployment rate. We believe the Fed will continue to lower rates at a measured pace through this year with the ability to move more aggressively should the employment data warrant.
The US Treasury yield curve shifted lower in September following the 50 basis points rate cut by the FOMC mid-month. The 2-year Treasury yield fell 28 basis points to 3.64%, the 5-year Treasury dropped 15 basis points to 3.56%, and the 10-year Treasury yield declined 12 basis points to 3.78%. The 2-year and 10-year Treasury yield points on the curve began to normalize to +14 basis points at September month-end versus -2 basis points at August month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -47 basis points. The inversion between 3-month and 10-year Treasuries ended the month of September at -85 basis points.
ECONOMIC UPDATE
3 -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 254,000 jobsin September, well above expectations of 150,000. The three-month moving average and six-month moving average payrolls continued to trend weaker to 186,000 and 167,000 respectively. The unemployment rate declined to 4.1% in September, and the labor participation rate remained at 62.7%, remaining below the pre-pandemic level of 63.3%. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons declined to 7.7% from 7.9%. Average hourly earnings rose 4.0% year-over-year in September. U.S. labor market data from September surprised to the upside, with strong job growth and a sharper-than-expected drop in unemployment, suggesting the economy may be more resilient than anticipated. The Federal Reserve’s view is that there has been “substantial” progress towards better balance in the labor market between demand and supply for workers.
Source: US Department of Labor Source: US Department of Labor
EMPLOYMENT
4 0
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) increased to 8.04 million job openings in August from an upwardly revised 7.71 million in July. Job openings have increased to a ratio of 1.13 jobs for each unemployed individual. The quits rate, an indicator of job availability, declined to 1.9% from downwardly revised 2.0% in July. That is the lowest level since 2020. While the current level of job openings remains elevated from a historical perspective, the trend is decelerating.
Source: US Department of Labor
JOB OPENINGS & LABOR TURNOVER SURVEY
5 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
In September, the Consumer Price Index (CPI) rose 0.2% month-over-month and 2.4% year-over-year, down from 2.5% in August, but slightly higher than expected. The Core CPI, which excludes volatile food and energy components, rose by 0.3% month-over-month and
3.3% year-over-year, also exceeding consensus forecasts. The Personal Consumption Expenditures (PCE) Index rose 0.1% from the previous month and 2.2% year-over-year in August. The Core PCE deflator (the Fed’s preferred gauge) increased 0.1% month-over-month and 2.7% over the past year, still above the Fed’s 2% inflation target. Much of the lingering inflation has been driven by shelter costs and demand for services, but recent data provide confirmation that inflation is moderating.
Source: US Department of Labor Source: US Department of Commerce
INFLATION
6 -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 grew more than expected month-over-monthin August at 0.1% after growth of 1.1% in July. On a year-over-year basis, Retail Sales grew 2.1% in August versus 2.9% in July. Control-group sales, which are used to calculate gross domestic product, rose 0.3% month- over-month in August after last month’s data was revised higher to an increase of 0.4%. E-commerce contributed the most to the increase. The Conference Board’s Consumer Confidence Index for September came in below expectations, contracting to 98.7 after an upward revision to 105.6 in August. The decline reflects recent softening in labor market conditions, and less optimism about the job market and income growth. While the consumer has been resilient, consumption has begun to moderate in the face of declining savings rates, growing credit card debt, higher delinquencies, and a moderating labor market. 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)
CONSUMER
7 -25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
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) remained in negative territory at -0.2% in August, improving from -0.6% in July. The index dropped 5.0% year-over-year. The improvement canbe attributed to a decrease in the yield curve inversion, an increase in building permits, and stock market performance. The Chicago Fed National Activity Index (CFNAI) increased to 0.12 in August from a downwardly revised -0.42 in July, which was above consensus expectations. The three-month moving average fell to -0.17 in August from -0.13 in July, indicating below-trend growth expectations for the economy.
Source: The Conference Board Source: Federal Reserve Bank of Chicago
LEADING INDICATORS OF ECONOMIC ACTIVITY
8 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 surprised to the upside on a month-over-month basisin August, increasing 9.6% to 1.356 million units versus the previous decline of 6.9% the prior month. Starts were led by the single-family home sector. Total starts were up 3.9% year-over-year. The Freddie Mac average rate for a 30-year fixed mortgage edged down to 6.35% in August from 6.85% in July. According to the Case-Shiller 20-City Home Price Index, housing prices rose 5.9% year-over-year in July, decelerating from 6.5% reported in the previous month. Although the trend is gradually improving, 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
HOUSING
9 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 contracted at a slower rate of 47.2 in September compared to 47.5 in August. Demand remains subdued and companies are continuing to reduce head counts through layoffs, attrition and hiring freezes. The ISM Services Index increased to 54.9 in September, increasing from 51.7 in August, due stronger production and new orders. A reading over 50 indicates expansion, while a reading under 50 indicates contraction.
Source: Institute for Supply Management
SURVEY BASED MEASURES
10 Components of GDP 9/23 12/23 3/24 6/24
1.7% 2.3% 1.3% 1.9%
1.8% 0.2% 0.6% 1.5%
-0.1% 0.1% -0.6% -0.9%
0.3% 0.0% 0.0% 0.3%
0.6% 0.6% 0.3% 0.3%
4.4% 3.2% 1.6% 3.0%
State and Local (Consumption and Gross
Investment)
Personal Consumption Expenditures
Gross Private Domestic Investment
Net Exports and Imports
Federal Government Expenditures
Total
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Source: US Department of Commerce Source: US Department of Commerce According to the third estimate, second quarter GDP increased at an annualized rate of 3.0%, unchanged from the prior estimate. Growth continues to be powered by personal consumption expenditures. Gross fixed investment, government consumption expenditures, and inventories also had positive contributions, with a negative offset by net exports. The consensus projection calls for 2.0% growth in the third quarter and 2.6% growth for the full year 2024.
GROSS DOMESTIC PRODUCT (GDP)
11 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
The Federal Open Market Committee (FOMC) delivered the first rate cut of the easing cycle at the September meeting. Although a reduction in the Fed Funds Rate was widely anticipated, the magnitude was somewhat of a surprise, as market participants were split between whether the FOMC would cut by 25 basis points or 50 basis points. Chair Jerome Powell reiterated previous statements acknowledging that monetary policy has shifted into a more balanced approach addressing price stability and full employment in tandem.
The Fed released the quarterly Summary of Economic Projections (SEP) which now forecasts a substantially lower median Fed Funds Rate expectation among Fed Governors in 2025 to 3.1 – 3.6%. The Fed continues to reduce its holdings of U.S. Treasury securities and agency mortgage-backed securities as per its predefined schedule of $25 billion and $35 billion per month. Since the Fed began its Quantitative Tightening campaign in June 2022, securities holdings have declined by approximately $1.8T to approximately $7.1T.
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Effective Federal Funds Rate
Recession
Yield (%)
FEDERAL RESERVE
12 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
Sep-24
Jun-24
Sep-23
Yield (%)
At the end of September, the 2-year Treasury yield was 140 basis points lower, and the 10-Year Treasury yield was 79 basis points lower, year-over-year. The 2-year and 10-year Treasury yield pointson the curve began to normalize to +14 basis points at September month-end versus -2 basis points at August month-end. The yield curve inversion which began in July 2022 was historically long. The average historical spread (since 2003) is about +110 basis points. The inversion between 3-month and 10-year Treasuries tightened to -85 basis points in September from -121 basis points in August.
BOND YIELDS
13 ACCOUNT PROFILE
14 OBJECTIVES
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.
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.
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.
15 PORTFOLIO CHARACTERISTICS
City of Murrieta | Account | As of September 30, 2024
Benchmark* 9/30/2024
Portfolio
6/30/2024
Portfolio
Average Maturity (yrs) 1.85 2.02 2.06
Average Modified Duration 1.77 1.78 1.81
Average Purchase Yield 3.83% 3.61%
Average Market Yield 3.71% 4.02% 4.98%
Average Quality** AA+ AA AA
Total Market Value 138,304,203 134,453,837
*Benchmark: ICE BofA 1-3 Year US Treasury Index
**The credit quality is a weighted average calculation of the highest of S&P, Moody’s and Fitch. 16 SECTOR DISTRIBUTION
City of Murrieta | Account | As of September 30, 2024
Sector as a Percentage of Market Value
Sector 09/30/2024 06/30/2024
US Treasury 37.63% 38.78%
Corporate 25.96% 23.43%
Agency 21.43% 22.35%
Agency CMBS 7.89% 6.93%
ABS 6.62% 6.73%
Money Mkt Fd 0.83% 0.19%
Supras 0.36% 1.53%
Cash -0.72% 0.06%
17 ISSUERS
City of Murrieta | Account | As of September 30, 2024
Issuer Investment Type % Portfolio
United States US Treasury 37.63%
Federal Home Loan Banks Agency 12.01%
Farm Credit System Agency 9.42%
FHLMC Agency CMBS 7.89%
Royal Bank of Canada Corporate 1.64%
Caterpillar Inc. Corporate 1.34%
The Home Depot, Inc. Corporate 1.28%
Honda Auto Receivables Owner Trust ABS 1.17%
JPMorgan Chase & Co. Corporate 1.17%
State Street Corporation Corporate 1.14%
American Express Credit Master Trust ABS 1.13%
Cisco Systems, Inc. Corporate 1.12%
NextEra Energy, Inc. Corporate 1.10%
PACCAR Inc Corporate 1.08%
Air Products and Chemicals, Inc. Corporate 1.04%
Amazon.com, Inc. Corporate 1.03%
Chase Issuance Trust ABS 0.98%
Eli Lilly and Company Corporate 0.92%
UnitedHealth Group Incorporated Corporate 0.89%
U.S. Bancorp Money Mkt Fd 0.83%
BMW Vehicle Lease Trust ABS 0.80%
National Rural Utilities Cooperative Corporate 0.80%
Bank of America Corporation Corporate 0.75%
Met Tower Global Funding Corporate 0.74%
Toyota Motor Corporation Corporate 0.74%
Deere & Company Corporate 0.74%
Northern Trust Corporation Corporate 0.73%
Morgan Stanley Corporate 0.73%
New York Life Insurance Company Corporate 0.73%
The Toronto-Dominion Bank Corporate 0.72%
18 ISSUERS
City of Murrieta | Account | As of September 30, 2024
Issuer Investment Type % Portfolio
Duke Energy Corporation Corporate 0.72%
Apple Inc. Corporate 0.72%
Chubb Limited Corporate 0.72%
Honeywell International Inc. Corporate 0.71%
BNY Mellon Corp Corporate 0.65%
BMW Vehicle Owner Trust ABS 0.56%
BlackRock, Inc. Corporate 0.56%
Massachusetts Mutual Life Insurance Corporate 0.55%
GM Financial Automobile Leasing Trus ABS 0.54%
Public Service Enterprise Group Inco Corporate 0.54%
John Deere Owner Trust ABS 0.44%
Mercedes-Benz Auto Lease Trust 2024- ABS 0.40%
PepsiCo, Inc. Corporate 0.38%
International Bank for Recon and Dev Supras 0.36%
GM Financial Securitized Term ABS 0.30%
Mercedes-Benz Auto Lease Trust ABS 0.26%
Hyundai Auto Receivables Trust ABS 0.04%
Cash Cash -0.72%
TOTAL 100.00%
19 QUALITY DISTRIBUTION
Rating 09/30/2024 06/30/2024
AAA 7.0% 8.3%
AA 71.5% 70.6%
A 20.6% 20.0%
NR 0.9% 1.1%
Rating 09/30/2024 06/30/2024
AAA 72.1% 74.1%
AA 5.6% 5.1%
A 19.0% 17.7%
NR 3.3% 3.1%
Rating 09/30/2024 06/30/2024
AAA 11.7% 10.5%
AA 68.7% 70.2%
A 8.7% 8.6%
NR 10.9% 10.7%
City of Murrieta | Account | As of September 30, 2024
S&P Rating Moody’s Rating Fitch Rating
20 DURATION DISTRIBUTION
City of Murrieta | Account | As of September 30, 2024
Date 0-.25 .25-.5 .5-1 1-2 2-3 3-4 4-5 5-7 7+
09/30/2024 4.5% 6.6% 15.6% 32.1% 29.2% 12.0% 0.0% 0.0% 0.0% 06/30/2024 5.2% 5.1% 13.5% 31.2% 32.6% 8.2% 1.4% 0.0% 0.0% 21 3 Months 12 Months 2 Years 3 Years 5 Years 10 Years Since Inception
TOTAL RATE OF RETURN
City of Murrieta 2.87% 7.13% 5.08% 1.78% 1.73%
Benchmark 2.87% 6.74% 4.58% 1.33% 1.40%
*Periods over 1 year are annualized.
Benchmark: ICE BofA 1-3 Year US Treasury Index
Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the ending market value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
INVESTMENT PERFORMANCE
City of Murrieta | Account | As of September 30, 2024
Total Rate of Return : Inception | 02/01/2020
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
8.00%
3 months 12 months 2 years 3 years 5 years 10 years Since Inception City of Murrieta ICE BofA 1-3 Yr US Treasury Index
22 PORTFOLIO CHARACTERISTICS
Murrieta Liquidity | Account | As of September 30, 2024 9/30/2024
Portfolio
6/30/2024
Portfolio
Average Maturity (yrs) 0.18 0.35
Average Modified Duration 0.14 0.34
Average Purchase Yield 5.26% 5.43%
Average Market Yield 4.87% 5.21%
Average Quality** AAA AAA
Total Market Value 11,668,225 11,497,004
*Benchmark: ICE BofA 3-Month US Treasury Bill Index
**The credit quality is a weighted average calculation of the highest of S&P, Moody’s and Fitch. 23 SECTOR DISTRIBUTION
Murrieta Liquidity | Account | As of September 30, 2024 Sector as a Percentage of Market Value
Sector 09/30/2024 06/30/2024
US Treasury 40.57% 41.36%
Comm Paper 39.57% 39.83%
Money Mkt Fd 19.80% 1.24%
Cash 0.07% 0.01%
Neg CD -- 17.56%
24 ISSUERS
Murrieta Liquidity | Account | As of September 30, 2024 Issuer Investment Type % Portfolio
United States US Treasury 40.57%
Mitsubishi UFJ Financial Group, Inc. Comm Paper 22.69%
U.S. Bancorp Money Mkt Fd 19.80%
Toyota Motor Corporation Comm Paper 16.87%
Cash Cash 0.07%
TOTAL 100.00%
25 0-.25 .25-.5 .5-1 1-2 2-3 3-4 4-5 5-7 7+
Portfolio 83.1% 16.9% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% ICE BofA 3-Month US Treasury Bill Index 100.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
DURATION DISTRIBUTION
Murrieta Liquidity | Account | As of September 30, 2024 Portfolio Compared to the Benchmark
26 3 Months 12 Months 2 Years 3 Years 5 Years 10 Years Since Inception
TOTAL RATE OF RETURN
Murrieta Liquidity 1.49% 5.24%
Benchmark 1.37% 4.99%
*Periods over 1 year are annualized.
Benchmark: ICE BofA 3-Month US Treasury Bill Index
Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the ending market value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
INVESTMENT PERFORMANCE
Murrieta Liquidity | Account | As of September 30, 2024 Total Rate of Return : Inception | 11/01/2023
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
3 months Since Inception
Murrieta Liquidity Benchmark
27 CONSOLIDATED INFORMATION
28 PORTFOLIO CHARACTERISTICS
Murrieta Consolidated | Account| As of September 30, 2024 9/30/2024
Portfolio
6/30/2024
Portfolio
Average Maturity (yrs) 1.87 1.92
Average Modified Duration 1.65 1.70
Average Purchase Yield 3.94% 3.75%
Average Market Yield 4.09% 4.99%
Average Quality** AA+ AA+
Total Market Value 149,972,428 145,950,841
*Benchmark: NO BENCHMARK REQUIRED
**The credit quality is a weighted average calculation of the highest of S&P, Moody’s and Fitch. 29 SECTOR DISTRIBUTION
Murrieta Consolidated | Account | As of September 30, 2024 Sector as a Percentage of Market Value
Sector 09/30/2024 06/30/2024
US Treasury 37.86% 38.98%
Corporate 23.93% 21.58%
Agency 19.75% 20.59%
Agency CMBS 7.28% 6.38%
ABS 6.10% 6.20%
Comm Paper 3.10% 3.13%
Money Mkt Fd 2.31% 0.28%
Supras 0.33% 1.41%
Cash -0.66% 0.05%
Neg CD -- 1.38%
30 PORTFOLIO HOLDINGS
31 HOLDINGS REPORT
City of Murrieta | Account | As of September 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt
Price
Mkt
YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
ABS
47788UAC6 JDOT 2021 A3 0.36 09/15/2025 1,863.52 03/02/2021
0.36%
1,863.16
1,863.16
99.81 5.41%
1,859.91
0.30 0.00%
(3.25)
Aaa/NA
AAA
0.96 0.04
05593AAC3 BMWLT 2023-1 A3 5.16
11/25/2025 90,824.41 02/07/2023
5.16%
90,822.25
90,822.25
100.08
4.88%
90,899.37
78.11 0.07%
77.12 Aaa/AAA
NA
1.15 0.25
44934KAC8 HART 2021-B A3 0.38 01/15/2026 48,798.02 07/20/2021
0.38%
48,787.25
48,787.25
99.71 5.49%
48,656.13
8.24 0.04%
(131.12)
NA/AAA
AAA
1.29 0.06
43815GAC3 HAROT 2021-4 A3 0.88
01/21/2026 89,617.49 11/16/2021
0.89%
89,598.60
89,598.60
98.70 5.24%
88,450.67
21.91 0.06%
(1,147.93)
Aaa/NA
AAA
1.31 0.30
47789QAC4 JDOT 2021-B A3 0.52 03/16/2026 88,024.73 07/13/2021
0.52%
88,016.88
88,016.88
98.83 4.69%
86,993.53
20.34 0.06%
(1,023.35)
Aaa/NA
AAA
1.46 0.28
43815PAC3 HAROT 2022-2 A3 3.73
07/20/2026 254,859.33 08/15/2022
3.73%
254,844.14
254,844.14
99.47 4.82%
253,497.59
343.28
0.18%
(1,346.55)
NA/AAA
AAA
1.80 0.50
05602RAD3 BMWOT 2022-A A3 3.21
08/25/2026 163,609.51 05/10/2022
3.21%
163,601.00
163,601.00
99.33 4.75%
162,510.43
87.53 0.12%
(1,090.57)
Aaa/AAA
NA
1.90 0.44
47787JAC2 JDOT 2022 A3 0.36 09/15/2026 174,784.25 03/10/2022
2.33%
174,745.59
174,745.59
98.85 4.69%
172,774.01
180.22
0.13%
(1,971.58)
Aaa/NA
AAA
1.96 0.49
362554AC1 GMCAR 2021-4 A3 0.68
09/16/2026 81,512.36 10/13/2021
0.68%
81,510.29
81,510.29
98.52 4.96%
80,308.10
23.10 0.06%
(1,202.19)
Aaa/AAA
NA
1.96 0.34
380146AC4 GMCAR 2022-1 A3 1.26
11/16/2026 85,883.99 01/11/2022
1.26%
85,876.52
85,876.52
98.64 4.79%
84,717.79
45.09 0.06%
(1,158.73)
NA/AAA
AAA
2.13 0.38
379929AD4 GMALT 2023-3 A3 5.38
11/20/2026 280,000.00 08/08/2023
5.38%
279,966.43
279,966.43
100.76
4.56%
282,125.65
460.29
0.21%
2,159.22
NA/AAA
AAA
2.14 0.86
36269FAD8 GMALT 2024-1 A3 5.09
03/22/2027 455,000.00 02/08/2024
5.09%
454,943.13
454,943.13
101.00
4.40%
459,558.69
707.65
0.33%
4,615.56
NA/AAA
AAA
2.47 1.34
05611UAD5 BMWLT 2024-1 A3 4.98
03/25/2027 1,000,000.00 06/20/2024
5.19%
994,687.50
994,687.50
100.96
4.35%
1,009,629.90
830.00
0.73%
14,942.40
Aaa/AAA
NA
2.48 1.41
36265WAD5 GMCAR 2022-3 A3 3.64
04/16/2027 248,955.89 07/06/2022
3.64%
248,954.17
248,954.17
99.46 4.67%
247,615.58
377.58
0.18%
(1,338.58)
Aaa/NA
AAA
2.54 0.54
02582JJT8 AMXCA 2022-2 A 3.39 05/17/2027 905,000.00 05/17/2022
3.40%
904,799.81
904,799.81
99.28 4.61%
898,484.91
1,363.53
0.65%
(6,314.91)
NA/AAA
AAA
0.62 0.60
58770JAD6 MBALT 2024-A A3 5.32
01/18/2028 350,000.00 05/17/2024
5.32%
349,959.05
349,959.05
102.19
4.33%
357,674.24
827.56
0.26%
7,715.19
Aaa/NA
AAA
3.30 2.06
32 HOLDINGS REPORT
City of Murrieta | Account | As of September 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt
Price
Mkt
YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
58769GAD5 MBALT 2024-B A3 4.23
02/15/2028 545,000.00 09/17/2024
4.24%
544,908.28
544,908.28
99.87 4.34%
544,318.10
384.23
0.40%
(590.18)
NA/AAA
NA
3.38 1.76
437918AC9 HAROT 2024-1 A3 5.21
08/15/2028 1,250,000.00 02/13/2024
5.21%
1,249,945.63
1,249,945.63
101.77
4.18%
1,272,121.13
2,894.44
0.93%
22,175.50
Aaa/AAA
NA
3.88 1.61
161571HT4 CHAIT 2023-1 A 5.16 09/15/2028 1,320,000.00 09/07/2023
5.17%
1,319,634.10
1,319,634.10
102.17
4.04%
1,348,649.81
3,027.20
0.98%
29,015.71
NR/AAA
AAA
3.96 1.82
47800RAD5 JDOT 2024 A3 4.96 11/15/2028 335,000.00 03/11/2024
4.96%
334,981.24
334,981.24
101.66
4.20%
340,568.64
738.49
0.25%
5,587.40
Aaa/NA
AAA
4.13 2.04
096919AD7 BMWOT 2024-A A3 5.18
02/26/2029 600,000.00 06/04/2024
5.24%
599,908.86
599,908.86
102.19
4.05%
613,153.62
518.00
0.45%
13,244.76
Aaa/AAA
NA
4.41 1.84
02582JKH2 AMXCA 2024-1 A 5.23 04/16/2029 640,000.00 04/16/2024
5.23%
639,868.80
639,868.80
102.98
4.03%
659,098.69
1,487.64
0.48%
19,229.89
NA/AAA
AAA
4.54 2.33
Total ABS 9,008,733.49 4.60%
9,002,222.67
9,002,222.67
101.07
4.33%
9,103,666.46
14,424.73
6.62%
101,443.79
Aaa/AAA
AAA
3.04 1.42
AGENCY
3130AQF40 FEDERAL HOME LOAN BANKS 1.0
12/20/2024 1,400,000.00 12/21/2021
1.03%
1,398,768.00
1,398,768.00
99.20 4.67%
1,388,787.37
3,927.78
1.01%
(9,980.63)
Aaa/AA+
AA+
0.22 0.22
3133ENKS8 FEDERAL FARM CREDIT BANKS
FUNDING CORP 1.125 01/06/2025 755,000.00 01/06/2022
1.20%
753,301.25
753,301.25
99.09 4.60%
748,138.28
2,005.47
0.54%
(5,162.97)
Aaa/AA+
AA+
0.27 0.26
3133ENPG9 FEDERAL FARM CREDIT BANKS
FUNDING CORP 1.75 02/14/2025 1,200,000.00 02/25/2022
1.82%
1,197,456.00
1,197,456.00
98.95 4.62%
1,187,432.00
2,741.67
0.86%
(10,024.00)
Aaa/AA+
AA+
0.38 0.36
3133EPW68 FEDERAL FARM CREDIT BANKS
FUNDING CORP 4.125 01/22/2026 1,400,000.00 01/24/2024
4.40%
1,392,860.00
1,392,860.00
100.34
3.85%
1,404,758.77
11,068.75
1.02%
11,898.77
Aaa/AA+
AA+
1.31 1.25
3133ERDZ1 FEDERAL FARM CREDIT BANKS
FUNDING CORP 4.75 05/08/2026 1,000,000.00 05/20/2024
4.87%
997,690.00
997,690.00
101.47
3.80%
1,014,666.91
18,868.06
0.74%
16,976.91
Aaa/AA+
AA+
1.60 1.51
3130AWLZ1 FEDERAL HOME LOAN BANKS 4.75
06/12/2026 2,000,000.00 08/16/2023
4.78%
1,998,620.00
1,998,620.00
101.66
3.73%
2,033,117.64
28,763.89
1.48%
34,497.64
Aaa/AA+
AA+
1.70 1.60
3133EPZY4 FEDERAL FARM CREDIT BANKS
FUNDING CORP 5.0 07/30/2026 2,000,000.00 11/09/2023
4.85%
2,007,480.00
2,007,480.00
102.23
3.73%
2,044,532.62
16,944.44
1.49%
37,052.62
Aaa/AA+
AA+
1.83 1.73
3133EPSW6 FEDERAL FARM CREDIT BANKS
FUNDING CORP 4.5 08/14/2026 2,405,000.00 08/09/2023
4.58%
2,399,468.50
2,399,468.50
101.54
3.64%
2,441,922.28
14,129.38
1.78%
42,453.78
Aaa/AA+
AA+
1.87 1.77
33 HOLDINGS REPORT
City of Murrieta | Account | As of September 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt
Price
Mkt
YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
3130AWTQ3 FEDERAL HOME LOAN BANKS
4.625 09/11/2026 4,500,000.00 --
4.81%
4,476,030.00
4,476,030.00
101.77
3.67%
4,579,430.09
11,562.50
3.33%
103,400.09
Aaa/AA+
AA+
1.95 1.84
3130AXU63 FEDERAL HOME LOAN BANKS
4.625 11/17/2026 1,750,000.00 11/30/2023
4.53%
1,754,427.50
1,754,427.50
102.01
3.63%
1,785,243.30
30,126.74
1.30%
30,815.80
Aaa/AA+
AA+
2.13 1.98
3130AYPN0 FEDERAL HOME LOAN BANKS
4.125 01/15/2027 2,000,000.00 01/30/2024
4.21%
1,995,560.00
1,995,560.00
101.08
3.63%
2,021,548.34
17,416.67
1.47%
25,988.34
Aaa/AA+
AA+
2.29 2.15
3133EP6K6 FEDERAL FARM CREDIT BANKS
FUNDING CORP 4.5 03/26/2027 1,000,000.00 04/08/2024
4.66%
995,520.00
995,520.00
101.93
3.68%
1,019,281.54
625.00
0.74%
23,761.54
Aaa/AA+
AA+
2.48 2.34
3130B0TY5 FEDERAL HOME LOAN BANKS 4.75
04/09/2027 1,500,000.00 04/10/2024
4.84%
1,496,115.00
1,496,115.00
102.76
3.59%
1,541,473.10
33,645.83
1.12%
45,358.10
Aaa/AA+
AA+
2.52 2.32
3133ERFJ5 FEDERAL FARM CREDIT BANKS
FUNDING CORP 4.5 05/20/2027 1,000,000.00 05/20/2024
4.69%
994,830.00
994,830.00
102.27
3.59%
1,022,749.08
16,375.00
0.74%
27,919.08
Aaa/AA+
AA+
2.64 2.43
3130AVVX7 FEDERAL HOME LOAN BANKS 3.75
06/09/2028 1,120,000.00 06/07/2023
4.00%
1,107,243.20
1,107,243.20
100.50
3.60%
1,125,570.78
13,066.67
0.82%
18,327.58
Aaa/AA+
AA+
3.69 3.38
3130AWC24 FEDERAL HOME LOAN BANKS 4.0
06/09/2028 2,000,000.00 07/06/2023
4.49%
1,956,940.00
1,956,940.00
101.53
3.55%
2,030,638.74
24,888.89
1.48%
73,698.74
Aaa/AA+
AA+
3.69 3.37
3133EPWK7 FEDERAL FARM CREDIT BANKS
FUNDING CORP 4.5 09/22/2028 2,000,000.00 10/12/2023
4.71%
1,981,460.00
1,981,460.00
103.31
3.60%
2,066,267.54
2,250.00
1.50%
84,807.54
Aaa/AA+
AA+
3.98 3.62
Total Agency 29,030,000.00 4.26%
28,903,769.45
28,903,769.45
101.48
3.77%
29,455,558.38
248,406.72
21.43%
551,788.93
Aaa/AA+
AA+
2.12 1.98
AGENCY CMBS
3137BM7C4 FHMS K-051 A2 3.308 09/25/2025 1,190,293.87 06/23/2022
3.30%
1,187,783.09
1,187,783.09
98.89 4.39%
1,177,097.20
3,281.24
0.86%
(10,685.89)
Aaa/AA+
AAA
0.99 0.85
3137BSP72 FHMS K-058 A2 2.653 08/25/2026 2,000,000.00 02/09/2023
4.27%
1,890,546.88
1,890,546.88
97.49 3.99%
1,949,845.40
4,421.67
1.42%
59,298.52
Aaa/AA+
AAA
1.90 1.78
3137BTUM1 FHMS K-061 A2 3.347 11/25/2026 882,915.96 09/22/2022
4.23%
851,220.66
851,220.66
98.50 4.04%
869,666.83
2,462.60
0.63%
18,446.17
Aaa/AA+
AAA
2.15 1.93
3137BVZ82 FHMS K-063 A2 3.43 01/25/2027 862,000.00 --
4.03%
839,600.51
839,600.51
98.82 3.92%
851,804.70
2,463.88
0.62%
12,204.19
Aaa/AA+
AAA
2.32 2.06
3137F1G44 FHMS K-065 A2 3.243 04/25/2027 1,000,000.00 09/19/2022
4.02%
965,468.75
965,468.75
98.18 3.95%
981,842.90
2,702.50
0.71%
16,374.15
Aaa/AA+
AAA
2.57 2.34
34 HOLDINGS REPORT
City of Murrieta | Account | As of September 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt
Price
Mkt
YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
3137FBU79 FHMS K-069 A2 3.187 09/25/2027 1,245,611.84 05/18/2023
4.13%
1,196,517.22
1,196,517.22
97.89 3.92%
1,219,314.60
3,308.14
0.89%
22,797.38
Aaa/AAA
AA+
2.99 2.70
3137F4X72 FHMS K-075 A2 3.65 02/25/2028 1,165,000.00 09/14/2023
4.83%
1,107,478.13
1,107,478.13
99.10 3.89%
1,154,543.43
3,543.54
0.84%
47,065.30
Aaa/AA+
AAA
3.41 3.12
3137FJEH8 FHMS K-081 A2 3.9 08/25/2028 1,250,000.00 05/28/2024
4.94%
1,197,265.63
1,197,265.63
99.74 3.93%
1,246,800.13
4,062.50
0.91%
49,534.50
Aaa/AA+
AAA
3.90 3.53
3137H5YC5 FHMS K-748 A2 2.26 01/25/2029 1,500,000.00 08/19/2024
4.12%
1,385,332.03
1,385,332.03
93.32 3.97%
1,399,737.00
2,825.00
1.02%
14,404.97
Aaa/AA+
AAA
4.32 3.95
Total Agency CMBS 11,095,821.67 4.22%
10,621,212.90
10,621,212.90
97.83 4.00%
10,850,652.19
29,071.07
7.89%
229,439.28
Aaa/AA+
AAA
2.74 2.49
CASH
CCYUSD Payable (999,820.00) --
0.00%
(999,820.00)
(999,820.00)
1.00 0.00%
(999,820.00)
0.00 (0.73%)
0.00 Aaa/AAA
AAA
0.00 0.00
CCYUSD Receivable 6,759.94 --
0.00%
6,759.94
6,759.94
1.00 0.00%
6,759.94
0.00 0.00%
0.00 Aaa/AAA
AAA
0.00 0.00
Total Cash (993,060.06) 0.00%
(993,060.06)
(993,060.06)
1.00 0.00%
(993,060.06)
0.00 (0.72%)
0.00 Aaa/AAA
AAA
0.00 0.00
CORPORATE
78016EYM3 ROYAL BANK OF CANADA 1.6
01/21/2025 1,000,000.00 01/12/2022
1.60%
1,000,000.00
1,000,000.00
98.98 4.99%
989,759.74
3,111.11
0.72%
(10,240.26)
A1/A
AA-
0.31 0.30
06406RBC0 BANK OF NEW YORK MELLON
CORP 3.35 04/25/2025 900,000.00 04/19/2022
3.35%
899,874.00
899,874.00
99.30 4.61%
893,701.66
13,065.00
0.65%
(6,172.34)
A1/A
AA-
0.57 0.55
14913R2V8 CATERPILLAR FINANCIAL SERVICES
CORP 3.4 05/13/2025 480,000.00 05/10/2022
3.44%
479,390.40
479,390.40
99.35 4.47%
476,893.22
6,256.00
0.35%
(2,497.18)
A2/A
A+
0.62 0.59
438516CB0 HONEYWELL INTERNATIONAL INC
1.35 06/01/2025 1,000,000.00 03/09/2022
2.31%
970,280.00
970,280.00
98.12 4.24%
981,157.32
4,500.00
0.71%
10,877.32
A2/A
A
0.67 0.65
89115A2A9 TORONTO-DOMINION BANK 3.766
06/06/2025 1,000,000.00 06/02/2022
3.70%
1,001,830.00
1,001,830.00
99.45 4.59%
994,472.60
12,030.28
0.72%
(7,357.40)
A1/A
NA
0.68 0.66
63743HFE7
NATIONAL RURAL UTILITIES
COOPERATIVE FINANCE CORP 3.45
06/15/2025
1,105,000.00 --
3.61%
1,099,973.65
1,099,973.65
99.27 4.50%
1,096,952.31
11,224.96
0.80%
(3,021.34)
A2/A-
A
0.71 0.68
35 HOLDINGS REPORT
City of Murrieta | Account | As of September 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt
Price
Mkt
YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
14913R2Z9 CATERPILLAR FINANCIAL SERVICES
CORP 3.65 08/12/2025 1,375,000.00 08/08/2022
3.69%
1,373,336.25
1,373,336.25
99.51 4.23%
1,368,206.35
6,831.08
1.00%
(5,129.91)
A2/A
A+
0.87 0.84
26442UAA2 DUKE ENERGY PROGRESS LLC 3.25
08/15/2025 1,000,000.00 06/23/2022
3.57%
990,710.00
990,710.00
99.14 4.26%
991,372.81
4,152.78
0.72%
662.81
Aa3/A
WR
0.87 0.85
437076CR1 HOME DEPOT INC 4.0 09/15/2025 1,000,000.00 09/14/2022
4.13%
996,380.00
996,380.00
99.84 4.18%
998,355.12
1,777.78
0.73%
1,975.12
A2/A
A
0.96 0.93
023135CN4 AMAZON.COM INC 4.6
12/01/2025 425,000.00 11/29/2022
4.60%
424,974.50
424,974.50
100.67
4.00%
427,854.89
6,516.67
0.31%
2,880.39
A1/AA
AA-
1.17 1.11
857477BR3 STATE STREET CORP 1.746
02/06/2026 335,000.00 02/02/2022
1.75%
335,000.00
335,000.00
98.82 5.27%
331,051.41
893.61
0.24%
(3,948.59)
A1/A
AA-
1.35 0.34
037833BY5 APPLE INC 3.25 02/23/2026 1,000,000.00 02/22/2023
4.72%
959,390.00
959,390.00
99.11 3.91%
991,136.24
3,430.56
0.72%
31,746.24
Aaa/AA+
NA
1.40 1.34
57629W6F2 MASSMUTUAL GLOBAL FUNDING
II 4.5 04/10/2026 750,000.00 04/04/2023
4.52%
749,482.50
749,482.50
100.65
4.06%
754,879.07
16,031.25
0.55%
5,396.57
Aa3/AA+
AA+
1.53 1.43
00440EAV9 CHUBB INA HOLDINGS LLC 3.35
05/03/2026 1,000,000.00 09/13/2023
5.23%
954,220.00
954,220.00
98.82 4.12%
988,230.59
13,772.22
0.72%
34,010.59
A3/A
A
1.59 1.51
58989V2F0 MET TOWER GLOBAL FUNDING
5.4 06/20/2026 1,000,000.00 06/12/2023
5.38%
1,000,440.00
1,000,440.00
102.11
4.11%
1,021,088.08
15,150.00
0.74%
20,648.08
Aa3/AA-
AA-
1.72 1.61
61747YET8 MORGAN STANLEY 4.679
07/17/2026 1,000,000.00 09/14/2022
4.68%
994,030.00
994,030.00
99.86 5.78%
998,589.89
9,617.94
0.73%
4,559.89
A1/A-
A+
1.79 0.76
69371RS56 PACCAR FINANCIAL CORP 5.05
08/10/2026 1,450,000.00 --
4.99%
1,451,925.00
1,451,925.00
102.07
3.88%
1,479,971.99
10,373.54
1.08%
28,046.99
A1/A+
NA
1.86 1.75
06428CAA2 BANK OF AMERICA NA 5.526
08/18/2026 1,000,000.00 09/13/2023
5.57%
998,810.00
998,810.00
102.67
4.03%
1,026,744.55
6,600.50
0.75%
27,934.55
Aa1/A+
AA
1.88 1.69
713448FW3 PEPSICO INC 5.125 11/10/2026 510,000.00 11/08/2023
5.13%
509,862.30
509,862.30
102.56
3.85%
523,067.71
10,237.19
0.38%
13,205.41
A1/A+
NA
2.11 1.88
48125LRU8 JPMORGAN CHASE BANK NA 5.11
12/08/2026 1,575,000.00 --
5.08%
1,576,460.00
1,576,460.00
102.25
4.02%
1,610,414.06
25,262.56
1.17%
33,954.06
Aa2/A+
AA
2.19 1.95
24422EXF1 JOHN DEERE CAPITAL CORP 4.5
01/08/2027 1,000,000.00 01/10/2024
4.52%
999,460.00
999,460.00
101.29
3.90%
1,012,873.94
10,375.00
0.74%
13,413.94
A1/A
A+
2.27 2.12
78016HZT0 ROYAL BANK OF CANADA 4.875
01/19/2027 1,245,000.00 01/10/2024
4.88%
1,244,688.75
1,244,688.75
101.87
4.01%
1,268,266.82
12,138.75
0.92%
23,578.07
A1/A
AA-
2.30 2.14
17275RBQ4 CISCO SYSTEMS INC 4.8
02/26/2027 1,500,000.00 02/29/2024
4.78%
1,500,810.00
1,500,810.00
102.19
3.84%
1,532,826.89
7,000.00
1.12%
32,016.89
A1/AA-
NA
2.41 2.17
36 HOLDINGS REPORT
City of Murrieta | Account | As of September 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt
Price
Mkt
YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
857477CL5 STATE STREET CORP 4.993
03/18/2027 1,210,000.00 03/13/2024
4.99%
1,210,000.00
1,210,000.00
102.36
3.98%
1,238,607.36
2,181.66
0.90%
28,607.36
A1/A
AA-
2.46 2.23
665859AW4 NORTHERN TRUST CORP 4.0
05/10/2027 1,000,000.00 09/14/2022
4.23%
990,460.00
990,460.00
100.16
3.93%
1,001,627.03
15,666.67
0.73%
11,167.03
A2/A+
A+
2.61 2.34
009158AY2 AIR PRODUCTS AND CHEMICALS
INC 1.85 05/15/2027 1,500,000.00 02/09/2024
4.71%
1,371,945.00
1,371,945.00
94.99 3.88%
1,424,899.56
10,483.33
1.04%
52,954.56
A2/A
NA
2.62 2.50
437076DB5 HOME DEPOT INC 4.875
06/25/2027 740,000.00 --
4.95%
738,545.60
738,545.60
102.60
3.86%
759,224.31
9,620.00
0.55%
20,678.71
A2/A
A
2.73 2.44
09290DAH4 BLACKROCK FUNDING INC 4.6
07/26/2027 750,000.00 07/18/2024
4.57%
750,645.00
750,645.00
101.94
3.86%
764,586.28
6,229.17
0.56%
13,941.28
Aa3/AA-
NA
2.82 2.53
532457CP1 ELI LILLY AND CO 4.15 08/14/2027 1,250,000.00 08/22/2024
4.10%
1,251,637.50
1,251,637.50
100.93
3.80%
1,261,675.78
6,772.57
0.92%
10,038.28
A1/A+
NA
2.87 2.60
023135BC9 AMAZON.COM INC 3.15
08/22/2027 1,000,000.00 07/30/2024
4.55%
960,450.00
960,450.00
98.17 3.82%
981,680.93
3,412.50
0.71%
21,230.93
A1/AA
AA-
2.89 2.72
89236TKJ3 TOYOTA MOTOR CREDIT CORP
4.55 09/20/2027 1,000,000.00 06/20/2024
4.89%
989,900.00
989,900.00
101.61
3.97%
1,016,093.32
1,390.28
0.74%
26,193.32
A1/A+
A+
2.97 2.75
64952WFJ7 NEW YORK LIFE GLOBAL FUNDING
3.9 10/01/2027 1,000,000.00 09/25/2024
3.91%
999,820.00
999,820.00
99.85 3.95%
998,481.79
0.00 0.73%
(1,338.21)
Aaa/AA+
AAA
3.00 2.80
91324PDE9 UNITEDHEALTH GROUP INC 2.95
10/15/2027 1,250,000.00 07/30/2024
4.60%
1,189,300.00
1,189,300.00
97.35 3.88%
1,216,824.80
17,003.47
0.89%
27,524.80
A2/A+
A
3.04 2.83
74456QBU9 PUBLIC SERVICE ELECTRIC AND
GAS CO 3.7 05/01/2028 750,000.00 06/22/2023
4.79%
715,005.00
715,005.00
98.71 4.09%
740,330.74
11,562.50
0.54%
25,325.74
A1/A
WR
3.59 3.27
341081GN1 FLORIDA POWER & LIGHT CO 4.4
05/15/2028 1,500,000.00 05/22/2023
4.64%
1,484,025.00
1,484,025.00
101.19
4.04%
1,517,890.70
24,933.33
1.10%
33,865.70
Aa2/A+
AA-
3.62 3.13
Total Corporate 35,600,000.00 4.37%
35,163,060.45
35,163,060.45
100.26
4.13%
35,679,789.84
319,604.26
25.96%
516,729.39
A1/A+
A+
1.99 1.80
MONEY MARKET
FUND
31846V567 FIRST AMER:GVT OBLG Z 1,138,150.61 --
4.80%
1,138,150.61
1,138,150.61
1.00 4.80%
1,138,150.61
0.00 0.83%
0.00 Aaa/AAAm
AAA
0.00 0.00
Total Money Market
Fund 1,138,150.61 4.80%
1,138,150.61
1,138,150.61
1.00 4.80%
1,138,150.61
0.00 0.83%
0.00 Aaa/AAAm
AAA
0.00 0.00
37 HOLDINGS REPORT
City of Murrieta | Account | As of September 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt
Price
Mkt
YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
SUPRANATIONAL
459058KT9
INTERNATIONAL BANK FOR
RECONSTRUCTION AND
DEVELOPM 3.5 07/12/2028
500,000.00 07/24/2023
4.26%
483,115.00
483,115.00
99.62 3.61%
498,092.90
3,840.28
0.36%
14,977.90
Aaa/AAA
NA
3.78 3.48
Total Supranational 500,000.00 4.26%
483,115.00
483,115.00
99.62 3.61%
498,092.90
3,840.28
0.36%
14,977.90
Aaa/AAA
NA
3.78 3.48
US TREASURY
912828YM6 UNITED STATES TREASURY 1.5
10/31/2024 1,700,000.00 09/24/2021
0.55%
1,749,273.44
1,749,273.44
99.72 4.89%
1,695,280.82
10,671.20
1.23%
(53,992.62)
Aaa/AA+
AA+
0.08 0.08
91282CDH1 UNITED STATES TREASURY 0.75
11/15/2024 2,000,000.00 11/29/2021
0.81%
1,996,328.13
1,996,328.13
99.50 4.84%
1,990,013.06
5,665.76
1.45%
(6,315.07)
Aaa/AA+
AA+
0.13 0.12
91282CDN8 UNITED STATES TREASURY 1.0
12/15/2024 900,000.00 12/29/2021
0.99%
900,386.72
900,386.72
99.27 4.60%
893,390.63
2,655.74
0.65%
(6,996.10)
Aaa/AA+
AA+
0.21 0.20
912828Z52 UNITED STATES TREASURY 1.375
01/31/2025 2,000,000.00 06/04/2021
0.51%
2,062,500.00
2,062,500.00
98.96 4.55%
1,979,199.22
4,633.15
1.44%
(83,300.78)
Aaa/AA+
AA+
0.34 0.33
912828ZC7 UNITED STATES TREASURY 1.125
02/28/2025 1,200,000.00 02/09/2022
1.59%
1,183,359.38
1,183,359.38
98.65 4.45%
1,183,757.81
1,156.08
0.86%
398.43
Aaa/AA+
AA+
0.41 0.41
912828ZF0 UNITED STATES TREASURY 0.5
03/31/2025 2,000,000.00 03/03/2021
0.54%
1,997,031.25
1,997,031.25
98.11 4.38%
1,962,187.50
27.47 1.43%
(34,843.75)
Aaa/AA+
AA+
0.50 0.49
912828ZL7 UNITED STATES TREASURY 0.375
04/30/2025 2,000,000.00 04/12/2021
0.66%
1,977,343.75
1,977,343.75
97.76 4.32%
1,955,140.62
3,138.59
1.42%
(22,203.13)
Aaa/AA+
AA+
0.58 0.57
912828ZT0 UNITED STATES TREASURY 0.25
05/31/2025 1,800,000.00 10/14/2021
0.78%
1,765,757.81
1,765,757.81
97.42 4.23%
1,753,541.01
1,512.30
1.28%
(12,216.80)
Aaa/AA+
AA+
0.67 0.65
91282CAB7 UNITED STATES TREASURY 0.25
07/31/2025 2,000,000.00 12/02/2021
1.06%
1,942,031.25
1,942,031.25
96.90 4.08%
1,938,015.62
842.39
1.41%
(4,015.63)
Aaa/AA+
AA+
0.83 0.81
91282CAJ0 UNITED STATES TREASURY 0.25
08/31/2025 1,000,000.00 03/22/2022
2.42%
928,828.13
928,828.13
96.61 4.06%
966,125.00
214.09
0.70%
37,296.87
Aaa/AA+
AA+
0.92 0.90
9128285C0 UNITED STATES TREASURY 3.0
09/30/2025 3,250,000.00 --
2.90%
3,259,882.81
3,259,882.81
99.04 3.99%
3,218,871.08
267.86
2.34%
(41,011.73)
Aaa/AA+
AA+
1.00 0.97
9128285J5 UNITED STATES TREASURY 3.0
10/31/2025 2,500,000.00 06/23/2022
3.02%
2,498,632.81
2,498,632.81
99.02 3.94%
2,475,390.63
31,385.87
1.80%
(23,242.19)
Aaa/AA+
AA+
1.08 1.04
38 HOLDINGS REPORT
City of Murrieta | Account | As of September 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt
Price
Mkt
YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
912828M56 UNITED STATES TREASURY 2.25
11/15/2025 2,500,000.00 06/23/2022
3.11%
2,431,152.34
2,431,152.34
98.21 3.89%
2,455,371.10
21,246.60
1.79%
24,218.76
Aaa/AA+
AA+
1.13 1.08
9128285T3 UNITED STATES TREASURY 2.625
12/31/2025 2,500,000.00 09/14/2022
3.76%
2,412,792.97
2,412,792.97
98.52 3.85%
2,462,988.28
16,584.58
1.79%
50,195.31
Aaa/AA+
AA+
1.25 1.20
9128286L9 UNITED STATES TREASURY 2.25
03/31/2026 2,500,000.00 09/14/2022
3.74%
2,377,832.03
2,377,832.03
97.81 3.77%
2,445,214.85
154.53
1.78%
67,382.82
Aaa/AA+
AA+
1.50 1.45
91282CGV7 UNITED STATES TREASURY 3.75
04/15/2026 2,000,000.00 03/20/2024
4.63%
1,965,703.13
1,965,703.13
100.00
3.75%
2,000,078.12
34,631.15
1.46%
34,374.99
Aaa/AA+
AA+
1.54 1.46
912828U24 UNITED STATES TREASURY 2.0
11/15/2026 3,000,000.00 09/13/2023
4.66%
2,767,031.25
2,767,031.25
96.68 3.64%
2,900,390.64
22,663.04
2.11%
133,359.39
Aaa/AA+
AA+
2.13 2.04
912828YX2 UNITED STATES TREASURY 1.75
12/31/2026 1,750,000.00 12/27/2023
3.96%
1,641,240.23
1,641,240.23
96.03 3.61%
1,680,478.52
7,739.47
1.22%
39,238.29
Aaa/AA+
AA+
2.25 2.16
91282CEF4 UNITED STATES TREASURY 2.5
03/31/2027 2,500,000.00 11/17/2022
4.02%
2,349,414.06
2,349,414.06
97.43 3.59%
2,435,742.20
171.70
1.77%
86,328.14
Aaa/AA+
AA+
2.50 2.39
91282CEW7 UNITED STATES TREASURY 3.25
06/30/2027 1,300,000.00 12/12/2022
3.87%
1,266,687.50
1,266,687.50
99.16 3.57%
1,289,031.25
10,677.31
0.94%
22,343.75
Aaa/AA+
AA+
2.75 2.58
91282CFB2 UNITED STATES TREASURY 2.75
07/31/2027 2,000,000.00 07/26/2023
4.30%
1,887,109.38
1,887,109.38
97.77 3.58%
1,955,390.62
9,266.30
1.42%
68,281.24
Aaa/AA+
AA+
2.83 2.68
91282CFH9 UNITED STATES TREASURY 3.125
08/31/2027 2,500,000.00 01/24/2023
3.65%
2,445,117.19
2,445,117.19
98.76 3.58%
2,469,042.98
6,690.26
1.80%
23,925.79
Aaa/AA+
AA+
2.92 2.75
91282CFM8 UNITED STATES TREASURY 4.125
09/30/2027 1,600,000.00 02/22/2023
4.19%
1,595,500.00
1,595,500.00
101.61
3.56%
1,625,687.50
181.32
1.18%
30,187.50
Aaa/AA+
AA+
3.00 2.80
9128283F5 UNITED STATES TREASURY 2.25
11/15/2027 1,400,000.00 06/07/2023
4.05%
1,298,937.50
1,298,937.50
96.10 3.58%
1,345,367.18
11,898.10
0.98%
46,429.68
Aaa/AA+
AA+
3.13 2.95
9128283W8 UNITED STATES TREASURY 2.75
02/15/2028 2,750,000.00 09/27/2024
3.51%
2,684,257.81
2,684,257.81
97.38 3.58%
2,677,812.50
9,658.63
1.95%
(6,445.31)
Aaa/AA+
AA+
3.38 3.17
9128285M8 UNITED STATES TREASURY 3.125
11/15/2028 2,000,000.00 04/22/2024
4.72%
1,870,625.00
1,870,625.00
98.26 3.58%
1,965,156.24
23,607.34
1.43%
94,531.24
Aaa/AA+
AA+
4.13 3.78
51,254,755.87 98.25 51,718,664.96 37.63% Aaa/AA+ 1.64
Total US Treasury 52,650,000.00 2.90% 51,254,755.87 3.94% 237,340.82 463,909.09 AA+ 1.55 135,573,226.90 99.52 137,451,515.26 100.00% Aa2/AA 2.02 Total Portfolio 138,029,645.70 3.83% 135,573,226.90 4.02% 852,687.88 1,878,288.37 AA 1.78 39 HOLDINGS REPORT
City of Murrieta | Account | As of September 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt
Price
Mkt
YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
Total Market Value +
Accrued 138,304,203.14
40 HOLDINGS REPORT
Murrieta Liquidity | Account | As of September 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt
Price
Mkt
YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
CASH
CCYUSD Receivable 8,009.98 --
0.00%
8,009.98
8,009.98
1.00 0.00%
8,009.98
0.00 0.07%
0.00 Aaa/AAA
AAA
0.00 0.00
Total Cash 8,009.98 0.00%
8,009.98
8,009.98
1.00 0.00%
8,009.98
0.00 0.07%
0.00 Aaa/AAA
AAA
0.00 0.00
COMMERCIAL
PAPER
89233GNX0 Toyota Motor Credit Corporation
01/31/2025 2,000,000.00 05/21/2024
5.42%
1,925,625.00
1,925,625.00
98.44 4.66%
1,968,894.00
0.00 16.87%
43,269.00
P-1/A-1+
F1
0.34 0.33
62479LQ40 MUFG Bank, Ltd. - New York
Branch 03/04/2025 2,700,000.00 06/07/2024
5.36%
2,594,902.50
2,594,902.50
98.07 5.31%
2,647,857.60
0.00 22.69%
52,955.10
P-1/A-1
NA
0.42 0.24
Total Commercial
Paper 4,700,000.00 5.39%
4,520,527.50
4,520,527.50
98.23 5.03%
4,616,751.60
0.00 39.57%
96,224.10
P-1/AA-
A+
0.39 0.28
MONEY MARKET
FUND
31846V567 FIRST AMER:GVT OBLG Z 2,310,064.60 --
4.80%
2,310,064.60
2,310,064.60
1.00 4.80%
2,310,064.60
0.00 19.80%
0.00 Aaa/AAAm
AAA
0.00 0.00
Total Money Market
Fund 2,310,064.60 4.80%
2,310,064.60
2,310,064.60
1.00 4.80%
2,310,064.60
0.00 19.80%
0.00 Aaa/AAAm
AAA
0.00 0.00
US TREASURY
912797KU0 UNITED STATES TREASURY
10/17/2024 2,000,000.00 04/22/2024
5.37%
1,949,235.42
1,949,235.42
99.79 4.78%
1,995,820.00
0.00 17.10%
46,584.58
P-1/A-1+
F1+
0.05 0.04
912797MA2 UNITED STATES TREASURY
11/05/2024 2,750,000.00 07/10/2024
5.36%
2,703,547.34
2,703,547.34
99.55 4.73%
2,737,578.86
0.00 23.46%
34,031.52
P-1/A-1+
F1+
0.10 0.10
Total US Treasury 4,750,000.00 5.36%
4,652,782.76
4,652,782.76
99.65 4.75%
4,733,398.86
0.00 40.57%
80,616.10
P-1/A-1+
F1+
0.08 0.07
Total Portfolio 11,768,074.58 5.26%
11,491,384.84
11,491,384.84
79.49 4.87%
11,668,225.04
0.00 100.00%
176,840.20
Aaa/AA
AA
0.18 0.14
41 HOLDINGS REPORT
Murrieta Liquidity | Account | As of September 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt
Price
Mkt
YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
Total Market Value +
Accrued 11,668,225.04
42 TRANSACTIONS
43 TRANSACTION LEDGER
City of Murrieta | Account |07/01/2024 Through 09/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 07/26/2024 09290DAH4 750,000.00 BLACKROCK FUNDING INC
4.6 07/26/2027 100.086 4.57% (750,645.00) 0.00 (750,645.00) 0.00 Purchase 07/30/2024 023135BC9 1,000,000.00 AMAZON.COM INC 3.15 08/22/2027 96.045 4.55% (960,450.00) (13,825.00) (974,275.00) 0.00 Purchase 07/31/2024 91324PDE9 1,250,000.00 UNITEDHEALTH GROUP INC
2.95 10/15/2027 95.144 4.60% (1,189,300.00) (10,857.64) (1,200,157.64) 0.00 Purchase 08/22/2024 3137H5YC5 1,500,000.00 FHMS K-748 A2 2.26 01/25/2029 92.355 4.12% (1,385,332.03) (1,977.50) (1,387,309.53) 0.00 Purchase 08/23/2024 532457CP1 1,250,000.00 ELI LILLY AND CO 4.15 08/14/2027 100.131 4.10% (1,251,637.50) (1,296.88) (1,252,934.38) 0.00 Purchase 09/25/2024 58769GAD5 545,000.00 MBALT 2024-B A3 4.23 02/15/2028 99.983 4.24% (544,908.28) 0.00 (544,908.28) 0.00 Purchase 09/30/2024 9128283W8 2,750,000.00 UNITED STATES TREASURY
2.75 02/15/2028 97.609 3.51% (2,684,257.81) (9,453.13) (2,693,710.94) 0.00 Purchase 10/01/2024 64952WFJ7 1,000,000.00 NEW YORK LIFE GLOBAL FUNDING 3.9 10/01/2027 99.982 3.91% (999,820.00) 0.00 (999,820.00) 0.00 Total Purchase 10,045,000.00 (9,766,350.62) (37,410.15) (9,803,760.77) 0.00 TOTAL
ACQUISITIONS 10,045,000.00 (9,766,350.62) (37,410.15) (9,803,760.77) 0.00
DISPOSITIONS
Maturity 07/15/2024 79466LAG9 (200,000.00) SALESFORCE INC 0.625 07/15/2024 100.000 0.63% 200,000.00 0.00 200,000.00 102.00 Maturity 07/30/2024 91159HHX1 (1,000,000.00) US BANCORP 2.4 07/30/2024 100.000 2.40% 1,000,000.00 0.00 1,000,000.00 (41,550.00) Maturity 08/09/2024 69371RR40 (245,000.00) PACCAR FINANCIAL CORP
0.5 08/09/2024 100.000 0.50% 245,000.00 0.00 245,000.00 132.30 Maturity 08/15/2024 91282CCT6 (2,000,000.00) UNITED STATES TREASURY
0.375 08/15/2024 100.000 0.38% 2,000,000.00 0.00 2,000,000.00 4,765.62 Maturity 09/15/2024 91282CCX7 (1,800,000.00) UNITED STATES TREASURY
0.375 09/15/2024 100.000 0.38% 1,800,000.00 0.00 1,800,000.00 3,515.62 44 TRANSACTION LEDGER
City of Murrieta | Account |07/01/2024 Through 09/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Maturity 09/23/2024 4581X0DZ8 (1,585,000.00)
INTER-AMERICAN
DEVELOPMENT BANK 0.5
09/23/2024
100.000 0.50% 1,585,000.00 0.00 1,585,000.00 1,172.90
Total Maturity (6,830,000.00) 6,830,000.00 0.00 6,830,000.00 (31,861.56) Sale 07/31/2024 3130B0ZP7 (1,000,000.00) FEDERAL HOME LOAN BANKS 4.875 03/13/2026 100.448 4.85% 1,004,480.00 13,812.50 1,018,292.50 4,030.00 Total Sale (1,000,000.00) 1,004,480.00 13,812.50 1,018,292.50 4,030.00 TOTAL
DISPOSITIONS (7,830,000.00) 7,834,480.00 13,812.50 7,848,292.50 (27,831.56) 45 TRANSACTION LEDGER
Murrieta Liquidity | Account |07/01/2024 Through 09/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 07/11/2024 912797MA2 2,750,000.00 UNITED STATES TREASURY 11/05/2024 98.311 5.36% (2,703,547.34) 0.00 (2,703,547.34) 0.00 Total Purchase 2,750,000.00 (2,703,547.34) 0.00 (2,703,547.34) 0.00 TOTAL
ACQUISITIONS 2,750,000.00 (2,703,547.34) 0.00 (2,703,547.34) 0.00
DISPOSITIONS
Maturity 07/11/2024 912797GB7 (2,750,000.00) UNITED STATES TREASURY 07/11/2024 100.000 0.00% 2,750,000.00 0.00 2,750,000.00 67,124.75 Maturity 09/06/2024 21684XH82 (2,000,000.00)
COÖPERATIEVE RABOBANK
U.A., NEW YORK BRANCH
5.9 09/06/2024
100.000 5.90% 2,000,000.00 0.00 2,000,000.00 127.16
Total Maturity (4,750,000.00) 4,750,000.00 0.00 4,750,000.00 67,251.91 TOTAL
DISPOSITIONS (4,750,000.00) 4,750,000.00 0.00 4,750,000.00 67,251.91 46 IMPORTANT DISCLOSURES
2024 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential. Prices are provided by ICE Data Services Inc (“IDS”), an independent pricing source. In the event IDS does not provide a price or if the price provided is not reflective of fair market value, Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures. Our valuation procedures are also disclosed in Item 5 of our Form ADV Part 2A.
Performance results are presented gross-of-advisory fees and represent the client’s Total Return. The deduction of advisory fees lowers performance results. These results include the reinvestment of dividends and other earnings. Past performance may not be indicative of future results. Therefore, clients should not assume that future performance of any specific investment or investment strategy will be profitable or equal to past performance levels. All investment strategies have the potential for profit or loss. Economic factors, market conditions or changes in investment strategies, contributions or withdrawals may materially alter the performance and results of your portfolio.
Index returns assume reinvestment of all distributions. Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the deduction of an investment management fee, the incurrence of which would have the effect of decreasing historical performance results. It is not possible to invest directly in an index.
Source ICE Data Indices, LLC (“ICE”), used with permission. ICE permits use of the ICE indices and related data on an “as is” basis; ICE, its affiliates and their respective third party suppliers disclaim any and all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, or derived therefrom. Neither ICE data, its affiliates or their respective third party providers guarantee the quality, adequacy, accuracy, timeliness or completeness of the indices or the index data or any component thereof, and the indices and index data and all components thereof are provided on an “as is” basis and licensee’s use it at licensee’s own risk. ICE data, its affiliates and their respective third party do not sponsor, endorse, or recommend chandler asset management, or any of its products or services.
This report is provided for informational purposes only and should not be construed as a specific investment or legal advice. The information contained herein was obtained from sources believed to be reliable as of the date of publication, but may become outdated or superseded at any time without notice. Any opinions or views expressed are based on current market conditions and are subject to change. This report may contain forecasts and forward-looking statements which are inherently limited and should not be relied upon as indicator of future results. Past performance is not indicative of future results. This report is not intended to constitute an offer, solicitation, recommendation or advice regarding any securities or investment strategy and should not be regarded by recipients as a substitute for the exercise of their own judgment.
Fixed income investments are subject to interest, credit and market risk. Interest rate risk: the value of fixed income investments will decline as interest rates rise. Credit risk: the possibility that the borrower may not be able to repay interest and principal. Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk. Market risk: the bond market in general could decline due to economic conditions, especially during periods of rising interest rates.
Ratings information have been provided by Moody’s, S&P and Fitch through data feeds we believe to be reliable as of the date of this statement, however we cannot guarantee its accuracy.
Security level ratings for U.S. Agency issued mortgage-backed securities (“MBS”) reflect the issuer rating because the securities themselves are not rated. The issuing U.S. Agency guarantees the full and timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P, Moody’s and Fitch respectively. 47 BENCHMARK DISCLOSURES
Benchmark Disclosure
ICE BofA 3-Month US Treasury Bill Index
The ICE BofA US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month- end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date.
ICE BofA 1-3 Yr 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. 48