CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending September 30, 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 September 30, 2023
1 SECTION | Section 1 | Economic Update
2 Economic Update
▪
▪
▪
Recent economic data continues to suggest positive but below trend growth this year. Labor markets remain solid, and the U.S. consumer has demonstrated resiliency. Inflationary trends are subsiding, but core levels remain well 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 remain data dependent as they tread cautiously going forward.
As anticipated at the September meeting, the Federal Open Market Committee voted unanimously to maintain the target Federal Funds at the range of 5.25 - 5.50%. The Fed’s Summary of Economic Projections (SEP) also revealed expectations of higher economic growth, reduced unemployment, and a gradual easing of inflation compared to earlier forecasts. The Fed is continuing to focus on achieving price stability and bringing inflation down toward their 2% policy objective, while leaving the option open for the possibility of additional rate hikes in the future if needed.
The yield curve remained inverted in September. The 2-year Treasury yield increased 18 basis points to 5.05%, the 5-year Treasury yield rose 36 basis points to 4.61%, and the 10-year Treasury yield increased 46 basis points to 4.57%. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -48 basis points at September month-end versus -76 basis points at August monthend. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -45 basis points. The inversion between 3-month and 10-year Treasuries narrowed to -88 basis points in September from -134 basis points in August. The shape of the yield curve indicates that the probability of recession persists.
3 Employment
-400
-200
0 200
400
600
800
1,000 MOM 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 336,000 jobs in September, exceeding consensus expectations of 170,000, and the last two months were revised upward by 119,000 jobs. The largest gains came from leisure and hospitality, bringing restaurant and bar employment back in-line with pre-pandemic levels. The pace of job growth has picked up recently, with the three-month moving average payrolls at 266,000 and the sixmonth moving average at 234,000. The unemployment rate was unchanged at 3.8%, and the labor participation rate was consistent with last month’s report at 62.8%. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons declined slightly to 7.0% from the prior month at 7.1%. Average hourly earnings declined to
4.2% year-over-year in September from 4.3% in August. Employment remains strong by historical standards.
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) unexpectedly increased to 9.61 million in August from a revised
8.92 million in July. The level significantly surpassed the survey of Bloomberg economists’ expectations of 8.82 million and reflects approximately 1.5 job openings per available worker. Although JOLTS was an upside surprise, the quits rate remained at a benign 2.3% for August, well below its 3.0% peak in April 2022. Fewer quits can imply that workers are less confident in their ability to find another job in the current market. The current level of job openings remains elevated from a historical perspective.
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 in August by 0.6% month-over-month and 3.7% year-over-year, accelerating from 3.2% year-overyear in July due to surging energy prices. The Core CPI, which excludes volatile food and energy components, was up 0.3% month-overmonth and 4.3% year-over-year, decelerating from 4.7% last month. Shelter remained the largest contributor to the Core CPI increase. The Personal Consumption Expenditures (PCE) index rose 0.4% month-over-month and 3.5% year-over-year in August, up from a 3.4% yearover-year gain in July. Core PCE, the Federal Reserve’s preferred inflation gauge, increased just 0.1% month-over-month and 3.9% yearover-year in August, down from a 4.3% increase in July. Personal income and spending remained relatively healthy, but the personal savings rate continued its declining trend to 3.9% in August from 4.1% in July. 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 0.6% in August, exceeding the consensus forecast. Sales of motor vehicles and higher gasoline prices drove greater than expected gains. However, Control Group Sales, which are used to calculate gross domestic product and exclude food services, auto dealers, building materials stores and gasoline stations, rose just 0.1%, the smallest advance in five months. On a year-over-year basis, retail sales growth decelerated to a 2.5% gain in August versus a downwardly revised 2.6% gain in July. The Conference Board’s Consumer Confidence Index dropped more than expected to 103.0 in September from an upwardly revised 108.7 in August, primarily due to significantly weaker future expectations for employment. 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. 80 90
100
110
120
130
140
Index Level
Consumer Confidence
Source: US Department of Commerce Source: The Conference Board 7 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) remained in negative territory for the seventeenth consecutive month at -0.4% in August due to weak new orders, deteriorating consumer expectations of business conditions, high interest rates, and tight credit conditions. The index declined 7.6% year-over-year. The consistent decline month-over-month continues to signal future contraction in the economy. The Chicago Fed National Activity Index (CFNAI) surprised to the downside at -0.16 in August from downwardly revised 0.07 in July. On a 3-month moving average basis, the CFNAI remained negative at -0.14 in August, indicating a rate of growth below the historical average trend.
Source: The Conference Board Source: Federal Reserve Bank of Chicago 8 Housing
0 200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
2,200
2,400
In Thousands of Units
Annualized Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
Starts of new homes slowed -11.3% to 1.283 million units at a seasonally adjusted annual rate in August after a downward revision to
1.447 million units in July. The slower starts came from both a 4.3% decline in single-family home starts and 26.3% decline in multi-family homes, continuing the reversal of strong multi-family homebuilding in the second half of 2022 and early 2023. Total starts of new homes are down 14.8% year-over-year. According to Freddie Mac, average 30-year fixed rate mortgage rates increased to 7.35% as of September 28th. Rising mortgage rates are prompting homebuilders to offer incentives to attract buyers and has caused homebuilder sentiment to reach a five-month low. According to the Case-Shiller 20-City Home Price Index, housing prices rose 0.1% year-over-year in July, improving from a 1.2% decline in June. 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
9 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 remained in contraction territory at 49.0 in September, up from 47.6 in August. This is the eleventh consecutive month of readings below 50.0, which is indicative of contraction in the manufacturing sector.
However, this is the highest reading since November 2022, as both employment and new orders improved, while prices paid subsided.
The ISM Services Index eased to 53.6 in September from the six-month high of 54.5 in August. The prices paid component continued to grow primarily due to high labor costs and an uptick in energy costs, but new orders reflected a significant slowdown.
Source: Institute for Supply Management
10 Gross Domestic Product (GDP)
Components of GDP 9/22 12/22 3/23 6/23
1.1% 0.8% 2.5% 0.6%
-1.5% 0.6% -1.7% 0.9%
2.6% 0.3% 0.6% 0.0%
0.1% 0.6% 0.3% 0.1%
0.4% 0.3% 0.5% 0.5%
2.7% 2.6% 2.3% 2.1%
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 annualized GDP growth remained unchanged at 2.1%. A material decline in consumer spending was offset by improvement in business investment. Historically low unemployment, wage growth and savings built up during the pandemic has supported consumer spending at a level to keep economic growth intact, but there are signs the consumer is beginning to show signs of stress. The consensus estimate calls for 3.0% growth for the third quarter and 2.1% for the full year 2023. 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
At the September meeting, the Federal Open Market Committee voted unanimously to leave the Federal Funds rate unchanged at a target range of 5.25 - 5.50%. Nonetheless, the Fed conveyed a consensus view that another rate hike is possible later in the year, along with its commitment to keeping rates at their current level until inflation subsides closer to its 2% target, endorsing a data-dependent 'higher-forlonger' strategy. The Fed’s Summary of Economic Projections (SEP) also revealed expectations of higher economic growth, reduced unemployment, and a gradual easing of inflation compared to earlier forecasts. We believe the resiliency of future economic data will determine if the Federal Reserve can stay on hold for or will tighten policy further to curb inflation. Since the Federal Reserve began its Quantitative Tightening campaign in June 2022, securities holdings have declined by over $1 trillion to $8.024T.
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
Sep-23
Jun-23
Sep-22
Yield (%)
At the end of September, the 2-year Treasury yield was 77 basis points higher, and the 10-Year Treasury yield was about 74 basis points higher, year-over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -48 basis points at September month-end versus -76 basis points at August month-end. The average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10-year Treasuries narrowed to -88 basis points in September from -134 basis points in August. 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 September 30, 2023
15 Compliance As of September 30, 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, MortgageBacked 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 September 30, 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
09/30/23 06/30/23
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 1.84 2.01 1.84
Average Modified Duration 1.75 1.76 1.61
Average Purchase Yield n/a 2.63% 2.08%
Average Market Yield 5.14% 5.29% 5.12%
Average Quality** AA+ AA/Aa1 AA/Aa1
Total Market Value 129,095,855 119,250,057
*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 September 30, 2023
18 City of Murrieta
Sector Distribution
ABS
5.7%
Agency
20.2%
CMO
6.1%
Corporate
22.4%
Money Market
Fund
0.7%
Supranational
2.1%
US Treasury
42.8%
September 30, 2023 June 30, 2023
ABS
5.7%
Agency
19.2%
CMO
5.8%
Corporate
24.8%
Money Market
Fund
0.2%
Supranational
1.9%
US Treasury
42.3%
As of September 30, 2023
19 Issue Name Investment Type % Portfolio
Government of United States US Treasury 42.80%
Federal Home Loan Bank Agency 9.98%
Federal Farm Credit Bank Agency 6.39%
Federal Home Loan Mortgage Corp CMO 6.13%
Federal Home Loan Mortgage Corp Agency 2.34%
Bank of America Corp Corporate 1.52%
Federal National Mortgage Association Agency 1.51%
Microsoft Corporate 1.43%
Caterpillar Inc Corporate 1.40%
Deere & Company Corporate 1.23%
Inter-American Dev Bank Supranational 1.17%
Florida Power and Light Corporate 1.14%
Paccar Financial Corporate 1.14%
JP Morgan ABS ABS 1.02%
Intl Bank Recon and Development Supranational 0.95%
Amazon.com Inc Corporate 0.94%
Toyota Motor Corp Corporate 0.85%
National Rural Utilities Corporate 0.83%
Metlife Inc Corporate 0.78%
Morgan Stanley Corporate 0.76%
Toronto Dominion Holdings Corporate 0.76%
Home Depot Corporate 0.76%
US Bancorp Corporate 0.76%
Duke Energy Field Services Corporate 0.75%
Chubb Corporation Corporate 0.75%
Northern Trust Corp Corporate 0.74%
Apple Inc Corporate 0.74%
Royal Bank of Canada Corporate 0.74%
Honeywell Corp Corporate 0.73%
ChevronTexaco Corp Corporate 0.69%
Bank of New York Corporate 0.68%
First American Govt Obligation Fund Class-Z Money Market Fund 0.68% American Express ABS ABS 0.68%
John Deere ABS ABS 0.66%
Mass Mutual Insurance Corporate 0.58%
GM Financial Securitized Term Auto Trust ABS 0.56%
Hyundai Auto Receivables ABS 0.55%
Public Service El & Gas Corporate 0.55%
Issuers
City of Murrieta – Account
As of September 30, 2023
20 Issue Name Investment Type % Portfolio
Honda ABS ABS 0.54%
Charles Schwab Corp/The Corporate 0.43%
GM Financial Automobile Leasing Trust ABS 0.39%
Verizon Master Trust ABS 0.32%
United Health Group Inc Corporate 0.32%
BMW Vehicle Lease Trust ABS 0.30%
BMW ABS ABS 0.26%
State Street Bank Corporate 0.25%
Toyota ABS ABS 0.23%
Salesforce.com Inc Corporate 0.15%
Mercedes-Benz Auto Lease Trust ABS 0.15%
TOTAL 100.00%
Issuers
City of Murrieta – Account
As of September 30, 2023
21 AAA AA A <A NR
09/30/23 9.4% 66.8% 17.2% 0.0% 6.6%
06/30/23 8.5% 67.2% 17.7% 0.0% 6.6%
Source: S&P Ratings
September 30, 2023 vs. June 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
09/30/23 06/30/23
Quality Distribution
City of Murrieta
As of September 30, 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+ September 30, 2023 June 30, 2023
September 30, 2023 vs. June 30, 2023
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ 09/30/23 8.0% 10.8% 13.7% 28.9% 22.6% 11.5% 4.4% 0.0%
06/30/23 7.9% 10.4% 19.8% 29.6% 18.7% 9.7% 3.9% 0.0%
City of Murrieta
Duration Distribution As of September 30, 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
-1.50%
-1.00%
-0.50%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
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 0.71% 3.08% -0.79% -0.46% N/A N/A 0.31% ICE BofA 1-3 Yr US Treasury Index 0.74% 2.47% -1.26% -0.84% N/A N/A -0.01% As of September 30, 2023
24 Portfolio Characteristics
Murrieta Liquidity
09/30/23
Portfolio
Average Maturity (yrs) 0.42
Modified Duration 0.41
Average Purchase Yield 5.58%
Average Market Yield 5.61%
Average Quality* AAA/Aaa
Total Market Value 11,020,682
*Portfolio is S&P and Moody’s, respectively.
As of September 30, 2023
25 Murrieta Liquidity
Sector Distribution
Commercial
Paper
17.6%
Money Market
Fund
19.7%
Negotiable CD
18.2%
US Treasury
44.5%
September 30, 2023
As of September 30, 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+ Portfolio 19.7% 44.5% 35.8% 0.0% 0.0% 0.0% 0.0% 0.0%
Duration Distribution
Murrieta Liquidity
As of September 30, 2023
27 Issue Name Investment Type % Portfolio
Government of United States US Treasury 44.51%
First American Govt Obligation Fund Class-Z Money Market Fund 19.70% Cooperatieve Rabobank UA Negotiable CD 18.19%
MUFG Bank Ltd/NY Commercial Paper 17.60%
TOTAL 100.00%
Issuers
Murrieta Liquidity – Account
As of September 30, 2023
28 SECTION | Section 3 | Consolidated Information
29 Portfolio Characteristics
Murrieta Consolidated
09/30/23 06/30/23
Portfolio Portfolio
Average Maturity (yrs) 1.89 1.84
Modified Duration 1.65 1.61
Average Purchase Yield 2.86% 2.08%
Average Market Yield 5.32% 5.12%
Average Quality* AA+/Aa1 AA/Aa1
Total Market Value 140,116,536 119,250,057
* Portfolio is S&P and Moody’s respectively.
As of September 30, 2023
30 Murrieta Consolidated
Sector Distribution
ABS
5.2%
Agency
18.6%
CMO
5.7%
Corporate
20.6% Money Market
Fund
2.2%
Supranational
1.9%
US Treasury
42.9%
Commercial
Paper
1.4%
Negotiable CD
1.4%
September 30, 2023 June 30, 2023
ABS
5.7%
Agency
19.2%
CMO
5.8%
Corporate
24.8%
Money Market
Fund
0.2%
Supranational
1.9%
US Treasury
42.3%
As of September 30, 2023
31 SECTION | Section 4 | Portfolio Holdings
32 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
89237VAB5 Toyota Auto Receivables Trust 2020-C A3
0.440% Due 10/15/2024
8,217.82 07/21/2020
0.44%
8,217.19
8,217.19
99.79 7.01%
8,200.16
1.61 0.01%
(17.03)
Aaa / AAA
NR
1.04 0.03
36262XAC8 GM Financial Auto Lease Trust 2021-3 A2
0.390% Due 10/21/2024
226,276.21 08/10/2021
0.39%
226,273.13
226,273.13
99.36 5.86%
224,819.22
26.96 0.17%
(1,453.91)
NR / AAA
AAA
1.06 0.12
47787NAC3 John Deere Owner Trust 2020-B A3
0.510% Due 11/15/2024
5,633.08 07/14/2020
0.52%
5,632.22
5,632.22
99.78 5.99%
5,620.74
1.28 0.00%
(11.48)
Aaa / NR
AAA
1.13 0.04
58769KAD6 Mercedes-Benz Auto Lease Trust 2021-B A3
0.400% Due 11/15/2024
191,982.28 06/22/2021
0.40%
191,967.79
191,967.79
99.15 5.55%
190,345.82
34.13 0.15%
(1,621.97)
NR / AAA
AAA
1.13 0.16
09690AAC7 BMW Vehicle Lease Trust 2021-2 A3
0.330% Due 12/26/2024
57,878.71 09/08/2021
0.34%
57,872.73
57,872.73
99.43 5.99%
57,550.13
3.18 0.04%
(322.60)
Aaa / NR
AAA
1.24 0.10
89236XAC0 Toyota Auto Receivables 2020-D A3
0.350% Due 01/15/2025
35,341.61 10/06/2020
0.36%
35,335.03
35,335.03
99.47 6.23%
35,154.27
5.50 0.03%
(180.76)
NR / AAA
AAA
1.30 0.09
05601XAC3 BMW Vehicle Lease Trust 2022-1 A3
1.100% Due 03/25/2025
175,242.64 01/11/2022
1.11%
175,216.44
175,216.44
98.83 6.13%
173,186.17
32.13 0.13%
(2,030.27)
NR / AAA
AAA
1.48 0.23
43813GAC5 Honda Auto Receivables Trust 2021-1 A3
0.270% Due 04/21/2025
69,580.04 02/17/2021
0.27%
69,578.77
69,578.77
98.22 6.10%
68,341.38
5.22 0.05%
(1,237.39)
Aaa / NR
AAA
1.56 0.30
89240BAC2 Toyota Auto Receivables Owners 2021-A A3
0.260% Due 05/15/2025
254,596.19 02/02/2021
0.27%
254,548.94
254,548.94
98.27 6.03%
250,202.37
29.42 0.19%
(4,346.57)
Aaa / NR
AAA
1.62 0.30
47788UAC6 John Deere Owner Trust 2021-A A3
0.360% Due 09/15/2025
153,397.76 03/02/2021
0.37%
153,368.28
153,368.28
97.63 6.07%
149,761.92
24.54 0.12%
(3,606.36)
Aaa / NR
AAA
1.96 0.41
44933LAC7 Hyundai Auto Receivables Trust 2021-A A3
0.380% Due 09/15/2025
186,811.76 04/20/2021
0.38%
186,792.10
186,792.10
97.97 5.89%
183,021.35
31.55 0.14%
(3,770.75)
NR / AAA
AAA
1.96 0.37
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
99.15 6.04%
153,689.94
133.30
0.12%
(1,306.37)
Aaa / AAA
AAA
2.16 1.03
44934KAC8 Hyundai Auto Receivables Trust 2021-B A3
0.380% Due 01/15/2026
548,530.17 07/20/2021
0.39%
548,409.11
548,409.11
97.18 6.10%
533,061.62
92.64 0.41%
(15,347.49)
NR / AAA
AAA
2.30 0.49
43815GAC3 Honda Auto Receivables Trust 2021-4 A3
0.880% Due 01/21/2026
282,855.95 11/16/2021
0.89%
282,796.34
282,796.34
96.10 6.44%
271,828.25
69.14 0.21%
(10,968.09)
Aaa / NR
AAA
2.31 0.70
47789QAC4 John Deere Owner Trust 2021-B A3
0.520% Due 03/16/2026
306,399.94 07/13/2021
0.52%
306,372.61
306,372.61
96.59 5.88%
295,940.06
70.81 0.23%
(10,432.55)
Aaa / NR
AAA
2.46 0.64
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
97.38 5.87%
355,423.53
491.63
0.28%
(9,554.72)
NR / AAA
AAA
2.81 1.25
05602RAD3 BMW Vehicle Owner Trust 2022-A A3
3.210% Due 08/25/2026
350,000.00 05/10/2022
3.23%
349,981.80
349,981.80
97.56 5.95%
341,442.85
187.25
0.26%
(8,538.95)
Aaa / AAA
NR
2.90 0.90
As of September 30, 2023
33 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
362554AC1 GM Financial Securitized Term 2021-4 A3
0.680% Due 09/16/2026
215,563.72 10/13/2021
0.68%
215,558.23
215,558.23
95.94 6.21%
206,808.38
61.08 0.16%
(8,749.85)
Aaa / AAA
NR
2.96 0.73
47787JAC2 John Deere Owner Trust 2022-A A3
2.320% Due 09/16/2026
410,000.00 03/10/2022
2.34%
409,909.31
409,909.31
96.82 6.16%
396,941.91
422.76
0.31%
(12,967.40)
Aaa / NR
AAA
2.96 0.83
380146AC4 GM Financial Auto Receivables 2022-1 A3
1.260% Due 11/16/2026
213,035.27 01/11/2022
1.27%
213,016.76
213,016.76
96.63 5.58%
205,857.05
111.84
0.16%
(7,159.71)
NR / AAA
AAA
3.13 0.78
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
99.60 5.67%
278,893.72
460.29
0.22%
(1,072.71)
NR / AAA
AAA
3.14 1.75
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
97.51 5.63%
312,024.96
485.33
0.24%
(7,972.83)
Aaa / NR
AAA
3.55 1.28
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
96.51 5.72%
873,387.45
1,363.53
0.68%
(31,412.36)
NR / AAA
AAA
3.63 1.53
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
99.36 4.97%
412,360.19
471.72
0.32%
(2,621.55)
NR / AAA
AAA
3.81 0.86
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
99.63 5.35%
1,315,139.76
3,027.20
1.02%
(4,494.34)
NR / AAA
AAA
4.96 2.66
TOTAL ABS 7,451,343.15 2.71%
7,450,201.21
7,450,201.21 5.77%
7,299,003.20
7,644.04
5.66%
(151,198.01)
Aaa / AAA
AAA
3.10 1.18
Agency
3137EAEY1 FHLMC Note
0.125% Due 10/16/2023
1,575,000.00 10/14/2020
0.25%
1,569,125.25
1,569,125.25
99.79 4.76%
1,571,757.08
902.34
1.22%
2,631.83
Aaa / AA+
AA+
0.04 0.04
3133EHN25 FFCB Note
2.200% Due 11/01/2023
2,000,000.00 06/20/2019
1.83%
2,031,280.00
2,031,280.00
99.72 5.37%
1,994,480.00
18,333.33
1.56%
(36,800.00)
Aaa / AA+
AA+
0.09 0.09
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
1,465,000.00 12/02/2020
0.28%
1,463,549.65
1,463,549.65
99.11 5.27%
1,452,025.96
1,190.31
1.13%
(11,523.69)
Aaa / AA+
AA+
0.18 0.18
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
98.68 5.62%
1,973,550.00
4,707.78
1.53%
(49,270.00)
Aaa / AA+
AA+
0.40 0.39
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
98.08 5.68%
1,961,684.00
17,090.28
1.53%
(139,456.00)
Aaa / AA+
NR
0.71 0.68
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
97.24 5.53%
1,944,724.00
8,652.78
1.51%
(62,936.00)
Aaa / AA+
AA+
0.76 0.73
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
94.82 5.44%
1,327,468.80
3,927.78
1.03%
(71,299.20)
Aaa / AA+
NR
1.22 1.18
3133ENKS8 FFCB Note
1.125% Due 01/06/2025
755,000.00 01/06/2022
1.20%
753,301.25
753,301.25
94.84 5.39%
716,053.33
2,005.47
0.56%
(37,247.92)
Aaa / AA+
AA+
1.27 1.22
As of September 30, 2023
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
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
95.19 5.44%
1,142,233.20
2,741.67
0.89%
(55,222.80)
Aaa / AA+
AA+
1.38 1.32
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
99.49 4.95%
1,989,864.00
21,375.00
1.56%
(8,756.00)
Aaa / AA+
NR
2.70 2.48
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
99.01 4.87%
2,381,192.91
14,129.38
1.86%
(18,275.59)
Aaa / AA+
AA+
2.87 2.65
3130AWTQ3 FHLB Note
4.625% Due 09/11/2026
4,500,000.00 Various
4.81%
4,476,030.00
4,476,030.00
99.20 4.91%
4,464,180.00
32,953.13
3.48%
(11,850.00)
Aaa / AA+
NR
2.95 2.70
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
96.07 4.69%
1,076,023.20
17,266.67
0.85%
(31,220.00)
Aaa / AA+
NR
4.70 4.17
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
97.12 4.69%
1,942,354.00
26,666.67
1.53%
(14,586.00)
Aaa / AA+
NR
4.70 4.16
TOTAL Agency 26,420,000.00 2.85%
26,483,401.85
26,483,401.85 5.15%
25,937,590.48
171,942.59
20.22%
(545,811.37)
Aaa / AA+
AA+
1.85 1.69
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
96.05 5.51%
1,174,712.29
3,371.40
0.91%
(45,707.94)
NR / NR
AAA
1.99 1.74
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
93.06 5.27%
1,861,102.00
4,421.67
1.45%
(29,444.88)
NR / NR
AAA
2.90 2.68
3137BTUM1 FHLMC K061 A2
3.347% Due 11/25/2026
900,000.00 09/22/2022
4.37%
867,691.41
867,691.41
94.35 5.39%
849,162.60
2,510.25
0.66%
(18,528.81)
NR / NR
AAA
3.16 2.76
3137BVZ82 FHLMC K063
3.430% Due 01/25/2027
862,000.00 Various
4.09%
839,600.51
839,600.51
94.62 5.26%
815,642.51
2,463.89
0.63%
(23,958.00)
NR / NR
AAA
3.32 2.93
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
93.83 5.18%
938,279.00
2,702.50
0.73%
(27,189.75)
NR / NR
AAA
3.57 3.20
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
92.91 5.22%
1,161,322.50
3,319.79
0.90%
(39,409.93)
NR / AAA
NR
3.99 3.53
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
94.02 5.18%
1,095,364.46
3,543.54
0.85%
(12,113.67)
NR / NR
AAA
4.41 3.93
TOTAL CMO 8,400,000.00 4.26%
8,091,938.34
8,091,938.34 5.28%
7,895,585.36
22,333.04
6.13%
(196,352.98)
NR / AAA
AAA
3.29 2.93
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
98.47 5.67%
851,777.61
800.13
0.66%
(12,608.24)
A2 / A
A+
0.30 0.29
As of September 30, 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
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
98.21 5.74%
780,744.86
456.02
0.61%
(13,332.94)
A1 / A+
NR
0.34 0.33
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
99.05 5.61%
1,832,449.05
8,125.87
1.43%
(81,912.45)
Aaa / AAA
NR
0.35 0.34
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
98.85 5.65%
889,654.50
2,026.50
0.69%
(45,679.50)
Aa2 / AANR0.42
0.42 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
97.61 6.02%
561,244.28
155.73
0.43%
(13,468.22)
A2 / AA0.47
0.45 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
96.90 5.63%
780,055.47
1,398.69
0.61%
(23,769.23)
A1 / AA
AA0.620.60
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
96.85 5.75%
411,609.53
883.06
0.32%
(10,950.97)
A2 / A+
A
0.62 0.61
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
96.69 5.43%
734,847.80
1,083.00
0.57%
(24,202.20)
A2 / A
A+
0.69 0.67
06051GJY6 Bank of America Corp Callable Note Cont 6/14/2023
5.710% Due 06/14/2024
960,000.00 06/07/2021
2.21%
960,064.00
960,064.00
99.84 5.98%
958,496.64
2,588.54
0.74%
(1,567.36)
A1 / AAA0.71
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
96.42 5.67%
1,099,185.72
1,630.83
0.85%
(39,457.68)
A1 / A+
A+
0.72 0.70
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
96.11 5.72%
192,222.60
263.89
0.15%
(7,675.40)
A2 / A+
NR
0.79 0.77
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
97.14 5.97%
971,354.00
4,066.67
0.76%
(70,196.00)
A3 / A
A
0.83 0.80
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
95.71 5.69%
234,483.38
176.94
0.18%
(10,384.32)
A1 / A+
NR
0.86 0.83
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
94.67 5.89%
946,678.00
3,111.11
0.74%
(53,322.00)
A1 / A
AA1.311.26
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
96.42 5.77%
867,793.50
13,065.00
0.68%
(32,080.50)
A1 / A
AA1.571.48
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
96.69 5.56%
464,096.64
6,256.00
0.36%
(15,293.76)
A2 / A
A+
1.62 1.53
As of September 30, 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
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
93.59 5.41%
935,923.00
4,500.00
0.73%
(34,357.00)
A2 / A
A
1.67 1.61
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
96.72 5.84%
967,189.00
12,030.28
0.76%
(34,641.00)
A1 / A
NR
1.68 1.58
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
96.22 5.80%
1,063,211.11
11,224.96
0.83%
(36,762.54)
A2 / AA1.71
1.61 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
96.86 5.44%
1,331,807.13
6,831.08
1.04%
(41,529.12)
A2 / A
A+
1.87 1.76
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
96.04 5.50%
960,388.00
4,152.78
0.75%
(30,322.00)
Aa3 / A
NR
1.88 1.78
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
97.58 5.31%
975,843.00
1,777.78
0.76%
(20,537.00)
A2 / A
A
1.96 1.85
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
98.72 5.23%
419,578.28
6,516.67
0.33%
(5,396.22)
A1 / AA
AA2.172.01
857477BR3 State Street Bank Callable Note Cont 2/6/2025
1.746% Due 02/06/2026
335,000.00 02/02/2022
3.04%
335,000.00
335,000.00
94.37 6.16%
316,123.42
893.61
0.25%
(18,876.58)
A1 / A
AA2.361.30
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
95.55 5.25%
955,545.00
3,430.56
0.74%
(3,845.00)
Aaa / AA+
NR
2.40 2.26
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
97.64 5.51%
732,268.50
15,843.75
0.58%
(17,214.00)
Aa3 / AA+
AA+
2.53 2.30
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
94.85 5.51%
948,506.00
13,772.22
0.75%
(5,714.00)
A3 / A
A
2.59 2.40
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
99.23 5.71%
992,303.00
15,150.00
0.78%
(8,137.00)
Aa3 / AAAA2.72
2.46 61747YET8 Morgan Stanley Callable Note Cont 7/17/2025
4.679% Due 07/17/2026
1,000,000.00 09/14/2022
5.44%
994,030.00
994,030.00
97.42 6.21%
974,171.00
9,617.94
0.76%
(19,859.00)
A1 / AA+2.80
1.68 69371RS56 Paccar Financial Corp Note
5.050% Due 08/10/2026
450,000.00 08/03/2023
5.07%
449,775.00
449,775.00
99.52 5.23%
447,832.35
3,219.38
0.35%
(1,942.65)
A1 / A+
NR
2.86 2.61
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
99.51 5.71%
995,147.00
6,600.50
0.78%
(3,663.00)
Aa1 / A+
AA
2.88 2.61
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
94.59 5.68%
945,929.00
15,666.67
0.74%
(44,531.00)
A2 / A+
A+
3.61 3.24
As of September 30, 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
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
93.60 5.29%
702,028.50
11,562.50
0.55%
(12,976.50)
A1 / A
NR
4.59 4.07
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
96.42 5.28%
1,446,373.50
24,383.33
1.14%
(37,651.50)
Aa2 / A+
AA4.634.05
TOTAL Corporate 29,590,000.00 3.04%
29,520,716.25
29,520,716.25 5.63%
28,686,860.37
213,261.99
22.39%
(833,855.88)
A1 / A+
A+
1.80 1.60
Money Market Fund
31846V567 First American Govt Obligation MMKT Class-Z 878,309.44 Various
5.21%
878,309.44
878,309.44
1.00 5.21%
878,309.44
0.00 0.68%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 878,309.44 5.21%
878,309.44
878,309.44 5.21%
878,309.44
0.00 0.68%
0.00 Aaa / AAA
AAA
0.00 0.00
Supranational
459058JM6 Intl. Bank Recon & Development Note
0.250% Due 11/24/2023
750,000.00 11/17/2020
0.32%
748,387.50
748,387.50
99.22 5.50%
744,136.50
661.46
0.58%
(4,251.00)
Aaa / AAA
AAA
0.15 0.15
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
95.14 5.67%
1,507,940.47
176.11
1.17%
(75,886.63)
Aaa / AAA
NR
0.98 0.95
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
94.74 4.74%
473,708.50
3,840.28
0.37%
(9,406.50)
Aaa / AAA
NR
4.79 4.30
TOTAL Supranational 2,835,000.00 1.11%
2,815,329.60
2,815,329.60 5.46%
2,725,785.47
4,677.85
2.12%
(89,544.13)
Aaa / AAA
AAA
1.42 1.32
US Treasury
91282CBA8 US Treasury Note
0.125% Due 12/15/2023
2,000,000.00 01/06/2021
0.20%
1,995,781.25
1,995,781.25
98.95 5.22%
1,979,062.00
737.70
1.53%
(16,719.25)
Aaa / AA+
AA+
0.21 0.21
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
98.50 5.35%
1,970,078.00
529.89
1.53%
(22,812.63)
Aaa / AA+
AA+
0.29 0.29
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
99.03 5.44%
1,980,546.00
8,423.91
1.54%
(85,085.70)
Aaa / AA+
AA+
0.34 0.33
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
97.72 5.34%
1,954,376.00
219.78
1.51%
(37,499.00)
Aaa / AA+
AA+
0.46 0.45
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
97.32 5.48%
1,070,480.40
1,904.71
0.83%
(30,164.13)
Aaa / AA+
AA+
0.54 0.53
As of September 30, 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
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
96.81 5.51%
968,086.00
944.29
0.75%
(28,789.00)
Aaa / AA+
AA+
0.62 0.61
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
95.67 5.51%
1,913,438.00
957.88
1.48%
(81,796.38)
Aaa / AA+
AA+
0.88 0.85
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
95.29 5.48%
1,715,274.00
296.70
1.33%
(81,210.38)
Aaa / AA+
AA+
0.96 0.93
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
95.91 5.44%
1,630,407.10
10,671.20
1.27%
(118,866.34)
Aaa / AA+
AA+
1.09 1.04
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
94.98 5.40%
1,899,688.00
5,665.76
1.48%
(96,640.13)
Aaa / AA+
AA+
1.13 1.09
91282CDN8 US Treasury Note
1.000% Due 12/15/2024
900,000.00 12/29/2021
0.99%
900,386.72
900,386.72
94.96 5.37%
854,613.00
2,655.74
0.66%
(45,773.72)
Aaa / AA+
AA+
1.21 1.17
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
94.95 5.34%
1,899,062.00
4,633.15
1.47%
(163,438.00)
Aaa / AA+
AA+
1.34 1.29
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
94.39 5.28%
1,132,687.20
1,149.73
0.88%
(50,672.18)
Aaa / AA+
AA+
1.42 1.37
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
93.18 5.29%
1,863,672.00
27.32 1.44%
(133,359.25)
Aaa / AA+
AA+
1.50 1.46
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
92.71 5.23%
1,854,140.00
3,138.59
1.44%
(123,203.75)
Aaa / AA+
AA+
1.58 1.54
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
92.21 5.19%
1,659,796.20
1,512.30
1.29%
(105,961.61)
Aaa / AA+
AA+
1.67 1.62
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
91.56 5.13%
1,831,250.00
842.39
1.42%
(110,781.25)
Aaa / AA+
AA+
1.84 1.78
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
91.25 5.10%
912,461.00
212.91
0.71%
(16,367.13)
Aaa / AA+
AA+
1.92 1.87
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
96.12 5.06%
3,123,935.75
266.39
2.42%
(135,947.06)
Aaa / AA+
AA+
2.00 1.91
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
96.02 5.03%
2,400,585.00
31,385.87
1.88%
(98,047.81)
Aaa / AA+
AA+
2.09 1.96
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
94.48 5.02%
2,362,110.00
21,246.60
1.85%
(69,042.34)
Aaa / AA+
AA+
2.13 2.02
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
95.05 4.98%
2,376,172.50
16,584.58
1.85%
(36,620.47)
Aaa / AA+
AA+
2.25 2.13
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
93.84 4.90%
2,346,095.00
153.69
1.82%
(31,737.03)
Aaa / AA+
AA+
2.50 2.38
As of September 30, 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
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
91.98 4.79%
2,759,415.00
22,663.04
2.16%
(7,616.25)
Aaa / AA+
AA+
3.13 2.95
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
92.89 4.73%
2,322,167.50
170.77
1.80%
(27,246.56)
Aaa / AA+
AA+
3.50 3.29
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
95.01 4.72%
1,235,152.10
10,677.31
0.97%
(31,535.40)
Aaa / AA+
AA+
3.75 3.44
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
93.15 4.72%
1,863,046.00
9,266.30
1.45%
(24,063.38)
Aaa / AA+
AA+
3.84 3.56
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
94.38 4.71%
2,359,472.50
6,653.50
1.83%
(85,644.69)
Aaa / AA+
AA+
3.92 3.62
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
97.92 4.70%
1,566,688.00
180.33
1.21%
(28,812.00)
Aaa / AA+
AA+
4.00 3.64
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
90.95 4.69%
1,273,234.20
11,898.10
1.00%
(25,703.30)
Aaa / AA+
AA+
4.13 3.83
TOTAL US Treasury 58,050,000.00 2.12%
57,028,346.57
57,028,346.57 5.11%
55,077,190.45
175,670.43
42.80%
(1,951,156.12)
Aaa / AA+
AA+
1.94 1.83
TOTAL PORTFOLIO 133,624,652.59 2.63%
132,268,243.26
132,268,243.26 5.29%
128,500,324.77
595,529.94
100.00%
(3,767,918.49)
Aa1 / AA
AA+
2.01 1.76
TOTAL MARKET VALUE PLUS ACCRUALS 129,095,854.71
As of September 30, 2023
40 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
5,326.67
17.60%
0.00 P-1 / A-1
NR
0.53 0.52
TOTAL Commercial Paper 2,000,000.00 5.89%
1,933,886.67
1,933,886.67 5.89%
1,933,886.67
5,326.67
17.60%
0.00 P-1 / A-1
NR
0.53 0.52
Money Market Fund
31846V567 First American Govt Obligation MMKT Class-Z 2,171,489.45 09/13/2023
5.21%
2,171,489.45
2,171,489.45
1.00 5.21%
2,171,489.45
0.00 19.70%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 2,171,489.45 5.21%
2,171,489.45
2,171,489.45 5.21%
2,171,489.45
0.00 19.70%
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
99.86 6.04%
1,997,130.00
7,866.67
18.19%
(2,742.84)
P-1 / A-1
F-1+
0.94 0.91
TOTAL Negotiable CD 2,000,000.00 5.90%
1,999,872.84
1,999,872.84 6.04%
1,997,130.00
7,866.67
18.19%
(2,742.84)
Aaa / AA
AAA
0.94 0.91
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
6,271.70
22.35%
0.00 P-1 / A-1+
F-1+
0.28 0.27
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
6,253.99
22.16%
0.00 P-1 / A-1+
F-1+
0.44 0.42
TOTAL US Treasury 5,000,000.00 5.50%
4,892,456.60
4,892,456.60 5.50%
4,892,456.60
12,525.69
44.51%
0.00 Aaa / AAA
AAA
0.36 0.35
TOTAL PORTFOLIO 11,171,489.45 5.58%
10,997,705.56
10,997,705.56 5.61%
10,994,962.72
25,719.03
100.00%
(2,742.84)
Aaa / AAA
AAA
0.42 0.41
TOTAL MARKET VALUE PLUS ACCRUALS 11,020,681.75
As of September 30, 2023
41 SECTION | Section 5 | Transactions
42 Transaction Ledger
City of Murrieta - Account
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount InterestPur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 07/10/2023 3130AWC24 2,000,000.00 FHLB Note
4% Due: 06/09/2028
97.847 4.49% 1,956,940.00 8,666.67 1,965,606.67 0.00
Purchase 07/26/2023 459058KT9 500,000.00 Intl. Bank Recon & Development Note
3.5% Due: 07/12/2028
96.623 4.26% 483,115.00 680.56 483,795.56 0.00
Purchase 07/27/2023 91282CFB2 2,000,000.00 US Treasury Note
2.75% Due: 07/31/2027
94.355 4.30% 1,887,109.38 26,892.27 1,914,001.65 0.00
Purchase 08/10/2023 69371RS56 450,000.00 Paccar Financial Corp Note
5.05% Due: 08/10/2026
99.950 5.07% 449,775.00 0.00 449,775.00 0.00
Purchase 08/14/2023 3133EPSW6 2,405,000.00 FFCB Note
4.5% Due: 08/14/2026
99.770 4.58% 2,399,468.50 0.00 2,399,468.50 0.00
Purchase 08/16/2023 379929AD4 280,000.00 GM Financial Auto Leasing 2023-3 A3
5.38% Due: 11/20/2026
99.988 5.45% 279,966.43 0.00 279,966.43 0.00
Purchase 08/17/2023 3130AWLZ1 2,000,000.00 FHLB Note
4.75% Due: 06/12/2026
99.931 4.78% 1,998,620.00 9,763.89 2,008,383.89 0.00
Purchase 09/14/2023 3130AWTQ3 3,000,000.00 FHLB Note
4.625% Due: 09/11/2026
99.482 4.81% 2,984,460.00 15,416.67 2,999,876.67 0.00
Purchase 09/14/2023 912828U24 3,000,000.00 US Treasury Note 2% Due: 11/15/2026
92.234 4.66% 2,767,031.25 19,891.30 2,786,922.55 0.00
Purchase 09/15/2023 00440EAV9 1,000,000.00 Chubb INA Holdings Inc Callable Note Cont 2/3/2026
3.35% Due: 05/03/2026
95.422 5.23% 954,220.00 12,283.33 966,503.33 0.00
Purchase 09/15/2023 06428CAA2 1,000,000.00 Bank Of America NA Callable Note cont 7/17/2026
5.526% Due: 08/18/2026
99.881 5.57% 998,810.00 4,144.50 1,002,954.50 0.00
Purchase 09/15/2023 161571HT4 1,320,000.00 Chase Issuance Trust 23-A1 A
5.16% Due: 09/15/2028
99.972 5.23% 1,319,634.10 0.00 1,319,634.10 0.00
Purchase 09/15/2023 3130AWTQ3 1,500,000.00 FHLB Note
4.625% Due: 09/11/2026
99.438 4.82% 1,491,570.00 7,901.04 1,499,471.04 0.00
June 30, 2023 through September 30, 2023
As of September 30, 2023
43 Transaction Ledger
City of Murrieta - Account
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount InterestPur/Sold Total Amount Gain/Loss Purchase 09/19/2023 3137F4X72 1,165,000.00 FHLMC K075 A2
3.65% Due: 02/25/2028
95.063 4.92% 1,107,478.13 2,126.13 1,109,604.26 0.00
Subtotal 21,620,000.00 21,078,197.79 107,766.36 21,185,964.15 0.00 TOTAL ACQUISITIONS 21,620,000.00 21,078,197.79 107,766.36 21,185,964.15 0.00
DISPOSITIONS
Sale 07/26/2023 3137EAEW5 2,005,000.00 FHLMC Note
0.25% Due: 09/08/2023
99.380 5.59% 1,992,569.00 1,921.46 1,994,490.46 -11,671.85 Sale 08/07/2023 3135G06H1 200,000.00 FNMA Note
0.25% Due: 11/27/2023
98.419 5.51% 196,838.00 97.22 196,935.22 -2,934.00
Sale 08/11/2023 3135G06H1 845,000.00 FNMA Note
0.25% Due: 11/27/2023
98.484 5.48% 832,189.80 434.24 832,624.04 -11,846.90
Sale 08/11/2023 3137EAEZ8 2,050,000.00 FHLMC Note
0.25% Due: 11/06/2023
98.776 5.50% 2,024,908.00 1,352.43 2,026,260.43 -23,247.00 Subtotal 5,100,000.00 5,046,504.80 3,805.35 5,050,310.15 -49,699.75 Maturity 07/10/2023 3135G05G4 1,755,000.00 FNMA Note
0.25% Due: 07/10/2023
100.000 1,755,000.00 0.00 1,755,000.00 3,773.25
Maturity 08/15/2023 742718EB1 1,880,000.00 Procter & Gamble Co Note
3.1% Due: 08/15/2023
100.000 1,880,000.00 0.00 1,880,000.00 -77,305.60
Maturity 09/12/2023 3135G0U43 1,000,000.00 FNMA Note
2.875% Due: 09/12/2023
100.000 1,000,000.00 0.00 1,000,000.00 -40,880.00
Maturity 09/15/2023 717081EN9 1,250,000.00 Pfizer Inc. Callable Note Cont 8/15/2023
3.2% Due: 09/15/2023
100.000 1,250,000.00 0.00 1,250,000.00 -48,250.00
Subtotal 5,885,000.00 5,885,000.00 0.00 5,885,000.00 -162,662.35 TOTAL DISPOSITIONS 10,985,000.00 10,931,504.80 3,805.35 10,935,310.15 -212,362.10 June 30, 2023 through September 30, 2023
As of September 30, 2023
44 Transaction Ledger
Murrieta Liquidity - Account
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount InterestPur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 09/14/2023 21684XH82 2,000,000.00 Cooperative Rabobank UA Yankee CD
5.9% Due: 09/06/2024
99.994 5.90% 1,999,872.84 2,294.44 2,002,167.28 0.00
Purchase 09/14/2023 62479LDC6 2,000,000.00 MUFG Bank Ltd Discount CP
5.64% Due: 04/12/2024
96.694 5.89% 1,933,886.67 0.00 1,933,886.67 0.00
Purchase 09/14/2023 912797GQ4 2,500,000.00 US Treasury Bill
5.298% Due: 03/07/2024
97.425 5.51% 2,435,620.66 0.00 2,435,620.66 0.00
Purchase 09/14/2023 912797HY6 2,500,000.00 US Treasury Bill
5.313% Due: 01/09/2024
98.273 5.48% 2,456,835.94 0.00 2,456,835.94 0.00
Subtotal 9,000,000.00 8,826,216.11 2,294.44 8,828,510.55 0.00 TOTAL ACQUISITIONS 9,000,000.00 8,826,216.11 2,294.44 8,828,510.55 0.00 June 30, 2023 through September 30, 2023
As of September 30, 2023
45 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 September 30, 2023
46 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 September 30, 2023
47