INVESTMENT REPORT
City of Murrieta | As of June 30, 2024
CHANDLER ASSET MANAGEMENT | chandlerasset.com
Chandler Team:
We urge you to compare this statement to the one you receive from your qualified custodian. Please see Important Disclosures at the end of the statement.
TABLE OF CONTENTS
City of Murrieta | As of June 30, 2024
ECONOMIC UPDATE
ACCOUNT PROFILE
CONSOLIDATED INFORMATION
PORTFOLIO HOLDINGS
TRANSACTIONS
1 ECONOMIC UPDATE
2 Economic Update
▪
▪
▪
Recent economic data suggests positive but slower growth this year fueled by consumer spending. While the consumer has been resilient, 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. Given the cumulative effects of restrictive monetary policy and tighter financial conditions, we believe the economy will gradually soften and the Fed will loosen monetary policy in 2024.
As expected at the June meeting, the Federal Open Market Committee voted unanimously to leave the federal funds rate unchanged at a target range of 5.25-5.50%, emphasizing the need to see sustained evidence of easing inflation before considering any rate cuts. The FOMC's latest projections now suggest only one interest rate cut in 2024, with four more cuts expected in 2025 and a slightly higher longterm neutral rate. Additionally, 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.
The US Treasury yield curve shifted lower in June as economic data moderated. The 2-year Treasury yield fell 12 basis points to 4.76%, the 5-year Treasury dropped 13 basis points to 4.38%, and the 10-year Treasury yield declined 10 basis points to 4.40%. The inversion between the 2-year Treasury yield and 10-year Treasury yield remained relatively stable at -36 basis points at June month-end versus -37 basis points at May month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -106 basis points. The inversion between 3-month and 10-year Treasuries widened to -96 basis points in June from -91 basis points in May. 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 206,000 jobs in June, remaining ahead of consensus expectations of 190,000 jobs. The gains were broad based, with government, health care, and social assistance posting the largest gains. The three-month moving average and six-month moving average payrolls have weakened from the first quarter to 177,000 and 222,000 respectively. The unemployment rate edged up to 4.1% in June, and the labor participation rate inched up to 62.6%, 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 held steady at
7.4%. Average hourly earnings rose 3.9% year-over-year in June, down from 4.1% year-over-year in May. The labor markets continue to show signs of cooling in line with the Federal Reserve’s view that there has been “substantial” progress towards better balance in the labor market between demand and supply for workers.
Source: US Department of Labor Source: US Department of Labor 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) increased to 8.140 million job openings in May from a downwardly revised 7.919 million in April. Job openings still represent a healthy ratio of around 1.2 jobs for each unemployed individual.
While the current level of job openings remains elevated from a historical perspective, the trend is decelerating.
Source: US Department of Labor
5 Inflation
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YOY (%) Change
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
Fed Target
YOY (%) Change
In June, the Consumer Price Index (CPI) declined 0.1% month-over-month and rose 3.0% year-over-year, reflecting broad-based cost reductions. The month-over-month drop was the first deflationary data point since the pandemic. The Core CPI, which excludes volatile food and energy components, was up just 0.1% month-over-month and 3.3% year-over-year in June, down from 3.4% in May and lower than expected. The Personal Consumption Expenditures (PCE) Index rose 0.1% from the previous month and 2.5% year-over-year in June.
The Core PCE deflator (the Fed’s preferred gauge) increased 0.2% month-over-month and 2.6% over the past year, still above the Fed’s 2% inflation target. Much of the lingering inflation has been driven by shelter costs and demand for services, but recent data provide confirmation that inflation is moderating.
Source: US Department of Labor Source: US Department of Commerce 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 were unchanged month-over-month in June after an upwardly revised 0.3% gain in May. On a year-over-year basis, Retail Sales growth further slowed to 2.3% in June from 2.6% in May. Nonstore retailers were a bright spot in June, while motor vehicle and gasoline sales declined. The Conference Board’s Consumer Confidence Index fell to 100.4 in June from 101.3 in May. While the present situation component rose marginally, consumers are less optimistic about future expectations for business conditions and potential income increases. While the consumer has been resilient, consumption has begun to moderate in the face of higher interest rates, rising credit card balances, and growing delinquencies.
0 20
40 60
80 100
120
140
160
Index Level
Consumer Confidence
Recession
Source: US Department of Commerce Source: The Conference Board All time high is 144.70 (1/31/00); All time low is 25.30 (2/28/09) 7 Leading Indicators of Economic Activity
-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) fell 0.2% in June following a 0.4% decline in May. The index dropped 4.8% year-overyear. The report stated that "due to the smaller month-on-month rate of decline, the LEI's long-term growth has become less negative, pointing to a slow recovery.” The Chicago Fed National Activity Index (CFNAI) decreased to 0.05 in June from 0.23 in May, surpassing consensus expectations. The three-month moving average rose to -0.01 in June from -0.08 in May, indicating slightly below-trend growth expectations for the economy.
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
Housing starts jumped 3.0% month-over-month in June to a higher-than-expected 1.353 million units, driven primarily by the multi-family category. Starts were down 4.4% year-over-year. The Freddie Mac average rate for a 30-year fixed mortgage edged down to 6.92% in June from 7.06% in May. According to the Case-Shiller 20-City Home Price Index, housing prices rose a higher-than-expected 7.2% yearover-year in April versus March's upwardly revised 7.5% increase. 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 edged down to 48.5 in June from 48.7 in May. While new orders picked up, prices paid for materials fell the most in over a year. The ISM Services Index returned to contraction declining to 48.8 in June, from
53.8 in the previous month. Although the level of the decline was a surprise, the trend in the Services PMI, which applies to a larger share of US economic output, has been steadily decreasing.
Source: Institute for Supply Management
10 Gross Domestic Product (GDP)
Components of GDP 9/23 12/23 3/24 6/24
2.1% 2.2% 1.0% 1.6%
1.7% 0.2% 0.8% 1.5%
0.0% 0.3% -0.7% -0.7%
0.5% 0.2% 0.0% 0.3%
0.5% 0.6% 0.3% 0.3%
4.9% 3.4% 1.4% 2.8%
Personal Consumption Expenditures
Gross Private Domestic Investment
Net Exports and Imports
Federal Government Expenditures
Total
State and Local (Consumption and Gross
Investment) -40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Source: US Department of Commerce Source: US Department of Commerce The advance estimate for second quarter GDP came in higher than expected at 2.8%, beating consensus expectations and 1.4% growth in the first quarter. Personal consumption was the largest contributor to GDP, mostly due to outlays for necessities such as health care, housing, and utilities. The strong reading was also driven by business capital investment and an increase in auto inventories as car dealerships grappled with a software cyberattack. The consensus projection calls for 1.5% growth in the third quarter and 2.3% growth for the full year 2024.
11 Federal Reserve
Source: Federal Reserve Source: Bloomberg
0 1,000,000
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000
10,000,000
Federal Reserve Balance Sheet Assets
Recession
In $ millions
As expected at the June meeting, the Federal Open Market Committee voted unanimously to leave the federal funds rate unchanged at a target range of 5.25-5.50%, emphasizing the need to see sustained evidence of easing inflation before considering any rate cuts. The FOMC's latest projections now suggest only one interest rate cut in 2024, with four more cuts expected in 2025 and a slightly higher longterm neutral rate. The Fed’s inflation projections ticked up marginally, while unemployment and GDP growth forecasts remained steady.
Additionally, the Fed continues to reduce its holdings of U.S. Treasury securities and agency mortgage-backed securities as per its predefined schedule of $25 billion and $35 billion per month. Since the Fed began its Quantitative Tightening campaign in June 2022, securities holdings have declined by approximately $1.7T to approximately $7.3T.
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Effective Federal Funds Rate
Recession
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
Jun-24
Mar-24
Jun-23
Yield (%)
At the end of June, the 2-year Treasury yield was 15 basis points lower, and the 10-Year Treasury yield was 56 basis points higher, yearover-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield remained relatively stable at -36 basis points at June month-end versus -37 basis points at May month-end. The inversion has occurred since July 2022 and remains historically long. The average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10-year Treasuries widened to -96 basis points in June from -91 basis points in May.
13 ACCOUNT PROFILE
14 OBJECTIVES
City of Murrieta | As of June 30, 2024
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 isto achieve a rate of return over a market cycle that equals or exceeds the return on a market index ofsimilar 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 STATEMENT OF COMPLIANCE
Murrieta Consolidated | Account | As of June 30, 2024
Rules Name Limit Actual Compliance
Status Notes
AGENCY MORTGAGE SECURITIES (CMOS)
Max % (MV) 20.0 6.4 Compliant
Max % Issuer (MV) 30.0 6.4 Compliant
Max Maturity (Years) 5.0 4.2 Compliant
ASSET-BACKED SECURITIES (ABS)
Max % (MV) 20.0 6.2 Compliant
Max % Issuer (MV) 5.0 1.1 Compliant
Max Maturity (Years) 5 4 Compliant
Min Rating (AA- by 1) 0.0 0.0 Compliant
BANKERS' ACCEPTANCES
Max % (MV) 30.0 0.0 Compliant
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Days) 180 0.0 Compliant
Min Rating (A-1 by 1 or A- by 1) 0.0 0.0 Compliant
CERTIFICATE OF DEPOSIT PLACEMENT SERVICE (CDARS)
Max % (MV) 30.0 0.0 Compliant
Max Maturity (Years) 5.0 0.0 Compliant
COLLATERALIZED TIME DEPOSITS (NON-NEGOTIABLE
CD/TD)
Max % (MV) 20.0 0.0 Compliant
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Years) 5.0 0.0 Compliant
COMMERCIAL PAPER
Max % (MV) 40.0 3.1 Compliant
Max % Issuer (MV) 5.0 1.8 Compliant
Max Maturity (Days) 270 247 Compliant
Min Rating (A-1 by 1 or A- by 1) 0.0 0.0 Compliant
CORPORATE MEDIUM TERM NOTES
Max % (MV) 30.0 21.7 Compliant
Max % Issuer (MV) 5.0 1.5 Compliant
16 STATEMENT OF COMPLIANCE
Murrieta Consolidated | Account | As of June 30, 2024
Rules Name Limit Actual Compliance
Status Notes
Max Maturity (Years) 5 3 Compliant
Min Rating (A- by 1) 0.0 0.0 Compliant
FDIC INSURED TIME DEPOSITS (NON-NEGOTIABLE CD/
TD)
Max % (MV) 20.0 0.0 Compliant
Max Maturity (Years) 5 0.0 Compliant
FEDERAL AGENCIES
Max % (MV) 100.0 20.7 Compliant
Max % Issuer (MV) 30.0 11.9 Compliant
Max Callables (MV) 20.0 0.0 Compliant
Max Maturity (Years) 5 4 Compliant
LOCAL AGENCY INVESTMENT FUND (LAIF)
Max Concentration (MV) 75.0 0.0 Compliant
MONEY MARKET MUTUAL FUNDS
Max % (MV) 20.0 0.3 Compliant
Max % Issuer (MV) 10.0 0.3 Compliant
Min Rating (AAA by 2) 0.0 0.0 Compliant
MUNICIPAL SECURITIES (CA, LOCAL AGENCY)
Max % (MV) 30.0 0.0 Compliant
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Years) 5 0.0 Compliant
Min Rating (A- by 1) 0.0 0.0 Compliant
MUTUAL FUNDS
Max % (MV) 20.0 0.0 Compliant
Max % Issuer (MV) 10.0 0.0 Compliant
Min Rating (AAA by 2) 0.0 0.0 Compliant
NEGOTIABLE CERTIFICATES OF DEPOSIT (NCD)
Max % (MV) 30.0 1.4 Compliant
Max % Issuer (MV) 5.0 1.4 Compliant
Max Maturity (Years) 5 0.0 Compliant
17 STATEMENT OF COMPLIANCE
Murrieta Consolidated | Account | As of June 30, 2024
Rules Name Limit Actual Compliance
Status Notes
Min Rating (A-1 by 1 or A- by 1 if > FDIC Limit) 0.0 0.0 Compliant
REPURCHASE AGREEMENTS
Max % (MV) 20.0 0.0 Compliant
Max Maturity (Years) 1.0 0.0 Compliant
SUPRANATIONAL OBLIGATIONS
Max % (MV) 30.0 1.4 Compliant
Max % Issuer (MV) 10.0 1.1 Compliant
Max Maturity (Years) 5 4 Compliant
Min Rating (AA- by 1) 0.0 0.0 Compliant
U.S. TREASURIES
Max % (MV) 100.0 38.9 Compliant
Max Maturity (Years) 5 4 Compliant
18 PORTFOLIO CHARACTERISTICS
City of Murrieta | Account | As of June 30, 2024
Benchmark* 6/30/2024
Portfolio
3/31/2024
Portfolio
Average Maturity (yrs) 1.85 2.06 2.01
Average Modified Duration 1.76 1.81 2.01
Average Purchase Yield 3.61% 3.28%
Average Market Yield 4.81% 4.98% 4.92%
Average Quality** AA+ AA AA
Total Market Value 134,453,837 133,134,163
*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. 19 SECTOR DISTRIBUTION
City of Murrieta | Account | As of June 30, 2024
Sector as a Percentage of Market Value
Sector 06/30/2024 03/31/2024
US Treasury 38.8% 39.1%
Corporate 23.4% 25.4%
Agency 22.3% 21.4%
Agency CMBS 6.9% 6.1%
ABS 6.7% 5.3%
Supras 1.5% 1.5%
Money Mkt Fd 0.2% 1.0%
Cash 0.1% 0.1%
20 ISSUERS
City of Murrieta | Account | As of June 30, 2024
Issuer Investment Type% Portfolio
United States US Treasury 38.78%
Federal Home Loan Banks Agency 12.84%
Farm Credit System Agency 9.50%
FHLMC Agency CMBS 6.93%
Royal Bank of Canada Corporate 1.66%
Caterpillar Inc. Corporate 1.36%
The Home Depot, Inc. Corporate 1.29%
Honda Auto Receivables Owner Trust ABS 1.27%
PACCAR Inc Corporate 1.27%
JPMorgan Chase & Co. Corporate 1.18%
Inter-American Development Bank Supras 1.17%
State Street Corporation Corporate 1.15%
American Express Credit Master Trust ABS 1.15%
Cisco Systems, Inc. Corporate 1.12%
NextEra Energy, Inc. Corporate 1.10%
Air Products and Chemicals, Inc. Corporate 1.03%
Chase Issuance Trust ABS 0.99%
U.S. Bancorp Multiple 0.94%
BMW Vehicle Lease Trust ABS 0.85%
National Rural Utilities Cooperative Corporate 0.81%
Bank of America Corporation Corporate 0.75%
Met Tower Global Funding Corporate 0.75%
Morgan Stanley Corporate 0.74%
Deere& Company Corporate 0.74%
Toyota Motor Corporation Corporate 0.74%
The Toronto-Dominion Bank Corporate 0.74%
Duke Energy Corporation Corporate 0.73%
Northern Trust Corporation Corporate 0.73%
21 ISSUERS
City of Murrieta | Account | As of June 30, 2024
Issuer Investment Type% Portfolio
Apple Inc. Corporate 0.73%
Chubb Limited Corporate 0.72%
Honeywell International Inc. Corporate 0.72%
BNY Mellon Corp Corporate 0.66%
BMW Vehicle Owner Trust ABS 0.61%
Massachusetts Mutual Life Insurance Corporate 0.56%
GM Financial Automobile Leasing Trus ABS 0.55%
Public Service Enterprise Group Inco Corporate 0.54%
John Deere Owner Trust ABS 0.53%
GM Financial Securitized Term ABS 0.39%
PepsiCo, Inc. Corporate 0.38%
International Bank for Recon and Dev Supras 0.36%
Amazon.com, Inc. Corporate 0.32%
Mercedes-Benz Auto Lease Trust ABS 0.26%
Salesforce, Inc. Corporate 0.15%
Hyundai Auto Receivables Trust ABS 0.13%
Cash Cash 0.06%
TOTAL 100.00%
22 QUALITY DISTRIBUTION
Rating 06/30/2024 03/31/2024
AAA 8.3% 7.8%
AA 70.6% 69.8%
A 20.0% 21.3%
NR 1.1% 1.1%
Rating 06/30/2024 03/31/2024
AAA 74.1% 72.4%
AA 5.1% 5.2%
A 17.7% 18.7%
NR 3.1% 3.8%
Rating 06/30/2024 03/31/2024
AAA 10.5% 10.2%
AA 70.2% 71.0%
A 8.6% 9.1%
NR 10.7% 9.7%
City of Murrieta | Account | As of June 30, 2024
S&P Rating Moody’s Rating Fitch Rating
23 DURATION DISTRIBUTION
City of Murrieta | Account | As of June 30, 2024
Date 0-.25 .25-.5 .5-1 1-2 2-3 3-4 4-5 5-7 7+
06/30/2024 5.3% 4.7% 14.4% 30.6% 35.0% 8.5% 1.4% 0.0% 0.0% 03/31/2024 8.8% 5.2% 11.5% 28.3% 31.2% 12.3% 1.5% 0.0% 0.0% 24 3 Months 12 Months 2 Years 3 Years 5 Years 10 Years Since Inception
TOTAL RATE OF RETURN
City of Murrieta 0.99% 4.88% 2.92% 0.85% 1.18%
Benchmark 0.94% 4.53% 2.30% 0.40% 0.83%
*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 June 30, 2024
Total Rate of Return : Inception | 02/01/2020
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
12 months 2 years 3 years 5 years 10 years Since Inception City of Murrieta ICE BofA 1-3 Yr US Treasury Index
25 PORTFOLIO CHARACTERISTICS
Murrieta Liquidity | Account | As of June 30, 2024
6/30/2024
Portfolio
3/31/2024
Portfolio
Average Maturity (yrs) 0.35 0.22
Average Modified Duration 0.34 0.19
Average Purchase Yield 5.43% 5.58%
Average Market Yield 5.21% 5.33%
Average Quality** AAA AAA
Total Market Value 11,497,004 11,344,995
*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. 26 SECTOR DISTRIBUTION
Murrieta Liquidity | Account | As of June 30, 2024
Sector as a Percentage of Market Value
Sector 06/30/2024 03/31/2024
US Treasury 41.4% 46.0%
Comm Paper 39.8% 35.3%
Neg CD 17.6% 17.8%
Money Mkt Fd 1.2% 0.9%
27 ISSUERS
Murrieta Liquidity | Account | As of June 30, 2024
Issuer Investment Type% Portfolio
United States US Treasury 41.36%
Mitsubishi UFJ Financial Group, Inc. Comm Paper 22.83%
Coöperatieve Rabobank U.A. Neg CD 17.56%
Toyota Motor Corporation Comm Paper 17.00%
U.S. Bancorp Money Mkt Fd 1.24%
Cash Cash 0.01%
TOTAL 100.00%
28 0-.25 .25-.5 .5-1 1-2 2-3 3-4 4-5 5-7 7+
Portfolio 43.4% 17.1% 39.5% 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 June 30, 2024
Portfolio Compared to the Benchmark
29 3 Months 12 Months 2 Years 3 Years 5 Years 10 Years Since Inception
TOTAL RATE OF RETURN
Murrieta Liquidity 1.34% 3.69%
*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 June 30, 2024
Total Rate of Return : Inception | 11/01/2023
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
3 months Since Inception
Murrieta Liquidity
30 CONSOLIDATED INFORMATION
31 PORTFOLIO CHARACTERISTICS
Murrieta Consolidated | Account | As of June 30, 2024
6/30/2024
Portfolio
3/31/2024
Portfolio
Average Maturity (yrs) 1.92 1.87
Average Modified Duration 1.70 1.85
Average Purchase Yield 3.75% 3.46%
Average Market Yield 4.99% 4.95%
Average Quality** AA+ AA+
Total Market Value 145,950,841 144,479,158
*Benchmark: NO BENCHMARK REQUIRED
**The credit quality is a weighted average calculation of the highest of S&P, Moody’s and Fitch. 32 SECTOR DISTRIBUTION
Murrieta Consolidated | Account | As of June 30, 2024
Sector as a Percentage of Market Value
Sector 06/30/2024 03/31/2024
US Treasury 39.0% 39.6%
Corporate 21.6% 23.4%
Agency 20.6% 19.7%
Agency CMBS 6.4% 5.6%
ABS 6.2% 4.9%
Comm Paper 3.1% 2.8%
Supras 1.4% 1.4%
Neg CD 1.4% 1.4%
Money Mkt Fd 0.3% 1.0%
Cash 0.1% 0.1%
33 PORTFOLIO HOLDINGS
34 HOLDINGS REPORT
City of Murrieta | Account | As of June 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
44933LAC7 HART 2021-A A3 0.38 09/15/2025 13,833.86 04/20/2021 13,832.41 99.76 13,800.77 0.01% NA/AAA 1.21
0.38% 13,832.41 4.84% 2.34 (31.63) AAA 0.06
47788UAC6 JDOT 2021 A3 0.36 09/15/2025 31,825.53 03/02/2021 31,819.41 99.37 31,625.33 0.02% Aaa/NA 1.21
0.36% 31,819.41 4.93% 5.09 (194.08) AAA 0.14
05593AAC3 BMWLT 2023-1 A3 5.16 11/25/2025 136,524.16 02/07/2023 136,520.91 99.81 136,269.50 0.10% Aaa/AAA 1.41
5.16% 136,520.91 5.69% 117.41 (251.41) NA 0.42
44934KAC8 HART 2021-B A3 0.38 01/15/2026 159,505.61 07/20/2021 159,470.41 99.09 158,052.45 0.12% NA/AAA 1.54
0.38% 159,470.41 3.83% 26.94 (1,417.96) AAA 0.27
43815GAC3 HAROT 2021-4 A3 0.88 01/21/2026 131,859.87 11/16/2021 131,832.08 97.97 129,176.94 0.10% Aaa/NA 1.56
0.89% 131,832.08 4.64% 32.23 (2,655.15) AAA 0.55
47789QAC4 JDOT 2021-B A3 0.52 03/16/2026 122,032.74 07/13/2021 122,021.86 98.07 119,682.72 0.09% Aaa/NA 1.71
0.52% 122,021.86 4.81% 28.20 (2,339.14) AAA 0.45
43815PAC3 HAROT 2022-2 A3 3.73 07/20/2026 325,505.06 08/15/2022 325,485.67 98.78 321,539.79 0.24% NA/AAA 2.05
3.73% 325,485.67 5.26% 438.44 (3,945.87) AAA 0.83
05602RAD3 BMWOT 2022-A A3 3.21 08/25/2026 217,776.10 05/10/2022 217,764.78 98.66 214,864.22 0.16% Aaa/AAA 2.15
3.21% 217,764.78 4.97% 116.51 (2,900.56) NA 0.78
47787JAC2 JDOT 2022 A3 0.36 09/15/2026 227,660.97 03/10/2022 227,610.61 98.03 223,182.58 0.17% Aaa/NA 2.21
2.33% 227,610.61 5.46% 234.74 (4,428.03) AAA 0.64
362554AC1 GMCAR 2021-4 A3 0.68 09/16/2026 111,816.76 10/13/2021 111,813.91 97.67 109,214.18 0.08% Aaa/AAA 2.21
0.68% 111,813.91 4.17% 31.68 (2,599.73) NA 0.69
380146AC4 GMCAR 2022-1 A3 1.26 11/16/2026 115,200.25 01/11/2022 115,190.24 97.78 112,648.19 0.08% NA/AAA 2.38
1.26% 115,190.24 4.27% 60.48 (2,542.05) AAA 0.76
379929AD4 GMALT 2023-3 A3 5.38 11/20/2026 280,000.00 08/08/2023 279,966.43 99.93 279,797.56 0.21% NA/AAA 2.39
5.38% 279,966.43 5.51% 460.29 (168.87) AAA 1.22
36269FAD8 GMALT 2024-1 A3 5.09 03/22/2027 455,000.00 02/08/2024 454,943.13 99.52 452,814.64 0.34% NA/AAA 2.73
5.09% 454,943.13 5.46% 707.65 (2,128.50) AAA 1.65
05611UAD5 BMWLT 2024-1 A3 4.98 03/25/2027 1,000,000.00 06/20/2024 994,687.50 99.46 994,619.80 0.74% Aaa/AAA 2.73
5.19% 994,687.50 5.39% 830.00 (67.70) NA 1.60
36265WAD5 GMCAR 2022-3 A3 3.64 04/16/2027 305,892.37 07/06/2022 305,890.25 98.64 301,726.54 0.23% Aaa/NA 2.79
3.64% 305,890.25 4.95% 463.94 (4,163.71) AAA 1.03
35 HOLDINGS REPORT
City of Murrieta | Account | As of June 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
02582JJT8 AMXCA 2022-2 A 05/17/2027 905,000.00 05/17/2022 904,799.81 98.21 888,800.50 0.67% NA/AAA 0.87
3.40% 904,799.81 5.54% 1,363.53 (15,999.31) AAA 0.92
58770JAD6 MBALT 2024-A A3 5.32 01/18/2028 350,000.00 05/17/2024 349,959.05 100.29 351,002.19 0.26% Aaa/NA 3.55
5.32% 349,959.05 5.25% 827.56 1,043.14 AAA 2.00
437918AC9 HAROT 2024-1 A3 5.21 08/15/2028 1,250,000.00 02/13/2024 1,249,945.63 100.05 1,250,621.50 0.94% Aaa/AAA 4.13
5.21% 1,249,945.63 5.26% 2,894.44 675.87 NA 2.44
161571HT4 CHAIT 2023-1 A 5.16 09/15/2028 1,320,000.00 09/07/2023 1,319,634.10 100.26 1,323,369.70 0.99% NR/AAA 4.21
5.17% 1,319,634.10 5.11% 3,027.20 3,735.60 AAA 2.03
47800RAD5 JDOT 2024 A3 4.96 11/15/2028 335,000.00 03/11/2024 334,981.24 99.61 333,681.67 0.25% Aaa/NA 4.38
4.96% 334,981.24 5.22% 738.49 (1,299.57) AAA 2.07
096919AD7 BMWOT 2024-A A3 5.18 02/26/2029 600,000.00 06/04/2024 599,908.86 100.10 600,592.74 0.45% Aaa/AAA 4.66
5.18% 599,908.86 5.21% 1,726.67 683.88 NA 2.10
02582JKH2 AMXCA 2024-1 A 5.23 04/16/2029 640,000.00 04/16/2024 639,868.80 100.94 645,990.66 0.48% NA/AAA 4.79
5.23% 639,868.80 4.99% 1,487.64 6,121.86 AAA 2.53
9,027,947.09 99.55 8,993,074.17 6.73% Aaa/AAA 3.18
Total ABS 9,034,433.29 4.45% 9,027,947.09 5.20% 15,621.48 (34,872.91) AAA 1.65 AGENCY
3130AQF40 FEDERAL HOME LOAN BANKS 1.0 1,400,000.00 12/21/2021 1,398,768.00 97.97 1,371,602.96 1.03% Aaa/AA+ 0.47 12/20/2024 1.03% 1,398,768.00 5.40% 427.78 (27,165.04) AA+ 0.46 3133ENKS8 FEDERAL FARM CREDIT BANKS 755,000.00 01/06/2022 753,301.25 97.88 738,957.00 0.55% Aaa/AA+ 0.52 FUNDING CORP 1.125 01/06/2025 1.20% 753,301.25 5.35% 4,128.91 (14,344.25) AA+ 0.50 3133ENPG9 FEDERAL FARM CREDIT BANKS 1,200,000.00 02/25/2022 1,197,456.00 97.81 1,173,759.80 0.88% Aaa/AA+ 0.63 FUNDING CORP 1.75 02/14/2025 1.82% 1,197,456.00 5.37% 7,991.67 (23,696.20) AA+ 0.60 3133EPW68 FEDERAL FARM CREDIT BANKS 1,400,000.00 01/24/2024 1,392,860.00 98.83 1,383,591.29 1.04% Aaa/AA+ 1.56 FUNDING CORP 4.125 01/22/2026 4.40% 1,392,860.00 4.91% 25,506.25 (9,268.71) AA+ 1.46 3130B0ZP7 FEDERAL HOME LOAN BANKS 4.875 1,000,000.00 06/21/2024 1,000,450.00 99.99 999,883.67 0.75% Aaa/AA+ 1.70 03/13/2026 4.85% 1,000,450.00 4.88% 9,750.00 (566.33) AA+ 1.60 3133ERDZ1 FEDERAL FARM CREDIT BANKS 1,000,000.00 05/20/2024 997,690.00 99.96 999,551.62 0.75% Aaa/AA+ 1.85 FUNDING CORP 4.75 05/08/2026 4.87% 997,690.00 4.77% 6,993.06 1,861.62 AA+ 1.75 3130AWLZ1 FEDERAL HOME LOAN BANKS 4.75 2,000,000.00 08/16/2023 1,998,620.00 99.83 1,996,655.62 1.49% Aaa/AA+ 1.95 06/12/2026 4.78% 1,998,620.00 4.84% 5,013.89 (1,964.38) AA+ 1.84 36 HOLDINGS REPORT
City of Murrieta | Account | As of June 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
3133EPZY4 FEDERAL FARM CREDIT BANKS 2,000,000.00 11/09/2023 2,007,480.00 100.41 2,008,270.32 1.50% Aaa/AA+ 2.08 FUNDING CORP 5.0 07/30/2026 4.85% 2,007,480.00 4.79% 41,944.44 790.32 AA+ 1.92 3133EPSW6 FEDERAL FARM CREDIT BANKS 2,405,000.00 08/09/2023 2,399,468.50 99.49 2,392,635.65 1.79% Aaa/AA+ 2.12 FUNDING CORP 4.5 08/14/2026 4.58% 2,399,468.50 4.76% 41,185.63 (6,832.85) AA+ 1.97 3130AWTQ3 FEDERAL HOME LOAN BANKS 4.625 4,500,000.00 -- 4,476,030.00 99.78 4,490,179.20 3.36% Aaa/AA+ 2.20 09/11/2026 4.81% 4,476,030.00 4.73% 63,593.75 14,149.20 AA+ 2.04 3130AXU63 FEDERAL HOME LOAN BANKS 4.625 1,750,000.00 11/30/2023 1,754,427.50 99.90 1,748,241.02 1.31% Aaa/AA+ 2.38 11/17/2026 4.53% 1,754,427.50 4.67% 9,892.36 (6,186.48) AA+ 2.22 3130AYPN0 FEDERAL HOME LOAN BANKS 4.125 2,000,000.00 01/30/2024 1,995,560.00 98.83 1,976,576.40 1.48% Aaa/AA+ 2.54 01/15/2027 4.21% 1,995,560.00 4.62% 34,833.33 (18,983.60) AA+ 2.34 3133EP6K6 FEDERAL FARM CREDIT BANKS 1,000,000.00 04/08/2024 995,520.00 99.77 997,723.94 0.75% Aaa/AA+ 2.74 FUNDING CORP 4.5 03/26/2027 4.66% 995,520.00 4.59% 11,875.00 2,203.94 AA+ 2.52 3130B0TY5 FEDERAL HOME LOAN BANKS 4.75 1,500,000.00 04/10/2024 1,496,115.00 100.28 1,504,256.19 1.13% Aaa/AA+ 2.77 04/09/2027 4.84% 1,496,115.00 4.64% 15,833.33 8,141.19 AA+ 2.55 3133ERFJ5 FEDERAL FARM CREDIT BANKS 1,000,000.00 05/20/2024 994,830.00 99.71 997,089.73 0.75% Aaa/AA+ 2.89 FUNDING CORP 4.5 05/20/2027 4.69% 994,830.00 4.61% 5,125.00 2,259.73 AA+ 2.67 3130AVVX7 FEDERAL HOME LOAN BANKS 3.75 1,120,000.00 06/07/2023 1,107,243.20 97.77 1,095,056.77 0.82% Aaa/AA+ 3.94 06/09/2028 4.00% 1,107,243.20 4.37% 2,566.67 (12,186.43) AA+ 3.61 3130AWC24 FEDERAL HOME LOAN BANKS 4.0 2,000,000.00 07/06/2023 1,956,940.00 98.67 1,973,390.56 1.48% Aaa/AA+ 3.94 06/09/2028 4.49% 1,956,940.00 4.37% 4,888.89 16,450.56 AA+ 3.60 3133EPWK7 FEDERAL FARM CREDIT BANKS 2,000,000.00 10/12/2023 1,981,460.00 100.16 2,003,180.90 1.50% Aaa/AA+ 4.23 FUNDING CORP 4.5 09/22/2028 4.71% 1,981,460.00 4.46% 24,750.00 21,720.90 AA+ 3.77 29,904,219.45 99.41 29,850,602.65 22.35% Aaa/AA+ 2.35
Total Agency 30,030,000.00 4.28% 29,904,219.45 4.75% 316,299.95 (53,616.81) AA+ 2.16
AGENCY CMBS
3137BM7C4 FHMS K-051 A2 3.308 09/25/2025 1,223,000.00 06/23/2022 1,220,420.23 97.68 1,194,628.97 0.89% Aaa/AA+ 1.24
3.30% 1,220,420.23 5.34% 3,371.40 (25,791.26) AAA 1.05
3137BSP72 FHMS K-058 A2 2.653 08/25/2026 2,000,000.00 02/09/2023 1,890,546.88 95.24 1,904,873.20 1.43% Aaa/AA+ 2.15
4.27% 1,890,546.88 4.99% 4,421.67 14,326.32 AAA 2.00
3137BTUM1 FHMS K-061 A2 3.347 11/25/2026 888,148.67 09/22/2022 856,265.52 96.14 853,821.99 0.64% Aaa/AA+ 2.41
4.23% 856,265.52 5.10% 2,477.19 (2,443.53) AAA 2.13
37 HOLDINGS REPORT
City of Murrieta | Account | As of June 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
3137BVZ82 FHMS K-063 A2 3.43 01/25/2027 862,000.00 -- 839,600.51 96.36 830,609.67 0.62% Aaa/AA+ 2.57
4.03% 839,600.51 4.98% 2,463.88 (8,990.84) AAA 2.27
3137F1G44 FHMS K-065 A2 3.243 04/25/2027 1,000,000.00 09/19/2022 965,468.75 95.59 955,939.70 0.72% Aaa/AA+ 2.82
4.02% 965,468.75 4.94% 2,702.50 (9,529.05) AAA 2.55
3137FBU79 FHMS K-069 A2 3.187 09/25/2027 1,250,000.00 05/18/2023 1,200,732.43 95.02 1,187,701.50 0.89% Aaa/AAA 3.24
4.13% 1,200,732.43 4.89% 3,319.79 (13,030.93) AA+ 2.89
3137F4X72 FHMS K-075 A2 3.65 02/25/2028 1,165,000.00 09/14/2023 1,107,478.13 95.92 1,117,482.45 0.84% Aaa/AA+ 3.66
4.83% 1,107,478.13 4.86% 3,543.54 10,004.32 AAA 3.31
3137FJEH8 FHMS K-081 A2 3.9 08/25/2028 1,250,000.00 05/28/2024 1,197,265.63 96.48 1,206,023.38 0.90% Aaa/AA+ 4.15
4.94% 1,197,265.63 4.82% 4,062.50 8,757.75 AAA 3.71
9,277,778.08 95.99 9,251,080.84 6.93% Aaa/AA+ 2.75
Total Agency CMBS 9,638,148.67 4.23% 9,277,778.08 4.99% 26,362.48 (26,697.24) AAA 2.47 CASH
CCYUSD Receivable 74,450.40 -- 74,450.40 1.00 74,450.40 0.06% Aaa/AAA 0.00
0.00% 74,450.40 0.00% 0.00 0.00 AAA 0.00
74,450.40 1.00 74,450.40 0.06% Aaa/AAA 0.00
Total Cash 74,450.40 0.00% 74,450.40 0.00% 0.00 0.00 AAA 0.00
CORPORATE
79466LAG9 SALESFORCE INC 0.625 07/15/2024 200,000.00 06/29/2021 199,898.00 99.81 199,615.75 0.15% A1/A+ 0.04
0.64% 199,898.00 5.23% 576.39 (282.25) NA 0.04
91159HHX1 US BANCORP 2.4 07/30/2024 1,000,000.00 11/09/2021 1,041,550.00 99.72 997,223.53 0.75% A3/A 0.08
0.80% 1,041,550.00 5.69% 10,066.67 (44,326.47) A 0.08
69371RR40 PACCAR FINANCIAL CORP 0.5 245,000.00 08/03/2021 244,867.70 99.49 243,738.78 0.18% A1/A+ 0.11 08/09/2024 0.52% 244,867.70 5.27% 483.19 (1,128.92) NA 0.11 78016EYM3 ROYAL BANK OF CANADA 1.6 1,000,000.00 01/12/2022 1,000,000.00 97.79 977,904.13 0.73% A1/A 0.56 01/21/2025 1.60% 1,000,000.00 5.67% 7,111.11 (22,095.87) AA- 0.54 06406RBC0 BANK OF NEW YORK MELLON CORP 900,000.00 04/19/2022 899,874.00 98.31 884,820.33 0.66% A1/A 0.82
3.35 04/25/2025 3.35% 899,874.00 5.48% 5,527.50 (15,053.67) AA- 0.79 38 HOLDINGS REPORT
City of Murrieta | Account | As of June 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
14913R2V8 CATERPILLAR FINANCIAL SERVICES
CORP 3.4 05/13/2025
480,000.00 05/10/2022
3.44%
479,390.40
479,390.40
98.36 5.35%
472,118.30
2,176.00
0.35%
(7,272.10)
A2/A
A+
0.87 0.84
438516CB0 HONEYWELL INTERNATIONAL INC
1.35 06/01/2025
1,000,000.00 03/09/2022
2.31%
970,280.00
970,280.00
96.43 5.38%
964,325.37
1,125.00
0.72%
(5,954.63)
A2/A
A
0.92 0.89
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
98.38 5.57%
983,814.69
2,615.28
0.74%
(18,015.31)
A1/A
NA
0.93 0.90
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
98.06 5.56%
1,083,512.37
1,694.33
0.81%
(16,461.28)
A2/AA0.96
0.92 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
98.21 5.32%
1,350,373.76
19,377.95
1.01%
(22,962.49)
A2/A
A+
1.12 1.06
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
97.80 5.28%
978,025.53
12,277.78
0.73%
(12,684.47)
Aa3/A
WR
1.13 1.07
437076CR1 HOME DEPOT INC 4.0 09/15/2025 1,000,000.00 09/14/2022
4.13%
996,380.00
996,380.00
98.54 5.25%
985,434.23
11,777.78
0.74%
(10,945.77)
A2/A
A
1.21 1.15
023135CN4 AMAZON.COM INC 4.6 12/01/2025 425,000.00 11/29/2022
4.60%
424,974.50
424,974.50
99.37 5.06%
422,316.34
1,629.17
0.32%
(2,658.16)
A1/AA
AA1.421.35
857477BR3 STATE STREET CORP 1.746
02/06/2026
335,000.00 02/02/2022
1.75%
335,000.00
335,000.00
97.57 5.84%
326,870.75
2,355.89
0.24%
(8,129.25)
A1/A
AA1.610.58
037833BY5 APPLE INC 3.25 02/23/2026 1,000,000.00 02/22/2023
4.72%
959,390.00
959,390.00
97.20 5.04%
971,963.72
11,555.56
0.73%
12,573.72
Aaa/AA+
NA
1.65 1.56
57629W6F2 MASSMUTUAL GLOBAL FUNDING II
4.5 04/10/2026
750,000.00 04/04/2023
4.52%
749,482.50
749,482.50
98.90 5.15%
741,722.26
7,593.75
0.56%
(7,760.24)
Aa3/AA+
AA+
1.78 1.67
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
96.76 5.21%
967,643.77
5,397.22
0.72%
13,423.77
A3/A
A
1.84 1.75
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
100.23
5.27%
1,002,327.36
1,650.00
0.75%
1,887.36
Aa3/AAAA1.97
1.85 61747YET8 MORGAN STANLEY 4.679
07/17/2026
1,000,000.00 09/14/2022
4.68%
994,030.00
994,030.00
99.02 6.32%
990,199.56
21,315.44
0.74%
(3,830.44)
A1/AA+2.05
0.99 69371RS56 PACCAR FINANCIAL CORP 5.05
08/10/2026
1,450,000.00 --
4.99%
1,451,925.00
1,451,925.00
99.90 5.10%
1,448,513.81
28,679.79
1.08%
(3,411.19)
A1/A+
NA
2.11 1.94
39 HOLDINGS REPORT
City of Murrieta | Account | As of June 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
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
100.71
5.17%
1,007,100.28
20,415.50
0.75%
8,290.28
Aa1/A+
AA
2.13 1.88
713448FW3 PEPSICO INC 5.125 11/10/2026 510,000.00 11/08/2023
5.13%
509,862.30
509,862.30
100.44
4.92%
512,240.90
3,702.81
0.38%
2,378.60
A1/A+
NA
2.36 2.11
48125LRU8 JPMORGAN CHASE BANK NA 5.11
12/08/2026
1,575,000.00 --
5.08%
1,576,460.00
1,576,460.00
99.98 5.12%
1,574,747.80
5,141.94
1.18%
(1,712.20)
Aa2/A+
AA
2.44 2.26
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
99.00 4.92%
990,046.73
21,625.00
0.74%
(9,413.27)
A1/A
A+
2.53 2.30
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
99.34 5.15%
1,236,746.94
27,312.19
0.93%
(7,941.81)
A1/A
AA2.562.32
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
99.73 4.91%
1,495,943.70
25,000.00
1.12%
(4,866.30)
A1/AANA2.66
2.43 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
99.88 5.04%
1,208,536.70
17,285.49
0.90%
(1,463.30)
A1/A
AA2.712.48
665859AW4 NORTHERN TRUST CORP 4.0
05/10/2027
1,000,000.00 09/14/2022
4.23%
990,460.00
990,460.00
97.61 4.90%
976,140.17
5,666.67
0.73%
(14,319.83)
A2/A+
A+
2.86 2.65
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
91.89 4.91%
1,378,419.51
3,545.83
1.03%
6,474.51
A2/A
NA
2.87 2.74
437076DB5 HOME DEPOT INC 4.875 06/25/2027 740,000.00 --
4.95%
738,545.60
738,545.60
99.80 4.95%
738,492.16
601.25
0.55%
(53.44)
A2/A
A
2.99 2.75
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
98.77 4.96%
987,738.95
12,765.28
0.74%
(2,161.05)
A1/A+
A+
3.22 2.92
74456QBU9 PUBLIC SERVICE ELECTRICAND GAS
CO 3.7 05/01/2028
750,000.00 06/22/2023
4.79%
715,005.00
715,005.00
95.75 4.93%
718,140.65
4,625.00
0.54%
3,135.65
A1/A
WR
3.84 3.50
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
98.22 4.91%
1,473,249.69
8,433.33
1.10%
(10,775.31)
Aa2/A+
AA3.883.50
Total Corporate 31,795,000.00 4.21%
31,497,523.65
31,497,523.65
98.45 5.22%
31,290,008.51
311,106.08
23.43%
(207,515.14)
A1/A
A+
1.98 1.80
MONEY MARKET
FUND
40 HOLDINGS REPORT
City of Murrieta | Account | As of June 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
31846V567 FIRST AMER:GVT OBLG Z 259,923.46 -- 259,923.46 1.00 259,923.46 0.19% Aaa/ 0.00
5.19% 259,923.46 5.19% 0.00 0.00 AAAm 0.00
AAA
Aaa/
Total Money Market 259,923.46 1.00 259,923.46 0.19% AAAm 0.00 Fund 259,923.46 5.19% 259,923.46 5.19% 0.00 0.00 AAA 0.00
SUPRANATIONAL
4581X0DZ8 INTER-AMERICAN DEVELOPMENT 1,585,000.00 09/15/2021 1,583,827.10 98.88 1,567,273.44 1.17% Aaa/AAA 0.23 BANK 0.5 09/23/2024 0.52% 1,583,827.10 5.40% 2,157.36 (16,553.66) NA 0.23 459058KT9 INTERNATIONAL BANK FOR 500,000.00 07/24/2023 483,115.00 96.35 481,770.48 0.36% Aaa/AAA 4.03 RECONSTRUCTION AND DEVELOPM 4.26% 483,115.00 4.50% 8,215.28 (1,344.53) NA 3.65
3.5 07/12/2028
2,066,942.10 98.29 2,049,043.91 1.53% Aaa/AAA 1.13
Total Supranational 2,085,000.00 1.40% 2,066,942.10 5.19% 10,372.64 (17,898.19) NA 1.03
US TREASURY
91282CCT6 UNITED STATES TREASURY 0.375 2,000,000.00 08/26/2021 1,995,234.38 99.38 1,987,617.18 1.49% Aaa/AA+ 0.13 08/15/2024 0.46% 1,995,234.38 5.30% 2,822.80 (7,617.20) AA+ 0.13 91282CCX7 UNITED STATES TREASURY 0.375 1,800,000.00 09/10/2021 1,796,484.38 98.98 1,781,718.75 1.33% Aaa/AA+ 0.21 09/15/2024 0.44% 1,796,484.38 5.28% 1,980.98 (14,765.63) AA+ 0.21 912828YM6 UNITED STATES TREASURY 1.5 1,700,000.00 09/24/2021 1,749,273.44 98.72 1,678,174.48 1.26% Aaa/AA+ 0.34 10/31/2024 0.55% 1,749,273.44 5.40% 4,296.20 (71,098.96) AA+ 0.33 91282CDH1 UNITED STATES TREASURY 0.75 2,000,000.00 11/29/2021 1,996,328.13 98.31 1,966,132.82 1.47% Aaa/AA+ 0.38 11/15/2024 0.81% 1,996,328.13 5.35% 1,915.76 (30,195.31) AA+ 0.37 91282CDN8 UNITED STATES TREASURY 1.0 900,000.00 12/29/2021 900,386.72 98.08 882,676.76 0.66% Aaa/AA+ 0.46 12/15/2024 0.99% 900,386.72 5.29% 393.44 (17,709.97) AA+ 0.45 912828Z52 UNITED STATES TREASURY 1.375 2,000,000.00 06/04/2021 2,062,500.00 97.76 1,955,195.32 1.46% Aaa/AA+ 0.59 01/31/2025 0.51% 2,062,500.00 5.31% 11,483.52 (107,304.68) AA+ 0.57 912828ZC7 UNITED STATES TREASURY 1.125 1,200,000.00 02/09/2022 1,183,359.38 97.33 1,167,925.78 0.87% Aaa/AA+ 0.67 02/28/2025 1.59% 1,183,359.38 5.24% 4,512.23 (15,433.60) AA+ 0.65 41 HOLDINGS REPORT
City of Murrieta | Account | As of June 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
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
96.57 5.21%
1,931,425.78
2,513.66
1.45%
(65,605.47)
Aaa/AA+
AA+
0.75 0.73
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
96.12 5.19%
1,922,363.28
1,263.59
1.44%
(54,980.47)
Aaa/AA+
AA+
0.83 0.81
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
95.62 5.19%
1,721,197.26
381.15
1.29%
(44,560.55)
Aaa/AA+
AA+
0.92 0.89
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
94.96 5.08%
1,899,296.88
2,087.91
1.42%
(42,734.37)
Aaa/AA+
AA+
1.08 1.06
91282CAJ0 UNITED STATES TREASURY 0.25
08/31/2025
1,000,000.00 03/22/2022
2.42%
928,828.13
928,828.13
94.61 5.06%
946,132.81
835.60
0.71%
17,304.68
Aaa/AA+
AA+
1.17 1.14
9128285C0 UNITED STATES TREASURY 3.0
09/30/2025
3,250,000.00 --
2.90%
3,259,882.81
3,259,882.81
97.56 5.03%
3,170,781.25
24,508.20
2.37%
(89,101.56)
Aaa/AA+
AA+
1.25 1.20
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
97.47 4.98%
2,436,816.40
12,635.87
1.82%
(61,816.41)
Aaa/AA+
AA+
1.34 1.28
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
96.43 4.97%
2,410,644.53
7,184.10
1.80%
(20,507.82)
Aaa/AA+
AA+
1.38 1.33
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
96.74 4.90%
2,418,554.70
178.33
1.81%
5,761.73
Aaa/AA+
AA+
1.50 1.44
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
95.75 4.81%
2,393,750.00
14,139.34
1.79%
15,917.97
Aaa/AA+
AA+
1.75 1.68
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
98.21 4.80%
1,964,218.76
15,778.69
1.47%
(1,484.37)
Aaa/AA+
AA+
1.79 1.70
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
94.10 4.65%
2,823,046.86
7,663.04
2.11%
56,015.61
Aaa/AA+
AA+
2.38 2.27
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
93.33 4.61%
1,633,242.19
83.22 1.22%
(7,998.04)
Aaa/AA+
AA+
2.50 2.40
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
94.79 4.54%
2,369,628.90
15,710.38
1.77%
20,214.84
Aaa/AA+
AA+
2.75 2.60
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
96.49 4.51%
1,254,347.65
114.81
0.94%
(12,339.85)
Aaa/AA+
AA+
3.00 2.82
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
94.95 4.52%
1,899,062.50
22,967.03
1.42%
11,953.12
Aaa/AA+
AA+
3.08 2.88
42 HOLDINGS REPORT
City of Murrieta | Account | As of June 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
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
95.94 4.51%
2,398,437.50
26,112.43
1.80%
(46,679.69)
Aaa/AA+
AA+
3.17 2.94
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
98.87 4.50%
1,581,875.01
16,590.16
1.18%
(13,624.99)
Aaa/AA+
AA+
3.25 2.98
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
93.02 4.50%
1,302,328.13
4,023.10
0.98%
3,390.63
Aaa/AA+
AA+
3.38 3.18
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
94.96 4.40%
1,899,140.62
7,982.34
1.42%
28,515.62
Aaa/AA+
AA+
4.38 4.01
Total US Treasury 53,700,000.00 2.68%
52,362,216.82
52,362,216.82
96.48 4.92%
51,795,732.09
210,157.88
38.78%
(566,484.73)
Aaa/AA+
AA+
1.67 1.58
Total Portfolio 136,616,955.81 3.61%
134,471,001.05
134,471,001.05
97.56 4.98%
133,563,916.03
889,920.51
100.00%
(907,085.02)
Aa2/AA
AA
2.06 1.81
Total Market Value +
Accrued 134,453,836.54
43 HOLDINGS REPORT
Murrieta Liquidity | Account | As of June 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 1,037.64 --
0.00%
1,037.64
1,037.64
1.00 0.00%
1,037.64
0.00 0.01%
0.00 Aaa/AAA
AAA
0.00 0.00
Total Cash 1,037.64 0.00%
1,037.64
1,037.64
1.00 0.00%
1,037.64
0.00 0.01%
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
96.88 5.42%
1,937,684.00
0.00 17.00%
12,059.00
P-1/A-1+
F1
0.59 0.57
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
96.40 5.38%
2,602,694.70
0.00 22.83%
7,792.20
P-1/NR
NA
0.68 0.66
Total Commercial
Paper 4,700,000.00 5.39%
4,520,527.50
4,520,527.50
96.60 5.40%
4,540,378.70
0.00 39.83%
19,851.20
P-1/AAA
A+
0.64 0.62
MONEY MARKET
FUND
31846V567 FIRST AMER:GVT OBLG Z 141,337.96 --
5.19%
141,337.96
141,337.96
1.00 5.19%
141,337.96
0.00 1.24%
0.00 Aaa/
AAAm
AAA
0.00 0.00
Total Money Market
Fund 141,337.96 5.19%
141,337.96
141,337.96
1.00 5.19%
141,337.96
0.00 1.24%
0.00 Aaa/
AAAm
AAA
0.00 0.00
NEGOTIABLE CD
21684XH82 COÖPERATIEVE RABOBANK U.A.,
NEW YORK BRANCH 5.9 09/06/2024
2,000,000.00 09/13/2023
5.90%
1,999,872.84
1,999,872.84
100.09
5.17%
2,001,814.00
97,677.78
17.56%
1,941.16
P-1/A-1
F1+
0.19 0.18
Total Negotiable CD 2,000,000.00 5.90%
1,999,872.84
1,999,872.84
100.09
5.17%
2,001,814.00
97,677.78
17.56%
1,941.16
P-1/A-1
F1+
0.19 0.18
US TREASURY
44 HOLDINGS REPORT
Murrieta Liquidity | Account | As of June 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
912797GB7 UNITED STATES TREASURY
07/11/2024
2,750,000.00 01/16/2024
5.20%
2,682,875.25
2,682,875.25
99.85 4.86%
2,745,988.30
0.00 24.09%
63,113.05
P-1/A-1+
F1+
0.03 0.03
912797KU0 UNITED STATES TREASURY
10/17/2024
2,000,000.00 04/22/2024
5.37%
1,949,235.42
1,949,235.42
98.44 5.31%
1,968,770.00
0.00 17.27%
19,534.58
P-1/A-1+
F1+
0.30 0.29
Total US Treasury 4,750,000.00 5.27%
4,632,110.67
4,632,110.67
99.26 5.05%
4,714,758.30
0.00 41.36%
82,647.63
P-1/A-1+
F1+
0.14 0.14
Total Portfolio 11,592,375.60 5.43%
11,294,886.61
11,294,886.61
97.12 5.21%
11,399,326.60
97,677.78
100.00%
104,439.99
Aaa/AA
AA
0.35 0.34
Total Market Value +
Accrued 11,497,004.38
45 TRANSACTIONS
46 TRANSACTION LEDGER
City of Murrieta | Account |04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 04/01/2024 31846V567 146,125.00 FIRST AMER:GVT OBLGZ
1.000 5.20% (146,125.00) 0.00 (146,125.00) 0.00
Purchase 04/02/2024 31846V567 9,146.55 FIRST AMER:GVT
OBLGZ
1.000 5.20% (9,146.55) 0.00 (9,146.55) 0.00
Purchase 04/09/2024 3133EP6K6 1,000,000.00 FEDERAL FARM CREDIT
BANKS FUNDING CORP
4.5 03/26/2027
99.552 4.66% (995,520.00) (1,625.00) (997,145.00) 0.00
Purchase 04/10/2024 31846V567 16,875.00 FIRST AMER:GVT
OBLGZ
1.000 5.17% (16,875.00) 0.00 (16,875.00) 0.00
Purchase 04/15/2024 31846V567 1,200.04 FIRST AMER:GVT
OBLGZ
1.000 5.17% (1,200.04) 0.00 (1,200.04) 0.00
Purchase 04/15/2024 3130B0TY5 1,500,000.00 FEDERAL HOME LOAN BANKS 4.75
04/09/2027
99.741 4.84% (1,496,115.00) (791.67) (1,496,906.67) 0.00 Purchase 04/16/2024 31846V567 23,842.01 FIRST AMER:GVT
OBLGZ
1.000 5.17% (23,842.01) 0.00 (23,842.01) 0.00
Purchase 04/18/2024 31846V567 1,134.54 FIRST AMER:GVT
OBLGZ
1.000 5.17% (1,134.54) 0.00 (1,134.54) 0.00
Purchase 04/19/2024 31846V567 304,567.66 FIRST AMER:GVT OBLGZ
1.000 5.17% (304,567.66) 0.00 (304,567.66) 0.00
Purchase 04/22/2024 31846V567 27,557.41 FIRST AMER:GVT
OBLGZ
1.000 5.17% (27,557.41) 0.00 (27,557.41) 0.00
Purchase 04/23/2024 02582JKH2 640,000.00 AMXCA 2024-1 A 5.23 04/16/2029
99.980 5.23% (639,868.80) 0.00 (639,868.80) 0.00
Purchase 04/23/2024 9128285M8 2,000,000.00 UNITED STATES TREASURY 3.125
11/15/2028
93.531 4.72% (1,870,625.00) (27,472.53) (1,898,097.53) 0.00 Purchase 04/25/2024 31846V567 24,017.51 FIRST AMER:GVT
OBLGZ
1.000 5.18% (24,017.51) 0.00 (24,017.51) 0.00
Purchase 04/25/2024 31846V567 36,876.87 FIRST AMER:GVT
OBLGZ
1.000 5.18% (36,876.87) 0.00 (36,876.87) 0.00
47 TRANSACTION LEDGER
City of Murrieta | Account |04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss Purchase 04/30/2024 31846V567 54,000.00 FIRST AMER:GVT
OBLGZ
1.000 5.20% (54,000.00) 0.00 (54,000.00) 0.00
Purchase 05/01/2024 31846V567 13,875.00 FIRST AMER:GVT
OBLGZ
1.000 5.20% (13,875.00) 0.00 (13,875.00) 0.00
Purchase 05/02/2024 31846V567 2,876.39 FIRST AMER:GVT
OBLGZ
1.000 5.18% (2,876.39) 0.00 (2,876.39) 0.00
Purchase 05/03/2024 31846V567 16,750.00 FIRST AMER:GVT
OBLGZ
1.000 5.18% (16,750.00) 0.00 (16,750.00) 0.00
Purchase 05/10/2024 31846V567 33,068.75 FIRST AMER:GVT
OBLGZ
1.000 5.18% (33,068.75) 0.00 (33,068.75) 0.00
Purchase 05/13/2024 31846V567 509,285.00 FIRST AMER:GVT OBLGZ
1.000 5.18% (509,285.00) 0.00 (509,285.00) 0.00
Purchase 05/14/2024 31846V567 9,351.64 FIRST AMER:GVT
OBLGZ
1.000 5.18% (9,351.64) 0.00 (9,351.64) 0.00
Purchase 05/14/2024 31846V567 960,000.00 FIRST AMER:GVT OBLGZ
1.000 5.18% (960,000.00) 0.00 (960,000.00) 0.00
Purchase 05/15/2024 31846V567 31,339.46 FIRST AMER:GVT
OBLGZ
1.000 5.18% (31,339.46) 0.00 (31,339.46) 0.00
Purchase 05/15/2024 31846V567 1,722,959.46 FIRST AMER:GVT OBLGZ
1.000 5.18% (1,722,959.46) 0.00 (1,722,959.46) 0.00
Purchase 05/16/2024 31846V567 23,055.39 FIRST AMER:GVT
OBLGZ
1.000 5.18% (23,055.39) 0.00 (23,055.39) 0.00
Purchase 05/17/2024 31846V567 40,468.75 FIRST AMER:GVT
OBLGZ
1.000 5.18% (40,468.75) 0.00 (40,468.75) 0.00
Purchase 05/20/2024 31846V567 19,038.03 FIRST AMER:GVT
OBLGZ
1.000 5.18% (19,038.03) 0.00 (19,038.03) 0.00
Purchase 05/21/2024 3133ERFJ5 1,000,000.00 FEDERAL FARM CREDIT
BANKS FUNDING CORP
4.5 05/20/2027
99.483 4.69% (994,830.00) (125.00) (994,955.00) 0.00
Purchase 05/21/2024 3133ERDZ1 1,000,000.00 FEDERAL FARM CREDIT
BANKS FUNDING CORP
4.75 05/08/2026
99.769 4.87% (997,690.00) (1,715.28) (999,405.28) 0.00
48 TRANSACTION LEDGER
City of Murrieta | Account |04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss Purchase 05/23/2024 58770JAD6 350,000.00 MBALT 2024-A A3 5.32 01/18/2028
99.988 5.32% (349,959.05) 0.00 (349,959.05) 0.00
Purchase 05/28/2024 31846V567 46,580.99 FIRST AMER:GVT
OBLGZ
1.000 5.20% (46,580.99) 0.00 (46,580.99) 0.00
Purchase 05/31/2024 3137FJEH8 1,250,000.00 FHMS K-081 A2 3.9 08/25/2028
95.781 4.94% (1,197,265.63) (4,062.50) (1,201,328.13) 0.00 Purchase 06/03/2024 31846V567 16,525.00 FIRST AMER:GVT
OBLGZ
1.000 5.20% (16,525.00) 0.00 (16,525.00) 0.00
Purchase 06/04/2024 31846V567 5,885.66 FIRST AMER:GVT
OBLGZ
1.000 5.18% (5,885.66) 0.00 (5,885.66) 0.00
Purchase 06/06/2024 31846V567 18,830.00 FIRST AMER:GVT
OBLGZ
1.000 5.18% (18,830.00) 0.00 (18,830.00) 0.00
Purchase 06/07/2024 31846V567 761,710.00 FIRST AMER:GVT OBLGZ
1.000 5.18% (761,710.00) 0.00 (761,710.00) 0.00
Purchase 06/10/2024 31846V567 101,241.25 FIRST AMER:GVT OBLGZ
1.000 5.18% (101,241.25) 0.00 (101,241.25) 0.00
Purchase 06/11/2024 096919AD7 600,000.00 BMWOT 2024-A A3
5.18 02/26/2029
99.985 5.18% (599,908.86) 0.00 (599,908.86) 0.00
Purchase 06/12/2024 31846V567 47,500.00 FIRST AMER:GVT
OBLGZ
1.000 5.18% (47,500.00) 0.00 (47,500.00) 0.00
Purchase 06/14/2024 31846V567 2,028,750.00 FIRST AMER:GVT OBLGZ
1.000 5.18% (2,028,750.00) 0.00 (2,028,750.00) 0.00
Purchase 06/17/2024 31846V567 52,623.18 FIRST AMER:GVT
OBLGZ
1.000 5.18% (52,623.18) 0.00 (52,623.18) 0.00
Purchase 06/17/2024 31846V567 134,422.41 FIRST AMER:GVT OBLGZ
1.000 5.18% (134,422.41) 0.00 (134,422.41) 0.00
Purchase 06/18/2024 31846V567 28,715.53 FIRST AMER:GVT
OBLGZ
1.000 5.18% (28,715.53) 0.00 (28,715.53) 0.00
Purchase 06/18/2024 31846V567 1,140,000.00 FIRST AMER:GVT OBLGZ
1.000 5.18% (1,140,000.00) 0.00 (1,140,000.00) 0.00
Purchase 06/20/2024 31846V567 37,185.29 FIRST AMER:GVT
OBLGZ
1.000 5.19% (37,185.29) 0.00 (37,185.29) 0.00
49 TRANSACTION LEDGER
City of Murrieta | Account |04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss Purchase 06/21/2024 31846V567 16,066.50 FIRST AMER:GVT
OBLGZ
1.000 5.18% (16,066.50) 0.00 (16,066.50) 0.00
Purchase 06/21/2024 89236TKJ3 1,000,000.00 TOYOTA MOTOR CREDIT CORP 4.55
09/20/2027
98.990 4.89% (989,900.00) (11,501.39) (1,001,401.39) 0.00 Purchase 06/21/2024 05611UAD5 1,000,000.00 BMWLT 2024-1 A3
4.98 03/25/2027
99.469 5.19% (994,687.50) (3,596.67) (998,284.17) 0.00
Purchase 06/24/2024 3130B0ZP7 1,000,000.00 FEDERAL HOME LOAN BANKS 4.875
03/13/2026
100.045 4.85% (1,000,450.00) (8,802.08) (1,009,252.08) 0.00 Purchase 06/25/2024 31846V567 52,781.90 FIRST AMER:GVT
OBLGZ
1.000 5.18% (52,781.90) 0.00 (52,781.90) 0.00
Purchase 06/25/2024 437076DB5 240,000.00 HOME DEPOT INC
4.875 06/25/2027
99.669 5.00% (239,205.60) 0.00 (239,205.60) 0.00
Purchase 06/25/2024 437076DB5 500,000.00 HOME DEPOT INC
4.875 06/25/2027
99.868 4.92% (499,340.00) 0.00 (499,340.00) 0.00
Total Purchase 21,596,228.17 (21,381,593.61) (59,692.12) (21,441,285.73) 0.00 TOTAL
ACQUISITIONS 21,596,228.17 (21,381,593.61) (59,692.12) (21,441,285.73) 0.00
DISPOSITIONS
Call
Redemption
05/14/2024 06051GJY6 (960,000.00) BANK OF AMERICA
CORP 5.74866
06/14/2024
100.000 5.82% 960,000.00 0.00 960,000.00 (64.00)
Total Call
Redemption (960,000.00) 960,000.00 0.00 960,000.00 (64.00) Maturity 04/15/2024 91282CBV2 (1,100,000.00) UNITED STATES TREASURY 0.375
04/15/2024
100.000 0.38% 1,100,000.00 0.00 1,100,000.00 (644.53)
Maturity 05/12/2024 023135BW5 (500,000.00) AMAZON.COM INC
0.45 05/12/2024
100.000 0.45% 500,000.00 0.00 500,000.00 730.00
50 TRANSACTION LEDGER
City of Murrieta | Account |04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss Maturity 05/15/2024 91282CCC3 (1,000,000.00) UNITED STATES TREASURY 0.25
05/15/2024
100.000 0.25% 1,000,000.00 0.00 1,000,000.00 3,125.00
Maturity 05/15/2024 91324PEB4 (425,000.00) UNITEDHEALTH GROUP INC 0.55 05/15/2024
100.000 0.55% 425,000.00 0.00 425,000.00 2,439.50
Maturity 06/07/2024 24422EVQ9 (760,000.00) JOHN DEERE CAPITAL CORP 0.45 06/07/2024
100.000 0.45% 760,000.00 0.00 760,000.00 950.00
Maturity 06/14/2024 3130A1XJ2 (2,000,000.00) FEDERAL HOME LOAN BANKS 2.875
06/14/2024
100.000 2.88% 2,000,000.00 0.00 2,000,000.00 (101,140.00) Maturity 06/18/2024 89236TJH9 (1,140,000.00) TOYOTA MOTOR CREDIT CORP 0.5
06/18/2024
100.000 0.50% 1,140,000.00 0.00 1,140,000.00 1,356.60
Total Maturity (6,925,000.00) 6,925,000.00 0.00 6,925,000.00 (93,183.43) Sale 04/09/2024 31846V567 (997,145.00) FIRST AMER:GVT
OBLGZ
1.000 5.17% 997,145.00 0.00 997,145.00 0.00
Sale 04/15/2024 31846V567 (204,471.06) FIRST AMER:GVT
OBLGZ
1.000 5.17% 204,471.06 0.00 204,471.06 0.00
Sale 04/19/2024 023135BW5 (305,000.00) AMAZON.COM INC
0.45 05/12/2024
99.662 0.50% 303,969.10 598.56 304,567.66 (585.60)
Sale 04/23/2024 3135G0V75 (2,000,000.00) FEDERAL NATIONAL
MORTGAGE
ASSOCIATION 1.75
07/02/2024
99.297 1.66% 1,985,940.00 10,791.67 1,996,731.67 (21,720.00) Sale 04/23/2024 31846V567 (541,234.66) FIRST AMER:GVT
OBLGZ
1.000 5.18% 541,234.66 0.00 541,234.66 0.00
Sale 04/26/2024 31846V567 (363.00) FIRST AMER:GVT
OBLGZ
1.000 5.18% 363.00 0.00 363.00 0.00
Sale 05/21/2024 31846V567 (1,970,676.55) FIRST AMER:GVT OBLGZ
1.000 5.18% 1,970,676.55 0.00 1,970,676.55 0.00
Sale 05/23/2024 31846V567 (349,959.05) FIRST AMER:GVT
OBLGZ
1.000 5.19% 349,959.05 0.00 349,959.05 0.00
51 TRANSACTION LEDGER
City of Murrieta | Account |04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss Sale 05/28/2024 31846V567 (360.00) FIRST AMER:GVT
OBLGZ
1.000 5.20% 360.00 0.00 360.00 0.00
Sale 05/31/2024 31846V567 (1,199,078.13) FIRST AMER:GVT OBLGZ
1.000 5.20% 1,199,078.13 0.00 1,199,078.13 0.00
Sale 06/11/2024 31846V567 (599,908.86) FIRST AMER:GVT
OBLGZ
1.000 5.18% 599,908.86 0.00 599,908.86 0.00
Sale 06/21/2024 31846V567 (1,999,685.56) FIRST AMER:GVT OBLGZ
1.000 5.18% 1,999,685.56 0.00 1,999,685.56 0.00
Sale 06/24/2024 31846V567 (1,009,252.08) FIRST AMER:GVT OBLGZ
1.000 5.18% 1,009,252.08 0.00 1,009,252.08 0.00
Sale 06/25/2024 31846V567 (720,617.63) FIRST AMER:GVT
OBLGZ
1.000 5.18% 720,617.63 0.00 720,617.63 0.00
Sale 06/26/2024 31846V567 (385.00) FIRST AMER:GVT
OBLGZ
1.000 5.19% 385.00 0.00 385.00 0.00
Total Sale (11,898,136.58) 11,883,045.68 11,390.23 11,894,435.91 (22,305.60) TOTAL
DISPOSITIONS (19,783,136.58) 19,768,045.68 11,390.23 19,779,435.91 (115,553.03) 52 TRANSACTION LEDGER
Murrieta Liquidity | Account |04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 04/02/2024 31846V567 439.18 FIRST AMER:GVT
OBLGZ
1.000 5.20% (439.18) 0.00 (439.18) 0.00
Purchase 04/12/2024 31846V567 2,000,000.00 FIRST AMER:GVT OBLGZ
1.000 5.17% (2,000,000.00) 0.00 (2,000,000.00) 0.00
Purchase 04/23/2024 912797KU0 2,000,000.00 UNITED STATES TREASURY 10/17/2024
97.462 5.37% (1,949,235.42) 0.00 (1,949,235.42) 0.00
Purchase 05/02/2024 31846V567 3,628.22 FIRST AMER:GVT
OBLGZ
1.000 5.18% (3,628.22) 0.00 (3,628.22) 0.00
Purchase 05/21/2024 31846V567 74,375.00 FIRST AMER:GVT
OBLGZ
1.000 5.18% (74,375.00) 0.00 (74,375.00) 0.00
Purchase 05/21/2024 89233GNX0 2,000,000.00 Toyota Motor Credit Corporation
01/31/2025
96.281 5.42% (1,925,625.00) 0.00 (1,925,625.00) 0.00
Purchase 06/04/2024 31846V567 824.66 FIRST AMER:GVT
OBLGZ
1.000 5.18% (824.66) 0.00 (824.66) 0.00
Purchase 06/06/2024 31846V567 2,500,000.00 FIRST AMER:GVT OBLGZ
1.000 5.18% (2,500,000.00) 0.00 (2,500,000.00) 0.00
Purchase 06/07/2024 62479LQ40 2,700,000.00 MUFG Bank, Ltd. - New York Branch
03/04/2025
96.108 5.36% (2,594,902.50) 0.00 (2,594,902.50) 0.00
Total Purchase 11,279,267.06 (11,049,029.98) 0.00 (11,049,029.98) 0.00 TOTAL
ACQUISITIONS 11,279,267.06 (11,049,029.98) 0.00 (11,049,029.98) 0.00
DISPOSITIONS
Maturity 04/12/2024 62479LDC6 (2,000,000.00) MUFG Bank, Ltd., New York Branch
04/12/2024
100.000 0.00% 2,000,000.00 0.00 2,000,000.00 66,113.33
53 TRANSACTION LEDGER
Murrieta Liquidity | Account |04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss Maturity 05/21/2024 89233GEM4 (2,000,000.00) Toyota Motor Credit Corporation
05/21/2024
100.000 0.00% 2,000,000.00 0.00 2,000,000.00 72,123.33
Maturity 06/06/2024 912797HT7 (2,500,000.00) UNITED STATES TREASURY 06/06/2024
100.000 0.00% 2,500,000.00 0.00 2,500,000.00 33,066.49
Total Maturity (6,500,000.00) 6,500,000.00 0.00 6,500,000.00 171,303.15 Sale 04/23/2024 31846V567 (1,949,235.42) FIRST AMER:GVT OBLGZ
1.000 5.18% 1,949,235.42 0.00 1,949,235.42 0.00
Sale 06/07/2024 31846V567 (2,594,902.50) FIRST AMER:GVT OBLGZ
1.000 5.18% 2,594,902.50 0.00 2,594,902.50 0.00
Total Sale (4,544,137.92) 4,544,137.92 0.00 4,544,137.92 0.00 TOTAL
DISPOSITIONS (11,044,137.92) 11,044,137.92 0.00 11,044,137.92 171,303.15 54 IMPORTANT DISCLOSURES
City of Murrieta | Account | As of June 30, 2024
2024 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential. Prices are provided by ICE Data Services Inc (“IDS”), an independent pricing source. In the event IDS does not provide a price or if the price provided is not reflective of fair market value, Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures. Our valuation procedures are also disclosed in Item 5 of our Form ADV Part 2A.
Performance results are presented gross-of-advisory fees and represent the client’s Total Return. The deduction of advisory fees lowers performance results. These results include the reinvestment of dividends and other earnings. Past performance may not be indicative of future results. Therefore, clients should not assume that future performance of any specific investment or investment strategy will be profitable or equal to past performance levels. All investment strategies have the potential for profit or loss. Economic factors, market conditions or changes in investment strategies, contributions or withdrawals may materially alter the performance and results of your portfolio.
Index returns assume reinvestment of all distributions. Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the deduction of an investment management fee, the incurrence of which would have the effect of decreasing historical performance results. It is not possible to invest directly in an index.
Source ICE Data Indices, LLC (“ICE”), used with permission. ICE permits use of the ICE indices and related data on an “asis” 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. 55 BENCHMARK DISCLOSURES
City of Murrieta | Account | As of June 30, 2024
Benchmark Disclosure
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. 56