CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending June 30, 2023
City of Murrieta
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of June 30, 2023
1 SECTION | Section 1 | Economic Update
2 Economic Update
▪
▪
▪
Recent economic data continues to suggest positive but below trend growth this year. Although the pace of job growth is moderating, 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.
At the June meeting, the Federal Open Market Committee paused in their rate hiking campaign after ten straight rate increases and left the target Federal Funds rate in the current range of 5.00 - 5.25%. Market participants viewed the FOMC’s decision as a ‘hawkish’ pause, expecting further tightening in the future, primarily based on the updated release of the FOMC’s Summary of Economic Projections (SEP) forecast which reflected a stronger economic outlook and higher rates compared to the March forecast. We believe the resiliency of future economic data will determine if the Federal Reserve can stay on hold for a period of time or will be forced to tighten policy further to bring inflation back down towards their 2% policy objective.
The yield curve remained inverted in June. The 2-year Treasury yield surged 50 basis points to 4.90%, the 5-year Treasury yield rose 40 basis points to 4.16%, and the 10-year Treasury yield increased 19 basis points to 3.84%. The inversion between the 2-year Treasury yield and 10-year Treasury yield widened to -106 basis points at June month-end versus -76 basis points at May month-end. The spread between the 2-year Treasury and 10- year Treasury yield one year ago was +6 basis points. The inversion between 3-month and 10-year Treasuries narrowed to -146 basis points in June from -176 basis points in May. The shape of the yield curve indicates that the probability of recession is increasing. 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 209,000 jobs in June, falling short of consensus expectations, and the last two months were revised downward by 110,000 jobs. Although decelerating, the pace of job growth remains healthy with the three-month moving average payrolls at 244,000 and the sixmonth moving average at 278,000. The unemployment rate declined to 3.6% in June from 3.7% in May, while the labor force participation rate remained at 62.6%. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons, increased to 6.9% from the prior month at 6.7%. Average hourly earnings remained at 4.4% year-over-year in June, unchanged from an upwardly revised 4.4% increase in May. While the longer-term trend of hiring is slowing, levels remain consistent with a solid labor market.
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
JOLTS
Recession
Historical Average In Thousands (000's)
The number of job openings declined to 9.824 million in May after an upward revision to 10.320 million in April. The drop was widespread but particularly steep in healthcare and social assistance. Hiring increased over the month, along with both separations and quits. The level of job openings indicates strong resilience in labor demand.
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 June by 0.2% month-over-month and 3.0% year-over-year, down from 4.0% in May. The Core CPI, which excludes volatile food and energy components, was up 0.2% month-over-month and 4.8% year-over-year, decelerating modestly from
5.3% in May. The Personal Consumption Expenditures (PCE) index rose 3.8% year-over-year in May, down from a 4.3% gain in April. Core PCE, the Federal Reserve’s preferred inflation gauge, increased 4.6% year-over-year in May, down slightly from a 4.7% increase in April. Core inflation remains stubbornly elevated above the Fed's 2% target, with service-sector inflation and strong wage growth as headwinds.
Source: US Department of Labor Source: US Department of Commerce 6 Consumer
-25.0%
-15.0%
-5.0%
5.0%
15.0%
25.0%
35.0%
45.0%
55.0%
Retail Sales YOY % Change
YOY (%) Change
Advance Retail Sales rose 0.3% month-over-month in May, beating expectations but slowing from a 0.4% increase in April. Gains were broadbased and translated to a year-over-year increase of 1.6% in May versus a downwardly revised 1.2% increase in April. The Conference Board’s Consumer Confidence Index surged to a better than expected 109.7 in June from 102.5 in May. Both current conditions and future expectations gained strength.
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 fourteenth consecutive month at -0.7% in May, versus –0.6% in April and was down 7.9% year-over-year in May. The consistent decline month-over-month continues to signal future contraction in the economy. The Chicago Fed National Activity Index (CFNAI) fell to -0.15 in May from 0.14 in April. On a 3-month moving average basis, the CFNAI remained negative at -0.14 in May, 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
1000
1200
1400
1600
1800
2000
2200
2400
MOM Change (In Thousands of Units)
Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
-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
Total housing starts rose 21.7% month-over-month in May to 1,631,000 units from a downwardly revised 1,340,000 in April and were up 5.7% compared to May 2022. Both single-family and multi-family construction increased as expectations for lower rates and greater availability of construction labor and materials drove the surge in starts. The 30-year fixed rate mortgage stabilized atan average of approximately 6.7% at June month-end according to Freddie Mac. According to the Case-Shiller 20-City Home Price Index, housing prices dropped 1.7% in April after falling
1.1% in March, clearly displaying the impact of higher mortgage rates year-over-year, which have reduced demand for homebuying as affordability has declined. The Southeast remains the strongest region, while the West continues to be the weakest.
Source: US Department of Commerce Source: S&P
9 Survey Based Measures
40 45
50 55
60 65
70 Institute of Supply Management
ISM Manufacturing ISM Services
EXPANDING
CONTRACTING
The Institute for Supply Management (ISM) manufacturing index fell to 46.0 in June from 46.9 in May. This is the eighth consecutive month of readings below 50.0, which is indicative of contraction in the manufacturing sector. The Institute for Supply Management (ISM) services index rose to 53.90 in June from 50.30 in May, as new orders increased, employment rebounded, and inflation moderated. The June data reflects continued strength in the services sector.
Source: Institute for Supply Management
10 Gross Domestic Product (GDP)
Components of GDP 6/22 9/22 12/22 3/23
1.4% 1.5% 0.7% 2.8%
-2.8% -1.8% 0.8% -2.2%
1.2% 2.9% 0.4% 0.6%
-0.2% 0.2% 0.4% 0.4%
-0.1% 0.4% 0.3% 0.5%
-0.6% 3.3% 2.6% 2.0%
State and Local (Consumption and
Gross Investment)
Personal Consumption Expenditures
Gross Private Domestic Investment
Net Exports and Imports
Federal Government Expenditures
Total
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Source: US Department of Commerce Source: US Department of Commerce According to the third estimate, first quarter 2023 GDP growth was revised up to 2.0% from 1.3%. Stronger personal consumption expenditures were the primary driver of the upward revision. The consensus estimate calls for 1.3% growth for the second quarter and 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
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Effective Federal Funds Rate
Recession
Yield (%)
At the June meeting, the Federal Open Market Committee paused in their rate hiking campaign after ten straight rate increases and left the target Federal Funds rate in the current range of 5.00 - 5.25%. Market participants viewed the FOMC’s decision as a ‘hawkish’ pause, expecting further tightening in the future, primarily based on the updated release of the FOMC’s Summary of Economic Projections (SEP) forecast. The SEP is forecasting higher GDP, a lower unemployment rate, and higher PCE inflation compared to the March 2023 forecast. The median forecast for the Fed Funds rate was also increased to 5.6% in June, compared to the prior forecast of 5.1% in March, suggesting another 50 basis points of tightening in 2023. We believe the resiliency of future economic data will determine if the Federal Reserve can stay on hold for a period of time or will be forced to tighten policy further to bring inflation back down towards their 2% policy objective. 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-23
Mar-23
Jun-22
Yield (%)
At the end of June, the 2-year Treasury yield was 194 basis points higher, and the 10-Year Treasury yield was about 82 basis points higher, yearover-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield widened to -106 basis points at June month-end versus -76 basis points at May month-end. The average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10- year Treasuries narrowed to -146 basis points in June from -176 basis points in May. The shape of the yield curve indicates that the probability of recession is increasing.
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 June 30, 2023
15 Compliance As of June 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
City of Murrieta
Assets managed by Chandler Asset Management are in full compliance with state law and the Client's investment policy. 16 Compliance As of June 30, 2023
Category Standard Comment
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
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
City of Murrieta
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
06/30/23 03/31/23
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 1.84 1.84 1.85
Average Modified Duration 1.75 1.61 1.62
Average Purchase Yield n/a 2.08% 1.89%
Average Market Yield 5.01% 5.12% 4.49%
Average Quality** AAA AA/Aa1 AA/Aa1
Total Market Value 119,250,057 119,200,757
*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 June 30, 2023
18 City of Murrieta
Sector Distribution
ABS
5.7%
Agency
19.2%
CMO
5.8%
Corporate
24.8%
Money Market
Fund
0.2%
Supranational
1.9%
US Treasury
42.3%
June 30, 2023 March 31, 2023
ABS
6.8%
Agency
22.7%
CMO
4.8%
Corporate
21.6%
Money Market
Fund
0.7%
Supranational
1.9%
US Treasury
41.6%
As of June 30, 2023
19 Issue Name Investment Type % Portfolio
Government of United States US Treasury 42.34%
Federal Home Loan Mortgage Corp Agency 5.86%
Federal Home Loan Mortgage Corp CMO 5.77%
Federal Farm Credit Bank Agency 4.88%
Federal National Mortgage Association Agency 4.80%
Federal Home Loan Bank Agency 3.68%
Procter & Gamble Company Corporate 1.59%
Microsoft Corporate 1.55%
Caterpillar Inc Corporate 1.53%
Deere & Company Corporate 1.32%
Inter-American Dev Bank Supranational 1.25%
Nextera Energy Capital Corporate 1.24%
Pfizer Inc. Corporate 1.05%
Amazon.com Inc Corporate 1.00%
Toyota Motor Corp Corporate 0.91%
National Rural Utilities Corporate 0.89%
Paccar Financial Corporate 0.84%
Morgan Stanley Corporate 0.84%
Metlife Inc Corporate 0.84%
Home Depot Corporate 0.83%
US Bancorp Corporate 0.82%
Apple Inc Corporate 0.82%
Toronto Dominion Holdings Corporate 0.82%
Duke Energy Field Services Corporate 0.81%
Northern Trust Corp Corporate 0.81%
Bank of America Corp Corporate 0.81%
John Deere ABS ABS 0.80%
Royal Bank of Canada Corporate 0.79%
Honeywell Corp Corporate 0.78%
Hyundai Auto Receivables ABS 0.78%
ChevronTexaco Corp Corporate 0.75%
American Express ABS ABS 0.73%
Bank of New York Corporate 0.73%
Honda ABS ABS 0.65%
GM Financial Securitized Term Auto Trust ABS 0.63%
Mass Mutual Insurance Corporate 0.62%
Intl Bank Recon and Development Supranational 0.62%
Public Service El & Gas Corporate 0.60%
Issuers
City of Murrieta – Account
As of June 30, 2023
20 Issue Name Investment Type % Portfolio
Charles Schwab Corp/The Corporate 0.47%
BMW Vehicle Lease Trust ABS 0.46%
Toyota ABS ABS 0.42%
GM Financial Automobile Leasing Trust ABS 0.36%
Verizon Master Trust ABS 0.34%
United Health Group Inc Corporate 0.34%
BMW ABS ABS 0.29%
Mercedes-Benz Auto Lease Trust ABS 0.27%
State Street Bank Corporate 0.27%
Federated GOVT Obligation MMF Money Market Fund 0.23%
Salesforce.com Inc Corporate 0.16%
TOTAL 100.00%
Issuers
City of Murrieta – Account
As of June 30, 2023
21 AAA AA A <A NR
06/30/23 8.5% 67.2% 17.7% 0.0% 6.6%
03/31/23 8.6% 68.5% 15.9% 0.0% 7.1%
Source: S&P Ratings
June 30, 2023 vs. March 31, 2023
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
AAA AA A <A NR
06/30/23 03/31/23
Quality Distribution
City of Murrieta
As of June 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+ June 30, 2023 March 31, 2023
June 30, 2023 vs. March 31, 2023
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ 06/30/23 7.9% 10.4% 19.8% 29.6% 18.7% 9.7% 3.9% 0.0%
03/31/23 5.4% 8.3% 21.3% 29.4% 24.4% 7.8% 3.4% 0.0%
City of Murrieta
Duration Distribution As of June 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
-2.00%
-1.50%
-1.00%
-0.50%
0.00%
0.50%
1.00%
1.50%
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 0.04% 1.01% -1.10% -0.62% N/A N/A 0.12% ICE BofA 1-3 Yr US Treasury Index -0.57% 0.13% -1.60% -1.04% N/A N/A -0.23% As of June 30, 2023
24 SECTION | Section 3 | Portfolio Holdings
25 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
43813RAC1 Honda Auto Receivables 2020-1 A3
1.610% Due 04/22/2024
7,301.88 02/19/2020
1.62%
7,300.45
7,300.45
99.78 6.62%
7,285.97
3.27 0.01%
(14.48)
Aaa / NR
AAA
0.81 0.04
47789KAC7 John Deere Owner Trust 2020-A A3
1.100% Due 08/15/2024
3,683.93 03/04/2020
1.11%
3,683.71
3,683.71
99.83 7.52%
3,677.51
1.80 0.00%
(6.20)
Aaa / NR
AAA
1.13 0.03
89237VAB5 Toyota Auto Receivables Trust 2020-C A3
0.440% Due 10/15/2024
57,901.09 07/21/2020
0.44%
57,896.64
57,896.64
99.31 6.03%
57,503.71
11.32 0.05%
(392.93)
Aaa / AAA
NR
1.30 0.12
36262XAC8 GM Financial Auto Lease Trust 2021-3 A2
0.390% Due 10/21/2024
433,120.97 08/10/2021
0.39%
433,115.08
433,115.08
98.59 5.86%
427,028.69
51.61 0.36%
(6,086.39)
NR / AAA
AAA
1.31 0.26
47787NAC3 John Deere Owner Trust 2020-B A3
0.510% Due 11/15/2024
22,165.67 07/14/2020
0.52%
22,162.29
22,162.29
99.28 5.17%
22,006.41
5.02 0.02%
(155.88)
Aaa / NR
AAA
1.38 0.15
58769KAD6 Mercedes-Benz Auto Lease Trust 2021-B A3
0.400% Due 11/15/2024
329,307.48 06/22/2021
0.40%
329,282.63
329,282.63
98.41 6.13%
324,083.35
58.54 0.27%
(5,199.28)
NR / AAA
AAA
1.38 0.28
09690AAC7 BMW Vehicle Lease Trust 2021-2 A3
0.330% Due 12/26/2024
136,899.40 09/08/2021
0.34%
136,885.27
136,885.27
98.70 6.39%
135,126.28
7.53 0.11%
(1,758.99)
Aaa / NR
AAA
1.49 0.21
89236XAC0 Toyota Auto Receivables 2020-D A3
0.350% Due 01/15/2025
83,058.66 10/06/2020
0.36%
83,043.19
83,043.19
98.94 6.01%
82,176.74
12.92 0.07%
(866.45)
NR / AAA
AAA
1.55 0.19
05601XAC3 BMW Vehicle Lease Trust 2022-1 A3
1.100% Due 03/25/2025
265,553.83 01/11/2022
1.11%
265,514.12
265,514.12
98.29 5.84%
261,012.86
48.68 0.22%
(4,501.26)
NR / AAA
AAA
1.74 0.36
43813GAC5 Honda Auto Receivables Trust 2021-1 A3
0.270% Due 04/21/2025
101,080.36 02/17/2021
0.27%
101,078.51
101,078.51
97.65 6.18%
98,707.70
7.58 0.08%
(2,370.81)
Aaa / NR
AAA
1.81 0.39
89240BAC2 Toyota Auto Receivables Owners 2021-A A3
0.260% Due 05/15/2025
367,224.86 02/02/2021
0.27%
367,156.70
367,156.70
97.82 5.87%
359,209.81
42.43 0.30%
(7,946.89)
Aaa / NR
AAA
1.88 0.39
47788UAC6 John Deere Owner Trust 2021-A A3
0.360% Due 09/15/2025
200,613.66 03/02/2021
0.37%
200,575.11
200,575.11
97.07 6.12%
194,741.30
32.10 0.16%
(5,833.81)
Aaa / NR
AAA
2.21 0.51
44933LAC7 Hyundai Auto Receivables Trust 2021-A A3
0.380% Due 09/15/2025
254,513.15 04/20/2021
0.38%
254,486.37
254,486.37
97.38 6.00%
247,838.80
42.98 0.21%
(6,647.57)
NR / AAA
AAA
2.21 0.46
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
99.33 5.75%
153,958.09
133.30
0.13%
(1,038.22)
Aaa / AAA
NR
2.41 1.26
44934KAC8 Hyundai Auto Receivables Trust 2021-B A3
0.380% Due 01/15/2026
699,076.79 07/20/2021
0.39%
698,922.50
698,922.50
96.75 5.98%
676,338.62
118.07
0.57%
(22,583.88)
NR / AAA
AAA
2.55 0.58
43815GAC3 Honda Auto Receivables Trust 2021-4 A3
0.880% Due 01/21/2026
330,000.00 11/16/2021
0.89%
329,930.44
329,930.44
95.98 5.92%
316,727.73
80.67 0.27%
(13,202.71)
Aaa / NR
AAA
2.56 0.80
47789QAC4 John Deere Owner Trust 2021-B A3
0.520% Due 03/16/2026
359,131.75 07/13/2021
0.52%
359,099.72
359,099.72
95.80 6.12%
344,043.55
83.00 0.29%
(15,056.17)
Aaa / NR
AAA
2.71 0.75
As of June 30, 2023
26 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
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
97.37 5.56%
355,406.74
491.63
0.30%
(9,571.51)
NR / AAA
AAA
3.06 1.47
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
97.22 5.76%
340,275.25
187.25
0.29%
(9,706.55)
Aaa / AAA
NR
3.16 1.10
362554AC1 GM Financial Securitized Term 2021-4 A3
0.680% Due 09/16/2026
250,000.00 10/13/2021
0.68%
249,993.63
249,993.63
95.50 6.14%
238,762.25
70.83 0.20%
(11,231.38)
Aaa / AAA
NR
3.22 0.82
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
96.32 5.88%
394,925.53
422.76
0.33%
(14,983.78)
Aaa / NR
AAA
3.22 1.04
380146AC4 GM Financial Auto Receivables 2022-1 A3
1.260% Due 11/16/2026
215,000.00 01/11/2022
1.27%
214,981.32
214,981.32
95.52 5.90%
205,369.94
112.88
0.17%
(9,611.38)
NR / AAA
AAA
3.38 0.97
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
97.11 5.59%
310,749.44
485.33
0.26%
(9,248.35)
Aaa / NR
AAA
3.80 1.51
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 5.43%
873,378.40
1,363.53
0.73%
(31,421.41)
NR / AAA
AAA
3.88 1.75
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
98.78 5.25%
409,942.81
471.72
0.34%
(5,038.93)
NR / AAA
AAA
4.06 1.09
TOTAL ABS 7,035,633.48 1.75%
7,034,752.69
7,034,752.69 5.81%
6,840,277.48
4,346.75
5.74%
(194,475.21)
Aaa / AAA
AAA
2.73 0.88
Agency
3135G05G4 FNMA Note
0.250% Due 07/10/2023
1,755,000.00 07/08/2020
0.32%
1,751,226.75
1,751,226.75
99.91 3.51%
1,753,411.73
2,084.06
1.47%
2,184.98
Aaa / AA+
AAA
0.03 0.03
3137EAEW5 FHLMC Note
0.250% Due 09/08/2023
2,005,000.00 Various
0.26%
2,004,240.85
2,004,240.85
99.09 5.10%
1,986,794.60
1,573.37
1.67%
(17,446.25)
Aaa / AA+
AAA
0.19 0.19
3135G0U43 FNMA Note
2.875% Due 09/12/2023
1,000,000.00 06/26/2019
1.86%
1,040,880.00
1,040,880.00
99.49 5.42%
994,866.00
8,704.86
0.84%
(46,014.00)
Aaa / AA+
AAA
0.20 0.20
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
98.46 5.43%
1,550,787.53
410.16
1.30%
(18,337.72)
Aaa / AA+
AAA
0.30 0.29
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
98.89 5.53%
1,977,894.00
7,333.33
1.66%
(53,386.00)
Aaa / AA+
AAA
0.34 0.33
3137EAEZ8 FHLMC Note
0.250% Due 11/06/2023
2,050,000.00 11/03/2020
0.28%
2,048,155.00
2,048,155.00
98.27 5.28%
2,014,547.30
782.99
1.69%
(33,607.70)
Aaa / AA+
AAA
0.35 0.34
3135G06H1 FNMA Note
0.250% Due 11/27/2023
1,045,000.00 11/23/2020
0.29%
1,043,808.70
1,043,808.70
97.95 5.37%
1,023,623.48
246.74
0.86%
(20,185.22)
Aaa / AA+
AAA
0.41 0.40
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
97.84 5.41%
1,433,360.40
274.69
1.20%
(30,189.25)
Aaa / AA+
AAA
0.43 0.42
As of June 30, 2023
27 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
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
98.00 5.42%
1,959,942.00
15,857.78
1.66%
(62,878.00)
Aaa / AA+
AAA
0.65 0.63
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
97.57 5.52%
1,951,392.00
2,715.28
1.64%
(149,748.00)
Aaa / AA+
NR
0.96 0.92
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
96.43 5.44%
1,928,640.00
17,402.78
1.63%
(79,020.00)
Aaa / AA+
AAA
1.01 0.97
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
94.00 5.29%
1,316,046.20
427.78
1.10%
(82,721.80)
Aaa / AA+
AAA
1.48 1.43
3133ENKS8 FFCB Note
1.125% Due 01/06/2025
755,000.00 01/06/2022
1.20%
753,301.25
753,301.25
94.13 5.20%
710,682.26
4,128.91
0.60%
(42,618.99)
Aaa / AA+
AAA
1.52 1.46
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
94.82 5.12%
1,137,828.00
7,991.67
0.96%
(59,628.00)
Aaa / AA+
AAA
1.63 1.56
3130AVVX7 FHLB Note
3.750% Due 06/09/2028
1,120,000.00 06/07/2023
4.00%
1,107,243.20
1,107,243.20
99.30 3.90%
1,112,210.40
6,766.67
0.94%
4,967.20
Aaa / AA+
NR
4.95 4.44
TOTAL Agency 23,370,000.00 1.21%
23,540,654.65
23,540,654.65 5.15%
22,852,025.90
76,701.07
19.23%
(688,628.75)
Aaa / AA+
AAA
0.83 0.79
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
96.15 5.21%
1,175,916.95
3,371.40
0.99%
(44,503.28)
NR / NR
AAA
2.24 1.96
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
93.62 4.87%
1,872,376.00
4,421.67
1.57%
(18,170.88)
NR / NR
AAA
3.16 2.90
3137BTUM1 FHLMC K061 A2
3.347% Due 11/25/2026
900,000.00 09/22/2022
4.37%
867,691.41
867,691.41
95.07 4.99%
855,641.70
2,510.25
0.72%
(12,049.71)
NR / NR
AAA
3.41 2.97
3137BVZ82 FHLMC K063
3.430% Due 01/25/2027
862,000.00 Various
4.09%
839,600.51
839,600.51
95.56 4.82%
823,691.86
2,463.89
0.69%
(15,908.65)
NR / NR
AAA
3.58 3.14
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
95.00 4.70%
949,992.00
2,702.50
0.80%
(15,476.75)
NR / NR
AAA
3.82 3.42
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
94.32 4.70%
1,178,988.75
3,319.79
0.99%
(21,743.68)
NR / AAA
NR
4.24 3.75
TOTAL CMO 7,235,000.00 4.16%
6,984,460.21
6,984,460.21 4.88%
6,856,607.26
18,789.50
5.77%
(127,852.95)
NR / AAA
AAA
3.36 3.00
Corporate
742718EB1 Procter & Gamble Co Note
3.100% Due 08/15/2023
1,880,000.00 06/27/2019
2.06%
1,957,305.60
1,957,305.60
99.83 4.44%
1,876,745.72
22,016.89
1.59%
(80,559.88)
Aa3 / AANR0.13
0.12 As of June 30, 2023
28 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
717081EN9 Pfizer Inc. Callable Note Cont 8/15/2023
3.200% Due 09/15/2023
1,250,000.00 06/26/2019
2.24%
1,298,250.00
1,298,250.00
99.49 5.64%
1,243,583.75
11,777.78
1.05%
(54,666.25)
A1 / A+
A
0.21 0.21
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
97.30 5.54%
841,603.48
1,773.25
0.71%
(22,782.37)
A2 / A
A+
0.55 0.53
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
97.01 5.58%
771,239.84
1,151.65
0.65%
(22,837.96)
A1 / A+
NR
0.59 0.57
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
98.49 5.47%
1,822,022.45
21,422.74
1.55%
(92,339.05)
Aaa / AAA
NR
0.61 0.58
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
98.26 5.56%
884,308.50
8,540.25
0.75%
(51,025.50)
Aa2 / AANR0.68
0.65 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
96.47 5.84%
554,730.68
1,233.85
0.47%
(19,981.82)
A2 / AA0.72
0.69 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
95.87 5.39%
771,776.85
493.06
0.65%
(32,047.85)
A1 / AA
AA0.870.84
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
95.83 5.49%
407,283.88
298.68
0.34%
(15,276.62)
A3 / A+
A
0.88 0.85
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
95.45 5.50%
725,428.36
228.00
0.61%
(33,621.64)
A2 / A
A+
0.94 0.91
06051GJY6 Bank of America Corp Callable Note Cont 6/14/2023
5.470% Due 06/14/2024
960,000.00 06/07/2021
2.14%
960,064.00
960,064.00
99.85 5.67%
958,562.88
2,479.73
0.81%
(1,501.12)
A1 / AAA0.96
0.21 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
95.28 5.58%
1,086,182.88
205.83
0.91%
(52,460.52)
A1 / A+
A+
0.97 0.94
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
95.19 5.44%
190,379.60
576.39
0.16%
(9,518.40)
A2 / A+
NR
1.04 1.01
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
96.46 5.82%
964,551.00
10,066.67
0.82%
(76,999.00)
A3 / A
A
1.08 1.04
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
94.67 5.52%
231,937.83
483.19
0.19%
(12,929.87)
A1 / A+
NR
1.11 1.08
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
94.00 5.67%
940,037.00
7,111.11
0.79%
(59,963.00)
A1 / A
AA1.561.49
As of June 30, 2023
29 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
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
96.16 5.60%
865,409.40
5,527.50
0.73%
(34,464.60)
A1 / A
AA1.821.72
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
96.82 5.21%
464,718.72
2,176.00
0.39%
(14,671.68)
A2 / A
A+
1.87 1.77
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
93.29 5.06%
932,931.00
1,125.00
0.78%
(37,349.00)
A2 / A
A
1.92 1.85
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
96.95 5.45%
969,521.00
2,615.28
0.82%
(32,309.00)
A1 / A
NR
1.94 1.83
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
96.20 5.52%
1,062,987.90
1,694.34
0.89%
(36,985.75)
A2 / AA1.96
1.86 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
97.06 5.13%
1,334,531.00
19,377.95
1.14%
(38,805.25)
A2 / A
A+
2.12 1.98
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
95.92 5.30%
959,241.00
12,277.78
0.81%
(31,469.00)
Aa3 / A
NR
2.13 1.99
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
98.06 4.94%
980,555.00
11,777.78
0.83%
(15,825.00)
A2 / A
A
2.21 2.06
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
99.22 4.95%
421,676.50
1,629.17
0.35%
(3,298.00)
A1 / AA
AA2.422.25
857477BR3 State Street Bank Callable Note Cont 2/6/2025
1.746% Due 02/06/2026
335,000.00 02/02/2022
2.99%
335,000.00
335,000.00
93.69 5.93%
313,871.55
2,355.89
0.27%
(21,128.45)
A1 / A
AA2.611.53
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
96.30 4.75%
963,030.00
11,555.56
0.82%
3,640.00
Aaa / AA+
NR
2.65 2.47
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
97.75 5.38%
733,157.25
7,406.25
0.62%
(16,325.25)
Aa3 / AA+
AA+
2.78 2.55
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
99.54 5.57%
995,387.00
1,650.00
0.84%
(5,053.00)
Aa3 / AAAA2.98
2.71 61747YET8 Morgan Stanley Callable Note Cont 7/17/2025
4.679% Due 07/17/2026
1,000,000.00 09/14/2022
5.39%
994,030.00
994,030.00
98.13 5.66%
981,288.00
21,315.44
0.84%
(12,742.00)
A1 / AA+3.05
1.88 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
96.34 5.05%
963,373.00
5,666.67
0.81%
(27,087.00)
A2 / A+
A+
3.86 3.50
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
95.13 4.84%
713,467.50
4,625.00
0.60%
(1,537.50)
A1 / A
NR
4.84 4.33
As of June 30, 2023
30 Holdings Report
City of Murrieta - Account
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
341081GN1 Florida Power and Light Callable Note Cont 3/15/2028
4.400% Due 05/15/2028
1,500,000.00 05/22/2023
4.64%
1,484,025.00
1,484,025.00
98.12 4.84%
1,471,818.00
7,883.33
1.24%
(12,207.00)
Aa2 / A+
AA4.884.31
TOTAL Corporate 30,270,000.00 2.76%
30,373,466.85
30,373,466.85 5.32%
29,397,338.52
210,518.01
24.83%
(976,128.33)
A1 / A+
A+
1.78 1.58
Money Market Fund
60934N104 Federated Investors Government Obligations Fund 270,251.11 Various
4.90%
270,251.11
270,251.11
1.00 4.90%
270,251.11
0.00 0.23%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 270,251.11 4.90%
270,251.11
270,251.11 4.90%
270,251.11
0.00 0.23%
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
98.02 5.31%
735,120.75
192.71
0.62%
(13,266.75)
Aaa / AAA
AAA
0.40 0.39
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
94.22 5.42%
1,493,307.75
2,157.36
1.25%
(90,519.35)
Aaa / AAA
NR
1.24 1.19
TOTAL Supranational 2,335,000.00 0.46%
2,332,214.60
2,332,214.60 5.39%
2,228,428.50
2,350.07
1.87%
(103,786.10)
Aaa / AAA
AAA
0.96 0.93
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
97.73 5.20%
1,954,532.00
109.29
1.64%
(41,249.25)
Aaa / AA+
AAA
0.46 0.45
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
97.27 5.31%
1,945,312.00
1,153.31
1.63%
(47,578.63)
Aaa / AA+
AAA
0.55 0.53
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
98.34 5.41%
1,966,796.00
20,856.35
1.67%
(98,835.70)
Aaa / AA+
AAA
0.59 0.56
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
96.47 5.39%
1,929,376.00
1,467.39
1.62%
(62,499.00)
Aaa / AA+
AAA
0.71 0.69
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
96.14 5.42%
1,057,503.70
867.83
0.89%
(43,140.83)
Aaa / AA+
AAA
0.79 0.77
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
95.62 5.44%
956,211.00
319.29
0.80%
(40,664.00)
Aaa / AA+
AAA
0.88 0.85
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
94.61 5.37%
1,892,188.00
2,817.68
1.59%
(103,046.38)
Aaa / AA+
AAA
1.13 1.10
As of June 30, 2023
31 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
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
94.25 5.34%
1,696,570.20
1,980.98
1.42%
(99,914.18)
Aaa / AA+
AAA
1.21 1.18
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
95.15 5.31%
1,617,522.80
4,296.20
1.36%
(131,750.64)
Aaa / AA+
AAA
1.34 1.29
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
94.05 5.29%
1,881,094.00
1,915.76
1.58%
(115,234.13)
Aaa / AA+
AAA
1.38 1.33
91282CDN8 US Treasury Note
1.000% Due 12/15/2024
900,000.00 12/29/2021
0.99%
900,386.72
900,386.72
94.11 5.24%
847,019.70
393.44
0.71%
(53,367.02)
Aaa / AA+
AAA
1.46 1.41
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
94.31 5.16%
1,886,172.00
11,470.99
1.59%
(176,328.00)
Aaa / AA+
AAA
1.59 1.53
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
93.73 5.09%
1,124,766.00
4,512.23
0.95%
(58,593.38)
Aaa / AA+
AAA
1.67 1.61
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
92.50 5.03%
1,850,000.00
2,513.66
1.55%
(147,031.25)
Aaa / AA+
AAA
1.75 1.70
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
92.01 4.99%
1,840,156.00
1,263.59
1.54%
(137,187.75)
Aaa / AA+
AAA
1.84 1.78
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
91.51 4.94%
1,647,210.60
381.15
1.38%
(118,547.21)
Aaa / AA+
AAA
1.92 1.87
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
91.00 4.84%
1,819,922.00
2,085.64
1.53%
(122,109.25)
Aaa / AA+
AAA
2.09 2.03
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
90.73 4.80%
907,266.00
835.60
0.76%
(21,562.13)
Aaa / AA+
AAA
2.17 2.11
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
96.25 4.78%
3,127,998.25
24,508.20
2.64%
(131,884.56)
Aaa / AA+
AAA
2.25 2.13
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
96.18 4.75%
2,404,492.50
12,635.87
2.03%
(94,140.31)
Aaa / AA+
AAA
2.34 2.21
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 4.74%
2,361,915.00
7,184.10
1.99%
(69,237.34)
Aaa / AA+
AAA
2.38 2.26
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
95.24 4.67%
2,380,957.50
178.33
2.00%
(31,835.47)
Aaa / AA+
AAA
2.51 2.38
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
94.10 4.56%
2,352,442.50
14,139.34
1.98%
(25,389.53)
Aaa / AA+
AAA
2.75 2.61
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
93.71 4.33%
2,342,870.00
15,710.38
1.98%
(6,544.06)
Aaa / AA+
AAA
3.75 3.50
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
96.17 4.30%
1,250,234.70
114.81
1.05%
(16,452.80)
Aaa / AA+
AAA
4.00 3.70
As of June 30, 2023
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
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
95.64 4.28%
2,390,917.50
26,112.43
2.03%
(54,199.69)
Aaa / AA+
AAA
4.17 3.81
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
99.44 4.27%
1,591,062.40
16,590.16
1.35%
(4,437.60)
Aaa / AA+
AAA
4.25 3.82
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
92.11 4.25%
1,289,477.00
4,023.10
1.08%
(9,460.50)
Aaa / AA+
AAA
4.38 4.08
TOTAL US Treasury 53,050,000.00 1.91%
52,374,205.94
52,374,205.94 4.92%
50,311,985.35
180,437.10
42.34%
(2,062,220.59)
Aaa / AA+
AAA
2.06 1.95
TOTAL PORTFOLIO 123,565,884.59 2.08%
122,910,006.05
122,910,006.05 5.12%
118,756,914.12
493,142.50
100.00%
(4,153,091.93)
Aa1 / AA
AAA
1.84 1.61
TOTAL MARKET VALUE PLUS ACCRUALS 119,250,056.62
As of June 30, 2023
33 SECTION | Section 4 | Transactions
34 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 04/12/2023 57629W6F2 750,000.00 Mass Mutual Global funding Note
4.5% Due: 04/10/2026
99.931 4.52% 749,482.50 0.00 749,482.50 0.00
Purchase 05/23/2023 3137FBU79 1,250,000.00 FHLMC K069 A2
3.187% Due: 09/25/2027
96.059 4.65% 1,200,732.43 2,434.51 1,203,166.94 0.00
Purchase 05/24/2023 341081GN1 1,500,000.00 Florida Power and Light Callable Note Cont 3/15/2028
4.4% Due: 05/15/2028
98.935 4.64% 1,484,025.00 1,100.00 1,485,125.00 0.00
Purchase 06/09/2023 3130AVVX7 1,120,000.00 FHLB Note
3.75% Due: 06/09/2028
98.861 4.00% 1,107,243.20 4,200.00 1,111,443.20 0.00
Purchase 06/09/2023 9128283F5 1,400,000.00 US Treasury Note
2.25% Due: 11/15/2027
92.781 4.05% 1,298,937.50 2,139.95 1,301,077.45 0.00
Purchase 06/20/2023 58989V2F0 1,000,000.00 Met Tower Global Funding Note
5.4% Due: 06/20/2026
100.044 5.38% 1,000,440.00 0.00 1,000,440.00 0.00
Purchase 06/26/2023 74456QBU9 750,000.00 Public Service El & Gas Callable Note Cont 02/01/28
3.7% Due: 05/01/2028
95.334 4.79% 715,005.00 4,239.58 719,244.58 0.00
Subtotal 7,770,000.00 7,555,865.63 14,114.04 7,569,979.67 0.00 TOTAL ACQUISITIONS 7,770,000.00 7,555,865.63 14,114.04 7,569,979.67 0.00
DISPOSITIONS
Maturity 05/22/2023 3135G04Q3 2,005,000.00 FNMA Note
0.25% Due: 05/22/2023
100.000 2,005,000.00 0.00 2,005,000.00 6,035.05
Maturity 06/09/2023 3133834G3 2,000,000.00 FHLB Note
2.125% Due: 06/09/2023
100.000 2,000,000.00 0.00 2,000,000.00 -20,800.00
March 31, 2023 through June 30, 2023
As of June 30, 2023
35 Transaction Ledger
City of Murrieta - Account
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount InterestPur/Sold Total Amount Gain/Loss Maturity 06/19/2023 3137EAEN5 1,350,000.00 FHLMC Note
2.75% Due: 06/19/2023
100.000 1,350,000.00 0.00 1,350,000.00 -48,343.50
Subtotal 5,355,000.00 5,355,000.00 0.00 5,355,000.00 -63,108.45 TOTAL DISPOSITIONS 5,355,000.00 5,355,000.00 0.00 5,355,000.00 -63,108.45 March 31, 2023 through June 30, 2023
As of June 30, 2023
36 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 June 30, 2023
37 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 June 30, 2023
38