CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending January 31, 2022
City of Orange
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Consolidated Information
SECTION 4 Portfolio Holdings
Table of Contents As of January 31, 2022
1 SECTION |
Section 1 |
Economic Update
2 Economic Update
▪
▪
▪
We believe economic growth is likely to moderate but remain above-trend in 2022,as US fiscal support begins to wane, and the Federal Reserve tightens monetary policy. We expect continued improvement in the labor market will help drive economic growth this year as the health situation improves. Consumer spending, the largest component of US GDP, should also remain solid, supported by healthy consumer balance sheets and a potential shift in spending toward more services rather than goods. Over the near-term, we expect financial market volatility to remain elevated with heightened geopolitical risk, supply chain bottlenecks and persistent inflation, and the Fed's pivot to less accommodative monetary policy. Inflation readings continue to run hot, but we believe inflation may be at or near a peak and pricing pressures are likely to abate as we move through the year.
The Federal Open Market Committee (FOMC) kept the fed funds target rate unchanged in January, in a range of 0.0%-0.25%, but indicated that they believe it will soon be appropriate to raise the target range. The Fed is also on track to complete their bond-buying program in early March. In addition, the FOMC is signaling that a passive reduction in the size of the Federal Reserve balance sheet is likely to commence later this year. The tone of Fed Chair Powell’s press conference was hawkish but he did not give any specific timelines. He mentioned that his outlook for inflation is incrementally worse than it was in December and that supply chain issues will linger for longer than previously expected. The Fed’s policy decisions will be led by incoming economic data and their evolving outlook. We are anticipating a rate hike announcement in March, but we do not believe that monetary policy is on a pre-set course and expect the Fed's policy adjustments will depend on developments in the economy.
In January, the 2-year Treasury yield increased nearly 45 basis points to 1.18%, the 5-year Treasury yield increased almost 35 basis points to 1.61%, and the 10-year Treasury yield increased about 27 basis points to 1.78%. On a month-over-month basis, the yield curve flattened. The spread between the 2-year and 10-year Treasury yield was roughly 60 basis points at January month-end, versus 78 basis points one month ago and 96 basis points one year ago. 3 Source: US Department of Labor Source: US Department of Labor Employment
The January employment report was remarkably strong. US nonfarm payrolls grew by 467,000in January, well above the consensus forecast of 125,000. Payrolls in the prior two months were revised significantly higher and on a trailing 3-month and 6-month basis, payrolls have increased an average of about 540,000 per month. The unemployment rate edged slightly higher to 4.0% in January from 3.9% in December as more workers entered the labor force. The labor participation rate increased to 62.2% in January from 61.9% in December but remains lower than the pre-pandemic level of 63.4%. The employment-population ratio increased to 59.7% in January from 59.5% in December, but also remains below the pre-pandemic level of 61.2%. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons, declined to 7.1% in January from 7.3% in December, and is very close to its pre- pandemic level (7.0% in February 2020). Average hourly earnings rose 0.7% month-over-month and were up 5.7% year-over-year in January versus 4.9% in December.
-22,000
-18,000
-14,000
-10,000
-6,000
-2,000
2,000
6,000
MOM Change In (000's)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
0.0%
4.0%
8.0%
12.0%
16.0%
20.0%
24.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Rate (%)
4 Initial Claims for Unemployment
-
5,000
10,000
15,000
20,000
25,000
In thousands
Initial Jobless Claims
Continuing Claims
Initial Claims For Unemployment May 29, 2020 - February 11, 2022 In the most recent week, the number of initial jobless claims was 248,000, versus 225,000 in the prior week. The level of continuing unemployment claims (where the data is lagged by one week) was 1.593 million down from 1.619 million the prior week. Continuing jobless claims have declined significantly from the peak of nearly 25 million in May 2020, and are in the range of pre-pandemic levels (the 2019 average was 1.7 million).
Source: US Department of Labor
5 Source: US Department of Labor Source: US Department of Commerce Inflation
U.S. consumer prices climbed more than expected in January as inflation hit highs not seen since 1982.The Consumer Price Index (CPI) was up
7.5% year-over-year in January, versus up 7.0% year-over-year in December. Core CPI (CPI less food and energy) was up 6.0% in January, versus up 5.5% year-over-year in December. Pricing pressures were widespread in January; energy, rents and food prices remained elevated from the prior month. The Personal Consumption Expenditures (PCE) index was up 5.8% year-over-year in December, up from 5.7% in November. Core PCE was up 4.9% year-over-year in December, versus up 4.7% in November. Current inflation readings continue to run well above the Fed’s longer-run target of around 2.0%. While we believe year-over-year inflation may be at or near a peak, and pricing pressures are likely to abate as we move through the year, we expect inflationary pressures will remain elevated over the near-term.
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
YOY( %) Change
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YOY( %) Change
6 Retail sales rebounded in January with the most significant gain in ten months. On a year-over-year basis, retail sales were up 13.0% in January versus up 16.9% in December. On a month-over-month basis, retail sales beat expectations, rising 3.8% in January versus a 2.5% decline in December. Excluding vehicles and gas, retail sales were up 3.8% month-over-month. Gains were broad-based with robust demand for goods, especially motor vehicles, home furnishings, and nonstore merchandise. Looking further ahead, we believe high levels of consumer savings along with improvement in the health situation and continued improvement in the labor market should provide a healthy tailwind for consumer spending. The Consumer Confidence index eased to 110.5 in February from 111.1 in January.
Source: US Department of Commerce Source: The Conference Board -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
80 90
100
110
120
130
140
Index Level
Consumer Confidence
Consumer
7 Source: The Conference Board Source: Federal Reserve Bank of Chicago Economic Activity
The Conference Board’s Leading Economic Index (LEI) decreased 0.3% month-over-month in January, following a 0.7% downwardly revised increase in December. On a year-over-year basis, the LEI was up 7.3% in January versus up 8.3% in December. Omicron, rising prices, supply chain snags, and scarcity of labor all weighed on the index in January. The Conference Board expects GDP growth to moderate in the first quarter to 2.0% but they are forecasting 3.5% growth for the full year. Meanwhile, the Chicago Fed National Activity Index (CFNAI) declined to -
0.15 in December from 0.44 in November, suggesting that economic growth declined in December. We believe the rapid spread of the Omicron variant in December contributed to the overall decline. On a 3-month moving average basis, the CFNAI increased to 0.33 in December versus 0.40 in November.
-8.00
-6.00
-4.00
-2.00
0.00 2.00
4.00 6.00
Chicago Fed National Activity Index (CFNAI)
3 Month Average
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
Leading Economic Indicators (LEI)
MOM ( %) Change
8 Source: US Department of Commerce Source: S&P
Housing
0 200
400
600
800
1000
1200
1400
1600
1800
2000
MOM Change (In Thousands of Units)
Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
0.0%
3.0%
6.0%
9.0%
12.0%
15.0%
18.0%
21.0%
24.0%
S&P/Case-Shiller 20 City Composite Home Price Index
YOY( %) Change
Total housing starts unexpectedly fell 4.1 percent to an annual rate of 1,638,000in January. Single-family starts declined 5.6% while multi- family starts fell 2.1%, month-over-month. On a year-over-year basis, total housing starts were up 0.8% in January. According to the Case- Shiller 20-City home price index, home prices were up 18.56% year-over-year in December versus up 18.35% year-over-year in November, suggesting tight supply may be continuing to support prices. 9 Source: Institute for Supply Management Source: Federal Reserve Manufacturing
The Institute for Supply Management (ISM) manufacturing index declined to 57.6 in January from 58.8 in December. We believe the surge in Omicron cases in January likely held back manufacturing activity in in the month. Nevertheless, readings above 50.0 are indicative of expansion in the manufacturing sector. The Industrial Production index was up 4.1% in January versus up 3.8% in December. On a month-over-month basis, the Industrial Production index rose 1.4% in January, following a 0.1% decline in December. Capacity utilization rose to 77.6% in January, up from 76.6%in December. Although capacity utilization remains below its longer-run average of 79.6%, it is running above the pre-pandemic level of 76.3%. Manufacturing production likely remains constrained by supply chain bottlenecks; the increase in January was largely concentrated in utilities due to colder weather.
40 42
44 46
48 50
52 54
56 58
60 62
64 66
Institute of Supply Management Purchasing Manager
Index
EXPANDING
CONTRACTING
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Industrial Production
YOY( %) Change
10 Source: US Department of Commerce Source: US Department of Commerce 3/21 6/21 9/21 12/21
7.4% 7.9% 1.4% 2.3%
-0.4% -0.7% 2.1% 5.2%
-1.6% -0.2% -1.3% 0.0%
0.8% -0.4% -0.4% -0.3%
0.0% 0.0% 0.5% -0.2%
6.3% 6.7% 2.3% 6.9%
Gross Private Domestic Investment
Personal Consumption Expenditures
Components of GDP
Federal Government Expenditures
State and Local (Consumption and Gross
Investment)
Net Exports and Imports
Total
-35.0%
-30.0%
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
According to the advance estimate, fourth quarter GDP grew at an annualized rate of 6.9%, versus the consensus forecast of 5.5%. Economic growth reaccelerated in the fourth quarter after slowing to a pace of 2.3% growth in the third quarter. While third quarter growth was held back by the outbreak of the Delta variant in the US, we anticipate the recent surge of omicron cases in the US will hamper current quarter economic growth. The consensus estimate calls for 1.7% GDP growth in the current quarter. 11 Federal Reserve
Source: Federal Reserve Source: Bloomberg
In 2020, the Fed took a wide range of aggressive actions to help stabilize and provide liquidity to the financial markets. The Fed lowered the fed funds target rate to a range of 0.0%-0.25% and started purchasing Treasury and agency mortgage-backed securities (MBS) to support smooth market functioning. Policymakers reinstated the Commercial Paper Funding Facility and Money Market Mutual Fund Liquidity Facility, and established the Primary Market Corporate Credit Facility, Secondary Market Corporate Credit Facility, Term Asset-Backed Securities Loan Facility, Paycheck Protection Program Liquidity Facility, Main Street Lending Facility, and Municipal Liquidity Facility. The Fed also provided short-term funding through large-scale repo operations and lowered the reserve requirement for depository institutions. Many of the Fed's lending facilities expired at the end of 2020.In June 2021, the Fed announced plans to unwind its corporate credit facility. The Fed started to taper their Treasury and agency MBS purchases in November 2021, and the Fed's bond-buying program is now on track to end by early March 2022. The Fed has also signaled that they are likely to start hiking the fed funds target rate this year.
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
Effective Federal Funds Rate
Yield (%)
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000
Federal Reserve Balance Sheet Assets
In $ millions
12 Source: Bloomberg Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yield (%)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
US Treasury Yield Curve
Jan-22
Oct-21
Jan-21
Yield (%)
Bond Yields
At the end of January, the 2-year Treasury yield was about 107 basis points higher, and the 10-Year Treasury yield was about 71 basis points higher, year-over-year. The spread between the 2-year Treasury yield and 10-year Treasury yield was 60 basis points at January month-end compared to the average historical spread (since 2003) of about 130 basis points. 13 Section 2|SECTION |
Section 2 |
Account Profile
14 Objectives
Chandler Asset Management Performance Objective
The performance objective for the Authority is to achieve an annual rate of return on its portfolio that exceeds the return on a market index selected by Authority management.
Investment Objectives
Safety of principal is the foremost objective of the investment program. The investment portfolio shall remain sufficiently liquid to meet all requirements that may be reasonably anticipated. The investment portfolio shall be designed with the objective of attaining a market rate of return throughout budgetary and economic cycles, taking into account the investment risk constraints and liquidity needs.
Strategy
In order to achieve this objective, the portfolio invests in high-quality fixed income securities that comply with the investment policy and all regulations governing the funds.
As of January 31, 2022
15 Category Standard Comment
U.S. Treasuries No limitations; 5 years max maturity; Faith and credit of the U.S. are pledged for the payment of principal and interest Complies Federal Agencies
75% max; 35% max per Agency and excluding Government National Mortgage Association (i.e. GNMAs); 5 years max maturity; Obligations issued by banks for cooperatives, federal land banks, federal intermediate credit banks, FHLB, TVA, FNMA, or other instruments of, or issued by federal agencies or U.S. government-sponsored enterprises; Any issue purchased must be fully guaranteed as to principal and interest by the full faith and credit of the U.S. or the issuing by federal agency Complies
Municipal Securities
"A" rated or better by a NRSRO; 20% max; 5% max per issuer (book value); 5 years max maturity; Include obligations issued by the State of California and any local agency within the State of California, and registered bonds of any of the other 49 states in addition to California, including bonds payable solely out of the revenues from a revenue-producing property owned, controlled, or operated by a state, or local agency or by a department, board, agency, or authority of a state or local agency Complies
Corporate Medium Term Notes "A" rated or better by a NRSRO; 20% max; 5% max per issuer (book value); 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 Certificates of Deposit 30% max; Certificates of Deposit approved by California AB 2011 Complies Commercial Paper Prime quality with highest rating by a NRSRO; Issued by a domestic corporation with assets > $500 million and having an "A" rating or better by a NRSRO, on its debt other than commercial paper; 20% max; 5% max per issuer (book value); 270 days max maturity Complies Money Market Mutual Funds
$15 million max or 20% max, whichever is less; 90 days weighted average maturity; Shares of beneficial interest issued by diversified management companies that are Money Market Mutual Funds, registered with the SEC under Investment Company Act of 1940 investing in securities and obligations authorized by CGC Sections 53601(b) and (e) only (i.e. U.S. Government issues only); Funds must either: (i) carry the highest rating by two NRSROs; or (ii) retained an investment adviser registered with SEC with > 5 years experience managing money market mutual funds with AUM >$500 million
Complies
Local Agency Investment Fund
(LAIF)
$75 million max per account; State of California LAIF is permitted, with the knowledge that the fund may invest in some vehicles allowed by statute but not otherwise authorized by the City Council in the policy Complies Local Government Investment
Pool (LGIP)
Investment in new Government sponsored pools will be subject to due diligence; A thorough investigation of the pool is required prior to investing, and on a continual basis Complies
Credit Risk
If securities owned by the City are downgraded by either Moody's, S&P, or Fitch, it shall be the City's policy to review immediately the credit situation and make a determination as to whether to sell or retain such securities in the portfolio. If a security is downgraded one notch below the quality required in the investment policy, it will be considered acceptable to retain such downgraded security in the portfolio and its presence in the portfolio will be reported to the City Council and be monitored on a continuous basis. If a security is rated two grades below the required minimum rating, it will trigger an automatic sale of such downgraded security Complies
Portfolio Maturities
Portfolio maturities shall be managed to avoid undue concentration in any specific maturity sector with at least 15% of the portfolio must be invested from 1 to 365 in this maturity sector; No more than 50% of portfolio be invested from 366 days to 730 days; No more than 35% of the portfolio be invested from 731 days to 1095 days; No more than 30% of the portfolio be invested from 1096 days to 1460 days; No more than 30% of the portfolio be invested from 1461 days to 1825 days Complies
Maximum Maturity 5 years max maturity Complies
City of Orange Consolidated
This portfolio is a consolidation of assets managed by Chandler Asset Management and assets managed internally by Client. Chandler relies on Client to provide accurate information for reporting assets and producing this compliance statement.
Compliance As of January 31, 2022
16 Portfolio Characteristics
City of Orange
01/31/22 12/31/21
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 2.61 3.01 3.10
Average Modified Duration 2.54 2.94 2.95
Average Purchase Yield n/a 0.71% 0.71%
Average Market Yield 1.25% 1.43% 1.03%
Average Quality** AAA AA/Aa1 AA/Aa1
Total Market Value 78,816,637 79,672,017
*ICE BofA 1-5 Yr US Treasury & Agency Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of January 31, 2022
17 City of Orange
Sector Distribution
Agency
74.5%
Corporate
21.6%
Money Market
Fund
0.2%
US Treasury
3.7%
January 31, 2022 December 31, 2021
Agency
74.5%
Corporate
21.7%
Money Market
Fund
0.2%
US Treasury
3.7%
As of January 31, 2022
18 Issue Name Investment Type % Portfolio
Federal National Mortgage Association Agency 27.96%
Federal Home Loan Bank Agency 23.59%
Federal Home Loan Mortgage Corp Agency 22.96%
HSBC Holdings PLC Corporate 7.97%
Toyota Motor Corp Corporate 6.12%
Coca Cola Co. Corporate 3.86%
Government of United States US Treasury 3.69%
Apple Inc Corporate 3.66%
First American Govt Oblig Fund Money Market Fund 0.20%
TOTAL 100.00%
Issuers
City of Orange – Account #10888
As of January 31, 2022
19 AAA AA A <A NR
01/31/22 0.2% 55.8% 17.9% 0.0% 26.0%
12/31/21 0.1% 55.9% 17.9% 0.0% 26.0%
Source: S&P Ratings
January 31, 2022 vs. December 31, 2021
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
AAA AA A <A NR
01/31/22 12/31/21
Quality Distribution
City of Orange
As of January 31, 2022
20 0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ City of Orange ICE BofA 1-5 Yr US Treasury & Agency Index Portfolio Compared to the Benchmark
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ Portfolio 0.2% 0.0% 0.0% 6.2% 48.6% 35.1% 9.9% 0.0%
Benchmark* 0.0% 0.0% 2.0% 35.7% 27.8% 19.0% 15.5% 0.0%
*ICE BofA 1-5 Yr US Treasury & Agency Index
Duration Distribution
City of Orange
As of January 31, 2022
21 0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
45.0%
50.0%
55.0%
60.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ January 31, 2022 December 31, 2021
January 31, 2022 vs. December 31, 2021
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ 01/31/22 0.2% 0.0% 0.0% 6.2% 48.6% 35.1% 9.9% 0.0%
12/31/21 0.1% 0.0% 0.0% 6.2% 53.5% 32.7% 7.4% 0.0%
City of Orange
Duration Distribution As of January 31, 2022
22 -1.10%
-1.05%
-1.00%
-0.95%
-0.90%
-0.85%
-0.80%
Since Inception
City of Orange ICE BofA 1-5 Yr US Treasury & Agency Index Total Rate of Return Since Inception December 31, 2021
TOTAL RATE OF RETURN Since Inception
City of Orange -1.07%
ICE BofA 1-5 Yr US Treasury & Agency Index -0.90%
Investment Performance
City of Orange
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.
As of January 31, 2022
23 Portfolio Characteristics
City of Orange LAIF Balances
01/31/22
Portfolio
12/31/21
Portfolio
Average Maturity (yrs) 0.00 0.00
Modified Duration 0.00 0.00
Average Purchase Yield 0.25% 0.22%
Average Market Yield 0.25% 0.22%
Average Quality* NR/NR NR/NR
Total Market Value 48,209,482 48,200,291
*Portfolio is S&P and Moody’s, respectively.
As of January 31, 2022
24 Portfolio Characteristics
City of Orange Bank Balances
01/31/22
Portfolio
12/31/21
Portfolio
Average Maturity (yrs) 0.00 0.00
Modified Duration 0.00 0.00
Average Purchase Yield 0.00% 0.00%
Average Market Yield 0.00% 0.00%
Average Quality* NR/NR NR/NR
Total Market Value 9,212,943 9,212,943
*Portfolio is S&P and Moody’s, respectively.
As of January 31, 2022
25 SECTION |
Section 3 |
Consolidated Information
26 Portfolio Characteristics
City of Orange Consolidated
01/31/22 12/31/21
Portfolio Portfolio
Average Maturity (yrs) 1.74 1.80
Modified Duration 1.70 1.72
Average Purchase Yield 0.50% 0.49%
Average Market Yield 0.91% 0.68%
Average Quality* AA/Aa1 AA/Aa1
Total Market Value 136,239,061 137,085,251
* Portfolio is S&P and Moody’s respectively.
As of January 31, 2022
27 City of Orange Consolidated
Sector Distribution
Agency
43.1%
Cash
6.8%
Corporate
12.5%
LAIF
35.4%
Money Market
Fund
0.1%
US Treasury
2.1%
January 31, 2022 December 31, 2021
Agency
43.3%
Cash
6.7%
Corporate
12.6%
LAIF
35.2%
Money Market
Fund
0.1%
US Treasury
2.2%
As of January 31, 2022
28 SECTION |
Section 4 |
Portfolio Holdings
29 Holdings Report
City of Orange - Account #10888
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
Agency
3135GABN0 FNMA Callable Note Qtlry 12/29/2021
0.280% Due 12/29/2023
5,000,000.00 12/29/2020
0.28%
5,000,000.00
5,000,000.00
98.29 1.19%
4,914,695.00
1,244.44
6.24%
(85,305.00)
Aaa / AA+
AAA
1.91 1.90
3130ALLM4 FHLB Callable Note Qtrly 6/28/2021
0.350% Due 03/28/2024
5,000,000.00 03/29/2021
0.37%
4,997,000.00
4,997,846.58
98.58 1.02%
4,929,140.00
5,979.17
6.26%
(68,706.58)
Aaa / AA+
NR
2.16 2.14
3134GWXC5 FHLMC Callable Note Qtrly 9/29/2021
0.350% Due 03/29/2024
5,000,000.00 12/10/2020
0.35%
5,000,000.00
5,000,000.00
98.11 1.24%
4,905,405.00
5,930.56
6.23%
(94,595.00)
Aaa / NR
AAA
2.16 2.14
3135GA4S7 FNMA Callable Note Qtrly 11/17/2022
0.375% Due 05/17/2024
5,000,000.00 11/20/2020
0.38%
5,000,000.00
5,000,000.00
98.36 1.10%
4,918,175.00
3,854.17
6.24%
(81,825.00)
Aaa / AA+
AAA
2.29 2.27
3135GA5Y3 FNMA Callable Note Qtrly 12/14/2021
0.375% Due 06/14/2024
5,000,000.00 12/14/2020
0.38%
5,000,000.00
5,000,000.00
97.91 1.27%
4,895,595.00
2,447.92
6.21%
(104,405.00)
Aaa / AA+
AAA
2.37 2.35
3134GWVE3 FHLMC Callable Note Qtrly 3/25/2021
0.400% Due 09/25/2024
4,575,000.00 11/19/2020
0.41%
4,573,627.50
4,574,056.04
97.36 1.42%
4,454,087.33
6,405.00
5.66%
(119,968.71)
Aaa / NR
AAA
2.65 2.62
3135GA4W8 FNMA Callable Note Qrtly 11/18/2022
0.500% Due 02/18/2025
5,000,000.00 11/20/2020
0.50%
5,000,000.00
5,000,000.00
97.04 1.50%
4,851,865.00
11,319.44
6.17%
(148,135.00)
Aaa / AA+
AAA
3.05 3.00
3130ANA42 FHLB Callable Note Qtrly 1/28/2022
0.650% Due 04/28/2025
4,000,000.00 07/28/2021
0.65%
4,000,000.00
4,000,000.00
97.38 1.48%
3,895,124.00
216.67
4.94%
(104,876.00)
Aaa / AA+
NR
3.24 3.19
3130AMBG6 FHLB Callable Note Qtrly 7/29/2021
0.750% Due 04/29/2025
5,000,000.00 05/04/2021
0.75%
5,000,000.00
5,000,000.00
97.56 1.52%
4,877,885.00
9,583.33
6.20%
(122,115.00)
Aaa / AA+
NR
3.24 3.06
3134GXFY5 FNMA Callable Note Qtrly 6/17/2021
0.500% Due 06/17/2025
2,500,000.00 12/17/2020
0.50%
2,500,000.00
2,500,000.00
97.36 1.30%
2,433,965.00
1,527.78
3.09%
(66,035.00)
Aaa / NR
AAA
3.38 3.33
3134GW3Z7 FHLMC Callable Note Qtrly 10/28/2021
0.600% Due 10/28/2025
9,000,000.00 10/28/2020
0.60%
9,000,000.00
9,000,000.00
96.75 1.50%
8,707,077.00
13,950.00
11.06%
(292,923.00)
Aaa / NR
AAA
3.74 3.67
3130ANDF4 FHLB Callable Note Annual 7/29/2022
0.900% Due 07/29/2026
5,000,000.00 07/29/2021
0.70%
5,010,000.00
5,004,876.71
97.44 1.49%
4,872,085.00
250.00
6.18%
(132,791.71)
Aaa / AA+
NR
4.49 4.38
TOTAL Agency 60,075,000.00 0.49%
60,080,627.50
60,076,779.33 1.34%
58,655,098.33
62,708.48
74.50%
(1,421,681.00)
Aaa / AA+
Aaa
2.92 2.86
Corporate
40434CAD7 HSBC USA Inc Note
3.500% Due 06/23/2024
6,000,000.00 12/10/2019
2.14%
6,349,800.00
6,184,294.15
104.27
1.67%
6,256,026.00
22,166.67
7.97%
71,731.85
A1 / A-
A+
2.39 2.29
191216CL2 Coca Cola Company Callable Note Cont 8/6/2024
1.750% Due 09/06/2024
3,000,000.00 09/20/2019
2.00%
2,964,750.00
2,981,568.12
100.75
1.44%
3,022,602.00
21,145.83
3.86%
41,033.88
A1 / A+
A
2.60 2.44
89236THP3 Toyota Motor Credit Corp Note
0.800% Due 10/16/2025
5,000,000.00 11/19/2020
0.70%
5,025,000.00
5,018,875.56
96.27 1.85%
4,813,280.00
11,666.67
6.12%
(205,595.56)
A1 / A+
A+
3.71 3.62
As of January 31, 2022
30 Holdings Report
City of Orange - Account #10888
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
037833EB2 Apple Inc Callable Note Cont 1/8/2026
0.700% Due 02/08/2026
3,000,000.00 02/08/2021
0.70%
2,999,730.00
2,999,782.94
95.91 1.76%
2,877,360.00
10,091.67
3.66%
(122,422.94)
Aaa / AA+
NR
4.02 3.92
TOTAL Corporate 17,000,000.00 1.44%
17,339,280.00
17,184,520.77 1.70%
16,969,268.00
65,070.84
21.61%
(215,252.77)
A1 / A+
A+
3.08 2.97
Money Market Fund
31846V203 First American Govt Obligation Fund Class Y 153,750.56 Various
0.01%
153,750.56
153,750.56
1.00 0.01%
153,750.56
0.00 0.20%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 153,750.56 0.01%
153,750.56
153,750.56 0.01%
153,750.56
0.00 0.20%
0.00 Aaa / AAA
Aaa
0.00 0.00
US Treasury
91282CCZ2 US Treasury Note
0.875% Due 09/30/2026
3,000,000.00 09/30/2021
1.01%
2,980,546.88
2,981,867.90
96.73 1.61%
2,901,798.00
8,942.31
3.69%
(80,069.90)
Aaa / AA+
AAA
4.67 4.53
TOTAL US Treasury 3,000,000.00 1.01%
2,980,546.88
2,981,867.90 1.61%
2,901,798.00
8,942.31
3.69%
(80,069.90)
Aaa / AA+
Aaa
4.67 4.53
TOTAL PORTFOLIO 80,228,750.56 0.71%
80,554,204.94
80,396,918.56 1.43%
78,679,914.89
136,721.63
100.00%
(1,717,003.67)
Aa1 / AA
Aaa
3.01 2.94
TOTAL MARKET VALUE PLUS ACCRUALS 78,816,636.52
As of January 31, 2022
31 Holdings Report
City of Orange LAIF Balances - Account #10895
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
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 48,200,000.00 12/31/2021
0.25%
48,200,000.00
48,200,000.00
1.00 0.25%
48,200,000.00
9,481.53
100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL LAIF 48,200,000.00 0.25%
48,200,000.00
48,200,000.00 0.25%
48,200,000.00
9,481.53
100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL PORTFOLIO 48,200,000.00 0.25%
48,200,000.00
48,200,000.00 0.25%
48,200,000.00
9,481.53
100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL MARKET VALUE PLUS ACCRUALS 48,209,481.53
As of January 31, 2022
32 Holdings Report
City of Orange Bank Balances - Account #10896
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
Cash
999WEL$12 Wells Fargo General Account 4,897.00 12/31/2021
0.00%
4,897.00
4,897.00
1.00 0.00%
4,897.00
0.00 0.05%
0.00 NR / NR
NR
0.00 0.00
999WEL$14 Wells Fargo Property Management 150,364.25 12/31/2021
0.00%
150,364.25
150,364.25
1.00 0.00%
150,364.25
0.00 1.63%
0.00 NR / NR
NR
0.00 0.00
999WEL$15 Wells Fargo Property Management 9,057,681.56 12/31/2021
0.00%
9,057,681.56
9,057,681.56
1.00 0.00%
9,057,681.56
0.00 98.31%
0.00 NR / NR
NR
0.00 0.00
TOTAL Cash 9,212,942.81 0.00%
9,212,942.81
9,212,942.81 0.00%
9,212,942.81
0.00 100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL PORTFOLIO 9,212,942.81 0.00%
9,212,942.81
9,212,942.81 0.00%
9,212,942.81
0.00 100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL MARKET VALUE PLUS ACCRUALS 9,212,942.81
As of January 31, 2022
33 Important Disclosures
2022 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential. Prices are provided by IDC, an independent pricing source. In the event IDC 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.
As of January 31, 2022
34 Benchmark Disclosures
ICE BofA 1-5 Yr US Treasury & Agency Index
The ICE BofA 1-5 Year US Treasury & Agency Index tracks the performance of US dollar denominated US Treasury and nonsubordinated US agency debt issued in the US domestic market. Qualifying securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch). Qualifying securities must have at least one year remaining term to final maturity and less than five years remaining term to final maturity, at least 18 months to maturity at time of issuance, a fixed coupon schedule, and a minimum amount outstanding of $1 billion for sovereigns and $250 million for agencies.
As of January 31, 2022
35