MONTHLY ACCOUNT STATEMENT
City of Orange - Account #10888
FEBRUARY 1, 2022 THROUGH FEBRUARY 28, 2022
Information contained herein is confidential. We urge you to compare this statement to the one you receive from your qualified custodian. Please see Important Disclosures.
CHANDLER
ASSET MANAGEMENT
chandlerasset.com
Chandler Team:
For questions about your account, please call (800) 317-4747, or contact
[email protected]
Custodian
US Bank
Ryan Morris
(503) 464-3685
ACCOUNT SUMMARY
Beg. Values
as of
1/31/22
End Values
as of
2/28/22
Market Value
78,679,915
78,225,930
Accrued Interest
136,722
168,099
Total Market Value
78,816,637
78,394,029
Income Earned
47,821
48,260
Cont/WD
0 Par
80,228,751
80,251,751
Book Value
80,396,919
80,413,801
Cost Value
80,554,205
80,577,206
TOP ISSUERS
Federal National Mortgage Assoc
27.9%
Federal Home Loan Bank
23.6%
Federal Home Loan Mortgage Corp
23.0%
HSBC Holdings PLC
7.9%
Toyota Motor Corp
6.2%
Coca Cola Co.
3.9%
Government of United States
3.7%
Apple Inc
3.7%
Total
99.8%
PORTFOLIO CHARACTERISTICS
Average Modified Duration
2.87 Average Coupon
0.82%
Average Purchase YTM
0.71%
Average Market YTM
1.67%
Average S&P/Moody Rating
AA/Aa1
Average Final Maturity
2.94 yrs
Average Life
2.93 yrs
CREDIT QUALITY (S&P)
MATURITY DISTRIBUTION
SECTOR ALLOCATION
Portfolio Summary
As of February 28, 2022
City of Orange
Account #10888
PERFORMANCE REVIEW
Annualized
TOTAL RATE OF RETURN
1M
3M
YTD
1YR
2YRS
3YRS
5YRS
10YRS
12/31/2021
City of Orange
-0.54%
N/A
-1.60%
N/A
N/A
N/A
N/A
N/A
N/A
ICE BofA 1-5 Yr US Treasury & Agency Index
-0.43%
N/A
-1.33%
N/A
N/A
N/A
N/A
N/A
N/A
Execution Time: 3/1/2022 11:30:26 PM
Chandler Asset Management - CONFIDENTIAL
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
Statement of Compliance
As of December 31, 2021
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.
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
BOOK VALUE RECONCILIATION
BEGINNING BOOK VALUE
$80,396,918.56
Acquisition
+ Security Purchases
$0.00
+ Money Market Fund Purchases
$23,000.61
+ Money Market Contributions
$0.00
+ Security Contributions
$0.00
+ Security Transfers
$0.00
Total Acquisitions
$23,000.61
Dispositions
- Security Sales
$0.00
- Money Market Fund Sales
$0.00
- MMF Withdrawals
$0.00
- Security Withdrawals
$0.00
- Security Transfers
$0.00
- Other Dispositions
$0.00
- Maturites
$0.00
- Calls
$0.00
- Principal Paydowns
$0.00
Total Dispositions
$0.00
Amortization/Accretion
+/- Net Accretion
($6,117.80)
($6,117.80)
Gain/Loss on Dispositions
+/- Realized Gain/Loss
$0.00
$0.00
ENDING BOOK VALUE
$80,413,801.37
CASH TRANSACTION SUMMARY
BEGINNING BALANCE
$153,750.56
Acquisition
Contributions
$0.00
Security Sale Proceeds
$0.00
Accrued Interest Received
$0.00
Interest Received
$23,000.00
Dividend Received
$0.61
Principal on Maturities
$0.00
Interest on Maturities
$0.00
Calls/Redemption (Principal)
$0.00
Interest from Calls/Redemption
$0.00
Principal Paydown
$0.00
Total Acquisitions
$23,000.61
Dispositions
Withdrawals
$0.00
Security Purchase
$0.00
Accrued Interest Paid
$0.00
Total Dispositions
$0.00
ENDING BOOK VALUE
$176,751.17
Reconciliation Summary
As of February 28, 2022
City of Orange
Account #10888
Execution Time: 3/1/2022 11:30:26 PM
Chandler Asset Management - CONFIDENTIAL
Holdings Report
As of February 28, 2022
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
0.28%
Due
12/29/2023
5,000,000.00
12/29/2020
0.28%
5,000,000.00
5,000,000.00
97.91 1.44%
4,895,575.00
2,411.11
6.25%
(
104,425.00
)
Aaa / AA+
AAA
1.83 1.82
3130ALLM4
FHLB Callable Note Qtrly
6/28/2021
0.35%
Due
3/28/2024
5,000,000.00
03/29/2021
0.37%
4,997,000.00
4,997,923.29
98.09 1.28%
4,904,710.00
7,437.50
6.27%
(
93,213.29
)
Aaa / AA+
NR
2.08 2.06
3134GWXC5
FHLMC Callable Note Qtrly
9/29/2021
0.35%
Due
3/29/2024
5,000,000.00
12/10/2020
0.35%
5,000,000.00
5,000,000.00
97.63 1.51%
4,881,660.00
7,388.89
6.24%
(
118,340.00
)
Aaa / NR
AAA
2.08 2.06
3135GA4S7
FNMA Callable Note Qtrly
11/17/2022
0.375%
Due
5/17/2024
5,000,000.00
11/20/2020
0.38%
5,000,000.00
5,000,000.00
97.85 1.36%
4,892,380.00
5,416.67
6.25%
(
107,620.00
)
Aaa / AA+
AAA
2.22 2.19
3135GA5Y3
FNMA Callable Note Qtrly
12/14/2021
0.375%
Due
6/14/2024
5,000,000.00
12/14/2020
0.38%
5,000,000.00
5,000,000.00
97.39 1.54%
4,869,460.00
4,010.42
6.22%
(
130,540.00
)
Aaa / AA+
AAA
2.29 2.27
3134GWVE3
FHLMC Callable Note Qtrly
3/25/2021
0.4%
Due
9/25/2024
4,575,000.00
11/19/2020
0.41%
4,573,627.50
4,574,083.37
96.79 1.68%
4,428,133.35
7,930.00
5.66%
(
145,950.02
)
Aaa / NR
AAA
2.58 2.54
3135GA4W8
FNMA Callable Note Qrtly
11/18/2022
0.5%
Due
2/18/2025
5,000,000.00
11/20/2020
0.50%
5,000,000.00
5,000,000.00
96.37 1.76%
4,818,610.00
902.78
6.15%
(
181,390.00
)
Aaa / AA+
AAA
2.98 2.93
3130ANA42
FHLB Callable Note Qtrly
1/28/2022
0.65%
Due
4/28/2025
4,000,000.00
07/28/2021
0.65%
4,000,000.00
4,000,000.00
96.67 1.74%
3,866,944.00
2,383.33
4.94%
(
133,056.00
)
Aaa / AA+
NR
3.16 3.10
3130AMBG6
FHLB Callable Note Qtrly
7/29/2021
0.75%
Due
4/29/2025
5,000,000.00
05/04/2021
0.75%
5,000,000.00
5,000,000.00
96.85 1.78%
4,842,610.00
12,708.33
6.19%
(
157,390.00
)
Aaa / AA+
NR
3.17 3.10
3134GXFY5
FNMA Callable Note Qtrly
6/17/2021
0.5%
Due
6/17/2025
2,500,000.00
12/17/2020
0.50%
2,500,000.00
2,500,000.00
96.64 1.55%
2,415,972.50
2,569.44
3.09%
(
84,027.50
)
Aaa / NR
AAA
3.30 3.25
3134GW3Z7
FHLMC Callable Note Qtrly
10/28/2021
0.6%
Due
10/28/2025
9,000,000.00
10/28/2020
0.60%
9,000,000.00
9,000,000.00
96.10 1.70%
8,649,423.00
18,450.00
11.06%
(
350,577.00
)
Aaa / NR
AAA
3.67 3.59
3130ANDF4
FHLB Callable Note Annual
7/29/2022
0.9%
Due
7/29/2026
5,000,000.00
07/29/2021
0.70%
5,010,000.00
5,004,109.59
96.66 1.69%
4,833,000.00
4,000.00
6.17%
(
171,109.59
)
Aaa / AA+
NR
4.42 4.30
Total Agency
60,075,000.00
0.49%
60,080,627.50
60,076,116.25
1.59%
58,298,477.85
75,608.47
74.46%
(
1,777,638.40
)
Aaa / AA+
AAA
2.84 2.80
CORPORATE
40434CAD7
HSBC USA Inc Note
3.5%
Due
6/23/2024
6,000,000.00
12/10/2019
2.14%
6,349,800.00
6,178,383.22
103.02
2.16%
6,181,236.00
39,666.67
7.94%
2,852.78
A
1 / A-
A+
2.32 2.21
191216CL2
Coca Cola Company Callable Note Cont
8/6/2024
1.75%
Due
9/6/2024
3,000,000.00
09/20/2019
2.00%
2,964,750.00
2,982,112.52
100.20
1.67%
3,006,000.00
25,520.83
3.87%
23,887.48
A
1 / A+
A
2.52 2.44
Execution Time: 3/1/2022 11:30:26 PM
Chandler Asset Management - CONFIDENTIAL
Holdings Report
As of February 28, 2022
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
CORPORATE
89236THP3
Toyota Motor Credit Corp Note
0.8%
Due
10/16/2025
5,000,000.00
11/19/2020
0.70%
5,025,000.00
5,018,484.93
96.18 1.89%
4,809,150.00
15,000.00
6.15%
(
209,334.93
)
A
1 / A+
A+
3.63 3.54
037833EB2
Apple Inc Callable Note Cont
1/8/2026
0.7%
Due
2/8/2026
3,000,000.00
02/08/2021
0.70%
2,999,730.00
2,999,787.08
95.61 1.86%
2,868,339.00
1,341.67
3.66%
(
131,448.08
)
Aaa / AA+
NR
3.95 3.86
Total Corporate
17,000,000.00
1.44%
17,339,280.00
17,178,767.75
1.94%
16,864,725.00
81,529.17
21.62%
(
314,042.75
)
A
1 / A+
A+
3.00 2.91
MONEY MARKET FUND
31846V203
First American Govt Obligation Fund
Class Y
176,751.17
Various
0.01%
176,751.17
176,751.17
1.00 0.01%
176,751.17
0.00 0.23%
0.00 Aaa / AAA
AAA
0.00 0.00
Total Money Market Fund
176,751.17
0.01%
176,751.17
176,751.17
0.01%
176,751.17
0.00 0.23%
0.00 Aaa / AAA
AAA
0.00 0.00
US TREASURY
91282CCZ2
US Treasury Note
0.875%
Due
9/30/2026
3,000,000.00
09/30/2021
1.01%
2,980,546.88
2,982,166.20
96.20 1.74%
2,885,976.00
10,961.54
3.70%
(
96,190.20
)
Aaa / AA+
AAA
4.59 4.45
Total US Treasury
3,000,000.00
1.01%
2,980,546.88
2,982,166.20
1.74%
2,885,976.00
10,961.54
3.70%
(
96,190.20
)
Aaa / AA+
AAA
4.59 4.45
TOTAL PORTFOLIO
80,251,751.17
0.71%
80,577,205.55
80,413,801.37
1.67%
78,225,930.02
168,099.18
100.00%
(
2,187,871.35
)
Aa
1 / AA
AAA
2.94 2.87
TOTAL MARKET VALUE PLUS ACCRUED
78,394,029.20
Execution Time: 3/1/2022 11:30:26 PM
Chandler Asset Management - CONFIDENTIAL
Transaction Ledger
As of February 28, 2022
City of Orange
Account #10888
Transaction
Type
Settlement
Date
CUSIP
Quantity
Security Description
Price
Acq/Disp
Yield
Amount
Interest
Pur/Sold
Total Amount
Gain/Loss
ACQUISITIONS
Purchase
02/01/2022
31846V203
0.61 First American Govt Obligation Fund
Class Y
1.000
0.01%
0.61 0.00
0.61 0.00
Purchase
02/08/2022
31846V203
10,500.00
First American Govt Obligation Fund
Class Y
1.000
0.01%
10,500.00
0.00 10,500.00
0.00 Purchase
02/18/2022
31846V203
12,500.00
First American Govt Obligation Fund
Class Y
1.000
0.01%
12,500.00
0.00 12,500.00
0.00 Subtotal
23,000.61
23,000.61
0.00 23,000.61
0.00 TOTAL ACQUISITIONS
23,000.61
23,000.61
0.00 23,000.61
0.00 OTHER TRANSACTIONS
Interest
02/08/2022
037833EB2
3,000,000.00
Apple Inc Callable Note Cont
1/8/2026
0.7%
Due
2/8/2026
0.000
10,500.00
0.00 10,500.00
0.00 Interest
02/18/2022
3135GA4W8
5,000,000.00
FNMA Callable Note Qrtly
11/18/2022
0.5%
Due
2/18/2025
0.000
12,500.00
0.00 12,500.00
0.00 Subtotal
8,000,000.00
23,000.00
0.00 23,000.00
0.00 Dividend
02/01/2022
31846V203
153,750.56
First American Govt Obligation Fund
Class Y
0.000
0.61 0.00
0.61 0.00
Subtotal
153,750.56
0.61 0.00
0.61 0.00
TOTAL OTHER TRANSACTIONS
8,153,750.56
23,000.61
0.00 23,000.61
0.00 Execution Time: 3/1/2022 11:30:26 PM
Chandler Asset Management - CONFIDENTIAL
Income Earned
As of February 28, 2022
City of Orange
Account #10888
CUSIP
Security Description
Trade Date
Settle Date
Units
Book Value: Begin
Book Value: Acq
Book Value: Disp
Book Value: End
Prior Accrued
Inc. Received
Ending Accrued
Total Interest
Accr. Of Discount
Amort. Of Premium
Net Accret/Amort
Income Earned
Total Income
FIXED INCOME
037833EB2
Apple Inc
Callable Note Cont
1/8/2026
0.7%
Due
02/08/2026
02/08/2021
02/08/2021
3,000,000.00
2,999,782.94
0.00 0.00
2,999,787.08
10,091.67
10,500.00
1,341.67
1,750.00
4.14 0.00
4.14 1,754.14
1,754.14
191216CL2
Coca Cola Company
Callable Note Cont
8/6/2024
1.75%
Due
09/06/2024
09/20/2019
09/20/2019
3,000,000.00
2,981,568.12
0.00 0.00
2,982,112.52
21,145.83
0.00 25,520.83
4,375.00
544.40
0.00 544.40
4,919.40
4,919.40
3130ALLM4
FHLB
Callable Note Qtrly
6/28/2021
0.35%
Due
03/28/2024
03/29/2021
03/29/2021
5,000,000.00
4,997,846.58
0.00 0.00
4,997,923.29
5,979.17
0.00 7,437.50
1,458.33
76.71 0.00
76.71 1,535.04
1,535.04
3130AMBG6
FHLB
Callable Note Qtrly
7/29/2021
0.75%
Due
04/29/2025
05/04/2021
05/04/2021
5,000,000.00
5,000,000.00
0.00 0.00
5,000,000.00
9,583.33
0.00 12,708.33
3,125.00
0.00 0.00
0.00 3,125.00
3,125.00
3130ANA42
FHLB
Callable Note Qtrly
1/28/2022
0.65%
Due
04/28/2025
07/28/2021
07/28/2021
4,000,000.00
4,000,000.00
0.00 0.00
4,000,000.00
216.67
0.00 2,383.33
2,166.66
0.00 0.00
0.00 2,166.66
2,166.66
3130ANDF4
FHLB
Callable Note Annual
7/29/2022
0.9%
Due
07/29/2026
07/29/2021
07/29/2021
5,000,000.00
5,004,876.71
0.00 0.00
5,004,109.59
250.00
0.00 4,000.00
3,750.00
0.00 767.12
(
767.12
)
2,982.88
2,982.88
3134GW3Z7
FHLMC
Callable Note Qtrly
10/28/2021
0.6%
Due
10/28/2025
10/28/2020
10/28/2020
9,000,000.00
9,000,000.00
0.00 0.00
9,000,000.00
13,950.00
0.00 18,450.00
4,500.00
0.00 0.00
0.00 4,500.00
4,500.00
3134GWVE3
FHLMC
Callable Note Qtrly
3/25/2021
0.4%
Due
09/25/2024
11/19/2020
11/19/2020
4,575,000.00
4,574,056.04
0.00 0.00
4,574,083.37
6,405.00
0.00 7,930.00
1,525.00
27.33 0.00
27.33 1,552.33
1,552.33
3134GWXC5
FHLMC
Callable Note Qtrly
9/29/2021
0.35%
Due
03/29/2024
12/10/2020
12/10/2020
5,000,000.00
5,000,000.00
0.00 0.00
5,000,000.00
5,930.56
0.00 7,388.89
1,458.33
0.00 0.00
0.00 1,458.33
1,458.33
Execution Time: 3/1/2022 11:30:26 PM
Chandler Asset Management - CONFIDENTIAL
Income Earned
As of February 28, 2022
City of Orange
Account #10888
CUSIP
Security Description
Trade Date
Settle Date
Units
Book Value: Begin
Book Value: Acq
Book Value: Disp
Book Value: End
Prior Accrued
Inc. Received
Ending Accrued
Total Interest
Accr. Of Discount
Amort. Of Premium
Net Accret/Amort
Income Earned
Total Income
3134GXFY5
FNMA
Callable Note Qtrly
6/17/2021
0.5%
Due
06/17/2025
12/17/2020
12/17/2020
2,500,000.00
2,500,000.00
0.00 0.00
2,500,000.00
1,527.78
0.00 2,569.44
1,041.66
0.00 0.00
0.00 1,041.66
1,041.66
3135GA4S7
FNMA
Callable Note Qtrly
11/17/2022
0.375%
Due
05/17/2024
11/20/2020
11/20/2020
5,000,000.00
5,000,000.00
0.00 0.00
5,000,000.00
3,854.17
0.00 5,416.67
1,562.50
0.00 0.00
0.00 1,562.50
1,562.50
3135GA4W8
FNMA
Callable Note Qrtly
11/18/2022
0.5%
Due
02/18/2025
11/20/2020
11/20/2020
5,000,000.00
5,000,000.00
0.00 0.00
5,000,000.00
11,319.44
12,500.00
902.78
2,083.34
0.00 0.00
0.00 2,083.34
2,083.34
3135GA5Y3
FNMA
Callable Note Qtrly
12/14/2021
0.375%
Due
06/14/2024
12/14/2020
12/14/2020
5,000,000.00
5,000,000.00
0.00 0.00
5,000,000.00
2,447.92
0.00 4,010.42
1,562.50
0.00 0.00
0.00 1,562.50
1,562.50
3135GABN0
FNMA
Callable Note Qtlry
12/29/2021
0.28%
Due
12/29/2023
12/29/2020
12/29/2020
5,000,000.00
5,000,000.00
0.00 0.00
5,000,000.00
1,244.44
0.00 2,411.11
1,166.67
0.00 0.00
0.00 1,166.67
1,166.67
40434CAD7
HSBC USA Inc
Note
3.5%
Due
06/23/2024
12/10/2019
12/10/2019
6,000,000.00
6,184,294.15
0.00 0.00
6,178,383.22
22,166.67
0.00 39,666.67
17,500.00
0.00 5,910.93
(
5,910.93
)
11,589.07
11,589.07
89236THP3
Toyota Motor Credit Corp
Note
0.8%
Due
10/16/2025
11/19/2020
11/19/2020
5,000,000.00
5,018,875.56
0.00 0.00
5,018,484.93
11,666.67
0.00 15,000.00
3,333.33
0.00 390.63
(
390.63
)
2,942.70
2,942.70
91282CCZ2
US Treasury
Note
0.875%
Due
09/30/2026
09/30/2021
09/30/2021
3,000,000.00
2,981,867.90
0.00 0.00
2,982,166.20
8,942.31
0.00 10,961.54
2,019.23
298.30
0.00 298.30
2,317.53
2,317.53
Total Fixed Income
80,075,000.00
80,243,168.00
0.00 0.00
80,237,050.20
136,721.63
23,000.00
168,099.18
54,377.55
950.88
7,068.68
(
6,117.80
)
48,259.75
48,259.75
Execution Time: 3/1/2022 11:30:26 PM
Chandler Asset Management - CONFIDENTIAL
Income Earned
As of February 28, 2022
City of Orange
Account #10888
CUSIP
Security Description
Trade Date
Settle Date
Units
Book Value: Begin
Book Value: Acq
Book Value: Disp
Book Value: End
Prior Accrued
Inc. Received
Ending Accrued
Total Interest
Accr. Of Discount
Amort. Of Premium
Net Accret/Amort
Income Earned
Total Income
CASH & EQUIVALENT
31846V203
First American
Govt Obligation Fund Class Y
Various
Various
176,751.17
153,750.56
23,000.61
0.00 176,751.17
0.00 0.61
0.00 0.61
0.00 0.00
0.00 0.61
0.61 Total Cash & Equivalent
176,751.17
153,750.56
23,000.61
0.00 176,751.17
0.00 0.61
0.00 0.61
0.00 0.00
0.00 0.61
0.61 TOTAL PORTFOLIO
80,251,751.17
80,396,918.56
23,000.61
0.00 80,413,801.37
136,721.63
23,000.61
168,099.18
54,378.16
950.88
7,068.68
(
6,117.80
)
48,260.36
48,260.36
Execution Time: 3/1/2022 11:30:26 PM
Chandler Asset Management - CONFIDENTIAL
Cash Flow Report
As of February 28, 2022
City of Orange
Account #10888
Payment Date
Transaction Type
CUSIP
Quantity
Security Description
Principal Amount
Income
Total Amount
03/06/2022
Interest
191216CL2
3,000,000.00
Coca Cola Company Callable Note Cont
8/6/2024
1.75%
Due
9/6/2024
0.00 26,250.00
26,250.00
03/25/2022
Interest
3134GWVE3
4,575,000.00
FHLMC Callable Note Qtrly
3/25/2021
0.4%
Due
9/25/2024
0.00 9,150.00
9,150.00
03/28/2022
Interest
3130ALLM4
5,000,000.00
FHLB Callable Note Qtrly
6/28/2021
0.35%
Due
3/28/2024
0.00 8,750.00
8,750.00
03/29/2022
Interest
3134GWXC5
5,000,000.00
FHLMC Callable Note Qtrly
9/29/2021
0.35%
Due
3/29/2024
0.00 8,750.00
8,750.00
03/31/2022
Interest
91282CCZ2
3,000,000.00
US Treasury Note
0.875%
Due
9/30/2026
0.00 13,125.00
13,125.00
MAR 2022
0.00 66,025.00
66,025.00
04/16/2022
Interest
89236THP3
5,000,000.00
Toyota Motor Credit Corp Note
0.8%
Due
10/16/2025
0.00 20,000.00
20,000.00
04/28/2022
Interest
3134GW3Z7
9,000,000.00
FHLMC Callable Note Qtrly
10/28/2021
0.6%
Due
10/28/2025
0.00 27,000.00
27,000.00
04/29/2022
Interest
3130AMBG6
5,000,000.00
FHLB Callable Note Qtrly
7/29/2021
0.75%
Due
4/29/2025
0.00 18,750.00
18,750.00
APR 2022
0.00 65,750.00
65,750.00
05/17/2022
Interest
3135GA4S7
5,000,000.00
FNMA Callable Note Qtrly
11/17/2022
0.375%
Due
5/17/2024
0.00 9,375.00
9,375.00
MAY 2022
0.00 9,375.00
9,375.00
06/14/2022
Interest
3135GA5Y3
5,000,000.00
FNMA Callable Note Qtrly
12/14/2021
0.375%
Due
6/14/2024
0.00 9,375.00
9,375.00
06/17/2022
Interest
3134GXFY5
2,500,000.00
FNMA Callable Note Qtrly
6/17/2021
0.5%
Due
6/17/2025
0.00 6,250.00
6,250.00
06/23/2022
Interest
40434CAD7
6,000,000.00
HSBC USA Inc Note
3.5%
Due
6/23/2024
0.00 105,000.00
105,000.00
06/29/2022
Interest
3135GABN0
5,000,000.00
FNMA Callable Note Qtlry
12/29/2021
0.28%
Due
12/29/2023
0.00 7,000.00
7,000.00
JUN 2022
0.00 127,625.00
127,625.00
07/28/2022
Call
3130ANA42
4,000,000.00
FHLB Callable Note Qtrly
1/28/2022
0.65%
Due
4/28/2025
4,000,000.00
13,000.00
4,013,000.00
Execution Time: 3/1/2022 11:30:26 PM
Chandler Asset Management - CONFIDENTIAL
Cash Flow Report
As of February 28, 2022
City of Orange
Account #10888
Payment Date
Transaction Type
CUSIP
Quantity
Security Description
Principal Amount
Income
Total Amount
07/29/2022
Call
3130ANDF4
5,000,000.00
FHLB Callable Note Annual
7/29/2022
0.9%
Due
7/29/2026
5,000,000.00
22,500.00
5,022,500.00
JUL 2022
9,000,000.00
35,500.00
9,035,500.00
08/08/2022
Interest
037833EB2
3,000,000.00
Apple Inc Callable Note Cont
1/8/2026
0.7%
Due
2/8/2026
0.00 10,500.00
10,500.00
08/18/2022
Interest
3135GA4W8
5,000,000.00
FNMA Callable Note Qrtly
11/18/2022
0.5%
Due
2/18/2025
0.00 12,500.00
12,500.00
AUG 2022
0.00 23,000.00
23,000.00
09/06/2022
Interest
191216CL2
3,000,000.00
Coca Cola Company Callable Note Cont
8/6/2024
1.75%
Due
9/6/2024
0.00 26,250.00
26,250.00
09/25/2022
Interest
3134GWVE3
4,575,000.00
FHLMC Callable Note Qtrly
3/25/2021
0.4%
Due
9/25/2024
0.00 9,150.00
9,150.00
09/28/2022
Interest
3130ALLM4
5,000,000.00
FHLB Callable Note Qtrly
6/28/2021
0.35%
Due
3/28/2024
0.00 8,750.00
8,750.00
09/29/2022
Interest
3134GWXC5
5,000,000.00
FHLMC Callable Note Qtrly
9/29/2021
0.35%
Due
3/29/2024
0.00 8,750.00
8,750.00
09/30/2022
Interest
91282CCZ2
3,000,000.00
US Treasury Note
0.875%
Due
9/30/2026
0.00 13,125.00
13,125.00
SEP 2022
0.00 66,025.00
66,025.00
10/16/2022
Interest
89236THP3
5,000,000.00
Toyota Motor Credit Corp Note
0.8%
Due
10/16/2025
0.00 20,000.00
20,000.00
10/28/2022
Interest
3134GW3Z7
9,000,000.00
FHLMC Callable Note Qtrly
10/28/2021
0.6%
Due
10/28/2025
0.00 27,000.00
27,000.00
10/29/2022
Interest
3130AMBG6
5,000,000.00
FHLB Callable Note Qtrly
7/29/2021
0.75%
Due
4/29/2025
0.00 18,750.00
18,750.00
OCT 2022
0.00 65,750.00
65,750.00
11/17/2022
Interest
3135GA4S7
5,000,000.00
FNMA Callable Note Qtrly
11/17/2022
0.375%
Due
5/17/2024
0.00 9,375.00
9,375.00
NOV 2022
0.00 9,375.00
9,375.00
12/14/2022
Interest
3135GA5Y3
5,000,000.00
FNMA Callable Note Qtrly
12/14/2021
0.375%
Due
6/14/2024
0.00 9,375.00
9,375.00
Execution Time: 3/1/2022 11:30:26 PM
Chandler Asset Management - CONFIDENTIAL
Cash Flow Report
As of February 28, 2022
City of Orange
Account #10888
Payment Date
Transaction Type
CUSIP
Quantity
Security Description
Principal Amount
Income
Total Amount
12/17/2022
Interest
3134GXFY5
2,500,000.00
FNMA Callable Note Qtrly
6/17/2021
0.5%
Due
6/17/2025
0.00 6,250.00
6,250.00
12/23/2022
Interest
40434CAD7
6,000,000.00
HSBC USA Inc Note
3.5%
Due
6/23/2024
0.00 105,000.00
105,000.00
12/29/2022
Interest
3135GABN0
5,000,000.00
FNMA Callable Note Qtlry
12/29/2021
0.28%
Due
12/29/2023
0.00 7,000.00
7,000.00
DEC 2022
0.00 127,625.00
127,625.00
02/08/2023
Interest
037833EB2
3,000,000.00
Apple Inc Callable Note Cont
1/8/2026
0.7%
Due
2/8/2026
0.00 10,500.00
10,500.00
02/18/2023
Interest
3135GA4W8
5,000,000.00
FNMA Callable Note Qrtly
11/18/2022
0.5%
Due
2/18/2025
0.00 12,500.00
12,500.00
FEB 2023
0.00 23,000.00
23,000.00
TOTAL
9,000,000.00
619,050.00
9,619,050.00
Execution Time: 3/1/2022 11:30:26 PM
Chandler Asset Management - CONFIDENTIAL
Important Disclosures
City of Orange
Account #10888
Chandler Asset Management, Inc.
;͞
Chandler
͟Ϳ
is an SEC registered investment adviser. For additional information about our firm, please see our current disclosures (Form ADV). To obtain a copy of our current disclosures, you may contact your client service representative by calling the number on the front of this statement or you may visit our website at www.chandlerasset.com.
Information contained in this monthly statement is confidential and is provided for informational purposes only and should not be construed as specific investment or legal advice. The information contained herein was obtained from sources believed to be reliable as of the date of this statement, but may become outdated or superseded at any time without notice.
Custody:
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.
Valuation:
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:
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.
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 IS AT LICENSEE'S OWN RISK. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY DO NOT SPONSOR, ENDORSE, OR RECOMMEND CHANDLER, OR ANY OF ITS PRODUCTS OR SERVICES.
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.
Ratings:
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
͟Ϳ
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.
Execution Time: 3/1/2022 11:30:26 PM
Chandler Asset Management - CONFIDENTIAL
Benchmark Index & Disclosures
City of Orange
Account #10888
Benchmark Index
Disclosure
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.
Execution Time: 3/1/2022 11:30:26 PM
Chandler Asset Management - CONFIDENTIAL