CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending September 30, 2023
City of Orange
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Consolidated Information
SECTION 4 Portfolio Holdings
SECTION 5 Transactions
Table of Contents As of September 30, 2023
1 SECTION |
Section 1 |
Economic Update
2 Economic Update
Recent economic da ta continues to suggest positive but below trend growth this year. Labor markets remain solid, and the U.S. consumer has demonstrated resiliency. Inflationary trends are subsiding, but core levels remain well above the Fed’s target. Given the cumulative effects of restrictive monetarypolicy and tighter financial conditions, we believe the economy will gradually soften and the Fed will remain data dependent as they tread cautiously going forward.
As anticipated at t he September meeting, the Federal Open Market Committee voted unanimously to maintain the target Federal Funds at the range of 5.25 - 5.50%. The Fed’s Summaryof Economic Projections (SEP) also revealed expectations of higher economic growth, reduced unemployment, and a gradual easing of inflation compared to earlier forecasts. The Fed is continuing to focus on achieving price stability and bringing inflation down towardtheir 2% policy objective, while leaving the option open for the possibility of additional rate hikes in the future if needed.
The yield c urve remained inverted in September. The 2-year Treasury yield increased 18 basis points to 5.05%, the 5-year Treasury yield rose 36 basis points to 4.61%, and the 10-year Treasury yield increased 46 basis points to 4.57%. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -48 basis points at September month-end versus -76 basis points at August month- end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -45 basis points. The inversion between 3-month and 10-year Treasuries narrowed to -88 basis points in Septemberfrom -134 basis points in August. The shape of the yield curve indicates that the probability of recession persists.
3 Employment
-400
-200
0 200
400
600
800
1,000MOM Change In Thousands (000's)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Rate (%)
The U.S. economy added 336,000 jobs in September, exceeding consensus expectations of 170,000, and the last two months were revised upward by 119,000 jobs. The largest gains came from leisure and hospitality, bringing restaurant and bar employment back in-line with pre-pandemic levels. The pace of job growth has picked up recently, with the three-monthmoving average payrolls at 266,000 and the six- month moving average at 234,000. The unemployment rate was unchanged at 3.8%, and the labor participation rate was consistent with last month’s report at 62.8%. The U-6 underemploymentrate, which includes those who are marginally attached to the labor force and employed part time for economic reasons declined slightly to 7.0% from the prior month at 7.1%. Average hourly earnings declined to
4.2% year-over-year in September from 4.3% in August. Employment remains strong by historical standards.
Source: US Department of Labor Source: US Department of Labor 4 Job Openings & Labor Turnover Survey
0 2,000
4,000
6,000
8,000
10,000
12,000
14,000
Job Openings
Recession
Historical Average
In Thousands (000's)
The Labor Department’s Job Openings and Labor Turnover Survey (JOLTS) unexpectedly increased to 9.61 million in August from a revised
8.92 million in July. The level significantly surpassed the survey of Bloomberg economists’ expectations of 8.82 million and reflects approximately 1.5 job openings per available worker. Although JOLTS was an upside surprise, the quits rate remained at a benign 2.3% for August, well below its 3.0% peak in April 2022. Fewer quits can imply that workers are less confident in their ability to find another job in the current market. The current level of job openings remains elevated from a historical perspective.
Source: US Department of Labor
5 Inflation
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YOY (%) Change
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Cor e Deflator Y OY % Change
Fed Target
YOY (%) Change
The Consumer Price Index (CPI) increased in August by 0.6% month-over-month and 3.7% year-over-year, accelerating from 3.2% year-over- year in July due to surging energy prices. The Core CPI, which excludes volatile food and energy components, was up 0.3% month-over- month and 4.3% year-over-year, decelerating from 4.7% last month. Shelter remained the largest contributor to the Core CPI increase. The Personal Consumption Expenditures (PCE) index rose 0.4% month-over-monthand 3.5% year-over-year in August, up from a 3.4% year- over-year gain in July. Core PCE, the Federal Reserve’s preferred inflation gauge, increased just 0.1% month-over-monthand 3.9% year- over-year in August, down from a 4.3% increase in July. Personal income and spending remained relatively healthy, but the personal savings rate continued its declining trend to 3.9% in August from 4.1% in July. Inflation remains above the Fed's 2% target.
Source: US Department of Labor Source: US Department of Commerce 6 Consumer
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Retail Sales YOY % Change
YOY (%) Change
Retail Sales r ose 0.6% in August, exceeding the consensus forecast. Sales of motor vehicles and higher gasoline prices drove greater than expected gains. However, Control Group Sales, which are used to calculate gross domestic product and exclude food services, auto dealers, building materials stores and gasoline stations, rose just 0.1%, the smallest advance in five months. On a year-over-year basis, retail sales growth decelerated to a 2.5% gain in August versus a downwardly revised 2.6% gain in July. The Conference Board’s Consumer Confidence Index dropped more than expected to 103.0 in Septemberfrom an upwardly revised 108.7 in August, primarily due to significantly weaker future expectations for employment. While the consumer has been resilient, dwindling excess savings, rising credit card balances, and the resumption of student loan payments pose potential headwinds to future economic growth. 80 90
100
110
120
130
140
Index Level
Consumer Confidence
Source: US Department of Commerce Source: The Conference Board 7 Leading Indicators of Economic Activity
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Leading Economic Indicators (LEI)
Recession
YOY (%) Change
-1.00
-0.75
-0.50
-0.25
0.00 0.25
0.50 0.75
1.00 Chicago Fed National Activity Index (CFNAI)
Recession
3 Month Average
The Conference Board’s Leading Economic Index (LEI) remained in negative territory for the seventeenth consecutive month at -0.4% in August due to weak new orders, deteriorating consumer expectations of business conditions, high interest rates, and tight credit conditions. The index declined 7.6% year-over-year. The consistent decline month-over-month continues to signal future contraction in the economy. The Chicago Fed National Activity Index (CFNAI) surprised to the downside at -0.16 in August from downwardlyrevised 0.07 in July. On a 3-month movingaverage basis, the CFNAI remained negative at -0.14 in August, indicating a rate of growth below the historical average trend.
Source: The Conference Board Source: Federal Reserve Bank of Chicago 8 Housing
0 200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
2,200
2,400In Thousands of Units
Annualized Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
Starts of ne w homes slowed -11.3% to 1.283 million units at a seasonally adjusted annual rate in August after a downward revision to
1.447 million units in July. The slower starts came from both a 4.3% decline in single-family home starts and 26.3% decline in multi-family homes, continuing the reversal of strong multi-family homebuilding in the second half of 2022 and early 2023. Total starts of new homes are down 14.8% year-over-year. According to Freddie Mac, average 30-year fixed rate mortgage rates increased to 7.35% as of September 28th. Rising mortgage rates are prompting homebuilders to offer incentives to attract buyers and has caused homebuilder sentiment to reach a five-month low. According to the Case-Shiller 20-City Home Price Index, housing prices rose 0.1% year-over-year in July, improving from a 1.2% decline in June. Tight inventories and higher mortgage rates continue to impact affordability.
Source: US Department of Commerce Source: S&P
-20.0%
-16.0%
-12.0%
-8.0%
-4.0%
0.0%
4.0%
8.0%
12.0%
16.0%
20.0%
24.0%
S&P/Case-Shiller 20 City Composite Home Price Index
Recession
YOY (%) Change
9 Survey Based Measures
40 45
50 55
60 65
70 Institute of Supply Management (ISM) Surveys
ISM Manufacturing ISM Services
EXPANDING
CONTRACTING
The Institute for Supply Management (ISM) Manufacturing index remained in contraction territory at 49.0 in September, up from 47.6 in August. This is the eleventh consecutive month of readings below 50.0, which is indicative of contraction in the manufacturing sector.
However, this is the highest reading since November 2022, as both employment and new orders improved, while prices paid subsided.
The ISM Services Index eased to 53.6 in September from the six-month high of 54.5 in August. The prices paid component continued to grow primarily due to high labor costs and an uptick in energy costs, but new orders reflected a significant slowdown.
Source: Institute for Supply Management
10 Gross Domestic Product (GDP)
Components of GDP 9/22 12/22 3/23 6/23
1.1% 0.8% 2.5% 0.6%
-1.5% 0.6% -1.7% 0.9%
2.6% 0.3% 0.6% 0.0%
0.1% 0.6% 0.3% 0.1%
0.4% 0.3% 0.5% 0.5%
2.7% 2.6% 2.3% 2.1%
State and Local (Consumption and Gross
Investment)
Personal Consumption Expenditures
Gross Private Domestic Investment
Net Exports and Imports
Federal Government Expenditures
Total
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Source: US Department of Commerce Source: US Department of Commerce According to the third estimate, second quarter annualized GDP growth remained unchanged at 2.1%. A material decline in consumer spending was offset by improvement in business investment. Historically low unemployment, wage growth and savings built up during the pandemic has supported consumer spending at a level to keep economic growth intact, but there are signs the consumer is beginning to show signs of stress. The consensus estimate calls for 3.0% growth for the third quarter and 2.1% for the full year 2023. 11 Federal Reserve
Source: Federal Reserve Source: Bloomberg
0 1,000,000
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000
10,000,000
Federal Reserve Balance Sheet Assets
R ec ession
In $ millions
At the S eptember meeting, the Federal Open Market Committee voted unanimously to leave the Federal Funds rate unchanged at a target range of 5.25 - 5.50%. Nonetheless, the Fed conveyed a consensus view that another rate hike is possible later in the year, along with its commitmentto keeping rates at their current level until inflation subsides closer to its 2% target, endorsing a data-dependent'higher-for- longer' strategy. The Fed’s Summary of Economic Projections (SEP) also revealed expectations of higher economic growth, reduced unemployment, and a gradual easing of inflation compared to earlier forecasts. We believe the resiliency of future economic data will determine if the Federal Reserve can stay on hold for or will tighten policy further to curb inflation. Since the Federal Reserve began its Quantitative Tightening campaign in June 2022, securities holdings have declined by over $1 trillion to $8.024T.
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Effective Federal Funds Rate
R ec ession
Yield (%)
12 Bond Yields
Source: Bloomberg Source: Bloomberg
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yield (%)
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Yield Curve
Sep-23
Jun-23
Sep-22
Yield (%)
At the end of September, the 2-year Treasury yield was 77 basis points higher, and the 10-Year Treasury yield was about 74 basis points higher, year-over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -48 basis points at September month-end versus -76 basis points at August month-end. The average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10-year Treasuries narrowed to -88 basis points in September from -134 basis points in August. The shape of the yield curve indicates that the probability of recession persists. 13 Section 2|SECTION |
Section 2 |
Account Profile
14 Objectives
Chandler Asset Management Performance Objective
The performance objective for the portfolio is to achieve a rate of return over a market cycle that equals or exceeds the return on a market index of similar duration and sector allocation.
Investment Objectives
The investment objectives of the City of Orange are first, to provide safety of principal to ensure the preservation of capital in the overall portfolio; second, to provide adequate liquidity to meet all requirements which might be reasonably anticipated; and third, to earn a commensurate rate of return.
Strategy
In order to achieve these objectives, the portfolio invests in high quality fixed income securities consistent with the investment policy and California Government Code.
As of September 30, 2023
15 Compliance As of September 30, 2023
16 Compliance As of September 30, 2023
17 Portfolio Characteristics
City of Orange
09/30/23 06/30/23
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 2.65 2.07 1.80
Average Modified Duration 2.49 1.84 1.66
Average Purchase Yield n/a 1.87% 1.78%
Average Market Yield 4.98% 5.39% 5.13%
Average Quality** AA+ AA/Aa1 AA/Aa1
Total Market Value 96,521,701 95,976,812
*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 September 30, 2023
18 City of Orange
Sector Distribution
ABS
3.7%
Agency
60.5%
Corporate
24.9%
Money Market
Fund
0.1%
US Treasury
6.6%
Commercial
Paper
0.4%
Supranational
3.8%
September 30, 2023 June 30, 2023
ABS
1.3%
Agency
58.9%
Corporate
24.5%
Money Market
Fund
10.6%
US Treasury
4.8%
As of September 30, 2023
19 Issue Name Investment Type % Portfolio
Federal Home Loan Bank Agency 22.39%
Federal National Mortgage Association Agency 16.23%
Federal Home Loan Mortgage Corp Agency 15.74%
Government of United States US Treasury 6.63%
Federal Farm Credit Bank Agency 6.17%
Toyota Motor Corp Corporate 4.73%
HSBC Holdings PLC Corporate 3.08%
Coca Cola Co. Corporate 3.00%
Apple Inc Corporate 2.81%
Intl Bank Recon and Development Supranational 1.98%
Inter-American Dev Bank Supranational 1.78%
American Express ABS ABS 1.45%
Bank of America Corp Corporate 1.26%
Caterpillar Inc Corporate 1.26%
JP Morgan Chase & Co Corporate 1.23%
JP Morgan ABS ABS 1.10%
Royal Bank of Canada Corporate 1.02%
Bank of Montreal Chicago Corporate 1.00%
Bank of New York Corporate 0.98%
Paccar Financial Corporate 0.92%
United Health Group Inc Corporate 0.82%
Deere & Company Corporate 0.81%
Morgan Stanley Corporate 0.79%
National Rural Utilities Corporate 0.52%
Union Pacific Corp Corporate 0.48%
MUFG Bank Ltd/NY Commercial Paper 0.41%
John Deere ABS ABS 0.41%
Verizon Master Trust ABS 0.22%
Honda ABS ABS 0.22%
Pepsico Inc Corporate 0.20%
BMW ABS ABS 0.20%
BMW Vehicle Lease Trust ABS 0.10%
First American Govt Oblig Fund Money Market Fund 0.08%
TOTAL 100.00%
Issuers
City of Orange – Account #10888
As of September 30, 2023
20 AAA AA A <A NR
09/30/23 6.9% 54.6% 22.1% 0.0% 16.4%
06/30/23 11.2% 48.5% 21.7% 0.0% 18.6%
Source: S&P Ratings
September 30, 2023 vs. June 30, 2023
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
AAA AA A <A NR
09/30/23 06/30/23
Quality Distribution
City of Orange
As of September 30, 2023
21 0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
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 2.5% 7.8% 21.9% 25.6% 28.4% 8.0% 5.9% 0.0%
Benchmark* 0.0% 0.0% 1.6% 35.9% 27.1% 20.7% 14.6% 0.0%
*ICE BofA 1-5 Yr US Treasury & Agency Index
Duration Distribution
City of Orange
As of September 30, 2023
22 -3.00%
-2.50%
-2.00%
-1.50%
-1.00%
-0.50%
0.00%
0.50%
1.00%
3 months 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 Latest 3 months Since Inception
City of Orange 0.59% -2.28%
ICE BofA 1-5 Yr US Treasury & Agency Index 0.24% -2.38% 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 September 30, 2023
23 SECTION |
Section 3 |
Portfolio Holdings
24 Holdings Report
City of Orange Consolidated - Account #10897
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
05593AAC3 BMW Vehicle Lease Trust 2023-1 A3
5.160% Due 11/25/2025
100,000.00 02/07/2023
5.22%
99,997.62
99,998.33
99.15 6.04%
99,154.80
86.00 0.07%
(843.53)
Aaa / AAA
AAA
2.16 1.03
43815JAC7 Honda Auto Receivables Owner 2023-1 A3
5.040% Due 04/21/2027
210,000.00 02/16/2023
5.10%
209,960.98
209,968.40
98.99 5.69%
207,869.76
294.00
0.14%
(2,098.64)
Aaa / NR
AAA
3.56 1.72
92348KAA1 Verizon Master Trust 2021-1 A
0.500% Due 05/20/2027
220,000.00 10/21/2022
4.28%
204,668.75
210,826.53
96.59 3.75%
212,496.68
33.61 0.14%
1,670.15
Aaa / AAA
AAA
3.64 1.06
47800CAC0 John Deere Owner Trust 2023-A A3
5.010% Due 11/15/2027
395,000.00 02/22/2023
5.07%
394,928.03
394,936.95
98.83 5.72%
390,387.63
879.53
0.26%
(4,549.32)
Aaa / NR
AAA
4.13 1.79
05592XAD2 BMW Vehicle Owner Trust 2023-A A3
5.470% Due 02/25/2028
190,000.00 07/11/2023
5.54%
189,966.33
189,968.39
99.74 5.67%
189,500.30
173.22
0.13%
(468.09)
NR / AAA
AAA
4.41 1.88
02582JJZ4 American Express Credit Trust 2023-1 A
4.870% Due 05/15/2028
350,000.00 06/07/2023
4.92%
349,968.96
349,972.13
98.75 5.44%
345,633.40
757.56
0.23%
(4,338.73)
NR / AAA
AAA
4.63 2.39
161571HT4 Chase Issuance Trust 23-A1 A
5.160% Due 09/15/2028
1,060,000.00 09/07/2023
5.23%
1,059,706.17
1,059,710.46
99.63 5.35%
1,056,097.08
2,430.93
0.71%
(3,613.38)
NR / AAA
AAA
4.96 2.66
02582JKD1 American Express Credit Trust 2023-3 A
5.230% Due 09/15/2028
1,055,000.00 09/12/2023
5.29%
1,054,952.84
1,054,953.36
99.80 5.36%
1,052,918.49
1,839.22
0.71%
(2,034.87)
NR / AAA
AAA
4.96 2.66
TOTAL ABS 3,580,000.00 5.15%
3,564,149.68
3,570,334.55 5.36%
3,554,058.14
6,494.07
2.38%
(16,276.41)
Aaa / AAA
AAA
4.57 2.30
Agency
3135GABN0 FNMA Callable Note Qtrly 12/29/2021
0.280% Due 12/29/2023
1,950,000.00 12/29/2020
0.28%
1,950,000.00
1,950,000.00
98.76 5.34%
1,925,913.60
1,395.33
1.29%
(24,086.40)
Aaa / AA+
AA+
0.25 0.24
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
4,999,509.59
97.50 5.54%
4,875,205.00
145.83
3.26%
(124,304.59)
Aaa / AA+
NR
0.49 0.48
3134GWXC5 FHLMC Callable Note Qtrly 9/29/2021
0.350% Due 03/29/2024
2,700,000.00 12/10/2020
0.35%
2,700,000.00
2,700,000.00
97.49 5.54%
2,632,251.60
52.50 1.76%
(67,748.40)
Aaa / NR
AA+
0.50 0.48
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
96.80 5.61%
4,839,930.00
6,979.17
3.25%
(160,070.00)
Aaa / AA+
AA+
0.63 0.61
3135GA5Y3 FNMA Callable Note Qtrly 12/14/2021
0.375% Due 06/14/2024
4,375,000.00 12/14/2020
0.38%
4,375,000.00
4,375,000.00
96.40 5.65%
4,217,561.25
4,876.30
2.83%
(157,438.75)
Aaa / AA+
AA+
0.71 0.69
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
4,574,648.58
95.05 5.63%
4,348,656.45
305.00
2.91%
(225,992.13)
Aaa / NR
AA+
0.99 0.96
3135GA4W8 FNMA Callable Note Qtrly 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
93.33 5.58%
4,666,315.00
2,986.11
3.13%
(333,685.00)
Aaa / AA+
AA+
1.39 1.34
As of September 30, 2023
25 Holdings Report
City of Orange Consolidated - Account #10897
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
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
92.83 5.45%
3,713,208.00
4,550.00
2.49%
(286,792.00)
Aaa / AA+
NR
1.58 1.53
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
92.97 5.45%
4,648,485.00
15,833.33
3.12%
(351,515.00)
Aaa / AA+
NR
1.58 1.53
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
90.95 5.25%
8,185,644.00
22,950.00
5.50%
(814,356.00)
Aaa / NR
AA+
2.08 2.01
3133EPCF0 FFCB Note
4.500% Due 03/02/2026
2,000,000.00 03/27/2023
4.01%
2,026,680.00
2,022,017.23
98.94 4.97%
1,978,864.00
7,250.00
1.33%
(43,153.23)
Aaa / AA+
AA+
2.42 2.26
3133EPQC2 FFCB Note
4.625% Due 07/17/2026
2,000,000.00 07/28/2023
4.66%
1,998,260.00
1,998,359.70
99.07 4.98%
1,981,364.00
19,013.89
1.34%
(16,995.70)
Aaa / AA+
NR
2.80 2.57
3130ANDF4 FHLB Callable Note Annual 7/29/2022
0.900% Due 07/29/2026
5,000,000.00 07/29/2021
0.90%
5,010,000.00
5,000,000.00
88.96 5.14%
4,448,170.00
7,750.00
2.98%
(551,830.00)
Aaa / AA+
NR
2.83 2.72
3133EPDJ1 FFCB Note
4.375% Due 09/15/2027
2,000,000.00 03/27/2023
3.81%
2,045,720.00
2,040,481.25
98.39 4.83%
1,967,812.00
3,888.89
1.32%
(72,669.25)
Aaa / AA+
AA+
3.96 3.58
3130ATS57 FHLB Note
4.500% Due 03/10/2028
2,000,000.00 03/27/2023
3.82%
2,060,420.00
2,054,174.26
99.46 4.63%
1,989,236.00
5,250.00
1.34%
(64,938.26)
Aaa / AA+
NR
4.45 3.97
3130AEB25 FHLB Note
3.250% Due 06/09/2028
2,000,000.00 07/24/2023
4.15%
1,921,180.00
1,924,189.41
93.95 4.70%
1,878,922.00
20,222.22
1.27%
(45,267.41)
Aaa / AA+
NR
4.70 4.23
TOTAL Agency 61,600,000.00 1.11%
61,657,887.50
61,638,380.02 5.35%
58,297,537.90
123,448.57
39.12%
(3,340,842.12)
Aaa / AA+
AA+
1.71 1.62
Cash
999WEL$12 Wells Fargo General Account
46,826.00 Various
0.00%
46,826.00
46,826.00
1.00 0.00%
46,826.00
0.00 0.03%
0.00 NR / NR
NR
0.00 0.00
999WEL$15 Wells Fargo SWEEP Account
9,341,687.00 Various
0.00%
9,341,687.00
9,341,687.00
1.00 0.00%
9,341,687.00
0.00 6.25%
0.00 NR / NR
NR
0.00 0.00
999WEL$14 Wells Fargo Property Management
380,127.00 Various
0.00%
380,127.00
380,127.00
1.00 0.00%
380,127.00
0.00 0.25%
0.00 NR / NR
NR
0.00 0.00
TOTAL Cash 9,768,640.00 0.00%
9,768,640.00
9,768,640.00 0.00%
9,768,640.00
0.00 6.54%
0.00 NR / NR
NR
0.00 0.00
As of September 30, 2023
26 Holdings Report
City of Orange Consolidated - Account #10897
CUSIP Security Description Par Value/Units Purchase Date Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Commercial Paper
62479MY64 MUFG Bank Ltd/NY Discount CP
5.550% Due 11/06/2023
400,000.00 07/28/2023
5.72%
393,771.67
397,780.00
99.45 5.72%
397,780.00
0.00 0.27%
0.00 P-1 / A-1
NR
0.10 0.10
TOTAL Commercial Paper 400,000.00 5.72%
393,771.67
397,780.00 5.72%
397,780.00
0.00 0.27%
0.00 P-1 / A-1
NR
0.10 0.10
Corporate
69371RR81 Paccar Financial Corp Note
3.150% Due 06/13/2024
895,000.00 06/06/2022
3.16%
894,794.15
894,927.91
98.22 5.77%
879,043.05
8,457.75
0.59%
(15,884.86)
A1 / A+
NR
0.70 0.68
40434CAD7 HSBC USA Inc Note
3.500% Due 06/23/2024
3,000,000.00 12/10/2019
2.14%
3,174,900.00
3,028,076.89
98.10 6.19%
2,943,111.00
28,583.33
1.99%
(84,965.89)
A1 / A-
A+
0.73 0.70
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
2,993,369.97
96.51 5.64%
2,895,159.00
3,645.83
1.94%
(98,210.97)
A1 / A+
A
0.94 0.90
14913Q3B3 Caterpillar Finl Service Note
2.150% Due 11/08/2024
1,250,000.00 05/31/2022
2.87%
1,229,100.00
1,240,512.81
96.30 5.65%
1,203,730.00
10,675.35
0.81%
(36,782.81)
A2 / A
A+
1.11 1.06
06051GJR1 Bank of America Corp Callable Note Cont 4/22/2024
0.976% Due 04/22/2025
1,250,000.00 05/31/2022
4.41%
1,192,012.50
1,218,725.23
96.89 6.34%
1,211,066.25
5,388.33
0.81%
(7,658.98)
A1 / A-
AA-
1.56 1.48
24422EWF2 John Deere Capital Corp Note
3.400% Due 06/06/2025
280,000.00 06/01/2022
3.41%
279,935.60
279,963.92
96.71 5.47%
270,777.08
3,041.11
0.18%
(9,186.84)
A2 / A
A+
1.68 1.59
06406RBF3 Bank of NY Mellon Corp Callable Note Cont 6/13/2024
3.430% Due 06/13/2025
955,000.00 06/08/2022
3.43%
955,000.00
955,000.00
98.03 6.33%
936,193.19
9,826.95
0.63%
(18,806.81)
A1 / A
AA-
1.70 0.67
91324PEN8 United Health Group Inc Note
5.150% Due 10/15/2025
775,000.00 12/28/2022
4.56%
786,780.00
783,604.02
99.71 5.30%
772,715.30
18,404.10
0.53%
(10,888.72)
A2 / A+
A
2.04 1.87
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
5,010,407.37
91.00 5.52%
4,549,920.00
18,333.33
3.06%
(460,487.37)
A1 / A+
A+
2.05 1.97
63743HFF4 National Rural Utilities Note
5.450% Due 10/30/2025
495,000.00 10/20/2022
5.50%
494,336.70
494,539.63
99.87 5.51%
494,378.78
11,315.56
0.34%
(160.85)
A2 / A-
A
2.08 1.90
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
2,999,872.69
90.16 5.19%
2,704,755.00
3,091.67
1.81%
(295,117.69)
Aaa / AA+
NR
2.36 2.28
713448FQ6 Pepsico Inc. Callable Note Cont 1/13/26
4.550% Due 02/13/2026
195,000.00 02/13/2023
4.57%
194,886.90
194,910.47
98.93 5.03%
192,918.38
1,183.00
0.13%
(1,992.09)
A1 / A+
NR
2.38 2.20
907818GE2 Union Pacific Corp Callable Note Cont 1/21/26
4.750% Due 02/21/2026
470,000.00 02/13/2023
4.77%
469,689.80
469,752.63
98.75 5.31%
464,110.43
2,480.56
0.31%
(5,642.20)
A3 / A-
A-
2.40 2.22
As of September 30, 2023
27 Holdings Report
City of Orange Consolidated - Account #10897
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
46647PBK1 JP Morgan Chase & Co Callable Note Cont 4/22/2025
2.083% Due 04/22/2026
1,250,000.00 05/31/2022
4.68%
1,190,825.00
1,211,077.85
93.86 6.27%
1,173,256.25
11,499.90
0.79%
(37,821.60)
A1 / A-
AA-
2.56 1.48
61747YET8 Morgan Stanley Callable Note Cont 7/17/2025
4.679% Due 07/17/2026
775,000.00 12/28/2022
5.75%
764,390.25
766,643.29
97.42 6.21%
754,982.53
7,453.91
0.51%
(11,660.76)
A1 / A-
A+
2.80 1.68
24422EXD6 John Deere Capital Corp Note
5.150% Due 09/08/2026
505,000.00 09/05/2023
5.18%
504,641.45
504,648.97
99.68 5.27%
503,408.75
1,661.59
0.34%
(1,240.22)
A2 / A
A+
2.94 2.69
06368LAQ9 Bank of Montreal Callable Note Cont 8/14/2027
4.700% Due 09/14/2027
1,000,000.00 03/30/2023
4.91%
991,550.00
992,505.04
95.83 5.90%
958,323.00
2,219.44
0.64%
(34,182.04)
A2 / A-
AA-
3.96 3.54
78016FZW7 Royal Bank of Canada Note
4.900% Due 01/12/2028
1,000,000.00 03/30/2023
4.95%
997,990.00
998,201.58
97.13 5.66%
971,290.00
10,752.78
0.66%
(26,911.58)
A1 / A
AA-
4.29 3.76
TOTAL Corporate 25,095,000.00 2.64%
25,110,312.35
25,036,740.27 5.73%
23,879,137.99
158,014.49
16.09%
(1,157,602.28)
A1 / A+
A+
1.89 1.66
LAIF
90LAIF$00 Local Agency Investment Fund State Pool
42,700,000.00 12/31/2021
3.61%
42,700,000.00
42,700,000.00
1.00 3.61%
42,700,000.00
361,878.77
28.83%
0.00 NR / NR
NR
0.00 0.00
TOTAL LAIF 42,700,000.00 3.61%
42,700,000.00
42,700,000.00 3.61%
42,700,000.00
361,878.77
28.83%
0.00 NR / NR
NR
0.00 0.00
Money Market Fund
31846V203 First American Govt Obligation Fund Class Y
78,344.66 Various
4.94%
78,344.66
78,344.66
1.00 4.94%
78,344.66
0.00 0.05%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 78,344.66 4.94%
78,344.66
78,344.66 4.94%
78,344.66
0.00 0.05%
0.00 Aaa / AAA
AAA
0.00 0.00
Supranational
4581X0EK0 Inter-American Dev Bank Note
4.500% Due 05/15/2026
1,720,000.00 06/27/2023
4.53%
1,718,675.60
1,718,785.97
98.87 4.96%
1,700,576.04
18,275.00
1.15%
(18,209.93)
Aaa / AAA
AAA
2.62 2.42
459058KT9 Intl. Bank Recon & Development Note
3.500% Due 07/12/2028
2,000,000.00 07/24/2023
4.19%
1,938,380.00
1,940,657.19
94.74 4.74%
1,894,834.00
15,361.11
1.28%
(45,823.19)
Aaa / AAA
NR
4.79 4.30
TOTAL Supranational 3,720,000.00 4.35%
3,657,055.60
3,659,443.16 4.85%
3,595,410.04
33,636.11
2.43%
(64,033.12)
Aaa / AAA
AAA
3.76 3.41
As of September 30, 2023
28 Holdings Report
City of Orange Consolidated - Account #10897
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
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
2,988,334.52
89.23 4.77%
2,677,032.00
71.72 1.79%
(311,302.52)
Aaa / AA+
AA+
3.00 2.90
91282CFH9 US Treasury Note
3.125% Due 08/31/2027
1,950,000.00 03/30/2023
3.74%
1,901,173.83
1,906,740.13
94.38 4.71%
1,840,388.55
5,189.73
1.24%
(66,351.58)
Aaa / AA+
AA+
3.92 3.62
9128284N7 US Treasury Note
2.875% Due 05/15/2028
2,000,000.00 07/31/2023
4.23%
1,883,281.25
1,887,416.43
92.67 4.65%
1,853,438.00
21,718.75
1.26%
(33,978.43)
Aaa / AA+
AA+
4.63 4.20
TOTAL US Treasury 6,950,000.00 2.67%
6,765,001.96
6,782,491.08 4.72%
6,370,858.55
26,980.20
4.28%
(411,632.53)
Aaa / AA+
AA+
3.74 3.49
TOTAL PORTFOLIO 153,891,984.66 2.24%
153,695,163.42
153,632,153.74 4.52%
148,641,767.28
710,452.21
100.00%
(4,990,386.46)
Aa1 / AA
AA
1.33 1.19
TOTAL MARKET VALUE PLUS ACCRUALS 149,352,219.49
As of September 30, 2023
29 SECTION |
Section 4 |
Transactions
30 Transaction Ledger
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 07/06/2023 4581X0EK0 1,720,000.00 Inter-American Dev Bank Note
4.5% Due: 05/15/2026
99.923 4.53% 1,718,675.60 0.00 1,718,675.60 0.00
Purchase 07/18/2023 05592XAD2 190,000.00 BMW Vehicle Owner Trust 2023-A A3
5.47% Due: 02/25/2028
99.982 5.54% 189,966.33 0.00 189,966.33 0.00
Purchase 07/25/2023 3130AEB25 2,000,000.00 FHLB Note
3.25% Due: 06/09/2028
96.059 4.15% 1,921,180.00 8,305.56 1,929,485.56 0.00
Purchase 07/26/2023 459058KT9 2,000,000.00 Intl. Bank Recon & Development Note
3.5% Due: 07/12/2028
96.919 4.19% 1,938,380.00 2,722.22 1,941,102.22 0.00
Purchase 07/28/2023
62479MY64 400,000.00 MUFG Bank Ltd/NY Discount CP
5.55% Due: 11/06/2023
98.443 5.72% 393,771.67 0.00 393,771.67 0.00
Purchase 07/31/2023
3133EPQC2 2,000,000.00 FFCB Note
4.625% Due: 07/17/2026
99.913 4.66% 1,998,260.00 3,597.22 2,001,857.22 0.00
Purchase 07/31/2023
9128284N7 2,000,000.00 US Treasury Note
2.875% Due: 05/15/2028
94.164 4.23% 1,883,281.25 12,031.25 1,895,312.50 0.00
Purchase 09/08/2023
24422EXD6 505,000.00 John Deere Capital Corp Note
5.15% Due: 09/08/2026
99.929 5.18% 504,641.45 0.00 504,641.45 0.00
Purchase 09/15/2023
161571HT4 1,060,000.00 Chase Issuance Trust 23-A1 A
5.16% Due: 09/15/2028
99.972 5.23% 1,059,706.17 0.00 1,059,706.17 0.00
Purchase 09/19/2023 02582JKD1 1,055,000.00 American Express Credit Trust 2023-3 A
5.23% Due: 09/15/2028
99.996 5.29% 1,054,952.84 0.00 1,054,952.84 0.00
Subtotal 12,930,000.00 12,662,815.31 26,656.25 12,689,471.56 0.00 TOTAL ACQUISITIONS 12,930,000.00 12,662,815.31 26,656.25 12,689,471.56 0.00
DISPOSITIONS
Sale 09/07/2023 3134GWXC5 225,000.00 FHLMC Callable Note Qtrly 9/29/2021
0.35% Due: 03/29/2024
97.090 0.35% 218,452.50 345.63 218,798.13 -6,547.50
June 30, 2023 through September 30, 2023
As of September 30, 2023
31 Transaction Ledger
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
Sale 09/12/2023 3134GWXC5 1,050,000.00 FHLMC Callable Note Qtrly 9/29/2021
0.35% Due: 03/29/2024
97.250 0.35% 1,021,125.00 1,663.96 1,022,788.96 -28,875.00 Sale 09/19/2023
3134GWXC5 1,025,000.00 FHLMC Callable Note Qtrly 9/29/2021
0.35% Due: 03/29/2024
97.291 0.35% 997,232.75 1,694.10 998,926.85 -27,767.25
Subtotal 2,300,000.00 2,236,810.25 3,703.69 2,240,513.94 -63,189.75 TOTAL DISPOSITIONS 2,300,000.00 2,236,810.25 3,703.69 2,240,513.94 -63,189.75 June 30, 2023 through September 30, 2023
As of September 30, 2023
32 Transaction Ledger
City of Orange LAIF Balances - Account #10895
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
DISPOSITIONS
Security
Withdrawal
09/30/2023 90LAIF$00 100,000.00 Local Agency Investment Fund State Pool 1.000 100,000.00 0.00 100,000.00 0.00 Subtotal 100,000.00 100,000.00 0.00 100,000.00 0.00
TOTAL DISPOSITIONS 100,000.00 100,000.00 0.00 100,000.00 0.00 June 30, 2023 through September 30, 2023
As of September 30, 2023
33 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 I CE 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 i ncome investments are subject to interest, credit and market risk. Interest rate risk: the value of fixed income investments will decline as interest rates rise. Credit risk: the possibility that the borrower may not be able to repay interest and principal. Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk. Market risk: the bond market in general could decline due to economic conditions, especially during periods of rising interest rates.
Ratings information have been provided by Moody’s, S&P and Fitch through data feeds we believe to be reliable as of the date of this statement, however we cannot guarantee its accuracy.
Security level ratings for U.S. Agency issued mortgage-backed securities (“MBS”) reflect the issuer rating because the securities themselves are not rated. The issuing U.S. Agency guarantees the full and timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P, Moody’s and Fitch respectively.
Your qualified custodian bank maintains control of all assets reflected in this statement and we urge you to compare this statement to the one you receive from your qualified custodian. Chandler does not have any authority to withdraw or deposit funds from/to the custodian account.
As of September 30, 2023
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 September 30, 2023
35