CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending December 31, 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 December 31, 2023
1 SECTION |
Section 1 |
Economic Update
2 Economic Update
Recent economic da ta has shown above trend growth fueled by a rise in consumer spending and a continuing healthy US job market.
Inflationary trends are subsiding, but core levels remain 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 loosen monetary policy in 2024.
As expected at t he December meeting, the Federal Open Market Committee voted unanimously to leave the Federal Funds rate unchanged at a target range of 5.25 - 5.50%. Fed Chair Powell signaled that the federal funds rate is likely at or near its peak. The new Summary of Economic Projections reflected Core PCE inflation reaching the target 2% level in 2026 without a significant increase in unemployment.We believe the FOMC will loosen monetary policy in mid-2024 as inflation and economic growth continue to moderate.
US Treasury r ates fell steeply across the yield curve in December on decelerating inflation readings and a more dovish Federal Reserve outlook. The 2-year Treasury yield declined 43 basis points to 4.25%, the 5-year Treasury yield dropped42 basis points to 3.85%, and the 10- year Treasury yield decreased 45 basis points to 3.88%. The inversion between the 2-year Treasury yield and 10-year Treasury yield widened to -37 basis points at December month-end versus -35 basis points at November month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -55 basis points. The inversion between 3-month and 10-year Treasuries widened to - 146 basis points in December from -107 basis points in November. Interest rates peaked in 2023 followed by the Fed’s dovish pivot late in the year, resulting in a decline in yields across the curve and signaling less restrictive monetary policy in 2024. 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 216,000 jobs in December, exceeding consensus expectations of 175,000, and the last two months were revised down by 71,000 jobs. Leading sectors included government,leisure, hospitality, and healthcare. The trajectory of job creation is gradually moderating, with the three-monthmoving average payrolls at 165,000 and the six-month moving average at 193,000. The unemployment rate remained unchanged at 3.7%, and the labor participation rate decreased to 62.5% from 62.8%, falling well below the pre-pandemic level of 63.3%. The U-6 underemploymentrate, which includes those who are marginally attached to the labor force and employed part time for economic reasons rose to 7.1% from 7.0% last month.Average hourly earnings rose 4.1% year-over-year in December, increasing from a 4.0% gain last month.Employmentremains strong by historical standards, but data are trending toward a less robust labor market outlook.
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) dipped to 8.79 million in November, compared to an upwardly revised 8.85 million for October. While on a downward trend, job openings still represent a healthy ratio of around 1.4 jobs for each unemployed individual. The quits rate declined to 2.2%, hovering around pre-pandemic levels, down from its high of 3.0% in mid-2022 when labor demand far outstripped supply. While the current level of job openings remains elevated from a historical perspective, the trend is decelerating.
Source: US Department of Labor
5 Inflation
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YOY (%) Change
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Cor e Deflator Y OY % Change
Fed Target
YOY (%) Change
The Consumer Price Index (CPI) increased 0.1% month-over-monthand 3.1% year-over-year in November, edging down from 3.2% year- over-year in October. The Core CPI, which excludes volatile food and energy components,was up 0.3% month-over-monthand 4.0% year- over-year, unchanged from October as expected. Shelter was the largest contributorto November's Core CPI monthly advance, accounting for 70% of the increase. The Personal Consumption Expenditures (PCE) Index eased more than expected in November, as headline inflation fell 0.1% month-over-monthand rose 2.6% year-over-year, down from a 2.9% increase in October. Core PCE, the Federal Reserve’s preferred inflation gauge, increased 0.1% month-over-monthand decelerated to 3.2% year-over-year in Novemberfrom a 3.4% year-over-year increase in October. The trend is moderating, but 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 0.3% in November after a downwards revision to -0.2% in October, exceeding the -0.1% consensus forecast. On a year- over-year basis, Retail Sales growth accelerated to 4.1% in November from 2.2% in October buoyed by non-store retailers up 10.6%, as well as food services and drinking places up 11.3%. The Conference Board’s Consumer Confidence Index surged to 110.7 in December from 101.0 in November, far surpassing consensus expectations. Positive ratings of job availability and increased confidence in personal income prospects contributed to the substantial increase. 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. 0 20
40 60
80 100
120
140
160
Index Level
Consumer Confidence
Recession
Source: US Department of Commerce Source: The Conference Board All time high is 144.70 (1/31/00); All time low is 25.30 (2/28/09) 7 Leading Indicators of Economic Activity
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
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) fell 0.5% in November, marking the twentieth consecutive month-over-month decline. The index dropped 7.6% year-over-year. The Conference Board expects the consistent decline month-over-monthto result in a slowdown in economic activity. The Chicago Fed National Activity Index (CFNAI) improvedin Novemberto 0.03 from a downwardlyrevised -0.66 in October. On a 3-month moving average basis, the CFNAI rose slightly to -0.20 in November from -0.26 in October, 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
Housing Starts i ncreased sharply month-over-monthin Novemberby 14.8% to an annual rate of 1.560 million units. Starts were up 18% for single-family units and up 6.9% for multi-family. Total starts of new homes are up 9.3% year-over-year. The pick-up in growth can be partially attributed to lower costs of construction materials and homebuilders adjusting projects to accommodate the higher interest rate environment. According to Freddie Mac, average 30-year fixed rate mortgage rates declined to 6.49% as of December 21st, paralleling the drop in the 10-year US Treasury yield. According to the Case-Shiller 20-City Home Price Index, housing prices rose 4.9% year-over-year in October, accelerating from a 3.9% year-over-year gain in September. 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 moved higher to 47.4 in December from 46.7 in November due to improved performance as suppliers are better able to meet lower demand levels. However, this marks the 14th consecutive month of contraction in factory activity below a reading of 50. The ISM Services Index unexpectedly declined to 50.6 in December from 52.7 in November, narrowly remaining in the expansion zone above 50. Notably, the employment component of the index plummeted by 7.4 points to 43.3, entering contractionary territory. This decline was primarily driven by increased layoffs and a softening in consumer demand.
Source: Institute for Supply Management
10 Gross Domestic Product (GDP)
Components of GDP 12/22 3/23 6/23 9/23
0.8% 2.5% 0.6% 2.1%
0.6% -1.7% 0.9% 1.7%
0.3% 0.6% 0.0% 0.0%
0.6% 0.3% 0.1% 0.5%
0.3% 0.5% 0.5% 0.5%
2.6% 2.3% 2.1% 4.9%
Personal Consumption Expenditures
Gross Private Domestic Investment
Net Exports and Imports
Federal Government Expenditures
Total
State and Local (Consumption and Gross
Investment)
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Source: US Department of Commerce Source: US Department of Commerce According to the third estimate, third quarter GDP grew at an annualized rate of 4.9%, revised down from the second estimate of 5.2%, with the downward revisions driven primarily by personal consumption expenditures. The consensus estimate calls for a marked slowing to 1.2% in the fourth quarter and 2.4% for full year 2023. 11 Federal Reserve
Source: Federal Reserve Source: Bloomberg
0 1,000,000
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000
10,000,000
Federal Reserve Balance Sheet Assets
Recession
In $ millions
As expected at the December meeting, the Federal Open Market Committee voted unanimously to leave the federal funds rate unchanged at a target range of 5.25-5.50%. The Fed acknowledged inflation eased over the past year while remaining elevated. Fed Chair Powell signaled that the federal funds rate is likely at or near its peak. The Summary of Economic Projections reflected Core PCE inflation reaching the target 2% level in 2026 without a significant increase in unemployment. The median forecast for the federal funds rate declined to 4.6%, implying three quarter-point cuts next year, four in 2025 and three in 2026, placing the federal funds target rate around
2.9% at the end of the forecast horizon. The market interpreted the statement as dovish, with futures contracts pricing in rate cuts sooner and more aggressively than the Fed’s forecasts next year. We believe the FOMC will loosen monetary policy in mid-2024 as inflation and economic growth continue to moderate. Since the Fed began its Quantitative Tightening campaign in June 2022, securities holdings have declined by over $1.2T to approximately $7.8T.
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Effective Federal Funds Rate
Recession
Yield (%)
12 Bond Yields
Source: Bloomberg Source: Bloomberg
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yield (%)
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Yield Curve
Dec-23
Sep-23
Dec-22
Yield (%)
At the end of December, the 2-year Treasury yield was 18 basis points lower, and the 10-Year Treasury yield was flat, year-over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield widened to -37 basis points at December month-end versus -35 basis points at November month-end. The average historical spread (since 2003) is about +130 basis points. The inversion between 3- month and 10-year Treasuries widened to -146 basis points in December from -107 basis points in November. 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 December 31, 2023
15 Compliance As of December 31, 2023
Category Standard Comment
U.S. Treasuri es No limit; 5 years max maturity; Faith and credit of the U.S. are pledged for the payment of principal and interest C omplies Federal Agenci es
75% max; 30% max per Agency and excluding GNMAs; 20% max agency callable securities; 5 years max maturity; Obligations issued by banks for cooperatives, federal land banks, federal intermediate credit banks, FHLB, TVA, F
NMA, or other instruments of, or issued by federal agencies or U.S. government-sponsored enterprises; 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 *
Supranational Obligations "AA" rating category or higher by a NRSRO; 30% max; 10% max per issuer; 5 years max maturity; USD denominated senior unsecured unsubordinated obligations issued or unconditionally guaranteed by IBRD, IFC, or IADB Complies Municipal Se curitie s "A" rating category or better by a NRSRO; 20% max; 5% max per issuer (book value); 5 years max maturity C omplies Corporate Medi um Term Notes
"A" rating category or better by a NRSRO; 30% 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 a
nd operating within the U.S
Complies
Asset-Backed, Mortgage-Backed,
Mortgage Pass-Through Securities, and
C
ollate ralize d Mortgage Obligations
"AA" rating category or better by a NRSRO; 20% max (combined); 5% max per issuer that is not a U.S. government agency; 5 years max maturity; ABS/MBS/CMO issued by US government agency or consumer receivable pass-through c
ertificates or bonds
Complies
Certi fi cates of Deposi t 30% max; Certificates of Deposit approved by California AB 2011 C omplies Commerci al Paper
Prime quality with highest rating by a NRSRO; Issued by a domestic corporation with assets > $500 million and having an "A" rating category or better by a NRSRO, on its debt other than commercial paper; 25% max; 40% max, unde
r provision sunsetting on January 1, 2026, if the Agency's investment AUM are > $100 million; 5% max per issuer (book value); 270 days max maturity
Complies
Money Market Mutual Funds
$15 m illion m ax or 20% m ax, whiche ve r is le ss; 90 days we ighte d ave rage m aturity; Share s of be ne ficial inte re st issued by diversified management companies that are Money Market Mutual Funds, registered with the SEC under I
nvestment 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 i nvestment advi ser regi stered wi th SEC wi th > 5 years experi ence managi ng MMMF wi th AUM >$500 mi l l i on 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; Investigation of the pool is required prior to investing, and on a continual basis Complies
Cre dit Risk
If any security owned by the City is downgraded to a level below the requirements of the policy, 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 s
ecurities in the portfolio. If the highest credit rating of 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 continuously for further information. If the highest credit rating of a security is rated two grades below the required minimum rating, it will trigger an automatic sale of such downgraded security Complies
Maxi mum Maturi ty 5 years max maturity C omplies
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. *Agency callables; Complied at time of purchase; Inherited securities 16 Portfolio Characteristics
City of Orange
12/31/23 09/30/23
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 2.68 1.94 2.07
Average Modified Duration 2.52 1.71 1.84
Average Purchase Yield n/a 1.96% 1.87%
Average Market Yield 4.20% 4.66% 5.39%
Average Quality** AA+ AA/Aa1 AA/Aa1
Total Market Value 99,051,762 96,521,701
*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 December 31, 2023
17 City of Orange
Sector Distribution
ABS
4.0%
Agency
58.2%
Corporate
25.1%
Money Market
Fund
0.2%
Supranational
3.8%
US Treasury
8.6%
December 31, 2023 September 30, 2023
ABS
3.7%
Agency
60.5%
Corporate
24.9%
Money Market
Fund
0.1%
Supranational
3.8%
US Treasury
6.6%
Commercial
Paper
0.4%
As of December 31, 2023
18 Issue Name Investment Type % Portfolio
Federal Home Loan Bank Agency 22.27%
Federal Home Loan Mortgage Corp Agency 15.64%
Federal National Mortgage Association Agency 14.12%
Government of United States US Treasury 8.62%
Federal Farm Credit Bank Agency 6.21%
Toyota Motor Corp Corporate 4.73%
HSBC Holdings PLC Corporate 3.00%
Coca Cola Co. Corporate 2.98%
Apple Inc Corporate 2.81%
Intl Bank Recon and Development Supranational 2.01%
Inter-American Dev Bank Supranational 1.76%
American Express ABS ABS 1.44%
Bank of America Corp Corporate 1.24%
Caterpillar Inc Corporate 1.23%
JP Morgan Chase & Co Corporate 1.21%
JP Morgan ABS ABS 1.09%
Royal Bank of Canada Corporate 1.04%
Bank of Montreal Chicago Corporate 1.03%
Bank of New York Corporate 0.96%
Paccar Financial Corporate 0.90%
Deere & Company Corporate 0.81%
United Health Group Inc Corporate 0.80%
Morgan Stanley Corporate 0.79%
Pepsico Inc Corporate 0.60%
Honda ABS ABS 0.55%
National Rural Utilities Corporate 0.51%
Union Pacific Corp Corporate 0.49%
John Deere ABS ABS 0.40%
First American Govt Oblig Fund Money Market Fund 0.24%
Verizon Master Trust ABS 0.22%
BMW ABS ABS 0.19%
BMW Vehicle Lease Trust ABS 0.10%
TOTAL 100.00%
Issuers
City of Orange – Account #10888
As of December 31, 2023
19 AAA AA A <A NR
12/31/23 7.1% 54.0% 22.3% 0.0% 16.6%
09/30/23 6.9% 54.6% 22.1% 0.0% 16.4%
Source: S&P Ratings
December 31, 2023 vs. September 30, 2023
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
AAA AA A <A NR
12/31/23 09/30/23
Quality Distribution
City of Orange
As of December 31, 2023
20 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 7.8% 14.1% 9.0% 33.4% 19.6% 8.2% 7.9% 0.0%
Benchmark* 0.1% 0.0% 1.6% 35.4% 26.6% 21.4% 15.0% 0.0%
*ICE BofA 1-5 Yr US Treasury & Agency Index
Duration Distribution
City of Orange
As of December 31, 2023
21 -1.00%
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
12 months 2 years 3 years 5 years 10 years Since Inception City of Orange ICE BofA 1-5 Yr US Treasury & Agency Index Total Rate of Return Annualized Since Inception December 31, 2021 Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since Inception
City of Orange 2.64% 4.92% -0.71% N/A N/A N/A -0.71%
ICE BofA 1-5 Yr US Treasury & Agency Index 3.09% 4.32% -0.58% N/A N/A N/A -0.58% Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the ending value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
Investment Performance
City of Orange
As of December 31, 2023
22 SECTION |
Section 3 |
Portfolio Holdings
23 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
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
99,998.61
99.87 5.37%
99,873.70
86.00 0.10%
(124.91)
Aaa / AAA
NR
1.90 0.80
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
209,971.51
100.13
5.01%
210,262.50
294.00
0.21%
290.99
Aaa / NR
AAA
3.31 1.53
92348KAA1 Verizon Master Trust 2021-1 A
0.500% Due 05/20/2027
220,000.00 10/21/2022
4.28%
204,668.75
212,487.87
98.02 2.82%
215,642.68
33.61 0.22%
3,154.81
Aaa / AAA
AAA
3.39 0.86
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
394,940.80
100.19
4.95%
395,747.78
879.53
0.40%
806.98
Aaa / NR
AAA
3.88 1.66
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
189,970.92
101.04
4.95%
191,975.24
173.22
0.19%
2,004.32
NR / AAA
AAA
4.16 1.78
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
349,974.81
100.73
4.59%
352,564.45
757.56
0.36%
2,589.64
NR / AAA
AAA
4.38 2.19
438123AC5 Honda Auto Receivables OT 2023-4 A3
5.670% Due 06/21/2028
330,000.00 11/01/2023
5.74%
329,941.89
329,944.27
102.09
3.84%
336,895.35
519.75
0.34%
6,951.08
Aaa / NR
AAA
4.48 1.09
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
1,059,735.12
101.55
4.59%
1,076,393.96
2,430.93
1.09%
16,658.84
NR / AAA
AAA
4.71 2.46
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
1,054,957.33
101.62
4.64%
1,072,048.80
2,452.29
1.08%
17,091.47
NR / AAA
AAA
4.71 2.46
TOTAL ABS 3,910,000.00 5.20%
3,894,091.57
3,901,981.24 4.54%
3,951,404.46
7,626.89
4.00%
49,423.22
Aaa / AAA
AAA
4.33 2.03
Agency
3130ALLM4 FHLB Callable Note Qtrly 6/28/2021
0.350% Due 03/28/2024
4,890,000.00 03/29/2021
0.37%
4,887,066.00
4,889,766.89
98.84 5.22%
4,833,090.18
4,421.38
4.88%
(56,676.71)
Aaa / AA+
NR
0.24 0.24
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
98.82 5.25%
2,668,064.40
2,415.00
2.70%
(31,935.60)
Aaa / NR
AA+
0.24 0.24
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
98.10 5.49%
4,905,215.00
2,291.67
4.95%
(94,785.00)
Aaa / AA+
AA+
0.38 0.37
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
97.85 5.23%
4,281,095.00
774.74
4.32%
(93,905.00)
Aaa / AA+
AA+
0.45 0.44
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
4,574,738.39
96.72 5.01%
4,424,798.18
4,880.00
4.47%
(149,940.21)
Aaa / NR
AA+
0.74 0.71
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
95.81 4.33%
4,790,680.00
9,236.11
4.85%
(209,320.00)
Aaa / AA+
AA+
1.14 1.10
As of December 31, 2023
24 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
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
95.27 4.36%
3,810,724.00
11,050.00
3.86%
(189,276.00)
Aaa / AA+
NR
1.33 1.29
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
95.38 4.36%
4,769,220.00
6,458.33
4.82%
(230,780.00)
Aaa / AA+
NR
1.33 1.29
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
93.17 4.54%
8,385,669.00
9,450.00
8.48%
(614,331.00)
Aaa / NR
AA+
1.83 1.78
3133EPCF0 FFCB Note
4.500% Due 03/02/2026
2,000,000.00 03/27/2023
4.01%
2,026,680.00
2,019,723.25
100.37
4.32%
2,007,414.00
29,750.00
2.06%
(12,309.25)
Aaa / AA+
AA+
2.17 2.02
3133EPQC2 FFCB Note
4.625% Due 07/17/2026
2,000,000.00 07/28/2023
4.66%
1,998,260.00
1,998,507.65
101.05
4.18%
2,021,016.00
42,138.89
2.08%
22,508.35
Aaa / AA+
AA+
2.55 2.33
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
91.67 4.35%
4,583,600.00
19,000.00
4.65%
(416,400.00)
Aaa / AA+
NR
2.58 2.49
3133EPDJ1 FFCB Note
4.375% Due 09/15/2027
2,000,000.00 03/27/2023
3.81%
2,045,720.00
2,037,903.90
101.14
4.04%
2,022,812.00
25,763.89
2.07%
(15,091.90)
Aaa / AA+
AA+
3.71 3.35
3130ATS57 FHLB Note
4.500% Due 03/10/2028
2,000,000.00 03/27/2023
3.82%
2,060,420.00
2,051,101.49
102.36
3.88%
2,047,294.00
27,750.00
2.09%
(3,807.49)
Aaa / AA+
NR
4.19 3.75
3130AEB25 FHLB Note
3.250% Due 06/09/2028
2,000,000.00 07/24/2023
4.15%
1,921,180.00
1,928,260.97
97.23 3.94%
1,944,540.00
3,972.22
1.97%
16,279.03
Aaa / AA+
NR
4.44 4.08
TOTAL Agency 59,540,000.00 1.14%
59,597,953.50
59,575,002.54 4.66%
57,495,231.76
199,352.23
58.25%
(2,079,770.78)
Aaa / AA+
AA+
1.52 1.44
Corporate
69371RR81 Paccar Financial Corp Note
3.150% Due 06/13/2024
895,000.00 06/06/2022
3.16%
894,794.15
894,953.82
98.92 5.61%
885,297.31
1,409.63
0.90%
(9,656.51)
A1 / A+
NR
0.45 0.44
40434CAD7 HSBC USA Inc Note
3.500% Due 06/23/2024
3,000,000.00 12/10/2019
2.14%
3,174,900.00
3,018,366.08
99.07 5.49%
2,972,187.00
2,333.33
3.00%
(46,179.08)
A2 / A-
A+
0.48 0.47
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
2,995,158.71
97.75 5.16%
2,932,434.00
16,770.83
2.98%
(62,724.71)
A1 / A+
NR
0.68 0.66
14913Q3B3 Caterpillar Finl Service Note
2.150% Due 11/08/2024
1,250,000.00 05/31/2022
2.87%
1,229,100.00
1,242,673.26
97.51 5.17%
1,218,865.00
3,956.60
1.23%
(23,808.26)
A2 / A
A+
0.86 0.83
06051GJR1 Bank of America Corp Callable Note Cont 4/22/2024
0.976% Due 04/22/2025
1,250,000.00 05/31/2022
4.43%
1,192,012.50
1,223,781.95
98.40 6.15%
1,229,961.25
2,338.33
1.24%
6,179.30
A1 / A-
AA-
1.31 1.17
As of December 31, 2023
25 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
24422EWF2 John Deere Capital Corp Note
3.400% Due 06/06/2025
280,000.00 06/01/2022
3.41%
279,935.60
279,969.33
98.30 4.64%
275,249.24
661.11
0.28%
(4,720.09)
A2 / A
A+
1.43 1.37
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
98.97 5.75%
945,134.85
1,637.83
0.96%
(9,865.15)
A1 / A
AA-
1.45 0.44
91324PEN8 United Health Group Inc Note
5.150% Due 10/15/2025
775,000.00 12/28/2022
4.56%
786,780.00
782,541.51
101.09
4.50%
783,451.38
8,425.97
0.80%
909.87
A2 / A+
A
1.79 1.68
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
5,009,123.88
93.46 4.64%
4,673,235.00
8,333.33
4.73%
(335,888.88)
A1 / A+
A+
1.79 1.74
63743HFF4 National Rural Utilities Note
5.450% Due 10/30/2025
495,000.00 10/20/2022
5.50%
494,336.70
494,595.36
101.00
4.87%
499,955.45
4,571.19
0.51%
5,360.09
A2 / A-
A
1.83 1.71
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
2,999,886.29
92.62 4.41%
2,778,507.00
8,341.67
2.81%
(221,379.29)
Aaa / AA+
NR
2.11 2.04
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
194,919.98
100.40
4.34%
195,779.42
3,401.13
0.20%
859.44
A1 / A+
NR
2.12 1.89
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
469,778.67
100.62
4.42%
472,912.12
8,061.81
0.49%
3,133.45
A3 / A-
A-
2.15 1.91
46647PBK1 JP Morgan Chase & Co Callable Note Cont 4/22/2025
2.083% Due 04/22/2026
1,250,000.00 05/31/2022
4.70%
1,190,825.00
1,214,911.73
95.78 5.45%
1,197,311.25
4,990.52
1.21%
(17,600.48)
A1 / A-
AA-
2.31 1.26
61747YET8 Morgan Stanley Callable Note Cont 7/17/2025
4.679% Due 07/17/2026
775,000.00 12/28/2022
5.77%
764,390.25
767,397.03
99.04 5.32%
767,562.33
16,519.47
0.79%
165.30
A1 / A-
A+
2.55 1.44
24422EXD6 John Deere Capital Corp Note
5.150% Due 09/08/2026
505,000.00 09/05/2023
5.18%
504,641.45
504,679.07
101.80
4.43%
514,095.56
8,163.47
0.53%
9,416.49
A2 / A
A+
2.69 2.45
713448FW3 Pepsico Inc. Callable Note Cont 10/10/2026
5.125% Due 11/10/2026
380,000.00 11/08/2023
5.13%
379,897.40
379,902.27
102.11
4.30%
388,032.06
2,758.96
0.39%
8,129.79
A1 / A+
NR
2.86 2.55
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
992,982.56
100.27
4.61%
1,002,682.00
13,969.44
1.03%
9,699.44
A2 / A-
AA-
3.71 3.25
78016FZW7 Royal Bank of Canada Note
4.900% Due 01/12/2028
1,000,000.00 03/30/2023
4.95%
997,990.00
998,307.37
101.08
4.60%
1,010,766.00
23,002.78
1.04%
12,458.63
A1 / A
AA-
4.04 3.54
TOTAL Corporate 25,475,000.00 2.68%
25,490,209.75
25,418,928.87 5.00%
24,743,418.22
139,647.40
25.12%
(675,510.65)
A1 / A+
A+
1.67 1.45
As of December 31, 2023
26 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
Money Market Fund
31846V203 First American Govt Obligation Fund Class Y 240,159.25 Various
4.98%
240,159.25
240,159.25
1.00 4.98%
240,159.25
0.00 0.24%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 240,159.25 4.98%
240,159.25
240,159.25 4.98%
240,159.25
0.00 0.24%
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
1,718,902.68
100.62
4.22%
1,730,719.04
9,890.00
1.76%
11,816.36
Aaa / AAA
AAA
2.37 2.22
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
1,943,784.07
97.91 4.01%
1,958,264.00
32,861.11
2.01%
14,479.93
Aaa / AAA
NR
4.53 4.07
TOTAL Supranational 3,720,000.00 4.35%
3,657,055.60
3,662,686.75 4.11%
3,688,983.04
42,751.11
3.77%
26,296.29
Aaa / AAA
AAA
3.53 3.21
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
2,989,314.63
91.85 4.04%
2,755,431.00
6,670.08
2.79%
(233,883.63)
Aaa / AA+
AA+
2.75 2.66
91282CFH9 US Treasury Note
3.125% Due 08/31/2027
1,950,000.00 03/30/2023
3.74%
1,901,173.83
1,909,523.29
97.19 3.96%
1,895,156.25
20,591.52
1.93%
(14,367.04)
Aaa / AA+
AA+
3.67 3.39
9128284N7 US Treasury Note
2.875% Due 05/15/2028
2,000,000.00 07/31/2023
4.23%
1,883,281.25
1,893,552.50
95.89 3.91%
1,917,812.00
7,424.45
1.94%
24,259.50
Aaa / AA+
AA+
4.38 4.04
9128285M8 US Treasury Note
3.125% Due 11/15/2028
2,000,000.00 12/28/2023
3.86%
1,935,078.13
1,935,187.36
96.60 3.90%
1,932,032.00
8,070.05
1.96%
(3,155.36)
Aaa / AA+
AA+
4.88 4.45
TOTAL US Treasury 8,950,000.00 2.94%
8,700,080.09
8,727,577.78 3.96%
8,500,431.25
42,756.10
8.62%
(227,146.53)
Aaa / AA+
AA+
3.81 3.54
TOTAL PORTFOLIO 101,835,159.25 1.96%
101,579,549.76
101,526,336.43 4.66%
98,619,627.98
432,133.73
100.00%
(2,906,708.45)
Aa1 / AA
AA
1.94 1.71
TOTAL MARKET VALUE PLUS ACCRUALS 99,051,761.71
As of December 31, 2023
27 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 33,115,283.00 12/31/2021
3.95%
33,115,283.00
33,115,283.00
1.00 3.95%
33,115,283.00
362,185.92
100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL LAIF 33,115,283.00 3.95%
33,115,283.00
33,115,283.00 3.95%
33,115,283.00
362,185.92
100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL PORTFOLIO 33,115,283.00 3.95%
33,115,283.00
33,115,283.00 3.95%
33,115,283.00
362,185.92
100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL MARKET VALUE PLUS ACCRUALS 33,477,468.92
As of December 31, 2023
28 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
90CASH$00 Cash Custodial Cash Account 786.04 10/25/2023
0.00%
786.04
786.04
1.00 0.00%
786.04
0.00 0.00%
0.00 NR / NR
NR
0.00 0.00
999WEL$12 Wells Fargo General Account 36,319.00 Various
0.00%
36,319.00
36,319.00
1.00 0.00%
36,319.00
0.00 0.12%
0.00 NR / NR
NR
0.00 0.00
999WEL$14 Wells Fargo Property Management 403,344.00 Various
0.00%
403,344.00
403,344.00
1.00 0.00%
403,344.00
0.00 1.38%
0.00 NR / NR
NR
0.00 0.00
999WEL$15 Wells Fargo SWEEP Account 28,831,321.00 Various
0.00%
28,831,321.00
28,831,321.00
1.00 0.00%
28,831,321.00
0.00 98.50%
0.00 NR / NR
NR
0.00 0.00
TOTAL Cash 29,271,770.04 0.00%
29,271,770.04
29,271,770.04 0.00%
29,271,770.04
0.00 100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL PORTFOLIO 29,271,770.04 0.00%
29,271,770.04
29,271,770.04 0.00%
29,271,770.04
0.00 100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL MARKET VALUE PLUS ACCRUALS 29,271,770.04
As of December 31, 2023
29 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
99,998.61
99.87 5.37%
99,873.70
86.00 0.06%
(124.91)
Aaa / AAA
NR
1.90 0.80
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
209,971.51
100.13
5.01%
210,262.50
294.00
0.13%
290.99
Aaa / NR
AAA
3.31 1.53
92348KAA1 Verizon Master Trust 2021-1 A
0.500% Due 05/20/2027
220,000.00 10/21/2022
4.28%
204,668.75
212,487.87
98.02 2.82%
215,642.68
33.61 0.13%
3,154.81
Aaa / AAA
AAA
3.39 0.86
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
394,940.80
100.19
4.95%
395,747.78
879.53
0.25%
806.98
Aaa / NR
AAA
3.88 1.66
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
189,970.92
101.04
4.95%
191,975.24
173.22
0.12%
2,004.32
NR / AAA
AAA
4.16 1.78
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
349,974.81
100.73
4.59%
352,564.45
757.56
0.22%
2,589.64
NR / AAA
AAA
4.38 2.19
438123AC5 Honda Auto Receivables OT 2023-4 A3
5.670% Due 06/21/2028
330,000.00 11/01/2023
5.74%
329,941.89
329,944.27
102.09
3.84%
336,895.35
519.75
0.21%
6,951.08
Aaa / NR
AAA
4.48 1.09
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
1,059,735.12
101.55
4.59%
1,076,393.96
2,430.93
0.67%
16,658.84
NR / AAA
AAA
4.71 2.46
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
1,054,957.33
101.62
4.64%
1,072,048.80
2,452.29
0.66%
17,091.47
NR / AAA
AAA
4.71 2.46
TOTAL ABS 3,910,000.00 5.20%
3,894,091.57
3,901,981.24 4.54%
3,951,404.46
7,626.89
2.45%
49,423.22
Aaa / AAA
AAA
4.33 2.03
Agency
3130ALLM4 FHLB Callable Note Qtrly 6/28/2021
0.350% Due 03/28/2024
4,890,000.00 03/29/2021
0.37%
4,887,066.00
4,889,766.89
98.84 5.22%
4,833,090.18
4,421.38
2.99%
(56,676.71)
Aaa / AA+
NR
0.24 0.24
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
98.82 5.25%
2,668,064.40
2,415.00
1.65%
(31,935.60)
Aaa / NR
AA+
0.24 0.24
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
98.10 5.49%
4,905,215.00
2,291.67
3.03%
(94,785.00)
Aaa / AA+
AA+
0.38 0.37
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
97.85 5.23%
4,281,095.00
774.74
2.65%
(93,905.00)
Aaa / AA+
AA+
0.45 0.44
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
4,574,738.39
96.72 5.01%
4,424,798.18
4,880.00
2.74%
(149,940.21)
Aaa / NR
AA+
0.74 0.71
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
95.81 4.33%
4,790,680.00
9,236.11
2.97%
(209,320.00)
Aaa / AA+
AA+
1.14 1.10
As of December 31, 2023
30 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
95.27 4.36%
3,810,724.00
11,050.00
2.36%
(189,276.00)
Aaa / AA+
NR
1.33 1.29
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
95.38 4.36%
4,769,220.00
6,458.33
2.95%
(230,780.00)
Aaa / AA+
NR
1.33 1.29
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
93.17 4.54%
8,385,669.00
9,450.00
5.19%
(614,331.00)
Aaa / NR
AA+
1.83 1.78
3133EPCF0 FFCB Note
4.500% Due 03/02/2026
2,000,000.00 03/27/2023
4.01%
2,026,680.00
2,019,723.25
100.37
4.32%
2,007,414.00
29,750.00
1.26%
(12,309.25)
Aaa / AA+
AA+
2.17 2.02
3133EPQC2 FFCB Note
4.625% Due 07/17/2026
2,000,000.00 07/28/2023
4.66%
1,998,260.00
1,998,507.65
101.05
4.18%
2,021,016.00
42,138.89
1.28%
22,508.35
Aaa / AA+
AA+
2.55 2.33
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
91.67 4.35%
4,583,600.00
19,000.00
2.84%
(416,400.00)
Aaa / AA+
NR
2.58 2.49
3133EPDJ1 FFCB Note
4.375% Due 09/15/2027
2,000,000.00 03/27/2023
3.81%
2,045,720.00
2,037,903.90
101.14
4.04%
2,022,812.00
25,763.89
1.27%
(15,091.90)
Aaa / AA+
AA+
3.71 3.35
3130ATS57 FHLB Note
4.500% Due 03/10/2028
2,000,000.00 03/27/2023
3.82%
2,060,420.00
2,051,101.49
102.36
3.88%
2,047,294.00
27,750.00
1.28%
(3,807.49)
Aaa / AA+
NR
4.19 3.75
3130AEB25 FHLB Note
3.250% Due 06/09/2028
2,000,000.00 07/24/2023
4.15%
1,921,180.00
1,928,260.97
97.23 3.94%
1,944,540.00
3,972.22
1.20%
16,279.03
Aaa / AA+
NR
4.44 4.08
TOTAL Agency 59,540,000.00 1.14%
59,597,953.50
59,575,002.54 4.66%
57,495,231.76
199,352.23
35.66%
(2,079,770.78)
Aaa / AA+
AA+
1.52 1.44
Cash
90CASH$00 Cash Custodial Cash Account 786.04 10/25/2023
0.00%
786.04
786.04
1.00 0.00%
786.04
0.00 0.00%
0.00 NR / NR
NR
0.00 0.00
999WEL$12 Wells Fargo General Account 36,319.00 Various
0.00%
36,319.00
36,319.00
1.00 0.00%
36,319.00
0.00 0.02%
0.00 NR / NR
NR
0.00 0.00
999WEL$14 Wells Fargo Property Management 403,344.00 Various
0.00%
403,344.00
403,344.00
1.00 0.00%
403,344.00
0.00 0.25%
0.00 NR / NR
NR
0.00 0.00
999WEL$15 Wells Fargo SWEEP Account 28,831,321.00 Various
0.00%
28,831,321.00
28,831,321.00
1.00 0.00%
28,831,321.00
0.00 17.82%
0.00 NR / NR
NR
0.00 0.00
TOTAL Cash 29,271,770.04 0.00%
29,271,770.04
29,271,770.04 0.00%
29,271,770.04
0.00 18.09%
0.00 NR / NR
NR
0.00 0.00
As of December 31, 2023
31 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
Corporate
69371RR81 Paccar Financial Corp Note
3.150% Due 06/13/2024
895,000.00 06/06/2022
3.16%
894,794.15
894,953.82
98.92 5.61%
885,297.31
1,409.63
0.55%
(9,656.51)
A1 / A+
NR
0.45 0.44
40434CAD7 HSBC USA Inc Note
3.500% Due 06/23/2024
3,000,000.00 12/10/2019
2.14%
3,174,900.00
3,018,366.08
99.07 5.49%
2,972,187.00
2,333.33
1.84%
(46,179.08)
A2 / A-
A+
0.48 0.47
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
2,995,158.71
97.75 5.16%
2,932,434.00
16,770.83
1.82%
(62,724.71)
A1 / A+
NR
0.68 0.66
14913Q3B3 Caterpillar Finl Service Note
2.150% Due 11/08/2024
1,250,000.00 05/31/2022
2.87%
1,229,100.00
1,242,673.26
97.51 5.17%
1,218,865.00
3,956.60
0.76%
(23,808.26)
A2 / A
A+
0.86 0.83
06051GJR1 Bank of America Corp Callable Note Cont 4/22/2024
0.976% Due 04/22/2025
1,250,000.00 05/31/2022
4.43%
1,192,012.50
1,223,781.95
98.40 6.15%
1,229,961.25
2,338.33
0.76%
6,179.30
A1 / A-
AA-
1.31 1.17
24422EWF2 John Deere Capital Corp Note
3.400% Due 06/06/2025
280,000.00 06/01/2022
3.41%
279,935.60
279,969.33
98.30 4.64%
275,249.24
661.11
0.17%
(4,720.09)
A2 / A
A+
1.43 1.37
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
98.97 5.75%
945,134.85
1,637.83
0.59%
(9,865.15)
A1 / A
AA-
1.45 0.44
91324PEN8 United Health Group Inc Note
5.150% Due 10/15/2025
775,000.00 12/28/2022
4.56%
786,780.00
782,541.51
101.09
4.50%
783,451.38
8,425.97
0.49%
909.87
A2 / A+
A
1.79 1.68
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
5,009,123.88
93.46 4.64%
4,673,235.00
8,333.33
2.89%
(335,888.88)
A1 / A+
A+
1.79 1.74
63743HFF4 National Rural Utilities Note
5.450% Due 10/30/2025
495,000.00 10/20/2022
5.50%
494,336.70
494,595.36
101.00
4.87%
499,955.45
4,571.19
0.31%
5,360.09
A2 / A-
A
1.83 1.71
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
2,999,886.29
92.62 4.41%
2,778,507.00
8,341.67
1.72%
(221,379.29)
Aaa / AA+
NR
2.11 2.04
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
194,919.98
100.40
4.34%
195,779.42
3,401.13
0.12%
859.44
A1 / A+
NR
2.12 1.89
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
469,778.67
100.62
4.42%
472,912.12
8,061.81
0.30%
3,133.45
A3 / A-
A-
2.15 1.91
46647PBK1 JP Morgan Chase & Co Callable Note Cont 4/22/2025
2.083% Due 04/22/2026
1,250,000.00 05/31/2022
4.70%
1,190,825.00
1,214,911.73
95.78 5.45%
1,197,311.25
4,990.52
0.74%
(17,600.48)
A1 / A-
AA-
2.31 1.26
61747YET8 Morgan Stanley Callable Note Cont 7/17/2025
4.679% Due 07/17/2026
775,000.00 12/28/2022
5.77%
764,390.25
767,397.03
99.04 5.32%
767,562.33
16,519.47
0.48%
165.30
A1 / A-
A+
2.55 1.44
As of December 31, 2023
32 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
24422EXD6 John Deere Capital Corp Note
5.150% Due 09/08/2026
505,000.00 09/05/2023
5.18%
504,641.45
504,679.07
101.80
4.43%
514,095.56
8,163.47
0.32%
9,416.49
A2 / A
A+
2.69 2.45
713448FW3 Pepsico Inc. Callable Note Cont 10/10/2026
5.125% Due 11/10/2026
380,000.00 11/08/2023
5.13%
379,897.40
379,902.27
102.11
4.30%
388,032.06
2,758.96
0.24%
8,129.79
A1 / A+
NR
2.86 2.55
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
992,982.56
100.27
4.61%
1,002,682.00
13,969.44
0.63%
9,699.44
A2 / A-
AA-
3.71 3.25
78016FZW7 Royal Bank of Canada Note
4.900% Due 01/12/2028
1,000,000.00 03/30/2023
4.95%
997,990.00
998,307.37
101.08
4.60%
1,010,766.00
23,002.78
0.64%
12,458.63
A1 / A
AA-
4.04 3.54
TOTAL Corporate 25,475,000.00 2.68%
25,490,209.75
25,418,928.87 5.00%
24,743,418.22
139,647.40
15.38%
(675,510.65)
A1 / A+
A+
1.67 1.45
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 33,115,283.00 12/31/2021
3.95%
33,115,283.00
33,115,283.00
1.00 3.95%
33,115,283.00
362,185.92
20.69%
0.00 NR / NR
NR
0.00 0.00
TOTAL LAIF 33,115,283.00 3.95%
33,115,283.00
33,115,283.00 3.95%
33,115,283.00
362,185.92
20.69%
0.00 NR / NR
NR
0.00 0.00
Money Market Fund
31846V203 First American Govt Obligation Fund Class Y 240,159.25 Various
4.98%
240,159.25
240,159.25
1.00 4.98%
240,159.25
0.00 0.15%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 240,159.25 4.98%
240,159.25
240,159.25 4.98%
240,159.25
0.00 0.15%
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
1,718,902.68
100.62
4.22%
1,730,719.04
9,890.00
1.08%
11,816.36
Aaa / AAA
AAA
2.37 2.22
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
1,943,784.07
97.91 4.01%
1,958,264.00
32,861.11
1.23%
14,479.93
Aaa / AAA
NR
4.53 4.07
TOTAL Supranational 3,720,000.00 4.35%
3,657,055.60
3,662,686.75 4.11%
3,688,983.04
42,751.11
2.31%
26,296.29
Aaa / AAA
AAA
3.53 3.21
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
2,989,314.63
91.85 4.04%
2,755,431.00
6,670.08
1.71%
(233,883.63)
Aaa / AA+
AA+
2.75 2.66
91282CFH9 US Treasury Note
3.125% Due 08/31/2027
1,950,000.00 03/30/2023
3.74%
1,901,173.83
1,909,523.29
97.19 3.96%
1,895,156.25
20,591.52
1.18%
(14,367.04)
Aaa / AA+
AA+
3.67 3.39
As of December 31, 2023
33 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
9128284N7 US Treasury Note
2.875% Due 05/15/2028
2,000,000.00 07/31/2023
4.23%
1,883,281.25
1,893,552.50
95.89 3.91%
1,917,812.00
7,424.45
1.19%
24,259.50
Aaa / AA+
AA+
4.38 4.04
9128285M8 US Treasury Note
3.125% Due 11/15/2028
2,000,000.00 12/28/2023
3.86%
1,935,078.13
1,935,187.36
96.60 3.90%
1,932,032.00
8,070.05
1.20%
(3,155.36)
Aaa / AA+
AA+
4.88 4.45
TOTAL US Treasury 8,950,000.00 2.94%
8,700,080.09
8,727,577.78 3.96%
8,500,431.25
42,756.10
5.28%
(227,146.53)
Aaa / AA+
AA+
3.81 3.54
TOTAL PORTFOLIO 164,222,212.29 2.01%
163,966,602.80
163,913,389.47 3.67%
161,006,681.02
794,319.65
100.00%
(2,906,708.45)
Aa1 / AA
AA
1.19 1.05
TOTAL MARKET VALUE PLUS ACCRUALS 161,801,000.67
As of December 31, 2023
34 SECTION |
Section 4 |
Transactions
35 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 11/08/2023 438123AC5 330,000.00 Honda Auto Receivables OT 2023-4 A3
5.67% Due: 06/21/2028
99.982 5.74% 329,941.89 0.00 329,941.89 0.00
Purchase 11/10/2023 713448FW3 380,000.00 Pepsico Inc. Callable Note Cont 10/10/2026
5.125% Due: 11/10/2026
99.973 5.13% 379,897.40 0.00 379,897.40 0.00
Purchase 12/29/2023 9128285M8 2,000,000.00 US Treasury Note
3.125% Due: 11/15/2028
96.754 3.86% 1,935,078.13 7,554.95 1,942,633.08 0.00
Subtotal 2,710,000.00 2,644,917.42 7,554.95 2,652,472.37 0.00 TOTAL ACQUISITIONS 2,710,000.00 2,644,917.42 7,554.95 2,652,472.37 0.00
DISPOSITIONS
Sale 11/10/2023
3130ALLM4 110,000.00 FHLB Callable Note Qtrly 6/28/2021
0.35% Due: 03/28/2024
98.010 0.37% 107,811.00 44.92 107,855.92 -2,180.62
Subtotal 110,000.00 107,811.00 44.92 107,855.92 -2,180.62 Maturity 11/06/2023 62479MY64 400,000.00 MUFG Bank Ltd/NY Discount CP
5.55% Due: 11/06/2023
98.443 400,000.00 0.00 400,000.00 0.00
Maturity 12/29/2023
3135GABN0 1,950,000.00 FNMA Callable Note Qtrly 12/29/2021
0.28% Due: 12/29/2023
100.000 1,950,000.00 0.00 1,950,000.00 0.00
Subtotal 2,350,000.00 2,350,000.00 0.00 2,350,000.00 0.00 TOTAL DISPOSITIONS 2,460,000.00 2,457,811.00 44.92 2,457,855.92 -2,180.62 September 30, 2023 through December 31, 2023
As of December 31, 2023
36 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
10/31/2023 90LAIF$00 4,584,717.00 Local Agency Investment Fund State Pool 1.000 4,584,717.00 0.00 4,584,717.00 0.00 Security
Withdrawal
11/30/2023
90LAIF$00 5,000,000.00 Local Agency Investment Fund State Pool 1.000 5,000,000.00 0.00 5,000,000.00 0.00 Subtotal 9,584,717.00 9,584,717.00 0.00 9,584,717.00 0.00 TOTAL DISPOSITIONS 9,584,717.00 9,584,717.00 0.00 9,584,717.00 0.00 September 30, 2023 through December 31, 2023
As of December 31, 2023
37 Important Disclosures
2023 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential. Prices are provided by ICE Data Services Inc (“IDS”), an independent pricing source. In the event IDS does not provide a price or if the price provided is not reflective of fair market value, Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures . Our valuation procedures are also disclosed in Item 5 of our Form ADV Part 2A.
Performance results are presented gross-of-advisory fees and represent the client’s Total Return. The deduction of advisory fees lowers performance results. These results include the reinvestment of dividends and other earnings. Past performance may not be indicative of future results. Therefore, clients should not assume that future performance of any specific investment or investment strategy will be profitable or equal to past performance levels. All investment strategies have the potential for profit or loss. Economic factors, market conditions or changes in investment strategies, contributions or withdrawals may materially alter the performance and results of your portfolio.
Index returns assume reinvestment of all distributions. Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the deduction of an investment management fee, the incurrence of which would have the effect of decreasing historical performance results. It is not possible to invest directly in an index.
Source ICE Data Indices, LLC ("ICE"), used with permission. ICE permits use of the ICE indices and related data on an "as is" basis; ICE, its affiliates and their respective third party suppliers disclaim any and all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, or derived therefrom. Neither ICE data, its affiliates or their respective third party providers guarantee the quality, adequacy, accuracy, timeliness or completeness of the indices or the index data or any component thereof, and the indices and index data and all components thereof are provided on an "as is" basis and licensee's use it at licensee's own risk. ICE data, its affiliates and their respective third party do not sponsor, endorse, or recommend chandler asset management, or any of its products or services.
This re port is provided for informational purposes only and should not be construed as a specific investment or legal advice. The information contained herein was obtained from sources believed to be reliable as of the date of publication, but may become outdated or superseded at any time without notice. Any opinions or views expressed are based on current market conditions and are subject to change. This report may contain forecasts and forward-looking statements which are inherently limited and should not be relied upon as indicator of future results. Past performance is not indicative of future results. This report is not intended to constitute an offer, solicitation, recommendation or advice regarding any securities or investment strategy and should not be regarded by recipients as a substitute for the exercise of their own judgment.
Fixed income investments are subject to interest, credit and market risk. Interest rate risk: the value of fixed income investments will decline as interest rates rise. Credit risk: the possibility that the borrower may not be able to repay interest and principal. Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk. Market risk: the bond market in general could decline due to economic conditions, especially during periods of rising interest rates.
Ratings information have been provided by Moody’s, S&P and Fitch through data feeds we believe to be reliable as of the date of this statement, however we cannot guarantee its accuracy.
Security level ratings for U.S. Agency issued mortgage-backed securities (“MBS”) reflect the issuer rating because the securities themselves are not rated. The issuing U.S. Agency guarantees the full and timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P, Moody’s and Fitch respectively.
Your qualified custodian bank maintains control of all assets reflected in this statement and we urge you to compare this statement to the one you receive from your qualified custodian. Chandler does not have any authority to withdraw or deposit funds from/to the custodian account.
As of December 31, 2023
38 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 December 31, 2023
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