CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending March 31, 2024
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 March 31, 2024
1 SECTION |
Section 1 |
Economic Update
2 Economic Update
Recent economic data 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 the March 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 March Summaryof Economic Projections (SEP) showed stronger real GDP growth outlookand higher core inflation projections for 2024 on resilient labor market and consumer data. The median projection for Federal Funds rate by year-end remained the same at 4.625%, implying three 0.25% cuts. We continue to believe the FOMC will loosen monetary policy in mid-2024 as inflation and economic growth continue to moderate.
The US Treasury yield curve stabilized in March as the FOMC left the Federal Funds rate unchanged. The 2-year Treasury yield was unchanged at 4.62%, the 5-year Treasury fell 4 basis points to 4.21%, and the 10-year Treasury yield dropped 5 basis points to 4.20%. The inversion between the 2-year Treasury yield and 10-year Treasury yield widened to -42 basis points at March month-end versus -37 basis points at February month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -56 basis points. The inversion between 3-month and 10-year Treasuries widened to -117 basis points in March from -113 basis points in February. 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 a better-than-expected 303,000 jobs in March, and the prior two months were revised up by 22,000. Leading sectors included healthcare and government.Job creation remains healthy, with the three-monthmoving average payrolls at 276,000 and the six-month moving average at 244,000. The unemploymentrate edged down to 3.8% in March. The labor participation rate ticked up to
62.7% but remained 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 was unchanged at 7.3%. Average hourly earnings rose 4.1% year- over-year in March, down from 4.3% last month. 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 D epartment’s Job Openings and Labor Turnover Survey (JOLTS) edged up to 8.756 million in February compared to a downwardly revised 8.748 million in January. Job openings still represent a healthy ratio of around 1.4 jobs for each unemployed individual. 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 P rice Index (CPI) came in higher than expected in March, increasing 0.4% month-over-monthand 3.5% year-over-year. The Core CPI, which excludes volatile food and energy components, was up 0.4% month-over-monthand 3.8% year-over-year in March, unchanged from 3.8% in February. Energy costs accelerated during the month, and shelter costs remain elevated. The Personal Consumption Expenditures (PCE) Index headline inflation increased 0.3% month-over-monthand rose 2.5% year-over-year in February, in line with expectations. Core PCE, the Federal Reserve’s preferredinflation gauge, increased 0.3% month-over-monthand rose 2.8% year- over-year. While the trend is moderating, the path to the Fed's 2% inflation target remains uneven.
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
March Retail Sales rose above expectations at +0.7% after a sizeable upward revision to +0.9% in February. On a year-over-year basis, Retail Sales growth increased 4.0% for March. Sales were supported by higher gas prices and higher volume sales in a busy travel period for spring break at schools, as well as strength from non-store retailers. The Conference Board’s Consumer Confidence Index edged down to 104.7 in March after a sizeable downward revision to 104.8 in February. The lower reading was largely due to a deteriorating view of the labor market and future business conditions, along with concerns about the highly polarized political environment. 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%
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 B oard’s Leading Economic Index (LEI) rose to 0.1% month-over-month in February ending its 2-year uninterrupted contraction since February 2022. The index declined 6.3% year-over-year. The Conference Board is no longer calling for recession but expects GDP growth to slow to near zero this year. The Chicago Fed National Activity Index (CFNAI) increased +0.05 in February from a downwardlyrevised -0.54 in January. On a 3-month movingaverage basis, the CFNAI decreased to -0.18 in February from-0.11 in January, indicating moderating economic growth.
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 increased 10.7% month-over-monthin February to 1.521 million units, due to milder weather than seen in January and some rising confidence among homebuilders as mortgage rates fell below 7%. Starts for multi-family homes increased 8.6%, while single family homes increased 11.6% for the month. Total starts of new single-family homes are up 35.2% year-over-year. According to Freddie Mac, 30-year fixed mortgage rates averaged 6.79% as of March 31st. According to the Case-Shiller 20-City Home Price Index, housing prices rose 6.59% year-over-year in January, accelerating from a 6.15% year-over-year gain in December. 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 unexpectedly expanded to 50.3 in March from 47.8 in February, marking the first month of expansion in factory activity above a reading of 50 since 2022. Production and new orders surged, while employment improved and prices paid increased. The ISM Services Index fell to 51.4 in March from 52.6 in February but remained in expansion territory for the 15th consecutive month. The survey reflected slower growth in new orders, a contraction in employment, faster supplier deliveries, and declining price pressures.
Source: Institute for Supply Management
10 Gross Domestic Product (GDP)
Components of GDP 3/23 6/23 9/23 12/23
2.5% 0.6% 2.1% 2.2%
-1.7% 0.9% 1.7% 0.2%
0.6% 0.0% 0.0% 0.3%
0.3% 0.1% 0.5% 0.2%
0.5% 0.5% 0.5% 0.6%
2.3% 2.1% 4.9% 3.4%
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 t he third estimate, fourth quarter GDP increased at an annualized rate of 3.4%, revised up from the second estimate of 3.2%.
The upward revision was due mainly to stronger personal consumption expenditures and nonresidential investment. GDP growth for the full year 2023 is estimated at 2.5%. The consensus projection calls for 2.0% growth in the first quarter and 2.2% growth for the full year 2024.
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 March 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 FOMC Statement and Summary of Economic Projections (SEP) was minimally changed from January. The Fed assesses the progress to achieving its employment and inflation goals are moving into better balance, yet changes to monetary policy remain data dependent. For 2024, the March SEP showed stronger real GDP growth outlook of 2.1% from 1.4% in December as labor market and consumer data have been resilient. Core inflation projections nudged up from 2.4% to 2.6%. The median projection for the Federal Funds rate by the end of the year remained the same at 4.625%, implying three 0.25% cuts in 2024, three cuts in 2025 and three cuts in 2026. 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 $1.5T to approximately $7.5T.
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
Mar-24
Dec-23
Mar-23
Yield (%)
At the end of March, the 2-year Treasury yield was 59 basis point higher, and the 10-Year Treasury yield was 73 basis points higher, year- over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield widened to -42 basis points at March month-end versus -37 basis points at February month-end. The average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10-year Treasuries widened to -117 basis points in March from -113 basis points in February. 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 March 31, 2024
15 Compliance As of March 31, 2024
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
03/31/24 12/31/23
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 2.68 1.98 1.94
Average Modified Duration 2.52 1.73 1.71
Average Purchase Yield n/a 2.22% 1.96%
Average Market Yield 4.57% 4.87% 4.66%
Average Quality** NR NR/NR AA/Aa1
Total Market Value 99,531,917 99,051,762
*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 March 31, 2024
17 City of Orange
Sector Distribution
Agency
51.5%
Asset Backed
Security
3.9%
Corporate
29.0%
Money Market
Fund
0.3%
Supranational
3.7%
US Treasury
8.8%
Cash
2.7%
March 31, 2024 December 31, 2023
ABS
4.0%
Agency
58.3%
Corporate
25.1%
Money Market
Fund
0.2%
Supranational
3.8%
US Treasury
8.6%
As of March 31, 2024
18 Issue Name Investment Type % Portfolio
Federal Home Loan Bank Agency 19.31%
Federal National Mortgage Association Agency 13.16%
Federal Home Loan Mortgage Corp Agency 12.96%
Government of United States US Treasury 8.84%
Federal Farm Credit Bank Agency 6.04%
Toyota Motor Corp Corporate 4.73%
HSBC Holdings PLC Corporate 3.03%
Coca Cola Co. Corporate 2.97%
Apple Inc Corporate 2.80%
Account Receivable Payable Cash 2.73%
Paccar Financial Corporate 2.11%
Pepsico Inc Corporate 2.05%
Intl Bank Recon and Development Supranational 1.96%
Inter-American Dev Bank Supranational 1.75%
American Express ABS Asset Backed Security 1.42%
Cisco Systems Corporate 1.27%
Bank of America Corp Corporate 1.26%
Caterpillar Inc Corporate 1.24%
JP Morgan Chase & Co Corporate 1.22%
JP Morgan ABS Asset Backed Security 1.07%
Royal Bank of Canada Corporate 1.02%
Bank of Montreal Chicago Corporate 1.00%
Bank of New York Corporate 0.96%
United Health Group Inc Corporate 0.80%
Deere & Company Corporate 0.79%
Morgan Stanley Corporate 0.78%
Honda ABS Asset Backed Security 0.55%
National Rural Utilities Corporate 0.51%
Union Pacific Corp Corporate 0.47%
John Deere ABS Asset Backed Security 0.40%
First American Govt Oblig Fund Money Market Fund 0.28%
Verizon Master Trust Asset Backed Security 0.22%
BMW ABS Asset Backed Security 0.19%
BMW Vehicle Lease Trust Asset Backed Security 0.10%
TOTAL 100.00%
Issuers
City of Orange – Account #10888
As of March 31, 2024
19 AAA AA A <A NR
03/31/24 9.6% 65.2% 25.2% 0.0% 0.0%
12/31/23 7.1% 54.0% 22.3% 0.0% 16.6%
Source: S&P Ratings
March 31, 2024 vs. December 31, 2023
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
AAA AA A <A NR
03/31/24 12/31/23
Quality Distribution
City of Orange
As of March 31, 2024
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 18.5% 7.5% 5.4% 33.6% 13.0% 13.3% 8.7% 0.0%
Benchmark* 0.0% 0.0% 2.3% 34.7% 26.9% 22.6% 13.6% 0.0%
*ICE BofA 1-5 Yr US Treasury & Agency Index
Duration Distribution
City of Orange
As of March 31, 2024
21 -0.01%
-0.01%
0.00%
0.01%
0.01%
0.02%
0.02%
0.03%
0.03%
0.04%
0.04%
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 .50% 3.57 1.39% N/A N/A N/A -0.41%
ICE BofA 1-5 Yr US Treasury & Agency Index -0.01% 2.45% 1.02% N/A N/A N/A -0.52% 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 March 31, 2024
22 SECTION |
Section 3 |
Portfolio Holdings
23 24
25 26
27 28
29 30
31 32
33 34
35 SECTION |
Section 4 |
Transactions
36 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 01/30/2024 3130AXQK7 2,000,000.00 Federal Home Loan Banks Note
4.75% Due: 12/08/2028
103.033 4.05% 2,060,660.00 22,958.33 2,083,618.33 0.00
Subtotal 2,000,000.00 2,060,660.00 22,958.33 2,083,618.33 0.00 TOTAL ACQUISITIONS 2,000,000.00 2,060,660.00 22,958.33 2,083,618.33 0.00
DISPOSITIONS
Sale 01/30/2024 91282CFH9 1,950,000.00 US Treasury Note
3.125% Due: 08/31/2027
96.855 3.74% 1,888,681.64 25,446.43 1,914,128.07 -21,718.94 Subtotal 1,950,000.00 1,888,681.64 25,446.43 1,914,128.07 -21,718.94 TOTAL DISPOSITIONS 1,950,000.00 1,888,681.64 25,446.43 1,914,128.07 -21,718.94 December 31, 2023 through January 31, 2024
As of January 31, 2024
37 38
39 40
41 42
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
ACQUISITIONS
Security
Contribution
01/31/2024 90LAIF$00 15,364,775.00 Local Agency Investment Fund State Pool 1.000 15,364,775.00 0.00 15,364,775.00 0.00 Subtotal 15,364,775.00 15,364,775.00 0.00 15,364,775.00 0.00 TOTAL ACQUISITIONS 15,364,775.00 15,364,775.00 0.00 15,364,775.00 0.00 December 31, 2023 through January 31, 2024
As of January 31, 2024
43 44
45 46
47 48
49 50
51 52
53 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 IC E 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 December 31, 2023
54 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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