INVESTMENT REPORT
City of Orange | As of June 30, 2024
CHANDLER ASSET MANAGEMENT | chandlerasset.com
Chandler Team:
For questions about your account, please call (800) 317-4747, or contact [email protected]
Information contained herein is confidential. We urge you to compare this statement to the one you receive from your qualified custodian. Please see Important Disclosures at the end of the statement.
TABLE OF CONTENTS
City of Orange | Account #10888 | As of June 30, 2024
ECONOMIC UPDATE
ACCOUNT PROFILE
PORTFOLIO HOLDINGS
TRANSACTIONS
1 ECONOMIC UPDATE
2 Economic Update
Recent economic data suggests positive but slower growth this year fueled by consumer spending. While the consumer has been resilient, growing credit card debt, higher delinquencies, and a moderating labor market pose potential headwinds to future economic growth.
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 June meeting, the Federal Open Market Committee voted unanimously to leave the federal funds rate unchanged at a target range of 5.25-5.50%, emphasizing the need to see sustained evidence of easing inflation before considering any rate cuts. The FOMC's latest projections now suggest only one interest rate cut in 2024, with four more cuts expected in 2025 and a slightly higher long- term neutral rate. Additionally, the Fed continues to reduce its holdings of U.S. Treasury securities and agency mortgage-backed securities as per its predefined schedule of $25 billion and $35 billion per month.
The US Treasury yield curve shifted lower in June as economic data moderated. The 2-year Treasury yield fell 12 basis points to 4.76%, the 5-year Treasury dropped13 basis points to 4.38%, and the 10-year Treasury yield declined 10 basis points to 4.40%. The inversion between the 2-year Treasury yield and 10-year Treasury yield remained relatively stable at -36 basis points at June month-end versus -37 basis points at May month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -106 basis points. The inversion between 3-month and 10-year Treasuries widened to -96 basis points in June from -91 basis points in May. 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 206,000 jobs in June, remaining ahead of consensus expectations of 190,000 jobs. The gains were broad based, with government, health care, and social assistance posting the largest gains. The three-month moving average and six-month moving average payrolls have weakened from the first quarter to 177,000 and 222,000 respectively. The unemploymentrate edged up to 4.1% in June, and the labor participation rate inched up to 62.6%, remaining below the pre-pandemic level of 63.3%. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons held steady at
7.4%. Average hourly earnings rose 3.9% year-over-year in June, down from 4.1% year-over-year in May. The labor markets continue to show signs of cooling in line with the Federal Reserve’s view that there has been “substantial” progress towards better balance in the labor market between demand and supply for workers.
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) increased to 8.140 million job openings in May from a downwardlyrevised 7.919 million in April. Job openings still represent a healthy ratio of around 1.2 jobs for each unemployedindividual.
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
In June, t he Consumer Price Index (CPI) declined 0.1% month-over-monthand rose 3.0% year-over-year, reflecting broad-based cost reductions. The month-over-monthdrop was the first deflationary data point since the pandemic. The Core CPI, which excludes volatile food and energy components, was up just 0.1% month-over-monthand 3.3% year-over-year in June, down from 3.4% in May and lower than expected. The Personal Consumption Expenditures (PCE) Index decelerated in May as expected. The headline PCE deflator was unchanged in May from April versus up 0.3% in the prior month. Year-over-year, the PCE deflator rose 2.6%. The Core PCE deflator (the Fed’s preferred gauge) increased 0.1% in May from the prior month versus up 0.3% in April. The Core PCE deflator also rose 2.6% year- over-year, still above the Fed’s 2% inflation target. Much of the lingering inflation has been driven by shelter costs and demand for services.
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 w ere unchanged month-over-monthin June after an upwardly revised 0.3% gain in May. On a year-over-year basis, Retail Sales growth further slowed to 2.3% in June from 2.6% in May. Nonstore retailers were a bright spot in June, while motor vehicle and gasoline sales declined. The Conference Board’s Consumer Confidence Index fell to 100.4 in June from 101.3 in May. While the present situation component rose marginally, consumers are less optimistic about future expectations for business conditions and potential income increases. While the consumer has been resilient, consumption has begun to moderate in the face of higher interest rates, rising credit card balances, and growing delinquencies.
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) fell 0.2% in June following a 0.4% decline in May. The index dropped 4.8% year-over- year. The report stated that "due to the smaller month-on-monthrate of decline, the LEI's long-term growth has become less negative, pointing to a slow recovery.” The Chicago Fed National Activity Index (CFNAI) decreased to 0.05 in June from 0.23 in May, surpassing consensus expectations. The three-month moving average rose to -0.01 in June from -0.08 in May, indicating slightly below-trend growth expectations for the economy.
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
2,400
In Thousands of Units
Annualized Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
Housing starts jumped 3.0% month-over-monthin June to a higher-than-expected 1.353 million units, driven primarily by the multi-family category. Starts were down 4.4% year-over-year. The Freddie Mac average rate for a 30-year fixed mortgage edged down to 6.92% in June from 7.06% in May. According to the Case-Shiller 20-City Home Price Index, housing prices rose a higher-than-expected 7.2% year- over-year in April versus March's upwardly revised 7.5% increase. 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 edged down to 48.5 in June from 48.7 in May. While new orders picked up, prices paid for materials fell the most in over a year. The ISM Services Index returned to contraction declining to 48.8 in June, from
53.8 in the previous month. Although thelevel of the decline was a surprise, the trend in the Services PMI, which applies to a larger share of US economic output, has been steadily decreasing.
Source: Institute for Supply Management
10 Gross Domestic Product (GDP)
Components of GDP 9/23 12/ 23 3/24 6/24
2.1% 2.2% 1.0% 1.6%
1.7% 0.2% 0.8% 1.5%
0.0% 0.3% -0.7% -0.7%
0.5% 0.2% 0.0% 0.3%
0.5% 0.6% 0.3% 0.3%
4.9% 3.4% 1.4% 2.8%
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 The advance e stimate for second quarter GDP came in higher than expected at 2.8%, beating consensus expectations and 1.4% growth in the first quarter. Personal consumption was the largest contributor to GDP, mostly due to outlays for necessities such as health care, housing, and utilities. The strong reading was also driven by business capital investment and an increase in auto inventories as car dealerships grappled with a software cyberattack. The consensus projection calls for 1.5% growth in the third quarter and 2.3% 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 June meeting, the Federal Open Market Committee voted unanimously to leave the federal funds rate unchanged at a target range of 5.25-5.50%, emphasizing the need to see sustained evidence of easing inflation before considering any rate cuts. The FOMC's latest projections now suggest only one interest rate cut in 2024, with four more cuts expected in 2025 and a slightly higher long- term neutral rate. The Fed’s inflation projections ticked up marginally, while unemployment and GDP growth forecasts remained steady.
Additionally, the Fed continues to reduce its holdings of U.S. Treasury securities and agency mortgage-backed securities as per its predefined schedule of $25 billion and $35 billion per month. Since the Fed began its Quantitative Tightening campaign in June 2022, securities holdings have declined by approximately $1.7T to approximately $7.3T.
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
Jun-24
Mar-24
Jun-23
Yield (%)
At the end of June, the 2-year Treasury yield was 15 basis points lower, and the 10-Year Treasury yield was 56 basis points higher, year- over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield remained relatively stable at -36 basis points at June month-endversus -37 basis points at May month-end. The inversion has occurred since July 2022 and remains historically long. The average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10-year Treasuries widened to -96 basis points in June from -91 basis points in May.
13 ACCOUNT PROFILE
14 OBJECTIVES
City of Orange | Account #10888 | As of June 30, 2024
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.
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.
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.
15 PORTFOLIO CHARACTERISTICS
City of Orange | Account #10888 | As of June 30, 2024
Benchmark* 6/30/2024
Portfolio
3/31/2024
Portfolio
Average Maturity (yrs) 2.68 2.57 1.98
Average Modified Duration 2.51 2.23 2.16
Average Purchase Yield 2.87% 2.22%
Average Market Yield 4.66% 4.96% 4.87%
Average Quality** AA+ AA AA
Total Market Value 100,583,322 99,531,917
*Benchmark: ICE BofA 1-5 Year Unsubordinated US Treasury & Agency Index **The credit quality is a weighted average calculation of the highest of S&P, Moody’s and Fitch. 16 SECTOR DISTRIBUTION
City of Orange | Account #10888 | As of June 30, 2024
Sector as a Percentage of Market Value
Sector 06/30/2024 03/31/2024
Agency 43.7% 51.6%
Corporate 26.1% 29.0%
US Treasury 21.2% 8.8%
ABS 5.2% 4.0%
Supras 3.6% 3.7%
Money Mkt Fd 0.1% 0.3%
Cash 0.0% 2.7%
17 ISSUERS
City of Orange | Account #10888 | As of June 30, 2024
Issuer Investment Type % Portfolio
United States US Treasury 21.23%
Federal Home Loan Banks Agency 19.24%
FHLMC Agency 12.55%
Farm Credit System Agency 8.11%
Toyota Motor Corporation Corporate 4.73%
FNMA Agency 3.83%
The Coca-Cola Company Corporate 2.98%
Apple Inc. Corporate 2.80%
PepsiCo, Inc. Corporate 2.02%
International Bank for Recon and Dev Supras 1.93%
UnitedHealth Group Incorporated Corporate 1.75%
Inter-American Development Bank Supras 1.71%
American Express Credit Master Trust ABS 1.41%
Cisco Systems, Inc. Corporate 1.25%
The Home Depot, Inc. Corporate 1.24%
Caterpillar Inc. Corporate 1.24%
JPMorgan Chase & Co. Corporate 1.21%
Bank of America Corporation Corporate 1.21%
PACCAR Inc Corporate 1.19%
Chase Issuance Trust ABS 1.06%
Royal Bank of Canada Corporate 0.99%
Bank of Montreal Corporate 0.99%
John Deere Owner Trust ABS 0.91%
Deere & Company Corporate 0.78%
Morgan Stanley Corporate 0.77%
BMW Vehicle Owner Trust ABS 0.64%
Honda Auto Receivables Owner Trust ABS 0.54%
Bank of America Credit Card Trust ABS 0.51%
18 ISSUERS
City of Orange | Account #10888 | As of June 30, 2024
Issuer Investment Type % Portfolio
National Rural Utilities Cooperative Corporate 0.50%
Union Pacific Corporation Corporate 0.47%
First American Govt Oblig fund Money Mkt Fd 0.12%
BMW Vehicle Lease Trust ABS 0.09%
Cash Cash 0.00%
TOTAL 100.00%
19 QUALITY DISTRIBUTION
Rating 06/30/2024 03/31/2024
AAA 7.5% 9.7%
AA 69.0% 64.4%
A 22.1% 24.9%
NR 1.4% 0.9%
Rating 06/30/2024 03/31/2024
AAA 74.0% 71.1%
A 23.4% 26.2%
NR 2.7% 2.7%
Rating 06/30/2024 03/31/2024
AAA 4.2% 6.9%
AA 69.3% 65.8%
A 11.5% 12.3%
NR 15.0% 15.0%
City of Orange | Account #10888 | As of June 30, 2024
SsP Rating Moody’s Rating Fitch Rating
20 0-.25 .25-.5 .5-1 1-2 2-3 3-4 4-5 5-7 7+
Portfolio 7.6% 1.3% 14.7% 24.3% 16.4% 19.8% 15.9% 0.0% 0.0% ICE BofA 1-5 Year Unsubordinated US
Treasury & Agency Index
0.0% 0.1% 2.4% 35.0% 26.8% 22.9% 12.8% 0.0% 0.0%
DURATION DISTRIBUTION
City of Orange | Account #10888 | As of June 30, 2024
Portfolio Compared to the Benchmark
21 3 Months 12 Months 2 Years 3 Years 5 Years 10 Years Since Inception
TOTAL RATE OF RETURN
City of Orange 1.07% 4.88% 2.46% 0.06%
Benchmark 0.82% 4.18% 1.85% (0.14%)
*Periods over 1 year are annualized.
Benchmark: ICE BofA 1-5 Year Unsubordinated US Treasury & Agency Index 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 market value; it includes interest earnings, realized and unrealized gains and losses in the portfolio. Realized rate of return: A measure of a portfolio’s return over time. It is the internal rate which equates the beginning book value of the portfolio with the ending book value; it includes interest earnings, realized gains and losses in the portfolio.
INVESTMENT PERFORMANCE
City of Orange | Account #10888 | As of June 30, 2024
Total and Realized Rate of Return : Inception | 01/01/2022 -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 22 PORTFOLIO HOLDINGS
23 HOLDINGS REPORT
City of Orange | Account #10888 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
ABS
05593AAC3 BMWLT 2023-1 A3 5.16 11/25/2025 88,080.10 02/07/2023 88,078.01 99.81 87,915.81 0.09% Aaa/AAA 1.41
5.43% 88,079.04 5.69% 75.75 (163.24) NA 0.42
43815JAC7 HAROT 2023-1 A3 5.04 04/21/2027 210,000.00 02/16/2023 209,960.98 99.58 209,122.47 0.21% Aaa/NA 2.81
5.09% 209,973.66 5.40% 294.00 (851.19) AAA 1.44
47800CAC0 JDOT 2023 A3 5.01 11/15/2027 395,000.00 02/22/2023 394,928.03 99.54 393,198.52 0.39% Aaa/NA 3.38
3.39% 394,948.42 5.38% 879.53 (1,749.90) AAA 1.52
05592XAD2 BMWOT 2023-A A3 5.47 02/25/2028 190,000.00 07/11/2023 189,966.33 100.31 190,595.35 0.19% NA/AAA 3.66
5.47% 189,973.31 5.39% 173.22 622.03 AAA 1.96
02582JJZ4 AMXCA 2023-1 A 4.87 05/15/2028 350,000.00 06/07/2023 349,968.96 99.56 348,443.87 0.35% NA/AAA 3.88
4.87% 349,975.58 5.20% 757.56 (1,531.71) AAA 1.74
438123AC5 HAROT 2023-4 A3 5.67 06/21/2028 330,000.00 11/01/2023 329,941.89 100.88 3 32,909.51 0.33% Aaa/NA 3.98
5.74% 329,950.02 5.37% 519.75 2,959.49 AAA 2.28
02582JKD1 AMXCA 2023-3 A 5.23 09/15/2028 1,055,000.00 09/12/2023 1,054,952.84 100.33 1,058,490.68 1.06% NA/AAA 4.21
5.29% 1,054,960.24 5.14% 2,452.29 3,530.44 AAA 2.
03 161571HT4 CHAIT 2023-1 A 5.16 09/15/2028 1,060,000.00 09/07/2023 1,059,706.17 100.26 1,062,705.97 1.06% NR/AAA 4.21
5.17% 1,059,752.81 5.11% 2,430.93 2,953.16 AAA 2.03
096919AD7 BMWOT 2024-A A3 5.18 02/26/2029 450,000.00 06/04/2024 449,931.65 100.10 450,444.56 0.45% Aaa/AAA 4.66
5.18% 449,932.44 5.21% 1,295.00 512.11 NA 2.10
47786WAD2 JDOT 2024-B A3 5.2 03/15/2029 510,000.00 06/11/2024 509,900.30 100.31 511,575.65 0.51% Aaa/NA 4.71
5.81% 509,901.05 5.14% 957.67 1,674.60 AAA 2.32
05522RDJ4 BACCT 2024-1 A 4.93 03/15/2029 505,000.00 06/06/2024 504,971.67 100.04 505,200.28 0.51% Aaa/AAA 4.71
4.93% 504,971.96 4.99% 1,244.83 228.32 NA 2.61
5,142,306.83 100.15 5,150,602.66 5.16% Aaa/AAA 4.12
Total ABS 5,143,080.10 5.13% 5,142,418.54 5.19% 11,080.52 8,184.12 AAA 2.03 AGENCY
3134GWVE3 FEDERAL HOME LOAN MORTGAGE 4,575,000.00 1 1/19/2020 4,573,627.50 98.75 4,517,855.92 4.52% Aaa/AA+ 0.24 CORP 0.4 09/25/2024 0.41% 4,574,916.05 5.76% 4,880.00 (57,060.13) AA+ 0.23 3135GA4W8 FEDERAL NATIONAL MORTGAGE 3,950,000.00 11/20/2020 3,950,000.00 96.95 3,829,424.75 3.83% Aaa/AA+ 0.64 ASSOCIATION 0.5 02/18/2025 0.50% 3,950,000.00 5.47% 7,296.53 (120,575.25) AA+ 0.62 24 HOLDINGS REPORT
City of Orange | Account #10888 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
3130ANA42 FEDERAL HOME LOAN BANKS 0.65 4,000,000.00 07/28/2021 4,000,000.00 96.32 3,852,678.12 3.86% Aaa/AA+ 0.83 04/28/2025 0.65% 4,000,000.00 5.26% 11,050.00 (147,321.88) AA+ 0.80 3130AMBG6 FEDERAL HOME LOAN BANKS 0.75 5,000,000.00 05/04/2021 5,000,000.00 96.38 4,819,195.25 4.82% Aaa/AA+ 0.83 04/29/2025 0.75% 5,000,000.00 5.26% 6,458.33 (180,804.75) AA+ 0.81 3134GW3Z7 FEDERAL HOME LOAN MORTGAGE 8,500,000.00 10/28/2020 8,500,000.00 94.39 8,022,846.04 8.03% Aaa/AA+ 1.33 CORP 0.6 10/28/2025 0.60% 8,500,000.00 5.02% 8,925.00 (477,153.96) AA+ 1.29 3133EPCF0 FEDERAL FARM CREDIT BANKS 2,000,000.00 03/27/2023 2,026,680.00 99.43 1,988,663.94 1.99% Aaa/AA+ 1.67 FUNDING CORP 4.5 03/02/2026 4.01% 2,015,185.16 4.85% 29,750.00 (26,521.22) AA+ 1.57 3133EPQC2 FEDERAL FARM CREDIT BANKS 2,000,000.00 07/28/2023 1,998,260.00 99.68 1,993,665.88 2.00% Aaa/AA+ 2.05 FUNDING CORP 4.625 07/17/2026 4.66% 1,998,800.33 4.79% 42,138.89 (5,134.45) AA+ 1.89 3130ANDF4 FEDERAL HOME LOAN BANKS 0.9 5,000,000.00 0 7/29/2021 5,010,000.00 92.28 4,614,151.65 4.62% Aaa/AA+ 2.08 07/29/2026 0.90% 5,000,000.00 4.84% 19,000.00 (385,848.35) AA+ 2.01 3133EPDJ1 FEDERAL FARM CREDIT BANKS 2,000,000.00 03/27/2023 2,045,720.00 99.41 1,988,166.90 1.99% Aaa/AA+ 3.21 FUNDING CORP 4.375 09/15/2027 3
.81% 2,032,805.22 4.57% 25,763.89 (44,638.32) AA+ 2.92
3130ATS57 FEDERAL HOME LOAN BANKS 4.5 2,000,000.00 03/27/2023 2,060,420.00 99.88 1,997,546.06 2.00% Aaa/AA+ 3.70 03/10/2028 3.82% 2,045,022.75 4.53% 27,750.00 (47,476.69) AA+ 3.32 3130AEB25 FEDERAL HOME LOAN BANKS 3.25 2,000,000.00 07/24/2023 1,921,180.00 95.53 1,910,515.10 1.91% Aaa/AA+ 3.94 06/09/2028 4.15% 1,936,315.56 4.50% 3,972.22 (25,800.46) AA+ 3.64 3130AXQK7 FEDERAL HOME LOAN BANKS 4.75 2,000,000.00 01/29/2024 2,060,660.00 101.38 2,027,669.20 2.03% Aaa/AA+ 4.44 12/08/2028 4.05% 2,055,428.33 4.40% 6,069.44 (27,759.13) AA+ 3.96 3133ERDH1 FEDERAL FARM CREDIT BANKS 2,100,000.00 04/29/2024 2,104,263.00 101.45 2,130,511.30 2.13% Aaa/AA+ 4.83 FUNDING CORP 4.75 04/30/2029 4.70% 2,104,118.25 4.41% 16,902.08 26,393.04 AA+ 4.25 45,250,810.50 96.90 43,692,890.10 43.73% Aaa/AA+ 1.81
Total Agency 45,125,000.00 1.77% 45,212,591.66 5.02% 209,956.39 (1,519,701.56) AA+ 1.68 C
ASH
CCYUSD Receivable 4,643.69 -- 4,643.69 1.00 4,643.69 0.00% Aaa/AAA 0.00
0.00% 4,643.69 0.00% 0.00 0.00 AAA 0.00
4,643.69 1.00 4,643.69 0.00% Aaa/AAA 0.00
Total Cash 4,643.69 0.00% 4,643.69 0.00% 0.00 0.00 AAA 0.00 25 HOLDINGS REPORT
City of Orange | Account #10888 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
CORPORATE
191216CL2 COCA-COLA CO 1.75 09/06/2024 3,000,000.00 09/20/2019 2,964,750.00 99.28 2,978,490.42 2.98% A1/A+ 0.19
1.99% 2,998,697.32 5.67% 16,770.83 (20,206.90) WR 0.18
14913Q3B3 CATERPILLAR FINANCIAL SERVICES 1,250,000.00 05/31/2022 1,229,100.00 98.81 1,235,096.24 1.24% A2/A 0.36 CORP 2.15 11/08/2024 2.86% 1,246,947.19 5.55% 3,956.60 (11,850.95) A+ 0.35 24422EWF2 JOHN DEERE CAPITAL CORP 3.4 280,000.00 06/01/2022 279,935.60 98.17 274,886.65 0.28% A1/A 0.93 06/06/2025 3.41% 279,980.02 5.43% 661.11 (5,093.37) A+ 0.90 91324PEN8 UNITEDHEALTH GROUP INC 5.15 775,000.00 12/28/2022 786,780.00 99.85 773,867.66 0.77% A2/A+ 1.29 10/15/2025 4.56% 780,439.59 5.26% 8,425.97 (6,571.92) A 1.22 89236THP3 TOYOTA MOTOR CREDIT CORP 0.8 5,000,000.00 11/19/2020 5,025,000.00 94.53 4,726,611.90 4.73% A1/A+ 1.30 10/16/2025 0.70% 5,006,584.82 5.22% 8,333.33 (279,972.92) A+ 1.26 63743HFF4 NATIONAL RURAL UTILITIES 495,000.00 10/20/2022 494,336.70 1 00.02 495,110.39 0.50% A2/A- 1.33 COOPERATIVE FINANCE CORP 5.45 5.50% 494,705.61 5.43% 4,571.19 404.78 A 1.26 10/30/2025
037833EB2 APPLE INC 0.7 02/08/2026 3,000,000.00 02/08/2021 2,999,730.00 93.39 2,801,598.87 2.80% Aaa/AA+ 1.61 0 .70% 2,999,913.20 5.04% 8,341.67 (198,314.33) NA 1.56 713448FQ6 PEPSICO INC 4.55 02/13/2026 195,000.00 02/13/2023 194,886.90 99.33 193,685.32 0.19% A1/A+ 1.62
4.57% 194,938.80 4.99% 3,401.13 (1,253.48) NA 1.52
907818GE2 UNION PACIFIC CORP 4.75 470,000.00 02/13/2023 469,689.80 99.24 466,409.35 0.47% A3/A- 1.65 02/21/2026 4.77% 469,830.18 5.24% 8,061.81 (3,420.83) A- 1.53 46647PBK1 JPMORGAN CHASE & CO 2.083 1,250,000.00 05/31/2022 1,190,825.00 97.11 1,213,825.65 1.21% A1/A- 1.81 04/22/2026 3.92% 1,232,377.52 6.58% 4,990.52 (18,551.87) AA- 0.78 61747YET8 MORGAN STANLEY 4.679 775,000.00 12/28/2022 764,390.25 99.02 767,404.66 0.77% A1/A- 2.05 07/17/2026 5.26% 770,650.79 6.32% 16,519.47 (3,246.13) A+ 0.99 24422EXD6 JOHN DEERE CAPITAL CORP 5.15 505,000.00 09/05/2023 504,641.45 100.14 505,724.28 0.51% A1/A 2.19 09/08/2026 5.18% 504,738.61 5.08% 8,163.47 9 85.67 A+ 2.02 713448FW3 PEPSICO INC 5.125 11/10/2026 380,000.00 11/08/2023 379,897.40 100.44 381,669.69 0.38% A1/A+ 2.36
5.13% 379,919.31 4.92% 2,758.96 1,750.39 NA 2.11
06368LAQ9 BANK OF MONTREAL 4.7 1,000,000.00 03/30/2023 991,550.00 98.71 987,099.94 0.99% A2/A- 3.21 09/14/2027 4.91% 993,927.21 5.14% 13,969.44 (6,827.27) AA- 2.90 78016FZW7 ROYAL BANK OF CANADA 4.9 1,000,000.00 0
3/30/2023 997,990.00 99.21 992,097.57 0.99% A1/A 3.54
01/12/2028 4.95% 998,516.65 5.15% 23,002.78 (6,419.08) AA- 3.13 26 HOLDINGS REPORT
City of Orange | Account #10888 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
06051GGF0 BANK OF AMERICA CORP 3.824
01/20/2028
1,250,000.00 06/27/2024
5.30%
1,206,175.00
1,206,315.46
96.38 5.85%
1,204,794.63
21,377.22
1.21%
(1,520.84)
A1/A-
AA-
3.56 2.35
713448FL7 PEPSICO INC 3.6 02/18/2028 1,500,000.00 03/27/2024
4.49%
1,452,735.00
1,455,892.65
96.15 4.76%
1,442,281.50
19,950.00
1.44%
(13,611.15)
A1/A+
NA
3.64 3.31
91324PEU2 UNITEDHEALTH GROUP INC 4.25
01/15/2029
1,000,000.00 05/28/2024
5.05%
967,180.00
967,820.11
97.37 4.90%
973,719.05
19,597.22
0.97%
5,898.94
A2/A+
A
4.54 3.99
69371RS80 PACCAR FINANCIAL CORP 4.6
01/31/2029
1,200,000.00 03/27/2024
4.70%
1,194,684.00
1,194,969.32
98.90 4.87%
1,186,843.31
23,153.33
1.19%
(8,126.01)
A1/A+
NA
4.59 4.01
17275RBR2 CISCO SYSTEMS INC 4.85
02/26/2029
1,250,000.00 02/27/2024
4.84%
1,250,650.00
1,250,605.41
99.98 4.85%
1,249,779.48
21,050.35
1.25%
(825.93)
A1/AA-
NA
4.66 4.06
437076DC3 HOME DEPOT INC 4.75 06/25/2029 1,250,000.00 06/27/2024
4.82%
1,245,987.50
1,245,994.10
9 9.42
4.88%
1,242,721.06
989.58
1.24%
(3,273.04)
A2/A
A
4.99 4.39
Total Corporate 26,825,000.00 3.20%
26,590,914.60
26,673,763.87
97.33 5.30%
26,093,717.62
238,045.98
26.12%
(580,046.25)
A1/A+
A+
2.24 1.93
MONEY MARKET
FUND
31846V203 FIRST AMER:GVT OBLG Y 121,890.41
--
4 .92%
121,890.41
121,890.41
1.00 4.92%
121,890.41
0.00 0.12%
0.00 Aaa/
AAAm
AAA
0.00 0.00
Total Money Market
Fund 121,890.41 4.92%
121,890.41
121,890.41
1.00 4.92%
121,890.41
0.00 0.12%
0.00 Aaa/
AAAm
AAA
0.00 0.00
SUPRANATIONAL
4581X0EK0 INTER-AMERICAN DEVELOPMENT
BANK 4.5 05/15/2026
1,720,000.00 06/27/2023
4.53%
1,718,675.60
1,719,133.56
99.34 4.87%
1,708,568.30
9,890.00
1.71%
(10,565.26)
Aaa/AAA
NA
1.87 1.77
459058KT9 INTERNATIONAL BANK FOR
RECONSTRUCTION AND DEVELOPM
3.5 07/12/2028
2,000,000.00 07/24/2023
4.19%
1,938,380.00
1,949,969.86
96.35 4.50%
1,927,081.90
32,861.11
1.93%
(22,887.96)
Aaa/AAA
NA
4.03 3.65
Total Supranational 3,720,000.00 4.35%
3,657,055.60
3,669,103.42
97.76 4.67%
3,635,650.20
42,751.11
3.64%
(33,453.23)
Aaa/AAA
NA
3.02 2.76
27 HOLDINGS REPORT
City of Orange | Account #10888 | As of June 30, 2024
Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
US TREASURY
91282CCZ2 UNITED STATES TREASURY 0.875
09/30/2026
3,000,000.00 09/30/2021
1.01%
2,980,546.88
2,991,253.55
92.04 4.64%
2,761,054.68
6,598.36
2.76%
(230,198.87)
Aaa/AA+
AA+
2.25 2.18
91282CHA2 UNITED STATES TREASURY 3.5
04/30/2028
2,200,000.00 06/13/2024
4.33%
2,135,203.13
2,135,981.06
96.73 4.44%
2,127,984.36
12,972.83
2.13%
(7,996.69)
Aaa/AA+
AA+
3.84 3.52
9128284N7 UNITED STATES TREASURY 2.875
05/15/2028
2,000,000.00 07/31/2023
4.23%
1,883,281.25
1,905,691.25
94.47 4.44%
1,889,453.12
7,343.75
1.89%
(16,238.13)
Aaa/AA+
AA+
3.88 3.60
912810FE3 UNITED STATES TREASURY 5.5
08/15/2028
2,100,000.00 04/29/2024
4.59%
2,173,746.09
2,170,830.11
104.43
4.32%
2,192,941.40
43,471.15
2.19%
22,111.29
Aaa/AA+
AA+
4.13 3.61
91282CJF9 UNITED STATES TREASURY 4.875
10/31/2028
2,200,000.00 05/28/2024
4.57%
2,226,640.63
2,226,096.61
101.87
4.40%
2,241,078.14
18,069.29
2.24%
14,981.53
Aaa/AA+
AA+
4.34 3.85
9128285M8 UNITED STATES TREASURY 3.125
11/15/2028
2,000,000.00 12/28/2023
3.86%
1,935,078.13
1 ,941,814.27
94.96 4.40%
1,899,140.62
7,982.34
1.90%
(42,673.65)
Aaa/AA+
AA+
4.38 4.01
91282CKD2 UNITED STATES TREASURY 4.25
02/28/2029
2,200,000.00 03/27/2024
4.18%
2,206,617.19
2,206,267.56
99.55 4.36%
2,190,117.18
31,251.36
2.19%
(16,150.38)
Aaa/AA+
AA+
4.67 4.
13 91282CKG5 UNITED STATES TREASURY 4.125
03/31/2029
2,200,000.00 05/28/2024
4.53%
2,161,156.25
2,161,881.69
98.98 4.36%
2,177,570.32
22,811.48
2.18%
15,688.63
Aaa/AA+
AA+
4.75 4.23
91282CKP5 UNITED STATES TREASURY 4.625
04/30/2029
1,500,000.00 06/27/2024
4.31%
1,520,097.66
1,520,063.54
101.15
4.36%
1,517,226.57
11,688.18
1.52%
(2,836.97)
Aaa/AA+
AA+
4.83 4.27
91282CKT7 UNITED STATES TREASURY 4.5
05/31/2029
2,200,000.00 06/13/2024
4.25%
2,224,578.13
2,224,347.54
100.68
4.34%
2,214,953.14
8,385.25
2.22%
(9,394.40)
Aaa/AA+
AA+
4.92 4.36
Total US Treasury 21,600,000.00 3.89%
21,446,945.34
21,484,227.18
98.35 4.41%
21,211,519.53
170,573.98
21.23%
(272,707.65)
Aaa/AA+
AA+
4.13 3.72
Total Portfolio 102,539,614.20 2.87%
102,214,566.97
102,308,638.77
97.40 4.96%
99,910,914.20
672,407.97
100.00%
(2,397,724.57)
Aa2/AA-
AA
2.57 2.23
Total Market Value +
Accrued 100,583,322.17
28 HOLDINGS REPORT
City of Orange LAIF Balances | Account #10895 | As of June 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
CASH
CCYUSD Receivable 474,192.49 --
0.00%
474,192.49
474,192.49
1.00 0.00%
474,192.49
0.00 1.07%
0.00 Aaa/AAA
AAA
0.00 0.00
Total Cash 474,192.49 0.00%
474,192.49
474,192.49
1.00 0.00%
474,192.49
0.00 1.07%
0.00 Aaa/AAA
AAA
0.00 0.00
LAIF
90LAIF$00 Local Agency Investment Fund State
Pool
43,699,877.43 --
4.56%
43,699,877.43
43,699,877.43
1.00 4.56%
43,699,877.43
0.00 98.93%
0.00 NA/NA
NA
0.00 0.00
Total LAIF 43,699,877.43 4.56%
43,699,877.43
43,699,877.43
1.00 4.56%
43,699,877.43
0.00 98.93%
0.00 NA/NA
NA
0.00 0.00
Total Portfolio 44,174,069.92 4.51%
44,174,069.92
44,174,069.92
1.00 4.51%
44,174,069.92
0.00 100.00%
0.00 Aaa/AAA
AAA
0.00 0.00
Total Market Value +
Accrued 44,174,069.92
29 HOLDINGS REPORT
City of Orange Bank Balances | Account #10896 | As of June 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
CASH
999WEL$12 Wells Fargo General 136,518.00 04/30/2024
5.20%
136,518.00
136,518.00
1.00 5.20%
136,518.00
0.00 0.47%
0.00 NA/NA
NA
0.00 0.00
999WEL$14 Wells Fargo 467,620.07 --
0.00%
467,620.07
467,620.07
1.00 0.00%
467,620.07
0.00 1.63%
0.00 NA/NA
NA
0.00 0.00
999WEL$15 Wells Fargo 28,172,242.50 --
0.00%
28,172,242.50
28,172,242.50
1.00 0.00%
28,172,242.50
0.00 97.90%
0.00 NA/NA
NA
0.00 0.00
Total Cash 28,776,380.57 0.02%
28,776,380.57
28,776,380.57
1.00 0.02%
28,776,380.57
0.00 100.00%
0.00 NA/NA
NA
0.00 0.00
Total Portfolio 28,776,380.57 0.02%
28,776,380.57
28,776,380.57
1.00 0.02%
28,776,380.57
0.00 100.00%
0.00 NA/NA
NA
0.00 0.00
Total Market Value +
Accrued 28,776,380.57
30 TRANSACTIONS
31 TRANSACTION LEDGER
City of Orange | Account #10888|04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 04/30/2024 912810FE3 2,100,000.00 UNITED STATES TREASURY 5.5
08/15/2028
103.512 4.59% (2,173,746.09) (23,798.08) (2,197,544.17) 0.00 Purchase 04/30/2024 3133ERDH1 2,100,000.00 FEDERAL FARM CREDIT
BANKS FUNDING CORP
4.75 04/30/2029
100.203 4.70% (2,104,263.00) 0.00 (2,104,263.00) 0.00
Purchase 05/29/2024 91324PEU2 1,000,000.00 UNITEDHEALTH GROUP INC 4.25 01/15/2029
96.718 5.05% (967,180.00) (15,819.44) (982,999.44) 0.00 Purchase 05/29/2024 91282CKG5 2,200,000.00 UNITED STATES TREASURY 4.125
03/31/2029
98.234 4.53% (2,161,156.25) (14,629.10) (2,175,785.35) 0.00 Purchase 05/29/2024 91282CJF9 2,200,000.00 UNITED STATES TREASURY 4.875
10/31/2028
101.211 4.57% (2,226,640.63) (8,451.77) (2,235,092.40) 0.00 Purchase 06/11/2024 096919AD7 450,000.00 BMWOT 2024-A A3
5.18 02/26/2029
99.985 5.18% (449,931.65) 0.00 (449,931.65) 0.00
Purchase 06/13/2024 05522RDJ4 505,000.00 BACCT 2024-1 A 4.93 03/15/2029
99.994 4.93% (504,971.67) 0.00 (504,971.67) 0.00
Purchase 06/14/2024 91282CKT7 2,200,000.00 UNITED STATES TREASURY 4.5
05/31/2029
101.117 4.25% (2,224,578.13) (3,786.89) (2,228,365.02) 0.00 Purchase 06/14/2024 91282CHA2 2,200,000.00 UNITED S TATES TREASURY 3.5
04/30/2028
97.055 4.33% (2,135,203.13) (9,415.76) (2,144,618.89) 0.00 Purchase 06/18/2024 47786WAD2 510,000.00 JDOT 2024-B A3 5.2 03/15/2029
99.980 5.81% (509,900.30) 0.00 (509,900.30) 0.00
Purchase 06/28/2024 437076DC3 1,250,000.00 HOME DEPOT INC 4.75 06/25/2029
99.679 4
.82% (1,245,987.50) (494.79) (1,246,482.29) 0.00
Purchase 06/28/2024 06051GGF0 1,250,000.00 BANK OF AMERICA CORP 3.824
01/20/2028
96.494 4.91% (1,206,175.00) (20,978.89) (1,227,153.89) 0.00 32 TRANSACTION LEDGER
City of Orange | Account #10888|04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
Purchase 06/28/2024 91282CKP5 1,500,000.00 UNITED STATES TREASURY 4.625
04/30/2029
101.340 4.31% (1,520,097.66) (11,122.62) (1,531,220.28) 0.00 Total Purchase 19,465,000.00 (19,429,831.01) (108,497.34) (19,538,328.35) 0.00 TOTAL
ACQUISITIONS 19,465,000.00 (19,429,831.01) (108,497.34) (19,538,328.35) 0.00
DISPOSITIONS
Call
Redemption
04/22/2024 06051GJR1 (1,250,000.00) BANK OF AMERICA
CORP 0.976
04/22/2025
100.000 0.98% 1,250,000.00 0.00 1,250,000.00 0.00
Call
Redemption
06/13/2024 06406RBF3 (955,000.00) BANK OF NEW YORK
MELLON CORP 3.43
06/13/2025
100.000 3.44% 955,000.00 0.00 955,000.00 0.00
Total Call
Redemption (2,205,000.00) 2,205,000.00 0.00 2,205,000.00 0.00 Maturity 05/17/2024 3135GA4S7 (5,000,000.00) FEDERAL NATIONAL
MORTGAGE
ASSOCIATION 0.375
05/17/2024
100.000 0.38% 5,000,000.00 0.00 5,000,000.00 0.00
Maturity 06/13/2024 69371RR81 (895,000.00) PACCAR FINANCIAL CORP 3.15 06/13/2024
100.000 3.15% 895,000.00 0.00 895,000.00 0.00
Maturity 06/14/2024 3135GA5Y3 (4,375,000.00) FEDERAL NATIONAL
MORTGAGE
ASSOCIATION 0.375
06/14/2024
100.000 0.38% 4,375,000.00 0.00 4,375,000.00 0.00
Maturity 06/23/2024 40434CAD7 (3,000,000.00) HSBC USA INC 3.5 06/23/2024
100.000 3.50% 3
,000,000.00 0.00 3,000,000.00 0.00
Total Maturity (13,270,000.00) 13,270,000.00 0.00 13,270,000.00 0.00 Sale 06/06/2024 3134GW3Z7 (500,000.00) FEDERAL HOME LOAN MORTGAGE CORP 0.6
10/28/2025
93.982 0.60% 469,910.00 316.67 470,226.67 (30,090.00)
33 TRANSACTION LEDGER
City of Orange | Account #10888|04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
Total Sale (500,000.00) 469,910.00 316.67 470,226.67 (30,090.00) TOTAL
DISPOSITIONS (15,975,000.00) 15,944,910.00 316.67 15,945,226.67 (30,090.00) 34 35
36 37
TRANSACTION LEDGER
City of Orange Bank Balances | As of June 30, 2024
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest Pur/
Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 06/30/2024 999WEL$14 10,298.94 Wells Fargo 1.000 0.00% (10,298.94) 0.00 (10,298.94) 0.00 Total Purchase 10,298.94 (10,298.94) 0.00 (10,298.94) 0.00 TOTAL
ACQUISITIONS 10,298.94 (10,298.94) 0.00 (10,298.94) 0.00
DISPOSITIONS
Sale 06/30/2024 999WEL$12 (26,454.00) Wells Fargo General 1.000 0.00% 26,454.00 0.00 26,454.00 0.00 Sale 06/30/2024 999WEL$15 (593,141.12) Wells Fargo 1.000 0.00% 593,141.12 0.00 593,141.12 0.00 Total Sale (619,595.12) 619,595.12 0.00 619,595.12 0.00 TOTAL
DISPOSITIONS (619,595.12) 619,595.12 0.00 619,595.12 0.00 OTHER
Cash Transfer 06/30/2024 CCYUSD (609,296.18) Cash 0.00% (609,296.18) 0.00 (609,296.18) 0.00 Total Cash
Transfer (609,296.18) (609,296.18) 0.00 (609,296.18) 0.00
TOTAL OTHER
TRANSACTIONS (609,296.18) (609,296.18) 0.00 (609,296.18) 0.00 38 IMPORTANT DISCLOSURES
City of Orange | Account #10888 | As of June 30, 2024
2024 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. 39 BENCHMARK DISCLOSURES
City of Orange | Account #10888 | As of June 30, 2024
Benchmark Disclosure
ICE BofA 1-5 Yr Unsubordinated US Treasury
& Agency Index
The ICE BofA 1-5 Year Unsubordinated 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. 40