INVESTMENT REPORT
City of Orange | As of September 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. 1 TABLE OF CONTENTS
ECONOMIC UPDATE
ACCOUNT PROFILE
CONSOLIDATED INFORMATION
PORTFOLIO HOLDINGS
TRANSACTIONS
2 ECONOMIC UPDATE
3
Recent economic data suggests positive but slower growth this year fueled by consumer spending. While the consumer has been resilient, declining savings rates, 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. The labor market is showing signs of cooling, reflecting an improved balance between supply and demand for workers. Given the cumulative effects of restrictive monetary policy and tighter financial conditions, we believe the economy will gradually soften and the Fed will continue to lower rates at a measured pace through this year with the ability to move more aggressively should the employment data warrant.
The Federal Open Market Committee (FOMC) delivered the first rate cut of the easing cycle with a 50 basis point cut at the September meeting. Although a reduction in the Fed Funds Rate was widely anticipated, the magnitude was somewhat of a surprise, as market participants were split between whether theFOMC would cut by 25 basis points or 50 basis points. Chair Jerome Powell reiterated previous statements acknowledging that monetary policy has shifted into a more balanced approach addressing price stability and full employment in tandem. The Fed released the quarterly Summary of Economic Projections (SEP) which now forecasts a substantially lower median Fed Funds Rate expectation among Fed Governors in 2025 due to lower inflation expectations and a higher projected unemploymentrate. We believe the Fed will continue to lower rates at a measured pace through this year with the ability to move more aggressively should the employment data warrant.
The US Treasury yield curve shifted lower in September following the 50 basis points rate cut by the FOMC mid-month. The 2-year Treasury yield fell 28 basis points to 3.64%, the 5-year Treasury dropped15 basis points to 3.56%, and the 10-year Treasury yield declined 12 basis points to 3.78%. The 2-year and 10-year Treasury yield points on the curve began to normalize to +14 basis points at Septembermonth-end versus -2 basis points at August month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -47 basis points. The inversion between 3-month and 10-year Treasuries ended the month of September at -85 basis points.
ECONOMIC UPDATE
4 -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 254,000 jobs in September,well above expectations of 150,000. The three-monthmoving average and six-month moving average payrolls continued to trend weaker to 186,000 and 167,000 respectively. The unemployment rate declined to 4.1% in September, and the labor participation rate remained at 62.7%, 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 declined to 7.7% from 7.9%. Average hourly earnings rose 4.0% year-over-year in September. U.S. labor market data from September surprised to the upside, with strong job growth and a sharper-than-expected drop in unemployment, suggesting the economy may be more resilient than anticipated. The Federal Reserve’s view is 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
EMPLOYMENT
5 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 J ob Openings and Labor Turnover Survey (JOLTS) increased to 8.04 million job openings in August from an upwardly revised 7.71 million in July. Job openings have increased to a ratio of 1.13 jobs for each unemployed individual. The quits rate, an indicator of job availability, declined to 1.9% from downwardly revised 2.0% in July. That is the lowest level since 2020. While the current level of job openings remains elevated from a historical perspective, the trend is decelerating.
Source: US Department of Labor
JOB OPENINGS & LABOR TURNOVER SURVEY
6 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 September, t he Consumer Price Index (CPI) rose 0.2% month-over-monthand 2.4% year-over-year, down from 2.5% in August, but slightly higher than expected. The Core CPI, which excludes volatile food and energy components, rose by 0.3% month-over-monthand
3.3% year-over-year, also exceeding consensus forecasts. The Personal Consumption Expenditures (PCE) Index rose 0.1% from the previous month and 2.2% year-over-year in August. The Core PCE deflator (the Fed’s preferred gauge) increased 0.1% month-over-month and 2.7% over the past year, still above the Fed’s 2% inflation target. Much of the lingering inflation has been driven by shelter costs and demand for services, but recent data provide confirmation that inflation is moderating.
Source: US Department of Labor Source: US Department of Commerce
INFLATION
7 -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 g rew more than expected month-over-monthin September at 0.4% after growth of 0.1% in August. On a year-over-year basis, Retail Sales grew 1.7% in Septemberversus 2.2% in August. Control-groupsales, which are used to calculate gross domestic product,rose
0.7% month-over-monthin September after last month’s increase of 0.3%. Apparel, grocery stores, and miscellaneous store retailers led the advance, while gas station sales fell reflecting lower gas prices. The Conference Board’s Consumer Confidence Index for September came in below expectations, contracting to 98.7 after an upward revision to 105.6 in August. The decline reflects recent softening in labor market conditions, and less optimism about the job market and income growth. While the consumer has been resilient, declining savings rates, growing credit card debt, higher delinquencies, and a moderating labor market pose potential risks to future spending. 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)
CONSUMER
8 -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) remained in negative territory at -0.5% in September following a downwardly revised -0.3% in August. The LEI continued to signal uncertainty for economic activity ahead and is consistent with The Conference Board’s expectation for moderate growth at the end of 2024 and into early 2025. The Chicago Fed National Activity Index (CFNAI) declined to -0.28 in September after a downwardly revised -0.01 in August. The three-month moving average fell to -0.19 in September from -0.14 in August, indicating below-trend growth expectations for the economy.
Source: The Conference Board Source: Federal Reserve Bank of Chicago
LEADING INDICATORS OF ECONOMIC ACTIVITY
9 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 surprised to the downside in September,declining -0.5% month-over-monthto 1.354 million units after an increase of 7.8% in August. The decline can be attributed to a drop in multi-family housing projects. Total starts were down 0.7% year-over-year. The Freddie Mac average rate for a 30-year fixed mortgage dropped to 6.18% in September from 6.44% in August. According to the Case- Shiller 20-City Home Price Index, housing prices rose 5.9% year-over-year in July, decelerating from 6.5% reported in the previous month.
Although the trend is gradually improving, 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
HOUSING
10 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 contracted at a slower rate of 47.2 in September compared to 47.5 in August. Demand remains subdued and companies are continuing to reduce head counts through layoffs, attrition and hiring freezes. The ISM Services Index increased to 54.9 in September, increasing from 51.7 in August, due to stronger production and neworders. A reading over 50 indicates expansion, while a reading under 50 indicates contraction.
Source: Institute for Supply Management
SURVEY BASED MEASURES
11 Components of GDP 9/23 12/ 23 3/24 6/24
1.7% 2.3% 1.3% 1.9%
1.8% 0.2% 0.6% 1.5%
-0.1% 0.1% -0.6% -0.9%
0.3% 0.0% 0.0% 0.3%
0.6% 0.6% 0.3% 0.3%
4.4% 3.2% 1.6% 3.0%
State and Local (Consumption and Gross
Investment)
Personal Consumption Expenditures
Gross Private Domestic Investment
Net Exports and Imports
Federal Government Expenditures
Total
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Source: US Department of Commerce Source: US Department of Commerce According to t he third estimate, second quarter GDP increased at an annualized rate of 3.0%, unchanged from the prior estimate. Growth continues to be powered by personal consumption expenditures. Gross fixed investment, government consumption expenditures, and inventories also had positive contributions, with a negative offset by net exports. The consensus projection calls for 2.0% growth in the third quarter and 2.6% growth for the full year 2024.
GROSS DOMESTIC PRODUCT (GDP)
12 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
The Federal Open Market Committee (FOMC) delivered the first rate cut of the easing cycle at the September meeting. Although a reduction in the Fed Funds Rate was widely anticipated, the magnitude was somewhat of a surprise, as market participants were split between whether the FOMC would cut by 25 basis points or 50 basis points. Chair Jerome Powell reiterated previous statements acknowledging that monetary policy has shifted into a more balanced approach addressing price stability and full employment in tandem.
The Fed released the quarterly Summary of Economic Projections (SEP) which now forecasts a substantially lower median Fed Funds Rate expectation among Fed Governors in 2025 to 3.1 – 3.6%. 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 $1.8T to approximately $7.1T.
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Effective Federal Funds Rate
Recession
Yield (%)
FEDERAL RESERVE
13 Source: Bloomberg Source: Bloomberg
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yield (%)
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Yield Curve
Sep-24
Jun-24
Sep-23
Yield (%)
At the end of September,the 2-year Treasury yield was 140 basis points lower, and the 10-Year Treasury yield was 79 basis points lower, year-over-year. The 2-year and 10-year Treasury yield points on the curve began to normalize to +14 basis points at Septembermonth-end versus -2 basis points at August month-end. The yield curve inversion which began in July 2022 was historically long. The average historical spread (since 2003) is about +110 basis points. The inversion between 3-month and 10-year Treasuries tightened to -85 basis points in September from -121 basis points in August.
BOND YIELDS
14 ACCOUNT PROFILE
15 OBJECTIVES
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.
16 STATEMENT OF COMPLIANCE
City of Orange Cons | Account #10897 | As of September 30, 2024 Rules Name Limit Actual Compliance
Status Notes
AGENCY MORTGAGE SECURITIES (CMOS)
Max % (BV; ABS, CMO & MBS) 20.0 4.2 Compliant
Max Maturity (Years) 5.0 0.0 Compliant
Min Rating (AA- by 1) 0.0 0.0 Compliant
ASSET-BACKED SECURITIES (ABS)
Max % (BV) 20.0 4.2 Compliant
Max % Issuer (BV) 5.0 0.7 Compliant
Max Maturity (Years) 5 4 Compliant
Min Rating (AA- by 1) 0.0 0.0 Compliant
COMMERCIAL PAPER
Max % (BV) 40.0 0.0 Compliant
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Days) 270 0.0 Compliant
Min Rating (A-1 by 1 or A- by 1) 0.0 0.0 Compliant
CORPORATE MEDIUM TERM NOTES
Max % (BV) 30.0 18.8 Compliant
Max % Issuer (BV) 5.0 3.5 Compliant
Max Maturity (Years) 5 4 Compliant
Min Rating (A- by 1) 0.0 0.0 Compliant
FEDERAL AGENCIES
Max % (MV) 75.0 27.8 Compliant
Max % Issuer (MV) 30.0 13.7 Compliant
Max Callables (MV) 20.0 17.8 Compliant
Max Maturity (Years) 5 4 Compliant
LOCAL AG ENCY INVESTMENT FUND (LAIF)
Max Concentration (MV) 75.0 22.2 Compliant
LOCAL GOVERNMENT INVESTMENT POOL (LGIP)
Max % (MV) 100.0 0.0 Compliant
MONEY MARKET MUTUAL FUNDS
17 STATEMENT OF COMPLIANCE
City of Orange Cons | Account #10897 | As of September 30, 2024 Rules Name Limit Actual Compliance
Status Notes
Max % (MV) 20.0 0.1 Compliant
Max % Issuer (BV) 20.0 0.1 Compliant
Min Rating (AAA by 2) 0.0 0.0 Compliant
MORTGAGE -BACKED SECURITIES (NON-AGENCY)
Max % (BV) 20.0 0.0 Compliant
Max % Issuer (BV) 5.0 0.0 Compliant
Max Maturity (Years) 5.0 0.0 Compliant
Min Rating (AA- by 1) 0.0 0.0 Compliant
MUNICIPAL SECURITIES (CA, LOCAL AGENCY)
Max % (BV) 20.0 0.0 Compliant
Max % Issuer (BV) 5.0 0.0 Compliant
Max Maturity (Years) 5 0.0 Compliant
Min Rating (A- by 1) 0.0 0.0 Compliant
MUNICIPAL SECURITIES (CA, OTHER STATES)
Max % (BV) 20.0 0.0 Compliant
Max % Issuer (BV) 5.0 0.0 Compliant
Max Maturity (Years) 5 0.0 Compliant
Min Rating (A- by 1) 0.0 0.0 Compliant
SUPRANATIONAL OBLIGATIONS
Max % (MV) 30.0 2.6 Compliant
Max % Issuer (BV) 10.0 1.4 Compliant
Max Maturity (Years) 5 3 Compliant
Min Rating (AA- by 1) 0.0 0.0 Compliant
U.S. TREASURIES
Max % (MV) 100.0 18. 0 Compliant
Max Maturity (Years) 5 4 Compliant
18 PORTFOLIO CHARACTERISTICS
City of Orange | Account #10888 | As of September 30, 2024 Benchmark* 9/30/2024
Portfolio
6/30/2024
Portfolio
Average Maturity (yrs) 2.69 2.66 2.57
Average Modified Duration 2.52 2.30 2.23
Average Purchase Yield 3.09% 2.87%
Average Market Yield 3.66% 3.97% 4.96%
Average Quality** AA+ AA AA
Total Market Value 103,667,273 100,583,322
*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. 19 SECTOR DISTRIBUTION
City of Orange | Account #10888 | As of September 30, 2024 Sector as a Percentage of Market Value
Sector 09/30/2024 06/30/2024
Agency 38.89% 43.73%
Corporate 26.15% 26.12%
US Treasury 25.19% 21.23%
ABS 5.96% 5.16%
Supras 3.62% 3.64%
Money Mkt Fd 0.19% 0.12%
20 ISSUERS
City of Orange | Account #10888 | As of September 30, 2024 Issuer Investment Type % Portfolio
United States US Treasury 25.19%
Federal Home Loan Banks Agency 19.10%
Farm Credit System Agency 8.05%
FHLMC Agency 7.96%
Toyota Motor Corporation Corporate 4.69%
FNMA Agency 3.78%
Apple Inc. Corporate 2.79%
PepsiCo, Inc. Corporate 2.02%
International Bank for Recon and Dev Supras 1.93%
UnitedHealth Group Incorporated Corporate 1.74%
Inter-American Development Bank Supras 1.69%
American Express Credit Master Trust ABS 1.39%
Cisco Systems, Inc. Corporate 1.26%
The Home Depot, Inc. Corporate 1.25%
Chubb Limited Corporate 1.24%
Merck & Co., Inc. Corporate 1.22%
Caterpillar Inc. Corporate 1.21%
Bank of America Corporation Corporate 1.20%
PACCAR Inc Corporate 1.19%
JPMorgan Chase & Co. Corporate 1.19%
Chase Issuance Trust ABS 1.05%
Royal Bank of Canada Corporate 0.99%
Bank of Montreal Corporate 0.99%
John Deere Owner Trust ABS 0.89%
Deere & Company Corporate 0.77%
Morgan Stanley Corporate 0.75%
Eli Lilly and Company Corporate 0.69%
BMW Vehicle Owner Trust ABS 0.63%
Honda Auto Receivables 2024-3 Owner ABS 0.62%
Honda Auto Receivables Owner Trust ABS 0. 53%
21 ISSUERS
City of Orange | Account #10888 | As of September 30, 2024 Issuer Investment Type % Portfolio
Bank of America Credit Card Trust ABS 0.50%
National Rural Utilities Cooperative Corporate 0.49%
Union Pacific Corporation Corporate 0.46%
Hyundai Auto Receivables Trust 2024- ABS 0.28%
First American Govt Oblig fund Money Mkt Fd 0.19%
BMW Vehicle Lease Trust ABS 0.06%
Cash Cash 0.01%
TOTAL 100.00%
22 QUALITY DISTRIBUTION
Rating 09/30/2024 06/30/2024
AAA 7.7% 7.5%
AA 68.1% 69.0%
A 22.1% 22.1%
NR 2.0% 1.4%
Rating 09/30/2024 06/30/2024
AAA 73.7% 74.0%
A 23.4% 23.4%
NR 2.9% 2.7%
Rating 09/30/2024 06/30/2024
AAA 5.1% 4.2%
AA 68.4% 69.3%
A 12.6% 11.5%
NR 13.8% 15.0%
City of Orange | Account #10888 | As of September 30, 2024 S&P Rating Moody’s Rating Fitch Rating
23 0-.25 .25-.5 .5-1 1-2 2-3 3-4 4-5 5-7 7+
Portfolio 1.5% 3.8% 11.7% 34.1% 7.1% 28.1% 13.8% 0.0% 0.0% ICE BofA 1-5 Year Unsubordinated US Treasury &
Agency Index 0.1% 0.1% 2.2% 34.9% 26.8% 22.5% 13.4% 0.0% 0.0%
DURATION DISTRIBUTION
City of Orange | Account #10888 | As of September 30, 2024 Portfolio Compared to the Benchmark
24 3 Months 12 Months 2 Years 3 Years 5 Years 10 Years Since Inception
TOTAL RATE OF RETURN
City of Orange 3.08% 7.48% 5.29% 1.16%
Benchmark 3.37% 7.44% 4.75% 1.08%
*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.
INVESTMENT PERFORMANCE
City of Orange | Account #10888 | As of September 30, 2024 Total Rate of Return : Inception | 01/01/2022
25 HISTORICAL AVERAGE PURCHASE YIELD
City of Orange | Account #10888 | As of September 30, 2024 Purchase Yield as of 09/30/24
26 PORTFOLIO HOLDINGS
27 HOLDINGS REPORT
City of Orange | Account #10888 | As of September 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 58,596.39 02/07/2023
5.43%
58,595.00
58,595.82
100.08
4.88%
58,644.75
50.39 0.06%
48.94 Aaa/AAA
NA
1.15 0.25
43815JAC7 HAROT 2023-1 A3 5.04
04/21/2027 210,000.00 02/16/2023
5.09%
209,960.98
209,976.03
100.51
4.49%
211,061.80
294.00
0.20%
1,085.77
Aaa/NA
AAA
2.56 0.84
47800CAC0 JDOT 2023 A3 5.01 11/15/2027 395,000.00 02/22/2023
3.39%
394,928.03
394,952.27
100.69
4.46%
397,709.31
879.53
0.39%
2,757.03
Aaa/NA
AAA
3.13 1.14
05592XAD2 BMWOT 2023-A A3 5.47
02/25/2028 190,000.00 07/11/2023
5.47%
189,966.33
189,975.15
101.24
4.43%
192,355.07
173.22
0.19%
2,379.92
NA/AAA
AAA
3.41 1.12
02582JJZ4 AMXCA 2023-1 A 4.87 05/15/2026 350,000.00 06/07/2023
4.87%
349,968.96
349,977.78
101.19
4.14%
354,181.70
757.56
0.34%
4,203.92
NA/AAA
AAA
1.62 1.53
438123AC5 HAROT 2023-4 A3 5.67
06/21/2028 330,000.00 11/01/2023
5.74%
329,941.89
3 29,953.19
102.32
4.18%
337,667.65
519.75
0.33%
7,714.46
Aaa/NA
AAA
3.73 1.47
02582JKD1 AMXCA 2023-3 A 5.23 09/15/2028 1,055,000.00 09/12/2023
5.29%
1,054,952.84
1,054,962.62
102.30
4.04%
1,079,264.79
2,452.29
1.05%
24,302.17
NA/AAA
AAA
3.96 1.82
1 61571HT4 CHAIT 2023-1 A 5.16 09/15/2028 1,060,000.00 09/07/2023
5.17%
1,059,706.17
1,059,767.61
102.17
4.04%
1,083,006.66
2,430.93
1.05%
23,239.06
NR/AAA
AAA
3.96 1.82
096919AD7 BMWOT 2024-A A3 5.18
02/26/2029 450,000.00 06/04/2024
5.24%
449,931.65
449,936.10
102.19
4.05%
459,865.22
388.50
0.45%
9,929.12
Aaa/AAA
NA
4.41 1.84
44934QAD3 HART 2024-B A3 4.84 03/15/2029 285,000.00 07/16/2024
4.90%
284,956.99
284,958.74
101.71
4.12%
289,862.21
613.07
0.28%
4,903.47
NA/AAA
AAA
4.45 2.19
47786WAD2 JDOT 2024-B A3 5.2 03/15/2029 510,000.00 06/11/2024
5.26%
509,900.30
509,906.35
102.53
4.20%
522,900.81
1,178.67
0.51%
12,994.46
Aaa/NA
AAA
4.45 2.36
43813YAC6 HAROT 2024-3 A3 4.57
03/21/2029 630,000.00 08/09/2024
4.62%
629,901.03
629,903.46
100.97
4.15%
636,085.30
799.75
0.62%
6,181.84
Aaa/NA
AAA
4.47 2.07
05522RDJ4 BACCT 2024
-1 A 4.93 03/15/2029 505,000.00 06/06/2024
4.93%
504,971.67
504,973.47
102.32
4.03%
516,721.20
1,106.51
0.50%
11,747.74
Aaa/AAA
NA
4.45 2.41
Total ABS 6,028,596.39 5.02%
6,027,681.84
6,027,838.56
101.84
4.14%
6,139,326.46
11,644.17
5.96%
111,487.90
Aaa/AAA
AAA
3.86 1.81
AGENCY
3135GA4W8 FEDERAL NATIONAL MORTGAGE
ASSOCIATION 0.5 02/18/2025 3,950,000.00 11/20/2020
0.50%
3,950,000.00
3,950,000.00
98.45 4.65%
3,888,592.47
2,359.03
3.78%
(61,407.53)
Aaa/AA+
AA+
0.39 0.37
28 HOLDINGS REPORT
City of Orange | Account #10888 | As of September 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
04/28/2025 4,000,000.00 07/28/2021
0.65%
4,000,000.00
4,000,000.00
97.87 4.44%
3,914,920.68
4,550.00
3.80%
(85,079.32)
Aaa/AA+
AA+
0.57 0.56
3130AMBG6 FEDERAL HOME LOAN BANKS 0.75
04/29/2025 5,000,000.00 05/04/2021
0.75%
5,000,000.00
5,000,000.00
97.92 4.44%
4,895,936.50
15,833.33
4.75%
(104,063.50)
Aaa/AA+
AA+
0.58 0.56
3134GW3Z7 FEDERAL HOME LOAN MORTGAGE
CORP 0.6 10/28/2025 8,500,000.00 10/28/2020
0.60%
8,500,000.00
8,500,000.00
96.45 4.01%
8,198,187.19
21,675.00
7.96%
(301,812.82)
Aaa/AA+
AA+
1.08 1.05
3133EPCF0 FEDERAL FARM CREDIT BANKS
FUNDING CORP 4.5 03/02/2026 2,000,000.00 03/27/2023
4.01%
2,026,680.00
2,012,891.18
100.87
3.87%
2,017,308.42
7,250.00
1.96%
4,417.24
Aaa/AA+
AA+
1.42 1.36
3133EPQC2 FEDERAL FARM CREDIT BANKS
FUNDING CORP 4.625 07/17/2026 2,000,000.00 07/28/2023
4.66%
1,998,260.00
1,998,948.28
101.57
3.71%
2,031,359.54
19,013.89
1.97%
32,411.26
Aaa/AA+
AA+
1.79 1.70
3130ANDF4 FEDERAL HOME LOAN BANKS 0.9
07/29/2026 5,000,000.00 0
7/29/2021
0.90%
5,010,000.00
5,000,000.00
94.84 3.85%
4,742,244.10
7,750.00
4.60%
(257,755.90)
Aaa/AA+
AA+
1.83 1.78
3133EPDJ1 FEDERAL FARM CREDIT BANKS
FUNDING CORP 4.375 09/15/2027 2,000,000.00 03/27/2023
3.81%
2,045,720.00
2,030,227.87
102.02
3.65%
2,040,430.54
3,888.89
1.98%
10,202.67
Aaa/AA+
AA+
2.96 2.75
3130ATS57
F
EDERAL HOME LOAN BANKS 4.5
03/10/2028 2,000,000.00 03/27/2023
3.82%
2,060,420.00
2,041,949.98
102.91
3.59%
2,058,249.10
5,250.00
2.00%
16,299.12
Aaa/AA+
AA+
3.44 3.17
3130AEB25 FEDERAL HOME LOAN BANKS 3.25
06/09/2028 2,000,000.00 07/24/2023
4.15%
1,921,180.00
1,940,387.12
98.89 3.57%
1,977,743.46
20,222.22
1.92%
37,356.34
Aaa/AA+
AA+
3.69 3.41
3130AXQK7 FEDERAL HOME LOAN BANKS 4.75
12/08/2028 2,000,000.00 01/29/2024
4.05%
2,060,660.00
2,052,282.49
104.35
3.62%
2,086,919.50
29,819.44
2.03%
34,637.01
Aaa/AA+
AA+
4.19 3.73
3133ERDH1 FEDERAL FARM CREDIT BANKS
FUNDING CORP 4.75 04/30/2029 2,100,000.00 04/29/2024
4.70%
2,104,263.00
2,103,903.47
104.80
3.60%
2,200,784.84
41,839.58
2.14%
96,881.37
Aaa/AA+
AA+
4.58 4.03
40,677,183.00 98.86 40,052,676.33 38.89% Aaa/AA+ 1.74
Total Agency 40,550,000.00 1.94% 40,630,590.39 4.02% 179,451.39 (577,914.06) AA+ 1.63 CASH
CCYUSD R
eceivable 11,119.45 --
0.00%
11,119.45
11,119.45
1.00 0.00%
11,119.45
0.00 0.01%
0.00 Aaa/AAA
AAA
0.00 0.00
11,119.45 1.00 11,119.45 0.01% Aaa/AAA 0.00
Total Cash 11,119.45 0.00% 11,119.45 0.00% 0.00 0.00 AAA 0.00
CORPORATE
29 HOLDINGS REPORT
City of Orange | Account #10888 | As of September 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
14913Q3B3 CATERPILLAR FINANCIAL SERVICES
CORP 2.15 11/08/2024 1,250,000.00 05/31/2022
2.86%
1,229,100.00
1,249,107.64
99.69 5.09%
1,246,185.23
10,675.35
1.21%
(2,922.42)
A2/A
A+
0.11 0.10
24422EWF2 JOHN DEERE CAPITAL CORP 3.4
06/06/2025 280,000.00 06/01/2022
3.41%
279,935.60
279,985.43
99.29 4.46%
278,025.99
3,041.11
0.27%
(1,959.43)
A1/A
A+
0.68 0.66
91324PEN8 UNITEDHEALTH GROUP INC 5.15
10/15/2025 775,000.00 12/28/2022
4.56%
786,780.00
779,377.08
101.02
4.14%
782,899.47
18,404.10
0.76%
3,522.39
A2/A+
A
1.04 0.98
89236THP3 TOYOTA MOTOR CREDIT CORP 0.8
10/16/2025 5,000,000.00 11/19/2020
0.70%
5,025,000.00
5,005,301.34
96.54 4.23%
4,827,107.35
18,333.33
4.69%
(178,193.99)
A1/A+
A+
1.04 1.01
63743HFF4
NATIONAL RURAL UTILITIES
COOPERATIVE FINANCE CORP 5.45
10/30/2025
495,000.00 10/20/2022
5.50%
494,336.70
494,761.33
101.30
4.21%
501,416.13
11,315.56
0.49%
6,654.79
A2/A-
A
1.08 1.02
037833EB2 APPLE INC 0.7 02/08/2026 3,000,000.00 02/08/2021
0.70%
2 ,999,730.00
2,999,926.81
95.87 3.87%
2,875,979.01
3,091.67
2.79%
(123,947.80)
Aaa/AA+
NA
1.36 1.32
713448FQ6 PEPSICO INC 4.55 02/13/2026 195,000.00 02/13/2023
4.57%
194,886.90
194,948.31
100.80
3.94%
196,554.58
1,183.00
0.19%
1,606.27
A1/A+
NA
1.37 1.23
907818GE2
U
NION PACIFIC CORP 4.75
02/21/2026 470,000.00 02/13/2023
4.77%
469,689.80
469,856.22
100.75
4.18%
473,535.26
2,480.56
0.46%
3,679.04
A3/A-
A-
1.39 1.25
46647PBK1 JPMORGAN CHASE & CO 2.083
04/22/2026 1,250,000.00 05/31/2022
3.92%
1,190,825.00
1,237,873.34
98.40 6.11%
1,230,054.61
11,499.90
1.19%
(7,818.73)
A1/A-
AA-
1.56 0.54
61747YET8 MORGAN STANLEY 4.679
07/17/2026 775,000.00 12/28/2022
5.26%
764,390.25
771,700.99
99.86 5.78%
773,907.16
7,453.91
0.75%
2,206.17
A1/A-
A+
1.79 0.76
24422EXD6 JOHN DEERE CAPITAL CORP 5.15
09/08/2026 505,000.00 09/05/2023
5.18%
504,641.45
504,768.71
102.34
3.88%
516,821.77
1,661.59
0.50%
12,053.06
A1/A
A+
1.94 1.83
713448FW3 PEPSICO INC 5.125 11/10/2026 380,000.00 11/08/2023
5.13%
379,897.40
379,927.92
102.56
3.85%
389,736.72
7,627.71
0.38%
9,808.81
A1/A+
NA
2.11 1.88
06368LAQ9 BANK OF MONTREAL 4.7
09/14/2027 1,000,000.00 0
3/30/2023
4.91%
991,550.00
994,404.73
101.73
4.07%
1,017,331.41
2,219.44
0.99%
22,926.68
A2/A-
AA-
2.96 2.66
78016FZW7 ROYAL BANK OF CANADA 4.9
01/12/2028 1,000,000.00 03/30/2023
4.95%
997,990.00
998,622.44
102.37
4.12%
1,023,749.14
10,752.78
0.99%
25,126.70
A1/A
AA-
3.28 2.98
06051GGF0 BANK OF AMERICA CORP 3.824
01/20/2028 1,250,000.00 06/27/2024
5.30%
1,206,175.00
1,210,623.05
98.92 4.94%
1,236,475.43
9,427.22
1.20%
25,852.37
A1/A-
AA-
3.31 2.16
713448FL7 PEPSICO INC 3.6 02/18/2028 1,500,000.00 03/27/2024 4 .49%
1,452,735.00
1,458,950.58
99.33 3.81%
1,490,000.94
6,450.00
1.45%
31,050.36
A1/A+
NA
3.39 3.14
30 HOLDINGS REPORT
City of Orange | Account #10888 | As of September 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
58933YBH7 MERCK & CO INC 4.05 05/17/2028 1,250,000.00 09/26/2024
3.76%
1,261,775.00
1,261,738.71
100.84
3.80%
1,260,522.01
18,843.75
1.22%
(1,216.70)
A1/A+
NA
3.63 3.23
91324PEU2 UNITEDHEALTH GROUP INC 4.25
01/15/2029 1,000,000.00 05/28/2024
5.05%
967,180.00
969,604.65
100.86
4.03%
1,008,613.99
8,972.22
0.98%
39,009.34
A2/A+
A
4.29 3.79
69371RS80 PACCAR FINANCIAL CORP 4.6
01/31/2029 1,200,000.00 03/27/2024
4.70%
1,194,684.00
1,195,245.63
102.54
3.95%
1,230,499.15
9,353.33
1.19%
35,253.52
A1/A+
NA
4.34 3.88
17275RBR2 CISCO SYSTEMS INC 4.85
02/26/2029 1,250,000.00 02/27/2024
4.84%
1,250,650.00
1,250,572.06
103.42
3.99%
1,292,729.03
5,894.10
1.26%
42,156.97
A1/AA-
NA
4.41 3.86
437076DC3 HOME DEPOT INC 4.75
06/25/2029 1,250,000.00 06/27/2024
4.82%
1,245,987.50
1,246,196.60
103.07
4.03%
1,288,390.53
15,833.33
1.25%
42,193.93
A2/A
A
4.73 4.10
532457CQ9 ELI LILLY AND CO 4.2 08/14/2029 705,000.00 08/12/2024
4.25%
703,456.05
703,496.64
1 00.96
3.98%
711,752.79
3,865.75
0.69%
8,256.16
A1/A+
NA
4.87 4.28
171239AL0 CHUBB INA HOLDINGS LLC 4.65
08/15/2029 1,250,000.00 09/26/2024
4.08%
1,280,725.00
1,280,654.85
102.32
4.12%
1,279,038.74
9,848.96
1.24%
(1,616.11)
A3/A
A
4.87 4.24
Total Corporate
2 7,030,000.00 3.44%
26,872,120.65
26,937,645.05
99.70 4.27%
26,931,326.44
198,228.66
26.15%
(6,318.61)
A1/A+
A+
2.52 2.17
MONEY MARKET
FUND
31846V203 FIRST AMER:GVT OBLG Y 194,575.54 --
4.54%
194,575.54
194,575.54
1.00 4.54%
194,575.54
0.00 0.19%
0.00 Aaa/AAAm
AAA
0.00 0.00
Total Money Market
Fund 194,575.54 4.54%
194,575.54
194,575.54
1.00 4.54%
194,575.54
0.00 0.19%
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
1,719,250.27
101.03
3.84%
1,737,724.82
29,240.00
1.69%
18,474.56
Aaa/AAA
NA
1.62 1.53
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
1,953,096.75
99.62 3.61%
1,992,371.58
15,361.11
1.93%
39,274.83
Aaa/AAA
NA
3.78 3.48
Total Supranational 3,720,000.00 4.35%
3,657,055.60
3,672,347.01
100.28
3.71%
3,730,096.40
4 4,601.11
3.62%
57,749.39
Aaa/AAA
NA
2.78 2.57
31 HOLDINGS REPORT
City of Orange | Account #10888 | As of September 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
2,992,233.67
94.73 3.64%
2,841,796.86
72.12 2.76%
(150,436.81)
Aaa/AA+
AA+
2.00 1.95
91282CGT2 UNITED STATES TREASURY 3.625
03/31/2028 1,500,000.00 09/26/2024
3.56%
1,503,398.44
1,503,387.83
100.20
3.56%
1,503,046.88
149.38
1.46%
(340.95)
Aaa/AA+
AA+
3.50 3.26
91282CHA2 UNITED STATES TREASURY 3.5
04/30/2028 2,200,000.00 06/13/2024
4.33%
2,135,203.13
2,140,191.02
99.75 3.57%
2,194,585.93
32,222.83
2.13%
54,394.91
Aaa/AA+
AA+
3.58 3.29
9128284N7 UNITED STATES TREASURY 2.875
05/15/2028 2,000,000.00 07/31/2023
4.23%
1,883,281.25
1,911,827.32
97.61 3.58%
1,952,265.62
21,718.75
1.90%
40,438.30
Aaa/AA+
AA+
3.62 3.37
912810FE3 UNITED STATES TREASURY 5.5
08/15/2028 2,100,000.00 04/29/2024
4.59%
2,173,746.09
2,166,503.17
107.30
3.47%
2,253,398.45
14,751.36
2.19%
86,895.28
Aaa/AA+
AA+
3.88 3.47
91282CJF9 UNITED STATES TREASURY 4.875
10/31/2028 2,200,000.00 05/28/2024
4.57%
2,226,640.63
2,224,579.94
1 04.88
3.58%
2,307,421.86
44,881.79
2.24%
82,841.93
Aaa/AA+
AA+
4.08 3.62
9128285M8 UNITED STATES TREASURY 3.125
11/15/2028 2,000,000.00 12/28/2023
3.86%
1,935,078.13
1,945,164.14
98.26 3.58%
1,965,156.24
23,607.34
1.91%
19,992.10
Aaa/AA+
AA+
4.13 3.78
9 1282CKD2 UNITED STATES TREASURY 4.25
02/28/2029 2,200,000.00 03/27/2024
4.18%
2,206,617.19
2,205,928.97
102.78
3.56%
2,261,101.57
8,006.91
2.20%
55,172.60
Aaa/AA+
AA+
4.41 3.99
91282CKG5 UNITED STATES TREASURY 4.125
03/31/2029 2,200,000.00 05/28/2024
4.53%
2,161,156.25
2,163,904.11
102.27
3.57%
2,249,929.68
249.31
2.18%
86,025.57
Aaa/AA+
AA+
4.50 4.08
91282CKP5 UNITED STATES TREASURY 4.625
04/30/2029 2,000,000.00 --
4.13%
2,042,382.82
2,041,249.11
104.42
3.57%
2,088,437.50
38,709.24
2.03%
47,188.39
Aaa/AA+
AA+
4.58 4.04
91282CKT7 UNITED STATES TREASURY 4.5
05/31/2029 2,200,000.00 06/13/2024
4.25%
2,224,578.13
2,223,099.64
104.00
3.56%
2,288,000.00
33,270.49
2.22%
64,900.36
Aaa/AA+
AA+
4.67 4.13
91282CLC3 UNITED STATES TREASURY 4.0
07/31/2029 2,000,000.00 09/26/2024
3.56%
2,038,515.62
2,038,428.48
101.90
3.57%
2,037,968.76
13,478.26
1.98%
(459.72)
Aaa/AA+
AA+
4.83 4.34
Total US Treasury 25,600,000.00 3.84%
25,511,144.56
2 5,556,497.41
101.47
3.57%
25,943,109.35
231,117.77
25.19%
386,611.94
Aaa/AA+
AA+
3.94 3.58
Total Portfolio 103,134,291.38 3.09%
102,950,880.64
103,030,613.42
99.77 3.97%
103,002,229.97
665,043.10
100.00%
(28,383.45)
Aa2/AA-
AA
2.66 2.30
Total Market Value +
Accrued 103,667,273.07
32 HOLDINGS REPORT
City of Orange LAIF Balances | Account #10895 | As of September 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 459,166.52 --
0.00%
459,166.52
459,166.52
1.00 0.00%
459,166.52
0.00 2.03%
0.00 Aaa/AAA
AAA
0.00 0.00
Total Cash 459,166.52 0.00%
459,166.52
459,166.52
1.00 0.00%
459,166.52
0.00 2.03%
0.00 Aaa/AAA
AAA
0.00 0.00
LAIF
90LAIF$00 Local Agency Investment Fund
State Pool 22,192,867.38 --
4.58%
22,192,867.38
22,192,867.38
1.00 4.58%
22,192,867.38
0.00 97.97%
0.00 NA/NA
NA
0.00 0.00
Total LAIF 22,192,867.38 4.58%
22,192,867.38
22,192,867.38
1.00 4.58%
22,192,867.38
0.00 97.97%
0.00 NA/NA
NA
0.00 0.00
Total Portfolio 22,652,033.90 4.49%
22,652,033.90
22,652,033.90
1.00 4.49%
22,652,033.90
0.00 100.00%
0.00 Aaa/AAA
AAA
0.00 0.00
Total Market Value +
Accrued 22,652,033.90
33 HOLDINGS REPORT
City of Orange Bank Balances | Account #10896 | As of September 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 675.47 --
0.00%
675.47
675.47
1.00 0.00%
675.47
0.00 0.00%
0.00 Aaa/AAA
AAA
0.00 0.00
999WEL$12 Wells Fargo General 314,102.00 --
5.17%
314,102.00
314,102.00
1.00 5.17%
314,102.00
0.00 1.72%
0.00 NA/NA
NA
0.00 0.00
999WEL$14 Wells Fargo 490,885.32 --
0.00%
490,885.32
490,885.32
1.00 0.00%
490,885.32
0.00 2.69%
0.00 NA/NA
NA
0.00 0.00
999WEL$15 Wells Fargo 17,419,846.51 --
0.00%
17,419,846.51
17,419,846.51
1.00 0.00%
17,419,846.51
0.00 95.58%
0.00 NA/NA
NA
0.00 0.00
Total Cash 18,225,509.30 0.09%
18,225,509.30
18,225,509.30
1.00 0.09%
18,225,509.30
0.00 100.00%
0.00 Aaa/AAA
AAA
0.00 0.00
Total Portfolio 18,225,509.30 0.09%
18,225,509.30
18,225,509.30
1.00 0.09%
18,225,509.30
0.00 100.00%
0.00 Aaa/AAA
AAA
0.00 0.00
Total Market Value +
Accrued 18,225,509.30
34 TRANSACTIONS
35 TRANSACTION LEDGER
City of Orange | Account #10888|07/01/2024 Through 09/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 07/24/2024 44934QAD3 285,000.00 HART 2024-B A3 4.84 03/15/2029 99.985 5.45% (284,956.99) 0.00 (284,956.99) 0.00 Purchase 08/14/2024 532457CQ9 705,000.00 ELI LILLY AND CO 4.2 08/14/2029 99.781 4.25% (703,456.05) 0.00 (703,456.05) 0.00 Purchase 08/21/2024 43813YAC6 630,000.00 HAROT 2024-3 A3 4.57 03/21/2029 99.984 4.66% (629,901.03) 0.00 (629,901.03) 0.00 Purchase 09/27/2024 58933YBH7 1,250,000.00 MERCK & CO INC 4.05 05/17/2028 100.942 3.76% (1,261,775.00) (18,281.25) (1,280,056.25) 0.00 Purchase 09/27/2024 171239AL0 1,250,000.00 CHUBB INA HOLDINGS LLC
4.65 08/15/2029 102.458 4.08% (1,280,725.00) (9,203.13) (1,289,928.13) 0.00 Purchase 09/27/2024 91282CGT2 1,500,000.00 UNITED STATES TREASURY
3.625 03/31/2028 100.227 3.56% (1,503,398.44) (26,741.80) (1,530,140.24) 0.00 Purchase 09/27/2024 91282CLC3 2,000,000.00 UNITED STATES TREASURY
4.0 07/31/2029 101.926 3.56% (2,038,515.62) (12,608.70) (2,051,124.32) 0.00 Purchase 09/27/2024 91282CKP5 500,000.00 UNITED STATES TREASURY
4.625 04/30/2029 104.457 3.56% (522,285.16) (9,425.95) (531,711.11) 0.00 Total Purchase 8,120,000.00 (8,225,013.29) (76,260.83) (8,301,274.12) 0.00 TO
TAL
ACQUISITIONS 8,120,000.00 (8,225,013.29) (76,260.83) (8,301,274.12) 0.00
DISPOSITIONS
Maturity 09/06/2024 191216CL2 (3,000,000.00) COCA-COLA CO 1.75 09/06/2024 100.000 1.75% 3,000,000.00 0.00 3,000,000.00 0.00 Maturity 09/25/2024 3134GWVE3 (3,075,000.00)
FEDERAL HOME LOAN
MORTGAGE CORP 0.4
09/25/2024
1 00.000 0.40% 3,075,000.00 0.00 3,075,000.00 0.00
Total Maturity (6,075,000.00) 6,075,000.00 0.00 6,075,000.00 0.00 Sale 08/14/2024 3134GWVE3 (1,500,000.00)
FEDERAL HOME LOAN
MORTGAGE CORP 0.4
09/25/2024
99.424 0.41% 1,491,360.00 2,316.67 1,493,676.67 (8,626.56) Total Sale (1,500,000.00) 1,491,360.00 2,316.67 1,493,676.67 (8,626.56) TOTAL
DISPOSITIONS (7,575,000.00) 7,566,360.00 2,316.67 7,568,676.67 (8,626.56) 36 TRANSACTION LEDGER
City of Orange LAIF Balances | Account #10895|07/01/2024 Through 09/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 07/15/2024 90LAIF$00 492,989.95 Local Agency Investment Fund State Pool 1.000 4.53% (492,989.95) 0.00 (492,989.95) 0.00 Total Purchase 492,989.95 (492,989.95) 0.00 (492,989.95) 0.00 TOTAL
ACQUISITIONS 492,989.95 (492,989.95) 0.00 (492,989.95) 0.00
DISPOSITIONS
Sale 08/31/2024 90LAIF$00 (12,000,000.00) Local Agency Investment Fund State Pool 1.000 4.60% 12,000,000.00 0.00 12,000,000.00 0.00 Sale 09/30/2024 90LAIF$00 (10,000,000.00) Local Agency Investment Fund State Pool 1.000 4.57% 10,000,000.00 0.00 10,000,000.00 0.00 Total Sale (22,000,000.00) 22,000,000.00 0.00 22,000,000.00 0.00 TOTAL
DISPOSITIONS (22,000,000.00) 22,000,000.00 0.00 22,000,000.00 0.00 37 IMPORTANT DISCLOSURES
City of Orange | Account #10888 | As of September 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. 38 BENCHMARK DISCLOSURES
City of Orange | Account #10888 | As of September 30, 2024 Benchmark Disclosure
ICE BofA 1-5 Yr US Treasury & Agency Index
The ICE BofA 1-5 Year US Treasury & Agency Index tracks the performance of US dollar denominated US Treasury and nonsubordinated US agency debt issued in the US domestic market. Qualifying securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch). Qualifying securities must have at least one year remaining term to final maturity and less than five years remaining term to final maturity, at least 18 months to maturity at time of issuance, a fixed coupon schedule, and a minimum amount outstanding of $1 billion for sovereigns and $250 million for agencies. 39