INVESTMENT REPORT
City of San Jacinto California | 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.
TABLE OF CONTENTS
ECONOMIC UPDATE
ACCOUNT PROFILE
CONSOLIDATED INFORMATION
PORTFOLIO HOLDINGS
TRANSACTIONS
1 ECONOMIC UPDATE
2
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 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 due to lower inflation expectations and a higher projected unemployment rate. 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 dropped 15 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 September month-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
3 -400
-200
0 200
400
600
800
1,000 MOM 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-month moving 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
4 0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
Job Openings
Recession
Historical Average
In Thousands (000's)
The Labor Department’s Job Openings and Labor Turnover Survey (JOLTS) 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
5 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 Core Deflator YOY % Change
Fed Target
YOY (%) Change
In September, the Consumer Price Index (CPI) rose 0.2% month-over-month and 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-month and
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
6 -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 grew more than expected month-over-month in September at 0.4% after growth of 0.1% in August. On a year-over-year basis, Retail Sales grew 1.7% in September versus 2.2% in August. Control-group sales, which are used to calculate gross domestic product, rose
0.7% month-over-month in 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
7 -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 Board’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
8 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 surprised to the downside in September, declining -0.5% month-over-month to 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 CaseShiller 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
9 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 new orders. A reading over 50 indicates expansion, while a reading under 50 indicates contraction.
Source: Institute for Supply Management
SURVEY BASED MEASURES
10 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%
Personal Consumption Expenditures
Gross Private Domestic Investment
Net Exports and Imports
Federal Government Expenditures
Total
State and Local (Consumption and Gross
Investment)
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Source: US Department of Commerce Source: US Department of Commerce According to the third estimate, 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)
11 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
12 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 September month-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
13 ACCOUNT PROFILE
14 OBJECTIVES
Investment Objectives
The City of San Jacinto's investment objectives, in order of priority, are to provide safety to ensure the preservation of capital in the overall portfolio, provide sufficient liquidity for cash needs and a market rate of return consistent with the investment program.
Chandler Asset Management Performance Objective
The performance objective for the portfolio is to earn a total rate of return over a market cycle that equals or exceeds the benchmark, the ICE BofA 1-5 Year US Treasury & Agency Index.
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 STATEMENT OF COMPLIANCE
City of San Jacinto California | Account #10167 | As of September 30, 2024 Rules Name Limit Actual Compliance
Status Notes
AGENCY MORTGAGE SECURITIES (CMOS)
Max % (MV; ABS, CMO, & MBS) 20.0 1.2 Compliant
Max Maturity (Years) 5.0 0.0 Compliant
ASSET-BACKED SECURITIES (ABS)
Max % (MV; ABS, CMO & MBS) 20.0 1.2 Compliant
Max % Issuer (MV) 5.0 0.3 Compliant
Max Maturity (Years) 5 3 Compliant
Min Rating (AA- by 2; A- Issuer by 2) 0.0 0.0 Compliant
BANKERS' ACCEPTANCES
Max % (MV) 40.0 0.0 Compliant
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Days) 180 0.0 Compliant
Min Rating (A- by 2, A-1 by 2) 0.0 0.0 Compliant
CERTIFICATE OF DEPOSIT PLACEMENT SERVICE
(CDARS)
Max % (MV) 30.0 0.0 Compliant
Max Maturity (Years) 5.0 0.0 Compliant
COLLATERALIZED TIME DEPOSITS (NONNEGOTIABLE CD/TD)
Max % (MV) 20.0 0.0 Compliant
Max Maturity (Years) 5.0 0.0 Compliant
Min Rating (A- by 1) 0.0 0.0 Compliant
COMMERCIAL PAPER
Max % (MV) 25.0 0.0 Compliant
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Days) 270 0.0 Compliant
Min Rating (A-1 by 2, A by 2) 0.0 0.0 Compliant
CORPORATE MEDIUM TERM NOTES
Max % (MV) 30.0 26.0 Compliant
Max % Issuer (MV) 5.0 1.8 Compliant
16 STATEMENT OF COMPLIANCE
City of San Jacinto California | Account #10167 | As of September 30, 2024 Rules Name Limit Actual Compliance
Status Notes
Max Maturity (Years) 5 4 Compliant
Min Rating (A- by 2) 0.0 0.0 Compliant
FDIC INSURED TIME DEPOSITS (NON-NEGOTIABLE
CD/TD)
Max % (MV) 20.0 0.0 Compliant
Max Maturity (Years) 5 0.0 Compliant
FEDERAL AGENCIES
Max % (MV) 100.0 20.0 Compliant
Max Maturity (Years) 5 4 Compliant
JOINT POWERS AUTHORITY (JPA)
Max % (MV) 50.0 0.0 Compliant
LOCAL AGENCY INVESTMENT FUND (LAIF)
Max % (MV) 70.0 0.0 Compliant
LOCAL GOVERNMENT INVESTMENT POOL (LGIP)
Max % (MV) 70.0 0.0 Compliant
MAX CALLABLE SECURITIES
Max Callables (MV) 20.0 2.5 Compliant
MONEY MARKET MUTUAL FUNDS
Max % (MV) 20.0 0.3 Compliant
Max % Issuer (MV) 20.0 0.3 Compliant
Min Rating (AAA by 2) 0.0 0.0 Compliant
MORTGAGE-BACKED SECURITIES (NON-AGENCY)
Max % (MV; ABS, CMO & MBS) 20.0 1.2 Compliant
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Years) 5.0 0.0 Compliant
Min Rating (AA- by 2; A issuer by 2) 0.0 0.0 Compliant
MUNICIPAL SECURITIES (CA, LOCAL AGENCY)
Max % (MV) 30.0 0.0 Compliant
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Years) 5 0.0 Compliant
17 STATEMENT OF COMPLIANCE
City of San Jacinto California | Account #10167 | As of September 30, 2024 Rules Name Limit Actual Compliance
Status Notes
Min Rating (A- by 1) 0.0 0.0 Compliant
MUNICIPAL SECURITIES (CA, OTHER STATES)
Max % (MV) 30.0 0.0 Compliant
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Years) 5 0.0 Compliant
Min Rating (A- by 1) 0.0 0.0 Compliant
MUTUAL FUNDS
Max % (MV) 20.0 0.0 Compliant
Max % Issuer (MV) 10.0 0.0 Compliant
Min Rating (AAA by 2) 0.0 0.0 Compliant
NEGOTIABLE CERTIFICATES OF DEPOSIT (NCD)
Max % (MV) 30.0 0.0 Compliant
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Years) 5 0.0 Compliant
Min Rating (A- by 2 or A-1 by 2) 0.0 0.0 Compliant
REPURCHASE AGREEMENTS
Max Maturity (Years) 1.0 0.0 Compliant
SUPRANATIONAL OBLIGATIONS
Max % (MV) 30.0 3.4 Compliant
Max % Issuer (MV) 10.0 3.4 Compliant
Max Maturity (Years) 5 4 Compliant
Min Rating (AA- by 1) 0.0 0.0 Compliant
U.S. TREASURIES
Max % (MV) 100.0 49.0 Compliant
Max Maturity (Years) 5 4 Compliant
18 PORTFOLIO CHARACTERISTICS
City of San Jacinto California | Account #10167 | As of September 30, 2024 Benchmark* 9/30/2024
Portfolio
6/30/2024
Portfolio
Average Maturity (yrs) 2.69 2.92 2.85
Average Modified Duration 2.52 2.62 2.56
Average Purchase Yield 3.17% 2.92%
Average Market Yield 3.66% 3.83% 4.80%
Average Quality** AA+ AA AA
Total Market Value 11,671,918 11,290,843
*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 San Jacinto California | Account #10167 | As of September 30, 2024 Sector as a Percentage of Market Value
Sector 09/30/2024 06/30/2024
US Treasury 49.03% 42.78%
Corporate 26.03% 25.93%
Agency 20.03% 26.21%
Supras 3.43% 3.45%
ABS 1.20% 1.56%
Money Mkt Fd 0.27% 0.07%
20 DURATION ALLOCATION
City of San Jacinto California | Account #10167 | As of September 30, 2024 0-.25 .25-.5 .5-1 1-2 2-3 3-4 4-5 5-7 7+
09/30/2024 0.3% 0.9% 11.7% 19.5% 21.1% 36.3% 10.2% 0.0% 0.0% 21 ISSUERS
City of San Jacinto California | Account #10167 | As of September 30, 2024 Issuer Investment Type % Portfolio
United States US Treasury 49.03%
Federal Home Loan Banks Agency 8.29%
Farm Credit System Agency 5.83%
FNMA Agency 3.99%
Inter-American Development Bank Supras 3.43%
FHLMC Agency 1.91%
Apple Inc. Corporate 1.79%
Walmart Inc. Corporate 1.72%
The Toronto-Dominion Bank Corporate 1.64%
Prologis, Inc. Corporate 1.50%
State Street Corporation Corporate 1.45%
NextEra Energy, Inc. Corporate 1.31%
PACCAR Inc Corporate 1.28%
Public Service Enterprise Group Inco Corporate 1.28%
U.S. Bancorp Corporate 1.26%
JPMorgan Chase & Co. Corporate 1.26%
Honeywell International Inc. Corporate 1.20%
Morgan Stanley Corporate 1.18%
Bank of America Corporation Corporate 1.17%
Northern Trust Corporation Corporate 1.12%
Berkshire Hathaway Inc. Corporate 1.08%
Toyota Motor Corporation Corporate 0.99%
Eli Lilly and Company Corporate 0.75%
UnitedHealth Group Incorporated Corporate 0.68%
Mastercard Incorporated Corporate 0.62%
Deere & Company Corporate 0.62%
Target Corporation Corporate 0.54%
John Deere Owner Trust ABS 0.54%
Amazon.com, Inc. Corporate 0.51%
The Home Depot, Inc. Corporate 0.44%
22 ISSUERS
City of San Jacinto California | Account #10167 | As of September 30, 2024 Issuer Investment Type % Portfolio
The Charles Schwab Corporation Corporate 0.37%
Honda Auto Receivables Owner Trust ABS 0.32%
First American Govt Oblig fund Money Mkt Fd 0.27%
Mercedes-Benz Auto Lease Trust ABS 0.26%
Merck & Co., Inc. Corporate 0.26%
Toyota Auto Receivables Owner Trust ABS 0.09%
Cash Cash 0.00%
TOTAL 100.00%
23 QUALITY DISTRIBUTION
Rating 09/30/2024 06/30/2024
AAA 4.0% 4.0%
AA 74.1% 74.1%
A 21.0% 20.8%
NR 0.9% 1.1%
Rating 09/30/2024 06/30/2024
AAA 75.6% 75.7%
AA 4.7% 4.8%
A 19.6% 19.4%
NR 0.1% 0.1%
Rating 09/30/2024 06/30/2024
AAA 1.2% 1.3%
AA 78.1% 79.7%
A 9.5% 7.6%
NR 11.2% 11.3%
City of San Jacinto California | Account #10167 | As of September 30, 2024 S&P Rating Moody’s Rating Fitch Rating
24 0-.25 .25-.5 .5-1 1-2 2-3 3-4 4-5 5-7 7+
Portfolio 0.3% 0.9% 11.7% 19.5% 21.1% 36.3% 10.2% 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 San Jacinto California | Account #10167 | As of September 30, 2024 Portfolio Compared to the Benchmark
25 3 Months 12 Months 2 Years 3 Years 5 Years 10 Years Since Inception
TOTAL RATE OF RETURN
City of San Jacinto California 3.40% 7.78% 5.15% 1.18% 1.55% 1.56% 1.38% Benchmark 3.37% 7.44% 4.75% 0.76% 1.12% 1.22% 1.09%
*Periods over 1 year are annualized.
Benchmark: ICE BofA 1-3 Yr US Treasury Index to 3/31/20; then ICE BofA 1-5 Yr 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 San Jacinto California | Account #10167 | As of September 30, 2024 Total Rate of Return : Inception | 07/01/2012
26 PORTFOLIO HOLDINGS
27 HOLDINGS REPORT
City of San Jacinto California | Account #10167 | 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
47788UAC6 JDOT 2021 A3 0.36 09/15/2025 209.97 03/02/2021
0.37%
209.93
209.97
99.81 5.41%
209.57
0.03 0.00%
(0.40)
Aaa/NA
AAA
0.96 0.04
43815GAC3 HAROT 2021-4 A3 0.88
01/21/2026 9,504.89 11/16/20210.89%
9,502.88
9,504.32
98.70 5.24%
9,381.13
2.32 0.08%
(123.19)
Aaa/NA
AAA
1.31 0.30
47789QAC4 JDOT 2021-B A3 0.52 03/16/2026 9,544.85 07/13/2021
0.52%
9,544.00
9,544.69
98.83 4.69%
9,433.03
2.21 0.08%
(111.66)
Aaa/NA
AAA
1.46 0.28
89238JAC9 TAOT 2021-D A3 0.71 04/15/2026 10,072.43 11/09/2021
0.95%
10,072.22
10,072.39
98.81 4.64%
9,952.76
3.18 0.09%
(119.63)
NA/AAA
AAA
1.54 0.30
43815BAC4 HAROT 2022-1 A3 1.88
05/15/2026 27,567.76 02/15/20221.89%
27,563.61
27,566.30
98.81 4.89%
27,239.12
23.03 0.23%
(327.18)
Aaa/AAA
NA
1.62 0.39
47787JAC2 JDOT 2022 A3 0.36 09/15/2026 19,183.64 03/10/2022
2.34%
19,179.40
19,181.91
98.85 4.69%
18,963.00
19.78 0.16%
(218.91)
Aaa/NA
AAA
1.96 0.49
47800AAC4 JDOT 2022-B A3 3.74 02/16/2027 33,665.41 07/12/2022
3.77%
33,662.19
33,663.95
99.44 4.62%
33,477.66
55.96 0.29%
(186.29)
Aaa/NA
AAA
2.38 0.66
58770JAD6 MBALT 2024-A A3 5.32
01/18/2028 30,000.00 05/17/20245.73%
29,996.49
29,996.83
102.19
4.33%
30,657.79
70.93 0.26%
660.96
Aaa/NA
AAA
3.30 2.06
Total ABS 139,748.95 3.02%
139,730.72
139,740.35
99.71 4.67%
139,314.06
177.45
1.20%
(426.29)
Aaa/AAA
AAA
2.18 0.82
AGENCY
3130AJKW8 FEDERAL HOME LOAN BANKS 0.5
06/13/2025 225,000.00 06/24/20200.52%
224,824.50
224,975.33
97.44 4.24%
219,250.58
337.50
1.89%
(5,724.75)
Aaa/AA+
AA+
0.70 0.68
3135G05X7 FEDERAL NATIONAL MORTGAGE
ASSOCIATION 0.375 08/25/2025 230,000.00 08/25/20200.47% 228,923.60
229,806.44
96.87 3.95%
222,790.53
86.25 1.92%
(7,015.90)
Aaa/AA+
AA+
0.90 0.88
3137EAEX3 FEDERAL HOME LOAN MORTGAGE
CORP 0.375 09/23/2025 230,000.00 09/23/20200.44%
229,307.70
229,864.50
96.53 4.03%
222,026.78
19.17 1.91%
(7,837.72)
Aaa/AA+
AA+
0.98 0.96
3135G06G3 FEDERAL NATIONAL MORTGAGE
ASSOCIATION 0.5 11/07/2025 250,000.00 11/09/2020
0.57%
249,105.00
249,802.42
96.23 4.04%
240,566.83
500.00
2.07%
(9,235.60)
Aaa/AA+
AA+
1.10 1.07
3130ATS57 FEDERAL HOME LOAN BANKS 4.5
03/10/2028 325,000.00 -- 3.91%
333,444.50
330,891.20
102.91
3.59%
334,465.48
853.13
2.88%
3,574.28
Aaa/AA+
AA+
3.44 3.17
3130AWC24 FEDERAL HOME LOAN BANKS 4.0
06/09/2028 200,000.00 06/27/20234.11%
198,982.00
199,241.57
101.53
3.55%
203,063.87
2,488.89
1.75%
3,822.31
Aaa/AA+
AA+
3.69 3.37
28 HOLDINGS REPORT
City of San Jacinto California | Account #10167 | 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
3130AWTR1 FEDERAL HOME LOAN BANKS
4.375 09/08/2028 200,000.00 09/12/20234.49%
198,987.00
199,200.06
102.73
3.62%
205,469.49
559.03
1.77%
6,269.43
Aaa/AA+
AA+
3.94 3.59
3133EPWK7 FEDERAL FARM CREDIT BANKS
FUNDING CORP 4.5 09/22/2028 200,000.00 09/27/20234.76%
197,716.00
198,178.82
103.31
3.60%
206,626.75
225.00
1.78%
8,447.93
Aaa/AA+
AA+
3.98 3.62
3133EPC45 FEDERAL FARM CREDIT BANKS
FUNDING CORP 4.625 11/13/2028 230,000.00 11/27/20234.46% 231,646.80
231,366.88
103.87
3.61%
238,892.45
4,077.71
2.06%
7,525.57
Aaa/AA+
AA+
4.12 3.67
3133EPN50 FEDERAL FARM CREDIT BANKS
FUNDING CORP 4.25 12/15/2028 225,000.00 12/18/2023
4.00%
227,499.75
227,106.21
102.51
3.60%
230,654.36
2,815.63
1.99%
3,548.15
Aaa/AA+
AA+
4.21 3.79
2,320,436.85 100.47 2,323,807.13 20.03% Aaa/AA+ 2.72
Total Agency 2,315,000.00 2.79% 2,320,433.42 3.78% 11,962.29 3,373.71 AA+ 2.49 CASH
CCYUSD Receivable 302.36 --
0.00%
302.36
302.36
1.00 0.00%
302.36
0.00 0.00%
0.00 Aaa/AAA
AAA
0.00 0.00
302.36 1.00 302.36 0.00% Aaa/AAA 0.00
Total Cash 302.36 0.00% 302.36 0.00% 0.00 0.00 AAA 0.00
CORPORATE
931142EW9 WALMART INC 3.9 09/09/2025 30,000.00 09/06/2022
3.92%
29,979.00
29,993.43
99.80 4.11%
29,941.35
71.50 0.26%
(52.07)
Aa2/AA
AA
0.94 0.91
857477BR3 STATE STREET CORP 1.746
02/06/2026 35,000.00 02/02/20221.75%
35,000.00
35,000.00
98.82 5.27%
34,587.46
93.36 0.30%
(412.54)
A1/A
AA1.350.34
91324PEC2 UNITEDHEALTH GROUP INC 1.15
05/15/2026 30,000.00 --
1.08%
30,097.10
30,030.89
95.60 3.97%
28,681.29
130.33
0.25%
(1,349.60)
A2/A+
A
1.62 1.57
89236TJK2 TOYOTA MOTOR CREDIT CORP
1.125 06/18/2026 120,000.00 06/15/20211.13%
119,947.20
119,981.93
95.34 3.96%
114,407.44
386.25
0.99%
(5,574.49)
A1/A+
A+
1.71 1.66
61747YET8 MORGAN STANLEY 4.679
07/17/2026 60,000.00 07/18/20224.68%
60,000.00
60,000.00
99.86 5.78%
59,915.39
577.08
0.52%
(84.61)
A1/AA+1.79
0.76 89114TZG0 TORONTO-DOMINION BANK 1.25
09/10/2026 200,000.00 11/17/20211.69%
195,888.00
198,339.75
94.88 4.02%
189,750.27
145.83
1.64%
(8,589.47)
A1/A
AA1.941.88
931142ER0 WALMART INC 1.05 09/17/2026 30,000.00 09/08/2021
1.09%
29,943.30
29,977.77
94.97 3.74%
28,489.73
12.25 0.25%
(1,488.04)
Aa2/AA
AA
1.96 1.91
29 HOLDINGS REPORT
City of San Jacinto California | Account #10167 | 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
87612EBM7 TARGET CORP 1.95 01/15/2027 65,000.00 01/19/2022
1.99%
64,889.50
64,949.16
96.06 3.76%
62,438.70
267.58
0.54%
(2,510.46)
A2/A
A
2.29 2.20
037833CJ7 APPLE INC 3.35 02/09/2027 210,000.00 10/05/2022
4.37%
201,528.60
205,401.09
99.09 3.75%
208,096.72
1,016.17
1.79%
2,695.63
Aaa/AA+
NA
2.36 2.23
808513BY0 CHARLES SCHWAB CORP 2.45
03/03/2027 45,000.00 03/01/20222.47%
44,951.40
44,976.50
96.04 4.19%
43,217.16
85.75 0.37%
(1,759.34)
A2/AA2.42
2.31 084664CZ2 BERKSHIRE HATHAWAY FINANCE
CORP 2.3 03/15/2027 130,000.00 03/07/20222.30%
129,975.30
129,987.89
96.79 3.68%
125,827.85
132.89
1.08%
(4,160.04)
Aa2/AA
A+
2.45 2.35
857477CL5 STATE STREET CORP 4.993
03/18/2027 130,000.00 03/13/20244.99%
130,000.00
130,000.00
102.36
3.98%
133,073.52
234.39
1.15%
3,073.52
A1/A
AA2.462.23
023135CF1 AMAZON.COM INC 3.3
04/13/2027 60,000.00 04/11/20223.34%
59,876.40
59,937.45
98.72 3.83%
59,233.71
924.00
0.51%
(703.74)
A1/AA
AA2.532.37
46647PCB0 JPMORGAN CHASE & CO 1.578
04/22/2027 75,000.00 05/28/20245.62%
69,617.25
70,588.16
95.80 4.92%
71,847.70
522.71
0.62%
1,259.53
A1/AAA2.56
1.50 665859AW4 NORTHERN TRUST CORP 4.0
05/10/2027 130,000.00 09/28/20224.70%
126,240.40
127,875.59
100.16
3.93%
130,211.51
2,036.67
1.12%
2,335.92
A2/A+
A+
2.61 2.34
91324PEG3 UNITEDHEALTH GROUP INC 3.7
05/15/2027 50,000.00 05/17/20223.69%
50,025.40
50,011.47
99.53 3.89%
49,765.00
698.89
0.43%
(246.47)
A2/A+
A
2.62 2.44
931142EX7 WALMART INC 3.95 09/09/2027 140,000.00 10/05/2022
4.51%
136,557.40
137,945.54
100.69
3.70%
140,965.95
337.94
1.22%
3,020.41
Aa2/AA
AA
2.94 2.67
438516CJ3 HONEYWELL INTERNATIONAL INC
4.95 02/15/2028 135,000.00 02/13/2023
4.44%
138,028.05
137,026.01
103.50
3.83%
139,730.95
853.88
1.20%
2,704.94
A2/A
A
3.38 3.00
57636QAW4 MASTERCARD INC 4.875
03/09/2028 70,000.00 03/06/20234.90%
69,932.10
69,953.36
103.30
3.84%
72,311.68
208.54
0.62%
2,358.33
Aa3/A+
NA
3.44 3.07
06051GKP3 BANK OF AMERICA CORP 4.376
04/27/2028 135,000.00 08/30/20235.60%
129,575.70
131,188.77
100.16
4.87%
135,213.86
2,527.14
1.17%
4,025.09
A1/AAA3.57
2.37 74456QBU9 PUBLIC SERVICE ELECTRICAND
GAS CO 3.7 05/01/2028 150,000.00 06/27/20234.77%
143,142.00
144,926.32
98.71 4.09%
148,066.15
2,312.50
1.28%
3,139.83
A1/A
WR
3.59 3.27
341081GN1 FLORIDA POWER & LIGHT CO 4.4
05/15/2028 150,000.00 06/27/20234.78%
147,565.50
148,193.93
101.19
4.04%
151,789.07
2,493.33
1.31%
3,595.14
Aa2/A+
AA3.623.13
58933YBH7 MERCK & CO INC 4.05 05/17/2028 30,000.00 05/08/2023
4.07%
29,975.70
29,982.39
100.84
3.80%
30,252.53
452.25
0.26%
270.14
A1/A+
NA
3.63 3.23
74340XCG4 PROLOGIS LP 4.875 06/15/2028 170,000.00 --
5.09%
168,446.95
168,805.10
102.61
4.11%
174,441.68
2,440.21
1.50%
5,636.58
A3/A
NA
3.71 3.26
30 HOLDINGS REPORT
City of San Jacinto California | Account #10167 | 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
69371RS80 PACCAR FINANCIAL CORP 4.6
01/31/2029 145,000.00 01/24/20244.64%
144,763.65
144,795.22
102.54
3.95%
148,685.31
1,130.19
1.28%
3,890.10
A1/A+
NA
4.34 3.88
532457CK2 ELI LILLY AND CO 4.5 02/09/2029 85,000.00 02/07/2024
4.51%
84,943.90
84,951.12
102.42
3.89%
87,055.29
552.50
0.75%
2,104.18
A1/A+
NA
4.36 3.84
61747YFD2 MORGAN STANLEY 5.164
04/20/2029 75,000.00 08/26/20244.53%
76,565.25
76,524.12
102.79
4.74%
77,089.56
1,732.09
0.66%
565.44
A1/AA+4.55
3.16 46647PAR7 JPMORGAN CHASE & CO 4.005
04/23/2029 75,000.00 05/28/2024
5.38%
71,401.50
71,717.16
98.93 4.67%
74,199.80
1,318.31
0.64%
2,482.65
A1/AAA4.56
3.23 24422EXT1 JOHN DEERE CAPITAL CORP 4.85
06/11/2029 70,000.00 06/06/20244.88%
69,906.55
69,912.28
103.28
4.07%
72,299.46
1,037.36
0.62%
2,387.18
A1/A
A+
4.70 4.12
91159HJM3 US BANCORP 5.775 06/12/2029 140,000.00 09/30/2024
4.32%
146,867.00
146,861.92
104.80
4.84%
146,724.88
2,447.96
1.26%
(137.04)
A3/A
A
4.70 3.27
437076DC3 HOME DEPOT INC 4.75
06/25/2029 50,000.00 06/17/20244.90%
49,677.50
49,694.81
103.07
4.03%
51,535.62
633.33
0.44%
1,840.81
A2/A
A
4.73 4.10
Total Corporate 3,020,000.00 4.09%
2,985,307.60
2,999,529.12
100.08
4.13%
3,019,846.61
27,813.20
26.03%
20,317.49
A1/A
A+
3.14 2.66
MONEY MARKET
FUND
31846V203 FIRST AMER:GVT OBLG Y 31,775.06 --
4.54%
31,775.06
31,775.06
1.00 4.54%
31,775.06
0.00 0.27%
0.00 Aaa/AAAm
AAA
0.00 0.00
Total Money Market
Fund 31,775.06 4.54%
31,775.06
31,775.06
1.00 4.54%
31,775.06
0.00 0.27%
0.00 Aaa/AAAm
AAA
0.00 0.00
SUPRANATIONAL
4581X0DV7 INTER-AMERICAN DEVELOPMENT
BANK 0.875 04/20/2026 230,000.00 04/13/20210.97%
228,946.60
229,673.48
95.52 3.87%
219,706.71
900.03
1.89%
(9,966.77)
Aaa/AAA
NA
1.55 1.51
4581X0EN4 INTER-AMERICAN DEVELOPMENT
BANK 4.125 02/15/2029 175,000.00 02/15/20244.32%
173,446.00
173,637.05
101.98
3.63%
178,458.35
922.40
1.54%
4,821.30
Aaa/AAA
NA
4.38 3.96
Total Supranational 405,000.00 2.47%
402,392.60
403,310.53
98.42 3.76%
398,165.06
1,822.43
3.43%
(5,145.47)
Aaa/AAA
NA
2.82 2.61
US TREASURY
31 HOLDINGS REPORT
City of San Jacinto California | Account #10167 | 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
912828ZT0 UNITED STATES TREASURY 0.25
05/31/2025 230,000.00 06/04/20200.39%
228,373.83
229,783.89
97.42 4.23%
224,063.57
193.24
1.93%
(5,720.32)
Aaa/AA+
AA+
0.67 0.65
9128284Z0 UNITED STATES TREASURY 2.75
08/31/2025 155,000.00 06/24/20210.73%
167,950.98
157,830.91
98.83 4.06%
153,192.07
365.02
1.32%
(4,638.84)
Aaa/AA+
AA+
0.92 0.89
9128285C0 UNITED STATES TREASURY 3.0
09/30/2025 200,000.00 02/25/20221.88%
207,804.69
202,168.63
99.04 3.99%
198,084.37
16.48 1.71%
(4,084.26)
Aaa/AA+
AA+
1.00 0.97
91282CAZ4 UNITED STATES TREASURY 0.375
11/30/2025 240,000.00 12/15/20200.37%
240,018.75
240,004.40
96.05 3.88%
230,521.87
302.46
1.99%
(9,482.53)
Aaa/AA+
AA+
1.17 1.14
91282CBC4 UNITED STATES TREASURY 0.375
12/31/2025 250,000.00 01/28/20210.41%
249,541.02
249,883.53
95.81 3.85%
239,521.49
236.92
2.06%
(10,362.05)
Aaa/AA+
AA+
1.25 1.22
91282CBQ3 UNITED STATES TREASURY 0.5
02/28/2026 250,000.00 03/24/20210.82%
246,123.05
248,891.38
95.52 3.79%
238,789.06
107.04
2.06%
(10,102.31)
Aaa/AA+
AA+
1.41 1.38
91282CBT7 UNITED STATES TREASURY 0.75
03/31/2026 250,000.00 -- 0.86%
248,714.06
249,601.94
95.64 3.77%
239,091.80
5.15 2.06%
(10,510.14)
Aaa/AA+
AA+
1.50 1.46
91282CCP4 UNITED STATES TREASURY 0.625
07/31/2026 300,000.00 08/25/20210.82%
297,152.34
298,943.20
94.63 3.68%
283,886.72
315.90
2.45%
(15,056.48)
Aaa/AA+
AA+
1.83 1.79
9128282A7 UNITED STATES TREASURY 1.5
08/15/2026 150,000.00 09/23/20210.91%
154,230.47
151,617.81
96.10 3.67%
144,152.34
287.36
1.24%
(7,465.47)
Aaa/AA+
AA+
1.87 1.82
912828V98 UNITED STATES TREASURY 2.25
02/15/2027 130,000.00 03/29/20222.53%
128,334.38
129,190.07
96.91 3.62%
125,988.28
373.57
1.09%
(3,201.79)
Aaa/AA+
AA+
2.38 2.28
91282CEF4 UNITED STATES TREASURY 2.5
03/31/2027 225,000.00 05/25/2022
2.73%
222,626.95
223,778.62
97.43 3.59%
219,216.80
15.45 1.89%
(4,561.82)
Aaa/AA+
AA+
2.50 2.39
91282CET4 UNITED STATES TREASURY 2.625
05/31/2027 215,000.00 -- 3.35%
207,938.48
211,153.53
97.56 3.59%
209,759.38
1,896.67
1.81%
(1,394.16)
Aaa/AA+
AA+
2.67 2.52
91282CFB2 UNITED STATES TREASURY 2.75
07/31/2027 140,000.00 09/30/20243.55%
137,014.06
137,016.95
97.77 3.58%
136,877.34
648.64
1.18%
(139.60)
Aaa/AA+
AA+
2.83 2.68
91282CFM8 UNITED STATES TREASURY 4.125
09/30/2027 350,000.00 11/21/20224.00%
351,886.72
351,164.17
101.61
3.56%
355,619.14
39.66 3.07%
4,454.98
Aaa/AA+
AA+
3.00 2.80
91282CFZ9 UNITED STATES TREASURY 3.875
11/30/2027 275,000.00 01/24/20233.59%
278,501.95
277,285.17
100.88
3.58%
277,406.25
3,581.20
2.39%
121.08
Aaa/AA+
AA+
3.17 2.92
91282CGT2 UNITED STATES TREASURY 3.625
03/31/2028 245,000.00 --
3.94%
241,623.04
242,523.30
100.20
3.56%
245,497.66
24.40 2.12%
2,974.35
Aaa/AA+
AA+
3.50 3.26
91282CHQ7 UNITED STATES TREASURY 4.125
07/31/2028 220,000.00 09/15/2023
4.46%
216,768.75
217,457.53
101.94
3.58%
224,271.09
1,528.94
1.93%
6,813.57
Aaa/AA+
AA+
3.84 3.50
32 HOLDINGS REPORT
City of San Jacinto California | Account #10167 | 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
91282CHX2 UNITED STATES TREASURY 4.375
08/31/2028 180,000.00 09/27/20234.69%
177,532.03
178,038.25
102.89
3.58%
185,196.09
674.38
1.60%
7,157.85
Aaa/AA+
AA+
3.92 3.57
91282CJF9 UNITED STATES TREASURY 4.875
10/31/2028 225,000.00 10/30/20234.81%
225,667.97
225,545.13
104.88
3.58%
235,986.33
4,590.18
2.03%
10,441.20
Aaa/AA+
AA+
4.08 3.62
9128285M8 UNITED STATES TREASURY 3.125
11/15/2028 175,000.00 01/17/20244.05%
167,965.82
168,991.22
98.26 3.58%
171,951.17
2,065.64
1.48%
2,959.95
Aaa/AA+
AA+
4.13 3.78
91282CJW2 UNITED STATES TREASURY 4.0
01/31/2029 150,000.00 02/26/2024
4.31%
147,919.92
148,170.69
101.69
3.58%
152,531.25
1,010.87
1.31%
4,360.56
Aaa/AA+
AA+
4.34 3.93
912810FG8 UNITED STATES TREASURY 5.25
02/15/2029 130,000.00 04/24/20244.62%
133,483.59
133,168.34
107.16
3.47%
139,303.13
871.67
1.20%
6,134.78
Aaa/AA+
AA+
4.38 3.89
91282CKG5 UNITED STATES TREASURY 4.125
03/31/2029 150,000.00 04/24/20244.66%
146,466.80
146,778.73
102.27
3.57%
153,404.30
17.00 1.32%
6,625.57
Aaa/AA+
AA+
4.50 4.08
91282CKP5 UNITED STATES TREASURY 4.625
04/30/2029 125,000.00 05/28/20244.58%
125,249.02
125,231.70
104.42
3.57%
130,527.34
2,419.33
1.13%
5,295.65
Aaa/AA+
AA+
4.58 4.04
91282CKT7 UNITED STATES TREASURY 4.5
05/31/2029 145,000.00 06/27/20244.30%
146,285.74
146,217.81
104.00
3.56%
150,800.00
2,192.83
1.30%
4,582.19
Aaa/AA+
AA+
4.67 4.13
91282CEV9 UNITED STATES TREASURY 3.25
06/30/2029 125,000.00 07/29/20244.10%
120,292.97
120,458.08
98.56 3.58%
123,198.24
1,026.66
1.06%
2,740.16
Aaa/AA+
AA+
4.75 4.32
91282CKX8 UNITED STATES TREASURY 4.25
06/30/2029 150,000.00 08/22/20243.73%
153,451.17
153,375.21
102.92
3.57%
154,382.81
1,611.07
1.33%
1,007.60
Aaa/AA+
AA+
4.75 4.24
91282CLC3 UNITED STATES TREASURY 4.0
07/31/2029 195,000.00 --
3.93%
195,636.92
195,631.11
101.90
3.57%
198,701.95
1,314.13
1.71%
3,070.84
Aaa/AA+
AA+
4.83 4.34
91282CFJ5 UNITED STATES TREASURY 3.125
08/31/2029 150,000.00 09/10/20243.47%
147,673.83
147,699.46
97.92 3.59%
146,876.95
401.42
1.27%
(822.51)
Aaa/AA+
AA+
4.92 4.50
Total US Treasury 5,725,000.00 2.87%
5,712,229.30
5,707,600.75
99.47 3.68%
5,688,798.81
28,133.30
49.03%
(18,801.95)
Aaa/AA+
AA+
2.93 2.70
Total Portfolio 11,636,826.37 3.17%
11,592,174.50
11,602,691.60
99.52 3.83%
11,602,009.09
69,908.67
100.00%
(682.51)
Aa2/AAAA2.92
2.62 Total Market Value +
Accrued 11,671,917.76
33 TRANSACTIONS
34 TRANSACTION LEDGER
City of San Jacinto California | Account #10167|07/01/2024 Through 09/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount InterestPur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 07/30/2024 91282CEV9 125,000.00 UNITED STATES TREASURY
3.25 06/30/2029 96.234 4.10% (120,292.97) (331.18) (120,624.15) 0.00 Purchase 07/31/2024 91282CLC3 125,000.00 UNITED STATES TREASURY
4.0 07/31/2029 99.637 4.08% (124,545.90) 0.00 (124,545.90) 0.00 Purchase 08/23/2024 91282CKX8 150,000.00 UNITED STATES TREASURY
4.25 06/30/2029 102.301 3.73% (153,451.17) (935.46) (154,386.63) 0.00 Purchase 08/27/2024 61747YFD2 75,000.00 MORGAN STANLEY 5.164 04/20/2029 102.087 4.53% (76,565.25) (1,366.31) (77,931.56) 0.00 Purchase 08/27/2024 61747YFD2 75,000.00 MORGAN STANLEY 5.164 04/20/2029 102.087 4.53% (76,565.25) (1,366.31) (77,931.56) 0.00 Purchase 08/27/2024 61747YFD2 (75,000.00) MORGAN STANLEY 5.164 04/20/2029 102.087 4.53% 76,565.25 1,366.31 77,931.56 0.00 Purchase 08/27/2024 91282CLC3 70,000.00 UNITED STATES TREASURY
4.0 07/31/2029 101.559 3.65% (71,091.02) (205.43) (71,296.45) 0.00 Purchase 09/11/2024 91282CFJ5 150,000.00 UNITED STATES TREASURY
3.125 08/31/2029 98.449 3.47% (147,673.83) (142.44) (147,816.27) 0.00 Purchase 09/30/2024 91159HJM3 140,000.00 US BANCORP 5.775 06/12/2029 104.905 4.32% (146,867.00) (2,425.50) (149,292.50) 0.00 Purchase 09/30/2024 91282CFB2 140,000.00 UNITED STATES TREASURY
2.75 07/31/2027 97.867 3.55% (137,014.06) (638.18) (137,652.24) 0.00 Total Purchase 975,000.00 (977,501.20) (6,044.50) (983,545.70) 0.00 TOTAL
ACQUISITIONS 975,000.00 (977,501.20) (6,044.50) (983,545.70) 0.00
DISPOSITIONS
Sale 07/30/2024 3137EAEP0 (245,000.00)
FEDERAL HOME LOAN
MORTGAGE CORP 1.5
02/12/2025
98.065 1.52% 240,259.25 1,715.00 241,974.25 (4,720.39)
Sale 08/23/2024 3137EAEU9 (145,000.00)
FEDERAL HOME LOAN
MORTGAGE CORP 0.375
07/21/2025
96.282 0.48% 139,608.90 48.33 139,657.23 (5,259.66)
Sale 08/27/2024 3135G03U5 (150,000.00)
FEDERAL NATIONAL
MORTGAGE ASSOCIATION
0.625 04/22/2025
97.380 0.67% 146,070.00 325.52 146,395.52 (3,927.37)
35 TRANSACTION LEDGER
City of San Jacinto California | Account #10167|07/01/2024 Through 09/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount InterestPur/Sold Total Amount Gain/Loss Sale 09/11/2024 3135G03U5 (160,000.00)
FEDERAL NATIONAL
MORTGAGE ASSOCIATION
0.625 04/22/2025
97.598 0.67% 156,156.80 386.11 156,542.91 (3,840.58)
Sale 09/30/2024 78015K7H1 (200,000.00) ROYAL BANK OF CANADA
1.15 06/10/2025 97.712 1.17% 195,424.00 702.78 196,126.78 (4,552.81) Total Sale (900,000.00) 877,518.95 3,177.74 880,696.69 (22,300.81) TOTAL
DISPOSITIONS (900,000.00) 877,518.95 3,177.74 880,696.69 (22,300.81) 36 IMPORTANT DISCLOSURES
City of San Jacinto California | Account #10167 | 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 ICE Data Indices, LLC (“ICE”), used with permission. ICE permits use of the ICE indices and related data on an “asis” 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 income investments are subject to interest, credit and market risk. Interest rate risk: the value of fixed income investments will decline as interest rates rise. Credit risk: the possibility that the borrower may not be able to repay interest and principal. Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk. Market risk: the bond market in general could decline due to economic conditions, especially during periods of rising interest rates.
Ratings information have been provided by Moody’s, S&P and Fitch through data feeds we believe to be reliable as of the date of this statement, however we cannot guarantee its accuracy.
Security level ratings for U.S. Agency issued mortgage-backed securities (“MBS”) reflect the issuer rating because the securities themselves are not rated. The issuing U.S. Agency guarantees the full and timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P, Moody’s and Fitch respectively. 37 BENCHMARK DISCLOSURES
City of San Jacinto California | Account #10167 | As of September 30, 2024 Benchmark Disclosure
San Jacinto 1-5 Yr US Tsy & Agy Blended
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. The ICE BofA 1-3 Year US Treasury Index tracks the performance of US dollar-denominated sovereign debt publicly issued by the US government in its domestic market. Qualifying securities must have at least one year remaining term to final maturity and less than three years remaining term to final maturity, a fixed coupon schedule, and a minimum amount outstanding of $1 billion.
Qualifying securities must have at least 18 months to final maturity at the time of issuance. 38