INVESTMENT REPORT
So San Francisco Cons Portfolio | Account #10061 | As of June 30, 2024 CHANDLER ASSET MANAGEMENT | chandlerasset.com
Chandler Team:
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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.
Employment
-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 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 unemployment rate 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 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 Core Deflator YOY % Change
Fed Target
YOY (%) Change
In May, the Consumer Price Index (CPI) remained unchanged month-over-month and rose 3.3% year-over-year, reflecting broad-based cost reductions. The Core CPI, which excludes volatile food and energy components, was up 0.2% month-over-month and 3.4% year-over-year in May, down from 3.6% in April 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
OBJECTIVES
So San Francisco Cons Portfolio | Account #10061 | As of June 30, 2024 InvestmentObjectives
The City of South San Francisco'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 through a market cycle that is equal to or above the return on the benchmark 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.
CITY INVESTMENT PROGRAM COMPONENTS
Inception Market Value as of June 30, 2024
Mid-Term Portfolio March 31, 2009 $200,593,548
Limited Maturity Portfolio January 31, 2023 $65,818,779 Pension Reserve Portfolio December 31, 2022 $5,847,635
Liquidity
(Investment Pools and Cash) N/A $79,435,520
Total Investment Program 351,695,482
Source: Chandler Asset Management. Does not include realized nor unrealized gains and losses.
PORTFOLIO CHARACTERISTICS
So San Francisco Cons Portfolio | Account #10061 | As of June 30, 2024 6/30/2024
Portfolio
3/31/2024
Portfolio
Average Maturity (yrs) 1.77 1.69
Average Modified Duration 1.54 1.50
Average Purchase Yield 3.83% 3.49%
Average Market Yield 4.75% 4.60%
Average Quality** AA+ AA+
Total Market Value 351,695,482 346,561,009
*Benchmark: NO BENCHMARK REQUIRED
**The credit quality is a weighted average calculation of the highest of S&P, Moody’s’ and Fitch.
SECTOR DISTRIBUTION
So San Francisco Cons Portfolio | Account #10061 | As of June 30, 2024 Sector as a Percentage of Market Value
Sector 06/30/2024 03/31/2024
US Treasury 35.7% 36.7%
LAIF 20.5% 17.4%
Agency 15.4% 16.3%
Corporate 14.5% 14.8%
ABS 5.4% 3.6%
Agency CMBS 3.7% 2.7%
Supras 2.5% 2.5%
Cash 2.2% 5.1%
Money Mkt Fd 0.1% 0.8%
DURATION DISTRIBUTION
So San Francisco Cons Portfolio | Account #10061 | As of June 30, 2024 Date 0-.25 .25-.5 .5-1 1-2 2-3 3-4 4-5 5-7 7+
06/30/2024 38.5% 3.0% 3.4% 16.8% 15.1% 16.6% 6.6% 0.0% 0.0% 03/31/2024 38.4% 3.0% 4.7% 17.0% 12.2% 16.2% 7.0% 0.0% 0.0%
HISTORICAL AVERAGE PURCHASE YIELD
So San Francisco Cons Portfolio | Account #10061 | As of June 30, 2024 Purchase Yield as of 06/30/24 = 3.83%
CITY INVESTMENT PROGRAM COMPONENTS
FY 2022-23 Interest Income FY 2023-24 Interest Income
Mid-Term Portfolio $3,386,338 $3,989,531
Limited Maturity Portfolio $1,229,567 $2,979,563
Pension Reserve Portfolio $153,259 $245,255
Total Investment Program
Managed by Chandler $4,769,164 $7,214,349
Source: Chandler Asset Management. Does not include realized nor unrealized gains and losses.
IMPORTANT DISCLOSURES
So San Francisco Cons Portfolio | Account #10061 | 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 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.