HomeMy WebLinkAboutFin City Quarterly Investment Report____________________________________________________________________________________
FOR CITY CLERK ONLY
Council Meeting: November 6, 2023
Disposition: Accepted report
Agenda Item No: 4.e
Meeting Date: November 6, 2023
SAN RAFAEL CITY COUNCIL AGENDA REPORT
Department: Finance
Prepared by: Paul Navazio, Finance Director City Manager Approval: _________
TOPIC: CITY QUARTERLY INVESTMENT REPORT
SUBJECT: ACCEPTANCE OF CITY OF SAN RAFAEL QUARTERLY INVESTMENT REPORT FOR
THE QUARTER ENDING SEPTEMBER 30, 2023
RECOMMENDATION: Accept the investment report for the quarter ending September 30, 2023.
BACKGROUND:
Pursuant to the State of California Government Code Section 53601 and the City’s investment policy,
last approved by the City Council on June 21, 2022, staff provides the City Council with a quarterly report
on the City's investment activities and liquidity. Included in the report are the cost of each investment, the
interest rates (yield), maturity dates, and market value. Separate reports are prepared for the City and
the Successor Agency to San Rafael Redevelopment Agency.
The City invests a portion of its pooled funds in the Local Agency Investment Fund (LAIF), a State-run
investment pool. Beginning in March 2014, the City incorporated an investment strategy that added
purchases of securities outside of LAIF with the assistance of an investment advisor. The City’s current
investment advisor is Chandler Asset Management.
ANALYSIS:
As of September 30, 2023, the City’s Treasury consisted of investments with a total market value of
$96,915,772, consisting of $51,292,954 in the City’s primary Local Agency Investment Fund (LAIF)
account, and $45,622,818,092 in externally managed investments (which includes $986,700 of Pt. San
Pedro Assessment District bonds). An additional $7,044,405 represent cash balances in the City’s
various operating bank accounts, including Westamerica Bank ($5,464,319), Bank of the Marin
($933,450) and Bank of Montreal (formerly Bank of the West - $646,637).
The overall return on the total portfolio for the quarter ending September 30, 2023, was 3.40%, with a
weighted average maturity of 0.99 years. The yield on the portfolio results from an effective yield of 3.61%
for the City’s investments in the Local Agency Investment Fund and a yield of 3.15% for the externally
managed investments. While the performance of the overall portfolio has improved over the prior quarter,
the performance falls short of the established benchmark (1-year Treasury Bill) yield of 5.46%. This
SAN RAFAEL CITY COUNCIL AGENDA REPORT / Page: 2
unfavorable variance is typical of a rising interest environment and the performance of the portfolio is
expected to continue to improve in the near-term as holdings mature and are reinvested at higher rates
of return.
The City’s investment portfolio continues to maintain strong diversification and is experiencing growth of
interest income as a result of higher market rates. All investments continue to comply with the City’s
investment policy and California Government Code.
Economic Outlook:
As expected, at the September meeting, the Federal Open Market Committee voted to maintain the target
Federal rate in the range of 5.25 - 5.50%. The Fed’s Summary of Economic Projections (SEP) also
revealed expectations of higher economic growth, reduced unemployment, and a gradual easing of
inflation compared to earlier forecasts.
The City will continue to monitor market trends and refine is investment strategy, as appropriate, to
improve the performance of the investment portfolio while ensuring its primary goals of preservation of
principal, liquidity and yield.
Attachment A is composed of three parts: (1) Quarterly Investment Portfolio Report; (2) Historical Activity
by Quarter summarizing the City’s investments; and (3) the City’s Investment Report from Chandler Asset
Management for the period ending September 30, 2023, which includes a listing of all holdings as well
as transaction activity details for the reporting period.
FISCAL IMPACT:
No financial impact occurs by adopting the report. The City continues to meet the priority principles of
investing - safety, liquidity, yield, and diversification. The portfolio remains conservatively invested and
sufficient liquidity exists to meet daily operating and capital project requirements for the next six months.
Operating funds, as defined for this report, exclude cash held with fiscal agents for the payment of bond
principal and interest.
RECOMMENDED ACTION:
Accept investment report for the quarter ending September 30, 2023.
ATTACHMENTS:
Exhibit A:
1.Quarterly Investment Portfolio Report
2.Historical Activity by Quarter Report
3.Chandler Asset Management – Investment Report: Period Ending September 30, 2023
SAN RAFAEL CITY COUNCIL AGENDA REPORT / Page: 3
TREASURER’S CERTIFICATION
I CERTIFY THAT ALL INVESTMENTS MADE ARE IN CONFORMANCE WITH THE CITY’S APPROVED
INVESTMENT POLICY AND STATE INVESTMENT REGULATIONS. THE CITY HAS SUFFICIENT
LIQUIDITY TO MEET ALL OF THE OBLIGATIONS REQUIRED DURING THE NEXT SIX-MONTH
PERIOD.
Paul Navazio
Finance Director
%Yield
LAIF 51,292,954$ 100.0% 3.61%
Total Internally Managed 51,292,954$ 52.9%
Weighted Average Yield 3.61%
Days
Effective Average Duration - Internal 1
Weighted Average Maturity - Internal 1
% Yield
Money Market Fund 74,981$ 0.2% 4.95%
Treasury Securities 14,031,449$ 30.8% 2.14%
Instrumentality Securities 11,497,923$ 25.2% 2.86%
Corporate Notes 11,108,352$ 24.3% 3.48%
Asset-Backed 4,112,279$ 9.0% 4.97%
Negotiable CD 374,472$ 0.8% 5.34%
CMO 3,135,264$ 6.9% 4.57%
Supranational 301,398$ 0.7% 4.53%
Pt. San Pedro Assessment District 986,700$ 2.2% 5.25%
Total Externally Managed 45,622,818$ 47.1%
Weighted Average Yield 3.15%
Years
Effective Average Duration - External 1.63
Weighted Average Maturity - External 1.92
Total Portfolio Assets %Yield
LAIF 51,292,954$ 52.9% 3.61%
Money Market Fund 74,981$ 0.1% 4.95%
Treasury Securities 14,031,449$ 14.5% 2.14%
Instrumentality Securities 11,497,923$ 11.9% 2.86%
Corporate Notes 11,108,352$ 11.5% 3.48%
Asset-Backed 4,112,279$ 4.2% 4.97%
Negotiable CD 374,472$ 0.4% 5.34%
CMO 3,135,264$ 3.2% 4.57%
Supranational 301,398$ 0.3% 4.53%
Pt. San Pedro Assessment District 986,700$ 1.0% 5.25%
Total Portfolio Assets 96,915,772$ 100.0%
Weighted Average Yield 3.40%
Years
Effective Average Duration - Total 0.81
Weighted Average Maturity - Total 0.99
Based on Market Values
September 30, 2023
City of San Rafael
Quarterly Investment Portfolio Report
Externally Managed Assets
Internally Managed Assets
LAIF
100%
Money Market
Fund
0.2%Treasury
Securities
30.8%
Instrumentality
Securities
25.2%
Corporate Notes
24.3%
Asset-Backed
9.0%
Negotiable CD
0.8%CMO
6.9%
Supranational
0.7%
Pt. San Pedro
Assessment
District
2.2%
LAIF
52.9%
Money Market
Fund
0.1%
Treasury
Securities
14.5%
Instrumentality
Securities
11.9%
Corporate
Notes
11.5%
Asset-Backed
4.2%
Negotiable CD
0.4%
CMO
3.2%Supranational
0.3%Pt. San Pedro
Assessment
District
1.0%
Internally Managed Assets %Return %Return %Return %Return %Return
LAIF 51,292,954$ 100.0% 3.61% 50,929,996$ 100.0% 3.26% 36,644,876$ 100.0% 2.87% 27,557,309$ 99.4% 2.17% 33,407,538$ 99.5% 1.51%
LAIF - Housing -$ 0.0% 0.00% -$ 0.0% 0.00% -$ 0.0% 0.00% 156,195$ 0.6% 2.17% 155,665$ 0.5% 1.51%
Total Internally Managed 51,292,954$ 52.9%50,929,996$ 52.9%36,644,876$ 44.6%27,713,504$ 38.2%33,563,203$ 43.0%
Weighted Average Yield 3.61% 3.26% 2.87% 2.17% 1.51%
Externally Managed Assets %Return %Return %Return %Return
Cash 74,981$ 0.2%4.95%844,916$ 1.9%4.72%2,967,302$ 6.5%4.40%2,947,890$ 6.6%3.00%94,380$ 0.2%1.00%
Treasury Securities 14,031,449$ 30.8% 2.14% 15,306,595$ 33.7% 1.75% 17,159,389$ 37.8% 1.64% 18,206,234$ 40.6% 1.17% 19,352,963$ 43.5% 1.20%
Instrumentality Securities 11,497,923$ 25.2% 2.86% 11,496,767$ 25.3% 2.72% 10,748,119$ 23.7% 2.36% 9,984,055$ 22.3% 1.27% 10,891,851$ 24.5% 0.95%
Corporate Notes 11,108,352$ 24.3% 3.48% 10,100,915$ 22.2% 2.41% 11,251,043$ 24.8% 1.46% 12,590,810$ 28.1% 0.92% 13,054,253$ 29.4% 0.90%
Asset Backed 4,112,279$ 9.0% 4.97% 3,048,660$ 6.7% 4.86% 1,862,018$ 4.1% 5.02% -$ 0.0% 0.00% -$ 0.0% 0.00%
Negotiable CD 374,472$ 0.8% 5.34% 373,787$ 0.8% 5.34% 375,224$ 0.8% 5.34% -$ 0.0% 0.00% -$ 0.0% 0.00%
Collateralized Mortgage Obligations (CMO) 3,135,264$ 6.9% 4.57% 3,185,252$ 7.0% 4.57% -$ 0.0% 0.00% -$ 0.0% 0.00% -$ 0.0% 0.00%
Supranational 301,398$ 0.7% 4.53%
Municipal/Assessment District 986,700$ 2.2% 5.25% 1,075,200$ 2.4% 5.25% 1,075,200$ 2.4% 5.25% 1,075,200$ 2.4% 5.25% 1,075,200$ 2.4% 5.25%
Total Externally Managed 45,622,818$ 47.1%45,432,092$ 47.1%45,438,295$ 55.4%44,804,189$ 61.8%44,468,648$ 57.0%
Weighted Average Yield 3.15% 2.72% 2.16% 1.34% 1.15%
Years Years Years Years Years
Effective Average Duration - External 1.63 1.63 1.56 1.12 1.56
Weighted Average Maturity - External 1.92 1.92 1.72 1.35 1.72
Total Portfolio Assets %Return %Return %Return %Return
LAIF 51,292,954$ 52.9% 3.61% 50,929,996$ 52.9% 3.26% 36,644,876$ 44.6% 2.87% 27,713,504$ 38.2% 2.17% 33,563,203$ 43.0% 1.51%
Cash 74,981$ 0.1% 4.95% 844,916$ 0.9% 4.72% 2,967,302$ 3.6% 4.40% 2,947,890$ 4.1% 3.00% 94,380$ 0.1% 1.00%
Treasury Securities 14,031,449$ 14.5% 2.14% 15,306,595$ 15.9% 1.75% 17,159,389$ 20.9% 1.64% 18,206,234$ 25.1% 1.17% 19,352,963$ 24.8% 1.20%
Instrumentality Securities 11,497,923$ 11.9% 2.86% 11,496,767$ 11.9% 2.72% 10,748,119$ 13.1% 2.36% 9,984,055$ 13.8% 1.27% 10,891,851$ 14.0% 0.95%
Corporate Notes 11,108,352$ 11.5% 3.48% 10,100,915$ 10.5% 2.41% 11,251,043$ 13.7% 1.46% 12,590,810$ 17.4% 0.92% 13,054,253$ 16.7% 0.90%
Asset Backed 4,112,279$ 4.2% 4.97% 3,048,660$ 3.2% 4.86% 1,862,018$ 2.3% 5.02% -$ 0.0% 0.00% -$ 0.0% 0.00%
Negotiable CD 374,472$ 0.4% 5.34% 373,787$ 0.4% 5.34% 375,224$ 0.5% 5.34% -$ 0.0% 0.00% -$ 0.0% 0.00%
Collateralized Mortgage Obligations (CMO) 3,135,264$ 3.2% 4.57% 3,185,252$ 3.3% 4.57% -$ 0.0% 0.00% -$ 0.0% 0.00% -$ 0.0% 0.00%
Supranational 301,398$ 0.3% 4.53%
Municipal/Assessment District 986,700$ 1.0% 5.25% 1,075,200$ 1.1% 5.25% 1,075,200$ 1.3% 5.25% 1,075,200$ 1.5% 5.25% 1,075,200$ 1.4% 5.25%
Total Portfolio Assets 96,915,772$ 100%96,362,087$ 100%82,083,170$ 100%72,517,693$ 100%78,031,850$ 100%
Weighted Average Yield 3.40% 3.00% 2.47% 1.66% 1.30%
Years Years Years Years Years
Effective Average Duration - Total 0.81 0.76 0.80 0.69 0.79
Weighted Average Maturity - Total 0.99 0.89 0.71 0.84 0.87
Performance Recap
-The weighted average quarterly portfolio yield increased from 3.00% to 3.40% during the past quarter. Yields are rising as the Federal Reserve increases interest rates to combat inflation.
-The effective average duration decreased, from 0.80 to 0.76 years since last quarter, this is a result of the decrease in effective average duration of the City's externally managed portfolio.
-The total portfolio assets increased by approximately $0.55 million during the quarter. This is reflective of improved yields across most categories of holdings throughout the portfolio.
September 30, 2023
City of San Rafael
Historical Activity-By Quarter
June 30, 2023 March 31, 2023 December 31, 2022 September 30, 2022
CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending September 30, 2023
City of San Rafael
I ,,;.,.& CHANDLER
'-'--ASSET MANAGEMENT
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of September 30, 2023
1
I
SECTION |Section 1 |Economic Update
2
Economic Update
▪
▪
▪
Recent economic data continues to suggest positive but below trend growth this year. Labor markets remain solid, and the U.S. consumer
has demonstrated resiliency. Inflationary trends are subsiding,but core levels remain well above the &ĞĚ͛Ɛtarget. Given the cumulative
effects of restrictive monetary policy and tighter financial conditions,we believe the economy will gradually soften and the Fed will remain
data dependent as they tread cautiously going forward.
As anticipated at the September meeting, the Federal Open Market Committee voted unanimously to maintain the target Federal Funds at
the range of 5.25 - 5.50%. The &ĞĚ͛ƐSummary of Economic Projections (SEP) also revealed expectations of higher economic growth, reduced
unemployment, and a gradual easing of inflation compared to earlier forecasts. The Fed is continuing to focus on achieving price stability
and bringing inflation down toward their 2%policy objective, while leaving the option open for the possibility of additional rate hikes in the
future if needed.
The yield curve remained inverted in September. The 2-year Treasury yield increased 18 basis points to 5.05%, the 5-year Treasury yield
rose 36 basis points to 4.61%, and the 10-year Treasury yield increased 46 basis points to 4.57%. The inversion between the 2-year
Treasury yield and 10-year Treasury yield narrowed to -48 basis points at September month-end versus -76 basis points at August month-
end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -45 basis points. The inversion between 3-month
and 10-year Treasuries narrowed to -88 basis points in September from -134 basis points in August. The shape of the yield curve indicates
that the probability of recession persists.
3
I
Employment
-400
-200
0
200
400
600
800
1,000
MO
M
C
h
a
n
g
e
I
n
T
h
o
u
s
a
n
d
s
(
0
0
0
'
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)
Ra
t
e
(
%
)
The U.S. economy added 336,000 jobs in September, exceeding consensus expectations of 170,000, and the last two months were revised
upward by 119,000 jobs. The largest gains came from leisure and hospitality, bringing restaurant and bar employment back in-line with
pre-pandemic levels. The pace of job growth has picked up recently, with the three-month moving average payrolls at 266,000 and the six-
month moving average at 234,000. The unemployment rate was unchanged at 3.8%, and the labor participation rate was consistent with
last month’s report at 62.8%. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and
employed part time for economic reasons declined slightly to 7.0% from the prior month at 7.1%. Average hourly earnings declined to
4.2% year-over-year in September from 4.3% in August. Employment remains strong by historical standards.
Source: US Department of Labor Source: US Department of Labor
4
I
---------·
---------·
---------·
I
I
I
I
I
I
I
I •
I \
I \
Job Openings & Labor Turnover Survey
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
Job Openings
Recession
Historical Average
In
T
h
o
u
s
a
n
d
s
(
0
0
0
'
s
)
The Labor Department’s Job Openings and Labor Turnover Survey (JOLTS) unexpectedly increased to 9.61 million in August from a revised
8.92 million in July. The level significantly surpassed the survey of Bloomberg economists’expectations of 8.82 million and reflects
approximately 1.5 job openings per available worker. Although JOLTS was an upside surprise, the quits rate remained at a benign 2.3%
for August, well below its 3.0% peak in April 2022.Fewer quits can imply that workers are less confident in their ability to find another
job in the current market. The current level of job openings remains elevated from a historical perspective.
Source: US Department of Labor
5
I
-
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
YO
Y
(
%
)
C
h
a
n
g
e
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
YO
Y
(
%
)
C
h
a
n
g
e
The Consumer Price Index (CPI) increased in September by 0.4% month-over-month and 3.7% year-over-year, slightly higher than
expected. Gains in shelter and energy costs accounted for a large part of the monthly increase. The Core CPI, which excludes volatile food
and energy components, was up 0.3% month-over-month and 4.1% year-over-year, decelerating from 4.3% last month. The Personal
Consumption Expenditures (PCE) index rose 0.4% month-over-month and 3.5% year-over-year in August,up from a 3.4% year-over-year
gain in July. Core PCE, the Federal Reserve’s preferred inflation gauge, increased just 0.1% month-over-month and 3.9% year-over-year in
August, down from a 4.3% increase in July. Personal income and spending remained relatively healthy,but the personal savings rate
continued its declining trend to 3.9% in August from 4.1% in July. Inflation remains above the Fed's 2% target.
Source: US Department of Labor Source: US Department of Commerce
6
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Consumer
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Retail Sales YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
Retail Sales rose 0.6%in August, exceeding the consensus forecast. Sales of motor vehicles and higher gasoline prices drove greater
than expected gains. However, Control Group Sales, which are used to calculate gross domestic product and exclude food services, auto
dealers, building materials stores and gasoline stations, rose just 0.1%, the smallest advance in five months.On a year-over-year basis,
retail sales growth decelerated to a 2.5% gain in August versus a downwardly revised 2.6% gain in July. The Conference Board’s
Consumer Confidence Index dropped more than expected to 103.0 in September from an upwardly revised 108.7 in August, primarily due
to significantly weaker future expectations for employment. While the consumer has been resilient, dwindling excess savings, rising
credit card balances, and the resumption of student loan payments pose potential headwinds to future economic growth.
80
90
100
110
120
130
140
In
d
e
x
L
e
v
e
l
Consumer Confidence
Source: US Department of Commerce Source: The Conference Board
7
I
Leading Indicators of Economic Activity
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Leading Economic Indicators (LEI)
Recession
YO
Y
(%
)
C
h
a
n
g
e
-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
M
o
n
t
h
A
v
e
r
a
g
e
The Conference Board’s Leading Economic Index (LEI) remained in negative territory for the seventeenth consecutive month at -0.4%in
August due to weak new orders, deteriorating consumer expectations of business conditions, high interest rates, and tight credit
conditions. The index declined 7.6% year-over-year. The consistent decline month-over-month continues to signal future contraction in the
economy. The Chicago Fed National Activity Index (CFNAI) surprised to the downside at -0.16 in August from downwardly revised 0.07 in
July.On a 3-month moving average basis, the CFNAI remained negative at -0.14 in August, indicating a rate of growth below the historical
average trend.
Source: The Conference Board Source: Federal Reserve Bank of Chicago
8
I
■
Housing
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
2,200
2,400
In
T
h
o
u
s
a
n
d
s
o
f
U
n
i
t
s
Annualized Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
Starts of new homes slowed -11.3%to 1.283 million units at a seasonally adjusted annual rate in August after a downward revision to
1.447 million units in July. The slower starts came from both a 4.3% decline in single-family home starts and 26.3% decline in multi-family
homes, continuing the reversal of strong multi-family homebuilding in the second half of 2022 and early 2023.Total starts of new homes
are down 14.8% year-over-year. According to Freddie Mac, average 30-year fixed rate mortgage rates increased to 7.35%as of September
28th. Rising mortgage rates are prompting homebuilders to offer incentives to attract buyers and has caused homebuilder sentiment to
reach a five-month low. According to the Case-Shiller 20-City Home Price Index, housing prices rose 0.1% year-over-year in July, improving
from a 1.2% decline in June. 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
(
%
)
C
h
a
n
g
e
9
I
■
■
■
Survey Based Measures
40
45
50
55
60
65
70
Institute of Supply Management (ISM) Surveys
ISM Manufacturing ISM Services
EXPANDING
CONTRACTING
The Institute for Supply Management (ISM) Manufacturing index remained in contraction territory at 49.0 in September,up from 47.6 in
August. This is the eleventh consecutive month of readings below 50.0, which is indicative of contraction in the manufacturing sector.
However, this is the highest reading since November 2022,as both employment and new orders improved, while prices paid subsided.
The ISM Services Index eased to 53.6 in September from the six-month high of 54.5 in August. The prices paid component continued to
grow primarily due to high labor costs and an uptick in energy costs, but new orders reflected a significant slowdown.
Source: Institute for Supply Management
10
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J,____ __ _____.>--·
Gross Domestic Product (GDP)
Components of GDP 9/22 12/22 3/23 6/23
1.1% 0.8% 2.5% 0.6%
-1.5% 0.6% -1.7% 0.9%
2.6% 0.3% 0.6% 0.0%
0.1% 0.6% 0.3% 0.1%
0.4% 0.3% 0.5% 0.5%
2.7% 2.6% 2.3% 2.1%
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 the third estimate, second quarter annualized GDP growth remained unchanged at 2.1%. A material decline in consumer
spending was offset by improvement in business investment. Historically low unemployment, wage growth and savings built up during the
pandemic has supported consumer spending at a level to keep economic growth intact,but there are signs the consumer is beginning to
show signs of stress. The consensus estimate calls for 3.0% growth for the third quarter and 2.1% for the full year 2023.
11
I
Federal Reserve
Source: Federal Reserve Source: Bloomberg
0
1,000,000
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000
10,000,000
Federal Reserve Balance Sheet Assets
Recession
In
$
m
i
l
l
i
o
n
s
At the September meeting, the Federal Open Market Committee voted unanimously to leave the Federal Funds rate unchanged at a target
range of 5.25 - 5.50%. Nonetheless, the Fed conveyed a consensus view that another rate hike is possible later in the year, along with its
commitment to keeping rates at their current level until inflation subsides closer to its 2%target, endorsing a data-dependent 'higher-for-
longer' strategy. The Fed’s Summary of Economic Projections (SEP) also revealed expectations of higher economic growth, reduced
unemployment, and a gradual easing of inflation compared to earlier forecasts.We believe the resiliency of future economic data will
determine if the Federal Reserve can stay on hold for or will tighten policy further to curb inflation. Since the Federal Reserve began its
Quantitative Tightening campaign in June 2022, securities holdings have declined by over $1 trillion to $8.024T.
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Effective Federal Funds Rate
Recession
Yi
e
l
d
(
%
)
12
I
■ I p I·
~
r ---. -"
/ --
... _ I~ r
Bond Yields
Source: Bloomberg Source: Bloomberg
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Y
i
e
l
d
(
%
)
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Yield Curve
Sep-23
Jun-23
Sep-22
Yi
e
l
d
(
%
)
At the end of September, the 2-year Treasury yield was 77 basis points higher, and the 10-Year Treasury yield was about 74 basis points
higher, year-over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -48 basis points at
September month-end versus -76 basis points at August month-end. The average historical spread (since 2003)is about +130 basis
points. The inversion between 3-month and 10-year Treasuries narrowed to -88 basis points in September from -134 basis points in
August. The shape of the yield curve indicates that the probability of recession persists.
13
I
I •• ,._ -----.. ... :-: .............. .
. . .
.... . . .. . ~------------------',,~------------------
. . . . . . ........ ": .
---I -----------------:__._·_··_·_· ___ ~r
Section 2|SECTION |Section 2 |Account Profile
14
Objectives
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.
Investment Objectives
Safety of principal is the foremost objective of the investment program. The investment portfolio shall
remain sufficiently liquid to meet all requirements that may be reasonably anticipated. The investment
portfolio shall be designed with the objective of attaining a market rate of return throughout budgetary
and economic cycles, taking into account the investment risk constraints and liquidity needs.
Strategy
In order to achieve this objective, the portfolio invests in high-quality fixed income securities that comply
with the investment policy and all regulations governing the funds.
As of September 30, 2023
15
I
Compliance As of September 30, 2023
Category Standard Comment
U.S. Treasuries No limit; 5 years max maturity Complies
Federal Agencies No limit; 5 years max maturity; Federal Agency securities and Federal instrumentality (government sponsored
enterprises)Complies
Supranational Obligations "AA" rated or higher by a NRSRO; 15% max; 5 years max maturity; USD denominated senior unsecured unsubordinated
obligations issued or unconditionally guaranteed by IBRD, IFC, or IADB Complies
Municipal Securities
Special Assessment District Obligations issued by the City of San Rafael as Limited Obligation Improvement Bonds
related to special assessment districts and special tax districts; Investments in such obligations requires the approval of
the City Council and maturities may extend to 30 years
Complies
Corporate Medium Term Notes
"A" rated or higher by a NRSRO; 30% max; 5% max per issuer; 5 years max maturity; Issued by corporations organized
and operating within the U.S. or by depository institutions licensed by the U.S. or any state and operating within the
U.S.
Complies
Asset-Backed, Mortgage-Backed,
Mortgage Pass-Through Securities, and
Collateralized Mortgage Obligations
"AA" rating category or better by a NRSRO; "A" issuer rated or better by a NRSRO; 20% max (combined); 5 years max
maturity Complies
Negotiable Certificates of Deposit (NCD)A-1 rated or equivalent; 30% max (aggregate CDs); 5% max per issuer; 5 years max maturity Complies
Certificate of Deposit Placement Service
(CDARS)30% max (aggregate CDs); 5% max per private sector entity Complies
Time Deposits (Non-negotiable CD/TD)30% max (aggregate CDs); 5% max per issuer; 5 years max maturity; FDIC insured/ Collateralized Complies
Banker’s Acceptances
A-1 short-term debt rated or better by a NRSRO; or A rated or better by a NRSRO, if issuers have senior debt
outstanding; 40% max; $2 million max per commercial bank; 180 days max maturity; Issued by FDIC insured commercial
banks
Complies
Commercial Paper
25% max; 5% max per issuer; 270 days maturity; 10% max of the outstanding commercial paper of any single issuer;
Issued by an entity that meets all of the following conditions in either (a) or (b): a. (i) organized and operating in the
U.S. as general corporation; (ii) have total assets > $500 million; (iii) "A" rating or better by a NRSRO, if issuer has debt;
b. (i) organized within the U.S. as a special purpose corporation, trust, or limited liability company; (ii) have program-
wide credit enhancements including, but not limited to, overcollateralization, letters of credit, or a surety bond; (iii)
rated "A-1" or better by a NRSRO
Complies
San Rafael Consolidated
This portfolio is a consolidation of assets managed by Chandler Asset Management and assets managed internally by Client. Chandler relies on Client to provide accurate
information for reporting assets and producing this compliance statement.
16
I
Compliance As of September 30, 2023
Category Standard Comment
Money Market Mutual Funds
10% max; Registered under Investment Company Act of 1940 that: 1) are "No load"; 2) have constant daily NAV per
share of $1.00; 3) invest only in US Treasuries, US Agency securities and Federal Instrumentalities; and 4) AAA rating or
better by two NRSROs
Complies
Local Agency Investment Fund (LAIF)Pursuant to California Government Code; Not used by investment adviser Complies
Repurchase Agreements 1 year max maturity; 102% Collateralized by U.S. Treasuries, Federal Agency securities, or Federal Instrumentality
securities; Not used by investment adviser Complies
Client Directive on Fossil Fuels Refrain from making direct investments in issuers whose primary business revenue is derived from the exploration ,
extraction, and processing of fossil fuels (per Client Directive)Complies *
Maximum Maturity 5 years max maturity, unless the City Council has by resolution granted authority to make such an investment at least
three (3) months prior to the date of investment Complies
San Rafael Consolidated
This portfolio is a consolidation of assets managed by Chandler Asset Management and assets managed internally by Client. Chandler relies on Client to provide accurate
information for reporting assets and producing this compliance statement.
Inherited security; Chevron (166764BW9)
17
I
Portfolio Characteristics
City of San Rafael
09/30/23 06/30/23
Benchmark*Portfolio Portfolio
Average Maturity (yrs)1.84 2.13 1.92
Average Modified Duration 1.75 1.75 1.63
Average Purchase Yield n/a 3.14%2.65%
Average Market Yield 5.15%5.39%5.16%
Average Quality**AA+AA/Aa1 AA/Aa1
Total Market Value 44,883,155 44,583,366
*ICE BofA 1-3 Yr US Treasury & Agency Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of September 30, 2023
18
I
City of San Rafael
Sector Distribution
ABS
9.2%
Agency
25.8%
CMO
7.0%Corporate
25.0%
Money Market
Fund
0.2%
Negotiable CD
0.9%
US Treasury
31.4%
Supranational
0.7%
September 30, 2023 June 30, 2023
ABS
6.9%
Agency
26.0%
CMO
7.2%
Corporate
22.9%
Money Market
Fund
1.9%
Negotiable CD
0.9%
US Treasury
34.4%
As of September 30, 2023
19
I
Issue Name Investment Type % Portfolio
Government of United States US Treasury 31.38%
Federal Home Loan Bank Agency 13.72%
Federal Farm Credit Bank Agency 7.80%
Federal Home Loan Mortgage Corp CMO 7.00%
Federal National Mortgage Association Agency 4.23%
American Express ABS ABS 2.38%
Caterpillar Inc Corporate 2.25%
PNC Financial Services Group Corporate 2.00%
John Deere ABS ABS 1.94%
ChevronTexaco Corp Corporate 1.48%
Bank of Montreal Chicago Corporate 1.32%
Paccar Financial Corporate 1.32%
Toronto Dominion Holdings Corporate 1.27%
JP Morgan Chase & Co Corporate 1.26%
Bank of America Corp Corporate 1.25%
Florida Power and Light Corporate 1.22%
Royal Bank of Canada Corporate 1.22%
Deere & Company Corporate 1.12%
Citigroup Inc Corporate 1.11%
Pfizer Inc.Corporate 1.11%
Pepsico Inc Corporate 1.11%
JP Morgan ABS ABS 1.10%
Chubb Corporation Corporate 1.07%
Toyota Motor Corp Corporate 1.06%
Realty Income Corp Corporate 1.03%
Morgan Stanley Corporate 1.02%
Bank of America Credit Card Trust ABS 0.97%
BMW Vehicle Lease Trust ABS 0.96%
Westpac Banking Corp NY Negotiable CD 0.86%
Bank of New York Corporate 0.78%
Toyota ABS ABS 0.78%
Public Service El & Gas Corporate 0.70%
International Finance Corp Supranational 0.68%
Mercedes-Benz ABS 0.58%
Merck & Company Corporate 0.28%
Honda ABS ABS 0.27%
BMW ABS ABS 0.20%
First American Treasury MMF Class Y Money Market Fund 0.17%
TOTAL 100.00%
Issuers
City of San Rafael – Account #11045
As of September 30, 2023
20
I
AAA AA A <A NR
09/30/23 8.8%58.8%23.5%0.0%8.9%
06/30/23 5.8%63.8%21.4%0.0%9.1%
Source: S&P Ratings
September 30, 2023 vs. June 30, 2023
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
AAA AA A <A NR
09/30/23 06/30/23
Quality Distribution
City of San Rafael
As of September 30, 2023
21
I
■ ■
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
September 30, 2023 June 30, 2023
September 30, 2023 vs. June 30, 2023
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
09/30/23 6.5%6.1%22.7%23.9%24.4%13.8%2.6%0.0%
06/30/23 6.3%8.5%25.8%23.1%23.7%5.9%6.7%0.0%
City of San Rafael
Duration Distribution As of September 30, 2023
22
I
■ ■
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
1.20%
1.40%
1.60%
1.80%
3 months Since Inception
City of San Rafael ICE BofA 1-3 Yr US Treasury & Agency Index
Total Rate of Return Since Inception January 31, 2023
TOTAL RATE OF RETURN Latest 3 months Since Inception
City of San Rafael 0.70%1.68%
ICE BofA 1-3 Yr US Treasury & Agency Index 0.74%1.04%
Investment Performance
City of San Rafael
Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the
ending value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
As of September 30, 2023
23
I
■ ■
Portfolio Characteristics
San Rafael Reporting
09/30/23
Portfolio
06/30/23
Portfolio
Average Maturity (yrs)0.00 0.00
Modified Duration 0.00 0.00
Average Purchase Yield 3.61%3.26%
Average Market Yield 3.61%3.26%
Average Quality*NR/NR NR/NR
Total Market Value 51,726,198 51,283,108
*Portfolio is S&P and Moody’s, respectively.
As of September 30, 2023
24
I
San Rafael Reporting
Sector Distribution
LAIF
100.0%
September 30, 2023 June 30, 2023
LAIF
100.0%
As of September 30, 2023
25
I
Portfolio Characteristics
San Rafael Consolidated
09/30/23 06/30/23
Portfolio Portfolio
Average Maturity (yrs)0.99 0.89
Modified Duration 0.81 0.76
Average Purchase Yield 3.39%2.97%
Average Market Yield 4.44%4.14%
Average Quality*AA/Aa1 AA/Aa1
Total Market Value 96,609,353 95,866,474
* Portfolio is S&P and Moody’s respectively.
As of September 30, 2023
26
I
San Rafael Consolidated
Sector Distribution
ABS
4.3%
Agency
12.0%
CMO
3.3%
Corporate
11.6%
LAIF
53.5%
Money Market
Fund
0.1%
Negotiable CD
0.4%
US Treasury
14.6%
Supranational
0.3%
September 30, 2023 June 30, 2023
ABS
3.2%
Agency
12.1%
CMO
3.3%
Corporate
10.6%
LAIF
53.5%
Money Market
Fund
0.9%
Negotiable CD
0.4%
US Treasury
16.0%
As of September 30, 2023
27
I
SECTION |Section 3 |Portfolio Holdings
28
Holdings Report
City of San Rafael - Account #11045
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
ABS
05593AAC3 BMW Vehicle Lease Trust 2023-1 A3
5.160% Due 11/25/2025
435,000.00 Various
5.11%
435,745.64
435,524.56
99.15
6.04%
431,323.38
374.10
0.96%
(4,201.18)
Aaa / AAA
AAA
2.16
1.03
43815JAC7 Honda Auto Receivables Owner 2023-1 A3
5.040% Due 04/21/2027
120,000.00 02/16/2023
5.10%
119,977.70
119,981.94
98.99
5.69%
118,782.72
168.00
0.27%
(1,199.22)
Aaa / NR
AAA
3.56
1.72
02582JJT8 American Express Credit Trust 2022-2 A
3.390% Due 05/17/2027
600,000.00 04/17/2023
4.65%
585,632.81
588,764.36
96.51
5.72%
579,041.40
904.00
1.29%
(9,722.96)
NR / AAA
AAA
3.63
1.53
58768PAC8 Mercedes-Benz Auto Receivables 2022-1 A3
5.210% Due 08/16/2027
260,000.00 02/15/2023
5.02%
261,340.63
261,084.52
99.34
5.76%
258,280.36
602.04
0.58%
(2,804.16)
Aaa / AAA
NR
3.88
1.35
89239HAD0 Toyota Auto Receivables Owner 20222-D A3
5.300% Due 09/15/2027
350,000.00 02/10/2023
4.82%
354,128.91
353,331.68
99.35
5.74%
347,732.35
824.44
0.78%
(5,599.33)
Aaa / NR
AAA
3.96
1.72
47800CAC0 John Deere Owner Trust 2023-A A3
5.010% Due 11/15/2027
880,000.00 Various
4.95%
882,243.24
882,016.60
98.83
5.72%
869,724.34
1,959.46
1.94%
(12,292.26)
Aaa / NR
AAA
4.13
1.79
05592XAD2 BMW Vehicle Owner Trust 2023-A A3
5.470% Due 02/25/2028
90,000.00 07/11/2023
5.54%
89,984.05
89,985.03
99.74
5.67%
89,763.30
82.05
0.20%
(221.73)
NR / AAA
AAA
4.41
1.88
05522RDF2 Bank of America Credit Card Tr 2022-A2 A2
5.000% Due 04/15/2028
440,000.00 04/18/2023
4.59%
444,812.50
443,972.87
98.96
5.59%
435,420.92
977.78
0.97%
(8,551.95)
Aaa / AAA
NR
4.55
1.95
161571HT4 Chase Issuance Trust 23-A1 A
5.160% Due 09/15/2028
495,000.00 09/07/2023
5.23%
494,862.79
494,864.79
99.63
5.35%
493,177.41
1,135.20
1.10%
(1,687.38)
NR / AAA
AAA
4.96
2.66
02582JKD1 American Express Credit Trust 2023-3 A
5.230% Due 09/15/2028
490,000.00 09/12/2023
5.29%
489,978.10
489,978.34
99.80
5.36%
489,033.23
854.23
1.09%
(945.11)
NR / AAA
AAA
4.96
2.66
TOTAL ABS 4,160,000.00 4.97%
4,158,706.37
4,159,504.69 5.65%
4,112,279.41
7,881.30
9.18%
(47,225.28)
Aaa / AAA
AAA
4.06
1.87
Agency
3133EMWV0 FFCB Note
0.350% Due 04/22/2024
1,000,000.00 05/03/2021
0.35%
1,000,000.00
1,000,000.00
97.13
5.61%
971,323.00
1,545.83
2.17%
(28,677.00)
Aaa / AA+
AA+
0.56
0.54
3130AMQQ8 FHLB Callable Note Qtrly 12/23/2021
0.350% Due 04/23/2024
1,000,000.00 06/23/2021
0.35%
1,000,000.00
1,000,000.00
97.11
5.63%
971,109.00
952.78
2.17%
(28,891.00)
Aaa / AA+
NR
0.56
0.55
3136G46B4 FNMA Callable Note Qtrly 01/26/2024
0.350% Due 04/26/2024
1,200,000.00 10/30/2020
0.36%
1,199,700.00
1,199,951.02
97.07
5.63%
1,164,810.00
1,808.33
2.60%
(35,141.02)
Aaa / AA+
AA+
0.57
0.56
3133EMYR7 FFCB Callable Note Cont 5/6/2022
0.375% Due 05/06/2024
1,000,000.00 05/06/2021
0.38%
1,000,000.00
1,000,000.00
96.95
5.62%
969,452.00
1,510.42
2.16%
(30,548.00)
Aaa / AA+
AA+
0.60
0.58
3135G0V75 FNMA Note
1.750% Due 07/02/2024
750,000.00 11/05/2019
1.65%
753,426.75
750,554.00
97.24
5.53%
729,271.50
3,244.79
1.63%
(21,282.50)
Aaa / AA+
AA+
0.76
0.73
As of September 30, 2023
29
I
Holdings Report
City of San Rafael - Account #11045
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
3133EPBF1 FFCB Note
4.875% Due 08/21/2024
1,000,000.00 02/15/2023
4.98%
998,490.00
999,102.83
99.49
5.47%
994,873.00
5,416.67
2.23%
(4,229.83)
Aaa / AA+
AA+
0.89
0.86
3130AV7L0 FHLB Note
5.000% Due 02/28/2025
1,100,000.00 03/02/2023
5.07%
1,098,548.00
1,098,970.84
99.50
5.37%
1,094,504.40
5,041.67
2.45%
(4,466.44)
Aaa / AA+
NR
1.42
1.34
3130AWER7 FHLB Note
4.625% Due 06/06/2025
775,000.00 06/09/2023
4.67%
774,356.75
774,455.23
99.18
5.14%
768,619.43
10,852.69
1.74%
(5,835.80)
Aaa / AA+
NR
1.68
1.58
3130ATHT7 FHLB Note
4.375% Due 09/12/2025
1,300,000.00 10/06/2022
4.29%
1,303,159.00
1,302,098.14
98.72
5.07%
1,283,418.50
3,001.74
2.87%
(18,679.64)
Aaa / AA+
NR
1.95
1.84
3130ATUC9 FHLB Note
4.500% Due 12/12/2025
1,000,000.00 02/13/2023
4.32%
1,004,720.00
1,003,672.64
98.72
5.12%
987,231.00
13,625.00
2.23%
(16,441.64)
Aaa / AA+
NR
2.20
2.04
3130AWGR5 FHLB Note
4.375% Due 06/12/2026
525,000.00 06/28/2023
4.43%
524,165.25
524,237.97
98.59
4.94%
517,588.05
6,380.21
1.17%
(6,649.92)
Aaa / AA+
NR
2.70
2.48
3133EPSW6 FFCB Note
4.500% Due 08/14/2026
560,000.00 08/09/2023
4.58%
558,712.00
558,768.41
99.01
4.87%
554,456.56
3,290.00
1.24%
(4,311.85)
Aaa / AA+
AA+
2.87
2.65
3130ATUS4 FHLB Note
4.250% Due 12/10/2027
500,000.00 05/15/2023
3.66%
512,310.00
511,292.16
98.25
4.71%
491,267.00
6,552.08
1.11%
(20,025.16)
Aaa / AA+
NR
4.20
3.75
TOTAL Agency 11,710,000.00 2.86%
11,727,587.75
11,723,103.24 5.33%
11,497,923.44
63,222.21
25.76%
(225,179.80)
Aaa / AA+
AA+
1.43
1.33
CMO
3137BVZ82 FHLMC K063
3.430% Due 01/25/2027
700,000.00 06/07/2023
4.55%
674,542.97
676,678.82
94.62
5.26%
662,354.70
2,000.83
1.48%
(14,324.12)
NR / NR
AAA
3.32
2.93
3137F1G44 FHLMC K065 A2
3.243% Due 04/25/2027
450,000.00 06/08/2023
4.42%
431,736.33
433,159.14
93.83
5.18%
422,225.55
1,216.13
0.94%
(10,933.59)
NR / NR
AAA
3.57
3.20
3137FBBX3 FHLMC K068 A2
3.244% Due 08/25/2027
240,000.00 06/08/2023
4.38%
229,940.63
230,673.43
93.53
5.10%
224,475.60
648.80
0.50%
(6,197.83)
Aaa / NR
NR
3.90
3.51
3137FBU79 FHLMC K069 A2
3.187% Due 09/25/2027
500,000.00 06/09/2023
4.98%
476,601.56
478,232.27
92.91
5.22%
464,529.00
1,327.92
1.04%
(13,703.27)
NR / AAA
NR
3.99
3.53
3137FETN0 FHLMC K073 A2
3.350% Due 01/25/2028
670,000.00 05/24/2023
4.34%
643,932.81
645,833.06
93.02
5.19%
623,266.16
374.08
1.39%
(22,566.90)
NR / NR
AAA
4.32
3.83
3137FG6X8 FHLMC K077 A2
3.850% Due 05/25/2028
780,000.00 05/24/2023
4.65%
765,679.69
766,654.29
94.67
5.16%
738,412.74
500.50
1.65%
(28,241.55)
NR / NR
AAA
4.65
4.07
TOTAL CMO 3,340,000.00 4.57%
3,222,433.99
3,231,231.01 5.19%
3,135,263.75
6,068.26
7.00%
(95,967.26)
Aaa / AAA
AAA
4.01
3.54
As of September 30, 2023
30
I
Holdings Report
City of San Rafael - Account #11045
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Corporate
14912L5X5 Caterpillar Finance Serv Corp Note
3.750% Due 11/24/2023
1,000,000.00 05/05/2021
0.35%
1,086,390.00
1,005,000.06
99.76
5.29%
997,601.00
13,229.17
2.25%
(7,399.06)
A2 / A
A+
0.15
0.15
89236THU2 Toyota Motor Credit Corp Note
0.450% Due 01/11/2024
480,000.00 09/27/2021
0.51%
479,342.40
479,919.77
98.55
5.69%
473,041.44
480.00
1.06%
(6,878.33)
A1 / A+
A+
0.28
0.28
693475AV7 PNC Financial Services Callable Note Cont 12/23/2023
3.500% Due 01/23/2024
900,000.00 07/29/2019
1.99%
957,939.00
904,029.92
99.23
5.95%
893,102.40
5,950.00
2.00%
(10,927.52)
A3 / A-
A
0.32
0.31
17325FAS7 Citibank Callable Note Cont 12/23/2023
3.650% Due 01/23/2024
500,000.00 05/19/2021
0.53%
541,470.00
504,828.99
99.31
5.84%
496,561.00
3,447.22
1.11%
(8,267.99)
Aa3 / A+
A+
0.32
0.31
713448CM8 Pepsico Inc. Callable Note Cont 12/01/2023
3.600% Due 03/01/2024
500,000.00 06/23/2021
0.78%
537,465.00
505,799.06
99.20
5.53%
496,018.00
1,500.00
1.11%
(9,781.06)
A1 / A+
NR
0.42
0.41
717081DM2 Pfizer Inc. Note
3.400% Due 05/15/2024
500,000.00 09/27/2021
0.55%
537,160.00
508,777.65
98.56
5.77%
492,818.00
6,422.22
1.11%
(15,959.65)
A1 / A+
A
0.62
0.60
166764BW9 Chevron Corp Callable Note Cont 4/11/2025
1.554% Due 05/11/2025
700,000.00 05/12/2022
3.20%
667,380.00
682,483.51
94.09
5.43%
658,606.20
4,230.33
1.48%
(23,877.31)
Aa2 / AA-
NR
1.61
1.55
78016FZT4 Royal Bank of Canada Note
4.875% Due 01/12/2026
550,000.00 07/19/2023
5.34%
544,197.50
544,658.63
98.14
5.75%
539,770.00
5,883.85
1.22%
(4,888.63)
A1 / A
AA-
2.29
2.11
46647PBH8 JP Morgan Chase & Co Callable Note Mthly 3/13/2025
2.005% Due 03/13/2026
600,000.00 04/05/2022
4.25%
577,518.00
586,023.01
94.17
6.27%
565,003.20
601.50
1.26%
(21,019.81)
A1 / A-
AA-
2.45
1.39
69371RS49 Paccar Financial Corp Note
4.450% Due 03/30/2026
600,000.00 03/28/2023
4.47%
599,634.00
599,695.78
98.43
5.13%
590,591.40
74.17
1.32%
(9,104.38)
A1 / A+
NR
2.50
2.33
00440EAV9 Chubb INA Holdings Inc Callable Note Cont 2/3/2026
3.350% Due 05/03/2026
500,000.00 03/09/2023
5.09%
475,060.00
479,452.22
94.85
5.51%
474,253.00
6,886.11
1.07%
(5,199.22)
A3 / A
A
2.59
2.40
341081GR2 Florida Power and Light Callable Note Cont 4/15/2026
4.450% Due 05/15/2026
550,000.00 05/18/2023
4.65%
547,030.00
547,390.00
97.85
5.33%
538,200.85
9,042.15
1.22%
(9,189.15)
A1 / A
A+
2.62
2.40
24422EWX3 John Deere Capital Corp Note
4.750% Due 06/08/2026
500,000.00 06/05/2023
4.72%
500,470.00
500,420.68
98.66
5.29%
493,284.50
7,454.86
1.12%
(7,136.18)
A2 / A
A+
2.69
2.45
06406RBQ9 Bank of NY Mellon Corp Callable Note Cont 4/26/2026
4.947% Due 04/26/2027
350,000.00 04/19/2023
5.26%
350,497.00
350,443.25
97.61
5.96%
341,629.75
7,454.85
0.78%
(8,813.50)
A1 / A
AA-
3.57
2.32
As of September 30, 2023
31
I
Holdings Report
City of San Rafael - Account #11045
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
74456QBS4 Public Service El & Gas Callable Note Cont 2/15/2027
3.000% Due 05/15/2027
337,000.00 04/18/2023
4.48%
318,673.94
320,696.47
92.58
5.28%
311,977.75
3,819.33
0.70%
(8,718.72)
A1 / A
NR
3.62
3.33
89115A2M3 Toronto-Dominion Bank Note
5.156% Due 01/10/2028
575,000.00 07/12/2023
5.29%
571,929.50
572,077.32
97.60
5.80%
561,194.83
6,670.58
1.27%
(10,882.49)
A1 / A
AA-
4.28
3.74
756109AU8 Realty Income Corp Callable Note Cont 10/15/2027
3.650% Due 01/15/2028
500,000.00 04/10/2023
4.87%
474,240.00
476,787.86
92.12
5.75%
460,580.50
3,852.78
1.03%
(16,207.36)
A3 / A-
NR
4.30
3.85
06051GGF0 Bank of America Corp Callable Note 1/20/2027
3.824% Due 01/20/2028
600,000.00 07/12/2023
5.91%
567,738.00
569,281.73
92.86
6.24%
557,184.00
4,525.07
1.25%
(12,097.73)
A1 / A-
AA-
4.31
3.01
06368LGV2 Bank of Montreal Callable Note Cont 1/1/2028
5.203% Due 02/01/2028
600,000.00 09/05/2023
5.48%
593,520.00
593,616.72
97.61
5.83%
585,650.40
5,203.00
1.32%
(7,966.32)
A2 / A-
AA-
4.34
3.79
58933YBH7 Merck & Co Callable Note Cont 4/17/2028
4.050% Due 05/17/2028
130,000.00 05/08/2023
4.07%
129,894.70
129,902.60
96.23
4.97%
125,094.06
1,959.75
0.28%
(4,808.54)
A1 / A+
NR
4.63
4.09
61744YAK4 Morgan Stanley Callable Note 1X 7/22/2027
3.591% Due 07/22/2028
500,000.00 08/10/2023
5.88%
465,070.00
465,999.40
91.24
6.21%
456,190.00
3,441.38
1.02%
(9,809.40)
A1 / A-
A+
4.81
3.45
TOTAL Corporate 11,472,000.00 3.48%
11,522,619.04
11,327,284.63 5.67%
11,108,352.28
102,128.32
24.98%
(218,932.35)
A1 / A
A+
2.24
1.88
Money Market Fund
31846V807 First American Treasury MMF Class Y
74,981.20 Various
4.95%
74,981.20
74,981.20
1.00
4.95%
74,981.20
0.00
0.17%
0.00
Aaa / AA+
AAA
0.00
0.00
TOTAL Money Market Fund 74,981.20 4.95%
74,981.20
74,981.20 4.95%
74,981.20
0.00
0.17%
0.00
Aaa / AA+
AAA
0.00
0.00
Negotiable CD
96130ASC3 Westpac Banking Corp NY Yankee CD
5.380% Due 02/16/2024
375,000.00 02/16/2023
5.34%
375,141.03
375,053.47
99.86
5.56%
374,471.63
12,721.46
0.86%
(581.84)
P-1 / A-1+
F-1
0.38
0.37
TOTAL Negotiable CD 375,000.00 5.34%
375,141.03
375,053.47 5.56%
374,471.63
12,721.46
0.86%
(581.84)
Aaa / AAA
AA
0.38
0.37
As of September 30, 2023
32
I
Holdings Report
City of San Rafael - Account #11045
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Supranational
45950KDD9 International Finance Corp Note
4.500% Due 07/13/2028
305,000.00 07/06/2023
4.53%
304,661.45
304,676.27
98.82
4.78%
301,397.65
2,973.75
0.68%
(3,278.62)
Aaa / AAA
NR
4.79
4.21
TOTAL Supranational 305,000.00 4.53%
304,661.45
304,676.27 4.78%
301,397.65
2,973.75
0.68%
(3,278.62)
Aaa / AAA
NR
4.79
4.21
US Treasury
912828U57 US Treasury Note
2.125% Due 11/30/2023
650,000.00 10/31/2019
1.67%
661,529.52
650,463.96
99.45
5.39%
646,451.65
4,641.91
1.45%
(4,012.31)
Aaa / AA+
AA+
0.17
0.17
91282CBA8 US Treasury Note
0.125% Due 12/15/2023
1,200,000.00 10/07/2021
0.33%
1,194,566.52
1,199,489.97
98.95
5.22%
1,187,437.20
442.62
2.65%
(12,052.77)
Aaa / AA+
AA+
0.21
0.21
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
1,000,000.00 05/03/2021
0.33%
1,001,175.22
1,000,214.77
97.32
5.48%
973,164.00
1,731.56
2.17%
(27,050.77)
Aaa / AA+
AA+
0.54
0.53
91282CCC3 US Treasury Note
0.250% Due 05/15/2024
1,000,000.00 05/17/2021
0.35%
996,878.35
999,352.27
96.81
5.51%
968,086.00
944.29
2.16%
(31,266.27)
Aaa / AA+
AA+
0.62
0.61
912828D56 US Treasury Note
2.375% Due 08/15/2024
1,000,000.00 12/28/2021
0.91%
1,038,011.16
1,012,617.65
97.36
5.51%
973,555.00
3,033.29
2.18%
(39,062.65)
Aaa / AA+
AA+
0.88
0.85
9128282Y5 US Treasury Note
2.125% Due 09/30/2024
1,000,000.00 08/25/2021
0.44%
1,051,800.23
1,016,702.37
96.80
5.46%
967,969.00
58.06
2.16%
(48,733.37)
Aaa / AA+
AA+
1.00
0.97
912828YM6 US Treasury Note
1.500% Due 10/31/2024
1,000,000.00 12/28/2021
0.97%
1,014,925.23
1,005,694.02
95.91
5.44%
959,063.00
6,277.17
2.15%
(46,631.02)
Aaa / AA+
AA+
1.09
1.04
912828YV6 US Treasury Note
1.500% Due 11/30/2024
700,000.00 09/10/2021
0.48%
722,889.06
708,284.40
95.68
5.37%
669,730.60
3,528.69
1.50%
(38,553.80)
Aaa / AA+
AA+
1.17
1.12
91282CAJ0 US Treasury Note
0.250% Due 08/31/2025
1,200,000.00 06/30/2022
3.15%
1,095,937.50
1,137,095.21
91.25
5.10%
1,094,953.20
255.49
2.44%
(42,142.01)
Aaa / AA+
AA+
1.92
1.87
91282CAM3 US Treasury Note
0.250% Due 09/30/2025
500,000.00 07/15/2022
3.12%
456,445.31
472,894.35
91.00
5.04%
455,000.00
3.42
1.01%
(17,894.35)
Aaa / AA+
AA+
2.00
1.95
9128285N6 US Treasury Note
2.875% Due 11/30/2025
500,000.00 07/15/2022
3.11%
496,212.61
497,572.26
95.66
5.01%
478,320.50
4,830.94
1.08%
(19,251.76)
Aaa / AA+
AA+
2.17
2.04
91282CGE5 US Treasury Note
3.875% Due 01/15/2026
1,000,000.00 02/06/2023
4.13%
992,929.69
994,484.76
97.65
4.97%
976,484.00
8,213.32
2.19%
(18,000.76)
Aaa / AA+
AA+
2.30
2.14
91282CBQ3 US Treasury Note
0.500% Due 02/28/2026
500,000.00 07/15/2022
3.09%
455,839.84
470,615.48
90.03
4.92%
450,156.50
212.91
1.00%
(20,458.98)
Aaa / AA+
AA+
2.42
2.35
91282CBW0 US Treasury Note
0.750% Due 04/30/2026
500,000.00 09/30/2022
4.17%
443,595.43
459,378.36
90.08
4.88%
450,410.00
1,569.29
1.01%
(8,968.36)
Aaa / AA+
AA+
2.58
2.49
As of September 30, 2023
33
I
Holdings Report
City of San Rafael - Account #11045
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
9128286X3 US Treasury Note
2.125% Due 05/31/2026
500,000.00 09/30/2022
4.14%
465,958.71
475,263.50
93.21
4.87%
466,035.00
3,570.70
1.05%
(9,228.50)
Aaa / AA+
AA+
2.67
2.52
91282CCJ8 US Treasury Note
0.875% Due 06/30/2026
500,000.00 09/30/2022
4.15%
443,595.43
458,675.10
89.98
4.81%
449,883.00
1,105.64
1.00%
(8,792.10)
Aaa / AA+
AA+
2.75
2.65
91282CHY0 US Treasury Note
4.625% Due 09/15/2026
900,000.00 09/25/2023
4.81%
895,429.69
895,450.75
99.51
4.80%
895,570.20
1,829.67
2.00%
119.45
Aaa / AA+
AA+
2.96
2.73
91282CGC9 US Treasury Note
3.875% Due 12/31/2027
1,000,000.00 02/06/2023
3.84%
1,001,445.31
1,001,254.54
96.92
4.68%
969,180.00
9,792.80
2.18%
(32,074.54)
Aaa / AA+
AA+
4.25
3.83
TOTAL US Treasury 14,650,000.00 2.14%
14,429,164.81
14,455,503.72 5.18%
14,031,448.85
52,041.77
31.38%
(424,054.87)
Aaa / AA+
AA+
1.64
1.55
TOTAL PORTFOLIO 46,086,981.20 3.14%
45,815,295.64
45,651,338.23 5.39%
44,636,118.21
247,037.07
100.00%
(1,015,220.02)
Aa1 / AA
AA+
2.13
1.75
TOTAL MARKET VALUE PLUS ACCRUALS 44,883,155.28
As of September 30, 2023
34
I
Holdings Report
San Rafael Reporting - Account #11046
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
LAIF
90LAIF$00 Local Agency Investment Fund State Pool
51,292,953.97 Various
3.61%
51,292,953.97
51,292,953.97
1.00
3.61%
51,292,953.97
433,243.56
100.00%
0.00
NR / NR
NR
0.00
0.00
TOTAL LAIF 51,292,953.97 3.61%
51,292,953.97
51,292,953.97 3.61%
51,292,953.97
433,243.56
100.00%
0.00
NR / NR
NR
0.00
0.00
TOTAL PORTFOLIO 51,292,953.97 3.61%
51,292,953.97
51,292,953.97 3.61%
51,292,953.97
433,243.56
100.00%
0.00
NR / NR
NR
0.00
0.00
TOTAL MARKET VALUE PLUS ACCRUALS 51,726,197.53
As of September 30, 2023
35
I
SECTION |Section 4 |Transactions
36
Transaction Ledger
City of San Rafael - Account #11045
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 07/13/2023 45950KDD9 305,000.00 International Finance Corp Note
4.5% Due: 07/13/2028
99.889 4.53%304,661.45 0.00 304,661.45 0.00
Purchase 07/14/2023 06051GGF0 600,000.00 Bank of America Corp Callable Note 1/20/2027
3.824% Due: 01/20/2028
94.623 5.91%567,738.00 11,089.60 578,827.60 0.00
Purchase 07/14/2023 89115A2M3 575,000.00 Toronto-Dominion Bank Note
5.156% Due: 01/10/2028
99.466 5.29%571,929.50 329.41 572,258.91 0.00
Purchase 07/18/2023 05592XAD2 90,000.00 BMW Vehicle Owner Trust 2023-A A3
5.47% Due: 02/25/2028
99.982 5.54%89,984.05 0.00 89,984.05 0.00
Purchase 07/21/2023 78016FZT4 550,000.00 Royal Bank of Canada Note
4.875% Due: 01/12/2026
98.945 5.34%544,197.50 670.31 544,867.81 0.00
Purchase 08/14/2023 3133EPSW6 560,000.00 FFCB Note
4.5% Due: 08/14/2026
99.770 4.58%558,712.00 0.00 558,712.00 0.00
Purchase 08/14/2023 61744YAK4 500,000.00 Morgan Stanley Callable Note 1X 7/22/2027
3.591% Due: 07/22/2028
93.014 5.88%465,070.00 1,097.25 466,167.25 0.00
Purchase 09/07/2023 06368LGV2 600,000.00 Bank of Montreal Callable Note Cont 1/1/2028
5.203% Due: 02/01/2028
98.920 5.48%593,520.00 3,121.80 596,641.80 0.00
Purchase 09/15/2023 161571HT4 495,000.00 Chase Issuance Trust 23-A1 A
5.16% Due: 09/15/2028
99.972 5.23%494,862.79 0.00 494,862.79 0.00
Purchase 09/19/2023 02582JKD1 490,000.00 American Express Credit Trust 2023-3 A
5.23% Due: 09/15/2028
99.996 5.29%489,978.10 0.00 489,978.10 0.00
Purchase 09/26/2023 91282CHY0 900,000.00 US Treasury Note
4.625% Due: 09/15/2026
99.492 4.81%895,429.69 1,257.90 896,687.59 0.00
Subtotal 5,665,000.00 5,576,083.08 17,566.27 5,593,649.35 0.00
TOTAL ACQUISITIONS 5,665,000.00 5,576,083.08 17,566.27 5,593,649.35 0.00
June 30, 2023 through September 30, 2023
As of September 30, 2023
37
I
Transaction Ledger
City of San Rafael - Account #11045
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
DISPOSITIONS
Sale 07/13/2023 9128282D1 1,250,000.00 US Treasury Note
1.375% Due: 08/31/2023
99.477 5.31%1,243,457.03 6,305.20 1,249,762.23 -7,813.39
Sale 08/14/2023 91159HHV5 1,000,000.00 US Bancorp Callable Note Cont 1/5/2024
3.375% Due: 02/05/2024
98.793 5.98%987,930.00 843.75 988,773.75 -25,821.49
Sale 09/12/2023 91282CAW1 1,000,000.00 US Treasury Note
0.25% Due: 11/15/2023
99.141 5.23%991,406.25 815.22 992,221.47 -8,602.08
Sale 09/26/2023 3135G0V34 600,000.00 FNMA Note
2.5% Due: 02/05/2024
98.910 5.58%593,460.00 2,125.00 595,585.00 -8,333.41
Subtotal 3,850,000.00 3,816,253.28 10,089.17 3,826,342.45 -50,570.37
Maturity 08/25/2023 89236THA6 700,000.00 Toyota Motor Credit Corp Note
1.35% Due: 08/25/2023
100.000 700,000.00 0.00 700,000.00 0.00
Subtotal 700,000.00 700,000.00 0.00 700,000.00 0.00
TOTAL DISPOSITIONS 4,550,000.00 4,516,253.28 10,089.17 4,526,342.45 -50,570.37
June 30, 2023 through September 30, 2023
As of September 30, 2023
38
I
Transaction Ledger
San Rafael Reporting - Account #11046
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 07/15/2023 90LAIF$00 369,116.37 Local Agency Investment Fund State Pool 1.000 3.26%369,116.37 0.00 369,116.37 0.00
Subtotal 369,116.37 369,116.37 0.00 369,116.37 0.00
TOTAL ACQUISITIONS 369,116.37 369,116.37 0.00 369,116.37 0.00
DISPOSITIONS
Security
Withdrawal
07/15/2023 90LAIF$00 6,158.18 Local Agency Investment Fund State Pool 1.000 6,158.18 0.00 6,158.18 0.00
Subtotal 6,158.18 6,158.18 0.00 6,158.18 0.00
TOTAL DISPOSITIONS 6,158.18 6,158.18 0.00 6,158.18 0.00
June 30, 2023 through September 30, 2023
As of September 30, 2023
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Important Disclosures
2023 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential. Prices are provided by ICE Data Services Inc (“IDS”), an independent pricing source. In the event IDS does not provide a price or if the price provided is not
reflective of fair market value, Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures.Our valuation
procedures are also disclosed in Item 5 of our Form ADV Part 2A.
Performance results are presented gross-of-advisory fees and represent the client’s Total Return. The deduction of advisory fees lowers performance results. These results include the reinvestment of
dividends and other earnings. Past performance may not be indicative of future results. Therefore, clients should not assume that future performance of any specific investment or investment strategy
will be profitable or equal to past performance levels. All investment strategies have the potential for profit or loss. Economic factors, market conditions or changes in investment strategies,
contributions or withdrawals may materially alter the performance and results of your portfolio.
Index returns assume reinvestment of all distributions. Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the
deduction of an investment management fee, the incurrence of which would have the effect of decreasing historical performance results. It is not possible to invest directly in an index.
Source ICE 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 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.
Your qualified custodian bank maintains control of all assets reflected in this statement and we urge you to compare this statement to the one you receive from your qualified custodian. Chandler does
not have any authority to withdraw or deposit funds from/to the custodian account.
As of September 30, 2023
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Benchmark Disclosures
ICE BofA 1-3 Yr US Treasury & Agency Index
The ICE BofA 1-3 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 three
years remaining term to final maturity, at least 18 months to maturity at time of issuance, a fixed coupon schedule, and a minimum amount outstanding of $1 billion for sovereigns and $250 million for
agencies.
As of September 30, 2023
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