HomeMy WebLinkAbout06 QUARTERLY INVESTMENT REPORT FOR THE CITY OF TUSTIN AND THE SUCCESSOR AGENCY FOR THE TUSTIN COMMUNAGENDA REPORT
Agenda Item
Reviewed:
City Manager
Finance Director --@-
MEETING DATE: FEBRUARY 21, 2023
TO: MATTHEW S. WEST, CITY MANAGER
FROM: JENNIFER KING, FINANCE DIRECTOR/CITY TREASURER
SUBJECT: QUARTERLY INVESTMENT REPORT FOR THE CITY OF TUSTIN AND THE
SUCCESSOR AGENCY FOR THE TUSTIN COMMUNITY REDEVELOPMENT
AGENCY FOR THE QUARTER ENDING DECEMBER 31, 2022
SUMMARY:
Government Code Section 53646 requires that the Treasurer make an Investment Report to the
City Council at least quarterly showing balances by authorized investment and certifying its
compliance with the adopted Investment Policy.
RECOMMENDATION:
Receive and file.
CORRELATION TO THE STRATEGIC PLAN:
Correlates with the City's Strategic Plan Goal C: Financial Strength, Item 3. This investment report
provides evidence of the City's commitment to ensure that investments are in compliance with the
adopted investment policy.
DISCUSSION:
In compliance with Government Code Section 53646, the attached Investment Report for the City of
Tustin and the Successor Agency for the Tustin Community Redevelopment Agency for the quarter
ending December 31, 2022 is rendered.
The City's total cash and investments amounted to approximately $203 million as of December 31,
2022. The weighted average portfolio yield for the investment portfolio was 2.86%, which is 100
basis points higher than the weighted average portfolio yield for the prior quarter. The primary reason
for the increase in the weighted average portfolio yield is due to continuing upward movement in
shorter-term Treasury yields. Since September 30, 2022, the Federal Open Market Committee
(FOMC) raised the federal funds rate twice, 0.75% in November and 0.50% in December in an effort
to continue to counter inflation, although at a less aggressive pace. FOMC also indicated that
"ongoing increases" in the federal funds rate are likely appropriate going forward. As a result, the 2-
year Treasury yield increased to 4.43% by December 2022, compared to a yield of 4.28% in
September 2022. The 5-year Treasury yield decreased to 4.01 % by December 2022, compared to
a yield of 4.09% in September 2022.
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CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending December 31, 2022
City of Tustin
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SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of December 31, 2022
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SECTION |Section 1 |Economic Update
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Economic Update
Market volatility has intensified as global central banks pursue monetary policies to combat persistently high inflation.
Although the pace of job growth is moderating,the strength of the labor market has sustained economic growth.Inflation
metrics are trending downward but remain significantly higher than the Fed’s target.While evidence of slowereconomic
conditions has begun to mount,we expect the Federal Reserve to continue to raise rates to battle inflation, albeit at a less
aggressive pace.Over the near-term,we expect financial market volatility to remain intensified with persistent inflation,
geopolitical risk, and the Fed's hawkish monetary policy.
As expected at the December 14th meeting,the Federal Open Market Committee (FOMC)raised the fed funds target rate
by 50 basis points to a range of 4.25 –4.50%,in a downshift from four consecutive 75 basis point hikes.The decision was
unanimous,and there was no change to the November statement.The sentiment was hawkish, indicating that “ongoing
increases”in the fed funds rate are likely appropriate and citing continued labor market imbalances.FOMC members
forecasted a higher fed funds rate,slower GDP growth,higher inflation,and higher unemployment in 2023 than in the
September projections.We believe the FOMC will continue to implement tighter monetary policy at a slower pace and
hold rates at restrictive levels for some time until inflationary pressures subside and remain in the Fed’s target range.
In December,yields rose,and the curve became less inverted.The 2-year Treasury yield increased 12 basis points to 4.43%,
the 5-year Treasury yield rose 27 basis points to 4.01%,and the 10-year Treasury yieldclimbed 27 basis points to 3.88%.The
inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -55 basis points at December month-
end versus -71 basis points at November month-end.The spread was a positive 78 basis points one yearago.The inversion
between 3-month and 10-year treasuries narrowed to -50 basis points in December from -74 basis points in November.The
year 2022 saw a dramatic shift in the Federal Reserve’s policy from highly accommodative to aggressive tightening, resulting
in significantly higher rates and an inverted yield curve.The shape of the yield curve indicates that the probability of
recession is increasing.
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Source: US Department of Labor Source: US Department of Labor
Employment
The U.S. economy added 223,000 jobs in December, slightly higher than market expectations of 203,000, but a decline from November’s revised
increase of 256,000.Trends in employment remain healthy,with the three-month moving average payrolls at 247,000 and the six-month
moving average at 307,000.Jobs in the goods producing sector were surprisingly strong,and leisure and hospitality employment growth
remained solid.The unemployment rate dipped to 3.5%,returning to its pre-pandemic level.The labor participation rate increased only
slightly to 62.3%in December from 62.1%in November,indicating the supply of labor remains challenging for employers.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 6.5%from the prior month at 6.7%.Average hourly earnings rose 4.6%year-over-year in December,down from a revised 4.8%
increase in November.Overall,the December employment report demonstrates a strong demand for laborand supports the case for the Fed
to continue raising the federal funds rate, but perhaps at a slower pace.
-200
-100
0
100
200
300
400
500
600
700
800
M
O
M
C
h
a
n
g
e
I
n
(
0
0
0
'
s
)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Ra
t
e
(
%
)
4
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Source: US Department of Labor Source: US Department of Commerce
Inflation
The Consumer Price Index (CPI)increased less than expected in November,up 7.1%year-over-year versus consensus expectations for 7.3%,
and down from 7.7%in October.The Core CPI,which excludes volatile food and energy components,rose 6.0%year-over-year,down from a
6.3%increase in October.The pace of price gains for used cars and energy decelerated; however, shelter and food prices remain stubbornly
high.The Personal Consumption Expenditures (PCE)index rose 5.5%year-over-year in November,versus an upwardly revised 6.1%year-over-
year gain in October.Core PCE increased 4.7%year-over-year in November versus a 5.0%year-over-year gain in October.Although inflation
may have peaked,levels remain well above the Fed’s target of around 2%,which is likely to keep the Federal Reserve on the path of
tightening monetary policy, albeit at a less aggressive pace.
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
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%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
Y
O
Y
(
%
)
C
h
a
n
g
e
5
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Advance Retail Sales declined more than expected in November at -0.6%month-over-month and +6.5%year-over-year,possibly suggesting
some loss of momentum in consumerdemand forgoods amid high inflation and shifting preferences toward services.Additionally,Amazon’s
Prime Day may have pulled some holiday spending activity forward into October from November.The Conference Board’s Consumer
Confidence Index jumped more than expected to 108.3 in December from an upwardly revised 101.4 in November. Views of current conditions
and the future outlook for the economy both improved as inflation expectations declined.
Source: US Department of Commerce Source: The Conference Board
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Retail Sales YOY % Change
Y
O
Y
(
%
)
C
h
a
n
g
e
80
90
100
110
120
130
140
In
d
e
x
L
e
v
e
l
Consumer Confidence
Consumer
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Source: The Conference Board Source: Federal Reserve Bank of Chicago
Economic Activity
The Conference Board’s Leading Economic Index (LEI)remained in negative territory for the ninth consecutive month at a worse than expected
-1.0%in November,following a downwardly revised -0.9%in October.The LEI was down 4.5%year-over-over in November versus down 2.9%
in October.The Conference Board cited a "lack of economic growth momentum in the near term."The Chicago Fed National Activity Index
(CFNAI)decreased to -0.05 in October from +0.17 in September indicating below trend growth over the month.On a 3-month moving average
basis, the CFNAI moved down to +0.09 in October from an upwardly revised +0.19 in September.
-0.50
-0.25
0.00
0.25
0.50
0.75
1.00
Chicago Fed National Activity Index (CFNAI)
3
M
o
n
t
h
A
v
e
r
a
g
e
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
Leading Economic Indicators (LEI)
M
O
M
(
%
)
C
h
a
n
g
e
7
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Source: US Department of Commerce Source: S&P
Housing
0
200
400
600
800
1000
1200
1400
1600
1800
2000
M
O
M
C
h
a
n
g
e
(
I
n
T
h
o
u
s
a
n
d
s
o
f
U
n
i
t
s
)
Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
0.0%
3.0%
6.0%
9.0%
12.0%
15.0%
18.0%
21.0%
24.0%
S&P/Case -Shiller 20 City Composite Home Price Index
YO
Y
(
%
)
C
h
a
n
g
e
Total housing starts declined 0.5%in November to 1,427,000 units after an upward revision to 1,434,000 units in October.Single-family home
starts fell 4.1%,whereas multi-family starts rose 4.9%month-over-month.On a year-over-year basis,total housing starts decreased 16.4%
reflecting a shift from single-family units to more affordable multi-family units as homebuyers struggle with a combination of elevated prices
and higher mortgage rates.The 30-year mortgage rate has edged up to 6.4%according to Freddie Mac but remains below recent highs which
topped 7%.According to the Case-Shiller 20-City Home Price Index,the year-over-year increase continued its declining rate of gain to +8.6%in
October from +10.4%in September,clearly displaying the impact of higher mortgage rates which have reduced demand for homebuying as
affordability has declined.
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Source: Institute for Supply Management Source: Federal Reserve
Manufacturing
The Institute for Suppl y Management (ISM)manufacturing index declined to 48.4 in December from 49.0 in November.This is the second
consecutive month of readings below 50.0,which isindicative of contraction in the manufacturing sector.The declining trend reflects sluggish
demand amid economic uncertainty and easing price pressures in the goods sector.Industrial production was down 0.2%in November after
an unrevised decline of 0.1%in October.The decrease was led by weakness in the manufacturing and mining indices.This equates to a 2.5%
increase from the prioryear.Capacity utilization fell to 79.7%in November from 79.9%in October and continues to run slightly above the 1972-
2021 average of 79.6%.
40
42
44
46
48
50
52
54
56
58
60
62
64
66
Institute of Supply Management Purchasing Manager Index
EXPANDING
CONTRACTING
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Industrial Production
YO
Y
(
%
)
C
h
a
n
g
e
9
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Source: US Department of Commerce Source: US Department of Commerce
12/21 3/22 6/22 9/22
2.1% 0.9% 1.4% 1.5%
5.1% 1.0% -2.8% -1.8%
-0.2% -3.1% 1.2% 2.9%
0.0% -0.4% -0.2% 0.2%
-0.2% 0.0% -0.1% 0.4%
7.0% -1.6% -0.6% 3.2%
Net Exports and Imports
Total
Gross Private Domestic Investment
Personal Consumption Expenditures
Components of GDP
Federal Government Expenditures
State and Local (Consumption and Gross
Investment)-35.0%-30.0%-25.0%-20.0%-15.0%-10.0%-5.0%0.0%5.0%10.0%15.0%20.0%25.0%30.0%35.0%40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
According to the third estimate,GDP increased at an annualized rate of 3.2%in the third quarter,revised up from 2.9%.The upward revision
reflects stronger personal consumption expenditures which rose 2.3%in the third quarter,up from 1.7%in the previous estimate,primarily
due to continued strength in services spending. Business investment, state and local government spending,and net exports also contributed
to the upward revision. The consensus estimate calls for 1.1% growth in the fourth quarter and 1.9% growth for the full year 2022.
10
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Federal Reserve
Source: Federal Reserve Source: Bloomberg
As expected at the December 14th meeting,the Federal Open Market Committee (FOMC)raised the fed funds target rate by 50 basis points to
a range of 4.25 –4.50%,in a downshift from four consecutive 75 basis point hikes.The decision was unanimous,and there was no change to
the November statement.The sentiment was hawkish, indicating that “ongoing increases”in the fed funds rate are likely appropriate and
citing continued labor market imbalances.The Summary of EconomicProjections indicated a peak median forecast of 5.1%in 2023 and no rate
cuts until 2024;however,the market consensus diverged,implying rate cuts in the second half of 2023.FOMC members forecasted a higher
fed funds rate,slower GDP growth,higher inflation,and higher unemployment in 2023 than in the September projections.We believe the
FOMC will continue to implement tighter monetary policy at a slower pace and hold rates at restrictive levels for some time until inflationary
pressures subside and remain in the Fed’s target range.
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
Effective Federal Funds Rate
Yi
e
l
d
(
%
)
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
In
$
m
i
l
l
i
o
n
s
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Source: Bloomberg Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Y
i
e
l
d
(
%
)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
US Treasury Yield Curve
Dec-22
Sep-22
Dec-21
Y
i
e
l
d
(
%
)
Bond Yields
At the end of December,the 2-year Treasury yield was 370 basis points higher,and the 10-Year Treasury yield was about 237 basis points
higher,year-over-year.The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -55 basis points at December
month-end versus -71 basis points at November month-end.The average historical spread (since 2003)is about +130 basis points.The
inversion between 3-month and 10-year treasuries narrowed to -50 basis points in December from -74 basis points in November.The shape of
the yield curve indicates that the probability of recession is increasing.
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Section 2|SECTION |Section 2 |Account Profile
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Objectives
Chandler Asset Management Performance Objective
The performance objective for the accounts is to achieve a rate of return over a market cycle that equals
or exceeds the return on a market index of similar duration and sector allocation.
Investment Objectives
The investment objectives of the City of Tustin are first,to provide safety of principal to ensure the
preservation of capital in the overall portfolio;second,to provide adequate liquidity to meet all
requirements which might be reasonably anticipated;and third,to earn a commensurate rate of return.
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.
As of December 31, 2022
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Compliance As of December 31, 2022
Category Standard Comment
U.S. Treasuries No limitations; U.S. government obligations issued by the U.S. Treasury and backed by the full faith and credit of the
Federal government Complies
Federal Agencies
50% max per issuer; Federal agencies or U.S. government-sponsored enterprise obligations, participations, or other
instruments, including those issued by or fully guaranteed as to principal and interest by federal agencies or U.S.
government-sponsored enterprises
Complies
Supranational Obligations
"AA" rated or better by a NRSRO; 5% max; 5% max per issuer; USD denominated senior unsecured unsubordinated
obligations; Issued or unconditionally guaranteed by one of the three supranational banking groups: IBRD, IFC, and IADB;
Supranational securities will not be purchased until further notice from staff at the City of Tustin.
Complies
Municipal Securities (CA, Local Agency)
30% max; 5% max per issuer; Bonds issued by the local agency (City of Tustin bonds); State of California and any local
agency within the State of California, including bonds payable solely out of the revenues from a revenue-producing
property owned, controlled, or operated by a local agency, or by a department, board, agency, or authority of the local
agency
Complies
Municipal Securities (CA, Other States)
30% max; 5% max per issuer; Bonds of any of the other 49 states in addition to California, including bonds payable solely
out of the revenues from a revenue-producing property owned, controlled, or operated by a state, or by a department,
board, agency, or authority of any of the other 49 states, in addition to California
Complies
Corporate Medium Term Notes
"A" rating or better by a NRSRO; 30% max; 5% max per issuer; 10% max of any single issuer (combined issuer limitation
of a local agency's investments in commercial paper and medium-term notes); Obligations of a domestic corporation or
depository institution; If the credit rating of a security is downgraded below the minimum rating level for a new
investment of that security, the Treasurer shall evaluate the downgrade on a case-by-case basis to determine if the
security should be held or sold.
Complies
Mortgage Pass-Through Securities "AA" rated or better by a NRSRO; 20% max; 10% max per issuer Complies
Negotiable Certificates of Deposit (NCD)
Any amount above FDIC insured limit must be issued by institutions with "A-1" short-term debt rating or higher by a
NRSRO; or "A" long-term rating category or higher by a NRSRO; 30% max; 5% max per issuer; Certificates of deposit
issued by a nationally or state-chartered bank, or a federal association, a state or Federal credit union, or by a federally-
licensed or state-licensed branch of a foreign bank.
Complies
Certificate of Deposit Placement Service
(CDARS)30% max; FDIC insured; The City may utilize these at the discretion of the Treasurer Complies
Collateralized Bank Deposits/ Time or
Certificates of Deposit
30% max per issuer; All active (checking/savings accounts) and inactive (time or certificates of deposit) above FDIC
insured limits must be collateralized pursuant to Government Code Complies
Bankers' Acceptances "A" rating or better by Moody's or equivalent rating by a NRSRO; 30% max; 5% max per issuer; 180 days maturity; Short-
term debt instruments issued by a company that is guaranteed by a commercial bank Complies
City of Tustin 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.
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Compliance As of December 31, 2022
Category Standard Comment
Commercial Paper
A-1/P-1 rating or equivalent by a NRSRO, plus A long term rating by a NRSRO; 30% max, 5% max per issuer; 10% max of
any single issuer (combined issuer limitation of a local agency's investments in commercial paper and medium-term
notes); 10% max outstanding from a single issuer; 270 days max maturity; '"Prime" quality commercial paper with the
highest rating by a NRSRO; The entity that issues the commercial paper shall meet all conditions in either (A) or (B): (A) 1.
Organized and operating in the U.S. as a general corporation; 2. Has total assets >$500 million; 3. Has debt other than
commercial paper, if any, that is "A" rating category or higher by a NRSRO; (B) 1. Organized within the U.S. as a special
purpose corporation, trust, or LLC; 2. Has program wide credit enhancements including, but not limited to,
overcollateralization, letters of credit or surety bond; and 3. "A-1" rated or higher by a NRSRO
Complies
Money Market Mutual Funds
AAA or highest ranking of two of the three highest ranking NRSRO; Retained an investment adviser registered with SEC
with > 5 years experience investing assets of at least $500 million; Must invest solely in investments, which the City itself
could legally purchase; 20% max; 10% max per Money Market Mutual Fund
Complies
Local Agency Investment Fund (LAIF)Max amount limited to the amount as specified by LAIF; Principal amount withdrawal of $10 million or > needs 24-hour
notice, and less than $10 million may be withdrawn the same day; Not used by investment adviser Complies
Local Government Investment Pool
(LGIP)/
Orange County Investment Pool (OCIP)
Investment in OCIP is allowable according to guidelines in Government Code; Max amount permitted by County
Treasurer; Not used by investment adviser Complies
Joint Powers Authority (JPA) Investment
Pools
50% max per issuer; Shares of beneficial interest issued by a joint powers' authority organized pursuant to Section 6509.7
that invests in securities and obligations authorized in subdivisions (a) to (q), inclusive per policy Complies
Repurchase Agreements 30% max; 5% max per issuer; 1 year max maturity; 102% Collateralized; Not used by investment adviser Complies
Prohibited
Inverse floaters, range notes, mortgage derived interest-only strips; zero interest accrual if held to maturity; Purchasing
or selling securities on margin, credit, or for other than full cash payment, and shall not be pledged as collateral; Reverse
Repurchase Agreements; Supranational securities will not be purchased until further notice from staff at the City of
Tustin.
Complies
Weighted Average Maturity 36 months max Complies
Maximum Maturity 5 years, unless authorized by City Council Complies
City of Tustin 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.
The City of Tustin maintains adequate liquidity to cover at least six months of expected disbursements.
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Portfolio Characteristics
City of Tustin Consolidated Account
12/31/22 09/30/22
Benchmark*Portfolio Portfolio
Average Maturity (yrs)2.61 0.66 0.74
Average Modified Duration 2.48 0.61 0.71
Average Purchase Yield n/a 2.86%1.80%
Average Market Yield 4.35%3.65%2.79%
Average Quality**AAA AA+/Aa2 AA+/Aa1
Total Market Value 203,244,523 193,343,478
*ICE BofA 1-5 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 December 31, 2022
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City of Tustin Consolidated Account
Sector Distribution
December 31, 2022
Agency
4.5%
Cash
3.7%
CMO
0.5%
Corporate
14.2%
LAIF
32.8%
Local Gov
Investment Pool
31.8%
Money Market
Fund
0.1%
Negotiable CD
0.9%
US Treasury
11.4%
September 30, 2022
Agency
4.7%Cash
3.8%
CMO
0.5%
Corporate
14.9%
LAIF
35.8%
Local Gov
Investment Pool
8.7%
Money Market
Fund
3.1%
Negotiable CD
2.9%
US Treasury
22.4%
Commercial
Paper
3.1%
Municipal Bonds
0.1%
$9,138,069.32 $7,544,324.69 $978,521.60 $28,950,120.79 $9,112,789.26 $7,330,712.64 $982,410.50 $28,708,664.97
$66,763,462.36 $64,685,943.61 $152,180.50 $1,899,130.71
$23,132,769.78
$69,172,664.05 $16,836,652.43 $6,055,830.76 $5,557,306.60
$43,346,130.78 $5,987,202.23 $253,113.75
As of December 31, 2022
18
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Portfolio Allocation
City of Tustin Consolidated Account
As of December 31, 2022
0.1%
3.1%
3.1%
0.5%
2.9%
3.8%
4.7%
22.4%
14.9%
8.7%
35.8%
0.0%
0.0%
0.1%
0.5%
0.9%
3.7%
4.5%
11.4%
14.2%
31.8%
32.9%
Municipal Bonds
Commercial
Paper
Money Market
Fund
CMO
Negotiable CD
Cash
Agency
US Treasury
Corporate
Local Gov
Investment Pool
LAIF
12/31/22
09/30/22
19
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Issue Name Investment Type % Portfolio
Local Agency Investment Fund LAIF 32.85%
CAMP Local Gov Investment Pool 31.83%
Government of United States US Treasury 11.38%
Bank Cash Account Cash 3.71%
Federal Home Loan Bank Agency 3.11%
JP Morgan Chase & Co Corporate 0.92%
Federal National Mortgage Association Agency 0.90%
US Bancorp Corporate 0.64%
Toyota Motor Corp Corporate 0.49%
Federal Farm Credit Bank Agency 0.49%
Morgan Stanley Corporate 0.48%
Federal Home Loan Mortgage Corp CMO 0.48%
Qualcomm Inc Corporate 0.48%
Duke Energy Field Services Corporate 0.48%
Mass Mutual Insurance Corporate 0.48%
Paccar Financial Corporate 0.48%
Home Depot Corporate 0.47%
Chubb Corporation Corporate 0.47%
Target Corp Corporate 0.47%
National Rural Utilities Corporate 0.47%
Deere & Company Corporate 0.46%
Salesforce.com Inc Corporate 0.46%
New York Life Global Funding Corporate 0.46%
State Street Bank Corporate 0.46%
Bank of Montreal Chicago Corporate 0.46%
Bank of America Corp Corporate 0.46%
Bank of New York Corporate 0.46%
Metlife Inc Corporate 0.46%
Pfizer Inc.Corporate 0.45%
Caterpillar Inc Corporate 0.44%
United Health Group Inc Corporate 0.44%
Toronto Dominion Holdings Corporate 0.44%
Charles Schwab Corp/The Corporate 0.44%
Amazon.com Inc Corporate 0.44%
Royal Bank of Canada Corporate 0.44%
Wal-Mart Stores Corporate 0.39%
Northwestern Mutual Glbl Corporate 0.34%
MasterCard Inc Corporate 0.23%
Issuers
City of Tustin Consolidated Account –Account #10795
As of December 31, 2022
20
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Issue Name Investment Type % Portfolio
Colgate-Palmolive Co.Corporate 0.17%
UBS Corp Negotiable CD 0.12%
Sallie Mae Bank Negotiable CD 0.12%
Delaware State Police FCU Negotiable CD 0.12%
Capital One Negotiable CD 0.12%
Ally Bank Negotiable CD 0.12%
Synchrony Financial Negotiable CD 0.12%
Discover Financial Services Negotiable CD 0.12%
Goldman Sachs Inc.Negotiable CD 0.11%
First American Govt Oblig Fund Money Market Fund 0.07%
TOTAL 100.00%
Issuers
City of Tustin Consolidated Account –Account #10795
As of December 31, 2022
21
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
City of Tustin Consolidated Account
Maturity Distribution As of December 31, 2022
22
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
AAA AA A <A NR
12/31/22 31.9%18.6%11.5%0.0%38.0%
09/30/22 15.2%31.1%12.0%0.0%41.7%
Source: S&P Ratings
December 31, 2022 vs. September 30, 2022
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
45.0%
AAA AA A <A NR
December 31, 2022 September 30, 2022
Quality Distribution
City of Tustin Consolidated Account
As of December 31, 2022
23
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
45.0%
50.0%
55.0%
60.0%
65.0%
70.0%
75.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
December 31, 2022 September 30, 2022
December 31, 2022 vs. September 30, 2022
0 -0.25 0.25 -0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
12/31/22 69.6%0.9%4.0%10.1%10.2%4.5%0.9%0.0%
09/30/22 67.9%1.1%2.7%8.6%12.5%7.0%0.0%0.0%
City of Tustin Consolidated Account
Duration Distribution As of December 31, 2022
24
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Total Rate of Return Annualized Since Inception November 30, 2020
Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the
ending market value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
Realized rate of return: A measure of a portfolio’s return over time. It is the internal rate which equates the beginning book value of the portfolio with the ending
book value; it includes interest earnings, realized gains and losses in the portfolio.
Investment Performance
City of Tustin Consolidated Account
-6.00%
-5.00%
-4.00%
-3.00%
-2.00%
-1.00%
0.00%
12 months 2 years 3 years 5 years 10 years Since Inception
City of Tustin Consolidated Account ICE BofA 1-5 Yr US Treasury & Agency Index ICE BofA 1-3 Yr US Treasury & Agency Index
Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since
Inception
City of Tustin Consolidated Account 0.22%-1.00%-0.42%N/A N/A N/A -0.38%
ICE BofA 1-5 Yr US Treasury & Agency Index 0.94%-5.25%-3.19%N/A N/A N/A -3.03%
ICE BofA 1-3 Yr US Treasury & Agency Index 0.73%-3.65%-2.11% N/A N/A N/A -2.01%
REALIZED RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since
Inception
City of Tustin Consolidated Account 0.55%1.38%1.08%N/A N/A N/A 1.08%
As of December 31, 2022
25
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
SECTION |Section 4 |Portfolio Holdings
26
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Holdings Report
City of Tustin Consolidated Account -Account #10795
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
Agency
3130ATBL0 FHLB Note
3.625% Due 12/08/2023
2,250,000.00 09/08/2022
3.70%
2,248,110.00
2,248,583.54
98.70
5.06%
2,220,722.71
5,210.94
1.10%
(27,860.83)
Aaa / AA+
NR
0.94
0.90
3130ARHG9 FHLB Note
2.125% Due 02/28/2024
1,250,000.00 03/24/2022
2.19%
1,248,575.00
1,249,145.00
96.71
5.08%
1,208,865.89
9,075.52
0.60%
(40,279.11)
Aaa / AA+
NR
1.16
1.12
3133ENL40 FFCB Note
3.500% Due 09/13/2024
1,000,000.00 09/08/2022
3.63%
997,520.00
997,893.19
98.20
4.61%
982,020.62
10,500.00
0.49%
(15,872.57)
Aaa / AA+
AAA
1.70
1.61
3133XVDG3 FHLB Note
4.375% Due 09/13/2024
1,000,000.00 09/26/2022
4.48%
998,060.00
998,319.75
99.59
4.62%
995,907.67
13,125.00
0.50%
(2,412.08)
Aaa / AA+
NR
1.70
1.60
3130APQ81 FHLB Callable Note Mnthly 12/8/2021
1.000% Due 11/08/2024
1,000,000.00 08/01/2022
3.11%
954,220.00
962,613.92
93.50
4.71%
934,960.31
1,472.22
0.46%
(27,653.61)
Aaa / AA+
NR
1.86
1.80
3130AQF40 FHLB Note
1.000% Due 12/20/2024
1,000,000.00 08/01/2022
2.95%
955,420.00
963,199.75
93.42
4.53%
934,211.29
305.56
0.46%
(28,988.46)
Aaa / AA+
AAA
1.97
1.91
3135G04Z3 FNMA Note
0.500% Due 06/17/2025
2,000,000.00 04/12/2021
0.71%
1,982,980.00
1,989,984.30
91.07
4.37%
1,821,302.70
388.89
0.90%
(168,681.60)
Aaa / AA+
AAA
2.46
2.40
TOTAL Agency 9,500,000.00 2.80%
9,384,885.00
9,409,739.45 4.74%
9,097,991.19
40,078.13
4.50%
(311,748.26)
Aaa / AA+
AAA
1.64
1.58
Cash
90BOFA$00 Cash BOA Cash Acct 371,559.09 Various
0.25%
371,559.09
371,559.09
1.00
0.25%
371,559.09
0.00
0.18%
0.00
NR / NR
NR
0.00
0.00
CBGMMF$03 Citizens Bank Citizens Bank Cash Account 6,082,173.74 Various
0.00%
6,082,173.74
6,082,173.74
1.00
0.00%
6,082,173.74
0.00
2.99%
0.00
NR / NR
NR
0.00
0.00
CBGMMF$04 Citizens Bank Citizens Bank Cash Account 1,090,591.86 12/31/2022
0.00%
1,090,591.86
1,090,591.86
1.00
0.00%
1,090,591.86
0.00
0.54%
0.00
NR / NR
NR
0.00
0.00
TOTAL Cash 7,544,324.69 0.01%
7,544,324.69
7,544,324.69 0.01%
7,544,324.69
0.00
3.71%
0.00
NR / NR
NR
0.00
0.00
CMO
3137BDCW4 FHLMC K039 A2
3.303% Due 07/25/2024
1,000,000.00 04/19/2022
2.75%
1,007,968.75
1,005,435.05
97.58
5.00%
975,769.10
2,752.50
0.48%
(29,665.95)
NR / NR
AAA
1.57
1.33
TOTAL CMO 1,000,000.00 2.75%
1,007,968.75
1,005,435.05 5.00%
975,769.10
2,752.50
0.48%
(29,665.95)
NR / NR
AAA
1.57
1.33
As of December 31, 2022
27
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Holdings Report
City of Tustin Consolidated Account -Account #10795
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
89236TFN0 Toyota Motor Credit Corp Note
3.450% Due 09/20/2023
1,000,000.00 02/28/2019
3.00%
1,019,000.00
1,002,989.79
98.87
5.06%
988,740.00
9,679.17
0.49%
(14,249.79)
A1 / A+
A+
0.72
0.69
79466LAG9 Salesforce.com Inc Callable Note Cont 7/15/2022
0.625% Due 07/15/2024
1,000,000.00 04/25/2022
2.88%
951,860.00
966,658.59
93.84
4.83%
938,408.96
2,881.94
0.46%
(28,249.63)
A2 / A+
NR
1.54
1.49
59217GEP0 Metlife Note
0.700% Due 09/27/2024
1,000,000.00 01/18/2022
1.49%
979,170.00
986,516.77
92.47
5.29%
924,673.01
1,827.78
0.46%
(61,843.76)
Aa3 / AA-
AA-
1.74
1.68
24422EVY2 John Deere Capital Corp Note
1.250% Due 01/10/2025
1,000,000.00 02/04/2022
1.78%
985,080.00
989,652.48
93.62
4.59%
936,158.89
5,937.50
0.46%
(53,493.59)
A2 / A
A
2.03
1.95
57629WCG3 Mass Mutual Global funding Note
2.950% Due 01/11/2025
1,000,000.00 03/23/2022
2.79%
1,004,360.00
1,003,158.12
96.17
4.96%
961,733.33
13,930.56
0.48%
(41,424.79)
Aa3 / AA+
AA+
2.03
1.91
64952WEK5 New York Life Global Note
1.450% Due 01/14/2025
1,000,000.00 01/18/2022
1.56%
996,780.00
997,802.13
93.22
4.99%
932,198.50
6,726.39
0.46%
(65,603.63)
Aaa / AA+
AAA
2.04
1.95
63743HFC1 National Rural Utilities Note
1.875% Due 02/07/2025
1,000,000.00 03/23/2022
2.87%
972,740.00
980,061.26
93.84
5.00%
938,368.80
7,500.00
0.47%
(41,692.46)
A2 / A-
A
2.11
2.00
57636QAN4 MasterCard Inc Callable Note 1x 02/03/2025
2.000% Due 03/03/2025
500,000.00 11/01/2021
1.06%
515,365.00
510,007.47
94.52
4.68%
472,607.74
3,277.78
0.23%
(37,399.73)
Aa3 / A+
NR
2.17
2.07
69371RR73 Paccar Financial Corp Note
2.850% Due 04/07/2025
1,000,000.00 03/31/2022
2.86%
999,740.00
999,803.81
95.96
4.75%
959,582.88
6,650.00
0.48%
(40,220.93)
A1 / A+
NR
2.27
2.14
87612EBL9 Target Corp Callable Note Cont 4/15/25
2.250% Due 04/15/2025
1,000,000.00 02/04/2022
1.91%
1,010,340.00
1,007,430.21
94.88
4.63%
948,849.87
4,750.00
0.47%
(58,580.34)
A2 / A
A
2.29
2.18
437076CM2 Home Depot Callable Note Cont 3/15/2025
2.700% Due 04/15/2025
1,000,000.00 03/28/2022
2.85%
995,620.00
996,711.06
95.87
4.62%
958,655.69
5,700.00
0.47%
(38,055.37)
A2 / A
A
2.29
2.17
61747YEQ4 Morgan Stanley Callable Note S/A 4/17/2024
3.620% Due 04/17/2025
1,000,000.00 06/01/2022
4.24%
1,000,910.00
1,000,726.09
97.61
5.34%
976,141.97
7,441.11
0.48%
(24,584.12)
A1 / A-
A+
2.30
2.14
06406RAN7 Bank of NY Mellon Corp Callable Note Cont 3/24/2025
1.600% Due 04/24/2025
1,000,000.00 02/04/2022
1.95%
989,120.00
992,158.22
92.98
4.84%
929,805.10
2,977.78
0.46%
(62,353.12)
A1 / A
AA-
2.32
2.22
06367WB85 Bank of Montreal Note
1.850% Due 05/01/2025
1,000,000.00 08/17/2021
0.90%
1,034,530.00
1,021,750.58
93.33
4.91%
933,327.67
3,083.33
0.46%
(88,422.91)
A2 / A-
AA-
2.33
2.23
91159HHZ6 US Bancorp Callable Note Cont 4/11/2025
1.450% Due 05/12/2025
1,400,000.00 12/23/2021
1.30%
1,406,818.00
1,404,774.26
92.79
4.71%
1,299,002.66
2,763.06
0.64%
(105,771.60)
A2 / A+
A+
2.36
2.27
747525AF0 Qualcomm Inc Callable Note Cont 2/20/2025
3.450% Due 05/20/2025
1,000,000.00 03/23/2022
2.82%
1,018,960.00
1,014,318.75
97.42
4.60%
974,156.67
3,929.17
0.48%
(40,162.08)
A2 / A
NR
2.39
2.25
717081EX7 Pfizer Inc. Callable Note Cont 4/28/2025
0.800% Due 05/28/2025
1,000,000.00 03/23/2022
2.62%
945,010.00
958,378.26
91.42
4.60%
914,224.67
733.33
0.45%
(44,153.59)
A1 / A+
A
2.41
2.33
As of December 31, 2022
28
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Holdings Report
City of Tustin Consolidated Account -Account #10795
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
66815L2J7 Northwestern Mutual Glbl Note
4.000% Due 07/01/2025
700,000.00 06/30/2022
3.81%
703,738.00
703,121.85
98.11
4.81%
686,775.38
14,000.00
0.34%
(16,346.47)
Aaa / AA+
AAA
2.50
2.30
26442UAA2 Duke Energy Progress LLC Callable Note Cont 5/15/25
3.250% Due 08/15/2025
1,000,000.00 04/25/2022
3.24%
1,000,280.00
1,000,222.19
96.43
4.71%
964,335.71
12,277.78
0.48%
(35,886.48)
Aa3 / A
NR
2.62
2.44
194162AM5 Colgate Palmolive Co. Note
3.100% Due 08/15/2025
345,000.00 08/01/2022
3.13%
344,682.60
344,724.36
96.96
4.34%
334,500.04
4,218.58
0.17%
(10,224.32)
Aa3 / AA-
NR
2.62
2.45
89114QCK2 Toronto Dominion Bank Note
0.750% Due 09/11/2025
1,000,000.00 08/17/2021
0.93%
993,000.00
995,358.49
89.34
5.03%
893,401.04
2,291.67
0.44%
(101,957.45)
A1 / A
AA-
2.70
2.60
14913R2H9 Caterpillar Financial Service Note
0.800% Due 11/13/2025
1,000,000.00 04/21/2021
0.98%
991,780.00
994,831.03
89.78
4.65%
897,809.75
1,066.67
0.44%
(97,021.28)
A2 / A
A
2.87
2.77
857477BR3 State Street Bank Callable Note Cont 2/6/2025
1.746% Due 02/06/2026
1,000,000.00 Various
3.43%
978,258.70
982,594.66
93.13
5.24%
931,262.91
7,032.50
0.46%
(51,331.75)
A1 / A
AA-
3.10
2.00
06051GHY8 Bank of America Corp Callable Note Cont 2/13/2025
2.015% Due 02/13/2026
1,000,000.00 04/20/2021
2.04%
1,030,470.00
1,019,741.37
92.76
5.63%
927,586.20
7,724.17
0.46%
(92,155.17)
A2 / A-
AA-
3.12
2.92
46647PBK1 JP Morgan Chase & Co Callable Note Cont 4/22/2025
2.083% Due 04/22/2026
2,000,000.00 Various
2.12%
2,072,110.00
2,050,521.59
92.78
5.44%
1,855,658.04
7,984.84
0.92%
(194,863.55)
A1 / A-
AA-
3.31
2.20
00440EAV9 Chubb INA Holdings Inc Callable Note Cont 2/3/2026
3.350% Due 05/03/2026
1,000,000.00 07/23/2021
1.13%
1,102,780.00
1,071,904.68
95.76
4.73%
957,593.41
5,397.22
0.47%
(114,311.27)
A3 / A
A
3.34
3.09
023135BX3 Amazon.com Inc Callable Note Cont 4/12/2026
1.000% Due 05/12/2026
1,000,000.00 05/12/2021
1.10%
995,200.00
996,771.05
88.68
4.68%
886,772.02
1,361.11
0.44%
(109,999.03)
A1 / AA
AA-
3.36
3.23
808513BR5 Charles Schwab Corp Callable Note Cont 4/13/2026
1.150% Due 05/13/2026
1,000,000.00 07/23/2021
0.98%
1,007,990.00
1,005,603.50
88.96
4.73%
889,627.03
1,533.33
0.44%
(115,976.47)
A2 / A
A
3.37
3.23
91324PEC2 United Health Group Inc Callable Note Cont 4/15/2026
1.150% Due 05/15/2026
1,000,000.00 07/28/2021
1.00%
1,007,110.00
1,004,997.31
89.43
4.57%
894,331.93
1,469.44
0.44%
(110,665.38)
A3 / A+
A
3.37
3.23
78016EZT7 Royal Bank of Canada Note
1.150% Due 07/14/2026
1,000,000.00 07/28/2021
1.17%
999,090.00
999,351.44
88.16
4.83%
881,629.99
5,334.72
0.44%
(117,721.45)
A1 / A
AA-
3.54
3.37
As of December 31, 2022
29
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Holdings Report
City of Tustin Consolidated Account -Account #10795
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
931142ER0 Wal-Mart Stores Callable Note Cont 08/17/2026
1.050% Due 09/17/2026
900,000.00 09/22/2021
1.00%
902,277.00
901,696.17
88.67
4.39%
797,990.00
2,730.00
0.39%
(103,706.17)
Aa2 / AA
AA
3.72
3.55
TOTAL Corporate 30,845,000.00 2.06%
30,954,169.30
30,904,337.54 4.88%
28,785,909.86
164,210.93
14.24%
(2,118,427.68)
A1 / A+
AA-
2.56
2.34
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 66,430,545.87 Various
2.23%
66,430,545.87
66,430,545.87
1.00
2.23%
66,430,545.87
332,916.49
32.85%
0.00
NR / NR
NR
0.00
0.00
TOTAL LAIF 66,430,545.87 2.23%
66,430,545.87
66,430,545.87 2.23%
66,430,545.87
332,916.49
32.85%
0.00
NR / NR
NR
0.00
0.00
Local Gov Investment Pool
90CAMP$00 California Asset Mgmt Program CAMP 64,685,943.61 Various
4.50%
64,685,943.61
64,685,943.61
1.00
4.50%
64,685,943.61
0.00
31.83%
0.00
NR / AAA
NR
0.00
0.00
TOTAL Local Gov Investment Pool 64,685,943.61 4.50%
64,685,943.61
64,685,943.61 4.50%
64,685,943.61
0.00
31.83%
0.00
NR / AAA
NR
0.00
0.00
Money Market Fund
31846V203 First American Govt Obligation Fund Class Y 4,158.85 Various
3.79%
4,158.85
4,158.85
1.00
3.79%
4,158.85
0.00
0.00%
0.00
Aaa / AAA
AAA
0.00
0.00
31846V203 First American Govt Obligation Fund Class Y 148,021.65 Various
3.79%
148,021.65
148,021.65
1.00
3.79%
148,021.65
0.00
0.07%
0.00
Aaa / AAA
AAA
0.00
0.00
TOTAL Money Market Fund 152,180.50 3.79%
152,180.50
152,180.50 3.79%
152,180.50
0.00
0.07%
0.00
Aaa / AAA
AAA
0.00
0.00
Negotiable CD
795450M93 Sallie Mae Bank Negotiable CD
3.000% Due 04/18/2023
245,000.00 04/18/2018
3.00%
245,000.00
245,000.00
99.65
4.16%
244,149.36
1,510.27
0.12%
(850.64)
NR / NR
NR
0.30
0.29
90348JCW8 UBS Bank USA Negotiable CD
3.250% Due 06/13/2023
248,000.00 06/13/2018
3.25%
248,000.00
248,000.00
99.55
4.26%
246,891.94
419.56
0.12%
(1,108.06)
NR / NR
NR
0.45
0.44
246399AB5 Delaware State Police FCU Negotiable CD
3.000% Due 03/29/2024
246,000.00 03/29/2019
3.00%
246,000.00
246,000.00
98.05
4.63%
241,191.93
1,900.60
0.12%
(4,808.07)
NR / NR
NR
1.24
1.20
14042TJB4 Capital One Bank USA NA Negotiable CD
3.450% Due 08/04/2025
240,000.00 08/01/2022
3.50%
239,640.00
239,689.55
97.24
4.59%
233,386.08
3,425.42
0.12%
(6,303.47)
NR / NR
NR
2.59
2.41
As of December 31, 2022
30
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Holdings Report
City of Tustin Consolidated Account -Account #10795
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
02007GXF5 Ally Bank Negotiable CD
3.400% Due 08/04/2025
240,000.00 08/02/2022
3.51%
239,280.00
239,378.54
97.12
4.59%
233,094.96
3,353.42
0.12%
(6,283.58)
NR / NR
NR
2.59
2.42
87165EXE2 Synchrony Bank Negotiable CD
3.400% Due 08/05/2025
240,000.00 08/01/2022
3.45%
239,640.00
239,688.94
97.12
4.59%
233,088.24
3,331.07
0.12%
(6,600.70)
NR / NR
NR
2.60
2.42
254673P26 Discover Bank Negotiable CD
3.400% Due 08/08/2025
240,000.00 08/01/2022
3.51%
239,280.00
239,375.91
97.11
4.59%
233,068.08
3,264.00
0.12%
(6,307.83)
NR / NR
NR
2.61
2.43
38149MYS6 Goldman Sachs Bank USA Negotiable CD
1.050% Due 08/25/2026
245,000.00 08/17/2021
1.15%
243,775.00
244,106.41
88.22
4.59%
216,146.60
909.18
0.11%
(27,959.81)
NR / NR
NR
3.65
3.50
TOTAL Negotiable CD 1,944,000.00 3.04%
1,940,615.00
1,941,239.35 4.49%
1,881,017.19
18,113.52
0.93%
(60,222.16)
NR / NR
NR
1.97
1.85
US Treasury
91282CBG5 US Treasury Note
0.125% Due 01/31/2023
1,000,000.00 03/23/2022
1.41%
989,101.56
998,955.42
99.70
3.71%
996,986.00
523.10
0.49%
(1,969.42)
Aaa / AA+
AAA
0.08
0.08
91282CBN0 US Treasury Note
0.125% Due 02/28/2023
1,250,000.00 03/23/2022
1.48%
1,234,375.00
1,247,342.38
99.33
4.24%
1,241,661.25
530.90
0.61%
(5,681.13)
Aaa / AA+
AAA
0.16
0.16
912828R69 US Treasury Note
1.625% Due 05/31/2023
1,250,000.00 03/23/2022
1.70%
1,248,828.13
1,249,594.04
98.82
4.51%
1,235,302.50
1,785.71
0.61%
(14,291.54)
Aaa / AA+
AAA
0.41
0.41
912828S92 US Treasury Note
1.250% Due 07/31/2023
1,250,000.00 03/23/2022
1.87%
1,239,697.27
1,245,599.44
98.03
4.70%
1,225,390.00
6,538.72
0.61%
(20,209.44)
Aaa / AA+
AAA
0.58
0.57
9128282D1 US Treasury Note
1.375% Due 08/31/2023
1,300,000.00 05/18/2022
2.40%
1,283,191.41
1,291,326.91
97.76
4.84%
1,270,902.10
6,073.55
0.63%
(20,424.81)
Aaa / AA+
AAA
0.67
0.64
912828T91 US Treasury Note
1.625% Due 10/31/2023
1,200,000.00 04/25/2022
2.34%
1,187,296.88
1,193,039.70
97.52
4.70%
1,170,234.00
3,339.78
0.58%
(22,805.70)
Aaa / AA+
AAA
0.83
0.81
912828U57 US Treasury Note
2.125% Due 11/30/2023
1,250,000.00 03/23/2022
2.06%
1,251,416.02
1,250,765.48
97.66
4.76%
1,220,801.25
2,335.16
0.60%
(29,964.23)
Aaa / AA+
AAA
0.92
0.89
912828V80 US Treasury Note
2.250% Due 01/31/2024
1,250,000.00 03/23/2022
2.12%
1,252,832.03
1,251,649.93
97.38
4.75%
1,217,285.00
11,769.70
0.60%
(34,364.93)
Aaa / AA+
AAA
1.08
1.04
912828X70 US Treasury Note
2.000% Due 04/30/2024
1,250,000.00 03/23/2022
2.19%
1,245,019.53
1,246,854.78
96.52
4.73%
1,206,445.00
4,281.77
0.60%
(40,409.78)
Aaa / AA+
AAA
1.33
1.29
912828WJ5 US Treasury Note
2.500% Due 05/15/2024
1,000,000.00 04/25/2022
2.57%
998,593.75
999,062.50
97.10
4.71%
970,977.00
3,245.86
0.48%
(28,085.50)
Aaa / AA+
AAA
1.37
1.32
91282CCL3 US Treasury Note
0.375% Due 07/15/2024
1,250,000.00 03/23/2022
2.24%
1,197,802.73
1,215,304.90
93.71
4.65%
1,171,435.00
2,165.42
0.58%
(43,869.90)
Aaa / AA+
AAA
1.54
1.50
9128282U3 US Treasury Note
1.875% Due 08/31/2024
1,250,000.00 03/23/2022
2.28%
1,238,085.94
1,241,870.09
95.70
4.59%
1,196,240.00
7,963.57
0.59%
(45,630.09)
Aaa / AA+
AAA
1.67
1.60
As of December 31, 2022
31
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Holdings Report
City of Tustin Consolidated Account -Account #10795
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
912828YM6 US Treasury Note
1.500% Due 10/31/2024
1,250,000.00 03/23/2022
2.30%
1,224,902.34
1,232,363.09
94.80
4.49%
1,184,961.25
3,211.33
0.58%
(47,401.84)
Aaa / AA+
AAA
1.84
1.77
912828YV6 US Treasury Note
1.500% Due 11/30/2024
1,250,000.00 03/23/2022
2.32%
1,223,486.33
1,231,127.23
94.68
4.43%
1,183,496.25
1,648.35
0.58%
(47,630.98)
Aaa / AA+
AAA
1.92
1.85
912828YY0 US Treasury Note
1.750% Due 12/31/2024
1,300,000.00 05/18/2022
2.88%
1,263,335.94
1,272,032.64
94.98
4.40%
1,234,695.80
62.85
0.61%
(37,336.84)
Aaa / AA+
AAA
2.00
1.93
91282CBH3 US Treasury Note
0.375% Due 01/31/2026
2,000,000.00 04/27/2021
0.83%
1,957,500.00
1,972,481.31
89.06
4.19%
1,781,172.00
3,138.59
0.88%
(191,309.31)
Aaa / AA+
AAA
3.09
3.00
91282CBT7 US Treasury Note
0.750% Due 03/31/2026
2,000,000.00 04/27/2021
0.86%
1,989,531.25
1,993,100.41
89.73
4.16%
1,794,688.00
3,832.42
0.88%
(198,412.41)
Aaa / AA+
AAA
3.25
3.14
91282CFM8 US Treasury Note
4.125% Due 09/30/2027
1,740,000.00 11/09/2022
4.32%
1,724,978.91
1,725,416.50
100.54
4.00%
1,749,312.48
18,338.12
0.87%
23,895.98
Aaa / AA+
AAA
4.75
4.23
TOTAL US Treasury 24,040,000.00 2.09%
23,749,975.02
23,857,886.75 4.46%
23,051,984.88
80,784.90
11.38%
(805,901.87)
Aaa / AA+
AAA
1.70
1.61
TOTAL PORTFOLIO 206,141,994.67 2.86%
205,850,607.74
205,931,632.81 3.65%
202,605,666.89
638,856.47
100.00%
(3,325,965.92)
Aa2 / AA+
AA+
0.66
0.61
TOTAL MARKET VALUE PLUS ACCRUALS 203,244,523.36
As of December 31, 2022
32
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
SECTION |Section 5 |Transactions
33
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Transaction Ledger
City of Tustin Consolidated Account -Account #10795
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 10/15/2022 90LAIF$00 259,825.10 Local Agency Investment Fund State Pool 1.000 1.60%259,825.10 0.00 259,825.10 0.00
Purchase 10/31/2022 90CAMP$00 57,616.61 California Asset Mgmt Program CAMP 1.000 3.21%57,616.61 0.00 57,616.61 0.00
Purchase 11/10/2022 91282CFM8 1,740,000.00 US Treasury Note
4.125% Due: 09/30/2027
99.137 4.32%1,724,978.91 8,084.55 1,733,063.46 0.00
Purchase 11/30/2022 90CAMP$00 95,869.79 California Asset Mgmt Program CAMP 1.000 4.04%95,869.79 0.00 95,869.79 0.00
Purchase 12/31/2022 90CAMP$00 195,854.78 California Asset Mgmt Program CAMP 1.000 4.50%195,854.78 0.00 195,854.78 0.00
Subtotal 2,349,166.28 2,334,145.19 8,084.55 2,342,229.74 0.00
Security
Contribution
10/31/2022 90CAMP$00 7,000,000.00 California Asset Mgmt Program CAMP 1.000 7,000,000.00 0.00 7,000,000.00 0.00
Security
Contribution
11/10/2022 90LAIF$00 2,500,000.00 Local Agency Investment Fund State Pool 1.000 2,500,000.00 0.00 2,500,000.00 0.00
Security
Contribution
11/30/2022 90CAMP$00 10,249,950.00 California Asset Mgmt Program CAMP 1.000 10,249,950.00 0.00 10,249,950.00 0.00
Security
Contribution
12/31/2022 90CAMP$00 30,250,000.00 California Asset Mgmt Program CAMP 1.000 30,250,000.00 0.00 30,250,000.00 0.00
Subtotal 49,999,950.00 49,999,950.00 0.00 49,999,950.00 0.00
TOTAL ACQUISITIONS 52,349,116.28 52,334,095.19 8,084.55 52,342,179.74 0.00
DISPOSITIONS
Maturity 10/06/2022 89114WU86 2,400,000.00 Toronto Dominion Yankee CD
1.45% Due: 10/06/2022
100.000 2,400,000.00 17,690.00 2,417,690.00 0.00
September 30, 2022 through December 31, 2022
As of December 31, 2022
34
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Transaction Ledger
City of Tustin Consolidated Account -Account #10795
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Maturity 10/13/2022 01859BAA3 248,000.00 Alliance Credit Union MO Negotiable CD
2.25% Due: 10/13/2022
100.000 248,000.00 0.00 248,000.00 0.00
Maturity 10/31/2022 9128283C2 6,000,000.00 US Treasury Note
2% Due: 10/31/2022
100.000 6,000,000.00 0.00 6,000,000.00 0.00
Maturity 11/01/2022 13077DFD9 250,000.00 California State University TE-REV
3.054% Due: 11/01/2022
100.000 250,000.00 0.00 250,000.00 0.00
Maturity 11/03/2022 01748DAY2 248,000.00 Allegiance Bank Negotiable CD
2.2% Due: 11/03/2022
100.000 248,000.00 0.00 248,000.00 0.00
Maturity 11/07/2022 78015DL73 4,000,000.00 Royal Bank of Canada NY Discount CP
1.57% Due: 11/07/2022
99.058 4,000,000.00 0.00 4,000,000.00 0.00
Maturity 11/08/2022 319141JF5 248,000.00 First Bank of Highland Negotiable CD
2.2% Due: 11/08/2022
100.000 248,000.00 0.00 248,000.00 0.00
Maturity 11/08/2022 62384RAC0 248,000.00 MOUNTAIN AMERICA FD CRED Negotiable CD
2.3% Due: 11/08/2022
100.000 248,000.00 0.00 248,000.00 0.00
Maturity 11/08/2022 82669VBY6 248,000.00 Signature Bank Chicago IL Negotiable CD
2.15% Due: 11/08/2022
100.000 248,000.00 0.00 248,000.00 0.00
Maturity 11/15/2022 912828TY6 5,000,000.00 US Treasury Note
1.625% Due: 11/15/2022
100.000 5,000,000.00 0.00 5,000,000.00 0.00
Maturity 11/30/2022 91282CAX9 5,000,000.00 US Treasury Note
0.125% Due: 11/30/2022
100.000 5,000,000.00 0.00 5,000,000.00 0.00
Maturity 12/06/2022 46640QM65 2,000,000.00 JP Morgan Discount CP
1.73% Due: 12/06/2022
98.827 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 12/15/2022 912828YW4 6,000,000.00 US Treasury Note
1.625% Due: 12/15/2022
100.000 6,000,000.00 0.00 6,000,000.00 0.00
Subtotal 31,890,000.00 31,890,000.00 17,690.00 31,907,690.00 0.00
Security
Withdrawal
10/20/2022 90LAIF$00 1,250,000.00 Local Agency Investment Fund State Pool 1.000 1,250,000.00 0.00 1,250,000.00 0.00
Security
Withdrawal
11/02/2022 90LAIF$00 6,000.00 Local Agency Investment Fund State Pool 1.000 6,000.00 0.00 6,000.00 0.00
September 30, 2022 through December 31, 2022
As of December 31, 2022
35
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Transaction Ledger
City of Tustin Consolidated Account -Account #10795
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Security
Withdrawal
11/03/2022 90LAIF$00 4,000,000.00 Local Agency Investment Fund State Pool 1.000 4,000,000.00 0.00 4,000,000.00 0.00
Subtotal 5,256,000.00 5,256,000.00 0.00 5,256,000.00 0.00
TOTAL DISPOSITIONS 37,146,000.00 37,146,000.00 17,690.00 37,163,690.00 0.00
September 30, 2022 through December 31, 2022
As of December 31, 2022
36
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Important Disclosures
2022 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.
As of December 31, 2022
37
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
Benchmark Disclosures
ICE BofA 1-5 Yr US Treasury & Agency Index
The ICE BofA 1-5 Year US Treasury &Agency Index tracks the performance of US dollar denominated US Treasury and nonsubordinated US agency debt issued in the US domestic market.Qualifying
securities must have an investment grade rating (based on an average of Moody’s,S&P and Fitch).Qualifying securities must have at least one year remaining term to final maturity and less than five
years remaining term to final maturity,at least 18 months to maturity at time of issuance,a fixed coupon schedule,and a minimum amount outstanding of $1 billion for sovereigns and $250 million for
agencies.
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 December 31, 2022
38
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2
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2
CITY OF TUSTIN
PARS Post-Employment Benefits Trust 12/1/2022 to 12/31/2022
Matthew West
City Manager
City of Tustin
300 Centennial Way
Tustin, CA 92780
Account Summary
Source 12/1/2022 Contributions Earnings Expenses Distributions Transfers 12/31/2022
OPEB 1001 $2,801,864.41 $0.00 -$76,121.31 $1,217.08 $0.00 $0.00 $2,724,526.02
PENSION 1002 $8,526,959.11 $0.00 -$231,551.12 $3,703.37 $0.00 $0.00 $8,291,704.62
Totals $11,328,823.52 $0.00 -$307,672.43 $4,920.45 $0.00 $0.00 $11,016,230.64
Investment Selection
Source
OPEB
PENSION
Investment Objective
Source
OPEB
PENSION
Investment Return
Source 1-Month 3-Months 1-Year 3-Years 5-Years 10-Years
OPEB -2.72%4.85%-14.26%1.75%--6/26/2018
PENSION -2.72%4.85%-14.25%1.75%--6/26/2018
Information as provided by US Bank, Trustee for PARS; Not FDIC Insured; No Bank Guarantee; May Lose Value
Headquarters - 4350 Von Karman Ave., Suite 100, Newport Beach, CA 92660 800.540.6369 Fax 949.250.1250 www.pars.org
Balance as of
Individual account based on Moderate Index PLUS. The dual goals of the Moderate Strategy are growth of principal and income. It is expected that
dividend and interest income will comprise a significant portion of total return, although growth through capital appreciation is equally important. The
portfolio will be allocated between equity and fixed income investments.
City of Tustin - Pension
Plan's Inception Date
Account balances are inclusive of Trust Administration, Trustee and Investment Management fees
Annualized Return
Investment Return: Annualized rate of return is the return on an investment over a period other than one year multiplied or divided to give a comparable one-year return.
Past performance does not guarantee future results. Performance returns may not reflect the deduction of applicable fees, which could reduce returns. Information is deemed reliable but may be subject to change.
Individual account based on Moderate Index PLUS. The dual goals of the Moderate Strategy are growth of principal and income. It is expected that
dividend and interest income will comprise a significant portion of total return, although growth through capital appreciation is equally important. The
portfolio will be allocated between equity and fixed income investments.
Account Report for the Period
Balance as of
City of Tustin - OPEB
DocuSign Envelope ID: FAB227FB-44B1-423E-A891-5F993A47E6D2