HomeMy WebLinkAbout2016-09-12 e-packet@12:30Monday, September 12, 2016
12:30 PM
City of South San Francisco
P.O. Box 711 (City Hall, 400 Grand Avenue)
South San Francisco, CA
City Hall, City Manager's Conference Room
400 Grand Avenue, South San Francisco, CA
Budget Standing Committee of the City Council
Regular Meeting Agenda
September 12, 2016Budget Standing Committee of the
City Council
Regular Meeting Agenda
NOTICE IS HEREBY GIVEN, pursuant to Section 54956 of the Government Code of the State of
California, the Budget Subcommittee of the City of South San Francisco will hold a Special Meeting on
Monday, September 12, 2016 at 12:30 p.m., at City Hall, City Manager Conference Room, 400 Grand
Avenue, South San Francisco, California 94080.
Call To Order.
Roll Call.
Public Comments.
MATTERS FOR CONSIDERATION
Motion to approve the Minutes of the meetings of May 2, 2016 and May 9, 2016.1.
Investments 101 and Investment Portfolio Update - Chandler Asset Management.2.
Adjournment.
Page 2 City of South San Francisco Printed on 10/14/2016
City of South San Francisco
Legislation Text
P.O. Box 711 (City Hall, 400
Grand Avenue)
South San Francisco, CA
File #:16-771,Version:1
Motion to approve the Minutes of the meetings of May 2, 2016 and May 9, 2016.
City of South San Francisco Printed on 10/14/2016Page 1 of 1
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City of South San Francisco
Legislation Text
P.O. Box 711 (City Hall, 400
Grand Avenue)
South San Francisco, CA
File #:16-746,Version:1
Investments 101 and Investment Portfolio Update - Chandler Asset Management.
City of South San Francisco Printed on 9/10/2016Page 1 of 1
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CHANDLER ASSET MANAGEMENT
6225 Lusk Blvd | San Diego, CA 92121 | Phone 800.317.4747 | Fax 858.546.3741 | www.chandlerasset.com
Investment Report
Period Ending
July 31, 2016
City of South San Francisco
SECTION 1
SECTION 2
SECTION 3
SECTION 4
SECTION 5
Table of Contents
Investments 101
Economic Update
Account Profile
Consolidated Information
Portfolio Holdings
1
SECTION 1
Investments 101
2
Comprehensive Investment Program
Benchmark
Selection
Comprehensive
Reporting
Optimal
Investment
Program
Disciplined
Investment
Process
Investment
Policy
Review
Performance
Measurement
Continual
Compliance
Monitoring
3
California Code and Compliance
4
Strategy
Total Portfolio
Liquidity Reserve
■Liquidity Component
■Meets specific liquidity needs
■Invests in short-term securities
■Average maturity short
■Very low volatility
■Cash flow matching
■Reserve Component
■Targeted to highest suitable duration
■Longer-term securities
■Normally not used for liquidity, but
invested in highly-marketable
securities
■Greater volatility
■More stable income stream
5
Managing Risks in the Portfolio
■Market Risk: The risk that the value of an investment will decrease
due to moves in market factors.
■Credit Risk: The risk that the issuer of a bond may not be able to
make timely payments of principal and/or interest.
■Liquidity Risk: The risk stemming from the lack of marketability of an
investment that cannot be bought or sold quickly enough to prevent
or minimize a loss.
■Reinvestment Risk: The risk resulting from the reinvestment of cash
flows from an investment that must be reinvested at the market rate
at the time the cash flow occurs.
■Event Risk: The risk of possible financial loss arising from
circumstances that were unexpected and unpredictable.
6
Key Portfolio Characteristics
■Portfolio Duration - Sensitivity to interest rate changes
■Average Purchase Yield - Average yield all securities were purchased at
■Average Market Yield (Yield to Worst) - Average yield of all securities at
a specific time
7
Duration
■Duration is a direct measure of exposure to market risk in a fixed maturity
bond.
■Duration is a better measure of the sensitivity to changes in interest rates than
term-to-maturity.
■Duration is a close approximation of the percent change in the price of a bond
for a given change in yield.
■Securities with equal maturity dates may not have equal interest rate risk -
duration quantifies the difference.
An easy way to remember duration is to think, if all interest rates (short term to
longer maturities) were to increase by 100 basis points (1%) immediately, the
portfolio’s market value will be reduced in percentage terms by the duration.
Ex. Portfolio duration of 2.5, if interest rates increase by 100 basis points
immediately, the market value will decrease by approximately 2.5%
88
Breaking Down a Bond
■A corporate bond has two moving parts that determine the price.
■Underlying Treasury rate - The matched maturity Treasury rate
■Credit Spread - The amount of compensation required above the underlying
Treasury rate
HSBC 1 ⅝ 01/16/18
Date Price Yield to Worst Respective Treasury Rate Implied Credit Spread
8/31/2016 100.063 1.578 0.762 0.816
7/29/2016 99.969 1.646 0.628 1.018
6/30/2016 99.733 1.803 0.566 1.237
5/31/2016 100.028 1.607 0.839 0.768
4/29/2016 99.957 1.65 0.756 0.894
3/31/2016 99.811 1.733 0.724 1.009
2/29/2016 99.644 1.819 0.782 1.037
1/29/2016 98.82 2.246 0.806 1.44
12/31/2015 99.585 1.833 1.09 0.743
11/30/2015 99.707 1.766 1.012 0.754
10/30/2015 99.851 1.694 0.836 0.858
9/30/2015 99.785 1.721 0.747 0.974
Source: Bloomberg. The information herein is provided for information purposes only and should not be construed as a recommen dation of any security, strategy or investment product, nor an offer
or solicitation for the purchase or sale of any financial instrument. References to sample securities are for informational purposes and do not imply that managing portfolios with those securities will
achieve comparable returns. Past performance is not indicative of future results.
9
Yield Curve
■Yield curves twist and shift over time
■The shape of the yield curve can influence strategy and security selection
Bloomberg
Source: Bloomberg.
10
Key Security Types in South San Francisco’s Portfolio
■US Treasury Securities - Safest and most liquid securities. Used as a
benchmark to measure other investment choices.
■Agency Securities - Notes issued by FNMA, FHLMC, FHLB, FFCB, TVA, etc.
These securities trade with a spread to Treasuries.
■Corporate notes - Securities issued by corporations and backed by their credit
pledge. Corporate notes rated “A” or better are only permissible investments.
These securities trade with a spread to Treasuries. Diversification is a key
element in corporate note investing.
■Asset Backed Securities - Shorted duration securities backed by various types
of consumer loans. The most common collateral are auto loans, credit card
receivables and equipment loans. These securities amortize (slowly payoff).
AAA rated securities and trade with a spread to Treasuries.
■Supranational Securities - Securities issued by multinational governmental
organizations that are for the benefit for developing nations. AAA rated
securities and trade with a spread to Treasuries.
Source: Chandler Asset Management.
11
Portfolio Benchmark – Judging Performance
■What is a benchmark?
■An unmanaged portfolio that includes the types and maturities of securities that are
permitted in the investor’s policies
■The benchmark represents the appropriate level of risk for the portfolio
■Examples - Bank of America 1-5 Year US Treasury and Agency Index, S&P 500,
Barclays Aggregate
■Why a benchmark?
■Compare Returns:
■How is your portfolio performing relative to the benchmark?
■Compare Risk:
■Is your portfolio’s volatility within expectations versus benchmark?
■Accountability/Guidelines
■Improves Communication
Source: Chandler Asset Management.
12
SECTION 2
Economic Update
13
Although the global economy faces headwinds, domestic economic data continues to point toward modest growth.
Labor market trends remain healthy. The unemployment rate was unchanged at a low level of 4.9%in July and wage
growth continued to increase. Consumer confidence remains strong. Housing trends remain favorable even though
home price appreciation has softened. Meanwhile, manufacturing trends are improving. Second quarter 2016 GDP
grew 1.1%, following growth of 0.8%in the first quarter. The consensus forecast calls for GDP growth of 2.7%and
2.3% in the third and fourth quarters, respectively.
Economic Update
The minutes from the July Federal Open Market Committee (FOMC) meeting indicate that policymakers continue to
debate the appropriate timing of the next fed funds rate hike. Overall, FOMC members’economic forecasts had
changed little since the June meeting. They noted that the labor market continued to improve (albeit at a slower pace
in the second quarter than the first),but inflation remained below target. While near-term risks to the U.S. economic
outlook have diminished, intermediate-and long-run risk associated with Brexit remain uncertain. One member
wanted to raise the fed fund rate at the July meeting,and some other members anticipated that economic data would
soon warrant a rate hike. However, the Committee generally agreed it was better to remain cautious and wait for more
incoming data. The Fed’s most recent median projection in June implied two rate hikes before year-end,but that
projection is highly unlikely to be met. The outlook for the global economy remains uncertain and inflation remains low,
and as such, we expect the Fed to remain on hold over the near-term.
In July, the 2-year Treasury yield increased seven basis points and the 10-year Treasury yield was relatively
unchanged (down about two basis points). Negative interest rates in Europe and Japan,investors’hunt for yield,and a
global flight to quality continue to fuel demand for longer-term Treasury securities. Elevated market volatility, the
potential for a further slowdown in global economic growth,and highly accommodative monetary policies by other
global central banks will continue to influence the Federal Reserve.
14
Nonfarm payrolls were much stronger than expected in July,up 255,000 versus the consensus forecast of 180,000. May and June
payrolls were also revised up by a total of 18,000.On a trailing 3-month basis, payrolls increased by an average of 190,000 per month,
which is in line with the trailing 6-month average of 189,000. The unemployment rate was unchanged at 4.9%in July, while the
participation rate inched up to 62.8% from 62.7%. However, a broader measure of unemployment called the U-6, which includes those
who are marginally attached to the labor force and employed part time for economic reasons, inched back up 9.7% from 9.6%. Wages
rose 0.3%in July, following a 0.1% increase in June.On a year-over-year basis, wages were up 2.6%in July, which was unchanged
from June.
Employment
Source: US Department of Labor Source: US Department of Labor
0
50
100
150
200
250
300
350
MOM Change In (000's)Nonfarm Payroll (000's)
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
11.0%
12.0%
13.0%
14.0%
15.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)Rate (%)15
The Consumer Price Index (CPI) was up just 0.8% year-over-year in July, versus up 1.0% year-over-year in June. Core CPI (CPIless
food and energy) was up 2.2% year-over-year in July, vs. 2.3%in June. The Personal Consumption Expenditures (PCE) index was up
0.8% year-over-year in July, versus 0.9%in June. Core PCE (excluding food and energy) was unchanged in July,up 1.6% year-over-
year. Although Core CPI is trending above 2.0%, the Fed's primary inflation gauge is PCE which remains below the Fed's 2.0% target.
Inflation
Source: US Department of Labor Source: US Department of Labor
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YOY( %) Change-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
Personal Consumption Expenditures
(PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
YOY( %) Change16
On a year-over-year basis, total retail sales were up 2.3%in July, compared with a 3.0% increase in June.On a month-over-month
basis, retail sales were flat in July, missing expectations for a 0.4% increase. Excluding autos, retail sales fell 0.3%in the month.
Meanwhile, the consumer confidence index remained strong in July. The index was relatively unchanged in July at 97.3 versus 97.4 in
June. Overall, reports on consumer spending have been mixed in recent months but we believe the underlying trend is favorable.
Consumer
Source: US Department of Commerce Source: Federal Reserve
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
Retail Sales YOY % Change
YOY (%) Change75
80
85
90
95
100
105
110
Index LevelConsumer Confidence
17
The Index of Leading Economic Indicators (LEI) increased 0.4%in July, exceeding expectations. Meanwhile, the Chicago Fed National
Activity Index (CFNAI) improved to -0.10 in July on a 3-month moving average basis, from -0.19 in June. Both broad economic indices
point to slow economic growth ahead.
Economic Activity
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
Leading Economic Indicators (LEI)MOM ( %) Change-0.50
-0.40
-0.30
-0.20
-0.10
0.00
0.10
0.20
0.30
0.40
Chicago Fed National Activity Index
(CFNAI)3 Month AverageSource: The Conference Board Source: Federal Reserve Bank of Chicago
18
Total housing starts rose 2.1%in July, following growth of 5.6%in June. Single-family starts rose 0.5%in July while multi-family starts
rose 5.0%. Housing starts tend to be volatile on a month-to-month basis and the data is subject to revision but the underlying trend
remains favorable. According to the Case-Shiller 20-City home price index, home prices were up 5.2% year-over-year in May, vs.up
5.4% year-over-year in April. This index suggests that home price appreciation softened.
Housing
Source: US Census Bureau Source: S&P
0
200
400
600
800
1000
1200
1400
1600
MOM Change (In Thusands of Units)Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
S&P/CaseShiller 20 City Composite Home
Price Index YOY( %) Change19
The Institute for Supply Management (ISM) manufacturing index decreased to 52.6 in July from 53.2 in June. However, the index
remains above the 50.0 breakeven level, which suggests that the manufacturing sector is expanding slightly. Notably, a reading above
43.1 over a period of time is generally indicative of broad economic expansion, based on the historical relationship between the index
and GDP growth. Meanwhile, capacity utilization, which is production divided by capacity, increased to 75.9%in July from 75.4%in
June. The capacity utilization rate has increased but remains below the long-run average of 80.0% (1972-2015), suggesting there is still
excess capacity in the industrial sector.
Manufacturing
Source: Institute for Supply Management Source: Federal Reserve
46
48
50
52
54
56
58
60
Institute of Supply Management Purchasing
Manager Index
Expanding
Contracting
74.0%
75.0%
76.0%
77.0%
78.0%
79.0%
80.0%
Capacity Utilization
Rate (%)20
According to the second estimate, second quarter real GDP grew at an annualized rate of 1.1%, slightly weaker than the advance
estimate of 1.2%. This follows growth of 0.8%in the first quarter and 0.9%in the fourth quarter. Growth from Personal Consumption
Expenditures (PCE) was strong in the second quarter and continued to be the biggest overall contributor to economic growth. Net
exports also contributed to second quarter GDP growth. Market participants are forecasting GDP growth of 2.7% in the third quarter.
Gross Domestic Product (GDP)
Source: US Department of Commerce Source: US Department of Commerce
9/15 12/15 3/16 6/16
1.8% 1.5% 1.1% 2.9%
0.4% -0.4% -0.6% -1.7%
-0.5% -0.5% 0.0% 0.1%
0.1% 0.3% -0.1% 0.0%
0.3% -0.1% 0.4% -0.3%
2.0% 0.9% 0.9% 1.1%
Federal Government Expenditures
Total
Net Exports and Imports
Personal Consumption Expenditures
Gross Private Domestic Investment
State and Local (Consumption and Gross
Investment)
Components of GDP
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
21
Source: Bloomberg
Over the past three months, the yield curve flattened with the 2-year Treasury yield down nearly 13 basis points and the 10-year
Treasury yield down 38 basis points. The flattening is even more pronounced on a year-over-year basis with the 2-year Treasury yield
roughly unchanged and the 10-year Treasury yield down nearly 73 basis points. Over the past year, financial market volatility has been
elevated due to weak global economic growth, volatile commodity prices, and divergent global central bank monetary policy.
Bond Yields
Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yield (%)0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
US Treasury Yield Curve
Jul-16
Apr-16
Jul-15
Yield (%)22
SECTION 3
Account Profile
23
Objectives
Investment Objectives
The investment objectives of the City of South San Francisco are first, to preserve principal in
the overall portfolio; second, to provide liquidity; and third, to earn a market 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.
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.
Chandler Asset Management Performance Objectives
24
Compliance
Category Standard Comment
Treasury Issues No Limitation Complies
Agency Issues 25% maximum per issuer Complies
Supranationals 30% maximum; 10% maximum per issuer; IBRD, IFC and
IADB only; AA- rated or better
Complies
Commercial Paper 10% maximum; A-1 and P-1 by S&P and Moody's and A-
Rated issuer; 5% per issuer; 270 days maximum maturity
Complies
Medium Term Notes 30% maximum; A-rated or better; 5% per issuer Complies
Mortgage Pass-throughs, CMOs and
Asset Backed Securities
20% maximum; AA-rated issue; A-rated issuer; 5% per
issuer
Complies
Repurchase Agreements Currently not used by adviser Complies
Local Agency Investment Fund - L.A.I.F.Maximum program limitation Complies
San Mateo County Pool Currently not used by adviser Complies
Money Market Mutual Funds 20% maximum; AAA by two NRSROs or SEC registered;
10% maximum per fund
Complies
Prohibited Investments Inverse floaters, range notes, mortgage derived interest-
only strips, derivatives and any security that could result in a
zero interest accrual.
Complies
Maximum per issuer 5% maximum per issuer except treasuries, agencies and
LAIF
Complies
Maximum maturity 5 years Complies
City of South San Francisco
August 31, 2016
COMPLIANCE WITH INVESTMENT POLICY
Assets managed by Chandler Asset Management are in full compliance with State law and with the City's investment policy.
25
Account Profile
So San Francisco Mid-Term (Chandler) Portfolio
07/31/2016 04/30/2016
Benchmark*Portfolio Portfolio
Average Maturity (yrs)2.69 2.79 2.64
Modified Duration 2.59 2.57 2.44
Average Purchase Yield n/a 1.46 %1.39 %
Average Market Yield 0.78 %0.96 %1.02 %
Average Quality**AAA AA+/Aa1 AA+/Aa1
Total Market Value 77,692,094 77,099,594
* BAML 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.
Portfolio Characteristics
During the last three months, the activity in the City¶s portfolio consisted of several transactions to maintain the desired
portfolio structure and transition the portfolio slowly towards the City¶s newly adopted strategy. Recent purchases
included a diversified mix of Corporate, Agency and Asset Backed securities with maturities ranging from February 2019
through July 2021. The portfolio gained exposure to several high quality issuers such as State Street and Apple.
26
26
Sector Distribution
So San Francisco Mid-Term (Chandler) Portfolio
July 31, 2016 April 30, 2016
The portfolio sector allocation changed modestly as the Corporate and Asset Backed sectors increased 3.6% and 0.9%,
respectively, while the Agency sector decreased 6.3%. These changes represent the slow transition towards an
allocation of newly approved asset classes.
27
27
Issuers
28
28
Quality Distribution
So San Francisco Mid-Term (Chandler) Portfolio
AAA AA A <A NR
7/31/16 12.7 %74.0 %10.6 %0.0 %2.6 %
4/30/16 10.5 %78.3 %9.3 %0.0 %1.9 %
Source: S&P Ratings
July 31, 2016 vs. April 30, 2016
4/30/167/31/16
29
29
Duration Distribution
So San Francisco Mid-Term (Chandler) Portfolio
Portfolio Compared to the Benchmark as of July 31, 2016
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
Portfolio 0.8 %1.1 %9.4 %20.3 %31.8 %21.8 %14.9 %0.0 %
Benchmark*1.2 %0.1 %4.2 %30.6 %26.4 %22.3 %15.1 %0.0 %
* BAML 1-5 Yr US Treasury/Agency Index
Financial markets have calmed after the United Kingdom voted to exit the European Union. The unknown path to
resolution and potential impairments to global growth will still provide opportunities for volatility in the future. The Fed did
not raise rates at their July meeting citing the unknown ramifications from Brexit and inconclusive economic data. Given
the current international angst and very accommodative monetary policy by international central banks, we feel it will be
hard for the Fed to carry out their forecast of raising rates in the near term. We anticipate keeping the duration close to
benchmark, extending the portfolio opportunistically to the strategy target.
30
30
Investment Performance
Annualized
3 months 12 months 2 years 3 years 5 years 10 years Since Inception
So San Francisco Mid-Term (Chandler) Portfolio 0.77 %2.41 %2.07 %1.69 %1.33 %N/A 1.91 %
BAML 1-5 Yr US Treasury/Agency Index 0.76 %2.16 %1.97 %1.56 %1.27 %N/A 1.73 %
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.
So San Francisco Mid-Term (Chandler) Portfolio
Period Ending
July 31, 2016
Total Rate of Return
Annualized Since Inception
March 31, 2009
31
31
Account Profile
So San Francisco Liquidity Portfolio
07/31/2016 04/30/2016
Benchmark*Portfolio Portfolio
Average Maturity (yrs)0.41 0.00 0.00
Modified Duration 0.41 0.00 0.00
Average Purchase Yield n/a 0.48 %0.48 %
Average Market Yield 0.33 %0.48 %0.48 %
Average Quality**AAA AAA/Aaa AAA/Aaa
Total Market Value 22,411,624 44,356,317
* BAML 6-Month US Treasury Bill Index
** Benchmark is a blended rating of S&P, Moody's, and Fitch. Portfolio is S&P and Moody's respectively.
Portfolio Characteristics
32
32
Sector Distribution
So San Francisco Liquidity Portfolio
July 31, 2016 April 30, 2016
33
33
SECTION 4
Consolidated Information
34
34
Account Profile
So. San Francisco Consolidated Portfolio
07/31/2016 04/30/2016
Portfolio Portfolio
2.16 1.67
1.99 1.55
1.24 %1.06 %
0.85 %0.83 %
AA+/Aa1 AA+/Aa1
Average Maturity (yrs)
Modified Duration
Average Purchase Yield
Average Market Yield
Average Quality
Total Market Value 100,103,718 121,455,912
Portfolio Characteristics
35
35
Sector Distribution
So. San Francisco Consolidated Portfolio
July 31, 2016 April 30, 2016
36
36
SECTION 5
Portfolio Holdings
37
Holdings Report
As of 7/31/16
So San Francisco Mid-Term (Chandler) Portfolio
Account #10059
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
89231TAB6 Toyota Auto Receivables Owner 2015-C
0.92% Due 2/15/2018
305,068.73 08/18/2015
0.93 %
305,044.20
305,053.45
100.00
0.91 %
305,080.32
124.74
0.39 %
26.87
Aaa / AAA
NR
1.55
0.31
43814HAC2 Honda Auto Receivables 2014-3 A3
0.88% Due 6/15/2018
517,375.37 08/28/2015
1.00 %
516,708.44
517,035.06
99.98
0.93 %
517,254.30
202.35
0.67 %
219.24
NR / AAA
AAA
1.87
0.47
43814NAB1 Honda Auto Receivables 2016-1 A2
1.01% Due 6/18/2018
600,000.00 02/16/2016
1.02 %
599,940.06
599,951.28
100.01
1.00 %
600,034.20
218.83
0.77 %
82.92
NR / AAA
AAA
1.88
0.64
161571GC2 Chase CHAIT Pool #2013-A8
1.01% Due 10/15/2018
600,000.00 09/03/2015
0.95 %
600,820.31
600,580.78
100.03
0.86 %
600,172.80
269.33
0.77 %
(407.98)
Aaa / AAA
AAA
2.21
0.20
477877AD6 John Deere Owner Trust 2014-B A3
1.07% Due 11/15/2018
774,058.75 12/09/2015
1.44 %
771,156.03
772,111.20
100.02
1.04 %
774,209.69
368.11
1.00 %
2,098.49
Aaa / NR
AAA
2.29
0.57
89236WAC2 Toyota Auto Receivables Owner 2015-A
1.12% Due 2/15/2019
800,000.00 11/17/2015
1.32 %
798,375.00
798,881.57
100.10
1.00 %
800,777.60
398.22
1.03 %
1,896.03
Aaa / AAA
NR
2.55
0.79
47788NAB4 John Deere Owner Trust 2016-B A2
1.09% Due 2/15/2019
695,000.00 07/19/2016
1.10 %
694,957.61
694,957.84
99.99
1.10 %
694,957.61
84.17
0.89 %
(0.23)
Aaa / NR
AAA
2.55
1.07
43813NAC0 Honda Auto Receivables 2015-2 A3
1.04% Due 2/21/2019
895,000.00 12/08/2015
1.46 %
889,930.66
890,946.26
100.00
1.04 %
895,036.70
258.56
1.15 %
4,090.44
NR / AAA
AAA
2.56
0.91
161571GP3 Chase CHAIT Pool #2014-A6
1.26% Due 7/15/2019
450,000.00 06/29/2016
0.91 %
451,617.19
451,481.72
100.28
0.97 %
451,237.95
252.00
0.58 %
(243.77)
Aaa / AAA
AAA
2.96
0.94
47788MAC4 John Deere Owner Trust 2016-A A3
1.36% Due 4/15/2020
585,000.00 02/23/2016
1.37 %
584,907.92
584,917.22
100.28
1.21 %
586,647.95
353.60
0.76 %
1,730.73
Aaa / NR
AAA
3.71
1.80
Total ABS 6,221,502.85 1.19 %
6,213,457.42
6,215,916.38 1.02 %
6,225,409.12
2,529.91
8.02 %
9,492.74
Aaa / AAA
Aaa
2.45
0.80
AGENCY
3133782N0 FHLB Note
0.875% Due 3/10/2017
1,350,000.00 06/04/2013
0.80 %
1,353,591.00
1,350,577.59
100.21
0.53 %
1,352,802.60
4,626.56
1.75 %
2,225.01
Aaa / AA+
AAA
0.61
0.60
3133ECKC7 FFCB Note
0.65% Due 3/28/2017
1,000,000.00 04/18/2013
0.63 %
1,000,850.00
1,000,141.57
100.04
0.58 %
1,000,449.00
2,220.83
1.29 %
307.43
Aaa / AA+
AAA
0.66
0.65
3133ECKV5 FFCB Note
0.7% Due 6/5/2017
400,000.00 04/18/2013
0.66 %
400,672.00
400,137.62
100.06
0.63 %
400,234.80
435.56
0.52 %
97.18
Aaa / AA+
AAA
0.85
0.84
313379FW4 FHLB Note
1% Due 6/9/2017
1,000,000.00 06/27/2012
0.99 %
1,000,440.00
1,000,075.97
100.29
0.66 %
1,002,885.00
1,444.44
1.29 %
2,809.03
Aaa / AA+
AAA
0.86
0.85
3135G0PQ0 FNMA Note
0.875% Due 10/26/2017
1,000,000.00 06/07/2013
1.09 %
990,780.00
997,399.49
100.22
0.70 %
1,002,171.00
2,309.03
1.29 %
4,771.51
Aaa / AA+
AAA
1.24
1.23
313381B20 FHLB Note
0.75% Due 12/8/2017
1,400,000.00 12/26/2012
0.86 %
1,392,804.00
1,398,032.75
100.02
0.73 %
1,400,289.80
1,545.83
1.80 %
2,257.05
Aaa / AA+
AAA
1.36
1.34
3137EADN6 FHLMC Note
0.75% Due 1/12/2018
1,450,000.00 05/02/2013
0.74 %
1,450,638.00
1,450,196.79
100.04
0.72 %
1,450,536.50
573.96
1.87 %
339.71
Aaa / AA+
AAA
1.45
1.44
3135G0TG8 FNMA Note
0.875% Due 2/8/2018
1,000,000.00 06/07/2013
1.18 %
986,350.00
995,546.13
100.22
0.73 %
1,002,228.00
4,204.86
1.30 %
6,681.87
Aaa / AA+
AAA
1.53
1.50
Chandler Asset Management - CONFIDENTIAL Execution Time: 9/2/2016 10:53:38 AM 38
Holdings Report
As of 7/31/16
So San Francisco Mid-Term (Chandler) Portfolio
Account #10059
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
313378A43 FHLB Note
1.375% Due 3/9/2018
1,450,000.00 05/02/2013
0.79 %
1,490,252.00
1,463,296.12
100.93
0.79 %
1,463,473.40
7,864.24
1.89 %
177.28
Aaa / AA+
AAA
1.61
1.58
3135G0WJ8 FNMA Note
0.875% Due 5/21/2018
1,700,000.00 Various
1.12 %
1,682,079.00
1,692,708.24
100.21
0.76 %
1,703,549.60
2,892.36
2.20 %
10,841.36
Aaa / AA+
AAA
1.81
1.79
313379DT3 FHLB Note
1.25% Due 6/8/2018
1,300,000.00 06/04/2013
1.22 %
1,302,197.00
1,300,814.24
100.81
0.81 %
1,310,536.50
2,392.36
1.69 %
9,722.26
Aaa / AA+
AAA
1.85
1.83
3135G0YM9 FNMA Note
1.875% Due 9/18/2018
1,400,000.00 01/30/2014
1.60 %
1,417,122.00
1,407,877.54
102.29
0.79 %
1,432,016.60
9,697.92
1.86 %
24,139.06
Aaa / AA+
AAA
2.13
2.08
880591EQ1 Tennessee Valley Authority Note
1.75% Due 10/15/2018
1,215,000.00 11/06/2015
1.38 %
1,227,951.90
1,224,735.09
102.09
0.79 %
1,240,393.50
6,260.63
1.60 %
15,658.41
Aaa / AA+
AAA
2.21
2.15
3135G0YT4 FNMA Note
1.625% Due 11/27/2018
1,600,000.00 01/30/2014
1.67 %
1,596,720.00
1,598,420.53
101.88
0.81 %
1,630,115.20
4,622.22
2.10 %
31,694.67
Aaa / AA+
AAA
2.33
2.27
3137EADG1 FHLMC Note
1.75% Due 5/30/2019
2,000,000.00 06/01/2015
1.37 %
2,029,460.00
2,020,852.35
102.50
0.86 %
2,049,916.00
5,930.56
2.65 %
29,063.65
Aaa / AA+
AAA
2.83
2.76
3135G0ZE6 FNMA Note
1.75% Due 6/20/2019
1,650,000.00 06/20/2014
1.82 %
1,644,291.00
1,646,702.37
102.50
0.87 %
1,691,203.80
3,288.54
2.18 %
44,501.43
Aaa / AA+
AAA
2.89
2.81
3137EADK2 FHLMC Note
1.25% Due 8/1/2019
1,600,000.00 09/12/2014
1.89 %
1,552,384.00
1,570,724.58
101.04
0.90 %
1,616,587.20
10,000.00
2.09 %
45,862.62
Aaa / AA+
AAA
3.00
2.92
3135G0ZG1 FNMA Note
1.75% Due 9/12/2019
1,600,000.00 09/12/2014
1.94 %
1,585,888.00
1,591,198.39
102.57
0.91 %
1,641,163.20
10,811.11
2.13 %
49,964.81
Aaa / AA+
AAA
3.12
3.01
313383VN8 FHLB Note
2% Due 9/13/2019
1,850,000.00 02/23/2015
1.62 %
1,880,414.00
1,870,824.99
103.16
0.97 %
1,908,513.65
14,183.33
2.47 %
37,688.66
Aaa / AA+
AAA
3.12
3.00
3137EADM8 FHLMC Note
1.25% Due 10/2/2019
1,850,000.00 02/23/2015
1.63 %
1,819,012.50
1,828,671.90
101.07
0.91 %
1,869,798.70
7,644.10
2.42 %
41,126.80
Aaa / AA+
AAA
3.17
3.09
3135G0ZY2 FNMA Note
1.75% Due 11/26/2019
1,650,000.00 12/11/2014
1.76 %
1,649,356.50
1,649,569.10
102.61
0.95 %
1,693,017.15
5,213.54
2.19 %
43,448.05
Aaa / AA+
AAA
3.32
3.22
313383HU8 FHLB Note
1.75% Due 6/12/2020
1,750,000.00 09/17/2015
1.73 %
1,751,242.50
1,751,013.98
102.65
1.05 %
1,796,326.00
4,168.40
2.32 %
45,312.02
Aaa / AA+
NR
3.87
3.73
3135G0F73 FNMA Note
1.5% Due 11/30/2020
1,750,000.00 12/03/2015
1.89 %
1,717,345.00
1,721,661.98
101.76
1.08 %
1,780,863.00
4,447.92
2.30 %
59,201.02
Aaa / AA+
AAA
4.34
4.18
3130A7CV5 FHLB Note
1.375% Due 2/18/2021
1,295,000.00 02/17/2016
1.46 %
1,289,768.20
1,290,240.69
101.05
1.14 %
1,308,658.37
8,062.27
1.69 %
18,417.68
Aaa / AA+
AAA
4.56
4.37
3135G0K69 FNMA Note
1.25% Due 5/6/2021
1,700,000.00 07/22/2016
1.27 %
1,698,759.00
1,698,763.27
100.34
1.18 %
1,705,790.20
4,427.08
2.20 %
7,026.93
Aaa / AA+
AAA
4.77
4.60
3130A8QS5 FHLB Note
1.125% Due 7/14/2021
1,750,000.00 07/15/2016
1.30 %
1,735,072.50
1,735,187.20
99.64
1.20 %
1,743,619.50
929.69
2.25 %
8,432.30
Aaa / AA+
AAA
4.96
4.80
Total Agency 37,710,000.00 1.38 %
37,645,440.10
37,655,370.47 0.87 %
38,197,138.27
130,197.34
49.33 %
541,767.80
Aaa / AA+
Aaa
2.68
2.61
Chandler Asset Management - CONFIDENTIAL Execution Time: 9/2/2016 10:53:38 AM 39
Holdings Report
As of 7/31/16
So San Francisco Mid-Term (Chandler) Portfolio
Account #10059
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
CMO
3137B1AZ5 FHLMC K712 A2
1.869% Due 11/25/2019
1,600,000.00 05/24/2016
1.52 %
1,616,250.00
1,615,410.14
101.79
1.24 %
1,628,624.00
2,492.00
2.10 %
13,213.86
NR / AAA
NR
3.32
3.00
Total CMO 1,600,000.00 1.52 %
1,616,250.00
1,615,410.14 1.24 %
1,628,624.00
2,492.00
2.10 %
13,213.86
NR / AAA
NR
3.32
3.00
MONEY MARKET FUND FI
60934N807 Federated Prime Value Oblig Govt Oblig
Fund Inst.
57,453.95 Various
0.01 %
57,453.95
57,453.95
1.00
0.01 %
57,453.95
0.00
0.07 %
0.00
Aaa / AAA
AAA
0.00
0.00
Total Money Market Fund FI 57,453.95 0.01 %
57,453.95
57,453.95 0.01 %
57,453.95
0.00
0.07 %
0.00
Aaa / AAA
Aaa
0.00
0.00
SUPRANATIONAL
459058ER0 Intl. Bank Recon & Development Note
1% Due 10/5/2018
1,765,000.00 09/30/2015
1.06 %
1,761,999.50
1,762,819.56
100.33
0.85 %
1,770,873.92
5,687.22
2.29 %
8,054.36
Aaa / AAA
AAA
2.18
2.14
4581X0CD8 Inter-American Dev Bank Note
2.125% Due 11/9/2020
1,750,000.00 04/22/2016
1.49 %
1,798,755.00
1,795,874.96
103.93
1.18 %
1,818,836.25
8,470.49
2.35 %
22,961.29
Aaa / AAA
AAA
4.28
4.07
Total Supranational 3,515,000.00 1.27 %
3,560,754.50
3,558,694.52 1.01 %
3,589,710.17
14,157.71
4.64 %
31,015.65
Aaa / AAA
Aaa
3.24
3.12
US CORPORATE
89236TCA1 Toyota Motor Credit Corp Note
1.45% Due 1/12/2018
1,000,000.00 Various
1.43 %
1,000,445.00
1,000,302.05
100.54
1.07 %
1,005,394.00
765.28
1.30 %
5,091.95
Aa3 / AA-
A
1.45
1.43
40428HPH9 HSBC USA Inc Note
1.625% Due 1/16/2018
950,000.00 08/21/2015
1.75 %
947,207.00
948,296.72
99.98
1.64 %
949,797.65
643.23
1.22 %
1,500.93
A2 / A
AA-
1.46
1.43
674599CD5 Occidental Petroleum Callable Note Cont
1/15/18
1.5% Due 2/15/2018
985,000.00 Various
1.71 %
980,554.70
981,913.11
100.44
1.19 %
989,366.51
6,812.92
1.28 %
7,453.40
A3 / A
A
1.55
1.43
69371RM45 Paccar Financial Corp Note
1.45% Due 3/9/2018
650,000.00 11/30/2015
1.63 %
647,387.00
648,151.63
100.71
1.00 %
654,621.50
3,717.64
0.85 %
6,469.87
A1 / A+
NR
1.61
1.58
808513AK1 Charles Schwab Corp Callable Note
Cont 2/10/2018
1.5% Due 3/10/2018
600,000.00 12/09/2015
1.52 %
599,718.00
599,797.73
100.58
1.11 %
603,484.80
3,525.00
0.78 %
3,687.07
A2 / A
A
1.61
1.49
02665WAC5 American Honda Finance Note
2.125% Due 10/10/2018
950,000.00 08/13/2015
1.73 %
961,400.00
957,937.34
102.45
0.99 %
973,298.75
6,224.48
1.26 %
15,361.41
A1 / A+
NR
2.19
2.13
36962G7G3 General Electric Capital Corp Note
2.3% Due 1/14/2019
950,000.00 09/10/2015
1.93 %
961,305.00
958,323.16
103.07
1.03 %
979,148.85
1,031.81
1.26 %
20,825.69
A1 / AA+
NR
2.46
2.39
Chandler Asset Management - CONFIDENTIAL Execution Time: 9/2/2016 10:53:38 AM 40
Holdings Report
As of 7/31/16
So San Francisco Mid-Term (Chandler) Portfolio
Account #10059
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
US CORPORATE
17275RAR3 Cisco Systems Note
2.125% Due 3/1/2019
1,035,000.00 09/15/2015
1.93 %
1,041,706.80
1,040,010.16
102.72
1.05 %
1,063,145.79
9,164.06
1.38 %
23,135.63
A1 / AA-
NR
2.58
2.49
91159HHH6 US Bancorp Callable Note Cont
3/25/2019
2.2% Due 4/25/2019
950,000.00 01/22/2016
1.92 %
958,436.00
957,103.63
102.57
1.21 %
974,441.60
5,573.33
1.26 %
17,337.97
A1 / A+
AA
2.73
2.56
06406HCW7 Bank of New York Callable Note Cont
8/11/2019
2.3% Due 9/11/2019
950,000.00 09/30/2015
2.04 %
959,310.00
957,359.89
102.87
1.33 %
977,228.90
8,497.22
1.27 %
19,869.01
A1 / A
AA-
3.12
2.90
94974BGF1 Wells Fargo Corp Note
2.15% Due 1/30/2020
1,015,000.00 08/26/2015
2.36 %
1,005,936.05
1,007,824.14
102.03
1.55 %
1,035,577.10
60.62
1.33 %
27,752.96
A2 / A
AA-
3.50
3.37
594918BG8 Microsoft Callable Note Cont. 10/03/20
2% Due 11/3/2020
390,000.00 10/29/2015
2.02 %
389,688.00
389,734.45
102.73
1.33 %
400,627.50
1,906.67
0.52 %
10,893.05
Aaa / AAA
AA+
4.26
3.98
037833BS8 Apple Inc Callable Note Cont 1/23/2021
2.25% Due 2/23/2021
1,000,000.00 05/23/2016
1.97 %
1,012,710.00
1,012,218.90
103.18
1.53 %
1,031,799.00
9,875.00
1.34 %
19,580.10
Aa1 / AA+
NR
4.57
4.29
30231GAV4 Exxon Mobil Corp Callable Note Cont
2/1/2021
2.222% Due 3/1/2021
1,040,000.00 Various
1.97 %
1,051,832.75
1,051,331.53
103.10
1.52 %
1,072,283.68
9,500.28
1.39 %
20,952.15
Aaa / AA+
NR
4.59
4.32
857477AV5 State Street Bank Note
1.95% Due 5/19/2021
1,030,000.00 Various
1.99 %
1,027,954.40
1,028,033.57
101.58
1.61 %
1,046,291.51
4,017.00
1.35 %
18,257.94
A1 / A
AA-
4.80
4.55
Total US Corporate 13,495,000.00 1.87 %
13,545,590.70
13,538,338.01 1.29 %
13,756,507.14
71,314.54
17.80 %
218,169.13
A1 / AA-
AA-
2.86
2.72
US TREASURY
912828TM2 US Treasury Note
0.625% Due 8/31/2017
900,000.00 06/07/2013
0.90 %
889,772.54
897,381.82
100.00
0.62 %
900,035.10
2,353.94
1.16 %
2,653.28
Aaa / AA+
AAA
1.08
1.08
912828A34 US Treasury Note
1.25% Due 11/30/2018
1,700,000.00 01/30/2014
1.51 %
1,679,685.38
1,690,199.69
101.26
0.70 %
1,721,448.90
3,599.73
2.22 %
31,249.21
Aaa / AA+
AAA
2.33
2.29
912828B33 US Treasury Note
1.5% Due 1/31/2019
1,500,000.00 12/29/2015
1.40 %
1,504,458.15
1,503,608.41
101.92
0.72 %
1,528,828.50
61.14
1.97 %
25,220.09
Aaa / AA+
AAA
2.50
2.45
912828D23 US Treasury Note
1.625% Due 4/30/2019
1,725,000.00 12/02/2014
1.46 %
1,736,865.15
1,732,388.99
102.40
0.74 %
1,766,372.40
7,083.98
2.28 %
33,983.41
Aaa / AA+
AAA
2.75
2.68
912828WS5 US Treasury Note
1.625% Due 6/30/2019
1,500,000.00 04/30/2015
1.32 %
1,518,696.43
1,513,058.02
102.46
0.77 %
1,536,972.00
2,119.57
1.98 %
23,913.98
Aaa / AA+
AAA
2.92
2.85
912828G95 US Treasury Note
1.625% Due 12/31/2019
1,525,000.00 06/17/2015
1.62 %
1,525,005.11
1,525,003.85
102.61
0.85 %
1,564,852.83
2,154.89
2.02 %
39,848.98
Aaa / AA+
AAA
3.42
3.32
912828UL2 US Treasury Note
1.375% Due 1/31/2020
1,875,000.00 03/25/2015
1.34 %
1,877,789.48
1,877,011.83
101.76
0.86 %
1,908,031.88
70.06
2.46 %
31,020.05
Aaa / AA+
AAA
3.50
3.42
912828UV0 US Treasury Note
1.125% Due 3/31/2020
1,800,000.00 06/17/2015
1.67 %
1,754,865.41
1,765,451.90
100.91
0.87 %
1,816,383.60
6,805.33
2.35 %
50,931.70
Aaa / AA+
AAA
3.67
3.57
Chandler Asset Management - CONFIDENTIAL Execution Time: 9/2/2016 10:53:38 AM 41
Holdings Report
As of 7/31/16
So San Francisco Mid-Term (Chandler) Portfolio
Account #10059
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
US TREASURY
912828VF4 US Treasury Note
1.375% Due 5/31/2020
1,225,000.00 11/05/2015
1.63 %
1,211,318.56
1,213,524.98
101.76
0.91 %
1,246,533.05
2,853.31
1.61 %
33,008.07
Aaa / AA+
AAA
3.84
3.72
Total US Treasury 13,750,000.00 1.45 %
13,698,456.21
13,717,629.49 0.79 %
13,989,458.26
27,101.95
18.04 %
271,828.77
Aaa / AA+
Aaa
2.98
2.90
TOTAL PORTFOLIO 76,348,956.80 1.46 %
76,337,402.88
76,358,812.96 0.96 %
77,444,300.91
247,793.45
100.00 %
1,085,487.95
Aa1 / AA+
Aaa
2.79
2.57
TOTAL MARKET VALUE PLUS ACCRUED 77,692,094.36
Chandler Asset Management - CONFIDENTIAL Execution Time: 9/2/2016 10:53:38 AM 42