HomeMy WebLinkAbout02-20-2014 IOC Agenda PacketCity of San Luis Obispo
Investment Oversight Committee
Regular Quarterly Meeting
Agenda
San Luis Obispo County Library Thursday, February 20, 2014
Community Room 1:30 p.m.
995 Palm Street
San Luis Obispo, California
MISSION:
As set forth in the Investment Management Plan, this committee is responsible for
reviewing the City’s portfolio on an ongoing basis to determine compliance with
the City’s investment policies and for making recommendations to the City
Treasurer (Director of Finance and Information Technology) regarding investment
management practices.
MEMBER ROLL CALL: Mayor Marx; City Manager Lichtig; Assistant City Manager Codron;
Finance & IT Director/Treasurer Padilla; Finance Operations Manager Richardson; Steve
Barasch, public member
OTHERS PRESENT: Al Eschenbach, Independent Auditor and ex-officio member; Jayson Schmitt,
Chandler Investments
PUBLIC COMMENT: At this time, the public is invited to address the Committee concerning
items not on the agenda but are of interest to the public and within the subject matter
jurisdiction of the Investment Advisory Committee. Time limit is three minutes. The
Committee may not discuss or take action on issues that are not on the agenda other than to
briefly respond to statements made or questions raised, or to ask staff to follow up on such
issues.
ACTION ITEMS:
1. Approve the Investment Oversight Committee Meeting minutes of November 20, 2013.
2. Presentation of the Quarterly Report and Portfolio Performance
3. Review and Confirm Investment Policy Compliance
4. Set time and day for future Committee meetings
5. Items to be considered for the next meeting
6. Adjourn to next meeting
INVESTMENT OVERSIGHT COMMITTEE AGENDA – FEBRUARY 20, 2014 PAGE 2
AMERICANS WITH DISABILITIES ACT
The City of San Luis Obispo wishes to make all of its public meetings accessible to the
public. Upon request, this agenda will be made available in appropriate alternative formats to
persons with disabilities. Any person with a disability who requires a modification or
accommodation in order to participate in a meeting should direct such request to the City
Clerk’s Office at (805) 781-7100 at least 48 hours before the meeting, if possible.
Telecommunications Device for the Deaf (805) 781-7107.
Agenda related writings or documents provided to the Investment Advisory Committee are
available for public inspection in the Finance Department located at 990 Palm Street, San Luis
Obispo, during normal business hours. Persons with questions concerning any agenda item
may call the Finance Department at (805) 781-7125.
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
December 31, 2013
City of San Luis Obispo
TABLE OF CONTENTS
Economic Update
Account Profile
Consolidated Information
Portfolio Holdings
SECTION 1
SECTION 2
SECTION 3
SECTION 4
1
SECTION 1
Economic Update
2
Duringthepastthreemonths,theyieldcurvesteepenedwithspeculationaboutthetiming of Federal
Reserve's tapering, which was finally answered at the Fed's December meeting.
Economic Update
TheDecemberemploymentreportwasdisappointing,butunfavorableweathermayhave been a
contributingfactor.Nonfarmpayrolljobsgrewjust74,000 in December(vs.expectations of 200,000).
Averagenonfarmpayrollgrowthduringthefourthquarter of2013 wasabout172,000 per month,
comparedwithaveragemonthlygrowth of about167,000duringthethirdquarter of2013.The
unemploymentratedropped to 6.7%in Decemberfrom7.0%in November,butthedeclinewas
largelydriven by adecline in thelaborforce.Thelaborparticipationratefell to 62.8%in December,
matchingthelevel in Octoberwhichwasthelowestsince 1978.Meanwhilemanufacturing,housing,
andconsumerdatahas been mixed.Overall,we believetheeconomycontinues to beon aslow
growth trajectory driven by modest ongoing improvement in the labor market.
TheFOMC began taperingitsassetpurchases by$10 billion(evenlysplitbetweenTreasuriesand
MBSs)thismonth,afterannouncingthedecision to begintapering at theDecemberFOMCmeeting.
TheFedcontinues to purchaseMBSs at apace of$35 billion per month(downfrom $40 billion)and
longer-termTreasuries at apace of$40 billion per month(downfrom $45 billion).Thepathtoward
windingdownquantitativeeasingcontinues to be datadependent,and we believetheprocess of
unwindingwilllikelycontinue at asteadypacethroughoutmost of2014.However,if thenextlabor
reportforJanuary is equally as disappointing as December,it couldraisequestionsaboutthepath
theFedwilltaketowardunwindingquantitativeeasing.TheminutesfromtheDecemberFOMC
meetingindicatedthattherewasalreadysignificantdebateaboutthetimingandpace of tapering.
ThenextFOMCmeetingwill be held on January28-29.Eitherway,we expectthattheFedwill
continue to support economic growth with low policy rates throughout the coming year.
3
Employment
Source: U.S. Department of Labor
0
50
100
150
200
250
300
350
12
/
1
1
1/
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/
1
3
11
/
1
3
12
/
1
3
(0
0
0
'
s
)
Non-farm Payroll (000's)
6.0%
6.5%
7.0%
7.5%
8.0%
8.5%
9.0%
12
/
1
1
1/
1
2
2/
1
2
3/
1
2
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1
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12
/
1
3
Unemployment Rate
TheDecemberemploymentreportwasweakerthanexpected as payrollsrose by just74,000vs.the200,000
consensusestimate.Unfavorableweathermayhave been acontributingfactor.Theunemploymentrate
declined to 6.7%from7.0%,butthedeclinewaslargelydriven by adrop in thelaborparticipationrate.Net
revisionsforjobgrowth in OctoberandNovemberwere+38,000.Averagenonfarmpayrollgrowthduringthe
fourthquarter 2013 wasabout172,000 per month.Privatepayrollsincreased by 87,000 in Decemberwhile
government jobs contracted by 13,000.
4
Consumer
Source: U.S. Department of Commerce Source: Federal Reserve
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
11
/
1
1
1/
1
2
3/
1
2
5/
1
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7/
1
2
9/
1
2
11
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1/
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3
3/
1
3
5/
1
3
7/
1
3
9/
1
3
11
/
1
3
Retail Sales Y-O-Y % Change
0
5
10
15
20
25
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2
3/
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5/
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Do
l
l
a
r
(
$
)
B
i
l
l
i
o
n
s
Consumer Credit
In November,RetailSalesrose4.7%on ayear-over-yearbasis up from4.1%in October.On amonth-over-
monthbasis,RetailSalesrose0.7%in Novemberwhichexceededtheconsensusforecast.ConsumerCredit
rose by $12.3billion in Novemberversusagain of $17.9billion in October.Revolvingcredit(mostlycredit
cards) expanded by $0.5 billion but most of the gain was driven by the non-revolving component.
5
Broad Measures
Source: US Department of Commerce Source: The Conference Board
0
100
200
300
400
500
600
700
800
11
/
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1
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11
/
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(0
0
0
'
s
)
Starts -Single Family Housing
-0.8%
-0.6%
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
11
/
1
1
1/
1
2
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5/
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/
1
3
Leading Economic Indicators
Single-familyhousingstartsjumped20.8%in Novemberafterrising3.8%in October.Housingstartshave
recentlyregainedsomemomentum.Theindex of LeadingEconomicIndicators(LEI)rose0.8%in November
following a 0.1% gain in October. Overall, the LEI index continues to point to modest economic growth.
6
Manufacturing
Source: Institute for Supply Management Source: Federal Reserve
0.23
0.33
0.43
0.53
0.63
0.73
0.83
0.93
45.0
47.5
50.0
52.5
55.0
57.5
60.0
12
/
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1
3
10
/
1
3
12
/
1
3
Institute of Supply Management
Purchasing Manager Index
Expanding
Contracting
76.0%
76.5%
77.0%
77.5%
78.0%
78.5%
79.0%
79.5%
11
/
1
1
1/
1
2
3/
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11
/
1
3
Capacity Utilization
DuringDecember,theISMManufacturingIndexdecreased to 57.0from57.3 in November.A
readingabove50.0 is viewed as expansionary in themanufacturingsector,whileareadingbelow
50.0suggestscontraction in themanufacturingsector.CapacityUtilization,which is production
divided by capacity,edged up in November to 79.0%from78.2%in October.TheCapacity
Utilization rate remains below the long-run average of 80.2% (1972-2012).
7
Inflation
Source: US Department of Labor
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
11
/
1
1
1/
1
2
3/
1
2
5/
1
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7/
1
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9/
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3/
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5/
1
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7/
1
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9/
1
3
11
/
1
3
CPI Y-O-Y % Change
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
11
/
1
1
1/
1
2
3/
1
2
5/
1
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3/
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5/
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1
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9/
1
3
11
/
1
3
Core CPI Y-O-Y % Change
In November,overallCPIinflationroseslightly to 1.2%on ayear-over-yearbasisfrom1.0%in October.The
year-over-yearCoreCPI(CPIlessfoodandenergy)wasunchanged at 1.7%.Thecoreinflationrate is still
trending below the Fed’s long-term goal of 2.0% and remains below the trigger rate for policy action of 2.5%.
8
GDP
Source: U.S. Department of Commerce
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
3/
1
0
6/
1
0
9/
1
0
12
/
1
0
3/
1
1
6/
1
1
9/
1
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12
/
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6/
1
2
9/
1
2
12
/
1
2
3/
1
3
6/
1
3
9/
1
3
GDP Qtrly % Change
ThefinalestimateforrealannualizedGDPgrowthforthethirdquarter of2013 was4.1%.Thisfollowsthe
secondquarterGDPgrowth of 2.5%.Inventoryaccumulationduringthethirdquartermayweigh on fourth
quarter growth.
9
The yield on the two-year Treasury note increased during December. Rates have been somewhat volatile as
market participants have reacted to economic data releases and speculation about the timing of the Federal
Reserve's tapering policy.
Interest Rates
Source: Bloomberg
Yield on the Two-Year Note
December 2011 through December 2013
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
0.35%
0.40%
0.45%
D
e
c
-
1
1
J
a
n
-
1
2
Fe
b
-
1
2
Ma
r
-
1
2
Ap
r
-
1
2
Ma
y
-
1
2
J
u
n
-
1
2
J
u
l
-
1
2
Au
g
-
1
2
Se
p
-
1
2
Oc
t
-
1
2
N
o
v
-
1
2
D
e
c
-
1
2
J
a
n
-
1
3
Fe
b
-
1
3
Ma
r
-
1
3
Ap
r
-
1
3
Ma
y
-
1
3
J
u
n
-
1
3
J
u
l
-
1
3
Au
g
-
1
3
Se
p
-
1
3
Oc
t
-
1
3
N
o
v
-
1
3
D
e
c
-
1
3
10
During the past three months, the yield curve steepened with speculation about the timing of Federal Reserve's
tapering, which was finally answered at the Fed's December meeting.
Yield Curves
Source: Bloomberg
September 30, 2013andDecember 31, 2013
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
3
M
o
6
M
o
2
Y
r
5
Y
r
10
Y
r
30
Y
r
9/30/13 12/31/13
11
SECTION 2
ACCOUNT PROFILE
12
Chandler Asset Management
Performance Objectives
Strategy
Investment Objectives
OBJECTIVES
The investment objectives of the City of San Luis Obispo are first, to provide
safety of principal to ensure the preservation of capital in the overall portfolio;
second, to provide sufficient liquidity to meet all operating requirements; and
third, to earn a commensurate rate of return consistent with the constraints
imposed by the safety and liquidity objectives.
The performance objective for the portfolio is to earn a total rate of return over a
market cycle that equals or exceeds the market index, the BofA Merrill Lynch
Index of 0-5 Treasury securities.
In order to achieve this objective, the portfolio invests in high-quality money
market instruments, US Tre asury securities, Agency securities, and high-grade
corporate securities, with a maximum maturity of five years.
13
COMPLIANCE
Category Standard Comment
Treasury Bills and Notes No Limitations Complies
Gov't. Sponsored EnterprisesAAA rated GSEs only Complies
Commercial Paper ≥ A-1/P1/F1 rated; 25% maximum; 5% per
issuer; <270 days maturity
Complies
Corporate Obligations ≥ Aa3/AA- by one rating organization; 30%
maximum; 5% per issuer
Complies
Banker’s Acceptances 40% maximum; 5% per issuer; <180 days
maturity
Complies
Repurchase Agreements Not used by investment adviser Complies
Local Gov't. Investment Pools Not used by investment adviser Complies
Neogtiable CDs 30% maximum; 5% per issuer Complies
Time Deposits Not used by investment adviser Complies
Money Market Funds AAA/Aaa rated; no-load funds only; 20%
maximum; 10% per issuer
Complies
Inverse floaters, range notes Prohibited Complies
Interest only strips Prohibited Complies
Zero interest accruals Prohibited Complies
% maturing less than 90 days 5% minimum Complies
Maximum maturity of corporate 5 years Complies
Maximum maturity 10 years; 10% maximum of portfolio in Treasury
and GSE obligations with maturity > 5 years
Complies
City of San Luis Obispo
December 31, 2013
COMPLIANCE WITH INVESTMENT POLICY
Assets managed by Chandler Asset Management are in full compliance with California State law and with
the City's investment management plan.
14
ACCOUNT PROFILE
Total Market Value 46,680,571 46,627,808
Modified Duration 2.15 2.01 2.18
Average Quality**AAA AA+/Aaa AA+/Aaa
Average Market Yield 0.61 %0.59 %0.58 %
Average Purchase Yield n/a 1.22 %1.23 %
Benchmark*Portfolio Portfolio
Average Maturity (yrs)2.23 2.05 2.25
* 0-5 yr Treasury
** Benchmark is a blended rating of S&P, Moody's, and Fitch. Portfolio is S&P and Moody's respectively.
City of San Luis Obispo
12/31/2013 09/30/2013
PORTFOLIO CHARACTERISTICS
During the last three months, portfolio activity included the re-investment of a maturity in order to maintain the desired
portfolio strategy and structure. Recent purchases include a US Agency security maturing in September 2016.
15
SECTOR DISTRIBUTION
City of San Luis Obispo
December 31, 2013 September 30, 2013
The portfolio sector allocation changed modestly as we increased our holdings in Treasuries by 1.6% and decreased the
Agency sector by 1.6%.
16
QUALITY DISTRIBUTION
City of San Luis Obispo
9/30/13 4.4 %95.6 %0.0 %0.0 %0.0 %
12/31/13 4.5 %95.5 %0.0 %0.0 %0.0 %
Source: S&P Ratings
AAA AA A <A NR
December 31, 2013 vs. September 30, 2013
9/30/1312/31/13
17
DURATION DISTRIBUTION
City of San Luis Obispo
Portfolio Compared to the Benchmark as of December 31, 2013
Benchmark*6.8 %5.8 %12.0 %23.4 %22.8 %17.9 %11.4 %0.0 %
Portfolio 4.6 %3.5 %12.2 %26.8 %31.9 %21.1 %0.0 %0.0 %
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
* 0-5 yr Treasury
The average duration of the portfolio remained about equal to the benchmark’s duration. The markets continue to be
volatile as participants try to anticipate when the Federal Reserve will start unwinding their Quantitative Easing program
by reducing the amount of its monthly bond purchases. We still anticipate keeping the duration of the portfolio close to
the 0-5 Year Treasury benchmark in coming quarters.
18
INVESTMENT PERFORMANCE
0-5 yr Treasury -0.08 %-0.11 %0.32 %1.10 %1.32 %N/A 2.15 %
City of San Luis Obispo 0.11 %0.16 %0.65 %1.24 %1.80 %N/A 2.58 %
Annualized
3 months 12 months 2 years 3 years 5 years 10 years Since Inception
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.
City of San Luis Obispo
Period Ending
December 31, 2013
Total Rate of Return
Annualized Since Inception
May 31, 2008
19
ACCOUNT PROFILE
Total Market Value 37,290,147 25,555,529
Modified Duration 0.09 0.11
Average QualityAA+/Aaa AA+/Aaa
Average Market Yield 0.21 %0.18 %
Average Purchase Yield 0.44 %0.52 %
Portfolio Portfolio
Average Maturity (yrs)0.10 0.12
City of San Luis Obispo Internal
12/31/2013 09/30/2013
PORTFOLIO CHARACTERISTICS
20
SECTOR DISTRIBUTION
City of San Luis Obispo Internal
December 31, 2013 September 30, 2013
21
SECTION 3
CONSOLIDATED INFORMATION
22
2222
COMPLIANCE
Category Standard Comment
Treasury Bills and Notes No Limitations Complies
Gov't. Sponsored EnterprisesAAA rated GSEs only Complies
Commercial Paper ≥ A-1/P1/F1 rated; 25% maximum; 5% per
issuer; <270 days maturity
Complies
Corporate Obligations ≥ Aa3/AA- by one rating organization; 30%
maximum; 5% per issuer
Complies
Banker’s Acceptances 40% maximum; 5% per issuer; <180 days
maturity
Complies
Repurchase Agreements Not used by investment adviser Complies
Local Gov't. Investment Pools Not used by investment adviser Complies
Neogtiable CDs 30% maximum; 5% per issuer Complies
Time Deposits Not used by investment adviser Complies
Money Market Funds AAA/Aaa rated; no-load funds only; 20%
maximum; 10% per issuer
Complies
Inverse floaters, range notes Prohibited Complies
Interest only strips Prohibited Complies
Zero interest accruals Prohibited Complies
One-Year Liquidity Constraint Minimum of 20% of the portfolio must be
invested in securities maturing in one year
Complies
Operating Budget Constraint Minimum 25% of budgeted operating
expenditures ($21.4 Million) in short-term
investments (90 days or less)
Complies
Maximum maturity of corporate 5 years Complies
Maximum maturity 10 years; 10% maximum of portfolio in Treasury
and GSE obligations with maturity > 5 years
Complies
Objectives Safety, Liquidity & Yield Complies
City of San Luis Obispo
December 31, 2013
COMPLIANCE WITH INVESTMENT POLICY
Assets managed by Chandler Asset Management are in full compliance with California State law and with
the City's investment management plan.
23
2323
ACCOUNT PROFILE
Total Market Value 83,970,718 72,183,337
Modified Duration 1.16 1.45
Average QualityAA+/Aaa AA+/Aaa
Average Market Yield 0.42 %0.44 %
Average Purchase Yield 0.88 %0.98 %
Portfolio Portfolio
Average Maturity (yrs)1.18 1.50
City of San Luis Obispo Consolidated
12/31/2013 09/30/2013
PORTFOLIO CHARACTERISTICS
24
SECTOR DISTRIBUTION
City of San Luis Obispo Consolidated
December 31, 2013 September 30, 2013
25
SECTION 3
PORTFOLIO HOLDINGS
26
ISSUERS
27
ISSUERS
28
ISSUERS
29
Chandler Asset Management - CONFIDENTIAL Execution Time: 1/21/2014 11:50:34 AM
880591DY5 Tennessee Valley Authority Note
4.375% Due 6/15/2015
1,050,000.00 06/14/2011
1.46 %
1,168,386.45
1,168,386.45
105.69
0.45 %
1,109,749.20
2,041.67
2.38 %
(58,637.25)
Aaa
AA+
1.45
1.42
313372XB5 FHLB Note
2.125% Due 6/30/2015
900,000.00 05/26/2011
1.49 %
922,752.00
922,752.00
102.55
0.41 %
922,993.20
53.13
1.98 %
241.20
Aaa
AA+
1.50
1.48
3133EADW5 FFCB Note
0.55% Due 8/17/2015
1,000,000.00 04/27/2012
0.60 %
998,511.00
998,511.00
100.12
0.48 %
1,001,210.00
2,047.22
2.15 %
2,699.00
Aaa
AA+
1.63
1.62
31331KFS4 FFCB Note
1.67% Due 3/24/2015
1,000,000.00 07/21/2011
1.18 %
1,017,410.00
1,017,410.00
101.72
0.27 %
1,017,241.00
4,499.72
2.19 %
(169.00)
Aaa
AA+
1.23
1.22
31331KLE8 FFCB Note
1.6% Due 5/18/2015
230,000.00 07/20/2011
1.28 %
232,702.50
232,702.50
101.77
0.31 %
234,073.53
439.56
0.50 %
1,371.03
Aaa
AA+
1.38
1.37
3135G0KM4 FNMA Note
0.5% Due 5/27/2015
1,300,000.00 08/24/2012
0.43 %
1,302,392.00
1,302,392.00
100.27
0.31 %
1,303,445.00
613.89
2.79 %
1,053.00
Aaa
AA+
1.40
1.40
31331J6C2 FFCB Note
2.35% Due 12/22/2015
580,000.00 03/28/2011
2.27 %
582,099.60
582,099.60
103.81
0.41 %
602,115.40
340.75
1.29 %
20,015.80
Aaa
AA+
1.98
1.94
3135G0NV1 FNMA Note
0.5% Due 9/28/2015
650,000.00 06/27/2013
0.50 %
650,026.00
650,026.00
100.18
0.40 %
651,148.55
839.58
1.40 %
1,122.55
Aaa
AA+
1.74
1.73
31331J2S1 FFCB Note
1.5% Due 11/16/2015
402,000.00 03/25/2011
2.20 %
389,640.91
389,640.91
102.13
0.36 %
410,580.69
753.75
0.88 %
20,939.78
Aaa
AA+
1.88
1.85
313380L96 FHLB Note
0.5% Due 11/20/2015
700,000.00 06/27/2013
0.53 %
699,447.00
699,447.00
100.13
0.43 %
700,882.00
398.61
1.50 %
1,435.00
Aaa
AA+
1.89
1.87
3137EACB3 FHLMC Note
2.5% Due 4/23/2014
375,000.00 07/28/2009
2.81 %
369,842.25
369,842.25
100.74
0.12 %
377,773.50
1,770.83
0.81 %
7,931.25
Aaa
AA+
0.31
0.31
3137EACD9 FHLMC Note
3% Due 7/28/2014
1,250,000.00 03/18/2010
2.38 %
1,282,096.25
1,282,096.25
101.60
0.21 %
1,270,005.00
15,937.50
2.75 %
(12,091.25)
Aaa
AA+
0.57
0.57
31398AVZ2 FNMA Note
2.75% Due 3/13/2014
550,000.00 06/03/2009
2.67 %
551,973.95
551,973.95
100.52
0.17 %
552,840.20
4,537.50
1.19 %
866.25
Aaa
AA+
0.20
0.20
31331KCR9 FFCB Note
2.05% Due 2/18/2015
400,000.00 07/26/2011
1.23 %
411,440.00
411,440.00
102.05
0.24 %
408,182.00
3,029.44
0.88 %
(3,258.00)
Aaa
AA+
1.13
1.11
31398AVD1 FNMA Note
2.75% Due 2/5/2014
350,000.00 Various
2.44 %
354,785.27
354,785.27
100.24
0.21 %
350,840.00
3,903.48
0.76 %
(3,945.27)
Aaa
AA+
0.10
0.09
3133XVNU1 FHLB Note
2.75% Due 12/12/2014
1,200,000.00 03/09/2010
2.57 %
1,209,304.80
1,209,304.80
102.42
0.19 %
1,229,046.00
1,741.67
2.64 %
19,741.20
Aaa
AA+
0.95
0.94
3137EACH0 FHLMC Note
2.875% Due 2/9/2015
1,225,000.00 03/09/2010
2.63 %
1,238,784.93
1,238,784.93
102.92
0.22 %
1,260,825.13
13,891.84
2.73 %
22,040.20
Aaa
AA+
1.11
1.08
31398AZV7 FNMA Note
2.625% Due 11/20/2014
950,000.00 11/20/2009
2.43 %
958,573.75
958,573.75
102.19
0.15 %
970,777.45
2,840.10
2.09 %
12,203.70
Aaa
AA+
0.89
0.88
3137EACV9 FHLMC Note
1% Due 8/27/2014
1,050,000.00 07/19/2011
0.89 %
1,053,522.75
1,053,522.75
100.58
0.11 %
1,056,105.75
3,616.67
2.27 %
2,583.00
Aaa
AA+
0.65
0.65
31331GL80 FFCB Note
3% Due 9/22/2014
1,100,000.00 Various
2.57 %
1,121,054.30
1,121,054.30
102.05
0.17 %
1,122,562.10
9,075.00
2.42 %
1,507.80
Aaa
AA+
0.73
0.72
AGENCY
Holdings Report
As of 12/31/13
City of San Luis Obispo
Account #10023
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
Maturity
Duration
Chandler Asset Management - CONFIDENTIAL Execution Time: 1/21/2014 11:50:34 AM
261941108 Dreyfus Treas PR Cash Mgt Inst Money
Market Fund
174,158.49 Various
0.00 %
174,158.49
174,158.49
1.00
0.00 %
174,158.49
0.00
0.37 %
0.00
Aaa
AAA
0.00
0.00
MONEY MARKET FUND FI
313379DD8 FHLB Note
1% Due 6/21/2017
700,000.00 11/26/2012
0.70 %
709,478.00
709,478.00
99.69
1.09 %
697,816.70
194.44
1.50 %
(11,661.30)
Aaa
AA+
3.47
3.40
3136FPYB7 FNMA Callable Note 1X 5/23/2011
2.05% Due 5/23/2017
365,000.00 08/07/2012
0.89 %
384,739.20
384,739.20
102.34
1.34 %
373,550.49
789.82
0.80 %
(11,188.71)
Aaa
AA+
3.39
3.27
3137EADH9 FHLMC Note
1% Due 6/29/2017
910,000.00 Various
0.83 %
917,260.60
917,260.60
99.40
1.18 %
904,541.82
50.56
1.94 %
(12,718.78)
Aaa
AA+
3.50
3.42
3137EADL0 FHLMC Note
1% Due 9/29/2017
950,000.00 01/04/2013
0.89 %
954,788.00
954,788.00
98.83
1.32 %
938,872.65
2,427.78
2.02 %
(15,915.35)
Aaa
AA+
3.75
3.65
3137EADJ5 FHLMC Note
1% Due 7/28/2017
900,000.00 11/26/2012
0.80 %
908,316.00
908,316.00
99.37
1.18 %
894,315.60
3,825.00
1.92 %
(14,000.40)
Aaa
AA+
3.58
3.49
3137EADF3 FHLMC Note
1.25% Due 5/12/2017
500,000.00 10/17/2012
0.82 %
509,635.00
509,635.00
100.69
1.04 %
503,429.00
850.69
1.08 %
(6,206.00)
Aaa
AA+
3.36
3.28
313373SZ6 FHLB Note
2.125% Due 6/10/2016
1,000,000.00 06/20/2011
1.84 %
1,013,460.00
1,013,460.00
103.64
0.62 %
1,036,392.00
1,239.58
2.22 %
22,932.00
Aaa
AA+
2.44
2.38
3133834R9 FHLB Note
0.375% Due 6/24/2016
700,000.00 06/27/2013
0.77 %
691,817.00
691,817.00
99.66
0.51 %
697,624.90
51.04
1.49 %
5,807.90
Aaa
AA+
2.48
2.46
313370TW8 FHLB Note
2% Due 9/9/2016
280,000.00 10/24/2013
0.67 %
290,550.40
290,550.40
103.36
0.73 %
289,420.04
1,742.22
0.62 %
(1,130.36)
Aaa
AA+
2.69
2.61
3133XXP43 FHLB Note
3.125% Due 3/11/2016
965,000.00 08/10/2011
1.11 %
1,051,449.53
1,051,449.53
105.65
0.53 %
1,019,500.31
9,214.41
2.20 %
(31,949.22)
Aaa
AA+
2.19
2.12
3133EAJU3 FFCB Note
1.05% Due 3/28/2016
924,000.00 09/14/2012
0.53 %
940,879.28
940,879.28
101.31
0.46 %
936,106.24
2,506.36
2.01 %
(4,773.04)
Aaa
AA+
2.24
2.21
3135G0VA8 FNMA Note
0.5% Due 3/30/2016
950,000.00 03/27/2013
0.45 %
951,434.50
951,434.50
99.89
0.55 %
948,978.75
1,200.69
2.04 %
(2,455.75)
Aaa
AA+
2.25
2.23
3135G0GY3 FNMA Note
1.25% Due 1/30/2017
800,000.00 02/27/2012
1.07 %
807,016.00
807,016.00
101.20
0.85 %
809,626.40
4,194.44
1.74 %
2,610.40
Aaa
AA+
3.08
3.01
3135G0UY7 FNMA Callable Note 1X 2/27/15
1% Due 2/27/2017
500,000.00 04/24/2013
0.75 %
504,750.00
504,750.00
100.13
0.89 %
500,650.00
1,722.22
1.08 %
(4,100.00)
Aaa
AA+
3.16
2.86
3135G0ES8 FNMA Note
1.375% Due 11/15/2016
985,000.00 03/14/2012
1.21 %
992,545.10
992,545.10
101.68
0.78 %
1,001,528.30
1,730.59
2.15 %
8,983.20
Aaa
AA+
2.88
2.81
31331KBX7 FFCB Note
2.875% Due 2/10/2017
865,000.00 07/25/2012
0.74 %
947,477.75
947,477.75
105.80
0.97 %
915,197.68
9,740.26
1.98 %
(32,280.07)
Aaa
AA+
3.12
2.95
3137EADC0 FHLMC Note
1% Due 3/8/2017
1,000,000.00 03/14/2012
1.29 %
986,050.00
986,050.00
100.16
0.95 %
1,001,629.00
3,138.89
2.15 %
15,579.00
Aaa
AA+
3.19
3.12
Total Agency 29,556,000.00 1.35 %
30,076,392.07
30,076,392.07 0.54 %
30,021,575.58
116,990.90
64.56 %
(54,816.49)
Aaa
AA+
1.95
1.91
AGENCY
Holdings Report
As of 12/31/13
City of San Luis Obispo
Account #10023
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
Maturity
Duration
Chandler Asset Management - CONFIDENTIAL Execution Time: 1/21/2014 11:50:34 AM
912828UW8 US Treasury Note
0.25% Due 4/15/2016
900,000.00 04/24/2013
0.34 %
897,647.55
897,647.55
99.47
0.48 %
895,219.20
482.14
1.92 %
(2,428.35)
Aaa
AA+
2.29
2.28
912828VC1 US Treasury Note
0.25% Due 5/15/2016
700,000.00 09/26/2013
0.54 %
694,697.66
694,697.66
99.38
0.51 %
695,679.60
227.21
1.49 %
981.94
Aaa
AA+
2.37
2.36
912828PQ7 US Treasury Note
1% Due 1/15/2014
1,035,000.00 Various
0.94 %
1,036,454.26
1,036,454.26
100.03
0.23 %
1,035,322.92
4,781.25
2.23 %
(1,131.34)
Aaa
AA+
0.04
0.04
912828NP1 US Treasury Note
1.75% Due 7/31/2015
1,050,000.00 04/12/2011
1.91 %
1,042,948.83
1,042,948.83
102.33
0.27 %
1,074,486.00
7,689.54
2.32 %
31,537.17
Aaa
AA+
1.58
1.56
912828PJ3 US Treasury Note
1.375% Due 11/30/2015
1,055,000.00 05/16/2011
1.63 %
1,043,217.21
1,043,217.21
101.93
0.36 %
1,075,399.48
1,275.27
2.31 %
32,182.27
Aaa
AA+
1.92
1.89
912828QJ2 US Treasury Note
2.125% Due 2/29/2016
1,050,000.00 Various
1.20 %
1,092,548.44
1,092,548.44
103.65
0.43 %
1,088,308.20
7,581.32
2.35 %
(4,240.24)
Aaa
AA+
2.16
2.11
912828VL1 US Treasury Note
0.625% Due 7/15/2016
750,000.00 10/07/2013
0.57 %
751,145.09
751,145.09
100.13
0.58 %
750,937.50
2,165.42
1.61 %
(207.59)
Aaa
AA+
2.54
2.51
US TREASURY
037833AH3 Apple Inc Note
0.45% Due 5/3/2016
700,000.00 05/13/2013
0.55 %
698,005.00
698,005.00
99.27
0.76 %
694,918.00
507.50
1.49 %
(3,087.00)
Aa1
AA+
2.34
2.32
478160AY0 Johnson & Johnson Note
2.15% Due 5/15/2016
675,000.00 01/15/2013
0.58 %
709,870.50
709,870.50
103.36
0.72 %
697,696.88
1,854.38
1.50 %
(12,173.62)
Aaa
AAA
2.37
2.31
594918AB0 Microsoft Note
2.95% Due 6/1/2014
1,230,000.00 Various
1.68 %
1,286,778.00
1,286,778.00
101.05
0.43 %
1,242,900.24
3,023.75
2.67 %
(43,877.76)
Aaa
AAA
0.42
0.42
369604BE2 General Electric Co Note
0.85% Due 10/9/2015
700,000.00 04/24/2013
0.58 %
704,515.00
704,515.00
100.47
0.58 %
703,269.00
1,355.28
1.51 %
(1,246.00)
Aa3
AA+
1.77
1.75
38259PAC6 Google Inc Note
2.125% Due 5/19/2016
523,000.00 04/23/2012
0.91 %
548,360.27
548,360.27
103.32
0.72 %
540,359.94
1,296.60
1.16 %
(8,000.33)
Aa2
AA
2.38
2.32
931142DE0 Wal-Mart Stores Note
0.6% Due 4/11/2016
700,000.00 06/27/2013
0.81 %
696,017.00
696,017.00
99.85
0.66 %
698,982.90
933.33
1.50 %
2,965.90
Aa2
AA
2.28
2.26
166764AA8 Chevron Corp. Callable Note Cont
11/5/17
1.104% Due 12/5/2017
700,000.00 01/10/2013
1.03 %
702,422.00
702,422.00
97.80
1.69 %
684,595.10
558.13
1.47 %
(17,826.90)
Aa1
AA
3.93
3.82
742718DV8 Procter & Gamble Co Note
1.45% Due 8/15/2016
915,000.00 08/03/2012
0.82 %
937,893.30
937,893.30
101.46
0.89 %
928,352.60
5,012.17
2.00 %
(9,540.70)
Aa3
AA-
2.62
2.56
084664BS9 Berkshire Hathaway Note
1.6% Due 5/15/2017
700,000.00 04/24/2013
1.00 %
716,765.00
716,765.00
100.96
1.31 %
706,750.80
1,431.11
1.52 %
(10,014.20)
Aa2
AA
3.37
3.27
Total US Corporate 6,843,000.00 0.95 %
7,000,626.07
7,000,626.07 0.83 %
6,897,825.46
15,972.25
14.81 %
(102,800.61)
Aa1
AA+
2.24
2.19
US CORPORATE
Total Money Market Fund FI 174,158.49 N/A
174,158.49
174,158.49 0.00 %
174,158.49
0.00
0.37 %
0.00
Aaa
AAA
0.00
0.00
Holdings Report
As of 12/31/13
City of San Luis Obispo
Account #10023
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
Maturity
Duration
Chandler Asset Management - CONFIDENTIAL Execution Time: 1/21/2014 11:50:34 AM
912828SY7 US Treasury Note
0.625% Due 5/31/2017
650,000.00 05/13/2013
0.62 %
650,027.57
650,027.57
98.70
1.01 %
641,519.45
357.14
1.38 %
(8,508.12)
Aaa
AA+
3.42
3.36
912828TG5 US Treasury Note
0.5% Due 7/31/2017
500,000.00 Various
0.70 %
495,462.61
495,462.61
97.90
1.10 %
489,492.00
1,046.20
1.05 %
(5,970.61)
Aaa
AA+
3.58
3.53
912828UE8 US Treasury Note
0.75% Due 12/31/2017
625,000.00 08/13/2013
1.28 %
611,061.66
611,061.66
97.78
1.32 %
611,132.50
12.95
1.31 %
70.84
Aaa
AA+
4.00
3.92
912828RU6 US Treasury Note
0.875% Due 11/30/2016
500,000.00 12/15/2011
0.84 %
500,782.93
500,782.93
100.32
0.76 %
501,601.50
384.62
1.08 %
818.57
Aaa
AA+
2.92
2.87
912828TB6 US Treasury Note
0.75% Due 6/30/2017
575,000.00 09/17/2013
1.18 %
565,882.79
565,882.79
98.95
1.06 %
568,935.48
11.91
1.22 %
3,052.69
Aaa
AA+
3.50
3.44
Total US Treasury 9,390,000.00 1.04 %
9,381,876.60
9,381,876.60 0.59 %
9,428,033.83
26,014.97
20.25 %
46,157.23
Aaa
AA+
2.29
2.26
US TREASURY
TOTAL PORTFOLIO 45,963,158.49 1.22 %
46,633,053.23
46,633,053.23 0.59 %
46,521,593.36
158,978.12
100.00 %
(111,459.87)
Aaa
AA+
2.05
2.01
TOTAL MARKET VALUE PLUS ACCRUED 46,680,571.48
Holdings Report
As of 12/31/13
City of San Luis Obispo
Account #10023
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
Maturity
Duration
Chandler Asset Management - CONFIDENTIAL Execution Time: 2/12/2014 9:23:53 AM
912810DV7 US Treasury Bond
9.25% Due 2/15/2016
1,000,000.00 04/30/2008
9.25 %
1,000,000.00
1,000,000.00
118.56
0.46 %
1,185,625.00
34,938.86
3.27 %
185,625.00
Aaa
AA+
2.13
1.93
Total US Treasury 1,000,000.00 9.25 %
1,000,000.00
1,000,000.00 0.46 %
1,185,625.00
34,938.86
3.27 %
185,625.00
Aaa
AA+
2.13
1.93
US TREASURY
PP1MCB$02 Mission Community Bank Yankee CD
0.27% Due 12/20/2014
1,000,000.00 12/20/2013
0.27 %
1,000,000.00
1,000,000.00
100.00
0.27 %
1,000,000.00
90.00
2.68 %
0.00
NR
NR
0.97
0.97
Total Negotiable CD 1,000,000.00 0.27 %
1,000,000.00
1,000,000.00 0.27 %
1,000,000.00
90.00
2.68 %
0.00
NR
NR
0.97
0.97
NEGOTIABLE CD
90CASH$01 Cash Mission Cmnty Bank MMKT Fund 1,004,709.18 Various
0.21 %
1,004,709.18
1,004,709.18
1.00
0.21 %
1,004,709.18
0.00
2.69 %
0.00
NR
NR
0.00
0.00
Total Money Market Fund FI 1,004,709.18 0.21 %
1,004,709.18
1,004,709.18 0.21 %
1,004,709.18
0.00
2.69 %
0.00
NR
NR
0.00
0.00
MONEY MARKET FUND FI
90LAIF$00 Local Agency Investment Fund State
Pool
25,650,338.31 Various
0.26 %
25,650,338.31
25,650,338.31
1.00
0.26 %
25,650,338.31
17,007.76
68.83 %
0.00
NR
NR
0.00
0.00
Total LAIF 25,650,338.31 0.26 %
25,650,338.31
25,650,338.31 0.26 %
25,650,338.31
17,007.76
68.83 %
0.00
NR
NR
0.00
0.00
LAIF
90CASH$00 Cash Custodial Cash Account 8,397,437.74 Various
0.00 %
8,397,437.74
8,397,437.74
1.00
0.00 %
8,397,437.74
0.00
22.52 %
0.00
NR
NR
0.00
0.00
Total Cash 8,397,437.74 N/A
8,397,437.74
8,397,437.74 0.00 %
8,397,437.74
0.00
22.52 %
0.00
NR
NR
0.00
0.00
CASH
TOTAL PORTFOLIO 37,052,485.23 0.44 %
37,052,485.23
37,052,485.23 0.21 %
37,238,110.23
52,036.62
100.00 %
185,625.00
Aaa
AA+
0.10
0.09
TOTAL MARKET VALUE PLUS ACCRUED 37,290,146.85
Holdings Report
As of 12/31/13
City of San Luis Obispo Internal
Account #10031
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
Maturity
Duration
SPECIFIC LOT PURCHASE DATES AS OF 12/31/2013
CUSIPPurchase DateSecurity DescriptionAmount
31398AVD1 5/6/2009FNMA 2.750% 2/5/2014251,086.96
31398AVD1 6/3/2009FNMA 2.750% 2/5/201498,913.04
31331GL80 12/21/2009FFCB 3.000% 9/22/20141,000,000.00
31331GL80 2/4/2010FFCB 3.000% 9/22/2014100,000.00
3137EADH9 7/27/2012FHLMC 1.000% 6/29/2017775,000.00
3137EADH9 12/13/2012FHLMC 1.000% 6/29/2017135,000.00
594918AB0 7/8/2010Microsoft 2.950% 6/1/20141,050,000.00
594918AB0 3/25/2011Microsoft 2.950% 6/1/2014180,000.00
912828PQ7 4/12/2011US Treasury 1.000% 1/15/2014350,000.00
912828PQ7 4/28/2011US Treasury 1.000% 1/15/2014225,000.00
912828PQ7 5/16/2011US Treasury 1.000% 1/15/2014460,000.00
912828QJ2 5/16/2011US Treasury 2.125% 2/29/2016450,000.00
912828QJ2 8/29/2011US Treasury 2.125% 2/29/2016600,000.00
912828TG5 9/28/2012US Treasury 0.500% 7/31/2017200,000.00
912828TG5 1/28/2013US Treasury 0.500% 7/31/2017300,000.00
35