Loading...
HomeMy WebLinkAbout11-20-2013 IOC Agenda PacketCHANDLER ASSET MANAGEMENT 6225 Lusk Blvd | San Diego, CA 92121 | Phone 800.317.4747 | Fax 858.546.3741 | www.chandlerasset.com Investment Report Period Ending September 30, 2013 City of San Luis Obispo Table of Contents Economic Update Account Profile Portfolio Holdings SECTION 1 SECTION 2 SECTION 3 1 SECTION 1 Economic Update 2 Duringthepastthreemonths,theyieldcurveflattenedslightly,butratesexperiencedvolatilityduring thistimeperiod.Economicdatahas been mixedandthetiming of whentheFedwillbegintapering its bond purchases remains uncertain. Economic Update    Economicdatahas been mixed.Jobgrowthwasstrongerthanexpected in October,butthe unemploymentrate edged up to 7.3%from7.2%reflectingarise in temporarylayoffsduringthe government shutdown. Nonfarm payrolls increased 204,000 in October versus the consensus forecast of 120,000.In addition,thenetrevisionsforjobgrowth in AugustandSeptemberwere+60,000. Averagenonfarmpayrollgrowthoverthepast3monthshas been about201,000 per month.Overall, employmentgrowthhas been favorable.Manufacturingdatahasalso been relativelyhealthy. However,therearesignsthatconsumerspendingmay be softeningandthehousingsectorhas slowed in recent months. TheFOMCleftpolicyratesunchanged at itsOctobermeetinganddidnotannounceanychanges to thepace of itsbondpurchases.TheFedcontinues to indicatethatpolicychangeswill be data dependantandthatthegeneralthresholdsare an unemploymentrate of 6.5%and/orexpectations of 2.5%inflation.Thetiming of Fedtaperingremainsuncertainbut we believeuncertaintyaboutthe country'slonger-termfiscalpolicywilldelaytheunwinding of quantitativeeasing by theFederal Reserve until sometime next year. The next FOMC meeting is scheduled for December 17-18. 3 Employment Source: U.S. Department of Labor 0 50 100 150 200 250 300 350 10 / 1 1 11 / 1 1 12 / 1 1 1/ 1 2 2/ 1 2 3/ 1 2 4/ 1 2 5/ 1 2 6/ 1 2 7/ 1 2 8/ 1 2 9/ 1 2 10 / 1 2 11 / 1 2 12 / 1 2 1/ 1 3 2/ 1 3 3/ 1 3 4/ 1 3 5/ 1 3 6/ 1 3 7/ 1 3 8/ 1 3 9/ 1 3 10 / 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% 9.5% 10 / 1 1 11 / 1 1 12 / 1 1 1/ 1 2 2/ 1 2 3/ 1 2 4/ 1 2 5/ 1 2 6/ 1 2 7/ 1 2 8/ 1 2 9/ 1 2 10 / 1 2 11 / 1 2 12 / 1 2 1/ 1 3 2/ 1 3 3/ 1 3 4/ 1 3 5/ 1 3 6/ 1 3 7/ 1 3 8/ 1 3 9/ 1 3 10 / 1 3 Unemployment Rate TheOctoberemploymentreportwasbetterthanexpected as payrollsrose by 204,000versusthe120,000 consensusestimate.However,theunemploymentrate edged up to 7.3%from7.2%,reflectingarise in temporary layoffs during the government shutdown. Net revisions for job growth in August and September were +60,000.Averagenonfarmpayrollgrowthoverthepast3monthshas been about201,000.Privatepayrolls increased 212,000 in October while government jobs declined 8,000. 4 Inflation Source: US Department of Labor 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 9/ 1 1 11 / 1 1 1/ 1 2 3/ 1 2 5/ 1 2 7/ 1 2 9/ 1 2 11 / 1 2 1/ 1 3 3/ 1 3 5/ 1 3 7/ 1 3 9/ 1 3 CPI Y-O-Y % Change 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 9/ 1 1 11 / 1 1 1/ 1 2 3/ 1 2 5/ 1 2 7/ 1 2 9/ 1 2 11 / 1 2 1/ 1 3 3/ 1 3 5/ 1 3 7/ 1 3 9/ 1 3 Core CPI Y-O-Y % Change In September,overallCPIinflationrose to 1.2%on ayear-over-yearbasisfrom1.5%in August.Theyear-over- yearCoreCPI(CPIlessfoodandenergy)fellslightly to 1.7%from1.8%.Thecoreinflationrate is stilltrending below the Fed’s long-term goal of 2.0% and remains below the trigger rate for policy action of 2.5%. 5 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 1 12 / 1 1 3/ 1 2 6/ 1 2 9/ 1 2 12 / 1 2 3/ 1 3 6/ 1 3 9/ 1 3 GDP Qtrly % Change TheadvanceestimateforrealannualizedGDPgrowthforthethirdquarter of2013 was2.8%,followinggrowth of 2.5%in thesecondquarter.Expectationswerefor2.0%growth in thethirdquarter.Thoughthirdquarter growthwasgreaterthanexpected,it waslargelyfueled by inventoryaccumulationwhichcontributed0.8 percentage points. 6 Duringthepastthreemonths,theyieldcurveflattenedslightly,butratesexperiencedvolatilityduringthistime period.Economicdatahas been mixedandthetiming of whentheFedwillbegintaperingitsbondpurchases is uncertain. Yield Curves Source: Bloomberg July 31, 2013andOctober 31, 2013 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 3.00% 3.50% 4.00% 3 M o 6 M o 2 Y r 5 Y r 10 Y r 30 Y r 7/31/13 10/31/13 7 SECTION 2 ACCOUNT PROFILE 8 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. 9 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 September 30, 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. 10 ACCOUNT PROFILE Total Market Value 46,627,808 46,357,174 Modified Duration 2.16 2.18 2.31 Average Quality**AAA AA+/Aaa AA+/Aaa Average Market Yield 0.49 %0.58 %0.67 % Average Purchase Yield n/a 1.23 %1.23 % Benchmark*Portfolio Portfolio Average Maturity (yrs)2.24 2.25 2.37 * BAML 0-5 Year US Treasury Index ** 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 09/30/2013 06/30/2013 PORTFOLIO CHARACTERISTICS During the last three months, portfolio activity included the re-investment of several matured security balances totaling about $1.87 million, in order to maintain the desired portfolio strategy and structure. Recent purchases included a mix of Treasury securities with maturities ranging from May 2016 through December 2017. 11 11 SECTOR DISTRIBUTION City of San Luis Obispo September 30, 2013 June 30, 2013 The portfolio sector allocation changed modestly as we increased our holdings in Treasuries by 2.7% and decreased the Agency sector by 2.8%. 12 12 DURATION DISTRIBUTION City of San Luis Obispo Portfolio Compared to the Benchmark as of September 30, 2013 Benchmark*6.7 %5.7 %11.9 %24.3 %21.4 %18.7 %11.3 %0.0 % Portfolio 2.2 %4.2 %11.0 %26.8 %29.4 %23.6 %2.8 %0.0 % 0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ * BAML 0-5 Year US Treasury Index The average duration of the portfolio remained about equal to that of 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. 13 13 INVESTMENT PERFORMANCE BAML 0-5 Year US Treasury Index 0.38 %0.02 %0.53 %0.95 %2.01 %N/A 2.27 % City of San Luis Obispo 0.48 %0.16 %0.74 %1.12 %2.57 %N/A 2.68 % 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 September 30, 2013 Total Rate of Return Annualized Since Inception May 31, 2008 14 14 SECTION 3 PORTFOLIO HOLDINGS 15 ISSUERS 16 Chandler Asset Management - CONFIDENTIAL Execution Time: 10/22/2013 1:39:32 PM 31331KLE8 FFCB Note 1.6% Due 5/18/2015 230,000.00 07/20/2011 1.28 % 232,702.50 232,702.50 102.09 0.32 % 234,808.15 1,359.56 0.51 % 2,105.65 Aaa AA+ 1.63 1.61 3135G0KM4 FNMA Note 0.5% Due 5/27/2015 1,300,000.00 08/24/2012 0.43 % 1,302,392.00 1,302,392.00 100.30 0.32 % 1,303,861.00 2,238.89 2.80 % 1,469.00 Aaa AA+ 1.65 1.65 880591DY5 Tennessee Valley Authority Note 4.375% Due 6/15/2015 1,050,000.00 06/14/2011 1.46 % 1,168,386.45 1,168,386.45 106.75 0.40 % 1,120,922.25 13,526.04 2.43 % (47,464.20) Aaa AA+ 1.71 1.64 3137EACH0 FHLMC Note 2.875% Due 2/9/2015 1,225,000.00 03/09/2010 2.63 % 1,238,784.93 1,238,784.93 103.55 0.25 % 1,268,497.30 5,087.15 2.73 % 29,712.37 Aaa AA+ 1.36 1.34 31331KCR9 FFCB Note 2.05% Due 2/18/2015 400,000.00 07/26/2011 1.23 % 411,440.00 411,440.00 102.47 0.26 % 409,889.60 979.44 0.88 % (1,550.40) Aaa AA+ 1.39 1.37 31331KFS4 FFCB Note 1.67% Due 3/24/2015 1,000,000.00 07/21/2011 1.18 % 1,017,410.00 1,017,410.00 102.06 0.28 % 1,020,594.00 324.72 2.19 % 3,184.00 Aaa AA+ 1.48 1.47 31331J2S1 FFCB Note 1.5% Due 11/16/2015 402,000.00 03/25/2011 2.20 % 389,640.91 389,640.91 102.30 0.41 % 411,232.73 2,261.25 0.89 % 21,591.82 Aaa AA+ 2.13 2.09 313372XB5 FHLB Note 2.125% Due 6/30/2015 900,000.00 05/26/2011 1.49 % 922,752.00 922,752.00 102.92 0.45 % 926,298.90 4,834.38 2.00 % 3,546.90 Aaa AA+ 1.75 1.72 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 0.49 % 1,001,151.00 672.22 2.15 % 2,640.00 Aaa AA+ 1.88 1.87 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 0.41 % 651,182.35 27.08 1.40 % 1,156.35 Aaa AA+ 1.99 1.98 31398AVD1 FNMA Note 2.75% Due 2/5/2014 350,000.00 Various 2.44 % 354,785.27 354,785.27 100.92 0.10 % 353,217.55 1,497.22 0.76 % (1,567.72) Aaa AA+ 0.35 0.35 31398AVZ2 FNMA Note 2.75% Due 3/13/2014 550,000.00 06/03/2009 2.67 % 551,973.95 551,973.95 101.20 0.10 % 556,595.60 756.25 1.20 % 4,621.65 Aaa AA+ 0.45 0.45 3133XSAE8 FHLB Note 3.625% Due 10/18/2013 250,000.00 Various 2.22 % 262,929.05 262,929.05 100.17 0.29 % 250,416.00 4,103.30 0.55 % (12,513.05) Aaa AA+ 0.05 0.05 3133XVNU1 FHLB Note 2.75% Due 12/12/2014 1,200,000.00 03/09/2010 2.57 % 1,209,304.80 1,209,304.80 103.06 0.20 % 1,236,691.20 9,991.67 2.67 % 27,386.40 Aaa AA+ 1.20 1.18 31331KB82 FFCB Note 0.35% Due 10/3/2013 700,000.00 10/28/2011 0.44 % 698,810.00 698,810.00 100.00 0.17 % 700,010.50 1,211.39 1.50 % 1,200.50 Aaa AA+ 0.01 0.01 31331GL80 FFCB Note 3% Due 9/22/2014 1,100,000.00 Various 2.57 % 1,121,054.30 1,121,054.30 102.77 0.16 % 1,130,482.10 825.00 2.43 % 9,427.80 Aaa AA+ 0.98 0.97 31398AZV7 FNMA Note 2.625% Due 11/20/2014 950,000.00 11/20/2009 2.43 % 958,573.75 958,573.75 102.80 0.16 % 976,642.75 9,074.48 2.11 % 18,069.00 Aaa AA+ 1.14 1.12 3137EACV9 FHLMC Note 1% Due 8/27/2014 1,050,000.00 07/19/2011 0.89 % 1,053,522.75 1,053,522.75 100.81 0.11 % 1,058,467.20 991.67 2.27 % 4,944.45 Aaa AA+ 0.91 0.91 3137EACB3 FHLMC Note 2.5% Due 4/23/2014 375,000.00 07/28/2009 2.81 % 369,842.25 369,842.25 101.36 0.09 % 380,101.13 4,114.58 0.82 % 10,258.88 Aaa AA+ 0.56 0.56 3137EACD9 FHLMC Note 3% Due 7/28/2014 1,250,000.00 03/18/2010 2.38 % 1,282,096.25 1,282,096.25 102.31 0.21 % 1,278,846.25 6,562.50 2.76 % (3,250.00) Aaa AA+ 0.82 0.82 AGENCY Holdings Report As of 9/30/13 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: 10/22/2013 1:39:32 PM 313379DD8 FHLB Note 1% Due 6/21/2017 700,000.00 11/26/2012 0.70 % 709,478.00 709,478.00 100.03 0.99 % 700,208.60 1,944.44 1.51 % (9,269.40) Aaa AA+ 3.73 3.64 3136FPYB7 FNMA Callable Note 1X 5/23/2011 2.05% Due 5/23/2017 365,000.00 08/07/2012 0.89 % 384,739.20 384,739.20 103.41 1.09 % 377,457.45 2,660.44 0.82 % (7,281.75) Aaa AA+ 3.65 3.49 3137EADF3 FHLMC Note 1.25% Due 5/12/2017 500,000.00 10/17/2012 0.82 % 509,635.00 509,635.00 100.68 1.06 % 503,411.50 2,413.19 1.08 % (6,223.50) Aaa AA+ 3.62 3.51 3137EADL0 FHLMC Note 1% Due 9/29/2017 950,000.00 01/04/2013 0.89 % 954,788.00 954,788.00 99.15 1.22 % 941,925.95 52.78 2.02 % (12,862.05) Aaa AA+ 4.00 3.90 3137EADJ5 FHLMC Note 1% Due 7/28/2017 900,000.00 11/26/2012 0.80 % 908,316.00 908,316.00 99.69 1.08 % 897,226.20 1,575.00 1.93 % (11,089.80) Aaa AA+ 3.83 3.74 3137EADH9 FHLMC Note 1% Due 6/29/2017 910,000.00 Various 0.83 % 917,260.60 917,260.60 99.77 1.06 % 907,907.92 2,325.56 1.95 % (9,352.68) Aaa AA+ 3.75 3.66 3137EADC0 FHLMC Note 1% Due 3/8/2017 1,000,000.00 03/14/2012 1.29 % 986,050.00 986,050.00 100.31 0.91 % 1,003,104.00 638.89 2.15 % 17,054.00 Aaa AA+ 3.44 3.37 31331J6C2 FFCB Note 2.35% Due 12/22/2015 580,000.00 03/28/2011 2.27 % 582,099.60 582,099.60 104.12 0.49 % 603,883.82 3,748.25 1.30 % 21,784.22 Aaa AA+ 2.23 2.17 313380L96 FHLB Note 0.5% Due 11/20/2015 700,000.00 06/27/2013 0.53 % 699,447.00 699,447.00 100.01 0.50 % 700,044.10 1,273.61 1.50 % 597.10 Aaa AA+ 2.14 2.12 3135G0VA8 FNMA Note 0.5% Due 3/30/2016 950,000.00 03/27/2013 0.45 % 951,434.50 951,434.50 99.76 0.60 % 947,676.30 13.19 2.03 % (3,758.20) Aaa AA+ 2.50 2.48 3133XXP43 FHLB Note 3.125% Due 3/11/2016 965,000.00 08/10/2011 1.11 % 1,051,449.53 1,051,449.53 106.11 0.60 % 1,024,006.86 1,675.35 2.20 % (27,442.67) Aaa AA+ 2.45 2.37 3133EAJU3 FFCB Note 1.05% Due 3/28/2016 924,000.00 09/14/2012 0.53 % 940,879.28 940,879.28 101.27 0.54 % 935,714.48 80.86 2.01 % (5,164.80) Aaa AA+ 2.49 2.46 313373SZ6 FHLB Note 2.125% Due 6/10/2016 1,000,000.00 06/20/2011 1.84 % 1,013,460.00 1,013,460.00 103.85 0.68 % 1,038,520.00 6,552.08 2.24 % 25,060.00 Aaa AA+ 2.70 2.61 31331KBX7 FFCB Note 2.875% Due 2/10/2017 865,000.00 07/25/2012 0.74 % 947,477.75 947,477.75 106.08 1.03 % 917,549.62 3,523.07 1.98 % (29,928.13) Aaa AA+ 3.37 3.20 3135G0UY7 FNMA Callable Note 1X 2/27/15 1% Due 2/27/2017 500,000.00 04/24/2013 0.75 % 504,750.00 504,750.00 100.01 0.99 % 500,038.00 472.22 1.07 % (4,712.00) Aaa AA+ 3.41 1.39 3135G0GY3 FNMA Note 1.25% Due 1/30/2017 800,000.00 02/27/2012 1.07 % 807,016.00 807,016.00 101.12 0.91 % 808,970.40 1,694.44 1.74 % 1,954.40 Aaa AA+ 3.34 3.25 3133834R9 FHLB Note 0.375% Due 6/24/2016 700,000.00 06/27/2013 0.77 % 691,817.00 691,817.00 99.47 0.57 % 696,311.70 707.29 1.49 % 4,494.70 Aaa AA+ 2.73 2.71 3135G0ES8 FNMA Note 1.375% Due 11/15/2016 985,000.00 03/14/2012 1.21 % 992,545.10 992,545.10 101.67 0.83 % 1,001,408.13 5,116.53 2.16 % 8,863.03 Aaa AA+ 3.13 3.04 Total Agency 30,226,000.00 1.35 % 30,747,580.72 30,747,580.72 0.53 % 30,775,272.59 106,905.98 66.23 % 27,691.87 Aaa AA+ 2.13 2.05 AGENCY Holdings Report As of 9/30/13 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: 10/22/2013 1:39:32 PM 912828QJ2 US Treasury Note 2.125% Due 2/29/2016 1,050,000.00 Various 1.20 % 1,092,548.44 1,092,548.44 104.06 0.43 % 1,092,656.25 1,910.74 2.35 % 107.81 Aaa AA+ 2.42 2.36 912828PJ3 US Treasury Note 1.375% Due 11/30/2015 1,055,000.00 05/16/2011 1.63 % 1,043,217.21 1,043,217.21 102.14 0.38 % 1,077,583.33 4,875.05 2.32 % 34,366.12 Aaa AA+ 2.17 2.13 912828PQ7 US Treasury Note 1% Due 1/15/2014 1,035,000.00 Various 0.94 % 1,036,454.26 1,036,454.26 100.28 0.05 % 1,037,870.06 2,193.75 2.23 % 1,415.80 Aaa AA+ 0.29 0.29 912828NP1 US Treasury Note 1.75% Due 7/31/2015 1,050,000.00 04/12/2011 1.91 % 1,042,948.83 1,042,948.83 102.64 0.30 % 1,077,767.25 3,095.79 2.32 % 34,818.42 Aaa AA+ 1.83 1.81 912828UW8 US Treasury Note 0.25% Due 4/15/2016 900,000.00 04/24/2013 0.34 % 897,647.55 897,647.55 99.43 0.48 % 894,867.30 1,038.93 1.92 % (2,780.25) Aaa AA+ 2.54 2.53 US TREASURY 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 98.57 1.46 % 689,956.40 2,490.13 1.49 % (12,465.60) Aa1 AA 4.18 4.05 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 99.59 0.76 % 697,140.50 1,983.33 1.50 % 1,123.50 Aa2 AA 2.53 2.50 037833AH3 Apple Inc Note 0.45% Due 5/3/2016 700,000.00 05/13/2013 0.55 % 698,005.00 698,005.00 99.30 0.72 % 695,102.80 1,295.00 1.49 % (2,902.20) Aa1 AA+ 2.59 2.57 594918AB0 Microsoft Note 2.95% Due 6/1/2014 1,230,000.00 Various 1.68 % 1,286,778.00 1,286,778.00 101.71 0.39 % 1,251,057.60 12,095.00 2.71 % (35,720.40) Aaa AAA 0.67 0.66 369604BE2 General Electric Co Note 0.85% Due 10/9/2015 700,000.00 04/24/2013 0.58 % 704,515.00 704,515.00 100.23 0.74 % 701,613.50 2,842.78 1.51 % (2,901.50) Aa3 AA+ 2.02 2.00 478160AY0 Johnson & Johnson Note 2.15% Due 5/15/2016 675,000.00 01/15/2013 0.58 % 709,870.50 709,870.50 103.80 0.69 % 700,620.30 5,482.50 1.51 % (9,250.20) Aaa AAA 2.62 2.54 742718DV8 Procter & Gamble Co Note 1.45% Due 8/15/2016 915,000.00 08/03/2012 0.82 % 937,893.30 937,893.30 101.63 0.88 % 929,889.80 1,695.29 2.00 % (8,003.50) Aa3 AA- 2.88 2.81 084664BS9 Berkshire Hathaway Note 1.6% Due 5/15/2017 700,000.00 04/24/2013 1.00 % 716,765.00 716,765.00 100.85 1.36 % 705,915.70 4,231.11 1.52 % (10,849.30) Aa2 AA 3.62 3.49 38259PAC6 Google Inc Note 2.125% Due 5/19/2016 523,000.00 04/23/2012 0.91 % 548,360.27 548,360.27 103.64 0.73 % 542,038.77 4,075.04 1.17 % (6,321.50) Aa2 AA 2.64 2.55 Total US Corporate 6,843,000.00 0.95 % 7,000,626.07 7,000,626.07 0.82 % 6,913,335.37 36,190.18 14.90 % (87,290.70) Aa1 AA+ 2.49 2.43 US CORPORATE 261941108 Dreyfus Treas PR Cash Mgt Inst Money Market Fund 80,369.36 Various 0.00 % 80,369.36 80,369.36 1.00 0.00 % 80,369.36 0.00 0.17 % 0.00 Aaa AAA 0.00 0.00 Total Money Market Fund FI 80,369.36 N/A 80,369.36 80,369.36 0.00 % 80,369.36 0.00 0.17 % 0.00 Aaa AAA 0.00 0.00 MONEY MARKET FUND FI Holdings Report As of 9/30/13 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: 10/22/2013 1:39:32 PM 912828SY7 US Treasury Note 0.625% Due 5/31/2017 650,000.00 05/13/2013 0.62 % 650,027.57 650,027.57 98.88 0.94 % 642,687.50 1,365.27 1.38 % (7,340.07) Aaa AA+ 3.67 3.61 912828RU6 US Treasury Note 0.875% Due 11/30/2016 500,000.00 12/15/2011 0.84 % 500,782.93 500,782.93 100.45 0.73 % 502,226.50 1,470.29 1.08 % 1,443.57 Aaa AA+ 3.17 3.11 912828UE8 US Treasury Note 0.75% Due 12/31/2017 625,000.00 08/13/2013 1.28 % 611,061.66 611,061.66 98.30 1.16 % 614,404.38 1,184.61 1.32 % 3,342.72 Aaa AA+ 4.25 4.16 912828TG5 US Treasury Note 0.5% Due 7/31/2017 500,000.00 Various 0.70 % 495,462.61 495,462.61 98.12 1.00 % 490,586.00 421.20 1.05 % (4,876.61) Aaa AA+ 3.84 3.78 912828TB6 US Treasury Note 0.75% Due 6/30/2017 575,000.00 09/17/2013 1.18 % 565,882.79 565,882.79 99.20 0.97 % 570,372.98 1,089.84 1.23 % 4,490.19 Aaa AA+ 3.75 3.68 912828VC1 US Treasury Note 0.25% Due 5/15/2016 700,000.00 09/26/2013 0.54 % 694,697.66 694,697.66 99.34 0.50 % 695,406.60 661.01 1.49 % 708.94 Aaa AA+ 2.62 2.61 Total US Treasury 8,640,000.00 1.08 % 8,630,731.51 8,630,731.51 0.55 % 8,696,428.15 19,306.48 18.69 % 65,696.64 Aaa AA+ 2.52 2.48 US TREASURY TOTAL PORTFOLIO 45,789,369.36 1.23 % 46,459,307.66 46,459,307.66 0.58 % 46,465,405.47 162,402.64 100.00 % 6,097.81 Aaa AA+ 2.25 2.18 TOTAL MARKET VALUE PLUS ACCRUED 46,627,808.11 Holdings Report As of 9/30/13 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