Extended analysis · engagement previews · RFP 902732
Three analyses the engagement will finish, started from public data alone.
The same 31,129-row reconstruction behind the recast engine supports analyses that usually wait for custodial data. Below are three, run as working first passes, a preview of week-one of the engagement, not its conclusion.
Working analyses, read accordingly. First-pass results from the County's public monthly reports only. Exit values are estimated at the last reported month-end mark (actual execution prices arrive with custodial data); classifications are heuristic and individually spot-verified against the County's own activity pages where noted. These previews have not yet been through our Lead Consultant's QA/QC. The engagement confirms, corrects, and completes them.
1 · The reconstructed trade log, what the pool actually did, 2020–2026
Tracking every position month-to-month across 74 reports reveals every early exit, each bond that left the book before its maturity date. That is a trade history nobody publishes, reconstructed from documents everybody can read.
1,681
positions tracked over six years, 898 ran to maturity, 401 still held
382
early exits (sold or called before maturity), $5.7B of par
≈ $0
net estimated realized P&L across all 382 exits (+$3.2M, and +$3.0M of it is a single 2020 trade)
−$8.7M
total estimated realized losses in six years, 0.05% of exited par; no fire sales
AThe call wave has happened before, and it is happening now. In 2020–21, ~$1.5B of agencies (average coupon 1.62%, above-market once rates collapsed) were called away, and the pool's book yield fell from 1.92% to 0.82% in two years. The same mechanic is now running in reverse-era: ~$2.35B of call-pattern exits in 2024–25 at ~5% coupons, including a $50M FHLB 5.19% in the Dec–Jan window and a $50M FHLB 4.50% in February 2026. The five largest were each verified by CUSIP in the County's own activity/redemption pages. This is the yield-durability question made historical fact, twice.
BLoss discipline is real, and pragmatic, not absolute. Of $5.7B in early exits, exits marked below book total an estimated −$8.7M over six years, five basis points of the par exited. Most of it is recent and deliberate: 2024–25 clearing of low-coupon 2020–21-era paper at small discounts, recycling into today's yields. The pool demonstrably does not dump bonds into weakness, and it demonstrably will take a small, sensible loss to improve the book. Both halves matter for how an Ethical Investment Policy divestment would actually be executed.
CThe single best trade in the file: May 2020, $50M of a 1.50% Treasury maturing 2024, sold at 105.29 at the bottom of the rate cycle, an estimated +$3.0M realized gain. Rich duration sold at the top. Credit where due.
Maps to RFP: performance & management-practices evaluationrisk reviewEIP implementation feasibility
2 · The §27136 withdrawal gauge, who pays when money leaves at book value
Participants withdraw at book value while the pool marks at market. Whenever NAV is below 100, a withdrawal quietly transfers the difference to those who remain, mostly the County itself and the captive districts. The reconstruction prices that transfer for every month since 2020.
36 of 75
months in which the pool's NAV sat below 100, the transfer window
$4.14M
value transferred to remaining participants per $100M withdrawn at the September 2022 trough (NAV 95.857)
$2.3–2.4M
per $100M through most of 2022–23, the exposure persisted for two years, not one bad month
−$0.70M
today (NAV 100.7): a book-value withdrawal now leaves value behind, the gauge runs both ways
Method: transfer per $100M = (100 − NAV) × $1M, monthly, from the 75-month NAV series. This extends the run-risk simulator's finding, the structural protection is that the discretionary money is the County's own, by pricing the fairness exposure the book-value rule creates for the captive districts during underwater periods, and the symmetrical giveaway during premium periods.
Maps to RFP: governance & oversight (Gov. Code §27130–37)liquidity / run-risk
3 · The reinvestment runway, what 4.18% becomes, and where the real risk hides
The maturity schedule and each maturing cohort's locked-in yield are public. Rolling them forward prices the question the Board should ask of any yield figure: is it durable?
| Maturity window | Par rolling off | Yield rolling off | Read |
|---|
| 2026 H1–H2 | $1,074M | 3.41–3.68% | below today's market, reinvestment lifts book yield |
| 2027 | $1,454M | 4.14–4.27% | roughly market, neutral |
| 2028–2029 | $4,818M | 4.44–4.57% | the high-coupon towers, where call risk concentrates |
| 2030–2032 | $1,945M | 4.04–4.48% | incl. the seven >5yr policy-basket holdings |
AOn stated maturities alone, the yield is durable. Reinvesting everything that matures through 2027 (~$2.5B) at today's ~4.05% two-year rate moves the coupon book's par-weighted yield from 4.26% to 4.29%, because the near-term roll-off is low-yielding 2023-vintage paper. Even at −50bp the book holds ~4.15%; it takes −100bp to pull it to ~4.01% by end-2027.
BThe durability risk is the calls, not the calendar. $1.63B of agencies trade above par, the 2028–29 high-coupon towers, and the trade log above shows the issuers already exercising: ~$2.35B of call-pattern exits since 2024. A call replaces a 5% coupon with a ~4% one regardless of the maturity schedule. Public data carries no call schedules, so this page can size the exposure but not the timing, loading call schedules and re-running the book to yield-to-worst is a first-week engagement task.
Maps to RFP: performance evaluationrisk & scenario analysisreporting practices
Why these three previews are here.
Each one answers a question the RFP poses, how has the portfolio actually been managed, is the governance structure fair to captive participants, is the yield durable, and each was produced from the County's public record alone, by the same reconstruction that reproduces the County's published totals to the dollar. The engagement does not start these analyses; it finishes them, against custodial and transaction data, under our Lead Consultant's QA/QC.
That is the working model this team is proposing: the analysis arrives early, the verification is institutional, and the Board reads findings, not promises.