CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending February 28, 2022
City of San Leandro
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of February 28, 2022
1 SECTION | Section 1 | Economic Update
2 Economic Update
The Russian invasion into Ukraine and resulting Western sanctions on Russia have fueled volatility in financial markets. The latest escalation has exacerbated inflationary pressures, particularly in energy and commodities, and has caused tightening conditions in financial markets. While consumer spending and economic growth remain strong, we believe an extended conflict in Eastern Europe along with elevated energy prices increases the risk of an economic slowdown in the coming months. While we expect the Fed to tighten monetary policy, the FOMC has very little margin for error as it attempts to combat inflation without pushing the economy into a recession. Over the near-term, we expect financial market volatility to remain elevated and conditions to remain tighter with heightened geopolitical risk, supply chain bottlenecks and persistent inflation, and the Fed's pivot to less accommodative monetary policy.
The Federal Open Market Committee (FOMC) kept the fed funds target rate unchanged in January, in a range of 0.0%-0.25%, but indicated that they believe it will soon be appropriate to raise the target range. The Fed is also on track to complete their bond-buying program in early March. In addition, the FOMC is signaling that a passive reduction in the size of the Federal Reserve balance sheet is likely to commence later this year. The tone of Fed Chair Powell’s press conference was hawkish but he did not give any specific timelines. He mentioned that his outlook for inflation is incrementally worse than it was in December and that supply chain issues will linger for longer than previously expected. The Fed’s policy decisions will be led by incoming economic data and their evolving outlook. We are anticipating a rate hike announcement in March, but we do not believe that monetary policy is on a pre-set course and expect the Fed's policy adjustments will depend on developments in the economy.
In February, the 2-year Treasury yield increased 25 basis points to 1.43%, the 5-year Treasury yield increased 11 basis points to 1.72%, and the 10-year Treasury yield increased about 5 basis points to 1.83%. On a month-over-month basis, the yield curve continued to flatten. The spread between the 2-year and 10-year Treasury yield was roughly 40 basis points at February month-end, versus 60 basis points one month ago and 128 basis points one year ago. 3 Source: US Department of Labor Source: US Department of Labor Employment
The February employment report was stronger than expected at 678,000 with upward revisions from the prior months totaling 92,000. The three-month moving average payrolls is 556,000, very close to the six-month moving average of 570,000, signaling trends in employment remain robust. Job growth was broad-based, and the unemployment rate dropped from 4.0% in January to 3.8% in February. The labor participation rate increased marginally to 62.3% in February from 62.2% in January but remains lower than the pre-pandemic level of 63.4%.
The U-6 underemployment rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons, edged up to 7.2% in February from 7.1% in January, and is very close to its pre-pandemic level (7.0% in February 2020). Average hourly earnings were surprisingly unchanged month-over-month and were up 5.1% year-over-year in February versus 5.7% in January. As more participants enter the labor force, wage inflation dynamics should start to moderate, helping to lower the current elevated inflation readings. -22,000
-18,000
-14,000
-10,000
-6,000
-2,000
2,000
6,000
MOM Change In (000's)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
0.0%
4.0%
8.0%
12.0%
16.0%
20.0%
24.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Rate (%)
4 Initial Claims for Unemployment
-
5,000
10,000
15,000
20,000
25,000
In thousands
Initial Jobless Claims
Continuing Claims
Initial Claims For Unemployment June 19, 2020 - March 04, 2022 In the most recent week, the number of initial jobless claims was 227,000, versus 216,000 in the prior week. The level of continuing unemployment claims (where the data is lagged by one week) was 1.494 million, up from 1.469 million the prior week. Continuing jobless claims have declined significantly from the peak of nearly 25 million in May 2020, and have dropped below pre-pandemic levels (the 2019 average was 1.7 million).
Source: US Department of Labor
5 Source: US Department of Labor Source: US Department of Commerce Inflation
Although U.S. consumer prices were in line with expectations in February, inflation hit a 40-year high. The Consumer Price Index (CPI) was up
7.9% year-over-year in February, versus a 7.5% year-over-year gain in January. Core CPI (CPI less food and energy) was up 6.4% year-over-year in February, versus up 6.0% in January. Rising food and rent prices were primary contributors to the big increase, as well as the month-end surge in gas prices, which is likely to be even more pronounced in the March report. The Personal Consumption Expenditures (PCE) index was up 6.1% in January, up from 5.8% year-over-year in December. Core PCE was up 5.2% year-over-year in January, versus up 4.9% in December.
Current inflation readings continue to run well above the Fed’s longer-run target of around 2.0%. We believe pricing pressures are likely to increase in the coming months considering the recent surge in commodity prices, and will likely remain elevated longer than anticipated as a result of the conflict in Europe.
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
YOY( %) Change
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YOY( %) Change
6 Retail sales rebounded in January with the most significant gain in ten months. On a year-over-year basis, retail sales were up 13.0% in January versus up 16.9% in December. On a month-over-month basis, retail sales beat expectations, rising 3.8% in January versus a 2.5% decline in December. Excluding vehicles and gas, retail sales were up 3.8% month-over-month. Gains were broad-based with robust demand for goods, especially motor vehicles, home furnishings, and nonstore merchandise. Looking further ahead, we believe high levels of consumer savings along with improvement in the health situation and continued improvement in the labor market should provide a healthy tailwind for consumer spending. The Consumer Confidence index eased to 110.5 in February from 111.1 in January.
Source: US Department of Commerce Source: The Conference Board -30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Retail Sales YOY % Change
YOY (%) Change
80 90
100
110
120
130
140
Index Level
Consumer Confidence
Consumer
7 Source: The Conference Board Source: Federal Reserve Bank of Chicago Economic Activity
The Conference Board’s Leading Economic Index (LEI) decreased 0.3% month-over-month in January, following a 0.7% downwardly revised increase in December. On a year-over-year basis, the LEI was up 7.3% in January versus up 8.3% in December. Omicron, rising prices, supply chain snags, and scarcity of labor all weighed on the index in January. The Conference Board expects GDP growth to moderate in the first quarter to 2.0% but they are forecasting 3.5% growth for the full year. Meanwhile, the Chicago Fed National Activity Index (CFNAI) rose to 0.69 in January from an upwardly revised 0.07 in December. Employment and personal consumption contributed to the strong report. On a 3-month moving average basis, the CFNAI increased to 0.42 in January, while December was revised upward to 0.46. -8.00
-6.00
-4.00
-2.00
0.00 2.00
4.00 6.00
Chicago Fed National Activity Index (CFNAI)
3 Month Average
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
Leading Economic Indicators (LEI)
MOM ( %) Change
8 Source: US Department of Commerce Source: S&P
Housing
0 200
400
600
800
1000
1200
1400
1600
1800
2000
MOM Change (In Thousands of Units)
Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
0.0%
3.0%
6.0%
9.0%
12.0%
15.0%
18.0%
21.0%
24.0%
S&P/Case-Shiller 20 City Composite Home Price Index
YOY( %) Change
Total housing starts unexpectedly fell 4.1 percent to an annual rate of 1,638,000 in January. Single-family starts declined 5.6% while multifamily starts fell 2.1%, month-over-month. On a year-over-year basis, total housing starts were up 0.8% in January. According to the CaseShiller 20-City home price index, home prices were up 18.56% year-over-year in December versus up 18.35% year-over-year in November, suggesting tight supply may be continuing to support prices. 9 Source: Institute for Supply Management Source: Federal Reserve Manufacturing
The Institute for Supply Management (ISM) manufacturing index rebounded to 58.6 in February from 57.6 in January, which was negatively impacted by COVID restrictions. While supply bottlenecks continued, both new orders and backlog orders grew significantly in February.
Readings above 50.0 are indicative of expansion in the manufacturing sector. The Industrial Production index was up 4.1% in January versus up
3.8% in December. On a month-over-month basis, the Industrial Production index rose 1.4% in January, following a 0.1% decline in December.
Capacity utilization rose to 77.6% in January, up from 76.6% in December. Although capacity utilization remains below its longer-run average of
79.6%, it is running above the pre-pandemic level of 76.3%. Manufacturing production likely remains constrained by supply chain bottlenecks; the increase in January was largely concentrated in utilities due to colder weather. 40 42
44 46
48 50
52 54
56 58
60 62
64 66
Institute of Supply Management Purchasing Manager
Index
EXPANDING
CONTRACTING
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Industrial Production
YOY( %) Change
10 Source: US Department of Commerce Source: US Department of Commerce 3/21 6/21 9/21 12/21
7.4% 7.9% 1.4% 2.1%
-0.4% -0.7% 2.1% 5.4%
-1.6% -0.2% -1.3% -0.1%
0.8% -0.4% -0.4% -0.3%
0.0% 0.0% 0.5% -0.2%
6.3% 6.7% 2.3% 7.0%
Gross Private Domestic Investment
Personal Consumption Expenditures
Components of GDP
Federal Government Expenditures
State and Local (Consumption and Gross
Investment)
Net Exports and Imports
Total
-35.0%
-30.0%
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
According to the second estimate, fourth quarter GDP grew at an annualized rate of 7.0%, revised slightly upward from the advance estimate of
6.9%. Economic growth reaccelerated in the fourth quarter after slowing to a pace of 2.3% growth in the third quarter, bringing overall GDP growth for 2021 to 5.7%. While third quarter growth was held back by the outbreak of the Delta variant in the US, we anticipate the recent surge of omicron cases in the US will hamper current quarter economic growth. The consensus estimate calls for 1.5% GDP growth in the current quarter and 3.6% growth for 2022.
11 Federal Reserve
Source: Federal Reserve Source: Bloomberg
In 2020, the Fed took a wide range of aggressive actions to help stabilize and provide liquidity to the financial markets. The Fed lowered the fed funds target rate to a range of 0.0%-0.25% and started purchasing Treasury and agency mortgage-backed securities (MBS) to support smooth market functioning. Policymakers reinstated the Commercial Paper Funding Facility and Money Market Mutual Fund Liquidity Facility, and established the Primary Market Corporate Credit Facility, Secondary Market Corporate Credit Facility, Term Asset-Backed Securities Loan Facility, Paycheck Protection Program Liquidity Facility, Main Street Lending Facility, and Municipal Liquidity Facility. The Fed also provided short-term funding through large-scale repo operations and lowered the reserve requirement for depository institutions. Many of the Fed's lending facilities expired at the end of 2020. In June 2021, the Fed announced plans to unwind its corporate credit facility. The Fed started to taper their Treasury and agency MBS purchases in November 2021, and the Fed's bond-buying program is now on track to end by early March 2022. The Fed has also signaled that they are likely to start hiking the fed funds target rate this year.
0.00%
0.25%
0.50%
0.75%
1.00%
1.25%
1.50%
1.75%
2.00%
2.25%
2.50%
2.75%
Effective Federal Funds Rate
Yield (%)
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000
10,000,000
Federal Reserve Balance Sheet Assets
In $ millions
12 Source: Bloomberg Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yield (%)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
US Treasury Yield Curve
Feb-22
Nov-21
Feb-21
Yield (%)
Bond Yields
At the end of February, the 2-year Treasury yield was about 130 basis points higher, and the 10-Year Treasury yield was about 43 basis points higher, year-over-year. The spread between the 2-year Treasury yield and 10-year Treasury yield was 40 basis points at February month-end compared to the average historical spread (since 2003) of about 130 basis points. 13 Section 2| SECTION | Section 2 | Account Profile
14 Objectives
Chandler Asset Management Performance Objective
The performance objective for the City of San Leandro is to achieve a rate of return over a market cycle that equals or exceeds the return on a market index of similar duration and sector allocation.
Investment Objectives
The investment objectives of the City of San Leandro are first, to preserve principal; second, to provide liquidity; and third, to earn a return that is commensurate with the first two objectives.
Strategy
In order to achieve these objectives, the portfolio invests in high quality fixed income securities consistent with the investment policy and California Government Code.
As of February 28, 2022
15 Compliance As of February 28, 2022
Category Standard Comment
Treasury Issues No limitations Complies
Agency Issues No limitations Complies
Supranationals "AA" rated or higher by a NRSRO; 30% maximum; 10% max per issuer; Unsubordinated obligations issued by by IBRD, IFC or IADB only Complies
Municipal Securities Issued by City of San Leandro and its Agencies Complies Banker’s Acceptances "A" or highest money market rating by a NRSRO, such as S&P or Moody's; 40% maximum; 30% per issuer; 180 days max maturity Complies Commercial Paper
Highest rating by a NRSRO; Issuer must be a domestic corporation having assets in excess of $500 million and A-1 and P-1 rated or better by S&P and Moody's for its debt other than commercial paper; 25% maximum; 10% max of the outstanding commercial paper of any single issuer; 270 days max maturity Complies
Negotiable Certificates of Deposit
(including CDARS) 30% maximum (including CDARS); FDIC Insured or Collateralized 110% Complies Time Deposits (TD)/ Certificates of
Deposit (CD) FDIC Insured or Collateralized 110% Complies Medium Term Corp Notes "A" rated or better by a NRSRO; 30% maximum; Issuers must be corporations organized and operating within the U.S. or depository institutions licensed by the U.S., or operating within the U.S. Complies Money Market Mutual Funds Highest rating by two NRSROs or SEC registered adviser with assets greater than $500 million; 20% maximum Complies Asset Backed Securities, Mortgage
Backed,Pass-Through Securities,
Collateralized Mortgage Obligations
"AA" rated or higher by a NRSRO; 20% maximum; 5% per single Asset-Backed or Commercial Mortgage issuer; There is no issuer limitation on any Mortgage security where the issuer is US Treasury or a Federal Agency/Government-sponsored Enterprise (GSE).
Complies
Repurchase Agreements 20% maximum; 360 days max maturity; 102% collateralized; Not used by IA Complies Reverse Repurchase Agreements 20% maximum; 92 days max maturity; Not used by IA Complies Local Agency Investment Fund (LAIF) Maximum program limit; Not used by IA Complies Social Responsibility The investment policy prohibits investing in an entity that received a significant portion of their revenues from the gun manufacturing, fossil fuel production, private prisons, and tobacco producers Complies Maximum Maturity 5 years Complies
City of San Leandro
Assets managed by Chandler Asset Management are in full compliance with state law and with the Client’s investment policy. 16 Portfolio Characteristics
City of San Leandro
02/28/22 11/30/21
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 1.81 1.84 1.80
Average Modified Duration 1.78 1.73 1.72
Average Purchase Yield n/a 1.16% 1.16%
Average Market Yield 1.37% 1.30% 0.54%
Average Quality** AAA AA+/Aa1 AA+/Aa1
Total Market Value 109,719,498 110,959,845
*ICE BofA 1-3 Yr US Treasury & Agency Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of February 28, 2022
17 City of San Leandro
Sector Distribution
ABS
3.1%
Agency
37.0%
Corporate
16.5%
Money Market
Fund
2.1%
Supranational
1.8%
US Treasury
37.7%
Commercial
Paper
1.8%
February 28, 2022 November 30, 2021
ABS
1.5%
Agency
39.9%
Corporate
16.4%
Money Market
Fund
6.4%
Supranational
2.5%
US Treasury
33.4%
As of February 28, 2022
18 Issue Name Investment Type % Portfolio
Government of United States US Treasury 37.70%
Federal National Mortgage Association Agency 13.14%
Federal Home Loan Bank Agency 11.09%
Federal Home Loan Mortgage Corp Agency 10.93%
Federated GOVT Obligation MMF Money Market Fund 2.12%
MUFG Bank Ltd/NY Commercial Paper 1.82%
Inter-American Dev Bank Supranational 1.81%
Federal Farm Credit Bank Agency 1.78%
Charles Schwab Corp/The Corporate 1.33%
Apple Inc Corporate 1.28%
Toyota Motor Corp Corporate 1.26%
JP Morgan Chase & Co Corporate 1.23%
Toronto Dominion Holdings Corporate 1.23%
Bank of America Corp Corporate 1.23%
Deere & Company Corporate 1.18%
Royal Bank of Canada Corporate 1.14%
Honda ABS ABS 1.06%
Chubb Corporation Corporate 0.95%
Wal-Mart Stores Corporate 0.94%
Visa Inc Corporate 0.93%
Bank of New York Corporate 0.93%
United Health Group Inc Corporate 0.88%
GM Financial Automobile Leasing Trust ABS 0.69%
Berkshire Hathaway Corporate 0.56%
US Bancorp Corporate 0.47%
GM Financial Securitized Term Auto Trust ABS 0.46%
IBM Corp Corporate 0.46%
Eli Lilly & Co Corporate 0.46%
John Deere ABS ABS 0.36%
BMW Vehicle Lease Trust ABS 0.33%
Hyundai Auto Receivables ABS 0.23%
TOTAL 100.00%
Issuers
City of San Leandro – Account #460
As of February 28, 2022
19 AAA AA A <A NR
02/28/22 5.7% 80.7% 12.3% 0.0% 1.4%
11/30/21 9.4% 77.4% 11.7% 0.0% 1.5%
Source: S&P Ratings
February 28, 2022 vs. November 30, 2021
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
90.0%
AAA AA A <A NR
02/28/22 11/30/21
Quality Distribution
City of San Leandro
As of February 28, 2022
20 0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ City of San Leandro ICE BofA 1-3 Yr US Treasury & Agency Index Portfolio Compared to the Benchmark
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+ Portfolio 9.2% 7.0% 12.6% 33.2% 23.2% 13.5% 1.3% 0.0%
Benchmark* 0.0% 0.0% 3.1% 55.8% 41.1% 0.0% 0.0% 0.0%
*ICE BofA 1-3 Yr US Treasury & Agency Index
Duration Distribution
City of San Leandro
As of February 28, 2022
21 -2.00%
-1.50%
-1.00%
-0.50%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
12 months 2 years 3 years 5 years 10 years Since Inception City of San Leandro ICE BofA 1-3 Yr US Treasury & Agency Index Total Rate of Return Annualized Since Inception April 30, 2004 Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since Inception
City of San Leandro -1.12% -1.36% 0.14% 1.62% 1.54% 1.17% 2.04% ICE BofA 1-3 Yr US Treasury & Agency Index -1.27% -1.51% 0.03% 1.54% 1.36% 0.99% 1.99% 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.
Investment Performance
City of San Leandro
As of February 28, 2022
22 SECTION | Section 3 | Portfolio Holdings
23 Holdings Report
City of San Leandro - Account #460
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
43815NAC8 Honda Auto Receivables Trust 2019-3 A3
1.780% Due 08/15/2023
212,552.14 08/20/2019
1.79%
212,550.37
212,551.83
100.28
0.94%
213,138.36
168.15
0.19%
586.53
Aaa / AAA
NR
1.46 0.31
477870AC3 John Deere Owner Trust 2019-B A3
2.210% Due 12/15/2023
122,987.14 07/16/2019
2.23%
122,961.02
122,976.50
100.46
0.78%
123,549.07
120.80
0.11%
572.57
Aaa / NR
AAA
1.79 0.31
36265MAC9 GM Financial Auto Lease Trust 2022-1 A3
1.900% Due 03/20/2025
755,000.00 02/15/2022
1.91%
754,993.51
754,993.56
100.00
1.91%
755,000.00
318.78
0.69%
6.44 Aaa / NR
AAA
3.06 1.86
05601XAC3 BMW Vehicle Lease Trust 2022-1 A3
1.100% Due 03/25/2025
360,000.00 01/11/2022
1.11%
359,946.18
359,948.95
99.24 1.57%
357,259.32
66.00 0.33%
(2,689.63)
NR / AAA
AAA
3.07 1.65
47788UAC6 John Deere Owner Trust 2021-A A3
0.360% Due 09/15/2025
280,000.00 03/02/2021
0.37%
279,946.18
279,960.75
98.24 1.60%
275,075.36
44.80 0.25%
(4,885.39)
Aaa / NR
AAA
3.55 1.43
43815GAC3 Honda Auto Receivables Trust 2021-4 A3
0.880% Due 01/21/2026
365,000.00 11/16/2021
0.89%
364,923.06
364,929.36
98.40 1.70%
359,165.11
89.22 0.33%
(5,764.25)
Aaa / NR
AAA
3.90 1.97
44935FAD6 Hyundai Auto Receivables Trust 2021-C A3
0.740% Due 05/15/2026
260,000.00 11/09/2021
0.75%
259,941.97
259,947.20
97.45 2.04%
253,380.92
85.51 0.23%
(6,566.28)
NR / AAA
AAA
4.21 1.99
43815BAC4 Honda Auto Receivables Trust 2022-1 A3
1.880% Due 05/15/2026
590,000.00 02/15/2022
1.89%
589,911.26
589,911.71
100.00
1.89%
590,000.00
246.49
0.54%
88.29 Aaa / AAA
NR
4.21 2.26
362554AC1 GM Financial Securitized Term 2021-4 A3
0.680% Due 09/16/2026
275,000.00 10/13/2021
0.68%
274,992.99
274,993.73
98.37 1.61%
270,529.33
77.92 0.25%
(4,464.40)
Aaa / AAA
NR
4.55 1.76
380146AC4 GM Financial Auto Receivables 2022-1 A3
1.260% Due 11/16/2026
240,000.00 01/11/2022
1.27%
239,979.14
239,979.85
98.99 2.44%
237,586.56
126.00
0.22%
(2,393.29)
NR / AAA
AAA
4.72 0.86
TOTAL ABS 3,460,539.28 1.37%
3,460,145.68
3,460,193.44 1.75%
3,434,684.03
1,343.67
3.13%
(25,509.41)
Aaa / AAA
Aaa
3.56 1.66
Agency
313378CR0 FHLB Note
2.250% Due 03/11/2022
1,250,000.00 10/15/2018
3.02%
1,219,012.50
1,249,750.50
100.06
0.45%
1,250,810.00
13,281.25
1.15%
1,059.50
Aaa / AA+
NR
0.03 0.04
3135G0V59 FNMA Note
2.250% Due 04/12/2022
2,570,000.00 Various
2.40%
2,559,310.20
2,569,586.06
100.24
0.27%
2,576,196.27
22,326.88
2.37%
6,610.21
Aaa / AA+
AAA
0.12 0.12
313379Q69 FHLB Note
2.125% Due 06/10/2022
2,200,000.00 Various
1.88%
2,215,234.00
2,201,463.33
100.49
0.40%
2,210,753.60
10,518.75
2.02%
9,290.27
Aaa / AA+
AAA
0.28 0.28
3135G0W33 FNMA Note
1.375% Due 09/06/2022
2,000,000.00 09/09/2019
1.56%
1,988,960.00
1,998,089.23
100.37
0.66%
2,007,406.00
13,368.06
1.84%
9,316.77
Aaa / AA+
AAA
0.52 0.52
313380GJ0 FHLB Note
2.000% Due 09/09/2022
1,000,000.00 02/04/2019
2.63%
978,540.00
996,859.51
100.64
0.80%
1,006,363.00
9,555.56
0.93%
9,503.49
Aaa / AA+
NR
0.53 0.52
As of February 28, 2022
24 Holdings Report
City of San Leandro - Account #460
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
3135G0T78 FNMA Note
2.000% Due 10/05/2022
900,000.00 12/12/2018
2.84%
872,703.00
895,725.04
100.68
0.86%
906,135.30
7,300.00
0.83%
10,410.26
Aaa / AA+
AAA
0.60 0.60
3137EAEQ8 FHLMC Note
0.375% Due 04/20/2023
2,000,000.00 05/19/2020
0.30%
2,004,180.00
2,001,628.83
99.13 1.14%
1,982,666.00
2,729.17
1.81%
(18,962.83)
Aaa / AA+
AAA
1.14 1.14
3137EAER6 FHLMC Note
0.375% Due 05/05/2023
2,000,000.00 05/11/2020
0.33%
2,002,740.00
2,001,082.90
99.08 1.16%
1,981,584.00
2,416.67
1.81%
(19,498.90)
Aaa / AA+
AAA
1.18 1.18
3133834G3 FHLB Note
2.125% Due 06/09/2023
1,000,000.00 06/11/2019
2.03%
1,003,690.00
1,001,176.85
101.06
1.29%
1,010,554.00
4,840.28
0.93%
9,377.15
Aaa / AA+
NR
1.28 1.26
3135G05G4 FNMA Note
0.250% Due 07/10/2023
1,800,000.00 08/18/2020
0.27%
1,799,190.00
1,799,619.18
98.59 1.29%
1,774,650.60
637.50
1.62%
(24,968.58)
Aaa / AA+
AAA
1.36 1.36
3137EAEV7 FHLMC Note
0.250% Due 08/24/2023
2,000,000.00 08/27/2020
0.29%
1,997,860.00
1,998,935.90
98.50 1.27%
1,969,932.00
97.22 1.80%
(29,003.90)
Aaa / AA+
AAA
1.48 1.48
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
2,000,000.00 12/21/2020
0.21%
2,002,180.00
2,001,301.52
98.01 1.40%
1,960,158.00
1,208.33
1.79%
(41,143.52)
Aaa / AA+
AAA
1.76 1.75
3130A0F70 FHLB Note
3.375% Due 12/08/2023
1,700,000.00 01/16/2019
2.73%
1,749,623.00
1,717,976.53
103.43
1.41%
1,758,337.20
13,228.13
1.61%
40,360.67
Aaa / AA+
AAA
1.78 1.72
3133EMNG3 FFCB Note
0.230% Due 01/19/2024
2,000,000.00 02/02/2021
0.20%
2,001,520.00
2,000,969.70
97.80 1.41%
1,955,968.00
536.67
1.78%
(45,001.70)
Aaa / AA+
AAA
1.89 1.87
3135G0V34 FNMA Note
2.500% Due 02/05/2024
2,000,000.00 03/25/2020
0.74%
2,133,740.00
2,066,917.39
101.97
1.46%
2,039,490.00
3,611.11
1.86%
(27,427.39)
Aaa / AA+
AAA
1.94 1.89
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
2,000,000.00 09/11/2019
1.66%
2,110,320.00
2,053,218.42
102.94
1.56%
2,058,844.00
12,298.61
1.89%
5,625.58
Aaa / AA+
NR
2.29 2.21
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
1,200,000.00 11/14/2019
1.70%
1,264,920.00
1,234,116.12
103.30
1.55%
1,239,576.00
16,100.00
1.14%
5,459.88
Aaa / AA+
AAA
2.54 2.42
3135G0W66 FNMA Note
1.625% Due 10/15/2024
2,000,000.00 10/17/2019
1.64%
1,998,140.00
1,999,020.46
100.06
1.60%
2,001,298.00
12,277.78
1.84%
2,277.54
Aaa / AA+
AAA
2.63 2.55
3130A3GE8 FHLB Note
2.750% Due 12/13/2024
1,500,000.00 12/10/2019
1.75%
1,571,250.00
1,539,700.33
103.05
1.63%
1,545,732.00
8,937.50
1.42%
6,031.67
Aaa / AA+
NR
2.79 2.67
3135G0X24 FNMA Note
1.625% Due 01/07/2025
2,100,000.00 Various
1.50%
2,111,993.00
2,106,942.14
99.93 1.65%
2,098,477.50
5,118.75
1.92%
(8,464.64)
Aaa / AA+
AAA
2.86 2.78
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
2,000,000.00 03/24/2020
0.95%
2,051,940.00
2,031,396.78
99.57 1.65%
1,991,486.00
1,583.33
1.82%
(39,910.78)
Aaa / AA+
AAA
2.96 2.88
3135G05X7 FNMA Note
0.375% Due 08/25/2025
1,000,000.00 10/20/2020
0.47%
995,420.00
996,704.16
95.43 1.73%
954,263.00
62.50 0.87%
(42,441.16)
Aaa / AA+
AAA
3.49 3.44
As of February 28, 2022
25 Holdings Report
City of San Leandro - Account #460
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
3137EAEX3 FHLMC Note
0.375% Due 09/23/2025
2,200,000.00 09/28/2020
0.42%
2,195,512.00
2,196,789.35
95.29 1.74%
2,096,474.60
3,620.83
1.91%
(100,314.75)
Aaa / AA+
AAA
3.57 3.51
TOTAL Agency 40,420,000.00 1.27%
40,827,977.70
40,658,970.23 1.23%
40,377,155.07
165,654.88
36.95%
(281,815.16)
Aaa / AA+
Aaa
1.70 1.66
Commercial Paper
62479MHS5 MUFG Bank Ltd/NY Discount CP
0.340% Due 08/26/2022
2,000,000.00 12/13/2021
0.35%
1,995,183.33
1,996,636.98
99.83 0.35%
1,996,636.98
0.00 1.82%
0.00 P-1 / A-1
NR
0.49 0.49
TOTAL Commercial Paper 2,000,000.00 0.35%
1,995,183.33
1,996,636.98 0.35%
1,996,636.98
0.00 1.82%
0.00 P-1 / A-1
NR
0.49 0.49
Corporate
459200JX0 IBM Corp Note
2.850% Due 05/13/2022
500,000.00 06/11/2019
2.47%
505,295.00
500,362.94
100.44
0.72%
502,205.50
4,275.00
0.46%
1,842.56
A3 / ANR0.20
0.21 532457BQ0 Eli Lilly & Co Note
2.350% Due 05/15/2022
500,000.00 04/09/2018
2.98%
487,860.00
499,390.97
100.31
0.90%
501,545.00
3,459.72
0.46%
2,154.03
A2 / A+
NR
0.21 0.21
46625HJE1 JP Morgan Chase Note
3.250% Due 09/23/2022
400,000.00 12/27/2018
3.56%
395,680.00
399,346.61
101.21
1.11%
404,840.00
5,705.56
0.37%
5,493.39
A2 / AAA0.57
0.56 92826CAC6 Visa Inc Callable Note Cont 10/14/2022
2.800% Due 12/14/2022
1,000,000.00 12/27/2018
3.21%
984,920.00
996,992.35
101.10
1.05%
1,010,972.00
5,988.89
0.93%
13,979.65
Aa3 / AANR0.79
0.61 06051GEU9 Bank of America Corp Note
3.300% Due 01/11/2023
1,325,000.00 Various
3.41%
1,318,494.00
1,323,828.11
101.68
1.35%
1,347,208.33
6,072.92
1.23%
23,380.22
A2 / AAA0.87
0.86 06406RAE7 Bank of NY Mellon Corp Callable Note Cont 12/29/2022
2.950% Due 01/29/2023
1,000,000.00 Various
3.47%
979,606.00
995,640.73
101.27
1.43%
1,012,710.00
2,622.22
0.93%
17,069.27
A1 / A
AA0.920.82
084670BR8 Berkshire Hathaway Callable Note Cont 1/15/2023
2.750% Due 03/15/2023
600,000.00 12/20/2018
3.40%
584,730.00
596,246.87
101.27
1.30%
607,630.20
7,608.33
0.56%
11,383.33
Aa2 / AA
A+
1.04 0.85
037833AK6 Apple Inc Note
2.400% Due 05/03/2023
900,000.00 12/12/2018
3.43%
862,677.00
890,022.33
101.28
1.30%
911,528.10
7,080.00
0.84%
21,505.77
Aaa / AA+
NR
1.18 1.16
931142EK5 Wal-Mart Stores Callable Note Cont 5/26/2023
3.400% Due 06/26/2023
1,000,000.00 12/19/2018
3.24%
1,006,440.00
1,001,796.19
102.51
1.37%
1,025,056.00
6,138.89
0.94%
23,259.81
Aa2 / AA
AA
1.32 1.21
90331HNV1 US Bank NA Callable Note Cont 6/23/2023
3.400% Due 07/24/2023
500,000.00 04/15/2019
2.84%
511,010.00
503,451.43
102.34
1.61%
511,675.50
1,747.22
0.47%
8,224.07
A1 / AAAA1.40
1.28 24422EUR8 John Deere Capital Corp Note
3.450% Due 01/10/2024
300,000.00 01/29/2019
3.24%
302,907.00
301,095.16
103.05
1.78%
309,139.20
1,466.25
0.28%
8,044.04
A2 / A
A
1.87 1.80
As of February 28, 2022
26 Holdings Report
City of San Leandro - Account #460
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
24422EVN6 John Deere Capital Corp Note
0.450% Due 01/17/2024
1,000,000.00 03/03/2021
0.44%
1,000,200.00
1,000,131.11
97.81 1.63%
978,105.00
550.00
0.89%
(22,026.11)
A2 / A
A
1.88 1.86
89114QCB2 Toronto Dominion Bank Note
3.250% Due 03/11/2024
1,300,000.00 Various
3.00%
1,314,864.00
1,306,167.48
102.63
1.92%
1,334,252.40
19,951.39
1.23%
28,084.92
A1 / A
AA2.031.94
808513BN4 Charles Schwab Corp Callable Note Cont 2/18/2024
0.750% Due 03/18/2024
1,000,000.00 03/19/2021
0.63%
1,003,360.00
1,002,274.80
97.89 1.80%
978,904.00
3,395.83
0.90%
(23,370.80)
A2 / A
A
2.05 2.02
00440EAR8 Chubb INA Holdings Inc Note
3.350% Due 05/15/2024
1,000,000.00 04/28/2021
0.54%
1,084,780.00
1,061,505.56
103.12
1.90%
1,031,221.00
9,863.89
0.95%
(30,284.56)
A3 / A
A
2.21 2.11
89236TJT3 Toyota Motor Credit Corp Note
1.450% Due 01/13/2025
1,400,000.00 01/28/2022
1.73%
1,388,856.00
1,389,155.79
98.44 2.01%
1,378,174.00
2,706.67
1.26%
(10,981.79)
A1 / A+
A+
2.88 2.79
037833DT4 Apple Inc Callable Note Cont 4/11/2025
1.125% Due 05/11/2025
500,000.00 06/24/2020
0.77%
508,455.00
505,543.25
97.67 1.88%
488,362.00
1,718.75
0.45%
(17,181.25)
Aaa / AA+
NR
3.20 3.11
78015K7H1 Royal Bank of Canada Note
1.150% Due 06/10/2025
1,300,000.00 05/25/2021
0.93%
1,311,557.00
1,309,378.80
96.28 2.33%
1,251,699.80
3,363.75
1.14%
(57,679.00)
A1 / A
AA3.283.18
46647PBH8 JP Morgan Chase & Co Callable Note Mthly 3/13/2025
2.005% Due 03/13/2026
950,000.00 04/07/2021
1.18%
979,811.00
973,033.88
98.41 2.34%
934,908.30
8,888.83
0.86%
(38,125.58)
A2 / AAA4.04
3.81 808513BR5 Charles Schwab Corp Callable Note Cont 4/13/2026
1.150% Due 05/13/2026
500,000.00 05/17/2021
1.17%
499,515.00
499,591.21
96.07 2.13%
480,339.50
1,725.00
0.44%
(19,251.71)
A2 / A
A
4.21 4.06
91324PEC2 United Health Group Inc Callable Note Cont 4/15/2026
1.150% Due 05/15/2026
1,000,000.00 12/13/2021
1.46%
986,870.00
987,489.03
95.81 2.20%
958,063.00
3,386.11
0.88%
(29,426.03)
A3 / A+
A
4.21 4.06
TOTAL Corporate 17,975,000.00 2.15%
18,017,887.00
18,042,444.60 1.68%
17,958,538.83
107,715.22
16.47%
(83,905.77)
A1 / A+
A+
2.00 1.91
Money Market Fund
60934N104 Federated Investors Government Obligations Fund 2,327,677.52 Various
0.03%
2,327,677.52
2,327,677.52
1.00 0.03%
2,327,677.52
0.00 2.12%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 2,327,677.52 0.03%
2,327,677.52
2,327,677.52 0.03%
2,327,677.52
0.00 2.12%
0.00 Aaa / AAA
Aaa
0.00 0.00
As of February 28, 2022
27 Holdings Report
City of San Leandro - Account #460
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
Supranational
4581X0DM7 Inter-American Dev Bank Note
0.500% Due 05/24/2023
2,000,000.00 04/23/2020
0.48%
2,001,220.00
2,000,488.22
99.12 1.22%
1,982,348.00
2,694.44
1.81%
(18,140.22)
Aaa / AAA
NR
1.23 1.23
TOTAL Supranational 2,000,000.00 0.48%
2,001,220.00
2,000,488.22 1.22%
1,982,348.00
2,694.44
1.81%
(18,140.22)
Aaa / AAA
NR
1.23 1.23
US Treasury
912828W89 US Treasury Note
1.875% Due 03/31/2022
1,100,000.00 12/13/2018
2.75%
1,069,750.00
1,099,245.64
100.14
0.24%
1,101,531.20
8,612.64
1.01%
2,285.56
Aaa / AA+
AAA
0.08 0.09
912828X47 US Treasury Note
1.875% Due 04/30/2022
1,800,000.00 01/16/2019
2.54%
1,762,242.19
1,798,110.53
100.25
0.36%
1,804,577.40
11,281.08
1.66%
6,466.87
Aaa / AA+
AAA
0.17 0.17
9128287C8 US Treasury Note
1.750% Due 07/15/2022
2,000,000.00 04/08/2020
0.25%
2,067,578.13
2,011,113.21
100.45
0.57%
2,008,906.00
4,350.83
1.83%
(2,207.21)
Aaa / AA+
AAA
0.38 0.38
912828L24 US Treasury Note
1.875% Due 08/31/2022
1,100,000.00 12/17/2018
2.72%
1,067,515.63
1,095,603.08
100.58
0.71%
1,106,402.00
56.05 1.01%
10,798.92
Aaa / AA+
AAA
0.50 0.50
912828Z29 US Treasury Note
1.500% Due 01/15/2023
1,400,000.00 04/28/2021
0.15%
1,432,320.31
1,416,521.56
100.43
1.00%
1,406,070.40
2,610.50
1.28%
(10,451.16)
Aaa / AA+
AAA
0.88 0.87
912828Z86 US Treasury Note
1.375% Due 02/15/2023
1,850,000.00 Various
0.18%
1,900,808.59
1,871,166.59
100.30
1.06%
1,855,636.95
983.77
1.69%
(15,529.64)
Aaa / AA+
AAA
0.96 0.96
912828P79 US Treasury Note
1.500% Due 02/28/2023
1,950,000.00 10/20/2020
0.16%
2,011,318.36
1,975,953.35
100.40
1.10%
1,957,768.80
79.48 1.78%
(18,184.55)
Aaa / AA+
AAA
1.00 0.99
912828ZD5 US Treasury Note
0.500% Due 03/15/2023
2,000,000.00 06/17/2020
0.21%
2,015,703.13
2,005,951.49
99.39 1.09%
1,987,890.00
4,613.26
1.82%
(18,061.49)
Aaa / AA+
AAA
1.04 1.03
91282CAF8 US Treasury Note
0.125% Due 08/15/2023
1,750,000.00 06/21/2021
0.28%
1,744,189.45
1,746,057.13
98.32 1.28%
1,720,673.50
84.60 1.57%
(25,383.63)
Aaa / AA+
AAA
1.46 1.45
9128285D8 US Treasury Note
2.875% Due 09/30/2023
1,000,000.00 06/24/2019
1.77%
1,045,156.25
1,016,752.45
102.41
1.33%
1,024,102.00
12,005.49
0.94%
7,349.55
Aaa / AA+
AAA
1.59 1.53
912828T26 US Treasury Note
1.375% Due 09/30/2023
1,000,000.00 05/25/2021
0.19%
1,027,617.19
1,018,626.30
100.07
1.33%
1,000,742.00
5,741.76
0.92%
(17,884.30)
Aaa / AA+
AAA
1.59 1.55
9128285K2 US Treasury Note
2.875% Due 10/31/2023
1,200,000.00 09/29/2020
0.16%
1,300,359.38
1,254,279.63
102.45
1.39%
1,229,343.60
11,531.77
1.13%
(24,936.03)
Aaa / AA+
AAA
1.67 1.62
912828WE6 US Treasury Note
2.750% Due 11/15/2023
1,000,000.00 06/19/2019
1.86%
1,037,343.75
1,014,482.60
102.31
1.38%
1,023,086.00
8,052.49
0.94%
8,603.40
Aaa / AA+
AAA
1.71 1.66
91282CAW1 US Treasury Note
0.250% Due 11/15/2023
1,500,000.00 12/21/2020
0.16%
1,503,808.59
1,502,246.28
98.10 1.38%
1,471,524.00
1,098.07
1.34%
(30,722.28)
Aaa / AA+
AAA
1.71 1.69
As of February 28, 2022
28 Holdings Report
City of San Leandro - Account #460
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
91282CBE0 US Treasury Note
0.125% Due 01/15/2024
1,100,000.00 02/02/2021
0.18%
1,098,281.25
1,098,905.81
97.59 1.43%
1,073,531.80
170.93
0.98%
(25,374.01)
Aaa / AA+
AAA
1.88 1.86
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
1,800,000.00 06/24/2021
0.42%
1,797,890.63
1,798,403.05
97.68 1.49%
1,758,234.60
2,540.52
1.60%
(40,168.45)
Aaa / AA+
AAA
2.13 2.10
912828XT2 US Treasury Note
2.000% Due 05/31/2024
2,000,000.00 03/03/2021
0.34%
2,106,640.63
2,074,035.98
101.09
1.50%
2,021,876.00
10,000.00
1.85%
(52,159.98)
Aaa / AA+
AAA
2.25 2.19
91282CCL3 US Treasury Note
0.375% Due 07/15/2024
1,250,000.00 07/15/2021
0.44%
1,247,705.08
1,248,182.93
97.30 1.53%
1,216,308.75
582.70
1.11%
(31,874.18)
Aaa / AA+
AAA
2.38 2.35
91282CCT6 US Treasury Note
0.375% Due 08/15/2024
1,000,000.00 08/11/2021
0.45%
997,890.63
998,270.12
97.17 1.55%
971,719.00
145.03
0.89%
(26,551.12)
Aaa / AA+
AAA
2.46 2.44
91282CDH1 US Treasury Note
0.750% Due 11/15/2024
2,500,000.00 12/13/2021
0.93%
2,487,304.69
2,488,220.85
97.76 1.60%
2,443,945.00
5,490.33
2.23%
(44,275.85)
Aaa / AA+
AAA
2.72 2.66
912828YV6 US Treasury Note
1.500% Due 11/30/2024
2,000,000.00 09/16/2021
0.49%
2,064,218.75
2,055,162.26
99.74 1.60%
1,994,844.00
7,500.00
1.82%
(60,318.26)
Aaa / AA+
AAA
2.76 2.68
912828ZF0 US Treasury Note
0.500% Due 03/31/2025
2,500,000.00 12/13/2021
1.01%
2,458,789.06
2,461,426.83
96.60 1.63%
2,415,040.00
5,219.78
2.21%
(46,386.83)
Aaa / AA+
AAA
3.09 3.03
912828ZT0 US Treasury Note
0.250% Due 05/31/2025
1,100,000.00 04/01/2021
0.69%
1,080,105.47
1,084,433.22
95.54 1.67%
1,050,887.20
687.50
0.96%
(33,546.02)
Aaa / AA+
AAA
3.25 3.21
9128284Z0 US Treasury Note
2.750% Due 08/31/2025
2,000,000.00 06/21/2021
0.73%
2,166,562.50
2,139,146.60
103.57
1.69%
2,071,484.00
149.46
1.89%
(67,662.60)
Aaa / AA+
AAA
3.51 3.34
91282CAZ4 US Treasury Note
0.375% Due 11/30/2025
2,000,000.00 09/16/2021
0.72%
1,971,640.63
1,974,689.03
95.16 1.71%
1,903,282.00
1,875.00
1.74%
(71,407.03)
Aaa / AA+
AAA
3.76 3.69
91282CBT7 US Treasury Note
0.750% Due 03/31/2026
1,700,000.00 10/14/2021
0.98%
1,682,667.97
1,684,126.50
96.17 1.73%
1,634,856.00
5,324.18
1.49%
(49,270.50)
Aaa / AA+
AAA
4.09 3.98
TOTAL US Treasury 41,600,000.00 0.74%
42,145,408.24
41,931,113.02 1.30%
41,254,262.20
110,787.22
37.70%
(676,850.82)
Aaa / AA+
Aaa
1.95 1.91
TOTAL PORTFOLIO 109,783,216.80 1.16%
110,775,499.47
110,417,524.01 1.30%
109,331,302.63
388,195.43
100.00%
(1,086,221.38)
Aa1 / AA+
Aaa
1.84 1.73
TOTAL MARKET VALUE PLUS ACCRUALS 109,719,498.06
As of February 28, 2022
29 SECTION | Section 4 | Transactions
30 Transaction Ledger
City of San Leandro - Account #460
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount InterestPur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 12/14/2021 62479MHS5 2,000,000.00 MUFG Bank Ltd/NY Discount CP
0.34% Due: 08/26/2022
99.759 0.35% 1,995,183.33 0.00 1,995,183.33 0.00
Purchase 12/14/2021 912828ZF0 2,500,000.00 US Treasury Note
0.5% Due: 03/31/2025
98.352 1.01% 2,458,789.06 2,575.55 2,461,364.61 0.00
Purchase 12/14/2021 91282CDH1 2,500,000.00 US Treasury Note
0.75% Due: 11/15/2024
99.492 0.93% 2,487,304.69 1,502.07 2,488,806.76 0.00
Purchase 12/15/2021 91324PEC2 1,000,000.00 United Health Group Inc Callable Note Cont 4/15/2026
1.15% Due: 05/15/2026
98.687 1.46% 986,870.00 958.33 987,828.33 0.00
Purchase 01/19/2022 05601XAC3 360,000.00 BMW Vehicle Lease Trust 2022-1 A3
1.1% Due: 03/25/2025
99.985 1.11% 359,946.18 0.00 359,946.18 0.00
Purchase 01/19/2022 380146AC4 240,000.00 GM Financial Auto Receivables 2022-1 A3
1.26% Due: 11/16/2026
99.991 1.27% 239,979.14 0.00 239,979.14 0.00
Purchase 01/31/2022 89236TJT3 1,400,000.00 Toyota Motor Credit Corp Note
1.45% Due: 01/13/2025
99.204 1.73% 1,388,856.00 1,015.00 1,389,871.00 0.00
Purchase 02/23/2022 36265MAC9 755,000.00 GM Financial Auto Lease Trust 2022-1 A3
1.9% Due: 03/20/2025
99.999 1.91% 754,993.51 0.00 754,993.51 0.00
Purchase 02/23/2022 43815BAC4 590,000.00 Honda Auto Receivables Trust 2022-1 A3
1.88% Due: 05/15/2026
99.985 1.89% 589,911.26 0.00 589,911.26 0.00
Subtotal 11,345,000.00 11,261,833.17 6,050.95 11,267,884.12 0.00 TOTAL ACQUISITIONS 11,345,000.00 11,261,833.17 6,050.95 11,267,884.12 0.00
DISPOSITIONS
Call 01/06/2022 594918BW3 500,000.00 Microsoft Callable Note Cont 1/6/2022
2.4% Due: 02/06/2022
100.000 2.53% 500,000.00 5,000.00 505,000.00 0.00
November 30, 2021 through February 28, 2022
As of February 28, 2022
31 Transaction Ledger
City of San Leandro - Account #460
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount InterestPur/Sold Total Amount Gain/Loss Call 01/18/2022 69353RFB9 1,200,000.00 PNC Bank Callable Note Cont 1/18/2022
2.625% Due: 02/17/2022
100.000 3.02% 1,200,000.00 13,212.50 1,213,212.50 0.00
Subtotal 1,700,000.00 1,700,000.00 18,212.50 1,718,212.50 0.00 Maturity 12/10/2021 313376C94 1,000,000.00 FHLB Note
2.625% Due: 12/10/2021
100.000 1,000,000.00 0.00 1,000,000.00 0.00
Maturity 01/11/2022 89236TDP7 450,000.00 Toyota Motor Credit Corp Note
2.6% Due: 01/11/2022
100.000 450,000.00 0.00 450,000.00 0.00
Maturity 01/13/2022 3137EADB2 2,000,000.00 FHLMC Note
2.375% Due: 01/13/2022
100.000 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 01/18/2022 4581X0CW6 800,000.00 Inter-American Dev Bank Note
2.125% Due: 01/18/2022
100.000 800,000.00 0.00 800,000.00 0.00
Subtotal 4,250,000.00 4,250,000.00 0.00 4,250,000.00 0.00 TOTAL DISPOSITIONS 5,950,000.00 5,950,000.00 18,212.50 5,968,212.50 0.00 November 30, 2021 through February 28, 2022
As of February 28, 2022
32 Important Disclosures
2022 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential. Prices are provided by IDC, an independent pricing source. In the event IDC does not provide a price or if the price provided is not reflective of fair market value, Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures. Our valuation procedures are also disclosed in Item 5 of our Form ADV Part 2A.
Performance results are presented gross-of-advisory fees and represent the client’s Total Return. The deduction of advisory fees lowers performance results. These results include the reinvestment of dividends and other earnings. Past performance may not be indicative of future results. Therefore, clients should not assume that future performance of any specific investment or investment strategy will be profitable or equal to past performance levels. All investment strategies have the potential for profit or loss. Economic factors, market conditions or changes in investment strategies, contributions or withdrawals may materially alter the performance and results of your portfolio.
Index returns assume reinvestment of all distributions. Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the deduction of an investment management fee, the incurrence of which would have the effect of decreasing historical performance results. It is not possible to invest directly in an index.
Source ice Data Indices, LLC ("ICE"), used with permission. ICE permits use of the ICE indices and related data on an "as is" basis; ICE, its affiliates and their respective third party suppliers disclaim any and all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, or derived therefrom. Neither ICE data, its affiliates or their respective third party providers guarantee the quality, adequacy, accuracy, timeliness or completeness of the indices or the index data or any component thereof, and the indices and index data and all components thereof are provided on an "as is" basis and licensee's use it at licensee's own risk. ICE data, its affiliates and their respective third party do not sponsor, endorse, or recommend chandler asset management, or any of its products or services.
This report is provided for informational purposes only and should not be construed as a specific investment or legal advice. The information contained herein was obtained from sources believed to be reliable as of the date of publication, but may become outdated or superseded at any time without notice. Any opinions or views expressed are based on current market conditions and are subject to change. This report may contain forecasts and forward-looking statements which are inherently limited and should not be relied upon as indicator of future results. Past performance is not indicative of future results. This report is not intended to constitute an offer, solicitation, recommendation or advice regarding any securities or investment strategy and should not be regarded by recipients as a substitute for the exercise of their own judgment.
Fixed income investments are subject to interest, credit and market risk. Interest rate risk: the value of fixed income investments will decline as interest rates rise. Credit risk: the possibility that the borrower may not be able to repay interest and principal. Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk. Market risk: the bond market in general could decline due to economic conditions, especially during periods of rising interest rates.
Ratings information have been provided by Moody’s, S&P and Fitch through data feeds we believe to be reliable as of the date of this statement, however we cannot guarantee its accuracy.
Security level ratings for U.S. Agency issued mortgage-backed securities (“MBS”) reflect the issuer rating because the securities themselves are not rated. The issuing U.S. Agency guarantees the full and timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P, Moody’s and Fitch respectively.
As of February 28, 2022
33 Benchmark Disclosures
ICE BofA 1-3 Yr US Treasury & Agency Index
The ICE BofA 1-3 Year US Treasury & Agency Index tracks the performance of US dollar denominated US Treasury and nonsubordinated US agency debt issued in the US domestic market. Qualifying securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch). Qualifying securities must have at least one year remaining term to final maturity and less than three years remaining term to final maturity, at least 18 months to maturity at time of issuance, a fixed coupon schedule, and a minimum amount outstanding of $1 billion for sovereigns and $250 million for agencies.
As of February 28, 2022
34