CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending September 30, 2022
City of San Leandro
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Consolidated Information
SECTION 4 Portfolio Holdings
SECTION 5 Transactions
Table of Contents As of September 30, 2022
1 SECTION | Section 1 | Economic Update
2 Economic Update
Market volatility has intensified as financial conditions tighten and global central banks pursue monetary policies to combat persistently high inflation and maintain financial market stability. Labor markets and consumer balance sheets remain strong; however, inflation is weighing heavily on consumer sentiment and beginning to impact discretionary spending.
Corporate earnings have generally performed better than expected, but warnings are growing along with wider credit spreads. While evidence of slower economic conditions has begun to mount, we expect the Federal Reserve to continue to raise rates until a sustainable improvement in inflationary conditions has been achieved. Over the near-term, we expect financial market volatility to remain intensified and conditions tighter with persistent inflation, geopolitical risk, and the Fed's hawkish monetary policy.
As expected at the November 2nd meeting, the Federal Open Market Committee (FOMC) raised the fed funds target rate by 75 basis points for the fourth consecutive time to a range of 3.75 – 4.00%, the highest level since 2008. Federal Reserve Chairman Powell reiterated that the risks of pausing too soon outweigh the risks of slower economic growth. He commented that rates would likely reach higher levels than projected and that policy would need to remain restrictive for some time. We believe the FOMC will continue to implement restrictive monetary policy until inflationary pressures subside but will look for an opportunity to slow the pace of rate hikes as economic growth moderates.
In October, yields rose across the curve. The 2-year Treasury yield increased 20 basis points to 4.49%, the 5-year Treasury yield rose 14 basis points to 4.23%, and the 10-year Treasury yield gained 22 basis points to 4.05%. The spread between the 2- year Treasury yield and 10-year Treasury yield remained inverted at -44 basis points at October month-end versus -45 basis points at September month-end. The spread was a positive 106 basis points one year ago. The spread between 3-month and 10-year treasuries inverted by -2 basis points in October compared to a positive 56-basis point spread in September.
The shape of the yield curve indicates that the probability of recession is increasing. 3 Source: US Department of Labor Source: US Department of Labor Employment
The U.S. economy added 261,000 jobs in October, surpassing market expectations of 193,000, and gains were revised upward by 29,000 for the prior two months. Trends in employment remain strong, with the three-month moving average payrolls at 289,000 and the six-month moving average at 347,000. Gains were broad-based, led by healthcare, professional and business services, and leisure and hospitality. The unemployment rate ticked up to 3.7% from 3.5%, and the labor participation rate dipped to 62.2% in October from 62.3% in September. 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 6.8% from 6.7% last month. Average hourly earnings rose 4.7% year-over-year in October compared to 5.0% year-over-year in September. While the pace of job growth is moderating, the report demonstrates a strong demand for labor and provides the Fed further support for continued rate hikes.
-200
0 200
400
600
800
1,000
1,200
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%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Rate (%)
4 Source: US Department of Labor Source: US Department of Commerce Inflation
The Consumer Price Index (CPI) increased more than expected in September, up 8.2% year-over-year versus consensus expectations for 8.1%, but down slightly from 8.3% in August. The Core CPI, which excludes volatile food and energy components, jumped to 6.6% year-over-year, up from 6.3% in August and the highest level since 1982. The report included widespread increases, particularly in food, shelter, and medical care services. Owners’ equivalent rent, which is a major contributor to CPI and tends to lag, was up 6.7% year-over-year. The Personal Consumption Expenditures (PCE) index rose 6.2% in September in line with prior and slightly lower than consensus estimates of 6.3%. Core PCE increased to
5.1% year-over-year in September versus up 4.9% year-over-year in August. Persistently elevated inflation is likely to keep the Federal Reserve on the path of tightening monetary policy as long as it continues to run well above the Fed’s longer-run target of around 2.0%.
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
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%
10.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YOY( %) Change
5 Advance retail sales were flat for the month but up 8.2% year-over-year in September, slowing from August’s 9.4% year-over-year gain that surprised to the upside. Retail sales growth is starting to reflect the headwinds from higher prices as consumers dip into savings and assume more debt. The Conference Board’s Consumer Confidence Index declined in October to 102.5 after back-to-back monthly gains due to a sharp decrease in the present situation and dismal expectations of the short-term outlook. Renewed rises in gas and food prices drove increases in inflationary pressures, which will pose strong headwinds to consumer confidence and spending heading into the holiday season.
Source: US Department of Commerce Source: The Conference Board
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
6 Source: The Conference Board Source: Federal Reserve Bank of Chicago Economic Activity
The Conference Board’s Leading Economic Index (LEI) remained in negative territory at -0.4% in September, following an upwardly revised 0% in August. The LEI is down 2.8% for the six-month period between March and September 2022, versus its 1.4% growth over the previous six months. The Conference Board cited widespread weakness among the index's ten components and expects slower economic growth going forward. The Chicago Fed National Activity Index (CFNAI) was unchanged at 0.10 in September indicating steady economic growth over the month. On a 3-month moving average basis, the CFNAI increased to 0.17 in September from an upwardly revised 0.04 in August. -1.00
-0.50
0.00 0.50
1.00 1.50
2.00 Chicago Fed National Activity Index (CFNAI)
3 Month Average
-0.8%
-0.6%
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
Leading Economic Indicators (LEI)
MOM ( %) Change
7 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 declined 8.1% to an annual rate of 1,439,000 in September, after a downward revision to 1,566,000 units in August. Single-family home starts fell 4.7% and multi-family starts fell 13.2% month-over-month. On a year-over-year basis, total housing starts decreased
7.7% reflecting a shift from single-family units to more affordable multi-family units as homebuyers struggle with a combination of elevated prices and higher mortgage rates. Mortgage rates for a 30-year fixed-rate loan are higher than they have been since 2006 at 7.08%. According to the Case-Shiller 20-City Home Price Index, the year-over-year increase continued its declining rate of increase to +13.1% in August, clearly displaying the impact of higher mortgage rates which have reduced demand for homebuying as affordability has declined. 8 Source: Institute for Supply Management Source: Federal Reserve Manufacturing
The Institute for Supply Management (ISM) manufacturing index declined to 50.2 in October from 50.9 in September. The index remained just above the breakeven point of 50, indicating expansion for the 29th consecutive month. However, the declining trend reflects a lower demand for goods as consumers shift to spending on services. Total industrial production rose 0.4% in September after a small upward revision to -0.1% in August. Gains were broad-based including both durable and non-durable goods. Capacity utilization increased to 80.3% in September after a minimal upward revision to 80.1% in August and continues to run slightly above the 1972-2021 average of 79.6%. 40 42
44 46
48 50
52 54
56 58
60 62
64 66
Institute of Supply Management Purchasing Manager Index
EXPANDING
CONTRACTING
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Industrial Production
YOY( %) Change
9 Source: US Department of Commerce Source: US Department of Commerce 12/21 3/22 6/22 9/22
2.1% 0.9% 1.4% 1.0%
5.1% 1.0% -2.8% -1.6%
-0.2% -3.1% 1.2% 2.8%
0.0% -0.4% -0.2% 0.2%
-0.2% 0.0% -0.1% 0.2%
7.0% -1.6% -0.6% 2.6%
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%
40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
According to the advance estimate, third quarter GDP increased at an annualized rate of 2.6%, following two quarterly contractions, due in part to resilient consumers, businesses and net exports. Personal Consumption Expenditures, the biggest part of the economy, rose 1.4% primarily due to continued strength in services spending. The consensus estimate calls for 0.6% growth in the fourth quarter and 1.7% growth for the full year 2022.
10 Federal Reserve
Source: Federal Reserve Source: Bloomberg
As expected at the November 2nd meeting, the Federal Open Market Committee (FOMC) raised the fed funds target rate by 75 basis points for the fourth consecutive time to a range of 3.75 – 4.00%, the highest level since 2008. Federal Reserve Chairman Powell reiterated that the risks of pausing too soon outweigh the risks of slower economic growth. He commented that rates would likely reach higher levels than projected and that policy would need to remain restrictive forsome time. The Fed acknowledged the cumulative tightening of monetary policy and the lag in its effects on inflation and the economy. There was no change to the pace of balance sheet reduction, which is expected to continue at a pace of approximately $95 billion per month. We believe the FOMC will continue to implement restrictive monetary policy until inflationary pressures subside but will look for an opportunity to slow the pace of rate hikes as economic growth moderates.
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
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
11 Source: Bloomberg Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yield (%)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
US Treasury Yield Curve
Oct-22
Jul-22
Oct-21
Yield (%)
Bond Yields
At the end of October, the 2-year Treasury yield was 399 basis points higher, and the 10-Year Treasury yield was about 250 basis points higher, year-over-year. The spread between the 2-year Treasury yield and 10-year Treasury yield remained inverted at -44 basis points at October month-end versus -45 basis points at September month-end. The average historical spread (since 2003) is about 130 basis points. The spread between 3-month and 10-year treasuries inverted by -2 basis points in October compared to a positive 56-basis point spread in September.
The shape of the yield curve indicates that the probability of recession is increasing. 12 Section 2| SECTION | Section 2 | Account Profile
13 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 September 30, 2022
14 Compliance As of September 30, 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. 15 Portfolio Characteristics
City of San Leandro
09/30/22 06/30/22
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 1.83 1.92 1.91
Average Modified Duration 1.76 1.74 1.75
Average Purchase Yield n/a 1.75% 1.52%
Average Market Yield 4.30% 4.31% 2.90%
Average Quality** AAA AA/Aa1 AA/Aa1
Total Market Value 127,057,730 128,771,833
*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 September 30, 2022
16 City of San Leandro
Sector Distribution
ABS
5.1%
Agency
26.1%
Corporate
23.2%
Money Market
Fund
1.5%
Supranational
1.5%
US Treasury
42.5%
September 30, 2022 June 30, 2022
ABS
4.7%
Agency
26.1%
Corporate
20.8% Money Market
Fund
0.0%
Supranational
1.5%
US Treasury
45.3%
Commercial
Paper
1.6%
As of September 30, 2022
17 Issue Name Investment Type % Portfolio
Government of United States US Treasury 42.52%
Federal Home Loan Mortgage Corp Agency 9.14%
Federal Home Loan Bank Agency 8.09%
Federal National Mortgage Association Agency 7.41%
Apple Inc Corporate 1.65%
Wal-Mart Stores Corporate 1.57%
Inter-American Dev Bank Supranational 1.54%
Federated GOVT Obligation MMF Money Market Fund 1.50%
Federal Farm Credit Bank Agency 1.50%
Toyota Motor Corp Corporate 1.39%
Toronto Dominion Holdings Corporate 1.34%
Amazon.com Inc Corporate 1.31%
Bank of New York Corporate 1.30%
Royal Bank of Canada Corporate 1.28%
Paccar Financial Corporate 1.26%
Caterpillar Inc Corporate 1.22%
United Health Group Inc Corporate 1.19%
US Bancorp Corporate 1.15%
Charles Schwab Corp/The Corporate 1.09%
JP Morgan Chase & Co Corporate 1.08%
GM Financial Automobile Leasing Trust ABS 1.07%
Bank of America Corp Corporate 1.05%
National Rural Utilities Corporate 1.02%
John Deere ABS ABS 1.00%
Deere & Company Corporate 0.98%
American Express ABS ABS 0.84%
Visa Inc Corporate 0.79%
Chubb Corporation Corporate 0.78%
Northern Trust Corp Corporate 0.77%
Honda ABS ABS 0.74%
GM Financial Securitized Term Auto Trust ABS 0.65%
Morgan Stanley Corporate 0.53%
Berkshire Hathaway Corporate 0.47%
Toyota ABS ABS 0.31%
BMW Vehicle Lease Trust ABS 0.27%
Hyundai Auto Receivables ABS 0.19%
TOTAL 100.00%
Issuers
City of San Leandro – Account #460
As of September 30, 2022
18 AAA AA A <A NR
09/30/22 6.3% 72.5% 17.0% 0.0% 4.2%
06/30/22 7.1% 76.1% 15.4% 0.0% 1.4%
Source: S&P Ratings
September 30, 2022 vs. June 30, 2022
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
AAA AA A <A NR
09/30/22 06/30/22
Quality Distribution
City of San Leandro
As of September 30, 2022
19 0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
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 3.1% 7.9% 15.6% 32.7% 30.6% 7.1% 3.0% 0.0%
Benchmark* 0.0% 0.0% 2.8% 59.4% 37.8% 0.0% 0.0% 0.0%
*ICE BofA 1-3 Yr US Treasury & Agency Index
Duration Distribution
City of San Leandro
As of September 30, 2022
20 -6.00%
-5.00%
-4.00%
-3.00%
-2.00%
-1.00%
0.00%
1.00%
2.00%
3.00%
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 -1.33% -4.28% -2.13% -0.29% 0.81% 0.81% 1.81% ICE BofA 1-3 Yr US Treasury & Agency Index -1.56% -4.86% -2.44% -0.48% 0.57% 0.61% 1.73% Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the ending value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
Investment Performance
City of San Leandro
As of September 30, 2022
21 Portfolio Characteristics
San Leandro Reporting
09/30/22
Portfolio
06/30/22
Portfolio
Average Maturity (yrs) 0.00 0.00
Modified Duration 0.00 0.00
Average Purchase Yield 1.38% 0.80%
Average Market Yield 1.38% 0.80%
Average Quality* NR/NR NR/NR
Total Market Value 71,366,576 87,620,564
*Portfolio is S&P and Moody’s, respectively.
As of September 30, 2022
22 San Leandro Reporting
Sector Distribution
Cash
13.7%
LAIF
86.3%
September 30, 2022 June 30, 2022
Cash
15.1%
LAIF
84.9%
As of September 30, 2022
23 SECTION | Section 3 | Consolidated Information
24 Portfolio Characteristics
City of San Leandro Consolidated
09/30/22 06/30/22
Portfolio Portfolio
Average Maturity (yrs) 1.23 1.14
Modified Duration 1.12 1.04
Average Purchase Yield 1.62% 1.23%
Average Market Yield 3.25% 2.05%
Average Quality* AA/Aa1 AA/Aa1
Total Market Value 198,424,306 216,392,397
* Portfolio is S&P and Moody’s respectively.
As of September 30, 2022
Fund Name Account Market Value
09/30/2022
Market Value
06/30/2022
LAIF - City Pool LGIP $61,338,957 $74,200,386
LAIF Successor Agency LGIP $28,335 $28,282
Wells Fargo General Fund Bank $9,758,554 $13,269,897
Total LAIF and Bank Balances $71,125,846 $87,498,565
Investment Portfolio Market Value Separate Account $127,057,730 $128,771,833 Total $198,183,576 $216,270,398
25 City of San Leandro Consolidated
Sector Distribution
ABS
3.3%
Agency
16.7%
Cash
4.9%
Corporate
14.9%
LAIF
31.0%
Money Market
Fund
1.0%
Supranational
1.0%
US Treasury
27.2%
September 30, 2022 June 30, 2022
ABS
2.8%
Agency
15.6%
Cash
6.1%
Corporate
12.4%
LAIF
34.4%
Money Market
Fund
0.0%
Supranational
0.9%
US Treasury
26.9%
Commercial
Paper
0.9%
As of September 30, 2022
26 SECTION | Section 4 | Portfolio Holdings
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
ABS
43815NAC8 Honda Auto Receivables Trust 2019-3 A3
1.780% Due 08/15/2023
35,322.94 08/20/2019
1.79%
35,322.65
35,322.94
99.89 3.58%
35,283.91
27.94 0.03%
(39.03)
Aaa / AAA
NR
0.87 0.06
477870AC3 John Deere Owner Trust 2019-B A3
2.210% Due 12/15/2023
22,625.87 07/16/2019
2.23%
22,621.06
22,624.55
99.88 3.61%
22,599.40
22.22 0.02%
(25.15)
Aaa / NR
AAA
1.21 0.08
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
754,995.32
96.55 4.71%
728,965.34
438.32
0.57%
(26,029.98)
Aaa / NR
AAA
2.47 1.24
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
359,963.42
96.29 4.76%
346,631.40
66.00 0.27%
(13,332.02)
NR / AAA
AAA
2.48 1.02
36266FAC3 GM Financial Auto Lease Trust 2022-2 A3
3.420% Due 06/20/2025
640,000.00 05/03/2022
3.45%
639,933.25
639,945.17
98.09 4.76%
627,790.08
668.80
0.49%
(12,155.09)
NR / AAA
AAA
2.72 1.46
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
279,969.51
96.11 4.92%
269,096.80
44.80 0.21%
(10,872.71)
Aaa / NR
AAA
2.96 0.86
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
364,943.25
94.61 4.70%
345,331.25
89.22 0.27%
(19,612.00)
Aaa / NR
AAA
3.31 1.43
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
259,957.95
94.36 4.93%
245,346.66
85.51 0.19%
(14,611.29)
NR / AAA
AAA
3.62 1.37
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
589,927.85
95.03 4.81%
560,680.54
492.98
0.44%
(29,247.31)
Aaa / AAA
NR
3.62 1.73
89238FAD5 Toyota Auto Receivables OT 2022-B A3
2.930% Due 09/15/2026
405,000.00 04/07/2022
2.95%
404,990.52
404,991.88
96.96 4.69%
392,705.01
527.40
0.31%
(12,286.87)
Aaa / AAA
NR
3.96 1.76
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
274,994.94
94.24 5.04%
259,163.58
77.92 0.20%
(15,831.36)
Aaa / AAA
NR
3.96 1.34
47787JAC2 John Deere Owner Trust 2022-A A3
2.320% Due 09/16/2026
450,000.00 03/10/2022
2.34%
449,900.46
449,915.95
95.59 5.00%
430,176.60
464.00
0.34%
(19,739.35)
Aaa / NR
AAA
3.96 1.67
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
239,983.53
95.13 4.79%
228,320.88
126.00
0.18%
(11,662.65)
NR / AAA
AAA
4.13 1.40
362585AC5 GM Financial Securitized ART 2022-2 A3
3.100% Due 02/16/2027
350,000.00 04/05/2022
3.13%
349,926.85
349,936.84
96.93 4.92%
339,259.55
452.08
0.27%
(10,677.29)
Aaa / AAA
NR
4.38 1.72
47800AAC4 John Deere Owner Trust 2022-B A3
3.740% Due 02/16/2027
565,000.00 07/12/2022
3.77%
564,946.04
564,949.06
97.65 4.86%
551,746.80
939.16
0.43%
(13,202.26)
Aaa / NR
AAA
4.38 2.16
02582JJT8 American Express Credit Trust 2022-2 A
3.390% Due 05/17/2027
1,105,000.00 05/17/2022
3.42%
1,104,755.57
1,104,784.80
96.77 4.75%
1,069,308.50
1,664.87
0.84%
(35,476.30)
NR / AAA
AAA
4.63 2.44
TOTAL ABS 6,697,948.81 2.34%
6,697,030.69
6,697,206.96 4.80%
6,452,406.30
6,187.22
5.08%
(244,800.66)
Aaa / AAA
AAA
3.62 1.65
As of September 30, 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
Agency
3135G0T78 FNMA Note
2.000% Due 10/05/2022
900,000.00 12/12/2018
2.84%
872,703.00
899,921.56
99.99 2.57%
899,925.30
8,800.00
0.72%
3.74 Aaa / AA+
AAA
0.01 0.01
3137EAEQ8 FHLMC Note
0.375% Due 04/20/2023
2,000,000.00 05/19/2020
0.30%
2,004,180.00
2,000,788.90
98.07 3.92%
1,961,452.00
3,354.17
1.55%
(39,336.90)
Aaa / AA+
AAA
0.55 0.54
3137EAER6 FHLMC Note
0.375% Due 05/05/2023
2,000,000.00 05/11/2020
0.33%
2,002,740.00
2,000,543.97
97.79 4.16%
1,955,834.00
3,041.67
1.54%
(44,709.97)
Aaa / AA+
AAA
0.59 0.58
3133834G3 FHLB Note
2.125% Due 06/09/2023
1,000,000.00 06/11/2019
2.03%
1,003,690.00
1,000,635.25
98.54 4.28%
985,444.00
6,611.11
0.78%
(15,191.25)
Aaa / AA+
NR
0.69 0.67
3135G05G4 FNMA Note
0.250% Due 07/10/2023
1,800,000.00 08/18/2020
0.27%
1,799,190.00
1,799,783.49
97.13 4.04%
1,748,296.80
1,012.50
1.38%
(51,486.69)
Aaa / AA+
AAA
0.78 0.76
3137EAEV7 FHLMC Note
0.250% Due 08/24/2023
2,000,000.00 08/27/2020
0.29%
1,997,860.00
1,999,356.82
96.54 4.21%
1,930,846.00
513.89
1.52%
(68,510.82)
Aaa / AA+
AAA
0.90 0.88
3130ATB71 FHLB Note
3.625% Due 09/06/2023
3,000,000.00 09/08/2022
3.64%
2,999,613.00
2,999,636.52
99.39 4.30%
2,981,655.00
7,552.08
2.35%
(17,981.52)
Aaa / NR
NR
0.93 0.90
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
2,000,000.00 12/21/2020
0.21%
2,002,180.00
2,000,868.36
95.43 4.27%
1,908,532.00
1,625.00
1.50%
(92,336.36)
Aaa / AA+
AAA
1.18 1.15
3130A0F70 FHLB Note
3.375% Due 12/08/2023
1,700,000.00 01/16/2019
2.73%
1,749,623.00
1,712,030.66
98.80 4.42%
1,679,520.10
18,009.38
1.34%
(32,510.56)
Aaa / AA+
AAA
1.19 1.14
3133EMNG3 FFCB Note
0.230% Due 01/19/2024
2,000,000.00 02/02/2021
0.20%
2,001,520.00
2,000,668.52
94.96 4.25%
1,899,128.00
920.00
1.50%
(101,540.52)
Aaa / AA+
AAA
1.30 1.27
3135G0V34 FNMA Note
2.500% Due 02/05/2024
2,000,000.00 03/25/2020
0.74%
2,133,740.00
2,046,633.65
97.59 4.36%
1,951,882.00
7,777.78
1.54%
(94,751.65)
Aaa / AA+
AAA
1.35 1.30
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
2,000,000.00 09/11/2019
1.66%
2,110,320.00
2,039,595.52
97.52 4.40%
1,950,310.00
17,090.28
1.55%
(89,285.52)
Aaa / AA+
NR
1.71 1.63
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
1,200,000.00 11/14/2019
1.70%
1,264,920.00
1,226,240.34
97.26 4.35%
1,167,090.00
1,725.00
0.92%
(59,150.34)
Aaa / AA+
AAA
1.96 1.87
3135G0W66 FNMA Note
1.625% Due 10/15/2024
2,000,000.00 10/17/2019
1.64%
1,998,140.00
1,999,239.04
94.91 4.25%
1,898,244.00
14,986.11
1.51%
(100,995.04)
Aaa / AA+
AAA
2.04 1.96
3130A3GE8 FHLB Note
2.750% Due 12/13/2024
1,500,000.00 12/10/2019
1.75%
1,571,250.00
1,531,354.68
96.71 4.33%
1,450,593.00
12,375.00
1.15%
(80,761.68)
Aaa / AA+
NR
2.21 2.09
3135G0X24 FNMA Note
1.625% Due 01/07/2025
2,100,000.00 Various
1.50%
2,111,993.00
2,105,517.76
94.36 4.26%
1,981,511.70
7,962.50
1.57%
(124,006.06)
Aaa / AA+
AAA
2.27 2.18
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
2,000,000.00 03/24/2020
0.95%
2,051,940.00
2,025,169.80
93.94 4.22%
1,878,726.00
4,083.33
1.48%
(146,443.80)
Aaa / AA+
AAA
2.37 2.28
As of September 30, 2022
29 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
3135G05X7 FNMA Note
0.375% Due 08/25/2025
1,000,000.00 10/20/2020
0.47%
995,420.00
997,258.21
89.43 4.29%
894,296.00
375.00
0.70%
(102,962.21)
Aaa / AA+
AAA
2.90 2.83
3137EAEX3 FHLMC Note
0.375% Due 09/23/2025
2,200,000.00 09/28/2020
0.42%
2,195,512.00
2,197,317.06
89.25 4.25%
1,963,546.20
183.33
1.55%
(233,770.86)
Aaa / AA+
AAA
2.98 2.90
TOTAL Agency 34,400,000.00 1.24%
34,866,534.00
34,582,560.11 4.20%
33,086,832.10
117,998.13
26.13%
(1,495,728.01)
Aaa / AA+
AAA
1.46 1.41
Corporate
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
999,227.20
99.76 3.93%
997,620.00
8,322.22
0.79%
(1,607.20)
Aa3 / AA-NR0.21
0.20 06051GEU9 Bank of America Corp Note
3.300% Due 01/11/2023
1,325,000.00 Various
3.41%
1,318,494.00
1,324,621.73
99.75 4.17%
1,321,706.05
9,716.67
1.05%
(2,915.68)
A2 / A-AA-0.28
0.28 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
998,433.79
99.60 4.15%
996,009.00
5,080.55
0.79%
(2,424.79)
A1 / A
AA-0.330.33
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
598,366.05
99.46 3.95%
596,755.80
733.33
0.47%
(1,610.25)
Aa2 / AA
A+
0.45 0.45
037833AK6 Apple Inc Note
2.400% Due 05/03/2023
900,000.00 12/12/2018
3.43%
862,677.00
895,011.17
98.91 4.29%
890,163.90
8,880.00
0.71%
(4,847.27)
Aaa / AA+
NR
0.59 0.57
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
1,000,943.90
99.51 4.07%
995,130.00
8,972.22
0.79%
(5,813.90)
Aa2 / AA
AA
0.74 0.72
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
501,909.46
99.20 4.41%
495,979.50
3,163.89
0.39%
(5,929.96)
A1 / AA-AA-0.81
0.79 24422EUR8 John Deere Capital Corp Note
3.450% Due 01/10/2024
300,000.00 01/29/2019
3.24%
302,907.00
300,750.51
98.65 4.54%
295,958.10
2,328.75
0.23%
(4,792.41)
A2 / A
A
1.28 1.22
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
1,000,090.27
94.83 4.60%
948,319.00
925.00
0.75%
(51,771.27)
A2 / A
A
1.30 1.26
89114QCB2 Toronto Dominion Bank Note
3.250% Due 03/11/2024
1,300,000.00 Various
3.00%
1,314,864.00
1,304,386.31
97.56 5.02%
1,268,215.00
2,347.22
1.00%
(36,171.31)
A1 / A
AA-1.451.39
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
1,001,597.74
94.59 4.60%
945,924.00
270.83
0.74%
(55,673.74)
A2 / A
A
1.47 1.43
46625HJX9 JP Morgan Chase Note
3.625% Due 05/13/2024
500,000.00 06/14/2022
3.61%
500,080.00
500,067.72
98.31 4.72%
491,535.00
6,947.92
0.39%
(8,532.72)
A1 / A-AA-1.62
1.53 As of September 30, 2022
30 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
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
1,045,175.30
97.56 4.93%
975,567.00
12,655.56
0.78%
(69,608.30)
A3 / A
A
1.62 1.54
89236TJH9 Toyota Motor Credit Corp Note
0.500% Due 06/18/2024
500,000.00 06/14/2022
3.63%
470,025.00
474,400.61
93.23 4.65%
466,150.00
715.28
0.37%
(8,250.61)
A1 / A+
A+
1.72 1.67
91159HHX1 US Bancorp Callable Note Cont 6/28/2024
2.400% Due 07/30/2024
1,000,000.00 06/14/2022
3.72%
973,200.00
976,900.13
95.95 4.73%
959,519.00
4,066.67
0.76%
(17,381.13)
A2 / A+
A+
1.83 1.76
63743HEY4 National Rural Utilities Note
1.000% Due 10/18/2024
1,000,000.00 06/14/2022
3.89%
935,890.00
943,913.12
92.43 4.93%
924,311.00
4,527.78
0.73%
(19,602.12)
A2 / A-A2.05
1.98 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
1,391,368.05
92.73 4.85%
1,298,227.00
4,398.33
1.03%
(93,141.05)
A1 / A+
A+
2.29 2.20
69371RQ66 Paccar Financial Corp Note
1.800% Due 02/06/2025
1,700,000.00 04/20/2022
3.09%
1,641,588.00
1,650,856.11
93.64 4.69%
1,591,812.00
4,675.00
1.26%
(59,044.11)
A1 / A+
NR
2.36 2.25
023135CE4 Amazon.com Inc Note
3.000% Due 04/13/2025
1,700,000.00 04/20/2022
2.94%
1,702,822.00
1,702,401.43
96.56 4.45%
1,641,601.60
23,800.00
1.31%
(60,799.83)
A1 / AA
AA-2.542.37
06406RBC0 Bank of NY Mellon Corp Callable Note Cont 3/25/2025
3.350% Due 04/25/2025
660,000.00 04/19/2022
3.35%
659,907.60
659,920.93
96.60 4.77%
637,539.54
9,519.58
0.51%
(22,381.39)
A1 / A
AA-2.572.39
037833DT4 Apple Inc Callable Note Cont 4/11/2025
1.125% Due 05/11/2025
1,300,000.00 Various
2.13%
1,264,519.00
1,266,872.97
91.63 4.56%
1,191,160.10
5,687.50
0.94%
(75,712.87)
Aaa / AA+
NR
2.61 2.51
14913R2V8 Caterpillar Financial Service Note
3.400% Due 05/13/2025
585,000.00 05/10/2022
3.44%
584,257.05
584,352.63
96.71 4.75%
565,781.00
7,624.50
0.45%
(18,571.63)
A2 / A
A
2.62 2.44
78015K7H1 Royal Bank of Canada Note
1.150% Due 06/10/2025
1,800,000.00 Various
1.63%
1,775,582.00
1,776,735.83
90.25 5.07%
1,624,527.00
6,382.50
1.28%
(152,208.83)
A1 / A
AA-2.702.58
63743HFE7 National Rural Utilities Note
3.450% Due 06/15/2025
375,000.00 04/27/2022
3.46%
374,898.75
374,912.10
96.49 4.85%
361,828.88
5,282.81
0.29%
(13,083.22)
A2 / A-A2.71
2.51 14913R2Z9 Caterpillar Financial Service Note
3.650% Due 08/12/2025
1,000,000.00 08/18/2022
3.64%
1,000,270.00
1,000,260.06
97.21 4.70%
972,056.00
4,968.06
0.77%
(28,204.06)
A2 / A
A
2.87 2.67
931142EW9 Wal-Mart Stores Note
3.900% Due 09/09/2025
1,000,000.00 09/08/2022
3.80%
1,002,740.00
1,002,692.37
98.21 4.55%
982,144.00
2,383.33
0.77%
(20,548.37)
Aa2 / AA
AA
2.95 2.74
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
968,585.10
91.59 5.43%
870,123.05
952.38
0.69%
(98,462.05)
A1 / A-AA-3.45
3.25 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
499,648.24
87.51 4.96%
437,557.00
2,204.17
0.35%
(62,091.24)
A2 / A
A
3.62 3.45
As of September 30, 2022
31 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
91324PEC2 United Health Group Inc Callable Note Cont 4/15/2026
1.150% Due 05/15/2026
1,700,000.00 Various
2.22%
1,627,818.00
1,636,519.92
88.53 4.62%
1,505,033.80
7,385.55
1.19%
(131,486.12)
A3 / A+
A
3.62 3.46
89114TZD7 Toronto-Dominion Bank Note
1.200% Due 06/03/2026
500,000.00 04/21/2022
3.62%
454,290.00
459,135.26
86.80 5.19%
433,997.00
1,966.67
0.34%
(25,138.26)
A1 / A
AA-3.683.49
61747YET8 Morgan Stanley Callable Note Cont 7/17/2025
4.679% Due 07/17/2026
685,000.00 07/18/2022
4.68%
685,000.00
685,000.00
97.41 5.46%
667,287.27
6,321.20
0.53%
(17,712.73)
A1 / A-A3.80
3.39 665859AW4 Northern Trust Company Callable Note Cont 4/10/2027
4.000% Due 05/10/2027
1,000,000.00 09/08/2022
4.09%
996,170.00
996,212.78
96.47 4.86%
964,710.00
15,666.67
0.77%
(31,502.78)
A2 / A+
A+
4.61 4.08
TOTAL Corporate 30,780,000.00 2.74%
30,471,227.40
30,521,268.79 4.66%
29,314,247.59
188,872.14
23.22%
(1,207,021.20)
A1 / A+
A+
2.09 1.97
Money Market Fund
60934N104 Federated Investors Government Obligations Fund 1,908,126.57 Various
2.80%
1,908,126.57
1,908,126.57
1.00 2.80%
1,908,126.57
0.00 1.50%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 1,908,126.57 2.80%
1,908,126.57
1,908,126.57 2.80%
1,908,126.57
0.00 1.50%
0.00 Aaa / AAA
AAA
0.00 0.00
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
2,000,255.53
97.72 4.09%
1,954,360.00
3,527.78
1.54%
(45,895.53)
Aaa / AAA
NR
0.65 0.64
TOTAL Supranational 2,000,000.00 0.48%
2,001,220.00
2,000,255.53 4.09%
1,954,360.00
3,527.78
1.54%
(45,895.53)
Aaa / AAA
NR
0.65 0.64
US Treasury
912828Z29 US Treasury Note
1.500% Due 01/15/2023
1,400,000.00 04/28/2021
0.15%
1,432,320.31
1,405,472.77
99.44 3.42%
1,392,209.00
4,451.09
1.10%
(13,263.77)
Aaa / AA+
AAA
0.29 0.29
912828Z86 US Treasury Note
1.375% Due 02/15/2023
1,850,000.00 Various
0.18%
1,900,808.59
1,858,261.60
99.11 3.79%
1,833,451.75
3,248.81
1.45%
(24,809.85)
Aaa / AA+
AAA
0.38 0.37
912828P79 US Treasury Note
1.500% Due 02/28/2023
1,950,000.00 10/20/2020
0.16%
2,011,318.36
1,960,695.06
99.07 3.75%
1,931,946.90
2,504.83
1.52%
(28,748.16)
Aaa / AA+
AAA
0.41 0.41
912828ZD5 US Treasury Note
0.500% Due 03/15/2023
2,000,000.00 06/17/2020
0.21%
2,015,703.13
2,002,591.02
98.51 3.81%
1,970,156.00
441.99
1.55%
(32,435.02)
Aaa / AA+
AAA
0.45 0.45
As of September 30, 2022
32 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
91282CAF8 US Treasury Note
0.125% Due 08/15/2023
1,750,000.00 06/21/2021
0.28%
1,744,189.45
1,747,643.17
96.50 4.25%
1,688,681.75
279.38
1.33%
(58,961.42)
Aaa / AA+
AAA
0.87 0.86
9128285D8 US Treasury Note
2.875% Due 09/30/2023
1,000,000.00 06/24/2019
1.77%
1,045,156.25
1,010,549.98
98.70 4.21%
987,031.00
78.98 0.78%
(23,518.98)
Aaa / AA+
AAA
1.00 0.97
912828T26 US Treasury Note
1.375% Due 09/30/2023
1,000,000.00 05/25/2021
0.19%
1,027,617.19
1,011,730.06
97.17 4.30%
971,680.00
37.77 0.76%
(40,050.06)
Aaa / AA+
AAA
1.00 0.98
9128285K2 US Treasury Note
2.875% Due 10/31/2023
1,200,000.00 09/29/2020
0.16%
1,300,359.38
1,235,206.00
98.52 4.28%
1,182,280.80
14,437.50
0.94%
(52,925.20)
Aaa / AA+
AAA
1.08 1.04
912828WE6 US Treasury Note
2.750% Due 11/15/2023
1,000,000.00 06/19/2019
1.86%
1,037,343.75
1,009,515.81
98.27 4.34%
982,656.00
10,387.23
0.78%
(26,859.81)
Aaa / AA+
AAA
1.13 1.08
91282CAW1 US Treasury Note
0.250% Due 11/15/2023
3,000,000.00 Various
1.31%
2,952,539.06
2,964,726.78
95.59 4.31%
2,867,577.00
2,832.88
2.26%
(97,149.78)
Aaa / AA+
AAA
1.13 1.10
91282CBE0 US Treasury Note
0.125% Due 01/15/2024
3,000,000.00 Various
1.64%
2,921,687.50
2,942,345.98
94.80 4.31%
2,843,907.00
794.84
2.24%
(98,438.98)
Aaa / AA+
AAA
1.29 1.26
91282CEG2 US Treasury Note
2.250% Due 03/31/2024
2,000,000.00 09/08/2022
3.53%
1,961,406.25
1,962,898.45
97.02 4.32%
1,940,468.00
123.63
1.53%
(22,430.45)
Aaa / AA+
AAA
1.50 1.45
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
1,800,000.00 06/24/2021
0.42%
1,797,890.63
1,798,843.45
94.18 4.32%
1,695,304.80
3,116.80
1.34%
(103,538.65)
Aaa / AA+
AAA
1.54 1.50
912828XT2 US Treasury Note
2.000% Due 05/31/2024
2,000,000.00 03/03/2021
0.34%
2,106,640.63
2,054,761.40
96.34 4.30%
1,926,718.00
13,442.62
1.53%
(128,043.40)
Aaa / AA+
AAA
1.67 1.60
91282CCL3 US Treasury Note
0.375% Due 07/15/2024
3,000,000.00 Various
1.76%
2,908,496.10
2,927,154.79
93.39 4.24%
2,801,835.00
2,384.51
2.21%
(125,319.79)
Aaa / AA+
AAA
1.79 1.75
91282CCT6 US Treasury Note
0.375% Due 08/15/2024
1,000,000.00 08/11/2021
0.45%
997,890.63
998,682.37
93.06 4.27%
930,586.00
478.94
0.73%
(68,096.37)
Aaa / AA+
AAA
1.88 1.83
91282CDH1 US Treasury Note
0.750% Due 11/15/2024
2,500,000.00 12/13/2021
0.93%
2,487,304.69
2,490,767.05
92.95 4.26%
2,323,632.50
7,082.20
1.83%
(167,134.55)
Aaa / AA+
AAA
2.13 2.06
912828YV6 US Treasury Note
1.500% Due 11/30/2024
2,000,000.00 09/16/2021
0.49%
2,064,218.75
2,043,416.27
94.37 4.25%
1,887,422.00
10,081.97
1.49%
(155,994.27)
Aaa / AA+
AAA
2.17 2.08
912828Z52 US Treasury Note
1.375% Due 01/31/2025
3,000,000.00 04/21/2022
2.84%
2,883,281.25
2,901,910.25
93.68 4.25%
2,810,391.00
6,949.73
2.22%
(91,519.25)
Aaa / AA+
AAA
2.34 2.25
912828ZF0 US Treasury Note
0.500% Due 03/31/2025
2,500,000.00 12/13/2021
1.01%
2,458,789.06
2,468,757.79
91.25 4.22%
2,281,250.00
34.34 1.80%
(187,507.79)
Aaa / AA+
AAA
2.50 2.44
912828ZT0 US Treasury Note
0.250% Due 05/31/2025
1,100,000.00 04/01/2021
0.69%
1,080,105.47
1,087,239.70
89.97 4.27%
989,656.80
924.18
0.78%
(97,582.90)
Aaa / AA+
AAA
2.67 2.60
912828Y79 US Treasury Note
2.875% Due 07/31/2025
3,000,000.00 06/14/2022
3.45%
2,949,257.81
2,954,056.55
96.36 4.25%
2,890,899.00
14,531.25
2.29%
(63,157.55)
Aaa / AA+
AAA
2.84 2.67
As of September 30, 2022
33 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
9128284Z0 US Treasury Note
2.750% Due 08/31/2025
2,000,000.00 06/21/2021
0.73%
2,166,562.50
2,115,864.84
95.91 4.26%
1,918,124.00
4,709.94
1.51%
(197,740.84)
Aaa / AA+
AAA
2.92 2.76
9128285J5 US Treasury Note
3.000% Due 10/31/2025
3,000,000.00 06/14/2022
3.48%
2,954,296.88
2,958,296.83
96.45 4.24%
2,893,476.00
37,663.04
2.31%
(64,820.83)
Aaa / AA+
AAA
3.09 2.87
91282CAZ4 US Treasury Note
0.375% Due 11/30/2025
2,000,000.00 09/16/2021
0.72%
1,971,640.63
1,978,642.72
88.68 4.23%
1,773,516.00
2,520.49
1.40%
(205,126.72)
Aaa / AA+
AAA
3.17 3.08
91282CBT7 US Treasury Note
0.750% Due 03/31/2026
1,700,000.00 10/14/2021
0.98%
1,682,667.97
1,686,404.79
88.81 4.22%
1,509,746.20
35.03 1.19%
(176,658.59)
Aaa / AA+
AAA
3.50 3.39
912828U24 US Treasury Note
2.000% Due 11/15/2026
2,000,000.00 03/30/2022
2.54%
1,953,203.13
1,958,298.17
91.88 4.16%
1,837,500.00
15,108.70
1.46%
(120,798.17)
Aaa / AA+
AAA
4.13 3.86
91282CEF4 US Treasury Note
2.500% Due 03/31/2027
3,000,000.00 08/18/2022
3.06%
2,928,164.06
2,929,997.26
93.47 4.10%
2,804,181.00
206.04
2.21%
(125,816.26)
Aaa / AA+
AAA
4.50 4.19
TOTAL US Treasury 56,750,000.00 1.46%
56,740,859.41
56,464,730.91 4.18%
53,866,283.50
158,888.71
42.52%
(2,598,447.41)
Aaa / AA+
AAA
2.02 1.93
TOTAL PORTFOLIO 132,536,075.38 1.75%
132,684,998.07
132,174,148.87 4.31%
126,582,256.06
475,473.98
100.00%
(5,591,892.81)
Aa1 / AA
AAA
1.92 1.74
TOTAL MARKET VALUE PLUS ACCRUALS 127,057,730.04
As of September 30, 2022
34 Holdings Report
San Leandro Reporting - Account #461
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
Cash
90WELL$00 Wells Fargo Checking Account Wells Fargo Cash Account
9,758,553.54 Various
0.01%
9,758,553.54
9,758,553.54
1.00 0.01%
9,758,553.54
0.00 13.67%
0.00 NR / NR
NR
0.00 0.00
TOTAL Cash 9,758,553.54 0.01%
9,758,553.54
9,758,553.54 0.01%
9,758,553.54
0.00 13.67%
0.00 NR / NR
NR
0.00 0.00
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 61,367,292.37 Various
1.60%
61,367,292.37
61,367,292.37
1.00 1.60%
61,367,292.37
240,730.22
86.33%
0.00 NR / NR
NR
0.00 0.00
TOTAL LAIF 61,367,292.37 1.60%
61,367,292.37
61,367,292.37 1.60%
61,367,292.37
240,730.22
86.33%
0.00 NR / NR
NR
0.00 0.00
TOTAL PORTFOLIO 71,125,845.91 1.38%
71,125,845.91
71,125,845.91 1.38%
71,125,845.91
240,730.22
100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL MARKET VALUE PLUS ACCRUALS 71,366,576.13
As of September 30, 2022
35 SECTION | Section 5 | Transactions
36 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 07/20/2022 47800AAC4 565,000.00 John Deere Owner Trust 2022-B A3
3.74% Due: 02/16/2027
99.990 3.77% 564,946.04 0.00 564,946.04 0.00
Purchase 07/20/2022 61747YET8 685,000.00 Morgan Stanley Callable Note Cont 7/17/2025
4.679% Due: 07/17/2026
100.000 4.69% 685,000.00 0.00 685,000.00 0.00
Purchase 08/19/2022 91282CEF4 3,000,000.00 US Treasury Note
2.5% Due: 03/31/2027
97.605 3.06% 2,928,164.06 28,893.44 2,957,057.50 0.00
Purchase 08/22/2022 14913R2Z9 1,000,000.00 Caterpillar Financial Service Note
3.65% Due: 08/12/2025
100.027 3.64% 1,000,270.00 1,013.89 1,001,283.89 0.00
Purchase 09/09/2022 3130ATB71 3,000,000.00 FHLB Note
3.625% Due: 09/06/2023
99.987 3.64% 2,999,613.00 906.25 3,000,519.25 0.00
Purchase 09/09/2022 91282CEG2 2,000,000.00 US Treasury Note
2.25% Due: 03/31/2024
98.070 3.53% 1,961,406.25 19,918.03 1,981,324.28 0.00
Purchase 09/12/2022 665859AW4 1,000,000.00 Northern Trust Company Callable Note Cont 4/10/2027
4% Due: 05/10/2027
99.617 4.09% 996,170.00 13,555.55 1,009,725.55 0.00
Purchase 09/12/2022 931142EW9 1,000,000.00 Wal-Mart Stores Note
3.9% Due: 09/09/2025
100.274 3.80% 1,002,740.00 325.00 1,003,065.00 0.00
Subtotal 12,250,000.00 12,138,309.35 64,612.16 12,202,921.51 0.00 TOTAL ACQUISITIONS 12,250,000.00 12,138,309.35 64,612.16 12,202,921.51 0.00
DISPOSITIONS
Maturity 07/14/2022 912796K57 900,000.00 US Treasury Bill
1.095% Due: 07/14/2022
100.000 900,000.00 0.00 900,000.00 0.00
Maturity 07/15/2022 9128287C8 2,000,000.00 US Treasury Note
1.75% Due: 07/15/2022
100.000 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 08/16/2022 912796XM6 2,000,000.00 US Treasury Bill
1.465% Due: 08/16/2022
100.000 2,000,000.00 0.00 2,000,000.00 0.00
June 30, 2022 through September 30, 2022
As of September 30, 2022
37 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 Maturity 08/26/2022 62479MHS5 2,000,000.00 MUFG Bank Ltd/NY Discount CP
0.34% Due: 08/26/2022
99.759 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 08/31/2022 912828L24 3,100,000.00 US Treasury Note
1.875% Due: 08/31/2022
100.000 3,100,000.00 0.00 3,100,000.00 0.00
Maturity 09/06/2022 3135G0W33 2,000,000.00 FNMA Note
1.375% Due: 09/06/2022
100.000 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 09/09/2022 313380GJ0 1,000,000.00 FHLB Note
2% Due: 09/09/2022
100.000 1,000,000.00 0.00 1,000,000.00 0.00
Maturity 09/23/2022 46625HJE1 400,000.00 JP Morgan Chase Note
3.25% Due: 09/23/2022
100.000 400,000.00 0.00 400,000.00 0.00
Subtotal 13,400,000.00 13,400,000.00 0.00 13,400,000.00 0.00 TOTAL DISPOSITIONS 13,400,000.00 13,400,000.00 0.00 13,400,000.00 0.00 June 30, 2022 through September 30, 2022
As of September 30, 2022
38 Transaction Ledger
San Leandro Reporting - Account #461
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount InterestPur/Sold Total Amount Gain/Loss
DISPOSITIONS
Security
Withdrawal
09/30/2022 90LAIF$00 12,861,375.70 Local Agency Investment Fund State Pool 1.000 12,861,375.70 0.00 12,861,375.70 0.00 Subtotal 12,861,375.70 12,861,375.70 0.00 12,861,375.70 0.00 TOTAL DISPOSITIONS 12,861,375.70 12,861,375.70 0.00 12,861,375.70 0.00 June 30, 2022 through September 30, 2022
As of September 30, 2022
39 Important Disclosures
2022 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential. Prices are provided by ICE Data Services Inc (“IDS”), an independent pricing source. In the event IDS 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 September 30, 2022
40 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 September 30, 2022
41