CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending December 31, 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 December 31, 2022
1 SECTION | Section 1 | Economic Update
2 Economic Update
Market volatility has intensified as investors weigh the probabilities of a hard or soft economic landing. The strong labor market has helped sustain economic growth, and inflation remains significantly higher than the Federal Reserve’s target.
Financial conditions have eased, and credit spreads have narrowed. Geopolitical risks remain as the Russia/Ukraine war persists and China reopens, while domestically the debt ceiling risk has emerged. Market sentiment has shifted with the resilient economic data thus far in 2023 and has converged with the Fed’s outlook for higher rates for a longer period. We believe the Fed will continue to raise rates and maintain a higher terminal rate for an extended period until inflation reaches the Fed’s target range.
As expected at the February 1st meeting, the Federal Open Market Committee (FOMC) raised the fed funds target rate by 25 basis points to a range of 4.50 - 4.75%, in a continuing downshift from previous hikes. The decision was unanimous and the statement reflects inflation is easing “somewhat.” The sentiment was hawkish, indicating that the extent of “ongoing increases” in the fed funds rate will be data dependent. We believe the FOMC will continue to implement tighter monetary policy at a slower pace and hold rates at restrictive levels forsome time until inflationary pressures subside and remain in the Fed’s target range.
In February, the yield curve inversion widened. The 2-year Treasury yield surged 62 basis points to 4.82%, the 5-year Treasury yield increased 57 basis points to 4.18%, and the 10-year Treasury yield rose 41 basis points to 3.92%. The inversion between the 2-year Treasury yield and 10-year Treasury yield increased to -90 basis points at February month-end versus - 69 basis points at January month-end. The spread was a positive 39 basis points one year ago. The inversion between 3- month and 10-year treasuries narrowed to -89 basis points in February from -115 basis points in January. 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 311,000 jobs in February, continuing to surpass market expectations of 225,000, on the heels of a very strong January jobs report of 504,000 jobs. Trends in employment remain strong, with the three-month moving average payrolls at 351,000 and the six-month moving average at 336,000. There were broad gains in employment, led by roles in the private sector with leisure and hospitality employment growth remaining solid. The unemployment rate rose to 3.6% due to more workers entering the labor force as the participation rate increased to 62.5% from 62.4% in January, the highest level since March 2020. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons, increased to 6.8% from the prior month at 6.6%. Average hourly earnings rose 4.6% year-over-year in February from a 4.4% increase in January. Job Openings decreased to 10.8 million. Overall, the February employment report demonstrates a strong demand for labor and supports the case for the Fed to continue raising the federal funds rate at a slower pace.
0 100
200
300
400
500
600
700
800
900
1,000
MOM Change In (000's)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
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 in January by 0.5% month-over-month and 6.4% year-over-year. The Core CPI, which excludes volatile food and energy components, rose 0.4% month-over-month and 5.6% year-over-year. Both measures increased more than expected and showed a slower deceleration than in recent months. Energy, shelter, and food costs were key contributors to the January increase. The Personal Consumption Expenditures (PCE) index accelerated more than expected in January, increasing 5.4% year-over-year versus an upwardly revised 5.3% year-over-year gain in December. Core PCE increased 4.7% in January versus an upwardly revised 4.6% year-over-year gain in December. Inflationary trends remain well above the Fed's 2% target and support further rate hikes and tighter conditions for an extended period.
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 rose 3.0% in January after dropping 1.1% in December. Retail sales rose 6.4% year-over-year in January, up from December’s downwardly revised 5.9% year-over-year gain. Growth was broad based, with strong gains in autos, restaurants, and a surprising surge in department store sales. The Conference Board’s Consumer Confidence Index decreased more than expected to 102.9 in February from a downwardly revised 106.0 in January. While the index for current conditions rose slightly, future expectations declined materially as inflation continues to weigh on household budgets.
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 for the eleventh consecutive month at -0.3% in January, following -0.8% in December. The LEI was down 5.9% year-over-year in January versus down 6.1% year-over-over in December. The monthly decline lessened in January, but the data continues to signal future contraction in the economy. The Chicago Fed National Activity Index (CFNAI) increased to +0.23 in January from -0.46 in December due to robust retail sales and employment. On a 3-month moving average basis, the CFNAI increased to -0.26 in January from -0.34 in December. -0.50
-0.25
0.00 0.25
0.50 0.75
1.00 Chicago Fed National Activity Index (CFNAI)
3 Month Average
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
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 fell 4.5% month-over-month in January to 1,309,000 units and were down 21.4% compared to January 2022. Starts for both single-family and multi-family homes declined as mortgage rates rose. The 30-year fixed rate mortgage increased to an average of 6.34% according to Freddie Mac, down from a peak of over 7% in October, but up from the 5.95% low in January. According to the Case-Shiller 20-City Home Price Index, the year-over-year increase continued its declining rate of gain to +4.65% in December from +6.8% in November, clearly displaying the impact of higher mortgage rates year-over-year, which have reduced demand for homebuying as affordability has declined. This is the lowest rate of annual appreciation since July 2020, just prior to the pandemic housing boom. 8 Source: Institute for Supply Management Source: Federal Reserve Manufacturing
The Institute for Supply Management (ISM) manufacturing index rose slightly to 47.7 in February from 47.4 in January. This is the fourth consecutive month of readings below 50.0, which is indicative of contraction in the manufacturing sector. The declining trend reflects companies slowing outputs to better match demand in the first half of 2023 while preparing for growth in the second half of the year. Industrial production was flat in January after a downward revision to -1.0% in December. Production rose for manufacturing and mining, while utilities output declined sharply in January due to much warmer weather than December. This equates to a 0.79% increase from the prior year.
Capacity utilization dropped to 78.3% in January from a downwardly revised 78.4% in December and has fallen below 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 3/22 6/22 9/22 12/22
0.9% 1.4% 1.5% 0.9%
1.0% -2.8% -1.8% 0.7%
-3.1% 1.2% 2.9% 0.5%
-0.4% -0.2% 0.2% 0.4%
0.0% -0.1% 0.4% 0.3%
-1.6% -0.6% 3.3% 2.7%
Federal Government Expenditures
State and Local (Consumption and Gross
Investment)
Gross Private Domestic Investment
Personal Consumption Expenditures
Components of GDP
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 second estimate, fourth quarter 2022 GDP growth was revised downward to 2.7% from 2.9%. The revision lower was primarily due to weaker growth in personal consumption expenditures, driven largely by a decline in durable goods, and a wider trade gap in net exports. The consensus estimate calls for 0.6% growth in the first quarter and 0.8% growth for the full year 2023. 10 Federal Reserve
Source: Federal Reserve Source: Bloomberg
As expected at the February 1st meeting, the Federal Open Market Committee (FOMC) raised the fed funds target rate by 25 basis points to a range of 4.50 – 4.75%, in a continuing downshift from previous hikes. The decision was unanimous, and the statement reflects inflation easing “somewhat”. The sentiment was hawkish, indicating that the extent of “ongoing increases” in the fed funds rate will be data dependent on labor market conditions, inflation expectations, and financial and international developments. The December Summary of Economic Projections indicated a peak median forecast of 5.1% in 2023 and no rate cuts until 2024; however, the market consensus diverged, implying rate cuts in the second half of 2023. FOMC members forecasted a higher fed funds rate, slower GDP growth, higher inflation, and higher unemployment in 2023 than in the September projections. We believe the FOMC will implement tighter monetary policy at a slower pace and hold rates at restrictive levels until inflationary pressures subside and remain in the Fed’s target range for some time.
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
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%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Yield Curve
Feb-23
Nov-22
Feb-22
Yield (%)
Bond Yields
At the end of February, the 2-year Treasury yield was 339 basis points higher, and the 10-Year Treasury yield was about 210 basis points higher, year-over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield increased to -90 basis points at February monthend versus -69 basis points at January month-end. The average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10-year treasuries narrowed to -89 basis points in February from -115 basis points in January. 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 December 31, 2022
14 Compliance As of December 31, 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
12/31/22 09/30/22
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 1.83 1.89 1.92
Average Modified Duration 1.75 1.70 1.74
Average Purchase Yield n/a 2.14% 1.75%
Average Market Yield 4.51% 4.55% 4.31%
Average Quality** AAA AA/Aa1 AA/Aa1
Total Market Value 151,042,648 127,057,730
*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 December 31, 2022
16 City of San Leandro
Sector Distribution
ABS
4.8%
Agency
21.5%
Corporate
22.1% Money Market
Fund
3.6%
Supranational
1.3%
US Treasury
44.7%
Commercial
Paper
2.0%
December 31, 2022 September 30, 2022
ABS
5.1%
Agency
26.1%
Corporate
23.2% Money Market
Fund
1.5%
Supranational
1.5%
US Treasury
42.5%
As of December 31, 2022
17 Issue Name Investment Type % Portfolio
Government of United States US Treasury 44.75%
Federal Home Loan Mortgage Corp Agency 7.74%
Federal Home Loan Bank Agency 6.80%
Federal National Mortgage Association Agency 5.66%
Federated GOVT Obligation MMF Money Market Fund 3.56%
MUFG Bank Ltd/NY Commercial Paper 1.96%
John Deere ABS ABS 1.42%
Apple Inc Corporate 1.39%
Wal-Mart Stores Corporate 1.32%
Inter-American Dev Bank Supranational 1.30%
Visa Inc Corporate 1.28%
Pepsico Inc Corporate 1.27%
Federal Farm Credit Bank Agency 1.26%
Toyota Motor Corp Corporate 1.19%
Toronto Dominion Holdings Corporate 1.14%
Bank of New York Corporate 1.10%
Amazon.com Inc Corporate 1.09%
Royal Bank of Canada Corporate 1.09%
Paccar Financial Corporate 1.07%
Caterpillar Inc Corporate 1.03%
United Health Group Inc Corporate 1.01%
US Bancorp Corporate 0.98%
Charles Schwab Corp/The Corporate 0.93%
JP Morgan Chase & Co Corporate 0.91%
GM Financial Automobile Leasing Trust ABS 0.90%
Bank of America Corp Corporate 0.89%
National Rural Utilities Corporate 0.85%
Deere & Company Corporate 0.83%
American Express ABS ABS 0.71%
Northern Trust Corp Corporate 0.65%
Chubb Corporation Corporate 0.65%
Honeywell Corp Corporate 0.61%
Honda ABS ABS 0.60%
GM Financial Securitized Term Auto Trust ABS 0.55%
Morgan Stanley Corporate 0.46%
Berkshire Hathaway Corporate 0.40%
Toyota ABS ABS 0.26%
BMW Vehicle Lease Trust ABS 0.23%
Issuers
City of San Leandro – Account #460
As of December 31, 2022
18 Issue Name Investment Type % Portfolio
Hyundai Auto Receivables ABS 0.16%
TOTAL 100.00%
Issuers
City of San Leandro – Account #460
As of December 31, 2022
19 AAA AA A <A NR
12/31/22 7.6% 72.0% 16.3% 0.0% 4.1%
09/30/22 6.3% 72.5% 17.0% 0.0% 4.2%
Source: S&P Ratings
December 31, 2022 vs. September 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
12/31/22 09/30/22
Quality Distribution
City of San Leandro
As of December 31, 2022
20 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 10.3% 7.8% 14.0% 27.3% 24.9% 11.9% 3.9% 0.0%
Benchmark* 0.0% 0.0% 2.9% 58.6% 38.5% 0.0% 0.0% 0.0%
*ICE BofA 1-3 Yr US Treasury & Agency Index
Duration Distribution
City of San Leandro
As of December 31, 2022
21 -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 0.79% -3.08% -1.81% -0.20% 0.99% 0.88% 1.83% ICE BofA 1-3 Yr US Treasury & Agency Index 0.73% -3.65% -2.11% -0.41% 0.77% 0.67% 1.75% 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 December 31, 2022
22 Portfolio Characteristics
San Leandro Reporting
12/31/22
Portfolio
09/30/22
Portfolio
Average Maturity (yrs) 0.00 0.00
Modified Duration 0.00 0.00
Average Purchase Yield 1.53% 1.38%
Average Market Yield 1.53% 1.38%
Average Quality* NR/NR NR/NR
Total Market Value 56,650,194 71,366,576
*Portfolio is S&P and Moody’s, respectively.
As of December 31, 2022
23 San Leandro Reporting
Sector Distribution
Cash
31.4%
LAIF
68.6%
December 31, 2022 September 30, 2022
Cash
13.7%
LAIF
86.3%
As of December 31, 2022
24 SECTION | Section 3 | Consolidated Information
25 Portfolio Characteristics
City of San Leandro Consolidated
12/31/22 09/30/22
Portfolio Portfolio
Average Maturity (yrs) 1.37 1.23
Modified Duration 1.24 1.12
Average Purchase Yield 1.98% 1.62%
Average Market Yield 3.73% 3.25%
Average Quality* AA/Aa1 AA/Aa1
Total Market Value 207,692,842 198,424,306
* Portfolio is S&P and Moody’s respectively.
As of December 31, 2022
Fund Name Account Market Value
12/31/2022
Market Value
09/30/2022
LAIF - City Pool LGIP $38,545,642 $61,338,957
LAIF Successor Agency LGIP $28,432 $28,335
Wells Fargo General Fund Bank $17,772,223 $9,758,554
Total LAIF and Bank Balances $56,346,297 $71,125,846
Investment Portfolio Market Value Separate Account $151,042,648 $127,057,730 Total $207,388,945 $198,183,576
26 City of San Leandro Consolidated
Sector Distribution
ABS
3.5%
Agency
15.6%
Cash
8.6%
Corporate
16.1% LAIF
18.7%
Money Market
Fund
2.6%
Supranational
0.9%
US Treasury
32.5%
Commercial
Paper
1.4%
December 31, 2022 September 30, 2022
ABS
3.3%
Agency
16.7%
Cash
4.9%
Corporate
14.9%
LAIF
31.1%
Money Market
Fund
1.0%
Supranational
1.0%
US Treasury
27.2%
As of December 31, 2022
27 SECTION | Section 4 | Portfolio Holdings
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
ABS
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
754,996.08
96.62 5.32%
729,513.47
438.32
0.48%
(25,482.61)
Aaa / NR
AAA
2.22 1.00
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
359,969.64
96.74 5.29%
348,278.29
66.00 0.23%
(11,691.35)
NR / AAA
AAA
2.23 0.78
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
639,952.83
97.83 5.23%
626,112.90
668.80
0.41%
(13,839.93)
NR / AAA
AAA
2.47 1.22
47788UAC6 John Deere Owner Trust 2021-A A3
0.360% Due 09/15/2025
244,216.62 03/02/2021
0.37%
244,169.68
244,193.31
96.55 5.21%
235,800.92
39.07 0.16%
(8,392.39)
Aaa / NR
AAA
2.71 0.71
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
364,949.23
94.91 5.11%
346,406.02
89.22 0.23%
(18,543.21)
Aaa / NR
AAA
3.06 1.22
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
259,962.57
94.47 5.54%
245,610.59
85.51 0.16%
(14,351.98)
NR / AAA
AAA
3.37 1.17
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
589,934.78
95.03 5.03%
560,676.65
492.98
0.37%
(29,258.13)
Aaa / AAA
NR
3.37 1.60
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
404,992.62
96.70 5.00%
391,654.85
527.40
0.26%
(13,337.77)
Aaa / AAA
NR
3.71 1.62
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
274,995.46
94.48 5.54%
259,823.41
77.92 0.17%
(15,172.05)
Aaa / AAA
NR
3.71 1.15
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
449,923.11
95.91 5.12%
431,611.07
464.00
0.29%
(18,312.04)
Aaa / NR
AAA
3.71 1.48
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
239,985.11
94.55 5.35%
226,915.87
126.00
0.15%
(13,069.24)
NR / AAA
AAA
3.88 1.35
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
349,942.22
96.88 5.05%
339,082.58
452.08
0.22%
(10,859.64)
Aaa / AAA
NR
4.13 1.63
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
564,952.86
97.70 4.93%
552,009.41
939.16
0.37%
(12,943.45)
Aaa / NR
AAA
4.13 1.99
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
1,104,805.49
97.14 4.72%
1,073,375.23
1,664.87
0.71%
(31,430.26)
NR / AAA
AAA
4.38 2.22
47800BAC2 John Deere Owner Trust 2022-C A3
5.090% Due 06/15/2027
915,000.00 10/12/2022
5.15%
914,929.00
914,932.94
100.38
4.97%
918,447.64
2,069.93
0.61%
3,514.70
Aaa / NR
AAA
4.46 2.15
TOTAL ABS 7,519,216.62 2.69%
7,518,239.48
7,518,488.25 5.09%
7,285,318.90
8,201.26
4.83%
(233,169.35)
Aaa / AAA
AAA
3.53 1.57
As of December 31, 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
Agency
3137EAEQ8 FHLMC Note
0.375% Due 04/20/2023
2,000,000.00 05/19/2020
0.30%
2,004,180.00
2,000,427.81
98.75 4.57%
1,974,929.06
1,479.17
1.31%
(25,498.75)
Aaa / AA+
AAA
0.30 0.30
3137EAER6 FHLMC Note
0.375% Due 05/05/2023
2,000,000.00 05/11/2020
0.33%
2,002,740.00
2,000,312.28
98.62 4.45%
1,972,335.36
1,166.67
1.31%
(27,976.92)
Aaa / AA+
AAA
0.34 0.34
3133834G3 FHLB Note
2.125% Due 06/09/2023
1,000,000.00 06/11/2019
2.03%
1,003,690.00
1,000,402.41
98.89 4.71%
988,858.53
1,298.61
0.66%
(11,543.88)
Aaa / AA+
NR
0.44 0.43
3135G05G4 FNMA Note
0.250% Due 07/10/2023
1,800,000.00 08/18/2020
0.27%
1,799,190.00
1,799,854.12
97.65 4.83%
1,757,789.24
2,137.50
1.17%
(42,064.88)
Aaa / AA+
AAA
0.52 0.51
3137EAEV7 FHLMC Note
0.250% Due 08/24/2023
2,000,000.00 08/27/2020
0.29%
1,997,860.00
1,999,537.78
97.09 4.87%
1,941,767.48
1,763.89
1.29%
(57,770.30)
Aaa / AA+
AAA
0.65 0.63
3130ATB71 FHLB Note
3.625% Due 09/06/2023
3,000,000.00 09/08/2022
3.64%
2,999,613.00
2,999,734.87
99.14 4.92%
2,974,180.98
34,739.58
1.99%
(25,553.89)
Aaa / NR
NR
0.68 0.66
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
2,000,000.00 12/21/2020
0.21%
2,002,180.00
2,000,682.14
95.86 4.88%
1,917,187.74
375.00
1.27%
(83,494.40)
Aaa / AA+
AAA
0.93 0.90
3130A0F70 FHLB Note
3.375% Due 12/08/2023
1,700,000.00 01/16/2019
2.73%
1,749,623.00
1,709,474.49
98.57 4.96%
1,675,647.53
3,665.63
1.11%
(33,826.96)
Aaa / AA+
AAA
0.94 0.91
3133EMNG3 FFCB Note
0.230% Due 01/19/2024
2,000,000.00 02/02/2021
0.20%
2,001,520.00
2,000,539.04
95.34 4.84%
1,906,777.12
2,070.00
1.26%
(93,761.92)
Aaa / AA+
AAA
1.05 1.02
3135G0V34 FNMA Note
2.500% Due 02/05/2024
2,000,000.00 03/25/2020
0.74%
2,133,740.00
2,037,913.54
97.63 4.75%
1,952,602.28
20,277.78
1.31%
(85,311.26)
Aaa / AA+
AAA
1.10 1.05
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
2,000,000.00 09/11/2019
1.66%
2,110,320.00
2,033,738.95
97.72 4.51%
1,954,394.80
2,715.28
1.30%
(79,344.15)
Aaa / AA+
NR
1.45 1.40
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
1,200,000.00 11/14/2019
1.70%
1,264,920.00
1,222,854.49
97.12 4.65%
1,165,455.44
10,350.00
0.78%
(57,399.05)
Aaa / AA+
AAA
1.70 1.62
3135G0W66 FNMA Note
1.625% Due 10/15/2024
2,000,000.00 10/17/2019
1.64%
1,998,140.00
1,999,333.01
95.05 4.54%
1,900,937.54
6,861.11
1.26%
(98,395.47)
Aaa / AA+
AAA
1.79 1.72
3130A3GE8 FHLB Note
2.750% Due 12/13/2024
1,500,000.00 12/10/2019
1.75%
1,571,250.00
1,527,766.83
96.86 4.45%
1,452,885.78
2,062.50
0.96%
(74,881.05)
Aaa / AA+
NR
1.95 1.87
3135G0X24 FNMA Note
1.625% Due 01/07/2025
2,100,000.00 Various
1.50%
2,111,993.00
2,104,905.42
94.54 4.48%
1,985,423.65
16,493.75
1.33%
(119,481.77)
Aaa / AA+
AAA
2.02 1.93
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
2,000,000.00 03/24/2020
0.95%
2,051,940.00
2,022,492.78
94.29 4.35%
1,885,876.46
11,583.33
1.26%
(136,616.32)
Aaa / AA+
AAA
2.12 2.03
3135G05X7 FNMA Note
0.375% Due 08/25/2025
1,000,000.00 10/20/2020
0.47%
995,420.00
997,496.40
90.27 4.30%
902,682.16
1,312.50
0.60%
(94,814.24)
Aaa / AA+
AAA
2.65 2.58
As of December 31, 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
3137EAEX3 FHLMC Note
0.375% Due 09/23/2025
2,200,000.00 09/28/2020
0.42%
2,195,512.00
2,197,543.93
90.07 4.27%
1,981,539.41
2,245.83
1.31%
(216,004.52)
Aaa / AA+
AAA
2.73 2.66
TOTAL Agency 33,500,000.00 1.19%
33,993,831.00
33,655,010.29 4.64%
32,291,270.56
122,598.13
21.46%
(1,363,739.73)
Aaa / AA+
AAA
1.25 1.20
Commercial Paper
62479MRL9 MUFG Bank Ltd/NY Discount CP
4.770% Due 04/20/2023
3,000,000.00 12/15/2022
4.92%
2,950,312.50
2,956,580.45
98.55 4.92%
2,956,580.45
0.00 1.96%
0.00 P-1 / A-1
NR
0.30 0.29
TOTAL Commercial Paper 3,000,000.00 4.92%
2,950,312.50
2,956,580.45 4.92%
2,956,580.45
0.00 1.96%
0.00 P-1 / A-1
NR
0.30 0.29
Corporate
06051GEU9 Bank of America Corp Note
3.300% Due 01/11/2023
1,325,000.00 Various
3.41%
1,318,494.00
1,324,962.91
99.97 4.46%
1,324,546.82
20,647.92
0.89%
(416.09)
A2 / AAA0.03
0.03 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
999,634.56
99.88 4.46%
998,789.47
12,455.55
0.67%
(845.09)
A1 / A
AA0.080.08
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
599,277.10
99.57 4.81%
597,430.91
4,858.33
0.40%
(1,846.19)
Aa2 / AA
A+
0.20 0.20
037833AK6 Apple Inc Note
2.400% Due 05/03/2023
900,000.00 12/12/2018
3.43%
862,677.00
897,155.90
99.20 4.78%
892,792.48
3,480.00
0.59%
(4,363.42)
Aaa / AA+
NR
0.34 0.33
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
1,000,577.49
99.33 4.80%
993,315.69
472.22
0.66%
(7,261.80)
Aa2 / AA
AA
0.48 0.48
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
501,246.55
99.08 5.06%
495,420.06
7,413.89
0.33%
(5,826.49)
A1 / AAAA0.56
0.54 24422EUR8 John Deere Capital Corp Note
3.450% Due 01/10/2024
300,000.00 01/29/2019
3.24%
302,907.00
300,602.34
98.75 4.71%
296,245.18
4,916.25
0.20%
(4,357.16)
A2 / A
A
1.03 0.98
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
1,000,072.71
95.64 4.78%
956,397.72
2,050.00
0.63%
(43,674.99)
A2 / A
A
1.05 1.02
89114QCB2 Toronto Dominion Bank Note
3.250% Due 03/11/2024
1,300,000.00 Various
3.00%
1,314,864.00
1,303,620.58
97.87 5.11%
1,272,313.09
12,909.72
0.85%
(31,307.49)
A1 / A
AA1.191.14
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
1,001,306.67
95.07 4.99%
950,680.01
2,145.83
0.63%
(50,626.66)
A2 / A
A
1.21 1.18
As of December 31, 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
46625HJX9 JP Morgan Chase Note
3.625% Due 05/13/2024
500,000.00 06/14/2022
3.61%
500,080.00
500,057.16
98.31 4.92%
491,547.53
2,416.67
0.33%
(8,509.63)
A1 / AAA1.37
1.31 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
1,038,154.82
97.91 4.94%
979,070.00
4,280.56
0.65%
(59,084.82)
A3 / A
A
1.37 1.31
89236TJH9 Toyota Motor Credit Corp Note
0.500% Due 06/18/2024
500,000.00 06/14/2022
3.63%
470,025.00
478,162.82
93.85 4.90%
469,254.20
90.28 0.31%
(8,908.62)
A1 / A+
A+
1.47 1.43
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
980,081.55
96.17 4.94%
961,749.28
10,066.67
0.64%
(18,332.27)
A2 / A+
A+
1.58 1.51
63743HEY4 National Rural Utilities Note
1.000% Due 10/18/2024
1,000,000.00 06/14/2022
3.89%
935,890.00
950,811.51
92.55 5.41%
925,491.07
2,027.78
0.61%
(25,320.44)
A2 / AA1.80
1.73 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
1,392,319.12
93.69 4.74%
1,311,698.81
9,473.33
0.87%
(80,620.31)
A1 / A+
A+
2.04 1.95
69371RQ66 Paccar Financial Corp Note
1.800% Due 02/06/2025
1,700,000.00 04/20/2022
3.09%
1,641,588.00
1,656,119.49
94.16 4.76%
1,600,713.10
12,325.00
1.07%
(55,406.39)
A1 / A+
NR
2.10 2.00
023135CE4 Amazon.com Inc Note
3.000% Due 04/13/2025
1,700,000.00 04/20/2022
2.94%
1,702,822.00
1,702,162.58
96.57 4.60%
1,641,635.86
11,050.00
1.09%
(60,526.72)
A1 / AA
AA2.282.16
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
659,928.70
96.89 4.78%
639,503.69
4,053.50
0.43%
(20,425.01)
A1 / A
AA2.322.18
713448CT3 Pepsico Inc. Callable Note Cont 1/30/2025
2.750% Due 04/30/2025
2,000,000.00 12/21/2022
4.51%
1,922,140.00
1,922,955.76
95.65 4.74%
1,912,938.02
9,319.44
1.27%
(10,017.74)
A1 / A+
NR
2.33 2.21
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
1,270,070.96
92.14 4.68%
1,197,806.04
2,031.25
0.79%
(72,264.92)
Aaa / AA+
NR
2.36 2.28
14913R2V8 Caterpillar Financial Service Note
3.400% Due 05/13/2025
585,000.00 05/10/2022
3.44%
584,257.05
584,414.99
97.29 4.62%
569,133.83
2,652.00
0.38%
(15,281.16)
A2 / A
A
2.37 2.23
78015K7H1 Royal Bank of Canada Note
1.150% Due 06/10/2025
1,800,000.00 Various
1.64%
1,775,582.00
1,778,913.15
91.61 4.84%
1,648,924.66
1,207.50
1.09%
(129,988.49)
A1 / A
AA2.442.35
63743HFE7 National Rural Utilities Note
3.450% Due 06/15/2025
375,000.00 04/27/2022
3.46%
374,898.75
374,920.28
96.54 4.96%
362,011.67
575.00
0.24%
(12,908.61)
A2 / AA2.46
2.31 14913R2Z9 Caterpillar Financial Service Note
3.650% Due 08/12/2025
1,000,000.00 08/18/2022
3.64%
1,000,270.00
1,000,237.18
97.62 4.63%
976,162.90
14,093.06
0.66%
(24,074.28)
A2 / A
A
2.62 2.42
931142EW9 Wal-Mart Stores Note
3.900% Due 09/09/2025
1,000,000.00 09/08/2022
3.80%
1,002,740.00
1,002,461.74
98.48 4.50%
984,817.39
12,133.33
0.66%
(17,644.35)
Aa2 / AA
AA
2.69 2.49
92826CAD4 Visa Inc Callable Note Cont 9/14/2025
3.150% Due 12/14/2025
2,000,000.00 12/21/2022
4.36%
1,933,300.00
1,933,852.25
96.42 4.45%
1,928,378.24
2,975.00
1.28%
(5,474.01)
Aa3 / AANR2.96
2.77 As of December 31, 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
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
966,672.54
92.62 5.58%
879,909.58
5,714.25
0.59%
(86,762.96)
A1 / AAA3.20
3.00 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
499,672.76
88.96 4.73%
444,813.52
766.67
0.30%
(54,859.24)
A2 / A
A
3.37 3.23
91324PEC2 United Health Group Inc Callable Note Cont 4/15/2026
1.150% Due 05/15/2026
1,700,000.00 Various
2.23%
1,627,818.00
1,640,937.59
89.43 4.57%
1,520,364.28
2,498.05
1.01%
(120,573.31)
A3 / A+
A
3.37 3.23
89114TZD7 Toronto-Dominion Bank Note
1.200% Due 06/03/2026
500,000.00 04/21/2022
3.62%
454,290.00
461,938.81
88.28 4.96%
441,422.58
466.67
0.29%
(20,516.23)
A1 / A
AA3.423.27
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
98.37 5.37%
673,800.48
14,333.99
0.46%
(11,199.52)
A1 / AA+3.55
2.32 438516BL9 Honeywell Intl Callable Note 08/01/2026
2.500% Due 11/01/2026
1,000,000.00 12/15/2022
4.31%
936,170.00
936,757.25
92.22 4.74%
922,161.27
4,166.67
0.61%
(14,595.98)
A2 / A
A
3.84 3.57
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
996,419.93
97.78 4.57%
977,756.93
5,666.67
0.65%
(18,663.00)
A2 / A+
A+
4.36 3.93
TOTAL Corporate 34,780,000.00 2.96%
34,277,917.40
34,341,479.75 4.78%
33,238,996.36
205,733.05
22.14%
(1,102,483.39)
A1 / A+
A+
2.05 1.92
Money Market Fund
60934N104 Federated Investors Government Obligations Fund 5,375,339.19 Various
4.10%
5,375,339.19
5,375,339.19
1.00 4.10%
5,375,339.19
0.00 3.56%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 5,375,339.19 4.10%
5,375,339.19
5,375,339.19 4.10%
5,375,339.19
0.00 3.56%
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
2,000,155.49
98.37 4.66%
1,967,499.88
1,027.78
1.30%
(32,655.61)
Aaa / AAA
NR
0.39 0.39
TOTAL Supranational 2,000,000.00 0.48%
2,001,220.00
2,000,155.49 4.66%
1,967,499.88
1,027.78
1.30%
(32,655.61)
Aaa / AAA
NR
0.39 0.39
As of December 31, 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
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
1,400,722.82
99.93 3.28%
1,398,971.00
9,701.09
0.93%
(1,751.82)
Aaa / AA+
AAA
0.04 0.04
912828Z86 US Treasury Note
1.375% Due 02/15/2023
1,850,000.00 Various
0.18%
1,900,808.59
1,852,713.67
99.66 4.11%
1,843,669.30
9,608.18
1.23%
(9,044.37)
Aaa / AA+
AAA
0.13 0.12
912828P79 US Treasury Note
1.500% Due 02/28/2023
1,950,000.00 10/20/2020
0.16%
2,011,318.36
1,954,135.42
99.54 4.31%
1,941,047.55
9,938.54
1.29%
(13,087.87)
Aaa / AA+
AAA
0.16 0.16
912828ZD5 US Treasury Note
0.500% Due 03/15/2023
2,000,000.00 06/17/2020
0.21%
2,015,703.13
2,001,146.33
99.24 4.25%
1,984,764.00
2,983.43
1.32%
(16,382.33)
Aaa / AA+
AAA
0.20 0.20
91282CAF8 US Treasury Note
0.125% Due 08/15/2023
1,750,000.00 06/21/2021
0.28%
1,744,189.45
1,748,325.02
97.23 4.67%
1,701,533.75
826.26
1.13%
(46,791.27)
Aaa / AA+
AAA
0.62 0.61
9128285D8 US Treasury Note
2.875% Due 09/30/2023
1,000,000.00 06/24/2019
1.77%
1,045,156.25
1,007,883.50
98.76 4.58%
987,578.00
7,345.47
0.66%
(20,305.50)
Aaa / AA+
AAA
0.75 0.72
912828T26 US Treasury Note
1.375% Due 09/30/2023
1,000,000.00 05/25/2021
0.19%
1,027,617.19
1,008,765.32
97.56 4.73%
975,625.00
3,513.05
0.65%
(33,140.32)
Aaa / AA+
AAA
0.75 0.73
9128285K2 US Treasury Note
2.875% Due 10/31/2023
1,200,000.00 09/29/2020
0.16%
1,300,359.38
1,227,006.12
98.50 4.73%
1,182,046.80
5,908.84
0.79%
(44,959.32)
Aaa / AA+
AAA
0.83 0.81
912828WE6 US Treasury Note
2.750% Due 11/15/2023
1,000,000.00 06/19/2019
1.86%
1,037,343.75
1,007,380.55
98.30 4.76%
982,969.00
3,570.44
0.65%
(24,411.55)
Aaa / AA+
AAA
0.87 0.85
91282CAW1 US Treasury Note
0.250% Due 11/15/2023
3,000,000.00 Various
1.32%
2,952,539.06
2,972,641.75
96.16 4.80%
2,884,686.00
973.76
1.91%
(87,955.75)
Aaa / AA+
AAA
0.87 0.85
91282CBE0 US Treasury Note
0.125% Due 01/15/2024
3,000,000.00 Various
1.64%
2,921,687.50
2,953,607.48
95.37 4.74%
2,861,133.00
1,732.34
1.90%
(92,474.48)
Aaa / AA+
AAA
1.04 1.02
91282CEG2 US Treasury Note
2.250% Due 03/31/2024
2,000,000.00 09/08/2022
3.53%
1,961,406.25
1,969,138.57
97.05 4.71%
1,941,094.00
11,497.25
1.29%
(28,044.57)
Aaa / AA+
AAA
1.25 1.20
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
1,800,000.00 06/24/2021
0.42%
1,797,890.63
1,799,032.78
94.66 4.69%
1,703,953.80
1,446.43
1.13%
(95,078.98)
Aaa / AA+
AAA
1.29 1.26
912828XT2 US Treasury Note
2.000% Due 05/31/2024
2,000,000.00 03/03/2021
0.34%
2,106,640.63
2,046,475.14
96.38 4.67%
1,927,656.00
3,516.48
1.28%
(118,819.14)
Aaa / AA+
AAA
1.42 1.37
91282CCL3 US Treasury Note
0.375% Due 07/15/2024
3,000,000.00 Various
1.76%
2,908,496.10
2,937,417.82
93.71 4.65%
2,811,444.00
5,197.01
1.86%
(125,973.82)
Aaa / AA+
AAA
1.54 1.50
91282CCT6 US Treasury Note
0.375% Due 08/15/2024
1,000,000.00 08/11/2021
0.45%
997,890.63
998,859.59
93.46 4.60%
934,570.00
1,416.44
0.62%
(64,289.59)
Aaa / AA+
AAA
1.62 1.58
91282CDH1 US Treasury Note
0.750% Due 11/15/2024
2,500,000.00 12/13/2021
0.93%
2,487,304.69
2,491,861.68
93.39 4.47%
2,334,765.00
2,434.39
1.55%
(157,096.68)
Aaa / AA+
AAA
1.88 1.82
As of December 31, 2022
34 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
912828YV6 US Treasury Note
1.500% Due 11/30/2024
2,000,000.00 09/16/2021
0.49%
2,064,218.75
2,038,366.59
94.68 4.43%
1,893,594.00
2,637.36
1.26%
(144,772.59)
Aaa / AA+
AAA
1.92 1.85
912828Z52 US Treasury Note
1.375% Due 01/31/2025
3,000,000.00 04/21/2022
2.84%
2,883,281.25
2,912,489.69
94.04 4.40%
2,821,056.00
17,262.23
1.88%
(91,433.69)
Aaa / AA+
AAA
2.09 2.00
912828ZF0 US Treasury Note
0.500% Due 03/31/2025
2,500,000.00 12/13/2021
1.01%
2,458,789.06
2,471,909.42
91.91 4.31%
2,297,852.50
3,193.68
1.52%
(174,056.92)
Aaa / AA+
AAA
2.25 2.19
912828ZT0 US Treasury Note
0.250% Due 05/31/2025
1,100,000.00 04/01/2021
0.69%
1,080,105.47
1,088,446.22
90.86 4.28%
999,410.50
241.76
0.66%
(89,035.72)
Aaa / AA+
AAA
2.42 2.36
912828Y79 US Treasury Note
2.875% Due 07/31/2025
3,000,000.00 06/14/2022
3.45%
2,949,257.81
2,958,144.36
96.68 4.24%
2,900,391.00
36,093.75
1.94%
(57,753.36)
Aaa / AA+
AAA
2.58 2.43
9128284Z0 US Treasury Note
2.750% Due 08/31/2025
2,000,000.00 06/21/2021
0.73%
2,166,562.50
2,105,855.85
96.20 4.27%
1,924,062.00
18,687.85
1.29%
(181,793.85)
Aaa / AA+
AAA
2.67 2.51
9128285J5 US Treasury Note
3.000% Due 10/31/2025
3,000,000.00 06/14/2022
3.48%
2,954,296.88
2,961,704.19
96.66 4.26%
2,899,923.00
15,414.36
1.93%
(61,781.19)
Aaa / AA+
AAA
2.84 2.66
91282CAZ4 US Treasury Note
0.375% Due 11/30/2025
2,000,000.00 09/16/2021
0.72%
1,971,640.63
1,980,342.43
89.54 4.23%
1,790,704.00
659.34
1.19%
(189,638.43)
Aaa / AA+
AAA
2.92 2.84
91282CBT7 US Treasury Note
0.750% Due 03/31/2026
1,700,000.00 10/14/2021
0.98%
1,682,667.97
1,687,384.24
89.73 4.16%
1,525,484.80
3,257.55
1.01%
(161,899.44)
Aaa / AA+
AAA
3.25 3.14
9128286L9 US Treasury Note
2.250% Due 03/31/2026
2,000,000.00 12/21/2022
3.92%
1,898,125.00
1,898,977.51
94.34 4.13%
1,886,876.00
11,497.25
1.26%
(12,101.51)
Aaa / AA+
AAA
3.25 3.07
912828R36 US Treasury Note
1.625% Due 05/15/2026
3,000,000.00 12/21/2022
3.94%
2,780,742.19
2,782,510.40
92.14 4.14%
2,764,335.00
6,329.42
1.83%
(18,175.40)
Aaa / AA+
AAA
3.37 3.22
9128282A7 US Treasury Note
1.500% Due 08/15/2026
3,000,000.00 12/21/2022
3.91%
2,756,367.19
2,758,196.27
91.26 4.12%
2,737,734.00
16,997.28
1.82%
(20,462.27)
Aaa / AA+
AAA
3.62 3.44
912828U24 US Treasury Note
2.000% Due 11/15/2026
2,000,000.00 03/30/2022
2.54%
1,953,203.13
1,960,845.70
92.58 4.09%
1,851,640.00
5,193.37
1.23%
(109,205.70)
Aaa / AA+
AAA
3.88 3.66
91282CEF4 US Treasury Note
2.500% Due 03/31/2027
3,000,000.00 08/18/2022
3.06%
2,928,164.06
2,933,919.46
93.98 4.06%
2,819,415.00
19,162.09
1.88%
(114,504.46)
Aaa / AA+
AAA
4.25 3.94
912828X88 US Treasury Note
2.375% Due 05/15/2027
3,000,000.00 12/15/2022
3.71%
2,838,164.06
2,839,771.37
93.38 4.04%
2,801,250.00
9,250.69
1.86%
(38,521.37)
Aaa / AA+
AAA
4.37 4.08
91282CFM8 US Treasury Note
4.125% Due 09/30/2027
2,000,000.00 12/15/2022
3.65%
2,041,562.50
2,041,182.28
100.54
4.00%
2,010,704.00
21,078.30
1.35%
(30,478.28)
Aaa / AA+
AAA
4.75 4.23
As of December 31, 2022
35 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
91282CFZ9 US Treasury Note
3.875% Due 11/30/2027
1,000,000.00 12/15/2022
3.61%
1,011,992.19
1,011,886.18
99.62 3.96%
996,172.00
3,406.59
0.66%
(15,714.18)
Aaa / AA+
AAA
4.92 4.42
TOTAL US Treasury 70,750,000.00 1.91%
70,067,812.54
69,809,045.72 4.34%
67,318,110.00
271,972.27
44.75%
(2,490,935.72)
Aaa / AA+
AAA
2.20 2.08
TOTAL PORTFOLIO 156,924,555.81 2.14%
156,184,672.11
155,656,099.14 4.55%
150,433,115.34
609,532.49
100.00%
(5,222,983.80)
Aa1 / AA
AAA
1.89 1.70
TOTAL MARKET VALUE PLUS ACCRUALS 151,042,647.83
As of December 31, 2022
36 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
17,772,223.15 Various
0.01%
17,772,223.15
17,772,223.15
1.00 0.01%
17,772,223.15
0.00 31.37%
0.00 NR / NR
NR
0.00 0.00
TOTAL Cash 17,772,223.15 0.01%
17,772,223.15
17,772,223.15 0.01%
17,772,223.15
0.00 31.37%
0.00 NR / NR
NR
0.00 0.00
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 38,574,074.04 Various
2.23%
38,574,074.04
38,574,074.04
1.00 2.23%
38,574,074.04
303,897.10
68.63%
0.00 NR / NR
NR
0.00 0.00
TOTAL LAIF 38,574,074.04 2.23%
38,574,074.04
38,574,074.04 2.23%
38,574,074.04
303,897.10
68.63%
0.00 NR / NR
NR
0.00 0.00
TOTAL PORTFOLIO 56,346,297.19 1.53%
56,346,297.19
56,346,297.19 1.53%
56,346,297.19
303,897.10
100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL MARKET VALUE PLUS ACCRUALS 56,650,194.29
As of December 31, 2022
37 SECTION | Section 5 | Transactions
38 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 10/19/2022 47800BAC2 915,000.00 John Deere Owner Trust 2022-C A3
5.09% Due: 06/15/2027
99.992 5.15% 914,929.00 0.00 914,929.00 0.00
Purchase 12/16/2022 62479MRL9 3,000,000.00 MUFG Bank Ltd/NY Discount CP
4.77% Due: 04/20/2023
98.344 4.92% 2,950,312.50 0.00 2,950,312.50 0.00
Purchase 12/16/2022 912828X88 3,000,000.00 US Treasury Note
2.375% Due: 05/15/2027
94.605 3.71% 2,838,164.06 6,101.52 2,844,265.58 0.00
Purchase 12/16/2022 91282CFM8 2,000,000.00 US Treasury Note
4.125% Due: 09/30/2027
102.078 3.65% 2,041,562.50 17,451.92 2,059,014.42 0.00
Purchase 12/16/2022 91282CFZ9 1,000,000.00 US Treasury Note
3.875% Due: 11/30/2027
101.199 3.61% 1,011,992.19 1,703.30 1,013,695.49 0.00
Purchase 12/19/2022 438516BL9 1,000,000.00 Honeywell Intl Callable Note 08/01/2026
2.5% Due: 11/01/2026
93.617 4.31% 936,170.00 3,333.33 939,503.33 0.00
Purchase 12/22/2022 9128282A7 3,000,000.00 US Treasury Note
1.5% Due: 08/15/2026
91.879 3.91% 2,756,367.19 15,774.46 2,772,141.65 0.00
Purchase 12/22/2022 9128286L9 2,000,000.00 US Treasury Note
2.25% Due: 03/31/2026
94.906 3.92% 1,898,125.00 10,260.99 1,908,385.99 0.00
Purchase 12/22/2022 912828R36 3,000,000.00 US Treasury Note
1.625% Due: 05/15/2026
92.691 3.94% 2,780,742.19 4,982.73 2,785,724.92 0.00
Purchase 12/23/2022 713448CT3 2,000,000.00 Pepsico Inc. Callable Note Cont 1/30/2025
2.75% Due: 04/30/2025
96.107 4.51% 1,922,140.00 8,097.22 1,930,237.22 0.00
Purchase 12/23/2022 92826CAD4 2,000,000.00 Visa Inc Callable Note Cont 9/14/2025
3.15% Due: 12/14/2025
96.665 4.36% 1,933,300.00 1,575.00 1,934,875.00 0.00
Subtotal 22,915,000.00 21,983,804.63 69,280.47 22,053,085.10 0.00 TOTAL ACQUISITIONS 22,915,000.00 21,983,804.63 69,280.47 22,053,085.10 0.00 September 30, 2022 through December 31, 2022
As of December 31, 2022
39 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
DISPOSITIONS
Maturity 10/05/2022 3135G0T78 900,000.00 FNMA Note
2% Due: 10/05/2022
100.000 900,000.00 0.00 900,000.00 0.00
Maturity 12/14/2022 92826CAC6 1,000,000.00 Visa Inc Callable Note Cont 10/14/2022
2.8% Due: 12/14/2022
100.000 1,000,000.00 0.00 1,000,000.00 0.00
Subtotal 1,900,000.00 1,900,000.00 0.00 1,900,000.00 0.00 TOTAL DISPOSITIONS 1,900,000.00 1,900,000.00 0.00 1,900,000.00 0.00 September 30, 2022 through December 31, 2022
As of December 31, 2022
40 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
12/31/2022 90LAIF$00 22,793,218.33 Local Agency Investment Fund State Pool 1.000 22,793,218.33 0.00 22,793,218.33 0.00 Subtotal 22,793,218.33 22,793,218.33 0.00 22,793,218.33 0.00 TOTAL DISPOSITIONS 22,793,218.33 22,793,218.33 0.00 22,793,218.33 0.00 September 30, 2022 through December 31, 2022
As of December 31, 2022
41 Important Disclosures
2023 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 December 31, 2022
42 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 December 31, 2022
43