CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending March 31, 2023
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 March 31, 2023
1 SECTION | Section 1 | Economic Update
2 Economic Update
Recent economic data continues to suggest positive but below trend growth this year. Although the pace of job growth is moderating, labor markets remain solid, and the U.S. consumer has demonstrated resiliency. Given the cumulative effects of restrictive monetary policy and tighter financial conditions, we believe the Federal Reserve is likely near a pause in their rate hiking campaign. If moderate growth continues, we believe the Fed will likely maintain the Federal Funds rate in restrictive territory until inflationary pressures subside.
At the May meeting, the Federal Open Market Committee voted unanimously to raise the target federal funds rate by 0.25% to a range of 5.00 - 5.25%. Notably, the committee omitted a line from its March statement referencing that “some additional policy firming may be appropriate.” Instead, the FOMC will determine “the extent to which additional policy firming may be appropriate”, implying a potential pause that is data dependent. Fed Chair Powell reiterated the committee’s focus on bringing down inflation to their 2% target and indicated that their outlook did not support rate cuts, contrary to the market consensus. The statement also emphasized that the U.S. banking system is “sound and resilient” and acknowledged the tightening of financial conditions. Considering the totality of economic data, the Chandler team continues to believe the Fed is likely near a pause in their rate hiking cycle and will maintain higher rates for some time.
In April, the yield curve inversion widened. The 2-year Treasury yield fell 2 basis points to 4.01%, the 5-year Treasury yield dropped 9 basis points to 3.49%, and the 10-year Treasury yield fell 5 basis points to 3.43%. The inversion between the 2- year Treasury yield and 10-year Treasury yield declined to -58 basis points at April month end versus -56 basis points at March month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was +22 basis points.
The inversion between 3-month and 10-year Treasuries widened to -163 basis points in April from -128 in March. 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 253,000 jobs in April, following a downward revision of 71,000 to 165,000 jobs for the month of March. The pace of job growth is slowing, with the three-month moving average payrolls at 222,000 and the six-month moving average at 277,800. Broad-based gains in the private sector point to employment continuing to show strength, led by professional and business services. The unemployment rate fell to 3.4%, while the labor force participation rate remained at 62.6% in April. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons, declined to 6.6% from the prior month at 6.7%. Average hourly earnings accelerated to 4.4% year-over-year in April, up from a revised 4.3% increase in March. Job Openings in March decreased for the third consecutive month to 9.59million, indicating a slower demand for labor and increased layoffs. While the overall pace of hiring is slowing, levels remain consistent with a solid labor market.
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 April 0.4% month-over-month and 4.9% year-over-year, down from 5.0% in March. The Core CPI, which excludes volatile food and energy components, rose 0.4% month-over-month and 5.5% year-over-year, decelerating from 5.6% in March.
The Personal Consumption Expenditures (PCE) index rose 4.4% year-over-year in April, up from a 4.2% year-over-year gain in March. Core PCE, the Federal Reserve’s preferred inflation gauge, increased 4.7% year-over-year in April, up slightly from a 4.6% increase in March. Core inflation remains stubbornly elevated above the Fed's 2% target, with service-sector inflation and strong wage growth as headwinds.
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 0.4% month-over-month in April, rebounding from a decline of 0.7% in March. Gains were broad-based and translated to a year-over-year increase of 1.6% in April versus a downwardly revised 2.4% increase in March. The Conference Board’s Consumer Confidence Index fell to 102.3 in May after an upward revision to 103.7 in April. Both current conditions and future expectations declined, pointing toward higher risks of a future recession.
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 thirteenth consecutive month at –0.6% in April, versus -1.2% in March. The LEI was down 8.0% year-over-year in April, unchanged from March. The consistent decline month-over-month continues to signal future contraction in the economy. The Chicago Fed National Activity Index (CFNAI) rose to 0.07 in April month-over-month versus a downwardly revised -0.37 in March. On a 3-month moving average basis, the CFNAI declined to -0.22 in April, indicating a rate of growth below the historical average trend.
-0.50
-0.25
0.00 0.25
0.50 0.75
1.00 Chicago Fed National Activity Index (CFNAI)
3 Month Average
-1.5%
-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
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
20.0%
22.0%
24.0%
S&P/Case-Shiller 20 City Composite Home Price Index
YOY( %) Change
Total housing starts rose 2.2% month-over-month in April to 1,401,000 units from a downwardly revised 1,371,000 in March and were down
22.3% compared to April 2022. Both single-family and mulit-family construction increased as the low supply of existing inventory drove higher builder confidence. The 30-year fixed rate mortgage averaged approximately 6.57% in mid-May according to Freddie Mac, down from a peak of
7.08% in October, but up over 100 basis points from a year ago. According to the Case-Shiller 20-City Home Price Index, housing prices declined -1.15% in March, after rising +0.36% in February, clearly displaying the impact of higher mortgage rates year-over-year, which have reduced demand for homebuying as affordability has declined. The Southeast remains the strongest region, while the West continues to be the weakest.
8 Source: Institute for Supply Management Source: Federal Reserve Manufacturing
The Institute for Supply Management (ISM) manufacturing index rose to 47.1 in April from 46.3 in March. This is the sixth consecutive month of readings below 50.0, which is indicative of contraction in the manufacturing sector. All components improved, including the headline, new orders, employment, and prices. Industrial production rose 0.5% in April due to increases in manufacturing and mining. This equates to a
0.24% increase in industrial production from the prior year. Capacity utilization increased to 79.7% in April from a downwardly revised 79.4% in March, inching above its 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 6/22 9/22 12/22 3/23
1.4% 1.5% 0.7% 2.5%
-2.8% -1.8% 0.8% -2.1%
1.2% 2.9% 0.4% 0.0%
-0.2% 0.2% 0.4% 0.5%
-0.1% 0.4% 0.3% 0.4%
-0.6% 3.3% 2.6% 1.3%
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, first quarter 2023 GDP growth was revised up to 1.3% from 1.1%. Personal consumption expenditures and government spending were revised upward. The consensus estimate calls for 0.6% growth for the second quarter and 1.1% growth for the full year 2023.
10 Federal Reserve
Source: Federal Reserve Source: Bloomberg
As expected at the May meeting, the Federal Open Market Committee voted unanimously to raise the target federal funds rate by 0.25% to a range of 5.00 - 5.25%. Notably, the committee omitted a line from its March statement referencing that “some additional policy firming may be appropriate.” Instead, the FOMC will determine “the extent to which additional policy firming may be appropriate,” implying a potential pause that will be data dependent. Fed Chair Powell reiterated the committee’s focus on bringing down inflation to their 2% target and indicated that their outlook did not support rate cuts, contrary to the market consensus. The statement also emphasized that the U.S. banking system is “sound and resilient” and acknowledged the tightening of financial conditions. The March Summary of Economic Projections indicated little change, with the consensus target federal funds rate rising to 5.1% with no rate cuts in 2023, falling to 4.3% in 2024 (up from 4.1% previously), and declining to 3.1% by the end of 2025. Considering the totality of economic data, the Chandler team continues to believe the Fed is likely near a pause in their rate hiking cycle and will maintain higher rates 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%
5.50%
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
Apr-23
Jan-23
Apr-22
Yield (%)
Bond Yields
At the end of April, the 2-year Treasury yield was 129 basis points higher, and the 10-Year Treasury yield was about 49 basis points higher, yearover-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield widened to -58 basis points at April month-end versus - 56 basis points at March month-end. The average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10-year Treasuries widened to -163 basis points in April from -128 in March. 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 March 31, 2023
14 Compliance As of March 31, 2023
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
03/31/23 12/31/22
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 1.83 1.99 1.89
Average Modified Duration 1.76 1.74 1.70
Average Purchase Yield n/a 2.40% 2.14%
Average Market Yield 4.20% 4.43% 4.55%
Average Quality** AAA AA/Aa1 AA/Aa1
Total Market Value 153,376,098 151,042,648
*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 March 31, 2023
16 City of San Leandro
Sector Distribution
ABS
6.7%
Agency
22.7%
Commercial
Paper
2.0%
Corporate
22.7%
Money Market
Fund
2.9%
Supranational
1.3%
US Treasury
41.8%
March 31, 2023 December 31, 2022
ABS
4.8%
Agency
21.5%
Commercial
Paper
2.0%
Corporate
22.1% Money Market
Fund
3.6%
Supranational
1.3%
US Treasury
44.8%
As of March 31, 2023
17 Issue Name Investment Type % Portfolio
Government of United States US Treasury 41.81%
Federal Home Loan Bank Agency 8.08%
Federal Home Loan Mortgage Corp Agency 7.71%
Federal National Mortgage Association Agency 5.62%
Federated GOVT Obligation MMF Money Market Fund 2.88%
MUFG Bank Ltd/NY Commercial Paper 1.95%
John Deere ABS ABS 1.90%
Deere & Company Corporate 1.49%
Apple Inc Corporate 1.39%
Bank of America Corp Corporate 1.31%
Wal-Mart Stores Corporate 1.31%
Honeywell Corp Corporate 1.30%
Inter-American Dev Bank Supranational 1.30%
Visa Inc Corporate 1.28%
Pepsico Inc Corporate 1.28%
Federal Farm Credit Bank Agency 1.26%
Toyota Motor Corp Corporate 1.18%
Toronto Dominion Holdings Corporate 1.12%
Amazon.com Inc Corporate 1.10%
Royal Bank of Canada Corporate 1.08%
Paccar Financial Corporate 1.06%
Caterpillar Inc Corporate 1.02%
United Health Group Inc Corporate 1.01%
US Bancorp Corporate 0.96%
JP Morgan Chase & Co Corporate 0.91%
Charles Schwab Corp/The Corporate 0.91%
GM Financial Automobile Leasing Trust ABS 0.89%
Honda ABS ABS 0.87%
National Rural Utilities Corporate 0.86%
American Express ABS ABS 0.70%
Chubb Corporation Corporate 0.65%
Northern Trust Corp Corporate 0.65%
BMW ABS ABS 0.64%
GM Financial Securitized Term Auto Trust ABS 0.54%
Morgan Stanley Corporate 0.45%
Bank of New York Corporate 0.42%
BMW Vehicle Lease Trust ABS 0.36%
Mercedes-Benz ABS 0.34%
Issuers
City of San Leandro – Account #460
As of March 31, 2023
18 Issue Name Investment Type % Portfolio
Toyota ABS ABS 0.26%
Hyundai Auto Receivables ABS 0.16%
TOTAL 100.00%
Issuers
City of San Leandro – Account #460
As of March 31, 2023
19 AAA AA A <A NR
03/31/23 8.0% 69.9% 17.3% 0.0% 4.8%
12/31/22 7.6% 72.0% 16.3% 0.0% 4.1%
Source: S&P Ratings
March 31, 2023 vs. December 31, 2022
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
AAA AA A <A NR
03/31/23 12/31/22
Quality Distribution
City of San Leandro
As of March 31, 2023
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 10.6% 7.1% 15.1% 30.2% 22.6% 8.4% 6.0% 0.0%
Benchmark* 0.1% 0.0% 2.8% 58.1% 39.0% 0.0% 0.0% 0.0%
*ICE BofA 1-3 Yr US Treasury & Agency Index
Duration Distribution
City of San Leandro
As of March 31, 2023
21 -1.50%
-1.00%
-0.50%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
12 months 2 years 3 years 5 years 10 years Since Inception City of San Leandro ICE BofA 1-3 Yr US Treasury & Agency Index Total Rate of Return Annualized Since Inception April 30, 2004 Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since Inception
City of San Leandro 1.54% 0.53% -0.97% -0.32% 1.33% 1.02% 1.89% ICE BofA 1-3 Yr US Treasury & Agency Index 1.55% 0.19% -1.33% -0.81% 1.11% 0.82% 1.81% 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 March 31, 2023
22 Portfolio Characteristics
San Leandro Reporting
03/31/23
Portfolio
12/31/22
Portfolio
Average Maturity (yrs) 0.00 0.00
Modified Duration 0.00 0.00
Average Purchase Yield 1.49% 1.53%
Average Market Yield 1.49% 1.53%
Average Quality* NR/NR NR/NR
Total Market Value 75,636,268 56,650,194
*Portfolio is S&P and Moody’s, respectively.
As of March 31, 2023
23 San Leandro Reporting
Sector Distribution
Cash
48.3%
LAIF
51.7%
March 31, 2023 December 31, 2022
Cash
31.4%
LAIF
68.6%
As of March 31, 2023
24 SECTION | Section 3 | Consolidated Information
25 Portfolio Characteristics
City of San Leandro Consolidated
03/31/23 12/31/22
Portfolio Portfolio
Average Maturity (yrs) 1.33 1.37
Modified Duration 1.16 1.24
Average Purchase Yield 2.10% 1.98%
Average Market Yield 3.46% 3.73%
Average Quality* AA/Aa1 AA/Aa1
Total Market Value 229,012,366 207,692,842
* Portfolio is S&P and Moody’s respectively.
As of March 31, 2023
*Does not include accrued interest
Fund Name Account Market Value
3/31/2023
Market Value
12/31/2022
LAIF - City Pool LGIP $38,835,797 $38,545,642
LAIF Successor Agency LGIP $28,580 $28,432
Wells Fargo General Fund Bank $36,523,968 $17,772,223
CAM Accrued Interest on LAIF $247,922 $303,897
Total LAIF and Bank Balances $75,636,268 $56,650,194
Investment Portfolio Market Value Separate Account $153,376,098 $151,042,648 Total $229,012,366 $207,692,842
26 City of San Leandro Consolidated
Sector Distribution
ABS
4.5%
Agency
15.2%
Cash
15.9%
Commercial
Paper
1.3%
Corporate
15.2%
LAIF
17.1%
Money Market
Fund
1.9%
Supranational
0.9%
US Treasury
28.0%
March 31, 2023 December 31, 2022
ABS
3.5%
Agency
15.6%
Cash
8.6%
Commercial
Paper
1.4%
Corporate
LAIF 16.1%
18.7%
Money Market
Fund
2.6%
Supranational
1.0%
US Treasury
32.5%
As of March 31, 2023
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
754,996.83
97.34 5.41%
734,923.04
438.32
0.48%
(20,073.79)
Aaa / NR
AAA
1.97 0.76
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
359,975.73
97.50 5.66%
351,011.88
66.00 0.23%
(8,963.85)
NR / AAA
AAA
1.99 0.55
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
639,960.33
98.23 5.24%
628,670.72
668.80
0.41%
(11,289.61)
NR / AAA
AAA
2.22 0.99
47788UAC6 John Deere Owner Trust 2021-A A3
0.360% Due 09/15/2025
197,940.93 03/02/2021
0.37%
197,902.89
197,924.64
96.78 5.63%
191,566.84
31.67 0.12%
(6,357.80)
Aaa / NR
AAA
2.46 0.61
05593AAC3 BMW Vehicle Lease Trust 2023-1 A3
5.160% Due 11/25/2025
205,000.00 02/07/2023
5.22%
204,995.12
204,995.41
100.29
5.02%
205,597.58
176.30
0.13%
602.17
Aaa / AAA
NR
2.66 1.51
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
364,955.07
95.51 5.26%
348,610.77
89.22 0.23%
(16,344.30)
Aaa / NR
AAA
2.81 1.03
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
259,967.09
95.40 5.49%
248,044.94
85.51 0.16%
(11,922.15)
NR / AAA
AAA
3.13 0.97
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
589,941.57
95.88 4.95%
565,669.58
492.98
0.37%
(24,271.99)
Aaa / AAA
NR
3.13 1.36
05602RAD3 BMW Vehicle Owner Trust 2022-A A3
3.210% Due 08/25/2026
1,000,000.00 01/04/2023
5.34%
974,804.69
977,181.61
97.71 4.90%
977,143.00
535.00
0.64%
(38.61)
Aaa / AAA
NR
3.41 1.38
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
404,993.33
97.02 4.97%
392,933.03
527.40
0.26%
(12,060.30)
Aaa / AAA
NR
3.46 1.48
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
274,995.96
94.86 5.77%
260,876.55
77.92 0.17%
(14,119.41)
Aaa / AAA
NR
3.47 1.02
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
449,930.11
96.65 5.05%
434,938.95
464.00
0.28%
(14,991.16)
Aaa / NR
AAA
3.47 1.24
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
239,986.66
95.01 5.68%
228,031.20
126.00
0.15%
(11,955.46)
NR / AAA
AAA
3.63 1.14
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
349,947.47
96.84 5.16%
338,927.75
452.08
0.22%
(11,019.72)
Aaa / AAA
NR
3.88 1.56
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
564,956.58
98.07 4.89%
554,111.32
939.16
0.36%
(10,845.26)
Aaa / NR
AAA
3.88 1.72
43815JAC7 Honda Auto Receivables Owner 2023-1 A3
5.040% Due 04/21/2027
420,000.00 02/16/2023
5.10%
419,921.96
419,924.40
100.69
4.78%
422,880.36
588.00
0.28%
2,955.96
Aaa / NR
AAA
4.06 2.19
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
1,104,825.73
97.66 4.60%
1,079,109.85
1,664.87
0.70%
(25,715.88)
NR / AAA
AAA
4.13 1.99
As of March 31, 2023
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
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
914,937.72
100.81
4.74%
922,427.06
2,069.93
0.60%
7,489.34
Aaa / NR
AAA
4.21 1.98
58770AAC7 Mercedes-Benz Auto Receivable 2023-1 A3
4.510% Due 11/15/2027
515,000.00 01/18/2023
4.56%
514,938.20
514,941.42
99.86 4.62%
514,304.24
1,032.29
0.34%
(637.18)
NR / AAA
AAA
4.63 2.08
47800CAC0 John Deere Owner Trust 2023-A A3
5.010% Due 11/15/2027
800,000.00 02/22/2023
5.07%
799,854.24
799,856.78
101.06
4.61%
808,452.09
3,228.67
0.53%
8,595.31
Aaa / NR
AAA
4.63 2.30
TOTAL ABS 10,412,940.93 3.37%
10,386,486.90
10,389,194.44 5.00%
10,208,230.75
13,754.12
6.66%
(180,963.69)
Aaa / AAA
AAA
3.49 1.52
Agency
3137EAEQ8 FHLMC Note
0.375% Due 04/20/2023
2,000,000.00 05/19/2020
0.30%
2,004,180.00
2,000,074.57
99.78 4.56%
1,995,582.00
3,354.17
1.30%
(4,492.57)
Aaa / AA+
AAA
0.05 0.05
3137EAER6 FHLMC Note
0.375% Due 05/05/2023
2,000,000.00 05/11/2020
0.33%
2,002,740.00
2,000,085.63
99.64 4.23%
1,992,738.00
3,041.67
1.30%
(7,347.63)
Aaa / AA+
AAA
0.10 0.09
3133834G3 FHLB Note
2.125% Due 06/09/2023
1,000,000.00 06/11/2019
2.03%
1,003,690.00
1,000,174.63
99.46 4.99%
994,580.00
6,611.11
0.65%
(5,594.63)
Aaa / AA+
NR
0.19 0.19
3135G05G4 FNMA Note
0.250% Due 07/10/2023
1,800,000.00 08/18/2020
0.27%
1,799,190.00
1,799,923.22
98.85 4.49%
1,779,233.40
1,012.50
1.16%
(20,689.82)
Aaa / AA+
AAA
0.28 0.27
3137EAEV7 FHLMC Note
0.250% Due 08/24/2023
2,000,000.00 08/27/2020
0.29%
1,997,860.00
1,999,714.80
98.22 4.81%
1,964,468.00
513.89
1.28%
(35,246.80)
Aaa / AA+
AAA
0.40 0.39
3130ATB71 FHLB Note
3.625% Due 09/06/2023
3,000,000.00 09/08/2022
3.64%
2,999,613.00
2,999,831.09
99.49 4.81%
2,984,805.00
7,552.08
1.95%
(15,026.09)
Aaa / NR
NR
0.44 0.42
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
2,000,000.00 12/21/2020
0.21%
2,002,180.00
2,000,499.96
96.98 4.85%
1,939,588.00
1,625.00
1.27%
(60,911.96)
Aaa / AA+
AAA
0.68 0.66
3130A0F70 FHLB Note
3.375% Due 12/08/2023
1,700,000.00 01/16/2019
2.73%
1,749,623.00
1,706,973.89
99.01 4.85%
1,683,185.30
18,009.38
1.11%
(23,788.59)
Aaa / AA+
AAA
0.69 0.66
3133EMNG3 FFCB Note
0.230% Due 01/19/2024
2,000,000.00 02/02/2021
0.20%
2,001,520.00
2,000,412.37
96.44 4.83%
1,928,704.00
920.00
1.26%
(71,708.37)
Aaa / AA+
AAA
0.81 0.78
3135G0V34 FNMA Note
2.500% Due 02/05/2024
2,000,000.00 03/25/2020
0.74%
2,133,740.00
2,029,382.99
98.10 4.82%
1,961,968.00
7,777.78
1.28%
(67,414.99)
Aaa / AA+
AAA
0.85 0.82
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
2,000,000.00 09/11/2019
1.66%
2,110,320.00
2,028,009.69
98.11 4.50%
1,962,214.00
17,090.28
1.29%
(65,795.69)
Aaa / AA+
NR
1.21 1.16
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
1,200,000.00 11/14/2019
1.70%
1,264,920.00
1,219,542.24
98.07 4.26%
1,176,856.80
1,725.00
0.77%
(42,685.44)
Aaa / AA+
AAA
1.46 1.40
3135G0W66 FNMA Note
1.625% Due 10/15/2024
2,000,000.00 10/17/2019
1.64%
1,998,140.00
1,999,424.94
96.09 4.28%
1,921,794.00
14,986.11
1.26%
(77,630.94)
Aaa / AA+
AAA
1.55 1.48
As of March 31, 2023
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
3130A3GE8 FHLB Note
2.750% Due 12/13/2024
1,500,000.00 12/10/2019
1.75%
1,571,250.00
1,524,256.98
97.38 4.37%
1,460,665.50
12,375.00
0.96%
(63,591.48)
Aaa / AA+
NR
1.71 1.62
3135G0X24 FNMA Note
1.625% Due 01/07/2025
2,100,000.00 Various
1.50%
2,111,993.00
2,104,306.39
95.59 4.24%
2,007,461.40
7,962.50
1.31%
(96,844.99)
Aaa / AA+
AAA
1.78 1.71
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
2,000,000.00 03/24/2020
0.95%
2,051,940.00
2,019,873.96
95.19 4.21%
1,903,794.00
4,083.33
1.24%
(116,079.96)
Aaa / AA+
AAA
1.87 1.80
3135G05X7 FNMA Note
0.375% Due 08/25/2025
1,000,000.00 10/20/2020
0.47%
995,420.00
997,729.42
91.55 4.11%
915,535.00
375.00
0.60%
(82,194.42)
Aaa / AA+
AAA
2.41 2.34
3137EAEX3 FHLMC Note
0.375% Due 09/23/2025
2,200,000.00 09/28/2020
0.42%
2,195,512.00
2,197,765.86
91.36 4.08%
2,009,931.00
183.33
1.31%
(187,834.86)
Aaa / AA+
AAA
2.48 2.42
3130ATS57 FHLB Note
4.500% Due 03/10/2028
2,000,000.00 03/21/2023
3.99%
2,045,140.00
2,044,891.29
103.16
3.79%
2,063,282.00
5,250.00
1.35%
18,390.71
Aaa / AA+
AAA
4.95 4.40
TOTAL Agency 35,500,000.00 1.35%
36,038,971.00
35,672,873.92 4.49%
34,646,385.40
114,448.13
22.66%
(1,026,488.52)
Aaa / AA+
AAA
1.24 1.17
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
2,992,339.91
99.74 4.92%
2,992,339.91
0.00 1.95%
0.00 P-1 / A-1
NR
0.05 0.05
TOTAL Commercial Paper 3,000,000.00 4.92%
2,950,312.50
2,992,339.91 4.92%
2,992,339.91
0.00 1.95%
0.00 P-1 / A-1
NR
0.05 0.05
Corporate
037833AK6 Apple Inc Note
2.400% Due 05/03/2023
900,000.00 12/12/2018
3.43%
862,677.00
899,254.01
99.82 4.44%
898,343.10
8,880.00
0.59%
(910.91)
Aaa / AA+
NR
0.09 0.09
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
1,000,219.05
99.66 4.79%
996,649.00
8,972.22
0.66%
(3,570.05)
Aa2 / AA
AA
0.24 0.23
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
500,598.06
99.36 5.45%
496,788.00
3,163.89
0.33%
(3,810.06)
A1 / AAAA0.32
0.31 24422EUR8 John Deere Capital Corp Note
3.450% Due 01/10/2024
300,000.00 01/29/2019
3.24%
302,907.00
300,457.39
98.76 5.09%
296,290.50
2,328.75
0.19%
(4,166.89)
A2 / A
A+
0.78 0.75
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
1,000,055.53
96.67 4.77%
966,708.00
925.00
0.63%
(33,347.53)
A2 / A
A+
0.80 0.77
89114QCB2 Toronto Dominion Bank Note
3.250% Due 03/11/2024
1,300,000.00 Various
3.00%
1,314,864.00
1,302,871.49
97.92 5.54%
1,272,987.30
2,347.22
0.83%
(29,884.19)
A1 / A
AA0.950.91
As of March 31, 2023
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
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
1,001,021.92
95.19 5.96%
951,892.00
270.83
0.62%
(49,129.92)
A2 / A
A
0.97 0.93
46625HJX9 JP Morgan Chase Note
3.625% Due 05/13/2024
500,000.00 06/14/2022
3.61%
500,080.00
500,046.83
98.73 4.80%
493,652.00
6,947.92
0.33%
(6,394.83)
A1 / AAA1.12
1.06 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
1,031,286.95
98.35 4.88%
983,502.00
12,655.56
0.65%
(47,784.95)
A3 / A
A
1.13 1.07
89236TJH9 Toyota Motor Credit Corp Note
0.500% Due 06/18/2024
500,000.00 06/14/2022
3.63%
470,025.00
481,843.25
95.16 4.64%
475,820.00
715.28
0.31%
(6,023.25)
A1 / A+
A+
1.22 1.18
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
983,193.81
96.13 5.45%
961,267.00
4,066.67
0.63%
(21,926.81)
A2 / A+
A+
1.33 1.28
63743HEY4 National Rural Utilities Note
1.000% Due 10/18/2024
1,000,000.00 06/14/2022
3.89%
935,890.00
957,559.93
94.14 4.98%
941,411.00
4,527.78
0.62%
(16,148.93)
A2 / AA1.55
1.49 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
1,393,249.51
94.67 4.60%
1,325,345.00
4,398.33
0.87%
(67,904.51)
A1 / A+
A+
1.79 1.72
69371RQ66 Paccar Financial Corp Note
1.800% Due 02/06/2025
1,700,000.00 04/20/2022
3.09%
1,641,588.00
1,661,268.44
95.04 4.63%
1,615,719.10
4,675.00
1.06%
(45,549.34)
A1 / A+
NR
1.86 1.78
023135CE4 Amazon.com Inc Note
3.000% Due 04/13/2025
1,700,000.00 04/20/2022
2.94%
1,702,822.00
1,701,928.93
97.54 4.28%
1,658,132.40
23,800.00
1.10%
(43,796.53)
A1 / AA
AA2.041.92
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
659,936.29
96.30 5.26%
635,597.82
9,581.00
0.42%
(24,338.47)
A1 / A
AA2.071.93
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
1,931,113.39
96.84 4.35%
1,936,826.00
23,069.44
1.28%
5,712.61
A1 / A+
NR
2.08 1.97
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
1,273,199.43
93.86 4.20%
1,220,120.20
5,687.50
0.80%
(53,079.23)
Aaa / AA+
NR
2.12 2.04
14913R2V8 Caterpillar Financial Service Note
3.400% Due 05/13/2025
585,000.00 05/10/2022
3.44%
584,257.05
584,476.00
97.96 4.42%
573,061.32
7,624.50
0.38%
(11,414.68)
A2 / A
A
2.12 1.99
78015K7H1 Royal Bank of Canada Note
1.150% Due 06/10/2025
1,800,000.00 Various
1.64%
1,775,582.00
1,781,043.14
92.01 5.04%
1,656,252.00
6,382.50
1.08%
(124,791.14)
A1 / A
AA2.202.11
63743HFE7 National Rural Utilities Note
3.450% Due 06/15/2025
375,000.00 04/27/2022
3.46%
374,898.75
374,928.29
97.36 4.72%
365,113.50
3,809.38
0.24%
(9,814.79)
A2 / AA2.21
2.07 14913R2Z9 Caterpillar Financial Service Note
3.650% Due 08/12/2025
1,000,000.00 08/18/2022
3.64%
1,000,270.00
1,000,214.81
98.19 4.46%
981,920.00
4,968.06
0.64%
(18,294.81)
A2 / A
A
2.37 2.23
931142EW9 Wal-Mart Stores Note
3.900% Due 09/09/2025
1,000,000.00 09/08/2022
3.80%
1,002,740.00
1,002,236.12
99.70 4.03%
996,969.00
2,383.33
0.65%
(5,267.12)
Aa2 / AA
AA
2.45 2.30
As of March 31, 2023
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
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
1,939,374.79
97.12 4.28%
1,942,398.00
18,725.00
1.28%
3,023.21
Aa3 / AANR2.71
2.53 24422EWP0 John Deere Capital Corp Note
4.800% Due 01/09/2026
1,000,000.00 01/04/2023
4.76%
1,001,220.00
1,001,128.72
101.53
4.21%
1,015,287.00
10,933.33
0.67%
14,158.28
A2 / A
A+
2.78 2.55
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
964,801.56
94.24 5.14%
895,326.55
952.38
0.58%
(69,475.01)
A1 / AAA2.95
1.87 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
499,696.74
87.79 5.46%
438,943.50
2,204.17
0.29%
(60,753.24)
A2 / A
A
3.12 2.97
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
1,645,259.23
90.93 4.29%
1,545,725.00
7,385.55
1.01%
(99,534.23)
A3 / A+
A
3.13 2.99
89114TZD7 Toronto-Dominion Bank Note
1.200% Due 06/03/2026
500,000.00 04/21/2022
3.62%
454,290.00
464,681.41
89.10 4.95%
445,524.00
1,966.67
0.29%
(19,157.41)
A1 / A
AA3.183.03
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
98.68 5.29%
675,973.07
6,588.29
0.45%
(9,026.93)
A1 / AA+3.30
2.13 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
940,822.86
94.92 4.04%
949,240.00
10,416.67
0.63%
8,417.14
A2 / A
A
3.59 3.34
06051GLE7 Bank of America Corp Callable Note 2X 1/20/2026
5.080% Due 01/20/2027
2,000,000.00 01/26/2023
4.98%
2,005,260.00
2,004,964.55
99.69 5.19%
1,993,798.00
20,037.78
1.31%
(11,166.55)
A2 / AAA3.81
2.56 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
996,622.57
97.97 4.55%
979,654.00
15,666.67
0.65%
(16,968.57)
A2 / A+
A+
4.11 3.68
438516CJ3 Honeywell Intl Callable Note Cont 01/15/2028
4.950% Due 02/15/2028
1,000,000.00 02/23/2023
4.65%
1,013,070.00
1,012,828.10
103.29
4.18%
1,032,899.00
6,325.00
0.68%
20,070.90
A2 / A
A
4.88 4.22
TOTAL Corporate 35,855,000.00 3.14%
35,414,637.40
35,477,183.10 4.71%
34,615,134.36
253,381.67
22.73%
(862,048.74)
A1 / A+
A+
2.21 1.97
As of March 31, 2023
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
Money Market Fund
60934N104 Federated Investors Government Obligations Fund 4,412,064.88 Various
4.63%
4,412,064.88
4,412,064.88
1.00 4.63%
4,412,064.88
0.00 2.88%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 4,412,064.88 4.63%
4,412,064.88
4,412,064.88 4.63%
4,412,064.88
0.00 2.88%
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
2,000,057.63
99.39 4.64%
1,987,878.00
3,527.78
1.30%
(12,179.63)
Aaa / AAA
NR
0.15 0.15
TOTAL Supranational 2,000,000.00 0.48%
2,001,220.00
2,000,057.63 4.64%
1,987,878.00
3,527.78
1.30%
(12,179.63)
Aaa / AAA
NR
0.15 0.15
US Treasury
91282CAF8 US Treasury Note
0.125% Due 08/15/2023
1,750,000.00 06/21/2021
0.28%
1,744,189.45
1,748,992.05
98.29 4.73%
1,720,059.25
271.93
1.12%
(28,932.80)
Aaa / AA+
AAA
0.38 0.37
9128285D8 US Treasury Note
2.875% Due 09/30/2023
1,000,000.00 06/24/2019
1.77%
1,045,156.25
1,005,274.99
99.13 4.66%
991,289.00
78.55 0.65%
(13,985.99)
Aaa / AA+
AAA
0.50 0.49
912828T26 US Treasury Note
1.375% Due 09/30/2023
1,000,000.00 05/25/2021
0.19%
1,027,617.19
1,005,865.03
98.38 4.69%
983,828.00
37.57 0.64%
(22,037.03)
Aaa / AA+
AAA
0.50 0.49
9128285K2 US Treasury Note
2.875% Due 10/31/2023
1,200,000.00 09/29/2020
0.16%
1,300,359.38
1,218,984.50
98.98 4.67%
1,187,719.20
14,486.19
0.78%
(31,265.30)
Aaa / AA+
AAA
0.59 0.56
912828WE6 US Treasury Note
2.750% Due 11/15/2023
1,000,000.00 06/19/2019
1.86%
1,037,343.75
1,005,291.72
98.75 4.81%
987,461.00
10,407.46
0.65%
(17,830.72)
Aaa / AA+
AAA
0.63 0.60
91282CAW1 US Treasury Note
0.250% Due 11/15/2023
3,000,000.00 Various
1.32%
2,952,539.06
2,980,384.64
97.25 4.77%
2,917,617.00
2,838.40
1.90%
(62,767.64)
Aaa / AA+
AAA
0.63 0.61
91282CBE0 US Treasury Note
0.125% Due 01/15/2024
3,000,000.00 Various
1.65%
2,921,687.50
2,964,624.18
96.47 4.71%
2,894,064.00
787.29
1.89%
(70,560.18)
Aaa / AA+
AAA
0.79 0.77
91282CEG2 US Treasury Note
2.250% Due 03/31/2024
2,000,000.00 09/08/2022
3.53%
1,961,406.25
1,975,243.03
97.69 4.64%
1,953,828.00
122.95
1.27%
(21,415.03)
Aaa / AA+
AAA
1.00 0.97
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
1,800,000.00 06/24/2021
0.42%
1,797,890.63
1,799,217.99
95.71 4.64%
1,722,866.40
3,115.38
1.13%
(76,351.59)
Aaa / AA+
AAA
1.04 1.01
912828XT2 US Treasury Note
2.000% Due 05/31/2024
2,000,000.00 03/03/2021
0.34%
2,106,640.63
2,038,369.01
97.20 4.49%
1,943,906.00
13,406.59
1.28%
(94,463.01)
Aaa / AA+
AAA
1.17 1.13
91282CCL3 US Treasury Note
0.375% Due 07/15/2024
3,000,000.00 Various
1.77%
2,908,496.10
2,947,457.74
94.98 4.41%
2,849,532.00
2,361.88
1.86%
(97,925.74)
Aaa / AA+
AAA
1.29 1.26
As of March 31, 2023
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
91282CCT6 US Treasury Note
0.375% Due 08/15/2024
1,000,000.00 08/11/2021
0.45%
997,890.63
999,032.96
94.71 4.37%
947,109.00
466.16
0.62%
(51,923.96)
Aaa / AA+
AAA
1.38 1.35
91282CDH1 US Treasury Note
0.750% Due 11/15/2024
2,500,000.00 12/13/2021
0.93%
2,487,304.69
2,492,932.51
94.54 4.27%
2,363,380.00
7,095.99
1.55%
(129,552.51)
Aaa / AA+
AAA
1.63 1.58
912828YV6 US Treasury Note
1.500% Due 11/30/2024
2,000,000.00 09/16/2021
0.49%
2,064,218.75
2,033,426.68
95.64 4.23%
1,912,812.00
10,054.95
1.25%
(120,614.68)
Aaa / AA+
AAA
1.67 1.61
912828Z52 US Treasury Note
1.375% Due 01/31/2025
3,000,000.00 04/21/2022
2.84%
2,883,281.25
2,922,839.13
95.17 4.13%
2,855,040.00
6,837.02
1.87%
(67,799.13)
Aaa / AA+
AAA
1.84 1.78
912828ZF0 US Treasury Note
0.500% Due 03/31/2025
2,500,000.00 12/13/2021
1.01%
2,458,789.06
2,474,992.53
93.27 4.04%
2,331,737.50
34.15 1.52%
(143,255.03)
Aaa / AA+
AAA
2.00 1.95
912828ZT0 US Treasury Note
0.250% Due 05/31/2025
1,100,000.00 04/01/2021
0.69%
1,080,105.47
1,089,626.52
92.27 4.01%
1,015,007.40
921.70
0.66%
(74,619.12)
Aaa / AA+
AAA
2.17 2.12
912828Y79 US Treasury Note
2.875% Due 07/31/2025
3,000,000.00 06/14/2022
3.45%
2,949,257.81
2,962,143.30
97.64 3.94%
2,929,218.00
14,295.58
1.92%
(32,925.30)
Aaa / AA+
AAA
2.34 2.22
9128284Z0 US Treasury Note
2.750% Due 08/31/2025
2,000,000.00 06/21/2021
0.73%
2,166,562.50
2,096,064.46
97.25 3.96%
1,944,922.00
4,782.61
1.27%
(151,142.46)
Aaa / AA+
AAA
2.42 2.30
9128285J5 US Treasury Note
3.000% Due 10/31/2025
3,000,000.00 06/14/2022
3.48%
2,954,296.88
2,965,037.48
97.80 3.90%
2,934,024.00
37,790.06
1.94%
(31,013.48)
Aaa / AA+
AAA
2.59 2.43
91282CAZ4 US Treasury Note
0.375% Due 11/30/2025
2,000,000.00 09/16/2021
0.72%
1,971,640.63
1,982,005.19
91.22 3.87%
1,824,376.00
2,513.74
1.19%
(157,629.19)
Aaa / AA+
AAA
2.67 2.60
91282CBT7 US Treasury Note
0.750% Due 03/31/2026
1,700,000.00 10/14/2021
0.98%
1,682,667.97
1,688,342.40
91.49 3.78%
1,555,301.10
34.84 1.01%
(133,041.30)
Aaa / AA+
AAA
3.00 2.92
9128286L9 US Treasury Note
2.250% Due 03/31/2026
2,000,000.00 12/21/2022
3.92%
1,898,125.00
1,906,650.10
95.64 3.80%
1,912,734.00
122.95
1.25%
6,083.90
Aaa / AA+
AAA
3.00 2.86
912828R36 US Treasury Note
1.625% Due 05/15/2026
3,000,000.00 12/21/2022
3.94%
2,780,742.19
2,798,424.27
93.63 3.81%
2,808,867.00
18,449.59
1.84%
10,442.73
Aaa / AA+
AAA
3.13 2.98
9128282A7 US Treasury Note
1.500% Due 08/15/2026
3,000,000.00 12/21/2022
3.91%
2,756,367.19
2,774,657.94
92.82 3.78%
2,784,492.00
5,593.92
1.82%
9,834.06
Aaa / AA+
AAA
3.38 3.24
912828U24 US Treasury Note
2.000% Due 11/15/2026
2,000,000.00 03/30/2022
2.54%
1,953,203.13
1,963,337.84
94.05 3.77%
1,880,938.00
15,138.12
1.24%
(82,399.84)
Aaa / AA+
AAA
3.63 3.42
91282CEF4 US Treasury Note
2.500% Due 03/31/2027
3,000,000.00 08/18/2022
3.06%
2,928,164.06
2,937,756.40
95.51 3.72%
2,865,234.00
204.92
1.87%
(72,522.40)
Aaa / AA+
AAA
4.00 3.76
912828X88 US Treasury Note
2.375% Due 05/15/2027
3,000,000.00 12/15/2022
3.71%
2,838,164.06
2,848,812.48
94.98 3.70%
2,849,415.00
26,964.78
1.88%
602.52
Aaa / AA+
AAA
4.13 3.84
91282CFM8 US Treasury Note
4.125% Due 09/30/2027
2,000,000.00 12/15/2022
3.65%
2,041,562.50
2,039,043.56
101.88
3.67%
2,037,656.00
225.41
1.33%
(1,387.56)
Aaa / AA+
AAA
4.50 4.08
As of March 31, 2023
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
1,011,289.88
101.04
3.63%
1,010,391.00
12,987.64
0.67%
(898.88)
Aaa / AA+
AAA
4.67 4.19
91282CGH8 US Treasury Note
3.500% Due 01/31/2028
3,000,000.00 02/23/2023
4.15%
2,914,101.56
2,915,817.62
99.48 3.62%
2,984,298.00
17,403.31
1.96%
68,480.38
Aaa / AA+
AAA
4.84 4.39
TOTAL US Treasury 66,550,000.00 2.20%
65,621,763.71
65,591,938.13 4.12%
63,899,121.85
229,831.63
41.81%
(1,692,816.28)
Aaa / AA+
AAA
2.32 2.20
TOTAL PORTFOLIO 157,730,005.81 2.40%
156,825,456.39
156,535,652.01 4.43%
152,761,155.15
614,943.33
100.00%
(3,774,496.86)
Aa1 / AA
AAA
1.99 1.74
TOTAL MARKET VALUE PLUS ACCRUALS 153,376,098.48
As of March 31, 2023
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
36,523,967.88 Various
0.01%
36,523,967.88
36,523,967.88
1.00 0.01%
36,523,967.88
0.00 48.29%
0.00 NR / NR
NR
0.00 0.00
TOTAL Cash 36,523,967.88 0.01%
36,523,967.88
36,523,967.88 0.01%
36,523,967.88
0.00 48.29%
0.00 NR / NR
NR
0.00 0.00
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 38,864,377.62 Various
2.88%
38,864,377.62
38,864,377.62
1.00 2.88%
38,864,377.62
247,922.10
51.71%
0.00 NR / NR
NR
0.00 0.00
TOTAL LAIF 38,864,377.62 2.88%
38,864,377.62
38,864,377.62 2.88%
38,864,377.62
247,922.10
51.71%
0.00 NR / NR
NR
0.00 0.00
TOTAL PORTFOLIO 75,388,345.50 1.49%
75,388,345.50
75,388,345.50 1.49%
75,388,345.50
247,922.10
100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL MARKET VALUE PLUS ACCRUALS 75,636,267.60
As of March 31, 2023
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 01/05/2023 313384BX6 2,000,000.00 FHLB Discount Note
4.23% Due: 02/15/2023
99.518 4.31% 1,990,365.00 0.00 1,990,365.00 0.00
Purchase 01/06/2023 05602RAD3 1,000,000.00 BMW Vehicle Owner Trust 2022-A A3
3.21% Due: 08/25/2026
97.480 5.34% 974,804.69 980.83 975,785.52 0.00
Purchase 01/09/2023 24422EWP0 1,000,000.00 John Deere Capital Corp Note
4.8% Due: 01/09/2026
100.122 4.76% 1,001,220.00 0.00 1,001,220.00 0.00
Purchase 01/25/2023 58770AAC7 515,000.00 Mercedes-Benz Auto Receivable 2023-1 A3
4.51% Due: 11/15/2027
99.988 4.56% 514,938.20 0.00 514,938.20 0.00
Purchase 01/30/2023 06051GLE7 2,000,000.00 Bank of America Corp Callable Note 2X 1/20/2026
5.08% Due: 01/20/2027
100.263 4.98% 2,005,260.00 2,822.22 2,008,082.22 0.00
Purchase 02/15/2023 05593AAC3 205,000.00 BMW Vehicle Lease Trust 2023-1 A3
5.16% Due: 11/25/2025
99.998 5.22% 204,995.12 0.00 204,995.12 0.00
Purchase 02/24/2023 43815JAC7 420,000.00 Honda Auto Receivables Owner 2023-1 A3
5.04% Due: 04/21/2027
99.981 5.10% 419,921.96 0.00 419,921.96 0.00
Purchase 02/24/2023 91282CGH8 3,000,000.00 US Treasury Note
3.5% Due: 01/31/2028
97.137 4.15% 2,914,101.56 6,961.33 2,921,062.89 0.00
Purchase 02/27/2023 438516CJ3 1,000,000.00 Honeywell Intl Callable Note Cont 01/15/2028
4.95% Due: 02/15/2028
101.307 4.65% 1,013,070.00 1,650.00 1,014,720.00 0.00
Purchase 03/02/2023 47800CAC0 800,000.00 John Deere Owner Trust 2023-A A3
5.01% Due: 11/15/2027
99.982 5.07% 799,854.24 0.00 799,854.24 0.00
Purchase 03/22/2023 3130ATS57 2,000,000.00 FHLB Note
4.5% Due: 03/10/2028
102.257 3.99% 2,045,140.00 3,000.00 2,048,140.00 0.00
Subtotal 13,940,000.00 13,883,670.77 15,414.38 13,899,085.15 0.00 TOTAL ACQUISITIONS 13,940,000.00 13,883,670.77 15,414.38 13,899,085.15 0.00 December 31, 2022 through March 31, 2023
As of March 31, 2023
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 01/11/2023 06051GEU9 1,325,000.00 Bank of America Corp Note
3.3% Due: 01/11/2023
100.000 1,325,000.00 0.00 1,325,000.00 0.00
Maturity 01/15/2023 912828Z29 1,400,000.00 US Treasury Note
1.5% Due: 01/15/2023
100.000 1,400,000.00 0.00 1,400,000.00 0.00
Maturity 01/29/2023 06406RAE7 1,000,000.00 Bank of NY Mellon Corp Callable Note Cont 12/29/2022
2.95% Due: 01/29/2023
100.000 1,000,000.00 0.00 1,000,000.00 0.00
Maturity 02/15/2023 313384BX6 2,000,000.00 FHLB Discount Note
4.23% Due: 02/15/2023
100.000 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 02/15/2023 912828Z86 1,850,000.00 US Treasury Note
1.375% Due: 02/15/2023
100.000 1,850,000.00 0.00 1,850,000.00 0.00
Maturity 02/28/2023 912828P79 1,950,000.00 US Treasury Note
1.5% Due: 02/28/2023
100.000 1,950,000.00 0.00 1,950,000.00 0.00
Maturity 03/15/2023 084670BR8 600,000.00 Berkshire Hathaway Callable Note Cont 1/15/2023
2.75% Due: 03/15/2023
100.000 600,000.00 0.00 600,000.00 0.00
Maturity 03/15/2023 912828ZD5 2,000,000.00 US Treasury Note
0.5% Due: 03/15/2023
100.000 2,000,000.00 0.00 2,000,000.00 0.00
Subtotal 12,125,000.00 12,125,000.00 0.00 12,125,000.00 0.00 TOTAL DISPOSITIONS 12,125,000.00 12,125,000.00 0.00 12,125,000.00 0.00 December 31, 2022 through March 31, 2023
As of March 31, 2023
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
ACQUISITIONS
Security
Contribution
03/31/2023 90LAIF$00 290,303.58 Local Agency Investment Fund State Pool 1.000 290,303.58 0.00 290,303.58 0.00 Subtotal 290,303.58 290,303.58 0.00 290,303.58 0.00
TOTAL ACQUISITIONS 290,303.58 290,303.58 0.00 290,303.58 0.00 December 31, 2022 through March 31, 2023
As of March 31, 2023
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.
Your qualified custodian bank maintains control of all assets reflected in this statement and we urge you to compare this statement to the one you receive from your qualified custodian. Chandler does not have any authority to withdraw or deposit funds from/to the custodian account.
As of March 31, 2023
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 March 31, 2023
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