CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending June 30, 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 June 30, 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. Inflationary trends are subsiding, but core levels remain well above the Fed’s target. Given the cumulative effects of restrictive monetary policy and tighter financial conditions, we believe the economy will gradually soften and the Fed will remain data dependent as they tread cautiously going forward.
As anticipated at the July meeting, the Federal Open Market Committee voted unanimously to raise the Federal Funds rate by 0.25% to a target range of 5.25 - 5.50%, the highest level in over 20 years. Fed Chair Powell maintained that the FOMC will remain data dependent going forward, and that they do not anticipate a recession, leaving the option open for the possibility of additional rate hikes in the future if needed.
The yield curve remained inverted in August. The 2-year Treasury yield decreased 1 basis point to 4.87%, the 5-year Treasury yield rose 8 basis points to 4.26%, and the 10-year Treasury yield increased 15 basis points to 4.11%. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -76 basis points at August month-end versus -92 basis points at July month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -30 basis points. The inversion between 3-month and 10-year Treasuries narrowed to -134 basis points in August from -145 basis points in July. The shape of the yield curve indicates that the probability of recession persists.
3 Employment
-400
-200
0 200
400
600
800
1,000 MOM Change In Thousands (000's)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Rate (%)
The U.S. economy added 187,000 jobs in August, exceeding consensus expectations, and the last two months were revised downward by 110,000 jobs. The pace of job growth is softening with the three-month moving average payrolls at 150,000 and the six-month moving average at 194,000. The unemployment rate rose to 3.8% in August from 3.5% in July, and the labor force participation rate increased to
62.8%, the highest level since February of 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 7.1% from the prior month at 6.7%. Average hourly earnings declined to 4.3% year-over-year in August from 4.4% in July. While the U.S. labor market is moderating, employment remains strong by historical standards.
Source: US Department of Labor Source: US Department of Labor 4 Job Openings & Labor Turnover Survey
0 2,000
4,000
6,000
8,000
10,000
12,000
14,000
Job Openings
Recession
Historical Average
In Thousands (000's)
The number of job openings declined to 8.827 in July from 9.165 million in June. This marked the sixth decline in the last seven months and the lowest number in over two years. New hires, separations, and quits all fell. The current level of job openings remains elevated from a historical perspective.
Source: US Department of Labor
5 Inflation
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
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
Fed Target
YOY (%) Change
The Consumer Price Index (CPI) increased in July by 0.2% month-over-month and 3.2% year-over-year, versus 3.0% in June. The Core CPI, which excludes volatile food and energy components, was up 0.2% month-over-month and 4.7% year-over-year, decelerating slightly from
4.8% in June. The Personal Consumption Expenditures (PCE) index rose as expected by 3.3% year-over-year in July, up from a 3.0% yearover-year gain in June. Core PCE, the Federal Reserve’s preferred inflation gauge, increased 4.2% year-over-year in July, up from a 4.1% increase in June. Personal spending remained robust, but the personal savings rate decreased to 3.5% from 4.3% in July. Inflation remains above the Fed's 2% target.
Source: US Department of Labor Source: US Department of Commerce 6 Consumer
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Retail Sales YOY % Change
YOY (%) Change
Advance Retail Sales beat expectations and rose 0.7% in July after upward revisions to the prior two months. Increases were broad-based across categories. Nonstore retail sales were particularly notable with a 1.9% increase, which reflects a robust performance of Amazon's Prime Day sales event. On a year-over-year basis, retail sales growth accelerated to a 3.2% gain in July versus an upwardly revised 1.6% increase in June. The Conference Board’s Consumer Confidence Index dropped more than expected to 106.1 in August from a downwardly revised 114.0 in July. Both current conditions and future expectations weakened as respondents expressed negative views on the labor market and concerns regarding inflation expectations.
80 90
100
110
120
130
140
Index Level
Consumer Confidence
Source: US Department of Commerce Source: The Conference Board 7 Leading Indicators of Economic Activity
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Leading Economic Indicators (LEI)
Recession
YOY (%) Change
-1.00
-0.75
-0.50
-0.25
0.00 0.25
0.50 0.75
1.00 Chicago Fed National Activity Index (CFNAI)
Recession
3 Month Average
The Conference Board’s Leading Economic Index (LEI) remained in negative territory for the sixteenth consecutive month at -0.4% in July due to weak manufacturing orders, high interest rates, and a dip in consumer expectations. The index declined 7.5% year-over-year. The consistent decline month-over-month continues to signal future contraction in the economy. The Chicago Fed National Activity Index (CFNAI) increased to 0.12 in July from from a revised -0.33 in June. On a 3-month moving average basis, the CFNAI remained negative at -
0.13 in July, indicating a rate of growth below the historical average trend.
Source: The Conference Board Source: Federal Reserve Bank of Chicago 8 Housing
0 200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
2,200
2,400
In Thousands of Units
Annualized Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
Starts of new homes increased 3.9% to 1.452 million units at a seasonally adjusted annual rate in July after a downward revision to 1.398 million units in June. The gain was entirely attributable to a rise of 6.7% in single-family home starts. Starts of multi-unit homes had been the main driver of homebuilding in the second half of 2022 and early 2023 but have begun to wane. Total starts of new homes are up
5.9% year-over-year. Homebuilders continue to see demand while the supply of existing homes for sale remains limited. According to Freddie Mac, a 30-year fixed rate mortgage averaged 7.18% as of August 31st. According to the Case-Shiller 20-City Home Price Index, housing prices dropped 1.2% year-over-year in June, improving from a 1.7% decline in May. Tight inventories and higher mortgage rates continue to impact affordability.
Source: US Department of Commerce Source: S&P
-20.0%
-16.0%
-12.0%
-8.0%
-4.0%
0.0%
4.0%
8.0%
12.0%
16.0%
20.0%
24.0%
S&P/Case-Shiller 20 City Composite Home Price Index
Recession
YOY (%) Change
9 Survey Based Measures
40 45
50 55
60 65
70 Institute of Supply Management (ISM) Surveys
ISM Manufacturing ISM Services
EXPANDING
CONTRACTING
The Institute for Supply Management (ISM) manufacturing index remained in contraction territory at 47.6 in August, up from 46.4 in July.
This is the tenth consecutive month of readings below 50.0, which is indicative of contraction in the manufacturing sector. The Institute for Supply Management (ISM) services index expanded for the seventh consecutive month to 52.7 in July from 53.9 in June, as business activity, new orders, and the employment index continued their expansion. The July data reflects continued strength in the services sector, although the trend is decelerating.
Source: Institute for Supply Management
10 Gross Domestic Product (GDP)
Components of GDP 9/22 12/22 3/23 6/23
1.5% 0.7% 2.8% 1.1%
-1.8% 0.8% -2.2% 0.6%
2.9% 0.4% 0.6% -0.2%
0.2% 0.4% 0.4% 0.1%
0.4% 0.3% 0.5% 0.5%
3.3% 2.6% 2.0% 2.1%
Personal Consumption Expenditures
Gross Private Domestic Investment
Net Exports and Imports
Federal Government Expenditures
Total
State and Local (Consumption and
Gross Investment)
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Source: US Department of Commerce Source: US Department of Commerce According to the second estimate, second quarter GDP growth was revised down to 2.1% from 2.4% (annualized). The revision lower was primarily due to a moderation of business investment which more than offset an increase in consumer spending. Historically low unemployment, wage growth and savings built up during the pandemic has supported consumer spending at a level to keep economic growth intact, but there are signs the consumer is beginning to show signs of stress. The consensus estimate calls for 2.0% growth for the third quarter and 2.0% for the full year 2023.
11 Federal Reserve
Source: Federal Reserve Source: Bloomberg
0 1,000,000
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
Recession
In $ millions
As anticipated at the July meeting, the Federal Open Market Committee voted unanimously to raise the Federal Funds rate by 0.25% to a target range of 5.25 - 5.50%, the highest level in over 20 years. Fed Chair Powell maintained that the FOMC will remain data dependent going forward, and that they do not anticipate a recession, leaving the option open for the possibility of additional rate hikes in the future if needed. The Fed continued to focus on achieving price stability and bringing inflation down toward their 2% policy objective. We believe the resiliency of future economic data will determine if the Federal Reserve can stay on hold for a period of time or will tighten policy further to curb inflation.
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Effective Federal Funds Rate
Recession
Yield (%)
12 Bond Yields
Source: Bloomberg Source: Bloomberg
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
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
Aug-23
May-23
Aug-22
Yield (%)
At the end of August, the 2-year Treasury yield was 137 basis points higher, and the 10-Year Treasury yield was about 91 basis points higher, year-over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -76 basis points at August month-end versus -92 basis points at July month-end. The average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10-year Treasuries narrowed to -134 basis points in August from -145 basis points in July. The shape of the yield curve indicates that the probability of recession persists. 13 Section 2| SECTION | Section 2 | Account Profile
14 Objectives
Chandler Asset Management Performance Objective
The performance objective for the City of San Leandro is to achieve a rate of return over a market cycle that equals or exceeds the return on a market index of similar duration and sector allocation.
Investment Objectives
The investment objectives of the City of San Leandro are first, to preserve principal; second, to provide liquidity; and third, to earn a return that is commensurate with the first two objectives.
Strategy
In order to achieve these objectives, the portfolio invests in high quality fixed income securities consistent with the investment policy and California Government Code.
As of June 30, 2023
15 Compliance As of June 30, 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. 16 Portfolio Characteristics
City of San Leandro
06/30/23 03/31/23
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 1.83 1.96 1.99
Average Modified Duration 1.75 1.67 1.74
Average Purchase Yield n/a 2.67% 2.40%
Average Market Yield 5.02% 5.07% 4.43%
Average Quality** AAA AA/Aa1 AA/Aa1
Total Market Value 158,283,802 153,376,098
*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 June 30, 2023
17 City of San Leandro
Sector Distribution
ABS
7.6%
Agency
18.8%
Commercial
Paper
1.9%
Corporate
22.3%
Money Market
Fund
4.3%
US Treasury
43.3%
Negotiable CD
1.9%
June 30, 2023 March 31, 2023
ABS
6.7%
Agency
22.7%
Commercial
Paper
2.0%
Corporate
22.7%
Money Market
Fund
2.9%
US Treasury
41.8%
Supranational
1.3%
As of June 30, 2023
18 Issue Name Investment Type % Portfolio
Government of United States US Treasury 43.32%
Federal Home Loan Bank Agency 7.16%
Federal National Mortgage Association Agency 5.45%
Federal Home Loan Mortgage Corp Agency 4.95%
Federated GOVT Obligation MMF Money Market Fund 4.29%
Westpac Banking Corp NY Negotiable CD 1.91%
MUFG Bank Ltd/NY Commercial Paper 1.86%
John Deere ABS ABS 1.80%
Deere & Company Corporate 1.45%
Apple Inc Corporate 1.38%
Bank of America Corp Corporate 1.27%
Honeywell Corp Corporate 1.24%
Federal Farm Credit Bank Agency 1.23%
Pepsico Inc Corporate 1.22%
Visa Inc Corporate 1.21%
Toyota Motor Corp Corporate 1.14%
Toronto Dominion Holdings Corporate 1.10%
American Express ABS ABS 1.07%
Royal Bank of Canada Corporate 1.05%
Amazon.com Inc Corporate 1.04%
Paccar Financial Corporate 1.02%
Caterpillar Inc Corporate 0.98%
United Health Group Inc Corporate 0.97%
US Bancorp Corporate 0.94%
Merck & Company Corporate 0.94%
Charles Schwab Corp/The Corporate 0.89%
GM Financial Securitized Term Auto Trust ABS 0.88%
JP Morgan Chase & Co Corporate 0.88%
GM Financial Automobile Leasing Trust ABS 0.87%
Honda ABS ABS 0.84%
National Rural Utilities Corporate 0.82%
Hyundai Auto Receivables ABS 0.63%
Wal-Mart Stores Corporate 0.63%
Chubb Corporation Corporate 0.62%
BMW ABS ABS 0.61%
Northern Trust Corp Corporate 0.61%
Morgan Stanley Corporate 0.43%
Bank of New York Corporate 0.40%
Issuers
City of San Leandro – Account #460
As of June 30, 2023
19 Issue Name Investment Type % Portfolio
Mercedes-Benz ABS 0.32%
BMW Vehicle Lease Trust ABS 0.31%
Toyota ABS ABS 0.25%
TOTAL 100.00%
Issuers
City of San Leandro – Account #460
As of June 30, 2023
20 AAA AA A <A NR
06/30/23 11.0% 66.3% 18.0% 0.0% 4.7%
03/31/23 8.0% 69.9% 17.3% 0.0% 4.8%
Source: S&P Ratings
June 30, 2023 vs. March 31, 2023
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
AAA AA A <A NR
06/30/23 03/31/23
Quality Distribution
City of San Leandro
As of June 30, 2023
21 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 11.3% 10.0% 13.8% 30.9% 18.4% 7.9% 7.8% 0.0%
Benchmark* 0.0% 0.0% 2.7% 59.5% 37.8% 0.0% 0.0% 0.0%
*ICE BofA 1-3 Yr US Treasury & Agency Index
Duration Distribution
City of San Leandro
As of June 30, 2023
22 -2.00%
-1.50%
-1.00%
-0.50%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
12 months 2 years 3 years 5 years 10 years Since Inception City of San Leandro ICE BofA 1-3 Yr US Treasury & Agency Index Total Rate of Return Annualized Since Inception April 30, 2004 Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since Inception
City of San Leandro -0.06% 0.93% -1.03% -0.61% 1.26% 1.04% 1.86% ICE BofA 1-3 Yr US Treasury & Agency Index -0.56% 0.14% -1.59% -1.04% 0.95% 0.77% 1.76% 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 June 30, 2023
23 Portfolio Characteristics
San Leandro Reporting
06/30/23
Portfolio
03/31/23
Portfolio
Average Maturity (yrs) 0.00 0.00
Modified Duration 0.00 0.00
Average Purchase Yield 1.51% 1.49%
Average Market Yield 1.52% 1.49%
Average Quality* NR/NR NR/NR
Total Market Value 85,091,836 75,636,268
*Portfolio is S&P and Moody’s, respectively.
As of June 30, 2023
24 San Leandro Reporting
Sector Distribution
Cash
53.7%
LAIF
46.3%
June 30, 2023 March 31, 2023
Cash
48.3%
LAIF
51.7%
As of June 30, 2023
25 SECTION | Section 3 | Consolidated Information
26 Portfolio Characteristics
City of San Leandro Consolidated
06/30/23 03/31/23
Portfolio Portfolio
Average Maturity (yrs) 1.27 1.33
Modified Duration 1.09 1.16
Average Purchase Yield 2.27% 2.10%
Average Market Yield 3.83% 3.46%
Average Quality* AA/Aa1 AA/Aa1
Total Market Value 243,375,639 229,012,366
* Portfolio is S&P and Moody’s respectively.
As of June 30, 2023
Fund Name Account Market Value
6/30/2023
Market Value
3/31/2023
LAIF - City Pool LGIP $39,097,465 $38,835,797
LAIF Successor Agency LGIP $28,773 $28,580
Wells Fargo General Fund Bank $45,672,706 $36,523,968
CAM Accrued Interest on LAIF $292,893 $247,922
Total LAIF and Bank Balances $85,091,836 $75,636,268
Investment Portfolio Market Value Separate Account $158,283,802 $153,376,098 Total $243,375,639 $229,012,366
27 City of San Leandro Consolidated
Sector Distribution
ABS
4.9%
Agency
12.2%
Cash
18.8%
Commercial
Paper
1.2%
Corporate
14.5%
LAIF
16.2%
Money Market
Fund
2.8%
US Treasury
28.2%
Negotiable CD
1.2%
June 30, 2023 March 31, 2023
ABS
4.5%
Agency
15.2%
Cash
16.0%
Commercial
Paper
1.3%
Corporate
15.2%
LAIF
17.1%
Money Market
Fund
1.9%
US Treasury
28.0%
Supranational
0.9%
As of June 30, 2023
28 SECTION | Section 4 | Portfolio Holdings
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
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
754,997.58
98.05 5.87%
740,302.42
438.32
0.47%
(14,695.16)
Aaa / NR
AAA
1.72 0.49
05601XAC3 BMW Vehicle Lease Trust 2022-1 A3
1.100% Due 03/25/2025
294,151.95 01/11/2022
1.11%
294,107.97
294,137.14
98.29 5.84%
289,121.95
53.93 0.18%
(5,015.19)
NR / AAA
AAA
1.74 0.36
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
639,967.92
98.22 5.90%
628,633.60
668.80
0.40%
(11,334.32)
NR / AAA
AAA
1.98 0.72
47788UAC6 John Deere Owner Trust 2021-A A3
0.360% Due 09/15/2025
158,230.50 03/02/2021
0.37%
158,200.09
158,219.58
97.07 6.12%
153,598.78
25.32 0.10%
(4,620.80)
Aaa / NR
AAA
2.21 0.50
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
204,995.98
99.33 5.75%
203,621.99
176.30
0.13%
(1,373.99)
Aaa / AAA
NR
2.41 1.26
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
364,960.98
95.98 5.92%
350,320.07
89.22 0.22%
(14,640.91)
Aaa / NR
AAA
2.56 0.80
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
259,971.66
96.07 5.87%
249,775.50
85.51 0.16%
(10,196.16)
NR / AAA
AAA
2.88 0.77
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
589,948.43
95.55 5.87%
563,748.54
492.98
0.36%
(26,199.89)
Aaa / AAA
NR
2.88 1.13
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
979,726.30
97.22 5.76%
972,215.00
535.00
0.61%
(7,511.30)
Aaa / AAA
NR
3.16 1.10
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
404,994.06
96.74 5.69%
391,796.19
527.40
0.25%
(13,197.87)
Aaa / AAA
NR
3.21 1.20
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
274,996.48
95.50 6.14%
262,638.47
77.92 0.17%
(12,358.01)
Aaa / AAA
NR
3.22 0.82
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
449,937.19
96.32 5.88%
433,454.85
464.00
0.27%
(16,482.34)
Aaa / NR
AAA
3.22 1.04
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
239,988.22
95.52 5.90%
229,250.16
126.00
0.14%
(10,738.06)
NR / AAA
AAA
3.38 0.97
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
349,952.79
96.77 5.72%
338,677.85
452.08
0.21%
(11,274.94)
Aaa / AAA
NR
3.64 1.25
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
564,960.34
97.15 5.73%
548,922.36
939.16
0.35%
(16,037.98)
Aaa / NR
AAA
3.64 1.46
448979AD6 Hyundai Auto Receivables Trust 2023-A A3
4.580% Due 04/15/2027
760,000.00 04/04/2023
4.63%
759,925.82
759,931.70
98.46 5.42%
748,330.20
1,547.02
0.47%
(11,601.50)
NR / AAA
AAA
3.79 1.93
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
419,930.56
99.35 5.43%
417,280.08
588.00
0.26%
(2,650.48)
Aaa / NR
AAA
3.81 1.92
As of June 30, 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
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
1,104,846.19
96.51 5.43%
1,066,390.20
1,664.87
0.67%
(38,455.99)
NR / AAA
AAA
3.88 1.75
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
914,942.56
99.21 5.61%
907,744.05
2,069.93
0.57%
(7,198.51)
Aaa / NR
AAA
3.96 1.69
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
514,945.86
98.33 5.55%
506,391.26
1,032.29
0.32%
(8,554.60)
NR / AAA
AAA
4.38 1.69
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
799,864.50
99.11 5.53%
792,869.69
1,781.33
0.50%
(6,994.81)
Aaa / NR
AAA
4.38 1.92
362583AD8 GM Auto Receivable Trust 2023-2 A3
4.470% Due 02/16/2028
570,000.00 04/04/2023
4.51%
569,984.33
569,985.36
98.23 5.39%
559,925.26
1,061.63
0.35%
(10,060.10)
Aaa / AAA
NR
4.64 2.03
02582JJZ4 American Express Credit Trust 2023-1 A
4.870% Due 05/15/2028
625,000.00 06/07/2023
4.92%
624,944.56
624,945.44
99.41 5.15%
621,310.63
1,437.33
0.39%
(3,634.81)
NR / AAA
AAA
4.88 2.60
TOTAL ABS 12,262,382.45 3.61%
12,235,800.60
12,241,146.82 5.66%
11,976,319.10
16,334.34
7.58%
(264,827.72)
Aaa / AAA
AAA
3.44 1.40
Agency
3135G05G4 FNMA Note
0.250% Due 07/10/2023
1,800,000.00 08/18/2020
0.27%
1,799,190.00
1,799,993.09
99.91 3.51%
1,798,371.00
2,137.50
1.14%
(1,622.09)
Aaa / AA+
AAA
0.03 0.03
3137EAEV7 FHLMC Note
0.250% Due 08/24/2023
2,000,000.00 08/27/2020
0.29%
1,997,860.00
1,999,893.79
99.30 4.95%
1,986,002.00
1,763.89
1.26%
(13,891.79)
Aaa / AA+
AAA
0.15 0.15
3130ATB71 FHLB Note
3.625% Due 09/06/2023
3,000,000.00 09/08/2022
3.64%
2,999,613.00
2,999,928.37
99.63 5.58%
2,988,993.00
34,739.58
1.91%
(10,935.37)
Aaa / NR
NR
0.19 0.18
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
2,000,000.00 12/21/2020
0.21%
2,002,180.00
2,000,315.77
97.84 5.41%
1,956,806.00
375.00
1.24%
(43,509.77)
Aaa / AA+
AAA
0.43 0.42
3130A0F70 FHLB Note
3.375% Due 12/08/2023
1,700,000.00 01/16/2019
2.73%
1,749,623.00
1,704,445.51
99.17 5.29%
1,685,959.70
3,665.63
1.07%
(18,485.81)
Aaa / AA+
AAA
0.44 0.43
3133EMNG3 FFCB Note
0.230% Due 01/19/2024
2,000,000.00 02/02/2021
0.20%
2,001,520.00
2,000,284.30
97.19 5.46%
1,943,764.00
2,070.00
1.23%
(56,520.30)
Aaa / AA+
AAA
0.56 0.54
3135G0V34 FNMA Note
2.500% Due 02/05/2024
2,000,000.00 03/25/2020
0.74%
2,133,740.00
2,020,757.66
98.23 5.55%
1,964,588.00
20,277.78
1.25%
(56,169.66)
Aaa / AA+
AAA
0.60 0.57
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
2,000,000.00 09/11/2019
1.66%
2,110,320.00
2,022,216.78
97.57 5.52%
1,951,392.00
2,715.28
1.23%
(70,824.78)
Aaa / AA+
NR
0.96 0.92
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
1,200,000.00 11/14/2019
1.70%
1,264,920.00
1,216,193.20
97.17 5.33%
1,165,992.00
10,350.00
0.74%
(50,201.20)
Aaa / AA+
AAA
1.21 1.15
3135G0W66 FNMA Note
1.625% Due 10/15/2024
2,000,000.00 10/17/2019
1.64%
1,998,140.00
1,999,517.89
95.41 5.35%
1,908,228.00
6,861.11
1.21%
(91,289.89)
Aaa / AA+
AAA
1.30 1.25
As of June 30, 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
3130A3GE8 FHLB Note
2.750% Due 12/13/2024
1,500,000.00 12/10/2019
1.75%
1,571,250.00
1,520,708.13
96.46 5.31%
1,446,876.00
2,062.50
0.92%
(73,832.13)
Aaa / AA+
NR
1.46 1.40
3135G0X24 FNMA Note
1.625% Due 01/07/2025
2,100,000.00 Various
1.50%
2,111,993.00
2,103,700.70
94.82 5.22%
1,991,146.50
16,493.75
1.27%
(112,554.20)
Aaa / AA+
AAA
1.53 1.46
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
2,000,000.00 03/24/2020
0.95%
2,051,940.00
2,017,226.04
94.40 5.16%
1,887,948.00
11,583.33
1.20%
(129,278.04)
Aaa / AA+
AAA
1.62 1.55
3135G05X7 FNMA Note
0.375% Due 08/25/2025
1,000,000.00 10/20/2020
0.47%
995,420.00
997,965.02
90.99 4.83%
909,949.00
1,312.50
0.58%
(88,016.02)
Aaa / AA+
AAA
2.16 2.09
3137EAEX3 FHLMC Note
0.375% Due 09/23/2025
2,200,000.00 09/28/2020
0.42%
2,195,512.00
2,197,990.26
90.74 4.80%
1,996,207.40
2,245.83
1.26%
(201,782.86)
Aaa / AA+
AAA
2.24 2.17
3130ATS57 FHLB Note
4.500% Due 03/10/2028
2,000,000.00 03/21/2023
3.99%
2,045,140.00
2,042,628.08
100.96
4.27%
2,019,270.00
27,750.00
1.29%
(23,358.08)
Aaa / AA+
AAA
4.70 4.14
TOTAL Agency 30,500,000.00 1.47%
31,028,361.00
30,643,764.59 5.12%
29,601,492.60
146,403.68
18.79%
(1,042,271.99)
Aaa / AA+
AAA
1.17 1.10
Commercial Paper
62479MXR9 MUFG Bank Ltd/NY Discount CP
5.270% Due 10/25/2023
3,000,000.00 04/26/2023
5.49%
2,920,510.83
2,948,567.27
98.29 5.49%
2,948,567.27
0.00 1.86%
0.00 P-1 / A-1
NR
0.32 0.31
TOTAL Commercial Paper 3,000,000.00 5.49%
2,920,510.83
2,948,567.27 5.49%
2,948,567.27
0.00 1.86%
0.00 P-1 / A-1
NR
0.32 0.31
Corporate
90331HNV1 US Bank NA Callable Note Cont 6/23/2023
3.400% Due 07/24/2023
500,000.00 04/15/2019
3.40%
511,010.00
500,000.00
99.86 5.36%
499,323.50
7,413.89
0.32%
(676.50)
A2 / A+
A+
0.07 0.07
24422EUR8 John Deere Capital Corp Note
3.450% Due 01/10/2024
300,000.00 01/29/2019
3.24%
302,907.00
300,310.83
98.80 5.79%
296,394.90
4,916.25
0.19%
(3,915.93)
A2 / A
A+
0.53 0.50
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
1,000,038.17
97.30 5.54%
972,952.00
2,050.00
0.62%
(27,086.17)
A2 / A
A+
0.55 0.53
89114QCB2 Toronto Dominion Bank Note
3.250% Due 03/11/2024
1,300,000.00 Various
3.00%
1,314,864.00
1,302,114.09
98.31 5.74%
1,278,070.30
12,909.72
0.82%
(24,043.79)
A1 / A
AA0.700.67
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
1,000,734.01
96.47 5.84%
964,749.00
2,145.83
0.61%
(35,985.01)
A2 / AA0.72
0.69 46625HJX9 JP Morgan Chase Note
3.625% Due 05/13/2024
500,000.00 06/14/2022
3.61%
500,080.00
500,036.38
98.23 5.73%
491,161.00
2,416.67
0.31%
(8,875.38)
A1 / AAA0.87
0.84 As of June 30, 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
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
1,024,342.77
98.01 5.70%
980,134.00
4,280.56
0.62%
(44,208.77)
A3 / A
A
0.88 0.84
89236TJH9 Toyota Motor Credit Corp Note
0.500% Due 06/18/2024
500,000.00 06/14/2022
3.63%
470,025.00
485,564.56
95.28 5.58%
476,396.00
90.28 0.30%
(9,168.56)
A1 / A+
A+
0.97 0.94
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
986,340.65
96.46 5.82%
964,551.00
10,066.67
0.62%
(21,789.65)
A3 / A
A
1.08 1.03
63743HEY4 National Rural Utilities Note
1.000% Due 10/18/2024
1,000,000.00 06/14/2022
3.89%
935,890.00
964,383.33
94.08 5.80%
940,754.00
2,027.78
0.60%
(23,629.33)
A2 / AA1.30
1.26 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
1,394,190.23
94.32 5.35%
1,320,510.80
9,473.33
0.84%
(73,679.43)
A1 / A+
A+
1.54 1.47
69371RQ66 Paccar Financial Corp Note
1.800% Due 02/06/2025
1,700,000.00 04/20/2022
3.09%
1,641,588.00
1,666,474.60
94.34 5.55%
1,603,696.70
12,325.00
1.02%
(62,777.90)
A1 / A+
NR
1.61 1.53
023135CE4 Amazon.com Inc Note
3.000% Due 04/13/2025
1,700,000.00 04/20/2022
2.94%
1,702,822.00
1,701,692.68
96.47 5.09%
1,639,986.60
11,050.00
1.04%
(61,706.08)
A1 / AA
AA1.791.70
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
659,943.97
96.16 5.60%
634,633.56
4,053.50
0.40%
(25,310.41)
A1 / A
AA1.821.72
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
1,939,361.65
95.79 5.19%
1,915,712.00
9,319.44
1.22%
(23,649.65)
A1 / A+
NR
1.84 1.75
037833DT4 Apple Inc Callable Note Cont 4/11/2025
1.125% Due 05/11/2025
1,300,000.00 Various
2.14%
1,264,519.00
1,276,362.66
93.17 5.01%
1,211,194.40
2,031.25
0.77%
(65,168.26)
Aaa / AA+
NR
1.87 1.80
14913R2V8 Caterpillar Financial Service Note
3.400% Due 05/13/2025
585,000.00 05/10/2022
3.44%
584,257.05
584,537.69
96.82 5.21%
566,375.94
2,652.00
0.36%
(18,161.75)
A2 / A
A+
1.87 1.77
78015K7H1 Royal Bank of Canada Note
1.150% Due 06/10/2025
1,800,000.00 Various
1.64%
1,775,582.00
1,783,196.79
92.31 5.37%
1,661,585.40
1,207.50
1.05%
(121,611.39)
A1 / A
AA1.951.88
63743HFE7 National Rural Utilities Note
3.450% Due 06/15/2025
375,000.00 04/27/2022
3.46%
374,898.75
374,936.39
96.20 5.52%
360,742.50
575.00
0.23%
(14,193.89)
A2 / AA1.96
1.86 14913R2Z9 Caterpillar Financial Service Note
3.650% Due 08/12/2025
1,000,000.00 08/18/2022
3.64%
1,000,270.00
1,000,192.18
97.06 5.13%
970,568.00
14,093.06
0.62%
(29,624.18)
A2 / A
A+
2.12 1.98
931142EW9 Wal-Mart Stores Note
3.900% Due 09/09/2025
1,000,000.00 09/08/2022
3.80%
1,002,740.00
1,002,008.00
98.00 4.87%
980,043.00
12,133.33
0.63%
(21,965.00)
Aa2 / AA
AA
2.20 2.05
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
1,944,958.69
95.85 4.96%
1,917,060.00
2,975.00
1.21%
(27,898.69)
Aa3 / AANR2.46
2.32 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
1,001,027.43
99.63 4.96%
996,309.00
22,933.33
0.64%
(4,718.43)
A2 / A
A+
2.53 2.30
As of June 30, 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
037833BY5 Apple Inc Callable Note Cont 11/23/2025
3.250% Due 02/23/2026
1,000,000.00 05/09/2023
4.05%
979,180.00
980,222.02
96.30 4.75%
963,030.00
11,555.56
0.62%
(17,192.02)
Aaa / AA+
NR
2.65 2.47
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
962,909.78
93.92 5.80%
892,249.50
5,714.25
0.57%
(70,660.28)
A1 / AAA2.70
1.62 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
499,720.99
88.49 5.54%
442,474.00
766.67
0.28%
(57,246.99)
A2 / AA2.87
2.75 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
1,649,628.89
90.43 4.75%
1,537,318.50
2,498.05
0.97%
(112,310.39)
A3 / A+
A
2.88 2.76
89114TZD7 Toronto-Dominion Bank Note
1.200% Due 06/03/2026
500,000.00 04/21/2022
3.62%
454,290.00
467,454.48
88.93 5.34%
444,636.50
466.67
0.28%
(22,817.98)
A1 / A
AA2.932.80
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
98.13 5.66%
672,182.28
14,601.08
0.43%
(12,817.72)
A1 / AA+3.05
1.88 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
944,933.64
93.36 4.67%
933,649.00
4,166.67
0.59%
(11,284.64)
A2 / A
A
3.34 3.13
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
2,004,523.79
98.47 5.73%
1,969,316.00
45,437.78
1.27%
(35,207.79)
A1 / AAA3.56
2.31 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
996,827.47
96.34 5.05%
963,373.00
5,666.67
0.61%
(33,454.47)
A2 / A+
A+
3.86 3.50
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
1,012,161.04
101.34
4.62%
1,013,406.00
18,700.00
0.65%
1,244.96
A2 / A
A
4.63 3.96
58933YBH7 Merck & Co Callable Note Cont 4/17/2028
4.050% Due 05/17/2028
1,500,000.00 Various
4.07%
1,498,356.40
1,498,396.88
98.26 4.45%
1,473,928.51
7,425.00
0.94%
(24,468.37)
A1 / A+
NR
4.88 4.36
TOTAL Corporate 36,455,000.00 3.20%
36,023,056.80
36,094,526.73 5.27%
34,948,466.89
270,137.79
22.25%
(1,146,059.84)
A1 / A+
A+
2.21 1.96
As of June 30, 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
Money Market Fund
60934N104 Federated Investors Government Obligations Fund
6,794,306.41 Various
4.90%
6,794,306.41
6,794,306.41
1.00 4.90%
6,794,306.41
0.00 4.29%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 6,794,306.41 4.90%
6,794,306.41
6,794,306.41 4.90%
6,794,306.41
0.00 4.29%
0.00 Aaa / AAA
AAA
0.00 0.00
Negotiable CD
96130ATR9 Westpac Banking Corp NY Yankee CD
5.300% Due 12/08/2023
3,000,000.00 05/17/2023
5.30%
2,999,896.98
2,999,919.20
99.88 5.53%
2,996,445.00
22,966.67
1.91%
(3,474.20)
P-1 / A-1+
F-1
0.44 0.43
TOTAL Negotiable CD 3,000,000.00 5.30%
2,999,896.98
2,999,919.20 5.53%
2,996,445.00
22,966.67
1.91%
(3,474.20)
Aaa / AAA
AA
0.44 0.43
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
1,749,666.49
99.39 4.92%
1,739,407.25
821.82
1.10%
(10,259.24)
Aaa / AA+
AAA
0.13 0.13
9128285D8 US Treasury Note
2.875% Due 09/30/2023
1,000,000.00 06/24/2019
1.77%
1,045,156.25
1,002,637.50
99.41 5.23%
994,062.00
7,226.78
0.63%
(8,575.50)
Aaa / AA+
AAA
0.25 0.25
912828T26 US Treasury Note
1.375% Due 09/30/2023
1,000,000.00 05/25/2021
0.19%
1,027,617.19
1,002,932.51
99.05 5.18%
990,510.00
3,456.28
0.63%
(12,422.51)
Aaa / AA+
AAA
0.25 0.25
9128285K2 US Treasury Note
2.875% Due 10/31/2023
1,200,000.00 09/29/2020
0.16%
1,300,359.38
1,210,873.75
99.21 5.26%
1,190,484.00
5,812.50
0.76%
(20,389.75)
Aaa / AA+
AAA
0.34 0.33
912828WE6 US Treasury Note
2.750% Due 11/15/2023
1,000,000.00 06/19/2019
1.86%
1,037,343.75
1,003,179.67
99.07 5.25%
990,742.00
3,512.23
0.63%
(12,437.67)
Aaa / AA+
AAA
0.38 0.37
91282CAW1 US Treasury Note
0.250% Due 11/15/2023
3,000,000.00 Various
1.32%
2,952,539.06
2,988,213.58
98.16 5.25%
2,944,806.00
957.88
1.86%
(43,407.58)
Aaa / AA+
AAA
0.38 0.37
91282CBE0 US Treasury Note
0.125% Due 01/15/2024
3,000,000.00 Various
1.65%
2,921,687.50
2,975,763.27
97.27 5.31%
2,917,968.00
1,729.97
1.84%
(57,795.27)
Aaa / AA+
AAA
0.55 0.53
91282CEG2 US Treasury Note
2.250% Due 03/31/2024
2,000,000.00 09/08/2022
3.53%
1,961,406.25
1,981,415.31
97.66 5.47%
1,953,204.00
11,311.48
1.24%
(28,211.31)
Aaa / AA+
AAA
0.75 0.73
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
1,800,000.00 06/24/2021
0.42%
1,797,890.63
1,799,405.26
96.14 5.42%
1,730,460.60
1,420.08
1.09%
(68,944.66)
Aaa / AA+
AAA
0.79 0.77
912828XT2 US Treasury Note
2.000% Due 05/31/2024
2,000,000.00 03/03/2021
0.34%
2,106,640.63
2,030,172.81
96.94 5.46%
1,938,750.00
3,387.98
1.23%
(91,422.81)
Aaa / AA+
AAA
0.92 0.89
91282CCL3 US Treasury Note
0.375% Due 07/15/2024
3,000,000.00 Various
1.77%
2,908,496.10
2,957,609.22
94.97 5.40%
2,849,181.00
5,189.92
1.80%
(108,428.22)
Aaa / AA+
AAA
1.04 1.01
As of June 30, 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
91282CCT6 US Treasury Note
0.375% Due 08/15/2024
1,000,000.00 08/11/2021
0.45%
997,890.63
999,208.26
94.61 5.37%
946,094.00
1,408.84
0.60%
(53,114.26)
Aaa / AA+
AAA
1.13 1.09
91282CDH1 US Treasury Note
0.750% Due 11/15/2024
2,500,000.00 12/13/2021
0.93%
2,487,304.69
2,494,015.24
94.05 5.29%
2,351,367.50
2,394.70
1.49%
(142,647.74)
Aaa / AA+
AAA
1.38 1.33
912828YV6 US Treasury Note
1.500% Due 11/30/2024
2,000,000.00 09/16/2021
0.49%
2,064,218.75
2,028,431.89
94.95 5.24%
1,898,906.00
2,540.98
1.20%
(129,525.89)
Aaa / AA+
AAA
1.42 1.37
912828Z52 US Treasury Note
1.375% Due 01/31/2025
3,000,000.00 04/21/2022
2.84%
2,883,281.25
2,933,303.57
94.31 5.16%
2,829,258.00
17,206.49
1.80%
(104,045.57)
Aaa / AA+
AAA
1.59 1.52
912828ZF0 US Treasury Note
0.500% Due 03/31/2025
2,500,000.00 12/13/2021
1.01%
2,458,789.06
2,478,109.90
92.50 5.03%
2,312,500.00
3,142.08
1.46%
(165,609.90)
Aaa / AA+
AAA
1.75 1.70
912828ZT0 US Treasury Note
0.250% Due 05/31/2025
1,100,000.00 04/01/2021
0.69%
1,080,105.47
1,090,819.93
91.51 4.94%
1,006,628.70
232.92
0.64%
(84,191.23)
Aaa / AA+
AAA
1.92 1.87
912828Y79 US Treasury Note
2.875% Due 07/31/2025
3,000,000.00 06/14/2022
3.45%
2,949,257.81
2,966,186.68
96.14 4.84%
2,884,101.00
35,977.21
1.84%
(82,085.68)
Aaa / AA+
AAA
2.09 1.97
9128284Z0 US Treasury Note
2.750% Due 08/31/2025
2,000,000.00 06/21/2021
0.73%
2,166,562.50
2,086,164.27
95.79 4.82%
1,915,782.00
18,383.15
1.22%
(170,382.27)
Aaa / AA+
AAA
2.17 2.05
9128285J5 US Treasury Note
3.000% Due 10/31/2025
3,000,000.00 06/14/2022
3.48%
2,954,296.88
2,968,407.81
96.18 4.75%
2,885,391.00
15,163.04
1.83%
(83,016.81)
Aaa / AA+
AAA
2.34 2.21
91282CAZ4 US Treasury Note
0.375% Due 11/30/2025
2,000,000.00 09/16/2021
0.72%
1,971,640.63
1,983,686.43
90.27 4.68%
1,805,312.00
635.25
1.14%
(178,374.43)
Aaa / AA+
AAA
2.42 2.35
91282CBT7 US Treasury Note
0.750% Due 03/31/2026
1,700,000.00 10/14/2021
0.98%
1,682,667.97
1,689,311.21
90.38 4.51%
1,536,507.60
3,204.92
0.97%
(152,803.61)
Aaa / AA+
AAA
2.75 2.66
9128286L9 US Treasury Note
2.250% Due 03/31/2026
2,000,000.00 12/21/2022
3.92%
1,898,125.00
1,914,407.95
94.10 4.56%
1,881,954.00
11,311.48
1.20%
(32,453.95)
Aaa / AA+
AAA
2.75 2.61
912828R36 US Treasury Note
1.625% Due 05/15/2026
3,000,000.00 12/21/2022
3.94%
2,780,742.19
2,814,514.97
92.27 4.52%
2,768,085.00
6,226.22
1.75%
(46,429.97)
Aaa / AA+
AAA
2.88 2.75
9128282A7 US Treasury Note
1.500% Due 08/15/2026
3,000,000.00 12/21/2022
3.91%
2,756,367.19
2,791,302.53
91.40 4.48%
2,742,069.00
16,906.08
1.74%
(49,233.53)
Aaa / AA+
AAA
3.13 2.98
912828U24 US Treasury Note
2.000% Due 11/15/2026
2,000,000.00 03/30/2022
2.54%
1,953,203.13
1,965,857.67
92.50 4.42%
1,849,922.00
5,108.70
1.17%
(115,935.67)
Aaa / AA+
AAA
3.38 3.20
91282CEF4 US Treasury Note
2.500% Due 03/31/2027
3,000,000.00 08/18/2022
3.06%
2,928,164.06
2,941,635.96
93.71 4.33%
2,811,444.00
18,852.46
1.79%
(130,191.96)
Aaa / AA+
AAA
3.75 3.50
912828X88 US Treasury Note
2.375% Due 05/15/2027
3,000,000.00 12/15/2022
3.71%
2,838,164.06
2,857,954.05
93.12 4.32%
2,793,516.00
9,099.86
1.77%
(64,438.05)
Aaa / AA+
AAA
3.88 3.63
91282CFM8 US Treasury Note
4.125% Due 09/30/2027
2,000,000.00 12/15/2022
3.65%
2,041,562.50
2,036,881.07
99.44 4.27%
1,988,828.00
20,737.70
1.27%
(48,053.07)
Aaa / AA+
AAA
4.25 3.82
As of June 30, 2023
36 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
3,000,000.00 Various
3.90%
2,998,007.82
2,996,839.94
98.58 4.23%
2,957,460.00
9,846.31
1.87%
(39,379.94)
Aaa / AA+
AAA
4.42 4.00
91282CGH8 US Treasury Note
3.500% Due 01/31/2028
3,000,000.00 02/23/2023
4.15%
2,914,101.56
2,920,155.45
97.11 4.20%
2,913,165.00
43,798.34
1.87%
(6,990.45)
Aaa / AA+
AAA
4.59 4.12
91282CGT2 US Treasury Note
3.625% Due 03/31/2028
3,000,000.00 Various
3.67%
2,993,593.75
2,993,449.55
97.67 4.17%
2,930,157.00
27,336.06
1.87%
(63,292.55)
Aaa / AA+
AAA
4.76 4.27
TOTAL US Treasury 71,550,000.00 2.32%
70,601,373.09
70,652,513.70 4.83%
68,248,022.65
314,339.71
43.32%
(2,404,491.05)
Aaa / AA+
AAA
2.25 2.10
TOTAL PORTFOLIO 163,561,688.86 2.67%
162,603,305.71
162,374,744.72 5.07%
157,513,619.92
770,182.19
100.00%
(4,861,124.80)
Aa1 / AA
AAA
1.96 1.67
TOTAL MARKET VALUE PLUS ACCRUALS 158,283,802.11
As of June 30, 2023
37 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
45,672,705.76 Various
0.01%
45,672,705.76
45,672,705.76
1.00 0.01%
45,672,705.76
0.00 53.67%
0.00 NR / NR
NR
0.00 0.00
TOTAL Cash 45,672,705.76 0.01%
45,672,705.76
45,672,705.76 0.01%
45,672,705.76
0.00 53.67%
0.00 NR / NR
NR
0.00 0.00
LAIF
90LAIF$00 Local Agency Investment Fund State Pool
39,126,237.82 Various
3.26%
39,126,237.82
39,126,237.82
1.00 3.26%
39,126,237.82
292,892.83
46.33%
0.00 NR / NR
NR
0.00 0.00
TOTAL LAIF 39,126,237.82 3.26%
39,126,237.82
39,126,237.82 3.26%
39,126,237.82
292,892.83
46.33%
0.00 NR / NR
NR
0.00 0.00
TOTAL PORTFOLIO 84,798,943.58 1.51%
84,798,943.58
84,798,943.58 1.52%
84,798,943.58
292,892.83
100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL MARKET VALUE PLUS ACCRUALS 85,091,836.41
As of June 30, 2023
38 SECTION | Section 5 | Transactions
39 Transaction Ledger
City of San Leandro - Account #460
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 04/12/2023 362583AD8 570,000.00 GM Auto Receivable Trust 2023-2 A3
4.47% Due: 02/16/2028
99.997 4.51% 569,984.33 0.00 569,984.33 0.00
Purchase 04/12/2023 448979AD6 760,000.00 Hyundai Auto Receivables Trust 2023-A A3
4.58% Due: 04/15/2027
99.990 4.63% 759,925.82 0.00 759,925.82 0.00
Purchase 04/27/2023 62479MXR9 3,000,000.00 MUFG Bank Ltd/NY Discount CP
5.27% Due: 10/25/2023
97.350 5.49% 2,920,510.83 0.00 2,920,510.83 0.00
Purchase 05/10/2023 91282CGT2 2,000,000.00 US Treasury Note
3.625% Due: 03/31/2028
100.508 3.51% 2,010,156.25 7,923.50 2,018,079.75 0.00
Purchase 05/11/2023 037833BY5 1,000,000.00 Apple Inc Callable Note Cont 11/23/2025
3.25% Due: 02/23/2026
97.918 4.05% 979,180.00 7,041.67 986,221.67 0.00
Purchase 05/17/2023 58933YBH7 445,000.00 Merck & Co Callable Note Cont 4/17/2028
4.05% Due: 05/17/2028
99.919 4.07% 444,639.55 0.00 444,639.55 0.00
Purchase 05/17/2023 58933YBH7 445,000.00 Merck & Co Callable Note Cont 4/17/2028
4.05% Due: 05/17/2028
99.883 4.08% 444,479.35 0.00 444,479.35 0.00
Purchase 05/17/2023 58933YBH7 610,000.00 Merck & Co Callable Note Cont 4/17/2028
4.05% Due: 05/17/2028
99.875 4.08% 609,237.50 0.00 609,237.50 0.00
Purchase 05/18/2023 96130ATR9 3,000,000.00 Westpac Banking Corp NY Yankee CD
5.3% Due: 12/08/2023
99.997 5.30% 2,999,896.98 3,533.33 3,003,430.31 0.00
Purchase 06/14/2023 02582JJZ4 625,000.00 American Express Credit Trust 2023-1 A
4.87% Due: 05/15/2028
99.991 4.92% 624,944.56 0.00 624,944.56 0.00
Purchase 06/15/2023 91282CFZ9 2,000,000.00 US Treasury Note
3.875% Due: 11/30/2027
99.301 4.05% 1,986,015.63 3,176.23 1,989,191.86 0.00
Purchase 06/15/2023 91282CGT2 1,000,000.00 US Treasury Note
3.625% Due: 03/31/2028
98.344 4.01% 983,437.50 7,527.32 990,964.82 0.00
Subtotal 15,455,000.00 15,332,408.30 29,202.05 15,361,610.35 0.00 TOTAL ACQUISITIONS 15,455,000.00 15,332,408.30 29,202.05 15,361,610.35 0.00 March 31, 2023 through June 30, 2023
As of June 30, 2023
40 Transaction Ledger
City of San Leandro - Account #460
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss
DISPOSITIONS
Maturity 04/20/2023 3137EAEQ8 2,000,000.00 FHLMC Note
0.375% Due: 04/20/2023
100.000 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 04/20/2023 62479MRL9 3,000,000.00 MUFG Bank Ltd/NY Discount CP
4.77% Due: 04/20/2023
98.344 3,000,000.00 0.00 3,000,000.00 0.00
Maturity 05/03/2023 037833AK6 900,000.00 Apple Inc Note
2.4% Due: 05/03/2023
100.000 900,000.00 0.00 900,000.00 0.00
Maturity 05/05/2023 3137EAER6 2,000,000.00 FHLMC Note
0.375% Due: 05/05/2023
100.000 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 05/24/2023 4581X0DM7 2,000,000.00 Inter-American Dev Bank Note
0.5% Due: 05/24/2023
100.000 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 06/09/2023 3133834G3 1,000,000.00 FHLB Note
2.125% Due: 06/09/2023
100.000 1,000,000.00 0.00 1,000,000.00 0.00
Maturity 06/26/2023 931142EK5 1,000,000.00 Wal-Mart Stores Callable Note Cont 5/26/2023
3.4% Due: 06/26/2023
100.000 1,000,000.00 0.00 1,000,000.00 0.00
Subtotal 11,900,000.00 11,900,000.00 0.00 11,900,000.00 0.00 TOTAL DISPOSITIONS 11,900,000.00 11,900,000.00 0.00 11,900,000.00 0.00 March 31, 2023 through June 30, 2023
As of June 30, 2023
41 Transaction Ledger
San Leandro Reporting - Account #461
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 04/30/2023 90LAIF$00 261,860.20 Local Agency Investment Fund State Pool 1.000 2.87% 261,860.20 0.00 261,860.20 0.00 Subtotal 261,860.20 261,860.20 0.00 261,860.20 0.00
TOTAL ACQUISITIONS 261,860.20 261,860.20 0.00 261,860.20 0.00 March 31, 2023 through June 30, 2023
As of June 30, 2023
42 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 June 30, 2023
43 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 June 30, 2023
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