CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending September 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 September 30, 2023
1 SECTION | Section 1 | Economic Update
2 Economic Update
Recent economic data has shown above trend growth fueled by a rise in consumer spending and a continuing healthy US job market.
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 expected at the November meeting, the Federal Open Market Committee voted unanimously to leave the Federal Funds rate unchanged at a target range of 5.25 - 5.50%. Market participants interpreted the FOMC statement as somewhat dovish, with the formal statement noting “tighter financial and credit conditions for households and businesses are likely to weigh on economic activity, hiring, and inflation.” Federal Reserve Chair Jerome Powell also noted the stance of policy is restrictive, the full effects of the tightening have yet to be felt, and the process of getting inflation to 2% has a long way to go. We believe monetary policy will remain restrictive for longer, but further tightening will not be required for the Federal Reserve to eventually achieve their policy objectives.
The yield curve inversion narrowed considerably in October. The 2-year Treasury yield increased 4 basis points to 5.09%, the 5-year Treasury yield rose 24 basis points to 4.86%, and the 10-year Treasury yield increased 36 basis points to 4.93%. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -16 basis points at October month-end versus -48 basis points at September month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -44 basis points. The inversion between 3- month and 10-year Treasuries narrowed to -54 basis points in October from -88 basis points in September. 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 150,000 jobs in October, versus consensus expectations of 180,000, and the last two months were revised downward by 101,000 jobs. The largest gains came from education and health services, while the United Auto Workers strike contributed to the softer results for the month. The trajectory of job creation is moderating, with the three-month moving average payrolls at 204,000 and the six-month moving average at 206,000. The unemployment rate ticked up 0.1% to 3.9%, and the labor participation rate fell slightly to 62.7%. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons rose to 7.2% from 7.0% last month. Average hourly earnings declined to 4.1% year-over-year in October from 4.3% in September. Employment remains strong by historical standards, but data are trending toward a less robust labor market outlook.
Source: US Department of Labor Source: US Department of Labor 4 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 September by 0.4% month-over-month and 3.7% year-over-year, slightly higher than expected. Gains in shelter and energy costs accounted for a large part of the monthly increase. The Core CPI, which excludes volatile food and energy components, was up 0.3% month-over-month and 4.1% year-over-year, decelerating from 4.3% last month. The Personal Consumption Expenditures (PCE) index rose 0.4% month-over-month and 3.4% year-over-year in September, unchanged from August. Core PCE, the Federal Reserve’s preferred inflation gauge, increased 0.3% month-over-month and decelerated to 3.7% year-over-year in September from a 3.8% increase in August. Personal income and spending remained relatively healthy, but the personal savings rate continued its declining trend to 3.4% in September from 4.0% in August. Inflation remains above the Fed's 2% target.
Source: US Department of Labor Source: US Department of Commerce 5 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
Retail Sales rose 0.7% in September after an upward revision to 0.8% in August, exceeding the consensus forecast. Control Group Sales, which are used to calculate gross domestic product and exclude food services, auto dealers, building materials stores and gasoline stations, rebounded 0.6% and reflected broad increases across sectors. On a year-over-year basis, Retail Sales growth accelerated 3.8% in September versus an upwardly revised 2.9% gain in August. The Conference Board’s Consumer Confidence Index dropped to 102.6 in October from an upwardly revised 104.3 in September, primarily due to inflation concerns and geopolitical developments. While the consumer has been resilient, dwindling excess savings, rising credit card balances, and the resumption of student loan payments pose potential headwinds to future economic growth.
0 20
40 60
80 100
120
140
160
Index Level
Consumer Confidence
Recession
Source: US Department of Commerce Source: The Conference Board All time high is 144.70 (1/31/00); All time low is 25.30 (2/28/09) 6 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) fell 0.7% in September, continuing the persistent decline for the last year and a half. The index declined 7.8% year-over-year. The consistent decline month-over-month continues to signal future contraction in the economy. The Chicago Fed National Activity Index (CFNAI) surprised to the upside at 0.02 in September from a downwardly revised -0.22 in August. On a 3-month moving average basis, the CFNAI improved to 0.00 in September, indicating a rate of growth about equal to the historical average trend.
Source: The Conference Board Source: Federal Reserve Bank of Chicago 7 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
Housing Starts recovered 7% in September to an annual rate of 1.358 million units. Starts were up 17.6% for multi-family units and 3.2% for single-family. Total starts of new homes are down 7.2% year-over-year. According to Freddie Mac, average 30-year fixed rate mortgage rates were 7.72% as of November 2nd. According to the Case-Shiller 20-City Home Price Index, housing prices rose 2.2% yearover-year in August, improving from a 0.2% gain in July. 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
8 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 dropped to 46.7 in October from 49.0 in September. This is the twelfth consecutive month of readings below 50.0, which is indicative of contraction in the manufacturing sector. New orders remained sluggish, production growth slowed, and layoffs increased. The ISM Services Index eased to 51.8 in October from 53.6 in September as inflation, interest rates, and geopolitical events impacted business activity in the sector.
Source: Institute for Supply Management
9 Gross Domestic Product (GDP)
Components of GDP 12/22 3/23 6/23 9/23
0.8% 2.5% 0.6% 2.7%
0.6% -1.7% 0.9% 1.5%
0.3% 0.6% 0.0% -0.1%
0.6% 0.3% 0.1% 0.4%
0.3% 0.5% 0.5% 0.4%
2.6% 2.3% 2.1% 4.9%
State and Local (Consumption and Gross
Investment)
Personal Consumption Expenditures
Gross Private Domestic Investment
Net Exports and Imports
Federal Government Expenditures
Total
-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 “advance” estimate, third quarter GDP exceeded expectations at an annualized rate of 4.9%, following 2.1% in the second quarter, marking the fastest growth in nearly two years. The largest contributor to the rise was the 4.0% increase in consumer spending across both goods and services. Almost all the major components made a positive contribution to GDP, except for a small decline in net exports. The consensus estimate calls for a marked slowing to 0.8% in the fourth quarter and 2.2% for full year 2023. 10 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 expected at the November meeting, the Federal Open Market Committee voted unanimously to leave the Federal Funds rate unchanged at a target range of 5.25 - 5.50%. Market participants interpreted the FOMC statement as somewhat dovish, with the formal statement noting “tighter financial and credit conditions for households and businesses are likely to weigh on economic activity, hiring, and inflation.” During the press conference concluding the meeting, Federal Reserve Chair Jerome Powell also noted the stance of policy is restrictive, the full effects of the tightening have yet to be felt, and the process of getting inflation to 2% has a long way to go. We believe monetary policy needs to remain restrictive for longer to continue to put downward pressure on inflation; however we do not believe further tightening will be required for the Federal Reserve to eventually achieve their 2% policy objective. Since the Federal Reserve began its Quantitative Tightening campaign in June 2022, securities holdings have declined by over $1.1 trillion to approximately $7.9T.
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Effective Federal Funds Rate
Recession
Yield (%)
11 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
Oct-23
Jul-23
Oct-22
Yield (%)
At the end of October, the 2-year Treasury yield was 60 basis points higher, and the 10-Year Treasury yield was about 88 basis points higher, year-over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield narrowed to -16 basis points at October month-end versus -48 basis points at September month-end. The average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10-year Treasuries narrowed to -54 basis points in October from -88 basis points in September. The shape of the yield curve indicates that the probability of recession persists. 12 Section 2| SECTION | Section 2 | Account Profile
13 Objectives
Chandler Asset Management Performance Objective
The performance objective for the City of San Leandro is to achieve a rate of return over a market cycle that equals or exceeds the return on a market index of similar duration and sector allocation.
Investment Objectives
The investment objectives of the City of San Leandro are first, to preserve principal; second, to provide liquidity; and third, to earn a return that is commensurate with the first two objectives.
Strategy
In order to achieve these objectives, the portfolio invests in high quality fixed income securities consistent with the investment policy and California Government Code.
As of September 30, 2023
14 Compliance As of September 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. 15 Portfolio Characteristics
City of San Leandro
09/30/23 06/30/23
Benchmark* Portfolio Portfolio
Average Maturity (yrs) 1.84 2.07 1.96
Average Modified Duration 1.75 1.75 1.67
Average Purchase Yield n/a 3.23% 2.67%
Average Market Yield 5.15% 5.31% 5.07%
Average Quality** NR AA/Aa1 AA/Aa1
Total Market Value 184,480,878 158,283,802
*ICE BofA 1-3 Yr US Treasury & Agency Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of September 30, 2023
16 City of San Leandro
Sector Distribution
ABS
7.6%
Agency
21.6%
Commercial
Paper
1.6%
Corporate
23.4%
Money Market
Fund
3.4%
Negotiable CD
1.7%
US Treasury
40.2%
Supranational
0.5%
September 30, 2023 June 30, 2023
ABS
7.6%
Agency
18.8%
Commercial
Paper
1.9%
Corporate Money Market 22.3%
Fund
4.3%
Negotiable CD
1.9%
US Treasury
43.3%
As of September 30, 2023
17 Issue Name Investment Type % Portfolio
Government of United States US Treasury 40.24%
Federal Home Loan Bank Agency 10.48%
Federal Farm Credit Bank Agency 4.19%
Federal National Mortgage Association Agency 3.71%
Federated GOVT Obligation MMF Money Market Fund 3.39%
Federal Home Loan Mortgage Corp Agency 3.20%
Westpac Banking Corp NY Negotiable CD 1.66%
MUFG Bank Ltd/NY Commercial Paper 1.62%
John Deere ABS ABS 1.52%
Bank of America Corp Corporate 1.47%
United Health Group Inc Corporate 1.38%
JP Morgan Chase & Co Corporate 1.26%
Deere & Company Corporate 1.24%
Apple Inc Corporate 1.18%
Comcast Corp Corporate 1.17%
Morgan Stanley Corporate 1.15%
JP Morgan ABS ABS 1.10%
Pepsico Inc Corporate 1.05%
Honeywell Corp Corporate 1.05%
Visa Inc Corporate 1.04%
Toyota Motor Corp Corporate 0.98%
Toronto Dominion Holdings Corporate 0.94%
American Express ABS ABS 0.91%
Royal Bank of Canada Corporate 0.91%
Amazon.com Inc Corporate 0.90%
Paccar Financial Corporate 0.88%
Caterpillar Inc Corporate 0.84%
Bank of Montreal Chicago Corporate 0.80%
Merck & Company Corporate 0.79%
Bank of New York Corporate 0.78%
Charles Schwab Corp/The Corporate 0.77%
GM Financial Securitized Term Auto Trust ABS 0.74%
National Rural Utilities Corporate 0.72%
BMW ABS ABS 0.71%
Honda ABS ABS 0.70%
GM Financial Automobile Leasing Trust ABS 0.68%
Chubb Corporation Corporate 0.54%
Wal-Mart Stores Corporate 0.53%
Issuers
City of San Leandro – Account #460
As of September 30, 2023
18 Issue Name Investment Type % Portfolio
US Bancorp Corporate 0.53%
Hyundai Auto Receivables ABS 0.52%
Northern Trust Corp Corporate 0.52%
International Finance Corp Supranational 0.51%
Mercedes-Benz ABS 0.27%
BMW Vehicle Lease Trust ABS 0.21%
Toyota ABS ABS 0.21%
TOTAL 100.00%
Issuers
City of San Leandro – Account #460
As of September 30, 2023
19 AAA AA A <A NR
09/30/23 12.5% 65.5% 19.8% 0.0% 2.2%
06/30/23 11.0% 66.3% 18.0% 0.0% 4.7%
Source: S&P Ratings
September 30, 2023 vs. June 30, 2023
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
AAA AA A <A NR
09/30/23 06/30/23
Quality Distribution
City of San Leandro
As of September 30, 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 13.2% 9.1% 9.0% 29.8% 20.6% 14.4% 3.9% 0.0%
Benchmark* 0.0% 0.0% 2.7% 58.8% 38.5% 0.0% 0.0% 0.0%
*ICE BofA 1-3 Yr US Treasury & Agency Index
Duration Distribution
City of San Leandro
As of September 30, 2023
21 -1.50%
-1.00%
-0.50%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
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 0.67% 2.97% -0.72% -0.45% 1.31% 1.07% 1.87% ICE BofA 1-3 Yr US Treasury & Agency Index 0.74% 2.49% -1.26% -0.83% 1.06% 0.82% 1.77% Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the ending value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
Investment Performance
City of San Leandro
As of September 30, 2023
22 Portfolio Characteristics
San Leandro Reporting
09/30/23
Portfolio
06/30/23
Portfolio
Average Maturity (yrs) 0.00 0.00
Modified Duration 0.00 0.00
Average Purchase Yield 2.00% 1.51%
Average Market Yield 2.02% 1.52%
Average Quality* NR/NR NR/NR
Total Market Value 28,189,416 85,091,836
*Portfolio is S&P and Moody’s, respectively.
As of September 30, 2023
23 San Leandro Reporting
Sector Distribution
Cash
44.1%
LAIF
55.9%
September 30, 2023 June 30, 2023
Cash
53.7%
LAIF
46.3%
As of September 30, 2023
24 Historical Average Market Yield to Maturity As of September 30, 2023 City of San Leandro Reserve
Portfolio 2020 2021 2022 2023
Historical Average Market
YTM (Portfolio versus
Benchmark)
Portfolio Average
Market Yield
Benchmark
Average Market
Yield (G1A0)*
Portfolio Average
Market Yield
Benchmark
Average Market
Yield (G1A0)*
Portfolio
Average Market
Yield
Benchmark
Average Market
Yield (G1A0)*
Portfolio
Average Market
Yield
Benchmark
Average Market
Yield (G1A0)*
1Q 0.87% 0.95% 0.27% 0.18% 1.95% 2.18% 4.43% 4.20%
2Q 0.31% 0.18% 0.33% 0.24% 2.90% 2.95% 5.07% 5.02%
3Q 0.25% 0.14% 0.35% 0.27% 4.31% 4.30% 5.31% 5.15%
4Q 0.21% 0.13% 0.71% 0.68% 4.55% 4.51%
* G1A0 1-3 Year US Treasury and Agency Index
source: Chandler Quarterly Report
25 SECTION | Section 3 | Consolidated Information
26 Portfolio Characteristics
City of San Leandro Consolidated
09/30/23 06/30/23
Portfolio Portfolio
Average Maturity (yrs) 1.80 1.27
Modified Duration 1.52 1.09
Average Purchase Yield 3.07% 2.27%
Average Market Yield 4.87% 3.83%
Average Quality* AA/Aa1 AA/Aa1
Total Market Value 212,670,294 243,375,639
* Portfolio is S&P and Moody’s respectively.
As of September 30, 2023
Fund Name Account Market Value
9/30/2023
Market Value
6/30/2023
LAIF - City Pool LGIP $15,404,435 $39,097,465
LAIF Successor Agency LGIP $28,999 $28,773
Wells Fargo General Fund Bank $12,427,500 $45,672,706
CAM Accrued Interest on LAIF $328,482 $292,893
Total LAIF and Bank Balances $28,189,416 $85,091,836
Investment Portfolio Market Value Separate Account $184,480,878 $158,283,802 Total $212,670,294 $243,375,639
27 City of San Leandro Consolidated
Sector Distribution
ABS
6.6%
Agency
18.7%
Cash
5.8%
Commercial
Paper
1.4%
Corporate
20.3%
LAIF
7.4%
Money Market
Fund
2.9%
Negotiable CD
1.4%
US Treasury
34.9%
Supranational
0.4%
September 30, 2023 June 30, 2023
ABS
4.9%
Agency
12.2%
Cash
18.8%
Commercial
Paper
1.2%
Corporate
14.5%
LAIF
16.2%
Money Market
Fund
2.8%
Negotiable CD
1.2%
US Treasury
28.2%
As of September 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
622,404.30 02/15/2022
1.91%
622,398.95
622,402.93
98.72 6.18%
614,456.82
361.34
0.33%
(7,946.11)
Aaa / NR
AAA
1.47 0.30
05601XAC3 BMW Vehicle Lease Trust 2022-1 A3
1.100% Due 03/25/2025
194,114.93 01/11/2022
1.11%
194,085.91
194,108.51
98.83 6.13%
191,836.99
35.59 0.10%
(2,271.52)
NR / AAA
AAA
1.48 0.23
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
639,975.58
98.79 6.03%
632,272.00
668.80
0.34%
(7,703.58)
NR / AAA
AAA
1.72 0.47
47788UAC6 John Deere Owner Trust 2021-A A3
0.360% Due 09/15/2025
120,989.78 03/02/2021
0.37%
120,966.53
120,983.06
97.63 6.07%
118,122.08
19.36 0.06%
(2,860.98)
Aaa / NR
AAA
1.96 0.41
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
204,996.57
99.15 6.04%
203,267.34
176.30
0.11%
(1,729.23)
Aaa / AAA
AAA
2.16 1.03
43815GAC3 Honda Auto Receivables Trust 2021-4 A3
0.880% Due 01/21/2026
312,855.83 11/16/2021
0.89%
312,789.88
312,827.50
96.10 6.44%
300,658.52
76.48 0.16%
(12,168.98)
Aaa / NR
AAA
2.31 0.70
44935FAD6 Hyundai Auto Receivables Trust 2021-C A3
0.740% Due 05/15/2026
222,785.50 11/09/2021
0.75%
222,735.78
222,765.18
96.64 5.94%
215,301.91
73.27 0.12%
(7,463.27)
NR / AAA
AAA
2.62 0.64
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
589,955.37
96.48 5.78%
569,214.90
492.98
0.31%
(20,740.47)
Aaa / AAA
NR
2.62 0.91
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
982,298.97
97.56 5.95%
975,551.00
535.00
0.53%
(6,747.97)
Aaa / AAA
NR
2.90 0.90
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
404,994.79
97.35 5.57%
394,276.82
527.40
0.21%
(10,717.97)
Aaa / AAA
NR
2.96 1.01
362554AC1 GM Financial Securitized Term 2021-4 A3
0.680% Due 09/16/2026
237,120.10 10/13/2021
0.68%
237,114.06
237,117.51
95.94 6.21%
227,489.23
67.18 0.12%
(9,628.28)
Aaa / AAA
NR
2.96 0.73
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
449,944.35
96.82 6.16%
435,667.95
464.00
0.24%
(14,276.40)
Aaa / NR
AAA
2.96 0.83
380146AC4 GM Financial Auto Receivables 2022-1 A3
1.260% Due 11/16/2026
237,806.81 01/11/2022
1.27%
237,786.14
237,796.71
96.63 5.58%
229,793.91
124.85
0.12%
(8,002.80)
NR / AAA
AAA
3.13 0.78
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
349,958.17
97.21 5.72%
340,223.80
452.08
0.18%
(9,734.37)
Aaa / AAA
NR
3.38 1.08
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
564,964.14
97.34 5.85%
549,986.82
939.16
0.30%
(14,977.32)
Aaa / NR
AAA
3.38 1.28
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
759,938.47
98.35 5.60%
747,453.16
1,547.02
0.41%
(12,485.31)
NR / AAA
AAA
3.54 1.69
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
419,936.80
98.99 5.69%
415,739.52
588.00
0.23%
(4,197.28)
Aaa / NR
AAA
3.56 1.72
As of September 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
1,104,866.88
96.51 5.72%
1,066,401.25
1,664.87
0.58%
(38,465.63)
NR / AAA
AAA
3.63 1.53
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
914,947.45
98.93 5.85%
905,225.97
2,069.93
0.49%
(9,721.48)
Aaa / NR
AAA
3.71 1.51
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
514,950.35
98.06 5.85%
504,998.19
1,032.29
0.27%
(9,952.16)
NR / AAA
AAA
4.13 1.50
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
799,872.30
98.83 5.72%
790,658.49
1,781.33
0.43%
(9,213.81)
Aaa / NR
AAA
4.13 1.79
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
569,986.54
97.76 5.76%
557,253.10
1,061.63
0.30%
(12,733.44)
Aaa / AAA
NR
4.38 1.80
05592XAD2 BMW Vehicle Owner Trust 2023-A A3
5.470% Due 02/25/2028
340,000.00 07/11/2023
5.54%
339,939.75
339,943.44
99.74 5.67%
339,105.80
309.97
0.18%
(837.64)
NR / AAA
AAA
4.41 1.88
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
624,950.23
98.75 5.44%
617,202.50
1,352.78
0.34%
(7,747.73)
NR / AAA
AAA
4.63 2.39
161571HT4 Chase Issuance Trust 23-A1 A
5.160% Due 09/15/2028
2,025,000.00 09/07/2023
5.23%
2,024,438.67
2,024,446.86
99.63 5.35%
2,017,543.95
4,644.00
1.10%
(6,902.91)
NR / AAA
AAA
4.96 2.66
TOTAL ABS 14,228,077.25 3.95%
14,200,917.54
14,208,928.66 5.77%
13,959,702.02
21,065.61
7.58%
(249,226.64)
Aaa / AAA
AAA
3.50 1.46
Agency
3137EAFA2 FHLMC Note
0.250% Due 12/04/2023
2,000,000.00 12/21/2020
0.21%
2,002,180.00
2,000,129.55
99.11 5.27%
1,982,288.00
1,625.00
1.08%
(17,841.55)
Aaa / AA+
AA+
0.18 0.18
3130A0F70 FHLB Note
3.375% Due 12/08/2023
1,700,000.00 01/16/2019
2.73%
1,749,623.00
1,701,889.34
99.62 5.37%
1,693,472.00
18,009.38
0.93%
(8,417.34)
Aaa / AA+
NR
0.19 0.19
3133EMNG3 FFCB Note
0.230% Due 01/19/2024
2,000,000.00 02/02/2021
0.20%
2,001,520.00
2,000,154.81
98.42 5.52%
1,968,474.00
920.00
1.07%
(31,680.81)
Aaa / AA+
AA+
0.30 0.30
3135G0V34 FNMA Note
2.500% Due 02/05/2024
2,000,000.00 03/25/2020
0.74%
2,133,740.00
2,012,037.55
98.95 5.55%
1,979,054.00
7,777.78
1.08%
(32,983.55)
Aaa / AA+
AA+
0.35 0.34
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
2,000,000.00 09/11/2019
1.66%
2,110,320.00
2,016,360.21
98.08 5.68%
1,961,684.00
17,090.28
1.07%
(54,676.21)
Aaa / AA+
NR
0.71 0.68
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
1,200,000.00 11/14/2019
1.70%
1,264,920.00
1,212,807.35
97.56 5.54%
1,170,679.20
1,725.00
0.64%
(42,128.15)
Aaa / AA+
NR
0.96 0.92
3135G0W66 FNMA Note
1.625% Due 10/15/2024
2,000,000.00 10/17/2019
1.64%
1,998,140.00
1,999,611.86
96.15 5.48%
1,922,946.00
14,986.11
1.05%
(76,665.86)
Aaa / AA+
AA+
1.04 1.00
3130A3GE8 FHLB Note
2.750% Due 12/13/2024
1,500,000.00 12/10/2019
1.75%
1,571,250.00
1,517,120.28
96.89 5.45%
1,453,348.50
12,375.00
0.79%
(63,771.78)
Aaa / AA+
NR
1.21 1.15
As of September 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
3135G0X24 FNMA Note
1.625% Due 01/07/2025
2,100,000.00 Various
1.50%
2,111,993.00
2,103,088.35
95.43 5.39%
2,004,082.50
7,962.50
1.09%
(99,005.85)
Aaa / AA+
AA+
1.27 1.22
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
2,000,000.00 03/24/2020
0.95%
2,051,940.00
2,014,549.02
95.05 5.30%
1,901,034.00
4,083.33
1.03%
(113,515.02)
Aaa / AA+
AA+
1.37 1.32
3130AWLY4 FHLB Note
5.125% Due 06/13/2025
3,000,000.00 07/18/2023
4.86%
3,014,549.58
3,013,000.42
99.82 5.23%
2,994,648.00
34,593.76
1.64%
(18,352.42)
Aaa / AA+
NR
1.70 1.59
3135G05X7 FNMA Note
0.375% Due 08/25/2025
1,000,000.00 10/20/2020
0.47%
995,420.00
998,203.21
91.47 5.14%
914,686.00
375.00
0.50%
(83,517.21)
Aaa / AA+
AA+
1.90 1.85
3137EAEX3 FHLMC Note
0.375% Due 09/23/2025
2,200,000.00 09/28/2020
0.42%
2,195,512.00
2,198,217.13
91.18 5.12%
2,005,874.20
183.33
1.09%
(192,342.93)
Aaa / AA+
AA+
1.98 1.93
3130AWGR5 FHLB Note
4.375% Due 06/12/2026
3,000,000.00 07/10/2023
4.67%
2,976,060.00
2,977,899.81
98.59 4.94%
2,957,646.00
36,458.33
1.62%
(20,253.81)
Aaa / AA+
NR
2.70 2.48
3133EPQC2 FFCB Note
4.625% Due 07/17/2026
3,000,000.00 07/21/2023
4.56%
3,005,010.00
3,004,692.56
99.07 4.98%
2,972,046.00
28,520.83
1.63%
(32,646.56)
Aaa / AA+
NR
2.80 2.57
3133EPSW6 FFCB Note
4.500% Due 08/14/2026
2,775,000.00 08/09/2023
4.58%
2,768,617.50
2,768,897.03
99.01 4.87%
2,747,530.28
16,303.13
1.50%
(21,366.75)
Aaa / AA+
AA+
2.87 2.65
3130AWTQ3 FHLB Note
4.625% Due 09/11/2026
3,000,000.00 09/11/2023
4.80%
2,984,760.00
2,985,024.44
99.20 4.91%
2,976,120.00
21,968.75
1.63%
(8,904.44)
Aaa / AA+
NR
2.95 2.70
3130ATS57 FHLB Note
4.500% Due 03/10/2028
2,000,000.00 03/21/2023
3.99%
2,045,140.00
2,040,339.99
99.46 4.63%
1,989,236.00
5,250.00
1.08%
(51,103.99)
Aaa / AA+
NR
4.45 3.97
3130AWMN7 FHLB Note
4.375% Due 06/09/2028
2,000,000.00 07/26/2023
4.27%
2,008,820.00
2,008,492.78
98.60 4.71%
1,971,912.00
19,444.44
1.08%
(36,580.78)
Aaa / AA+
NR
4.70 4.15
TOTAL Agency 40,475,000.00 2.73%
40,989,515.08
40,572,515.69 5.18%
39,566,760.68
249,651.95
21.58%
(1,005,755.01)
Aaa / AA+
AA+
1.90 1.76
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
2,989,212.06
99.64 5.49%
2,989,212.06
0.00 1.62%
0.00 P-1 / A-1
NR
0.07 0.07
TOTAL Commercial Paper 3,000,000.00 5.49%
2,920,510.83
2,989,212.06 5.49%
2,989,212.06
0.00 1.62%
0.00 P-1 / A-1
NR
0.07 0.07
Corporate
24422EUR8 John Deere Capital Corp Note
3.450% Due 01/10/2024
300,000.00 01/29/2019
3.24%
302,907.00
300,162.66
99.32 5.91%
297,947.10
2,328.75
0.16%
(2,215.56)
A2 / A
A+
0.28 0.27
As of September 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
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
1,000,020.61
98.47 5.67%
984,714.00
925.00
0.53%
(15,306.61)
A2 / A
A+
0.30 0.29
89114QCB2 Toronto Dominion Bank Note
3.250% Due 03/11/2024
1,300,000.00 Various
3.00%
1,314,864.00
1,301,348.36
98.84 5.90%
1,284,918.70
2,347.22
0.70%
(16,429.66)
A1 / A
AA0.450.44
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
1,000,442.94
97.61 6.02%
976,077.00
270.83
0.53%
(24,365.94)
A2 / AA0.47
0.45 46625HJX9 JP Morgan Chase Note
3.625% Due 05/13/2024
500,000.00 06/14/2022
3.61%
500,080.00
500,025.82
98.70 5.78%
493,506.50
6,947.92
0.27%
(6,519.32)
A1 / AAA0.62
0.59 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
1,017,322.29
98.47 5.87%
984,712.00
12,655.56
0.54%
(32,610.29)
A3 / A
A
0.62 0.60
89236TJH9 Toyota Motor Credit Corp Note
0.500% Due 06/18/2024
500,000.00 06/14/2022
3.63%
470,025.00
489,326.77
96.42 5.67%
482,099.00
715.28
0.26%
(7,227.77)
A1 / A+
A+
0.72 0.70
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
989,522.06
97.14 5.97%
971,354.00
4,066.67
0.53%
(18,168.06)
A3 / A
A
0.83 0.80
63743HEY4 National Rural Utilities Note
1.000% Due 10/18/2024
1,000,000.00 06/14/2022
3.89%
935,890.00
971,281.72
95.12 5.85%
951,246.00
4,527.78
0.52%
(20,035.72)
A2 / AA1.05
1.01 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
1,395,141.30
94.95 5.57%
1,329,260.80
4,398.33
0.72%
(65,880.50)
A1 / A+
A+
1.29 1.24
69371RQ66 Paccar Financial Corp Note
1.800% Due 02/06/2025
1,700,000.00 04/20/2022
3.09%
1,641,588.00
1,671,737.97
95.11 5.61%
1,616,791.80
4,675.00
0.88%
(54,946.17)
A1 / A+
NR
1.36 1.30
023135CE4 Amazon.com Inc Note
3.000% Due 04/13/2025
1,700,000.00 04/20/2022
2.94%
1,702,822.00
1,701,453.84
96.61 5.32%
1,642,446.50
23,800.00
0.90%
(59,007.34)
A1 / AA
AA1.541.45
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
1,947,700.56
95.95 5.46%
1,918,934.00
23,069.44
1.05%
(28,766.56)
A1 / A+
NR
1.58 1.50
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
1,279,560.65
93.53 5.36%
1,215,918.60
5,687.50
0.66%
(63,642.05)
Aaa / AA+
NR
1.61 1.55
14913R2V8 Caterpillar Financial Service Note
3.400% Due 05/13/2025
585,000.00 05/10/2022
3.44%
584,257.05
584,600.05
96.69 5.56%
565,617.78
7,624.50
0.31%
(18,982.27)
A2 / A
A+
1.62 1.53
78015K7H1 Royal Bank of Canada Note
1.150% Due 06/10/2025
1,800,000.00 Various
1.65%
1,775,582.00
1,785,374.11
92.47 5.88%
1,664,523.00
6,382.50
0.91%
(120,851.11)
A1 / A
AA1.701.63
63743HFE7 National Rural Utilities Note
3.450% Due 06/15/2025
375,000.00 04/27/2022
3.46%
374,898.75
374,944.57
96.22 5.80%
360,818.25
3,809.38
0.20%
(14,126.32)
A2 / AA1.71
1.61 14913R2Z9 Caterpillar Financial Service Note
3.650% Due 08/12/2025
1,000,000.00 08/18/2022
3.64%
1,000,270.00
1,000,169.31
96.86 5.44%
968,587.00
4,968.06
0.53%
(31,582.31)
A2 / A
A+
1.87 1.76
As of September 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
931142EW9 Wal-Mart Stores Note
3.900% Due 09/09/2025
1,000,000.00 09/08/2022
3.80%
1,002,740.00
1,001,777.37
97.48 5.28%
974,793.00
2,383.33
0.53%
(26,984.37)
Aa2 / AA
AA
1.95 1.84
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
1,950,603.96
95.45 5.36%
1,908,904.00
18,725.00
1.04%
(41,699.96)
Aa3 / AANR2.21
2.07 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
1,000,925.02
98.84 5.35%
988,376.00
10,933.33
0.54%
(12,549.02)
A2 / A
A+
2.28 2.10
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
982,101.75
95.55 5.25%
955,545.00
3,430.56
0.52%
(26,556.75)
Aaa / AA+
NR
2.40 2.26
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
960,997.22
94.17 6.27%
894,588.40
952.38
0.49%
(66,408.82)
A1 / AAA2.45
1.39 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
499,745.51
88.57 5.92%
442,867.50
2,204.17
0.24%
(56,878.01)
A2 / AA2.62
2.50 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
1,654,046.56
89.96 5.30%
1,529,255.40
7,385.55
0.83%
(124,791.16)
A2 / A+
A
2.62 2.51
89114TZD7 Toronto-Dominion Bank Note
1.200% Due 06/03/2026
500,000.00 04/21/2022
3.62%
454,290.00
470,258.03
88.67 5.83%
443,365.00
1,966.67
0.24%
(26,893.03)
A1 / A
AA2.682.55
61747YET8 Morgan Stanley Callable Note Cont 7/17/2025
4.679% Due 07/17/2026
685,000.00 07/18/2022
4.68%
685,000.00
685,000.00
97.42 6.21%
667,307.14
6,588.29
0.37%
(17,692.86)
A1 / AA+2.80
1.68 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
949,089.59
92.52 5.15%
925,238.00
10,416.67
0.51%
(23,851.59)
A2 / A
A
3.09 2.88
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
2,004,078.20
97.75 6.14%
1,954,906.00
20,037.78
1.07%
(49,172.20)
A1 / AAA3.31
2.12 20030NBY6 Comcast Corp Callable Note Cont 11/01/2026
3.300% Due 02/01/2027
2,300,000.00 09/11/2023
5.27%
2,161,172.00
2,163,192.13
93.37 5.50%
2,147,514.60
12,650.00
1.17%
(15,677.53)
A3 / AA3.34
3.08 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
997,034.62
94.59 5.68%
945,929.00
15,666.67
0.52%
(51,105.62)
A2 / A+
A+
3.61 3.24
06368LGV2 Bank of Montreal Callable Note Cont 1/1/2028
5.203% Due 02/01/2028
1,500,000.00 09/06/2023
5.59%
1,477,500.00
1,477,822.03
97.61 5.83%
1,464,126.00
13,007.50
0.80%
(13,696.03)
A2 / AAA4.34
3.79 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
1,011,486.65
99.60 5.05%
996,023.00
6,325.00
0.54%
(15,463.65)
A2 / A
A
4.38 3.87
As of September 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
91324PEP3 United Health Group Inc Callable Note Cont 1/15/2028
5.250% Due 02/15/2028
1,000,000.00 07/18/2023
4.52%
1,029,460.00
1,028,148.67
100.17
5.20%
1,001,699.00
6,708.33
0.55%
(26,449.67)
A2 / A+
A
4.38 3.84
61747YER2 Morgan Stanley Callable Note Cont 4/20/2027
4.210% Due 04/20/2028
1,500,000.00 07/06/2023
5.68%
1,423,620.00
1,427,250.89
94.03 5.97%
1,410,421.50
28,242.08
0.78%
(16,829.39)
A1 / AA+4.56
3.97 46647PAF3 JP Morgan Chase & Co Callable Note 2X 5/1/2027
3.540% Due 05/01/2028
1,000,000.00 07/18/2023
5.75%
938,600.00
941,165.66
91.95 6.07%
919,495.00
14,750.00
0.51%
(21,670.66)
A1 / AAA4.59
3.24 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
1,498,479.65
96.23 4.97%
1,443,393.00
22,612.51
0.79%
(55,086.65)
A1 / A+
NR
4.63 4.09
06406RBG1 Bank of NY Mellon Corp Callable Note Cont 6/13/2027
3.992% Due 06/13/2028
1,500,000.00 07/06/2023
5.70%
1,421,775.00
1,425,382.04
94.27 5.73%
1,414,123.50
17,964.00
0.78%
(11,258.54)
A1 / A
AA4.713.33
06051GKW8 Bank of America Corp Callable Note Cont 7/22/2027
4.948% Due 07/22/2028
750,000.00 09/06/2023
6.11%
728,677.50
728,953.17
96.09 6.11%
720,647.25
7,112.75
0.39%
(8,305.92)
A1 / AAA4.81
3.38 TOTAL Corporate 44,845,000.00 3.67%
44,032,943.70
44,167,674.31 5.63%
42,857,989.32
349,262.29
23.42%
(1,309,684.99)
A1 / A
A+
2.47 2.12
Money Market Fund
60934N104 Federated Investors Government Obligations Fund 6,253,616.54 Various
5.18%
6,253,616.54
6,253,616.54
1.00 5.18%
6,253,616.54
0.00 3.39%
0.00 Aaa / AAA
AAA
0.00 0.00
TOTAL Money Market Fund 6,253,616.54 5.18%
6,253,616.54
6,253,616.54 5.18%
6,253,616.54
0.00 3.39%
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
2,999,965.66
99.91 5.67%
2,997,201.00
63,600.00
1.66%
(2,764.66)
P-1 / A-1+
F-1
0.19 0.18
TOTAL Negotiable CD 3,000,000.00 5.30%
2,999,896.98
2,999,965.66 5.67%
2,997,201.00
63,600.00
1.66%
(2,764.66)
Aaa / AAA
AA
0.19 0.18
As of September 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
Supranational
45950KDD9 International Finance Corp Note
4.500% Due 07/13/2028
935,000.00 07/06/2023
4.53%
933,962.15
934,007.59
98.82 4.78%
923,956.72
9,116.25
0.51%
(10,050.87)
Aaa / AAA
NR
4.79 4.21
TOTAL Supranational 935,000.00 4.53%
933,962.15
934,007.59 4.78%
923,956.72
9,116.25
0.51%
(10,050.87)
Aaa / AAA
NR
4.79 4.21
US Treasury
9128285K2 US Treasury Note
2.875% Due 10/31/2023
1,200,000.00 09/29/2020
0.16%
1,300,359.38
1,202,673.87
99.80 5.16%
1,197,638.40
14,437.50
0.66%
(5,035.47)
Aaa / AA+
AA+
0.08 0.08
912797HD2 US Treasury Bill
5.234% Due 10/31/2023
3,000,000.00 07/06/2023
5.40%
2,948,964.60
2,986,746.34
99.56 5.40%
2,986,746.34
0.00 1.62%
0.00 P-1 / A-1+
F-1+
0.08 0.08
912828WE6 US Treasury Note
2.750% Due 11/15/2023
1,000,000.00 06/19/2019
1.86%
1,037,343.75
1,001,044.42
99.67 5.34%
996,720.00
10,387.23
0.55%
(4,324.42)
Aaa / AA+
AA+
0.13 0.12
91282CAW1 US Treasury Note
0.250% Due 11/15/2023
3,000,000.00 Various
1.33%
2,952,539.06
2,996,128.55
99.38 5.23%
2,981,436.00
2,832.88
1.62%
(14,692.55)
Aaa / AA+
AA+
0.13 0.12
91282CBE0 US Treasury Note
0.125% Due 01/15/2024
3,000,000.00 Various
1.65%
2,921,687.50
2,987,024.78
98.50 5.35%
2,955,117.00
794.84
1.60%
(31,907.78)
Aaa / AA+
AA+
0.29 0.29
912828W48 US Treasury Note
2.125% Due 02/29/2024
3,000,000.00 07/18/2023
5.36%
2,941,875.00
2,960,991.67
98.66 5.40%
2,959,806.00
5,429.26
1.61%
(1,185.67)
Aaa / AA+
AA+
0.42 0.41
91282CEG2 US Treasury Note
2.250% Due 03/31/2024
2,000,000.00 09/08/2022
3.53%
1,961,406.25
1,987,655.43
98.43 5.47%
1,968,672.00
122.95
1.07%
(18,983.43)
Aaa / AA+
AA+
0.50 0.49
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
1,800,000.00 06/24/2021
0.42%
1,797,890.63
1,799,594.59
97.32 5.48%
1,751,695.20
3,116.80
0.95%
(47,899.39)
Aaa / AA+
AA+
0.54 0.53
912828XT2 US Treasury Note
2.000% Due 05/31/2024
2,000,000.00 03/03/2021
0.34%
2,106,640.63
2,021,886.55
97.75 5.47%
1,955,078.00
13,442.62
1.07%
(66,808.55)
Aaa / AA+
AA+
0.67 0.64
91282CCL3 US Treasury Note
0.375% Due 07/15/2024
3,000,000.00 Various
1.77%
2,908,496.10
2,967,872.25
96.10 5.48%
2,883,048.00
2,384.51
1.56%
(84,824.25)
Aaa / AA+
AA+
0.79 0.77
91282CCT6 US Treasury Note
0.375% Due 08/15/2024
1,000,000.00 08/11/2021
0.45%
997,890.63
999,385.49
95.67 5.51%
956,719.00
478.94
0.52%
(42,666.49)
Aaa / AA+
AA+
0.88 0.85
91282CDH1 US Treasury Note
0.750% Due 11/15/2024
2,500,000.00 12/13/2021
0.93%
2,487,304.69
2,495,109.87
94.98 5.40%
2,374,610.00
7,082.20
1.29%
(120,499.87)
Aaa / AA+
AA+
1.13 1.09
912828YV6 US Treasury Note
1.500% Due 11/30/2024
2,000,000.00 09/16/2021
0.49%
2,064,218.75
2,023,382.21
95.68 5.37%
1,913,516.00
10,081.97
1.04%
(109,866.21)
Aaa / AA+
AA+
1.17 1.12
912828Z52 US Treasury Note
1.375% Due 01/31/2025
3,000,000.00 04/21/2022
2.84%
2,883,281.25
2,943,883.00
94.95 5.34%
2,848,593.00
6,949.73
1.55%
(95,290.00)
Aaa / AA+
AA+
1.34 1.29
As of September 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
912828ZF0 US Treasury Note
0.500% Due 03/31/2025
2,500,000.00 12/13/2021
1.01%
2,458,789.06
2,481,261.53
93.18 5.29%
2,329,590.00
34.15 1.26%
(151,671.53)
Aaa / AA+
AA+
1.50 1.46
912828ZT0 US Treasury Note
0.250% Due 05/31/2025
1,100,000.00 04/01/2021
0.69%
1,080,105.47
1,092,026.45
92.21 5.19%
1,014,319.90
924.18
0.55%
(77,706.55)
Aaa / AA+
AA+
1.67 1.62
91282CHL8 US Treasury Note
4.625% Due 06/30/2025
1,750,000.00 07/28/2023
4.95%
1,739,609.38
1,740,529.69
99.14 5.14%
1,735,028.75
20,454.31
0.95%
(5,500.94)
Aaa / AA+
AA+
1.75 1.64
912828Y79 US Treasury Note
2.875% Due 07/31/2025
3,000,000.00 06/14/2022
3.45%
2,949,257.81
2,970,274.50
96.09 5.14%
2,882,577.00
14,531.25
1.57%
(87,697.50)
Aaa / AA+
AA+
1.84 1.75
9128284Z0 US Treasury Note
2.750% Due 08/31/2025
2,000,000.00 06/21/2021
0.73%
2,166,562.50
2,076,155.29
95.73 5.11%
1,914,610.00
4,684.07
1.04%
(161,545.29)
Aaa / AA+
AA+
1.92 1.83
9128285J5 US Treasury Note
3.000% Due 10/31/2025
3,000,000.00 06/14/2022
3.48%
2,954,296.88
2,971,815.17
96.02 5.03%
2,880,702.00
37,663.04
1.58%
(91,113.17)
Aaa / AA+
AA+
2.09 1.96
91282CAZ4 US Treasury Note
0.375% Due 11/30/2025
2,000,000.00 09/16/2021
0.72%
1,971,640.63
1,985,386.15
90.61 5.00%
1,812,110.00
2,520.49
0.98%
(173,276.15)
Aaa / AA+
AA+
2.17 2.10
91282CBT7 US Treasury Note
0.750% Due 03/31/2026
1,700,000.00 10/14/2021
0.98%
1,682,667.97
1,690,290.66
90.43 4.86%
1,537,304.90
34.84 0.83%
(152,985.76)
Aaa / AA+
AA+
2.50 2.42
9128286L9 US Treasury Note
2.250% Due 03/31/2026
2,000,000.00 12/21/2022
3.92%
1,898,125.00
1,922,251.05
93.84 4.90%
1,876,876.00
122.95
1.02%
(45,375.05)
Aaa / AA+
AA+
2.50 2.38
912828R36 US Treasury Note
1.625% Due 05/15/2026
3,000,000.00 12/21/2022
3.94%
2,780,742.19
2,830,782.48
92.05 4.89%
2,761,641.00
18,413.72
1.51%
(69,141.48)
Aaa / AA+
AA+
2.62 2.50
91282CHM6 US Treasury Note
4.500% Due 07/15/2026
1,750,000.00 07/28/2023
4.53%
1,748,359.38
1,748,453.56
99.08 4.85%
1,733,866.75
16,691.58
0.95%
(14,586.81)
Aaa / AA+
AA+
2.79 2.57
9128282A7 US Treasury Note
1.500% Due 08/15/2026
3,000,000.00 12/21/2022
3.91%
2,756,367.19
2,808,130.02
91.15 4.83%
2,734,569.00
5,747.28
1.49%
(73,561.02)
Aaa / AA+
AA+
2.88 2.75
912828U24 US Treasury Note
2.000% Due 11/15/2026
2,000,000.00 03/30/2022
2.54%
1,953,203.13
1,968,405.19
91.98 4.79%
1,839,610.00
15,108.70
1.01%
(128,795.19)
Aaa / AA+
AA+
3.13 2.95
91282CEF4 US Treasury Note
2.500% Due 03/31/2027
3,000,000.00 08/18/2022
3.06%
2,928,164.06
2,945,558.16
92.89 4.73%
2,786,601.00
204.92
1.51%
(158,957.16)
Aaa / AA+
AA+
3.50 3.29
912828X88 US Treasury Note
2.375% Due 05/15/2027
3,000,000.00 12/15/2022
3.71%
2,838,164.06
2,867,196.08
92.22 4.74%
2,766,564.00
26,912.36
1.51%
(100,632.08)
Aaa / AA+
AA+
3.62 3.38
91282CFM8 US Treasury Note
4.125% Due 09/30/2027
2,000,000.00 12/15/2022
3.65%
2,041,562.50
2,034,694.83
97.92 4.70%
1,958,360.00
225.41
1.06%
(76,334.83)
Aaa / AA+
AA+
4.00 3.64
91282CFZ9 US Treasury Note
3.875% Due 11/30/2027
3,000,000.00 Various
3.90%
2,998,007.82
2,997,020.18
96.94 4.69%
2,908,125.00
39,067.62
1.60%
(88,895.18)
Aaa / AA+
AA+
4.17 3.74
91282CGH8 US Treasury Note
3.500% Due 01/31/2028
3,000,000.00 02/23/2023
4.15%
2,914,101.56
2,924,540.94
95.43 4.67%
2,863,008.00
17,690.22
1.56%
(61,532.94)
Aaa / AA+
AA+
4.34 3.94
As of September 30, 2023
37 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
91282CGT2 US Treasury Note
3.625% Due 03/31/2028
3,000,000.00 Various
3.67%
2,993,593.75
2,993,796.90
95.87 4.65%
2,876,016.00
297.13
1.56%
(117,780.90)
Aaa / AA+
AA+
4.50 4.09
TOTAL US Treasury 77,300,000.00 2.75%
76,163,218.56
76,421,947.85 5.09%
73,940,874.24
298,869.65
40.24%
(2,481,073.61)
Aaa / AA+
AA+
1.96 1.83
TOTAL PORTFOLIO 190,036,693.79 3.23%
188,494,581.38
188,547,868.36 5.31%
183,489,312.58
991,565.75
100.00%
(5,058,555.78)
Aa1 / AA
AA+
2.07 1.75
TOTAL MARKET VALUE PLUS ACCRUALS 184,480,878.33
As of September 30, 2023
38 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
12,427,499.52 Various
0.01%
12,427,499.52
12,427,499.52
1.00 0.01%
12,427,499.52
0.00 44.09%
0.00 NR / NR
NR
0.00 0.00
TOTAL Cash 12,427,499.52 0.01%
12,427,499.52
12,427,499.52 0.01%
12,427,499.52
0.00 44.09%
0.00 NR / NR
NR
0.00 0.00
LAIF
90LAIF$00 Local Agency Investment Fund State Pool 15,433,433.70 Various
3.61%
15,433,433.70
15,433,433.70
1.00 3.61%
15,433,433.70
328,482.42
55.91%
0.00 NR / NR
NR
0.00 0.00
TOTAL LAIF 15,433,433.70 3.61%
15,433,433.70
15,433,433.70 3.61%
15,433,433.70
328,482.42
55.91%
0.00 NR / NR
NR
0.00 0.00
TOTAL PORTFOLIO 27,860,933.22 2.00%
27,860,933.22
27,860,933.22 2.02%
27,860,933.22
328,482.42
100.00%
0.00 NR / NR
NR
0.00 0.00
TOTAL MARKET VALUE PLUS ACCRUALS 28,189,415.64
As of September 30, 2023
39 SECTION | Section 5 | Transactions
40 Transaction Ledger
City of San Leandro - Account #460
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount InterestPur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 07/06/2023 912797HD2 3,000,000.00 US Treasury Bill
5.234% Due: 10/31/2023
98.299 5.40% 2,948,964.60 0.00 2,948,964.60 0.00
Purchase 07/10/2023 06406RBG1 1,500,000.00 Bank of NY Mellon Corp Callable Note Cont 6/13/2027
3.992% Due: 06/13/2028
94.785 5.70% 1,421,775.00 4,491.00 1,426,266.00 0.00
Purchase 07/10/2023 61747YER2 1,500,000.00 Morgan Stanley Callable Note Cont 4/20/2027
4.21% Due: 04/20/2028
94.908 5.67% 1,423,620.00 14,033.33 1,437,653.33 0.00
Purchase 07/11/2023 3130AWGR5 3,000,000.00 FHLB Note
4.375% Due: 06/12/2026
99.202 4.67% 2,976,060.00 7,291.67 2,983,351.67 0.00
Purchase 07/13/2023 45950KDD9 935,000.00 International Finance Corp Note
4.5% Due: 07/13/2028
99.889 4.53% 933,962.15 0.00 933,962.15 0.00
Purchase 07/18/2023 05592XAD2 340,000.00 BMW Vehicle Owner Trust 2023-A A3
5.47% Due: 02/25/2028
99.982 5.54% 339,939.75 0.00 339,939.75 0.00
Purchase 07/19/2023 3130AWLY4 1,940,000.00 FHLB Note
5.125% Due: 06/13/2025
100.487 4.85% 1,949,447.80 2,485.63 1,951,933.43 0.00
Purchase 07/19/2023 3130AWLY4 1,060,000.00 FHLB Note
5.125% Due: 06/13/2025
100.481 4.86% 1,065,101.78 1,358.13 1,066,459.91 0.00
Purchase 07/19/2023 912828W48 3,000,000.00 US Treasury Note
2.125% Due: 02/29/2024
98.063 5.36% 2,941,875.00 24,425.95 2,966,300.95 0.00
Purchase 07/20/2023 46647PAF3 1,000,000.00 JP Morgan Chase & Co Callable Note 2X 5/1/2027
3.54% Due: 05/01/2028
93.860 5.75% 938,600.00 7,768.33 946,368.33 0.00
Purchase 07/20/2023 91324PEP3 1,000,000.00 United Health Group Inc Callable Note Cont 1/15/2028
5.25% Due: 02/15/2028
102.946 4.52% 1,029,460.00 22,604.17 1,052,064.17 0.00
Purchase 07/24/2023 3133EPQC2 3,000,000.00 FFCB Note
4.625% Due: 07/17/2026
100.167 4.56% 3,005,010.00 2,697.92 3,007,707.92 0.00
Purchase 07/26/2023 912796YH6 5,000,000.00 US Treasury Bill
5.259% Due: 09/07/2023
99.372 5.37% 4,968,591.19 0.00 4,968,591.19 0.00
Purchase 07/27/2023 3130AWMN7 2,000,000.00 FHLB Note
4.375% Due: 06/09/2028
100.441 4.27% 2,008,820.00 3,888.89 2,012,708.89 0.00
June 30, 2023 through September 30, 2023
As of September 30, 2023
41 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 Purchase 07/31/2023 91282CHL8 1,750,000.00 US Treasury Note
4.625% Due: 06/30/2025
99.406 4.95% 1,739,609.38 6,818.10 1,746,427.48 0.00
Purchase 07/31/2023 91282CHM6 1,750,000.00 US Treasury Note
4.5% Due: 07/15/2026
99.906 4.53% 1,748,359.38 3,423.91 1,751,783.29 0.00
Purchase 08/14/2023 3133EPSW6 2,775,000.00 FFCB Note
4.5% Due: 08/14/2026
99.770 4.58% 2,768,617.50 0.00 2,768,617.50 0.00
Purchase 09/08/2023 06051GKW8 750,000.00 Bank of America Corp Callable Note Cont 7/22/2027
4.948% Due: 07/22/2028
97.157 6.11% 728,677.50 4,741.83 733,419.33 0.00
Purchase 09/08/2023 06368LGV2 1,500,000.00 Bank of Montreal Callable Note Cont 1/1/2028
5.203% Due: 02/01/2028
98.500 5.59% 1,477,500.00 8,021.29 1,485,521.29 0.00
Purchase 09/12/2023 3130AWTQ3 3,000,000.00 FHLB Note
4.625% Due: 09/11/2026
99.492 4.80% 2,984,760.00 14,645.83 2,999,405.83 0.00
Purchase 09/13/2023 20030NBY6 2,300,000.00 Comcast Corp Callable Note Cont 11/01/2026
3.3% Due: 02/01/2027
93.964 5.27% 2,161,172.00 8,855.00 2,170,027.00 0.00
Purchase 09/15/2023 161571HT4 2,025,000.00 Chase Issuance Trust 23-A1 A
5.16% Due: 09/15/2028
99.972 5.23% 2,024,438.67 0.00 2,024,438.67 0.00
Subtotal 44,125,000.00 43,584,361.70 137,550.98 43,721,912.68 0.00 TOTAL ACQUISITIONS 44,125,000.00 43,584,361.70 137,550.98 43,721,912.68 0.00
DISPOSITIONS
Redemption 09/15/2023 06406RBC0 660,000.00 Bank of NY Mellon Corp Callable Note Cont 3/25/2025
3.35% Due: 04/25/2025
96.964 3.35% 639,962.40 8,536.92 648,499.32 0.00
Subtotal 660,000.00 639,962.40 8,536.92 648,499.32 0.00 Maturity 07/10/2023 3135G05G4 1,800,000.00 FNMA Note
0.25% Due: 07/10/2023
100.000 1,800,000.00 0.00 1,800,000.00 0.00
June 30, 2023 through September 30, 2023
As of September 30, 2023
42 Transaction Ledger
City of San Leandro - Account #460
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount InterestPur/Sold Total Amount Gain/Loss Maturity 07/24/2023 90331HNV1 500,000.00 US Bank NA Callable Note Cont 6/23/2023
3.4% Due: 07/24/2023
100.000 500,000.00 0.00 500,000.00 0.00
Maturity 08/15/2023 91282CAF8 1,750,000.00 US Treasury Note
0.125% Due: 08/15/2023
100.000 1,750,000.00 0.00 1,750,000.00 0.00
Maturity 08/24/2023 3137EAEV7 2,000,000.00 FHLMC Note
0.25% Due: 08/24/2023
100.000 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 09/06/2023 3130ATB71 3,000,000.00 FHLB Note
3.625% Due: 09/06/2023
100.000 3,000,000.00 0.00 3,000,000.00 0.00
Maturity 09/07/2023 912796YH6 5,000,000.00 US Treasury Bill
5.259% Due: 09/07/2023
100.000 5,000,000.00 0.00 5,000,000.00 0.00
Maturity 09/30/2023 9128285D8 1,000,000.00 US Treasury Note
2.875% Due: 09/30/2023
100.000 1,000,000.00 0.00 1,000,000.00 0.00
Maturity 09/30/2023 912828T26 1,000,000.00 US Treasury Note
1.375% Due: 09/30/2023
100.000 1,000,000.00 0.00 1,000,000.00 0.00
Subtotal 16,050,000.00 16,050,000.00 0.00 16,050,000.00 0.00 TOTAL DISPOSITIONS 16,710,000.00 16,689,962.40 8,536.92 16,698,499.32 0.00 June 30, 2023 through September 30, 2023
As of September 30, 2023
43 Transaction Ledger
San Leandro Reporting - Account #461
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount InterestPur/Sold Total Amount Gain/Loss
DISPOSITIONS
Security
Withdrawal
09/30/2023 90LAIF$00 23,692,804.12 Local Agency Investment Fund State Pool 1.000 23,692,804.12 0.00 23,692,804.12 0.00 Subtotal 23,692,804.12 23,692,804.12 0.00 23,692,804.12 0.00 TOTAL DISPOSITIONS 23,692,804.12 23,692,804.12 0.00 23,692,804.12 0.00 June 30, 2023 through September 30, 2023
As of September 30, 2023
44 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 September 30, 2023
45 Benchmark Disclosures
ICE BofA 1-3 Yr US Treasury & Agency Index
The ICE BofA 1-3 Year US Treasury & Agency Index tracks the performance of US dollar denominated US Treasury and nonsubordinated US agency debt issued in the US domestic market. Qualifying securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch). Qualifying securities must have at least one year remaining term to final maturity and less than three years remaining term to final maturity, at least 18 months to maturity at time of issuance, a fixed coupon schedule, and a minimum amount outstanding of $1 billion for sovereigns and $250 million for agencies.
As of September 30, 2023
46