INVESTMENT REPORT
City of San Leandro | As of June 30, 2024
CHANDLER ASSET MANAGEMENT | chandlerasset.com
Chandler Team:
For questions about your account, please call (800) 317-4747, or contact [email protected]
Information contained herein is confidential. We urge you to compare this statement to the one you receive from your qualified custodian. Please see Important Disclosures at the end of the statement.
TABLE OF CONTENTS
City of San Leandro | As of June 30, 2024
ECONOMIC UPDATE
ACCOUNT PROFILE
CONSOLIDATED INFORMATION
PORTFOLIO HOLDINGS
TRANSACTIONS
1 ECONOMIC UPDATE
2 Economic Update
Recent economic data suggests positive but slower growth this year fueled by consumer spending. While the consumer has been resilient, growing credit card debt, higher delinquencies, and a moderating labor market pose potential headwinds to future economic growth.
Inflationary trends are subsiding, but core levels remain 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 loosen monetary policy in 2024.
As expected at the June meeting, the Federal Open Market Committee voted unanimously to leave the federal funds rate unchanged at a target range of 5.25-5.50%, emphasizing the need to see sustained evidence of easing inflation before considering any rate cuts. The FOMC's latest projections now suggest only one interest rate cut in 2024, with four more cuts expected in 2025 and a slightly higher longterm neutral rate. Additionally, the Fed continues to reduce its holdings of U.S. Treasury securities and agency mortgage-backed securities as per its predefined schedule of $25 billion and $35 billion per month.
The US Treasury yield curve shifted lower in June as economic data moderated. The 2-year Treasury yield fell 12 basis points to 4.76%, the 5-year Treasury dropped 13 basis points to 4.38%, and the 10-year Treasury yield declined 10 basis points to 4.40%. The inversion between the 2-year Treasury yield and 10-year Treasury yield remained relatively stable at -36 basis points at June month-end versus -37 basis points at May month-end. The spread between the 2-year Treasury and 10-year Treasury yield one year ago was -106 basis points. The inversion between 3-month and 10-year Treasuries widened to -96 basis points in June from -91 basis points in May. 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 206,000 jobs in June, remaining ahead of consensus expectations of 190,000 jobs. The gains were broad based, with government, health care, and social assistance posting the largest gains. The three-month moving average and six-month moving average payrolls have weakened from the first quarter to 177,000 and 222,000 respectively. The unemployment rate edged up to 4.1% in June, and the labor participation rate inched up to 62.6%, remaining below the pre-pandemic level of 63.3%. The U-6 underemployment rate, which includes those who are marginally attached to the labor force and employed part time for economic reasons held steady at
7.4%. Average hourly earnings rose 3.9% year-over-year in June, down from 4.1% year-over-year in May. The labor markets continue to show signs of cooling in line with the Federal Reserve’s view that there has been “substantial” progress towards better balance in the labor market between demand and supply for workers.
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 Labor Department’s Job Openings and Labor Turnover Survey (JOLTS) increased to 8.140 million job openings in May from a downwardly revised 7.919 million in April. Job openings still represent a healthy ratio of around 1.2 jobs for each unemployed individual.
While the current level of job openings remains elevated from a historical perspective, the trend is decelerating.
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
In June, the Consumer Price Index (CPI) declined 0.1% month-over-month and rose 3.0% year-over-year, reflecting broad-based cost reductions. The month-over-month drop was the first deflationary data point since the pandemic. The Core CPI, which excludes volatile food and energy components, was up just 0.1% month-over-month and 3.3% year-over-year in June, down from 3.4% in May and lower than expected. The Personal Consumption Expenditures (PCE) Index rose 0.1% from the previous month and 2.5% year-over-year in June.
The Core PCE deflator (the Fed’s preferred gauge) increased 0.2% month-over-month and 2.6% over the past year, still above the Fed’s 2% inflation target. Much of the lingering inflation has been driven by shelter costs and demand for services, but recent data provide confirmation that inflation is moderating.
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
Retail Sales were unchanged month-over-month in June after an upwardly revised 0.3% gain in May. On a year-over-year basis, Retail Sales growth further slowed to 2.3% in June from 2.6% in May. Nonstore retailers were a bright spot in June, while motor vehicle and gasoline sales declined. The Conference Board’s Consumer Confidence Index fell to 100.4 in June from 101.3 in May. While the present situation component rose marginally, consumers are less optimistic about future expectations for business conditions and potential income increases. While the consumer has been resilient, consumption has begun to moderate in the face of higher interest rates, rising credit card balances, and growing delinquencies.
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) 7 Leading Indicators of Economic Activity
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
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 0.2% in June following a 0.4% decline in May. The index dropped 4.8% year-overyear. The report stated that "due to the smaller month-on-month rate of decline, the LEI's long-term growth has become less negative, pointing to a slow recovery.” The Chicago Fed National Activity Index (CFNAI) decreased to 0.05 in June from 0.23 in May, surpassing consensus expectations. The three-month moving average rose to -0.01 in June from -0.08 in May, indicating slightly below-trend growth expectations for the economy.
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
Housing starts jumped 3.0% month-over-month in June to a higher-than-expected 1.353 million units, driven primarily by the multi-family category. Starts were down 4.4% year-over-year. The Freddie Mac average rate for a 30-year fixed mortgage edged down to 6.92% in June from 7.06% in May. According to the Case-Shiller 20-City Home Price Index, housing prices rose a higher-than-expected 7.2% yearover-year in April versus March's upwardly revised 7.5% increase. 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 edged down to 48.5 in June from 48.7 in May. While new orders picked up, prices paid for materials fell the most in over a year. The ISM Services Index returned to contraction declining to 48.8 in June, from
53.8 in the previous month. Although the level of the decline was a surprise, the trend in the Services PMI, which applies to a larger share of US economic output, has been steadily decreasing.
Source: Institute for Supply Management
10 Gross Domestic Product (GDP)
Components of GDP 9/23 12/23 3/24 6/24
2.1% 2.2% 1.0% 1.6%
1.7% 0.2% 0.8% 1.5%
0.0% 0.3% -0.7% -0.7%
0.5% 0.2% 0.0% 0.3%
0.5% 0.6% 0.3% 0.3%
4.9% 3.4% 1.4% 2.8%
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 The advance estimate for second quarter GDP came in higher than expected at 2.8%, beating consensus expectations and 1.4% growth in the first quarter. Personal consumption was the largest contributor to GDP, mostly due to outlays for necessities such as health care, housing, and utilities. The strong reading was also driven by business capital investment and an increase in auto inventories as car dealerships grappled with a software cyberattack. The consensus projection calls for 1.5% growth in the third quarter and 2.3% growth for the full year 2024.
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 expected at the June meeting, the Federal Open Market Committee voted unanimously to leave the federal funds rate unchanged at a target range of 5.25-5.50%, emphasizing the need to see sustained evidence of easing inflation before considering any rate cuts. The FOMC's latest projections now suggest only one interest rate cut in 2024, with four more cuts expected in 2025 and a slightly higher longterm neutral rate. The Fed’s inflation projections ticked up marginally, while unemployment and GDP growth forecasts remained steady.
Additionally, the Fed continues to reduce its holdings of U.S. Treasury securities and agency mortgage-backed securities as per its predefined schedule of $25 billion and $35 billion per month. Since the Fed began its Quantitative Tightening campaign in June 2022, securities holdings have declined by approximately $1.7T to approximately $7.3T.
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
Jun-24
Mar-24
Jun-23
Yield (%)
At the end of June, the 2-year Treasury yield was 15 basis points lower, and the 10-Year Treasury yield was 56 basis points higher, yearover-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield remained relatively stable at -36 basis points at June month-end versus -37 basis points at May month-end. The inversion has occurred since July 2022 and remains historically long. The average historical spread (since 2003) is about +130 basis points. The inversion between 3-month and 10-year Treasuries widened to -96 basis points in June from -91 basis points in May.
13 ACCOUNT PROFILE
14 OBJECTIVES
City of San Leandro | As of June 30, 2024
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.
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 ofsimilar duration and sector allocation.
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.
15 STATEMENT OF COMPLIANCE
City of San Leandro | Account #460 | As of June 30, 2024 Rules Name Limit Actual Compliance
Status Notes
AGENCY MORTGAGE SECURITIES (CMOS)
Max % (MV) 20.0 1.0 Compliant
ASSET-BACKED SECURITIES (ABS)
Max % (MV) 20.0 10.9 Compliant
Max % Issuer (MV) 5.0 1.3 Compliant
Max Maturity (Years) 5 4 Compliant
Min Rating (AA- by 1) 0.0 0.0 Compliant
BANKERS' ACCEPTANCES
Max % (MV) 40.0 0.0 Compliant
Max % Issuer (MV) 30.0 0.0 Compliant
Max Maturity (Days) 180 0.0 Compliant
Min Rating (A-1 by 1) 0.0 0.0 Compliant
COMMERCIAL PAPER
Max % (MV) 25.0 0.0 Compliant
Max % Issuer (MV) 10.0 0.0 Compliant
Max Maturity (Days) 270 0.0 Compliant
Min Rating (A-1/P-1 & A- Issuer by S&P and Moody's) 0.0 0.0 Compliant
CORPORATE MEDIUM TERM NOTES
Max % (MV) 30.0 23.0 Compliant
Max Maturity (Years) 5 4 Compliant
Min Rating (A- by 1) 0.0 0.0 Compliant
FDIC INSURED TIME DEPOSITS (NON-NEGOTIABLE CD/
TD)
Max Maturity (Years) 5 0.0 Compliant
FEDERAL AGENCIES
Max % (MV; Agencies & Agency CMOs) 100.0 20.8 Compliant Max Maturity (Years) 5 3 Compliant
MONEY MARKET MUTUAL FUNDS
Max % (MV) 20.0 0.0 Compliant
Min Rating (AAA by 2) 0.0 0.0 Compliant
16 STATEMENT OF COMPLIANCE
City of San Leandro | Account #460 | As of June 30, 2024 Rules Name Limit Actual Compliance
Status Notes
MORTGAGE-BACKED SECURITIES (NON-AGENCY)
Max % (MV) 20.0 0.0 Compliant
Max % Issuer (MV) 5.0 0.0 Compliant
Max Maturity (Years) 5.0 0.0 Compliant
Min Rating (AA- by 1) 0.0 0.0 Compliant
NEGOTIABLE CERTIFICATES OF DEPOSIT (NCD )
Max % (MV) 30.0 0.0 Compliant
Max Maturity (Years) 5 0.0 Compliant
SRI PROHIBITED INVESTMENTS
Prohibited Investment - Fossil Fuels 0.0 0.0 Compliant
Prohibited Investments - Firearms 0.0 0.0 Compliant
Prohibited Investments - Tobacco 0.0 0.0 Compliant
SUPRANATIONAL OBLIGATIONS
Max % (MV) 30.0 1.2 Compliant
Max % Issuer (MV) 10.0 1.2 Compliant
Max Maturity (Years) 5 4 Compliant
Min Rating (AA- by 1) 0.0 0.0 Compliant
U.S. TREASURIES
Max % (MV) 100.0 43.2 Compliant
Max Maturity (Years) 5 3 Compliant
17 PORTFOLIO CHARACTERISTICS
City of San Leandro | Account #460 | As of June 30, 2024 Benchmark*
6/30/2024
Portfolio
3/31/2024
Portfolio
Average Maturity (yrs) 1.84 2.07 2.07
Average Modified Duration 1.75 1.72 1.87
Average Purchase Yield 3.88% 3.59%
Average Market Yield 4.81% 4.99% 4.88%
Average Quality** AA+ AA AA
Total Market Value 202,389,343 190,353,797
*Benchmark: ICE BofA 1-3 Year US Treasury & Agency Index **The credit quality is a weighted average calculation of the highest of S&P, Moody’s and Fitch. 18 SECTOR DISTRIBUTION
City of San Leandro | Account #460 | As of June 30, 2024 Sector as a Percentage of Market Value
Sector 06/30/2024 03/31/2024
US Treasury 43.2% 41.3%
Corporate 23.0% 24.3%
Agency 20.7% 22.1%
ABS 10.9% 9.4%
Supras 1.2% 1.2%
Agency CMBS 1.0% --
Cash 0.0% 1.2%
Money Mkt Fd 0.0% 0.4%
19 ISSUERS
City of San Leandro | Account #460 | As of June 30, 2024 Issuer Investment Type % Portfolio
United States US Treasury 43.21%
Federal Home Loan Banks Agency 13.00%
Farm Credit System Agency 3.22%
FNMA Agency 2.48%
FHLMC Agency 2.01%
Chase Issuance Trust ABS 1.62%
American Express Credit Master Trust ABS 1.61%
John Deere Owner Trust ABS 1.41%
Bank of America Corporation Corporate 1.36%
Royal Bank of Canada Corporate 1.36%
UnitedHealth Group Incorporated Corporate 1.29%
Bank of Montreal Corporate 1.25%
BNY Mellon Corp Corporate 1.23%
The Toronto-Dominion Bank Corporate 1.20%
International Finance Corporation Supras 1.16%
Apple Inc. Corporate 1.11%
Comcast Corporation Corporate 1.10%
Morgan Stanley Corporate 1.06%
Honda Auto Receivables Owner Trust ABS 1.00%
PepsiCo, Inc. Corporate 0.97%
Honeywell International Inc. Corporate 0.97%
Visa Inc. Corporate 0.97%
FHLMC Agency CMBS 0.96%
Prologis, Inc. Corporate 0.94%
JPMorgan Chase & Co. Corporate 0.94%
BMW Vehicle Owner Trust ABS 0.93%
Amazon.com, Inc. Corporate 0.83%
PACCAR Inc Corporate 0.83%
20 ISSUERS
City of San Leandro | Account #460 | As of June 30, 2024 Issuer Investment Type % Portfolio
Hyundai Auto Receivables Trust ABS 0.80%
Caterpillar Inc. Corporate 0.78%
Merck & Co., Inc. Corporate 0.73%
Toyota Motor Corporation Corporate 0.68%
GM Financial Securitized Term ABS 0.67%
National Rural Utilities Cooperative Corporate 0.67%
GM Financial Automobile Leasing Trus ABS 0.67%
Bank of America Credit Card Trust ABS 0.51%
Cisco Systems, Inc. Corporate 0.51%
U.S. Bancorp Corporate 0.50%
Deere & Company Corporate 0.49%
Walmart Inc. Corporate 0.49%
Northern Trust Corporation Corporate 0.49%
Toyota Auto Receivables Owner Trust ABS 0.46%
Hyundai Auto Lease Securitization Tr ABS 0.34%
Toyota Lease Owner Trust ABS 0.33%
MERCEDES-BENZ AUTO RECEIVABLES TRUST ABS 0.25%
Mercedes-Benz Auto Lease Trust ABS 0.25%
The Charles Schwab Corporation Corporate 0.23%
BMW Vehicle Lease Trust ABS 0.09%
Cash Cash 0.03%
Federated Hermes, Inc. Money Mkt Fd 0.03%
TOTAL 100.00%
21 QUALITY DISTRIBUTION
Rating 06/30/2024 03/31/2024
AAA 16.2% 15.1%
AA 62.4% 62.3%
A 19.1% 20.3%
NR 2.3% 2.3%
Rating 06/30/2024 03/31/2024
AAA 71.6% 71.2%
AA 1.5% 1.6%
A 20.4% 21.7%
NR 6.5% 5.6%
Rating 06/30/2024 03/31/2024
AAA 16.2% 14.3%
AA 65.2% 66.0%
A 8.3% 9.6%
NR 10.3% 10.2%
City of San Leandro | Account #460 | As of June 30, 2024 S&P Rating Moody’s Rating Fitch Rating
22 0-.25 .25-.5 .5-1 1-2 2-3 3-4 4-5 5-7 7+
Portfolio 9.5% 4.5% 15.4% 28.5% 29.8% 12.2% 0.0% 0.0% 0.0% ICE BofA 1-3 Year US Treasury & Agency
Index
0.0% 0.1% 3.9% 58.4% 37.6% 0.0% 0.0% 0.0% 0.0%
DURATION DISTRIBUTION
City of San Leandro | Account #460 | As of June 30, 2024 Portfolio Compared to the Benchmark
23 3 Months 12 Months 2 Years 3 Years 5 Years 10 Years Since Inception
TOTAL RATE OF RETURN
City of San Leandro 1.03% 4.93% 2.91% 0.92% 1.40% 1.42% 2.01% Benchmark 0.94% 4.54% 2.31% 0.41% 1.06% 1.14% 1.89%
*Periods over 1 year are annualized.
Benchmark: ICE BofA 1-3 Year US Treasury & Agency Index 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 market value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
INVESTMENT PERFORMANCE
City of San Leandro | Account #460 | As of June 30, 2024 Total Rate of Return : Inception | 05/01/2004
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
12 months 2 years 3 years 5 years 10 years Since Inception City of San Leandro ICE BofA 1-3 Yr US Treasury & Agency Index 24 PORTFOLIO CHARACTERISTICS
City of San Leandro Reporting | Account #461 | As of June 30, 2024 6/30/2024
Portfolio
3/31/2024
Portfolio
Average Maturity (yrs) 0.00 0.00
Average Modified Duration 0.00 0.00
Average Purchase Yield 1.53% 0.90%
Average Market Yield 1.53% 0.90%
Average Quality** AAA AAA
Total Market Value 32,516,436 41,895,310
*Benchmark: NO BENCHMARK REQUIRED
**The credit quality is a weighted average calculation of the highest of S&P, Moody’s and Fitch. 25 SECTOR DISTRIBUTION
City of San Leandro Reporting | Account #461 | As of June 30, 2024 Sector as a Percentage of Market Value
Sector 06/30/2024 03/31/2024
Cash 66.5% 79.0%
LAIF 33.5% 21.0%
26 As of March 31, 2024 HISTORICAL AVERAGE MARKET YIELD TO MATURITY City of San Leandro | As of June 30, 2024
City of San Leandro Reserve
Portfolio 2021 2022 2023 2024
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 0.27% 0.18% 1.95% 2.18% 4.43% 4.20% 4.88% 4.73%
2Q 0.33% 0.24% 2.90% 2.95% 5.07% 5.02% 4.99% 4.81%
3Q 0.35% 0.27% 4.31% 4.30% 5.31% 5.15%
4Q 0.71% 0.68% 4.55% 4.51% 4.63% 4.37%
* G1A0 1-3 Year US Treasury and Agency Index
source: Chandler Quarterly Report
27 CONSOLIDATED INFORMATION
28 PORTFOLIO CHARACTERISTICS
City of San Leandro Cons | Account #462 | As of June 30, 2024 6/30/2024
Portfolio
3/31/2024
Portfolio
Average Maturity (yrs) 1.78 1.70
Average Modified Duration 1.48 1.50
Average Purchase Yield 3.55% 3.10%
Average Market Yield 4.51% 4.16%
Average Quality** AA AA
Total Market Value 234,905,779 232,249,107
*Benchmark: NO BENCHMARK REQUIRED
**The credit quality is a weighted average calculation of the highest of S&P, Moody’s and Fitch. 29 SECTOR DISTRIBUTION
City of San Leandro Cons | Account #462 | As of June 30, 2024 Sector as a Percentage of Market Value
Sector 06/30/2024 03/31/2024
US Treasury 37.2% 33.8%
Corporate 19.8% 19.9%
Agency 17.8% 18.1%
ABS 9.4% 7.7%
Cash 9.3% 15.3%
LAIF 4.7% 3.8%
Supras 1.0% 1.0%
Agency CMBS 0.8% --
Money Mkt Fd 0.0% 0.4%
30 PORTFOLIO HOLDINGS
31 HOLDINGS REPORT
City of San Leandro | Account #460 | As of June 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
ABS
47788UAC6 JDOT 2021 A3 0.36 09/15/2025 25,101.83 03/02/2021 25,097.00 99.37 24,943.92 0.01% Aaa/NA 1.21
0.37% 25,100.78 4.93% 4.02 (156.85) AAA 0.14
05593AAC3 BMWLT 2023-1 A3 5.16 11/25/2025 180,564.21 02/07/2023 180,559.91 99.81 180,227.41 0.09% Aaa/AAA 1.41
5.43% 180,562.04 5.69% 155.29 (334.64) NA 0.42
43815GAC3 HAROT 2021-4 A3 0.88 01/21/2026 145,845.01 11/16/2021 145,814.27 97.97 142,877.52 0.07% Aaa/NA 1.56
0.89% 145,834.80 4.64% 35.65 (2,957.28) AAA 0.55
44935FAD6 HART 2021-C A3 0.74 05/15/2026 98,282.68 11/09/2021 98,260.75 98.36 96,670.97 0.05% NA/AAA 1.87
0.75% 98,274.96 4.11% 32.32 (1,603.98) AAA 0.49
43815BAC4 HAROT 2022-1 A3 1.88 05/15/2026 365,323.83 02/15/2022 365,268.89 98.11 358,408.77 0.18% Aaa/AAA 1.87
1.89% 365,301.65 4.63% 305.25 (6,892.89) NA 0.70
05602RAD3 BMWOT 2022-A A3 3.21 08/25/2026 622,217.43 01/04/2023 606,540.47 98.66 613,897.76 0.31% Aaa/AAA 2.15
4.72% 613,031.20 4.97% 332.89 866.56 NA 0.78
47787JAC2 JDOT 2022 A3 0.36 09/15/2026 249,871.80 03/10/2022 249,816.53 98.03 244,956.50 0.12% Aaa/NA 2.21
2.34% 249,846.58 5.46% 257.65 (4,890.09) AAA 0.64
89238FAD5 TAOT 2022-B A3 2.93 09/15/2026 282,960.42 04/07/2022 282,953.80 98.46 278,604.02 0.14% Aaa/AAA 2.21
3.09% 282,957.93 4.91% 368.48 (4,353.91) NA 0.82
362554AC1 GMCAR 2021-4 A3 0.68 09/16/2026 122,998.44 10/13/2021 122,995.30 97.67 120,135.60 0.06% Aaa/AAA 2.21
0.68% 122,997.56 4.17% 34.85 (2,861.96) NA 0.69
380146AC4 GMCAR 2022-1 A3 1.26 11/16/2026 128,595.62 01/11/2022 128,584.45 97.78 125,746.82 0.06% NA/AAA 2.38
1.27% 128,590.80 4.27% 67.51 (2,843.98) AAA 0.76
362585AC5 GMCAR 2022-2 A3 3.1 02/16/2027 262,454.79 04/05/2022 262,399.94 98.42 258,308.27 0.13% Aaa/AAA 2.63
3.13% 262,427.50 4.81% 339.00 (4,119.23) NA 0.97
47800AAC4 JDOT 2022-B A3 3.74 02/16/2027 497,288.45 07/12/2022 497,240.96 98.59 490,276.68 0.24% Aaa/NA 2.63
3.77% 497,262.20 5.33% 826.60 (6,985.51) AAA 0.88
448988AD7 HALST 24A A3 5.02 03/15/2027 685,000.00 01/17/2024 684,870.19 99.58 682,104.98 0.34% NA/AAA 2.71
5.03% 684,888.20 5.37% 1,528.31 (2,783.22) AAA 1.63
36269FAD8 GMALT 2024-1 A3 5.09 03/22/2027 650,000.00 02/08/2024 649,918.75 99.52 646,878.05 0.32% NA/AAA 2.73
5.09% 649,928.59 5.46% 1,010.93 (3,050.54) AAA 1.65
448979AD6 HART 2023-A A3 4.58 04/15/2027 760,000.00 04/04/2023 759,925.82 99.12 753,321.35 0.37% NA/AAA 2.79
5.14% 759,948.42 5.24% 1,547.02 (6,627.07) AAA 1.47
32 HOLDINGS REPORT
City of San Leandro | Account #460 | As of June 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
89238GAD3 TLOT 2024-A A3 5.25 04/20/2027 655,000.00 02/21/2024
5.25%
654,972.36
654,975.37
99.99 5.36%
654,908.69
1,050.73
0.33%
(66.68)
NA/AAA
AAA
2.80 1.72
43815JAC7 HAROT 2023-1 A3 5.04 04/21/2027 420,000.00 02/16/2023
5.09%
419,921.96
419,947.32
99.58 5.40%
418,244.95
588.00
0.21%
(1,702.38)
Aaa/NA
AAA
2.81 1.44
02582JJT8 AMXCA 2022-2 A 05/17/2027 1,105,000.00 05/17/2022
3.42%
1,104,755.57
1,104,898.56
98.21 5.54%
1,085,220.50
1,664.87
0.54%
(19,678.06)
NA/AAA
AAA
0.87 0.92
47800BAC2 JDOT 2022-C A3 5.09 06/15/2027 915,000.00 10/12/2022
5.15%
914,929.00
914,955.74
99.64 5.50%
911,732.63
2,069.93
0.45%
(3,223.12)
Aaa/NA
AAA
2.96 1.05
36269WAD1 GMALT 2024-2 A3 5.39 07/20/2027 690,000.00 05/07/2024
5.85%
689,959.91
689,961.50
100.29
5.30%
691,999.00
1,136.39
0.34%
2,037.50
NA/AAA
AAA
3.05 1.71
58770AAC7 MBART 2023-1 A3 4.51 11/15/2027 515,000.00 01/18/2023
4.56%
514,938.20
514,956.86
98.98 5.18%
509,767.75
1,032.29
0.25%
(5,189.10)
NA/AAA
AAA
3.38 1.54
47800CAC0 JDOT 2023 A3 5.01 11/15/2027 800,000.00 02/22/2023
3.39%
799,854.24
799,895.53
99.54 5.38%
796,351.44
1,781.33
0.40%
(3,544.09)
Aaa/NA
AAA
3.38 1.52
58770JAD6 MBALT 2024-A A3 5.32 01/18/2028 500,000.00 05/17/2024
5.73%
499,941.50
499,943.21
100.29
5.25%
501,431.70
1,182.22
0.25%
1,488.49
Aaa/NA
AAA
3.55 2.00
362583AD8 GMCAR 2023-2 A3 4.47 02/16/2028 570,000.00 04/04/2023
4.51%
569,984.33
569,988.28
98.90 5.10%
563,709.99
1,061.63
0.28%
(6,278.28)
Aaa/AAA
NA
3.63 1.96
05592XAD2 BMWOT 2023-A A3 5.47 02/25/2028 340,000.00 07/11/2023
5.47%
339,939.75
339,952.24
100.31
5.39%
341,065.36
309.97
0.17%
1,113.11
NA/AAA
AAA
3.66 1.96
02582JJZ4 AMXCA 2023-1 A 4.87 05/15/2028 625,000.00 06/07/2023
4.87%
624,944.56
624,956.38
99.56 5.20%
622,221.19
1,352.78
0.31%
(2,735.19)
NA/AAA
AAA
3.88 1.74
438123AC5 HAROT 2023-4 A3 5.67 06/21/2028 420,000.00 11/01/2023
5.74%
419,926.04
419,936.39
100.88
5.37%
423,703.01
661.50
0.21%
3,766.63
Aaa/NA
AAA
3.98 2.28
89239FAD4 TAOT 2023-D A3 5.54 08/15/2028 645,000.00 11/07/2023
6.30%
644,930.47
644,939.68
100.71
5.32%
649,607.17
1,588.13
0.32%
4,667.49
NA/AAA
AAA
4.13 2.51
161571HT4 CHAIT 2023-1 A 5.16 09/15/2028 2,025,000.00 09/07/2023
5.17%
2,024,438.67
2,024,527.77
100.26
5.11%
2,030,169.42
4,644.00
1.01%
5,641.65
NR/AAA
AAA
4.21 2.03
47800RAD5 JDOT 2024 A3 4.96 11/15/2028 360,000.00 03/11/2024
5.12%
359,979.84
359,981.07
99.61 5.22%
358,583.29
793.60
0.18%
(1,397.78)
Aaa/NA
AAA
4.38 2.07
437930AC4 HONDO-242-A3 5.27 11/20/2028 655,000.00 05/14/2024
5.27%
654,920.42
654,922.40
100.27
5.21%
656,767.91
1,246.50
0.33%
1,845.51
NA/AAA
AAA
4.39 2.06
33 HOLDINGS REPORT
City of San Leandro | Account #460 | As of June 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
36268GAD7 GMCAR 2024-1 A3 4.85 12/18/2028 290,000.00 01/09/2024 289,941.68 99.39 288,239.41 0.14% Aaa/NA 4.47
4.91% 289,947.07 5.13% 586.04 (1,707.66) AAA 2.77
161571HV9 CHAIT 241 A 4.6 01/16/2029 1,245,000.00 01/24/2024 1,244,810.39 99.08 1,233,551.73 0.61% NR/AAA 4.55
4.61% 1,244,826.30 5.17% 2,545.33 (11,274.57) AAA 2.41
448973AD9 HART 2024-A A3 4.99 02/15/2029 765,000.00 03/11/2024 764,831.32 99.63 762,187.02 0.38% NA/AAA 4.63
5.05% 764,841.01 5.24% 1,696.60 (2,653.99) AAA 2.05
096919AD7 BMWOT 2024-A A3 5.18 02/26/2029 905,000.00 06/04/2024 904,862.53 100.10 905,894.05 0.45% Aaa/AAA 4.66
5.18% 904,864.13 5.21% 2,604.39 1,029.92 NA 2.10
02582JKH2 AMXCA 2024-1 A 5.23 04/16/2029 1,520,000.00 04/16/2024 1,519,688.40 100.94 1,534,227.81 0.76% NA/AAA 4.79
5.30% 1,519,700.22 4.99% 3,533.16 14,527.59 AAA 2.53
05522RDJ4 BACCT 2024-1 A 4.93 03/15/2029 1,020,000.00 06/06/2024 1,019,942.78 100.04 1,020,404.53 0.51% Aaa/AAA 4.71
4.93% 1,019,943.37 4.99% 2,514.30 461.16 NA 2.61
22,042,660.94 99.63 21,977,347.16 10.94% Aaa/AAA 3.50
Total ABS 22,061,504.52 4.74% 22,049,813.60 5.20% 42,489.46 (72,466.43) AAA 1.76 AGENCY
3130A2UW4 FEDERAL HOME LOAN BANKS 2.875 1,200,000.00 11/14/2019 1,264,920.00 99.48 1,193,789.68 0.59% Aaa/AA+ 0.21 09/13/2024 1.73% 1,202,723.40 5.41% 10,350.00 (8,933.73) AA+ 0.20 3135G0W66 FEDERAL NATIONAL MORTGAGE 2,000,000.00 10/17/2019 1,998,140.00 98.97 1,979,371.08 0.99% Aaa/AA+ 0.29 ASSOCIATION 1.625 10/15/2024 1.64% 1,999,891.73 5.20% 6,861.11 (20,520.65) AA+ 0.29 3130A3GE8 FEDERAL HOME LOAN BANKS 2.75 1,500,000.00 12/10/2019 1,571,250.00 98.82 1,482,240.00 0.74% Aaa/AA+ 0.45 12/13/2024 1.78% 1,506,434.73 5.42% 2,062.50 (24,194.73) AA+ 0.44 3135G0X24 FEDERAL NATIONAL MORTGAGE 2,100,000.00 -- 2,111,993.00 98.13 2,060,819.23 1.03% Aaa/AA+ 0.52 ASSOCIATION 1.625 01/07/2025 1.51% 2,101,264.62 5.31% 16,493.75 (40,445.40) AA+ 0.50 3137EAEP0 FEDERAL HOME LOAN MORTGAGE 2,000,000.00 03/24/2020 2,051,940.00 97.70 1,953,982.76 0.97% Aaa/AA+ 0.62 CORP 1.5 02/12/2025 0.96% 2,006,576.16 5.34% 11,583.33 (52,593.40) AA+ 0.60 3130AWLY4 FEDERAL HOME LOAN BANKS 5.125 3,000,000.00 07/18/2023 3,014,549.58 99.94 2,998,290.00 1.49% Aaa/AA+ 0.95 06/13/2025 4.86% 3,007,264.32 5.18% 7,687.50 (8,974.32) AA+ 0.92 3135G05X7 FEDERAL NATIONAL MORTGAGE 1,000,000.00 10/20/2020 995,420.00 94.81 948,103.18 0.47% Aaa/AA+ 1.15 ASSOCIATION 0.375 08/25/2025 0.47% 998,912.60 5.07% 1,312.50 (50,809.42) AA+ 1.12 3130AWS92 FEDERAL HOME LOAN BANKS 4.875 3,000,000.00 10/18/2023 2,976,720.00 100.05 3,001,542.03 1.49% Aaa/AA+ 1.20 09/12/2025 5.30% 2,985,307.44 4.82% 44,281.25 16,234.59 AA+ 1.14 34 HOLDINGS REPORT
City of San Leandro | Account #460 | As of June 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
3137EAEX3 FEDERAL HOME LOAN MORTGAGE 2,200,000.00 09/28/2020 2,195,512.00 94.51 2,079,261.82 1.03% Aaa/AA+ 1.23 CORP 0.375 09/23/2025 0.42% 2,198,892.79 5.03% 2,245.83 (119,630.97) AA+ 1.20 3130AWGR5 FEDERAL HOME LOAN BANKS 4.375 3,000,000.00 07/10/2023 2,976,060.00 99.16 2,974,911.87 1.48% Aaa/AA+ 1.95 06/12/2026 4.67% 2,984,047.48 4.83% 6,927.08 (9,135.61) AA+ 1.84 3133EPQC2 FEDERAL FARM CREDIT BANKS 3,000,000.00 07/21/2023 3,005,010.00 99.68 2,990,498.82 1.49% Aaa/AA+ 2.05 FUNDING CORP 4.625 07/17/2026 4.56% 3,003,432.01 4.79% 63,208.33 (12,933.19) AA+ 1.89 3133EPSW6 FEDERAL FARM CREDIT BANKS 3,500,000.00 -- 3,481,589.75 99.49 3,482,006.15 1.73% Aaa/AA+ 2.12 FUNDING CORP 4.5 08/14/2026 4.70% 3,486,454.32 4.76% 59,937.50 (4,448.17) AA+ 1.97 3130AWTQ3 FEDERAL HOME LOAN BANKS 4.625 3,000,000.00 09/11/2023 2,984,760.00 99.78 2,993,452.80 1.49% Aaa/AA+ 2.20 09/11/2026 4.80% 2,988,837.92 4.73% 42,395.83 4,614.88 AA+ 2.04 3130AXU63 FEDERAL HOME LOAN BANKS 4.625 2,790,000.00 11/16/2023 2,785,061.70 99.90 2,787,195.69 1.39% Aaa/AA+ 2.38 11/17/2026 4.69% 2,786,084.50 4.67% 15,771.25 1,111.18 AA+ 2.22 3130AYPN0 FEDERAL HOME LOAN BANKS 4.125 3,000,000.00 01/30/2024 2,995,650.00 98.83 2,964,864.60 1.48% Aaa/AA+ 2.54 01/15/2027 4.18% 2,996,262.22 4.62% 52,250.00 (31,397.62) AA+ 2.34 3130B0TY5 FEDERAL HOME LOAN BANKS 4.75 1,730,000.00 04/10/2024 1,725,432.80 100.28 1,734,908.81 0.86% Aaa/AA+ 2.77 04/09/2027 4.85% 1,725,771.27 4.64% 18,261.11 9,137.54 AA+ 2.55 3130ATS57 FEDERAL HOME LOAN BANKS 4.5 2,000,000.00 03/21/2023 2,045,140.00 99.88 1,997,546.06 0.99% Aaa/AA+ 3.70 03/10/2028 3.99% 2,033,525.47 4.53% 27,750.00 (35,979.41) AA+ 3.32 3130AWMN7 FEDERAL HOME LOAN BANKS 4.375 2,000,000.00 07/26/2023 2,008,820.00 99.58 1,991,642.20 0.99% Aaa/AA+ 3.94 06/09/2028 4.27% 2,007,134.33 4.49% 5,347.22 (15,492.13) AA+ 3.57 42,187,968.83 99.06 41,614,426.77 20.71% Aaa/AA+ 1.78
Total Agency 42,020,000.00 3.69% 42,018,817.32 4.89% 394,726.11 (404,390.55) AA+ 1.65
AGENCY CMBS
3137FJEH8 FHMS K-081 A2 3.9 08/25/2028 2,000,000.00 05/28/2024 1,915,625.00 96.48 1,929,637.40 0.96% Aaa/AA+ 4.15
5.00% 1,917,342.42 4.82% 6,500.00 12,294.98 AAA 3.71
1,915,625.00 96.48 1,929,637.40 0.96% Aaa/AA+ 4.15
Total Agency CMBS 2,000,000.00 5.00% 1,917,342.42 4.82% 6,500.00 12,294.98 AAA 3.71 CASH
35 HOLDINGS REPORT
City of San Leandro | Account #460 | As of June 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
CCYUSD Receivable 58,337.70 -- 58,337.70 1.00 58,337.70 0.03% Aaa/AAA 0.00
0.00% 58,337.70 0.00% 0.00 0.00 AAA 0.00
58,337.70 1.00 58,337.70 0.03% Aaa/AAA 0.00
Total Cash 58,337.70 0.00% 58,337.70 0.00% 0.00 0.00 AAA 0.00
CORPORATE
91159HHX1 US BANCORP 2.4 07/30/2024 1,000,000.00 06/14/2022 973,200.00 99.72 997,223.53 0.50% A3/A 0.08
3.71% 998,997.16 5.69% 10,066.67 (1,773.63) A 0.08
63743HEY4 NATIONAL RURAL UTILITIES 1,000,000.00 06/14/2022 935,890.00 98.63 986,310.26 0.49% A2/A- 0.30 COOPERATIVE FINANCE CORP 1.0 3.85% 991,826.91 5.63% 2,027.78 (5,516.65) A 0.30 10/18/2024
89236TJT3 TOYOTA MOTOR CREDIT CORP 1.45 1,400,000.00 01/28/2022 1,388,856.00 97.92 1,370,874.48 0.68% A1/A+ 0.54 01/13/2025 1.73% 1,397,973.82 5.44% 9,473.33 (27,099.33) A+ 0.52 69371RQ66 PACCAR FINANCIAL CORP 1.8 1,700,000.00 04/20/2022 1,641,588.00 97.88 1,663,996.65 0.83% A1/A+ 0.61 02/06/2025 3.08% 1,687,413.67 5.43% 12,325.00 (23,417.02) NA 0.58 023135CE4 AMAZON.COM INC 3.0 04/13/2025 1,700,000.00 04/20/2022 1,702,822.00 98.21 1,669,568.67 0.83% A1/AA 0.79
2.94% 1,700,742.49 5.35% 11,050.00 (31,173.82) AA- 0.76 713448CT3 PEPSICO INC 2.75 04/30/2025 2,000,000.00 12/21/2022 1,922,140.00 97.88 1,957,612.22 0.97% A1/A+ 0.83
4.50% 1,972,535.99 5.38% 9,319.44 (14,923.77) WR 0.80
037833DT4 APPLE INC 1.125 05/11/2025 1,300,000.00 -- 1,264,519.00 96.50 1,254,556.72 0.62% Aaa/AA+ 0.86
2.14% 1,288,993.20 5.32% 2,031.25 (34,436.48) NA 0.84
14913R2V8 CATERPILLAR FINANCIAL SERVICES 585,000.00 05/10/2022 584,257.05 98.36 575,394.18 0.29% A2/A 0.87 CORP 3.4 05/13/2025 3.44% 584,785.79 5.35% 2,652.00 (9,391.61) A+ 0.84 78015K7H1 ROYAL BANK OF CANADA 1.15 1,800,000.00 -- 1,775,582.00 96.02 1,728,438.05 0.86% A1/A 0.94 06/10/2025 1.66% 1,791,858.72 5.53% 1,207.50 (63,420.68) AA- 0.92 63743HFE7 NATIONAL RURAL UTILITIES 375,000.00 04/27/2022 374,898.75 98.06 367,707.82 0.18% A2/A- 0.96 COOPERATIVE FINANCE CORP 3.45 3.46% 374,968.95 5.56% 575.00 (7,261.13) A 0.92 06/15/2025
14913R2Z9 CATERPILLAR FINANCIAL SERVICES 1,000,000.00 08/18/2022 1,000,270.00 98.21 982,090.01 0.49% A2/A 1.12 CORP 3.65 08/12/2025 3.64% 1,000,101.19 5.32% 14,093.06 (18,011.18) A+ 1.06 931142EW9 WALMART INC 3.9 09/09/2025 1,000,000.00 09/08/2022 1,002,740.00 98.56 985,646.63 0.49% Aa2/AA 1.19
3.80% 1,001,090.49 5.15% 12,133.33 (15,443.86) AA 1.13
36 HOLDINGS REPORT
City of San Leandro | Account #460 | As of June 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
92826CAD4 VISA INC 3.15 12/14/2025 2,000,000.00 12/21/2022
4.35%
1,933,300.00
1,967,417.02
97.25 5.13%
1,945,057.12
2,975.00
0.97%
(22,359.90)
Aa3/AANA1.46
1.40 24422EWP0 JOHN DEERE CAPITAL CORP 4.8
01/09/2026
1,000,000.00 01/04/2023
4.75%
1,001,220.00
1,000,620.02
99.38 5.23%
993,761.65
22,933.33
0.49%
(6,858.37)
A1/A
A+
1.53 1.42
037833BY5 APPLE INC 3.25 02/23/2026 1,000,000.00 05/09/2023
4.05%
979,180.00
987,700.06
97.20 5.04%
971,963.72
11,555.56
0.48%
(15,736.34)
Aaa/AA+
NA
1.65 1.56
46647PBH8 JPMORGAN CHASE & CO 2.005
03/13/2026
950,000.00 04/07/2021
1.20%
979,811.00
955,301.12
97.41 6.48%
925,400.56
5,714.25
0.46%
(29,900.56)
A1/AAA1.70
0.68 808513BR5 CHARLES SCHWAB CORP 1.15
05/13/2026
500,000.00 05/17/2021
1.17%
499,515.00
499,818.53
92.48 5.44%
462,382.43
766.67
0.23%
(37,436.10)
A2/AA1.87
1.80 91324PEC2 UNITEDHEALTH GROUP INC 1.15
05/15/2026
1,700,000.00 --
2.24%
1,627,818.00
1,667,203.55
92.96 5.14%
1,580,268.27
2,498.06
0.79%
(86,935.28)
A2/A+
A
1.87 1.81
89114TZD7 TORONTO-DOMINION BANK 1.2
06/03/2026
500,000.00 04/21/2022
3.58%
454,290.00
478,607.72
92.62 5.28%
463,091.72
466.67
0.23%
(15,516.01)
A1/A
AA1.931.86
61747YET8 MORGAN STANLEY 4.679
07/17/2026
685,000.00 07/18/2022
4.68%
685,000.00
685,000.00
99.02 6.32%
678,286.70
14,601.08
0.34%
(6,713.30)
A1/AA+2.05
0.99 438516BL9 HONEYWELL INTERNATIONAL INC
2.5 11/01/2026
1,000,000.00 12/15/2022
4.30%
936,170.00
961,467.10
94.51 5.02%
945,130.81
4,166.67
0.47%
(16,336.29)
A2/A
A
2.34 2.22
06051GLE7 BANK OF AMERICA CORP 5.08
01/20/2027
2,000,000.00 01/26/2023
4.98%
2,005,260.00
2,002,751.08
99.40 5.93%
1,987,996.40
45,437.78
0.99%
(14,754.68)
A1/AAA2.56
1.44 20030NBY6 COMCAST CORP 3.3 02/01/2027 2,300,000.00 09/11/2023
5.27%
2,161,172.00
2,193,943.04
95.85 5.03%
2,204,661.18
31,625.00
1.10%
10,718.14
A3/AA2.59
2.40 17275RBQ4 CISCO SYSTEMS INC 4.8 02/26/2027 1,020,000.00 02/21/2024
4.85%
1,018,674.00
1,018,826.44
99.73 4.91%
1,017,241.72
17,000.00
0.51%
(1,584.73)
A1/AANA2.66
2.43 665859AW4 NORTHERN TRUST CORP 4.0
05/10/2027
1,000,000.00 09/08/2022
4.09%
996,170.00
997,651.56
97.61 4.90%
976,140.17
5,666.67
0.49%
(21,511.39)
A2/A+
A+
2.86 2.65
89115A2C5 TORONTO-DOMINION BANK 4.108
06/08/2027
2,000,000.00 03/19/2024
5.00%
1,947,340.00
1,951,915.23
97.05 5.20%
1,940,968.88
5,249.11
0.97%
(10,946.35)
A1/A
NA
2.94 2.72
74340XBV2 PROLOGIS LP 3.375 12/15/2027 2,000,000.00 10/18/2023
5.81%
1,822,200.00
1,852,087.28
94.83 5.02%
1,896,566.42
3,000.00
0.94%
44,479.14
A3/A
NA
3.46 3.20
06368LGV2 BANK OF MONTREAL 5.203
02/01/2028
2,500,000.00 --
5.34%
2,486,190.00
2,489,546.60
100.15
5.16%
2,503,651.53
54,197.92
1.25%
14,104.93
A2/AAA3.59
3.17 37
HOLDINGS REPORT
City of San Leandro | Account #460 | As of June 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
91324PEP3 UNITEDHEALTH GROUP INC 5.25
02/15/2028
1,000,000.00 07/18/2023
4.52%
1,029,460.00
1,023,226.70
101.30
4.85%
1,013,015.94
19,833.33
0.50%
(10,210.76)
A2/A+
A
3.63 3.14
438516CJ3 HONEYWELL INTERNATIONAL INC
4.95 02/15/2028
1,000,000.00 02/23/2023
4.65%
1,013,070.00
1,009,478.13
100.78
4.71%
1,007,842.39
18,700.00
0.50%
(1,635.74)
A2/A
A
3.63 3.16
61747YER2 MORGAN STANLEY 4.21 04/20/2028 1,500,000.00 07/06/2023
5.73%
1,423,620.00
1,443,379.17
97.17 5.72%
1,457,568.78
12,454.58
0.73%
14,189.61
A1/AA+3.81
2.58 46647PAF3 JPMORGAN CHASE & CO 3.54
05/01/2028
1,000,000.00 07/18/2023
5.35%
938,600.00
954,027.81
95.44 5.72%
954,370.06
5,900.00
0.47%
342.25
A1/AAA3.84
2.64 58933YBH7 MERCK & CO INC 4.05 05/17/2028 1,500,000.00 --
4.07%
1,498,356.40
1,498,726.14
97.90 4.65%
1,468,453.55
7,425.00
0.73%
(30,272.60)
A1/A+
NA
3.88 3.53
06406RBG1 BANK OF NEW YORK MELLON CORP
3.992 06/13/2028
1,500,000.00 07/06/2023
5.21%
1,421,775.00
1,437,289.63
96.71 5.52%
1,450,636.16
2,994.00
0.72%
13,346.53
A1/A
AA3.962.74
06051GKW8 BANK OF AMERICA CORP 4.948
07/22/2028
750,000.00 09/06/2023
5.78%
728,677.50
733,159.30
99.20 5.73%
743,971.92
16,390.25
0.37%
10,812.62
A1/AAA4.06
2.74 06406RBL0 BANK OF NEW YORK MELLON CORP
5.802 10/25/2028
1,000,000.00 05/28/2024
5.30%
1,015,460.00
1,015,049.89
101.89
4.70%
1,018,882.26
10,637.00
0.51%
3,832.37
A1/A
AA4.322.96
78016HZV5 ROYAL BANK OF CANADA 4.95
02/01/2029
1,000,000.00 05/29/2024
5.30%
985,800.00
986,066.04
99.53 5.07%
995,291.18
22,275.00
0.50%
9,225.14
A1/A
AA4.593.97
Total Corporate 47,265,000.00 4.16%
46,154,891.70
46,601,547.54
97.67 5.30%
46,142,020.72
431,417.27
22.96%
(459,526.82)
A1/A
A+
2.26 1.89
MONEY MARKET
FUND
60934N104 FEDERATED HRMS GV O INST 55,054.70 --
5.19%
55,054.70
55,054.70
1.00 5.19%
55,054.70
0.00 0.03%
0.00 Aaa/
AAAm
AAA
0.00 0.00
Total Money Market
Fund 55,054.70 5.19%
55,054.70
55,054.70
1.00 5.19%
55,054.70
0.00 0.03%
0.00 Aaa/
AAAm
AAA
0.00 0.00
SUPRANATIONAL
38 HOLDINGS REPORT
City of San Leandro | Account #460 | As of June 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
45950KDF4 INTERNATIONAL FINANCE CORP 1,415,000.00 11/29/2023 1,410,387.10 99.29 1,404,928.94 0.70% Aaa/AAA 2.54
4.375 01/15/2027 4.49% 1,411,231.72 4.68% 28,545.66 (6,302.78) NA 2.33 45950KDD9 INTERNATIONAL FINANCE CORP 4.5 935,000.00 07/06/2023 933,962.15 100.04 935,354.47 0.47% Aaa/AAA 4.04 07/13/2028 4.53% 934,163.24 4.49% 19,635.00 1,191.22 NA 3.58 2,344,349.25 99.59 2,340,283.40 1.16% Aaa/AAA 3.14
Total Supranational 2,350,000.00 4.50% 2,345,394.96 4.60% 48,180.66 (5,111.56) NA 2.83
US TREASURY
912797GB7 UNITED STATES TREASURY 7,000,000.00 06/27/2024 6,985,752.43 99.85 6,989,788.40 3.48% P-1/A-1+ 0.03 07/11/2024 5.33% 6,989,823.16 4.86% 0.00 (34.76) F1+ 0.03 91282CCL3 UNITED STATES TREASURY 0.375 3,000,000.00 -- 2,908,496.10 99.81 2,994,244.50 1.49% Aaa/AA+ 0.04 07/15/2024 1.77% 2,998,438.23 5.03% 5,192.31 (4,193.73) AA+ 0.04 912797KP1 UNITED STATES TREASURY 3,000,000.00 03/26/2024 2,951,886.13 99.78 2,993,431.26 1.49% P-1/A-1+ 0.04 07/16/2024 5.36% 2,993,498.13 5.01% 0.00 (66.87) F1+ 0.04 91282CCT6 UNITED STATES TREASURY 0.375 1,000,000.00 08/11/2021 997,890.63 99.38 993,808.59 0.49% Aaa/AA+ 0.13 08/15/2024 0.45% 999,913.31 5.30% 1,411.40 (6,104.72) AA+ 0.13 912797LH8 UNITED STATES TREASURY 3,000,000.00 05/30/2024 2,951,957.50 98.87 2,966,099.25 1.48% P-1/A-1+ 0.22 09/17/2024 5.40% 2,965,933.50 5.28% 0.00 165.75 F1+ 0.21 91282CDH1 UNITED STATES TREASURY 0.75 2,500,000.00 12/13/2021 2,487,304.69 98.31 2,457,666.03 1.22% Aaa/AA+ 0.38 11/15/2024 0.93% 2,498,369.96 5.35% 2,394.70 (40,703.93) AA+ 0.37 912828YV6 UNITED STATES TREASURY 1.5 2,000,000.00 09/16/2021 2,064,218.75 98.43 1,968,632.82 0.98% Aaa/AA+ 0.42 11/30/2024 0.49% 2,008,342.95 5.33% 2,540.98 (39,710.13) AA+ 0.41 912828Z52 UNITED STATES TREASURY 1.375 3,000,000.00 04/21/2022 2,883,281.25 97.76 2,932,792.98 1.46% Aaa/AA+ 0.59 01/31/2025 2.83% 2,975,391.32 5.31% 17,225.27 (42,598.34) AA+ 0.57 912828ZF0 UNITED STATES TREASURY 0.5 2,500,000.00 12/13/2021 2,458,789.06 96.57 2,414,282.23 1.20% Aaa/AA+ 0.75 03/31/2025 1.01% 2,490,647.89 5.21% 3,142.08 (76,365.67) AA+ 0.73 912828ZT0 UNITED STATES TREASURY 0.25 1,100,000.00 04/01/2021 1,080,105.47 95.62 1,051,842.77 0.52% Aaa/AA+ 0.92 05/31/2025 0.69% 1,095,619.79 5.19% 232.92 (43,777.02) AA+ 0.89 91282CHL8 UNITED STATES TREASURY 4.625 1,750,000.00 07/28/2023 1,739,609.38 99.52 1,741,523.44 0.87% Aaa/AA+ 1.00 06/30/2025 4.95% 1,744,596.88 5.13% 219.94 (3,073.44) AA+ 0.96 912828Y79 UNITED STATES TREASURY 2.875 3,000,000.00 06/14/2022 2,949,257.81 97.70 2,930,859.36 1.46% Aaa/AA+ 1.08 07/31/2025 3.44% 2,982,449.07 5.08% 36,016.48 (51,589.71) AA+ 1.04 39 HOLDINGS REPORT
City of San Leandro | Account #460 | As of June 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
9128284Z0 UNITED STATES TREASURY 2.75
08/31/2025
2,000,000.00 06/21/2021
0.74%
2,166,562.50
2,046,345.93
97.41 5.06%
1,948,203.12
18,383.15
0.97%
(98,142.81)
Aaa/AA+
AA+
1.17 1.12
9128285J5 UNITED STATES TREASURY 3.0
10/31/2025
3,000,000.00 06/14/2022
3.48%
2,954,296.88
2,981,963.20
97.47 4.98%
2,924,179.68
15,163.04
1.46%
(57,783.52)
Aaa/AA+
AA+
1.34 1.28
91282CAZ4 UNITED STATES TREASURY 0.375
11/30/2025
2,000,000.00 09/16/2021
0.72%
1,971,640.63
1,990,448.34
93.82 4.94%
1,876,328.12
635.25
0.93%
(114,120.22)
Aaa/AA+
AA+
1.42 1.38
91282CJV4 UNITED STATES TREASURY 4.25
01/31/2026
3,000,000.00 01/30/2024
4.36%
2,993,671.88
2,994,987.71
99.04 4.88%
2,971,171.86
53,241.76
1.48%
(23,815.85)
Aaa/AA+
AA+
1.59 1.49
91282CGL9 UNITED STATES TREASURY 4.0
02/15/2026
2,500,000.00 05/30/2024
5.03%
2,458,300.78
2,460,369.06
98.65 4.87%
2,466,210.95
37,637.36
1.23%
5,841.89
Aaa/AA+
AA+
1.63 1.53
91282CBT7 UNITED STATES TREASURY 0.75
03/31/2026
1,700,000.00 10/14/2021
0.98%
1,682,667.97
1,693,207.72
93.26 4.81%
1,585,382.80
3,204.92
0.79%
(107,824.91)
Aaa/AA+
AA+
1.75 1.70
9128286L9 UNITED STATES TREASURY 2.25
03/31/2026
2,000,000.00 12/21/2022
3.92%
1,898,125.00
1,945,609.83
95.75 4.81%
1,915,000.00
11,311.48
0.95%
(30,609.83)
Aaa/AA+
AA+
1.75 1.68
912828R36 UNITED STATES TREASURY 1.625
05/15/2026
3,000,000.00 12/21/2022
3.94%
2,780,742.19
2,879,231.38
94.41 4.77%
2,832,421.86
6,226.22
1.41%
(46,809.52)
Aaa/AA+
AA+
1.87 1.81
91282CHM6 UNITED STATES TREASURY 4.5
07/15/2026
1,750,000.00 07/28/2023
4.53%
1,748,359.38
1,748,869.80
99.57 4.72%
1,742,480.46
36,346.15
0.87%
(6,389.34)
Aaa/AA+
AA+
2.04 1.89
9128282A7 UNITED STATES TREASURY 1.5
08/15/2026
3,000,000.00 12/21/2022
3.90%
2,756,367.19
2,858,246.68
93.58 4.71%
2,807,343.75
16,936.81
1.40%
(50,902.93)
Aaa/AA+
AA+
2.13 2.04
912828U24 UNITED STATES TREASURY 2.0
11/15/2026
2,000,000.00 03/30/2022
2.53%
1,953,203.13
1,975,992.38
94.10 4.65%
1,882,031.24
5,108.70
0.94%
(93,961.14)
Aaa/AA+
AA+
2.38 2.27
91282CJP7 UNITED STATES TREASURY 4.375
12/15/2026
3,500,000.00 12/21/2023
4.05%
3,531,171.88
3,525,676.01
99.43 4.62%
3,479,902.34
6,693.99
1.73%
(45,773.68)
Aaa/AA+
AA+
2.46 2.30
91282CJT9 UNITED STATES TREASURY 4.0
01/15/2027
2,750,000.00 02/28/2024
4.47%
2,715,410.16
2,719,458.26
98.55 4.61%
2,710,039.06
50,769.23
1.35%
(9,419.19)
Aaa/AA+
AA+
2.54 2.34
91282CEF4 UNITED STATES TREASURY 2.5
03/31/2027
3,000,000.00 08/18/2022
3.06%
2,928,164.06
2,957,239.50
94.79 4.54%
2,843,554.68
18,852.46
1.42%
(113,684.82)
Aaa/AA+
AA+
2.75 2.60
91282CKJ9 UNITED STATES TREASURY 4.5
04/15/2027
3,000,000.00 04/26/2024
4.84%
2,971,992.19
2,973,624.47
99.85 4.55%
2,995,546.86
28,401.64
1.49%
21,922.39
Aaa/AA+
AA+
2.79 2.57
912828X88 UNITED STATES TREASURY 2.375
05/15/2027
3,000,000.00 12/15/2022
3.71%
2,838,164.06
2,894,721.25
94.18 4.56%
2,825,390.64
9,099.86
1.41%
(69,330.61)
Aaa/AA+
AA+
2.87 2.72
40 HOLDINGS REPORT
City of San Leandro | Account #460 | As of June 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
91282CFH9 UNITED STATES TREASURY 3.125
08/31/2027
4,000,000.00 05/29/2024
4.78%
3,802,500.00
3,807,819.87
95.94 4.51%
3,837,500.00
41,779.89
1.91%
29,680.13
Aaa/AA+
AA+
3.17 2.94
91282CFM8 UNITED STATES TREASURY 4.125
09/30/2027
2,000,000.00 12/15/2022
3.65%
2,041,562.50
2,028,183.60
98.87 4.50%
1,977,343.76
20,737.70
0.98%
(50,839.84)
Aaa/AA+
AA+
3.25 2.98
91282CFZ9 UNITED STATES TREASURY 3.875
11/30/2027
3,000,000.00 --
3.90%
2,998,007.82
2,997,556.98
98.10 4.48%
2,942,929.68
9,846.31
1.46%
(54,627.30)
Aaa/AA+
AA+
3.42 3.15
91282CGH8 UNITED STATES TREASURY 3.5
01/31/2028
3,000,000.00 02/23/2023
4.15%
2,914,101.56
2,937,602.08
96.85 4.46%
2,905,429.68
43,846.15
1.45%
(32,172.40)
Aaa/AA+
AA+
3.59 3.27
91282CGT2 UNITED STATES TREASURY 3.625
03/31/2028
3,000,000.00 --
3.68%
2,993,593.75
2,994,831.38
97.19 4.45%
2,915,625.00
27,336.07
1.45%
(79,206.38)
Aaa/AA+
AA+
3.75 3.43
Total US Treasury 89,050,000.00 3.57%
87,557,154.71
88,155,009.60
97.54 4.84%
86,818,987.16
529,934.24
43.21%
(1,336,022.44)
Aaa/AA+
AA+
1.67 1.57
Total Portfolio 204,859,896.92 3.88%
202,316,042.82
203,201,317.83
98.07 4.99%
200,936,095.01
1,453,247.74
100.00%
(2,265,222.82)
Aa2/AAAA2.07
1.72 Total Market Value +
Accrued 202,389,342.76
41 HOLDINGS REPORT
City of San Leandro Reporting | Account #461 | As of June 30, 2024 Cusip Security Description Par Value/
Units
Purchase
Date
Purchase
Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody's/
S&P/
Fitch
Maturity
Duration
CASH
CCYUSD Receivable 96,683.81 --
0.00%
96,683.81
96,683.81
1.00 0.00%
96,683.81
0.00 0.30%
0.00 Aaa/AAA
AAA
0.00 0.00
90WELL$00 Wells Fargo Checking Account 21,511,034.66 --
0.00%
21,511,034.66
21,511,034.66
1.00 0.00%
21,511,034.66
0.00 66.15%
0.00 NA/NA
NA
0.00 0.00
Total Cash 21,607,718.47 0.00%
21,607,718.47
21,607,718.47
1.00 0.00%
21,607,718.47
0.00 66.45%
0.00 Aaa/AAA
AAA
0.00 0.00
LAIF
90LAIF$00 Local Agency Investment Fund State
Pool
10,908,717.65 --
4.56%
10,908,717.65
10,908,717.65
1.00 4.56%
10,908,717.65
0.00 33.55%
0.00 NA/NA
NA
0.00 0.00
Total LAIF 10,908,717.65 4.56%
10,908,717.65
10,908,717.65
1.00 4.56%
10,908,717.65
0.00 33.55%
0.00 NA/NA
NA
0.00 0.00
Total Portfolio 32,516,436.12 1.53%
32,516,436.12
32,516,436.12
1.00 1.53%
32,516,436.12
0.00 100.00%
0.00 Aaa/AAA
AAA
0.00 0.00
Total Market Value +
Accrued 32,516,436.12
42 TRANSACTIONS
43 TRANSACTION LEDGER
City of San Leandro | Account #460|04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 04/01/2024 60934N104 2,190,750.00 FEDERATED HRMS GV O INST
1.000 5.18% (2,190,750.00) 0.00 (2,190,750.00) 0.00
Purchase 04/02/2024 60934N104 14,009.15 FEDERATED HRMS GV O INST
1.000 5.18% (14,009.15) 0.00 (14,009.15) 0.00
Purchase 04/09/2024 60934N104 2,000,000.00 FEDERATED HRMS GV O INST
1.000 5.15% (2,000,000.00) 0.00 (2,000,000.00) 0.00
Purchase 04/11/2024 3130B0TY5 1,730,000.00 FEDERAL HOME LOAN BANKS 4.75
04/09/2027
99.736 4.85% (1,725,432.80) 0.00 (1,725,432.80) 0.00
Purchase 04/15/2024 60934N104 3,940.54 FEDERATED HRMS GV O INST
1.000 5.17% (3,940.54) 0.00 (3,940.54) 0.00
Purchase 04/15/2024 60934N104 1,986,578.83 FEDERATED HRMS GV O INST
1.000 5.17% (1,986,578.83) 0.00 (1,986,578.83) 0.00
Purchase 04/16/2024 60934N104 48,639.33 FEDERATED HRMS GV O INST
1.000 5.17% (48,639.33) 0.00 (48,639.33) 0.00
Purchase 04/18/2024 60934N104 5,000.00 FEDERATED HRMS GV O INST
1.000 5.17% (5,000.00) 0.00 (5,000.00) 0.00
Purchase 04/22/2024 60934N104 4,629.63 FEDERATED HRMS GV O INST
1.000 5.17% (4,629.63) 0.00 (4,629.63) 0.00
Purchase 04/22/2024 60934N104 256,617.10 FEDERATED HRMS GV O INST
1.000 5.17% (256,617.10) 0.00 (256,617.10) 0.00
Purchase 04/23/2024 02582JKH2 1,520,000.00 AMXCA 2024-1 A 5.23 04/16/2029
99.980 5.30% (1,519,688.40) 0.00 (1,519,688.40) 0.00
Purchase 04/25/2024 60934N104 62,818.09 FEDERATED HRMS GV O INST
1.000 5.18% (62,818.09) 0.00 (62,818.09) 0.00
Purchase 04/29/2024 91282CKJ9 3,000,000.00 UNITED STATES TREASURY 4.5
04/15/2027
99.066 4.84% (2,971,992.19) (5,163.93) (2,977,156.12) 0.00 Purchase 04/30/2024 60934N104 72,500.00 FEDERATED HRMS GV O INST
1.000 5.18% (72,500.00) 0.00 (72,500.00) 0.00
44 TRANSACTION LEDGER
City of San Leandro | Account #460|04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss Purchase 05/01/2024 60934N104 30,200.00 FEDERATED HRMS GV O INST
1.000 5.18% (30,200.00) 0.00 (30,200.00) 0.00
Purchase 05/02/2024 60934N104 16,700.65 FEDERATED HRMS GV O INST
1.000 5.17% (16,700.65) 0.00 (16,700.65) 0.00
Purchase 05/10/2024 60934N104 20,000.00 FEDERATED HRMS GV O INST
1.000 5.17% (20,000.00) 0.00 (20,000.00) 0.00
Purchase 05/13/2024 60934N104 529,195.00 FEDERATED HRMS GV O INST
1.000 5.17% (529,195.00) 0.00 (529,195.00) 0.00
Purchase 05/15/2024 60934N104 6,346.09 FEDERATED HRMS GV O INST
1.000 5.17% (6,346.09) 0.00 (6,346.09) 0.00
Purchase 05/15/2024 60934N104 1,305,161.08 FEDERATED HRMS GV O INST
1.000 5.17% (1,305,161.08) 0.00 (1,305,161.08) 0.00
Purchase 05/16/2024 60934N104 46,975.68 FEDERATED HRMS GV O INST
1.000 5.17% (46,975.68) 0.00 (46,975.68) 0.00
Purchase 05/16/2024 36269WAD1 690,000.00 GMALT 2024-2 A3 5.39 07/20/2027
99.994 5.85% (689,959.91) 0.00 (689,959.91) 0.00
Purchase 05/16/2024 60934N104 1,310,040.09 FEDERATED HRMS GV O INST
1.000 5.17% (1,310,040.09) 0.00 (1,310,040.09) 0.00
Purchase 05/17/2024 60934N104 94,893.75 FEDERATED HRMS GV O INST
1.000 5.17% (94,893.75) 0.00 (94,893.75) 0.00
Purchase 05/20/2024 60934N104 4.72 FEDERATED HRMS GV
O INST
1.000 5.17% (4.72) 0.00 (4.72) 0.00
Purchase 05/20/2024 60934N104 108,973.51 FEDERATED HRMS GV O INST
1.000 5.17% (108,973.51) 0.00 (108,973.51) 0.00
Purchase 05/21/2024 60934N104 21,393.54 FEDERATED HRMS GV O INST
1.000 5.18% (21,393.54) 0.00 (21,393.54) 0.00
Purchase 05/21/2024 437930AC4 655,000.00 HONDO-242-A3 5.27 11/20/2028
99.988 5.27% (654,920.42) 0.00 (654,920.42) 0.00
Purchase 05/23/2024 58770JAD6 500,000.00 MBALT 2024-A A3 5.32 01/18/2028
99.988 5.73% (499,941.50) 0.00 (499,941.50) 0.00
Purchase 05/23/2024 60934N104 10,000,000.00 FEDERATED HRMS GV O INST
1.000 5.18% (10,000,000.00) 0.00 (10,000,000.00) 0.00
45 TRANSACTION LEDGER
City of San Leandro | Account #460|04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss Purchase 05/28/2024 60934N104 1,549.83 FEDERATED HRMS GV O INST
1.000 5.19% (1,549.83) 0.00 (1,549.83) 0.00
Purchase 05/28/2024 60934N104 61,249.67 FEDERATED HRMS GV O INST
1.000 5.19% (61,249.67) 0.00 (61,249.67) 0.00
Purchase 05/29/2024 06406RBL0 1,000,000.00 BANK OF NEW YORK MELLON CORP 5.802
10/25/2028
101.546 5.30% (1,015,460.00) (5,479.67) (1,020,939.67) 0.00 Purchase 05/30/2024 78016HZV5 1,000,000.00 ROYAL BANK OF CANADA 4.95
02/01/2029
98.580 5.30% (985,800.00) (18,012.50) (1,003,812.50) 0.00 Purchase 05/30/2024 912797LH8 3,000,000.00 UNITED STATES TREASURY 09/17/2024
98.399 5.40% (2,951,957.50) 0.00 (2,951,957.50) 0.00
Purchase 05/30/2024 91282CFH9 4,000,000.00 UNITED STATES TREASURY 3.125
08/31/2027
95.063 4.78% (3,802,500.00) (30,910.33) (3,833,410.33) 0.00 Purchase 05/31/2024 3137FJEH8 2,000,000.00 FHMS K-081 A2 3.9 08/25/2028
95.781 5.00% (1,915,625.00) (6,500.00) (1,922,125.00) 0.00 Purchase 05/31/2024 91282CGL9 2,500,000.00 UNITED STATES TREASURY 4.0
02/15/2026
98.332 5.03% (2,458,300.78) (29,120.88) (2,487,421.66) 0.00 Purchase 06/03/2024 60934N104 3,000.00 FEDERATED HRMS GV O INST
1.000 5.19% (3,000.00) 0.00 (3,000.00) 0.00
Purchase 06/04/2024 60934N104 22,053.84 FEDERATED HRMS GV O INST
1.000 5.19% (22,053.84) 0.00 (22,053.84) 0.00
Purchase 06/10/2024 60934N104 10,350.00 FEDERATED HRMS GV O INST
1.000 5.17% (10,350.00) 0.00 (10,350.00) 0.00
Purchase 06/10/2024 60934N104 84,830.00 FEDERATED HRMS GV O INST
1.000 5.17% (84,830.00) 0.00 (84,830.00) 0.00
Purchase 06/11/2024 096919AD7 905,000.00 BMWOT 2024-A A3
5.18 02/26/2029
99.985 5.18% (904,862.53) 0.00 (904,862.53) 0.00
Purchase 06/11/2024 60934N104 2,095,137.47 FEDERATED HRMS GV O INST
1.000 5.16% (2,095,137.47) 0.00 (2,095,137.47) 0.00
46 TRANSACTION LEDGER
City of San Leandro | Account #460|04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss Purchase 06/12/2024 60934N104 65,625.00 FEDERATED HRMS GV O INST
1.000 5.17% (65,625.00) 0.00 (65,625.00) 0.00
Purchase 06/13/2024 05522RDJ4 1,020,000.00 BACCT 2024-1 A 4.93 03/15/2029
99.994 4.93% (1,019,942.78) 0.00 (1,019,942.78) 0.00
Purchase 06/14/2024 60934N104 2,060,250.00 FEDERATED HRMS GV O INST
1.000 5.17% (2,060,250.00) 0.00 (2,060,250.00) 0.00
Purchase 06/17/2024 60934N104 89,173.71 FEDERATED HRMS GV O INST
1.000 5.17% (89,173.71) 0.00 (89,173.71) 0.00
Purchase 06/17/2024 60934N104 249,983.65 FEDERATED HRMS GV O INST
1.000 5.17% (249,983.65) 0.00 (249,983.65) 0.00
Purchase 06/18/2024 60934N104 3,838.89 FEDERATED HRMS GV O INST
1.000 5.17% (3,838.89) 0.00 (3,838.89) 0.00
Purchase 06/18/2024 60934N104 500,000.00 FEDERATED HRMS GV O INST
1.000 5.17% (500,000.00) 0.00 (500,000.00) 0.00
Purchase 06/20/2024 60934N104 5,890.64 FEDERATED HRMS GV O INST
1.000 0.00% (5,890.64) 0.00 (5,890.64) 0.00
Purchase 06/20/2024 60934N104 97,523.41 FEDERATED HRMS GV O INST
1.000 0.00% (97,523.41) 0.00 (97,523.41) 0.00
Purchase 06/21/2024 60934N104 20,962.35 FEDERATED HRMS GV O INST
1.000 5.18% (20,962.35) 0.00 (20,962.35) 0.00
Purchase 06/25/2024 60934N104 1,549.83 FEDERATED HRMS GV O INST
1.000 5.17% (1,549.83) 0.00 (1,549.83) 0.00
Purchase 06/25/2024 60934N104 89,003.51 FEDERATED HRMS GV O INST
1.000 5.17% (89,003.51) 0.00 (89,003.51) 0.00
Purchase 06/27/2024 912797GB7 7,000,000.00 UNITED STATES TREASURY 07/11/2024
99.796 5.33% (6,985,752.43) 0.00 (6,985,752.43) 0.00
Total Purchase 56,117,338.58 (55,699,474.82) (95,187.31) (55,794,662.13) 0.00 TOTAL
ACQUISITIONS 56,117,338.58 (55,699,474.82) (95,187.31) (55,794,662.13) 0.00
DISPOSITIONS
47 TRANSACTION LEDGER
City of San Leandro | Account #460|04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss Maturity 04/09/2024 912797JM0 (2,000,000.00) UNITED STATES TREASURY 04/09/2024
100.000 0.00% 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 04/15/2024 91282CBV2 (1,800,000.00) UNITED STATES TREASURY 0.375
04/15/2024
100.000 0.38% 1,800,000.00 0.00 1,800,000.00 0.00
Maturity 05/13/2024 46625HJX9 (500,000.00) JPMORGAN CHASE & CO 3.625 05/13/2024
100.000 3.63% 500,000.00 0.00 500,000.00 0.00
Maturity 05/15/2024 00440EAR8 (1,000,000.00) CHUBB INA HOLDINGS LLC 3.35 05/15/2024
100.000 3.35% 1,000,000.00 0.00 1,000,000.00 0.00
Maturity 05/16/2024 912797FH5 (2,000,000.00) UNITED STATES TREASURY 05/16/2024
100.000 0.00% 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 05/31/2024 912828XT2 (2,000,000.00) UNITED STATES TREASURY 2.0
05/31/2024
100.000 2.00% 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 06/11/2024 912797KE6 (3,000,000.00) UNITED STATES TREASURY 06/11/2024
100.000 0.00% 3,000,000.00 0.00 3,000,000.00 0.00
Maturity 06/14/2024 3130A1XJ2 (2,000,000.00) FEDERAL HOME LOAN BANKS 2.875
06/14/2024
100.000 2.88% 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 06/18/2024 89236TJH9 (500,000.00) TOYOTA MOTOR CREDIT CORP 0.5
06/18/2024
100.000 0.50% 500,000.00 0.00 500,000.00 0.00
Total Maturity (14,800,000.00) 14,800,000.00 0.00 14,800,000.00 0.00 Sale 04/11/2024 60934N104 (1,725,432.80) FEDERATED HRMS GV O INST
1.000 5.17% 1,725,432.80 0.00 1,725,432.80 0.00
Sale 04/23/2024 60934N104 (1,519,688.40) FEDERATED HRMS GV O INST
1.000 5.16% 1,519,688.40 0.00 1,519,688.40 0.00
Sale 04/29/2024 60934N104 (2,977,156.12) FEDERATED HRMS GV O INST
1.000 5.17% 2,977,156.12 0.00 2,977,156.12 0.00
Sale 05/21/2024 60934N104 (651,937.92) FEDERATED HRMS GV O INST
1.000 5.18% 651,937.92 0.00 651,937.92 0.00
48 TRANSACTION LEDGER
City of San Leandro | Account #460|04/01/2024 Through 06/30/2024| Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/DispYield Amount Interest Pur/Sold Total Amount Gain/Loss Sale 05/23/2024 60934N104 (499,941.50) FEDERATED HRMS GV O INST
1.000 5.18% 499,941.50 0.00 499,941.50 0.00
Sale 05/29/2024 60934N104 (1,020,939.67) FEDERATED HRMS GV O INST
1.000 5.19% 1,020,939.67 0.00 1,020,939.67 0.00
Sale 05/30/2024 60934N104 (4,837,222.83) FEDERATED HRMS GV O INST
1.000 5.19% 4,837,222.83 0.00 4,837,222.83 0.00
Sale 05/30/2024 60934N104 (2,951,957.50) FEDERATED HRMS GV O INST
1.000 5.19% 2,951,957.50 0.00 2,951,957.50 0.00
Sale 05/31/2024 60934N104 (2,311,296.66) FEDERATED HRMS GV O INST
1.000 5.19% 2,311,296.66 0.00 2,311,296.66 0.00
Sale 06/13/2024 60934N104 (892,502.78) FEDERATED HRMS GV O INST
1.000 5.17% 892,502.78 0.00 892,502.78 0.00
Sale 06/27/2024 60934N104 (6,985,752.43) FEDERATED HRMS GV O INST
1.000 5.18% 6,985,752.43 0.00 6,985,752.43 0.00
Total Sale (26,373,828.61) 26,373,828.61 0.00 26,373,828.61 0.00 TOTAL
DISPOSITIONS (41,173,828.61) 41,173,828.61 0.00 41,173,828.61 0.00 49 IMPORTANT DISCLOSURES
City of San Leandro Cons | Account #462 | As of June 30, 2024 2024 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 “asis” 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. 50 BENCHMARK DISCLOSURES
City of San Leandro | Account #460 | As of June 30, 2024 Benchmark Disclosure
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. 51