Investment Report for the Quarter Ending June 30, 2021
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Client Management Team
PFM Asset Management LLC
213 Market Street
Harrisburg, PA 17101-2141
717-232-2723
CHANDLER WORKERS COMP & EMPLOYER TRUST
Paulina Woo, Managing Director
Luke Schneider, CFA, Director
Annette Gaston, Senior Managing Consultant
1820 East Ray Road
Chandler, AZ 85225
855-885-9621
Investment Performance Review
For the Quarter Ended June 30, 2021
QUARTERLY MARKET SUMMARY
For the Quarter Ended June 30, 2021
Fixed Income Management
S U M M A R Y
• In Q2, U.S. economic conditions were impacted by: (1) dramatically lower COVID-19
caseloads as vaccine inoculations accelerated, balanced with waning vaccine demand
and the emergence of more infectious variants; (2) strong consumer data supported by
ongoing fiscal stimulus measures; (3) elevated inflation fueled by surging economic activity
amid labor and supply chain shortages; (4) a late-quarter hawkish signal from the Federal
Reserve (Fed), as anticipation of bond purchase tapering gained traction and the timeline
for expected rate hikes was pulled forward; and (5) the largest increase in corporate
earnings estimates in nearly 20 years, which propelled major U.S. stock indices to all-time
highs.
• With the public health situation drastically improving and pent-up consumer demand being
released, the U.S. has seemingly turned the corner in its recovery. Due to the quicker-than-
expected rebound, Federal Open Market Committee (FOMC) officials have suggested that
they have started to contemplate the timing and communication around a potential tapering
of asset purchases. The FOMC remains “attuned and attentive” to the inflation outlook
amid supply shortages and other risk factors. In the updated June projections, 13 of 18
Fed officials indicated they expect to increase short-term rates by the end of 2023, up from
seven who expected that outcome in March.
• Despite significant progress toward a comprehensive economic recovery, headwinds
persist and mixed signals remain. Demand is recovering faster than supply, triggering
supply chain bottlenecks and wage-price pressures. Inflation is rising sooner than in
previous cycles, with core consumer prices recently showing the sharpest monthly increase
since 1982. Despite some scary inflation headlines, many market participants believe that
the economy’s current wave of inflation is likely transitory in nature.
• Looking past this year, economists and strategists have moderated long-term growth
projections as uncertainty remains a key characteristic of our current environment. Perhaps
the term “cautious optimism” best describes the current mood as we near what we hope to
be the final innings of the pandemic.
E C O N O M I C S N A P S H O T
• Following a 4.3% expansion in Q4 2020, U.S. GDP increased 6.4% in Q1. The consumer
continues to be the driving force behind recent GDP growth as consumer spending rose by
11.4% in Q2, the second-fastest pace since the 1960s. Goods and services that benefit the
most from the reopening of the economy, such as auto sales, food services and travel
accommodations, are the main contributors to the growth in spending.
• The U.S. labor market recovery is accelerating after a spring lull. Following a disappointing April
jobs report, employers added over 580,000 and 850,000 jobs in May and June, respectively. The
service sector led the job recovery in the first half of 2021 as leisure and hospitality accounted for
1.6 million jobs created, or almost half of the year’s payroll gains. The robust demand for workers
pushed wages up by a brisk pace of 3.6% year-over-year (YoY).
• Surveys of manufacturing and services activity produced mixed signals this quarter. After
reaching a record high in March 2021 of 64.7, the ISM Manufacturing PMI declined to 60.6
by the end of Q2. Similarly, the ISM Non-Manufacturing PMI told a similar story, retracting
from a record-high reading. The recent survey noted, “challenges with materials shortages,
inflation, logistics and employment resources continue to be an impediment to business
conditions.” Despite these headwinds, both indices remain well above both the 50-point
threshold that differentiates growth from contraction and long-term historical averages.
• On the housing front, existing home sales declined roughly 21% YoY largely due to
inventory shortages. Stressed supply and demand dynamics are evidenced by the drastic
changes seen in housing prices, which increased by 15% YoY. Mortgage rates pulled back
from the climb seen earlier this year, as the 30-year mortgage rate finished the quarter at
2.93%, compared to last quarter’s reading of 3.18%.
I N T E R E S T R A T E S
• The U.S. Treasury yield curve flattened modestly over the quarter as longer term yields
retraced some of their significant first quarter higher moves, and shorter term maturities
inched higher from rock-bottom lows. Near quarter-end, short-term Treasury yields rose in
response as the Fed raised by five basis points the interest it pays banks on excess
reserves and its offering rate for overnight reverse repurchase agreements. An earlier-than-
expected discussion by the FOMC of increasing the overnight target rate also contributed to
Treasuries softening on the short end of the curve. Long-term yields fell as investors
worried less about inflation over the long term. This view was encouraged in part by a more
hawkish tone from the FOMC.
• As a result of a flattening curve, index returns were mixed for the quarter. Shorter-duration
U.S. Treasury total return indices (three years and under) were generally flat, while longer-
duration indices posted strong positive returns. For example, the 3-month Treasury index
returned 0% for the quarter, the 2-year Treasury index returned -0.1%, and the 10-year
Treasury index returned 3.2%.
S E C T O R P E R F O R M A N C E
• Diversification away from U.S. Treasuries was again additive to performance in Q2. Broad
global demand for yield has continued to push spreads of most bonds tighter. As a result, most
investment-grade (IG) spread sectors showed positive excess returns. The lone exception was
mortgage-related sectors, where expectations that the FOMC may begin tapering asset
purchases caused mortgage-backed security (MBS) spreads to come under pressure and lift
off from multi-year tights.
• The federal agency sector saw minimal spread widening of one to two basis points (0.01% to
0.02%), mostly concentrated in the longer duration part of the curve (past three years). Supply
remains markedly light, limiting new buying opportunities within the sector. On the flipside,
opportunistic selling opportunities are expected to persist for the foreseeable future.
• The taxable municipal sector, once again, was one of the best performing IG sectors during
Q2. Municipals boosted relative portfolio performance over the quarter as strong demand for
new issues and the general market reach for yield pressured spreads tighter.
• IG corporates generated positive returns this quarter as spreads tightened due to the prospect
of strong corporate earnings and supportive monetary policy. The continued demand for yield
pushed spreads to retest multi-year lows despite an active new issue market.
• Federal agency-backed mortgage-backed security (MBS) excess returns were negative as
FOMC-related selling pressure arrived near quarter end. Generally, all collateral and coupon
structures underperformed with the exception of agency-backed commercial MBS (CMBS),
which have continued to provide solid absolute and relative returns on a consistent basis over
the past 18 months.
PFM Asset Management LLC
1
QUARTERLY MARKET SUMMARY
For the Quarter Ended June 30, 2021
Fixed Income Management
Economic Snapshot
Labor Market
Mar '21
Jun '20
Unemployment Rate
Jun '21
5.9%
6.0%
11.1%
Change In Non-Farm Payrolls
Jun '21
850,000
785,000
4,846,000
Average Hourly Earnings (YoY)
Jun '21
3.6%
4.3%
5.0%
Personal Income (YoY)
May '21
2.8%
30.1%
8.2%
Initial Jobless Claims (week)
7/3/21
373,000
729,000
1,436,000
Growth
Real GDP (QoQ SAAR)
2021Q1
6.4%
4.3%
-5.0%
GDP Personal Consumption (QoQ SAAR)
2021Q1
11.4%
2.3%
-6.9%
Retail Sales (YoY)
May '21
28.1%
29.7%
2.1%
ISM Manufacturing Survey (month)
Jun '21
60.6
64.7
52.2
Existing Home Sales SAAR (month)
May '21
5.80 mil.
6.01 mil.
4.77 mil.
Inflation / Prices
Personal Consumption Expenditures (YoY)
May '21
3.9%
2.4%
0.9%
Consumer Price Index (YoY)
May '21
5.0%
2.6%
0.6%
Consumer Price Index Core (YoY)
May '21
3.8%
1.6%
1.2%
Crude Oil Futures (WTI, per barrel)
Jun 30
$73.47
$59.16
$39.27
Gold Futures (oz.)
Jun 30
$1,772
$1,714
$1,801
Latest
25-000K
20-000K
15-000K
10-000K
5-000K
0
5,000K
10,000K
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
Jun '18 Dec '18 Jun '19 Dec '19 Jun '20 Dec '20 Jun '21
Unemployment Rate (left) vs. Change in Nonfarm Payrolls (right)
Change In Non-Farm Payrolls
Unemployment Rate
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
Mar '18
Sep '18
Mar '19
Sep '19
Mar '20
Sep '20
Mar '21
Real GDP (QoQ)
0%
1%
2%
3%
4%
5%
6%
Jun '18
Dec '18
Jun '19
Dec '19
Jun '20
Dec '20
Consumer Price Index
CPI (YoY)
Core CPI (YoY)
2
2
1
1
1. Data as of Fourth Quarter 2020.
2. Data as of First Quarter 2021.
Note: YoY = year-over-year, QoQ = quarter-over-quarter, SAAR = seasonally adjusted annual rate, WTI = West Texas Intermediate crude oil.
Source: Bloomberg.
PFM Asset Management LLC
2
QUARTERLY MARKET SUMMARY
For the Quarter Ended June 30, 2021
Fixed Income Management
Source: Bloomberg.
Interest Rate Overview
U.S. Treasury Note Yields
U.S. Treasury Yield Curve
U.S. Treasury Yields
Yield Curves as of 06/30/2021
0%
1%
2%
3%
3-mo
1-yr
2-yr
3-yr
5-yr
7-yr
10-yr
20
y
30-yr
Yield
Maturity
June 30, 2021
March 31, 2021
June 30, 2020
-1%
0%
1%
2%
3%
4%
3-mo
1-yr
2-yr
3-yr
5-yr
0
7-yr
10-yr
25-yr
30-yr
Yield
Maturity
U.S. Treasury
Federal Agency
Corporates, A Rated
0.0%
0.5%
1.0%
1.5%
2.0%
6/30/20
9/30/20
12/31/20
3/31/21
6/30/21
Yield
2-Year
5-Year
10-Year
Maturity
Jun '21
Mar '21
Change over
Quarter
Jun '20
Change over
Year
3-Month
0.04%
0.02%
0.02%
0.14%
(0.10%)
1-Year
0.07%
0.06%
0.01%
0.15%
(0.08%)
2-Year
0.25%
0.16%
0.09%
0.15%
0.10%
5-Year
0.89%
0.94%
(0.05%)
0.29%
0.60%
10-Year
1.47%
1.74%
(0.27%)
0.66%
0.81%
30-Year
2.09%
2.41%
(0.32%)
1.41%
0.68%
PFM Asset Management LLC
3
QUARTERLY MARKET SUMMARY
For the Quarter Ended June 30, 2021
Fixed Income Management
Source: ICE BofAML Indices.
June 30, 2021
Duration
Yield
3 Month
1 Year
3 Years
1-3 Year Indices
U.S. Treasury
1.90
0.25%
(0.03%)
0.07%
2.68%
Federal Agency
1.74
0.27%
0.01%
0.32%
2.56%
U.S. Corporates, A-AAA rated
1.90
0.53%
0.24%
1.11%
3.57%
Agency MBS (0 to 3 years)
1.73
0.75%
(0.82%)
(1.31%)
3.31%
Taxable Municipals
1.74
0.39%
1.54%
4.25%
4.30%
1-5 Year Indices
U.S. Treasury
2.66
0.41%
0.11%
(0.27%)
3.26%
Federal Agency
2.36
0.43%
0.18%
0.17%
2.85%
U.S. Corporates, A-AAA rated
2.81
0.80%
0.61%
1.37%
4.44%
Agency MBS (0 to 5 years)
2.44
1.35%
(0.27%)
(0.58%)
3.32%
Taxable Municipals
2.83
0.77%
0.76%
2.85%
4.09%
Master Indices (Maturities 1 Year or Greater)
U.S. Treasury
7.24
0.97%
2.02%
(3.39%)
4.72%
Federal Agency
3.99
0.75%
1.00%
(0.35%)
4.22%
U.S. Corporates, A-AAA rated
8.52
1.81%
3.46%
1.47%
7.17%
Agency MBS (0 to 30 years)
3.49
1.55%
0.32%
(0.39%)
3.86%
Taxable Municipals
11.35
2.47%
4.93%
3.87%
8.82%
As of 06/30/2021
Returns for Periods ended 06/30/2021
Returns for periods greater than one year are annualized.
PFM Asset Management LLC
ICE BofAML Index Returns
4
QUARTERLY MARKET SUMMARY
For the Quarter Ended June 30, 2021
Fixed Income Management
D I S C L O S U R E S
PFM is the marketing name for a group of affiliated companies providing a range of services. All services are provided through separate agreements with each company.
This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation.
Investment advisory services are provided by PFM Asset Management LLC, which is registered with the Securities and Exchange Commission under the Investment
Advisers Act of 1940. The information contained is not an offer to purchase or sell any securities. Additional applicable regulatory information is available upon request.
For more information regarding PFM’s services or entities, please visit www.pfm.com.
The views expressed within this material constitute the perspective and judgment of PFM Asset Management LLC at the time of distribution and are subject to change.
Information is obtained from sources generally believed to be reliable and available to the public; however, PFM Asset Management LLC cannot guarantee its accuracy,
completeness, or suitability. The information contained in this report is not an offer to purchase or sell any securities.
© PFM Asset Management LLC. Further distribution is not permitted without prior written consent.
PFM Asset Management LLC
5
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Review
PFM Asset Management LLC
Portfolio Recap
Our strategy for second quarter was largely carried forward from the first quarter and encompassed the following:
•
We maintained core allocations in most sectors while we opportunistically trimmed non-Treasury allocations in certain
sectors and maturities, matched the benchmark’s duration, and carefully managed risk as we considered inflationary
pressures and Fed policy uncertainty.
•
The federal agency sector experienced 1 to 2 basis points (0.01% to 0.02%) of spread widening, concentrated in the 4-
to 5-year and 7- to 10-year areas of the curve. Allocations to the sector were reduced, locking in strong performance
from agencies previously purchased over a year ago when spreads were wider.
•
Investment-grade corporates were aided over the quarter by the prospect of economic recovery, helped by further fiscal
stimulus and supportive monetary policy globally. Credit spreads achieved new tights versus comparable-maturity
Treasuries despite an active new issue market as investors continued to reach for yield. Like the agency sector, PFM
engaged in opportunistic selling, reduced corporate bond holdings that had reached very rich levels—largely those with
less than two years remaining until maturity—and reinvesting in longer corporate issues, which captured value along the
steeper portions of the curve.
•
The taxable municipal sector once again provided a boost to relative portfolio performance over the quarter as strong
demand for new issues and the general market reach for yield pressured spreads tighter still. PFM generally maintained
allocations to the sector and participated in new issues where offering levels were relatively attractive.
•
Short-term credit (negotiable CDs and commercial paper) yields continued to decline over the quarter with some of the
shortest tenors continuing to offer low absolute yields while still offering a spread to comparable-maturity Treasuries,
which have been trading at near zero levels. Towards the end of the quarter, the yield on short-term government
securities drifted higher in response to the Fed’s adjustment of the interest rate on excess reserves (IOER) and the
reverse repo rate (RRP).
6
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Outlook
PFM Asset Management LLC
Investment Strategy Outlook
The strong U.S. economic expansion is expected to persist, aided by a vaccine-driven reopening, pent-up consumer demand,
and continued fiscal and monetary support. GDP expectations for 2021 have been revised upward, with current forecasts
pointing to an annualized 6% growth this year. However, growing inflationary pressures may force the Fed’s hand when
considering tapering its bond purchases and, ultimately, future rate increases. Given these risks, we plan to maintain the
portfolio duration in line with the benchmark as we continue to monitor the economic recovery.
Our outlook for major investment-grade sectors includes the following:
•
Treasuries: Current allocations provide “dry powder” to add to other sectors should spreads become more attractive.
Portfolio rebalancing and duration extension trades are focused in the steepest portions of the curve. Along with income,
yield curve roll-down should serve as a significant contributor to portfolio returns as the upside for pure price appreciation
is quite limited.
•
Agencies: There is limited room for further spread tightening from current levels as spreads are in the single-digit range
across most of the curve. With spreads likely to remain near zero over the coming quarter, the sector offers very little
incremental yield compared to Treasuries. We will continue to reduce allocations, realize gains where appropriate, and
favor other sectors.
•
Corporates: Continued economic recovery, supportive monetary policy, lower expected supply, and strong investor
demand for high quality yield should serve as catalysts for good performance in the corporate sector. While historically
tight spreads have encouraged us to position allocations defensively, the sector still represents a core allocation to
portfolios.
•
Taxable Municipals: Taxable municipals have been a great alternative to corporates over the past year. While we still
see opportunities in the sector, we have turned more cautious due to very tight spreads. Similar to other sectors, we
may begin to opportunistically sell rich holdings while continuing to evaluate new issues that come to market.
7
As of 6/30/2021. Detail may not add to total due to rounding. Investment Policy dated January 2016.
PFM Asset Management LLC
Sector Allocation and Compliance
CHANDLER WORKERS COMP & EMPLOYER TRUST
Security Type
Market Value
% of
Portfolio
% Change
vs. 3/31/21
Permitted by
Policy
In Compliance
U.S. Treasury
$4,115,561
29.6%
+7.3%
100%
Federal Agency
$6,196,959
44.6%
-10.7%
100%
Municipal
$54,559
0.4%
-
100%
Negotiable CDs
$1,107,598
8.0%
-0.7%
30%
Corporate Notes
$1,029,613
7.4%
+0.2%
30%
Securities Sub-Total
$12,504,289
90.0%
Accrued Interest
$17,483
Securities Total
$12,521,772
Money Market Fund
$205,927
1.5%
-2.0%
100%
PFM Funds
$1,185,005
8.5%
+6.0%
100%
Total Investments
$13,912,705
100.0%
The portfolio is in compliance with the City of Chandler’s Investment Policy and Arizona Revised Statutes.
For the Quarter Ended June 30, 2021
Portfolio Compliance
8
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Snapshot
Portfolio Statistics
As of June 30, 2021
$13,642,005
$13,912,705
$12,504,289
$17,483
$205,927
Accrued Interest:
Cash:
Par Value:
Total Market Value:
Security Market Value:
PFM Funds
$1,185,005
$13,655,589
0.32%
0.56%
AA
Average Credit: *
Yield at Cost:
Amortized Cost:
Yield at Market:
Effective Duration:
1.83 Years
Average Maturity:
2.04 Years
Credit Quality (S&P Ratings)**
2.1%
A
2.3%
A-
3.4%
A+
4.0%
A-1
1.3%
AA
1.3%
AA-
76.6%
AA+
0.4%
AAA
8.7%
AAAm
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
0 - 1 Year
1 - 2 Years
2 - 3 Years
3 - 4 Years
4 - 5 Years
> 5 Years
14.0%
41.2%
40.9%
3.5%
0.4%
0.0%
Maturity Distribution
Sector Allocation
PFM Asset Management LLC
*An average of each security’s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio.
**Securities held in the Trust's portfolio are in compliance with Arizona Revised Statutes and the Trust's investment policy dated January 2016.
7.5%
Corporate
45.2%
Federal
Agency
8.7%
Money
Market
Fund
0.4%
Municipal
8.1%
Negotiable
CD
30.1%
U.S.
Treasury
9
PFM Asset Management LLC
Liquidity Vehicle
Quarter-End Yield
Wells Fargo Public Institutional Bank
Deposit Account1
0.01%
PFM Funds Money Market Fund2
0.02%
1.
Wells Fargo Public Institutional Bank Deposit Account yield from the Trust custody statement as of 6/30/21
2.
This information does not represent an offer to sell or a solicitation of an offer to buy or sell any fund or other security by anyone in any jurisdiction in which such offer or solicitation is not authorized, or in
which the person making such offer is not qualified to do so, or to anyone to whom it is unlawful to make such an offer or solicitation, or to anyone in any jurisdiction outside the United States. Investors
should consider the investment objectives, risks, charges and expenses before investing in any of the Fund’s portfolios. This and other information about the Fund is available in the Fund’s current
Prospectus, which should be read carefully before investing. A copy of the Fund’s Prospectus may be obtained by calling 1-800-338-3383 or is available on the Fund’s website at www.pfmfunds.com.
While the Fund’s portfolio seeks to maintain a stable net asset value of $1.00 per share, it is possible to lose money investing in the Fund. An investment in the Fund is not insured or guaranteed by the
Federal Deposit Insurance Corporation or any other government agency. Shares of the Fund are distributed by PFM Fund Distributors, Inc., member Financial Industry Regulatory Authority (FINRA)
(www.finra.org) and Securities Investor Protection Corporation (SIPC) (www.sipc.org). PFM Fund Distributors, Inc. is a wholly owned subsidiary of PFM Asset Management LLC.
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Liquidity Vehicle
10
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Composition
Sector Allocation
As of June 30, 2021
Market Value ($)
% of Portfolio
Sector
Federal Agency
6,196,959
45.2%
U.S. Treasury
4,115,561
30.1%
Money Market Fund
1,185,005
8.7%
Negotiable CD
1,107,598
8.1%
Corporate
1,029,613
7.5%
Municipal
54,559
0.4%
Total
$13,689,295
100.0%
PFM Asset Management LLC
Detail may not add to total due to rounding.
Corporat
7.5%
e
45.2%
Federal Agency
Money Market
Fund
Municipal
Negotiable CD
U.S. Treasury
11
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Composition
Sector Allocation
June 30, 2021
March 31, 2021
December 31, 2020
September 30, 2020
% of Total
MV ($MM)
Sector
% of Total
% of Total
% of Total
MV ($MM)
MV ($MM)
MV ($MM)
Federal Agency
6.2
45.2%
7.0
57.4%
6.8
57.2%
6.6
55.2%
U.S. Treasury
4.1
30.1%
2.8
23.1%
2.9
24.5%
3.2
27.1%
Money Market Fund
1.2
8.7%
0.3
2.6%
0.3
2.7%
0.3
2.7%
Negotiable CD
1.1
8.1%
1.1
9.0%
0.6
5.1%
0.6
5.1%
Corporate
1.0
7.5%
0.9
7.5%
1.1
9.1%
1.1
9.0%
Municipal
0.1
0.4%
0.1
0.4%
0.1
0.5%
0.0
0.0%
Supranational
0.0
0.0%
0.0
0.0%
0.1
0.9%
0.1
0.9%
$13.7
100.0%
$12.3
100.0%
$11.8
100.0%
$11.9
100.0%
Total
PFM Asset Management LLC
Detail may not add to total due to rounding.
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
June 2021
March 2021
December 2020
September 2020
Supranational
Municipal
Corporate
Negotiable CD
Money Market Fund
U.S. Treasury
Federal Agency
12
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Composition
Credit Quality*
As of June 30, 2021
S&P Rating
Market Value ($)
% of Portfolio
76.6%
$10,489,610
AA+
8.7%
$1,185,005
AAAm
4.0%
$541,447
A-1
3.4%
$458,739
A+
2.3%
$316,991
A-
2.1%
$286,602
A
1.3%
$183,898
AA-
1.3%
$172,443
AA
0.4%
$54,559
AAA
Totals
100.0%
$13,689,295
2.1%
A
2.3%
A-
3.4%
A+
4.0%
A-1
1.3%
AA
1.3%
AA-
76.6%
AA+
0.4%
AAA
8.7%
AAAm
PFM Asset Management LLC
Detail may not add to total due to rounding.
*Securities held in the Trust's portfolio are in compliance with Arizona Revised Statutes and the Trust's investment policy dated January 2016.
13
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Composition
Maturity Distribution
As of June 30, 2021
>5
Years
4-5
Years
3-4
Years
2-3
Years
1-2
Years
0-1
Years
Yield
at Market
Portfolio/Benchmark
Average
Maturity
0.32%
14.0%
41.2%
40.9%
3.5%
0.4%
0.0%
2.04 yrs
CHANDLER WORKERS COMP & EMPLOYER TRUST
Chandler Workers Comp & Employer Trust Custom Index*
0.25%
2.6%
55.3%
42.0%
0.0%
0.0%
0.0%
1.94 yrs
0%
10%
20%
30%
40%
50%
60%
0-1 Years
1-2 Years
2-3 Years
3-4 Years
4-5 Years
> 5 Years
14.0%
41.2%
40.9%
3.5%
0.4%
0.0%
2.6%
55.3%
42.0%
0.0%
0.0%
0.0%
CHANDLER WORKERS COMP & EMPLOYER TRUST
Chandler Workers Comp & Employer Trust Custom Index*
PFM Asset Management LLC
*The custom benchmark is the ICE BofAML 1-3 Year U.S. Treasury Index, as of March 31, 2017. Prior to March 31, 2017, the benchmark was the ICE BofAML 0-3 year U.S Treasury Index.
14
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Performance
Portfolio Performance (Total Return)
Effective
Duration
Portfolio/Benchmark
Annualized Return
03/31/21
09/30/20
06/30/21
12/31/20
Quarter Ended
5 Year
1 Year
3 Year
1.83
0.00%
0.29%
2.60%
1.79%
-0.04%
0.15%
0.18%
CHANDLER WORKERS COMP & EMPLOYER TRUST
Chandler Workers Comp & Employer Trust Custom Index*
1.84
-0.03%
0.07%
2.68%
1.64%
-0.05%
0.05%
0.10%
Difference
0.22%
0.03%
-0.08%
0.15%
0.01%
0.10%
0.08%
-0.4%
0.0%
0.4%
0.8%
1.2%
1.6%
2.0%
2.4%
2.8%
06/30/21
03/31/21
12/31/20
09/30/20
1 Year
3 Year
5 Year
-0.04%
0.15%
0.18%
0.29%
2.60%
1.79%
-0.03%
-0.05%
0.05%
0.10%
0.07%
2.68%
1.64%
Total Return
CHANDLER WORKERS COMP & EMPLOYER TRUST
Chandler Workers Comp & Employer Trust Custom Index*
PFM Asset Management LLC
Portfolio performance is gross of fees unless otherwise indicated.
*The custom benchmark is the ICE BofAML 1-3 Year U.S. Treasury Index, as of March 31, 2017. Prior to March 31, 2017, the benchmark was the ICE BofAML 0-3 year U.S Treasury Index.
15
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Performance
Portfolio Earnings
Quarter-Ended June 30, 2021
Market Value Basis
Accrual (Amortized Cost) Basis
Net Purchases/Sales
Change in Value
Interest Earned
$12,264,702.74
$1,443,525.55
($18,933.38)
$19,190.82
$257.44
$13,689,294.91
$12,205,536.56
$1,443,525.55
$6,526.92
$19,190.82
$25,717.74
$13,655,589.03
Portfolio Earnings
Beginning Value (03/31/2021)
Ending Value (06/30/2021)
PFM Asset Management LLC
16
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Composition
Sector/Issuer Distribution
As of June 30, 2021
% of Sector
Sector / Issuer
Market Value ($)
% of Total Portfolio
Corporate
ADOBE INC
0.7%
9.9%
102,178
AMAZON.COM INC
1.3%
16.7%
172,443
AMERICAN HONDA FINANCE
0.7%
9.9%
101,874
APPLE INC
1.3%
17.2%
177,091
BANK OF AMERICA CO
0.7%
9.7%
100,301
CATERPILLAR INC
0.7%
9.2%
94,917
HERSHEY COMPANY
0.7%
8.7%
89,508
JP MORGAN CHASE & CO
0.8%
11.2%
114,816
TOYOTA MOTOR CORP
0.6%
7.4%
76,486
100.0%
7.5%
1,029,613
Sector Total
Federal Agency
FANNIE MAE
7.9%
17.5%
1,084,567
FREDDIE MAC
37.3%
82.5%
5,112,392
100.0%
45.3%
6,196,959
Sector Total
Money Market Fund
PFM FUNDS - GOVT SELECT, INSTL CL
8.7%
100.0%
1,185,005
100.0%
8.7%
1,185,005
Sector Total
PFM Asset Management LLC
17
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Composition
% of Sector
Sector / Issuer
Market Value ($)
% of Total Portfolio
Municipal
CITY OF SCOTTSDALE
0.4%
100.0%
54,559
100.0%
0.4%
54,559
Sector Total
Negotiable CD
BARCLAYS PLC
1.7%
21.2%
235,114
CREDIT SUISSE GROUP RK
0.7%
9.0%
100,160
DNB ASA
0.5%
6.0%
66,697
HSBC HOLDINGS PLC
0.9%
10.8%
120,032
NORDEA BANK ABP
0.9%
10.6%
117,202
SKANDINAVISKA ENSKILDA BANKEN AB
1.0%
12.0%
132,504
SOCIETE GENERALE
0.7%
9.1%
100,902
SUMITOMO MITSUI FINANCIAL GROUP INC
0.6%
7.7%
85,399
UBS AG
1.1%
13.5%
149,589
100.0%
8.1%
1,107,598
Sector Total
U.S. Treasury
UNITED STATES TREASURY
30.1%
100.0%
4,115,561
100.0%
30.1%
4,115,561
Sector Total
100.0%
13,689,295
Portfolio Total
100.0%
PFM Asset Management LLC
18
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Activity
Quarterly Portfolio Transactions
Security Description
CUSIP
Par ($)
Settle
Date
Trade
Date
Tran.
Type
Maturity
Date
Transact
Amt ($)
Yield
Realized
G/L (BV)
Coupon
4/1/21
4/1/21
0.00
MONEY0002
MONEY MARKET FUND
INTEREST
3.85
4/1/21
4/1/21
0.00
83369XDL9
SOCIETE GENERALE NY CERT DEPOS
INTEREST
2/14/22
(10.00)
1.80%
4/5/21
4/7/21
625,000.00
91282CBR1
US TREASURY NOTES
BUY
3/15/24
(623,071.29)
0.36%
0.25%
4/5/21
4/7/21
625,000.00
3135G04U4
FANNIE MAE NOTES (CALLED, OMD 06/01/23)
SELL
6/1/21
626,240.63
301.14
0.45%
4/16/21
4/16/21
155,000.00
3137EAEY1
FREDDIE MAC NOTES
INTEREST
10/16/23
96.88
0.12%
4/20/21
4/20/21
150,000.00
3137EAEQ8
FREDDIE MAC NOTES
INTEREST
4/20/23
281.25
0.37%
4/24/21
4/24/21
100,000.00
06051GJH3
BANK OF AMERICA CORP (CALLABLE) CORPORAT
INTEREST
10/24/24
411.75
0.81%
5/3/21
5/3/21
0.00
MONEY0002
MONEY MARKET FUND
INTEREST
3.70
5/3/21
5/4/21
595,000.00
91282CBV2
US TREASURY N/B NOTES
BUY
4/15/24
(596,068.76)
0.32%
0.37%
5/5/21
5/5/21
1,830,000.00
3137EAER6
FREDDIE MAC NOTES
INTEREST
5/5/23
3,431.25
0.37%
5/6/21
5/6/21
570,000.00
3137EAEZ8
FREDDIE MAC NOTES
INTEREST
11/6/23
716.46
0.25%
5/10/21
5/12/21
70,000.00
023135BW5
AMAZON.COM INC CORPORATE NOTES
BUY
5/12/24
(69,897.80)
0.50%
0.45%
5/10/21
5/12/21
70,000.00
023135AJ5
AMAZON.COM INC CORP NOTES
SELL
11/29/22
72,852.46
61.07
2.50%
5/15/21
5/15/21
85,000.00
427866AZ1
HERSHEY COMPANY
INTEREST
5/15/23
1,434.38
3.37%
5/15/21
5/15/21
340,000.00
912828TY6
US TREASURY NOTES
INTEREST
11/15/22
2,762.50
1.62%
5/22/21
5/22/21
135,000.00
3135G04Q3
FANNIE MAE NOTES
INTEREST
5/22/23
168.75
0.25%
5/24/21
5/24/21
230,000.00
3134GXDT8
FREDDIE MAC NOTES (CALLABLE)
INTEREST
11/24/23
402.50
0.35%
5/24/21
5/28/21
115,000.00
912828YW4
US TREASURY NOTES
SELL
12/15/22
118,541.76
2,590.80
1.62%
5/24/21
6/1/21
115,000.00
46647PCH7
JPMORGAN CHASE & CO CORPORATE NOTES
BUY
6/1/25
(115,000.00)
0.82%
0.82%
5/27/21
5/27/21
355,000.00
3135G06H1
FANNIE MAE NOTES
INTEREST
11/27/23
448.68
0.25%
PFM Asset Management LLC
19
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Activity
Security Description
CUSIP
Par ($)
Settle
Date
Trade
Date
Tran.
Type
Maturity
Date
Transact
Amt ($)
Yield
Realized
G/L (BV)
Coupon
5/29/21
5/29/21
100,000.00
023135AJ5
AMAZON.COM INC CORP NOTES
INTEREST
11/29/22
1,250.00
2.50%
5/31/21
5/31/21
20,000.00
912828M80
US TREASURY NOTES
INTEREST
11/30/22
200.00
2.00%
6/1/21
6/1/21
0.00
MONEY0002
MONEY MARKET FUND
INTEREST
1.99
6/1/21
6/1/21
200,000.00
3135G04U4
FANNIE MAE NOTES (CALLED, OMD 06/01/23)
MATURITY
6/1/21
200,450.00
0.00
0.45%
6/1/21
6/2/21
200,000.00
91282CCC3
US TREASURY N/B NOTES
BUY
5/15/24
(199,704.15)
0.30%
0.25%
6/2/21
6/2/21
65,000.00
23341VZT1
DNB BANK ASA/NY LT CD
INTEREST
12/2/22
670.37
2.04%
6/2/21
6/4/21
260,000.00
912828YV6
US TREASURY NOTES
BUY
11/30/24
(269,680.90)
0.43%
1.50%
6/2/21
6/4/21
275,000.00
9128282S8
US TREASURY NOTES
SELL
8/31/22
281,429.43
4,883.71
1.62%
6/4/21
6/4/21
800,000.00
3137EAFA2
FREDDIE MAC NOTES
INTEREST
12/4/23
1,000.00
0.25%
6/15/21
6/15/21
259,000.00
912828YW4
US TREASURY NOTES
INTEREST
12/15/22
2,104.38
1.62%
6/26/21
6/26/21
160,000.00
3137EAES4
FREDDIE MAC NOTES
INTEREST
6/26/23
200.00
0.25%
6/27/21
6/28/21
100,000.00
02665WCY5
AMERICAN HONDA FINANCE
INTEREST
6/27/22
1,100.00
2.20%
6/30/21
6/30/21
30,000.00
912828N30
US TREASURY NOTES
INTEREST
12/31/22
318.75
2.12%
TOTALS
(556,911.18)
7,836.72
PFM Asset Management LLC
20
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Holdings
Managed Account Detail of Securities Held
Original
Cost
Settle
Date
Trade
Date
Moody's
Rating
S&P
Rating
Accrued
Interest
Amortized
Cost
Market
Value
YTM
at Cost
Security Type/Description
CUSIP
Par
Dated Date/Coupon/Maturity
U.S. Treasury Bond / Note
AA+
Aaa
12/2/2019
12/4/2019
339,800.78
705.64
339,907.14
346,853.11
1.65
US TREASURY NOTES
DTD 11/15/2012 1.625% 11/15/2022
912828TY6
340,000.00
AA+
Aaa
8/1/2019
8/2/2019
20,119.53
33.88
20,050.82
20,518.75
1.81
US TREASURY NOTES
DTD 11/30/2015 2.000% 11/30/2022
912828M80
20,000.00
AA+
Aaa
1/3/2020
1/7/2020
259,465.39
183.99
259,230.74
264,503.75
1.56
US TREASURY NOTES
DTD 12/15/2019 1.625% 12/15/2022
912828YW4
259,000.00
AA+
Aaa
11/1/2019
11/5/2019
30,530.86
1.73
30,252.53
30,876.56
1.55
US TREASURY NOTES
DTD 12/31/2015 2.125% 12/31/2022
912828N30
30,000.00
AA+
Aaa
2/3/2020
2/5/2020
120,585.94
830.39
120,306.87
122,437.50
1.33
US TREASURY NOTES
DTD 01/15/2020 1.500% 01/15/2023
912828Z29
120,000.00
AA+
Aaa
3/2/2020
3/4/2020
538,943.75
2,737.85
534,928.19
540,185.96
0.80
US TREASURY NOTES
DTD 02/15/2020 1.375% 02/15/2023
912828Z86
530,000.00
AA+
Aaa
2/2/2021
2/4/2021
587,058.28
339.07
587,187.05
584,508.75
0.18
US TREASURY NOTES
DTD 01/15/2021 0.125% 01/15/2024
91282CBE0
588,000.00
AA+
Aaa
3/4/2021
3/9/2021
372,993.16
176.11
373,206.38
372,597.68
0.31
US TREASURY NOTES
DTD 02/15/2021 0.125% 02/15/2024
91282CBM2
375,000.00
AA+
Aaa
3/1/2021
3/1/2021
49,787.11
23.48
49,811.14
49,679.69
0.27
US TREASURY NOTES
DTD 02/15/2021 0.125% 02/15/2024
91282CBM2
50,000.00
AA+
Aaa
3/3/2021
3/4/2021
99,511.72
46.96
99,565.62
99,359.38
0.29
US TREASURY NOTES
DTD 02/15/2021 0.125% 02/15/2024
91282CBM2
100,000.00
AA+
Aaa
4/5/2021
4/7/2021
622,973.63
458.56
623,134.15
622,558.63
0.36
US TREASURY NOTES
DTD 03/15/2021 0.250% 03/15/2024
91282CBR1
625,000.00
AA+
Aaa
5/3/2021
5/4/2021
595,952.93
469.42
595,901.61
594,256.25
0.32
US TREASURY N/B NOTES
DTD 04/15/2021 0.375% 04/15/2024
91282CBV2
595,000.00
AA+
Aaa
6/1/2021
6/2/2021
199,679.69
63.86
199,688.31
198,937.50
0.30
US TREASURY N/B NOTES
DTD 05/15/2021 0.250% 05/15/2024
91282CCC3
200,000.00
AA+
Aaa
6/2/2021
6/4/2021
269,638.28
330.33
269,434.18
268,287.50
0.43
US TREASURY NOTES
DTD 11/30/2019 1.500% 11/30/2024
912828YV6
260,000.00
0.61
4,115,561.01
4,102,604.73
6,401.27
4,092,000.00
4,107,041.05
Security Type Sub-Total
PFM Asset Management LLC
21
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Holdings
Managed Account Detail of Securities Held
Original
Cost
Settle
Date
Trade
Date
Moody's
Rating
S&P
Rating
Accrued
Interest
Amortized
Cost
Market
Value
YTM
at Cost
Security Type/Description
CUSIP
Par
Dated Date/Coupon/Maturity
Municipal Bond / Note
AAA
Aaa
12/10/2020
12/30/2020
55,000.00
168.13
55,000.00
54,559.45
0.61
SCOTTSDALE, AZ TXBL GO BONDS
DTD 12/30/2020 0.608% 07/01/2025
810454BL1
55,000.00
0.61
54,559.45
55,000.00
168.13
55,000.00
55,000.00
Security Type Sub-Total
Federal Agency Bond / Note
AA+
Aaa
7/21/2020
7/23/2020
104,762.70
56.88
104,873.89
104,998.64
0.24
FREDDIE MAC NOTES
DTD 07/23/2020 0.125% 07/25/2022
3137EAET2
105,000.00
AA+
Aaa
8/10/2020
8/11/2020
754,886.75
912.30
754,927.12
755,163.84
0.31
FREDDIE MAC NOTES (CALLABLE)
DTD 08/06/2020 0.300% 02/06/2023
3134GWLD6
755,000.00
AA+
Aaa
8/3/2020
8/6/2020
130,000.00
157.08
130,000.00
130,028.21
0.30
FREDDIE MAC NOTES (CALLABLE)
DTD 08/06/2020 0.300% 02/06/2023
3134GWLD6
130,000.00
AA+
Aaa
4/17/2020
4/20/2020
149,625.00
110.94
149,774.66
150,416.55
0.46
FREDDIE MAC NOTES
DTD 04/20/2020 0.375% 04/20/2023
3137EAEQ8
150,000.00
AA+
Aaa
8/3/2020
8/4/2020
100,490.00
58.33
100,328.46
100,265.70
0.20
FREDDIE MAC NOTES
DTD 05/07/2020 0.375% 05/05/2023
3137EAER6
100,000.00
AA+
Aaa
6/2/2020
6/5/2020
1,297,408.70
755.42
1,296,523.55
1,298,440.81
0.31
FREDDIE MAC NOTES
DTD 05/07/2020 0.375% 05/05/2023
3137EAER6
1,295,000.00
AA+
Aaa
5/7/2020
5/8/2020
435,648.15
253.75
435,399.46
436,155.80
0.32
FREDDIE MAC NOTES
DTD 05/07/2020 0.375% 05/05/2023
3137EAER6
435,000.00
AA+
Aaa
5/20/2020
5/22/2020
134,593.65
36.56
134,743.94
135,049.55
0.35
FANNIE MAE NOTES
DTD 05/22/2020 0.250% 05/22/2023
3135G04Q3
135,000.00
AA+
Aaa
6/24/2020
6/26/2020
159,532.80
5.56
159,690.67
160,029.92
0.35
FREDDIE MAC NOTES
DTD 06/26/2020 0.250% 06/26/2023
3137EAES4
160,000.00
AA+
Aaa
7/8/2020
7/10/2020
209,548.50
249.38
209,695.29
209,967.03
0.32
FANNIE MAE NOTES
DTD 07/10/2020 0.250% 07/10/2023
3135G05G4
210,000.00
AA+
Aaa
8/11/2020
8/12/2020
239,568.00
282.00
239,695.66
239,954.40
0.36
FANNIE MAE NOTES (CALLABLE)
DTD 08/10/2020 0.300% 08/10/2023
3135G05R0
240,000.00
AA+
Aaa
8/20/2020
8/21/2020
145,000.00
192.85
145,000.00
145,086.86
0.36
FANNIE MAE NOTES (CALLABLE)
DTD 08/18/2020 0.360% 08/18/2023
3135G05V1
145,000.00
PFM Asset Management LLC
22
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Holdings
Managed Account Detail of Securities Held
Original
Cost
Settle
Date
Trade
Date
Moody's
Rating
S&P
Rating
Accrued
Interest
Amortized
Cost
Market
Value
YTM
at Cost
Security Type/Description
CUSIP
Par
Dated Date/Coupon/Maturity
Federal Agency Bond / Note
AA+
Aaa
8/19/2020
8/21/2020
104,892.90
92.60
104,923.53
104,960.10
0.28
FREDDIE MAC NOTES
DTD 08/21/2020 0.250% 08/24/2023
3137EAEV7
105,000.00
AA+
Aaa
9/2/2020
9/4/2020
50,009.13
39.24
50,006.64
49,969.75
0.24
FREDDIE MAC NOTES
DTD 09/04/2020 0.250% 09/08/2023
3137EAEW5
50,000.00
AA+
Aaa
9/2/2020
9/4/2020
69,976.90
54.93
69,983.21
69,957.65
0.26
FREDDIE MAC NOTES
DTD 09/04/2020 0.250% 09/08/2023
3137EAEW5
70,000.00
AA+
Aaa
10/14/2020
10/16/2020
154,421.85
40.36
154,558.07
154,424.18
0.25
FREDDIE MAC NOTES
DTD 10/16/2020 0.125% 10/16/2023
3137EAEY1
155,000.00
AA+
Aaa
11/3/2020
11/5/2020
569,487.00
217.71
569,598.40
569,230.50
0.28
FREDDIE MAC NOTES
DTD 11/05/2020 0.250% 11/06/2023
3137EAEZ8
570,000.00
AA+
Aaa
2/12/2021
2/16/2021
230,126.50
82.74
230,000.00
229,851.65
0.33
FREDDIE MAC NOTES (CALLABLE)
DTD 11/24/2020 0.350% 11/24/2023
3134GXDT8
230,000.00
AA+
Aaa
1/7/2021
1/8/2021
205,055.35
48.40
205,046.20
204,716.49
0.24
FANNIE MAE NOTES
DTD 11/25/2020 0.250% 11/27/2023
3135G06H1
205,000.00
AA+
Aaa
11/23/2020
11/25/2020
149,829.00
35.42
149,862.98
149,792.55
0.29
FANNIE MAE NOTES
DTD 11/25/2020 0.250% 11/27/2023
3135G06H1
150,000.00
AA+
Aaa
12/2/2020
12/4/2020
94,905.95
17.81
94,923.90
94,821.69
0.28
FREDDIE MAC NOTES
DTD 12/04/2020 0.250% 12/04/2023
3137EAFA2
95,000.00
AA+
Aaa
12/4/2020
12/7/2020
704,739.15
132.19
704,788.36
703,676.71
0.26
FREDDIE MAC NOTES
DTD 12/04/2020 0.250% 12/04/2023
3137EAFA2
705,000.00
0.30
6,196,958.58
6,194,343.99
3,832.45
6,195,000.00
6,194,507.98
Security Type Sub-Total
Corporate Note
AA+
Aa1
1/7/2019
1/9/2019
172,403.00
1,725.69
174,486.13
177,090.55
3.01
APPLE INC CORP NOTES
DTD 02/09/2017 2.500% 02/09/2022
037833CM0
175,000.00
A-
A3
7/8/2019
7/10/2019
99,567.00
24.44
99,855.67
101,873.70
2.35
AMERICAN HONDA FINANCE
DTD 06/27/2019 2.200% 06/27/2022
02665WCY5
100,000.00
AA
A1
6/9/2020
6/11/2020
104,546.00
222.22
102,603.48
102,595.10
0.64
AMAZON.COM INC CORP NOTES
DTD 11/29/2012 2.500% 11/29/2022
023135AJ5
100,000.00
PFM Asset Management LLC
23
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Holdings
Managed Account Detail of Securities Held
Original
Cost
Settle
Date
Trade
Date
Moody's
Rating
S&P
Rating
Accrued
Interest
Amortized
Cost
Market
Value
YTM
at Cost
Security Type/Description
CUSIP
Par
Dated Date/Coupon/Maturity
Corporate Note
A
A2
1/22/2020
2/3/2020
99,863.00
708.33
99,927.37
102,177.80
1.75
ADOBE INC CORP NOTE
DTD 02/03/2020 1.700% 02/01/2023
00724PAA7
100,000.00
A
A2
2/22/2021
3/1/2021
94,918.30
79.17
94,931.95
94,916.59
0.29
CATERPILLAR FINL SERVICE
CORPORATE NOTES
DTD 03/01/2021 0.250% 03/01/2023
14913R2J5
95,000.00
A
A1
3/11/2020
3/13/2020
88,299.70
366.56
86,946.20
89,507.72
2.10
HERSHEY COMPANY
DTD 05/10/2018 3.375% 05/15/2023
427866AZ1
85,000.00
A+
A1
5/20/2020
5/26/2020
74,972.25
354.38
74,981.63
76,486.43
1.36
TOYOTA MOTOR CREDIT CORP
CORPORATE NOTES
DTD 05/26/2020 1.350% 08/25/2023
89236THA6
75,000.00
AA
A1
5/10/2021
5/12/2021
69,897.80
42.88
69,902.46
69,847.61
0.50
AMAZON.COM INC CORPORATE
NOTES
DTD 05/12/2021 0.450% 05/12/2024
023135BW5
70,000.00
A-
A2
10/16/2020
10/21/2020
100,000.00
150.75
100,000.00
100,301.40
0.81
BANK OF AMERICA CORP (CALLABLE)
CORPORAT
DTD 10/21/2020 0.810% 10/24/2024
06051GJH3
100,000.00
A-
A2
5/24/2021
6/1/2021
115,000.00
78.97
115,000.00
114,815.89
0.82
JPMORGAN CHASE & CO
CORPORATE NOTES
DTD 06/01/2021 0.824% 06/01/2025
46647PCH7
115,000.00
1.50
1,029,612.79
1,018,634.89
3,753.39
1,015,000.00
1,019,467.05
Security Type Sub-Total
Certificate of Deposit
A-1
P-1
2/10/2021
2/12/2021
235,000.00
263.13
235,000.00
235,113.89
0.29
BARCLAYS BANK PLC NY CERT
DEPOS
DTD 02/12/2021 0.290% 02/04/2022
06742TWL6
235,000.00
A-1
P-1
2/14/2020
2/19/2020
100,000.00
685.00
100,000.00
100,902.00
1.80
SOCIETE GENERALE NY CERT
DEPOS
DTD 02/19/2020 1.800% 02/14/2022
83369XDL9
100,000.00
A-1
P-1
2/26/2021
2/26/2021
120,000.00
104.17
120,000.00
120,031.80
0.25
HSBC BANK USA NA
DTD 02/26/2021 0.250% 02/25/2022
40435RKU4
120,000.00
PFM Asset Management LLC
24
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Portfolio Holdings
Managed Account Detail of Securities Held
Original
Cost
Settle
Date
Trade
Date
Moody's
Rating
S&P
Rating
Accrued
Interest
Amortized
Cost
Market
Value
YTM
at Cost
Security Type/Description
CUSIP
Par
Dated Date/Coupon/Maturity
Certificate of Deposit
A-1
P-1
7/10/2020
7/14/2020
85,000.00
287.58
85,000.00
85,399.33
0.70
SUMITOMO MITSUI BANK NY CERT
DEPOS
DTD 07/14/2020 0.700% 07/08/2022
86565CKU2
85,000.00
A+
Aa2
2/16/2021
2/18/2021
150,000.00
138.54
150,000.00
149,588.85
0.25
UBS AG STAMFORD CT CERT DEPOS
DTD 02/18/2021 0.250% 08/16/2022
90275DNC0
150,000.00
A+
Aa2
8/29/2019
9/3/2019
130,000.00
839.58
130,000.00
132,503.93
1.85
SKANDINAV ENSKILDA BANK LT CD
DTD 09/03/2019 1.860% 08/26/2022
83050PDR7
130,000.00
AA-
Aa3
8/27/2019
8/29/2019
115,000.00
738.72
115,000.00
117,201.79
1.84
NORDEA BANK ABP NEW YORK CERT
DEPOS
DTD 08/29/2019 1.850% 08/26/2022
65558TLL7
115,000.00
AA-
Aa2
12/5/2019
12/6/2019
65,000.00
106.82
65,000.00
66,696.57
2.03
DNB BANK ASA/NY LT CD
DTD 12/06/2019 2.040% 12/02/2022
23341VZT1
65,000.00
A+
Aa3
3/19/2021
3/23/2021
100,000.00
163.89
100,000.00
100,159.50
0.59
CREDIT SUISSE NEW YORK CERT
DEPOS
DTD 03/23/2021 0.590% 03/17/2023
22552G3C2
100,000.00
0.93
1,107,597.66
1,100,000.00
3,327.43
1,100,000.00
1,100,000.00
Security Type Sub-Total
12,476,016.08
12,457,000.00
17,482.67
12,470,583.61
12,504,289.49
0.56
Managed Account Sub Total
Money Market Mutual Fund
AAAm
NR
1,185,005.42
0.00
1,185,005.42
1,185,005.42
PFM Funds - Govt Select, Instl Cl
1,185,005.42
1,185,005.42
1,185,005.42
0.00
1,185,005.42
1,185,005.42
Liquid Sub Total
$17,482.67
$13,655,589.03
$13,689,294.91
Securities Sub-Total
Accrued Interest
$17,482.67
Total Investments
$13,706,777.58
0.56%
$13,642,005.42
$13,661,021.50
Bolded items are forward settling trades.
PFM Asset Management LLC
25
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Appendix
IMPORTANT DISCLOSURES
This material is based on information obtained from sources generally believed to be reliable and available to the public; however, PFM Asset Management LLC cannot
guarantee its accuracy, completeness or suitability. This material is for general information purposes only and is not intended to provide specific advice or a specific
recommendation. All statements as to what will or may happen under certain circumstances are based on assumptions, some, but not all of which, are noted in the
presentation. Assumptions may or may not be proven correct as actual events occur, and results may depend on events outside of your or our control. Changes in
assumptions may have a material effect on results. Past performance does not necessarily reflect and is not a guaranty of future results. The information contained in
this presentation is not an offer to purchase or sell any securities.
Dime
Ã
Market values that include accrued interest are derived from closing bid prices as of the last business day of the month as supplied by Refinitiv, Bloomberg,
or Telerate. Where prices are not available from generally recognized sources, the securities are priced using a yield based matrix system to arrive at an estimated
market value.
Ã
In accordance with generally accepted accounting principles, information is presented on a trade date basis; forward settling purchases are included in the monthly
balances, and forward settling sales are excluded.
Ã
Performance is presented in accordance with the CFA Institute’s Global Investment Performance Standards (GIPS). Unless otherwise noted, performance is shown
gross of fees. Quarterly returns are presented on an unannualized basis. Returns for periods greater than one year are presented on an annualized basis. Past
performance is not indicative of future returns.
Ã
Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets.
Ã
Money market fund/cash balances are included in performance and duration computations.
Ã
Standard & Poorʼs is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/LGIP holdings.
Ã
Callable securities in the portfolio are included in the maturity distribution analysis to their stated maturity date, although, they may be called prior to maturity.
Ã
MBS maturities are represented by expected average life.
PFM Asset Management LLC
26
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Appendix
GLOSSARY
Ã
ACCRUED INTEREST: Interest that is due on a bond or other fixed income security since the last interest payment was made.
Ã
AGENCIES: Federal agency securities and/or Government-sponsored enterprises.
à AMORTIZED COST: The original cost of the principal of the security is adjusted for the amount of the periodic reduction of any discount or premium from the purchase
date until the date of the report. Discount or premium with respect to short-term securities (those with less than one year to maturity at time of issuance) is amortized
on a straight line basis. Such discount or premium with respect to longer-term securities is amortized using the constant yield basis.
à BANKERS’ ACCEPTANCE: A draft or bill or exchange accepted by a bank or trust company. The accepting institution guarantees payment of the bill as well as the
insurer.
Ã
COMMERCIAL PAPER: An unsecured obligation issued by a corporation or bank to finance its short-term credit needs, such as accounts receivable and inventory.
à CONTRIBUTION TO DURATION: Represents each sector or maturity range’s relative contribution to the overall duration of the portfolio measured as a percentage
weighting. Since duration is a key measure of interest rate sensitivity, the contribution to duration measures the relative amount or contribution of that sector or
maturity range to the total rate sensitivity of the portfolio.
Ã
EFFECTIVE DURATION: A measure of the sensitivity of a security’s price to a change in interest rates, stated in years.
à EFFECTIVE YIELD: The total yield an investor receives in relation to the nominal yield or coupon of a bond. Effective yield takes into account the power of compounding
on investment returns, while nominal yield does not.
Ã
FDIC: Federal Deposit Insurance Corporation. A federal agency that insures bank deposits to a specified amount.
Ã
INTEREST RATE: Interest per year divided by principal amount and expressed as a percentage.
Ã
MARKET VALUE: The value that would be received or paid for an investment in an orderly transaction between market participants at the measurement date.
Ã
MATURITY: The date upon which the principal or stated value of an investment becomes due and payable.
Ã
NEGOTIABLE CERTIFICATES OF DEPOSIT: A CD with a very large denomination, usually $1 million or more, that can be traded in secondary markets.
Ã
PAR VALUE: The nominal dollar face amount of a security.
à PASS THROUGH SECURITY: A security representing pooled debt obligations that passes income from debtors to its shareholders. The most common type is the
mortgage-backed security.
PFM Asset Management LLC
27
CHANDLER WORKERS COMP & EMPLOYER TRUST
For the Quarter Ended June 30, 2021
Appendix
GLOSSARY
Ã
REPURCHASE AGREEMENTS: A holder of securities sells these securities to an investor with an agreement to repurchase them at a fixed price on a fixed date.
à SETTLE DATE: The date on which the transaction is settled and monies/securities are exchanged. If the settle date of the transaction (i.e., coupon payments and
maturity proceeds) occurs on a non-business day, the funds are exchanged on the next business day.
Ã
TRADE DATE: The date on which the transaction occurred; however, the final consummation of the security transaction and payment has not yet taken place.
Ã
UNSETTLED TRADE: A trade which has been executed; however, the final consummation of the security transaction and payment has not yet taken place.
Ã
U.S. TREASURY: The department of the U.S. government that issues Treasury securities.
à YIELD: The rate of return based on the current market value, the annual interest receipts, maturity value, and the time period remaining until maturity, stated as a
percentage on an annualized basis.
à YTM AT COST: The yield to maturity at cost is the expected rate of return based on the original cost, the annual interest receipts, maturity value, and the time period from
purchase date to maturity, stated as a percentage on an annualized basis.
à YTM AT MARKET: The yield to maturity at market is the rate of return based on the current market value, the annual interest receipts, maturity value, and the time
period remaining until maturity, stated as a percentage on an annualized basis.
PFM Asset Management LLC
28