Investment Report for the Quarter Ending September 30, 2021

City of Chandler — Regular Meeting (2021-11-18)

Extracted text (via pymupdf) 42149 characters

Investment Performance Review
For the Quarter Ended September 30, 2021
Client Management Team
PFM Asset Management LLC
Paulina Woo, Managing Director
Luke Schneider, CFA, Director
Annette Gaston, Senior Managing Consultant
CITY OF CHANDLER
WORKERS COMP & EMPLOYER TRUST
213 Market Street
Harrisburg, PA 17101-2141
717-232-2723
1820 East Ray Road
Chandler, AZ 85225
855-885-9621

QUARTERLY MARKET SUMMARY
For the Quarter Ended September 30, 2021
Fixed Income Management
S U M M A R Y
• In Q3, U.S. economic conditions were impacted by: (1) a summer surge of COVID-19
infections driven by the highly contagious delta variant negatively affected consumer
and business sentiment; (2) moderating but still above-trend economic growth; (3)
higher inflation caused by material increases in the price of energy, other raw materials
and various consumer goods and services; (4) continuing supply chain disruptions and
shortages; (5) a Federal Reserve (Fed) planning to begin an accelerated pace of asset
purchase tapering; (6) political wrangling over both government funding and the expired
suspension of the debt ceiling; and (7) a material slowdown in job growth.
• The recovery is continuing, but the economy faces familiar headwinds. The COVID-19
surge in the U.S. that began in July peaked in September before trailing off sharply late in
the quarter. The overall toll remains staggering: 44 million cases and over 700,000 deaths
in the U.S. The surge impaired economic activity and caused consumer sentiment to fall to
its lowest level in over a year. The labor market slowed even with job openings at record
levels. Prices remained elevated for both the consumer and the producer, although the Fed
views this trend as transitory. The growth outlook has become more uncertain.
• At the Federal Open Market Committee’s (FOMC) September meeting, officials hinted that
a tapering of bond purchases could begin as soon as November. More importantly, the Fed
indicated that a likely path of tapering could conclude around the middle of next year – a
faster pace than was expected by analysts. Half of the FOMC participants indicated that
they expect to increase short-term rates at least once in 2022, with multiple hikes in place
by the end of 2023. In its updated September projections, the Fed also lowered its forecast
for GDP growth for 2021 from 7% to 5.9% and increased its forecast for inflation (Core
PCE) from 3% to 3.7%. Longer-term projections were relatively unchanged.
E C O N O M I C
S N A P S H O T
• Real GDP in the U.S. increased by 6.7% in Q2, following a 6.3% expansion in Q1.
Spending was again the primary driver, with consumer spending rising by 12% as public
health restrictions eased and businesses reopened earlier in the year. The delta variant
triggered a summer slowdown in spending, but consumers remain in a strong position to
help power the economic recovery. Nevertheless, the impact of waning monetary and fiscal
stimulus creates a larger degree of uncertainty for the economy.
• Job gains disappointed for a second straight month as the U.S. economy added only
366,000 jobs in August and 194,000 jobs in September, far short of expectations and
well below the average of 641,000 for the first seven months of the year. Despite the
recent weakness, the unemployment rate fell 1.1% to 4.8% in the quarter. The labor force
participation rate held steady, but wages continued to rise, up 4.6% over the past year.
The number of job openings stood at 10.4 million in August, following a record 11.1 million
in July. The “quits rate” – voluntary separations initiated by the employee, serving as a
measure of workers’ willingness to leave jobs – increased to a series high of 2.9%.
• On the inflation front, the consumer price index (CPI) rose 5.4% for the twelve months
through September, up slightly from the prior quarter. Surging prices for energy and new
and used cars accounted for more than half the overall gain. The producer price index (PPI)
rose for the eighth straight month, reaching a whopping 8.3% increase over the past year
ended August as commodity prices remain elevated.
• The frantic and heated housing market showed signs of cooling as existing homes sales
declined. The lack of available supply remains a significant constraint. With prices up 20%
over the past year and mortgage rates rising, affordability is also impeding further gains.
I N T E R E S T RAT E S
• After dipping mid-quarter, U.S. Treasury yields barely changed. The only material changes
were 7 to 11 basis point increases in yields on 3- to 10-year maturities. Late surges in rates
were driven by inflation worries and the accelerated pace of Fed tapering. Short-term rates
remain anchored near rock-bottom lows by the current near-zero rate policy. At quarter-end,
the yield on a 3-month U.S. Treasury Bill stood at 0.04%, the 2-year note was 0.28%, the
5-year note was 0.97%, the 10-year note was 1.49% and the 30-year was 2.05%.
• As a result of a modestly steeper curve over the quarter, U.S. Treasury index returns were
mixed for the quarter. Shorter-duration U.S. Treasury indices (three years and under) were
flat to slightly positive, while indices holding intermediate- and longer-term portions of
the yield curve posted negative returns. For example, the 1-year Treasury index returned
0.02% for the quarter, while the 5-year Treasury index returned -0.25% and the 10-year
Treasury index returned -0.31%.
S E C T OR P E R F O R M A N C E
• Diversification away from U.S. Treasuries was generally additive to performance in
Q3. Broad, global demand for yield has continued to pressure yield spreads, which remained
in very low and tight trading ranges. Most investment-grade (IG) sectors produced positive
excess returns for Q3 – returns in excess of comparable maturity Treasuries – but at a lesser
pace than in recent prior quarters. Low yields mean lesser income, while narrow spreads
mean less opportunity for price gains from further spread compression. Something close to
index-level returns is about all that can be expected in upcoming quarters.
• Federal agency spreads were mostly unchanged again, and the sector generated modest
positive excess returns. Supranational opportunities were better in Q3 as several attractively
priced new issues came to market.
• IG corporates trudged along to slightly positive excess returns, aided by continued economic
recovery, improving credit fundamentals, and supportive global monetary policy. Although
new issuance has been elevated, insatiable demand resulted in a reasonably strong
performance. Valuations are now very rich, with spreads ending the quarter nearer the June
2021 all-time tights. Lower quality corporates led the way, as the incremental income
component of total returns remains a driver of overall performance in the current, low spread
environment.
• The taxable municipal sector was one of the few IG fixed income sectors to post negative
excess returns for Q3. YTD returns remain near the top, despite recent underperformance.
• AAA-rated asset-backed securities (ABS) spreads were stable, and collateral performance
has remained strong. Issuance picked up in Q3.
• Agency mortgage-backed securities (MBS) spreads widened but remain susceptible to
further duration extension and price deterioration as rates rise. Expectations for Fed tapering
is a lingering concern, as the Fed has been the largest buyer in the sector. Excess returns
were largely flat to modestly negative, depending on the specific term and collateral type.
Lower coupons suffered, while higher coupons performed best. After a strong performance,
agency CMBS stumbled notably in Q3. Similar to taxable municipals, the recent
underperformance of CMBS is dwarfed by phenomenal YTD outperformance.
PFM Asset Management LLC
For the Quarter Ended September 30, 2021
Market Summary
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3

QUARTERLY MARKET SUMMARY
For the Quarter Ended September 30, 2021
Fixed Income Management
Economic Snapshot
Labor Market
Latest
Jun '21
Sep '20
Unemployment Rate
Sep '21
4.8%
5.9%
7.8%
Unemployment Rate (left) vs. Change in Non -farm Payrolls (right)
Change In Non-Farm Payrolls
Unemployment Rate
16%
10,000K
14%
5,000K
12%
0
10%
5,000K
8%
6%
10,000K
4%
15,000K
2%
20,000K
0%
25,000K
Sep '18 Mar '19 Sep '19 Mar '20 Sep '20 Mar '21 Sep '21
Change In Non-Farm Payrolls
Sep '21
194,000
962,000
716,000
Average Hourly Earnings (YoY)
Sep '21
4.6%
3.7%
4.8%
Personal Income (YoY)
Aug '21
6.1%
2.5%
6.2%
Initial Jobless Claims (week)
10/2/21
326,000
368,000
803,000
Growth
Real GDP (QoQ SAAR)
2021Q2
6.7%
1
6.3%
-31.2%
2
Real GDP (QoQ)
40%
GDP Personal Consumption (QoQ SAAR)
2021Q2
12.0%
1
11.4%
-33.4%
2
30%
20%
10%
Retail Sales (YoY)
Aug '21
15.1%
18.9%
6.0%
0%
-10%
ISM Manufacturing Survey (month)
Sep '21
61.1
60.6
55.7
-20%
-30%
-40%
Existing Home Sales SAAR (month)
Aug '21
5.88 mil.
5.87 mil.
6.44 mil.
Jun '18 Dec '18 Jun '19 Dec '19 Jun '20 Dec '20 Jun '21
Inflation / Prices
Personal Consumption Expenditures (YoY)
Aug '21
4.3%
4.0%
1.4%
Consumer Price Index
CPI (YoY)
Core CPI (YoY)
6%
Consumer Price Index (YoY)
Aug '21
5.3%
5.4%
1.4%
5%
4%
Consumer Price Index Core (YoY)
Aug '21
4.0%
4.5%
1.7%
3%
2%
Crude Oil Futures (WTI, per barrel)
Sep 30
$75.03
$73.47
$40.22
1%
0%
Gold Futures (oz.)
Sep 30
$1,755
$1,772
$1,888
Sep '18
Mar '19
Sep '19
Mar '20
Sep '20
Mar '21
1. Data as of First Quarter 2021.
2. Data as of Second Quarter 2020.
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
For the Quarter Ended September 30, 2021
Market Summary
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QUARTERLY MARKET SUMMARY
For the Quarter Ended September 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 09/30/2021
0%
1%
2%
3%
3-yr
2-yr
1-yr
3-
mo
5-yr
7-yr
10-yr
20-yr
30-yr
Yield
September 30, 2021
Maturity
June 30, 2021
September 30, 2020
0%
-1%
1%
2%
3%
4%
3-yr
2-yr
1-yr
3-
mo
7-
yr
0
5-yr
10-yr
25-yr
30-yr
Yield
U.S. Treasury
Maturity
Federal Agency
Corporates, A Rated
0.0%
0.5%
1.0%
1.5%
2.0%
9/30/20
12/31/20
3/31/21
6/30/21
9/30/21
Yield
2-Year
5-Year
10-Year
Maturity
Sep '21
Jun '21
Changeover
Quarter
Sep '20
Changeover
Year
3-Month
0.04%
0.04%
0.00%
0.10%
(0.06%)
1-Year
0.07%
0.07%
0.00%
0.12%
(0.05%)
2-Year
0.28%
0.25%
0.03%
0.13%
0.15%
5-Year
0.97%
0.89%
0.08%
0.28%
0.69%
10-Year
1.49%
1.47%
0.02%
0.69%
0.80%
30-Year
2.05%
2.09%
(0.04%)
1.46%
0.59%
PFM Asset Management LLC
For the Quarter Ended September 30, 2021
Market Summary
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5

QUARTERLY MARKET SUMMARY
For the Quarter Ended September 30, 2021
Fixed Income Management
September 30, 2021
Duration
Yield
3 Month
1 Year
3 Years
1-3 Year Indices
U.S. Treasury
1.90
0.28%
0.06%
0.03%
2.63%
Federal Agency
1.74
0.29%
0.09%
0.20%
2.48%
U.S. Corporates, A-AAA rated
1.89
0.56%
0.14%
0.79%
3.39%
Agency MBS (0 to 3 years)
1.52
0.72%
(0.01%)
(1.64%)
3.44%
Taxable Municipals
1.57
0.47%
0.03%
3.32%
4.11%
1-5 Year Indices
U.S. Treasury
2.66
0.48%
(0.00%)
(0.40%)
3.24%
Federal Agency
2.33
0.47%
0.10%
0.01%
2.79%
U.S. Corporates, A-AAA rated
2.82
0.88%
0.05%
0.76%
4.23%
Agency MBS (0 to 5 years)
2.56
1.37%
0.25%
(0.52%)
3.37%
Taxable Municipals
2.65
0.79%
0.22%
1.82%
3.97%
Master Indices (Maturities 1 Year or Greater)
U.S. Treasury
7.27
1.04%
(0.03%)
(3.60%)
4.94%
Federal Agency
3.99
0.81%
0.01%
(0.75%)
4.23%
U.S. Corporates, A-AAA rated
8.50
1.90%
(0.18%)
0.04%
6.87%
Agency MBS (0 to 30 years)
3.89
1.66%
0.05%
(0.46%)
3.92%
Taxable Municipals
11.26
2.52%
0.33%
2.36%
9.18%
Returns for periods greater than one year are annualized.
Source: ICE BofAML Indices.
ICE BofAML Index Returns
As of 09/30/2021
Returns for Periods ended 09/30/2021
PFM Asset Management LLC
For the Quarter Ended September 30, 2021
Market Summary
© PFM Asset Management LLC pfm.com
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6

QUARTERLY MARKET SUMMARY
For the Quarter Ended September 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 uponrequest.
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
For the Quarter Ended September 30, 2021
Market Summary
© PFM Asset Management LLC pfm.com
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7

PFM Asset Management LLC
CLIENT NAME
For the Quarter Ended September 30, 2021
Market Update
Fixed-Income Sector Commentary – Third Quarter 2021
U.S. Treasury Bills were under pressure near the end
of the quarter from debt ceiling concerns. Short-term
yields remain range-bound due to Fed policy, while
longer-term yields have climbed due to changing
policy and economic expectations, offering extension
and roll-down opportunities.
Federal Agency/GSE securities offer essentially zero
additional yield benefit against Treasury securities out
to seven years. There is little room for further spread
narrowing.
Negotiable CD rates have remained
range-bound and near historical lows. Value
can selectively be found in longer
maturities, although rates remain anchored
by Fed rate policy which is not expected to
change in the near term.

Corporate Notes have benefited from economic
tailwinds, strong profits, improving credit
fundamentals, and supportive global monetary policy.
Overall, valuations remain rich and spreads have
narrowed, approaching June tights.
Taxable Municipal yield spreads narrowed as
issuance slowed. Short maturities are especially
tight. Proposed legislation that would again permit
advance refundings could shift issuance to tax-
exempts.
CITY OF CHANDLER
For the Quarter Ended September 30, 2021
Market Update
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9

© PFM Asset Management LLC pfm.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2021
Account Summary
|
Account Summary
Yield at market, yield on cost, and portfolio duration only include investments held within the separately managed account(s).
1.
The current 7-day yield is the net change, exclusive of capital changes and income other than investment income, in the value of a hypothetical fund account with a balance of one share over the seven-day
base period including the statement date, expressed as a percentage of the value of one share (normally $1.00 per share) at the beginning of the seven-day period. This resulting net change in account
value is then annualized by multiplying it by 365 and dividing the result by 7. The yields quoted should not be considered a representation of the yield of the fund in the future, since the yield is not fixed.
2.
CHANDLER WORKERS COMP & EMPLOYER TRUST
Portfolio Values
September 30, 2021
$13,401,599
$1,185,068
$14,562,831
$13,401,599
PFM Managed Account
PFM Funds - Govt Select
Amortized Cost
Market Value
Accrued Interest
$20,247
Analytics¹
September 30, 2021
0.32%
0.50%
1.87
Yield at Market
Yield on Cost
Portfolio Duration
PFM Funds - Govt Select
0.02%
10

© PFM Asset Management LLC pfm.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2021
Account Summary
|
8.1%
6.2%
6.9%
0.4%
34.4%
43.9%
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
PFM Funds - Govt Select - $1,185,068
Corporate - $910,180
Negotiable CD - $1,005,757
Municipal - $5,020,784
Federal Agency - $54,773
U.S. Treasury - $6,410,106
Portfolio Allocation
Sector Limit for Analysis*
Sector Allocation Analytics
For informational/analytical purposes only and is not provided for compliance assurance.
*Sector Limit for Analysis is as derived from our interpretation of your most recent Investment Policy as provided.
11

© PFM Asset Management LLC pfm.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2021
Portfolio Snapshot
|
Total market value includes accrued interest and balances invested in cbInvestorsClass, as of September 30, 2021.
Calculations exclude balances invested in cbInvestorsClass.
The portfolio’s benchmark is the currently the ICE BofAML 1-3 Year U.S Treasury Index. Prior to 3/31/17 it was the ICE BofAML 0-3 Year U.S Treasury Index. Source: Bloomberg.
An average of each security’s credit rating was assigned a numeric value and adjusted for its relative weighting in the portfolio.
1.
Portfolio Statistics
Total Market Value
$14,615,335.36
Portfolio Effective Duration
1.87 years
Benchmark Effective Duration
1.83 years
Yield At Cost
0.50%
Yield At Market
0.32%
Portfolio Credit Quality
AA
Portfolio Snapshot - CHANDLER WORKERS COMP & EMPLOYER TRUST¹
Credit Quality - S&P
11%
45%
39%
6%
6%
54%
39%
0%
20%
40%
60%
0-1 Yr
1-2 Yrs
2-3 Yrs
3-4 Yrs
Portfolio
Benchmark
Duration Distribution
U.S. Treasury | 44%
Federal Agency | 34%
PMF Funds - Govt Select | 8%
Negotiable CD | 7%
Corporate | 6%
Municipal | <1%
Sector Allocation
AAA | 0%
AAAm | 8%
AA+ | 78%
AA | 1%
AA- | 0%
A-1+ | 1%
A+ | 2%
A | 1%
A- | 3%
A-1 | 5%
13

For the Quarter Ended September 30, 2021
Liquidity Vehicle
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 9/30/21
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.
CITY OF CHANDLER
© PFM Asset Management LLC | pfm.com
14

© PFM Asset Management LLC pfm.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2021
Portfolio Characteristics
|
$0
$3
$6
$9
$12
$15
September 2021
$0
$3
$6
$9
$12
$15
June 2021
$0
$3
$6
$9
$12
$15
March 2021
$0
$3
$6
$9
$12
$15
Millions
December 2020
Sector Allocation Review - CHANDLER WORKERS COMP & EMPLOYER TRUST
U.S. Treasury
Federal Agency
Supranational
Municipal
Negotiable CD
Corporate
PFM Funds - Govt Select
Market values, excluding accrued interest. Only includes investments held within the separately managed account(s). Detail may not add to total due to rounding.
Dec-20
% of Total
Security Type
Mar-21
% of Total
Jun-21
% of Total
% of Total
Sep-21
$2.9
24.5%
$2.8
23.1%
$4.1
30.1%
$6.4
44.0%
$6.8
57.2%
$7.0
57.4%
$6.2
45.2%
$5.0
34.4%
$0.1
0.9%
$0.0
0.0%
$0.0
0.0%
$0.0
0.0%
$0.1
0.5%
$0.1
0.4%
$0.1
0.4%
$0.1
0.4%
$0.6
5.1%
$1.1
9.0%
$1.1
8.1%
$1.0
6.9%
$1.1
9.1%
$0.9
7.5%
$1.0
7.5%
$0.9
6.2%
$0.3
2.7%
$0.3
2.6%
$1.2
8.7%
$1.2
8.1%
U.S. Treasury
Federal Agency
Supranational
Municipal
Negotiable CD
Corporate
PMF Funds - Govt Select
Total
$11.8
100.0%
$12.3
100.0%
$13.7
100.0%
$14.6
100.0%
15

© PFM Asset Management LLC pfm.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2021
Portfolio Performance
|
The lesser of 10 years or since inception is shown. Performance inception date is March 31, 2013.
1.
Interest earned calculated as the ending accrued interest less beginning accrued interest, plus net interest activity.
2.
Returns for periods one year or less are presented on a periodic basis. Returns for periods greater than one year are presented on an annualized basis.
3.
The portfolio’s benchmark is currently the ICE BofAML 1-3 Year U.S Treasury Index. Prior to 3/31/17 it was the ICE BofAML 0-3 Year U.S Treasury Index. Source: Bloomberg.
4.
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
Return
Portfolio
Benchmark
Portfolio Performance
Market Value Basis Earnings
3 Months
1 Year
3 Years
5 Years
Since Inception¹
Interest Earned²
$18,509
$92,901
$429,570
$603,542
$989,305
Change in Market Value
($8,407)
($68,437)
$104,648
$22,366
($194,812)
$10,102
Total Dollar Return
$24,464
$534,218
$625,908
$794,494
Total Return³
Portfolio
0.07%
0.19%
2.50%
1.79%
1.35%
Benchmark⁴
0.06%
0.03%
2.64%
1.66%
0.97%
3 Months
1 Year
3 Years
5 Years
Since Inception
16

© PFM Asset Management LLC pfm.com
CITY OF CHANDLER
For the Quarter Ended September 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 the accuracy, completeness, or suitability of information provided by third party sources. 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.
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 or Bloomberg. 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.
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.
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.
Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets.
Money market fund/cash balances are included in performance and duration computations.
Standard & Poor's is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/LGIP holdings.
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.
MBS maturities are represented by expected average life.
18

© PFM Asset Management LLC pfm.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2021
Appendix
|
Glossary
Accrued Interest: Interest that is due on a bond or other fixed income security since the last interest payment was made.
Agencies: Federal agency securities and/or Government-sponsored enterprises.
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.
Asset-Backed Security: A financial instrument collateralized by an underlying pool of assets – usually ones that generate a cash flow from debt, such as loans,
leases, credit card balances, and receivables.
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.
Commercial Paper: An unsecured obligation issued by a corporation or bank to finance its short-term credit needs, such as accounts receivable and inventory.
Contribution to Total Return: The weight of each individual security multiplied by its return, then summed for each sector to determine how much each sector added
or subtracted from the overall portfolio performance.
Effective Duration: A measure of the sensitivity of a security’s price to a change in interest rates, stated in years.
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.
FDIC: Federal Deposit Insurance Corporation. A federal agency that insures bank deposits to a specified amount.
Interest Rate: Interest per year divided by principal amount and expressed as a percentage.
Market Value: The value that would be received or paid for an investment in an orderly transaction between market participants at the measurement date.
Maturity: The date upon which the principal or stated value of an investment becomes due and payable.
Negotiable Certificates of Deposit: A CD with a very large denomination, usually $1 million or more, that can be traded in secondary markets.
Par Value: The nominal dollar face amount of a security.
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.
19

© PFM Asset Management LLC pfm.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2021
Appendix
|
Glossary
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.
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.
Supranational: A multinational union or association in which member countries cede authority and sovereignty on at least some internal matters to the group, whose
decisions are binding on its members.
Trade Date: The date on which the transaction occurred; however, the final consummation of the security transaction and payment has not yet taken place.
Unsettled Trade: A trade which has been executed; however, the final consummation of the security transaction and payment has not yet taken place.
U.S. Treasury: The department of the U.S. government that issues Treasury securities.
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.
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.
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.
20

For the Month Ending September 30, 2021
Managed Account Detail of Securities Held
CHANDLER WORKERS COMP & EMPLOYER TRUST
Dated Date/Coupon/Maturity
CUSIP
Rating
Rating
Date
Date
Cost
at Cost
Interest
Cost
Value
Security Type/Description
S&P
Moody's
Original
YTM
Accrued
Amortized
Market
Trade
Settle
Par
U.S. Treasury Bond / Note
US TREASURY NOTES
DTD 11/15/2012 1.625% 11/15/2022
345,737.50
339,924.16
2,086.89
339,800.78
12/04/19
12/02/19
Aaa
AA+
340,000.00
912828TY6
1.65
US TREASURY NOTES
DTD 11/30/2015 2.000% 11/30/2022
20,437.50
20,041.78
134.43
20,119.53
08/02/19
08/01/19
Aaa
AA+
20,000.00
912828M80
1.81
US TREASURY NOTES
DTD 12/15/2019 1.625% 12/15/2022
263,653.92
259,190.84
1,241.93
259,465.39
01/07/20
01/03/20
Aaa
AA+
259,000.00
912828YW4
1.56
US TREASURY NOTES
DTD 12/31/2015 2.125% 12/31/2022
30,740.63
30,210.13
161.11
30,530.86
11/05/19
11/01/19
Aaa
AA+
30,000.00
912828N30
1.55
US TREASURY NOTES
DTD 01/15/2020 1.500% 01/15/2023
122,081.26
120,256.72
381.52
120,585.94
02/05/20
02/03/20
Aaa
AA+
120,000.00
912828Z29
1.33
US TREASURY NOTES
DTD 02/15/2020 1.375% 02/15/2023
538,778.13
534,164.90
930.74
538,943.75
03/04/20
03/02/20
Aaa
AA+
530,000.00
912828Z86
0.80
US TREASURY N/B NOTES
DTD 05/31/2021 0.125% 05/31/2023
883,617.19
884,556.90
371.77
884,516.02
08/06/21
08/02/21
Aaa
AA+
885,000.00
91282CCD1
0.16
US TREASURY NOTES
DTD 06/15/2020 0.250% 06/15/2023
230,071.88
230,143.94
169.67
230,152.73
08/24/21
08/23/21
Aaa
AA+
230,000.00
912828ZU7
0.21
US TREASURY NOTES
DTD 10/01/2018 2.875% 09/30/2023
299,650.77
299,579.65
22.51
299,639.65
09/28/21
09/27/21
Aaa
AA+
285,000.00
9128285D8
0.30
US TREASURY NOTES
DTD 01/15/2021 0.125% 01/15/2024
584,876.25
587,267.65
155.79
587,058.28
02/04/21
02/02/21
Aaa
AA+
588,000.00
91282CBE0
0.18
US TREASURY NOTES
DTD 02/15/2021 0.125% 02/15/2024
49,718.75
49,829.25
7.98
49,787.11
03/01/21
03/01/21
Aaa
AA+
50,000.00
91282CBM2
0.27
US TREASURY NOTES
DTD 02/15/2021 0.125% 02/15/2024
99,437.50
99,607.29
15.96
99,511.72
03/04/21
03/03/21
Aaa
AA+
100,000.00
91282CBM2
0.29
US TREASURY NOTES
DTD 02/15/2021 0.125% 02/15/2024
372,890.63
373,378.44
59.86
372,993.16
03/09/21
03/04/21
Aaa
AA+
375,000.00
91282CBM2
0.31
US TREASURY NOTES
DTD 03/15/2021 0.250% 03/15/2024
303,951.56
303,705.70
33.70
303,701.37
09/28/21
09/27/21
Aaa
AA+
305,000.00
91282CBR1
0.42
1

For the Month Ending September 30, 2021
Managed Account Detail of Securities Held
CHANDLER WORKERS COMP & EMPLOYER TRUST
Dated Date/Coupon/Maturity
CUSIP
Rating
Rating
Date
Date
Cost
at Cost
Interest
Cost
Value
Security Type/Description
S&P
Moody's
Original
YTM
Accrued
Amortized
Market
Trade
Settle
Par
U.S. Treasury Bond / Note
US TREASURY NOTES
DTD 03/15/2021 0.250% 03/15/2024
622,851.57
623,307.90
69.06
622,973.63
04/07/21
04/05/21
Aaa
AA+
625,000.00
91282CBR1
0.36
US TREASURY N/B NOTES
DTD 04/15/2021 0.375% 04/15/2024
594,442.19
595,820.21
1,030.28
595,952.93
05/04/21
05/03/21
Aaa
AA+
595,000.00
91282CBV2
0.32
US TREASURY N/B NOTES
DTD 05/15/2021 0.250% 05/15/2024
199,031.24
199,715.64
188.86
199,679.69
06/02/21
06/01/21
Aaa
AA+
200,000.00
91282CCC3
0.30
US TREASURY N/B NOTES
DTD 09/15/2021 0.375% 09/15/2024
303,665.63
303,396.06
50.55
303,391.60
09/28/21
09/27/21
Aaa
AA+
305,000.00
91282CCX7
0.55
US TREASURY NOTES
DTD 11/30/2019 1.500% 11/30/2024
267,637.50
268,738.71
1,310.66
269,638.28
06/04/21
06/02/21
Aaa
AA+
260,000.00
912828YV6
0.43
US TREASURY NOTES
DTD 01/31/2020 1.375% 01/31/2025
276,834.38
277,023.97
625.48
277,519.92
07/07/21
07/02/21
Aaa
AA+
270,000.00
912828Z52
0.58
9,048.75
6,410,105.98
6,399,859.84
0.51
6,405,962.34
6,372,000.00
Security Type Sub-Total
Municipal Bond / Note
SCOTTSDALE, AZ TXBL GO BONDS
DTD 12/30/2020 0.608% 07/01/2025
54,772.85
55,000.00
83.60
55,000.00
12/30/20
12/10/20
Aaa
AAA
55,000.00
810454BL1
0.61
83.60
54,772.85
55,000.00
0.61
55,000.00
55,000.00
Security Type Sub-Total
Federal Agency Bond / Note
FREDDIE MAC NOTES
DTD 07/23/2020 0.125% 07/25/2022
104,998.64
104,903.72
24.06
104,762.70
07/23/20
07/21/20
Aaa
AA+
105,000.00
3137EAET2
0.24
FREDDIE MAC NOTES
DTD 04/20/2020 0.375% 04/20/2023
150,361.95
149,806.16
251.56
149,625.00
04/20/20
04/17/20
Aaa
AA+
150,000.00
3137EAEQ8
0.46
FREDDIE MAC NOTES
DTD 05/07/2020 0.375% 05/05/2023
100,231.80
100,283.56
152.08
100,490.00
08/04/20
08/03/20
Aaa
AA+
100,000.00
3137EAER6
0.20
FREDDIE MAC NOTES
DTD 05/07/2020 0.375% 05/05/2023
375,869.25
375,297.28
570.31
375,558.75
05/08/20
05/07/20
Aaa
AA+
375,000.00
3137EAER6
0.32
2

For the Month Ending September 30, 2021
Managed Account Detail of Securities Held
CHANDLER WORKERS COMP & EMPLOYER TRUST
Dated Date/Coupon/Maturity
CUSIP
Rating
Rating
Date
Date
Cost
at Cost
Interest
Cost
Value
Security Type/Description
S&P
Moody's
Original
YTM
Accrued
Amortized
Market
Trade
Settle
Par
Federal Agency Bond / Note
FREDDIE MAC NOTES
DTD 05/07/2020 0.375% 05/05/2023
1,298,001.81
1,296,315.28
1,969.48
1,297,408.70
06/05/20
06/02/20
Aaa
AA+
1,295,000.00
3137EAER6
0.31
FANNIE MAE NOTES
DTD 05/22/2020 0.250% 05/22/2023
135,045.90
134,778.08
120.94
134,593.65
05/22/20
05/20/20
Aaa
AA+
135,000.00
3135G04Q3
0.35
FREDDIE MAC NOTES
DTD 06/26/2020 0.250% 06/26/2023
160,029.76
159,729.92
105.56
159,532.80
06/26/20
06/24/20
Aaa
AA+
160,000.00
3137EAES4
0.35
FANNIE MAE NOTES
DTD 07/10/2020 0.250% 07/10/2023
210,021.00
209,733.22
118.13
209,548.50
07/10/20
07/08/20
Aaa
AA+
210,000.00
3135G05G4
0.32
FANNIE MAE NOTES (CALLABLE)
DTD 08/10/2020 0.300% 08/10/2023
239,908.56
239,732.03
102.00
239,568.00
08/12/20
08/11/20
Aaa
AA+
240,000.00
3135G05R0
0.36
FANNIE MAE NOTES (CALLABLE)
DTD 08/18/2020 0.360% 08/18/2023
145,074.97
145,000.00
62.35
145,000.00
08/21/20
08/20/20
Aaa
AA+
145,000.00
3135G05V1
0.36
FREDDIE MAC NOTES
DTD 08/21/2020 0.250% 08/24/2023
104,971.44
104,932.50
26.98
104,892.90
08/21/20
08/19/20
Aaa
AA+
105,000.00
3137EAEV7
0.28
FREDDIE MAC NOTES
DTD 09/04/2020 0.250% 09/08/2023
49,966.85
50,005.87
7.99
50,009.13
09/04/20
09/02/20
Aaa
AA+
50,000.00
3137EAEW5
0.24
FREDDIE MAC NOTES
DTD 09/04/2020 0.250% 09/08/2023
69,953.59
69,985.14
11.18
69,976.90
09/04/20
09/02/20
Aaa
AA+
70,000.00
3137EAEW5
0.26
FREDDIE MAC NOTES
DTD 10/16/2020 0.125% 10/16/2023
154,434.56
154,606.65
88.80
154,421.85
10/16/20
10/14/20
Aaa
AA+
155,000.00
3137EAEY1
0.25
FREDDIE MAC NOTES
DTD 11/05/2020 0.250% 11/06/2023
569,114.79
569,641.46
573.96
569,487.00
11/05/20
11/03/20
Aaa
AA+
570,000.00
3137EAEZ8
0.28
FANNIE MAE NOTES
DTD 11/25/2020 0.250% 11/27/2023
149,760.60
149,877.32
129.16
149,829.00
11/25/20
11/23/20
Aaa
AA+
150,000.00
3135G06H1
0.29
FANNIE MAE NOTES
DTD 11/25/2020 0.250% 11/27/2023
204,672.82
205,041.37
176.53
205,055.35
01/08/21
01/07/21
Aaa
AA+
205,000.00
3135G06H1
0.24
FREDDIE MAC NOTES
DTD 12/04/2020 0.250% 12/04/2023
94,805.92
94,931.80
77.19
94,905.95
12/04/20
12/02/20
Aaa
AA+
95,000.00
3137EAFA2
0.28
3

For the Month Ending September 30, 2021
Managed Account Detail of Securities Held
CHANDLER WORKERS COMP & EMPLOYER TRUST
Dated Date/Coupon/Maturity
CUSIP
Rating
Rating
Date
Date
Cost
at Cost
Interest
Cost
Value
Security Type/Description
S&P
Moody's
Original
YTM
Accrued
Amortized
Market
Trade
Settle
Par
Federal Agency Bond / Note
FREDDIE MAC NOTES
DTD 12/04/2020 0.250% 12/04/2023
703,559.68
704,810.33
572.81
704,739.15
12/07/20
12/04/20
Aaa
AA+
705,000.00
3137EAFA2
0.26
5,141.07
5,020,783.89
5,019,411.69
0.30
5,019,405.33
5,020,000.00
Security Type Sub-Total
Corporate Note
AMERICAN HONDA FINANCE
DTD 06/27/2019 2.200% 06/27/2022
101,372.80
99,892.45
574.44
99,567.00
07/10/19
07/08/19
A3
A-
100,000.00
02665WCY5
2.35
AMAZON.COM INC CORP NOTES
DTD 11/29/2012 2.500% 11/29/2022
102,014.60
102,139.29
847.22
104,546.00
06/11/20
06/09/20
A1
AA
100,000.00
023135AJ5
0.64
ADOBE INC CORP NOTE
DTD 02/03/2020 1.700% 02/01/2023
101,880.70
99,938.89
283.33
99,863.00
02/03/20
01/22/20
A2
A+
100,000.00
00724PAA7
1.75
CATERPILLAR FINL SERVICE CORPORATE
NOTES
DTD 03/01/2021 0.250% 03/01/2023
95,002.38
94,942.25
19.79
94,918.30
03/01/21
02/22/21
A2
A
95,000.00
14913R2J5
0.29
HERSHEY COMPANY
DTD 05/10/2018 3.375% 05/15/2023
88,935.08
86,684.04
1,083.75
88,299.70
03/13/20
03/11/20
A1
A
85,000.00
427866AZ1
2.10
TOYOTA MOTOR CREDIT CORP CORPORATE
NOTES
DTD 05/26/2020 1.350% 08/25/2023
76,401.90
74,983.79
101.25
74,972.25
05/26/20
05/20/20
A1
A+
75,000.00
89236THA6
1.36
AMAZON.COM INC CORPORATE NOTES
DTD 05/12/2021 0.450% 05/12/2024
69,860.28
69,911.04
121.63
69,897.80
05/12/21
05/10/21
A1
AA
70,000.00
023135BW5
0.50
BANK OF AMERICA CORP (CALLABLE)
CORPORAT
DTD 10/21/2020 0.810% 10/24/2024
100,385.30
100,000.00
353.25
100,000.00
10/21/20
10/16/20
A2
A-
100,000.00
06051GJH3
0.81
JPMORGAN CHASE & CO CORPORATE
NOTES
DTD 06/01/2021 0.824% 06/01/2025
114,545.75
115,000.00
315.87
115,000.00
06/01/21
05/24/21
A2
A-
115,000.00
46647PCH7
0.82
JPMORGAN CHASE & CO CORPORATE
NOTES
DTD 08/10/2021 0.768% 08/09/2025
59,781.24
60,000.00
65.28
60,000.00
08/10/21
08/03/21
A2
A-
60,000.00
46647PCM6
0.77
4

For the Month Ending September 30, 2021
Managed Account Detail of Securities Held
CHANDLER WORKERS COMP & EMPLOYER TRUST
Dated Date/Coupon/Maturity
CUSIP
Rating
Rating
Date
Date
Cost
at Cost
Interest
Cost
Value
Security Type/Description
S&P
Moody's
Original
YTM
Accrued
Amortized
Market
Trade
Settle
Par
Corporate Note
3,765.81
910,180.03
903,491.75
1.16
907,064.05
900,000.00
Security Type Sub-Total
Certificate of Deposit
BARCLAYS BANK PLC NY CERT DEPOS
DTD 02/12/2021 0.290% 02/04/2022
235,090.86
235,000.00
437.30
235,000.00
02/12/21
02/10/21
P-1
A-1
235,000.00
06742TWL6
0.29
HSBC BANK USA NA
DTD 02/26/2021 0.250% 02/25/2022
120,049.20
120,000.00
180.83
120,000.00
02/26/21
02/26/21
P-1
A-1
120,000.00
40435RKU4
0.25
SUMITOMO MITSUI BANK NY CERT DEPOS
DTD 07/14/2020 0.700% 07/08/2022
85,328.02
85,000.00
140.49
85,000.00
07/14/20
07/10/20
P-1
A-1
85,000.00
86565CKU2
0.70
UBS AG STAMFORD CT CERT DEPOS
DTD 02/18/2021 0.250% 08/16/2022
149,985.00
150,000.00
234.38
150,000.00
02/18/21
02/16/21
P-1
A-1
150,000.00
90275DNC0
0.25
NORDEA BANK ABP NEW YORK CERT DEPOS
DTD 08/29/2019 1.850% 08/26/2022
116,697.29
115,000.00
212.75
115,000.00
08/29/19
08/27/19
P-1
A-1+
115,000.00
65558TLL7
1.84
SKANDINAV ENSKILDA BANK LT CD
DTD 09/03/2019 1.860% 08/26/2022
131,930.37
130,000.00
241.80
130,000.00
09/03/19
08/29/19
P-1
A-1
130,000.00
83050PDR7
1.85
DNB BANK ASA/NY LT CD
DTD 12/06/2019 2.040% 12/02/2022
66,376.31
65,000.00
445.68
65,000.00
12/06/19
12/05/19
Aa2
AA-
65,000.00
23341VZT1
2.03
CREDIT SUISSE NEW YORK CERT DEPOS
DTD 03/23/2021 0.590% 03/17/2023
100,299.60
100,000.00
314.67
100,000.00
03/23/21
03/19/21
A1
A+
100,000.00
22552G3C2
0.59
2,207.90
1,005,756.65
1,000,000.00
0.84
1,000,000.00
1,000,000.00
Security Type Sub-Total
13,347,000.00
13,387,431.72
0.50
20,247.13
13,377,763.28
13,401,599.40
Managed Account Sub-Total
Money Market Mutual Fund
PFM Funds - Govt Select, Instl Cl
1,185,067.94
1,185,067.94
0.00
1,185,067.94
NR
AAAm
1,185,067.94
1,185,067.94
1,185,067.94
0.00
1,185,067.94
1,185,067.94
Liquid Sub-Total
5

For the Month Ending September 30, 2021
Managed Account Detail of Securities Held
CHANDLER WORKERS COMP & EMPLOYER TRUST - 13640104
$14,532,067.94
$14,572,499.66
$20,247.13
$14,562,831.22
$14,586,667.34
0.50%
$14,606,914.47
$20,247.13
Total Investments
Accrued Interest
Securities Sub-Total
6