Investment Report for the Quarter Ending September 30, 2022
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Investment Performance Review
For the Quarter Ended September 30, 2022
Client Management Team
PFM Asset Management LLC
213 Market Street
Harrisburg, PA 17101-2141
717-232-2723
NOT FDIC INSURED : NO BANK GUARANTEE : MAY LOSE VALUE
For Institutional Investor or Investment Professional Use Only - This material is not for inspection by, distribution to, or quotation to the general public
CITY OF CHANDLER
HEALTH CARE BENEFITS TRUST
Paulina Woo, Managing Director
Luke Schneider, CFA, Managing Director
Annette Gaston, Senior Managing Consultant
1201 South Alma School Rd.
Suite 3000
Mesa, AZ 85210
415-470-7815
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Market Summary
•
Account Summary
•
Portfolio Review
1
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Market Summary
2
For the Quarter Ended September 30, 2022
Fixed Income Management
QUARTERLY MARKET SUMMARY
Summary
►In Q3, U.S. economic conditions were characterized by: (1) persistently high
inflation despite recent energy price declines; (2) aggressive interest rate hikes by
the Fed; (3) rising Treasury yields and two-decade-high mortgage rates; (4)further
weakening of credit and equity markets; and (5) increasing recession probability.
►Interest rates surged and equity markets fell in reaction to the Fed’s aggressive
rate hikes designed to combat inflation. Over the first three quarters of 2022, the S&P
500 cemented its third worst performance of all time, the U.S. Dollar Index (DXY) had
its second strongest year on record, and the 10-year U.S. Treasury experienced its
largest net yield gain in 35 years.
Economic Snapshot
►Inflation remains the headline issue as both key measures – CPI and PPI – came
in hotter than expected. The consumer price index (CPI) rose 8.2% year-over-year
(YoY), with key contributions from food, energy, transportation and shelter costs.
Despite the ongoing war in Ukraine, oil prices have fallen from above $120/barrel
earlier in the year to about $80/barrel, leading to lower gasoline prices at the pump.
After peaking at over $5 per gallon in June, the national average price fell to around
$3.80 by quarter end. Stripping out the volatile food and energy sectors, core CPI
rose 6.6% YoY, a new 40-year high for this cycle. Although inflation remains elevated,
in a sign of confidence in the Fed’s inflation fighting commitment, the University of
Michigan survey of consumers shows the expected average inflation rate over the
medium term (5-10 years) to be reasonably well behaved under 3%.
►U.S. economic growth declined at an annual pace of 0.6% in the second quarter of
2022, the second consecutive quarter of negative real growth. Recently updated Fed
projections for GDP reflect expectations for weaker economic growth over the coming
years, with projections for the full calendar year of 2022 at just 0.2%, 2023 at 1.2%,
and 2024 at 1.7%, all of which reflect sizable reductions from their June projections.
►The U.S. labor market remained strong in the third quarter, adding 1.1 million new
jobs, or an average of 372,000 per month. The unemployment rate ticked down to
3.5%, while the labor force participation rate improved marginally. Wage growth
remained elevated, as average hourly earnings increased 5% over the past year.
►Consumer spending seems to have held up reasonably well, with spending on
services such as rent, utilities, transportation and healthcare rising, while spending
on goods has begun to decline. Households have maintained spending despite the
pinch from higher inflation, but that consumption has come at the expense of declining
household savings and increasing consumer credit balances.
►With mortgage rates nearing 7%, home sales have cooled significantly and home
prices have begun to soften. Existing home sales decreased for the seventh straight
month in August, while new building permits for future residential construction fell to
the lowest level in two years. And, no surprise to new home buyers, the most recent
U.S. Home Affordability Report shows that median-priced single-family homes and
condos remain less affordable in the third quarter of 2022 compared to historical
averages in 99% of counties nationwide.
Interest Rates
►The third quarter saw two more aggressive Fed interest rate hikes of 0.75% each
– one in July and the other in September. The federal funds rate now stands at a
target range of 3.00%-3.25%, the highest level since 2008. Prior to this cycle, the
Fed had not raised its flagship policy rate by 0.75% in any single move since 1994,
underscoring its steadfast resolve to fight persistent inflation. By quarter end, the
futures market implied that the fed funds rate would reach a peak terminal rate of
around 4.5% by February or March of 2023.
►On the heels of the Fed rate hikes, yields on U.S. Treasuries continued their
relentless ascent higher. The yield on the 10-year U.S. Treasury rose to 3.83% by
quarter-end, an increase of 81 basis points (0.81%) from June 30. The two-year
Treasury yield ended the quarter even higher at 4.28%, up 132 basis points (1.32%)
from 2.96% at the start of the quarter. The U.S. Treasury yield curve inverted early in
the quarter, with the inversion reaching the deepest level since 1982 in September.
►As a result of sharply higher Treasury yields, fixed income indices posted sizable
negative returns for the fourth quarter in a row. The ICE BofA 2-, 5-, and 10-year U.S.
Treasury indices returned -1.70%, -4.09% and -6.19%, respectively.
Sector Performance
►Diversification away from U.S. Treasury securities was a mixed benefit for
performance in the third quarter. Corporates and asset-backed securities (ABS) helped
buoy portfolio performance relative to benchmarks, while mortgage-backed securities
(MBS), supranationals and federal agencies all detracted.
►Investment-grade (IG) corporates were one of the stronger fixed income sectors
during the third quarter, as spreads were largely unchanged over the quarter, but
additional income from higher yields during the period boosted performance vs.
Treasuries. Lower-quality corporate notes (BBB-rated) performed better than higher-
rated issues as lower-quality credit spreads narrowed more.
►AAA-rated ABS were also additive to performance for the third quarter. Although
they began the quarter with yield spreads elevated relative to corporates, spreads on
ABS tightened throughout the quarter and generated attractive excess returns. Auto
loan collateral performed better than credit card structures, but the performance of
both structures remained solid.
►The federal agency sector generated negative excess returns largely on the heels
of noticeably wider spreads in callable structures, the result of heightened market
volatility throughout the third quarter.
►Agency MBS have been a staggering underperformer this year as the sector faced
pressure from multiple angles. Soaring mortgage rates caused refinancing activity to
grind to a halt, pushing durations longer. Adding further pressure, the Fed’s increased
pace of its balance sheet reduction of MBS holdings compounded the gloomy outlook.
PFM Asset Management LLC | For Institutional Investor or Investment Professional Use Only
This material is not for inspection by distribution to or quotation to the general public
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Market Summary
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For the Quarter Ended September 30, 2022
Fixed Income Management
QUARTERLY MARKET SUMMARY
Economic Snapshot
1. Data as of First Quarter 2022.
2. Data as of Second 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 | For Institutional Investor or Investment Professional Use Only
This material is not for inspection by distribution to or quotation to the general public
Labor Market
Jun '22
Sep '21
Unemployment Rate
Sep '22
3.5%
3.6%
4.7%
Change In Non-Farm Payrolls
Sep '22
263,000
293,000
424,000
Average Hourly Earnings (YoY)
Sep '22
5.0%
5.2%
4.8%
Personal Income (YoY)
Aug '22
3.9%
4.6%
5.0%
Initial Jobless Claims (week)
10/1/22
219,000
231,000
376,000
Growth
Real GDP (QoQ SAAR)
2022 Q2
-0.6%
-1.6%
7.0%
GDP Personal Consumption (QoQ SAAR)
2022 Q2
2.0%
1.3%
12.1%
Retail Sales (YoY)
Aug '22
9.1%
8.8%
14.3%
ISM Manufacturing Survey (month)
Sep '22
50.9
53.0
60.5
Existing Home Sales SAAR (month)
Aug '22
4.80 mil.
5.11 mil.
6.18 mil.
Inflation/Prices
Personal Consumption Expenditures (YoY)
Aug '22
6.2%
7.0%
4.7%
Consumer Price Index (YoY)
Aug '22
8.3%
9.1%
5.4%
Consumer Price Index Core (YoY)
Aug '22
6.3%
5.9%
4.0%
Crude Oil Futures (WTI, per barrel)
Sep 30
$79.49
$105.76
$75.03
Gold Futures (oz.)
Sep 30
$1,662
$1,807
$1,755
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%
Sep '19 Mar '20 Sep '20 Mar '21 Sep '21 Mar '22 Sep '22
Unemployment Rate (left) vs. Change in Non-farm Payrolls (right)
Change In Non-Farm Payrolls
Unemployment Rate
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
Jun '19
Dec '19
Jun '20
Dec '20
Jun '21
Dec '21
Jun '22
Real GDP (QoQ)
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
Sep '19
Mar '20
Sep '20
Mar '21
Sep '21
Mar '22
Consumer Price Index
CPI (YoY)
Core CPI (YoY)
2
2
1
1
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Market Summary
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For the Quarter Ended September 30, 2022
Fixed Income Management
QUARTERLY MARKET SUMMARY
Source: Bloomberg.
Interest Rate Overview
U.S. Treasury Note Yields
U.S. Treasury Yield Curve
U.S. Treasury Yields
Yield Curves as of 09/30/2022
0%
1%
2%
3%
4%
5%
6%
3-yr
2-yr
1-yr
3-mo
5-yr
7-yr
10-yr
20-yr
30-yr
Yield
September 30, 2022
Maturity
June 30, 2022
September 30, 2021
6%
5%
4%
3%
2%
1%
0%
3-yr
2-yr
1-yr
3-mo
7-yr
5-yr
10-yr
25-yr
30-yr
Yield
U.S. Treasury
Maturity
Federal Agency
Corporates, A Rated
5.0%
4.5%
4.0%
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
9/30/21
12/31/21
3/31/22
6/30/22
9/30/22
Yield
2-Year
5-Year
10-Year
Maturity
Sep '22
Jun '22
Change over
Quarter
Sep '21
Change over
Year
3-Month
3.27%
1.67%
1.60%
0.04%
3.23%
1-Year
3.99%
2.78%
1.21%
0.07%
3.92%
2-Year
4.28%
2.96%
1.32%
0.28%
4.00%
5-Year
4.09%
3.04%
1.05%
0.97%
3.12%
10-Year
3.83%
3.02%
0.81%
1.49%
2.34%
30-Year
3.78%
3.19%
0.59%
2.05%
1.73%
PFM Asset Management LLC | For Institutional Investor or Investment Professional Use Only
This material is not for inspection by distribution to or quotation to the general public
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Market Summary
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For the Quarter Ended September 30, 2022
Fixed Income Management
QUARTERLY MARKET SUMMARY
September 30, 2022
Duration
Yield
3 Month
1 Year
3 Years
1-3 Year Indices
U.S. Treasury
1.82
4.30%
(1.56%)
(4.86%)
(0.48%)
Federal Agency
1.84
4.36%
(1.63%)
(4.91%)
(0.59%)
U.S. Corporates, A-AAA rated
1.91
5.04%
(1.43%)
(5.25%)
(0.13%)
Agency MBS (0 to 3 years)
2.08
5.03%
(2.85%)
(7.14%)
(1.51%)
Taxable Municipals
2.15
4.81%
(2.32%)
(4.93%)
0.68%
1-5 Year Indices
U.S. Treasury
2.55
4.25%
(2.28%)
(6.78%)
(0.97%)
Federal Agency
2.25
4.37%
(2.17%)
(6.69%)
(1.10%)
U.S. Corporates, A-AAA rated
2.71
5.14%
(2.18%)
(7.92%)
(0.71%)
Agency MBS (0 to 5 years)
3.04
4.95%
(3.91%)
(9.78%)
(2.29%)
Taxable Municipals
2.85
4.81%
(2.66%)
(6.91%)
(0.34%)
Master Indices (Maturities 1 Year orGreater)
U.S. Treasury
6.35
4.13%
(4.72%)
(13.18%)
(3.23%)
Federal Agency
3.61
4.36%
(3.07%)
(9.37%)
(1.71%)
U.S. Corporates, A-AAA rated
6.88
5.35%
(5.26%)
(17.34%)
(3.59%)
Agency MBS (0 to 30 years)
6.19
4.64%
(5.38%)
(14.03%)
(3.68%)
Taxable Municipals
9.57
5.23%
(6.67%)
(20.87%)
(4.26%)
As of 09/30/2022
Returns for Periods ended 09/30/2022
Returns for periods greater than one year are annualized.
Source: ICE BofAML Indices.
ICE BofAML Index Returns
PFM Asset Management LLC | For Institutional Investor or Investment Professional Use Only
This material is not for inspection by distribution to or quotation to the general public
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Market Summary
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6
For the Quarter Ended September 30, 2022
Fixed Income Management
QUARTERLY MARKET SUMMARY
Disclosures
PFM Asset Management LLC (“PFMAM”) is an investment adviser registered with the U.S. Securities and Exchange Commission and a subsidiary of U.S. Bancorp Asset
Management, Inc. (“USBAM”). USBAM is a subsidiary of U.S. Bank National Association (“U.S. Bank”). U.S. Bank is a separate entity and subsidiary of U.S. Bancorp. U.S.
Bank is not responsible for and does not guarantee the products, services or performance of PFMAM.
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.
NOT FDIC INSURED : NO BANK GUARANTEE : MAY LOSE VALUE
Further distribution is not permitted without prior written consent.
PFM Asset Management LLC | For Institutional Investor or Investment Professional Use Only
This material is not for inspection by distribution to or quotation to the general public
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Market Summary
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Account Summary
8
PFM Asset Management LLC
For the Quarter Ended March 31, 2022
California Affiliated Risk Management Authorities
MarketUpdate
CLIENT NAME
For the Quarter Ended September 30, 2022
Market Update
© PFM Asset Management LLC | pfmam.com
Fixed-Income Sector Commentary – 3Q 2022
▸U.S. Treasury securities posted negative
absolute returns during Q3 as interest rates
continue to ascend to levels not seen in over 14
years.
▸Federal agency bullet spreads remained mostly
unchanged in the low single-digits and the sector
remained largely stagnant on light issuance.
Conversely, the rapid rise in rates and volatility
prompted a widening in spreads for callable
federal agencies.
▸Supranational yield spreads widened slightly
in the longer-end of the curve while issuance
has consistently lagged projections this year.
Unattractive funding levels compounded by
liquidity pressures resulted in minimal activity in
the sector. New issues at attractive concessions
to secondary inventory were the lone avenue to
new exposure.
▸Investment-Grade Corporates were a strong
performer for much of the quarter as spreads
tightened. Increases to allocations in the sector
over recent months played a significant role in the
strong performance relative to benchmarks.
▸Asset-Backed yield spreads lagged the
comparative narrowing in other sectors but
remained relatively elevated in relation to high
quality corporate notes. Although elevated
relative to corporates, spreads tightened
throughout the quarter and the sector generated
attractive excess returns, with automobile
collateral besting credit card structures.
▸Mortgage-Backed Securities have been a
staggering underperformer so far this year.
Soaring mortgage rates combined with record
high housing prices caused refinancing and new
purchases to grind to a halt. Heightened volatility
and concerns about an economic slowdown
continued to weigh on the sector, while the
looming Fed balance sheet reduction
compounded the gloomy outlook.
▸Taxable Municipals were another sector that
generated positive excess returns in Q3. New
issuance was generally lackluster with deals
being heavily oversubscribed, pressuring spreads
lower.
▸Commercial Paper and CDs have been subject
to a rapidly changing backdrop influenced by the
Fed’s aggressive series of rate hikes. Fixed-rate
credit spreads widened during the quarter and
the short-term credit curve remains steep.
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Market Update
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CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Account Summary
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Account Summary
Yield at market, yield on cost, and portfolio duration only include investments held within the separately managed account(s), excludes balances invested in overnight funds.
1.
CHANDLER HEALTH CARE BENEFITS TRUST
Portfolio Values
September 30, 2022
PFMAM Managed Account
$12,763,773
Amortized Cost
$13,231,478
Market Value
$12,763,773
Accrued Interest
$44,481
Cash
$1,983,382
Analytics¹
September 30, 2022
Yield at Market
4.19%
Yield on Cost
1.36%
Portfolio Duration
1.18
10
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Account Summary
|
11.2%
2.1%
0.6%
34.9%
51.3%
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
First American Fund - $10
Corporate - $1,431,928
Negotiable CD - $263,584
Municipal - $80,954
Federal Agency - $4,467,401
U.S. Treasury - $6,564,386
Portfolio Allocation
Sector Limit for Analysis*
Sector Allocation Analytics
For informational/analytical purposes only and is not provided for compliance assurance. Includes accrued interest.
*Sector Limit for Analysis is as derived from our interpretation of your most recent Investment Policy as provided.
<1%
11
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Account Summary
|
Ratings shown are calculated by assigning a numeral value to each security rating, then calculating a weighted average rating for each security type / issuer category using all available security ratings,
excluding Not-Rated (NR) ratings. For security type / issuer categories where a rating from the applicable NRSRO is not available, a rating of NR is assigned. Includes accrued interest and excludes balances
invested in overnight funds.
Issuer Diversification
Market Value (%) S&P / Moody's / Fitch
Security Type / Issuer
51.3%
U.S. Treasury
UNITED STATES TREASURY
51.3%
AA / Aaa / AAA
34.9%
Federal Agency
FANNIE MAE
13.7%
AA / Aaa / AAA
FEDERAL HOME LOAN BANKS
6.7%
AA / Aaa / NR
FREDDIE MAC
14.4%
AA / Aaa / AAA
0.6%
Municipal
CITY OF SCOTTSDALE
0.6%
AAA / Aaa / AAA
2.1%
Negotiable CD
CREDIT SUISSE GROUP RK
1.1%
A / Aa / BBB
DNB ASA
1.0%
AA / Aa / NR
11.2%
Corporate
ADOBE INC
0.8%
A / A / NR
AMAZON.COM INC
2.0%
AA / A / AA
BANK OF AMERICA CO
1.0%
A / A / AA
CATERPILLAR INC
1.0%
A / A / A
HERSHEY COMPANY
1.3%
A / A / NR
JP MORGAN CHASE & CO
1.6%
A / A / AA
TOYOTA MOTOR CORP
1.0%
A / A / A
WAL-MART STORES INC
2.4%
AA / Aa / AA
100.0%
Total
12
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Portfolio Review:
CHANDLER HEALTH CARE BENEFITS TRUST
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CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Snapshot
|
Yield and duration calculations exclude cash and cash equivalents. Sector allocation includes market values and accrued interest.
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. Prior to 9/30/12 it was the ICE BofAML 0-6 Month
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 Snapshot - CHANDLER HEALTH CARE BENEFITS TRUST¹
Credit Quality - S&P3
46%
28%
24%
1%
7%
57%
36%
0%
20%
40%
60%
0-1 Yr
1-2 Yrs
2-3 Yrs
4-5 Yrs
Portfolio
Benchmark2
Duration Distribution
U.S. Treasury | 51%
Federal Agency | 35%
Corporate | 11%
Negotiable CD | 2%
Municipal | 1%
Sector Allocation
AAA | 1%
AA+ | 86%
AA | 4%
A-1+ | 1%
A+ | 2%
A | 2%
A- | 3%
A-1 | 1%
Portfolio Statistics
Portfolio Effective Duration
1.18 years
Benchmark Effective Duration
1.76 years
Portfolio Credit Quality
AA
Yield At Market
4.19%
Yield At Cost
1.36%
Total Market Value
$14,791,635.64
$12,763,772.66
Securities Sub-Total
$1,983,382.13
Cash
$44,480.85
Accrued Interest
3.
2.
14
Liquidity Vehicle
Quarter-End Yield
Allspring Treasury Plus Money
Market A Fund1
2.22%
First American Funds2
2.74%
1.
Allspring Treasury Plus Money Market A Fund. Account yield from the Trust custody statement as of 9/30/22.
2.
First American Funds Account yield from statement as of 9/30/22. For U.S. Treasury, Treasury Obligations and Government Obligations – You could lose money by investing in the Fund. Although
the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance
Corporation or any other government agency. The Fund's sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to
the Fund at any time.
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Snapshot
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© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Characteristics
|
$0.0
$3.0
$6.0
$9.0
$12.0
$15.0
Millions
September 2022
$0.0
$3.0
$6.0
$9.0
$12.0
$15.0
Millions
June 2022
$0.0
$3.0
$6.0
$9.0
$12.0
$15.0
Millions
March 2022
$0.0
$3.0
$6.0
$9.0
$12.0
$15.0
Millions
December 2021
Sector Allocation Review - CHANDLER HEALTH CARE BENEFITS TRUST
U.S. Treasury
Federal Agency
Municipal
Negotiable CD
Corporate
Money Market Fund
Market values, excluding accrued interest. Only includes fixed-income securities held within the separately managed account(s) and LGIPs managed by PFMAM. Detail may not add to total due to rounding.
Dec-21
% of Total
Security Type
Mar-22
% of Total
Jun-22
% of Total
% of Total
Sep-22
U.S. Treasury
$7.2
49.6%
$7.0
50.6%
$6.2
48.1%
$6.5
51.2%
Federal Agency
$4.0
27.7%
$3.9
28.2%
$3.9
30.2%
$4.5
34.9%
Municipal
$0.1
0.6%
$0.1
0.6%
$0.1
0.7%
$0.1
0.6%
Negotiable CD
$1.2
8.4%
$1.0
7.3%
$1.0
7.8%
$0.3
2.1%
Corporate
$2.0
13.7%
$1.8
13.3%
$1.7
13.2%
$1.4
11.2%
Money Market Fund
$0.0
0.0%
$0.0
0.0%
$0.0
0.0%
$0.0
0.0%
Total
$14.4
100.0%
$13.9
100.0%
$12.9
100.0%
$12.8
100.0%
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© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Activity
|
Portfolio Activity - CHANDLER HEALTH CARE BENEFITS TRUST
Net Activity by Sector
($ millions)
Negotiable CD
Corporate
Commercial Paper
U.S. Treasury
Federal Agency
Negotiable CD
Corporate
Commercial Paper
U.S. Treasury
Federal Agency
($2.0)
($1.0)
$0.0
$1.0
$2.0
$3.0
Based on total proceeds (principal and accrued interest) of buys, sells, maturities, and principal paydowns. Detail may not add to total due to rounding.
Sector
Net Activity
Federal Agency
$591,842
U.S. Treasury
$415,521
Commercial Paper
($731)
Corporate
($272,253)
Negotiable CD
($748,774)
($14,395)
Total Net Activity
Sales/Maturities
Purchases
17
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Performance
|
The lesser of 10 years or since inception is shown. Since inception returns for periods one year or less are not shown. Performance inception date is December 31, 2010.
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 the ICE BofAML 1-3 Year U.S. Treasury Index. Source: Bloomberg.
4.
-6.0%
-4.0%
-2.0%
0.0%
2.0%
Return
Portfolio
Benchmark
Portfolio Performance
Market Value Basis Earnings
3 Months
1 Year
3 Years
5 Years
10 Years¹
Interest Earned²
$47,746
$166,593
$709,900
$1,178,561
$1,558,542
Change in Market Value
($151,353)
($583,760)
($1,674,601)
($1,538,479)
($1,717,792)
($103,607)
Total Dollar Return
($417,168)
($964,701)
($359,918)
($159,250)
Total Return³
Portfolio
-0.70%
-2.61%
0.38%
1.13%
0.94%
Benchmark⁴
-1.56%
-4.86%
-0.48%
0.11%
0.06%
3 Months
1 Year
3 Years
5 Years
10 Years
18
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Performance
|
The lesser of 10 years or since inception is shown. Performance inception date is December 31, 2010.
1.
Interest earned calculated as the ending accrued interest less beginning accrued interest, plus net interest activity.
2.
Realized gains / (losses) are shown on an amortized cost basis.
3.
Accrual Basis Earnings - CHANDLER HEALTH CARE BENEFITS TRUST
Accrual Basis Earnings
Interest Earned²
Realized Gains / (Losses)³
Change in Amortized Cost
Total Earnings
3 Months
$47,746
($2,278)
($6,622)
$38,846
1 Year
$166,593
($5,643)
($32,297)
$128,360
3 Years
$709,900
$207,371
($61,304)
$855,967
5 Year
$1,178,561
$107,970
$13,517
$1,300,048
10 Year¹
$1,558,542
$123,562
($154,322)
$1,527,783
19
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Composition
|
Issuer Distribution
As of September 30, 2022
Issuer
Market Value ($)
% of Portfolio
UNITED STATES TREASURY
6,538,573
51.22%
FREDDIE MAC
1,846,709
14.47%
FANNIE MAE
1,753,858
13.74%
FEDERAL HOME LOAN BANKS
857,538
6.72%
WAL-MART STORES INC
301,950
2.37%
AMAZON.COM INC
260,460
2.04%
JP MORGAN CHASE & CO
206,617
1.62%
HERSHEY COMPANY
163,850
1.28%
CREDIT SUISSE GROUP RK
137,605
1.08%
CATERPILLAR INC
132,717
1.04%
TOYOTA MOTOR CORP
131,038
1.03%
BANK OF AMERICA CO
128,250
1.00%
DNB ASA
124,668
0.98%
ADOBE INC
99,123
0.78%
CITY OF SCOTTSDALE
80,817
0.63%
12,763,773
Grand Total
100.00%
20
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Holdings
|
Managed Account Detail of Securities Held
Security Type/Description
Dated Date/Coupon/Maturity
CUSIP
Par
S&P
Rating
Moody's
Rating
Settle
Date
Original
Cost
Trade
Date
YTM
at Cost
Accrued
Interest
Market
Value
Amortized
Cost
U.S. Treasury
US TREASURY NOTES
DTD 11/30/2015 2.000% 11/30/2022
912828M80
100,000.00
AA+
Aaa
8/1/2019
8/6/2019
100,722.66
1.77
672.13
99,781.25
100,035.78
US TREASURY NOTES
DTD 12/15/2019 1.625% 12/15/2022
912828YW4
520,000.00
AA+
Aaa
1/3/2020
1/7/2020
520,934.38
1.56
2,493.44
518,293.78
520,065.31
US TREASURY NOTES
DTD 12/31/2015 2.125% 12/31/2022
912828N30
335,000.00
AA+
Aaa
11/1/2019
11/5/2019
340,927.93
1.55
1,799.03
333,900.80
335,468.27
US TREASURY NOTES
DTD 01/15/2020 1.500% 01/15/2023
912828Z29
320,000.00
AA+
Aaa
2/3/2020
2/5/2020
321,562.50
1.33
1,017.39
318,100.00
320,154.07
US TREASURY NOTES
DTD 02/15/2020 1.375% 02/15/2023
912828Z86
575,000.00
AA+
Aaa
3/2/2020
3/4/2020
584,703.13
0.80
1,009.77
569,789.06
576,233.14
US TREASURY NOTES
DTD 07/15/2020 0.125% 07/15/2023
912828ZY9
169,000.00
AA+
Aaa
7/22/2022
7/25/2022
164,339.30
3.02
44.78
163,665.94
165,232.05
US TREASURY NOTES
DTD 01/15/2021 0.125% 01/15/2024
91282CBE0
770,000.00
AA+
Aaa
2/2/2021
2/4/2021
768,766.80
0.18
204.01
729,695.27
769,459.69
US TREASURY NOTES
DTD 03/15/2021 0.250% 03/15/2024
91282CBR1
100,000.00
AA+
Aaa
3/22/2021
3/23/2021
99,792.97
0.32
11.05
94,265.62
99,898.96
US TREASURY NOTES
DTD 03/31/2017 2.125% 03/31/2024
912828W71
309,000.00
AA+
Aaa
1/5/2022
1/6/2022
317,497.50
0.88
18.04
299,102.36
314,703.23
US TREASURY NOTES
DTD 03/31/2017 2.125% 03/31/2024
912828W71
140,000.00
AA+
Aaa
4/16/2021
4/19/2021
147,360.94
0.33
8.17
135,515.63
143,738.56
US TREASURY N/B NOTES
DTD 04/15/2021 0.375% 04/15/2024
91282CBV2
100,000.00
AA+
Aaa
4/22/2021
4/26/2021
100,167.97
0.32
173.16
94,125.00
100,087.00
US TREASURY NOTES
DTD 11/30/2019 1.500% 11/30/2024
912828YV6
935,000.00
AA+
Aaa
6/2/2021
6/4/2021
969,660.74
0.43
4,713.32
881,675.83
956,503.25
US TREASURY NOTES
DTD 01/31/2020 1.375% 01/31/2025
912828Z52
615,000.00
AA+
Aaa
5/5/2021
5/7/2021
634,867.38
0.50
1,424.69
575,793.75
627,415.29
US TREASURY N/B NOTES
DTD 05/15/2022 2.750% 05/15/2025
91282CEQ0
495,000.00
AA+
Aaa
8/12/2022
8/15/2022
488,773.83
3.23
5,141.68
476,282.81
489,065.29
US TREASURY N/B NOTES
DTD 07/15/2022 3.000% 07/15/2025
91282CEY3
235,000.00
AA+
Aaa
8/15/2022
8/16/2022
234,045.31
3.15
1,494.29
227,142.19
234,086.58
21
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Holdings
|
Security Type/Description
Dated Date/Coupon/Maturity
CUSIP
Par
S&P
Rating
Moody's
Rating
Settle
Date
Original
Cost
Trade
Date
YTM
at Cost
Accrued
Interest
Market
Value
Amortized
Cost
U.S. Treasury
US TREASURY N/B NOTES
DTD 07/15/2022 3.000% 07/15/2025
91282CEY3
650,000.00
AA+
Aaa
8/8/2022
8/9/2022
647,384.77
3.14
4,133.16
628,265.62
647,514.19
US TREASURY N/B NOTES
DTD 08/15/2022 3.125% 08/15/2025
91282CFE6
100,000.00
AA+
Aaa
9/12/2022
9/12/2022
98,765.63
3.57
399.11
96,937.50
98,787.59
US TREASURY N/B NOTES
DTD 08/15/2022 3.125% 08/15/2025
91282CFE6
135,000.00
AA+
Aaa
9/29/2022
9/29/2022
130,923.63
4.25
538.81
130,865.63
130,931.39
US TREASURY NOTES
DTD 08/15/2017 2.250% 08/15/2027
9128282R0
180,000.00
AA+
Aaa
9/1/2022
9/1/2022
170,894.53
3.37
517.26
165,375.00
171,045.53
6,783,000.00
6,842,091.90
25,813.29
6,538,573.04
Security Type Sub-Total
1.49
6,800,425.17
Negotiable CD
DNB BANK ASA/NY LT CD
DTD 12/06/2019 2.040% 12/02/2022
23341VZT1
125,000.00
A-1+
P-1
12/5/2019
12/6/2019
125,000.00
2.03
857.08
124,668.13
125,000.00
CREDIT SUISSE NEW YORK CERT
DEPOS
DTD 03/23/2021 0.590% 03/17/2023
22552G3C2
140,000.00
A-1
P-1
3/19/2021
3/23/2021
140,000.00
0.59
454.30
137,604.74
140,000.00
265,000.00
265,000.00
1,311.38
262,272.87
Security Type Sub-Total
1.27
265,000.00
Municipal
SCOTTSDALE, AZ TXBL GO BONDS
DTD 12/30/2020 0.608% 07/01/2025
810454BL1
90,000.00
AAA
Aaa
12/10/2020 12/30/2020
90,000.00
0.61
136.80
80,817.30
90,000.00
90,000.00
90,000.00
136.80
80,817.30
Security Type Sub-Total
0.61
90,000.00
Federal Agency
FREDDIE MAC NOTES
DTD 04/20/2020 0.375% 04/20/2023
3137EAEQ8
265,000.00
AA+
Aaa
4/17/2020
4/20/2020
264,337.50
0.46
444.43
259,931.61
264,878.39
FANNIE MAE NOTES
DTD 05/22/2020 0.250% 05/22/2023
3135G04Q3
250,000.00
AA+
Aaa
5/20/2020
5/22/2020
249,247.50
0.35
223.96
244,076.25
249,839.88
FANNIE MAE NOTES (CALLABLE)
DTD 08/10/2020 0.300% 08/10/2023
3135G05R0
370,000.00
AA+
Aaa
8/11/2020
8/12/2020
369,334.00
0.36
157.25
357,925.05
369,809.28
22
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Holdings
|
Security Type/Description
Dated Date/Coupon/Maturity
CUSIP
Par
S&P
Rating
Moody's
Rating
Settle
Date
Original
Cost
Trade
Date
YTM
at Cost
Accrued
Interest
Market
Value
Amortized
Cost
Federal Agency
FANNIE MAE NOTES (CALLABLE)
DTD 08/18/2020 0.360% 08/18/2023
3135G05V1
130,000.00
AA+
Aaa
8/20/2020
8/21/2020
130,000.00
0.36
55.90
125,726.90
130,000.00
FREDDIE MAC NOTES
DTD 08/21/2020 0.250% 08/24/2023
3137EAEV7
165,000.00
AA+
Aaa
8/19/2020
8/21/2020
164,831.70
0.28
42.40
159,352.88
164,949.88
FREDDIE MAC NOTES
DTD 09/04/2020 0.250% 09/08/2023
3137EAEW5
80,000.00
AA+
Aaa
9/2/2020
9/4/2020
80,014.61
0.24
12.78
77,109.84
80,004.55
FREDDIE MAC NOTES
DTD 09/04/2020 0.250% 09/08/2023
3137EAEW5
105,000.00
AA+
Aaa
9/2/2020
9/4/2020
104,965.35
0.26
16.77
101,206.67
104,989.22
FREDDIE MAC NOTES
DTD 10/16/2020 0.125% 10/16/2023
3137EAEY1
250,000.00
AA+
Aaa
10/14/2020 10/16/2020
249,067.50
0.25
143.23
239,652.50
249,676.39
FREDDIE MAC NOTES
DTD 11/05/2020 0.250% 11/06/2023
3137EAEZ8
185,000.00
AA+
Aaa
11/19/2020 11/24/2020
184,863.10
0.28
186.28
177,109.94
184,949.03
FREDDIE MAC NOTES
DTD 11/05/2020 0.250% 11/06/2023
3137EAEZ8
120,000.00
AA+
Aaa
1/19/2021
1/20/2021
120,139.20
0.21
120.83
114,882.12
120,054.72
FREDDIE MAC NOTES
DTD 11/05/2020 0.250% 11/06/2023
3137EAEZ8
600,000.00
AA+
Aaa
11/3/2020
11/5/2020
599,460.00
0.28
604.16
574,410.60
599,802.43
FANNIE MAE NOTES
DTD 11/25/2020 0.250% 11/27/2023
3135G06H1
455,000.00
AA+
Aaa
1/7/2021
1/8/2021
455,122.85
0.24
391.81
434,582.33
455,049.23
FANNIE MAE NOTES
DTD 11/25/2020 0.250% 11/27/2023
3135G06H1
235,000.00
AA+
Aaa
11/23/2020 11/25/2020
234,732.10
0.29
202.36
224,454.61
234,896.94
FREDDIE MAC NOTES
DTD 12/04/2020 0.250% 12/04/2023
3137EAFA2
150,000.00
AA+
Aaa
12/2/2020
12/4/2020
149,851.50
0.28
121.88
143,052.45
149,941.82
FEDERAL HOME LOAN BANK NOTES
(CALLABLE)
DTD 08/08/2022 4.100% 08/08/2025
3130ASRJ0
875,000.00
AA+
Aaa
8/5/2022
8/8/2022
874,562.50
4.12
5,281.60
857,537.63
874,584.06
FANNIE MAE NOTES (CALLABLE)
DTD 08/30/2022 4.000% 08/28/2025
3135GACV1
375,000.00
AA+
Aaa
8/25/2022
8/30/2022
374,981.25
4.00
1,291.67
367,092.38
374,981.80
4,610,000.00
4,605,510.66
9,297.31
4,458,103.76
Security Type Sub-Total
1.34
4,608,407.62
23
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Holdings
|
Security Type/Description
Dated Date/Coupon/Maturity
CUSIP
Par
S&P
Rating
Moody's
Rating
Settle
Date
Original
Cost
Trade
Date
YTM
at Cost
Accrued
Interest
Market
Value
Amortized
Cost
Corporate
AMAZON.COM INC (CALLABLE) CORP
NOTES
DTD 11/29/2012 2.500% 11/29/2022
023135AJ5
60,000.00
AA
A1
6/9/2020
6/11/2020
62,727.60
0.64
508.33
59,822.46
60,000.00
ADOBE INC CORP NOTE
DTD 02/03/2020 1.700% 02/01/2023
00724PAA7
100,000.00
A+
A2
1/22/2020
2/3/2020
99,863.00
1.75
283.33
99,123.00
99,984.60
CATERPILLAR FINL SERVICE
CORPORATE NOTES
DTD 03/01/2021 0.250% 03/01/2023
14913R2J5
135,000.00
A
A2
2/22/2021
3/1/2021
134,883.90
0.29
28.13
132,717.42
134,975.98
WAL MART STORES INC GLOBAL NT
(CALLABLE)
DTD 04/11/2013 2.550% 04/11/2023
931142DH3
305,000.00
AA
Aa2
5/21/2020
5/26/2020
321,024.70
0.70
3,672.71
301,949.70
306,702.62
HERSHEY COMPANY (CALLABLE)
DTD 05/10/2018 3.375% 05/15/2023
427866AZ1
165,000.00
A
A1
3/11/2020
3/13/2020
171,405.30
2.10
2,103.75
163,849.62
166,112.98
AMAZON.COM INC CORPORATE
NOTES
DTD 06/03/2020 0.400% 06/03/2023
023135BP0
100,000.00
AA
A1
6/1/2020
6/3/2020
99,860.00
0.45
131.11
97,459.20
99,968.68
TOYOTA MOTOR CREDIT CORP
CORPORATE NOTES
DTD 05/26/2020 1.350% 08/25/2023
89236THA6
135,000.00
A+
A1
5/20/2020
5/26/2020
134,950.05
1.36
182.25
131,038.43
134,986.19
AMAZON.COM INC CORPORATE
NOTES
DTD 05/12/2021 0.450% 05/12/2024
023135BW5
110,000.00
AA
A1
5/10/2021
5/12/2021
109,839.40
0.50
191.13
103,178.79
109,913.69
JPMORGAN CHASE & CO
CORPORATE NOTES (CAL
DTD 09/16/2020 0.653% 09/16/2024
46647PBS4
105,000.00
A-
A1
9/9/2020
9/16/2020
105,000.00
0.65
28.57
100,179.56
105,000.00
BANK OF AMERICA CORP
(CALLABLE) CORPORAT
DTD 10/21/2020 0.810% 10/24/2024
06051GJH3
135,000.00
A-
A2
10/16/2020 10/21/2020
135,000.00
0.81
476.89
128,249.60
135,000.00
24
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Holdings
|
Security Type/Description
Dated Date/Coupon/Maturity
CUSIP
Par
S&P
Rating
Moody's
Rating
Settle
Date
Original
Cost
Trade
Date
YTM
at Cost
Accrued
Interest
Market
Value
Amortized
Cost
Corporate
JPMORGAN CHASE & CO (CALLABLE)
CORP NOTE
DTD 06/01/2021 0.824% 06/01/2025
46647PCH7
115,000.00
A-
A1
5/24/2021
6/1/2021
115,000.00
0.82
315.87
106,437.91
115,000.00
1,465,000.00
1,489,553.95
7,922.07
1,424,005.69
Security Type Sub-Total
0.94
1,467,644.74
13,213,000.00
13,292,156.51
44,480.85
12,763,772.66
Managed Account Sub Total
Securities Sub Total
Accrued Interest
$13,213,000.00
$13,292,156.51
$44,480.85
$12,763,772.66
$44,480.85
13,231,477.53
$13,231,477.53
1.36
1.36%
Total Investments
$12,808,253.51
25
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
BUY
7/7/2022
7/8/2022
135,000.00
38346MJV7
GOTHAM FUNDING CORP COMM PAPER
0.00%
9/29/2022
134,268.56
2.36%
7/22/2022
7/25/2022
169,000.00
912828ZY9
US TREASURY NOTES
0.12%
7/15/2023
164,345.04
3.02%
8/5/2022
8/8/2022
875,000.00
3130ASRJ0
FEDERAL HOME LOAN BANK NOTES (CALLABLE)
4.10%
8/8/2025
874,562.50
4.12%
8/8/2022
8/9/2022
650,000.00
91282CEY3
US TREASURY N/B NOTES
3.00%
7/15/2025
648,709.50
3.14%
8/12/2022
8/15/2022
495,000.00
91282CEQ0
US TREASURY N/B NOTES
2.75%
5/15/2025
492,176.96
3.23%
8/15/2022
8/16/2022
235,000.00
91282CEY3
US TREASURY N/B NOTES
3.00%
7/15/2025
234,658.35
3.15%
8/25/2022
8/26/2022
375,000.00
912796XP9
CASH MGMT BILL
0.00%
8/30/2022
374,916.13
2.01%
8/25/2022
8/30/2022
375,000.00
3135GACV1
FANNIE MAE NOTES (CALLABLE)
4.00%
8/28/2025
374,981.25
4.00%
9/1/2022
9/1/2022
180,000.00
9128282R0
US TREASURY NOTES
2.25%
8/15/2027
171,081.62
3.37%
9/12/2022
9/12/2022
100,000.00
91282CFE6
US TREASURY N/B NOTES
3.12%
8/15/2025
99,003.40
3.57%
9/29/2022
9/29/2022
135,000.00
91282CFE6
US TREASURY N/B NOTES
3.12%
8/15/2025
131,439.51
4.25%
Total BUY
3,724,000.00
3,700,142.82
0.00
INTEREST
7/1/2022
7/1/2022
MONEY0002
MONEY MARKET FUND
750.59
7/1/2022
7/1/2022
90,000.00
810454BL1
SCOTTSDALE, AZ TXBL GO BONDS
0.60%
7/1/2025
273.60
7/15/2022
7/15/2022
770,000.00
91282CBE0
US TREASURY NOTES
0.12%
1/15/2024
481.25
7/15/2022
7/15/2022
320,000.00
912828Z29
US TREASURY NOTES
1.50%
1/15/2023
2,400.00
26
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
INTEREST
7/20/2022
7/20/2022
86565CKU2
SUMITOMO MITSUI BANK NY CERT DEPOS
0.70%
7/8/2022
469.88
7/31/2022
7/31/2022
615,000.00
912828Z52
US TREASURY NOTES
1.37%
1/31/2025
4,228.13
8/1/2022
8/1/2022
100,000.00
00724PAA7
ADOBE INC CORP NOTE
1.70%
2/1/2023
850.00
8/1/2022
8/1/2022
MONEY0002
MONEY MARKET FUND
1,642.86
8/10/2022
8/10/2022
370,000.00
3135G05R0
FANNIE MAE NOTES (CALLABLE)
0.30%
8/10/2023
555.00
8/15/2022
8/15/2022
575,000.00
912828Z86
US TREASURY NOTES
1.37%
2/15/2023
3,953.13
8/18/2022
8/18/2022
130,000.00
3135G05V1
FANNIE MAE NOTES (CALLABLE)
0.36%
8/18/2023
234.00
8/24/2022
8/24/2022
165,000.00
3137EAEV7
FREDDIE MAC NOTES
0.25%
8/24/2023
206.25
8/25/2022
8/25/2022
135,000.00
89236THA6
TOYOTA MOTOR CREDIT CORP CORPORATE NOTES
1.35%
8/25/2023
911.25
9/1/2022
9/1/2022
MONEY0002
MONEY MARKET FUND
2,591.56
9/1/2022
9/1/2022
135,000.00
14913R2J5
CATERPILLAR FINL SERVICE CORPORATE NOTES
0.25%
3/1/2023
168.75
9/8/2022
9/8/2022
185,000.00
3137EAEW5
FREDDIE MAC NOTES
0.25%
9/8/2023
231.25
9/15/2022
9/15/2022
100,000.00
91282CBR1
US TREASURY NOTES
0.25%
3/15/2024
125.00
9/16/2022
9/16/2022
105,000.00
46647PBS4
JPMORGAN CHASE & CO CORPORATE NOTES (CAL
0.65%
9/16/2024
342.83
9/30/2022
9/30/2022
449,000.00
912828W71
US TREASURY NOTES
2.12%
3/31/2024
4,770.63
Total INTEREST
4,244,000.00
25,185.96
0.00
27
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
MATURITY
7/8/2022
7/8/2022
135,000.00
86565CKU2
SUMITOMO MITSUI BANK NY CERT DEPOS
0.70%
7/8/2022
135,000.00
7/25/2022
7/25/2022
165,000.00
3137EAET2
FREDDIE MAC NOTES
0.12%
7/25/2022
165,103.13
8/16/2022
8/16/2022
235,000.00
90275DNC0
UBS AG STAMFORD CT CERT DEPOS
0.25%
8/16/2022
235,295.38
8/26/2022
8/26/2022
190,000.00
83050PDR7
SKANDINAV ENSKILDA BANK LT CD
1.86%
8/26/2022
191,776.82
8/26/2022
8/26/2022
185,000.00
65558TLL7
NORDEA BANK ABP NEW YORK CERT DEPOS
1.85%
8/26/2022
186,701.74
8/30/2022
8/30/2022
375,000.00
912796XP9
CASH MGMT BILL
0.00%
8/30/2022
375,000.00
9/1/2022
9/1/2022
170,000.00
254687FJ0
WALT DISNEY COMPANY/THE
1.65%
9/1/2022
171,402.50
9/11/2022
9/11/2022
100,000.00
037833DL1
APPLE INC CORPORATE NOTES
1.70%
9/11/2022
100,850.00
9/29/2022
9/29/2022
135,000.00
38346MJV7
GOTHAM FUNDING CORP COMM PAPER
0.00%
9/29/2022
135,000.00
Total MATURITY
1,690,000.00
1,696,129.57
0.00
SELL
8/5/2022
8/8/2022
750,000.00
9128282S8
US TREASURY NOTES
1.62%
8/31/2022
755,214.84
-241.95
8/5/2022
8/8/2022
119,000.00
9128282S8
US TREASURY NOTES
1.62%
8/31/2022
119,827.43
-26.94
8/8/2022
8/9/2022
650,000.00
912828TY6
US TREASURY NOTES
1.62%
11/15/2022
650,767.24
-1,666.51
8/12/2022
8/15/2022
490,000.00
3135G0W33
FANNIE MAE NOTES
1.37%
9/6/2022
492,598.43
-343.07
Total SELL
2,009,000.00
2,018,407.94
-2,278.47
28
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
Tran.
Type
7/7/2022
7/8/2022
135,000.00
38346MJV7
GOTHAM FUNDING CORP COMM
0.00%
9/29/2022
134,268.56
2.36%
BUY
7/22/2022
7/25/2022
169,000.00
912828ZY9
US TREASURY NOTES
0.12%
7/15/2023
164,345.04
3.02%
BUY
8/5/2022
8/8/2022
875,000.00
3130ASRJ0
FEDERAL HOME LOAN BANK NOTES
4.10%
8/8/2025
874,562.50
4.12%
BUY
8/8/2022
8/9/2022
650,000.00
91282CEY3
US TREASURY N/B NOTES
3.00%
7/15/2025
648,709.50
3.14%
BUY
8/12/2022
8/15/2022
495,000.00
91282CEQ0
US TREASURY N/B NOTES
2.75%
5/15/2025
492,176.96
3.23%
BUY
8/15/2022
8/16/2022
235,000.00
91282CEY3
US TREASURY N/B NOTES
3.00%
7/15/2025
234,658.35
3.15%
BUY
8/25/2022
8/26/2022
375,000.00
912796XP9
CASH MGMT BILL
0.00%
8/30/2022
374,916.13
2.01%
BUY
8/25/2022
8/30/2022
375,000.00
3135GACV1
FANNIE MAE NOTES (CALLABLE)
4.00%
8/28/2025
374,981.25
4.00%
BUY
9/1/2022
9/1/2022
180,000.00
9128282R0
US TREASURY NOTES
2.25%
8/15/2027
171,081.62
3.37%
BUY
9/12/2022
9/12/2022
100,000.00
91282CFE6
US TREASURY N/B NOTES
3.12%
8/15/2025
99,003.40
3.57%
BUY
9/29/2022
9/29/2022
135,000.00
91282CFE6
US TREASURY N/B NOTES
3.12%
8/15/2025
131,439.51
4.25%
BUY
7/1/2022
7/1/2022
MONEY0002
MONEY MARKET FUND
750.59
INTEREST
7/1/2022
7/1/2022
90,000.00
810454BL1
SCOTTSDALE, AZ TXBL GO BONDS
0.60%
7/1/2025
273.60
INTEREST
7/15/2022
7/15/2022
770,000.00
91282CBE0
US TREASURY NOTES
0.12%
1/15/2024
481.25
INTEREST
7/15/2022
7/15/2022
320,000.00
912828Z29
US TREASURY NOTES
1.50%
1/15/2023
2,400.00
INTEREST
7/20/2022
7/20/2022
86565CKU2
SUMITOMO MITSUI BANK NY CERT
0.70%
7/8/2022
469.88
INTEREST
7/31/2022
7/31/2022
615,000.00
912828Z52
US TREASURY NOTES
1.37%
1/31/2025
4,228.13
INTEREST
8/1/2022
8/1/2022
100,000.00
00724PAA7
ADOBE INC CORP NOTE
1.70%
2/1/2023
850.00
INTEREST
29
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
Tran.
Type
8/1/2022
8/1/2022
MONEY0002
MONEY MARKET FUND
1,642.86
INTEREST
8/10/2022
8/10/2022
370,000.00
3135G05R0
FANNIE MAE NOTES (CALLABLE)
0.30%
8/10/2023
555.00
INTEREST
8/15/2022
8/15/2022
575,000.00
912828Z86
US TREASURY NOTES
1.37%
2/15/2023
3,953.13
INTEREST
8/18/2022
8/18/2022
130,000.00
3135G05V1
FANNIE MAE NOTES (CALLABLE)
0.36%
8/18/2023
234.00
INTEREST
8/24/2022
8/24/2022
165,000.00
3137EAEV7
FREDDIE MAC NOTES
0.25%
8/24/2023
206.25
INTEREST
8/25/2022
8/25/2022
135,000.00
89236THA6
TOYOTA MOTOR CREDIT CORP
1.35%
8/25/2023
911.25
INTEREST
9/1/2022
9/1/2022
MONEY0002
MONEY MARKET FUND
2,591.56
INTEREST
9/1/2022
9/1/2022
135,000.00
14913R2J5
CATERPILLAR FINL SERVICE
0.25%
3/1/2023
168.75
INTEREST
9/8/2022
9/8/2022
185,000.00
3137EAEW5
FREDDIE MAC NOTES
0.25%
9/8/2023
231.25
INTEREST
9/15/2022
9/15/2022
100,000.00
91282CBR1
US TREASURY NOTES
0.25%
3/15/2024
125.00
INTEREST
9/16/2022
9/16/2022
105,000.00
46647PBS4
JPMORGAN CHASE & CO CORPORATE
0.65%
9/16/2024
342.83
INTEREST
9/30/2022
9/30/2022
449,000.00
912828W71
US TREASURY NOTES
2.12%
3/31/2024
4,770.63
INTEREST
7/8/2022
7/8/2022
135,000.00
86565CKU2
SUMITOMO MITSUI BANK NY CERT
0.70%
7/8/2022
135,000.00
MATURITY
7/25/2022
7/25/2022
165,000.00
3137EAET2
FREDDIE MAC NOTES
0.12%
7/25/2022
165,103.13
MATURITY
8/16/2022
8/16/2022
235,000.00
90275DNC0
UBS AG STAMFORD CT CERT DEPOS
0.25%
8/16/2022
235,295.38
MATURITY
8/26/2022
8/26/2022
190,000.00
83050PDR7
SKANDINAV ENSKILDA BANK LT CD
1.86%
8/26/2022
191,776.82
MATURITY
8/26/2022
8/26/2022
185,000.00
65558TLL7
NORDEA BANK ABP NEW YORK CERT
1.85%
8/26/2022
186,701.74
MATURITY
8/30/2022
8/30/2022
375,000.00
912796XP9
CASH MGMT BILL
0.00%
8/30/2022
375,000.00
MATURITY
30
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
Tran.
Type
9/1/2022
9/1/2022
170,000.00
254687FJ0
WALT DISNEY COMPANY/THE
1.65%
9/1/2022
171,402.50
MATURITY
9/11/2022
9/11/2022
100,000.00
037833DL1
APPLE INC CORPORATE NOTES
1.70%
9/11/2022
100,850.00
MATURITY
9/29/2022
9/29/2022
135,000.00
38346MJV7
GOTHAM FUNDING CORP COMM
0.00%
9/29/2022
135,000.00
MATURITY
8/5/2022
8/8/2022
750,000.00
9128282S8
US TREASURY NOTES
1.62%
8/31/2022
755,214.84
-241.95
SELL
8/5/2022
8/8/2022
119,000.00
9128282S8
US TREASURY NOTES
1.62%
8/31/2022
119,827.43
-26.94
SELL
8/8/2022
8/9/2022
650,000.00
912828TY6
US TREASURY NOTES
1.62%
11/15/2022
650,767.24
-1,666.51
SELL
8/12/2022
8/15/2022
490,000.00
3135G0W33
FANNIE MAE NOTES
1.37%
9/6/2022
492,598.43
-343.07
SELL
TOTALS
7,439,866.29
-2,278.47
11,667,000.00
31
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Appendix
|
Important Disclosures
This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation, as it was prepared without regard to
any specific objectives or financial circumstances.
Investment advisory services are provided by PFM Asset Management LLC ("PFMAM"), an investment adviser registered with the U.S. Securities and Exchange
Commission and a subsidiary of U.S. Bancorp Asset Management, Inc. ("USBAM"). USBAM is a subsidiary of U.S. Bank National Association ("U.S. Bank"). U.S. Bank
is a separate entity and subsidiary of U.S. Bancorp. U.S. Bank is not responsible for and does not guarantee the products, services or performance of PFMAM. The
information contained is not an offer to purchase or sell any securities. Additional applicable regulatory information is available upon request.
PFMAM professionals have exercised reasonable professional care in the preparation of this performance report. Information in this report is obtained from sources
external to PFMAM and is generally believed to be reliable and available to the public; however, we cannot guarantee its accuracy, completeness or suitability. We rely
on the client's custodian for security holdings and market values. Transaction dates reported by the custodian may differ from money manager statements. While efforts
are made to ensure the data contained herein is accurate and complete, we disclaim all responsibility for any errors that may occur. References to particular issuers are
for illustrative purposes only and are not intended to be recommendations or advice regarding such issuers. Fixed income manager and index characteristics are
gathered from external sources. When average credit quality is not available, it is estimated by taking the market value weights of individual credit tiers on the portion of
the strategy rated by a NRSRO.
It is not possible to invest directly in an index. The index returns shown throughout this material do not represent the results of actual trading of investor assets.
Third-party providers maintain the indices shown and calculate the index levels and performance shown or discussed. Index returns do not reflect payment of any sales
charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges would cause investment performance to be
lower than the performance shown.
The views expressed within this material constitute the perspective and judgment of PFMAM at the time of distribution and are subject to change. Any forecast,
projection, or prediction of the market, the economy, economic trends, and equity or fixed-income markets are based upon certain assumptions and current opinion as
of the date of issue and are also subject to change. Some, but not all assumptions are noted in the report. 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. Opinions and data
presented are not necessarily indicative of future events or expected performance.
For more information regarding PFMAM's services or entities, please visit www.pfmam.com.
© 2022 PFM Asset Management LLC. Further distribution is not permitted without prior written consent.
32
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
Appendix
|
Important Disclosures
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.
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.
33
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
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.
34
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2022
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.
35