Investment Report for the Quarter Ending December 31, 2022
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Investment Performance Review
For the Quarter Ended December 31, 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
© PFM Asset Management LLC pfmam.com
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•
Market Update
•
Account Summary
•
Portfolio Review
1
PFM Asset Management LLC
For the Quarter Ended March 31, 2022
MarketUpdate
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC | pfmam.com
Current Market Themes
▸The U.S. economy is characterized by:
▹High inflation that shows signs of slowing
▹Continued strong labor market
▹Potentially declining health of U.S. household finances
▹Expectations for a modest yet broad economic downturn
▸The Federal Reserve is expected to wrap up their normalization
process
▹Slowing pace of rate hikes
▹Fed projecting short-term fed funds rate to reach 5.00% to 5.25% by year-
end, with markets expecting rate cuts in the second half of 2023
▹Fed officials reaffirm that restoring price stability is the utmost priority,
despite risks of overtightening
▸Volatile markets potentially calming
▹Treasury yields in the belly of the curve (3-7 years) ended the quarter
slightly lower, while shorter and longer maturities ended higher
▹Yield curve inversion has deepened further since last quarter
▹While still elevated, volatility and liquidity challenges have begun subsiding
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Market Update
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2
For the Quarter Ended March 31, 2022
California Affiliated Risk Management Authorities
MarketUpdate
CLIENT NAME
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC | pfmam.com
Source: Bloomberg, as of 12/31/2022.
Rates Remain Sensitive to Fed and Inflation
The 2-year
Treasury is
commonly used
to gauge market
reactions and
near-term policy
expectations
3.75%
4.00%
4.25%
4.50%
4.75%
5.00%
Oct-22
Nov-22
Dec-22
Jan-23
2-Year US Treasury Yield
October 13th CPI
Consumer prices rise
more than expected,
catalyzing uncertainty;
+17 bps
November 10th CPI
The first tangible sign
that inflation is
slowing; -24 bps
November 3rd
Hawkish stance from the
FOMC regarding higher
rates; +10 bps
November 30th
Powell confirms that
upcoming rate hikes
will be smaller; -16 bps
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Market Update
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3
PFM Asset Management LLC
For the Quarter Ended March 31, 2022
California Affiliated Risk Management Authorities
MarketUpdate
CLIENT NAME
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC | pfmam.com
Inflation Now Trending Lower
Source: Bloomberg, as of December 2022.
Lower energy
and goods
prices help to
offset increases
in wage-driven
services costs
Dec-22
6.5%
-2%
0%
2%
4%
6%
8%
10%
Jun-20
Sep-20
Dec-20
Mar-21
Jun-21
Sep-21
Dec-21
Mar-22
Jun-22
Sep-22
Consumer Prices (CPI)
Top-Line Contributions and Year-over-Year Reading
Services (Ex Food & Energy)
Goods (Ex Food & Energy)
Food
Energy
Headline YoY%
Bloomberg
Forecasts
Q1
‘23
Q2
‘23
Q3
‘23
Dec-22
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Market Update
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4
PFM Asset Management LLC
For the Quarter Ended March 31, 2022
California Affiliated Risk Management Authorities
MarketUpdate
CLIENT NAME
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC | pfmam.com
Source: Federal Reserve and Bloomberg. Individual dots represent each Fed members’ judgement of the midpoint of the appropriate target range for the federal funds rate at each year-end.
Fed’s “Dot Plot” Suggests Expectations for a Drawn Out Normalization of Policy
0%
1%
2%
3%
4%
5%
6%
Fed Participants’ Assessments of "Appropriate" Monetary Policy
Dec-22 FOMC Projections
Dec-22 Median
Dec 2023
Longer Term
Dec 2024
Dec 2025
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC pfmam.com
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5
For the Quarter Ended March 31, 2022
California Affiliated Risk Management Authorities
MarketUpdate
What Could the Fed’s Pivot Look Like?
CLIENT NAME
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC | pfmam.com
+25
+50
+75
+75
+75
+75
+50
+25
+25
-25
-25
-25
0%
1%
2%
3%
4%
5%
6%
-50
-25
0
25
50
75
100
Jan-22
May-22
Jul-22
Nov-22
Feb-23
May-23
Jul-23
Nov-23
Jan-24
Basis Point Change
FOMC Meeting Dates
Changes to the Target Fed Funds Rate
Actual
Market Expectation
FF Mid-Point (right axis)
Source: Bloomberg WIRP Interest Rate Probability as of 1/9/2023.
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC pfmam.com
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6
PFM Asset Management LLC
For the Quarter Ended March 31, 2022
California Affiliated Risk Management Authorities
MarketUpdate
CLIENT NAME
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC | pfmam.com
The Year in Review
Beginning in March, the Fed hiked rates by
425 basis points in 2022
•
The 2-year treasury yield rose just
370 bps through 2022
Consumer spending remained resilient
despite price pressures and extended credit
levels
Energy prices surged due to uncertainty,
geopolitical conflict (war in Ukraine), and
storage challenges
2022 saw an uncommon phenomenon of
both stocks and bonds posting negative
returns
-19.4%
-13.0%
-5.3%
1.5%
6.7%
-20%
-15%
-10%
-5%
0%
5%
10%
S&P 500
Barclays
U.S. Bond
Aggregate
1-5 Year
Gov/Corp A
or Better
Cash
Crude Oil
2022 Asset Class Returns
Source: Bloomberg, as of 12/31/2022.
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC pfmam.com
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7
PFM Asset Management LLC
For the Quarter Ended March 31, 2022
California Affiliated Risk Management Authorities
MarketUpdate
CLIENT NAME
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC | pfmam.com
Recession Gauge Flashing Yellow, but GDP Expected to Grow by End of Year
Labor
market
Consumer
Retail sales
Manufacturing
Inverted
yield curve
Recession Risk
Rate hike cycle
Inflation
1.1%
0.1%
-0.6%
0.0%
0.9%
1.5%
1.8%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
Q4 '22 Q1 '23 Q2 '23 Q3 '23 Q4 '23 Q1 '24 Q2 '24
U.S. GDP Forecasts
Annualized Rate
Range
Median of Forecasts
Source: Bloomberg, Economist Forecasts. Recession risk based on most recent economic data as of 1/9/2023.
Housing
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC pfmam.com
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PFM Asset Management LLC
For the Quarter Ended June 30, 2022
California Affiliated Risk Management Authorities
MarketUpdate
CLIENT NAME
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC | pfmam.com
Yield Curve Inversion Deepens
4Q2022
12/31/22
3Q2022
09/30/22
QoQ
Change
3-month
4.34%
3.25%
+1.10%
1-year
4.69%
3.93%
+0.75%
2-year
4.43%
4.28%
+0.15%
3-year
4.22%
4.29%
-0.06%
5-year
4.00%
4.09%
-0.09%
10-year
3.87%
3.83%
+0.05%
30-year
3.96%
3.78%
+0.19%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
3
M
1
Y
2
Y
3
Y
4
Y
5
Y
10
Y
30
Y
Maturity
U.S. Treasury Yield Curve
December 31, 2022
September 30, 2022
December 31, 2021
Source: Bloomberg, as of December 2022.
Treasury yield in the belly of the
curve ended the quarter slightly
lower, while shorter and longer
maturities ended higher
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC pfmam.com
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PFM Asset Management LLC
For the Quarter Ended March 31, 2022
California Affiliated Risk Management Authorities
MarketUpdate
CLIENT NAME
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC | pfmam.com
Higher Yields Can Offset Some of the Price Depreciation Woes
Source: ICE BofAML Indices via Bloomberg, as of 12/31/2022. PFMAM Calculations. Income return represents the yield of the benchmark index, as of the end of the prior calendar year, respective to the year of
performance shown.
4.34%
4.75%
4.22%
4.00%
3.97%
3.87%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
Yield
U.S. Treasury Yield Curve
December 31, 2022
September 30, 2022
3mo
2yr
5yr
7yr
10yr
2023
Starting Yield:
4.49%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
2000
2002
2004
2006
2008
2010
2012
2014
2016
2018
2020
2022
Annual Price & Income Returns
1-3 Year Treasury Index
Income Return
Price Return
Total Return
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Market Update
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10
PFM Asset Management LLC
For the Quarter Ended March 31, 2022
California Affiliated Risk Management Authorities
MarketUpdate
CLIENT NAME
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC | pfmam.com
Sector Yield Spreads
Source: ICE BofAML 1-3 year Indices via Bloomberg, MarketAxess and PFMAM as of 12/31/2022. Spreads on ABS and MBS are option-adjusted spreads of 0-3 year indices based on weighted average life;
spreads on agencies are relative to comparable maturity Treasuries.
CMBS is Commercial Mortgage-Backed Securities.
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
Dec-21
Mar-22
Jun-22
Sep-22
Dec-22
Corporate Notes A-AAA Yield Spreads
-0.2%
-0.1%
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
Dec-21
Mar-22
Jun-22
Sep-22
Dec-22
Federal Agency Yield Spreads
Bullet
Callable
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
Dec-21
Mar-22
Jun-22
Sep-22
Dec-22
Mortgage-Backed Securities Yield Spreads
Agency MBS
AAA CMBS
0.0%
0.4%
0.8%
1.2%
1.6%
2.0%
Dec-21
Mar-22
Jun-22
Sep-22
Dec-22
Asset-Backed Securities AAA Yield Spreads
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Market Update
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11
PFM Asset Management LLC
For the Quarter Ended March 31, 2022
California Affiliated Risk Management Authorities
MarketUpdate
CLIENT NAME
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC | pfmam.com
Source: ICE BofAML Indices. ABS indices are 0-3 year, based on weighted average life. As of 12/31/2022.
Right Chart: Generic US Treasury securities via Bloomberg, change in yield from 9/30/2022 to 12/31/2022.
Fixed-Income Markets in Q4 2022
0.74%
0.72%
0.75%
1.27%
1.57%
0.0%
0.5%
1.0%
1.5%
2.0%
U.S. Treasury
Agency
ABS
Corp A-AAA
Corp BBB
1-3 Year Indices Quarterly Returns
1.10%
0.85%
0.15%
-0.09%
0.05%
-0.20%
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
1.20%
3-Month
6-Month
2-Year
5-Year
10-Year
Change in U.S. Treasury Yield
September 30, 2022 – December 31, 2022
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC pfmam.com
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12
© PFM Asset Management LLC pfmam.com
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Account Summary
13
PFM Asset Management LLC
For the Quarter Ended March 31, 2022
MarketUpdate
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC | pfmam.com
Fixed-Income Sector Commentary – 4Q 2022
▸U.S. Treasury yields settled into a wide range after
surging for the first three quarters of the year. The
result of more stable yields was generally positive
returns for the quarter.
▸Federal agency bullet spreads finally broke single
digits and climbed to the widest levels in the past 12
months for certain maturities. Callable structures were
attractive early in the quarter as new issues came to
market at wide levels on the heels of historically high
bond volatility.
▸Supranational issuance fell notably short of
expectations in Q4 limiting new investment
opportunities. Liquidity was better than that of federal
agencies, which provided some ability to swap into
other sectors which were more attractive.
▸Investment-Grade Corporate yield spreads
fluctuated in Q4 underscoring the historic levels of
volatility experienced throughout the year. After
reaching post-pandemic wides in late October, credit
spreads reversed, ending the quarter modestly tighter.
The sector generated strong excess returns in Q4 and
buoyed portfolio returns relative to benchmarks.
▸Asset-Backed yield spreads lagged the narrowing
move in the corporate sector for much of Q4 but
rallied into year end, ending the quarter only modestly
wider than where they began. ABS and IG corporate
spreads diverged markedly in November, growing to
the widest margin since 2020 and leading to a year-
end rally which brought performance just shy of
matched-duration U.S. Treasuries.
▸Mortgage-Backed Securities reversed course in Q4
after the dreadful negative returns for the first three
quarters of 2022. Although still negative for the year,
excess returns on MBS were near top-of-class
amongst investment-grade options in Q4.
▸Taxable Municipal issuance remained
underwhelming as deals were heavily oversubscribed,
dragging spreads lower, while secondary inventory at
attractive levels was sparse.
▸The short-term credit (commercial paper and CDs)
yield curve was notably steep throughout the quarter
as the market priced the expectation for further Fed
rate increases. The aggressive pace of those rate
hikes created valuable opportunities in floating-rate
securities.
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Market Update
© PFM Asset Management LLC pfmam.com
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© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Account Summary
|
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
December 31, 2022
PFMAM Managed Account
$12,791,725
Amortized Cost
$13,208,069
Market Value
$12,791,725
Accrued Interest
$66,310
Cash
$2,040,942
Analytics¹
December 31, 2022
Yield at Market
4.65%
Yield on Cost
1.79%
Portfolio Duration
1.26
15
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Account Summary
|
<1%%
18.5%
3.0%
0.6%
35.0%
42.9%
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
First American Funds - $10
Corporate - $2,373,854
Negotiable CD - $391,563
Municipal - $80,528
Federal Agency - $4,497,104
U.S. Treasury - $5,514,986
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.
16
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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
42.9%
U.S. Treasury
UNITED STATES TREASURY
42.9%
AA / Aaa / AAA
35.0%
Federal Agency
FANNIE MAE
13.7%
AA / Aaa / AAA
FEDERAL HOME LOAN BANKS
6.8%
AA / Aaa / NR
FREDDIE MAC
14.4%
AA / Aaa / AAA
0.6%
Municipal
CITY OF SCOTTSDALE
0.6%
AAA / Aaa / AAA
3.0%
Negotiable CD
CREDIT SUISSE GROUP RK
1.1%
BBB / A / BBB
TORONTO-DOMINION BANK
2.0%
A / A / NR
18.5%
Corporate
ADOBE INC
0.8%
A / A / NR
AMAZON.COM INC
1.6%
AA / A / AA
APPLE INC
2.0%
AA / Aaa / NR
BANK OF AMERICA CO
1.0%
A / A / AA
CATERPILLAR INC
1.0%
A / A / A
CISCO SYSTEMS INC
1.7%
AA / A / NR
HERSHEY COMPANY
1.3%
A / A / NR
JP MORGAN CHASE & CO
1.6%
A / A / AA
MERCK & CO INC
1.7%
A / A / NR
MICROSOFT CORP
2.0%
AAA / Aaa / AAA
TEXAS INSTRUMENTS INC
0.3%
A / Aa / NR
TOYOTA MOTOR CORP
1.0%
A / A / A
WAL-MART STORES INC
2.4%
AA / Aa / AA
100.0%
Total
17
© PFM Asset Management LLC pfmam.com
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Portfolio Review:
CHANDLER HEALTH CARE BENEFITS TRUST
18
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Portfolio Snapshot
|
1. Yield and duration calculations exclude cash and cash equivalents. Sector allocation includes market values and accrued interest.
2. An average of each security’s credit rating was assigned a numeric value and adjusted for its relative weighting in the portfolio.
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. Prior to 9/30/12 it was the ICE BofAML 0-6
Month U.S Treasury Index. Source: Bloomberg.
Portfolio Snapshot - CHANDLER HEALTH CARE BENEFITS TRUST¹
Credit Quality - S&P2
49%
25%
25%
1%
7%
58%
35%
0%
20%
40%
60%
0-1 Yr
1-2 Yrs
2-3 Yrs
4-5 Yrs
Portfolio
Benchmark3
Duration Distribution
U.S. Treasury | 43%
Federal Agency | 35%
Corporate | 19%
Negotiable CD | 3%
Municipal | 1%
Sector Allocation
AAA | 3%
AA+ | 80%
AA | 4%
AA- | 2%
A+ | 4%
A | 4%
A- | 3%
A-2 | 1%
Portfolio Statistics
Portfolio Effective Duration
1.26 years
Benchmark Effective Duration
1.74 years
Portfolio Credit Quality
AA
Yield At Market
4.65%
Yield At Cost
1.79%
Total Market Value
$14,898,976.85
$12,791,724.81
Securities Sub-Total
$2,040,941.88
Cash
$66,310.16
Accrued Interest
19
Liquidity Vehicle
Quarter-End Yield
Allspring Treasury Plus Money
Market A Fund1
4.08%
First American Funds2
3.86%
1.
Allspring Treasury Plus Money Market A Fund ticker symbol PISXX. Account yield from the Trust custody statement as of 12/31/22.
2.
First American Funds ticker symbol FGZXX; Account yield from statement as of 12/31/22. 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 December 31, 2022
Portfolio Snapshot
© PFM Asset Management LLC | pfmam.com
20
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Portfolio Characteristics
|
$0.0
$2.8
$5.6
$8.4
$11.2
$14.0
Millions
December 2022
$0.0
$2.8
$5.6
$8.4
$11.2
$14.0
Millions
September 2022
$0.0
$2.8
$5.6
$8.4
$11.2
$14.0
Millions
June 2022
$0.0
$2.8
$5.6
$8.4
$11.2
$14.0
Millions
March 2022
Sector Allocation Review - CHANDLER HEALTH CARE BENEFITS TRUST
U.S. Treasury
Federal Agency
Municipal
Negotiable CD
Corporate
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.
Mar-22
% of Total
Security Type
Jun-22
% of Total
Sep-22
% of Total
% of Total
Dec-22
U.S. Treasury
$7.0
50.6%
$6.2
48.1%
$6.5
51.2%
$5.5
42.9%
Federal Agency
$3.9
28.2%
$3.9
30.2%
$4.5
34.9%
$4.5
35.0%
Municipal
$0.1
0.6%
$0.1
0.7%
$0.1
0.6%
$0.1
0.6%
Negotiable CD
$1.0
7.3%
$1.0
7.8%
$0.3
2.1%
$0.4
3.0%
Corporate
$1.8
13.3%
$1.7
13.2%
$1.4
11.2%
$2.4
18.5%
Total
$13.9
100.0%
$12.9
100.0%
$12.8
100.0%
$12.8
100.0%
21
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Portfolio Activity
|
Portfolio Activity (12 Months) - CHANDLER HEALTH CARE BENEFITS TRUST
Net Activity by Sector
($ millions)
U.S. Treasury
Negotiable CD
Commercial Paper
Corporate
Federal Agency
U.S. Treasury
Negotiable CD
Commercial Paper
Corporate
Federal Agency
($6.0)
($4.0)
($2.0)
$0.0
$2.0
$4.0
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
Corporate
$439,247
Commercial Paper
($731)
Negotiable CD
($815,550)
U.S. Treasury
($1,437,233)
($1,222,426)
Total Net Activity
Sales/Maturities
Purchases
22
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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 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.
4.
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
Return
Portfolio
Benchmark
Portfolio Performance
Market Value Basis Earnings
3 Months
1 Year
3 Years
5 Years
10 Years¹
Interest Earned²
$65,718
$192,727
$680,932
$1,201,725
$1,610,235
Change in Market Value
$43,263
($438,413)
($418,591)
($823,237)
($1,060,478)
$108,981
Total Dollar Return
($245,686)
($262,341)
$378,488
$549,757
Total Return³
Portfolio
0.74%
-1.53%
0.44%
1.32%
0.99%
Benchmark⁴
0.74%
-3.65%
-0.41%
0.77%
0.62%
3 Months
1 Year
3 Years
5 Years
10 Years
Difference
0.00%
2.12%
0.85%
0.55%
0.37%
23
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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
$65,718
($3,172)
($4,927)
$57,620
1 Year
$192,727
($8,988)
($29,669)
$154,070
3 Years
$680,932
$203,668
($68,935)
$815,665
5 Year
$1,201,725
$111,348
$3,133
$1,316,206
10 Year¹
$1,610,235
$120,391
($150,807)
$1,579,819
24
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Portfolio Composition
|
Issuer Distribution
As of December 31, 2022
Issuer
Market Value ($)
% of Portfolio
UNITED STATES TREASURY
5,484,430
42.88%
FREDDIE MAC
1,856,289
14.52%
FANNIE MAE
1,761,119
13.77%
FEDERAL HOME LOAN BANKS
858,640
6.71%
WAL-MART STORES INC
303,077
2.37%
APPLE INC
255,908
2.00%
MICROSOFT CORP
254,872
1.99%
TORONTO-DOMINION BANK
249,894
1.95%
CISCO SYSTEMS INC
223,872
1.75%
MERCK & CO INC
220,536
1.72%
JP MORGAN CHASE & CO
208,140
1.63%
AMAZON.COM INC
201,952
1.58%
HERSHEY COMPANY
164,065
1.28%
CREDIT SUISSE GROUP RK
138,648
1.08%
CATERPILLAR INC
134,065
1.05%
TOYOTA MOTOR CORP
131,864
1.03%
BANK OF AMERICA CO
129,478
1.01%
ADOBE INC
99,657
0.78%
CITY OF SCOTTSDALE
80,254
0.63%
TEXAS INSTRUMENTS INC
34,963
0.27%
12,791,725
Grand Total
100.00%
25
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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 02/15/2020 1.375% 02/15/2023
912828Z86
268,000.00
AA+
Aaa
3/2/2020
3/4/2020
272,522.50
0.80
1,391.89
266,995.00
268,188.79
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
97.59
164,880.63
166,439.90
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
444.63
734,146.88
769,565.23
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
74.59
94,812.50
99,916.46
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
1,677.64
299,295.49
313,744.00
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
760.10
135,603.13
143,109.78
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
80.36
94,625.00
100,072.76
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
1,232.97
884,597.70
954,002.24
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
3,538.76
577,619.56
626,076.25
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
1,767.37
477,056.25
489,635.82
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
3,256.79
227,582.81
234,169.13
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
9,008.16
629,484.38
647,738.84
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
1,593.49
131,055.46
131,288.21
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
1,180.37
97,078.12
98,893.92
US TREASURY N/B NOTES
DTD 11/15/2022 4.500% 11/15/2025
91282CFW6
125,000.00
AA+
Aaa
12/1/2022
12/2/2022
126,665.04
4.02
730.32
125,781.25
126,618.75
26
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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 11/15/2022 4.500% 11/15/2025
91282CFW6
270,000.00
AA+
Aaa
12/12/2022 12/13/2022
272,562.89
4.15
1,577.49
271,687.50
272,517.30
US TREASURY N/B NOTES
DTD 11/15/2022 4.500% 11/15/2025
91282CFW6
105,000.00
AA+
Aaa
11/29/2022 11/30/2022
105,750.59
4.24
613.47
105,656.25
105,728.37
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
1,529.76
166,471.88
171,508.61
5,701,000.00
5,750,742.32
30,555.75
5,484,429.79
Security Type Sub-Total
1.76
5,719,214.36
Negotiable CD
CREDIT SUISSE NEW YORK CERT
DEPOS
DTD 03/23/2021 0.590% 03/17/2023
22552G3C2
140,000.00
A-2
P-2
3/19/2021
3/23/2021
140,000.00
0.59
665.39
138,648.44
140,000.00
TORONTO DOMINION BANK NY CERT
DEPOS
DTD 10/31/2022 5.470% 10/25/2024
89115B6F2
250,000.00
A
A1
10/27/2022 10/31/2022
250,000.00
5.44
2,355.14
249,894.43
250,000.00
390,000.00
390,000.00
3,020.53
388,542.87
Security Type Sub-Total
3.71
390,000.00
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
273.60
80,253.90
90,000.00
90,000.00
90,000.00
273.60
80,253.90
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
195.99
261,653.85
264,934.05
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
67.71
245,675.25
249,903.10
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
434.75
359,944.51
369,865.34
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
172.90
126,388.86
130,000.00
27
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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
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
145.52
160,228.37
164,963.98
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
62.78
77,543.36
80,003.32
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
82.39
101,775.66
104,992.12
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
65.10
240,861.75
249,754.74
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
45.83
115,422.48
120,042.17
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
229.17
577,112.40
599,847.76
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
70.66
177,942.99
184,960.72
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
107.43
436,429.17
455,038.50
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
55.49
225,408.48
234,919.41
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
28.13
143,748.60
149,954.30
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
14,250.35
858,640.13
874,620.78
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
5,041.67
367,272.75
374,983.38
4,610,000.00
4,605,510.66
21,055.87
4,476,048.61
Security Type Sub-Total
1.34
4,608,783.67
28
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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
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
708.33
99,657.20
99,996.12
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
112.50
134,065.13
134,990.62
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
1,728.33
303,077.28
305,166.92
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
711.56
164,065.11
165,590.56
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
31.11
98,180.00
99,980.44
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
637.88
131,863.95
134,990.06
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
67.38
103,771.91
109,927.17
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
199.98
100,892.51
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
203.51
129,478.23
135,000.00
TEXAS INSTRUMENTS INC
CORPORATE NOTES
DTD 11/18/2022 4.700% 11/18/2024
882508BR4
35,000.00
A+
Aa3
11/15/2022 11/18/2022
34,984.25
4.72
196.49
34,963.22
34,985.20
MERCK & CO INC CORP NOTES
DTD 02/10/2015 2.750% 02/10/2025
58933YAR6
230,000.00
A+
A1
12/15/2022 12/19/2022
221,303.70
4.62
2,477.29
220,535.73
221,447.90
MICROSOFT CORP (CALLABLE)
NOTES
DTD 02/12/2015 2.700% 02/12/2025
594918BB9
265,000.00
AAA
Aaa
12/15/2022 12/19/2022
255,637.55
4.44
2,762.63
254,871.70
255,792.40
APPLE INC CORPORATE NOTES
DTD 05/13/2015 3.200% 05/13/2025
037833BG4
265,000.00
AA+
Aaa
12/15/2022 12/19/2022
257,103.00
4.52
1,130.67
255,907.59
257,220.19
29
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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
78.97
107,247.74
115,000.00
CISCO SYSTEMS INC CORPORATE
NOTES
DTD 06/17/2015 3.500% 06/15/2025
17275RAW2
230,000.00
AA-
A1
12/15/2022 12/19/2022
224,910.10
4.45
357.78
223,872.34
224,982.89
2,430,000.00
2,420,764.95
11,404.41
2,362,449.64
Security Type Sub-Total
2.44
2,400,070.47
13,221,000.00
13,257,017.93
66,310.16
12,791,724.81
Managed Account Sub Total
Securities Sub Total
Accrued Interest
$13,221,000.00
$13,257,017.93
$66,310.16
$12,791,724.81
$66,310.16
13,208,068.50
$13,208,068.50
1.79
1.79%
Total Investments
$12,858,034.97
30
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
BUY
10/27/2022
10/31/2022
250,000.00
89115B6F2
TORONTO DOMINION BANK NY CERT DEPOS
5.47%
10/25/2024
250,000.00
5.44%
11/15/2022
11/18/2022
35,000.00
882508BR4
TEXAS INSTRUMENTS INC CORPORATE NOTES
4.70%
11/18/2024
34,984.25
4.72%
11/29/2022
11/30/2022
105,000.00
91282CFW6
US TREASURY N/B NOTES
4.50%
11/15/2025
105,946.38
4.24%
12/1/2022
12/2/2022
125,000.00
91282CFW6
US TREASURY N/B NOTES
4.50%
11/15/2025
126,929.20
4.02%
12/12/2022
12/13/2022
270,000.00
91282CFW6
US TREASURY N/B NOTES
4.50%
11/15/2025
273,502.67
4.15%
12/15/2022
12/19/2022
265,000.00
594918BB9
MICROSOFT CORP (CALLABLE) NOTES
2.70%
2/12/2025
258,161.68
4.44%
12/15/2022
12/19/2022
265,000.00
037833BG4
APPLE INC CORPORATE NOTES
3.20%
5/13/2025
257,951.00
4.52%
12/15/2022
12/19/2022
230,000.00
17275RAW2
CISCO SYSTEMS INC CORPORATE NOTES
3.50%
6/15/2025
224,999.54
4.45%
12/15/2022
12/19/2022
230,000.00
58933YAR6
MERCK & CO INC CORP NOTES
2.75%
2/10/2025
223,570.16
4.62%
Total BUY
1,775,000.00
1,756,044.88
0.00
INTEREST
10/3/2022
10/3/2022
MONEY0002
MONEY MARKET FUND
2,963.66
10/11/2022
10/11/2022
305,000.00
931142DH3
WAL MART STORES INC GLOBAL NT (CALLABLE)
2.55%
4/11/2023
3,888.75
10/15/2022
10/15/2022
100,000.00
91282CBV2
US TREASURY N/B NOTES
0.37%
4/15/2024
187.50
10/16/2022
10/16/2022
250,000.00
3137EAEY1
FREDDIE MAC NOTES
0.12%
10/16/2023
156.25
10/20/2022
10/20/2022
265,000.00
3137EAEQ8
FREDDIE MAC NOTES
0.37%
4/20/2023
496.88
10/24/2022
10/24/2022
135,000.00
06051GJH3
BANK OF AMERICA CORP (CALLABLE) CORPORAT
0.81%
10/24/2024
546.75
31
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
INTEREST
11/1/2022
11/1/2022
MONEY0002
MONEY MARKET FUND
4,051.81
11/6/2022
11/6/2022
905,000.00
3137EAEZ8
FREDDIE MAC NOTES
0.25%
11/6/2023
1,131.25
11/12/2022
11/12/2022
110,000.00
023135BW5
AMAZON.COM INC CORPORATE NOTES
0.45%
5/12/2024
247.50
11/15/2022
11/15/2022
165,000.00
427866AZ1
HERSHEY COMPANY (CALLABLE)
3.37%
5/15/2023
2,784.38
11/15/2022
11/15/2022
495,000.00
91282CEQ0
US TREASURY N/B NOTES
2.75%
5/15/2025
6,806.25
11/22/2022
11/22/2022
250,000.00
3135G04Q3
FANNIE MAE NOTES
0.25%
5/22/2023
312.50
11/27/2022
11/27/2022
690,000.00
3135G06H1
FANNIE MAE NOTES
0.25%
11/27/2023
862.50
11/30/2022
11/30/2022
935,000.00
912828YV6
US TREASURY NOTES
1.50%
11/30/2024
7,012.50
12/1/2022
12/1/2022
115,000.00
46647PCH7
JPMORGAN CHASE & CO (CALLABLE) CORP NOTE
0.82%
6/1/2025
473.80
12/1/2022
12/1/2022
MONEY0002
MONEY MARKET FUND
5,138.72
12/3/2022
12/3/2022
100,000.00
023135BP0
AMAZON.COM INC CORPORATE NOTES
0.40%
6/3/2023
200.00
12/4/2022
12/4/2022
150,000.00
3137EAFA2
FREDDIE MAC NOTES
0.25%
12/4/2023
187.50
Total INTEREST
4,970,000.00
37,448.50
0.00
MATURITY
11/29/2022
11/29/2022
60,000.00
023135AJ5
AMAZON.COM INC (CALLABLE) CORP NOTES
2.50%
11/29/2022
60,750.00
11/30/2022
11/30/2022
100,000.00
912828M80
US TREASURY NOTES
2.00%
11/30/2022
101,000.00
32
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
MATURITY
12/2/2022
12/2/2022
125,000.00
23341VZT1
DNB BANK ASA/NY LT CD
2.04%
12/2/2022
126,296.25
Total MATURITY
285,000.00
288,046.25
0.00
SELL
10/27/2022
10/31/2022
250,000.00
912828YW4
US TREASURY NOTES
1.62%
12/15/2022
250,975.12
-575.48
12/12/2022
12/13/2022
270,000.00
912828YW4
US TREASURY NOTES
1.62%
12/15/2022
272,233.05
62.38
12/15/2022
12/19/2022
210,000.00
912828Z29
US TREASURY NOTES
1.50%
1/15/2023
210,933.73
-435.91
12/15/2022
12/19/2022
110,000.00
912828N30
US TREASURY NOTES
2.12%
12/31/2022
111,002.30
-110.51
12/15/2022
12/19/2022
225,000.00
912828N30
US TREASURY NOTES
2.12%
12/31/2022
227,050.14
-226.04
12/15/2022
12/19/2022
307,000.00
912828Z86
US TREASURY NOTES
1.37%
2/15/2023
307,066.22
-1,657.84
12/15/2022
12/19/2022
110,000.00
912828Z29
US TREASURY NOTES
1.50%
1/15/2023
110,489.10
-228.33
Total SELL
1,482,000.00
1,489,749.66
-3,171.73
33
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 2022
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
Tran.
Type
10/27/2022
10/31/2022
250,000.00
89115B6F2
TORONTO DOMINION BANK NY CERT
5.47%
10/25/2024
250,000.00
5.44%
BUY
11/15/2022
11/18/2022
35,000.00
882508BR4
TEXAS INSTRUMENTS INC CORPORATE
4.70%
11/18/2024
34,984.25
4.72%
BUY
11/29/2022
11/30/2022
105,000.00
91282CFW6
US TREASURY N/B NOTES
4.50%
11/15/2025
105,946.38
4.24%
BUY
12/1/2022
12/2/2022
125,000.00
91282CFW6
US TREASURY N/B NOTES
4.50%
11/15/2025
126,929.20
4.02%
BUY
12/12/2022
12/13/2022
270,000.00
91282CFW6
US TREASURY N/B NOTES
4.50%
11/15/2025
273,502.67
4.15%
BUY
12/15/2022
12/19/2022
265,000.00
594918BB9
MICROSOFT CORP (CALLABLE) NOTES
2.70%
2/12/2025
258,161.68
4.44%
BUY
12/15/2022
12/19/2022
265,000.00
037833BG4
APPLE INC CORPORATE NOTES
3.20%
5/13/2025
257,951.00
4.52%
BUY
12/15/2022
12/19/2022
230,000.00
17275RAW2
CISCO SYSTEMS INC CORPORATE
3.50%
6/15/2025
224,999.54
4.45%
BUY
12/15/2022
12/19/2022
230,000.00
58933YAR6
MERCK & CO INC CORP NOTES
2.75%
2/10/2025
223,570.16
4.62%
BUY
10/3/2022
10/3/2022
MONEY0002
MONEY MARKET FUND
2,963.66
INTEREST
10/11/2022
10/11/2022
305,000.00
931142DH3
WAL MART STORES INC GLOBAL NT
2.55%
4/11/2023
3,888.75
INTEREST
10/15/2022
10/15/2022
100,000.00
91282CBV2
US TREASURY N/B NOTES
0.37%
4/15/2024
187.50
INTEREST
10/16/2022
10/16/2022
250,000.00
3137EAEY1
FREDDIE MAC NOTES
0.12%
10/16/2023
156.25
INTEREST
10/20/2022
10/20/2022
265,000.00
3137EAEQ8
FREDDIE MAC NOTES
0.37%
4/20/2023
496.88
INTEREST
10/24/2022
10/24/2022
135,000.00
06051GJH3
BANK OF AMERICA CORP (CALLABLE)
0.81%
10/24/2024
546.75
INTEREST
11/1/2022
11/1/2022
MONEY0002
MONEY MARKET FUND
4,051.81
INTEREST
11/6/2022
11/6/2022
905,000.00
3137EAEZ8
FREDDIE MAC NOTES
0.25%
11/6/2023
1,131.25
INTEREST
11/12/2022
11/12/2022
110,000.00
023135BW5
AMAZON.COM INC CORPORATE NOTES
0.45%
5/12/2024
247.50
INTEREST
34
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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
11/15/2022
11/15/2022
165,000.00
427866AZ1
HERSHEY COMPANY (CALLABLE)
3.37%
5/15/2023
2,784.38
INTEREST
11/15/2022
11/15/2022
495,000.00
91282CEQ0
US TREASURY N/B NOTES
2.75%
5/15/2025
6,806.25
INTEREST
11/22/2022
11/22/2022
250,000.00
3135G04Q3
FANNIE MAE NOTES
0.25%
5/22/2023
312.50
INTEREST
11/27/2022
11/27/2022
690,000.00
3135G06H1
FANNIE MAE NOTES
0.25%
11/27/2023
862.50
INTEREST
11/30/2022
11/30/2022
935,000.00
912828YV6
US TREASURY NOTES
1.50%
11/30/2024
7,012.50
INTEREST
12/1/2022
12/1/2022
115,000.00
46647PCH7
JPMORGAN CHASE & CO (CALLABLE)
0.82%
6/1/2025
473.80
INTEREST
12/1/2022
12/1/2022
MONEY0002
MONEY MARKET FUND
5,138.72
INTEREST
12/3/2022
12/3/2022
100,000.00
023135BP0
AMAZON.COM INC CORPORATE NOTES
0.40%
6/3/2023
200.00
INTEREST
12/4/2022
12/4/2022
150,000.00
3137EAFA2
FREDDIE MAC NOTES
0.25%
12/4/2023
187.50
INTEREST
11/29/2022
11/29/2022
60,000.00
023135AJ5
AMAZON.COM INC (CALLABLE) CORP
2.50%
11/29/2022
60,750.00
MATURITY
11/30/2022
11/30/2022
100,000.00
912828M80
US TREASURY NOTES
2.00%
11/30/2022
101,000.00
MATURITY
12/2/2022
12/2/2022
125,000.00
23341VZT1
DNB BANK ASA/NY LT CD
2.04%
12/2/2022
126,296.25
MATURITY
10/27/2022
10/31/2022
250,000.00
912828YW4
US TREASURY NOTES
1.62%
12/15/2022
250,975.12
-575.48
SELL
12/12/2022
12/13/2022
270,000.00
912828YW4
US TREASURY NOTES
1.62%
12/15/2022
272,233.05
62.38
SELL
12/15/2022
12/19/2022
210,000.00
912828Z29
US TREASURY NOTES
1.50%
1/15/2023
210,933.73
-435.91
SELL
12/15/2022
12/19/2022
110,000.00
912828N30
US TREASURY NOTES
2.12%
12/31/2022
111,002.30
-110.51
SELL
12/15/2022
12/19/2022
225,000.00
912828N30
US TREASURY NOTES
2.12%
12/31/2022
227,050.14
-226.04
SELL
12/15/2022
12/19/2022
307,000.00
912828Z86
US TREASURY NOTES
1.37%
2/15/2023
307,066.22
-1,657.84
SELL
35
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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
12/15/2022
12/19/2022
110,000.00
912828Z29
US TREASURY NOTES
1.50%
1/15/2023
110,489.10
-228.33
SELL
TOTALS
3,571,289.29
-3,171.73
8,512,000.00
36
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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.
37
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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.
38
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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.
39
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended December 31, 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.
40