Chandler_WCELT_3Q2023

City of Chandler — Regular Meeting (2023-11-16)

Extracted text (via pymupdf) 49369 characters

Investment Performance Review
For the Quarter Ended September 30, 2023
Client Management Team
PFM Asset Management LLC
Luke Schneider, CFA, Managing Director
Annette Gaston, Senior Managing Consultant
213 Market Street
Harrisburg, PA 17101-2141
717-232-2723
1101 W. Washington St.
Tempe, AZ 85288
480-271-0432
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
WORKERS COMP & EMPLOYER TRUST

For the Quarter Ended September 30, 2023
Fixed Income Management
QUARTERLY MARKET SUMMARY
Summary
►The third quarter was characterized by the consumer continuing to spend,
supported by rising wages and a strong labor market. The potential for additional
monetary policy tightening by the Federal Reserve (Fed) remains possible in light
of the Fed’s projections for stronger gross domestic product (GDP) growth, higher
inflation, and slightly lower unemployment for the balance of the year. As interest
rates climbed to recent highs, equity markets declined from calendar year highs
and modest de-risking swept markets near quarter-end.
►After initially showing signs of cooling in July, U.S. inflation (as measured by
CPI) posted two straight large monthly increases in August and September, rising
by 0.6% and 0.4% month-over-month (MoM) respectively. TheAugust reading was
the biggest monthly increase of 2023 as higher shelter costs and rising energy
prices fed much of the gain. Core inflation, which excludes food and energy,
continues to moderate, rising 4.1% year-over-year, down from 4.3% in August and
4.7% in July.
►The Fed met twice during Q3, increasing the target rate 25 basis points (bps)
in July to a new range of 5.25% to 5.50% while holding that range steady following
the September meeting. Despite the pause in September, the post-meeting dot
plot projections dominated headlines as calendar year end 2024 and 2025 median
rate expectations were adjusted higher by 50 bps each, highlighting the reality of a
potentially “higher for much longer” interest rate environment.
►Equity markets declined off their intra-quarter and year-to-date (YTD) highs
largely in response to the increased outlook for an extended period of higher
yields. The S&P 500 Index closed the quarter down 3.3%, although YTD is still up
over 13%.
Economic Snapshot
►Real GDP increased at an annual rate of 2.1% in Q2 2023. Although slightly
slower than the Q1 2023 final release of 2.2%, Q2 growth was much higher than
originally expected in July and as a result caused the Fed to double their growth
projections for calendar year 2023 to 2.1% from 1.0% three months ago.
►Consumer spending was revised significantly lower to a 0.8% annualized rate,
down from the 1.7% in the previous estimate. Stronger business fixed investment
helped offset the slowdown in consumer spending, buoying the headline GDP
figure. The consumer’s ability to continue to carry the economy remains the center
of attention as headwinds begin to mount, including higher prices at the pump,
increasing shelter costs, slowing wage growth, the depletion of additional savings
accumulated during the pandemic, and the looming reinstatement of student
loan payments.
►A strong U.S. labor market remains a tailwind to economic growth and
consumer outlooks. Over the quarter, the U.S. economy added 799,000 new jobs,
besting the Q2 rate of 603,000 while remaining well above the pre-COVID pace.
The unemployment rate (3.8%) remains near all-time lows and the labor force
participation rate also trended upward and is now at the highest level since
the pandemic.
Interest Rates
►U.S. Treasury yields increased across the entire curve during Q3, with most
tenors closing the quarter at multi-decade highs. While the yield curve still remains
deeply inverted due to yields on the front end reacting to several quarters of Fed
rate increases, more recent yield increases have been led by longer maturities.
►Over the quarter, the yield on a 2-, 10-, and 30-year U.S. Treasury security
increased 15 bps, 73 bps, and 84 bps, respectively, while the yield on a 3-month
U.S. Treasury Bill increased only 5 bps. The increase in the 30-year yield marked
the largest quarterly increase in more than 14 years. Along with the steepening
of the curve, the inversion of the yield curve became less severe by quarter-end.
After reaching a low of -108 bps in early July, the yield difference between the 2-
and 10-year U.S. Treasury yield closed the quarter at -47 bps.
►As a result of higher absolute yields on longer-maturity tenors, U.S. Treasury
indexes with durations greater than three years posted negative total returns in
Q3. The ICE BofA5-, 10-, and 30-year U.S. Treasury indices returned -1.26%,
-5.15%, and -12.75% respectively. On the flipside, along with relatively muted rate
increases over the quarter, short-duration indices posted positive total returns, as
higher income more than offset negative price impacts. The ICE BofA3-month,
1 , and 2-year U.S. Treasury indexes returned +1.31, +1.21%, and +0.54%
respectively.
Sector Performance
►Diversification away from U.S. Treasury securities was generally additive to fixed-
income performance during Q3 as spreads across most sectors tightened or
remained relatively stable. Broadly, lower quality and longer duration securities
outperformed their higher quality and shorter-term counterparts.
►Federal agency and supranational spreads traded in a low and narrow range for
the better part of the last several quarters. Incremental income from these sectors
continue to benefit portfolios, especially those with government-heavy mandates.
►Investment-grade (IG) corporates eked out positive excess returns for the
quarter as modest spread widening was offset by higher incremental income,
underscoring the attractive total return attributes of the sector in the current
environment. Even with sector spreads widening, higher yields and elevated
income in the sector helped offset those negative price returns. Financial issuers
and lower-rated credit issuers outperformed their industrial and higher-quality
counterparts notably during Q3 as lingering spread tightening continued from mid-
March wides.
►AAA-rated asset-backed securities (ABS) performed exceedingly well in Q3 as
spreads tightened marginally over the quarter on strong consumer sentiment and
robust investor appetite for the sector.
►Agency mortgage-backed securities broadly underperformed during Q3
as spreads widened, approaching multi-year highs by quarter-end. Along with
volatility that has remained historically high and bank balance sheet sales that
further weighed on valuations, agency-backed mortgages were one of the worst
performingsectors during the quarter, regardless of structure and collateral.
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, 2023
Market Summary
© PFM Asset Management LLC pfmam.com
|
3

For the Quarter Ended September 30, 2023
Fixed Income Management
QUARTERLY MARKET SUMMARY
Labor Market
Economic Snapshot
Jun '23
Sep '22
2.2%
GDP Personal Consumption (QoQ SAAR)
2023Q2
0.8%
3.8%
2.0%
Retail Sales (YoY)
Aug '23
2.5%
1.5%
9.4%
ISM Manufacturing Survey (month)
Sep '23
49.0
46.0
51.0
Existing Home Sales SAAR (month)
Aug '23
4.04 mil.
4.16 mil.
4.68 mil.
Inflation/Prices
Personal Consumption Expenditures (YoY)
Aug '23
3.5%
3.2%
6.6%
Consumer Price Index (YoY)
Sep '23
3.7%
3.0%
8.2%
Consumer Price Index Core (YoY)
Sep '23
4.1%
4.8%
6.6%
Crude Oil Futures (WTI, per barrel)
Sep 30
$90.79
$70.64
$79.49
Gold Futures (oz.)
Sep 30
$1,848
$1,929
$1,662
Latest
0
-200K
-400K
600K
400K
200K
1,000K
800K
1,200K
2.0%
0.0%
6.0%
4.0%
8.0%
10.0%
Sep '20
Mar '21
Sep '21
Mar '22
Sep '22
Mar '23
Sep '23
Unemployment Rate (left) vs. Change in Non-farm Payrolls (right)
Change In Non-Farm Payrolls
Unemployment Rate
30%
20%
10%
40%
0%
-10%
-20%
-30%
-40%
Jun '20
Dec '20
Jun '21
Dec '21
Jun '22
Dec '22
Jun '23
Real GDP (QoQ)
10%
9%
8%
7%
6%
5%
4%
3%
2%
1%
0%
Sep '20
Mar '21
Sep '21
Mar '22
Sep '22
Mar '23
Sep '23
Consumer Price Index
CPI (YoY)
Core CPI (YoY)
2
2
Unemployment Rate
Sep '23
3.8%
3.6%
3.5%
Change In Non-Farm Payrolls
Sep '23
336,000
105,000
350,000
Average Hourly Earnings (YoY)
Sep '23
4.2%
4.4%
5.1%
Personal Income (YoY)
Aug '23
4.8%
5.5%
5.1%
Initial Jobless Claims (week)
10/7/23
209,000
249,000
198,000
Growth
Real GDP (QoQ SAAR)
2023Q2
2.1%
1
-0.6%
1
1. Data as of First Quarter 2023.
2. Data as of Second Quarter 2022.
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
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
Market Summary
© PFM Asset Management LLC pfmam.com
|
4

For the Quarter Ended September 30, 2023
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 09/30/2023
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
Maturity
June 30, 2023
September 30, 2023
September 30, 2022
7%
6%
5%
4%
3%
2%
1%
0%
3-yr
2-yr
1-yr
3-mo
7-yr
0
5-yr
10-yr
25-yr
30-yr
Yield
Maturity
Federal Agency
U.S. Treasury
Corporates, A Rated
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
9/30/22
12/31/22
3/31/23
6/30/23
9/30/23
Yield
2-Year
5-Year
10-Year
Maturity
Sep '23
Jun '23
Change over
Quarter
Sep '22
Change over
Year
3-Month
5.45%
5.30%
0.15%
3.27%
2.18%
1-Year
5.46%
5.42%
0.04%
3.99%
1.47%
2-Year
5.05%
4.90%
0.15%
4.28%
0.77%
5-Year
4.61%
4.16%
0.45%
4.09%
0.52%
10-Year
4.57%
3.84%
0.73%
3.83%
0.74%
30-Year
4.70%
3.86%
0.84%
3.78%
0.92%
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, 2023
Market Summary
© PFM Asset Management LLC pfmam.com
|
5

For the Quarter Ended September 30, 2023
Fixed Income Management
QUARTERLY MARKET SUMMARY
September 30, 2023
Duration
Yield
3 Month
1 Year
3 Years
1-3 Year Indices
U.S. Treasury
1.82
5.12%
0.74%
2.47%
(0.84%)
Federal Agency
1.68
5.31%
0.81%
2.85%
(0.67%)
U.S. Corporates, A-AAA rated
1.85
5.87%
0.81%
3.57%
(0.36%)
Agency MBS (0 to 3 years)
2.01
5.68%
0.29%
3.16%
(1.97%)
Taxable Municipals
1.62
5.48%
1.05%
3.57%
0.57%
1-5 Year Indices
U.S. Treasury
2.57
4.96%
0.23%
2.13%
(1.76%)
Federal Agency
2.02
5.24%
0.52%
2.70%
(1.41%)
U.S. Corporates, A-AAA rated
2.57
5.82%
0.30%
3.76%
(1.26%)
Agency MBS (0 to 5 years)
3.32
5.64%
(1.21%)
2.18%
(2.84%)
Taxable Municipals
2.45
5.40%
0.51%
3.35%
(0.68%)
Master Indices (Maturities 1 Year or Greater)
U.S. Treasury
6.11
4.86%
(3.33%)
(1.05%)
(6.09%)
Federal Agency
3.29
5.18%
(0.59%)
1.93%
(2.85%)
U.S. Corporates, A-AAA rated
6.61
5.84%
(2.99%)
2.84%
(5.26%)
Agency MBS (0 to 30 years)
5.98
5.66%
(4.07%)
(0.20%)
(5.12%)
Taxable Municipals
8.91
5.69%
(4.81%)
1.37%
(6.36%)
Returns for periods greater than one year are annualized.
Source: ICE BofAML Indices.
As of 09/30/2023
Returns for Periods ended 09/30/2023
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, 2023
Market Summary
© PFM Asset Management LLC pfmam.com
|
6

For the Quarter Ended September 30, 2023
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 NationalAssociation (“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, 2023
Market Summary
© PFM Asset Management LLC pfmam.com
|
7

Fixed-Income Sector Commentary – 3Q 2023
▸
U.S. Treasuries: Fitch rating agency downgraded the
U.S. Government from AAA to AA- citing erosion of
governance standards, repeated debt-limit standoffs,
and rising general government deficits. Yields hit their
highest level since 2006-07, but the Treasury yield curve
remains inverted despite the notable increase in the 10-
year yield over the 3rd quarter.
▸
Federal agency yield spreads remained narrow,
favoring opportunities in other sectors. Fitch followed
their U.S. Government ratings action with downgrades
to Fannie Mae and Freddie Mac, although the impact to
spreads was muted.
▸
Supranational spreads, similar to agencies, remained
low and range bound in the single digits for much of the
quarter. Value was limited and the spread curve on
supras is generally flat.
▸
Investment-Grade Corporates: Financial issuers
outperformed industrials and lower-rated issues
outperformed higher-rated issues as higher incremental
yields offset a few basis points of spread widening
during the 3rd quarter. Good fundamentals, modestly
attractive spreads and a positive economic outlook
make credit attractive, but higher yields are a headwind
for financials and the economy as a whole.
▸
Asset-Backed Securities performed exceedingly well
in Q3 as spreads tightened marginally over the quarter
on strong consumer sentiment and robust investor
appetite for the sector. Incremental income from the
sector is quite attractive from a historical perspective
and offers value.
▸
Mortgage-Backed Securities were one of the worst
performing sectors during the quarter, regardless of
structure. Spreads widened, approaching multi-year
highs, while volatility remained historically high and
bank balance sheet sales weighed on valuations.
▸
Taxable Municipals issuance remained heavily
oversubscribed due to a lack of new issuance. The
secondary market had sporadic but limited opportunities
that offered an attractive pickup versus corporates
industrials.
▸
Short-term credit (commercial paper and CDs) yields
increased over the quarter steepening the short-term
credit curve. Similarly, Treasury Bill yields rose to
reflect the Fed rate hike in July and the significant
increase in T-Bill issuance since the resolution of the
dent ceiling. 6- to 12-month CP/CDs continued to offer
notable incremental spread income for enhanced cash
and other short-duration portfolios, and in some
instances carried yields close to 6%.
PFM Asset Management LLC
© PFM Asset Management LLC | pfmam.com
For the Quarter Ended March 31, 2022
California Affiliated Risk Management Authorities
Market Update
CLIENT NAME
For the Quarter Ended September 30, 2023
Market Update
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
Market Update
© PFM Asset Management LLC pfmam.com
|
9

© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
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 WORKERS COMP & EMPLOYER TRUST
Portfolio Values
September 30, 2023
PFMAM Managed Account
$13,794,139
Amortized Cost
$14,179,373
Market Value
$13,794,139
Accrued Interest
$45,177
Cash
$3,276,221
Analytics¹
September 30, 2023
Yield at Market
5.21%
Yield on Cost
1.96%
Portfolio Duration
1.05
10

PFM Asset Management LLC
For the Quarter Ended March 31, 2022
California Affiliated Risk Management Authorities
Market Update
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
Account Summary
© PFM Asset Management LLC | pfmam.com
1.6%
5.1%
0.4%
20.2%
72.8%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
90.0%
100.0%
**First American Funds - $224,883
Corporate - $712,318
Municipal - $50,822
Federal Agency - $2,840,866
U.S. Treasury - $10,235,308
Sector Allocation Analytics
Sector Limit for Analysis*
Portfolio Allocation
For informational/analytical purposes only and is not provided for compliance assurance. Included accrued interest.
*Sector Limit for Analysis is as derived from our interpretation of your most recent Investment Policy as provided.
**First American Funds Balance as of 9/29/23.

© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
Portfolio 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
U.S. Treasury
74.0%
UNITED STATES TREASURY
74.0%
AA / Aaa / AA
Federal Agency
20.5%
FANNIE MAE
3.5%
AA / Aaa / AA
FEDERAL HOME LOAN BANKS
6.1%
AA / Aaa / NR
FREDDIE MAC
11.0%
AA / Aaa / AA
Municipal
0.4%
CITY OF SCOTTSDALE
0.4%
AAA / Aaa / AAA
Corporate
5.1%
AMAZON.COM INC
0.5%
AA / A / AA
BANK OF AMERICA CO
1.4%
A / A / AA
DEERE & COMPANY
0.3%
A / A / A
JP MORGAN CHASE & CO
1.2%
A / A / AA
STATE STREET CORPORATION
0.1%
A / A / AA
TEXAS INSTRUMENTS INC
1.0%
A / Aa / NR
WAL-MART STORES INC
0.6%
AA / Aa / AA
100.0%
Total
12

© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
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 the ICE BofA 1-3 Year U.S. Treasury Index. Source: Bloomberg.
Portfolio Snapshot - CHANDLER WORKERS COMP & EMPLOYER TRUST¹
Credit Quality - S&P2
48%
35%
17%
7%
36%
0%
20%
40%
60%
0-1 Yr
1-2 Yrs
2-3 Yrs
Portfolio
Benchmark3
58%
Duration Distribution
U.S. Treasury | 74%
Federal Agency | 21%
Corporate | 5%
Municipal | <1%
Sector Allocation
AAA | <1%
AA+ | 94%
AA | 1%
A+ | 1%
A | <1%
A- | 3%
Portfolio Statistics
Portfolio Effective Duration
1.05 years
Benchmark Effective Duration
1.75 years
Portfolio Credit Quality
AA
Yield At Market
5.21%
Yield At Cost
1.96%
Total Market Value
$17,115,536.56
$13,794,138.66
Securities Sub-Total
$3,276,221.28
Cash
$45,176.62
Accrued Interest
14

Liquidity Vehicle
Quarter-End Yield
Allspring Treasury Plus
Money Market A Fund1
5.20%
First American Funds2
5.21%
1.
Allspring Treasury Plus Money Market A Fund ticker symbol PISXX. Account yield from the Fund Fact Sheet as of 9/30/23.
2.
First American Funds ticker symbol FGZXX; Account yield from statement as of 9/30/23. 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, 2023
Portfolio Snapshot
© PFM Asset Management LLC | pfmam.com
15

© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
Portfolio Characteristics
|
$0.0
$3.2
$6.4
$9.6
$12.8
$16.0
Millions
September 2023
$0.0
$3.2
$6.4
$9.6
$12.8
$16.0
Millions
June 2023
$0.0
$3.2
$6.4
$9.6
$12.8
$16.0
Millions
March 2023
$0.0
$3.2
$6.4
$9.6
$12.8
$16.0
Millions
December 2022
Sector Allocation Review - CHANDLER WORKERS COMP & EMPLOYER 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.
Dec-22
% of Total
Security Type
Mar-23
% of Total
Jun-23
% of Total
% of Total
Sep-23
U.S. Treasury
$8.0
61.0%
$10.5
69.6%
$10.4
70.1%
$10.2
74.0%
Federal Agency
$3.7
27.9%
$3.7
24.4%
$3.6
24.4%
$2.8
20.5%
Municipal
$0.0
0.4%
$0.1
0.3%
$0.1
0.3%
$0.1
0.4%
Negotiable CD
$0.3
2.7%
$0.0
0.0%
$0.0
0.0%
$0.0
0.0%
Corporate
$1.0
8.0%
$0.9
5.7%
$0.8
5.2%
$0.7
5.1%
Total
$13.1
100.0%
$15.1
100.0%
$14.9
100.0%
$13.8
100.0%
16

© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
Portfolio Activity
|
Portfolio Activity - CHANDLER WORKERS COMP & EMPLOYER TRUST
Net Activity by Sector
($ millions)
Federal Agency
U.S. Treasury
Corporate
Federal Agency
U.S. Treasury
Corporate
($1.0)
($0.8)
($0.6)
($0.4)
($0.2)
$0.0
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
Corporate
($75,506)
U.S. Treasury
($289,097)
Federal Agency
($821,165)
($1,185,768)
Total Net Activity
Sales/Maturities
Purchases
17

© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
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 March 31, 2013.
1.
Interest earned calculated as the ending accrued interest less beginning accrued interest, plus net interest activity.
2.
Returns for periods one year or less are presented on a periodic basis. Returns for periods greater than one year are presented on an annualized basis.
3.
The portfolio’s benchmark is the ICE BofA 1-3 Year U.S. Treasury Index. Source: Bloomberg.
4.
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
Return
Portfolio
Benchmark
Portfolio Performance
Market Value Basis Earnings
3 Months
1 Year
3 Years
5 Years
10 Years¹
Interest Earned²
$85,086
$248,256
$440,181
$776,850
$1,294,804
Change in Market Value
$91,720
$255,493
($829,826)
($487,354)
($758,284)
$176,806
Total Dollar Return
$503,749
($389,645)
$289,496
$536,520
Total Return³
Portfolio
1.04%
3.42%
-0.30%
1.28%
1.02%
Benchmark⁴
0.74%
2.47%
-0.84%
1.06%
0.54%
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, 2023
Portfolio Performance
|
The lesser of 10 years or since inception is shown. Performance inception date is March 31, 2013.
1.
Interest earned calculated as the ending accrued interest less beginning accrued interest, plus net interest activity.
2.
Realized gains / (losses) are shown on an amortized cost basis.
3.
Accrual Basis Earnings - CHANDLER WORKERS COMP & EMPLOYER TRUST
Accrual Basis Earnings
Interest Earned²
Realized Gains / (Losses)³
Change in Amortized Cost
Total Earnings
3 Months
$85,086
-
$9,731
$94,817
1 Year
$248,256
-
$36,613
$284,870
3 Years
$440,181
$18,749
$28,517
$487,447
5 Year
$776,850
$81,786
$76,151
$934,788
10 Year¹
$1,294,804
$70,452
($125,247)
$1,240,009
19

© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
Portfolio Composition
|
Issuer Distribution
As of September 30, 2023
Issuer
Market Value ($)
% of Portfolio
UNITED STATES TREASURY
10,200,384
73.95%
FREDDIE MAC
1,514,713
10.98%
FEDERAL HOME LOAN BANKS
839,908
6.09%
FANNIE MAE
478,959
3.47%
BANK OF AMERICA CO
197,751
1.43%
JP MORGAN CHASE & CO
168,321
1.22%
TEXAS INSTRUMENTS INC
139,320
1.01%
WAL-MART STORES INC
77,930
0.56%
AMAZON.COM INC
67,824
0.49%
CITY OF SCOTTSDALE
50,739
0.37%
DEERE & COMPANY
39,472
0.29%
STATE STREET CORPORATION
18,817
0.14%
13,794,139
Grand Total
100.00%
20

© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
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 01/15/2021 0.125% 01/15/2024
91282CBE0
588,000.00
AA+
Aaa
2/2/2021
2/4/2021
587,058.28
0.18
155.79
579,180.00
587,907.14
US TREASURY NOTES
DTD 03/15/2021 0.250% 03/15/2024
91282CBR1
625,000.00
AA+
Aaa
4/5/2021
4/7/2021
622,973.63
0.36
68.68
610,742.19
624,686.51
US TREASURY NOTES
DTD 03/15/2021 0.250% 03/15/2024
91282CBR1
305,000.00
AA+
Aaa
9/27/2021
9/28/2021
303,701.37
0.42
33.52
298,042.19
304,760.21
US TREASURY NOTES
DTD 03/31/2017 2.125% 03/31/2024
912828W71
515,000.00
AA+
Aaa
1/5/2022
1/6/2022
529,162.50
0.88
29.90
506,550.81
518,162.67
US TREASURY N/B NOTES
DTD 04/15/2021 0.375% 04/15/2024
91282CBV2
595,000.00
AA+
Aaa
5/3/2021
5/4/2021
595,952.93
0.32
1,030.28
579,009.38
595,174.31
US TREASURY N/B NOTES
DTD 05/15/2021 0.250% 05/15/2024
91282CCC3
200,000.00
AA+
Aaa
6/1/2021
6/2/2021
199,679.69
0.30
188.86
193,625.00
199,932.55
US TREASURY N/B NOTES
DTD 09/15/2021 0.375% 09/15/2024
91282CCX7
155,000.00
AA+
Aaa
9/27/2021
9/28/2021
154,182.62
0.55
25.55
147,710.16
154,735.84
US TREASURY N/B NOTES
DTD 09/15/2021 0.375% 09/15/2024
91282CCX7
235,000.00
AA+
Aaa
10/4/2021
10/6/2021
234,127.93
0.50
38.74
223,947.67
234,716.07
US TREASURY N/B NOTES
DTD 10/15/2021 0.625% 10/15/2024
91282CDB4
105,000.00
AA+
Aaa
11/2/2021
11/3/2021
104,700.59
0.72
303.02
99,930.47
104,894.36
US TREASURY N/B NOTES
DTD 11/15/2021 0.750% 11/15/2024
91282CDH1
280,000.00
AA+
Aaa
1/4/2022
1/6/2022
277,976.56
1.01
793.21
265,868.73
279,203.42
US TREASURY N/B NOTES
DTD 11/15/2021 0.750% 11/15/2024
91282CDH1
465,000.00
AA+
Aaa
12/3/2021
12/7/2021
462,983.79
0.90
1,317.29
441,532.01
464,228.43
US TREASURY NOTES
DTD 11/30/2019 1.500% 11/30/2024
912828YV6
260,000.00
AA+
Aaa
6/2/2021
6/4/2021
269,638.28
0.43
1,310.66
248,665.61
263,220.32
US TREASURY N/B NOTES
DTD 12/15/2021 1.000% 12/15/2024
91282CDN8
185,000.00
AA+
Aaa
12/9/2021
12/15/2021
185,028.91
0.99
545.90
175,634.38
185,011.63
US TREASURY NOTES
DTD 01/31/2020 1.375% 01/31/2025
912828Z52
270,000.00
AA+
Aaa
7/2/2021
7/7/2021
277,519.92
0.58
625.48
256,331.25
272,814.20
US TREASURY N/B NOTES
DTD 02/15/2022 1.500% 02/15/2025
91282CDZ1
255,000.00
AA+
Aaa
5/3/2022
5/4/2022
245,397.66
2.92
488.52
242,170.31
250,255.43
21

© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
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 02/15/2022 1.500% 02/15/2025
91282CDZ1
575,000.00
AA+
Aaa
4/5/2022
4/7/2022
555,391.60
2.75
1,101.56
546,070.31
565,561.70
US TREASURY N/B NOTES
DTD 02/15/2022 1.500% 02/15/2025
91282CDZ1
310,000.00
AA+
Aaa
2/17/2022
2/25/2022
307,832.42
1.74
593.89
294,403.13
308,996.05
US TREASURY NOTES
DTD 04/30/2020 0.375% 04/30/2025
912828ZL7
1,480,000.00
AA+
Aaa
6/6/2022
6/8/2022
1,376,689.06
2.91
2,322.55
1,371,775.00
1,423,604.15
US TREASURY N/B NOTES
DTD 06/15/2022 2.875% 06/15/2025
91282CEU1
140,000.00
AA+
Aaa
8/2/2022
8/4/2022
139,704.69
2.95
1,187.70
134,750.00
139,824.11
US TREASURY N/B NOTES
DTD 07/15/2022 3.000% 07/15/2025
91282CEY3
150,000.00
AA+
Aaa
8/15/2022
8/16/2022
149,390.63
3.15
953.80
144,515.63
149,626.02
US TREASURY N/B NOTES
DTD 08/15/2022 3.125% 08/15/2025
91282CFE6
505,000.00
AA+
Aaa
9/1/2022
9/6/2022
499,476.56
3.52
2,015.54
487,167.19
501,482.28
US TREASURY N/B NOTES
DTD 01/15/2023 3.875% 01/15/2026
91282CGE5
2,410,000.00
AA+
Aaa
2/7/2023
2/8/2023
2,395,219.92
4.10
19,794.09
2,352,762.50
2,398,459.96
10,608,000.00
10,473,789.54
34,924.53
10,200,383.92
Security Type Sub-Total
2.10
10,527,257.36
Municipal
SCOTTSDALE, AZ TXBL GO BONDS
DTD 12/30/2020 0.608% 07/01/2025
810454BL1
55,000.00
AAA
Aaa
12/10/2020 12/30/2020
55,000.00
0.61
83.60
50,738.60
55,000.00
55,000.00
55,000.00
83.60
50,738.60
Security Type Sub-Total
0.61
55,000.00
Federal Agency
FREDDIE MAC NOTES
DTD 10/16/2020 0.125% 10/16/2023
3137EAEY1
155,000.00
AA+
Aaa
10/14/2020 10/16/2020
154,421.85
0.25
88.80
154,675.43
154,992.08
FREDDIE MAC NOTES
DTD 11/05/2020 0.250% 11/06/2023
3137EAEZ8
570,000.00
AA+
Aaa
11/3/2020
11/5/2020
569,487.00
0.28
573.96
567,203.01
569,983.15
FANNIE MAE NOTES
DTD 11/25/2020 0.250% 11/27/2023
3135G06H1
150,000.00
AA+
Aaa
11/23/2020 11/25/2020
149,829.00
0.29
129.16
148,806.45
149,991.11
FANNIE MAE NOTES
DTD 11/25/2020 0.250% 11/27/2023
3135G06H1
205,000.00
AA+
Aaa
1/7/2021
1/8/2021
205,055.35
0.24
176.53
203,368.82
205,003.00
FREDDIE MAC NOTES
DTD 12/04/2020 0.250% 12/04/2023
3137EAFA2
95,000.00
AA+
Aaa
12/2/2020
12/4/2020
94,905.95
0.28
77.19
94,149.09
94,994.50
22

© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
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 12/04/2020 0.250% 12/04/2023
3137EAFA2
705,000.00
AA+
Aaa
12/4/2020
12/7/2020
704,739.15
0.26
572.81
698,685.31
704,984.71
FEDERAL HOME LOAN BANK NOTES
(CALLABLE)
DTD 08/08/2022 4.100% 08/08/2025
3130ASRJ0
860,000.00
AA+
Aaa
8/5/2022
8/8/2022
859,570.00
4.12
5,191.06
839,907.82
859,734.39
FANNIE MAE NOTES (CALLABLE)
DTD 08/30/2022 4.000% 08/28/2025
3135GACV1
130,000.00
AA+
Aaa
8/25/2022
8/30/2022
129,993.50
4.00
476.67
126,784.06
129,995.86
2,870,000.00
2,868,001.80
7,286.18
2,833,579.99
Security Type Sub-Total
1.58
2,869,678.80
Corporate
BANK OF AMERICA CORP NOTES
(CALLED, OMD
DTD 10/21/2020 0.810% 10/24/2023
06051GJH3
100,000.00
A-
A1
10/16/2020 10/21/2020
100,000.00
0.81
353.25
99,379.50
100,000.00
JOHN DEERE CAPITAL CORP
CORPORATE NOTES
DTD 01/10/2022 0.900% 01/10/2024
24422EVX4
40,000.00
A
A2
1/4/2022
1/10/2022
39,993.60
0.91
81.00
39,472.44
39,999.11
AMAZON.COM INC CORPORATE
NOTES
DTD 05/12/2021 0.450% 05/12/2024
023135BW5
70,000.00
AA
A1
5/10/2021
5/12/2021
69,897.80
0.50
121.63
67,824.26
69,979.11
TEXAS INSTRUMENTS INC CORP
NOTES (CALLAB
DTD 05/04/2017 2.625% 05/15/2024
882508BB9
142,000.00
A+
Aa3
2/23/2022
2/25/2022
144,232.24
1.90
1,408.17
139,320.18
142,494.73
BANK OF AMERICA CORP CORP
NOTES (CALLABL
DTD 02/04/2022 1.843% 02/04/2025
06051GKG3
100,000.00
A-
A1
2/1/2022
2/4/2022
100,000.00
1.84
291.81
98,371.90
100,000.00
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
111,168.43
115,000.00
JPMORGAN CHASE & CO CORP
NOTES (CALLABLE
DTD 08/10/2021 0.768% 08/09/2025
46647PCM6
60,000.00
A-
A1
8/3/2021
8/10/2021
60,000.00
0.77
66.56
57,152.94
60,000.00
WALMART INC CORPORATE NOTES
DTD 09/09/2022 3.900% 09/09/2025
931142EW9
80,000.00
AA
Aa2
9/6/2022
9/9/2022
79,944.00
3.93
190.67
77,929.60
79,963.77
23

© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
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
7/1/2023
7/1/2023
55,000.00
810454BL1
SCOTTSDALE, AZ TXBL GO BONDS
0.60%
7/1/2025
167.20
7/3/2023
7/3/2023
MONEY0002
MONEY MARKET FUND
5,678.20
7/10/2023
7/10/2023
40,000.00
24422EVX4
JOHN DEERE CAPITAL CORP CORPORATE NOTES
0.90%
1/10/2024
180.00
7/15/2023
7/15/2023
2,410,000.00
91282CGE5
US TREASURY N/B NOTES
3.87%
1/15/2026
46,693.75
7/15/2023
7/15/2023
588,000.00
91282CBE0
US TREASURY NOTES
0.12%
1/15/2024
367.50
7/15/2023
7/15/2023
150,000.00
91282CEY3
US TREASURY N/B NOTES
3.00%
7/15/2025
2,250.00
7/31/2023
7/31/2023
270,000.00
912828Z52
US TREASURY NOTES
1.37%
1/31/2025
1,856.25
8/1/2023
8/1/2023
MONEY0002
MONEY MARKET FUND
8,471.56
8/4/2023
8/4/2023
100,000.00
06051GKG3
BANK OF AMERICA CORP CORP NOTES (CALLABL
1.84%
2/4/2025
921.50
8/6/2023
8/6/2023
20,000.00
857477BR3
STATE STREET CORP (CALLABLE) CORPORATE N
1.74%
2/6/2026
174.60
8/8/2023
8/8/2023
860,000.00
3130ASRJ0
FEDERAL HOME LOAN BANK NOTES (CALLABLE)
4.10%
8/8/2025
17,630.00
8/9/2023
8/9/2023
60,000.00
46647PCM6
JPMORGAN CHASE & CO CORP NOTES (CALLABLE
0.76%
8/9/2025
230.40
8/15/2023
8/15/2023
1,140,000.00
91282CDZ1
US TREASURY N/B NOTES
1.50%
2/15/2025
8,550.00
8/15/2023
8/15/2023
505,000.00
91282CFE6
US TREASURY N/B NOTES
3.12%
8/15/2025
7,890.63
8/28/2023
8/28/2023
130,000.00
3135GACV1
FANNIE MAE NOTES (CALLABLE)
4.00%
8/28/2025
2,600.00
9/1/2023
9/1/2023
MONEY0002
MONEY MARKET FUND
10,445.75
9/9/2023
9/9/2023
80,000.00
931142EW9
WALMART INC CORPORATE NOTES
3.90%
9/9/2025
1,560.00
25

© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
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
7/1/2023
7/1/2023
55,000.00
810454BL1
SCOTTSDALE, AZ TXBL GO BONDS
0.60%
7/1/2025
167.20
INTEREST
7/3/2023
7/3/2023
MONEY0002
MONEY MARKET FUND
5,678.20
INTEREST
7/10/2023
7/10/2023
40,000.00
24422EVX4
JOHN DEERE CAPITAL CORP
0.90%
1/10/2024
180.00
INTEREST
7/15/2023
7/15/2023
2,410,000.00
91282CGE5
US TREASURY N/B NOTES
3.87%
1/15/2026
46,693.75
INTEREST
7/15/2023
7/15/2023
588,000.00
91282CBE0
US TREASURY NOTES
0.12%
1/15/2024
367.50
INTEREST
7/15/2023
7/15/2023
150,000.00
91282CEY3
US TREASURY N/B NOTES
3.00%
7/15/2025
2,250.00
INTEREST
7/31/2023
7/31/2023
270,000.00
912828Z52
US TREASURY NOTES
1.37%
1/31/2025
1,856.25
INTEREST
8/1/2023
8/1/2023
MONEY0002
MONEY MARKET FUND
8,471.56
INTEREST
8/4/2023
8/4/2023
100,000.00
06051GKG3
BANK OF AMERICA CORP CORP NOTES
1.84%
2/4/2025
921.50
INTEREST
8/6/2023
8/6/2023
20,000.00
857477BR3
STATE STREET CORP (CALLABLE)
1.74%
2/6/2026
174.60
INTEREST
8/8/2023
8/8/2023
860,000.00
3130ASRJ0
FEDERAL HOME LOAN BANK NOTES
4.10%
8/8/2025
17,630.00
INTEREST
8/9/2023
8/9/2023
60,000.00
46647PCM6
JPMORGAN CHASE & CO CORP NOTES
0.76%
8/9/2025
230.40
INTEREST
8/15/2023
8/15/2023
1,140,000.00
91282CDZ1
US TREASURY N/B NOTES
1.50%
2/15/2025
8,550.00
INTEREST
8/15/2023
8/15/2023
505,000.00
91282CFE6
US TREASURY N/B NOTES
3.12%
8/15/2025
7,890.63
INTEREST
8/28/2023
8/28/2023
130,000.00
3135GACV1
FANNIE MAE NOTES (CALLABLE)
4.00%
8/28/2025
2,600.00
INTEREST
9/1/2023
9/1/2023
MONEY0002
MONEY MARKET FUND
10,445.75
INTEREST
9/9/2023
9/9/2023
80,000.00
931142EW9
WALMART INC CORPORATE NOTES
3.90%
9/9/2025
1,560.00
INTEREST
9/15/2023
9/15/2023
930,000.00
91282CBR1
US TREASURY NOTES
0.25%
3/15/2024
1,162.50
INTEREST
27

© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
Appendix
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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.
© 2023 PFM Asset Management LLC. Further distribution is not permitted without prior written consent.
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© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
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.
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© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
Appendix
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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.
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© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended September 30, 2023
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.
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