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Investment Performance Review
For the Quarter Ended March 31, 2024
Client Management Team
PFM Asset Management LLC
Luke Schneider, CFA, Managing Director
Annette Gaston, Director
213 Market Street
Harrisburg, PA 17101-2141
717-232-2723
1101 W. Washington Street
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
© PFM Asset Management LLC pfmam.com
|
•
Account Summary
•
Portfolio Review
1
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
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
March 31, 2024
$17,879,133
$18,060,993
$17,879,133
$113,200
PFMAM Managed Account
Amortized Cost
Market Value
Accrued Interest
Cash
$601,391
Analytics¹
March 31, 2024
4.97%
3.67%
Yield at Market
Yield on Cost
Portfolio Duration
1.35
2
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 March 31, 2024
Account Summary
© PFM Asset Management LLC | pfmam.com
1.3%
3.8%
0.3%
13.9%
80.8%
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
**First American Funds - $230,824
Corporate - $686,219
Municipal - $52,197
Federal Agency - $2,527,166
U.S. Treasury - $14,726,752
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 3/28/2024.
3
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
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
81.9%
U.S. Treasury
UNITED STATES TREASURY
81.9%
AA / Aaa / AA
14.0%
Federal Agency
FANNIE MAE
0.7%
AA / Aaa / AA
FEDERAL FARM CREDIT BANKS
8.6%
AA / Aaa / AA
FEDERAL HOME LOAN BANKS
4.7%
AA / Aaa / NR
0.3%
Municipal
CITY OF SCOTTSDALE
0.3%
AAA / Aaa / AAA
3.8%
Corporate
AMAZON.COM INC
0.4%
AA / A / AA
BANK OF AMERICA CO
1.1%
A / Aa / AA
JP MORGAN CHASE & CO
1.0%
A / Aa / AA
STATE STREET CORPORATION
0.1%
A / A / AA
TEXAS INSTRUMENTS INC
0.8%
A / Aa / NR
WAL-MART STORES INC
0.4%
AA / Aa / AA
100.0%
Total
4
© PFM Asset Management LLC pfmam.com
|
Portfolio Review:
CHANDLER WORKERS COMP & EMPLOYER TRUST
5
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
Portfolio Snapshot
|
1. Total market value includes accrued interest and balances invested in PFMAM, as of March 31, 2024.Yield and duration calculations exclude balances invested in PFMAM.
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 BofA 1-3 Year U.S Treasury Index. Prior to 3/31/17 it was the ICE BofA 0-3 Year U.S Treasury Index. Source: Bloomberg.
Portfolio Snapshot - CHANDLER WORKERS COMP & EMPLOYER TRUST¹
Credit Quality - S&P2
44%
27%
29%
8%
36%
0%
20%
40%
60%
0-1 Yr
1-2 Yrs
2-3 Yrs
Portfolio
Benchmark3
56%
Duration Distribution
U.S. Treasury | 82%
Federal Agency | 14%
Corporate | 4%
Municipal | <1%
Sector Allocation
AAA | <1%
AA+ | 96%
AA | 1%
A+ | 1%
A | <1%
A- | 2%
Portfolio Statistics
Portfolio Effective Duration
1.35 years
Benchmark Effective Duration
1.76 years
Portfolio Credit Quality
AA
Yield At Market
4.97%
Yield At Cost
3.67%
Total Market Value
$18,593,724.40
$17,879,133.16
Securities Sub-Total
$601,390.95
Cash
$113,200.29
Accrued Interest
6
Liquidity Vehicle
Quarter-End Yield
Allspring Treasury Plus Money
Market A Fund1
5.16%
First American Funds2
5.18%
1.
Allspring Treasury Plus Money Market A Fund ticker symbol PISXX. Account yield is the 30-day current yield from Fund website as of 3/31/2024.
2.
First American Funds ticker symbol FGZXX; Account yield is the Net Annualized Monthly Average Yield as of March 2024. 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
© PFM Asset Management LLC | pfmam.com
For the Quarter Ended March 31, 2024
Portfolio Snapshot
7
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
Portfolio Characteristics
|
$0.0
$3.6
$7.2
$10.8
$14.4
$18.0
Millions
March 2024
$0.0
$3.6
$7.2
$10.8
$14.4
$18.0
Millions
December 2023
$0.0
$3.6
$7.2
$10.8
$14.4
$18.0
Millions
September 2023
$0.0
$3.6
$7.2
$10.8
$14.4
$18.0
Millions
June 2023
Sector Allocation Review - CHANDLER WORKERS COMP & EMPLOYER TRUST
U.S. Treasury
Federal Agency
Municipal
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.
Jun-23
% of Total
Security Type
Sep-23
% of Total
Dec-23
% of Total
% of Total
Mar-24
U.S. Treasury
$10.4
70.1%
$10.2
74.0%
$13.7
79.0%
$14.6
81.9%
Federal Agency
$3.6
24.4%
$2.8
20.5%
$2.9
16.5%
$2.5
14.0%
Municipal
$0.1
0.3%
$0.1
0.4%
$0.1
0.3%
$0.1
0.3%
Corporate
$0.8
5.2%
$0.7
5.1%
$0.7
4.2%
$0.7
3.8%
Total
$14.9
100.0%
$13.8
100.0%
$17.3
100.0%
$17.9
100.0%
8
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
Portfolio Activity
|
Portfolio Activity - CHANDLER WORKERS COMP & EMPLOYER TRUST
Net Activity by Sector
($ millions)
Federal Agency
Corporate
U.S. Treasury
Federal Agency
Corporate
U.S. Treasury
($3.0)
($2.0)
($1.0)
$0.0
$1.0
$2.0
$3.0
Based on total proceeds (principal and accrued interest) of buys, sells, maturities, and principal paydowns. Detail may not add to total due to rounding.
Sector
Net Activity
U.S. Treasury
$928,679
Corporate
($40,863)
Federal Agency
($363,461)
$524,355
Total Net Activity
Sales/Maturities
Purchases
9
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
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 currently the ICE BofA 1-3 Year U.S Treasury Index. Prior to 3/31/17 it was the ICE BofA 0-3 Year U.S Treasury Index. Source: Bloomberg.
4.
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
Return
Portfolio
Benchmark
Portfolio Performance
Market Value Basis Earnings
3 Months
1 Year
3 Years
5 Years
10 Years¹
Interest Earned²
$106,628
$364,558
$595,380
$917,127
$1,459,408
Change in Market Value
$44,328
$320,180
($190,125)
$24,752
($130,792)
$150,956
Total Dollar Return
$684,738
$405,255
$941,879
$1,328,616
Total Return³
Portfolio
0.84%
4.03%
0.60%
1.41%
1.28%
Benchmark⁴
0.30%
2.97%
0.08%
1.16%
0.85%
3 Months
1 Year
3 Years
5 Years
10 Years
10
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
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
$106,628
($4,118)
$45,773
$148,283
1 Year
$364,558
($4,118)
$99,397
$459,838
3 Years
$595,380
($60,978)
$111,879
$646,281
5 Year
$917,127
$90,442
$144,615
$1,152,184
10 Year¹
$1,459,408
$65,671
($11,527)
$1,513,552
11
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
Portfolio Composition
|
Issuer Distribution
As of March 31, 2024
Issuer
Market Value ($)
% of Portfolio
UNITED STATES TREASURY
14,649,980
81.93%
FEDERAL FARM CREDIT BANKS
1,517,595
8.49%
FEDERAL HOME LOAN BANKS
848,893
4.75%
BANK OF AMERICA CO
200,262
1.12%
JP MORGAN CHASE & CO
172,853
0.97%
TEXAS INSTRUMENTS INC
141,491
0.79%
FANNIE MAE
128,152
0.72%
WAL-MART STORES INC
78,900
0.44%
AMAZON.COM INC
69,589
0.39%
CITY OF SCOTTSDALE
52,113
0.29%
STATE STREET CORPORATION
19,305
0.11%
17,879,133
Grand Total
100.00%
12
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
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 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
593,791.44
595,012.39
US TREASURY 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
189.56
198,750.00
199,986.93
US TREASURY NOTES
DTD 07/15/2021 0.375% 07/15/2024
91282CCL3
990,000.00
AA+
Aaa
10/16/2023 10/17/2023
953,687.11
5.47
785.34
976,078.13
975,982.16
US TREASURY NOTES
DTD 07/15/2021 0.375% 07/15/2024
91282CCL3
820,000.00
AA+
Aaa
12/1/2023
12/4/2023
795,912.50
5.30
650.48
808,468.75
808,708.98
US TREASURY 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
26.85
151,633.59
154,873.96
US TREASURY 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
40.71
229,896.08
234,864.52
US TREASURY NOTES
DTD 10/15/2021 0.625% 10/15/2024
91282CDB4
905,000.00
AA+
Aaa
10/16/2023 10/17/2023
863,532.62
5.42
2,611.77
882,940.62
882,557.49
US TREASURY 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
102,440.63
104,945.23
US TREASURY 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
1,322.19
452,357.81
464,571.98
US TREASURY 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
796.15
272,387.50
279,558.10
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
253,703.11
261,836.94
US TREASURY 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
179,681.25
185,006.81
US TREASURY NOTES
DTD 01/15/2022 1.125% 01/15/2025
91282CDS7
110,000.00
AA+
Aaa
10/16/2023 10/17/2023
104,469.92
5.35
261.78
106,631.25
106,495.19
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
622.15
261,815.63
271,758.88
US TREASURY 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
587.64
300,409.38
309,361.30
13
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
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 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
483.38
247,110.94
251,981.58
US TREASURY 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
1,089.97
557,210.93
568,995.51
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
2,332.83
1,408,543.82
1,441,490.53
US TREASURY 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
136,587.50
139,875.78
US TREASURY 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
951.92
146,460.93
149,730.82
US TREASURY 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
1,994.33
493,400.76
502,423.42
US TREASURY 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
19,755.05
2,375,356.25
2,400,983.05
US TREASURY NOTES
DTD 10/15/2023 4.625% 10/15/2026
91282CJC6
565,000.00
AA+
Aaa
11/3/2023
11/6/2023
564,779.30
4.64
12,066.07
566,589.06
564,807.72
US TREASURY N/B NOTES
DTD 12/15/2023 4.375% 12/15/2026
91282CJP7
580,000.00
AA+
Aaa
1/3/2024
1/4/2024
584,032.81
4.12
7,487.70
578,550.00
583,721.46
US TREASURY N/B NOTES
DTD 01/15/2024 4.000% 01/15/2027
91282CJT9
360,000.00
AA+
Aaa
1/26/2024
1/29/2024
358,396.88
4.16
3,046.15
355,725.00
358,485.29
US TREASURY N/B NOTES
DTD 02/15/2024 4.125% 02/15/2027
91282CKA8
930,000.00
AA+
Aaa
2/13/2024
2/15/2024
921,499.22
4.45
4,848.01
922,153.13
921,835.11
US TREASURY NOTES
DTD 05/15/2017 2.375% 05/15/2027
912828X88
1,160,000.00
AA+
Aaa
3/14/2024
3/15/2024
1,089,221.88
4.46
10,444.78
1,091,306.19
1,090,262.73
14,995,000.00
14,666,426.00
76,772.37
14,649,979.68
Security Type Sub-Total
3.50
14,810,113.86
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
52,113.05
55,000.00
55,000.00
55,000.00
83.60
52,113.05
Security Type Sub-Total
0.61
55,000.00
14
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
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
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
848,893.10
859,806.19
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
128,151.66
129,996.95
FEDERAL FARM CREDIT BANK NOTES
(CALLABLE
DTD 12/07/2023 5.580% 12/07/2026
3133EPK38
1,520,000.00
AA+
Aaa
12/15/2023 12/18/2023
1,519,772.00
5.59
26,858.40
1,517,595.36
1,519,792.43
2,510,000.00
2,509,335.50
32,526.13
2,494,640.12
Security Type Sub-Total
5.00
2,509,595.57
Corporate
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
69,589.24
69,996.18
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
141,491.36
142,000.00
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
113,992.95
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
58,860.12
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
78,899.76
79,973.12
STATE STREET CORP (CALLABLE)
CORPORATE N
DTD 02/07/2022 1.746% 02/06/2026
857477BR3
20,000.00
A
A1
2/2/2022
2/7/2022
20,000.00
1.75
53.35
19,305.08
20,000.00
BANK OF AMERICA NA CORPORATE
NOTES
DTD 08/18/2023 5.526% 08/18/2026
06428CAA2
100,000.00
A+
Aa1
10/23/2023 10/24/2023
99,158.00
5.85
660.05
100,949.50
99,288.92
15
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
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
BANK OF AMERICA CORP NOTES
(CALLABLE)
DTD 01/20/2023 5.080% 01/20/2027
06051GLE7
100,000.00
A-
A1
2/1/2024
2/5/2024
100,027.00
5.07
1,001.89
99,312.30
100,024.89
687,000.00
688,259.04
3,818.19
682,400.31
Security Type Sub-Total
2.75
686,283.11
18,247,000.00
17,919,020.54
113,200.29
17,879,133.16
Managed Account Sub Total
Securities Sub Total
Accrued Interest
$18,247,000.00
$17,919,020.54
$113,200.29
$17,879,133.16
$113,200.29
18,060,992.54
$18,060,992.54
3.67
3.67%
Total Investments
$17,992,333.45
16
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
BUY
1/3/2024
1/4/2024
580,000.00
91282CJP7
US TREASURY N/B NOTES
4.37%
12/15/2026
585,419.42
4.12%
1/26/2024
1/29/2024
360,000.00
91282CJT9
US TREASURY N/B NOTES
4.00%
1/15/2027
358,950.73
4.16%
2/1/2024
2/5/2024
100,000.00
06051GLE7
BANK OF AMERICA CORP NOTES (CALLABLE)
5.08%
1/20/2027
100,238.67
5.07%
2/13/2024
2/15/2024
930,000.00
91282CKA8
US TREASURY N/B NOTES
4.12%
2/15/2027
921,499.22
4.45%
3/14/2024
3/15/2024
1,160,000.00
912828X88
US TREASURY NOTES
2.37%
5/15/2027
1,098,379.98
4.46%
Total BUY
3,130,000.00
3,064,488.02
0.00
INTEREST
1/1/2024
1/1/2024
55,000.00
810454BL1
SCOTTSDALE, AZ TXBL GO BONDS
0.60%
7/1/2025
167.20
1/2/2024
1/2/2024
MONEY0002
MONEY MARKET FUND
143.07
1/15/2024
1/15/2024
1,810,000.00
91282CCL3
US TREASURY NOTES
0.37%
7/15/2024
3,393.75
1/15/2024
1/15/2024
110,000.00
91282CDS7
US TREASURY NOTES
1.12%
1/15/2025
618.75
1/15/2024
1/15/2024
2,410,000.00
91282CGE5
US TREASURY NOTES
3.87%
1/15/2026
46,693.75
1/15/2024
1/15/2024
150,000.00
91282CEY3
US TREASURY NOTES
3.00%
7/15/2025
2,250.00
1/31/2024
1/31/2024
270,000.00
912828Z52
US TREASURY NOTES
1.37%
1/31/2025
1,856.25
2/1/2024
2/1/2024
MONEY0002
MONEY MARKET FUND
386.37
2/6/2024
2/6/2024
20,000.00
857477BR3
STATE STREET CORP (CALLABLE) CORPORATE N
1.74%
2/6/2026
174.60
2/8/2024
2/8/2024
860,000.00
3130ASRJ0
FEDERAL HOME LOAN BANK NOTES (CALLABLE)
4.10%
8/8/2025
17,630.00
17
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
INTEREST
2/9/2024
2/9/2024
60,000.00
46647PCM6
JPMORGAN CHASE & CO CORP NOTES (CALLABLE
0.76%
8/9/2025
230.40
2/15/2024
2/15/2024
505,000.00
91282CFE6
US TREASURY NOTES
3.12%
8/15/2025
7,890.63
2/15/2024
2/15/2024
1,140,000.00
91282CDZ1
US TREASURY NOTES
1.50%
2/15/2025
8,550.00
2/18/2024
2/18/2024
100,000.00
06428CAA2
BANK OF AMERICA NA CORPORATE NOTES
5.52%
8/18/2026
2,763.00
2/28/2024
2/28/2024
130,000.00
3135GACV1
FANNIE MAE NOTES (CALLABLE)
4.00%
8/28/2025
2,600.00
3/1/2024
3/1/2024
MONEY0002
MONEY MARKET FUND
1,019.87
3/9/2024
3/9/2024
80,000.00
931142EW9
WALMART INC CORPORATE NOTES
3.90%
9/9/2025
1,560.00
3/15/2024
3/15/2024
390,000.00
91282CCX7
US TREASURY NOTES
0.37%
9/15/2024
731.25
Total INTEREST
8,090,000.00
98,658.89
0.00
MATURITY
1/10/2024
1/10/2024
40,000.00
24422EVX4
JOHN DEERE CAPITAL CORP CORPORATE NOTES
0.90%
1/10/2024
40,180.00
1/28/2024
1/28/2024
355,000.00
3130AWV56
FEDERAL HOME LOAN BANK NOTES (CALLED,OMD
5.72%
1/28/2024
363,460.83
2/4/2024
2/4/2024
100,000.00
06051GKG3
BANK OF AMERICA CORP CORP NOTES (CALLED,
1.84%
2/4/2024
100,921.50
3/31/2024
3/31/2024
515,000.00
912828W71
US TREASURY NOTES
2.12%
3/31/2024
520,471.88
Total MATURITY
1,010,000.00
1,025,034.21
0.00
18
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
SELL
1/3/2024
1/4/2024
588,000.00
91282CBE0
US TREASURY NOTES
0.12%
1/15/2024
587,863.19
-472.70
2/13/2024
2/15/2024
305,000.00
91282CBR1
US TREASURY NOTES
0.25%
3/15/2024
304,093.35
-1,185.26
2/13/2024
2/15/2024
625,000.00
91282CBR1
US TREASURY NOTES
0.25%
3/15/2024
623,142.12
-2,459.88
Total SELL
1,518,000.00
1,515,098.66
-4,117.84
19
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
Tran.
Type
1/3/2024
1/4/2024
580,000.00
91282CJP7
US TREASURY N/B NOTES
4.37%
12/15/2026
585,419.42
4.12%
BUY
1/26/2024
1/29/2024
360,000.00
91282CJT9
US TREASURY N/B NOTES
4.00%
1/15/2027
358,950.73
4.16%
BUY
2/1/2024
2/5/2024
100,000.00
06051GLE7
BANK OF AMERICA CORP NOTES
5.08%
1/20/2027
100,238.67
5.07%
BUY
2/13/2024
2/15/2024
930,000.00
91282CKA8
US TREASURY N/B NOTES
4.12%
2/15/2027
921,499.22
4.45%
BUY
3/14/2024
3/15/2024
1,160,000.00
912828X88
US TREASURY NOTES
2.37%
5/15/2027
1,098,379.98
4.46%
BUY
1/1/2024
1/1/2024
55,000.00
810454BL1
SCOTTSDALE, AZ TXBL GO BONDS
0.60%
7/1/2025
167.20
INTEREST
1/2/2024
1/2/2024
MONEY0002
MONEY MARKET FUND
143.07
INTEREST
1/15/2024
1/15/2024
1,810,000.00
91282CCL3
US TREASURY NOTES
0.37%
7/15/2024
3,393.75
INTEREST
1/15/2024
1/15/2024
110,000.00
91282CDS7
US TREASURY NOTES
1.12%
1/15/2025
618.75
INTEREST
1/15/2024
1/15/2024
2,410,000.00
91282CGE5
US TREASURY NOTES
3.87%
1/15/2026
46,693.75
INTEREST
1/15/2024
1/15/2024
150,000.00
91282CEY3
US TREASURY NOTES
3.00%
7/15/2025
2,250.00
INTEREST
1/31/2024
1/31/2024
270,000.00
912828Z52
US TREASURY NOTES
1.37%
1/31/2025
1,856.25
INTEREST
2/1/2024
2/1/2024
MONEY0002
MONEY MARKET FUND
386.37
INTEREST
2/6/2024
2/6/2024
20,000.00
857477BR3
STATE STREET CORP (CALLABLE)
1.74%
2/6/2026
174.60
INTEREST
2/8/2024
2/8/2024
860,000.00
3130ASRJ0
FEDERAL HOME LOAN BANK NOTES
4.10%
8/8/2025
17,630.00
INTEREST
2/9/2024
2/9/2024
60,000.00
46647PCM6
JPMORGAN CHASE & CO CORP NOTES
0.76%
8/9/2025
230.40
INTEREST
2/15/2024
2/15/2024
505,000.00
91282CFE6
US TREASURY NOTES
3.12%
8/15/2025
7,890.63
INTEREST
2/15/2024
2/15/2024
1,140,000.00
91282CDZ1
US TREASURY NOTES
1.50%
2/15/2025
8,550.00
INTEREST
20
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
Portfolio Activity
|
Quarterly Portfolio Transactions
Trade
Date
Settle
Date
Par ($)
CUSIP
Maturity
Date
Transact
Amount ($)
Coupon
Yield
at Market
Realized
G/L (BV)
Security Description
Tran.
Type
2/18/2024
2/18/2024
100,000.00
06428CAA2
BANK OF AMERICA NA CORPORATE
5.52%
8/18/2026
2,763.00
INTEREST
2/28/2024
2/28/2024
130,000.00
3135GACV1
FANNIE MAE NOTES (CALLABLE)
4.00%
8/28/2025
2,600.00
INTEREST
3/1/2024
3/1/2024
MONEY0002
MONEY MARKET FUND
1,019.87
INTEREST
3/9/2024
3/9/2024
80,000.00
931142EW9
WALMART INC CORPORATE NOTES
3.90%
9/9/2025
1,560.00
INTEREST
3/15/2024
3/15/2024
390,000.00
91282CCX7
US TREASURY NOTES
0.37%
9/15/2024
731.25
INTEREST
1/10/2024
1/10/2024
40,000.00
24422EVX4
JOHN DEERE CAPITAL CORP
0.90%
1/10/2024
40,180.00
MATURITY
1/28/2024
1/28/2024
355,000.00
3130AWV56
FEDERAL HOME LOAN BANK NOTES
5.72%
1/28/2024
363,460.83
MATURITY
2/4/2024
2/4/2024
100,000.00
06051GKG3
BANK OF AMERICA CORP CORP NOTES
1.84%
2/4/2024
100,921.50
MATURITY
3/31/2024
3/31/2024
515,000.00
912828W71
US TREASURY NOTES
2.12%
3/31/2024
520,471.88
MATURITY
1/3/2024
1/4/2024
588,000.00
91282CBE0
US TREASURY NOTES
0.12%
1/15/2024
587,863.19
-472.70
SELL
2/13/2024
2/15/2024
305,000.00
91282CBR1
US TREASURY NOTES
0.25%
3/15/2024
304,093.35
-1,185.26
SELL
2/13/2024
2/15/2024
625,000.00
91282CBR1
US TREASURY NOTES
0.25%
3/15/2024
623,142.12
-2,459.88
SELL
TOTALS
5,703,279.78
-4,117.84
13,748,000.00
21
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
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.
© 2023 PFM Asset Management LLC. Further distribution is not permitted without prior written consent.
22
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
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.
23
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
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.
24
© PFM Asset Management LLC pfmam.com
CITY OF CHANDLER
For the Quarter Ended March 31, 2024
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.
25