Investment Performance Review
For the Quarter Ended December 31, 2021
Client Management Team PFM Asset Management LLC
Monique Spyke, Managing Director
Allison Kaune, Senior Analyst
Joseph Creason, Portfolio Manager
CITY OF STOCKTON
213 Market Street
Harrisburg,
PA 17101-2141
717-232-2723
1 California Street 10th Floor
San Francisco, CA 94111
415-393-7270
ATTACHMENT A
Market Update
© PFM Asset Management LLC | pfmam.com
ATTACHMENT A
PFM Asset Management LLC
For the Quarter Ended December 31, 2021
Market Update
Current Market Themes
For the Quarter Ended Decembe
r 31, 2021
Market Update
© PFM Asset Management LLC | pfmam.com
▹ Rapidly increasing inflation
▹ Improved labor market conditions
▹ Depressed consumer confidence
▹ Accelerated pace of asset purchase tapering
▹ Fed expects three rate hikes
in 2022
▹ Changing composition of FOMC leadership
▹ Short-term yields shift higher amid rate hike expectations ▹ Longer-term yields adjust
to evolving inflation and economic growth uncertainties
CITY OF STOCKTON
ATTACHMENT A
For the Quarter Ended December 31, 2021
Market Update
U.S. GDP Rebounds from Pandemic
For the Quarter Ended Decembe
r 31, 2021
Market Update
▸ Persistent damage to supply chains continues to
disrupt the production and distri
bution network
▸ Age-related impacts to labor force growth predating
the pandemic
▸ Return to more normal househol
d income and saving
trends
▸ Normalizing fiscal and m
onetary policies
Growth is Expected to Moderate…
Factors Driving Growth…
▸ Better-than-expected corporate profit m argins fueling equity markets
▸ Unprecedented accommodative monetary policy and
fiscal stimulus
▸ Access to COVID-19 v
accines and reduction of
pandemic-era lockdow
ns
▸ Continued adaptation of all sectors of the economy to the challenging health situation
2.3%
2.9%
2.3%
-3.4%
6.0%
5.2%
2.2% 2.2%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
2017
2018
2019
2020
2021 (Estimate)
2022 (Forecast)
2023 (Forecast)
2024 (Forecast)
Real U.S. GDP
Source: International Monetary Fund, October 2021 World Economic Outlook © PFM Asset Management LLC | pfmam.com
Forecast
CITY OF STOCKTON
ATTACHMENT A
PFM Asset Management LLC
For the Quarter Ended December 31, 2021
Market Update
For the Quarter Ended Decembe
r 31, 2021
Market Update
© PFM Asset Management LLC | pfmam.com
Source: Bloomberg, as of November 2021.
6.8%
4.9%
-3%
-2%
-1%
0%
1%
2%
3%
4%
5%
6%
7%
8%
Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Top-Line Contributions and Consumer Price Index (year over year) Services (Ex Food & Energy) Goods (Ex Food & Energy) Food Energy Headline YoY% Core YoY%
CITY OF STOCKTON
ATTACHMENT A
PFM Asset Management LLC
For the Quarter Ended December 31, 2021
Market Update
For the Quarter Ended Decembe
r 31, 2021
Market Update
© PFM Asset Management LLC | pfmam.com
Source: Bloomberg, as of 12/10/2021.
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2.0%
2-Year Treasury Yield
December 31, 2019 – December 31, 2021
0.00%
0.25%
0.50%
0.75%
1.00%
1.25%
1.50%
1.75%
3 M
1 Y
2 Y
3 Y
4 Y
5 Y
10 Y
Maturity
U.S. Treasury Yield Curve
December 31, 2021
September 30, 2021
December 31, 2020
CITY OF STOCKTON
ATTACHMENT A
PFM Asset Management LLC
For the Quarter Ended December 31, 2021
Market Update
For the Quarter Ended Decembe
r 31, 2021
Market Update
© PFM Asset Management LLC | pfmam.com
Source: ICE BofAML 1-5 year Indices via Bloomberg, MarketAxess and PFM as of 12/31/2021. Spreads on ABS and MBS are option-adjusted spreads of 0-5 year indices based on weighted average life; spreads on agencies are relative to comparable maturity Treasuries. CMBS is Commercial Mortgage-Backed Securities. -0.10%
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
Federal Agency Yield Spreads
-0.50%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
Mortgage-Backed Securities Yield Spreads
Agency MBS AAA CMBS Index
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
Asset-Backed Securities AAA Yield Spreads
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
Corporate Notes A-AAA Yield Spreads
CITY OF STOCKTON
ATTACHMENT A
PFM Asset Management LLC
For the Quarter Ended December 31, 2021
Market Update
For the Quarter Ended Decembe
r 31, 2021
Market Update
© PFM Asset Management LLC | pfmam.com
Rising Rates and Wider Spreads Hampered Fixed -Income Returns in Q4 1-5 Year Indices
-0.68% -0.70%
-0.38%
-0.69% -0.69%
-1.0%
-0.5%
0.0%
0.5%
1.0%
U.S. Treasury
Agency
ABS
Corp A-AAA
Corp BBB
Fourth Quarter 2021
-1.10%
-0.86%
-0.18%
-0.64%
-0.02%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
U.S. Treasury
Agency
ABS
Corp A-AAA
Corp BBB
Full Year 2021
CITY OF STOCKTON
ATTACHMENT A
PFM Asset Management LLC
For the Quarter Ended December 31, 2021
Market Update
For the Quarter Ended December
31, 2021
Market Update
© PFM Asset Management LLC | pfmam.com
Source: Bloomberg, Federal Reserve Open Market Committee as of 12/10/2021.
May-22
1 Hike
Sep-22
2 Hikes
Dec-22
3 Hikes
Mar-23
4 Hikes
Jun-23
5 Hikes
0.00%
0.50%
1.00%
1.50%
2.00%
Dec-21
Jun-22
Dec-22
Jun-23
Dec-23
Implied Fed Funds Rate
$0
$20
$40
$60
$80
$100
$120
$140
Oct-21
Nov-21
Dec-21
Jan-22
Feb-22
Mar-22
Apr-22
May-22
Jun-22
Billions
Timetable for Tapering Asset Purchases
Prior Estimate Mostly Likely Scenario
(Double Tapering Pace)
▸ In testimony before the Senate Banking Committee, Fed Ch air Powell indicated that “it is appropriate” to discuss accelerating the tapering of asset purchases to end “a few months sooner.” ▸ Fed fund futures are pricing in two to three rate hikes in 2022. The market is expecting the first interest rate hike by the Federal Reserve in May or June 2022.
CITY OF STOCKTON
ATTACHMENT A
Portfolio Review:
CITY OF STOCKTON RESERVE PORTFOLIO
© PFM Asset Management LLC | pfmam.com
ATTACHMENT A
CITY OF STOCKTON
For the Quarter Ended December 31, 2021
Account Summary
Account Summary¹
PFM Managed Account $589,319,244
BoW Ma
in Account $120,981,502
CAMP
Pool $81,858
Idle Funds in Reserve $2,881,630
Local Agency Investment $75,000,000
Total Program $790,033,332
Consolidated Summary
Sector Allocation
25.3%
0.0% 0.0% 2.2% 3.5%
19.4% 17.5%
23.3%
8.9%
0.0% 0.0% 0.0%
$0
$50
$100
$150
$200
$250
Millions
Under
30 days
31 to 60
days
61 to 90
days
91 to
180
days
181
days to
1 year
1 to 2
years
2 to 3
years
3 to 4
years
4 to 5
years
5 to 7
years
7 to 10
years
Over 10
years
Maturity Distribution
(Weighted Average Maturity: 718 Days)
Market values , as of December 31, 2021.1.
U.S. Treasury | 41%
Federal Agency | 27%
Corporate | 17%
Negotiable CD | 4%
ABS | 3%
Municipal | 3%
Supranational | 2%
Agency CMBS | 1%
© PFM Asset Management LLC | pfmam.com
Accrued Interest $1,769,099
ATTACHMENT A
CITY OF STOCKTON
For the Quarter Ended December 31, 2021
Account Summary
Account Summary
Yield at market, yield on cost, and portfolio duration only include investments held within the separately managed account(s).1.
CITY OF STOCKTON RESERVE PORTFOLIO
Portfolio Values December 31, 2021
PFM Managed Account $589,319,244
Amortized Cost $590,388,489
Market Value $589,319,244
Accrued Interest $1,769,099
Analytics¹ December 31, 2021
Yield at Market 0.95%
Yield on Cost 1.12%
Portfolio Duration 2.48
© PFM Asset Management LLC | pfmam.com
ATTACHMENT A
CITY OF STOCKTON
For the Quarter Ended December 31, 2021
Portfolio Snapshot
The portfolio’s benchmark is the ICE BofAML 1-5 Year U.S. Government/Corp A or Better, U.S. issuers only Index. Source: Bloomberg.
An average of each security’s credit rating was assigned a numeric value and adjusted for its relative weighting in the portfolio.
1. Portfolio Statistics
Total Market Value $593,969,972.84
Po
rtfolio Effective Duration 2.48 years
Benchmark Effective Duration 2.58 years
Yield At Cost 1.12%
Yield At Market 0.95%
Portfolio Credit Quality AA
Portfolio Snapshot - CITY OF STOCKTON RESERVE PORTFOLIO¹ Credit Quality - S&P
10%
30%
23%
29%
8%
4%
33%
27%
20%
15%
0%
5%
10%
15%
20%
25%
30%
35%
0-1 Yr 1-2 Yrs 2-3 Yrs 3-4 Yrs 4-5 Yrs
Portfolio Benchmark
Duration Distribution
U.S. Treasury | 41%
Federal Agency | 27%
Corporate | 17%
Negotiable CD | 4%
ABS | 3%
Municipal | 3%
Supranational | 2%
Agency CMBS | 1%
Sector Allocation
AAA | 6%
AA+ | 71%
AA | 3%
AA- | 3%
A-1+ | 2%
A+ | 6%
A | 2%
A- | 3%
A-1 | 2%
BBB+ | 2%
Not Rated | 1%
© PFM Asset Management LLC | pfmam.com
ATTACHMENT A
CITY OF STOCKTON
For the Quarter Ended December 31, 2021
Portfolio Characteristics
$0
$118
$236
$354
$472
$590
December 2021
$0
$118
$236
$354
$472
$590
September 2021
$0
$118
$236
$354
$472
$590
June 2021
$0
$118
$236
$354
$472
$590
Millions
March 2021
Sector Allocation Review - CITY OF STOCKTON RESERVE PORTFOLIO U.S. Treasury Federal Agency Agency CMBS Supranational Municipal Negotiable CD Corporate ABS Market values, excluding accrued interest. Only includes investments held within the separately managed account(s). Detail may not add to total due to rounding.
Mar-21 % of TotalSecurity Type Jun-21 % of Total Sep-21 % of Total % of TotalDec-21 U.S. Treasury $139.5 25.9% $164.2 30.5% $202.3 35.5% $244.5 41.4% Federal Agency $185.1 34.3% $176.2 32.6% $168.5 29.6% $160.0 27.2% Agency CMBS $15.1 2.8% $13.9 2.6% $12.6 2.2% $8.4 1.4%
Supranational $9.6 1.8% $3.7 0.7% $12.1 2.1% $12.0 2.0% Municipal $17.1 3.2% $17.2 3.2% $17.1 3.0% $16.9 2.9%
Negotiable CD $38.4 7.1% $30.2 5.6% $25.3 4.4% $25.1 4.3% Corporate $110.4 20.5% $111.8 20.7% $109.8 19.3% $102.5 17.4% ABS $23.5 4.4% $22.0 4.1% $22.1 3.9% $19.8 3.4%
Total $538.7 100.0% $539.2 100.0% $569.9 100.0% $589.3 100.0% © PFM Asset Management LLC | pfmam.com
ATTACHMENT A
CITY OF STOCKTON
For the Quarter Ended December 31, 2021
Portfolio Activity
Portfolio Activity - CITY OF STOCKTON RESERVE PORTFOLIO Net Activity by Sector
($ millions)
Federal Agency
Corporate
Agency CMBS
ABS
U.S. Treasury
Federal Agency
Corporate
Agency CMB
S
ABS
U.S. Treasury
($20.0) $0.0 $20.0 $40.0 $60.0
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 $45,109,534
ABS ($2,212,938)
Agency CMBS ($4,110,789)
Corporate ($6,166,693)
Federal Agency ($6,844,104)
Sales/Maturities Purchases
© PFM Asset Management LLC | pfmam.com
ATTACHMENT A
CITY OF STOCKTON
For the Quarter Ended December 31, 2021
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 June 30, 2017.1.
Interest earned calculated as the ending accrued interest less beginning accrued interest, plus net interest activity.2.
Returns for periods one year or less are presented on a periodic basis. Returns for periods greater than one year are presented on an annualized basis.3.
The portfolio’s benchmark is the ICE BofAML 1-5 Year U.S. Government/Corp A or Better, U.S. issuers only Index. Source: Bloomberg.4. -2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
Return
Portfolio Benchmark Net of Fees
Portfolio Performance
Market Value Basis Earnings 3 Months 1 Year 3 Years 5 Years Since Inception¹ Interest Earned² $1,894,117 $8,042,703 $28,552,643 - $39,059,408 Change in Market Value ($6,330,547) ($13,832,669) $8,621,690 - $5,371,281 ($4,436,430)Total Dollar Return ($5,789,966) $37,174,333 - $44,430,689 Total Return³
Portfolio -0.74% -0.98% 2.70% - 2.17%
Benchmark⁴ -0.69% -1.05% 2.55% - 2.02%
Basis Point Fee 0.02% 0.06% 0.05% - 0.05%
Net of Fee Return -0.76% -1.03% 2.64% - 2.12%
3 Months 1 Year 3 Years 5 Years Since Inception
© PFM Asset Management LLC | pfmam.com
ATTACHMENT A
CITY OF STOCKTON
For the Quarter Ended December 31, 2021
Portfolio Performance
Performance on trade-date basis, gross (i.e., before fees), in accordance with the CFA Institute’s Global Investment Performance Standards (GIPS).1.
Income returns calculated as interest earned on investments during the period.2.
Price returns calculated as the change in market value of each security for the period.3.
Returns are presented on a periodic basis.4.
Quarterly Sector Performance
Total Return by Sector Contribution to Total Return
0. 0
%
0. 0
%
0. 0
%
0. 0
%
0. 0
%
0. 0
%
0. 0
%Return
Cash
ABS
Corporate
Negotiable CD
Municipal
Supranational
Agency CMBS
Federal Agency
U.S. Treasury
-0.80%
-0.60%
-0.40%
-0.20%
0.00%
0.20%
U.S. Treasury | -0.34%
Federal Agency | -0.23%
Agency CMBS | -0.01%
Supranational | -0.02%
Municipal | -0.03%
Negotiable CD | 0.00%
Corporate | -0.11%
ABS | -0.01%
Cash | 0.00%
Price Returns Income Returns
Return
0.01%
0.34%
0.54%
0.38%
0.35%
0.11%
0.85%
0.19%
0.29%
0.00%
-0.68%
-1.12%
-0.46%
-1.22%
-1.00%
-1.17%
-1.01%
-1.17%
-4.3% -3.0% -1.7% -0.4% 0.9% 2.1%
Return
© PFM Asset Management LLC | pfmam.com
ATTACHMENT A
CITY OF STOCKTON
For the Quarter Ended December 31, 2021
Portfolio Performance
The lesser of 10 years or since inception is shown. Performance inception date is June 30, 2017.1.
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 - CITY OF STOCKTON RESERVE PORTFOLIO Accrual Basis Earnings
Interest Earned
Realized Gains /
(Losses)
Change in Amortized Cost
Total Earnings
3 Months
$1,894,117
$294,754
($240,412)
$1,948,459
1 Year
$8,042,703
$1,251,039
($1,009,
282)
$8,284,460
3 Years
$28,552,643
$7,320,194
($1,072,
858)
$34,799,979
5 Year
-
-
-
-
Since Inception
$39,059,408
$5,547,137
$615,517
$45,222,063
© PFM Asset Management LLC | pfmam.com
ATTACHMENT A
CITY OF STOCKTON
For the Quarter Ended December 31, 2021
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. Excludes balances invested in money market funds.
Issuer Diversification
Market Value (%) S&P / Moody's / FitchSecurity Type / Issuer
41.5%U.S. Treasury
UNITED STATES TREASURY 41.5% AA / Aaa / AAA
27.2%Federal Agency
FANNIE MAE 17.3% AA / Aaa / AAA
FEDERAL FARM CREDIT BANKS 1.0% AA / Aaa / AAA
FEDERAL HOME LOAN BANKS 1.4% AA / Aaa / NR
FREDDIE MAC 7.4% AA / Aaa / AAA
1.4%Agency CMBS
FANNIE MAE 0.4% AA / Aaa / AAA
FREDDIE MAC 1.0% AA / Aaa / AAA
2.0%Supranational
INTER-AMERICAN DEVELOPMENT BANK 1.4% AAA / Aaa / AAA
INTL BANK OF RECONSTRUCTION AND DEV 0.6% AAA / Aaa / AAA
2.9%Municipal
CALIFORNIA DEPARTMENT OF WATER
RESOURCES
0.0% AAA / Aa / NR
CALIFORNIA STATE UNIVERSITY 0.2% AA / Aa / NR
FLORIDA STATE BOARD OF ADMIN FIN CORP 0.6% AA / Aa / AA
LOS ANGELES COMMUNITY COLLEGE
DISTRICT
0.3% AA / Aaa / NR
NEW JERSEY TURNPIKE AUTHORITY 0.2% A / A / A
SAN DIEGO COMMUNITY COLLEGE DISTRICT 0.3% AAA / Aaa / NR STATE OF CALIFORNIA 0.8% AA / Aa / AA
STATE OF MARYLAND 0.2% AAA / Aaa / AAA
UNIVERSITY OF CALIFORNIA 0.3% AA / Aa / AA
4.3%Negotiable CD
CREDIT SUISSE GROUP RK 0.7% A / A / A
DNB ASA 0.6% AA / Aa / NR
Market Value (%) S&P / Moody's / FitchSecurity Type / Issuer
4.3%Negotiable CD
NORDEA BANK ABP 1.0% AA / Aa / AA
SKANDINAVISKA ENSKILDA BANKEN AB 1.3% A / Aa / AA
SUMITOMO MITSUI FINANCIAL GROUP INC 0.7% A / Aa / A
17.4%Corporate
AMAZON.COM INC 0.5% AA / A / AA
AMERICAN HONDA FINANCE 0.6% A / A / NR
APPLE INC 1.0% AA / Aaa / NR
BANK OF AMERICA CO 0.6% A / A / AA
CITIGROUP INC 0.5% BBB / A / A
GOLDMAN SACHS GROUP INC 0.7% BBB / A / A
HOME DEPOT INC 0.3% A / A / A
HONEYWELL INTERNATIONAL 0.7% A / A / A
INTEL CORPORATION 0.7% A / A / A
JP MORGAN CHASE & CO 1.1% A / A / AA
MASTERCARD INC 0.8% A / A / NR
MERCK & CO INC 0.8% A / A / A
MICROSOFT CORP 0.9% AAA / Aaa / AAA
MORGAN STANLEY 0.5% BBB / A / A
NOVARTIS AG 1.3% AA / A / AA
PACCAR FINANCIAL CORP 0.1% A / A / NR
PFIZER INC 1.1% A / A / A
THE BANK OF NEW YORK MELLON
CORPORATION
1.2% A / A / AA
TOYOTA MOTOR CORP 0.7% A / A / A
UNITED PARCEL SERVICE INC 0.7% A / A / NR
US BANCORP 1.0% A / A / A
VISA INC 0.3% AA / Aa / NR
© PFM Asset Management LLC | pfmam.com
ATTACHMENT A
CITY OF STOCKTON
For the Quarter Ended December 31, 2021
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. Excludes balances invested in money market funds.
Issuer Diversification
Market Value (%) S&P / Moody's / FitchSecurity Type / Issuer
17.4%Corporate
WAL-MART STORES INC 1.5% AA / Aa / AA
3.4%ABS
CAPITAL ONE FINANCIAL CORP 0.1% AAA / Aaa / AAA
CARMAX AUTO OWNER TRUST 0.8% AAA / NR / AAA
DISCOVER FINANCIAL SERVICES 0.3% AAA / Aaa / NR
HONDA AUTO RECEIVABLES 0.4% AAA / Aaa / AAA
HYUNDAI AUTO RECEIVABLES 0.4% AAA / NR / AAA
NISSAN AUTO RECEIVABLES 0.5% AAA / Aaa / AAA
TOYOTA MOTOR CORP 0.9% AAA / Aaa / NR
100.0%Total
© PFM Asset Management LLC | pfmam.com
ATTACHMENT A
CITY OF STOCKTON
For the Quarter Ended December 31, 2021
Compliance
Note: Pre- and post-trade compliance for the account(s) managed by PFM Asset Management is provided via Bloomberg Asset and Investment Management ("AIM").
Certificate of Compliance
During the reporting period for the quarter ended December 31, 2021, the account(s) managed by PFM Asset Management ("PFMAM") were i
n compliance with the applicable investment policy and guidelines as furnished to PFMAM.
Acknowledged :PFM Asset Management LLC
© PFM Asset Management LLC | pfmam.com
ATTACHMENT A
CITY OF STOCKTON
For the Quarter Ended December 31, 2021
Appendix
Important Disclosures
This material is based on information obtained from sources generally believed to be reliable and available to the public; however, PFM Asset Management LLC cannot guarantee the accuracy, completeness, or suitability of information provided by third party sources. This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation. All statements as to what will or may happen under certain circumstances are based on assumptions, some, but not all of which, are noted in the presentation. Assumptions may or may not be proven correct as actual events occur, and results may depend on events outside of your or our control. Changes in assumptions may have a material effect on results. Past performance does not necessarily reflect and is not a guaranty of future results. The information contained in this presentation is not an offer to purchase or sell any securities.
Market values that include accrued interest are derived from closing bid prices as of the last business day of the month as supplied by Refinitiv or Bloomberg. Where prices are not available from generally recognized sources, the securities are priced using a yield-based matrix system to arrive at an estimated market value.
In accordance with generally accepted accounting principles, information is presented on a trade date basis; forward settling purchases are included in the monthly balances, and forward settling sales are excluded.
Performance is presented in accordance with the CFA Institute's Global Investment Performance Standards (GIPS). Unless otherwise noted, performance is shown gross of fees. Quarterly returns are presented on an unannualized basis. Returns for periods greater than one year are presented on an annualized basis. Past performance is not indicative of future returns.
Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets.
Money market fund/cash balances are included in performance and duration computations.
Standard & Poor's is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/LGIP holdings.
Callable securities in the portfolio are included in the maturity distribution analysis to their stated maturity date, although, they may be called prior to maturity.
MBS maturities are represented by expected average life. © PFM Asset Management LLC | pfmam.com
ATTACHMENT A
CITY OF STOCKTON
For the Quarter Ended December 31, 2021
Appendix
Glossary
Accrued Interest: Interest that is due on a bond or other fixed income security since the last interest payment was made.
Agencies: Federal agency securities and/or Government-sponsored enterprises.
Amortized Cost: The original cost of the principal of the security is adjusted for the amount of the periodic reduction of any discount or premium from the purchase date until the date of the report. Discount or premium with respect to short-term securities (those with less than one year to maturity at time of issuance) is amortized on a straight line basis. Such discount or premium with respect to longer-term securities is amortized using the constant yield basis.
Asset-Backed Security: A financial instrument collateralized by an underlying pool of assets – usually ones that generate a cash flow from debt, such as loans, leases, credit card balances, and receivables.
Bankers’ Acceptance: A draft or bill or exchange accepted by a bank or trust company. The accepting institution guarantees payment of the bill as well as the insurer.
Commercial Paper: An unsecured obligation issued by a corporation or bank to finance its short-term credit needs, such as accounts receivable and inventory.
Contribution to Total Return: The weight of each individual security multiplied by its return, then summed for each sector to determine how much each sector added or subtracted from the overall portfolio performance.
Effective Duration: A measure of the sensitivity of a security’s price to a change in interest rates, stated in years.
Effective Yield: The total yield an investor receives in relation to the nominal yield or coupon of a bond. Effective yield takes into account the power of compounding on investment returns, while nominal yield does not.
FDIC: Federal Deposit Insurance Corporation. A federal agency that insures bank deposits to a specified amount.
Interest Rate: Interest per year divided by principal amount and expressed as a percentage.
Market Value: The value that would be received or paid for an investment in an orderly transaction between market participants at the measurement date.
Maturity: The date upon which the principal or stated value of an investment becomes due and payable.
Negotiable Certificates of Deposit: A CD with a very large denomination, usually $1 million or more, that can be traded in secondary markets.
Par Value: The nominal dollar face amount of a security.
Pass-through Security: A security representing pooled debt obligations that passes income from debtors to its shareholders. The most common type is the mortgage-backed security.
© PFM Asset Management LLC | pfmam.com
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CITY OF STOCKTON
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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. © PFM Asset Management LLC | pfmam.com
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