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FINANCE WORKSHOP MINUTES
Wednesday, February 19, 2020
Directors: J. Worley
V. Starkey
A. Dreher
R. Anderson
M. Dickerson
C. Schierholz
N. Smith
Absent*
Staff: S. Stanley, J. Case, C. Ward, M. Salanty, T. Rose, and C. Mitchell
Others: Chris Blackwood (PFMAM); Mark McClure (PFMAM)
PFM Asset Management Investment Presentation
Chris Blackwood Director of PFM Asset Management LLC (PFMAM) presented an
economic update and a summary of the District’s portfolio and investment strategy as
of December 31, 2019. (See addendum: PFM HRMD Finance Workshop
Presentation 2-19-20)
After PFM’s presentation the finance workshop took a break for the Study Session and
resumed the workshop at the end of the Study Session.
PFM Asset Management LLC 633 17th Street Suite 2250Denver, CO 80202
Chris Blackwood, Managing DirectorMarc McClure, CFA, Senior Managing Consultant
Highlands Ranch Metro District
Review of Investment Performance Quarter-ended December 31, 2019
Economic and Market Update
PFM Asset Management LLC
Current Market Themes
In the fourth quarter, U.S. economic conditions are characterized by:
• Easing recession fears amid stronger than expected economic growth
• Robust job growth, strong consumer confidence, and a solid housing market
• Headline risks to the economy remain, including re-escalation of trade conflicts, impeachment proceedings, slowing growth
prospects in Europe and China, and rising U.S.-Iran tensions
The U.S. Treasury yield curve steepened over the month. Short-term yields fell 2-4 bps, while longer term yields (on maturities
greater than 2 years) rose 7-18 bps. Treasury yields have settled into a new lower range.
After three consecutive rate cuts this year, the Fed kept rates steady at its December meeting, maintaining the target range at 1½
to 1¾ percent. According to the Fed, the economy is solid; and the current policy stance will remain appropriate as long as
“incoming data remains broadly consistent with the outlook”.
In Q4, short-term yields fell in lockstep with the Fed’s rate cut at the October FOMC meeting, while longer-term rates climbed on
the outlook that the Fed is unlikely to cut rates any further over the near-term. This steepening effect benefitted shorter-duration
portfolios, while longer-duration were negatively impacted.
Manufacturing was mixed in Q4. The ISM survey remained in contraction, falling to its lowest level since 2009. However, a similar
manufacturing measure by Markit diverged, remaining well inside expansionary territory. Each index tells a slightly different story in
part because ISM data surveys larger, multinational companies, therefore leaving it more exposed to U.S.-China trade tensions
that have weighed on confidence and business decisions.
U.S equities finished the year with a strong December, marking the best year since 2013. Over the month, the S&P 500 advanced
3.0%, pushing 2019’s annual return to 32.5%; the NASDAQ added 3.6% for the month, posting an impressive 36.7% annual gain,
its best year since 2009; while the Dow at 1.9%, returned 25.3% for the year.
3
PFM Asset Management LLC
25
35
45
55
65
75
Dec '18 Mar '19 Jun '19 Sep '19 Dec '19
Corporate Yield Spreads1-3 Year A-AAA
2,300
2,400
2,500
2,600
2,700
2,800
2,900
3,000
3,100
3,200
3,300
Dec '18 Mar '19 Jun '19 Sep '19 Dec '19
S&P 500 Price Change
Major Moves in 2019
Federal Funds Target Range
Year Starting Range Ending Range # of Hikes/Cuts
2015 0.00%-0.25% 0.25%-0.50% 1 hike
2016 0.25%-0.50% 0.50%-0.75% 1 hike
2017 0.50%-0.75% 1.25%-1.50% 3 hikes
2018 1.25%-1.50% 2.25%-2.50% 4 hikes
2019 2.25%-2.50% 1.50%-1.75% 3 cuts
Source: Bloomberg, as of December 31, 2019.
1.25%
1.75%
2.25%
2.75%
3.25%
3M
1Y
2Y
3Y
4Y
5Y
10Y
30YMaturity
U.S. Treasury Yield Curve
December 31, 2019
December 31, 2018
2018 close
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PFM Asset Management LLC
Recession Recession
2001 2007-2009 Current
Yield Curve X X ?
Credit Spreads X X
Money Supply X X ?
Wage Growth X X ?
Commodities X X ?
Housing Permits ? X
Jobless Claims X ?
Retail Sales X X
Job Sentiment X X
ISM New Orders X X X
Profit Margins X X ?
Business Investment X ? X
U.S. Recession Risk Indicators – Where are We in the Business Cycle?
Fin
an
cia
lIn
fla
tion
Con
sum
erB
usi
nes
s A
ctiv
ity
Source: BBG, BLS, Federal Reserve, Census Bureau, ISM, BEA, Conference Board, & ClearBridge Investments. Current as of 12/31/2019.
X = Contraction ? = Caution = Expansion
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PFM Asset Management LLC
Continued Solid Economic Data Supports the Fed’s Hold
Source: Bloomberg, as of 12/31/19.
0%
1%
2%
3%
4%
1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q
U.S. GDP Growth
all three quarters’ readings have topped analyst
estimates
2017 2018 2019
200
450
700
950
1,200
1,450
2005 2007 2009 2011 2013 2015 2017 2019
New Home Sales (000s, annual pace)
highest level in 12 years
86
173 181 192
251227
193 179
223
177
0k
100k
200k
300k
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Average Monthy Job Growththe 2010s were the best decade for job growth on record
80
90
100
110
120
130
140
150
2014 2015 2016 2017 2018 2019
Consumer Confidence
Remains near all-time highs
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PFM Asset Management LLC
U.S. Labor Market Remains Strong
Source: Bloomberg, as of 11/30/19.
247k
171k 173k190k
136k
218k 228k243k
190k
233k
174k152k
193k 184k
0k
50k
100k
150k
200k
250k
Q3-16 Q4-16 Q1-17 Q2-17 Q3-17 Q4-17 Q1-18 Q2-18 Q3-18 Q4-18 Q1-19 Q2-19 Q3-19 Q4-19
Average Monthly Job GrowthPrivate service-providing Goods-producing Government
5.6%
5.0%4.7%
4.1%3.9%
3.5%3%
4%
5%
6%
Dec-14 Dec-15 Dec-16 Dec-17 Dec-18 Dec-19
Unemployment Rate
2.9%
1%
2%
3%
4%
Dec-14 Dec-15 Dec-16 Dec-17 Dec-18 Dec-19
Average Hourly Earnings
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PFM Asset Management LLC
Inflation Lingering Below Fed’s 2% Target
Source: Bloomberg, as of 12/31/19.
-2%
-1%
0%
1%
2%
3%
4%
Nov-15 Nov-16 Nov-17 Nov-18 Nov-19
Goods vs Services
Core CPI Services YoY Core CPI Goods YoY
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
Nov-15 Nov-16 Nov-17 Nov-18 Nov-19
Core PCE
Core PCE YoY
“We want inflation expectations
centered right at 2%, …and
make sure that they are because
we look around the world and we
see disinflationary forces.”
– Jerome Powell, Fed Chair
October 8, 2019
Price pressures on goods are trending upwards amid tariff measures.
Price pressures on services are higher, but stable.
Fed’s 2% Inflation Target
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PFM Asset Management LLC
• Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. TheCommittee decided to maintain the target range for the federal funds rate at 1½ to 1¾ percent.
• The Committee judges that the current stance of monetary policy is appropriate to support sustained expansion of
economic activity, strong labor market conditions, and inflation near the Committee’s symmetric 2 percent objective.
• The Committee will continue to monitor the implications of incoming information for the economic outlook including
global developments and muted inflation pressures, as it assesses the appropriate path of the target range for the
federal funds rate.
The Fed Held Rates Steady at Final Meeting of 2019
Source: Federal Reserve.
• Information received since the FOMC met in October indicates that the
labor market remains strong and that economic activity has been rising
at a moderate rate.
• Job gains have been solid, on average, in recent months, and the
unemployment rate has remained low. Although household spendinghas been rising at a strong pace, business fixed investment andexports remain weak.
• On a 12-month basis, overall inflation and inflation for items otherthan food and energy are running below 2 percent. Market-based
measures of inflation compensation remain low; survey-based measures
of longer-term inflation expectations are little changed.
December
11
9
PFM Asset Management LLC
Federal Reserve on Hold for Foreseeable Future
Source: Federal Reserve and Bloomberg. Individual dots represent each Fed members’ judgement of the midpoint of the appropriate target range for the federal funds rate at each year-end. Fed funds futures as of 12/11/19.
0%
1%
2%
3%
4%
Fed Participants’ Assessments of ‘Appropriate’ Monetary Policy
Dec-19 FOMC Projections
Dec-19 Median
Fed Funds Futures
2019 2020 2021 Longer Term2022
History of RecentFed Rate Moves
Dec ’19 1.50 – 1.75%
Oct ’19 1.50 – 1.75%
Sept ’19 1.75 – 2.00%
July ’19 2.00 – 2.25%
Dec ’18 2.25 – 2.50%
Sept ’18 2.00 – 2.25%
Jun ’18 1.75 – 2.00%
Mar ’18 1.50 – 1.75%
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PFM Asset Management LLC
0.5%
1.0%
1.5%
2.0%
2.5%
Dec '16 Dec '17 Dec '18 Dec '19 Dec '20
The Fed Signals It Is Likely on Hold for an Extended Period of Time
target rate (mid-point)
Market Projection
Federal Reserve Target Overnight Rate
20173
20184
20193
Source: Bloomberg. Market Projection as of December 31, 2019.
“As long as incoming information about the economy remains broadly consistent with [the current economic] outlook, the current stance of monetary policy likely will remain appropriate.”
– Fed Chair Jerome PowellDecember 11, 2019
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PFM Asset Management LLC
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
3M
1Y
2Y
3Y
4Y
5Y
10Y
30Y
Yiel
d
Maturity
December 31, 2019
September 30, 2019
December 31, 2018
Source: Bloomberg, as of 12/31/19.
Yield Curve Steepens Amid Positive Trade Outlook
Tenor 12/31/19 09/30/19 12/31/2018
3 month 1.54% 1.81% 2.35%
1 year 1.57% 1.74% 2.60%
2 year 1.57% 1.62% 2.49%
3 year 1.61% 1.56% 2.46%
5 year 1.69% 1.54% 2.51%
10 year 1.92% 1.66% 2.68%
30 year 2.39% 2.11% 3.01%
U.S. Treasury Yield Curve
12
PFM Asset Management LLC
Yield Environment as of December 31, 2019
Source: Bloomberg BVAL yield curves for Treasury, Agency, and Corporate. 3-month corporate yields from commercial paper; A-1+ for AA and A-1 for A. Yields are for indicative purposes only; actual yields may vary by issue.
Maturity Treasury FederalAgency
AA Corporate
A Corporate
3-Month 1.54% 1.54% 1.83% 1.91%
1-Year 1.57% 1.42% 1.77% 1.86%
2-Year 1.57% 1.56% 1.74% 1.86%
3-Year 1.61% 1.61% 1.80% 1.93%
5-Year 1.69% 1.65% 2.00% 2.15%
10-Year 1.92% 1.99% 2.48% 2.67%
13
PFM Asset Management LLC
Sector Our Investment Preferences CommentsC O M M E R C I A L P A P E R
/ C D• Money market credit spreads remain attractive. New issue supply may
increase in the new year.
T R E A S U R I E S • T-Bills have rallied further on Fed purchases and low repo rates. Other short-
term instruments remain relatively more attractive.
• Given tight spreads in other sectors and the December uptick in rates, T-
Notes offer attractive yield.
T-BillT-Note
F E D E R A L A G E N C I E S • Bullet valuations remain near historical tights across the curve and continue
to trade in a relatively narrow range. New issues should be evaluated for
opportunities to add relative value; otherwise, Treasuries should be preferred.
• Redemptions remained elevated during Q4 but have started to slow as rates
have begun to stabilize. As a result, new issue supply has slowed as well.
Spread pickup vs. bullets remains well below YTD averages, with little
chance for outperformance. Accounts should favor bulleted structures vs.
callable.
BulletsCallables
S U P R A N AT I O N A L S• Spreads remain anchored across the curve. Expect modestly wider spreads
in Q1 on account of higher issuer funding targets and favorable USD basis.
New issues should be evaluated for opportunities to add relative value.
C O R P O R AT E S • Solid economic data, an accommodative Fed, and positive technicals
continue to support the corporate sector. Tight valuations limit the potential
for outperformance in 2020. A growing list of uncertainties and pending
supply could result in wider spreads and better buying opportunities.
FinancialsIndustrials
S E C U R I T I Z E D • AAA-rated ABS yield spreads widened during December and are currently
near their 3 year historic average. Broad measures of auto ABS spreads are
comparable to spreads on high quality corporate securities.
• Q4 saw strong excess returns from MBS as spreads narrowed significantly.
Buyers were enticed by higher spreads, lower volatility and the expectation
that the Fed is on hold.
• Agency CMBS spreads widened in December. The sector has good relative
value compared to less structured MBS and other government sectors.
Asset-BackedAgency Mortgage-Backed
Agency CMBS
M U N I C I P A L S • Value remains in new issue taxable deals which continue to be driven by the
surge in taxable issuance, an alternative to tax-exempt advance refundings.
Negative Slightly Negative Neutral Slightly
Positive Positive
Fixed-Income Sector Outlook – January 2020
Current outlook Outlook one month ago
14
Portfolio Characteristics and Investment Strategy
PFM Asset Management LLC
Portfolio Recap
Our strategy throughout the fourth quarter included the following elements:
• Following three consecutive Fed rate cuts, we continued to maintain portfolio durations in line with benchmarks for the
quarter as market expectations called for stable rates well into 2020.
• We maintained broad diversification across all permitted fixed income sectors. Although most sector spread levels were on
the tighter end of their recent trading history, the incremental income was generally additive to performance in a range-
bound interest rate environment in the fourth quarter.
• We continued to de-emphasize agencies and supranationals, generally reducing allocations in favor of other sectors. Value
in federal agency and supranational issuers remained extremely limited, largely on scarce supply. Spreads remained near
historically tight levels, capping both sectors’ excess returns in the fourth quarter. In some instances, agencies were trading
at yields less than similar-maturity Treasuries. We also largely avoided callable agencies during the quarter as early
redemption risk remained elevated.
• Corporate bonds performed top-of-class once again as yield spreads tightened to their lowest in 2019 and approached
post-recession lows. As a result, investment-grade (IG) corporates generated attractive excess returns for the fourth
quarter, with lower-quality issuers once again outperforming those of higher quality. Year-to-date excess returns from IG
corporates were fantastic, generating 100 to 200 basis points (1% to 2%) of incremental return relative to similar duration
Treasuries. Our corporate sector strategy during the fourth quarter included opportunistic selling, booking profits on the
most expensive issues and modestly de-risking portfolios as spreads moved to very narrow levels.
• Asset-backed securities (ABS) allocations were maintained during the quarter as principal paydowns were largely offset by
modest new issue additions. Excess returns were muted as incremental income offset the impact of spread widening.
• Following a volatile third quarter in which we opportunistically added to mortgage-backed security (MBS) allocations, the
fourth quarter saw a retracement of both volatility and spreads. As a result, the prior-period purchases were a boon for
portfolio performance as MBS generated relatively attractive excess returns in the quarter.
• In the municipal sector, taxable issuance volume remained elevated. New issue yield concessions provided good value for
portfolios compared to other government alternatives and even some high-grade corporates. Excess returns from the
sector helped buoy portfolio performance, especially for government-focused strategies.
• Short-term investors found opportunities from wider spreads on money market credit investments (commercial paper and
negotiable bank CDs). Increased allocations to these sectors at attractive levels helped cushion the impact of the Fed’s
lower overnight target rate.
16
PFM Asset Management LLC
Investment Program Summary
Source: PFM statement 12/31/2019
Investment Type Amount Yield Note
CSIP Liquid $33,281,254 1.77%
Liquidity poolMonthly Distribution
CSIP Term $0 - Term maturities based on cash flow
needsWeighted Average
Investment Portfolio $41,210,293
2.26%
Yield at CostBenchmarked to the ICE BofAML 1-3
Year Treasury Index1.67%
Yield at Market
Total $74,491,547
17
Portfolio Holdings
HIGHLANDS RANCH METRO DISTRICT
For the Quarter Ended December 31, 2019
Portfolio Snapshot
Portfolio Statistics
As of December 31, 2019
$40,618,644
$41,210,293
$40,967,117
$243,176
-
Accrued Interest:
Cash:
Par Value:
Total Market Value:
Security Market Value:
$40,583,963
1.67%
2.26%
AAAverage Credit: *
Yield at Cost:
Amortized Cost:
Yield at Market:
Effective Duration: 1.79 Years
Duration to Worst: 1.73 Years
Average Maturity: 1.89 Years
Credit Quality (S&P Ratings)
2.0%
A+
1.9%
A-1
4.4%
AA
5.9%
AA-
76.4%
AA+
7.2%
AAA
2.2%
Not Rated
0%
10%
20%
30%
40%
50%
0 - 1 Year 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years > 5 Years
6.7%
42.4%
48.6%
1.8% 0.5% 0.0%
Maturity Distribution
Sector Allocation
5.9%
Certificate
of Deposit
6.6%
Corporate
7.5%
Federal
Agency/CMO
9.2%
Federal
Agency/GSE
8.4%
Municipal
6.2%
Supra-Sov /
Supra-Natl
Agency
56.2%
U.S.
Treasury
PFM Asset Management LLC
* An average of each security’s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio.
19
HIGHLANDS RANCH METRO DISTRICT
For the Quarter Ended December 31, 2019
Portfolio Performance
Portfolio Performance (Total Return)
Effective
DurationPortfolio/Benchmark
Annualized Return
09/30/19 03/31/1912/31/19 06/30/19
Quarter Ended
5 Year1 Year 3 Year
HIGHLANDS RANCH METRO DISTRICT 1.79 0.49% 3.74% 2.03% 1.59%0.69% 1.43% 1.09%
ICE BofAML 1-3 Year U.S. Treasury Index 1.80 0.51% 3.55% 1.84% 1.39%0.58% 1.44% 0.98%
Difference 0.19%-0.02% 0.19% 0.20%0.11% -0.01% 0.11%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
12/31/19 09/30/19 06/30/19 03/31/19 1 Year 3 Year 5 Year
0.49%0.69%
1.43%
1.09%
3.74%
2.03%
1.59%
0.51% 0.58%
1.44%
0.98%
3.55%
1.84%
1.39%
To
tal R
etu
rn
HIGHLANDS RANCH METRO DISTRICT ICE BofAML 1-3 Year U.S. Treasury Index
PFM Asset Management LLC
Portfolio performance is gross of fees unless otherwise indicated.
20
HIGHLANDS RANCH METRO DISTRICT
For the Quarter Ended December 31, 2019
Portfolio Composition
Sector Allocation
December 31, 2019 September 30, 2019 June 30, 2019 March 31, 2019
% of TotalMV ($MM)Sector % of Total% of Total% of Total MV ($MM)MV ($MM)MV ($MM)
U.S. Treasury 23.0 56.2% 19.4 47.6% 21.8 53.8% 22.3 55.7%
Federal Agency/GSE 3.8 9.2% 5.0 12.3% 4.8 11.9% 5.1 12.8%
Municipal 3.4 8.4% 3.1 7.7% 2.9 7.2% 2.9 7.2%
Federal Agency/CMO 3.1 7.5% 3.3 8.2% 2.7 6.7% 2.2 5.4%
Corporate 2.7 6.6% 3.7 9.0% 3.0 7.3% 1.8 4.6%
Supra-Sov / Supra-Natl Agency 2.6 6.2% 2.9 7.2% 2.9 7.2% 3.3 8.3%
Certificate of Deposit 2.4 5.9% 3.2 8.0% 2.4 5.9% 2.4 6.0%
$41.0 100.0% $40.7 100.0% $40.5 100.0% $40.0 100.0%Total
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
December 2019 September 2019 June 2019 March 2019
Certif icate of Deposit
Supra-Sov / Supra-Natl
Agency
Corporate
Federal Agency/CMO
Municipal
Federal Agency/GSE
U.S. Treasury
PFM Asset Management LLC
Detail may not add to total due to rounding.
21
For the Month Ending December 31, 2019Managed Account Detail of Securities Held
HIGHLANDS RANCH METRO DISTRICT - 36161000
Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value
Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle
Par
U.S. Treasury Bond / Note
US TREASURY NOTES
DTD 10/31/2015 1.375% 10/31/2020
199,539.00 199,452.63 468.41 198,031.25 10/17/1710/17/17AaaAA+ 200,000.00 912828L99 1.71
US TREASURY NOTES
DTD 10/31/2015 1.375% 10/31/2020
573,674.63 573,728.04 1,346.67 570,373.04 10/05/1710/03/17AaaAA+ 575,000.00 912828L99 1.64
US TREASURY NOTES
DTD 11/30/2015 1.625% 11/30/2020
834,804.61 833,906.08 1,186.34 831,379.49 11/03/1711/01/17AaaAA+ 835,000.00 912828M98 1.77
US TREASURY NOTES
DTD 12/31/2015 1.750% 12/31/2020
390,365.82 389,385.11 18.75 388,141.40 12/05/1712/01/17AaaAA+ 390,000.00 912828N48 1.91
US TREASURY NOTES
DTD 12/31/2015 1.750% 12/31/2020
475,445.55 474,231.94 22.84 472,680.66 12/06/1712/01/17AaaAA+ 475,000.00 912828N48 1.91
US TREASURY NOTES
DTD 01/31/2014 2.125% 01/31/2021
376,962.75 376,773.81 3,334.75 376,992.19 11/12/1911/08/19AaaAA+ 375,000.00 912828B58 1.68
US TREASURY NOTES
DTD 01/31/2016 1.375% 01/31/2021
1,346,256.45 1,340,310.33 7,768.00 1,323,000.00 01/04/1801/02/18AaaAA+ 1,350,000.00 912828N89 2.05
US TREASURY NOTES
DTD 02/29/2016 1.125% 02/28/2021
745,605.75 738,977.03 2,851.13 721,845.70 02/16/1802/15/18AaaAA+ 750,000.00 912828P87 2.42
US TREASURY NOTES
DTD 05/15/2018 2.625% 05/15/2021
912,375.00 901,200.82 3,050.48 901,898.44 02/28/1902/28/19AaaAA+ 900,000.00 9128284P2 2.53
US TREASURY NOTES
DTD 06/02/2014 2.000% 05/31/2021
1,734,501.30 1,710,193.88 3,016.39 1,694,340.82 06/06/1806/04/18AaaAA+ 1,725,000.00 912828WN6 2.62
US TREASURY NOTES
DTD 08/15/2018 2.750% 08/15/2021
81,459.36 80,227.63 830.98 80,362.50 12/31/1812/27/18AaaAA+ 80,000.00 9128284W7 2.57
US TREASURY NOTES
DTD 08/15/2011 2.125% 08/15/2021
105,877.70 105,825.18 842.78 105,902.34 11/05/1911/04/19AaaAA+ 105,000.00 912828RC6 1.63
US TREASURY NOTES
DTD 08/15/2011 2.125% 08/15/2021
1,058,776.95 1,061,837.65 8,427.82 1,063,576.17 10/04/1910/03/19AaaAA+ 1,050,000.00 912828RC6 1.42
US TREASURY NOTES
DTD 08/15/2018 2.750% 08/15/2021
2,036,484.00 2,000,933.18 20,774.46 2,001,640.63 09/07/1809/05/18AaaAA+ 2,000,000.00 9128284W7 2.72
PFM Asset Management LLC 22
For the Month Ending December 31, 2019Managed Account Detail of Securities Held
HIGHLANDS RANCH METRO DISTRICT - 36161000
Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value
Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle
Par
U.S. Treasury Bond / Note
US TREASURY NOTES
DTD 09/02/2014 2.000% 08/31/2021
780,116.55 778,367.53 5,237.64 779,177.73 08/05/1908/02/19AaaAA+ 775,000.00 912828D72 1.73
US TREASURY NOTES
DTD 10/31/2016 1.250% 10/31/2021
223,646.40 223,549.34 479.05 223,426.76 11/05/1911/01/19AaaAA+ 225,000.00 912828T67 1.61
US TREASURY NOTES
DTD 10/31/2016 1.250% 10/31/2021
695,788.80 696,298.86 1,490.38 695,980.47 11/04/1910/31/19AaaAA+ 700,000.00 912828T67 1.54
US TREASURY NOTES
DTD 01/15/2019 2.500% 01/15/2022
1,476,224.70 1,452,043.46 16,745.92 1,452,888.67 02/11/1902/08/19AaaAA+ 1,450,000.00 9128285V8 2.43
US TREASURY NOTES
DTD 01/15/2019 2.500% 01/15/2022
1,705,294.05 1,673,319.07 19,344.43 1,672,579.10 01/31/1901/29/19AaaAA+ 1,675,000.00 9128285V8 2.55
US TREASURY NOTES
DTD 01/31/2017 1.875% 01/31/2022
2,615,233.40 2,567,431.96 20,400.82 2,552,671.88 01/09/1901/07/19AaaAA+ 2,600,000.00 912828V72 2.50
US TREASURY NOTES
DTD 02/15/2019 2.500% 02/15/2022
254,746.00 251,087.32 2,360.73 251,455.08 04/03/1904/01/19AaaAA+ 250,000.00 9128286C9 2.29
US TREASURY NOTES
DTD 02/15/2019 2.500% 02/15/2022
1,197,306.20 1,174,072.18 11,095.45 1,173,714.85 03/05/1903/01/19AaaAA+ 1,175,000.00 9128286C9 2.54
UNITED STATES TREASURY NOTES
DTD 04/15/2019 2.250% 04/15/2022
613,886.24 605,334.59 2,901.02 605,425.39 05/03/1905/01/19AaaAA+ 605,000.00 9128286M7 2.23
US TREASURY NOTES
DTD 08/31/2017 1.625% 08/31/2022
250,205.00 249,407.69 1,372.77 249,345.70 09/20/1909/19/19AaaAA+ 250,000.00 9128282S8 1.72
UNITED STATES TREASURY NOTES
DTD 10/15/2019 1.375% 10/15/2022
795,124.80 797,188.61 2,344.26 797,031.25 11/04/1910/31/19AaaAA+ 800,000.00 912828YK0 1.50
UNITED STATES TREASURY NOTES
DTD 10/15/2019 1.375% 10/15/2022
1,515,706.65 1,514,559.61 4,468.75 1,514,277.34 12/04/1912/02/19AaaAA+ 1,525,000.00 912828YK0 1.63
142,181.02 22,995,407.66 22,769,643.53 2.18 22,698,138.85 22,840,000.00 Security Type Sub-Total
Supra-National Agency Bond / Note
PFM Asset Management LLC 23
For the Month Ending December 31, 2019Managed Account Detail of Securities Held
HIGHLANDS RANCH METRO DISTRICT - 36161000
Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value
Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle
Par
Supra-National Agency Bond / Note
INTL BANK OF RECONSTRUCTION AND DEV
NOTE
DTD 09/19/2017 1.561% 09/12/2020
375,078.75 374,785.56 1,772.39 374,100.00 09/19/1709/12/17AaaAAA 375,000.00 45905UP32 1.64
ASIAN DEVELOPMENT BANK NOTE
DTD 01/19/2018 2.250% 01/20/2021
286,688.34 284,890.70 2,867.81 284,695.05 01/19/1801/11/18AaaAAA 285,000.00 045167EF6 2.29
INTERNATIONAL FINANCE CORPORATION
NOTE
DTD 03/16/2018 2.635% 03/09/2021
579,718.45 574,823.26 4,713.72 574,568.75 03/16/1803/09/18AaaAAA 575,000.00 45950VLQ7 2.66
AFRICAN DEVELOPMENT BANK NOTE
DTD 03/22/2018 2.625% 03/22/2021
353,970.75 349,849.43 2,526.56 349,639.50 03/22/1803/14/18AaaAAA 350,000.00 00828ECZ0 2.66
INTER-AMERICAN DEVELOPMENT BANK
NOTE
DTD 04/19/2018 2.625% 04/19/2021
450,368.48 444,566.34 2,336.25 444,021.00 04/19/1804/12/18AaaAAA 445,000.00 4581X0DB1 2.70
INTL BANK OF RECONSTRUCTION AND DEV
NOTE
DTD 07/25/2018 2.750% 07/23/2021
508,312.50 499,377.62 6,034.72 498,830.00 07/25/1807/18/18AaaAAA 500,000.00 459058GH0 2.83
20,251.45 2,554,137.27 2,528,292.91 2.51 2,525,854.30 2,530,000.00 Security Type Sub-Total
Municipal Bond / Note
NY ST DORM AUTH PITS TXBL REV BONDS
DTD 12/21/2018 3.100% 03/15/2021
177,679.25 175,000.00 1,597.36 175,000.00 12/21/1812/12/18Aa1NR 175,000.00 64990FJN5 3.10
CA ST TXBL GO BONDS
DTD 04/27/2017 2.625% 04/01/2021
353,787.00 349,380.56 2,296.88 348,950.00 02/14/1902/12/19Aa2AA- 350,000.00 13063DAC2 2.77
CA ST TXBL GO BONDS
DTD 04/25/2018 2.800% 04/01/2021
440,637.60 435,005.47 3,045.00 435,017.40 04/25/1804/18/18Aa2AA- 435,000.00 13063DGA0 2.80
UNIV OF CAL TXBL REV BONDS
DTD 06/05/2018 3.029% 05/15/2021
147,456.30 145,000.00 561.21 145,000.00 06/05/1805/23/18Aa2AA 145,000.00 91412HBH5 3.03
NYC, NY TXBL GO BONDS
DTD 10/22/2019 1.680% 10/01/2021
329,224.50 330,000.00 1,062.60 330,000.00 10/22/1910/04/19Aa1AA 330,000.00 64966QED8 1.68
PFM Asset Management LLC 24
For the Month Ending December 31, 2019Managed Account Detail of Securities Held
HIGHLANDS RANCH METRO DISTRICT - 36161000
Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value
Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle
Par
Municipal Bond / Note
NY ST DORM AUTH PITS TXBL REV
BONDS
DTD 01/03/2020 1.935% 02/15/2022
200,208.00 200,000.00 0.00 200,000.00 01/03/2012/19/19Aa1NR 200,000.00 64990FQN7 1.94
HOUSTON, TX TXBL GO BONDS
DTD 09/10/2019 1.785% 03/01/2022
269,427.60 270,000.00 1,486.01 270,000.00 09/10/1908/23/19Aa3AA 270,000.00 4423315R1 1.79
UNIV OF CO TXBL REV BONDS
DTD 08/20/2019 2.063% 06/01/2022
181,017.00 180,000.00 309.45 180,000.00 08/20/1907/10/19Aa1NR 180,000.00 91417K2T7 2.06
HONOLULU, HI TXBL GO BONDS
DTD 08/21/2019 1.739% 08/01/2022
324,600.25 325,000.00 2,040.91 325,000.00 08/21/1908/08/19Aa1NR 325,000.00 438687KR5 1.74
SAN JOSE, CA TXBL GO BONDS
DTD 07/25/2019 2.300% 09/01/2022
374,103.30 372,093.73 2,836.67 372,427.20 07/25/1907/09/19Aa1AA+ 370,000.00 798135H44 2.08
NYC TRANS FIN AUTH, NY TXBL REV BONDS
DTD 04/12/2019 2.520% 11/01/2022
405,724.00 400,000.00 1,680.00 400,000.00 04/12/1903/27/19Aa1AAA 400,000.00 64971XHY7 2.52
NYC, NY TXBL GO BONDS
DTD 08/13/2019 2.080% 08/01/2023
224,732.25 226,089.95 1,794.00 226,165.50 09/27/1909/25/19Aa1AA 225,000.00 64966QBZ2 1.94
18,710.09 3,428,597.05 3,407,569.71 2.28 3,407,560.10 3,405,000.00 Security Type Sub-Total
Federal Agency Collateralized Mortgage Obligation
FHMS SERIES K015 A2
DTD 11/01/2011 3.230% 07/25/2021
266,898.31 264,306.02 709.70 265,311.84 06/26/1806/21/18AaaAA+ 263,663.94 3137AH6C7 2.69
FNA 2018-M5 A2
DTD 04/01/2018 3.560% 09/25/2021
169,332.82 169,292.65 497.40 170,996.84 04/30/1804/11/18AaaAA+ 167,661.88 3136B1XP4 2.27
FHMS KJ23 A1
DTD 12/01/2018 3.174% 03/01/2022
110,487.36 109,178.02 288.78 109,178.02 12/14/1812/07/18AaaAA+ 109,178.89 3137FKK70 3.05
FHMS K019 A2
DTD 08/01/2012 2.272% 03/25/2022
200,378.96 198,108.69 377.35 197,835.05 04/03/1903/29/19AaaAA+ 199,306.49 3137ASNJ9 2.65
FHMS K023 A1
DTD 12/01/2012 1.583% 04/25/2022
120,599.41 119,106.45 159.77 118,056.90 07/17/1807/12/18AaaAA+ 121,117.98 3137AWQG3 2.87
PFM Asset Management LLC 25
For the Month Ending December 31, 2019Managed Account Detail of Securities Held
HIGHLANDS RANCH METRO DISTRICT - 36161000
Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value
Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle
Par
Federal Agency Collateralized Mortgage Obligation
FHLMC MULTIFAMILY STRUCTURED P
DTD 11/01/2015 2.716% 06/25/2022
202,947.60 199,751.17 452.67 199,751.17 03/18/1903/13/19AaaAA+ 200,000.00 3137BLUR7 2.68
FHLMC MULTIFAMILY STRUCTURED P
DTD 12/01/2012 2.355% 07/25/2022
201,543.92 202,150.05 392.50 202,437.50 08/19/1908/14/19AaaAA+ 200,000.00 3137AVXN2 1.44
FHLMC MULTIFAMILY STRUCTURED P
DTD 05/01/2013 2.510% 11/25/2022
202,770.18 201,460.84 418.33 201,750.00 06/17/1906/12/19AaaAA+ 200,000.00 3137B1BS0 1.92
FHLMC MULTIFAMILY STRUCTURED P
DTD 05/01/2013 2.510% 11/25/2022
202,770.18 202,952.65 418.33 203,312.50 08/16/1908/13/19AaaAA+ 200,000.00 3137B1BS0 1.43
FANNIEMAE-ACES
DTD 02/01/2013 2.509% 11/25/2022
384,442.62 383,998.23 794.32 384,667.62 06/27/1906/24/19AaaAA+ 379,977.28 3136ACGJ4 1.70
FNA 2013-M7 A2
DTD 05/01/2013 2.280% 12/25/2022
132,707.32 132,846.12 250.99 132,921.36 09/16/1909/11/19AaaAA+ 132,098.25 3136AEGQ4 1.82
FNA 2013-M7 A2
DTD 05/01/2013 2.280% 12/25/2022
175,837.20 177,107.55 332.56 177,323.26 09/09/1909/04/19AaaAA+ 175,030.19 3136AEGQ4 1.42
FHMS K036 A1
DTD 02/01/2014 2.777% 04/25/2023
137,915.42 135,152.30 315.30 134,907.34 11/26/1811/20/18AaaAA+ 136,248.54 3137B7EZ8 3.14
FHMS J22F A1
DTD 11/01/2018 3.454% 05/25/2023
237,443.63 231,606.46 666.66 231,606.45 11/19/1811/07/18AaaAA+ 231,612.71 3137FJYA1 3.28
FHMS KP05 A
DTD 12/01/2018 3.203% 07/01/2023
120,740.52 118,085.85 315.19 118,085.85 12/17/1812/07/18AaaAA+ 118,086.20 3137FKK39 3.11
FHMS KJ27 A1
DTD 11/01/2019 2.092% 07/25/2024
213,738.80 214,656.91 374.23 214,656.91 11/26/1911/20/19AaaAA+ 214,662.06 3137FQ3V3 2.03
6,764.08 3,080,554.25 3,059,759.96 2.27 3,062,798.61 3,048,644.41 Security Type Sub-Total
Federal Agency Bond / Note
FANNIE MAE NOTES
DTD 06/25/2018 2.750% 06/22/2021
559,301.60 549,935.92 378.13 549,873.50 06/25/1806/22/18AaaAA+ 550,000.00 3135G0U35 2.76
FEDERAL HOME LOAN BANKS NOTES
DTD 10/12/2018 3.000% 10/12/2021
819,568.00 799,720.05 5,266.67 799,536.00 11/06/1811/02/18AaaAA+ 800,000.00 3130AF5B9 3.02
PFM Asset Management LLC 26
For the Month Ending December 31, 2019Managed Account Detail of Securities Held
HIGHLANDS RANCH METRO DISTRICT - 36161000
Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value
Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle
Par
Federal Agency Bond / Note
FANNIE MAE NOTES
DTD 01/11/2019 2.625% 01/11/2022
408,093.60 400,074.81 4,958.33 400,104.00 01/31/1901/29/19AaaAA+ 400,000.00 3135G0U92 2.62
FANNIE MAE NOTES
DTD 01/11/2019 2.625% 01/11/2022
413,194.77 404,800.41 5,020.31 404,708.40 01/11/1901/09/19AaaAA+ 405,000.00 3135G0U92 2.65
FEDERAL HOME LOAN BANK
DTD 06/01/2012 2.125% 06/10/2022
758,639.25 754,699.37 929.69 755,632.50 07/01/1907/01/19AaaAA+ 750,000.00 313379Q69 1.86
FEDERAL HOME LOAN BANK
DTD 06/01/2012 2.125% 06/10/2022
809,215.20 804,618.00 991.67 805,624.00 06/14/1906/13/19AaaAA+ 800,000.00 313379Q69 1.88
17,544.80 3,768,012.42 3,713,848.56 2.42 3,715,478.40 3,705,000.00 Security Type Sub-Total
Corporate Note
TOYOTA MOTOR CREDIT CORP CORP
NOTES
DTD 01/08/2019 3.050% 01/08/2021
151,814.55 149,953.44 2,198.54 149,910.00 01/08/1901/03/19Aa3AA- 150,000.00 89236TFQ3 3.08
EXXON MOBIL CORPORATE (CALLABLE)
NOTES
DTD 03/03/2016 2.222% 03/01/2021
402,361.20 397,629.84 2,962.67 394,076.00 03/06/1803/02/18AaaAA+ 400,000.00 30231GAV4 2.74
TOYOTA MOTOR CREDIT CORP NOTES
DTD 04/13/2018 2.950% 04/13/2021
157,337.71 155,031.24 990.71 155,071.30 04/13/1804/11/18Aa3AA- 155,000.00 89236TEU5 2.93
TOYOTA MOTOR CREDIT CORP NOTES
DTD 04/13/2018 2.950% 04/13/2021
248,695.09 244,957.05 1,565.96 244,902.00 04/13/1804/10/18Aa3AA- 245,000.00 89236TEU5 2.96
CHEVRON CORP (CALLABLE) NOTES
DTD 03/03/2017 2.498% 03/03/2022
406,701.20 399,479.72 3,275.16 399,328.00 05/17/1905/15/19Aa2AA 400,000.00 166764BN9 2.56
TOYOTA MOTOR CREDIT CORP
DTD 04/12/2019 2.650% 04/12/2022
254,462.25 253,029.28 1,453.82 253,667.50 07/02/1906/26/19Aa3AA- 250,000.00 89236TFX8 2.10
APPLE INC CORP NOTES
DTD 05/13/2015 2.700% 05/13/2022
409,186.00 404,169.93 1,440.00 405,100.00 06/14/1906/12/19Aa1AA+ 400,000.00 037833BF6 2.25
BERKSHIRE HATHAWAY INC CORP NOTE
DTD 05/15/2012 3.000% 05/15/2022
410,960.80 410,616.44 1,533.33 412,260.00 08/15/1908/12/19Aa2AA 400,000.00 084664BT7 1.85
PFM Asset Management LLC 27
For the Month Ending December 31, 2019Managed Account Detail of Securities Held
HIGHLANDS RANCH METRO DISTRICT - 36161000
Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value
Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle
Par
Corporate Note
EXXON MOBIL CORPORATION
DTD 08/16/2019 1.902% 08/16/2022
145,800.40 145,000.00 1,034.21 145,000.00 08/16/1908/13/19AaaAA+ 145,000.00 30231GBB7 1.90
APPLE INC
DTD 09/11/2019 1.700% 09/11/2022
119,915.52 119,981.63 623.33 119,979.60 09/11/1909/04/19Aa1AA+ 120,000.00 037833DL1 1.71
17,077.73 2,707,234.72 2,679,848.57 2.40 2,679,294.40 2,665,000.00 Security Type Sub-Total
Certificate of Deposit
BANK OF MONTREAL CHICAGO CERT DEPOS
DTD 08/03/2018 3.190% 08/03/2020
780,270.00 775,000.00 10,232.37 775,000.00 08/03/1808/01/18P-1A-1 775,000.00 06370REU9 3.23
NORDEA BANK ABP NEW YORK CERT DEPOS
DTD 08/29/2019 1.850% 08/26/2022
826,343.93 825,000.00 5,299.48 825,000.00 08/29/1908/27/19Aa3AA- 825,000.00 65558TLL7 1.87
SKANDINAV ENSKILDA BANK LT CD
DTD 09/03/2019 1.860% 08/26/2022
826,560.08 825,000.00 5,115.00 825,000.00 09/03/1908/29/19Aa2A+ 825,000.00 83050PDR7 1.88
20,646.85 2,433,174.01 2,425,000.00 2.31 2,425,000.00 2,425,000.00 Security Type Sub-Total
40,618,644.41 40,514,124.66 2.26 243,176.02 40,583,963.24 40,967,117.38 Managed Account Sub-Total
$40,618,644.41 $40,514,124.66 $243,176.02 $40,583,963.24 $40,967,117.38 2.26%
$41,210,293.40
$243,176.02
Total Investments
Accrued Interest
Securities Sub-Total
Bolded items are forward settling trades.
PFM Asset Management LLC 28
PFM Asset Management LLC
Investment Strategy Outlook
We expect the Fed to remain on hold for an extended period and rates to remain mostly range-bound in the near term. As a result,
we plan to continue a duration-neutral strategy relative to benchmarks.
Our outlook for the major investment-grade fixed income sectors is as follows:
• Federal agency yield spreads remain very tight after trading in a close range for most of 2019. We do not expect this to
change. We continue to favor further reductions in agency holdings as their benefit and upside are limited.
• In the supranational sector, we are positioned to take advantage of any seasonal uptick in new issuance, if yield spreads
represent fair value relative to other government sector alternatives. But we plan to remain on the sidelines until such
opportunities are available.
• In the IG corporate sector, we plan to continue to modestly reduce allocations and target a modestly higher average credit
quality. Although the credit markets are benefiting from stable fundamentals, positive earnings growth, and strong demand,
yield spreads have recently approached post-recession lows, making them less attractive.
• Yield spreads on AAA-rated asset backed securities (ABS) gradually ascended off multi-year lows to close 2019. In some
instances, ABS spreads are now wider than those on some high-grade corporate bonds. As a result, we view the ABS
sector as a strong alternative to corporates.
• A seasonal slowdown and a more stable rate environment are expected to restrain mortgage-backed securities (MBS)
prepayments, improving their risk-adjusted return prospects. Although we continue to favor structures that are less sensitive
to interest rate movements, like commercial MBS (CMBS) and well-seasoned mortgage pools, the spread environment
across structures and coupons make the sector more broadly attractive for longer-term allocations.
• We expect the recent surge of municipal issuance to continue in the near term, albeit at more moderate levels assuming
the Fed maintains their patient stance and the interest rate environment remains steady. We plan to monitor the sector for
instances where yield concessions offer attractive value relative to other government securities.
• In the money market space, a positively sloped yield curve and wide spreads have created opportunities for incremental
earnings potential.
29
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 its
accuracy, completeness or suitability. 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.
Dime
à Market values that include accrued interest are derived from closing bid prices as of the last business day of the month as supplied by Interactive Data, 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.
à 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.
à 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.
à Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets.
à Money market fund/cash balances are included in performance and duration computations.
à Standard & Poorʼs is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/LGIP holdings.
à 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.
à MBS maturities are represented by expected average life.
PFM Asset Management LLC 30
GLOSSARY
à ACCRUED INTEREST: Interest that is due on a bond or other fixed income security since the last interest payment was made.
à AGENCIES: Federal agency securities and/or Government-sponsored enterprises.
à 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.
à 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.
à COMMERCIAL PAPER: An unsecured obligation issued by a corporation or bank to finance its short-term credit needs, such as accounts receivable and inventory.
à CONTRIBUTION TO DURATION: Represents each sector or maturity range ’s relative contribution to the overall duration of the portfolio measured as a percentage weighting. Since
duration is a key measure of interest rate sensitivity, the contribution to duration measures the relative amount or contribution of that sector or maturity range to the total rate
sensitivity of the portfolio.
à DURATION TO WORST: A measure of the sensitivity of a security ’s price to a change in interest rates, stated in years, computed from cash flows to the maturity date or to the put
date, whichever results in the highest yield to the investor.
à EFFECTIVE DURATION: A measure of the sensitivity of a security’s price to a change in interest rates, stated in years.
à 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.
à FDIC: Federal Deposit Insurance Corporation. A federal agency that insures bank deposits to a specified amount.
à INTEREST RATE: Interest per year divided by principal amount and expressed as a percentage.
à MARKET VALUE: The value that would be received or paid for an investment in an orderly transaction between market participants at the measurement date.
à MATURITY: The date upon which the principal or stated value of an investment becomes due and payable.
à NEGOTIABLE CERTIFICATES OF DEPOSIT: A CD with a very large denomination, usually $1 million or more, that can be traded in secondary markets.
à PAR VALUE: The nominal dollar face amount of a security.
PFM Asset Management LLC 31
GLOSSARY
à 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.
à 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.
à 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.
à TRADE DATE: The date on which the transaction occurred; however, the final consummation of the security transaction and payment has not yet taken place.
à UNSETTLED TRADE: A trade which has been executed; however, the final consummation of the security transaction and payment has not yet taken place.
à U.S. TREASURY: The department of the U.S. government that issues Treasury securities.
à 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.
à 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.
à 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 32