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HomeMy WebLinkAbout2024 03 11 Awards/Presentations 100 - PFM Asset Management LLC Presentation: Quarterly Investment Report period ending 12/31/2023AWARDS AND PRESENTATIONS ITEM 100 CITY COMMISSION AGENDA | MARCH 11, 2024 REGULAR MEETING TITLE PFM Asset Management LLC Presentation on the highlights of the most recent Quarterly Investment Report for the period ending 12/31/2023. SUMMARY A representative from PFM Asset Management Group LLC will provide a brief presentation on the highlights of the most recent Quarterly Investment Report for the period for the period ending 12/31/2023. FUNDING SOURCE N/A RECOMMENDATION No Action needed at this time. 5 Investment Performance ReviewFor the Quarter Ended December 31, 2023Client Management TeamPFM Asset Management LLCScott Sweeten, BCM, CFS, Sr. Managing ConsultantSean Gannon, Senior Managing ConsultantRichard Pengelly, CFA, CIMA, CTP, Managing Director213 Market StreetHarrisburg, PA 17101-2141717-232-2723225 E. Robinson StreetOrlando, FL 32801407-406-5754CITY OF WINTER SPRINGSNOT FDIC INSURED : NO BANK GUARANTEE : MAY LOSE VALUEFor Institutional Investor or Investment Professional Use Only - This material is not for inspection by, distribution to, or quotation to the general public6 Rates Fall on Softer Inflation and Fed PivotPFM Asset Management LLC© PFM Asset Management LLC |pfmam.comFor the Quarter Ended March 31, 2022California Affiliated Risk Management AuthoritiesMarketUpdateCLIENT NAMEFor the Quarter Ended December 31, 2023MarketUpdateSource: Bloomberg, as of 12/31/2023.4.00%4.25%4.50%4.75%5.00%5.25%5.50%Oct-23Nov-23Dec-23Jan-242-Year US Treasury YieldWeek of November 27thFed speeches portend policy shift-41 bpsNovember 14thCPI inflation cools more than markets expected-20 bpsDecember 13thFed releases updated dot plot showing 3 cuts in ’24-30 bpsNovember 1st- 3rdFed keeps rates unchanged and Treasury slows pace of debt issuance-25 bpsCITY OF WINTER SPRINGSFor the Quarter Ended December 31, 2023Market Update© PFM Asset Management LLC pfmam.com|27 Source: Bloomberg, Economist Forecasts. For the Quarter Ended March 31, 2022California Affiliated Risk Management AuthoritiesMarketUpdateCLIENT NAMEFor the Quarter Ended December 31, 2023MarketUpdate© PFM Asset Management LLC |pfmam.comBalanced Risks Support Soft Landing2.2%2.1%4.9%2.6%1.3%1.7%0.0%1.0%2.0%3.0%4.0%5.0%6.0%Q1 '23 Q2 '23 Q3 '23 Q4 '23 2024 2025U.S. GDP ForecastsAnnualized RateActualRangeMedian of ForecastsEmploymentConsumerWagesManufacturingHousingInverted yield curveFed PolicyInflationCredit spreadsCITY OF WINTER SPRINGSFor the Quarter Ended December 31, 2023Market Update© PFM Asset Management LLC pfmam.com|38 Market Expects Lower RatesSource: Bloomberg, as of December 2023.© PFM Asset Management LLC |pfmam.comFor the Quarter Ended March 31, 2022California Affiliated Risk Management AuthoritiesMarketUpdateCLIENT NAMEFor the Quarter Ended December 31, 2023MarketUpdateExpectations for Fed Funds have reached their most dovish levels in 6 months in response to falling inflation, Fed pivot and moderating labor market2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%Dec-23Jun-24Dec-24Jun-25Dec-25Implied Fed Funds Rate6-Month RangeFed Funds as of December 29, 2023Fed Funds as of September 29, 2023-89 bps-108 bpsCITY OF WINTER SPRINGSFor the Quarter Ended December 31, 2023Market Update© PFM Asset Management LLC pfmam.com|49 Fed’s Updated “Dot Plot” Also Shows Lower Rate TrajectorySource: Federal Reserve. Individual dots represent each Fed members’ judgement of the midpoint of the appropriate target range for the federal funds rate at each year-end. © PFM Asset Management LLC |pfmam.comFor the Quarter Ended March 31, 2022California Affiliated Risk Management AuthoritiesMarketUpdateCLIENT NAMEFor the Quarter Ended December 31, 2023MarketUpdate0%1%2%3%4%5%6%Fed Participants’ Assessments of ‘Appropriate’ Monetary PolicyDec-23 FOMC ProjectionsDec-23 MedianSep-23 Median2023Longer Term202420252026CITY OF WINTER SPRINGSFor the Quarter Ended December 31, 2023Market Update© PFM Asset Management LLC pfmam.com|510 © PFM Asset Management LLC pfmam.comCITY OF WINTER SPRINGSFor the Quarter Ended December 31, 2023Portfolio Snapshot|Yield and duration calculations exclude cash and cash equivalents. Sector allocation includes market values and accrued interest.The portfolio’s benchmark is currently the ICE BofA 1 Year U.S Treasury Index. Prior to 6/30/11 it was the ICE BofA 1-3 Year Government 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 Snapshot - WINTER SPRINGS GENERAL CITY ACCOUNT¹Credit Quality - S&P68%32%100%0%20%40%60%80%100%120%0-1 Yr1-2 YrsPortfolioBenchmarkDuration DistributionCorporate | 28%U.S. Treasury | 27%Commercial Paper | 19%Federal Agency | 13%ABS | 9%Municipal | 2%Agency CMBS | 2%Sector AllocationAAA | 9%AA+ | 42%AA- | 4%A-1+ | 2%A+ | 6%A | 7%A- | 8%A-1 | 17%BBB+ | 2%Not Rated | 2%Portfolio StatisticsPortfolio Effective Duration0.71 yearsBenchmark Effective Duration0.88 yearsPortfolio Credit QualityAAYield At Market5.07%Yield At Cost4.54%Total Market Value$92,842,949.47$89,325,801.61Securities Sub-Total$2,938,439.87Cash$578,707.99Accrued Interest611 © PFM Asset Management LLC pfmam.comCITY OF WINTER SPRINGSFor the Quarter Ended December 31, 2023Portfolio 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, 2011.1.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 Year U.S Treasury Index. Prior to 6/30/11 it was the ICE BofA 1-3 Year Government Index. Source: Bloomberg.4.0.0%1.0%2.0%3.0%4.0%5.0%ReturnPortfolioBenchmarkNet of FeesPortfolio PerformanceMarket Value Basis Earnings3 Months1 Year3 Years5 Years10 YearsInterest Earned²$688,417 $2,354,539$3,360,735 $5,085,806 $7,007,399Change in Market Value$978,094 $2,262,736$659,151 $1,971,768 $1,955,413$1,666,511Total Dollar Return$4,617,275$4,019,886 $7,057,574 $8,962,812Total Return³Portfolio1.82%4.93%1.38%1.75%1.28%Benchmark⁴1.79%4.74%1.18%1.66%1.18%Basis Point Fee0.00%0.02%0.02%0.02%0.02%Net of Fee Return1.82%4.91%1.36%1.73%1.26%3 Months1 Year3 Years5 Years10 Years712 © PFM Asset Management LLC pfmam.comCITY OF WINTER SPRINGSFor the Quarter Ended December 31, 2023Portfolio Performance|The lesser of 10 years or since inception is shown. Performance inception date is March 31, 2011.1.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 - WINTER SPRINGS GENERAL CITY ACCOUNTAccrual Basis EarningsInterest Earned²Realized Gains / (Losses)³Change in Amortized CostTotal Earnings3 Months$688,417($36,462)$356,158$1,008,1131 Year$2,354,539($171,058)$1,107,921$3,291,4023 Years$3,360,735($215,391)$1,291,138$4,436,4825 Year$5,085,806($71,150)$2,071,306$7,085,96210 Year¹$7,007,399($21,128)$2,129,833$9,116,104813 © PFM Asset Management LLC pfmam.comCITY OF WINTER SPRINGSFor the Quarter Ended December 31, 2023Appendix|Important DisclosuresThis 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 toany 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 ExchangeCommission 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. Bankis 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. Theinformation 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 sourcesexternal to PFMAM and is generally believed to be reliable and available to the public; however, we cannot guarantee its accuracy, completeness or suitability. We relyon the client's custodian for security holdings and market values. Transaction dates reported by the custodian may differ from money manager statements. While effortsare 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 arefor illustrative purposes only and are not intended to be recommendations or advice regarding such issuers. Fixed income manager and index characteristics aregathered 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 ofthe 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 salescharges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges would cause investment performance to belower 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 asof 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 actualevents 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 datapresented 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.914