Investment Performance Review For the Quarter Ended March 31, 2017

Transcription

1 Investment Performance Review Investment Advisors Steven Alexander, CTP, CGFO, CPPT, Managing Director Robert Cheddar, CFA, Chief Credit Officer, Managing Director D. Scott Stitcher, CFA, Director Richard Pengelly, CFA, CTP, Director Rebecca Geyer, CTP, Senior Analyst Cody Raulerson, Analyst One Keystone Plaza, Suite 300 North Front & Market Streets Harrisburg, PA fax PFM Asset Management LLC 300 South Orange Avenue Suite 1170 Orlando, FL fax Page 1 of 50

2 TABLE OF CONTENTS Tab I Tab II Tab III Market Update Executive Summary Pooled Funds Long Term Pooled Funds Asset Allocation Chart Important Disclosures 2017 PFM Asset Management LLC Page 2 of 50

3 Tab I 2017 PFM Asset Management LLC Page 3 of 50

4 QUARTERLY MARKET SUMMARY SUMMARY The Trump trade dominated markets for much of the quarter pushing interest rate and equity prices higher, as the Trump administration and the Republican Party continued to push a bold agenda that promised new jobs, lower taxes, deregulation, and massive infrastructure spending. On March 15, with almost unanimous certainty from the market, the Federal Open Market Committee (FOMC) raised the federal funds target range by 0.25% to a range of 0.75% to 1.00%. The FOMC also released updated economic forecasts and a new dot plot. These were largely unchanged from the forecasts released in December. Central banks in the developed world outside of the United States continued to apply highly accommodative monetary policies as economic growth and inflation remained subdued. As a result, sovereign bond yields were at or near historic lows, with yields throughout Europe and Japan below 0%. Emerging markets experienced a resurgence this past quarter, after reeling from lack of positive investor sentiment, turning in a strong begining to ECONOMIC SNAPSHOT The pace of U.S. economic expansion slowed in the fourth quarter of Measurements of growth in the first quarter 2017 are forecasted to slow further, however, the labor market remained strong, consumer confidence continued to soar, business surveys picked up, and the housing market returned to near pre-crisis levels as the market continues to digest the size and scope of the Trump administration s proposed policies. U.S. gross domestic product (GDP) grew at a rate of 2.1% in the fourth quarter of 2016, a slowdown from the third quarter s pace of 3.5%. The deceleration reflected downturns in exports and federal government spending, and a deceleration in business investment. First quarter estimates are calling for further slowing in the pace of expansion to below 1.5% as consumer spending declines and business investment remains muted. The labor market added over 500,000 jobs in the first quarter as the unemployment rate declined to a decade low of 4.5% with the labor force participation rate rising to 63% for the first time in a year. Wage growth remained firm in the quarter, increasing at an annual rate of more than 2.5% during all three months. Confidence among Americans grew as the Conference Board s March reading increased to its highest level since the end of Manufacturing extended its expansion during the quarter with the ISM manufacturing PMI rebounding, Fixed Income Management after contracting over 2016 year-end, to its highest level since the end of On the housing front, existing home sales reached pre-crisis levels, selling at an annual rate of 5.69 million to start the year. INTEREST RATES Short-term (under five years) yields ended the first quarter higher, reflecting the Fed s March rate hike, while medium to long-term yields declined amid subdued inflation expectations. For much of the quarter, yields remained range bound until entering an upward trend at the start of March in anticipation of the expected FOMC March rate hike. They declined as the Fed reiterated its expectation for gradual tightening and the ability of the Trump administration to enact bold, pro-growth policies came into question. The 2-year Treasury yield ended the quarter only seven basis points over December 31, while the yield on the 10-year Treasury fell 6 basis points. In the money market space, shorter-term Treasury yields rose as the expectation for a Fed rate hike gained certainty. Yields on commercial paper and certificates of deposit did not increase. However, yields on short-term credit instruments remained elevated and offered incremental yield. SECTOR PERFORMANCE U.S. Treasury indexes posted positive returns in the first quarter of the year, the first positive quarter since the second quarter of Returns were largely generated by income rather than price appreciation as yields were little changed. Federal agency yield spreads remained near historically tight levels throughout the quarter as the supply-demand imbalance continued. The sector outperformed comparable maturity Treasuries for the third quarter in a row. Corporate yield spreads continued to tighten during the quarter, reaching multi-year lows, before drifting mildly wider at the end of March. The sector generated strong outperformance relative to comparable maturity Treasuries, as the sector turned in the sixth straight quarter of outperformance. Mortgage-backed securities (MBS) generally underperformed Treasuries due to duration extensions, and headline risk surrounding the potential reduction in the Fed s balance sheet holdings. Asset-backed securities (ABS) strongly outperformed Treasuries, as AAArated tranches, in our view, continued to offer good value, adding to returns and diversification PFM Asset Management LLC Page 4 of 50

5 QUARTERLY MARKET SUMMARY Fixed Income Management Economic Snapshot Labor Market Latest Dec '16 Mar '16 Unemployment Rate (left) vs. Change in Nonfarm Payrolls (right) Unemployment Rate Feb'17 4.7% 4.7% 5.0% 7% Change In Non-Farm Payrolls Unemployment Rate 375K Change In Non-Farm Payrolls Feb'17 235, , ,000 6% 250K Average Hourly Earnings (YoY) Feb'17 2.8% 2.9% 2.5% 5% 125K Personal Income (YoY) Feb'17 4.6% 3.6% 3.6% Initial Jobless Claims (week) 3/24/17 258, , ,000 4% 0 Feb '14 Aug '14 Feb '15 Aug '15 Feb '16 Aug '16 Feb '17 Growth Real GDP (QoQ SAAR) 2017Q4 2.1% 3.5% 0.9% GDP Personal Consumption (QoQ SAAR) 2017Q4 3.5% 3.0% 2.3% Retail Sales (YoY) Feb'17 5.7% 4.4% 1.7% ISM Manufacturing Survey (month) Mar' Existing Home Sales SAAR (month) Feb' mil mil mil. Inflation / Prices Personal Consumption Expenditures (YoY) Feb'17 2.1% 1.6% 0.8% Consumer Price Index (YoY) Feb'17 2.7% 2.1% 0.9% Consumer Price Index Core (YoY) Feb'17 2.2% 2.2% 2.2% % 4% 2% 0% -2% 3% 2% 1% Real GDP (QoQ) Dec '13 Jun '14 Dec '14 Jun '15 Dec '15 Jun '16 Dec '16 Consumer Price Index CPI (YoY) Core CPI (YoY) Crude Oil Futures (WTI, per barrel) Mar'17 $50.60 $53.72 $38.34 Gold Futures (oz.) Mar'17 $1,247 $1,152 $1,234 0% -1% Feb '14 Aug '14 Feb '15 Aug '15 Feb '16 Aug '16 Feb '17 1. Data as of Second Quarter Data as of Third Quarter 2015 Note: YoY = year over year, QoQ = quarter over quarter, SAAR = seasonally adjusted annual rate, WTI = West Texas Intermediate crude oil Source: Bloomberg PFM Asset Management LLC Page 5 of 50

6 QUARTERLY MARKET SUMMARY Fixed Income Management Interest Rate Overview U.S. Treasury Note Yields U.S. Treasury Yield Curve Yield 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% Sep '16 Oct '16 Nov '16 Dec '16 2-Year 5-Year 10-Year Yield 4% 3% 2% 1% 0% 3-yr 2-yr 1-yr 3-mo 5-yr 7-yr 10-yr Maturity March 31, 2017 December 31, 2016 March 31, yr U.S. Treasury Yields Yield Curves as of 3/31/17 Maturity March 31, 2017 December 31, 2016 Change over Quarter March 31, 2016 Change over Year 3-month 0.75% 0.50% 0.25% 0.20% 0.55% 1-year 1.02% 0.81% 0.21% 0.58% 0.44% 2-year 1.26% 1.19% 0.07% 0.72% 0.54% 5-year 1.92% 1.93% (0.01%) 1.21% 0.71% 10-year 2.39% 2.45% (0.06%) 1.77% 0.62% 30-year 3.01% 3.07% (0.06%) 2.61% 0.40% Yield 5% 4% 3% 2% 1% 0% 3-yr 2-yr 1-yr 3-mo 5-yr 7-yr 10-yr Maturity U.S. Treasury Federal Agency Industrial Corporates, A Rated 25-yr 30-yr Source: Bloomberg PFM Asset Management LLC Page 6 of 50

7 QUARTERLY MARKET SUMMARY Fixed Income Management BofA Merrill Lynch Index Returns As of 3/31/17 Returns for Periods ended 3/31/17 March 31, 2017 Duration Yield 3 Month 1 Year 3 Years 1-3 Year Indices U.S. Treasury % 0.26% 0.25% 0.72% Federal Agency % 0.30% 0.41% 0.83% U.S. Corporates, A-AAA rated % 0.60% 1.32% 1.41% Agency MBS (0 to 3 years) % 0.38% 0.40% 1.13% Taxable Municipals % 0.70% 2.26% 1.92% 1-5 Year Indices U.S. Treasury % 0.37% (0.10%) 1.14% Federal Agency % 0.41% 0.28% 1.16% U.S. Corporates, A-AAA rated % 0.80% 1.29% 1.96% Agency MBS (0 to 5 years) % 0.59% 0.39% 2.00% Taxable Municipals % 0.61% 2.12% 2.49% Master Indices (Maturities 1 Year or Greater) U.S. Treasury % 0.68% (1.47%) 2.32% Federal Agency % 0.74% 0.11% 2.00% U.S. Corporates, A-AAA rated % 1.11% 1.65% 3.54% Agency MBS (0 to 30 years) % 0.46% 0.18% 2.66% Taxable Municipals % 0.59% 1.49% 3.13% Returns for periods greater than one year are annualized. Source: BofA Merrill Lynch Indices PFM Asset Management LLC Page 7 of 50

8 QUARTERLY MARKET SUMMARY Fixed Income Management DISCLOSURES PFM is the marketing name for a group of affiliated companies providing a range of services. All services are provided through separate agreements with each company. This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation. Investment advisory services are provided by PFM Asset Management LLC which is registered with the Securities and Exchange Commission under the Investment Advisers Act of The information contained is not an offer to purchase or sell any securities. Additional applicable regulatory information is available upon request. For more information regarding PFM s services or entities, please visit The views expressed within this material constitute the perspective and judgment of PFM Asset Management LLC at the time of distribution and are subject to change. Information is obtained from sources generally believed to be reliable and available to the public; however, PFM Asset Management LLC cannot guarantee its accuracy, completeness, or suitability. This material is for general information purposes only and is not intended to provide specific advice or recommendation. The information contained in this report is not an offer to purchase or sell any securities PFM Asset Management LLC. Further distribution is not permitted without prior written consent PFM Asset Management LLC Page 8 of 50

9 Tab II 2017 PFM Asset Management LLC Page 9 of 50

10 EXECUTIVE SUMMARY The Portfolios are of high credit quality and invested in U.S. Treasury, Federal Agency, and commercial paper securities. The Short Term Portfolio s quarter ending yield to maturity at cost of 1.35% outperformed the benchmark s yield of 0.62% by 0.73%. The Long Term Fund Portfolio s quarterly total return performance of 0.26% matched the benchmark performance of 0.26%. For the last 12 months the Portfolio s total return performance of 0.32% outperformed the benchmark performance of 0.25%. PFM continued to actively manage the Long Term Fund Portfolio during the quarter and found value in the market, taking advantage of market inefficiencies or changes in economic outlook. As a result, the Portfolio realized $880 in gains on sales (based on amortized cost) during the quarter. PFM is continually in the market monitoring for opportunities to add value to the Portfolio. Yields remained within a narrow range through the first couple months before rising strongly in anticipation of the March FOMC rate hike as Fed officials made a concerted effort to telegraph expectations. Yields on the short-end of the curve ended the quarter higher, reflecting the rate hike, while long-term yields declined alongside future inflation expectations. We expect the Fed to remain on track to make two additional rate hikes in 2017, matching the three hikes projected for 2017 by the Committee s dot plot. In addition, a potential reduction in the size of the Fed s balance sheet later in the year could have significant implications for the markets. Since yields are currently stable and we expect no action at the next FOMC meeting in May, we are targeting portfolio durations to closely match that of benchmarks. We will continue to revisit this position regularly, especially in light of the potential for higher yields later in the year. We will continue to monitor incoming economic data, Fed policy, and market relationships, adjusting portfolio positioning as needed. This will include monitoring and assessing the policies of the incoming Trump administration for their impact on economic and market conditions PFM Asset Management LLC Page 10 of 50

11 CITY OF ROWLETT, TEXAS Portfolio Statistics Summary Portfolio Statistics Amortized Cost 1,2,3 Amortized Cost 1,2,3 Market Value 1,2,3 Market Value 1,2,3 Duration (Years) Account Name March 31, 2017 December 31, 2016 March 31, 2017 December 31, 2016 March 31, 2017 Pooled Funds $1,093,285 $1,098,044 $1,093,307 $1,098, Long Term Pooled Fund 13,467,076 13,475,084 13,423,529 13,432, TexPool 39,526,243 37,650,828 39,526,243 37,650, American National Bank of Texas 6,196,626 9,613,150 6,196,626 9,613, Total $60,283,230 $61,837,106 $60,239,704 $61,794, Yield to Maturity Yield to Maturity Yield to Maturity Yield to Maturity at Cost 4 at Cost 4 at Market at Market Duration (Years) Account Name March 31, 2017 December 31, 2016 March 31, 2017 December 31, 2016 December 31, 2016 Pooled Funds 1.35% 1.09% 1.34% 0.77% Long Term Pooled Fund 1.10% 1.04% 1.27% 1.15% TexPool % 0.46% 0.62% 0.46% American National Bank of Texas 0.00% 0.00% 0.00% 0.00% Weighted Average YTM 0.68% 0.52% 0.72% 0.54% Monthly Interest earnings YTD 6, 7 October 2016 $3,018 April 2017 $0 November 2016 ($42,137) May 2017 $0 December 2016 $20,912 June 2017 $0 January 2017 $32,514 July 2017 $0 February 2017 $32,141 August 2017 $0 March 2017 $28,519 September 2017 $0 Total Fiscal Year Net Earnings $74,966 Notes: 1. On a trade-date basis, including accrued interest. 2. In order to comply with GASB accrual accounting reporting requirements; forward settling trades are included in the monthly balances. 3. Excludes any money market fund/cash balances held in custodian account. 4. Past performance is not indicative of future results. 5. TexPool yield is obtained from 6. Earnings are calculated on a cash basis and are subject to the receipt of coupon payments, maturities within the portfolio, and money market fund balances PFM Asset Management LLC Page 11 of 50

12 CITY OF ROWLETT, TEXAS Summary Portfolio Amortized Cost and Market Value Analysis Amortized Cost and Market Value Analysis 12/31/ /31/ /31/2016 3/31/2017 3/31/2017 3/31/2017 CHANGE IN BANK/MONEY MARKET FUNDS MATURITY ACCRUED AMORTIZED MARKET ACCRUED AMORTIZED MARKET MARKET CUSIP DESCRIPTION PAR COUPON DATE INTEREST COST VALUE INTEREST COST VALUE VALUE TEXPOOL TEXPOOL $0.00 $37,650, $37,650, $0.00 $39,526, $39,526, % BANK ACCT AMERICAN NATIONAL BANK OF TEXAS ,613, ,613, ,196, ,196, % $0.00 $47,263, $47,263, $0.00 $45,722, $45,722, % TOTAL $0.00 $47,263, $47,263, $0.00 $45,722, $45,722, % POOLED FUNDS COMMERCIAL PAPER 06538BQ14 BANK OF TOKYO MITS UFJ LTD COMM PAPER $550, /01/17 $0.00 $548, $549, $0.00 $0.00 $ % 46640PQ14 BNP PARIBARS COMM PAPER 550, /01/ , , % 06538BWC3 BANK OF TOKYO MITS UFJ LTD COMM PAPER 550, /12/ , , % 09659BWC0 BNP PARIBARS COMM PAPER 550, /12/ , , % $2,200,000 $0.00 $1,098, $1,098, $0.00 $1,093, $1,093, % TOTAL $2,200,000 $0.00 $1,098, $1,098, $0.00 $1,093, $1,093, % LONG TERM POOLED FUND FED AGY BOND/NOTE 3137EADZ9 FREDDIE MAC NOTES 500, /15/19 1, , , , , , % 3135G0ZE6 FNMA NOTES 600, /20/ , , , , , % 3137EAEB1 FHLMC REFERENCE NOTE 600, /19/19 2, , , , , , % 3135G0N33 FNMA BENCHMARK NOTE 600, /02/19 2, , , , , % 3135G0P49 FNMA NOTES 900, /28/19 2, , , , , % $3,200,000 $9, $3,206, $3,178, $8, $3,205, $3,177, % US TSY BOND/NOTE WP1 US TREASURY NOTES 210, /15/ ,509, ,511, , , % UU2 US TREASURY NOTES 2,500, /31/2018 4, ,493, ,492, ,494, ,491, % VK3 US TREASURY NOTES 1,000, /30/ ,003, ,004, , ,003, ,002, % WD8 US TREASURY NOTES 490, /31/2018 1, , , , , , % A34 US TREASURY NOTES 1,450, /30/2018 1, ,450, ,452, , ,450, ,450, % SH4 US TREASURY NOTES 1,950, /28/2019 9, ,966, ,955, , ,964, ,954, % WL0 US TREASURY NOTES 435, /31/ , , , , , % G61 US TREASURY NOTES 880, /30/2019 1, , , , , , % J84 US TREASURY NOTES 800, /31/ , , % N63 US TREASURY N/B 500, /15/ , , , % $10,215,000 $18, $10,240, $10,226, $22, $10,230, $10,214, % TOTAL $13,415,000 $27, $13,447, $13,404, $31, $13,436, $13,392, % TOTAL PORTFOLIO $15,615,000 $27, $61,809, $61,767, $31, $60,252, $60,208, % 2017 PFM Asset Management LLC Page 12 of 50

13 CITY OF ROWLETT, TEXAS Composition and Credit Quality Characteristics Summary Portfolio Composition and Credit Quality Characteristics Security Type 1 March 31, 2017 % of Portfolio December 31, 2016 % of Portfolio U.S. Treasuries $10,237, % $10,245, % Federal Agencies $3,186, % 3,187, % Commercial Paper $1,093, % 1,098, % Certificates of Deposit 0 0.0% 0 0.0% Bankers Acceptances 0 0.0% 0 0.0% Repurchase Agreements 0 0.0% 0 0.0% Municipal Obligations 0 0.0% 0 0.0% Corporate Notes/Bonds 0 0.0% 0 0.0% American National Bank of Texas 6,196, % 9,613, % TexPool 39,526, % 37,650, % Totals $60,239, % $61,794, % American National Bank of Texas 10.29% Commercial Paper 1.81% Portfolio Composition as of 03/31/17 TexPool 65.61% AA % Credit Quality Distribution² A-1+ (Shortterm) as of 03/31/ % A-1 (Shortterm) 1.02% Notes: Federal Agency Obligations 5.29% U.S. Treasuries 16.99% TexPool 73.13% 1. End of quarter trade-date market values of portfolio holdings, including accrued interest. 2. Credit rating of securities held in portfolio, exclusive of money market fund, bank or LGIP. Standard & Poor's is the source of the credit ratings PFM Asset Management LLC Page 13 of 50

14 CITY OF ROWLETT, TEXAS Summary Portfolio Maturity Distribution Maturity Distribution Maturity Distribution 1 March 31, 2017 December 31, 2016 Overnight (Money Market Fund) $45,722,868 $47,263,978 Under 6 Months 1,303,880 2,610, Months 2,491, Years 5,413,542 5,447, Years 4,511,004 6,472, Years 796, Years Years and Over 0 0 Totals $60,239,704 $61,794,942 Percentage of Total Portfolio 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Portfolio Maturity Distribution¹ March 31, % 76.5% December 31, % 8.8% 7.5% 10.5% 4.2% 4.1% 2.2% 0.0% 1.3% 0.0% 0.0% 0.0% 0.0% 0.0% Overnight Under 6 Months 6-12 Months 1-2 Years 2-3 Years 3-4 Years 4-5 Years 5 Years and Over Notes: 1. Callable securities in portfolio are included in the maturity distribution analysis to their stated maturity date, although they may be called prior to maturity PFM Asset Management LLC Page 14 of 50

15 CITY OF ROWLETT, TEXAS General Ledger Entries Summary Portfolio General Ledger Entries 1 Earnings Calculation 1/31/2017 Market Value Basis Source Document January Market Value 58,230, Account Summary Page January Accrued Interest 37, Account Summary Page Less (Purchases & Deposits) (6,576,679.71) 3 Security Transactions & Interest Less Purchased Interest (2,674.93) 4 Security Transactions & Interest Add (Sales, Maturities, Paydowns, Withdrawals) 500, Security Transactions & Interest Add Interest Receipts 25, Security Transactions & Interest Less December Market Value (52,153,855.90) 7 Account Summary Page Less December Accrued Interest (27,936.57) 8 Account Summary Page Earnings 33, Change in Investment Market Value 6,076, (1-7) Change in Accrued Interest 9, (2-8) Change in Cash (6,053,439.86) (sum 3 thru 6) Investment Entries To Record Investment Activity Debit Credit Source Document Cash 6,076, Security Transactions & Interest Investments 6,076, Amortization/Accretion Investment Income Earnings To record investment income/changes Cash 22, Security Transactions & Interest Accrued Interest 9, Accrued Interest Difference Investment Income 32, Earnings To record interest income/changes Notes: 1. Earnings are calculated using Market Value. This includes unrealized gains and losses, and income PFM Asset Management LLC Page 15 of 50

16 CITY OF ROWLETT, TEXAS General Ledger Entries Summary Portfolio General Ledger Entries 1 Earnings Calculation 2/28/2017 Market Value Basis Source Document February Market Value 52,138, Account Summary Page February Accrued Interest 29, Account Summary Page Less (Purchases & Deposits) (5,692,730.01) 3 Security Transactions & Interest Less Purchased Interest - 4 Security Transactions & Interest Add (Sales, Maturities, Paydowns, Withdrawals) 11,807, Security Transactions & Interest Add Interest Receipts 38, Security Transactions & Interest Less January Market Value (58,250,492.08) 7 Account Summary Page Less January Accrued Interest (37,925.81) 8 Account Summary Page Earnings 33, Change in Investment Market Value -6,112, (1-7) Change in Accrued Interest (8,433.78) (2-8) Change in Cash 6,153, (sum 3 thru 6) Investment Entries To Record Investment Activity Debit Credit Source Document Cash 6,115, Security Transactions & Interest Investments 6,112, Amortization/Accretion Investment Income 2, Earnings To record investment income/changes Cash 38, Security Transactions & Interest Accrued Interest 8, Accrued Interest Difference Investment Income 30, Earnings To record interest income/changes Notes: 1. Earnings are calculated using Market Value. This includes unrealized gains and losses, and income PFM Asset Management LLC Page 16 of 50

17 CITY OF ROWLETT, TEXAS General Ledger Entries Summary Portfolio General Ledger Entries 1 Earnings Calculation 3/31/2017 Market Value Basis Source Document March Market Value 53,991, Account Summary Page March Accrued Interest 31, Account Summary Page Less (Purchases & Deposits) (4,078,467.69) 3 Security Transactions & Interest Less Purchased Interest (4,865.38) 4 Security Transactions & Interest Add (Sales, Maturities, Paydowns, Withdrawals) 2,238, Security Transactions & Interest Add Interest Receipts 37, Security Transactions & Interest Less February Market Value (52,156,267.77) 7 Account Summary Page Less February Accrued Interest (29,492.03) 8 Account Summary Page Earnings 29, Change in Investment Market Value 1,835, (1-7) Change in Accrued Interest 1, (2-8) Change in Cash (1,807,190.12) (sum 3 thru 6) Investment Entries To Record Investment Activity Debit Credit Source Document Cash 1,839, Security Transactions & Interest Investments 1,835, Amortization/Accretion Investment Income 4, Earnings To record investment income/changes Notes: Cash 32, Security Transactions & Interest Accrued Interest 1, Accrued Interest Difference Investment Income 34, Earnings To record interest income/changes 1. Earnings are calculated using Market Value. This includes unrealized gains and losses, and income PFM Asset Management LLC Page 17 of 50

18 CITY OF ROWLETT POOLED FUNDS Credit Quality (S&P Ratings) Sector Allocation Portfolio Snapshot Portfolio Statistics As of March 31, 2017 Par Value: 1,100,000 Total Market Value: 1,093,307 Security Market Value: 1,093,307 Accrued Interest: 0 Cash: - PFM - % A-1 Commercial Paper 100.0% Amortized Cost: Yield at Market: Yield at Cost: Effective Duration: 1,093, % 1.35% 0.45 Years 100% 100.0% Maturity Distribution Duration to Worst: Average Maturity: 0.45 Years 0.45 Years 80% Average Credit: ** A 60% Benchmark Eff. Yield: 0.68% 40% 20% 0% 0.0% 0.0% 0.0% 0.0% 0.0% 0-1 Year 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years * An average of each security s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio PFM Asset Management LLC Page 18 of 50 Account

19 CITY OF ROWLETT POOLED FUNDS Portfolio Performance Portfolio Earnings Quarter-Ended March 31, 2017 Beginning Value (12/31/2016) Market Value Basis $1,098, Accrual (Amortized Cost) Basis $1,098, Net Purchases/Sales ($7,329.06) ($7,329.06) Change in Value $2, $2, Ending Value (03/31/2017) $1,093, $1,093, Interest Earned Portfolio Earnings $0.00 $2, $0.00 $2, PFM Asset Management LLC Account Page 19 of 50

20 CITY OF ROWLETT POOLED FUNDS Portfolio Composition Sector Allocation As of March 31, 2017 Sector Market Value ($) % of Portfolio Commercial Paper 1,093, % Total 1,093, % Commercial Paper 100.0% Detail may not add to total due to rounding PFM Asset Management LLC Page 20 of 50 Account

21 CITY OF ROWLETT POOLED FUNDS Portfolio Composition Sector Allocation As of March 31, 2017 Sector Market Value ($) % of Portfolio % of Benchmark Commercial Paper 1,093, % - Total 1,093, % 0.0% 100% 100.0% 80% 60% 40% 20% 0% Commercial Paper 0.0% CITY OF ROWLETT POOLED FUNDS Detail may not add to total due to rounding PFM Asset Management LLC Page 21 of 50 Account

22 CITY OF ROWLETT POOLED FUNDS Portfolio Composition Sector Sector Allocation March 31, 2017 December 31, 2016 September 30, 2016 June 30, 2016 MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total Commercial Paper % % % % Total $ % $ % $ % $ % 100% 90% 80% 70% 60% Commercial Paper 50% 40% 30% 20% 10% 0% March 2017 December 2016 September 2016 June 2016 Detail may not add to total due to rounding PFM Asset Management LLC Page 22 of 50 Account

23 CITY OF ROWLETT POOLED FUNDS Portfolio Composition Maturity Distribution As of March 31, 2017 Portfolio/Benchmark Yield at Market Average Maturity 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years >5 Years CITY OF ROWLETT POOLED FUNDS 1.34% 100.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.45 yrs 100% 100.0% 80% 60% 40% 20% 0% 0.0% 0.0% 0.0% 0.0% 0.0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years CITY OF ROWLETT POOLED FUNDS 2017 PFM Asset Management LLC Account Page 23 of 50

24 CITY OF ROWLETT POOLED FUNDS Portfolio Composition Duration Distribution As of March 31, 2017 Portfolio / Benchmark Effective Duration 0-1 YEARS 1-2 YEARS 2-3 YEARS 3-4 YEARS 4-5 YEARS > 5 YEARS CITY OF ROWLETT POOLED FUNDS % 0.00% 0.00% 0.00% 0.00% 0.00% 100% 100% Distribution by Effective Duration 100% 100% Contribution to Portfolio Duration 80% 80% 60% 60% 40% 40% 20% 20% 0% 0% 0% 0% 0% 0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years 0% 0% 0% 0% 0% 0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years 2017 PFM Asset Management LLC Account Page 24 of 50

25 CITY OF ROWLETT POOLED FUNDS Portfolio Composition S&P Rating Market Value ($) % of Portfolio Credit Quality As of March 31, 2017 A-1 $1,093, % Totals $1,093, % A % Detail may not add to total due to rounding PFM Asset Management LLC Page 25 of 50 Account

26 CITY OF ROWLETT POOLED FUNDS Portfolio Composition Issuer Issuer Distribution As of March 31, 2017 Market Value ($) % of Portfolio BNP PARIBAS 546, % MITSUBISHI UFJ FINANCIAL GROUP INC 546, % Grand Total: 1,093, % 2017 PFM Asset Management LLC Account Page 26 of 50

27 CITY OF ROWLETT POOLED FUNDS Portfolio Composition Sector/Issuer Distribution As of March 31, 2017 Sector / Issuer Market Value ($) % of Sector % of Total Portfolio Commercial Paper BNP PARIBAS 546, % 50.0% MITSUBISHI UFJ FINANCIAL GROUP INC 546, % 50.0% Sector Total 1,093, % 100.0% Portfolio Total 1,093, % 100.0% 2017 PFM Asset Management LLC Account Page 27 of 50

28 CITY OF ROWLETT POOLED FUNDS Portfolio Activity Quarterly Portfolio Transactions Trade Date Settle Date Par ($) CUSIP Security Description Coupon Maturity Date Transact Amt ($) Yield at Market Realized G/L (BV) BUY 3/16/17 3/17/17 550, BWC3 BANK OF TOKYO MITSU UFJ LTD COMM PAPER 0.00% 9/12/17 546, % 3/16/17 3/17/17 550, BWC0 BNP PARIBAS NY BRANCH COMM PAPER 0.00% 9/12/17 546, % Total BUY 1,100,000 1,092, MATURITY 3/1/17 3/1/17 550, PQ14 JP MORGAN SECURITIES LLC COMM PAPER 0.00% 3/1/17 550, /1/17 3/1/17 550, BQ14 BANK OF TOKYO MITS UFJ LTD COMM PAPER 0.00% 3/1/17 550, Total MATURITY 1,100,000 1,100, PFM Asset Management LLC Account Page 28 of 50

29 CITY OF ROWLETT POOLED FUNDS Portfolio Activity Quarterly Portfolio Transactions Tran. Type Trade Date Settle Date Par ($) CUSIP Security Description Coupon Maturity Date Transact Amt ($) Yield Realized G/L (BV) MATURITY 3/1/17 3/1/17 550, PQ14 JP MORGAN SECURITIES LLC COMM PAPER 0.00% 3/1/17 550, MATURITY 3/1/17 3/1/17 550, BQ14 BANK OF TOKYO MITS UFJ LTD COMM 0.00% 3/1/17 550, PAPER BUY 3/16/17 3/17/17 550, BWC3 BANK OF TOKYO MITSU UFJ LTD COMM 0.00% 9/12/17 (546,226.08) 1.39% PAPER BUY 3/16/17 3/17/17 550, BWC0 BNP PARIBAS NY BRANCH COMM PAPER 0.00% 9/12/17 (546,444.86) 1.31% TOTALS 7, PFM Asset Management LLC Account Page 29 of 50

30 CITY OF ROWLETT LONG TERM POOLED FUND Credit Quality (S&P Ratings) Sector Allocation Portfolio Snapshot Portfolio Statistics As of March 31, 2017 Federal Agency/GSE 23.7% Par Value: 13,415,000 Total Market Value: 13,423,529 Security Market Value: 13,392,455 Accrued Interest: 31,073 Cash: - PFM - % AA+ U.S. Treasury 76.3% Amortized Cost: Yield at Market: Yield at Cost: Effective Duration: Duration to Worst: Average Maturity: Average Credit: ** 13,436, % 1.10% 1.80 Years 1.80 Years 1.83 Years AA 45% 40% 35% 30% 25% 20% 20.2% 40.3% Maturity Distribution 33.6% 15% 10% 5% 0% 0-1 Year 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years 5.9% 0.0% 0.0% * An average of each security s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio PFM Asset Management LLC Page 30 of 50 Account

31 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Performance Portfolio/Benchmark CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Performance (Total Return) Effective Duration Current Quarter 1 Year 3 Year 5 Year Annualized Return 10 Year Since Inception (06/30/06) ** % 0.32% 0.71% 0.61% 1.95% 2.22% BofA ML 1-3 Year U.S. Treasury Index % 2.00% 0.25% 0.72% 0.64% 2.26% Difference 0.00% 0.07% -0.01% -0.03% -0.05% -0.04% 2.4% 2.22% 2.26% 2.0% 1.95% 2.00% 1.6% Total Return 1.2% 0.8% 0.71% 0.72% 0.61% 0.64% 0.4% 0.26% 0.26% 0.32% 0.25% 0.0% Current Quarter 1 Year 3 Year 5 Year 10 Year Since Inception CITY OF ROWLETT LONG TERM POOLED FUND BofA ML 1-3 Year U.S. Treasury Index Portfolio performance is gross of fees unless otherwise indicated. **Since Inception performance is not shown for periods less than one year PFM Asset Management LLC Page 31 of 50 Account

32 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Performance Portfolio/Benchmark Portfolio Performance (Total Return) Effective Duration Quarter Ended 03/31/17 12/31/16 09/30/16 06/30/16 1 Year 3 Year Annualized Return 5 Year CITY OF ROWLETT LONG TERM POOLED FUND % -0.36% -0.03% 0.45% 0.32% 0.71% 0.61% BofA ML 1-3 Year U.S. Treasury Index % -0.43% -0.11% 0.53% 0.25% 0.72% 0.64% Difference 0.00% 0.07% 0.08% -0.08% 0.07% -0.01% -0.03% Total Return 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% 0.26% 0.26% -0.03% -0.11% 0.45% 0.53% 0.32% 0.25% 0.71% 0.72% 0.61% 0.64% -0.4% -0.6% -0.36% -0.43% 03/31/17 12/31/16 09/30/16 06/30/16 1 Year 3 Year 5 Year CITY OF ROWLETT LONG TERM POOLED FUND BofA ML 1-3 Year U.S. Treasury Index Portfolio performance is gross of fees unless otherwise indicated PFM Asset Management LLC Page 32 of 50 Account

33 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Performance Portfolio Performance (Total Return) Quarter Ended Effective Portfolio/Benchmark Duration 03/31/17 12/31/16 09/30/16 06/30/16 1 Year 3 Year Annualized Return 5 Year CITY OF ROWLETT LONG TERM POOLED FUND % -0.36% -0.03% 0.45% 0.32% 0.71% 0.61% Net of Fees ** % -0.38% -0.05% 0.43% 0.24% 0.63% 0.53% BofA ML 1-3 Year U.S. Treasury Index % -0.43% -0.11% 0.53% 0.25% 0.72% 0.64% Difference (Gross) 0.00% 0.07% 0.08% -0.08% 0.07% -0.01% -0.03% Difference (Net) -0.02% 0.05% 0.06% -0.10% -0.01% -0.09% -0.11% Total Return 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% 0.26% 0.26% -0.03% -0.11% 0.45% 0.53% 0.32% 0.25% 0.71% 0.72% 0.61% 0.64% -0.4% -0.6% -0.36% -0.43% 03/31/17 12/31/16 09/30/16 06/30/16 1 Year 3 Year 5 Year CITY OF ROWLETT LONG TERM POOLED FUND BofA ML 1-3 Year U.S. Treasury Index Portfolio performance is gross of fees unless otherwise indicated. ** Fees were calculated based on average assets during the period at the contractual rate PFM Asset Management LLC Page 33 of 50 Account

34 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Performance Portfolio Earnings Quarter-Ended March 31, 2017 Beginning Value (12/31/2016) Market Value Basis $13,404, Accrual (Amortized Cost) Basis $13,447, Net Purchases/Sales ($9,148.44) ($9,148.44) Change in Value ($2,826.57) ($1,996.11) Ending Value (03/31/2017) $13,392, $13,436, Interest Earned Portfolio Earnings $38, $35, $38, $36, PFM Asset Management LLC Account Page 34 of 50

35 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Composition Sector Allocation As of March 31, 2017 Sector Market Value ($) % of Portfolio U.S. Treasury 10,214, % Federal Agency/GSE 3,177, % Federal Agency/GSE 23.7% Total 13,392, % U.S. Treasury 76.3% Detail may not add to total due to rounding PFM Asset Management LLC Page 35 of 50 Account

36 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Composition Sector Allocation As of March 31, 2017 Sector Market Value ($) % of Portfolio % of Benchmark U.S. Treasury Federal Agency/GSE Total 10,214,652 3,177, % 23.7% 100.0% - 13,392, % 100.0% 100% 100.0% 80% 76.3% 60% 40% 20% 23.7% 0% Federal Agency/GSE 0.0% CITY OF ROWLETT LONG TERM POOLED FUND BofA ML 1-3 Year U.S. Treasury Index U.S. Treasury Detail may not add to total due to rounding PFM Asset Management LLC Page 36 of 50 Account

37 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Composition Sector Sector Allocation March 31, 2017 December 31, 2016 September 30, 2016 June 30, 2016 MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total U.S. Treasury % % % % Federal Agency/GSE % % % % Total $ % $ % $ % $ % 100% 90% 80% 70% Federal Agency/GSE U.S. Treasury 60% 50% 40% 30% 20% 10% 0% March 2017 December 2016 September 2016 June 2016 Detail may not add to total due to rounding PFM Asset Management LLC Page 37 of 50 Account

38 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Composition Maturity Distribution As of March 31, 2017 Portfolio/Benchmark Yield at Market Average Maturity 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years >5 Years CITY OF ROWLETT LONG TERM POOLED FUND 1.27% 1.83 yrs 20.2% 40.3% 33.6% 5.9% 0.0% 0.0% BofA ML 1-3 Year U.S. Treasury Index 1.27% 1.94 yrs 3.2% 53.5% 43.3% 0.0% 0.0% 0.0% 60% 53.5% 50% 40% 40.3% 33.6% 43.3% 30% 20% 20.2% 10% 0% 5.9% 3.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years CITY OF ROWLETT LONG TERM POOLED FUND BofA ML 1-3 Year U.S. Treasury Index 2017 PFM Asset Management LLC Account Page 38 of 50

39 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Composition Duration Distribution As of March 31, 2017 Portfolio / Benchmark Effective Duration 0-1 YEARS 1-2 YEARS 2-3 YEARS 3-4 YEARS 4-5 YEARS > 5 YEARS CITY OF ROWLETT LONG TERM POOLED FUND % 44.02% 35.80% 0.00% 0.00% 0.00% BofA ML 1-3 Year U.S. Treasury Index % 53.53% 43.30% 0.00% 0.00% 0.00% 60% Distribution by Effective Duration 54% 60% Contribution to Portfolio Duration 56% 50% 40% 44% 36% 43% 50% 40% 41% 43% 48% 30% 20% 20% 30% 20% 10% 0% 3% 0% 0% 0% 0% 0% 0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years 10% 0% 10% 2% 0% 0% 0% 0% 0% 0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years CITY OF ROWLETT LONG TERM POOLED FUND BofA ML 1-3 Year U.S. Treasury Index CITY OF ROWLETT LONG TERM POOLED FUND BofA ML 1-3 Year U.S. Treasury Index 2017 PFM Asset Management LLC Account Page 39 of 50

40 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Composition S&P Rating Market Value ($) % of Portfolio Credit Quality As of March 31, 2017 AA+ $13,392, % Totals $13,392, % AA % Detail may not add to total due to rounding PFM Asset Management LLC Page 40 of 50 Account

41 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Composition Issuer Issuer Distribution As of March 31, 2017 Market Value ($) % of Portfolio UNITED STATES TREASURY 10,214, % FANNIE MAE 2,087, % FREDDIE MAC 1,090, % Grand Total: 13,392, % 2017 PFM Asset Management LLC Account Page 41 of 50

42 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Composition Sector/Issuer Distribution As of March 31, 2017 Sector / Issuer Market Value ($) % of Sector % of Total Portfolio Federal Agency/GSE FANNIE MAE 2,087, % 15.6% FREDDIE MAC 1,090, % 8.1% Sector Total 3,177, % 23.7% U.S. Treasury UNITED STATES TREASURY 10,214, % 76.3% Sector Total 10,214, % 76.3% Portfolio Total 13,392, % 100.0% 2017 PFM Asset Management LLC Account Page 42 of 50

43 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Activity Quarterly Portfolio Transactions Trade Date Settle Date Par ($) CUSIP Security Description Coupon Maturity Date Transact Amt ($) Yield at Market Realized G/L (BV) BUY 1/5/17 1/6/17 500, N63 US TREASURY N/B 1.12% 1/15/19 501, % 3/9/17 3/10/17 800, J84 US TREASURY NOTES 1.37% 3/31/20 797, % Total BUY 1,300,000 1,299, INTEREST 1/15/17 1/15/17 500, N63 US TREASURY N/B 1.12% 1/15/19 2, /19/17 1/19/17 600, EAEB1 FHLMC REFERENCE NOTE 0.87% 7/19/19 2, /2/17 2/2/17 600, G0N33 FNMA BENCHMARK NOTE 0.87% 8/2/19 2, /28/17 2/28/17 900, G0P49 FNMA NOTES 1.00% 8/28/19 4, /28/17 2/28/17 1,950, SH4 US TREASURY NOTES 1.37% 2/28/19 13, /31/17 3/31/17 800, J84 US TREASURY NOTES 1.37% 3/31/20 5, /31/17 3/31/17 2,500, UU2 US TREASURY NOTES 0.75% 3/31/18 9, Total INTEREST 7,850,000 40, SELL 1/5/17 1/6/17 500, WP1 US TREASURY NOTES 0.87% 6/15/17 500, % /9/17 3/10/17 800, WP1 US TREASURY NOTES 0.87% 6/15/17 801, % Total SELL 1,300,000 1,302, PFM Asset Management LLC Account Page 43 of 50

44 CITY OF ROWLETT LONG TERM POOLED FUND Portfolio Activity Quarterly Portfolio Transactions Tran. Type Trade Date Settle Date Par ($) CUSIP Security Description Coupon Maturity Date Transact Amt ($) Yield Realized G/L (BV) BUY 1/5/17 1/6/17 500, N63 US TREASURY N/B 1.12% 1/15/19 (501,698.37) 1.22% SELL 1/5/17 1/6/17 500, WP1 US TREASURY NOTES 0.87% 6/15/17 500, % INTEREST 1/15/17 1/15/17 500, N63 US TREASURY N/B 1.12% 1/15/19 2, INTEREST 1/19/17 1/19/17 600, EAEB1 FHLMC REFERENCE NOTE 0.87% 7/19/19 2, INTEREST 2/2/17 2/2/17 600, G0N33 FNMA BENCHMARK NOTE 0.87% 8/2/19 2, INTEREST 2/28/17 2/28/17 900, G0P49 FNMA NOTES 1.00% 8/28/19 4, INTEREST 2/28/17 2/28/17 1,950, SH4 US TREASURY NOTES 1.37% 2/28/19 13, BUY 3/9/17 3/10/17 800, J84 US TREASURY NOTES 1.37% 3/31/20 (797,459.13) 1.69% SELL 3/9/17 3/10/17 800, WP1 US TREASURY NOTES 0.87% 6/15/17 801, % INTEREST 3/31/17 3/31/17 800, J84 US TREASURY NOTES 1.37% 3/31/20 5, INTEREST 3/31/17 3/31/17 2,500, UU2 US TREASURY NOTES 0.75% 3/31/18 9, TOTALS 44, PFM Asset Management LLC Account Page 44 of 50

45 Tab III 2017 PFM Asset Management LLC Page 45 of 50

46 CITY OF ROWLETT, TEXAS Asset Allocation Commercial Paper 1.81% Federal Instrumentalities 5.33% American National Bank of Texas 10.28% United States Treasury Securities 17.01% TexPool - Local Government Investment Pool 65.57% Security Type 1 Amortized Cost (Includes Interest) Allocation Percentage Notes Permitted by Policy In Compliance American National Bank of Texas 6,196, % 100% YES TexPool - Local Government Investment Pool 39,526, % 100% YES United States Treasury Securities 10,252, % 100% YES United States Government Agency Securities % 100% YES Federal Instrumentalities 3,214, % 2 100% YES Mortgage-Backed Securities % 2 20% YES Certificates of Deposit % 20% YES Repurchase Agreements % 20% YES Commercial Paper 1,093, % 25% YES Corporate Notes % 0% YES Bankers' Acceptances % 25% YES State and/or Local Government Debt % 25% YES Fixed Income Money Market Mutual Funds % 50% YES Notes: 1. End of month trade-date amortized cost of portfolio holdings, including accrued interest. 2. The combined total of Federal Instrumentalities and Mortgage Backed Securities can not be more than 100%. The combined total as of March 31, 2017 is 5.33% PFM Asset Management LLC Page 46 of 50

47 CITY OF ROWLETT, TEXAS Asset Allocation Amortized Cost (Includes Interest) Allocation Percentage Permitted by Policy In Compliance Individual Issuer Breakdown Notes Government National Mortgage Association (GNMA) % 40% YES Federal Farm Credit Bank (FFCB) % 40% YES Federal Home Loan Bank (FHLB) % 40% YES Federal National Mortgage Association (FNMA) 2,110, % 40% YES Federal Home Loan Mortgage Corporation (FHLMC) 1,103, % 40% YES Bank of Tokyo Mitsubishi, Inc. Commercial Paper 546, % 5% YES BNP Paribas Commercial Paper 546, % 5% YES 2017 PFM Asset Management LLC Page 47 of 50

48 CITY OF ROWLETT POOLED FUNDS Portfolio Activity 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 Market values which 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. 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 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 Account Page 48 of 50

49 CITY OF ROWLETT POOLED FUNDS 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. 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 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. 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. 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, 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 PFM Asset Management LLC Account Page 49 of 50

50 CITY OF ROWLETT POOLED FUNDS Appendix Glossary 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. 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 occurs on a non-business day (i.e. coupon payments and maturity proceeds), the funds are exchanged on the next business day. 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 Account Page 50 of 50