investment performance review for the quarter ended june

Investment Advisors

One Keystone Plaza, Suite 300North Front & Market Streets

Harrisburg, PA 17101-2044717.232.2723

717.233.6073 fax

PFM Asset Management LLC

300 South Orange AvenueSuite 1170

Orlando, FL 32801407.648.2208

407.648.1323 fax

Investment Performance Review For the Quarter Ended June 30, 2017

Steven Alexander, CTP, CGFO, CPPT, Managing DirectorRobert Cheddar, CFA, Chief Credit Officer, Managing DirectorBarry Baughier, Senior Managing ConsultantRebecca Geyer, CTP, Senior AnalystCody Raulerson, Analyst

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CITY OF ROWLETT, TEXAS

For the Quarter Ended June 30, 2017

Table of Contents


Tab I

Market Update

Tab II

Executive Summary

Pooled Funds

Long Term Pooled Funds

Tab III

Asset Allocation Chart

Important Disclosures

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Tab I

PFM Asset Management LLC3 of 51

QUARTERLY MARKET SUMMARY

S U M M A R Y•

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E C O N O M I C S N A P S H O T•

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I N T E R E S T R A T E S•

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•

S E C T O R P E R F O R M A N C E•

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Fixed Income Management

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Economic Snapshot

Labor Market Mar '17 Jun '16

Growth

Inflation / Prices

Latest

Unemployment Rate (left) vs. Change in Nonfarm Payrolls (right)

Real GDP (QoQ)

Consumer Price Index

1. Data as of First Quarter 2017.2. Data as of Second Quarter 2016.Note: YoY = year-over-year, QoQ = quarter over quarter, SAAR = seasonally adjusted annual rate, WTI = West Texas Intermediate crude oil.Source: Bloomberg.




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Source: Bloomberg.

Interest Rate Overview

U.S. Treasury Note Yields U.S. Treasury Yield Curve

U.S. Treasury Yields Yield Curves as of 6/30/17

Yiel

d

Maturity

Maturity Jun '17 Mar '17Change

over Quarter

Jun '16 Change over Year

Yiel

d

Maturity

Yiel

d




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Source: BofA Merrill Lynch Indices.

June 30, 2017 Duration Yield 3-month 1-year 3-years1-3 Year Indices

U.S. Treasury

Federal Agency

U.S. Corporates, A-AAA rated

Agency MBS (0 to 3 years)

Taxable Municipals

1-5 Year IndicesU.S. Treasury

Federal Agency



Taxable Municipals

Master Indices (Maturities 1 Year or Greater)U.S. Treasury

Federal Agency



Taxable Municipals

As of 6/30/17 Returns for Periods ended 6/30/17

Returns for periods greater than one year are annualized.


BofA Merrill Lynch Index Returns



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D I S C L O S U R E S

Advisers Act of 1940. The information contained is not an offer to purchase or sell any securities. Additional applicable regulatory information is available upon request.

contained in this report is not an offer to purchase or sell any securities.




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Tab II


CITY OF ROWLETT, TEXAS


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 0.88% by0.47%.

The Long Term Fund Portfolio’s quarterly total return performance of 0.20% outperformed the benchmark performance of0.17% by 0.03%. For the last 12 months the Portfolio’s total return performance of 0.07% outperformed the benchmarkperformance of -0.11%.

Key drivers of market conditions in the 2nd quarter included:• An additional Federal Reserve (Fed) rate hike,• Mixed readings on key economic data in the U.S.,• Persistently subdued inflation readings, • Narrowing credit spreads, and• Stronger growth readings and higher yields in Europe and elsewhere.

Short-term and long-term Treasury yields diverged during the second quarter as short-term (three years and under) yields moved higher, pricing in the Fed’s June rate hike, while yields on longer-term maturities fell amid muted inflation and fading prospects for stimulative fiscal policy. As a result, the yield curve flattened, retracing all the steepening that took place following the U.S. presidential election.

Our duration strategy is to remain largely in line with benchmark durations unless we have a strong conviction that rates are not appropriately reflecting market risks and expectations. Since market conditions were consistent with moderate growth and a Fed on track to gradually raise rates, we positioned portfolios to be “neutral” – that is with durations equal to benchmark durations – to start the second quarter. During May and June, however, we allowed durations to drift shorter as we believed that rates were not adequately pricing in the likelihood of a near-term Fed rate increase. When the Fed did raise rates in June, shorter-term portfolios benefited as yields adjusted to reflect a higher Fed funds rate.

Our outlook for the third quarter is for continued modest growth in the U.S. economy. But, the future path of Fed tightening isless certain, as recent economic data has been disappointing, fiscal policy initiatives have stalled, and inflation remains below the Fed’s 2% target.

With rates priced for the current level of uncertainty, we are once again positioning portfolio durations to match that of benchmarks. We will continue to assess our duration positioning during the quarter as we gain more clarity surrounding Fed policy and trajectory of the U.S. and global economy.

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For the Quarter Ended June 30, 2017CITY OF ROWLETT, TEXAS Portfolio Statistics

Amortized Cost1,2,3 Amortized Cost1,2,3 Market Value1,2,3 Market Value1,2,3 Duration (Years)Account Name June 30, 2017 March 31, 2017 June 30, 2017 March 31, 2017 June 30, 2017Pooled Funds $1,097,011 $1,093,285 $1,097,210 $1,093,307 0.200 Long Term Pooled Fund 13,255,909 13,467,076 13,202,254 13,423,529 1.580 TexPool 33,297,939 39,526,243 33,297,939 39,526,243 0.003 American National Bank of Texas 8,713,819 6,196,626 8,713,819 6,196,626 0.003 Total $56,364,678 $60,283,230 $56,311,222 $60,239,704 0.376

Yield to Maturity Yield to Maturity Yield to Maturity Yield to Maturityat Cost4 at Cost4 at Market at Market Duration (Years)

Account Name June 30, 2017 March 31, 2017 June 30, 2017 March 31, 2017 March 31, 2017Pooled Funds 1.35% 1.35% 1.24% 1.34% 0.450Long Term Pooled Fund 1.10% 1.10% 1.37% 1.27% 1.800TexPool5 0.96% 0.62% 0.96% 0.62% 0.003American National Bank of Texas 0.00% 0.00% 0.00% 0.00% 0.003Weighted Average YTM 0.85% 0.68% 0.91% 0.72% 0.401

Monthly Interest earnings YTD6, 7

October 2016 $3,018 April 2017 $38,458November 2016 ($42,137) May 2017 $40,109December 2016 $20,912 June 2017 $20,307

January 2017 $32,514 July 2017 $0February 2017 $32,141 August 2017 $0

March 2017 $28,519 September 2017 $0

Total Fiscal Year Net Earnings $173,839

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 www.texpool.com.

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.


Summary Portfolio Statistics

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For the Quarter Ended June 30, 2017CITY OF ROWLETT, TEXAS Amortized Cost and Market Value Analysis

3/31/2017 3/31/2017 3/31/2017 6/30/2017 6/30/2017 6/30/2017 CHANGE IN

BANK/MONEY MARKET FUNDS MATURITY ACCRUED AMORTIZED MARKET ACCRUED AMORTIZED MARKET MARKETCUSIP DESCRIPTION PAR COUPON DATE INTEREST COST VALUE INTEREST COST VALUE VALUE

TEXPOOL TEXPOOL $0.00 $39,526,242.82 $39,526,242.82 $0.00 $33,297,939.14 $33,297,939.14 -15.76%BANK ACCT AMERICAN NATIONAL BANK OF TEXAS 0.00 6,196,625.59 6,196,625.59 0.00 8,713,819.18 8,713,819.18 40.62%

$0.00 $45,722,868.41 $45,722,868.41 $0.00 $42,011,758.32 $42,011,758.32 -8.12%

TOTAL $0.00 $45,722,868.41 $45,722,868.41 $0.00 $42,011,758.32 $42,011,758.32 -8.12%

POOLED FUNDSCOMMERCIAL PAPER06538BWC3 BANK OF TOKYO MITS UFJ LTD COMM PAPER 550,000.00 0.000 09/12/17 0.00 546,542.33 546,609.25 0.00 548,460.92 548,599.15 0.36%09659BWC0 BNP PARIBARS COMM PAPER 550,000.00 0.000 09/12/17 0.00 546,742.78 546,697.80 0.00 548,550.14 548,610.70 0.35%

$1,100,000 $0.00 $1,093,285.11 $1,093,307.05 $0.00 $1,097,011.06 $1,097,209.85 0.36%

TOTAL $1,100,000 $0.00 $1,093,285.11 $1,093,307.05 $0.00 $1,097,011.06 $1,097,209.85 0.357%

LONG TERM POOLED FUNDFED AGY BOND/NOTE3137EADZ9 FREDDIE MAC NOTES 500,000 1.125 04/15/19 2,593.75 501,662.26 497,580.50 1,187.50 501,460.00 497,753.50 0.03%3135G0ZE6 FNMA NOTES 600,000 1.750 06/20/19 2,945.83 610,187.94 604,861.80 320.83 609,052.21 603,939.60 -0.15%3137EAEB1 FHLMC REFERENCE NOTE 600,000 0.875 07/19/19 1,050.00 597,965.83 592,709.40 2,362.50 598,184.49 592,849.80 0.02%3135G0N33 FNMA BENCHMARK NOTE 600,000 0.875 08/02/19 860.42 597,843.65 592,212.00 2,172.92 598,071.88 592,786.80 0.10%3135G0P49 FNMA NOTES 900,000 1.000 08/28/19 775.00 898,292.37 890,439.30 3,025.00 898,469.29 891,207.00 0.09%

$3,200,000 $8,225.00 $3,205,952.05 $3,177,803.00 $9,068.75 $3,205,237.87 $3,178,536.70 0.02%US TSY BOND/NOTE912828WP1 US TREASURY NOTES 210,000 0.875 6/15/2017 540.14 209,988.59 210,032.76 0.00 0.00 0.00 0.00%912828UU2 US TREASURY NOTES 2,500,000 0.750 3/31/2018 51.23 2,494,402.35 2,491,797.50 4,713.11 2,495,794.53 2,490,722.50 -0.04%912828VK3 US TREASURY NOTES 1,000,000 1.375 6/30/2018 3,456.49 1,003,212.20 1,002,891.00 37.36 1,002,569.88 1,000,859.00 -0.20%912828WD8 US TREASURY NOTES 490,000 1.250 10/31/2018 2,571.82 493,396.41 490,382.69 1,031.93 492,864.70 489,425.72 -0.20%912828A34 US TREASURY NOTES 1,450,000 1.250 11/30/2018 6,074.86 1,450,251.75 1,450,962.80 1,535.18 1,450,214.35 1,448,074.40 -0.20%912828SH4 US TREASURY NOTES 1,950,000 1.375 2/28/2019 2,331.52 1,964,470.83 1,954,646.85 8,961.79 1,962,614.65 1,950,228.15 -0.23%912828WL0 US TREASURY NOTES 435,000 1.500 5/31/2019 2,186.95 440,359.86 436,886.16 552.66 439,747.63 435,968.75 -0.21%912828G61 US TREASURY NOTES 880,000 1.500 11/30/2019 4,424.18 882,094.55 881,478.40 1,118.03 881,902.05 880,825.44 -0.07%912828J84 US TREASURY NOTES 800,000 1.375 3/31/2020 30.05 792,738.80 796,531.20 2,765.03 793,328.55 797,031.20 0.06%912828N63 US TREASURY N/B 500,000 1.125 1/15/2019 1,180.94 499,135.81 499,043.00 2,594.96 499,255.94 498,203.00 -0.17%

$10,005,000 $22,848.18 $10,230,051.15 $10,214,652.36 $23,310.05 $10,018,292.28 $9,991,338.16 -2.19%

TOTAL $13,205,000 $31,073.18 $13,436,003.20 $13,392,455.36 $32,378.80 $13,223,530.15 $13,169,874.86 -1.662%

TOTAL PORTFOLIO $14,305,000 $31,073.18 $60,252,156.72 $60,208,630.82 $32,378.80 $56,332,299.53 $56,278,843.03 -6.53%


Summary Portfolio Amortized Cost and Market Value Analysis

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For the Quarter Ended June 30, 2017CITY OF ROWLETT, TEXAS Composition and Credit Quality Characteristics

Security Type1 June 30, 2017 % of Portfolio March 31, 2017 % of Portfolio

U.S. Treasuries $10,014,648 17.8% $10,237,501 17.0%

Federal Agencies $3,187,605 5.7% 3,186,028 5.3%

Commercial Paper $1,097,210 1.9% 1,093,307 1.8%

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 8,713,819 15.47% 6,196,626 10.3%

TexPool 33,297,939 59.1% 39,526,243 65.6%

Totals $56,311,222 100.0% $60,239,704 100.0%

Notes:

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.


Summary Portfolio Composition and Credit Quality Characteristics

U.S. Treasuries

17.78%

Federal Agency

Obligations5.66%

Commercial Paper1.95%

American National Bank

of Texas15.47%

TexPool59.13%

Portfolio Compositionas of 06/30/17

AA+27.74%

A-1 (Short-term)2.31%

TexPool69.95%

Credit Quality Distribution² as of 06/30/17

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For the Quarter Ended June 30, 2017CITY OF ROWLETT, TEXAS Maturity Distribution

Maturity Distribution1 June 30, 2017 March 31, 2017

Overnight (Money Market Fund) $42,011,758 $45,722,868

Under 6 Months 1,097,210 1,303,880

6 - 12 Months 3,496,332 2,491,849

1 - 2 Years 5,939,778 5,413,542

2 - 3 Years 3,766,144 4,511,004

3 - 4 Years 0 796,561

4 - 5 Years 0 0

5 Years and Over 0 0

Totals $56,311,222 $60,239,704

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.


Summary Portfolio Maturity Distribution

74.6%

1.9%6.2%

10.5% 6.7%0.0% 0.0% 0.0%

75.9%

2.2% 4.1%9.0% 7.5%

1.3% 0.0% 0.0%0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Overnight Under 6 Months 6 - 12 Months 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years 5 Years and Over

Per

cent

age

of T

otal

Por

tfolio

Portfolio Maturity Distribution¹

June 30, 2017

March 31, 2017

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For the Quarter Ended June 30, 2017CITY OF ROWLETT, TEXAS General Ledger Entries

Earnings Calculation4/30/2017 Market Value Basis Source Document

April Market Value 51,525,741.39 1 Account Summary PageApril Accrued Interest 38,175.19 2 Account Summary Page

Less (Purchases & Deposits) (1,098,397.66) 3 Security Transactions & InterestLess Purchased Interest - 4 Security Transactions & Interest

Add (Sales, Maturities, Paydowns, Withdrawals) 3,588,835.44 5 Security Transactions & InterestAdd Interest Receipts 28,139.39 6 Security Transactions & Interest

Less March Market Value (54,012,005.23) 7 Account Summary PageLess March Accrued Interest (31,073.18) 8 Account Summary Page

Earnings 39,415.34

Change in Investment Market Value (2,486,263.84) (1 - 7)

Change in Accrued Interest 7,102.01 (2 - 8)

Change in Cash 2,518,577.17 (sum 3 thru 6)

Investment EntriesTo Record Investment Activity Debit Credit Source Document

Cash 2,490,437.78 Security Transactions & InterestInvestments 2,486,263.84 Amortization/Accretion

Investment Income 4,173.94 EarningsTo record investment income/changes

Cash 28,139.39 Security Transactions & InterestAccrued Interest 7,102.01 Accrued Interest Difference

Investment Income 35,241.40 EarningsTo record interest income/changes

Notes:

1. Earnings are calculated using Market Value. This includes unrealized gains and losses, and income.


Summary Portfolio General Ledger Entries1

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May Market Value 49,209,309.83 1 Account Summary PageMay Accrued Interest 32,552.00 2 Account Summary Page

Less (Purchases & Deposits) (657,654.20) 3 Security Transactions & InterestLess Purchased Interest - 4 Security Transactions & Interest


Less April Market Value (51,547,947.68) 7 Account Summary PageLess April Accrued Interest (38,175.19) 8 Account Summary Page

Earnings 41,099.08

Change in Investment Market Value -2,338,637.85 (1 - 7)

Change in Accrued Interest (5,623.19) (2 - 8)





Cash 43,014.32 Security Transactions & InterestAccrued Interest 5,623.19 Accrued Interest Difference


Notes:




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June Market Value 47,540,019.68 1 Account Summary PageJune Accrued Interest 32,378.80 2 Account Summary Page

Less (Purchases & Deposits) (533,238.22) 3 Security Transactions & InterestLess Purchased Interest - 4 Security Transactions & Interest


Less May Market Value (49,233,399.15) 7 Account Summary PageLess May Accrued Interest (32,552.00) 8 Account Summary Page

Earnings 21,257.03

Change in Investment Market Value (1,693,379.47) (1 - 7)

Change in Accrued Interest (173.20) (2 - 8)





Cash 38,047.92 Security Transactions & InterestAccrued Interest 173.20 Accrued Interest Difference


Notes:




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CITY OF ROWLETT POOLED FUNDS


Portfolio Snapshot

Portfolio Statistics

As of June 30, 2017

$1,100,000

$1,097,210

$1,097,210

-

-

Accrued Interest:

Cash:

Par Value:

Total Market Value:

Security Market Value:

Benchmark Eff. Yield: 0.88%

$1,097,011

1.24%

1.35%

AAverage Credit: **

Yield at Cost:

Amortized Cost:

Yield at Market:

Effective Duration: 0.20 Years

Duration to Worst: 0.20 Years

Average Maturity: 0.20 Years

Credit Quality (S&P Ratings)

100.0%

A-1

0%

20%

40%

60%

80%

100%

0 - 1 Year 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years > 5 Years

100.0%

0.0% 0.0% 0.0% 0.0% 0.0%

Maturity Distribution

Sector Allocation

100.0%

Commercial

Paper


* An average of each security’s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio.

Account 75981500

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Portfolio Performance

Portfolio Earnings

Quarter-Ended June 30, 2017

Market Value Basis Accrual (Amortized Cost) Basis

Net Purchases/Sales

Change in Value

Interest Earned

$1,093,307.05

$0.00

$3,902.80

$0.00

$3,902.80

$1,097,209.85

$1,093,285.11

$0.00

$3,725.95

$0.00

$3,725.95

$1,097,011.06

Portfolio Earnings

Beginning Value (03/30/2017)

Ending Value (06/30/2017)

PFM Asset Management LLC Account 75981500

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Portfolio Composition

Sector Allocation

As of June 30, 2017

Market Value ($) % of PortfolioSector

Commercial Paper 1,097,210 100.0%

Total $1,097,210 100.0%

100.0%

Commercial

Paper


Detail may not add to total due to rounding.

Account 75981500

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Sector Allocation

As of June 30, 2017

Market Value ($)Sector % of Portfolio % of Benchmark

- 100.0% 1,097,210 Commercial Paper

$1,097,210 100.0% 0.0%Total

0%

20%

40%

60%

80%

100%

Commercial Paper

100.0%

0.0%




Account 75981500

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Sector Allocation

June 30, 2017 March 31, 2017 December 31, 2016 September 30, 2016

% of TotalMV ($MM)Sector % of Total% of Total% of Total MV ($MM)MV ($MM)MV ($MM)

Commercial Paper 1.1 100.0% 1.1 100.0% 1.1 100.0% 1.1 100.0%

$1.1 100.0% $1.1 100.0% $1.1 100.0% $1.1 100.0%Total

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

June 2017 March 2017 December 2016 September 2016

Commercial Paper



Account 75981500

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As of June 30, 2017

>5

Years

4-5

Years

3-4

Years

2-3

Years

1-2

Years

0-1

YearsYield

at MarketPortfolio/Benchmark

Average

Maturity

CITY OF ROWLETT POOLED FUNDS 1.24% 100.0% 0.0% 0.0% 0.0% 0.0% 0.0%0.20 yrs

0%

20%

40%

60%

80%

100%

0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years

100.0%

0.0% 0.0% 0.0% 0.0% 0.0%



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As of June 30, 2017

Duration Distribution

> 5 YEARS4-5 YEARS3-4 YEARS2-3 YEARS1-2 YEARS0-1 YEARSEffective

DurationPortfolio / Benchmark

CITY OF ROWLETT POOLED FUNDS 0.20 100.0% 0.0% 0.0% 0.0% 0.0% 0.0%

0%

20%

40%

60%

80%

100%


100%

0% 0% 0% 0% 0%

Distribution by Effective Duration

0%

20%

40%

60%

80%

100%


100%

0% 0% 0% 0% 0%

Contribution to Portfolio Duration


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Credit Quality

As of June 30, 2017

S&P Rating Market Value ($) % of Portfolio

100.0%$1,097,210A-1

Totals 100.0%$1,097,210

100.0%

A-1



Account 75981500

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Issuer Distribution

As of June 30, 2017

Market Value ($) % of PortfolioIssuer

BNP PARIBAS 548,611 50.0%

MITSUBISHI UFJ FINANCIAL GROUP INC 548,599 50.0%

1,097,210 100.0%Grand Total:


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Sector/Issuer Distribution

As of June 30, 2017

% of SectorSector / Issuer Market Value ($) % of Total Portfolio

Commercial Paper

BNP PARIBAS 50.0% 50.0% 548,611

MITSUBISHI UFJ FINANCIAL GROUP INC 50.0% 50.0% 548,599

100.0% 100.0% 1,097,210 Sector Total

100.0% 1,097,210 Portfolio Total 100.0%


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Portfolio Activity

Quarterly Portfolio Transactions

Trade

Date

Settle

Date

Maturity

DatePar ($) CUSIP Security Description

Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon


28 of 51



Portfolio Activity


Security DescriptionCUSIPPar ($) Settle

Date

Trade

Date

Tran.

Type

Maturity

Date Transact

Amt ($)Yield

Realized

G/L (BV)Coupon

TOTALS


29 of 51

CITY OF ROWLETT LONG TERM POOLED FUND


Portfolio Snapshot

Portfolio Statistics

As of June 30, 2017

$13,205,000

$13,202,254

$13,169,875

$32,379

-

Accrued Interest:

Cash:

Par Value:

Total Market Value:

Security Market Value:

$13,223,530

1.37%

1.10%

AAAverage Credit: **

Yield at Cost:

Amortized Cost:

Yield at Market:

Effective Duration: 1.58 Years

Duration to Worst: 1.58 Years

Average Maturity: 1.61 Years

Credit Quality (S&P Ratings)

100.0%

AA+

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

0 - 1 Year 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years > 5 Years

26.5%

45.0%

28.5%

0.0% 0.0% 0.0%


Sector Allocation

24.1%

Federal

Agency/GSE

75.9%

U.S.

Treasury


* An average of each security’s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio.

Account 75981504

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Portfolio Performance (Total Return)

Effective

DurationPortfolio/Benchmark

Annualized Return

10 Year1 Year 3 Year 5 YearSince Inception

(06/30/06) **

Current

Quarter

CITY OF ROWLETT LONG TERM POOLED FUND 1.58 0.20% 1.87%0.07% 0.69% 0.62% 2.19%

BofA ML 1-3 Year U.S. Treasury Index 1.82 0.17% 1.95%-0.11% 0.69% 0.63% 2.22%

Difference 0.18% 0.03% 0.00% -0.01% -0.08% -0.03%

-0.4%

0.0%

0.4%

0.8%

1.2%

1.6%

2.0%

2.4%

Current Quarter 1 Year 3 Year 5 Year 10 Year Since Inception

0.20%0.07%

0.69%0.62%

1.87%

2.19%

0.17%

-0.11%

0.69% 0.63%

1.95%

2.22%

To

tal R

etu

rn

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.

Account 75981504

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Effective

DurationPortfolio/Benchmark

Annualized Return

03/31/17 09/30/1606/30/17 12/31/16

Quarter Ended

5 Year1 Year 3 Year

CITY OF ROWLETT LONG TERM POOLED FUND 1.58 0.20% 0.07% 0.69% 0.62%0.26% -0.36% -0.03%

BofA ML 1-3 Year U.S. Treasury Index 1.82 0.17% -0.11% 0.69% 0.63%0.26% -0.43% -0.11%

Difference 0.18% 0.03% 0.00% -0.01%0.00% 0.07% 0.08%

-0.6%

-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

06/30/17 03/31/17 12/31/16 09/30/16 1 Year 3 Year 5 Year

0.20%0.26%

-0.36%

-0.03%

0.07%

0.69%0.62%

0.17%

0.26%

-0.43%

-0.11% -0.11%

0.69%0.63%

To

tal R

etu

rn



Portfolio performance is gross of fees unless otherwise indicated.

Account 75981504

32 of 51





03/31/17 09/30/1606/30/17 12/31/16

Quarter Ended Annualized Return

5 Year1 Year 3 YearPortfolio/Benchmark

Effective

Duration

0.07% 0.69% 0.62%0.26% -0.36% -0.03%CITY OF ROWLETT LONG TERM POOLED FUND 0.20% 1.58

-0.01% 0.61% 0.54%0.24% -0.38% -0.05% Net of Fees ** 0.18% 0.00

-0.11% 0.69% 0.63%0.26% -0.43% -0.11%BofA ML 1-3 Year U.S. Treasury Index 0.17% 1.82

0.18% 0.03% 0.00% -0.01%0.00% 0.07% 0.08%Difference (Gross)

Difference (Net) 0.01% -0.02% 0.05% 0.06% 0.10% -0.08% -0.09%

-0.6%

-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

06/30/17 03/31/17 12/31/16 09/30/16 1 Year 3 Year 5 Year

0.20%0.26%

-0.36%

-0.03%

0.07%

0.69%0.62%

0.17%

0.26%

-0.43%

-0.11% -0.11%

0.69%0.63%

To

tal

Re

turn



Portfolio performance is gross of fees unless otherwise indicated. ** Fees were calculated based on average assets during the period at the contractual rate.

Account 75981504

33 of 51




Portfolio Earnings

Quarter-Ended June 30, 2017

Market Value Basis Accrual (Amortized Cost) Basis

Net Purchases/Sales

Change in Value

Interest Earned

$13,392,455.36

($210,000.00)

($12,580.50)

$39,149.37

$26,568.87

$13,169,874.86

$13,436,003.20

($210,000.00)

($2,473.05)

$39,149.37

$36,676.32

$13,223,530.15

Portfolio Earnings

Beginning Value (03/30/2017)

Ending Value (06/30/2017)


34 of 51




Sector Allocation

As of June 30, 2017

Market Value ($) % of PortfolioSector

U.S. Treasury 9,991,338 75.9%

Federal Agency/GSE 3,178,537 24.1%

Total $13,169,875 100.0%

24.1%

Federal

Agency/GSE

75.9%

U.S. Treasury



Account 75981504

35 of 51




Sector Allocation

As of June 30, 2017

Market Value ($)Sector % of Portfolio % of Benchmark

100.0% 75.9% 9,991,338 U.S. Treasury

- 24.1% 3,178,537 Federal Agency/GSE

$13,169,875 100.0% 100.0%Total

0%

20%

40%

60%

80%

100%

Federal Agency/GSE U.S. Treasury

24.1%

75.9%

0.0%

100.0%




Account 75981504

36 of 51




Sector Allocation

June 30, 2017 March 31, 2017 December 31, 2016 September 30, 2016

% of TotalMV ($MM)Sector % of Total% of Total% of Total MV ($MM)MV ($MM)MV ($MM)

U.S. Treasury 10.0 75.9% 10.2 76.3% 10.2 76.3% 9.4 69.6%

Federal Agency/GSE 3.2 24.1% 3.2 23.7% 3.2 23.7% 4.1 30.4%

$13.2 100.0% $13.4 100.0% $13.4 100.0% $13.5 100.0%Total

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

June 2017 March 2017 December 2016 September 2016

Federal Agency/GSE

U.S. Treasury



Account 75981504

37 of 51





As of June 30, 2017

>5

Years

4-5

Years

3-4

Years

2-3

Years

1-2

Years

0-1

YearsYield

at MarketPortfolio/Benchmark

Average

Maturity

CITY OF ROWLETT LONG TERM POOLED FUND 1.37% 26.5% 45.0% 28.5% 0.0% 0.0% 0.0%1.61 yrs

BofA ML 1-3 Year U.S. Treasury Index 1.40% 3.1% 53.5% 43.4% 0.0% 0.0% 0.0%1.94 yrs

0%

10%

20%

30%

40%

50%

60%


26.5%

45.0%

28.5%

0.0% 0.0% 0.0%3.1%

53.5%

43.4%

0.0% 0.0% 0.0%



38 of 51




As of June 30, 2017

Duration Distribution

> 5 YEARS4-5 YEARS3-4 YEARS2-3 YEARS1-2 YEARS0-1 YEARSEffective

DurationPortfolio / Benchmark

CITY OF ROWLETT LONG TERM POOLED FUND 1.58 26.5% 45.0% 28.5% 0.0% 0.0% 0.0%

BofA ML 1-3 Year U.S. Treasury Index 1.82 3.1% 54.2% 42.7% 0.0% 0.0% 0.0%

0%

10%

20%

30%

40%

50%

60%


27%

45%

29%

0% 0% 0%3%

54%

43%

0% 0% 0%

Distribution by Effective Duration


BofA ML 1-3 Year U.S. Treasury Index

0%

10%

20%

30%

40%

50%

60%


14%

45%

41%

0% 0% 0%2%

43%

55%

0% 0% 0%

Contribution to Portfolio Duration

BofA ML 1-3 Year U.S. Treasury Index



39 of 51




Credit Quality

As of June 30, 2017

S&P Rating Market Value ($) % of Portfolio

100.0%$13,169,875AA+

Totals 100.0%$13,169,875

100.0%

AA+



Account 75981504

40 of 51




Issuer Distribution

As of June 30, 2017

Market Value ($) % of PortfolioIssuer

UNITED STATES TREASURY 9,991,338 75.9%

FANNIE MAE 2,087,933 15.9%

FREDDIE MAC 1,090,603 8.3%

13,169,875 100.0%Grand Total:


41 of 51




Sector/Issuer Distribution

As of June 30, 2017

% of SectorSector / Issuer Market Value ($) % of Total Portfolio

Federal Agency/GSE

FANNIE MAE 15.9% 65.7% 2,087,933

FREDDIE MAC 8.3% 34.3% 1,090,603

100.0% 24.1% 3,178,537 Sector Total

U.S. Treasury

UNITED STATES TREASURY 75.9% 100.0% 9,991,338

100.0% 75.9% 9,991,338 Sector Total

100.0% 13,169,875 Portfolio Total 100.0%


42 of 51



Portfolio Activity


Trade

Date

Settle

Date

Maturity

DatePar ($) CUSIP Security Description

Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

INTEREST

4/15/17 4/15/17 500,000 3137EADZ9 FREDDIE MAC NOTES 4/15/19 2,812.50 1.12%

4/30/17 4/30/17 490,000 912828WD8 US TREASURY NOTES 10/31/18 3,062.50 1.25%

5/31/17 5/31/17 1,450,000 912828A34 US TREASURY NOTES 11/30/18 9,062.50 1.25%

5/31/17 5/31/17 435,000 912828WL0 US TREASURY NOTES 5/31/19 3,262.50 1.50%

5/31/17 5/31/17 880,000 912828G61 US TREASURY NOTES 11/30/19 6,600.00 1.50%

6/15/17 6/15/17 210,000 912828WP1 US TREASURY NOTES 6/15/17 918.75 0.87%

6/20/17 6/20/17 600,000 3135G0ZE6 FNMA NOTES 6/20/19 5,250.00 1.75%

6/30/17 6/30/17 1,000,000 912828VK3 US TREASURY NOTES 6/30/18 6,875.00 1.37%

5,565,000 37,843.75Total INTEREST

MATURITY

6/15/17 6/15/17 210,000 912828WP1 US TREASURY NOTES 6/15/17 210,000.00 0.00 0.87%

210,000 210,000.00 0.00Total MATURITY


43 of 51



Portfolio Activity


Security DescriptionCUSIPPar ($) Settle

Date

Trade

Date

Tran.

Type

Maturity

Date Transact

Amt ($)Yield

Realized

G/L (BV)Coupon

4/15/17 4/15/17 500,000.00 3137EADZ9 FREDDIE MAC NOTESINTEREST 4/15/19 2,812.50 1.12%

4/30/17 4/30/17 490,000.00 912828WD8 US TREASURY NOTESINTEREST 10/31/18 3,062.50 1.25%

5/31/17 5/31/17 1,450,000.00 912828A34 US TREASURY NOTESINTEREST 11/30/18 9,062.50 1.25%

5/31/17 5/31/17 435,000.00 912828WL0 US TREASURY NOTESINTEREST 5/31/19 3,262.50 1.50%

5/31/17 5/31/17 880,000.00 912828G61 US TREASURY NOTESINTEREST 11/30/19 6,600.00 1.50%

6/15/17 6/15/17 210,000.00 912828WP1 US TREASURY NOTESINTEREST 6/15/17 918.75 0.87%

6/15/17 6/15/17 210,000.00 912828WP1 US TREASURY NOTESMATURITY 6/15/17 210,000.00 0.00 0.87%

6/20/17 6/20/17 600,000.00 3135G0ZE6 FNMA NOTESINTEREST 6/20/19 5,250.00 1.75%

6/30/17 6/30/17 1,000,000.00 912828VK3 US TREASURY NOTESINTEREST 6/30/18 6,875.00 1.37%

TOTALS 247,843.75 0.00


44 of 51

Tab III



CITY OF ROWLETT, TEXAS Asset Allocation

Security Type1Amortized Cost

(Includes Interest)Allocation

Percentage NotesPermitted by Policy

In Compliance

American National Bank of Texas 8,713,819.18 15.46% 100% YESTexPool - Local Government Investment Pool 33,297,939.14 59.08% 100% YESUnited States Treasury Securities 10,041,602.33 17.82% 100% YESUnited States Government Agency Securities - 0.00% 100% YESFederal Instrumentalities 3,214,306.62 5.70% 2 100% YESMortgage-Backed Securities - 0.00% 2 20% YESCertificates of Deposit - 0.00% 20% YESRepurchase Agreements - 0.00% 20% YESCommercial Paper 1,097,011.06 1.95% 25% YESCorporate Notes - 0.00% 0% YESBankers' Acceptances - 0.00% 25% YESState and/or Local Government Debt - 0.00% 25% YESFixed Income Money Market Mutual Funds - 0.00% 50% YESNotes: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 June 30, 2017 is 5.70%.


American National Bank of

Texas15.46%

TexPool ‐ Local Government

Investment Pool59.08%

United States Treasury Securities17.82%

Federal Instrumentalities

5.70%

Commercial Paper 1.95%

46 of 51


CITY OF ROWLETT, TEXAS Asset Allocation

Individual Issuer BreakdownAmortized Cost

(Includes Interest)Allocation

Percentage NotesPermitted by Policy

In Compliance

Government National Mortgage Association (GNMA) - 0.00% 40% YESFederal Farm Credit Bank (FFCB) - 0.00% 40% YESFederal Home Loan Bank (FHLB) - 0.00% 40% YESFederal National Mortgage Association (FNMA) 2,111,112.13 3.75% 40% YESFederal Home Loan Mortgage Corporation (FHLMC) 1,103,194.49 1.96% 40% YESBank of Tokyo Mitsubishi, Inc. Commercial Paper 548,460.92 0.97% 5% YESBNP Paribas Commercial Paper 548,550.14 0.97% 5% YES




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

Ã 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.

Ã 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.

Ã 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.

Ã Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets.

Ã Money market fund/cash balances are included in performance and duration computations.

Ã Standard & Poorʼs is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/LGIP holdings.

Ã 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.

Ã MBS maturities are represented by expected average life.


49 of 51



Appendix

GLOSSARY

Ã ACCRUED INTEREST: Interest that is due on a bond or other fixed income security since the last interest payment was made.

Ã AGENCIES: Federal agency securities and/or Government-sponsored enterprises.

Ã 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.

Ã 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.

Ã COMMERCIAL PAPER: An unsecured obligation issued by a corporation or bank to finance its short-term credit needs, such as accounts receivable and inventory.

Ã 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.

Ã 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.

Ã EFFECTIVE DURATION: A measure of the sensitivity of a security’s price to a change in interest rates, stated in years.

Ã 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 ominal yield does not.

Ã FDIC: Federal Deposit Insurance Corporation. A federal agency that insures bank deposits to a specified amount.

Ã INTEREST RATE: Interest per year divided by principal amount and expressed as a percentage.

Ã MARKET VALUE: The value that would be received or paid for an investment in an orderly transaction between market participants at the measurement date.

Ã MATURITY: The date upon which the principal or stated value of an investment becomes due and payable.

Ã NEGOTIABLE CERTIFICATES OF DEPOSIT: A CD with a very large denomination, usually $1 million or more, that can be traded in secondary markets.

Ã PAR VALUE: The nominal dollar face amount of a security.


50 of 51



Appendix

GLOSSARY

Ã 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.

Ã 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.

Ã 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.

Ã TRADE DATE: The date on which the transaction occurred; however, the final consummation of the security transaction and payment has not yet taken place.

Ã UNSETTLED TRADE: A trade which has been executed; however, the final consummation of the security transaction and payment has not yet taken place.

Ã U.S. TREASURY: The department of the U.S. government that issues Treasury securities.

Ã 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.

Ã 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.

Ã 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.


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investment performance review for the quarter ended june

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