investment performance review for the quarter ended march

Investment Advisors

Steven Alexander, CTP, CGFO, CPPT, Managing DirectorRobert Cheddar, CFA, Chief Credit Officer, Managing DirectorD. Scott Stitcher, CFA, DirectorRichard Pengelly, CFA, CTP, DirectorRebecca Geyer, CTP, Senior AnalystCody Raulerson, Analyst

PFM Asset Management LLC

One Keystone Plaza, Suite 300North Front & Market Streets

Harrisburg, PA 17101-2044717.232.2723

717.233.6073 fax

300 South Orange AvenueSuite 1170

Orlando, FL 32801407.648.2208

407.648.1323 fax

Investment Performance Review For the Quarter Ended March 31, 2017

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TABLE OF CONTENTS For the Quarter Ended March 31, 2017

Tab I

Market Update

Tab II

Executive Summary

Pooled Funds

Long Term Pooled Funds

Tab III

Asset Allocation Chart

Important Disclosures

2017 PFM Asset Management LLC of 50

Tab I


QUARTERLY MARKET SUMMARYFor the Quarter Ended March 31, 2017

Fixed Income Management

S U M M A R Y• 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 FederalOpen Market Committee (FOMC) raised the federal funds target range by0.25% to a range of 0.75% to 1.00%. The FOMC also released updatedeconomic forecasts and a new “dot plot.” These were largely unchanged fromthe forecasts released in December.

• Central banks in the developed world outside of the United States continuedto apply highly accommodative monetary policies as economic growth andinflation remained subdued. As a result, sovereign bond yields were at or nearhistoric lows, with yields throughout Europe and Japan below 0%. Emergingmarkets experienced a resurgence this past quarter, after reeling from lack ofpositive investor sentiment, turning in a strong begining to 2017.

E C O N O M I C S N A P S H O T• The pace of U.S. economic expansion slowed in the fourth quarter of 2016.

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 fourthquarter of 2016, a slowdown from the third quarter’s pace of 3.5%. Thedeceleration reflected downturns in exports and federal government spending,and a deceleration in business investment. First quarter estimates are callingfor further slowing in the pace of expansion to below 1.5% as consumerspending declines and business investment remains muted.

• The labor market added over 500,000 jobs in the first quarter as theunemployment rate declined to a decade low of 4.5% with the labor forceparticipation rate rising to 63% for the first time in a year. Wage growthremained 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 readingincreased to its highest level since the end of 2000. Manufacturing extendedits expansion during the quarter with the ISM manufacturing PMI rebounding,

after contracting over 2016 year-end, to its highest level since the end of 2014. On the housing front, existing home sales reached pre-crisis levels, selling at an annual rate of 5.69 million to start the year.

I N T E R E S T R A T E S• 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 theexpectation for a Fed rate hike gained certainty. Yields on commercial paperand certificates of deposit did not increase. However, yields on short-termcredit instruments remained elevated and offered incremental yield.

S E C T O R P E R F O R M A N C E• U.S. Treasury indexes posted positive returns in the first quarter of the year,

the first positive quarter since the second quarter of 2016. Returns were largely generated by income rather than price appreciation as yields were little changed.

• Federal agency yield spreads remained near historically tight levelsthroughout the quarter as the supply-demand imbalance continued. Thesector outperformed comparable maturity Treasuries for the third quarter in arow.

• Corporate yield spreads continued to tighten during the quarter, reachingmulti-year lows, before drifting mildly wider at the end of March. The sectorgenerated 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 dueto duration extensions, and headline risk surrounding the potential reductionin the Fed’s balance sheet holdings.

• Asset-backed securities (ABS) strongly outperformed Treasuries, as AAA-rated tranches, in our view, continued to offer good value, adding to returnsand diversification.

© 2017 PFM Asset Management LLC of 50



Economic Snapshot

Labor Market Dec '16 Mar '16

Unemployment Rate Feb'17 4.7% 4.7% 5.0%

Change In Non-Farm Payrolls Feb'17 235,000 155,000 225,000

Average Hourly Earnings (YoY) Feb'17 2.8% 2.9% 2.5%

Personal Income (YoY) Feb'17 4.6% 3.6% 3.6%

Initial Jobless Claims (week) 3/24/17 258,000 241,000 275,000

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'17 57.2 54.5 51.7

Existing Home Sales SAAR (month) Feb'17 5.48 mil. 5.51 mil. 5.39 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%

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

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

Real GDP (QoQ)

Consumer Price Index

-1%

0%

1%

2%

3%

Feb '14 Aug '14 Feb '15 Aug '15 Feb '16 Aug '16 Feb '17

CPI (YoY) Core CPI (YoY)

0

125K

250K

375K

4%

5%

6%

7%

Feb '14 Aug '14 Feb '15 Aug '15 Feb '16 Aug '16 Feb '17

Change In Non-Farm Payrolls Unemployment Rate

-2%

0%

2%

4%

6%

Dec '13 Jun '14 Dec '14 Jun '15 Dec '15 Jun '16 Dec '16

2

2

1

1

1. Data as of Second Quarter 2016

2. 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.

© 2017 PFM Asset Management LLC

QUARTERLY MARKET SUMMARY

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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 3/31/17

0%

1%

2%

3%

4%

3-mo

1-yr2-yr3-yr

5-yr

7-yr

10-yr

30-yr

Yiel

d

MaturityMarch 31, 2017 December 31, 2016 March 31, 2016

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%

0%

1%

2%

3%

4%

5%

3-mo

1-yr2-yr3-yr

5-yr

7-yr

10-yr

25-yr

30-yr

Yiel

d

MaturityU.S. Treasury Federal Agency Industrial Corporates, A Rated

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

Sep '16 Oct '16 Nov '16 Dec '16

Yiel

d

2-Year 5-Year 10-Year




Source: BofA Merrill Lynch Indices.

March 31, 2017 Duration Yield 3 Month 1 Year 3 Years1-3 Year Indices

U.S. Treasury 1.89 1.27% 0.26% 0.25% 0.72%

Federal Agency 1.79 1.37% 0.30% 0.41% 0.83%

U.S. Corporates, A-AAA rated 1.93 1.92% 0.60% 1.32% 1.41%

Agency MBS (0 to 3 years) 2.08 1.98% 0.38% 0.40% 1.13%

Taxable Municipals 1.89 2.24% 0.70% 2.26% 1.92%

1-5 Year IndicesU.S. Treasury 2.70 1.48% 0.37% (0.10%) 1.14%

Federal Agency 2.27 1.51% 0.41% 0.28% 1.16%




Master Indices (Maturities 1 Year or Greater)U.S. Treasury 6.25 1.92% 0.68% (1.47%) 2.32%

Federal Agency 3.91 1.84% 0.74% 0.11% 2.00%




As of 3/31/17 Returns for Periods ended 3/31/17

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 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 1940. 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 www.pfm.com.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.

© 2017 PFM Asset Management LLC. Further distribution is not permitted without prior written consent.


Tab II


EXECUTIVE SUMMARY For the Quarter Ended March 31, 2017

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 of0.26%. For the last 12 months the Portfolio’s total return performance of 0.32% outperformed the benchmarkperformance of 0.25%.

PFM continued to actively manage the Long Term Fund Portfolio during the quarter and found value in the market, takingadvantage of market inefficiencies or changes in economic outlook. As a result, the Portfolio realized $880 in gains onsales (based on amortized cost) during the quarter. PFM is continually in the market monitoring for opportunities to addvalue to the Portfolio.

Yields remained within a narrow range through the first couple months before rising strongly in anticipation of the MarchFOMC rate hike as Fed officials made a concerted effort to telegraph expectations. Yields on the short-end of the curveended 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 for2017 by the Committee’s “dot plot.” In addition, a potential reduction in the size of the Fed’s balance sheet later in theyear 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 portfoliodurations to closely match that of benchmarks. We will continue to revisit this position regularly, especially in light of thepotential for higher yields later in the year.

We will continue to monitor incoming economic data, Fed policy, and market relationships, adjusting portfolio positioningas needed. This will include monitoring and assessing the policies of the incoming Trump administration for their impacton economic and market conditions.


For the Quarter Ended March 31, 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 March 31, 2017 December 31, 2016 March 31, 2017 December 31, 2016 March 31, 2017Pooled Funds $1,093,285 $1,098,044 $1,093,307 $1,098,598 0.450 Long Term Pooled Fund 13,467,076 13,475,084 13,423,529 13,432,367 1.800 TexPool 39,526,243 37,650,828 39,526,243 37,650,828 0.003 American National Bank of Texas 6,196,626 9,613,150 6,196,626 9,613,150 0.003 Total $60,283,230 $61,837,106 $60,239,704 $61,794,942 0.411

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

Account Name March 31, 2017 December 31, 2016 March 31, 2017 December 31, 2016 December 31, 2016Pooled Funds 1.35% 1.09% 1.34% 0.77% 0.160Long Term Pooled Fund 1.10% 1.04% 1.27% 1.15% 1.820TexPool5 0.62% 0.46% 0.62% 0.46% 0.003American National Bank of Texas 0.00% 0.00% 0.00% 0.00% 0.003Weighted Average YTM 0.68% 0.52% 0.72% 0.54% 0.401

Monthly Interest earnings YTD6, 7

October 2016 $3,018 April 2017 $0November 2016 ($42,137) May 2017 $0December 2016 $20,912 June 2017 $0

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 $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 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 March 31, 2017CITY OF ROWLETT, TEXAS Amortized Cost and Market Value Analysis

12/31/2016 12/31/2016 12/31/2016 3/31/2017 3/31/2017 3/31/2017 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 $37,650,828.03 $37,650,828.03 $0.00 $39,526,242.82 $39,526,242.82 4.98%BANK ACCT AMERICAN NATIONAL BANK OF TEXAS 0.00 9,613,149.91 9,613,149.91 0.00 6,196,625.59 6,196,625.59 -35.54%

$0.00 $47,263,977.94 $47,263,977.94 $0.00 $45,722,868.41 $45,722,868.41 -3.26%

TOTAL $0.00 $47,263,977.94 $47,263,977.94 $0.00 $45,722,868.41 $45,722,868.41 -3.26%

POOLED FUNDSCOMMERCIAL PAPER06538BQ14 BANK OF TOKYO MITS UFJ LTD COMM PAPER $550,000.00 0.000 03/01/17 $0.00 $548,900.30 $549,259.15 $0.00 $0.00 $0.00 0.00%46640PQ14 BNP PARIBARS COMM PAPER 550,000.00 0.000 03/01/17 0.00 549,143.68 549,338.35 0.00 0.00 0.00 0.00%06538BWC3 BANK OF TOKYO MITS UFJ LTD COMM PAPER 550,000.00 0.000 09/12/17 0.00 0.00 0.00 0.00 546,542.33 546,609.25 0.00%09659BWC0 BNP PARIBARS COMM PAPER 550,000.00 0.000 09/12/17 0.00 0.00 0.00 0.00 546,742.78 546,697.80 0.00%

$2,200,000 $0.00 $1,098,043.98 $1,098,597.50 $0.00 $1,093,285.11 $1,093,307.05 -0.48%

TOTAL $2,200,000 $0.00 $1,098,043.98 $1,098,597.50 $0.00 $1,093,285.11 $1,093,307.05 -0.482%

LONG TERM POOLED FUNDFED AGY BOND/NOTE3137EADZ9 FREDDIE MAC NOTES 500,000 1.125 04/15/19 1,187.50 501,863.69 497,976.50 2,593.75 501,662.26 497,580.50 -0.08%3135G0ZE6 FNMA NOTES 600,000 1.750 06/20/19 320.83 611,323.00 606,291.60 2,945.83 610,187.94 604,861.80 -0.24%3137EAEB1 FHLMC REFERENCE NOTE 600,000 0.875 07/19/19 2,347.92 597,747.22 592,074.60 1,050.00 597,965.83 592,709.40 0.11%3135G0N33 FNMA BENCHMARK NOTE 600,000 0.875 08/02/19 2,172.92 597,615.60 591,665.40 860.42 597,843.65 592,212.00 0.09%3135G0P49 FNMA NOTES 900,000 1.000 08/28/19 2,975.00 898,120.49 890,001.90 775.00 898,292.37 890,439.30 0.05%

$3,200,000 $9,004.17 $3,206,670.00 $3,178,010.00 $8,225.00 $3,205,952.05 $3,177,803.00 -0.01%US TSY BOND/NOTE912828WP1 US TREASURY NOTES 210,000 0.875 6/15/2017 617.07 1,509,819.59 1,511,769.72 540.14 209,988.59 210,032.76 -86.11%912828UU2 US TREASURY NOTES 2,500,000 0.750 3/31/2018 4,790.52 2,493,024.65 2,492,772.50 51.23 2,494,402.35 2,491,797.50 -0.04%912828VK3 US TREASURY NOTES 1,000,000 1.375 6/30/2018 37.98 1,003,847.53 1,004,688.00 3,456.49 1,003,212.20 1,002,891.00 -0.18%912828WD8 US TREASURY NOTES 490,000 1.250 10/31/2018 1,049.03 493,926.73 490,784.98 2,571.82 493,396.41 490,382.69 -0.08%912828A34 US TREASURY NOTES 1,450,000 1.250 11/30/2018 1,593.41 1,450,288.71 1,452,095.25 6,074.86 1,450,251.75 1,450,962.80 -0.08%912828SH4 US TREASURY NOTES 1,950,000 1.375 2/28/2019 9,110.32 1,966,320.33 1,955,483.40 2,331.52 1,964,470.83 1,954,646.85 -0.04%912828WL0 US TREASURY NOTES 435,000 1.500 5/31/2019 573.63 440,965.53 437,004.92 2,186.95 440,359.86 436,886.16 -0.03%912828G61 US TREASURY NOTES 880,000 1.500 11/30/2019 1,160.44 882,284.68 881,821.60 4,424.18 882,094.55 881,478.40 -0.04%912828J84 US TREASURY NOTES 800,000 1.375 3/31/2020 0.00 0.00 0.00 30.05 792,738.80 796,531.20 0.00%912828N63 US TREASURY N/B 500,000 1.125 1/15/2019 0.00 0.00 0.00 1,180.94 499,135.81 499,043.00 0.00%

$10,215,000 $18,932.40 $10,240,477.75 $10,226,420.37 $22,848.18 $10,230,051.15 $10,214,652.36 -0.12%

TOTAL $13,415,000 $27,936.57 $13,447,147.75 $13,404,430.37 $31,073.18 $13,436,003.20 $13,392,455.36 -0.089%

TOTAL PORTFOLIO $15,615,000 $27,936.57 $61,809,169.67 $61,767,005.81 $31,073.18 $60,252,156.72 $60,208,630.82 -2.52%


Summary Portfolio Amortized Cost and Market Value Analysis

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For the Quarter Ended March 31, 2017CITY OF ROWLETT, TEXAS Composition and Credit Quality Characteristics

Security Type1 March 31, 2017 % of Portfolio December 31, 2016 % of Portfolio

U.S. Treasuries $10,237,501 17.0% $10,245,353 16.6%

Federal Agencies $3,186,028 5.3% 3,187,014 5.2%

Commercial Paper $1,093,307 1.8% 1,098,598 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 6,196,626 10.29% 9,613,150 15.6%

TexPool 39,526,243 65.6% 37,650,828 60.9%

Totals $60,239,704 100.0% $61,794,943 100.0%

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

16.99%

Federal Agency

Obligations5.29%

Commercial Paper1.81%

American National Bank

of Texas10.29%

TexPool65.61%

Portfolio Compositionas of 03/31/17

AA+24.84%

A-1+ (Short-term)1.02%

A-1 (Short-term)1.02%

TexPool73.13%

Credit Quality Distribution² as of 03/31/17

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For the Quarter Ended March 31, 2017CITY OF ROWLETT, TEXAS Maturity Distribution

Maturity Distribution1 March 31, 2017 December 31, 2016

Overnight (Money Market Fund) $45,722,868 $47,263,978

Under 6 Months 1,303,880 2,610,984

6 - 12 Months 2,491,849 0

1 - 2 Years 5,413,542 5,447,812

2 - 3 Years 4,511,004 6,472,168

3 - 4 Years 796,561 0

4 - 5 Years 0 0

5 Years and Over 0 0

Totals $60,239,704 $61,794,942

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

75.9%

2.2% 4.1%9.0% 7.5%

1.3% 0.0% 0.0%

76.5%

4.2%0.0%

8.8% 10.5%

0.0% 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

March 31, 2017

December 31, 2016

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For the Quarter Ended March 31, 2017CITY OF ROWLETT, TEXAS General Ledger Entries

Earnings Calculation1/31/2017 Market Value Basis Source Document

January Market Value 58,230,811.52 1 Account Summary PageJanuary Accrued Interest 37,925.81 2 Account Summary Page

Less (Purchases & Deposits) (6,576,679.71) 3 Security Transactions & InterestLess Purchased Interest (2,674.93) 4 Security Transactions & Interest

Add (Sales, Maturities, Paydowns, Withdrawals) 500,546.88 5 Security Transactions & InterestAdd Interest Receipts 25,367.90 6 Security Transactions & Interest

Less December Market Value (52,153,855.90) 7 Account Summary PageLess December Accrued Interest (27,936.57) 8 Account Summary Page

Earnings 33,505.00

Change in Investment Market Value 6,076,955.62 (1 - 7)

Change in Accrued Interest 9,989.24 (2 - 8)

Change in Cash (6,053,439.86) (sum 3 thru 6)

Investment EntriesTo Record Investment Activity Debit Credit Source Document

Cash 6,076,132.83 Security Transactions & InterestInvestments 6,076,955.62 Amortization/Accretion

Investment Income 822.79 EarningsTo record investment income/changes

Cash 22,692.97 Security Transactions & InterestAccrued Interest 9,989.24 Accrued Interest Difference

Investment Income 32,682.21 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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February Market Value 52,138,160.10 1 Account Summary PageFebruary Accrued Interest 29,492.03 2 Account Summary Page

Less (Purchases & Deposits) (5,692,730.01) 3 Security Transactions & InterestLess Purchased Interest - 4 Security Transactions & Interest

Add (Sales, Maturities, Paydowns, Withdrawals) 11,807,992.94 5 Security Transactions & InterestAdd Interest Receipts 38,538.92 6 Security Transactions & Interest

Less January Market Value (58,250,492.08) 7 Account Summary PageLess January Accrued Interest (37,925.81) 8 Account Summary Page

Earnings 33,036.09

Change in Investment Market Value -6,112,331.98 (1 - 7)

Change in Accrued Interest (8,433.78) (2 - 8)

Change in Cash 6,153,801.85 (sum 3 thru 6)



Investment Income 2,930.95 EarningsTo record investment income/changes



Notes:




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March Market Value 53,991,347.21 1 Account Summary PageMarch Accrued Interest 31,073.18 2 Account Summary Page

Less (Purchases & Deposits) (4,078,467.69) 3 Security Transactions & InterestLess Purchased Interest (4,865.38) 4 Security Transactions & Interest

Add (Sales, Maturities, Paydowns, Withdrawals) 2,238,846.55 5 Security Transactions & InterestAdd Interest Receipts 37,296.40 6 Security Transactions & Interest

Less February Market Value (52,156,267.77) 7 Account Summary PageLess February Accrued Interest (29,492.03) 8 Account Summary Page

Earnings 29,470.47

Change in Investment Market Value 1,835,079.44 (1 - 7)

Change in Accrued Interest 1,581.15 (2 - 8)

Change in Cash (1,807,190.12) (sum 3 thru 6)



Investment Income 4,541.70 EarningsTo record investment income/changes



Notes:




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CITY OF ROWLETT POOLED FUNDS

For the Quarter Ended March 31, 2017

Portfolio Snapshot

Portfolio StatisticsAs of March 31, 2017

1,100,000

1,093,307

1,093,307

0

-

1,093,285

1.34%

1.35%

AAverage Credit: **

Yield at Cost:

Accrued Interest:

Cash:

Par Value:

Amortized Cost:

Total Market Value:

Yield at Market:

Security Market Value:

Effective Duration: 0.45 Years

Duration to Worst: 0.45 Years

Average Maturity: 0.45 Years

0.68%Benchmark Eff. Yield:

PFM -

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%

CommercialPaper

2017 PFM Asset Management LLC

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

Account 75981500 of 50



Portfolio Performance

Portfolio Earnings

Quarter-Ended March 31, 2017

Market Value Basis Accrual (Amortized Cost) Basis

Net Purchases/Sales

Change in Value

Interest Earned

$1,098,597.50

($7,329.06)

$2,038.61

$0.00

$2,038.61

$1,093,307.05

$1,098,043.98

($7,329.06)

$2,570.19

$0.00

$2,570.19

$1,093,285.11

Portfolio Earnings

Beginning Value (12/31/2016)

Ending Value (03/31/2017)

2017 PFM Asset Management LLC Account 75981500 of 50



Portfolio Composition

Sector Allocation

As of March 31, 2017

Market Value ($) % of PortfolioSector

Commercial Paper 1,093,307 100.0%

Total 1,093,307 100.0%

100.0%

CommercialPaper


Detail may not add to total due to rounding.





Sector AllocationAs of March 31, 2017

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

- 100.0% 1,093,307Commercial Paper

1,093,307 100.0% 0.0%Total

0%

20%

40%

60%

80%

100%

Commercial Paper

100.0%

0.0%








Sector Allocation

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

March 2017 December 2016 September 2016 June 2016

Commercial Paper







Maturity DistributionAs of March 31, 2017

>5

Years

4-5

Years

3-4

Years

2-3

Years

1-2

Years

0-1

Years

Yield

at MarketPortfolio/BenchmarkAverage

Maturity

CITY OF ROWLETT POOLED FUNDS 1.34% 100.0% 0.0% 0.0% 0.0% 0.0% 0.0%0.45 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%







Duration Distribution

> 5

YEARS4-5

YEARS

3-4

YEARS

2-3

YEARS

1-2

YEARS

0-1

YEARS

Effective

DurationPortfolio / Benchmark

CITY OF ROWLETT POOLED FUNDS 0.45 100.00% 0.00% 0.00% 0.00% 0.00% 0.00%

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





Credit QualityAs of March 31, 2017

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

100.0%$1,093,307A-1

Totals 100.0%$1,093,307

100.0%A-1







Issuer DistributionAs of March 31, 2017

Market Value ($) % of PortfolioIssuer

BNP PARIBAS 546,698 50.0%

MITSUBISHI UFJ FINANCIAL GROUP INC 546,609 50.0%

1,093,307 100.0%Grand Total:





Sector/Issuer DistributionAs of March 31, 2017

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

Commercial Paper

BNP PARIBAS 50.0% 50.0% 546,698

MITSUBISHI UFJ FINANCIAL GROUP INC 50.0% 50.0% 546,609

100.0% 100.0% 1,093,307 Sector Total

100.0% 1,093,307 Portfolio Total 100.0%




Portfolio Activity

Quarterly Portfolio Transactions

Trade

Date

Settle

Date

Maturity

DatePar ($) CUSIP Security DescriptionTransact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

BUY

3/16/17 3/17/17 550,000 06538BWC3 BANK OF TOKYO MITSU UFJ LTD COMM PAPER 9/12/17 546,226.08 1.39%0.00%

3/16/17 3/17/17 550,000 09659BWC0 BNP PARIBAS NY BRANCH COMM PAPER 9/12/17 546,444.86 1.31%0.00%

1,100,000 1,092,670.94Total BUY

MATURITY

3/1/17 3/1/17 550,000 46640PQ14 JP MORGAN SECURITIES LLC COMM PAPER 3/1/17 550,000.00 0.00 0.00%

3/1/17 3/1/17 550,000 06538BQ14 BANK OF TOKYO MITS UFJ LTD COMM PAPER 3/1/17 550,000.00 0.00 0.00%

1,100,000 1,100,000.00 0.00Total MATURITY




Portfolio Activity


Security DescriptionCUSIPPar ($) Settle

Date

Trade

Date

Tran.

Type

Maturity

Date

Transact

Amt ($)Yield

Realized

G/L (BV)Coupon

3/1/17 3/1/17 550,000.00 46640PQ14 JP MORGAN SECURITIES LLC COMM PAPERMATURITY 3/1/17 550,000.00 0.00 0.00%

3/1/17 3/1/17 550,000.00 06538BQ14 BANK OF TOKYO MITS UFJ LTD COMM

PAPER

MATURITY 3/1/17 550,000.00 0.00 0.00%

3/16/17 3/17/17 550,000.00 06538BWC3 BANK OF TOKYO MITSU UFJ LTD COMM

PAPER

BUY 9/12/17 (546,226.08) 1.39%0.00%

3/16/17 3/17/17 550,000.00 09659BWC0 BNP PARIBAS NY BRANCH COMM PAPERBUY 9/12/17 (546,444.86) 1.31%0.00%

TOTALS 7,329.06 0.00


CITY OF ROWLETT LONG TERM POOLED FUND


Portfolio Snapshot

Portfolio StatisticsAs of March 31, 2017

13,415,000

13,423,529

13,392,455

31,073

-

13,436,003

1.27%

1.10%

AAAverage Credit: **

Yield at Cost:

Accrued Interest:

Cash:

Par Value:

Amortized Cost:

Total Market Value:

Yield at Market:

Security Market Value:

Effective Duration: 1.80 Years

Duration to Worst: 1.80 Years

Average Maturity: 1.83 Years

PFM -

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

20.2%

40.3%

33.6%

5.9%

0.0% 0.0%

Maturity Distribution

Sector Allocation

23.7%

FederalAgency/GSE

76.3%U.S. Treasury


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





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

1.80 0.26% 1.95%0.32% 0.71% 0.61% 2.22%

BofA ML 1-3 Year U.S. Treasury Index 1.82 0.26% 2.00%0.25% 0.72% 0.64% 2.26%

Difference 0.07% 0.00% -0.01% -0.03% -0.05% -0.04%

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

0.26% 0.32%

0.71%0.61%

1.95%

2.22%

0.26% 0.25%

0.72%0.64%

2.00%

2.26%

To

tal

Ret

urn

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.






Effective

DurationPortfolio/Benchmark

Annualized Return

12/31/16 06/30/1603/31/17 09/30/16

Quarter Ended

5 Year1 Year 3 Year


FUND

1.80 0.26% 0.32% 0.71% 0.61%-0.36% -0.03% 0.45%

BofA ML 1-3 Year U.S. Treasury Index 1.82 0.26% 0.25% 0.72% 0.64%-0.43% -0.11% 0.53%

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

-0.6%

-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

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

0.26%

-0.36%

-0.03%

0.45%

0.32%

0.71%

0.61%

0.26%

-0.43%

-0.11%

0.53%

0.25%

0.72%0.64%

To

tal

Ret

urn



Portfolio performance is gross of fees unless otherwise indicated.






Effective

DurationPortfolio/Benchmark 12/31/16 06/30/1603/31/17 09/30/16

Quarter Ended Annualized Return

5 Year1 Year 3 Year


FUND

1.80 0.26% 0.32% 0.71% 0.61%-0.36% -0.03% 0.45%

Net of Fees ** - 0.24% 0.24% 0.63% 0.53%-0.38% -0.05% 0.43%

BofA ML 1-3 Year U.S. Treasury Index 1.82 0.26% 0.25% 0.72% 0.64%-0.43% -0.11% 0.53%

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

Difference (Net) -0.02% 0.05% 0.06% -0.10% -0.01% -0.09% -0.11%

-0.6%

-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

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

0.26%

-0.36%

-0.03%

0.45%

0.32%

0.71%

0.61%

0.26%

-0.43%

-0.11%

0.53%

0.25%

0.72%0.64%

To

tal

Ret

urn



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





Portfolio Earnings

Quarter-Ended March 31, 2017

Market Value Basis Accrual (Amortized Cost) Basis

Net Purchases/Sales

Change in Value

Interest Earned

$13,404,430.37

($9,148.44)

($2,826.57)

$38,224.51

$35,397.94

$13,392,455.36

$13,447,147.75

($9,148.44)

($1,996.11)

$38,224.51

$36,228.40

$13,436,003.20

Portfolio Earnings

Beginning Value (12/31/2016)

Ending Value (03/31/2017)





Sector Allocation


Market Value ($) % of PortfolioSector

U.S. Treasury 10,214,652 76.3%

Federal Agency/GSE 3,177,803 23.7%

Total 13,392,455 100.0%

23.7%

FederalAgency/GSE

76.3%U.S. Treasury







Sector AllocationAs of March 31, 2017

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

100.0% 76.3% 10,214,652U.S. Treasury - 23.7% 3,177,803Federal Agency/GSE

13,392,455 100.0% 100.0%Total

0%

20%

40%

60%

80%

100%

Federal Agency/GSE U.S. Treasury

23.7%

76.3%

0.0%

100.0%








Sector Allocation

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

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

U.S. Treasury 10.2 76.3% 10.2 76.3% 9.4 69.6% 10.0 73.8%Federal Agency/GSE 3.2 23.7% 3.2 23.7% 4.1 30.4% 3.6 26.2%

$13.4 100.0% $13.4 100.0% $13.5 100.0% $13.6 100.0%Total

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

March 2017 December 2016 September 2016 June 2016

Federal Agency/GSEU.S. Treasury







Maturity DistributionAs of March 31, 2017

>5

Years

4-5

Years

3-4

Years

2-3

Years

1-2

Years

0-1

Years

Yield

at MarketPortfolio/BenchmarkAverage

Maturity

CITY OF ROWLETT LONG TERM POOLED FUND 1.27% 20.2% 40.3% 33.6% 5.9% 0.0% 0.0%1.83 yrs

BofA ML 1-3 Year U.S. Treasury Index 1.27% 3.2% 53.5% 43.3% 0.0% 0.0% 0.0%1.94 yrs

0%

10%

20%

30%

40%

50%

60%


20.2%

40.3%

33.6%

5.9%

0.0% 0.0%3.2%

53.5%

43.3%

0.0% 0.0% 0.0%







Duration Distribution

> 5

YEARS4-5

YEARS

3-4

YEARS

2-3

YEARS

1-2

YEARS

0-1

YEARS

Effective

DurationPortfolio / Benchmark

CITY OF ROWLETT LONG TERM POOLED FUND 1.80 20.17% 44.02% 35.80% 0.00% 0.00% 0.00%

BofA ML 1-3 Year U.S. Treasury Index 1.82 3.17% 53.53% 43.30% 0.00% 0.00% 0.00%

0%

10%

20%

30%

40%

50%

60%


20%

44%

36%

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%


10%

41%

48%

0% 0% 0%2%

43%

56%

0% 0% 0%

Contribution to Portfolio Duration

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






Credit QualityAs of March 31, 2017

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

100.0%$13,392,455AA+

Totals 100.0%$13,392,455

100.0%AA+







Issuer DistributionAs of March 31, 2017

Market Value ($) % of PortfolioIssuer

UNITED STATES TREASURY 10,214,652 76.3%

FANNIE MAE 2,087,513 15.6%

FREDDIE MAC 1,090,290 8.1%

13,392,455 100.0%Grand Total:





Sector/Issuer DistributionAs of March 31, 2017

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

Federal Agency/GSE

FANNIE MAE 15.6% 65.7% 2,087,513

FREDDIE MAC 8.1% 34.3% 1,090,290

100.0% 23.7% 3,177,803 Sector Total

U.S. Treasury

UNITED STATES TREASURY 76.3% 100.0% 10,214,652

100.0% 76.3% 10,214,652 Sector Total

100.0% 13,392,455 Portfolio Total 100.0%




Portfolio Activity


Trade

Date

Settle

Date

Maturity

DatePar ($) CUSIP Security DescriptionTransact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

BUY

1/5/17 1/6/17 500,000 912828N63 US TREASURY N/B 1/15/19 501,698.37 1.22%1.12%

3/9/17 3/10/17 800,000 912828J84 US TREASURY NOTES 3/31/20 797,459.13 1.69%1.37%

1,300,000 1,299,157.50Total BUY

INTEREST

1/15/17 1/15/17 500,000 912828N63 US TREASURY N/B 1/15/19 2,812.50 1.12%

1/19/17 1/19/17 600,000 3137EAEB1 FHLMC REFERENCE NOTE 7/19/19 2,610.42 0.87%

2/2/17 2/2/17 600,000 3135G0N33 FNMA BENCHMARK NOTE 8/2/19 2,625.00 0.87%

2/28/17 2/28/17 900,000 3135G0P49 FNMA NOTES 8/28/19 4,400.00 1.00%

2/28/17 2/28/17 1,950,000 912828SH4 US TREASURY NOTES 2/28/19 13,406.25 1.37%

3/31/17 3/31/17 800,000 912828J84 US TREASURY NOTES 3/31/20 5,500.00 1.37%

3/31/17 3/31/17 2,500,000 912828UU2 US TREASURY NOTES 3/31/18 9,375.00 0.75%

7,850,000 40,729.17Total INTEREST

SELL

1/5/17 1/6/17 500,000 912828WP1 US TREASURY NOTES 6/15/17 500,811.30 0.63% 604.81 0.87%

3/9/17 3/10/17 800,000 912828WP1 US TREASURY NOTES 6/15/17 801,853.37 0.77% 274.94 0.87%

1,300,000 1,302,664.67 879.75Total SELL




Portfolio Activity


Security DescriptionCUSIPPar ($) Settle

Date

Trade

Date

Tran.

Type

Maturity

Date

Transact

Amt ($)Yield

Realized

G/L (BV)Coupon

1/5/17 1/6/17 500,000.00 912828N63 US TREASURY N/BBUY 1/15/19 (501,698.37) 1.22%1.12%

1/5/17 1/6/17 500,000.00 912828WP1 US TREASURY NOTESSELL 6/15/17 500,811.30 0.63% 604.81 0.87%

1/15/17 1/15/17 500,000.00 912828N63 US TREASURY N/BINTEREST 1/15/19 2,812.50 1.12%

1/19/17 1/19/17 600,000.00 3137EAEB1 FHLMC REFERENCE NOTEINTEREST 7/19/19 2,610.42 0.87%

2/2/17 2/2/17 600,000.00 3135G0N33 FNMA BENCHMARK NOTEINTEREST 8/2/19 2,625.00 0.87%

2/28/17 2/28/17 900,000.00 3135G0P49 FNMA NOTESINTEREST 8/28/19 4,400.00 1.00%

2/28/17 2/28/17 1,950,000.00 912828SH4 US TREASURY NOTESINTEREST 2/28/19 13,406.25 1.37%

3/9/17 3/10/17 800,000.00 912828J84 US TREASURY NOTESBUY 3/31/20 (797,459.13) 1.69%1.37%

3/9/17 3/10/17 800,000.00 912828WP1 US TREASURY NOTESSELL 6/15/17 801,853.37 0.77% 274.94 0.87%

3/31/17 3/31/17 800,000.00 912828J84 US TREASURY NOTESINTEREST 3/31/20 5,500.00 1.37%

3/31/17 3/31/17 2,500,000.00 912828UU2 US TREASURY NOTESINTEREST 3/31/18 9,375.00 0.75%

TOTALS 44,236.34 879.75


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 6,196,625.59 10.28% 100% YESTexPool - Local Government Investment Pool 39,526,242.82 65.57% 100% YESUnited States Treasury Securities 10,252,899.33 17.01% 100% YESUnited States Government Agency Securities - 0.00% 100% YESFederal Instrumentalities 3,214,177.05 5.33% 2 100% YESMortgage-Backed Securities - 0.00% 2 20% YESCertificates of Deposit - 0.00% 20% YESRepurchase Agreements - 0.00% 20% YESCommercial Paper 1,093,285.11 1.81% 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 March 31, 2017 is 5.33%.


American National Bank of

Texas10.28%

TexPool - Local Government

Investment Pool65.57%

United States Treasury Securities

17.01%

Federal Instrumentalities

5.33%

Commercial Paper 1.81%

of 50


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) 2,110,905.21 3.50% 40% YESFederal Home Loan Mortgage Corporation (FHLMC) 1,103,271.84 1.83% 40% YESBank of Tokyo Mitsubishi, Inc. Commercial Paper 546,542.33 0.91% 5% YESBNP Paribas Commercial Paper 546,742.78 0.91% 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

■ 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.




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.




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.


investment performance review for the quarter ended march

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