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Home My WebLink AboutOCSD 99-13RESOLUTION NO.OCSD 99-13 RESOLUTION OF THE BOARD OF DIRECTORS OF THE ORANGE COUNTY SANITATION DISTRICT SUPPORTING A CALIFORNIA WATER BOND CONTAINING SPECIFIC FUNDING LANGUAGE FOR THE SANTA ANA RIVER AND ORANGE COUNTY PROJECTS WHEREAS,the water resources of California are limited and a great need exists for additional water recycling and storage;and WHEREAS,the CALFED process and the Colorado River 4.4 Plan may limit the availability of water imports to southern California during dry years;and the population in the Orange County Sanitation District’s service area is projected to grow by 800,000 new residents by the year 2020;and WHEREAS,agencies within the Santa Ana River Watershed have proposed programs that will provide basin water banking to store groundwater,thereby reducing dependence on imported water and surface storage facilities;and provide contaminant removal and cleanup of water needed for recharge or direct use thereby creating additional annual water supply by using reclamation and groundwater desalting in Orange County and other basins in the watershed;and WHEREAS,these programs will also provide watershed restoration benefiting water supply and water quality,while improving habitat in the watershed and alleviating impacts of significant native habitat loss,wetlands,and open space due to urban development and non-native plant species such as Arundo donax;and WHEREAS these programs will also provide water conservation and efficiency to decrease dependence on water imported into the watershed by funding projects that implement best management practices to conserve valuable water resources;and WHEREAS,these programs will provide flood control and management to solve flooding and drainage problems in areas of heavy agriculture that have endangered livestock and property,degraded surface waters,impacted threatened and endangered species,and impaired beneficial uses;and WHEREAS,these programs will require significant capital funds from general obligation bonds,loans,grants or other local,state and federal funds to provide funding for coordinated water supply,water quality,and habitat improvement projects in the Santa Ana Watershed;and WHEREAS,the California Legislature has begun preparing and will soon begin deliberations on a Bill preliminarily titled the Costa-Machado Safe,Clean,Reliable, I Water Supply and Flood Protection Act intended for the March 2000 primary election ballot;and WHEREAS,the draft Bill contains language to provide funding for safe drinking water protection,flood protection in the Bay Delta,watershed protection,non-point source controls,water recycling,agricultural water conservation,groundwater recharge facilities,and water system rehabilitation;and WHEREAS,the Orange County Sanitation District supports these coordinated programs in the Santa Ana River Watershed and Orange County and supports the activities required to pursue funding for these projects from multiple sources including the aforementioned Bill. NOW,THEREFORE BE IT RESOLVED, Section 1 That the Orange County Sanitation District encourages the Legislature and the Governor to place a water bond on the March 2000 ballot that provides funding for projects to improve southern California’s water reliability;provided that funding from the water bond should be apportioned between northern and southern California based upon the state population;and further provided that projects benefiting Orange County and the Santa Ana River Watershed should be specifically named and funded therein. PASSED AND ADOPTED at a regular meeting held July 21,1999. AUES)~ ~ F. ii.. H:\wp.dta\admin\BS\Resolutions\1 999~OCSD99-1 3.doc Id 2 A INVESTMT ENT ‘POLICY’ FY 1999 I Orange County Sanitation District,California ~fr-~-/~4 ~o D~~-/9’ ORANGE COUNTY SANITATION DISTRICT INVESTMENT POLICY STATEMENT Reviewed and Approved By Finance,Administration and Human Resources Committee On July 14,1999 Adopted By Board of Directors On July 21,1999 ocs~3 9,9~/q’ MUNICIPAL TREASURERS’AssoCIATIoN UNITED STATES &CANADA May 28,1999 Gary G.Streed Director of Finance/Treasurer Orange County Sanitation District 10844 Ellis Avenue Fountain Valley,CA 92708 Dear Mr.Streed: The Municipal Treasurers’Association of the United States and Canada is pleased to present the Orange County Sanitation District with the Association’s Investment Policy Certification. Members of the Association’s Investment Policy Certification Committee congratulate the Orange County Sanitation District for its success in developing a comprehensive written investment policy which meets the criteria set forth by the Association’s Investment Policy Certification Program. Our review of your investment policy is limited to the documentation submitted.The Certification is not a guarantee against loss due to economic and market conditions or human behavior.Governments are welcome to submit their investment policies for review on an annual basis.However,the Investment Policy Certification Committee recommends that a certified government submit its investment policy once every three years or sooner if major revisions are made to the existing policy. The Association’s Investment Policy Certification Committee Chairman,Jeff Cyphert,will be presenting the Investment Policy Certification plaque to all recipients at the Association’s 1999 Annual Conference in Salt Lake City,Utah.The District will be recognized during the Awards Luncheon on Wednesday,August 25~’.I~lease see the enclosed Conference Registration Form. As a treasury/financial officer from a government whose investment policy has been certified by the Association,you are eligible to serve as a reviewer for the Investment Policy Certification Committee. Please consider serving on the Investment Policy Certification Committee.You will find enclosed an application form to serve on the Committee,which you should complete and return if you are interested. The Orange County Sanitation District is to be commended for enhancing its fiscal responsibility in the management of public funds. Sincerely, S~ç/~ft~’ Executive D ector 1029 Vermont Avenue,NW,Suite 710,Washington,DC 20005 PHONE 202-737-0660 FAX 202-737-0662 TABLE OF CONTENTS TABLE OF CONTENTS Section Topic Page 1.0 Policy I 2.0 Scope I 3.0 Standard of Prudence 2 4.0 Investment Objectives 2 5.0 Delegation of Authority 3 6.0 Ethics and Conflicts of Interest 4 7.0 Authorized Financial Dealers and Institutions 4 8.0 Authorized and Suitable Investments 5 9.0 Collateralization 9 10.0 Safekeeping and Custody 9 11.0 Diversification 10 12.0 Maximum Maturities 11 13.0 Internal Control 12 14.0 Performance Objectives and Benchmarks 12 15.0 Reporting 13 16.0 Investment Policy Adoption and Revision 14 Appendix A.Summary of lnyestment Authorization B.Treasury Management Procedures C.Investment Manager Certification D.Investment Pool Questionnaire (LAIF) E.Board Resolution No.OCSD-99-XX,Authorizing the District’s Treasurer to Invest and/or Reinvest District Funds,and Adopting Investment Policy and Performance Benchmarks F.Monthly &Quarterly Investment Program Monitoring Reports G.Sections of the California Government Code Pertinent to Investing Public Funds H.Glossary of Investment Terms INVESTMENT POLICY STATEMENT ORANGE COUNTY SANITATION DISTRICT INVESTMENT POLICY STATEMENT 1.0 Policy It is the policy of the Orange County Sanitation District (OCSD)to invest public funds in a manner which ensures the safety and preservation of capital while meeting reasonably anticipated operating expenditure needs,achieving a reasonable rate of return and conforming to all state and local statutes governing the investment of public funds. 1.1.This Investment Policy is set forth by OCSD for the following purposes: 1.1.1.To establish a clear understanding for the Board of Directors, OCSD management,responsible employees and third parties of the objectives,policies and guidelines for the investment of the OCSD’s idle and surplus funds. 1.1.2.To offer guidance to investment staff and any external investment advisors on the investment of OCSD funds (see Appendix “A”). 1.1.3.To establish a basis for evaluating investment results. 1.2.OCSD establishes investment policies which meet its current investment goals.OCSD shall review this policy annually,and may change its policies as its investment objectives change. 2.0 Scope This Investment Policy applies to all financial assets of OCSD;proceeds of OCSD’s capital projects financing program,which are invested in accordance with provisions of their specific bond indentures;and such funds excluded by law or other Board-approved covenant or agreement. These funds are accounted for by OCSD as represented in OCSD’s Comprehensive Annual Financial Report and include: General Fund Special Reserve Funds. Debt Service Funds (unless prohibited by bond indentures) Capital Project Funds Enterprise Funds Internal Service Funds Trust and Agency Funds Any new Fund established by the Board of Directors (unless exempted by the Board) Page 1 of 14 3.0 Standard of Prudence 3.1 The standard of prudence to be used by OCSD internal staff shall be the “prudent investor”standard defined below in Section 3.1 .1,and shall be applied in the context of managing an overall portfolio.Investment staff acting in accordance with written procedures and this Investment Policy and exercising due diligence shall be relieved of personal responsibility for an individual security’s credit risk or market price changes,provided deviations from expectations are reported in a timely fashion and appropriate action is taken to control adverse developments. 3.1.1 The Prudent Investor Standard:Investments shall be made with judgment and care--under circumstances then prevailing--which persons of prudence,discretion and intelligence exercise in the management of their own affairs, not for speculation,but for investment,considering the probable safety of their capital as well as the probable income to be derived. 4.0 Investment Objectives The primary objectives,in priority order,of OCSD’s investment activities shall be: 4.1 Safety:The safety and preservation of principal is the foremost objective of the investment program Qf OCSD.Investments shall be selected in a manner that seeks to ensure the preservation of capital in OCSD’s overall portfolio.This will be accomplished through a program of diversification, more fully described in Section 11.0,and maturity limitations,more fully described in Section 12.0,in order that potential losses on individual securities do not exceed the income generated from the remainder of the portfolio. 4.2 Liquidity:The investment program will be administered in a manner that will ensure that sufficient funds are available for OCSD to meet its reasonably anticipated operating expenditure needs. 4.3 Return on Investments:The OCSD investment portfolio will be structured and managed with the objective of achieving a rate of return throughout budgetary and economic cycles,commensurate with legal,safety,and liquidity considerations. Page 2 of 14 6.0 Ethics and Conflicts of Interest 6.1 Officers and employees of OCSD involved in the investment process shall refrain from personal business activities that could conflict with proper execution of OCSD’s investment program,or which could impair their ability to make impartial investment decisions.Employees and investment officials shall disclose to the General Manager any material financial interests in financial institutions that conduct business within OCSD’s boundaries,and they shall further disclose any large personal financial/investment positions, the performance of which could be related to the performance of positions in OCSD’s portfolio. 7.0 Authorized Financial Dealers and Institutions 7.1 For investment transactions conducted by OCSD internal staff,theTreasurer will maintain a list of financial institutions authorized to provide investment services to OCSD,including “primary”or regional dealers that qualify under Securities and Exchange commission Rule 15C3-1 (Uniform Net Capital rule),and Federal or State of California chartered banks.No public deposit shall be made except in a qualified public depository as established by State law. All financial institutions which desire to become qualified bidders for investment transactions with OCSD must supply the following for evaluation by the Treasurer: 7.1 .1.Audited financial statements for the institution’s three (3)most recent fiscal years. 7.1.2.A statement,in the format prescribed by the Government Finance Officers Association (GFOA),certifying that the institution has reviewed OCSD’s Investment Policy and that all securities offered to the Districts shall comply fully and in every instance with all provisions of the California Government Code and with this Investment Policy.The current statement is presented in Appendix “C.” 7.1.3.A statement describing the regulatory status of the dealer,and the background and expertise of the dealer’s representatives. Selection of financial institutions,broker/dealers,and banks authorized to engage in transactions with OCSD shall be made through a competitive process.An annual review of the financial condition of qualified institutions will be conducted by the Treasurer. Page 4 of 14 5.0 Delegation of Authority 5.1 Authority to manage OCSD’s investment program is derived from the California Government Code Sections 53600 et seq.and Sections 53635 et seq.The Board of Directors hereby delegates management responsibility for the OCSD investment program to it’s Director of Finance I Treasurer,who shall establish written procedures for the operation of the investment program,consistent with this Policy.The Financial Manager/Assistant Treasurer shall be responsible for day-to-day administration,monitoring,and the development of written administrative procedures for the operation of the investment program,consistent with this Policy.The current treasury management procedures are presented in Appendix “B.”No person may engage in an investment transaction except as provided under the terms of this Policy and the procedures established by the Treasurer.The Treasurer shall be responsible for all transactions undertaken by OCSD internal staff, and shall establish a system of controls to regulate the activities of internal staff and external investment advisors engaged in accordance with Section 5.3. 5.2 The administrative procedures for the operation of OCSD’s investment program will provide for,but not be limited to,the following: 5.2.1 Formats for monthly and quarterly reports to the Finance, Administration and Human Resources Committee,and the Board of Directors. 5.2.2 Compliance with generally accepted accounting principles of the Government Accounting Standards Board. 5.2.3 Establishment of benchmarks for performance measurement. 5.2.4 Establishment of a system of written internal controls. 5.2.5 Establishment of written procedures for competitive bids and offerings of securities that may be purchased or sold by internal OCSD staff. 5.2.6 Establishment of a Desk Procedures Manual for treasury operations and management. 5.3 The Board of Directors of OCSD may,in its discretion,engage the services of one or more registered investment advisors to assist in the management of OCSD’s investment portfolio in a manner consistent with OCSD’s objectives.Such external investment advisors,which shall be selected through a competitive process,shall be granted discretion to purchase and sell investment securities in accordance with this Investment Policy.Such advisors must be registered under the Investment Advisers Act of 1940,or be exempt from such registration. Page 3 of 14 7.2 Selection of broker/dealers used by external investment advisors retained by OCSD,shall be in compliance with contract provisions between OCSD and any external investment advisors,and shall be in substantially the following form: Use of Securities Brokers Neither the Investment Advisor nor any parent, subsidiary or related firm shall act as a securities broker with respect to any purchases or sales of securities which may be made on behalf of OCSD, provided that this limitation shall not prevent the Investment Advisor from utilizing the services of a securities broker which is a parent,subsidiary or related firm,provided such broker effects transactions on a “cost only”or “nonprofit”basis to itself and provides competitive execution.The Investment Advisor shall provide the Districts with a list of suitable independent brokerage firms (including names and addresses)meeting the requirements of Government Code Section 53601.5,and,unless otherwise directed by OCSD,the Investment Advisor may utilize the service of any of such independent securities brokerage firms it deems appropriate to the extent that such firms are competitive with respect to price of services and execution. 8.0 Authorized and Suitable Investments All investments shall be made in accordance with the California Government Code including Sections 16429.1 et seq.,53600 et seq.,and 53684,and as described within this Investment Policy.Permitted investments under this Policy shall include: 8.1 Securities issued by the US Government or an agency of the US Government and fully guaranteed as to payment by the US Government or agency of the US Government.Investment in mortgage-backed bonds and CMOs is not governed by this Section 8.1,even if such bonds are issued by agencies of the US Government.See Section 8.2 for conditions of purchase of mortgage-backed securities.See Section 8.11 for conditions of purchase of CMOs. 8.2 Mortgage-backed securities issued by an agency of the US Government, which are backed by pools of mortgages guaranteed by the full faith and credit of the U.S.Government,or an agency thereof.Selection of mortgage derivatives,which include interest-only payments (lOs)and principal-only payments (POs);inverse floaters,and RE-REMICs (Real Estate Mortgage Investment Conduits),is hereby prohibited. Page 5 of 14 8.3 Commercial paper of “prime”quality and rated “P1”by Moody’s Investor Services (Moody’s),~rated “Al”by Standard &Poor’s Corporation (S&P), and issued by a domestic corporation organized and operating in the United States with assets in excess of $500 million and having a rating of “A”or better on its long-term debt as provided by Moody’s or S&P.Purchases of eligible commercial paper may not exceed 180 days to maturity from the date of purchase.Purchases of commercial paper shall not exceed 15%of the market value of the portfolio,except that a maximum of 30%of the market value of the portfolio may be invested in commercial paper,so long as the average maturity of all commercial paper in the portfolio does not exceed 31 days.No more than 5%of the market value of the portfolio,or 10%of the issuer’s outstanding paper,may be invested in commercial paper issued by any one (1)eligible corporation. 8.4 Banker’s acceptances issued by institutions,the short-term obligations of which are rated a minimum of “P1”by Moody’s,or “Al”by S&P provided that:(a)the acceptance is eligible for purchase by the Federal Reserve System;(b)the maturity does not exceed 270 days;(C)no more than 40% of the total portfolio may be invested in banker’s acceptances;and (d)no more than 30%of the total portfolio may be invested in the banker’s acceptances of any one (1)commercial bank. 8.5 Medium term (or corporate)notes of a maximum of five (5)years maturity issued by corporations organized and operating within the United States,or issued by depository institutions licensed by the United States,or any state, and operating within the United States with assets in excess of $500 million, and which is rated in a rating category of “A”or better on its long-term debt as provided by Moody’s or S&P.Notes eligible for investment under this section shall be rated at least “A3”or better by Moody’s,or “A-”or better by S&P.When an eligible note is rated in a rating category of “A”or better by only one rating agency,the note shall be rated at least “BBB”by the other rating agency.No more than 30%of the portfolio may be invested in eligible medium term or corporate notes. 8.6 Shares of mutual funds investing in securities permitted under this policy and under California Government Code Section 53601.Such funds must either:(I)attain the highest ranking,or the highest letter and numerical rating,provided by not less than two of the three largest nationally recognized rating services;or (2)have an Investment Advisor registered with the Securities and Exchange Commission with not less than five (5)years of experience investing in the securities and obligations authorized under this Policy and under California Government Code Section 53601,and with assets under management in excess of $500 million.The purchase price of such shares may not include any commissions.Investment in mutual funds may not exceed 15%of the total portfolio. Page 6 of 14 8.7 Certificates of deposit: 8.7.1 Secured (collateralized)time deposits issued by a nationally or state-chartered bank or state or federal savings and loan association,as defined by Section 5102 of the California Financial Code,~having a net operating profit in the two (2)most recently completed fiscal years. Collateral must comply with Chapter 4,Bank Deposit Law,Section 16500 et seq.,and Chapter 4.5,Savings and Loan Association and Credit Union Deposit Law,Section 16600 et seq.,of the California Government Code. 8.7.2 Negotiable certificates of deposit (NCDs)issued by a nationally or state-chartered bank or state of federal savings and loan association,as defined by Section 5102 ofthe California Financial Code; ~which shall have a rating of “A”or better on its long-term debt as provided by Moody’s or S&P;or which shall have the following minimum short-term ratings by at least two (2)rating services:“P1”for deposits by Moody’s,“Al”for deposits by S&P,or comparably rated by a nationally recognized rating agency which rates such securities;or as otherwise approved by the District’s Board of Directors. 8.8 Taxable or tax-exempt municipal bonds issued by the State of California or its subdivisions.Such securities must be rated “A3”or higher by Moody’s, or “A-”or higher by S&P;or as otherwise approved by the Districts’Board of Directors. 8.9 The State of California Local Agency Investment Fund (LAIF).The LAIF is an investment alternative for California’s local governments and special districts managed by the State Treasurer’s Office.LAIF is more fully described in the Glossary (See Appendix “H.”)The District shall use LAIF as a short-term cash management facility.Investment of District funds in LAIF shall be subject to investigation and due diligence prior to investing, and on a continual basis.See Appendix “0”for investment pool questionnaire. 8.10 The Orange County Treasurer’s Money Market Commingled Investment Pool (OCCIP).The OCCIP is a money market investment pool managed by the Orange County Treasurer’s Office.OCCIP is more fully described in the Glossary.(See Appendix “H.”)The District has no funds invested in OCCIP at this time. Page 7 of 14 8.11 Collateralized mortgage obligations (CMOs)issued by agencies of the US Government which are backed by pools of mortgages guaranteed by the full faith and credit of the U.S.Government,or an agency thereof,and asset- backed securities rated “Aaa”by Moody’s and “AAA”by S&P.Selection of mortgage derivatives,which include interest-only payments (lOs)and principal-only payments (POs);inverse floaters,and RE-REMICS (Real Estate Mortgage Investment Conduits),is hereby prohibited.Securities eligible for purchase under this Section 8.11 shall be issued by an issuer having a rating on its unsecured long-term debt of “A”or higher.Combined purchases of mortgage-backed securities,CMOs and asset-backed securities as authorized under this Section 8.11,may not exceed 20%of the total Long-Term Operating Monies portfolio. 8.12 Repurchase agreements provided that: 8.12.1 All repurchase agreements shall be collateralized with securities eligible for purchase under this Policy.In order to anticipate market changes and to provide a level of security for all repurchase agreement transactions, collateralization shall be maintained at a level of at least 102%of the market value of the repurchase agreements,and shall be adjusted no less than weekly. 8.12.2 All repurchase agreements must be the subject of a Master Repurchase Agreement between OCSD and the provider of the repurchase agreement.The Master Repurchase Agreement shall be substantially in the form developed by The Bond Market Association. 8.13 Reverse repurchase agreements provided that: 8.13.1 No more than five percent (5%)of OCSD’s portfolio shall be invested in reverse repurchase agreements,and there shall be no long-term reverse repurchase agreements unless otherwise authorized by the Districts’ Board of Directors. 8.13.2 The maximum maturity of reverse repurchase agreements shall be ninety (90)days. 8.13.3 Reverse repurchase agreements shall mature on the exact date of a known cash flow which wiU be unconditionally available to repay the maturing reverse repurchase agreement. Page 8 of 14 8.13.4 Proceeds of reverse repurchase agreements shall be used solely to supplement portfolio income or to provide portfolio liquidity,and shall not be used to speculate on market movements. 8.13.5 All reverse repurchase agreements must be the subject of a Master Repurchase Agreement between OCSD and the provider of the reverse repurchase agreement.The Master Repurchase Agreement shall be substantially in the form developed by The Bond Market Association. 8.14 Sales of OCSD-owned securities in the secondary market may incur losses in order to improve the risk or return characteristics of the portfolio,to prevent anticipated further erosion of principal,or when trading for securities that result in an expected net economic gain to OCSD. 8.15 If securities owned by the OCSD are downgraded by either Moody’s or S&P to a level below the quality required by this Investment Policy,it shall be OCSD’s policy to review the credit situation and make a determination as to whether to sell or retain such securities in the portfolio.If a decision is made to retain the downgraded securities in the portfolio,their presence in the portfolio will be monitored and reported monthly to the OCSD General Manager,the Finance,Administration and Human Resources Committee and Board of Directors. 9.0 Collateralization Generally,the value to secure deposits under this Policy shall comply with Section 53652 of the California Government Code.Collateralization will be required for secured time deposits,as more fully described in Section 8.7.1;and repurchase agreements,as more fully described in Section 8.12.1.Collateral will always be held by an independent third- party,as more fully described in Section 10.1.The right of collateral substitution is granted. 10.0 Safekeeping and Custody 10.1 All securities transactions,including collateral for repurchase agreements, entered into by,or on behalf of OCSD,shall be conducted on a delivery-versus-payment (DVP)basis.Securities will be held by OCSD’s third-party ustodan bank,which shall be selected through a competitive process,or that agent’s representative,or in the agent’s account at the Federal Reserve Bank,and evidenced by safekeeping receipts. Page 9 of 14 11.0 Diversification OCSD will diversify its investments by security type,issuer,and financial institution in accordance with the following: 11.1 There is no limit on investment in securities issued by or guaranteed by the full faith and credit of the U.S.government. 11.2 No more than 20%of the portfolio may be invested in securities of a single agency of the U.S.government,which does not provide the full faith and credit of the U.S.government. 11.3 No more than 5%of the portfolio may be invested in securities of any one issuer,other than the U.S.government or its agencies. 11.4 No individual holding shall constitute more than 5%of the total debt outstanding of any issuer.- 11.5 No more than 40%of the portfolio may be invested in banker’s acceptances. 11.6 No more than 15%of the portfolio may be invested in commercial paper, except that 30%of the portfolio may be so invested so long as the average maturity of all commercial paper in the portfolio does not exceed 31 days. 11.7 No more than 30%of the portfolio may be invested in medium-term (corporate)notes. 11.8 No more than 15%of the portfolio may be invested in mutual funds. 11.9 No more than 30%of the portfolio may be invested in negotiable certificates of deposit. 11.10 No more than 10%of the portfolio may be invested in eligible municipal bonds. 11.11 No more than 20%of the Long Term Operating Monies portfolio may be invested in a combination of mortgage-backed securities,CMOs and asset- backed securities.Mortgage-backed securities,CMOs and asset-backed securities may only be purchased by the Districts’external money managers with prior Board approval (authorized by Board Minute Order,January 22, 1997),and may not be purchased by the District’s staff. 11.12 No more than the lesser of 15%of the portfolio or the statutory maximum may be invested in LAIF. 11.13 No more than 15%of the portfolio may be invested in the Orange County Investment Pool. Page 10 of 14 11.14 No more than 20%of the portfolio may be invested in repurchase agreements. 11.15 No more than 5%of the po.rtfolio may be invested in reverse repurchase agreements.. 12.0 Maximum Maturities To the extent possible,OCSD will attempt to match its investments with reasonably anticipated cash flow requirements.The Treasurer shall develop a five-year cash flow forecast,which shall be updated quarterly.Based on this forecast,the Treasurer shall designate,from time-to-time,the amounts to be allocated to the investment portfolio. OCSD monies invested in accordance with this Policy are divided into two (2)categories: 12.1 Liquid Operating Monies.Funds needed for current operating and capital expenditures are known as Liquid Operating Monies. 12.1.1 The maximum final stated maturity of individual securities in the Liquid Operating Monies account portfolio shall be one (1)year from the date of purchase. 12.1.2 The average duration of the Liquid Operating Monies account portfolio shall be recommended by the Treasurer based on the Districts’ cash flow requirements,but may never exceed 180 days,and shall be reviewed and approved by the Finance,Administration and Human Resources Committee,and shall be updated as needed. 12.2 Long Term Operating Monies.Funds needed for longer term purposes are known as the Long Term Operating Monies. 12.2.1 The maximum final stated maturity of individual securities in the Long Term Operating Monies account portfolio shall be five (5)years from the date of purchase,unless otherwise authorized by the Districts’Board of Directors (authorized by Board Minute Order,January 22,1997). 12.2.2 The duration of the Long Term Operating Monies account portfolio shall be recommended by the Treasurer based on the Districts’five year cash flow forecast,shall be reviewed and approved by the Finance, Administration and Human Resources Committee,and shall be updated as needed. Page 11 ofl4 12.2.3 The duration of the Long Term Operating Monies account portfolio shall never exceed 120%of the duration as established in accordance with Section 12.2.2. 12.2.4 The duration of the Long Term Operating Monies account portfolio shall never be less than 80%of the duration as established in accordance with Section 12.2.2 13.0 Internal Control 13.1 The Treasurer shall establish an annual process of independent review by an external auditor.This review will provide internal control by assuring compliance with policies and procedures.The current treasury management procedures are presented in Appendix “B.” 14.0 Performance Obiectives and Benchmarks 14.1 Overall objective.The investment portfolio of OCSD shall be designed with the overall objective of obtaining a rate of return throughout budgetary and economic cycles,commensurate with investment risk constraints and reasonably anticipated cash flow needs. 14.2 The Liquid Operating Monies.The investment performance objective for the Liquid Operating Monies shall be to earn a total rate of return over a market cycle which exceeds the return on a market index approved by the Finance,Administration and Human Resources Committee,and by the District’s B.oard of Directors,when the duration of the portfolio is established. This market index is more fully described in Board Resolution No.OCSD-98-40 (see Appendix “E”). 14.3 The Long Term Operating Monies.The investment performance objective for the Long Term Operating Monies shall be to earn a total rate of return over a market cycle which exceeds the return on a market index selected by the Finance,Administration and Human Resources Committee and approved by the Districts’Board of Directors,when the duration of the portfolio is established.This market index is more fully described in Board Resolution No.OCSD-98-40 (See Appendix “E”). Page 12 of 14 15.0 Reporting 15.1 Monthly and quarterly investment reports shall be submitted by the Treasurer to the Finance,Administration and Human Resources Committee which shall forward the reports to the District’s Board of Directors.The monthly reports shall be submitted to the Finance,Administration and Human Resources Committee within 30 days of the end of the month in accordance with California Government Code Section 53607,and this Investment Policy. The quarterly reports shall provide clear and concise status information on the District’s portfolios at the end of each reporting period,including performance measures using the benchmarks described in Section 14.0 of this Investment Policy.Sample monthly and quarterly reports are presented in Appendix “E.”These reports shall contain listings of individual securities held at the end of each reporting period,and shall disclose,at a minimum, the following information about the risk characteristics of OCSD’s portfolio: 15.1.1 Cost and accurate and complete market value of the portfolio. 15.1.2 Modified duration of the portfolio compared to Benchmark. 15.1.3 Dollar change in value of the portfolio for a one-percent (1%) change in interest rates. 15.1.4 Percent of portfolio invested in reverse repurchase agreements, and a schedule which matches the maturity of such reverse repurchase agreements with the cash flows which are available to repay them at maturity. 15.1.5 For the Liquid Operating Monies account only,the percent of portfolio maturing within 90 days. 15.1.6 Average portfolio credit quality. 15.1.7 Percent of portfolio with credit ratings below “A”by any rating agency,and a description pf such securities. 15.1.8 State that all investments are in compliance with this policy and the California Government Code,or provide a listing of any transactions or holdings which do not comply with this policy or with the California Government Code. 15.1.9 Time-weighted total rate of return for the portfolio for the prior three months,twelve months,year to date,and since inception compared to the Benchmark returns for the same periods. Page 13 of 14 15.1.10 State that sufficient funds are available for OCSD to meet its operating expenditure requirements for the next six months,or if not,state the reasons for the shortfall. 15.2 OCSD’s Treasurer shaU meet quarterly with the Finance,Administration and Human Resources Committee to review investment performance,proposed strategies and compliance with this Investment Policy.External investment advisors may be required to attend said meetings at the discretion of the Chairman of the Finance,Administration and Human Resources Committee. 16.0 Investment Policy Adoption and Revision 16.1 The Investment Policy of OCSD shall be reviewed by the Finance, Administration and Human Resources Committee and shall be adopted by resolution of the Board of Directors of OCSD.The Policy shall be reviewed on an annual basis in accordance with California Government Code Section 53646,and this Investment Policy,by the Finance,Administration and Human Resources Committee,which shall recommend revisions,as appropriate,to the Board of Directors.Any modifications made thereto shall be approved by the Board of Directors. 16.2 The Finance,Administration and Human Resources Committee shall serve as the oversight committee for the District’s Investment program and shall adopt guidelines for the ongoing review of duration,quality and liquidity of the District’s portfolio. Page 14 of 14 APPENDICES II U APPENDIX “A” .U -~ii- APPENDIX “A” SUMMARY OF INVESTMENT AUTHORIZATION INTERNAL AND EXTERNAL MANAGERS SHORT TERM OPERATING FUND INVESTMENT INTERNAL EXTERNAL U.S.Treasuries OK OK Federal Agencies Fixed coupon,fixed mat.OK Mortgage-backed NO NO Commercial paper OK OK Banker’s Accept.OK OK Medium Term Notes Fixed coupon,fixed mat.*OK Mutual Funds Money Market Only**Money Market Only Negotiable CDs Fixed coupon,fixed mat.*OK Municipal Bonds OK*NO LAIF OK NO OCIP OK NO CMOs NO NO Asset-backed NO NO Repurchase Agree.OK OK Reverse Repos OK*OK LONG TERM OPERATING PORTFOLIO INVESTMENT INTERNAL EXTERNAL U.S.Treasuries OK OK Federal Agencies Fixed coupon,fixed mat.OK Mortgage-backed NO OK Mutual Funds Money Market Only~OK Negotiable CDs Fixed coupon,fixed mat.*OK Municipal Bonds OK*OK LAIF OK NO OCIP OK NO CMOs NO With Board Approval Asset-backed NO With Board Approval Repurchase Agree~OK OK Reverse Repos OK*OK *With prior approval of the Finance,Administration and Human Resources Committee. ~Using financial institutions approved by the Finance,Administration and Human Resources Committee. RADON DATAI\WP.DTA~IN~21 O\CRANEdN VEST.PLY~99IN VESTPLY.DOC U APPENDIX “B” U U -II- ~ppendix “B Revised:June 1,1999 Orange County Sanitation District Treasury Management Procedures 1.0 Purpose 1.1 The purpose of this policy is to establish uniform guidelines and procedures for use in the administration of the District’s Treasury functions consistent with the California Government Code and the District’s adopted Investment Policy Statement. 2.0 Authority to Investment and/or Reinvestment of District Funds: 2.1 Is delegated annually to the Director of Finance/Treasurer in accordance with California Government Code Section 53607. 3.0 Formal Investment Policy Statement: 3.1 Is prepared by the Treasurer. 3.2 Is reviewed by the District’s Finance,Administration &Human Resources Committee (FAHR),in its role as the finance oversight committee. 3.3 Is submitted to and adopted by the District’s Board of Directors annually at a public meeting in accordance with California Government Code Section 53646. 4.0 Delegation of some or all of the investment portfolio management to one or more registered investment advisors (external money managers): 4.1 Is authorized by the District’s Investment Policy; 4.2 Applies to the District’s entire investment portfolio except for: 4.2.1 A maximum of $30 million that is maintained within the State Local Agency Investment Fund (LAIF)for managing cash flows (i.e.,deposits of large revenues,such as property tax and user fee proceeds,and the bi-weekly disbursements of payroll and accounts payable); 4.2.2 A peg amount of approximately $300,000 that is maintained within the District’s checking account at Union Bank of California to serve as compensating balances to offset banking charges (note:the District’s Board of Directors has selected Union Bank of California to serve as the District’s commercial bank (the “Bank”);and Orange County Sanitation District Treasury Management Procedures Revised:June 1,1999 Page2 of 7 4.2.3 The checking account residual amounts that exceed the peg balance (as a result of outstanding accounts payable and payroll warrants)which are invested overnight under a repurchase agreement with the Bank. 5.0 Investment transactions involving the LAIF are approved by the Treasurer prior to their execution by the Controller.The approval function indicates that the transactions are in accordance with the District’s Investment Policy.The Accounting Manager will serve as backup for the approval function upon the absence of any either of these two employees. 5.1 Specific Procedures involving LAIF include (note:all deposits and withdrawals of funds to/from LAIF may only be processed through the District’s checking account with the Bank): 5.1.1 A “State Treasurer’s Local Agency Investment Fund Authorization Form” (see Attachment “A”)must be completed prior to the execution of the transaction indicating: 5.1 .1 .1 The effective date of the transaction; 5.1.1.2 The dollar amount to be withdrawn from or deposited into LAI F; 5.1.1.3 The date and signature approvaI by the Controller authorizing the transaction;and 5.1.1.4 The date and signature approval of the Treasurer approving the transaction. 5.1.2 The execution of the transaction will be done in accordance with the “State Treasurer’s Local Agency Investment Fund Wire Transfer Instructions”(see Attachment “B”).Key internal control features include: 5.1.2.1 The requirement of the District’s Personnel Identification Number (PIN)for either deposits or withdrawals,known only by the Treasurer and Controller. 5.1.2.2 Secondary confirmation requirement by the Bank for the withdrawals/deposits from/to the Bank or LAIF.The confirmation can be made by the Controller or Treasurer (the person that didn’t make the original request),the Accounting Manager,or the Principal Accountant. Orange County Sanitation District Treasury Management Procedures Revised:June 1,1999 Page 3 of 7 5.1.3 Each transaction is confirmed the next day by the Bank’s Previous Day Reporting modem service by the Principal Accountant and Controller. 6.0 investment transactions involving the Districts’external investment program and performed by the independent investment firms are as follows: 6.1 The District’s Board of Directors has selected Pacific Investment Management Company (PIMCO)to manage two portfolios:the Districts’Liquid Operating Monies Fund,and the Long-Term Operating Monies Fund. 6.1.1 PIMCO has authorization to purchase and sell investment securities in accordance with the strict investment guidelines set forth in the District’s Investment Policy (Section 8.0). 6.1.2 Hard copy confirmation reporting to the District is required on all transactions. 6.2 The District’s Board of Directors has selected Mellon/Boston Trust (the “Custodian”)to serve as the District’s master custodian and safekeeping bank. In their capacity as Custodian,Mellon/Boston Trust shall perform the following duties to settle purchases and sales and engage in other transactions in the administration of the District’s accounts: 6.2.1 Upon execution of any transaction by PIMCO,all investment securities are recorded in book entry by the Custodian through either the Depository Trust Company or the Federal Reserve Bank; 6.2.2 Hold the property in safekeeping facilities of the Custodian or of other custodian banks or clearing corporations in the U.S.; 6.2.3 Collect all income payable to and all distributions due to the District’s account and sign on the District’s behalf all declarations,affidavits,and certificates of ownership required to collect income and principal payments; 6.2.4 Collect all proceeds from securities,certificates of deposit or other investments which may mature or be called; 6.2.5 Submit or cause to be submitted to the District or the external monay manager,as designated by the District,on a best effort basis all information received by the Custodian regarding the ownership rights pertaining to property held in the account; Orange County Sanitation District Treasury Management Procedures Revised:June 1,1999 Page 4 of 7 6.2.6 Attend to involuntary corporation actions; 6.2.7 Determine the fair market value of the District’s account on a monthly basis as of such dates as the Districts and the Custodian may agree upon,in accordance with methods consistently followed and uniformly applied; 6.2.8 Render to District,with copies to the external money manager,monthly statements for securities held hereunder;and 6.2.9 Provide the District with copies of the Custodian’s financial statements filed with the State of California,or any agency thereof,within thirty (30) days after such filing. 6.3 The District’s Board of Directors has selected Callan Associates as the District’s Independent Investment Advisor (the “Advisor”).In their capacity as Advisor, Callan shall perform the following duties on behalf of the District: 6.3.1 Monitor and report on PIMCO’s compliance with the investment requirements of the Districts’Investment Policy,using data from transaction reports prepared by Mellon/Boston Trust,on a quarterly basis; 6.3.2 Review PIMCO’s investment strategy quarterly; 6.3.3 Monitor and report on the performance of PIMCO against the performance benchmark standards established in the District’s Investment Policy for both the Liquid Operating Monies Fund and the Long-Term Operating Monies Fund on a quarterly basis;and 6.3.4 Review both Liquid and Long-Term Operating Funds by asset allocation, asset flow,quarterly factors and cumulative results on a quarterly basis. 6.4 Specific procedures in depositing to or withdrawing funds from the investment portfolio managed by the District’s external money manger include:(note:all deposits and withdrawals of funds from the District’s investment portfolio managed by PIMCO and Mellon/Boston Trust may only be processed through the District’s checking account at the Bank): Orange County Sanitation District Treasury Management Procedures Revised:June 1,1999 Page 5 of 7 6.4.1 A “Wire Transfer Form”(see Attachment”C”)must be completed by the Financial Manager prior to the execution of the transaction indicating: 6.4.1 .1 The dollar amount to be withdrawn/deposited from/to the Bank checking account to/from the PIMCO Liquid Operating or PIMCO Long-Term Operating Monies Funds; 6.4.1.2 The effective date of the transaction; 6.4.1.3 The date and signature review by the Controller;and 6.4.1.4 The date and signature approval of the Treasurer approving the transaction. 6.4.2 The execution of the transaction requires a verbal confirmation call from the Custodian to the Financial Manager at the time of the transaction, and a written confirmation the following day. 6.4.3 Each transaction is confirmed the next day by the Bank’s Previous Day Reporting modem service by the Senior Accountant and Controller. 7.0 Recording of investment transactions: 7.1 For investment transactions conducted by District staff with the LAIF,and with the transfer/withdrawal of funds with the Custodian: 7.1.1 Is done by the Controller who maintains a file of all investment transactions. 7.1.2 Is done within the accounting records by the Principal Accountant,who receives a signed copy of all investment transactions from the Controller. 7.2 For investment transactions conducted by the external money manager: 7.2.1 Is done by the Custodian who posts all investment transactions daily within their record keeping system and provides the District with a monthly report that provides both a summary and detail listing of all investment transactions. 7.2.2 Is done on a monthly basis by the Accounting Manager within the •accounting records at a summary level using Monthly Transaction Reports prepared by the Custodian. Orange County Sanitation District Treasury Management Procedures Revised:June 1,1999 Page 6 of 7 8.0 Verification of external money manager transactions is performed by: 8.1 The Custodian within their record keeping system (i.e.,matching broker confirmations to custodian records),and is reported to the District and PIMCO on a monthly basis. 8.2 PIMCO through their internal compliance office and reported monthly to the District as required by the District’s Investment Policy. 8.3 The Financial Manager through reconciliation of PIMCO’s investment transaction notifications,transaction confirmation slips from broker/dealers,and monthly transaction reports. 9.0 Safeguarding of Assets and Records: 9.1 Reconciliation of investment records to the accounting records is done by the Principal Accountant,or in his absence,the Accounting Manager on a monthly basis. 9.2 Reconciliation of investment records to bank statements is performed by the Principal Accountant (or in his absence,the Accounting Manager)within one week following the receipt of the bank statement. 9.3 Review of financial condition,safety,liquidity,and potential yields of investment instruments and reputation and financial condition of investment brokers is done by the District’s external money manager,who is authorized to utilize the services of independent securities brokerage firms as deemed appropriate,and which meets the requirements of Government Code Section 53601.5. 10.0 The periodic review of the investment portfolio,including investment types,purchase price,market values,maturity dates,and investment yields as well as conformance to the stated Investment Policy will be performed monthly by the Financial Manager, quarterly by the Advisor,and annually by the District’s external independent auditors. 11.0 The District’s Finance,Human Resources and Administration Committee (FAHR)will serve as the Oversight Investment Advisory Committee to assist the Board of Directors in monitoring treasury management activities. Orange County Sanitation District Treasury Management Procedures Revised:June 1,1999 Page7of7 11.1 The District’s Treasurer submits a Monthly Treasurer’s Report to the FAHR which includes,but is not limited to:a listing of the security transactions for the month,the monthly interest earnings and rates of return,the market value and purchase price for each type of investment security,and the bank account balances at month end. 11.2 The District’s Treasurer submits a Quarterly Investment Program Performance Report which includes,but is not limited to,the following information: 11.2.1 Quarterly interest earnings and rates of return; 11.2.2 The market value of the portfolios; 11.2.3 The annualized earnings of the portfolios; 11.2.4 Market recap; 11.2.5 Comparisons with pre-determined benchmarks; 11.2.6 Market forest;and 11.2.7 Proposed investment strategy for the upcoming quarter. Internal Control Strengths 1.The specific responsibility for the performance of duties is assigned and lines of authority and reporting are clearly identified. 2.Responsibilities are commensurate with the capabilities of the personnel assigned. 3.Incompatible functions have been properly segregated to prevent errors or fraud. 4.All transactions are authorized by an appropriate responsible individual. 5.Safeguards over assets and records are in place to ensure that recorded assets exist and are properly recorded. 6.Management controls are in place to ensure that significant transactions are properly performed and recorded. C:\WPDATA\CTYINV~TREASMNGTP&P99 ATTACHMENT “ Orange County Sanitation District State Treasurer’s Local Agency Investment Fund Transaction Authorization Form Effective Date of Transaction____________ Confirmation Number ________________ Wire transfer deposit from Union Bank of California Checking Account #2740013230 in the amount of _______________ Wire transfer (withdrawal)to Union Bank of California Checking Account #2740013230 in the amount of ______________ Wire transfer transaction authorized by:Wire transfer transaction approved by: Name Name Controller Director of Finance/Treasurer Position Position Date Date C:\WPDATA~CTYIN\ALAIFAUTH99 ATTACHMENT “ State Treasurer’s Local Agency Investment Fund Wiring Instructions Form Deposits or withdrawals that are to take place by the end of the banking day must be made between 7:30 a.m.and 9:30 a.m.. Deposits or withdrawals that are to take place on a future date can be made between 7:30 a.m.to 9:30 a.m.or 11:00 a.m.to 4:00 p.m.You must be sure to give the effective date of the future transaction. To Deposit Funds Step 1:1.Call LAIF at(916)-653-3001,and let them know: a.That you would like to make a wire transfer deposit. b.The Districts LAIF account #70-30-006. c.Your PiN number. d.The dollar amount of deposit. e.That the money will be coming from Union Bank Account No.274-0013-230. 2.LAIF will give you a confirmation number. Step 2:1.Call Union Bank of California at 1-800-798-6466,and let them know: a.You’re making a wire transfer from Account No.274-0013-230. b.The dollar amount of the wire transfer. c.The transfer is going to the District’s LAIF Account No.70-30-006. d.The LAIF account ABA number at Union Bank is 121000496. 2.The confirmation number of this transaction (see Step 1,Item 2 above). Step 3: 1.Give the above information to the Principal Accountant who will confirm this transaction with Union Bank. To Withdraw Funds Step 1:1.Call LAIF at (916)-653-3001,and let them know: a.That you would like to make a wire transfer withdrawal. b.The Districts LAIF account #70-30-006. c.Your PiN number. d.The dollar amount of withdrawal. e.The Union Bank account receiving the funds is No.274-0013-230. 2.LAIF will give you a confirmation number. C:\WPDATA\CTYINV\LAIFPROC99 Orange County Sanitation District FAX ATTACHMENT “(Deposit TO:SEE DISTRIBUTION LIST FAX NO.:SEE DISTRIBUTION LIST FROM:Steve Kozak,Financial Manager FAX NO.:(714)962-3954 DATE:June 22,1999 TIME:Pacific Time SUBJECT:RECEIPT AND INVESTMENT OF WIRE TRANSFER OF FUNDS, FRIDAY,xx JUNE 1999 PAGES:One (1)including this cover sheet. If you do not receive the number of pages indicated,please call Steve Kozak direct at (714)593-7555,or (714)962-2411,extension 7555. MESSAGE: On Friday,xx June 1999,you will receive a wire transfer of funds in the exact sum of $xx million j5xx~OOO,O00)for immediate investment in the District’s Long-Term Operating Monies Portfolio,as follows: FROM:Union Bank of California ABA No:122-000-496 Debit to:Orange County Sanitation District Account No:2740013230 TO:Boston Safe Deposit &Trust ABA No:011001234 Credit to:Mellon Trust/PIMCO-Long-Term Operating Monies Account No:OCS F0752222 DDA No.10-811-1 DATE:Friday,xx June 1999 NOTE:WIRE TRANSFER MUST BE COMPLETED AND CONFIRMED NO LATER THAN 10:00 A.M.ON xxJUNE 1999. Please confirm completion of transfer with Steve Kozak. Wire transfer instructions reviewed by: Michael White,Controller Date Wire transfer transaction approved by: Gary Streed,Director of Finance/Treasurer Date DISTRIBUTION LIST — Patrick Ludden,Mellon/Boston Trust 617+382+21 55 _Virginia Eggleston,Mellon/Boston Trust 415+438+5899 — Rita Seymour or Gordon Halty,PIMCO 949+720+1376 — Simone Barry,PIMCO 949+644+6486 H:L~FINANCE~221 O~KOZAK~WPDOCS~PIM%MRE.TRN Orange County Sanitation District FAX~ ATTACHMENT “C”(Withdrawal TO:SEE DISTRIBUTION LIST FAX NO.:SEE DISTRIBUTION LIST FROM:Steve Kozak,Financial Manager FAX NO.:(714)962-3954 DATE:June 22,1999 TIME:Pacific Time SUBJECT:WIRE TRANSFER OF FUNDS,TUESDAY,xx JUNE 1999 PAGES:One (1)including this cover sheet. If you do not receive the number of pages indicated,please call Steve Kozak direct at (714)593-7555,or (714)962-2411,extension 7555. MESSAGE: You are instructed to wire transfer the exact sum of $xx million as follows: FROM:0CSF0752222 PIMCO -Long-Term Operating Portfolio TO:Union Bank of California ABA No:122-000-496 Credit to:Orange County Sanitation District Account No:2740013230 DATE:Tuesday,xx June 1999 NOTE:WIRE TRANSFER MUST BE COMPLETED AND CONFIRMED NO LATER THAN 9:30 A.M.ON xx JUNE 1999. P’ease confirm comp’etion of transfer with Steve Kozak. VVire transfer instructions reviewed by: Michael White,Controller Date Wire transfer transaction approved by: Gary Streed,Director of Finance/Treasurer Date DISTRIBUTION LIST — Patrick Ludden,Mellon/Boston Trust 617+382+2155 — Virginia Eggleston,Mellon/Boston Trust 415+438+5899 — Rita Seymour,PIMCO 714+720+1376 — Simone Barry,PIMCO 714+644+6486 H:L~FINANCE\221 O’~KOZAK~WPDOCS\PIM_WRE.TRN __ JL •U APPENDIX “C” . _ in PACIFIC INVESTMENT MANAGEMENT COMPANY 840 Newport Center Drive Post Office Box 6430 June28,1999 Newport Beach Caliiornia 92658-6430 949 640-3031 Fax 949 720-1376 Mr.Gary Streed Director of Finance Orange County Sanitation District 10844 Ellis Avenue Fountain Valley,CA 92708 Dear Mr.Streed: This letter is to confirm that,in accordance with Section 4 of the investment Management Agreement by and between the District and PIMCO,we have received and reviewed a copy of the District’s Investment Policy Statement and investment benchmarks for FY 1999-2000. In our capacity as the District’s investment manager,we will make only those investments on behalf of the District which are permitted as “authorized and suitable” investments under the District’s Investment Policy,and which conform to the requirement of California Government Code Sections 53600 through 53684. Additionally,we will ensure that the Investment Policy diversification requirements are met,with regard to the assets in the District’s investment portfolio,and that those assets conform to the investment categories under the District’s Investment Policy.We will use our best efforts in managing the District’s portfolio to attain the performance benchmarks and objectives set forth in the District’s Investment Policy. Sincerely, ~ Rita 3.Seymo Vice President ) RJS:ci Pacific Investment Management Company is a general partnership whose partners are PIMCO Management Inc.and PIMCO Advisors L.P. S APPENDIx”D” -II- LAIF’S RESPONSE TO INV~MENT POOL QUESTIONNAIRE QUESTION YES NO EXPLANATION I.SECURITIES 1.Does the pool provide a written statement of investment policy and objectives?YES 2.Does the statement contain: a.a description of eligible investment instruments?YES b.the credit standards of investments?YES c.the allowable maturity range of investments?YES d.the maximum allowable dollar weighted average portfolio maturity?YES e.the limits of portfolio concentration permitted for each type of security?YES f.the policy on reverse repos?YES 3.Are changes in the policies communicated to the pool participants?YES II.INTEREST Interest Calculations 1.Does the pool disclose the following about yield calculations? a.Which methodology is used to calculate interest?(simple maturity,On dollars per day.. yield to maturity,etc.) CD b.What is the frequency of interest payments?Quarterly. CD c.How is interest paid?(credited to principal at the end of the month,each Credited to principal at end of quarter. quarter,mailed?) 0~ CD d.How are gains/losses reported?(factored monthly or only when realized?)When realized. L~) Q _______________________________________________ LAIF’S RESPONSE TO INVL,.,IMENT POOL QUESTIONNAIRE QUESTION YES NO EXPLANATION Reporting . 1.Is the yield reported to participants of the pool monthly?(If not,how often?) 2.Are expenses of the pool deducted before quoting the yield? 3.Is the yield generally in line with the market yields for securities in which you usually invest? Ill.SECURITY 1.Does the pool disclose safekeeping practices?(If yes,what are they?) Expenses of the pool deducted quarterly prior to interest allocation. Statute requires all instruments of title of all investments of the fund to remain in the Treasurers vault or be held in safekeeping under control of the Treasurer in any federal reserve bank, or any branch thereof,or the Federal Home Loan Bank of San Francisco, with any trust company,or the trust department of any state or national bank. State Treasurer,Investment Division staff. Written Statement of Policies,Goals, Objectives,annual independent market valuation. NO YES YES YES YES YES 2.Is the pool subject to audit by an independent auditor? 3.Is the copy of the audit available to participants? 4.Who makes the portfolio decisions? 5.How does the manager monitor the credit risk of the securities in the pool? LAIF’S RESPONSE TO INVL IMENT POOL QUESTIONNAIRE QUESTION YES NO EXPLANATION 6.Is the pool monitored by someone on the board or a separate,neutral party YES Pooled Money Investment Board,Local external to the investment function to ensure compliance with written Agency Advisory Board,Auditor policies.General. 7.Does the pool have specific policies with regard to repurchase agreements?YES Government Code 16430/16480, Portfolio Management Goals, a.What are those policies?Objectives &Policies. 8.Does the pool report the portfolio’s market value?YES Monthly.(Reporting purposes only, values are not adjusted for unrealized gains or losses.) 9.Does the pool disclose the following about portfolio valuations? a.The frequency with which the portfolio securities are valued?YES Quarterly. b.The method used to value the portfolio (cost,current value,or some other Amortized cost,current value. method)? IV.STATEMENTS 1.Are statements for each account sent to participants?YES a.Do statements show balances,transactions and yield?YES 2.Does the pool distribute detailed reports of its holdings?(regularly or on YES On a regular .monthly basis. request only?) V.FEES C’, 1.Is there a written schedule of administrative costs?YES a.What are the fees?Statute 16429.1 requires administrative costs not to exceed 1/2 of 1%of earnings quarterly.However,the fees are directly correlated to the costs of _______________________________________________________________________________________ operation only ‘.0 LAIF’S RESPONSE TO INVESTMENT POOL QUESTIONNAIRE Quarterly. Prior to interest allocation. ~$3O million maximum $5 thousand minimum. ~$3O million maximum $5 thousand minimum. QUESTION YES NO EXPLANATION b.How often are they assessed? c.How are they paid? d.Are there additional fees for wiring funds? 2.Are expenses deducted before quoting the yield? VI.OPERATIONS 1.Does the pool limit eligible participants? a.What entities are permitted to invest in the pool? 2.Does the pool allow multiple accounts and subaccounts? 3.Is there a minimum or maximum account size? 4.Does the pool limit the number of transactions each month? a.What is the number of transactions permitted each month? 5.Is there a limit on transaction amounts for withdrawals and deposits? a.What is the minimum and maximum withdrawal amount permitted? b.What is the minimum and maximum deposit amount permitted? NO NO NO NO (.4 CD CD Cl, CD CD C- CD ‘~1 14 0 ‘.0 ‘0 Local governmental units,non-profit corporation whose membership is confined to public agencies or public officials,qualified quasi-governmental agencies. **$30 million maximum. $5 thousand minimum unless bond proceeds. 10 transactions. YES YES YES LAIF’S RESPONSE TO IN~IMENT POOL QUESTIONNAIRE cn (D C,, (D (D a (D ‘1 L~) 0 cx Resolution authorized by governing body and banking information. Authorized caller needs PIN #, banking information,and account #to be credited for withdrawals. lnterbranch transfers,or fed wires if corresponding bank is necessary. Included as part of monthly statement. QUESTION YES NO EXPLANATION 6.Does the pool require one or more days notice for deposits and/or withdrawals? 7.Is there a cutoff time for deposits and withdrawals? 8.Are the funds 100%withdrawable at any time? 9.Are there procedures for making deposits and withdrawals? a.What is the paperwork required,if any? NO However,we ask that withdrawals of $10 million or more give 24 hour notice. Call by 9:30 a.m,for same day credit. L~) YES YE~ YES YES b.What is the wiring procedure? 10.Can an account remain open with a zero balance? 11.Are confirmations sent following transactions? --BOND PROCEEDS HAVE NO MAXIMUM DEPOSIT AMOUNT AND ARE MAINTAINED ON THIRTY DAY INCREMENTS -IL APPENDIX “E” . _ -ii RESOLUTION NO.OCSD-99-XX AUTHORIZING THE DISTRICTS TREASURER TO INVEST AND/OR REINVEST DISTRICTS FUNDS.AND ADOPTING DISTRICTS INVESTMENT POLICY STATEMENT AND PERFORMANCE BENCHMARKS A RESOLUTION OF THE BOARD OF DIRECTORS OF THE ORANGE COUNTY SANITATION DISTRICT,AUTHORIZING THE DISTRICT’S TREASURER TO INVEST AND/OR REINVEST DISTRICTS FUNDS,AND ADOPTING DISTRICTS IN VESTMENT POLICY STATEMENT AND PERFORMANCE BENCHMARKS;AND REPEALING RESOLUTION NO. OCSD 98-40 WHEREAS,on July 29,1998,the Board of Directors adopted Resolution No.98-40, readopting the District’s Investment Policy Statement,and establishing specific performance benchmarks and objectives,together with a schedule of frequency of investment performance reports;and, WHEREAS,pursuant to California Government Code Section 53607,the Board of Directors may delegate authority to invest and/or reinvest District’s funds to the Treasurer for a one-year period;and, WHEREAS,pursuant to California Government Code Section 53646,the District is required to review its Investment Policy annually and readopt its Policy at a public meeting, which Policy will establish specific performance benchmarks and objectives,and specific monitoring and reports. NOW,THEREFORE,the Board of Directors of the Orange County Sanitation District, DOES HEREBY RESOLVE,DETERMINE AND ORDER: Section 1 That the authority of the Board of Directors to invest or reinvest District’s surplus funds,or to sell or exchange securities so purchased,or to deposit for safekeeping the funds and investments of the Districts with depositories,as provided for in California Government Code Sections 53608 and 53630,is hereby delegated to the District’s Treasurer for a one-year period commencing on the date this Resolution is adopted,as authorized by California Government Code Section 53607. Section 2 That the Board of Directors hereby adopt the Investment Policy Statement of the Orange County Sanitation District,as set forth in Exhibit “A,”attached hereto and incorporated herein by reference. Section 3 That the Board of Directors hereby adopt the following specific performance benchmarks for their two investment funds in accordance with Section 14.0 of the District’s Investment Policy: LIQUID OPERATING MONIES The Short-Term Operating Fund will be compared to the three month T-BiII rate,and the Callan Active Cash Flow Income Style Group.The Callan Active Cash Flow Income Style Group represents a peer group of managers who operate with a maximum maturity of one year. LONG-TERM OPERATING MONIES The Long-Term Operating Fund will be compared to the Memil Lynch Government and Corporate One-to-Five Year Maturity Index and to the Callan Defensive Fixed Income Style Group. Section 4 That the Board of Directors hereby adopt a performance monitoring and reporting schedule,as required by Section 15.0 of the District’s Investment Policy,which schedule is attached hereto as Exhibit “B,”and incorporated herein by reference. Section 5 That Resolution No.OCSD 98-40 is hereby repealed. PASSED AND ADOPTED at regular meeting held July 21,1999. Chair ATTEST: Board Secretary ~DQATAl~WP.DTA~21O\CRANUNVEST.PLW0USO~OOC Exhibit “B” FY 1999 -00 Performance Monitoring &Reporting Schedule For the FAHR Committee and Board of Directors meetings of: The Monthly Treasurer’s Report to be presented for the month of: The Quarterly Investment Mahagement Program Report to be presented for the_period_of: July 1999 June 1999 August July April—June 1999 September August October September November October July —Sept 1999 December November January 2000 December 1999 February January 2000 Oct —Dec 1999 March February April March May April Jan —March 2000 June May H:\...~FINANCE~21~7~KOZAKsEXHIBffB EXHIBIT “B” COUNTY SANITATION DISTRICTS OF ORANGE COUNTY PERFORMANCE MONITORING &REPORTING FOR THE DISTRICTS’INVESTMENT PROGRAM POUCY REFERENCE PERFORMANCE CHARACTERISTIC REPORTING PARTY* PIMCO MELLON CALLAN 15.1.1 Cost and market value of the portfolio (monthly mark-to-market).M,Q M,Q Q 15.1.2 ModifIed duration of the portfolio compared to benchmark.M,Q Q 15.1.3 Dollar change in value of the portfolio for a 1%change In Interest rate.M,Q Q 15.1.4 Percent of portfolio Invested In reverse repurchase agreements,and a schedule which matches the maturity of such reverse repurchase agreements with the cash flows which are available to repay them at maturity.M,Q 15.1.5 For the Liquid Operating Monies account only,the percent of portlblio maturing within 90 days.M,Q Q 15.1.6 Average portfolio credit quality.M,Q a 15.1.7 Percent of portfolio with credit ratings below “As by any rating agency,and a description of such securities.M,Q Q 15.1.8 Listing of any transactions or holdings whIch ~not comply with this policy or with the California Government Code.M,Q 15.1.9 Tlme-weightedtotal rate of return forthe portfolio forthe pnorthree months,twelve months,year- to-date,and since inception compared to the benchmark returns for the same periods.M,0 0 ADDL Comparison of portfolio performance to market Index benchmark.M,0 a ADDL Comparison of Manager’s performance to peer gmup benchmark.Q ADDL~Monitoring of organizational and structural changes of Investment management firm.Q ADDL Audit portfolios for compliance with Investment policy guidelines.a 15.1.10 CSDOC will report if sufficient funds are available for It to meet operating expenditure requirements for the next six months,or if not,state the reasons for the shortfall. Notes •M thly Q erty -.=F ring -litior lom ~ha ‘3tice “:tWP.”2210% II IL U U APPENDIX “F” . _ — ___- II— FA’-’R COI~MITTEE Meebng Date To2t Bds. ‘I’02/10/99 02/24/99 AGENDA REPORT Item Number IternNurnr Orange County Sanitation District FROM:Gary Streed,Director of Finance Originator:Steve Kozak,Financial Manager SUBJECT:TREASURER’S REPORT FOR THE MONTH OF JANUARY 1999 (FAHR99-O1) GENERAL MANAGER’S RECOMMENDATION Receive and file Treasurer’s Report for the month of January 1999. SUMMARY Pacific Investment Management Co.(PIMCO),serves as the District’s professional external money manager,and Mellon Trust serves as the District’s third~party custodian bank for the investment program. The District’s Investment Policy,adopted by the Board,includes reporting requirements as listed down the left most column of the attached PIMCO Monthly Report for the “Liquid Operating Monies”and for the “Long-Term Operating Monies.”The District’s external money manager is operating in compliance with the requirements of the District’s Investment Policy.The District’s portfolio contains j~reverse repurchase agreements. Historical cost and the current market (“mark-to-market”)values are shown as estimated by both PIMCO and Mellon Trust.The slight differences are caused by differing assumptions regarding marketability at the estimate date. PROJECT/CONTRACT COST SUMMARY None. BUDGET IMPACT 0 This item has been budgeted. 0 This item has been budgeted,but there are insufficient funds. fl This item has not been budgeted. ~Not applicable (information item) ~.doc Re’~s.d:10117197 Page 1 ADDITIONAL IN FORMATION Schedules are attached summarizing the detail for both the short-term and long-term investment portfolios.In addition,a consolidated report of posted investment portfolio transactions for the month of January 1999 is attached.The attached yield analysis report is presented as a monitoring and reporting enhancement.In this report,yield calculations based on book values and market values are shown for individual holdings,as well as for each portfolio.Mellon Trust,the District’s custodian bank,is the source for these reports.Transactions that were pending settlement at month end may not be reflected. The District’s investments are in compliance with the District’s adopted Investment Policy,and the California Government Code.In addition,sufficient funds are available for the District to meet its operating expenditure requirements for the next six months. The table below details the book balances of the District’s funds at month-end.A graphical representation of month-end balances is shown by the attached bar chart. State of Calif.LAIF Union Bank Checking Account Union Bank Overnight Repurchase Agreement PIMCO —Short-term Portfolio PIMCO -Long-term Portfolio District 11 GO Bond Fund 921 Debt Service Reserves ©Trustees Petty Cash TOTAL $21,736,739 42,911 -0- 18,473,625 301,239,709 1,331 32,197,021 4,400 $373,695,736 ALTERNATIVES None. CEQA FINDINGS None. ATTACHMENTS 1.Monthly Investment Reports 2.Monthly Transaction Reports GGS:SK:Ic 5.5 3.7 5.0 4.2 5.3 6.0 Re~sed:10117197 Page 2 Pie by Finance,2/9/99,7:55 AM $400,000,000 $300,000,000 $200,000,000 $100,000,000 $0 Aug,98 Jan,99 ~PIMCO -Long-term ~Debt Service Reserves OBankAccts O Dist 11 GO Bond Fund PIMCO -Short-term UILAIF 0 Petty Cash I IMonthly Treasurer’s Report District Fund Balances Sep,98 Oct,98 Nov,98 Dec,98 G :\excel .dta\fin\2220\geggi\Finance\monthly treasurers report REh,z~.1 Liquid Operating Monies (603) ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANA GEMENT PROGRAM PIMCO’S PERFORMANCE MONiTORING &REPORTING (for the month ending 31 January 1999) 15.1.1 PORTFOLIO COST AND MARKET VALUE Current Market Value Estimate: •PIMCO •Mellon Historical Cost: •PIMCO •Mellon $18,476,617 $18,473,625 $18,494,063 $18,494,050 15.1.2 MODIFIED DURATION Of Portfolio: Of Index: 0.41 0.20 15.1.3 1%INTEREST RATE CHANGE Dollar Impact (gain/loss)of 1%Change:$76,562 (0.4 1%) 15.1.4 REVERSE REPOS %of Portfolio in Reverse Repos: (see attached schedule)0% 15.1.5 PORTFOLIO MATURITY %of Portfolio Maturing within 90 days:45% 15.1.6 PORTFOLIO QUALITY Average Portfolio Credit Quality:“AAA” 15.1.7 SECURITIES BELOW “A”RATING %of Portfolio Below “A”:0% 15.1.8 INVESTMENT POLICY COMPLIANCE “In Compliance”Yes 15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return ~ by Period: 1 Month: 3 Months: 12 Months: Year-to-Date: Portfolio 0.40 1.23 5.56 0.40 Index 0.37 1.11 4.98 0.37 H:L.~FJNA NCE~2!O~KOZAK~SA MPLELJQOI99.RPT MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENTMANA GEMENT PROGRAM PIMCO’S PERFORMANCE MONITORING &REPORTING or the month ending 31 January 1999) Long-Term Operating Monies (203) 15.1.1 PORTFOLIO COST AND MARKET VALUE Current Market Value Estimate: •PIMCO •Mellon historical Cost: •PIMCO •Mellon $301,809,245 $301,239,709 $300,077,956 $299,856,848 15.1.2 MODIFIED DURATION Of Portfolio: Of Index: 2.34 2.31 15.1.3 1%INTEREST RATE CHANGE Dollar Impact (gainlloss)of 1%Change:$7,161,841 15.1.4 REVERSE REPOS %of Portfolio in Reverse Repos: (see attached schedule)0% 15.1.5 PORTFOLIO MATURITY %of Portfolio Maturing within 90 days:NA 15.1.6 PORTFOLIO QUALITY Average Portfolio Credit Quality:“AAA” 15.1.7 SECURITIES BELOW “A”RATING %of Portfolio Below “A”:0% 15.1.8 INVESTMENT POLICY COMPLIANCE “In Compliance”Yes 15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return ~°) by Period: 1 Month: 3 Months: 12 Months: Year-to-Date: Portfolio 0.53 1.00 7.45 0.53 Index 0.51 0.70 6.93 0.51 H:~...~FINANCE%21O~KOZ4K~SAMPLEL-TOI99.RPT O(?51: Liç~uiD O~’~Muu OTHER PORTFOLIO ASSETS PAYABLE S/RECEIVABLES 198,836.46 198,836.46 %OF TOTAL UNREALIZED GAIN/LOSS ESTIMATED ANNUAL INCOME CURR YIELD NET PORTFOLIO ASSETS 18,692,886.43 18,672,461.70 100.00%—20,424.73 660,951.75 3.54 Page 1 ~utci~’OLiu ~uM~’ ON 31—J1~ BY $~i OR SE:USD 1100 PORTFOLIO DISTRIBUTION COST MARKET VALUE CASH &CASH EQUIVALENTS COMMERCIAL PAPER —DISCOUNT 1,977,841.00 1,977,841.00 10.59%0.00 0.00 0.00 FEDERAL HOME LOAN MORTGAGE —LE 1,089,412.50 1,089,412.50 5.83%0.00 0.00 0.00 FNMA ISSUES —LESS THN 1YR 3,554,227.00 3,554,227.00 19.03%0.00 0.00 0.00 FEDERAL FARM CREDIT BANK —LES 1,378,440.00 1,378,440.00 7.38%0.00 0.00 0.00 MUTUAL FUNDS 141,014.24 141,014.24 0.76%0.00 6,369.25 4.52 TOTAL CASH &CASH EQUIVALENTS 8,140,934.74 8,140,934.74 43.60%0.00 6,369.25 0.08 FIXED INCOME SECURITIES U.S.GOVERNMENTS 3,325,265.63 3,315,477.00 17.76%—9,788.63 210,375.00 6.35 U.S.AGENCIES 3,699,104.60 3,693,636.00 19.78%—5,468.60 178,895.00 4.84 BANKING &FINANCE 1,953,792.00 1,951,342.00 10.45%—2,450.00 164,750.00 8.44 INDUSTRIAL 863,753.00 861,415.50 4.61%—2,337.50 60,562.50 7.03 UTILITY —ELECTRIC 511,200.00 510,820.00 2.74%—380.00 40,000.00 7.83 TOTAL FIXED INCOME SECURITIES 10,353,115.23 10,332,690.50 55.34%—20,424.73 654,582.50 6.34 198,836.46 1.06%0.00 0.00 0.00 198,836.46 1.06%0.00 0.00 0.00TOTALOTHERPORTFOLIOASSETS OCSFO7 5222 LONG TERM OPER-PIMCO MELLON TRUST PORTFOLIO SUMMARY BY SECTOR 31—JAN—1999 BASE:USD HB1100 OTHER PORTFOLIO ASSETS PAYABLES/RECEIVABLES %OF TOTAL UNREALIZED GAIN/LOSS ESTIMATED ANNUAL INCOME CURR YIELD NET PORTFOLIO ASSETS 304,455,614.89 305,838,476.14 100.00%1,382,861.25 19,494,681.66 6.37 PORTFOLIO DISTRIBUTION COST MARKET VALUE CASH &CASH EQUIVALENTS CASH RECEIVABLES PAYABLES COMMERCIAL PAPER —DISCOUNT 595,104.20 18,801,398.82 —37,801,145.32 8,741,464.67 595,104.20 18,801,398.82 —37,801,145.32 8,741,464.67 0.19% 6.15% —12.36% 2.86% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 TOTAL CASH &CASH EQUIVALENTS —9,663,177.63 —9,663,177.63 —3.16%0.00 0.00 0.00 FIXED INCOME SECURITIES U.S.GOVERNMENTS U.S.AGENCIES GNMA SINGLE FAMILY POOLS GNMA MULTI FAMILY POOLS FHLMC POOLS FHLMC MULTICLASS ASSET BACKED SECURITIES OTHER GOVERNMENT OBLIGATIONS BANKING &FINANCE INDUSTRIAL UTILITY —TELEPHONE 121,957,301.86 53,410,845.06 16,800,312.50 5,490,977.60 14,279,008.92 7,084,918.63 228,990.55 4,332,878.61 66,473,017.70 11,964,519.00 7,497,255.00 123,110,049.94 54,024,395.96 16,793,182.50 5,471,573.02 14,150,014.55 7,209,178.58 230,147.95 4,359,469.26 66,421,901.82 11,407,223.10 7,725,750.00 40.25% 17.66% 5.49% 1.79% 4.63% 2.36% 0.08% 1.43% 21.72% 3.73% 2.53% 1,152,748.08 613,550.90 —7,130.00 —19,404.58 —128,994.37 124,259.95 1,157.40 26,590.65 —51,115.88 —557,295.90 228,495.00 7,683,195.54 3,314,894.86 1,057,500.00 372,921.05 984,153.23 446,776.50 14,197.41 250,487.38 3,956,928.69 963,627.00 450,000.00 6.24 6.14 6.30 6.82 6.96 6.20 6.17 5.75 5.96 8.45 5.82 TOTAL FIXED INCOME SECURITIES 309,520,025.43 310,902,886.68 101.66%1,382,861.25 19,494,681.66 6.27 4,598,767.09 4,598,767.09 1.50%0.00 0.00 0.00 TOTAL OTHER PORTFOLIO ASSETS 4,598,767.09 4,598,767.09 1.50%0.00 0.00 0.00 I.I YLDANAL YIELD ANALYSIS PAGE :1 0CSF07511102 1999/01/31 RUN DATE :02/05/99 ORANGE CTY LIQUID OPERATING RUN TIME :11.25.18 PAR VALUE YTH AT CURRENT QUALITY MARKET TOTAL COST/Z TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD RATING PRICE MARKET VALUE ~TOTAL CASH &CASH EQUIVALENTS 141,014.24 DREYFUS TREASURY CASH MCMT .000 4.517 AAA 100.000 141,014.24 1.73 996085247 141,014.24 .76 900,000.00 FORD MTR CR CO DISC 4.834 .000 P-i 98.885 889,962.00 10.93 34539URM6 04/21/1999 889,962.00 4.82 900,000.00 AMERICAN EX CR CP DISC 4.94’..000 P-i 98.873 889,857.00 10.93 02581SR78 04/07/1999 889,857.00 4.82 1,100,000.00 FED HOME LN MTG CORP DISC 4.998 .000 P-i 99.037 1,089,412.50 13.38 313396BH5 MAT 02/01/1999 1,089,412.50 5.90 1,400,000.00 FED FARM CR BK CONS DISC 5.027 .000 P-i 98.460 1,378,440.00 16.93 313312CJ7 MAT 02/26/1999 1,378,440.00 7.46 3,600,000.00 FEDERAL NATL N1G ASSN DISC 5.095 .000 P-i 98.729 3,554,227.00 43.65 313588RM6 MAT 02/05/1999 3,554,227.00 19.24 200,000.00 GENERAL ELEC CAP DISC 5.212 .000 P-i 99.011 198,022.00 2.43 36959JP23 02/02/1999 198,022.00 1.07 TOTAL CASH &CASH EQUIVALENTS 4.802 .168 8,140,934.74 100.00 8,140,934.74 44.07 FIXED INCOME SECURITIES 3,700,000.00 FEDERAL HONE IN BK CONS BDS 4.860 4.843 AAA 99.828 3,699,104.60 35.74 3133M7EW2 4.835~01/28/2000 DD 01/28/99 3,693,636.00 19.99 500,000.00 DUKE ENERGY CORP 1ST $REF PuG 5.001 7.8fl AA3 102.164 511,200.00 4.94 2643990B9 8.000Z 11/01/1999 DO 11/01/94 510,820.00 2.77 500,000.00 CHRYSLER FINL CO IIC 5.119 12.557 AZ 105.515 529,010.00 5.10 171205AT4 13.250~10/15/1999 527,575.00 2.86 850,000.00 PHILLIP MORRIS CO INC PuTS 5.258 7.031 *2 101.343 863,7S3.00 8.33 718154BX4 7.i25Z 12/01/1999 DO 12/01/92 861,415.50 4.66 900,000.00 GENERAL MIRS ACCEP CORP HTN 5.305 6.185 A2 101.048 909,657.00 8.80 37042M7G2 6.250~01/11/2000 DO 01/11/94 909,432.00 4.92 YLDANAL YIELD ANALYSIS PAGE :2 OCSFO7S111O2 1999/01/31 RUN DATE :02/05/99 ORANGE CTY LIQUID OPERATINC RUN TIME 11.25.18 PAR VALUE YTN AT CURRENT QUALITY MARKET TOTAL COST/Z TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD RATING PRICE MARKET VALUE Z TOTAL 3,300,000.00 U S TREASURY NOTES 5.585 6.345 AAA 100.469 3,325,265.63 32.08 912827X72 06.375Z 05/15/1999 DO 05/15/96 3,315,477.00 17.95 500,000.00 TRANSAMERICA FIN MTN USD00110 5.653 8.214 A3 102.867 515,125.00 4.97 89350MEP1 8.450X 01/12/2000 DO 01/12/95 514,335.00 2.78 TOTAL FIXED INCOME SECURITIES 5.059 6.011 10,353,115.23 100.00 10,332,690.50 55.93 TOTAL 4.963 3.837 18,494,049.97 100.00 18,473,625.24 100.00 YLDANAL YIELD ANALYSIS PAGE 3 0CSF07522202 1999/01/31 RUN DATE 02/05/99 ORANGE CTY-LOt4G TERN OPERATING RUN TIME :11.25.18 PAR VALUE YT1I AT CURRENT QUALITY MARKET TOTAL COST/Z TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD RATING PRICE MARKET VALUE Z TOTAL CASH &CASH EQUIVALENTS 2,000,000.00 COCA COLA CO DISC 4.801 .000 P-i 99.154 1,983,075.56 22.68 19121EQSS 03/26/1999 1,983,075.56 .62 3,900,000.00 FORD MTR CR CO DISC 4.834 .000 P-i 99.307 3,872,960.00 44.30 34539UQK1 03/19/1999 3,872,960.00 1.21 2,900,000.00 AMERITECH CORP DISC 4.913 .000 P-2 99.498 2,885,429.11 33.00 02680KQ50 03/05/1999 2,885,429.11 .90 TOTAL CASH &CASH EQUIVALENTS 4.836 .000 8,741,464.67 100.00 8,741,464.67 2.73 FIXED INCOME SECURITIES 2,000,000.00 BANKERS TR NY CORP GLOBAL NT .000 5.937 A2 97.606 1,992,800.00 .62 066365DW4 FLTG RT 05/11/2003 DD 05/11/98 1,952,120.00 .61 3,500,000.00 CHRYSLER FIN HIN .000 5.832 A2 99.562 3,498,635.00 1.12 17120QE80 FLTG RI 08/08/2002 DD 04/08/98 3,484,670.00 1.09 2,000,000.00 FORD MTR CR CO TERN ENHANCED .000 5.363 Al 99.765 1,998,613.60 .64 345397SC8 FLTG RI 08/27/2006 OD 08/27/98 1,995,300.00 .62 7,100,000.00 FORD MOTOR CR MTN TR *00177 .000 4.365 Al 99.890 6,999,748.00 2.28 345402HJ3 VAR/RI 03/30/1999 OD 03/30/94 7,092,190.00 2.22 3,950,000.00 GENERAL MTRS ACCEP CORP NTS .000 5.551 A2 99.199 3,918,768.50 1.26 370425QV5 FLTG RI 08/18/2003 DD 08/17/98 3,918,360.50 1.23 3,000,000.00 HELLER FINL INC SR NT .000 6.192 A3 99.931 2,999,310.00 .96 423328AZ6 FLTG RT 04/27/1999 DD 04/27/94 2,997,930.00 .94 4,000,000.00 HELLER FINI NTN .000 5.910 A3 99.953 4,000,000.00 1.28 42333HJN3 FLTG RT 06/01/2000 DD 04/07/98 3,998,120.00 1.25 4,000,000.00 HOUSEHOLD FIN CO PiTH .000 5.999 A2 99.140 4,000,000.00 1.27 44181KZA5 FLTG RT 06/24/2003 DD 06/24/98 3,965,600.00 1.24 1,000,000.00 HOUSEHOLD FIN MIN SR 100570 .000 5.782 A2 99.344 999,188.90 .31 44181KZT4 FLIG RI 08/01/2001 DD 09/04/98 993,440.00 .31 YLDANAL YIELD ANALYSIS PAGE :4 0CSF07522202 1999/01/31 RUN DATE 02/05/99 ORANGE CTYLONG TERN OPERATING RUN TIME :11.25.18 PAR VALUE Viii AT CURRENT QUALITY MARKET TOTAL COST/Z TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD RATING PRICE MARKET VALUE ~TOTAL 7,000,000.00 MORGAN ST DEAN WITTER SR NOTES .000 5.692 AA3 99.875 7,003,710.00 2.24 61745E1T6 FITS Ri 02/23/2000 00 02/23/98 6,991,250.00 2.19 4,382,697.56 STUDENT IN NXTG ASSN 1997-1 Al .000 5.746 AAA 99.470 4,332,878.61 1.40 78442GAK2 VAR Ri 10/25/2005 DO 03/20/97 4,359,469.26 1.36 7,168,070.00 US TREASURY INFLATION INDEX NT 3.699 3.631 AAA 99.844 7,144,900.19 2.30 9128273A8 3.625Z 07/15/2002 DO 07/15/97 7,156,887.81 2.24 10,351,200.00 US TREASURY INFLATION INDEX NT 3.729 3.472 AAA 97.219 10,072,010.47 3.23 9128272M3 3.375Z 01/15/2007 DO 01/15/97 10,063,333.13 3.15 8,500,000.00 U S TREASURY NOTES 4.179 5.980 AAA 104.516 9,034,223.67 2.85 9128272G6 06.250Z 01/31/2002 DO 01/31/97 8,883,860.00 2.78 19,000,000.00 FEDERAL NAiL MTG ASSN MTN 4.943 6.369 AAA 104.719 20,012,510.00 6.39 31364CZY7 6.670X 03/27/2002 DO 03/27/97 19,896,610.00 6.22 5,000,000.00 U S TREASURY BONDS 5.234 8.829 AAA 126.000 6,233,593.75 2.02 912810DE5 ll.125Z 08/15/2003 DD 07/05/83 6,300,000.00 1.97 31,S00,000.00 U S TREASURY NOTES 5.294 6.113 AAA 104.281 32,509,817.31 10.56 912827Z54 06.375Z 09/30/2001 DD 09/30/96 32,848,515.00 10.28 17,100,000.00 U S TREASURY NOTES 5.366 6.985 AAA 107.375 18,388,684.02 5.90 912827D25 07.SOOZ 11/15/2001 OD 11/15/91 18,361,125.00 5.74 2,00,000.0O U S TREASURY NOTES 5.553 5.942 AAA 105.187 2,566,119.73 .84 9128273G5 06.250Z 08/31/2002 DD 09/02/97 2,629,675.00 .82 5,200,000.00 U S TREASURY BONDS 5.617 9.112 AAA 130.328 6,698,250.00 2.17 912810050 11.875Z 11/15/2003 DD 10/05/83 6,777,056.00 2.12 1,500,000.00 ASSOCIATES CORP N A SR NTS 5.650 6.308 AA3 103.049 1,543,215.00 .49 046003HY8 6.SOOZ 07/15/2002 DD 07/11/97 1,545,735.00 .48 1,000,000.00 HELLER FINANCIAL INC HiS 5.760 5.772 A3 99.627 999,730.00 .32 42333HKJ0 5.750~09/25/2001 DD 09/25/98 996,270.00 .31 16,100,000.00 U S TREASURY NOTES 5.783 6.149 AAA 105.703 16,581,067.03 5.47 9128272W1 06.500Z 05/31/2002 DO 06/02/97 17,018,183.00 5.32 3,500,000.00 U S TREASURY NOTES 5.798 6.252 AAA 105.969 3,613,203.13 1.19 9128272S0 06.625Z 04/30/2002 DO 04/30/97 3,708,915.00 1.16 LDANAL YIELD ANALYSIS PAGE :5 OCSF07522202 1999/01/31 RUN DATE 02/05/99 ORANGE CTY-LONG TERN OPERATING RUN TINE 11.25.18 PAR VALUE TOTAL COST/Z TYPE SECURITY ID SECURITY DESCRIPTION MARKET VALUE ~‘.TOTAL SEARS ROEBUCK ACCEP CORP NIH .66 6.5’.OZ 02/20/2003 DO 02/20/97 .65 U S TREASURY NOTES 1.68 06.250Z 02/28/2002 DD 02/28/97 1.64 FEDERAL NATL P110 ASSN PITH 4.75 5.710Z 12/15/2008 DD 12/15/98 4.63 NATIONSBANK CHARLOTTE N C NTN 1.93 S.850~04/07/2000 DO 04/07/98 1.88 FHLMC MULTXCL.1110 P/C 1574 E .34 5.900Z 06/15/2017 .34 CHASE MANHATTAN GRAM 95-B CL A .50 5.900X 11/15/2001 DO 11/15/95 49 COMMIT TO PUR GNNA I SF MTG 3.40 6.500~03/15/2028 3.32 MERRILL LYNCH NOTES .82 6.375~10/01/2001 DO 10/03/97 .80 BELLSOUTH TELECOMMUNICATIONS 2.48 6.000~06/15/2002 DO 06/15/98 2.42 GENERAL MTRS ACCEP CORP NTS .41 7.125Z 05/01/2001 DD 05/01/97 .41 GENERAL MTRS ACCEP CORP PITH .32 6.700Z 04/30/2001 DD 04/25/96 .32 COMMIT TO PUR CNNA SF MTG 1.99 6.000Z 03/15/2029 1.94 COMMIT TO PIJR FH1IA SF 1110 -1.36 6.1SOZ 02/25/2029 1.33 FIFTH THIRD Bk AUTO TR 96A CIA .07 6.200X 09/01/2001 DO 03/15/96 .07 LEHMAN BROS HLDGS PITH TR 00252 2,509,175.00 .80 2,005,000.00 81240QGW6 5,000,000.00 9128272L5 14,750,000.00 31364GLD9 6,000,000.00 63858JDE6 1,074,534.60 3133T02D5 1,571,770.90 161614AE2 10,500,000.00 01P4062631 2,500,000.00 59018SXP4 7,500,000.00 079867AX5 1,250,000.00 370425QF0 1,000,000.00 37042WGK1 6,250,000.00 01N060635 4,230,000.00 11F011628 228,990.56 31677EAA4 2,500,000.00 S2S17PLM1 YTh AT CURRENT QUALITY MARKET BOOK YIELD RATING PRICE 5.804 6.346 AZ 103.062 2,060,739.00 2,066,393.10 5.811 5.974 AAA 104.625 5,086,402.25 5,231,250.00 5.882 5.696 AAA 100.250 14,560,462.50 14,786,875.00 5.882 5.830 AA1 100.343 5,996,400.00 6,020,580.00 5.912 5.889 100.187 1,073,023.53 1,076,543.98 5.957 5.888 AAA 100.207 1,568,516.85 1,575,024.47 5.993 6.438 AAA 100.969 10,605,000.00 10,601,745.00 5.995 6.250 AA3 101.997 2,526,725.00 2,549,925.00 6.010 5.825 AAA 103.010 7,497,255.00 7,725,750.00 6.032 6.870 A2 103.711 1,283,862.50 1,296,387.50 6.046 6.533 A2 102.562 1,018,520.00 1,025,620.00 6.060 6.057 AAA 99.063 6,195,312.50 6,191,437.50 6.094 6.118 AAA 100.531 4,244,817.19 4,252,471.88 6.200 6.169 AAA 100.505 228,990.55 230,147.95 6.232 6.354 BAA1 100.722 6.400Z 08/30/2000 DO 09/26/97 2,518,050.00 .79 YLDANAL YIELD ANALYSIS PAGE :6 0CSF07522202 1999/01/31 RUN DATE 02/05/99 ORANGE CTYLONG TERN OPERATING RUN TIME 11.25.18 PAR VALUE YIN AT CURRENT QUALITY MARKET TOTAL COST/Z TYPE .SECURITY ID SECURITY DESCRIPTION BOOK YIELD.RATING PRICE MARKET VALUE Z TOTAL 4,500,000.00 FEDERAL NATL MIG ASSN MTN 6.291 6.026 AAA 103.391 4,488,705.00 1.49 31364CXV5 6.230Z 03/01/2002 DD 03/03/97 4,652,595.00 1.46 4,006,624.85 FHLNC MULTICLASS CTF E3 A 6.316 6.277 AAA 100.751 4,011,007.10 1.29 3133TCE95 6.324Z 08/15/2032 4,036,714.60 1.26 2,000,000.00 BEAR STEARNS COS INC 6.330 6.554 A2 102.996 2,031,960.00 .66 073902AH1 6.750~04/15/2003 2,059,920.00 .64 5,000,000.00 LEHMAN BROS HLDGS fIN P00196 6.364 6.618 BAA1 100.484 5,039,450.00 1.61 52517PJD4 6.650Z 11/08/2000 DD 11/08/96 5,024,200.00 1.57 1,305,000.00 BEAR STEARNS COS INC SR NTS 6.425 6.620 A2 101.967 1,317,619.35 .42 073902AW8 6.750Z 05/01/2001 DD 04/26/96 1,330,669.35 .42 2,000,000.00 FHLMC MULTICLASS CTF T11 A6 6.496 6.203 AAA 104.796 2,000,888.00 .67 3133T0PV2 6.500k 09/25/2018 2,095,920.00 .66 2,247,914.31 FHLNC MULTICLASS CTF SER 1620Z 6.566 6.227 AAA 96.349 2,091,774.37 .69 3133T17A4 6.000X 11/15/2023 OD 11/01/93 2,165,844.08 .68 8,000,000.00 FEDERAL NATL MIG ASSN MTh 6.577 6.409 AAA 103.375 8,012,576.00 2.65 31364CB09 6.625Z 04/18/2001 DO 04/18/96 8,270,000.00 2.59 9,000,000.00 PHILIP MORRIS COS NT 6.593 8.912 A2 103.787 9,903,780.00 3.00 718154882 9.250Z 02/15/2000 9,340,830.00 2.92 14,059,331.86 FHLPIC GROUP 105-0476 6.628 6.955 AAA 100.645 14,279,008.92 4.55 312800Q55 7.000~02/01/2003 00 02/01/98 14,150,014.55 4.43 3,000,000.00 C M A C MED TERM NTS 6.660 8.372 A2 103.018 3,227,070.00 .99 37042RKQ4 8.625Z 1/10/2000 DD 1/10/95 3,090,540.00 .97 3,208,905.77 CNNA II POOL 1080088M 6.705 6.765 AAA 101.625 3,279,100.60 1.04 36225CC20 6.875Z 06/20/2027 DD 06/01/97 3,261,050.49 1.02 2,175,839.65 GNIIA II POOL *0080023 6.869 6.890 AAA 101.594 2,211,877.00 .71 36225CAZ9 7.000Z 12/20/2026 DD 12/01/96 2,210,522.53 .69 2,500,000.00 U S TREASURY BONDS 6.906 8.018 AAA 165.250 4,029,030.31 1.32 912810DJ4 13.250~05/15/2014 DO 05/15/84 4,131,250.00 1.29 YLDANAL YIELD ANALYSIS PAGE :7 0CSF07522202 1999/01/31 RUN DATE :02/05/99 ORANGE CTY-LONG TERM OPERATING - RUN TINE :11.25.18 PAR VALUE YTH AT CURRENT QUALITY MARKET TOTAL COST/Z TYPE SECURITY ID SECURITY DESCRIPTION BOOYL YIELD RATING PRICE MARKET VALUE Z TOTAL TOTAL FIXED INCOME SECURITIES 4.155 6.034 309,520,025.43 100.00 310,902,886.66 97.28 TOTAL 4.156 6.023 318,261,490.10 100.00 319,644,351.35 100.00 0 001 C~,uuL—COt’~z~, 0.00 NA9 12 34 59 CW 0.00 31339 6BH5 CW 0.00 31339 6BH5 CW 0.00 313396BH5 CW 0.00 313396BH5 CW 0.00 912827S86 CW 0.00 912 827 Z54 CW LIQUID OPER-PIMCO FED WIRE FEES FED HOME LN MTG CORP DISC MAT 02/01/1999 LIQUID OPER-PIMCO FED WIRE FEES FED HOME LN MTG CORP DISC MAT 02/01/1999 LIQUID OPER-PIMCO FED WIRE FEES FED HOME LN MTG CORP DISC MAT 02/01/1999 LIQUID OPER-PIMCO FED WIRE FEES FED HOME LN MTG CORP DISC MAT 02/01/1999 rOSTt.u lRAN~,ttLjIO 0 1-JAN-19 -LOCi-ti~it,ASE 1—JAN -1999 LOCAL AMOUNT! COST! GAIN LOSS —3.00 —3.00 0.00 —3.00 —3.00 —3.00 —3.00 0.00 —3.00 —3.00 0.00 —3.00 —3.00 0.00 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS —3.00 0.00 0.00 0.00 —3.00 0.00 0.00 0.00 —3.00 0.00 0.00 0.00 —3.00 0.00 0.00 0.00 —3.00 0.00 0.00 0.00 —3.00 0.00 0.00 0.00 /-~bIi:USU 100 LOCAL PRICE! BASE PRICE! BASE XRATE! 0.000000 0.000000 1.000000000 0.000000 0.000000 1.000000000 0.000000 0.000000 1 .000000000 0.000000 0.000000 1 .000000000 0.000000 0.000000 1.000000000 0.000000 0.000000 1 .000000000 0.000000 0.000000 1.000000000 PURCHASES U.S.DOLLAR CASH &CASH EQUIVALENTS LIQUID OPER-PIMCO Page 1 DN T —33.00 —33.00 0.00 —3.00 —3.00 0.00 —33.00 0.00 0.00 0.00 SHARES/PAR VALUE EFFECTIVE DATE! SECURITY ID!DESCRIPTION!SETTLE DATE! TRANS CODE BROKER COMPL DATE RECEIPTS AND DISBURSEMENT TRANSACTIONS U.S.DOLLAR OTHER ADMINISTRATIVE EXPENSES LONG TERM OPER-PIMCO FED WIRE FEES 28-JAN-1999 11 OCSF0752222 FOR 1!14!99 08—JAN—1999 20—JAN—1999 26—JAN—1999 29—JAN—1999 04—JAN—1999 04—JAN—1999 0.00 LONG TERM OPER-PIMCO FED WIRE FEES U S TREASURY NOTES 07.500%02/15/2005 DD 02/15/95 LONG TERM OPER-PIMCO FED WIRE FEES U S TREASURY NOTES 06.375%09/30/2001 DD 09/30/96 900,000.00 0258 1SR78 FC 13—JAN—1999 13—JAN—1999 13—JAN—1999 LOCAL AMOUNT! COST! GAIN LOSS —889,857.00 889,857.00 0.00 —889,857.00 —889,857.00 0.00 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS —889,857.00 889,857.00 0.00 0.00 —889,857.00 0.00 0.00 0.00 BASE:USD TM100 LOCAL PRICE! BASE PRICE! BASE XRATE! 98.873000 98.873000 1.000000000 98.873000 98.873000 1.000000000 4,800,000.00 02 68 OKQ5O B LONG TERM OPER-PIMCO AMERITECH CORP DISC 03 !05!1999 GOLDMAN SACHS &CO,NY LONG TERM OPER-PIMCO AMERITECH CORP DISC 03!05!1999 GOLDMAN SACHS &Ca,NY LONG TERM OPER-PIMCO COCA COLA CO DISC 03!2 6!1999 MERRILL LYNCH PIERCE PENNER SM 25—JAN—1999 26—JAN—1999 25—JAN—1999 26—JAN—1999 26—JAN—1999 —4,775,882.67 4,775,882.67 0.00 —4,775,882.67 —4,775,882.67 0.00 —4,775,882.67 4,775,882.67 0.00 0.00 —4,775,882.67 0.00 0.00 0.00 99.497555 99.497555 1 .000000000 99.497555 99.497555 1.000000000 2,000,000.00 1912 1EQS5 PC —1,100,000.00 3133 97 T35 BC —1,100,000.00 313397T35 FCC 21—JAN—1999 21—JAN—1999 21—JAN—1999 02—NOV—1998 02—NOV—1998 02—NOV—1998 02-NOV-1998 03-NOV-1998 —1,983,075.56 —1,983,075.56 0.00 1,093,496.25 —1,093,496.25 0.00 1,093,496.25 1,093,496.25 0.00 —1,983,075.56 0.00 0.00 0.00 1,093,496.25 —1,093,496.25 0.00 0.00 1,093,496.25 0.00 0.00 0.00 99.153777 99.153777 1 .000000000 99.408750 99.408750 1.000000000 99.408750 99.408750 1.000000000 OCSG000 100 CSDOC-CONSOLI DATED MELLON TRUST POSTED TRANSACTIONS -LOCAL!BASE 01—JAN—1999 —31—JAN—1999 SHARES/PAR VALUE EFFECTIVE DATE! SECURITY ID!DESCRIPTION!SETTLE DATE! TRANS CODE BROKER COMPL DATE 900,000.00 AMERICAN EX CR CP DISC 13-JAN—1999 02581SR78 04!07!1999 13—JAN—1999 B BANKERS TRUST CO/COMMERCIAL PA LIQUID OPER-PIMCO AMERICAN EX CR CP DISC 04 /07 !1999 BANKERS TRUST CO!COMMERCIAL PA 4,800,000.00 02 68 OKQ5O PC 2,000,000.00 1912 1EQS5 B 21—JAN—1999 —1,983,075.56 —1,983,075.56 99.153777 21—JAN—1999 1,983,075.56 1,983,075.56 99.153777 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO COCA COLA CO DISC 03/26/1999 MERRILL LYNCH GOVT SECS!MONEY LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT 12!15!1998 MERRILL LYNCH PIERCE PENNER SM LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT 12!15!1998 MERRILL LYNCH PIERCE FENNER SM F 2 SHARES/PAR VALUE SECURITY ID! TRANS CODE DESCRIPTION! BROKER 3STz~u r~AN 0 01-JAN-19 EFFECTIVE DATE! SETTLE DATE! COMPL DATE LOCAL AMOUNT! COST! GAIN LOSS —1,797,535.00 1,797,535.00 0.00 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS —1,797,535.00 1,797,535.00 0.00 0.00 USIi 100 LOCAL PRICE! BASE PRICE! BASE XRATE! 99.863055 99.863055 1.000000000 1,800,000.00 34539UNF5 FC 05—JAN--1999 05—JAN-1999 05-JAN-1999 —1,797,535.00 -1,797,535.00 0.00 —1,797,535.00 0.00 0.00 0.00 99.863055 99.863055 1.000000000 3,900,000.00 34 539UQK1 FC LONG TERM OPER-PIMCO FORD MTR CR CO DISC 03/19!1999 GOLDMAN SACHS &CO,NY LONG TERM OPER-PIMCO FORD MTR CR CO DISC 03!19!1999 GOLDMAN SACHS &CO,NY 26—JAN—1999 26—JAN—1999 26—JAN—1999 26—JAN—1999 26—JAN—1999 —3,872,960.00 3,872,960.00 0.00 -3,872,960.00 -3,872,960.00 0.00 —3,872,960.00 3,872,960.00 0.00 0.00 —3,872,960.00 0.00 0.00 0.00 99.306666 99.306666 1 .000000000 99.306666 99.306666 1.000000000 900,000.00 34539URM6 B LIQUID OPER-PIMCO FORD MTR CR CO DISC 04 /2 1!1999 CITIBANK!CP!IPA,NEW YORK 27—JAN—1999 27—JAN—1999 —889,962 .00 889,962.00 0.00 —889,962.00 889,962.00 0.00 0.00 98.884667 98.884667 1 .000000000 900,000.00 34539URM6 FC LIQUID OPER-PIMCO FORD MTR CR CO DISC 04 !21!1999 CITIBANK!CP/IPA,NEW YORK 27—JAN—1999 27—JAN—1999 27—JAN—1999 —889,962.00 —889,962.00 0.00 —889,962.00 0.00 0.00 0.00 98.884667 98.884667 1 .000000000 865.95 996085247 LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT 04—JAN—1999 04—JAN—1999 —865.95 865.95 0.00 —865.95 865.95 0.00 0.00 1 .000000 1 .000000 1.000000000 865.95 996085247 LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT 04—JAN—1999 04—JAN—1999 04—JAN —1999 —865.95 —865.95 0.00 —865.95 0.00 0.00 0.00 1 .000000 1 .000000 1 .000000000 ()DOl C~,uuL—COLNz A I’ LOC~,DASE 1—JAN—1999 LONG TERM OPER-PIMCO 1,800,000.00 FORD MTR CR CO DISC 05-JAN-1999 34539UNF5 01!15!1999 05—JAN—1999 B MERRILL LYNCH PIERCE FENNER SM LONG TERM OPER-PIMCO FORD MTR CR CO DISC 01!15!1999 MERRILL LYNCH GOVT SECS!MONEY 3,900,000.00 34 53 9UQK1 B B FC Page 3 OCSG000100 MELLON TRUST CSDOCCONSOLIDATED POSTED TRANSACTIONS -LOCAL/BASE BASE:USD 01—JAN—1999 —31—JAN—1999 TM100 BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE!LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE/ LONG TERM OPER-PIMCO 6,212.97 DREYFUS TREASURY CASH MGMT 04-JAN—1999 —6,212.97 —6,212.97 1.000000 996085247 04—JAN—1999 6,212.97 6,212.97 1.000000 B 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 6,212.97 DREYFUS TREASURY CASH MGMT 04—JAN—1999 —6,212.97 —6,212.97 1.000000 996085247 04—JAN—1999 —6,212.97 0.00 1.000000 FC 04—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PINCO 1,740,341.01 DREYFUS TREASURY CASH MGMT 07—JAN—1999 —1,740,341.01 —1,740,341.01 1.000000 996085247 07—JAN—1999 1,740,341.01 1,740,341.01 1.000000 B 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 1,740,341.01 DREYFUS TREASURY CASH MGMT 07—JAN—1999 —1,740,341.01 —1,740,341.01 1.000000 996085247 07—JAN—1999 —1,740,341.01 0.00 1.000000 FC 07—JAN—1999 0.00 0.00 1.000000000 - 0.00 LIQUID OPER-PIMCO 10,143.00 DREYFUS TREASURY CASH MGMT 13-JAN—1999 —10,143.00 —10,143.00 1.000000 996085247 13—JAN—1999 10,143.00 10,143.00 1.000000 B 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO 10,143.00 DREYFUS TREASURY CASH MGMT 13—JAN—1999 —10,143.00 —10,143.00 1.000000 996085247 13—JAN—1999 —10,143.00 0.00 1.000000 FC 13—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 1,646,975.93 DREYFUS TREASURY CASH MGMT 15—JAN—1999 —1,646,975.93 —1,646,975.93 1.000000 996085247 15—JAN—1999 1,646,975.93 1,646,975.93 1.000000 B 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 1,646,975.93 DREYFUS TREASURY CASH MGMT 15—JAN—1999 —1,646,975.93 —1,646,975.93 1.000000 996085247 15—JAN—1999 —1,646,975.93 0.00 1.000000 FC 15—JAN—1999 0.00 0.00 1.000 000 0 001 )N I C~iuou-CON~~i’OSTt.u 1RAN~t~L1iO~’LOCpw/i~ASE SE:USD 01—JAN—19c 31—JAN—1999 100 BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE!LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE! 0.00 LIQUID OPER-PIMCO 52,660.06 DREYFUS TREASURY CASH MGMT 19—JAN—1999 —52,660.06 —52,660.06 1.000000 996085247 19—JAN—1999 52,660.06 52,660.06 1.000000 B 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 357,137.13 DREYFUS TREASURY CASH MGMT 19—JAN—1999 —357,137.13 —357,137.13 1.000000 996085247 19—JAN—1999 357,137.13 357,137.13 1.000000 B 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO 52,660.06 DREYFUS TREASURY CASH MGMT 19-JAN—1999 —52,660.06 —52,660.06 1.000000 996085247 19—JAN—1999 —52,660.06 0.00 1.000000 FC 19—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 357,137.13 DREYFUS TREASURY CASH MGMT 19—JAN—1999 —357,137.13 —357,137.13 1.000000 996085247 19—JAN—1999 —357,137.13 0.00 1.000000 FC 19—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 334,589.76 DREYFUS TREASURY CASH MGMT 20—JAN—1999 —334,589.76 —334,589.76 1.000000 996085247 20—JAN—1999 334,589.76 334,589.76 1.000000 B 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 334,589.76 DREYFUS TREASURY CASH MGMT 20—JAN-1999 —334,589.76 —334,589.76 1.000000 996085247 20—JAN—1999 —334,589.76 0.00 1.000000 FC 20—JAN—1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO 9,971.75 DREYFUS TREASURY CASH MGMT 27—JAN—1999 —9,971.75 —9,971.75 1.000000 996085247 27—JAN—1999 9,971.75 9,971.75 1.000000 B 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO 9,971.75 DREYFUS TREASURY CASH MGMT 27—JAN—1999 —9,971.75 —9,971.75 1.000000 996085247 27—JAN—1999 —9,971.75 0.00 1.000000 Page 5 UCSG000100 MELLON TRUST CSDOCCONSOLIDATED POSTED TRANSACTIONS -LOCAL/BASE BASE:USD 01—JAN—1999 —31—JAN—1999 TM100 BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE!LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!coST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE! FC 27—JAN—1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO 141,014.24 DREYFUS TREASURY CASH MGMT 29—JAN—1999 —141,014.24 —141,014.24 1.000000 996085247 29—JAN—1999 141,014.24 141,014.24 1.000000 B 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO 141,014.24 DREYFUS TREASURY CASH MGMT 29—JAN—1999 —141,014.24 —141,014.24 1.000000 996085247 29—JAN—1999 —141,014.24 0.00 1.000000 FC 29—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 195,749.00 BSDT—LATE MONEY DEP ACCT 15—JAN-1999 —195,749.00 -195,749.00 1.000000 996087094 VAR RT DD 06/26/1997 15—JAN—1999 195,749.00 195,749.00 1.000000 B 15—JAN—1999 0.00 0.00 1.000000000 0.00 U.S.DOLLAR FIXED INCOME SECURITIES LONG TERM OPER-PIMCO 6,250,000.00 COMMIT TO PUR GNMA SF MTG 17—NOV—1998 —6,164,550.75 —6,164,550.75 98.632812 01N060619 6.000%01/15/2029 21—JAN—1999 6,164,550.75 6,164,550.75 98.632812 B GOLDMAN SACHS &CO,NY 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 6,250,000.00 COMMIT TO PUR GNMA SF MTG 17—NOV—1998 —6,164,550.75 —6,164,550.75 98.632812 01N060619 6.000%01/15/2029 21—JAN—1999 —6,164,550.75 0.00 98.632812 FC GOLDMAN SACHS &CO,NY 21-JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 6,250,000.00 COMMIT TO PUR GNMA SF MTG 11—JAN—1999 —6,154,296.88 —6,154,296.88 98.468750 01N060627 6.000%02/15!2029 22—FEB—1999 6,154,296.88 6,154,296.88 98.468750 B GOLDMAN SACHS &CO,NY 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 6,250,000.00 COMMIT TO PUR GNMA SF MTG 11—JAN—1999 —6,154,296.88 —6,154,296.88 98.468750 01N060627 6.000%02/15!2029 22—FEB—1999 6,154,296.88 6,154,296.88 98.468750 B GOLDMAN SACUS &CO,NY 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PINCO P 5 (~001 ON T SHARES/PAR VALUE SECURITY ID! TRANS CODE 6,250,000.00 01N0 60635 B DESCRIPTION! BROKER COMMIT TO PUR GNMA SF MTG 6.000%03/15/2029 GOLDMAN SACHS &CO,NY rOSTi~,~ 01-JAN-19 EFFECTIVE DATE! SETTLE DATE! COMPL DATE 28—JAN—1999 23—MAR—1999 LOCAL AMOUNT/ COST! GAIN LOSS —6,195,312.50 6,195,312.50 0.00 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS —6,195,312.50 6,195,312.50 0.00 0.00 ASE:USD 100 LOCAL PRICE! BASE PRICE! BASE XRATE! 99.125000 99.125000 1.000000000 4,500,000.00 01N062 615 B LONG TERM OPER-PINCO COMMIT TO PUR GNMA SF MTG 6.500%01/15/2029 LEHMAN BROS INC,NJ 21—OCT—1998 21—JAN—1999 -4,545,000.00 4,545,000.00 0.00 —4,545,000.00 4,545,000.00 0.00 0.00 101.000000 101.000000 1.000000000 4,500,000.00 01N062615 FC LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.500%01/15/2029 LEHMAN BROS INC,NJ 21—OCT—1998 21—JAN—1999 21—JAN—1999 -4,545,000.00 -4,545,000.00 0.00 —4,545,000.00 0.00 0.00 0.00 101.000000 101.000000 1.000000000 6,000,000.00 01N062615 B —6,000,000.00 01N062615 BC LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.500%01/15/2029 LEHMAN BROS INC,NJ LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.500%01/15/2029 LEHMAN BROS INC,NJ -6,060,000.00 6,060,000.00 0.00 6,060,000.00 —6,060,000.00 0.00 —6,060,000.00 6,060,000.00 0.00 0.00 6,060,000.00 —6,060,000.00 0.00 0.00 101.000000 101 .000000 1.000000000 101.000000 101.000000 1.000000000 4,500,000.00 01N062623 B LONG TERM OPER-PIMCO COMMIT TO PUR GNMA I SF MTG 6.500%02/15/2028 LEHMAN BROS INC,NJ 06—JAN—1999 22—FEB—1999 —4,543,593.75 4,543,593.75 0.00 —4,543,593.75 4,543,593.75 0.00 0.00 100.968750 100.968750 1.000000000 6,000,000.00 01N062 623 B LONG TERM OPER-PIMCO COMMIT TO PUR GNMA I SF MTG 6.500%02/15/2028 LEHMAN BROS INC,NJ —6,058,125.00 6,058,125.00 0.00 —6,058,125.00 6,058,125.00 0.00 0.00 100.968750 100.968750 1.000000000 6,000,000.00 01N062623 B LONG TERM OPER-PIMCO COMMIT TO PUR GNMA I SF MTG 6.500%02/15/2029 LEHMAN BROS INC,NJ 06—JAN—1999 22—FEB—1999 —6,058,125.00 6,058,125.00 0.00 —6;058,125.00 6,058,125.00 0.00 0.00 100.968750 100.968750 1.000000000 Page 7 C.,U~JL.—COL~.~,DA__-LOC~,1~ASE 1—JAN—1999 18-DEC—1998 21—JAN—1999 18—DEC—1998 21—JAN—1999 06-JAN-1999 22—FEB—1999 4,500,000.00 01N062623 B LONG TERM OPER-PIMCO COMMIT TO PUR GNMA I SF MTG 6.500%02/15/2029 LEHMAN BROS INC,NJ EFFECTIVE DATE! SETTLE DATE! COMPL DATE 06—JAN—1999 22—FEB—1999 LOCAL AMOUNT! COST! GAIN LOSS —4,543,593.75 4,543,593.75 0.00 BASE AMOUNT! COST! INV GAIN LOSS/ CURR GAIN LOSS —4,543,593.75 4,543,593.75 0.00 0.00 BASE:USD TM100 LOCAL PRICE! BASE PRICE! BASE XRATE! 100.968750 100.968750 1.000000000 10,500,000.00 01N062631 B LONG TERM OPER-PIMCO COMMIT TO PUR GNMA I SF MTG 6.500%03/15/2028 LEHMAN BROS INC,NJ 28—JAN—1999 23—MAR—1999 —10,605,000.00 10,605,000.00 0.00 0.00 101.000000 101.000000 1.000000000 2,230,000.00 11F011610 B LONG TERM OPER-PIMCO COMMIT TO PUR FNMA 11TH DIST 6.150%01/25/2029 BEAR STEARNS &CO INC,NY 17—NOV—1998 25—JAN—1999 —2,242,543.75 2,242,543.75 0.00 —2,242,543.75 2,242,543.75 0.00 0.00 100.562500 100.562500 1.000000000 2,230,000.00 11F011610 FC LONG TERM OPER-PIMCO COMMIT TO PUR FNMA 11TH DIST 6.150%01/25/2029 BEAR STEARNS &CO INC,NY 17—NOV—1998 25—JAN—1999 25—JAN—1999 —2,242,543.75 —2,242,543.75 0.00 —2,242,543.75 0.00 0.00 0.00 100.562500 100.562500 1.000000000 2,000,000.00 11F011610 B LONG TERM OPER-PIMCO COMMIT TO PUR FNMA 11TH DIST 6.150%01/25/2029 GOLDMAN SACHS &CO,NY 02—DEC—1998 25—JAN—1999 —2,016,875.00 2,016,875.00 0.00 —2,016,875.00 2,016,875.00 0.00 0.00 100.843750 100.843750 1 .000000000 2,000,000.00 11F011610 FC LONG TERM OPER-PIMCO COMMIT TO PUR FNMA 11TH DIST 6.150%01!25!2029 GOLDMAN SACHS &CO,NY 02—DEC—1998 25—JAN—1999 25—JAN—1999 —2,016,875.00 —2,016,875.00 0.00 —2,016,875.00 0.00 0.00 0.00 100.843750 100.843750 1 .000000000 2,000,000.00 11F011628 B LONG TERM OPER-PIMCO COMMIT TO PUR FNMA SF MPG 6.150%02/25/2029 GOLDMAN SACHS &CO,NY 06—JAN—1999 23—FEB—1999 —2,007,500.00 2,007,500.00 0.00 —2,007,500.00 2,007,500.00 0.00 0.00 100.375000 100.375000 1.000000000 2,230,000.00 11F011628 B LONG TERM OPER-PIMCO COMMIT TO PUR FNMA SF MTG 6.150%02/25/2029 BEAR STEARNS &CO INC,NY 06-JAN-1999 23—FEB—1999 —2,237,317.19 2,237,317.19 0.00 —2,237,317.19 2,237,317.19 0.00 0.00 100.328125 100.328125 1.000000000 OCSG000 100 CSDOC-CONSOLIDATED SHARES/PAR VALUE SECURITY ID!DESCRIPTION! TRANS CODE BROKER MELLON TRUST POSTED TRANSACTIONS -LOCAL/BASE 01—JAN—1999 —31—JAN—1999 —10,605,000.00 10,605,00O.00 0.00 P B SHARES/PAR VALUE SECURITY ID! TRANS CODE DESCRIPTION! BROKER DN rOSTl~U iRAN~,-~1IO’~ 01—JAN—19’ EFFECTIVE DATE! SETTLE DATE! COMPL DATE LOCAL AMOUNT! COST! GAIN LOSS BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS 100 LOCAL PRICE! BASE PRICE! BASE XRATE! 500,000.00 17 120 5AT4 B LIQUID OPER-PIMCO CHRYSLER FINL CO LLC 13.250%10!15!1999 MERRILL LYNCH PIERCE 13—JAN—1999 19—JAN—1999 FENNER SM —529,010.00 529,010.00 0.00 —529,010.00 529,010.00 0.00 0.00 105.802000 105.802000 1.000000000 500,000.00 17 120 5AT4 lB LIQUID OPER-PIMCO CHRYSLER FINL CO LLC 13.250%10!15!1999 13—JAN—1999 19—JAN—1999 —17,298.61 0.00 0.00 —17,298.61 0.00 0.00 0.00 105.802000 105.802000 1.000000000 —500,000.00 171205AT4 BC LIQUID OPER-PIMCO CHRYSLER FINL CO LLC 13.250%10/15/1999 MERRILL LYNCH PIERCE 13—JAN—1999 19—JAN—1999 FENNER SM 529,010.00 —529,010.00 0.00 529,010.00 —529,010.00 0.00 0.00 105.802000 105.802000 1.000000000 —500,000.00 17 120 5AT4 I BC LIQUID OPER-PIMCO CHRYSLER FINL CO LLC 13.250%10!15!1999 13—JAN—1999 19—JAN—1999 17,298.61 0.00 0.00 17,298.61 0.00 0.00 0.00 105.802000 105.802000 1.000000000 500,000.00 171205AT4 B LIQUID OPER-PIMCO CHRYSLER FINL CO LLC 13.250%10!15/1999 MERRILL LYNCH PIERCE —529,010.00 529,010.00 0.00 —529,010.00 529,010.00 0.00 0.00 105.802000 105.802000 1.000000000 500,000.00 171205AT4 lB LIQUID OPER-PIMCO CHRYSLER FINL CO LLC 13.250%10/15/1999 13—JAN—19 99 19—JAN—1999 —17,298.61 0.00 0.00 —17,298.61 0.00 0.00 0.00 105.802000 105.802000 1.000000000 500,000.00 171205AT4 FC 13—JAN—1999 19—JAN—1999 19—JAN—1999 —546;308.61 —546,308.61 0.00 —546,308.61 0.00 0.00 0.00 105.802000 105.802000 1.000000000 LIQUID OPER-PIMCO DUKE ENERGY CORP 1ST &REF MTG 8.000%11!01!1999 DD 11!01!94 NATIONSBANC MONTGOMERY,SAN FR 0 001 CSL)OLCON Aii~u T LOC~,0ASE 31—JAN—1999 ASE:USD 13—JAN—1999 19—JAN —1999 FENNER SM LIQUID OPER-PIMCO CHRYSLER FINL CO LLC 13.250%10/15/1999 MERRILL LYNCH,FIX INCOME OPER 500,000.00 264399DB9 B 19—JAN—1999 —511,200.00 —511,200.00 102.240000 22—JAN—1999 511,200.00 0.00 511,200.00 0.00 102.240000 1.000000000 Page 9 SHARES/PAR VALUE EFFECTIVE DATE! SECURITY ID/DESCRIPTION!SETTLE DATE! TRANS CODE BROKER COMPL DATE 500,000.00 264399DB9 lB —500,000.00 264 399DB9 BC 19—JAN—1999 22—JAN—1999 511,200.00 —511,200.00 0.00 —9,000.00 0.00 0.00 0.00 511,200.00 —511,200.00 0.00 0.00 BASE:USD TM100 102.240000 102.24 0000 1.000000000 102.240000 102.240000 1.000000000 LIQUID OPER-PIMCO DUKE ENERGY CORP 1ST &REF MTG 8.000%11/01/1999 DD 11/01/94 19—JAN—1999 22—JAN—1999 102.240000 102.240000 1.000000000 500,000.00 264399DB9 B 19—JAN—1999 22—JAN—1999 —511,200.00 511,200.00 0.00 —511,200.00 511,200.00 0.00 0.00 102.240000 102.240000 1.000000000 500,000.00 264399DB9 lB LIQUID OPER-PIMCO DUKE ENERGY CORP 1ST &REF MTG 8.000%11/01/1999 DD 11/01/94 19—JAN—1999 22—JAN—1999 —9,000.00 0.00 0.00 —9,000.00 0.00 0.00 0.00 102.240000 102.240000 1 .000000000 500,000.00 264 399DB9 FC 173,753.28 312 83HBT1 B 19—JAN—19 99 22—JAN—1999 22—JAN—1999 19—OCT—19 98 14—JAN—1999 —520,200.00 —520,200.00 0.00 —171,907.15 171,907.15 0.00 —520,200.00 0.00 0.00 0.00 —171,907.15 171,907.15 0.00 0.00 102.240000 102.240000 1.000000000 98.937500 98.937500 1.000000000 173,753.28 3 H BT 1 LONG TERM OPER-PIMCO FHLMC GROUP #G0-0950 6.000%06/01/2028 DD 06/01/98 19—OCT—1998 14—JAN—1999 —376.47 0.00 —376.47 0.00 98.937500 9 7500 - OCSG000100 CSDOC-CONSOLI DATED MELLON TRUST POSTED TRANSACTIONS -LOCAL/BASE 01—JAN—1999 —31—JAN—1999 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS 0.00 LOCAf~AMOUNT! COST! GAIN LOSS —9,000.00 0.00 0.00 LIQUID OPER-PIMCO DUKE ENERGY CORP 1ST &REF MTG 8.000%11/01/1999 DD 11/01/94 LIQUID OPER-PIMCO DUKE ENERGY CORP 1ST &REF MTG 8.000%11/01/1999 DD 11/01/94 NATIONSBANC MONTGOMERY,SAN FR 19—JAN—1999 22—JAN—1999 LOCAL PRICE! BASE PRICE! BASE XRATE! —500,000.00 264 399DB9 I BC LIQUID OPER-PIMCO DUKE ENERGY CORP 1ST &REF MTG 8.000%11/01/1999 DD 11/01/94 NATIONSBANC MONTGOMERY,SAN FR 9,000.00 0.00 0.00 9,000.00 0.00 0.00 0.00 LIQUID OPER-PIMCO DUKE ENERGY CORP 1ST &REF MTG 8.000%11/01/1999 DD 11!01!94 NATIONSBANC CAPITAL MARKETS IN LONG TERM OPER-PIMCO FHLMC GROUP #G0-0950 6.000%06!01/2028 DD 06!01!98 MORGAN STANLEY &CO INC,NY P~~0 Ait~v rOSTr~u iRAN~,t~iIO 01-JAN-19 SHARES/PAR VALUE EFFECTIVE DATE! SECURITY ID!DESCRIPTION!SETTLE DATE! TRANS CODE BROKER COMPL DATE lB LOCtu~/DASE ASE:USU 1—JAN—1999 100 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS 0.00 0.00 173,753.28 3128311BT1 FC 19—OCT—19 98 14—JAN—1999 14—JAN—1999 —172,283.62 —172,283.62 0.00 —172,283.62 0.00 0.00 0.00 98.937500 98.937500 1.000000000 1,009,999.91 31283HBT1 B LONG TERM OPER-PIMCO FHLMC GROUP #G0-0950 6.000%06!01!2028 DD 06/01/98 MORGAN STANLEY &CO INC,NY 19—OCT—1998 14—JAN—1999 —999,268.66 999,268.66 0.00 —999,268.66 999,268.66 0.00 0.00 98.937500 98.937500 1 .000000000 1,009,999.91 31283HBT1 lB LONG TERM OPER-PIMCO FHLMC GROUP #G0-0950 6.000%06!01/2028 DD 06!01/98 19—OCT—1998 14-JAN—1999 —2,188.33 0.00 0.00 —2,188.33 0.00 0.00 0.00 98.937500 98.937500 1 .000000000 1,009,999.91 31283HBT1 FC 736,333.69 31283HBT1 B 19—OCT—19 98 14—JAN—1999 14—JAN—1999 19—OCT—19 98 14—JAN—1999 —728,510.14 728,510.14 0.00 —1,001,456.99 0.00 0.00 0.00 —728,510.14 728,510.14 0.00 0.00 98.937500 98.937500 1.000000000 98.937500 98.937500 1 .000000000 736,333.69 31283HBT1 lB LONG TERM OPER-PIMCO FHLMC GROUP #G0-0950 6.000%06!01!2028 DD 06!01!98 19—OCT—1998 14—JAN—1999 —1,595.39 0.00 0.00 —1,595.39 0.00 0.00 0.00 98.937500 98.937500 1.000000000 736,333.69 312 83HBT1 FC —730,105.53 —730,105.53 0.00 —730,105.53 0.00 0.00 0.00 98.937500 98.937500 1.000000000 394,670.00 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0160 16—OCT—1998 99.453125 0 001 C~uuL—CON~ DN T LOCAL AMOUNT! COST! GAIN LOSS 0.00 LONG TERM OPER-PIMCO FHLMC GROUP #G0-0950 6.000%06!01!2028 DD 06!01!98 MORGAN STANLEY &CO INC,NY LOCAL PRICE! BASE PRICE! BASE XRATE! 1.000000000 LONG TERM OPER-PIMCO FHLMC GROUP #G0-0950 6.000%06!01!2028 DD 06!01!98 MORGAN STANLEY &CO INC,NY LONG TERM OPER-PIMCO FHLMC GROUP #G0-0950 6.000%06!01!2028 DD 06!01!98 MORGAN STANLEY &CO INC,NY —1,001,456.99 —1,001,456.99 0.00 LONG TERM OPER-PIMCO FHLMC GROUP 41G0-0950 6.000%06!01!2028 DD 06!01!98 MORGAN STANLEY &CO INC,NY 19—OCT—1998 14—JAN—1999 14—JAN—1999 —392,511.65 —392,511.65 Page 11 OCSG000 100 CSDOC-CONSOLIDATED SHARES/PAR VALUE SECURITY ID! TRANS CODE DESCRIPTION! BROKER EFFECTIVE DATE! SETTLE DATE! COMPL DATE 14—JAN—1999 LOCAL AMOUNT! COST! GAIN LOSS 392,511.65 0.00 BASE AMOUNT! COST/ INV GAIN LOSS! CURR GAIN LOSS 392,511.65 0.00 0.00 BASE:USD TM100 LOCAL PRICE! BASE PRICE! BASE XRATE! 99.453125 1.000000000 394,670.00 312 93HE90 lB LONG TERM OPER-PIMCO FHLMC GROUP #C2-0160 6.000%01!01!2029 DD 01/01!99 —855.12 0.00 0.00 0.00 99.4 53 125 99.453125 1 .000000000 394,670.00 312 93 HE 90 FC 273,666.00 312 93HGS6 B 16—OCT—1998 14—JAN—1999 14—JAN—1999 19—OCT—1998 14—JAN—1999 —393,366.77 —393,366.77 0.00 —270,758.30 270,758.30 0.00 —393,366.77 0.00 0.00 0.00 —270,758.30 270,758.30 0.00 0.00 99.453125 99.453125 1 .000000000 98.937500 98.937500 1.000000000 273,666.00 31293HGS6 lB LONG TERM OPER-PIMCO FHLMC GROUP #C2-0209 6.000%12/01/2028 DD 01!01!99 19—OCT—19 98 14—JAN—1999 —592 . 94 0.00 0.00 —592.94 0.00 0.00 0.00 98.937500 98.937500 1 .000000000 273,666.00 312 93HGS6 FC 836,246.00 31293HXU2 B 19—OCT—1998 14—JAN—1999 —271,351 .24 —271,351.24 0.00 —827,360.89 827,360.89 0.00 —271,351.24 0.00 0.00 0.00 —827,360.89 827,360.89 0.00 0.00 98.937500 98.937500 1.000000000 98.937500 98.937500 1.000000000 836,246.00 31293HXU2 lB LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 6.000%01/01/2029 DD 01/01/99 19—OCT—19 98 14—JAN—1999 —1,811.87 0.00 0.00 —1,811.87 0.00 0.00 0.00 98 .937500 98.937500 1.000000000 LONG TERM OPER-PIMCO MELLON TRUST POSTED TRANSACTIONS -LOCAL/BASE 01—JAN—1999 —31—JAN—1999 31293HE90 6.000%01!01/2029 DD 01/01/99 B GREENWICH CAP MKTS INC,GREENW 16—OCT—1998 14—JAN—1999 —855.12 0.00 0.00 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0160 6.000%01/01/2029 DD 01!01/99 CHASE SECS INC,NY LONG TERM OPER-PINCO FHLMC GROUP #C2-0209 6.000%12/01/2028 DD 01/01/99 MORGAN STANLEY &CO INC,NY LONG TERM OPER-PINCO FHLMC GROUP #C2-0209 6.000%12/01/2028 DD 01/01/99 MORGAN STANLEY &CO INC,NY LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 6.000%01/01/2029 DD 01/01/99 MORGAN STANLEY &CO INC,NY 19—OCT—19 98 14—JAN—1999 14—JAN—1999 P L2 L UUI C -CC.~_~ID~ SHARES!i-~VALUE SECURITY ID! TRANS CODE 836,246.00 312 93HXU2 FC DESCRIPTION! BROKER ON OS~.RAN~~IO 01-JAN-19 EFFECTIVE DATE! SETTLE DATE! COMPL DATE 19—OCT—1998 14—JAN—1999 14—JAN—1999 LOCAL AMOUNT! COST! GAIN LOSS —829,172.76 —829,172.76 0.00 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS —829,172.76 0.00 0.00 0.00 100 LOCAL PRICE! BASE PRICE! BASE XRATE! 98 . 937500 98.937500 1.000000000 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 6.000%03J01!2029 DD 01!01!99 MORGAN STANLEY &CO INC,NY LONG TERM OPER-PIMCO FHLMC GROUP #C2—0691 6.000%01!01!2029 DD 01!01!99 —105,457.48 105,457.48 0.00 —105,457.48 105,457.48 0.00 0.00 106,590.00 31293HXU2 FC 1 9—OCT—1998 14—JAN—19 99 14—JAN —1999 —105,688.43 —105,688.43 0.00 —105,688.43 0.00 0.00 0.00 98 .937500 98.937500 1.000000000 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 6.000%01!01!2029 DD 01!01!99 MORGAN STANLEY &CO INC,NY 1,010,000.00 312 93HXU2 lB LONG TERM OPER-PIMCO FHLMC GROUP #C2—0691 6.000%01!01!2029 DD O1!01!99 19—OCT—1998 14—JAN—1999 —2,188.33 0.00 0.00 —2,188.33 0.00 0.00 0.00 98.937500 98.937500 1.000000000 1,010,000.00 312 93HXU2 FC 595,330.00 312 93H5V1 B 19—OCT—1998 14—JAN—19 99 14—JAN—1999 16—OCT—1998 14—JAN—1999 —1,001,457.08 —1,001,457.08 0.00 —592,074.29 592,074.29 0.00 —592,074.29 592,074.29 0.00 0.00 98.937500 98.937500 1.000000000 99.453125 99.453125 1.000000000 T LOC..,..ASE 31—JAN—i 999 FHLMC GROUP ~IC2-069i 6.000%0i/Oi!2029 DD 01/0i!99 MORGAN STANLEY &CO INC,NY ASE:USD 106,590.00 312 9311XU2 B 106,590.00 312 93 HXU2 lB 19—OCT—1998 14-JAN-1999 19—OCT—1998 i4—JAN—1999 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 6.000%Oi!01!2029 DD 01!01!99 MORGAN STANLEY &CO INC,NY —230.95 0.00 0.00 1,010,000.00 31293HXU2 B 98.937500 98.937500 1.000000000 98.937500 98.937500 1.000000000 —230.95 0.00 0.00 0.00 19—OCT—1998 —999,268.75 —999,268.75 98.937500 14—JAN—1999 999,268.75 999,268.75 98.937500 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO FHLMC GROUP #C2-069i 6.000%01!0i!2029 OD 01/O1!99 MORGAN STANLEY &CO INC,NY LONG TERM OPER-PIMCO FHLMC GROUP #C2-0860 6.000%01!01!2029 DD 01!01!99 GREENWICH CAP MKTS INC,GREENW —1,001,457.08 0.00 0.00 0.00 Page 13 ocsGoooloo CSDOC-CONSOLI DATED SHARES/PAR VALUE SECURITY ID! TRANS CODE DESCRI PT ION! BROKER EFFECTIVE DATE! SETTLE DATE! COMPL DATE LOCAL AMOUNT! COST! GAIN LOSS BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS BASE:USD TM100 LOCAL PRICE! BASE PRICE! BASE XRATE! 595,330.00 31293H5V1 lB LONG TERM OPER-PIMCO FHLMC GROUP #C2-0860 6.000%01!0i!2029 DD 0i!0i/99 16—OCT--1998 14—JAN—1999 —1,289.88 0.00 0.00 —1,289.88 0.00 0.00 0.00 99.453125 99.453125 1.000000000 595,330.00 312 93H5 Vi FC LONG TERM OPER-PIMCO FHLMC GROUP #C2-0860 6.000%01!01!2029 DO 01!01!99 CHASE SECS INC,NY 16—OCT—1998 14—JAN—1999 14—JAN—1999 —593,364.17 —593,364.17 0.00 —593,364.17 0.00 0.00 0.00 99.453125 99.453125 1 .000000000 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0967 6.000%01!01!2029 DO 01!01!99 GREENWICH CAP MKTS INC,GREENW 0.00 0.00 495,000.00 31293JCC1 lB LONG TERM OPER-PIMCO FHLMC GROUP #C2-0967 6.000%01!01!2029 DD 01/0i!99 16—OCT—1998 14—JAN—1999 —1,072.50 0.00 0.00 —1,072 .50 0.00 0.00 0.00 99.453125 99.453125 1.000000000 495,000.00 31293JCC1 FC 650,910.00 31293JGM5 B 16—OCT—19 98 14—JAN—1999 14—JAN—1999 —493,365.47 —493,365.47 0.00 —643,994.08 643,994.08 0.00 —493,365.47 0.00 0.00 0.00 —643,994.08 643,994.08 0.00 0.00 99.453125 99.453125 1 .000000000 98.937500 98.937500 1.000000000 650,910.00 31293JGM5 lB LONG TERM OPER-PIMCO FHLMC GROUP #C2-1104 6.000%0i!01!2029 DD 01!01!99 19—OCT—1998 14—JAN—i 999 —1,410.31 0.00 0.00 —1,410.31 0.00 0.00 0.00 98.937500 98.937500 1.000000000 19—OCT—1998 14—JAN—1999 14—JAN—1999 —645,404.39 —645,404.39 0 . 00 —645,404.39 0.00 0.00 0.00 98.937500 98.937500 1.000000000 MELLON TRUST POSTED TRANSACTIONS -LOCAL!BASE 01—JAN—1999 —31—JAN—1999 495,000.00 31293JCC1 B 16—OCT—1998 —492,292.97 —492,292.97 99.453125 14—JAN—1999 492,292.97 0.00 492,292.97 99.453125 1.000000000 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0967 6.000%01!01!2029 DO 01!01!99 CHASE SECS INC,NY LONG TERM OPER-PIMCO FHLMC GROUP $tC2-1104 6.000%01!01!2029 DO 01!01!99 MORGAN STANLEY &CO INC,NY 19—OCT—19 98 14—JAN—1999 ‘650,910.00 312 93JGM5 FC LONG TERM OPER-PIMCO FHLMC GROUP #C2-1104 6.000%01!01!2029 DD 01!01!99 MORGAN STANLEY &CO INC,NY P~-~4 U JOl CZD uuL—COI’l ~Ai JN rOST~u AN...~JO 01-JAN-19 I LOC~u.~t ijASE 1—JAN —1999 ASE:USD 100 BASE AMOUNT! SHARES/PAR VALUE SECURITY ID! TRANS CODE DESCRI PT ION! BROKER EFFECTIVE DATE! SETTLE DATE! COMPL DATE LOCAL AMOUNT! COST! GAIN LOSS COST! INV GAIN LOSS! CURR GAIN LOSS LOCAL PRICE! BASE PRICE! BASE XRATE! LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS BDS 4.835%01!28!2000 DD 01!28!99 CHASE SECURITIES,NEW YORK 3,700,000.00 3133M7EW2 FC 21—JAN—1999 28—JAN—1999 28—JAN—1999 —3,699,104.60 —3,699,104.60 0.00 —3,699,104.60 0.00 0.00 0.00 99.975800 99.975800 1.000000000 900,000.00 3704 2M7G2 B LIQUID OPER-PIMCO GENERAL MTRS ACCEP CORP MTN 6.250%01/11!2000 DD 01!11!94 MORGAN J P SECS INC,NEW YORK —909,657.00 909,657.00 0.00 —909,657.00 909,657.00 0.00 0.00 101.073000 101.073000 1.000000000 900,000.00 37042M7G2 lB LIQUID OPER-PIMCO GENERAL MTRS ACCEP CORP MTN 6.250%01!11!2000 DD 01!11!94 14—JAN—1999 20—JAN—1999 —17,031.25 0.00 0.00 —17,031.25 0.00 0.00 0.00 101.073000 101.073000 1.000000000 900,000.00 37042M7G2 FC LIQUID OPER-PINCO GENERAL MTRS ACCEP CORP MTN 6.250%01!11!2000 DD 01!11!94 MORGAN J P SECS INC,NEW YORK 14—JAN—1999 20—JAN—1999 20—JAN—1999 —926,688.25 —926,688.25 0.00 —926,688.25 0.00 0.00 0.00 101.073000 101.073000 1.000000000 850,000.00 718154BX4 FC LIQUID OPER-PINCO PHILLIP MORRIS CO INC NTS 7.125%12!01!1999 DD 12!01/92 GOLDMAN SACHS &CO,NY 31—DEC—1998 06—JAN—1999 06—JAN—1999 —869,641.02 —869,641.02 0.00 —869,641.02 0.00 0.00 0.00 101.618000 101.618000 1.000000000 LONG TERM OPER-PIMCO SEARS ROEBUCK ACCEP CORP MTN 6.540%02!20!2003 DD 02/20/97 CHASE SECURITIES,NEW YORK 2,005,000.00 81240QGW6 lB LONG TERM OPER-PIMCO SEARS ROEBUCK ACCEP CORP MTN 6.540%02/20/2003 DD 02/20/97 06—JAN—1999 11—JAN—1999 —20,397.53 0.00 0.00 —20,397.53 0.00 0.00 102.780000 102.780000 1 .000000000 3,700,000.00 3133M7EW2 B LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS BDS 4.835%01/28/2000 DD 01/28/99 CHASE SECURITIES,NEW YORK 21—JAN—1999 —3,699,104.60 —3,699,104.60 99.975800 28—JAN—1999 3,699,104.60 0.00 3,699,104.60 0.00 99.975800 1.000000000 0.00 14—JAN—1999 20—JAN—1999 2,005,000.00 81240QGW6 B 06—JAN—1999 —2,060,739.00 —2,060,739.00 102.780000 11—JAN—1999 2,060,739.00 0.00 2,060,739.00 0.00 102.780000 1.000000000 0.00 Page 15 UCSG000100 MELLON TRUST CSDOCCONSOLIDATED POSTED TRANSACTIONS -LOCAL/BASE BASE:USD 01—JAN-1999 —31—JAN—1999 TM100 BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE!LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE! 0.00 LONG TERM OPER-PIMCO 2,005,000.00 SEARS ROEBUCK ACCEP CORP MTN 06—JAN—1999 —2,081,136.53 —2,081,136.53 102.780000 81240QGW6 6.540%02!20!2003 DD 02!20!97 11—JAN—1999 —2,081,136.53 0.00 102.780000 FC CHASE SECURITIES,NEW YORK 11—JAN-1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO 500,000.00 TRANSAMERICA FIN MTN 1ISBOO11O 07—JAN—1999 —515,125.00 —515,125.00 103.025000 89350MEP1 8.450%01!12!2000 DD 01!12/95 12—JAN—1999 515,125.00 515,125.00 103.025000 B MERRILL LYNCH PIERCE FENNER SM 0.00 0.00 1.000000000 0.00 LIQUID OPER-PINCO 500,000.00 TRANSAMERICA FIN MTN #SBOO11O 07—JAN—1999 —15,374.31 —15,374.31 103.025000 89350MEP1 8.450%01/12/2000 DD 01/12/95 12—JAN—1999 0.00 0.00 103.025000 lB 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO 500,000.00 TRANSAMERICA FIN MTN #SBOO11O 07—JAN—1999 —530,499.31 —530,499.31 103.025000 89350MEP1 8.450%01/12/2000 DD 01/12/95 12—JAN—1999 —530,499.31 0.00 103.025000 FC MERRILL LYNCH,FIX INCOME OPER 12-JAN-1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 5,000,000.00 U S TREASURY BONDS 29—OCT—1998 —6,652,219.02 —6,652,219.02 128.086500 912810DE5 11.125%08/15/2003 DD 07!05!83 26—JAN—1999 —6,652,219.02 0.00 128.086500 FC HSBC SECS INC,NEW YORK 26—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 2,480,000.00 COMMIT TO PUR FNMA 17—NOV—1998 —2,493,950.00 —2,493,950.00 100.562500 999ACW396 6.150%01!25!2029 25—JAN—1999 —2,493,950.00 0.00 100.562500 FC BEAR STEARNS &CO INC,NY 25—JAN-1999 0.00 0.00 1.000000000 0.00 PAY UPS U.S.DOLLAR FIXED INCOME SECURITIES LONG TERM OPER-PIMCO 11,128.10 FHLMC MULTICLASS CTF SER 1620Z 01—DEC—1998 —11,128.10 —11,128.10 100.000000 3133T17A4 6.000%11/15/2023 DD 11/01/93 01—DEC—1998 11,128.10 11,128.10 100.000000 PU 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO P 6 C 001 ON T ~~~OSI~~~RAN.,r~IO -LOCIU~IIiASE ASE:USD 01—JAN—19 31—JAN—1999 100 BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE!LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE! 11,128.10 FHLMC MULTICLASS CTF SER 1620Z O1—DEC—1998 —11,128.10 —11,128.10 100.000000 3133T17A4 6.000%11!15!2023 DD 11/01!93 01—DEC—1998 —11,128.10 0.00 100.000000 FC 07—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 11,183.54 FHLMC MULTICLASS CTF SER 1620Z 01—JAN—1999 —11,183.54 —11,183.54 100.000000 3133T17A4 6.000%11/15/2023 DD 11/01/93 01—JAN—1999 11,183.54 11,183.54 100.000000 PU 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 11,183.54 FHLMC MULTICLASS CTF SER 1620Z O1—JAN—1999 —11,183.54 —11,183.54 100.000000 3133T17A4 6.000%11/15/2023 DD 11/01/93 01—JAN—1999 —11,183.54 0.00 100.000000 FC 19—JAN—1999 0.00 0.00 1.000000000 0.00 SALES U.S.DOLLAR CASH &CASH EQUIVALENTS LONG TERM OPER-PIMCO —1,900,000.00 AMERITECH CORP DISC 27—JAN—1999 1,890,453.56 1,890,453.56 99.497556 02680KQ50 03/05/1999 27—JAN—1999 -1,890,453.56 —1,890,453.56 99.497556 S LEHMAN BROS INC,NJ 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —1,900,000.00 AMERITECH CORP DISC 27—JAN—1999 95.00 95.00 99.497556 02680KQ50 03/05/1999 27—JAN—1999 0.00 0.00 99.497556 IS 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —1,900,000.00 AMERITECH CORP DISC 27—JAN—1999 1,890,548.56 1,890,548.56 99.497556 02680KQ50 03/05/1999 27—JAN—1999 1,890,548.56 0.00 99.497556 FC LEHMAN BROS INC,NJ 27-JAN—1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —3,600,000.00 FEDERAL HOME LN BK CONS DISC 28—JAN—1999 3,555,589.00 3,555,589.00 98.766361 313384BK4 MAT 02/03/1999 28—JAN—1999 —3,555,589.00 —3,555,589.00 98.766361 S MORGAN J P SECS INC,NEW YORK 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —3,600,000.00 FEDERAL HOME LNBK CONS DISC 28—JAN—1999 41,579.00 41,579.00 98.766361 313384BK4 MAT 02/03/1999 28—JAN—1999 0.00 0.00 98.766361 IS 0.00 0.00 1.000000000 Page 17 ~UCSGD001UU MELLON TRUST CSDOCCONSOLIDATED POSTED TRANSACTIONS -LOCAL/BASE BASE:USD 01—JAN—1999 —31—JAN—1999 TM100 BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE!LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE/ 0.00 LIQUID OPER-PIMCO —3,600,000.00 FEDERAL HOME LN BK CONS DISC 28—JAN—1999 3,597,168.00 3,597,168.00 98.766361 313384BK4 MAT 02/03/1999 28—JAN—1999 3,597,168.00 0.00 98.766361 FC MORGAN J P SECS INC,NEW YORK 28-JAN-1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —800,000.00 FED HOME LN MTG CORP DISC 06—JAN-1999 792,300.00 792,300.00 99.037500 313396BH5 MAT 02/01/1999 06—JAN-1999 -792,300.00 -792,300.00 99.037500 S MORGAN J P SECS INC,NEW YORK 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —800,000.00 FED HOME LN MTG CORP DISC 06—JAN—1999 4,944.00 4,944.00 99.037500 313396BH5 MAT 02/01/1999 06—JAN—1999 0.00 0.00 99.037500 IS 0.00 0.00 1.000000000 0.00 LIQUID OPER-PINCO —800,000.00 FED HOME LN MTG CORP DISC 06—JAN—1999 797,244.00 797,244.00 99.037500 313396BH5 MAT 02/01!1999 06—JAN—1999 797,244.00 0.00 99.037500 FC MORGAN J P SECS INC,NEW YORK 06-JAN—1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —400,000.00 FED HOME LN MTG CORP DISC 12—JAN—1999 396,150.00 396,150.00 99.037500 313396BH5 MAT 02/01/1999 12—JAN—1999 —396,150.00 —396,150.00 99.037500 5 HSBC SECS INC,NEW YORK 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —400,000.00 FED HOME LN MTG CORP DISC 12—JAN—1999 2,781.11 2,781.11 99.037500 313396BH5 MAT 02/01/1999 12—JAN—1999 0.00 0.00 99.037500 IS 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —400,000.00 FED HOME LN MTG CORP DISC 12—JAN—1999 398,931.11 398,931.11 99.037500 313396BH5 MAT 02/01/1999 12—JAN—1999 398,931.11 0.00 99.037500 FC HSBC SECS INC,NEW YORK 12—JAN—1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —600,000.00 FED HOME LN MTG CORP DISC 19—JAN—1999 594,225.00 594,225.00 99.037500 313396BH5 MAT 02!01!1999 19—JAN—1999 —594,225.00 —594,225.00 99 7500 P~8 0 DOl Art~v )N r SHARES/PAR VALUE SECURITY ID! TRANS CODE DESCRI PTION/ BROKER ~OSTt.u rRAN~uiiO 01-JAN-19 EFFECTIVE DATE! SETTLE DATE! COMPL DATE LOCAL AMOUNT! COST! GAIN LOSS 0.00 BASE AMOUNT! COST / INV GAIN LOSS! CURR GAIN LOSS 0.00 0.00 SE:USD 100 LOCAL PRICE! BASE PRICE! BASE XRATE! 1 .000000000 —600,000.00 313396BH5 IS LIQUID OPER-PINCO FED HOME LN MTG CORP DISC MAT 02!01/1999 19—JAN—1999 19—JAN—1999 4,743.67 0.00 0.00 4,743.67 0.00 0.00 0.00 99.037500 99.037500 1.000000000 —600,000.00 313396BH5 FC LIQUID OPER-PIMCO FED HOME LN MTG CORP DISC MAT 02/01/1999 CREDIT SUISSE FIRST BOSTON 19—JAN—1999 19—JAN—i 999 CUR 19-JAN-1999 598,968.67 598,968 . 67 0.00 598,968.67 0.00 0.00 0.00 99.037500 99.037500 1.000000000 —500,000.00 31339 6BH5 S LIQUID OPER-PIMCO FED HOME LN MTG CORP DISC MAT 02/01/1999 HSBC SECS INC,NEW YORK 22—JAN—1999 22—JAN—1999 495,187.50 —495,187.50 0.00 495,187.50 —495,187.50 0.00 0.00 99.037500 99.037500 1 .000000000 —500,000.00 313396BH5 IS LIQUID OPER-PIMCO FED HOME LN MTG CORP DISC MAT 02/01/1999 22—JAN—1999 22—JAN—1999 4,158.33 0.00 0.00 4,158.33 0.00 0.00 0.00 99.037500 99.037500 1 .000000000 —500,000.00 313396BH5 FC LIQUID OPER-PIMCO FED HOME LN MTG CORP DISC MAT 02/01/1999 HSBC SECS INC,NEW YORK 22—JAN—1999 22—JAN—1999 22—JAN—1999 499,345.83 499,345.83 0.00 499,345.83 0.00 0.00 0.00 99.037500 99.037500 1 .000000000 —100,000.00 313396BH5 S LIQUID OPER-PIMCO FED HOME LN MTG CORP DISC MAT 02!Oi!1999 CREDIT SUISSE FIRST BOSTON 27—JAN—i999 27—JAN—1999 CUR 99,037.50 —99,037.50 0.00 99,037.50 —99,037.50 0.00 0.00 99.037500 99.037500 1 .000000000 —100,000.00 313396BH5 IS LIQUID OPER-PIMCO FED HOME LN MTG CORP DISC MAT 02/01/1999 27—JAN—1999 27—JAN—1999 896.25 0.00 0.00 896.25 0.00 0.00 0.00 99.037500 99.037500 1.000000000 —100,000.00 LIQUID OPER-PIMCO FED HOME LN MTG CORP DISC 27—JAN—1999 99,933.75 99,933.75 99.037500 C~uuLCON~,LOCIu~f13ASE 1—JAN—19 99 S CREDIT SUISSE FIRST BOSTON CUR Page 19 OCSG000 100 CSDOC-CONSOLI DATED LOCAL AMOUNT! COST! GAIN LOSS 99,933.75 0.00 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS 0.00 0.00 0.00 BASE:USD TM100 LOCAL PRICE! BASE PRICE! BASE XRATE! 99.037500 1.000000000 —200,000.00 31339 6BH5 S LIQUID OPER-PIMCO FED HOME LW MTG CORP DISC MAT 02!01!1999 HSBC SECS INC,NEW YORK 198,075.00 —198,075.00 0.00 198,075.00 —198,075.00 0.00 0.00 99.037500 99.037500 1.000000000 —200,000.00 313396BH5 IS LIQUID OPER-PIMCO FED HOME LW MTG CORP DISC MAT 02!0i!1999 29—JAN—i 999 29—JAN—1999 1,847.50 0.00 0.00 1,847.50 0.00 0.00 0.00 99.037500 99.037500 1.000000000 —200,000.00 313396BH5 FC LIQUID OPER-PIMCO FED HOME LN MTG CORP DISC MAT 02!Oi!1999 HSBC SECS INC,NEW YORK 199,922.50 199,922.50 0.00 199,922.50 0.00 0.00 0.00 99.037500 99.037500 1.000000000 300,000.00 3133 97T35 SC 12—NOV—1998 12—NOV—19 98 —298,226.25 298,226.25 0.00 —298,226.25 298,226.25 0.00 0.00 99.408750 99.408750 1.000000000 300,000.00 313397T35 I SC LONG TERM OPER-PIMCO FEDERAL HOME LW MTG CORP DISC MAT 12!15!i998 i2—NOV—i998 12—NOV—1998 —376.75 0.00 0.00 —376.75 0.00 0.00 0.00 99.408750 99.408750 1.000000000 300,000.00 313397T35 FCC —300,000.00 313397T35 S 12—NOV—1998 i2—NOV—1998 12—NOV—1998 12—NOV—1998 12—NOV—i998 —298,603.00 —298,603.00 0.00 298,226.25 —298,226.25 0.00 —298,603.00 0.00 0.00 0.00 298,226.25 —298,226.25 0.00 0.00 99.408750 99.408750 1.000000000 99.408750 99.408750 1.000000000 LONG TERM OPER-PIMCO MELLON TRUST POSTED TRANSACTIONS -LOCAL/BASE 01—JAN—1999 —31—JAN—1999 SHARES!PAR VALUE EFFECTIVE DATE! SECURITY ID!DESCRIPTION!SETTLE DATE! TRANS CODE BROKER COMPL DATE 313396BH5 MAT 02!O1!1999 27—JAN—1999 FC CREDIT SUISSE FIRST BOSTON COR 27-JAN--1999 29—JAN—i999 29—JAN—1999 29—JAN—1999 29—JAN—1999 29—JAN—1999 LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT 12!i5!1998 MERRILL LYNCH PIERCE FENNER SM LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT 12!15!1998 MERRILL LYNCH PIERCE FENNER SM LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT 12/15/1998 MERRILL LYNCH PIERCE FENNER SM LOCAL AMOUNT! COST! GAIN LOSS 376.75 0.00 0.00 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS 376.75 0.00 0.00 0.00 - ASE:USD 100 LOCAL PRICE! BASE PRICE! BASE XRATE! 99.408750 99.408750 1.000000000 —300,000.00 3133 97T35 FC LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT 12/15/1998 MERRILL LYNCH PIERCE FENNER SM 12-NOV-19 98 12-NOV—1998, 12—NOV—1998 298,603.00 298,603.00 0.00 298,603.00 0.00 0.00 0.00 99.408750 99.408750 1 .000000000 LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT 12/15/1998 MERRILL LYNCH PIERCE FENNER SM 600,000.00 313397T35 - ISC LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT 12/15/1998 02—DEC—19 98 02—DEC—19 98 —2,488.00 0.00 0.00 —2,488.00 0.00 0.00 0.00 99.408750 99.408750 1 .000000000 600,000.00 313397T35 FCC 600,000.00 3133 97T35 S 02—DEC—19 98 02—DEC—19 98 02—DEC—19 98 02—DEC—19 98 02—DEC—1998 —598,940.50 —598,940.50 0.00 596,452.50 —596,452.50 0.00 —598,940.50 0.00 0.00 0.00 596,452.50 —596,452.50 0.00 0.00 99.408750 99.408750 1.000000000 99.408750 99.408750 1.000000000 —600,000.00 3133 97 T35 IS LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT 12/15/1998 02—DEC—1998 02—DEC—1998 2,488.00 0.00 0.00 2,488.00 0.00 0.00 0.00 99.408750 99.408750 1.000000000 —600,000.00 313397T35 FC 02—DEC—1998 02—DEC—1998 03—DEC—1998 598,940.50 598,940.50 0.00 598,940.50 0.00 0.00 0.00 99.408750 99.408750 1.000000000 C 001 ,)N T CSDOC-CON ATED POSTED ‘I’RANSACTIO~ 01—JAN—19’ LOCAL/BASE 31—JAN—1999 SHARES/PAR VALUE EFFECTIVE DATE! SECURITY ID!DESCRIPTION!SETTLE DATE! TRANS CODE BROKER COMPL DATE -300,000.00 FEDERAL HOME LN MTG CORP DISC 12-NOV-1998 313397T35 MAT 12/15/1998 12—NOV—1998 IS 600,000.00 313397T35 SC 02—DEC—1998 —596,452.50 —596,452.50 99.408750 02—DEC—1998 596,452.50 596,452.50 99.408750 0.00 LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT 12/15/1998 MERRILL LYNCH PIERCE PENNER SM LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT 12/15/1998 MERRILL LYNCH PIERCE PENNER SM LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT 12/15/1998 MERRILL LYNCH PIERCE PENNER SM Page 21 OCSG000 100 CSDOC-CONSOLIDATED SHARES/PAR VALUE SECURITY ID! TRANS CODE —1,500,000.00 34 539UNF5 S DESCRI PT ION! BROKER LONG TERM OPER-PIMCO FORD MTR CR CO DISC 01/15/1999 MERRILL LYNCH PIERCE FENNER SM EFFECTIVE DATE! SETTLE DATE! COMPL DATE 07—JAN—1999 07—JAN—1999 LOCAL AMOUNT! COST! GAIN LOSS 1,497,945.83 —1,497,945.83 0.00 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS 1,497,945.83 —1,497,945.83 0.00 0.00 BASE:USD TM 100 LOCAL PRICE! BASE PRICE! BASE XRATE/ 99.863055 99.863055 1.000000000 —1,500,000.00 34539UNF5 IS LONG TERM OPER-PIMCO FORD MTR CR CO DISC 01/15/1999 07—JAN—1999 07—JAN—i 999 454.17 0.00 0.00 454.17 0.00 0.00 0.00 99.863055 99.863055 1.000000000 —1,500,000.00 34 5 3 9 UN F5 FC 07—JAN-1999 07-JAN-i 999 07-JAN—i 999 1,498,400.00 1,498,400.00 0.00 1,498,400.00 0.00 0.00 0.00 99.863055 99.863055 1.000000000 —500,000.00 3695 9JNS8 LONG TERM OPER-PIMCO GENERAL ELEC CAP DISC 01/26/1999 S MORGAN J P SECS INC,NEW YORK 1i—JAN—1999 11—JAN—1999 497,398.06 —497,398.06 0.00 497,398.06 —497,398.06 0.00 0.00 99.479612 99.479612 1.000000000 500,000.00 36959JNS8 IS LONG TERM OPER-PIMCO GENERAL ELEC CAP DISC 01/26/1999 1i—JAN—1999 11—JAN—19 99 1,576.94 0.00 0.00 1,576.94 0.00 0.00 0.00 99.479612 99.479612 1.000000000 —500,000.00 36959JNS8 FC LONG TERM OPER-PIMCO GENERAL ELEC CAP DISC 01/26/1999 MORGAN J P SECS INC,NEW YORK 11—JAN—19 99 11-JAN—1999 1i—JAN—1999 498,975.00 498,975.00 0.00 498,975.00 0.00 0.00 0.00 99.479612 99.479612 1 .000000000 500,000.00 36959JNS8 SC LONG TERM OPER-PIMCO GENERAL ELEC CAP DISC 01/2 6!1999 MORGAN J P SECS INC,NEW YORK 11-JAN—19 99 11—JAN—1999 —497,398.06 497,398.06 0.00 —497,398.06 497,398.06 0.00 0.00 99.479612 99.479612 1 .000000000 500,000.00 36959 JNS 8 I SC LONG TERM OPER-PIMCO GENERAL ELEC CAP DISC 01/2 6!1999 11—JAN—1999 11—JAN—1999 —1,576.94 0.00 0.00 —1,576.94 0.00 0.00 0.00 99.479612 99.479612 1.000000000 MELLON TRUST POSTED TRANSACTIONS -LOCAL/BASE 01—JAN-1999 —31—JAN—1999 LONG TERM OPER-PIMCO FORD MTR CR CO DISC 01/15/1999 MERRILL LYNCH GOVT SECS/MONEY P~~‘2 0 001 CSDOC-CON A’ii~u SHARES/PAR VALUE SECURITY ID! TRANS CODE DESCRIPTION! BROKER ~OSTED TRANSACTIO’ 01—JAN—19~ EFFECTIVE DATE! SETTLE DATE! COMPL DATE LOC~u~IiiASE 31—JAN—i 999 LOCAL AMOUNT! COST! GAIN LOSS BASE AMOUNT! COST! INV GAIN LOSS! C(JRR GAIN LOSS LOCAL PRICE! BASE PRICE! BASE XRATE/ 500,000.00 3695 9JN S 8 FCC LONG TERM OPER-PIMCO GENERAL ELEC CAP DISC 01/26/1999 MORGAN J P SECS INC,NEW YORK 11—JAN—1999 11—JAN—1999 11—JAN—1999 —498,975.00 —498,975.00 0.00 —498,975.00 0.00 0.00 0.00 99.479612 99.479612 1.000000000 —500,000.00 36959JNS8 S LONG TERM OPER-PIMCO GENERAL ELEC CAP DISC 01!2 6!1999 MORGAN J P SECS INC,NEW YORK i1—JAN—1999 11—JAN—1999 497,398.06 —497,398.06 0.00 497,398.06 —497,398.06 0.00 0.00 99.479612 99.479612 1 .000000000 —500,000.00 36959JN58 IS LONG TERM OPER-PIMCO GENERAL ELEC CAP DISC 01!26!1999 1,576.94 0.00 0.00 1,576.94 0.00 0.00 0.00 99.479612 99.479612 1.000000000 —500,000.00 36 95 9JNS8 FC LONG TERM OPER-PIMCO GENERAL ELEC CAP DISC 01!26!1999 MORGAN J P SECS -FIXED INCOME 1i—JAN—1999 11—JAN—1999 14—JAN—1999 498,975.00 498,975.00 0.00 498,975.00 0.00 0.00 0.00 99.479612 99.479612 1.000000000 —946,462.44 996085247 LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT 05—JAN—1999 05—JAN—1999 946,462.44 —946,462.44 0.00 946,462.44 —946,462.44 0.00 0.00 1 .000000 1 .000000 1.000000000 —946,462.44 996085247 FC LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT 05—JAN—1999 05—JAN—19 99 05—JAN—i999 946,462.44 946,462.44 0.00 946,462.44 0.00 0.00 0.00 1 .000000 1 .000000 1.000000000 —72,397 . 02 996085247 LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT 72,397.02 —72,397.02 0.00 0.00 1 .000000 1.000000 1.000000000 —72,397.02 996085247 FC LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT 06—JAN—1999 06—JAN—1999 06—JAN—1999 72,397.02 72,397 . 02 0.00 72,397.02 0.00 0.00 1 .000000 1 .000000 1 .000000000 T SE:USD 100 11—JAN—1999 11—JAN—1999 S S 06—JAN—1999 06—JAN—i 999 72,397 . 02 —72,397.02 0.00 Page 23 OCSG000100 MELLON TRUST CSDOC-CONSOLIDATED POSTED TRANSACTIONS -LOCAL/BASE BASE:USD 01—JAN—1999 —31—JAN—1999 TM100 BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE!LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE! 0.00 LIQUID OPER-PIMCO -3.00 DREYFUS TREASURY CASH MGMT 08-JAN-1999 3.00 3.00 1.000000 996085247 08—JAN—1999 —3.00 —3.00 1.000000 S 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —3.00 DREYFUS TREASURY CASH MGMT 08—JAN—1999 3.00 3.00 1.000000 996085247 08—JAN—1999 3.00 0.00 1.000000 FC 08—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —1,582,161.53 DREYFUS TREASURY CASH MGMT 11—JAN—1999 1,582,161.53 1,582,161.53 1.000000 996085247 11—JAN—1999 —1,582,161.53 —1,582,161.53 1.000000 5 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —1,582,161.53 DREYFUS TREASURY CASH MGMT 11—JAN—1999 1,582,161.53 1,582,161.53 1.000000 996085247 11—JAN—1999 1,582,161.53 0.00 1.000000 FC 11—JAN—1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PINCO —131,568.20 DREYFUS TREASURY CASH MGMT 12—JAN—1999 131,568.20 131,568.20 1.000000 996085247 12—JAN—1999 —131,568.20 —131,568.20 1.000000 S 0.00 0.00 1.000000000 0.00 LIQUID OPER-PINCO —131,568.20 DREYFUS TREASURY CASH MGMT 12—JAN—1999 131,568.20 131,568.20 1.000000 996085247 12—JAN—1999 131,568.20 0.00 1.000000 FC 12—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO -48,885.92 DREYFUS TREASURY CASH MGMT 14—JAN—1999 48,885.92 48,885.92 1.000000 996085247 14—JAN—1999 —48,885.92 —48,885.92 1.000000 S 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —48,885.92 DREYFUS TREASURY CASH MGMT 14-JAN—1999 48,885.92 48,885.92 1.000000 “~085247 14—JAN—1999 48,885.92 0.00 0000 P 4~ 0 D01 )N I CSDOCCON ATED POSTED TRANSACTIO’LOCAL/BASE SE:USD 01—JAN—19’i 31—JAN—1999 100 BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE!LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE! FC 14—JAN—1999 0.00 0.00 1.000000000 -0.00 LIQUID OPER-PIMCO —26,691.25 DREYFUS TREASURY CASH MGMT 20—JAN—1999 26,691.25 26,691.25 1.000000 996095247 20—JAN—1999 —26,691.25 —26,691.25 1.000000 5 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —26,691.25 DREYFUS TREASURY CASH MGMT 20—JAN—1999 26,691.25 26,691.25 1.000000 996085247 20—JAN—1999 26,691.25 0.00 1.000000 FC 20—JAN—1999 - 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —1,983,718.73 DREYFUS TREASURY CASH MGMT 21—JAN—1999 1,983,718.73 1,983,718.73 1.000000 996085247 21—JAN—1999 —1,983,718.73 —1,993,718.73 1.000000 S 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —1,983,718.73 DREYFUS TREASURY CASH MGMT 21—JAN—1999 1,983,718.73 1,983,718.73 1.000000 996085247 21—JAN—1999 1,983,718.73 0.00 1.000000 FC 21—JAN—1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —20,854.17 DREYFUS TREASURY CASH MGMT 22—JAN—1999 20,854.17 20,854.17 1.000000 996085247 22—JAN—1999 —20,854.17 —20,854.17 1.000000 5 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —20,854.17 DREYFUS TREASURY CASH MGMT 22—JAN—1999 20,854.17 20,854.17 1.000000 996085247 22—JAN—1999 20,854.17 0.00 1.000000 FC 22—JAN—1999 0.00 0.00 1.000000000 0.00 - LONG TERM OPER-PIMCO —464,277.65 DREYFUS TREASURY CASH MGMT 25—JAN—1999 464,277.65 464,277.65 1.000000 996085247 25—JAN—1999 —464,277.65 —464,277.65 1.000000 S 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —464,277.65 DREYFUS TREASURY CASH MGMT 25—JAN—1999 464,277.65 464,277.65 1.000000 Page 25 uC~GOUUIUU CSDOC-CONSOLI DATED 25—JAN—1999 25—JAN—1999 LOCAL AMOUNT! COST/ GAIN LOSS 464,277.65 0.00 BASE AMOUNT/ COST / INV GAIN LOSS! CURR GAIN LOSS 0.00 0.00 0.00 BASE:USD TM100 LOCAL PRICE! BASE PRICE! BASE XRATE/ 1 . 000000 1.000000000 —3.00 996085247 LIQUID OPER—PIMCO DREYFUS TREASURY CASH MGMT 26—JAN—1999 26—JAN—1999 3.00 —3.00 0.00 3.00 —3.00 0.00 0.00 1.000000 1 .000000 1.000000000 LIQUID OPER-PIMCO -3.00 DREYFUS TREASURY CASH MGMT 3.00 3.00 0.00 3.00 0.00 0.00 0.00 1.000000 1 .000000 1.000000000 —43,031.34 996085247 S LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT 28—JAN—1999 28—JAN—1999 43,031.34 —43,031.34 0.00 43,031.34 —43,031.34 0.00 0.00 1.000000 1 .000000 1.000000000 —43,031.34 996085247 FC LIQUID OPER-PINCO DREYFUS TREASURY CASH MGMT 28—JAN—1999 28—JAN—1999 28—JAN—1999 43,031.34 43,031.34 0.00 43,031.34 0.00 0.00 0.00 1 -000000 1 .000000 1.000000000 U.S.DOLLAR FIXED —6,250,000.00 01N060619 S INCOME SECURITIES LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.000%01/15/2029 GOLDMAN SACHS &CO,NY 11—JAN—1999 21—JAN—1999 6,159,179.69 —6,164,550.75 —5,371.06 6,159,179.69 —6,164,550.75 —5,371.06 0.00 98.546875 98.546875 1 .000000000 6,250,000.00 01N060619 SC LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.000%01/15/2029 GOLDMAN SACHS &CO,NY 11—JAN—1999 21—JAN—1999 —6,159,179.69 6,164,550.75 5,371.06 —6,159,179.69 6,164,550.75 5,371.06 0.00 98 .546875 98.546875 1 .000000000 —6,250,000.00 01N060627 LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.000%02/15/2029 S GOLDMAN SACHS &CO,NY 28—JAN—1999 22—FEB—1999 6,203,125.00 —6,154,296.88 48,828.12 6,203,125.00 —6,154,296.88 48,828.12 0.00 99.250000 99.250000 1 .000000000 MELLON TRUST POSTED TRANSACTIONS -LOCAL/BASE 01—JAN—1999 —31—JAN—1999 SHARES/PAR VALUE EFFECTIVE DATE! SECURITY ID!DESCRIPTION!SETTLE DATE! TRANS CODE BROKER COMPL DATE 996085247 FC S 996085247 FC 26—JAN—1999 26—JAN—1999 26—JAN—1999 P~“6 U U U J —6,000,000.00 01N062 615 S LONG TERM OPER—PIMCO COMMIT TO PIJR GNMA SF MTG 6.500%01/15/2029 LEHMAN BROS INC,NJ 06—JAN—1999 21—JAN—1999 LOCAL AMOUNT! COST! GAIN LOSS 6,064,218.72 —6,060,000.00 4,218.72 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS 6,064,218.72 —6,060,000.00 4,218.72 0.00 100 LOCAL PRICE! BASE PRICE! BASE XRATE/ 101.070312 101.070312 1.000000000 6,000,000.00 01N062 615 SC LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.500%01/15/2029 LEHMAN BROS INC,NJ —6,064,218.72 6,060,000.00 —4,218.72 —6,064,218 .72 6,060,000.00 —4,218.72 0.00 101.070312 101.070312 1.000000000 —4,500,000.00 01N062615 S LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.500%01/15/2029 LEHMAN BROS INC,NJ 06—JAN—1999 21—JAN—1999 4,548,164.04 —4,545,000.00 3,164.04 4,548,164.04 —4,545,000.00 3,164.04 0.00 101.070312 101.070312 1.000000000 4,500,000.00 01N062 615 SC LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.500%01/15/2029 LEHMAN RROS INC,NJ 06—JAN—1999 21—JAN—1999 —4,548,164 . 04 4,545,000.00 —3,164.04 —4,548,164.04 4,545,000.00 —3,164.04 0.00 101.070312 101.070312 1.000000000 —6,000,000.00 01N062615 S LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.500%01/15/2029 LEHMAN BROS INC,NJ 6,064,218.75 -6,060,000.00 4,218.75 6,064,218.75 —6,060,000.00 4,218.75 0.00 101.070313 101.070313 1.000000000 —6,000,000.00 01N062 615 FC LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.500%01/15/2029 LEHMAN BROS INC,NJ 06—JAN—1999 21—JAN—1999 21—JAN—1999 6,064,218.75 6,064,218.75 0.00 6,064,218.75 0.00 0.00 0.00 101.070313 101.070313 1.000000000 —4,500,000.00 01N062 615 S LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.500%01/15/2029 LEHMAN BROS INC,NJ 06—JAN—1999 21—JAN-1999 4,548,164.06 —4,545,000.00 3,164.06 4,548,164 . 06 —4,545,000.00 3,164.06 0.00 101.070312 101.070312 1.000000000 —4,500,000.00 01N062 615 FC LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MPG 6.500%01/15/2029 LEHMAN BROS INC,NJ 06—JAN—1999 21—JAN—1999 21—JAN—1999 4,548,164.06 4,548,164.06 0.00 4,548,164.06 0.00 0.00 0.00 101.070312 101.070312 1 .000000000 C —CC flD2 SHARES VALUE EFFECTIVE DATE! SECURITY ID!DESCRIPTION!SETTLE DATE! TRANS CODE BROKER COMPL DATE OS’]RAt’lOt’LO(ASE 01—JAN—19 31—JAN-1999 ASE:USD 06—JAN—1999 21—JAN—1999 06—JAN—1999 21—JAN—1999 Page 27 ocsu000Iuo CSDOC-CONSOLIDATED SHARES/PAR VALUE SECURITY ID! TRANS CODE LOCAL AMOUNT! COST! GAIN LOSS BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS —6,000,000.00 01N062623 S LONG TERM OPER-PIMCO COMMIT TO PUR GNMA I SF MTG 6.500%02/15/2029 LEHMAN BROS INC,NJ 6,068,671.86 —6,058,125.00 10,546.86 6,068,671.86 —6,058,125.00 10,546.86 0.00 101.144531 101.144531 1.000000000 —4,500,000.00 01N062 623 S LONG TERM OPER-PIMCO COMMIT TO PUR GNMA I SF MTG 6.500%02/15/2029 LEHMAN BROS INC,NJ 28—JAN—i 999 22—FEB—1999 4,551,503.90 —4,543,593.75 7,910.15 0.00 101.144531 101.144531 1 .000000000 2,000,000.00 11F0116C6 SC LONG TERM OPER-PIMCO COMMIT TO PUR FNMA DIST B 6.160%12/25/2028 GOLDMAN SACHS &Ca,NY 02—DEC—1998 23—DEC—1998 —2,017,343.76 2,012,812.50 —4,531.26 —2,017,343.76 2,012,812.50 —4,531.26 0.00 100.867188 100.867188 1 .000000000 2,000,000.00 11F0116C6 FCC LONG TERM OPER-PINCO COMMIT TO PUR ENMA DIST B 6.160%12/25/2028 GOLDMAN SACHS &CO,NY 02—DEC—19 98 23—DEC—1998 23—DEC—1998 —2,017,343.76 —2,017,343.76 0.00 —2,017,343.76 0.00 0.00 0.00 100.867188 100.867188 1.000000000 —2,000,000.00 11F0116C6 —2,000,000.00 11F0116C6 FC LONG TERM OPER-PIMCO COMMIT TO PUR FNMA DIST B 6.160%12/25/2028 S GOLDMAN SACI-IS &CO,NY LONG TERM OPER-PIMCO COMMIT TO PUR ENMA DIST B 6.160%12/25/2028 GOLDMAN SACHS &CO,NY 2,017,343.75 —2,012,812.50 4,531.25 2,017,343.75 2,017,343.75 0.00 2,017,343.75 —2,012,812.50 4,531.25 0.00 2,017,343.75 0.00 0.00 0.00 100.867188 100.867188 1.000000000 100.867188 100.867188 1 .000000000 —2,230,000.00 11F011610 LONG TERM OPER-PIMCO COMMIT TO PUR FNMA 11TH DIST 6.150%01/25/2029 S BEAR STEARNS &CO INC,NY 06—JAN—1999 25-JAN—1999 2,237,839.83 —2,245,509.18 —7,669.35 2,237,839.83 —2,245,509.18 —7,669.35 0.00 100.351562 100.351562 1 .000000000 —2,230,000.00 11F011610 FC LONG TERM OPER-PIMCO COMMIT TO PUR FNMA 11TH DIST 6.150%01/25/2029 BEAR STEARNS &CO INC,NY 06—JAN—1999 25—JAN—1999 25—JAN—1999 2,237,839.83 2,237,839.83 0.00 2,237,839.83 0.00 0.00 100.351562 100.351562 1.00 000 MELLON TRUST POSTED TRANSACTIONS -LOCAL/BASE 01—JAN-1999 —31—JAN—1999 EFFECTIVE DATE! DESCRIPTION!SETTLE DATE! BROKER COMPL DATE 28—JAN—1999 22—FEB—1999 BASE:USD TM100 LOCAL PRICE! BASE PRICE! BASE XRATE! 4,551,503.90 —4,543,593.75 7,910.15 02—DEC—19 98 23—DEC—1998 02—DEC—1998 23—DEC—1998 29—DEC—1998 P~“8 ~~DN ~C ~001 C~-CC~TD~ SHARES/PAR VALUE EFFECTIVE DATE! SECURITY ID!DESCRIPTION!SETTLE DATE! TRANS CODE BROKER COMPL DATE BASE AMOUNT! COST! 0.00 —2,000,000.00 11F011610 LONG TERM OPER-PIMCO COMMIT TO PUR FNMA 11TH DIST 6.150%01/25/2029 S GOLDMAN SACHS &CO,NY 06—JAN—1999 25—JAN—1999 2,008,046.88 —2,013,909.57 —5,862.69 2,008,046.88 —2,013,909.57 —5,862.69 0.00 100.402344 100.402344 1.000000000 —2,000,000.00 11FO 11610 FC 06—JAN—1999 25—JAN—1999 25—JAN—1999 2,008,046.88 2,008,046.88 0.00 2,008,046.88 0.00 0.00 0.00 100.402344 100.402344 1.000000000 LONG TERM OPER-PIMCO FHLMC GROUP #G0-0950 6.000%06/01/2028 DD 06/01/98 GOLDMAN SACHS &CO,NY —736,333.69 31283HBT1 IS LONG TERM OPER-PIMCO FHLMC GROUP #G0-0950 6.000%06/01/2028 DD 06/01/98 17—NOV—19 98 14—JAN—1999 1,595.39 0.00 0.00 1,595.39 0.00 0.00 0.00 98.281250 98.281250 1.000000000 —736,333.69 31283HBT1 FC LONG TERM OPER-PIMCO FHLMC GROUP #G0-0950 6.000%06/01/2028 DD 06!01!98 GOLDMAN SACHS &CO,NY 17—NOV—1998 14—JAN—1999 14—JAN—1999 725,273.34 725,273.34 0.00 725,273.34 0.00 0.00 0.00 98.281250 98.281250 1.000000000 —394,670.00 31293HE90 S 17—NOV—1998 14—JAN—1999 387,886.61 —392,511.65 —4,625.04 387,886.61 —392,511.65 —4,625.04 0.00 98.281250 98.281250 1.000000000 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0160 6.000%01/01/2029 DD 01/01/99 —394,670.00 312 93HE90 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0160 6.000%01/01/2029 DD 01/01/99 17—NOV—1998 14—JAN—1999 388,741.73 388,741.73 388,741.73 0.00 98.281250 98.281250 ._OSI RAEL..~..IO LOC..~,.,ASE AIDE:USE) 01—JAN—19 31—JAN—1999 100 LOCAL AMOUNT! COST! GAIN LOSS INV GAIN LOSS! CURR GAIN LOSS LOCAL ICE! BASE PRICE! BASE XRATE! LONG TERM OPER-PIMCO COMMIT TO PUR FNMA 11TH DIST 6.150%01/25/2029 GOLDMAN SACHS &CO,NY —736,333.69 31283HBT1 S 17—NOV—1998 723,677.95 723,677.95 98.281250 14—JAN—1999 —728,510.14 —4,832.19 —728,510.14 —4,832.19 98.281250 1.000000000 0.00 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0160 6.000%01/01/2029 DD 01/01/99 GOLDMAN SACHS &CO,NY —394,670.00 31293HE90 IS 17—NOV-1998 855.12 855.12 98.281250 14—JAN—1999 0.00 0.00 0.00 0.00 98.281250 1.000000000 0.00 Page 29 SHARES/PAR VALUE SECURITY ID! TRANS CODE —273,666.00 312 93HGS6 S DESCRIPTION! BROKER EFFECTIVE DATE! SETTLE DATE! COMPL DATE 14—JAN—1999 17—NOV—1998 14—JAN—1999 LOCAL AMOUNT! COST! GAIN LOSS 0.00 268,962.37 —270,758.30 —1,795.93 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS 0.00 0.00 268,962.37 —270,758.30 —1,795.93 0.00 BASE:USD TM100 LOCAL PRICE! BASE PRICE! BASE XRATE/ 1.000000000 98.281250 98.281250 1.000000000 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0209 6.000%12!01!2028 DD 01/01/99 —273,666.00 312 93 HGS6 FC —106,590.00 31293HXU2 S 17 —NOV—19 98 14—JAN—1999 14—JAN—1999 17—NOV—1998 14—JAN—19 99 269,555.31 269,555.31 0.00 104,757.98 —105,457.48 —699.50 269,555.31 0.00 0.00 0.00 104,757.98 —105,457.48 —699.50 0.00~ 98.281250 98.281250 1.000000000 98.281250 98.281250 1.000000900 —106,590.00 31293HXU2 FC LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 6.000%01!01/2029 DD 01!01!99 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 6.000%01/01/2029 DD 01!01/99 GOLDMAN SACHS &CO,NY 104,988.93 104,988.93 0.00 104,988.93 0.00 0.00 0.00 98.281250 98.281250 1.000000000 —1,010,000.00 31293HXU2 S 17—NOV-1998 14—JAN—1999 992,640.63 —999,268.75 —6,628.12 992,640.63 —999,268.75 —6,628.12 0.00 98.281250 98.281250 1.000000000 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 17 —NO V—1998 9 1250 1)CSG000 100 CSDOC-CONSOLIDATED MELLON TRUST POSTED TRANSACTIONS -LOCAL!BASE 01—JAN—1999 —31—JAN—1999 FC GOLDMAN SACHS &CO,NY LONG TERM OPER-PIMCO FHLMC GROUP #C2-0209 6.000%12/01/2028 DD 01/01/99 GOLDMAN SACHS &CO,NY —273,666.00 312 93HGS6 IS 17—NOV—1998 14—JAN—1999 592 .94 0.00 0.00 LONG TERM OPER-PINCO FHLMC GROUP #C2-0209 6.000%12/01/2028 DD 01/01!99 GOLDMAN SACHS &CO,NY LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 6.000%01!01/2029 DD 01/01/99 GOLDMAN SACHS &CO,NY 592.94 0.00 0.00 0.00 98.281250 98.281250 1.000000000 —106,590.00 312 93HXU2 IS 17 —NO V—19 98 14—JAN—1999 17—NOV—19 98 14—JAN—1999 14—JAN—1999 230.95 0.00 0.00 230.95 0.00 0.00 0.00 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 6.000%01!01/2029 DD 01!01!99 GOLDMAN SACHS &CO,NY 98.281250 98.281250 1 .000000000 _1,01,.’000.00 2,188.33 2,188.33 p~~-~0 3W POSTED TRANSACTIO’ 01—JAN—19~ LOCAL AMOUNT! COST! GAIN LOSS 0.00 0.00 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS 0.00 0.00 0.00 SE:USD 100 LOCAL PRICE! BASE PRICE! BASE XRATE! 98.281250 1.000000000 —1,010,000.00 31293HXU2 FC LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 6.000%01!01!2029 DD 01!01!99 GOLDMAN SACHS &CO,NY 17—NOV—1998 14—JAN-1999 14 —JAN—1999 994,828.96 994,828.96 0.00 994,828.96 0.00 0.00 0.00 98.281250 98.281250 1 .000000000 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 6.000%01!01!2029 DD 01!01!99 GOLDMAN SACHS &CO,NY 821,873.02 —827,360.89 —5,487.87 821,873.02 —827,360.89 —5,487.87 0.00 —836,246.00 31293HXU2 IS LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 6.000%01!01!2029 DD 01!01!99 17—NOV—1998 14—JAN—1999 1,811.87 0.00 0.00 1,811.87 0.00 0.00 0.00 98.281250 98.281250 1.000000000 —836,246.00 31293HXU2 FC LONG TERM OPER-PIMCO FHLMC GROUP #C2-0691 6.000%01!01!2029 DD 01!01!99 GOLDMAN SACHS &CO,NY 17—NOV—1998 14—JAN—1999 14—JAN—1999 823,684.89 823,684.89 0.00 823,684.89 0.00 0.00 0.00 98.281250 98.281250 1.000000000 —595,330.00 31293H5V1 S 17—NOV—1998 14—JAN—1999 585,097.77 —592,074.29 —6,976.52 585,097.77 —592,074.29 —6,976.52 0.00 98.281250 98.281250 1.000000000 —595,330.00 31293H5V1 IS LONG TERM OPER-PIMCO FHLMC GROUP #C2-0860 6.000%O1!01/2O29 DO O1!O1!99 1,289.88 0.00 0.00 1,289.88 0.00 0.00 0.00 98.281250 98.281250 1.000000000 —595,330.00 312 93H5V1 FC LONG TERM OPER-PIMCO FHLMC GROUP #C2-0860 6.000%01!01!2029 DD 01!01!99 GOLDMAN SACHS &CO,NY 17—NOV—1998 14—JAN—1999 14—JAN—19 99 586,387.65 586,387.65 0.00 586,387.65 0.00 0.00 0.00 98.281250 98.281250 1.000000000 LONG TERM OPER-PIMCO C 001 CSDOC-CON ATED SHARES!PAR VALUE EFF’ECTIVE DATE! SECURITY ID!DESCRIPTION!SETTLE DATE! TRANS CODE BROKER COMPL DATE 31293HXU2 6.000%01!01!2029 DD 01!O1!99 14—JAN—1999 Is I LOCAL!BAS E 31—JAN—1999 —836,246.00 312 93 HXU2 S 17—NOV—19 98 14—JAN—19 99 98.281250 98.281250 1.000000000 LONG TERM OPER-PIMCO FHLMC GROUP #C2-0860 6.000%01!01!2029 DD 01!01!99 GOLDMAN SACHS &CO,NY 17—NOV—1998 14—JAN—1999 Page 31 OCSG000100 MELLON TRUST CSDOCCONSOLIDATED POSTED TRANSACTIONS -LOCAL/BASE BASE:USD 01—JAN—1999 —31—JAN—1999 TM100 BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE!LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE! —495,000.00 FHLMC GROUP #C2—0967 17—NOV—1998 486,492.19 486,492.19 98.281250 31293JCC1 6.000%01/01/2029 DD 01/01/99 14—JAN—1999 —492,292.97 —492,292.97 98.281250 S GOLDMAN SACHS &CO,NY —5,800.78 —5,800.78 1.000000000 0.00 LONG TERM OPER-PINCO —495,000.00 FHLMC GROUP #C2—0967 17—NOV—1998 1,072.50 1,072.50 98.281250 31293JCC1 6.000%01!01!2029 DD 01!01!99 14—JAN—1999 0.00 0.00 98.281250 IS 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —495,000.00 FHLMC GROUP #C2—0967 17—NOV—1998 487,564.69 487,564.69 98.281250 31293JCC1 6.000%01/01/2029 DD 01/01/99 14—JAN—1999 487,564.69 0.00 98.281250 FC GOLDMAN SACHS &CO,NY 14-JAN-1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PINCO —650,910.00 FHLMC GROUP #C2—1104 17—NOV--1998 639,722.48 639,722.48 98.281250 31293JGM5 6.000%01!01!2029 DO 01/01/99 14—JAN—1999 —643,994.08 —643,994.08 98.281250 S GOLDMAN SACHS &CO,NY -4,271.60 —4,271.60 1.000000000 0.00 LONG TERM OPER-PIMCO —650,910.00 FHLMC GROUP #C2—1104 17—NOV—1998 1,410.31 1,410.31 98.281250 31293JGM5 6.000%01/01/2029 DD 01/01/99 14—JAN—1999 0.00 0.00 98.281250 iS 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —650,910.00 FHLMC GROUP #C2—1104 17—NOV—1998 641,132.79 641,132.79 98.281250 31293JGM5 6.000%01/01/2029 DO 01/01/99 14—JAN—1999 641,132.79 0.00 98.281250 FC GOLDMAN SACHS &CO,NY 14—JAN-1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —28,642.00 FNMA POOL #0339016 17—NOV—1998 28,826.39 28,826.39 100.642369 31375NSD6 6.162%11/01/2035 DD 03/01/96 19—NOV—1998 —28,847.87 —28,847.87 100.642369 S BEAR STEARNS &CO INC,NY —21.48 —21.48 1.000000000 - 0.00 LONG TERM OPER-PIMCO —28,642.00 FNMA POOL #0339016 17—NOV—1998 88.09 88.09 100.642369 31375MSD6 6.162%11/01/2035 DD 03/01/96 19—NOV—1998 0.00 0.00 100.642369 IS 0.00 0.00 1.000000000 0.00 2 C 001 ON T SHARES/PAR VALUE SECURITY ID! TRANS CODE —28,642.00 31375MSD6 FC DESCRI PTION/ BROKER LONG TERM OPER-PIMCO FNMA POOL #0339016 6.162%11/01/2035 DD 03/01/96 BEAR STEARNS &CO INC,NY EFFECTIVE DATE! SETTLE DATE! COMPL DATE 17 —NOV—19 98 19—NOV—19 98 04—DEC—1998 LOCAL AMOUNT! COST! GAIN LOSS 28,914 .48 28,914.48 0.00 BASE AMOUNT! COST/ INV GAIN LOSS! CURR GAIN LOSS 28,914.48 0.00 0.00 0.00 LOCAL PRICE! BASE PRICE! BASE XRATE/ 100.642369 100.642369 1.000000000 28,642.00 31375MSD6 SC LONG TERM OPER-PIMCO FNMA POOL #0339016 6.162%11/01/2035 DD 03/01/96 BEAR STEARNS &CO INC,NY 17—NOV—19 98 19—NOV—1998 —28,826.39 28,847.87 21.48 —28,826.39 28,847.87 21.48 0.00 100.642369 100.642369 1.000000000 28,642.00 31375MSD6 I SC LONG TERM OPER-PIMCO FNMA POOL #0339016 6.162%11/01/2035 DD 03/01/96 —88.09 0.00 0.00 100.642369 100.642369 1.000000000 28,642.00 3137 5MSD6 FCC LONG TERM OPER-PIMCO FNMA POOL #0339016 6.162%11/01/2035 DD 03/01/96 BEAR STEARNS &CO INC,NY 17—NOV—1998 19—NOV—1998 04—DEC—1998 —28,914.48 —28,914.48 0.00 —28,914.48 0.00 0.00 0.00 100.642369 100.642369 1.000000000 —28,642.40 31375MSD6 S LONG TERM OPER-PIMCO FNMA POOL #0339016 6.162%11/01/2035 DD 03/01/ BEAR STEARNS &CO INC,NY 17 —NO V—1998 96 19—NOV—1998 28,826.39 —28,848.27 —21.88 28,826.39~ —28,848.27 —21.88 0.00 100.642369 100.642369 1.000000000 —28,642.40 31375MSD6 IS LONG TERM OPER-PIMCO FNMA POOL #0339016 6.162%11/01/2035 DD 03/01/96 88.09 0.00 0.00 0.00 100.642369 100.642369 1.000000000 —28,642.40 31375MSD6 FC LONG TERM OPER-PIMCO FNMA POOL #0339016 6.162%11/01/2035 DD 03/01/96 BEAR STEARNS &CO INC,NY 17—NOV—1998 19—NOV—1998 04—DEC--1998 28,914.48 28,914.48 0.00 28,914.48 0.00 0.00 0.00 100.642369 100.642369 1 .000000000 PRINCIPAL PAYMENTS U.S.DOLLAR FIXED 163,368.42 161614 AE2 INCOME SECURITIES LONG TERM OPER-PIMCO CHASE MANHATTAN GRAN 95-B CL A 15-DEC-1998 5.900%11/15/2001 DD 11/15/95 15—DEC—1998 —163,368.42 163,030.20 —163,368.42 163,030.20 100.000000 100.000000 Csuou-COr~krt~u I’OSIEu rRANsj~urIO -LOC1u./~ASE 01—JAN—19 31—JAN—1999 ASE:USD 100 17—NOV—1998 19—NOV—1998 —88.09 0.00 0.00 0.00 17 —NO V—19 98 19—NOV—19 98 88.09 0.00 0.00 Page 33 OCSG000100 MELLON TRUST CSDOC-CONSOLIDATED POSTED TRANSACTIONS -LOCAL/BASE BASE:USD 01—JAN-1999 —31—JAN—1999 TM100 BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE/LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE/ PDC —338.22 —338.22 1.000000000 0.00 LONG TERM OPER-PIMCO 163,368.42 CHASE MANHATTAN GRAN 95—B CL,A 15—DEC—1998 —163,368.42 —163,368.42 100.000000 161614AE2 5.900%11/15/2001 DD 11/15/95 15—DEC—1998 —163,368.42 0.00 100.000000 FCC 17—DEC—1998 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —163,688.91 CHASE MANHATTAN GRAN 95—B CL A 15—DEC-1998 163,688.91 163,688.91 100.000000 161614AE2 5.900%11/15/2001 DD 11/15/95 15—DEC—1998 —163,350.02 —163,350.02 100.000000 PD 338.89 338.89 1.000000000 0.00 LONG TERM OPER-PIMCO —163,688.91 CHASE MANHATTAN GRAN 95—B CL A 15—DEC—1998 163,688.91 163,688.91 100.000000 161614AE2 5.900%11/15/2001 DD 11/15/95 15—DEC--1998 163,688.91 0.00 100.000000 FC 06—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —152,908.45 CRASE MANHATTP~N GRAN 95-B CL A 15—JAN—1999 152,908.45 152,908.45 100.000000 161614AE2 5.900%11!15/2001 DD 11/15/95 15—JAN—1999 —152,591.88 —152,591.88 100.000000 PD 316.57 316.57 1.000000000 0.00 LONG TERM OPER-PINCO —152,908.45 CHASE MANHATTAN GRAN 95—B CL A 15—JAN—1999 152,908.45 152,908.45 100.000000 161614AE2 5.900%11/15/2001 DD 11/15/95 15—JAN—1999 152,908.45 0.00 100.000000 FC 15—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —767,464.30 FHLMC GROUP #G5—0476 01—JAN—1999 767,464.30 767,464.30 100.000000 3128DDQ55 7.000%02/01/2003 DD 02/01/98 01—JAN—1999 —779,455.93 —779,455.93 100.000000 PD —11,991.63 —11,991.63 1.000000000 0.00 LONG TERM OPER-PIMCO —767,464.30 FHLMC GROUP #G5—0476 01—JAN—1999 767,464.30 767,464.30 100.000000 3128DDQ55 7.000%02/01/2003 DD 02/01/98 01—JAN—1999 767,464.30 0.00 100.000000 FC 15—JAN-1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —6S.822.98 FHLMC MULTICLASS CTF E3 A 01—DEC—1998 65,822.98 65,822.98 10 0000 P.~4 C 001 JN T CSDOCCON ATED POSTED TRANSACTIO’LOCAL/BASE ASE:USD 01—JAN—19’31—JAN-1999 100 BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE!LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE/COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE/ 3133TCE95 6.324%08/15/2032 01—DEC—1998 —65,894.97 —65,894.97 100.000000 PD —71.99 —71.99 1.000000000 0.00 LONG TERM OPER-PIMCO —65,822.98 FHLMC MULTICLASS CTF E3 A 01—DEC—1998 65,822.98 65,822.98 100.000000 3133TCE95 6.324%08/15/2032 01—DEC--1998 65,822.98 0.00 100.000000 FC 15—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —87,549.50 FHLMC MULTICLASS CTF E3 A 01—JJ\N-1999 87,549.50 87,549.50 100.000000 3133TCE95 6.324%08/15/2032 01—JAN—1999 —87,645.26 —87,645.26 100.000000 PD —95.76 —95.76 1.000000000 0.00 LONG TERM OPER-PIMCO —46,528.05 FHLMC MULTICL MTG P/C 1574 E 01—JAN—1999 46,528.05 46,528.05 100.000000 3133T02D5 5.900%06/15/2017 01—JAN—1999 —46,462.62 —46,462.62 100.000000 PD 65.43 65.43 1.000000000 0.00 LONG TERM OPER-PIMCO —46,528.05 FHLMC MULTICL MTG P/C 1574 E 01—JAN—1999 46,528.05 46,528.05 100.000000 3133T02D5 5.900%06/15/2017 01—JAN—1999 46,528.05 0.00 100.000000 FC 15—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 28,642.40 FNMA POOL #0339016 01—NOV—1998 —28,642.40 —28,642.40 100.000000 31375MSD6 6.162%11/01/2035 DD 03!01!96 01—NOV—1998 28,848.27 28,848.27 100.000000 PDC 205.87 205.87 1.000000000 0.00 LONG TERM OPER-PIMCO 28,642.40 FNMA POOL #0339016 01—NOV—1998 —28,642.40 —28,642.40 100.000000 31375MSD6 6.162%11/01/2035 DD 03/01/96 O1—NOV—1998 —28,642.40 0.00 100.000000 FCC 19—NOV—1998 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —182,972.48 FIFTH THIRD BK AUTO TR 96A CLA 15—JAN—1999 182,972.48 182,972.48 100.000000 31677EAA4 6.200%09/01/2001 DD 03/15/96 15—JAN—1999 —182,972.47 —182,972.47 100.000000 PD 0.01 0.01 1.000000000 0.00 LONG TERM OPER-PIMCO Page 35 OCSG000 100 CSDOC-CONSOLI DATED LOCAL AMOUNT! COST / GAIN LOSS 182,972.48 182,972.48 0.00 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS 182,972.48 0.00 0.00 0.00 BASE:USD TM1 00 LOCAL PRICE! BASE PRICE! BASE XRATE/ 100.000000 100.000000 1.000000000 182,972.48 31677EAA4 P DC 182,972.48 31677 EAA 4 FCC —18,297.24 31677 EAA4 PD 15—JAN—1999 15—JAN—1999 15—JAN—1999 15—JAN—1999 15—JAN—1999 15—JAN—19 99 15—JAN—1999 —182,972.48 182,972.47 —0.01 —182,972.48 —182,972.48 0.00 18,297.24 —18,297.24 0.00 —182,972.48 182,972.47 —0.01 0.00 •—182,972.48 0.00 0.00 0.00 18,297.24 —18,297.24 0.00 0.00 100.000000 100.000000 1.000000000 100.000000 100.000000 1 .000000000 100.000000 100.000000 1.000000000 —18,297.24 31677EAA4 FC LONG TERM OPER-PIMCO FIFTH THIRD BK AUTO TR 96A CLA 6.200%09/01/2001 DD 03!15!96 15—JAN—1999 15—JAN—19 99 27-JAN—1999 18,297.24 18,297.24 0.00 18,297.24 0.00 0.00 0.00 100.000000 100.000000 1.000000000 —118,528.70 3622 5CAZ9 PD 118,528.70 36225CAZ9 P DC —118,528.50 36225CAZ9 PD 01—JAN—1999 01-JAN-1999 O1-JAN—1999 01—JAN—1999 118,528.70 —120,491.83 —1,963.13 —118,528.70 120,491.83 1,963.13 118,528.50 —120,491.63 —1,963.13 118,528.70 —120,491.83 —1,963.13 0.00 —118,528.70 120,491.83 1,963.13 0.00 118,528.50 —120,491.63 —1,963.13 0.00 100.000000 100.000000 1.000000000 100.000000 100.000000 1.000000000 100.000000 100.000000 1 .000000000 MELLON TRUST POSTED TRANSACTIONS -LOCAL/BASE 01—JAN—1999 —31—JAN—1999 SHARES!PAR VALUE EFFECTIVE DATE! SECURITY ID!DESCRIPTION!SETTLE DATE! TRANS CODE BROKER COMPL DATE -182,972.48 FIFTH THIRD BK AUTO TR 96A CLA 15-JAN-1999 31677EAA4 6.200%09/01/2001 DD 03/15!96 15—JAN—1999 FC 15-JAN-1999 LONG TERM OPER-PIMCO FIFTH THIRD BK AUTO TR 96A CLA 6.200%09/01/2001 DD 03/15/96 LONG TERM OPER-PIMCO FIFTH THIRD BK AUTO TR 96A CLA 6.200%09/01/2001 DD 03/15/96 LONG TERM OPER-PIMCO FIFTH THIRD BK AUTO TR 96A CLA 6.200%09/01/2001 DD 03/15/96 LONG TERM OPER-PIMCO GNMA II POOL #0080023 7.000%12/20/2026 DO 12/01/96 LONG TERM OPER-PIMCO GNMA II POOL #0080023 7.000%12/20/2026 DD 12/01/96 LONG TERM OPER-PIMCO GNMA II POOL #0080023 7.000%12/20/2026 DD 12/01/96 01-JAN—1999 01-JAN-1999 P 6 0 001 DN r CSDOCCON ATED t~0STt~V iRAN~LTIO -LOCP~L~fbASE ASE:USD 01—JAN—19 1—JAN—1999 100 BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE!LOCAL AMOUNT!COST/LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE! LONG TERM OPER-PIMCO —118,528.50 GNMA II POOL 410080023 01—JAN—1999 118,528.50 118,528.50 100.000000 36225CAZ9 7.000%12!20!2026 DD 12!01/96 01—JAN—1999 118,528.50 0.00 100.000000 FC 20—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —164,036.68 GNMA II POOL #080088M 01—JAN—1999 164,036.68 164,036.68 100.000000 36225CC20 6.875%06!20!2027 DD 06/01!97 01—JAN—1999 —167,624.98 —167,624.98 100.000000 PD —3,588.30 —3,588.30 1.000000000 0.00 LONG TERM OPER-PIMCO —164,036.68 GNMA II POOL 4t080088M 01—JAN—1999 164,036.68 164,036.68 100.000000 36225CC20 6.875%06!20!2027 DD 06/01!97 01—JAN—1999 164,036.68 0.00 100.000000 FC 20—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —311,212.64 STUDENT LN MKTG ASSN 1997—1 Al 25—JAN—1999 311,212.64 311,212.64 100.000000 78442GAK2 VAR RT 10!25!2005 DD 03!20!97 25—JAN—1999 —307,675.03 —307,675.03 100.000000 PD 3,537.61 3,537.61 1.000000000 0.00 LONG TERM OPER-PIMCO —311,212.64 STUDENT LN MKTG ASSN 1997—1 Al 25—JAN—1999 311,212.64 311,212.64 100.000000 78442GAK2 VAR RT lO!25!2005 DD 03!20!97 25—JAN—l999 311,212.64 0.00 100.000000 FC 25—JAN—1999 0.00 0.00 1.000000000 0.00 MATURITIES U.S.DOLLAR CASH &CASH EQUIVALENTS LONG TERM OPER-PIMCO 1,300,000.00 FEDERAL HOME LN MTG CORP DISC 15—DEC—1998 —1,292,313.75 —1,292,313.75 100.000000 313397T35 MAT l2!15!1998 15—DEC—1998 1,292,313.75 1,292,313.75 100.000000 MTC TO REVERSE 15—DEC—1998 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —200,000.00 FEDERAL HOME LN MTG CORP DISC 15—DEC—1998 198,817.50 198,817.50 100.000000 313397T35 MAT 12/15!1998 15—DEC—1998 —198,817.50 —198,817.50 100.000000 MT 15—DEC—1998 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 200,000.00 FEDERAL HOME LN MTG CORP DISC 15—DEC—1998 —198,817.50 —198,817.50 100.000000 313397T35 MAT 12i’15!1998 15—DEC—1998 198,817.50 198,817.50 100.000000 Page 37 OCSG000100 MELLON TRUST CSDOCCONSOLIDATED POSTED TRANSACTIONS -LOCAL/BASE BASE:USD 01—JAN—1999 —31—JAN—1999 TMIOO BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE/LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAiN LOSS CURR GAIN LOSS BASE XRATE/ MTC 15—DEC—1998 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —200,000.00 FEDERAL HOME LN MTG CORP DISC 15—DEC-1998 198,817.50 198,817.50 100.000000 313397T35 MAT 12/15/1998 15—DEC—1998 —198,817.50 —198,817.50 100.000000 MT 15—DEC—1998 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —300,000.00 FORD MTR CR CO DISC 15—JAN—1999 299,589.17 299,589.17 100.000000 34539UNF5 01/15/1999 15—JAN—1999 —299,589.17 —299,589.17 100.000000 MT BOND MATURITY 15—JAN—1999 0.00 0.00 1.000000000 0.00 LIQUID OPER—PIMCO -800,000.00 FORD MTR CR CO DISC 27-JAN--1999 786,259.78 786,259.78 100.000000 34539UNT5 01/27/1999 27—JAN—1999 —786,259.78 —786,259.78 100.000000 MT BOND MATURITY 27—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —14,500,000.00 GENERAL ELEC CAP DISC 26—JAN—1999 14,424,543.61 14,424,543.61 100.000000 36959JNS8 01!26!1999 26—JAN—1999 —14,424,543.61 —14,424,543.61 100.000000 MT BOND MATURITY 26—JAN—1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —900,000.00 GMAC DISC 20—JAN—1999 891,636.75 891,636.75 100.000000 37042ENL1 01/20/1999 20—JAN—1999 —891,636.75 —891,636.75 100.000000 MT BOND MATURITY 20—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO —700,000.00 GMAC DISC 25—JAN—1999 696,464.42 696,464.42 100.000000 37042ENR8 01/25!1999 25—JAN—1999 —696,464.42 —696,464.42 100.000000 MT BOND MATURITY 25—JAN-1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO —900,000.00 IBM DISC 13—JAN—1999 883,021.50 883,021.50 100.000000 44922BND6 01/13/1999 13—JP.N—1999 —883,021.50 —883,021.50 100.000000 MT BOND MATURITY 13—JAN-1999 0.00 0.00 1.000000000 0.00 INTEREST U.S.DOLLAR 0U1~KAL’TT ON —~-~—-‘f TDL~...OSI.~.~RAN~IO1’. 01-JAN-19 LOC..~,~.ASE 31—JAN—1999 B,wc~.USu 100 BASE AMOUNT! 04 600 3HY8 IT 15—JAN—1999 15—JAN—1999 LOCAL AMOUNT! COST! GAIN LOSS 48,750.00 48,750.00 0.00 COST! INV GAIN LOSS! CURR GAIN LOSS 48,750.00 0.00 0.00 0.00 LOCAL ICE! BASE PRICE! BASE XRATE! 0.000000 0.000000 1.000000000 —163,368.42 161614AE2 I TC —163,368.42 161614 AE2 I TC 163,688.91 161614AE2 IT LONG TERM OPER-PIMCO CHASE MANHATTAN GRAN 5.900%11!15!2001 DO LONG TERM OPER-PIMCO CHASE MANHATTAN GRAN 5.900%11!15!2001 DD LONG TERM OPER-PIMCO CHASE MANHATTAN GRAN 5.900%11!15!2001 DD 15—DEC—1998 15—DEC—1998 15—DEC—1998 17—DEC—1998 15—DEC—1998 17—DEC—1998 —10,081.69 —10,081.69 0.00 —10,087.69 —10,087.69 0.00 9,284.52 9,284.52 0.00 —10,081.69 0.00 0.00 0.00 —10,087.69 0.00 0.00 0.00 9,284.52 0.00 0.00 0.00 0.000000 0.000000 1.000000000 0.000000 0.000000 1 .000000000 0.000000 0.000000 1 .000000000 152,908.45 161614AE2 IT LONG TERM OPER-PIMCO CHASE MANHATTAN GRAN 5.900%11!15!2001 DD 8,479.68 8,479.68 0.00 8,479.68 0.00 0.00 0.00 0.000000 0.000000 1 .000000000 LONG TERM OPER-PIMCO CHRYSLER FIN MTN FLTG RT 08/08,/2002 DO 04/08!98 LONG TERM OPER-PIMCO FHLMC GROUP #G5-0476 7.000%02!01/2003 DD 02/01!98’ 20—JAN—1999 15—JAN—1999 20—JAN—1999 19,316.62 19,316.62 0.00 86,489.64 86,489.64 0.00 19,316.62 0.00 0.00 0.00 86,489.64 0.00 0.00 0.00 0.000000 0.000000 1.000000000 0.000000 0.000000 1 .000000000 65,822.98 3133TCE95 IT LONG TERM OPER-PIMCO FHLMC MULTICLASS CTF E3 A 6.324%08/15/2032 15—JAN—1999 01—DEC—1998 15—JAN—1999 21,811.30 21,811.30 0.00 21,811.30 0.00 0.00 0.00 0.000000 0.000000 1.000000000 SHARESL~r VALUE EFFECTIVE DATE! SECURITY ID!DESCRIPTION!SETTLE DATE! TRANS CODE BROKER COMPL DATE LONG TERM OPER-PIMCO 1,500,000.00 ASSOCIATES CORP N A SR NTS 15—JAN—1999 6.500%07!15!2002 DO 07/11/97 95-B CL A 11/15!95 95-B CL A 11/15!95 95-B CL A 11/15/95 06—JAN—1999 15—DEC—1998 06—JAN—1999 95-B CL A 15-JAN-1999 11!15!95 15—JAN—1999 15—JAN—1999 3,500,000.00 17 12 OQE8O IT 767,464.30 312800Q55 IT 15—JAN—1999 01—JAN—1999 15-JAN—1999 Page 39 OCSG000 100 CSDOC-CONSOLIDATED SHARES/PAR VALUE SECURITY ID! TRANS CODE DESCRI PTION/ BROKER EFFECTIVE DATE! SETTLE DATE! COMPL DATE LOCAL AMOUNT! COST! GAIN LOSS BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS BASE:USD TM 100 LOCAL PRICE! BASE PRICE! BASE XRATE! 2,000,000.00 3133TDPV2 IT 46,528.05 3133T02D5 IT LONG TERM OPER-PIMCO FHLMC MULTICLP.SS CTF Til A6 6.500%09/25!2018 LONG TERM OPER-PIMCO FHLMC MULTICL MTG P/C 1574 E 5.900%06/15/2017 10,833.33 10,833.33 0.00 5,511.89 5,511.89 0.00 10,833.33 0.00 0.00 0.00 5,511.89 0.00 0.00 0.00 0.000000 0.000000 1.000000000 0.000000 0.000000 1.000000000 11,128.10 3133T17A4 IT LONG TERM OPER-PIMCO FHLMC MULTICLASS CTF 6.000%11/15/2023 DD SER 1620Z 07—JAN—1999 11/01/93 01—DEC—1998 07-JAN—1999 11,128.10 11,128.10 0.00 11,128.10 0.00 0.00 0.00 0.000000 0.000000 1 .000000000 11,183.54 3133T17A4 IT LONG TERM OPER-PIMCO FHLMC MULTICLASS CTF 6.000%11!15!2023 DO SER 1620Z 19—JAN—1999 11/01/93 01—JAN—1999 19—JAN—19 99 11,183.54 11,183.54 0.00 11,183.54 0.00 0.00 0.00 0.000000 0.000000 1 .000000000 0.00 3133 97 T35 CD LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT 12/15/1998 01FF ON MATURITY 15—DEC—19 98 15—DEC—19 98 15—DEC—1998 1,182.50 1,182.50 0.00 1,182.50 0.00 0.00 0.00 0.000000 0.000000 1.000000000 182,972.48 31677EAA4 IT LONG TERM OPER-PINCO FIFTH THIRD BK AUTO TR 96A CLA 6.200%09/01/2001 DO 03/15/96 15—JAN—19 99 15—JAN—1999 15—JAN--1999 12,776.52 12,776.52 0.00 12,776.52 0.00 0.00 0.00 0.000000 0.000000 1.000000000 18,297.24 31677EAA4 IT LONG TERM OPER-PIMCO FIFTH THIRD BK AUTO TR 96A CLA 6.200%09!01!2001 DD 03!15!96 27—JAN—1999 15—JAN—1999 27—JAN—1999 1,277.66 1,277.66 0.00 1,277.66 0.00 0.00 0.00 0.000000 0.000000 1.000000000 300,000.00 34 53 9UNF5 IT LONG TERM OPER-PIMCO FORD MTR CR CO DISC 01!15!1999 15—JAN—1999 15—JAN—1999 15—JAN—1999 410.83 410.83 0.00 410.83 0.00 0.00 0.000000 0.000000 1.00 000 MELLON TRUST POSTED TRANSACTIONS -LOCAL/BASE 01—JAN—1999 —31—JAN—1999 25—JAN —1999 25—JAN—1999 25—JAN—1999 15—JAN—19 99 01—JAN—1999 15—JAN—1999 P 10 o )01 )N r C~uuL-COr~Air~u rOSTED TRANSACTIO~-LOCAL/BASE SE:USD 01—JAN—19~31—JAN—1999 100 BASE AMOUNT! SHARES/PAR VALUE EFFECTIVE DATE!LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE/ 0.00 LIQUID OPER-PIMCO 800,000.00 FORD MTR CR CO DISC 27—JAN—1999 13,740.22 13,740.22 0.000000 34539UNT5 01/27/1999 27—JAN—1999 13,740.22 0.00 0.000000 IT 27—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 118,528.50 GNMA II POOL #0080023 20—JAN—1999 13,383.81 13,383.81 0.000000 36225CAZ9 7.000%12/20/2026 DD 12/01/96 01—JAN—1999 13,383.81 0.00 0.000000 IT 20—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 164,036.68 GNMA II POOL #080088M 20—JAN—1999 19,324.15 19,324.15 0.000000 36225CC20 6.875%06/20/2027 DD 06/01/97 01—JAN—1999 19,324.15 0.00 0.000000 IT 20—JAN--1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 14,500,000.00 GENERAL ELEC CAP DISC 26—JAN—1999 75,456.39 75,456.39 0.000000 36959JN58 01/26/1999 26—JAN—1999 75,456.39 0.00 0.000000 IT 26—JAN—1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO 900,000.00 GMAC DISC 20—JAN—1999 8,363.25 8,363.25 0.000000 37042ENL1 01/20/1999 20—JAN—1999 8,363.25 0.00 0.000000 IT 20—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 700,000.00 GMAC DISC 25—JAN—1999 3,535.58 3,535.58 0.000000 37042ENR8 01!25!1999 25—JAN—1999 3,535.58 0.00 0.000000 IT 25—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 3,000,000.00 HELLER FINL INC SR NT 27—JAN—1999 41,854.02 41,854.02 0.000000 423328AZ6 FLTG RT 04!27/1999 DD 04!27!94 27—JAN—1999 41,854.02 0.00 0.000000 IT 27—JAN—1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO 900,000.00 IBM DISC 13—JAN—1999 16,978.50 16,978.50 0.000000 44922BND6 01/13/1999 13—JAN--1999 16,978.50 0.00 0.000000 Page 41 OCSG 000100 CSDOC-CONSOLI DATED SHARES/PAR VALUE SECURITY ID! TRANS CODE IT DESCRI PTION! BROKER EFFECTIVE DATE! SETTLE DATE! COMPL DATE 13—JAN—i 999 LOCAL AMOUNT! COST! GAIN LOSS 0.00 BASE AMOUNT! COST! INV GAIN LOSS! CURR GAIN LOSS 0.00 0.00 BASE:USD TM100 LOCAL PRICE! BASE PRICE! BASE XRATE/ 1.000000000 311,212.64 784 42GAK2 IT LONG TERM OPER-PIMCO STUDENT LN MKTG ASSN VAR RT 10/25/2005 DD 1997—1 Al 25—JAN—1999 03/20/97 25—JAN—1999 25—JAN—1999 57,986.38 57,986.38 0.00 57,986.38 0.00 0.00 0.00 0.000000 b.000000 1 .000000000 —25,700.00 912 8272M3 I TC 0.00 912 8272M3 CD LONG TERM OPER-PIMCO US TREASURY INFLATION 3.375%01/15/2007 DD LONG TERM OPER-PIMCO US TREASURY INFLATION 3.375%01/15/2007 DD RECEIVED INTEREST PAYABLE,12/31!98 INDEX NT 31-DEC-1998 01!15/97 15—JUL—1998 31—DEC—1998 INDEX NT 31-DEC-1998 01/15/97 3i—DEC—1998 31—DEC--i998 —25,700.00 —25,700.00 0.00 25,700.00 25,700.00 0.00 —25,700.00 0.00 0.00 0.00 25,700.00 0.00 0.00 0.00 0.000000 0.000000 1 .000000000 0.000000 0.000000 1 .000000000 10,351,200.00 912827 2M3 IT LONG TERM OPER-PIMCO US TREASURY INFLATION 3.375%01/15/2007 DO INDEX NT 15-JAN-1999 01/15/97 15—JAN—1999 15—JAN—1999 174,676.50 174,676.50 0.00 174,676.50 0 .00 0.00 0.00 0.000000 0.000000 1.000000000 —17,780.00 9128273A8 I TC LONG TERM OPER-PIMCO US TREASURY INFLATION 3.625%07!15!2002 DD INDEX NT 31-DEC-1998 07!15!97 15—JUL—1998 3i—DEC—1998 —17,780.00 —17,780.00 0.00 —17,780.00 0.00 0.00 0.00 0.000000 0.000000 1 . 000000000 0.00 912 8273A8 CD LONG TERM OPER-PIMCO US TREASURY INFLATION 3.625%07/15/2002 DD RECEIVED INTEREST PAYABLE 12/31/98 INDEX NT 31-DEC-1998 07/15/97 31—DEC—1998 31—DEC—1998 17,780.00 17,780.00 0.00 17,780.00 0.00 0.00 0.00 0.000000 0.000000 1.000000000 7,168,070.00 912827 3A8 IT LONG TERM OPER-PIMCO US TREASURY INFLATION 3.625%07!15!2002 DD INDEX NT 15-JAN-1999 07!15!97 15—JAN—1999 15—JAN—1999 129,921.27 129,921.27 0.00 129,921.27 0.00 0.00 0.00 0.000000 0.000000 1.000000000 LONG TERM OPER-PIMCO 0.00 SHORT TERM FDS INT ADJ 29—JAN—1999 —258.99 —258.99 0000 MELLON TRUST POSTED TRANSACTIONS -LOCAL/BASE 01—JAN—1999 —31—JAN—1999 2 0 )01 N r C -CO......~~)ST......~AN~/~L11O -LOCPw/~ASE ASE:USD 01—JAN—19 1—JAN—1999 100 BASE AMOUNT! SHARES/Pi~R VALUE EFFECTIVE DATE!LOCAL AMOUNT!COST!LOCAL PRICE! SECURITY ID!DESCRIPTION!SETTLE DATE!COST!INV GAIN LOSS!BASE PRICE! TRANS CODE BROKER COMPL DATE GAIN LOSS CURR GAIN LOSS BASE XRATE! 990000PJ4 NET OF OVERNIGHT INTEREST 29—JAN-1999 —258.99 0.00 0.000000 CW AND OVERDRAFT EXPENSES 29-JAN-1999 0.00 0.00 1.000000000 0.00 LIQUID OPER-PIMCO 0.00 DREYFUS TREASURY CASH MGMT 04—JAN--1999 865.95 865.95 0.000000 996085247 01—JAN—1999 865.95 0.00 0.000000 IT 04—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 0.00 DREYFUS TREASURY CASH MGMT 04-JAN—1999 6,213.71 6,213.71 0.000000 996085247 01—JAN—1999 6,213.71 0.00 0.000000 IT 04—JAN—1999 0.00 0.00 1.000000000 0.00 LONG TERM OPER-PIMCO 0.00 BSDT-LATE MONEY DEP ACCT 04—JAN—1999 5.26 5.26 0.000000 996087094 VAR RT DD 06!26!1997 01—JAN—1999 5.26 0.00 0.000000 IT 04—JAN—1999 0.00 0.00 1.000000000 0.00 Page 43 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation Distnct FROM:Gary Streed,Director of Finance Originator:Steve Kozak,Financial Manager SUBJECT:QUARTERLY INVESTMENT MANAGEMENT PROGRAM REPORT FOR THE PERIOD OCTOBER 1 THROUGH DECEMBER 31,1998 (FAHR99-05) GENERAL MANAGER’S RECOMMENDATION Receive and file the Quarterly Investment Management Program Report for the period October 1,1998 through December 31,1998. SUMMARY Section 15.0 of the District’s Investment Policy includes monthly and quarterly reporting requirements for the District’s two investment portfolios.These two funds,the “Liquid Operating Monies,”and the “Long-Term Operating Monies,” are managed by PIMCO,the District’s external money manager. The ongoing monitoring of the District’s investment program by staff and Callan Associates,the District’s independent investment advisor,indicates that the District’s investments are in compliance with the District’s adopted Investment Policy and the California Government Code,and that overall performance has tracked with benchmark indices.In addition,sufficient funds are available for the District to meet its operating expenditure requirements for the next six months. The District’s portfolios do not include any reverse repurchase agreements or derivative securities. PROJECT/CONTRACT COST SUMMARY N/A BUDGET IMPACT E1 This item has been budgeted. 0 This item has been budgeted,but there are insufficient funds. 0 This item has not been budgeted. ~Not applicable (information item) Re#is.d:115198 Page 1 ADDITIONAL INFORMATION Performance Reports The Quarterly Strategy Review,prepared by PIMCO,and the Investment Measurement Review,.prepared by Callan Associates,are attached for your reference.Also attached are two comparative bar charts which depict the sector diversification of the District’s portfolios,as of September 30,1998,and December 31,1998.The Liquid Operating Monies portfolio,with an average maturity of less than 90 days,consists entirely of cash equivalent investments such as U.S.Treasuries,and corporate discount notes. Portfolio Performance Summary The following table presents a summary of the performance of the District’s portfolios managed by PIMCO for the period October 1 through December 31,1998. Portfolio Performance Summary Quarter Ended December 31,1998 Uquid Operating Monies (%)Long-Term Operating Monies (%) ~~T~otal :Rate~ot.Ret.irr~::~ 3 Months 1.3 0.6 6 Months 2.8 4.5 9 Months 4.2 J 6.4 12 Months 5.6 T 8.1 Since inception 30 Sept.95 5.6 7.3 ::~.::,::.~..:::::.~::;~... Benchmark .:,,~=. 3 Months 1.1 0.5 6Months 2.4 9 Months 3.7 6.0 12 Months 5.1 7.6 Since inception 30 Sept.95 5.2 . 6.9 Market Value per PIMCO 31 Dec.98 81 8.6M $304.5M Average Quality AAA AAA~ Current Yield 5.3%6.0% Estimated Yield to Maturity 5.0%L 5.07% Quarterly Deposits (Withdrawals)$20.OM Estimated Annual Income J $1 .OM $1 8.4M Market Recap During the fourth quarter of 1998,the Federal Reserve cut short-term interest rates by 50 basis points,amid concerns of slower growth in the U.S.economy. The rate cut stabilized the market,restoring liquidity and confidence,and investors shifted from Treasuries to other bond market sectors,and to stocks, which surged to record levels. ~ R~sed:1l5i~8 Page 2 As depicted in the attached comparative graph of the “Historical Yield Curve,”the Treasury yield curve remained flat during the fourth quarter,but short and intermediate rates rose by approximately 10 to 30 basis points as expectations faded for further rate cuts by the Fed.The benchmark 30-year Treasury rate rose approximately 10 basis points when compared to the end of the third quarter 1998 (4.97%vs.5.09%). For the Long-Term Operating Monies portfolio,PIMCO maintained a weighted maturity or duration,slightly above the duration index (2.4 vs.2.3 years), emphasizing holdings in lower coupon mortgage backed securities,and high quality corporates.These investments contributed incremental yield to the portfolio when compared to the all-Treasury benchmark yields,despite market volatility.The portfolio outperformed its benchmark (0.6%vs.0.5%)for the fourth quarter,and for the year (8.1%vs.7.6%). For the Liquid Operating Monies portfolio,PIMCO used a duration posture slightly below index (approximately 72 days vs.90 days),and emphasized U.S. Agency discount notes and high-quality corporate commercial paper in the portfolio.These investments added incremental yield to the portfolio,as interest rates rose slightly.The portfolio outperformed its benchmark (1.3%vs.1.1%)for the fourth quarter,and for the year (5.6%vs.5.1%). Portfolio Market Values During the month of December,the District received approximately $33.5 million through the Orange County Tax Collector’s property tax allocation cycle.The sum of $20 million was deposited to the District’s Long-Term portfolio for investment,and the balance of $13.5 million was deposited in LAIF to be available to meet current and projected cash flow requirements. Comparative marked-to-market quarter-end portfolio values are shown in the table below,and in the attached bar chart. Quarter Ending Liquid Operating Monies (SM) Long-Temi Operating Monies (SM) 31Dec.97 31 March 98 30June98 30 Sept.98 31 Dec.98 17.6 17.8 18.1 18.4 18.6 301.1 306.0 311.5 282.8 304.5 Re~ed:115198 Page 3 ALTERNATIVES N/A CEQAFINDINGS N/A ATTACHMENTS 1.PIMCO Report 2.CaIlan Report 3.Three Comparative Bar Charts 4.Historical Yield Curve Graph SK:Ic ~ Revised:~Page 4 Pre~~y Finance,2/2/99,7:32 AM $350,000,000 $300,000,000 $250,000,000 $200,000,000 $100,000,000 $50,000,000 $0 $150,000,000 L_ 31 Dec97 r~Liquid Operating Monies ~Long-Terrn Operating Monies ~ 31 Dec98 OCSD Investment Management Program Quarter End Portfolio Values (Marked-to-Market) 31Mar98 30Jun98 30Sep98 G:\excel .dta\fin\2220\geggi\Finance\irivestmgmtprogram Prep )~Finance,2/1/99,11:39AM OCSD Liquid Operating Monies Portfolio Investment Diversification 100100 100----— 90-—— 80 70~ ~6O- El 9/30/98 ~~ ~ I 00 — ~12/31/98 Govt Mtg Corp Non US$Other Net Cash Equivalent G:\exceLdta\fin\222O\geggi\Finance~PortfoIio short term Pre y Finance,2/1/99,1:26 PM 100 90 80 70 60 50 40 30 20 10 0 OCSD Long-Term Operating Monies Portfolio Investment Diversification El 9/30/98 z 12/31/98 Govt Mtg Corp Non US$Other Net Cash Equivalent G :\excel.dta\fin\2220\geggi\Finance\Portfolio long term graph Pie by Finance,2/1/99,2:19 PM HISTORICAL YIELD CURVE I 6.00 1 ~ ——o—30-Sep-98 —4---31-Dec-98 I G:\excel .dta\fin\2220\geggi\Finance\HistoricallREASuRYyieldcurve INVESTMENT MANAGEMENT PROGRAM •Orange County Sanitation District STRATEGY REVIEW FOR THE PERIOD OCTOBER 1 -DECEMBER 31,1998 FINANCE,ADMINISTRATION &HUMAN RESOURCES COMMITTEE FEBRUARY 10,1999 PACIFIC INVESTMENT MANAGEMENT COMPANY 840 Ne%vI)ort Centir Drive I ~cl ()ffic,Uox 64 •i() Newport Beach California 92658-6430 94’)640-30)1 AGENDA I BOND MARKET REVIEW II PERFORMANCE /PORTFOLIO REVIEW III CURRENT OUTLOOK /STRATEGY PACIFIC INVESTMENT MANAGEMENT COMPANY U.S.RATES RISE ON DIMINISHED EXPECTATIONS OF FED EASE SHORT RATES REVERSE DRAMATIC DECLINE 30 YEAR RATES ENDED THE QUARTER SLIGHTLY HIGHER CO C -c U Lo 4TH QTR.19981 SOURCE:Bloornberg TREASURY YIELD MOVEMENTS 30-Yr.T-Bond ~ ~ 1Q98 2Q98 5.10% 4.52% 6.0 5.5 5.0 >- 4.5 4.0 50 0 -50 -100 -150 3Q98 4Q98 RATES ON INTERMEDIATE MATURITY TREASURIES ROSE THE MOST 3 Mos.1 Yr.2 Yrs.5 Yrs.10 Yrs.30 Yrs. °~CIF1~VES AG rTC~’AN~ STRATEGY RECAP -FOURTH Qu LONG-TERM OPERATING FUND Period Ended December 31,1998 ER O U RAIl ON MATURITY MIX SECTOR /ISSUE PORTFOLIO STRUCTURE SLIGHTLY ABOVE INDEX B ROADER THAN INDEX ABOVE INDEX CORPORATE EXPOSURE CONTINUED EXPOSURE TO AGENCY SECURITIES HIGHER THAN INDEX MORTGAGE EXPOSURE 2 RELATIVE IMPACT FOURTH QUARTER 1998 SLIGHT NEGATIVE SLIGHT POSITIVE SLIGHT POSITIVE PAOFIC INVESTMENT MANAGEMENT COMPANY STRATEGY RECAP -FOURTH QUARTER LIQUID OPERATING FUND Period Ended December 31,1998 DURATION MATURITY MIX SECTOR /ISSUE P0 RTFOLIO STRUCTURE SLIGHTLY BELOW INDEX SLIGHTLY BROADER THAN INDEX MAINTAIN EXPOSURE TO AGENCY DISCOUNT NOTES AND COMMERCIAL PAPER 3 RELATIVE IMPACT FOURTH QUARTER 1998 SLIGHT POSITIVE SLIGHT NEGATIVE POSITIVE “CIF~T”VEg~NT AG - ~FT (“AN” REVIEW OF PERFORMANCE Through December 31,1998 •Long-Term Operating Fund Since~ Inception 9/30/95 2 Yrs.*1 Yr.3 Mos 12/31/98 Market Value Orange County Sanitation D~str~ct (L-T)(%)7.3 8.0 8.1 0.6 $304,458,347 Merrill 1 -5 Year Gov’t./Corp.Index (%)6.9 7.4 7.6 0.5 •Liquid Operating Fund Since* Inception 9/30/95 2 Yrs.*1 Yr.3 Mos 12/3 1/9 8 Market Value Orange County Sanitation District (Liq-op)(%)5.6 5.6 5.6 1.3 $1 8,599,826 3 Month T-Bill (%)5.2 5.2 5.1 1.1 Annualized. 4 PACIFIC INVESTMENT MANAGEMENT COMPANY CURRENT OUTLOOK SECULAR GLOBAL DISINFLATION I U.S.ECONOMY TO SLOW SHARPLY I LONG TREASURY YIELD TO RANGE BETWEEN 4½-6’h%ROBUST CONSUMER SPENDING UNSUSTAINABLE ~Ir •INTEREST RATES TREND LOWER FEDERAL RESERVE WILL CONTINUE TO EASE •Weaker U.S.economy incites action •Despite recent cuts,real yields historically high INFLATION REMAINS LOW a Slower wage growth ahead •Low global demand weakens commodity prices ‘1r STRATEGY DURATION ~NEAR TO SLIGHTLY ABOVE INDEX MATURITY ~BROADER THAN INDEX SECTOR ~FOCUS ON DISCOUNT COUPON MORTGAGES MAINTAIN ABOVE INDEX CORPORATE EXPOSURE TO ENHANCE YIELD 5 ICIl JVI NT • 4T PAl ~3 County Sanitation Districts of Orange County December 31,1998 Callan Associates Inc. Investment 1\’Ieasurement Service Quarterly Review County Sanitation Districts of Orange County December 31,1998 The following statistical analysis was prepared by Callan Associates Inc.utilizing secondary data from statements provided by the plan trustee and/or custodian,CAl computer software and selected information in CAl’s database.This report may also contain returns and valuations from outside sources as directed by the client.CAL assumes no responsibility for the accuracy of these valuations or return methodologies.Reasonable care has been taken to assure the accuracy of the CA!computer software and database.CA!disclaims responsibility,financial or otherwise for the accuracy or completeness of this report.Copyright 1999 by Callan Associates Inc. E Capital Markets Review . Active Management Overview Foreword 9 Domestic Fixed-Income 10 Asset Class Risk and Return 11 Investment Manager Asset Allocation 12 Investment Manager Returns 13 Manager Analysis PIMCO-Liquid Operating Monies 14 PIMCO-Liquid Operating Fund 15 Bond Portfolio Characteristics 16 Portfolio Characteristics Detail 17 P CAPITAL MARKET REVIEW A PUBUCATION OF CALLAN ASSOCIATES INC.AND THE CALLAN INVESTMENTS INSTITLTE ~Fourth Quarterl998 p Revel Without a Cause? When the wild stock market scraped its knees badly in a traumatic fall last summer,industry observers then thought this child of ‘irrational exuberance”was finally getting its first lesson in responsible valuations since 1994.Oddly, though,after a paternal Fed treated the market’s wounds last quarter with repeated pain-killing doses of lower interest rates, the preoccupied kid scrambled back to new heights with seemingly no fear.Representing the 2,000 largest U.S.-traded stocks excluding ADRs and other foreign shares,the Callan Broad Market index jumped 22.05%,including dividends, during the fourth quarter. In addition to the Fed’s timely relief,the latest quarter’s joyride was inspired by lower commodity prices,especially oil,and a spendthrift consumer lifting the economy more than expected.For the entire year,despite nagging grown-up concerns about record trade deficits, weakening profits, and economic malaise elsewhere around the world, this self-absorbed stock market has gained 24.90%.In the last four years, the Broad Market has expanded just over 170%,or 28.38%annualized. As the market’s seasoned idol,the Callan Large Cap Index of the ISO largest stocks led the rest of the pack in the fourth quarter with a 23.44%grab.For all of 1998,the public craze for mega cap stocks bestowed a 36.75%gain upon these market giants,despite record high valuations.In the last quarter,the Callan Medium Cap Index (+19.97%)of the next largest 350 stocks muscled ahead of the Callan Small Cap Index (÷19.31%),which represents the Broad Market’s bottom 1,500 members. continued on page 2 “It’s the Stock Market,Stupid” Credit Markets Revived! The U.S.bond market regained stability in the fourth quarter after the tumultuous flight to quality in the late summer and early autumn.Following Long Term Capital’s collapse, the Federal Reserve restored confidence by lowering short- term interest rates three times in a span of seven weeks. Liquidity improved,corporate issuance picked up,and spread product led the way for the quarter.However,U.S.Treasuries fell during the quarter,with the 30-year bond yield (which moves in the opposite direction of the price)creeping back above 5%.The yield curve experienced a slightly parallel upward shift,as yields in the intermediate S e g m e n t increased a bit more than the short and long ends.The curve ended the year relatively flat — 56 basis points __________ separated the 2- year note and the 30-year bond _______________________________ yields. The Lehman Brothers Aggregate Index (+0.34%)was buoyed by the performance of the Lehman Brothers Mort gage Index (+0.80%)and the Lehman Brothers Corporate Index (+0.60%).Spreads narrowed significantly for both sec tors when investors,slowly overcoming credit and liquidity fears,moved back into the sectors.Corporate spreads nar rowed because liquidity improved and economic indicators continued on page 2 The U.S.economy ended 1998 on a high note,with the housing market reaching record highs,unemployment at 30- year lows,inflation subdued by weak commodity and import prices,and GDP growth stretching towards 4%for the year. Fueled by cheap oil and low interest rates,growth in the U.S.economy has exceeded all but the most optimistic forecasts. Consumers have outdone themselves,spending enough to drive the narrowly defined savings rate to zero and even negative in the fourth quarter,as the stock market pushed household wealth to new highs.Fed watchers (and the Fed itself)have become more nervous,as the stock market climbs ever higher and talk of “bubbles”punctuates the hand wringing.If the market showed signs of “irrational exuberance”at a Dow of 6,400 (!).then what does the Fed do about a market over 9,000 after a 20%correction just 6 months ago? Not one,but three bubbles are causing the consternation at the Fed:the consumer spending bubble,the stock market bubble,and the ballooning trade bubble.The three bubbles are interrelated,and consensus is forming upon the following story for 1999 and beyond.With earnings growth expected to be flat or negative,the liquidity-driven stock market bubble will begin to deflate,reining in consumer spending (didn’t we hear this a year ago?).A weaker stock market will lessen Contents Foreign Stocks 3 Foreign Bonds 3 Alternative Investments ~.. 4 RealEstate 4 U.S.Fixed-Income Returns for Quarter Ended December 31,1998 Last Quarter Lehman Bros LB Aggregate 0.34 LB Govt/Corp 0.13 LB Govt/Corp Inter 0.29 LB Govt/Corp Long -0.23 LB Govt -0.08 LB Corp 0.60 LB Mortgage 0.80 Salomon Bros SB Broad mv Gr 0.41 SB Hi Grade LT 0.86 Merrill Lynch ML Treas 1-3 0.76 ML Hi Yki Mstr 2.87 E SAN FRANCISCO MORRISTOWN CHICACO ATLANTA DEN V ER 71 STEVENSON ST. SUITE 1300 SAN FRANCISCO CALIFORNIA ~tII)5 4I5.974..iO(iO FAX 41S.512.0324 hirp:/t..’.i~.callan.t,,m continued on page 4 Revel Without a Cause?Capitalization Sector Performance from pate / With its roughly $300 million weighted average market cap.the Callan Micro Cap Index of the next largest 1.000 stocks outside of the Broad Market gained a relatively minor 14.64%. Getting little affection from investors throughout the year,the troubled micro caps actually fell 4.24%in 1998. Across the Broad Market’s _____________ economic sectors,the hottest action in the fourth quarter was clearly in Technology (+37.20%). Investor infatuation .vith the Internet’s growth opportunities particularly propelled the Conintunications Equipment (+51.87%),Networking Computers (+47.67%).and ! Credit Markets Revived! from page! signaled stable growth in the economy.Mortgage spreads narrowed as interest races moved higher and the rate of homeowners’refinancing slowed.When investors moved out of U.S.Treasuries and into spread product.the government sector suffered.The Lehman Brothers Gov ernment Index slipped -0.08%. The high yield sector substantially outperformed all ocher sectors for the third quarter.The Merrill Lynch High Yfeld Master Index rose 2.87% for the period,as spreads narrowed sharply from levels not experienced since the 1990 recession.The high yield sector reacts more to changes in liquidity and credit risk,so the positive news of the fourth quarter espe cially helped this sector. While the credit markets recovered some of its losses from the third quarter,concerns lingered.The equity and bond markets appeared to have fundamentally divergent views on the economy.Although the non-gov ernment sectors outperformed in the fourth quarter,they did not com pletely recover what was lost relative to Treasuries.Meanwhile,equities reclaimed all lost ground and moved ahead.The credit markets appar ently have taken a more pessimistic view of the economy than the equity market. -CMR 0%20%40%60% Percent of Total Market CapitalIzation Computer Software and Services (+35.03%)industries.While Microsoft’s 26.01%advance under antitrust scrutiny was impressive during the quarter, America Online (+177.94%)particularly enjoyed the market’s Internet obsession.From start to finish of 1998.America Online gained 586%! Bouncing back from its third quarter stumble (-20.75%)over recession fears.Consumer Cyclicals looked smart (+29.33%)in the last quarter.as the consumer proved more resilient than expected in the slowing economy. Communications also performed notably well (+29.43%). Not all of the economic sectors attended last quarter’s rave. Disappointed by poorly behaving oil prices during the quarter.the market placed a curfew on the Energy sector (-0.39%).Energy’s Exploration & Production industry (-12.89%)suffered the worst discipline.During the quarter,however,the market’s biggest marriage proposal,announced by Exxon (+4.13%)and Mobil (+15.62%),helped to restore trust in the sector’s underlying values. Investment style was also particularly important last quarter.To iso late styles of growth and value,Callan divides its capitalization i evenly by price-to-book,creating sub-sectors of growth-and ented stocks.Growth was clearly chic last quarter.as the combine~ Ian LargelMedium Cap Growth Index (+26.06%)upstaged its value counterpart (+18.33%).For the year,the return spread was even wider between growth (+45.01%)and value (+14.43%).Similarly,the Small Cap Growth Index beat the Small Cap Value Index for the quarter (+25.58%vs.+12.77%)and year (+10.19%vs.—2.21%). .CMR 26% Fourth Quarter 1998 22% 20% I8% E 16% ~14% ~12% ~10% 0 ~‘6% 6% —~AIB~a0-22.~ CAI~~e U.S.Equity Returns for Quarter Ended December31,1998 Last Quarter Broad Market CAP Broad 22.05 Lame Cao S&P500 21.30 CAl Large 23.44 DJPA 17.57 Mid/Small Can S&P MidCap 400 20.19 CAl Med 19.97 CAl Small 19.31 CAl Micro 14.64 Exclianae Indices NYSE 18.59 AMEX 11.24 NASDAQ 29.57 Convertible Index FB Cony Sec 14.73 2% 0% 60%100% Economic Sector Performance -CAl Broad Fourth Quarter 1998 JJI.CU’?.Teclrnology Con~,,un,caoo.,Se”~’ces Cons~mef Cydcai Cono~me~Slapees Finanoals Capoai Goods HelOll Case Tsens~o6at.on Basic Matenals USisSes Enesgy -039% 329.43% 129.33% “122.15% ‘f.m }16.06% _________________ 14.69% 3,94% 2.95% .5%0%5%10%55%20%25%30%35%.50% Retu,, U.S.Treasury Yield Curves:Fourth Quarter 1998 5.5 ____________________________ —A——Ending 4th Quarter --A--Beginning 4th Quarter 5 10 15 Maturity (Years) 20 25 Callan Associates Inc.2 Rate Cuts and Euro Optimism Spark Explosive Quarter for Foreign Stocks ernational equity markets,as measured by the MSCI EAFE Index, nced 20.66%(in dollar terms,unless otherwise noted)during 1998s h quarter.Central bank rate cuts in North America.continental Europe and Japan all helped to boost confidence in the strength of global equity markets.The fourth quarter’s strong showing helped to push many markets back toward levels last seen in July just prior to the global sell-off.Japan was the one disappointment for the quarter.In local currency terms,the MSCI Japan Index gained only 5.11%,but a strengthening yen greatly enhanced its dollar-based return.Still,1998 saw the EAFE Index gain 20.00%for the year. Europe Many factors,not least of which was the euro’s introduc tion,helped to push returns in continental Europe higher dur ing the fourth quarter.The MSCI Europe ex UK Index returned 20.68%. With the European Central Bank focusing on establishing its credibility as the euro is introduced,there is much optimism that interest rates in Europe will continue to drop.A coordinated cut in December by the EMU II central banks surprised most,and equity prices responded favorably.A growing belief is that restructuring throughout the region as well as in creased access to capital through more efficient capital markets will con tinue to push equity prices higher in the region.The only market that dis ointed,relative to the region as a whole,was Germany:the new gov ent has caused some to ponder its potential ramifications on the nomy. United Kingdom The fourth quarter saw the UK’s equity markets perform well,with the MSCI UK Index returning 14.34%.In the UK,as in other parts of the world,interest rate easing helped to push markets higher.The Bank of England’s 1%rate cut last quarter helped stocks in general,but particu larly helped the financial sector,which had suffered a difficult third quar ter. Japan An abrupt and dramatic increase in the yen’s value in early October had numerous effects.One effect was the translation of sleepy local re turns,relative to those of other equity markets,into robust returns based on U.S.dollar or European currencies.While the MSCI Japan Index returned 5.11%in yen terms,its U.S.dollar return was 26.83%.The added currency effect was over 20%,as Long Term Capital and others struggled to cover a short-yen bet.In addition,the resilient yen also helped to ease the burden of many ailing banks,as the value of their yen-denominated loans rose in non-yen terms.Unfortunately,many Japanese investors who invested outside of Japan were stung.The world is still watching Japan and hoping the government can pull its economy out of the doldrums. Many still believe Japan mast lead the Pacific region out of its economic malaise. Emerging Markets Emerging markets finally got a breather,as the MSCI Emerging Markets Free Index posted a 17.99%gain in the fourth quarter.Despite strong showing,the index fell 25.34%in l998.Asia was the strongest orming region of emerging markets,as the MSCI EM Free Asia In- cx returned 33.76%.Concerns about a potential devaluation of the Bra zilian real restrained the Latin American markets relative to others;the MSCI EM Free Latin American Index returned 7.08%for the quarter. Interest Rate Cuts Fuel Rally Key interest rate cuts in North America and Europe continued a bond market rally that began in earnest in the third quarter.A weak dollar contributed to strong gains in the Salomon Non-U.S.Government Bond Index,which rose 5.27%in dollar terms and 0.08%in local currency terms.The fourth quarter closed out an outstanding year for non-dollar bond market.The non-U.S.index posted gains of 17.79%while the global index returned 15.30%. All 17 markets in the index posted positive returns in dollar terms for the quarter.Japan.the poorest performing market in local currency terms (-5.94%),was the best performing market in dollar terms (+13.5 1%).The difference came from a strong surge in the yen following the Long Term Capital Management meltdown in the third quarter. Europe A weakening dollar continued to hurt the manufacturing sector in Germany while progress towards euro convergence progressed smoothly. The SB German Government Bond Index returned 1.74%in local cur rency terms and 2.09%in dollar terms.The index posted equity-like gains of 19.77%for the year.Lower _____________________________ yields on the short end resulted in a steeper yield curve during the quarter.French government bonds also put in a good show ing gaining 2.33%for the quar ter (+1.99%in local currency terms).Low inflation and a weak economy continued to provide a favorable environment for bonds.-____________________________ The SB UK Government Bond Index was the best performing mar ket on a local currency basis (+4.52%),though gaining only 2.33%in dollar terms.For the year the index returned a stellar 20.87%.The UK government bond yield became less inverted during the quarter,as inter est rate cuts in October and November reduced yields in the short end of the curve.Sterling strengthened against the dollar (+2.10%)ending the year at 1.66 dollars per pound.In a move towards convergence,Spain and Italy lowered interest rates spurring their bond markets to return 3.02% and 3.17%respectively. Asia Economic news out of Japan continued to be grim.During the quar ter it was announced that industrial production fell 8.4%over the year through October and that the Trust Fund Bureau,a bond buyer of last resort,would no longer buy JOBs.Reduced demand and rising govern ment debt resulted in the yield curve moving higher across the curve.The yen showed a dramatic move against the dollar at the beginning of the quarter,gaining approximately 13%in a three-day period. Emerging Markets Emerging markets as measured by the J.P.Morgan Emerging Mar kets Bond Index (EMBI)rebounded from third quarter losses to return 9.92%.Russia continued to have problems with no credible resolution to the GKO default in the third quarter.The sovereign spread of the index to Treasuries narrowed from 1330 basis points in September to 1151 at the end of December,as credit worries eased with U.S.interest cuts.The Latin component outperformed the non-Latin component,13.60%and 9.27% respectively.For the year,the EMBI was down almost 16%. -CMR Non-U.S.Equity Returns for Quarter Ended December 31,1998 Last Quarter ~EE U.S.Dollar 20.66 Local Currency 16.14 E.AFE Eurone U.S.Dollar 18.72 Local Currency 19.37 EAFE Pacific U.S.Dollar 26.11 Local Currency 8.13 Emerging Markets U.S.Dollar 17.99 Global Fixed-Income Returns for Quarter Ended December 31,1998 Last Quarter SB Non-U.S.Govt U.S.Dollar 5.27 Local Currency 0.08 SB World Govt U.S.Dollar 3.55 Local Currency 0.01 .CMR Callan Associates Inc.3 “It’s the Stock Market,Stupid” frnns paqe I demand for U.S.investments,weakening the dollar.Import prices will then rise,putting pressure on inflation but at the same time discouraging the ebullient consumer.The weaker dollar will help exports,offsetting some of the weakness in consumption.The U.S.economy will thus touch down in another “soft landing”.Given the hopeful nature of this scenario. some observers have dubbed it the “immaculate slowdown”.Note also the hopeful contention that equity valuations in the U.S.will somehow reconnect with profits,earnings and bond yields. There are few signs yet of a slowdown.GDP growth paused briefly in the second quarter,primarily due to the GM strike,only to jump back to 3.7%in the third quarter,with fourth quarter estimates now at 4%.Job growth continues despite the record number of layoff announcements in 1998.At year end,though,the four-week moving average of initial unem ployment claims began to rise.The housing market turned in a banner year,starting over 1.6 million new units.Also,home sales (new and exist ing)reached a record high,as did home ownership.Inflation remains be nign,as falling commodity prices and recession in Asia offset rising labor costs.Without the continuing “positive shocks”,inflation would have shown clear signs of’accelerating in 1998:the employment cost index for wages and salaries rose 4.3%during the year.up from 2.5%in 1995,and health care costs are beginning to soar again. The one sector of the U.S.economy clearly suffering a slowdown is manufacturing.Indeed,many U.S.manufacturers feel they are already in recession.Lower import prices and the strong dollar have reduced their pricing power.Weaker demand overseas,especially for capital goods and high technology,has helped push the Purchasing Managers Index down to 45.1 in December,its lowest reading since 1991.The Index has now been below 50 —the dividing line between expansion and contraction — for seven consecutive months.While consumers and the rest of the U.S. economy have been able to shrug off the events in Asia,Russia and Latin America and reap the rewards of lower prices,manufacturing has clearly been hurt by these economic events. -CMR Real Estate Corner Based on Callan’s preliminary average results,private real estate fin ished strong (+5.43%)in the fourth quarter.In 1998,the average private real estate manager produced its highest calendar year return (+16.06%) since 1981.While transaction volume was high in the fourth quarter,as is traditionally the case,prices rose modestly or held steady.With continued weakness in the REIT mar ket,the capital appreciation component of real estate re- Real Estate Returns for turn is not expected to grow Quarter Ended December 31,1998 as strongly as last year’s.In Last Quarter fact,new appraisals may Caltan Real Estate (Mean)5.43 show some market weakness.NAREIT Total Return -3.94 The cash component of pri *Preliminary vate real estate retums,how ever,continues to be strong. REITs slumped again,for the fourth quarter in a row.In the last quar ter,the NAREIT index lost 3.94%.This year’s 19.12%loss is the worst since 1990.Particularly hard hit in the last quarter were REITs handling mortgage-backed securities (-18.04%),as lending spreads widened dra matically.This property sector,however,represents less than 5%of NAREIT’s market cap.The broader equity REIT market slumped 2.92%. Depressed valuations and lack of access to debt capital have prevented the majority of REITs from engaging in any significant market activity.In fact,a number of publicized deals under letter of intent collapsed. -CMII- Alternative Investments Fund Raising Another fund raising record was set in 1998 for the private e ~t market.Capital commitments to private equity partnerships totale billion,a 57%increase over last year’s $54.5 billion.The fourth commitments of $29.6 billion surpassed all prior quarters in the industry’s history.The number of partnerships formed increased by only 18,or 7%, over last year’s 271. Mega-funds,or funds over $1 billion,played a large role in the new fund raising record.Only 14 partnerships (5%by number)garnered $33 billion (approximately 40%)of the capital raised,with an average part nership size of $2.3 billion.The remaining 275 funds split the balance of commitments,for an average fund size of$l9l million. Market Environment After a tumultuous third quarter,the fourth quarter represented a cau tious return to stability for the capital markets.According to Buyouts news letter,the fourth quarter produced only 11%of the year’s $41 billion of announced buyout transactions.While buyout activity was more tent in deals below $500 million,only two deals were announced fo panics valued over $500 million in the second half.Reticence among b and high yield buyers was the most often cited cause for the dearth of large transactions.The good news is that,even with a miserable second half,1998’s total of announced transactions substantially exceeded the $29 billion in both 1997 and 1996. In the venture capital arena,with the exception of internet stocks,the market for IPOs and new convertibles remained virtually closed.The tre mendous liquidity in the market and flow of distributions back to institu tional investors are expected to weaken in the future. -CMII- The Capital Market Review is published quarterly for members of the institutional investment community,both domestic and international.The Capital Market Review focuses primarily on the latest quarterly perfor mance of market indices and Callan style groups for each of the major asset classes used by institutional investors.Capital Market Review con tributors are as follows: Janet Becker-Wold,Non-U.S.Fixed George Varino,U.S.Fixed-Income Gary Robertson,Real Estate Jay Kloepfer,Economy Jim McKee,U.S.Equity Gary Robertson,Alternative Investments Justin Toner.Non-U.S.Equity Matt McKenzie,Appendix Callan Associates Inc.is a privately-held and 100 percent employee- owned firm whose sole business is strategic asset management cons’ ing as an independent,objective third party.Headquartered in San F cisco,Callan also has regional offices in Chicago,Morristown,Atla.. and Denver. t~1999 Callan Associates Inc. Strategy Venture Capital Acquisition/Buyout Subordinated Debt Restructuring Other Fund-Of-Funds Totals Funds Closed January 1 through December 31,1998 $Amt(mil)% 17,260 48.1 52,719 34.9 2.072 3.5 2,087 2.1 1,557 1.0 9,594 10.4 85,292 100.0 #of Funds 139 101 10 6 3 30 289 Source:The Private Equity Analyst and Buyouts Callan Associates Inc.4 4 CAPiTAL MARKET REVIEW APPENDIX A A PUBLICATION OF CALLAN ASSOCIATES INC.FOURTH QUARTER 1998 U.S.EQUITY Style Median and Index Retums*for Periods Ended December 31,1998 Last Last Last 3 Last 5 Last 10 Last 15 Quarter Year Years Years Years Years Large Cap Equity Large Cap—Broad Style 21.47 25.56 26.18 21.80 18.80 17.42 Large Cap—Growth Style 26.43 35.82 28.8!23.09 20.09 18.41 Large Cap—Value Style 16.42 11.79 21.08 19.28 17.01 16.95 Aggressive Growth Style 25.46 18.75 /1.87 15.63 20.95 18.78 Contrarian Style 16.27 10.39 19.04 17.73 15.47 14.86 Core Style 21.66 26.74 27.51 23.45 19.20 17.67 Yield Style 14.19 15.88 21.65 20.03 16.78 17.30 CAiBroadMarketindex 22.05 24.90 25.93 22.08 18.28 l6.91 CA!Large Cap Index 23.44 36.76 31.88 26.70 20.17 18.43 S&P500 21.30 28.58 28.23 24.06 19.21 17.90 NYSE 18.59 18.50 24.18 20.81 17.50 16.52 Dow Jones Industrials 17.57 18.13 23.88 22.26 18.80 17.87 Mid Cap Equity Mid Cap-Broad Style 20.6!8.67 16.81 16.61 18.13 16.37 Mid Cap—Growth Style 26.25 16.95 16.71 16.59 19.50 16.01 Mid Cap—Value Style 16.71 0.31 17.29 16.67 16.76 16.38 CAl Medium Cap Index 19.97 12.40 20.73 17.83 16.67 15.99 S&P MidCap 400 28.19 19.11 23.37 18.84 19.29 17.35 Small Cap Equity Small Cap—B road Style 18./I -2.84 14.75 14.85 17.23 14.88 Small Cap—Growth Style 23.77 5.86 11.59 15.51 19.22 14.81 Small Cap-Value Style 13.30 -5.31 16.49 14.70 15.47 15.57 CAL Small Cap Index 19.31 4.07 14.47 13.98 14.63 13.65 CAL Micro Cap Index 14.64 -4.23 12.26 13.38 13.30 11.02 S&P600SmalICapIndex 17.60 -1.30 14.57 13.23 13.19 10.63 Russell 2000 16.31 -2.55 11.59 11.87 12.92 11.22 NASDAQ 29.57 40.18 28.22 23.83 20.38 16.22 CAl Broad Market Sectors55 Basic Materials 3.94 -7.58 4.77 7.27 9.56 11.00 Capital Goods 20.77 12.24 21.83 18.64 15.48 14.81 Communication Services 29.43 50.58 ———— Consumer Cyclical 29.33 26.69 23.90 15.26 15.96 15.99 Consumer Staples 22.45 18.75 23.22 24.12 20.74 21.29 Energy -0.39 -4.56 14.79 14.69 13.05 13.35 Financials 21.46 9.17 30.46 26.50 21.21 18.25 Health Care 16.06 39.95 ———— Utilities 2.95 11.29 14.32 13.58 14.14 15.56 Technology 37.20 67.49 37.57 33.15 21.54 15.76 Transportation 14.69 -3.30 12.93 10.54 13.43 12.29 *Returns less than one year are not annualized. •~The economic sectors were reorganized to eliminate the Miscellaneous sector in performance measurements alter June 30.1996.As part of this reorganization.two new sectors.Communication Services and Health Care Services,were created.Consequently,sector comparisons of time periods beginning prior to June 30.1996.with time periods beginning alter that date may not be valid. U.S.Equity Index Characteristics as of December 31,1998 Callan Callan Callan Callan Callan S&P Broad Large Medium Small Micro 500 Cap Ranges (SMM)345—345,828 14,468—345,828 3,7 17—14.365 345—3,715 77—353 487—345.828 #Issues 2,000 150 350 1.500 1,000 500 %of Callan Broad 100%64%21%15%N/A N/A Wtd Avg Mkt Cap S72.7 B SI 10.2 B SI 1.3 B $2.7 B $0.4 B $86.6 B Price/Book Ratio 848 %960 %722 %549 %403 %860 % PIE Ratio (forecasted)26.9 29.4 22.2 22.0 20.1 27.7 Dividend Yield 1.3 %1.3 %1.4 %1.0 %0.7 %1.4% 5-YrEamings (forecasted)15.7%15.0%15.7%18.6%20.7%.14.7% Asofianuarv I,1999 CAPITAL MARKET REVIEW APPENDIX B A PUBLICATION OF CALLAN ASSOCIATES INC.FOURTh QUARTER 1998 U.S.FIXED INCOME Style Median and Index Returns*for Periods Ended December 31,1998 Last Last Last 3 Last 5 Last 10 Last 15 Quarter Year Years Years Years Years Broad Fixed-Income Active Duration Style 0.11 9.67 7.39 7.19 9.40 10.56 Core Bond Style 0.31 865 7.38 7.42 9.48 10.55 LB Aggregate 0.34 8.70 7.29 7.27 9.26 10.31 LB Govt/Corp 0.13 9.47 7.33 7.30 9.33 10.27 LBCorp 0.60 8.58 7.33 7.74 9.86 11.08 LB Govt -0.08 9.85 7.36 7.19 9.17 10.01 SB Broad Investment Grade 0.41 8.72 7.29 7.30 9.31 10.35 Long Term E.~zended Maturity Style -0.05 12.18 8.95 9.41 11.80 12.29 LBGov/CorpLong -0.23 11.77 8.63 9.13 I1.30 12.47 LB Gov Long -0.90 12.96 8.85 9.27 11.50 12.58 LB Corp Long 0.92 9.04 8.14 8.80 10.90 12.22 SB High Grade 0.86 10.74 8.25 8.75 10.86 12.22 Intermediate Term Intermediate Style 0.33 8.25 6.90 6.69 8.70 9.70 LB Gov/Corp Intermediate 0.29 8.44 6.77 6.6!8.52 9.36 LB Gov Intermediate 0.25 8.49 6.74 6.45 8.34 9.20 LB Corp Intermediate 0.41 8.29 6.85 7.16 9.19 9.99 Short Term Defensive Style 0.81 6.89 6.24 6.02 7.68 8.82 Active Cash Style 1.18 5.89 5.80 5.59 6.49 7.20 Money Market Funds (net offees)1.17 5.03 ~‘5.03 4.87 5.27 — MLTreasury 1-3 Year 0.76 6.99 6.20 5.99 7.37 8.22 90-dayTreasuryBills 1.13 5.25 5.27 5.17 5.49 6.17 High Yield CA!High Yield Style 3.35 2.46 10.09 9.26 11.57 11.78 LB Corp High Yield 2.13 1.87 8.55 8.57 10.55 11.64 ML High Yield Master 2.87 3.66 9.I0 9.01 11.08 — First Boston High YieLd 2.74 0.57 8.38 8.16 10.74 11.86 Mortgage/Asset-Backed CA!Mortgages Style 0.79 7.41 7.49 7.44 9.51 10.87 LB Mortgage-Backed Securities 0.80 6.97 7.26 7.24 9.12 10.4~ LB Asset-Backed Securities 0.40 7.76 6.73 6.67 —— Inflation Consumer Price Index 0.31 1.58 2.12 2.32 3.03 3.13 Producer Price Index -0.97 -3.24 -0.80 0.68 1.19 1.22 •Returns less than one year are not annualized. U.S.Fixed-Income Index Characteristics as of December 31,1998 Yield Modified AdJ.Average %of %of Lehman Brothers Indices To Worst Duration Maturity LB GIC LB Aggregate LB Aggregate 5.65 %4.44 8.64 Yrs.100.00 %100.00 % LB Govt/Corp 5.35 5.58 10.32 100.00 68.16 Intermediate 5.12 3.37 4.37 68.46 46.66 Long Term 5.83 10.40 23.25 31.54 21.50 LBGovt 4.97 5.38 9.13 67.97 46.33 LB Corp 6.15 6.03 12.85 32.03 21.83 LB Mortgage 6.33 1.95 5.09 --30.69 LB Asset-Backed Securities 5.67 3.14 3.80 --1.15 LB Corp High Yield 10.53 4.64 8.19 ---- 4 CAPiTAL MARKEF REVIEW A PUBLICATION OF CALLAN ASSOCIATES INC. INTERNATIONAL EQUITY APPENDIX C FOURTh QUARTER 1998 Style Median and Index Retums*for Periods Ended December 31,1998 Return Attribution for EAFE Countries for Quarter Ended December 31,1998 Country (by weight)Total Local Currency Japan 26.83%5.11%20.66% United Kingdom 14.34 16.79 -2.10 Germany 12.29 11.90 0.35 France 22.10 21.70 0.33 Switzerland 24.05 23.09 0.78 Netherlands 20.76 20.23 0.44 Italy 27.12 26.85 0.21 Spain 28.33 28.00 0.26 Sweden 14.71 18.68 -3.35 Australia 14.41 10.47 3.57 Honk Kong 30.68 30.66 0.02 Belgium 22.91 22.43 0.39 Finland 41.66 40.96 0.50 Denmark 12.72 12.89 -0.15 Portugal 15.64 15.10 0.47 Singapore 40.30 37.41 2.10 Ireland 23.15 23.44 -0.23 Norway 3.48 6.52 -2.85 Austria 8.29 7.92 0.34 ewZealand 20.45 14.12 5.55 Sweden 2.e..- Spain 3.4% Germany 10.7% Last Last Last 3 Last 5 Last 10 Last 15 Quarter Year Years Years Years Years International Equity Global Srjle 19.74 18.8!/6.45 Non-U.S.Style 17.83 15.94 12.10 Core Style 18.05 16.75 11.48 Top Down Style 18.93 19.97 12.34 Bottom Up Style 17.07 14.56 11.49 MSCI EAFE—Unhedged 20.66 20.00 9.01 MSCI EAFE—Local 16.14 12.28 12.36 MSCI EAFE cx Japan—Unhedged 19.06 25.04 20.13 MSCI EAFE cx Japan—Local 19.46 19.72 23.19 MSCI World—Unhedged 21.11 24.33 17.77 MSCI World—Local 18.99 20.67 19.89 Pacific Equity Pacific Basin Style 22.43 1.07 -7.72 Japan Style 26.17 10.58 -11.32 PaciflcRim Style 25.00 -7.15 -11.69 MSCI Pacific—Unhedged 26.11 2.45 -11.30 MSCI Pacific—Local 8.13 -7.75 -8.18 MSCI Japan—Unhedged 26.83 5.04 -12.17 MSCI Japan—Local 5.11 -8.87 -9.51 Europe Equity Europe Style 17.93 27.08 24.76 MSCI Europe—Unhedged 18.72 28.51 24.43 MSCI Europe—Local 19.37 22.30 27.49 Emerging Markets Emerging Markers Database 14.63 -24.42 -6.24 MSCI Emerging Market Free 17.99 -25.34 -11.21 •Returns less than one year are not annualized. /0.15 10.48 /5.6/ 9.85 10.33 /5.64 10.64 10.28 16.37 10.37 10.72 15.15 9.20 5.54 14.67 8.76 5.50 11.24 15.54 14.30 17.46 14.32 14.71 15.03 15.68 10.66 15.09 15.34 10.69 13.22 ~4.0I 2.51 11.23 -3.89 0.04 9.68 -7.58 10.24 11.89 -4.14 -3.93 9.39 -3.61 -4.37 5.78 -3.70 -5.33 9.17 -3.49 -6.31 4.07 19.51 16.05 19.73 19.10 15.22 18.54 17.40 15.54 16.24 -6.36 15.93 -9.27 10.95 Country Weights—EAFE For Quarter Ended December 31,1998 New Zealand 0.29ir~ Austria 0.3% Norway 0.4%~ Ireland Denmark 0.9%-~-~ Finland l.691,i Belgium 1.9%~ Hong Kong 2.1 Australia 2.6%I Italy 5.2... ~ Netherlands 6.5%~ Switzerland 8.1% 4 CAPITAL MARKET REVIEW A PUBLICATION OF CALLAN ASSOCIATES INC. INTERNATIONAL FIXED INCOME Style Median and Index Returns*for Periods Ended December 31,1998 Emerging Markets Fixed JPM Emerg Mkts Bond Index SB Brady Bond Index Style Median and Index Retums*for Periods Ended December 31,1998 APPENDD(D FOURTh QUARTER 1998 Global Fixed Global Style SB World Govt—Unhcdged SB World Govt—Local Non-U.S.Fixed Non-U.S.Sryle SB Non-U.S.Govt—Unhedged SB Non-U.S.Govt-Local Last Quarter 3.19 3.55 0.0I 4.89 5.27 0.08 9.92 8.63 Last Year 14.63 15.30 9.42 17.27 17.79 9.13 -15.69 -6.96 Last 3 Years 7.46 6.20 8.61 6.73 5.49 9.21 9.90 13.53 Last 10 Last 15 Years Years 9.80 12.99 8.96 — 9.26 — 10.19 13.44 8.79 — 9.05 — Last S Years 7.89 7.84 7.69 807 8.26 7.91 6.47 9.16 Country Weights—SB Non-U.S.Govt For Quarter Ended December 31,1998 Ireland 0.5%’.. Portugal 0.6%..~\ Switzerland Austria Finland l.2%’— Sweden 2.O%~ Denmark 2.1%~ Belgium 3.9% Return Attribution for Non-U.S.Government Indices for Quarter Ended December 31,1998 Country (by weight)Total Local Currency** Japan 13.51%-5.94%20.66% Germany 2.09 1.74 0.35 France 2.33 1.99 0.33 Italy 3.17 2.95 0.21 United Kingdom 2.33 4.52 -2.10 Spain 3.02 2.75 0.26 Netherlands 2.09 1.64 0.44 Canada 0.94 1.58 -0.63 Belgium 2.42 2.01 0.39 Denmark 2.94 3.10 -0.15 Sweden 0.50 3.98 -3.35 Finland 3.03 2.52 0.50 Austria 2.45 2.10 0.34 Australia 5.08 1.46 3.57 Switzerland 2.95 2.15 . 0.78 Portugal 2.83 2.34 0.47 Ireland 2.54 2.78 -0.23 Canada 4.0% Netherlands 4.3%\ OTHER ASSET CLASSES Balanced Accounts Asset Allocator Style Domestic Balanced Database Global Balanced Database 60%S&P 500 +40%LB G/C Convertibles Convertibles Database First Boston Convertible Securities Real Estate Callan Real Esta~~e***(mean;net offees) (‘allan Real Estate REIT Database NAREIT Total Return •Returns less than one year are not annualized. **Derived from MSCI EAFE data Preliminary return Last Last Last 3 Last 5 Last 10 Last 15 Quarter Year Years Years Years Years 1521 19.44 18.39 16.21 14.84 14.77 11.66 /5.62 /6.74 15.0!14.42 14.20 10.93 14.39 14.16 12.17 12.82 14.31 12.83 21.63 19.91 17.37 15.39 15.10 11.23 11.98 15.64 /3.05 13.86 13.19 14.73 6.56 12.34 10.82 12.29 12.17 5.43 16.06 13.67 10.58 4.8!6.28 -1.53 .16.08 13.24 11.64 11.42 — -3.94 -19.12 9.28 9.24 8.58 8.25 MARKET OVERVIEW ACTIVE MANAGEMENT VS INDEX RETURNS Market Overview The charts below illustrate the range of returns across managers in Callans Separate Account database over the most recent one quarter and one year time periods.The database is broken down by asset class to illustrate the difference in returns across those asset classes.An appropriate index is also shown for each asset class for comparison purposes.As an example.the first bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter. The triangle represents the S&P 500 return.The number next to the triangle represents the ranking of the S&P 500 in the domestic equity manager database. :9).; bc; I0’A. 0th I~trc~nttk 2~ih Perc~niik M~di~in 75th I’erc~nIjI~ 9(Hh l~reenOk~ Index & Cnuniy S~tnut.tiinn I )isinct~OF ()ran~e Ciiuiity Range of Separate Account Manager Returns by Asset Class One Quarter Ended December 31,1998 ‘A I (.20 24.33 20.44 16(X) 11.3$ 20.50 19.32 17.$3 15.30 ‘3.93 Index A 21.30 1.24 044 0l’) 6.72 6.23 4 .$9 3.07 1.3’) 14.9$ 7.24 3.57 1.96 10th Percentile 25th Percentile Mediun 75th I’ercenhilc 90th Percentile U, 1) ‘.39 1.35 1.25 I.13 20.66 0.34 5.27 3.69 1.13 30” Range of Separate Account Manager Returns by Asset Class One Year Ended December 31,1998 20’~ 34.29 27.1)) 14.97 2.77 23.66 19.25 I 5.94 II 6$ 6$) 9 9’) $37 .7 ,~ 20.0! l$.44 17.27 (3.’’) 9.66 20(X) 25.$3 (4.45 11.42 7.54 6-42 6.1)2 5.74 5.36 4.9$ ‘7.7’)17.11 5.25 DOMESTIC FIXED-INCOME Active Management Overview Separate Account Style Group Median Returns for Quarter Ended December 31,1998 3.35% 1.18% --I 0.11% Active Deleasive Cash Intermed Cure Bond Cure Plus Extended Maturity AcIiv~ Duration Mitea~e l3acked Hii~h Yield Separate Account Style Group Median Returns for One Year Ended December 31,1998 (~uiitv Sanitation I )isIncts Dl Oran~e County Active Management vs the lnde~ Fixed Income markets had an impressive return of 8.70’7c for calendar year 1998.as represented by the Lehman Brothers Aggregate Benchmark.Performance for the fourth quarter was rather flat,with shorter duration managers generally outperforming longer duration managers.Core Bond and Active Duration Managers slightly lagged the Aggregate Index,but fared better relative to the Govt/Corp Index that excludes mortgages.The renewed exuberance in the stock market during the fourth quarter contributed to a healthy 3.35%return for high yield.The high yield sector also contributed to Core Plus Managers outperformance for the quarter. Short Duration vs Long As opposed to what happened in the third quarter.flight from quality in the fourth quarter narrowed credit spreads and pushed rates up for high quality issues.Extended Maturity managers experienced slight losses as U.S.interest rates increased across the yield curve.As a result.the yield on the 30-year Treasury bond (which moves in the opposite direction of its price)rose from below 5%to 5.3%. Mortgages and High Yield During the fourth quarter.the median Mortgage Backed manager returned 0.79%.while the High Yield median manager returned 3.35%.Increasing interest rates cooled fears of prepayments.causing investors to regain confidence in these holdings.High Yield managers benefited from a positive earnings outlook which inspired investors to take on credit risk. Lehman At~2regate: Lehman Govt/Corp:0.l3~ I I I0’~ l5~.I I)47q C,, l.ehman i\i~gregate: l.chman Govt/Corp: ‘U 0. 7.41% A~tivc Delensive lniermed Core Core Lxtended Active Mort~a’e Hi”h Cash Itond Plus Maturny l)uration Hackcd Yic?ld 2.46% Asset Class Risk and Return The charts below show the three and one-quarter year annualized risk and return for each asset class component of the Total Fund.The first graph contrasts these values with those of the appropriate index for each asset class.The second chart contrasts them with the risk and return of the median portfolio in each of the CAL Total Asset Class Databases.In each case,the crosshairs on the chart represent the return and risk of the Total Fund. Three And One-Quarter Year Annualized Risk vs Return Asset Classes vs Benchmark Indices 75r;. ~hi~aI I)tunislic I-tx~d-tnLImc 7.0%.hrnau I3r~itliers I —Svr_th~viit’~~rrJ.~..4 II.CtrpI(:i’v I-S I ~~tIIl.vn~h l-3vrGuvl/C~~rp 5.5% ~j_~)()Day i-Bills 5.0% 0.0%1.0%,1.5% Standard Deviation Three And One-Quarter Year Annualized Risk vs Return Asset Classes vs Asset Class Median 7.5% 7.0% ~lotal I).,meslte I ixed-Incume 6.5% Siyle } 5 Sc) .C.~I ~4I)flCy Mkt 1)11 4.5’!., o.o’;;0.2%0.4%(1.6%o.~c;.1.0%I ic;1.4’.;I .oc I .~ci 2.oc;12%.~-~c~i Standard Deviation County S.u~iuiiuii I)istricts 01.Orange Ciiunty Investment Manager Asset Allocation The table below contrasts the distribution of assets across the Fund’s investment managers as of December 31,1998,with the distribution as of September 30,1998. Asset Distribution Across Investment Managers Total Fund December 31,1998 Market Value Percent September 30,1998 1~A~rIrpt Value Percent 1~1 Ed Domestic Fixed Income $322,780,682 100.0%$300,788,519 100.0% Long Term Operating Fund 304,174,252 94.2%282,425,419 93.9% Liquid Operating Monies 18,606,430 5.8%18,363,100 6.1% $322,780,682 100.0%$300,788,519 100.0% Cuunty Sanilalii,n Disirius or Orange Courny Investment Manager Returns The table below details the rates of return for the plan’s investment managers over various time periods ended December 31,1998.Negative returns are shown in red, positive returns in black.Returns for one year or greater are annualized.The first set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class. Returns for Periods Ended December 31,1998 Last Last 2 3 3-1/4 Quarter Year Years Years Years Domestic Fixed Income 0.65%7.92%7.69%6.74%7.13% Long Term Operating Fund 0.60%8.05%7.81 %6.72%7.22% Liquid Operating Monies 1.32%5.68%5.65%5.59%5.63% Liquid Operating Monies (1)1.29%5.53%5.49%5.43%5.47% Market Indicators LB 1-5yrGovtlCorp 0.54%7.63%7.48%6.57%6.99% ML 1-3yr Govt/Corp 0.82%7.00%6.85%6.26%6.57% ML 1-5yr Govt/Corp 0.55%7.69%7.42%6.47%6.92% Treasury Bills 1.13%5.25%5.29%5.27%5.28% Total Fund 0.65%7.92%7.69%6.74%7.13% (I)Net of Fees. PCiuntySanitationI)isiñ~ts 0 Orange County PIMCO-LIQUID OPERATING MONEY PERIOD ENDED DECEMBER 31.1998 Investment Philosophy I The Money Market Funds Database consists of actively managed short term funds.These funds invest in low-n L highly liquid,short-term tinancial instruments. Ed Quarterly Summary and Highlights •PIMCO-Liquid Operating Money’s portfolio posted a 1.32%return for the quarter placing it in the I percentile of the CA!Ft -Money N’lkt Fds DB group for the quarter and in the I percentile for the last year. •PIMCO-Liquid Operating Money’s portfolio outperformed the 90 Day T-Bills by 0.20%for the quarter and outperformed the 90 Day T-Bills for the year by 0.43%. Quarterly Asset Growth Beginning Market Value $18.363.100 Net New Investment S-9 Investment Gains/(Losses)$243.34() Ending Market Value $1 8.606.430 Performance vs CAL Fl -Money Mkt Fds DB 7’; 5’; 4% 3% 26 •_________ uI~)23S (21 — _________ It(S) I ~:~: Last Quarter Last Year Last?Years Last 3 Years Last 3-1/4 Years 10th Percentik 25th Percentile Median 75th Petvcntilc 90th Percernile 1.27 1.22 1(7 1.10 1.02 5.-fl 5.25 5.1)3 4.Sl 4.59 5.44 5.27 5.06 4.~4 4.62 5.39 5.23 5.03 4.52 4.62 5.42 5.26 5.1)6 4.55 4.65 PIMCO-Liquid Operating Money •.\ Ne ol Iees ull 1.32 1.29 5.6S 553 5.65 5.49 5.59 5.43 5.63 5.47 90 Day T-Rit(s *5.25 5.29 Relative Return vs 90 Day T-Bills 5.27 5.25 —I ~1 CA!F!-Money Mkt Fds DB Annualized Three And One-~uarter Year Risk vs Returr 6.0% ç çr~ 5.0’:; 4.5’S. -u 4.0’.; 3.5% •PIMCO-I.iquid Operating Money 0.(X)rO.05~,0.l0’,O.I 5’O.20’.O.25’.O.30’.o.35.o.40’:o.45c0.50’;O.55% Standard Deviation County Sanitation I )istt’ict~1)1 ()rante County PIMCO-LONG TERM OPERATING FUND PERIOD ENDED DECEMBER 31,1998 Investment Philosophy Defensive Style managers aim to minimize interest rate risk by investing predominantly in short to intermediate L term securities.The average portfolio maturity is typically t~o to five years. Relative Return vs NIL Corp/Gov 1-5 I ~iiiIiiiiIiII I __ ll.196 -Th Quarterly Asset Growth Beginning Market Value SS2.425.4l~) Net New Investment 519.999.919 Investment Gains/(Losses)Sl.748.914 Ending Market Value S304.l74.252 CAl Fl -Defensive Style Annualized Three And One-Quarter Year Risk vs Return Quarterly Summary and Highlights •PIMCO-Long Term Operating Funds portfolio posted a 0.60%return for the quarter placing it in the 85 percentile of the CA!Fl -Defensive Style group f~r the quarter and in the 6 percentile for the last year. •PIMCO-Long Term Operating Funds portfolio outperformed the ML Corp/Go~1-5 by 0.06%for the quarter and outperformed the ML Corp/Gov I-S for the year by 0.37%. Performance vs CAl Fl -Defensive Style •(~ (131.A I),.; 7.:~ 1’1 0th Perccniih 25th Pero~ntik Midian 75th P~r~xniil~ ‘)Oih Percenulc PIMCO-Lnng Term Operating Fund • MLCtirpfGov I-S a (25)A Ii), 116A I2IliA •ii:~ ($9)~IIs,) Last Quarter 1.07 0.9$ 0.$l 0.66 0.55 Last 2 YearsLastYear 7.9() 7.29 6.59 6.71) 6.15 Last 3 Years Last 3-114 Years 7.51 6.52 734 7.04 6.45 6.52 6.56 6.24 6.59 6.6’)6.16 6.49 6.2$5.93 6.25 0.61)5.05 6.72 7.22 •PIMCO-I.ong I~rm 0pcratin~lund Standard Deviation Ci~untv 5~iniotii’n I )ktricts 01.0ran~c C~untv ¼~scl R~ickcd All Statistics shown on the paUc are dependent on the securities in the portfolio being recognized (by their Cusip)I and priced.In this case 97’7c ot ~iie securities in the porttolio (by market value)were recognized and priced. C~iuuiy Sanitaliirn I)isiricls 01’()raii.~c CoUrny LONG TERM OPERATING FUND PORTFOLIO CHARACTERISTICS SUMMARY DECEMBER 31,1998. Portfolio Structure Comparison”~ - The charts below compare the structure of !he portfolio to that of the index from the three perspectives that have the greatest influence on return.The first chart compares the two portfolios across the different sectors.The second chart L compares the duration distribution (or term structure).The last chart compares the distribution across quality cells. ‘Ire Ed Sector Allocation Treasuries I CMOs Corpiraies Long Term Operating Fund Duration Distribution Cor~irates 22’ Lehman Government/Corporate 1-5 30’:; .2 25cc 20’:. 15% U I ‘-I ...59 21.7% • 12.5~i~i 15.5% ~6%j ET~ Weighted Average Duration —i •Long Term Operating Fund:2.79 ~_Lehman Government/Corporate 1-5:2.35 19.0%L :11.6% 1 16.3% 4.6% <1.0 1.0-1.5 1.5-2.0 2.0—2.5 2.5—3.0 Years Duration Quality Distribution U p. 1009 ~ L.__27.52~ 4~I~~’ 3.0-3.5 3.5-4.0 4.0+ Weighted Average Quality -~I Long Term Operating Fund:Aaa E Lehman Government/Corporate 1-5:Aaa 4 1 10.6% 1.9%0 3%1.4%3.4~4.6~2.8%2.8%8.0%4 %3.4%2.4% Aa~AaI Aa2 Aa3 ~\l A2 Moodys Rating 2 3% <A3 LONG TERM OPERATING FUND PORTFOLIO CHARACTERISTICS DETAIL DECEMBER31,1998 $5.028.I00 1.6%6.39 52.519.375 0.8%6.36 5991.000 0.3%6.04 53.999.360 13’7 5.35 S3.097.140 1.0%.5.25 *M~ket Value shown does not include payables and receivables. All Statistics shown on the page are dependent on the securities in the portfolio being recognized (by their Cusip and priced.In this case 97q~of the securities in the portfolio (by market value)were recognized and priced. Weighted Average Portfolio Characteristics Total Fund,By Asset Class and By Sector Ending Percent Market i~f Effective Effective OA OA V~iIii,.*Pi,rttnli..,(‘,IIIn.,n ~~~turitv Yield Duration Convexity Oualiiv Total Fund 5319.238.455 100.0%6.49 5.87 5.12 2.79 l0.lih Asa Asset ltacked $6.M6.236 •2.1%5.43 I).l)l 5.42 1)17 0.08 Aaa Agencies 547.636.160 •I4.9’4 6.32 5.15 5.15 3.f~4 0.03 Aaa+ CMOs 59.442.955 •3.0%6.24 21.32 5.9’)5.36 0.02 Aaa+ Curporates $76.479.983•24.0%6.3t)2.14 5.43 1.90 0.07 Al Mongages 539.421.208.12.3%6.61 l’),SS 6.03 2.78 L4~Aau+ Treasuries 5123.053.256 •38.5’7.6.93 3.88 4.59 3.30 0.16 Aaa+ Total Fixed-Income 5302.679.799 94.8%6.58 6.18 5.14 2.93 10.11 Aaa Cash Equivalents 516.558.656 •5.2%4.80 0.25 4.80 0.25 0.00 Asa 5 Largest Holdings Issuer Name Issue Name Ending Percent Market ~ Sector Value Portfolio Effective Yield OA OA Duration Convexity Quality Uniicd States Trcas Nts Ni 6.375%09/3tW2(X)l D Treasuries 532.878.125 10.3%4.&(2.47 0.08 Aau+ Federal Nail Mtg A.ssn Mcdi Did 03127/1997 Agencies 519.911.430 6.2%5.10 2.85 0.10 Aaa+ United Slates Treas Mis Ni 7.50%11/15/2001 Treasuries 518.387.801 5.8%4.66 2.56 0.08 Aaa+ United States Treas Mis Ni 6.50%05/31/2002 Treasuries 516.998.058 5.3%.4.70 3.04 0.11 Aaa+ Fhlm Pool #g50476 Mpt 7%02101/03 Morigages 514.942.291 4.7%5.69 1.49 ~Aaa+ 5 Lowest Rated Holdings (Moody’s Rating) Issuer Name Issue Name Sector Ending Market Value Percent of Portfolio Effective Yield OA OA Duration Convexity Quality Lehman Brothers Hldss Inc Ni 6.65%I t/0S/2000Lry C,,rr.ites 1.68 0.04 Baul Lehman Brothers Hldgs Inc Ni 6.4%8/30/2000 Corporates 1.52 0.03 BaaI Hcllcr FinI Inc Medium Ter Tranche #Tr 00225 D Corpor.ites 2.46 0.08 A3 Hcllcr FinI Inc FItg 6/0112000 Corporates 1.32 0.02 A3 Gen Mtrs Acccp Corp #00231 Mm 8.62S’7c 1/10/2000 Corporates 0.96 0.01 A3 5 Longest Duration Holdings Ending Percent Market of Effective OA OA Issuer Name Issue Name Sector Value Portfolio Yield Duration Convexity Quality Federal Home Ln Mt~Corp M Set 1620 CI 1620-/is G CMOS 52.122.492 0.7%6.36 11.20 (~2 I Aaa+ United Stales Treas Nts Nt 3.375%1/15/2007 Treasuries $l0.005.056 3.1%3.87 6.83 0.54 Aaa+ United States Treas Bds Deb 13.25%05/15/14 Treasuries 54.138.275 1.3%5.39 6.69 0.60 Aaa+ Ford Mit Cr Co Flig 812712001 Corporatcs 51.995.000 0.6’7..5.21 6.16 0.46 Al Gnma Thu Mpt 6.0%3Oyr Thu Morigages 56.195.313 1.9%6.18 5.94 I ..~Aaa’+ 5 Holdings with Highest Effect Yield Ending Percent Market of F.tTe~tive ()A OA Issuer Name Issue Name Sector Value Portfolio Yield Duration Convexity Oualitw l.ehman ltr.~Ihers Hldgs Inc Nt 6.65%I I/08/20(X)try Ci~rporates S5.()28.l(X1 1.6%6.3’)1.68 0.04 Raal I.ehman Brothers HIdt~s Inc Ni 6.4%8/30/2(88)Corporaics 52.519.375 0.8%.6.36 1.52 0.03 Haul (;nma Thu Mpl 6.5%3oyrTha Mi>rigages SIO.606.68()3.3%6.36 4.18 4-ti Aau+ Federal Hons~Ln Mtg Corp M Set 1621)CI 1620-/is G CMOs 52.122.492 (1.7%6.36 11.2(1 ((.72,Aaa+ Commit To Put Fnma 11th l)i 6.150%01/25/2029 Moflsages 54.252.842 1.3%6.33 1(X)1.111,Aaa+ HCountySanitationl)isuncts or Orange County JI jL .U APPENDIX “G” - APPENDIX “G” SECTIONS OF THE CALIFORNIA GOVERNMENT CODE PERTINENT TO INVESTING PUBLIC FUNDS INTRODUCTION A requirement of Section 8,Authorized and Suitable Investments,of the District’s Investment Policy Statement,is that all investments shall be made in accordance with the California Government Code, including Section 16429.1 et seq.,and 5360 et seq.,and 53684.This appendix presents a copy of these sections for the reader’s reference. GOVERNMENT CODE SECTION 16429.1-16429.3 16429.1.There is in the State Treasury the Local Agency Investment Fund,which fund Is hereby created.Notwithstanding Section 13340,all money in the fund is hereby appropriated without regard to fiscal years to carry out the purpose of this section.The Controller shall maintain a separate account for each governmental unit having deposits In this fund. Notwithstanding any other provisions of law,a local governmental official,with the consent of the governing body of that agency,having money in its treasury not required for immediate needs,may remit the money to the Treasurer for deposit in the Local Agency Investment Fund for the purpose of investment. Notwithstanding any other provisions of law,an officer of any nonprofit corporation whose membership is confined to public agencies or public officials,or an officer of a qualified quasi-governmental agency,with the consent of the governing body of that agency,having money in its treasury not required for immediate needs,may remit the money to the Treasurer for deposit in the Local Agency Investment Fund for the purpose of investment. Notwithstanding any other provision of law or of this section,a local agency,with the approval of its governing body,may deposit in the Local Agency Investment Fund proceeds of the issuance of bonds, notes,certificates of participation,or other evidences of indebtedness of the agency pending expenditure of the proceeds for the authorized purpose of their Issuance.In connection with these deposits of proceeds,the Local Agency Investment Fund is authorized to receive and disburse moneys,and to provide information,directly with or to an authorized officer of a trustee or fiscal agent engaged by the local agency,the Local Agency Investment Fund is authorized to hold investments in the name and for the account of that trustee or fiscal agent,and the Controller shall maintain a separate account for each deposit of proceeds. The local governmental unit,the nonprofit corporation,or the quasi-governmental agency has the exdusive determination of the length of time its money will be on deposit with the Treasurer.The trustee or fiscal agent of the local governmental unit has the exdusive determination of the length of time proceeds from the issuance of bonds will be on deposit with the Treasurer. The Local Investment Advisory Board shall determine those quasi-governmental agencies which qualify to participate in the Local Agency Investment Fund.The Treasurer may refuse to accept deposits into the fund if,in the judgment of the Treasurer,the deposit would adversely affect the state’s portfolio. I The Treasurer may invest the money of the fund in securities prescribed in Section 16430.The Treasurer may elect to have the money of the fund invested through the Surplus Money Investment Fund as provided in Article 4 (commencing with Section 16470)of Chapter 3 of Part 2 of Division 4 of Title 2. Money in the fund shall be invested to achieve the objective of the fund which is to realize the maximum return consistent with safe and prudent treasury management.All instruments of title of all investments of the fund shall remain in the Treasureras vault or be held in safekeeping under control of the Treasurer in any federal reserve bank,or any branch thereof,or the Federal Home Loan Bank of San Francisco,with any trust company,or the trust department of any state or national bank. Immediately at the condusion of each calendar quarter,all interest earned and other increment derived from investments shall be distributed by the Controller to the contributing governmental units or trustees or fiscal agents,nonprofit corporations,and quasi-governmental agencies in amounts directly proportionate to the respective amounts deposited in the Local Agency Investment Fund and the length of time the amounts remained therein.An amount equal to the reasonable costs incurred In carrying out the provisions of this section,not to exceed a maximum of one-half of 1 percent of the earnings of this fund, shall be deducted from the earnings prior to distnbution.The amount of this deduction shall be credited as reimbursements to the state agencies having incurred costs in carrying out the provisions of this section. The Treasurer shall prepare for distribution a monthly report of investments made during the preceding month. As used in this section,“local agency,”“local governmental unit,”and local governmental official” includes a campus or other unit and an official,respectively,of the California State University who deposits moneys in funds described in Sections 89721,89722,and 89725 of the Education Code. 16429.2.There is created the Local Investment Advisory Board consisting of five members.The chaimian shall be the State Treasurer or his or her designated representative.Two members who are qualified by training and experience in the field of investment or finance,shall be appointed by the State Treasurer.Two members who are treasurers,finance or fiscal officers or business managers,employed by any county,city or local district or municipal corporation of this state,shall be appointed by the Treasurer.The term of office of each appointed member of the board is two years,but each appointed member serves at the pleasure of the appointing authority.A vacancy in the appointed membership, occurring other than by expiration of term,shall be filled in the same manner as the original appointment, but for the unexpired term only. Members of the board who are not state officers or employees shall not receive a salary,but shall be entitled to a per diem allowance of fifty dollars ($50)for each day’s attendance at a meeting of the board, not to exceed three hundred dollars ($300)in any month.All members shall be entitled to reimbursement for expenses incurred in the performance of their duties under this part,including travel and other necessary expenses. The board’s primary purpose shall be to advise and assist the State Treasurer in formulating the investment and reinvestment of moneys in the Local Agency Investment Fund,and the acquisition, retention,management,and disposition of investments of the fund.The board,from time to time,shaH review those policies and advise therein as it considers necessary or desirable.The board shall advise the State Treasurer in the management of the fund and consult the State Treasurer on any matter relating to the investment and reinvestment of moneys in the fund. 16429.3.Moneys placed with the Treasurer for deposit in the Local Agency Investment Fund by cities, counties,special districts,nonprofit corporations,or qualified quasi-governmental agencies shall not be subject to either of the following:Transfer or loan pursuant to Sections 16310,16312,or 16313. Impoundment or seizure by any state official or state agency. 2 GOVERNMENT CODE SECTION 53600-53609 53600.As used in this article,“local agency”means county,city,city and county,including a chartered city or county,school district,community college district,public district,county board of education,county superintendent of schools,or any public or municipal corporation. 53600.3.Except as provided in subdivision (a)of Section 27000.3,all governing bodies of local agencies or persons authorized to make investment decisions on behalf of those local agencies investing public funds pursuant to this chapter are trustees and therefore fiduciaries subject to the prudent Investor standard.When investing,reinvesting,purchasing,acquiring,exchanging,selling,or managing public funds,a trustee shall act with care,skill,prudence,and diligence under the circumstances then prevailing, including,but not limited to,the general economic conditions and the anticipated needs of the agency, that a prudent person acting in a like capacity and familiarity with those matters would use in the conduct of funds of a like character and with like aims,to safeguard the principal and maintain the liquidity needs of the agency.Within the limitations of this section and considering individual investments as part of an overall strategy,investments may be acquired as authorized by law. 53600.5.When investing,reinvesting,purchasing,acquiring,exchanging,selling,or managing public funds,the primary objective of a trustee shall be to safeguard the principal of the funds under its control. The secondary objective shall be to meet the liquidity needs of the depositor.The third objective shall be to achieve a return on the funds under its control. 53600.6.The Legislature hereby finds that the solvency and creditworthiness of each individual local agency can impact the solvency and creditworthiness of the state and other local agencies within the state.Therefore,to protect the solvency and creditworthiness of the state and all of its political subdivisions,the Legislature hereby declares that the deposit and investment of public funds by local officials and local agencies is an issue of statewide concern. 53601.The legislative body of a local agency having money in a sinking fund of,or surplus money in,its treasury not required for the immediate needs of the local agency may Invest any portion of the money that it deems wise or expedient in those investments set forth below.A local agency purchasing or obtaining any securities prescribed in this section,in a negotiable,bearer,registered,or nonregistered format,shall require delivery of the securities to the local agency,induding those purchased for the agency by financial advisors,consultants,or managers using the agency’s funds,by book entry,physical delivery,or by third party custodial agreement.The transfer of securities to the counterparty bank’s customer book entry account may be used for book entry delivery.For purposes of this section “counterparty”means the other party to the transaction.A counterparty bank’s trust department or separate safekeeping department may be used for the physical delivery of the security if the security is held in the name of the local agency.Where this section specifies a percentage limitation for a particular category of investment,that percentage is applicable only at the date of purchase.Where this section does not specify a limitation on the term or remaining maturity at the time of the investment,no investment shall be made in any security,other than a security underlying a repurchase or reverse repurchase agreement authorized by this section,that at the time of the investment has a term remaining to maturity in excess of five years,unless the legislative body has granted express authority to make that investment either specifically or as a part of an investment program approved by the legislative body no less than three months prior to the investment: (a)Bonds issued by the local agency,induding bonds payable solely out of the revenues from a revenue-producing property owned,controlled,or operated by the local agency or by a department, board,agency,or authority of the local agency. 3 (b)United States Treasury notes,bonds,bills,or certificates of indebtedness,or those for which the faith and credit of the United States are pledged for the payment of principal and interest. (C)Registered state warrants or treasury notes or bonds of this state,including bonds payable solely out of the revenues from a revenue-producing property owned,controlled,or operated by the state or by a department,board,agency,or authority of the state. (d)Bonds,notes,warrants,or other evidences of indebtedness of any local agency within this state, including bonds payable solely out of the revenues from a revenue-producing property owned,controlled, or operated by the local agency,or by a department,board,agency,or authority of the local agency. (e)Obligations issued by banks for cooperatives,federal land banks,federal inteimediate credit banks, federal home loan banks,the Federal Home Loan Bank Board,the Tennessee Valley Authority,or in obligations,participations,or other Instruments of,or issued by,or fully guaranteed as to principal and interest by,the Federal National Mortgage Association;or in guaranteed portions of Small Business Administration notes;or in obligations,participations,or other instruments of,or issued by,a federal agency or a United States government-sponsored enterprise. (f)Bills of exchange or time drafts drawn on and accepted by a commercial bank,otherwise known as bankers acceptances.Purchases of bankers acceptances may not exceed 270 days maturity or 40 percent of the agency’s surplus money that may be invested pursuant to this section.However,no more than 30 percent of the agency’s surplus funds may be invested in the bankers acceptances of any one commercial bank pursuant to this section. This subdivision does not preclude a municipal utility district from investing any surplus money in its treasury in any manner authorized by the Municipal Utility District Ad (Division 6 (commencing with Section 11501)of the Public Utilities Code). (g)Commercial paper of ‘pnme’quality of the highest ranking or of the highest letter and numerical rating as provided for by Moody’s Investors Service,Inc.,or Standard and Poor’s Corporation.Eligible paper is further limited to issuing corporations that are organized and operating within the United States and having total assets in excess of five hundred million dollars ($500,000,000)and having an ‘A’or higher rating for the issuers debt,other than commercial paper,if any,as provided for by Moody’s Investors Service,Inc.,or Standard and Poor’s Corporation.Purchases of eligible commercial paper may not exceed 180 days maturity nor represent more than 10 percent of the outstanding paper of an issuing corporation.Purchases of commercial paper may not exceed 15 percent of the agency’s surplus money that may be invested pursuant to this section.An additional 15 percent,or a total of 30 percent of the agency’s surplus money,may be invested pursuant to this subdivision.The additional 15 percent may be so invested only if the dollar-weighted average maturity of the entire amount does not exceed 31 days. ‘Dollar-weighted average maturity’means the sum of the amount of each outstanding commercial paper investment multiplied by the number of days to maturity,divided by the total amount of outstanding commercial paper. (h)Negotiable certificates of deposits issued by a nationally or state-chartered bank or a state or federal association (as defined by Section 5102 of the Financial Code)or by a state-licensed branch of a foreign bank.Purchases of negotiable certificates of deposit may not exceed 30 percent of the agency’s surplus money which may be invested pursuant to this section.For purposes of this section,negotiable certificates of deposits do not come within Artide 2 (commencing with Section 53630),except that the amount so Invested shall be subject to the limitations of Section 53638. (i)(1)Investments In repurchase agreements or reverse repurchase agreements of any securities authorized by this section,as long as the agreements are subject to this subdivision,including,the delivery requirements specified in this section.(2)Investments in repurchase agreements may be made, on any investment authorized in this section,when the term of the agreement does not exceed one year. The market value of securities that underlay a repurchase agreement shall be valued at 102 percent or greater of the funds borrowed against those securities and the value shall be adjusted no less than quarterly.Since the market value of the underlying securities is subject to daily market fluctuations,the 4 investments in repurchase agreements shall be in compliance if the value of the underlying securities is brought back up to 102 percent no later than the next business day.(3)Reverse repurchase agreements may be utilized only when either of the following conditions are met:(A)The security was owned or specifically committed to purchase,by the local agency,prior to December 31 •1994,and was sold using a reverse repurchase agreement on December 31,1994.(B)The security to be sold on reverse repurchase agreement has been owned and fully paid for by the local agency for a minimum of 30 days prior to sale;the total of all reverse repurchase agreements on investments owned by the local agency not purchased or committed to purchase,prior to December 31,1994,does not exceed 20 percent of the base value of the portfolio;and the agreement does not exceed a term of 92 days,unless the agreement includes a written codicil guaranteeing a minimum earning or spread for the entire period between the sale of a security using a reverse repurchase agreement and the final maturity date of the same security. (4)After December 31,1994,a reverse repurchase agreement may not be entered into with securities not sold on a reverse repurchase agreement and purchased,or committed to purchase,prior to that date,as a means of financing or paying for the security sold on a reverse repurchase agreement,but may only be entered into with securities owned and previously paid for a minimum of 30 days prior to the settlement of the reverse repurchase agreement,in order to supplement the yield on securities owned and previously paid for or to provide funds for the immediate payment of a local agency obligation.Funds obtained or funds within the pool of an equivalent amount to that obtained from selkng a security to a counterparty by way of a reverse repurchase agreement,on securities originally purchased subsequent to December 31, 1994,shall not be used to purchase another security with a maturity longer than 92 days from the initial settlement date of the reverse repurchase agreement,unless the reverse repurchase agreement includes a wntten codicil guaranteeing a minimum earning or spread for the entire period between the sale of a security using a reverse repurchase agreement and the final maturity date of the same security.Reverse repurchase agreements specified in subparagraph (B)of paragraph (3)may not be entered into unless the percentage restrictions specified in that subparagraph are met,induding the total of any reverse repurchase agreements specified in subparagraph (A)of paragraph (3).(5)Investments In reverse repurchase agreements or similar investments in which the local agency sells securities prior to purchase with a simultaneous agreement to repurchase the security,may only be made upon prior approval of the governing body of the local agency and shall only be made with primary dealers of the Federal Reserve Bank of New York.(6)(A)“Repurchase agreement”means a purchase of securities by the local agency pursuant to an agreement by which the counterparty seller will repurchase the securities on or before a specified date and for a specified amount and the counterparty will deliver the underlying securities to the local agency.by book entry,physical delivery,or by third party custodial agreement.The transfer of underlying securities to the counterparty bank’s customer book-entry account may be used for book-entry delivery.(B)”Securities,”for purpose of repurchase under this subdivision,means securities of the same issuer,description,issue date,and maturity.(C)“Reverse repurchase agreement means,a sale of securities by the local agency pursuant to an agreement by which the local agency will repurchase the securities on or before a specified date and includes other comparable ‘agreements.(D)For purposes of this section,the base value of the local agency’s pool portfolio shall be that dollar amount obtained by totaling all cash balances placed in the pool by all pool participants,excluding any amounts obtained through selling securities by way of reverse repurchase agreements or other similar borrowing methods. (E)For purposes of this section,the spread is the difference between the cost of funds obtained using the reverse repurchase agreement and the earnings obtained on the reinvestment of the funds. (j)Medium-term notes of a maximum of five years maturity issued by corporations organized and operating within the United States or by depository institutions licensed by the United States or any state and operating within the United States.Notes eligible for investment under this subdivision shall be rated in a rating category of “A”or its equivalent or better by a nationally recognized rating service.Purchases of medium-term notes may not exceed 30 percent of the agency’s surplus money which may be invested pursuant to this section. Q)(1)Shares of beneficial interest issued by diversified management companies that invest in the securities and obligations as authorized by subdivisions (a)to (J),inclusive,or subdivisions (m)or (n)and that comply with the investment restrictions of this article and Article 2 (commencing with Section 53630). However,notwithstanding these restrictions,a counterparty to a reverse repurchase agreement is not required to be a primary dealer of the Federal Reserve Bank of New York if the company’s board of directors finds that the counterparty presents a minimal risk of default,and the value of the securities 5 underlying a repurchase agreement may be 100 percent of the sales price if the securities are marked to market daily.(2)Shares of beneficial interest issued by diversified management companies that are money market funds registered with the Securities and Exchange Commission under the Investment Company Act of 1940 (15 U.S.C.Sec.80a-1,et seq.).(3)If investment is in shares issued pursuant to paragraph (1),the company shall have met either of the following criteria:(A)Attained the highest ranking or the highest letter and numerical rating provided by not less than two nationally recognized statistical rating organizations.(B)Retained an investment adviser registered or exempt from registration with the Securities and Exchange Commission with not less than five years’experience investing in the securities and obligations authorized by subdivisions (a)to (j),inclusive,or subdivisions (m)or (n)and with assets under management in excess of five hundred million dollars ($500,000,000).(4)If investment is in shares issued pursuant to paragraph (2),the company shall have met either of the following criteria: (A)Attained the highest ranking or the highest letter and numerical rating provided by not less than two nationally recognized statistical rating organizations.(B)Retained an investment adviser registered or exempt from registration with the Secunties and Exchange Commission with not less than five years’ experience managing money market mutual funds with assets under management in excess of five hundred million dollars ($500,000,000).(5)The purchase price of shares of beneficial interest purchased pursuant to this subdivision shall not include any commission that the companies may charge and shall not exceed 20 percent of the agency’s surplus money that may be invested pursuant to this section. However,no more than 10 percent of the agency’s surplus funds may be invested in shares of beneficial interest of any one mutual fund pursuant to paragraph (1). (I)Notwithstanding anything to the contrary contained in this section,Section 53635,or any other provision of law,moneys held by a trustee or fiscal agent and pledged to the payment or security of bonds or other indebtedness,or obligations under a lease,installment sale,or other agreement of a local agency,or certificates of participation in those bonds,indebtedness,or lease installment sale,or other agreements,may be invested in accordance with the statutory provisions governing the issuance of those bonds,indebtedness,or lease installment sale,or other agreement,or to the extent not inconsistent therewith or if there are no specific statutory provisions,In accordance with the ordinance,resolution, Indenture,or agreement of the local agency providing for the issuance. (rn)Notes,bonds,or other obligations that are at all times secured by a valid first priority security interest in securities of the types listed by Section 53651 as eligible securities for the purpose of securing local agency deposits having a market value at least equal to that required by Section 53652 for the purpose of securing local agency deposits.The securities serving as collateral shall be placed by delivery or book entry into the custody of a trust company or the trust department of a bank which is not affiliated with the issuer of the secured obligation,and the security interest shall be perfected in accordance with the requirements of the Uniform Commercial Code or federal regulations applicable to the types of securities in which the security interest is granted. (n)Any mortgage passthrough security,collateralized mortgage obligation,mortgage-backed or other pay-through bond,equipment lease-backed certificate,consumer receivable passthrough certificate,or consumer receivable-backed bond of a maximum of five years maturity.Securities eligible for investment under this subdivision shall be issued by an issuer having an A or higher rating for the issuer’s debt as provided by a nationally recognized rating service and rated in a rating category of UAA~or its equivalent or better by a nationally recognized rating service.Purchase of securities authorized by this subdivision may not exceed 20 percent of the agency’s surplus money that may be invested pursuant to this section. 53601.1.The authority of a local agency to invest funds pursuant to Section 53601 indudes,in addition thereto,authority to invest in financial futures or financial option contracts in any of the investment categories enumerated in that section. 53601.5.The purchase by a local agency of any investment authorized pursuant to Section 53601 or 53601.1,not purchased directly from the issuer,shalt be purchased either from an institution licensed by the state as a broker-dealer,as defined in Section 25004 of the Corporations Code,or from a member of a federally regulated securities exchange,from a national or state-chartered bank,from a federal or state 6 association (as defined by Section 5102 of the Financial Code)or from a brokerage firm designated as a primary government dealer by the Federal Reserve bank. 53601.6.(a)A local agency shall not invest any funds pursuant to this artide in inverse floaters,range notes,or mortgage derived interest-only strips.(b)A local agency shall not invest any funds pursuant to this artide in any security that could result in zero interest accrual If held to maturity.However,a local agency may hold prohibited instruments until their maturity dates.The limitation in this subdivision shall not apply to local agency investments in shares of beneficial interest issued by diversified management companies registered under the Investment Company Act of 1940 (15 U.S.C.Sec.80a-1,and following) that are authorized for investment pursuant to subdivision (k)of Section 53601. 53602.The legislative body shall invest only in notes,bonds,bills,certificates of indebtedness,warrants, or registered warrants which are legal investments for savings banks in the State,provided,that the board of supervisors of a county may,by a four-fifths vote thereof,invest in notes,warrants or other evidences of indebtedness of public districts wholly or partly within the county,whether or not such notes, warrants,or other evidences of indebtedness are legal investments for savings banks. 53603.The legislative body may make the investment by direct purchase of any issue of eligible secunties at their original sale or after they have been issued. 53604.The legislative body may sell,or exchange for other eligible securities,and reinvest the proceeds of,the securities purchased. 53605.From time to time,the legislative body shall sell the securities so that the proceeds may be applied to the purposes for which the original purchase money was placed in the sinking fund or the treasury of the local agency. 53606.The bonds purchased,which were issued by the purchaser,may be canceled either in satisfaction or sinking fund obligations or otherwise.When canceled,they are no longer outstanding, unless in its discretion,the legislative body holds then uncanceled.While held uncanceled,the bonds may be resold. 53607.The authority of the legislative body to invest or to reinvest funds of a local agency,or to sell or exchange securities so purchased,may be delegated for a one-year period by the legislative body to the treasurer of the local agency,who shall thereafter assume full responsibility for those transactions until the delegation of authority is revoked or expires,and shall make a monthly report of those transactions to the legislative body.Subject to review,the legislative body may renew the delegation of authority pursuant to this section each year. 53608.The legislative body of a local agency may deposit for safekeeping with a federal or state association (as defined by Section 5102 of the Financial Code),a trust company or a state or national bank located within this state or with the Federal Reserve Bank of San Francisco or any branch thereof within this state,or with any Federal Reserve bank or with any state or national bank located in any city designated as a reserve city by the Board of Governors of the Federal Reserve System,the bonds,notes, bills,debentures,obligations,certificates of indebtedness,warrants,or other evidences of indebtedness in which the money of the local agency is invested pursuant to this artide or pursuant to other legislative authority.The local agency shall take from such financial institution a receipt for securities so deposited. The authority of the legislative body to deposit for safekeeping may be delegated by the legislative body 7 to the treasurer of the local agency;the treasurer shall not be responsible for securities delivered to and receipted for by a financial institution until they are withdrawn from the financial institution by the treasurer.53609.Notwithstanding the provisions of this chapter or any other provisions of this code, funds held by a local agency pursuant to a written agreement between the agency and employees of the agency to defer a portion of the compensation otherwise receivable by the agency’s employees and pursuant to a plan for such deferral as adopted by the governing body of the agency,may be invested in the types of investments set forth in Sections 53601 and 53602 of this code,and may additionally be invested in corporate stocks,bonds,and securities,mutual funds,savings and loan accounts,credit union accounts,life insurance policies,annuities,mortgages,deeds of trust,or other security interests in real or personal property.Nothing herein shall be construed to permit any type of investment prohibited by the Constitution. Deferred compensation funds are public pension or retirement funds for the purposes of Section 17 of Article XVI of the Constitution. GOVERNMENT CODE SECTION 53830-53686 53630.As used in this article: (a)“Local agency”means county,city,city and county,including a chartered city or county,a community college district,or other public agency or corporation in this state. (b)“Treasurer means treasurer of the local agency. (c)“Depository”means a state or national bank,savings association or federal association,a state or federal credit union,or a federally insured industrial loan company,in this state in which the moneys of a local agency are deposited. (d)“Agent of depository”means a trust company or trust department of a state or national bank located in this state,including the trust department of a depository where authorized,and the Federal Home Loan Bank of San Francisco,which is authorized to act as an agent of depository for the purposes of this article pursuant to Section 53657. (e)“Security”means any of the eligible securities or obligations listed in Section 53651. (f)“Pooled securities”means eligible securities held by an agent of depository for a depository and securing deposits of one or more local agencies. (g)“Administrator means the Administrator of Local Agency Security of the State of California. (h)“Savings association or federal association”means a savings association,savings and loan association,or savings bank as defined by Section 5102 of the Financial Code. (I)“Federally insured industrial loan company”means an industrial loan company licensed under Division 7 (commencing with Section 18000)of the Financial Code,the investment certificates of which are insured by the Federal Deposit Insurance Corporation. 53630.1.The Legislature hereby finds that the solvency and creditworthiness of each individual local agency can impact the solvency and creditworthiness of the state and other local agencies within the state.Therefore,to protect the solvency and creditworthiness of the state and all of its political subdivisions,the Legislature hereby declares that the deposit and investment of public funds by local officials and local agencies is an issue of statewide concern. -8 53630.5.(a)The definitions in Section 1700 of,and Chapter 1 (commencing with Section 99)of Division I of,the Financial Code apply to this section.(b)In this article,for purposes of being a depository of moneys belonging to or being in the custody of a local agency,the phrases “state or national bank located in this state,”“state or national bank,”“state or national bank in this state,”and “state or national banks in the state”include,without limitation,any of the following: (1)Any California branch office of a foreign (other state)state bank that the bank is authorized to maintain under the law of its domicile and federal law. (2)Any California branch office of a foreign (other state)national bank that the bank is authorized to maintain under federal law. (3)Any California branch office of a foreign (other nation)bank that the bank is licensed to maintain under Article 3 (commencing with Section 1750)of Chapter 13.5 of Division I of the Financial Code. (4)Any California federal branch of a foreign (other nation)bank that the bank is authorized to maintain under federal law. 53631.Under such conditions as the treasurer of a local agency fixes with the approval of the legislative body,he may deposit money necessary to pay the principal and interest of bonds in a bank within or without the State at the place where they are payable.This artide does not apply to deposits for such purposes. 53631.5.(a)A local agency shall not invest any funds pursuant to this article in inverse floaters,range notes,or interest-only stnps that are derived from a pool of mortgages.b)A local agency shall not Invest any funds pursuant to this article in any security that could result in zero interest accrual if held to maturity.However,a local agency may hold prohibited instruments until their maturity dates.The limitation in this subdivision shall not apply to local agency investments in shares of beneficial interest issued by diversified management companies registered under the Investment Company Ad of 1940 (15 U.S.C.Sec.80a-1,and following)that are authorized for investment pursuant to subdivision (k)of Section 53601. 53632.There are three classes of deposits: (a)Inactive deposits. (b)Active deposits. (C)Interest-bearing active deposits. 53632.5.There are three classes of security for deposits: (a)Securities described in subdivision (m)of Section 53651. (b)Securities described in subdivision (p)of Section 53651. (C)Securities enumerated in Section 53651.except for those described in subdivisions (m)and (p)of that section. 53633.The treasurer shall determine the amounts of money to be deposited as inactive,active,and interest-bearing active deposits,except as otheiwise provided in Section 53679. 53634.The treasurer may call in money from inactive deposits and place it in active deposits as current demands require.When there is money in his possession for which there is no demand as inactive deposits,he may place it as active deposits. 53635.As far as possible,all money belonging to,or in the custody of,a local agency,including money paid to the treasurer or other official to pay the principal,interest,or penalties of bonds,shall be deposited for safekeeping in state or national banks,savings associations or federal associations,credit unions,or federally insured industrial loan companies in this state selected by the treasurer or other official having 9 the legal custody of the money;or,unless otherwise directed by the legislative body pursuant to Section 53601,may be invested in the investments set forth below.A local agency purchasing or obtaining any securities described in this section,in a negotiable,bearer,registered,or nonregistered format,shall require delivery of all the securities to the local agency,including those purchased for the agency by financial advisors,consultants,or managers using the agency’s funds,by book entry,physical delivery,or by third-party custodial agreement.The transfer of securities to the counterparty bank’s customer book entry account may be used for book-entry delivery.For purposes of this section,“counterparty”means the other party to the transaction.A counterparty bank’s trust department or separate safekeeping department may be used for the physical delivery of the security if the security is held in the name of the local agency.Where this section specifies a percentage limitation for a particular category of investment, that percentage is applicable only at the date of purchase. (a)Bonds issued by the local agency,including bonds payable solely out of the revenues from a revenue-producing property owned,controlled,or operated by the local agency or by a department, board,agency,or authority of the local agency. (b)United States Treasury notes,bonds,bills,or certificates of indebtedness,or those for which the faith and credit of the United States are pledged for the payment of principal and interest. (C)Registered state warrants or treasury notes or bonds of this state,including bonds payable solely out of the revenues from a revenue-producing property owned,controlled,or operated by the state or by a department,board,agency,or authority of the state. (d)Bonds.notes,warrants,or other evidences of indebtedness of any local agency within this state, including bonds payable solely out of the revenues from a revenue-producing property owned,controlled, or operated by the local agency,or by a department,board,agency,or authority of the local agency. (e)Obligations issued by banks for cooperatives,federal land banks,federal intermediate credit banks, federal home loan banks,the Federal Home Loan Bank,the Tennessee Valley Authority,or in obligations,participations,or other instruments of,or issued by,or fully guaranteed as to principal and interest by,the Federal National Mortgage Association;or in guaranteed portions of Small Business Administration notes;or in obligations,participations,or other instruments of,or issued by,a federal agency or a United States government-sponsored enterprise. (f)Bills of exchange or time drafts drawn on and accepted by a commercial bank,otherwise known as bankers acceptances.Purchases of bankers acceptances may not exceed 270 days maturity or 40 percent of the agency’s surplus funds which may be invested pursuant to this section.However,no more than 30 percent of the agency’s surplus funds may be invested in the bankers acceptances of any one commercial bank pursuant to this section.This subdivision does not preclude a municipal utility district from investing any surplus money in its treasury in any manner authorized by the Municipal Utility District Act,Division 6 (commencing with Section 11501)of the Public Utilities Code. (g)Commercial paper of “prime”quality of the highest ranking or of the highest letter and numerical rating as provided for by Moody’s Investors Service,Inc.,or Standard and Poor’s Corporation.Eligible paper is further limited to issuing corporations that are organized and operating within the United States and having total assets in excess of five hundred million dollars ($500,000,000)and having an “A”or higher rating for the issuer’s debt,other than commercial paper,If any,as provided for by Moody’s Investors Service,Inc.,or Standard and Poor’s Corporation.Purchases of eligible commercial paper may not exceed 180 days maturity nor represent more than 10 percent of the outstanding paper of an issuing corporation.Purchases of commercial paper may not exceed 15 percent of the agency’s surplus money which may be invested pursuant to this section.An additional 15 percent,or a total of 30 percent of the agency’s money or money in its custody,may be invested pursuant to this subdivision.The additional 15 percent may be so invested only if the dollar-weighted average maturity of the entire amount does not exceed 31 days.“Dollar-weighted average maturity”means the sum of the amount of each outstanding commercial paper investment multiplied by the number of days to matunty,divided by the total amount of outstanding commercial paper. 10 (h)Negotiable certificates of deposit issued by a nationally or state-chartered bank or a savings association or federal association or a state or federal credit union or by a state-licensed branch of a foreign bank.Purchases of negotiable certificates of deposit may not exceed 30 percent of the agency’s surplus money which may be invested pursuant to this section.For purposes of this section,negotiable certificates of deposit do not come within Article 2 (commencing with Section 53630)of Chapter 4 of Part 1 of Division 2 of Title 5,except that the amount so invested shall be subject to the limitations of Section 53638.For purposes of this section,the legislative body of a local agency and the treasurer or other official of the local agency having legal custody of the money are prohibited from depositing or Investing local agency funds,or funds in the custody of the local agency,in negotiable certificates of deposit issued by a state or federal credit union if a member of the legislative body of the local agency,or an employee of the administrative officer,managers office,budget office,auditor-controllers office,or treasurers office of the local agency also serves on the board of directors,or any commiitee appointed by the board of directors,or the credit committee or supervisory committee of the state or federal credit union issuing the negotiable certificates of deposit. (I)(1)Investments in repurchase agreements or reverse repurchase agreements of any securities authorized by this section,so long as the agreements are subject to this subdivision,Including the delivery requirements specified in this section.(2)Investments in repurchase agreements may be made, on any investment authorized in this section,when the term of the agreement does not exceed one year. The market value of securities that underlay a repurchase agreement shall be valued at 102 percent or greater of the funds borrowed against those securities and the value shall be adjusted no less than quarterly.Since the market value of the underlying securities is subject to daily market fluctuations,the investments in repurchase agreements shall be in compliance if the value of the underlying securities is brought back up to 102 percent no later than the next business day.(3)Reverse repurchase agreements may be utilized only when either of the following conditions are met:(A)The security was owned or specifically committed to purchase,by the local agency,prior to repurchase agreement on December 31, 1994,and was sold using a reverse repurchase agreement on December 31,1994.(B)The security to be sold on reverse repurchase agreement has been owned and fully paid for by the local agency for a minimum of 30 days prior to sale,the total of all reverse repurchase agreements on investments owned by the local agency not purchased or committed to purchase,prior to December 31,1994,does not exceed 20 percent of the base value of the portfolio,and the agreement does not exceed a term of 92 days,unless the agreement includes a written codicil guaranteeing a minimum earning or spread for the entire penod between the sale of a security using a reverse repurchase agreement and the final maturity date of the same security.(4)After December 31,1994,a reverse repurchase agreement may not be entered into with securities not sold on a reverse repurchase agreement and purchased,or committed to purchase,prior to that date,as a means of financing or paying for the security sold on a reverse repurchase agreement,but may only be entered into with secunties owned and previously paid for,for a minimum of 30 days prior to the settlement of the reverse repurchase agreement,in order to supplement the yield on securities owned and previously paid for or to provide funds for the immediate payment of a local agency obligation.Funds obtained or funds within the pool of an equivalent amount to that obtained from selling a security to a counterparty by way of a reverse repurchase agreement,on securities originally purchased subsequent to December 31,1994,shall not be used to purchase another security with a maturity longer than 92 days from the initial settlement date of the reverse repurchase agreement, unless the reverse repurchase agreement includes a written codicil guaranteeing a minimum earning or spread for the entire period between the sale of a security using a reverse repurchase agreement and the final maturity date of the same security.Reverse repurchase agreements specified in subparagraph (B) of paragraph (3)may not be entered into unless the percentage restrictions specified in that subparagraph are met,including the total of any reverse repurchase agreements specified in subparagraph (A)of paragraph (3).(5)Investments in reverse repurchase agreements or similar investments in which the local agency sells secunties prior to purchase with a simultaneous agreement to repurchase the security,may only be made upon prior approval of the governing body of the local agency and shall only be made with primary dealers of the Federal Reserve Bank of New York.(6)(A) Repurthase agreementTM means a purchase of securities by the local agency pursuant to an agreement by which the counterparty seller wiU repurchase the securities on or before a specified date and for a specified amount and the counterparty will deliver the underlying securities to the local agency by book entry,physical delivery,or by third party custodial agreement.The transfer of underlying securities to the counterparty bank’s customer book-entry account may be used for book-entry delivery.(B)Securities, 11 for purpose of repurchase under this subdivision,means securities of the same issuer,descnption,issue date,and maturity.(C)“Reverse repurchase agreement”means a sale of securities by the local agency pursuant to an agreement by which the local agency will repurchase the securities on or before a specified date,and includes other comparable agreements.(D)For purposes of this section,the base value of the local agency’s pool portfolio shall be that dollar amount obtained by totaling all cash balances placed in the pool by all pool participants,excluding any amounts obtained through selling securities by way of reverse repurchase agreements or other similar borrowing methods.(E)For purposes of this section,the spread is the difference between the cost of funds obtained using the reverse repurchase agreement and the earnings obtained on the reinvestment of the funds. (I)Medium-term notes of a maximum of five years’maturity issued by corporations organized and operating within the United States or by depository institutions licensed by the United States or any state and operating within the United States.Notes eligible for investment under this subdivision shall be rated in a rating category of “A”or its equivalent or better by a nationally recognized rating service.Purchases of medium-term notes may not exceed 30 percent of the agency’s surplus money which may be invested pursuant to this section. (Ic)(1)Shares of beneficial interest issued by diversified management companies that invest in the securities and obligations as authorized by subdivisions (a)to (J),inclusive,or subdivision (I)or (m)and that comply with the investment restrictions of this artide and Article 1 (commencing with Section 53600). However,notwithstanding these restrictions,a counterparty to a reverse repurchase agreement Is not required to be a primary dealer of the Federal Reserve Bank of New York if the company’s board of directors finds that the counterparty presents a minimal risk of default,and the value of the securities underlying a repurchase agreement may be 100 percent of the sales price if the securities are marked to market daily.(2)Shares of beneficial interest issued by diversified management companies that are money market funds registered with the Securities and Exchange Commission under the Investment Company Act of 1940 (15 U.S.C.Sec.80a-1 et seq.).(3)If investment is in shares issued pursuant to paragraph (1),the company shall have met either of the following cntena:(A)Attained the highest ranking or the highest letter and numerical rating provided by not less than two nationally recognized statistical rating organizations.(B)Retained an investment adviser registered or exempt from registration with the Securities and Exchange Commission with not less than five years’experience investing in the securities and obligations authorized by subdivisions (a)to (J),inclusive,or subdivision (I)or (m)and with assets under management in excess of five hundred million dollars ($500,000,000).(4)If investment Is in shares issued pursuant to paragraph (2),the company shall have met either of the following criteria: (A)Attained the highest ranking or the highest letter and numerical rating provided by not less than two nationally recognized statistical rating organizations.(B)Retained an investment adviser registered or exempt from registration with the Securities and Exchange Commission with not less than five years’ experience managing money market mutual funds with assets under management in excess of five hundred million dollars ($500,000,000).(5)The purchase price of shares of beneficial interest purchased pursuant to this subdivision shall not indude any commission that the companies may charge and shall not exceed 20 percent of the agency’s surplus money that may be invested pursuant to this section. However,no more than 10 percent of the agency’s surplus funds may be invested in shares of beneficial interest of any one mutual fund pursuant to paragraph (1). (I)Notes,bonds,or other obligations which are at all times secured by a valid first priority security interest in securities of the types listed by Section 53651 as eligible securities for the purpose of securing local agency deposits having a market value at least equal to that required by Section 53652 for the purpose of securing local agency deposits.The securities serving as collateral shall be placed by delivery or book entry into the custody of a trust company or the trust department of a bank which Is not affiliated with the issuer of the secured obligation,and the security interest shall be perfected in accordance with the requirements of the Uniform Commercial Code or federal regulations applicable to the types of securities in which the security interest is granted. (m)Any mortgage passthrough security,collateralized mortgage obligation,mortgage-backed or other pay-through bond,equipment lease-backed certificate,consumer receivable passthrough certificate,or consumer receivable-backed bond of a maximum of five years maturity.Securities eligible for investment under this subdivision shall be issued by an issuer having an “A or higher rating for the issuers debt as 12 provided by a nationally recognized rating service and rated in a rating category of MAAM or its equivalent or better by a nationally recognized rating service.Purchase of securities authorized by this subdivision may not exceed 20 percent of the agency’s surplus money that may be invested pursuant to this section. 53635.5.The purchase by a local agency of any investment authorized pursuant to Section 53635,not purchased directly from the issuer,shall be purchased either from an institution licensed by the state as a broker-dealer,as defined in Section 25004 of the Corporations Code,or from a member of a federally regulated securities exchange,from a national or state-chartered bank,from a savings association or a federal association,or from a brokerage finn designated as a primary government dealer by the Federal Reserve bank. 53635.7.In making any decision that involves borrowing in the amount of one hundred thousand dollars ($100,000)or more,the legislative body of the local agency shall discuss,consider,and deliberate each decision as a separate item of business on the agenda of its meeting as prescribed in Chapter 9 (commencing with Section 54950). 53636.Money so deposited is deemed to be in the treasury of the local agency. 53637.The money shall be deposited in any bank,savings association or federal association,state or federal credit union,or federally insured industrial loan company with the objective of realizing maximum return,consistent with prudent financial management,except that money shall not be deposited in any state or federal credit union if a member of the legislative body of a local agency,or any person with Investment decision-making authority of the administrative office,manager’s office,budget office,auditor controller’s office,or treasurer’s office of the local agency,also serves on the board of directors,or any committee appointed by the board of directors,or the credit committee or supervisory committee,of the state or federal credit union. 53638.(a)The deposit shall not exceed the shareholder’s equity of any depository bank.For the purposes of this subdivision,shareholder’s equity shall be determined in accordance with Section 118 of the Financial Code,but shall be deemed to include capital notes and debentures. (b)The deposit shall not exceed the total of the net worth of any depository savings association or federal association,except that deposits not exceeding a total of five hundred thousand dollars($500,000) may be made to a savings association or federal association without regard to the net worth of that depository,if such deposits are insured or secured as required by law. (C)The deposit to the share accounts of any regularly chartered credit union shall not exceed the total of the unimpaired capital and surplus of the credit union,as defined by rule of the Commissioner of Financial Institutions,except that the deposit to any credit union share account in an amount not exceeding five hundred thousand dollars ($500,000)may be made if the share accounts of that credit union are insured or guaranteed pursuant to Section 14858 of the Financial Code or are secured as required by law. (d)The deposit in investment certificates of a federally insured industrial loan company shali not exceed the total of the unimpaired capital and surplus of the insured industrial loan company. 53639.Except as otherwise provided in Section 53682,the depository shall bear the expenses of transportation of money to and from the depository. 13 53640.Except as otherwise provided in Section 53682,the depository shall handle,collect,and pay all checks,drafts,and other exchange without cost to the local agency. 53641.When money Is deposited in a depository,the treasurer or other authorized offiaal shall take and preserve a receipt,certificate of deposit,or other evidence of the deposit as he or she requires. 53642.The money deposited may be drawn out by check or order of the treasurer or other official authorized to make such deposit. 53643.The treasurer may deposit any part of the money as agreed upon between the treasurer and the depository. 53644.If an agreement is not made: (a)Active deposits and interest thereon are subject to withdrawal upon the demand of the treasurer or other authorized official,subject to any penalties which may be prescribed by federal law or regulation. (b)Inactive deposits are subject to notice of at least thirty days before withdrawal. 53645.Interest shall be computed and paid by the depository,as follows: (a)For active deposits upon which interest is payable,interest shall be computed on the average daily balance for the calendar quarter,and shall be paid quarterly. (b)For inactive deposits,interest shall be computed on a 360-day basis,and shall be paid quarterly. 53646.(a)(1)In the case of county government,the treasurer shall annually render to the board of supervisors and any oversight committee a statement of investment policy,which the board shall review and approve at a public meeting.Any change in the policy shall also be reviewed and approved by the board at a public meeting.(2)In the case of any other local agency,the treasurer or thief fiscal officer of the local agency shall annually render to the legislative body of that local agency and any oversight committee of that local agency a statement of investment policy,which the legislative body of the local agency shall consider at a public meeting.Any change in the policy shall also be considered by the legislative body of the local agency at a public meeting. (b)(1)The treasurer or chief fiscal officer shall render a quarterly report to the chief executive officer, the internal auditor,and the legislative body of the local agency.The quarterly report shall be so submitted within 30 days following the end of the quarter covered by the report.Except as provided in subdivisions (e)and (t),this report shall indude the type of investment,issuer,date of maturity par and dollar amount invested on all securities,investments and moneys held by the local agency,and shall additionally include a description of any of the local agency’s funds,investments,or programs,that are under the management of contracted parties,including lending programs.With respect to all securities held by the local agency,and under management of any outside party that is not also a local agency or the State of California Local Agency Investment Fund,the report shall also include a current market value as of the date of the report,and shall include the source of this same valuation.(2)The quarterly report shall state compliance of the portfolio to the statement of investment policy,or manner in which the portfolio is not in compliance.(3)The quarterly report shall include a statement denoting the ability of the local agency to meet its pool’s expenditure requirements for the next six months,or provide an explanation as to why sufficient money shall,or may,not be available.(4)In the quarterly report,a subsidiary ledger of investments may be used in accordance with accepted accounting practices. 14 (C)Pursuant to subdivision (b),the treasurer or chief fiscal officer shall report whatever additional infomiation or data may be required by the legislative body of the local agency. (d)The legislative body of a local agency may elect to require the report specified in subdivision (b)to be made on a monthly basis instead of quarteily. (e)For local agency investments that have been placed in the Local Agency Investment Fund,created by Section 16429.1,in National Credit Union Share Insurance Fund-insured accounts in a credit union,in accounts insured or guaranteed pursuant to Section 14858 of the Financial Code,or in Federal Deposit Insurance Corporation-insured accounts in a bank or savings and loan association,in a county investment pool,or any combination of these,the treasurer or chief fiscal officer may supply to the governing body,chief executive officer,and the auditor of the local agency the most recent statement or statements received by the local agency from these institutions in lieu of the infoimation required by paragraph (1)of subdivision (b)regarding investments in these institutions. (I)The treasurer or chief fiscal officer shall not be required to render a quarteily report,as required by subdivision (b),to a legislative body or any oversight committee of a school distnct or county office of education for secunties,investments,or moneys held by the school distnct or county office of education in individual accounts that are less than twenty-five thousand dollars ($25,000). 53647.(a)Interest on all money deposited belongs to,and shall be paid quarteily into the general fund of,the local agency represented by the officer making the deposit,unless otherwise directed by law. (b)Notwithstanding the provisions of subdivision (a),and except as otherwise directed by law,if the governing body of the local agency represented by the officer making the deposit so directs,such interest shall be paid to the fund which contains the principal on which the interest accrued. 53647.5.Notwithstanding any other provision of law,interest earned on any bail money deposited in a bank account pursuant to Section 1463.1 of the Penal Code and Section 53679 of this code shall,if the board of supervisors so directs,be allocated for the support of the courts in that county. 53648.Notwithstanding this artide,the treasurer may deposit moneys in,and enter Into contracts with,a state or national bank,savings association or federal association,federal or state credit union,or federally insured industrial loan company,pursuant to a federal law or a rule of a federal department or agency adopted pursuant to the law if the law or rule conflicts with this article in regulating the payment of Interest on deposits of public moneys by any of the following: (a)Banks which are Federal Reserve System members or whose deposits are insured by the Federal Deposit Insurance Corporation. (b)Savings associations or federal associations which are federal home loan bank members or whose deposits are insured by the Federal Savings and Loan Insurance Corporation. (c)State or federal credit unions whose accounts are insured by the National Credit Union Share Insurance Fund or guaranteed by the California Credit Union Share Guaranty Corporation or Insured or guaranteed pursuant to Section 14858 of the Financial Code,unless a member of the legislative body of a local agency,or any person with investment decision-making authonty of the administrative office, managers office,budget office,auditor-controllers office,or treasurers office of the local agency,also serves on the board of directors,or any committee appointed by the board of directors,or the credit committee or supervisory committee,of the state or federal credit union. (d)A federally insured industrial loan company. 15 53648.5.Upon the removal by federal law of the conflicting federal law or rule the agreement between the treasurer or other authonzed official and a depository may be terminated by either party. 53649.The treasurer is responsible for the safekeeping of money in his or her custody and shall enter into any contract with a depository relating to any deposit which in his or her judgment is to the public advantage.The depository,and the agent of depository to the extent the agent of depository has been notified of deposits and the amount thereof,are responsible for securing moneys deposited pursuant to such a contract in accordance with Section 53652.One copy of each contract shall be filed with the auditor,controller,secretary,or corresponding officer of the local agency.The contract shall: (a)Fix the duration of deposits,if appropriate. (b)Fix the interest rate,if any. (c)Provide conditions for withdrawal and repayment. (d)Provide for placement of pooled securities in a named agent of depository in accordance with Section 53656. (e)Grant authonty for agent of depository to place securities for safekeeping in accordance with Section 53659. (t)Set forth in accordance with Section 53665 the conditions upon which the administrator shall order pooled securities converted into money for the benefit of the local agency,and the procedure therefor. (g)Provide for compliance in all respects with the provisions of this artide and other applicable provisions of law. (h)Provide,upon notice to the treasurer from the administrator,that a treasurer may withdraw deposits in the event a depository fails to pay the assessments,fines,or penalties assessed by the administrator or may withdraw authorization for the placement of pooled securities in an agent of depository in the event that the agent of depository fails to pay the fines or penalties assessed by the administrator. 53651.Eligible securities are any of the following: (a)United States Treasury notes,bonds,bills or certificates of indebtedness,or obligations for which the faith and credit of the United States are pledged for the payment of principal and interest,induding the guaranteed portions of small business administration loans,so long as the loans are obligations for which the faith and credit of the United States are pledged for the payment of pnncipal and interest. (b)Notes or bonds or any obligations of a local public agency (as defined in the United States Housing Act of 1949)or any obligations of a public housing agency (as defined in the United States Housing Act of 1937)for which the faith and credit of the United States are pledged for the payment of principal and interest. (C)Bonds of this state or of any local agency or district of the State of California having the power, without limit as to rate or amount,to levy taxes or assessments to pay the principal and interest of the bonds upon all property within its boundaries subject to taxation or assessment by the local agency or district,and in addition,limited obligation bonds pursuant to Article 4 (commencing with Section 50665)of Chapter 3 of Division 1,senior obligation bonds pursuant to Article 5 (commencing with Section 53387)of Chapter 2.7,and revenue bonds and other obligations payable solely out of the revenues from a revenue- producing property owned,controlled or operated by the state,local agency or district or by a department, board,agency or authority thereof. 16 (d)Bonds of any public housing agency (as defined in the United States Housing Act of 1937,as amended)as are secured by a pledge of annual contributions under an annual contribution contract between the public housing agency and the Public Housing Administration if such contract shall contain the covenant by the Public Housing Administration which is authorized by subsection (b)of Section 22 of the United States Housing Act of 1937,as amended,and if the maximum sum and the maximum period specified in the contract pursuant to that subsection 22(b)shall not be less than the annual amount and the period for payment which are requisite to provide for the payment when due of all installments of principal and interest on the obligations. (e)Registered warrants Of this state. (t)Bonds,consolidated bonds,collateral trust debentures,consolidated debentures,or other obligations issued by the United States Postal Service,federal land banks or federal intermediate credit banks established under the Federal Farm Loan Act,as amended,debentures and consolidated debentures issued by the Central Bank for Cooperatives and banks for cooperatives established under the Farm Credit Act of 1933,as amended,consolidated obligations of the federal home loan banks established under the Federal Home Loan Bank Act,bonds,debentures and other obligations of the Federal National Mortgage Association or of the Government National Mortgage Association established under the National Housing Act,as amended,bonds of any federal home loan bank established under that act, bonds,debentures and other obligations of the Federal Home Loan Mortgage Corporation established under the Emergency Home Finance Act of 1970,and obligations of the Tennessee Valley Authority. (g)Notes,tax anticipation warrants or other evidence of indebtedness issued pursuant to Article 7 (commencing with Section 53820),Artide 7.5 (commencing with Section 53840)or Article 7.6 (commencing with Section 53850)of this Chapter 4. (h)State of California notes. (i)Bonds,notes,certificates of indebtedness,warrants or other obligations issued by:(1)any state of the United States (except this state),or the Commonwealth of Puerto Rico,or any local agency thereof having the power to levy taxes,without limit as to rate or amount,to pay the principal and interest of such obligations,or (2)any state of the United States (except this state),or the Commonwealth of Puerto Rico, or a department,board,agency or authority thereof except bonds which provide for or are issued pursuant to a law which may contemplate a subsequent legislative appropriation as an assurance of the continued operation and solvency of the department,board,agency or authority but which does not constitute a valid and binding obligation for which the full faith and credit of such state or the Commonwealth of Puerto Rico are pledged,which are payable solely out of the revenues from a revenue- producing source owned,controlled or operated thereby;provided the obligations issued by an entity described in (1),above,are rated in one of the three highest grades,and such obligations issued by an entity described in (2),above,are rated in one of the two highest grades by a nationally recognized investment service organization that has been engaged regularly in rating state and municipal issues for a period of not less than five years. • (j)Obligations issued,assumed or guaranteed by the International Bank for Reconstruction and Development,Inter-American Development Bank,the Government Development Bank of Puerto Rico,the Asian Development Bank,the International Finance Corporation,or the African Development Bank. (k)Participation certificates of the Export-Import Bank of the United States. (I)Bonds and notes of the California Housing Finance Agency issued pursuant to Chapter 7 (commencing with Section 51350)of Part 3 of Division 31 of the Health and Safety Code. (m)Promissory notes secured by first mortgages and first trust deeds WhiCh comply with Section 53651.2. (n)Any bonds,notes,warrants or other evidences of indebtedness of a nonprofit corporation Issued to finance the construction of a school building or school buildings pursuant to a lease or agreement with a 17 school distnct entered into in compliance with the provisions of Section 39315 or 81345 of the Education Code,and also any bonds,notes,warrants,or other evidences of indebtedness as specified in Section 39317 of the Education Code. (o)Any municipal securities,as defined by Section 3(a)(29)of the Securities Exchange Act of June 6, 1934,(15 U.S.C.Sec.78,as amended),which are issued by this state or any local agency thereof. (p)With the consent of the treasurer,letters of credit issued by the Federal Home Loan Bank of San Francisco which comply with Section 53651.6. 53651.2.(a)To be an eligible security under subdivision (m)of Section 53651,a promissory note placed in a securities pool on or after January 1,1987,shall comply with all of the following provisions:(1)Each promissory note shall be secured by a first mortgage or first trust deed on improved I to 4 unit residential real property located in California,shall be fully amortized over the term of the note,and shall have a term of no more than 30 years.Any first mortgage or first trust deed which secures a promissory note providing for negative amortization shall be removed from the securities pool and replaced with an eligible security under subdivision (m)of Section 53651 if the loan to value ratio exceeds 85 percent of the original appraised value of the security property as a consequence of negative amortization.(2)Each promissory note shall be eligible for sale to the Federal National Mortgage Association,the Government National Mortgage Association,or the Federal Home Loan Mortgage Corporation;provided,however,that up to 25 percent of the total dollar amount of any promissory note securities pool established pursuant to Section 53658 may consist of promissory notes with loan amounts which exceed the maximum amounts eligible for purchase by the Federal National Mortgage Association,.the Government National Mortgage Association,or the Federal Home Loan Mortgage Corporation,but which do not exceed:(i)five hundred thousand dollars ($500,000)in the case of a single family dwelling;(ii)one million dollars ($1,000,000)in the case of a 2,3,or 4 unit dwelling. (b)The following shall not constitute eligible securities under subdivision (m)of Section 53651:(1)Any promissory note on which any payment is more than 60 days past due.(2)Any promissory note secured by a mortgage or deed of trust as to which there is a lien prior to the mortgage or deed of trust.For the purposes of this paragraph,no lien specified in Section 766 of the Financial Code shall be considered a prior encumbrance unless any installment or payment thereunder (other than a rental or royalty under a lease)is due and delinquent.(3)Any promissory note secured by a mortgage or deed of trust as to which a notice of default has been recorded pursuant to Section 2924 of the Civil Code or an action has been commenced pursuant to Section 725a of the Code of Civil Procedure. (C)The depository may exercise,enforce,or waive any right granted to it by the promissory note, mortgage,or deed of trust. (d)For purposes of this article,the market value of a promissory note which is an eligible security under subdivision (m)of Section 53651,shall be determined in accordance with the regulations adopted by the Treasurer under paragraph (2)of subdivision (m)of Section 53651,as the regulations and statute were in effect on December 31,1986.However,if and when regulations on the subject are adopted by the administrator,the market value shall be determined in accordance with those regulations of the administrator. 53651.4.(a)A depository that uses eligible securities of the class described in subdivision (m)of Section 53651 shall,within 90 days after the dose of each calendar year or within a longer period as the administrator may specify,file with the administrator a report of an independent certified public accountant regarding compliance with this article and with regulations and orders issued by the administrator under this article with respect to eligible securities of that dass.The report shall be based upon the audit,shall contain the information,and shall be In the form the administrator may prescribe. The depository shall provide a copy of the report to the treasurer on request. 18 (b)If a depository that is a state bank files with the administrator,not less than 90 days before the beginning of the calendar year,a notice that it elects to be examined by the administrator instead of filing a report of an independent certified public accountant under subdivision (a)for that calendar year,the depository shall be exempt from subdivision (a)for that calendar year and shall for that calendar year be subject to examination by the administrator regarding compliance with this article and with securities of the class descnbed in subdivision (m)of Section 53651.The administrator shall provide a report to a treasurer with deposits in the examined state bank upon request of the treasurer. (C)A national bank may apply to the administrator to be examined,and the administrator,in his or her discretion,may examine a national bank for the purposes of satisfying the requirements of subdivision (a).The administrator shall provide a report to a treasurer with deposits in the examined national bank upon request of the treasurer. (d)Whenever the administrator examines a depository pursuant to subdivision (b)or (c),the depository shall pay,within 30 days after receipt of a statement from the administrator,a fee of seventy-five dollars ($75)per hour for each examiner engaged in the examination. 53651.6.(a)To be an eligible security under subdivision (p)of Section 53651,a letter of credit shall be in such form and shall contain such provisions as the administrator may prescribe,and shall indude aN of the following terms:(1)The administrator shall be th~beneficiary of the letter of credit.(2)The letter of credit shall be clean and irrevocable and shall provide that the administrator may draw upon it up to the total amount in the event of the failure of the depository savings association or federal association or if the depository savings association or federal association refuses to permit the withdrawal of funds by a treasurer. 53652.To secure active or inactive deposits a depository shall at all times maintain with the agent of depository eligible securities in securities pools,pursuant to Sections 53656 and 53658,in the amounts specified in this section.Uncollected funds shall be excluded from the amount deposited in the depository when determining the security requirements for the deposits. (a)Eligible securities,except eligible securities of the classes described in subdivisions (m)and (p)of Section 53651,shall have a market value of at least 10 percent in excess of the total amount of all deposits of a depository secured by the eligible securities. (b)Eligible securities of the class described in subdivision (m)of Section 53651 shall have a market value at least 50 percent in excess of the total amount of all deposits of a depository secured by those eligible securities. (C)Eligible securities of the class described in subdivision (p)of Section 53651 shall have a market value of at least 5 percent in excess of the total amount of all deposits of a depository secured by those eligible securities.For purposes of this article,the market value of a letter of credit which is an eligible security under subdivision (p)of Section 53651 shall be the amount of credit stated in the letter of credit. 53653.When in his or her discretion local conditions so warrant,the treasurer may waive security for the portion of any deposits as is insured pursuant to federal law,notwithstanding this article.For deposits equivalent to and not less than the maximum amount insured pursuant to federal law for which a treasurer has waived security under this section,a treasurer at his or her discretion may also waive security for the interest accrued on the deposits which,when added to the deposits,would cause the sum of the interest and deposits to exceed the maximum amount insured pursuant to federal law,provided that the interest is computed by the depository on the average daily balance of the deposits,paid monthly and computed on a 360-day basis. 19 53654.(a)The depository may add securities to the pool or substitute securities of equal value for those in the pool at any time,but shall not interchange classes of security,as defined in Section 53632.5, without prior approval of the treasurer. (b)Withdrawal of securities from the pool without replacement at equal value may be ordered only by two duly authorized officers or employees of the depository who satisfy the requirements as may be set by the administrator. (c)The agent of depository is responsible for the safekeeping and disbursement of securities placed in its custody by a depository.It shall release securities only upon presentation by the depository of the most reasonably current statement of the total deposits subject to this article held by the depository,such statement to be verified and countersigned by two duly authorized officers,other than those who ordered the withdrawal of securities.A copy of this statement shall be forwarded to the administrator concurrently by the agent of depository. 53655.A placement of securities by a depository with an agent of depository pursuant to this article shall have the effect of perfecting a security interest in those securities in the local agencies having deposits In that depository notwithstanding provisions of the Uniform Commercial Code to the contrary and notwithstanding that the agent of depository may be the trust department of the depository. 53656.(a)At the time the treasurer enters into a contract with the depository pursuant to Section 53649, he or she shall authorize the agent of depository designated by the depository,but including the trust department of the depository only when acceptable to both the treasurer and the depository,to hold securities of the depository in accordance with this article to secure the deposit of the local agency. (b)Only those trust companies and trust departments,or the Federal Home Loan Bank of San Francisco,which have been authorized by the administrator pursuant to Section 53657 shall be authorized by treasurers to act as agents of depository. (C)The securities are subject to order of the depository in accordance with Section 53654 except when the provisions of subdivision (i)of Section 53661 and Section 53665 are in effect. (d)An agent of depository shall not release any security held to secure a local agency deposit in a depository unless the administrator issues an order authorizing the release where either of the following occurs:(1)A state or federal regulatory agency has taken possession of the depository.(2)A conservator,receiver,or other legal custodian has been appointed for the depository. 53657.(a)No person shall act as an agent of depository unless that person is a trust company located in this state,the trust department of a bank located in this state,or the Federal Home Loan Bank of San Francisco,and is authorized by the administrator to act as an agent of depository. (b)(1)An application for authorization shall be in such form,shall contain such information,shall be signed in such manner,and shall (if the administrator so requires)be verified in such manner,as the administrator may prescribe.(2)The fee for filing an application for authorization with the administrator shall be five hundred dollars ($500).(3)lIthe administrator finds,with respect to an application for authorization,that the applicant is competent to act as an agent of depository and that it is reasonable to believe the applicant will comply with all applicable provisions of this article and of any regulation or order issued under this article,the administrator shall approve the application.If the administrator finds otherwise,the administrator shall deny the application.(4)When an application for authorization has been approved,the applicant shall file with the administrator an agreement to comply with all applicable provisions of this article and of any regulation or order issued under this article.The agreement shall be in such form,shall contain such provisions,and shall be signed in such manner as the administrator may prescribe.(5)When an application for authorization has been approved,the app~cant has complied with 20 paragraph (4),and all conditions precedent to authorizing the applicant to act as agent of depository have been fulfilled,the administrator shall authorize the applicant to act as agent of depository. 53658.An agent of a depository may hold and pool securities to secure deposits for one or more depositories pursuant to Section 53656,but shall maintain a separate pool for each said depository. Each local agency shall have an undMded security interest in the pooled securities in the proportion that the amount of its deposits bears to the total amount of deposits secured by the pooled securities. 53659.Whenever an agent of depository accepts securities pursuant to Section 53656 it may,with the authorization of the depository,place such securities for safekeeping with a Federal Reserve Bank or branch thereof or with any bank located in a city designated as a reserve city by the Board of Governors of the Federal Reserve System or with the Federal Home Loan Bank of San Francisco or with a trust company located in this state.Authority for such placement together with the names of the banks or, including the Federal Home Loan Bank of San Francisco.trust companies to be so used,shall be contained in the contract between the treasurer and the depository required in Section 53649. 53660.When deposits of a local agency are secured by pooled securities pursuant to Section 53656,the agent of depository shall make available to the treasurer for review at a mutually agreed upon time and location all of the following information which may be in the form of a copy of the report required in subdivision (e)of Section 53661: (a)A certification that there are securities in the pool in the amounts required by Section 53652 to secure deposits. (b)A certified report of the individual securities then on deposit in the pool with the location and total market value thereof. (C)The total amount of deposits then reported by the depository to be secured by the pool. 53661.(a)The State Treasurer shall ad as Administrator of Local Agency Security and shall be responsible for the administration of Sections 53638,53651,53651.2,53651.4,53651.6,53652,53654, 53655,53656,53657,53658,53659,53660,53661,53663,53664,53665,53666,and 53667. (b)The administrator shall have the powers necessary or convenient to administer and enforce the sections specified in subdivision (a). (C)(1)The administrator shall issue regulations consistent with law as the administrator may deem necessary or advisable in executing the powers,duties,and responsibilities assigned by this article.The regulations may include regulations prescribing standards for the valuation,marketability,and liquidity of the eligible securities of the dass described in subdivision (m)of Section 53651,regulations prescribing procedures and documentation for adding,withdrawing,substituting,and holding pooled securities,and regulations prescribing the form,content,and execution of any application,report,or other document called for in any of the sections specified in subdivision (a)or in any regulation or order issued under any of those sections.(2)The administrator,for good cause,may waive any provision of any regulation adopted pursuant to paragraph (1)or any order issued under this article,where the provision is not necessary in the public interest. (d)The administrator may enter into any contracts or agreements as may be necessary,including joint underwriting agreements,to sell or liquidate eligible securities securing local agency deposits in the event of the failure of the depository or if the depository fails to pay all or pail of the deposits of a local agency. (e)The administrator shall require from every depository a report certified by the agent of depository listing all securities,and the market value thereof,which are securing local agency deposits together with 21 the total deposits then secured by the pool,to determine whether there is compliance with Section 53652. These reports may be required whenever deemed necessary by the administrator,but shall be required at least four times each year at the times designated by the Comptroller of the Currency for reports from national banking associations.These reports shall be filed in the office of the administrator by the depository within 20 business days of the date the administrator calls for the report. (f)The administrator may have access to reports of examination made by the Comptroller of the Currency insofar as the reports relate to national banking association trust department activities which are subject to this article. (g)(1)The administrator shall require the immediate substitution of an eligible security,where the substitution is necessary for compliance with Section 53652,if (1)the administrator determines that a security listed in Section 53651 is not qualified to secure public deposits,or (j’)a treasurer,who has deposits secured by the securities pool,provides written notice to the administrator and the administrator confimis that a security in the pool is not qualified to secure public deposits.(2)The failure of a depository to substitute securities,where the administrator has required the substitution,shaU be reported by the administrator promptly to those treasurers having money on deposit in that depository and,in addition,shall be reported as follows:(A)When that depository is a national bank,to the Comptroller of the Currency of the United States.(B)When that depository is a state bank,to the Commissioner of Financial Institutions.(C)When that depository is a federal association,to the Office of Thrift Supervision.(D)When that depository is a savings association,to the Commissioner of Financial Institutions.(E)When that depository is a federal credit union,to the National Credit Union Administration.(F)When that depository is a state credit union or a federally insured industrial loan company,to the Commissioner of Financial Institutions. (h)The administrator may require from each treasurer a registration report and at appropriate times a report stating the amount and location of each deposit together with other information deemed necessary by the administrator for effective operation of this article.The facts recited in any report from a treasurer to the administrator are conclusively presumed to be true for the single purpose of the administrator fulfilling responsibilities assigned to him or her by this article and for no other purpose. (I)(1)If,after notice and opportunity for hearing,the administrator finds that any depository or agent of depository has violated or is violating,or that there is reasonable cause to believe that any depository or agent of depository is about to violate,any of the sections specified in subdivision (a)or any regulation or order issued under any of those sections,the administrator may order the depository or agent of depository to cease and desist from the violation or may by order suspend or revoke the authorization of the agent of depository.The order may require the depository or agent of depository to take affirmative action to correct any condition resulting from the violation.(2)(A)If the administrator makes any of the findings set forth in paragraph (1)with respect to any depository or agent of depository and,in addition. finds that the violation or the continuation of the violation is likely to seriously prejudice the interests of treasurers,the administrator may order the depository or agent of depository to cease and desist from the violation or may suspend or revoke the authorization of the agent of depository.The order may require the depository or agent of depository to take affirmative action to correct any condition resulting from the violation.(B)Within five business days after an order is issued under subparagraph (A),the depository or agent of depository may file with the administrator an application for a hearing on the order.The administrator shall schedule a hearing at least 30 days,but not more than 40 days,after receipt of an application for a hearing or within a shorter or longer period of time agreed to by a depository or an agent of depository.If the administrator fails to schedule the hearing within the specified or agreed to time period,the order shall be deemed rescinded.Within 30 days after the hearing,the administrator shall affirm,modify,or rescind the order~otherwise,the order shall be deemed rescinded.The .lght of a depository or agent of depository to which an order is issued under subparagraph (A)to petition for judicial review of the order shall not be affected by the failure of the depository or agent of depository to apply to the administrator for a hearing on the order pursuant to this subparagraph.(3)Whenever the administrator issues a cease and desist order under paragraph (1)or (2),the administrator may in the order restrict the right of the depository to withdraw securities from a security pool;and,in that event,both the depository to which the order is directed and the agent of depository which holds the security pool shall comply with the restriction.(4)In case the administrator issues an order under paragraph (1)or (2) 22 suspending or revoking the authorization of an agent of depository,the administrator may order the agent of depository at its own expense to transfer all pooled securities held by it to such agent of depository as the administrator may designate in the order.The agent of depository designated in the order shall accept and hold the pooled securities in accordance with this artide and regulations and orders issued under this artide. (j)In the discretion of the administrator,whenever it appears to the administrator that any person has violated or is violating,or that there is reasonable cause to believe that any person is about to violate,any of the sections specified in subdivision (a)or any regulation or order issued thereunder,the administrator may bring an action in the name of the people of the State of California in the superior court to enjoin the violation or to enforce compliance with those sections or any regulation or order issued thereunder.Upon a proper showing a permanent or preliminary injunction,restraining order,or writ of mandate shall be granted,and the court may not require the administrator to post a bond. (k)In addition to other remedies,the administrator shall have the power and authority to impose the following sanctions for noncompliance with the sections specified in subdivision (a)after a hearing if requested by the party deemed in noncompliance.Any fine assessed pursuant to this subdivision shall be paid within 30 days after receipt of the assessment.(1)Assess against and collect from a depository a fine not to exceed two hundred fifty dollars ($250)for each day the depository fails to maintain with the agent of depository securities as required by Sedion 53652.(2)Assess against and collect from a depository a fine not to exceed one hundred dollars ($100)for each day beyond the time period specified in subdivision (b)of Section 53663 the depository negligently or willfully fails to file in the office of the administrator a written report required by that section.(3)Assess against and coiled from a depository a fine not to exceed one hundred dollars ($100)for each day beyond the time period specified in subdivision (e)that a depository negligently or willfully fails to file in the office of the administrator a written report required by that subdivision.(4)Assess and collect from an agent of depository a fine not to exceed one hundred dollars ($100)for each day the agent of depository fails to comply with any of the applicable sections specified in subdivision (a)or any applicable regulation or order issued thereunder. (I)(1)In the event that a depository or agent of depository fails to pay a fine assessed by the administrator pursuant to subdivision (k)within 30 days of receipt of the assessment,the administrator may assess and collect an additional penalty of 5 percent of the fine for each month or part thereof that the payment is delinquent.(2)If a depository fails to pay the fines or penalties assessed by the administrator,the administrator may notify local agency treasurers with deposits in the depository.(3)If an agent of depository fails to pay the fines or penalties assessed by the administrator,the administrator may notify local agency treasurers who have authorized the agent of depository as provided in Sedions 53649 and 53656,and may by order revoke the authorization of the agent of depository as provided in subdivision (j). 53663.(a)Each agent of depository shall report in writing to the administrator within two business days after any withdrawal,substitution or addition of pooled securities and shall state the name and market value of the securities withdrawn,substituted or added together with the total deposits then secured by the pool.This information shall be available from the administrator to the treasurer upon request. (b)Each depository shall report in writing to the administrator weekly,giving the total amount of all deposits held by such depository pursuant to this artide.Such report shall be as of dose of business on Wednesday of each week and shall be delivered to the office of the administrator or deposited in the United States mail.postage prepaid,addressed to the office of the administrator,within five business days.Where there has occurred no change in the deposits required to be held by the depository pursuant to this article,the report required by this subdivision need only state that fad. 53664.The individual reports specified in Sections 53654,53660.53661,and 53663 are not public documents and are not open to inspection by the public. 23 53665.If a depository fails to pay all or part of the deposits of a local agency secured by pooled securities in accordance with the contract provided for in Section 53649,and on demand of its treasurer or other authorized official and the treasurer files a report with the administrator,or If the depository fails: (a)In case the pooled securities consist of securities other than securities of the class described in subdivision (p)of Section 53651,the administrator shall order the agent of depository holding the pooled securities to convert into money that portion of the pooled securities necessary to produce an amount equal to the sum of (I)the deposits of the local agency,(ii)any accrued interest due on the deposits,and çiii)the reasonable expenses of the agent of depository in complying with the order of the administrator and to pay the sum of items (i)and (ii)to the treasurer in satisfaction of the deposits.The agent of depository shall be reimbursed out of the proceeds of the conversion for its reasonable expenses in complying with the order of the administrator,as approved by the administrator.Any excess moneys resulting from the conversion shall be retained by the agent of depository as part of the securities pool until the depository substitutes for the excess moneys securities having a market value sufficient to bring the total of pooled securities up to the amount required by Section 53652. (b)In case the pooled securities consist of a security of the class described in subdivision (p)of Section 53651,the administrator shall draw on the letter of credit an amount equal to the sum of (I)the deposits of the local agency,(ii)any accrued interest on the deposits,and (iii)the reasonable expenses of the administrator in paying the deposits and pay the sum of items (i)and (ii)to the treasurer in satisfaction of the deposits. 53666.The only liability that shall attach to the administrator as the result of the operation of this article is that which would attach as a result of other laws of this state. 53667.(a)Expenses incurred by the administrator in carrying out the duties and responsibilities assigned to the administrator by the sections specified in subdivision (a)of Section 53661,shall be borne by the Local Agency Deposit Security Fund,which is hereby created and continuously appropriated to the administrator for the administration of the sections specified in subdivision (a)of Section 53661.This fund shall consist of fines levied pursuant to Section 53661,fees collected pursuant to the sections specified In subdivision (a)of Section 53661,and assessments levied pursuant to this section. (b)Each fiscal year the administrator shall levy an assessment on a pro rata basis on those depositories which at any time during the preceding fiscal year held local agency deposits.The total which,when added to the amount of fines and fees that the administrator estimates wili be collected during the fiscal year when the assessment is levied,is sufficient in the judgment of the administrator to meet the expenses of the administrator in administering the sections specified in subdivision (a)of Section 53661 and to provide a reasonable reserve for contingencies.The basis of the apportionment of the assessment among the depositories assessed shall be the proportion that the average amount of local agency deposits held by each of those depositories beats to the average total amount of local agency deposits held by all of those depositories as shown by the reports of depositories to the administrator for the preceding fiscal year,as required in subdivision (e)of Section 53661;provided, however,that the amount of the assessment levied on each of those depositories shall be not less than twenty-five dollars ($25). (c)The administrator shall notify each depository by mail of the amount levied against it.The depository shall pay the amount levied within 20 days after such notice into the Local Agency Deposit Security Fund for the administration of the sections specified in subdivision (a)of Section 53661.If payment is not made to the administrator within such time,the administrator shall assess and collect,in addition to the annual assessment,a penalty of 5 percent of the assessment for each month or part thereof that the payment is delinquent.If a depository fails to pay the assessment or penalties assessed by the administrator,the administrator may notify local agency treasurers with deposits in the depository. 24 53689.The treasurer or other authorized official is not responsible for money while it is deposited pursuant to this artide. 53676.The treasurer is not responsible for securities delivered to and receipted for by any bank,savings and loan association,credit union,federally insured industrial loan company,or trust company. 53678.The charges for the handling and safekeeping of any such securities are not a charge against the treasurer but shall be paid by the depository owning the securities. 53679.So far as possible,all money belonging to a local agency under the control of any of its officers or employees other than the treasurer or a judge or officer of a municipal court shall,and all money coming into the possession of a judge or officer of a municipal court may,be deposited as active deposits in the state or national bank,inactive deposits in the state or national bank or state or federal assodation, federal or state credit union,or federally insured industrial loan company in this state selected by the officer,employee,or judge of the court.For purposes of this section,an officer or employee of a local agency and a judge or officer of a municipal court are prohibited from depositing local agency funds or money coming Into their possession into a state or federal credit union if an officer or employee of the local agency,or a judge or officer of a municipal court,also serves on the board of directors,or any committee appointed by the board of directors,or the credit committee or supervisory committee,of the particular state or federal credit union.Such money is subject to this article except: (a)Deposits in an amount less than that insured pursuant to federal law are not subject to this article. For deposits in excess of the amount insured under any federal law a contract in accordance with Section 53649 is required and the provisions of this article shall apply. (b)Interest is not required on money deposited in an active deposit by a judge or officer of a municipal court. (C)Interest is not required on money deposited in an active deposit by an officer having control of a revolving fund created pursuant to Chapter 2 (commencing with Section 29300)of Division 3 of Title 3. (d)Interest is not required on money deposited in an active deposit by an officer having control of a special fund established pursuant to Articles 5 (commencing with Section 29400)or 6 (commencing with Section 29430)of Chapter 2 of Division 3 of Title 3. 53679.1.Notwithstanding any other provision of law,the accounting practices of each county utilized prior to the effective date of this section relating to interest on trust funds shall be deemed appropriate and to have been made under the direction of the board of supervisors of that county.This section is declaratory of the law in existence prior to the enactment of this section. 53680.A tax collector of a local agency shall immediately deposit with the treasurer aU money under his control,unless he deposits the money in a depositary pursuant to this article under permission and instructions of the treasurer having authority to make such deposit. 53681.An officer or employee of a local agency who deposits money belonging to,or In the custody of, the local agency in any other manner than that prescribed in this article is subject to forfeiture of his office or employment. 25 53682.Notwithstanding any other provision in this article except Section 53652,the treasurer may deposit moneys in and enter into contracts with any depository,as defined in subdivision (C)of Section 53630,for services to be rendered by that depository that in the treasurers judgment are to the public advantage.One copy of each contract entered into under this section shall be filed with the auditor or corresponding officer of the local agency.The contract shall: (a)Fix the duration of compensating deposits,if any. (b)Fix the interest rate of that compensating deposit,if any. (C)Specify the services to be rendered by the depository. (d)Indicate whether the depository shall bear the expenses of transportation of the money to and from the depository. (e)Fix the consideration payable by the agency for such services. (I)Specify who may deposit moneys into the treasurers active account and how those persons are to make those deposits. 53683.Notwithstanding any other provision in this article,the consideration payable by the agency as specified in subdivision (e)of Section 53682 shall be paid by the treasurer by applying such consideration as costs applied on a pro rata basis against the interest earned by all the agencies for which the treasurer invests. 53684.(a)Unless otherwise provided by law,if the treasurer of any local agency,or other official responsible for the funds of the local agency,detemiines that the local agency has excess funds which are not required for immediate use,the treasurer or other official may,upon the adoption of a resolution by the legislative or governing body of the local agency authorizing the investment of funds pursuant to this section and with the consent of the county treasurer,deposit the excess funds in the county treasury for the purpose of investment by the county treasurer pursuant to Section 53601 or 53635. (b)The county treasurer shail,quarterly,apportion any interest or other increment derived from the Investment of funds pursuant to this section in an amount proportionate to the average daily balance of the amounts deposited by the local agency and district. Prior to distributing that interest or increment,the county treasurer may deduct the actual costs incurred by the county in administering this section in proportion to the average daily balance of the amounts deposited by the local agency. (C)The treasurer or other official responsible for the funds of the local agency may withdraw the funds of the local agency pursuant to the procedure specified in Section 27136. (d)Any moneys deposited in the county treasury for investment pursuant to this section are not subject to impoundment or seizure by any county official or agency while the funds are so deposited. (e)This section is not operative in any county until the board of supervisors of the county,by majority vote,adopts a resolution making this section operative in the county. (I)It is the intent of the Legislature in enacting this section to provide an alternative procedure to Section 51301 for local agencies to deposit money in the county treasury for investment purposes. Nothing in this section shall,therefore,be construed as a kmitation on the authority of a county and a city to contract for the county treasurer to perform treasury functions for a city pursuant to Section 51301. 26 53686.(a)Any audit conducted relating to the investment of local agency funds and other funds by the county treasurer in the county fund maintained pursuant to Section 53684 shall be rendered to the depositary,the auditor,the controiler,the secretary,or the corresponding officer of the local agency,the treasurer or other official responsible for the funds of any local agency that has funds on deposit in the county treasury,and the presiding judge of any superior court that has ordered,pursuant to Section 3412, Section 3413,or Section 3611 of the Probate Code,that assets of an estate be deposited with the county treasurer for deposit or investment. (b)Any report rendered pursuant to Section 53646 shall be provided to the treasurer or other official responsible for the funds of any local agency that has funds on deposit in the county treasury. Source:West’s Annotated California Codes,1999 H:\wp.dtaVn’~21O~crane~1NVEST.PLY\GovtCode.doc 27 IL . APPENDIX “H” __ UL - APPENDIX “H” GLOSSARY OF INVESTMENT TERMS ACCRUED INTEREST.The amount of interest that is earned but unpaid since the last interest payment date. ADJUSTABLE RATE NOTE.(See Floating Rate Note) AMORTIZED COST.Measure of the cost of a security whereby the cost value will change over time as the discount or premium paid for the security is gradually incorporated into the principal value as interest payments are received. ASKED PRICE.The price at which a seller offers to sell a security. ASSET-BACKED SECURITIES.Securities collateralized with consumer receivables, such as automobile loans,credit card receivables,or home equity loans,which are owned by the issuer,but placed with a trustee for the benefit of the investor. AVERAGE LIFE.In mortgage-related investments,including CMOs,the average time to expected receipt of principal payments,weighted by the amount of principal expected. BANKER’S ACCEPTANCE.A highly liquid draft or bill or exchange accepted by a bank or trust company.The accepting institution guarantees payment of the bill, as well as the issuer. BASIS POINT.When a yield is expressed as 7.32%,the digits to the right of the decimal point are known as basis points.One basis point equals 1/1 00 of one percent.Basis points are used more often to describe changes in yields on bonds,notes and other fixed-income securities. BENCHMARK.A comparison security or portfolio.A performance benchmark is a partial market index which reflects the mix of securities allowed under a specific investment policy. BID PRICE.The price offered by a buyer of securities.(When you are selling securities,you ask for a bid.)See Offer. BOOK ENTRY.The system,maintained by the Federal Reserve,by which most money market securities are “delivered”to an investor’s custodian bank.The Federal Reserve maintains a computerized record of the ownership of these securities,and records any changes in ownership corresponding to payments made over the Federal Reserve wire (delivery versus payment).These securities do not receive physical certificates. BOOK VALUE.The original cost of the investment,plus accrued interest and amortization of any premium or discount. Page 1 of 11 BROKER.A broker brings buyers and sellers together for a transaction for which the broker receives a commission.A broker does not sell securities from his own position. BULLET STRUCTURE.A portfolio strategy in which a manager overweights both the short and long end of the yield curve,and underweights the middle part of the curve. CALLABLE BONDS.Bonds which may be redeemed by the issuing company prior to the maturity date. CAPITAL GAIN/LOSS.The profit or loss realized from the sale of a capital asset. CERTIFICATE OF DEPOSIT (CD).A time deposit with a specific maturity evidenced by a certificate.Large denomination CD5 may be marketable. COLLATERAL.Securities or cash pledged by a borrower to secure repayment of a loan or repurchase agreement.Also,securities pledged by a financial institution to secure deposits of public monies. COLLATERALIZED MORTGAGE OBLIGATIONS (CMO).Classes of bonds which redistribute the cash flows of mortgage securities (and whole loans)to create securities which have different levels of prepayment risk,as compared to the underlying mortgage securities COMMERCIAL PAPER.The short-term unsecured debt of corporations. COMPREHENSIVE ANNUAL FINANCIAL REPORT (CAFR).The official annual financial report for the District.It includes five combined statements for each individual fund and account group prepared in conformity with GAAP.It also includes supporting schedules necessary to demonstrate compliance with finance-related legal and contractual provisions,extensive introductory material, and a detailed Statistical Section. CONDITIONAL PREPAYMENT RATE (CPR).A measure of mortgage prepayment activity.It assumes that a constant fraction of the principal prepays each month and is based on the previous month’s remaining balance.The rate is expressed as an annualized percentage.For instance,a CPR of 6%indicates that each month 6%of the remaining principal balance prepays on an annualized basis. CONSUMER RECEIVABLE-BACKED BONDS.(See Receivable-Backed Securities). CONVEXITY.The rate of change in a bond’s price as duration changes.It is a particularly important component of price change for longer term bonds,or for large changes in interest rates. Page 2 of 11 COST YIELD.The annual income from an investment divided by the purchase cost. Because it does not give effect to premiums and discounts which may have been included in the purchase cost,it is an incomplete measure of return. COUPON.(a)The annual rate of interest that a bond’s issuer promises to pay the bondholder on the bond’s face value.(b)A certificate attached to a bond evidencing interest on a payment date. CREDIT RISK.The risk that principal and/or interest on an investment will not be paid in a timely manner due to changes in the condition of the issuer. CURRENT YIELD.The annual income from an investment divided by the current market value.Since the mathematical calculation relies on the current market value rather than the investor’s cost,current yield is unrelated to the actual return the investor will earn if the security is held to maturity. CUSTODIAN.A bank or other financial institution that keeps custody of stock certificates and other assets. DEALER.A dealer,as opposed to a broker,acts as a principal in security transactions buying and selling securities for his own account. DEBENTURE.A bond secured only by the general credit of the issuer. DELIVERY VERSUS PAYMENT (DVP).Delivery of securities with a simultaneous exchange of money for the securities. DERIVATIVE.Any security that has principal and/or interest payments which are subject to uncertainty (but not for reasons of default or credit risk)as to timing and/or amount,or any security which represents a component of another security which has been separated from other components (“Stripped”coupons and principal).A derivative is also defined as a financial instrument the value of which is totally or partially derived from the value of another instrument,interest rate or index. DISCOUNT.The difference between the par value of a bond and the cost of the bond, when the cost is below par.Some short-term securities,such as T-bills and banker’s acceptances,are known as discount securities.They sell at a discount from par,and return the par value to the investor at maturity without additional interest.Other securities,which have fixed coupons trade at a discount when the coupon rate is lower than the current market rate for securities of that maturity and/or quality. Page 3 of 11 DIVERSIFICATION.Dividing investment funds among a variety of securities offering independent returns to avoid excessive exposure to any one source of risk. DOLLAR-WEIGHTED AVERAGE MATURITY.A calculation that expresses the “average maturity”of an investment portfolio using each investment’s maturity weighted by the size of that investment. DURATION.The weighted average time to maturity of a bond where the weights are the present values of the future cash flows.Duration measures the price sensitivity of a bond to changes in interest rates.(See modified duration and effective duration). EFFECTIVE DURATION.Measures the price volatility of a fixed income security that contains embedded options.A more accurate measure of price volatility when the cash flow characteristics of the bond change when interest rates shift. FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC).A federal agency that insures bank deposits,currently up to $100,000 per deposit. FEDERAL FUNDS RATE.The rate of interest charged by banks for short term loans to other banks.It is established by the Federal Reserve Bank through open- market operations. FEDERAL OPEN MARKET COMMITTEE (FOMC).A committee of.the Federal Reserve Board which sets Federal Reserve guidelines regarding purchases and sales of Government Securities,and establishes monetary policy and executes it through temporary and permanent changes to the supply of bank reserves. FEDERAL RESERVE SYSTEM.The central banking system of the U.S.created by Congress,which has supervisory powers over the 12 Federal Reserve regional banks and about 6,000 member banks. FIXED-INCOME SECURITIES.Securities which return a fixed income over a specified period. FLOATING RATE NOTE.A debt security whose interest rate is reset periodically (monthly,quarterly,annually)and is based on a market index (e.g.Treasury bills,LIBOR,etc.). INTEREST.The amount earned while owning a debt security,generally calculated as a percentage of the principal amount. LADDER STRUCTURE.A portfolio strategy in which a manager attempts to weight securities equally across the yield curve. Page 4 of 11 LEVERAGE.Borrowing funds in order to invest in securities which have the potential to pay earnings at a rate higher than the cost of borrowing. LIQUIDITY.The speed and ease with which an asset can be converted to cash without a substantial loss of value.. LOCAL AGENCY.County,city,city and county,including a chartered city or county, school district,community college district,public district,county board of education,county superintendent of schools,or any public or municipal corporation. LOCAL AGENCY INVESTMENT FUND (LAIF).The LAIF is an investment alternative for California’s local government and special districts authorized under Sections 16429.1,2,and 3,of the California Government Code (the uCoden)The LAIF is managed by the State Treasurer’s Office,with oversight by the Local Agency Investment Advisory Board.All securities in LAIF are purchased under the authority of Code Sections 16430 and 16480.4.The State Treasurer’s Office receives all securities on a delivery versus payment basis using a third party custodian.All securities are purchased at market,with market valuation conducted monthly. MARKET RISK.The risk that the value of securities will fluctuate with changes in overall market conditions or interest rates. MARK-TO-MARKET.The market valuation for every security in a portfolio used in determining Net Asset Value (NAy). MARKET VALUE.The price at which a security can be traded (i.e.,purchased or sold). MASTER REPURCHASE AGREEMENT.A written contract covering all future transactions between the parties to repurchase or reverse repurchase agreements that establishes each party’s rights in the transactions.A master agreement will often specify,among other things,the right of the buyer-lender to liquidate the underlying securities in the event of default by the seller-borrower. MATURITY.The final date upon which the principal or stated value of a security becomes due and payable. MEDIUM TERM NOTES (MTN).Debt securities issued by a corporation or depository institution with a maturity ranging from nine months to five years.The term “medium-term notes”refers to the time it takes for an obligation to mature,and includes other corporate debt securities originally issued for maturities longer than five years,but which have now fallen within the five year maturity range. MTNs issued by banks are also called “bank notes.” Page 5 of 11 MODIFIED DURATION.Measures the percentage price volatility of a fixed income security or portfolio.Modified duration approximates the change in price for small changes in interest rates,assuming that the cash flow characteristics do not change when the yield curve shifts. MONEY MARKET.The market in which short term debt instruments (T-bills,discount notes,commercial paper and banker’s acceptances)are issued and traded. MORTGAGE PASS THROUGH SECURITIES.Securities collateralized with residential mortgage loans,the principal and interest payments of which are distributed,or “passed-through”to the investor.Many of these securities are issued by agencies of the federal government,including GNMA and FHLMC. MONEY MARKET MUTUAL FUNDS.An investment company that pools money from investors and invest in a variety of short-term money market instruments.The Net Asset Value (NAV)of these funds should remain at $1.00;however,it is not guaranteed. MOODY’S INVESTORS SERVICE,INC.(See Nationally Recognized Rating Services) MUNICIPAL DEBT.Issued by public entities to meet capital needs. NATIONALLY RECOGNIZED RATING SERVICES.Firms that review the creditworthiness of the issuers of debt securities,and express their opinion in the form of letter ratings (e.g.AAA,AA,A,BBB,etc.)The primary rating agencies include Standard &Poor’s Corporation;Moody’s Investor Services, Inc.;Fitch Investors Service;Duff &Phelps Investment Service;Thompson BankWatch and International Bank Credit Analyst. NEGATIVE CONVEXITY.A phenomenon associated with bonds which have embedded call options,it measures the rate at which duration of a callable bond gets smaller as interest rates fall.Negative convexity is an undesirable characteristics in bonds. NEGOTIABLE CD.(See Certificates of Deposit) NET ASSET VALUE (NAy).A per-share valuation of a mutual fund based on total assets minus total liabilities. NON-CALLABLE.Bond that is exempt from any kind of redemption for a stated time period. OFFER PRICE.The price asked by a seller of securities. Page 6 of 11 OPTION ADJUSTED SPREAD.A measure of the value of a bond relative to a benchmark security,which takes into account the value of the embedded option inherent in any bond that has uncertain cash flows (i.e.,callable bonds). ORANGE COUNTY TREASURER’S MONEY MARKET COMMINGLED INVESTMENT POOL (OCCIP).A money market investment pool consisting of funds deposited by various entities required to do so by statute,as well as those entities voluntarily depositing monies in accordance with California Government Code Section 53684.The OCCIP is managed by the Orange County Treasurer’s Office,with oversight by the Orange County Treasury Advisory Committee. PAR VALUE.The amount of principal which must be paid at maturity.Also referred to as the face amount of a bond,normally quoted in $1 ,000 increments per bond. PHYSICAL DELIVERY.The delivery of an investment to a custodian bank in the form of a certificate and/or supporting documents evidencing the investment (as opposed to “book entry”delivery), PORTFOLIO.A collection of securities held by an investor. PRICE RISK.The risk that the price of a bond sold prior to maturity will be less than the price at which the bond was originally purchased. PRIMARY DEALER.A group of government securities dealers who submit daily reports of market activity and positions and monthly financial statements to the Federal Reserve Bank of New York,and are subject to its informal oversight. PREMIUM.The difference between the par value of a bond and the market value of the bond,when the market value is above par. PREPAYMENT SPEED.A measure of how quickly principal is repaid to investors in mortgage securities. PREPAYMENT WINDOW.The time period over which principal repayments will be received on mortgage securities at a specified prepayment speed. PRUDENT INVESTOR RULE.A standard of responsibility which applies to fiduciaries.In California,the rule is stated as “Investments shall be managed with the care,skill,prudence and diligence,under the circumstances then prevailing,that a prudent person,acting in a like capacity and familiar with such matters,would use in the conduct of an enterprise of like character and with like aims to accomplish similar purposes.” PRIME RATE.The interest rate banks charge the biggest borrowers with the best credit ratings. Page 7 of 11 PRINCIPAL.The face value or par value of an investment. PSA MASTER REPURCHASE AGREEMENT.A written contract covering all future transactions between the parties to repurchase agreements that establishes each party’s rights in the transactions. RATE OF RETURN.The yield obtainable on a security based on its purchase price or its current market price.This may be the amortized yield to maturity on a bond the current income return. REALIZED RETURN.The change in value of the portfolio due to interest received and interest earned and realized gains and losses.It does not give effect to changes in market value on securities which have not been sold from the portfolio. RECEIVABLE-BACKED SECURITIES.Securities collateralized with consumer receivables,such as automobile loans,credit card receivables,or home equity loans,which are owned by the issuer,but placed with a trustee for the benefit of the investor. RECEIVABLE PASS-THROUGH CERTIFICATE.A debt obligation that is backed by a portfolio of receivables,normally issued by a bank of financial institution.The interest and principal of the obligation is paid out of the cash flow generated by the receivables portfolio. REGISTERED STATE WARRANT.A short-term obligation of a state governmental body issued in anticipation of revenue. REINVESTMENT RISK.The risk that coupon payments (or other payments received) cannot be reinvested at the same rate as the initial investment. REPURCHASE AGREEMENT (RP OR REPO).The purchase of securities,on a temporary basis,with the seller’s simultaneous agreement to repurchase the securities at a later date at a specified price that includes interest for the buyer~s holding period.In essence,this is a collateralized investment whereby the security “buyer’lends the “seller’money for the period of the agreement. REVERSE REPURCHASE AGREEMENT (REVERSE REPO).A short-term transaction in which an investor (seller)sells a government security it owns to a bank or dealer (buyer)under an agreement in which the buyer agrees to sell the security back to the investor on a specified date,at an agreed-upon interest rate. RULE G-37 OF THE MUNICIPAL SECURITIES RULEMAKING BOARD.Federal regulations to sever any connection between the making of political contributions and the awarding of municipal securities business. Page 8 of 11 SAFEKEEPING.A service to bank customers whereby securities are held for protection by the bank in the customer’s name. SCENARIO ANALYSIS.A portfolio management technique that measures the performance of the portfolio under varying scenarios including,but not limited to, interest rate movements,spread changes and nonparallel yield curve shifts. SECONDARY MARKET.A market made for the purchase and sale of outstanding issues following the initial sale and distribution. SECURITIES &EXCHANGE COMMISSION (SEC).The federal agency responsible for supervising and regulating the securities industry. SEC RULE 15c3-1.Uniform Net Capital Rule. STANDARD &POOR’S CORPORATION.(See Nationally Recognized Rating Services) STANDARD PREPAYMENT MODEL (TBMA).A measure of mortgage prepayment activity.The model is expressed as a monthly series of annual prepayment rates.The series begins at .2%per year in the first month,and increases by .2%per year in each successive month until month 30,where it levels out at 6%per year until maturity.This series is labeled 100 PSA.200 PSA doubles this series,and 50 PSA would cut the series in half. STRUCTURED NOTE.A complex,fixed income instrument which pays interest based on a formula tied to other interest rates,commodities or indices.Examples include inverse floating rate notes which have coupons that increase when other interest rates are falling,and which fall when other interest rates are rising,and “dual index floaters,”which pay interest based on the relationship between two other interest rates for example,the yield on the ten-year Treasury note minus the Libor rate.Issuers of such notes lock in a reduced cost of borrowing by purchasing interest rate swap agreements. THE BOND MARKET ASSOCIATION (TBMA).A trade association representing more than 260 securities firms and banks that underwrite,trade and sell debt securities.The TBMA,formerly known as the Public Securities Association, provides a forum through which industry professionals can respond to current issues and foster improvements in the legislative,regulatory,educational and market practices in the bond market. THIRD-PARTY CUSTODIAL AGREEMENT.(See Custodian) TOTAL RATE OF RETURN.A measure of a portfolio’performance over time,It is the internal rate of return which equates the beginning value of the portfolio with the ending value,and includes interest earnings and realized and unrealized gains and losses on the portfolio. Page 9 of 11 TRADE DATE.The date and time corresponding to an investor’s commitment to buy or sell a security. U.S.GOVERNMENT AGENCY SECURITIES.Debt securities issued by U.S. Government sponsored enterprises and federally related institutions.These government agencies include:Federal Home Loan Banks (FHLB);Federal Home Loan Mortgage Corporation (FHLMC,or “Freddie Mac”);Federal National Mortgage Association (FNMA,or “Fannie Mae”);Federal Farm Credit Banks (FFCB);Resolution Trust Corporation (RTC);and Tennessee Valley Authority (WA). U.S.TREASURY SECURITIES.Securities issued by the U.S.Treasury and backed by the full faith and credit of the United States.Treasuries are considered to have no credit risk,and are the benchmark for interest rates on all other securities in the U.S.and overseas.The Treasury issues both discounted securities and fixed coupon note~and bonds. Treasury Bills.Non-interest-bearing discount securities with maturities under one year issued by the U.S.Treasury to finance the national debt. Treasury Notes.Interest-bearing obligations of the U.S.Treasury with maturities ranging from two to ten years from date of issue. Treasury Bonds.Interest-bearing obligations issued by the U.S.Treasury with maturities that range from ten to thirty years from date of issue. UNIFORM NET CAPITAL RULE.Requirement of the Securities and Exchange Commission that member firms as well as nonmember broker-dealers in securities maintain a maximum ratio of indebtedness to liquid capital of 15 to 1; also called net capital rule and net capital ratio. VARIABLE RATE NOTE.(See Floating Rate Note) VOLATILITY.The rate at which security prices change with changes in general economic conditions or the general level of interest rates. YIELD TO MATURITY (YTM).The annualized internal rate of return on an investment which equates the expected cash flows from the investment to its cost. Yield to maturity (at market).The discount rate that equates the present value of the promised cash flow (interest payments and redemption value)to the market price,assuming that all cash flows are invested at the YTM rate. Yield to maturity (at purchase cost).The YTM that equates to the purchase price of the security. PagelOofil YIELD.The annual rate of return on a debt investment computed as though held to maturity expressed in %. ZERO-COUPON BONDS/U.S.TREASURY STRIPS.A bond which represents ownership of a single coupon or principal payment due on a U.S.Treasury bond. “Zeros”or “strips”mature at face value at a specified date in the future and make no payments until that date.They always sell at a discount from face value. Page 11 of 11 Orange County Sanitation District (714)962-2411 mailing address: P.O.Box 8127 Fountain Valley,California 92728-8127 street address: 10844 Ellis Avenue Fountain Valley,California 92708-7018 0 OCSD 7/21/99