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HomeMy WebLinkAboutOCSD 00-16 (REPEALED)'\ .. RESOLUTION NO. OCSD-00-16 AUTHORIZING THE DISTRICrs TREASURER TO INVEST AND/OR REINVEST DISTRICrs FUNDS. AND ADOPTING DISTRICrs INVESTMENT POLICY STATEMENT AND PERFORMANCE BENCHMARKS A RESOLUTION OF THE BOARD OF DIRECTORS OF THE ORANGE COUNTY SANITATION DISTRICT, AUTHORIZING THE DISTRICrS TREASURER TO INVEST AND/OR REINVEST DISTRICrs FUNDS, AND ADOPTING DISTRICrS INVESTMENT POLICY STATEMENT AND PERFORMANCE BENCHMARKS; AND REPEALING RESOLUTION NO. OCSD 99-14 *************** WHEREAS, on July 21, 1999, the Board of Directors adopted Resolution No. 99-14, 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 Districf 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. REPEALED BY OCSD 01-13 Section 2: That the Board of Directors hereby adopt the Investment Policy Statement of the Orange County Sanitation District, as set forth in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-Bill 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 Merrill 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 99-14 is hereby repealed. PASSED AND ADOPTED at regula _meeting held July 19, 2000. ATTEST: \\RADON\DATA1\WP.OTA\ADMIN\BS\RESOLUTIONS\2000\00-16.DOC Exhibit "B" FY 2000 -01 Performance Monitoring & Reporting Schedule For the FAHR Committee The Monthly Treasurer's The Quarterly Investment and Board of Directors Report to be presented Management Program meetings of: for the month of: Report to be presented for the period of: July 2000 June 2000 August July April -June 2000 September ' August October September November October July -Sept 2000 December November January 2001 December 2000 February January 2001 Oct -Dec 2000 March February April March. May April Jan -March 2001 June May H:I ... IFINANCE\210\KOZAK\EXHIBITB POLICY REFERENCE 15.1.1 15.1.2 15.1.3 15.1.4 15.1.5 15.1.6 15.1.7 15.1.8 15.1.9 ADDL** ADDL** ADDL** ADDL** 15.1.10 . Notes *M =Monthly *Q = Quarterly EX' T "B" ORANGE COUNTY ..,ANTIATION DISTRICT PERFORMANCE MONITORING & REPORTING FOR THE DISTRICT'S INVESTMENT PRO.GRAM PERFORMANCE CHARACTERISTIC Cost and market value of the portfolio (monthly mark-to-market). Modified duration of the portfolio compared to benchmark. Dollar change in value of the portfolio for a 1 % change in interest rate. 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. For the Liquid Operating Monies account only, the percent of portfolio maturing within 90 days. Average portfolio credit quality. .. Percent of portfolio with credit ratings below •A• by any rating agency, and a description of such securities. Listing of any transaction or holdings which do not comply with this policy or with the California Government Code. 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. Comparison of portfolio performance to market index benchmark. Comparison of Manager's performance to peer group benchmark. Monitoring of organizational and structural changes of investment management firm. Audit portfolios for compliance with investment policy guidelines. REPORTING PARTY* PIMCO MELLON CALLAN M,Q M,Q Q M,Q Q M,Q Q M,Q M,Q Q M,Q Q M,Q Q M,Q M,Q Q M,Q Q Q Q Q OCSD will report if sufficient funds are available for it to meet operating expenditure requirements for the next six months, or if not, state the reason for the shortfall. **ADDL= Monitoring of Additional Peformance Characteristics H:\wp.dta\fln\210\crane\INVEST.PL Y\Montiorlng Rpt2000.doc ORANGE COUNTY SANITATION DISTRICT INVESTMENT POLICY STATEMENT Reviewed and Approved By Finance, Administration and Human Resources Committee On July 12, 2000 Adopted By Board of Directors On July 19, 2000 Section 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 Appendix TABLE OF CONTENTS Topic Policy ...................................................................................... 1 Scope ..................................................................................... 1 Standard of Prudence ............................................................ 2 Investment Objectives ............................................................ 2 Delegation of Authority ........................................................... 3 Ethics and Conflicts of Interest.. ............................................. 4 Authorized Financial Dealers and Institutions ........................ 4 Authorized and Suitable Investments ..................................... 5 Collateralization ..................................................................... 9 Safekeeping and Custody ...................................................... 9 Diversification ........................................................................ 1 O Maximum Maturities .............................................................. 11 Internal Control. ..................................................................... 12 Performance Objectives and Benchmarks ............................ 12 Reporting ............................................................................... 13 Investment Policy Adoption and Revision ............................. 14 A Summary of Investment Authorization B. Treasury Management Procedures C. Investment Manager Certification D. Investment Pool Questionnaire (LAIF) E. Board Resolution No. OCSD-00-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 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; except for the proceeds of OCSD's capital projects financing program, which are invested in accordance with provisions of their specific bond indentures; and such other 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 TRe staReaFe ef pFl:ileeRee te 9e l:il&ee 9y QCSQ iRteFRal staff &Rall 9e tRe ''pl'llde11t ill\INt&F' staReaFe eefiRee 9elew iR SeetieR 3.1.1, aRe &Rall 9e applies iR tRe eeRteMt ef FR&RagiRg aR 9\'9Fall per:tfelie. IRvestFReRt staff aetiRg iR aeeeFeaRee witR ·.witteR pFeeeel:ilFEJ& &Re tRi& IRvestFR&Rt Peliey aRe 8M8FSi&iRg el:ile eilig9R89 &Rall 9e F&lie·1ee ef p9F89R81 F88p8R&i9ility feF QR iReiviel:ilal 888l:i1Fity's SFeeit Fi&I< 8F FR&Fl<&t prise 8R&Rg8&, pF9¥ieee eeviatieR& freFR eMpeetatieRs &Fe Fepertee iR a tiFRely fa&Ri&R aRe appFepriate aetieR is tal<&R te eeRtrel aeveFse eevelepFR&Rts. 3.1.1 l'l:la PFUEl&At IAvaster &taAElarEli !Rves#FReR#s sRa!! se FRafle v1i#R }l:ffi§FReR# aREJ ea.,;e t:JRfler 6il9f:IFRsraRess #ReR ~Fevai!iR§ wRieR ~eFseRs ef ~t'1:19eRes, 9iS6::etieR aRfi • ' ,,. • • 11... ' & ,... • " • IRt9nt§eR98 SJfeFQSe IR me FRSRS§eFR9Rt 8r m8JF 9WR Sf'f131ff!i, Re# fer s~eet:iJa#ieR, 81:1# fer iRVSS#FReR#, 98RsifleFiR§ #Re ~FS8a81e safety ef #Reir ea~i#a! as Vl9!! as #Re ~Fesas.'e ffResFRe le se fleFi\teEJ. 4.0 Investment Objectives: The primary objectives of OCSDs investment activities, in priority order, and as described in Section 53600.5 of the California Government Code, shall be: 4.1 Safety: The safety and preservation of principal is the foremost objective of the investment program of 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 Page 2of14 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. 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-tcxtay 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. Page 3of14 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. 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, the Treasurer 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 Page 4of14 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. 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: 0.1 ~!-~~~!!!~! §1!11'11!§~:1~,~~~llB!!! t j§§yjj;f Ll ? ·.•.·.·. .w ................................. · w w w .. Page 5of14 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 (10s) and principal-only payments (POs); inverse floaters, and RE-REMICs (Real Estate Mortgage Investment Conduits), is hereby prohibited. 8.3 Commercial paper of "prime" quality and rated "P1" by Moody's Investor Services (Moody's), and rated "A1" 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 "A1" 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. If, at the time of purchase, an eligible note is rated in a rating category of "A" or better by only one rating agency, the note shall also be rated at least "BBB" by the other rating agency. If, after purchase, the rating of an eligible note in a rating category of "A" or better, is downgraded to "BBB," the external investment advisor shall notify the District of the downgrade, and shall present an analysis and recommendations as to the disposition of the note consistent with the investment objectives of this Investment Policy. No more than 30% of the portfolio may be invested in eligible medium term or corporate notes. Page 6of14 8.6 Shares of mutual funds investing in securities permitted under this policy and under Section 53601 (~)of the California Government Code. Such funds must either: (1) 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 mana ement in excess of $500 ~illi<?P· ... 1:b! .. P.~E8.base rice of Ql6A ' '" . 'emefiaa ?"'' '' " Jaoutot tetal per#elie. 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, and 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 of the California Financial Code; and 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, "A1" 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 Page 7of14 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, ii~lr.a1iliWii.~il~;;,;~;;;y .. '.'.l~~:11:e~!!~~~~~~11~~~!~!1 ~!i 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. Investment of District funds in OCCIP would be subject to investigation and due diligence prior to investing, and on a continual basis 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 (IOs) 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: Page 8of14 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 Distrids' 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 exad date of a known cash flow which will be unconditionally available to repay the maturing reverse repurchase agreement. 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: Page 9of14 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 custodian 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. 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. C'' ''""'" i111111~~111m11~~1m111·~1§1I9m Hl·~~~~ ~111s~'.'"' ····· mteY.rmi§isfom9!91!!9!m!~, 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 11.9 No more than 30% of the portfolio may be invested in negotiable certificates of deposit. 11.1 O 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- Page 10of14 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. 11.14 No more than 20% of the portfolio may be invested in repurchase agreements. 11.15 No more than 5% of the portfolio 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). Page 11 of 14 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. 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 Objectives 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 Board of Directors, when the duration of the portfolio is established. This market index is more fully described in Board Resolution No. OCSD-00-XX {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-00-XX {See Appendix "E"). 15.0 Reporting: Page 12of14 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 Sections 53607, §,~ml. 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 "F." 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 of 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. 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. Page 13of14 15.2 OCSD's Treasurer shall 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 14of14 APPENDIX "A". SUMMARY OF INVESTMENT AUTHORIZATION INTERNAL AND EXTERNAL MANAGERS SHORT TERM OPERA TING FUND INVESTMENT U.S. Treasuries Federal Agencies Mortgage-backed Commercial paper Banker's Accept. Medium Term Notes Mutual Funds Negotiable CDs Municipal Bonds LAIF OCIP CM Os Asset-backed Repurchase Agree. Reverse Repos INTERNAL OK Fixed coupon, fixed mat. NO OK OK Fixed coupon, fixed mat.* Money Market Only- Fixed coupon, fixed mat.* OK* OK OK NO NO OK OK* EXTERNAL OK OK NO OK OK OK Money Market Only OK NO NO NO NO NO OK OK LONG TERM OPERA TING 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 CM Os NO With Board Approval Asset-backed NO With Board Approval Repurchase Agree. OK OK Reverse Repos OK* OK *wrth prior approval of the Finance, Administration and Human Resources Committee. -using financial institutions approved by the Finance, Administration and Human Resources Committee. C:ITEMP\20001NVESTPL Y _REVISED.OOC .~ I • • • • • I • • • I~~[E~f ~[E~f fJ©lICV -Orange County Sanitation District, California -----~------ ---. --· ---· --· ------·--- -···-------j I ---~ 57,81-•-·I . J ___ _ -· ---i ~-""' -------__ J ORANGE COUNTY SANITATION DISTRICT INVESTMENT POLICY STATEMENT Reviewed and Approved By Finance, Administration and Human Resources Committee On July 12, 2000 Adopted By Board of Directors On July 19, 2000 @ 00 MUNICIPAL TREASURERS' ASSOCIATION May 28, 1999 Gary G. Streed Director ofFinance!freasurer Orange County Sanitation District 10844 Ellis Avenue Fountain Valley, CA 92708 Dear Mr. Streed: UNITED STATES & CANADA 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 25th. Please 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, /~~1~ s~{'.~ra e Executive D" ector 1029 Vermont Avenue, NW, Suite 710, Washington, DC 20005 PHONE 202-737-0660 FAX 202-737-0662 TABLE OF CONTENTS • ) ' • ORANGE COUNTY SANITATION DISTRICT INVESTMENT POLICY STATEMENT Reviewed and Approved By Finance, Administration and Human Resources Committee On July 12, 2000 Adopted By Board of Directors On July 19, 2000 Section 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 Appendix TABLE OF CONTENTS Topic Policy ...................................................................................... 1 Scope ..................................................................................... 1 Standard of Prudence ............................................................ 2 Investment Objectives ............................................................ 2 Delegation of Authority ........................................................... 3 Ethics and Conflicts of Interest.. ............................................. 4 Authorized Financial Dealers and Institutions ........................ 4 Authorized and Suitable Investments ..................................... 5 Collateralization ...................................................................... 9 Safekeeping and Custody ...................................................... 9 Diversification ........................................................................ 10 Maximum Maturities .............................................................. 11 Internal Control ...................................................................... 12 Performance Objectives and Benchmarks ............................ 12 Reporting ............................................................................... 13 Investment Policy Adoption and Revision ............................. 14 A. Summary of Investment Authorization B. Treasury Management Procedures C. Investment Manager Certification D. Investment Pool Questionnaire (LAIF) E. Board Resolution No. OCSD-00-16, 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; except for the proceeds of OCSD's capital projects financing program, which are invested in accordance with provisions of their specific bond indentures; and such other 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: The standard of prudence to be used by OCSD internal staff, and any authorized investment advisor(s), shall be as described in Section 53600.3 of the California Government Code as follows: 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. 4.0 Investment Objectives: The primary objectives of OCSDs investment activities, in priority order, and as described in Section 53600.5 of the California Government Code, shall be: 4.1 Safety: The safety and preservation of principal is the foremost objective of the investment program of 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 2of14 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 3of14 6.0 Ethics and Conflicts of Interest: 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, the Treasurer 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 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 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, obligations, participations, or other instruments of, or issued by, or fully guaranteed as to principal and interest by the US Government, a federal agency, or a US Government-sponsored enterprise pursuant to Section 53601 (e) of the California Government Code. 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 (10s) 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), and rated "A1" 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 "A1" 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. If, at the time of purchase, an eligible note is rated in a rating category of "A" or better by only one rating agency, the note shall also be rated at least "BBB" by the other rating agency. If, after purchase, the rating of an eligible note in a rating category of "A" or better, is downgraded to "BBB," the external investment advisor shall notify the District of the downgrade, and shall present an analysis and recommendations as to the disposition of the note consistent with the investment objectives of this Investment Policy. 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 Section 53601 (k) of the California Government Code. Such funds must either: (1) 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 Page 6 of 14 ) • Section 53601, and with assets under management in excess of $500 million. The purchase price of shares of beneficial interest purchased pursuant to this policy, and the California Government Code may not include any commission that the companies may charge, and shall not exceed 15% of the District's surplus money that may be invested pursuant to this section. However, no more than 10% of the District's surplus funds may be invested in shares of beneficial interest of any one (1) mutual fund pursuant to this section. 8.7 Certificates of deposit: 8.8 8.9 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, and 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 of the California Financial Code; and 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, "A1" 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. 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. 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 to a level of review pursuant to Section 3.0, Standard of Prudence, of this Policy. See Appendix "D" for investment pool questionnaire . Page 7 of 14 ) • 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. Investment of District funds in OCCIP would be subject to investigation and due diligence prior to investing, and on a continual basis to a level of review pursuant to Section 3.0, Standard of Prudence, of this Policy. 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 (IOs) 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 . Page 8 of 14 • 8.13.3 Reverse repurchase agreements shall mature on the exact date of a known cash flow which will be unconditionally available to repay the maturing reverse repurchase agreement. 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 custodian 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. Investment in mutual funds is not governed by this Section 11.3. See Section 11.8 for conditions of purchase of mutual funds. 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. However, no more than 10% of the District's portfolio may be invested in shares of beneficial interest of any one (1) mutual fund. 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 . Page 10of14 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. 11.14 No more than 20% of the portfolio may be invested in repurchase agreements. 11.15 No more than 5% of the portfolio 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 11of14 ) 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 Objectives 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 Board of Directors, when the duration of the portfolio is established. This market index is more fully described in Board Resolution No. OCSD-00-16 (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-00-16 (See Appendix "E"). 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 Sections 53607, 53646, and this Investment Policy. The quarterly reports shall provide clear and concise status Page 12 of 14 ) • 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 "F." 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 of 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. 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 shall 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 atterid said meetings at the discretion of the Chairman of the Finance, Administration and Human Resources Committee . Page 13 of 14 • ) • 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 • • • I APPENDIX "A" I • • .. • • APPENDIX "A" SUMMARY OF INVESTMENT AUTHORIZATION INTERNAL AND EXTERNAL MANAGERS SHORT TERM OPERATING FUND INVESTMENT U.S. Treasuries Federal Agencies Mortgage-backed Commercial paper Banker's Accept. Medium Term Notes Mutual Funds Negotiable CDs Municipal Bonds LAIF OCIP CM Os Asset-backed Repurchase Agree. Reverse Repos INTERNAL OK Fixed coupon, fixed mat. NO OK OK Fixed coupon, fixed mat.* Money Market Only** Fixed coupon, fixed mat.* OK* OK OK NO NO OK OK* EXTERNAL OK OK NO OK OK OK Money Market Only OK NO NO NO NO NO 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 CM Os 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. llRADONIDATA 1\WP.DTAIFIN\210\CRANEllNVEST.PL Y\991NVESTPL Y.DOC .. I APPENDIX "B" I • • Revised: June 1, 1999 1.0 Purpose Orange County Sanitation District Treasury Management Procedures Appendix "B" 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 LAIF; 5.1.1.3 The date and signature approval 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. I .. • • 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 5of7 7.0 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. Recording of investment transactions: 7 .1 For investment transactions conducted by District staff with the LAI F, 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 Page 7 of 7 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 "A" 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: Name Controller Position Date C:\WPDATA\CTYINV\LAIFAUTH99 Wire transfer transaction approved by: Name Director of Financerrreasurer Position Date ATTACHMENT "B" 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: Step 2: Step 3: 1. 2. 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. LAIF will give you a confirmation number. 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). 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:\ WPQATA \CTYINV\LAIFPROC99 • • • Orange County Sanitation District FAX TO: FROM: DATE: SUBJECT: PAGES: MESSAGE: A TI ACHMENT "C" (Deposit) SEE DISTRIBUTION LIST FAX NO.: SEE DISTRIBUTION LIST Steve Kozak, Financial Manager FAX NO.: (714) 962-3954 June 22, 1999 TIME: Pacific Time RECEIPT AND INVESTMENT OF WIRE TRANSFER OF FUNDS, FRIDAY, xx JUNE 1999 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. On Friday_, xx June 1999, you will receive a wire transfer of funds in the exact sum of $xx milli~n ($x~O~O,OOO)l for immediate investment in the District's Long-Term Operating Monres Pomoho, as fo lows: FROM: Union Bank of California ABA No: 122-000-496 Debit to: Orange County Sanitation District Account No: 2740013230 Boston Safe Deposit & Trust ABA No: 011001234 TO: Credit to: Mellon Trust/PIMCO-Long-Term Operating Monies Account No: OCS F0752222 DOA 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 Wire transfer transaction approved by: Gary Streed, Director of Finance/Treasurer DISTRIBUTION LIST Patrick Ludden, Mellon/Boston Trust =Virginia Eggleston, Mellon/Boston Trust _Rita Seymour or Gordon Hally, PIMCO _Simone Barry, PIMCO H:t .. IFINANCE\2210\KOZAKIWPDOCS\PIM_WIRE.TRN 617+382+2155 415+438+5899 949+720+1376 949+644+6486 Date Date 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: OCSF0752222 PIMCO -Long-Term Operating Portfolio TO: Union Bank of California ABA No: 122-000-496 Credit to: Orange County Sanitation District Account No: 27 40013230 DATE: Tuesday, xx June 1999 NOTE: WIRE TRANSFER MUST BE COMPLETED AND CONFIRMED NO LATER THAN 9:30 A.M. ON xx JUNE 1999. Please confirm completion of transfer with Steve Kozak. Wire transfer instructions reviewed by: Michael White, Controller Wire transfer transaction approved by: Gary Streed, Director of Financeffreasurer DISTRIBUTION LIST Patrick Ludden, Mellon/Boston Trust =Virginia Eggleston, Mellon/Boston Trust _ Rita Seymour, PIMCO _Simone Barry, PIMCO H:l. .. IFINANCE\2210\KOZAK\WPDOCSIPIM_WIRE.TRN 617+382+2155 415+438+5899 714+720+1376 714+644+6486 Date Date • I APPENDIX "C" I ) • • June 28, 2000 Mr. Gary Streed Director of Finance Orange County Sanitation District 10844 Ellis Avenue Fountain Valley, CA 92708 Dear Mr. Streed: PIM C 0 PACIFIC INVESTMENT MANAGEMENT COMPANY 840 Newport Center Drive Suite 300 Newport Beach, CA 92660 Tel: 949.720.6000 Fax: 949.720.1376 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 2000-2001. 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, ~~Af~ Joseph A. Fournier Account Manager JAF:ci Copy: Mr. Steve Kozak I APPENDIX "D" I • UJ ~ ~ ro < I-'• [/) ro 0. (/) ro 'O rT (!) 3 C'" ro '"'I UJ 0 • • LAIF'S RESPONSE TO INVESTMENT POOL QUESTIONNAIRE QUESTION I. SECURITIES 1. Does the pool provide a written statement of investment policy and objectives? 2. Does the statement contain: a. a description of eligible investment instruments? b. the credit standards of investments? c. the allowable maturity range of investments? d. the maximum allowable dollar weighted average portfolio maturity? e. the limits of portfolio concentration permitted for each type of security? f. the policy on reverse repos? 3. Are changes in the policies communicated to the pool participants? II. INTEREST Interest Calculations 1. Does the pool disclose the following about yield calculations? a. Which methodology is used to calculate interest? (simple maturity, yield to maturity, etc.) b. What is the frequency of interest payments? c. How is interest paid? (credited to principal at the end of the month, each quarter, mailed?) d. How are gains/losses reported? (factored monthly or only when realized?) YES NO EXPLANATION YES ·+· .. YES YES YES YES YES YES YES On dollars per day .. Quarterly. Credited to principal at end of quarter. When realized. w lJ1 :;Cl m < ~· (Jl m 0.. CJ) m "O rT m 3 O'" m '1 w 0 LAIF'S RESPONSE TO INV..__, •"MENT POOL QUESTIONNAIRE QUESTION YES NO EXPLANATION Reporting 1. Is the yield reported to participants of the pool monthly? (If not, how often?) YES 2. Are expenses of the pool deducted before quoting the yield? NO Expenses of the pool deducted quarterly i· prior to interest allocation. 3. Is the yield generally in line with the market yields for securities in which you YES usually invest? i Ill. SECURITY 1. Does the pool disclose safekeeping practices? (If yes, what are they?) YES Statute requires all instruments of title of all investments of the fund to remain in the Treasurer's 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. 2. Is the pool subject to audit by an independent auditor? YES 3. Is the copy of the audit available to participants? YES 4. Who makes the portfolio decisions? State Treasurer, Investment Division staff. 5. How does the manager monitor the credit risk of the securities in the pool? Written Statement of Policies, Goals, Objectives, annual independent market valuation. • :;'l::l I'll < I-'· [I] It) i:i. (/) I'll 'C ~ fl) 3 er fl) '1 (.,..) 0 • • LAIF'S RESPONSE TO INVE:. .... , NIENT 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 , 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. ~ 11> < I-'· (/l 11> 0. (/) 11> "tj ~ 11> a C" 11> '1 VJ o. -. ) .....) 1"r1 LAIF'S RESPONSE TO INVESTMENT POOL QUESTIONNAIRE 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 YES YES YES Quarterly. Prior to interest allocation. 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. 1 O transactions. -$30 million maximum $ 5 thousand minimum. -$30 million maximum $ 5 thousand minimum. w 0 • LAIF'S RESPONSE TO INVl-1 MENT POOL QUESTIONNAIRE QUESTION YES NO EXPLANATION 6. Does the pool require one or more days notice for deposits and/or withdrawals? NO However, we ask that withdrawals of $1 O million or more give 24 hour notice. 7. Is there a cutoff time for deposits and withdrawals? YES Call by 9:30 a.m. for same day credit. 8. Are the funds 100% withdrawable at any time? YES' 9. Are there procedures for making deposits and withdrawals? YES a. What is the paperwork. required, if any? Resolution authorized by governing body and banking information. Authorized caller needs PIN #, banking information, and account# to be credited for withdrawals. b. What is the wiring procedure? lnterbranch transfers, or fed wires if corresponding bank is necessary. 10. Can an account remain open with a zero balance? YES 11. Are confirmations sent following transactions? Included as part of monthly statement. -BOND PROCEEDS HAVE NO MAXIMUM DEPOSIT AMOUNT AND ARE MAINTAINED ON THIRTY DAY INCREMENTS. I APPENDIX "E" I • • • RESOLUTION NO. OCSD-00-16 AUTHORIZING THE DISTRICT'S TREASURER TO INVEST AND/OR REINVEST DISTRICT'S FUNDS. AND ADOPTING DISTRICT'S 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 DISTRICT'S FUNDS, AND ADOPTING DISTRICT'S INVESTMENT POLICY STATEMENT AND PERFORMANCE BENCHMARKS; AND REPEALING RESOLUTION NO. OCSD 99-14 ••••••••••••••• WHEREAS, on July 21, 1999, the Board of Directors adopted Resolution No. 99-14, 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-Bill 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 Merrill 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 99-14 is hereby repealed. ATIEST: ~1< Board Sec \\RADON\DATA1\WP.OTA\AOMIN\BS\RESOLUTIONS\2000\00-16.DOC Exhibit "B" FY 2000 -01 Performance Monitoring & Reporting Schedule For the FAHR Committee The Monthly Treasurer's The Quarterly Investment and Board of Directors Report to be presented Management Program meetings of: for the month of: Report to be presented for the period of: July 2000 June 2000 AuQust July April -June 2000 September August October September November October July -Sept 2000 December November January 2001 December 2000 February January 2001 Oct -Dec 2000 March February April March May April Jan -March 2001 • June May H:I ... IFINANCE\21 O\KOZAK\EXHIBITB • POLICY REFERENCE 15.1.1 15.1.2 15.1.3 15.1.4 15.1.5 15.1.6 15.1.7 15.1.8 15.1.9 ADDL** ADDL** ADDL** ADDL** 15.1.10 . Notes *M =Monthly *Q = r ·rterly EXHIBIT "B" ORANGE COUNTY SANTIATION DISTRICT PERFORMANCE MONITORING & REPORTING FOR THE DISTRICT'S INVESTMENT PROGRAM PERFORMANCE CHARACTERISTIC Cost and market value of the portfolio (monthly mark-to-market). Modified duration of the portfolio compared to benchmark. Dollar change in value of the portfolio for a 1 % change in interest rate. 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. For the Liquid Operating Monies account only, the percent of portfolio maturing within 90 days. Average portfolio credit quality. Percent of portfolio with credit ratings below •A• by any rating agency, and a description of such securities. Listing of any transaction or holdings which do not comply with this policy or with the California Government Code. 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. Comparison of portfolio performance to market index benchmark. Comparison of Manager's performance to peer group benchmark. Monitoring of organizational and structural changes of investment management firm. Audit portfolios for compliance with investment policy guidelines. REPORTING PARTY* PIMCO MELLON CALLAN M,Q M,Q Q M,Q Q M,Q Q M,Q I M,Q Q M,Q Q M,Q Q M,Q M,Q Q M,Q Q Q Q Q OCSD will report if sufficient funds are available for it to meet operating expenditure requirements for the next six months, or if not, state the reason for the shortfall . ** ADDL= itoring of Additional Peformance Characteristics H'.\wo.dta\fin\211)\cran<>\INVfST Pl V\ft/lontlnrin.n lioc I APPENDIX "F" • • FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Steve Kozak, Financial Manager Meeting Date To Bd. of Dir. 03/08/00 03/22/00 SUBJECT: TREASURER'S REPORT FOR THE MONTH OF FEBRUARY 2000 GENERAL MANAGER'S RECOMMENDATION Receive and file Treasurer's Report for the month of February 2000. 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" portfolios. The District's external money manager is operating in compliance with the requirements of the District's Investment Policy. The District's portfolio contains no reverse repurchase agreements. Historical cost and current market values are shown as estimated by both PIMCO and Mellon Trust. The District's portfolios are priced to market ("mark-to-market") as of the last day of each reporting period. The slight differences in value are related to minor variations in pricing assumptions by the valuation sources at the estimate date. PROJECT/CONTRACT COST SUMMARY None. BUDGET IMPACT D This item has been budgeted. D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. 1:8:1 Not applicable (information item) H:lwp.dtalfin\210\crane\FAHR\Fahr20001Mar\Treasurefs Report-Feb.doc Revised: B/20/98 Page 1 ADDITIONAL INFORMATION Schedules are attached summarizing the detail for both the short-term and long-term investment portfolios for the reporting period. In addition, a consolidated report of posted investment-portfolio transactions for the month 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. These reports accurately reflect all District investments and are in compliance with California Government Code Section 53646 and the District's Investment Policy. Sufficient liquidity and anticipated revenues are available to meet budgeted expenditures for the next six months. On February 24, 2000, the District received $63.5 million from the Orange County Investment Pool settlement distributions. The funds were deposited in the District's Long-Term portfolio for investment. 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. Funds/Accounts 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 ALTERNATIVES None. CEQA FINDINGS None. ATTACHMENTS 1. Monthly Investment Reports 2. Monthly Transaction Report H:\wp.dtalfin\210\crane\FAHR\Fahr20001Mar\Treasurefs Report-Feb.doe Revised: 8120198 .. Book Balances Estimated February 29, 2000 Yield(%). $ 24,175,271 5.8 337,214 - 3,328,000 5.1 19,565,992 5.2 344,497,416 4.4 2,010 5.7 32,156,124 6.0 8,900 -- $424,070,927 Page 2 • • Prepared by Finance, 03/07/2000, 10:17 AM • Monthly Treasurer's Report District Fund Balances & $400,000,000 -+-----------------------.. -----· $300,000,000 ~~~~~--~~~ll~ll~lll~ll~l--i~~~~*~~t~--~~~l~~~~~,~-~~~~~~-1 ~~~~~ 'r/~'/ '////. '///,/.; >C >C Sep,99 >C >C >C Oct, 99 Nov, 99 £!Pf MCO -Long-tenn a Debt Service Reserves C3 Bank Accts El Dist 11 GO Bond Fund · G:\excel.dta\fin\2220\,geggi\Finance\monthly treasurers report Dec,99 Jan,00 IZI Pf MCO -Short-tenn CDLAIF BPetty Cash Feb,00 MONT.REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ending 29 February 2000) Liquid Operating Monies (603) 15.1.1 PORTFOLIO COST AND MARKET VALUE Current Market Value Estimate: • PIM CO • Mellon Historical Cost: • PIM CO • Mellon 15.1.2 MODIFIED DURATION Of Portfolio: Of Index: 15.1.3 1% INTEREST RATE CHANGE Dollar Impact (gain/loss) of 1 % Change: 15.1.4 REVERSE REPOS % of Portfolio in Reverse Repos: (see attached schedule) 15.1.5 PORTFOLIO MATURITY % of Portfolio Maturing within 90 days: 15.1.6 PORTFOLIO QUALITY Average Portfolio Credit Quality: 15.1.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A": 15.1.8 INVESTMENT POLICY COMPLIANCE "In Compliance" 15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by Period: 1 Month: .• 3 Months: 12 Months: Year-to-Date: Commentary $19 ,652,945 $19,565,992 $19,587,145 $19,516,525 0.15 0.20 $29,682 0% 78% "AAA" 0% Yes Portfolio 0.58 l.52 5.46 l.04 • Interest rates at the short-end of the yield curve continued to rise during February in expectation of additional interest rate tightening by the Fed (e.g. 3-month Treasury Bill rates rose 9 basis points). • The Liquid portfolio outperformed its benchmark by 13 basis points in February. • PIMCO's decision to maintain a below-index duration added slightly to portfolio returns. • PIMCO's emphasis on corporates and commercial paper slightly enhanced returns. H:l.. IFINANCE\ ... \REVISED UQ0100.RPT Index 0.43 1.31 4.90 0.87 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ending 29 February 2000) Long-Term Operating Monies (203) 15.l.l PORTFOLIO COST AND MARKET VALUE Current Market Value Estimate: • PIM CO • Mellon Historical Cost: • PIM CO • Mellon 15.l.2 MODIFIED DURATION Of Portfolio: Of Index: 15.1.3 1%INTERESTRATECHANGE Dollar Impact (gain/loss) of 1% Change: 15.l.4 REVERSE REPOS % of Portfolio in Reverse Repos: (see attached schedule) 15.l.5 PORTFOLIO MATURITY % of Portfolio Maturing within 90 days: 15.l.6 PORTFOLIO QUALITY Average Portfolio Credit Quality: 15.l.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A": 15.l.8 INVESTMENT POLICY COMPLIANCE "In Compliance" 15.l.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by Period: I Month: 3 Months: .. 12 Months: Year-to-Date: Commentary • While short-end interest rates moved higher in February, yields on longer maturities declined (e.g. 2 and 5-year Treasury Note rates fell 7 and 8 basis points, respectively). • The Long-Term portfolio underperformed its benchmark by 11 basis points in February. • PIMCO's decision to maintain a below-index duration detracted slightly from portfolio returns given the decline in longer-term interest rates. • PIMCO's decision to hold mortgage securities added to relative returns, while their emphasis on corporates detracted from returns given their weak performance. H:l... IF!NANCE11101... IREV!SFD £..1TJ100.RPT • $344,527 ,241 $344,497,416 $347,326,352 $348,040,409 ' ' 2.23 2.37 $7,762,645 0% 48% "AAA" 0% Yes Portfolio Index 0.62 0.71 0.59 0.50 3.24 3.10 0.63 0.49 OCSF07511102 LIQUJD OPER-PIMCO PORTFOLIO DISTRIBUTION CASH & CASH EQUIVALENTS CASH TOTAL UNITED STATES COMMERCIAL PAPER -DISCOUNT TREASURY BILLS-LESS THN IYR FEDERAL HOME LOAN MORTGAGE -LESS FNMA ISSUES -LESS THN I YR FED HM LOAN BNK -LESS THN I YR TOT AL UNITED STA TES TOTAL CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES UNITED STATES U.S. AGENCIES ABS: CAR LOAN BANKING & FINANCE INDUSTRIAL UTILITY -TELEPHONE TOT AL UNITED STATES TOTAL FIXED INCOME SECURITIES OTHER PORTFOLIO ASSETS PAYABLES/RECEIVABLES TOTAL TOTAL OTHER PORTFOLIO ASSETS 07-Mar-2000 9:09:48 ( SA DI~ NET ASSET SECT SUMMARY 29-FEB-2000 COST MARKET VALUE 70,927.42 70,927.42 70,927.42 70,927.42 2,679,225.50 2,679,225.50 3,411,181.67 3,411,181.67 1,288,261.00 1,288,261.00 2,488,916.67 2,488,916.67 3, 799,396.22 3, 799,396.22 13,666,981.06 13,666,981.06 13,737,908.48 13, 737 ,908.48 999,200.00 999,840.00 905,913.00 902,664.00 1,497,145.50 1,495,318.50 1,935,205.00 1,921,446.00 512,080.00 508,815.00 5,849,543.50 5,828,083.50 5,849,543.50 5,828,083.50 223,959.80 223,959.80 223,959.80 223,959.80 223,959.80 223,959.80 CT %OF TOTAL 0.36% 0.36% 13.54% 17.24% 6.51% 12.58% 19.20% 69.06% 69.42% 5.05% 4.56% 7.56% 9.71% 2.57% 29.45% 29.45% 1.13% 1.13% 1.13% ASE: USD PRELIMINARY UNREALIZED GAIN/LOSS 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 640.00 -3,249.00 -1,827.00 -13,759.00 -3,265.00 -21,460.00 -21,460.00 0.00 0.00 0.00 Executive Workbench OCSF0751I102 LIQUID OPER-P/MCO PORTFOLIO DISTRIBUTION NET PORTFOLIO ASSETS 07-Mar-2000 9 ORANGE COUNTY SANITATION DISTRICT NET ASSET SECTOR SUMMARY 29-FEB-2000 COST MARKET VALUE 19,811,411.78 19,789,951.78 • %OF TOTAL 100.00% PAGE: 2 BASE: USD PRELIMINARY Exe UNREALIZED GAIN/LOSS -21,460.00 Workbench @, II -ORANGE COUNTY S-TION DISTRIC1 ==i Av£: j BASE: USD NET ASSET SECTOR SUMMARY OCSF07522202 29-FEB-2000 PRELIMINARY LONG TERM OPER-PIMCO %OF UNREALIZED PORTFOLIO DISTRIBUTION COST MARKET VALUE TOTAL GAIN/LOSS CASH & CASH EQUIVALENTS RECEIVABLES 2,464,610.21 2,464,6 I 0.21 0.71% 0.00 PAYABLES -56,352,929.09 -56,352,929.09 -16.19% 0.00 TOTAL -53,888,318.88 -53,888,318.88 -15.48% 0.00 UNITED STATES COMMERCIAL PAPER -DISCOUNT 48,256, 122. 73 48,256, 122. 73 13.86% 0.00 FEDERAL HOME LOAN MORTGAGE -LESS 5, 757, 755.89 5, 151, 155.89 1.65% 0.00 FNMA ISSUES -LESS THN 1 YR 10,492,307.22 10,492,307 .22 3.01% 0.00 REPURCHASE AGREEMENTS 56,500,000.00 56,500,000.00 16.23% 0.00 MUTUAL FUNDS 517,367.17 517,367.17 0.15% 0.00 TOT AL UNITED ST A TES 121,523,553.01 121,523,553.01 34.91% 0.00 TOTAL CASH & CASH EQUIVALENTS 67,635,234.13 67,635,234.13 19.43% 0.00 FIXED INCOME SECURITIES UNITED STATES U.S. GOVERNMENTS 100,886,298.55 99,455,819.22 28.57% -1,430,479.33 U.S. AGENCIES 53, 155,037.57 52,378,963.66 15.05% -776,073.91 GNMA SINGLE FAMILY POOLS 25,454,375.00 25,674,040.00 7.38% 219,665.00 GNMA MULTI FAMILY POOLS 3,593,829.01 3,556,426.59 1.02% -37,402.42 FHLMCPOOLS 9,370,079.48 9, 170,667.20 2.63% -199,412.28 FHLMC MULTI CLASS 8,063,554.83 7,832,457.54 2.25% -231,097.29 FNMA POOLS 955,371.92 942,719.00 0.27% -12,652.92 ASSET BACKED SECURITIES 52,625.81 52,510.57 0.02% -115.24 ABS: HOME EQUITY 405,177.61 404,164.67 0.12% -1,012.94 MUTUAL FUNDS l,000,000.00 986,860.00 0.28% -13,140.00 BANKING & FINANCE 57,699,831.20 57,331,822.50 16.47% -368,008. 70 INDUSTRIAL 7,126,189.00 6,806,456.05 1.96% -319, 732.95 UTILITY -ELECTRIC 5, 145,550.00 4,959,550.00 1.42% -186,000.00 UTILITY -TELEPHONE 7,497,255.00 7,309,725.00 2.10% -187,530.00 TOTAL UNITED STA TES 280,405, 174.98 276,862, 182.00 79.54% -3,542,992.98 07-Mar-2000 9: 15: 13 Executive Workbench OCSF07522202 LONG TERM OPER-PIMCO PORTFOLIO DISTRIBUTION TOTAL FIXED INCOME SECURITIES OTHER PORTFOLIO ASSETS PAY ABLESIRECEIV ABLES TOTAL TOTAL OTHER PORTFOLIO ASSETS NET PORTFOLIO ASSETS 07-Mar-2000 • ORANGE COUNTY SANITATION DISTRICT NET ASSET SECTOR SUMMARY 29-FEB-2000 COST MARKET VALUE 280,405, 17 4.98 276,862,182.00 3,569, 162.38 3,569,162.38 3,569, 162.38 3,569,162.38 3,569,162.38 3,569,162.38 351,609,571.49 348,066,578.51 • %OF TOTAL 79.54% 1.03% 1.03% 1.03% 100.00% PAGE: 2 BASE: USD PRELIMINARY UNREALIZED GAIN/LOSS -3,542,992.98 0.00 0.00 0.00 -3,542,992.98 YLDANAL OCSF07511102 DISTRICT: LIQUID OPERATING • YIELD ANALYSIS 2000/02/29 PAGE RUN DATE RUN TIME 1 03/03/00 13.13.50 ============~================================================================================================================ PAR VALUE SECURITY ID SECURITY DESCRIPTION CASH & CASH EQUIVALENTS .oo DREYFUS TREASURY CASH MGMT 996085247 3,500,000.00 U S TREASURY BILLS 912795DK4 03/02/2000 DD 03/04/99 3,000,000.00 FEDERAL HOME LN BK CONS DISC 313384TT6 MAT 03/01/2000 2,500,000.00 FEDERAL NATL MTG ASSN DISCOUNT 313588TU9 MAT 03/02/2000 1,300,000.00 FEDERAL HOME LN MTG CORP DISC 313396WA7 MAT 04/2S/2000 INCOME AT MAT 900,000.00 FLORIDA PWR CORP DISC 34110AC68 03/06/2000 900,000.00 XEROX CORP DISC 98412CDC0 04/12/2000 900,000.00 DAIMLERCHRYLSER DISC 2338EODA1 04/10/2000 TOTAL CASH & CASH EQUIVALENTS YTM AT CURRENT MOODY MARKET BOOK YIELD S-P PRICE .ooo .ooo AAA .ooo AAA 5.094 .ooo P-1 97.462 A-1+ 5.721 .ooo P-1 99.984 A-1+ 5.725 .ooo P-1 99.557 A-1+ 5.858 .ooo P-1 99.097 A-1+ 5.860 .000 P-1 99. 482 5.885 .ooo P-1 99 .061 5.941 .ooo 99.149 --------------- 5.529 .ooo TOTAL COST/ MARI<ET VALUE .oo .oo 3,411,181.67 3,411,181.67 3,799,396.22 3,799,396.22 2,488,916.67 2,488,916.67 1,288,261.00 1,288,261.00 895,336.00 895,336.00 891,546.50 89l,546.SO 892,343.00 892,343.00 -----------------13,666,981.06 13,666,981.06 % TYPE % TOTAL .oo .oo 24.95 17.50 27.79 19.49 18.21 12. 77 9.42 6.61 6.55 4.59 6.52 4.57 6.52 4.58 ---------100.00 70.11 YLDANAL OCSF07511102 DISTRICT: LIQUID OPERATING YIELD ANALYSIS 2000/02/29 PAGE RUN DATE RUN TIME 2 I 03/03/00 13.13.50 ====================================~======================================================================================== PAR VALUE YTM AT CURRENT MOODY HARJ(ET TOTAL COST/ \ TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE HARJ(ET VALUE \ TOTAL ------------------------------------------------------------------------------------------------- FIXED INCOME SECURITIES i,000,000.00 FEDERAL HOME LN MTG CORP DEBS .ooo 4.706 AAA 99.984 999,200.00 17.15 3134A3RT5 FLTG RT 05/18/2000 DD 05/18/99 AAA 999,840.00 5.13 475,000.00 ASSOCIATES CORP NORTH AMER 6.296 6.009 AA3 99.843 474,273.25 8.13 046003EL9 6.000\ 06/15/2000 A+ 474,254.25 2.43 900,000.00 FORD MTR CR MTN I TR 00538 6.312 6.999 Al 100.296 905,913.00 15.48 345402YK1 7.020\ 10/10/2000 DD 10/10/95 A 902,664.00 4.63 400,000.00 LEHMAN BROS HLDGS MTN TR 00252 6.353 6.415 A3 99.767 400,216.00 6.84 52517PLM1 6.400\ 08/30/2000 DD 09/26/97 A 399,068.00 2.05 900,000.00 GENERAL MTRS CORP NTS 6.425 9.448 A2 101.869 922,860.00 15. 73 370442AH8 9.625\ 12/01/2000 DD 12/01/90 A 916,821.00 4.70 150,000.00 MORGAN J P & CO MTN SR 00043 6.430 6.153 Al 99.546 149,625.00 2.56 61687YBUO 6.125\ 10/02/2000 DD 10/02/97 AA 149,319.00 • 77 500,000.00 INTERNATIONAL PAPER CO NT 6.535 9.690 A3 100.102 506,445.00 8.58 460146AJ2 9.700\ 03/15/2000 DD 03/21/90 BBB+ 500,510.00 2.57 500,000.00 BURLINGTON RES INC NT 6.578 9.546 A3 100.823 505,900.00 8.64 122014AB9 9.625% 06/15/2000 DD 06/28/90 A-504,115.00 2.59 500,000.00 GTE CORP DEB 6.669 9.213 BAAl 101. 76 3 512,080.00 8.73 362320AQ6 9.375\ 12/01/2000 A 508,815.00 2.61 475,000.00 FINOVA CAP CORP 6.820 6.406 BAA! 99. 511 473,031.25 8.11 318074AF8 6.375\ 10/15/2000 DD 10/11/95 A-472,677.25 2.42 -----------------------------------------TOTAL FIXED INCOME SECURITIES 4.598 6.866 5,84!},543.50 100.00 5 1 828,083.50 29.90 -----------------------------------------TOTAL 5.215 2.320 19,516,524.56 100.00 19,495,064.56 100.00 ================= ========= • • • YLDANAL OCSF07522202 DISTRICT: LONG-TERM OPERATING • YIELD ANALYSIS 2000/02/29 PAGE RUN DATE RUN TIME 3 03/03/00 13.13.50 ======================~====================================================================================================== PAR VALUE SECURITY ID SECURITY DESCRIPTION CASH & CASH EQUIVALENTS 517,367.17 DREYFUS TREASURY CASH MGMT 996085247 56,500,000.00 GOLDMAN SACHS LP REPO 99366Y204 05.600% 03/01/2000 DD 02/29/00 200,000.00 FEDERAL NATL MTG ASSN DISCOUNT 313588TU9 HAT 03/02/2000 100,000.00 FEDERAL HOME LN MTG CORP DISC 313396TZ6 HAT 03/07/2000 1,400,000.00 CAMPBELL SOUP co DISC 13443ACP8 03/23/2000 10,400,000.00 FEDERAL NATL MTG ASSN DISCOUNT 313588VV4 HAT 04/20/2000 3,600,000.00 ALUMINUM CO AMER DISC 02225ACEO 03/14/2000 2,600,000.00 FORD MTR CR CO DISC 34539TC86 03/08/2000 8,300,000.00 GENERAL ELEC CAP DISC 36959HD79 04/07/2000 4,300,000.00 IBM CR CORP DISC 44922ADA5 04/10/2000 100,000.00 DAIMLERCHRYLSER DISC 2338EODA1 04/10/2000 YTM AT BOOK .ooo 5.600 5.673 5.675 5.767 5.769 s. 777 5.802 S.865 S.869 S.884 CURRENT MOODY MARKET YIELD S-P PRICE 5.444 AAA 100.000 AAA 5.600 100.000 .ooo P-1 99.764 A-1+ .ooo P-1 99.561 A-1+ .ooo P-1 99.538 .000 P-1 98.969 A-1+ .ooo P-1 99. 712 .ooo P-1 99.455 .ooo P-1 99.064 .ooo P-1 98.999 .ooo 99.254 TOTAL COST/ MARKET VALUE 517,367.17 517,367.17 56,500,000.00 56,500,000.00 199,528.33 199,528.33 696,923.89 696,923.89 1,393,526.56 1,393,526.56 10,292,778.89 10,292,778.89 3,589,632.00 3,589,632.00 2,58!;,831.44 2,585,831.44 8,222,307.39 8,222,307.39 4,256,973.72 4,256,973.72 694,776.44 694,776.44 \ TYPE % TOTAL .42 .13 46.49 14 .18 .16 .05 .57 .17 1.14 .35 8.46 2.58 2.95 .90 2.12 .65 6.76 2.06 3.50 1.07 .57 .17 YLDANAL OCSF07522202 DISTRICT: LONG-TERM OPERATING YIELD ANALYSIS 2000/02/29 PAGE 4 RUN DATE I 03/03/00 RUN TIME 13.13.50 ============================================================================================================================= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ------------------------------------------------------------------------------------------------- 14,000,000.00 XEROX CORP DISC 5.888 .ooo P-1 99.012 13,861,699.45 11.40 98412CDH9 04/17/2000 13,861,699.45 3,48 2,900,000.00 CBA (DELAWARJ DISC 5.913 .000 98.927 2,769,970.00 2.21 12478JD37 04/03/2000 2,769,970.00 .70 1,000,000.00 GENERAL ELEC CAP DISC 6.009 .ooo P-1 98.682 6,907,755.56 5.68 36959HEK9 05/19/2000 6,907,755.56 1. 73 5,100,000.00 FEDERAL HOME MTG MTG CORP DISC 6.0S7 .ooo P-1 99.232 S,060 1 832.00 4.16 313396UP6 MAT 03/21/2000 A-1+ S,060,832.00 1. 27 4,000,000.00 IBM DISC 7.234 .ooo P-1 99.341 3,973,6S0.17 3.26 44922ACM0 03/21/2000 3,973,6S0.17 1.00 -----------------------------------------TOTAL CASH & CASH EQUIVALENTS S.645 3.767 121,S23,SS3.0l 100.00 121,S23,5S3.0l 30.49 FIXED INCOME SECURITIES 2,000,000.00 BANKERS TR NY CORP GLOBAL NT .ooo s. 796 Al 99.987 1,992,800.00 .72 066365DW4 FLTG RT 05/11/2003 DD OS/11/98 A-1,999,740.00 .so 3,500,000.00 CHRYSLER FINL LLC MTN fTR0061S .ooo 6.021 Al 99.984 3,498,63S.OO 1.26 17120QE80 FLTG RT 08/08/2002 DD 04/08/98 A+ 3,499,440.00 .88 3,000,000.00 CONSOLIDATED EDISON N Y DEBS .000 6.182 Al 99.991 2,994,300.00 1.08 209111CUS FLTG RT 06/15/2002 DD 06/20/97 A+ 2,999,730.00 .75 340,811.80 FHLMC GROUP 178-6064 .ooo 6.506 AAA 98.125 332,504.Sl .12 31348SWZ3 6.384% 01/01/2028 DD 12/01/97 AAA 334,421.S8 .08 2,000,000.00 FORD MTR CR CO GLOBAL NTS .ooo 6.245 Al 99.656 1,992°,580.00 • 71 34S397RV7 FLTG RT 02/13/2003 DD 02/13/98 A 1,993,120.00 .so 2,000,000.00 FORD MTR CR CO TERM ENHANCED .000 6.219 Al 99.859 1,998,613.60 .72 34S397SC8 FLTG RT 08/27/2006 DO 08/27/98 A+ 1,997,180.00 .so 3,000,000.00 GENERAL MTRS ACCEP MTN .ooo 6.491 A2 100.37S 3,010,830.00 1.08 37042WVR9 FLTG RT 12/17/2001 DD 12/15/98 A 3,0ll,2SO.OO .76 3,950,000.00 GENERAL HTRS ACCEP CORP NTS .ooo 5.586 A2 99.677 3,918,768.50 1. 42 370425QVS FLTG RT 08/18/2003 DD 08/17/98 A 3,937,241.50 .99 • • YLDANAL OCSF07522202 DISTRICT: LONG-TERM OPERATING YIELD ANALYSIS 2000/02/29 PAGE RUN DATE RUN TIME 5 03/03/00 13.13.50 =========================================================================~=========?========================================= PAR VALUE SECURITY ID SECURITY DESCRIPTION 2,aoo,000.00 GNMA GTD REMIC TR 2000-9 FH 3837H4NX9 VAR RT 02/16/2030 2,000,000.00 HELLER FINANCIAL INC NTS 423l28BR8 FLTG RT 06/25/2001 DD 06/25/99 l,000,000.00 HELLER FINL MTN ITR 00246 42lllHLF7 FLTG RT 04/28/2003 DD 04/27/99 4 1 000,000.00 HOUSEHOLD FIN CO MTN 44181KZA5 FLTG RT 06/24/2003 DD 06/24/98 1,000 1 000.00 HOUSEHOLD FIN MTN SR 100570 44181KZT4 FLTG RT 08/01/2001 DD 09/04/98 5,000,000.00 LEHMAN BROS HLDGS MTN 52517PQQ7 FLTG RT lZ/12/2002 DD 12/07/99 1 1 700,000.00 MORGAN STANLEY MTN ITR 00311 61745ENY3 FLTG RT 01/28/2002 DD 01/27/00 7,356,020.00 US TREASURY INFLATION INDEX NT 9128273A8 3.625\ 07/15/2002 DD 07/15/97 10,622,600.00 US TREASURY INFLATION INDEX NT 9128272H3 3.l75\ 01/15/2007 DD 01/15/97 1,000 1 330.00 US TREASURY INFLATION INDEX NT 9128275W8 4.250\001/15/2010 DD 01/15/00 4,000,000.00 MORGAN STANLEY MTN tTR 00299 61745ENL1 FLTG RT 04/15/2002 DD 04/15/99 2,100,000.00 US TREASURY NOTES 912827Z54 06.375\ 09/30/2001 DD 09/30/96 5 1 200 1 000.00 U S TREASURY BONDS 912810DGO 11.875\ 11/15/2003 DD 10/05/83 1,500,000.00 ASSOCIATES CORP NA SR NTS 046003HY8 6.500% 07/15/2002 DD 07/11/97 1,000,000,00 HELLER FINANCIAL INC NTS 42333HKJO 5.750% 09/25/2001 DD 09/25/98 YTM AT CURRENT MOODY MARXET BOOK YIELD S-P PRICE .000 6.320 AAA 100.000 AAA ,000 6.374 Al 100.548 A- ,000 6.257 A3 100.681 A- .000 6.423 A2 100.272 A .000 5.726 A2 100.l18 A ,000 6.655 Al 100.281 A .000 6.168 AA3 99.953 A+ l.697 l.658 AAA 99.094 AAA l.720 l.573 AAA 94.469 AAA 4.l38 4.263 AAA 99.687 AAA 5.170 5.468 AA3 99.859 A+ 5.294 6.391 AAA 99.750 AAA 5.617 10.189 AAA 116.547 AAA 5.650 6.610 AA3 98.336 A+ 5.760 5.894 A3 97.557 A- TOTAL COST/ MARKET VALUE 2,900,000.00 2,soo,000.00 2,000,000.00 2,010,960.00 3,000,000.00 3,020,430.00 4,000,000.00 4,010,880.00 999,188.90 1,003,180.00 s,000,000.00 5,014,050.00 1,699,517.20 1,699,201.00 7,332,863.77 7,289,374.46 10,l43,575.00 10,035,063.99 993,250.00 997,198.97 3,997,788.00 3,994,360.00 2,167,l21.15 2,094·, 750.00 ,6,698,250.00 6,060,444.00 1,543,215.00 1,475,040.00 999,730.00 975,570.00 % TYPE % TOTAL 1.01 .70 .72 .so 1.09 .76 1. 44 1.01 .36 .25 1.81 1. 26 .61 .43 2.6l 1.83 3.62 2.52 .36 .25 1. 44 1.00 .75 .53 2.18 1. 52 .53 .37 .35 .24 • YLDANAL YIELD ANALYSIS PAGE 6 OCSF07522202 2000/02/29 RUN DATE 03/03/00 DISTRICT: LONG-TERM OPERATING RUN TIME 13.13.50 ===========================================~==================================================================~============== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE HARl<ET VALUE % TOTAL ------------------------------------------------------------------------------------------------- 2,005,000.00 SEARS ROEBUCK ACCEP CORP MTN 5.804 6.748 A3 96.921 2,060,739.00 .10 81240QGW6 6.540% 02/20/2003 DD 02/20/97 A-1,943,266.05 .49 23,430,000.00 U S TREASURY NOTES 5.807 5.702 AAA 98.656 23,351,289.85 8.34 912827501 05.625% 09/30/2001 DD 09/30/99 AAA 23,115,100.80 5.80 5,000,000.00 U S TREASURY NOTES 5.811 6.281 AAA 99.500 5,086,402.25 1. 79 9128272L5 06.250% 02/28/2002 DD 02/28/97 AAA 4,975,000.00 1. 25 3,000,000.00 SEARS ROEBUCK ACCEP CORP MTN 5.849 6.776 A3 97.843 3,073,170.00 1.06 81240QJA1 6.630% 07/09/2002 DD 07/09/97 A-2,935,290.00 .74 6,000,000.00 NATIONSBANK CHARLOTTE N C MTN 5.882 5.853 AAl 99.953 5,996,400.00 2.16 63858JDE6 5.850% 04/07/2000 DD 04/07/98 AA-5,997,180.00 1. 51 494,583.45 FHLMC MULTICL MTG P/C 1574 E 5.912 5.933 99.437 493,887.93 .17 3133T02D5 5.900% 06/15/2017 491,798.95 .12 15,ooo,ooo.oo FEDERAL NATL MTG ASSN MTN 5.981 5.899 AAA 98.656 14,955,300.00 5.34 31364G2VO 5.820% 07/19/2001 DD 01/19/99 AAA 14,798,400.00 J.71 2,500,000.00 MERRILL LYNCH NOTES 5.995 6.454 AA3 98.769 2,526,725.00 .89 59018SXP4 6.375% 10/01/2001 DD 10/03/97 AA-2,469,225.00 .62 1,516,650.70 GNHA II POOL 10080023 6.005 7.057 AAA 100.969 1,541,770.23 .55 36225CAZ9 7.125% 12/20/2026 DD 12/01/96 AAA 1,531,347.05 .38 1,500,000.00 BELLSOUTH TELECOMMUNICATIONS 6.010 6.156 AA2 97.463 7,497,255.00 2.64 079867AX5 6.000% 06/15/2002 DD 06/15/98 AAA 7,309,725.00 1.83 12,500,000.00 FEDERAL HOME LN MTG CORP DEBS 6.062 6.055 AAA 99.090 12,485,625.00 4.47 3134A3ZM1 6;000% 07/20/2001 DD 07/20/99 AAA 12,386,250.00 3.11 2,000,000.00 BANKBOSTON CORP SR NTS 6.133 6.274 A2 97.619 l,99~,600.00 .70 06605TAL6 6.125% 03/15/2002 DD 03/12/99 A 1,952,380.00 .49 52,625.82 FIFTH THIRD BK AUTO TR 96A CLA 6.200 6.214 AAA 99.781 52,625.81 .01 31677EAA4 6.200% 09/01/2001 DD 03/15/96 52,510.57 .01 1,000,000.00 POPULAR INC MTN ITR 00004 6.201 6.283 A3 98.686 1,000,000.00 .35 73317PAD1 6.200% 04/30/2001 DD 04/21/99 BBB+ 986,860.00 .25 2,500,000.00 FHLMC MULTICLASS CTF 2146 QT 6.207 6.178 AAA 97.125 2,455,859.38 .87 3133TKKU3 6.000% 11/15/2011 AAA 2,428,125.00 .61 • • YLDANAL YIELD ANALYSIS PAGE 7 OCSF07522202 2000/02/29 RUN DATE 03/03/00 DISTRICT: LONG-TERM OPERATING RUN TIME 13.13.50 ============================================================================================================================= PAR VALUE YTM AT CURRENT MOODY MAR1CET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MAR1CET VALUE % TOTAL ----------------------------------------------------- -------------------------------------------- 405,177.61 GREEN TREE CORP 99-D CL A-1 6.290 6.306 AAA 99.750 405,177.61 .14 3935052Y7 6.290% 10/15/2013 DD 08/26/99 AAA 404,164.67 .10 4,500,000.00 FEDERAL NATL MTG ASSN MTN 6.291 6.307 AAA 98.781 4,488,705.00 1.60 31364CXV5 6.230% 03/01/2002 DD 03/03/97 AAA 4,445,145.00 1.12 3,109,518.68 FHLMC MULTICLASS CTF El A 6.316 6.279 AAA 97 .110 3,112,919.52 1.09 3133TCE95 VAR RT 08/15/2032 AAA 3,019,653.59 .76 2,000,000.00 BEAR STEARNS COS INC 6.330 6.930 A2 97.400 2,031,960.00 .70 073902AH1 6.750% 04/15/2003 A 1,948,000.00 .49 21,500,000.00 COMMIT TO PUR GNMA I SF MTG 6.394 6.978 AAA 93.156 19,860,625.00 7.23 01N062631 6.500% 03/15/2030 AAA 20 1 028 1 540.00 5.03 2,000,000.00 FHLMC MULTICLASS CTF Tll A6 , 6.496 6.868 AAA 94.644 2,000,888.00 .68 3133TDPV2 6.500% 09/25/2018 AAA 1,892,880.00 .48 2,398,493.64 FHLMC HULTICLASS CTF SER 1620Z 6.528 7 .167 AAA 83. 715 2,242,353.70 .72 3133Tl7A4 6.000% 11/15/2023 DD 11/01/93 AAA 2,007,896.79 .so 1,100,000.00 U S TREASURY NOTES 6.601 5.405 AAA 87.875 6,761,244.70 2.44 9128274Vl 04.750% 11/15/2008 DD 11/15/98 AAA 6,766,375.00 1. 70 25,000,000.00 U S TREASURY NOTES 6.621 6. 566 AAA 99.000 24,837,890.63 8.93 912827Z62 06.500% 10/15/2006 DD 10/15/96 AAA 24,750,000.00 6.21 8,898,535.37 FHLMC GROUP fG5-0476 6.628 7.049 AAA 99.300 9,037,574.97 3.19 3128DDQ55 7.000% 02/01/2003 DD 02/01/98 AAA 8,836,245.62 2.22 6,250,000.00 COMMIT TO PUR GNMA SF MTG 6.637 6.642 AAA 90.328 5,593,750.00 2.03 01N060635 6.000% 03/15/2029 AAA 5,645,500.00 1. 42 2,008,130.92 GNMA II POOL f080088M 6.705 6 .322 AAA 100.844 2,05?,058.78 .73 36225CC20 VAR RT 06/20/2027 DD 06/01/97 AAA 2,025,079.54 .51 10,500,000.00 FEDERAL HOME LN MTG CORP DEBS 6. 711 6.556 AAA 96.094 10,323,075.00 3.64 3134A3TCO 6.300% 06/01/2004 DD 06/01/99 AAA 10,089,870.00 2.53 2,000,000.00 HARSH & MCLENNAN COS INC SR NT 6. 717 6 .873 A2 96.395 1,992,280.00 .69 571748A88 6.625% 06/15/2004 DD 06/14/99 AA-1,927,900.00 .48 1,000,000.00 FORD MTR CR CO GLOBAL LANDMAR1C 6.739 6.929 Al 96 .699 2,995,080.00 1.04 345397SJ3 6.700% 07/16/2004 DD 07/16/99 A+ 2,900,970.00 .73 YLDANAL OCSF07S22202 DISTRICT: LONG-TERM OPERATING YIELD ANALYSIS 2000/02/29 PAGE RUN DATE RUN TIME 8 03/03/00 13.13.SO ============================================================================================================================= PAR VALUE YTM AT CURRENT MOODY MARXET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ------------------------------------------------------------------------------------------------- 900,000.00 FEDERAL HOME LN BK CONS BDS 6. 777 6.764 AAA 99.797 899,SSO.OO .32 3133MAQJ1 6,750\ 02/01/2002 DD 02/01/00 AAA 898,173.00 .23 2,500,000.00 COUNTRYWIDE HOME LNS INC NT 6.866 7.069 A3 96.897 2,498,400.00 .87 22237UAB8 6.850% 06/15/2004 DD 06/24/99 A 2,422,425.00 .61 975,647.09 FNMA POOL f02S2703 6.877 6.727 AAA 96,625 9SS, 371.92 .34 31371HU48 6,500\ 09/01/2006 DD 08/01/99 AAA 942,719.00 .24 2,000,000.00 GNMA GTD REMIC TR 2000-2 PA 7. 014 7.051 AAA 99.279 1,996,875.00 • 71 3837H3C70 7.000% 12/20/2022 AAA 1,985,580.00 .so 2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7.265 6.913 AAA 95.835 2,008,440.00 • 72 313S9MEYS 6.625\ 09/15/2009 DD 09/01/99 AAA 2,012,535.00 .Sl 2,000,000.00 LONG ISLAND LTG CO DEB 7.512 8.368 BAA3 97.991 2,151,2so.oo .10 S42671CT7 8.200% 03/15/2023 DD 03/28/93 A-1,959,820.00 .49 976,318.28 WMP/HUNTOON PAIGE t000-11150 7.684 7.667 AAA 97.828 955, 113.87 .34 302998GE3 7.SOO\ 12/01/2030 DD 10/21/99 AAA 955,113.87 .24 9,600,000.00 U S TREASURY BONDS 7.966 8.974 AAA 139.297 13,314,211.20 4.83 912810DL9 12.SOO\ 08/15/2014 DD 08/15/84 AAA 13,372,512.00 3.36 -----------------------------------------TOTAL FIXED INCOME SECURITIES 4.193 6.074 280,405,174.98 100.00 276,862,182.00 69.51 -----------------------------------------TOTAL 4.395 S.752 401,928,727.99 100.00 398,385,735.01 100.00 ================= ========= I • f R r RA C4 TY IT l>N ~~===================-11111111-=====================~ OCSGOOOJ 0000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER RECEIPTS AND DISBURSEMENT TRANSACTIONS CASH TRANSFERRED IN 0.00 NA9123459 CD CASH TRANSFERRED OUT 0.00 NA9123459 cw LONG TERM OPER-PIMCO RECD FROM OCSF07511112 PER CLIENT INSTRUCTIONS LIQUID OPER-PIMCO TRANSFER TO OCSF0752222 PER CLIENT INSTRUCTIONS CASWSECURITIES RECEIVED FROM PLAN ADMINISTRATOR 0.00 NA9123459 CD OTHER ADMINISTRATIVE EXPENSES 0.00 NA9123459 cw 0.00 NA9123459 cw 07-Mar-2000 8:57: 19 LIQUID OPER-PIMCO RECD FROM PLAN ADMINISTRATOR ORANGE COUNTY SANITATION LIQUID OPER-PIMCO JAN WIRE FEES LONG TERM OPER-PIMCO JAN WIRE FEES TRADE DATE/ SETTLDATE/ COMPLDATE 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 25-Feb-2000 25-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 • AMOUNT/ COST/ GAIN/LOSS 63,500,000.00 0.00 0.00 -63,500,000.00 0.00 0.00 63,524,580.44 0.00 0.00 -7.65 0.00 0.00 -17.00 0.00 0.00 Executive Workbench OCSGOOO 10000 OCSD-CONSOLJDATED SHARES/PAR SECURITY ID TRANSCODE 0.00 99366F650 cw 0.00 99366W133 cw 0.00 99366W687 cw PURCHASES CASH & CASH EQUIV A LENTS 07-Mar-2000 450.40 996085247 B 450.40 996085247 FC 8,146.96 996085247 B • ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO FED WIRE FEES LEHMAN BROTHERS REPO LIQUID OPER-PIMCO FED WIRE FEES LEHMAN BROTHERS REPO LONG TERM OPER-PIMCO FED WIRE FEES CREDIT SUISSE FST REPO LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT TRADE DATE/ SETTLDATE/ COMPLDATE 08-Feb-2000 08-Feb-2000 28-Feb-2000 28-Feb-2000 29-Feb-2000 29-Feb-2000 Ol-Feb-2000 Ol-Feb-2000 Ol-Feb-2000 0 l-Feb-2000 0 l-Feb-2000 02-Feb-2000 02-Feb-2000 PAGE: 2 AMOUNT/ COST/ GAIN/LOSS -1.70 0.00 0.00 -3.40 0.00 0.00 -3.40 0.00 0.00 -450.40 450.40 0.00 -450.40 0.00 0.00 -8,146.96 8,146.96 0.00 OCSGOOO l 0000 OCSD-CONSOLJDATED SHARES/PAR SECURITY ID TRANSCODE 8,146.96 996085247 FC 2,56 l, 708.42 996085247 B 2,561,708.42 996085247 FC 1,600,000.00 313384TDI B 1,600,000.00 313384TDI FC 2,100,000.00 313384TDI B 2, t 00,000.00 313384TDI FC 07-Mar-2000 8:57:19 •~I 5RANG¥=couNT'~TATIDN 1>1-sTRicT== PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/ 16/2000 HSBC SECS INC, NEW YORK LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/16/2000 HSBC SECS INC, NEW YORK LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/16/2000 GOLDMAN SACHS & CO, NY LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/16/2000 GOLDMAN SACHS & CO, NY TRADE DATE/ SETTLDATE/ COMPLDATE 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 &PAGE:·. 3 AMOUNT/ COST/ GAIN/LOSS -8,146.96 0.00 0.00 -2,56 t, 708.42 2,56 t, 708.42 0.00 -2,561,708.42 0.00 0.00 -1,596,459.56 1,596,459.56 0.00 -t ,596,459.56 0.00 0.00 -2,095,385.83 2,095,385.83 0.00 -2,095,385.83 0.00 0.00 Executive Workbench OCSGOOO 10000 OCSD-CONSOLJDATED SHARES/PAR SECURITY ID TRANSCODE 9,500,000.00 313396UP6 B 9,500,000.00 313396UP6 FC 1,300,000.00 313396TS2 B 1,300,000.00 313396TS2 FC 7,323.77 996087094 B 1,239.38 996087094 B 2,500,000.00 313588TU9 B - - - --_ .... ..., .. .., ... AU..\.... I. PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO FEDERAL HOME MTG MTG CORP DI MAT 03/21/2000 GOLDMAN SACHS & CO, NY LONG TERM OPER-PIMCO FEDERAL HOME MTG MTG CORP DI MAT 03/21/2000 GOLDMAN SACHS & CO, NY LIQUID OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 02/29/2000 HSBC SECS INC, NEW YORK LIQUID OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 02/29/2000 HSBC SECS INC, NEW YORK LONG TERM OPER-PIMCO BSDT-LATE MONEY DEPOSIT ACCT LIQUID OPER-PIMCO BSDT-LATE MONEY DEPOSIT ACCT LIQUID OPER-PIMCO FEDERAL NATL MTG ASSN DISCOU MAT 03/02/2000 WARBURG DILLON READ LLC, NEW ~ ' TRADE DATE/ SETTLDATE/ COMPLDATE 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 03-Feb-2000 02-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 PAGE: AMOUN' cos· GAIN/LOS -9,427,040.0 9,427,040.0 0.0 -9,427,040.0 0.0 0.0 -1,294,667.l l,294,667. l 0.0 -1,294,667.l 0.01 0.01 -7,323.7' 7,323.T O.OI -1,239.31 1,239.31 0.0( -2,488,916.6i 2,488,916.6i o.oc OCSGOOOJ 0000 OCSD-CONSOL/DATED SHARES/PAR SECURITY ID TRANSCODE 2,500,000.00 313588TU9 FC 900,000.00 34110AC68 B 900,000.00 34110AC68 FC 2,600,000.00 34539TC86 B 2,600,000.00 34539TC86 FC 1,239.38 996085247 B 1,239.38 996085247 FC 07-Mar-2000 8:57:19 ~ ~ -~· I =====o=RA==N==G=E=c=o=u=N~tATION DISTRICT PORTFOLIO DETAIL Ol-FEB-2000 -29-FEB-2000 TRADE DATE/ TRANSACTION DESCRIPTION/ SETTLDATE/ BROKER COMPLDATE LIQUID OPER-PIMCO FEDERAL NATL MTG ASSN DISCOU 03-Feb-2000 MAT 03/02/2000 03-Feb-2000 WARBURG DILLON READ LLC, NEW 03-Feb-2000 LIQUID OPER-PIMCO FLORIDA PWR CORP DISC 03-Feb-2000 03/06/2000 "03-Feb-2000 MERRILL LYNCH PIERCE FENNER LIQUID OPER-PIMCO FLORIDA PWR CORP DISC 03-Feb-2000 03/06/2000 03-Feb-2000 MERRILL LYNCH PIERCE FENNER 03-Feb-2000 LONG TERM OPER-PIMCO FORD MTR CR CO DISC 03-Feb-2000 03/08/2000 03-Feb-2000 BANK OF IRELAND, LONDON LONG TERM OPER-PIMCO FORD MTR CR CO DISC 03-Feb-2000 03/08/2000 03-Feb-2000 BANK OF IRELAND, LONDON 03-Feb-2000 LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT 04-Feb-2000 04-Feb-2000 ' LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT 04-Feb-2000 04-Feb-2000 04-Feb-2000 ,-.,PAGE· 5 AMOUNT/ COST/ GAIN/LOSS -2,488,916.67 0.00 0.00 -895,336.00 895,336.00 0.00 -895,336.00 0.00 0.00 -2,585,831.44 2,585,831.44 0.00 -2,585,831.44 0.00 0.00 -1,239.38 1,239.38 0.00 -1,239.38 0.00 0.00 Executive Workbench ~ ORANGE COUNTY SANITATION DISTRICT PAGE: 6 PORTFOLIO DETAIL OCSGOOO 10000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION! SETTLDATE/ COST! TRANSCODE BROKER COMPLDATE GAINILOSS LONG TERM OPER-PIMCO 2,280,668. 75 DREYFUS TREASURY CASH MGMT 04-Feb-2000 -2,280,668. 75 996085247 04-Feb-2000 2,280,668. 75 B 0.00 LONG TERM OPER-PIMCO 2,280,668. 75 DREYFUS TREASURY CASH MGMT 04-Feb-2000 -2,280,668. 75 996085247 04-Feb-2000 0.00 FC 04-Feb-2000 0.00 LONG TERM OPER-PIMCO 1,200,000.00 FEDERAL HOME LN MTG CORP DIS 07-Feb-2000 -1,198,498.67 313396TC7 MAT 0211512000 07-Feb-2000 1,198,498.67 B HSBC SECS INC, NEW YORK 0.00 LONG TERM OPER-PIMCO 1,200,000.00 FEDERAL HOME LN MTG CORP DIS 07-Feb-2000 -1, 198,498.67 313396TC7 MAT 0211512000 07-Feb-2000 0.00 FC HSBC SECS INC, NEW YORK 07-Feb-2000 0.00 LONG TERM OPER-PIMCO 2,300,000.00 LEHMAN BROTHERS REPO 07-Feb-2000 -2,300,000.00 99366F650 05.610%02/08/2000 DD 02/071 07-Feb-2000 2,300,000.00 B LEHMAN BROS INC, NEW YORK 0.00 LONG TERM OPER-PIMCO 2,300,000.00 LEHMAN BROTHERS REPO 07-Feb-2000 -2,300,000.00 99366F650 05.610% 02/08/2000 DD 02/071 07-Feb-2000 0.00 FC LEHMAN BROS INC, NEW YORK 07-Feb-2000 0.00 LONG TERM OPER-PIMCO 81,928.89 DREYFUS TREASURY CASH MGMT 08-Feb-2000 -81,928.89 996085247 08-Feb-2000 81,928.89 B 0.00 OCSGOOO 10000 OCSD-CONSOLJDATED SHARES/PAR SECURITY ID TRANSCODE 81,928.89 996085247 FC 3,400,000.00 44922ACMO B 3,400,000.00 44922ACMO FC 3,500,000.00 313396TZ6 B 3,500,000.00 313396TZ6 FC 4,300,000.00 44922ADA5 B 4,300,000.00 44922ADA5 FC 07-Mar-2000 8:57: 19 ,c • tA_. __ C( f Y PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO IBM DISC 03/2112000 GOLDMAN SACHS & CO, NY LONG TERM OPER-PIMCO IBM DISC 03/21/2000 GOLDMAN SACHS & CO, NY LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 03/0712000 HSBC SECS INC, NEW YORK LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 0310712000 HSBC SECS INC, NEW YORK LONG TERM OPER-PIMCO IBM CR CORP DISC 04/10/2000 BANKERS TRUST CP/IPA, NEW YO LONG TERM OPER-PIMCO IBM CR CORP DISC 04/10/2000 BANKERS TRUST CP/IPA, NEW YO 'Rl __ , TRADE DATE/ SETTLDATE/ COMPLDATE 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 I • AMOUNT/ COST/ GAIN/LOSS -81,928.89 0.00 0.00 -3,376,834.67 3,376,834.67 0.00 -3,376,834.67 0.00 0.00 -3,484,6 I 9.44 3,484,619.44 0.00 -3,484,619.44 0.00 0.00 -4,256,973. 72 4,256,973.72 0.00 -4,256,973. 72 0.00 0.00 Executive Workbench OCSGOOO I 0000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE 300.78 996085247 B 300.78 996085247 FC 8,300,000.00 36959HD79 B 8,300,000.00 36959HD79 FC 07-Mar-2000 f 31,161.18 996085247 B 31,161.18 996085247 FC 31,319.17 996085247 B 1 ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO GENERAL ELEC CAP DISC 04/07/2000 GENERAL ELECTRIC CAPTIAL COR LONG TERM OPER-PIMCO GENERAL ELEC CAP DISC 04/07/2000 GENERAL ELECTRIC CAPTIAL COR LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT • \ TRADE DATE/ SETTLDATE/ COMPLDATE 09-Feb-2000 09-Feb-2000 09-Feb-2000 09-Feb-2000 09-Feb-2000 09-Feb-2000 09-Feb-2000 09-Feb-2000 09-Feb-2000 09-Feb-2000 I 1-Feb-2000 I 1-Feb-2000 1 l-Feb-2000 I 1-Feb-2000 I l-Feb-2000 14-Feb-2000 14-Feb-2000 ,, PAGE: 8 AMOUNT/ COST/ GAIN/LOSS -300.78 300.78 0.00 -300.78 0.00 0.00 -8,222,307.39 8,222,307.39 0.00 -8,222,307.39 0.00 0.00 -31, 161.18 31,161.18 0.00 -31,161.18 0.00 0.00 -31,319.17 31,319.17 0.00 Ex Workbench OCSGOOOJ 0000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE . 31,319.17 996085247 FC 8,453.50 996085247 B 8,453.50 996085247 FC 900,000.00 98412CDCO B 900,000.00 98412CDCO FC 12,800.00 996085247 B 12,800.00 996085247 FC 07-Mar-2000 8:57:19 ~ ~ --URANG~ COUN'fY 1 • ,TAlION uuu'Rh...,1 PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO XEROX CORP DISC 04/12/2000 GOLDMAN SACHS & CO, NY LIQUID OPER-PIMCO XEROX CORP DISC 04/12/2000 GOLDMAN SACHS & CO, NY LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT TRADE DATE/ SETTLDATE/ COMPLDATE 14-Feb-2000 I 4-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 I 4-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 15-Feb-2000 l 5-Feb-2000 15-Feb-2000 l 5-Feb-2000 l 5-Feb-2000 AMOUNT/ COST/ GAIN/LOSS -31,319.17 0.00 0.00 -8,453.50 8,453.50 0.00 -8,453.50 0.00 0.00 -891,546.50 891,546.50 0.00 -891,546.50 0.00 0.00 -12,800.00 12,800.00 0.00 -12,800.00 0.00 0.00 ETecutive Workbench fb ·ORANGE COUNTY SANITATION DISTRICT II PAGE: 12 PORTFOLIO DETAIL OCSGOOOJ 0000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LIQUID OPER-PIMCO 2,768.28 DREYFUS TREASURY CASH MGMT l 7-Feb-2000 -2,768.28 996085247 17-Feb-2000 2,768.28 B 0.00 LIQUID OPER-PIMCO 2,768.28 DREYFUS TREASURY CASH MGMT 17-Feb-2000 -2,768.28 996085247 I 7-Feb-2000 0.00 FC 17-Feb-2000 0.00 LIQUID OPER-PIMCO 2,000,000.00 FEDERAL HOME LN BK CONS DISC l 7-Feb-2000 • l,997,493.33 313384TN9 MAT 02/25/2000 l 7-Feb-2000 1,997 ,493 .33 B LEHMAN GOVT SECS INC, NY 0.00 LONG TERM OPER-PIMCO 600,000.00 IBM DISC I 7-Feb-2000 -596,815.50 44922ACMO 03/21/2000 l 7-Feb-2000 596,815.50 B MERRILL LYNCH PIERCE FENNER 0.00 LIQUID OPER-PIMCO 2,000,000.00 FEDERAL HOME LN BK CONS DISC 17-Feb-2000 -1,997,493.33 313384TN9 MAT 02/25/2000 17-Feb-2000 0.00 FC LEHMAN GOVT SECS INC, NY l 7-Feb-2000 0.00 LONG TERM OPER-PIMCO 600,000.00 IBM DISC 17-Feb-2000 -596,815.50 44922ACMO 03/21/2000 17-Feb-2000 0.00 FC MERRILL LYNCH PIERCE FENNER l 7-Feb-2000 0.00 LIQUID OPER-PlMCO I, 700,000.00 FEDERAL HOME LN BK CONS DISC l 7-Feb-2000 -1,699, 738.39 313384TF6 MAT 02/18/2000 lNCOME AT MAT 17-Feb-2000 1,699,738.39 B LEHMAN GOVT SECS INC, NY 0.00 r"' "-·-20('" ·1------------------------•a-,---------------------Ex-.-Workbench ) ~ > ) OCSGOOO I 0000 OCSD-CONSOL/DATED SHARES/PAR SECURITY ID TRANSCODE 1,700,000.00 313384TF6 FC 62,286.76 996085247 B 62,286.76 996085247 FC 15, 121.51 996085247 B 15,121.51 996085247 FC 900,000.00 2338EODAI B 900,000.00 2338EODAI FC 07-Mar-2000 8:57:19 ~'r-=====,'=====~==l===:C==C====·y~lllllllll~~T=.====»N=====·RI===========~~· PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/18/2000 INCOME AT MAT LEHMAN GOVT SECS INC, NY LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DAIMLERCHRYLSER DISC 04/10/2000 MERRILL LYNCH PIERCE FENNER LIQUID OPER-PIMCO DAIMLERCHRYLSER DISC 04/10/2000 MERRILL LYNCH PIERCE FENNER TRADE DATE/ SETTLDATE/ COMPLDATE I 7-Feb-2000 I 7-Feb-2000 I 7-Feb-2000 I 8-Feb-2000 I 8-Feb-2000 I 8-Feb-2000 I 8-Feb-2000 18-Feb-2000 18-Feb-2000 18-Feb-2000 18-Feb-2000 I 8-Feb-2000 I 8-Feb-2000 18-Feb-2000 18-Feb-2000 18-Feb-2000 18-Feb-2000 18-Feb-2000 AMOUNT/ COST/ GAIN/LOSS -1,699,738.39 0.00 0.00 -62,286.76 62,286.76 0.00 -62,286.76 0.00 0.00 -15,121.51 15,121.51 0.00 -15,121.51 0.00 0.00 -892,343.00 892,343.00 0.00 -892,343.00 0.00 0.00 Executive Workbench @ OCSGOOOJ 0000 OCSD-CONSOL!DATED SHARES/PAR SECURITY ID TRANSCODE 1,700,000.00 313384TRO B 1, 700,000.00 313384TRO FC 42,725.50 996085247 B 42,725.50 996085247 FC 1,400,000.00 13443ACP8 B 1,400,000.00 13443ACP8 FC 71,337.27 996085247 B 07-Mar-2000 •· ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MA T02/28/2000 HSBC SECS INC, NEW YORK LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MA T02/28/2000 HSBC SECS INC, NEW YORK LONG TERM OPER-PIMCO · DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO CAMPBELL SOUP CO DISC 03/23/2000 CHASE SECURITIES, NEW YORK LONG TERM OPER-PIMCO CAMPBELL SOUP CO DISC 0312312000 CHASE SECURITIES, NEW YORK LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT ' l • TRADE DATE/ SETTLDATE/ COMPLDATE l 8-Feb-2000 18-Feb-2000 l 8-Feb-2000 18-Feb-2000 18-Feb-2000 22-Feb-2000 22-Feb-2000 22-Feb-2000 22-Feb-2000 22-Feb-2000 23-Feb-2000 23-Feb-2000 23-Feb-2000 23-Feb-2000 23-Feb-2000 24-Feb-2000 24-Feb-2000 II PAGE: 14 AMOUNT/ COST/ GAIN/LOSS -1,697,355.56 1,697,355.56 0.00 -1,697,355.56 0.00 0.00 -42,725.50 42,725.50 0.00 -42,725.50 0.00 0.00 -1,393,526.56 1,393,526.56 0.00 -1,393,526.56 0.00 0.00 -71,337.27 71,337.27 0.00 ?Workhench OCSGOOO l 0000 OCSD-CONSOLlDATED SHARES/PAR SECURITY ID TRANSCODE 71,337.27 996085247 FC 700,000.00 2338EODAI B 700,000.00 2338EODAl FC 3,600,000.00 02225ACEO B 3,600,000.00 02225ACEO FC 25,507.11 996085247 B 25,507.l l 996085247 FC 07-Mar-2000 8:57:19 .. ---- ORANGECOUN NITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO DAIMLERCHRYLSER DISC 04/10/2000 MORGAN J P SECS -FIXED INCO LONG TERM OPER-PIMCO DAIMLERCHR YLSER DISC 04/10/2000 MORGAN J P SECS -FIXED INCO LONG TERM OPER-PIMCO ALUMINUM CO AMER DISC 03/14/2000 CHASE SECURITIES, NEW YORK LONG TERM OPER-PIMCO ALUMINUM CO AMER DISC 03/14/2000 CHASE SECURITIES, NEW YORK LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT TRADE DATE/ SETTLDATE/ COMPLDATE 24-Feb-2000 24-Feb-2000 24-Feb-2000 24-Feb-2000 24-Feb-2000 24-Feb-2000 24-Feb-2000 24-Feb-2000 24-Feb-2000 25-Feb-2000 24-Feb-2000 25-Feb-2000 25-Feb-2000 25-Feb-2000 25-Feb-2000 25-Feb-2000 25-Feb-2000 25-Feb-2000 15 AMOUNT/ COST/ GAIN/LOSS -71,337.27 0.00 0.00 -694, 776.44 694,776.44 0.00 -694, 776.44 0.00 0.00 -3,589,632.00 3,589,632.00 0.00 -3,589,632.00 0.00 0.00 -25,507.11 25,507.l l 0.00 -25,507.11 0.00 0.00 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 16 PORTFOLIO DETAIL OCSGOOO I 0000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LIQUID OPER-PIMCO 2,000,000.00 FEDERAL HOME LN BK CONS DISC 25-Feb-2000 -1,999,073.33 313384TRO MA T02/28/2000 25-Feb-2000 1,999,073.33 B LEHMAN GOVT SECS INC, NY 0.00 LIQUID OPER-PIMCO 2,000,000.00 FEDERAL HOME LN BK CONS DISC 25-Feb-2000 -1,999,073.33 313384TRO MA T02/28/2000 25-Feb-2000 0.00 FC LEHMAN GOVT SECS INC, NY 25-Feb-2000 0.00 LIQUID OPER-PIMCO 63,500,000.00 LEHMAN BROTHERS REPO 25-Feb-2000 -63,500,000.00 99366W133 05.560% 02/28/2000 DD 02/25/ 25-Feb-2000 63,500,000.00 B LEHMAN BROS INC, NEW YORK 0.00 LIQUID OPER-PIMCO 63,500,000.00 LEHMANBROTHERSREPO 25-Feb-2000 -63,500,000.00 99366Wl33 05.560% 02/28/2000 DD 02/25/ 25-Feb-2000 0.00 FC LEHMAN BROS INC, NEW YORK 25-Feb-2000 0.00 LIQUID OPER-PIMCO 3, 729,418.27 DREYFUS TREASURY CASH MGMT 28-Feb-2000 -3, 729,418.27 996085247 28-Feb-2000 3,729,418.27 B 0.00 LIQUID OPER-PIMCO 3,729,418.27 DREYFUS TREASURY CASH MGMT 28-Feb-2000 -3,729,418.27 996085247 28-Feb-2000 0.00 FC 28-Feb-2000 0.00 LONG TERM OPER-PIMCO 21,961.81 DREYFUS TREASURY CASH MGMT 28-Feb-2000 -21,961.81 996085247 28-Feb-2000 21,961.81 B 0.00 07-Mar-2000 • •. &. Workbench OCSGOOOJ 0000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE 21,961.81 996085247 FC 63,500,000.00 99366W687 B 63,500,000.00 99366W687 FC 3,800,000.00 313384TS8 B 3,800,000.00 313384TS8 FC 258,457.01 996085247 B 258,457.01 996085247 FC 07-Mar-2000 8:57: 19 [ ".RA .. ~JCL.~ .. IT ... r=T==[)N===rR_=_=-======!I PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO CREDIT SUISSE FST REPO 05.650% 0212912000 DD 021281 CREDIT SUISSE FIRST BOSTON C LONG TERM OPER-PIMCO CREDIT SUISSE FST REPO 05.650% 02/29/2000 DD 02/28/ CREDIT SUISSE FIRST BOSTON C LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/29/2000 CREDIT SUISSE FIRST BOSTON C LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/29/2000 CREDIT SUISSE FIRST BOSTON C LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT TRADE DATE/ SETTLDATE/ COMPLDATE 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 AMOUNT/ COST/ GAIN/LOSS -21,961.81 0.00 0.00 -63,500,000.00 63,500,000.00 0.00 -63,500,000.00 0.00 0.00 -3, 799,403.61 3, 799,403.61 0.00 -3, 799,403.61 0.00 0.00 -258,457.0I 258,457.01 0.00 -258,457.01 0.00 0.00 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 18 PORTFOLIO DETAIL OCSGOOO 10000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOLJDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LIQUID OPER-PIMCO 3,800,000.00 FEDERAL HOME LN BK CONS DISC 29-Feb-2000 -3, 799,396.22 313384IT6 MAT 03/01/2000 29-Feb-2000 3, 799,396.22 B MORGAN JP SECS -FIXED INCO 0.00 LIQUID OPER-PIMCO 3,800,000.00 FEDERAL HOME LN BK CONS DISC 29-Feb-2000 -3, 799,396.22 313384IT6 MAT 03/01/2000 29-Feb-2000 0.00 FC MORGAN JP SECS -FIXED INCO 29-Feb-2000 0.00 LIQUID OPER-PlMCO 1,300,000.00 FEDERAL HOME LN MTG CORP DIS 29-Feb-2000 -1,288,26 l. 00 313396WA7 MAT 04/25/2000 INCOME AT MAT 29-Feb-2000 1,288,261. 00 B CREDIT SUISSE FIRST BOSTON C 0.00 LIQUID OPER-PIMCO 1,300,000.00 FEDERAL HOME LN MTG CORP DIS 29-Feb-2000 -1,288,261.00 313396WA7 MAT 04/25/2000 INCOME AT MAT 29-Feb-2000 0.00 FC CREDIT SUISSE FIRST BOSTON C 29-Feb-2000 0.00 LONG TERM OPER-PIMCO 7,000,000.00 GENERAL ELEC CAP DISC 29-Feb-2000 -6,907, 755.56 36959HEK9 05/19/2000 29-Feb-2000 6,907,755.56 B GENERAL ELECTRIC CAPTIAL COR 0.00 LONG TERM OPER-PIMCO 7,000,000.00 GENERAL ELEC CAP DISC 29-Feb-2000 -6,907, 755.56 36959HEK9 05/19/2000 29-Feb-2000 0.00 FC GENERAL ELECTRIC CAPTIAL COR 29-Feb-2000 0.00 LONG TERM OPER-PIMCO 56,500,000.00 GOLDMAN SACHS LP REPO 29-Feb-2000 -56,500,000.00 99366Y204 05.600% 03/01/2000 DD 02/29/ 29-Feb-2000 56,500,000.00 B GOLDMAN SACHS & CO, NY 0.00 07-Mar-2000 8 Ex "Vorkbench OCSGOOO 10000 OCSD-CONSOL/DATED SHARES/PAR SECURITY ID TRANSCODE 56,500,000.00 99366Y204 FC FIXED INCOME SECURITIES 6,250,000.00 OIN060627 FC I 0,500,000.00 OIN062623 FC I l,000,000.00 OIN062623 FC 730,000.00 I 1F011628 FC 900,000.00 3133MAQJI FC 2,800,000.00 3837H4NX9 B 07-Mar-2000 8:57: 19 >N rR r i RA ('0 fY !IT ~~======================111111111~,=====================!J PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO GOLDMAN SACHS LP REPO 05.600% 03/01/2000 DD 02/29/ GOLDMAN SACHS & CO, NY LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.000% 02/ 15/2029 GOLDMAN SACHS & CO, ~y LONG TERM OPER-PIMCO COMMIT TO PUR GNMA I SF MTG 6.500% 02/22/2030 MERRILL LYNCH PIERCE FENNER LONG TERM OPER-PIMCO COMMIT TO PUR GNMA I SF MTG 6.500% 02/22/2030 BEAR STEARNS & CO INC, NY LONG TERM OPER-PIMCO COMMIT TO PUR FNMA SF MTG VAR RT 02/25/2029 GOLDMAN SACHS & CO, NY LONG TERM OPER-PIMCO FEDERAL HOME LN BK CONS BDS 6.750% 02/01/2002 DD 02/0110 WARBURG DILLON READ LLC, NEW LONG TERM OPER-PIMCO GNMA GTD REMIC TR 2000-9 FH VAR RT 02/16/2030 LEHMAN GOVT SECS INC, NY TRADE DATE/ SETTLDATE/ COMPLDATE 29-Feb-2000 29-Feb-2000 29-Feb-2000 1 l-Jan-2000 22-Feb-2000 22-Feb-2000 I 1-Jan-2000 22-Feb-2000 22-Feb-2000 I l-Jan-2000 22-Feb-2000 22-Feb-2000 20-Jan-2000 23-Feb-2000 23-Feb-2000 21-Jan-2000 01-Feb-2000 01-Feb-2000 24-Jan-2000 28-Feb-2000 AMOUNT/ COST/ GAIN/LOSS -56,500,000.00 0.00 0.00 -5,609,375.00 0.00 0.00 -9,732,187.50 0.00 0.00 -10,202,500.00 0.00 0.00 -713,346.88 0.00 0.00 -899,550.00 0.00 0.00 -2,800,000.00 2,800,000.00 0.00 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 20 PORTFOLIO DETAIL OCSGOOO 10000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOLJDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO 2,800,000.00 GNMA GTD REMIC TR 2000-9 FH 24-Jan-2000 -5,898.67 3837H4NX9 VAR RT 02/16/2030 28-Feb-2000 0.00 IB 0.00 LONG TERM OPER-PIMCO 2,800,000.00 GNMA GTD REMIC TR 2000-9 FH 24-Jan-2000 -2,805,898.67 3837H4NX9 VAR RT 02/16/2030 28-Feb-2000 0.00 FC LEHMAN GOVT SECS INC, NY 29-Feb-2000 0.00 LONG TERM OPER-PIMCO 2,500,000.00 US TREASURY NOTES 01-Feb-2000 -2,3 76,392.50 9128275N8 06.000% 08/15/2009 DD 08/15/ 15-May-2000 2,376,392.50 B LEHMAN GOVT SECS INC, NY 0.00 LONG TERM OPER-PIMCO 2,500,000.00 US TREASURY NOTES 0 l-Feb-2000 -37,087.91 9128275N8 06.000% 08115/2009 DD 08/15/ I 5-May-2000 0.00 IB 0.00 LONG TERM OPER-PIMCO 2,500,000.00 US TREASURY NOTES 0 I -Feb-2000 -2,387,890.62 9128275N8 06.000% 0811512009 DD 081151 02-Feb-2000 2,387,890.62 B LEHMAN GOVT SECS INC, NY 0.00 LONG TERM OPER-PIMCO 2,500,000.00 US TREASURY NOTES 0 l-Feb-2000 -69,701.09 9128275N8 06.000% 08/15/2009 DD 08/15/ 02-Feb-2000 o.oc 18 O.OC LONG TERM OPER-PIMCO 2,500,000.00 US TREASURY NOTES 0 l-Feb-2000 -2,457,591.71 9128275N8 06.000% 08/1512009 DD 081151 02-Feb-2000 0.01 FC LEHMAN GOVT SECS INC, NY 02-Feb-2000 0.01 -~ -• -'·--~- Wor'--·--·· OCSGOOO I 0000 OCSD-CONSOLIDATED SHARESIPAR SECURITY ID TRANSCODE 10,500,000.00 01N06263l B l l,000,000.00 OlN062631 B 4,900,000.00 9128274Vl B 4,900,000.00 9128274¥1 IB 4,900,000.00 9128274¥1 FC 2,000,000.00 31359MFG3 B 2,000,000.00 31359MFG3 IB [ OiiA.1'1\iE(;uuNT-I IAI ION u1STkIL f PORTFOLIO DETAIL Ol-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO COMMIT TO PUR GNMA I SF MTG 6.500% 03/15/2029 MERRILL LYNCH PIERCE FENNER LONG TERM OPER-PIMCO COMMIT TO PUR GNMA I SF MTG 6.500% 03/15/2029 BEAR STEARNS & CO INC, NY LONG TERM OPER-PIMCO U S TREASURY NOTES 04.750% 11/15/2008 DD 11/15/ GOLDMAN SACHS & CO, NY LONG TERM OPER-PIMCO US TREASURY NOTES 04.750% 11/15/2008 DD 11/15/ LONG TERM OPER-PIMCO US TREASURY NOTES 04.750% ll/15/2008 DD 11115/ GOLDMAN SACHS & CO, NY LONG TERM OPER-PIMCO FEDERAL NATL MTG ASSN DEBS 7.250% 01115120 I 0 DD 1114120 MERRILL LYNCH PIERCE FENNER LONG TERM OPER-PIMCO FEDERAL NATL MTG ASSN DEBS 7.250% 01/15/2010 DD 1114/20 TRADE DATE/ SETTLDATE/ COMPLDATE 02-Feb-2000 22-Mar-2000 02-Feb-2000 22-Mar-2000 03-Feb-2000 04-Feb-2000 03-Feb-2000 04-Feb-2000 03-Feb-2000 04-Feb-2000 04-Feb-2000 03-Feb-2000 04-Feb-2000 03-Feb-2000 04-Feb-2000 PAGE: AMO UN' COS' GAIN/Lm -9,699,375.( 9,699,375.( 0.( -10,161,250.( 10,161,250.C o.c -4,316,057.2 4,316,057.2 0.0 -51,793.2 0.0 0.0 -4,367,850.4 0.01 0.01 -2,013, I 00.0I 2,013,100.01 0.0( -8,055.5t 0.0( 0.(}{ F.xecutive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 22 PORTFOLIO DETAIL OCSGOOO I 0000 01-FEB-2000-29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO 2,000,000.00 FEDERAL NATL MTG ASSN DEBS 03-Feb-2000 -2,021,155.56 31359MFG3 7.250%01/15120!0 DD 1114120 04-Feb-2000 0.00 FC MERRILL LYNCH PIERCE FENNER 04-Feb-2000 0.00 LONG TERM OPER-PIMCO 2,500,000.00 US TREASURY NOTES 08-Feb-2000 -2,392, 187.50 9128275N8 06.000% 08/15/2009 DD 08/15/ 09-Feb-2000 2,392, 187.50 B LEHMAN GOVT SECS INC, NY 0.00 LONG TERM OPER-PIMCO 2,500,000.00 U S TREASURY NOTES 08-Feb-2000 -12,554.35 9128275N8 06.000% 08/15/2009 DD 08/15/ 09-Feb-2000 0.00 IB 0.00 LONG TERM OPER-PIMCO 2,500,000.00 U S TREASURY NOTES 08-Feb-2000 -2,464,741.85 9128275N8 06.000%08/15/2009 DD 08/15/ 09-Feb-2000 0.00 FC LEHMAN GOVT SECS INC, NY 09-Feb-2000 0.00 LONG TERM OPER-PIMCO 2,800,000.00 US TREASURY NOTES 08-Feb-2000 -2,445, 187.50 9128274VI 04.750% 11/15/2008 DD 11/15/ 09-Feb-2000 2,445, 187.50 B GOLDMAN SACHS & CO, NY 0.00 LONG TERM OPER-PIMCO 2,800,000.00 U S TREASURY NOTES 08-Feb-2000 -31,423.08 9128274Vl 04. 750% 11/15/2008 DD 11/15/ 09-Feb-2000 0.00 IB 0.00 LONG TERM OPER-PIMCO 2,800,000.00 US TREASURY NOTES 08-Feb-2000 -2,4 76,610.58 9128274Vl 04. 750% 11/15/2008 DD 11/15/ 09-Feb-2000 0.00 FC GOLDMAN SACHS & CO, NY 09-Feb-2000 0.00 • OCSGOOO 10000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE 6,250,000.00 01N060635 B 340,811.80 31348SWZ3 B 340,811.80 31348SWZ3 IB 340,811.80 31348SWZ3 FC 2, 100,000.00 31359MEY5 B 2, I 00,000.00 31359MEY5 IB 2, 100,000.00 31359MEY5 FC --·' ... ,....,,n o.~7-ID ORANGE COUNT ITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO COMMIT TO PUR GNMA SF MTG 6.000% 03/15/2029 GOLDMAN SACHS & CO, NY LONG TERM OPER-PIMCO FHLMC GROUP #78-6064 6.384% 01/01/2028 DD 12/01/ ~ERST, HOUSTON LONG TERM OPER-PIMCO FHLMC GROUP #78-6064 6.384%01/01/2028 DD 121011 LONG TERM OPER-PIMCO FHLMC GROUP #78-6064 6.384% 01/01/2028 DD 12101/ AMHERST, HOUSTON LONG TERM OPER-PIMCO FEDERAL NATL MTG ASSN DEBS 6.625% 09/15/2009 DD 0910119 MERRILL LYNCH PIERCE FENNER LONG TERM OPER-PIMCO FEDERAL NATL MTG ASSN DEBS 6.625% 09/15/2009 DD 0910119 LONG TERM OPER-PIMCO FEDERAL NATL MTG ASSN DEBS 6.625% 09/15/2009 DD 0910119 MERRILL LYNCH PIERCE FENNER TRADE DATE/ SETTLDATE/ COMPLDATE l 4-Feb-2000 22-Mar-2000 18-Feb-2000 24-Feb-2000 18-Feb-2000 24-Feb-2000 18-Feb-2000 24-Feb-2000 24-Feb-2000 22-Feb-2000 23-Feb-2000 22-Feb-2000 23-Feb-2000 22-Feb-2000 23-Feb-2000 23-Feb-2000 ..,PAGE: 23 AMOUNT/ COST/ GAIN/LOSS -5,593, 750.00 5,593, 750.00 0.00 -332,504.51 332,504.51 0.00 -1,381.78 0.00 0.00 -333,886.29 0.00 0.00· -2,008,440.00 2,008,440.00 0.00 -66,470.83 0.00 0.00 -2,074,910.8~ 0.0( 0.0( Executive Workbench OCSGOOO I 0000 OCSD-CONSOL/DATED PAY UPS SHARES/PAR SECURITY ID TRANSCODE 25,000,000.00 912827Z62 B 25,000,000.00 912827Z62 IB 3,000,000.00 209l l lCU5 B 3,000,000.00 209lltCU5 IB FIXED INCOME SECURITIES 20.00 9128275W8 PU 20.00 9128275W8 FC PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO U S TREASURY NOTES 06.500% I0/15/2006 DD I0/15/ MORGAN STANLEY & CO INC, NY LONG TERM OPER-PIMCO US TREASURY NOTES 06.500% 10/15/2006 DD 10/15/ LONG TERM OPER-PIMCO CONSOLIDATED EDISON NY DEBS FL TG RT 06115/2002 DD 06/20/ MERRILL LYNCH PIERCE FENNER LONG TERM OPER-PIMCO CONSOLIDATED EDISON N Y DEBS FL TG RT 06/15/2002 DD 06/20/ LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX 4.250%001/15/2010 DD 01115/ LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX 4.250%001115/2010 DD 01/15/ TRADE DATE/ SETTLDATE/ COMPLDATE 28-Feb-2000 01-Mar-2000 28-Feb-2000 01-Mar-2000 29-Feb-2000 02-Mar-2000 29-Feb-2000 02-Mar-2000 I 5-Jan-2000 I 5-Jan-2000 I 5-Jan-2000 I 5-Jan-2000 29-Feb-2000 • PAGE: AMO UN' cos·. GAIN/LOS -24,837,890.6 24,837,890.6: O.OI -612,704.92 0.00 0.00 -2,994,300.00 2,994,300.00 0.00 -40,178.13 0.00 0.00 -20.00 20.00 0.00 -20.00 0.00 0.00 •e H ·orkbench OCSGOOO I 0000 OCSD-CONSOLJDATED SHARES/PAR SECURITY ID TRANSCODE 200.00 9128272M3 PU 200.00 9128272M3 FC 140.00 9128273A8 PU 140.00 9128273A8 FC 22.50 3133TCE95 PU 22.50 3133TCE95 FC 11,932.80 3133T17A4 PU 07-Mar-2000 8:57:19 [ ~RA..t"IU~ C~~.JT1. fl'uun)l\ ~u_,,TR.....,a PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX 3.375% 01115/2007 DD 011151 LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX 3.375% 01/15/2007 DD 01115/ LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX 3.625% 07/15/2002 DD 07/J5/ LONG TERM OPER-P1MCO US TREASURY INFLATION INDEX 3.625% 07/15/2002 DD 07/15/ LONG TERM OPER-PIMCO FHLMC MULTICLASS CTF E3 A 6.324% 08/15/2032 LONG TERM OPER-PIMCO FHLMC MULTICLASS CTF E3 A 6.324% 08/15/2032 LONG TERM OPER-PIMCO FHLMC MULTI CLASS CTF SER 162 6.000% 11115/2023 DD 11/0119 TRADE DATE/ SETTLDATE/ COMPLDATE 15-Jan-2000 15-Jan-2000 15-Jan-2000 15-Jan-2000 29-Feb-2000 15-Jan-2000 15-Jan-2000 15-Jan-2000 15-Jan-2000 29-Feb-2000 01-Feb-2000 01-Feb-2000 01-Feb-2000 01-Feb-2000 15-Feb-2QOO 01-Feb-2000 Ol-Feb-2000 ~ E: _j AMOUNT/ COST/ GAIN/LOSS -200.00 200.00 0.00 -200.00 0.00 0.00 -140.00 140.00 0.00 -140.00 0.00 0.00 -22.50 22.50 0.00 -22.50 0.00 0.00 -11,932.80 11,932.80 0.00 Executive Workbench OCSGOOOJ 0000 OCSD-CONSOLIDATED SALES SHARES/PAR SECURITY ID TRANSCODE 11,932.80 3133Tl7A4 FC CASH & CASH EQUIVALENTS -2,585,831.44 996085247 s -2,585,831.44 996085247 FC -80,065.48 996085247 s -80,065.48 996085247 FC -900,000.00 34110AB93 s ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO FHLMC MULTI CLASS CTF SER 162 6.000% 11/15/2023 DD 11/01/9 LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO FLORIDA PWR CORP DISC 02/09/2000 MERRILL LYNCH PIERCE FENNER TRADE DATE/ SETTLDATE/ COMPLDATE 01-Feb-2000 Ol-Feb-2000 I 5-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 PAGE: 26 AMOUNT/ COST/ GAIN/LOSS -11,932.80 0.00 0.00 2,585,831.44 -2,585,83] .44 0.00 2,585,831.44 0.00 0.00 80,065.48 -80,065.48 0.00 80,065.48 0.00 0.00 890,448.00 -890,448.00 0.00 OCSG000/0000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE -900,000.00 341 IOAB93 IS -900,000.00 34110AB93 FC -2,500,000.00 313588SX4 s -2,500,000.00 313588SX4 IS -2,500,000.00 313588SX4 FC -700,000.00 313396SV6 s -700,000.00 313396SV6 IS 07-Mar-2000 8:57:19 r __ lA_. __ Cl __ fY lllllt=IT=-=--=-=JN===·ru=======!I PORTFOLIO DETAIL Ol-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LIQUID OPER-PIMCO FLORIDA PWR CORP DISC 02/09/2000 LIQUID OPER-PlMCO FLORIDA PWR CORP DISC 02/09/2000 MERRILL LYNCH PIERCE FENNER LIQUID OPER-PIMCO FEDERAL NATL MTG ASSN DISC 02/10/2000 HSBC SECS INC, NEW YORK LIQUID OPER-PIMCO FEDERAL NATL MTG ASSN DISC 02/10/2000 LIQUID OPER-PIMCO FEDERAL NATL MTG ASSN DISC 02/10/2000 HSBC SECS INC, NEW YORK LIQUID OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 02/08/2000 HSBC SECS INC, NEW YORK LIQUID OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 02/08/2000 TRADE DATE/ SETTLDATE/ COMPLDATE 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 AMOUNT/ COST/ GAIN/LOSS 8,689.50 0.00 0.00 899,137.50 0.00 0.00 2,485,301.39 -2,485,301.39 0.00 11,961.80 0.00 0.00 2,497,263.19 0.00 0.00 697,861.11 -697,861.11 0.00 1,592.50 0.00 0.00 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 29 PORTFOLIO DETAIL OCSGOOO 10000 Ol-FEB-2000 -29-FEB-2000 OCSD-CONSOL!DATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO -4,400,000.00 FEDERAL HOME MTG MTG CORP DI 04-Feb-2000 1,745.33 313396UP6 MAT 03/21/2000 04-Feb-2000 0.00 IS 0.00 LONG TERM OPER-PIMCO -4,400,000.00 FEDERAL HOME MTG MTG CORP DI 04-Feb-2000 4,367,953.33 313396UP6 MAT 03/2112000 04-Feb-2000 0.00 FC MORGAN J P SECS -FIXED INCO 04-Feb-2000 0.00 LONG TERM OPER-PIMCO -2,298,498.67 DREYFUS TREASURY CASH MGMT 07-Feb-2000 2,298,498.67 996085247 07-Feb-2000 -2,298,498.67 s 0.00 LONG TERM OPER-PIMCO -2,298,498.67 DREYFUS TREASURY CASH MGMT 07-Feb-2000 2,298,498.67 996085247 07-Feb-2000 0.00 FC 07-Feb-2000 0.00 LONG TERM OPER-PIMCO -2,300,000.00 LEHMAN BROTHERS REPO 08-Feb-2000 2,300,000.00 99366F650 05.6!0% 0210812000 DD 021071 08-Feb-2000 -2,300,000.00 s LEHMAN BROS INC, NEW YORK 0.00 LONG TERM OPER-PIMCO -2,300,000.00 LEHMAN BROTHERS REPO 08-Feb-2000 358.42 99366F650 05.610% 0210812000 DD 021071 08-Feb-2000 0.00 IS 0.00 LONG TERM OPER-PIMCO -2,300,000.00 LEHMAN BROTHERS REPO 08-Feb-2000 2,300,358.42 99366F650 05.610% 02/0812000 DD 02107/ 08-Feb-2000 0.00 FC LEHMAN BROS INC, NEW YORK 08-Feb-2000 0.00 ~ = -RA cc IT~ r11 01' TR -~ .. -) PORTFOLIO DETAIL OCSGOOO I 0000 01-FEB-2000-29-FEB-2000 OCSD-CONSOLJDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO -53,093.38 DREYFUS TREASURY CASH MGMT 16-Feb-2000 53,093.38 996085247 16-Feb-2000 -53,093.38 s 0.00 LONG TERM OPER-PIMCO -53,093.38 DREYFUS TREASURY CASH MGMT 16-Feb-2000 53,093.38 996085247 16-Feb-2000 0.00 FC I 6-Feb-2000 0.00 LONG TERM OPER-PIMCO -1,454,538.44 DREYFUS TREASURY CASH MGMT 23-Feb-2000 1,454,538.44 996085247 23-Feb-2000 -1,454,538.44 s 0.00 LONG TERM OPER-PIMCO -1,454,538.44 DREYFUS TREASURY CASH MGMT 23-Feb-2000 1,454,538.44 996085247 23-Feb-2000 0.00 FC 23-Feb-2000 0.00 LONG TERM OPER-PIMCO -65,536.33 DREYFUS TREASURY CASH MGMT 25-Feb-2000 65,536.33 996085247 25-Feb-2000 -65,536.33 s 0.00 LONG TERM OPER-PIMCO -65,536.33 DREYFUS TREASURY CASH MGMT 25-Feb-2000 65,536.33 996085247 25-Feb-2000 0.00 FC 25-Feb-2000 0.00 LIQUID OPER-PIMCO -63,500,000.00 LEHMAN BROTHERS REPO 28-Feb-2000 63,500,000.00 99366Wl33 05.560% 02/28/2000 DD 02/25/ 28-Feb-2000 -63,500,000.00 s LEHMAN BROS INC, NEW YORK 0.00 07-Mar-2000 8:57: 19 Executive Ji;, .. '·onch OCSGOOOJ 0000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE -63,500,000.00 99366Wl33 IS -63,500,000.00 99366Wl33 FC -2,800,000.00 313396TZ6 s -2,800,000.00 313396TZ6 IS -2,800,000.00 313396TZ6 FC -3,858,584.64 996085247 s -3,858,584.64 996085247 FC 07-Mar-2000 8 , ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LIQUID OPER-PIMCO LEHMAN BROTHERS REPO 05.560% 02/28/2000 DD 021251 LIQUID OPER-PIMCO LEHMAN BROTHERS REPO 05.560% 02/28/2000 DD 02/25/ LEHMAN BROS INC, NEW YORK LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 03/07/2000 HSBC SECS INC, NEW YORK LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 03/07 /2000 LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 03/07/2000 HSBC SECS INC, NEW YORK LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT TRADE DATE/ SETTLDATE/ COMPLDATE 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 PAGE: 31 AMOUNT/ COST/ GAIN/LOSS 29,421.67 0.00 0.00 63,529,421.67 0.00 0.00 2, 787,695.55 -2,787,695.55 0.00 8,788.89 0.00 0.00 2, 796,484.44 0.00 0.00 3,858,584.64 -3,858,584.64 0.00 3,858,584.64 0.00 0.00 Exe Workbench OCSGOOOJ 0000 OCSD-CONSOLJDATED SHARES/PAR SECURITY ID TRANSCODE -63,500,000.00 99366W687 s -63,500,000.00 99366W687 IS -63,500,000.00 99366W687 FC FIXED INCOME SECURITIES -730,000.00 1lFOl1628 FC -2,500,000.00 9128275N8 s -2,500,000.00 9128275N8 IS -2,500,000.00 9128275N8 FC 07-Mar-2000 8:57:19 [ uRA~liE ( ---rT 1 • ~l'.1 n. .1.101" .1.ndTiu'--.I PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO CREDIT SUISSE FST REPO 05.650% 02/29/2000 DD 02/28/ CREDIT SUISSE FIRST BOSTON C LONG TERM OPER-PIMCO CREDIT SUISSE FST REPO 05.650% 02/29/2000 DD 02/28/ LONG TERM OPER-PIMCO CREDIT SUISSE FST REPO 05.650% 02/29/2000 DD 02/28/ CREDIT SUISSE FIRST BOSTON C LONG TERM OPER-PIMCO COMMIT TO PUR FNMA SF MTG VAR RT 02/25/2029 GOLDMAN SACHS & CO, NY LONG TERM OPER-PIMCO US TREASURY NOTES 06.000% 08/15/2009 DD 08/15/ LEHMAN GOVT SECS INC, NY LONG TERM OPER-PIMCO US TREASURY NOTES 06.000% 08/15/2009 DD 08/15/ LONG TERM OPER-PIMCO U S TREASURY NOTES 06.000% 08/15/2009 DD 08/15/ LEHMAN GOVT SECS INC, NY TRADE DATE/ SETTLDATE/ COMPLDATE 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 28-Jan-2000 23-Feb-2000 23-Feb-2000 OI-Feb-2000 . 02-Feb-2000 01-Feb-2000 02-Feb-2000 01-Feb-2000 02-Feb-2000 02-Feb-2000 .., ___ E: AMOUNT/ COST/ GAIN/LOSS 63,500,000.00 -63,500,000.00 0.00 9,965.97 0.00 0.00 63,509,965.97 0.00 0.00 708,100.00 0.00 0.00 2,389,062.50 -2,3 79,202.17 9,860.33 69,701.09 0.00 0.00 2,458, 763.59 0.00 0.00 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: PORTFOLIO DETAIL OCSGOOOJ 0000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMO UN SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ cos TRANSCODE BROKER COMPLDATE GAIN/LO! LONG TERM OPER-PIMCO -2,800,000.00 U S TREASURY NOTES 01-Feb-2000 2,442,487.1 9128274VJ 04.750% 11/15/2008DDI1/15/ 02-Feb-2000 -2,429,218.' s LEHMAN GOVT SECS INC, NY 13,268.: LONG TERM OPER-PIMCO -2,800,000 .00 US TREASURY NOTES Ol-Feb-2000 28,865.: 9128274VI 04.750% 11/15/2008 DD 11/15/ 02-Feb-2000 0.( JS 0.( LONG TERM OPER-PIMCO -2,800,000.00 US TREASURY NOTES Ol-Feb-2000 2,471,352.~ 9128274VI 04.750% 11/15/2008 DD 11/15/ 02-Feb-2000 0.( FC LEHMAN GOVT SECS INC, NY 02-Feb-2000 0.( LONG TERM OPER-PIMCO -10,500,000.00 COMMIT TO PUR GNMA I SF MTG 02-Feb-2000 9,712,500.0 OIN062623 6.500% 02/22/2030 22-Feb-2000 -9,735,545.0 s MERRILL LYNCH PIERCE FENNER -23,045.0 LONG TERM OPER-PIMCO -10,500,000.00 COMMIT TO PUR GNMA I SF MTG 02-Feb-2000 9,712,500.0 OIN062623 6.500% 02/22/2030 22-Feb-2000 0.0 FC MERRILL LYNCH PIERCE FENNER 22-Feb-2000 0.0 LONG TERM OPER-PIMCO -11,000,000.00 COMMIT TO PUR GNMA I SF MTG 02-Feb-2000 I 0, 175,000.01 01N062623 6.500% 02/22/2030 22-Feb-2000 -10, 199, 142.4· s BEAR STEARNS & CO INC, NY -24,142.4· LONG TERM OPER-PIMCO -11,000,000.00 COMMIT TO PUR GNMA I SF MTG 02-Feb-2000 l 0, 175,000.01 OIN062623 6.500% 02/22/2030 22-Feb-2000 0.0( FC BEAR STEARNS & CO INC, NY 22-Feb-2000 0.0( .. ecutive Workbench ~ r RA C4 rv IT )N rru 11111 I PORTFOLIO DETAIL OCSGOOO 10000 Ol-FEB-2000 -29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO -1,200,000.00 US TREASURY NOTES 03-Feb-2000 1,160,625.00 9128275N8 06.000% 08/15/2009 DD 081151 04-Feb-2000 -1,142,017.04 s GOLDMAN SACHS & CO, NY 18,607.96 LONG TERM OPER-PIMCO -1,200,000.00 U S TREASURY NOTES 03-Feb-2000 33,847.83 9128275N8 06.000% 08/15/2009 DD 08/15/ 04-Feb-2000 0.00 IS 0.00 LONG TERM OPER-PIMCO -1,200,000.00 U S TREASURY NOTES 03-Feb-2000 1,194,472.83 9128275N8 06.000% 08/15/2009 DD 08/ I 5/ 04-Feb-2000 0.00 FC GOLDMAN SACHS & CO, NY 04-Feb-2000 0.00 LONG TERM OPER-PIMCO -2,000,000.00 U S TREASURY NOTES 03-Feb-2000 1,944,375.00 9128275N8 06.000% 08/15/2009 DD 081151 04-Feb-2000 -1,903,361.74 s GOLDMAN SACHS & CO, NY 41,013.26 LONG TERM OPER-PIMCO -2,000,000.00 US TREASURY NOTES 03-Feb-2000 56,413.04 9128275N8 06.000% 08/15/2009 DD 08/15/ 04-Feb-2000 0.00 IS 0.00 LONG TERM OPER-PIMCO -2,000,000.00 US TREASURY NOTES 03-Feb-2000 2,000, 788.04 9128275N8 06.000% 08/15/2009 DD 08/15/ 04-Feb-2000 0.00 FC GOLDMAN SACHS & CO, NY 04-Feb-2000 0.00 LONG TERM OPER-PIMCO -2,500,000.00 US TREASURY NOTES 08-Feb-2000 2,391,406.25 9128275N8 06.000% 08/15/2009 DD 08/15/ 09-Feb-2000 -2,379,202.17 s GOLDMAN SACHS & CO, NY 12,204.08 07-Mar-2000 8:57: 19 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 3 PORTFOLIO DETAIL OCSG000/0000 Ol-FEB-2000-29-FEB-2000 OCSD-CONSOLJDATED SHARES/PAR TRADE DATE/ AMOUN1 SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COS1 TRANSCODE BROKER COMPLDATE GAIN/LOS: LONG TERM OPER-PIMCO -2,500,000.00 US TREASURY NOTES 08-Feb-2000 72,554.3. 9128275N8 06.000% 08/15/2009 DD 081151 09-Feb-2000 0.01 IS 0.01 LONG TERM OPER-PIMCO -2,500,000.00 US TREASURY NOTES 08-Feb-2000 2,463,960.61 9128275N8 06.000% 08/15/2009 DD 08/15/ 09-Feb-2000 0.01 FC GOLDMAN SACHS & CO, NY 09-Feb-2000 O.Ot LONG TERM OPER-PIMCO -2,500,000.00 US TREASURY NOTES 08-Feb-2000 2,380, 110.0t 9128275N8 06.000% 08/15/2009 DD 08/15/ 15-May-2000 -2,392, 187.51 s LEHMAN GOVT SECS INC, NY -12,077.51 LONG TERM OPER-PIMCO -2,500,000.00 US TREASURY NOTES 08-Feb-2000 37,087.9 9128275N8 06.000% 08/1512009 DD 08/15/ 15-May-2000 0.01 IS 0.01 LONG TERM OPER-PIMCO -6,250,000.00 COMMIT TO PUR GNMA SF MTG I 4-Feb-2000 5,600,341.81 OIN060627 6.000% 02/15/2029 22-Feb-2000 -5,609,375.01 s GOLDMAN SACHS & CO, NY -9,033.21 LONG TERM OPER-PIMCO -6,250,000.00 COMMIT TO PUR GNMA SF MTG 14-Feb-2000 5,600,341.8( OIN060627 6.000% 02/15/2029 22-Feb-2000 0.0( FC GOLDMAN SACHS & CO, NY 22-Feb-2000 0.0{ LONG TERM OPER-PIMCO -2,000,000.00 FEDERAL NA TL MTG ASSN DEBS 22-Feb-2000 2,003,437.5( 31359MFG3 7.250% 01/15/2010 DD 1/14/20 23-Feb-2000 -2,013,I00.0( s MERRILL LYNCH PIERCE FENNER -9,662.51 -.-- OCSGOOO 10000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE -2,000,000.00 31359MFG3 IS -2,000,000.00 31359MFG3 FC PRINCIPAL PAYMENTS FIXED INCOME SECURITIES 52,499.50 3133TCE95 PDC -52,522.00 3133TCE95 PD -52,522.00 3133TCE95 FC -39,873.05 3128DDQ55 PD 07-Mar-2000 8: 57: 19 ON TR [ RA : C T\' [11 ~~~~~~~~~~~~~11111~r~~~~~~~~~~====!l PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO FEDERAL NATL MTG ASSN DEBS 7.250% 01115/2010 DD 1/14/20 LONG TERM OPER-PIMCO FEDERAL NATL MTG ASSN DEBS 7.250% 01115/2010 DD 1114/20 MERRILL LYNCH PIERCE FENNER LONG TERM OPER-PIMCO FHLMC MULTI CLASS CTF EJ A 6.324% 08/15/2032 LONG TERM OPER-PIMCO FHLMC MULTICLASS CTF EJ A 6.324% 08/15/2032 LONG TERM OPER~PIMCO FHLMC MULTI CLASS CTF E3 A 6.324% 08/15/2032 LONG TERM OPER-PIMCO FHLMC GROUP #G5-0476 7.000% 02/0112003 DD 02/01/ TRADE DATE/ SETTLDATE/ COMPLDATE 22-Feb-2000 23-Feb-2000 22-Feb-2000 23-Feb-2000 23-Feb-2000 01-Jan-2000 01-Jan-2000 0 l-Jan-2000 01-Jan-2000 0 l -Jan-2000 01-Jan-2000 15-Feb-2000 Ol-Feb-2000 01-Feb-2000 AMOUNT/ COST/ GAIN/LOSS 15,708.33 0.00 0.00 2,019,145.83 0.00 0.00 -52,499.50 52,556.92 57.42 52,522.00 -52,579.44 -57.44 52,522.00 0.00 0.00 39,873.05 -40,496.07 -623.02 Executive Workbench @ II ORANGE COUNTY SANITATION DISTRICT PAGE: 37 PORTFOLIO DETAIL OCSGOOOJ 0000 01-FEB-2000-29-FEB-2000 OCSD-CONSOL/DATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO -39,873.05 FHLMC GROUP #G5-0476 Ol-Feb-2000 39,873.05 3128DDQ55 7.000% 02/01/2003 DD 02/01/ 01-Feb-2000 0.00 FC 15-Feb-2000 0.00 LONG TERM OPER-PIMCO -38,194.95 FHLMC MULTICL MTG P/C 1574 E Ol-Feb-2000 38,194.95 3133T02D5 5.900% 06/15/2017 01-Feb-2000 -38, 141.24 PD 53.71 LONG TERM OPER-PIMCO -38,194.95 FHLMC MULTICL MTG P/C 1574 E Ol-Feb-2000 38,194.95 3133T02D5 5.900% 06/15/2017 01-Feb-2000 0.00 FC 15-Feb-2000 0.00 LONG TERM OPER-PIMCO -32,928.60 GNMA II POOL #0080023 Ot-Feb-2000 32,928.60 36225CAZ9 6.125% 12120/2026 DD 12/01/ 01-Feb-2000 -33,473.98 PD -545.38 LONG TERM OPER-PIMCO -32,928.60 GNMA II POOL #0080023 01-Feb-2000 32,928.60 36225CAZ9 6.125% 12/20/2026 DD 12/01/ Ot-Feb-2000 0.00 FC 22-Feb-2000 0.00 LONG TERM OPER-PIMCO -34,299.89 GNMA II POOL #080088M Ol-Feb-2000 34,299.89 36225CC20 VAR RT 06/20/2027 DD 0610119 01-Feb-2000 -35,050.20 PD -750.31 LONG TERM OPER-PIMCO -34,299.89 GNMA II POOL #080088M 01-Feb-2000 34,299.89 36225CC20 VAR RT 06/20/2027 DD 06/0119 Ol-Feb-2000 0.00 FC 22-Feb-2000 0.00 07-Mar-2000 • fu~ Workbench OCSGOOO I 0000 OCSD-CONSOLIDATED SHARESIPAR SECURITY ID TRANSCODE -7,934.60 31371HU48 PD -7,934.60 31371HU48 FC -46,853.50 3133TCE95 PD -558.80 302998GE3 PD -16,231.80 3935052Y7 PD -16,231.80 3935052Y7 FC -7,822:09 31677EAA4 PD 07-Mar-2000 8:57: 19 II ORANGE COUN I .NITA Tl ON DISTRICT PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO FNMA POOL #0252703 6.500% 09101/2006 DD 081011 LONG TERM OPER-PIMCO FNMA POOL #0252703 6.500% 09/01/2006 DD 08/01/ LONG TERM OPER-PIMCO FHLMC MULTI CLASS CTF E3 A 6.324% 08/15/2032 LONG TERM OPER-PIMCO WMP/HUNTOON PAIGE #000-11150 7.500% 12/01/2030 DD 10/2119 LONG TERM OPER-PIMCO GREEN TREE CORP 99-D CL A-1 6.290% 10/15/2013 DD 08/26/9 LONG TERM OPER-PIMCO GREEN TREE CORP 99-D CL A-1 6.290% 10/15/2013 DD 08/26/9 LONG TERM OPER-PIMCO FIFTH THIRD BK AUTO TR 96A C 6.200% 09/01/2001 DD 03/15/9 TRADE DATE/ SETTLDATE/ COMPLDATE OI-Feb-2000 Ol-Feb-2000 01-Feb-2000 01-Feb-2000 25-Feb-2000 Ol-Feb-2000 Ol-Feb-2000 Ol-Feb-2000 01-Feb-2000 l 5-Feb-2000 l 5-Feb-2000 I 5-Feb-2000 l 5-Feb-2000 15-Feb-2000 15-Feb-2000 l 5-Feb-2000 &PAGE: 38 AMOUNT/ COST/ GAIN/LOSS 7,934.60 -7,769.71 164.89 7,934.60 0.00 0.00 46,853.50 -46,904.74 -51.24 558.80 -546.66 12.14 16,231.80 -16,231.80 0.00 16,231.80 0.00 0.00 7,822.09 -7,822.09 0.00 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 39 PORTFOLIO DETAIL OCSGOOO I 0000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOLJDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO -7,822.09 FIFTH THIRD BK AUTO TR 96A C I 5-Feb-2000 7,822.09 31677EAA4 6.200% 09/01/2001 DD 03/15/9 15-Feb-2000 0.00 FC I 5-Feb-2000 0.00 MATURITIES CASH & CASH EQUIV A LENTS LONG TERM OPER-PIMCO -900,000.00 MERRILL LYNCH CO DISC 01-Feb-2000 899,447.00 59018JBI I 02/01/2000 01-Feb-2000 -899,447.00 MT Ol-Feb-2000 0.00 LONG TERM OPER-PIMCO -9,500,000.00 FEDERAL HOME LN MTG CORP DIS 02-Feb-2000 9,459, 139.44 3l3396SP9 MAT 02/02/2000 02-Feb-2000 -9,459, 139.44 MT 02-Feb-2000 0.00 LIQUID OPER-PIMCO -3, 700,000.00 FEDERAL HOME LN BK CONS DISC 02-Feb-2000 3,697, 194.17 313384SP5 MAT 02/02/2000 02-Feb-2000 -3,697,194.17 MT 02-Feb-2000 0.00 LIQUID OPER-PIMCO -503,000.00 FEDERAL HOME LN MTG CORP DIS 03-Feb-2000 501,430.56 313396SQ7 02/03/2000 03-Feb-2000 -501,430.56 MT 03-Feb-2000 0.00 LONG TERM OPER-PIMCO -1,200,000.00 CBA (DELAWARE) DISC 07-Feb-2000 1,195,025.33 12478JB70 02/07/2000 07-Feb-2000 -1, 195,025.33 MT 07-Feb-2000 0.00 07-Mar-2000 • OCSGOOO 10000 OCSD-CONSOLJDATED SHARES/PAR SECURITY ID TRANSCODE -1,200,000.00 313312SV3 MT -7, 700,000.00 45920DB85 MT -10,700,000.00 36959HB97 MT -900,000.00 36959HBE6 MT -1,200,000.00 313396TC7 MT -14,000,000.00 98412CBG3 MT -3, 700,000.00 313384TD1 MT 07-Mar-2000 8:57: 19 ORANGE COUN'I. NITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO FEDERAL FARM CR BK CONS SYST MAT 02/08/2000 LONG TERM OPER-PIMCO IBM DISC 02/08/2000 LONG TERM OPER-PIMCO GENERAL ELEC CAP DISC 02/09/2000 LIQUID OPER-PIMCO GENERAL ELEC CAP DISC 02/14/2000 LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT02/15/2000 LONG TERM OPER-PIMCO XEROX CORP DISC 02/16/2000 LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/16/2000 TRADE DATE/ SETTLDATE/ COMPLDATE 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 08-Feb-2000 09-Feb-2000 09-Feb-2000 09-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 15-Feb-2000 15-Feb-2000 15-Feb-2000 I 6-Feb-2000 l 6-Feb-2000 16-Feb-2000 16-Feb-2000 16-Feb-2000 16-Feb-2000 .. ~AGE: 40 AMOUNT/ COST/ GAIN/LOSS I, 196,529.33 -1, 196,529.33 0.00 7,624,155.00 -7,624, 155.00 0.00 I 0,579, 743.89 -10,579, 743.89 0.00 890,636.50 -890,636.50 0.00 1,198,498.67 -1, 198,498.67 0.00 13,953,858.33 -13,953,858.33 0.00 3,691,845.39 -3,691,845.39 0.00 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 41 PORTFOLIO DETAIL OCSGOOO I 0000 Ol-FEB-2000 -29-FEB-2000 OCSD-CONSOLIDATED SHARESIPAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LIQUID OPER-PIMCO -3, 700,000.00 FEDERAL HOME LN BK CONS DISC 17-Feb-2000 3,699,437.81 313384TE9 MAT 02/17/2000 l 7-Feb-2000 -3,699,437.81 MT 17-Feb-2000 0.00 LONG TERM OPER-PIMCO -600,000.00 ANZ DELAWARE INC DISC 17-Feb-2000 597,728.00 00181RBH3 02/17/2000 17-Feb-2000 -597,728.00 MT 17-Feb-2000 0.00 LIQUID OPER-PIMCO -900,000.00 ALUMINUM CO AMER DISC 18-Feb-2000 897,390.00 02225ABJO 02/18/2000 18-F eb-2000 -897,390.00 MT I 8-Feb-2000 0.00 LIQUID OPER-PIMCO -1,700,000.00 FEDERAL HOME LN BK CONS DISC 18-Feb-2000 l,699,738.39 313384TF6 MAT 02118/2000 INCOME AT MAT 18-Feb-2000 -1,699, 738.39 MT 18-Feb-2000 0.00 LONG TERM OPER-PIMCO -1,100,000.00 NATIONAL RURAL DISC 24-Feb-2000 1,086,844.00 63743CBQ5 02/24/2000 24-Feb-2000 -1,086,844.00 MT 24-Feb-2000 0.00 LONG TERM OPER-PIMCO -3,500,000.00 NATIONAL RURAL DISC 25-Feb-2000 3,486,048.61 63743CBR3 02/25/2000 25-Feb-2000 -3,486,048.61 MT 25-Feb-2000 0.00 LIQUID OPER-PIMCO -2,000,000.00 FEDERAL HOME LN BK CONS DISC 25-Feb-2000 1,997,493.33 313384TN9 MAT 02/25/2000 25-Feb-2000 -1,997,493.33 MT 25-Feb-2000 0.00 ....... \.far-"'""" ··-'¥orkL----'- OCSGOOO 10000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE -3, 700,000.00 313384TRO MT -1,300,000.00 313396TS2 MT -3,800,000.00 313384TS8 MT FIXED INCOME SECURITIES INTEREST -9,000,000.00 718154882 MT 0.00 996087094 IT 900,000.00 59018JBI I IT 07-Mar-2000 8:57:19 ~IC========RA=====c=·===r==IY111111111~'T====)N====r=R===========!J PORTFOLIO DETAIL Ol-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MA T02/28/2000 LIQUID OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 02/29/2000 LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/29/2000 LONG TERM OPER-PIMCO PHILIP MORRIS COS NT 9.250% 02/15/2000 LONG TERM OPER-PIMCO 8SDT-LATE MONEY DEPOSIT ACCT LONG TERM OPER-PIMCO MERRILL LYNCH CO DISC 02/01/2000 TRADE DATE/ SETTLDATE/ COMPLDATE 28-Feb-2000 28-Feb-2000 28-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 I 5-Feb-2000 15-Feb-2000 15-Feb-2000 Ol-Feb-2000 Ol-Feb-2000 Ol-Feb-2000 Ol-Feb-2000 OI-Feb-2000 01-Feb-2000 AMOUNT/ COST/ GAIN/LOSS 3,696,428.89 -3,696,428.89 0.00 1,294,667.11 -1,294,667.1 I 0.00 3,799,403.61 -3, 799,403.61 0.00 9,000,000.00 -9,903, 780.00 -903,780.00 0.40 0.00 0.00 553.00 0.00 0.00 Executive Workbench OCSG000/0000 OCSD-CONSOL/DATED SHARES/PAR SECURITY ID TRANSCODE 3, 700,000.00 313384SP5 IT 9,500,000.00 313396SP9 IT 1,000,000.00 44181KZT4 IT 0.00 996085247 IT 0.00 996085247 IT 503,000.00 313396SQ7 IT 1,200,000.00 12478IB70 IT ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/02/2000 LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 02/02/2000 LONG TERM OPER-PIMCO HOUSEHOLD FIN MTN SR #00570 FLTGRT08/0l/2001 DD09/04/ LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO FEDERAL HOME LN MTG CORP DIS 02/03/2000 LONG TERM OPER-PIMCO CBA (DELAWARE) DISC 02/07/2000 TRADE DATE/ SETTLDATE/ COMPLDATE 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 03-Feb-2000 Ol-Feb-2000 03-Feb-2000 03-Feb-2000 0 l-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 07-Feb-2000 07-Feb-2000 07-Feb-2000 PAGE: 43 AMOUNT/ COST/ GAIN/LOSS 2,805.83 0.00 0.00 40,860.56 0.00 0.00 16,240.56 0.00 0.00 7,323.77 0.00 0.00 1,239.38 0.00 0.00 1,569.44 0.00 0.00 4,974.67 0.00 0.00 n~ Mar ...• 1--.-n ---------------; -------------------.11----.----Wo-r.'·_L_.-.. ,-. ~ IC RA :c Tl'. 11 )N f R PORTFO"' DETAIL OCSGOOOJ 0000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOLJDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO 1,200,000.00 FEDERAL FARM CR BK CONS SYST 08-Feb-2000 3,470.67 313312SV3 MAT 02/08/2000 08-Feb-2000 0.00 IT 08-Feb-2000 0.00 LONG TERM OPER-PIMCO 7,700,000.00 IBM DISC 08-Feb-2000 75,845.00 45920DB85 02/08/2000 08-Feb-2000 0.00 IT 08-Feb-2000 0.00 LONG TERM OPER-PIMCO I 0, 700,000.00 GENERAL ELEC CAP DISC 09-Feb-2000 120,256.11 36959HB97 02/09/2000 09-Feb-2000 0.00 IT 09-Feb-2000 0.00 LONG TERM OPER-PIMCO 2,000,000.00 BANKERS TR NY CORP GLOBAL NT 1 l-Feb-2000 31, 161.18 066365DW4 FLTG RT 05/1112003 DD 05/11/ 1 l-Feb-2000 0.00 IT l l-Feb-2000 0.00 LONG TERM OPER-PIMCO 2,000,000.00 FORD MTR CR CO GLOBAL NTS 14-Feb-2000 31,319.17 345397RV7 FL TG RT 02/13/2003 DD 02/13/ 13-Feb-2000 0.00 IT 14-Feb-2000 0.00 LIQUID OPER-PIMCO 900,000.00 GENERAL ELEC CAP DISC 14-Feb-2000 9,363.50 36959HBE6 02/14/2000 l 4-Feb-2000 0.00 IT 14-Feb-2000 0.00 LIQUID OPER-PIMCO 400,000.00 LEHMAN BROS HLDGS MTN TR 002 15-Feb-2000 12,800.00 52517PLM1 6.400% 08/30/2000 DD 0912619 15-Feb-2000 0.00 IT 15-Feb-2000 0.00 07-Mar-2000 8:57:19 Executive Workbench OCSGOOO 10000 OCSD-CONSOLIDATED 07-Mar-2000 SHARES/PAR SECURITY ID TRANSCODE 2,500,000.00 3133TKKU3 IT 9,600,000.00 912810DL9 IT 3,000,000.00 81240QJA1 IT 9,000,000.00 718154882 IT 1,200,000.00 313396TC7 IT 39,873.05 3128DDQ55 IT 38,194.95 3133T02D5 IT r.======·---···· . . .&===============~· .. ,.-,..-======;i ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO FHLMC MULTICLASS CTF 2146 QT 6.000% 11/15/2011 LONG TERM OPER-PIMCO US TREASURY BONDS 12.500% 08/15/2014 DD 08/15/ LONG TERM OPER-PIMCO SEARS ROEBUCK ACCEP CORP MTN 6.630% 07/09/2002 DD 0710W9 LONG TERM OPER-PIMCO PHILIP MORRIS COS NT 9.250% 02/15/2000 LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 02/15/2000 LONG TERM OPER-PIMCO FHLMC GROUP #05-0476 7.000% 02/01/2003 DD 021011 LONG TERM OPER-PIMCO FHLMC MULTICL MTG P/C 1574 E 5.900% 06/ 15/2017 TRADE DATE/ SETTLDATE/ COMPLDATE I 5-Feb-2000 01-Feb-2000 I 5-Feb-2000 15-Feb-2000 t 5-Feb-2000 15-Feb-2000 15-Feb-2000 I 5-Feb-2000 l 5-Feb-2000 15-Feb-2000 15-Feb-2000 I 5-Feb-2000 l 5-Feb-2000 15-Feb-2000 l 5-Feb-2000 I 5-Feb-2000 01-Feb-2000 15-Feb-2000 , 15-Feb-2000 01-Feb-2000 15-Feb-2000 PAGE: 45 AMOUNT/ COST/ GAIN/LOSS 12,500.00 0.00 0.00 600,000.00 0.00 0.00 99,450.00 0.00 0.00 416,250.00 0.00 0.00 1,501.33 0.00 0.00 52,140.72 0.00 0.00 2,619.49 0.00 0.00 &.Workbench OCSGOOO 10000 OCSD-CONSOLJDATED SHARES/PAR SECURITY ID TRANSCODE 52,522.00 3133TCE95 IT 22.50 3133TCE95 IT 16,231.80 3935052Y7 IT 11,932.80 3133Tl7A4 IT 7,822.09 31677EAA4 IT 14,000,000.00 98412CBG3 IT 3, 700,000.00 313384TDI IT 07-Mar-2000 8:57:19 r --~-_ C4 rv >N ____ 'Rl • PORTFOLIO DETAIL Ol-FEB-2000 -29-FEB-2000 TRADE DATE/ TRANSACTION DESCRIPTION/ SETTLDATE/ BROKER COMPLDATE LONG TERM OPER-PIMCO FHLMC MULTI CLASS CTF E3 A 15-Feb-2000 6.324% 08/15/2032 0 l-Jan-2000 l 5-Feb-2000 LONG TERM OPER-PIMCO FHLMC MULTI CLASS CTF E3 A l 5-Feb-2000 6.324% 08/15/2032 Ol-Jan-2000 15-F eb-2000 LONG TERM OPER-PIMCO GREEN TREE CORP 99-D CL A-1 l 5-Feb-2000 6.290% 10/15/2013 DD 08/26/9 15-Feb-2000 15-Feb-2000 LONG TERM OPER-PIMCO FHLMC MULTICLASS CTF SER 162 l 5-Feb-2000 6.000% 1I/I5/2023 DD 1110119 Ol-Feb-2000 15-Feb-2000 LONG TERM OPER-PIMCO FIFTH THIRD BK AUTO TR 96A C 15-Feb-2000 6.200% 09/01/2001DD03/15/9 l 5-Feb-2000 l 5-Feb-2000 LONG TERM OPER-PIMCO XEROX CORP DISC 16-Feb-2000 02/16/2000 l 6-Feb-2000 l 6-Feb-2000 LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC 16-Feb-2000 MAT 02/16/2000 16-Feb-2000 16-Feb-2000 .. AMOUNT/ COST/ GAIN/LOSS 15,952.33 0.00 0.00 22.50 0.00 0.00 2,208.89 0.00 0.00 11,932.80 0.00 0.00 312.31 0.00 0.00 46,141.67 0.00 0.00 8,154.61 0.00 0.00 Executive Workbench OCSGOOO I 0000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE 3,500,000.00 17120QE80 IT 600,000.00 00181RBH3 IT 3, 700,000.00 313384TE9 IT 3,950,000.00 370425QV5 IT l,000,000.00 3134A3RT5 IT 900,000.00 02225ABJO IT 1,700,000.00 313384TF6 IT 07-Mar-2000 B ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO CHRYSLER FINL LLC MTN #TR006 FL TG RT 08/08/2002 DD 04/08/ LONG TERM OPER-PIMCO ANZ DELAWARE INC DISC 02/17/2000 LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/ 17 /2000 LONG TERM OPER-PIMCO GENERAL MTRS ACCEP CORP NTS FLTG RT 08/18/2003 DD 08/17/ LIQUID OPER-PIMCO FEDERAL HOME LN MTG CORP DEB FLTG RT 05/18/2000 DD 05/18/ LIQUID OPER-PIMCO ALUMINUM CO AMER DISC 02/18/2000 LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/18/2000 INCOME AT MAT TRADE DATE/ SETTLDATE/ COMPLDATE 16-Feb-2000 15-Feb-2000 16-Feb-2000 17-Feb-2000 I 7-Feb-2000 I 7-Feb-2000 17-Feb-2000 I 7-Feb-2000 17-Feb-2000 18-Feb-2000 18-Feb-2000 l 8-Feb-2000 18-Feb-2000 18-Feb-2000 18-Feb-2000 18-Feb-2000 18-Feb-2000 18-Feb-2000 l 8-Feb-2000 18-Feb-2000 18-Feb-2000 PAGE: 47 AMOUNT/ COST/ GAIN/LOSS 16,176.79 0.00 0.00 2,272.00 0.00 0.00 562.19 0.00 0.00 62,286.76 0.00 0.00 4,820.07 0.00 0.00 2,610.00 0.00 0.00 261.61 0.00 0.00 Ex.Workbench OCSGOOOJ 0000 OCSD-CONSOLJDATED SHARES/PAR SECURITY ID TRANSCODE 2,000,000.00 3837H3C70 IT 32,928.60 36225CAZ9 IT 34,299.89 36225CC20 IT 1,100,000.00 63743CBQ5 IT 2,000,000.00 3133TDPV2 IT 3,500,000.00 63743CBR3 IT 2,000,000.00 313384TN9 IT 07-Mar-2000 8:57: 19 ~'r==========tA=====C=(===r=Y=-imiF'T=.===)=N====·ru==========~ PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRADE DATE/ TRANSACTION DESCRIPTION/ SETTLDATE/ BROKER COMPLDATE LONG TERM OPER-PIMCO GNMA GTD REMIC TR 2000-2 PA 22-Feb-2000 7.000% 12/20/2022 Ol-Feb-2000 22-Feb-2000 LONG TERM OPER-PIMCO GNMA II POOL #0080023 22-Feb-2000 6.125% 12/20/2026 DD 12/01/ Ol-Feb-2000 22-Feb-2000 LONG TERM OPER-PIMCO GNMA II POOL #080088M 22-Feb-2000 VAR RT 06/20/2027 DD 06/01/9 01-Feb-2000 22-Feb-2000 LONG TERM OPER-PIMCO NATIONAL RURAL DISC 24-Feb-2000 02/24/2000 24-Feb-2000 24-Feb-2000 LONG TERM OPER-PIMCO FHLMC MULTICLASS CTF Tl I A6 25-Feb-2000 6.500% 09/25/2018 25-Jan-2000 25-Feb-2000 LONG TERM OPER-PIMCO NATIONAL RURAL DISC 25-Feb-2000 02/25/2000 25-Feb-2000 25-Feb-2000 LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC 25-Feb-2000 MAT 02/25/2000 25-Feb-2000 25-Feb-2000 & AMOUNT/ COST/ GAIN/LOSS 11,666.67 0.00 0.00 9,200.63 0.00 0.00 10,850.41 0.00 0.00 13,156.00 0.00 0.00 10,833.33 0.00 0.00 13,951.39 0.00 0.00 2,506.67 0.00 0.00 Executive Workbench OCSGOOO I 0000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE 7,934.60 31371HU48 IT 2,000,000.00 345397SC8 IT 3,700,000.00 313384TRO IT 5,000,000.00 9128272L5 IT 1,300,000.00 313396TS2 IT 0.00 9128275W8 CD 0.00 9128272M3 CD 07-Mar-2000 • ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO FNMA POOL #0252703 6.500% 0910112006 DD 08/01/ LONG TERM OPER-PIMCO FORD MTR CR CO TERM ENHANCED FLTG RT 08/27/2006 DD 08/27/ LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MA T02/28/2000 LONG TERM OPER-PIMCO US TREASURY NOTES 06.250% 02/28/2002 DD 02/28/ LIQUID OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 02/29/2000 LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX 4.250%001115/2010 DD 01115/ LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX 3.375% 01115/2007 DD 01115/ TRADE DATE/ SETTLDATE/ COMPLDATE 25-Feb-2000 0 l-Feb-2000 25-Feb-2000 28-Feb-2000 27-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 29-Feb-2000 28-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 29-Feb-2000 PAGE: 49 AMOUNT/ COST/ GAIN/LOSS 5,327.74 0.00 0.00 31,376.04 0.00 0.00 3,571.11 0.00 0.00 156,250.00 0.00 0.00 5,332.89 0.00 0.00 20.00 0.00 0.00 200.00 0.00 0.00 fu'rWorkbench ~ RA :c TY rn )N f R ., ,_ PORTFOLIO DETAIL OCSGOOO I 0000 01-FEB-2000-29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO 0.00 US TREASURY INFLATION INDEX 29-Feb-2000 140.00 9128273A8 3.625% 07/15/2002 DD 07/15/ 0.00 CD 29-Feb-2000 0.00 07-Mar-2000 8:57: 19 Executive Workbench • FAHR COMMITTEE Meeting Date 05/10/00 AGENDA REPORT Item Number FAHR00-36 Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Steve Kozak, Financial Manager SUBJECT: QUARTERLY INVESTMENT MANAGEMENT PROGRAM REPORT FOR THE PERIOD JANUARY 1, 2000 THROUGH MARCH 31, 2000 GENERAL MANAGER'S RECOMMENDATION Receive and file the Quarterly Investment Management Program Report for the period January 1, 2000 through March 31, 2000. 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 liquidity and anticipated revenues are available for the District to meet budgeted expenditures 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 D This item has been budgeted. D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. cgj Not applicable (information item) To Bel. 05/24/00 Item Number 15(d) H:lwp.dtalagenda\Board Agenda Reports\2000 Board Agenda Reports\0500\ltem 15(d).doc Revised: 1 /5/98 Page 1 ADDITIONAL INFORMATION Performance Reports The Quarterly Strategy Review, prepared by PIMCO, and the Investment Measurement Quarterly Review, prepared by Callan Associates, are attached for reference. Also attached are four comparative bar charts which depict the sector diversification and credit quality of the District's portfolios, as of December 31, 1999 and March 31, 2000. The Liquid Operating Monies portfolio, with an average maturity of 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 performance summary of the District's portfolios as compared to their benchmarks for the period January 1 through March 31, 2000. Portfolio Performance Summary Quarter Ended March 31, 2000 Liquid Operating Monies Long-Term Operating Monies(%) (%) I ! Total Rate Total Rate of ! of Return Benchmark<'> Return Benchmark<'> 3 Months 1.5 1.4 1.6 1.3 6 Months 2.9 2.6 2.3 1.7 9 Months 4.3 3.8 3.5 2.8 12 Months 5.5 5.0 3.5 3.1 Since inception 30 Sept. 95 5.5 5.1 6.1 5.8 Market Value per PIMCO 31 Mar. 00 $19.9M $351.6M Average Quality "AA+" "AAA" Current Yield (%) 6.2 6.2 Estimated Yield to Maturity (%) 6.5 6.9 Quarterly Deposits (Withdrawals) $63.5M Estimated Annual Income $1.1M $21.8M (1) Benchmarks: Liquid Operating Portfolio: 3-Month Treasury Bill Index • Long-Term Operating Portfolio: Merrill Lynch Corp/Govt 1-5 Year Bond Index Market Recap Interest rates diverged at both the short and long ends of the Treasury yield curve, as the Federal Reserve boosted interest rates twice during the quarter to prevent the economy from overheating. At their February 2 meeting, the Federal Reserve raised the fed funds rate by 25 basis points, from 5.50% to 5.75%. The Fed announced another 25 basis point increase to 6.00% at their March 21 meeting, and suggested future rate hikes because " ... increases in demand will continue to exceed the growth in potential H:lwp.dtalagenda\Board Agenda Reports\2000 Board Agenda Reports\0500\ltem 15(d).doc Revised: 115/98 Page 2 I • supply, which could foster inflationary imbalances that would undermine the record economic expansion." Short-term interest rates rose as much as 57 basis points for the 3-month Treasury Bill (from 5.30% to 5.87%), fueled largely by the belief of investors that the Fed would again raise interest rates. On the other hand, long-term rates fell as investors grew concerned that the Federal government's debt buyback program would create a scarcity of long-dated Treasuries. As depicted in the attached comparative graph of the Historical Yield Curve, the yield on the 30-year Treasury benchmark fell 64 basis points, closing the first quarter at 5.84% when compared to the end of the fourth quarter 1999 at 6.47%. Yields on 10-year Treasury bonds ended the quarter at 6.00%, a decline of 40 basis points from the end of the fourth quarter (6.40%). For the Long-Term Operating Monies portfolio, PIMCO maintained a slightly below index weighted maturity or duration (2.2 vs. 2.3 years), emphasizing holdings in mortgage-backed securities, investment grade corporate notes, and real return bonds. The performance of the portfolio outperformed its benchmark by 36 basis points for the first quarter 2000 (1.63% vs. 1.27%). For the Liquid Operating Monies portfolio, PIMCO continued to use an "at index" duration (approximately 73 days vs. 90 days), emphasizing investment grade corporate securities and high-quality commercial paper. This added returns to the portfolio, which outperformed its benchmark by 35 basis points for the first quarter (1.54% vs. 1.19%). Market Outlook Forecasts from PIMCO report that U.S. economic expansion will slow as higher interest rates curb growth in the housing market and investment spending. PIMCO expects the Fed to tighten the federal funds rate with at least two more 25 basis point rate hikes this year amid concern that rapid growth could outstrip the economy's capacity and fuel inflation. The PIMCO investment strategy targets portfolio duration near the benchmarks to take advantage of higher yields provided by longer maturity securities, while limiting overall interest rate risk. PIMCO indicates that they will continue to hold short maturity corporate and U.S. government agency debt issues; concentrate on high quality commercial paper for liquidity; and emphasize asset-backed securities and mortgages, especially GNMA's which are backed by the "full faith and credit" of the U.S. government, to capture higher relative yields. The attached letter from PIMCO provides a more detailed description of first- quarter market conditions, portfolio returns, future market outlook, and their recommended investment strategy for the District's Liquid and Long-Term Operating Monies portfolios. H:\wp.dtalagenda\Board Agenda Reports\2000 Board Agenda Reports\0500\ltem 15(d).doc Revised: 1/5/98 Page 3 Portfolio Market Values On February 24, 2000, the District received approximately $63.5 million from the Orange County Investment Pool bankruptcy settlement distributions. With settlement of the Orange County bankruptcy claims, the District has recovered 94% of the amount the District had on deposit with the Orange County Investment Pool at the time of the County's bankruptcy. The funds were deposited in the District's Long-Term portfolio for investment. Comparative marked-to-market quarter-end portfolio values are shown in the table below, and in the attached bar chart. ALTERNATIVES NIA CEQA FINDINGS N/A ATTACHMENTS 1. PIMCO Report 2. Callan Report Quarter Ending 31 March 99 30 June 99 30 Sept. 99 31 Dec. 99 31 March 00 Liquid Operating Monies ($M) 18.8 19.0 19.3 19.6 19.9 3. Quarter End Portfolio Market Value Bar Chart 4. Four Comparative Bar Charts 5. Historical Yield Curve Graph 6. PIMCO Letter dated April 27, 2000 SVK:lc H:lwp.dta\agenda\Board Agenda Reports\2000 Board Agenda Reports\0500\ltem 15(d).doc Revised: 115/98 Long-Term Operating Monies ($M) 305.8 305.9 271.1 282.9 351.6 Page4 • Prepared by Finance, 05/01/2000, 1 :23 PM $400,000,000 $350,000,000 $300,000,000 $250,000,000 $200,000,000 $150,000,000 $100,000,000 $50,000,000 $0 OCSD Investment Management Program Quarter End Portfolio Values (Marked-to-Market) 31 Mar 99 30 Jun 99 30 Sep 99 31 Dec 99 31 Mar 00 ID Liquid Operating Monies [fl Long-Term Operating Monies I G:\excel.dta\fin\2220\geggt\Finance\lnvestmgmtprogram Prepared by Finance, 05/01/2000, 1 :30 PM OCSD Liquid Operating Monies Portfolio Investment Diversification 100100 0 0 0 0 0 0 0 0 Mtg Corp Non US$ Other Net Cash Equivalent G:\excel.dta\fin\2220\geggi\Finance\Portfolio short term • D 12/31/99 ~ 3/31/00 • Prepared by Finance, 05/01/2000, 1 :31 PM OCSD Long-Term Operating Monies Portfolio Investment Diversification 100~~~~~~~~~~~~~~~~ 90---~~~~~~~~~~~~~~-; ao---~~~~~~~~~~~~~~--; .-. 70-t--~~~~~~~~~~~~~~~-; ~ ~ 60 -+-~~~~~~~~~~~~~~~~~~~~----! +J c Q) (.) L.. Q) 0.. 50-+-~~~~~~~~~~~~~~~ 40 39 40---t-r-~~~~~~~~~~~~~~~---l 30 20 10 11 9 0 0 0 0 04--L-~--.-_i.__~-r-1-~..__,_~~~~~~~~ Govt Mtg Corp Non US$ Other Net Cash Equivalent G:\excel.dta\fin\2220\geggl\Finance\Portfolio long term graph D 12/31/99 ~ 3/31/00 Prepared by Finance, 05/01/2000, 1 :36 PM . G:\excel.dta\fin\2220\geggi\Finance\Portfolio short term Prepared by Finance, 05/01/2000, 1 :37 PM • OCSD Long-Term Operating Monies Portfolio Investment Credit Quality 100 90 80 70 ...-.... ~ 60 D 12/31/99 0 ..._.. +J rzl 3/31/00 c 50 Q) () '-40 Q) a.. 30 19 20 20 10 0 A1/P1 AAA AA A G:\excel.dta\fln\2220\geggl\Flnance\Portfollo long term graph Prepared by Finance, 05/01/2000, 1 :12 PM jHISTORICAL YIELD CURVE' 7.00 6.75 6.50 6.25 6.00 -5.75 ~ ~ c -' 5.50 UJ >= 5.25 5.00 4.75 4.50 4.25 4.00 0 0 E E ... ... .. ... ... ... ... ... ... >a >. >a >. >. >. >. >. >. . .,.. N M ~ .,, """ 0 0 0 M CD .,.. N M -+-30-Sep-99 -lr-31-Dec-99 -31-Mar-OO I G:\excel. m\2220\geggi\Finance\HistoricalTREASURYyieldcurve • • April 27, 2000 Mr. Steve Kozak Finance Manager Orange County Sanitation District P.O. Box 8127 Fountain Valley, CA 92728-8127 Re: 1st Quarter 2000 Report Dear Steve: PIM C 0 PACIFIC INVESTMENT MANAGEMENT COMPANY 840 Newport Center Drive Suite 300 Newport Beach, CA 92660 Tel: 949.720.6000 Fax: 949.720.1376 What follows is a description of events in the bond markets during the 1st Quarter 2000 and an analysis of the strategies undertaken in the Orange County Sanitation District's Long-Term and Liquid portfolios over the period. I have also included a .section on strategies to be pursued in your portfolio during the coming months . Bond Market Recap: U.S. Yield Curve Inverts Amid Government Debt Buyback The short and long ends of the Treasury market diverged during the first quarter. Short-term Treasury yields rose as much as 57 basis points in anticipation of more tightening by the Federal Reserve. The 30-year yield fell 64 basis points, closing the quarter at 5.84 percent, as investors grew concerned that the government's debt buyback would create a scarcity of long- term Treasuries. Yields on mortgages and corporate bonds did not fall in line with Treasuries, which caused yield premiums on non-Treasury bonds to widen. The market correctly anticipated the Fed's intentions, as the central bank raised the federal funds' rate twice in 25 basis point increments during the quarter. The Fed suggested that more rate hikes are in the offering because "increases in demand will continue to exceed the growth in potential supply, which could foster inflationary imbalances that would undermine the record economic expansion." Those imbalances include the record U.S. trade deficit, high corporate and individual debt levels and tight labor markets. Strong equity and housing markets also represent a potential threat because they create a wealth effect that fuels consumer demand. Still, actual inflation remained relatively subdued during the quarter. While effects of increased energy prices showed up in higher headline consumer price inflation, the core rate outside of energy and food costs was little changed. Mr. Steve Kozak Orange County Sanitation District ECB Tightens to Check Inflation; Japan Remains Sluggish April 27, 2000 Page Two The European Central Bank also tightened twice in the first quarter. Faster economic growth in the 11-nation euro zone pushed inflation above the ECB's two percent limit in several countries, prompting the rate hikes. ECB tightening was also designed to bolster the euro, which weakened in recent months amid capital outflows to the U.S. Japan moved in the opposite direction from Europe and the U.S. The government announced a 1.4 percent contraction in fourth quarter GDP, the second consecutive quarterly decline, as consumer confidence remained weak despite substantial fiscal stimulus. Yield Curve Shift, Credit Concerns Benefit Treasuries Treasuries generally outperformed during the first quarter. Falling 10-and 30-year Treasury yields and concern about credit deterioration in the midst of Fed tightening lured investors away from other bond market sectors. The following summarizes relative sector performance: • Mortgages lagged Treasuries as higher interest rate volatility and concern about government agency credit quality caused yield premiums to widen. • Corporate bonds fared even worse than mortgages, especially the non-investment grade sector. Supply pressures were a negative early in the quarter, coupled with concern about rising corporate debt levels associated with share repurchases and heightened LBO activity. • By contrast, emerging market bonds, led by lower-quality credits in Russia and Ecuador, continued to outperform Treasuries. Stronger global growth and higher commodity prices also supported upper-tier credits such as Mexico, whose credit rating was raised to investment grade. • Currency-hedged European and Japanese bonds also underperformed, unable to keep pace with the Treasury rally despite lower levels of economic growth than the U.S. Performance Attribution: Long Term Portfolio The Long-Tenn portfolio that PIMCO manages on behalf of Orange County Sanitation District turned in a 1.63 percent return over the quarter, outperforming the Merrill Lynch 1-5 year Government Corporate Index by 36 basis points. This portfolio's performance was due in part to the following factors: • Our below-index duration positively impacted returns as short-term interest rates rose. • A broader-than-index maturity structure was modestly positive as short maturity rates rose most. • PACIFIC INVESTMENT MANAGEMENT COMPAN' • Mr. Steve Kozak Orange County Sanitation District Performance Attribution: (Continued) April 27, 2000 Page Three • A mortgage emphasis added to returns slightly as our concentration in GNMA's benefited from investor demand for government guaranteed securities. • Investment-grade corporates were neutral as relatively high yields offset the impact of widening credit spreads. • Asset-backed securities helped returns because yield premiums continued to narrow as issuance declined. • Real return bonds outperformed like-duration Treasuries, adding to performance, as real yields fell. Liquid Portfolio The Liquid portfolio that PIMCO manages on behalf of Orange County Sanitation District turned in a 1.54 percent return over the quarter, outperforming the 3 month Treasury Bill Index by 35 basis points. This portfolio's performance was due in part to the following factors: • Our index-like portfolio duration was neutral. • Investment-grade corporates added to returns as higher yields more than offset the impact of widening spreads. • High quality commercial paper added to returns due to their yield advantage over Treasuries. Economic Outlook: U.S. and European Economic Growth To Converge U.S. expansion will decelerate as higher interest rates curb growth in the housing market and investment spending. European growth will pick up and approach that of the U.S. due to a relatively accommodative monetary policy and a weak euro. Japan's economy will remain weak as a highly stimulative fiscal policy shows few signs of sparking sustainable growth. The following points elaborate our outlook: • U.S. mortgage rates well above 8 percent will discourage new home sales and slow consumer spending through reductions in durable goods' purchases that typically accompany home purchases. PACIFIC INVESTMENT MANAGEMENT COMPANY Mr. Steve Kozak Orange County Sanitation District Economic Outlook: (Continued) April 27, 2000 Page Four • U.S. investment spending growth has already started to turn down as a percentage of total GDP growth and will continue to moderate as higher rates raise the cost of capital investment. • Monetary policy in the U.S. will be restrictive, with at least two more 25 basis point rate hikes this year, amid concern that rapid growth could outstrip the economy's capacity and fuel inflation. • Interest rates in the U.S. will remain relcitively stable, with some upward pressure given the direction of Fed policy. • In Europe, consumer confidence should continue to rise and enhance growth prospects now that average unemployment has fallen into single digits and is nearing a seven-year low. • Japan's growing debt burden and deteriorating credit fundamentals threaten to push interest rates higher and limit any resurgence in the economy. European Inflation Will Continue to Lag That of U.S. U.S. inflation will remain above last year's relatively low levels following recent increases in commoq~ty and import prices, but will moderate later this year after the ~pact of higher oil prices has bfafr{r~alized. European inflation will increase but remain below that of the U.S. because Europe's expansion is at an earlier stage and its unused capacity is greater, especially in the labor market. Financial Imbalances Make Portfolio Quality Critical Japan is not the only country where mounting debt poses risks. The U.S. is also vulnerable to higher interest rates and/or declining asset prices because of financial imbalances. Non-U.S. investors may eventually require higher rates to finance the record U.S. current account deficit. Current high levels of consumer and corporate debt will be hard to sustain if the assets backing the debt (stocks, for example) fall in value. A voiding adverse price performance arising from credit deterioration will be critical for earning superior returns in this environment. Longer maturity Treasuries, which will benefit from U.S. budget surpluses and debt buybacks, are one alternative. Mortgages are another because they offer attractive yields relative to Treasuries with little or no credit risk. GNMA mortgages, for example, are backed by the "full faith and credit" of the U.S. government. Corporate and emerging market bonds are most vulnerable to declines in credit quality, though their attractive yields may compensate for f PACIFIC INVESTMENT MANAGEMENT COMPAN1 • Mr. Steve Kozak Orange County Sanitation District April 27, 2000 Page Five A voiding adverse price performance arising from credit deterioration will be critical for earning superior returns in this environment. (Continued) the added risk. Among developed non-U.S. markets, European and Japanese government bonds are likely to lag Treasuries as European growth converges with the U.S. and concerns about Japan's credit standing increase. Strategy: The following lists highlight the strategies that will be used in the Long Term portfolio in the coming months: • While continuing to emphasize yield, position portfolios for an overall "flight to quality" in the bond market. • Target duration near the benchmark to take advantage of higher yields on longer- maturity securities without increasing interest rate risk. • Maintain a broader-than-index maturity structure in order to capture value across the yield curve. • Emphasize mortgages to earn attractive yields, especially GNMA's, which should be~efit from investors' search for "full faith and credit" government securities. • Concentrate investment-grade corporate holdings on shorter-maturity bonds that are less vulnerable to widening yield premiums. • Continue to favor adjustable-rate mortgages as higher yielding, short-term holdings. • Hold high quality asset-backed securities with a focus on home equity and other higher yielding market segments. The following lists highlights the strategies that will be used in the Liquid portfolio in the coming months: • Target duration near the index to capture yield while limiting overall interest rate sensitivity. • Continue to hold select short-duration corporate issues to take advantage of high yields given minimal added risk. • Emphasize high quality commercial paper and shorter-term agency debt issues due to strong liquidity, attractive yields and limited credit risk. PACIFIC INVESTMENT MANAGEMENT COMPANY Mr. Steve Kozak Orange County Sanitation District April 27, 2000 Page Six Steve, we hope this information proves useful. We look forward to discussing these and other issues with you in the near future. Sincerely, Rita J. Seymour Vice President RJS/JAF:ci ~A.f~ Joseph A. Fournier Account Manager • PACIFIC INVESTMENT MANAGEMENT COMPANY INVESTMENT MANAGEMENT PROGRAM Orange County Sanitation District STRATEGY REVIEW FOR THE PERIOD IANUARY 1, 2000 -MARCH 31; 2000 FINANCE, ADMINISTRATION & HUMAN RESOURCES COMMITTEE MAY 10, 2000 IMO N1·wpnrl C:P11ln Dti\'l• 'l·l<l-7 211-1,(l()() AGENDA PIMCO UPDATE II BOND MARKET l<EVIEW Ill CURRENT OUTI OOK I STRATEGY PACIFIC I NVES rl\U:N r l'vl..\ N...\C[l\I F NT c 01\ II'·\ l'J) • ' MARKET RALLY UNIQUE TO LONG TREASURY BONDS SHORT-TERM RATES ROSE AS FED RESPONDED TO INFLATIONARY PRESSURES LONG-TERM RATES FELL AS TREASURY BUYBACK PROGRAM DROVE SUPPLY AND DEMAND TECHNICALS TREASURY YIELD CURVE FLATTENED BY 89 BPS UOMESTICALLY, HIGHER QUALITY OUTPERFORMED -------- ~-----------------------------------. . . . .. T~fA.'i URY YIHD A10\/fMfNTS 1.5 7.0 h.5 ::o 6.U g:: ~ 5.5 ;;:: 5.0 4.5 •1.0 JO-l'r. T-llo11d ,.../· ·· .. _,,-----~,....,.,. ... __ .,,,,,.. 1-Yr. /-Rill J.5 -··--·---------~-------·-------------·-···------. 21} ''/'J 1<) ''J'J 225 175 ~ 125 8 "' 75 OD c: ~ 25 u -25 -75 [---] IJJQ '00 ~__!_~~? ___ R6 57 28 J_ -.i;;;:/ ___ _[= 25 ___ c-:-::-:. 170 IHO ·I 25 -----·--·---------------·---. ·------·---·------------.. --··--··-···· .... ------.... . l Mos. I Yr. 2 Yrs. 5 Yrs. { .. . . SECTOR INDEX RETURNS 111 '()(I 17') [~1 ~·· I p1; ii . ·· 1 ... f X .. 12 .f,.I 10 Yb. : : ,___I;--;-;-(-~-.;;-(~ ...... ·1.--.. -------------- ~ I() -~J 1_9'J'! J c: ~ 1.3 ] : . L:_: l:fr2~1--. i:'·:~ _[~l::..i ----I I": bL:::i. -5 ::;if·;;· ----... ..,. ........ --10 lreasurit~s . Morlr,or,1•5. fixed R~le .).0 lllY<'!>f. (;r;icfr: Corp. I. F _: ___ .::i -1.·I 1111 '"'I'· L .!. 1. r; I . [~-~-I I l1·dJ!''d r~1111 11.~. s 1-1.0 1. I lipf''"' lif•f 11111• •. t-11.r.• • Crea1.,d l.>y l'IMCO lo characlerize the highN qua lily porlio11 of lhe e11w1gi~1g ""-!'ki'I sFeclor. lndl!x is wf!igh1,.d ;is ff>ll••w': A1gi,,1ri11:i, ll1:i1il. < ·1rilr-. 1 · .. 1, •r11l>i.r, !';mama, l'ern, Tunisia e~r:h S%; Bulgaria 10%; l'hilippi111!S and Poland 12~S%; ~)exic:u and K1Jlf!a 1 '>%. ", ~' S<.>lJRC[: II' l\lorga11, I eh111an llros., Bloo111IH'rg lin.1ncial Mark!!IS 1 t ./'.> ..... . 5.flr;. ,/ .~ PAClrlC INVESTf\IENT MAN,\CEl\trNT CCJl\11'.'\NY STRATEGY RECAP -FIRST QUARTER LONG-TERM OPERATING FUND ·( Period Ended March 31, 2000 ~-------------~ DURATION ... BELOW INDEX ~ .. ' .. MATURITY MIX ... BROADER-THAN-INDEX GREATER-THAN-INDEX EXPOSURE TO: • Corporate sector SECTOR I ISSUE ... • Agency securities • Mortgage sector • ·I ./.. . ., llELATiVE. IMPACT ~-:-:~·-.. FIRST QUARTER ... ··. 2000 •·. POSITIVE POSITIVE POSITIVE '----------·------· ~ . ~ l'ACIFI(' INVESTf\IFNT M,\NACEl\IFN I COl\ll'MH • STRATEGY RECAP -FIRST QUARTER LIQUID OPERATING FUND Period Ended March 31, 2000 'I .. : : __ ;_. .:::. :.:··· :··. . . .......... . DURATION ... AT INDEX MATURITY MIX ... SLIGHTLY BROADER-THAN-INDEX ·----·- GREATER-THAN-INDf:X EXPOSlJRE TO SECTOR/ ISSUE ... AGENCY DISCOUNT NOTES A,f"D COMMERCIAL PAPER • f ] • ll ELA Tl\'E 1,\1 PA Ci. .. ..... . ... . . . . . . ·•• FIRST QUARTER . 20()0 NEUTRAL ... SLIGHT POSITIVE POSITIVE PACll'IC INVESTMENT MANAGEl\IENT COMPANY REVIEW OF PEHfORMANCE Through March 31, 2000 • Long-Term Operaling Fund J/J 1/00 Market Value $151,554,104 + Liquid Operaling Fund 3131100 Market Value $19,fHJG,186 Orange County Sanitation District (l-T) (%) Merrill 1 -5 Year Gov'!. / Corp. Index ('Y,,) Orange County Sanitation Oislricl (Liq-op) (%) 3 Monlh T-13ill ('X,) • A11n11aliL1·d. , .. Since' lnf=eption 9/30/95 6.1 5.7 , . ... Since* Inception 3 Yrs.* 2 Yrs! 6.4 5.1 5.9 4.7 9130195 3 Yrs.• 2 Yrs.• 5.5 5.5 5.5 ;: ~t.1 5.0 4.9 '·( ;(;, l Yr. 9Mos. 3 Mo. 1 Mo. 3.5 3.5 1.6 1.0 J .1 2.8 1.3 0.8 1 Yr. 9 Mos. 3 Mo. 1 Mo. 5.5 4.3 1.5 0.5 5.0 J.8 1.3 0.5 CURRENT OUTLOOK , ......... · INTEREST RATE MATURITY MIX SECTOR ·: . ... . -. . --· -. . -. -... ··. / /. JCQNOMIC (Juiio()I< .····· .. • U.S. GROWTH TO SLOW -Higher interest rates -Consumer and investment spending to slow • INFLATION NEAR CYCLICAL PEAK • MARKET TECHNICALS CONTINUE TO INFLUENCE LONG RATES:! ... -.·· .··· ·:.:·. -... : · ... . ·· stilAfrcfr .· NEAR INDEX BROADER-Tl !AN-INDEX .~ " EMPHASIZE MORTGAGES, ESPECIALLY GNMA'S ] CONCENTRATE Cd~PORATE HOLDINGS ON SHORTER MATURITIES ' FAVOR ADJUSTABLE RATE MORTGAGES HOLD HIGH QUALITY ASSET-BACKEDS 5 , PACIFIC INVESTMENT MANAGEJ\·IENT COMPANY I APPENDIX "G" I • INTRODUCTION APPENDIX "G" SECTIONS OF THE CALIFORNIA GOVERNMENT CODE PERTINENT TO INVESTING PUBLIC FUNDS 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 53600et seq. 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 exclusive 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 exclusive 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. 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 Treasurer's 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 conclusion 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 distribution. 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 chairman 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, shall 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. lmpoundment 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 inyestments 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, 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. 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, 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. 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 intermediate 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 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 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 Article 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 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 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. U) 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. (k) (1) Shares of beneficial interest issued by diversified management companies that invest in the securities and obligations as authorized by subdivisions (a) to U), 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 U), 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 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 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. (m) 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 "AA" 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 includes, 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, 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 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 article in inverse floaters, range notes, or mortgage derived interest-only strips. (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 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 securities 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 article 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 to the treasurer of the local agency; the treasurer shall not be responsible for securities delivered to and 7 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. 53630. As used in this article: GOVERNMENT CODE SECTION 53630-53686 (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 8 • 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. 53630.5. (a) The definitions in Section 1700 of, and Chapter 1 (commencing with Section 99) of Division 1 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 1 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 article 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 strips 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 Act 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 otherwise 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. 9 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 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 10 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 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, 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 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 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, 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 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 11 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. U) 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. (k) (1) Shares of beneficial interest issued by diversified management companies that invest in the securities and obligations as authorized by subdivisions (a) to U), inclusive, or subdivision (I) or (m) and that comply with the investment restrictions of this article 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 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 U), 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 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 ). (1) 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. 12 (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 issuer's debt as provided by a nationally recognized rating service and rated in a rating category of "AA" 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 firm 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 shall 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 official 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, an·d 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 chief 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 (f), this report shall include 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 information 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 quarterly. (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 information required by paragraph (1) of subdivision (b) regarding investments in these institutions. (f) The treasurer or chief fiscal officer shall not be required to render a quarterly report, as required by subdivision (b), to a legislative body or any oversight committee of a school district or county office of education for securities, investments, or moneys held by the school district 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 quarterly 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 article, 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 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. (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 authorized 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 authority for agent of depository to place securities for safekeeping in accordance with Section 53659. (f) 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 article 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, including 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 principal 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. (f) 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), Article 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. 0) 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 district 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 1 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 am9rtization. (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 close 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 class. 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 described 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 include all of the following terms: (1) The administrator shall be the 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) If the 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 applicant 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 undivided 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 act 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, and53667. (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 class 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 part 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 (i) the administrator determines that a security listed in Section 53651 is not qualified to secure public deposits, or {ii) a treasurer, who has deposits secured by the securities pool, provides written notice to the administrator and the administrator confirms 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, shall 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 right 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 article and regulations and orders issued under this article. U) In the discretion of the administrator, whenever it appears to the administrator that any person has violated or is violating, or that there_js 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 Section 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 collect 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 Sections 53649 and 53656, and may by order revoke the authorization of the agent of depository as provided in subdivision (i). 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 article. Such report shall be as of close 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 fact. 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 (iii) 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 will 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 bears 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 53669. The treasurer or other authorized official is.not responsible for money while it is deposited pursuant to this article. 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 association, 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 accoroance 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 all 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 treasurer's 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. (f) Specify who may deposit moneys into the treasurer's 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, determines 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 shall, 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. (f) 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 limitation 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 controller, 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, 2000 H:\wp.dta\fin\21 O\crane\INVEST. PL Y\GovtCode.doc 27 I APPENDIX "H" I 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 1/100 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 CDs 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. 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 Page 2of11 •• 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 3of11 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 4of11 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 local governments and special districts authorized under Sections 16429.1, 2, and 3, of the California Government Code (the "Code"). 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 (NAV). MARKET VALUE. The price at which a security can be traded (i.e., purchased or sold). MASTER REPURCHASE AGREEMENT (TBMA). 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 (NAV). 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 6of11 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. PRINCIPAL. The face value or par value of an investment. Page 7of11 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. 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. Page 8of11 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. 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 (TVA). Page 9of11 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 notes 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. YIELD. The annual rate of return on a debt investment computed as though held to maturity expressed in%. ZERO-COUPON BONDSIU.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 10 of 11 I '' ' ' " ... ; ~ ~· " ... ·~ • " . ; .. Orange County Sanitation District ( 714) 962-2411 mailing address=. P. 0. Box 8127 Fountain Valley, California 92728-8127 street address: 10844 Ellis Avenue Fountain Valley, California 92708-7018 OCSD 07/19/00 I I.;