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HomeMy WebLinkAbout2000-03-08Draft MINUTES OF FINANCE. ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District Wednesday, March 8, 2000, 5:00 p.m. A meeting of the Finance, Administration and Human Resources Committee of the Orange County Sanitation District was held on March 8, 2000 at 5:00 p.m., in the District's Administrative Office. (1) FILED The roll was called and a quorum declared present, as follows: 114 Ti-\E or.nr,F. o;. n~r.: SECRETARY FAHR COMMITTEE MEMBERS: Directors Present: Thomas R. Saltarelli, Chair Mark Leyes, Vice Chair Shawn Boyd Shirley McCracken James W . Silva Jan Debay, Board Chair Peer Swan, Board Vice Chair OTHERS PRESENT: Tom Nixon, General Counsel Don Hughes Jeff Bower Rita Seymor Joe Fournier (2) APPOINTMENT OF CHAIR PRO TEM No appointment was necessary (3) PUBLIC COMMENTS There were no public comments. Directors Absent: John M. Gullixson Mark A. Murphy STAFF PRESENT: ORANGE ~.;1l1.·,1 y l.<.,>ii-f1\'tiON DISTRICT MAR 2 2 2000 ()(. Don Mcintyre, General Manager Blake Anderson, Assistant General Manager Lisa Tomko, Acting Director of Human Resources Gary Streed, Director of Finance Steve Kozak, Financial Manager Mike White, Controller Greg Mathews, Assistant to the General Manager Penny Kyle, Committee Secretary Bob Geggie Ryal Wheeler (4) RECEIVE, FILE AND APPROVE MINUTES OF PREVIOUS MEETING It was moved, seconded and duly carried to approve the minutes of the February 9, 2000 Finance, Administration and Human Resources Committee meeting. (5) REPORT OF THE COMMITTEE CHAIR The Committee Chair had no report. Minutes of the Finance, Administration and Human Resources Committee Meeting Page2 March 8, 2000 (6) REPORT OF THE GENERAL MANAGER The General Manager reported that the budget_ process was underway. There are some outstanding issues with budget assumptions regarding staffing. Blake Anderson will be talking to the Steering Committee about these at its next meeting. Mr. Anderson's proposal will be to develop comprehensive staffing plans in conjunction with an operations plan that will go to the Board later this year. (7) REPORT OF ASSISTANT GENERAL MANAGER Blake Anderson discussed an article that appeared in The Register last week regarding the groundwater replenishment system. He reported that reporter Gary Robbins has spent much time with staff trying to understand the complex issues connected with the GWR system. He further reported no telephone calls were received as a result of the article. Mr. Robbins will be doing a series of articles on the various water issues in the near future. The Assistant General Manager also discussed the upcoming GWR Board Workshop to be held on March 251h from 8:00 a.m. to 11:00 a.m. Alternate Directors from our Board, Directors of the Orange County Water District , and the Rate Advisory Committee and Planning Advisory Committee members were being invited to attend this workshop. (8) REPORT OF DIRECTOR OF FINANCE Gary Streed introduced Jeff Bower of PaineWebber, and Rita Seymor and Joe Fournier of PIMCO, to the Directors. Mr. Streed also reported that the bankruptcy proceeds were distributed a several weeks ago. Four checks were received from three different financial institutions, only one of which is the same bank the District utilizes. However, the most significant amount of the money received was drawn on a bank that could only be deposited in Boston. A special account was opened on Thursday and the money was sent overnight and had it invested by Friday. Because of that strategy, the District was able to earn an extra $30,900 of interest by moving quickly. (9) REPORT OF DIRECTOR OF HUMAN RESOURCES The Acting Director of Human Resources had no report. (10) REPORT OF DIRECTOR OF COMMUNICATIONS The Director of Communications was not present. (11) REPORT OF GENERAL COUNSEL Tom Nixon reported on the South Coast Metro matter and advised that counsel was waiting to receive a legal description of the easement which is being prepared by Bush and Associates. It is anticipated that the matter will be resolved shortly after it is received. Mr. Nixon then advised that a hearing date has been scheduled for June 8 pertaining to the CEQA aspect of the litigation regarding the Kem County ordinance on biosolids. A cross-complaint had just been received which challenges several of the District's CEQA determinations with regard to biosolids Minutes of the Finance, Administration and Human Resources Committee Meeting Page 3 March 8, 2000 matters such as The Tule Ranch and Yakima Company. Counsel is presently evaluating the cross- complaint, and will apprise the Board in closed session of that evaluation when it is complete. (12) CONSENT CALENDAR ITEMS (Items a-d) a, FAHR00-18: Receive and file Treasurer's Report for the month of February 2000. The Treasurer's Report was handed out at the FAHR Committee meeting in accordance with the Board-approved Investment Policy, and in conformance with the Government Code requirement to have monthly reports reviewed within 30 days of month end. b. FAHR00-19: Receive and file Certificate of Participation (COP) Monthly Report. c. FAHR00-20: Receive and file Employment Status Report as of February 10, 2000, d. FAHR00-21 : Item deleted by staff Motion: END OF CONSENT CALENDAR Moved, seconded and duly carried to approve the recommended actions for items specified as 12(a) through (c) under Consent Calendar. (13) ACTION ITEMS (Items a-c) a. FAHR00-22: Receive and file the Quarterly Investment Management Program Report for the period October 1, 1999 through December 31 , 1999. A verbal report was given by Rita Seymor and Joe Fournier of PIMCO regarding the District's current investment policy, strategy and economic outlook. Motion: Moved, seconded and duly carried to approve staffs recommendation. b, FAHR00-23: Authorize staff to issue a purchase order contract to appoint Moreland & Associates as the District's independent auditors for fiscal year 1999- 00 for an amount not to exceed $42,600, with an option of auditing fiscal years 2000-01 and 2001-02 upon staff approval, and an option of auditing fiscal years 2002-03 and 2003-04 upon Board approval. Mike White gave a brief overview of the evaluation of proposals and selection of recommended independent auditors, Moreland & Associates. Motion: Moved, seconded and duly carried to approve staffs recommendation. c. FAHR00-24: Consolidation of Revenue Area Financial Plans and Rates, except Revenue Areas 7 and 14. Gary Streed gave a brief history of the District's rate structure prior to consolidation and explained why staff was now proposing consolidation of the Minutes of the Finance, Administration and Human Resources Committee Meeting Page4 March 8, 2000 different revenue areas. Directors commended Gary on an excellent presentation. and requested the same presentation be given to the entire Board as infonnation only. Motion: Moved, seconded and duly carried to provide the Board of Directors with the same presentation as infonnation only in order to detennine if additional Information is needed in order to approve a recommendation. (14) INFORMATION PRESENTATIONS a. FAHR00-25: Update on COP Restructuring and existing COP Structure Steve Kozak, Financial Manager, gave a brief report on the District's existing certificates of participation and the plan to update the structure to reflect consolidation. (15) OTHER BUSINESS, COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS. IF ANY There were none. (18) MATTERS WHICH A DIRECTOR MAY WISH TO PLACE ON A FUTURE AGENDA FOR ACTION AND STAFF REPORT There were none (17) CONSIDERATION OF UPCOMING MEETINGS The next FAHR Committee meeting is scheduled for April 12, 2000 at 5 p.m. (18) CLOSED SESSION There was no closed session. (19) ADJOURNMENT The Chair declared the meeting adjourned at approximately 7:20 p.m. H:\wp.dla\agenda\FAHRIFAHR2000\2000 Mlnutes'lJ30800 FAHR MIN.doc STATE OF CALIFORNIA) ) SS. COUNTY OF ORANGE ) Pursuant to California Government Code Section 54954.2, I hereby certify that the Notice and the Agenda for the Finance, Administration, and Human Resources Committee meeting to be held on 1~ £ , 200;2_, was duly posted for public inspection in the main lobby of the District's offices on ~ :'.$ 20012. IN WITNESS WHEREOF, I have hereunto set my hand this ~ day of _'-1'-"-/;:....._U<.eA _____ , ~· 200 ~. Penny M. Kyl Secreta Board of Directors Orange County Sanitation District \\RADON\DAT A 1 \WP .OT A \ADMIN\BS\FORMS\AGENDA CERTIFICA TION·FAHR COMMITIEE.DOC March 1, 2000 DISTRIBUTION FAHR COMMITTEE MEETING PACKAGE Full Aaenda Package Committee & Mailing List Donald F. Mcintyre Blake P. Anderson• Dan Dillon Marc Dubois Jeff Esber Steve Kozak Penny Kyle David Ludwin Greg Mathews Patrick Miles• Bob Ooten Lisa Tomko• Gary Streed Michelle Tuchman• Robert Ghirelli Mike White• Cagle, Brad Bob Geggie Patricia Jonk Lenora Crane Extras Notices and Agenda Onlv 40 13 1 1 1 1 1 1 2 1 1 1 1 1 1 1 1 1 1 1 1 1 5 (for meeting hand-out, if necessary) 7 Posting 1 Jean Tappan 1 Gall Caln 1 Rose Marsella 1 Frankie Woodside 1 Patricia Magnante 1 Janet Gray 1 Security 1 Ron Zenk, Dist. 14 Treasurer=S Report Only c \\RADON\DATA1\WP.DTA\ADMINIBS\FAHR\DISTRIBUTIONLISTFAHR.DOC phone: (714) 962-2411 mailing address: P.O. Box 8127 Fountain Valley, CA 92728-8127 street address: 10844 Ellis Avenue Fountain Valley, CA 92708-7018 Member Agencies Cities Anaheim Brea Buena Park Cypress Fountain Valley Fullerton Garden Grove Huntington Beach Irvine La Habra La Palma Los Alamitos Newport Beach Orange Placentia Santa Ana Seal Besch Stanton Tustin Villa Park Yorba Unds County of Orange S anitary Districts Costa Mesa Midway City Water Dist ricts Irvine Ranch ORANGE COUNTY S ANITATION DISTRICT March 1, 2000 NOTICE OF MEETING FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITIEE ORANGE COUNTY SANITATION DISTRICT WEDNESDAY, MARCH 8, 2000 -5:00 P .M. DISTRICT'S ADMINISTRATIVE OFFICES 10844 ELLIS AVENUE FOUNTAIN VALLEY, CALIFORNIA 92708 A regular meeting of the Finance, Administration and Human Resources Committee of the Board of Directors of the Orange County Sanitation District, will be held at the above location, date and time. "To Protect the Public Health and the Environment through Excellence 1n Wastewater Systems" FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING DATES FAHR Committee Meeting Dates March 8, 2000 April 12, 2000 May 10, 2000 June 14, 2000 July 12, 2000 No Meeting Scheduled September 13, 2000 October 11 , 2000 November 8, 2000 December 13, 2000 No Meeting Scheduled February 14, 2001 March 14, 2001 Board Meeting Oates March 22, 2000 April 26, 2000 May 24, 2000 June 28, 2000 July 19, 2000 August23,2000 September 27, 2000 October 25, 2000 November 15, 2000 December 20, 2000 January 24, 2001 February 28, 2001 March 28, 2001 ROLL CALL FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE Meeting Date: March 8, 2000 Time: 5:00 p.m. Adjourn: ----- COMMITTEE MEMBERS THOMAS R. SALTARELLI (Chair) ................................................ . MARK LEYES (Vice Chair) ........................................................... . SHAWN BOYD .............................................................................. . JOHN M. GULLIXSON .................................................................. . SHIRLEY MC CRACKEN ............................................................. .. MARK A. MURPHY ....................................................................... . JAMES W. SILVA .......................................................................... . JAN DEBAY (Board Chair) .......................................................... .. PEER SWAN (Board Vice Chair) ................................................. .. OTHERS TOM WOODRUFF, General Counsel .............................................. . TOBY WEISSERT, Carollo Engineers ............................................. __ STAFF DON MCINTYRE, General Manager ............................................... . BLAKE ANDERSON, Assistant General Manager ........................ .. DAVID LUDW1N, Director of Engineering ..................................... .. BOB OOTEN, Director of Operation• & Maintenance ................... .. LISA TOMKO, Acting Director of Human Reaources .................... . GARY STREED, Director of Finance .............................................. . MICHELLE TUCHMAN, Director of Communications ................... .. PATRICK MILES, Director of Information Technology .................. . ROBERT GHIRELLI, Director of Technical Services ..................... . STEVE KOZAK, Financial Manager ............................................... . MIKE WHITE, Controller ................................................................ .. GREG MATHEWS, Aaaiatant to the General Manager ................... . DAWN MCKINLEY, Sr. Human Resources Analyst ....................... . PENNY KYLE, Committee Secretary .............................................. . c: Lenora Crane March 1 f 2000 1§7~~,: --· ·l?f~~i!!~~~m,~--:~~.:~~7:;g~~z~ ~-----'"·• ··"-'>t1'-1•:-~Jt., :3, ~~~ .-:,.,.., -~ ..... ,...,. . --~ . .,, . __ ;_,· ;T~-rn-itk"<:._R; ,n~ ... : ~ ::: :-. ~ i.-.'" ~.. *'" ·, li ,.. :,,. ' -}: -~~ i:Q;--P£:;.-1,k «~',<~~ ~vs;~,:} ?~-· ; ........ ""'-·~ ····-_., __ ,.,,..,..,,._,,,_,., ____ ,._._, __ -------~-~.:m~~r·""-~~ 1)1$·~ •t 1'-.,: "' ~ >P"" , ' ~1 ~· ' , ,,.,.~ •W;.1•v.,.' '"> ,,,,, }?: J'i..~ ,~ ... ~;,.,. . _, ;:_;;:~"" :_.~,':-~·:>;.~-~":', • "'"' '.·!. "· ·-~~-"'·,.:L~i-®lji>~~%;:( . • . .J.r•~-'. April 2000-01 CIP Budget Status Report Information April 200()..01 Operating Budget Status Report Information April Select Liquidity Provider and Trustee for COPs Action April Preliminary Official Statement and Documents for COP Action Restructuring April Update of Human Resources Policies & Procedures Action April Meeting, Training and Travel Policy Revisions Action May 2000-01 User Fees, Connection Fees, Annexation Fees Action May 200()..01 Source Control Permit User Fees Action May Approve Final COP Restructuring Documents Action May 2000-01 Proposed Budget Review Information May General Manager Approved Purchase Report Action June Approve COP Restructuring Sale Action June 2000-01 Proposed Budget Approval Action July Update Human Resources Policies & Procedures Action July Annual Investment Policy Approval Action AGENDA REGULAR MEETING OF THE FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE ORANGE COUNTY SANITATION DISTRICT WEDNESDAY, MARCH 8, 2000, AT 5:00 P.M. ADMINISTRATIVE OFFICE 10844 Ellis Avenue Fountain Valley, California 92708 In accordance with the requirements of California Government COde Section 54954.2, this agenda has been posted in the main lobby of the District's Administrative Offices not less than 72 hours prior to the meeting date and time above. All written materials relating to each agenda item are available for public inspection in the Office of the Board Secretary. In the event any matter not listed on this agenda is proposed to be submitted to the Committee for discussion and/or action, it will be done in compliance with Section 54954.2(b) as an emergency item or that there is a need to take immediate action which need came to the attention of the Committee subsequent to the posting of the agenda, or as set forth on a supplemental agenda posted in the manner as above, not less than 72 hours prior to the meeting date. (1) ROLL CALL (2) APPOINTMENT OF CHAIR PRO TEM. IF NECESSARY (3) PUBLIC COMMENTS All persons wishing to address the Finance, Administration and Human Resources Committee on specific agenda items or matters of general interest should do so at this time. As determined by the Chair, speakers may be deferred until the specific item is taken for discussion and remarks may be limited to five minutes. Matters of interest addressed by a member of the public and not listed on this agenda cannot have action taken by the Committee except as authorized by Section 54954.2(b). March 8, 2000 (4) APPROVE MINUTES OF PREVIOUS MEETING Approve minutes of the February 9, 2000, Finance, Administration and Human Resources Committee meeting. (5) REPORT OF COMMITIEE CHAIR (6) REPORT OF GENERAL MANAGER (7) REPORT OF ASSISTANT GENERAL MANAGER (8) REPORT OF DIRECTOR OF FINANCE (9) REPORT OF DIRECTOR OF HUMAN RESOURCES (10) REPORT OF DIRECTOR OF COMMUNICATIONS (11) REPORT OF GENERAL COUNSEL (12) CONSENT CALENDAR ITEMS {a-d) Consideration of motion to approve all agenda items appearing on the Consent Calendar not specifically removed from same, as follows: 'IAll matters placed on the consent calendar are .. considered as not requiring discussion or further explanation and unless any particular item is requested to be removed from the consent calendar by a Director, staff member or member of the public in attendance, there will be no separate discussion of these items. All items on the consent !calendar will be enacted by one action approving all motions, and casting a unanimous ballot for resolutions !included on the consent calendar. All items removed from the consent calendar shall be considered in the regular iorder of business. Members of the public who wish to remove an item from the consent calendar shall, upon recognition by the chair, state their name, address and designate by number the item to be removed from the consent calendar. The Chair will detennine if any items are to be deleted from the consent calendar. a. FAHR00-18: Receive and file Treasurer's Report for the month of February 2000. The Treasurer's Report will be distributed at the FAHR Committee meeting in accordance with the Board-approved lnv~stment Policy, and in conformance to the Government Code requirement to have monthly reports reviewed within 30 days of month end. 2 March 8, 2000 b. FAHR00-19: Receive and file Certificate of Participation (COP) Monthly Report. c. FAHR00-20: Receive and file Employment Status Report as of February 10, 2000. d. FAHR00-21: Item deleted by staff. END OF CONSENT CALENDAR Consideration of items deleted from Consent Calendar, if any. (13) ACTION ITEMS (a-c) a. FAHR00-22: b. FAHR00-23: c. FAHR00-24: 1) Receive and file Quarterfy Investment Management Program Report for the period October 1, 1999 through December 31, 1999; and 2) Verbal report by PIMCO regarding investment policy, strategy and economic outlook. (Steve Kozak and Rita Seymor -15 minutes) Authorize staff to issue a purchase order contract to appoint Moreland & Associates as the District's independent auditors for fiscal year 1999-00 for an amount not to exceed $42,600, with an option of auditing fiscal years 2000-01and2001-02 upon staff approval, and an option of auditing fiscal years 2002-03 and 2003-04 upon Board approval. (Mike White-10 minutes) Consolidation of Revenue Area Financial Plans and Rates, except Revenue Areas 7 and 14 (Gary Streed -30 minutes) (14) INFORMATIONAL PRESENTATIONS a. FAHR00-25: Update on COP Restructuring and existing COP Structure (Steve Kozak-15 minutes) (15) OTHER BUSINESS. COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS. IF ANY (16) MATTERS WHICH A DIRECTOR MAY WISH TO PLACE ON A FUTURE AGENDA FOR ACTION AND STAFF REPORT (17) FUTURE MEETING OATES 3 March 8, 2000 The next Finance, Administration and Human Resources Committee Meeting is scheduled for April12, 2000, at 5 p.m. (18) CLOSED SESSION During the course of conducting the business set forth on this agenda as a regular meeting of the Committee, the Chair may convene the Committee in closed session to consider matters of pending real estate negotiations, pending or potential litigation, or personnel matters, pursuant to Government Code Sections 54956.8, 54956.9, 54957 or 54957.6, as noted. Reports relating to (a) purchase and sale of real property; (b) matters of pending or potential litigation; (c) . employee actions or negotiations with employee representatives; or which are exempt from public disclosure under !the California Public Records Act, may be reviewed by the Committee during a permitted closed session and are not available for public inspection. At. such time as final actions are taken by the Committee on any of these sub"ects, the minutes will reftect all re uired disclosures of information. A. Convene in closed session. B. Reconvene in regular session. C. Consideration of action, if any, on matters considered in closed session. (19) ADJOURNMENT I Notice To Committee Members: I For any questions on the agenda or to place any items on the agenda, Committee members should contact the Committee Chair or Secretary ten days in advance of the Committee meeting. Committee Chair: Committee Secretary: Thomas Saltarelli Penny Kyle (949) 83~9200 {714) 59~7130 4 MINUTES OF FINANCE. ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District Wednesday, February 9, 2000, 5:00 p.m. A meeting of the Finance, Administration and Human Resources Committee of the Orange County Sanitation District was held on February 9, 2000 at 5:00 p.m., in the District's Administrative Office. (1) The roll was called and a quorum declared present, as follows: FAHR COMMITTEE MEMBERS: Directors Present: Thomas R. Saltarelli, Chair Marte Leyes, Vice Chair Shawn Boyd John M. Gullixson Shirtey McCracken James W. Silva Jan Debay, Board Chair Peer Swan, Board Vice Chair OTHERS PRESENT: Tom Woodruff, General Counsel Don Hughes Dan Cassidy (2) APPOINTMENT OF CHAIR PRO TEM Directors Absent: Mark A. Murphy STAFF PRESENT: Don Mcintyre, General Manager Blake Anderson, Assistant General Manager Lisa Tomko, Acting Director of Human Resources Gary Streed, Director of Finance Michelle Tuchman, Director of Communications Steve Kozak, Financial Manager Mike White, Controller Greg Mathews, Assistant to the General Manager Penny Kyle, Committee Secretary Because of a delay in the arrival of Director Saltarelli, Chair of the FAHR Committee, and Director Leyes, Vice Chair of the FAHR Committee, Board Chair Jan Debay was appointed Chair Pro Tem. (3) PUBLIC COMMENTS MOVED, SECONDED AND DULY CARRIED: Defer public comments to follow Closed Session Item No. 18(a}(3). (4) RECEIVE, FILE AND APPROVE MINUTES OF PREVIOUS MEETING It was moved, seconded and duly carried to approve the minutes of the January 12, 2000 Finance, Administration and Human Resources Committee meeting. (5) REPORT OF THE COMMITTEE CHAIR The Committee Chair had no report. Minutes of the Finance, Administration and Human Resources Committee Meeting Page2 February 9, 2000 (6) REPORT OF THE GENERAL MANAGER The General Manager advised the Directors that a tentative date had been scheduled for March 18th for a workshop to discuss urban runoff issues. Director Swan advised that a dedication of the Eastside Reservoir would take place on the same date, so staff was directed to reschedule the workshop. Mr. Mcintyre also reported that a committee of national experts representing .a variety of disciplines would be meeting on February 28, 29 and March 1 to discuss the Huntington Beach closure last summer. (7) REPORT OF ASSISTANT GENERAL MANAGER The Assistant General Manager had no report. (8) REPORT OF DIRECTOR OF FINANCE The Director of Finance reported that the District will receive $88,000 for its portion of ERAF dollars. It was also reported that Steve Kozak, Financial Manager has received certification as one of California's Certified Municipal Treasurer (CCMn. Currently, there are only 76 CCMTs active in the state of California. (9) REPORT OF DIRECTOR OF HUMAN RESOURCES The Acting Director of Human Resources had no report. (10) REPORT OF DIRECTOR OF COMMUNICATIONS Michelle Tuchman advised the Directors they would be receiving an invitation to the three-day wori<shop of national experts from various disciplines to discuss issues regarding last summer's closure of Huntington Beach because of high bacteria counts. The wori<shop would be held February 28 to March 1, 2000. It was also reported that an advisory committee was being established regarding odor control issues. (11) REPORT OF GENERAL COUNSEL General Counsel had no report. (12) CONSENT CALENDAR ITEMS (Items a-e) a. FAHR00-08: Receive and file Treasurer's Report for the month of January 2000. The Treasurer's Report was handed out at the FAHR Committee meeting in accordance with the Board-approved Investment Policy, and in conformance with the Government Code requirement to have monthly reports reviewed within 30 days of month end. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 3 February 9, 2000 b. FAHR00-09: Receive and file Certificate of Participation (COP) Monthly Report. c. FAHR00-10: Receive and file Employment Status Report as of January 31, 2000. d. FAHR00-11: Receive and file report of General Manager approved purchases in amounts exceeding $50,000 in accordance with Board purchasing policies. e. FAHR00-12: Update regarding review of the Sewer Service Fee Program. Motion: END OF CONSENT CALENDAR Moved, seconded and duly carried to approve the recommended actions for items specified as 12(a) through (e) under Consent Calendar. Chair Saltarelli arrived and thanked Director Debay for guiding the meeting in his absence. Motion: Moved, seconded and duly carried to go out of order and into Closed Session, as authorized by Government Code Section 54957.6, to discuss and consider the item that is specified as Item 18{a)(3) on the published Agenda. (18) CLOSED SESSION (Item a(3)) The Committee convened in closed session at 5:20 p.m. Confidential Minutes of the Closed Session held by the Finance, Administration and Human Resources Committee have been prepared in accordance with California Government Code Section 54957 .2, and are maintained by the Board Secretary in the Official Book of Confidential Minutes of Board and Committee Closed Meetings. No reportable action was taken re Agenda Item No. 18(a)(3). At 5:40 p.m., the Committee reconvened in regular session. PUBLIC COMMENTS Ellen Ray, a District employee, spoke to the Directors of her concern with the respective proposals and issues the District and the IUOE Local 501 are currently negotiating. Mark Mutz, a District employee, also spoke to the Directors of his concern regarding the respective proposals and issues being negotiated by the District and the IUOE Local 501 . (13) ACTION ITEMS (Items a-c) a. FAHR00-13: Receive and file the Mid-Year Financial and Operational Report for the period ending December 31, 1999. Motion: Moved, seconded and duly carried to approve staffs recommendation. Minutes of the Finance, Administration and Human Resources Committee Meeting Page4 February 9, 2000 b. FAHR00-14: Adopt a financial plan to consolidate bookkeeping and rate-setting practices as follows: 1. Combine the assets and liabilities for the separate Revenue Area Nos. 1, 2, 3, 5, 6, 11 and 13 into one consolidated Revenue Area; and, 2. Adopt one financial plan for the consolidated Revenue Areas; and, 3. Adopt one user fee rate for the consolidated Revenue Area Nos. 1, 2, 3, 5, 6, 11 and 13; and, 4. Continue to fund Revenue Area 7 through adopted sewer service user fees; and, 5. Continue to fund Revenue Area 14 by contract with the Irvine Ranch Water District. Mr. Streed gave a brief overview of the proposed consolidation of the rate structure. A lengthy discussion took place regarding the pros and cons of consolidating rates. Motion: Moved, seconded and duly carried to defer this item and request staff to set up a date to conduct a workshop to discuss consolidating rates. (14) INFORMATION PRESENTATIONS a. FAHR00-16: Status Report, Restructuring of the District's Existing Certificates of Participation Steve Kozak, Financial Manager, gave a brief report on the District's existing certificates of participation. b. FAHR00-17: Long Term Benefits of Y2K Planning and Preparation Blake Anderson, Assistant General Manager, gave a brief report on the District's Y2K program. (15) OTHER BUSINESS, COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS. IF ANY There were none. (16) MATTERS WHICH A DIRECTOR MAY WISH TO PLACE ON A FUTURE AGENDA FOR ACTION AND STAFF REPORT Director Gullixson requested an information update about Pimco's investment strategies for the District's portfolios. " Minutes of the Finance, Administration and Human Resources Committee Meeting Pages February 9, 2000 (17) CONSIDERATION OF UPCOMING MEETINGS The next FAHR Committee meeting is scheduled for March 8, 2000 at 5 p.m. (18) CLOSED SESSION The Chair reported to the Committee the need for a Closed Session, as authorized by Government Code Sections 54956.8 and 54956.9, to discuss and consider the items that are specified as Item Nos. 18(a}(1), (2) and (3) on the published Agenda. The Committee convened in closed session at 7:02 p.m. Confidential Minutes of the Closed Session held by the Finance, Administration and Human Resources Committee have been prepared in accordance with California Government Code Section 54957 .2, and are maintained by the Board Secretary in the Official Book of Confidential Minutes of Board and Committee Closed Meetings. No reportable actions were taken re Agenda Item Nos. 18(a}(1), (2) and (3). At 7:30 p.m., the Committee reconvened in regular session. (19) ADJOURNMENT The Chair declared the meeting adjourned at approximately 7:30 p.m. Submitted by: r2&i:F PennyM. K FAHRCom \lredon'data1'Wp.dt11\agend11'FAHR'FAHR2000\2000 Mfnutes\020900 FAHR MIN.doc -\ I =-r FAHR COMMITTEE Meeting Date To Bd. of Dir. 03/08/00 N/A AGENDA REPORT Item Number Item Number Fll~D·/'I Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Steve Kozak, Financial Manager SUBJECT: CERTIFICATES OF PARTICIPATION (COP) MONTHLY REPORT - FEBRUARY 2000 GENERAL MANAGER'S RECOMMENDATION Receive and file Certificates of Participation (COP) Monthly Report for the month of February 2000. SUMMARY Since June 1995, the daily rate COP program remarketing agents have been PaineWebber for the Series "A" and the 1993 Refunding eOPs, and J.P. Morgan for the Series "C" COPs. Most fixed rate Series 11 8" COPs have been refunded and the 1992 Refunding COPs have always been remarketed by PaineWebber in a weekly mode. 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. IZI Not applicable (information item) ADDITIONAL INFORMATION For the month of February 2000, graphical and tabular reports are attached. The first graph entitled, "OCSD COP Rate History Report," shows the variable interest rates on each of the daily rate COPs since the last report, and the effective fixed rate for the two refunding issues which are covered by an interest rate exchange agreement commonly called a "swap." H:\wp.dta\lin\210\crane\FAHR\Fahr2000\Mar\COPR2-00.doc Revised: 8120198 Page 1 The second bar chart entitled, "Comparative Daily COP Rate History Report," shows the performance of the District's Daily Rate COPs as compared to a composite index rate, which represents the average rate of six similar variable rate daily reset borrowings. The third bar chart entitled, "COP Rate History, Comparison of Highest & Lowest Rates," compares the performance (monthly average interest rate) of the District's Daily Rate COPs with the highest and lowest monthly average rates from among six similar variable rate daily reset COPs. The table entitled, "COP Rate History, Comparison of Monthly Averages," shows the monthly variable interest rate performance of the District's Daily Rate COPs as compared to the composite index. Estimated annual interest payments calculated for a standard $100 million par amount, are also shown. Variable rates historically rise at the end of each calendar quarter, and especially at year-end, because of business taxes and liquidity requirements. The rates tend to decline to prior levels immediately in the following month. Staff maintains continuous rate monitoring and ongoing dialog with the remarketing agents to keep the Committee fully informed about developments in the program as they may occur. ALTERNATIVES None. CEQA FINDINGS None. ATTACHMENTS 1. Graph -OCSD COP Daily Rate History Report 2. Graph -Comparative Daily COP Rate History Report 3. Graph -COP Rate History, Comparison of Highest & Lowest Rates 4. Tabular -COP Rate History, Comparison of Monthly Averages GGS:SK:lc H:\wp.dla\finl210\crane\FAHR\Fahr2000\Mar\COPR2-00.doc Revised: 8120198 Page2 Prepared by Finance, 02/29/2000, 1 :48 PM COMPARATIVE DAILY COP RATE HISTORY REPORT FEBRUARY, 2000 ii' -~ 3.00 -+-------- ~ 2.00 1.00 0.00 DATE O> O> O> O> en O> O> O> O> O> 0 en O> O> O> O> O> O> O> O> O> 0 ..: ..: ~ c '3 ci ci 1:f > u c «I ~ ::::J ~ Q) 0 Q) "' :E :E ..., ..., en 0 z 0 .., •ocso C COMPOSITE INDEX G:\excel.dte\fin\2220\geggl\Finance\dailycopintrate.xls 0 0 .si Q) u.. 3.50 3.40 3.30 3.20 3.10 3.00 2.90 -2.80 ~ -w t-~ 2.70 2.60 2.50 2.40 2.30 2.20 2.10 2.00 1.90 ~ LOW COP RATE HISTORY COMPARISON OF HIGHEST & LOWEST RATES LEH/SCE PWIOCSOnRWO/WESTRI l!I Highest rate a OCSD/J.P. Morgan LEWSCE LEHllRWO • OCSD/PaineWebber C3 Lowest rate G:\excel.dta\fln\2220'Geggl\Flnance\RATEHIST _HILO _bargraph Prepared by Finance, 02/29/2000, 1 :48 P~ (j) "ti l c i )> "i -t RATE(%) a. ~ m CT :ii '< I 0 -N w ... °' a. ::!! 0 0 0 0 0 0 0 :J I» :J 0 0 0 0 0 0 0 0 J9 03-Mar-99 ~ ID ~ 17-Mar-99 i3 :J _§ ~ 31-Mar-99 -$ 8i ~ "ti m 14-Apr-99 :c: ::r c;; ;--i !S 28-Apr-99 0 12-May-99 0 en 26-May-99 c 09-Jun-99 0 23-Jun-99 0 "'C 07-Jul-99 c ++ ,, )> 21-Jul-99 m- )>~ m• -m 04-Aug-99 :::0 -< Ci>-· :::I CJ)CD c: ~ ~~ 18-Aug-99 D>(D er )> -t i 01-Sep-99 ~m ... 15-Sep-99 .. ::c N - 29-Sep-99 0 en ++ 0 -I 13-0ct-99 0 0 CJ)C... ~ o· (')~ 27-0ct-99 <i>s:: <Do ~ 10-Nov-99 ::0 ~Al m D> ::I 24-Nov-99 -a 08-0ec-99 0 ::0 22-0ec-99 -I 05-Jan-OO 19-Jan-OO 02-Feb-OO 16-Feb-OO \ Prepared by Finance, 02129/2000, 1 :48 PM Mar-99 Apr-99 May-99 Jun-99 Jul-99 Aug-99 Sep-99 Oct-99 Nov-99 Dec-99 Jan-00 Feb-00 AVERAGE DAILY COP RA TE HISTORY COMPARISON OF MONTHLY AVERAGES MARCH, 1999 -FEBRUARY, 2000 ocso $100M $98.5M $46M Series''A" Series"C" Series 93 Ref Paine Webber J.P. Morgan Paine Webber 2.72 2.66 2.72 2.88 2.83 2.88 3.34 3.33 3.34 3.30 3.25 3.30 2.35 2.36 2.35 2.82 2.82 2.82 2.98 2.97 2.98 I 2.99 3.01 2.99 3.36 3.30 3.36 2.93 3.01 2.93 2.51 2.53 2.51 1.95 1.97 1.95 2.68% 2.67% 2.68% ESTIMATED ANNUAL INTEREST PAYMENTS PER $100M PAR AMOUNT $ 2,681,667 $ 2,672,500 $ 2,681,667 •FOOTNOTE Composite Index consists of the following COP transactions: • IRWD, Series 86, $60M, Smith Barney • IRWO, Series 93 "A" Refunding, $87.6M, Bankers Trust • IRWD, Series 93 "B" Refunding, $41.8M, J.P. Morgan • IRWD, Series 95 Refunding, $117.SM, PaineWebber Composite Index• 2.70 2.86 3.34 3.28 2.36 2.83 2.98 3.03 3.38 2.97 2.50 1.99 2.69% $ 2,685,833 • Western Riverside Co. Reg. Wastewater Auth., Series 96, $25.4M, PaineWebber • Orange Co., Irvine Coast Asst. Dist. 88-1, $94.5M, J.P. Morgan • SCE, $192M, Lehman G:\excel.dta\fin\2220\geggi\Finance\COPdaily$rate comparison ' ' I ' FAHR COMMITTEE ' AGENDA REPORT Orange County Sanitation District FROM: Lisa Tomko, Acting Director of Human Resources Originator: Janet Gray, Human Resources Assistant Meeting Date 3/08/00 Item Number FAHR00-20 SUBJECT: EMPLOYMENT STATUS REPORT AS OF FEBRUARY 10, 2000. GENERAL MANAGER'S RECOMMENDATION Receive and file the Employment Status Report. SUMMARY Total FTE headcount at the District as of February 10, 2000 is 498.00. PROJECT/CONTRACT COST SUMMARY Not applicable. BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. rg} Not applicable (information item) ADDITIONAL INFORMATION To Bd. of Dir. 03/22/00 Item Number The District had a full-time equivalent (FTE) headcount of 498.00 as of February 10, 2000. The actual number of employees was 508. There has been 1 promotion during the month of February: • From: To: Collection Facilities Worker I (Collection Facilities Maintenance) Senior Mechanic (Collection Facilities Maintenance) There have been no new employees hired during the month of February. ALTERNATIVES Not applicable. llladon\dala1'twp.dtalagenda\FAHRIFAHR2000\2000 Agenda Reports\FAHRQ0.20.dat Revised: 8/20/98 Page 1 CEQA FINDINGS Not applicable. ATTACHMENTS February 10, 2000 Employment Status Report. Performance compared to 3-Year Staffing Plan. \v.don\data1~.cltll\llgenda\FAHR\FAHR20000000 AQenda Repol1a1FAHR00-20.dot R..i.ed: 8'20t'98 Page2 02/IM!000-2:49 PM Employment Status Report .r R11gul•r Regul•r ActUll/ V•c•nt Budget Pl•n P/•n Po.t/110119 Rogu/ar P•rl·llm• P•rl·l/m11 FTE Poa/l/ona FTE FTE FTE wlln Fin•/ plan Full-I/me 20hours 30hours Contr11ct lnl11rn LOA Count FY99-00 99-00 00-0.1 01·02 tFY01·l>al 11 o · General Management Admln 4.00 o.oo 0.00 0.00 o.oo 0.00 4.00 0.00 4.00 4.00 4.00 0.00 Total General Manaaement 4.00 0.00 -0.0-0 0.00 0.00 0.00 4.00 0.00 4.00 4.00 4.00 0.00 210 ·Finance Administration 4.00 0.00 0.00 o.oo o.oo o.oo 4.00 o.oo 4.00 4.00 4.00 0.00 220 • Accounting 14.00 0.00 0.00 0.00 0.00 0.00 14.00 2.00 16.00 16.00 16.00 2.00 ;?so· Purchasing & Warehousing 14.00 1.50 0.00 0.00 0.00 0.00 15.50 :too 17.50 17.50 17.50 2.00 Toter Finance 32.00 1.50 0.00 0.00 0.00 0.00 33.50 4.00 37.50 37.50 37.50 4.00 31 O -Communications 8.00 0.00 0.00 0.00 0.00 1.00 9.00 0.00 9.00 9.00 9.00 0.00 Total Communications 8.00 0.00 0.00 0.00 0.00 1.00 9.00 0.00 9.00 9.00 9.00 0.00 510 ·HR & Employee Development 10.00 0.50 0.00 0.00 0.00 0.00 10.50 -0.25 10.25 10.25 10.25 ·0.25 Total Human Resources 10.00 0.50 0.00 0.00 0.00 0.00 l0.50 -0.25 10.25 10.25 10.25 -0.25 610 -Technical Services Admin 2.00 0.00 0.00 0.00 0.00 0.00 2.00 0.00 2.00 2.00 2.00, 0.00 620 • Environmental Compllance & Monitoring 17.00 0.00 0.00 0.00 1.00 0.00 18:00 250 20.50 20.50 20.50 2.50 630 • Erwlronmental Laboratory 29,00 2.00 0.00 0.00 0.50 0.00 31.5.0 0;50 32.00 32.00 32.00 0.50 640 • Source Control 33.00 0.00 0.75 0.00 0.00 0.00 33.75 o:oo .33.75 33.75 33.75 0.00 650 • Safely & Emergency Response 7.00 o.oo 0.00 0.00 o.oo 0.00 1:00 0.50 7.50 7.50 7.50 0.50 0.00 Total Technical Services 88.00 2.00 0.75 0.00 t.50 0.00 92.25 3.50 95.75 95.75 95.75 3 .. 50 710 • Engineering Administration 3.00 0.00 0.00 0.00 0.00 o.oo 3.00 0.00 3.00 3.00 3.00 0.00 720 • Planning & Design Engineering 30.00 0.00 0.75 0.00 0.50 0.00 31.25 4,00 35.25 35.25 35.25 4.00 730 • Construction Management 35.00 0.00 0.00 0.00 0.00 1.00 36.00 0.75 36.75 36.75 36.75 0.75 Total Engineerinq 68.00 0.00 0.75 0.00 0.50 1.00 .70.25 4.75 75.00 75.00 75.00 4.75 420 ·Collection Facillties Mice 16.50 0.00 0.00 0.00 0.00 0.00 16.50 1.op 17.50 19.50 19.50 3.00 430 • Plant Maintenance 29.50 0.00 0.00 0.00 0.00 0.00 29.50 0.00 29.50 29.501 28.50 ·1.00 810 • 0 & M Administration 2.00 0.00 0.00 0.00 o.oo o.oo 2.00 1;00 3.00 2.00 2.00 0.00 820 · 0 & M Process Support 9.00 0.00 0.00 0.50 0.50 0.00 10,00 O'.QO 10.00 9.25 9.25 ·0.75 830 · Plant 1 Operations 33.00 0.50 0.00 0.00 o.oo 0.00 33.!iO -0 .. 11 33.33 34.33 34.33 0.83 840 • Plant 2 Operations 39.00 0.00 0.00 0.00 0.00 0.00 39,,00 0.33 39.33 37.33 37.39 ·1.67 850 • Mechanical Mica 45.00 0.00 0.00 MO 0.00 0.00 :45',00 0.50 45.50 45.50 45.50 0.50 860 · Electrical & Instrumentation Mice 55.00 0.00 0.00 0.00 0.00 0.00 ·ss:oo ·a.so 55.50 55.50 .55.50 0.50 870 • Cogeneration 9.00 0.00 0.00 0.00 0.00 0.00 9.00 1.34 10.34 10.34 10.34 1.34 BaO • Air Qualify & Special Projects 9.00 0.00 0.00 o.oo 1.00 0.00 10.00 0.00 10.00 9.50 9.50 -0.50 Total Ooeratlons & Maintenance 247.00 0.50 o.oo o.so 1.50 0.00 24"50 4.50 254.00 252.75 251.75 2.25 910 • IT Admin 2.00 0.00. 0.00 0.00 a.oo 0.00 2.00 o.oo 2.00 2.00 2.00 0.00 930 • Customer & Ne1Work Support 11.00 0.00 0.00 0.00 o.oo 0.00 11.00 4.00 15.00 15.00 15.00 4.00 940 • Programming & Database Sys 7.00 0.00 0.00 0.00 0.00 1.00 8.00 ·1.00 7.00 7.00 7.00 ·1.00 950 • Process Controls Integration 8.00 o.oo 0.00 0.00 0.00 o.oo 8.00 1.00 9.00 9.00 9.00 1.00 Total Information Technoloav 28.00 0.00 0.00 o.oo 0.00 1.00 3.00 4.00 33.00 33.00 33.00 4.00 Total Stafflnci 485.0DI 4.501 1.501 a.sol 3.501 3;00 '198.00 20.50 518.SO 517.25 511>.25 18.25 Offers Outstanding: 2.00 Recruitments pending, but not offered: 7,00 Actual FTE's wiifcujr96ff!cruiimants fiiied: 507:00 g:\O~cel dta\hl\510l>taovu\3·Yur Sllllfjng Pion Performance to 3-Year Staffing Plan 550 540 •• '· 530 ., ·-.,_ -· 520 -. -._ ., ·-----·-·-·-·-·-·-·-·-·-·-·-·-·-·-·-·-·-·-· 510 500 490 480 • FTE Headcount -· • • -3 Year Staffing Plan J A S 0 N D J F M A M J J A S 0 N D J F M A M J I FY 98-99 I FY 99-00 1 ' I FAHR COMMITTEE Meeting Date 03/08/00 AGENDA REPORT Item Number lr##.ea'-ei.i. Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Steve Kozak, Financial Manager SUBJECT: QUARTERLY INVESTMENT MANAGEMENT PROGRAM REPORT FOR THE PERIOD OCTOBER 1, 1999 THROUGH DECEMBER 31 , 1999 GENERAL MANAGER'S RECOMMENDATION Receive and file the Quarterly Investment Management Program Report for the period October 1, 1999 through December 31, 1999. 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 0 This item has been budgeted. D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. t8] Not applicable (information item) \ltadonldata1\wp.dtalfinl210\ctane\FAHR\Fahr2000\Mar\QuarterlylnvMgmtReport03·00.doc Revised: 1/5198 Page 1 To Bd. 03/22/00 Item Number 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 September 30, 1999, and December 31, 1999. 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 October 1 through December 31, 1999. Portfolio Perfonnance Summary Quarter Ended December 31, 1999 Liquid Operating Monies Long-Term Operating Monies(%) (%) Total Rate of Return Benchman«11 Total Rate of Re tum Bendlmark111 3 Months 1.4 1.3 0.6 0.4 6 Months 2.7 2.4 1.8 1.5 9Months 3.9 3.6 1.9 1.8 12 Months 5.1 4.7 2.3 2.2 Since inception 30 Sept. 95 5.5 5.1 6.1 5.8 Market Value per PIMCO 30 Sept. 99 :ti19.6M $282.9M Average Quality "AA+" "AAA" Current Yield(%) 5.53 6.20 Estimated Y1eld to Maturity(%) 6.02 6.63 Quarterly Deposits (Withdrawals) $10.0M Estimated Annual Income $1.1M $17.6M (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 moved higher in the fourth quarter of 1999, capping the worst year in the bond market since 1994, as investors remained concerned that the Federal Reserve wou ld, again, boost interest rates to prevent the economy from overheating. \\radonldala11wp.dlallinl210\cranelFAHR\Fahr2000\M3r\QuartertylnvMgmtReport03-00.doc Revised: 1/5/98 Page 2 The full year of 1999 was a difficult one for fixed income investors, with U.S. interest rates rising as much as 180 basis points for some maturities. At their November 16 meeting, the Federal Reserve raised the Fed funds rate by 25 basis points, from 5.25% to 5.50%, the third such increase during 1999. The Fed left rates unchanged in December due to market uncertainties surrounding Y2K. Rates rose across the entire Treasury yield curve, driven largely by the belief of investors that the Fed would raise interest rates. As depicted in the attached comparative graph of the Historical Yield Curve, the yield on the 30-year Treasury benchmark jumped 43 basis points, closing the fourth quarter at 6.48% when compared to the end of the third quarter 1999 at 6.05%. Yields on 10-year Treasury bonds ended the quarter at 6.40%, a climb of 52 basis points from the end of the third quarter (5.88%). Shorter rates showed similar significant increases. The 3-month Treasury rate increased by 47 basis points (from 4.85% to 5.32%); the 6-month rate jumped a full 78 basis points (from 4.95 % to 5.73%); and the 1-year rate rose 79 basis points (from 5.18% to 5.97%). For the Long-Term Operating Monies portfolio, PIMCO maintained a weighted maturity or duration slightly below the duration index (2.13 vs. 2.32 years), emphasizing holdings in mortgage-backed securities, investment grade corporate notes, and real return bonds. The performance of the portfolio outperformed its benchmark by 23 basis points for the fourth quarter (0.64% vs. 0.41%). For the Liquid Operating Monies portfolio, PIMCO continued to use an "at index" duration (approximately 58 days vs. 90 days), emphasizing high-quality corporate securities and commercial paper. This added returns to the portfolio, which outperformed its benchmark by 12 basis points for the fourth quarter (1 .37% vs. 1.25%). Market Outlook Forecasts from PIMCO report that economic growth will remain solid, but will show modest slowing over the next nine months. Growth is likely to be stronger in the first half of 2000 as widespread Y2K disruptions have not materialized , and strong stock and housing markets will support higher levels of consumer spending. PIMCO expects the Fed will tighten the federal funds rate at least once during the first half of 2000 to cool the economy. Thus, inflation is expected to remain benign over the longer term. The PIMCO investment strategy targets portfolio duration slightly above index to take advantage of higher yields provided by longer maturity securities. PIMCO indicates that they will continue to hold short and intermediate maturity real return bonds; concentrate on higher quality investment-grade corporate holdings; and emphasize adjustable-rate mortgages to capture higher relative yields. \Vadon\data1 \wp.dta\Hnl210\cranelFAHR\Fahr2000\Mal'\QuarteriylnvM9m1Repert03-00.doe Revised: 1/5198 Page3 The attached letter from PIMCO provides a more detailed description of fourth- quarter market conditions, portfolio returns, future market outlook, and their recommended investment strategy for the District's Liquid and Long-Term Operating Monies portfolios. Portfolio Market Values On December 17, 1999, the sum of $10 million was received from the Orange County Tax Collector's property tax allocation cycle, and was deposited in the District's Long-Term portfolio for investment. Comparative marked-to-market quarter-end portfolio values are shown in the table below, and in the attached bar chart. ALTERNATIVES N/A CEQA FINDINGS NIA ATTACHMENTS 1 . PIMCO Report 2. Callan Report Quarter Ending 31 Dec. 98 31 March99 30 June 99 30 Seot 99 31Dec.99 Liquid Operating Monies ($M) 18.6 18.8 19.0 19.3 19.6 3. Quarter End Portfolio Market Value Bar Chart 4. Four Comparative Bar Charts 5. Historical Yield Curve Graph 6. PIMCO Letter dated February 3, 2000 SVK:lc l\radon\dala1\wp.dla\llnl210\aane'i'AHR\Fahr2000\Mar\Quarter1yl11vMgm1Repo<103--00.doc Revtsed: 1f5/98 Long-Term Operating Monies ($M) 304.5 305.8 305.9 271.1 282.9 Page 4 Prepared by Finance, 02/16/2000, 10:54 AM $300,000,000 $2501 000 I 000 $200,000,000 $150,000,000 $100,000,000 $50 I 000 I 000 OCSD Investment Management Program Quarter End Portfolio Values (Marked-to-Market) 31Dec98 31 Mar 99 30 Jun 99 30 Sep 99 31Dec99 I CJ Liquid Operating Monies lfJ Long-Term Operating Monies I G:\excel.dta\fin\2220\geggi\Finance\lnvestmgmtprogram Prepared by Finance, 02116/2000, 10:43 AM 100 90 80 .....-.. 70 ~ 60 0 ........... .., c: 50 Q) 0 L-40 Q) a.. 30 20 10 0 0 0 Govt OCSD Liquid Operating Monies Portfolio Investment Diversification 100100 0 0 0 0 0 0 0 0 Mtg Corp Non US$ Other Net Cash Equivalent G:\excet.dta\fin\2220\geggi\Finance\Portfolio short term D 9/30/99 ~ 12/31/99 Prepared by Finance, 02/16/2000, 10:44 AM OCSD Long-Term Operating Monies Portfolio Investment Diversification 100 ~~~~~~~~~~~~~~~~ 90 ---~~~~~~~~~~~~~~~ BQ -1--~~~~~~~~~~~~~~ .-. 10~~~~~~~~~~~~~~~~ ~ 60 -4--~~~~~~~~~~~~~~~~~~~~-l ~ c: Q) ~ Q) 0... so ~~~~~~~~~~~~~~~~ 40 40 30 20 10 0 0 0 0 0 -l-.L-.E.&&L____,-_L---..£o1L«L--r--'--...£&.11:...._r--~~--.-~~~~--"~~ Govt Mtg Corp Non US$ Other Net Cash Equivalent G:\excel.dta\fin\2220\geggi\Finance\Portfolio long term graph D 9/30/99 ~ 12/31/99 Prepared by Finance, 02/16/2000, 10:45 AM G:\excel.dta\fin\2220\geggl\Finance\Portfolio short term Prepared by Finance, 02/16/2000, 10:47 AM OCSD Long-Term Operating Monies Portfolio Investment Credit Quality 100 90 80 70 ...-... ~ 60 D 9/30/99 0 '-"" ..., ~ 12/31/99 c: 50 Q) ~ 40 Q) a_ 30 21 18 19 20 20 10 0 A1/P1 AAA AA A G:\excel.dta\fin\2220\geggl\Finance\Portfolio long term graph .. Prepared by Finance, 02/16/2000, 10:51 AM I HISTORICAL YIELD CURVE I 7.00 6.75 6.50 6.25 6.00 -5.75 .,. -c .J 5.50 w > 5.25 5.00 4.75 4.50 4.25 4.00 0 0 E E "' co -+-30-Jun-99 --t:t-30-Sep-99 -a-31-0ec-99 G:\excel.dta\fin\2220\geggi\Finance\HistoricalTREASURYyieldcurve -- February 3, 2000 Mr. Steve Kozak Finance Manager Orange County Sanitation District P .O. Box 8127 Fountain Valley, CA 92728-8127 Re: Fourth Quarter Report Dear Steve: l:>ACJFIC INVESTMENT M ANAGEMENT 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 4th Quarter 1999 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: Rates Move Higher in Final Quarter, Capping Difficult Year Interest rates moved higher in the fourth quarter, capping the worst year in the bond market since 1994, as investors anticipated that more Federal Reserve tightening would be needed to prevent the economy from overheating. The yield on the 30-year Treasury closed at 6.48 percent, up 43 basis points, while shorter-term rates rose 40 to 80 basis points. The full year 1999 was a difficult one for bond investors1 with U.S. interest rates rising as much as 180 basis points for some maturitjes. This increase came as robust economic . expansion in the U.S. and accelerating growth in Europe and Asia boosted demand for capit<ll worldwide and caused inflation to rise from lows reached in the previous year. The Federal Reserve raised the federal funds rate by 25 basis points to 5 . 5 percent on November 16, the third such increase this year. The Central Bank has now taken back all three of its rate cuts from last year, when market participants were preoccupied with the threat of global deflation and reduced liquidity in financial markets. The Fed left rates unchanged in December because of market uncertainties surrounding Y2K. Still, investors remained concerned that the combination of rapid growth and a dwindling pool of workers would increase wage pressures and force the Fed to tighten further in 2000. An upward revision of third quarter growth to 5. 7 percent -the fastest pace in almost a year -as well as surging consumer confidence heading into the holiday season did nothing to ease those concerns. Even so, there were signs that higher interest rates had begun to moderate the Mr. Steve Kozak Orange County Sanitation District Bo11d ~1.arket Recap: (Continued) February 3, 2000 Page Two expansion. Investment in new housing fell and mortgage refinancings continued to decline as mortgage rates hovered near 8 percent. Moreover, actual IDflation remained relatively · subdued, held in check by productivity gains and intense price competition in industries such as autos and apparel. Higher Yielding Sectors Outperform for Quarter and Year Managers who focused on higher yielding bonds amid general market weakness were rewarded, as these securities outpaced Treasuries for the fourth quarter and all of 1999. Bonds that offered the most attractive yields -emerging markets and non-investment grade corporates -performed best. The following summarizes relative sector performance during the fourth quarter: • Mortgages outperfonned as yield premiums narrowed in the face of declining market volatility. Higher mortgage rates meant that more than 80 percent of the mortgage market was priced at a discount~ substantially reducing prepayment risk. • Corporate bonds -both investment and non-investment grade -benefited from the strong economy, which helped companies post better-than-expected profits and mitigated concern about rising default rates. Slower new issuance also supported the corporate market. • Emerging market credits performed well, as more balanced worldwide economic growth and higher commodity prices improved prospects for exports in many countries. • Currency-hedged European and Japanese bonds outperformed Treasuries because the pace of economic growth, and hence inflation expectations, in these countries lagged the U.S. The Merrill Lynch 1-5 year Government/Corporate experienced a return of 0.41 percent. Returns by sector were as follows: Sector Treasury Agency Corporates Total Monthly return 0.273 0.56 3 0.24% Pedormance Attributi1Jn: Long Term Portfolio The Long-Term portfolio that PIMCO manages on behalf of Orange County Sanitation District turned in a 0.64 percent return over the quarter, outperforming the Merrill Lynch 1-5 year PACIFIC INVESTMENT MANAGEMENT COMPANY Mr. Steve Kozak Orange County Sanitation District Perfomunzce Attribution: (Continued) February 3, 2000 Page Three Government Corporate Index by 23 basis points. This portfolio's performance was due in part to the following factors: • Maintaining a below-index duration positively impacted returns as interest rates rose. • Our broader-than-index maturity structure was modestly positive as the yield curve flattened . • Mortgages enhanced returns due to reduced price volatility and attractive yield premiums. • Investment-grade corporates aided performance as yield premiums narrowed due to strong growth and reduced issuance. • Real return bonds outperformed as real yields increased less than comparable nominal Treasury yields. Liquid Portfolio The Liquid portfolio that PIMCO manages on behalf of Orange County Sanitation District turned in a 1.37 percent return over the quarter, outperforming the 3 month Treasury Bill Index by 12 basis point. This portfolio's performance was due in part to the following factors: • Our index like portfolio duration was neutral for the quarter. • Investment-grade corporates, especially higher yielding issues, enhanced performance as credit spreads narrowed amid strong growth and a reduction in new issuance. 1110ttarter 2000 Outlook: Economic Growth To Slow Modestly But Remain Solid U.S. economic growth will slow modestly over the next nine months but remain solid. Growth is likely to be stronger in the first half of 2000 as widespread Y2K disruptions have not materialized and strong stock and housing markets will support high levels of consumer spending. Resurgent economies in Europe and Asia will help sustain growth by absorbing more U.S. exports. However, several factors threaten to slow growth in the second half of the year, including the following: • Non-U.S. investors, who enjoy increasingly attractive investment opportunities elsewhere in the world, could require higher U.S. interest rates to continue financing the widening U.S. trade deficit. PACIFIC INVESTMENT MANAGEMENT COMPANY .- Mr . Steve Kozak Orange County Sanitation District p rquarter 2000 Ouilook: (Continued) February 3, 2000 Page Four • Consumers could begin to moderate their spending if the surging equity market cools off, thereby reversing the recent trend of a declining savings rate. Inflation Will Trend Upward But Remain Relatively Benign Inflation increased modestly in recent months as deflationary forces such as falling commodity prices and a strong dollar began to reverse themselves. Inflation will continue to trend upward for the following reasons: • Economic growth will reduce the supply of available workers and heighten the rjsk of accelerating wage increases. • Import prices will rise because capital outflows to faster growing economies will weaken the U.S. dollar. • Stronger economies in Europe and Asia have led to rising commodity prices, the effects of which will continue to work their way through the economy. While there will be upward pressure on interest rates in response to higher inflation, rates are unlikely to move far above the top of our secular range because inflation will remain relatively benign. Several factors will help contain increases in inflation. First, we expect that the Fed will tighten at least once during the first half of 2000 to cool the economy. In addition, strong productivity gains will hold down increases in unit labor costs, while relatively low capacity utilization will limit producers' ability to pass on wage increases. Yield Enhancement Will Remain Key to~Outperformance Yield enhancement will continue to offer better opportunities for outperfonnance than interest rate strategies in a low-volatility rate environment. Collecting premium income from writing options is one way to take advantage of range-bound rates; mortgages, which offer yield premiums well above Treasuries at a time when refinancing risk is low, are another. Corporate and emerging market bonds also offer attractive yield premiums but, unlike mortgages, present credit risk. In these sectors, investors will need to focus on issues with the highest risk-adjusted yields given lingering concerns about high levels of corporate debt, rising default rates and fiscal imbalances in some emerging market countries. U.S. real yields remain higher than in most other developed economies, giving portfolio managers little reason to venture outside the U.S. PACIFIC INVESTMENT MANAGEMENT COMPANY Mr. Steve Kozak Orange County Sanitation District Strategy: February 3, 2000 Page Five The following list highlights the strategies that will be used in the Long Tenn portfolio in the coming months: • Target duration slightly above the benchmark to talce advantage of higher yields on longer- maturity securities. • Maintain a broader-than-index maturity structure in order to capture value across the yield curve. • • • • Concentrate investment-grade corporate holdings on higher quality credits . Emphasize mortgages to capture higher relative yields and shift toward higher coupon issues now that refinancing risk bas diminished. Continue to favor adjustable-rate mortgages as high yielding, short-term holdings . Continue to hold short and intermediate maturity real return bonds to take advantage of historically high real yields. The following list highlights the strategies that will be used in the Liquid portfolio in the coming months: • Target duration near the half-year neutral point to capture additional yield while limiting the overall interest rate sensitivity of the portfolio. • Continue to emphasis high quality commercial paper. • Maintain exposure to select short-duration corporate issues to capture relatively high yields. Steve, we hope this information proves useful, and look forward to discussing these and other issues with you in the near future. Sincerely, ?.~ 1 l_ Rita J. Seymour Vice President RJS/JAF:ci Joseph A. Fournier Account Manager PACIFIC INVESTMENT MANAGEMENT COMPANY FAHR COMMITTEE Meeting Date 03/08/00 AGENDA REPORT Item Number FAHR00-23 Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller SUBJECT: Selection of the District's Independent Financial Auditors GENERAL MANAGER'S RECOMMENDATION Authorize staff to.issue a purchase order contract to appoint Moreland & Associates as the District's independent auditors for fiscal year 1999-00 for an amount not to exceed $42,600, with an option of auditing fiscal years 2000-01 and 2001-02 upon staff approval, and an option of auditing fiscal years 2002-03 and 2003-04 upon Board approval. SUMMARY Moreland & Associates has served as the District's auditors for the past 5 years. At the direction of the Committee, staff solicited a Request For Proposal For Professional Auditing Services (RFP) for fiscal year 1999-00, with the option of auditing the following two years at staff's discretion. In addition, a two-year extension beyond this three.,year contract period may be granted upon recommendation by staff and approval by the Board of Directors. The RFP was submitted to the following firms: Arthur Andersen Deloitte & Touche Ernst & Young PriceWaterhouseCoopers McGladrey & Pullen Conrad & Associates Diehl, Evans & Co. Moreland & Associates Thomas, Bigbie & Smith Vavrinek, Trine, Day & Co. Arthur Andersen and Deloitte & Touche sent letters declining to propose at this time. Ernst & Young made telephone inquiries regarding the proposal but also declined to propose. All together, six responses were received. An Evaluation Team comprised of the Director of Finance, Controller, and Accounting Manager was established, and performed a preliminary evaluation ranking on these six proposals. Listed below are the results of the preliminary evaluation in the order of the ranking done by staff, followed by the first year maximum fee quoted in their proposals, and then by estimated audit hours: Initial Evaluation Maximum Estimated Ranking By Staff Fee -1st Yr. Audit Hours To Bd. of Dir. 03/22/00 Item Number H:lwp.dtalagenda\FAHR\FAHR20000000 All8flda Reports\FAHR00.23.doc RtMsed: 115196 Page 1 Moreland & Associates 94 $42,600 818 Conrad & Associates 89 36,865 700 Diehl, Evans & Co. 82 49,000 570 Vavrinek, Trine, Day & Co. 79 43,800 570 McGladrey & Pullen 78 48,600 575 Thomas, Bigbie & Smith 77 46,300 500 The initial evaluation performed by staff was done in accordance with the criteria set forth in the RFP, without consideration of fees, as follows: 1. Past experience on comparable government engagements. 2. Quality of firm's professional personnel assigned to the engagement. 3. Quality of firm's management support. 4. Adequacy of proposed staffing plan. 5. Adequacy of sampling techniques. 6. The degree of anticipated support requirements of District's staff. Based on the initial screening, the Evaluation Team interviewed the top three firms: Moreland & Associates Conrad & Associates Diehl, Evans, & Co. Each of these three finalists is qualified to serve as the District's auditors. However, Moreland & Associates distinguished themselves from the rest, as follows: • Assignment of Michael Moreland as the audit engagement partner. Mr. Moreland has over 20 years experience in governmental financial audits and is currently Chairman of the State Governmental Accounting and Auditing Committee of the California Society of Certified Public Accountants and of the California Committee on Municipal Accounting. In addition, Mr. Moreland was the only California CPA who was ·a member of the Governmental Accounting Standards Board's Task Force on the development of the Financial Reporting Model, GASB Statement No 34. • Proposed the highest number of estimated hours that would be necessary to complete the audit. This coupled with the fact that Moreland & Associates was the only firm to recognize that GASB Statement 34 would have to be implemented by the District in 2001-02 indicated to the Evaluation Committee that Moreland & Associates had the best understanding of the District's audit needs. H:\wp.dla'-genda\FAHRIFAHR2000.2000 Agenda Repoi1a\FAHR00.23.doc: RoMsed: 1151118 Page2 • Although Conrad & Associates' maximum annual fees were lower than Moreland & Associates ($36,865 to $42,600), Moreland & Associate has the lower average hourly rate based each firms total estimated hours ($52.07 per hour to $52.66 per hour). • In anticipation of the GASS Statement No. 34 implementation in 2001-02, Moreland & Associates included an increase of $3, 000 in audit fees in addition to their annual 4 percent increase. In addition, Mr. Moreland is also offering to donate up to thirty hours of his own time to assist the District in the implementation of the new reporting model. Although Conrad & Associates fees will increase each year at a nominal 3 percent, they do qualify their proposed annual fee by stating in their proposal that their fixed fee does not include changes in the scope of the audit that might result from the implementation of GASB Statement No. 34. Therefore, the Selection Committee recommends appointment of Moreland & Associates to provide audit services for the 1999-00 period. As requested in the RFP, Moreland & Associates also submitted their proposed maximum fees for the succeeding two years, as follows: 1999-00 2000-01 2001-02 PROJECT/CONTRACT COST SUMMARY NIA BUDGET IMPACT D This item has been budgeted. $42,600 44,300 49,000 D This item has been budgeted, but there are insufficient funds. [8J This item has not been budgeted. D Not applicable (information item) The fees for the 1999-00 audit will be included in the Joint Works budget for 2000-01. H:\wp.dl31apendalFAHRIFAHR20000000 A99nda Repoo151FAHR00-23,doc R8'<1iaed: , 151118 Page3 F~HR COMMITTEE Meeting Date To Bd. of Dir. 02/08/00 N/A AGENDA REPORT Item Numbefv Item Number Yf/JH!. oo--7 Orange County Sanitation District FROM: Gary Streed, Director of Finance SUBJECT: FINANCIAL CONSOLIDATION OF, AND DEVELOPMENT OF A SINGLE USER FEE RATE FOR, REVENUE AREAS 1, 2, 3, 5, 6, 11 AND 13 (REVENUE AREAS 7 AND 14 TO CONTINUE CURRENT REVENUE PROGRAM) GENERAL MANAGER'S RECOMMENDATION The General Manager recommends rate and financial consolidation when the Directors have sufficient information to decide. SUMMARY At the last FAHR Committee meeting the Directors requested additional information and suggested a workshop. The Steering Committee directed staff to present the requested information to the FAHR Committee in lieu of a weekend workshop. PROJECT/CONTRACT COST SUMMARY Minimal costs, other than staff time. Financial and rate consolidation results in overall lower user fees. BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. C8J This item has not been budgeted. D Not applicable (information item) ADDITIONAL INFORMATION Several worksheets and graphs are enclosed with this report. They are intended to provide background information requested by the Committee and to stimulate discussion at the meeting. Each is briefly described with bullet points in the following sections. Exhibit A: Revenue Area Representation • When current fees were established the vote was by District. Each Director voted on ly on the fees in the District which included the Director's city. H:\wp.dta\linl210\cranelFAHRIFahr20001MarlFAHRFinConsolidalion.doc Revised: 6120198 Page 1 • Since the 1998 consolidation, all of the Directors vote for all of the Revenue Areas, whether or not that Director's city is included in the Revenue Area. • A vote to change fees now requires a two-thirds vote of all of the Directors, or 17 votes. • This schedule provides an idea of how many people and cities are affected by rate decisions. Exhibit B: Analysis of Net Assets • Net assets is a better measure of current economic health than simply "reserves" or cash balances. Net assets is the sum of current cash balances and fixed assets, less the sum of depreciation, outstanding debt and other liabilities. • The ranking of Revenue Areas by net assets can be based on several variables. Just using the total is too simplistic and misleading because of the varying sizes of the Revenue Areas. • The chart shows net assets for each Revenue Area on the basis of per capita, per flow in million gallons a day, per acre of land and per $100 of assessed value. • The blue highlights show that ranking by each of the variables produces a different Revenue Area with the highest value. This indicates that the relationship between net assets and user fees may not be a good decision criteria as selecting the variable alters the result. Exhibit C: Previously Adopted Supplemental User Fees • The first user fee was adopted in 1982 in District 5. Other Districts adopted fees as their financial situations required, until all had user fees in 1991 . . · · • Regular, routine and required fee incfeases were a part of the Financial Plan adopted in 1990. • Rate increases were deferred from 1991 to 1997 because of the poor economy. • In 1992-93 fees were increased as an urgency measure to replace property taxes anticipated to be confiscated by the State. District 11 did not increase fees at this time. • In 1997 Districts 1 and 11 adopted 10-year rate increases and Districts 2 through 7 adopted 5-year rate increases after considerable study and evaluation of alternatives. • When the Districts consolidated on July 1, 1998, the new District adopted the previously approved rate increases through 2001-02 for each of the Revenue Areas. The remaining 5 years of adjustments for Revenue Areas 1 and 11 were not adopted. H:lwp.dla\lln\21DlcranelFAHRIFahr2000\Mar\FAHRFinConsotidation.doc Revised: 8120/98 Page 2 • The adoption of a revised rate structure for 1998-1999 after the Rate Advisory Committee and Strategic Plan process allowed for some minor rate decreases in order for the program to be "revenue neutral." • No Board actions are required to implement the previously adopted rates or slightly reduced rates for 2000-01 and/or 2001-02. Exhibit D: Average Daily Flow • Most costs at the District are based upon or caused by wastewater flow. The O&M projected for each year depend upon flow projections. Lower flows will result in lower user fee projections. A portion of the Capital Improvement Program is for additional capacity, based upon flow projections. • Strategic Plan flow projections were based upon population projections, city general plans, and history. • Current flows are somewhat below the Strategic Plan estimates. Projected fl ows in the year 2020 remain unchanged. • Average daily flow is variable and difficult to project. • Higher average flow years may correspond to higher rainfall years. • Higher than average rainfall was experienced in 1994-95 and 1997-98. • Higher than average flows were also experienced in 1994-95 and 1997-98. • The increased flows seem to be proportional to the rainfall. • Higher than average flows in 1996-97 are not explained by rainfall. Exhibit E: SFR Sewer User Fee Breakdown • Many factors affect user fee calculations, including costs and revenues. • All current revenue streams are projected to continue. • User fees are for three main categories of costs: Operations & Maintenance, Capital Improvements and Rehabilitation, and Debt Service. • New debt financing requires increased fees, but less than pay-as-you-go. • Summary schedule for 1999-2000, 2003-04 and 2008-09 shows that the majority of increased user fees will be used for the capital improvement program and debt service. H:\wp.dlalfin\210\ttane\FAHR\Faht2000\Mar\FAHRRnConsollcfaUon,doc Rellised: 8/20198 Page 3 Exhibit F: Projected SFR User Fees Charts • There are individual graphics for four alternatives. • Alternative 1 is the status quo. Each Revenue Area adopts its own fees based upon its own needs. This alternative raises the most fees. • Alternative 2 implements the previously adopted fees for the next two years. Fees above the average are then maintained until the average reaches their level. By 2013-14, all Revenue Areas will have the same fee. This alternative avoids fee increases for several years after 2002-03 in Revenue Areas 1, 5, 11 and 13. • Alternative 3 implements the previously adopted fees for the next two years also. In 2002-03 all Revenue Areas adopt the same fee. This alternative results in reduced fees for users in Revenue Areas 1, 3, 5, 11 and 13; approximately 1.2 million people. • Alternative 4 implements the unified consolidated rate immediately in 2000-01, unless the previously adopted rate is lower. In that case, the previously adopted rates are implemented until they reach the average. All Revenue Areas are paying the same rate in 2001-02. This alternative results in rate decreases in 2000-01 for Revenue Areas 1, 2, 5, 6, 11 and 13, approximately 1.3 million people. Exhibit G: Annual SFR Sewer User Fees • This schedule summarizes the four alternatives. • No fees are currently adopted for 2002-03. Potentially fees will increase for some or all of our 2.2 million users. • The proposed annual sewer fees are shown by year for each alternative and each Revenue Area. • The Jowest fee is highlighted for each year, for each alternative, and each Revenue Area. • All of the consolidation alternatives result in lower average fees than those from retaining separate revenue areas. • Population estimates are also provided to help gauge the impact of the changes. • A lternative 4 provides immediate rate reduction to approximately 1.3 million users. Exhibit H: One District Excluding 7 & 14 One Rate Cash Flow Projections • Provides "detail" to support earlier summary of User Fee Breakdown. • O&M Expense, line 9, is based on current cost per mg and projected flows. • Capital Outlay, line 10, is from Strategic Plan. 11:\wp.dla\fin\210\oranelFA11RIFat'tr20001ManFAHRFlnConso!ldaUan.doc Revised: 6120198 Page4 • COP Services, line 11 , assumes 25·year debt shown on line 4 at 6.5%. Repaying $100,000,000 adds approximately $11.00 to the annual user fee. • Annual SFR User Fees are shown on line 17 and calculate the amounts on line 1. • Schedule assumes property taxes, line 3, will continue to be allocated to District. • Schedule reflects Alternative 4, the lowest rates. Other alternatives would raise more fees. ALTERNATIVES Four alternatives will be discussed at the meeting. CEQA FINDINGS N/A ATTACHMENTS H:lwp.dlalfio~10\cranelFAHR\Fahr2000\Mar\FAHRFinConsolldatro11.doc: Revised: 8/20/98 Page5 03/01/2000 11:59 AM Revenue Area Representation Population Description 1 2 3 5 6 7 11 13 Jan 1, 1999 Est Population, 2000 228,965 656,434 749,953 61,119 111,470 169,146 128,774 46,072 Anaheim x x x 306,298 Brea x x x 36,388 Buena Park x 75,869 Costa Mesa x x x 105,608 Cypress x 48,517 Fountain Valley x x 56,445 Fullerton x x 126,757 Garden Grove x x 156,534 Huntington Beach x x 196,660 Irvine x 136,577 La Habra x x 55,805 La Palma x 16,395 Los Alamitos x 12,031 Newport Beach x x x 73,965 Orange x x x x 127,603 Placentia x 49, 127 Santa Ana x x x x 314,990 Seal Beach x 27,192 Stanton x 33,853 Tustin x x 66,834 Villa Park x 6,630 Westminster x 86,248 Yorba Linda x x 61,839 ~ ::c: tD -i )> G:\excel.dta\fin\210\streed\City Fees except 7 02/29/2000 RA 1 2 3 5 6 7 11 13 WtdAvg G:\e>ccel.dta\fln\21 O\streed\99--00 budget\True consolidation Analysis of Net Assets Assets Minus Liabilities Including COPs Shading Indicates Highest Value Net Assets Per Total Capita MGD Acre 35,927,871 159 10 2,983 263;057,403 426 26 3,874 265,754,909 371 27 4,068 65,881,509 1, 153 53 5,600 43,303,875 403 33 4,414 97,507,794 614 30 4,362 62,853,871 533 31 6,205 21 ;614,474 758 55 947 422 27 3,865 $100 AV 55 75 79 61 73 61 70 2 72 6:35 PM Net Assets m x :c -aJ =i aJ 02/29/2000 84-85* 85-86 86-87 87-88 88-89 89-90 ANNUAL SFR FEES 26.40 26.40 26.40 26.40 34.32 45.00 2 3 30.36 5 26.40 26.40 26.40 26.40 26.40 45.00 6 26.40 26.40 29.04 31.68 38.02 49.00 7 11 26.40 40.00 13 70.00 70.00 70.00 78.40 78.40 * Rates Unchanged from year of implementation: Dist 1:1984, Dist 5: 1982, Dist 6: 1983, Dist 13: 1985 G:\excel.dta\fin\210\streed\old d copy\EXCELDTA\Use Hist Previously Adopted Supplemental User Fees 90-91 91-92 92-93 * 93-94 94-95 95-96 96-97 97-98 55.00 75.00 83.24 83.24 83.24 83.24 83.24 91.36 55.00 60.00 71.52 71.52 71.52 71.52 71.52 73.00 50.00 60.00 73.89 73.89 73.89 73.89 73.89 75.00 55.00 75.00 96.75 96.75 96.75 96.75 96.75 96.75 55.00 65.00 76.47 76.47 76.47 76.47 76.47 78.00 40.00 50.09 50.09 50.09 50.09 S0.09 SS.DO .SO.DO 60.00 60.00 60.00 60.00 60.00 60.00 70.00 95,00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 *Rates were originally adopted equal to 1991-92 but increased in response to State tax confiscation 98-99 100.27 75.00 76.00 96.75 80.00 60.00 80.00 100.00 2:45 PM FieviseCI Strueture 98-99. 99-00 00-01 01-02 96.41 110.04 120.77 132.55 74,00 16.00 80.00 82.00 75.50 7~.00 78.00 80.00 84.50 87 50 87 50 8150 79.00 8@,QO 84.00 86.00 6000 66.00 73.00 80.00 80.00 90.00 101.25 113.91 ~00.00 100.00 100.00 100.00 •RAc rate stucture allowed decrease for SFR m x ::i:: tc ~ (") 02/29/2000 >-300 cu c ~ GI a. 250 Ill c ..2 n; (!) 200 c .2 :!: 150 Average Daily Flow Actual Thru 1998-99 Growth Projection Thru 2019-20 Fiscal Year Ened June 30 l-1955 Actual -1955 Linear -1992 Linear -COM Projections ---Modified COM Projections J stratplan\Flow hist & proj_Chart1 4:05PM m >< :::c tn =i c 02/29/2000 Ref 1 012erations & Maintenance 2 Collection System O&M 3 Treatment Plant O&M 4 Total O&M Expense 5 Permitted User Fees 6 Interest Income 7 Net O&M Expense 8 CaQital lm12rovements 9 CollectTon System CIP 10 Treatment Plant GIP 11 Total Capital lmprovemt 12 Connection Fees 13 Capacity Sales, SAWPA 14 From Savings or New COPS 15 Net Capital Outlay 16 Debt Service 17 COP Service 18 Property Taxes 19 Net COP Service 20 Raised by General User Fees 21 No. of Equiv Dwelling Units 22 Average Daily Flow (mgd) 23 New Borrowing Revenue Area 99-00 Budget X7&14_Use Fee Analysis SFR Sewer User Fee Breakdown All Revenue Areas Except 7 and 14 A E 1999-2000 Estimates 2003-04 Estimates Total Per EDU Total Per EDU 7,720,500 10.26 8,359,000 10.96 38,328,000 50.95 40,641,000 53,27 46,048,500 61.21 49,000,000 64.23 (5,591,000) (7.43) (6,176,000) (8.10) (20.164,000) (26,80) (17,301,000) {22.68) 20,293,500 26.97 25,523,000 33.45 21.467,100 28.53 26,793,100 35.12 59.803,000 79,49 65,641 .100 86.04 81,270,100 108.03 92,434,200 121.16 (4,823,000) (6.41) (4,847,000) (6.35) 0 0.00 {6,045,000) (7.92) (42,238,000) (56.14) {63, 190,000) {82.83) 34,209,100 45.47 18.352,200 24.06 32,238,000 42.85 52,976,000 69.44 (29,568,000) (39.30) (32.004,000) {41.95) 2,670,000 3.55 20,972,000 27.49 57,172,600 76.00 64,847,200 85.00 752,320 762,920 240 0.000319 263 0.000345 j 2008-09 Estimates Total Per EDU 9,231,000 11.89 45,276,000 58,33 54,507,000 70.23 (6,987,000) (9.00) (16,368,000) (21.09) 31,152,000 40.14 12,812,000 16.51 59,101,000 76.14 71,913,000 92.65 (4,877,000) (6.28) 0.00 {52.690,000) {67.88) 14;346,000 18.48 70,660,000 90.91 (35,337,000) {45.53) 35,223,000 45.38 80,721,000 104.00 776,170 293 0.000377 72,000,000 92.76 K 10 Year Total 84,560,500 412,430,000 496,990,500 (62.,675,000) {184,609,000) 249,706,500 171.440,000 704,045,100 875,485, 100 (48,500,000) (17,591,000) (597,542,000) 211,852,100 533,865,000 (323, 757,000) 210,108,000 671,666,600 495,000,000 Page 1 of 1 11:27 AM m >< :::J: OJ =i m Projected SFR User Fees $180 -.---------------------,1$191-2 __ $_,.21 1-1 --1$231-2 __ $_,.251-0 -- $160 ~----------1 1----i 1--1 l--l 1-~ 1-1- $140 -~-----I 1--11--l I-~ ----i--m-t ,_ • ._. t----- $12 0 -f----rl---------1 1--l 1-------------.t 1----•1--1 1---I 1----•11--1 1----.! ()) ()) LL $100 m :::l c: $80 c <( $60 $40 $20 $0 ~ 1999-00 2000-01 2001-02 02-03 03-04 04-05 ICJ1 CJ2 •3 c:Js o e CJ? •11 02/2912000 Rate Chart Chart 1 05-06 06-07 07 -08 13 -+-One Rate --wtd Avg I 08-09 10:43AM m x :I: OJ =i "T1 II ...ii. $180 $160 $140 $120 Q) Q) LL $100 - rn :::J $80 c: c: - <( $60 - $40 - $20 - $0 02/29/2000 Projected SFR User Fees ""' ._ ---------._ -----~ ""' -.. ... ~ J> .. --1 1 l l I'\ -r-~ .. ~ ... ~ -= :: I---I---- I; ------I--- 11 Ii 11 I• ----,_ -,_ -- 11 -,_ -... ... ---- ' I ~ ~ ............. -.,.~--_. --- II .... -- I• 11 .... -- I--- II --- ' I I ~~ J> -:: ... -... -I- -I- -,_ --Ii ' ' ... ~ I- I- m >< :I: OJ 99-00 00-01 01-02 02-03 03-04 04-05 05-06 06-07 0?.;08 08-09 09-10 10-11 11-12 12-13 f&:t•" =i 101 02 •3 0 5 0 6 07 •11 •13 -+-One Rate l Rate Chart (3) Chart 1 9:58AM $180 $160 $140 $120 Q) Q) LL $100 - ro :::J $80 c c - <( $60 - $40 - $20 - $0 0212912000 Projected SFR User Fees ~--. ----:::: I- #~--~ ~ -- .,,., -~l l } ·-· --~ ~ .# -. I-:::: I::: -------... - I --_, I -------r I I : I --_, --_, ---- I ' I ' ---------- I II I ' ' I ' --:::~ . ~----· ~ - --- --- I• --- --- --- ' ' -~ -i I- - ... ( I - I - ; .... I ~ '" m x :::c OJ 99-00 00-01 01-02 02-03 03-04 04-05 05-06 06-07 07-08 t 08-09 09-10 10-1 1 11-12 12-13 13-14 -I 101 02 •3 05 06 07 •11 1!1i1 13 -+-One Rate l Revenue Area 99·00 Budget X7&14.xls Chart 1 10:09AM $180 $160 $140 $120 Q) Q) LL $100 - ca :J $80 c c - <( $60 - $40 - $20 - $0 0212912000 Projected SFR User Fees ... __.. ,.#·----~ .. --""· --1 --~ -~ .,., ~ -~ "* ~ ----... --... -~ .. "" I! I• II I• I• I--I---,_ ,_ -I- ,_ -,_ ,_ -,_ ..... 1; -- II ..... -,_ .... -,_ ... -,_ II ·~--~ .....-· ----- --- II ..... -- ..... --I• I' 11 I' ,_ ,_ - ""~ _.....~ -- -... ,_ ... ,_ ,_ ,_ ,_ -- .. - ... m >< :I: I I I I I co 99-00 00-01 01-02 02-03 03-04 04-05 05-06 06-07 07-08 08-09 09-10 10-11 11-12 12-13 13-14 ::::j 101 02 •3 0 5 06 07 •11 •13 -+-One Rate l Revenue Area 99-00 Budget X7&14.xls Chart 1-1 10:27 AM 03/01/2000 12:33 PM Annual SFR Sewer User Fees Already Adopted Fees vs. "One-Rate" Alternatives Shading Represents Lowest Rate Altemative Description 1 2 3 5 6 7 11 13 Est Population, 2000 228,965 656,434 749,953 61, 119 111 ,470 169,146 128,774 46,072 Adopted Fees 1999-2000 110.04 76.00 77.00 87.50 80.00 66.00 90 .00 100.00 2000-01 120.77 80.00 78.00 87.50 82.00 73.00 101.25 100.00 2001-02 132.55 82.00 80.00 87.50 84.00 80.00 113.91 100.00 Alt 1 00-01 Fees 120.77 80.00 78.00 87.50 82.00 73.00 101.25 100.00 Alt 2 00-01 Fees 120.77 80.00 78.00 87.50 82.00 73.00 101 .25 100.00 Alt 3 00-01 Fees 120.77 80.00 78.00 87.50 82.00 73.00 101.25 100.00 Alt 4 00-01 Fees 78.00 78.00 78.00 78.00 78.00 73.00 78.00 78.00 Alt 1 01-02 Fees 132.55 82.00 80.00 87.50 84.00 80.00 113.91 100.00 Alt 2 01-02 Fees 132.55 82.00 80.00 87.50 84.00 80.00 113.91 100.00 Alt 3 01-02 Fees 132.55 82.00 80.00 87.50 84.00 80.00 113.91 100.00 Alt 4 01-02 Fees 80.00 80.00 80.00 80.00 80.00 80.00 80.00 80.00 No Fees Adopted Alt 1 02-03 Fees 145.47 84.00 82.00 87.50 86.00 87.00 123.00 100.00 Alt 2 02-03 Fees 132.55 82.50 82.50 87.50 84 .00 82.50 113.91 100.00 Alt 3 02-03 Fees 82.50 82.50 82.50 82.50 82.50 82.50 82.50 82.50 m Alt 4 02-03 Fees 82.50 82.50 82.50 82.50 82.50 82.50 82.50 82.50 >< :::c OJ -i G') G:\excel.dta\fin\21 O\streed\Black Veatch Survey 2000 03/01/2000 12:45 PM Orange County Sanitation District One District Excluding 7 & 14, One Rate Cash Flow Projections No Adopted Rates Adopted In 1997 Rate Proposed Prelimin11ry Preliminary Preliminary Prelimln<1ry Prelimin11ry Preliminary Preliminary Preliminary Preliminary 10Year &lf Description 1999..00 2000-01 2001-02 02-03 03-04 04-05 05-06 06-07 07-08 08-09 Total Revenues: General User Fees 57,176,320 58,887,660 60,609,600 62,722,275 64,848,200 66,987,375 69,908,020 73,232,650 76,578,480 80,721,680 671,672,260 2 Permitted User Fees 5,591,000 5,732,000 5,877,000 6,025,000 6,176,000 6,330,000 6,489,000 6,651,000 6,817,000 6,987,000 62,675,000 3 Property Taxes 29,568,000 30,159,000 30,761,000 31,377,000 32,004,000 32,644,000 33,298,000 33,965,000 34,644,000 35,337,000 323,757,000 4 New COP Issues -126,000,000 . 127,000,000 . 100,000,000 . 70,000,000 . 72,000,000 495,000,000 5 Interest Revenues 20,164,000 21,666,000 20,250,000 18,350,000 17,301,000 17,282,000 16,073,000 17,886,000 17,267,000 16,368,000 184,609,000 6 Connection Fees 4,823,000 4,829,000 4,835,000 4,841,000 4,847,000 4,853,000 4,859,000 4,865,000 4,871,000 4,877,000 48,500,000 7 Other Revenues (Incl IRWD) 57,181,000 8640000 3142,000 1,147000 7,196,000 1.155,000 1,159,000 7,208000 1,167,000 1,167,000 89162,000 8 Revenues 174,503,320 255.913660 125,474,600 251 ,462,275 132,372,200 229,251,375 133,786.020 213,809,650 141,344.480 217,467,680 1,875,375 260 Requirements: 9 Oper & Mice Exp 46,048,500 45,735,000 46,818,000 47,905,000 49,000,000 50,094,000 51,192,000 52,293,000 53,398,000 54,507,000 496,990,500 10 Capital Outlays, Incl GWRS 81,270,000 126,088,000 125,618,000 127,774,000 92,433,000 58,474,000 55,231,000 67,062,000 69,623,000 71,913,000 875,466,000 11 cop Service (6.5%, 25 yr) 32,238,000 37,375,000 42,263,000 47,684,000 52,976,000 57,179,000 61,594,000 64,467,000 67,529,000 70,560,000 533,865,000 12 Other Requirements 6,975,000 2,975,000 2,975,000 975,000 975000 975,000 975,000 975,000 975,000 975,000 19,750,000 13 Requirements 166,531.500 212, 173,000 217,674,000 224338000 195,384,000 166,722.000 168,992,000 184,797,000 191,525,000 197,955,000 1,926,091,500 14 Revenues-Requirements 7,971,620 43,740,660 {92,199,400) 27,124,275 (63,011,600) 62,529,375 (35,205,960) 29,012,650 (50, 180,520) 19,502,660 (50,716,240) Accumulated Funds: 15 Beginning of Year 344,953,000 352,924,820 396,665,480 304,466,060 331,590,355 268,578,555 331,107.930 2.95,901.950 324,914,600 274,734,060 344,953,000 16 End of Year 352i924,820 396,665,480 304,466,060 331 ,590,355 268,578,555 331,107,930 295,901,950 324,914,600 274,734,080 294,236,760 294,236,760 Sewer Service User Fees: 17 Avg SFR Annual User Fee $76.00 $78.00 $80.00 $82.50 $85.00 $87.50 $91.00 $95.00 $99.00 $104.00 18 Percentage Change {3.28%) 2.63% 2.56% 3.13% 3.03% 2.94% 4.00% 4,40% 4.21% 5.05% 19 Equivalent Dwelling Units 752,320 754,970 757,620 760,270 762,920 765,570 768,220 770,870 773,520 776,170 20 SFR Connection Fee $1,820 $1,820 $1,820 $1 ,820 $1,820 $1,820 $1,820 $1,820 $1,820 $1,820 Proj Avg Daily Flow (mgd) 250 245 251 257 263 269 275 281 287 293 COP Coverage Ratios 21 Senior Lien, Min 1.25 6.59 3.61 2.97 2.56 2.56 2.23 2.18 2.34 2.13 2.13 22 Junior Lien, Min 1.00 23 Sr Additional Bonds, 1.25 24 Jr Additional Bonds, 1.00 3.19 1.72 1.38 1.17 1.16 1.00 0.97 1.02 0.93 0.92 m 6.59 3.61 2.97 2.56 2.56 2.23 2.18 2.34 2.13 2.13 >< 5.26 2.38 1.72 1.32 1.29 0,99 0.94 1.04 0.87 0.86 :I: OJ =i :I: G:\excel.dtaVin\210\99·00 Budget\Revenue Area 99-00 Budget X7&14 One DlstX 7 & 14, one rate FAHR COMMilTEE AGENDA REPORT Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Steve Kozak, Meeting Date To Bd. of Dir. 03/08/00 );~Number Item Number ~()I)~~ SUBJECT: STATUS REPORT, RESTRUCTURING OF THE DISTRICT'S EXISTING CERTIFICATES OF PARTICIPATION GENERAL MANAGER'S RECOMMENDATION Receive and file status report. SUMMARY In November 1999, the Board of Directors approved a plan to re$tructure and modernize the District's existing Certificates of Participation (COP) long-term borrowings. In February, staff presented a status report on the progress being made by the financing team to develop and implement the COP restructuring and refinancing plan. This agenda item provides additional details about the refinancing structure and the legal documents associated with the COP refinancing project. PROJECT/CONTRACT COST SUMMARY NIA BUDGET IMPACT 0 This item has been budgeted. (Line item: ) O This item has been budgeted, but there are insufficient funds. · · D This item has not been budgeted.·· [8J Not applicable (information item) ADDITIONAL INFORMATION Introduction The modernization of the District's existing COP program is based on a comprehensive refunding and restructuring strategy to realign the COP legal documents to reflect the District's consolidated organization structure as a single Sanitation District. Under this approach, the rating agencies would view the District as a single credit structure, and the District's ability to obtain formal "Aa" category ratings is strengthened. In addition, streamlining the legal structure for the District's existing COPs will also facilitate issuance of any future debt. C:\TI:MPIFAHR COP Update0308001.doc Revised: 8/20/96 Page 1 Overall, we estimate that present value cost savings of more than $1.4 million would be generated over the life of the Refunding COPs from a combination of a lower cost liquidity facility and elimination of annual Letter of Credit fees. Additional savings may also be realized on future District debt financings. The following general discussion about COP financing methods is a prelude to the more specific discussion of the financial plan details and legal documents required for the restructuring and refinancing of the District's existing COPs. An Overview of COP Financing Methods Since the enactment of Proposition 13 in 1978, local agencies in California have relied on the use of Certificates of Participation (COP) financings to fund basic infrastructure as well as equipment needs. Because COP obligations are not considered debt for many statutory or constitutional purposes, they enjoy several legal exemptions upon issuance and generally do not require voter approval. Certificates of Participation, or COP, is an umbrella term which includes a variety of financing structures. The two most important structures include lease COPs and installment purchase COPs. Lease COPs: These were developed by cities, counties, and school districts to avoid a constitutional debt limitation applicable to these entities (but not applicable to the District). A lease COP financing involves the local agency entering into a lease of a facilitY or equipment with a not-for-profit corporation which assigns the lease payments to a bank or trust company which then executes the COPs and delivers them to investors. The bank or trust company then delivers the purchase price paid by the investors for the COPs to the local agency to construct the facilities. There is no direct contract between the local agency and the investors in a lease COP financing. Lease COPs generally do not achieve as high a rating (or result in a comparable low interest rate) as revenue bonds or installment purchase COPs because a lease is required under California law to include the following provisions: (i) the local agency can elect to terminate the lease at the end of each year ("appropriation risk"), and (ii) the local agency is not required to make lease payments if the facility financed is never completed or is destroyed or is rendered unus!=!ble ("abatement risk"). Generally, both of these provisions add incremental risk for the rating agencies and investors, resulting in a lower rating and a relatively higher borrowing rate. Installment Purchase COPs: The second form of COP financing, installment purchase COPs, is generally used by enterprise districts such as OCSD. Installment purchase COPs involve the local entity entering into an installment purchase contract with a not- for-profit corporation, which assigns the right to receive the installment payments to a bank or a trust company which executes and delivers the COPs to investors. As with lease COPs, the not-for-profit corporation involved in installment purchase COP financing is usually created and controlled by the local agency. The bank or trust company then delivers the purchase price paid by the investors for the COPs to the local agency to fund or refund its projects. C:ITEMP\F<!IHR COP UJ>da\80308001.doc Revised: 8120198 Page 2 The obligation of a local agency to make payments under the installment purchase contract is irrevocable. Like a revenue bond, the local agency is legally obligated to make payments under all circumstances. Similar to covenants contained in revenue bond financings, the installment purchase agreement would typically pledge revenues of the local agency to repayment, would contain a rate covenant, and would pledge to issue additional debt only if certain conditions were met. The strong security provisions in an installment purchase COP will generally result in a credit rating equal to a revenue bond and interest rates which ar~ the same or only slightly higher than a revenue bond. Many large water and wastewater agencies throughout California have used installment purchase COPs to finance their capital programs. The District's existing COP long-term borrowings were structured as installment purchase COPs between 1990 and 1993. Financing Plan and Bond Documents The District has five series of COPs comprising a total outstanding par amount of approximately $361 million. The Series "A," "B/' and "C'' COPs were issued between 1990 and 1992 to fund a portion of the "2020 Vision" Master Plan capital improvement program. The Series 1992 Refunding COPs refunded the 1986 COPs ($107 million) issued on behalf of District Nos. 1, 2, and 3. The 1992 Refunding COPs also refunded approximately $38.4 million of the Series "B" COPs, issued in 1991 . Another $39.7 million of the Series "B" COPs was refunded by the 1993 Refunding COPs. The restructuring plan includes refunding the outstanding Series "A," and "C" daily variable rate COPs, and the Series "8" fixed rate COP through a single Series 2000 Daily Variable Rate Refunding COP backed by a "Aa" category stand-alone credit rating of the District (approximately $190 million par amount). While the Series "A" and "C" COPs were originally issued as daily variable rate certificates, the Series "B" was issued as a fixed r:ate obligation. In addition, the Series "8" COPs included a ten-year call protection. Therefore, the proposed Series 2000 Refunding COPs, which will be issued as a daily variable rate borrowing, will be structured to include an Interest Rate Exchange Agreement ("Swap Agreement") for an $18.7 million portion associated with the Series "B" COPs. The Interest Rate Exchange Agreement will synthetically convert (or swap) a daily variable interest rate on the Series "B" fixed rate portion until their first call date in August 2001, as required by U.S. Treasury regulations. At that time, the Swap Agreement will expire, and the Series 0 8" fixed rate portion will convert to daily variable rate certificates identical to the balance of the Series 2000 Refunding COPs. This approach simplifies the structuring, documentation, and issuance of the Series 2000 COPs, as the need for two separate pieces in different modes (a variable rate portion, and a short maturity fixed rate portion) of the Refunding C,OPs is eliminated. The Series 2000 COPs will be issued as a senior lien obligation, and are expected to receive a stand-alone "Aa" category credit rating. Therefore, bond insurance or a Letter of Credit will not be required. As with all variable rate debt obligations, a liquidity facility C:\TEMPIFAHR COP Update0300001.d0c Revise<!: 8/20/98 Page 3 would be required. A Standby Bond Purchase Agreement with a liquidity bank will be used for the Series 2000 COPs. The Series 2000 COPs will be secured by an Installment Purchase Agreement between the District and the proposed OCSD Financing Corporation, which will be the not-for- profit corporation required for the District to issue the Series 2000 COPs. While the OCSD Financing Corporation, which will be created and controlled by the District, will have no powers unto itself, it is a basic component of the COP financing method (as discussed above). By contrast, the District's existing COPs were issued by agreements among one or more of the then nine separate County Sanitation Districts of Orange County, with Sanitation District No. 1 serving as agent. Therefore, there was no need for a not-for- profit financing corporation for the existing COPs. Series 1992 and 1993 Refunding COPs The financing team has initiated work on the proposed plan to substitute modernized legal documents with the swap providers for the Series 1992 and 1993 Refunding COPs (AIG for the '92 COPs, and SocGen for the '93 COPs). Wrth bond counsel as lead, the financing team is researching and analyzing several tax, insurance, and economic issues which are key to full implementation of the plan to substitute legal documents. Bond counsel expects to reach some preliminary conclusions before the end of the month. Financing Schedule A detailed financing schedule for issuance of the Series 2000 Refunding COPs is attached for your Committee's review. The following is a summary of upcoming project milestones: • March • Complete legal documents and POS for Series 2000 COPs • Solicit liquidity facility providers • Finalize plans for Series 92 and 93 Refunding COPs • Finalize rating agency presentation materials • April • Select liquidity facility provider • Rating agency presentations • FAHR and Board approve formation of OCSD Financing Corporation • May • Receive District ••Aa" stand-alone credit rating • FAHR and Board approve legal documents • Mail Official Statements • June • Price and market securities • Close Series 2000 Refunding COPs C:\TEMPIFAHR COP Updele0006001.doo Revised: 8/20/9B Page4 ALTERNATIVES NIA CEQA FINDINGS NIA ATTACHMENTS 1. Financing Schedule C:llEMPIFAHR COP Updale0308001.doc Revised~ B/20/98 Pages ORANGE COUNTY SANITATION DISTRICT Series 2000 Refunding COPs Financing Schedule JANUARY FEBRlJAR\· s M T w T F s s M T WT F s s l 1 2 3 4 5 2 3 4 5 6 7 8 6 7 8 9 10 11 12 5 9 10 11 12 13 14 15 13 14 15 16 17 18 19 12 16 17 18 19 20 21 22 20 21 22 23 24 25 26 19 23 24 25 26 27 28 29 27 28 29 26 30 31 APRIL !\IA y s M T w T F s s M T w T 1 1 2 3 4 2 3 4 5 6 7 8 7 8 9 10 11 9 IO 11 12 13 14 15 14 15 16 17 18 16 17 18 19 20 21 22 21 22 23 24 25 23 24 25 26 27 28 29 28 29 30 31 30 Date Activity • 1st draft of Installment Ptirchase Agreement distributed Jan14 x Jqn20 x Kick-off meeting to discuss legal strutture Feb3 x Review 1st draft of ratings presentation and revised casltflows (9:00 a.m. at District) Feb. 9 x F AHR Committee meeting (5 :00 p.m.) x Financing progress report Feb JO x 1st draft of P.O.S. distributed Feb 14 x I 51 draft of Trust Agreement distributed Feb 17 x Meeting to review legal documents and P.0.S. (10:00 a.m. at OH&S) Feb21 x Market Holiday (President's Day) Week o/316 . Conference call to review ratings presentation & cashflows Mar8 • FAHR Committee meeting (5:00 p.m.) • Financing progress report Mar9 • 2nd draft of legal documents distributed • 2nd draft of P.O.S distributed Paine Webber March 1, 2000 M T w T F s 1 2 3 4 6 7 8 9 10 11 13 14 15 16 17 18 20 21 22 23 24 25 27 28 29 30 31 F s 5 6 12 13 19 20 26 27 Responsibility BC All-Hands OCSD,PW OCSD OCSD,PW UC BC AU-Hands OCSD,PW OCSD OCSD,PW BC UC March 1, 2000 Mar14 • Meeting to review legal documents and P.O.S. All-Hands (10:00 a.m. at OH&S) Mar16 • Meeting to review draft rating agency presentation OCSD,PW (as needed) Week of 3120 • Review proposed legal structure with rating analysts PW • Commence discussiens with Ambac and swap providers PW,BC • Begin preparing paclrnge for liquidity banks PW • Continue revising rating agency presentation OCSD,PW • Rating agency facilities tour (ifrequested) OCSD, PW Mar 22 • District Board meeting OCSD, PW Mar23 • 3rd draft of legal documents distributed BC • 3•d draft of P.O.S distributed UC • Distribute documents to rating agencies BC,UC • Distribute liquidity facility bid package PW Mar28 • Meeting to review legal documents andP.O.S. All-Hands Weekof4/3 • Finalize rating agency presentation OCSD,PW Apr 11 • Rehearsal for rating agency presentations (tentative) OCSD,PW Apr12 • FAHR Committee meeting (5:00 p.m.) OCSD • Approval of non-profit Financing Corporation OCSD, BC • Financing progress report OCSD,PW Apr 13114 • Rating agency presentations (tentative dates) OCSD,PW Apr21 • Market Holiday (Good Friday) Apr26 • District Board meeting OCSD • Approval of non-profit Financing Corporation OCSD,BC May3 • Receipt of ratings OCSD, PW May 10 • FAHR Committee meeting (5:00 p.m.) OCSD • Approval of bond documents OCSD,BC,PW May24 • District Board I Financing Corporation meetings OCSD • Approval of bond documents OCSD,BC,PW May25 • Print Official Statement UC,PW • Begin pre-marketing COPs PW May26 • Mail Official Statement OCSD,PW May29 • Market Holiday (Memorial Day) Paine Webber • March I, 2000 May30 • Price advance refunding of Series B OCSD,PW (Establish fixed rate through August 2001) June 13 • Price current refunding of Series A & C OCSD,PW (Daily VRDOs, Sold no less than 15 days after Series B) June 14 • Close all refunding components All-Hands 811101 • Series B COPs called with escr-0w funds X -Denotes completed activity. Key Role Participants ocso Issuer Orange County Sanitation District BC Bond Counsel Orrick, Herrington & Sutclitfe PW Underwriter Paine Webber Incorporated UC Underwriter's Counsel Hawkins, Delafield & Wood Paine Webber \ r J ' ) J J Callan Associates Inc. Investment Measurement Service Quarterly Review Orange County Sanitation District December 31, 1999 The fo llowing statistical analysis was prepared by Callan Associates fuc. utili zing secondary data from statements provided by the plan trustee and/or custodian, CAI computer software and selected infonnation in CAC's database. This report may also contai n returns and valuations from outside so urces as directed by che client. CAI ass umes no res ponsibility for the accuracy of these valuations or return methodologies. Reasonable care has been taken to ass ure the accuracy of the CAI compuler software and dacabase. CAI di sclaims responsibility, financial or otherwise for the accuracy or completeness of this report. Copyright 2000 by Callan Associates Inc. 1 t l \ l J Capital Markets Review . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . • . . . . . 1 Active Management Overview Foreword . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 Domestic Fixed-Income ..................................................... 10 Asset Class Risk and Return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 I Investment Manager Asset Allocation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 Investment Manager Returns ................................................. 13 Manager Analysis PIM CO-Liquid Operating Monies ............................................. 14 PIMCO-Liquid Operating Fund ........................................... , .. 15 Bond Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 Portfolio Characteristics Detail . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 A Brave New Economy? As the new year unfolds, the economy will likely move into its I Qlh year of expansion. Is this record expansion re- ally the result of a "new" economy? Despite yearnings for a brave new world, there are few indicators that the U.S. l economy has changed in any dramatic or fundamental way. ( SIW JHl[Jt: J ., ) Technology Keeps Going ... and Going ... WhHe a stronger-than-expected economy sapped the com- peting bond market's strength, broad U.S. equities gained 16.83% in the quarter. Technology-related stocks, which bulldozed ahead 39.41 %, supplied much of this market's juice. Without Technology, equities gained about 8.5%. (see f)(tfJ<' .:! ) U.S. Treasuries Under Pressure Again U.S. Treasuries fell for the fourth consecutive quarter, as a strong economy and low unemployment prompted the Fed to raise rates again. The long end suffered the most. Spread products generally fared better, particularly in the high yield sector. Overall, the broad fixed-income market was flat. (.~ee payi.; 4) The Real Estate Corner NAREIT watchers continued to wonder where the bottom of the public REIT market was, as the REIT index fell an- other 1.76% last quarter. For the year, NAREIT lost about 6.5%. However, the private real estate market gained al- most 11 % in 1999, based on Callan's preliminary data. ( :;ee (W!JC f) J Foreign Stocks Show the Money Both Europe and Pacific equities handsomely rewarded faithful investors. MSCI EAFE gained 16.98%. Driven by renewed economic growth and increasing M&A activity, Europe advanced 17.39% during the quarter.A rising yen and additional government stimulus helped to push Japan equities ahead 15.51 %. r.•we ]Ulf)t; (j) BondsAbroadWobble as Euro Sinks Euroland bonds sank 6% in dollar terms during the quar- ter, as a despondent euro lost ground. Meanwhile, the ris- ing yen rescued unhedged investors from anemic local gains in Japan. Overall, bonds in developed markets slipped 1.58%. Bolstered by waning Y2K concerns, emerging market bonds finished the year strong lsr.o:r p11!JH 8 ) Alternative Thoughts The fourth quarter yielded an unprecedented $45 billion in new private equity commitments, driving 1999 to a new funding record of over $95 billion. Venture capital cap- tured the lion's share of new commitments, as fund par- ticipants reinvest proceeds generated from sizzling IPO markets. ('iC't! fltl!JI~ I 0) All Things Considered Except for Taft-Harley plans, the median institutional in- vestor harvested double-digit gains last quarter, based on Callan estimates. Supported by typically he~vy domestic and international equity exposures, corporate plan spon- sors led the group with a median 10.49% gain. (S<'I! /Hl.<JC: J 2) Broad Market Returns -Fourth Quarter 1999 20% 15% 10% "' ~ "' ~If',- Or.t U.S. Equity Non-U.S.Equil)I (C~ll'1ll Broad Markell (MSCr EAFE) -O.f2% U.S. FiJ<ed (L.B Aggregate) Non-ll.S. Fix~tl (SSB Non-U.S.) 2.97% Rcnl Esrnu: (CallM Real Estate) Cash l90-0~y T-!lil.ls) u \II I ltt'l. \ I " 1 1 .. [1 1 t.1 .. 1 ., . I\ I' ,, \ ii (I I; \I I 1 111, Technology Keeps Going ••. and Going ••• and Going Like the Energizer bunny, technology drove the stock market crazy with its relentless pace of evolution last quarter. Its celebrated ben- efits of increasing productivity and lowering costs in the economy empowered U.S. stocks, particularly small ones, to march ahead boldly through the quarter's sinister scene of rising interest rates. Despite solid productivity gains rolling over inflation concerns, a stronger-than-expected economy sapped the competing bond mar- ket, pushing long-tenn Treasury yields up 0.44% and forcing the Fed to increase its funds rate again. Nevertheless, with consumer confi- dence reaching 31-year highs during the quarter, equity investors fear- lessl y plowed through the hurdles of higher implied discount rates. For the faithful, earnings would keep growing ... and growing. The Callan Broad Ma rket Index of the 2,000 largest U .S.-traded stocks, excluding AD Rs and other foreign shares, advanced 16.83%, includ- ing dividends, in the quarter. Technology-related stocks supplied much of this market's juice last quarter. Mesmerizing investors with the allure of faster earnings growth, the Broad Market's Technology sector bulldozed ahead 39.41 %1 Its index weight grew from 25% to 30% over the quarter. Leading the charge was Qualcomm Inc. (+272.38%). For the full year, Technology gained 81.17%. Even without Technology, the Broad Market's remaining ten eco- nomic sectors gained roughly 8.5% in the last quarter. Drumming up support from seemingly unstoppable consumer spending, Consumer Cyclicals gained 17.74%. Home Depot (+50.39%) and Wal-Mart ( +45.45%) made signHicant contributions to this sector's move. The quarter's rising interest rates, however, drained strength from the slow-growth sector. Public Utilities (-4.90% ). Its electric power industry (-7 .28%) particularly faded, as it continued to struggle with deregulation and higher fuel costs. Even though crude oil futures neatly hit nine-year highs in the quarter, the Energy sector only man- aged to draw a meager 0.60% gain. Although industry exposure was the quarter's critical factor affect- ing performance, capitalization was still important. The best show- ing came from the Broad Market's bottom 1,500 stocks in the Callan Small Cap Index ( +24.48% ). While the market's largest 150 stocks in the Callan Large Cap Index (+16.93%) closely matched the to- tal market return, the next 350 stocks in the Callan Medium Cap Index (+9.87%) lagged. Given Technology's strong performance, Callan's growth style in- dexes dominated perfonnance in the quarter. To isolate value and growth styles, Callan divides its capitalization indices evenly by price- to-book, creating sub-sectors of growth-and value-oriented stocks. In the last quarter, the Callan Large/Medium Cap Growth Index (+19.91%) easily scampered past fue Large/Medium Cap Value I ndex(+ 10.63%). In the race of smaller contestants, the Callan Small Cap Growth Index ( +43.45%) clobbered its Value Index counter- part (+3.54%). CAPITAL JIARKETr,,,...,. Callan Style Group Ret urns Fourth Quarter 1999 7,,.. -----------------~ ~ lCn • ~ ·~ (J'l l-------1-----+------+-·:::~-;:;:::.~ .1ur.; ,,__ ___ ---1. ____ _.__ ___ ___,_ ___ ___, Large Cap-Gr.,..1h S1yk Urr< s<i;F.'v.iuee Sn1.1ll C>p-Cr°""tl> S1yl< Sm>ll C>p·V>lU< S1yl< 1<1111 Pett'<n\ilc ~J.18 I0.96 S6.11 10.?9 °?SUI Pe<tenlilt 21.80 7,80 4990 891 Mtdllf1 ~Z.70 ,1.47 39.20 4.)l 75th rcrccn1Uc ·~-~9 l.9S 25.06 1.20 90Ch Ptr«n1ilc: l•.15 1.07 17.66 -0.71 S&PG!0>\1h So!:PValue Russdl 1000 Omw1h llu1sell 2000 VJlu< De11<hm:11kJ • 19.74 i .97 .l:l.39 Capit alization Sector Performance Fourth Q uarter 1999 l.S3 '"'-==~==:::::?:;::=::i===i::~~ 14~~ :2~ l------1 ~~t---L........:........:........:......,..J----t----+­l~l l----1----+----+----l-e w1 ~ 11·, j 1:~ ;? l«l· .., "" n !~ ,,.. °" 2000 40!' ~ l"ctT«!t of 'Yolal ;\tiil'krt Orph,g,llmdon Economic Se cto r Performance -Ca llan Broad Market Fourth Quarter 1999 T'r<.h•)l."'•'r.-' c~..-utlnll'r C.)'irikil C.·f"ii .. 1C.-.llh t'1'1MlllW'fiwpl..., fin.ei+cbl' MtiW1Cire "'na11Af'\>n.Atll)t1 'F..nt~ 11.,,-;: IO,IYJ. Vlili!iu ,.:4.:;;.~:....·.;=~-+---+--+--+--.---+--+-----< -It"< ·'ll VI" Y> l!'.l ll'I 11>1> ll'~ >~ )Y,t 'Ir. ·~ Ri:ti.m Rolling One-Year Relative Returns vs. S&P 500 i .... t )'!. i ~ 1.L-4--.'-:..L--....;:..1.-.u,..__,l'---~-..,.__......__--I 3 ~ .;l',l. j .,,, "' Ill! at• tll tl u If tf ..... , •t ... 'It 'J1 '"J \ti .... S'J • '11 ...._ ~· l U.S. EQUITY Style Median and Index Returns* for Periods ended December 31, 1999 Last Last Last8 Last5 Last 10 Last 15 Quarter Year Year Years Years Years I ;' Large Cap-Broad Style 14.41 20.16 26.02 26.78 17.66 18.31 Large Cap-Growth Style 22.70 30.19 33.52 31.00 19.78 20.15 Large Cap-Value Style 4.47 5.78 15.83 20.71 15.21 16.68 Aggressive Growth Style 40.55 60.01 33.42 30.56 21.70 22.88 Ccmtrarian Style 1.93 7.51 15.08 19.42 14.82 15.78 Core Style 14.76 21.14 26.65 27.96 18.25 18.46 Yield Style 1.95 0.91 14.87 19.58 14.28 16.33 CAI Broad Market Index 16.83 22.74 26.20 27.23 17.64 18.17 CAI Large Cap Index 16.93 24.39 31.73 31.82 19.32 19.55 S&P 500 14.88 21.04 27.56 28.56 18.21 18.92 NYSE 10.16 10.92 20.42 23.45 15.72 16.87 Dow Jones Industrials 11.59 27.17 23.34 27.04 18.38 19.67 I• Mid Cap-Broad Style 23.52 19.38 19.46 23.70 18.63 17.96 Mid Cap-Growth Style 42.71 61.09 29.75 28.98 21.42 20.09 Mid Cap-Value Style 4.20 2.52 13.56 17.37 14.60 16.J 1 CAI Medium Cap Index 9.87 8.84 17.09 20.56 14.83 16.35 S&P MidCap 400 17.19 14.73 21.81 23.05 17.32 18.34 I II I 11 Small Cap-Broad Style 17.10 16.51 13.60 19.58 16.73 17.07 Small Cap-Growth Style 39.20 51.36 21.03 22.89 20.44 19.89 Small Cap-Value Style 4.31 4.05 10.39 15.05 14.02 15.37 CAI Small Cap Index 24.48 33.87 19.48 21.34 15.81 16.12 CAI Micro Cap Index 15.10 24.36 13.19 19.06 14.44 13.36 S&P 600 Small Cap Index 12.46 12.40 11.69 17.04 13.04 12.00 Russell 2000 18.44 21.26 13.08 16.70 13.40 13.23 NASDAQ 48.26 86.10 47.14 40.84 25.67 21.92 Basic Materials 9.92 19.89 6.33 10.31 9.28 13.01 Capital Goods 11.59 26.17 20.64 24.75 15.28 16.95 Communications 14.32 24.51 37.86 Consumer Cyclical 17.74 18.91 25.68 21.87 15.60 17.15 Consumer Staples 10.15 -1.75 15.84 21.51 16.22 20.39 Energy 0.60 19.31 11.90 18.38 11.32 14.10 Financials 8.09 1.56 18.66 28.03 18.53 17.62 Health Sector 5.26 -5.01 22.27 Utilities -4.90 -8.70 8.65 13.51 9.24 13.37 Technology 39.41 81.17 53.59 46.47 28.88 20.68 Transportation 2.48 -4.15 6.02 13.64 10.64 12.46 U.S. Equity Index Characteristics as of December 31, 1999 Callan Callan Callan Callan Callan S&P Broad Large Medium Small Micro ,500 Cap Range•• ($MM) 431-604,078 17 ,608-604,078 4,494-17,513 431-4,465 94-430 361-604,078 #Issues 2,000 150 350 1,500 1,000 500 % of Callan Broad 100% 67% 18% 15% NIA NIA Wtd Avg Mkt Cap $J20.9B $174.7B $11.5B $6.5B $0.6B $142.5B Price/Book Ratio 10.6 11.9 7.5 8.5 6.2 10.6 PIE Ratio (forecasted) 33.9 37.0 25.3 26.2 21.2 34.5 Dividend Yield l.1% 1.0% 1.4% 0.8% 0.7% 1.1% 5-Yr Earnings (forecasted) 18.5% 17.9% 17.5% 22.5% 20.8% 17.7% • Returns less than one year are nor annualized. .. As reconstituted for 2000. CAPITAL MARKET.m.v /(mrth (/llOrL~·r T1>9fJ U.S. Treasuries Under Pressure Again The fourth quarter continued the disappointing trend for the U.S. bond market in 1999. Prices on most bonds fell, sending their yields -which move in the opposite direction -higher. Despite the notable absence of inflation during the quarter, the Fed raised the Federal Funds rate 25 basis points to 5.5%. The move was seen as a "pre- emptive strike" against the risk of future inflation. Continued eco- nomic growth and low unemployment acted as the Fed's ammunition for their action. This most recent hike by the Fed brought its tighten- ing moves to an annual total of75 basis points. This environment proved particularly difficult for Treasuries, as the U.S. Treasuries fell for the fourth consecutive quarter. The 30-year bond yield closed at 6.48%, up from last year's close of 5.12%. In addition to inflation fears hurting fixed-coupon Treasuries, rising real rates to fund the fast-paced economy also added to the credit market's pain. This additional strain showed up in the markets for the inflation-protected Treasurys, or TIPS. Though insulated from the ills of rising inflation, the Lehman Brothers TIPS Index yielded a 0.0% return in the quarter, as the real yields rose from 4.04% to 4.25%. On a positive note, spread products fared better than their Treasury counterparts, with all spread sectors outpacing Treasuries. The mod- est gains in both the Lehman Brothers Mortgage Index ( +0.38%) and the Lehman Brothers Corporate Index (+0.03%) were not enough to keep the Lehman Brothers Aggregate Index (-0.12%) from finishing the quarter in the red. The high yield sector was the top dog for domestic fixed income in the fourth quarter with the Merrill Lynch High Yield Master Index up 1.08%. Historically, high yield bonds have outperformed invest- ment grade bonds during periods of rising interest rates. Strong mu- tual fund and CBO-driven buying, dwindling street inventories and a limited new issue calendar provided further support to the high yield markets, The long end of the curve suffered most of the pain, as evidenced by the decline in the Lehman Brothers Long Government/Corporate Index (-1.50%) versus a gain in the Lehman Brothers Intermedi· ate Govern ment/Corporate Index (+0.05%). Although the equity markets continued a feverish pace, the broad credit markets experienced anemic results, suffering its toughest year since 1994, and the second worst on record. Investor concerns of an overheating economy and re-surging inflation will likely continue to plague the fixed-income markets in the new year. Callan Style Group Returns Fourth Quarter r 999 ... ..------.------.,.----.-----., --~1 1-----....-"'---4--i:~.;;;;;;;;.-+-----l-----I ... ~ ID~Ttnedl'tt Corr D1>ua E..<otndcd M"""'>' HlJh YlcrJ Si)·I< S11k Sty~ Sly!< t~Pc-tttt1lUc o.H O.?l ·-0.:!7 .., 41 !Sib rt1c:ca.dJe O:J' 0.1!. .0.88 J.11 ~kdilD 0.16 .o.~ 1.40 l.lS ?Slh Ptu!'!t1tilr 0.0$ ...().ll ·'.l.30 '67 '90lh rtrmuHc -4.0S ·O.Jl J.)l O.ISJ ~ "' ~ ~ 8tn<hmolt• J.IJ" O.Sw O.OI} •11~ LB OoviCOf{> fntet L8CW'(QpB4 LS Bc»•Corp Looc • OJIS -4.<t .1,,0 Secto r Performance Fourth Quarter 1999 LB Univorsal lnd~x -0.38% LB Aggrr~•ue lnilo• --0.1'2'.C. LB Gov Bd OJ!l._ LB Col\) HlJ~ Yield 1.6l LBCorpBd LB Corp High LB Mr~ Backe<! Yield Sec -0.6311 U.S.TreasuryYield Curves 1.0 Fourth Q uarter 1999 6.5 6.0 L---------------· ... ----- ~ 5.5 > r .--End 4th Qu~ner 199!1 f -• -llegiwin~ 4111 Qll.llTcr 1999 f -... .,. ·· End ol!h Q11~ner 1998 ::: -~··-··•··········&-········"··----···········-·······-········-· 4.0 ______ ,__ _ __,,__ _______ _ 0 10 JS 20 Maturity (Years) 2S 30 Effective Yield Spread over LB Treasury Index LB CollJOt<lC Hl,&n Yi<ld -LB Corp Bao Bonds -LB Corp A Bonds -LBC01pA&>llonds --~-- "' .. t:APffAL llAilKETrmnr fi>111 I ft <11wrtn I !J.f)f) l U.S. FIXED INCOME Style Median and Index Returns* for Periods ended December 31, 1999 Last Last Last8 Last5 LastlO Quarter Year Year Years Years I• r. ' [I 'I I Active Duration Style -0.34 -2.11 5.59 7.52 7.82 Core Bond Sryle -0.03 -0.86 5.84 7.84 7.98 LB Aggregate -0.12 -0.82 5.73 7.73 7.70 LB Govt/Corp -0.41 -2.15 5.54 7.60 7.65 LB Govt -0.63 -2.24 5.58 7.44 7.48 LB Corp O.Q3 -1.96 5.48 8.18 8.21 SSB Broad Investment Grade -0.16 -0.83 5.73 7.74 7.75 E:ctended Maturity Style -1.40 -6.96 6.10 9.43 9.04 LB Gov/Corp Long -1.50 -7.66 5.73 8.99 8.65 LB Gov Long -2.07 -8.73 5.88 9.03 8.58 LB Corp Long -0.47 -5.78 5.24 8.79 8.68 SSB High Grade -0.79 -7.45 5.00 8.35 8.36 " ' Intermediate Style 0.16 0.69 5.65 7.21 7.51 LB Gov/Corp Intermediate 0.05 0.38 5.50 7.10 7.26 LB Gov lntennediate -0.05 0.49 5.50 6.93 7.10 LB Corp Intermediate 0.27 0.16 5.53 7.77 7.88 . Defensive Style 0.84 3.51 5.75 6.67 6.98 Actfre Cash Style 1.33 4.94 5.68 6.01 6.01 Money Market Funds (net nf fees) 1.24 4.64 4.92 5.06 4.85 ML Treasury I-3Year 0.60 3.06 5.55 6.51 6.59 90-day Treasury Bills J.25 4.85 5.14 5.27 5.11 High Yield Style 2.35 4.53 7.49 10.95 12.31 LB Corp High Yield 1.63 2.39 5.56 9.31 10.71 CSFB High Yield 2.08 3.29 5.37 9.07 11.06 ML High Yield Master J.08 1.57 5.91 9.60 10.79 ' . I I Mortgages Style 0.29 1.74 6.19 8.16 8.18 LB Mortgage-Backed Securities 0.38 1.86 6.06 7.99 7.77 LB Asset-Backed Securities 0.27 1.81 5.62 7.02 U.S. Fixed-Income Index Characteristics as of December 31, 1999 Lehman Brothers Indices LB Aggregate LB Govt/Corp Intermediate Long Term LB Govt LB Corp LB Mortgage LB Asset-Backed Securities LBCMBS LB Corp High Yield Yield Modified Adj. Average % of To Worst Duration Maturity LB G/C 7.16 % 4.92 8.86 Yrs. 100.00 % 6.96 5.30 9.69 100.00 6.83 3.43 4.33 70.97 7.28 9.87 22.79 29.03 6.58 5.12 8.72 65.98 7.70 5.66 11.56 34.02 7.51 4.27 7.60 7.21 3.07 3.82 7.52 5.33 7.11 11.54 4.69 7.95 * Rerums less lhan one year nrc nor annualized. /f>un Ii q1111r1 . .-1 J!){)l) %of L'B Aggregate 100.00% 63.07 44.76 18.31 41.61 21.45 34.16 1.34 1.43 Last 15 Years 9.44 9.48 9.22 9.09 8.85 9.80 9.27 10.91 10.74 10.87 10.57 10.49 8.79 8.41 8.26 8.99 8.03 6.86 7.51 5.81 I 1.91 11.12 11.35 11.33 9.81 9.54 l Fore ign Stocks Show t he Money The stellar returns in global equity markets in the fourth quarter topped off what turned out to be an outstanding year for international equity investments. The MSCI EAFE Index pulled ahead of the S&P 500 by 210 basis points with a gain of 16.98%. All markets in EAFE had positive returns in both dollar and local currency terms. For the quar- ter, the best performing market was Finland ( +89.20%) and the worst was Ireland (+0.37%). For the year Finland, led by a surging Nokia, rose an astounding 152.60%. Europe Driven by renewed economic growth and increasing merger and ac- quisition activity, Europe took the lead during the quarter with the MSCI Europe Index rising 17 .39% ( +23.20% in local currency). The euro reached a low for the year of 1,001 on December 2 and Jost 5.88% over the quarter. Overall, the euro lost 14.64% for the year, detracting from returns for U.S.-based investors. The Information Technology and Telecommunication Services sectors led their more cyclical counterparts in the fourth quarter, with gains of 29 .08% and 21.60%, respectively. These growth-oriented sectors also led the year with returns of 113.86% and 62.88%. In contrast to the third quarter, growth stocks outperformed value. The MSCI Europe Growth index posted gains of 25.89% compared to 9.57% for value. Showing signs of renewed economic strength, France and Germany returned 21.44% and 26.89% respectively. The MSC! United King- dom Index gained 10.14%, even with the sterling losing 2% against the dollar. Pacific Basin While returns in Europe led the Pacific in the fourth quarter, the Pa- cific carried the year. The MSCI Pacific Index for the quarter and year was up l 6.14% and 57.64%, respectively. The Japanese govern- ment announced yet another economic stimulus package that would, among other things, provide loans to small and mid-size firms. Japan rose 15.51 % during the quarter on the back of a strong Japanese yen. The yen gained 4% during the quarter and 10.2% for the year. Growth stocks in Japan continue to outperform value, returning 25.19% ver- sus 5.49%; NITDoCoMo was a particular standout. Talk of China's entry into the World Trade Organization fueled opti- mism in the region. Hong Kong, aided by news of a rise in third quarter GDP, jumped 29.42%. Singapore also posted strong perfor- mance (+25.09%). Emerging Markets The MSCI Emerging Markets Free Index gain of 25.44% for the quarter brought the 1999 return to an amazing 66.42%. Strong per- formances in Brazil (+58.87%) and Mexico (+37.03%) drove the MSCI Latin Index to a rise of 33.28%. ln the Asian markets, returns varied from a 16.61 % loss fo the China Free index to a 41.28% gain in the Indonesia Free. The EMF Asia and Europe & Middle East components returned 18.08% and 31.17%, respectively. Callan Style Group Returns Fourth Quarter 1999 ·~·~~~~~~~~~~~~~~~~~ JD« -- Glob>IE<)ulty St)'!< N""·U.S. ~ulty f.m<tti_n1 M•~« S1ylt f.t!O~ lolh P<r<c~olt ~ 1.~J J?.U 4511 ?5th Ptrcem1I~ 2~.73 25.JO )!llS Medi.t1t I 6.~.4 i1l7 32.5i ?Sth PtJt..~otlJe. 9.67 111) 1~50 901h Pttcc nUI~ $..$? 9.11 21.91 MSOWodd tknthm.J:rks a J6.a7 MSCI EAFE MSO l!m<>; M•.U" r.,.. 16.91 ZS.-1< 30.D!> 25.0'Y 15.0';. 10.()',\ O.<Y'i Regional Performance {based on US$) Fo urth Quarter 1999 MSCIACWI Fre~(<• US)-18.16-:1- MSCI EAFE -16.98% MSCI l!uropc MSCI Jap.111 MSCI !'Jc Ex·Jp11 MSCJ E~rg Marl«t.s Fro<> Ro lling One-Year Relative Returns vs. MSCI EAFE US$ ; J(I•; ~ 4!1Y~ ~'or. ~ (I'<. ~ ~ ;w ... b ~ ::w1r " :i .)l.\'l :. :I: ·~Wt MSC! Pacific -MSCI Europe -MSCI E1\FE -l<l'l 1.......---==========---------' "' " Major Currencies vs. US$ C umulative Returns Over Last 25 Years l«>< ,.--~~~~~~~~~~~~~~~~~-. -lapAncscYrn Gtrmnrl M'1rkll'uro .11~1. -UK Sc-:rllng 100'1 ,,.. tf\f; '--------------------' /n11/'/ It <11111rl<'r f.C).<).') t 111/w1 b.~od111c·~ 111«. (; 1 } j INTERNATIONAL EQUITY Style Median and Index Returns* for Periods ended December 31, 1999 Last Last Last 8 Last5 Last 10 Quarter Year Year Years ]'ears Global S1y/e 16.84 30.67 19.11 19.0/ IJ.08 No11-U.S. Style 23.37 35.40 18.99 16.77 11.lM Core Style 20.34 32.86 18.48 15.80 10.90 Top Down Sry/e 18.06 32.02 19.52 15.82 11.09 Bottom Up Style 20.86 33.15 18.25 16.66 12.08 Small Cap Srylc 19.07 49.66 12.69 10.89 9.69 MSCI EAFE-Unhedged 16.98 26.96 15.75 12.83 7.02 MSC! EAFE-Local 19.34 33.46 19.37 15.70 6.50 MSCl Wodd-Unhedged 16.87 24.94 21.60 19.76 11 .42 MSC! World-Local 17.95 27.68 23.56 21.3 l 11.01 MSC! AC World Free ex U.S.-Unhedged 18.16 30.91 15.20 12.39 7.30 MSCI AC World Free-Unhedged 17.35 26.80 21.16 19.19 11.71 ... Pacific Basin Styli! 22.93 76.04 9.89 6.59 6.76 Japan St_vle 16.20 84.77 16.85 6.24 4.96 Pacific Rim Style 30.90 66.90 -1.46 4.71 IJ.73 MSCI Pacific-Unhedged 16.14 57.64 6.37 2.49 0.30 MSCI Pacific-Local 12.30 44.56 3.90 3.37 -2.34 MSCI Japan-Unhedged 15-51 61.53 9.00 1.96 -0.85 MSCI Japan-Local 11.04 46.57 4.53 2.48 -4.17 'I :1, 'I Europe Style 20.62 21.40 23.38 23.70 15.50 MSCI Europe-Unhedged 17.39 15.90 22.62 22.12 14.04 MSCI Europe-Local 23.20 29.92 29.90 25.38 15.41 , 1· ' I E111agi11g Marker.~ Database 32.53 72.0/ 6.69 6.17 15.12 MSCI Emerging Market Free 25.44 66.42 3.18 2.00 11.04 • Rctums less lhnn one y~:ir :1re not :umualiz.cd. Return Attribution for EAFE Countries Country Weights -EAFE As of Dece mber 3 I, 1999 Fourth Quarter 1999 Country (by wti.l(ltt) Total Local Japan 15.51~ I 1.04<,I: United Ki.ngdom 10.14 12.54 Gean:111y 26.89 34.82 Fr:mce 21.44 29.02 Switzerland 3.18 10.06 Nethulands 12.50 19.52 h~ly 13.61 20.71 Spain 16.18 23.43 Australia 8.65 8.36 Honk Kong 29.42 29.51 Sweden 46.24 52.40 Finl:ind 89.20 101.02 Belgium 3.29 9.74 Singapore 25.()<) 22.55 Denmark 10.92 17.97 Portugal 13.56 20.65 Ireland 0.37 6.64 Norway 7.65 11.61 Austria 1.04 7.35 New Zeal:ind 13.55 12.44 Currency 4.03>'c ·2.13 -5.88 -5.88 -6.25 -5.87 -5.88 -5.87 0.27 -0.07 -4.04 -5.88 -5.88 2.07 -5.98 -5.88 -5.88 -3.55 ·5.88 0.99 Jl;cw Zc•land 0.1 AustriaO.'?"'.i NorwayOA'if lrcland0.4~ Ponu~.110.5'1''-"~ Dcnm;ul< 0.S'k' ~ Belgium 0,91< Singapore 1.14 - Hong Kong 2..31f- Austr.ili> 2.5'k Sweden 2.7'i< Spain 2.?'i< Finlond 3.0'< J 111n/I 11111111"' ffl'J•J Jopm 27.411i France 10.31< Last 15 Years 17.I 1 18.18 18.15 18.18 18.56 15.95 11.97 16.46 14.30 15.62 17.99 17.68 11.84 7.04 11.56 5.08 22.61 19.66 16.85 UK 19.2<:< Bonds Abroad Wobble as Euro Sinks In dollar terms, the Salomon Non-U.S. Government Bond Index suffered a tough quarter (-1.58%) in a tough year (-5.07% ). In fact, for unhedged investors, 1999 provided the worst calendar year per- formance since the index inception in 1985. ln local terms, the index was nearly flat for both the quarter and the year. Europe Europe lost ground over the quarter, as the European Government Bond Index fell 0.15% and finished 1999 off 2.57% in local terms. Dollar investors suffered from the continued tumble of the euro, which lost 5.88% in the fourth quarter and a whopping 14.64% on the year. japan Thankfully some good news here. Although the government an- nounced plans to issue an unexpectedly large number of bonds next year, its intervention through other means produced a 0.40% local gain for the fourth quarter and a healthy 4.83% return on the year. Dollar investors were rewarded with a strengthening yen, as Japa- nese bonds rose 4.44% and 15.53% for the quarter and year, respec- tively, in dollar terms. Callan Style Group Returns Fourth Q uarter 1999 lh'r----------r-----------, ~.,>-c fl.tY~ '--- .(!.~~~ • --• 40~'---------L----------l IOl)J t'trtLn11lt Htb Pcr.:t"utHc Med.ho 7!'1h Pt:rc(nlilt: •;Ont Pct.,•c'1illr: Bc::nc~m.vta • Gh>luJl:i;c,cd Sl)le o.61 -!~i~ ·!."l ·! Q~ ·1,l) SSB-Wm \.n\' -1!nhtd,-:~d -i.!-1 Emerging Markets StJn·US r:,~,d Sl)lc .o 19 -tJ: I ;~ ·'l.I~ ·H6 SSS ~on..tJS Ckw. Untrt1lf'c•t ·1.$8 Bolstered by lessened Y2K concerns. the JPM EMBI finished a strong year (+25.98%) with a good fourth quarter (+12.58%), helping to narrow spreads over U.S. Treasuries. The Fed's decision to leave rates unchanged at year end also helped the EMBI. INTERNATIONAL FIXED INCOME Style Median and Index Returns* for Periods ended December 31, 1999 Cilobll I Sryfr SSB World Govt-Unbedged SSB World Govt-Local Non-U.S. Style SSB Non-U.S. Govt-Uohedged SSB Non-U.S. Govt-Local JPM Emerg Mkts Bond Index Last Quarter .J.52 -1.34 0.00 -1.32 -l.58 0.27 12.58 Last Year -5.52 -4.27 -0.81 -7.03 -5.07 -0.1 3 25.98 Last3 Year 3.46 3.43 5.75 2.JJ 2.30 5.79 6.27' Last5 Years 7.31 6.41 8.23 6.69 5.90 8.60 16.21 Last 10 Years 8.58 8.03 8.34 9.13 8.60 8.77 Last 15 Years 12.21 10.33 13.18 11.91 8.47 Return Attribution for Non-U.S. Gov't Indices Country Weights -SSS Non-U.S. Govt As of December 3 1, 1999 Fourth Quarter 1999 Country (bv wei~hll Total Local Japan 4.44'k 0.40'k Gcnnany ·6.05 ·0.19 Italy ·6.05 -0.18 France ·6.08 ·0.22 Unite.d Kingdom 0.29 2.48 Spnin -5.94 ·0.o7 Canada 0.18 -1.06 Netherlands ·5.92 ..().04 Belgium -5.88 0.00 Denmark -S.66 0.34 Sweden ·3.08 1.00 Austria -6.04 -0.17 Ausualia ·1.31 -1.59 Finland -5.89 -0.01 Switzedand ·6.13 0.13 Ponug:il -5.82 0.06 Ireland ·6.32 ·0.47 " Returns less than on.:i year :ire nol annualized- "" D~rivcJ from MSC! EAfE tlnto Curttn<'V .. 4.03'k -5.88 ·5.88 -5.88 -2.13 -5.&7 1.25 -5.87 -5.88 -5.98 ·4.04 -5.88 0.27 ·5.88 -6.25 ·5.88 ·5.88 li•111'il1 1(1111/'/t•/' f.1>!1!1 \ J Real Estate Corner Based on Callao's preliminary estimates, the private equity real es- tate market outpeifonned the public real estate securities market by more than 17% for 1999. Callan's real estate database indicates that direct real estate investments gained an estimated 10.72% while the NAREIT Composite Index fell 6.47% in the last year. The gap nar- rows extensively when looking at the income component of the re- turns with NAREIT at 7.59% and NCREIF estimated to be 8.25%. Given the REITs' poor stock performance, it's no surprise that pen- sion funds Jed real estate acquisitions for the year. Demand for property markets remains solid; however, no looming events exist that could boost demand significantly. With most prop- erty markets at equilibrium and no foreseeable upswing, it is timely for investors to concentrate on acquisitions with higher income re- turns than appreciation potential. Within the property sectors, office and hotels are the most suscep- tible to downward shifts in the economy, but Central Business Dis- trict office and luxury hotels still exhibit signs for increased income potential, as new supply has been slow compared to other sectors. E- commerce continues to be a threat to the retail sector, while indus- trial investors are trying to capitalize on the shift by acquiring assets ideally situated for shipping and distribution. Apartment demand re- mains high and, according to 'forto Wheaton Research, rent increases are expected to outpace inflation. Both Teno Wheaton and Prudential forecast property markets to soften slightly in 2000. With the softening of property markets coupled with the Federal Reserve raising interest rates in November, we should see upward pressure on property capitalization rates (i.e., net operat- ing income/purchase price) in 2000. The KorpaczReal Estate Inves- tors Survey estimated the overall capitalization rate to be 9.13% in the fourth quarter, one basis point lower than the previous quarter. ;: S:1'~ i f .V\~ ~ ~1.1': " . ~ H\t~ ~ II'.: ~ ,,. ~·!tr'~ ~ . ..,-,, ·YJ'.l. Callan Database Group Returns Fourth Quarter 1999 '""~ .-----------,.--------~ • .to".: ~-------~---------' IO(Jl~J"C(tUik 1.S1i. Ptii:~nute M1tdim 1'1h rt.rcotilt O()ih P((IXl\Glc Rul E1Utt D.!qt\H(' 81(,0 :5 67 :!.97 I 1fi ·0,35 t;CRElfTotal Iii.it.• 1.G? 1-."<> I~ o.g .. 0 LO ·l.16 '-'ARF.li C(ltl)pc»ilc •!.76 NARSIT Composite Sector Performance Fourth Quarte r 1999 -1:w•c======:m•••li Ii\'.. 141, l.!'.1 •I f>t "'• rt--. .,._. -z-; O·• 'J t M••1•f'!' Rolling One-Year Returns -REIT Oatab:>s~ Real E~tatc 03ca1~1~e REAL ESTATE Database Median and Index Returns* for Periods ended December 31, 1999 I • Real Estate Database (11a1 <~flees) NCREIF Total Index** I I REIT Datahase NA.REIT Composite "Rctums less than one year arc not nnnunlizcd. Last Quarter 2.97 2.69 0.9-1 -1.76 Last Year J0.72 I0.92 ·0.65 -6.47 Last a .Thar 14.18 13.68 J.58 ·3.36 30 Larcst qu.:uterly returns not nvaih1hl~: n\tums shown are for p<\rind~ 1~n1t~1l Si<pt.,mnPr }(), 1999 Last5 Years /0.49 11.75 10.94 7.70 Last 10 lea rs 6.46 5.68 I 1.31 8.09 Last 15 Years J 6.57 6.77 6.81 J Alternat ive Thoughts The Year in Review An unprecedented fourth quarter yielded $45.2 billion in new private equity commitments, driving 1999 to a new record of $95.5 billion (a 12% increase over 1998's previous record of $85.3 billion). The previous quarterly fund-raising high was last year's fourth quarter of $29.7 billion. The 361 new partnerships represent a 25% increase over last year's 289 funds. The fourth quarter produced 140 new part- nerships, far surpassing the previous record of 98 in 1997's fourth quarter. Venture capital partnerships represented essentially all the increase in the number of funds. Since the fund-raising figures are preliminary and will likely be revised upward over the next few months, the final 1999 number will probably be over $100 billion. Venture Capit al The liquidity-driven bull market in "new economy" companies and strategies rocketed venture capital to being the most active category this year. Its 37% market share of commionents to institutional pri- vate equity funds is astounding for a category that historically has represented only about 20%. Early-stage funds were the primary ben- eficiary of new capital with l 07 partnerships receiving $16.7 billion in commitments, followed by multi-stage funds with 54 funds gath- ering $11.8 billion. A number of factors are influencing the increase. Venture funds have accelerated the return of capital to investors, requiring investors to reiuvest in new funds Lo ruaintain allocation targets. The venture capi- talists are investing their capital in companies at record rates with many general partners coming back almost annually to raise more pools. The large fund count is not entirely due to new venture capi- talist firms being formed. Existing general partner groups are also creating partnerships more frequently. Funds Closed January I through December 3 I, 1999 Strategy # of Funds $Am t (mil) % Venture Capital 186 35,586 37.3 Acquisition/Buyout 104 34,800 36.4 Subordinated Debt 13 4,262 4.5 Restructuring 8 4,238 4.4 Other 7 1,767 1.8 Fund-Of-Funds 43 14,862 15.6 Totals 361 95,515 100.0 Source: The Pri"are Equity Ana/yJ/ and Buyour.- Buy.outs The $34.8 billion in capital commitments to buyout funds reprt:semetl a decline of about a third in 1999 from last year. WhjJe about the same number of funds were formed, only four "mega-funds" of over a billion dollars were raised compared with eight last year. Investors concerned with the large capital flows into buyout funds in recent years will be pleased to see not only the decline in commit- ments but also the large increase in capital being invested by existing funds. The number of announced transactions climbed to 386, com- pared to last years 306. The last time 386 buyout transactions were completed la one year was 1988. The dollar volume of announced transactions was $62 billion, up over 51% from last year's $41 bil- lion. ALTERNATIVE INVEST MENTS Style Median and Index Returns* for Periods ended December 3 I , 1999 Asset Allocmor Stylt' 60% S&P 500 + 40% LB Agg .. Convertibles D(llabasc CSFB Convenible Securities Marker N!!11tral Equity Style 90-Day T-Bills YECO 100 Index GS Commodity lndex MLM Managed Futures lndex "' Rerums less thun one y.:~r :Ire noc :1nnuttlizcd. La.st Last Last/3 Quarter Year l"ea r 7.90 10.94 18.14 8.88 12.22 18.91 15.07 21.28 17.62 28.34 42.27 21.02 -J.89 -1.95 5.83 l.25 4.85 5.14 47.64 100.74 36.19 2.85 40.91 -3.06 -0.89 0.43 8.02 t •1111/r </111111 • / ,<l!//I Last5 Last 10 Last 15 Years Years Years 19.24 14.57 15.33 20.18 14.14 15.28 19.68 14.98 14.59 20.07 14.83 14.45 8.06 10.84 14.35 5.27 5.11 5.81 29.54 23.37 15.85 7.98 5.54 10.07 9.22 8.24 9.91 < 11//1111. l:.,,.11·i1clv~ lw· fl/ A Brave N ew Economy? As the new year begins, the U.S. economy is about to set a record for the longest expansion in its history. In February, the expansion be- comes 107 months old, breaking the record set in the 1960s, and in April the economy will move into its lQlh year of expansion. ls this record expansion really the result of a "new" economy? Unfortu- nately, there is no definition of the new economy. Despite yearnings for a brave new world, there are few indicators that the U.S. economy has changed in any dramatic or fundamental way. Clearly, there have been changes in the economy over time, but the changes didn't suddenly happen in the 1990s. Cyclical sectors are smaller relative to the total economy. Deregulation has encouraged faster adaptation to market conditions. Indeed, the rise of computer and information technology has allowed the entire economy to react more quickly to economic signals, thus reducing imbalances of the past. However, the overall growth in the economy remains similar to that seen during the last two long expansions in the 1970s and 1980s, and remains well below the spectacular growth of the 1960s. Pro- ductivity growth has increased during the past five years, but is still comparable to the growth seen in the previous expansions. We have simply tuned up the "old" economy and are running on all cylinders. Fed policy (i.e., high real interest rates to keep inflation in check) and luck (e.g., weak overseas markets allowing us to import defla- tionary pressure) have helped to extend this expansion, allowing in- creasing growth and slowing inflation at a stage when the opposite is osually true. Expansions never die of old age, and nothing suggests that an end to the current one is imminent. Real GDP growth clocked an impres- sive 5.7% gain in the third quarter of 1999 and the preliminary esti- mate for the fourth quarter is 5.8%. fnflation is past its trough, as the CPI-Urose 2.74% during 1999, up from 1.6% in 1998. Oil prices doubled during the year, but there is little sign that they are igniting a Inflation -Year overYear ZSt!> ...-------------------~ I<* Pl'r (All Commodities) -CPI (All U!blo Consumers) ?5 76 n 78"79 80 8\ 8l 83 84 85 81> 87 88 89 90 91 9Z 93 gq 95 96 97 98 99 wage/price spiral-oil is a much smaller share of the economy than it was 25 years ago, and energy users are much better prepared to handle oil price volatility. Wage gains remain modest, with average hourly earnings up 3 .6% during the 1999. The Fed and the bond market may be obsessed with inflationary pressures, but this obsession is largely based on faith rather than fact at the moment. The trade deficit continues to hit new records, fueled in part by the strong dollar. Exports are growing as overseas growth improves, but imports continue to climb faster, and the trade gap has been one of the few drags on the economy over the past two years. The stock market continues to power on, fueling wealth and subsequent con- sumer spending. Measured in any rational way-price/earnings, price/ book, market cap/GDP -the market is ridiculously overvalued. How- ever, as even the Fed hasn't been able to provoke a correction, we may have to accept a fundamental shift in the risk premium and per- manently higher p/e ratios (at least until the market falls, the bubble bursts, and all the models are ultimately proven right). The housing market may be our "canary in the coal mine," as starts and sales be- gan to drop in the fall of 1999, the first indication that rising interest rates are affecting the economy. U.S. ECONOMY CPI -All llrDan Consumera (year over year) PPI -Finished Goods (year over year) Employment Cost -Total Compensation Growth Manufacturing Output -Productivity Growth GDP Growth Manufacturing Capacity Utilization (level%) Consumer Confidence Index ( 1966= 1.000) •Estimated t'API'fAL ~IARIIBl' .. n"" Recent Quarterly Indicators 1st Qtr 2nd Qtr 3rd Qtr 4th Qtr 1998 1998 1998 1998 1.4% 1.7% 1.5% 1.6% -2.0% -1.9% -2.9% -3.2% 2.7% 3.6% 4.1% 2.9% 3.6% 0.3% 2.5% 4.3% 5.5% l.8% 3.7% 6.0% 81.8 81.2 80.2 80,l 1.078 J.069 1.035 1.002 j(mrrh <11rr1r11•r /$)!>'• 1st Qtr 211.d Qtr 8rd Qtr tlth Qtr 1999 1999 1999 1999 1.7% 2.0% 2.6% 2.7% -1.7% 0.2% 3.4% 4.2% 1.4% 4.6% 3.4% 3.6% 3.5% 0.6% 4.9% 3.3% 4.3% 1.9% S.7% 5.8%* 79.5 79.5 79.7 80.J 1.059 1.062 1.059 1.053 J J J J All Things Considered Using the median manager returns from the latest quarter and ending asset allocations from the prior quarter, Callan estimates the recent total returns of the institutional investor community. Based on these estimates, the mood of institutional fund sponsors should be far more content than last quarter. The adjacent graph illustrating the range of returns for public, corpo- rate, and Taft-Hartley pension plans as well as endowments/founda- tions shows positive returns across the board last quarter. The table below compares the returns of the four institutional fund sponsors to several benchmarks over longer periods. Choices in asset allocation explain much of the differing performance. Corporate plan sponsors, with their heavy domestic and international equity exposures (49% and 14%, respectively, on average), and rela- tively light fixed-income exposure (30%) led the group with a l 0.44% gain in the fourth quarter. Endowments and foundations were also winners ( + 10.14% ), benefiting from their high domestic equity allo- cations (5 I%) and their relatively low domestic fixed-income expo- sure (32% ). Also performing relatively well (+I 0.04%), public plans were generally rewarded by their greater international equity posi- tion (12%) but hurt by their relatively large domestic fixed-income allocation (36%). Taft-Hanley plans rerumed 8.23% for the quarter, lagging the other groups because of lower equity allocations (42% domestic and 6% international) and greater domestic fixed-income allocation (40%). Callan's balanced manager groups generally maintain well-diversi- fied portfolios and attempt to add value by underweighting or overweighting asset classes as well as by stock selection. In the re- cent quarter, both global and domestic balanced managers lagged their static 60% equity and 40% fixed-income benchmarks. .II) .J() ::0 II) lOlh J"ctC"('Oill:e '!51.h f\'tCC<l\W\' M~th:in 15lh Pl's~vutitc 9CJth f'('tC(T1tilit Callan Style Group Returns Fourth Quart er 1999 h»; .-----~---~---~---~ ..... ···~ ,,..__ ___ _._ ___ _._ ___ __. ___ ___, V.1bl11:J'bn Cor~~r:itt: Pl:m Enoow. t~ou11d DlllbJSC D.uJtuJC. D~1i~!ie 1 l.72 12.61 JJJ ! tl f)! u ;~ ll(•J JO(µ to.~ JU.I• ~6J ~.50 ti 4M ~'~ ~.;,, 4,77 Average A sset Allocation as of September 30, 1999 • Ern.!uwmcnL1Found.11ion T.ir1-IL·u·dc"} Ol1:iklSI' 10)5 tu.I~ = 611$ }..1'l' U.S. Equ<ty !'Ion· U.S. lJ.S. fi«~ Non.IJ,S. llt>I li.<1.11< Ah. Inv. C•>h Equi1y rh«I DIVERSIFIED ACCOUNT DATABASE Database Median and Index Returns* for Per iods ende d December 31 , 1999 Public Plan Da1abase Corporate Plan Database E11dmvment!Ft>11nd11tio11 Darabase Taft-Hartley Database .. 1 . • I Domestic Balanced Database Glolwl Balanced Database 60% S&P 500 + 40% LR AggrP.gate 60% MSCJ World + 40% SSB World Govt * Returns less thnn one ye:ir are no! annualized. Last Quarter J(J.04 10.44 10.14 8.23 7.70 8.72 8.88 9.59 Last Year 13.78 1435 13.69 10.93 9.47 12.21 12.??. 12.91 Last3 Year 15.52 16.33 16.87 15.20 15.87 14.39 18.91 14.63 Last 5 Years 16.66 1837 18.10 16.92 17.51 15.67 20.18 14.66 Last 10 Years 12.30 13.47 12.72 12.07 13.30 Il.93 14.14 10.39 Last15 Years 12.93 14.33 14.02 12.44 14.23 14.96 15.28 14.35 ( 0/11111, bso,·i11/1•~ 1111. I:.! J J J MARKET OVERVIEW ACTIVE MANAGEMENT VS INDEX RETURNS Market Overview The charts below illustrate the range of returns across managers in Callao's Separate Account database over tbe most recent one quarter and one year time periods. The database is broken down by asset class to illustrate the difference in returns across those asset classes. An appropriate index is also shown for each asset class for comparison purposes. As an example, the first bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter. Tbe triangle represents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in the domestic equity manager database. 50% 40% - 30% Cl) e E Q) 20%- ~ 10%- 0% oo•;;., 10th Percentile 251.h Percentile Median 7 51.h Percentile 901.h Percentile lndeit • 80% 70%- 60%- 50%- "' 40%-E =' 30%-q) ~ 20% 10% 0% ti )"r \ Range of S~arate Account Manager Returns by Asset Class Une Quarter Ended December 31, 1999 (J9) Domestic Equity vs S&PSOO 40.80 22.81 14.84 7.29 l.73 14.88 (75 )1-<,_r----11 I Nun-US Equity VS MSCI EAFE 39.82 28 30 23.37 17.25 9.81 16.98 ·-I . Domestic Fixed-lncome vs LBAggrBd 1.30 0.54 0.12 (0 18) 10.J•)) tO 12) I (:>J) Non-US Fixed-Income vs SB Non-US Gov (0. ,.,, (1 .Zll •I 3.ll 12 1-l) 12.S61 I 5lll ~ • Real Estate vs NCREIF Index 8.60 S.67 2.97 l.36 (0.)51 170\ Cash Equivalents vs 3 Mon T-Bills 1.50 1.41 1.34 1.19 1.01 1.25 Range of SeI?_arate Account ~Manager Returns by Asset Class Une Year Ended December 31, 1999 (45) .& (83)~ (66) \U<'/ (23)F3 Non-US Domestic Nun·US Real Cush i'.!ll' "1-'---0-on_1_es_ti_c _...._ _____ ...._ _____ ....._ _____ ...._ _____ ..__ ____ __, 10th Percentile 25th Percentile Median 15th Percentile 90th Percentile Equity VS S&PSOO 58.42 30.69 19.58 7.53 (0.65) E11uity VS MSCIEAFE 62.62 46.96 35.40 28.77 22.15 Fixed-Income vs LB Aggi-Bd 3.78 L93 0.15 I 09) l~.30! Fixed-Income Estate Equivalents vs VS \IS SB Non-US Gov NCREIF Index 3 Mon T-Bills (1 60) 26.73 5.44 CS.521 16.10 5.33 •7.o:l) 10.72 5.06 f8.36l 7.23 4.71 (l0541 0.62 4.21 Indeit • 21.04 26.96 l(J.~!J ! 07) 4.85 Orange County Sanitation District 9 J J _J J J DOMESTIC FIXED-INCOME Active Management Overview Active Management vs the Index High Yield surpassed Active Cash as the best performer among separate account fixed-income styles during the fourth quarter of 1999, but Active Cash won out for the year with a 4.94% return. The Core Bond style group was in negative territory for the quarter, but outperformed both the Lehman Aggregate and the Lehman Government/Corporate Index, with a return of (0.03%). The Core style group's one-year return underperformed the Lehman Aggregate's (0.82%) return, but surpassed the Lehman Govt/Corp Index return of (2. 15%). Extended Maturity funds continued to lag behind in the domestic fhed-income universe, underperforming all other styles as well as both indices for the fourth quarter and the year. Short Duration vs Long During che fourth quarter and the year ended December 31, 1999, duration was a significant factor in domestic fixed-income returns. For the quarter, Defensive funds outperformed both indices and surpassed Extended Maturity funds by 2.24%. Similar standings characterized the returns for the year, as the Defensive style's return of 3.51 % outperfonned the indices and exceeded Extended Maturity's return by 10.47%. Mortgages and Corporates After posting the lowest return among fixed-income styles in the third quarter, the High Yield style group regained some ground during the fourth quarter of 1999 with a return of 2.35%, outperforming all other domestic fixed-income style groups. Mortgage Backed funds did not fare as well, posting a 0.29% return for the quarter and a 1.74% return for the year. The Lehman Brothers Mortgage Index and the Lehman Brothers Corporate Index both made modest gains for the quarter with returns of 0.38% and 0.03% respectively. en E ::i Q3 0::: Separate Account Style Group Median Returns Leh.man Aggrcg::1tc: 1O.l2'i \ for Quarter Ended December 31, 1999 4%~~~~~~~~~~~~~~~~~~~~~~~~~~-t__L_e_h.m~an_G_o_v_u_c_ofl>~: ~i(_lA_J_',_•__. 3'7. ---------------------------------------·-·------------------2551j,·---- '.!% --------f.33% _________ ---------------------------------------- _O_,fi4_o/it _________ -------------·-------0.29%-0.16% 0.19% 0% (().()_':\Cc\ 11'.1 -------------------------------- _\1LY....____ __________________ _ ------------------· ------------------U--tQC..~---·--------------------- 10% Acti ve Cash Defensive lntcrmed Cocc Bond Core Plus Extended Maturi Ly Separate Account Style Group Median Returns for One Year Ended December 31, 1999 Active Mocti:•ige Duration Oacxed High Yield Lehman Aggregate: (().l<~'· l Lehman GovUCorp: ('.:!.I.Sr, ' 5% r-4,94% ----------------______ !-~i'J! __ 0% "'" r ( IO'v \ Active Cash 0.69% Defensive lntermed Core Bond Core Plus (6.\16'7,) fa tended Maturity Active Duration Mortgage Backed Hi h Yi~ld Orange County Sanitation District 1 ..., l 1 l I J J J J J /I Asset Class Risk and Return The charts below show the four and one-quarter year annualized risk and return for each asset class component of the Total Fund. The first graph contrasts these values with those of the appropriate index for each asset class. The second cha1t contrasts them with the risk and return of the median portfolio in each of the CAI Total Asset Class Databases. In each case, the crosshairs on the chart represent the return and risk of the Total Fund. "' E ::I Q3 0:: "' e ::I Q3 er:: 62'4· 6.0% 5.8'7c 5.6% 5.4% 5.2% Four And One-Quarter Year Annualized Risk vs Return Asset "Classes vs Benchmark Indices Total Domestic Fixed-Income i ~ Merrill L nch 1-3yr Govt/Co Lehman Brothers 1-5 r Govt/Co ---tIEJ 5.0% +-----.....------------.------....-------1 0.0% 0.5% 1.0% 1.5% Standard Deviation 2.0% 2.5% 6.2% 6.0'7c 5.8% 5.6'hi 5.4% 5.2'7c 5.0'k 48% Four And One-Quarter Year Annualized Risk vs Return Asset Classes vs Asset Class Median ) I Total Domestic Fixed-Income l Defensive Fixed-Income Style H ...., Mone~ Market Median I 0.0% 0.2% 0 4% 0.6% 0.8% l.0% 1.2% 1.4% 1.6% 1.8% 2.0% 2.2% 2.4% Standard Deviation Orange County Sanitation District Investment Manager Asset Allocation /I The table below contrasts the distribution of assets across the Fund's investment managers as of December 31, 1999, with the distribution as of September 30, 1999. Asset Distribution Across Investment Managers Domestic Fixed Income Long Term Operaling Fund Liquid Operating Monies Total Fund 01'11llge County Sanitation District December 31, 1999 Market Value Percent $302,145,919 100.0% 282,593,851 93.5% 19.552.069 6.5% $302,145,919 100.0% September 30, 1999 Market Value Percent $290,213,128 100.0% 270,912,502 93.3% 19.300.626 6.7% $290,213,128 100.0% l Investment Manager Returns /I The table below details the rates of return for the plan's investment managers over various time periods ended December 31, 1999. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund 's accounts for that asset class. (1) Net of Fees . ..J Orange County Sanitation District 1 J J Vl e 3 0) ~ 0) > ·a Cd ~ ~ PIMCO-LIQUID OPERATING MONEY PERIOD ENDED DECEMBER 31, 1999 /J Investment Philosophy I The Money Market Funds Database consists of actively managed short term funds. highly liquid, short-term financial instruments. These funds invest in low-risk, Quarterly Summary and Highlights • PfMCO-Liquid Operating Money's portfolio posted a 1.30% return for the quarter placing it in the 23 percentile of the Money Market Database group for the quarter and in the 7 percentile for the last year. • PIMCO-Liquid Operating Money's portfolio outperformed the T-Bls by 0.06% for the quarter and outperformed the T-Bls for the year by 0.23%. Quarterly Asset Growth Beginning Market Value $19,300,626 Net New Investment $-11 Investment Gains/(Losses) $251.454 Ending Market Value $19,552,069 Performance vs Money Market Database 7% 6% -(26)~~m> 5% 4% 3% 2% I% (48)!! ·~~~J~~ 0% I Olh Percentile 25th Percentile Median 75lh Percentile 90th Percentile PIMCO-Liquid Opcmung Money • A Net of Fee.-; 8 B T-Bls • Lw.1 Qtuirter 1.35 I 30 1.24 1.17 l.09 1.30 l.27 1.25 Last Yt:ar 5.04 4.87 4.64 4.40 4.15 5 08 4.93 4.85 Relative Return vs T-Bls 025% 0.20%. 0.10'7o 0.05% 0.00% (0.051/,). 10.t0m- 95 1996 1997 1998 1999 I • PrMCO-Liquid Operating Money I I E~~(l'' I 'F6 I 'l ll (25) B ro) (24)1:~r 1 ) (23)~B 9) Last 2 Years Lai.13 Years Last 4-1/4 Years 5.22 5.29 5.32 5 05 5.14 5.17 4.1!5 4.92 4.97 4.61 4.70 4.76 439 4.50 4.56 5.38 5.46 5.50 5.23 5 30 5.34 5.05 5.14 5.18 Money Market Database Annualized Four And One-Quarter Year Risk vs Return 6.0% ......---......---------------. 5.5% D ratino Munu 5.0'i'c D Vl D E ::::i 4.5% Qi ~ D D 4.0% [] 0 0 35% 3.Q"h; +--.-......... ----.--......... --.---.--..----...---1 0.05 0.10 0.15 0.20 0.25 0.30 0.35 0.40 0.45 0.50 Standard Deviation Orange County Sanitation District j J PIMCO-LONG TERM OPERATING FUND PERIOD ENDED DECEMBER 31, 1999 /J Investment Philosophy • I Defensive Style managers aim to minimize interest rate risk by investing predominantly in short to intermediate tenn securities. The average portfolio maturity is typically two to five years. Quarterly Summary and Highlights • PIMCO-Long Term Operating Fund's portfolio posted a 0.62% return for the quarter placing it in the 88 percentile of the Defensive Fixed-Income Style group for the quarter and in the 94 percentile for the last year. • PIMCO-Long Term Operating Fund's portfolio outperformed the ML15 G/C by 0.21 % for the quarter and outperformed the ML15 G/C for the year by 0.13%. Quarterly Asset Growth Beginning Market Value $270,912,502 Net New fnvestmeot $9,999,978 Investment Gains/(Losses) $1,681.371 Ending Market Value $282,593,851 Performance vs Defensive Fixed-Income Style 7%~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ <67)E1,;===!;!i)~l)jj (64>L :I M~l (94)~,.~~:Bl ~t~~ 6%- 5% 4% 3% 2% IOlh Percentile 25th Pcrccniile Median 75tb Percentile 90th Percentile PIMCO-L11ng 'l'crm Opcrm.in.g Fund • I\ ML G/C 1-5 cxcL 13Blls 8 B ML15G/C * 1.12 0.96 0.84 0.72 0.58 0.62 0.38 041 (94) * 4.22 3 79 3 51 3.22 2 87 2.32 2.11 2.19 I AC94l OC95X Relative Return vs MLlS G/C 0.3% L 0.2% - ____ ,__ __ _ Vl E 0.1%-::s ts .c::i:: Q) 0.0% > '.::! "' G3 ~ (0 , .,,, ·- (0.2'/, )- (0.ViJ- 95 1996 1997 1998 1999 I • PlMCO-Long Term Operating Fund I Orange County Sanitation District IMSI 2 Years Last 3 Yeru·s Lust 4-J/4 Years 5.49 5.99 6.21 5.36 5.87 6.09 5.18 5.75 5.83 5.08 5.57 5.74 4.93 5.50 5.66 5.15 5.94 6.05 4.86 5.61 5.75 4.90 5.64 5.79 Defensive Fixed-Income Style Annualized Four And One-Quarte r Year Risk vs Return 6.4% -------....... -----------.. 0 0 6.2% 6.0% 0 "' e El-Ct-::s 5.8% -0 Q) 0 D qp ~ CJ a MLG/C 1-5 excl. BBBs 5.6% 0 5.4% 0 5.2% 0.5 LO 1.5 2.0 2.5 3.0 Standard Deviation J J LONG TERM OPERA TING FUND PORTFOLIO CHARACTERISTICS SUMMARY DECEMBER 31, 1999 /J Portfolio Structure Comparison The charts below compare the structure of the portfolio to that of the index from the three perspecti ves that have the greatest influence on return. The first chart compares the two portfolios across the different sectors. The second chart compares the duration distribution (or term structure). The last chart compares the distribution across quality cells. Treasuries 21 % Sector Allocation Treasuries 56% Global Bonds I% Asscl Backed 0% Agencies l 8'7o CM Os 3% Long Term Operating Fund Duration Distribution Lehman Government/Corporate 1-5 Weighted Average Duration 40'ki .,..., -----,.----...------....---------.--1 • Long Term Operating Fund: 2.30 D Lehman Government/Corporate 1-5: 2.37 .9 35% '-32:4%---- ~ ~ ._ 0 .9 ;g .... 0 0.. ._ 0 30'7o 25'7c 0'7o 100'7c ----____ i4.t~ ------ <1.0 l.0-1.5 1.5-2.0 Quality Distribution 2.0-2.5 2.5-3.0 3.0-3.5 3.5-4.0 4.0+ Years Duration Weighted Average Quality • Long Tenn Operating Fund: Aal ______ J _____ ..........,o __ L_e_hm_an_G_o_v_er_n.,...m_e_n_tl_C_o_rp_o_r_a_te_l-_5,....: _A_a_a~ _______ l~----_______ l_~---_______ J ____ ~_ I I I c 40% ----- v 0 .... v -------0.. 2.0%Q,3% l.7% E:i.L,;;;,;,;;.~~L__;,~~;.i~.ii~.c-=:':=~ll-.1;•;•~r::=:':=~c..l 1~::~~ :r ;.;~:~-:: ::~;~ ~~::~;;; Aaa+ Aaa Aal Aa2 Aa3 Al A2 A3 Baal <Baal Moody's Rating *All Statistics shown on the page are dependent on the securities in the portfolio being recognized (by their Cusip) and priced. In this case 99% of the secunties in the portfolio (by market val ue) were recognized and priced. Orange County Sanitation District LONG TERM OPERA TING FUND PORTFOLIO CHARACTERISTICS DETAIL DECEMBER 31, 1999 Weighted Average Portfolio Characteristics Total Fund, By Asset Class and By Sector Ending Percent Market of Effective Effective Sector Value* Portfolio Coul!nn Maturi Iv Total Fund $304,169,774 100.0% 6.34 5.79 AsseL Baoked $514,228 A~ndes $55. 135,523 C Os $I 0,434.484 Co~rates $76,353,949 Glo al Boa<ls $1,996.740 Mortgages $42,623.653 Trcasunes $64.254.159 Total Fixed-Income $25 l,3 l2, 736 <:ash R11uiv11lenl~ $52,857 ,037 Issuer Name Issue Name Us Trcu.~ury NOlCli . 5.625 913010 I Com mil ·n, 1>ur \inmn Sf Mtg 6.500% 01/1512029 rcdcral Natl Mtg M~11 M edi Preassign 00788 Fedcml Nail Mtg Assn Medi 5.710% 1211snoo8 Dd 1 F1.:dernl Home lJl Mt~ Curp 6.000% 07120/2001 Dd 0 0.2% 6.28 l.05 18.1 % 5.96 3.91 3.4% 6.92 15.04 25.1% 6.74 2.84 0.7% 6.16 3.36 14.0% 6.48 2L78 21.l% 6.65 3.48 82.6% 6.50 6.96 17.4% 5.55 0.25 5 Largest Holdings Ending Percent of Pu1·tfulio SCl.'tor Treasuries Mortg~cs /\uencrcs A,;en1:ies Agc11clcs Market Value $2.3.530.5116 $20.176.245 $15.231 ,150 $1~.157.120 $1'.!,725.416 77% 6.6% 5.0% 4.4% 4.2% 5 Lowest Rated Holdings (Moody's Rating) liSucr Nnme lss111.• Name Long Island 1.tg Co Deb 8.20% 3115/20!3 CounLrywidc HQmc Loan-Glob6.850 6/15/04 Hullur Finl lm: Medium T~ Tranche# Tr 00225 D l'npulur Inc Medium l'crm Nl Tranche# Tr 00004 Dl Huller Finl tnc Atg Rt 06/25/2001 Dd Sl'cll1r Corporntl!.~ Corporates Corporates Corporates Corporates Ending Markel Value 'i>J,998,589 S2,JSH86 $992.893 ,$9'16,175 $2.()Jl,070 Percent of Portfuliu 0.7% 0.8% 0.3% 0.3% 0.7% 5 Longest Duration Holdings rs.o.uer Nan1e Issue Nami, f ederal Home Ln Mtg Curp M Ser 1610 Cl 1620-Zfs G Long rsland Ltg Co D<lh S.20li; 3/15n023 Commit To Pur GnmaSf Mtg 6.000% 01/15/2029 United States Trea~ Bds Dob 13.25% 05115/14 United Stales Treas Nts Nt 3.375% 1/15/2007 S1.-ctor CMOS Co1pf1fa1cs MtlrtgngL'.4t rn::~~um;s Trca~uries Ending Market Valot!: .s2,o;u .12i; Sl.998.589 SS.683.563 SJ.~.721 $10,167,516 Percent of Portfoli11 ().7'iJ 0.7'ifi l.9% 1.2% 3.3% 5 Holdings with ffighest Effect Yield Ending Percent Yield 5.87 6.23 6.83 7.13 4.73 0.16 7.18 5.75 5.93 5.55 Effective Yield 6.2-1 7.50 6.73 7.07 6.71 Effel'tive Yjdtl 8..10 7.39 7.07 7.27 0.34 Effective Yield 7.9l 8.10 7.40 6.94 4.17 OA OA Duration Convexit:i:: Qualitv 2.30 0.01 0.59 (),I)(}) 2.82 () 1-ll 4.17 0.06 1.40 O.Q3 0.12 0.00 4.43 0.07 2.96 0.07 2.73 0.01 0.25 0.00 OA OA Dunttfon Cnnvcxil)I 1.62 0.03 5,89 10.00) 1.42 0.03 5.77 cl)t)()) 1.28 (() I'll OA OA Dun1tion ConVe..'\'.il\ 7.36 n ll t 3.78 0.17 l.60 0.03 1.25 0.02 0.24 0.00 OA OA Aal Aaa Aaa+ Aal Al Al Aaa+ Aaa+ Aal Aaa 011alitv Aaa+ Aaa+ Aaa+ Aaa Aaa+ Quality Baa3 A3 A3 A3 A3 Dur11ti11n C11nv~xltv Onulih• 10.08 O 02 Aaa+ 7 .36 (().11 1 Baa3 7.12 0.40 Aaa+ 6.23 0.55 Aaa+ 6.16 0.00 Aaa+ Market of Effective OA OA lssncr Nnmc Issue Name Long ldnnd Ug C(1 Deh R.20% 3/l 512023 l'ctlcral Mumc: Lu Mtg t:'orp M Ser 1620 Cl 1620-Zfs G Commit 'l'ti Pur Gnmu Sf Mtg 6.500% 0 l/1512029 Rear Steams Cus Inc Sltolf 6.750% 4115/03 Scars Roebuck Acccp Tr#OO Mtn 6.54% 2/2012003 s~ctur CO!JKlfU(l."'S CM Os Mnn.g:igc~ CUrporutc.s Corporutcs Value Sl.998.589 $2.021.22& .S'.!O, I 76,2.t5 Sl.087.7~0 $1,964,412 *Market Value shown does not include payables and receivables. Purtfoliu 0.7% 07% 6.6% 07% 0.6% Yicltl 8.10 7.91 7.50 7.49 7.49 Duruliun Convexity 7.36 Lu 11 10.08 0.02 5.89 0.0()) 2.87 0.10 2 83 0.(XJ Ouulitv Bna3 Aaa+ Aaa+ A2 A2 All St.atistics shown uu the page are dependenl on the securities in tbe portfolio being recognized (by their Cusip) and priced. In this case 99% of the securities in the portfolio (by market value) were recognized and priced. Orn.ngc County Sanita.tion District INVESTMENT ·MANAGEMENT PROGRAM Orange County 'San itation District 1 STRATEGY REVilEW FOR THE PERIOD OCTO~ER 1·, 1999 ·~ DECEMBER 31, 1999 • FINANC~, ADMINISTRATION & HUMAN RESOURCES COMMITTH . . MARCH 8, 2000 , 840 NewP,ort Center Drive fbst Office Box 6430 Newport Beach '. California. 92658-b43J) 949 · 640-JO:il AGENDA BOND MARKET REVIEW II PERFORMANCE I PORTFOLIO REVIEW Ill CURRENT OUTLOOK I STRATEGY PACIFIC INVESTMENT MANAGEMENT COMPANY U.S . GROWTH CONTINUED AT A STRONG PACE, PUSHING INTEREST RATES HIGHER RATES ROSE THROUGHOUT THE YEAR • U.S. economy contin ues to grow • Market expected further Fed tightening INTERMEDIATES ROSE MOST IN 1999 • One-year rates rose the most in the Fourth Quarter TREASURY YIELD MOVEM8NT5 7.5 1-------.---------.-----~-------1 7.0 6.5 :!2 5.5 .~ >-5.0 30-Yr. T-Bond ~ ................. -~~ _____ ,.-·--_ ........... __ , .... ,.,.' .... ~ .. -· .. ·· .......... · _ ... , ..... _. ............ ,,, 4 .. S ····-~_ ... ,, ... .. 4 •• .,,··· ...... _ ....................... --·- 1-Yr. T-Bi/I 4.0 3.5 .__ _____ .__ ____ _ic_ ____ _J _____ __J 200 175 150 125 100 75 so 25 0 lQ '99 2Q '99 3Q '99 CHANCE IN TREASURY YIELDS 3 Mos. 1 Yr. 2 Yrs. 5 Yrs. 1 o Yrs. I D4Q '99 8 1999 1 SOURCE: Bloomberg 4Q'99 30 Yrs. 6.48% 5.95% 3 PACIFIC INVESTMENT MANAGEMENT COMPANY STRATEGY RECAP -FOURTH QUARTER LONG-TERM OPERATING FUND Period Ended December 31, 1999 PORTFOLIO STRUClt!KE DURATION I)> BELOW INDEX MATURITY MIX ... BROADER-THAN-INDEX GREATER-THAN-INDEX EXPOSURE TO: • Corporate sector SECTOR/ ISSUE ... • Agency securities • Mortgage sector 4 REl.ATIVE IMPACT FO~RTH QUARTER 1.999 .~·· l" c SLIGHT POSITIVE SLIGHT POSITIVE POSITIVE PACIFIC INVESTMENT MANAGEMENT COMPANY STRATEGY RECAP -FOURTH QUARTER LIQUID OPERATING FUND Period Ended December 31, 1999 PORTFOL~O STRUCTURE .. DURATION .. AT INDEX MATURITY MIX .. SLIGHTLY BROADER-THAN-INDEX GREATER-THAN-INDEX EXPOSURE TO SECTOR I ISSUE .. AGENCY DISCOUNT NOTES AND COMMERCIAL PAPER 5 Ri:tATIVE IMPACT. FOURTH QUARTER 1999 NEUTRAL NEUTRAL POSITIVE PACIFIC INVESTMENT MANAGEMENT COMPANY REVIEW OF PERFORMANCE Through December 31, 1999 • Long-Term Operating Fund Since* In ception 9/30/95 3 Yrs .* 2 Yrs.* 1 Yr. 9 Mos. 3 Mo. 12/31/99 Market Value Orange County Sanitation District (l-T) (%) 6.1 6.0 5.1 2.3 1.9 0.6 $282,850, 161 Merrill 1 -5 Year Gov't. I Corp. Index (%) 5.8 5.6 4.9 2.2 1.8 0.4 • Liquid Operating Fund Since* Inception 9/30/95 3 Yrs.* 2 Yrs.* l Yr. 9 Mos. 3 Mo. 12/31 /99 Market Value Orange County $19,551,618 Sanitation District (Liq-op) (%) 5.5 5.5 5.4 5.1 3.9 1.4 3 Month T-Bill (%) 5.1 5.0 4.9 4.7 3.6 l .3 • Anoualiz;ed. 6 PACIFIC INVESTMENT MANAGEMENT COMPANY CURRENT OUTLOOK ECONOMfC OUTLOOK • STRONG EQUITY & HOUSING MARKETS FUEL U.S. GROWTH • GLOBAL GROWTH PRODUCES CONTINUED RESURGENCE IN COMMODITY PRICES • TIGHT LABOR MARKETS SQUEEZE CORPORATE PROFITABILITY • FED CONTINUES TO RAISE SHORT-TERM RATES STRATEGY INTEREST RATE SLIGHTLY BELOW INDEX DURATION MATURITY MIX SECTOR BROADER THAN INDEX OVERWEIGHT MORTGAGES OVERWEIGHT AGENCIES HIGH QUALITY CORPORATE HOLDINGS 7 PACIFIC !NvESTMENT MANAGEMENT COMPANY \ . Investment Management Program Orange County Sanitation District F AHR Committee March 8, 2000 Biographies Joseph A. Fournier Mr. Fournier is an account manager, with a focus on servici ng institutional clients. He j oined the firm in 1999, having been previously associated with Sharp HealthCare as a senior financial analyst. Mr. Fournier holds a bachelor's degree in Economics from the University of California at Los Angeles and an MBA from the Grad uate School of Management at the University of California at Irvine. Rita J. Seymour Ms. Seymour is a Vice President and member of PIMCO's account management group. Ms. Seymou r joined the firm six years ago, having been previously associated with Salomon Brothers. She has 13 years of investment experi ence, including her experience at the Congressional Budget Office and the U.S. Treasury Department, and holds a bachelor's degree in Economics from Washington University, an MPA from the University of Texas, and an MBA from the Sloan School of Management, MIT. Guiding Principles for Investment Management • Orange County Sanitation District's Investment Policy Statement determines investment objectives, policies and guidelines • "The primary objectives, in priority order, of OCSD's investment activities shall be": -Safety Liquidity -Return on Investment Many Roles of Fixed Income • Providing stable cash flows • Asset-liability matching • A hedge against deflation • Risk reduction through greater diversification PIM CO' s Management Style • Manage for the Long-Term • Innovate and specialize • Top-Down and Bottom-Up • Yield Orientation • Balanced Value Added Top Down and Bottom Up Investment Process "Hands on" day-to-day management Current conditions and strategy implementation Critical strategies defined quarterly Firmwide focus on economic environment Secular themes first 1999 Bond Market Returns Worst since 1994 • U.S. economy overheating • Fed raised short term rates by 0.75% 20 15 (1)10 c .. ::I -QJ ~ 5 0 US Bond Market Returns •LBAG U .S. Growth Continued At a Strong , Pace, Pushing the Interest Rates Higher • Rates rose throughout the year -Market expected further Fed tightening Excess liquidity due to Y2K concerns • Intermediates rose most Yields rose uniformly in fourth quarter Treasury Yield Movements 7.5 .---------.-----.-----..-------.., 7.0 6.5 ;?6.0 e_ ::2 5.5 Q) >= 5.0 30-Yr. T-Bond ... -...... ,, .. °'I ... .. . ,,.,. . ,,, ..,,. 4.5 i.--•• .,. ... ,, ,.--........ .,. 4.0 1-Yr. T-Bill .............. NNN •.,,. ... ,,.. ........ .. --,. .. .. w 3.5 ......__ ____ ......__ ____ ......__ ____ ..__ ____ ~ lQ '99 2Q'99 3Q '99 4Q '99 Change in Treasury Yields 200 4Q'99. 1993 180 179 150 "" 2!' 100 ~ so 47 0 3 Mos. l Yr. 2 Yrs. S Yrs. 10Yrs. 30 Yrs. Source: Bloomberg Investment Universe Limited by OCSD' s Investment Guidelines Long Term Operating Monies • All investments must be in accordance with California Government Code • Permitted security types include: -U.S. Treasuries and Agencies -U.S. Mortgage-Backed Securities U.S. Corporates Bonds Commercial Paper/Money Markets • Portfolio Duration/Maturity -Maximum Final Maturity = 5 years -Minimum/Maximum Duration = 80% -120% of the Index • Benchmark = Merrill Lynch 1-5 Year Government Corporate PIMCO' s Portfolio Construction Long Term Operating Monies • Below index duration • Underweight Treasuries and Agencies • Overweight corporates for yield enhancement • Mortgage exposure adds yield without sacrificing quality Index Construction Corporates 22% Agencies 16% Portfolio Construction Mortgages 18% Corporates 28% Commercial Agencies 13% Paper 14% Treasuries 27% Investment Universe Limited by OCSD's Investment Guidelines (cont.) Liquid Operating Monies • All investments must be in accordance with California Government Code • Permitted security types include: -U.S. Treasuries and Agencies -U.S. Corporates Notes -Commercial Paper/Money Markets • Portfolio Duration/Maturity -Maximum Final Maturity = 1 year -Maximum Duration = 0.5 years • Benchmark= Salomon 3-month Treasury Bill Index PIM CO' s Portfolio Construction Liquid Operating Monies • Below index duration • Underweight Treasuries • Overweight Agencies • Corporates and commercial paper enhance yield Index Construction Treasuries 100% Portfolio Construction STIF Corporates 23% Commercial Paper 14% Agencies 24% Treasuries 18% Review of Performance ~ Through December 31, 1999 • Long-Term Operating Fund 12/31/99 Market Value: $282,850,161 Since* Inception 9/30/95 3 Yrs.* 2 Yrs. * Orange County Sanitation District (L-T) (%) Merrill 1-5 Year Gov't. I Corp. Index (o/o) • Liquid Operating Fund 6.1 5.8 12/31/99 Market Value: $19,551,618 Since* Inception 6.0 5.1 5.6 4.9 9/30/95 3 Yrs.* 2 Yrs. * *Annualized. Orange County Sanitation District (Liq-op) (%) 3 Month T Bill (o/o) 5.5 5.1 5.5 5.4 5.0 4.9 1 Yr. 9 Mos. 3 Mo. 2.3 1.9 0.6 2.2 1.8 0.4 1 Yr. 9 Mos. 3 Mo. 5.1 3.9 1.4 4.7 3.6 1.3 PIMCO' s Outlook and Strategy Economic Outlook • Strong equity & housing markets fuel U.S. growth • Global growth produces continued resurgence in commodity • prices • Tight labor markets squeeze corporate profitability • Fed continues to raise short-term rates Strategy Interest rate Maturity mix Sector Slightly below index Broader than index Overweight mortgages Overweight agencies High quality corporates holdings 250 200 * 150 .._ t/l "O -QJ >= 100 50 0 Pockets of Relative Value Yield Spreads Over Treaswies --Mortgages --AAA Corporates ... ···· ···· ··· A Corporates 1/98 3/98 5/98 7/98 9/98 11/98 1/99 3/99 5/99 7/99 9/99 11/99 FAHR COMMITTEE Meeting Date To Bd. of Dir. 03/08/00 03/'ll./OO AGENDA REPORT ~m Number ~o-Lf Item Number Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Steve Kozak, Financial Manager 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. [8] Not applicable (information item) H:\wp.dtalfin\210\crane\FAHR\Fahr2000\Mar\Treasurer's Report· Feb.doc Revised: 8/20198 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-tenn 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:lwp.dtalfin\210\crane\FAHR\fahr2000\Mar\Treasure(s Report -Feb.doc 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 Sep,99 Monthly Treasurer's Report District Fund Balances Oct, 99 Nov,99 el PIMCO -Long-term m Debt service Reserves 13 Bank Accts m Dist 11 GO Bond Fund Dec,99 Ill PIMCO -Short-term CDLAIF •Petty Cash G:\excel.dta\fin\2220\geggi\Flnance\monthly treasurers report • Jan,OO Feb,00 MONTBL Y 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 PORTFOLIOPERFO~CE Total Rate of Return(%) by Period: I 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 1.52 5.46 1.04 • Interest rates at the short-end of the yield curve continued to rise during February m expecfotion ofeddiliomil interest rate tightening by·thc Fed (e.g. 3-month Treasury Bill rates rose 9 basis points). • The Liquid portfolio outperfonned 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.. \FINA.NCEl ... IREYISED UQ0200.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) 15.1.1 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%INTERESTRATECHANGE Dollar Impact (gain/loss) of 1 % Change: 15.1.4 REVERSE REPOS % of Portfolio in Reverse Repos: (see attached schedule) 15.l.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: I Month: 3 Months: 12 Months: Year-to-Date: Commentary • While short-end interest rates moved higher in February, yields on longer mnturities 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 ftom 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:I,,, IFINANCE\1101, •• IREVJSED L-1'0200.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 PortfoJio Index 0.62 0.71 0.59 0.50 3.24 3.10 0.63 0.49 @) ORANGE COUNTY SANITATION DISTRICT II PAGE: ~ I BASE: USD NET ASSET SECTOR SUMMARY OCSF07511 /02 29-FEB-2000 PRELIMINARY LIQUID OPER-PIMCO %OF UNREALIZED PORTFOLIO DISTRIBUTION COST MARK.ET VALUE TOTAL GAIN/LOSS CASH & CASH EQUIV A LENTS CASH 70,927.42 70,927.42 0.36% 0.00 TOTAL 70,927.42 70,927.42 0.36% 0.00 UNITED STATES COMMERCIAL PAPER -DISCOlrnT 2,679,225.50 2,679,225.50 13.54% 0.00 TREASURY BILLS -LESS THN 1 YR 3,411,181.67 3,411,181.67 17.24% 0.00 FEDERAL HOME LOAN MORTGAGE -LESS 1,288,261.00 1,288,261.00 6.51% 0.00 FNMA ISSUES -LESS THN 1 YR 2,488,916.67 2,488,916.67 12.58% 0.00 FED HM LOAN BNK-LESS THN 1 YR 3,799,396.22 3,799,396.22 19.20% 0.00 TOTAL UNITED STATES 13,666,98 l.06 13,666,981 .06 69.06% 0.00 TOTAL CASH & CASH EQUW A LENTS 13, 737 ,908.48 13,737,908.48 69.42% 0.00 FIXED INCOME SECURITIES UNITED STATES U.S. AGENCIES 999.200.00 999,840.00 5.05% 640.00 ABS: CAR LOAN 905,913.00 902,664.00 4.56% ·3,249.00 BANKING & FINANCE 1,497,145.50 1,495,318.50 7.56% -1,827.00 INDUSTRIAL 1,935,205.00 1,921,446.00 9.71% -13,759.00 UTILITY -TELEPHONE 512,080.00 508,815.00 2.57% -3,265.00 TOTAL UNITED STATE'S 5,849,543.50 5,828,083.SO 29.45% -21,460.00 TOTAL FIXED INCOME SECURITIES S,849,543.50 5,828,083.50 19.45% -21,460.00 OTHER PORTFOLIO ASSETS PAYABLES/RECEIVABLES 223,959.80 223,959.80 1.13% 0.00 TOTAL 22~,959.80 223,959.80 1.13% 0.00 TOTAL OTHER PORTFOLIO ASSETS 223,959.80 223,959.80 1.13°.l.1 0.00 07-Mar-2000 9:09:48 Exec"tive Workbench n================~~==========================='='-==================~ OCSF0751J102 L!QUJD OPER-PJMCO PORTFOLIO DISTRIBUTION NET PORTFOLIO ASSETS 07-Mar-2000 9:09:48 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 UNREALIZED GAIN/LOSS -21,460.00 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: ·1 BASE: USD NET ASSET SECTOR SUMMARY OCSF07522202 29-FEB-2000 PRELIMINARY LONG TEIW OPER-PIMCO %OF UNREALIZED PORTFOLIO DISTRIBUTION COST MARKET VALUE TOTAL GAIN/LOSS CASH & CASH EQUIVALENTS RECEIVABLES 2,464,610.21 2,464,610.21 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, 757, 755.89 l.65% 0.00 FNMA ISSUES -LESS THN fYR l 0,492,307.22 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 TOTAL UNITED STATES 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 FAMJL Y POOLS 25,454,375.00 25,674,040.00 7.38% 219,665.00 GNMAMULTI 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 MULTICLASS 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 1,000,000.00 986,860.00 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 umITY -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 STATES 280,405, 174.98 276,862, 182.00 79.54% ·3,542,992.98 07-Mar-2000 9: I 5: 13 Executive Workbench OCSF07522202 LONG TERM OPER-PIMCO PORTFOLIO DISTRIBUTION TOTAL FIXED INCOME SECURITIES OTHER PORTFOLIO ASSETS PAYABLES/RECEIVABLES TOTAL TOTAL OTHER PORTFOLIO ASSETS NET PORTFOLIO ASSETS 07-Mar-2000 9:15:13 ORANGE COUNTY SANITATION DISTRICT NET ASSET SECTOR SUMMARY 29-FEB-2000 COST MARKET VALUE .280,405,174.98 276,862,18.2.00 3,569, I 62.38 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% l.03% l.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 ExecuJive Workbench YLDANAL OCSF07511102 DISTRICT; LIQUID OPERATING YIELD ANALYSIS 2000/02/29 =-~-:=::----=====-============•===================================»======~============~======== PAR VALUE YTM AT CURRENT MOODY MARKET SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE CASH & CASH EQUIVALENTS .oo DREYFUS TREASURY CASH MGMT ' .ooo .000 AAA .ooo 996085247 AAA 3,5001000.00 U S TREASURY BILLS 5.094 .000 P-1 97.462 912795DK4 03/02/2000 DD 03/04/99 A-1+ 3,800,000.00 FEDERAL HOME LN Bl< CONS DISC 5. 721 .000 P-1 99.984 313384TT6 MAT 03/01/2000 A-1+ 2,500,000.00 FEDERAL NATL MTG ASSN DISCOUNT 5.725 .000 P-1 99.557 313588TU9 MAT 03/02/2000 A-1+ 1,300,000.00 FEDERAL HOME LN MTG CORP DISC 5,858 .000 P-1 99.097 313396WA7 MAT 04/~S/2000 INCOME AT MAT A-1+ 900,000.00 FLORIDA PWR CORP DISC 5.860 .000 P-1 99.482 34llOAC68 03/06/2000 900,000.00 XEROX CORP DISC s.ees .ooo P-1 99,061 98412CDCO 04/12/2000 900,000.00 DAIMLERCBRYLSER DISC 5.9'41 .ooo 99.149 2338EODAl 04/10/2000 ---------------- TO'rAL CASH & CAS8 EQUIVALENTS 5.529 .000 PAGE RUN DATE RUN TIME 1 03/03/00 13.13.50 =·=====----------------- TOTAL COST/ MARKET 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 89+,546.50 891,546.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 ol.59 6 .52 4 .57 6.52 4.58 ______ _,... __ 100.00 70.11 YLDANAL YIELD ANALYSIS PAGE 2 OCSF0751Jl02 2000/02/29 RUN DATE 03/03/00 DISTRICT: LIQUID OPERATING RUN TIME 13.13.50 ----:::=== =--=======~=- PAR VALUE YTM AT CURRENT MOODY MAR.KET TOTAL COST/ ' TYPE SECURITY I D SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE ' TOTAL ----------------------------------------------------------------------------------- FIXED INCOME SECURITIES l,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,ooo.oo 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 t TR 00538 6.312 6.999 Al 100.296 905,913.00 15.48 345402YKl 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 Al 99.767 400,21.6.00 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 370442AR8 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 l.49, 625. 00 2.56 61687YBUO 6 .125% 10/02/2000 DD 10/02/97 AA 149 I 319 • 00 .11 500,000.00 INTERNATIONAL PAPER CO NT 6.535 9.690 Al 100.102 506,445.00 8.58 460146AJ2 9 .700% 03/15/2000 DD 03/21/90 BBB+ 500,s10.oo 2.57 500,000.00 BURL;INGTON RES INC NT 6.578 9.546 Al 100.823 505,900.00 8.64 1220l4AB9 9.625% 06/15/2000 DO 06/28/90 A-504,115.00 2.59 soo,000.00 GTE CORP DEB 6.669 9.213 BAAl 101. 763 s12,080.oo 8. 7.3 362320AQ6 9 .375\ 12/01/2000 A 508,815.00 2.61 475,ooo.oo FINOVA CAP CORP 6.820 6.406 BAAl 99.511 473,031.25 8.11 318074AP8 6.375% 10/15/2000 DD 10/11/95 A-472,677.25 2. 42 ---------------------------------- TOTAL FIXED INCOME SECURJTIES 4 .598 6.866 S,84lJ,543.50 100.00 S,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 PAR VALUE SECURITY ID ___ ""!'!"' __________ _ SECURITY DESCRIPTION CASH & CASH EQUIVALENTS 517,367.17 DREYFUS TREASURY CASH 996085247 56,500,000.00 GOLDMAN SACHS LP REPO 99366Y204 05.600\ 03/01/2000 DO 200,000.00 FEDERAL NATL MTG ASSN 313588TU9 KAT 03/02/2000 MGMT 02/29/00 DISCOUNT 100,000.00 FEDERAL HOME LN MTG CORP DISC 313396TZ6 HAT 03/07/2000 1,400,000.00 CAMPBELL SOUP CO DISC l3443ACP8 03/23/2000 10,400,000.00 FEDERAL NATL MTG ASSN DISCOUNT 313588VV4 MAT 04/20/2000 3,600,000.00 ALUMINUM CO AMER DISC 02225ACBO 03/14/2000 2,600,000.00 FORD MTR CR CO DISC 34539TC86 03/08/2000 8,300,000.00 GENERAL BLEC CAP DISC 36959HD79 04/07/2000 4,300,000.00 IBM CR CORP DISC 44922AOA5 04/10/2000 100,000.00 OAIMLERCBRYLSBR DISC 2338EOOA1 04/10/2000 YTM AT SOOK .ooo 5.600 5.673 5.675 5 .767 5.769 s. 777 5.802 5,865 S.86.9 5.884 YIELD ANALYSIS 2000/02/29 CURRENT YIELD 5 .444 S.600 .ooo .ooo .000 ,000 .ooo .ooo .ooo .ooo .ooo HOO DY s-p AAA AAA P-1 A-1+ P-1 A-1+ P-1 P-1 A-1+ P-1 P-1 P-1 P-1 ~T PRICE 100.000 100.000 99.764 99 .561 99.538 98.969 99. 712 99.455 99.064 98.999 99.254 PAGE RUN DATE RUN TIME TOTAL COST/ MARKET VALUE 517,367.17 517,367.17 56,soo,ooo.oo 56,500,000.00 199,528.33 199,528.33 696,923.89 696,923.89 1,393,526.56 1,393,526.56 101 2921778.89 10,292,778.89 3,589,632.00 3,589,632.00 2,58!i1 831.44 2,585,831.44 0, 222,307. 39 8,222,307.39 4,256,973.72 4,256,973.72 694,716.44 694,776.44 3 03/03/00 13.13.50 :=------- \ TYPE \ TOTAL .42 .13 46.49 14.18 .16 .os .57 .11 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 ===·=----=----=-=========:o===~·-- PAR VALUE SECURITY ID SECURITY DESCRIPTION 141000 1 000.00 XEROX CORP DISC 98412COH9 04/17/2000 2,800,000.00 CBA (OELAWAR) DISC 124783037 04/03/2000 11 0001 000.00 GENERAL BLEC CAP DISC 36959BEK9 05/19/2000 51 1001 000.00 FEDERAL HOME MTG MTG CORP DISC 31339'6UP6 MAT 03/21/2000 410001 000.00 IBM DI SC 44922ACHO 03/21/2000 TOTAL CASH ' CASH EQUIVALENTS FIXED INCOME SECURITIES 2,000,000.00 BANXERS TR NY CORP GLOBJU, NT 06636SDW4 FLTG RT OS/ll/2003 OD 05/11/98 l,soo,000.00 CHRYSLER FINL LLC HTN tTR00615 17120QE80 FLTG RT 08/08/2002 OD 04/08/98 3,000,000.00 CONSOLI.DATED EDISON N Y DEBS 209111CU5 FLTG RT 06/15/2002 OD 06/20/97 340,811.80 FHLHC GROUP f78-6064 31348SWZl 6.384\ 01/01/2028 DO 12/01/97 2,000,000.00 FORD MTR CR CO GLOBAL NTS 345397RV7 FLTG RT 02 /13/2003 DD 02/13/98 2,000,000.00 FORD MTR CR CO TERM ENHANCED 345397SC8 FLTG RT 08/27/2006 DD 08/27/98 l,000,000.00 GENERAL HTRS ACCEP MTN 37042WVR9 FLTG RT 12/17/2001 DO 12/15/98 3 1950,000.00 GENERAL MTRS ACCEP CORP NTS 37042SQVS FLTG RT 08/18/2003 OD 08/17/98 YIELD ANALYSIS 2000/02/29 YTH AT CURRENT MOODY MARl<ET BOOK YIELD S-P PRICE 5.888 .000 P-1 99.012 5.913 .000 6.009 .ooo 6 .057 .000 7.234 .000 5.645 3.767 .000 5.796 .000 6.021 .000 6.182 .ooo 6.506 .ooo 6.245 .ooo 6.219 .ooo 6.49,J, .ooo 5.586 P-1 P-1 A-H P-1 Al A- Al A+ A1 A+ AAA AAA Al A Al A+ A2 A A2 A 98,927 98.682 99 .232 99.341 99.987 99.984 99.991 98.125 99.656 99.859 100.375 99.677 PAGE RUN DATE RUN TIME TOTAL COST/ MARI<ET VALUE 13,861,699.45 13,861,699.45 2,769,970.00 2,769,970.00 6,907,755.56 6,907,755.56 5,060,832.00 5,060,832 .00 3,973,650.17 3,973,650.17 121,523,553.01 121,523,553.01 1,992,800.00 1,999,740.00 3,498,635.00 3,499,440.00 2,994,300.00 2,999,730.00 332,504 .51 334,421.58 1,992,580.00 1,993,120.00 1,998,613.60 1,997,190.00 l,010,830.00 3,0ll,250.00 3,919,768.50 3,937,241.50 4 03/03/00 13.13.50 % Tlc'.PE % TOTAL 11.40 3.48 2.27 .10 5.68 l,. 73 4.16 1. 27 3.26 1.00 100.00 30,49 .72 .so 1. 26 .88 1.08 .75 .12 .08 .71 .so • 72 .so l.08 .76 1.42 ,99 YLDANAL YIELD ANALYSIS PAGE 5 OCSF07522202 2000/02/29 RUN DATE 03/03/00 DISTRICTi LONG-TERM OPERATING RUN TIME 13.13.50 -r-=:=:c:=--...:.:::1":~ ~=:::::===~=---=:=::==c:::::=-:::::=---==---------~==--===-=~- PAR VALUE YTM AT CURR.ENT MOODY MARKET TOTAL COST/ ' TYPE SECURITY ID SECURITY DESCRIPTION BOOK HELD S-P PRICE MARKET VALUE ' TOTAL _____ ._~-----------------------~------.....------------------------------------------- 2,aoo,000.00 GNHA GTD REMIC TR 2000-9 FH .ooo 6.320 AAA 100.000 2,aoo,000.00 1.01 383784NX9 VAR RT 02/16/2030 AAA 2,000,000.00 • 70 2,000,000.00 HELLER FINANCIAL INC NTS .000 6.374 A3 100.548 2,000,000.00 • 72 423328BK8 FLTG RT 06/2S/2001 DD 06/25/99 A-2,010,960.00 .so 1,000,000.00 HELLER FINL MTN tTR 00246 .ooo 6.257 A3 100.681 1,000,000.00 l.09 42333HLF7 FLTG RT 04/28/2003 DD 04/27/99 A-3,020,430.00 .76 4,000,000,00 HOUSEHOLD FIN CO MTN .000 6 .423 A2 100.272 4,000,000.00 1.44 44181KZAS FLTG RT 06/24/2003 DD 06/24/98 A 4,010,880.00 1.01 i ,000,000.00 HOUSEHOLD FIN MTN SR f00570 .ooo S.726 A2 100.318 999,188.90 .36 44181KZT4 FLTG RT 08/01/2001 DD 09/04/98 A 1,003,180.00 .2s s,000,000.00 LEBMAN BROS HLDGS MTN , .ooo 6 .655 Al 100.281 51 000,000.00 l.81 52517PQQ7 FLTG RT 12/12/2002 DD 12/07/99 A 5,014,050.00 1.26 1,100,000.00 MORGAN STANLEY MTN ITR 00311 .ooo 6.168 AA3 99 .953 1,699,Sl?.20 .61 6174SENY3 FLTG RT 01/28/2002 DD 01/27/00 A+ 1,699,201,00 .43 7,356,020.00 US TREASURY INFLATION INDEX NT 3.697 J.6S8 AAA 99.094 7,332,863.77 2.63 9128273A8 3.625% 07/15/2002 DD 07/lS/97 AAA 7,289,374.46 1.83 10,622,600.00 US TREASURY INFLATION INDEX NT 3. 720 3.573 AAA 94 .469 10,343,575.00 3 .62 9128272M3 3.37S% 01/15/2007 DD 01/15/97 AAA 10,035,063.99 2. 52 l,000,330.00 US TREASURY INFLATION INDEX NT 4.338 4.263 AAA 99.687 993,250.00 .36 9128275W8 4.250t001/15/2010 DD 01/15/00 AAA 997,198.97 .25 4,000,000.00 MORGAN STANLEY MTN ITR 00299 5.170 5.468 AA3 99 .859 3,997,788.00 1.44 61745ENL1 FLTG RT 04/15/2002 DD 04/15/99 A+ 3,994,360.00 l.00 2,100,000.00 U S TREASURY NOTES 5.294 6 .391 AAA 99 .750 2, 167.,321.15 • 75 912827Z54 06.375\ 09/30/2001 DD 09/30/96 AAA 2,094,750 .00 .5 3 s,200,000.00 U S TREASURY BONDS 5.617 10.189 AAA 116.547 6,698,250.00 2 .18 912810000 11.875% 11/15/2003 DD 10/05/83 AAA 6,060,444.00 1.52 1,500,000.00 ASSOCIATES CORP N A SR NTS 5.650 6.610 AA3 98.336 1,543,215.00 .SJ 046003HY8 6 .5oot 01115/2002 oo 07/11/97 A+ 1,475,040.00 .37 11000,000.00 HELLER FINANCIAL INC NTS 5.760 5.894 A3 97.S57 999, 7 30.00 .35 42333HKJO 5.750t 09/2S/2001 DD 09/25/98 A-975,570 .00 .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 MARKET VALUE % TOTAL ---------------------------------------------------------------------------------------- 2,005 1000.00 SEARS ROEBUCK ACCEP CORP MTN 5,804 6. 748 A3 96.921 2,060,739.00 .70 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 23,351,289.8-5 8.34 9128275Ql 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 1086,402.25 l. 79 9128272L5 06.250\ 02/28/2002 DD 02/28/97 AAA 4,975,000,00 1.25 3,000,000.00 SEARS ROEBUC~ ACCEP CORP MTN 5.849 6. 776 Al 97.843 l,073, 170.00 1.06 81.240QJA1 6.630\ 07/09/201>2 DO 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 5,9.96,400.00 2 .16 63858JOE6 5.850\ 04/07/2000 DD 04/07/98 AA-5,997,180.00 l.51 494,583.45 FHLMC MULTICL MTG p/c 1,574 E 5.912 5.933 99 .437 493,887.93 .17 3133T02D5 5.900\ 06/15/2017 491,798.95 .12 15,000,000.00 FEDERAL NATL MTG ASSN MTN 5.981 5.899 AAA 98.656 14,955,300.00 5 .34 3136'G2VO 5 .820\ 07/19/2001 DD 07/19/99 AAA 14,198,400.00 3.11 2,500,000.00 MERRILL LYNCH NOTES 5.995 6.454 AAJ 98 .769 2,526,725.00 .89 59018SX1'4 6 .375\ 10/01/2001 DD 10/03/97 AA-2,469,225.00 .62 1,516,650.70 GNMA II POOL f0080023 6.005 7.057 AAA 100.969 1,541,770.23 .55 l6225CAZ9 7.125\ 12/20/2026 DD 12/01/96 AAA 1,531,347.05 .38 11500,000.00 BELLSOUTH 'l'ELECOHHUNICATIONS 6.010 6.156 M2 97.463 7,497,255.QO 2 .64 079867AX5 6.000\ 06/15/2002 DO 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 3134AlZMl 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 1,999,,600,00 .10 0660STAL6 6.125\ 03/15/2002 DD 03/12/99 A 1,952,380.00 • 4.9 52,625.82 FIFTH THIRD BK AUTO TR 96A CLA 6.200 6.2U AAA 99.781 52,625.81 .01 31677EAA4 6.200% 09/01/2001 DO 03/15/96 52,510.57 .01 i ,000,000.00 POPULAR INC MTN fTR 00004 6.201 6.283 Al 98.686 i,000,000.00 .35 73317PA01 6 .200\ 04/30/2001 DD 04/21/99 BBB+ 986,860 .00 .25 2,5001000.00 FHLMC HULTICLASS 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 OCSFQ7522202 2000/02/29 RUN DATE 03/03/00 DISTRICT: LONG-TBR.M OPERATING RUN TI ME 13.13.50 ======-==-===-:=::z::=--~ ---==-==-== PAR VALUE YTM AT CURRENT .MOODY MARXET TOTAL COST/ \ TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET 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,soo,000.00 FEDERAL NATL MTG ASSN MTN 6.291 6.307 AAA 98.781 4,488,705.00 l.60 31364CXV5 6.230\ 03/01/2002 DD 03/03/97 AAA 4 I 44 5 I 14 5 • 00 1.12 3,lo9,518.68 Ff:ILHC l'fULTICLASS CTF El A 6.316 6.279 AAA 97 .110 3, 112,919.52 l.09 3133TCE95 VAR RT 08/15/2032 AAA 3,019,653.59 • 7·6 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,soo,000.00 COMMIT TO PUR GNMA I SF MTG 6 .394 6.978 AAA 93.156 19,860,625.00 7.23 01N0626ll 6.500\ 03/15/2030 AAA 20,028,540.00 5 .03 2,000,000.00 FHLMC MULTICLASS CTF Tll A6 6.496 6.868 AAA 94.644 2,000,808.00 .68 3133TDPV2 6.5QO\ 09/25/2018 AAA 1,892,880.00 .48 2,398,493.64 FHLMC MULTICLASS 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 912827262 06.500\ 10/15/2006 DD 10/15/96 AAA 24,750,000.00 6 .21 8,8!18,535.37 FHLMC GROUP tGS-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 1 593,750.00 2.03 0 1N060.635 6 .000\ Ol/15/2029 AAA 5,645,500.00 l. 42 2,008,130.92 GNMA II POOL t080088M 6.705 6.322 AAA 100.844 2,052,058.78 • 73 362.25CC20 VAR RT 06/20/2027 DD 06/01/97 AAA 2,025,079.54 .51 101500,000.00 FEDERAL BOMB LN MTG CORP DEBS 6. 711 6.556 AAA 96.094 10,323,075.00 3.64 3134A3'l'CO 6.300\ 06/01/2004 DD 06/01/99 AAA 10,089,870.00 2 .53 2,000,000.00 MARSH & MCLENNAN COS INC SR NT 6.717 6.873 A2 96.395 1,992,280.00 .69 571748AB8 6.625\ 06/15/2004 DD 06/14 /99 AA-1,927,900.00 .48 3,000,000.00 FORD MTR CR CO GLOBAL LANDHAJUC 6.739 6.929 Al 96 .699 2,995,080.00 l. 04 345397SJ3 6 .700\ 07/16/2004 DD 07/16/99 A+ 2,900,970.00 .73 YLOANAL YtELD ANALYSIS PAGE 8 OCSF07522202 2000/02/29 RUN DATE 03/03/00 DISTRICT: LONG-TERM OPERATING RUN TIME 13.13.50 -__ w_--;:-.. --== ====-=-=zr=---====-==-= PAR VALUE YTM AT CURRENT MOODY MARI<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESC.RIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL --------------------------------------~~------------------------------------------------ 900,000.00 FEDERAL HOME LN BK CONS BOS 6. 777 6 .764 AAA .99.797 899,550.00 .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 96.8'7 2,498,400.00 .87 22237UA88 6.850\ 06/15/2004 00 06/24/99 A 2,422,425,QO .61 975,647.09 FNMA POOL 10252703 6 .877 6.727 AAA 96.625 955,371.92 .34 31371HU48 6.500\ 09/01/2006 DD 08/01/99 AAA 942,719.00 .24 2,000,000.00 GNMA GTO REMIC TR 2000-2 PA 7.014 7 .051 AAA 99.279 1,996,875.00 • 71 3837B3C70 7.000\ 12/20/2022 AAA 1,985,580.00 .50 2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7.265 6 .9J,3 AAA 95.835 2,000,440.00 .72 31359MEY5 6 .625\ 09/15/2009 OD 09/01/99 AAA 2,012,535.00 .51 2,000,000.00 LONG ISLAND LTG CO DEB 7.512 8.368 BAA3 97.991 2,151,250.00 .70 542671CT7 8,200\ 03/15/2023 DO 03/28/93 A-1,959,820.00 .49 976,318.28 WMP/BUNTOON PAIGE f000-11150 7.684 7.667 AAA 97.828 955,113.87 .34 302998GE3 7.500\ 12/01/2030 OD 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 12.500\ 08/15/2014 00 08/15/84 AAA 13,372,512.00 3 .36 ----------------------------------------TOTAL FIXED INCOHE SECURITIES 4.193 6.074 280,405,174.98 100.00 276,862,182.00 69.51 --------------------------------- TOTAL 4.395 5.752 401,928,727.99 100.00 398, 385,735.01 100.00 -=====-=-======= ===-======- ORANGE COUNTY SANITATION DISTRICT 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 CASH/SECURITIES RECEIVED FROM PLAN ADMINISTRATOR 0.00 NA9123459 CD OTHER ADMINISTRATIVE EXPENSES 0.00 NA9123459 cw 0.00 NA9123459 cw 07-Mur-2000 8:57: 19 LIQtnD 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-Peb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 PAGE: • I 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 fa:e<;Utive Wo1·kbench OCSGOOO I 0000 OCSD-CONSOLJDATED SHARES/PAR SECURITY ID TRANSCODE PURCHASES 0.00 99366F650 cw 0.00 99366W133 cw 0.00 99366W687 cw CASH & CASH EQUIVALENTS 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 WJRE FEES CREDIT SUISSE FST REPO LONG iBRM 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 Ot-Feb-2000 Ol-Feb-2000 01-Feb-2000 Ol-Feb-2000 0 t-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 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: '3 PORTFOLIO DETAIL OCSGOOOJOOOO Ol-FEB-2000-29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITYID TRANSACTION DESCRIPTION/ SETTLDATE/ COST! TRANSCODE BROKER COMPLDATE GAIN/LOSS LIQUID OPER-PIMCO 8,146.96 DREYFUS TREASURY CASH MGMT 02-Feb-2000 -8,146.96 996085247 02-Feb-2000 0.00 FC 02-Feb-2000 0.00 LONG TERM OPER-PIMCO 2,561,708.42 DREYFUS TREASURY CASH MGMT 02-Feb-2000 -2,561,708.42 996085247 02-Feb-2000 2,561,708.42 B 0.00 LONG TERM OPER-PIMCO 2,561,708.42 DREYFUS TREASURY CASH MGMT 02-Feb-2000 -2,561,708.42 996085247 02-Feb-2000 0.00 FC 02-Feb-2000 0.00 LIQUID OPER-PIMCO 1,600,000.00 FEDERAL HOME LN BK CONS DISC 02-Feb-2000 -1,596,459.56 313384ID1 MAT 02/16/2000 02-Feb-2000 1,596,459.56 8 HSBC SECS INC, NEW YORK 0.00 LIQUID OPER-PIMCO 1,600,000.00 FEDERAL HOME LN BK CONS DISC 02-Feb-2000 -1,596,459.56 313384TD1 MAT02/16/2000 02-Feb-2000 0.00 FC HSBC SECS INC, NEW YORK 02-feb-2000 0.00 LIQUID OPER-PIMCO 2, I 00,000.00 FEDERAL HOME LN BK CONS DISC 02-Feb-2000 -2,095,385.83 313384IDI MAT 02/16/2000 02~Feb-2000 2,095,385.83 B GOLDMAN SACHS & CO, NY 0.00 LIQUID OPER-PIMCO 2, I 00,000.00 FEDERAL HOME LN BK CONS DISC 02-Feb-2000 -2,095,385.83 313384TD1 MAT 02/16/2000 02-Feb-2000 0.00 FC GOLDMAN SACHS & CO, NY 02-Feb-2000 0.00 07-Mar-2000 8:57:19 Executive Workbench OCSGOOOJ 0000 OCSD-CONSOLJDATED SHARES/PAR SECURITY ID TRANSCODE 9,500,000.00 3l3396UP6 B 9,500,000.00 313396UP6 FC 1,300,000.00 313396TS2 B l,300,000.00 313396TS2 FC 7,323.77 996087094 B l,239.38 996087094 B 2,500,000.00 313588TU9 B 07-Mar-2000 8:57: 19 II ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTlON DESCRIPTION/ BROKER LONG TERM OPER·PIMCO FEDERAL HOME MTG MTG CORP DI MAT03/21/2000 GOLDMAN SACHS & CO, NY LONG TERM OPER·PIMCO FEDERAL HOME MTG MTG CORP DI MAT 0312112000 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-PJMCO 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 01-Feb-2000 03-Feb-2000 II PAGE: 4 AMOUNT/ COST/ GAIN/LOSS -9,427,040.00 9,427,040.00 0.00 -9,427,040.00 0.00 0.00 -1,294,667.l l 1,294,667. l 1 0.00 -l,294,667.11 0.00 0.00 -7,323.77 7,323.77 0.00 •l,239.38 1,239.38 0.00 -2,488,916.67 2,488,916.67 0.00 Executive Workbench OCSGOOOJ 0000 OCSD-CONSOLJDATED SHARES/PAR SECURITY ID TRANSCODE 2,500,000.00 313588TU9 FC 900,000.00 34110AC68 B 900,000.00 34ll0AC68 FC 2,600,000.00 34539TC86 B 2,600,000.00 34539TC86 FC 1,239.38 996085247 R l,239.38 996085247 FC ~ -·.,. '"n" o. 1'1· 10 ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LlQUID OPER-PlMCO FEDERAL NATL MTG ASSN mscou MAT 03/02/2000 WARBURG DfLLON READ LLC, NEW LIQUID OPER-PIMCO FLORIDA PWR CORP DISC 03/06/2000 MERRILL LYNCH PIERCE FENNER LIQUID OPER-PIMCO FLORIDA PWR CORP msc 03/0612000 MERRILL LYNCH PIERCE FENNER LONG TERM OPER-PIMCO FORD MTR CR CO DISC 03/08/2000 BANK OF IRELAND, LONDON LONG TERM OPER-PIMCO FORD MTR CR CO DISC 03/08/2000 BANK OF IRELAND, LONDON LIQUID QPER-PlMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT 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 04-Feb-2000 04-Feb-2000 04-Feb-2000 04-Feb-2000 04-Feb-2000 PAGE: • 5 AMOUNT/ COST/ GAIN/LOSS -2,488,9 l 6.67 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 o.oo -1,239.38 0.00 0.00 Executive Workbe11c:h OCSGOOO 10000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE 2,280,668. 75 996085247 B 2,280,668. 75 996085247 FC 1,200,000.00 3l3396TC7 B 1,200,000.00 313396TC7 FC 2,300,000.00 99366F650 B 2,300,000.00 99366F650 FC 81,928.89 996085247 B 07-Mar-2000 8:57: 19 ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROK.ER WNG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER·PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 02/1512000 HSBC SECS INC, NEW YORK LONG TEJlM OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 02/15/2000 HSBC SECS INC, NEW YORK LONG TERM OPER-PIMCO LEHMAN BROTHERS REPO 05.610% 02/08/2000 DD 02/07/ LEHMAN BROS INC, NEW YORK LONG TERM OPER-PIMCO LEHMANBROTHERSREPO 05.610% 02/08/2000 DD 02/07/ LEHMAN BROS INC, NEW YORK LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT TRADE DATE/ SETTLDATE/ COMJ>LDATE 04-Feb-2000 04-Feb-2000 04-Feb-2000 04-Feb-2000 04-Feb-2000 07-Feb-2000 07-Feb-2000 07-Feb-2000 07-Feb-2000 07-Feb-2000 07-Feb-2000 07-Feb-2000 07-Feb-2000 07-Feb-2000 07-Feb-2000 08-Feb-2000 08-Feb-2000 PAGE: 6 AMOUNT/ COST/ GAIN/LOSS -2,280,668.75 2,280,668.75 0.00 -2,280,668. 75 0.00 0.00 -1, 198,498.67 1,198,498.67 0.00 -1,198,498.67 0.00 0.00 -2,300,000.00 2,300,000.00 0.00 -2,300,000.00 0.00 0.00 -81,928.89 81,928.89 0.00 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 7 PORTFOLIO DETAIL OCSGOOO I 0000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOLIDATED SJIARESIP AR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTL DATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PlMCO 81,928.89 DREYFUS TREASURY CASH MGMT 08-Feb-2000 -81,928.89 996085247 08-Feb-2000 0.00 FC 08-Feb-2000 0.00 LONG TERM OPER-PIMCO 3,400,000.00 IBM DISC 08-Feb-2000 -3,376,834.67 44922ACMO 03/21/2000 08-Feb-2000 3,376,834.67 B GOLDMAN SACHS & CO, NY 0.00 LONG TERM OPER-PIMCO 3,400,000.00 IBM DISC 08-Feb-2000 -3,376,834.67 44922ACMO 03/21/2000 08-Feb-2000 0.00 FC GOLDMAN SACHS & CO, NY 08-Feb-2000 0.00 LONG TERM OPER-PIMCO 3,500,000.00 FEDERAL HOME LN MTG CORP DIS 08-Feb-2000 -3,484,619.44 313396TZ6 MAT 03/07/2000 08-Feb-2000 3,484,619.44 B HSBC SECS INC, NEW YORK 0.00 LONG TERM OPER-PIMCO 3,500,000.00 FEDERAL HOME LN MTG CORP DIS 08-Feb-2000 -3,484,619.44 313396TZ6 MAT 03/07/2000 08-Feb-2000 0.00 FC HSBC SECS INC, NEW YORK 08-Feb-2000 0.00 LONG TERM OPER-PIMCO 4,300,000.00 IBM CR CORP DISC 08-Feb-2000 -4,256,973.72 44922ADA5 04/J0/2000 08-Feb-2000 4,256,973. 72 B BANKERS TRUST CP/IPA, NEW YO 0.00 LONG TERM OPER-PIMCO 4,300,000.00 IBM CR CORP DISC 08-Feb-2000 -4,256,973. 72 44922ADA5 04/10/2000 -08-Feb-2000 0.00 FC BANKERS TRUST CP/lP A, NEW YO 08-Feb-2000 0.00 07-Mar-2000 8:57:19 Executive Workbe11cfl OCSGOOOJ 0000 OCSD-CONSOLIDA'FED 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 31,161.18 996085247 B 31,161.lS 996085247 FC 31,319.17 996085241 B 07-Mar-2000 8: 57: 19 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-PlMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PlMCO 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 l l-Feb-2000 l 1-Feb-2000 11-Feb-2000 l 1-Feb-2000 J 1-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. t 7 0.00 Executive 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 PC 12,800.00 996085247 B 12,800.00 996085247 FC 07-Mar-200() 8:S7: 19 ORANGE COUNTY SANITATION DISTRICT 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-PlMCO 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-PlMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PlMCO DREYFUS TREASURY CASH MGMT TRADE DATE/ SETTLDATE/ COMPLDATE 14"-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 14-Feb-2000 l 4-Feb-2000 l 4-Feb-2000 14"-Feb-2000 15-Feb-2000 15-Feb-2000 15-Feb-2000 l.5-Feb-2000 15-Feb-2000 PAGE: 9 AMOUNT/ COST/ GAIN/LOSS -31,319.17 0.00 0.00 -8,453.50 8,453.50 0.00 -8,453.SO 0.00 0.00 -891,546.SO 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 &ecutive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 10 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-PlMCO 1,255, 164.34 DREYFUS TREASURY CASH MGMT l 5-Feb-2000 -] ,255, 164.34 996085247 I 5-Feb-2000 1,255,164.34 B 0.00 LONG TERM OPER-PIMCO 1,255,164.34 DREYFUS TREASURY CASH MGMT 15-Feb-2000 -t,255,164.34 996085247 15-Feb-2000 0.00 FC 15-Feb-2000 0.00 LONG TERM OPER·PlMCO I 0,400,000.00 FEDBRAL NATL MTG ASSN DISCOU l 5-Feb-2000 -10,292,778.89 313588VV4 MAT 04/20/2000 15-Feb-2000 10,292, 778.89 B GOLDMAN SACHS & CO, NY 0.00 LONG TERM OPER-PIMCO 10,400,000.00 FEDERAL NATL MTG ASSN DISCOU 15-Feb-2000 -10,292, 778.89 313588VV4 MAT 04/20/2000 15-Feb-2000 0.00 FC GOLDMAN SACHS & CO, NY 15-Feb-2000 0.00 LIQUID C>PER-PIMCO 562.19 DREYFUS TREASURY CASH MGMT 16-Feb-2000 -562.19 996085247 l 6-Feb-2000 562.19 B 0.00 LIQUID OPER-PlMCO 562.19 DREYFUS TREASURY CASH MGMT 16-Feb-2000 -562.19 996085247 16-Feb-2000 0.00 FC 16-Feb-2000 0.00 LIQUID OPER·PIMCO 3,700,000.00 F'EDERAL HOME LN BK CONS DISC 16-Feb-2000 -3,699,437.81 3l3384TE9 MAT 02/ 17 /2000 16-Feb-2000 3,699,437.81 B LEHMAN GOVT SECS INC, NY 0.00 07-Mar-2000 8:57:19 Executive Workbench OCSGOOOl 0000 OCSD-CONSOLlDATED SHARES/PAR SECURITY ID TRANSCODE 200,000.00 313588TU9 B 3,700,000.00 313384TE9 FC 200,000.00 313588TU9 PC 14,000,000.00 98412CDH9 B 14,000,000.00 98412CDH9 FC 19,361.29 996085247 B 19,361.29 996085247 FC 07-Mar-2000 8:57:19 ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO FEDERAL NATL MTG ASSN DISCOU MAT 03/0212000 MORGAN JP SECS -FIXED INCO LIQUID OPER·PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/17/2000 LEHMAN GOVT SECS INC, NY LONG TERM OPER-PIMCO FEDERAL NATL MTG ASSN DISCOU MAT 03/021'1000 MORGAN J P SECS -FIXED INCO LONG TERM OPER-PIMCO XEROX CORP DISC 0411712000 GOLDMAN SACHS & CO, NY LONG TERM OPER-PIMCO XEROX CORP DISC 04/17/2000 GOLDMAN SACHS & CO, NY LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPERrPIMCO DREYFUS TREASURY CASH MGMT TRADE DATE/ SETTLDATE/ COJ.\'IPLDATE 16-Feb-2000 16-Feb-2000 16-Feb-2000 16-Feb-2000 16-Feb-2000 16-Feb-2000 I 6-Feb-2000 16-Feb-2000 l 6-Feb-2000 16-Feb-2000 16-Feb-2000 16-Feb-2000 l 6-Feb-2000 17-Feb-2000 l 7-Feb-2000 I 7-Feb-2000 17-feb-2000 17-Feb-2000 PAGE: 11 AMOUNT/ COST/ GAIN/LOSS -199,528.33 199,528.33 0.00 -3,699,437.81 0.00 0.00 -199,528.33 0.00 0.00 -13,861,699.45 13,861,699.45 0.00 -13,861,699.45 0.00 0.00 -19,361.29 19,361.29 0.00 -19,361.29 0.00 0.00 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 12 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 LIQUID OPER-PIMCO 2,768.28 DREYFUS TREASURY CASH MGMT 17-Feb-2000 ·2,768.28 996085247 17-Feb-2000 2,768.28 13 0.00 LIQUID OPER-PIMCO 2,768.28 DREYFUS TREASURY CASH MGMT J 7-Feb-2000 ·2,768.28 996085247 17 -Feb-2000 0.00 FC 17-Feb-2000 0.00 LIQUID OPER-PlMCO 2,000,000.00 FEDERAL HOME LN BK CONS DISC l 7-Feb-2000 -1,997,493.33 313384TN9 MAT 02125/2000 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 l 7-Feb-2000 -596,815.50 44922ACMO 03/2112000 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 02125/2000 l 7-Feb-2000 0.00 PC LEHMAN GOVT SECS INC, NY 17-Feb-2000 0.00 LONG TERM OPER-PIMCO 600,000.00 IBM DISC 17-Feb-2000 -596,815.50 44922ACM0 03/21/2000 l 7-Peb-2000 0.00 FC MERRILL LYNCH PIERCE FENNER l 7-Feb-2000 0.00 LIQUID OPER-PIMCO 1,700,000.00 FEDERAL HOME LN BK CONS DISC l 7-Feb-2000 -1,699,738.39 313384TF6 MAT 02/1812000 INCOME AT MAT l 7-Feb-2000 1,699, 738.39 B LEHMAN GOVT SECS INC, NY 0.00 07-Mar-2000 8:57:19 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 13 PORTFOLIO 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 LIQUID OPER-PIMCO 1,700,000.00 FEDERAL HOME LN BK CONS DISC l 7-Feb-2000 -l,699, 738.39 313384TF6 MAT 02/18/2000 INCOME AT MAT l 7-Feb-2000 0.00 PC LEHMAN GOVT SECS INC, NY 17-Feb-2000 0.00 WNG TERM OPER-P1MCO 62,286.76 DREYFUS TREASURY CASH MGMT 18-Feb-2000 ·62,286.76 996085247 18-Feb-2000 62,286.76 B 0.00 LONG TERM OPER-PIMCO 62,286.76 DREYFUS TREASURY CASH MGMT 18-Feb-2000 -62,286.76 996085247 18-Feb-2000 0.00 FC l 8-Feb-2000 0.00 LIQUID OPER·PIMCO 15,121.51 DREYFUS TREASURY CASH MGMT I 8-Feb-2000 -15,121.51 996085247 18-Feb-2000 15,121.51 B 0.00 LIQUID OPER-PTMCO 15, 121.51 DREYFUS TREASURY CASH MGMT 18-Feb-2000 -15,121.51 996085247 18-Feb-2000 0.00 PC 18-Feb-2000 0.00 LIQUID OPER-PIMCO 900,000.00 DAIMLERCHRYLSER DISC I 8-Feb-2000 -892,343.00 2338EODA1 04/1012000 18-Feb-2000 892,343.00 B MERJULLLYNCHPIERCEFBNNER 0.00 LIQUID OPER.-PIMCO 900,000.00 DAIMLERCHRYLSER DISC 18-Feb-2000 -892,343.00 2338EODAI 04/10/2000 18-Feb-2000 0.00 FC MERRILL LYNCH PIERCE FENNER l 8-Feb-2000 0.00 07-Mor-2000 8:57: 19 Executive Workbench OCSGOOOJ 0000 OCSD-CONSOUDATED SHARES/PAR SECURITY ID TRANSCODE I, 700,000.00 3l3384TRO B 1,700,000.00 3l3384TRO FC 42,725.50 996085247 B 42,725.50 996085247 FC 1,400,000.00 13443ACP8 B 1,400,000.00 13443ACP8 PC 71,337.27 996085247 B 07-Mar-2000 8:57:19 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 03/23/2000 CHASE SECURITIES, NEW YORK LONG TERM OPER·PIMCO DREYFUS TREASURY CASH MGMT TRADE DATE/ SETILDATE/ COMPLDATE 18-Feb-2000 18-Feb-2000 18-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 PAGE: 14 AMOUNT/ COST/ GAIN/LOSS -l,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 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: ']5 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 LONG TERM OPER-PIMCO 71,337.27 DREYFUS TREASURY CASH MGMT 24-Feb-2000 -71,337.27 996085247 24-Feb-2000 0.00 FC 24-Feb-2000 0.00 LONG TERM OPER-PIMCO 700,000.00 DAIMLERCHRYLSER DISC 24-Feb-2000 -694,776.44 2338EODA1 04/10/2000 24-Feb-2000 694,776.44 B MORGAN JP SECS -FIXED INCO 0.00 LONG TERM OPER-PIMCO 700,000.00 DAIMLERCHRYLSER DISC 24-Feb-2000 -694, 776.44 2338EODA1 04/10/2000 24-Feb-2000 0.00 FC MORGAN JP SECS -FIXED INCO 24-Feb-2000 0.00 LONG TERM OPER-PIMCO 3,600,000.00 ALUMINUM CO AMER DISC 24-Feb-2000 -3,589,632.00 02225ACEO 03/l4/2000 25-Feb-2000 J,589,632.00 B CHASE SECURITIES, NEW YORK 0.00 LONG TERM OPER-PlMCO 3,600,000.00 ALUMINUM CO AMER DISC 24-Feb-2000 -3,589,632.00 02225ACEO 03/14/2000 25-Feb-2000 0.00 FC CHASE SECURITIES, NEW YORK 25-Feb-2000 0.00 LIQUID OPER-PIMCO 25,507.11 DREYFUS TREASURY CASH MGMT 25-Feb-2000 -25,507.11 996085247 25-Feb-2000 25,507.l l B 0.00 LIQUID OPER-PIMCO 25,507.11 DREYFUS TREASURY CASH MGMT 25-Feb-2000 -25,507.11 996085247 25-Feb-2000 0.00 FC 25-Feb-2000 0.00 07-Mar-2000 8:57:19 Executive Workbench OCSGOOOJ 0000 OCSD-CONSOLIDAIED SHARESIPAR SECURITY ID TRANSCODE 2,000,000.00 313384TRO B 2,000,000.00 313384TRO FC 63,500,000.00 99366Wl33 B 63,500,000.00 99366Wl33 FC 3,729,418.27 996085247 B 3,729,418.27 996085247 FC 21,961.81 996085247 B 07-Mar-2000 8:57:19 ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL Ol-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT02/28/2000 LEHMAN GOVT SECS INC, NY LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MA T02/28/2000 LEHMAN GOVT SECS INC, NY LIQUID OPER-PIMCO LEHMAN BROTHERS REPO 05.560% 02/28/2000 DD 021251 LEHMAN BROS INC, NEW YORK LrQUID OPER-PIMCO LEHMAN BROTHERS REPO 05.560% 02/28/2000 DD 02/25/ LEHMAN BROS INC, NEW YORK LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMT LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMT TRADE DATE/ SETTLDATE/ COMPLDATE 25-Feb-2000 25-Feb-2000 25-Feb-2000 25-Feb-2000 25-Feb-2000 25-Feb-2000 25-Feb-2000 25-Feb-2000 25-Feb-2000 25-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 28-Feb-2000 PAGE: 16 AMOUNT/ COST/ GAIN/LOSS -1,999,073.33 l,999,073.33 0.00 • 1,999,073.33 0.00 0.00 -63,500,000.00 63,500,000.00 0.00 -63,500,000.00 0.00 0.00 -3, 729,418.27 3,729,418.27 0.00 -3,729,418.27 0.00 0.00 -21,961.81 21,961.81 0.00 Executive Workbench OCSGOOOJ 0000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANS CODE 21,961.81 996085247 PC 63,500,000.00 99366W687 B 63,500,000.00 99366W687 PC 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 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 CREDIT SUISSE FST REPO 05.650% 02/29/2000 DD 02/28/ CREDIT SUISSE FIRST BOSTON C LONG TERM OPER-PIMCO CREDIT SUISSE PST REPO 05.650% 02/29/2000 DD 02/28/ CREDIT SUISSE FIRST BOSTON C LIQUID OPER-P1MCO FEDERAL HOME LN BK CONS DISC MAT 02/29/2000 CREDIT SUISSE FIRST BOSTON C LCQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/29/2000 CREDIT SUISSE FIRST BOSTON C LONG TERM OPER-PlMCO DREYFUS TREASURY CASH MGMT LONG JERM OPER-PIMCO DREYFUS TREASURY CASH MGMT TRADE DATE/ SEITLDATEt COMPL DATE 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-Peb·2000 29-Feb-2000 PAGE; 17 AMOUNT/ COST/ GAIN/LOSS -21,961.81 0.00 o.oo -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 -258,457.01 258,457.0l 0.00 -258,457.01 0.00 0.00 Exectaive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 18 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 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 J P SECS • FIXED INCO 0.00 LCQUID OPER-PIMCO 3,800,000.00 FEDERAL HOME LN BK CONS orsc 29-Feb-2000 -3, 799,396.22 313384'11'6 MAT03/0l/2000 29-Feb-2000 0.00 PC MORGAN J P SECS -FIXED INCO 29-Feb-2000 o.oo LIQUID OPER-PIMCO 1,300,000.00 FEDERAL HOME LN MTG CORP DIS 29-Feb-2000 -1,288,261.00 3l3396WA7 MAT 04/2512000 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 3l3396WA7 MAT 04/2512000 lNCOME 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 ELECTRJC CAPTIAL COR 0.00 LONG TERM OPER-PlMCO 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 8:57:19 F.xecutive Workbench 8 ORANGE COUNTY SANITATION DISTRICT PAG'E: 19 PORTFOLIO DETAIL OCSGOOOJOOOO 01-FEB-2000 -29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETILDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS 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 0.00 FC GOLDMAN SACHS & CO, NY 29-Feb-2000 0.00 FIXED INCOME SECURITIES LONG TERM OPER-PIMCO 6,250,000.00 COMMIT TO PUR GNMA SF MTG 11-Jan-2000 -5,609,375.00 01N060627 6.000% 02115no29 22-Feb-2000 0.00 FC GOLDMAN SACHS & CO, NY 22-Feb-2000 0.00 LONG TERM OPER-PIMCO l 0,500,000.00 COMMIT TO PUR GNMA I SF MTG l l-Jan-2000 -9, 732, 187.50 01N062623 6.500% 02/22/2030 22-Feb-2000 0.00 FC MERRJLLLYNCHPIERCEFENNER 22-Feb-2000 0.00 LONG TERM OPER-PIMCO J 1,000,000.00 COMMIT TO PUR GNMA I SF MTG l l-Jan-2000 -10,202,500.00 01N062623 6.500% 02/22/2030 22-Feb-2000 0.00 FC BEAR STEARNS & CO INC, NY 22-Feb-2000 0.00 LONG TERM OPER-PIMCO 730,000.00 COMMIT TO PUR FNMA SF MTG 20-Jan-2000 -713,346.88 11F011628 VAR RT 02/25/2029 23-Feb-2000 0.00 FC GOLDMAN SACHS & CO, NY 23-Feb-2000 0.00 LONG TERM OPER-PIMCO 900,000.00 FEDERAL HOME LN BK CONS BDS 21 -Jan-2000 -899,550.00 3133MAQJI 6. 750% 02/01/2002 DD 02/0VO Ol-Feb-2000 0.00 FC WARBURG DILLON READ LLC, NEW 0 l-Feb-2000 0.00 LONG TERM OPER-PIMCO 2,800,000.00 GNMA GTD REMIC TR 2000-9 f'H 24-Ja(l-2000 -2,800,000.00 3837H4NX9 VAR RT 02/16/2030 28-Feb-2000 2,800,000.00 B LEHMAN GOVT SECS INC, NY 0.00 07-Mar-2000 8:57:19 Executive Workbench @ ORANGE COUNTY SANITATION DI.STRICT PAGE: 20 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-PlMCO 2,800,000.00 GNMA GTD REMIC TR 2000-9 PH 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 lJ s TREASURY NOTES I Ol-Feb-2000 -2,376,392.50 9128275N8 06.000% 08/15/2009 DD 08/15/ l 5-May-2000 2,376,392.50 B Ll?.HMAN GOVT SECS INC, NY 0.00 LONG TERM OPER-PIMCO 2,500,000.00 U S TREASURY NOTES 01-Feb-2000 -37,087.91 9128275N8 06.000% 08/15/2009 DD 08/15/ 15-May-2000 0.00 IB 0.00 LONG TERM OPBR-PlMCO 2,500,000.00 US TREASURY NOTES 0 l-Feb-2000 -2,387,890.62 9128275N8 06.000% 08/15/2009 DD 08/ J 5/ 02-Feb-2000 2,387,890.62 B LEHMAN GOVT SECS INC, NY 0.00 LONG TERM OPER-PIMCO 2,500,000.00 U S TR.EASUR Y NOTES Ol-Feb-2000 -69,701.09 9128275N8 06.000% 08/15/2009 PD 08/15/ 02-Feb-2000 0.00 IB 0.00 LONG TERM OPER-PlMCO 2,500,000.00 US TREASURY NOTE~ Ol-Feb-2000 -2,457,591.71 9128275N8 06.000% 08/15/2009 DD 08/15/ 02-Feb-2000 0.00 FC LEHMAN GOVT SECS lNC, NY 02-Feb-2000 0.00 F.xec11tive Workbench OCSGOOOJ 0000 OCSD-CONSOUDATED SHARES/PAR SECURITY ID TRANSCODE 10,500,000.00 01N062631 B 11,000,000.00 01N062631 B 4,900,000.00 9128274Vl B 4,900,000.00 9128274Vl IB 4,900,000.00 9128274V1 FC 2,000,000.00 31359MFG3 B 2,000,000.00 31359MFG3 m 07-Mar-2000 8:57: 19 ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-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% 1111512008 DD 11/15/ GOLDMAN SACHS & CO, NY LONG TERM OPER-PIMCO US TREASURY NOTES 04.750% 1111512008 DD 11115/ LONG TERM OPER-PIMCO US TREASURY NOTES 04.750% ll/15/2008 DD 11115/ GOLDMAN SACHS & CO, NY LONG TERM OPER-PIMCO FEDERAL NA TL MTG ASSN DEas 7.250% 01/15/2010 DD 1/14/20 MERRILLLYNCHPIERCEFENNER LONG TERM OPER-PIMCO FEDERAL NATL MTG ASSN DEBS 7.250% 01/15/2010 DD 1114120 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-Peb-2000. 04-feb-2000 PAGE: 21 AMOUNT/ COST/ GAIN/LOSS -9,699,375.00 9,699,375.00 0.00 -10,161,250.00 10,161,250.00 0.00 -4,316,057.20 4,316,057.20 0.00 -51,793.27 0.00 0.00 -4,367,850.47 0.00 0.00 -2,013,100.00 2,013,100.00 0.00 -8,055.56 0.00 0.00 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 22 PORTFOLIO DETAIL OCSGOOOJOOOO Ol-FEB-2000 -29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ S,EITLDATE/ 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% Ol/15/2010 DD l/14/20 04-Feb~2000 0.00 FC MERRlLLLYNCHPJERCEFENNER 04-Feb-2000 0.00 LONG TERM OPER-PJMCO 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 US TREASURY NOTES 08-Feb-2000 -12,554.35 9128275N8 06.000% 08/15/2009 DD 08/15/ 09-Feb-2000 0.00 1B 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 U S TREASURY NOTES 08-Feb-2000 -2,445, I 87.50 9128274Vl 04.750% 11/15/2008 DD 11115/ 09-Feb-2000 2,445,187.50 B GOLDMAN SACHS & CO, NY 0.00 LONG TERM OPER-PJMCO 2,800,000.00 US TREASURY NOTES 08-Feb-2000 -31,423.08 9128274Vl 04.750% 11115/2008 DD 11/15/ 09-Feb-2000 0.00 lB 0.00 LONG TERM OPER-PIMCO 2,800,000.00 US TREASURY NOTES 08-Feb-2000 -2,476,610.58 9128274VI 04.750% 11/15/2008 DD 11/15/ 09-Feb-2000 0.00 FC GOLDMAN SACHS & CO, NY 09-Feb-2000 0.00 07-Mar-2000 8:57:19 Executive Workbench 8 ORANGE COUNTY SANITATION DISTRICT PAG'E: ~3 PORTFOLIO DETAIL OCSGOOOJ 0000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOUDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTL DATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO 6,250,000.00 COMMIT TO PUR GNMA SF MTG 14-Feb-2000 -S,593,750.00 01N060635 6.000% 03/15/2029 22-Mar-2000 5,593,750.00 B GOLDMAN SACHS & CO, NY 0.00 LONG TERM OPER-PIMCO 340,811.80 FHLMC GROUP #78-6064 18-Feb-2000 -332,504.51 31348SWZ3 6.384% 01/01/2028 DD 12/01/ 24-Feb-2000 332,504.51 B AMHERST, HOUSTON 0.00 LONG TERM OPER-PIMCO 340,811.80 FHLMC GROUP #78-6064 18-Feb-2000 -1,381.78 31348SWZ3 6.384% 01/01/2028 DD 12/01/ 24-Feb-2000 0.00 1B 0.00 LONG TERM OPER-PIMCO 340,811.80 FHLMC GROUP #78-6064 18-Feb-2000 -333,886.29 31348SWZ3 6.384% Ol/Ol/2028 DD 12/01/ 24-Feb-2000 0.00 FC AMHERST, HOUSTON 24-Feb-2000 0.00 LONG TERM OPER-PIMCO 2, 100,000.00 FEDERAL NATL MTG ASSN DEBS 22-Feb-2000 -2,008,440.00 31359MEY5 6.625o/o 09/15/2009 DD 09/01/9 23-Feb-2000 2,008,440.00 B MERRlLLLYNCHPIERCEFENNER 0.00 LONG TERM OPER-PIMCO 2, I 00,000.00 FEDERAL NATL MTG ASSN DEBS 22-Feb-2000 -66,470.83 31359MEY5 6.625% 09/15/2009 DD 09/01/9 23-Feb-2000 0.00 IB 0.00 LONG TERM OPER-PIMCO 2,100;000.00 FEDERAL NATL MTG ASSN DEBS 22-Feb-2000 -2,074,910.83 31359MEY5 6.625% 09/15/2009 DD 09/01/9 23-Feb-2000 0.00 FC MERRILL LYNCH PIERCE FENNER 23-Feb-2000 0.00 Ol-Mar-2000 8:57:19 Executive Workbench OCSGOOOJ 0000 OCSD-CONSOLIDATED PA YUPS SHARES/PAR SECURITY ID TRANSCODE 25,000,000.00 912827Z62 B 25,000,000.00 912827Z62 IB 3,000,000.00 209IllCU5 B 3,000,000.00 209111CU5 IB FIXED INCOME SECURITIES 20.00 9128275W8 PU 20.00 9128275W8 FC ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PlMCO U S TREASURY NOTES 06.500% 10/15/2006 DD 101151 MORGAN STANLEY & CO INC, NY LONG TERM OPER-PIMCO US TREASURY NOTES 06.500% I0/1512006 DD 10/l 5/ LONG TERM OPER-PfMCO CONSOLIDATED EDISON N Y OcBS FLTG RT 06/1512002 DD 06/20/ MEIUULL. LYNCH PlERCE FENNER LONG TERM OPER-PTMCO CONSOLIDATED EDISON N Y DEBS FLTG RT06/l.5/2002 DD 061101 LONG TERM OPER-PIMCO US TREASURY INFLATlON lNDEX 4.250%001/1512010 DD 01115/ LONG TERM OPER-PIMCO US TREASURY INFLATION lNDE~ 4.250%001/15/2010 DD 01/15/ TRADE DATE/ SETILDATE/ COMPLDATE 28-Feb-2000 Ol-Mar-2000 28-Feb-2000 01-Mar-2000 29-Feb-2000 02-Mar-2000 29-Feb-2000 02-Mar-2000 15-Jan-2000 15-Jan-2000 I 5-Jan-2000 l 5-Jan-2000 29-Feb-2000 PAGE: AMOUNT/ COST/ GAIN/LOSS -24,837,890.63 24,837,890.63 0.00 -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 Exem1live Workbench OCSGOOO I 0000 OCSD-CONSOLIDATED 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 3133Tl7A4 PU 07-Mar-2000 8:57: 19 ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL Ol-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO US TREASURY INFLATJON INDEX 3.375% 01/15/2007 DD 01/15/ LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX 3.375% OJ/1512007 DD 01115/ LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX 3.625% 07/15/2002 DD 07/15/ LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX 3.625% 07/15/2002 DD 07/15/ LONG TERM OPER-PIMCO FHLMC MULTI CLASS CTF E3 A 6.324% 08/15/2032 LONG TERM OPER·PIMCO FHLMC MULTICLASS CTP E3 A 6.324% 08115/2032 LONG JERM OPER-PIMCO FHLMC MULTICLASS CTF SER 162 6.000% 11/15/2023 DD 11/01/9 TRADE DATE/ SETTLDATE/ COMPLDATE l 5-Jan-2000 l 5-Jan-2000 15-Jan-2000 l 5-Jan-2000 29-feb-2000 15-Jan-2000 l 5-Jan-2000 15-Jan-2000 l 5-Jan-2000 29-Feb-2000 Ol-Feb-2000 Ol-Feb-2000 01-Feb-2000 OJ-Feb-2000 15-Feb-2000 Ol-Feb-2000 0 l-Feb-2000 PAGE: 25 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 -l l,932.80 11,932.80 0.00 Exeet1tive Workbench @ II ORANGE COUNTY SANITATION DISTRICT PAGE: 26 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 LONG TERM OPER-PIMCO 11 ,932.80 FHLMC MULTICLASS CTF SER 162 Ol-Feb-2000 -ll,932.80 3133Tl7A4 6.000% 11 /15/2023 DD ll/01/9 Ol-Feb-2000 0.00 PC 15-Feb-2000 0.00 SALES CASH & CASH EQUIVALENTS LONG TERM OPER-PIMCO -2,585,831.44 DREYFUS TREASURY CASH MGMT 03-Feb-2000 2,585,831.44 996085247 03-Feb-2000 -2,585,831.44 s 0.00 LONG TERM OPER·PIMCO -2,585,83 1.44 DREYFUS TREASURY CASH MGMT 03-Feb-2000 2,585,83 1.44 996085247 03-Feb-2000 0.00 FC 03-Feb-2000 0.00 LIQUID OPER-PIMCO -80,065.48 DREYFUS TREASURY CASH MGMT 03-Feb-2000 80,065.48 996085247 03-Feb-2000 -80,065.48 s 0.00 LIQUID OPER·PIMCO -80,065.48 DREYFUS TREASURY CASH MGMT 03-Feb-2000 80,065.48 996085247 03-Feb-2000 0.00 FC 03-Feb-2000 0.00 LIQUID OPER-PIMCO -900,000.00 FLORIDA PWR CORP DISC 03-Feb-2000 890,448.00 34ltOAB93 02/09/2000 03-Feb-2000 -890,448.00 s MERRJLL LYNCH PIERCE FENNER 0.00 07-Mar-2000 8:57:19 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT 11 PAGE: 27 PORTFOLIO DETAIL OCSGOOOJ 0000 01-FEB-2000-29-FEB-2000 OCSD-CONSOLIDATED SllARES/P AR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LIQUID OPER-PIMCO -900,000.00 FLORJDA PWR CORP DISC 03-Feb-2000 8,689.50 341 10AB93 02/09/2000 03-Feb-2000 0.00 IS 0.00 LIQUID OPER-PIMCO -900,000.00 FLORIDA PWR CORP DISC 03-Feb-2000 899,137.50 34110AB93 02/09/2000 03-Feb-2000 0.00 FC MERRJLL LYNCH PIERCE FENNER 03-Feb-2000 0.00 LIQUID OPER-PIMCO -2,500,000.00 FEDERAL NATL MTG ASSN DISC 03-Feb-2000 2,485,301.39 313588SX4 02/10/2000 03-Feb-2000 -2,485,301.39 s HSBC SECS INC, NEW YORK 0.00 LIQUID OPER-PIMCO -2,500,000.00 FEDERAL NATL MTG ASSN DISC 03-Feb-2000 11,961.80 313588SX4 02/10/2000 03 -Feb-2000 0.00 IS 0.00 LIQUID OPER-PIMCO -2,500,000.00 FEDERAL NATL MTG ASSN DISC 03 -Feb-2000 2,497,263.19 313588SX4 02/10/2000 03 -Feb-2000 0.00 FC HSBC SECS INC, NEW YORK 03-Feb-2000 0.00 LIQUID OPER-PIMCO -700,000.00 FEDERAL HOME LN MTG CORP DJS 03 -Feb-2000 697,861. 11 313396SV6 MAT 02/08/2000 03-Feb-2000 -697,861.1 1 s HSBC SECS INC, NEW YORK 0.00 LIQUID OPER-PIMCO -700,000.00 FEDERAL HOME LN MTG CORP DIS 03-Feb-2000 1,592.50 313396SV6 MAT 02/08/2000 03-Peb-2000 0.00 IS 0.00 07-Mar-2000 8:57:19 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 28 PORTFOLIO DETAIL OCSGOOO 10000 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 LIQUID OPER-PTMCO -700,000.00 FEDERAL HOME LN MTG CORP DIS 03-Feb-2000 699,453.61 3l3396SV6 MAT 02/08/2000 03-Feb-2000 0.00 FC HSBC SECS INC, NEW YORK 03-Feb-2000 0.00 LIQUID OPER-PlMCO -1,239.38 BSDT-LATE MONEY DEPOSIT ACCT 04-Feb-2000 l,239.38 996087094 04-Feb-2000 -1,239.38 s 0.00 LONG TERM OPER-PIMCO -7,323.77 BSDT-LATE MONEY DEPOSIT ACCT 04-Feb-2000 7,323.77 996087094 04-Feb-2000 -7,323.77 s 0.00 LONG TERM OPER-PIMCO -J,100,000.00 FEDERAL NATL MTG ASSN DISC N 04-Feb-2000 1,097,488.33 313588SW6 MAT 02/09/2000 04-Feb-2000 -1 ,097,488.33 s MORGAN JP SECS -FIXED INCO 0.00 LONG TERM OPER-PIMCO -1,100,000.00 FEDERAL NATL MTG ASSN DISC N 04-Feb-2000 1,648.48 313588SW6 MAT 02/09/2000 04-Feb-2000 0.00 IS 0.00 LONG TERM OPER-PIMCO -l,100,000.00 FEDERAL NATL MTG ASSN DISC N 04-Feb-2000 1,099,136.81 313588SW6 MAT 02/09/2000 04-Feb-2000 0.00 FC MORGAN J P SECS -FIXED INCO 04-Feb-2000 0.00 LONG TERM OPER-PIMCO -4,400,000.00 FEDERAL HOME MTG MTG CORP DI 04-Feb-2000 4,366,208.00 313396UP6 MAT 03/21/2000 04-Feb-2000 -4,366,208.00 s MORGAN JP SECS -FIXED INCO 0.00 07-Mar-2000 8:57: 19 Executive Workbench 8 ORANGE COUNTY SANITATION DISTRICT II PAGE: '29 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 GAIN/LOSS LONG TERM OPER-PIMCO -4,400,000.00 FEDERAL HOME MTG MTG CORP DI 04-Feb-2000 1,745.33 313396UP6 MAT 0312112000 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 o.oo LONG TERM OPER-PIMCO -2,298,498.67 DREYFUS TREASURY CASH MdMT 07-Feb-2000 2l298,498.67 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 o.oo 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 05.610% 02/08/2000 DD 02/07/ 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% 02/08/2000 DD 02/07/ 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% 02/08/2000 DD 02/07/ 08-Feb-2000 0.00 FC LEHMAN BROS INC, NEW YORK 08-Peb-2000 0.00 07-Mar-2000 8:57: 19 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 30 PORTFOLIO DETAIL OCSGOOO 10000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION .DESCRIPTION/ SETIL .DA TE/ COST/ TRANSCO.DE BROKER COMPL.DATE GAIN/LOSS LONG TERM OPER-PIMCO -53,093.38 DREYFUS TREASURY CASH MGMT t 6-Feb-2000 53,093.38 996085247 16-feb-2000 -53,093.38 s 0.00 LONG TERM OPER-PJMCO -53,093.38 DREYFUS TREASURY CASH MGMT 16-Feb-2000 53,093.38 996085247 l 6-Feb-2000 0.00 PC 16-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 99366W133 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 Workbench OCSGOOO 10000 OCSD-CONSOLLDATED SHARES/PAR SECURITY ID TRANSCODE -63,500,000.00 99366W133 IS -63,500,000.00 99366Wl33 FC -2,800,000.00 313396TZ6 s -2,800,000.00 313396TZ6 JS -2,800,000.00 313396TZ6 FC -3,858,584.64 996085247 s -3,858,581.M 996085247 FC 07-Mar-2000 8:57:19 "•~HU.l!I \...VU!~ 1 l'. :SANlTA UUN UUSJ.KICJ PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LIQUID OPER-PIMCO LEHMAN BROTHERS REPO 05.560% 02128/2000 DD 02/25/ LIQUID OPER-PIMCO LEHMAN BROTHERS REPO 05.560% 02/28/2000 DD 02125/ 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-PlMCO FEDERAL HOME LN MTG CORP ms MAT 03/07 /2000 LONG TERM OPER•PIMCO FEDERAL HOME LN MTG CORP DIS MAT 03107/2000 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:· 3 AMOUNT1 COST/ GAIN/LOSS 29,421.67 0.00 o.oo 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 E"Cecutf\Je Workbench @ ORANGE COUNTY SANITATION DISl'RICT PAGE: 32 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 LONG TERM OPER-PIMCO -63,500,000.00 CREDIT SUISSE FST REPO 29-Feb-2000 63,500,000.00 99366W687 05.650% 02/29/2000 DD 02/28/ 29-Feb-2000 -63,500,000.00 s CREDIT SUISSE FlRST BOSTON C 0.00 LONG TERM OPER-PIMCO -63,500,000.00 CREDIT SUISSE PST REPO 29-Feb-2000 9,965.97 99366W687 05.650% 02/29/2000 DD 02/28/ 29-Feb-2000 0.00 IS 0.00 LONG TERM OPER-PIMCO -63,500,000.00 CREDIT SUISSE FST REPO 29-Feb-2000 63,509,965.97 99366W687 05.650% 0212912000 DD 02/28/ 29-Feb-2000 0.00 PC CREDIT SUISSE FIRST BOSTON C 29-Feb-2000 0.00 FIXED JNCOME SECURITIES LONG TERM OPER-PIMCO -730,000.00 COMMIT TO PUR FNMA SF MTG 28-Jan-2000 708,100.00 llFOI 1628 VAR RT 02/25/2029 23-Feb-2000 0.00 FC GOLDMAN SACHS & CO, NY 23-Feb-2000 0.00 LONG TERM OPER-PIMCO -2,500,000.00 U S TREASURY NOTES 01-Feb-2000 2,389,062.50 9!28275N8 06.000% 08/15/2009 DD 08/l 5/ 02-Feb-2000 -2,379,202.17 s LEHMAN GOVT SECS INC, NY 9,860.33 LONG TERM OPER-PIMCO -2,500,000.00 US TREASURY NOTES 01-Feb-2000 69,701.09 9128275N8 06.000% 08/15/2009 DD 08/15/ 02-Feb-2000 0.00 IS 0.00 LONG TERM OPER-PIMCO -2,500,000.00 US TREASURY NOTES 01-Feb-2000 2,458;763.59 9128275N8 06.000o/o 08/15/2009 DD 081151 02-Feb-2000 0.00 FC LEHMAN GOVT SECS INC, NY 02-Feb-2000 0.00 07-Mar-2000 8:57: 19 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 33 PORTFOLIO DETAIL OCSGOOOJ 0000 01-FEB-2000-29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECUlUTY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO -2,800,000.00 US TREASURY NOTES 01-Feb-2000 2,442,487.60 9128274Vl 04.750% 11/15/2008 DD 11/15/ 02-Feb-2000 -2,4i9,218.75 s LEHMAN GOVT SECS INC, NY 13,268.85 LONG TERM OPER-PIMCO -2,800,000.00 U $TREASURY NOTES 01-Feb-2000 28,865.38 9128274Vl 04.750% 11/15/2008 DD 11/15/ 02-Peb-2000 0.00 IS 0.00 LONG TERM OPER-PIMCO -2,800,000.00 US T.REASUR Y NOTES 0 l ·Feb-2000 2;471,352.98 9128274Vl 04.750% 11/15/2008 DD J l/15/ 02-Feb-2000 0.00 FC LEHMAN GOVT SECS INC, NY 02-Feb-2000 0.00 LONG TERM OPER-PIMCO -10,500,000.00 COMMIT TO PUR GNMA 1 SF MTG 02-Feb-2000 9,712,500.00 01N062623 6.500% 02/22/2030 22-Feb-2000 -9,735,545.06 s MERRILL LYNCH PIERCE FENNER -23,045.06 LONG TERM OPER-PIMCO -10,500,000.00 COMMIT TO PUR GNMA I SF MTG 02-Feb-2000 9,712,500.00 OJN062623 6.500% 02/22/2030 22-Feb-2000 0.00 FC MERRILLLYNCHPIBRCEFENNER 22-Feb-2000 0.00 LONG TERM OPER-PIMCO -11,000,000.00 COMMIT TO PUR GNMA I SF MTG 02-Feb-2000 10, 175,000.00 OJN062623 6.500% 02/22/2030 22-Feb-2000 -10, 199, 142.44 s BEAR STEARNS & CO INC, NY -24,142.44 LONG TERM OPER-PIMCO -11,000,000.00 corvtMIT TO PUR GNMA 1 SF MTG 02-Feb-2000 10,175,000.00 OIN062623 6.500% 02122/2030 22-Feb-2000 0.00 FC BEAR STEARNS & CO INC, NY 22-Feb-2000 0.00 07-Mar-2000 8:57: 19 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 34 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 GAIN/LOSS LONG TERM OPER-PIMCO -1 ,200,000.00 U S TREASURY NOTES 03-Feb-2000 1,160,625.00 9128275N8 06. 000% 08/ 15/2009 DD 08/ l 5/ 04-Feb-2000 -I , 142,017.04 s GOLDMAN SACHS & CO, NY 18,607.96 LONG TERM OPER-PlMCO -1,200,000.00 US 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 l,194,472.83 9128275N8 06.000% 08(15/2009 DD 08/15/ 04-Feb-2000 0.00 PC GOLDMAN SACHS & CO, NY 04-Feb-2000 0.00 LONG TERM OPER-PIMCO -2,000,000.00 US TREASURY NOTES 03-Feb-2000 1,944,375.00 9J28275N8 06.000% 08/15/2009 DD 08/15/ 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 OPBR·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: 35 PORTFOLIO DETAIL OCSGOOOJ 0000 01-FEB-2000-29-FEB-2000 OCSD·CONSOLLDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECUR.ITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO -2,500,000.00 US TREASURY NOTES 08-Feb-2000 72,554.35 9128275N8 06.000% 08/15/2009 DD 08/15/ 09-Feb-2000 0.00 IS 0.00 LONG TERM OPElt-PLMCO -2,500,000.00 U S TREASURY NOTES 08-Feb-2000 2,463,960.60 9128275N8 06.000% 08/1512009 DD 08/15/ 09-Feb-2000 0.00 FC GOLDMAN SACHS & CO, NY 09-Feb-2000 0.00 LONG TERM OPER-PlMCO -2,500,000.00 u s TREAS UR y NOTES I 08-Feb-2000 2,380,110.00 9128275N8 06.000% 0811512009 DD 08/15/ 15-May-2000 -2,392, 187.50 s LEHMAN GOVT SECS INC, NY -12,077.50 LONG TERM OPER-PIMCO -2,500,000.00 US TREASURY NOTES 08-Feb-2000 37,087.91 9128275N8 06.000% 08115/2009 DD 08/ l 5/ l5·May·2000 0.00 IS 0.00 LONG TERM OPER-PIMCO -6,250,000.00 COMMIT TO PUR GNMA SF MTG t 4-Feb-2000 5,600,341.80 01N060627 6.000% 02/15/2029 22-Feb-2000 -5,609,375.00 s GOLDMAN SACHS & CO, NY -9,033.20 LONG TERM OPER-PIMCO -6,250,000.00 COMMIT TO PUR GNMA SF MTG 14-Feb-2000 5,600,341.80 01N060627 6.000% 02/15/2029 22-Feb-2000 0.00 FC GOLDMAN SACHS & CO, NY 22-Feh-2000 0.00 LONG TERM OPER-PIMCO -2,000,000.00 FEDERAL NA1L MTG ASSN DEBS 22-Feb-2000 2,003,437.50 31359MFG3 7.250%01/15/2010 DD i/l4/20 23-Feb-2000 -2,013,100.00 s MERRILL LYNCH PIERCE FENNER -9,662.50 --.. , "'""n o .. c7 .10 Executive Workbench OCSGOOOJ 0000 OCSD-CONSOLIDATED SllMU:S/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 ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO FEDERAL NATL MTG ASSN DEBS 7.250% 01/1512010 DD 1114/20 LONG TERM OPER-PIMCO FEDERAL NA TL MTG ASSN DEBS 7.250% 01/15/2010 DD 1/14/20 MERRILL LYNCH PIERCE FENNER 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 MULTICLASS CTF E3 A 6.324% 08/15/2032 LONG TERM OPER-PIMCO FHLMC GROUP #GS-0476 7.000% 02/01/2003 DD 02/0I/ TRADE DATE/ SETTLDATE/ COMPLDATE 22-Feb-2000 23-Feb-2000 22-Feb-2000 23-Feb-2000 23-Feb-2000 Ol-Jan-2000 01-Jan-2000 Ol-Jan-2000 01-Jan-2000 01-Jan-2000 Ol-Jan-2000 15-Feb-2000 0 l-Peb-2000 01-Feb-2000 II PAGE: 36 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 @ ORANGE COUNTY SANITATION DISTRICT PAGE: 37 PORTFOLIO DETAIL OCSGOOO J 0000 Ol-FEB-2000 -29-FEB-2000 OCSD-CONSOUDATED SHARES/PAR TRADEDATEf AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATE/ COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO -39,873.05 FH.LMC GROUP#G5-0476 Ol-Feb-2000 39,873.05 3128DDQ55 7.000% 02/0 I /2003 DD 02/0 l/ 01 ~Feb-2000 0.00 FC l 5-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 Ol-Feb-2000 -38,141.24 PD 53.71 LONG TERM OPER-PIMCO -38,194.95 FHLMC MULTICL MTG P/C 1574 E 01-Feb-2000 38,194.95 3133T02D5 5.900% 06/15/2017 01-Feb-2000 0.00 FC l 5-Feb-2000 0.00 LONG TERM OPER-PIMCO -32,928.60 GNMA II POOL #0080023 Ol-Feb-2000 32,928.60 36225CAZ9 6.125% 12/20/2026 DD 12/01/ Ol-Feb-2000 -33,473.98 PD -545.38 LONG TERM OPER-PIMCO -32,928.60 GNMA II POOL #0080023 0 I-Feb-2000 32,928.60 36225CAZ9 6.125% 1212012026 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 01-Feb-2000 34,299.89 36225CC20 VAR RT 06/20/2027 DD 06/01/9 01-Feb-2000 -35,050.20 PD -750.31 LONG TERM OPER-PIMCO -34,299.89 GNMA II POOL #080088M Ol-Feb-2000 34,299.89 36225CC20 VAR RT 06/20/2027 DD 06/01/9 01-Feb-2000 0.00 FC 22-Feb-2000 0.00 07-Mar-2000 8:57: 19 Executive Workbench OCSGOOOJ 0000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE -7,934.60 3137IHU48 PD -7,934.60 3l371HU48 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 r:: ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO FNMA POOL #0252703 6.500% 09/01/2006 DD 08/01/ LONG TERM OPER-PlMCO FNMA POOL #0252703 6.500% 09/01/2006 DD 08/01/ LONG TERM OPER-PIMCO FHLMC MULTICLASS CTF E3 A 6.324% 08/15/2032 LONG TERM OPBR-PIMCO WMP/HUNTOON PAIGE #000-11150 7.500% 12/01/2030 DD 10/21/9 LONG TERM OPER-PIMCO GREEN TREE CORP 99-D CL A-1 6.290% 10/1512013 DD 0812619 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% 09/01/2001DD03/15/9 TRADE DATE/ SETTLDATE/ COMPLDATE Ol-Feb-2000 Ol-Feb-2000 01-Feb-2000 Ol-Feb-2000 25-Feb-2000 01-Peb-2000 Ol-Feb-2000 Ol-Feb-2000 Ol-Feb-2000 15-Feb-2000 15-Peb-2000 15-Feb-2000 I 5-Feb-2000 15-Feb-2000 15-Feb-2000 15-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 -5L24 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 OCSGOOOJ 0000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE MATURITIES -7,822.09 31677EAA4 FC CASH & CASH EQUIVALENTS -900,000.00 59018JB11 MT -9,500,000.00 3 l3396SP9 MT -3, 700,000.00 313384SP5 MT -503,000.00 313396SQ7 MT -1,200,000.00 l2478JB70 MT 07-Mar-2000 8:57:19 ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO FIFTH THIRD BK AUTO TR 96A C 6.200% 0910112001DD03/15/9 LONG TERM OPER-PIMCO MERRILL LYNCH CO DISC 02/0 1/2000 LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 02/02/2000 LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/02/2000 LIQUID OPER-PIMCO FEDERAL HOME LN MTG CORP ms 02/03/2000 LONG TERM OPER-PIMCO CBA (DELAWARE) DISC 02/07/2000 TRADE DATE/ SETTLDATE/ COMPLDATE 15-Feb-2000 15-Feb-2000 15-Feb-2000 0 l-Feb~2000 01-Feb-2000 0 l-Feb-2000 02-Feb-2000 02-Feb-2000 02-Peb-2000 02-Feb-2000 02-Feb-2000 02-Feb-2000 03-Feb-2000 03-Feb-2000 03-Feb-2000 07-Feb-2000 07-Feb-2000 07-Feb-2000 PAGE: 39 AMOUNT/ COST/ GAIN/LOSS 7,822.09 0.00 0.00 899,447.00 -899,447.00 0.00 9,459,139.44 -9,459, 139.44 0.00 3,697,194,17 -3,697,194.17 0.00 501,430.56 -501,430.56 0.00 I, 195,025.33 -1,195,025.33 0.00 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 40 PORTFOLIO DETAIL OCSGOOOJ 0000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY TD 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 1,196,529.33 313312SV3 MAT 02/08/2000 08-Feb-2000 -1, 196,529.33 MT 08-Feb-2000 0.00 LONG TERM OPER-PIMCO -7,700,000.00 IBM DISC 08-Feb-2000 7,624,155.00 45920DB85 02/08/2000 08-Feb-2000 -7,624,155.00 MT 08-Feb-2000 0.00 LONG TERM OPER-PIMCO -10, 700,000.00 GENERAL ELEC CAP DISC 09-Feb-2000 10,579, 743 .89 36959HB97 02/09/2000 09-Feb-2000 -10,579, 743.89 MT 09-Feb-2000 0.00 LIQUID OPER-PIMCO -900,000.00 GENERAL ELEC CAP DISC 14-Feb-2000 890,636.50 36959HBE6 02/14/2000 14-Feb-2000 -890,636.50 MT 14-Feb-2000 0.00 LONG TERM OPER-PJMCO -1,200,000.00 FEDERAL HOME LN MTG CORP DIS 15-Feb-2000 I, 198,498.67 313396TC7 MAT 02/15/2000 15-Feb-2000 -1,198,498.67 MT 15-Feb-2000 0.00 LONG TERM OPER-PIMCO -14,000,000.00 XEROX CORP DISC 16-Fcb-2000 13,953,858.33 98412CBG3 02/16/2000 16-Feb-2000 -13,953,858.33 MT l 6-Feb-2000 0.00 LIQUID OPER-PIMCO -3, 700,-000.00 FEDERAL HOME LN BK CONS DISC 16-Feb-2000 3,691,845.39 313384TD1 MAT 02/16/2000 16-Feb-2000 -3,691,845.39 MT 16-Feb-2000 0.00 07-Mar-2000 8:57:19 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 41 PORTFOLIO DETAIL OCSGOOO I 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 LIQUID OPER-PlMCO -3, 700,000.00 FEDERAL HOME LN BK CONS DISC 17-Feb-2000 3,699,437.81 313384TE9 MAT 02/17/2000 17-Feb-2000 ~3,699,437.81 MT l 7-Feb-2000 0.00 LONG TERM OPER-PlMCO -600,000.00 ANZ DELAWARE lNC DISC 17-Feb-2000 597,728.00 00181RBH3 02/17/2000 l 7-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-Feb-2000 -897,390.00 MT l 8-Feb-2000 0.00 LIQUID OPER-PIMCO -1,700,000.00 FEDERAL HOME LN BK CONS DISC 18-Feb-2000 1,699,738.39 313384TF6 MAT 02/18/2000 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-f eb-2000 -1,086,844.00 Mr 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 -3,486,048.6 l MT 25-Feb-2000 0.00 LIQUID OPER-PIMCO -2,000,000.00 FEDERAL HOME LN BK CONS DISC 25-Feb-2000 l,997;493.33 3133841N9 MAT 02/25/2000 25-Feb-2000 -1,997,493.33 MT 25-Feb-2000 0.00 07-Mar-2000 8:57: 19 Executive Workbench OCSGOOOJ 0000 OCSD-CONSOLJDATED 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 718154BB2 MT 0.00 996087094 IT 900,000.00 590181Bl 1 IT 07-Mar-2000 8:57:19 ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT02/28/2000 LIQUID OPER-PIMCO FEDERAL HOME LN MTG CORP DIS MAT 02129/2000 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 BSDT-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 15-Feb-2000 15-Feb-2000 l 5-Feb-2000 0 l-Feb-2000 Ol-Feb-2000 Ol-Feb-2000 01-Feb-2000 Ol-Feb-2000 0 l-Feb-2000 II PAGE: 42 AMOUNT/ COST/ GAIN/LOSS 3,696,428.89 -3,696,428.89 0.00 I ,294,667 .11 -1,294,667.1 1 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 ExecuJive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 43 PORTFOLIO DETAIL OCSGOOOJ 0000 01-FEB-2000-29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTL DATE/ COST/ TRANS CODE BROKER COMPLDATE GAIN/LOSS LIQUID OPER-PIMCO 3,700,000.00 FEDERAL HOME LN BK CONS DISC 02-Feb-2000 2,805.83 313384SP5 MAT 02/02/2000 02-Feb-2000 0.00 IT 02-Feb-2000 0.00 LONG TERM OPER-PIMCO 9,500,000.00 PEDERAL HOME LN MTG CORP DIS 02-Feb-2000 40,860.56 313396SP9 MAT 02/02/2000 02-Feb-2000 0.00 IT 02-Feb-2000 0.00 LONG TERM OPER-PIMCO 1,000,000.00 HOUSEHOLD FfN MTN SR #00570 02-Feb-2000 16,240.56 4418IKZT4 FLTG RT 08/0 I /200 I DD 09/04/ 02-Feb-2000 0.00 IT 02-Feb-2000 0.00 LONG TERM OPER-PIMCO 0.00 DREYFUS TREASURY CASH MGMT 03-Feb-2000 7,323.77 996085247 0 l-Feb-2000 0.00 IT 03-Feb-2000 0.00 LIQUID OPER-PIMCO 0.00 DREYFUS TREASURY CASH MGMT 03-Feb-2000 1,239.38 996085247 0 l-Peb-2000 o.oo IT 03-Feb-2000 o.oo LIQUID OPER-PIMCO 503,000.00 FEDERAL HOME LN MTG CORP DIS 03-Feb-2000 1,569.44 313396SQ7 02/03/2000 03-Feb-2000 0.00 IT 03-Feb-2000 0.00 LONG TERM OPER-PIMCO 1,200,000.00 CBA (DELAWARE) DISC 07-Feb-2000 4,974.67 l2478JB70 02/07/2000 07-Feb-2000 0.00 IT 07-Feb-2000 0.00 07-Mar-2000 8:57:19 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 44 PORTFOLIO DETAIL OCSGQOO 10000 Ol-FEB-2000-29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURJTYID 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 10,700,000.00 GENERAL ELEC CAP DISC 09-Feb-2000 120,256.11 36959HB97 02/09/2000 09-Feb-2000 0.00 lT 09-Feb-2000 0.00 LONG TERM OPER-PIMCO 2,000.000.00 BANKERS TR NY CORP GLOBAL NT 1 J-Feb-2000 31,161.18 066365DW4 FLTO RT 05/1112003 DD 05/11/ 11-Feb-2000 0.00 IT 1 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 FLTG RT02/13/2003 DD 02/13/ 13-Feb-2000 0.00 IT 14-Feb-2000 0.00 LIQUID OPER-PIMCO 900,000.00 GENERAL ELEC CAP DISC I 4-Feb-2000 9,363.50 36959HBE6 02/14/2000 14-Feb-2000 0.00 IT 14-Feb-2000 0.00 LIQUID OPER-PIMCO 400,000.00 LEHMAN BROS HLDGS MTN TR 002 lS•Feb-2000 12,800.00 52517PLMI 6.400% 08/30/2000 DD 0912619 l 5-Feb-2000 0.00 IT l 5-Feb-2000 0.00 07-Mar-2000 8: 57; I 9 Executive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAG~: >15 PORTFOLIO DETAIL OCSGOOOJ 0000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOLIDATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATEf COST/ TRANSCODE BROKER COMPLDATE GAIN/LOSS LONG TERM OPER-PIMCO 2,500,000.00 FHLMC MUL TICLASS CTF 2146 QT I 5-Feb-2000 12,500.00 3133TKKU3 6.000% 11/15/2011 Ol-Feb-2000 0.00 IT 15-Feb-2000 0.00 LONGTERM OPER-PIMCO 9,600,000.00 US TREASURY BONDS 15-Feb-2000 600,000.00 912810DL9 12.500% 08/1512014 DD 08/15/ 15-Feb-2000 0.00 lT 15-Feb-2000 0.00 LONG TERM OPER-PIMCO 3,000,000.00 SEARS ROEBUCK ACCEP CORP MTN 15-Feb-2000 99,450.00 81240QJAI 6.630% 07/09/2002 DD 07/09/9 15-Feb-2000 0.00 IT 15-Feb-2000 0.00 LONG TERM OPER-PIMCO 9,000,000.00 PHILIP MORRIS COS NT I 5-Feb-2000 416,250.00 718154BB2 9.250% 02/15/2000 l 5-Feb-2000 0.00 1T l S-Feb-2000 0.00 LONG TERM OPER-PIMCO 1,200,000.00 FEDERAL HOME LN MTG CORP DIS 15-Feb-2000 1,501.33 313396TC7 MAT 02/1512000 l 5-Feb-2000 0.00 IT 15-Feb-2000 0.00 LONG TERM OPER-PIMCO 39,873.05 FHLMC GROUP #G5-0476 15-Feb-2000 52,140.72 3128DDQ55 7.000% 02101/2003 DD 02/01/ Ol-Feb-2000 0.00 IT 15-Feb-2000 0.00 LONG TERM OPER-PIMCO 38,194.95 FHLMC MULTICLMTG P/C 1574 E l 5-Feb-2000 2,619.49 3133T02D5 5.900%06/1512017 01 -Feb-2000 0.00 IT l 5-Feb-2000 0.00 07-Mar-2000 8:57:19 Executive Workbench OCSGOOOJ 0000 OCSD-CONSOLIDATED 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 313384TDl IT 07-Mar-2000 8:57: 19 ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO FHLMC MULTICLASS CTF E3 A 6.324% 08/15/2032 LONG TERM OPER-PIMCO FHLMC MULTlCLASS CTF E3 A 6.324% 08/15/2032 LONG TERM OPER-PIMCO GREEN TREE CORP 99·D CL A-l 6.290% 10/15/2013 DD 08/2~/9 LONG TERM OPER-PlMCO FHLMC MUL TICLASS CTF SER 162 6.000% 11115/2023 DD 11/01/9 LONGTERM OPER-PIMCO FIFTII THIRD BK AUTO TR 96A C 6.200% 09/01/2001DD03/15/9 LONG TERM OPER-PIMCO XEROX CORP DJSC 02/16/2000 LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 02/16/2000 TRADE DATE/ SETTLDATE/ COMPLDATE l 5-Feb-2000 01-Jan-2000 15-Feb-2000 15-Feb-2000 0 l-Jan-2000 15-Feb-2000 15-Feb-2000 15-Feb-2000 l 5-Feb-2000 15-Feb-2000 01-Feb-2000 15-Feb-2000 15-Feb-2000 15-Feb-2000 15-Feb-2000 l 6-Feb-2000 16-Feb-2000 16-Feb-2000 16-Feb-2000 16-Feb-2000 t 6-Feb-2000 II PAGE: 46 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 OCSGOOOJ 0000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE 3,500,000.00 17120QE80 IT 600,000.00 OOJ81RBH3 lT 3,700,000.00 3l3384TE9 IT 3,950,000.00 370425QV5 IT 1,000,000.00 3134A3RT5 IT 900,000.00 02225ABJO IT 1, 700,000.00 313384TF6 IT 07-Mar-2000 8:57:19 ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000-29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO CHRYSLER FINL LLC MTN #TR006 FLTG RT 08/08/2002 DD 04/08/ LONG TERM OPER-PIMCO ANZ DELA WARE INC DISC 02117/2000 LIQUID OPER-PlMCO 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 051181 LIQUID OPER-PlMCO ALUMINUM CO AMER DISC 02/18/2000 LIQUID OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT02/18/2000 INCOME AT MAT TRADE DATE/ SETTLDATE/ COMPLDATE l 6-Feb-2000 15-Feb-2000 16-Feb-2000 17-Feb-2000 l 7-Feb-2000 l 7-Feb-2000 17-Feb-2000 17-Feb-2000 l 7-Feb-2000 l 8-Feb-2000 18-Feb-2000 18-Feb-2000 18-Feb-2000 I 8-Feb-2000 18-Feb-2000 l 8-Feb-2000 t 8-Feb-2000 l 8-Feb-2000 18-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 &eculive Workbench @ ORANGE COUNTY SANITATION DISTRICT PAGE: 48 PORTFOLIO DETAIL OCSGOOOJ 0000 01-FEB-2000 -29-FEB-2000 OCSD-CONSOL/DATED SHARES/PAR TRADE DATE/ AMOUNT/ SECURITY ID TRANSACTION DESCRIPTION/ SETTLDATEf COSTf TRANSCODE BROKER COMPLDATE GAJN/LOSS LONG TERM OPER-PIMCO 2,000,000.00 GNMA GTD REMIC TR 2000·2 PA 22-Feb-2000 ll,666.67 3837H3C70 7.000% 12120/2022 Ol-Feb-2000 0.00 IT 22-Feb-2000 0.00 LONG TERM OPER-PIMCO 32,928.60 GNMA II POOL #0080023 22-Feb-2000 9,200.63 36225CAZ9 6.125% 1212012026 DD 12/01/ OJ-Feb-2000 0.00 IT 22-Feb-2000 0.00 LONG TERM OPER-PIMCO 34,299.89 GNMA lI POOL #080088M 22-Feb-2000 10,850.41 36225CC20 VAR RT 06/20/2027 DD 06/01/9 Ol-Feb-2000 0.00 IT 22-Feb-2000 0.00 LONG TERM OPER-PIMCO I, 100,000.00 NATIONAL RURAL DISC 24-Feb-2000 13,156.00 63743CBQ5 02/24/2000 24-Feb-2000 0.00 IT 24-Feb-2000 0.00 LONG TERM OPER-PIMCO 2,000,000.00 FHLMC MULTICLASS CTF Tl I A6 25-Feb-2000 10,833.33 3133TDPV2 6.500% 09/25/2018 25-Jan-2000 0.00 IT 25-Feb-2000 0.00 LONG TERM OPER·PIMCO 3,500,000.00 NATIONAL RURAL DISC 25-Feb-2000 13,951.39 63743CBR3 02125/2000 25-Feb-2000 0.00 IT 25-Feb-2000 0.00 LIQUID OPER-PIMCO 2,000,000.00 FEDERAL HOME LN BK CONS DISC 25-Feb-2000 2,506.67 313384TN9 MAT 02/25/2000 25-Feb-2000 0.00 IT 25-Feb-2000 0.00 07-Mar-2000 8:57:19 Executive Workbench @) ORANGE COUNTY SANITATION DISTRICT ,,. PAGE: 49 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 COMJ>LDATE GAJN/LOSS LONG TERM OPER-PTMCO 7,934.60 FNMA POOL #0252703 25-Feb-2000 5,327.74 31371HU48 6.500% 09/01/2006 DD 08/01/ Ol-Feb-2000 0.00 IT 25-Feb-2000 0.00 LONG TERM OPER-PIMCO 2,000,000.00 FORD MTR CR CO TERM ENHANCED 28-Feb-2000 31,376.04 345397SC8 FLTG RT08/27/2006 DD 08127/ 27-Feb-2000 0.00 IT 28-Feb-2000 0.00 LIQUID OPER-PIMCO 3,700,000.00 FEDERAL HOME LN BK CONS DISC 28-Feb-2000 3,571.11 313384TRO MA T02/28/2000 28-Feb-2000 0.00 IT 28-Feb-2000 0.00 LONG TERM OPER-PIMCO 5,000,000.00 US TREASURY NOTES 29-Feb-2000 156,250.00 9128272L5 06.250% 02/28/2002 DD 02/28/ 28-Feb-2000 0.00 IT 29-Feb-2000 0.00 LIQUID OPER-PIMCO 1,300,000.00 FEDERAL HOME LN MTG CORP DIS 29-Feb-2000 5,332.89 313396TS2 MAT 02/29/2000 29-Feb-2000 0.00 IT 29-Feb-2000 0.00 LONG TERM OPER-PIMCO 0.00 US TREASURY rNFLATJON INDEX 29-Feb-2000 20.00 9128275W8 4.250%001/15/2010 DD 01115/ 0.00 CD 29-Feb-2000 0.00 LONG TERM OPER-PIMCO 0,00 US TREASURY INFLATION INDEX 29-Feb-2000 200.00 9128272M3 3.375% 01/15/2007 DD 01/15/ 0.00 CD 29-Feb-2000 0.00 07-Mar-2000 8:57: 19 E.xecutive Workbench OCSGOOOJ 0000 OCSD-CONSOLIDATED SHARES/PAR SECURITY ID TRANSCODE 0.00 9128273A8 CD 07-Mar-2000 8:57:19 ORANGE COUNTY SANITATION DISTRICT PORTFOLIO DETAIL 01-FEB-2000 -29-FEB-2000 TRANSACTION DESCRIPTION/ BROKER LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX 3.625% 07/15/2002 DD 07/15/ TRADE DATE/ SETTLDATE/ COMPLDATE 29-Feb-2000 29-Feb-2000 PAGE: 50 AMOUNT/ COST/ GAIN/LOSS 140.00 0.00 0.00 Executive Workbench ---