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Home My WebLink About2003-08-13MINUTES OF FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District Wednesday, August 13, 2003, 5:00 p.m. A meeting of the Finance, Administration and Human Resources Committee of the Orange County Sanitation District was held on August 13, 2003, at 5:00 p.m., in the Disttct's Administrative Office. (1) The roll was called and a quorum declared present, as follows: (2) FAHR COMMITTEE MEMBERS: Directors Present: Brian Brady, Chair Roy Moore, Vice Chair Alberta Christy Bill Dalton Mike Duvall Joy Neugebauer Shirley McCracken, Board Chair Steve Anderson, Vice Board Chair Directors Absent: James W. Silva APPOINTMENT OF CHAIR PRO TEM No appointment was necessary. (3) PUBLIC COMMENTS STAFF PRESENT: Blake P. Anderson, General Manager Gary Streed, Director of Finance/Treasurer Lisa Tomko, Director of Human Resources Carol Beekman, Communications SeNices Manager Mike White, Controller Penny Kyle, Committee Secretary Jeff Reed Jan Collins OTHERS PRESENT: Steve Filarsky, Special Labor Counsel Randy Fuhrman Mark Mutz David Hamilton Gerhardt van Orie FILED IN THE OFFI CE OF THE SECRETARY ORANGE r,n11~,,.." " .. J1TAT1nt,1 DISTRICT AUG 27 2003 y .I~ Mark Mutz and David Hamilton spoke in support of ratification of the proposed memorandum of understanding with the International Union of Operating Engineers, Local 501. Gerhardt van Orie requested audio-visual equipment be provided at the August board meeting so that a video could be viewed by the Directors. The video shows a process on how the powers of buoyancy and gravity can be used for mixing liquids and slurry. The process can then be used in the secondary treatment process, with up to 50% savings in energy requirements. Randy Fuhrman referred to the impacts of rate increases to the new debt the District has acquired and the revised debt policy. He requested the Directors consider raising the rates at a more rapid rate the following year. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 2 August 13, 2003 (4) REPORT OF THE COMMITTEE CHAIR The Chair had no report. (5) REPORT OF THE GENERAL MANAGER Blake Anderson, General Manager, reported that a joint meeting wth the Orange County Water District would be held in the fall to provide an update on the Groundwater Replenishment System. It was also reported that staff was continuing their efforts to obtain $3 million in EPA grants out of the assembly appropriations committee, 1Mth a goal of receiving a total of approximately $50 million in EPA grants to help offset the construction costs currently underway. Word had been received that the committee tliled to earmark anything for the District's projects. Staff will now focus efforts on the senate side of the appropriations committee to get it reconciled. It is possible that it could take tv.o to three years to get approval for the grants program. However, once the program begins, the monies continue ~ar after year. (6) REPORT OF DIRECTOR OF FINANCE/TREASURER Gary Streed, Director of Finance/Treasurer, referred the Directors to the Treasurer's Report distributed to them that e\ening, as well as an additional document relative to the issuance of certificates of participation to be discussed under Item 12(a). He reported that the user fees that are collected as a separate line item on the property tax bills are ready to be reviewed, and will be submitted to the Auditor's office that week. Mike Moreland of Moreland & Associates, the District's auditor, and Nipa Shah, the audit manager, were then introduced. Mr. Moreland described the steps in the annual audit process and asked for specific direction the Committee oould like him to take. Followng discussion, Directors reiterated that any areas of concern, irregularity or malfeasance be reported by the auditor directly to the Chair of the FAHR Committee and/or the Chair of the Board of Directors, and not to staff. (7) REPORT OF DIRECTOR OF HUMAN RESOURCES Lisa Tomko, Director of Human Resources, referred to a handout provided to the Directors that was in reference to Item 13(a)(1 ), and would be discussed in closed session. (8) REPORT OF COMMUNICATIONS SERVICES MANAGER Communications SeNices Manager Carol Beekman reported a celebration was held on August th to honor the District for being the first wastewater treatment plant in the nation to receive the Environmental Management SeNice Biosolids Certification. Information about the EMS Certification can be found on the District's website at www.ocsd.com. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 3 August13,2003 Real Orange of KOCE featured an excellent story on the Groundwater Replenishment System which provided several of the key points for public information. It was also noted that Joan Rose, an international expert on Microbiology and water quality public health and safety, is in support of the program. Ms. Beekman advised that if a national media story of any kind is written about the GWR program, a reporter would talk with Dr. Rose in order to get a balanced story as she is a renowned expert in this field. Also reported was a luncheon that would be held the following week for those employees who participated in the volunteer incentive program. There have been five outside events the District has sponsored, and over 57 employees have given up their own time to participate in the programs. A recognition program, based on the hours they've worked, and the luncheon are ways to thank those employees. A total of 182 hours were donated this past year. (9) REPORT OF GENERAL COUNSEL General Counsel was not present. (10) CONSENT CALENDAR ITEMS a. The Chair ordered that the July 9, 2003 minutes for the Finance, Administration and Human Resources Committee meeting be deemed approved, as mailed. b. FAHR03-62 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of July 2003. c. FAHR03-63 Receive and file Certificate of Participation (COP) Monthly Report. d. FAHR03-64 Receive and file Employment Status Report as of July 24, 2003. e. FAHR03-65 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. f. FAHR03-66 Recommend to the Board of Directors to adopt Resolution No. OCSD 03-_, Amending Resolution No. OCSD 98-33, Amending Human Resources and Policies Procedures Manual. g. FAHR03-70 Recommend to the Board of Directors to receive and file the Quarterly MOTION: Investment Management Program Report for the period April 1, 2003 through June 30, 2003. It was moved, seconded and duly carried to approve the recommended actions for items specified as 1 0(a) through (g) under Consent Calendar. END OF CONSENT CALENDAR Minutes of the Finance, Administration and Human Resources Committee Meeting Page 4 August 13, 2003 (11) ACTION ITEMS a. FAHR03-67 Recommend to the Board of Directors to approve an Interest Rate MOTION: Exchange Agreement Policy relating to long-term debt financing Gary Streed, Director of Finance, reported that interest rate exchange agreements are commonly called SWAPs, although they are also referred to as interest rate exchange agreements or hedging products. The proposed ISDA agreement is standard in the industry. Mr. Streed noted that the policy is one of the best practices of financial organizations that are looked at by rating agencies. No changes are necessary to the two existing SWAPS (1992 and 1993). Should an additional SWAP be recommended, FAHR Committee and Board of Directors approval would be requested. The major change to this policy is quarterly updates to the Directors, and the monitoring of existing SWAPS. Mr. Streed stated staff believes the quarterly reports are appropriate. It was moved, seconded and duly carried to recommend approval to the Board of Directors. b. FAHR03-68 Recommend to the Board of Directors to approve a Revised Debt Policy MOTION : relating to short-and long-term borrowing by the District, providing for the limitation on debt issuance be restricted to all capital improvements that cannot be financed from current revenue. Mike White, Controller, noted that because of the $2.2 billion capital improvement program over the next 10 years, the debt policywould need to be revised to allow borrowing for more than 50% of the CIP. It was moved, seconded and duly carried to recommend approval to the Board of Directors. (12) INFORMATIONAL PRESENTATIONS a. FAHR03-69 Final Report on Sale of Series 2003 Certificates of Participation Director Alberta Christy left the room during discussion of this item. Gary Streed, Director of Finance, reported the rating agencies met at the District on July 25th, and toured the facilities. The District received a AA rating from each of those agencies. The rating agencies' concerns were the amount of debt that would be issued for the capital improvement program (CIP), how large the CIP was compared to what the District has done successfully in the past, how much variable rate debt the District has, and the District's ability to raise rates necessary to fund the CIP compared to borrowing. Seven major firms submitted bids on August 12. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 5 August13,2003 All bids were within 4 basis points of each other. Mr. Streed then referred to the handout given to the Directors that evening and reviewed the structure of paying the interest and principal amount. He noted that from 2004 to 2020, no principal is paid, only interest. Because there aren't any short-term principal payments, the District does not get to take advantage of the low rates up front, so the true interest cost is 5.145%. Mr. Streed reported that when the issue is completed, 67% of the District's debt will be fixed, and 33% will be variable. He felt that staff could work with the rating agencies to get back to the 50% level of variable rate, and take advantage of the lower short-term rates. The funds will be issued to the District on August 26th• {13) CLOSED SESSION The Committee convened in Closed Session at 6:08 p.m. pursuant to Government Code Section 54957 .6 to discuss and consider Agenda Item Nos. 13(a) (1) and (2). 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. A report of the actions taken will be publicly reported at the time the approved action becomes final re Agenda Items Nos. 13(a)(1) and (2). RECONVENE IN REGULAR SESSION: At 6:33 p.m., the Committee ieconvened in regular session. {14) OTHER BUSINESS. COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS, IF ANY There were none. {15) MATTERS WHICH A DIRECTOR MAY WISH TO PLACE ON A FUTURE AGENDA FOR ACTION AND STAFF REPORT There were none. {16) CONSIDERATION OF UPCOMING MEETINGS The next FAHR Committee meeting is scheduled br September 10, 2003 at 5 p.m. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 6 August 13,2003 (17) ADJOURNMENT The Chair declared the meeting adjourned at 6:33 p.m. Submitted by: Penny M. le FAHR Committee Secre ry G:lwp.dta\agenda\FAHR\FAHR2003\0503\051403 FAHR Minutes.doc ROLL CALL FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE Meeting Date: August 13, 2003 Time: 5:00 p.m. Adjourn: __ _ COMMITTEE MEMBERS Brian Brady (Chair) .------ Roy Moore (Vice Chair) ,_/ Alberta Christy ✓ Mike Duvall ✓ Bill Dalton I.---- Joy L. Neugebauer L James W. Silva Shirley McCracken (Board Chair) _L_ Steve Anderson (Board Vice Chair) ✓ OTHERS Tom Woodruff, General Counsel Steve Filarsky, Special Labor Counsel ~ Don Hughes ✓ STAFF Blake Anderson, General ManaQer ---1.:::::: David Ludwin, Director of EnQineerinQ Bob Ooten , Director of O & M Lisa Tomko, Director of Human Resources L.---" Gary Streed, Director of Financerrreasurer ,__,--- Patrick Miles, Director of Information Technology Robert Ghirelli, Director of Technical Services Carol Beekman, Communications Services Mgr i_.? Mike White, Controller ./' GreQ Mathews, Administrative Services Manager Penny Kyle, Committee Secretary .._/"' Jeff Reed ,_/ cc Lenora Crane /)11• V ere {J. 8/13/2003 Series 2003 Certificates of Participation Schedule of Bids Position Underwriter Interest Rate Interest, U/W & Ins Received 1 Morgan Stanley 5.145212% $ 357,778,824 8:59:09 2 Citigroup Global Mkts 5.151828% 358,101,620 8:58:05 3 UBS Financial Services 5.152772% 358,629,678 8:59:48 4 Goldman, Sachs & Co 5.159472% 358,567,305 8:59:52 5 Merrill Lynch & Co 5.168099% 359,825,064 8:59:01 6 JP Morgan Securities 5.183132% 361,091,176 8:56:56 7 Lehman Brothers 5.186302% 361,099,945 8:59:21 G:\excel.dta\fin\21 0\streed\PRAG related 2002\Aug 2003 Sale.xis ' 8/13/2003 Series 2003 Certificates of Participation Fixed Rate Competitive Bid August12,2003 Amount Production Ref Maturity ($ Million) Coupon% Yield% Dollar Price ($ Million) 1 2/1/2004 0.980% 2 2/1/2005 1.370% 3 2/1/2006 1.80©% 4 2/1/2007 2.280% 5 2/1/2008 2.64©% 6 2/1/2009 '2_980°% 7 2/1/2010 3.3:©0% 8 2/1/2011 3.§90% 9 2/1/2012 :s.ieo% 10 2/1/2013 8,8'9Q% 11 2/1/2014 ~:010% 12 2/1/2015 4.1,2.0% 13 2/1/2016 4.230% 14 2/1/2017 4.84'0:% 15 2/1/2018 4.400% 16 2/1/2019 4,54@% 17 2/1/2020 4.6!30f'/4 18 2/1/2021 4.495 5.25% 4.750% 103.918 4.671 19 2/1/2022 15.100 5.00% 4.920% 100.618 15.193 20 2/1/2023 15.805 5.00% 4.980% 100.151 15.829 21 2/1/2024 16.640 5.00% 5.040% 99.489 16.555 22 2/1/2025 17.425 5.00% 5.070% 99.087 17.266 23 2/1/2026 18.350 5.00% 5.100% 98.669 18.106 24 2/1/2027 19.265 5.25% 5.030% 101.699 19.592 25 2/1/2028 20.235 5.25% 5.040% 101.621 20.563 26 2/1/2029 27 2/1/2030 44.505 5.25% 5.050% 101.542 45.191 28 2/1/2031 29 2/1/2032 30 2/1/2033 108.180 5.00% 5.100% 98.480 106.536 280.000 5.145% 99.822 279.502 'Slilaciled rates· are from MMD, rmtrbid G:\excel.dta\fin\21 0\streed\PRAG related 2002\Aug 2003 Sale.xis Yield Spreads to MMD Index 30.00 25.00 20.00 ,___ - 'O ca e 15.00 Q. I-I-I-I-,_ I-I-- u, -C ·s D. 0 10.00 ·; I-1--f--I-I-I-1--I-I--I-L-L- ca m 5.00 -I-L-I-I-.__ .___ I--------I I II I I I I I I I I I ,I>< ~~ ~'<> ~ ~ ~ ~ r ~~~~~~~~~~~~~~~w~~~~~~~~~~ ~~~~~~~~~~~~~~~~~~~~~~~~~ (5.00) Year of Maturity •OCSD •Turlock PFA-Sewer D Santa Cruz Co RDA West Contra Costa USO $45,000,000 $40,000,000 $35,000,000 $30,000,000 $25,000,000 $20,000,000 $15,000,000 i,. i,. ..... $10,000,000 $5,000,000 $- PUBLIC RESOURCES ADVISORY GROUP • 1,·. ..... 1, C1992 Senior ,, .. I I .... i,. - \1 j .. ORANGE COUNTY SANITATION DISTRICT Certificates of Participation, Series 2003 Post 2003 Bonds Aggregate Net Debt Service "' I~ I: ·l ~ 11 II h, .. .. C 1993 Senior C2000Swap 2000 Senior A • 2000 Senior B Page 18 !" ,~, I II it 112003 Senior FINAL CASH FLOWS . 1, 11 • FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Michael White, Controller Meeting Date 08/13/03 Item Number SUBJECT: TREASURER'S REPORT FOR THE MONTH OF JULY 2003 GENERAL MANAGER'S RECOMMENDATION Receive and file Treasurer's Report for the month of July 2003. SUMMARY To Bd. of Dir. 08/27/03 Item Number 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. Some funds are also deposited in the State of California Local Agency Investment Fund for liquidity. 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 Investment Policy. The portfolio contains no reverse repurchase agreements. As shown on page 2 of the attached PIMCO's Performance Monitoring and Reporting Report for the Liquid Operating Monies and on page 2 of the attached Long-Term Operating Monies, there are two investment policy compliance exceptions. The first exception pertains to the Liquid Operating Monies holdings exceeding the investment policy allowable maximums due to the District withdrawing $20.1 million during the last two days of July to fund debt service principal payments and current operations. As of July 31, the accounts holdings exceeded the allowable maximums as follows: 1) corporates exceeded the 30 percent maximum at 32.86 percent, 2) US Agencies exceeded the 20 percent maximum at 21.77 percent, and Government/Agency Exempt exceeded the 5 percent maximum by 13.11 percent. These positions were compliant prior to the cash withdrawals and were once again as of August 4, August 1, and August 4, respectively. The second investment policy compliance exception pertains to the holding of two securities within PIMCO's Long-Term Operating Monies Portfolio that had an acceptable rating at the time of purchase but has since fallen below the minimum rating allowed by the investment policy. The District's investment policy requires a minimum rating of A3 by Moody's or A-by S&P, with at least a BBB rating in the event of a split rating, at the time of purchase. The first of these rating exceptions pertains to the holding of a United Airlines (UAL) Asset Backed Security with a par value of $1 .6 C:\Documents and Settingslpope\Local Settings\Temporary Internet Flles\OLKBF\TREASRPT081303.doc Page 1 million, representing 0.5 percent of the portfolio holdings, whose rating from Moody's has fallen several times, from A3 to BA 1, then to BA3, and finally to B3. Likewise, the rating from Standard & Poor's has also fallen several times, first from A-to BBB, then to BB, then to B+, and finally to B-. Although these ratings are less than what is required at the time of purchase, PIMCO believes, based on the financial strength of UAL and the underlying collateral of the security, that the District would suffer an unwarranted loss if the security was sold at this time. The second ratings exception pertains to the holding of a $5 million par of the Philip Morris-Altria corporate bond with an April 2004 maturity, representing 1.5 percent of the portfolio holdings, whose rating with Moody's has fallen from A2 to Baa1 and then to Baa2, and with S&P from A-to BBB. PIMCO believes based on the underlying assets of the parent company, that the District would again suffer an unwarranted loss if the security was sold at this time. The District's investment policy does not require any action because of "credit watch" notices or the decline in credit standing. However, PIMCO will continue to monitor the credit for these two securities very closely. 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. BUDGET IMPACT D This item has been budgeted. (Line item: IZI Not applicable (information item) 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. Also provided is a summary of monthly investment balances and transactions within the State of California Local Agency Investment Fund (LAIF). 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. The table on the following page details the book balances of the District's investment accounts at month-end. A graphical representation of month-end balances is shown on the attached bar chart. C:\Documents and Settingslpope\Local Settings\Temporary Internet Files\OLKBF\TREASRPT081303.doc Page 2 Book Balances Estimated Investment Accounts July 31, 2003 Yield(%) State of Calif. LAIF $ 46,098 1.65 Union Bank Checking Account 4,709,022 0.88 PIMCO -Short-term Portfolio 40,687,603 1.40 PIMCO -Long-term Portfolio 320,899,407 2.96 Petty Cash 5 000 N/A TOTAL $366.34 7, 13Q 2.76 Debt Service Reserves w!frustees $38.883.:127 4.22 (1) This is the annualized yield for the month of March. The April annualized rate was not available as of the date of this report. ATTACHMENTS 1. Graph of Monthly Investment Balances by Type -Last Six Months 2. Investment Transactions and Balances in the State Local Agency Investment Fund 3. PIMCO Monthly Investment Recap & Yield Analysis Report 4. PIMCO Performance Monitoring Report -Liquid Operating Monies 5. PIMCO Performance Monitoring Report-Long-Term Operating Monies 6. Mellon Trust Asset Summary by Asset Type with Sectors -Liquid Operating Monies 7. Mellon Trust Asset Summary by Asset Type with Sectors -L-T Operating Monies 8. Mellon Trust Yield Analysis Report 9. Mellon Trust Asset Detail -Consolidated 10. Mellon Trust Transaction Detail -Consolidated MW:lc C:\Documents and Settings\pope\Local Settings\Temporary Internet Files\OLKBFITREASRPT081303.doc Page 3 Monthly Investment Balances by Type- Last Six Months $500,000,000 --.-------------------------------. $450,000,000 1 -;;;~:;;;:--------~~-l'l'Pl-'l'Pll-----im;mm:;,;----------------"1 $400,000,000 -----1 1 --i- $350,000,000 ---~n-, ------~·,1,--~----v~.·~------~·---I/, ~ $300,000,000 - $250,000,000 -~ 'I,. I< ~x:~~~: $200,000,000 +--E~'YV'~~--~;,/)~::. 58) ~---tt~~~&-----k~~~x}---::x:~~:x: __ -1_gs_~~2!- , ?} ·~ '.> $150.000.000 t+==m~ii====i ;i.,,.~r====11.,,.1)~ $100,000,000 ~ J' Y>? "> J' ---110<1~ ..... -ooo~t-----1<",,~>Q<~X<,<J--~--18°88X>~~>OJ-------t J' ~ 5 :), $50,000,000 -~ $0 February 2003 ' March 2003 I April 2003 ' May 2004 ' 121 PIMCO • Long-term El PIMCO · Short-term ii COP Debt Reserves [ILAIF •Bank Accts II Petty Cash June 2003 ' July 2003 Balance Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund July 31, 2003 Par Value Book Value Market Value July 1, 2003 $427 $427 $427 Quarterly Interest Distribution 45,671 45,671 45,671 Balance July 31, 2003 $46,098 $46,098 $46,098 Rate Yield* 1.653 1.653 1.653 1.653 1.653 1.653 August 11, 2003 Mr. Mike White, CPA Controller Orange County Sanitation District 10844 Ellis A venue Fountain Valley, CA 92708-7018 Dear Mike: PIM C 0 840 Newport Center Drive Suite 300 Newport Beach, CA 92660 Tel: 949.720.6000 Fax: 949.720.1376 The following is a description of events in the bond markets during the month of July in addition to an analysis of the strategies undertaken in the Orange County Sanitation District's Long-Term and Liquid portfolios over the period. Also included is a section on our outlook and preferred strategies to be pursued in your portfolios during the coming months. Bo11d Jttlarket Recap: The U.S. bond market endured a brutal sell off in July as investors digested the dual realities that the Federal Reserve would not be purchasing longer maturity Treasuries, and that federal budget deficits are climbing rapidly. News that the government intends to borrow $230 billion in the second half of 2003 drove the intra-month spread between two-year and 10-year Treasury yields above 270 basis points, the widest since the ]ate seventies. Ten-year yields climbed over 130 basis points from a mid-June low of 3.07%, leading the Treasury sector to post a negative total return of -4.39% for the month. In contrast, the S&P 500 continued its post war surge and returned 1.76%. Mortgages lagged Treasuries by 153 basis points, after adjusting for duration, in an environment where prepayments slowed dramatically. The impact of rising interest rates was evident as the duration of Lehman's Fixed Rate Mortgage Backed Securities Index extended from 1.0 year to 3.1 years. The Lehman Credit Index returned -4.26%, for a duration-adjusted excess return of 3 basis points. Lower quality investment grade names outperformed as BBB-rated bonds lead Treasuries by 43 basis points on a duration-adjusted basis. The U.S. economy expanded at a 2.4% annual rate in the second quarter. Key drivers were increases in consumer purchases, business investment, and the biggest jump in defense spending since 1951. The Conference Board's Index of Consumer Confidence fell in July to 76.6, down from 83.5 in June and 83.6 in May. The decline in confidence was attributed to pessimism about the employment outlook. The unemployment rate dropped to 6.2%, driven by discouraged job seekers exiting the work force. U.S. manufacturing expanded for the first time since February, as the Institute for Supply Management's Manufacturing Index rose to 51.8 last month from 49.8 in June. Mr. Mike White, CPA Orange County Sanitation District Treasury yield changes during the month of July are summarized as follows: • 3-month bills: +9 basis point to 0.94% • 6-month bills: +5 basis points to 1.01 % • 2-year notes: +44 basis points to 1.74% • 5-year notes: +81 basis points to 3.22% • 10-year notes: +89 basis points to 4.41 % • 30-year notes: +80 basis points to 5.36% Performance Attrib11tio,i: Long-Term Portfolio August 11, 2003 Page2 The Long-Term portfolio that PIMCO manages on behalf of Orange County Sanitation District generated a total return of -1.64 percent for the month of July, underperforming the Merrill Lynch 1-5 year Government Corporate Index by 35 basis points. The following points summarize returns for the period ended July 31 : • The Long-Term portfolio underperformed the benchmark by 35 basis points for the month and by 53 basis points for the year-to-date period. • Portfolio duration, slightly longer than the index, was negative for performance as interest rates rose sharply during the month. • Yield curve positioning, with out of index exposure to longer maturities, was negative for performance as longer rates rose more than shorter rates. • An underweight exposure to Treasuries was positive, as the sector sold off sharply. • Holdings of mortgage-backed securities detracted from returns as the sector underperformed treasuries on a duration-adjusted basis. • Corporate issues were positive for performance as the sector continued to perform strongly relative to other bond market sectors; however, an underweight exposure relative to the benchmark was negative. Liquid Portfolio The Liquid portfolio that PIMCO manages on behalf of Orange County Sanitation District generated a total return of 0.08 percent during the month of July, performing in line with the 3- month Treasury Bill Index. The following points summarize returns for the period ending July 31: • The Liquid portfolio underperformed the benchmark by 1 basis point for the month and outperformed the benchmark by 8 basis points for the year-to-date period. • Use of higher yielding securities such as commercial paper and short-term notes contributed to performance. Mr. Mike White, CPA Orange County Sanitation District Outlook and Strategy: August 11, 2003 Page3 Global excess supply is likely to persist and crimp growth. The U.S. economy is likely to expand by 2%-3%, while Europe and Japan will be hard pressed to grow at all. Key elements of our cyclical forecast are the following: • Demand in the U.S. should hold up better than in other major economies. The weakest part of the U.S. economy -the corporate sector -has pared capital investment, inventories and employees after the excesses of the late 1990s to restore credibility with lenders. This corporate thrift has pressured employment and wages, but it has not dragged down consumption. • Adverse effects on U.S. household income and spending have been and should continue to be mitigated by consumers' ability to monetize housing wealth at mortgage rates near 40-year lows. • The outlook is bleaker in Europe and Japan. In these economies, painful consequences of corporate thrift will not be mitigated by effective reflationary policy such as that provided by the Federal Reserve. Europe is on the brink of recession, as disillusioned investors and skeptical credit rating agencies force balance sheet rehabilitation on companies that lag far behind their American counterparts in cost cutting. Japan will not recover so long as its companies and consumers curtail spending. Japanese companies continue to cut employees where they can and use cash flow to pay down debt. • Rising commodity prices and a weaker dollar will push inflation modestly higher. Higher prices will be good for commodity exporters in the emerging markets, but will impose a negative terms of trade shock on developed economies. We plan to position duration near the benchmark given expectations for stable interest rates in the near term; duration movements due to short term yield fluctuations may provide tactical opportunities to add value. With the yield curve relatively steep, we will retain broader-than- index curve position. Within the mortgage sector we will emphasize coupon selection strategies near tenn while capturing longer-tenn structural advantages of the sector. With respect to corporates, we will continue to maintain a conservative allocation to the sector. We look forward to discussing these and other topics with you in the near future. Best regards, Christine Telish, CF A Vice President John M. Miller, CF A Senior Vice President Orange County Sanitation District for the month ending July 31, 2003 Total Return Account -203 Market Value Book Value Yield to Maturity Short Term Account -603 Market Value Book Value Yield to Maturity With Accrued Interest 324,313,706 321,044,092 2.96 With Accrued Interest 41,185,502 41,738,450 1.40 Without Accrued Interest 320,761,310 317,491,696 2.99 Without Accrued Interest 40,686,068 41,239,017 1.42 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 July 2003) Liquid Operating Monies (603) 15.1.1 PORTFOLIO COST AND MARKET VALUE Current Market Value Estimate: • PIMCO • Mellon Historical Cost: • PIMCO • 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 Qualitv: 15.1.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A": 15.1.8 INVESTMENT POLICY COMPLIANCE "In Compliance" 15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by Period: 1 Month: 3 Months: 12 Months: Fiscal Year-to-Date: Commentary Page 1 of 1 $41,185,502 $41,187,570 $41,738,450 $41,738,934 0.32 0.20 $131.794 0% 44% ''AAA'' 0% (1) Portfolio 0.08 0.30 1.70 0.08 • Interest rates at the short-end of the yield curve increased dming the month (3-month T-Bills rose 9 basis point to 0.94%), as did longer man1rities (30-year Treasuries rose 80 basis points to 5.36%). • The Liquid portfolio underperfonned the benchmark by l basis point for the month, but outperfo1med the benchmark by 35 basis points over the last 12 months. • PIMCO's emphasis on h1ghe:t yieldillg securities such as commercial paper and short-term notes contributed to perfommnce. ( 1) Due to the $20.1 million cash withdrawals during the last two days of the month to fund annual debt service principal payments and current operations, the account's holdings exceeded the following investment policy allowable maximums: 1) corporates exceeded the 30 percent maximum at 32.86 percent, 2) US Agencies exceeded the 20 percent maximum at 21.77 percent, and 3) Government/Agency Exempt exceeded the 5 percent maximum at 13.11 percent. These positions were compliant prior to the cash withdrawal and were once again as of August 4, August 1, and August 4, respectively. G:\wp.dtalfin\220\white\Treasury Mgn11\LIQ0800-03-07.RPT.doc Index 0.09 0.28 1.35 0.09 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 July 2003) Long-Tenn Operating Monies (203) 15.1.1 PORTFOLIO COST AND MARKET VALUE Current Market Value Estimate: • PIMCO • Mellon Historical Cost: • PIMCO • Mellon 15.1.2 MODIFIED DURATION Of Portfolio: Of Index: 15.1.3 1 % INTEREST RA TE CHANGE Dollar Impact (gain/loss) of l % 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" RA TING % of Portfolio Below "A": 15.1.8 INVESTMENT POLICY COMPLIANCE "In Compliance" Page 1 of 4 $324,313,706 $324,405,830 $321 ,044,092 $321,476,966 2.49 2.39 $8.075.411 0% 16% AAA 2% No* 15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by Portfolio Index Period: 1 Month: -1.64 3 Months: -0.57 12 Months: 4.27 Fiscal Year-to-Date: -1.64 • Three-month yields increased during the month (90-duy T-Bills rose 9 basis point to 0.94%) as did longer maturities (5-year Treasury Notes rose 81 basis points to 3.22%). • The Long-Tem1 po1tfolio underperforn1ed the benchmark by 35 basis points for the month, and by 53 basis points for the year. • Portfolio duration, slightly longer than the index, was negative for performance as interest rates rose sharply during the month. • Yield curve positioning, with out of index exposure to longer maturities, was negative for performance as longer rates rose more than shorter rates. • An underweight exposure to Treasuries was positive, as the sector sold off sharply. • Holdings of Mortgage-backed securities slightly detracted from returns as the sector modestly underperfom1ed treasuries on a duration-adjusted basis. • Holdings of corporate issues were positive for performance as the sector continued to perform strongly relative to other bond market sectors; however, an underweight exposure relative to the benchmark was negtU.ive. -1.29 -1.10 5.05 -1.29 *Compliance Issues: MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 July 2003) Page 2 of 4 $1.600.000 par of oited Airlines (UAL) Pass-Through 2001-1-C (909317BC2). 6.831 % coupon, 9/1/2008 maturity, representing 0.5% of the portfolio holdings on a par basis was purchased on 8/10/_00I; and subsequently downgraded by Moody's from A3 to BAl (on 9/18/2001 and S&P from A-to BBB (on 9/20/2001). The security was further downgraded by Moody's from BAI to BA3 (on 12/21/2001) and by S&P from BBB to BB (on 6/28/02). Following news of the possible bankruptcy filing, the security was further downgraded in August (B3 Moody's, B+ by S&P). On November 29, 2002, S&P further downgraded this issue to B, and shortly thereafter on December 9, 2002, downgraded the issue one notch further to B-. The District's investment policy requires a minimum rating of A3 by Moody's or A-by S&P, with at least a BBB rating in the event of a split. On December 4 200_, the Federal Air Transportation Stabilization Board (ATSB rejected UAL $1 .5 billion loan guarantee application, citing fundamental flaws with its proposed business plruL In res1>onse to the ATSB rejecti on. the airline submitted its much-anticipated filing fo1· Chapter 11 banlcruptcy protection on December 9th• UAL' s filing is the largest bankruptcy ever in the global airline industry, resulting from high costs and low airfares that have plagued the industry since "9/11". As part of its capacity reduction plans, UAL will reject, or abandon, aircraft that it does not intend to use in the future. These reductions will be focused on certain older aircraft models, potentially including B727-200a, B767-200s, B747-400s, and B737-300s. In addition to rejecting aircraft that it does not intend to utilize in the future, UAL may also reject aircraft that it would like to utilize. UAL would be incentivized to reject such aircraft if it believes that it will be able to successfully renegotiate the terms of loans and leases on these aircraft. UAL said it is weighing whether to emerge from bankruptcy months ahead of schedule, but analysts said the company still has obstacles to overcome before it can operate outside of court protection. The world's second largest airline was on track to meet financial targets on bankruptcy loans for April and May, and was considering exiting Chapter 11 as early as the fourth quarter of this year or first quarter of 2004. In addition to the labor savings being negotiated, UAL is also commented that it has been making better progress than expected in its cost-cutting efforts and anticipates being "significantly ahead" of the $4 billiol). in annual savings foreseen by 2005. In the meantime, the carrier must meet certain monthly financial targets set up by the lenders of its $1.5 billion bankruptcy financing package. UAL received $300 million in aid as pait of a federal government package designed to help airlines weather the travel slump during the war with Iraq. On July 15, UAL said it plans to use 40 planes from its regular fleet to start a low-cost unit designed to compete with discount airlines. UAL has been discussing its business plan with creditors for months but has not made any details public about the plan --or the proposed low-cost operation -until this announcement. The low-cost operation is part of the company's transformation plan UAL will present in bankruptcy court. In addition to grabbing a piece of the leisure market through a low-fare operation, UAL is also trying to lure business travelers to its mainline through several promotions announced recently. PIMCO continues paiticipating on ad hoc committees of UAL debt security holders that are seeking collective negotiations with the airline in order to strengthen their bargaining position. The ad hoc committees, their lawyers, and their advisors are currently reviewing restructuring proposals submitted by UAL and formulating responses. PIMCO expects that this process will take some time given the bankruptcy's complexity. Recent market value fluctuations of UAL bonds are a result of industry uncertainties. The industry has suffered financial damage from reduced revenues and deeper losses leading up to and during the Iraq war, and run the risk of further deterioration if significant terrorist attacks were to occur. PIMCO anticipates that the end of the war and the containment of SARS will prompt a modest pickup in business travel and an overall improvement in the outlook for the airlines, but they do not see a quick recovery. MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 July 2003) Page 3 of 4 5,00_0,000 par of Philip Morris-Altria NT (cusip 718154CH8), 4/1/2004 maturity, representing 1.5% of the portfolio holdings on a par basis was purchased on 8/6/2001 at a price of 105.26. This security was subsequently downgraded by Moody's from A2 to Baal (on 4/01/2003) and S&P from A-to BBB (on 4/10/2003), and is currently priced near 104. The District's investment policy requires a minimum rating of A3 by Moody's or A-by S&P, with at least a BBB rating in the event of a split. The Philip Morris USA downgrade activity was a result of a negative court judgment and its associated bonding requirement. In the Miles case, named after the initial plaintiff in the class-action lawsuit, an Illinois court fined Philip Morris $10.3 billion for allegedly deceiving smokers into thinking that "light" cigarettes were safer than regular cigarettes. The company, now a subsidiary of Altria, has said that the lawsuit was flawed and that it planned to appeal the ruling and the class certification order that preceded it. Prior to the judgment, PIMCO's analysis of Altria (the holding company and issuer of the debt) shows investment grade credit metrics even excluding in its entirety Philip Morris USA (the domestic tobacco subsidiary and the entity subject to all of the legal suits). The analysis was based on the assumption that the horizon of any final verdict would be years in the future, while the company would generated significant cash flow in the interim. Philip Monis USA sought review of the $10.1 billion verdict in the class action lawsuit by Illinois appellate courts in light of Madison County Circuit Judge Nicholas Byron's decision to affirm his earlier verdict in the case. Philip Morris general counsel stated, "Philip Morris USA believes that when an appellate court reviews the record in this case and applies Illinois law, it will conclude this verdict must be overturned. The company will promptly appeal the $10.1 billion ruling, paving the way for the cigarette maker to appeal the "lights" class-action judgment. It is believed that the appeal will go directly to the Illinois Supreme Court. If the burden of the bonding falls entirely on Philip Morris USA, Altria' s credit statistics would remain fairly good despite the bad headlines and the prospect of bankruptcy at the subsidiary. On May 21, a Florida appeals court overturned a landmark $145 billion judgment against major U.S. tobacco companies, which had been the largest trial damage award in U.S. history, and ordered the massive class of sick smokers decertified. The ruling knocks down a July 2000 jury verdict, which held the five biggest U.S. cigarette companies liable for the illnesses of about 500,000 Florida smokers and ordered them to pay $145 billion for misleading Americans about the risks of smoking. Phillip Morris bonds rallied strongly on this news, staging a powerful rebound in May. On July 18, Philip Morris asked the Illinois Supreme Court to prevent the Price class action plaintiffs from attempting to enforce a $10.l billion judgment until it decides whether the reduced bond established by the tlial court was proper. This request followed the Illinois Fifth District Court of Appeals ruling that Madison County Judge Nicholas Byron exceeded his authority by setting a bond lower than the amount of judgment, plus interest and costs. The court returned the case to the Madison County trial judge for the sole purpose of reconsidering the amount, terms, conditions and security of the bond. A 30-day stay is in place while the trial court conducts those proceedings. PIMCO believes management is unlikely to sacrifice good subsidiaries to fund the bad one, which would create a bad precedent for future court cases. PIMCO has continued to hold their positions at the holding company (Altria) level, but have suspended any additional purchases until greater clarity emerges on the likelihood of various outcomes. Split Rated Securities Still In Compliance: The District's investment policy requires a minimum rating of A3 by Moody's or A-by S&P, with at least a BBB in the event of a split rating. • $4,000,000 par of Ford Motor Credit securities ($3 million represented by cusip 345397SJ3 maturing 7/16/04 and $1 million represented by cusip 345397GV9 maturing 5/15/05), representing 1.2% of the portfolio holdings on a par basis. The securities were downgraded on 10/16/2001 by S&P from A to BBB+; and now carry a Moody's rating of A3 after a further downgrade from A2 on 1/16/2002 and an S&P rating of BBB after a further downgrade from BBB+ on 10/25/2002. MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 July 2003) Page 4 of4 • $10 950,000 par of General Motors Acceptonce Corp securities cusip 370425QV5) $4.0 million maturing on August 4, 2003, $3.95 million maturing on August lS _Q03. and $3.0 million maturing on August 28, 2007 representing 3.3% of lhe portfolio holdings on a par basis. The securities were downgraded on 10/16/2001 by S&P from A to BBB+, and a ftuther downgrade to BBB occurring on L0/16/2002. The securities now carry a Moody's rating of A3 after a further downgrade from A_ on 6/14/03. . • $3,500,000 par of Virginia Electric Power NT securities (cusip 927804EN0), maturing in 2006, represents 1.1 % of the portfolio holdings on a par basis. The security was downgraded on 10/21/2002 by S&P from A-to BBB+, but continues to carry a Moody's rating of A3 . G:\wp.dta\fin\220\white\Trearnry Mgmt\L-T0S00-03-07.RPT.doc UQUID OPER-PIMCO-OCSF07511102 Description CASH & CASH EQUIVALENTS U.S. DOLLAR INTEREST FED HM LOAN BNK -LESS THAN 1 YR FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 FNMA ISSUES -LESS THAN 1 YR MUTUAL FUNDS FIXED INCOME SECURITIES U.S. DOLLAR BANKING & FINANCE INDUSTRIAL U.S. AGENCIES U.S. GOVERNMENTS UTILITY -TELEPHONE U.S. DOLLAR CASH & CASH EQUIVALENTS U.S. DOLLAR FIXED INCOME SECURITIES TOTAL ASSETS -BASE: Asset Summary by Asset Type with Sectors 7 31 2003 Cost Shares Par Base 499,967.12 6,000,000.000 5,979,802.15 4,000,000.000 3,982,360.55 2,600,000.000 2,587,603.84 4,184,848.130 4,184,848.13 16,784,848.130 17,234,581.79 16,784,848.130 17,234,581.79 8,290,000.000 8,637,849.20 1,206,000.000 1,237,099.06 7,450,000.000 7,700,373.00 5,800,000.000 6,251,984.38 650,000.000 677,046.50 23,396,000.000 24,504,352.14 23,396,000.000 24,504,352.14 40,180,848.130 41,738,933.93 1 Report ID: GL825 l Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Market Value Base 499,967.12 5,979,802.15 3,982,360.55 2,587,603.84 4,184,848.13 17,234,581.79 17,234,581.79 8,500,138.40 1,213,554.04 7,593,725.91 5,981,250.00 664,319.50 23,952,987.85 23,952,987.85 41,187,569.64 % of Total 1.21% 14.52% 9.67% 6 .28% 10.16% 41.84% 41.84% 20.64% 2.95% 18.44% 14.52% 1.61% 58.16% 58.16% 100.00% Net Unrealized Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -137,710.80 -23,545.02 -106,647.09 -270,734.38 -12,727.00 -551,364.29 -551,364.29 -551,364.29 Workbench LONG TERM OPER-P.lMCO -OCSF07522202 Description CASH & CASH EQUIVALENTS U.S. DOLLAR PENDING TRADES INTEREST COMMERCIAL PAPER -DISCOUNT FED HM LOAN BNK -LESS THAN 1 YR FNMA ISSUES -LESS THAN 1 YR MUTUAL FUNDS U.S. DOLLAR CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES U.S. DOLLAR ABS -AIRPLANE RECEIVABLES BANKING & FINANCE COLLATERALIZED MORTGAGE OBLIGATION FHLMC MULTICI.ASS FHLMCPOOLS FNMA POOLS GNMA MULTI FAMILY POOLS GNMA SINGLE FAMILY POOLS INDUSTRIAL INFLATION INDEXED SECURITIES PVT PLACEMENTS -MORE THN 1 YR U.S. AGENCIES U.S. GOVERNMENTS UTILITY -ELECTRIC UTILITY -TELEPHONE U.S. DOLLAR FIXED INCOME SECURITIES Asset Summary by Asset Type with Sectors 7 31 2003 Cost Shares Par Base -20,618,896.06 3,506,422.26 600,000.000 597,974.33 31,400,000.000 31,315,983.21 18,000,000.000 17,953,496.75 140,666.200 140,666.20 50,140,666.200 32,895,646.69 50,140,666.200 32,895,646.69 1,600,000.000 1,600,000.00 40,285,000.000 41,385,619.50 2,520,466.090 2,520,466.09 1,678,829.700 1,680,365.48 234,559.900 236,116.14 32,801,002.980 34,024,422.14 4,087,668.700 4,067,460.21 14,572,644.130 14,869,257.13 12,000,000.000 12,458,780.00 30,762,120.000 30,468,162.66 752,000.000 826,199.84 41,252,775.970 42,329,448.93 80,779,356.910 89,082,570.88 6,500,000.000 6,438,210.00 6,000,000.000 6,594,240.00 275,826,424.380 288,581,319.00 275,826,424.380 288,581,319.00 1 Report ID: GL8251 Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Market Value Base -20,618,896.06 3,506,422.26 597,974.33 31,315,983.21 17,953,496.75 140,666.20 32,895,646.69 32,895,646.69 238,000.00 41,555,378.05 2,662,242.31 1,685,612.36 240,865.41 33,320,562.81 4,199,889.50 15,068,709.54 12,229,470.00 33,590,141.78 826,199.84 44,248,235.33 88,233,936.03 6,956,740.00 6,454,200.00 291,510,182.96 291,510,182.96 % of Total -6.36% 1.08% 0.18% 9.65% 5.53% 0.04% 10.14% 10.14% 0.07% 12.81% 0.82% 0.52% 0.07% 10.27% 1.29% 4.65% 3.77% 10.35% 0.25% 13.64% 27.20% 2.14% 1.99% 89.86% 89.86% Net Unrealized Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -1,362,000.00 169,758.55 141,776.22 5,246.88 4,749.27 -703,859.33 132,429.29 199,452.41 -229,310.00 3,121,979.12 0.00 1,918,786.40 -848,634.85 518,530.00 -140,040.00 2,928,863.96 2,928,863.96 Workbench Asset Summary by Asset Type with Sectors LONG TERM OPER-PlMCO • OCSF07522202 7 31 2003 Cost Description Shares Par Base .._ ________________________ _ Report ID: OL8251 Base Currency: USD Alternate Base Currency: Exchange Rate: Status:FINAL Market Value Base % of Total Net Unrealized Gain/Loss Base TOTAL ASSETS -BASE: 325,967,090.580 ____ 3_2_1_,4_7_6_,9_6_5_.6_9 _____ 3_2_4_,4_0_5_,_8_2_9_.6_5 100.00% 2,928,863.96 2 WorkGench YLDANAL YIELD ANALYSIS PAGE 1 OCSF075lll02 2003/07/31 RUN DATE 08/07/03 DISTRICT: LIQUID OPERATING RUN TIME 09.29.48 =-=- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION 900K YIELD S-P PRICE MARKET VALUE % TOTAL -----------------------------------------------------··----------·-------.-------------------- CASH & CASH EQUIVALENTS 500,ooo.oo FEDERAL HOME LN BK CONS DISC N .ooo .ooo P-1 99.773 498,862.50 2.98 313384KB4 MAT 08/06/2003 A-1+ 498,862.50 1.23 2,000,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .ooo P-1 99. 713 1,994,261.94 11.91 313384KR9 MAT 08/20/2003 A-1+ 1,994,261.94 4,90 2,000,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .000 P-1 99.532 1,990,640,00 11.89 313384NJ4 MAT 10/24/2003 A-1+ 1,990,640,00 4,89 1,soo,000.00 FEDERAL HOME LN BKS CONS DISC .ooo .ooo P-1 99,736 1,496,037,71 8,93 313384NPO MAT 10/29/2003 A-1+ 1,496,037,71 3,68 2,000,000.00 FEDERAL HOME LN MTG CORP DN .ooo .000 P-1 99.569 1,991,383.33 11,89 313396MT7 MAT 10/09/2003 A-1+ 1,991,383.33 4,89 2,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99,549 1,990,977,22 11.89 313396NB5 MAT 10/17/2003 A-1+ 1,990,977.22 4.89 600,000.00 FEDERAL NATL MTG ASSN DISCOUNT .000 .000 P-1 99,708 598,249.67 3.57 313588MZ5 MAT 10/15/2003 A-1+ 598,249.67 1.47 2,000,000.00 FEDERAL NATL MTG ASSN DISC .ooo .ooo P-1 99.468 1,989,354.17 11.88 313588PD1 MAT 11/12/2003 A-1+ 1,989,354.17 4,89 4,184,848.13 DREYFUS TREASURY CASH MGMT .ooo • 741 AAA 100.000 4,184,848,13 25.00 996085247 AAA 4,184,848,13 10,29 ----------------------------------------TOTAL CASH & CASH EQUIVALENTS .ooo .044 16,734,614.67 100.00 16,734,614,67 41.13 FIXED INCOME SECURITIES 1,000,000.00 ASSOCIATES CORP NORTH AMER .ooo 5,618 AAl 103.234 1,041,290.00 4.30 046003KA6 5.800% 04/20/2004 DD 04/20/99 AA-1,032,340.00 2 .54 650,000.00 BELL ATLANTIC-NEW JERSEY INC .ooo 5,748 AA3 102.203 677,046.50 2 ,77 077858AA6 5.875% 02/01/2004 DD 02/01/94 A+ 664,319.50 1.63 300,000.00 COLGATE PALMOLIVE MTN TR 00058 .ooo 5,200 AA3 101.343 308,808.00 1.26 19416QCK4 5.270% 12/01/2003 DD 11/24/98 AA-304,029,00 .75 YLDANAL YIELD ANALYSIS PAGE 2 OCSF07511102 2003/07/31 RUN DATE 08/07/03 DISTRICT: LIQUID OPERATING RUN TIME 09,29,48 -- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -·-------------------------------------------------------------------------------------------------- 1,350,000,00 FEDERAL FARM CR BKS CONS SYSTE ,000 5,289 AAA 102.101 1,399,963.50 5.75 31331H6G7 6.40% 01/23/2004 DD 01/01/1999 AAA 1,378,364.85 3.39 550,ooo.oo FEDERAL FARM CR BKS CONS MTN .000 4,966 AAA 100,688 565,229.50 2,31 31331RC78 5.000% 10/02/2003 DD 10/02/98 AAA 553,781.42 1.36 1,100,000.00 FEDERAL HOME LN MTG CORP DEB .000 3,681 AAA 101.861 1,125,905.00 4,67 3134A4PH1 3.750% 04/15/2004 DD 04/15/02 AAA 1,120,472.65 2,75 4,200,000.00 FEDERAL NATL MTG ASSN DEBS .ooo 5 ,017 AAA 102,154 4,350,168.00 17.91 31359MEM1 5,125% 02/13/2004 DD 02/08/99 AAA 4,290,473,46 10.54 1,340,000,00 GENERAL ELEC MTN t TR 00019 ,000 8,065 AAA 101.671 1,380,508.20 5.68 36962FAUO STEP UP 10/30/2003 DD 11/02/92 AAA 1,362,391.40 3.35 250,000.00 GILLETTE CO NT ,000 6,241 AA3 100,140 256,012,50 1.04 375766AC6 6.250% 08/15/2003 DD 08/16/93 AA-250,350.00 ,62 2,000,000.00 LEHMAN BROS HLDGS INC .ooo 6,407 A2 103.406 2,091,180,00 8 .63 524908BZ2 6.625% 04/01/2004 DD 03/26/99 A 2,068,120.00 5.08 500,ooo.oo PAINE WEBBER GROUP INC NTS .ooo 6,342 AA2 101,703 519,405.00 2.12 695629CE3 6,450% 12/01/2003 DD 12/01/98 AA+ 508,515.00 1.25 656,000.00 PROCTER & GAMBLE CO NTS .ooo 5,225 AA3 100.484 672,278.56 2.75 742718BK4 5,250% 09/15/2003 DD 09/28/98 AA-659,175.04 1.62 2,000,000.00 US BANCORP MTN tTR 00119 ,000 5,792 AA3 103.593 2,092,620,00 8.64 91159HEY2 6,000% 05/15/2004 DD 05/10/99 A+ 2,071,860.00 5,09 s,000,000.00 US TREASURY BONDS .ooo 11.515 AAA 103,125 6,251,984.38 24.97 9128100GO 11.875% 11/15/2003 DD 10/05/83 AAA 5,981,250.00 14.70 450,000.00 WELLS FARGO & CO SUBNT 1.615 6,055 AA3 101.156 467,496.00 1.90 949740BY9 6,125% 11/01/2003 DD 11/01/93 A 455,202.00 1.12 150,000.00 FEDERAL FARM CR BKS CONS MTN 1.664 6.531 AAA 100.294 155,796.00 .62 31331NWS9 6.550% 08/19/2003 DD 08/19/96 AAA 150,440,88 ,37 100,000.00 FEDERAL HOME LN BK CONS BDS 1.664 5,914 AAA 100,193 103,311.00 .41 3133M55B2 5.925% 08/14/2003 DD 08/14/98 AAA 100,192.65 ,25 YLDANAL OCSF07511102 DISTRICT: LIQUID OPERATING YIELD ANALYSIS 2003/07/31 PAGE RUN DATE RUN TIME 3 08/07/03 09.29.48 ===========================================================~==============-===========-===========-========================== PAR VALUE SECURITY ID SECURITY DESCRIPTION 1,000,000,00 MORGAN STANLEY OW MTN tTR00349 61745EQN4 7.125% 08/15/2003 DD 08/10/00 TOTAL FIXED INCOME SECURITIES TOTAL YTM AT CURRENT MOODY DOOK YIELD S-P 1.757 .026 .020 7,113 6.363 4.816 AA3 AA- MARKET PRICE 100.171 TOTAL COST/ MARKET VALUE 1,045,350.00 1,001,110.00 24,504,352.14 23,952,987.85 41,238,966.81 40,687,602.52 % TYPE % TOTAL 4.18 2.46 100.00 58.87 100.00 100.00 YLDANAL OCSF07522202 DISTRICT: LONG-TERM OPERATING YIELD ANALYSIS 2003/07/31 PAGE RUN DATE RUN TIME 4 08/07/03 09.29.48 =============---------= --=-=-==== PAR VALUE SECURITY ID SECURITY DESCRIPTION CASH & CASH EQUIVALENTS 800,000.00 FEDERAL HOME LN BKS CONS DISC 313384MM8 MAT 10/03/2003 12,800,000.00 FEDERAL HOME LN BK CONS DISC N 313384MUO MAT 10/10/2003 12,000,000,00 FEDERAL HOME LN BKS CONS DISC 313384MZ9 MAT 10/15/2003 3,800,000.00 FEDERAL HOME LN BK CONS DISC N 313384NJ4 MAT 10/24/2003 2,000,000,00 FEDERAL HOME LN BK CONS DISC N 313384NY1 MAT 11/07/2003 2,700,000.00 FEDERAL NATL MTG ASSN DISC NT 313588MK8 MATURES 10/01/2003 13,700,000,00 FEDERAL NATL MTG ASSN DISCOUNT 313588MZ5 MAT 10/15/2003 1,600,000,00 FEDERAL NATL MTG ASSN DISCOUNT 313588PL3 MAT 11/19/2003 600,000,00 GENERAL ELEC CAP DISC 36959JYC1 11/12/2003 140,666,20 DREYFUS TREASURY CASH MGMT 996085247 TOTAL CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES 752,000.00 AIG SUNAMERICA GLOBAL REGS U00907AAO 5.850% 08/01/2008 DD 08/08/01 15,000,000.00 COMMIT TO PUR FNMA SF MTG 01F050486 5,000% 08/01/2018 DD 08/01/03 YTM AT CURRENT MOODY MARKET OOOK YIELD S-P PRICE .ooo .ooo .ooo .ooo .ooo .ooo .ooo .ooo .ooo .000 .ooo .ooo .ooo .ooo .ooo .ooo .ooo .ooo .ooo .741 .ooo .ooo .ooo 5,325 .ooo 5.009 P-1 A-1+ P-1 A-1+ P-1 A-1+ P-1 A-1+ P-1 A-1+ P-1 A-1+ P-1 A-1+ P-1 A-1+ P-1 AAA AAA AAA AAA 99,770 99,761 99,747 99,740 99.433 99,786 99,745 99,642 99.662 100.000 109.867 99.813 TOTAL COST/ MARKET VALUE 798,161.33 798,161.33 12,769,376.00 12,769,376.00 11,969,666.67 11,969,666.67 3,790,115.88 3,790,115,88 1,988,663.33 1,988,663.33 2,694,208.50 2,694,208.50 13,665,023.14 13,665,023.14 1,594,265.11 1,594,265.11 597,974.33 597,974.33 140,666.20 140,666.20 ----------~ 50,000,120.49 50,008,120.49 826,199,84 826,199,84 15,459,375,00 14,971,875,00 % TYPE % TOTAL 1.59 ,23 25.53 3.74 23.93 3.50 7,57 1.11 3,97 .58 5 .38 ,79 27.32 4.00 3.18 ,47 1.19 .18 ,28 .04 100.00 14.64 ,28 ,24 5,13 4 ,38 YLDANAL YIELD ANALYSIS PAGE 5 OCSF07522202 2003/07/31 RUN DATE : 08/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME 09.29.48 ---==== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL ------------------------------------------------------------------------------------------------------ s,0001 000.00 COMMIT TO PUR FNMA SF MTG .ooo 5,930 AAA 101,188 s,200,000.00 1.73 01F060683 6.000% 08/01/2033 DD 08/01/03 AAA 5,059,375.00 1.48 900,000.00 BEAR STEARNS MTN t TR 00459 .000 1.578 A2 100.109 899,406.00 .30 073928VC4 VAR RT 12/01/2003 DD 08/17/01 A 900,981.00 ,26 1,soo,000.00 CIT GROUP INC NEW SR NT .ooo 5,212 A2 105.531 1,527,135.00 ,54 125581ADO 5.5001 11/30/2007 DD 12/02/02 A 1,582,965.00 .46 s,000,000.00 CITIGROUP INC GLOBAL SUB NT .000 5,512 AA2 102.046 5,333,600.00 1.75 172967BP5 5,6251 08/27/2012 DD 08/26/02 A+ 5,102,300,00 1.49 146,387 .69 FHLMC GROUP IG4-0353 .000 7,324 AAA 102,410 150,093.13 .05 3128DBMA2 7,5001 10/01/2004 DD 03/01/99 AAA 149,915.16 .04 7,500,000.00 FEDERAL HOME LN BK CONS BOS .000 6.582 AAA 108.249 7,997,625.00 2,78 3133MAUN7 7,125% 02/15/2005 DD 02/08/00 AAA 8,118,708.75 2.38 88,172,21 FHLMC GROUP #78-6064 .ooo 3.729 AAA 103.151 86,023.01 .03 31348SWZ3 6,3841 Ol/01/2028 DD 12/01/97 AAA 90,950.25 .03 11,350,000.00 FEDERAL NATL MTG ASSN DEBS .000 4,902 AAA 107,110 11,521,271.50 4,17 31359MJX2 5,250% 06/15/2006 DD 06/22/01 AAA 12,156,985.00 3.56 292,207.18 FNMA POOL f0323980 .000 5.776 AAA 103.887 305,082.56 .10 31374T2MO 6.0001 04/01/2014 DD 09/01/99 AAA 303,564.45 .09 105,419,53 FNMA POOL #0456482 .ooo s. 772 AAA 103.949 110,064.58 .03 31381CCT2 6.0001 02/01/2014 DD 02/01/99 AAA 109,582.78 .03 318,930.91 FNMA POOL #0509649 .000 5.776 AAA 103.887 332,983.81 .11 31383QEWO 6.000% 09/01/2014 DD 09/01/99 AAA 331,326,86 .10 234,208.91 FNMA POOL 10535451 .ooo 5,776 AAA 103.887 244,528.74 .08 31384VZQ8 6.000% 06/01/2015 DD 07/01/00 AAA 243,311.95 .07 5,187,179.85 FNMA POOL 10535672 .ooo s. 776 AAA 103.887 5,415,739,96 1. 84 31384WCH1 6.000% 01/01/2016 DD 12/01/00 AAA 5,388,791.01 1.58 1,795,470.68 FNMA POOL 10545296 .000 5,786 AAA 103.699 1,874,583.60 ,63 31385HXZO 6,000% 11/01/2016 DD 10/01/01 AAA 1,861,889.09 .55 147,793,19 FNMA POOL #0545580 .ooo 5.782 AAA 103.762 154,305,32 .os 31385JCR7 6.000% 03/01/2017 DD 03/01/02 AAA 153,352,76 .04 YLDANAL YIELD ANALYSIS PAGE 6 OCSF07522202 2003/07/31 RUN DATE 08/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME 09.29.48 =- PAR VALUE YTM AT CURRENT MOODY MARI<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----------------------·----------------------------------------------------·-------------·------------ 249,201.30 FNMA POOL 10555101 .ooo 5.786 AAA 103.699 260,181.73 .08 31385WU23 6.000% 10/01/2017 DO 11/01/02 AAA 258,419.80 .08 97,289.71 FNMA POOL 10576386 .ooo 5.803 AAA 103.399 101,576.54 .03 31386XJ72 6.000% 05/01/2016 OD 05/01/01 AAA 100,596.69 .03 272,681.77 FNMA POOL f0576739 .ooo 5.782 AAA 103.762 284,696.81 .09 31386XV86 6.000% 04/01/2016 DD 04/01/01 AAA 282,939.29 .00 307,745.01 FNMA POOL 10580888 .ooo 5.782 AAA 103.762 321,305.02 .10 31387DJ91 6.000% 05/01/2016 DD 05/01/01 AAA 319,321.52 .09 230,979 .51 FNMA POOL f0594002 .ooo 5.782 AAA 103.762 241,157.04 .00 31387T3I<8 6.000% 07/01/2016 DO 07/01/01 AAA 239,668.31 .07 289,859,75 FNMA POOL 10597376 .ooo 5.786 AAA 103.699 302,631.69 .10 31387XT96 6,000% 09/01/2016 DO 08/01/01 AAA 300,582.30 .09 283,252.44 FNMA POOL f0605259 .ooo 5.786 AAA 103.699 295,733.25 .10 31388HMG1 6.000% 09/01/2016 DD 09/01/01 AAA 293,730.57 ,09 174,345.94 FNMA POOL f0608366 .ooo 5.782 AAA 103.762 182,028.05 .06 31388LZ78 6.000% 10/01/2016 DD 09/01/01 AAA 180,904.35 .05 174,071.01 FNMA POOL #0616734 .000 5.782 AAA 103.762 181,741.01 .06 31388WEF9 6.000% 12/01/2016 DD 12/01/01 AAA 180,619.07 .os 293,469.30 FNMA POOL 10630812 .ooo 5.799 AAA 103.468 306,400.29 .10 31389NYH2 6.000% 02/01/2017 DD 02/01/02 AAA 303,645.64 .09 1,150,158.10 FNMA POOL 10632376 .ooo 5,778 AAA 103.849 1,200,836.95 .40 31389QQ50 6.000% 07/01/2017 DD 07/01/02 AAA 1,194,430.22 .35 684,648 .94 FNMA POOL f0653116 .ooo 5,778 AAA 103.849 714,816.28 .24 31390QSD8 6.000% 07/01/2017 DD 07/01/02 AAA 711,002.58 .21 277,680.39 FNMA POOL f0673280 .ooo 5,786 AAA 103.699 289,915.68 ,09 31391P6R2 6.000% 08/01/2017 DD 11/01/02 AAA 287,952,40 .00 139,373.89 FNMA POOL 10698939 .000 5. 776 AAA 103,874 145,515.05 .04 31400VPY2 6.000% 09/01/2017 DD 03/01/03 AAA 144,773.54 .04 95,035.67 FNMA POOL 10703195 .ooo 5.765 AAA 104.074 99,223.18 .03 31401BGC3 6.000% 01/01/2017 DD 04/01/03 AAA 98,907.63 .03 YLDANAL YIELD ANALYSIS PAGE 7 OCSF07522202 2003/07/31 RUN DATE 08/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME 09.29.48 PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----------------------------------------------·-------------------------~------------ 642,574,64 GNMA POOL #0596612 .000 6.258 AAA 103,863 674,402.17 ,22 36200BYH4 6.500% 09/15/2032 DD 09/01/02 AAA 667,399.10 .20 1,841,817.57 GNMA POOL #0569358 .ooo 6.280 AAA 103,499 1,884,985.16 .65 36200QQK3 6.500% 04/15/2032 DD 04/01/02 AAA 1,906,254.59 ,56 80,204.16 GNMA POOL #0569685 .ooo 6.256 AAA 103,895 84,176.77 .02 36200Q2S2 6.500% 02/15/2032 DD 02/01/02 AAA 83,327,74 .02 137,707.04 GNMA POOL #0570019 .000 6.258 AAA 103.863 144,527,85 ,04 36200RG48 6.500% 07/15/2032 DD 07/01/02 AAA 143,027,05 .04 878,268.53 GNMA POOL #0574323 .ooo 6,256 AAA 103,895 921,770.26 .31 36200WAY7 6.500% 12/15/2031 DD 12/01/01 AAA 912,472.96 ,27 94,569.39 GNMA POOL 10575364 .ooo 6,256 AAA 103.895 99,253.53 .03 36200XFD6 6.500% 11/15/2031 DD 11/01/01 AAA 98,252.42 .03 32,560.52 GNMA POOL #0587117 .ooo 6.258 AAA 103.863 34,173.28 .01 36201MG22 6.500% 06/15/2032 DD 06/01/02 AAA 33,818.42 .01 106,823,13 GNMA POOL #0587439 .ooo 6,258 AAA 103.863 112,114.21 .03 36201MS45 6.500% 11/15/2032 DD 12/01/02 AAA 110,950.01 ,03 21,552.87 GNMA POOL #0421389 .ooo 6,239 AAA 104,176 22,620,41 .oo 36206UC23 6.500% 04/15/2026 DD 04/01/96 AAA 22,452,87 .01 32,229.38 GNMA POOL #0449851 .000 6,273 AAA 103,616 33,825,74 .01 36208FWLO 6.500% 01/15/2028 DD 01/01/98 AAA 33,394.86 ,01 95,196.81 GNMA POOL 10466845 .ooo 6,249 AAA 104.020 99,912.03 .03 36209BTA6 6.500% 06/15/2028 DD 06/01/98 AAA 99,023,27 .03 680,418.97 GNMA POOL #0468052 .ooo 6,249 AAA 104,020 714,120.97 ,24 36209C5M4 6.500% 07/15/2028 DD 07/01/98 AAA 707,768.61 ,21 281,974.52 GNMA POOL #0476041 .000 6,249 AAA 104.020 295,500.49 .10 36209MZE7 6.500% 06/15/2028 DD 06/01/98 AAA 293,308.57 .09 252,559,42 GNMA POOL #0478626 .ooo 6,249 AAA 104.020 264,674.38 ,09 36209QVT9 6.500% 01/15/2029 DD 01/01/99 AAA 262,711.12 .OB 289,527,26 GNMA POOL #0480598 .ooo 6,249 AAA 104,020 303,415.53 .10 36209S3F6 6.500% 10/15/2028 DD 10/01/98 AAA 301,164.90 .09 YLDANAL YIELD ANALYSIS PAGE 8 OCSF07522202 2003/07/31 RUN DATE 08/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME 09.29.48 -------------------------------------------------------·--------------------------------------=========-==--=====-=====------- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------------------------------------------------------------------------- 725,190.48 GNMA POOL 10485527 .ooo 6,256 AAA 103.895 761,110.07 ,25 36209YLG1 6.500% 06/15/2031 DD 06/01/01 AAA 753,433.24 .22 875,765.60 GNMA POOL 10485610 .ooo 6,256 AAA 103.895 919,143.37 ,31 36209YN38 6.500% 07/15/2031 DD 07/01/01 AAA 909,872.55 .27 166,163.17 GNMA POOL 10485682 .000 6.256 AAA 103.895 174,393.44 .os 36209YRB6 6.500% 08/15/2031 DD 08/01/01 AAA 172,634.44 .OS 154,573.25 GNMA POOL #0485703 .000 6.256 AAA 103.895 162,229.46 .os 36209YRY6 6.500% 08/15/2031 DD 08/01/01 AAA 160,593.15 .os 16,487.70 GNMA POOL 10512235 .ooo 6,253 AAA 103.957 17,304.36 .oo 36211GBC6 6.500% 11/15/2029 DD 11/01/99 AAA 17,140.12 .01 313,523.93 GNMA POOL 10514326 .ooo 6,253 AAA 103,957 328,563.28 .11 36211JLF2 6.500% 07/15/2029 DD 07/01/99 AAA 325,930.17 .10 84,522.72 GNMA POOL 10530053 .000 6.282 AAA 103.466 88,709.24 .02 36212CZS3 6.500% 04/15/2031 DD 04/01/01 AAA 87,452.27 .03 69,341.15 GNMA POOL 10530290 .ooo 6.256 AAA 103.895 72,667.36 .02 36212DC31 6.500% 03/15/2031 DD 04/01/01 AAA 72,041.66 .02 167,219.54 GNMA POOL 10537885 .ooo 6,256 AAA ; 103.895 175,502.13 .05 36212MRE1 6.500% 02/15/2031 DD 02/01/01 AAA 173,731.96 .OS 22,090.17 GNMA POOL 10547512 .ooo 6,256 AAA 103.895 23,184.32 .oo 36212YGV9 6.500% 04/15/2031 DD 04/01/01 AAA 22,950.48 .01 288,380.61 GNMA POOL 10547715 .000 6,256 AAA 103.895 302,213.86 .10 36212YN82 6.500% 02/15/2031 DD 02/01/01 AAA 299,611.68 .09 106,578.31 GNMA POOL 10552322 .ooo 6.256 AAA 103.895 111,857.27 .03 36213ESK3 6.500% 01/15/2032 DD 01/01/02 AAA 110,729.03 .03 896,660.19 GNMA POOL #0552466 .ooo 6,280 AAA 103.499 941,072.89 ,31 36213EW36 6.500% 03/15/2032 DD 03/01/02 AAA 928,030.35 .27 726,247.49 GNMA POOL 10552659 .ooo 6.258 AAA 103.863 762,219.43 .25 36213E5U6 6.500% 07/15/2032 DD 07/01/02 AAA 754,304.46 .22 755,671.60 GNMA POOL 10561017 .ooo 6.256 AAA 103.895 793,100.96 .26 36213QG29 6.500% 07/15/2031 DD 07/01/01 AAA 785,101.46 .23 YLDANAL YIELD ANALYSIS PAGE 9 OCSF07522202 2003/07/31 RUN DATE 08/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME 09.29,48 =======================================================-=--=====================================================--===-=====-- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -------------------------------------------------------------~-------------------·-·--·------------- 339,946.89 GNMA II POOL 10080395 .ooo 4.385 AAA 102.615 336,866.13 ,11 36225CNM4 VAR RT 04/20/2030 DD 04/01/00 AAA 348,836.50 ,10 3,045,321.62 GNMA II POOL f080408X .ooo 4,385 AAA 102.614 3,014,392.56 1.07 36225CN28 6.500% 05/20/2030 DD 05/01/00 AAA 3,124,914,15 ,92 3,000,000 .00 GTE NORTH INC DEB SER A .ooo 5,876 Al 102.109 3,063,750.00 1.05 362337AD9 6.000% 01/15/2004 DD 01/15/94 A+ 3,063,270.00 .90 5,ooo,ooo.oo GENERAL ELEC CAP MTN fTR 00575 .ooo 5.429 AAA 100.390 5,203,500.00 1.72 36962GZY3 5.450% 01/15/2013 DD 12/06/02 AAA 5 1019,500.00 1.47 4,000,000.00 GENERAL MTRS ACCEP MTN f00615 .ooo 1.630 A3 100.000 3,998,440.00 1.37 37042WE80 VAR RT 08/04/2003 DD 08/03/01 BBB 4,000,000.00 1.17 3,000,000.00 GENERAL MTRS ACCEP CORP SR NT .ooo 5.978 A3 102.453 3,064,350.00 1.05 370425SD3 6.125% 08/28/2007 DD 08/29/02 BBB 3,073,590.00 ,90 3,000,000.00 GOLDMAN SACHS GROUP INC SR NT .ooo 4,073 AA3 101.265 3,030,030.00 1.04 38141GCS1 4.125% 01/15/2008 DD 01/13/03 A+ 3,037,950.00 .89 1,635,000.00 HOUSEHOLD FIN CORP NT .ooo 5,967 Al 106.843 1,772,820.00 ,59 441812JW5 6.375% 10/15/2011 DD 10/23/01 A 1,746,883.05 ,51 3,000,000.00 JP MORGAN CHASE & CO SUB NT .000 5.642 A2 101.906 3,127,260.00 1.04 46625HAT7 5.750% 01/02/2013 DD 11/25/02 A 3,057,180.00 ,90 3,200,000.00 MORGAN STANLEY NT .000 3,665 AA3 98.921 3,195,648.00 1.08 617446BW2 3.625% 04/01/2008 DD 03/06/03 A+ 3,165,472.00 ,93 3,000,000.00 NATIONAL RURAL UTILS COOP FIN .ooo 6,373 A2 113.765 3,465,480.00 1.17 637432CU7 7,250% 03/01/2012 DD 03/07/02 A 3,412,950.00 1.00 5,ooo,ooo.oo PHILIP MORRIS COS INC NTS .ooo 7.322 BAA2 102.437 5,263,000.00 1.75 718154CB8 7.500% 04/01/2004 DD 04/01/97 BBB s,121,050.00 1.50 3,679,356.91 SBA GTD DEV PARTN 2001-20C 1 .ooo 5.957 AAA 106.435 3,679,356.91 1.34 83162CLJO 6.340% 03/01/2021 AAA 3,916,123.53 1.15 2,520,466.09 SBA GTD PARTN CTFS SBIC-PS 01 .ooo 6.286 AAA 105.625 2,520,466.09 ,91 831641DD4 6.640% 02/10/2011 DD 02/21/01 NR 2,662,242.31 ,78 1,600,000.00 UNITED AIRLS PASSTHRU 01-1 C .000 45.923 B3 14.875 1,600,000.00 .oe 909317BC2 6,831% 03/01/2010 DD 08/22/01 A-238,000.00 ,07 YLDANAL YIELD ANALYSIS PAGE 10 OCSF07522202 2003/07/31 RUN DATE 08/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME 09.29.48 ----------------------------------------------==-------------------===============================--======-======---=-------- PAR VALUE YTM AT CURRENT MOODY MARI<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION 800K YIELD S-P PRICE MARI<ET VALUE % TOTAL -------------------------------------------------------------------------------------------------- 20,000,000.00 US TREASURY NOTES .ooo 5,580 AAA 112,000 22,620,312.50 7,68 9128272JO 06.250% 02/15/2007 DD 02/15/97 AAA 22,400,000,00 6.56 14,546,480,00 US TREASURY INFLATION INDEX NT .ooo 3,494 AAA 110,906 16,179,548.79 5,53 9128274Y5 3.875% 01/15/2009 DD 01/15/99 AAA 16,132,991.84 4,72 57,100,000.00 US TREASURY NOTES .ooo 5,303 AAA 108.438 62,782,901.47 21.24 9128276N7 05.750% 11/15/2005 DD 11/15/00 AAA 61,917,812,50 18.13 3,000,000.00 VERIZON GLOBAL FOG CORP GLOBAL .ooo 6.525 A2 113,031 3,530,490.00 1.16 92344GAT3 7.375% 09/01/2012 DD 08/26/02 A+ 3,390,930.00 .99 3,500,000.00 VIRGINIA ELEC & PWR 01 SER A .ooo 5 ,347 A3 107.546 3,487,680.00 1.29 927804ENO 5.750% 03/31/2006 DD 03/27/01 BBB+ 3,764,110.00 1.10 16,215,640,00 US TREASURY INFLATION INDEX NT 3,817 3,135 AAA 107.656 14,288,613.87 5.98 9128272M3 3,375% 01/15/2007 DD 01/15/97 AAA 17,457,149.94 5.11 3,950,000,00 GMAC NTS 5,752 1,390 A3 100.000 3,918,768.50 1.35 370425QV5 VAR RT 08/18/2003 DD 08/17/98 BBB 3,950,000.00 1.16 15,500,000.00 FEDERAL NATL MTG ASSN DEBS 5,967 6,589 AAA 108.143 16,154,410.00 5,75 31359MFH1 7,125% 02/15/2005 DD 02/14/00 AAA 16,762,095.25 4,91 1,271,918,74 FHLMC MULTICLASS MTG SER E3 A 6.316 4,086 AAA 100.460 1,273,273.85 .43 3133TCE95 VAR RT 08/15/2032 DD 12/01/97 AAA 1,277,769.57 .37 910,353,90 GNMA GTD REMIC TR 2000-9 FH 6,320 1.595 AAA 100,509 910,353.90 ,31 3837H4NX9 VAR RT 02/16/2030 AAA 914,987.60 ,27 10,867,84 GNMA POOL f0500917 6.389 5,872 AAA 102,184 10,315.96 .oo 36210SPAO 6.000% 04/15/2029 DD 04/01/99 AAA 11,105.15 .oo 44,084,19 GNMA POOL f0506636 6,389 5,872 AAA 102,184 41,845.54 ,01 36210YY90 6.000% 04/15/2029 DD 04/01/99 AAA 45,046.81 .01 468,332 ,60 GNMA POOL #0503388 6 ,389 5.872 AAA 102,184 444,550.08 .16 36210VF55 6.000% 03/15/2029 DD 03/01/99 AAA 478,559,06 ,14 16,506,94 GNMA POOL 10499153 6,389 5,872 AAA 102,184 15,668.69 .oo 36210QQE5 6.000% 02/15/2029 DD 02/01/99 AAA 16,867.38 .oo 523,769.03 GNMA POOL #0496461 6,390 5.868 AAA 102,246 497,171.37 ,18 36210MQN4 6,000% 01/15/2029 DD 01/01/99 AAA 535,533.35 ,16 YLDANAL YIELD ANALYSIS PAGE 11 OCSF07522202 2003/07/31 RUN DATE 08/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME 09.29.48 PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION OOOK YIELD S-P PRICE MARKET VALUE % TOTAL -----------------------------------------------·----------------·----------------------------------- 145,768.47 GNMA POOL #0491103 6.390 5,868 AAA 102,246 138,366.17 .os 36210FRY4 6,000% 01/15/2029 DD 01/01/99 AAA 149,042.56 .04 14,856.48 GNMA POOL #0486720 6,390 5 ,868 AAA 102.246 14,102.06 .oo 36210AVM6 6.000% 12/15/2028 DD 12/01/98 AAA 15,190,17 .oo 27,317,72 GNMA POOL #0497343 6.390 5.868 AAA 102.246 25,930,50 .oo 36210NP45 6.000% 12/15/2028 DD 12/01/98 AAA 27,931.30 .01 21,933.30 GNMA POOL #0469688 6,391 5.868 AAA 102.246 20,819.50 .oo 36209EXR8 6.000% 11/15/2028 DD 11/01/98 AAA 22,425,94 .01 25,225.59 GNMA POOL #0467279 6.391 5 .868 AAA 102.246 23,944.60 .oo 36209CCQ7 6.000% 10/15/2028 DD 10/01/98 AAA 25,792.18 .01 51,392.15 GNMA POOL #0457814 6,391 5 .868 AAA 102.246 48,782.38 .01 36208QSB3 6.000% 10/15/2028 DD 10/01/98 AAA 52,546.46 .02 496,302.79 GNMA POOL #0467286 6,391 5.868 AAA 102,246 471,099.91 ,17 36209CCX2 6.000% 10/15/2028 DD 10/01/98 AAA 507,450.20 .15 695,115,34 GNMA POOL 10465555 6,392 5,868 AAA 102,246 659,816.54 ,24 36209AE48 6.000% 09/15/2028 DD 09/01/98 AAA 710,728.26 .21 18,846,06 GNMA POOL 10483452 6,392 5.868 AAA 102.246 17,889.04 .oo 36209WBV3 6.000% 09/15/2028 DD 09/01/98 AAA 19,269.36 .01 654,307 .91 GNMA POOL f0465546 6.392 5.868 AAA 102.246 621,081.34 .22 36209AET3 6.000% 08/15/2028 DD 08/01/98 AAA 669,004.25 .20 463,542.79 GNMA POOL #0468339 6,392 5.868 AAA 102,246 440,003.53 ,16 36209DHQO 6.000% 08/15/2028 DD 08/01/98 AAA 473,954.38 .14 29,586.96 GNMA POOL f0438057 6,393 5.868 AAA 102.246 28,084.51 .01 36207PTN9 6.000% 05/15/2028 DD 05/01/98 AAA 30,251.51 .01 28,487.85 GNMA POOL 10468330 6,393 5.868 AAA 102.246 27,041.19 .oo 36209DBF4 6.000% 05/15/2028 DD 05/01/98 AAA 29,127.71 .01 406,910.96 FBLMC MULTICLASS CTF Tll A6 6,496 6 ,485 AAA 100.229 407,091.63 .13 3133TDPV2 6.500% 09/25/2018 AAA 407,842,79 .12 2,942,707.57 FBLMC MULTICLASS CTF SER 1620Z 6,499 6.020 AAA 99.661 2,786,567.63 1.00 3133Tl7A4 6.000% 11/15/2023 DD 11/01/93 AAA 2,932,731.79 .86 YLDANAL OCSF07522202 DISTRICT: LONG-TERM OPERATING YIELD ANALYSIS 2003/07/31 PAGE RUN DATE RUN TIME 12 08/07/03 09.29.48 =========-======---=====---======--======----=====----------------=-------==------===---=====---=======-====================== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ------------------------------------------------------------------------·----------·------------- 408,059.01 GNMA II POOL #080088M 6,705 5,211 AAA 103,146 416,985.31 ,14 36225CC20 7.375% 06/20/2027 DD 06/01/97 AAA 420,897.69 .12 2,000,000.00 MARSH & MCLENNAN COS INC SR NT 6. 717 6,345 A2 104,406 1,992,280.00 • 71 571748AB8 6,625% 06/15/2004 DD 06/14/99 AA-2,000,120.00 .61 3,000,000.00 FORD MTR CR CO GLOBAL LANDMARK 6.739 6,478 A3 103.421 2,995,080.00 1.06 345397SJ3 6 ,700% 07/16/2004 DD 07/16/99 BBB 3,102,630.00 .91 2,soo,000.00 COUNTRYWIDE HOME LNS INC NT 6,866 6.544 A3 104,671 2,498,400.00 .89 22237UAB8 6,850% 06/15/2004 DD 06 /24 /99 A 2,616,775.00 .77 294,341.18 GNMA II POOL #0080023 6,992 5.424 AAA 103.703 299,216.21 • 10 36225CAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 305,241.16 .09 2,100,000 .00 FEDERAL NATL MTG ASSN DEBS 7,113 5.878 AAA 112.705 2,030,133.00 .81 31359MEY5 6.625% 09/15/2009 DD 09/01/99 AAA 2,366,810.25 .69 1,000,000.00 FORD MOTOR CR CO NT 7.582 6,449 A3 104 .671 965,170.00 .35 345397GV9 6.750% 05/15/2005 DD 05/24/93 BBB 1,046,710.00 .31 949,714.50 WMP/HUNTOON PAIGE t000-11150 7.684 7,152 AAA 104,865 929,087.90 .34 302998GE3 7.500% 12/01/2030 DD 10/21/99 AAA 995,916 .69 ,29 3,000,000.00 PACIFICORP SECD MTN tTR 00115 7,709 6.860 A3 106.421 2,950,530.00 1.09 69512EEU5 7.300% 10/22/2004 DD 10/22/92 A 3,192,630.00 .93 1,600,000.00 ALLSTATE CORP SR NT 7.967 7 ,163 Al 109,937 1,594,032.00 .60 020002AL5 7,875% 05/01/2005 DD 05/01/00 A+ 1,758,992.00 ,52 --------------------·---------------------- TOTAL FIXED INCOME SECURITIES .532 5.302 288,581,319.00 100.00 291,510,182.96 85.40 ------------------------------------------- TOTAL ,521 5,191 338,589,439.49 100.00 341,518,303,45 100.00 ____ :_ ______ =-- Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000lO000 7/31/2003 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base U.S. DOLLAR CASH & CASH EQUIVALENTS PAYABLE FOR INVESTMENTS -20,659,375.00 -20,659,375.00 -5.65% 0.00 PURCHASED INTEREST RECEIVABLE 4,006,389.38 4,006,389.38 1.10% 0.00 RECEIVABLE FOR INVESTMENTS 40,478.94 40,478.94 0.01% 0.00 SOLD FEDERAL HOME LN BK CONS DISC 99.7725 500,000.000 498,862.50 498,862.50 0.14% 0.00 NMAT 08/06/2003SEC ID: 313384KB4 FEDERAL HOME LN BK CONS DISC 99.7131 2,000,000.000 1.994,261.94 1,994,261.94 0.55% 0.00 NMAT 08/20/2003SEC ID: 313384KR9 FEDERAL HOME LN BKS CONS 99.7702 800,000.000 798,161.33 798,161.33 0.22% 0.00 DISCMAT 10/03/2003SEC ID: 313384MM8 FEDERAL HOME LN BK CONS DISC 99.7608 12,800,000.000 12, 769.376.00 12,769,376.00 3.49% 0.00 NMAT 10/10/2003SEC ID: 313384MU0 FEDERAL HOME LN BKS CONS 99.7472 12,000,000.000 11,969,666.67 11.969,666.67 3.27% 0.00 DISCMAT 10/15/2003SEC ID: 313384MZ9 FEDERAL HOME LN BK CONS DISC 99.7399 5,800,000.000 5,780,755.88 5,780,755.88 1.58% 0.00 NMAT 10/24/2003SEC ID: 313384NJ4 FEDERAL HOME LN BKS CONS 99.7358 1,500,000.000 1,496,037.71 1,496,037.71 0.41% 0.00 DISCMAT 10/29/2003SEC ID: 313384NPO FEDERAL HOME LN BK CONS DISC 99.4332 2,000,000.000 1,988,663.33 1,988,663.33 0.54% 0.00 NMAT 11/07 /2003SEC ID: 313384NY1 FEDERAL HOME LN MTG CORP 99.5692 2,000,000.000 1,991,383.33 1,991,383.33 0.54% 0.00 DNMAT 10/09/2003SEC ID: 313396MT7 FEDERAL HOME LN MTG CORP 99.5489 2,000,000.000 1,990,977.22 1,990,977.22 0.54% 0.00 DISCMAT 10/17/2003SEC ID: 313396NB5 FEDERAL NATL MTG ASSN DISC 99.7855 2,700,000.000 2,694,208.50 2,694,208.50 0.74% 0.00 NTMATURES 10/0l/2003SEC ID: 313588MK8 1 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000lOO00 7/31/2003 Status: FINAL Net Unrealized Price Cost Market Value o/o of Gain/Loss Description Base Shares Par Base Base Total Base FEDERAL NATL MTG ASSN 99.7447 14,300,000.000 14.263,272.81 14,263,272.81 3.90% 0.00 DISCOUNTMAT 10/15/2003SEC ID: 313588MZ5 FEDERAL NATL MTG ASSN DISCMAT 99.4677 2,000,000.000 1,989,354.17 1,989,354.17 0.54% 0.00 ll/12/2003SECID:313588PD1 FEDERAL NATL MTG ASSN 99.6416 1,600,000.000 1.594,265.11 1,594,265.11 0.44% 0.00 DISCOUNTMAT ll/19/2003SEC ID:313588PL3 GENERAL ELEC CAP 99.6624 600,000.000 597,974.33 597,974.33 0.16% 0.00 DISC11/12/2003SEC ID: 36959JYC1 DREYFUS TREASURY CASH 100.0000 4.325,514.330 4,325,514.33 4,325,514.33 1.18% 0.00 MGMTSEC ID: 996085247 TOTAL CASH & CASH EQUIVALENTS 66,925,514.330 50,130,228.48 50,130,228.48 13.71% 0.00 FIXED INCOME SECURITIES AIG SUNAMERICA GLOBAL REG S 5. 109.8670 752,000.000 826,199.84 826.199.84 0.23% 0.00 850% 08/01/2008 DD 08/08/01SECID:U00907M0 COMMIT TO PUR FNMA SF MTG 5. 99.8125 15,000,000.000 15,459,375.00 14,971,875.00 4.10%i -487,500.00 0000/2 08/01/2018 DD 08/01/03SECID:01F050486 COMMIT TO PUR FNMA SF MTG 6. 101.1875 5,000,000.000 5,200,000.00 5,059,375.00 1.38% -140,625.00 0000/o 08/01/2033 DD 08/0l/03SECID:01F060683 ALLSTATE CORP SR NT7.875% 109.9370 1,600,000.000 1,594.032.00 1,758,992.00 0.48% 164,960.00 05/01/2005 DD 05/01/00SEC ID: 020002AL5 ASSOCIATES CORP NORrn AMER5. 103.2340 1,000,000.000 1,041.290.00 1,032,340.00 0.28% -8,950.00 8000/o 04/20/2004 DD 04/20/99SECID:046003KA6 BEAR STEARNS MTN # TR 100.1090 900,000.000 899,406.00 900,981.00 0.25% 1,575.00 00459VAR Rf 12/01/2003 DD 08/17/01SECID:073928VC4 BELL ATLANTIC-NEW JERSEY INC5. 102.2030 650,000.000 677,046.50 664,319.50 0.18% -12,727.00 875% 02/01/2004 DD 02/0l/94SECID:077858M6 CIT GROUP INC NEW SR NT 5.5000,i, 105.5310 1,500,000.000 1,527,135.00 1,582,965.00 0.43% 55,830.00 11/30/2007 DD 12/02/02SEC ID: 125581AD0 2 Worlcbencl~ Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: I OCSD-CONSOLIDATED -OCSGOOOlOOOO 7/31/2003 Exchange Rate: Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base cmGROUP INC GLOBAL SUB NT5. 102.0460 5,000,000.000 5,333,600.00 5,102,300.00 1.40% -231,300.00 625% 08/27/2012 DD 08/26/02SECID: 172967BP5 COLGATE PALMOLIVE MTN TR 101.3430 300,000.000 308,808.00 304,029.00 0.080/o -4,779.00 000585.270% 12/01/2003 DD 1 l/24/98SEC ID: 19416QCK4 COUNTRYWIDE HOME LNS INC NT6. 104.6710 2,500,000.000 2,498,400.00 2,616,775.00 0.72% 118,375.00 850% 06/15/2004 DD 06/24/99SECID:22237UAB8 WMP /HUNTOON PAIGE #000-104.8649 949,714.500 929,087.90 995,916.69 0.27% 66,828.79 111507.500% 12/01/2030 DD 10/21/99SECID:302998GE3 FHLMC GROUP #G4-0353 7.500% 102.4097 146,387.690 150,093.13 149,915.16 0.04% -177.97 10/01/2004 DD 03/0l/99SEC ID: 3128DBMA2 FEDERAL HOME LN BK CONS BDS7. 108.2495 7,500,000.000 7,997,625.00 8,118,708.75 2.22% 121,083.75 125% 02/15/2005 DD 02/08/00SECID:3133MAUN7 FEDERAL HOME LN BK CONS BDS 5. 100.1927 100,000.000 103,311.00 100,192.65 0.03% -3,118.35 925% 08/14/2003 DD 08/14/98SEC ID: 3133M55B2 FHLMC MULTICI.ASS MTG SER E3 100.4600 1,271,918.740 1,273,273.85 1,277,769.57 0.35% 4,495.72 AVAR RI' 08/15/2032 DD 12/0l/97SECID:3133TCE95 FHLMC MULTICI.ASS CTF Tl 1 A66. 100.2290 406,910.960 407,091.63 407,842.79 0.11% 751.16 500% 09/25/2018SEC ID: 3133TDPV2 FHLMC MULTICI.ASS CTF SER 99.6610 2,942,707.570 2,786,567.63 2,932,731.79 0.800/o 146,164.16 · 1620Z6.0000/o 11/15/2023 DD ll/0l/93SECID:3133Tl7A4 FEDERAL FARM CR BKS CONS 102.1011 1,350,000.000 1,399,963.50 1,378,364.85 0.380/o -21,598.65 SYSTE6.400/o 01/23/2004 DD 0l/01/1999SECID:31331H6G7 FEDERAL FARM CR BKS CONS 100.2939 150,000.000 155,796.00 150,440.88 0.04% -5,355.12 MTN6.5500/o 08/19/2003 DD 08/19/96SECID:31331NW59 FEDERAL FARM CR BKS CONS MTN 100.6875 550,000.000 565,229.50 553,781.42 0.15% -11,448.08 5.0000/o 10/02/2003 DD 10/02/98SECID:31331RC78 3 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000l0000 7/31/2003 Status: FINAL ., .. '"" .. Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FEDERAL HOME LN MTG CORP DEB 101.8612 1,100,000.000 1.125,905.00 1,120,472.65 0.31% -5,432.35 3.750% 04/15/2004 DD 04/15/02SECID:3134A4PH1 FHLMC GROUP #78-6064 6.384% 103.1507 88,172.210 86,023.01 90,950.25 0.02% 4,927.24 01/01/2028 DD 12/01/97SEC ID: 31348SWZ3 FEDERAL NATL MTG ASSN DEBS5. 102.1541 4,200,000.000 4,350.168.00 4,290,473.46 1.17% -59,694.54 125% 02/13/2004 DD 02/08/99SEC ID: 31359MEM1 FEDERAL NATL MTG ASSN DEBS6. 112.7053 2.100,000.000 2,030,133.00 2,366,810.25 0.65% 336,677.25 625% 09/15/2009 DD 09/0l/99SEC ID: 31359MEY5 FEDERAL NATL MTG ASSN DEBS7. 108.1426 15,500,000.000 16,154,410.00 16,762,095.25 4.58% 607,685.25 125% 02/15/2005 DD 02/14/00SEC ID: 31359MFH1 FEDERAL NATL MTG ASSN DEBS5. 107.1100 11,350,000.000 11,521,271.50 12,156,985.00 3.33% 635,713.50 250% 06/15/2006 DD 06/22/0lSEC ID: 31359MJX2 FNMA POOL #0323980 6.000% 103.8867 292,207.180 305.082.56 303,564.45 0.08% -1.518.11 04/01/2014 DD 09/0l/99SEC ID: 31374T2M0 FNMA POOL #0456482 6.000% 103.9492 105,419.530 110,064.58 109,582.78 0.03% -481.80 02/01/2014 DD 02/0l/99SEC ID: 31381CCT2 FNMA POOL #0509649 6.000% 103.8867 318,930.910 332,983.81 331,326.86 0.09% -1,656.95 09/01/2014 DD 09/0l/99SEC ID: 31383QEW0 FNMA POOL #0535451 6.000% 103.8867 234,208.910 244,528.74 243,311.95 0.07% -1,216.79 06/01/2015 DD 07 /01/00SEC ID: 31384VZQ8 FNMA POOL #0535672 6.000% 103.8867 5,187,179.850 5,415,739.96 5,388,791.01 1.47% -26,948.95 01/01/2016 DD 12/01/00SEC ID: 31384WCH1 FNMA POOL #0545296 6.000% 103.6992 1,795,470.680 1.87 4,583.60 1,861,889.09 0.51% -12,694.51 11/01/2016 DD 10/01/0lSEC ID: 31385HXZ0 FNMA POOL #0545580 6.000%> 103.7617 147,793.190 154,305.32 153,352.76 0.04% -952.56 03/01/2017 DD 03/0l/02SEC ID: 31385JCR7 4 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000l0000 7/31/2003 Status: FINAL ..,_ Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0555101 6.000% 103.6992 249,201.300 260,181.73 258,419.80 0.07% -1,761.93 10/01/2017 DD l l/0l/02SEC ID: 31385WU23 FNMA POOL #0576386 6.000% 103.3991 97,289.710 101,576.54 100,596.69 0.03% -979.85 05/01/2016 DD 05/01/0lSEC ID: 31386XJ72 FNMA POOL #0576739 6.000%> 103.7617 272,681.770 284,696.81 282,939.29 0.08% -1,757.52 04/01/2016 DD 04/01/0lSEC ID: 31386XV86 FNMA POOL #0580888 6.000% 103.7617 307,745.010 321,305.02 319,321.52 0.09% -1,983.50 05/01/2016 DD 05/01/0lSEC ID: 31387DJ91 FNMA POOL #0594002 6.000% 103.7617 230,979.510 241,157.04 239,668.31 0.07% -1,488.73 07/01/2016 DD 07 /01/0lSEC ID: 31387f3K8 FNMA POOL #0597376 6.000% 103.6992 289,859.750 302,631.69 300,582.30 0.08% -2,049.39 09/01/2016 DD 08/01/0lSEC ID: 31387Xf96 FNMA POOL #0605259 6.000% 103.6992 283,252.440 295,733.25 293,730.57 0.08% -2,002.68 09/01/2016 DD 09/01/0lSEC ID: 31388HMG1 FNMA POOL #0608366 6.000% 103.7617 174,345.940 182,028.05 180,904.35 0.05% -1,123.70 10/01/2016 DD 09/01/0lSEC ID: 31388IZ78 FNMA POOL #0616734 6.000% 103.7617 174,071.010 181,741.01 180,619.07 0.05% -1,121.94 12/01/2016 DD 12/01/0lSEC ID: 31388WEF9 FNMA POOL #0630812 6.000% 103.4676 293,469.300 306,400.29 303,645.64 0.08% -2,754.65 02/01/2017 DD 02/01/02SEC ID: 31389NYH2 FNMA POOL #0632376 6.000% 103.8492 1,150,158.100 1,200,836.95 1,194,430.22 0.33% -6,406.73 07/01/2017 DD 07 /0l/02SEC ID: 31389QQ50 FNMA POOL #0653116 6.000% 103.8492 684,648.940 714,816.28 711,002.58 0.19% -3,813.70 07/01/2017 DD 07 /0l/02SEC ID: 31390QSD8 FNMA POOL #0673280 6.000% 103.6992 277,680.390 289,915.68 287,952.40 0.08% -1,963.28 08/01/2017 DD l l/0l/02SEC ID: 31391P6R2 5 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000l0000 ... ?.f.31/2003 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0698939 6.000%, 103.8742 139.373.890 145,515.05 144,773.54 0.04% -741.51 09/01/2017 DD 03/01/03SEC ID: 31400VPY2 FNMA POOL #0703195 6.000% 104.0742 95,035.670 99,223.18 98,907.63 0.03% -315.55 01/01/2017 DD 04/0l/03SEC ID: 31401BGC3 FORD MOTOR CR CO NT6. 750% 104.6710 1,000,000.000 965,170.00 1,046,710.00 0.29% 81,540.00 05/15/2005 DD 05/24/93SEC ID: 345397GV9 FORD MTR CR CO GLOBAL 103.4210 3,000,000.000 2,995,080.00 3,102,630.00 0.85% 107,550.00 LANDMARK6.7000/o 07/16/2004 DD 07/16/99SECID:345397SJ3 GNMA POOL #0596612 6.5000/o 103.8633 642,574.640 674,402.17 667,399.10 0.18%1 -7,003.07 09/15/2032 DD 09/01/02SEC ID: 36200BYH4 GNMA POOL #0569358 6.500% 103.4986 1,841,817.570 1,884,985.16 1,906,254.59 0.52% 21,269.43 04/15/2032 DD 04/01/02SEC ID: 36200QQK3 GNMA POOL #0569685 6.5000/o 103.8945 80,204.160 84,176.77 83,327.74 0.02% -849.03 02/15/2032 DD 02/01/02SEC ID: 36200Q2S2 GNMA POOL #0570019 6.5000/o 103.8633 137,707.040 144,527.85 143,027.05 0.04% -1,500.80 07/15/2032 DD 07 /0l/02SEC ID: 36200RG48 GNMA POOL #0574323 6.500% 103.8945 878,268.530 921,770.26 912,472.96 0.25% -9,297.30 12/15/2031 DD 12/01/0lSEC ID: 36200WAY7 GNMA POOL #0575364 6.5000/o 103.8945 94,569.390 99,253.53 98,252.42 0.03% -1.001.11 11/15/2031 DD 11/01/0lSEC ID: 36200XFD6 GNMA POOL #0587117 6.5000/o 103.8633 32,560.520 34,173.28 33,818.42 0.01% -354.86 06/15/2032 DD 06/0l/02SEC ID: 36201MG22 GNMA POOL #0587439 6.5000/o 103.8633 106,823.130 112,114.21 110,950.01 0.03% -1,164.20 11/15/2032 DD 12/01/02SEC ID: 36201MS45 GNMA POOL #0421389 6.500% 104.1758 21,552.870 22,620.41 22,452.87 0.01% -167.54 04/15/2026 DD 04/01/96SEC ID: 36206UC23 6 Workbench, OCSD-CONSOLIDATED -OCSG000lO000 Price Description GNMA POOL #0438057 6.000% 05/15/2028 DD 05/0l/98SEC ID: 36207PTN9 GNMA POOL #0449851 6.500% 01/15/2028 DD 01/01/98SEC ID: 36208FWLO GNMA POOL #0457814 6.000% 10/15/2028 DD 10/0l/98SEC ID: 36208QSB3 GNMA POOL #0465546 6.000% 08/15/2028 DD 08/0l/98SEC ID: 36209AET3 GNMA POOL #0465555 6.000% 09/15/2028 DD 09/0l/98SEC ID: 36209AE48 GNMA POOL #0466845 6.5000/o 06/15/2028 DD 06/0l/98SEC ID: 36209BTA6 GNMA POOL #0467279 6.0000/o 10/15/2028 DD 10/0l/98SEC ID: 36209CCQ7 GNMA POOL #0467286 6.00()9,o 10/15/2028 DD 10/0l/98SEC ID: 36209CCX2 GNMA POOL #0468052 6.5000/o 07/15/2028 DD 07 /Ol/98SEC ID: 36209C5M4 GNMA POOL #0468330 6.0000/o 05/15/2028 DD 05/0l/98SEC ID: 36209DHF4 GNMA POOL #0468339 6.0000/o 08/15/2028 DD 08/0l/98SEC ID: 36209DHQO GNMA POOL #0469688 6.0000/o 11/15/2028 DD l l/Ol/98SEC ID: 36209EXR8 GNMA POOL #0476041 6.5000/o 06/15/2028 DD 06/0l/98SEC ID: 36209MZE7 Asset Detail by Currency 7/31/2003 -------------------------------- Cost Base Shares Par 102.2461 29,586.960 103.6162 32,229.380 102.2461 51,392.150 102.2461 654,307.910 102.2461 695,115.340 104.0195 95,196.810 102.2461 25,225.590 102.2461 496,302.790 104.0195 680,418.970 102.2461 28,487.850 102.2461 463,542.790 102.2461 21.933.300 104.0195 281,974.520 7 Base 28,084.51 33,825.74 48,782.38 621,081.34 659,816.54 99,912.03 23,944.60 471,099.91 714,120.97 27,041.19 440,003.53 20,819.50 295,500.49 Report ID: GL8013 Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Net Unrealized Market Value %of Gain/Loss Base Total Base 30,251.51 0.01% 2,167.00 33,394.86 0.01% -430.88 52,546.46 0.01% 3,764.08 669,004.25 0.18% 47,922.91 710,728.26 0.19% 50,911.72 99,023.27 0.03% -888.76 25,792.18 0.01% 1,847.58 507,450.20 0.14% 36,350.29 707,768.61 0.19% -6,352.36 29,127.71 0.01% 2,086.52 473,954.38 0.13% 33,950.85 22,425.94 0.01% 1,606.44 293,308.57 0.08% -2,191.92 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000l0000 7/31/2003 Status: FINAL ...... Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base GNMA POOL #0478626 6.5000/o 104.0195 252,559.420 264,674.38 262,711.12 0.07% -1,963.26 01/15/2029 DD 0l/0l/99SEC ID: 36209QVI'9 GNMA POOL #0480598 6.5000/o 104.0195 289,527.260 303,415.53 301,164.90 0.080/4 -2,250.63 10/15/2028 DD 10/01/98SEC ID: 36209S3F6 GNMA POOL #0483452 6.0000/o 102.2461 18,846.060 17.889.04 19.269.36 0.01% 1,380.32 09/15/2028 DD 09/01/98SEC ID: 36209WBV3 GNMA POOL #0485527 6.5000/o 103.8945 725,190.480 761,110.07 753,433.24 0.21% -7.676.83 06/15/2031 DD 06/01/0lSEC ID: 36209YLG1 GNMA POOL #0485610 6.5000/4 103.8945 875,765.600 919,143.37 909,872.55 0.25% -9,270.82 07/15/2031 DD 07 /01/0lSEC ID: 36209YN38 GNMA POOL #0485682 6.500% 103.8945 166,163.170 174,393.44 172,634.44 0.05% -1,759.00 08/15/2031 DD 08/01/0lSEC ID: 36209YRB6 GNMA POOL #0485703 6.5000/o 103.8945 154.573.250 162.229.46 160,593.15 0.04% -1,636.31 08/15/2031 DD 08/01/0lSEC ID: 36209YRY6 GNMA POOL #0486720 6.000010 102.2461 14,856.480 14,102.06 15,190.17 0.000/o 1,088.11 12/15/2028 DD 12/0l/98SEC ID: 36210AVM6 GNMA POOL #0491103 6.000010 102.2461 145,768.470 138,366.17 149,042.56 0.04% 10,676.39 01/15/2029 DD 0l/01/99SEC ID: 36210FRY4 GNMA POOL #0496461 6.0000/o 102.2461 523,769.030 497.171.37 535,533.35 0.15% 38,361.98 01/15/2029 DD 0l/0l/99SEC ID: 36210MQN4 GNMA POOL #0497343 6.000010 102.2461 27,317.720 25,930.50 27,931.30 0.01% 2,000.80 12/15/2028 DD 12/0l/98SEC ID: 36210NP45 GNMA POOL #0499153 6.000% 102.1836 16,506.940 15,668.69 16,867.38 0.00% 1,198.69 02/15/2029 DD 02/0l/99SEC ID: 36210QQE5 GNMA POOL #0500917 6 .000% 102.1836 10,867.840 10,315.96 11,105.15 0.000/4 789.19 04/15/2029 DD 04/0l/99SEC ID: 36210SPA0 8 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED -OCSGO00l0000 7/31/2003 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base GNMA POOL #0503388 6.0000/o 102.1836 468.332.600 444,550.08 478,559.06 0.13% 34,008.98 03/15/2029 DD 03/0l/99SEC ID: 36210VF55 GNMA POOL #0506636 6.0000/o 102.1836 44,084.190 41,845.54 45,046.81 0.01% 3,201.27 04/15/2029 DD 04/01/99SEC ID: 36210YY90 GNMA POOL #0512235 6.5000/o 103.9570 16,487.700 17.304.36 17.140.12 0.000/o -164.24 11/15/2029 DD ll/0l/99SEC ID: 36211GBC6 GNMA POOL #0514326 6.5000/o 103.9570 313,523.930 328,563.28 325,930.17 0.09% -2.633.11 07/15/2029 DD 07 /0l/99SEC ID: 36211JLF2 GNMA POOL #0530053 6.5000/o 103.4660 84,522.720 88,709.24 87,452.27 0.02% -1,256.97 04/15/2031 DD 04/01/0lSEC ID: 36212CZS3 GNMA POOL #0530290 6.5000/o 103.8945 69,341.150 72.667.36 72,041.66 0.02% -625.70 03/15/2031 DD 04/01/0lSEC ID: 36212DC31 GNMA POOL #0537885 6.5000/o 103.8945 167,219.540 175.502.13 173,731.96 0.05% -1,770.17 02/15/2031 DD 02/01/0lSEC ID: 36212MRE1 GNMA POOL #0547512 6.5000/o 103.8945 22,090.170 23,184.32 22,950.48 0.01% -233.84 04/15/2031 DD 04/01/0lSEC ID: 36212YGV9 GNMA POOL #0547715 6.5000/o 103.8945 288,380.610 302,213.86 299,611.68 0.08% -2,602.18 02/15/2031 DD 02/01/0lSEC ID: 36212YN82 GNMA POOL #0552322 6.5000/o 103.8945 106,578.310 111.857.27 110,729.03 0.03% -1,128.24 01/15/2032 DD 0l/0l/02SEC ID: 36213ESK3 GNMA POOL #0552466 6.5000/o 103.4986 896,660.190 941,072.89 928,030.35 0.25% -13,042.54 03/15/2032 DD 03/0l/02SEC ID: 36213EW36 GNMA POOL #0552659 6.500% 103.8633 726,247.490 762,219.43 754,304.46 0.21% -7,914.97 07/15/2032 DD 07 /0l/02SEC ID: 36213E5U6 GNMA POOL #0561017 6.5000/o 103.8945 755,671.600 793,100.96 785,101.46 0.21% -7,999.50 07/15/2031 DD 07 /01/0lSEC ID: 36213QG29 9 Workbench - Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000l0000 7/31/2003 Status: FINAL '--·· _., " . - Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base GNMA II POOL #0080023VAR RT 103.7032 294,341.180 299,216.21 305,241.16 0.08% 6,024.95 12/20/2026 DD 12/0l/96SEC ID: 36225CAZ9 GNMA II POOL #080088M 7.375% 103.1463 408,059.010 416,985.31 420,897.69 0.12% 3,912.38 06/20/2027 DD 06/0l/97SEC ID: 36225CC20 GNMA II POOL #0080395VAR RT 102.6150 339,946.890 336,866.13 348,836.50 0.10% 11,970.37 04/20/2030 DD 04/01/00SEC ID: 36225CNM4 GNMA II POOL #080408X 6.500% 102.6136 3,045,321.620 3,014,392.56 3,124,914.15 0.85% 110,521.59 05/20/2030 DD 05/01/00SEC ID: 36225CN28 GTE NORTH INC DEB SERA6.000% 102.1090 3,000,000.000 3,063,750.00 3,063,270.00 0.84% -480.00 01/15/2004 DD 0l/15/94SEC ID: 362337AD9 GENERAL ELEC MTN # TR 101.6710 1,340,000.000 1,380,508.20 1,362,391.40 0.37% -18,116.80 00019STEP UP 10/30/2003 DD ll/02/92SECID:36962FAU0 GENERAL ELEC CAP MTN #TR 100.3900 5,000,000.000 5,203,500.00 5,019,500.00 1.37% -184,000.00 00575 5.450% 01/15/2013 DD 12/06/02SECID:36962GZ¥3 GENERAL MTRS ACCEP MTN 100.0000 4,000,000.000 3,998,440.00 4,000,000.00 1.09% 1,560.00 #00615VAR RT 08/04/2003 DD 08/03/01SECID:37042WE80 GMAC NTSVAR RT 08/18/2003 DD 100.0000 3,950,000.000 3,918,768.50 3,950,000.00 1.08% 31,231.50 08/17/98SECID:370425QV5 GENERAL MTRS ACCEP CORP SR NT 102.4530 3,000,000.000 3,064,350.00 3,073,590.00 0.84% 9,240.00 6.125% 08/28/2007 DD 08/29/02SECID:370425SD3 GILLETTE CO NT 6.250% 100.1400 250,000.000 256,012.50 250,350.00 0.07% -5,662.50 08/15/2003 DD 08/16/93SEC ID: 375766AC6 GOLDMAN SACHS GROUP INC SR NT 101.2650 3,000,000.000 3,030,030.00 3,037,950.00 0.83% 7,920.00 4.125% 01/15/2008 DD 0l/13/03SEC ID: 38141GCS1 GNMA GTD REMIC TR 2000-9 100.5090 910,353.900 910,353.90 914,987.60 0.25% 4,633.70 FHVARRT02/16/2030SEC ID: 3837H4NX9 HOUSEHOLD FIN CORP NT 6.375% 106.8430 1,635,000.000 1,772,820.00 1,746,883.05 0.48% -25,936.95 10/15/2011 DD 10/23/0lSEC ID: 441812JW5 10 Workbenc1'l Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000lO000 7/31/2003 Status: FINAL - Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base JP MORGAN CHASE & CO SUB NT5. 101.9060 3,000,000.000 3.127,260.00 3,057,180.00 0.84% -70,080.00 750% 01/02/2013 DD 11/25/02SECID:46625HAT7 LEHMAN BROS HLDGS INC6.625% 103.4060 2,000,000.000 2,091,180.00 2,068,120.00 0.570/o -23,060.00 04/01/2004 DD 03/26/99SEC ID: 524908BZ2 MARSH & MCLENNAN COS INC SR 104.4060 2,000,000.000 1,992.280.00 2,088,120.00 0.570/o 95,840.00 NT6.625% 06/15/2004 DD 06/14/99SECID:571748AB8 MORGAN STANLEY NT 3.625% 98.9210 3,200,000.000 3,195,648.00 3,165,472.00 0.870/o -30,176.00 04/01/2008 DD 03/06/03SEC ID: 617446HW2 MORGAN STANLEY DW MTN 100.1710 1,000,000.000 1,045,350.00 1,001,710.00 0.270/o -43,640.00 #TR003497.125% 08/15/2003 DD 08/10/00SEC ID: 61745EQN4 NATIONAL RURAL UTILS COOP FIN 113.7650 3,000,000.000 3,465,480.00 3,412,950.00 0.93% -52,530.00 7.250% 03/01/2012 DD 03/07/02SECID:637432CU7 PACIFICORP SECD MTN #TR 00115 106.4210 3,000,000.000 2,950,530.00 3,192,630.00 0.870/o 242,100.00 7.300% 10/22/2004 DD 10/22/92SECID:69512EEU5 PAINE WEBBER GROUP INC NTS6. 101.7030 500,000.000 519,405.00 508,515.00 0.14% -10,890.00 450% 12/01/2003 DD 12/0l/98SECID:695629CE3 PHILIP MORRIS COS INC NTS 7. 102.4370 5,000,000.000 5.263,000.00 5,121,850.00 1.40% -141,150.00 500% 04/01/2004 DD 04/0l/97SECID:718154CH8 PROCTER & GAMBLE CO NTS5.250% 100.4840 656,000.000 672,278.56 659,175.04 0.18% -13,103.52 09/15/2003 DD 09/28/98SEC ID: 742718BK4 SBAGTD DEVPARTN 2001-20C 16. 106.4350 3,679,356.910 3,679,356.91 3,916,123.53 1.070/o 236,766.62 340% 03/0l/2021SEC ID: 83162CW0 SBAGTD PARTN CTFS SBIC-PS 01 105.6250 2,520,466.090 2,520,466.09 2,662,242.31 0.73% 141,776.22 6.640% 02/10/2011 DD 02/21/01SECID:831641DD4 UNITED AIRLS PASSTHRU 01-1 C 6. 14.8750 1,600,000.000 1,600,000.00 238,000.00 0.070/o -1,362,000.00 831% 03/01/2010 DD 08/22/01SECID:909317BC2 11 Workbench Asset Detail Report ID: Gl.8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000l0000 7/31/2003 Status: FINAL -,_,,..,,. Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base US BANCORP MTN #TR 001196. 103.5930 2,000,000.000 2.092,620.00 2,071,860.00 0.5'70/o -20,760.00 000% 05/15/2004 DD 05/10/99SEC ID: 91159HEY2 U S TREASURY BONDSl 1.875% 103.1250 5,800,000.000 6,251,984.38 5,981,250.00 1.64% -270,734.38 11/15/2003 DD 10/05/83SEC ID: 912810DG0 U S TREASURY NOTES06.250% 112.0000 20,000,000.000 22,620,312.50 22,400.000.00 6.13% -220,312.50 02/15/2007 DD 02/15/97SEC ID: 9128272.J0 US TREASURY INFLATION INDEX 107.6563 16.215,640.000 14,288,613.87 17,457,149.94 4.78% 3,168,536.07 NT 3.375% 01/15/2007 DD 0l/15/97SEC ID: 9128272M3 US TREASURY INFLATION INDEX NT 110.9065 14,546,480.000 16,179,548.79 16,132,991.84 4.41% -46,556.95 3.875% 01/15/2009 DD 01/15/99SECID:9128274Y5 U S TREASURY NOTES05. 750% 108.4375 57,100,000.000 62,782,901.47 61,917,812.50 16.94% -865,088.97 11/15/2005 DD 11/15/00SEC ID: 9128276N7 VERIZON GWBAL FDG CORP 113.0310 3,000,000.000 3,530,490.00 3,390,930.00 0.93% -139.560.00 GWBAL 7.375% 09/01/2012 DD 08/26/02SECID:92344GAT3 VIRGINIA ELEC & PWR 0 1 SER A5. 107.5460 3,500,000.000 3,487,680.00 3,764,110.00 1.03% 276,430.00 750% 03/31/2006 DD 03/27/01SECID:927804EN0 WELLS FARGO & CO SUBNT6.125% 101.1560 450,000.000 467,496.00 455,202.00 0.12% -12,294.00 11/01/2003 DD 11/01/93SEC ID: 949740BY9 TOTAL FIXED INCOME SECURITIES 299,222,424.380 313,085,671.14 315,463,170.81 86.29% 2,377,499.67 TOTAL ASSETS U.S. DOLLAR 366,147,938.710 363,215,899.62 365,593,399.29 100-00% 2,377,499.67 TOTAL ASSETS -BASE: 366,147,938.710 363,215,899.62 365,593,399.29 100.00% 2,377,499.67 12 Workbench I OCSD-CONSOLIDATED. OCSGOOOl0OOO Transaction Detail Reported by Transaction Category 7/1/2003 -7/31/2003 Status: FINAL Report ID: EWB009 J Base Currency: USD ---------- Tran Type Description Trade Date Settle Date Reported Date RECEIPTS AND DISBURSEMENT TRANSACTIONS DISTRIBUTION TO PLAN ADMINISTRATOR U.S. DOLLAR cw cw cw REPS DISfRIBUTION TO PLAN ADMINISTRATORSEC ID: NA9123459OCSF0751 l 102: LIQillD OPER- PIMCO DISTRIBUTION TO PLAN ADMINISTRATORSEC ID: NA9123459OCSF07511102: LIQUID OPER- PIMCO DISfRIBUTION TO PLAN ADMINISTRATORSEC ID: NA9123459OCSF07511102: LIQUID OPER- PIMCO 7/3/2003 7/3/2003 7/9/2003 7/9/2003 7/17/2003 7/17/2003 CW DISTRIBUTION TO PLAN 7/31/2003 ADMINISTRATORSEC ID: NA9123459OCSF07511102: LIQillD OPER-713112003 PIMCO TOTAL DISTRIBUTION TO PIAN ADMINISTRATOR U.S. DOLLAR: TOTAL DISTRIBUTION TO PIAN ADMINISTRATOR BASE: TOTAL RECEIPTS AND DISBURSEMENT TRANSACTIONS BASE: PURCHASES B B CASH & CASH EQUIVALENTS U.S. DOLLAR FEDERAL HOME LN BK CONS DISC N MAT 07 /30/2003SEC ID: 313384JU4BROKER: CHASE SECURITIES, NEW YORKOCSF075 l l 102: LIQillD OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 09/26/2003SEC ID: 313384ME6BROIIBR: CITIGROUP GBL MKTS/SALOMON, NEW YORKOCSF07522202: LONG TERM OPER- PIMCO 7/1/2003 7/2/2003 7/1/2003 7/25/2003 7/25/2003 7/25/2003 Price Base 99.9247 99.8215 Shares/Par 0.000 0.000 0.000 0.000 0.000 0.000 0.000 1.500,000.000 1,100,000.000 1 Cost Base -8,000,000.00 -2,000,000.00 -4,900,000.00 -10,500,000.00 -25,400,000.00 -25,400,000.00 -25,400,000.00 1,498,870.67 1.098,036.50 Amount Base -8,000,000.00 -2,000,000.00 -4,900,000.00 -10.500,000.00 -25,400,000.00 -25,400,000.00 -25,400,000.00 -1,498,870.67 -1,098,036.50 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench OCSD-CONSOLIDATED -OCSG000lO000 Transaction Detail Reported by Transaction Category 7/1/2003 -7/31/2003 B B B B B B B B B B Tran Type Description Trade Date Settle Date Reported Date FEDERAL HOME LN BKS CONS DISC MAT 10/03/2003SEC ID; 3 13384MM8BROKER: BANC Of' AMERlCA SEC LLC, SAN FRANCISCOOCSF07522202: LONG TERM ~§~rfM:'IMBME LN BK CONS DISC N MAT 10/ 10/2003SEC ID: 313384MU0BROKER: CREDIT SUISSE FIRST BOSTON CORP. N YOCSF07522202: LONG TERM OPER-PllVfCO FEDERAL HOME LN BKS CONS DISC MAT 10/15/2003SEC ID: 313384MZ9BROKER: CHASE SECURITIES, NEW YORKOCSF07522202: LONG TERM OPER- F~ HOME LN BK CONS DISC N MAT 10/24/2003SEC ID: 313384NJ4BROI<ER: GOLDMAN SACHS & CO. NYOCSF07522202: LONG TERM OPER-PIMCO 7/11/2003 7/11/2003 7/11/2003 7/15/2003 7/15/2003 7/15/2003 7/15/2003 7/16/2003 7/15/2003 7/24/2003 7/25/2003 7/24/2003 FEDERAL HOME LN BKS CONS DISC MAT 7/29/2003 10/29/2003SE ID:313384NP0BROKER: 7/30/2003 BANC OF AMERICA SEC LLC, SAN FRANCfSCOOCSF07511102: LIQUID OPER-7 l29/2003 ~ NATL MTG ASSN DISC NT 7/15/2003 MATURES 10/01/2003SEC ID: 7/15/2003 3 l3588MK8BRO'KER: CHASE SECURITIES, NEWYORI<OCSF07522202: LONG TERM 7/l5/2003 ~§~rfM:'INStJ-L MTG ASSN DISCOUNT MAT 7/16/2003 10/15/2003SEC ID: 313588MZ5BROI<ER: 7/16/2003 MERRJLL LYNCH PIERCE FENNER SMITH INC NYOCSF07522202: LONG TERM OPER-PIMCO 7 I 16 /2003 FEDERAL NATL MTG ASSN DISCOUNT MAT 7/10/2003 11 / 19 /2003SEC ID: 313588PL3BROKER: BANC OF AMERICA SEC LLC. SAN FRANCISCOOCSF07522202: LONG TERM 7/11/2003 7/10/2003 8~ilfRt1.'i£Ec CAP DISC 11/ 12/2003SEC 7/17/2003 ID: 36959JYC lBROKER: CITIBANK CP IPA, 7/17/2003 NEW YORKOCSF07522202: LONG TERM OPER-PIMCO 7/17/2003 LEHMAN CAT 2 REPO 01.060% 07/02/2003 7/1/2003 DD 07 /0l/03SEC ID: 99407E365BROKER: 7/1/2003 LEHMAN GOVf SECS INC, NYOCSF0751 l 102: 7 /l/2003 LIQUID OPER-PIMCO Price Base 99.7702 99.7608 99.7472 99.7399 99.7358 99.7855 99.7447 99.6416 99.6624 100.0000 2 Shares/Pu 800,000.000 12,800.000.000 12.000,000.000 3,800,000.000 1,500,000.000 12.000,000.000 13,700,000.000 1,600,000.000 600,000.000 4,800,000.000 Cost Base 798,161.33 12, 769.376.00 11,969,666.67 3,790,115.88 1,496,037.71 11,974,260.00 13,665,023.14 1,594,265.11 597,974.33 4,800,000.00 Report ID: ~~09 ] Base Currency: USD .. Status: FINAL ------ Amount Base -798,161.33 -12. 769.376.00 -11,969,666.67 -3, 790,115.88 -1,496,037.71 -11.974,260.00 -13,665,023.14 -1,594,265.11 -597,974.33 -4,800,000.00 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench' Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000lO000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base B CREDIT SUISSE FB REPO O 1.030% 7/1/2003 100.0000 4,800,000.000 4,800,000.00 -4,800,000.00 0.00 07/02/2003 DD 07 /01/03SEC ID: 7/1/2003 99407E399BROKER: CREDIT SUISSE FIRST 7/1/2003 BOSTON CORP, NYOCSF07511102: LIQUID B e~B11P~sE FB REPO 00.920% 7/2/2003 100.0000 4,000,000.000 4,000,000.00 -4,000,000.00 0.00 07/03/2003 DD 07 /02/03SEC ID: 7/2/2003 99407F792BROKER: CREDIT SUISSE FIRST 7/2/2003 BOSTON CORP, N YOCSF07511102: LIQUID B f?E'~SB_, 2 REPO 00.940% 07/03/2003 7/2/2003 100.0000 4,900,000.000 4,900,000.00 -4,900,000.00 0.00 DD 07 /02/03SEC ID: 99407G055BROKER: 7/2/2003 LEHMAN GOVT SECS INC, NYOCSF075ll102:71212003 LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.940% 07/08/2003 7/7/2003 100.0000 2,900,000.000 2,900,000.00 -2,900,000.00 0.00 DD 07 /07 /03SEC ID: 99407J794BROKER: 7/7/2003 LEHMAN GOVT SECS INC, NYOCSF075 l l l 02: 7 17 12003 LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.940% 07/09/2003 7/8/2003 100.0000 2,900,000.000 2,900,000.00 -2,900,000.00 0.00 DD 07 /08/03SEC ID: 99407K874BROKER: 7/8/2003 LEHMAN GOVT SECS INC, NYOCSF0751l102:71812003 LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.900% 07/10/2003 7/9/2003 100.0000 3,600,000.000 3,600,000.00 -3,600,000.00 0.00 DD 07 /09/03SEC ID: 99407M375BROKER: 7/9/2003 LEHMAN GOVT SECS INC, NYOCSF07511102: 71912003 LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.980% 7/10/2003 100.0000 1,600,000.000 1,600,000.00 -1,600,000.00 0.00 07/11/2003 DD 07 /10/03SEC ID: 7/10/2003 99407N985BROKER: CREDIT SUISSE FIRST 7/10/2003 BOSTON CORP, N YOCSF07511102: LIQUID B f];'~ 2 REPO 00.920% 07/14/2003 7/11/2003 100.0000 1,600,000.000 1,600,000.00 -1,600,000.00 0.00 DD 07 / 11 /03SEC ID: 99407Q228BROKER: 7/11/2003 LEHMAN GOVT SECS INC, NYOCSF07511102: 7 /ll/2003 LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.960% 07/15/2003 7/14/2003 100.0000 1,600,000.000 1,600,000.00 -1,600,000.00 0.00 DD 07 / 14/03SEC ID: 99407R671BROKER: 7/14/2003 LEHMAN GOVT SECS INC, NYOCSF07511102: 7/14/2003 LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 01.060% 07/16/2003 7/15/2003 100.0000 1,300,000.000 1,300,000.00 -1,300,000.00 0.00 DD 07 /15/03SEC ID: 99407T156BROKER: 7/15/2003 LEHMAN GOVT SECS INC, NYOCSF0751 l 102: 7 / 1512003 LIQUID OPER-PIMCO 3 Workbench Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000IO000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base B CREDIT SUISSE FB REPO O 1.050% 7/15/2003 100.0000 1,300,000.000 1,300,000.00 -1,300.000.00 0.00 07/16/2003 DD 07 /15/03SEC ID: 7/15/2003 99407Tl98BROKER: CREDIT SUISSE FIRST 7/15/2003 BOSTON CORP, N YOCSF075 l l 102: LIQUID B Bf~, 2 REPO 01.010% 07/17/2003 7/16/2003 100.0000 1,500,000.000 1,500,000.00 -1,500,000.00 0.00 DD 07 /16/03SEC ID: 99407U302BROKER: 7 J 16/2003 LEHMAN GOVT SECS INC. NYOCSF075 l l 102: 7/1612003 LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 01.010% 7/16/2003 100.0000 1. 600,000.000 1,600,000.00 -1,600,000.00 0.00 07/17/2003 DD 07 /16/03SEC ID: 7/16/2003 99407U617BROKER: CREDIT SUISSE FIRST 7/16/2003 BOSTON CORP, N YOCSF075 l l l 02: LIQUID B e~B1lrl~sE FB REPO 01.020% 7/29/2003 100.0000 1,600,000.000 1,600,000.00 -1,600,000.00 0.00 07/30/2003 DD 07 /29/03SEC ID: 7/29/2003 99408H250BROKER: CREDIT SUISSE FIRST 7/29/2003 BOSTON CORP. N YOCSF07511102: LIQUID B f>i~ 2 REPO 01.030% 07/30/2003 7/29/2003 100.0000 1,600,000.000 1,600,000.00 -1.600,000.00 0.00 DD 07 /29/03SEC ID: 99408H433BROKER: 7/29/2003 LEHMAN GOVT SECS INC, NYOCSF075 l l l 02: 712912003 LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 01.030% 07/31/2003 7/30/2003 100.0000 2,500,000.000 2,500,000.00 -2,500,000.00 0.00 DD 07 /30/03SEC ID: 9940&J520BROKER: 7/30/2003 LEHMAN GOVT SECS INC, NYOCSF07511102: 7/30/2003 LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 01.020% 7/30/2003 100.0000 2,500,000.000 2,500,000.00 -2,500,000.00 0.00 07/31/2003 DD 07 /30/03SEC ID: 7/30/2003 9940&J611BROKER: CREDIT SUISSE FIRST 7/30/2003 BOSTON CORP, N YOCSF075 l l 102: LIQUID B B~tlM'rREAsuRY CASH MGMTSEC ID: 7/1/2003 1.0000 7,807.640 7,807.64 -7,807.64 0.00 996085247OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO 7/1/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/2/2003 1.0000 103,979.170 103,979.17 -103,979.17 0.00 996085247OCSF07522202: LONG TERM 7/2/2003 OPER-PIMCO 7/2/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/2/2003 1.0000 1,407.990 1,407.99 -1,407.99 0.00 99608524 7OCSF075 l l l 02: LIQUID OPER-7/2/2003 PIMCO 7/2/2003 4 Workbench Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base B DREYFUS TREASURY CASH MGMTSEC ID: 7/3/2003 1.0000 900,230.160 900,230.16 -900,230.16 0.00 996085247OCSF07511102: LIQUID OPER-7/3/2003 PIMCO 7/3/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/8/2003 1.0000 75.720 75.72 -75.72 0.00 99608524 7OCSF075 l l l 02: LIQUID OPER-7/8/2003 PIMCO 7/8/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/10/2003 1.0000 133,420.710 133,420.71 -133,420. 71 0.00 99608524 7OCSF075 l l l 02: LIQUID OPER-7/10/2003 PIMCO 7/10/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/11/2003 1.0000 43.560 43.56 -43.56 0.00 996085247OCSF07511102: LIQUID OPER-7/11/2003 PIMCO 7/11/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/14/2003 1.0000 14,843.750 14,843.75 -14,843.75 0.00 996085247OCSF07522202: WNG TERM 7/14/2003 OPER-PIMCO 7/14/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/14/2003 1.0000 1,015,262.250 1,015,262.25 -1,015,262.25 0.00 996085247OCSF0751 l 102: LIQUID OPER-7/14/2003 PIMCO 7/14/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/15/2003 1.0000 1,423,346.180 1,423,346.18 -1,423,346.18 0.00 99608524 7OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO 7/15/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/21/2003 1.0000 236,767.840 236,767.84 -236, 767.84 0.00 996085247OCSF07522202: WNG TERM 7/21/2003 OPER-PIMCO 7/21/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/22/2003 1.0000 158.479.000 158,479.00 -158,4 79.00 0.00 996085247OCSF07522202: LONG TERM 7/22/2003 OPER-PIMCO 7/22/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/23/2003 1.0000 636,450.000 636,450.00 -636,450.00 0.00 996085247OCSF07511102: LIQUID OPER-7/23/2003 PIMCO 7/23/2003 5 Workbench Transaction Detail R,port ID, EWB00=7 Reported by Transaction Category Base Currency: USD OCSD-CONSOLlDATED -OCSG000lO000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base B DREYFUS TREASURY CASH MGMTSEC ID: 7/23/2003 1.0000 36,929.800 36,929.80 -36,929.80 0.00 996085247OCSF07522202: LONGTERM 7/23/2003 OPER-PIMCO 7/23/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/25/2003 1.0000 198,457.540 198,457.54 -198,457.54 0.00 996085247OCSF07522202: LONG TERM 7/25/2003 OPER-PIMCO 7/25/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/29/2003 1.0000 6,683.550 6,683.55 -6,683.55 0.00 996085247OCSF07522202: LONG TERM 7/29/2003 OPER-PIMCO 7/29/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/30/2003 1.0000 4,053.400 4,053.40 -4,053.40 0.00 996085247OCSF07511102: LIQUID OPER-7/30/2003 PIMCO 7/30/2003 B DREYFUS TREASURY CASH MGMTSEC ID: 7/31/2003 1.0000 3,996,652.590 3,996,652.59 -3,996,652.59 0.00 99608524 7OCSF075 ll 102: LIQUID OPER-7/31/2003 PIMCO 7/31/2003 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 116,874,890.850 116,726,678.19 -116,726,678.19 0.00 TOTAL CASH & CASH EQUIVALENTS BASE: 116,874,890.850 116,726,678.19 -116,726,678.19 0.00 FIXED INCOME SECURITIES U.S. DOLLAR BC COMMIT TO PUR FNMA SF MTG 5.000% 4/25/2003 102.1328 -4,000,000.000 -4,085,312.50 4,085,312.50 0.00 07/01/2018 DD 07 /01/03SEC ID: 7/17/2003 01F0504 78BROKER: CREDIT SUISSE FIRST 7/1/2003 BOSTON CORP, N YOCSF07522202: LONG B ~Mi'ffitG.9.rMA SF MTG 5.000% 4/25/2003 102.1328 4,000,000.000 4,085,312.50 -4,085,312.50 0.00 07/01/2018 DD 07 /0l/03SEC ID: 7/17/2003 01F0504 78BROKER: CREDIT SUISSE FIRST 7/1/2003 BOSTON CORP, N YOCSF07522202: LONG BC l~ffli?MG-9.iMA SF MTG 5.000% 6/11/2003 103.6875 -2,000,000.000 -2,073, 750.00 2,073,750.00 0.00 07/01/2018 DD 07 /01/03SEC ID: 7/17/2003 01F050478BROKER: LEHMAN GOVT SECS 7/1/2003 INC, NYOCSF07522202: LONG TERM OPER- PIMCO 6 Workbench' l~~=-o=-10000 Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base BC COMMIT TO PUR FNMA SF MTG 5.000% 6/11/2003 103.6406 -6,000,000.000 -6,218,437.50 6,218,437.50 0.00 07/01/2018 DD 07 /0l/03SEC ID: 7/17/2003 01F0504 78BROKER: CREDIT SUISSE FIRST 7/1/2003 BOSTON CORP, N YOCSF07522202: LONG B ~W,!?B'l:tC'fiJMA SF MTG 5.0000/o 6/11/2003 103.6406 6,000,000.000 6,218,437.50 -6,218,437.50 0.00 07/01/2018 DD 07 /0l/03SEC ID: 7/17/2003 01F050478BROKER: CREDIT SUISSE FIRST 7/1/2003 BOSTON CORP, N YOCSF07522202: LONG B ~f8--f'lM9fNMA SF MTG 5.0000/o 6/11/2003 103.6875 2,000,000.000 2,073,750.00 -2,073, 750.00 0.00 07/01/2018 DD 07 /0l/03SEC ID: 7/17/2003 01F050478BROKER: LEHMAN GOVT SECS 7/1/2003 INC, NYOCSF07522202: LONG TERM OPER- BC ~ITTO PURFNMA SF MTG 5.0000/o 6/12/2003 103.6875 -3,000,000.000 -3, 110,625.00 3,110,625.00 0.00 07/01/2018 DD 07 /0l/03SEC ID: 7/17/2003 01F050478BROKER: BEAR STEARNS & CO 7/1/2003 INC, NYOCSF07522202: LONG TERM OPER- B ~IT TO PUR FNMA SF MTG 5.0000/o 6/12/2003 103.6875 3,000,000.000 3,110,625.00 -3, 110,625.00 0.00 07/01/2018 DD 07 /01/03SEC ID: 7/17/2003 01F050478BROKER: BEAR STEARNS & CO 7/1/2003 INC, NYOCSF07522202: LONG TERM OPER- B ~IT TO PUR FNMA SF MTG 5.0000/o 7/10/2003 103.0000 10,000,000.000 10,300,000.00 -10,300,000.00 0.00 08/01/2018 DD 08/0l/03SEC ID: 8/18/2003 01F050486BROKER: CREDIT SUISSE FIRST 7/10/2003 BOSTON CORP, N YOCSF07522202: LONG B ~iWMi?ffi:l~MA SF MTG 5.0000/o 7/14/2003 103.1875 3,000,000.000 3,095,625.00 -3,095,625.00 0.00 08/01/2018 DD 08/0l/03SEC ID: 8/18/2003 01F050486BROKER: BEAR STEARNS & CO 7/14/2003 INC, NYOCSF07522202: LONG TERM OPER- B ~IT TO PUR FNMA SF MTG 5.0000/o 7/14/2003 103.1875 2,000,000.000 2,063,750.00 -2,063, 750.00 0.00 08/01/2018 DD 08/0l/03SEC ID: 8/18/2003 01F050486BROKER: LEHMAN GOVT SECS 7/14/2003 INC, NYOCSF07522202: LONG TERM OPER- B ~ POOL #0570019 6.5000/o 5/19/2003 104.9531 150,533.960 157,990.10 -157,990.10 0.00 07/15/2032 DD 07 /0l/02SEC ID: 6/19/2003 36200RG48BROKER: UBS SECURITIES LLC, 7/1/2003 NEW YORKOCSF07522202: LONG TERM 1B -Ern~P11tf88L #0570019 6.50001o 5/19/2003 104.9531 0.000 0.00 -489.24 0.00 07/15/2032 DD 07/0l/02SEC ID: 6/19/2003 36200RG48BROKER: UBS SECURITIES LLC, 7/1/2003 NEW YORKOCSF07522202: LONG TERM OPER-PIMCO 7 Workbench I OCSD-CONSOLIDATED -OCSGOO0l00OO Transaction Detail Reported by Transaction Category 7/1/2003 -7/31/2003 l.,_ -------------------- Tran Type Description Trade Date Settle Date Reported Date Price Base Shares/Par BC GNMA POOL#0585263 6.500".lc> 5/19/2003 104.9531 ·150,533.650 08/15/2032 DD 08/0l/02SEC ID: 6/19/2003 36201KFC5BROKER: UBS SECURITIES LLC, 7/1/2003 NEW YORKOCSF07522202: WNG TERM rnc EmmPil'tf68L#0585263 6.500% 5/1912003 104.9531 0.000 08/15/2032 DD 08/0l/02SEC ID: 6/19/2003 36201KFC5BROKER: UBS SECURITIES LLC, 7 / 112003 NEW YORKOCSF07522202: WNG TERM B 9s~t1fur INFLATION INDEX NT 3.875% 7/29/2003 111.0000 7.273,630.000 01/15/2009 DD 01/15/99SEC ID: 7/30/2003 9128274Y5BROKER: UBS SECURITIES LLC. 712912003 NEW YORKOCSF07522202: WNG TERM IB 9s~vfur INFLATION INDEX NT 3.875% 7/29/2003 111.0000 0.000 01/15/2009 DD 0l/15/99SEC ID: 7/30/2003 9128274Y5BROKER: UBS SECURITIES LLC, 712912003 NEW YORKOCSF07522202: WNG TERM B 9s~vfurINFLATION INDEX NT 3.875% 7/30/2003 111.4531 7,273,240.000 01/15/2009 DD 01/15/99SEC ID: 7/31/2003 9128274Y5BROKER: BANK OF NY BARCLAYS 713012003 DE ZOETE WEDD, NYOCSF07522202: WNG IB ~l~~TION INDEX NT 3.875% 7/30/2003 111.4531 0.000 01/15/2009 DD 0l/l5/99SE ID: 7/31/2003 9128274Y5BROKER: BANK OF NY BARCLAYS 713012003 DE ZOETE WEDD. NYOCSF07522202: LONG TERM OPER-~Q~~ FIXED INCOME SECURITIES U.S. DOLLAR: 29,546,870.310 TOTAL FIXED INCOME SECURITIES BASE: PAY UPS FIXED INCOME SECURITIES U.S. DOLLAR TOTAL PURCHASES BASE: PU FHLMC MULTICLASS CTF SER 16202 6.000% 7/1/2003 11/15/2023 DD ll/01/93SEC ID: 7/1/2003 31$3Tl 7 A4OCSF07522202: WNG TERM OPER·PlMCO SALES CASH & CASH EQUIVALENTS 7/1/2003 29,546,870.310 146,421,761.160 100.0000 14,640.330 8 Cost Base -157,989.77 0.00 8,073,729.30 0.00 8,106,253.27 0.00 31,639,357.90 31,639,357.90 148,366,036.09 14,640.33 Report ID: EWB009 Base Currency: USD Status: FINAL Amount Base 157,989.77 489.23 -8,073, 729.30 -11,488.58 -8, 106,253.27 -12,253.83 -31,663, 100.32 -31,663,100.32 -148,389,778.51 -14,640.33 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench· ------- Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSGO00l0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base U.S. DOLLAR s FEDERAL HOME LN BK CONS DISC N MAT 7/17/2003 99.7988 -1,800,000.000 -1,796,377.50 1,796,377.50 0.00 07 /23/2003SEC ID: 3133S4JM2BROKER: 7/17/2003 CHASE SECDRITIES. NEW 7/17/2003 YORKOCSF0751 l l02: LIQUID OPER-PIMCO IS FEDERAL HOME LN BK CONS DISC N MAT 7/17/2003 99.7988 0.000 0.00 3,364.50 0.00 07/23/2003SEC ID: 3 J3384JM2BROKER: 7/17/2003 CHASE SECURITIES. NEW 7/17/2003 YORKOCSF075Ul 02: LIQillD OPER-PIMCO s FEDERAL HOME LN BK CONS DISC N MAT 7/30/2003 99.7118 -1,300,000.000 -1,296,253.83 1,296,253.83 0.00 08/06/2003SEC ID: 313384JIB4BROKER: 7/30/2003 MORGAN STANLEY & CO INC. NYOCSl"07522202: LONG TERJ\11 OPER~PJMCO 7 /30/2003 IS FEDERAL HOME LN BK CONS DISC N MAT 7/30/2003 99.7118 0.000 0.00 3,498.45 0.00 08/06/2003SEC ID: 313384KB4BROKER: 7/30/2003 MORGAN STANLEY & CO INC. NYOCSF'07522202: LONG TERM OPER-PIMCO 7 /30/2003 s FEDERAL HOME LN BK CONS DISC N MAT 7/31/2003 99.7725 -2,500,000.000 -2,494,312.50 2,494,312.50 0.00 08/06/2003SEC ID: 313384KB4BROKER: 7/31/2003 MORGAN STANLEY & CO INC, 7/31/2003 NYOCSF0751 l 102: LIQUID OPER-PIMCO IS FEDERAL HOME LN BK CONS DISC N MAT 7/31/2003 99.7725 0.000 0.00 5,287.50 0.00 08/06/2003SEC ID: 313384KB4BROKER: 7/31/2003 MORGAN STANLEY & CO INC, 7/31/2003 NYOCSF07511102: LIQUID OPER-PIMCO s FEDERAL HOME LN BK CONS DISC MAT 7/30/2003 99.7250 -250,000.000 -249.312.50 249,312.50 0.00 09/03/2003SEC ID: 313384LF4BROKER: 7/30/2003 CHASE SECURITIES, NEW 7/30/2003 YORKOCSF07522202: LONG TERM OPER- IS ~ HOME LN BK CONS DISC MAT 7/30/2003 99.7250 0.000 0.00 483.33 0.00 09/03/2003SEC ID: 313384LF4BROKER: 7/30/2003 CHASE SECURITIES, NEW 7/30/2003 YORKOCSF07522202: LONG TERM OPER- s F~ HOME LN BK CONS DISC MAT 7/30/2003 99.8215 -1,100.000.000 -1,098,036.50 1,098,036.50 0.00 09/26/2003SEC ID: 313384ME6BROKER: 7/30/2003 GOLDMAN SACHS & CO, NYOCSF07522202: 7/30/2003 LONG TERM OPER-PIMCO IS FEDERAL HOME LN BK CONS DISC MAT 7/30/2003 99.8215 0.000 0.00 191.28 0.00 09/26/2003SEC ID: 313384ME6BROKER: 7/30/2003 GOLDMAN SACHS & CO, NYOCSfi'07522202: 7/30/2003 LONG TERM OPER-PIMCO 9 Workbench Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000I0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base s FEDERAL HOME LN MTG CORP DISC MAT 7/14/2003 99.7519 -500,000.000 -498, 759.44 498,759.44 0.00 07 /17 /2003SEC ID: 313396.JFlBROKER: 7/14/2003 BANC OF AMERICA SEC LLC, SAN 7/14/2003 FRANCISCOOCSF075 l l l 02: LIQUID OPER- IS f.~ HOME LN MTG CORP DISC MAT 7/14/2003 99.7519 0.000 0.00 1,221.81 0.00 07 / 17 /2003SEC ID: 313396.JFlBROKER: 7/14/2003 BANC OF AMERICA SEC LLC, SAN 7/14/2003 FRANCISCOOCSF0751 l 102: LIQUID OPER- s ~Eiki, HOME LN MTG CORP DISC MAT 7/11/2003 99.7563 -500,000.000 -498, 781.25 498,781.25 0.00 08/ll/2003SEC ID: 313396KG7BROKER: 7/14/2003 LEHMAN GOVf SECS INC, NYOCSF075 l l 102: 7 / l l 12003 LIQUID OPER-PIMCO IS FEDERAL HOME LN MTG CORP DISC MAT 7/11/2003 99.7563 0.000 0.00 927.08 0.00 08/ll/2003SEC ID: 313396KG7BROKER: 7/14/2003 LE;HMAN GOVf SECS INC, NYOCSF07511102: 7 /l l/2003 LIQUID OPER-PIMCO s FEDERAL HOME LN MTG CORP DISC MAT 7/15/2003 99.7563 -500,000.000 -498, 781.25 498,781.25 0.00 08/ll/2003SEC ID: 313396KG7BROKER: 7/16/2003 MORGAN STANLEY & CO INC, 7/15/2003 NYOCSF0751 l 102: LIQUID OPER-PIMCO IS FEDERAL HOME LN MTG CORP DISC MAT 7/15/2003 99.7563 0.000 0.00 958.75 0.00 08/ll/2003SEC ID: 313396KG7BROKER: 7/16/2003 MORGAN STANLEY & CO INC, 7/15/2003 NYOCSF075 l l l 02: LIQUID OPER-PIMCO s FEDERAL HOME LN MTG CORP DISC MAT 7/28/2003 99.7563 -2,000,000.000 -1,995,125.00 1,995,125.00 0.00 08/l l/2003SEC ID: 313396KG7BROKER: 7/29/2003 LEHMAN GOVf SECS INC, NYOCSF0751l102:712812003 LIQUID OPER-PIMCO IS FEDERAL HOME LN MTG CORP DISC MAT 7/28/2003 99.7563 0.000 0.00 4,152.78 0.00 08/ll/2003SEC ID: 313396KG7BROKER: 7/29/2003 LEHMAN GOVf SECS INC, NYOCSF075 l 1 l 02: 712812003 LIQUID OPER-PIMCO s FEDERAL HOME LN MTG CORP DISC MAT 7/30/2003 99.7308 -2,000,000.000 -1,994,616.67 1,994,616.67 0.00 08/14/2003SEC ID: 313396KK8BROKER: 7/31/2003 LEHMAN GOVf SECS INC, NYOCSF0751l102:713012003 LIQUID OPER-PIMCO IS FEDERAL HOME LN MTG CORP DISC MAT 7/30/2003 99.7308 0.000 0.00 4,636.66 0.00 08/14/2003SEC ID: 313396KK8BROKER: 7/31/2003 LEHMAN GOVf SECS INC, NYOCSF0751l102:713012003 LIQUID OPER-PIMCO 10 Workbench· Transaction Detail _m,~~ Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED · OCSG0OOI000O 7/1/2003 -7/31/2003 Status: FINAL ----- Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base s FEDERAL HOME LN MTG CORP DISC MAT 7/30/2003 99.5983 -2,200,000.000 -2, 191,163.64 2,191,163.64 0.00 08/22/2003SE ID: 313396KT9BROKER: 7/30/2003 MORGAN STANLEY & CO lNC. NYOCSF07522202: LONG TERM OPER-PIMCO 7/30/2003 IS FEDERAL HOME LN MTG CORP DISC MAT 7/30/2003 99.5983 0.000 0.00 7,444.86 0.00 08/22/2003SEC ID: 3133961IT9BROKER: 7/30/2003 MORGAN STANLEY & CO TNC, NYOC$F07522202: LONG TERM OPER-PIMCO 713012003 s FEDERAL HOME LN MTG CORP DISC MAT 7/30/2003 99.5542 -1,300,000.000 -1,294,204.89 1,294,204.89 0.00 09/12/2003SEC ID: 313396LQ4BROKER: 7/30/2003 GOLDMAN SACHS & CO, NYOCSF07522202; 7/30/2003 LONG TERM OPER-PIMCO IS FEDERAL HOME LN MTG CORP DISC MAT 7/30/2003 99.5542 0.000 0.00 4,206.22 0.00 09/ 12/2003SEC ID: 3 13396LQ4BROKER: 7/30/2003 GOLDMAN SACHS & CO. NYOCSP-07522202: 7/30/2003 LONGTERM OPER-PIMCO s FEDERAL HOME LN MTG CORP DISC MAT 7/30/2003 99.6453 -2,000,000.000 -1,992,906.67 1,992.906.67 0.00 09/ 12/2003SEC ID; 3 13396LQ-mRORER: 7/31/2003 LEHMAN covr SECS INC. NYOCSF'Q751 ll02: 7/30/2003 LlQUID OPER-PIMCO IS FEDERAL HOME LN MTG CORP DISC MAT 7/30/2003 99.6453 0.000 0.00 4,800.00 0.00 09/12/2003SEC ID: 3 13396LQ4-BROKER: 7/31/2003 LERMAN oovr SECS INC, NYOCSF07511102: 7 /30/2003 LrQUID OPER-PIMCO s FEDERAL NATL MTG ASSN DISCOUNT MAT 7/30/2003 99.6490 -250.000.000 -249.122.50 249,122.50 0.00 09/30/2003SEC ID: 3l3588MJ1BROIIBR: 7/30/2003 CHASE SECURlTfES. NEW 7/30/2003 YORKOcsF'07522202: LONG TERM OPER- IS ~ NATL MTG ASSN DISCOUNT MAT 7/30/2003 99.6490 0.000 0.00 477.08 0.00 09/30/2003SEC ID: 3l3588MJlBROKER: 7/30/2003 CHASE SECURITIES. NEW 7/30/2003 YORROCSP-07522202: LONG TERM OPER- s F~ NATL MTG ASSN DISC NT 7/30/2003 99.7855 -1,300,000.000 -1,297,211.50 1,297,211.50 0.00 MATURES 10/0l/2003SEC 10: 7/30/2003 313588MI{8BROKER: MORGAN STA.l'{LEY & 7/30/2003 CO INC, NYOCSF07522202: LONG TERM IS ~~irfAMN1ITL MTG ASSN DISC NT 7/30/2003 99.7855 0.000 0.00 445.25 0.00 MATURES 10/0l/2003SEC ID: 7/30/2003 313588MKBBROIIBR: MORGAN STANLEY & 7/30/2003 CO INC, NYOCSF07522202: LONG TERM OPER-PIMCO 11 Workbench ,-OCSD-CONSOLIIMTED · OCSGOOOllJOOO_ Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD 7/1/2003 -7/31/2003 Status: FINAL ,_,.,.,.,_.,-t-M ... __ Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base s FEDERAL NATL MTG ASSN DISC NT 7/31/2003 99.7855 -8,000,000.000 -7,982,840.00 7,982,840.00 0.00 MATURES 10/0l/2003SEC ID: 7/31/2003 313588MK8BROKER: MERRILL LYNCH 7/31/2003 PIERCE FENNER SMITH INC IS ~f3~~m~~9ffR-PIMCO 7/31/2003 99.7855 0.000 0.00 2,624.44 0.00 MATURES 10/01/2003SEC ID: 7/31/2003 313588MK8BROKER: MERRILL LYNCH 7/31/2003 PIERCE FENNER SMITH INC s ~f1~W~,2¥9{1tP<9tJt\le"d¾'\Rr~1200~0 7 1212003 100.0000 -4.800,000.000 -4,800,000.00 4,800,000.00 0.00 DD 07 /0l/03SEC ID: 99407E365BROKER: 7/2/2003 LEHMAN GOVI' SECS INC, NYOCSF075ll102:71212003 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.060% 07/02/2003 7/2/2003 100.0000 0.000 0.00 141.33 0.00 DD 07 /0l/03SEC ID: 99407E365BROKER: 7/2/2003 LEHMAN GOVI' SECS INC. NYOCSF0751l102:71212003 LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 0 1.030% 7/2/2003 100.0000 -4,800,000.000 -4,800,000.00 4,800,000.00 0.00 07/02/2003 DD 07 /0l/03SEC ID: 7/2/2003 99407E399BROKER: CREDIT SUISSE FIRST 7/2/2003 BOSTON CORP, N YOCSF075 ll 102: LIQUID IS em1ltl~SE FB REPO 01.030% 7/2/2003 100.0000 0.000 0.00 137.33 0.00 07/02/2003 DD 07 /Ol/03SEC ID: 7/2/2003 99407E399BROKER: CREDIT SUISSE FIRST 7/2/2003 BOSTON CORP. N YOCSF0751 l 102: LIQUID s e~BJJr,I~sE FB REPO 00.920% 7/3/2003 100.0000 -4,000,000.000 -4,000,000.00 4,000,000.00 0.00 07/03/2003 DD 07 /02/03SEC ID: 7/3/2003 99407F792BROKER: CREDIT SUISSE FIRST 7/3/2003 BOSTON CORP, N YOCSF075 ll 102: LIQUID IS e~ir~SE FB REPO 00.920% 7/3/2003 100.0000 0.000 0.00 102.22 0.00 07/03/2003 DD 07 /02/03SEC ID: 7/3/2003 99407F792BROKER: CREDIT SUISSE FIRST 7/3/2003 BOSTON CORP. N YOCSF075 l 1102: LIQUID s Bfft~ 2 REPO 00.940% 07/03/2003 7/3/2003 100.0000 -4,900.000.000 -4,900,000.00 4,900,000.00 0.00 DD 07 /02/03SEC ID: 99407G055BROKER: 7/3/2003 LEHMAN GOVI' SECS INC, NYOCSF0751l102:71312003 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.940% 07/03/2003 7/3/2003 100.0000 0.000 0 .00 127.94 0.00 DD 07 /02/03SEC ID: 99407G055BROKER: 7/3/2003 LEHMAN GOVI' SECS INC, NYOCSF0751l102:71312003 LIQUID OPER-PIMCO 12 Workbench' '] Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base s LEHMAN CAT 2 REPO 00.940% 07/08/2003 7/8/2003 100.0000 -2,900,000.000 -2,900,000.00 2,900,000.00 0.00 DD 07 /07 /03SEC ID: 99407J794BROKER: 7/8/2003 LEHMAN GOVT SECS INC, NYOCSF0751l102:71812003 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.940% 07/08/2003 7/8/2003 100.0000 0.000 0.00 75.72 0.00 DD 07 /07 /03SEC ID: 99407J794BROKER: 7/8/2003 LEHMAN GOVT SECS INC, NYOCSF075ll102:71812003 LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.940% 07/09/2003 7/9/2003 100.0000 -2.900,000.000 -2,900,000.00 2,900,000.00 0.00 DD 07 /08/03SEC ID: 99407K874BROKER: 7/9/2003 LEHMAN GOVT SECS INC, NYOCSF075ll102:71912003 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.940% 07/09/2003 7/9/2003 100.0000 0.000 0.00 75.72 0.00 DD 07 /08/03SEC ID: 99407K874BROKER: 7/9/2003 LEHMAN GOVT SECS INC, NYOCSF075 l l l 02: 71912003 LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.900% 07/10/2003 7/10/2003 100.0000 -3,600,000.000 -3,600,000.00 3,600,000.00 0.00 DD 07 /09/03SEC ID: 99407M375BROKER: 7/10/2003 LEHMAN GOVT SECS INC, NYOCSF07511102: 7 /l0/2003 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.900% 07/10/2003 7/10/2003 100.0000 0.000 0.00 90.00 0.00 DD 07 /09 /03SEC ID: 99407M375BROKER: 7 / 1 o /2003 LEHMAN GOVT SECS INC, NYOCSF075 l l l 02: 7 / l O 12003 LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.980% 7/11/2003 100.0000 -1,600,000.000 -1,600,000.00 1,600,000.00 0.00 07/11/2003 DD 07 /10/03SEC ID: 7/11/2003 99407N985BROKER: CREDIT SUISSE FIRST 7/11/2003 BOSTON CORP, N YOCSF075 l l 102: LIQUID IS e~B1lfl~sE FB REPO 00.980% 7/11/2003 100.0000 0.000 0.00 43.56 0.00 07/11/2003 DD 07 /10/03SEC ID: 7/11/2003 99407N985BROKER: CREDIT SUISSE FIRST 7/11/2003 BOSTON CORP. N YOCSF075 l l 102: LIQUID s ffi'~ 2 REPO 00.920% 07/14/2003 7/14/2003 100.0000 -1,600,000.000 -1,600,000.00 1,600,000.00 0.00 DD 07 /ll/03SEC ID: 99407Q228BROKER: 7/14/2003 LEHMAN GOVT SECS INC, NYOCSF075 l l l 02: 7 / 1412003 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.920% 07/14/2003 7/14/2003 100.0000 0.000 0.00 122.67 0.00 DD 07 /l l/03SEC ID: 99407Q228BROKER: 7/14/2003 LEHMAN GOVT SECS INC, NYOCSF075 l l 102: 7 / 1412003 LIQUID OPER-PIMCO 13 Workbench Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOUDATED -OCSG000I0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base s LEHMAN CAT 2 REPO 00.960% 07/15/2003 7/15/2003 100.0000 -1,600,000.000 -1,600,000.00 1,600,000.00 0.00 DD 07 /14/03SEC ID: 99407R671BROKER: 7/15/2003 LEHMAN GOVT SECS INC, NYOCSF075 l 1102: 7 / 512003 LIQUID OPER-PIMCO 1 IS LEHMAN CAT 2 REPO 00.960% 07/15/2003 7/15/2003 100.0000 0.000 0.00 42.67 0.00 DD 07 / 14/03SEC ID: 99407R671BROKER: 7/15/2003 LEHMAN GOVT SECS INC, NYOCSF07511102: 711512003 LIQUID OPER-PlMCO s LEHMAN CAT 2 REPO 01.060% 07/16/2003 7/16/2003 100.0000 -1,300,000.000 -1,300,000.00 1,300,000.00 0.00 DD 07 /15/03SEC ID: 99407Tl56BROKER: 7/16/2003 LEHMAN GOVT SECS INC, NYOCSF0751 l 102: 7 / 1612003 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.060% 07/16/2003 7/16/2003 100.0000 0.000 0.00 38.28 0.00 DD 07 / 15/03SEC ID: 99407Tl56BROKER: 7/16/2003 LEHMAN GOVT SECS INC, NYOCSF07511102: 7 / 612003 LIQUID OPER-PIMCO l s CREDIT SUISSE FB REPO O 1.050% 7/16/2003 100.0000 -1,300,000.000 -1,300,000.00 1,300,000.00 0.00 07/16/2003 DD 07/15/03SEC ID: 7/16/2003 99407T198BROKER: CREDIT SUISSE FIRST 7/16/2003 BOSTON CORP, N YOCSF07511102: LIQUID IS eR!B1'r1~sE FB REPO 01.050% 7/16/2003 100.0000 0.000 0.00 37.92 0.00 07/16/2003 DD 07 /15/03SEC ID: 7/16/2003 99407Tl 98BROKER: CREDIT SUISSE FIRST 7/16/2003 BOSTON CORP, N YOCSF075 l l 102: LIQUID s f?i~2 REPO 01.010% 07/17/2003 7/17/2003 100.0000 -1,500,000.000 -1,500,000.00 1,500,000.00 0.00 DD 07 /16/03SEC ID: 99407U302BROKER: 7/17/2003 LEHMAN GOVT SECS INC, NYOCSF07511102: 711712003 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.010% 07/17/2003 7/17/2003 100.0000 0.000 0.00 42.08 0.00 DD 07 /16/03SEC ID: 99407U302BROKER: 7/17/2003 LEHMAN GOVT SECS INC, NYOCSF07511102: 7/1712003 LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 01.010% 7/17/2003 100.0000 -1,600,000.000 -1,600,000.00 1,600,000.00 0.00 07/17/2003 DD 07 /16/03SEC ID: 7/17/2003 99407U617BROKER: CREDIT SUISSE FIRST 7/17/2003 BOSTON CORP, N YOCSF07511102: LIQUID IS eR!B1'r1~sE FB REPO 01.0100/4 7/17/2003 100.0000 0.000 0.00 44.89 0.00 07/17/2003 DD 07 /16/03SEC ID: 7/17/2003 99407U617BROKER: CREDIT SUISSE FIRST 7/17/2003 BOSTON CORP, N YOCSF07511102: LIQUID OPER-PIMCO 14 Workbench· Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOL.lDATED -OCSG000l0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base s CREDIT SUISSE FB REPO O 1.0200/o 7/30/2003 100.0000 -1,600,000.000 -1,600,000.00 1,600,000.00 0.00 07/30/2003 DD 07 /29/03SEC ID: 7/30/2003 99408H250BROKER: CREDIT SUISSE FIRST 7/30/2003 BOSTON CORP, N YOCSF075 l l 102: LIQUID IS e~1'f1~SE FB REPO O 1.0200/o 7/30/2003 100.0000 0.000 0.00 45.33 0.00 07/30/2003 DD 07 /29/03SEC ID: 7/30/2003 99408H250BROKER: CREDIT SUISSE FIRST 7/30/2003 BOSTON CORP, N YOCSF07511102: LIQUID s Bl:~~ 2 REPO 01.030% 07/30/2003 7/30/2003 100.0000 -1,600,000.000 -1,600,000.00 1,600,000.00 0.00 DD 07 /29/03SEC ID: 99408H433BROKER: 7/30/2003 LEHMAN GOVT SECS INC, NYOCSF075 l l 102: 713012003 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.030% 07/30/2003 7/30/2003 100.0000 0.000 0.00 45.78 0.00 DD 07 /29/03SEC ID: 99408H433BROKER: 7/30/2003 LEHMAN GOVT SECS INC, NYOCSF07511102: 713012003 LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 01.030% 07/31/2003 7/31/2003 100.0000 -2,500,000.000 -2,500,000.00 2,500,000.00 0.00 DD 07 /30/03SEC ID: 99408J520BROKER: 7/31/2003 LEHMAN GOVT SECS INC, NYOCSF0751l102:713112003 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.030% 07/31/2003 7/31/2003 100.0000 0.000 0.00 71.53 0.00 DD 07 /30/03SEC ID: 99408J520BROKER: 7/31/2003 LEHMAN GOVT SECS INC, NYOCSF07511102: 713112003 LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 01.0200/o 7/31/2003 100.0000 -2,500,000.000 -2,500,000.00 2,500,000.00 0.00 07/31/2003 DD 07 /30/03SEC ID: 7/31/2003 99408J6 l 1BROKER: CREDIT SUISSE FIRST 7/31/2003 BOSTON CORP, N YOCSF075 ll 102: LIQUID IS 8RiBIT1~sE FB REPO O 1.0200/o 7/31/2003 100.0000 0.000 0.00 70.83 0.00 07/31/2003 DD 07 /30/03SEC ID: 7/31/2003 99408J611BROKER: CREDIT SUISSE FIRST 7/31/2003 BOSTON CORP, N YOCSF0751 l 102: LIQUID s B~uM'rREAsuRY CASH MGMTSEC ID: 7/1/2003 1.0000 -9,598. 704.990 -9,598, 704.99 9,598,704.99 0.00 99608524 7OCSF075 l l l 02: LIQUID OPER-7/1/2003 PIMCO 7/1/2003 s DREYFUS TREASURY CASH MGMTSEC ID: 7/7/2003 1.0000 -855,000.000 -855,000.00 855,000.00 0.00 996085247OCSF0751 l 102: LIQUID OPER-7/7/2003 PIMCO 7/7/2003 15 Workbench Transaction Detail _m,~•~ Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000I0000 7/1/2003 -7/31/2003 Status: FINAL ---- Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base s DREYFUS TREASURY CASH MGMTSEC ID: 7/9/2003 1.0000 -233,254.990 -233,254.99 233,254.99 0.00 996085247OCSF0751 l 102: LIQUID OPER-7/9/2003 PIMCO 7/9/2003 s DREYFUS TREASURY CASH MGMTSEC ID: 7/11/2003 1.0000 -792,426.440 -792,426.44 792,426.44 0.00 99608524 7OCSF07522202: WNG TERM 7/11/2003 OPER-PIMCO 7/11/2003 s DREYFUS TREASURY CASH MGMTSEC ID: 7/15/2003 1.0000 -999,957.330 -999,957.33 999,957.33 0.00 996085247OCSF07511102: LIQUID OPER-7/15/2003 PIMCO 7/15/2003 s DREYFUS TREASURY CASH MGMTSEC ID: 7/16/2003 1.0000 -860,538.870 -860,538.87 860,538.87 0.00 99608524 7OCSF07522202: WNG TERM 7/16/2003 OPER-PIMCO 7/16/2003 s DREYFUS TREASURY CASH MGMTSEC ID: 7/16/2003 1.0000 -183.800 -183.80 183.80 0.00 996085247OCSF0751 l 102: LIQUID OPER-7/16/2003 PIMCO 7/16/2003 s DREYFUS TREASURY CASH MGMTSEC ID: 7/17/2003 1.0000 -171.030 -171.03 171.03 0.00 996085247OCSF0751 l 102: LIQUID OPER-7/17/2003 PIMCO 7/17/2003 s DREYFUS TREASURY CASH MGMTSEC ID: 7/17/2003 1.0000 -590,825.880 -590,825.88 590,825.88 0.00 996085247OCSF07522202: WNG TERM 7/17/2003 OPER-PIMCO 7/17/2003 s DREYFUS TREASURY CASH MGMTSEC ID: 7/24/2003 1.0000 -158,479.340 -158,479.34 158,479.34 0.00 996085247OCSF07522202: WNG TERM 7/24/2003 OPER-PIMCO 7/24/2003 s DREYFUS TREASURY CASH MGMTSEC ID: 7/29/2003 1.0000 -600, 722.220 -600, 722.22 600,722.22 0.00 99608524 7OCSF075 ll 102: LIQUID OPER-7/29/2003 PIMCO 7/29/2003 s DREYFUS TREASURY CASH MGMTSEC ID: 7/30/2003 1.0000 -393,166.050 -393,166.05 393,166.05 0.00 996085247OCSF07522202: WNG TERM 7/30/2003 OPER-PIMCO 7/30/2003 16 Workbencn t OCSD-CONSOLIDATED -OCSG000lO000 Transaction Detail Reported by Transaction Category 7/1/2003 -7/31/2003 s s s s s Tran Type Description Trade Date Settle Date Reported Date DREYFUS TREASURY CASH MGMTSEC ID: 9960$5'2470CSF07522202: LONG TERM OPER-PIMCO 7/31/2003 7/31/2003 7/31/2003 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: TOTAL CASH & CASH EQUIVALENTS BASE: FIXED INCOME SECURITIES U.S. DOLLAR Price Base Shares/Par 1.0000 -133,066.710 -89,316,497.650 -89,316,497.650 COMMIT TO PUR FNMA SF MTG 5.000% 7/10/2003 103.2383 -4,000,000.000 07/01/2018 DD 07 /01/03SEC ID: 7/17/2003 01E050478BROKER: CREDlT SUISSE FIRST BOSTON CORP, N YOCSF07522202: LONG 7 / l0/2003 ~,Wj'iM_~MA SF MTG 5.000% 7/10/2003 103.2383 -6,000,000.000 07/01/2018 DD 07 /0.l/03SEC ID: 7/17/2003 01F050478BROKER: CREDIT SUISSE F1RST BOSTON CORP. N YOCSF07522202: LONG 7 /l0/2003 ~,{i,PfB-p'i:M.CifNMA SF MTG 5.000% 7/14/2003 103.4258 -3,000.000.000 07/01/2018 DD 07/01/03SEC ID: 7/17/2003 01F'050478BROKER: BEAR STEARNS & 0 1NC. NYOCSF07522-202-: LONG TERM OPER-7 / l 4 /2003 ~IT TO PUR FNMA SF MTG 5.000% 7/14/2003 103.4336 -2,000,000.000 07/01/2018 DD 07/0l/03SEC ID: 7/17/2003 0 l F0504 78B ROKER: LERMAN GOVT SECS lNC. NYOCS.F07522202: L0NG TERM OPER-7/14/2003 PJMCO TOTAL .FIXED INCOME SECURITIES U.S. DOLLAR: -15,000,000.000 TOTAL FIXED INCOME SECURITIES BASE: -15,000,000.000 TOTAL SALES BASE: -104,316,497.650 PRINCIPAL PAYMENTS FIXED INCOME SECURITIES U.S.DOLLAR 17 Cost Base -133,066.71 -89,244,303.29 -89,244,303.29 -4, 130,166.67 -6, 195,250.00 -3,097,625.00 -2,065,083.33 -15,488,125.00 -15,488, 125.00 -104,732,428.29 Report ID: EWB009 Base Currency: USD Status: FINAL Amount Base 133,066.71 89,290,379.08 89,290,379.08 4, 129.531.25 6,194,296.88 3,102,773.44 2,068,671.88 15,495,273.45 15,495,273.45 104,785,652.53 Net Gain/Loss Base 0.00 0.00 0.00 -635.42 -953.12 5,148.44 3,588.55 7,148.45 7,148.45 7,148.45 Workbench [ OCSD-CONSOLIIMTED -OCSGOOOIOOOO Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base PD WMP/HUNTOON PAIGE #000-11150 7.500% 7/1/2003 100.0000 -743.190 -727.05 743.19 16.14 l2/0l/2030DD l0/21/99SEC ID: 7/1/2003 302998GE3OCSF07522202: WNG TERM 7/1/2003 OPER-PIMCO PD FHLMC GROUP #G4-0353 7.5000/4 7/1/2003 100.0000 -446.870 -458.18 446.87 -11.31 10/01/2004 DD 03/0l/99SEC ID: 7/1/2003 3128DBMA2OCS1!'07522202: WNG TERM 7/1/2003 OPER-PIMCO PDC FHLMC MULTICLASS MTG SER E3 A VAR RI' 6/1/2003 100.0000 36,929.800 36,969.15 -36,929.80 39.35 08/15/2032 DD 12/01/97SEC ID: 6/1/2003 3133TCE95OCSF0752_2202: WNG TERM 7/1/2003 OPER-Pil\1CO PD FHLMC MULTICIASS MTG SER E3 A VAR RI' 6/1/2003 100.0000 -36.934.300 -36.973.65 36,934.30 -39.35 08/15/2032 DD 12/01/97SEC ID: 6/1/2003 3133TCE95OCSF07522202: WNG TERM 7/1/2003 OPER-Pil\1CO PD FHLMC MULTICIASS MTG SER E3 A VAR RI' 7/1/2003 100.0000 -36,020.900 -36,059.28 36,020.90 -38.38 08/15/2032 DD 12/0l/97SEC ID: 7/1/2003 3133TCE95OCSF07522202: WNG TERM 7/1/2003 OPER-PllVICO PD FHLMC MULTICIASS CTF Tl 1 A6 6.5000/o 7/1/2003 100.0000 -238,604. 720 -238, 710.66 238,604.72 -105.94 09/25/2018SE ID: 7/1/2003 3133TDPV2OCSF07522202: WNG TERM 7/1/2003 OPER-PIMCO PD FHLMC GROUP #78-6064 6.384% 7/1/2003 100.0000 -4,458.040 -4,349.38 4,458.04 108.66 01/01/2028 DD 12/01/97SECID: 7/1/2003 31348SWZ3OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0323980 6.0000/4 7/1/2003 100.0000 -21,932.650 -22,899.06 21,932.65 -966.41 04/01/2014 DD 09/01/99SEC ID: 7/1/2003 3 l $74T2M0OCSF07522202: WNG TERM 7/1/2003 OP.ER-EIMCO PD FNMA POOL #0456482 6.0000/o 7/1/2003 100.0000 -10.800.300 -11,276.19 10,800.30 -475.89 02/01/2014 DD 02/01/99SEC ID: 7/1/2003 3138 l C T2OC.SF07522202: WNG TERM 7/1/2003 OPER-PJMCO PD FNMA POOL #0509649 6.0000/o 7/1/2003 100.0000 -2,010.640 -2,099.23 2,010.64 -88.59 09/01/2014-DD 09/0l/99SEC JD: 7/1/2003 3 l 383QEVv0OCSF07522202: WNG TERM 7/1/2003 OPER-PfMCO 18 Workbench ,,,_ ,.,_,,,_,.,_, Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000lO000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base PD FNMA POOL #0535451 6.000% 7/1/2003 100.0000 -18,957.610 -19,792.93 18,957.61 -835.32 06/01/2015 DD 07 /01/00SEC ID: 7/1/2003 31384VZQ8OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0535672 6.000% 7/1/2003 100.0000 -412,909.120 -431,102.93 412,909.12 -18,193.81 01/01/2016 DD 12/01/00SEC ID: 7/1/2003 31384WCH10CSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0545296 6.000% 7/1/2003 100.0000 -170,610.510 -178, 128.04 170,610.51 -7,517.53 11/01/2016 DD 10/01/0lSEC ID: 7/1/2003 31385HXZOOCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0545580 6.000% 7/1/2003 100.0000 -14.402.860 -15,037.49 14,402.86 -634.63 03/01/2017 DD 03/0l/02SEC ID: 7/1/2003 31385JCR7OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0555101 6.000% 7/1/2003 100.0000 -19,798.940 -20,671.33 19,798.94 -872.39 10/01/2017 DD ll/01/02SEC ID: 7/1/2003 31385WU23OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0576386 6.000% 7/1/2003 100.0000 -2,927.760 -3,056.76 2,927.76 -129.00 05/01/2016 DD 05/01/0lSEC ID: 7/1/2003 31386XJ72OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0576739 6.0000/o 7/1/2003 100.0000 -24,161.970 -25,226.61 24,161.97 -1,064.64 04/01/2016 DD 04/01/0lSEC ID: 7/1/2003 31386XV86OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0580888 6.0000/o 7/1/2003 100.0000 -20,688.290 -21,599.87 20,688.29 -911.58 05/01/2016 DD 05/01/0lSEC ID: 7/1/2003 31387DJ91OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0594002 6.0000/o 7/1/2003 100.0000 -18. 733.860 -19,559.32 18,733.86 -825.46 07/01/2016 DD 07 /01/0lSEC ID: 7/1/2003 31387T3K8OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0597376 6.0000/o 7/1/2003 100.0000 -1,398.860 -1,460.50 1,398.86 -61.64 09/01/2016 DD 08/01/0lSEC ID: 7/1/2003 31387XI'96OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO 19 Workbench Transaction Detail ~pmm,~ Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base PD FNMA POOL #0605259 6.000% 7/1/2003 100.0000 -1,341.920 -1,401.05 1,341.92 -59.13 09/01/2016 DD 09/01/0lSEC ID: 7/1/2003 31388HMG1OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0608366 6.0000/4 7/1/2003 100.0000 -16,611.110 -17,343.04 16,611.11 -731.93 10/01/2016 DD 09/01/0lSEC ID: 7/1/2003 31388LZ78OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0616734 6.0000/o 7/1/2003 100.0000 -687.460 -717.75 687.46 -30.29 12/01/2016 DD 12/01/0lSEC ID: 7/1/2003 31388WEF9OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0630812 6.0000/o 7/1/2003 100.0000 -51,873.480 -54,159.16 51,873.48 -2,285.68 02/01/2017 DD 02/01/02SEC ID: 7/1/2003 31389NYH2OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0632376 6.0000/o 7/1/2003 100.0000 -59, 195.770 -61,804.08 59,195.77 -2,608.31 07/01/2017 DD 07 /0l/02SEC ID: 7/1/2003 31389QQ50OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0653116 6.0000/4 7/1/2003 100.0000 -29, 103.840 -30,386.23 29,103.84 -1,282.39 07/01/2017 DD 07 /0l/02SEC ID: 7/1/2003 31390QSD8OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0673280 6.0000/o 7/1/2003 100.0000 -33,278.610 -34,744.95 33,278.61 -1,466.34 08/01/2017 DD l l/0l/02SEC ID: 7/1/2003 31391P6R2OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0698939 6.0000/o 7/1/2003 100.0000 -546.920 -571.02 546.92 -24.10 09/01/2017 DD 03/0l/03SEC ID: 7/1/2003 3 l 400VPY2OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD FNMA POOL #0703195 6.0000/4 7/1/2003 100.0000 -30.078.610 -31,403.95 30,078.61 -1,325.34 01/01/2017 DD 04/01/03SEC ID: 7/1/2003 31401BGC3OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0596612 6.5000/o 7/1/2003 100.0000 -643.080 -674.93 643.08 -31.85 09/15/2032 DD 09/01/02SEC ID: 7/1/2003 36200BYH4OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO 20 Workbench" Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000I0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base PD GNMA POOL #0569358 6.500% 7/1/2003 100.0000 -188,490.110 -192,907.85 188,490.11 -4.417.74 04/15/2032 DD 04/01/02SEC ID: 7/1/2003 36200QQK3OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0569685 6.500% 7/1/2003 100.0000 -8,251.750 -8,660.47 8,251.75 -408.72 02/15/2032 DD 02/0l/02SEC ID: 7/1/2003 36200Q2S2OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0570019 6.500% 7/1/2003 100.0000 -12,826.920 -13,462.25 12,826.92 -635.33 07/15/2032 DD 07 /0l/02SEC ID: 7/1/2003 36200RG48OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0574323 6.500% 7/1/2003 100.0000 -46,344.010 -48,639.49 46,344.01 -2,295.48 12/15/2031 DD 12/01/0lSEC ID: 7/1/2003 36200WAY7OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0575364 6.5000/o 7/1/2003 100.0000 -6,533.710 -6,857.33 6,533.71 -323.62 11/15/2031 DD 11/01/0lSEC ID: 7/1/2003 36200XFD6OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0587117 6.5000/o 7/1/2003 100.0000 -2,576.880 -2,704.52 2,576.88 -127.64 06/15/2032 DD 06/01/02SEC ID: 7/1/2003 36201MG220CSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0587439 6.5000/o 7/1/2003 100.0000 -7,258.070 -7,617.57 7,258.07 -359.50 11/15/2032 DD 12/01/02SEC ID: 7/1/2003 36201MS45OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0421389 6.5000/o 7/1/2003 100.0000 -1,053.590 -1,105.78 1,053.59 -52.19 04/15/2026 DD 04/0l/96SEC ID: 7/1/2003 36206UC23OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0438057 6.0000/o 7/1/2003 100.0000 -6,663.640 -6,325.25 6,663.64 338.39 05/15/2028 DD 05/0l/98SEC ID: 7/1/2003 36207PTN9OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0449851 6.5000/o 7/1/2003 100.0000 -48.400 -50.80 48.40 -2.40 01/15/2028 DD 01/0l/98SEC ID: 7/1/2003 36208FWLOOCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO 21 Workbench Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base PD GNMA POOL #0457814 6.000% 7/1/2003 100.0000 -2,504.070 -2,376.91 2,504.07 127.16 10/15/2028 DD 10/0l/98SEC ID: 7/1/2003 36208QSB3OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0465546 6.000% 7/1/2003 100.0000 -17, 100.630 -16,232.24 17,100.63 868.39 08/15/2028 DD 08/0l/98SEC ID: 7/1/2003 36209AET3OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0465555 6.000% 7/1/2003 100.0000 -1,110.950 -1,054.53 1,110.95 56.42 09/15/2028 DD 09/0l/98SEC ID: 7/1/2003 36209AE48OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0466845 6.500% 7/1/2003 100.0000 -4,940.600 -5,185.31 4,940.60 -244.71 06/15/2028 DD 06/01/98SEC ID: 7/1/2003 36209BTA6OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0467279 6.000% 7/1/2003 100.0000 -36.480 -34.63 36.48 1.85 10/15/2028 DD 10/01/98SEC ID: 7/1/2003 36209CCQ7OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0467286 6.000% 7/1/2003 100.0000 -661.930 -628.32 661.93 33.61 10/15/2028 DD 10/0l/98SEC ID: 7/1/2003 36209CCX2OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0468052 6.500% 7/1/2003 100.0000 -1,509.580 -1,584.35 1,509.58 -74.77 07/15/2028 DD 07 /01/98SEC ID: 7/1/2003 36209C5M4OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0468330 6.000% 7/1/2003 100.0000 -1,007.550 -956.39 1,007.55 51.16 05/15/2028 DD 05/01/98SEC ID: 7/1/2003 36209DHF4OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0468339 6.000% 7/1/2003 100.0000 -19,188.460 -18,214.05 19,188.46 974.41 08/15/2028 DD 08/01/98SEC ID: 7/1/2003 36209DHQ0OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0469688 6.000% 7/1/2003 100.0000 -1.451.020 -1,377.34 1,451.02 73.68 11/15/2028 DD ll/01/98SEC ID: 7/1/2003 36209EXR8OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO 22 Workbench' -- Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base PD GNMA POOL #0476041 6.500% 7/1/2003 100.0000 -17,942.290 -18,802.96 17,942.29 -860.67 06/15/2028 DD 06/0l/98SEC ID: 7/1/2003 36209MZE7OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0478626 6.500% 7/1/2003 100.0000 -333.620 -349.62 333.62 -16.00 01/15/2029 DD 0l/0l/99SEC ID: 7/1/2003 36209QVI'9OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0480598 6.500% 7/1/2003 100.0000 -34, 712.010 -36,377.10 34,712.01 -1,665.09 10/15/2028 DD 10/0l/98SEC ID: 7/1/2003 36209S3F6OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0483452 6.000% 7/1/2003 100.0000 -3.768.450 -3,577.08 3,768.45 191.37 09/15/2028 DD 09/0l/98SEC ID: 7/1/2003 36209WBV3OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0485527 6.500% 7/1/2003 100.0000 -90, 780.260 -95,276.72 90,780.26 -4,496.46 06/15/2031 DD 06/01/0lSEC ID: 7/1/2003 36209YLG 1 OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0485610 6.500% 7/1/2003 100.0000 -66,906.530 -70,220.49 66,906.53 -3,313.96 07/15/2031 DD 07 /01/0lSEC ID: 7/1/2003 36209YN38OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0485682 6.500% 7/1/2003 100.0000 -16,749.440 -17,579.06 16,749.44 -829.62 08/15/2031 DD 08/01/0lSEC ID: 7/1/2003 36209YRB6OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0485703 6.5000fci 7/1/2003 100.0000 -19, 196.980 -20,147.83 19,196.98 -950.85 08/15/2031 DD 08/01/0lSEC ID: 7/1/2003 36209YRY6OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0486720 6.0000fci 7/1/2003 100.0000 -565.370 -536.66 565.37 28.71 12/15/2028 DD 12/0l/98SEC ID: 7/1/2003 36210AVM6OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0491103 6.000% 7/1/2003 100.0000 -9,681.240 -9,189.62 9,681.24 491.62 01/15/2029 DD 0l/0l/99SEC ID: 7/1/2003 36210FRY4OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO 23 Workbench -- l_~SJ>coNSOi.m,mm -OCSG00010000 Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD 7/1/2003 -7/31/2003 Status: FINAL ----··-··- Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base PD GNMA POOL #0496461 6.0000/4 7/1/2003 100.0000 -67,530.320 -64,101.04 67,530.32 3,429.28 01/15/2029 DD 01/0l/99SEC ID: 7/1/2003 36210MQN4OCSF07522202: WNG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0497343 6.0000/o 7/1/2003 100.0000 -3,016.380 -2,863.20 3,016.38 153.18 12/15/2028 DD 12/0l/98SEC ID: 7/1/2003 36210NP45OCSF07522202: WNG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0499153 6.0000/o 7/1/2003 100.0000 -824.090 -782.24 824.09 41.85 02/15/2029 DD 02/0l/99SEC ID: 7/1/2003 36210QQE5OCSF07522202: WNG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0500917 6.0000/o 7/1/2003 100.0000 -2,271.790 -2,156.43 2,271.79 115.36 04/15/2029 DD 04/0l/99SEC ID: 7/1/2003 36210SPA0OCSF07522202: WNG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0503388 6.0000/o 7/1/2003 100.0000 -11,727.170 -11,131.65 11,727.17 595.52 03/15/2029 DD 03/0l/99SEC ID: 7/1/2003 36210VF55OCSF07522202: WNG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0506636 6.0000/o 7/1/2003 100.0000 -2,903.760 -2,756.30 2,903.76 147.46 04/15/2029 DD 04/01/99SEC ID: 7/1/2003 36210YY90OCSF07522202: WNG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0512235 6.5000/o 7/1/2003 100.0000 -3,576.380 -3,753.52 3,576.38 -177.14 11/15/2029 DD ll/01/99SEC ID: 7/1/2003 36211GBC6OCSF07522202: WNG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0514326 6.5000/o 7/1/2003 100.0000 -496.900 -520.74 496.90 -23.84 07/15/2029 DD 07 /01/99SEC ID: 7/1/2003 36211JLF2OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0530053 6.500% 7/1/2003 100.0000 -10,950.900 -11,493.31 10,950.90 -542.41 04/15/2031 DD 04/01/0lSEC ID: 7/1/2003 36212CZS3OCSF07522202: WNG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0530290 6.5000/o 7/1/2003 100.0000 -73.860 -77.40 73.86 -3.54 03/15/2031 DD 04/01/0lSEC ID: 7/1/2003 362 l 2DC3 l OCSF07522202: WNG TERM 7/1/2003 OPER-PIMCO 24 Workbench· Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000I0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base PD GNMA POOL #0537885 6.500% 7/1/2003 100.0000 -218.480 -229.30 218.48 -10.82 02/L5/2031 DD 02/01/0lSEC ID: 7/1/2003 36212MREJOCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0547512 6.500% 7/1/2003 100.0000 -2.860.220 -3.001.89 2,860.22 -141.67 04/15/2031 DO 04/01 /OlSEC ID: 7/1/2003 36212YGV90CSF07522202.: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0547715 6.500% 7/1/2003 100.0000 -319.910 -335.26 319.91 -15.35 02/15/2031 DD 02/01/0lSEC ID: 7/1/2003 36212YN820CSF07522202: LONG TERM 7/1/2003 ·OPER--PIMCO PD GNMA POOL #0552322 6.500% 7/1/2003 100.0000 -11,088.140 -11,637.35 11,088.14 -549.21 01/15/2032 DD 01/01/02SEC ID: 7/1/2003 36213ESI\30CSF07522202: LONG TERM 7/1/2003 OPER-PlMCO PD GNMA POOL #0552466 6.500% 7/1/2003 100.0000 -60,569.510 -63,569.59 60,569.51 -3,000.08 03/15/2032 DD 03/01 /02SEC ID: 7/1/2003 36213EW360CSF07522202: LONG TERM 7/1/2003 OPERsPIMCO PD GNMA POOL #0552659 6.500% 7/1/2003 100.0000 -72,412.590 -75,999.28 72,412.59 -3,586.69 07/15/2032 DD 07 /Ol/02SEC ID: 7/1/2003 36213E5U60CSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA POOL #0561017 6.500% 7/1/2003 100.0000 -52,631.630 -55,238.54 52,631.63 -2,606.91 07/15/2031 DD 07/01/0lSEC ID: 7/1/2003 36213QG290CSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA II POOL #0080023 VAR RT 12/20/20267 /1/2003 100.0000 -10,482.200 -10,655.81 10,482.20 -173.61 DD l 2/01 /96SEC ID: 7/1/2003 36225GAZ90CSF07522202: LONG TERM 7/1/2003 OPER-PIMCO PD GNMA II POOL #080088M 7.375% 7/1/2003 100.0000 -17,607.370 -17,992.53 17,607.37 -385.16 06/20/2027 DD 06/01/97SEC ID: 7/1/2003 362.25CC200CSF07522202: LONG TERM 7/1/2003 OPER-PlMCO PD GNMA II POOL #0080395 VAR RT 7/1/2003 100.0000 -16,212.500 -16,065.57 16,212.50 146.93 04/20/2030 DD 04/01/00SEC ID: 7/1/2003 36225CNM40CSF07522202: LONG TERM 7/1/2003 OPER-PIMCO 25 Workbench OCSD-CONSOLIDATED -OCSGO00l0000 Transaction Detail Reported by Transaction Category 7/1/2003 -7/31/2003 Tran Trade Date Settle Date Reported Date Type Description PD PD GNMA II POOL #080408X 6.500% 05/20/2030 DD 05/01/00SEC ID: 36225CN28OCSF07522202: LONG TERM OPER-PIMCO GNMA GTD REMIC TR 2000-9 FH VAR Rf 02/ 16/2030SEC ID: 3837H.4NX9OCSF07522202: LONG TERM OPER-PIMCO 7/1/2003 7/1/2003 7/1/2003 7/16/2003 7/16/2003 7/16/2003 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL PRINCIPAL PAYMENTS BASE: MATURITIES CASH & CASH EQUIVALENTS U.S. DOLLAR MT MT MT MT MT FEDERAL HOME LN BK CONS DISC MAT 07 /ll/2003SEC ID: 313384HZ5OCSF07522202: LONG TERM OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 07 /16/2003SEC ID: 313384JE0OCSF07522202: LONG TERM OPER-PIMCO FEDERAL HOME LN BK CONS DISC N MAT 07 /23/2003SEC ID: 313384JM2OCSF075 l l l 02: LIQUID OPER- PIMCO FEDERAL HOME LN BK CONS DISC N MAT 07 /25/2003SEC ID: 313384JP5OCSF07522202: LONG TERM OPER-PIMCO FEDERAL HOME LN BK CONS DISC N MAT 07 /29/2003SEC ID: 313384JT7OCSF0751 l 102: LIQUID OPER- PIMCO 7/11/2003 7/11/2003 7/11/2003 7/16/2003 7/16/2003 7/16/2003 7/23/2003 7/23/2003 7/23/2003 7/25/2003 7/25/2003 7/25/2003 7/29/2003 7/29/2003 7/29/2003 Price Base 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 Shares/Par -175,715.790 -36,555.260 -2,393,212.080 -2,393,212.080 -2,393,212.080 -1,600,000.000 -24,600,000.000 -200,000.000 -3,800,000.000 -600,000.000 26 Cost Base -173,931.18 -36,555.26 -2,458,305.38 -2,458,305.38 -2,458,305.38 -1,595,360.00 -24,533,932.64 -199,597.50 -3, 797,440.27 -598,689.00 Report ID: EWB009 '] Base Currency: USD . Status: FINAL ---- Amount Base 175,715.79 36,555.26 2,393,212.08 2,393,212.08 2,393,212.08 1,595,360.00 24,533,932.64 199,597.50 3,797,440.27 598,689.00 Net Gain/Loss Base 1,784.61 0.00 -65,093.30 -65,093.30 -65,093.30 0.00 0.00 0.00 0.00 0.00 Workbench I OCSD-CONSOLlllA~ -OCSGOOOIOOOO Transaction Detail Reported by Transaction Category 7/1/2003 -7/31/2003 Tran Trade Date Settle Date Reported Date Type Description MT MT MT MT MT MT MT FEDERAL HOME LN BK CONS DISC N MAT 07 /30/2003SEC ID: 313384JU4OCSF075 l l 102: LIQUID OPER- PIMCO FEDERAL HOME LN MTG CORP DISC MAT 07 /15/2003SEC ID: 313396JD6OCSF07522202: LONG TERM OPER-PIMCO FEDERAL NATL MTG ASSN DISC NTS MAT 07 /02/2003SEC ID: 313588HQ 1 OCSF075 l l l 02: LIQUID OPER- PIMCO FEDERAL NATL MTG ASSN DISCOUNT MAT 07 /30/2003SEC ID: 31358&JU0OCSF07511102: LIQUID OPER- PIMCO 7/30/2003 7/30/2003 7/30/2003 7/15/2003 7/15/2003 7/15/2003 7/2/2003 7/2/2003 7/2/2003 7/30/2003 7/30/2003 7/30/2003 FEDERAL NATL MTG ASSN DISCOUNT MAT 7/31/2003 07 /31/2003SEC ID: 7/31/2003 31358&N8OCSF07511102: LIQUID OPER-713112003 PIMCO GENERAL ELEC CAP DISC 07 /23/2003SEC ID: 36959JUP6OCSF07511102: LIQUID OPER-PIMCO GENERAL ELEC CAP DISC 07 /09/2003SEC ID: 36959JU92OCSF0751 l 102: LIQUID OPER-PIMCO 7/23/2003 7/23/2003 7/23/2003 7/9/2003 7/9/2003 7/9/2003 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: TOTAL CASH & CASH EQUIVALENTS BASE: FIXED INCOME SECURITIES U.S.DOLLAR MT FEDERAL HOME LN BK CONS EDS 4.500% 07/07/2003 DD 07 /06/0lSEC ID: 3133MG5JlOCSF07511102: LIQUID OPER- PIMCO 7/7/2003 7/7/2003 7/7/2003 Price Base 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 Shares/Par -1,500,000.000 -24,600,000.000 -800,000.000 -1,800,000.000 -3,000.000.000 -400,000.000 -600,000.000 -63,500,000.000 -63,500,000.000 -2,000,000.000 27 Cost Base -1.498,870.67 -24,518,273.34 -795, 156.00 -1.794,780.00 -2,993,653.33 -399,588.00 -599.308.67 -63,324,649.42 -63,324,649.42 -2,039,880.00 Report ID: EWB009 Base Currency: USD Status: FINAL Amount Base 1,498,870.67 24,518,273.34 795,156.00 1,794,780.00 2,993,653.33 399,588.00 599,308.67 63,324,649.42 63,324,649.42 2,000,000.00 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -39,880.00 Workbench OCSD-CONSOLIDATED -OCSGOOOIOOOO Transaction Detail Reported by Transaction Category 7/1/2003 -7/31/2003 Tran Trade Date Settle Date Reported Date Type Description MT FEDERAL HOME LN BKS CONS BD 6.000% 7/14/2003 07/14/2003 DD 07 /14/98SEC ID: 7/14/2003 3133M4VC4OCSF07511102: LIQUID OPER-711412003 PIMCO TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL MATURITIES BASE: CORPORATE ACTIONS FIXED INCOME SECURITIES U.S. DOLLAR SW TRAN TO UOO907 MO AIG SUNAMERICA GLO 7/3/2003 BOS USDSEC ID: NA2789454OCSF07522202: 7/7/2003 LONG TERM OPER-PIMCO 7/3 /2003 SD CAL RECEIVED FROM NA2789454 AIG SUNAMERICA GLOBAL REG SSEC ID: U00907M0OCSF07522202: LONG TERM OPER-PIMCO DISTRIBUTION FINL 99-1 CL A4 5.8400/4 10/17/2011 DD 03/18/99SEC ID: 25475MAD6OCSF07522202: LONG TERM OPER-PIMCO 7/3/2003 7/7/2003 7/3/2003 7/16/2003 7/16/2003 7/16/2003 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: MISCELLANEOUSACTMTY FIXED INCOME SECURITIES U.S. DOLLAR TOTAL CORPORATE ACTIONS BASE: Price Base 100.0000 100.0000 Shares/Par -15,000.000 -2,015,000.000 -2,015,000.000 -65,515,000.000 -752,000.000 752,000.000 -35, 770.020 -35, 770.020 -35, 770.020 -35, 770.020 28 Cost Base -15.470.85 -2,055,350.85 -2,055,350.85 -65,380,000.27 -826,199.84 826,199.84 -36,518.96 -36,518.96 -36,518.96 -36,518.96 Report ID: EWB009 Base Currency: USD Status: FINAL Amount Base 15,000.00 2,015,000.00 2,015,000.00 65,339,649.42 0.00 0.00 35,770.01 35,770.01 35,770.01 35,770.01 Net Gain/Loss Base -470.85 -40,350.85 -40,350.85 -40,350.85 -826,199.84 826,199.84 -748.95 -748.95 -748.95 -748.95 Workbench· ---------------------------- OCSD-CONSOLIDATED -OCSG000l0000 Transaction Detail Reported by Transaction Category 7/1/2003 -7/31/2003 Report ID: EWB009 Base Currency: USD Status: FINAL '------------------------·-·-··-··-.. , .. -,----------------------------------~ Tran Type Description Trade Date Settle Date Reported Date SW TO BRING ACCOUNT INTO BALANCE US TREASURY INFIATION INDEX NTSEC ID: 9128272M3OCSF07522202: LONG TERM OPER-PIMCO SW TO BRING ACCOUNT INTO BALANCE US TREASURY INFLATION I NDEX NTSEC ID: 9128274Y5OCSF07522c202: LONG TERM OPER-PIMCO 7/30/2003 7/31/2003 7/30/2003 7/30/2003 7/31/2003 7/30/2003 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL MISCELLANEOUS ACTMTY BASE: INTEREST CASH & CASH EQUIVALENTS U.S.DOLLAR IT IT IT IT IT FEDERAL HOME LN BK CONS DISC MAT 07 / 11 /2003SEC ID: 313384HZ5OCSF07522202: LONG TERM OPER-PIMCO FEDERAL HOME LN BK CONS DISC MAT 07 /16/2003SEC ID: 313384JE0OCSF07522202: LONG TERM OPER-PIMCO FEDERAL HOME LN BK CONS DISC N MAT 07 /23/2003SEC ID: 313384JM2OCSF0751 l 102: LIQUID OPER- PIMCO FEDERAL HOME LN BK CONS DISC N MAT 07 /25/2003SEC ID: 313384JP5OCSF07522202: LONG TERM OPER-PIMCO FEDERAL HOME LN BK CONS DISC N MAT 07 /29/2003SEC ID: 313384JT7OCSF07511102: LIQUID OPER- PIMCO 7/11/2003 7/11/2003 7/11/2003 7/16/2003 7/16/2003 7/16/2003 7/23/2003 7/23/2003 7/23/2003 7/25/2003 7/25/2003 7/25/2003 7/29/2003 7/29/2003 7/29/2003 Price Base Shares/Par -26,880.000 -390.000 -27,270.000 -27,270.000 -27,270.000 1,600,000.000 24,600,000.000 200,000.000 3,800,000.000 600,000.000 29 Cost Base -23,685.65 -433.78 -24,119.43 -24,119.43 -24,119.43 4,640.00 66,067.36 402.50 2,559.73 1,311.00 Amount Base 0.00 0.00 0.00 0.00 0.00 4,640.00 66,067.36 402.50 2,559.73 1,311.00 Net Gain/Loss Base -23,685.65 -433.78 -24,119.43 -24,119.43 -24,119.43 0.00 0.00 0.00 0.00 0.00 Workbench Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLlDATED -OCSG0OOI0OOO 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT FEDERAL HOME LN BK CONS DISC N MAT 7/30/2003 1,500,000.000 1,129.33 1,129.33 0.00 07 /30/2003SEC ID: 7/30/2003 313384JU4OCSF07511102: LIQUID OPER-7/30/2003 PIMCO IT FEDERAL HOME LN MTG CORP DISC MAT 7/15/2003 24,600,000.000 81,726.66 81,726.66 0.00 07/15/2003SEC ID: 7/15/2003 313396JD6OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT FEDERAL NATL MTG ASSN DISC NTS MAT 7/2/2003 800,000.000 4,844.00 4,844.00 0.00 07 /02/2003SEC ID: 7/2/2003 313588HQ10CSF07511102: LIQUID OPER-7/2/2003 PIMCO IT FEDERAL NATL MTG ASSN DISCOUNT MAT 7/30/2003 1,800,000.000 5,220.00 5,220.00 0.00 07 /30/2003SEC ID: 7/30/2003 313588JU0OCSF07511102: LIQUID OPER-7/30/2003 PIMCO IT FEDERAL NATL MTG ASSN DISCOUNT MAT 7/31/2003 3,000,000.000 6,346.67 6,346.67 0.00 07 /31/2003SEC ID: 7/31/2003 31358&N8OCSF075 l l 102: LIQUID OPER-7/31/2003 PIMCO IT GENERAL ELEC CAP DISC 07 /23/2003SEC 7/23/2003 400,000.000 412.00 412.00 0.00 ID: 36959JUP6OCSF07511102: LIQUID 7/23/2003 OPER-PIMCO 7/23/2003 IT GENERAL ELEC CAP DISC 07 /09/2003SEC 7/9/2003 600,000.000 691.33 691.33 0.00 ID: 36959JU92OCSF07511102: LIQUID 7/9/2003 OPER-PIMCO 7/9/2003 cw SHORT TERM FDS INT ADJ NET OF 7/31/2003 0.000 -24.05 -24.05 0.00 OVERNIGHT INTERESI'SEC ID: 7/31/2003 990000PJ4OCSF07522202: LONG TERM 7/31/2003 OPER-PIMCO cw SHORT TERM FDS INT ADJ NET OF 7/31/2003 0.000 -49.77 -49.77 0.00 OVERNIGHT INTERESTSEC ID: 7/31/2003 990000PJ4OCSF07511102: LIQUID OPER-7/31/2003 PIMCO IT DREYFUS TREASURY CASH MGMTSEC ID: 7/1/2003 0.000 1. 124.63 1.124.63 0.00 996085247OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO 7/1/2003 30 Workbench' I OCSD-CONS<>LIIMTIID -OCSGOOOIOOOO Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT DREYFUS TREASURY CASH MGMTSEC ID: 7/1/2003 0.000 1,295.01 1,295.01 0.00 9960S5247OCSF07511102: LIQUID OPER-7/1/2003 PIMCO 7/1/2003 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 63,500,000.000 177,696.40 177,696.40 0.00 TOTAL CASH & CASH EQUIVALENTS BASE: 63,500,000.000 177,696.40 177,696.40 0.00 FIXED INCOME SECURITIES U.S. DOLLAR IT DISTRIBUTION FINL 99-1 CL A4 7/21/2003 0.000 174.08 174.08 0.00 REDEEMEDSEC ID: 7/15/2003 25475MAD6OCSF07522202: WNG TERM 7/21/2003 OPER-PIMCO IT WMP/HUNTOON PAIGE #000-11150 7.500% 7/1/2003 738.040 5,944.97 5,944.97 0.00 12/01/2030 DD 10/21/99SEC ID: 6/1/2003 302998GE3OCSF07522202: LONG TERM 7/1/2003 OPER-PIMCO IT WMP/HUNTOON PAIGE #000-11150 7.500% 7/29/2003 743.190 5,940.36 5,940.36 0.00 12/01/2030 DD 10/21/99SEC ID: 7/1/2003 302998GE3OCSF07522202: WNG TERM 7/29/2003 OPER-PIMCO IT FHLMC GROUP #G4-0353 7.500%> 7/15/2003 446.870 917.72 917.72 0.00 10/01/2004 DD 03/0l/99SEC ID: 7/1/2003 3128DBMA2OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT FEDERAL HOME LN BK CONS BDS 4.500% 7/7/2003 2,000,000.000 45,000.00 45,000.00 0.00 07/07/2003 DD 07 /06/0lSEC ID: 7/7/2003 3133MG5JlOCSF07511102: LIQUID OPER-7/7/2003 PIMCO IT FEDERAL HOME LN BKS CONS BD 6.000%> 7/14/2003 15,000.000 450.00 450.00 0.00 07/14/2003 DD 07 / 14/98SEC ID: 7/14/2003 3133M4VC4OCSF075 ll 102: LIQUID OPER-7/14/2003 PlMCO IT FHLMC MULTICIASS MTG SER E3 A VAR RT 7/23/2003 36,934.300 4,649.03 4,649.03 0.00 08/15/2032 DD 12/01/97SEC ID: 6/1/2003 3133TCE95OCSF07522202: WNG TERM 7/23/2003 OPER-PIMCO 31 Workbench ---- Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000lO000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT FHLMC MULTICIASS CTF Tl 1 A6 6.5000/o 7/25/2003 238,604.720 3,496.54 3,496.54 0.00 09/25/201 8SEC ID: 7/1/2003 3133TDPV20CSF07522202: LONG TERM 7/25/2003 OPER-PIMCO IT FHLMC MULTICIASS CTF SER 16202 6.0000/o 7/21/2003 14,640.330 14,640.33 14,640.33 0.00 11 / I 5/2023 DD l l/01/936EC ID: 7/1/2003 3133Tl 7A40CSF07522202: LONG TERM 7/21/2003 OPER-PIMCO IT FEDERAL FARM CR BKS CONS SYSTE 6.400/o 7/23/2003 1,350,000.000 36,450.00 36,450.00 0.00 01/23/2004 DD Ol/Ol/1999SEC ID: 7/23/2003 31331H6G70CSF'0751 ll 02: LIQUID OPER-7/23/2003 PIMCO IT FHLMC GROUP #78-6064 6.384% 7/15/2003 5,445.500 314.09 314.09 0.00 01/01/2028 DD 12/0l/97SE ID: 6/1/2003 31348SWZ30 CSF07522202: LONG TERM OPE'.R-PIMCO 7/15/2003 IT FNMA POOL #0323980 6.0000/o 7/25/2003 21,932.650 1,570.70 1.570.70 0.00 04/01/2014 DD 09/01/99SEC ID: 7/1/2003 3 1374T2MOOCSF07522202: LONG TERM 7/25/2003 OPffiR-PlMCO IT FNMA POOL #0456482 6.0000/o 7/25/2003 10,800.300 581.10 581.10 0.00 02/0l /20l4 DD 02/0l/99SEC ID: 7/1/2003 31381 CCT20CSF07522202: LONG TERM 7/25/2003 OPER-PIMCO IT FNMA POOL #0509649 6.000% 7/25/2003 2,010.640 1,604.71 1,604.71 0.00 09/01/2014 DD 09/0l/99SEC £D: 7/1/2003 3 I 383QEWOOCSF07522202: LONG TERM 7/25/2003 OPER-P!MCO IT FNMA POOL #0535451 6.0000/o 7/25/2003 18,957.610 1,265.83 1,265.83 0.00 06/0 1/2015 DD 07 /01 /bOSEC ID: 7/1/2003 3 J 384VZQ80 CSF07522202: LONG TERM 7/25/2003 OPER-PlMCO IT FNMA POOL #0535672 6.0000/o 7/25/2003 412,909.120 28,000.45 28,000.45 0.00 01/01/2016 DD 12/01/00SEC ID: 7/1/2003 31384WCH10CSF07522202: LONG TERM 7/25/2003 OPER-PIMCO IT FNMA POOL #0545296 6.0000/o 7/25/2003 170,610.510 9,830.41 9 ,830.41 0.00 11 /01/2016 DD 10/01/0lS EC ID: 7/1/2003 31385HXZOOCSF07522202: LONG TERM 7/25/2003 OPER-PIMCO 32 i¾>rkbenctf· I --------------------------------··•-··-··-··-··~--~------------ Transaction Detail Report ID: EWBO~ Reported by Transaction Category Base Currency: USD I OCSD-CONSOLIDATED -OCSG00_01_0_0_0_0 __________ 7_/_1~/-2_0_0_3_-_7_/_3_1_/_2,_o_o_a _______________ st_a_tu_s_: F_IN_AL Tran Trade Date Settle Date Reported Date Type Description IT IT IT IT IT IT IT IT IT IT FNMA POOL #0545580 6.000% 03/01/2017 DD 03/01/02SEC ID: 31385JCR7OCSF07522202: LONG TERM OPER-PIMCO FNMA POOL#0555101 6.0000/4 10/01/2017 DD 11 /0l/02SEC ID: 31385WU23OCSF07522202: LONG TERM OPER-PIMCO FNMA POOL #0576386 6.000% 05/01/2016 DD 05/01/0lSEC ID: 31386XJ72OCSF07522202: LONG TERM OPER-PIMCO FNMA POOL #0576739 6.000% 04/01/2016 DD 04/01/0lSEC ID: 31386XV86OCSF07522202: LONG TERM OPER-PIMCO FNMA POOL #0580888 6.000% 05/01/2016 DD 05/01/0lSEC ID: 31387DJ91OCSF07522202: LONGTERM OPER-PIMCO FNMA POOL #0594002 6.000% 07/01/2016 DD 07 /01/0lSEC ID: 31387T3K8OCSF07522202: LONG TERM OPER-PIMCO FNMA POOL #0597376 6.000% 09/01/2016 DD 08/01/0lSEC ID: 31387XT96OCSF07522202: LONG TERM OPER-PIMCO FNMA POOL #0605259 6.000% 09/01/2016 DD 09/01/0lSEC ID: 31388HMG 1 OCSF07522202: LONG TERM OPER-PIMCO FNMA POOL #0608366 6.000% 10/01/2016 DD 09/01/0lSEC ID: 31388LZ78OCSF07522202: LONG TERM OPER-PIMCO FNMA POOL #0616734 6.000% 12/01/2016 DD 12/01/0lSEC ID: 3I388WEF90CSF07522202: LONG TERM OPER-PIMCO 7/25/2003 7/1/2003 7/25/2003 7/25/2003 7/1/2003 7/25/2003 7/25/2003 7/1/2003 7/25/2003 7/25/2003 7/1/2003 7/25/2003 7/25/2003 7/1/2003 7/25/2003 7/25/2003 7/1/2003 7/25/2003 7/25/2003 7/1/2003 7/25/2003 7/25/2003 7/1/2003 7/25/2003 7/25/2003 7/1/2003 7/25/2003 7/25/2003 7/1/2003 7/25/2003 Price Base 33 Shares/Par 14,402.860 19,798.940 2,927.760 24.161.970 20,688.290 18,733.860 1,398.860 1,341.920 16,611.110 687.460 Cost Base 810.98 1,345.00 501.08 1,484.22 1,642.17 1.248.57 1,456.29 1.422.97 954.78 873.79 Amount Base 810.98 1,345.00 501.08 1.484.22 1.642.17 1,248.57 1,456.29 1,422.97 954.78 873.79 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench I OCSI>CONSOLDMTED -OCSGOOOIOOOO ----~ Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD 7/1/2003 -7/31/2003 Status: FINAL ,._., ___ Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT FNMA POOL #0630812 6.000% 7/25/2003 51,873.480 1,726.71 1,726.71 0.00 02/01/2017 DD 02/0l/02SEC ID: 7/1/2003 31389NYH2OCSF07522202: LONG TERM 7/25/2003 OPER-PIMCO IT FNMA POOL #0632376 6.000% 7/25/2003 59,195.770 6,046.77 6,046.77 0.00 07/01/2017 DD 07 /0l/02SEC ID: 7/1/2003 31389QQ50OCSF07522202: LONG TERM 7/25/2003 OPER-PIMCO IT FNMA POOL #0653116 6.000% 7/25/2003 29,103.840 3,568.76 3,568.76 0.00 07/01/2017 DD 07 /0l/02SEC ID: 7/1/2003 31390QSD8OCSF07522202: LONG TERM 7/25/2003 OPER-PIMCO IT FNMA POOL #0673280 6.000% 7/25/2003 33,278.610 1,554.80 1,554.80 0.00 08/01/2017 DD l 1/01/02SEC ID: 7/1/2003 31391P6R2OCSF07522202: LONG TERM 7/25/2003 OPER-PIMCO IT FNMA POOL #0698939 6.000% 7/25/2003 546.920 699.60 699.60 0.00 09/01/2017 DD 03/01/03SEC ID: 7/1/2003 31400VPY2OCSF07522202: LONG TERM 7/25/2003 OPER-PIMCO IT FNMA POOL #0703195 6.000% 7/25/2003 30,078.610 625.57 625.57 0.00 01/01/2017 DD 04/0l/03SEC ID: 7/1/2003 31401BGC3OCSF07522202: LONGTERM 7/25/2003 OPER-PIMCO IT FORD MTR CR CO GLOBAL LANDMARK 7/16/2003 3,000,000.000 100,500.00 100,500.00 0.00 6.700% 07/16/2004 DD 07 /16/99SEC ID: 7/16/2003 345397SJ3OCSF07522202: LONG TERM 7/16/2003 OPER-PIMCO IT GNMA POOL #0596612 6.500% 7/15/2003 643.080 3,484.10 3,484.10 0.00 09/15/2032 DD 09/0l/02SEC ID: 7/1/2003 36200BYH4OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0569358 6.500% 7/15/2003 188,490.110 10,997.50 10,997.50 0.00 04/15/2032 DD 04/0l/02SEC ID: 7/1/2003 36200QQK3OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0569685 6.500% 7/15/2003 8,251.750 479.14 479.14 0.00 02/15/2032 DD 02/0l/02SEC ID: 7/1/2003 36200Q2S2OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO 34 'Wbrkbencli' ..--••--· Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000IO00O 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT GNMA POOL #0570019 6.500% 7/29/2003 12,826.920 815.39 815.39 0.00 07/15/2032 DD 07 /0l/02SEC ID: 7/1/2003 36200RG48OCSF07522202: LONG TERM 7/29/2003 OPER-PIMCO IT GNMA POOL#0574323 6.500% 7/15/2003 46,344.010 5,008.32 5,008.32 0.00 12/15/2031 DD 12/01/0lSEC ID: 7/1/2003 36200WAY7OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0575364 6.500% 7/15/2003 6,533.710 547.64 547.64 0.00 11/15/2031 DD 11/01/0lSEC ID: 7/1/2003 36200XFD6OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0587117 6.500% 7/15/2003 2,576.880 190.33 190.33 0.00 06/15/2032 DD 06/0l/02SEC ID: 7/1/2003 36201MG220CSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0587439 6.500%1 7/15/2003 7,258.070 617.94 617.94 0.00 11/15/2032 DD 12/0l/02SEC ID: 7/1/2003 36201MS450CSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0421389 6.500%1 7/15/2003 1,053.590 122.45 122.45 0.00 04/15/2026 DD 04/0l/96SEC ID: 7/1/2003 36206UC23OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0438057 6.000% 7/15/2003 6,663.640 181.25 181.25 0.00 05/15/2028 DD 05/0l/98SEC ID: 7/1/2003 36207PTN9OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0449851 6.500% 7/15/2003 48.400 174.84 174.84 0.00 01/15/2028 DD 0l/0l/98SEC ID: 7/1/2003 36208FWLOOCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0457814 6.000% 7/15/2003 2.504.070 269.48 269.48 0.00 10/15/2028 DD 10/0l/98SEC ID: 7/1/2003 36208QSB3OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0465546 6.000% 7/15/2003 17.100.630 3,357.04 3,357.04 0.00 08/15/2028 DD 08/01/98SEC ID: 7/1/2003 36209AET3OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO 35 Workbench Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG0OOI0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT GNMA POOL #0465555 6.0000/4 7/15/2003 1,110.950 3,481.13 3,481.13 0.00 09/15/2028 DD 09/01/98SEC ID: 7/1/2003 36209AE48OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0466845 6.500% 7/15/2003 4,940.600 542.41 542.41 0.00 06/15/2028 DD 06/0l/98SEC ID: 7/1/2003 36209BTA6OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0467279 6.0000/4 7/15/2003 36.480 126.31 126.31 0.00 10/15/2028 DD 10/0l/98SEC ID: 7/1/2003 36209CCQ7OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0467286 6.000% 7/15/2003 661.930 2,484.82 2,484.82 0.00 10/15/2028 DD 10/0l/98SEC ID: 7/1/2003 36209CCX2OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0468052 6.5000/o 7/15/2003 1,509.580 3,693.78 3,693.78 0.00 07/15/2028 DD 07 /0l/98SEC ID: 7/1/2003 36209C5M4OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0468330 6.0000/o 7/15/2003 1,007.550 147.48 147.48 0.00 05/15/2028 DD 05/01/98SEC ID: 7/1/2003 36209DHF4OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0468339 6.0000/o 7/15/2003 19,188.460 2,413.66 2,413.66 0.00 08/15/2028 DD 08/0l/98SEC ID: 7/1/2003 36209DHQ0OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0469688 6.0000/o 7/15/2003 1,451.020 116.92 116.92 0.00 11/15/2028 DD ll/0l/98SEC ID: 7/1/2003 36209EXR8OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0476041 6.5000/o 7/15/2003 17,942.290 1,624.55 1,624.55 0.00 06/15/2028 DD 06/0l/98SEC ID: 7/1/2003 36209MZE7OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #04 78626 6.5000/o 7/15/2003 333.620 1,369.84 1,369.84 0.00 01/15/2029 DD 0l/01/99SEC ID: 7/1/2003 36209QVT9OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO 36 Workbencli. ... Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT GNMA POOL #0480598 6.500% 7/15/2003 34,712.010 1,756.30 1,756.30 0.00 10/15/2028 DD 10/01/98SEC ID: 7/1/2003 36209S3F6OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0483452 6.000% 7/15/2003 3,768.450 113.07 113.07 0.00 09/15/2028 DD 09/0l/98SEC ID: 7/1/2003 36209WBV3OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0485527 6.500% 7/15/2003 90,780.260 4,419.84 4,419.84 0.00 06/15/2031 DD 06/01/0lSEC ID: 7/1/2003 36209YLG 1 OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0485610 6.500% 7/15/2003 66.906.530 5.106.14 5,106.14 0.00 07/15/2031 DD 07 /01/0lSEC ID: 7/1/2003 36209YN38OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0485682 6.500% 7/15/2003 16,749.440 990.78 990.78 0.00 08/15/2031 DD 08/01/0lSEC ID: 7/1/2003 36209YRB6OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0485703 6.500% 7/15/2003 19,196.980 941.26 941.26 0.00 08/15/2031 DD 08/01/0lSEC ID: 7/1/2003 36209YRY6OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0486720 6.000% 7/15/2003 565.370 77.11 77.11 0.00 12/15/2028 DD 12/01/98SEC ID: 7/1/2003 36210AVM6OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0491103 6.000% 7/15/2003 9,681.240 777.25 777.25 0.00 01/15/2029 DD 0l/0l/99SEC ID: 7/1/2003 36210FRY4OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0496461 6.000% 7/15/2003 67,530.320 2,956.50 2,956.50 0.00 01/15/2029 DD 0l/0l/99SEC ID: 7/1/2003 36210MQN4OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0497343 6.000% 7/15/2003 3,016.380 151.67 151.67 0.00 12/15/2028 DD 12/0l/98SEC ID: 7/1/2003 36210NP45OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO 37 Workbench r OCS~CONSOLllM'l'l!D:OCSGOOOlOOOO Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT GNMA POOL #0499153 6.0000/o 7/15/2003 824.090 86.66 86.66 0.00 02/15/2029 DD 02/0l/99SEC ID: 7/1/2003 36210QQE5OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0500917 6.000% 7/15/2003 2,271.790 65.70 65.70 0.00 04/15/2029 DD 04/0l/99SEC ID: 7/1/2003 36210SPA0OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0503388 6.0000/o 7/15/2003 11,727.170 2,400.30 2,400.30 0.00 03/15/2029 DD 03/0l/99SEC ID: 7/1/2003 3621 0VF55OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0506636 6.0000/o 7/15/2003 2,903.760 234.94 234.94 0.00 04/15/2029 DD 04/0l/99SEC ID: 7/1/2003 36210YY90OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0512235 6.5000/o 7/15/2003 3,576.380 108.68 108.68 0.00 11/15/2029 DD ll/0l/99SEC ID: 7/1/2003 3621 IGBC6OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0514326 6.500% 7/15/2003 496.900 1,700.95 1,700.95 0.00 07/15/2029 DD 07 /01/99SEC ID: 7/1/2003 36211JLF2OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0530053 6.5000/o 7/15/2003 10,950.900 517.15 517.15 0.00 04/15/2031 DD 04/01/0lSEC ID: 7/1/2003 36212CZS3OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0530290 6.5000/o 7/15/2003 73.860 376.00 376.00 0.00 03/15/2031 DD 04/01/0lSEC ID: 7/1/2003 36212DC310CSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0537885 6.5000/o 7/15/2003 218.480 906.96 906.96 0.00 02/15/2031 DD 02/01/0lSEC ID: 7/1/2003 36212MRE1OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0547512 6.500% 7/15/2003 2,860.220 135.15 135.15 0.00 04/15/2031 DD 04/01/0lSEC ID: 7/1/2003 36212YGV9OCSF07522202: WNG TERM 7/15/2003 OPER-PIMCO 38 Workbencli -~l Transaction Detail Report ID: EWB009 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000I0000 7/1/2003 -7/31/2003 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT GNMA POOL #0547715 6.500% 7/15/2003 319.910 1,563.79 1,563.79 0.00 02/15/2031 DD 02/01/0lSEC ID: 7/1/2003 36212YN82OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0552322 6.500% 7/15/2003 11,088.140 637.36 637.36 0.00 01/15/2032 DD 01/01 /02SEC ID: 7/1/2003 36213ESK3OCSF07522202: LONG TERM 7/15/2003 OPER--PIMCO IT GNMA POOL #0552466 6.500% 7/15/2003 60,569.510 5,185.00 5,185.00 0.00 03/15/2032 DD 03/0'1 /02SEC ID: 7/1/2003 36213EW36OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0552659 6.500% 7/15/2003 72,412.590 4,326.07 4,326.07 0.00 07/15/2032 DD 07 /0 l /02SEC ID: 7/1/2003 36213E5UGOCSV07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA POOL #0561017 6.500% 7/15/2003 52,631.630 4,378.31 4,378.31 0.00 07/15/2031 DD 07 /01/0lSEC ID: 7/1/2003 36213QG29OC_SF07522202: LONG TERM 7/15/2003 OPER-PIMCO IT GNMA II POOL #0080023 VAR RT 12/20/20267 /21/2003 10,482.200 1,428.86 1,428.86 0.00 DD !2/01/96SEC ID: 7/1/2003 36225CAZ9OCSF07522202: LONG TERM 7/21/2003 OPER-PilVICO IT GNMA II POOL #080088M 7.375% 7/21/2003 17,607.370 1,906.63 1,906.63 0.00 06/20/2027 DD 06/01 /97SEC ID: 7/1/2003 36225CC20OCSF07522202: LONG TERM 7/21/2003 OPER-PIMCO IT GNMA II POOL #0080395 VAR RT 7/21/2003 16,212.500 1,335.60 1,335.60 0.00 04/20/2030 DD 04/01/00SEC ID: 7/1/2003 36225CNM4OCSF07522202: LONG TERM 7/21/2003 OPER-PlMCO IT GNMA II POOL #080408X 6.500% 7/21/2003 175,715.790 12,078.89 12,078.89 0.00 05/20/2030 DD 05/01/00SEC ID: 7/1/2003 36225CN28OCSF07522202: LONG TERM 7/21/2003 OPER-PIMCO IT GTE NORTH INC DEB SERA 6.000% 7/15/2003 3,000,000.000 90,000.00 90,000.00 0.00 01/15/2004 DD 0l/15/94SEC ID: 7/15/2003 362337AD9OCSF07522202: LONG TERM 7/15/2003 OPER-PIMCO 39 Workbench C Transaction Detail Report ID: EWB009 J Reported by Transaction Category Base currency: usD -OCSD-CONSOLIDA7."~D ~ ocs_G_o_oo_1_0_0_00 __________ 7 I 1/2003 _-_7_/_s_1_1_2_o_o_s~ ______________ s_t_at_u_s:_F_IN_AL ____ ,,_., Tran Trade Date Settle Date Reported Date Type Description IT IT IT IT IT GENERALELEC CAP MTN #TR00575 5.450%7/15/2003 01/15/2013 DD 12/06/02SEC ID: 3 6962GZY3OCSF07522202: LONG TERM OPER-PIMCO 7/15/2003 7/15/2003 GOLDMAN SACHS GROUP INC SR NT 4.125%7 /15/2003 01/15/2008 DD 01/13/03SEC ID: 7/15/2003 38141GCS10CSF07522202: LONG TERM OPER-PIMCO GNMA GTD REMIC TR 2000-9 FH VAR Rf 02/ 16/2030SEC ID: 3837H4NX9OCSF07522202: LONG TERM OPER-PIMCO JP MORGAN CHASE & CO SUB NT 5.750% 01/02/2013 DD ll/25/02SEC ID: 46625HAT7OCSF07522202: LONG TERM OPER-PIMCO 7/15/2003 7/16/2003 7/16/2003 7/16/2003 7/2/2003 7/2/2003 7/2/2003 US TREASURY INFLATION INDEX NT 3.375% 7/15/2003 0!/15/2007 D'D 0l/15/97SEC ID: 7/15/2003 9128272M3OCSF07522202: LONG TERM OPER-PlMCO 7/15/2003 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL INTEREST BASE: TOTAL TRANSACTIONS: Price Base Shares/Par 5,000,000.000 3,000,000.000 36,555.260 3,000,000.000 14,000,000.000 36,775,486.810 36,775,486.810 100,275,486.810 74,424,138.550 40 Cost Base 165,770.84 62,562.50 1,325.67 103,979.17 273,870.45 1,083,710.25 1,083,710.25 1,261,406.65 -48,389,289.26 Amount Base 165,770.84 62,562.50 1,325.67 103,979.17 273,870.45 1,083,710.25 1,083,710.25 1,261,406.65 11,271.85 ----------------- Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 o.oo 0.00 0.00 -123,164.08 -------- eelll .. add..,.s: PO Bolt8127 LtJ~W'lt111m Valley. CA 92728-8127 Anallelm Bnui BU8118Psrk FouM&i~ Fullsrwn GtH-clef'I ~ .ng«in Btllich lrvfflfl LIi ksbra LR ~/mtJ Los Alomtt.os ~lBIJBCh ~-;'.-: , Orange ( '" · · Plect1ntis ~Aha Seal Beoi;h Sr:ancvn Tustin Vi/ls Psrlc Yor"bBl,,l(lda IMtine. Ranch •RANGE C•UNlY SANITATION DISTRICT August 6, 2003 NOTICE OF MEETLNG FINANCE, ADMINIS·TRATION AND HUMAN RESOURCES COMMITTEE ORANGE COUNTY SANITATION DISTRICT WEDNESDAY, AUGUST 13, 2003 -5:00 P .M. DISTRICT'S ADMINISTRATIVE OFFICES 10844 ELLIS AVENUE FOUNTAIN VALLEY, CALIFORNIA 92708 WWW.OCSD.COM A regular meeting of the Finance, Administration and Human Resources Committee of the Boi1rd of Directors of the Orange County Sanitation District, will be held at the above location, date and time. Ta maintain world-class leadership in wastewater and water resource management. FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING DATES FAf-0~. Committee Meeting Date. August 13, 2003 September 10, 2003 October 8, 2003 November 12, 2003 December 10, 2003 Dark February 11, 2004 March 10, 2004 April 14, 2004 May 12, 2004 June 9, 2004 July 14, 2004 Board Meeting Dates August 27, 2003 September 24, 2003 October 22, 2003 *November 19, 2003 *December 17, 2003 January 28, 2004 February 25, 2004 March 24, 2004 April 28, 2004 May 26, 2004 June 23, 2004 July 28, 2004 *Meetings being held the third Wednesday of the month. ROLL CALL FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE Meeting Date: August 13, 2003 Time: 5:00 p.m. Adjourn: ___ _ COMMITTEE MEMBERS - Brian Brady (Chair) Roy Moore (Vice Chair) Alberta Christy Mike Duvall Bill Dalton Joy L. Neugebauer James W. Silva -- Shirley McCracken (Board Chair) --Steve Anderson (Board Vice Chair) OTHERS Tom Woodruff, General Counsel Steve Filarsky, Special Labor Counsel -- Don Hughes -- STAFF Blake Anderson, General Manager David Ludwin, Director of Engineering Bob Ooten, Director of O & M Lisa Tomko, Director of Human Resources Gary Streed, Director of Finance/Treasurer -- Patrick Miles, Director of Information Technology -- Robert Ghirelli, Director of Technical Services Carol Beekman, Communications Services Mgr Mike White, Controller Greg Mathews, Administrative Services Manager Penny Kyle, Committee Secretary Jeff Reed c: Lenora Crane AGENDA REGULAR MEETING OF THE FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE ORANGE COUNTY SANITATION DISTRICT WEDNESDAY, AUGUST 13, 2003, AT 5:00 P.M. ADMINISTRATIVE OFFICE 10844 Ellis Avenue Fountain Valley, California 92708 www.ocsd.com 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. All current agendas and meeting minutes are also available via Orange County Sanitation District's Internet site located at www.ocsd.com. Upon entering the District's web site, please navigate to the Board of Directors section. (1) ROLL CALL (2) APPOINTMENT OF CHAIR PROTEM, 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 three 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). Book Page 1 August 13, 2003 (4) REPORT OF COMMITTEE CHAIR (5) REPORT OF GENERAL MANAGER (6) REPORT OF DIRECTOR OF FINANCE (7) REPORT OF DIRECTOR OF HUMAN RESOURCES (8) REPORT OF COMMUNICATIONS SERVlCES MANAGER (9) REPORT OF GENERAL COUNSEL (10) CONSENT CALENDAR ITEMS Consideration of motion to approve all agenda items appearing on the Consent Calendar not specifically removed from same, as follows: )All matters placed on the consent calendar are considered-as not requiring discussion or fur:ther explanation and i i unless any particular item is requested to be removed from the consent calendar by a Director or staff member, ! i there will be no separate discussion of these items. All items on the consent calendar will be enacted by one t !action approving all motions, and casting a unanimous ballot for resolutions included on the consent calendar. All l. I items removed from the consent calendar shall be considered in the regular order of business. ! !The Chair will determine if any items are to be deleted from the consent calendar. \ :,,, .. •-••----••-•nn••-••--••--•••,..••••-••-••••••, ••••• • _.,.• .. •••••••••••• .. •••-• .. ••••• .. •~•••• ... ..,. .. , ... ,.. .. ,.,,, . ., ... ,,,, ••••••·•·••••· ... ..,. ......... -,' .. •--••••••-uo, .. oHoo ... ,,, ... _,,,,..,.,_,,,.,,,.,,, :. a. Approve minutes of the July 9, 2003 Finance, Administration and Human Resources Committee meeting. b. FAHR03-62 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of July 2003. The Treasurer's Report will be distributed at the FAHR Committee meeting in accordance with the Board-approved Investment Policy, and in conformance to the Government Code requirement to have monthly reports reviewed within 30 days of month end. c. FAHR03-63 Receive and file Certificate of Participation (COP) Monthly Report. d. FAHR03-64 Receive and file Employment Status Report as of July 24, 2003. e. FAHR03-65 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. 2 Book Page 2 August 13, 2003 f. FAHR03-66 Recommend to the Board of Directors to adopt Resolution No. OCSD 03-_, Amending Resolution No. OCSD 98-33, Amending Human Resources and Policies Procedures Manual. g. FAHR03-70 Recommend to the Board of Directors to receive and file the Quarterly Investment Management Program Report for the period April 1, 2003 through June 30, 2003. END OF CONSENT CALENDAR Consideration of items deleted from Consent Calendar, if any. (11) ACTION ITEMS a. FAHR03-67 Recommend to the Board of Directors to approve an Interest Rate Exchange Agreement Policy relating to long-term debt financing. (Gary Streed -15 minutes) b. FAHR03-68 Recommend to the Board of Directors to approve a Revised Debt Policy relating to short-and long-term borrowing by the District, providing for the limitation on debt issuance be restricted to all capital improvements that cannot be financed from current revenue. (Mike White -15 minutes) (12) INFORMATIONAL PRESENTATIONS a. FAHR03-69 Final Report on Sale of Series 2003 Certificates of Participation (Gary Streed-10 minutes) (13) CLOSED SESSION -;.••••••••••••-•-••• ......... ,,_..,,,-.•-•------------••-•-'"••• .. •• .... -,-~n•·••••-•••••-~-••• .. n•·••-•--•-•••••••••••-~-.. ,,~ .. •••-••-·~ i During the course of conducting the business set forth on this agenda as a regular meeting of the l,, 1 Committee, the Chair may convene the Committee in closed session to consider matters of pending real l estate negotiations, pending or potential litigation, or personnel matters, pursuant to Government Code -1 ~ Sections 54956.8, 54956.9, 54957 or 54957.6, as noted. I l Reports relating to (a) purchase and sale of real property; (b) matters of pending or potential litigation; (c) I ! employee actions or negotiations with employee representatives; or which are exempt from public disclosure .)=,:=: l 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 j on any of these subjects, the minutes will reflect all required disclosures of information. i ,,__ •. --•--•-• '•--·• .. ·~••w.•---•-• ·-··-· .. ·-.... 1 ........ •,-•.--·•••u' ...... _.,_ .. r ______ , .... ~ ........................................ ,_ ............................................... ., ......... --,-··------,_ .. ,_ ....... J A Convene in closed session. 3 Book Page 3 August 13, 2003 1. Confer with Lisa Tomko, Human Resources Director and Steve Filarsky, Special Labor Counsel, re International Union of Operating Engineers, Local 501 (Government Code Section 54957.6). 2. Confer with Lisa Tomko, Human Resources Director, re Unrepresented Groups' compensation and benefits (Government Code Section 54957.6). B. Reconvene in regular session. C. Consideration of action, if any, on matters considered in closed session. (14) OTHER BUSINESS, COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS, IF ANY (15) MATTERS WHICH A DIRECTOR MAY WISH TO PLACE ON A FUTURE AGENDA FOR ACTION AND STAFF REPORT (16) FUTURE MEETING DATES The next Finance, Administration and Human Resources Committee Meeting is scheduled for September 10, 2003, at 5 p.m. (17) ADJOURNMENT ! .. Notice to Com·~:~;;··~;;·b~;;;···· ... · ... "··-·· · ········"·-·-········-·····-······-· . I ! l For any questions on the agenda or to place any items on the agenda, Committee members should contact the I lCommittee Chair or Secretary ten days in advance of the Committee meeting. j l i Committee Chair: Brian Brady (949) 453-5300 ! Committee Secretary: Penny Kyle (714) 593-7130 pkyle@ocsd.com I 1 General Manager Blake Anderson (714) 593-711 0 banderson@ocsd.com 1 !Director of Finance Gary Streed (714) 593-7550 gstreed@ocsd.com j [Director of Human Resources Lisa Tomko (714) 593-7145 ltomko@ocsd.com ! \Administrative Services Manager Greg Mathews (714) 593-7104 gmathews@ocsd.com i l~~=·munication Servi~:~ .. ~.::.:~~.~ Carol B::~~-~~··-···---·~~~~~~~~~~---cb::~.~an@o~~.~-::~: ................ _ •.......... l In compliance with the Americans with Disabilities Act, if you need special assistance to participate in this meeting, please contact the Board Secretary's office at (714) 593-7130 at least 48 hours prior to the meeting to allow the District to make reasonable arrangements to ensure accessibility to this meeting. G:\wp.dta\agenda\FAHR\FAHR2003\0803\081303 draft FAHR Agenda.doc 4 Book Page 4 August6,2003 FAHR COMMITTEE AGENDA CALENDAR ., Month Item Action ' . ,, September Safety Policies Action September Consider Internal Auditing Firm Action September Consider General Managers Approved Purchases Action September Meet & Confer Status (if needed) Information October Consider Capital Facilities Capacity Charges Action October Consider Annexation Charge Policy Action November FY 02/03 Comprehensive Annual Financial Report Action November FY 03/04 First Quarter Investment Management Report Action November FY 03/04 First Quarter Financial Report Action November Employee Reclassification Recommendations Action BookPage5 MINUTES OF FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District Wednesday, July 9, 2003, 5:00 p.m. A meeting of the Finance, Administration and Human Resources Committee of the Orange County Sanitation District was held on July 9, 2003, at 5:00 p.m., in the District's Administrative Office. (1) The roll was called and a quorum declared present, as follows: (2) FAHR COMMITTEE MEMBERS: Directors Present: Brian Brady, Chair Roy Moore, Vice Chair Alberta Christy Bill Dalton Mike Duvall Joy Neugebauer Shirley McCracken, Board Chair Steve Anderson, Vice Board Chair Directors Absent: James W. Silva APPOINTMENT OF CHAIR PRO TEM No appointment was necessary. (3) PUBLIC COMMENTS STAFF PRESENT: Blake P. Anderson, General Manager Gary Streed, Director of Finance/Treasurer Lisa Tomko, Director of Human Resources Carol Beekman, Communications Services Manager Mike White, Controller Penny Kyle, Committee Secretary Jeff Reed Lisa Arosteguy Jan Collins OTHERS PRESENT: Tom Woodruff, General Counsel Steve Filarsky, Special Labor Counsel Randy Fuhrman Randy Fuhrman thanked those Directors who supported the 15% rate increase instead of 10%. However, he expressed concern that at 15%, the District would have a debt of $1 billion to pay. He also expressed support for the $350,000 increase in the temporary services contract being considered that evening. (4) REPORT OF THE COMMITTEE CHAIR Chair Brady reported that the FAHR Committee would be meeting on August 13 at 5:00 p.m. Book Page 6 Minutes of the Finance, Administration and Human Resources Committee Meeting Page2 June 11, 2003 (5) REPORT OF THE GENERAL MANAGER The General Manager had no report. (6) REPORT OF DIRECTOR OF FINANCE/TREASURER Gary Streed, Director of Finance/Treasurer, referred the Directors to the Treasurer's Report distributed to the Directors that evening, as well as two additional documents relative to the upcoming issuance of certificates of participation (preliminary official statement and a revised financing schedule). (7) REPORT OF DIRECTOR OF HUMAN RESOURCES The Director of Human Resources had no report. (8) REPORT OF COMMUNICATIONS SERVICES MANAGER Communications Services Manager Carol Beekman reported there would be a groundbreaking ceremony on July 14th beginning at 4:00 p.m. at the Orange County Water District for the initial microfiltration plant, which is an important component of the groundwater replenishment system. Updates were then provided on scheduled neighborhood meetings in regard to the Warner Avenue Relief Sewer Project and the Newport Beach Trunk Sewer Force Main Project. (9) REPORT OF GENERAL COUNSEL General Counsel had no report. (10) CONSENT CALENDAR ITEMS a. The Chair ordered that the June 11, 2003 minutes for the Finance, Administration and Human Resources Committee meeting be deemed approved, as mailed. b. FAHR03-55 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of June 2003. c. FAHR03-56 Receive and file Certificate of Participation (COP) Monthly Report. d. FAHR03-57 Receive and file Employment Status Report as of June 18, 2003. e. FAHR03-58 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. Book Page 7 Minutes of the Finance, Administration and Human Resources Committee Meeting Page 3 June 11 , 2003 f. FAHR03-62 Receive and file FY 2003-04 Excess Workers' Compensation and MOTION: General Liability Insurance Renewal staff report. It was moved, seconded and duly carried to approve the recommended actions for items specified as 1 0(a) through (f) under Consent Calendar. END OF CONSENT CALENDAR (11) ACTION ITEMS a. FAHR03-59 Recommend to the Board of Directors to: MOTION: 1. Approve an increase to the Temporary Employment Services Purchase Order contract authority for an additional $350,000, increasing the total authorized amount from $1 ,500,000 to an amount not to exceed $1,850,000 to pay additional expenditures for FY02/03; and, 2. Approve an increase to the Temporary Employment Services Purchase Order contract from $1,000,000 to an amount not to exceed $1,850,000 for FY03/04. Lisa Tomko gave a brief report on the District's utilization of temporary employment services, and discussed prior authorizations by the FAHR Committee and the Board of Directors. It was moved, seconded and duly carried to recommend approval to the Board of Directors. b. FAHR03-60 Recommend to the Board of Directors to receive the draft documents MOTION: supporting and authorizing the Series 2003 Certificates of Participation in an amount of $280 million and forward them to the Orange County Sanitation District Financing Corporation for approval at the July 23, 2003, meeting. Gary Streed referred to the Preliminary Official Statement and revised financing schedule distributed to the Directors that evening. The rating agencies a~e scheduled to meet with key staff on July 25th. Bids will be taken on August 121\ the Certificates of Participation (COP} should be issued on August 1311\ and the funding should be received on August 26th• It was also noted that the debt policy would need to be adjusted in August or September. Mr. Streed also advised the annual meeting of the Orange County Sanitation District Financing Corporation would be held in July, and the corporation would participate as a third party, as required, for the issuance of the COPs. It was moved, seconded and duly carried to recommend approval to the Board of Directors. Book Page 8 Minutes of the Finance, Administration and Human Resources Committee Meeting Page4 June 11, 2003 c. FAHR03-61 Recommend to the Board of Directors to adopt Resolution MOTION: No. OCSD03-_, Authorizing the District's Treasurer to Invest and/or Reinvest District's Funds; Adopting District's Investment Policy Statement and Performance Benchmarks for FY 2003/04; and Repealing Resolution No. OCSD02-13. Mike White, Controller, reported the investment policy must be reviewed on an annual basis, and briefly discussed two minor clarifications to the policy. It was moved, seconded and duly carried to recommend approval to the Board of Directors. (12) INFORMATIONAL PRESENTATIONS There were none. (13) CLOSED SESSION The Committee convened in Closed Session at 5:21 p.m. pursuant to Government Code Section 54957.6 to discuss and consider Agenda Item No. 13(a) (1). Agenda Item No. 13(a) (2) was removed for consideration. 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. There were no reportable actions taken by the Committee re Agenda Item No. 13(a) (1 ). RECONVENE IN REGULAR SESSION: At 5:41 p.m., the Committee reconvened in regular session. (14) OTHER BUSINESS; COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS. IF ANY Blake Anderson, General Manager, reported the annual fees for the State Water Regional Quality Centro.I Board (SWRQCB), which fund its administration costs, will be raised from $20 000 to $100,000. The formula for the annual fee is based on level of flows. At the request of Director Cook, Director McCracken asked the Directors if they would consider putting on a future committee agenda a discussion regarding the level of proactive staff feedback given at future board meetings when questions/comments arise from the public or Directors that may not be completely factual. The meeting of June 25th was ptovided as an example of when such comments occurred. Blake Anderson clarified that when the issue goes into discussion among the Directors staff does not participate or intervene unless a specific issue is raised or a specific question is asked of staff. It was also noted that city councils differ in terms of degree of interplay that occurs between senior staff and the council. Book Page 9 Minutes of the Finance, Administration and Human Resources Committee Meeting Page 5 June 11, 2003 Directors discussed the events of the June 25th meeting and made the following comments and observations: • The number of people within a home and their water usage needs to be considered in setting user rates. Some cities do limit the number of people, and a flat fee is not always appropriate. It was suggested in the future that staff investigate ways to determine water usage. • Staff should provide a list of capital improvement projects when rates are confirmed next year, with the projects prioritized and the impacts to the rate structure if a project is deferred. • Public outreach suggestions: o Place large signs strategically throughout the District's jurisdictional area listing upcoming projects, the benefits of the project, and the funding costs o Schedule presentations for a director(s) and staff member to jointly present to the Chambers of Commerce, Lions Club, Rotary Club and Kiwanis Club. (15) MATTERS WHICH A DIRECTOR MAY WISH TO PLACE ON A FUTURE AGENDA FOR ACTION AND STAFF REPORT There were none. (16) CONSIDERATION OF UPCOMING MEETINGS The next FAHR Committee meeting is scheduled for August 13, 2003 at 5 p.m. (17) ADJOURNMENT The Chair declared the meeting adjourned at 6:15 p.m. Submitted by: Penny M yle FAHR Committee Seer ry G:\wp.dta\agenda\FAHR\FAHR2003\0503\051403 FAHR Minutes.doc Book Page 10 FAHR COMMITTEE Meeting Date To Bd. of Dir. 08/13/03 AGENDA REPORT Item Number Item Number FAHR03-63 Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller SUBJECT: CERTIFICATES OF PARTICIPATION (COP) MONTHLY REPORT-JULY 2003 GENERAL MANAGER'S RECOMMENDATION Receive and file Certificates of Participation (COP) Monthly Report for the month of July 2003. SUMMARY The District began issuing Certificates of Participation (COPs) on a variable interest rate basis in 1990. These variable rate COPs were a part of our long-term financing plan which also included some more traditional fixed rate borrowing. In 1992 and 1993, some of the fixed rate COPs were refunded and replaced with synthetic-fixed rate COPs. These are variable interest rate COPs that are also subject to a long-term fixed-rate interest exchange agreement (SWAP). The SWAP provides the maximum interest rate to be paid by the District, and is less costly than traditional fixed rate borrowing. In August 2000, the entire financing program was restructured and modernized to incorporate and take advantage of the consolidation of District books of account and revenue structure. This process has reduced the number of COP issues from five to three; 1992 Refunding COPs, 1993 Refunding COPs and 2000 Refunding COPs. The 2000 COPs can be divided into Series A and Series B, if additional remarketing agents are desired. Variable interest rate COPs can be put back on the market by the buyer each day. When this happens, they must be remarketed or sold to another buyer. This process, called remarketing, is generally provided by a municipal bond underwriter. The remarketing agent sets the interest rate they believe is required to sell the COPs. Some issuers believe that having more than one remarketing agent promotes competition and results in lower interest costs. Staff has monitored variable interest rate issues of other agencies since the inception of our program. The attached charts are described in the "Additional Information" section of this agenda report. They are provided monthly to compare our actual interest rates to a composite index, and to other selected issuers of similar credit quality, and with COP issues of similar amounts. Many variables affect interest rates, but staff expects our rates to be among the lowest. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECT/CONTRACT COST SUMMARY N/A Book Page 11 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. [gl Not applicable (information item) ADDITIONAL INFORMATION The first graph entitled, "OCSD COP Rate History Report," shows the actual variable interest rates paid 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 "swap." 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 N/A CEQA FINDINGS N/A 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:MW:lc G:\wp.dtalagenda\FAHR\FAHR2003\0803\03-63.COP.doc Revised: 06/04/03 Book Page 12 Page2 t,:j ~ l (1) .... w Prepared by Finance, 8/6/2003, 11:10 AM COMPARATIVE DAILY COP RATE HISTORY REPORT July 2003 4.00 -,-----~!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!'!!'!""""""'!'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!t.---, 3.00 -t--------------------------------------------------t -~ 0 -w 2.00 ... ~ r:c ----------.. 1.00 --------~ ~ -f-----... 1 I Iii "' Ii t .. ~1 i'l 1,, i "' 'II 0.00 ,~ ,.jl "'' ""' -I DATE ~ C\J C\J C\J C\J C') C') C') C') C') C') C') 0 0 0 0 0 0 0 0 0 0 0 oi ci tf ~ 0 c ..0 ..:-..:-i c :i :, Q) Q) l'U Q) l'U a. ::, < (IJ 0 z Cl -:, LL ~ < ~ -:, -:, COCSD CJ COMPOSITE INDEX G:\excel.dta\fin\2220\geggi\Finance\dallycopintrate.xls Aug-02 Sep-02 Oct-02 Nov-02 Dec-02 Jan-03 Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 AVERAGE ESTIMATED ANNUAL INTEREST PAYMENTS PER $100M PAR AMOUNT $ *FOOTNOTE DAILY COP RATE HISTORY COMPARISON OF MONTHLY AVERAGES AUG 2002 -JUL 2003 OCSD $218.6M $46M Series 2000 Series 93 Ref Composite PaineWebber PaineWebber Index* 1.24 1.24 1.23 1.39 1.39 1.40 1.61 1.61 1.60 1.33 1.33 1.32 1.05 1.05 1.04 0.85 0.85 0.85 1.05 1.05 1.04 1.05 1.05 1.05 1.16 1.16 1.15 1.21 1.21 1.19 0.99 0.99 0.98 0.67 0.67 0.68 1.13% I 1.13% 1.13% 1,133,333 I $ 1,133,333 I$ 1,127,500 Composite index consists of the following COP transactions: . IRWD, Series 86-COP, 88, 95, $106.1 M, Solomon Smith Barney . IRWD, Series C-Ref 93-B, 85-B, $62.1 M, Lehman Brothers • IRWD, Series 91, 93, 85, $93.0M, PaineWebber . IRWD, Series 89, C-Ref 93-A, C-Ref 95, $70.9M, Merrill Lynch . Western Riverside Co. Reg. Wastewater Auth., Series 96, $25.4M, PaineWebber . Orange Co., Irvine Coast Asst. Dist. 88-1, $94.5M, J.P. Morgan 1.5 1.25 -~ ~ LI.I ~ 1 a: 0.75 COP RATE HISTORY COMPARISON OF HIGHEST & LOWEST RATES : : Anc 03 Mey 03 .1110 na lrtl 03 HIGH LOW ISB/IRWO LEH/IRWD I IPWMtWD I IPW/IRWD l lPW/00S0 .._ _______ ___,._M_ER_Y_U_IR_w_o _____ ..... ._M_ER_Y_u_1Rw_o _____ ____,._M_ER_Y_u_1R_w_o _____ _, ILEH/IRWD MERYUIRWO g Highest rate • OCSD/PW 2000 • OCSD/PaineWebber • Lowest rate G:\excel.dta\fin\2220\geggi\Finance\RATEHIST_HILO_bargraph Prepared by Finance, 8/6/2003, 11 :11 AM eo-1nr-ec:: eo-1nr-s eo-unr-sc:: eo-unr-~ ~ t-eo-~ew-ec:: a: eo-~ew-11~ 0 CL eo-Jdy-oe w a. ctl a: eo-Jdy-g~ s: OC/) > 0 C: eo-Jdy-i OQ> a: C\J(!} s8 0 t0•JBL'\1·6~ CLCJ) t-++ Cl) t0•JBW-9 -CW) :c 0 eo-qa.:1-6~ 0 w N C') 0) t-eo-qa,:1-g .... Q) ~ > .0 .0 0. ~. ..J eo-uer-c::i Q)n, ss: ::, Q)CJ) > -:, eo-uer-e £c, CG-..J CL<( -c::o-oaa-sc:: ++ ~ C c::o-oaa-~~ CL 0 i0•I\0N-LC:: 0 i0·I\ON·£~ C Cl) io-100-oe 0 0 io-100-9~ ,.._ Ol i--: c::0-100-c:: Cf) :E :a: w <( !-c::o-das-e~ <( .,.... a: .,.... .,.... Q) .,.... 0 c::o-das-t C: (') «J C: 0 u:: 0 N =§, (0 c::o-6ny-~c:: Cl tO Q) C1i l 0 c::o-6nv-L N C: N «J ~ C: iI C: >, II) '11:t' Cf) 'I"'" 0 I .a "O (%) 3.lYl:I w !!! ~ Q) «J ~ c.. !!! C ~ a.. C!i Book Page 16 FAHR COMMITTEE Meeting Date 08/13/03 AGENDA REPORT Item Number FAHR03-64 Orange County Sanitation District FROM: Lisa Tomko, Director of Human Resources Originator: Lisa Arosteguy, Human Resources Supervisor SUBJECT: EMPLOYMENT STATUS REPORT AS OF AUGUST 4, 2003. GENERAL MANAGER'S RECOMMENDATION Receive and file the Employment Status Report. SUMMARY The number of full-time equivalent (FTE) employees at the District is 543.25 as of August 4, 2003. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECT/CONTRACT COST SUMMARY N/A BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. 0 This item has not been budgeted. rgj Not applicable (information item) ADDITIONAL INFORMATION The actual number of employees (headcount) is 552 as of August 4, 2003. There was one promotion during the month of July: To Bel. of Dir. 08/27/03 Item Number • Julie Matsumoto, Principal Financial Analyst to Accounting Supervisor (Accounting). There were four new hires during the month of July: • Senior Information Technology Analyst (Process Control Integration) • Administrative Assistant (0 & M Collection Facilities Maintenance) • Information Technology Technician I (Customer & Network Support) • Source Control Inspector II (Source Control) C:\Documents and Settings\pope\Local Settings\Temporary Internet Files\OLKBF\03-64.EE Status.doc Book Page 17 - ALTERNATIVES N/A CEQA FINDINGS NIA ATTACHMENTS 1 . August 4, 2003 Employment Status Report 2. Performance compared to budgeted FTE's Book Page 18 Page 2 Employment Staffing Report SUfJIM~RY AUTHORIZED FTE ACTUAL FTE LOA Vacancies DIV REG 0.50 0.75 TOTAL REG 0.50 0.75 TOTAL 110 2.00 --Ii 2.00 2.00 . . 2.00 . - 120 8.00 0.50 -II 8.50 8.00 0.50 . 8.50 1.00 . 130 7.00 . . 7.00 6.00 . . 6.00 -1.00 ll 210 2.00 -. 2.00 2.00 . . 2.00 . - 220 18.00 . . 18.00 15.00 . 0.75 15.75 . 2.25 230 19.00 0.50 -19.50 17.00 1.00 . 18.00 . 1.50 420 28.00 1.00 -29.00 20.00 0.50 . 20.50 . 8.50 430 31.00 1.00 -32.00 27.00 1.00 . 28.00 1.00 4.00 510 5.00 . . 5.00 4.00 . . 4.00 . 1.00 Interns 9.00 . . 9.00 . 4.50 . 4.50 . 4.50 520 3.00 . -3.00 2.00 . . 2.00 -1.00 530 7.00 . -7.00 7.00 . . 7.00 . . 540 6.00 . . 6.00 6.00 . -6.00 . - 610 2.00 . -2.00 2.00 . -2.00 . . 620 21.00 . . 21.00 20.00 . . 20.00 1.00 1.00 630 36.00 1.00 . 37.00 30.00 2.00 . 32.00 1.00 5.00 640 40.00 -. 40.00 37.00 . . 37.00 . 3.00 710 3.00 --3.00 3.00 . -3.00 . . 740 14.00 --14.00 12.00 . . 12.00 . 2.00 750 14.00 -0.75 14.75 12.00 . 0.75 12.75 . 2.00 760 48.00 -. 48.00 46.00 . -46.00 1.00 2.00 810 2.00 . -2.00 2.00 . . 2.00 . - 820 14.00 0.50 -14.50 11.00 0.25 . 11.25 3.25 830 40.00 0.50 0.75 41.25 35.00 . 0.75 35.75 1.00 5.50 840 45.00 0.50 -45.50 43.00 0.50 . 43.50 . 2.00 850 55.00 0.50 -55.50 54.00 0.50 . 54.50 . 1.00 860 54.00 0.50 . 54.50 52.00 . . 52.00 1.00 2.50 880 11.00 -. 11.00 9.00 -. 9.00 . 2.00 910 2.00 . -2.00 2.00 . . 2.00 -. 930 17.00 . . 17.00 16.00 . . 16.00 2.00 1.00 940 12.00 . . 12.00 10.00 . . 10.00 . 2.00 950 13.00 . -13.00 10.00 . . 10.00 . 3.00 --------- TOTALS 588.00 6.50 1.50 522.00 10.75 2.25 --------- TOTAL I TOTAL I TOTAL TOTAL AUTHORIZED FTE ACTUALFTE LOA VACANCIES 596.00 535.00 9.00 61.00 C:\Documents and Settings\pope\Local Settings\Temporary Internet Files\OLKBF\03-64.1 8/6/2003 Book Page 19 STAFFING REPORT 600 596 590 580 570 t;J:i 0 0 -+-AUTHORIZED ~ 560 'ti ~ FTE (J(l (1) N -a-ACTUAL 0 550 FTE 543.25 540 530 520 510 JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC F.AHR COMMITTEE AGENDA REPOJlT Orange County Sanitation District FROM: Lisa L. Tomko, Director of Human Resources Originator: Jim Matte, Safety & Health Supervisor Meeting Date To Bd. of Dir. 08/13/03 08/27/03 Item Number Item Number FAHR03-65 SUBJECT: OSHA Incidence Rates and Workers' Compensation Claims and Costs Report GENERAL MANAGER'S RECOMMENDATION Receive and file the OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. SUMMARY Safety and Health Division staff track OSHA Incidence Rates for DART * Cases (DART Incidence Rate) and Total Accidents (Total Injury Frequency Rate). There were six DART Cases District-wide for the period of January-June 2003. The industry average is 5.4 for the DART Case Incidence Rate while the District Incident Rate is 2.29 for the period of January-June 2003. There have been seven OSHA Recordable Accidents District-wide for the period of January-June 2003. The industry average is 9.0 for the Total Injury Frequency Rate while the District Incident Rate is 2.67 for the period of January-June 2003. * DART is an acronym that stands for Days Away, Restricted, or Transfer and replaces the phrase Lost Workday. The Division also tracks the District's Workers' Compensation Claims and Costs. The District's claim count for Fiscal Year 2002-2003 is 17. Five of these claims are still open. The costs associated with these claims for year-to-date is $54,000.95, which includes medical bills, temporary disability payments, legal costs and a claim reserve account. PRIOR COMMITTEE/BOARD ACTIONS NIA PROJECT/CONTRACT COST SUMMARY N/A Revised: 06/04/03 Book Page 21 Page 1 BUDGET IMPACT 0 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. cgj Not applicable (information item) ADDITIONAL INFORMATION The District had six DART cases and one other injury that required medical treatment for the period of January through June 2003. The reporting period is for 45 days prior to committee meeting. ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS 1. OSHA Incidence Rates Reports for DART Cases and Total Injuries 2. Worker's Compensation Claims and Costs Revised: 06/04/03 Book Page 22 Page2 Safety Division DART Cases District-Wide There have been six DART Cases in 2003 (January -June) (DART -Days Away, Restricted or Transfer; replaces Lost Work Day.) 1999 DART Cases 2000 2001 C-alendar Year 2002 2003 OSHA Incidence Rates District-Wide The industry average is 5.4 and the DART Incidence Rate for the district is 2.29 for 2003 (January -June). The OSHA rate is calculated by multiplying the number of injuries by 200,000 and dividing the sum by total hours worked. The rate is also based on the data for the calendar year so the rate will change as the number of hours worked increases. (I) 5.00 "la 4.00 a: (I) 3.00 0 C 2.00 (I) :g 1.00 0 .5 0.00 1999 OSHA Incidence Rates DART Cases 2000 2001 Qilendar Year 2002 2003 Book Page 23 Total Injuries District-Wide There have been seven OSHA Recordable Accidents for 2003 (January-June) Total OSHA Recordable Accidents 0Jg 60 to i j ~±-Dcu:o---r:-i-- 1999 2000 2001 calendar Year 2002 2003 OSHA Incidence Rates District-Wide The Total Injury Frequency Rate is a combination of the DART Cases and the cases that require Other Medical Treatment. The industry average for Total Injury Frequency rate is 9.0 and the district rate is 2.67 for 2003 (January-June). First Aid cases are not included in the calculation of this rate. 10.00 ~ 8.00 a: Q) 6.00 u C 4.00 Q) "O ·13 2.00 .£ 0.00 OSHA Incidence Rate Total Injuries 1999 2000 2001 Calendar Year 2002 2003 Book Page 24 Workers Compensation Claims and Costs The Workers Compensation Claims and Cost are reported by fiscal year. The DART and Total Injury graphs shown above are calendar year rates as required for OSHA recordkeeping. All claims and medical invoices are reviewed by a third party to ensure that proper medical treatment is provided for injured employees and the costs for the treatment are within established guidelines. The medical bills reviewed July 2002 -June 2003 totaled $274,177.35. Medical treatment costs are charged to the fiscal year in which the injury occurred. All open claims have the potential to incur additional cost. After the medical review process, the amount was reduced to $151,684.81, which resulted in savings of $122,492.54 for the current fiscal year. Workers Compensation Claims and Costs Fiscal Period Claim Count Open Claims Total Incurred 7/1/85 -6/30/86 38 0 $270,712 7 /1 /86 -6/30/87 53 0 $99,933 7 /1 /87 -6/30/88 51 0 $173,583 7 /1 /88 -6/30/89 41 0 $153,481 7/1/89 -6/30/90 61 0 $287,232 7/1/90-6/30/91 76 0 $121,978 7/1/91 -6/30/92 58 1 $205,094 7 /1 /92 -6/30/93 58 0 $93,198 7/1/93 -6/30/94 47 0 $217,922 7 /1 /94 -6/30/95 46 0 $276,359 7 /1 /95 -6/30/96 46 1 $191,323 7 /1 /96 -6/30/97 36 1 $377,924 7/1/97 -6/30/98 45 1 $1,026,722 7/1/98 -6/30/99 38 3 $353,908 7 /1 /99 -6/30/00 43 4 $346,808 7/1/00-6/30/01 32 4 $430,832 7/1/01 -6/30/02 30 9 $215,008 7/1/02-6/30/03 17 5 YTD $54,000 "Total Incurred" includes medical bills, temporary disability payments to employees, legal costs, and a claim reserve account. Book Page 25 Meeting Date To Bd. of Dir. FAHR COMMITTEE 8/13/03 08/27/03 AGENDA REPORT Item Number Item Number FAHR03-66 Orange County Sanitation District FROM: Lisa Tomko, Director of Human Resources Originator: Lisa Arosteguy, Human Resources Supervisor SUBJECT: CHANGES AND ADDITIONS TO HUMAN RESOURCES POLICIES AND PROCEDURES AS AUTHORIZED BY RESOLUTION 98-33. GENERAL MANAGER'S RECOMMENDATION Adopt Resolution No. OCSD 03-_, amending Resolution No. OCSD 98-33, amending Human Resources Policies and Procedures Manual. SUMMARY The attached policies are routine updates or additions to maintain consistent language with the Memorandums of Understanding (MOU) and/or new legislation or to explain procedures more clearly. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECT/CONTRACT COST SUMMARY N/A BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. [81 Not applicable (information item) ADDITIONAL INFORMATION Policy Number From To Reason for Change and Subject C150.00 Deferred Compensation Current Language. Delete Policy. Deletion of policy. C190.00 Variable Non-Base Pay Current Language. Revised Language. Revisions for consistency with Travel Policy. C:\Documents and Settings\pope\Local Settings\Temporary Internet Files\OLKBF\03-66.HR PP.doc Revised: 6/6/2003 Page 1 Book Page 26 ALTERNATIVES NIA CEQA FINDINGS N/A ATTACHMENTS 1. Polic.;;y 0190.00, Variable Non-Base Pay 2. Resolution No. OCSD 03-_ d:ld<ic-Omen1s·and,$attlng~\pope\Lcca)' s~t\lng,;\ Temporary Internet Rlea\OLKBF\03--66.H R PP .doc Page2 Book.Page27 R"evised: 816/2!>03, ~ Orange County Policy Number: C190.00 Sanitation District Effective Date: August 27, 2003 - Subject: Variable Non Base Pay Supersedes: f=ebFUaFy a&, ~003 Approved by: 1.0 PURPOSE 1.1 The purpose of this policy is to establish uniform guidelines and procedures for variable pay other than basic hourly rate. This variable pay includes: overtime pay for non-exempt employees, acting pay, call-back pay, standby pay, providing unscheduled overtime meals, severance pay and differential shift pay. 2.0 ORGANIZATIONAL UNITS AFFECTED 2.1 2.2 2.3 2.4 Overtime pay for non-exempt applies to all District employees represented by the Engineering Unit, Technical Services Unit, Administrative/Clerical Unit, Operations and Maintenance and nonexempt confidential positions. Acting pay, unscheduled overtime meals and severance pay applies to all District employees regardless of their organizational unit. Call-back pay and standby pay applies to all non-exempt District employees regardless of their organizational unit. Shift differential pay applies to all District employees who are covered by an MOU that entitles them to shift differential pay. 3.0 DEFINITIONS 3.1 Acting means performing substantially all of the duties of a vacant budgeted position with a higher maximum rate of pay. 3.2 Call-back pay is paid to an employees by the District when an employee is called back to work by management without prior notice, and the employee has completed his or her normal work shift and left the plant, or when prior notice is given but the work begins on the same day at least three hours after completion of the regular shift, the employee shall receive a minimum of three hours of call- back pay. 3.3 Non-Exempt employees who are covered by the minimum wage and overtime provisions of the Fair Labor Standards Act, as amended. Such employees, because of the type of work that they perform and their earnings level, are subject to receiving overtime pay in addition to any entitlement otherwise provided for in applicable Memoranda of Understanding or other policies. 3.4 Overtim~ is the number of hours in paid status in excess of 40 during a workweek. 3.5 Salary Range is the approved salary minimum and approved salary maximum for each pay grade in the District's approved compensation structure. Page 1 of5 Book Page 28 3.6 Standby is time during which an employee is not required to be at the work location or at the employee's residence but is required to be available for immediate return to work. 3.7 Workweek means a seven-day period starting at 12:01 a.m. Friday and ending at midnight on the following Thursday. If a work shift begins on Thursday before midnight but ends any time after midnight on Friday, all hours worked on that shift are considered to be worked on Friday. 4.0 POLICY 4.1 OVERTIME PAY FOR NON-EXEMPT EMPLOYEES 4.1 .1 Non-exempt employees who qualify for overtime compensation for work beyond their normal schedule shall be paid one-and-a-half times their regular rate of pay in accordance with the procedures listed in section 5.1. 4.2 ACTING PAY 4.2.1 It is District policy to compensate employees, for performing substantially all of the duties of a vacant budgeted position with a higher maximum rate of pay in accordance with the procedures listed in section 5.2. 4.2.2 Acting pay status shall continue for a maximum of six months. 4.3 CALL-BACK PAY 4.3.1 It is District policy to compensate employees for call-back pay in accordance with the procedure listed in section 5.3. 4.4 STANDBY PAY 4.4.1 An employee covered by a Memorandum of Understanding provision for standby pay who is placed on standby shall be compensated at the rate of two hundred dollars per week, and will also receive call-back pay when they are actually called to work in accordance with the procedures listed in section 5.4. 4.5 UNSCHEDULED OVERTIME MEALS 4.5.1 It is District policy to provide employees with money for meals or food service when they are required to serve unscheduled overtime in accordance with the procedure listed in section 5.5. 4.6 SEVERANCE PAY 4.6.1 Employees are expected to give a minimum of two weeks written notification when resigning from employment with the District. The District will follow the procedures for a Notice of Intent to Separate as listed in section 5.6. Page 2 of5 Book Page 29 4.7 SHIFT DIFFERENTIAL PAY 4. 7 .1 It is District policy to compensate employees for shift work outside normal business hours at an hourly rate above their normal hourly rate in accordance with the procedures listed in section 5.7. 5.0 PROCEDURE 5.1 OVERTIME PAY FOR NON-EXEMPT EMPLOYEES 5.1.1 When an employee's work schedule requires that they work on an observed holiday, the employee may opt to be paid at two-and-one-half times their regular rate of pay for the holiday or to be paid at one-and- one-half times their regular rate and receive an amount of Holiday Compensatory Time Off equivalent to the number of hours in the shift. Normally, employees that accumulate in excess of fifty hours of Holiday Compensatory Time Off will be scheduled to take such excess time off or be paid for the excess accumulated Holiday Compensatory Time Off at the convenience of the District. For good reason, the Department Head may allow Holiday Compensatory Time Off to be accumulated in excess of fifty hours. 5.2 ACTING PAY 5.2.1 Employees who are temporarily assigned by District management to perform substantially all of the duties of a higher level classification for a period of at least 100 consecutive hours will be eligible for a salary increase, for further continued service in the higher classification. 5.2.2 For service beyond 100 consecutive hours, pay shall be 5.5% higher than the employee's current rate of pay, or at the minimum of the pay range for the acting position, whichever is greater. 5.2.2.1 The higher rate of pay begins with the 101 st hour, and continues until the assignment ends. 5.2.2.2 Requests for acting pay require the approval of the employee's Department Head and the Director of Human Resources. 5.3 CALL-BACK PAY 5.3.1 When an employee is called back to work by the District without prior notice, and the employee has completed his or her normal work shift for that day and left the work site, or when prior notice is given by the District, but the work begins on the same day at least three hours after completion of an employee's regular shift, the employee shall receive a minimum of three hours of call-back pay. The three hours minimum, whether or not actually worked, shall be paid at the rate of one and one half times the employee's regular hourly rate. If the actual work time exceeds three hours, the employee will be compensated for that time as well, except that no employee may work for or be compensated for more than 16 hours in a 24-hour period. Employees who are called back a second time within a normal shift period are considered to be working for the duration of that shift. Page 3 of5 Book Page 30 5.4 STANDBY PAY 5.4.1 Standby assignments shall first be made on a voluntary basis. 5.4.2 A volunteer standby list shall be established by classification and job location. 5.4.3 Standby assignments shall be made from the list of employees who are competent and experienced, in alphabetical order, on a rotating basis. 5.4.4 In the event that no one volunteers, the District shall, on a rotational basis, assign standby by job classification and work location from employees who are competent and experienced. 5.5 UNSCHEDULED OVERTIME MEALS 5.5.1 When employees are required to work overtime due to an emergency and actually work at least five hours, or due to an unanticipated extension of their regular workday that includes a regular meal period, an emplo_lee is entitled to per drem1• reimbursement for the· ~prepriate meal(s) in addition to any compensation for time worked. The "per diem" ,c\llloun shall not to &xc~ed the indi idual maximums for meals per the Federal Meals Incidental Expense Baf~s found in the €ode of Federal 'Regulations 501-1 1 .· 18. The file containing the daily· rates ,and gbveming destinaftons 1s aceessil)le -through:··g:~G1tgfoba\forms\tra/ning and eetfn.gs -aJ.JthorizatJons and exgerlses\02"03 Per Diem Rates. Rece'ipfs are not re uirea to receive " er giern11 re1111bursement aarua1 cost of a meal, not to o~eed $5.00 for breakfast, $7.00 for lunch or $15.00 for dinner Receipts ml.1st be submitted to the Accounting Division for expense reimbursement. 5.5.2 In lieu of cash reimbursement, the District may provide actual food service to the employees. 5.6 SEVERANCE PAY 5.6.1 When a full-time regular employee is separated from employment by action of the District, except for disciplinary cause, the employee will be notified in writing through a Notice of Intent to Separate two weeks prior to the effective separation date. The notification period for employees on unpaid leave will be reduced by the number of calendar days of such leave. In the event such notification is not given, the employee shall be entitled to severance pay in accordance with the formula set forth below: 5.6.1.1 Full-time, employees shall be entitled to eight hours pay for each full calendar month of continuous employment not to exceed one hundred sixty hours pay, or as may be determined by the General Manager. 5.6.1.2 Employees in limited term or part-time classifications, and employees who are dismissed for cause, are not eligible for severance pay under any circumstances. Page4of5 Book Page 31 5.7 SHIFT DIFFERENTIAL PAY 5.7.1 Employees who are regularly assigned to work a night shift that consists of 50% or more of their hours between 6 p.m. and 6 a.m., and who actually work that shift, shall receive a shift differential of $2.50 per hour. 6.0 EXCEPTIONS 6.1 Acting pay -the 100-hour eligibility period may be waived at the discretion of the General Manager. 7.0 PROVISIONS AND CONDITIONS 7.1 7.2 Standby pay -a standby list will be developed by the Operations and Maintenance Department weekly, and it shall be posted at both the Plant No. 1 Control Center and at the Plant No. 2 Operations Center. Severance pay -employees who are dismissed for cause will not receive a Notice of Intent to Separate under the provisions of the policy. 8.0 RELATED DOCUMENTS 8.1 Overtime pay non-exempt employees -Fair Labor Standards Act 8.2 ifederaJ Meals and Incidental E)Cpense Aa1es per C.0de of Federal Regulations (CFR 3@1-11.18) 8.3 Polio C100, Unscheduled Overtime Meals 8.4 Policy C110, Travel PeliG;Y, Page 5 of 5 Book Page 32 RESOLUTION NO. OCSD 03-_ AMENDING RESOLUTION NO. OCSD 98-33 A RESOLUTION OF THE BOARD OF DIRECTORS OF ORANGE COUNTY SANITATION DISTRICT AMENDING THE HUMAN RESOURCES POLICIES AND PROCEDURES ***"lrk1dc****************~***-,,...Jt. The Board of Directors of Orange County Sanitation District, DOES HEREBY RESOLVE, DETERMINE AND ORDER: Section 1: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by deleting Policy No. C150.00, Deferred Compensation. Section 2: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending C190.00, Variable Non-Base Pay, set forth in Attachment No. 1, attached hereto and incorporated herein by reference. Section 3: That all other terms and conditions of Resolution No. OCSD 98-33, as previously recommended, shall remain in full force and effect. Section 4: That all future amendments to Resolution No. OCSD 98-33 be made by Resolution. PASSED AND ADOPTED at a regular meeting held August 27, 2003. Chair ATTEST: Board Secretary C:\Documents and Settings\pope\Local Settings\Temporary Internet Files\OLKBF\03-66.2.doc Book Page 33 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller Meeting Date To Bel. of Dir. 08/13/03 08/27/03 Item Number Item Number FAHR-70 SUBJECT: QUARTERLY INVESTMENT MANAGEMENT PROGRAM REPORT FOR THE PERIOD APRIL 1, 2003 THROUGH JUNE 30, 2003 GENERAL MANAGER1S RECOMMENDATION Receive and file the Quarterly Investment Management Program Report for the period April 1, 2003 through June 30, 2003. 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 NIA 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. [8] Not applicable (information item) C:\Oocuments and Settlngslpope\Local Settings\Temporary Internet Files\OLKBF\03-70.Qtly Investment Apt.doc Revised: 8/20198 Book Page 34 Page 1 ADDITIONAL INFORMATION Performance Reports The Quarterly Strategy Review, prepared by PIMCO, and the Investment Measurement Service Quarterly Review, prepared by Callan Associates, are attached for reference. Also attached are Long-Term and Liquid Operating Monies Summary of Performance Data and Portfolio Statistics charts that depict the performance results, estimated yield and duration, credit quality, and sector diversification of the District's portfolios, as of March 31, 2003 and June 30, 2003. 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 April 1 through June 30, 2003. Portfolio Pertormance Summary . Quarter Ended June 30, 2003 Liquid Operating Monies (%) Long-Term Operating Monies(%) Total Rate Total Rate of of Return Benchmark(1) Return Benchmark<1> 3 Months 0.31 0.28 1.46 1.66 6 Months 0.67 0.59 2.64 2.81 9 Months 1.18 0.98 3.74 4.19 12 Months 1.66 1.41 7.34 7.78 Since inception 30 Sept. 95 4.89 4.38 6.88 6.85 Market Value $66.5M $329.7M Average Quality "AAA" '~MA11 Current Yield(%) 3.4 4.8 Estimafed Yield to Maturity(%) 1.3 2.1 Quarterly Deposits (Withdrawals) $16.8 $0.0M Estimated Annual Income $2.2M $14.6M (1) Benchmarks: • Liquid Operating Portfolio: 3-Month Treasury Bill Index • Long-Term Operating Portfolio: Merrill Lynch Corp/Govt. 1-5 Year Bond Index Portfolio Market Values Comparative marked-to-market quarter-end portfolio values are shown in the following table, and in the attached bar chart. Liquid Long-Term Quarter Operating Operating Ending Monies ($M) Monies ($M) 30 Sept. 02 44.1 317.8 31 Dec. 02 64.3 321.2 31 Mar. 03 49.6 325.0 30 June 03 66.5 329.7 C:\Documents and Settings\pope\Local Settings\Temporary Internet Files\OLKBF\03-70.Qtly Investment Apt.doc Revised: 8/20198 Book Page 35 Page 2 District's Investment Account Balances as of June 30, 2003 Investment Accounts State of Calif. LAIF Union Bank Checking Account PIMCO -Short-term Portfolio PIMCO -Long-term Portfolio Petty Cash TOTAL Debt Service Reserves w/Trustees ALTERNATIVES NIA CEQA FINDINGS NIA ATTACHMENTS 1 . Historical Yield Curve Graph 2. PIMCO Quarterly Report Book Balances June 30, 2003 $ 427 961,360 66,087,371 326,240,483 5000 $393 294 6~J $34,:133.245 3. Quarter End Portfolio Market Value Bar Chart Estimated Yield(%) 1.77 1.13 1.39 2.12 N/A 1.99 4.40 4. Summary of Performance Data and Portfolio Statistics -Liquid Operating Monies 5. Summary of Performance Data and Portfolio Statistics -L-T Operating Monies 6. Asset Summary by Asset Type -Liquid Operating Portfolio 7. Asset Summary by Asset Type -Long Term Portfolio 8. Investment Listing of Liquid Operating and L-T Portfolios (Yield Analysis Report). 9. Investment Transactions and Balances in LAIF 10. Callan Report (separate bound document) 11. PIMCO Report (separate bound document) C:\Documents and Settingslpope\Local Settlngs\Temporary Internet Flles\OLKBF\03-70.0tly Investment Apt.doc Revised: 8/20/98 Book Page 36 Page3 Prepared by Finance, 8/5/2003, 1 :51 PM I HISTORICAL YIELD CURVE I 5.25 5.00 ~ 4.75 4.50 4.25 4.00 3.75 ti, 3.50 0 .-. 3.25 0 ~ :,;' e... '"O C 3.00 ~ ..J (1) w 2.75 v,) > --..J 2.50 2.25 2.00 1.75 1.50 1.25 1.00 0.75 . r -/;: -- // // ~/ / ~ ~/ /✓ _.,// __,,,,-/ ~ ------~~ ~/"' ~~ ~~ I -..-:::::::::: i ~-------------= --------- 0.50 I I ' I 0 0 I. '-I. I. I. I. I. I. I. E E >. >->. >. >. >. >. >. >. T'" N C") '11:1' ..,, r,.. 0 0 0 C") (0 T'" N C") [-+--31-Dec-02 .....,_. 31-Mar-03 -a-30-Jun-03 I G:\excel. dta\fin\2220\geggi\Finance\HistoricalTREASU RYyieldcurve July 30, 2003 Mr. Mike White Controller Orange County Sanitation District 10844 Ellis A venue Administration Building Fountain Valley, CA 92708-7018 Re: 2nd Quarter 2003 Report Dear Mike: PIM C 0 840 Newport Center Drive Suite 300 Newport Beach, CA 92660 Tel: 949.720.6000 Fax: 949.720.1376 The following is a description of events in the bond markets during the 2nd quarter of 2003 and an analysis of the strategies undertaken in the Orange County Sanitation District's Long-Term and Liquid portfolios over the period. We have also included a section on strategies to be pursued in your portfolios during the coming months. Bond M arket Recap: Market Recap: Financial Assets Gain in First Half of 2003 Financial assets gained during the first half of 2003 amid a revival of risk appetites as anxiety about the war in Iraq faded. Assets that generally benefit from economic growth, such as stocks, corporate bonds and emerging market debt, fared the best for the quarter and year-to-date as investors dove into these sectors anticipating a recovery in the second half of 2003. Reflationary forces that investors expected to fuel a rebound included federal tax cuts and a weak dollar, as well as low borrowing rates that eased the burden of high personal and corporate indebtedness. Low mortgage rates kept refinancings booming in the second quarter and put money in consumers' pockets. Corporate bond yields were so low that well-known companies like General Electric and Wal-Mart could borrow for five years at less than 3 percent. Treasuries lagged their riskier counterparts but still enjoyed a modest rally. Yields fell to levels not seen in 45 years early in the quarter before bouncing off their lows in June as hopes for recovery increased. The yield on the benchmark 10-year Treasury closed the quarter 28 basis points lower at 3.52 percent, after nearing 3 percent earlier in the period. Buyers were encouraged that inflation would remain tame amid low capacity utilization and weak employment growth. Asian central banks bought Treasuries to limit the rise in their currencies versus the dollar that has hurt their export industries. Late in the quarter the Federal Reserve cut the federal funds rate by 25 basis points to 1 percent, its 13 th easing since 2001, in an effort to boost the economy and ward off deflation. Although the Book Page 38 cut was less than markets expected, the central bank suggested that rates would stay low until deflation risks abated. Higher Yielding Bond Sectors Fare Best Thus Far In 2003 The following is a summary of fixed income sector performance: • Mortgages outpaced Treasuries for the year-to-date on a like-duration basis and performed in line in the second quarter. Lower coupon mortgages, which are less sensitive to prepayments as mortgage rates fall, outperformed during a period when refinancings reached unprecedented levels. While the pace of refinancings slowed in June as mortgage rates rose, it was still rapid by historical standards. • Corporate bonds, especially BBB-rated and high yield issues, outperformed Treasuries and mortgages for the quarter and year-to-date. Part of the gains came from perceptions of improved credit quality, but strong funds flows from investors seeking higher yields also gave a boost to the corporate market. • High yield corporates and emerging market bonds were the best performing fixed income asset classes in the second quarter and for the year-to-date. Emerging markets benefited from generally improved credit fundamentals as well as acceptance within structural asset allocations by a growing number of institutional investors. • Treasuries outperformed most developed bond markets for the year-to-date and the second quarter. European rates fell, though not quite as much as Treasuries, in anticipation of more easing by the European Central Bank, which complied with a 50 basis point cut on June 5. Japan was the worst performing global market for the quarter. Japanese government bonds posted a loss as yields moved sharply off historic lows amid signs of economic recovery and a corresponding rally in Japanese stocks. Performance Attribution: Long Term Portfolio The Long-Term portfolio that PIMCO manages on behalf of Orange County Sanitation District turned in a 1.46 percent return over the quarter, lagging the Merrill Lynch 1-5 year Government Corporate Index by 20 basis points. This portfolio's performance was due in part to the following factors: • Below-index duration was negative for the quarter as rates fell • A mortgage emphasis was positive; holdings of lower coupon mortgages, which are less vulnerable to prepayment risk, helped returns as these issues outperformed • Corporate holdings were positive as telecom and energy pipeline bonds continued their recovery, however an underweight exposure to the sector detracted from relative returns • An allocation to real return bonds was negative as real yields fell less than yields on comparable maturity nominal bonds 2 BookPage39 Liquid Portfolio The Liquid portfolio that PIMCO manages on behalf of Orange County Sanitation District turned in a 0.31 percent return over the quarter, outperforming the 3 month Treasury Bill Index by 3 basis points. This portfolio's performance was due in part to the following factors: • A duration longer than the effective benchmark was modestly positive for performance as interest rates fell • Corporate holdings provided high relative yields and generally positive price performance as credit risk premiums fell • Holdings of high quality commercial paper and agency discount notes contributed to returns Economic Outlook: Short-Term Rates To Be Stable and Low To Spark Reflation The Federal Reserve, concerned about the risk of deflation in the face of a worldwide excess of supply over demand, will keep short-term interest rates low for the foreseeable future. This policy, essential for a debt-laden global economy heavily reliant on the financial sector, will also restrain increases in long rates. The 10-year Treasury yield will remain in a range near 4 percent for the next 6 to 9 months after moving off of 45-year lows. Successful reflation, meaning a 100 basis point increase in core inflation associated with a pickup in growth, is likely over the next three to five years. Besides monetary easing, other economic tailwinds include substantial U.S. fiscal stimulus and a weak dollar. Should reflation occur, the yield on the 10-year Treasury would climb towards 5-6 percent. This outcome is not inevitable, however. Lingering economic imbalances will keep the threat of deflation alive, forcing the Fed to err on the side of accommodation. The imbalances include: • Too Much Debt -Individuals and companies are saving more to reverse the dis-saving and debt accumulation of the late 1990s. A return to more normal levels of saving will restrain consumption and investment. • U.S. Trade Deficit -At nearly 6 percent of GDP, the U.S. trade deficit suggests that Americans are spending beyond their means with the shortfall supplied by capital from abroad. To move toward balance, Americans must either save more or non-U.S. suppliers of capital could force a retrenchment via higher interest rates and a weaker dollar • Underfunded Pensions -Underfunding of defined benefit pension plans is estimated by the Pension Benefit Guaranty Corp. at over $300 billion for private plans. Closing the gap will divert corporate cash from growth-enhancing investment. • No Help From Abroad -Europe will be held back by an ageing work force, rigidity in labor and product markets and a Growth and Stability Pact that restricts fiscal stimulus. Japan will remain bogged down by a weak banking sector and massive public debt. China will export deflation with its low-cost manufactured goods. 3 Book Page 40 • Geopolitical Risks -Anxiety about risks such as more terrorist attacks, U.S. military interventions and SARS will continue to dent confidence and crimp growth Add Value By Diversifying Beyond Core Strategies With rates expected to be stable in the near term, we see no reason to take extra interest rate risk. We will target near-index duration and yield curve exposure, while benefiting from rolling down the steep intermediate part of the yield curve. Given their full valuations, we will aim for near- index weightings in Treasuries as well as select corporates that have recently enjoyed substantial gains. We will emphasize mortgage coupon selection strategies near term while capturing longer- term structural advantages of the mortgage sector. This prudent posture still leaves ample opportunity to add value. Selecting undervalued individual bonds is one way. Another is a strategy that entails buying bonds with longer settlement periods and investing the cash backing the unsettled issues in short term debt with relatively high yields. Stable real yields and the potential for reflation make real return bonds compelling as a Treasury substitute. Municipal bonds, where yields are nearly equal to taxable debt, also offer the potential for capital gains as yields in these sectors revert to a more typical relationship. Where permitted, we will hold short/intermediate maturity Eurozone bonds in anticipation of more easing by the European Central Bank. Emerging market issues provide a comfortable yield cushion with solid and improving credit fundamentals. The following list highlights the strategies that will be used in the Long Term portfolio in the corning months: • Add value by diversifying beyond core strategies • With Treasury yields near 45-year lows and expectations for relatively stable rates in the near term, target duration near the index and substitute TIPS for nominal Treasuries • Emphasize mortgage coupon selection strategies near term while capturing longer-term structural advantages of the mortgage sector • Maintain corporate positions; seek opportunities to harvest recent gains from positive security selection after the strong rebound in the corporate sector • Hold, and selectively add, municipal bonds to exploit yields comparable to taxable bonds as well as potential price gains The following list highlights the strategies that will be used in the Liquid portfolio in the coming months: • Maintain a high quality, diversified short-duration portfolio structured to enhance yield and mitigate risk • Maintain modestly extended duration and exposure to short to intermediate maturities to generate incremental yield • Focus on corporate issues with attractive yield premiums and solid credit characteristics; emphasize floating rate notes and avoid issues without compelling valuations 4 BookPage41 • Maintain holdings of high quality commercial paper and agency discount notes to add value and liquidity to the portfolio We hope you find this information useful. Please feel free to call us with any questions. Sincerely, Christine Telish, CF A Vice President 5 BookPage42 John M. Miller, CFA Vice President Prepared by Finance, 8/6/2003, 9:06 AM 31 Mar 02 30 Jun 02 OCSD Investment Management Program Quarter End Portfolio Values (Marked-to-Market) 30 Sep 02 31 Dec 02 •Liquid Operating Monies El Long-Term Operating Monies C:\Documents and Settings\pope\Local Settings\Temporary Internet Files\OLKBF\03-70.3 31 Mar 03 30 Jun 03 Summary of Performance Data and Portfolio Statistics Orange County Sanitation District Liquid Operating Portfolio Performance Periods Ended 6/30/2003 Total Portfolio1 Before Fees (%) After Fees(%) Salomon 3 Month T-Bill Index (%)2 su·mmaiy Information Total Market Value ($MM) Quarterly Contributions ($MM) Estimated Annual Income ($MM) Estimated Yield to Maturity(%) Estimated Duration (yrs) Average Maturity (yrs) Average Quality Average Coupon(%) Tracking Error (3 yrs., %)3 Information Ratio (3 yrs.)4 See footnotes in Appendix. Since 9/30/1995 5 yrs 4.89 4.50 4.75 4.36 4.38 3.89 Mtil•i•MEIW@•i•EI 49.6 66.5 -15.0 16.8 1.9 2.2 1.3 1.3 0.3 0.3 0.3 0.3 AAA AAA 3.9 3.4 0.2 0.2 3.3 3.3 --- 3.79 1.66 1.18 0.67 0.31 3.64 1.52 1.09 0.61 0.28 3.15 1.41 0.98 0.59 0.28 Sector Allocat1on Government Mortgages Corporates High Yield Non U.S. $ Developed Emerging Markets Other Net Cash Money Markets Total 2 5-Year Return vs. Standard Deviation 11 10 9 -8 11. ~7 :i ai 6 [C al 5 ML 1-3Yr. .A. Treasury i • Portfolio ~ 4 ·•Index ~ 3 2 X Salomon 10-Yr.Strip 0 1 2 3 4 5 6 7 8 9 10 11 Standard Deviation of Retum2 (%) % of Market Value % of Duration 31 23 59 39 0 0 0 0 15 16 16 34 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 54 61 25 27 100 100 100 100 Summary of Performance Data and Portfolio Statistics Orange County Sanitation District Long Term Operating Portfolio Performance Periods Ended G/30/2003 -···-Total Portfolio1 Before Fees(%) 6.88 6.82 7.92 7.34 3.74 2.64 After Fees(%) 6.73 6.67 7.76 7.18 3.62 2.56 Merrill Lynch Corp/Govt 1-5 Year Bond Index (%)2 6.85 7.00 8.53 7.78 4.19 2.81 Summary Information itlff4ej•iKvii-i❖i4 Sector Allocation Total Market Value ($MM) 325.0 329.7 Government Quarterly Contributions ($MM) 0.0 0.0 Mortgages Estimated Annual Income ($MM) 12.7 14.6 Corporates Estimated Yield to Maturity(%) 2.6 2.1 High Yield Estimated Duration (yrs) 2.3 2.1 Non U.S. $ Developed Benchmark Duration (yrs) 2.3 2.4 Emerging Markets Average Maturity (yrs) 2.7 2.5 Other Average Quality AAA AAA Net Cash Equivalents Average Coupon(%) 4.1 4.8 Total Tracking Error (3 yrs., %)3 0.6 0.0 Information Ratio (3 yrs.)4 -0.5 0.0 See footnotes in Appendix. 2 5-Year Return vs. Standard Deviation 9 8 ~ X LBAG E1 ~Index i Portfolio a: 6 1.46 al .!:! 1.42 ~5 C: C: <( 4 & Salomon 1.66 3-Mo 3 0 2 3 4 5 6 Standard Deviation of Return2 (%) % of Market Value % of Duration MIW•i•d 6/30/2003 3/31/2003 M•ti•i•M 46 46 55 55 15 8 12 7 16 14 30 31 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 23 32 3 7 100 100 100 100 Asset Summary Report ID: GL8251 Base Currency: USD by Asset Type with Sectors Alternate Base Currency: Exchange Rate: LIQUID OPER-PIMCO-OCSF07511102 6 30 2003 Status: FINAL Net Unrealized Cost Market Value % of Gain/Loss Description Shares Par Base Base Total Base CASH & CASH EQUIVALENTS U.S. DOLLAR INTEREST 455,598.88 455,598.88 0.68% 0.00 COMMERCIAL PAPER -DISCOUNT 1,000,000.000 998,896.67 998,896.67 1.50% 0.00 FED HM LOAN BNK -LESS THAN 1 YR 9,600,000.000 9,572,740.94 9,572,740.94 14.39% 0.00 FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 11,500,000.000 11,461,330.83 11,461,330.83 17.22% 0.00 FNMA ISSUES -LESS THAN 1 YR 8,200,000.000 8,171,193.17 8,171,193.17 12.28% 0.00 MUTUAL FUNDS 9 ,785,246.110 9,785,246.11 9,785,246.11 14.71% 0.00 U.S. DOLLAR 40,085,246.110 40,445,006.60 40,445,006.60 60.78% 0.00 CASH & CASH EQUIVALENTS 40,085,246.110 40,445,006.60 40,445,006.60 60.78% 0.00 to FIXED INCOME SECURITIES 0 0 U.S. DOLLAR ;,;- "C ~ BANKING & FINANCE 8 ,290,000.000 8,637,849.20 8,541,995.90 12.84% -95,853.30 (l 1,206,000.000 .i:,. INDUSTRIAL 1,237,099.06 1,218,266.54 1.83% -18,832.52 °' 9,465,000.000 9,755,723.85 U.S. AGENCIES 9,635,422.69 14.48% -120,301.16 U.S. GOVERNMENTS 5,800,000.000 6,251,984.38 6,035,625.00 9.07% -216,359.38 UTILITY -TELEPHONE 650,000.000 677,046.50 666,653.00 1.00% -10,393.50 U.S. DOLLAR 25,411,000.000 26,559,702.99 26,097,963.13 39.22% -461,739.86 FIXED INCOME SECURITIES 25,411,000.000 26,559,702.99 26,097,963.13 39.22% -461,739.86 TOTAL ASSETS -BASE: 65,496,246.110 67,004,709.59 66,542,969.73 100.00% -461,739.86 1 Workbench Asset Summary by Asset Type with Sectors LONG TERM OPER-P.lMCO -OCSF07522202 6 30 2003 Cost Description Shares Par Base .__ _______________________ _ CASH & CASH EQUIVALENTS U.S. DOLLAR PENDING TRADES INTEREST FED HM LOAN BNK -LESS THAN 1 YR FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 FNMA ISSUES -LESS THAN 1 YR MUTUAL FUNDS U.S. DOLLAR CASH & CASH EQUIVALENTS g1 FIXED INCOME SECURITIES 0 1 U.S. DOLLAR u~ ABS -AIRPLANE RECEIVABLES ::i BANKING & FINANCE COLLATERALIZED MORTGAGE OBLIGATION FHLMC MULTICIASS FHLMCPOOLS FNMA POOLS GNMA MULTI FAMILY POOLS GNMA SINGLE FAMILY POOLS INDUSTRIAL INFIATION INDEXED SECURITIES INTERNATIONAL CORPORATE BONDS U.S. AGENCIES U.S. GOVERNMENTS UTILITY -ELECTRIC UTILITY -TELEPHONE U.S. DOLLAR FIXED INCOME SECURITIES -20,630,167.91 3,448,527.60 33,550,000.000 33,460,962.57 28,100,000.000 28,003,641.87 250,000.000 249,122.50 881,875.020 881,875.02 62,781,875.020 45,413,961.65 62,781,875.020 45,413,961.65 1,600,000.000 1,600,000.00 40,285,000.000 41,385,619.50 2,556,236.110 2,556,985.05 1,953,459.820 1,955,139.92 239,464.810 240,923.70 33,763,054.070 35,057,613.63 4,307,686.560 4,286,105.30 15,466,953.470 15,787,611.29 12,000,000.000 12,458,780.00 16,242,520.000 14,312,299.52 752,000.000 826,199.84 41,275,434.090 42,352,090.91 80,779,356.910 89,082,570.88 6,500,000.000 6,438,210.00 6,000,000.000 6,594,240.00 263,721,165.840 274,934,389.54 263,721,165.840 274,934,389.54 1 Report ID: GL8251 Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Market Value Base -20,630,167.91 3,448,527.60 33,460,962.57 28,003,641.87 249,122.50 881,875.02 45,413,961.65 45,413,961.65 240,000.00 42,829,967.55 2,799,283.44 1,971,348.91 246,383.81 35,115,795.92 4,440,752.66 16,277,109.95 12,688,400.00 17,833,780.19 845,804.48 45,230,200.58 89,986,806.45 7,034,445.00 6,734,970.00 284,275,048.94 284,275,048.94 % of Total -6.26% 1.05% 10.15% 8.49% 0.08% 0.27% 13.77% 13.77% 0.07% 12.99% 0.85% 0.60% 0.07% 10.65% 1.35% 4.94% 3.85% 5.41% 0.26% 13.72% 27.29% 2.13% 2.04% 86.23% 86.23% Net Unrealized Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -1,360,000.00 1,444,348.05 242,298.39 16,208.99 5,460.11 58,182.29 154,647.36 489,498.66 229,620.00 3,521,480.67 19,604.64 2,878,109.67 904,235.57 596,235.00 140,730.00 9,340,659.40 9,340,659.40 Workbench LONG TERM OPER-PlMCO -OCSF07522202 Description TOTAL ASSETS -BASE: Asset Summary by Asset Type with Sectors 6 30 2003 Cost Shares Par Base Report ID: GL825 l Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Market Value Base % of Total Net Unrealized Gain/Loss Base 326,503,040.860 ____ 3_2_0~,3_4_8-'-,3_5_1_._19 _____ 3_2_9_,_6_8_9_,0_l_0_.5_9 100.00% 9,340,659.40 1 Workbench YLDANAL YIELD ANALYSIS PAGE 1 OCSF07511102 2003/06/30 RUN DATE I 07/07/03 DISTRICT: LIQUID OPERATING RUH TIME I 09.56.47 ------------------------------------------===-=---==--------------=========================================================== PAR VALUE YTM AT CURRENT MOODY MARJ<ET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL --------------------------------------------------------------------------------------------- CASH & CASH EQUIVALENTS 2,000,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .ooo P-1 99.799 1,995,975.00 4,99 313384JM2 MAT 07/23/2003 A-1+ 1,995,975,00 3.02 600,000.00 FEDERAL HOME LN BK CONS DISCH .ooo .000 P-1 99.781 598,689.00 1.49 313384JT7 MAT 07/29/2003 A-1+ 598,689.00 .91 3,000,000.00 FEDERAL HOME LN BK CONS DISC H .ooo .ooo P-1 99. 773 2,993,175.00 7.48 3133841(B4 MAT 08/06/2003 A-1+ 2,993,175.00 4.53 2,000,000.00 FEDERAL HOME LH BI< CONS DISC N .ooo .ooo P-1 99. 713 1,994,261.94 4 ,98 313384KR9 MAT 08/20/2003 A-1+ 1,994,261.94 3.02 to 2,000,000.00 FEDERAL HOME LN BI< CONS DISC H ,000 .ooo P-1 99.532 1,990,640.00 4,97 0 313384NJ4 MAT 10/24/2003 A-1+ 1,990,640.00 3.01 0 :,,;' "C soo,000.00 FEDERAL HOME LN MTG CORP DISC ,000 .000 P-1 99.752 498,759.44 1.24 !>) 313396JF1 MAT 07/17/2003 A-1+ 498,759.44 ,75 OCl ~ .j::,. 3,000,000.00 FEDERAL HOME LN MTG CORP DISC ,000 .ooo P-1 99,756 2,992,687.50 7.48 \D 313396J<G7 NAT 08/11/2003 A-1+ 2,992,687.50 4,53 2,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99. 731 1,994,616.67 4 .98 3133961(1(8 MAT 08/14/2003 A-1+ 1,994,616,67 3.02 2,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99.645 1,992,906.67 4,98 313396LQ4 MAT 09/12/2003 A-1+ 1,992,906.67 3.02 2,000,000.00 FEDERAL HOME LN MTG CORP DH .ooo .ooo P-1 99.569 1,991,383.33 4,97 313396MT7 MAT 10/09/2003 A-1+ 1,991,383.33 3,01 2,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .000 P-1 99.549 1,990,977.22 4.97 313396NB5 MAT 10/17/2003 A-1+ 1,990,977.22 3.01 800,000.00 FEDERAL NATL MTG ASSN DISC NTS .ooo .000 P-1 99.395 795,156.00 1.98 313588HQ1 MAT 07/02/2003 A-1+ 795,156.00 1.20 1,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99.710 1,794,780.00 4,48 313588JUO MAT 07/30/2003 A-1+ 1,794,780.00 2,72 3,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99,788 2,993,653,33 7,48 313588JV8 MAT 07/31/2003 A-1+ 2,993,653.33 4.53 YLDANAL YIELD ANALYSIS PAGE 2 OCSF07511102 2003/06/30 RUN DATE 07/07/03 DISTRICT: LIQUID OPERATING RUN TIME I 09.S6.47 ---------------------==-------------------======--==-==---------==-========================================================== PAR VALUE Y'TM AT CURRENT MOODY HARXET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE HARJCET VALUE I TOTAL --------------------------------------------------------------------·----------------------- 600,000.00 FEDERAL NATL MTG ASSN DISCOUNT .000 .ooo P-1 99,708 S98,249,67 1.49 313588HZ5 HAT 10/15/2003 A-1+ 598,249.67 .91 2,000,000.00 FEDERAL NATL MTG ASSN DISC .000 .ooo P-1 99,468 11 989,3S4.17 4.97 313588PD1 HAT 11/12/2003 A-1+ 1,989,354.17 3.01 400,000.00 GENERAL ELEC CAP DISC .ooo .ooo P-1 99,897 399,S88.00 ,99 36959JUP6 07/23/2003 399,588.00 .60 600,000.00 GENERAL ELEC CAP DISC .ooo .ooo P-1 99,885 S99,308,67 1.49 36959.1092 07/09/2003 S99 1 308,67 .91 9,785,246,11 DREYFUS TREASURY CASH MGMT .ooo ,821 AAA 100.000 9,785,246.11 24.46 996085247 AAA 9,785,246.11 14 .81 to 0 --------_____ , __ ----------------------------0 TOTAL CASH & CASH EQUIVALENTS .ooo .023 39,989,407,72 100.00 ~ '"Cl 39,989,407.72 60,52 I>) (IQ ('1) VI FIXED INCOKE SECURITIES 0 1,000,000.00 ASSOCIATES CORP NORTH AMER .ooo 5.S95 AAl 103,6S6 1,ou,2,0.00 3.97 046003KA6 5.8001 04/20/2004 DD 04/20/99 AA-1,036,560.00 1.57 6S0,000.00 BELL ATLANTIC-NEW JERSEY INC .ooo s.129 AA3 102,S62 677,046.SO 2,5S 0778S8AA6 5.8751 02/01/2004 DD 02/01/94 A+ 666,653.00 1.01 300,000,00 COLGATE PALMOLIVE MTN TR 000S8 .ooo s.182 AA3 101,703 308,808.00 1.16 19416QCK4 S.2701 12/01/2003 DD 11/24/98 AA-30S,109,00 .46 1,350,000.00 FEDERAL FARM CR BKS CONS SYSTE .000 5,271 AAA 102,44S 1,399,963.50 5.29 31331H6G7 6.401 01/23/2004 DD 01/01/1999 AAA 1,383,006,56 2.09 550,ooo.oo FEDERAL FARM CR BKS CONS MTN ,000 4.9S0 AAA 101.012 S65 1 229,S0 2.12 31331RC78 5.0001 10/02/2003 DD 10/02/98 AAA S55,S68,15 .84 1,100,000.00 FEDERAL HOME LN MTG CORP DEB .ooo 3.673 AAA 102.106 1,125,905.00 4.30 3134A4PH1 3.7S0\ 04/1S/2004 DD 04/1S/02 AAA 1,123,163.91 1.70 4,200,000.00 FEDERAL NATL MTG ASSN DEBS .ooo 4.999 AAA 102,S13 4,350,168,00 16.49 313S9MEM1 s.12s1 02/13/2004 DD 02/08/99 AAA 413051 S30.88 6.51 YLDANAL YIELD ANALYSIS PAGE 3 OCSF07 511102 2003/06/30 RUM DATE I 07/07/03 DISTRICT: LIQUID OPERATING RUM TIME I 09.56.47 ===========================================================================================-======-=----==-==------===------= PAR VALUE YTM AT CURRENT MOODY MARXET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARXET VALUE I TOTAL -------------------------------------------------------·------------------------------------------ 1,340,000.00 GENERAL ELEC MTN I TR 00019 .ooo 8.017 AAA 102.281 1,380,508.20 5.25 36962FAUO STEP UP 10/30/2003 DD 11/02/92 AAA 1,370,565.40 2.07 250,000.00 GILLETTE CO NT .ooo 6,212 AA3 100,609 256,012.50 .96 375766AC6 6.2501 08/15/2003 DD 08/16/93 AA-251,522.50 .38 2,000,000.00 LEHMAN BROS HLDGS IMC .ooo 6.373 A2 103.953 2,on,180.00 7.96 524908BZ2 6,6251 04/01/2004 DD 03/26/99 A 2,079,060.00 3,15 500,000.00 PAINE WEBBER GROUP INC NTS .ooo 6,314 AA2 102,156 519,405.00 1.95 695629CE3 6,4501 12/01/2003 DD 12/01/98 AA+ 510,780.00 ,77 656,000.00 PROCTER, GAMBLE CO NTS .ooo 5,205 AA3 100,859 672,278,56 2.53 742718BX4 5.2501 09/15/2003 DD 09/28/98 AA-661,635.04 1.00 t:r:l 2,000,000.00 US BANCORP MTM ITR 00119 .000 5.767 AAJ 104,046 2,092,620.00 7.97 0 0 91159HEY2 6,0001 05/15/2004 DD 05/10/99 A 2,080,920.00 3,15 :,;" ""C ~ 5,000,000.00 US TREASURY BONDS .ooo 11.411 AAA 104.063 6,251,9H.38 23,12 (1) 912810DG0 11,8751 11/15/2003 DD 10/05/83 AAA 6,035,625.00 9. 13 Vl -2,000,000.00 FEDERAL HOME LN BX CONS BDS 1,517 4.497 AAA 100,070 2,039,880.00 7 .66 3133MG5Jl 4.5001 07/07/2003 DD 07/06/01 AAA 2,001,391.80 3,03 450,000.00 WELLS FARGO, CO SUBNT 1,615 6.028 AA3 101.609 467,496.00 1.75 949740BY9 6.1251 11/01/2003 DD 11/01/93 A 457,240.50 .69 150,000.00 FEDERAL FARM CR BXS CONS MTN 1,664 6,501 AAA 100,751 155,796.00 .57 31331NW59 6.5501 08/19/2003 DD 08/19/96 AAA 151,126.25 ,23 100,000.00 FEDERAL HOME LN BX CONS BDS 1.66 4 5.889 AAA 100,606 103,311.00 .38 3133M5582 5,9251 08/14/2003 DD 08/14/98 AAA 100,605.91 ,15 1,000,000.00 MORGAN STANLEY DW MTN ITR00349 1,757 7,076 AA3 100,687 1,045,350.00 3.85 61745EQN4 7,1251 08/15/2003 DD 08/10/00 AA-1,006,870,00 1.52 YLDANAL OCSF07511102 DISTRICT: LIQUID OPERATING YIELD ANALYSIS 2003/06/30 PAGE RUN DATE RUN TIME 4 07/07/03 I 09,56,47 =========================================================-==---=-=====-=====-----:= -=--==::===-====-==--~====--=-~=--===·===--- PAR VALUE YT'H AT CURRENT MOODY NARXET SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE 15,000.00 FEDERAL HOME LN BKS CONS BD 2,751 5,988 AAA 100,195 3133N4VC4 6.0001 07/14/2003 DD 07/14/98 AAA TOTAL FIXED INCOME SECURITIES ,097 6.390 TOTAL ,043 2,844 TOTAL COST/ NARD:T VALUE 15,470.85 15,029.23 26,559,702,99 26,097,963.13 66,549,110.71 66,087,370.85 ==--====:!::=-,=== I TYPE I TOTAL .05 ,02 100.00 39.47 100.00 100.00 YLDANAL YIELD ANALYSIS PAGE 5 OCSF07522202 2003/06/30 RUN DATE I 07/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME I 09.56.47 ===========-==========================================---=--==============================================zc=========-======z PAR VALUE Y'T'H AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL -------------------------------------------------------------------------------------------------- CASH & CASH EQUIVALENTS 1,600,000.00 FEDERAL HOME LN BK CONS DISC .ooo .ooo P-1 99,710 1,595,360.00 2,54 3133B4HZS MAT 07/11/2003 A-1+ 1,595,360.00 .46 24,600,000.00 FEDERAL HOME LN BK CONS DISC ,000 .ooo P-1 99,731 24,533,932.64 39.19 313384JEO HAT 07/16/2003 A-1+ 24,533,932.64 7.07 J,B00,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .000 P-1 99.933 3,797,440.27 6 .06 J13384JPS MAT 07/25/2003 A-1+ 3,797,440,27 1.09 1,300,000.00 FEDERAL HOME LN BK CONS DISC N ,000 .ooo P-1 99,712 1,296,253,83 2 .07 313384KB4 MAT 08/06/2003 A-1+ 1,296,253.83 .37 t,:; 2so,ooo.oo FEDERAL HOME LN BK CONS DISC .ooo .000 P-1 99.725 249,312, so .39 0 313384LF4 MAT 09/03/2003 A-1+ 249,312.50 .07 0 :,,;" "'C1 2,000,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .ooo P-1 99.433 1,988,663.33 3,17 ~ 313384NY1 MAT 11/07/2003 A-1+ 1,988,663.33 .57 (D Vl 24,600,000.00 FEDERAL HOME LN MTG CORP DISC ,000 .ooo P-1 99.668 24,518,273.34 39 .16 ~ 313396JD6 MAT 07/15/2003 A-1+ 24,S18,273,34 1 .01 2,200,000.00 FEDERAL HOME LN MTG CORP DISC ,000 .ooo P-1 99.598 2,191,163,64 3,SO 313396KT9 MAT 08/22/2003 A-1+ 2,191, 163,64 ,63 1,300,000,00 FEDERAL HOME LN MTG CORP DISC ,000 .ooo P-1 99,554 1,294,204.89 2,06 313396LQ4 MAT 09/12/2003 A-1+ 1,294,204.89 .37 2so,ooo.oo FEDERAL NATL MTG ASSN DISCOUNT .ooo .000 P-1 99.649 249,122,50 .39 313588MJ1 MAT 09/30/2003 A-1+ 249,122,SO .07 881,875.02 DREYFUS TREASURY CASH MGMT ,000 ,821 AAA 100.000 881,875.02 1.40 996085247 AAA 881,875.02 ,25 ----------------------------------------- TOTAL CASH & CASH EQUIVALENTS .ooo .002 62,595,601.96 100.00 62,595,601.96 18.02 FIXED INCOME SECURITIES 752,000.00 AIG SUNAMERICA GLO BOS USO .ooo 5.201 112,474 826,199.84 ,29 NA2789454 5.8501 Ol-AUG-2008 845,804.48 .24 YLDANAL YIELD ANALYSIS PAGE 6 OCSF07522202 2003/06/30 RUN DATE 07/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME I 09,56,47 --------------------==------------------==-=====-==--------·---===-=========================================================== PAR VALUE YTH AT CURRENT HOODY MAR1CET TOTAL COST/ I TYPE' SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARltET VALUE I TOTAL ----------------------------------------------------·------------------------------------------ 1s,ooo,ooo.oo COMMIT TO PUR FNMA SF HTG .ooo 4,840 AAA 103.313 15,488,125.00 5,45 01F050478 5,0001 07/01/2018 DD 07/01/03 AAA 15,06,875.00 4.47 s,000,000.00 COMMIT TO PUR FNMA SF MTG .ooo 5. 779 AAA 103,828 5,200,000.00 1.82 01F060683 6.0001 08/01/2033 DD 08/01/03 AAA 5,191,406.00 1.50 900,000.00 BEAR STEARNS MTN I TR 00459 .ooo 1.578 A2 100,156 899,406,00 .31 073928VC4 VAR RT 12/01/2003 DD 08/17/01 A 901,404.00 .26 1,soo,000.00 CIT GROUP INC NEW SR NT .ooo 5.084 A2 108.187 1,527,135.00 ,57 125581ADO 5.5001 11/30/2007 DO 12/02/02 A 1,622,805,00 .47 5,000,000.00 CITIGROUP INC GLOBAL SUB NT .ooo 5.106 AA2 110,171 5,333,600.00 1.93 172967BP5 5,6251 08/27/2012 DD 08/26/02 A+ 5,508,550.oo 1.59 t:t1 0 35,770.02 DISTRIBUTION FINL 99-1 CL A4 .ooo 5,828 100,208 36,518,96 .01 0 :,;' 2547SMA06 5,8401 10/17/2011 DD 03/18/99 35,844.42 .01 '"C I'.>) (J(l 146,834.56 FHLMC GROUP fG4-0353 .ooo 7,305 AAA 102.675 150,551.31 .05 Cl) Vt 3128DBMA2 7.5001 10/01/2004 DD 03/01/99 AAA 150,762.88 .04 .i,. 1,soo,000.00 FEDERAL HOME LN BK CONS BDS .ooo 6.517 AAA 109. 330 7,997,625,00 2.e'e 3133MAUN7 7,1251 02/15/2005 DD 02/08/00 AAA 8,199,764.25 2.36 92,630.25 FHLMC GROUP 178-6064 ,000 3.726 AAA 103,229 90,372.39 .03 31348SWZ3 6.3841 01/01/2028 DD 12/01/97 AAA 95,620.93 .03 11,1so,ooo.oo FEDERAL NATL MTG ASSN DEBS .ooo 4.781 AAA 109.804 11,521,271.50 4.38 31359M.JX2 5,2501 06/15/2006 DD 06/22/01 AAA 12,462,714,28 3,59 314,139.83 FNMA POOL 10323980 .ooo 5,728 AAA 104,750 327,981.62 ,11 31374T2MO 6,0001 04/01/2014 DD 09/01/99 AAA 329,061.47 ,09 116,219.83 FNMA POOL 10456482 ,ODO 5,725 AAA 104,813 121,340,77 .04 31381CCT2 6.0001 02/01/2014 DD 02/01/99 AAA 121,812,91 .04 320,941.55 FNMA POOL 10509649 .ooo 5.728 AAA 104,750 335,083,04 .11 31383QEWO 6.0001 09/01/2014 DD 09/01/99 AAA 336,186,27 .10 253,166.52 FNMA POOL 10535451 ,000 5.728 AAA 104.750 264,321.67 .09 31384VZQB 6,0001 06/01/2015 DD 07/01/00 AAA 265,191.93 .08 5,600,088.97 FNMA POOL 10535672 .ooo 5,728 AAA 104,750 5,846,842,89 2.06 Jl384WCB1 6,0001 01/01/2016 DD 12/01/00 AAA 5,866,093,20 1.69 YLDANAL YIELD ANALYSIS PAGE 7 OCSF07522202 2003/06/30 RUH DATE I 07/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME I 09.56.47 ====================================================~======================================================================== PAR VALUE YTH AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION 8001( YIELD S-P PRICE MARKET VALUE I TOTAL ------------------------------------------------------------------·---------------·------------ 1,966,081.19 FNMA POOL 10545296 .~oo 5. 719 AAA 104.912 2 , 052, 711. 64 .72 31385HXZO 6.0001 ll/01/2016 DD 10/01/01 AAA 2,062,664.93 .59 162,196.05 FNMA POOL 10545580 • 000 5. 735 AAA 104.625 169,3t2.81 ,05 31385JCR7 6.0001 03/01/2017 DD 03/01/02 AAA 169,697.62 ,05 269,000,24 FNMA POOL 10555101 • 000 5. 738 AAA 104.563 280,853,06 .09 31385WU23 6.0001 10/01/2017 DD 11/01/02 AAA 281,273.38 ,08 100,217.47 FNMA POOL 10576386 • 000 5,757 AAA 104. 219 104,633.30 ,03 31386XJ72 6.0001 05/01/2016 DD 05/01/01 AAA 104,445.77 .03 296,843.74 FNMA POOL 10576739 • 000 5. 735 AAA 104,625 309,923.42 .10 31386XV86 6.0001 04/01/2016 DD OC/01/01 AAA 310,572,76 ,09 to 328,433.30 FNMA POOL 10580888 • 000 5,735 AAA 104.625 342,904 .89 .12 0 0 31387DJ91 6.0001 05/01/2016 DD 05/01/01 AAA 343,623,34 .10 :,;- "'O ~ 249,713.37 FNMA POOL 10594002 • 000 5.735 AAA 104,625 260,716.36 .09 0 31387T3KB 6.0001 07/01/2016 DD 07/01/01 AAA 261,262.61 .08 VI VI 291,258.61 FNMA POOL 10597376 .ooo S.719 AAA 104.912 304,092.19 .10 31387XT96 6.000\ 09/01/2016 DD 08/01/01 AAA 305,566.69 .09 284,594.36 FNMA POOL 10605259 .ooo 5,738 AAA 104.563 297,134,30 .10 31388BHG1 6.000\ 09/01/2016 DD 09/01/01 AAA 297,578,98 .09 190,957,05 FNMA POOL 10608366 .ooo 5,719 AAA 104,912 199,371.09 .07 31388LZ78 6,0001 10/01/2016 DD 09/01/01 AAA 200,337 .82 .06 174,758.47 FNMA POOL 10616734 .ooo 5.701 AAA 105.250 182,458.76 ,06 31388WEF9 6.000\ 12/01/2016 DD 12/01/01 AAA 183,933.29 .OS 345,342.78 FNMA POOL 10630812 .ooo 5.752 AAA 104.306 360,559.45 .12 31389NYH2 6.0001 02/01/2017 DD 02/01/02 AAA 360,214,35 .10 1,209,353.87 FNMA POOL 10632376 .ooo 5,700 AAA 105,262 1,262,641.03 .44 313890050 6 ,0001 07/01/2017 DD 07/01/02 AAA 1,272,996.12 .37 713,752.78 FNMA POOL 10653116 .ooo 5.700 AAA 105,262 745,202,51 ,26 31390QSDB 6.0001 07/01/2017 DD 07/01/02 AAA 751,314.02 .22 310,959.00 FNMA POOL 10673280 ,000 5.738 AAA 104.563 324,660.63 .11 31391P6R2 6.0001 08/01/2017 DD 11/01/02 AAA 325,146.50 .09 YLDANAL YIELD ANALYSIS PAGE 8 OCSF07522202 2003/06/30 RUN DATE I 07/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME I 09.56.47 ------------------------------------------=======------------================================================================ PAR VALUE YTM AT CURRENT MOODY HAJU(ET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION 8001( YIELD S-P PRICE HARltET VALUE I TOTAL ----------------------·-·------------------------------------------------------------------------------ 139,920,81 FNMA POOL 10698939 .ooo 5,701 AAA 105.238 146,086.07 .05 31400VPY2 6.0001 09/01/2017 DD 03/01/03 AAA 147,20.16 .04 125,114,28 FNMA POOL 10703195 .ooo 5. 718 AAA 104,938 130,627.13 .04 31401BGC3 6.0001 01/01/2017 DD 04/01/03 AAA 131,291,80 .04 643,217.72 GNHA POOL 10596612 .ooo 6,172 AAA 105.316 675,077,10 ,23 36200BYH4 6.5001 09/15/2032 DD 09/01/02 AAA 677,413.81 .20 2,030,307.68 GNHA POOL 10569358 .ooo 6,196 AAA 104,910 2,077,893.01 ,74 36200QQK3 6.5001 04/15/2032 DD 04/01/02 AAA 2,129,994.53 ,61 88,455.91 GNHA POOL 10569685 .ooo 6.172 AAA 105,316 92,837.24 .03 36200Q2S2 6.5001 02/15/2032 DD 02/01/02 AAA 93,158.59 .03 to 924,612.54 GNMA POOL 10574323 .ooo 6.170 AAA 105.348 970,409.75 ,34 0 ~ J6200WAY7 6.5001 12/15/2031 DD 12/01/01 AAA 974,057,67 .28 "ti i:,.l 101,103.10 GNHA POOL 10575364 .ooo 6.170 AAA 105,348 106,110.86 ,03 CICl (1) 36200XFD6 6.5001 11/15/2031 DD 11/01/01 AAA 106,509.75 .03 V, O'I 150,533,65 GNHA POOL 10585263 .ooo 6.196 AAA 104,910 157,'89, 77 .05 J6201KFC5 6.5001 08/15/2032 DD 08/01/02 AAA 157,924.76 ,05 35,137.40 GffHA POOL 10587117 .ooo 6.172 AAA 105.316 36,877.80 .01 36201MG22 6,5001 06/15/2032 DD 06/01/02 AAA 37,005.45 .01 114,081.20 GNMA POOL 10587439 .ooo 6,172 AAA 105,316 119,731.78 .04 36201HS45 6.5001 11/15/2032 DD 12/01/02 AAA 120,146.22 .03 22,606.46 GNHA POOL 10421389 .ooo 6.154 AAA 105.629 23, 726,19 .oo 36206UC23 6.5001 04/15/2026 DD 04/01/96 AAA 23,878.96 .01 32,277.78 GNMA POOL 10449851 .ooo 6.194 AAA 104.932 33,876,54 .01 36208FWLO 6.5001 01/15/2028 DD 01/01/98 AAA 33,869,75 .01 100,137.41 GNMA POOL 10466845 .ooo 6.161 AAA 105.504 105,097,34 ,OJ 36209BTA6 6.5001 06/15/2028 DD 06/01/98 AAA 105,648.88 .03 681,928.55 GNMA POOL 10468052 .ooo 6.161 AAA 105.504 715,705.32 ,25 36209C5M4 6,5001 07/15/2028 DD 07/01/98 AAA 719,461.28 .21 299,916.81 GNHA POOL 10476041 .ooo 6.161 AAA 105.504 314,303,45 .u 36209HZE7 6.5001 06/15/2028 DD 06/01/98 AAA 316,423.96 ,09 YLDANAL YIELD ANALYSIS PAGE 9 OCSF07522202 2003/06/30 RUN DATE 07/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME I 09.56.47 ----------------=========-==---===------========-====-------===---=======c=================================================== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARXET VALUE I TOTAL --------------------------------------------------------------------------------------------------- 252,893.04 GNHA POOL 10478626 .ooo 6.161 AAA 105.504 265,024.00 .09 36209QVT9 6.5001 01/15/2029 DD 01/01/99 AAA 266,812,05 .00 324,239.27 GNMA POOL 10480598 .ooo 6,161 AAA 105.504 339, 792,63 .12 36209S3F6 6,5001 10/15/2028 DD 10/01/98 AAA 342,085.11 .10 815 I 970, 74 GNMA POOL 10485527 .ooo 6,170 AAA 105.348 856,386,79 ,30 36209YLG1 6.5001 06/15/2031 DD 06/01/01 AAA 859,606.08 .25 942,672.13 GNMA POOL 10485610 .ooo 6.170 AAA 105.348 989,363.86 .34 36209YN38 6 ,5001 07/15/2031 DD 07/01/01 AAA 993,083,03 .29 182,912.61 GNMA POOL 10485682 ,000 6.170 AAA 105.348 191,972.50 .06 36209YRB6 6,500\ 08/15/2031 DD 08/01/01 AAA 192,694.15 .06 ti:l 173,770,23 GNMA POOL 10485703 ,000 6,170 AAA 105,348 182 I 377, 29 .06 0 0 36209YRY6 6.5001 08/15/2031 DD 08/01/01 AAA 183,062,87 .os :,,;- "ti I» 20,064.08 GNMA POOL f0512235 ,000 6. 165 AAA 105,441 21,057.88 .oo (1(1 ~ 36211GBC6 6,5001 11/15/2029 DD 11/01/99 AAA 21,155.85 .01 u, --..J 314,020,83 GNMA POOL 10514326 ,000 6,165 AAA 105,441 329,084,02 ,11 36211JLF2 6,5001 07/15/2029 DD 07/01/99 AAA 331,107.99 ,10 95,473.62 GNMA POOL f0530053 ,ODO 6,199 AAA 104,856 100,202.ss ,03 36212CZS3 6,5001 04/15/2031 DD 04/01/01 AAA 100,109.65 ,03 69,415.01 GNMA POOL 10530290 .ooo 6,170 AAA 105,348 72,744,76 .02 36212DC31 6,5001 03/15/2031 DD 04/01/01 AAA 73,127 ,09 .02 167,438.02 GNMA POOL 10537885 .ooo 6.170 AAA 105.348 175,731.43 .06 36212MRE1 6,5001 02/15/2031 DD 02/01/01 AAA 176,392,04 ,05 24,950.39 GNMA POOL 10547512 .ooo 6 .170 AAA 105.348 26,186.21 .oo 36212YGV9 6.5001 04/15/2031 DD 04/01/01 AAA 26,284,65 ,01 288,700.52 GNMA POOL f0547715 .ooo 6,170 AAA 105,348 302,549.12 .10 36212YN82 6.5001 02/15/2031 DD 02/01/01 AAA 304,139.zt .09 117,666.45 GNHA POOL 10552322 .ooo 6.170 AAA 105.348 123,494,62 .04 36213ESK3 6.5001 01/15/2032 DD 01/01/02 AAA 123,958.85 ,04 957,229.70 GNMA POOL f0552466 .ooo 6.196 AAA 104.910 1,004,642.48 .35 36213EW36 6,500\ 03/15/2032 DD 03/01/02 AAA 1,004,229,08 .29 YLDANAL YIELD ANALYSIS PAGE 10 OCSF07522202 2003/06/30 RUN DATE I 07/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME I 09.56.47 ~==-----=---~====-=::=::-============= --~--.---~--:=--=·-' --~--== PAR VALUE YT'tl AT CURRENT MOODY MARJ(ET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARJ(ET VALUE I TOTAL --------------------------------------------------·---------------------------·----------------------- 798,660.08 GNMA POOL 105S26S9 .ooo 6.172 AAA 10S,316 838,218,71 ,29 36213ESU6 6.S001 07/15/2032 DD 07/01/02 AAA 841,120.12 ,24 808,303.23 GNMA POOL 10S61017 .ooo 6.170 AAA 10S,348 848,339,50 .29 36213QG29 6.5001 07/15/2031 DD 07/01/01 AAA 8S1,S28,54 .2s 356,159.39 GNMA II POOL t008039S .ooo 3.397 AAA 103.033 3S2 ,931. 70 .12 36225CNM4 VAR RT 04/20/2030 DD 04/01/00 AAA 366,961.88 .11 3,221,037.41 GNMA II POOL I080408X ,000 3.397 AAA 103,032 3,188,323,74 1.16 36225CN28 6.5001 05/20/2030 DD 05/01/00 AAA 3,318,691.21 .96 3,ooo,000.00 GTE NORTH INC DEB SER A .ooo 5,852 Al 102,531 3,063,750.00 1.08 362337AD9 6.0001 01/15/2004 DD 01/15/94 A+ 3,075,930.00 .89 to 5,ooo,ooo.oo GENERAL ELEC CAP MTN ITR 00575 .ooo 5,032 AAA 108.312 S,203,500.00 1.90 0 36962GZY3 5,4501 01/15/2013 DD 12/06/02 AAA 5,41S,600,00 1.S6 0 :,,;- "d 4,000,000.00 GENERAL MTRS ACCEP MTN 100615 .ooo 1.630 Al 99,984 3,998,440,00 1.40 s:» (1Cj 37042WE80 VAR RT 08/04/2003 DD 08/03/01 BBB 3,999,360.00 1.1S (1) VI J ,ooo,000.00 GENERAL MTRS ACCEP CORP SR NT .ooo 5,894 Al 103,921 3,064,350.00 1.09 00 370425SD3 6,1251 08/28/2007 DD 08/29/02 BBB 3,117,630.00 ,90 3,ooo,000.00 GOLDMAN SACHS GROUP INC SR NT .ooo 3,926 AA3 105,078 3,030,030.00 1.10 38141GCS1 4,1251 01/15/2008 DD 01/13/03 A+ 3,152,340.00 .91 1,635,000.00 HOUSEHOLD FIN CORP NT .ooo 5,607 Al 113,703 1,772,820,00 ,6S 441812JWS 6.37S1 10/1S/2011 DD 10/23/01 A 1,8S9,044,0S ,S4 3,000,000 .00 JP MORGAN CHASE, CO SUB NT ,000 S.259 A2 109,328 3,127,260.00 1.15 46625HAT7 5,7501 01/02/2013 DD 11/2S/02 A 3,279,840.00 ,95 3,200,000.00 MORGAN STANLEY NT .ooo 3,S37 AA3 102,484 3,195,648.00 1.1S 617446HW2 3.6251 04/01/2008 DD 03/06/03 A+ 3,279,488.00 ,95 3,000,000.oo NATIONAL RURAL UTILS COOP FIN .ooo 6.055 A2 119. 734 3,465,480.00 1.26 637432CU7 7,2501 03/01/2012 DD 03/07/02 A 3,592,020,00 1.04 s,000,000.00 PHILIP MORRIS COS INC NTS ,000 7,246 BAA2 103.500 5,263,000.00 1.82 718154CH8 7,5001 04/01/2004 DD 04/01/97 BBB 5,175, 000,00 1.49 J,679,356.91 SBA GTD DEV PARTN 2001-20C 1 ,000 5.666 AAA 111.890 3,679,356.91 1.44 83162CLJO 6.3401 03/01/2021 AAA 4,116,832.45 1.19 YLDANAL YIELD ANALYSIS PAGE 11 OCSF07522202 2003/06/30 RUN DATE 07/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME 09.56,47 ----------------------=-------------------============-------======================================-~======================== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL -~-----------------------~---------------------·-----·-------------------------------------------------- 2,520,466.09 SBA GTD PARTN CTFS SBIC-PS 01 .ooo 6.056 AAA 109,640 2,520,466.09 .97 831641DD4 6.6401 02/10/2011 DD 02/21/01 NR 2,763,439.02 .eo 1,600,000.00 UNITED AIRLS PASSTHRU 01-1 C .ooo 45.540 B3 15.000 1,600,000.00 .OB 909317BC2 6.8311 03/01/2010 DD 08/22/01 A-240,000,00 .07 20,000,000.00 US TREASURY NOTES .ooo 5,433 AAA ll5,031 22,620,312.50 8.09 9128272JO 06,2501 02/15/2007 DD 02/15/97 AAA 23,006,300.00 6.63 57,100,000.00 US TREASURY NOTES .ooo 5,223 AAA ll0.094 62,782,901.47 22.11 9128276N7 05.7501 11/15/2005 DD 11/15/00 AAA 62,863,674.00 18.12 3,000,000.00 VERIZON GLOBAL FDG CORP GLOBAL .ooo 6.047 A2 121.968 3,530,490.00 1.28 92344GAT3 7.3751 09/01/2012 DD 08/26/02 A+ 3,659,040.00 1.05 t::o 3,500,000.00 VIRGINIA ELEC & PWR 01 SER A ,000 5.265 A3 109,203 3,487,680.00 1.34 0 927804ENO 5.7501 03/31/2006 DD 03/27/01 BBB+ 3,e22,105.oo 1.10 i '"C 16,242,520.00 US TREASURY INFLATION INDEX NT 3,817 3.074 AAA 109.797 14,312,299.52 6 ,27 s,., (Jq 9128272M3 3.3751 01/15/2007 DD 01/15/97 AAA 17,833,780.19 5 ,14 G V, \,C) 3,950,000.00 GMAC NTS S. , 7 52 1.391 Al 9!L953 3,918,768.50 1.38 370425QV5 VAR RT 08/18/2003 DD 08/17/98 BBB 3,948,143.50 1.14 15,500,000.00 FEDERAL NATL MTG ASSN DEBS S • 967 6.513 AAA '109.388 16,154,410.00 5.96 31359MFH1 7.1251 02/15/2005 DD 02/14/00 AAA 16,955,203.SS 4.89 1,307,944.14 FHLHC MULTICLASS MTG SER E3 A 6 ,316 4,058 AAA 101,156 1,309,337.63 ,46 3133TCE95 VAR RT 08/15/2032 DD 12/01/97 AAA 1,323,063.97 ,38 946,909.16 GNMA GTD REMIC TR 2000-9 FH 6 .320 1.671 AAA 100.538 946,909.16 .33 3837H4NX9 VAR RT 02/16/2030 AAA 952,003.53 .27 13,139.63 GNMA POOL t0500917 6 .389 5.705 AAA 105,176 12,472.39 .oo 36210SPAO 6.0001 04/15/2029 DD 04/01/99 AAA 13,819.71 .oo 46,987.95 GNMA POOL f0506636 6,389 5,705 AAA 105.176 44,601.84 .01 36210YY90 6.0001 04/15/2029 DD 04/01/99 AAA 49,419.94 .01 480,059.77 GNMA POOL t0503388 6 .389 5.705 AAA 105.176 455,681.73 .17 36210VF55 6.0001 03/15/2029 DD 03/01/99 AAA 504,906.61 .15 17,331.03 GNMA POOL 10499153 6 .389 5.705 AAA 105.176 16,450.93 .oo 36210QQES 6.0001 02/15/2029 DD 02/01/99 AAA 18,228.05 .01 YLDANAL YIELD ANALYSIS PAGE 12 OCSF07522202 2003/06/30 RUN DATE I 07/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME I 09.56.47 ------------------------------------------==========-====--=-::.=.=-. ·~=-===-======-==-==-~~--~-===--=:-~~=-=======-=-~~=:i·==-='"'-== PAR VALUE YTM AT CURRENT MOODY MARl(ET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION B001< YIELD S-P PRICE MAIU:ET VALUE I TOTAL ------------------------------------------------------------------------------------------------ 591,299.35 GNMA POOL 10496461 6 .390 5.705 AAA 105.176 561,272,41 .21 36210MQN4 6.0001 01/15/2029 DD 01/01/99 AAA 621,903.70 .18 155,449.71 GNMA POOL f0491103 6,390 5,705 AAA 105,176 147,555.79 .05 36210FRY4 6.0001 01/15/2029 DD 01/01/99 AAA 163,495.45 .OS 15,421.85 GNMA POOL t0486720 6,390 5,701 AAA 105,238 14,638, 72 .oo 36210AVH6 6,0001 12/15/2028 DD 12/01/98 AAA 16,229.69 .oo 30,334.10 GNMA POOL 10497343 6,390 5.701 AAA 105.238 28,793.70 .01 36210NP45 6.0001 12/15/2028 DD 12/01/98 AAA 31,923.09 .01 23,384,32 GNMA POOL 10469688 6,391 5,701 AAA 105,238 22,196.84 .oo 36209EXR8 6.0001 11/15/2028 DD 11/01/98 AAA 24,609.26 .01 t.c, 25,262.07 GNMA POOL 10467279 6,391 5.701 AAA 105.238 23,979.23 .oo 0 0 36209CCQ7 6.0001 10/15/2028 DD 10/01/98 AAA 26,585.37 .01 i'I" ',:I 53,896.22 GNMA POOL 10457814 6,391 5.701 AAA 105,238 51,159.29 ,01 ~ (IQ 3620BQSB3 6.0001 10/15/2028 DD 10/01/98 AAA 56,719.45 ,02 (1) 0\ 0 496,964.72 GNMA POOL 10467286 Ii ,391 5,701 AAA 105,238 471,728.23 ,18 36209CCX2 6,0001 10/15/2028 DD 10/01/98 AAA 522,997.12 ,15 696,226.29 GNMA POOL f0465555 6 ,392 5.701 AAA 105.238 660,871.07 .25 36209AE48 6.0001 09/15/2028 DD 09/01/98 AAA 732,696.57 .21 22,614.51 GNMA POOL 10483452 6,392 5,701 AAA 105,238 21,466.12 .oo 36209WBV3 6,0001 09/15/2028 DD 09/01/98 AAA 23,799.12 ,01 671,408.54 GNMA POOL 10465546 6 .392 5.701 AAA 105,238 637,313.58 ,24 36209AET3 6.0001 08/15/2028 DD 08/01/98 AAA 706,578.80 .20 482,731.25 GNMA POOL 10468339 6,392 5,701 AAA 105.238 458,217.58 ,17 36209DHQO 6.0001 08/15/2028 DD 08/01/98 AAA 508,018.06 .15 36,250.60 GNMA POOL 10438057 6,393 5,701 AAA 105.238 34,409,76 .01 36207PTN9 6.0001 05/15/2028 DD 05/01/98 AAA 38,149 ,51 .01 29,495,40 GNMA POOL 10468330 6,393 5,701 AAA 105,238 27,997,58 ,01 36209DRF4 6.0001 05/15/2028 DD 05/01/98 AAA 31,040.45 .01 645,515.68 FHLMC MULTICLASS CTF Tll A6 6,496 6.472 AAA 100.429 645,802,29 .22 3133TDPV2 6,5001 09/25/2018 AAA 648,284.94 ,19 YLDANAL YIELD ANALYSIS PAGE 13 OCSF07522202 2003/06/30 RUH DATE 07/07/03 DISTRICT: LONG-TERM OPERATING RUN TIME I 09 .56. 47 -----------------------------------------===-----==---------------=========================================================== PAR VALUE YT'M AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION 800K YIELD S-P PRICE MARltET VALUE I TOTAL ------------·------------------------------------------------------------------------------------ 2,928,067.24 FHLMC MULTICLASS CTF SER 1620Z 6,499 5,631 AAA 106,556 2,771,927.30 1.09 3133Tl7A4 6.000% 11/15/2023 DD 11/01/93 AAA 3,120,031.33 ,90 425,666.38 GNMA II POOL t080088M 6,705 4,243 AAA 103,107 434,977, 84 ,15 36225CC20 7,375% 06/20/2027 DD 06/01/97 AAA 438,892,77 .13 2,000,000.00 MARSH & MCLENNAN COS INC SR NT 6. 717 6.316 A2 104.890 1,992,280.00 ,73 571748AB8 6,6251 06/15/2004 DD 06/14/99 AA-2,097,800,00 .60 J,000,000.00 FORD MTR CR CO GLOBAL LANDMARX 6,739 6.453 A3 103.828 2,995,080.00 1.09 345397SJ3 6.700% 07/16/2004 DD 07/16/99 BBB 3,114,840.00 ,90 2,soo,000.00 COUNTRYWIDE HOME LNS INC NT 6,866 6,512 A3 105,187 2,498,400.00 .92 22237UAB8 6.8501 06/15/2004 DD 06/24/99 A 2,629,675.00 ,76 to 304,823.38 GNMA II POOL 10080023 6,992 5,423 AAA 103,734 309,872.02 .11 0 0 36225CAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 316,206,80 .09 ~ >,j ~ 2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7,113 5,530 AAA 119.799 2,030,133.00 .ea (IQ G 31359MEY5 6,6251 09/15/2009 DD 09/01/99 AAA 2,515,771,44 .73 °' ...... 1,000,000.oo FORD MOTOR CR CO NT 7,582 6,445 A3 104,734 965,170.00 .36 345397GV9 6.7501 05/15/2005 DD 05/2'/93 BBB 1,047,340,00 ,30 950,457.69 WNP/HUNTOON PAIGE 1000-11150 7,684 6,957 AAA 107,813 929,814.95 .36 302998GE3 7,5001 12/01/2030 DD 10/21/99 AAA 1,024,712,20 .30 J,000,000.00 PACIFICORP SECD MTN fTR 00115 7,709 6.817 A3 107,078 2,950,530.00 1.13 69512EEUS 7.3001 10/22/2004 DD 10/22/92 A 3,212,340,00 .93 1,600,000.00 ALLSTATE CORP SR NT 7,967 7.089 Al 111.093 1,594,032.00 ,62 020002AL5 7,8751 05/01/2005 DD 05/01/00 A+ 1,777,488.00 .51 ------------------------------------------- TOTAL FIXED INCOME SECURITIES ,551 5.241 274,934,389.54 100.00 284,275,048,94 82.04 --------------------~--------------------- TOTAL .535 5.089 337,529,991.50 100.00 346,870,650.90 100.00 -= ========= Balance Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund June 30, 2003 Par Value Book Value Market Value June 1, 2003 $9,367,427 $9,367,427 $9,367,427 Withdrawals: 6/2/2003 (400,000) (400,000) (400,000) 6/5/2003 (8,967,000) (8,967,000) {8,967,000) Total Withdrawls (9,367,000) (9,367,000) (9,367,000) Balance June 30, 2003 $427 $427 $427 Rate 1.769 1.769 1.769 1.769 1.769 * Yield for the month of May 2003. The Yield for the month of June 2003 was not available as of the date of this report. Book Page 62 Yield* 1.769 1.769 1.769 1.769 1.769 FAHR COMMITTEE Meeting Date To Bd. of Dir. 8/13/03 8/27/03 AGENDA REPORT Item Number Item Number FAHR03-67 Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Michael D. White, Controller SUBJECT: CONSIDERATION OF INTEREST RATE EXCHANGE POLICY GENERAL MANAGER'S RECOMMENDATION Approve an Interest Rate Exchange Agreement Policy relating to long-term debt financing by the District. SUMMARY The rating agencies look favorably upon state and local governments that have an established comprehensive Interest Rate Exchange Agreement Policy. Staff has developed the attached Interest Rate Exchange Policy in accordance with the standards developed and recommended by the Government Finance Officers Association and recommendations provided by the District's independent financial advisors, Public Resources Advisory Group. · PRIOR COMMITTEE/BOARD ACTIONS: None PROJECT/CONTRACT COST SUMMARY NIA 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. t8J Not applicable (information item) ADDITIONAL INFORMATION None. ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS 1. Proposed policy on Interest Rate Exchange Agreement Policy. G:lwp.dtalagenda\FAHR\FAHR200310803\03•67.lnterest Rate Exchange Policy.doc Book Page 63 Page 1 I @ FINANCE DEPARTMENT POLICY AND PROCEDURE Subject: Interest Rate Exchange Index: Finance Administration Agreement Policy Number: 201-3-2 Effective Date: July 9, 2003 II Prepared by: Finance Administration Supersedes: NIA I Approved By: FAHR Committee 1 .0 PURPOSE: The District's Interest Rate Exchange Agreement Policy provides guidelines for the use of hedging products including swaps, caps, floors, collars, options, and other similar financial instruments (collectively, "Hedging Products") in connection with the financial exposure of the District, including interest rate exposure. While the use of Hedging Products can reduce the District's exposure to certain risks, prudent monitoring of such instruments is necessary to preserve the District's credit standing and to allow for financial flexibility. As part of the ongoing responsibility of managing the District's finances, the Director of Finance will use these guidelines in determining the appropriate uses for financial Hedging Products and establishing goals for their use. In evaluating a particular transaction involving the use of financial Hedging Products, the Director of Finance shall review the short-term and long-term implications associated with entering into such agreements, including costs, risks, historical trends, capacity limitations, future flexibility, and other similar considerations. The purposes for which the District will consider the use of these products are: 1.1 To prudently reduce exposure to changes in financial valuations in the context of a particular financing, or the overall asset/liability management of the District; or 1.2 To achieve lower net costs to the District. 1.3 Hedging Products shall not be used for speculative purposes. Page 1 of 10 Book Page 64 I I 2.0 ORGANIZATIONS AFFECTED: General Manager's Office, Finance Department, General Counsel, bond rating agencies, financial advisors, bond underwriters, bond counsel, and external independent auditors. 3.0 REFERENCES: 3.1 Government Finance Officers Association publication "A Guide for Preparing a Debt Policy". 3.2 "Moody's on Municipals-An Introduction to Issuing Debt" by Moody's Investor Services. 3.3 Handbook for Muni-Bond Issuers by Joe Mysak, published by Bloomberg Professional Library. 3.4 Finance Department Policy and Procedure #201-3-1: Debt Policy. 4.0 POLICY: 4.1 Forms and Agreements- 4.1.1 To the extent possible, the Hedging Product agreements entered into by the District shall contain the terms and conditions set forth in the International Swap and Derivatives Association, Inc. ("ISDA'') Master Agreement, including any schedules and confirmation. 4.1 .1 .1 The schedule should be modified to reflect specific legal requirements and business terms desired by the District. 4.1 .1 .2 The Director of Finance shall consider whether to include provisions that permit the District or the counterparty to assign its rights and obligations under an agreement and to optionally terminate such agreement at its market value at anytime. 4.1 .2 The District will present the form of agreements to the Board of Directors and request authorization to enter into such agreements subject to modifications determined by the Director of Finance to be in the best interests of the District. Page 2 of 10 Book Page 65 4.2 Procurement- 4.2.1 It shall be the policy of the District to solicit and procure Hedging Products by competitive bidding whenever feasible. 4.2.2 The Director of Finance shall determine which parties it will allow to participate in a competitive transaction but such parties must conform to the minimum credit standards outlined in this Policy. 4.2.3 Notwithstanding the above, the Director of Finance may procure Hedging Products by negotiated methods if it is determined that due to the size or complexity of a particular instrument competitive bidding is undesirable, impractical, or impossible and a negotiated transaction would provide the most value to the District. 4.2.3.1 In such a situation, the Director of Finance should attempt to price the hedge based upon an agreed-to methodology relying on available pricing information to obtain inputs to a mathematical model. 4.2.3.2 If appropriate, the Director of Finance should use an independent financial advisory firm to assist in the price negotiations. 4.2.4 Regardless of the method of procurement, the Director of Finance shall obtain an independent finding that the terms and conditions of any Hedging Product reflect a fair market value of such agreement as of the date of its execution. 4.3 Risk Exposure- 4.3.1 Before entering into a Hedging Product, the Director of Finance shall evaluate all the risks inherent in the transaction. 4.3.1.1 Counterparty Risk: The Director of Finance shall endeavor to minimize counterparty risk by establishing strong minimum counterparty credit standards and diversifying the District's exposure to counterparties. To that end, before entering into a transaction, the District should determine its existing exposure to the relevant counterparty or counterparties and determine how the proposed transaction would affect the exposure. The exposure should not be measured solely in terms of amount or duration of the Hedging Product, but rather how changes in market conditions would affect the District's exposure Page 3 of 10 BookPage66 ("Value at Risk"). The Value at Risk should be based on all outstanding Hedging Product agreements with each counterparty. 4.3.1.2 Termination risk: The District may be required to make a large payment to the counterparty if the Hedging Product is terminated prior to its scheduled maturity pursuant to its terms. The termination risk can be minimized through selection of counterparties with strong creditworthiness, requiring the counterparty to post collateral in excess of the market value of the agreement, limiting the circumstances where a payment may be required, and by permitting the assignment of the agreement to a creditworthy entity in lieu of termination. 4.3.1.3 Rollover risk: The potential need to find a replacement counterparty as part of the overall plan of finance if the duration of the Hedging Product does not match the expected duration of the underlying financing to be hedged. Rollover risk can be minimized during the initial execution of the plan of finance by matching the duration of any hedge to the financing. 4.3.1 .4 Basis risk: The potential mis-match between the payments, typically based on an index, the District is receiving as part of a Hedging Product and the actual payments made by the District. The Director of Finance will evaluate different indices as part of its analysis of a Hedging Product and identify the amount of basis risk that may result from various indices. 4.3.1.5 Event risk: Results from the impact that an unexpected event (i.e. -counterparty actions as a result of certain events, changes in Federal and State income tax codes on interest rates, and other possible events that affect a Hedging Product) has on a hedge established by the District. The Director of Finance will evaluate the potential impact of changes in conditions that could affect the economics of a hedge; for example, how changes in marginal tax brackets affect the economics of using a taxable LIBOR-based interest rate to hedge tax-exempt variable rate exposure. 4.3.2 Identification of the risks and discussion of the means, if any, employed to mitigate the risks will be contained in the Director of Page 4 of 10 Book Page 67 Finance's report addressed to the Board of Directors recommending approval of the Hedging Product agreements. 4.4 Counterparty Credit Standards- 4.4.1 Certain risk reduction products result in a continuing exposure to the creditworthiness of financial institutions that serve as the District's counterparties on such transactions. To protect the District's interests in the event of a counterparty credit problem, the Director of Finance will recommend entering into a Hedging Product with a counterparty having capitalization of at least $200 million and only if: 4.4.1 .1 At least two of the counterparty's credit ratings are at least "Aa3" or "AA-", or equivalent by any two of the nationally recognized rating agencies (i.e. Moody's, Standard and Poor's, or Fitch); or 4.4.1.2 The payment obligations of the counterparty shall be unconditionally guaranteed by an entity with such minimum credit ratings. 4.5 Collateralization On Downgrade- 4.5.1 Should the rating (a) of the counterparty, if its payment obligations are not unconditionally guaranteed by another entity, or (b) of the entity unconditionally guaranteeing its payment obligations, if so secured, not satisfy the requirements set forth in "COUNTERPARTY CREDIT STANDARDS" above, then the obligations of such counterparty shall be collateralized with securities acceptable to the Director of Finance at thresholds with minimum transfer amounts as set forth in the Hedging Product agreement. 4.6 Termination- 4.6.1 A termination payment to or from the District may be required in the event of termination of a Hedging Product due to a default of either the District or the counterparty, certain additional termination events or optional termination by the District. 4.6.2 In the event of default by a counterparty whereby the District would be required to make a termination payment due to the current termination value of a Hedging Product, the Director of Finance will proceed as follows: Page 5 of 10 Book Page 68 4.6.2.1 In order to mitigate the financial impact of making such payment at the time such payment is due, the Director of Finance will seek to replace the terms of the terminated transaction with another counterparty. The District will also have the option to have the defaulting counterparty seek to reassign the agreement to a new counterparty that meets all District criteria. As long as the terms of the replacement Hedging Product agreement are substantially the same as the original agreement (i.e., amount/volume, interest rate, maturity date), the Director of Finance is authorized to find a replacement counterparty without the approval of the Board of Directors. 4.6.2.2 If a satisfactory agreement with a new or replacement counterparty is reached, the new counterparty will make an upfront payment to the District in an amount that should nearly offset the payment obligation of the District to the original counterparty. 4.6.2.3 If a satisfactory agreement with a replacement counterparty is not reached, the District will be required to make a termination payment to the original defaulting counterparty. 4.6.3 The Director of Finance will promptly report to the Board of Directors upon the occurrence of a termination event and the actions taken in response. 4.7 Legality- 4.7.1 In conjunction with any hedges, the District must obtain an opinion reasonably acceptable to the market from a regionally or nationally recognized law firm that such Hedging Product is a legal, valid, and binding obligation of the District. 4.8 Responsibilities- 4.8.1 The Director of Finance is responsible for determining the appropriate uses for risk reduction products in conjunction with the District's financings and programmatic needs and making recommendations to the Board of Directors. 4.8.2 The Controller is responsible for reflecting the use of Hedging Products and other derivative financing transactions on the District's financial statements in accordance with generally accepted accounting principles. Page 6 of 10 Book Page 69 4.9 Monitoring and Reporting- 4.9.1 The Director of Finance shall issue a report to the Finance, Administration and Human Resources Committee in each quarter which the District enters into or continues to be a party to a Hedging Product, which shall include, but not be limited to, the following information, to the extent applicable: 4.9.1.1 Highlights of all material changes to Hedging Product agreements including counterparty downgrades and/or terminations; 4.9.1.2 A summary of any new Hedging Products entered into by the District since the last report; 4.9.1.3 A summary of any planned Hedging Product transactions and the impact of such transactions on the District; a description of each outstanding Hedging Product agreement, including a summary of its terms and conditions, the notional amount, volume, rates, maturity, the estimated market value of each agreement, the method of procurement (competitive or negotiated), and the full name, description and credit ratings of the agreement's counterparty and if necessary, its applicable guarantor; 4.9.1.4 Any amounts which were required to be paid and received , and any amounts which actually were paid and received under each outstanding Hedging Product; 4.9.1.5 Any credit enhancement, liquidity facility or reserves associated therewith including an accounting of all costs and expenses incurred, whether or not in conjunction with the procurement of credit enhancement or liquidity facilities under each outstanding Hedging Product; and 4.9.1.6 An assessment of the counterparty risk, termination risk, and other risks associated therewith, which shall include the value of the collateral posted by counterparties and the District, the aggregate marked-to-market value for each counterparty and relative exposure compared to other counterparties, and a calculation of the District's Value at Risk for each counterparty. Page 7 of 10 Book Page 70 4.9.2 Such report shall also include a copy of this Policy in the quarter after it is adopted or subsequently modified. 5.0 DEFINITIONS: 5.1 AMORTIZATION RISK -Represents the cost to the issuer of servicing debt or honoring swap payments due to a mismatch between bonds and the notional amount of swap outstanding. Amortization risk is characteristic of swaps used to hedge variable rate bonds issued to finance amortizing assets, such as mortgages. Amortization risk occurs to the extent bonds and swap notional amounts become mismatched over the life of a transaction. 5.2 BASIS RISK -Refers to a mismatch between the interest rate received from the swap contract and the interest actually owed on the issuer's bonds. 5.3 CALL OPTION -A contract through which the owner is given the right but is not obligated to purchase the underlying security or commodity at a fixed price within a limited time frame. 5.4 CAP -A ceiling, or maximum, for the interest rate which would be paid. 5.5 COLLAR -The combination of owning a Cap and selling a Floor. Generally, it is structured so that the net cost of the collar is zero or close to zero. This means that the expense for the long cap premium is offset by the credit received for the floor premium. 5.6 COUNTER PARTY RISK-The risk that the swap counterparty will not fulfill its obligation to honor its obligations as specified under the contract. 5. 7 DERIVATIVE -A financial product which is based upon another product. Generally, derivatives are risk management tools. 5.8 FLOOR -A lower limit on the interest rate which would be paid. 5.9 INTEREST RATE RISK -The risk associated with changes in general interest rate levels or Yield Curves (See Yield Curves). 5.10 INTEREST RATE SWAP -The contract whereby one party typically agrees to exchange a floating rate for a fixed coupon rate. An essential characteristic of swaps is the swapping of cashflows and not principal amounts. 5.11 ISDA -The International Swaps and Derivatives Association, a global trade association representing participants in the derivatives industry. See a blank Page 8 of 10 Book Page 71 copy of the ISDA Master Agreement used in developing Hedging Product agreements within Appendix A. 5.12 LIBOR -London lnterBank Offered Rate is the average of rate quotes paid on deposits from five major banks; Bank of America, Barclays, Bank of Tokyo, Deutsche Bank, and Swiss Bank. LIBOR is quoted daily in the Wall Street Journal's Money Rates and compares closely to the 1-year Treasury Security index. LIBOR's cost of money is a widely monitored international interest rate indicator. LIBOR is currently being used by both Fannie Mae and Freddie Mac as an index on the loans they purchase. 5.13 NOTIONAL AMOUNT -The stipulated principal amount for a swap transaction. There is no transfer of ownership in the principal for a swap; but there is an exchange in the cash flows for the designated interest coupons. 5.14 OPTION -A derivative contract. There are two primary types of options. (See Put and Call). An option is considered a wasting asset because it has a stipulated life to expiration and may expire worthless. Hence, the premium could be wasted. 5.15 PUT OPTION -A contract which grants to the purchaser the right but not the obligation to offer or sell an underlying security. 5.16 ROLLOVER RISK -The risk that the swap contract is not coterminous with the related bonds and might be renewed in adverse conditions. 5. 17 SWAP -A customized financial transaction between two or more counterparties who agree to make periodic payments to one another. Swaps cover interest rate, equity, commodity and currency products. They can be simple floating for fixed exchanges or complex hybrid products with multiple option features. 5.18 TAX EVENT RISK -Issuers which issue tax-exempt variable rate bonds inherently accept risk stemming from changes in marginal income tax rates. This is due to the tax code's impact on the trading value of tax-exempt bonds. This risk is also a form of basis risk under swap contracts. 5.19 TERMINATION RISK -The risk that the swap could be terminated by the counterparty due to any of several events, which may include issuer or counterparty ratings downgrade, covenant violation by either party, bankruptcy of either party, swap payment default by either party, and default events as defined in the issuer's bond indenture. The events of default and termination, which could lead to involuntary termination of the contract should include failure to pay, bankruptcy, merger without assumption of obligations anq Illegality. Page 9 of 10 Book Page 72 5.20 YIELD CURVE -Refers to the graphical or tabular representation of interest rates across different maturities. The presentation often starts with the shortest term rates and extends towards longer maturities. It reflects the market's views about implied inflation/deflation, liquidity, economic and financial activity and other market forces. Page 10 of 10 Book Page 73 FAH.R COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Michael D. White, Controller SUBJECT: CONSIDERATION OF REVISION TO DEBT POLICY GENERAL MANAGER'S RECOMMENDATION Approve staff's proposed revision to the District's Debt Policy. SUMMARY Meeting Date To Bd. of Dir. 8/13/03 8/27/03 Item Number Item Number FAHR03-68 In September 2001, the Finance, Administration and Human Resources Committee and the Board approved the District's first official Debt Policy. The policy stated that one-half of all future long-term capital improvements will be funded from long-term debt with the remaining cost funded from capital improvement reserves and current revenues. The decision to meet secondary discharge standards and to disinfect our effluent has increased the capital improvement program to $2.2 billion of facilities to be constructed over the next ten- years. It is no longer feasible to expect that 50 percent of the improvements can be paid through capital improvement reserves and current revenues without rapid and significant rate increases. Staff recommends that the limitation on debt issuance be restricted to all capital improvements that cannot be financed from current revenue. PRIOR COMMITTEE/BOARD ACTIONS: Approved original debt policy in September 2001 . PROJECT/CONTRACT COST SUMMARY N/A 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. 18'.1 Not applicable (information item) ADDITIONAL INFORMATION N/A ALTERNATIVES NIA ATTACHMENTS 1 . Proposed revised policy on debt. C:\Documents and Settlngs\pope\Local Settings\Temporary Internet Files\OLKBF\03-68.Revised Debt Policy.doc Book Page 74 Page 1 I ~ FINANCE DEPARTMENT POLICY AND PROCEDURE Subject: Debt Policy I Index: Finance Administration Number: 201-3-1 Effective Date: August 13, 2003 Prepared by: Finance Administration Supersedes: September 19, 2001 Approved By: FAHR Committee 1 .0 PURPOSE: The foundation of any well-managed debt program is a comprehensive debt policy. A debt policy sets forth the parameters for issuing debt and managing outstanding debt, and provides guidance to decision makers regarding the timing and purposes for which debt may be issued, types and amounts of permissible debt, methods of sale that may be used and structural features that may be incorporated. The debt policy should recognize a binding commitment to full and timely repayment of all debt as an intrinsic requirement for entry into the capital markets. Adherence to a debt policy helps to ensure that a government maintains a sound debt position and that credit quality is protected. Advantages of a debt policy are as follows: 1.1 enhances the quality of decisions by imposing order and discipline, and promoting consistency and continuity in decision making; 1.2 rationalizes the decision-making process; 1.3 identifies objectives for staff to implement; 1 .4 demonstrates a commitment to long-term financial planning objectives, and; 1.5 is viewed positively by the rating agencies in reviewing credit quality. 2.0 ORGANIZATIONS AFFECTED: General Manager's Department, Finance Department, General Counsel, bond rating agencies, financial advisors, bond underwriters, bond counsel, and external independent auditors. Page 1 of 18 Book Page 75 3.0 REFERENCES: 3.1 1999 Strategic Plan Update. 3.2 1989 "2020 Vision" Master Plan. 3.3 Government Finance Officers Association publication "A Guide for Preparing a Debt Policy''. 3.4 "Moody's on Municipals-An Introduction to Issuing Debt" by Moody's Investor Services. 3.5 Handbook for Muni-Bond Issuers by Joe Mysak, published by Bloomberg Professional Library. 4.0 POLICY: 4.1 Limitations on lndebtedness- 4.1.1 The District's debt capacity will not exceed legal limitations, such as coverage requirements or additional bonds tests imposed by existing bond covenants, and will not rise to a level that will impair the District's bond ratings. 4.1 .2 Before any new debt is issued, the impact of debt service payments on total annual fixed costs will be analyzed. In accordance with existing COP indenture agreements, Net Operating Revenues must provide at least a 1.25 coverage ratio to the maximum annual debt service. 4.1.3 The District will restrict long-term borrowing to capital improvements that cannot be financed from current revenue. 4.1.4 Proceeds from long-term debt will not be used for current on-going operations. 4.2 Types of Debt- 4.2.1 The District may use short-term debt to cover temporary or emergency cash flow shortages. All short-term borrowing will be subject to Board approval by resolution.· Page 2 of 18 Book Page 76 4.2.2 The District may utilize Board approved intra-agency loans rather than outside debt instruments to meet short-term cash needs. Intra- agency loans will be permitted only if an analysis of the affected Revenue Areas indicates funds are available and the use of these funds will not impact current operations. The principal, along with interest at the prevailing rate as established by the District's Treasurer, will be paid to the lending Revenue Area. 4.2.3 Commercial Paper-The District may issue short-term debt in the form of Commercial Paper. Interest rates on commercial paper are generally more favorable to an issuer in comparison to other forms of debt. 4.2.4 Revenue Bonds-The District may issue as special obligations various types of revenue securities including notes, warrants, interim debentures, bonds, and temporary bonds. Securities issued as special obligations do not constitute outstanding indebtedness of the District nor do they exhaust its legal debt-incurring power. Bonding should be limited to projects with available revenue sources, whether self-generated or dedicated from other sources such as user fees. Adequate financing feasibility studies should be performed for each revenue issue. Sufficiency of revenues should continue throughout the life of the bonds. 4.2.5 Certificates of Participation-Certificates of participation are essentially leases which are sold to the public. The lease payments are subject to annual appropriation. Investors purchase certificates representing their participation in the lease. Often, equipment or facilities being acquired serve as collateral. These securities are most useful when other means to finance are not available under state law. 4.2.6 Refundings-A refunding is generally the underwriting of a new bond issue whose proceeds are used to redeem an outstanding issue. 4.2.6.1 Prior to beginning a refunding bond issue, the District will review and estimate of the savings achievable from the refunding. The District may also review a pro forma schedule estimating the savings assuming that the refunding is done at various points in the future. Following are the conditions under which the District will consider refunding outstanding bonds: Page 3 of 18 Book Page 77 4.3 Debt Structure- 4.2.6.1.1 Present value savings are at least three (3) percent of the par amount of the refunding bonds. 4.2.6.1.2 Present value savings exceed the costs of issuing the bonds. 4.2.6.1.3 The bonds to be refunded have restrictive or outdated covenants. 4.2.6.1.4 Current savings are acceptable when compared to savings that could be achieved by waiting for more favorable interest rates and/or call premiums. 4.2.6.1.5 Restructuring debt is deemed to be desirable. 4.3.1 Debt will be structured to achieve the lowest possible net cost to the District given market conditions, the urgency of the capital program, and the nature and type of security to be provided. 4.3.2 The District will design the repayment of its overall debt so as to rapidly recapture its credit capacity for future use. 4.3.2.1 The term of District debt issues should not extend beyond the useful life of the project and generally should not extend beyond 30 years unless there are compelling factors which make it necessary to extend the term further. 4.3.3 Debt issued by the District should be structured to provide for either level principal or level debt service. Deferring the repayment of principal should be avoided except in select instances where it will take a period of time before project revenues are sufficient to pay debt service. Ascending debt service should generally be avoided. 4.3.4 Variable Rate Obligations-When appropriate, the District may choose to issue variable rate obligations, or securities that pay a rate of interest that varies according to a predetermined formula or results from a periodic remarketing of the securities. 4.3.4.1 The maximum level of variable rate obligations incurred shall not exceed the level of available invested reserves. Page 4 of 18 Book Page 78 4.3.4.2 The District will maintain an overall fixed versus variable rate debt mix allowed for the District by the Rating Agencies. 4.4 Credit Objectives- 4.4.1 The District's goal is to maintain or improve its bond ratings. To that end, prudent financial management policies will be adhered to in all areas. 4.4.2 Rating Agencies- 4.4.2.1 Full disclosure of operations will be made to the bond rating agenices. District staff, with the assistance of the financial advisors and bond counsel, will prepare the necessary materials for and presentation to the rating agencies. 4.4.2.2 The District will maintain a line of communications with the rating agencies (Moody's, Standard & Poor's, and Fitch), informing them of major financial events at the District as they occur. The Comprehensive Annual Financial Report (CAFR) shall be distributed to the rating agencies after it has been accepted by the Board of Directors. 4.4.2.3 The rating agencies will be notified when the District begins preparation for a debt issuance. After the initial contact, a formal ratings application will be prepared and sent along with the draft of the Official Statement relating to the bond sale to the rating agencies. This application and related documentation should be sent several weeks prior to the bond sale to give the rating agencies sufficient time to perform their review. 4.4.2.4 A personal meeting with representatives of the rating agencies will be scheduled every few years or whenever a major project is initiated. 4.4.3 Credit Enhancements-are mechanisms which guarantee principal and interest payments. They include bond insurance and a line or letter of credit. A credit enhancement, while costly, will sometimes bring a higher rating from the rating agencies and a lower interest rate on debt, thus lowering overall costs. Credit enhancements will only be used when net debt service is reduced by more than the cost of the enhancement. During the debt issuance planning, the Financial Page 5 of 18 Book Page 79 Advisor will advise the District which credit enhancement if any, should be purchased. 4.4.4 Dedicated Revenue Sources-In order to ensure the most favorable credit ratings, District revenues are dedicated to debt service in the following order: 4.4.4.1 Ad valorem property tax. 4.4.4.2 Sanitary sewer service charges. 4.4.4.3 Other revenues. 4.5 Method of Sale- 4.5.1 The District will select a method of sale that is the most appropriate in light of financial, market, transaction-specific and issuer-related conditions, and explain the rationale for its decision. 4.5.1 .1 Competitive Sales-Debt obligations are generally issued through a competitive sale. The District and its financial advisor will set the terms of the sale to encourage as many bidders as possible. By maximizing bidding, the District seeks to obtain the lowest possible interest rates on its bonds. 4.5.1.2 Negotiated Sales-When certain conditions favorable for a competitive sale do not exist and when a negotiated sale will provide significant benefits to the District that would not be achieved through a competitive sale, the District may elect to sell its debt obligations through a private or negotiated sale. Such determination may be made on an issue-by-issue basis, for a series of issues, or for part or all of a specific financing program upon approval by the Finance, Administration, and Human Resources Committee (FAHR). 4.6 Methods of Selecting Consultants- 4.6.1 Financial Advisor-The District will retain an external financial advisor, to be selected for a term of up to four years, through a competitive process administered by the District's Finance Department. The utilization of the financial advisor for a particular bond sale will be on a case by case basis upon recommendation by the Director of Finance and approval by FAHR pursuant to a financial advisory service Page 6 of 18 Book Page 80 contract. For each District bond sale, the financial advisor will provide the District with information on pricing and underwriting fees for comparable sales by other issuers. 4.6.2 Underwriters-For all competitive and negotiated sales, underwriters will be required to demonstrate sufficient capitalization and experience related to the debt issuance. The selection of underwriters may be for an individual or series of financings or a specified time period. 4.6.3 Bond Counsel-The District will retain external bond counsel for all debt issues. All debt issued by the District will include a written opinion by bond counsel affirming that the District is authorized to issue the debt, stating that the District has met all state constitutional and statutory requirements necessary for issuance, and determining the debt's federal income tax status. Bond counsel will be selected for a term of up to four years through a competitive process administered by the District's Finance Department. The selection process will require comprehensive municipal debt experience. 4.6.4 Paying Agent-The District shall solicit periodically for paying agent services from qualified commercial and trustee banks. The cost of providing such services shall be used, along with other qualitative measurements, in developing a Paying Agent recommendation to the FAHR, along with the term of such agreement. 4. 7 Disclosure and Arbitrage Compliance- 4. 7 .1 The District will follow all State and federal regulations and requirements regarding bond provisions, issuance, taxation and disclosure. 4.7.2 The District will monitor compliance with bond covenants and adhere to federal arbitrage regulations. Any instances of noncompliance will be reported to the FAHR. 4.7.3 The District will maintain good communications with bond rating agencies about its financial condition and will follow a policy of full disclosure in every financial report and bond prospectus (Official Statement). 4.7.4 Official Statements accompanying debt issues, CAFR's, and continuous disclosure statements will meet, at a minimum, the standards articulated by the Municipal Standards Rulemaking Board (MSRB), the Government Accounting Standards Board (GASB), the Page 7 of 18 Book Page 81 National Federation of Municipal Analysts, the Securities and Exchange Commission (SEC), and Generally Accepted Accounting Principles (GAAP). The Finance Department will be responsible for ongoing disclosure to all Nationally Reconginzed Municipal Information Depositories (NRMSIRs) designated by the SEC and for maintaining compliance with disclosure standards promulgated by state and national regulatory bodies. 4.7.4.1 Quarterly compliance reports to NRMSIRs. 4.7.4.2 Copies of CAFR and updated tables from the Official Statement to NRMSIRs within six month of year end. 5.0 DEFINITIONS: 5.1 ACCRUED INTERST-In the sale of a new issue of municipal bonds, the dollar amount, based on the stated rate or rates of interest, which has accrued on the bonds from the dated date, or other stated date, up to but not including the date of delivery. When a bond is purchased in the secondary market, the dollar amount, based upon the stated rate of interest, which has accrued on the bond from the most recent interest payment date, up to but not including the date of settlement. Accrued interest is paid to the seller by the purchaser and is usually calculated on a 360-day year basis (assumes each month has 30 days). 5.2 ADDITIONAL BONDS TEST-Refers to legal test found in resolution or ordinance securing bonds; governs ability to issue additional bonds having the same lien on pledged revenues. Usually expressed as a ratio in which historic earnings meet certain levels of future debt service coverage. 5.3 ADDITIONAL OBLIGATIONS TEST-Refers to legal test found in the resolution which governs an agencies ability to issue additional obligations having the same lien on pledged revenues. The District's additional obligations test is expressed as a ratio in which historic earnings must meet or exceed certain levels of future obligation service coverage. 5.4 AD VALOR EM TAX-A direct tax based "according to value" of property. Counties and school districts and municipalities usually are, and special tax districts may be, authorized by law to levy ad valorem taxes on property other than intangible personal property. Local government bodies with taxing powers may issue bonds or short-term certificates payable from ad valorem taxation. 5.5 ADVANCE REFUNDING-A method of providing for payment of debt service on a bond until the first call date or designated call date from available funds. Page 8 of 18 Book Page 82 Advance refundings are done by issuing a new bond or using available funds and investing the proceeds in an escrow account in a portfolio of U.S. government securities structured to provide enough cash flow to pay debt service on the refunded bonds. 5.6 AMORTIZATION-The process of paying the principal amount of an issue of bonds by periodic payments either directly to certificate holders or to a sinking fund for the benefit of certificate holders. Payments are usually calculated to include interest in addition to a partial payment of the original principal amount. 5. 7 ARBITRAGE-With respect to the issuance local government obligations, arbitrage usually refers to the difference between the interest paid on the certificates issued and the interest earned by investing certificate proceeds. Arbitrate profits are permitted on bond proceeds for various temporary periods after issuance of local governmental obligations. Internal Revenue Service regulations govern arbitrage of local government obligation proceeds. 5.8 ARBITRAGE REBATE REQUIREMENTS-Arbitrage profits from the investment bond proceeds held within construction funds, obligation service reserve funds, and capitalized interest accounts that are invested in taxable instruments must be rebated to the U.S. Treasury Department. 5.9 AVERAGE COUPON-Weighted average interest cost of an issue. 5.10 BASIS POINT-Yields on municipal securities are usually quoted in basis points where one basis point is equal to 1/100 of one percent. 5.11 BOND-Written evidence of the issuer's obligation to repay a specified principal amount on a date certain (maturity date), together with interest at a stated rate, or according to a formula for determining that rate. Bonds are distinguishable from notes, which mature in a much shorter period of time. 5.12 BOND COUNSEL-An attorney (or firm of attorneys) retained by the issuer to give a legal opinion on the legality and security of the issue and its tax exemption or taxability. Typically, bond counsel may prepare, or review and advise the issuer regarding, authorizing resolutions or ordinances, trust indentures, official statements, validation proceedings and litigation. 5.13 BONDED DEBT-The portion of an issuer's total indebtedness as represented by outstanding bonds. 5.14 BOND INSURANCE-An insurance policy purchased by an issuer or an underwriter for either an entire issue or specific maturities, which guarantees Page 9 of 18 Book Page 83 the payment of principal and interest. This security provides a higher credit rating and thus a lower borrowing cost for an issuer. Bond insurance can be purchased directly by the District prior to the bond sale (direct purchase) or at the underwriter's option and expense (bidder's option). The District will attempt to qualify its bond issues for insurance with bond insurance companies rated AAA by Moody's Investors Services and Standard and Poor's Corportion when insurance is appropriate. 5.15 BOND RESOLUTION OR ORDINANCE-The document or documents representing action of the issuer authorizing the issuance and sale of municipal bonds. Issuance of the bonds is usually approved in the authorizing resolution or ordinance, and the sale is usually authorized in a separate document known as the "sale" or "award" resolution. All of such resolutions, read together, constitute the bond resolution, which describes the nature of the obligation and the issuer's duties to the bondholders. 5.16 BROKER-A person or firm, other than a bank, which acts as an intermediary by purchasing and selling securities for others rather than for its own account. 5.17 CALLABLE BOND-A bond which permits or requires the issuer to redeem the obligation before the stated maturity date at a specified price, usually at or above par by giving notice of redemption in a manner specified in the bond contract. 5.18 CAPITALIZED INTEREST-A portion of the proceeds of a bond issue set aside, upon issuance of the bonds, to pay interest on the bonds for a specified period of time. Interest is commonly capitalized during the construction period of a revenue-producing project. 5.19 CERTIFICATES OF PARTICIPATION-Obligations of a public entity based on a lease or installment sale agreement. These are not considered debt under Article 13 of the California Constitution. 5.20 CERTIFICATE HOLDER-The owner of a municipal certificate of participation to whom payments of principal and interest are made. Generally certificates are registered, and the owner is the person whose name is noted on the certificate register. 5.21 CERTIFICATE REGISTER-The listing of names and addresses of the current registered owners of the certificates, as maintained by the trustee or certificate registrar. 5.22 CAPITALIZED INTEREST-A portion of the proceeds of a certificate issue set aside, upon issuance of the certificates, to pay interest on the certificates Page 10 of 18 Book Page 84 for a specified period of time. Interest is commonly capitalized during the construction period of a revenue-producing project. 5.23 COMPETITIVE SALE-The sale of bonds through sealed bids. 5.24 COST OF ISSUANCE-The expenses associated with the sale of a new issue of municipal securities, including such items as underwriter's spread, printing, legal fees, and rating costs. 5.25 COVENANTS-The issuer's enforceable promise to perform or refrain from performing certain actions. With respect to municipal bonds, covenants are generally stated in the bond contract, resolution, or indenture. 5.26 COVERAGE-The ratio of pledged revenues available annually to pay debt service obligation, as compared to the annual debt service obligation requirement. This ratio is one indication of the margin of safety for debt service obligations. 5.27 CREDIT ENHANCEMENT-The availability of additional outside support designed to improve an issuer's own credit standing. Examples include bank lines of credit or collateralized funds. 5.28 CURRENT REFUNDING-A method of providing for payment of debt service on a bond until the first call date or designated call date from available funds. Current refundings are done by issuing a new bond or using available funds and investing the proceeds in an escrow account for a duration of 90 days or less. The escrow account consists of a portfolio of U.S. government securities structured to provide enough cash flow to pay debt service on the refunded bonds. 5.29 CURRENT YIELD-The ratio of the annual dollar amount of interest to the purchase price of a bond, stated as a percentage. 5.30 CUSIP NUMBERS (COMMITTEE ON UNIFORM SECURITY IDENTIFICATION PROCEDURES)-Identification numbers assigned each maturity of a bond issue, and usually printed on the face of each individual bond in the issue. The CUSIP numbers are intended to facilitate identification and clearance of municipal securities. 5.31 DEBT LIMIT-The maximum amount of debt which an issuer of municipal securities is permitted to incur under constitutional, statutory, or charter provisions. 5.32 DEBT PER CAPITA-Bonded debt divided by population. Page 11 of 18 Book Page 85 5.33 DEBT SERVICE OBLIGATION-The amount of funds necessary to pay principal and interest, and the required contributions to an amortization sinking fund for term certificates on an outstanding obligation. Debt service obligation on certificates may be calculated on a calendar-year or on a fiscal- year basis. 5.34 DEBT SERVICE RESERVE FUND-A fund usually amounting to principal and interest payments for one year and used only if pledged revenues do not generate sufficient funds to satisfy the debt service requirement. The reserve fund is typically funded in whole or in part from the proceeds of the debt issuance. The size and investment of the reserve fund are usually subject to arbitrage regulations. 5.35 DEBT SERVICE SCHEDULE-A table listing the annual payments necessary to meet debt service requirements over the period of time the bonds are to be outstanding. 5.36 DEFAULT-Failure to make timely payment of principal and interest, or comply with other features of the indenture. 5.37 DEFEASANCE-Eliminating bonded indebtedness off an issuer's books through creation of a portfolio of Treasury securities sufficient to make all debt service payments on prerefunded, outstanding bonds. 5.38 DIRECT DEBT-The debt that a governmental agency incurs in its own name. 5.39 DISCOUNT-The amount by which par value exceeds the price paid for a security which generally represents the difference between the nominal interest rate and the actual or effective return to the investor. 5.40 DOUBLE-BARRELED BOND-Traditionally, a bond secured by a defined source of revenue plus the full faith and credit of the issuer. The term is occasionally, although erroneously, used to refer to bonds secured by any two sources of pledged revenue. 5.41 DOWNGRADE-The lowering of a bond rating by a rating service. A downgrade would be considered if the issuer encountered major financial difficulties or economic decline, which may be viewed by the rating service as reducing the credit quality of the bond issue. 5.42 EFFECTIVE INTEREST RATE-The actual rate of interest earned by the investor on bonds purchased, after allowing for premiums, discounts, or accrued interest over the period of the investment. Page 12 of 18 Book Page 86 5.43 FEASIBILITY STUDY-A report by an independent expert on the economic need and practicality of a proposed debt program. 5.44 FINANCIAL ADVISOR-Performs analysis as to the appropriateness of a bond sale and, if the governing body of the agency determines that a bond sale is necessary, they then assist in its planning and preparation. 5.45 FLOATER-A security sold with a variable rate that changes at intervals ranging from daily to annually. 5.46 FULL FAITH AND CREDIT-The pledge of a government's general taxing power to pay off its debt obligations. 5.47 GENERAL OBLIGATION BONDS-Bonds which are secured by the full faith and credit of the issuer. General obligation bonds are secured by a pledge of a portion of the ad valorem taxing power. Such bonds constitute debts of the issuer and require approval by election prior to issuance. 5.48 GUARANTEED INVESTMENT CONTRACT (GIC)-Contract between an investment provider and issuer that guarantees a specific rate of return on the invested capital over the lifetime of the contract. The investment provider can be an insurance company, corporation, bank, or other entity whose rating exceeds the minimum levels defined in the documents. 5.49 HIGH GRADE BONDS-Top-rated bonds, usually triple-A. 5.50 INDENTURE-Legal document describing the terms and conditions of a bond offering, the rights of the bondholder, and the obligations of the issuer to the bondholder. The document is alternatively referred to as a bond resolution or deed of trust. 5.51 INTEREST RATE SWAP-An agreement between two parties to exchange future flows of interest payments. One party agrees to pay the other a fixed rate; the other pays the first party an adjustable rate usually tied to a short- term index. 5.52 INVERTED YIELD CURVE-When short-term rates are higher than long-term rates. 5.53 INVESTMENT GRADE-The broad credit designation given bonds which have a high probability of being paid. Such bonds, have few, if any, speculative features and are rated by the rating agencies in one of their top four categories, ranging from triple-A to BBB and Baa. Page 13 of 18 Book Page 87 5.54 ISSUER-A state, political subdivison, agency, or authority that borrows money through the sale of bonds or notes. 5.55 JUNIOR LIEN BONDS-Bond with a subordinate claim against pledged revenues. 5.56 LETTER OF CREDIT-An agreement, usually with a commercial bank, to guarantee demands for payment upon compliance with conditions established in the agreement. Bank letters of credit are typically used as additional sources of security and liquidity with variable rate obligations. 5.57 LIQUIDITY-The ability to convert assets, such as investments, readily into cash. 5.58 MATURITY-The date on which the principal amount of a security is due and payable to the certificate holder. 5.59 NEGOTIATED SALE-The sale of a new issue of municipal securities by an issuer through an exclusive agreement with a previously selected underwriter or underwriting syndicate. A negotiated sale should be distinguished from a competitive sale, which requires public bidding by the underwriters. Primary points of negotiation for the issuer are the interest rate and purchase price, which reflect the issuer's cost of offering its securities in the market. 5.60 NET INTEREST COST (NIC)-Traditional method of calculating an issuer's borrowing cost. NIC is derived by adding the total volume of interest payments for the entire offering and dividing by the amount of certificates outstanding times the years they are outstanding. 5.61 NOTES-A written, short-term promise of the issuer to repay a specified principal amount on a certain date, together with interest at a stated rate, or according to a formula for determining that rate, payable from a defined source of anticipated revenue. Notes usually mature in less than five years. Notes are used to cover seasonal cash flow needs or interim financings. 5.62 OFFICIAL STATEMENT (OS)-A document published by the issuer which generally discloses material information on a bond issue, including the purpose of the bond issue, how the bonds will be repaid, and the financial, economic and demographic characteristics of the issuer. Investors may use this information to evaluate the credit quality of the bonds. 5.63 ORIGINAL ISSUE DISCOUNT (O1D)-The discount from par at which a new issue comes to market. The capital gain represented by the OID is deemed tax-exempt by the IRS. Page 14 of 18 Book Page 88 5.64 OVERLAPPING DEBT-The issuer's share of the debt of other local units. 5.65 PAR VALUE-The principal amount of a security, which must be paid at maturity. Par value is also referred to as the face amount of a security. 5.66 PARITY BONDS-Separate bond issues that have the same lien against pledged revenues. 5.67 PAV-AS-YOU GO BASIS-The financial policy of a municipality that finances all capital outlays from current revenues rather than borrowing. 5.68 PAYING AGENT-The entity responsible for the payment of principal and interest on municipal obligations on behalf of the issuer. The paying agent is usually a bank or trust company. 5.69 PLEDGED REVENUES-Funds obligated for the payment of debt service and other deposits as required by the bond contract. 5. 70 PRELIMINARY OFFICIAL STATEMENT (POS)-A preliminary version of the official statement which is used by the issuer or underwriter to describe the proposed issue of municipal bonds prior to the determination of an interest rate and offering price. The preliminary official statement is a marketing tool used to gauge buyer's interest in the issue and is relied upon by potential purchasers in making their investment decisions. 5. 71 PREMIUM-The amount by which the price paid for a security exceeds par value, generally representing the difference between the nominal interest rate and the actual or effective return to the investor. 5. 72 PRESENT VALUE SAVINGS-Present value of gross savings discounted at the refunding bond yield to the closing date plus accrued interest less any contribution from a reserve or debt service fund. 5.73 PRINCIPAL-The par value or face amount of a bond payable or issue of bonds payable on stated dates of maturity. 5.74 PRIMARY MARKET-The market tor new issues of municipal securities. 5.75 PRIVATE PLACEMENT-An original issue of municipal securities sold directly to an institutional or private investor by way of a negotiated sale rather than through a public offering. 5.76 RATE CONVENANT-A bond indenture provision requiring rate changes necessary to meet annual ~ebt service payments. Page 15 of 18 Book Page 89 5. 77 RATINGS-Evaluations of the credit quality of notes and bonds usually made by independent rating services. Ratings generally measure the probability of the timely repayment of principal of and interest on municipal bonds. 5. 78 RATING AGENCIES-Credit quality evaluation of an issuer's securities made by independent rating services. The three primary rating agencies with regard to municipal debt are Moody's Investors Services, Standard & Poor's Corporation, and Fitch. 5.79 RATINGS-Evaluations of the credit quality of obligations usually made by independent rating services. Ratings generally measure the probability of the timely repayment of principal and interest on municipal obligations. The higher the credit rating, the more favorable the effect the marketability of the security. 5.80 REDEMPTION-, A transaction in which the issuer pays an outstanding obligation at a specified price usually at or above par prior to the specified maturity date. Also known as a call. 5.81 REFUNDING-Selling a new bond issue for redemption or defeasance of an outstanding bond issue. There are generally two reasons for refunding: to reduce the issuer's interest costs or to remove a burdensome or restrictive covenant imposed by the terms of the bonds being refinanced. 5.82 REGISTRAR: The person or entity responsible for maintaining records on behalf of the issuer for the purpose of noting the owners of registered obligations. The paying agent frequently performs this function. 5.83 REVENUE BONDS-Bonds payable from a specific source of revenue and which do not pledge the full faith and credit of the issuer. 5.84 SECONDARY MARKET-Market for bonds previously offered and sold. 5.85 SENIOR LIEN OBLIGATIONS: Obligations having a prior claim on pledge revenues. 5.86 SERIAL BONDS-Bonds of an issue in which some bonds mature in each year over a period of years. 5.87 SETTLEMENT-Delivery of and payment for a new issue of municipal bonds. Settlement usually occurs within 30 days after the bonds are awarded to the underwriters, which allows for the printing of the bonds and the completion of certain legal matters. Page 16 of 18 Book Page 90 5.88 SETTLEMENT DATE-The date used in price and interest computations, usually the date of delivery. 5.89 SINKING FUND-A fund established in a bond indenture that contains money available to call bonds prior to maturity. 5.90 STANDBY BOND PURCHASE AGREEMENT-A legal agreement with a commercial bank or trust company whereby the bank agrees to purchase demand bonds which the remarketing agent was unable to remarket to other parties and chose not to purchase for itself. 5.91 SUBORDINATE (JUNIOR) LIEN OBLIGATIONS-Obligations having a subordinate claim against pledged revenues. 5.92 TAX-EXEMPT OBLIGATIONS-Obligations whose interest is exempt from federal income taxation pursuant to Section 103 of the Internal Revenue Code, and may or may not be exempt from state income or personal property taxation in the jurisdiction where issued. 5.93 TERM BONDS-Bonds coming due in a single maturity. The issuer usually agrees to make periodic payments into a sinking fund for mandatory redemption of term bonds before maturity or for payment at maturity. 5.94 TRUE INTEREST COST (TIC)-The present value borrowing cost of the issuer reflected by taking into account the costs of issuance and underwriting. TIC is similar to NIC, but also accounts for the time value of money. 5.95 TRUSTEE-A financial institution with trust powers which acts in a fiduciary capacity for the benefit of bond holders in enforcing the terms of the bond indenture agreement. 5.96 TRUST INDENTURE-A contract between the issuer of municipal securities and a trustee, serving for the benefit of the security holders. 5.97 UNDERWRITER-A dealer at a bank or brokerage house who buys an agencies bonds in order for the firm's sales force to resell them to both institutional and retail investors. The underwriter may acquire the bonds either by negotiation with the issuer, or by award on the basis of competitive bidding. 5.98 UNDERWRITERS COUNSEL-A lawyer involved in the transaction, who represents the securities firm buying an agency's bonds. Page 17 of 18 Book Page 91 5.99 VARIABLE RATE OBLIGATIONS-A tax-exempt security whose interest rate is reset periodically by the remarketing agent according to a preset formula defined in the indenture agreement. The variable interest rate, also known as a ''floater'', is determined by the remarketing agent as the level at which all bonds trade at par. 5.100 YIELD CURVE-Graph displaying the term structure of interest rates by plotting the yields of all bonds of the same quality with maturities ranging from shortest to the longest available. 5.101 YIELD TO MATURITY-The rate of return to the investor earned from payments of principal and interest, which compounded semiannually and assuming that interest paid is reinvested at the same rate. Yield to maturity takes into consideration the time value of the investment. 5.102 ZERO-COUPON BONDS-Bonds sold at a deep discount from par, pay no interest, and appreciate to full value at maturity. Also known as capital appreciation bonds. Page 18 of 18 Book Page 92 APPENDIX A Book Page93 (Local Currency-Single Jurisdiction) International Swap Dealers Association, Inc. MASTER AGREEMENT dated as of [ [PARTY A] (''Party A") and [PARTYB] (''Party B") ], 2003 have entered and/or anticipate entering into one or more transactions (each a "Transaction") that are or will be governed by this Master Agreement, which includes the schedule (the "Schedule"), and the documents and other confirming evidence (each a "Confirmation") exchanged between the parties confirming those Transactions. Accordingly, the parties agree as follows:- 1. Interpretation (a) Definitions. The terms defined in Section 12 and in the Schedule will have the meanings therein specified for the purpose of this Master Agreement. (b) Inconsistency. In the event of any inconsistency between the provisions of the Schedule and the other provisions of this Master Agreement, the Schedule will prevail. In the event of any inconsistency between the provisions of any Confirmation and this Master Agreement (including the Schedule), such Confirmation will prevail for the purpose of the relevant Transaction. ( c) Single Agreement. All Transactions are entered into in reliance on the fact that this Maser Agreement and all Confirmations form a single agreement between the parties (collectively referred to as this "Agreement"), and the parties would not otherwise enter into any Transactions. 2. Obligations (a) General Conditions. (i) Each party will make each payment or delivery specified in each Confirmation to be made by it, subject to the other provisions of this Agreement. (ii) Payments under this Agreement will be made on the due date for value on that date in the place of the account specified in the relevant Confirmation or otherwise pursuant to this Agreement, in freely transferable funds and in the manner customary for payments in the required currency. Where settlement is by delivery (that is, other than by payment), such delivery will be made for receipt on the due date in the manner customary for the relevant obligation unless otherwise specified in the relevant Confirmation or elsewhere in this Agreement. Copyright © 1992 by International Swap Dealers Association, Inc. DOCSNYJ :948479.1 40786-108 TNG Book Page 94 (iii) Each obligation of each party under Section 2(a)(i) is subject to (1) the condition precedent that no Event of Default or Potential Event of Default with respect to the other party has occurred and is continuing, (2) the condition precedent that no Early Tennination Date in respect of the relevant Transaction has occurred or been effectively designated and (3) each other applicable condition precedent specified in this Agreement. (b) Cha11ge of Accozuzt. Either party may change its account for receiving a payment or delivery by giving notice to the other party at least five Local Business Days prior to the scheduled date for the payment 01· delivery to which such change applies unless such other party gives timely notice of a reasonable objection to such change. (c) Netting. If on any date amounts would otherwise be payable:- (i) in the same currency; and (ii) in respect of the same Transaction, by each party to the other, then, on such date, each party's obligation to make payment of any such amount will be automatically satisfied and discharged and, if the aggregate amount that would otherwise have been payable by one party exceeds the aggregate amount that would otherwise have been payable by the other party, replaced by an obligation upon the party by whom the larger aggregate amount would have been payable to pay to the other party the excess of the larger aggregate amount over the smaller aggregate amount. The parties may elect in respect of two or more Transactions that a net amount will be detennined in respect of all amounts payable on the same date in the same currency in respect of such Transactions, regardless of whether such amounts are payable in respect of the same Transaction. The election may be made in the Schedule or a Confirmation by specifying that subparagraph (ii) above will not apply to the Trnnsacti:ons identified as being subject to the election, together with the starting date (in which case subparagraph (ii above will not, or will cease to, apply to such Transactions from such date). This election may be made separately for different groups of Transactions and will apply separately to each pairing of branches or offices through which the parties make and receive payments or deliveries. (d) Default Interest; Other Amounts. Prior to the occurrence or effective designation of an Early Tennination Date in respect of the relevant Transaction, a party that defaults in the performance of any payment obligation will, to the extent pennitted by law and subject to Section 6(c), be required to pay interest (before as well as after judgment) on the overdue amount to the other party on demand in the same currency as such overdue amount, for the period from (and including) the original due date for payment to (but excluding) the date of actual payment, at the Default Rate. Such interest will be calculated on the basis of daily compounding and the actual number of days elapsed. If, prior to the occurrence or effective designation of an Early Tennination Date in respect of the relevant Transaction, a party defaults in the performance of any obligation required to be settled by delivery, it will compensate the other party on demand if and to the extent provided for in the relevant Confirmation or elsewhere in this Agreement. 3. Representations Each party represents to the other party (which representations will be deemed to be repeated by each party on each date on which a Transaction is entered into) that:- (a) Basic Representations. (i) Status. It is duly organised and validly existmg under the laws of the jurisdiction of its organisation or incorporation and, if relevant under such laws, in good standing; (ii) Powers. It has the power to execute this Agreement and any other documentation relating to this Agreement to which it is a party, to deliver this Agreement and any other documentation relating to this Agreement that it is required by this Agreement to deliver and to perform its obligations under this Agreement and any obligations it has under any Credit Support Document to which it is a party and has taken all necessary action to authorise such execution, delivery and performance; DOCSNYI :948479.1 40786-108 TNG 2 Book Page 95 ISDA® 1992 (iii) No Violation or Conflict. Such execution, delivery and performance do not violate or conflict with any law applicable to it, any provision of its constitutional documents, any order or judgment of any court or other agency of government applicable to it or any of its assets or any contractual restriction binding on or affecting it or any of its assets; (iv) Consents. All governmental and other consents that are required to have been obtained by it with respect to this Agreement or any Credit Support Document to which it is a party have been obtained and are in full force and effect and all conditions of any such consents have been complied with; and (v) Obligations Binding. Its obligations under this Agreement and any Credit Support Document to which it is a party constitute its legal, valid and binding obligations, enforceable in accordance with their respective terms (subject to applicable bankruptcy, reorganisation, insolvency, moratorium or similar laws affecting creditors' rights generally and subject, as to enforceability, to equitable principles of general application (regardless of whether enforcement is sought in a proceeding in equity or at law)). (b) Absence of Certain Events. No Event of Default or Potential Event of Default or, to its knowledge, Termination Event with respect to it has occurred and is continuing and no such event or circumstance would occur as a result of its entering into or performing its obligations under this Agreement or any Credit Support Document to which it is a party. (c) Absence of Litigation. There is not pending or, to its knowledge, threatened against it or any of its Affiliates any action, suit or proceeding at law or in equity or before any court, tribunal, governmental body, agency or official or any arbitrator that is likely to affect the legality, validity or enforceability against it of this Agreement or any Credit Support Document to which it is a party or its ability to perform its obligations under this Agreement or such Credit Support Document. (d) Accuracy of Specified Information. All applicable information that is furnished in writing by or on behalf of it to the other party and is identified for the purpose of this Section 3(d) in the Schedule is, as of the date of the information, true, accurate and complete in every material respect. 4. Agreements Each party agrees with the other that, so long as either party has or may have any obligation under this Agreement or under any Credit Support Document to which it is a party:- (a) Furnish Specified Information. It will deliver to the other party any forms, documents or certificates specified in the Schedule or any Confirmation by the date specified in the Schedule or such Confirmation or, if none is specified, as soon as reasonably practicable. (b) Maintain Authorisations. It will use all reasonable efforts to maintain in full force and effect all consents of any governmental or other authority that are required to be obtained by it with respect to this Agreement or any Credit Support Document to which it is a party and will use all reasonable efforts to obtain any that may become necessary in the future. (c) Comply with Laws. It will comply in all material respects with all applicable laws and orders to which it may be subject if failure so to comply would materially impair its ability to perform its obligations under this Agreement or any Credit Support Document to which it is a party. 5. Events of Default and Termination Events (a) Events of Default. The occurrence at any time with respect to a party or, if applicable, any Credit Support Provider of such party or any Specified Entity of such party of any of the following events constitutes an event of default (an "Event of Default") with respect to such party:- (i) Failure to Pay or Deliver. Failure by the party to make, when due, any payment under this Agreement or delivery under Section 2(a)(i) or 2(d) required to be made by it if such failure is not remedied on or before the third Local Business Day after notice of such failure is given to the party; DOCSNYl:948479.l 40786-108 TNG 3 Book Page 96 ISDA® 1992 (ii) Breach of Agreement. Failure by the party to comply with or perform any agreement or obligation (other than an obligation to make any payment under this Agreement or delivery under Section 2(a)(i) or 2(d) or to give notice of a Termination Event or any agreement or obligation under Section 4(a)) to be complied with or performed by the party in accordance with this Agreement if such failure is not remedied on or before the thirtieth day after notice of such failure is given to the party; (iii) Credit Support Default. (1) Failure by the party or any Credit Support Provider of such party to comply with or perform any agreement or obligation to be complied with or performed by it in accordance with any Credit Support Document if such failure is continuing after any applicable grace period has elapsed; (2) the expiration or termination of such Credit Support Document or the failing or ceasing of such Credit Support Document to be in full force and effect for the purpose of this Agreement (in either case other than in accordance with its terms) prior to the satisfaction of all obligations of such party under each Transaction to which such Credit Support Document relates without the written consent of the other party; or (3) the party or such Credit Support Provider disaffirms, disclaims, repudiates or rejects, in whole or in part, or challenges the validity of, such Credit Support Document; (iv) Misrepresentation. A representation made or repeated or deemed to have been made or repeated by the party or any Credit Support Provider of such party in this Agreement or any Credit Support Document proves to have been incorrect or misleading in any material respect when made or repeated or deemed to have been made or repeated; (v) Default under Specified Transaction. The party, any Credit Support Provider of such party or any applicable Specified Entity of such party (1) defaults under a Specified Transaction and, after giving effect to any applicable notice requirement or grace period, there occurs a liquidation of, an acceleration of obligations under, or an early termination of, that Specified Transaction, (2) defaults, after giving effect to any applicable notice requirement or grace period, in making any payment or delivery due on the last payment, delivery or exchange date of, or any payment on early termination of, a Specified Transaction (or such default continues for at least three Local Business Days if there is no applicable notice requirement or grace period) or (3) disaffirms, disclaims, repudiates or rejects, in whole or in part, a Specified Transaction (or such action is taken by any person or entity appointed or empowered to operate it or act on its behalf); (vi) Cross Default. If "Cross Default" is specified in the Schedule as applying to the party, the occurrence or existence of (1) a default, event of default or other similar condition or event (however described) in respect of such party, any Credit Support Provider of such party or any applicable Specified Entity of such party under one or more agreements or instruments relating to Specified Indebtedness of any of them (individually or collectively) in an aggregate amount of not less than the applicable Threshold Amount (as specified in the Schedule) which has resulted in such Specified Indebtedness becoming, or becoming capable at such time of being declared, due and payable under such agreements or instruments, before it would otherwise have been due and payable or (2) a default by such party, such Credit Support Provider or such Specified Entity (individually or collectively) in making one or more payments on the due date thereof in an aggregate amount of not less than the applicable Threshold Amount under such agreements or instruments (after giving effect to any applicable notice requirement or grace period); (vii) Bankruptcy. The party, any Credit Support Provider of such party or any applicable Specified Entity of such party:- ( I) is dissolved (other than pursuant to a consolidation, amalgamation or merger); (2) becomes insolvent or is unable to pay its debts or fails or admits in writing its inability generally to pay its debts as they become due; (3) makes a general assignment, arrangement or composition with or for the benefit of its creditors; (4) institutes or has instituted against it a proceeding seeking a judgment of insolvency or bankruptcy or any other relief under any bankruptcy or insolvency law or other similar law affecting creditors' rights, or a petition is presented for its winding-up or liquidation, and, DOCSNYl:948479.1 40786-108 TNG 4 Book Page 97 ISDA® 1992 in the case of any such proceeding or petition instituted or presented against it, such proceeding or petition (A) results in a judgment of insolvency or bankruptcy or the entry of an order for relief or the making of an order for its winding-up or liquidation or (B) is not dismissed, discharged, stayed or restrained in each case within 30 days of the institution or presentation thereof; (5) has a resolution passed for its winding-up, official management or liquidation (other than pursuant to a consolidation, amalgamation or merger); (6) seeks or becomes subject to the appointment of an administrator, provisional liquidator, conservator, receiver, trustee, custodian or other similar official for it or for all or substantially all its assets; (7) has a secured party take possession of all or substantially all its assets or has a distress, execution, attachment, sequestration or other legal process levied, enforced or sued on or against all or substantially all its assets and such secured party maintains possession, or any such process is not dismissed, discharged, stayed or restrained, in each case within 30 days thereafter; (8) causes or is subject to any event with respect to it which, under the applicable laws of any jurisdiction, has an analogous effect to any of the events specified in clauses (1) to (7) (inclusive); or (9) takes any action in furtherance of, or indicating its consent to, approval of, or acquiescence in, any of the foregoing acts; or (viii) Merger Without Assumption. The party or any Credit Support Provider of such party consolidates or amalgamates with, or merges with or into, or transfers all or substantially all its assets to, another entity and, at the time of such consolidation amalgamation, merger or transfer:- (!) the resulting, surviving or transferee entity fails to assume all the obligations of such party or such Credit Support Provider under this Agreement or any Credit Support Document to which it or its predecessor was a party by operation of law or pursuant to an agreement reasonably satisfactory to the other party to this Agreement; or (2) the benefits of any Credit Support Document fail to extend (without the consent of the other party) to the performance by such resulting, surviving or transferee entity of its obligations under this Agreement. (b) Tennination Events. The occurrence at any time with respect to a party or, if applicable, any Credit Support Provider of such party or any Specified Entity of such party of any event specified below constitutes an Illegality if the event is specified in (i) below, and, if specified to be applicable, a Credit Event Upon Merger if the event is specified pursuant to (ii) below or an Additional Termination Event if the event is specified pursuant to (iii) below:- (i) Illegality. Due to the adoption of, or any change in, any applicable law after the date on which a Transaction is entered into, or due to the promulgation of, or any change in, the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any applicable law after such date, it becomes unlawful (other than as a result of a breach by the party of Section 4(b)) for such party (which will be the Affected Party):- (1) to perform any absolute or contingent obligation to make a payment or delivery or to receive a payment or delivery in respect of such Transaction or to comply with any other material provision of this Agreement relating to such Transaction; or (2) to perform, or for any Credit Support Provider of such party to perform, any contingent or other obligation which the party (or such Credit Support Provider) has under any Credit Support Document relating to such Transaction; (ii) Credit Event Upon Merger. If "Credit Event Upon Merger" is specified in the Schedule as applying to the party, such party ("X"), any Credit Support Provider ofX or any applicable Specified Entity of X consolidates or amalgamates with, or merges with or into, or transfers all or substantially all its assets to another entity and such action does not constitute an event described in Section 5(a)(viii) but the creditworthiness of the resulting, surviving or transferee entity is materially weaker than that of X, such Credit Support Provider or such Specified Entity, as the case may be, immediately prior to such action (and, in such event X or its successor or transferee, as appropriate, will be the Affected Party); or DOCSNYl:948479.1 40786-108 TNG 5 BookPage98 ISDA® 1992 (iii) Additional Tennination Event. If any "Additional Termination Event" is specified in the Schedule or any Confirmation as applying, the occurrence of such event (and, in such event, the Affected Party or Affected Parties shall be as specified for such Additional Termination Event in the Schedule or such Confirmation). (c) Event of Default and Illegality. If an event or circumstance which would otherwise constitute or give rise to an Event of Default also constitutes an Illegality, it will be treated as an Illegality and will not constitute an Event of Default. 6. Early Termination (a) Right to Tenninate Following Event of Default. If at any time an Event of Default with respecl Lo a party (the "Defaulting Party" has occurred and is then continuing, the other party the "Non-defaulting Party'' may, by not m.ore than 20 days notice to the Defaulting Party specifying the relevant Event of Default. designate a day not earlier Lhan the day uch notice is effecti e as an Early Termination Date in respect of all outstanding Transactions. If, however "Automatic Early Termination' is specified in the chedule as applying to a party, then an Early Termination Date in respect of all outstanding Transactions will occur immediately upon the occurrence with respect to such party of fill Event of Default specified in Section 5(a)(vii)(l), (3), (5), (6) or, to the extent analogous thereto, (8), and as of the time immediately preceding the institution of the relevant proceeding or the presentation of the relevant petition upon the occurrence with respect to such party of an Event of Default specified in Section 5(a)(vii)(4) or, to the extent analogous thereto, (8). (b) Right to Tenninate Following Tennination Event. (i) Notice. If a Termination Event occurs, an Affected Party will, promptly upon becoming aware of it notify the other party, specifying the nature of that Termination Event and each Affected Transaction and will also give such other information about that Termination Event as the other party may reasonably require. (ii) Two Affected Parties. If an Illegality under Section 5(b)(l) occurs and there are two Affected Parties, each party will use all reasonable efforts to reach agreement within 30 days after notice thereof is given under Section 6(b)(i) on action to avoid that Termination Event. (iii) Right to Tenninate. If:- (1) an agreement under Section 6(b )(ii) has not been effected with respect to all Affected Transactions within 30 days after an Affected Party gives notice under Section 6(b)(i); or (2) an Illegality other than that referred to in Section 6(b)(ii), a Credit Event Upon Merger or an Additional Termination Event occurs, either party in the case of an Illegality, any Affected Party in the case of an Additional Termination Event if there is more than one Affected Party, or the party which is not the Affected Party in the case of a Credit Event Upon Merger or an Additional Termination Event if there is only one Affected Party may, by not more than 20 days notice to the other party and provided that the relevant Termination Event is then continuing, designate a day not earlier than the day such notice is effective as an Early Termination Date in respect of all Affected Transactions. (c) Effect of Designation. (i) If notice designating an Early Termination Date is given under Section 6(a) or (b), the Early Termination Date will occur on the date so designat d, whether or not the re'levant Event of Default or Termination Event is then continuing. (ii) Upon the occurrence or effective designation of an Early Termination Date, no further payments or deliveries under Section 2(a)(i) or 2(d) in respect of the Terminated Transactions will be required to be made, but without prejudice to the other provisions of this Agreement. The amount, if any, payable in respect of an Early Termination Date shall be determined pursuant to Section 6(e). DOCSNYI :948479.1 40786-108 TNG 6 Book Page 99 ISDA® 1992 (d) Calculations. (i) Statement. On or as soon as reasonably practicable following the occurrence of an Early Tennination Date, each party will make the calculations on its part, if any, contemplated by Section 6(e) and will provide to the other party a statement (1) showing, in reasonable detail, such calculations (including all relevant quotations and specifying any amount payable under Section 6(e)) and (2) giving details of the relevant account to which any amount payable to it is to be paid. In the absence of written confirmation from the source of a quotation obtained in detennining a Market Quotation, the records of the party obtaining such quotation will be conclusive evidence of the existence and accuracy of such quotation. (ii) Payment Date. An amount calculated as being due in respect of any Early Tennination Date under Section 6(e) will be payable on the day that notice of the amount payable is effective (in the case of an Early Tennination Date which is designated or occurs as a result of an Event of Default) and on the day which is two Local Business Days after the day on which notice of the amount payable is effective (in the case of an Early Tennination Date which is designated as a result of a Tennination Event). Such amount will be paid together with (to the extent pennitted under applicable law) interest thereon (before as well as after judgment), from (and including) the relevant Early Tennination Date to (but excluding) the date such amount is paid, at the Applicable Rate. Such interest will be calculated on the basis of daily compounding and the actual number of days elapsed. (e) Payments on Early Termination. If an Early Tennination Date occurs, the following provisions shall apply based on the parties' election in the Schedule of a payment measure, either "Market Quotation" or "Loss", and a payment method, either the "First Method" or the "Second Method". If the parties fail to designate a payment measure or payment method in the Schedule, it will be deemed that "Market Quotation" or the "Second Method", as the case may be, shall apply. The amount, if any, payable in respect of an Early Tennination Date and detennined pursuant to this Section will be subject to any Set-off. (i) Events of Default. If the Early Tennination Date results from an Event of Default:- (!) First Method and Marker Quotation. If the First Method and Market Quotation apply, the Defaulting Party will pay to the Non-defaulting Party the excess, if a positive number, of (A) the sum of the Settlement Amount (detennined by the Non-defaulting Party) in respect of the Terminated Transactions and the Unpaid Amounts owing to the Non-defaulting Party over (B) the Unpaid Amounts owing to the Defaulting Party. (2) First Method and Loss. If the First Method and Loss apply, the Defaulting Party will pay to the Non-defaulting Party, if a positive number, the Non-defaulting Party's Loss in respect of this Agreement. (3) Second Method and Market Quotation. If the Second Method and Market Quotation apply, an amount will be payable equal to (A) the sum of the Settlement Amount (detennined by the Non- defaulting Party) in respect of the Tenninated Transactions and the Unpaid Amounts owing to the Non-defaulting Party less (B) the Unpaid Amounts owing to the Defaulting Party. If that amount is a positive number, the Defaulting Party will pay it to the Non-defaulting Party: if it is a negative number, the Non-defaulting Party will pay the absolute value of that amount to the Defaulting Party. (4) Second Method and Loss. If the Second Method and Loss apply, an amount will be payable equal to the Non-defaulting Party's Loss in respect of this Agreement. If that amount is a positive number, the Defaulting Party will pay it to the Non-defaulting Party; if it is a negative number, the Non-defaulting Party will pay the absolute value of that amount to the Defaulting Party. (ii) Termination Events. If the Early Tennination Date results from a Termination Event:- (1) One Affected Party. If there is one Affected Party, the amount payable will be determined in accordance with Section 6(e)(i)(3), if Market Quotation applies, or Section 6(e)(i)(4), if Loss applies, except that, in either case, references to the Defaulting Party and to the Non-defaulting Party will be deemed to be references to the Affected Party and the party which is not the Affected Party, DOCSNYl:948479.1 40786-108 TNG 7 Book Page 100 ISDA® 1992 respectively, and, if Loss applies and fewer than all the Transactions are being tenninated, Loss shall be calculated in respect of all Tenninated Transactions. (2) Two Affected Parties. If there are two Affected Parties:- (A) if Market Quotation applies, each party will detennine a Settlement Amount in respect of the Tenninated Transactions, and an amount will be payable equal to (I) the sum of (a) one-half of the difference between the Settlement Amount of the party with the higher Settlement Amount ("X") and the Settlement Amount of the party with the lower Settlement Amount ("Y") and (b) the Unpaid Amounts owing to X less (II) the Unpaid Amounts owing to Y; and (B) if Loss applies, each party will detennine its Loss in respect of this Agreement (or, if fewer than all the Transactions are being tenninated, in respect of all Tenninated Transactions) and an amount will be payable equal to one-half of the difference between the Loss of the party with the higher Loss ("X") and the Loss of the party with the lower Loss ("Y"). If the amount payable is a positive number, Y will pay it to X; if it is a negative number, X will pay the absolute value of that amount to Y. (iii) Adjustment for Bankruptcy. In circumstances where an Early Tennination Date occurs because "Automatic Early Tennination" applies in respect of a party, the amount detennined under this Section 6(e) will be subject to such adjustments as are appropriate and pennitted by law to reflect any payments or deliveries made by one party to the other under this Agreement (and retained by such other party) during the period from the relevant Early Tennination Date to the date for payment detennined under Section 6(d)(ii). (iv) Pre-Estimate. The parties agree that if Market Quotation applies an amount recoverable under this Section 6(e) is a reasonable pre-estimate of loss and not a penalty. Such amount is payable for the loss of bargain and the loss of protection against future risks and except as otherwise provided in this Agreement neither party will be entitled to recover any additional damages as a consequence of such losses. 7. Transfer Neither this Agreement nor any interest or obligation in or under this Agreement may be transferred (whether by way of security or otherwise) by either party without the prior written consent of the other party, except that:- (a) a party may make such a transfer of this Agreement pursuant to a consolidation or amalgamation with, or merger with or into, or transfer of all or substantially all its assets to, another entity (but without prejudice to any other right or remedy under this Agreement); and (b) a party may make such a transfer of all or any part of its interest in any amount payable to it from a Defaulting Party under Section 6(e). Any purported transfer that is not in compliance with this Section will be void. 8. Miscellaneous (a) Entire Agreement. This Agreement constitutes the entire agreement and understanding of the parties with respect to its subject matter and supersedes all oral communication and prior writings with respect thereto. (b) Amendments. No amendment, modification or waiver in respect of this Agreement will be effective unless in writing (including a writing evidenced by a facsimile transmission) and executed by each of the parties or confirmed by an exchange of telexes or electronic messages on an electronic messaging system. DOCSNYl:948479.1 40786-108 TNG 8 Book Page 101 ISDA® 1992 (c) Survival of Obligations. Without prejudice to Sections 2(a)(iii) and 6(c)(ii), the obligations of the parties under this Agreement will survive the termination of any Transaction. (d) Remedies Cumulative. Except as provided in this Agreement, the rights, powers, remedies and privileges provided in this Agreement are cumulative and not exclusive of any rights, powers, remedies and privileges provided by law. (e) Counterparts and Confirmations. (i) This Agreement (and each amendment, modification and waiver in respect of it) may be executed and delivered in counterparts (including by facsimile transmission), each of which will be deemed an original. (ii) The parties intend that they are legally bound by the terms of each Transaction from the moment they agree to those terms (whether orally or otherwise). A Confirmation shall be entered into as soon as practicable and may be executed and delivered in counterparts (including by facsimile transmission) or be created by an exchange of telexes or by an exchange of electronic messages on an electronic messaging system, which in each case will be sufficient for all purposes to evidence a binding supplement to this Agreement. The parties will specify therein or through another effective means that any such counterpart, telex or electronic message constitutes a Confirmation. (f) No Waiver of Rights. A failure or delay in exercising any right, power or privilege in respect of this Agreement will not be presumed to operate as a waiver, and a single or partial exercise of any right, power or privilege will not be presumed to preclude any subsequent or further exercise, of that right, power or privilege or the exercise of any other right, power or privilege. (g) Headings. The headings used in this Agreement are for convenience of reference only and are not to affect the construction of or to be taken into consideration in interpreting this Agreement. 9. Expenses A Defaulting Party will, on demand, indemnify and hold harmless the other party for and against all reasonable out- of-pocket expenses, including legal fees, incurred by such other party by reason of the enforcement and protection of its rights under this Agreement or any Credit Support Document to which the Defaulting Party is a party or by reason of the early termination of any Transaction, including, but not limited to, costs of collection. 10. Notices (a) Effectiveness. Any notice or other communication in respect of this Agreement may be given in any manner set forth below (except that a notice or other communication under Section 5 or 6 may not be given by facsimile transmission or electronic messaging system) to the address or number or in accordance with the electronic messaging-system details provided (see the Schedule) and will be deemed effective as indicated:- (i) if in writing and delivered in person or by courier, on the date it is delivered; (ii) if sent by telex, on the date the recipient's answerback is received; (iii) if sent by facsimile transmission, on the date that transmission is received by a responsible employee of the recipient in legible form (it being agreed that the burden of proving receipt will be on the sender and will not be met by a transmission report generated by the sender's facsimile machine); (iv) if sent by certified or registered mail (airmail, if overseas) or the equivalent (return receipt requested), on the date that mail is delivered or its delivery is attempted; or (v) if sent by electronic messaging system, on the date that electronic message is received, unless the date of that delivery (or attempted delivery) or that receipt as applicable, is not a Local Business Day or that communication is delivered (or attempted) or received, as applicable, after the close of business on a Local DOCSNYl:948479.1 40786-108 TNG 9 Book Page 102 ISDA® 1992 Business Day, in which case that communication shall be deemed given and effective on the first following day that is a Local Business Day. (b) Change of Addresses. Either party may by notice to the other change the address, telex or facsimile number or electronic messaging system details at which notices or other communications are to be given to it. 11. Governing Law and Jurisdiction (a) Governing Law. This Agreement will be governed by and construed in accordance with the law specified in the Schedule. (b) Jurisdiction. With respect to any suit, action or proceedings relating to this Agreement ("Proceedings"), each party irrevocably:- (i) submits to the jurisdiction of the English courts, if this Agreement is expressed to be governed by English law, or to the non-exclusive jurisdiction of the courts of the State of New York and the United States District Court located in the Borough of Manhattan in New York City, if this Agreement is expressed to be governed by the laws of the State of New York; and (ii) waives any objection which it may have at anytime to the laying of venue of any Proceedings brought in any such court, waives any claim that such Proceedings have been brought in an inconvenient forum and further waives the right to object, with respect to such Proceedings, that such court does not have any jurisdiction over such party. Nothing in this Agreement precludes either party from bringing Proceedings in any other jurisdiction (outside, if this Agreement is expressed to be governed by English law, the Contracting States, as defined in Section 1(3) of the Civil Jurisdiction and Judgments Act 1982 or any modification, extension or re-enactment thereof for the time being in force) nor will the bringing of Proceedings in any one or more jurisdictions preclude the bringing of Proceedings in any other jurisdiction. (c) Waiver of Immunities. Each party irrevocably waives, to the fullest extent permitted by applicable law, with respect to itself and its revenues and assets (irrespective of their use or intended use), all immunity on the grounds of sovereignty or other similar grounds from (i) suit, (ii) jurisdiction of any court (iii) relief by way of injunction, order for specific performance or for recovery of property, (iv) attachment of its assets (whether before or after judgment) and (v) execution or enforcement of any judgment to which it or its revenues or assets might otherwise be entitled in any Proceedings in the courts of any jurisdiction and irrevocably agrees, to the extent permitted by applicable law, that it will not claim any such immunity in any Proceedings. 12. Definitions As used in this Agreement:- "Additional Termination Event" has the meaning specified in Section 5(b). "Affected Party" has the meaning specified in Section S(b). "Affected Transactions" means (a) with respect to any Termination Event consisting of an Illegality, all Transactions affected by the occurrence of such Termination Event and (b) with respect to any other Termination Event, all Transactions. "Affiliate" means, subject to the Schedule, in relation to any person, any entity controlled, directly or indirectly, by the person, any entity that controls, directly or indirectly, the person or any entity directly or indirectly under common control with the person. For this purpose, "control" of any entity or person means ownership of a majority of the voting power of the entity or person. DOCSNYI :948479.1 40786-108 TNG 10 Book Page 103 ISDA® 1992 "Applicable Rate" means:- (a) in respect of obligations payable or deliverable (or which would have been but for Section 2(a)(iii)) by a Defaulting Party, the Default Rate; (b) in respect of an obligation to pay an amount under Section 6(e) of either party from and after the date (determined in accordance with Section 6(d)(ii)) on which that amount is payable, the Default Rate; (c) in respect of all other obligations payable or deliverable (or which would have been but for Section 2(a)(iii)) by a Non-defaulting Party, the Non-default Rate; and (d) in all other cases, the Termination Rate. "consent" includes a consent, approval, action, authorisation, exemption, notice, filing, registration or exchange control consent. "Credit Event Upon Merger" has the meaning specified in Section 5(b). "Credit Support Document" means any agreement or instrument that is specified as such in this Agreement. "Credit Support Provider" has the meaning specified in the Schedule. "Default Rate" means a rate per annum equal to the cost (without proof or evidence of any actual cost) to the relevant payee (as certified by it) ifit were to fund or of funding the relevant amount plus 1 % per annum. "Defaulting Party" has the meaning specified in Section 6(a). "Early Termination Date" means the date determined in accordance with Section 6(a) or 6(b)(iii). "Event of Default" has the meaning specified in Section 5(a) and, if applicable, in the Schedule. "Illegality" has the meaning specified in Section 5(b). "law" includes any treaty, law, rule or regulation and "lawful" and "unlawful" will be construed accordingly. "Local Business Day" means, subject to the Schedule, a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) (a) in relation to any obligation under Section 2(a)(i), in the place(s) specified in the relevant Confirmation or, if not so specified, as otherwise agreed by the parties in writing or determined pursuant to provisions contained, or incorporated by reference, in this Agreement, (b) in relation to any other payment, in the place where the relevant account is located, (c) in relation to any notice or other communication, including notice contemplated under Section 5(a)(i), in the city specified in the address for notice provided by the recipient and, in the case of a notice contemplated by Section 2(b ), in the place where the relevant new account is to be located and (d) in relation to Section 5(a)(v)(2), in the relevant locations for performance with respect to such Specified Transaction. "Loss" means, with respect to this Agreement or one or more Terminated Transactions, as the case may be, and a party, an amount that party reasonably determines in good faith to be its total losses and costs (or gain, in which case expressed as a negative number) in connection with this Agreement or that Terminated Transaction or group of Terminated Transactions, as the case may be, including any loss of bargain, cost of funding or, at the election of such party but without duplication, loss or cost incurred as a result of its terminating, liquidating, obtaining or reestablishing any hedge or related trading position (or any gain resulting from any of them). Loss includes losses and costs (or gains) in respect of any payment or delivery required to have been made (assuming satisfaction of each applicable condition precedent) on or before the relevant Early Termination Date and not made, except, so as to avoid duplication, if Section 6(e)(i)(l) or (3) or 6(e)(ii)(2)(A) applies. Loss does not include a party's legal fees and out-of-pocket expenses referred to under Section 9. A party will determine its Loss as of the relevant Early Termination Date, or, if that is not reasonably practicable, as of the earliest date thereafter as is reasonably practicable. A party may (but need not) determine its Loss by reference to quotations of relevant rates or prices from one or more leading dealers in the relevant markets. DOCSNYl:948479.1 40786-108 TNG 11 Book Page 104 ISDA® 1992 "Market Quotation" means, with respect to one or more Terminated Transactions and a party making the determination, an amount determined on the basis of quotations from Reference Market-makers. Each quotation will be for an amount, if any, that would be paid to such party (expressed as a negative number) or by such party (expressed as a positive number in consideration of an agreement between such party (taking into account any existing Credit Support Document with respect to the obligations of such party) and the quoting Reference Market- maker to enter into a transaction (the "Replacement Transaction") that would have the effect of preserving for such party the economic equivalent of any payment or delivery (whether the underlying obligation was absolute or contingent and assuming the satisfaction of each applicable condition precedent) by the parties under Section 2(a)(i) in respect of such Terminated Trnnsaction or group of Tea:ninated Transactions that would, but for Lhe occurrence of lhe relevant Early Termination Date, have been required after that date. For this purpose, Unpaid Amounts io respect of the Terminated Transaction or group of Terminated Transactions are to be excluded but, without limitation, any payment or delivery that would, but for the relevant Early Termination Date, have been required (assuming satisfaction of each applicable condition precedent) after that Early Termination Date is to be included. The Replacement Transaction would be subject to such documentation as such party and the Reference Market-maker may, in good faith, agree. The party making the determination (or its agent) will request each Reference Market- maker to provide its quotation to the extent reasonably practicable as of the same day and time (without regard to different time zones) on or as soon as reasonably practicable after the relevant Early Termination Date. The day and time as of which those quotations are to be obtained will be selected in good faith by the party obliged to make a determination under Section 6(e), and, if each party is so obliged, after consultation with the other. If more than three quotations are provided, the Market Quotation will be the arithmetic mean of the quotations, without regard to the quotations having the highest and lowest values. If exactly three such quotations are provided, the Market Quotation will be the quotation remaining after disregarding the highest and lowest quotations. For this purpose, if more than one quotation has the same highest value or lowest value, then one of such quotations shall be disregarded. If fewer than three quotations are provided, it will be deemed that the Market Quotation in respect of such Terminated Transaction or group of Terminated Transactions cannot be determined. "Non-default Rate" means a rate per annum equal to the cost (without proof or evidence of any actual cost) to the Non-defaulting Party (as certified by it) if it were to fund the relevant amount. "Non-defaulting Party" has the meaning specified in Section 6(a). "Potential Event of Default" means any event which, with the giving of notice or the lapse of time or both, would constitute an Event of Default. "Reference Market-makers" means four leading dealers in the relevant market selected by the party determining a Market Quotation in good faith (a) from among dealers of the highest credit standing which satisfy all the criteria that such party applies generally at the time in deciding whether to offer or to make an extension of credit and (b) to the extent practicable, from among such dealers having an office in the same city. "Scheduled Payment Date" means a date on which a payment or delivery is to be made under Section 2(a)(i) with respect to a Transaction. "Set-off' means set-off, offset, combination of accounts, right of retention or withholding or similar right or requirement to which the payer of an amount under Section 6 is entitled or subject (whether arising under this Agreement, another contract, applicable law or otherwise) that is exercised by, or imposed on, such payer. "Settlement Amount" means, with respect to a party and any Early Termination Date, the sum of:- (a) the Market Quotations (whether positive or negative) for each Terminated Transaction or group of Terminated Transactions for which a Market Quotation is determined: and (b) such party's Loss (whether positive or negative and without reference to any Unpaid Amounts) for each Terminated Transaction or group of Terminated Transactions for which a Market Quotation cannot be determined or would not (in the reasonable belief of the party making the determination) produce a commercially reasonable result. "Specified Entity" has the meaning specified in the Schedule. DOCSNYl:948479.1 40786-108 TNG 12 Book Page 105 ISDA® 1992 "Specified Indebtedness" means, subject to the Schedule, any obligation (whether present or future, contingent or otherwise, as principal or surety or otherwise) in respect of borrowed money. "Specified Transaction" means, subject to the Schedule, (a) any transaction (including an agreement with respect thereto) now existing or hereafter entered into between one party to this Agreement (or any Credit Support Provider of such party or any applicable Specified Entity of such party) and the other party to this Agreement (or any Credit Support Provider of such other party or any applicable Specified Entity of such other party) which is a rate swap transaction, basis swap, forward rate transaction, commodity swap, commodity option, equity or equity index swap, equity or equity index option, bond option, interest rate option, foreign exchange transaction, cap transaction, floor transaction, collar transaction, currency swap transaction, cross-currency rate swap transaction, currency option or any other similar transaction (including any option with respect to any of these transactions), (b) any combination of these transactions and (c) any other transaction identified as a Specified Transaction in this Agreement or the relevant confirmation. "Terminated Transactions" means with respect to any Early Termination Date (a) if resulting from a Termination Event, all Affected Transactions and (b) if resulting from an Event of Default, all Transactions (in either case) in effect immediately before the effectiveness of the notice designating that Early Termination Date (or, if "Automatic Early Termination" applies, immediately before that Early Termination Date). "Termination Event" means an Illegality or, if specified to be applicable, a Credit Event Upon Merger or an Additional Termination Event. "Termination Rate" means a rate per annum equal to the arithmetic mean of the cost (without proof or evidence of any actual cost) to each party (as certified by such party) if it were to fund or of funding such amounts. "Unpaid Amounts" owing to any party means, with respect to an Early Termination Date, the aggregate of (a) in , respect of all Terminated Transactions, the amounts that became payable (or that would have become payable but for Section 2(a)(iii)) to such party under Section 2(a)(i) on or prior to such Early Termination Date and which remain unpaid as at such Early Termination Date and (b) in respect of each Terminated Transaction, for each obligation under Section 2(a)(i) which was (or would have been but for Section 2(a)(iii)) required to be settled by delivery to such party on or prior to such Early Termination Date and which has not been so settled as at such Early Termination Date, an amount equal to the fair market value of that which was (or would have been) required to be delivered as of the originally scheduled date for delivery, in each case together with (to the extant permitted under applicable law) interest, in the currency of such amounts, from (and including) the date such amounts or obligations were or would have been required to have been paid or performed to (but excluding) such Early Termination Date, at the Applicable Rate. Such amounts of interest will be calculated on the basis of daily compounding and the actual number of days elapsed. The fair market value of any obligation referred to in clause (b) above shall be reasonably determined by the party obliged to make the determination under Section 6(e) or, if each party is so obliged, it shall be the average of the fair market values reasonably determined by both parties. DOCSNYl:948479.1 40786-108 TNG 13 Book Page 106 ISDA® 1992 IN WITNESS WHEREOF the parties have executed this document on the respective dates specified below with effect from the date specified on the first page of this document. [PARTY A] (Name of Party) By: .......................................................................... . Name: Title: Date: DOCSNYI :948479 .1 40786-108 TNG [PARTYB] (Name of Party) By: ................................................................................. . Name: Title: Date: 14 ISDA® 1992 Book Page 107 FAHR COMMITTEE Meeting Date 8/13/03 AGENDA RE,POR:T Item Number FAHR03-69 Orange County Sanitation District FROM: Gary G. Streed, Director of Finance SUBJECT: FINAL REPORT ON SALE OF SERIES 2003 CERTIFICATES OF PARTICIPATION (COPs) GENERAL MANAGER'S RECOMMENDATION To Bd. of Dir. 8/27/03 Item Number Receive the written and oral staff report on the sale of the Series 2003 Certificates of Participation in an amount of $280 million and forward a written report to the Board of Directors for the August 27, 2003 meeting. SUMMARY The FAHR Committee and the Board of Directors have previously authorized the issuance of $280 million of new Certificates of Participation (COPs). The bids for this fixed-rate competitive issue will be taken on Tuesday, August 12, 2003; the day before the FAHR Committee meeting. At the Committee meeting staff will report the winning bid, the repayment schedule and costs. The following staff report will bring the Directors up to date on events since the last Board meeting. PRIOR COMMITTEE/BOARD ACTIONS September 26, 2001 -Adopt Debt Policy November 28, 2001 -Select Public Resources Advisory Group as financial advisor for up to three years. October 22, 2002 -Approve Resolution declaring District's intent to reimburse ourselves for capital outlays from a future long-term financing. (Similar Resolutions were prepared in previous years.) April 23, 2003 -Direct staff to issue up to $280 million of new fixed-rate COPS April 23, 2003 -Approve Amendment 1 to Consultant Services Agreement with PRAG for a two- year period. April 23, 2003 -Authorize the General Manager to negotiate and enter a Consultant Services Agreement with Orrick, Herrington & Sutcliffe ·to provide bond counsel services. July 23, 2003 -Both the OCSD Board and Financing Corporation Board adopted resolutions authorizing various documents and actions necessary to issue $280 million of new COPS. C:\Documents and Settlngslpope\Local Settlngs\Temporary Internet Files\OLKBFI0S-69.Series 2003 COP.doc Revised: 06104/03 Book Page 108 Page 1 PROJECT/CONTRACT COST SUMMARY The Consultant Services Agreements with PRAG and Orrick total a not-to-exceed amount of $200,000. This is approximately .07% of the COP issue. These and other costs, such as printing the Official Statement, bond insurance (if any), underwriters' discount, rating agency fees and trustee's fees will be paid from the proceeds of the borrowing. The $280 million that is borrowed will be repaid with interest over the next 30 years. The average interest rate over the 30-year life is expected to be less than 5%. Some of the interest cost will be offset by interest earnings on proceeds while the funds are waiting to be used and on the required debt service reserve fund. BUDGET IMPACT ~ 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. D Not applicable (information item) ADDITIONAL INFORMATION Staff and our financial advisors met with all three rating agencies separately on Friday, July 25, 2003. We took them on a tour of Plant 1, explained the capital improvement program, offered them several reasons why the District should be a solid double A credit and gave them a 51-page book to prove our point. Some of those reasons, which we expounded upon at the meetings, include the following: • The District provides an essential service to an affluent and diverse customer base • Historic and projected debt service coverage ratios of near 2.0 times • Cash & investment balances projected to remain sizeable, providing sufficient hedge for variable-rate borrowing • Capital Improvement Program includes voluntary transition to secondary treatment, eliminating risk of unplanned NPDES Permit changes • Projected sewer service user fees will remain competitive with other agencies • Board and management team have significant experience. The following week, the Preliminary Official Statement and the Notice Inviting Bids were issued. ALTERNATIVES Do not issue new certificates of participation, but increase user fees to fund the capital improvement program. CEQA FINDINGS N/A ATTACHMENTS None C:\Documents and Settlngslpope\Local Settings\Temporary Internet Files\OLKBF\03-69.Series 2003 COP.doc Revised: 06/04/03 Book Page 109 Page2 ORANGE COUNTY SANITATION DISTRICT (714)962-2411 Mailing Address: P.O. Box 8127 Fountain Valley, California 92728-8127 Street Address: 10844 Ellis Avenue Fountain Valley, California 92708-7018 OCSD 2/13/03 l l l l l l 7 J J J J J J Callan Associates Inc. Investment Measurement Service Quarterly Review Orange County Sanitation District June 30, 2003 The following report was prepared by Callan Associates Inc. ("CAI") using information from sources that include the following: fund trustee(s); fund custodian(s); investment manager(s); CAI computer software; CAI investment manager and fund sponsor database; third party data vendors; and other outside sources as directed by the client. CAI assumes no responsibility for the accuracy or completeness of the information provided, or methodologies employed, by any information providers external to CAI. Reasonable care has been taken to assure the accuracy of the CAI database and computer software. In preparing the following report, CAI has not reviewed the risks of individual security holdings or the compliance/non-compliance of individual security holdings with investment policies and guidelines of a fund sponsor, nor has it assumed any responsibility to do so. Copyright 2003 by Callan Associates Inc. l l l -1 7 j _J j _J l -j J SI, FR \'\CISCO ,Ell YOR!-- CHJl \GO ITL \'.\TI DI\\ CR CAlLAN ASSO------.... July 29, 2003 Mr. Michael D. White Controller Orange County Sanitation Districts 10844 Ellis A venue Fountain Valley, California 92728 RE: June 30, 2003 Quarterly Performance Report Dear Mike, The June 30, 2003 Quarterly Performance Report for the District's investment portfolio is attached. This letter provides a qualitative summary of the most important points covered in the report. Market Overview After three long years of declines in the equity markets, the broad stock market had its best quarterly performance in 4½ years. The momentous quarter benefited from: the end of the war; the lowest interest rates in more than four decades; tax cuts; better-than- expected first quarter profits; and hopes of an economic rebound later this year. For the second quarter, the S&P 500 Index rebounded sharply, rising 15.4 percent. The market was strong across all 10 S&P 500 industry sectors. The leaders included technology, utilities and telecommunications; the same sectors that were hit the hardest during the bear market. Overall, 470 of the 500 stocks that make-up the Standard & Poor1s Index were up for the quarter. The bond market also continued its rise. For the second quarter, the Lehman Aggregate Bond Index climbed 2.5 percent, with corporate bonds (4.8%) outperforming Treasuries (2.7%) for the eighth month in a row. With the robust gains in the equity markets and record low interest rates, fixed income investors are searching for yield, evident in the surge in junk bonds and emerging markets. Returns in the defensive portion of the bond market, where the District invests, were lower than the broad market due to the shorter maturity. The return on the Merrill 1-3 year Gov/Credit index of 1.10 percent did benefit from the decline in interest rates during the quarter. External Manager Results The returns for the Liquid Operating Money account, managed by PIMCO, is 0.32 percent for the quarter, and 1.71 percent for the last twelve months. The returns on this portfolio are tracking short terms rates downward. For the quarter, the portfolio return 7 l 7 I ) j _I J I _J J I ...J Mr. Michael White July 29, 2003 Page 2 after fees falls slightly short of the return on the 90-day Treasury bill. However, the returns are competitive with any institutional money market fund available, as demonstrated by the peer group ranking on page 18. The Long Term Operating fund, which is also managed by PIMCO, had a return for the quarter of 1.50 percent, which compares to the Merrill 1-5 Gov/Corp benchmark return of 1.66 percent. While very modest, this under peformance brings the since inception results to par with the benchmark. During the quarter, the under performance was the result of an underweight to Corporates, and a higher quality portfolio. The quality component was significant: the return on the benchmark including all investment grade issues was 1.66 percent, while the return on that benchmark falls to 1.40 percent if all the ssecurities rated 'BBB' are excluded. ('BBB' is the rating category of lowest quality within the investment grade universe.) The longer term record for the portfolio is in line with the benchmark and in the top quartile of the peer group for 7 ¾ years. The Long Term portfolio has earned a significant premium over the Liquid Portfolio (200 basis points, annualized), rewarding the District for pursuing the two portfolio structure. The Long Term portfolio continues to hold two securities that have been downgraded below the "A" rating minimum of your policy, based on Moody's ratings. Fortunately, the combined weight in these securities is less than 2 percent. Unfortunately, one issuer, United Airlines, has declared bankruptcy. The security owned by the District was rated B3 as of June 30 (no change during the last quarter). The second security is issued by Philip Morris (Altria), and its current rating of Baa2 is still considered investment grade. A listing of the five lowest rated securities is provided on page 21. Regarding sector guidelines: corporate notes are less than 30 percent, and the combination of asset backed securities and mortgages remains below 20 percent. Within the Liquid Operating portfolio, one position is larger than the 5 percent limit: an Agency issue from the Federal National Mortgage Association ("Fannie Mae"). Please do not hesitate to call me if you have any questions. Yours truly, Ruthann C. Moomy, Ph.D., CFA Senior Vice President l l l l ~l l -1 I J _j J J J J J Capital Markets Review . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Active Management Overview Market Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 Domestic Fixed-Income ...................................................... 14 Asset Class Risk and Return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 Investment Manager Asset Allocation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 Investment Manager Returns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 Manager Analysis PIMCO-Liquid Operating Monies .............................................. 18 PIMCO-Liquid Operating Fund ................................................ 19 Bond Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 Portfolio Characteristics Detail . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 • l l I _., -j J CAPITAL MARKET review (I J>llblimtimz orCAILAN \S~( )ClXIT:s The Science of the Painfully Obvious The National Bureau of Economic Research's Business Cycle Dating Committee officially declared the recession over, as of November 2001. That it took a mere 20 months to declare something so obvious rubbed some observers as, well, odd. The economy has grown every quarter since the fourth quarter of 2001. Consumer sentiment is up sharply, but it has yet to fully recover, not surprising given that the unemployment rate jumped to a new cyclical high in June. •.·_ ,, P' ·:-.i. 1 Another Order of the Phoenix From the ashes of a three-year bear market, the S&P Super Composite 1500 last quarter soared 15.72%, including divi- dends. Telecommunications ( +21.81 % ) was the highest flying sector while Energy ( + 7 .40%) trailed the pack. Based on the S&P/BARRA style indexes, value stocks outperformed growth. ,,_._,Fu;:'::' Will Thirteen Do? The bond market, as measured by the Lehman Aggregate, gained 2.50% during the second quarter, driven equally by price appreciation and coupon return. In June, the Fed cut interest rates for the thirteenth time since January 2001. Corporates continued their rally that began in the fourth quarter 2002. '·:, r:,,w ~1 Keeps on Chugging Although overall economic conditions improved slightly since the end of the war with Iraq, real estate markets remained soggy in the second quarter. Fundamentals were poor with high vacancy rates and falling rents in most markets. The Office sector has been hit the hardest from the downturn, primarily due to zero job growth. Retail is the shining star of the four sectors. The NCREIF Index returned 2.09% for the second quarter. Powerful Recovery Overseas After a weak first quarter, the second quarter witnessed a sharp rebound in equity markets around the world, with MSCI EAFE rewarding U.S. investors with a 19.3% gain, the largest since fourth quarter 1998. The MSCI Europe Index rallied 22.0% in dollar terms in the second quarter, bolstered by a 5.2% gain in the euro versus the dollar. Emerging markets outperformed EAFE. : , :' i''"i·' u Foreign Bonds Rally Early, Stall Later For the second quarter, the Citigroup World Government Bond Index ex-U.S. rose 4.21 % in U.S. dollar terms and 1.31 % in hedged terms. European bond markets continued their recent strength with a 7.65% (Citi EMU Government Index) return to U.S.-based investors. The Japanese bond market dropped 1.64% in dollar terms in the second quarter, as investors began to shun low-yielding instruments in favor of the stronger-performing local stock market. : . :· , : 'i' , : Private Equity-Signs of Stabilizing The second quarter recorded 60 new funds and just over $14.0 billion in commitments. Mid-market buyout funds dominated the landscape in a difficult fundraising environment. The investment pace by venture capitalists has been in a steep decline for the past 13 quarters, but some industry observers think it could be showing signs of stabilizing. , · e F".'.':' !D Hedge Funds -The Perfect Calm? When the Iraq war ended early in the quarter, hedge fund managers found plenty of opportunities to put risk capital back to work. The median manager in the Callan Hedge Fund-of- Fund Database gained 3.37% last quarter, net of fees. Hedge funds were helped by falling interest rates, rising stocks, and narrowing credit spreads. As credit spreads tightened last quarter, Distressed funds raced ahead 8.39%, leaving some wondering about upside ahead. ··. , · p1;c i n The Bulls Are Loose Again Fund sponsors, wanting to gain back some of what they have lost over the past few years, were solidly in the black during the second quarter due in part to large gains in the equity markets. With an average public equity allocation of 59%, the median endowment/foundation led the quarter, gaining 10.86%. Global balanced managers beat their static 60% equity and 40% fixed-income benchmark, while domestic balanced managers lagged behind their benchmark. sec paqc 1 :! Broad Market Returns -Second Quarter 2003 20% 15</4 C: .S 10% "' "' 5'7o 0% 2.50% l.67'i' 0.34'/l U.S. Equity Non-U.S. Equity U.S. Fixed Non-U.S. Fixed Real Estate Cash (Super Composite 1500) (MSC! EAFE) (LB Aggregate) (Citi Non-U.S.) (Callan Real Estate) (90-Day T-Bills) second quarter 2008 • 11 I I~ I II "Lill l ,IJt) --,.\\I Ii I \1 1-l.ll 1.~11101(\IAIJ IIII., I·\\ ll.'j_.j ]~.05:.' I WW',\ cJllclll rrnn '7 I l 7 7 J J Another Order of the Phoenix Hope springs eternal. Last quarter was no exception for stocks trying to rise again from the ashes of an extended bear market. This time, though, the bird had legs. After Baghdad's swift fall, previously burnt investors looked for real signs of a U.S. economic recovery gathering steam. While new jobs did not appear, productivity gains and lower interest rates encouraged by the Fed provided comforting evidence to stock buyers. fu addition, the recently passed Federal tax cut promised to fuel more consumer spending. A nice feather in the market's cap was the lower dividend tax rate, which gave public companies the right incentive to raise dividends. Supported by this array of economic stimuli, reported earnings last quarter showed tangible improvements, despite murky outlooks. Now, the market had wings. After its 38.67% plunge over the prior 12 quarters, the S&P Super Composite 1500 last quarter soared 15.72%, including dividends. Postponed for another day was the market's reck- oning with the massive trade and budget deficits that worsened last quarter. Within the Super Composite 1500, birds of all sizes rose strongly. Representing almost 90% of the broader index, the S&P 500 gained 15.39%. The smaller, more nimble stocks got better lift, as the S&P Mid Cap 400 and S&P Small Cap 600 rose 17.63% and 19.87%, respectively. Looking closer, birds of a feather did not all flock together. Although all 10 economic sectors of the broad composite index gained ground, some did dramatically better than others. Telecommunications (+21.81 %) was the highest flyer, while Energy (+7.40%) trailed the pack. Oddly, the most dramatic restoration from ashes was Altria (+53.89%), when a Florida appeals court overturned a $145 billion verdict against the tobacco industry. Among the stocks that singed investors the most was Tenet Healthcare (-30.24%), when the hospital chain, beleaguered by a government probe of fraudulent billing claims, warned that earnings would fall short of already lowered expectations. Another strong sector was Utilities (+20.34%), which witnessed a revival in badly beaten names like Dynegy (+60.92%) and Calpine Corp ( + 100.00% ). Elsewhere, Consumer Discretionary ( +20.03%) got particular support from Home Depot (+36.21 %) and a homebuild- ing industry (+38.33%) that surged amid historically low mortgage rates. Led by futel (+27.80%) and Cisco Systems (+28.58%) showing improved profit margins, Information Technology rose 18 .81 % . Based on the S&P/BARRA style indexes, value stocks outperformed growth. To compare value and growth, S&P and BARRA divide the capitalization indices evenly by price-to-book, creating subsectors of growth-and value-oriented stocks. Specifically, the S&P/BARRA Value Index rose 18.84% while the S&P/BARRA Growth Index advanced 12.17%. The big contributors to the value index were Citigroup (+24.88%) and J.P. Morgan (+46.11%), which benefited from falling short-term interest rates. In the small cap world, the S&P/BARRA Small Cap Value Index (+22.75%) handily outpaced its growth counterpart ( + 16.89% ). Callan Style Group Returns -Second Quarter 2003 25'h, • • I0'.4 L._ ___ __..._ ____ ..__ ___ .......... ___ __, Large Cap-Growth Large C.ap-Valut Style Style 10th Pi.:rccntilc 15 44 20.06 25Lh Percentile 14 64 IR,10 Mc4Ji:in 13.57 17,17 75th Pcrccmile 12.-18 15,X3 90th Percentile 10,59 13,7~ S&P Growth S&P Value lli!nchmarks • 12-17 18,K-+ Sm:.dl Cap-Growth Style 2g 17 25 O:? 2:? IR 19 03 16 72 S&P 600 Growth 16.~9 Small Cap. Value Style 26.87 24,19 21.8-l 18.08 14.80 S& P 600 Value 22.75 Capitalization Sector Performance -Second Quarter 2003 15'k E ::, ~10% g .: 5'7c 20'7c 40% 60'7o 80'7c 100% Economic Sector Performance -S&P I 500 Second Quarter 2003 Telecommunica1ions Utilities Consumer Discre1ionary lnformation Technology Financials lndustrials Materials --13.53 Health Care ._ 10.81 Consumer Staples l=====:;;;;;;;;=:~9~.30'7c 15.74% 21.81% 20.34'7c 20.0N 18.81 % 18.23'7, Energy b ===·:!!!!!!!!!!-!!!!!...:7..::.4::::.0'il.:,__ ___ ..1.• ___ _j_ __ _j 0'7c 5% 15% 20% 25C, Return Rolling One-Year Relative Returns vs. S&P S00 30% ~-------------------~ -S&P500 -S&PValue 20% S&P Growth 1-------------1--11----1 -20'k i------------------- 92 93 !)4 95 2 CAILAN ASSOCIATES C """'"'' 'I'""""' ""'F< l'.~rl'nL ,unKET ,,,,,,, 7 U.S.EQUITY Style Median and Index Returns* for Periods ended June JO, 2003 7 Last Last 1/2 Last Lastl Lasts Last 10 Quarter Year Year Years Years Years Large Cap-Broad Style 14.84 11.61 -1.28 -9.86 -0.61 10.42 Large Cap-Growth Style 13.57 12.31 -0.66 -18.69 -2.93 9.94 Large Cap-Value Style 17.17 11.55 -2.28 -1.26 0.68 10.46 Aggressive Growth Style 17.25 16.81 0.87 -19.78 0.15 9.07 Contrarian Style 17.69 12.79 -2.19 3.76 2.Jl 11.51 Core Style 14.60 11.28 0 .01 -10.27 -1 .19 10.60 -1 Yield Style 15.86 9.67 -2 .83 1.72 1.07 10.50 I S&P Super Composite 1500 15.72 11.85 0.04 -10.02 -0.90 10.09 S&P500 15.39 11.76 0.25 -11.20 -1.61 10.04 NYSE 16.38 IO.IO -1.25 -5.38 -0.55 9.77 7 Dow Jones Industrials 13.10 8.98 -0.43 -2.99 1.93 12.13 Mid Cap-Broad Style 17.02 13.89 -0.50 -3.85 4.08 12.10 Mid Cap-Growth Style 17.08 16.39 0.29 -20.12 1.39 9.97 Mid Cap-Value Style 16.38 12.72 -1.11 8.26 4.53 12.39 S&P Mid Cap 400 17.63 12.41 -0.71 0.99 7.14 12.65 Small Cap-Broad Style 22.14 16.22 -0.62 -1.03 4.79 12.05 Small Cap-Growth Style 22.18 16.85 -1.36 -13.04 1./5 9.33 -] Small Cap-Value Style 21 .84 15.09 0.41 13.18 7.48 13.64 S&P Small Cap 600 19.87 12.93 -3.58 2.42 3.72 10.43 Russell2000 23.42 17.88 -1.64 -3.30 0.97 8.24 NASDAQ 21.11 21.81 11.45 -25.48 -2.73 9.26 ] Consumer Staples 9.30 2.23 -7.13 -2.70 -1.93 10.54 Consumer Discretionary 20.03 17.37 0.93 0.87 0.52 8.57 j Industrials 15.74 9.48 -4.64 -8.57 -0.02 9.44 Energy 7.40 7.85 -4.78 0.88 4.69 IO.IO Materials 13.53 4.82 -9.33 5.02 -0.65 5.57 J Information Technology 18.81 17.59 5.74 -32.42 -5.62 9.63 Utilities 20.34 16.38 -1.43 -4.01 -0.20 5.92 Financials 18.23 12.27 1.15 6.44 2.90 14.69 Telecommunications 21.81 4.33 6.35 -26.02 -10.09 j HealthCare 10.81 12.31 8.25 -5.16 2.86 _J U.S. Equity Index Characteristics as of June 30, 2003 I S&P 1500 S&P 500 S&P400 S&P600 Russell 3000 Cap Range 60-286,638 414-286,638 186-11,118 60-2,956 6-286,638 _j Number of Issues 1,500 500 400 600 2,887 _j % of S&P Super Composite 1500 100% 88% 8% 4% Wtd Avg Mkt Cap $74.8B $84.lB $2.8B $0.9B $71.3B Price/Book Ratio 2.8 2.9 2.1 1.9 2.7 PIE Ratio (forecasted) 17.0 17.1 16.6 16.0 17.3 I Dividend Yield 1.6% 1.7% 1.2% 0.9% 1.7% .J 5-Yr Earnings (forecasted) 12.5% 12.2% 14.4% 14.1% 12.4% * Returns less than one year are not annualized. I '.-<.Ll•llrf ({Wllrll :.!OU:J l'.tPIT.~L :U.lRKET 1-uidt' CAILAN A__~OCIATES"= 8 d 7 I 7 7 _) _J J j J J Will Thirteen Do? The bond market, as measured by the Lehman Brothers Aggregate Bond Index, generated a 2.50% return during the second quarter of 2003, driven equally by price appreciation and coupon return. During the quarter, the Federal Reserve lowered the well-tracked Fed funds target by 25 basis points (bps) to 1 %, reaching its lowest level since September 1958. The latest Fed reduction-while the first of this year-is the thirteenth cut since January 2001, when the Fed funds rate stood 550 bps higher at 6.5%. Fears of deflation pushed the yield on the 10-year Treasury to a new multi-decade low on June 13. Leading up to the Fed's June meeting, the 10-year fell to 3.1 % in anticipation of an aggressive Fed statement regarding deflation. Surprising some fixed-income bulls, the Federal Reserve decided to cut only 25 basis points and did not mention uncon- ventional methods of lowering long-term rates, such as buying long- term Treasurys in the open market. In response, the 10-year retreated to 3 .51 % during the last two weeks of the quarter, but remained 28 bps lower than its quarter open. Government-sponsored entities became household names during the quarter when mortgage producer Freddie Mac grabbed headlines for understating earnings. In response, senior management resigned and politicians called for a change in governmental oversight. Fortunately for buyers of Agency debt, the market was not as turbulent as the politi- cal reaction. The Agency component of the Lehman Aggregate, repre- senting 12% of the index, gained 2.2% during the quarter. On average, spreads for the Agency sector tightened 4 basis points to Treasurys during the quarter. The corporate rally that started in fourth quarter 2002 continued through June. The Credit component of the Lehman Aggregate returned 4.8%, with spreads tightening over 30 basis points during second quarter. High beta corporate names continued to lead the market with securities rated BBB advancing 6.54%. New issuance increased as corporations sought to take advantage of low financing rates. Notably, GM issued $13.5 billion in debt, a record issuance for a U.S. company. The mortgage market went through another surge in refinancing in response to the decline of the 10-year Treasury. Exceeding many prepayment assumptions, the mortgage market returned only 0.66% for the quarter, well behind the rest of the bond market. The mortgage component of the Lehman Aggregate ended the quarter 17 bps wider. The high yield market continued its rally, fueled by mutual fund inflows. Year -to-date, the high yield mutual fund market has attracted $22 billion, eclipsing the previous full-year record set in 1997. The lower quality CCC tier of the high yield market returned 18.04%, outpacing the returns of the BB ( + 7. 19%) and B ( +8.86%) sectors. Moody's rolling 12-month default rate fell to 6%, well off the highs of 11 % experienced in early 2002. Emerging market debt followed the high yield market upward and produced double digit returns. Year-to-date, the JPMorgan EMBI+ Index returned 19.48%. The dollar weakened during the quarter, fueling the returns of unhedged non-U.S. fixed income. With high yield, emerging market debt, and non-dollar securities all exceeding the Lehman Aggregate, the median Core Plus manager outpaced its Core Bond peer for the third consecutive quarter. Callan Style Group Returns -Second Quarter 2003 121f - IOI, I-• --------- 21k ---•-.---- Qlf L..._----'------.L.-------'------' Intermediate Style Extended Maturity Style 10th Pcn.:cntilc 2.92 Core Bond Style 3.20 2.99 7.37 High Yiold Style 10.78 9.47 8.25 6.54 5.12 25th Pcrccnlilc 2.72 6 21 Median 2.50 5.53 75th Pcrccnlile 2..30 2 73 2.46 2.31 4.08 90th Percentile I 89 2 93 LB Inter Aggregate Benchmark • l.89 LB Aggregate 150 LB Gov/Credit Long 6_[)9 LB High Yield 10.11 12¼ JOC!c 8'7c 4% 2% OC/o 6% 5% 4% 'O ]!3% ;,. 2% 1% Sector Performance -Second Quarter 2003 LB Universal Index= 3.09% LB Aggregate Index= 2.50% 10. IJ'I, U.S. Treasury Yield Curves ....... ,_ ........... --•·-·-··~-- ····••"'' __ , ____ ,. ··-·· ..... ~···············--····-· ·"·...-········· -End 2nd Quarter 2003 / -,.. -Beginning 2nd Quarter 2003 ····•···· End 2nd Quarter 2002 0'7c l-----+---+----1-----+---+----- o 5 IO 15 20 25 30 Maturity (Years) Effective Yield Spread over LB Treasury Index 12% ~-------------------~ ..., ~ 10% LB High Yield -LB Credit Baa Bonds LB Credit A Bonds -LB Credit Aaa Bonds J CQ 8% -l .. ~ 0 6%1------.----------------, -g [ 4%1------ rJ) 'O ~ 2'7c f--;;;;;;;;;;.--.;;;;~:::=::;;:~--=:;;;-:====--.. i 0% l====:::::====::-:::~===~==~-_j "" ·2'7o l--+--1---+--+------+-+--+--+--+--+--l--+-+--+--+--+--f--l #~~~~#~~~###~###### 'J. CAILAN ASSOCIATES"c ,cwnd ,,,,,,,,,., CUO.:l l'.tPl'l'U, )URK['I' r,·, i,·n· 7 U.S. FIXED INCOME Style Median and Index Returns* for Periods ended June 30, 2003 7 Last Last 1/2 Last Lastl Lasts Last 10 Quarter Year Year Years Years Years -l Active Duration Style 254 4.11 11.03 9.94 7.49 7.14 ) Core Bond Style 2.73 4.35 10.58 10.18 7.56 7.38 LB Aggregate 2.50 3.93 10.40 10.08 7.54 7.21 -7 LB Govt/Credit 3.52 5.23 13.15 10.82 7.83 7.35 I I LB Govt 2.53 3.63 11.33 10.15 7.66 7.16 LB Credit 4.80 7.32 15.59 11.72 7.92 7.73 Citi Broad Investment Grade 2.56 4.00 10.53 10.09 7.53 7.22 Extended Maturity Style 5.53 7.23 20.32 13.66 8.91 9.03 l LB Gov/Credit Long 6.09 8.30 20.64 13.29 8.63 8.73 LB Gov Long 5.10 6.66 19.64 12.92 8.82 8.82 LB Credit Long 7.49 10.61 22.06 13.90 8.24 8.50 Citigroup Long-Tenn High Grade 5.58 7.72 19.93 15.02 8.82 8.60 1 Intermediate Style 2.50 3.95 10.20 9.75 7.55 6.93 LB Intermediate Aggregate 1.89 3.19 8.72 9.51 7.42 6.91 LB Gov/Credit Intermediate 2.72 4.27 10.84 10.01 7.65 6.88 LB Gov Intermediate 1.69 2.63 8.62 9.21 7.28 6.59 LB Credit Intermediate 4.02 6.36 13.73 11.08 8.04 7.46 l Defensive Style 1.02 1.86 5.51 7.30 6.42 6.13 Active Cash Style 0.51 1.20 3.16 5.05 5.15 5.29 Money Market Funds (net of fees) 0.16 0.36 0.97 2.82 3.68 4.15 ML Treasury 1-3 Year 0.72 1.31 4.65 6.76 6.05 5.83 90-day Treasury Bills 0.34 0.64 1.53 3.33 4.08 4.52 High Yield Style 8.25 14.26 17.71 5.90 4.26 7.75 LB High Yield 10.11 18.49 22.76 5.43 2.93 6.60 CSFB High Yield 9.74 17.32 20.76 6.95 3.85 7.09 ML High Yield Master 9.67 17.24 21.11 6.22 3.59 6.98 Mortgage Style 0.93 2.04 6.28 9.01 7.20 7.22 J LBMBS 0.66 1.60 5.72 8.64 6.97 6.94 LBABS 1.85 3.39 7.44 9.74 7.66 6.99 LBCMBS 3.61 5.33 14.22 13.32 9.35 U.S. Fixed-Income Index Characteristics as of June 30, 2003 Yield Modified Adj. Average %of %of Lehman Brothers Indices to Worst Duration Maturity LBG/C LB Aggregate LB Aggregate 3.56 3.95 6.74 100.00% LB Govt/Credit 3.23 5.58 8.63 100.00% 61.50% -J Intermediate 2.66 3.73 4.52 75.44% 46.40% Long-Term 4.98 11.25 21.27 24.56% 15.10% LB Govt 2.63 5.31 7.82 55.35% 34.04% LB Credit 3.98 5.90 9.64 44.65% 27.46% J LBMBS 4.21 1.02 3.59 34.17% LBABS 2.73 2.70 3.09 1.81% LBCMBS 3.52 4.86 5.92 2.51% J LB Corp High Yield 8.83 4.79 8.21 * Returns less than one year are not annualized. J ''"""' ,,,,,,,,,., cu11:, l'.~Pl'l'AL )UIIKET "'''" CAILAN A__~OCIATES,,,c 5 7 l j j J Powerful Recovery Overseas After a weak first quarter, the second quarter witnessed a sharp rebound in equity markets around the world. The MSCI EAFE rewarded U.S. investors with a 19.3% gain, the largest since the fourth quarter of 1998. The U.S. dollar weakened against foreign currencies, primarily the euro, which added 4.0% to the local 15.3% return. Investors celebrated the end of the conflict in Iraq by looking toward an expected economic recovery in the second half of the year. Investors shifted out of defensive sectors, such as consumer staples, and into the more beaten-down sectors, such as financials and technology. The European markets, battered in recent periods, steered the markets higher. Europe The MSCI Europe Index rallied 22.0% in dollar terms in the second quarter, bolstered by a 5.2% gain in the euro versus the dollar. Despite Germany's continued employment problems and export challenges from a strengthening euro, investors applauded the European Central Bank's most recent rate cut by rotating heavily back into the continent. Germany and France led the way with 38.l % and 25.6% gains, respec- tively. Most of the secondary countries, such as Belgium, Spain, and most of the Scandinavian countries, also posted stellar returns for the quarter. As with EAFE, the European markets were driven by technol- ogy and financials, with investors shifting out of defensive issues and into these recovering areas. The insurers, hammered last year, rallied 34.5%, while diversified financial services firms rocketed 49.9% in response to positive earnings reports and an improved outlook. The UK, however, only performed in line with EAFE, rising 18.2%. Asia The MSCI Pacific Index gained a solid 12.6% in the second quarter for U.S.-based investors. However, its performance was disappointing relative to EAFE. Japan turned in a performance of 11.7%, with investors preferring the technology and financial issues of Europe to those in Japan. The defensive sectors of Japan lagged the broader local market as they did in Europe. Local investors moved out of bonds and into stocks, while foreigners aggressively bought into the Japanese stock market. In the broader Pacific region, only New Zealand managed to beat EAFE with a 21.5% return. Singapore and Australia returned 16.4% and 15.9%, respectively, while Hong Kong was the worst performer in EAFE at just 9.8%, despite evidence of SARS being contained. Currency activity was muted, with the yen dropping just 1.25% against the U.S. dollar. The one exception was the Australian dollar, which soared 11 %, as investors anticipated that a recovering global economy would bode well for the commodity-exporting nation. Emerging Markets The MSCI EMF Index surged 23.4% in the quarter, the fourth consecutive quarter in which emerging markets outperformed EAFE. Eastern Europe and the Middle East jumped 36.8%, as investors expressed relief at the resolution of the war in Iraq. Latin America returned 24.l % as bullish sentiment prevailed in Brazil on the back of continued reforms in Lula's administration, while Argentina enjoyed a recovery rally of 26.6%. In Emerging Asia, markets rose 22.6% as investors snapped up technology shares across the region and reduced their concerns about SARS, while oil-producing countries such as Venezuela and Russia benefited from the persistently high oil prices. Callan Style Group Returns -Second Quarter 2003 30'.l - 2514 1--·--•--- 20',',,, _ ., ... -. l5'!, _ I01J ~-----~-----~----~ I01h Pcrccnlilc 25th Pi:-rccntilc Median 75Lh Pcn:-cmilc 90th Perccnlilc Bi:nchma.rk • 25% 20'1/c E 15'7c :, ~ c,: .; ~JO<lc 5% 0% Global Equity Style 20 86 19 96 17.36 15,6-l 13 52 MSCIWorld 17.04 Non~U.S. Equity Style 21.92 20.39 18.98 17.46 16.16 MSCI EAFE 19.27 Emerging MarkeU Eq Db 2652 2H3 BAJ 2L82 20,66 MSCI Emerg Markets Free 23.JM Regional Performance (based on US$) Second Quarter 2003 23.38% MSC! ACWl Free (ex U.S.)= l 9,85'k MSCl EAFE = 19 27'k MSC! Europe MSC! Japan MSC! Pac MSC! Emerg (US$) Ex Japan Markels Free Rolling One-Year Relative Returns vs. MSCI EAFE US$ 40¼ f 30% ----------• :, ~ C,: 2Q</c -------·A -~ ] IOC/4 ~ ; 0% -J!. ~-10% 0 ,§-20</c MSCI Pacific / ~ -MSC! Europe -30% --MSC! EAFE t-----'-..._ _________ ! ,,. rfJ ~ ~ ;. ~ E :, ~ c,: " .:: ei :i E :, u 93 94 95 96 97 98 99 00 01 02 03 Major Currencies vs. US$ Cumulative Returns over Last 25 Years 150</c ~-------------------, 120'1/c -Japanese Yen German Mark/Euro 90% -UK Sterling 60¼ 30% O'i'c (j CAlLAN ASSOCIATESi:c ""' ,,1 '!""'"'' :!/1(1.j l'WlnL lUIIKET ,·uL IC l 7 j j J INTERNATIONAL EQUITY Style Median and Index Returns* for Periods ended June 30, 2003 Last Last I /2 Last Last 3 Lasts Quarter Global Style 17.36 Non-U.S. Style 18.98 Core Style 18.75 Top Down Style 17.92 Bottom Up Style 18.89 Small Cap Style 21 53 MSCI EAFE-Unhedged 19.27 MSCI EAFE-Local 15.31 MSCI EAFE Growth Index 16.26 MSCI EAFE Value Index 22.23 MSCI World-Unhedged 17.04 MSCI World-Local 15.22 MSCI AC World Free ex-U.S.-Unhedged 19.85 MSCI AC World Free-Unhedged 17.48 Pacific Basin Style 13.72 Japan Style I I .30 Pacific Rim Style 18.67 MSCI Pacific-Unhedged 12.56 MSCI Pacific-Local 11.31 MSCI Japan-Unhedged 11 .70 MSCI Japan-Local 13.11 Europe Style 20.53 MSCI Europe-Unhedged 22.01 MSCI Europe-Local 17.00 Emerging Markets Database 23.43 MSC! Emerging Markets Free-Unhedged 23.38 MSC! Emerging Markets Free-Local 18.47 Return Attribution for EAFE Countries Second Quarter 2003 Country Total Local Currency Australia 15.85% 4.39% 10.98% Austria 16.83 11.02 5.24 Belgium 29.43 22.99 5.24 Denmark 20.02 14.ll 5.19 Finland 18.52 12.62 5.24 France 25.60 19.35 5.24 Gennany 38.11 31.24 5.24 Greece 43.05 35.93 5.24 Hong Kong 9.84 9.82 o.oz Ireland 13.69 8.04 5.24 Italy 23.98 17.81 5.24 Japan 1 l.70 13.11 -1.25 Netherlands 20.65 14.64 5.24 New Zealand 21.50 15.00 5.65 Norway 27.71 27.04 0.53 Portugal 17.09 I 1.26 5.24 Singapore 16.43 16.15 0.24 Spain 23.37 17.23 5.24 Sweden 26.56 19.48 5.92 Switzerland 18.07 18.34 -0.23 UK 18.18 13.21 4.40 * Returns less than one year are not annualized. Year I 1.12 9.31 9.09 8.97 8.85 17.33 9.47 4.43 6.99 11.92 11.12 8.61 11.10 11.63 6.24 3.65 10.33 6.16 3.68 2.92 4.14 9.58 10.77 4.72 16.69 16.13 11.19 Year -3.63 -6.40 -6.67 -5.69 -6.13 0.65 -6.46 -14.64 -8.01 -4.94 -2.37 -6.19 -4.19 -1.56 -8.56 -14.12 -2.96 -9.59 -12.52 -14.63 -14.47 -5.70 -5.22 -15.57 7.06 6.96 1.76 Austria 0.2'R New Zealand 0.2'7c Years Years -9.91 -0.21 -13.01 -2.00 -12.31 -1.98 -12.73 -2.79 -10.10 -1.Jl -8.31 5.37 -13.52 -4.00 -15.78 -5.31 -17.79 -6.76 -9.28 -1.51 -12.95 -3.06 -13.82 -3.55 -12.48 -2.81 -12.38 -2.48 -16.29 1.34 -20.37 -0.32 -7.92 6.80 -17.21 -1.75 -15.28 -4.53 -20.90 -3.99 -17.49 -6.73 -1 2.09 -2.81 -11.87 -4.82 -15.86 -5.39 -4.93 4.34 -7.02 2.52 -4.15 6.47 Country Weights -EAFE As of June 30, 2003 Greece 0.4'7c · UK Portugal 0.4% Norway0.4C/c Denmark 0.8%, Ireland 0.8'7,, Singapore O.S'il:---..... Belgium l.l~f- Hong Kong l .5'f - Finlaud 1.9% Sweden 2.1 % Spain 3.8"/c Italy 3.9'7c Australia 5.:!¼ 5.2% Switzerland 7.5% CAILAN ASSOCIATES - Last 10 Years 7.64 6.13 6.03 5.71 6.68 5.59 2.78 3.11 0.34 5.07 5.88 6.11 3.15 5.99 -0.03 -1.36 2.Jf -3.92 -3.05 -5.71 -4.49 10.00 8.19 7.98 4.00 1.48 13.90 ' 7 l 7 7 l l l J -...J Foreign Bonds Rally Early, Stall Later For the second quarter, the Citigroup World Government Bond Index ex-U.S. rose 4.21 % in U.S. dollar terms and 1.31 % in hedged terms. The first half of the second quarter built on the strength of the first quarter, but some of the gains began to reverse in June on expectations of a global economic recovery. Europe European bond markets continued their recent strength with a 7 .65 % (Citi EMU Government Index) return to U.S.-based investors. In response to economic weakness, the European Central Bank cut rates to their lowest levels in over half a century, driving the EMU yield curve lower. The euro rallied another 5.24% against the dollar. The UK bond market climbed 6.05%, despite the Bank of England leaving rates unchanged, as sterling strengthened 4.40% against the dollar. Japan The Japanese bond market dropped 1.64% in dollar terms in the second quarter, as investors began to shun low-yielding instruments in favor of the strong-performing local stock market. The yen weakened by 1.25% during the quarter while the yield curve twisted upward, reflecting the increase in long rates. Callan Style Group Returns -Second Quarter 2003 7',V 6'; • 4'.', • 3'.? 2': ~--------~---------' Glol>al Fixed SLylc IOlh Pt.!rl'Cntilc 6 05 ~5th Pi:rccnlik ,I 7S Mc<lian 4.27 75th Pi:rci:nLilc J,90 90th Pi.:rn:ntilc '.! 96 Citi World GO\' Unhedged Ocm:hm:irk • JJ!8 Emerging Markets Nnn-U.S. Fixed St,vle 7.01 6(1) 5.J0 4.51 4 18 Cili Nun-U.S. World Gov Unhedged J.21 The JP Morgan EMBI+ Index continued its sharp rally that began in late 2002 by posting an 11.05% surge in the second quarter. Institutional and retail investors continued to flood into the asset class, recognizing a combination of narrowing global credit spreads and improving emerging market fundamentals. INTERNATIONAL FIXED INCOME Style Median and Index Returns* for Periods ended June 30, 2003 Global Style Citi World Govt-Unhedged Citi World Govt-Local Non-U.S. Style Citi Non-U.S. World Govt-Unhedged Citi Non-U.S. World Govt-Local Citi Euro Govt Bond Index-Unhedged Citi Euro Govt Bond Index-Local JPM Emerg Mkts Bond Index Plus Last Last I /2 Last Last 3 Quarter 4.27 3.88 1.65 5.30 4.21 1.34 7.65 2.29 11.05 Year 7.98 7.11 3.01 9.58 8.09 2.81 14.04 4.21 19.48 Year Years 17.11 9.14 16.52 8.78 8.82 7.05 19.09 8.80 17.90 8.10 7.96 6.07 29.67 14.90 11.52 8.19 35.38 13.16 LastS Last 10 Years Years 6.32 6.77 6.69 6.51 5.62 6.84 6.11 6.58 6.29 6.32 4.94 6.91 11.30 12.86 Return Attribution for Non-U.S. Govt Indices Second Quarter 2003 Country Weights -Citigroup Non-U.S. Govt As of June 30, 2003 Country Total Australia 13.58% Austria 7.63 Belgium 7.77 Canada 13.38 Denmark 7.72 Finland 7.72 France 7.60 Gennany 7.46 Greece 8.04 Ireland 8.08 Italy 7.79 Japan -1.64 Netherlands 7.52 Poland 7.87 Portugal 7.64 Spain 7.64 Sweden 9.09 Switzerland 1.05 UK 6.05 * Returns less than one year are not annualized. ** Derived from MSC! EAFE data. 8 Local 2.34% 2.27 2.41 4.73 2.41 2.36 2.25 2.11 2.66 2.70 2.43 -0.40 2.17 2.53 2.28 2.28 2.99 1.28 1.59 Currencr 10.98% 5.24 5.24 8.26 5.19 5.24 5.24 5.24 5.24 5.24 5.24 -1.25 5.24 5.21 5.24 5.24 5.92 -0.23 4.40 Ireland 0.5'1c, Ausrralia 0.5ck Poland 0.5c/c Finland 0.7'1c '-'-... , Switzerland 0,9'lc--=::,; Portugal 1.0¼ - Sweden I. 1 c1c - Denmark 1.5¼ - Auscria 1.9% Greece 2.l'lo Canada 2.8% Necherlan~ 3.0'1- Belgium 3.8'7c CAILAN A.,SSOC1A1ES, ., France 10.8% ·'"" I•/''"'' c:r;,,; UPI'l'.\L mlll(ET ,, .,. l l 7 j j J Keeps on Chugging Although overall economic conditions improved slightly since the end of the war with Iraq, real estate markets remained soggy in the second quarter. Fundamentals were poor with high vacancy rates and falling rents in most markets. However, the disconnect between weak funda- mentals and the search for income continued. Sellers took advantage of their income-producing properties with solid tenants and lease terms, as buyers sought income. Some investors see core real estate as a substitute for falling fixed-income yields. Prices remain high for this type of product, as levered buyers continue to acquire commercial property. The Office sector has been hit the hardest from the downturn, primarily due to zero job growth. More businesses have failed and more space has been made available. Owners are especially concerned when leases expire in this weaker market. Apartments are also being negatively affected by the poor job market; however, pricing elevated from levered buyers taking advantage of low interest rates has remained steady. This has resulted in stable performance from the sector. The Industrial sector is feeling the effects of the downturn, as its vacancy rate remains well above its average. New construction in this sector is higher than sales, resulting in an increase in supply. Retail is the shining star of the four sectors. Regional malls have held steady with vacancies remaining at or below average. Callan Style Group Returns -Second Quarter 2003 __ ... _ 9',i 6',; :v,,; ··--·-- Wi '-------------....L------------' IOLhPcm.:::nlilc 25th Percentile ~·kdi:rn 75th Pcn:cnlitc 901h Pcn:cnLilc Ocrn.:hm;irk • Real Estatt! Database 2,96 )_\-4 I b7 055 0.07 NCREIF Total lndt!x I ~8 REIT Database J'!d7 lc.80 11.80 10.9) 9.06 NAREIT Equ;1y 13.1:?. NAREIT Equity Sector Performance - Second Quarter 2003 Industrial/Office Retail Residential 21.62°/c NCREIF performance for the last quarter was stable. The private real estate index's total return was 2.09%, driven by the income component of 1.98%. Appreciation edged up slightly ( +0.11 % ) for the quarter. The REIT market participated in the run-up of the overall equity markets returning 13.12%. For the quarter, the Manufactured Homes sector led the charge returning 27.40%, followed by Health Care at 26.13%. On the whole, REITs are trading at a premium, but continue to enjoy investor interest. 25<:.f-JO% Rolling One-Year Returns 50% ,------------------------, Sector Industrial Apartment CBD Office Suburban Office Overall Capitalization Rates 2nd Quarter 2003 Strip Shopping Center 8.82% 7.92% 9.34% 9.80% 9.33% One Year Ago 9.00% 8.51% 9.56% 10.00% 10.01% ?40% ii ::; -;;;-30% C: ... j20% jl0% ---., C: ~ 0%1---- ~ ~10% Source: Ko,pac: Real Estate lllvestor Survey®. Rates based on unleveraged, all-cash transactions. 91 92 93 94 95 96 97 98 99 00 01 02 03 REAL ESTATE Style Median and Index Returns* for Periods ended June JO, 2003 Last Last I /2 Last Last J Lasts Last 10 Quarter Year Year Years Years Years Real Estate Database ( net ojfees) 1.67 3.81 8.04 8.05 8.48 9.83 NCREIF Total Index 2.09 4.01 7.64 8.21 9.79 9.63 REff Database 11 .80 13.94 5.01 14.47 9.18 12.09 NAREIT Equity 13.12 13.89 4.01 14.57 7.12 10.13 * Returns less than one year are not annualized. CAILAN ASSOCIA1ES " g 7 l 7 7 -j ] Private Equity -Signs of Stabilizing Fundraising has continued to contract compared to prior years and is down approximately 70% and 25% from total commitments raised during the first quarters of 2001 and 2002, respectively. The second quarter of 2003 recorded 60 new funds and just over $14.0 billion in commitments. Mid-market buyout funds dominated a difficult fundraising environ- ment, garnering close to 50 percent of the capital committed. Noticeably absent so far in 2003 are any multiple billion-dollar "mega" funds. The investment pace by venture capitalists has been in a steep decline for the past 13 quarters, but some industry observers think it could be showing signs of stabilizing. The optimism is based more on senti- ment. Two technology companies stepped forward for initial public offerings in the second quarter but represented only $164 million, or about 10%, of the $1.58 billion raised by five companies. The buyout sector is enjoying similar enthusiasm and has posted considerable deal volume to support the positive outlook. The $33.2 billion in announced deal volume for the first half of 2003 represents the second largest half-year total, topped only by the $44.1 billion in the second half of 1999. Deal volume in the past year has produced $63 billion in transactions and most buyout firms expect the market to stay busy through 2003. Please see our upcoming issue of Private Markets Trends for more in-depth coverage. Funds Closed January I through June 30, 2003 Strategy # of Funds $ Amt (mil) % Venture Capital 20 1,805 13 Acquisition/Buyouts 21 6,633 47 Subordinated Debt 4 293 2 Distressed Debt 6 2,110 15 Other 2 806 6 Fund-of-funds 7 2,387 17 Totals 60 14,034 100 Source: The Primte Equity Analyst & Buyouts Hedge Funds -The Perfect Calm? When the Iraq war ended early in the quarter, hedge fund managers found plenty of opportunities to put risk capital back to work. Three positive trends helping hedge funds were falling interest rates, rising stocks, and narrowing credit spreads. As a proxy for broadly diversi- fied programs of hedge fund strategies, the median manager in the Callan Hedge Fund-of-Fund Database gained 3.37% last quarter, net of fees, with most of the gain in April and May. Outside of Short Sellers (-16.78%), all major hedge fund strategies created positive returns last quarter, based on CSFB/fremont's hedge fund indices. As credit spreads continued to tighten last quarter, Distressed funds raced ahead 8.39%, leaving some observers toques- tion whether much upside is ahead in the short run. In the war's wake, M&A activity rose notably from very depressed levels, allowing Risk Arbitrage managers to gain 4.90%, its best performance since first quarter 2000. For Convertible Arbitrage managers, markets were perhaps too calm. Declining market volatility later in the quarter eroded the value of convertible's embedded option, causing a 0.62% loss in June, but allowing a 2.57% gain for the quarter. Benefiting from net long exposures in a rising market that fundamen- tally discerns value, the long/Short Equity manager gained a healthy 7.05%. Monthly Net Returns: CAI Hedge FoF Database 3,0(,; - 1.0'1 - 0,5'1/ ,- 0,0'J • A 1)•0 • Atllf(I • A(S5l -0.5~,; -April 2003 Ma., 2003 Junt 2003 10th Pcrn:ntilc 196 2.4~ 127 25th Pcn:cn1ik 161 1.9) I 00 Median I 26 1.49 0.71 75Lh Pl.'n.:cntilc 0 g5 1.09 041 ')01h l\.::rCl'Tllilc OJ4 0,7(, 0 10 T-Bills • 009 0.10 0 14 ALTERNATIVE INVESTMENTS Style Median and Index Returns* for Periods ended June 30, 2003 Last Last 1/2 Last Last3 Lasts Last 10 Quarter Year Year Years Years Years Convertibles Database 8.84 10.08 8.51 -1.60 5.97 9.68 CSFB Convertible Securities 10.64 14.86 15.46 -3.77 5.29 8.81 Hedge Fund-of Funds Database 3.37 5.50 6.86 7.08 9.61 11.34 Market Neutral Equity Style -1 .52 0.96 3.62 5.44 4.26 6.56 CSFB/fremont Equity Market Neutral 2.09 3.16 7.26 8.34 11.21 CSFB/fremont Long/Short Equity 7.05 7.21 6.08 0.66 9.63 CSFB/fremont Event-Driven 6.81 11.03 11.32 8.29 7.94 CSFB/fremont Convertible Arb 2.57 8.15 13.66 11.10 11.22 CSFB/fremont Fixed-Income Arb 2.89 5.66 5.28 7.64 5.67 90-Day T-Bills 0.34 0.64 1.53 3.33 4.08 4.52 • I VE Post Venture Cap Index 34.85 34.14 19.79 -29.83 -6.31 6.09 GS Commodity Index 3.09 7.82 24.10 2.98 9.97 7.28 MLM Managed Futures Index -1.23 1.30 5.37 4.83 5.44 7.92 * Returns less than one year are not annualized. ]() CAILAN A5SOC1ATES " C// ,A'lPITU )Ulll\ET "'' .. L,,,,l,t:,:rr'.1 7 -1 l 7 J J ~1 The Science of the Painfully Obvious Every so often the economics profession comes out with a "finding" so banal, so painfully obvious, and so seemingly worthless that it bears examination as to why the pronouncement was issued. In mid-July, the National Bureau of Economic Research's (NBER) Business Cycle Dating Committee officially declared the recession over, as of November 2001. That it took a mere 20 months to declare something so obvious rubbed some observers as, well, odd. By definition, a reces- sion is two or more consecutive quarters of declining real GDP. The economy has grown every quarter since the fourth quarter of 2001, but the growth has been erratic and the revisions to the data large and unpredictable. Different sectors of the economy recover on different schedules-manufacturing is still having trouble gaining its footing- and the Committee had to wait until the GDP numbers had been revised to ensure that the recovery was indeed showing up in the numbers. Not that the general public had been gnawing its fingers, waiting for the news from the NBER--consumer sentiment is up sharply from the end of 2002, but it has yet to fully recover, not surpris- ing given that the unemployment rate jumped to a new cyclical high in June. Second quarter GDP growth is expected to come in at a paltry 2%, following the anemic 1.4% rate recorded in the first quarter. Economic prognosticators now have their reputations on the line, since the vast majority has been chanting "wait for the second half' since the start of the year. The uncertainty leading up to the invasion of Iraq kept busi- nesses (but not consumers) sitting on their wallets. The resolution of the conflict and a pipeline full of monetary, fiscal and exchange rate related stimulus make some bounce in the economy seem inevitable. Bear in mind, of course, that "wait for the second half' has been a recurring theme over the past several years, a prediction that has only been followed by disappointment. Tax withholding rates dropped on July 1, and d1ild tax credit checks will come out in the third quarter. The tax cuts are effective January 1, but the delay in changing withholding rates means larger than usual refunds are due in the first quarter of 2004. Tax cuts boost consumers' disposable income, and consumers appear ready to keep on spending. Consumers bave al o responded to the lowest mongage rates in more than -a generation, fueling the housing market and housing-related pending-one of the trong·points on the retail landscape. The Federal Inflation-Year Over Year 20% ....-------------------------, 15'i'c -\ \ 10% 5'k OC/o ----- PP! (All Commodities) -CPI (All Urban Consumers) -5% 1--------------------- our goods to other countries. Thus far this year, however, the trade deficit has in fact widened, as the economies of Europe remain weak, and several key trading partners-notably China-peg their currencies to the dollar, limiting the potential impact of the devaluation. In the decidedly odd world of economic statistics, data on the job market, or more correctly, interpretation of the data on the job market, evolved into a new art form. The unemployment rate remains high for the cycle, hitting 6.4% in June, and even more troubling, initial unem- ployment claims rose above 400,000 in January and remained above this "benchmark" level (denoting deteriorating job market conditions) into the first week of July. However, the level of the unemployment rate is low relative to the history of the past 40 years. At this point in the cycle after the recession in the early 1990s, a 6.4% unemployment rate would have been greeted with great cheer. Even more interesting, the reason for the stubbornly high unemployment rate during the first half of the year may, in fa.ct, have to do with gradually improving percep- tions about the economy, or the "encouraged worker" effect. Workers are discouraged from seeking jobs in a down market and eventually drop out of the labor force. Since the start of the year, the labor force has, in fact, expanded, as potential workers, particularly women, have been drawn back into the labor force, arguably lured by perceptions of better prospects. So the unemployment rate rising in June is actually an indicator that workers believe better times are ahead. Reserve cut the federal funds rate to 1.0%, a 47-year low. Low interest Manufacturing is still having trouble expanding, as evidenced by the rates and a growing money supply have provided the liquidity that has Purchasing Managers' Index, which has remained below 50--the made it cheaper for businesses and consumers to borrow and refinance dividing line between expansion and contraction-through the first debt, and were likely instrumental in prodding the stock market to its half of the year. New orders are growing, but the overhang of inventory biggest quarterly gain in four and a half years. In addition to monetary remains a problem. In contrast, the similar index for non-manufactur- and fiscal stimulus, the weaker U.S. dollar should stimulate overseas ing is now at 60, suggesting substantial improvement in business demand for U.S. goods, as the falling dollar has reduced the price of activity for the sectors of the economy outside manufacturing. U.S. ECONOMY Recent Quarterly Indicators JQ0I 4Q0I IQ02 2Q02 JQ02 4Q02 IQ0J 2Q0J CPI-All Urban Consumers (year over year) 2.7% 1.6% 1.5% 1.1% 1.5% 2.4% 3.0% 2.1% PPI-All Commodities (year over year) -1.0% -6.0% -4.5% -3.4% -0.8% 3.8% 8.9% 5.4% Employment Cost-Total Compensation Growth 4.1% 4.1% 3.6% 4.4% 2.5% 3.0% 5.5% 3.4% Manufacturing Output-Productivity Growth 2.1% 7.3% 8.6% 1.7% 5.5% 0.7% 1.9% 1.2% GDPGrowth -0.3% 2.7% 5.0% 1.3% 4.0% 1.4% 1.4% 2.0% Manufacturing Capacity Utilization (level%) 74.5 72.9 73.7 74.3 74.1 73.0 73.0 72.8 Consumer Confidence Index ( 1966= 1.000) 0.886 0.851 0.931 0.941 0.873 0.838 0.800 0.893 '''"'"' 'I"""''' C(l(I./ f\PITU ~UIII\ET ,ni,·a CAILAN ASSOCIATES,,= 11 7 7 l l The Bulls Are Loose Again Perhaps the capital market bulls were inspired by those running in Spain. Equity markets had their best quarter since fourth quarter 1998, posting double-digit gains. Fund sponsors wanting to gain back some of what they have lost over the past few years, were solidly in the black during the second quarter due to large gains in the equity markets coupled with positive returns in the other major asset classes. 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. The adjacent graph, illustrating the range ofreturns for public, corpo- rate Taft-Hartley pension plans, as well as endowments/foundations, shows gains across the board. The table below compares the returns of the four institutional fund sponsor types to several benchmarks over longer periods. Choices in asset allocation explain much of the difference in performance. With the equity markets, both at home and abroad, registering big gains in the second quarter, those fund sponsors with more aggressive asset allocations (i.e., more equity exposure) fared the best. With an average public equity allocation of 59%, the median endowment/foundation led the quarter, gaining 10.86%. With a slightly lower level of equity exposure (56%), the median corporate plan placed second with a 10.59% return. Public plans (+10.55%) and Taft-Hartley plans ( +9.83%) garnered lower returns due to their more conservative equity allocations (52% and 48%, respectively). Callan's balanced manager groups generally maintain well-diversified portfolios and attempt to add value by underweighting or overweight- ing asset classes, as well as through stock selection. In the recent quarter, global balanced managers beat their static 60% equity and 40% fixed-income benchmark, while domestic balanced managers lagged behind their benchmark. Callan Style Group Returns -Second Quarter 2003 6~-(/ Public Pl:m Corporate Plan Endow/Found T.aJl-1-farlley Datab~e Database Dab.bast Database 10th Pcn:i.:nlilc l2 '.!9 lJ 02 lJ 79 l'.!.20 25th P~rccntik: 11,10 11 G9 11)3 !0031 MnJi:ln \0,55 10 59 10.8G 98) 75th P~rccntih: 9,51 10.J'.! <)90 8.X8 90th Pi.:n:cntik g40 ~ so 7 55 7.58 Average Asset Allocation as of March 31, 2003 50~f- 40% 30'7c 10% • Public Corporate • Endowment/Foundation Ta fl-Hartley 0'7r ,..._.._. __ __.__ ____ .__.,_...._. __ ---'-____ .,__..._. __ __,_ ____ .__...._..._~ U.S. Equity Non-U.S. U.S. Fixed Non-U.S. Real Estale Alt. Inv Cash Equi1y Fixed DIVERSIFIED ACCOUNT DATABASE Style Median and Index Returns* for Periods ended June 30, 2003 Last Last 1/2 Last Last3 Lasts Last 10 Quarter Year Public Darabase 10.55 8.66 Corporare Darabase 10.59 8.72 Endowmenr!F oundation Dara base 10.86 8.79 Tafr-H arr/ ey Darabase 9.83 8.50 Asset Allocaror Sryle 12.32 10.36 Domestic Balanced Darabase 10.03 8.32 Global Balanced Darabase 13.35 11.53 60% S&P 500 + 40% LB Aggregate 10.24 8.77 60% MSCI World+ 40% Citi World Govt 11.77 9.77 * Returns less than one year are not annual ized. The Capital Market Review is published quarterly for members of the institutional invest- ment community, both domestic and international. The Capital Market Review focuses primarily on the latest quarterly performance of market indices and Callan style groups for each of the major asset classes used by institutional investors. Capital Market Review contributors are as follows: Jay Kloepfer, Economy Jim McKee, U.S. Equity, Hedge Funds Greg Deforrest, U.S. Fixed lncome Brian Zeiler, Non-U.S. Equity, Non-U.S. Fixed Income Jamie Kuster/Zachary Stassi, Real Estate Year Years Years 3.74 -1.66 2.93 3.37 -213 2.69 331 -1.52 3.55 4.83 -0.11 3.15 2.49 -4.35 1.86 3.25 -1.32 3.35 6.62 2.59 4.90 5.15 -2.44 2.68 5.80 -4.02 1.52 Gary Robertson/Craig White, Private Equity Julia Moriarty, Diversified Accounts, CMR Performance Data Mary Schaefer, Editor in Chief Tanja Eisenhardt, Publication Layout Years 8.28 8.89 8.60 8.41 8.97 9.23 9.39 9.35 6.60 Callan Associates Inc. is a privately-held and 100 percent employee-owned firm whose sole business is strategic asset management consulting as an independent, objective third party. Headquartered in San Francisco, Callan also has regional offices in Chicago, Morristown, Atlanta, and Denver. © 2003 Callan Associates Inc. 12 CALLAN ASSOCIA1ES, C ,c, r I,,,.,,," 0111'"1 l'WITU \Ulll(ET ,.,;., 7 7 l l 7 l l _j l -l 1 _j I _J ..J MARKET OVERVIEW Ill ACTIVE MANAGEMENT VS INDEX RETURNS Market Overview The charts below illustrate the range of returns across managers in Callan's Separate Account database over the most recent one quarter and one year time periods. The database is broken down by asset class to illustrate the difference in returns across those asset classes. An appropriate index is also shown for each asset class for comparison purposes. As an example, the first bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter. The triangle represents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in the domestic equity manager database. Range of Separate Account Manager Returns by Asset Class One Quarter Ended June 30, 2003 30%-.-----------,-------,-------,------~-----------~ 25% ~ 20%- 15%-(67)• 10%- 5%-(87)R23 (38) 0%-L-~D~o-m-es~ti~c--L--:-:--=-_J__----=?-==.~_J__--:-;--;-;;:;----'-----.J:;;;ijiii"'!"';I,------'-~ (54)~ • //;./;.\ Non-US Domestic Non-US l<eal . Cash I 0th Percentile 25th Percentile Median 75th Percentile 90th Percentile Index a 30% 25% 20%- 15% "' ~ 10%- 5%-(1) ~ Equity vs S&P 500 24.72 20.83 17.09 14.70 12.60 15.39 Equity vs MSCIEAFE 21.92 20.39 18 .98 17.46 16.16 19.27 Fixed-Income VS LBAggrBd 6 08 3.33 2.56 1.90 0.96 2.50 Fixed-Income Estate Equivalcmts VS VS VS SB Non-US Gov NCREIF Index 3 Mon T-Bills 7.01 2.96 0.68 6.09 2.34 0 51 5.30 1.67 0.37 4.51 0.55 0.32 4.18 0.07 0.30 4.21 1.88 0.34 Range of Separate Account Manager Returns by Asset Class One Year Ended June 30, 2003 (81)~ (53)~ (57) • 0% , ,~ . (831 I ' (50)~ (5~~)- (IO~o)- ( I 5~o) Domestic Non-US Domestic Non-US Real Cash Equity Equity Fixed-Income Fixed-Income Estate Equivalents VS vs vs vs vs vs S&PS00 MSCIEAFE LBAggrBd SB Non-US Gov NCREIF Index 3 Moo T-Bills I 0th Percentile 5.93 (0.87) 16.37 24.18 11.74 3.46 25th Percentile 2.27 (4.08) 12.29 20.70 9.06 2.55 Median (0 15) (6.40) 10.52 19.09 8.04 1.78 75th Percentile (2.84) (S 4 1) 8.56 18.22 4.54 1.60 90th Percentile (5 ?:;) (10.34) 5.56 16.43 (0.32) 1.46 Index • 0.25 (6.46) 10.40 17.90 7.42 1.53 Orange County Sanitation District 13 7 7 l 7 l I I _j J Active vs the Index DOMESTIC FIXED-INCOME Active Management Overview With the exception of Mortgage Backed Fixed Income, the Domestic Fixed Income market increased steadily through the second quarter of 2003. The median Core Bond Fund returned 2. 73% for the quarter, a 128 basis point jump from last quarter. This performance put the fund ahead of the Lehman Aggregate Index by 23 basis points but 79 basis points below the Lehman Govt/Credit Index. For the one year ending June 30, the median Core Bond Fund returned 10.58%, which was 18 basis points ahead of the Lehman Aggregate Index and 257 basis points below the Lehman Govt/Credit Index. Short vs Long Duration Long Term durati on was more profitable than Short Term for the second quarter of 2003. The Extended Maturity Style posted a 5.53% return, 280 basis points above the Core Bond group, 303 basis points above the Intermediate, and 451 points above the Defensive median. For the year ended June 30, 2003, Extended Maturity outperformed shorter-term bonds and came in at 20.32%, beating all other style groups. This return was 974 basis points ahead of the Core Bond median fund, 1,012 points above the Intermediate median, and 1,481 points above the Defensive median. Morti:;ages and High Yield Suffenng from increased pre-payment risk, the median Mortgage-Backed Fund placed next to last, returning only 0.93% for the second quarter of 2003 . For one year ending June 30, 2003, the Mortgage-Backed median return was 6.28% placing it seventh among the Domestic Fixed-Income styles. Conversely, High Yield finished the highest at 8.25% for the second quarter of 2003. As demonstrated by its one year return of 17.71 %, demand for High Yield has been robust amid historically low interest rates. Separate Account Style Group Median Returns for Quarter Ended June 30, 2003 Lehman Aggregate: 2.50% 10% Lehman Govt/Credit: 3.52% 8.25% 8% "' 6% § 0 ~ j 4% 2% 0.51% 0% Active Defensive Intermed Core Core Extended Active Mortfa~e High Cash Bond Plus Maturity Duration Bae e Yield Separate Account Style Group Median Returns for One Year Ended June 30, 2003 Lehman Aggregate: ID.40% 25% r----------------------------,.__L_ehm_a_n_G_o_vt_lC_re_d_it_: _1_3_.1_5_%__, 20% !--------------------- 0% .._ _ ___J Active Cash Defensive Intermed Core Bond Core Plus 20.32% Extended Maturity Active Duration Mortgage Backed High Yield Orange County Sanitation District II 14 7 7 ] 7 7 Asset Class Risk and Return The charts below show the seven and three-quarter year annualized risk and return for each asset class component of the Total Fund. The first graph contrasts these values with those of the appropriate index for each asset class. The second chart contrasts them with the risk and return of the median portfolio in each of the appropriate CAI comparative databases. In each case, the crosshairs on the chart represent the return and risk of the Total Fund. Seven And Three-Quarter Year Annualized Risk vs Return Asset Classes vs Benchmark Indices 7.5%--.------------------------,-------~ 7.0% 6.5% "' 6.0% i \l) ~ 5.5% "' i \l) ~ 5.0% 4.5% ---f 90 DayT-Bills I 4.0% --t----.---.----,---,--,----r----.-----.---,--,-----1 0.4% 0,6% 0.8% 1.0% 1.2% 1.4% 1.6% 1.8% 2.0% 2.2% 2.4% 2.6% 2.8% Standard Deviation Seven And Three-Quarter Year Annualized Risk vs Return Asset Classes vs Asset Class Median 7.0% 6.5% 6.0% 5.5% 5.0% 4.5% 4.0% 3.5% 0.6% 1 Total Domestic Fixed-Income I CAI Defensive F-1 Stv)e ---f Mone;i;: Market Fds DB I ' 0.8% 1.0% 1.2% 1.4% 1.6% 1.8% 2.0% 2.2% Standard Deviation Orange County Sanitation District • II 15 7 7 l l 7 7 I J J J J J J J Investment Manager Asset Allocation The table below contrasts the distribution of assets across the Fund's investment managers as of June 30, 2003, with the distribution as of March 31, 2003. The change in asset distribution is broken down into the dollar change due to Net New Investment and the dollar change due to Investment Return. Asset Distribution Across Investment Managers II June 30, 2003 March 31, 2003 Market Value Percent Net New Inv. Inv. Return Market V alue Percent Domestic Fixed Income Long Term Operating Fund 329,689,010 83.21% 0 4,878,683 324,810,327 86.76% Liquid Operating Monies 66,541,970 16.79% 16,800,000 190,913 49.552,056 13 .24% Total Fund $396,231,980 100.0% $16,800,000 $5,069,596 $374,362,384 100.0% Orange County Sanitation District 16 7 7 7 l l l l -l _j J J I J J J Investment Manager Returns The table below details the rates of return for the Sponsor's investment managers over various time periods ended June 30, 2003. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund's accounts for that asset class. Returns for Periods Ended June 30, 2003 Last Last Last Last Last 2 3 7-3/4 Quarter Year Years Years Years Domestic Fixed Income Long Term Operating Fund 1.50% 7.35% 7.13% 7.97% 6.86% Liquid Operating Monies 0.32% 1.71% 2.44% 3.78% 4.88% Net of Fees 0.29% 1.56% 2.29% 3.63% 4.73% Market Indicators LB 1-5yr Govt/Credit 1.75% 7.99% 7.85% 8.65% 6.82% ML 1-3yr Govt/Corp 1.10% 5.63% 6.22% 7.28% 6.37% ML 1-5yr Govt/Corp 1.66% 7.77% 7.70% 8.52% 6.86% ML 1-5yr G/C excl. BBBs 1.40% 7.25% 7.60% 8.47% 6.82% Treasury Bills 0.34% 1.53% 2.08% 3.33% 4.51% Total Fund 1.35% 6.59% 6.55% 7.49% 6.65% Orange County Sanitation District II 17 l l 1 7 l 1 j "' ~ (1.) ~ (1.) > -~ a:l ~ PIMCO-LIQUID OPERA TING MONEY PERIOD ENDED JUNE 30, 2003 Investment Philosophy II The Money Market Funds Database consists of actively managed short term funds. These funds invest in low-risk, highly liquid, short-term financial instruments. Quarterly Summary and Highlights • PIMCO-Liquid Operating Money's portfolio posted a 0.32% return for the quarter placing it in the 1 percentile of the MF -Money Market Funds Database group for the quarter and in the I percentile for the last year. • PIMCO-Liquid Operating Money's portfolio underperformed the 90 Day T-Bills by 0.01% for the quarter and outperformed the 90 Day T-Bills for the year by 0.19%. Quarterly Asset Growth Beginning Market Value $49,552,056 Net New Investment $16,800,000 Investment Gains/(Losses) $190,913 Ending Market Value $66,542,970 Performance vs MF -Money Market Funds Database 6% 5% - 4% 3% - 2% - 1% 0% (l)~~g I 0th Percentile 25th Percentile Median 75th Percentile 90th Percentile PJMCO-L quid Operating Money e A Net of Fees •B 90 Day T-Bills • Last Quarter 0.26 0.22 0.16 0.10 0.04 0.32 0.29 0.34 c1J • I ~[l i G Last Year 1.34 1.19 0.97 0.73 0.43 1.71 1.56 1.53 I A(I (1) • 8(1 JG Last 2 Years l.86 l.71 1.51 1.27 0.96 2.44 2.29 2.08 Relative Return vs 90 Day T-Bills 0.25% 0.20% 0.15% 0.10% 0.05% 0.00% 95 1996 1997 1998 1999 2000 2001 2002 3 I • PIMCO-Liquid Operating Money I /10)~,W ) I A(I ) I A[I X12)E3B(l I Mt 1(7)§8I (l) • B(I I ~ I Last 3 Years 3.17 3.02 2.82 2.58 2.31 3.78 3.63 3.33 Last 5 Years 4.04 3.89 3.68 3.44 3.21 4.48 4.33 4.08 Last? Years 4.43 4.28 4.08 3.88 3.68 4.78 4.63 4.43 Last 7-3/4 Years 4.53 4.39 4.18 3.98 3.79 4.88 4.73 4.51 MF -Money Market Funds Database Annualized Seven And Three-Quarter Year Risk vs Return "' E E (1.) ~ 5.5% PlMCO-Li uid 5.0% 4.5% 4.0% 3.5% 3.0% 2.5% +---~---,c---'--...---~----.----1 0.70 0.75 0.80 0.85 0.90 Standard Deviation 0.95 1.00 Orange County Sanitation District 18 l 7 l l j ] I J J J J "' E .a 0 ~ 0 > -~ 15 ~ PIMCO-LONG TERM OPERATING FUND PERIOD ENDED JUNE 30, 2003 Investment Philosophy II Defensive Style managers aim to minimize interest rate risk by investing predominantly in short to intermediate term securities. The average portfolio maturity is typically two to five years. , ~ Quarterly Summary and Highlights • PIMCO-Long Term Operating Fund's portfolio posted a 1.50% return for the quarter placing it in the 18 percentile of the CAI Defensive Fixed-Inc Style group for the quarter and in the 12 percentile for the last year. • PIMCO-Long Term Operating Fund's portfolio underperformed the ML 1-5 Govt/Corp by 0.15% for the quarter and underperformed the ML 1-5 Govt/Corp for the year by 0.42%. Quarterly Asset Growth Beginning Market Value $324,810,327 Net New Investment $0 Investment Gains/(Losses) $4,878,683 Ending Market Value $329,689,010 Performance vs CAI Defensive Fixed-Inc Style - 10% 9% 8% 7% 6% 5% 4% 3% 2% 1% 0% - - (?)Er : [/'l1~~~t ' - - (16)fgl l1l, _ B 2 ) I 0th Percentile 25th Percentile Median 75th Percentile 90th Percentile PIMCO-Long Term Operating Fund • A ML G/C 1-5 excl. B88s • 8 ML 1-5 Govt/Corp 4 Last Quarter 1.74 1.29 1.02 0.93 0.67 1.50 1.40 l.66 Last Last 2 Year Years 7.48 7.00 6.33 6.47 5.51 6.20 5.01 5.69 3.95 5.06 7.35 7.13 7.25 7.60 7.77 7.70 Relative Return vs ML 1-5 Govt/Corp 1.0%-,-~--..--~--~--..--~--~-~~ 0.5% 0.0% (0 5°0) ( I 00 ") 4-4f----+---+--1----+---+---1----1--1 (I 5" ) 1 95 1996 I 997 I 998 1999 2000 200 I 2002 3 I • PIMCO-Long Term Operating Fund I (I) 4 • Bl I ~, E~r l (4)~8\~ l (S)~A(: 1(6)~srn) A( I 8(5 Last 3 LastS Last 7 Last 7-3/4 Years Years Years Years 7.99 6.79 6.93 6.79 7.57 6.62 6.81 6.70 7.30 6.42 6.56 6.45 6.97 6.21 6.39 6.26 6.43 5.89 6.14 6.06 7.97 6.86 7.04 6.86 8.47 6.97 7.02 6.82 8.52 7.01 7.06 6.86 CAI Defensive Fixed-Inc Style Annualized Seven And Three-Quarter Year Risk vs Return 8.0% 7.5% D "' 7.0% E .a 0 ~ 6.5% Fund • • 6.0% • • • 5.5% 0.5 1.0 1.5 2.0 2.5 3.0 Standard Deviation Orange County Sanitation District 19 7 7 7 -1 l . j ! _j j _J LONG TERM OPERA TING FUND PORTFOLIO CHARACTERISTICS SUMMARY JUNE 30, 2003 • Portfolio Structure Comparison The charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatest influence on return. The first chart compares the two portfolios across sectors weights. The second chart compares the portfolios based on duration, duration distribution, duration "dispersion" (degree of "barbellness"), and sector weights within duration ranges. The last chart compares the distributions across quality ratings and sector weights within quality cells. Agencies 12% Treasuries 31% CMOs 1% Sector Allocation Mortgages 17% Agencies 22% Treasuries 37% Long Term Operating Fund Lehman Government/Credit 1-5 45% 40% .s 35% ;g .... 30% ... 0 25% ~ .... 20% 0 .... 15% = ~ (J 10%-... ~ 5% ~ 0% 50% 45% .:: 40% ;g 35% .... ... 30% 0 ~ 25% .... 0 20% .... = 15% ~ (J 10% ... ~ ~ 5% 0% Duration Distribution by Sector Weighted Average: Duration Dispersion Bar #I :Long Term Operating Fund: 2.11 1.81 Bar #2:Lehman Government/Credit 1-5: 2.44 1.09 <1.0 1.0-1.5 1.5-2.0 2.0-2.5 2.5-3.0 3.0-3.5 3.5-4.0 Years Duration Quality Distribution by Sector Weighted Average: Bar # I :Long Term Operating Fwid: Bar #2:Lehman Government/Credit 1-5: Trsy Agcy Aaa Aal Quality Aaa Aal Aa2 Aa3 Al A2 Moody's Rating A3 4.0-4.5 4.5+ Baal Baa2 <Baa2 • Agencies 0 CMOs D Cash • Credit D Mortgages D Treasuries • Agencies G CMOs D Cash • Credit D Mortgages D Treasuries * All Statistic shown on the page are dependent on the securities in the portfolio being recognizedJby their Cusip) and priced. In this case 98% oftbe secuntie in the portfolio (by market value) were recognized an priced. Orange Cowity Sanitation District 20 l 7 ' l l I J _J ,J I .._J LONG TERM OPERATING FUND PORTFOLIO CHARACTERISTICS DETAIL JUNE 30, 2003 Weighted Average Portfolio Characteristics Total Fund, By Asset Class and By Sector Ending Percent Market of Effective Effective Sector Value Portfolio Coup_qp. aturl!)t_ Yield Total Fund $338,863,935 100.0% 4.76 2.79 2.18 OA OA Durl!_tion C2nvcrlh' 2.11 (0.34) Afrncies $40, 12,4, 154 11.8% 6.51 2.32 1.57 2.15 0.o7 Agcy C Os $4,732,071 1.4% 5.19 2.74 2.92 4.12 0 15 A~ Credit $70,384,973 20.8% 5.57 4.32 3.33 3.55 0 26 Mortgages $57,338,849 16.9% 5.68 3.91 3.83 1.97 (~ 50) A{/Y Treasunes !03,68t284 30.6% 5.44 2.85 1.39 2.22 0 07 rsy Non-Convertible Bonds $276,268,333 81.5% 5.67 3.37 2.44 2.53 (0 42) Cash Equivalents $62,595,602 18.5% 1.02 0.25 1.02 0.25 0.00 5 Largest Holdings Ending Percent Market of Effective OA OA ls~uer Name _ _ __ _.,,ls=sue apt~c _____ -'Sector __ V.,_.._,al,,.u-"-e~P'---'o"'r_,,tf,._,,o,_.li,,____._Y..,lc'""ld.,___D=ur,_,a,_,_,_ti,on Convexity United States Treas Nts 5.75% 11/15/05 Dtd 11/ Treasuries United States Treas Nts 2/15/07 Dtd 02/15/1997 Treasuries United States Treas Nts Nt 3.375% 1/15/2007 Treasuries Federal Natl Mtg Assn 7.125% 2/15/05 Benchma Agencies Famn Tua Fnm 5.0% 30yr Toa Mortg;iges $63,283,002 18.7% 1.41 2.24 0.06 $23,475,913 6.9% 1.95 3 25 0.13 $18,086,673 5 3% 0.57 0.83 0.00 $17,372,412 5.1% 1.28 I 53 0.03 $15,496,875 4.6% 4.22 1.83 (5 46) 5 Lowest Rated Holdings (Moody's Rating) Ending Percent Market of Effective OA OA Ouar Trsy Trsy Trsy Agcy Agcy Aal Aaa Issuer Name Issue Bille Sector .YaJue Portfolio Yield DurufQn Convexi/jy~liQ: Umted Airls Pass lm1 Trs 6.831% 9/1/08 2001-1 P Credit $240,000 0.1% 57.02 2.09 0.09 03 Philip Morris Cos l.nc 7.5% 4/1/04 Nt Dtd 04/ Credit $5,268,750 1.6% 2.71 0.72 O.Ql Baa2 Gener.ii MIJ'S Accep Corp 6.125% 8/28/2007 Credit $3,180,412 0.9% 5.09 3.67 0.16 A3 Vl:r~inia Elec & Pwr Co 5.75% 3/31/06 2001 Sr Credit $3,872,977 1.1 % 2.21 2.55 0.08 A3 For l'vltr r u, 6.75% 5/15/05 Nt Dtd 0 Credit $1,055,965 0.3% 4.06 1.77 0.04 A3 5 Longest Duration Holdings Ending Percent Market of Effective OA OA suer a,'"-''--------"'B~uc N-am=e"------""Se.,c"'(o,,.,r _____ Vi-'-'a,,_,l.,,_ue"---_,P~o,,._rtfolio-..Yl.w!_Q_ul'H/:iCln C n,·csi/jy_Q~ali.ty_ General Elec Olp Corp Medi Credit $5, -10, 773 1.6% 4.36 7 .55 0. 70 Aaa JP Morgan Chase & Co 5.75% 1/02/2013 Global Credit $3,383,340 1.0% 4.51 7.42 0.69 A2 Citigrou!) Inc Global Sub Nt Dtd 08/2 Credit $5,~05,425 1.7% 4.25 7.35 0.66 Aa2 Venzon Global fdg orp Global NtDtd 08/26120 Credit $3,732,790 1.1 % 4.44 7.01 0.62 A2 National Rural Ulil5 Coop 7.25% 311/2012 Credit $3,664,520 I.I% 4.48 6.72 0.56 A2 9 SJ!er N~am=e~--- United Airls Pass Thru Trs Fhlmc Mbs Passthru Genera.I Mtr..-Acee!) Corp J P Morgru1 Chase & Co National Rural Utils Coop 5 Holdings with Highest Effective Yield Ending Market __,_I=ss=ue,,_,_,N"'am=e _____ _,,S""ec=tor ____ _,_V_,,.aJ=ue 6.831% 9/1/08 2001-1 P Credit $240,000 #g4-353 Mortgages $151,681 6.125% 8/28/2007 Credit $3,180,412 5.75% 1/02/2013 Global Credit $3,383,340 7.25% 3/1/2012 Credit $3,664,520 Percent of Portfolio 0.1% 0.0% 0.9% 1.0% 1.1% Effective Yield 57.02 5.36 5.09 4 51 4 48 OA OA Duration Convcxitv 2.09 0.09 0.52 (0.00) 3.67 0.16 7.42 0.69 6.72 0.56 Quality B3 A~ A2 A2 * All Statistics shown on the page are dependent on the securities in the portfolio being recognized (by their Cusip) and priced. In this case 98% of the securities in the portfolio (by market value) were recognized and priced. Orange County Sanitation District Bl 21 Ill CAlLAN ASSOCIATES,~ Atlanta Consulting Office S~ Concourse Parkway, Suite 2900 Atlanta, Georgia 30328 -Phone: (770) 804-5585 Chicago Consulting Office 120 North LaSalle Street, Suite 2100 Chicago, Illinois 60602 Phone: (312) 346-3536 Denver Consulting Office 550 East 8th Avenue Denver, Colorado 80203 Phone: (303) 861-1900 New York Consulting Office 163 Madison Avenue Morristown, New Jersey 07960 Phone: (973) 993-9595 San Francisco Consulting Office 71 Stevenson Street, Suite 1300 San Francisco, California 94105 Phone: (415) 974-5060 7 7 1 I I __ __, --l _] Investment Management Program Orange County Sanitation District Strategy Review for the Period March 31, 2003 -June 30, 2003 June 2003 Agenda I. Organization Update II. Performance & Market Review 111. Outlook & Strategy 1 PIM C 0 PIMCO's Mission and Investment Philosophy Foster Strong Partnership with Clients PIMCO's Mission • Be the best fixed income manager in the world, period. Consistent Philosophy & Process • Active fixed income manager • Team approach focused on long term Enhanced Client Partnerships • Offer client educational programs • Use fixed income expertise to expand product offerings -CommodityRealReturn -Asset Allocation Product -StocksPLUS Total Return -Managing Taxable/Tax -Relative Value Strategy efficient assets Balanced Growth • Share of global fixed income market stable over time -Assets under management $348.8 B* -615 Employees; 191 Investment professionals * Assets as of 06/30/03. 2 PIM C 0 Continued Expansion of Products to Meet Clients' Needs Product Description Assets Total Return Long Duration Moderate Duration Low Duration Short-Term Money Market Stable Value Mortgages Investment Grade Corporates High Yield CBO/CLO Global Emerging Markets Real Return Municipals Convertibles Enhanced Index (StocksPLUS) Other PIMCO's flagship core style Focus on long-term bonds Total Return with intermediate duration Total Return with shorter duration Active cash management techniques Maximize income while preserving capital Strategies that use book value wrappers Includes LIBOR-based mortgage products High quality corporate bond portfolios Emphasis on upper tiers of high yield market Collateralized bonds/loan obligations Non-U.S. and global approaches Focus on solid credits with improving economic fundamentals TIPS and other inflation-hedging strategies Tax-efficient total return management Balanced risk/reward profile that provides downside protection Equity Strategy -Combines futures and cash management Private placement investments $ 174.8 6.2 8.2 20.4 9.2 0.7 15.4 8.9 2.2 13.7 12.6 31.0 4.2 13.5 7.2 0.1 19.9 0.4 Total Assets Under Management: $348.8 B Potential differences in asset totals are due to rounding. Assets as of June 30, 2003. 3 PIM C 0 Performance Review Asset Growth Market Value as of Jun. 2002 Contributions / Withdrawals Net lm.estment Earnings* Market Value as of Jun. 2003 $ 366,114,867 (60,000,000) 23,607,587 $ 329,722,455 12 10 Annual 8 6 4 2 0 96 Orange County Sanitation District Long Term Portfolio (periods ending June 30, 2003) Since Inception 09/30/95 5 Yrs. 3 Yrs. 1 Yr. Before Fees(%) 6.9 6.8 7.9 7.3 Merrill Lynch 1-5 Yr. Govt/Corp. Index (%) 6.9 7.0 8.5 7.8 Performance • Orange County Sanitation District Long Term Portfolio YTD • Merrill Lynch 1-5 Yr. Gov't/Corp. Index 97 98 99 00 01 02 03 9 Mos. 6 Mos. 3 Mos. 3.7 2.6 1.5 4.2 2.8 1.7 * Includes income and realized/unrealized gains and losses, less management fees; all periods longer than one year are annualized. 4 PIM C 0 Performance Review Asset Growth Market Value as of Jun. 2002 Contributions / Withdrawals Net lm.estment Earnings* Market Value as of Jun. 2003 $ 43,895,269 21,799,964 845,297 $ 66,540,530 ....... ~ 0 '-' VI C '-::, ...., Cl) a'. 8 7 6 5 4 3 2 1 0 Performance • Orange County Sanitation District Liquid Operating Portfolio • Salomon Brothers 3-Month Treasury Bill Index 96 97 98 99 00 Orange County Sanitation District Liquid Operating Portfolio (periods ending June 30, 2003) Since Inception 09/30/95 5 Yrs. 3 Yrs. 1 Yr. 9 Mos. 6 Mos. 3 Mos. Before Fees(%) 4.9 4.5 3.8 1.7 1.2 0.7 0.3 Salomon Brothers 3-Month Treasury Bill Index(%) 4.4 3.9 3.2 1.4 1.0 0.6 0.3 • Includes income and realized/unrealized gains and losses, less management fees; all periods longer than one year are annualized. 5 YfD 01 02 03 PIM C 0 Interest Rate Strategies Neutral Given Outlook for Stable Rates Long Term Portfolio Prior Outlook: • U.S. Federal Reserve accommodative • Fed positioning to ward off deflation Portfolio Strategy: • Near-to below-index duration given war-related volatility and economic uncertainty • Index maturity structure similar to the benchmark SOURCE: Bloomberg Financial Markets U.S. Treasury Yields Fell Across Curve 6.---------------------------, 5 ~4 0 i3 QJ >= 2 1 , --,. --12/31/02 --03/31/03 --06/30/03 5.5 4.8 4.6 0 ------------------------------< 20 -_ 1~1 0 • Yield Changes in Q2 (bps) -20 ~---------------------~ -40 3m 2Y SY lOY 30Y Results: 20 YTD Duration: 0 Curve: 0 0 6 PIM C 0 Non-Treasury Sectors Continued to Outperform Long Term Portfolio Sector Index Returns* Prior Outlook: • Low coupon mortgages subject to extension risk • Corporate bond market continues to recover; security selection important Portfolio Strategy: • Temper structural mortgage overweight; add value through coupon selection • Target corporates with attractive risk- adjusted spreads SOURCE: Salomon Brothers, J.P. Morgan, Lehman Brothers ,-.. ~ !:'.., C L. ::J ..... QJ er:: n:J ..... 0 I- 20 16 12 8 4 0 Trsy Agencies Mtgs Results: Mortgages: Corporates Security Selection: Sector Underweight: * Returns for mortgages and corporates have been duration adjusted for treasuries. 7 Corp HY 2Q + + Non- U.S.$ Emg Mkt YTD + + PIM C 0 Global Imbalances Dampen Growth, Keep Inflation and Rates Low • Global competition facilitated low-cost production • Financial markets deregulation spurred leverage and consumption • Federal balance sheet shifted from deficit to surplus • Globalization results in excess production capacity • Post-bubble psychology discourages risk taking • Large trade deficit leaves U.S. dependent on non-U.S. investors • Federal Budget deficits return in attempt to stimulate economy, fight terrorism Implications • Sustained low real growth worldwide • Benign inflation; deflation in U.S. possible, not probable -The Fed will remain accommodative -Fiscal stimulus pursued to varying degrees globally -Weak U.S. dollar • Interest rates at current levels near term • Upward pressure on rates should reflation take hold 8 PIM C 0 • U.S. Drives Global Growth U.S. Japan Monetary Policy " Accommodative for near future • Despite recent ECB ease, • BOJ keeps providing further rate cuts warranted; liquidity to fight deflation policymakers slow to act • Excess liquidity will do little to boost growth until banking system lends Fiscal Policy • Bush tax plan moderately • EU stability pact hinders • Fiscal policy largely stimulative ability to act ineffective • Politicians continue spending to stay in power Corporate Sector • Debt and costs reduced; • Balance sheet rehabilitation • Corporate restructuring Credibility with lenders restored needed, and is just continues, keeping • No return to high capital beginning pressure on capital spending in near future spending Consumer Sector • Mortgage refis continue to fuel • Downtrend in consumer • Rising unemployment and consumer spending sector deepening falling incomes pressure II Real incomes have increased • Consumer and retail savings and consumption confidence consistent with recession 9 PIM C 0 Current Strategy -Conservative Yet Opportunistic Interest Rate Outlook • Fed keeps short-term interest rates low for foreseeable future • Rates near current levels for now Core Sector Outlook • U.S. Treasuries fully valued • Mortgages offer long-term structural advantages • Corporate spreads have narrowed 10 Interest Rate Strategies • Target duration near index given stable rate view -Trade some stability of duration for high quality yield • Capitalize on roll down from steep yield curve Core Sector Strategies • Substitute TIPS for nominal Treasuries • Add value through coupon selection PIM C 0 CAILAN ASSOCIA1ES.c Atlanta Consulting Office Six Concourse Parkway, Suite 2900 Atlanta, Georgia 30328 Phone:(770)804-5585 Chicago Consulting Office 120 North LaSalle Street, Suite 2100 Chicago, Illinois 60602 Phone: (312) 346-3536 Denver Consulting Office 550 East 8th Avenue Denver, Colorado 80203 Phone: (303) 861-1900 New York Consulting Office 163 Madison Avenue Morristown, New Jersey 07960 Phone:(973)993-9595 San Francisco Consulting Office 71 Stevenson Street, Suite 1300 San Francisco, California 94105 Phone: (415) 974-5060