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HomeMy WebLinkAbout2004-02-11MINUTES OF FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District Wednesday, February 11, 2004, 5:00 p.m. A meeting of the Finance, Administration and Human Resources Committee of the Orange County Sanitation District was held on February 11 , 2004, at 5:00 p.m., in the District's Administrative Office. (1) The roll was called and a quorum declared present, as follows: FAHR COMMITTEE MEMBERS: Directors Present: Roy Moore, Vice Chair Patrica Bortle Bill Dalton Mike Duvall Joy Neugebauer James W. Silva Steve Anderson, Vice Board Chair Directors Absent: Brian Brady, Chair Shirley McCracken, Board Chair STAFF PRESENT: Gary Streed, Director of Finance/Treasurer Robert Ghirelli, Director of Technical Services Mike White, Controller Carol Beekman, Communications Services Manager Lisa Tomko, Director of Human Resources Dionne Kardos, Public Information Specialist Sonja Wassgren, Senior Principal Communication!: Specialist Ingrid Hellebrand, Senior Public Information Specialist Ana Burkhart, Principal Communications Specialist Jennifer Cabral, Public Information Specialist Jean Tappan, Acting Committee Secretary OTHERS PRESENT: Toby Weissert Don Hughes FILED IN THE OFFICE Of THE SECRETARY ORANGE C I MTV s \>!•.,,.~TIQ!II DISTRICT Robert Moss 5 2004 Craig Hartzheim FEB 2 (2) APPOINTMENT OF CHAIR PRO TEM BY~~ Vice Chair Roy Moore chaired the meeting in Chair Brady's absence. (10) CONSENT CALENDAR ITEMS MOVED, SECONDED AND DULY CARRIED to approve all agenda items appearing on the Consent Calendar not specifically removed from same, as follows: a. Approve minutes of the December 10, 2003 Finance, Administration and Human Resources Committee meeting. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 2 February 11, 2004 b. FAHR04-01 C. FAHR04-02 d. FAHR04-03 e. FAHR04-04 f. FAHR04-05 g. FAHR04-06 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of January 2004. Receive and file Certificate of Participation (COP) Monthly Report. Receive and file Employment Status Report as of January 28, 2004. Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. Recommend to the Board of Directors to receive and file the Mid-Year Financial Report for the period ending December 31, 2003 Recommend to the Board of Directors to receive and file Quarterly Investment Management Program Report for the period October 1, 2003 through December 31, 2003. h. FAHR04-07 Recommend to the Board of Directors to receive and file the SWAP Report for the quarter ended December 31, 2003. i. FAHR04-08 Recommend to the Board of Directors to adopt Resolution No. OCSD 04-_, Amending Resolution No. OCSD 98-33, Amending Human Resources Policies and Procedures Manual. j. FAHR04-09 Recommend to the Board of Directors to approve SAFETY-POL-115, Backflow Prevention Program, as provided for in Resolution No. OCSD 02-5, regarding the District's Injury and Illness Prevention Program Policy. END OF CONSENT CALENDAR Consideration of items deleted from Consent Calendar, if any. (13) CLOSED SESSION The Committee convened in Closed Session at 5:08 p.m. pursuant to Government Code Section 54957.6 to confer with Lisa Tomko, Human Resources Director, re Unrepresented Groups Compensation and Benefits, Agenda Item No. 13{a) (1 ). 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. RECONVENE IN REGULAR SESSION: At 5:23 p.m., the Committee reconvened in regular session. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 3 February 11, 2004 (12) INFORMATION PRESENTATIONS (3) a. FAHR04-12 Communications Services Strategic Plan FY 2003-04 Update The Communications Services staff presented an update on the eleven Communications Services Strategic Plan elements. Ana Burkhart described biosolids outreach activities, Fats, Oils and Grease (FOG) Community Education Program and provided an update on GWR System communications activities; Ingrid Hellebrand reported on community education and outreach programs and planned activities for OCSD's 50th Anniversary; Jennifer Cabral described th e results in the construction/capital improvement program outreach element and internal communications activities, specifically OCSD's newsletter, The Pipeline; Dionne Kardos reported on corporate identity program activities; and Sonja Wassgren reported on external communications activities, intranet development and communications support of the legislative advocacy effort. Ms. Wassgren announced that the District has received a $1 million allocation for federal funding our move to secondary treatment and will continue to work with the legislative lobbyists to increase the funding to $10 million for FY 2005-06. Director Tod Ridgeway and Ms. Wassgren will be attending the annual Orange County delegation luncheon on February 25. Carol Beekman, Communications Services Manager, stated that the focus of the division is providing clear communications throughout the agency. The next quarterly update will be at the April FAHR Committee meeting. PUBLIC COMMENTS There were no public comments. (4) REPORT OF THE COMMITTEE CHAIR Chair Pro Tern Moore did not have a report. (5) REPORT OF THE GENERAL MANAGER General Manager Blake Anderson was not in attendance. (6) REPORT OF DIRECTOR OF FINANCE/TREASURER Finance Director Gary Streed introduced Robert Moss and Craig Hartzheim, of Moss, Levy & Hartzheim, contract internal auditors. Mr. Streed also reported that the revised purchasing resolution is ready for consideration and it will be presented to the Steering Committee at its February 28 meeting and to FAHR at its March 10 meeting. After discussion, staff was directed to present the draft resolution to the OMTS and PDC Committees at their March meetings and staff would then present comments at the next FAHR Committee. Minutes of the Finance, Administration and Human Resources Committee Meeting Page4 February 11 , 2004 Mr. Streed described the information included in the draft request for proposals for review of un- assessed and under-assessed non-residential parcels. The Committee members asked that the item be placed on the March FAHR agenda for additional discussion, prior to distribution of an RFP. (7) REPORT OF DIRECTOR OF HUMAN RESOURCES Director of Human Resources Lisa Tomko did not make a report. (8) REPORT OF COMMUNICATIONS SERVICES MANAGER Communications Services Manager Carol Beekman did not make a report. (9) REPORT OF GENERAL COUNSEL Counsel was not present. (11) ACTION ITEMS a. FAHR04-10 MOVED, SECONDED AND DULY APPROVED TO: Approve the 2004/05 Budget Assumptions, Fiscal Policy Statements, and Budget Calendar. Mike White reviewed the FY 2004-05 Preliminary Budget Assumptions for economic assumptions, revenue assumptions, operating assumptions, reserve assumptions, capital improvement program assumptions and debt financing. He also outlined the important dates leading to adoption of the FY 2004-05 budget at the June 23, 2004 Board meeting. Director Joy Neugebauer opposed the motion. b. FAHR04-11 MOVED, SECONDED AND DULY APPROVED TO: (1) Appoint Moss, Levy & Hartzheim as the District's contract internal auditor for fiscal year 2003/04, at a maximum fee of $19,780, with an option of providing contract internal auditing services for fiscal years 2004/05 and 2005/06 upon recommendation from staff and approval by the FAHR Committee; and, (2) Direct Moss, Levy & Hartzheim to perform specific internal auditing assignments as the FAHR Committee deems necessary. Mike White explained that the internal auditing firm has been hired at the request of the FAHR Committee to perform an internal audit of various issues for fiscal year 2003-04. They will be meeting with staff to begin a preliminary analysis but they will be reporting directly to the FAHR Committee, not staff. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 5 February 11 , 2004 A 'Report of the Contract Internal Auditing Team' will be added to the FAHR agenda as a monthly report. (12) INFORMATIONAL PRESENTATIONS b. FAHR04-13 Preliminary 2004-05 Sewer Service User Fee Estimates Gary Streed reported that staff believes that the 15 percent increase in user fees for the next year is necessary. He described the consolidated cash flow projections. Additional presentations will be made later in the budget process. (14) OTHER BUSINESS, COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS, IF ANY Director Steve Anderson announced that there will be a GWRS groundbreaking ceremony at the Anaheim Pond on Thursday, February 19, between 12 and 1 :30 p.m. Director Joy Neugebauer asked that the February 18 New Directors Workshop be taped for those who cannot attend. (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 March 10, 2004 at 5 p.m. (17) ADJOURNMENT The Chair declared the meeting adjourned at 6:57 p.m. Submitted by: appan g FAHR Committee Secretary H:\dept\agenda\FAHR\FAHR2004\0204\021104 FAHR Minutes.doc February 11, 2004 ORANGE COUNTY SANITATION DISTRICT REQUEST FOR PROPOSAL Review of Unassessed and Under-assessed Sewer Service Fees Objectives The Orange County Sanitation District (District) provides services to operate two wastewater treatment facilities and a separate wastewater collection system throughout Northern and Central Orange County. The major revenue source of the District is the sewer service fee that is assessed on each improved parcel within the District's service area through the property tax bill of the County of Orange (County), and then subsequently collected and remitted by the County to the District. The sewer service fee covers the District's cost of collection, treatment and disposal of all wastewater received from the individual parcels. These fees are established by resolution of the District Board. Separate "user billing" codes are assigned to each parcel depending on whether the parcel is developed for residential, comm ercial, ind ustrial, or governmental use. Each year, prior to County finalizing the property tax assessment, the County Assessor's Office provides the District with a yearly update of improvements or other changes to parcels located within the District's boundaries that may affect the amount of the fee for these parcels. However, since the County is not responsible for ensuring the accuracy of the appropriate sewer user code, there may be parcels that are under-assessed or not assessed the proper sewer service fee in accordance with the method of assessment established by the District. Uncharged parcels may exist because the County Assessor's Office may identify some parcels with improvement values but no square footage or they may indicate some square footage with no improvement values when improvements do exist. Undercharged values may exist when the County Assessor's Office does not report the extent of improvements on parcels, when the improvement square footage identified fo r certain parcels is incorrect, when the use of a parcel has changed, or the Assessor's property use code may not accurately reflect the sewer system use. The District service area includes 530,000 parcels. Of these, approximately 475,000 parcels are single or multi-family residential parcels. The remaining 55,000 parcels consist of commercial, industrial, and governmental classifications, including some vacant properties and some odd lots that can not be developed. The non-residential properties are the subject of this Request for Proposals. The single-family residents are assessed a flat rate fee, the multi-family residents are charged a flat rate fee on a per unit basis, and commercial, industrial, and governmental parcels are assessed a fee per 1,000 square foot of building improvements based on their individual property user fee code. Scope of Services On either a contingency fee or a fee per parcel basis, review the District's copy of the County Assessor's database for under-assessed and unassessed non-residential parcels and make recommendations on the sewer user code reclassifications for additional sewer service fee revenue. Identify all non-residential parcels that are not specifically excluded later in this Request For Proposals. Review a site map to determine if the parcel is potentially developed and whether a site visit in warranted. For example, parcels that have been established for the left over property after a freeway has been constructed and that cannot be usefully developed, or greenbelt properties will not require a site visit. Review the property use code utilizing the District database, proprietary databases, the internet, real estate investment guides or any other resource deemed appropriate by the consultant. Review the District's wastewater quantity and strength assignments to each property use code and make recommendations in areas in which your firm is experienced, if any. Approximately 4,000 parcels that were reviewed in 1999-2000 are excluded from this project. Approximately 2,800 parcels that have been adjusted subsequent to contact with the property owner are excluded from this project. Approximately 575 parcels that are also under Source Control Division Class I and Class II Permits are excluded from this project because they are billed separately based upon actual quantity and strength of their wastewater discharge. All parcels that are public schools are excluded because they are charged independently of the property tax bill based upon reported average daily attendance. All parcels within Revenue Area 14 and served by the Irvine Ranch Water District are excluded from this project. District will supply the Assessor's Parcel Number of the parcels within Revenue Areas 1 -13 that are excluded from this project. Attachment A of this proposal is a listing of all of the District's sewer use codes along with sewer service charge for each code per 1,000 square feet of building. Deliverables The consultant will deliver to District monthly reports of all Assessor Parcel Numbers that have been reviewed and the results of that review. The report will include, but may not be limited to: The Assessor's Parcel Number The current property use code The proposed corrected property use code The square feet of building currently used to determine the sewer fee The proposed corrected square feet of building to be used to determine the sewer fee The current annual sewer user fee The proposed corrected annual sewer user fee The difference between the current and the proposed corrected sewer user fee The source of any proposed correction, including site visit, data search, etc. The name and address of the property owner for the current and past four years The report will include all parcels reviewed whether the results of the review were no change, an increase in fees or a decrease in fees. Separate reports for each result will be acceptable. The report will be in hard copy and in electronic format. The electronic format may be Excel, Access or Oracle, at the consultant's option. Page2 Time of Performance All proposals must be received by 4:00 p.m., Thursday, March 4, 2004. Proposals should be sent or delivered to Purchasing, Orange County Sanitation District, 10844 Ellis Avenue, Fountain Valley, CA 92708-7018. The project must be completed by March 31, 2005. During the evaluation of the proposals, preference will be given to firms who can review the most parcels prior to July 31, 2004. Supplemental Information To assist with the evaluation of the proposals, the following information must be included with your proposal: 1. A summary of your firm's experience in the areas of analyzing property tax information from county agencies, including a reference list of governmental agencies that have utilized your services in the analysis of property tax and/or user fee assessments. 2. A list of the people who will directly work on the project and a brief summary of their background. The individual charged with the day-to-day responsibility for the project should be clearly identified in the proposal. Please indicate who will be responsible for negotiating and signing the formal agreement with the District. 3. Extent of availability on a day-to-day basis for consultation with District staff on issues relating to the review of the District's sewer service fee program. 4. Provide evidence of your ability to make recommendations that will enhance the effectiveness of the Sewer Service Fee Program. 5. Indicate your proposed method of compensation for reviewing the District's Sewer Service Fee Program. You may want to consider a contingency basis, a fee per parcel reviewed basis, a fee for parcel visited basis, a combination of these bases or some other basis. Please keep in mind that there may be parcels with a decreased fee as well as parcels with an increased fee. Other Requirements Payment will be made monthly for itemized invoices submitted in duplicate and approved by staff in accordance with an agreed upon work plan and interim reports as described above in Deliverables. The consultant will agree to save, indemnify, defend and hold harmless the District against any and all liability, claims, judgments, cost and demands, including demands arising from injuries or death of persons and damage to property, arising directly or indirectly out of the negligence or willful misconduct of the consultant, its employees or agents, in relation to these services, except for claims or litigation arising from the negligence or willful misconduct of the District. The consultant will agree to reimburse District for any expenditure, including reasonable attorney's fees, the District may incur by reason of such matters, and, if requested by the District, will defend any such suits at the cost and expense of the consultant. The District will agree to save, indemnify, defend and hold harmless the consultant against any and all liability, claims, judgments, cost and demands, including demands arising from injuries or death of persons and damage to property, arising directly or indirectly out of the negligence or Page 3 willful misconduct of the District, its employees or agents, in relation to these services , except for claims or litigation arising from the negligence or willful misconduct of the consultant. The District Will agree to reimburse the consultant for any expenditure, including reasonable attorney's fees, the consultant may incur by reason of such matters, and, 1f requested by the consultant, will defend any such suits at the cost and expense of the District. The consultant will submit certificates of insurance, including the deductible or self-retention amount, to the District's Insurance Administrator for certification that the following insurance requirements have been satisfied prior to commencement of any work. General insurance shall be 1ssued and underwritten by insurance companies acceptable to the District. Insurers must be admitted carriers and authorized to transact business in the State of Californ ia, pursuant to an order of the Office of the State Insurance Commissioner. Insurers must have an "A" Policyholder's Rating and Financial Rating of at least Class VII, in accordance with the most recent AM. Best's Guide Rating. The consultant will obtain and maintain, during the course of th is engagement, worker's compensation/ employer's liability insurance in the statutory amount as required by state law. Such worker's compensation insurance shall be endorsed to provide for a waiver of subrogation against the District. The consultant will maintain a policy of automotive liability insurance on a comprehensive form covering all owned, non-owned and hired automobiles providing combined single limit of liability of $2.0 million or $1.0 million per occurrence and $2.0 million aggregate for Bodily Injury, Death and Property Damage, or alternatively $1 .0 million aggregate, separate for this engagement. The consultant will maintain in full force and effect, throughout the term of this engagement, standard industry form professional negligence errors and omissions insurance coverage written on a pe r occurrence or claims made basis in an arn0un.t of not less th an $2.0 million per claim or occurrence. If the policy is written on a claims made basis, the po licy shall be contfnued in 'full force and effect during the term of this engagement and for a period of five years from the completion of the engagement. Page 4 c,,~ -~ 2/11/2004 Page 1 of 3 Summary of Non-Residential Sewer User Fees Collected on Property Tax Bill 2003-04 Includes parcels with no charge and parcels with Source Control Permit Assessor Total Rate Per Average Total Fees Parcels With Rate Based Use Code Non-Residential Description Records 1,000 sq ft Fee For Use Code OCSD Review Average Sq Ft 00 CONVERSION-RURAL 19 $89.47 $967.27 $18,378.20 2 10,800 04 MISC IMPROVEMENT 1,328 $97.36 $62.10 $82,470.90 20 600 18 A MIX OF FORMS 3,306 $69.89 $360.07 $1 ,190,385.08 2,892 5,200 20 AMUSEMENT PARKS 35 $144.00 $5,792.46 $202,736.10 40,200 21 AUTOMOBILE DEALERSHIP 232 $39.06 $643.55 $149,303.50 14 16,500 22 AUTO REPAIR SHOP 595 $41.00 $198.28 $117,976.14 39 4,800 23 AUTOMOTIVE SERVICE 391 $40.90 $210.15 $82,168.52 35 5,100 24 USED CAR LOT 121 $41.00 $91.26 $11,042.88 13 2,200 26 AIRPORT AND RELATED 8 $53.00 $441.65 $3,533.23 1 8,300 28 BOWLING ALLEYS 13 $112.00 $3,283.90 $42,690.75 4 29,300 29 CONVENTIONAL CAR WASH 84 $777.05 $1,688.15 $141,804.50 8 2,200 30 COIN OPERATED CAR WASH 52 $148.10 $228.71 $11,892.80 11 1,500 32 CEMETERY & RELATED 72 $101.00 $396.84 $28,572.56 12 3,900 33 CHURCH BUILDINGS 822 $19.61 $306.23 $251,721.10 374 15,600 34 DORMITORY 10 $97.00 $3,146.84 $31,468.41 32,400 35 ENTERTAINMENT CENTER 20 $129.60 $7,799.12 $155,982.34 4 60,200 36 FINANCIAL BUILDINGS 264 $26.59 $266.52 $70,361.74 14 10,000 37 FRATERNAL BUILDINGS 75 $51.00 $504.41 $37,830.79 4 9,900 38 FUNERAL HOME 24 $101.00 $617.13 $14,811.06 6,100 39 GOLF COURSE 246 $39.50 $116.61 $28,685.17 7 3,000 40 HEALTH CLUB 26 $29.00 $1,643.72 $42,736.84 5 56,700 42 HOSPITAL 48 $94.98 $6,911.89 $331,770.79 4 72,800 43 HOTEL 84 $97.00 $11 ,094.82 $931 ,964.58 12 114,400 44 LUMBER/CONSTR MATL YARD 11 $17.00 $169.94 $1,869.31 5 10,000 45 MARINAS 28 $53.00 $182.78 $5,117.73 1 3,400 47 SUPERMARKET 108 $151 .00 $4,584.93 $495, 172.44 47 30,400 48 CONVENIENCE MARKET 137 $151 .00 $431.63 $59,133.58 12 2,900 50 SINGLE MEDICAL BLDGS TO 3 STORIES 867 $123.28 $814.27 $705,974.59 76 6,600 51 SMALL MEDICAL CENTER 40 $120.90 $2,477.53 $99,101.03 9 20,500 52 MEDICAL CENTER COMPLEX 21 $124.00 $3,106.73 $65,241.41 13 25,100 53 HIGH RISE MEDICAL 46 $121.30 $4,344.42 $199,843.09 6 35,800 54 CONVERTED RESIDENCE TO MEDICAL 26 $124.00 $242.52 $6,305.56 2,000 56 MOTELS AND MOTOR HOTELS 384 $97.00 $2,791 .13 $1,071,795.71 14 28,800 57 MOTORCYCLE/SMALL VEHICLE BLDG 14 $41 .00 $153.74 $2,152.36 2 3,700 C:\Documents and Settings\streed\Local Settings\Temporary Internet Files\OLKB6\Fee Summary by USe Code.xis 2/11/2004 Page 2 of 3 Summary of Non-Residential Sewer User Fees Collected on Property Tax Bill 2003-04 Includes parcels with no charge and parcels with Source Control Permit Assessor Total Rate Per Average Total Fees Parcels With Rate Based Use Code Non-Residential Descrtetion Records 1,000 sq ft Fee For Use Code OCSD Review Average Sq Ft 58 NURSERIES (PLANTS) 45 $8.89 $100.87 $4,538.98 6 11,300 60 NURSING HOME 49 $102.00 $2,058.79 $100,880.58 4 20,200 61 CONVALESCENT HOSPITALS 70 $102.00 $2,531 .39 $177,197.16 24,800 62 CONVERTED RES USED AS NURSING 21 $102.00 $394.74 $8,289.46 4 3,900 63 LOW RISE RETIREMENT BUILDING 36 $70.00 $3,133.46 $112,804.44 3 44,800 64 HIGH RISE RETIREMENT BUILDING 17 $61.76 $5,944.79 $101,061.45 3 96,300 65 SINGLE OFFICE BLDGS TO 3 STORIES 3,597 $40.67 $459.69 $1,653,510.35 200 11,300 66 SMALL OFFICE CENTER 138 $41 .00 $1,578.07 $217,774.17 12 38,500 67 OFFICE COMPLEX 38 $37.76 $3,271 .96 $124,334.31 5 86,700 68 HIGH RISE OFFICE 143 $29.16 $4,286.61 $612,985.27 21 147,000 69 CONVERTED RESIDENCE TO OFFICE 356 $41 .00 $103.30 $36,775.75 14 2,500 71 PARKING GARAGE 53 $17.00 $209.03 $11,078.66 21 12,300 72 PAVED PARKING LOT 830 $16.92 $2 .57 $2,129.76 253 200 73 RECREATION 45 $118.40 $1,276.43 $57,439.20 3 10,800 74 RECREATION VEHICLE PARK 9 $27.00 $129.62 $1 ,166.55 4,800 76 RESTAURANT-TAKE OUT 341 $300.00 $721.84 $246, 148.30 72 2,400 77 RESTAURANT -COFFEE SHOP 556 $592.45 $1 ,811 .12 $1 ,006,982.97 40 3,100 78 RESTAURANT -DINNER HOUSE 431 $595.82 $3,566.52 $1,537,171 .19 56 6,000 79 RESTAURANT -CONVERSION FROM SFR 5 $600.00 $2,665.56 $13,327.80 4,400 81 PRE-SCHOOLS, NURSERY OR CARE 139 $80.82 $442.28 $61,477.33 6 5,500 82 PRIVATE SCHOOLS 106 $80.45 $2,099.31 $222,526.99 23 26,100 83 AUTOMOTIVE SERVICE STATION 366 $40.55 $96.17 $35,198.00 28 2,400 84 MARINE SERVICE STATION 1 $41.00 $100.00 $100.00 1 2,400 85 COMBIN: SERV STN/RESTAURANT 3 $100.00 $201.10 $603.30 2,000 86 COMBIN:SERVICE STN/CONVIENCE MKT 163 $40.75 $101.96 $16,619.36 4 2,500 88 CONVENIENCE SHOPPING CENTER 355 $52.55 $1,476.27 $524,074.52 237 28,100 89 NEIGHBORHOOD SHOPPING CENTER 453 $133.17 $4,525.05 $2,049,845.80 226 34 ,000 90 COMMUNITY SHOPPING CENTER 546 $207.37 $6,500.64 $3,549,347.97 364 31,300 91 REGIONAL SHOPPING CENTER 5 $138.00 $24,402.34 $122,011 .72 1 176,800 92 SKATING RINKS 4 $112.00 $2,991.63 $11,966.52 2 26,700 94 DEPARTMENT STORE 35 $23.00 $2,263.88 $79,235.67 19 98,400 95 DISCOUNT STORE 68 $21.31 $1,402.61 $95,377.69 13 65,800 96 UNATTACHED SINGLE STORE 1,520 $22.98 $168.58 $256,244.23 113 7,300 97 STRIP STORE 1,168 $23.00 $198.32 $231,641 .02 32 8,600 C:\Documents and Settings\streed\Local Settings\Temporary Internet Files\OLK86\Fee Summary by USe Code.xis 2/11/2004 Page 3 of 3 Summary of Non-Residential Sewer User Fees Collected on Property Tax Bill 2003-04 Includes parcels with no charge and parcels with Source Control Permit Assessor Total Rate Per Average Total Fees Parcels With Rate Based Use Code Non-Residential Description Records 1,000 sq ft Fee For Use Code OCSD Review Average Sq Ft 98 STORE WITH OFFICES OR LIV QTR 430 $81 .81 $607.11 $261,056.57 15 7,400 99 STORE W/ OFFICE UPSTAIRS 50 $82.00 $1,034.52 $51,725.85 4 12,600 100 DRIVE-IN THEATER 5 $10.00 $0.00 $0.00 101 UNATTACHED THEATER 30 $51.00 $1,513.12 $45,393.66 3 29,700 103 CHEMICAL TANK AND BULK STORAGE 7 $85.71 $919.10 $6,433.70 10,700 104 FOOD PROCESSING PLANT 23 $95.65 $6,304.46 $145,002.60 2 65,900 105 COLD STORAGE PLANT 19 $94.74 $5,233.47 $99,436.00 2 55,200 106 FACTORY 147 $99.32 $5,865.49 $862,226.53 22 59,100 107 LIGHT INDUSTRIAL -SINGLE TENANT 1,913 $49.11 $1,059.66 $2,027,135.78 132 21,600 108 LIGHT INDUSTRIAL -MUL Tl TENANT 856 $49.77 $1,097.56 $939,507.26 61 22,100 109 RESEARCH AND DEVELOPMENT 41 $29.27 $2,633.98 $107,993.10 2 90,000 110 WAREHOUSE -SINGLE TENANT 3,462 $16.62 $398.74 $1,380,442.09 150 24,000 111 WAREHOUSE -MUL Tl TENANT 1,778 $16.65 $277.67 $493,703.69 36 16,700 112 STEEL BUILDING 149 $7.00 $133.01 $19,817.94 5 19,000 113 MINI-WAREHOUSE 181 $6.96 $418.76 $75,794.75 29 60,200 114 INDUSTRIAL PARK 500 $48.20 $2,165.98 $1,082,989.55 28 44,900 115 RECREATIONAL VEHICLE STORAGE 10 $17.00 $40.00 $400.00 1 2,400 116 TRUCK TERMINAL 20 $17.00 $1,022.41 $20,448.19 1 60,100 118 GOVERNMENTAL USE 7,066 $77.40 $158.84 $1,122,369.56 854 2,100 119 PUBLIC UTILITY 13 $100.00 $95.50 $1,241.50 1 1,000 120 WATER MUTUAL OR COMPANY 86 $98.84 $142.76 $12,277.20 1 1,400 888 CONVERSION-COMPOSITE PROP 40 $100.00 $5,313.62 $212,544.70 7 53,100 Total or Average 38,095 $759.73 $28,941,801.48 6,802 Less Parcels in Revenue Area 14 832 Less Parcels Reviewed by OCSD 6,802 Less Parcels Under Source Control Permit 573 Net Parcels To Be Reviewed 29,888 C:\Documents and Settings\streed\Local Settings\Temporary Internet Files\OLKB6\Fee Summary by USe Code.xis 2/11/2004 FY 2004-05 Preliminary Budget Assumptions 11 Salary adjustments based on the recently completed MOU's are as follows: 501, OCEA, SPMT-4% for COLA and 4.3% for step increases. Confidential-4% COLA and 5.5% range increase. 2:35 PM Salary adjustments for EMT and Managers include a 6% increase for both FY 2003-04 and FY 2004-05. 12 Tra ining will continue at 2% of the total budget and will be consolidated in HR & ED. 13 GM Contingency of 1 % of materials and re-appropriations of 1/2% will be budgeted. 14 Asset management and project management principles and resource needs will be included. D Reserve Assumptions 1 The 5-year rate plan, currently in Year 1, will be included. 2 Current reserve policy process was reviewed by PRAG and Board during FY 2003-04 with no changes. 3 Continue to maintain reserve levels adequate to hedge variable rate bonds. 4 Include a listing of the various reserve types and rationales. E Capital Improvement Program Assumptions 1 The FY 2003-04 CIP Budget based on the Strategic Plan Update w/ full secondary treatment is still the target. 2 FY 2004-05 CIP Budget will only increase for projects not previously identified in the Strategic Plan Update. 3 For the first quarter of 2003-04, $24.3 million of the $200.0 million CIP was expended, about 12%. 4 During FY 2002-03, $112.4 million of the $154.4 CIP was expended, about 73%. F Debt Financing 1 We will issue COPs as needed to fund CIP and to maintain reserves over the planning period. 2 COPS will only be used for the CIP, not for operating expenses. 3 Capital financing plans including less borrowing and higher user fees will be considered. 4 Borrowing is proposed only for facilities that are funded by all users (replacement, rehab, improved treatment). H:\dept\fin\EXCEL.dta\220\white\Bud05\prelim budget assumptions1 .xis Page 2 of 2 2/11/2004 2:35 PM Orange County Sanitation District FY 2004-05 Preliminary Budget Assumptions A Economic Assumptions 1 Allow 2.9% for inflation assumption projected for 2004 by Chapman University within their December 2003 Economic Forecast Report. B Revenue Assumptions 1 Propose Board ratification of Year 2 of the 5 year sewer service user fee rate increase schedule. 2 Anticipate SFR rate will increase 15% to $100.00 in FY 2004-05. 3 No Notification "required" for RAs as rates will not exceed 20%, the maximum amount possible over the next 4 years per the last notification. 4 Each $1 increase in SFR rate will generate approximately $900,000 per year. 5 New Capital Facilities Capacity Charge to be adopted in March of 2004 that will only capture "additional growth" infrastructure costs. Existing facility, improved treatment, RRR, and support CIP to be captured through user fees. 6 No change proposed for CFCC or connection fee rates during planning period w/o Strategic Plan changes. 7 CFCC rates may be expected to increase thereafter, but cannot be estimated at this point. 8 Use 4,000 EDU connections for each year as that is the average for the past 10 years. 9 New Annexation Fee to be adopted in March 2004 to capture both net current assets and equivalent property tax allocations totaling $4,235 per acre. 10 Annexable property is minimal in our service area sphere of influence. 11 Property taxes will be budgeted to increase 5% per year. 12 Staff and consultants are working to avoid any further property tax shift to the State. 13 No additional diversions will be budgeted above the current levels which were effective in 1992. 14 A 2% AV increase is authorized by the State Constitution and is almost automatic. 15 Additional AV increases up to market value are authorized when property is sold at a higher value. 16 A 5% increase would generate approximately $2.1 million. 17 Interest income will be budgeted at 4%. 18 No New COPS in 2004-05 as 2003-04 issue provided funds for 2 years of CIP. C Operating Assumptions 1 We will continure to treat dry weather urban run off subsequent to a change to the Health & Safety Code to clarify OCSD's authority. The current policy will be continued. This effort will not conflict with the mission of the County and the Public Facilities & Resources Department (PFRD). 2 All existing secondary treatment facilities will be operated and maintained at full capacity during 2004-05. 3 Interim short-term disinfection facilities will continue to operated and maintained at existing levels and cost. 4 Operating expense increases are expected in personnel allocation, personnel salaries, natural gas, chemicals and biosolids. 5 Budgeted cost to treat and dispose of 1 mgd is expected to increase from the current budget of $841.63. 6 Average daily flow for 2004-05 is again projected to be the same as the 2003-04 projection of 250 mgd. This is 13 mgd below the Strategic Plan Update projection and 11 mgd above the the first 4 months this year. The 2001-02 final flow was 234.5 mgd. The last time the recorded flow was over 250 mgd was in 1990-91 at 269 mgd. 7 Staffing will be no lower than the current authorization of 596.0 for "additional treatment budget". 8 Additional staffing requests are anticipated for 2004-05 and following years. 9 No vacancy factor will be budgeted for the year. All positions will be fully funded. Vacant positions at 12/10/03 will be budgeted at 50% step 1 for F'( 2003-04, 100% & 4% + 4.3% step increase for FY 04-05. 10 MOUs for OCEA, Local 501 and SPMT were completed in FY 2003-04 and will be considered in the budget. H:\dept\fin\EXCEL.dta\220\white\Bud05\prelim budget assumptions1 .xis Page 1 of 2 phone: C714J 962--2411 fu: (714) 98a-0356 -.-.s.corn ...... add_: P-0, Box 8127 foJlltainVB~ey.CA 92728-8127 Cki•- Allaheim 8f'IJ8 Buena PIJl'lt. Cypress Fourain J:!ey Ail n Gllrden Gl:'o\le . BIH!Ch lrMne Ls Hsbr& I.a PB{me Los ,AJan:,~ ;;J{l[ftl'fWl'I:,, 8tJtmh Dren{j_e Placentia Sem-s Ans Seal Besch ~ TdStin VilJB Psrlt. ltrbaLJnda Irvine Ranch •RANGE COUNTY SANITATION DISTRICT February 4, 2004 NOTICE OF MEETING FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE ORANGE COUNTY SANITATION DISTRICT WEDNESDAY; FEBRUARY 11, 2004 -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 Board of Directors of the Orange County Sanitation District, will be held at the above location, date and time. To maintain world-class leadership in wastewater and water resource management. FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING DATES FAHR Committee Meeting Date February 11, 2004 March 10, 2004 April 14, 2004 May 12, 2004 June 9, 2004 July 14, 2004 Dark September 8, 2004 October 13, 2004 November 10, 2004 December 8, 2004 Board Meeting Dates February 25, 2004 March 24, 2004 April 28, 2004 May 26, 2004 June 23, 2004 July 28, 2004 August 25, 2004 September 22, 2004 October 27, 2004 *November 17, 2004 *December 15, 2004 •Meetings being held the third Wednesday of the month. ROLL CALL FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE Meeting Date: February 11, 2004 Time: 5:00 p.m. Adjourn: COMMITTEE MEMBERS Brian Brady (Chair) Roy Moore (Vice Chair) Patricia Bortle Mike Duvall Bill Dalton Joy L. Neuqebauer James W. Silva Shirley McCracken (Board Chair) Steve Anderson (Board Vice Chair) OTHERS Tom Woodruff, General Counsel Don Huqhes STAFF Blake Anderson, General Manager David Ludwin, Director of Engineerinq 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 Penny Kyle, Committee Secretary c: Lenora Crane AGENDA REGULAR MEETING OF THE FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE ORANGE COUNTY SANITATION DISTRICT WEDNESDAY, FEBRUARY 11, 2004, AT 5:00 P.M. ADMINISTRATIVE OFFICE 10844 Ellis Avenue Fountain Valley, California 92708 www.ocsd.com Agenda Posting: 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. Items N«,>t Posted: 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 because there is a need to take immediate action, which need came to the attention of the Committee subsequent to the posting of 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. Accommodations for the Disabled: The Board of Directors Meeting Room is wheelchair accessible. If you require any special disability related accommodations, please contact the Orange County Sanitation District Board Secretary's office at (714) 593-7130 at least 72 hours prior to the scheduled meeting. Requests must specify the nature of the disability and the type of accommodation requested. Items Continued: Items may be continued from this meeting without further notice to a Committee meeting held within five (5) days of this meeting per Government Code Section 54954.2(b)(3). Meeting A€1journment: This meeting may be adjourned to a later time and items of business from this agenda may be considered at the later meeting by Order of Adjournment and Notice in accordance with Government Code Section 54955 (posted within 24 hours). (1) ROLL CALL (2) APPOINTMENT OF CHAIR PRO TEM, IF NECESSARY Book I February 11, 2004 (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). (4) REPORT OF COMMITTEE CHAIR (5) REPORT OF G!=NERAL MANAGER (6) REPORT OF DIRECTOR OF FINANCE (7) REPORT OF DIRECTOR OF HUMAN RESOURCES (8) REPORT OF COMMUNICATIONS SERVICES MANAGER (9) REPORT OF GENERAL COUNSE L (10) CONSENT CALENDAR ITEMS Consideration of motion to approve all agenda items appearing on the Consent Calendar not specifically removed from same, as follows: lAII ~~tters placed on the consent calendar are considered as not requiring discussion or further explanati~n and 1 }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 l jaction approving all motions, and casting a unanimous ballot for resolutions included on the consent calendar. All i )items removed from the consent calendar shall be considered in the regular order of business. ! lThe Chair will determine if any items are to be deleted from the consent calendar. I L,,,., on ,,••••,,,,, .... .,,, ... , n••••·•" OHUOou,,,,., l+uo ,1,.,,,,,, •• n .. u,,,n, ' , ... ,, .. ,,, · ·,,, • , .. , .,,, , .. , , ,..,, ,..,._,,, .. ,.., .... ,, .. , ,n,,on .. ,, .. ,, .. ,,,, ,,...,, •• •••• u ,,,._.., •-•••• ...... ~••t•n~uU•••~•••~• •• ••• ,,1,., •• •• ••,, •• ••••n ................... •••·•• .. ,..•H••••••.,.,.l a. Approve minutes of the December 10, 2003 Finance, Administration and Human Resources Committee meeting. b. FAHR04-01 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of January 2004. 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. 2 Book2 February 11 , 2004 c. FAHR04-02 Receive and file Certificate of Participation (COP) Monthly Report. d. FAHR04-03 Receive and file Employment Status Report as of January 28, 2004. e. FAHR04-04 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. f. FAHR04-05 Recommend to the Board of Directors to receive and file the Mid-Year Financial Report for the period ending December 31 , 2003 g. FAHR04-06 Recommend to the Board of Directors to receive and file Quarterly Investment Management Program Report for the period October 1, 2003 through December 31, 2003. h. FAHR04-07 Recommend to the Board of Directors to receive and file the SWAP Report for the quarter ended December 31, 2003. i. FAHR04-08 Recommend to the Board of Directors to adopt Resolution No. OCSD 04-_, Amending Resolution No. OCSD 98-33, Amending Human Resources Policies and Procedures Manual. j. FAHR04-09 Recommend to the Board of Directors to approve SAFETY-POL-115, Backflow Prevention Program, as provided for in Resolution No. OCSD 02-5, regarding the District's Injury and Illness Prevention Program Policy. END ·OF CONSENT CALENDAR. Consideration of items deleted from Consent Calendar, if any. (11) ACTION ITEMS a. FAHR04-10 Approve the 2004/05 Budget Assumptions, Fiscal Policy Statements, and Budget Calendar. (Mike White -20 minutes) b. FAHR04-11 (1) Appoint Moss, Levy & Hartzheim as the District's internal auditor for fiscal year 2003/04, at a maximum fee of $19,780, with an option of auditing fiscal years 2004/05 and 2005/06 upon recommendation from staff and approval by the FAHR Committee; and, (2) Direct Moss, Levy & Hartzheim to perform specific internal auditing assignments as the FAHR Committee deems necessary. (Mike White -15 minutes) 3 Book3 February 11, 2004 (12) INFORMAT IONAL PRESENTATIONS a. FAHR04-12 Communications Services Strategic Plan FY 2003-04 Update (Carol Beekman -15 minutes) b. FAHR04-13 Preliminary 2004-05 Sewer Service User Fee Estimates (Gary Streed -1 O minutes)\ (13) CLOSED SESSION l Du.ring the course · of conducting the business set forth on this ~genda as a regular meeting of the '! l Committee, the Chair may convene the Committee in closed session to consider matters of pending real ! j estate negotiations, pending or potential litigation, or personnel matters, pursuant to Government Code l j Sections 54956.8, 54956.9, 54957 or 54957.6, as noted. \ : : l Reports relating_ to '(a) purchase a!'ld sale· of real progerty; (b) matte,s ·of pending or·poteritial litigation; (c:) j ! ernploye~ actions cir negotiations with em·p1oyee representatives; or wlilich are exempt from pul:ilic di~closure j ! under the California Public· Records Ac.t, mµy be reviewed by the, Committee during a permitted dosed ! \ session and are not available for public inspection. At such time as -final l:!Ctfons are taken by the Committee ) ! on any of these subjects, the minutes will reflect all required disclosures of information. f ~ i • .. ••••••••..._. .................... ,••••••••••••••• .. ••••·••·••u ou.oHo-tHH_O_ .... ,,, ......... , •••••• H ........... ,,.o , ........... HOUUO••••~n•• .. •• .................... ~•·•· .. •~• O Uoo' ........... , .. ,, .. ,,,_, .............................................. .._._.,._._ .... , .. • A. Convene in closed session. 1. 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 GIRECTOR MAY WISH TO PLACE ON A FUTURE AGE NDA FOR ACTION AND STAFF REPORT (16) FUTURE MEETING DATES The next Finance, Administration and Human Resources Committee Meeting is scheduled for March 1 O, 2004, at 5 p.m. (17) ADJOURNMENT 4 Book4 February 11, 2004 t' . ' ' -.· .. ·-.--· . ·. . . . '· ' ·~ ~ . --' --,. . ., ' ' . . . ' ., ' , (Notice to Committee Members: l l ; fFor any questions on the agenda or to place any items on the agenda, Committee members should contact the !·Committee Chair or Secretary ten days in advance of the Committee meeting. [committee Chair: Brian Brady (949) 453-5300 )Committee Secretary: Penny Kyle (714) 593-7130 pkyle@ocsd.com ;General Manager Blake Anderson (714) 593-7110 banderson@ocsd.com !Director of Finance Gary Streed (714) 593-7550 gstreed@ocsd.com !Director of Human Resources Lisa Tomko (714) 593-7145 ltomko@ocsd.com . ;.Com.']'lu.ni?ation Services _Manager ... carol Beekman······-··-·······-·· (714) 593-7120 ...... cbeekman@ocsd.com ... _ ......... --··-· .. -··-i H:\dept\agenda\FAHR\FAHR2004\0204\01.3.FAHR Agenda.doc 5 Book5 February 4, 2004 FAHR COMMITTEE AGENDA C.ALENDAR '" Month Item Action March Purchasing Resolution and Delegation of Authority Action March Preliminary Sewer Service User Fees for 2004-05 Information March General Manager Approved Purchases Action March Non-residential User Fee Consultant Services Action March Revised Records Retention Schedule Action March Human Resources Policies & Procedures Action March Safety Policies Action March Temporary Services Contract Action March Staffing and Planned Recruitments Action March Executive Management Compensation and Benefits Action April Recommend Sewer Service User Fees for 2004-05 Information May Consider Preliminary 2004-05 Budgets Information May Nine Month Financial Reports Action May Quarterly Investment Management Program Report Action May Quarterly Swap Management Report Action May Human Resources Policies and Procedures Action May Safety Policies Action June Recommend Final 2004-05 Budgets Action June Renew Excess Workers' Comp, General Liability Ins, Action Boiler & Machinery, All-Risk Property Insurances June General Manager Approved Purchases Action Book 6 MINUTES OF FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District Wednesday, December 10, 2003, 5:00 p.m. A meeting of the Finance, Administration and Human Resources Committee of the Orange County Sanitation District was held on December 10, 2003, at 5:00 p.m., in the District's Administrative Office. (1) The roll was called and a quorum declared present, as follows: FAHR COMMITTEE MEMBERS: Directors Present: Brian Brady, Chair Roy Moore, Vice Chair Bill Dalton Joy Neugebauer James W. Silva Shirley McCracken, Board Chair Steve Anderson, Vice Board Chair Directors Absent: Alberta Christy Mike Duvall (2) APPOINTMENT OF CHAIR PRO TEM STAFF PRESENT: Blake Anderson, General Manager Gary Streed, Director of Finance/Treasurer Carol Beekman, Communications Services Manager Bob Ooten, Director of O&M Lisa Tomko, Director of Human Resources Mike White, Controller Simon Watson, Maintenance Manager Dionne Kardos, Public Information Specialist Jim Burror, Senior Engineer Mike Moore, ECM Manager Jeff Reed, Human Resources Manager Layne Baroldi, Legislative and Regulatory Affairs Liaison Ana Burkhart, Principal Communications Specialist Jean Tappan, Acting Committee Secretary OTHERS PRESENT: Thomas L. Woodruff, General Counsel Toby Weissert Bob Geggie Mark Esquer Charles Egiggian Nichols Chair Brian Brady announced that he would have to leave early and that Vice Chair Roy Moore would chair the remainder of the meeting. (3) PUBLIC COMMENTS There were no public comments. Book7 Minutes of the Finance, Administration and Human Resources Committee Meeting Page2 December 10, 2003 (4) REPORT OF THE COMMITTEE CHAIR Chair Brian Brady announced that the next meeting of the FAHR Committee will be February 11 . The Committee will not meet in January. (5) REPORT OF THE GENERAL MANAGER General Manager Blake Anderson announced that the third Orange County Leadership Symposium would be held January 9-11, 2004, in Lake Arrowhead. A copy of the registration form was provided and he encouraged all Directors to attend. Mr. Anderson also announced that the District has received the AMSA award for Excellence in Management. There will be a presentation ceremony at the AMSA Winter Conference in Los Angeles in February. (6) REPORT OF DIRECTOR OF FINANCE/TREASURER Finance Director Gary Streed reported that the SW AP report includes the SWAP policy. This is required to be provided for the initial report or for the first report after any changes to the policy. Mr. Streed also reported that budget assumptions will be presented at the February FAHR Committee meeting. (7) REPORT OF DIRECTOR OF HUMAN RESOURCES Director of Human Resources Lisa Tomko did not make a report. (8) REPORT OF COMMUNICATIONS SERVICES MANAGER Communications Services Manager Carol Beekman did not make a report. (9) REPORT OF GENERAL COUNSEL General Counsel Thomas Woodruff announced that the Court of Appeals has affirmed the trial court's decision regarding Crow Winthrop. The Appellate Court issued a ruling that the District's Capital Facilities Capacity Charge Ordinance is not subject to Proposition 218 and therefore the fees imposed on Crow Winthrop were not invalidly charged. Appellate costs are to be paid by Crow Winthrop. (10) CONSENT CAL EN DAR ITEMS a. The Chair ordered that the November 12, 2003 minutes for the Finance, Administration and Human Resources Committee meeting be deemed approved, as mailed. b. FAHR03-101 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of November 2003. Book8 Minutes of the Finance, Administration and Human Resources Committee Meeting Page3 December 10, 2003 c. FAHR03-102 Receive and file Certificate of Participation (COP) Monthly Report. d. FAHR03-103 Receive and file Employment Status Report as of November 25, 2003. e. FAHR03-104 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. f. FAHR03-105 Receive and file report of General Manager approved purchases in amounts exceeding $50,000 in accordance with Board purchasing policies. g. FAHR03-106 Recommend to the Board of Directors to receive and file the SWAP Report for the quarter ended September 30, 2003. h. FAHR03-107 Recommend to the Board of Directors to adopt Resolution No. MOTION: OCSD 03-_, Approving Amendments to the District's Executive Money Purchase Pension Plan and Trust. It was moved, seconded and duly carried to approve the recommended actions for items specified as 1 0(a) through (h) under Consent Calendar. END OF CONSENT CALENDAR (11) ACTION ITEMS a. FAHR03-108 Recommend to the Board of Directors to authorize the General Manager MOTION: to solicit Requests for Proposal and subsequently award a Consultant Services Agreement for Corporate Identify and Public Awareness Project, Specification No. CS-2003-162BD, in an amount not to exceed $325,000. Communications Services Manager Carol Beekman described the need for the project and the scope of the project. This project was identified in the Communications Plan that was presented to the FAHR Committee in October 2003. The five project components were discussed. The Directors expressed concern about the estimated cost for the total project. There is $125,000 allocated for this work in the fiscal year 2003-04 budget and if all five components are completed, an additional $200,000 would have to be included in the fiscal year 2004-05 budget. It was moved, seconded and duly carried to recommend approval of Phase 1 (identified as the Initial Baseline Research component) in an amount not to exceed $50,000. Director Joy Neugebauer opposed. The Committee unanimously approved forwarding to a future Board meeting the reports and the subject of the entire staff-proposed budget of $325,000 to the Board without any recommendation. Book9 Minutes of the Finance, Administration and Human Resources Committee Meeting Page 4 December 10, 2003 b. FAHR03-109 Recommend to the Board of Directors to adopt Ordinance No. OCSD-21, MOTION: Adopting Fees, Procedures and Policies Concerning Annexations of Territory to the District; and Repealing Ordinance No. OCSD-03. Mr. Streed stated that included in the ordinance is Section 6 which declares this an urgency ordinance. This declaration could be removed. It was moved, seconded and duly carried to recommend approval without the urgency provision to the Board of Directors. c. FAHR03-110 Recommend to the Board of Directors to adopt Ordinance No. OCSD-22, MOTION: Reaffirming Sanitary Sewer Service Charges; Providing for Increased Capital Facilities Capacity Charges and Certain New Self-Monitoring and Non Compliance Charges and Repealing Ordinance No. OCSD-20. Mr. Streed explained that the changes being reeiuested are minor except for the amounts of the Capital Facilities Capacity Charges. Because user fees will be considered in April this item could be delayed until then if the Directors desired. After full discussion, It was moved, seconded and duly carried to recommend approval to the Board of Directors. d. FAHR03-111 1) Consider proposal submitted by Revenue Enhancement Group (REG), MOTION: dated November 2003, Identifying Undercharged Commercial Parcels; and, 2) Direct staff to return to the FAHR Committee for approval of a Request for Proposal for some or all of the services proposed by REG; -OR- 3) Direct staff to return to the FAHR Committee with alternatives to administrating the current sewer user fee program. Adam Probolsky spoke in support of the proposal. Mr. Streed briefed the directors on the District's process for collecting the annual sewer service user fees and the recent changes to the rate structure. He confirmed that there are about 28,000 parcels that haven't been looked at. The California Government Code and the existing ordinance allow for seeking any under-billed user fees for the prior four years. Mr. Woodruff discussed some of the potential legal concerns in the event of challenges, as well as the possibility of requiring a public hearing. It was moved, seconded and duly carried to forward the item to the full Board without a FAHR recommendation. This item will be considered by the Board in January when additional information is available. At 6:50 p.m. Chair Brian Brady left the meeting. Book 10 Minutes of the Finance, Administration and Human Resources Committee Meeting Page 5 December 10, 2003 (12) INFORMATIONAL PRESENTATIONS a. FAHR03-112 Long Range Biosolids Management Plan, Job No. J-40-7 Jim Burror made a presentation on the Long Range Biosolids Management Plan, outlining the process staff and the consultant have taken to develop the plan and describing the findings and recommendations. The plan will be received and filed at the December 17, 2003 Board meeting. Requests for proposal will be issued to fill the interim gap before the long-term options can be implemented. At 7:15 p.m. Director Neugebauer left the meeting. b. FAHR03-113 Status of O&M Reinvention and the District Assessment and Reinvention Team Program Bob Ooten and Simon Watson reported on the status of the reinvention program and outlined the next steps. Staff will continue to work on improving maintenance, replace the Computerized Maintenance Management System that can no longer handle all of the information that is available and spend the right dollars in the right places using asset management principles. (13) CLOSED SESSION General Counsel Woodruff announced the need to discuss an additional item not previously noticed as required by Government Code Section 54954.2(1 ). A motion was duly adopted by unanimous vote to add the following item to the agenda pursuant to the authority of Government Code Section 54954.2{b){2): one matter of possible litigation. The Committee convened in Closed Session at 7:38 p.m. pursuant to Government Code Section 54956.9 to discuss and consider added item and Agenda Item No. 13{a) (1 ). 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. RECONVENE IN REGULAR SESSION: At 8:08 p.m., the Committee reconvened 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. Book 11 Minutes of the Finance, Administration and Human Resources Committee Meeting Page 6 December 10, 2003 (16) CONSIDERATION OF UPCOMING MEETINGS The next FAHR Committee meeting is scheduled br February 11, 2004 at 5 p.m. (17) ADJOURNMENT The Chair declared the meeting adjourned at 8:10 p.m. Submitted by: Tappan ng FAHR Committee Secretary G:\wµ.dta\agenda\FAHR\FAHR2003\1203\121003 FAHR Minutes.doc Book 12 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller Meeting Date 02/11/04 Item Number FAHR04-02 SUBJECT: CERTIFICATES OF PARTICIPATION (COP) MONTHLY REPORT - FEBRUARY 2004 GENERAL MANAGER'S RECOMMENDATION To Bd. of Dir. Item Number Receive and file Certificates of Participation (COP) Monthly Report for the month of January 2004. 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. In August 2003, the District issued $280 million of fixed rate COPs, Series 2003, that have varying coupon rates that are matched against the varying maturity dates. The true interest cost for the entire issue is 5.15 percent. 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 Book 13 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. ~ Not applicable (information item) ADDITIONAL INFORMATION No report for December 2003 was issued because there was no FAHR meeting in January 2004. The attached graphs provide information through January 2004 and also contain the information for December 2003. The first graph entitled, "OCSD COP Rate History Report," shows the actual variable and fixed interest rates paid on each of the daily, weekly, and monthly 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 graph, a bar chart entitled, "Comparative Daily COP Rate History Report," shows the peliormance 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 graph, a bar chart entitled, "COP Daily Rate History, Comparison of Highest & Lowest Rates," compares the peliormance (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 fourth graph is a 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. 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 H:ldeptlagenda\FAHRIFAHR2004\0204\04-02.COP.doc Revised: 06/04/03 Book 14 Page2 to-uer-~z I I to -uer-L I I co -:>aa-tz I I co-:>aa-o~ I I tO•AON•9Z I I tO·AON·Z~ I .2:::- I co-~:>o-sz ·rn >, I- Q 32 I Q) C") ~ ct= I co-~:>o-s~ fTl 0 1/J I a,N cfTJ a. I co-~:>o-~ Q) (/) (/) Q) w I ··-Q.'-roal ct= I co-das-L~ 3U? (/) a. > I c: ro ~ I co-das-c QJ3 ct= e9cn 0 I UC) 0 0 0- I co-6n'tf•oz (/)<( I-N I I U) ~ I co-6n't;(-9 I -I :::c 1 co-1nr-cz "iij <( Cl L1J I >,Q) I-::) 1 co-1nr-s 32.:0 OJ co ~ z I al·c z s~ <( I co-unr-s "C~O -, I Ql..Oo a. X CO- l co-unr-~ ~ ·-·c-o LL n, C: 0 I C">>ro 0 I CO-~ei/11• sz~~~ I (/)(/) (/) C Q)Q)Q) I CO-~ei/11-t ~ "iB"iB"iB U) I Cl)(J)CI) 0 I CO·Jd'tf· 0£ +++ 0 I " en I CO·Jd'tf·9~ ....= ~ I I ::c w CO·Jd'tf·Z ~ c2 I a, 0 I co-Jew-s~ C 11) I I C u::: co-Jew-s ~ Cl I I Q) Cl 6 co-qa::1-s~ gj I ~ C I co-qa::1-s ~ I CD M N .... 0 ~ ~ ~ w X ~ $. c( ( %) 3! '9'}:I C (!) Book 15 t:o 0 ~ ...... °' Prepared by Finance, 2/3/2004, 9:00 AM COMPA_RATIVE DAILY COP RATE HISTORY REPORT January 2004 4.00 ···- 3.00 ,- ~ 0 - I ~ 2.00 ~ I 100L,_ t--- ~ ' r--,--,___ o.oo I I I I I I I • I t I I I ,I I I I I I I I I I I I DATE C") C") C") C") C") C") C") C") C") C") C") 0 0 0 0 0 0 0 0 0 0 0 .c ...: ...: >, c =i ci a. tl > <S Q) rn Q. rn ::I ::I Q) 0 Q) IJ.. ~ <( ~ -, -, <( (/) 0 z 0 m OCSD COP Series '93 and 2000 • COMPOSITE INDEX G:\excel.dta\fin\2220\geggi\Finance\dailycopintrate.xls r,,,-- '<t 0 c rn -, -~ ~ w I-~ 1.5 1.25 1 0.75 0.5 +--~---- HIGH LOW I.EH(IRV\ID MERYLJIR\Ml jlJjg,..lll COP DAILY RATE HISTORY COMPARISON OF HIGHEST & LOWEST RATES •• ••• ••• ••• ••• ••• ·:• .:.: ··1 •• .::. ••• ••• ••• ••• :•• •• ••• ••• u· .. : ••• ••• ·••· .. , ~~i}\! 1:111 }}} 1lili~~ ,•.•··-······ n •• •• :: :: •• •• •• •• •• •• :: :: •• •• :: •• ••• •• •• •• •• •• •• :: :: u •• •• •• •• •• 1 i!i 1 II I Illli! ·-·~ 1::: ••• ••• ••• ••• ·:· • • ••• ••• ••• ••• ••• ••• ••• : .. •• ••• ••• ••• ••• ••• ••• ·:• • • ••• ••• ••• ·-••• ••• •-·t· • • • • :: i 1:1::: 1:1: i' i!l Sep OJ 0 d Pi Neu OJ . ILEH/IRIMJ I ILEHIIRIMJ I ILEH/IRWO I ILEHIIRIMJ I ~SJIRW0MERYL/IROOMERYUIRWDMERYLJ1ROO o,,,,.JU Cl Highest rate • OCSD COP Series '00-PW • OCSD COP Series '93-PW • Lowest rate ••• ••• ·:· • • ••• ••• ••• ••• ••• ••• ••• ffi ••• ·:· • • ·i· • • • • : : :·: i: .:. jSBIIRilllD ~ERYUIRVl/0 WJ..Q4 !Iii 1111 1 1 G:lexcel.dtalfin\2220\geggi\Finance\RA TEH 1ST _HI LO _bargraph Prepared by Finance, 2/3/2004, 9:01 AM to 0 ~ ..... 00 Prepared by Finance, 2/3/2004, 9:01 AM Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 AVERAGE DAILY COP RA TE HISTORY COMPARISON OF MONTHLY AVERAGES FEB 2003 -JAN 2004 OCSD $218.6M $46M Series2000 Series 93 Ref Composite Paine Webber Paine Webber Index* 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 0.77 0.77 0.76 0.89 0.89 0.88 0.89 0.89 0.88 1.06 1.06 1.05 1.00 1.00 0.99 0.88 0.88 0.87 0.97% I 0.97% 0.96% ESTIMATED ANNUAL INTEREST PAYMENTS PER $100M PAR AMOUNT $ 968,333 I $ 968,333 I$ 960,000 * FOOTNOTE Composite index consists of the following COP transactions: . IRVVD, Series 86-COP, 88, 95, $106.1M, Solomon Smith Barney . IRWD, Series C-Ref 93-8, 85-8, $62.1M, Lehman Brothers . IRVVD, 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, $94.5M, J.P. Morgan G:\excel.dta\fin\2220\geggi\Finance\COPdaily$rate comparison FAHR COMMITTEE Meeting Date 02/11/04 AGENDA REPORT Item Number FAHR04-03 Orange County Sanitation District FROM: Lisa Tomko, Director of Human Resources Originator: Lisa Arosteguy, Human Resources Supervisor SUBJECT: EMPLOYMENT STATUS REPORT AS OF JANUARY 28, 2004 GENERAL MANAGER'S RECOMMENDATIQN Receive and file the Employment Status Report SUMMARY The number of full-time equivalent (FTE) employees at the District is 558. 75 as of January 28, 2004. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECT/CONTRACT COST SUMMARY None 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 actual number of employees (headcount) was 568 as of January 28, 2004. To Bel. of Dir. Item Number • Larry Baum was promoted from Electrical Technician I to Electrical Technician II (Electrical and Instrumentation Maintenance) • Pinky Lopez was promoted from Administrative Assistant to Executive Assistant (Information Technology Administration) H:\deptlagenda\FAHRIFAHR2004\0204\04-03.Employment Status Report.doc Revised: 06/04/03 Book 19 Page 1 There were five new hires: • Maintenance Worker (Regional Assets and Services) • Senior Human Resources Analyst (Employee Development) • Plant Operator (Operations, Plant 2) • Information Technology Analyst Ill (Customer & Network Support) • Senior Mechanic (Mechanical Maintenance) There were three retirements and one resignation: • Senior Mechanic (Mechanical Maintenance) • Maintenance Supervisor (Electrical and Instrumentation Maintenance) • Senior Information Technology Analyst (Customer & Network Support) • Scientist (OM Process Engineering) ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS 1. January 28, 2004 Employment Status Report 2. Performance compared to budgeted FTE's H:ldeptlagenda\FAHRIFAHR2004\0204\04-03.Employment Status Report.doc Revised: 06/04/03 Book20 Page2 t,:; 0 ~ N - STAFFING REPORT 600 ~----------------------------, 590 580 570 560 550 540 530 520 -- 510 I JAN I FEB I MAR I APR I MAY I JUN JUL I AUG I SEP I OCT I NOV I DEC I JAN I FEB 1 ~ AUTHORIZED I 567 I 567 I 567 I 567 I 567 I 567 I 596 I 596 I 596 I 596 I 596 I 596 I 596 I 596 FTE ACTUAL FTE 532.50 I 535.50 I 540.00 I 539.75 I 540.75 I 540.75 I 543.25 I 544.75 I 544.25 I 545.25 I 548.25 I 552.25 I 558.25 I 558.75 to 0 0 :,;- N 1-.J EMPLOYMENT STATUS REPORT AUTHORIZED FTE ACTUALFTE DIV REG 0.50 0.75 TOTAL REG 0.50 0.75 110 General Management Admin 2.00 . " 2.00 2.00 -. 120 Administrative Services 7.00 0.50 -7.50 4.00 0.50 . 130 Communication Services 7.00 -. 7.00 6.00 -. General Management Totals 16.00 0.50 -16.50 12.00 0.50 . 210 Finance Administration 2.00 . -2.00 2.00 -. 220 Accounting 18.00 " -18.00 17.00 0.50 . 230 Purchasing & Warehousing 19.00 0.50 -19.50 18.00 1.00 - Finance Totals 39.00 0.50 . 39.50 37.00 1.50 - 510 Human Resources Admin 5.00 . . 5.00 4.00 . - Interns Intern Program (510) 9.00 -. 9.00 . 4.00 . 520 Employee Development 3.00 . . 3.00 2.00 . 530 Safety & Health 7.00 . . 7.00 6.00 . - 540 Human Resources 6.00 . -6.00 6.00 . - Human Resources Totals 30.00 . 30.00 18.00 4.00 . 610 Technical Services Admin 2.00 . . 2.00 2.00 -. 620 Environmental Comp & Mont 21.00 . -21.00 19.00 0.50 - 630 Environmental Laboratory 36.00 1.00 . 37.00 35.00 2.00 . 640 Source Control 40.00 " . 40.00 40.00 -. Technical Services Totals 99.00 1.00 . 100.00 96.00 2.50 . 710 Engineering Admin 3.00 . . 3.00 3.00 . - 740 Planning 14.00 . . 14.00 14.00 . . 750 Project Management Office 14.00 . 0.75 14.75 11.00 . 1.50 760 Engineering & Construction 48.00 -. 48.00 45.00 -- Engineering Totals 79.00 . 0.75 79.15 73.00 -1.50 810 O&M Administration 3.00 . . 3.00 3.00 . - 420 Collection Facilities Mtce 28.00 1.00 . 29.00 2500 1.00 . 430 Facilities Maintenance 31.00 1.00 ' 32.00 30.00 1.00 . 820 O&M Process Support 14.00 0.50 . 14.50 11.00 . . 830 Plant 1 Operations 40.00 0.50 0.75 41.25 36 00 0.50 0.75 840 Plant 2 Operations 45.00 0.50 -45.50 44.00 0,50 - 850 Mechanical Maintenance 55.00 0.50 . 55.50 54.00 0.50 . 860 Electrical & Instrumentation Mtce 54.00 0.50 . 54.50 53.00 0.50 . 880 Air Quality & Special Projects 11.00 . -11.00 11.00 -- Operations & Maintenance Totals 281.00 4.50 0.75 286.25 267.00 4.00 0.75 910 IT Administration 2.00 . -2.00 2.00 -. 930 Customer & Network Support 17.00 . -17.00 13 00 -. 940 Programming & Database Sys 12.00 . . 12.00 9.00 -. 950 Process Controls Integration 13.00 . . 13.0_0 11.00 . Information Technology Totals 44.00 . . 44.00 35.00 -. GRAND TOTAL 588.00 6.50 1.50 538.00 12.50 2.25 ·I TOTAL TOTAL AUTHORIZED FTE ACTUALFTE 596.00 558.75 H:\540\open\Recruiting_shared\03-04 Position Control-EMT REPORT Recruitments \/(Jtan(·i1.<~ LOA 70TAL . 2.00 . . 1.00 5.50 3.00 2 00 6.00 1.00 100 1.00 13.50 4.00 3.00 -2.00 . - -17.50 -0 ::,o -19.00 -n 5'.) . 38.50 . ·uio C 4.00 1.00 1('(' . 4.00 3.50 5 (i(; 1.00 3.00 . -6.00 -1 00 . 6.00 . 1.00 23.00 4.50 7~Qt) . 2.00 -- -19.50 1.00 I'"" ,)\) . 37.00 - . 40.00 - . 98.50 1.00 1.'.',() . 3.00 . . 14.00 - . 12.50 2.00 ~-: 2'.) 1.00 46.00 1.00 -2.0G 1.00 75.50 3.00 -1.25 -3.00 . -26.00 8.00 ? no -31.00 1.00 I GO -11.00 3.00 ~?-.50 37.25 -:\;J() 1.00 45.50 2.00 . 54.50 2.00 I UO 1.00 54.50 . .• -11.00 -- 2.00 273.75 16.00 1:1.,50 . UJQ . 1.00 14.()0 1.00 ~~ 01) -9.()() 1.00 :~.00- . 1'1:00 1.00 2 00 1.00 36.00 3.00 8.00 6.00 I· Total Tott1'f Vi:candt~s Recruitments .. {_i;~~: ~ :·(~(;;(;;tr:;: t:;) 31.50 S.75 1/28/2004 FAHR COMM ITTEE AGE NDA REPO RT Orange County Sanitation District FROM: Lisa L. Tomko, Director of Human Resources Originator: Jim Matte, Safety & Health Supervisor Meeting Date To Bd. of Dir. 02111104 Item Number Item Number FAHR04-04 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 12 DART Cases District-wide for the period of January-December 2003. The industry average is 5.4 for the DART Case Incidence Rate while the District Incident Rate is 2.20 for the period of January-December 2003. There have been 14 OSHA Recordable Accidents District-wide for the period of January-December 2003. The industry average is 9.0 for the Total Injury Frequency Rate while the District Incident Rate is 2.57 for the period of January-December 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 2003-2004 is six. The costs associated with these claims for year-to-date is $49,093, which includes medical bills, temporary disability payments, legal costs and a claim reserve account. PRIOR COMMITTEE/BOARD ACTIONS NIA PROJECT/CONTRACT COST SUMMARY NIA Revised: 06/04/03 Page 1 Book 23 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. t8:I Not applicable (information item) ADDITIONAL INFORMATION The District had 12 DART cases and two other injuries that required only medical treatment for the period of January-December 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 Book24 Page2 Safety Division DART Cases District-Wide There have been 12 DART Cases in 2003 (January -December) (DART -Days Away, Restricted or Transfer; replaces Lost Work Day.) gJ 25 gj 20 -1----~--1 (.) 0 15 ~ 10 E 5 DART Cases ~ 0 +-----'-_.__--,-_._____.._,--J._....__--,---_.____._-,-_.__L......., 1999 2000 2001 calendar Year OSHA Incidence Rates District-Wide 2002 2003 The industry average is 5.4 and the DART Incidence Rate for the district is 2.20 for 2003 (January -December). 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. OSHA Incidence Rates DART Cases : 5.00 1 irn ~ 1999 2000 2001 Calendar Year 2002 2003 Book 25 Total Injuries District-Wide There have been 14 OSHA Recordable Accidents for 2003 (January -December) Total OSHA Recordable Accidents ~~ ::l=n Ii:~--•-.- 1999 2000 2001 Calendar Year 2002 OSHA Incidence Rates District-Wide 2003 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 2.57 for 2003 (January -December). First Aid cases are not included in the calculation of this rate. 10.00 2 8.00 (lj er: Cl) (.) 6.00 C 4.00 Cl) "O ·u 2.00 £ 0.00 OSHA Incidence Rate Total Injuries 1999 2000 2001 Calendar Year 2002 2003 Book 26 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 2003 -December 2003 totaled $139,233.29. 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 $86,872.79, which resulted in savings of $52,360.50 for this reporting period. Workers Compensation Claims and Costs Fiscal Period Claim Count Open Claims Total Incurred 7/1/85 -6/30/86 38 0 $270,794 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 $292,348 7/1/90 -6/30/91 76 0 $121,978 7/1/91 -6/30/92 58 2 $224,712 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 2 $261,187 7 /1 /99 -6/30/00 43 2 $346,859 7/1/00-6/30/01 32 3 $433,748 7/1/01 -6/30/02 30 7 $297,781 7 /1 /02 -6/30/03 18 4 $96,229 7/1/03-6/30/04 4 4 YTD $49,093 "Total Incurred" includes medical bills, temporary disability payments to employees, legal costs, and a claim reserve account. Book 27 FAHR COM-MITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Michael D. White, Controller Meeting Date 02/11/04 Item Number FAHR04-0S SUBJECT: MID-YEAR FINANCIAL REPORT FOR THE PERIOD ENDED DECEMBER 31, 2003 GENERAL MANAGER'S RECOMMENDATION Receive and file FY 2003-04 Mid-Year Financial Report for the period ended December 31, 2003. SUMMARY To Bet of Dir. 02/25/04 Item Number Attached in a separately bound document is the District's Mid-Year Financial Report for the period ended December 31, 2003. This report is a consolidation of the financial accomplishments of the District at the December 31, 2003, mid-year point. Contained within the Mid-Year Financial Report are budget summary reviews of the Joint Operating & Working Capital Funds, the Capital Improvement Program, the Revenue Areas, and the self-insurance funds. As indicated within the Overview Section of this report, 52.19 percent, or $40.19 million of the FY 2003-04 net joint operating budget of $77.01 million has been expended. Net cost has increased $10.33 million, or 34.6 percent in comparison with the same period last year primarily due to the increased level of wastewater treatment with full disinfection. The total cost per million gallons at December 31, 2003, is $899.98 based on flows of 44.66 billion gallons, or 242. 72 million gallons per day. This is $58.35, or 6.93 percent above the budgeted cost per million gallons of $841 .63. This overage is primarily due to expenditures being higher than budget by 4.38 percent, or $1.69 million. The remaining increase is due to flows being 2.91 percent lower than the budget estimate of 250 million gallons per day. PROJECT/CONTRACT COST SUMMARY NIA H:\dept\agenda\FAHRIFAHR2004\0204\04-05.Mid-YearFinancialReport.doc Revised: 8/20/98 Book 28 Page 1 BUDGET IMPACT D This item has been budgeted. D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. IZ! Not applicable (information item) ADDITIONAL INFORMATION None. ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS 1. FY 2003-04 Mid-Year Financial Report for the period Ended December 31, 2003. H:ldept\agenda\FAHRIFAHR2004\0204\04-05.Mid-YeerFinencielReport.doc Revised: 8/20198 Book29 Page2 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller · Meeting Date To Bd. of Dir. 02/11/04 02/25/04 Item Number Item Number FAHR04-06 SUBJECT: QUARTERLY INVESTMENT MANAGEMENT PROGRAM REPORT FOR THE PERIOD OCTOBER 1, 2003 THROUGH DECEMBER 31, 2003 GENERAL MANAGER'S RECOMMENDATION Receive and file the Quarterly Investment Management Program Report for the period October 1, 2003 through December 31, 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 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. ~ Not applicable (information item) H:\dept\agenda\FAHR\FAHR2004\0204\04-06.Quarterly Investment.doc Revised: 8/20/98 Book 30 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 October 1, 2003 and December 31, 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 October 1 through December 31, 2003. Portfo.lio Performance Summary Quarter Ended December 31, 2003 Liquid Operating Monies(%) Long-Term Operating Monies(%) Total Rate Total Rate of of Return Benchmark'1l Return Benchmark'1l 3 Months 0.26 0.24 0.23 0.14 6 Months 0.54 0.48 0.57 0.48 9 Months 0.86 0.77 2.03 2.15 12 Months 1.22 1.07 3.22 3.30 Since inception 30 Sept. 95 4.65 4.17 6.52 6.49 Markel Value $91 .4M $386.8M Average Quality "AAA" "AAA" Current Yield(%) 1.6 4.4 Estimated Yieldto Maturity(%) 1.1 2.6 Quarterly Deposits (Withdrawals) $53.3M $0.0M Estimated Annual Income $1 .SM $16.1M (1) Benchmarks: • Liquid Operating Portfolio: 3-Month Treasury Bill Index • Long-Term Operating Portfolio: Merrill Lynch Corp/Govt. 1-5 Year Bond Index Portfolio Market Values Comparative marked-to-market quarter-end portfolio values are shown in the following table, and in the attached bar chart. Quarter Ending 31 Mar. 03 30 June 03 30 Seot. 03 31 Dec. 03 H:\dept\agenda\FAHR\FAHR2004\0204\04-06.Ouarterly Investment.doc Revised: 8/20/98 Liquid Long-Term Operating Operating Monies ($M) Monies ($M) 49.6 325.0 66.5 329.7 38.0 385.9 91.4 386.8 Page2 Book 31 District's Investment Account Balances as of December 31, 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 N/A CEQA FINDINGS N/A ATTACHMENTS 1. Historical Yield Curve Graph 2. PIMCO Quarterly Report Book Balances December 31, 2003 $ 34,100,246 815,107 91,100,342 383,028,089 5 000 $5Q9,Q48,Z84 $160 213,442 3. Quarter End Portfolio Market Value Bar Chart Estimated Yield(%) 1.55 0.89 1.37 2.55 NIA 2.27 2.03 4. Summary of Pertormance 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) H:\dept\agenda\FAHR\FAHR2004\0204\04·06.Quarterly Investment.doc Revised: 8/20/98 Book 32 Page 3 w > a: :::, 0 C ..J w -> ..J <( 0 -a: 0 ~ Cl) -~ momomomomomomomomomo No~mNo~mNo~mNo~mNo~m ~~~~~~MMMMNNNN~~~~oo (%)0131A Book33 .Jf..L .i/..g .J/..t, .J/..£ .J/.. ('; .J/.. I- C') 0 I CJ Q) 0 I 'I""" C') + C') 0 I a. Q) Cl) I 0 C') + C') 0 I C: :, -:, I 0 C') + February 2, 2004 Mr. Mike White Controller Orange County Sanitation District 10844 Ellis A venue Administration Building Fountain Valley, CA 92708-7018 Re: 4th Quarter 2003 Report Dear Mike: PIM C 0 840 Newport Center Drive 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 4th quarter of 2003 and an analysis of the strategies undertaken in the Orange County Sanitation District's Long-Term, Liquid, and COP Proceeds portfolios over the period. We have also included a section on strategies to be pursued in your portfolios during the coming months. Bond Market Recap: Bonds Gain Ground in 2003 Despite Volatile Interest Rates Most bonds posted positive returns in the fourth quarter, capping a year in which fixed income assets gained ground despite volatile interest rates. The Lehman Brothers Aggregate Bond Index returned 0.32 percent for the quarter and 4.10 percent for the year. While Treasury yields rose only 20 to 50 basis points for the year, the markets were far from calm. For instance, yields moved lower through the first half of the year as deflation risks dominated the news and the market's view of future Federal Reserve policy. The Fed cut the federal funds rate to 1 percent in June and the 10-year Treasury yield plunged to a 45-year low near 3 percent. Rates then reversed course dramatically, jumping more than 130 basis points from June through July, which was the worst month in the U.S. government bond market in more than 22 years. This reversal was prompted by technical factors in the Treasury market but also by investors' growing confidence that growth would accelerate. Economic performance in the second half of the year met investors' expectations. Business investment revived while massive fiscal stimulus and the lagged impact of the mortgage refinancing boom sustained consumption, leading to 8.2 Book 34 percent annualized growth in the third quarter, the fastest pace in almost two decades. The 10- year Treasury yield finished the year at 4.25 percent, up 43 basis points for the full year. Commodity prices surged in 2003 as growth revived, while the dollar plunged against most major currencies amid concern about the U.S. trade deficit. Despite these trends, inflation overall was well behaved, which limited the rise in interest rates. In a global economy where human resources and innovation are ever more important for boosting output, slack labor markets and gains in labor productivity allowed companies to absorb higher prices of physical inputs without . . . ra1smg pnces. Highest Yielding Bonds Fare Best As Risk Appetites Revive The following is a summary of fixed income sector performance: • • • Mortgages modestly outperformed Treasuries on a like-duration basis in 2003 , though mid- year volatility exerted a drag on returns. Mortgages outpaced Treasuries in the final quarter as market conditions stabilized. With mortgage rates well above the summer's lows, refmancings at year end were some 80 percent slower than the record pace of mid year. Mortgage yield premiums relative to Treasuries fell considerably in the fourth quarter, boosting returns. Corporate bonds, particularly lower-grade issues, outperformed for the quarter and the year . Credit premiums for high-grade corporates tightened by 75 to 100 basis points. Corporate profit growth and margins improved and demand for riskier, higher yielding assets surged, especially among non-U.S. investors. Emerging market bonds outperformed most bond sectors for the quarter and the year. The main drivers were continued improvements in credit fundamentals, as evidenced by Russia's upgrade to investment-grade status and enhanced prospects for an upgrade for Brazil. • Treasuries lagged Euroland bonds in 2003 but outpaced Japan, which was among the worst performers during the year. In the fourth quarter, Treasuries underperformed most major bond markets, although short maturity returns in the U.S., Euroland and the U.K. were similar as investors worldwide began to expect central bank tightening given revived growth. • Real return bonds and municipals outpaced Treasuries both in the final quarter and for the full year. These high quality assets demonstrated their defensive characteristics as interest rates moved higher. Performance Attribution: Long Term Portfolio The Long-Term portfolio that PIMCO manages on behalf of Orange County Sanitation District turned in a 0.23 percent return over the quarter outperforming its benchmark, the Merrill Lynch 1-5 year Government Corporate Index by 9 basis points. This portfolio's performance was due in part to the following factors: 2 Book 35 • Active management across a wide spectrum of strategies -"rolling down" a steep yield curve, select mortgages and corporates, and Treasury Inflation Protection bonds -added value amid volatile markets in 2003 • Below-index duration was positive for returns as rates rose • A broader-than-index curve structure was positive for the quarter as maturities within the index fared the worst as interest rates rose • A mortgage emphasis helped returns; these assets gained as lower volatility caused yield premiums to tighten modestly • Corporate holdings were positive as rising profits stimulated investor demand and tighter spreads • An allocation to real return bonds was positive as these assets outperformed more volatile Treasuries of like duration Liquid Portfolio The Liquid portfolio that PIM CO manages on behalf of Orange County Sanitation District turned in a 0.26 percent return over the quarter, outperforming the 3-month Treasury Bill Index by 2 basis points. This portfolio's performance was due in part to the following factors: • Near-index duration was neutral for returns • A corporate emphasis was positive as profit growth and margins improved • Use of higher yielding securities such as commercial paper and short-term notes contributed to performance "2003 COP Proceeds -Future Construction" Portfolio The COP Proceeds portfolio that PIMCO manages on behalf of Orange County Sanitation District turned in a 0.26 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: • Near-index duration was neutral for returns • A corporate emphasis was positive as profit growth and margins improved • Use of higher yielding securities such as commercial paper and short-term notes contributed to performance 3 Book 36 Economic Outlook: Recovery To Continue; Interest Rates Will Trend Upward The recovery in the global economy will be sustained in 2004, with China joining the U.S. as an engine of growth. U.S. interest rates could rise up to 100 basis points for short maturities but less for longer maturities as markets anticipate tightening by the Federal Reserve. The timing of the Fed move, late in 2004 or early 2005, will depend on how quickly the economy narrows its output gap, measured by the slack in labor markets. This unused capacity, combined with enhanced labor productivity, will keep inflation tame. Key elements of PIMCO's forecast are: • In the U.S. economy, positive forces will outweigh negatives. The hoped for rebound in business investment is now a reality. Massive fiscal stimulus will also provide support, as will spending to rebuild lean inventories. • On the negative side, effects of large tax cuts will peak in 2004 and become a fiscal drag by 2005, while benefits of the boom in mortgage refinancing have already begun to dissipate. Employment growth will be muted because of productivity gains and outsourcing to low cost labor markets such as India and China. • China's contribution to growth is tied to its currency peg with the U.S. dollar. The peg forces China to follow the Fed's reflationary policy, fueling a boom in investment for domestic infrastructure. This investment will promote growth in Asia and elsewhere as China imports commodities and components to build its infrastructure. While China will eventually succumb to pressure and revalue its currency, its currency peg will be sustained for the next year because the peg serves Chinese and U.S. interests. China will retain competitive pricing in dollar terms for its exports. It will use the dollars it earns to help finance the U.S. trade deficit, thereby stemming a freefall in the dollar and mitigating the rise in U.S. interest rates. • Japan is recovering without fiscal stimulus for the first time in a decade as healthier Japanese companies integrate with China. Japan's fiscal policy is now focused on reform of the banking sector. Euroland will be the laggard in 2004, but the recent collapse of the Growth and Stability Pact opens the door for needed fiscal stimulus that will offset a stronger euro. Defensive Posture Focused On Safe Yield Will Add Value The bond market in 2004 will be challenging, with upward pressure on rates and full valuations in Treasuries, most corporates and mortgages. Active managers with the resources and skill to exploit a broad spectrum of strategies can add value, however, especially with a defensive posture focused on safe yield and (where allowed) modest currency exposure. This approach involves an underweight to mortgages and corporates, below-index duration and focus on intermediate maturities. The Fed will anchor the short end of the yield curve for most of 2004, keeping the curve steep and allowing investors focused on intermediate maturities to reap gains by "rolling down" the curve. 4 Book 37 Outside these core strategies, real return, municipal, short maturity Eurozone and emerging market bonds remain compelling. TIPs hedge against secular inflation risk. Munis provide yields near Treasuries and defensive characteristics in a rising rate environment. Short-term Euroland exposure offers yields that do not reflect the low probability of central bank tightening in 2004. Modest exposure to the euro and yen can add value as concern about the U.S. trade deficit keeps the dollar weak. Finally, high yielding emerging market bonds are poised for another good year as fundamentals continue to improve. Strategv: The following list highlights the strategies that will be used in the Long Term portfolio in the coming months: • A defensive posture focused on diversified sources of safe yield will add value in a challenging environment for bonds • Target below-index duration to protect relative returns against the risk of upward pressure on rates • Retain broader-than-index curve position to exploit value all along the curve; take exposure to short maturities as the Fed will anchor this end of the yield curve • Continue to hold mortgages to benefit from their long-term structural advantages; add value through coupon selection • Limit exposure to corporate bonds given their rich valuations, focus on more attractively priced bonds • Own TIPS, which hedge against secular inflation risk and are less volatile than nominal bonds when rates rise • Hold high yielding emerging market bonds, which have potential for solid returns as fundamentals continue to improve; they also offer better value than similarly rated corporate issues The following list highlights the strategies that will be used in the Liquid and COP Proceeds portfolios in the coming months: • A defensive posture focused on diversified sources of safe yield will add value in a challenging environment • Target duration slightly above the benchmark to capture extra yield available from a steep yield curve and to reap gains via "roll down" • Given rich valuations, limit corporate holdings to issues with attractive yields and solid credit characteristics 5 Book 38 We hope you fmd this information useful. Please feel free to call us with any questions. Sincerely Christine Telish, CF A Vice President 6 Book39 John M. Miller, CPA Senior Vice President l:O 0 ~ ~ Prepared by Finance, 2/3/2004, 3:00 PM OCSD Investment Management Program Quarter End Portfolio Values (Marked-to-Market) $450,000,000 ,-------------------------------------------------------. $400,000,000 -i-------------------------------------------------J $350,000,000 --t-----------------------------------------v $300,000,000 -l-----1' $250,000,000 +-----V $200,000,000 I V././/.1'1------- $150,000,000 -----r $100,000,000 -+-----v. : : :~:, $50,000,000 I • , • , . ~ ---•:~:::; ;, :~:.: $0 I i: ,.:,,.:vvu 1•:•:-:-:-:v1z£-t1 v :-: :•Y««J 1;:-:< :'Vll//J i:-= :c:;:v<<<II 1::::;::,;v«£A I 30 Sep 02 31 Dec 02 31 Mar 03 30Jun 03 30 Sep 03 30 Dec 03 • Liquid Operating Monies El Long-Term Operating Monies H:\dept\agenda\FAHR\FAHR2004\0204\04-06.3 tc 0 0 :,,;- .j::,. - Summary of Performance Data and Portfolio Statistics Orange County Sanitation District Liquid Operating Portfolio Performance Periods Ended 12/31/2003 Total Portfolio1 - Before Fees (%) 4.65 After Fees (%) 4.51 Citigroup 3 Month T-Bill Index (%)2 4.17 4.03 3.89 3.49 Summary Information &•t~•l•IIIHiJtH•II Total Market Value ($MM) Quarterly Contributions ($MM) Estimated Annual lncorne ($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. 38.0 -28.7 1.5 1.3 0.3 0.3 AAA 4.2 0.2 2.8 91.4 53.3 1.5 1.1 0.2 0.2 AAA 1.6 0.2 2.5 2.78 1.22 2.63 1.06 2.28 1.07 --- 0.86 0.74 0.77 Sector Allocat1on Government Mortgages Corporates High Yield 0.54 0.45 0.48 Non U.S. $ Developed Emerging Markets Other Net Cash Money Markets Total 0.26 0.23 0.24 11 10 9 ~B '/fl. E1 ::, &1 6 ~ 5 ~ 4 C C <( 3 2 0 0 5-Year Return vs. Standard Deviation • ML 1-3Yr. Treasury • Portfolio • Index 1 2 3 4 5 6 7 X Citigroup 10-Yr. Strip 8 9 10 Standard Deviation of Return2 (%) % of Market Value % of Duration 11 DMH•l•llltll!H•l•IDIMH•l•IIIHltH•l•II 38 32 40 43 0 8 0 0 16 8 22 13 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 46 60 38 44 100 100 100 100 to ~ i!3 Summary of Performance Data and Portfolio Statistics Orange County Sanitation District Long Term Operating Portfolio Performance Periods Ended 12/3112003 Total Portfolio1 Before Fees (%) After Fees (%) Merrill 1-5 Year Gov't.Gorp. (%)2 Summary Information Total Market Value ($MM) Quarterly Contributions ($MM) Estimated Annual Income ($MM) Estimated Yield to Maturity(%) Estimated Duration (yrs) Benchmark Duration (yr.s) Average Maturity (yrs) Average Quality Average Coupon (%) Tracking Error (3 yrs., %)4 Information Ratio (3 yrs.)5 See footnotes in Appendix. - 6.52 6.37 6.49 6.0,1 5.86 6.21 •tiMH•ie&JltBtH•l•IJ 385.9 386.8 54.1 o.o 16.0 16.1 2.5 2.6 2.3 2.2 2.4 2.4 2.7 2.5 AAA AAA 4.4 4.4 0.7 0.6 -0.7 -0.8 -- 6.16 3.22 2.03 0.57 6.01 3.08 1.93 0.50 6.70 3.30 2.15 0.48 Sector Allocation Government Mortgages Corporates High Yield Non U.S.$ Developed Emerging Markets other Net Cash Equivalents:3 Commercial Paper/ STIF ST Mortgages ST Corporates ST Government Other Less: Liabilities Total 0.23 0.20 0.14 10 , I 9 8 ~ I i1 :::, Q) a: 6 "O Q) ~ ~ 5 C: C: <( 4 3 2 -2 -1 5-Year Return vs. Standard Deviation X LBAG Portfolio I Index A Citigroup 3- Mo 7 I 1 I I 0 2 3 4 5 6 7 8 Standard Deviation of Return2 (%) % of Market Value % of Duratiol'I N••-oi•dl•ii*4miiiiiuM•i•icii•Ji*4md 47 46 53 53 17 16 18 19 11 10 25 25 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 25 2B 4 3 23 13 2 1 2 2 1 0 5 3 1 1 1 10 0 1 1 1 0 0 -7 -1 0 0 100 100 100 100 ,---------------------------------------------------------------------------------------, UQUID OPER-PlMCO-OCSF07511102 Description CASH & CASH EQUIVALENTS U.S. DOLLAR INTEREST CERTIFICATES OF DEPOSIT -DOMESTIC FED HM LOAN BNK -LESS THAN 1 YR FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 FNMA ISSUES -LESS THAN 1 YR MUTUAL FUNDS REPURCHASE AGREEMENTS TREASURY BILLS -LESS THAN 1 YR U.S. DOLLAR CASH & CASH EQUIVALENTS t,:j g FIXED INCOME SECURITIES :,,;-t U.S. DOLLAR BANKING & FINANCE U.S. AGENCIES UTILITY -TELEPHONE U.S. DOLLAR FIXED INCOME SECURITIES TOT AL ASSETS -BASE: Asset Summary by Asset Type with Sectors 12/31/2003 Cost Shares Par Base 262,968.26 1,500,000.000 1,500,000.00 16,200,000.000 16,154,527.66 15,000,000.000 14,958,803.83 13,200,000.000 13,168,747.50 159,080.160 159,080.16 8,400,000.000 8,400,000.00 23,100,000.000 23,026,338.99 77,559,080.160 77,630,466.40 77,559,080.160 77,630,466.40 6,302,000.000 6,508,328.58 6,650,000.000 6,876,036.50 650,000.000 677,046.50 13,602,000.000 14,061,411.58 13,602,000.000 14,061,411.58 91,161,080.160 91,691,877.98 1 Report ID: GL8251 Base Currency: USD Alternate Base Currency: Exchange Rate: Market Value Base 262,968.26 1,500,000.00 16,154,527.66 14,958,803.83 13,168,747.50 159,080.16 8,400,000.00 23,026,338.99 77,630,466.40 77,630,466.40 6,399,421.95 6,681,290.31 652,132.00 13,732,844.26 13,732,844.26 91,363,310.66 Status: FINAL % of Total 0.29% 1.64% 17.68% 16.37% 14.41% 0.17% 9.19% 25.20% 84.97% 84.97% 7.00% 7.31% 0.71% 15.03% 15.03% 100.00% Net Unrealized Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -108,906.63 -194,746.19 -24,914.50 -328,567.32 -328,567.32 -328,567.32 Workbench LONG TERM OPER-PlMCO -OCSF07522202 Description CASH & CASH EQUIVALENTS U.S. DOLLAR PENDING TRADES INTEREST COMMERCIAL PAPER -DISCOUNT FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 FNMA ISSUES -LESS THAN 1 YR MUTUAL FUNDS TREASURY BILLS -LESS THAN 1 YR U.S. DOLLAR CASH & CASH EQUIVALENTS to FIXED INCOME SECURITIES 0 ~ t U.S. DOLLAR ABS -AIRPLANE RECEIVABLES ABS -HOME EQUITY BANKING & FINANCE COLLATERALIZED MORTGAGE OBLIGATION FHLMC MULTICLASS FHLMC POOLS FNMA POOLS GNMA MULTI FAMILY POOLS GNMA SINGLE FAMILY POOLS INDUSTRIAL INFLATION INDEXED SECURITIES INSURANCE PVT PLACEMENTS -MORE THN 1 YR U.S. AGENCIES U.S. GOVERNMENTS UTILITY -ELECTRIC UTILITY -TELEPHONE U.S. DOLLAR Asset Summary by Asset Type with Sectors 12/31/2003 Cost Shares Par Base -2,531,623.30 3,755,831.13 2,700,000.000 2,690,984.00 31,300,000.000 31,209,102.61 17,500,000.000 17,447,688.03 113,665.750 113,665.75 37,900,000.000 37,706,336.65 89,513,665.750 90,391,984.87 89,513,665.750 90,391,984.87 1,600,000.000 1,600,000.00 1,000,000.000 1,000,000.00 29,335,000.000 30,475,793.00 2,425,788.580 2,425,788.58 1,088,725.740 1,089,885.64 158,321.720 158,398.15 45,021,465.930 46,110,288.04 3,313,859.060 3,297,217.83 9,341,048.670 9,492,701.17 ,8,000,000.000 8,248,380.00 34,448,590.000 34,465,572.76 1,600,000.000 1,594,032.00 752,000.000 826,199.84 41,138,573.590 42,215,328.96 92,597,276.280 100,770,646.50 4,750,000.000 4,694,370.00 3,000,000.000 3,530,490.00 279,570,649.570 291,995,092.47 1 Report ID: GL8251 Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Market Value Base -2,531,623.30 3,755,831.13 2,690,984.00 31,209,102.61 17,447,688.03 113,665.75 37,706,336.65 90,391,984.87 90,391,984.87 274,912.00 998,750.00 31,018,123.75 2,577,279.08 1,107,419.16 162,661.92 46,340,063.10 3,356,281.61 9,835,287.38 8,257,780.00 38,084,675.63 1,726,000.00 826,199.84 43,837,094.83 99,508,801.63 5,004,355.00 3,476,250.00 296,391,934.93 % of Total -0.65% 0.97% 0.70% 8.07% 4.51% 0.03% 9.75% 23.37% 23.37% 0.07% 0.26% 8.02% 0.67% 0.29% 0.04% 11.98% 0.87% 2.54% 2.13% 9.85% 0.45% 0.21% 11.33% 25.73% 1.29% 0.90% 76.63% Net Unrealized Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -1,325,088.00 -1,250.00 542,330.75 151,490.50 17,533.52 4,263.77 229,775.06 59,063.78 342,586.21 9,400.00 3,619,102.87 131,968.00 0.00 1,621,765.87 -1,261,844.87 309,985.00 -54,240.00 4,396,842.46 Workbench t:,:j 0 ~ t LONG TERM OPER-PlMCO -OCSF07522202 Description FIXED INCOME SECURITIES TOTAL ASSETS· BASE: Asset Summary by Asset Type with Sectors 12lfil_l2003 Cost Shares Par Base 279,570,649.570 291,995,092.47 369,084,315.320 382,387,077.34 2 Report ID: GL825 l Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Net Unrealized Market Value % of Gain/Loss Base Total Base 296,391,934.93 76.63% 4,396,842.46 386,783,919.80 100.00% 4,396,842.46 Workbench YLDANAL YIELD ANALYSIS PAGE 1 OCSF07 511102 2003/12/31 RUN DATE 01/07/04 DISTRICT: LIQUID OPERATING RUN TIME 13.46.28 =-=:--:,==-===:-=== ~ ========c.===:=;;:::======:::;-=-=~:=-= -=-=-=:::=.==----=~ ::__....;::::.==-===---=-====-====----====-====·= ---- PAR VALUE Y'JJ:'H AT CURRENT MOODY MARI<ET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARltET VALUE I TOTAL -----------------------------------·-------------------------------------------------------------- CASH & CASH EQUIVALENTS 5,200,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .000 P-1 99.868 5,193,143.22 6. 71 313384SR1 HAT 02/04/2004 A-1+ 5,193,143.22 5.70 1,000,000.oo FEDERAL HOME LN BK CONS DISC .ooo .ooo P-1 99.688 996,879.16 1.28 313384SS9 A-1+ 996,879.16 1.09 600,000.00 FEDERAL HOME LN BK CONS DISC ,000 .000 P-1 99,614 597,681.67 • 77 313384SW0 HAT 02/09/2004 A-1+ 597,681.67 .66 2,000,000.00 FEDERAL HOME LN BK CONS DISC ,000 .ooo P-1 99. 732 1,994,641.11 2.57 313384TN9 HAT 02/25/2004 A-1+ 1,994,641.11 2.19 4,500,000.00 FEDERAL HOME LN BK CONS DISC N ,000 .ooo P-1 99,742 4,488,395.00 5 .80 to 313384UE7 HAT 03/12/2004 A-1+ 4,488,395.00 4 ,93 0 0 900,000.00 FEDERAL HOME LN BKS CINS DISC .ooo ,000 P-1 99,462 895,162.50 1.15 :,<;' -"'-313384UK3 HAT 03/17/2004 A-1+ 895,162.50 .98 °' 2,000,000.00 FEDERAL HOME LN BK CONS DISC ,000 .ooo P-1 99 ,431 1,988,625.00 2.57 313384XA2 HAT 05/19/2004 A-1+ 1,988,625.00 2 .18 s,2001000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99,906 s, 195,138.00 6. 71 313396SB0 HAT 01/21/2004 A-1+ 5,195,138.00 5,70 6,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .000 P-1 99.760 5,985,610.83 7.73 3l3396TP8 HAT 02/26/2004 A-1+ 5,985,610.83 6.57 3 1800,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .000 P-1 99.422 3,778,055.00 4,88 313396UZ4 HAT 03/31/2004 A-1+ 3,778,055.00 4.15 s,200,000.00 FEDERAL NATL MTG ASSN DISC NT ,000 .000 P-1 99 .871 5,193,305.00 6. 71 313588SP1 HAT 02/02/2004 A-1+ 5,193,305.00 5.70 6,000,000.00 FEDERAL NATL MTG ASSN DISC NT .ooo .000 P-1 99,782 5,986,918.61 7.73 313588TF2 A-1+ 5,986,918.61 6.57 2,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT ,000 .ooo P-1 99,426 1,988,523.89 2.57 313588XA8 HAT 05/19/2004 A-1+ 1,988,523.89 2.18 1,200,000.00 US TREASURY BILL .ooo .000 P-1 99,516 1,194,191.67 1. 54 912795PK1 DUE 02/12/2004 DD 08/14/2003 A-1+ 1,194,191.67 1.31 YLDANAL YIELD ANALYSIS PAGE 2 OCSF07511102 2003/12/31 RUN DATE 01/07/04 DISTRICT: LIQUID OPERATING RUN TIME 13.46.28 -------------------------------------------------------------------------------------================================ PAR VALUE YTH AT CURRENT MOODY MARJCET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION B•OOK YIELD S-P PRICE MARKET VALUE I TOTAL --------------------------------------------------------------------------- 9,200,000.00 US TREASURY BILL .ooo .000 P-1 99.757 9,177,690.00 11.86 912795PPO 0.0001 03/11/2004 DD 09/11/03 A-1+ 9,177,690.00 10.07 6,500,000.00 US TREASURY BILL .ooo ,000 P-1 99.785 6,486,041.25 8 .38 912795PQ8 0.0001 03/18/2004 DD 09/18/03 A-1+ 6,486,041.25 7.12 6,200,000.00 US TREASURY BILL ,000 .ooo P-1 99.491 6,168,416.07 7.97 912795QA2 DUE 05/27/2004 DD 11/28/2003 A-1+ 6,169,416.07 6.77 1,500,000.00 WELLS FARGO BANK NA INSTL C/D ,000 1.070 100.000 1,500,000.00 1.93 94975U2VB 1.0701 Ol/13/2004 DD 12/10/03 1,500,000.00 1.65 8,400,000.00 CREDIT SUISSE FB REPO ,000 .970 100.000 8,400,000.00 10.85 99414G593 00.9701 01/02/2004 DO 12/24/03 8,400,000.00 9,22 to 159,080.16 DREYFUS TREASURY CASH MGMT .ooo .807 AAA 100.000 159,080.16 .20 0 996085247 AAA 159,080,16 .17 0 ::,;-- .p. ------------·---------------------·--------i TOTAL CASH & CASH EQUIVALENTS .ooo .029 77,367,499.14 100.00 77,367,498.14 84.91 FIXED INCOME SECURITIES 100,000.00 ASSOCIATES CORP NA MTN SR00043 ,000 7.657 AAl 103.437 104,199.00 .75 045906BU7 7.9201 07/13/2004 DD 07/13/94 AA-103,437.00 .11 1,000,000.00 ASSOCIATES CORP NORTH AMER .ooo 5.723 AAl 101. 343 1,041,290.00 7.37 046003KA6 5.8001 04/20/2004 DD 04/20/99 AA-1,013,430.00 1.11 500,000.00 BANK OF AMERICA CORP SR GBL NT ,000 6.470 AA2 102 .390 518,385.00 3.72 066050CW3 6.6251 06/15/2004 DD 06/15/99 A+ 511,950.00 .56 650,000.00 BELL ATLANTIC-NEW JERSEY INC .ooo 5.856 AA3 100.328 677,046.50 4. 74 07785BAA6 5,8751 02/01/2004 DD 02/01/94 A+ 652,132.00 .72 1,350,000.00 FEDERAL FARM CR BKS CONS SYSTE ,000 5.386 AAA 100.263 1,399,963.50 9.85 31331H6G7 6.401 01/23/2004 DD 01/01/1999 AAA 1,353,555.90 1.49 1,100,000.00 FEDERAL HOME LN MTG CORP DEB .ooo 3,722 AAA 100.747 1,125,905.00 8.06 3134A4PH1 3.7501 04/15/2004 DD 04/15/02 AAA 1,108,219.53 1.22 t:o 8 ~ .i,.. 00 YLDANAL OCSF07511102 DISTRICT: LIQUID OPERATING YIELD ANALYSIS 2003/12/31 PAGE RUN DATE RUN TIME J 01/07/04 13.46.28 ================================================-====---====--===-=----=--========----======================================= PAR VALUE Y'.Jf'M AT CURRENT MOODY MARJ<ET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARJ<ET VALUE I TOTAL , ________ ---------------------------------------------------------------------------------------- 4,200,000.00 FEDERAL NATL MTG ASSN DEBS ,000 5.101 AAA 100.465 4,350,168.00 30.72 31359MEM1 5.125\ 02/13/2004 DD 02/08/99 AAA 4,219,514.88 4.63 180,000.00 GENERAL ELEC CAP MTN ITR 00448 ,000 7 .111 AAA 101.953 183,801.60 1.33 36962GUR3 7.2501 05/03/2004 DD 05/01/00 AAA 183,515.40 .20 1,000,000.00 GENERAL ELEC CAP HTN fTR 00545 .ooo 1.268 AAA 100.078 1,001,089.00 7.28 36962GYS7 VAR RT 05/20/2004 DD 05/20/02 AAA 1,000,100.00 1.10 1,000,000.00 LEHMAN BROS HLDGS INC .ooo 6.539 Al 101. 312 1,045,590.00 7.37 524908BZ2 6.6251 04/01/2004 DD 01/26/99 A 1,011,120.00 1.11 250,000.00 NCNB TEX NATI. BK DALI.AS TEX NT ,000 9.204 AA2 103,218 260,870.00 1.87 628857DJO 9,5001 06/01/2004 DD 06/01/89 A+ 258,045.00 .28 627,000.00 NATIONSBANK CORP SR HTS .000 5.975 AA2 102.515 646,650.18 4.68 638585BJ7 6,125\ 07/15/2004 DD 07/23/98 A+ 642,769.05 • 71 520,000.00 NORWEST FINL INC NTS .ooo 7.101 Ml 101. 390 531,538.80 3.83 669383DG3 7,200\ 04/01/2004 DD 04/07/97 AA-527,228.00 .se 1,000,000.00 US BANCORP MTN ITR 00119 .ooo 5.901 AA3 101.671 1,046,310.00 7.40 9l159HEY2 6.0001 05/15/2004 DD 05/10/99 A+ 1,016,710.00 1.12 125,000.00 WELLS FARGO & CO NEW NT .ooo 6.448 AAl 102.750 128,605.00 .93 949746AA9 6,625% 07/15/2004 DD 07/28/99 AA-128,437.50 .14 ---------------------------------------- TOTAL FIXED INCOME SECURITIES .ooo 5.222 14,061,411.58 100.00 13,732,844,26 15.08 -------------------------------------- TOTAL .ooo .747 91,428,909.72 100.00 91,100,342.40 100.00 ---=~:-==--· ---: ---•-=-=,!"!=~ YLDANAL YIELD ANALYSIS PAGE I 4 OCSF07522202 2003/12/31 RUN DATE I 01/07/04 DISTRICT: LONG-TERM OPERATING RUN TIME 13,46.28 ~~==============-====~=====-===:===:===-=============-==--:============================================================-=-= PAR VALUE Y'll''M AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL ------------------------------------------------------------------------------------------- CASH & CASH EQUIVALENTS 900,000,00 EUROPEAN INVEST DISC .ooo .ooo 99.732 897,588.50 1.00 29878RCF3 OJ/15/2004 897,588,S0 .23 20,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .000 P-1 99.731 20,744,004.66 23.26 313396RV7 HAT 01/15/2004 A-1+ 20,744,004.66 5.38 1,200,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99.727 1,196,718,67 1.34 3l3396SKO HAT 01/29/2004 A-1+ 1,196,718.67 .31 4,700,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99.661 4,684,085,28 5.25 313396SP9 HAT 02/02/2004 A-1+ 4,684,085.28 1.21 2,soo,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99.724 2,493,100.00 2.79 to 313396SZ7 MAT 02/12/2004 A-1+ 2,493,100.00 .65 0 0 ~ 2,100,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .000 P-1 99.581 2,091,194.00 2.34 .j>., 313396UQ4 MAT 03/22/2004 A-1+ 2,091,194.00 ,54 '° 400,000,00 FEDERAL NATL MTG ASSN DISCOUNT ,ODO .ooo P-1 99.900 399,600.00 .44 313588SR7 HAT 02/04/2004 A-1+ 399,600.00 .10 2,400,000.00 FEDERAL NATL MTG ASSN DISC NT .ooo .ooo P-1 99. 715 2,393,155.61 2.68 313588TF2 A-1+ 2,393,155.61 .62 J,800,ooo.oo FEDERAL NATL MTG ASSN DISCOUNT .ooo .000 P-1 99.553 3,783,014 .oo 4,24 313588TGO MAT 02/19/2004 A-1+ 3,783,014 .oo .98 8,400,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .000 P-1 99.745 8,378,580.00 9.39 313588TN5 MAT 02/25/2004 A-1+ 8,378,580.00 2.17 400,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .000 P-1 99.727 398,908.00 ,44 313588TV7 HAT 03/03/2004 A-1+ 398,908.00 .10 1,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99.735 997,350.00 1.11 313588UC7 HAT OJ/10/2004 A-1+ 997,350.00 .26 1,100,000.00 FEDERAL NATL MTG ASSN DISC ,ODO .ooo P-1 99,735 1,097,080.42 1.23 313588UK9 A-1+ 1,097,080,42 ,28 1,eoo,000.00 GENERAL ELEC CAP DISC .ooo .ooo P-1 99.633 1,793,395.50 2.01 36959HD79 04/07/2004 1,793,395.50 .47 YLDANAL YIELD ANALYSIS PAGE 5 OCSF07522202 2003/12/31 RUN DATE 01/07/04 DISTRICT: LONG-TERM OPERATING RUN TIME I 13.46.28 =======================================--============-=-=-------========= ----------·- PAR VALUE Y'T'H AT CURRENT MOODY MARI(ET TOTAL COST/ I TYPE SECURITY IO SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL -----------------------------------------------·--------------------·-------~-----·------------ 4,500,000.00 US TREASURY BILL .ooo .ooo P-1 99,516 4,478,218.75 5.02 912795PK1 DUE 02/12/2004 DD 08/14/2003 A-1+ 4,478,218.75 1.16 11,000,000.00 UNITED STATES TREASURY BILL .ooo .000 P-1 99.487 16,912,790.02 18.96 912795PV7 DUE 04/22/2004 DD 10/23/03 A-1+ 16,912,790.02 4.39 12,000,000.00 US TREASURY BILL .ooo .ooo P-1 99.484 11,938,120.00 13.38 912795PW5 0,0001 04/29/2004 DD 10/30/03 A-1+ 11,938,120.00 3 .10 4,400,000.00 US TREASURY BILL ,000 .000 P-1 99.482 4,377,207.88 4.90 912795PX3 0.000% 05/06/2004 DD 11/06/03 A-1+ 4,377,207.88 1.14 113,665.75 DREYFUS TREASURY CASH MGMT .ooo .807 AAA 100.000 113,665.75 .12 996085247 AAA 113,665.75 .03 ------------------------------------------TOTAL CASH & CASH EQUIVALENTS ,000 .000 89,167,777.04 100.00 to 89,167,777.04 23.12 0 0 ::,;- V, 0 FIXED INCOME SECURITIES 752,000.00 AIG SUNAMERICA GLOBAL REGS .ooo 5.325 109.867 826,199.84 .27 U00907AAO 5,8501 08/01/2008 DD 08/08/01 826,199.84 .21 2,500,000.00 COMMIT TO PUR FNMA SF MTG ,000 5.806 AAA 103.343 2,568,906.25 .87 01F060618 6.000% Ol/01/2034 DD 01/01/04 AAA 2,583,575.00 .67 1,500,000.00 CIT GROUP INC NEW SR NT .ooo 5. 137 A2 107,062 1,527,135.00 .54 125581ADO 5.500% 11/30/2007 DD 12/02/02 A 1,605,930.00 ,42 s,000,000.00 CITIGROUP INC GLOBAL SUB NT .ooo 5.329 AA2 105,562 5,333,600.00 1.78 172967BP5 5,625% 08/27/2012 DD 08/26/02 A+ 5,278,100.00 1.37 79,205.45 FHLMC GROUP tG4-0353 .ooo 7.349 AAA 102,055 81,210.35 .02 3128DBMA2 7.500% 10/01/2004 DD 03/01/99 AAA 80,833.39 .02 7,500,000.00 FEDERAL HOME LN BK CONS BOS .ooo 6.708 AAA 106,210 7,997,625.00 2.68 3133MAUN7 7.125% 02/15/2005 DD 02/08/00 AAA 7,965,729.75 2.07 79,116.27 FHLMC GROUP 178-6064 .ooo 3.387 AAA 103,428 77,187 .BO .02 3134BSWZ3 6.384% 01/01/2028 DD 12/01/97 AAA 81,828.53 .02 YLDANAL YIELD ANALYSIS PAGE 6 OCSF07522202 2003/12/31 RUN DATE 01/07/04 DISTRICT: LONG-TERM OPERATING RUN TIME 13,46.28 --------------------------------------------------------=---------------=====----====---======-=====-======---===------=----= PAR VALUE YT'M AT CURRENT MOODY MARJCET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION B(ll()K YIELD S-P PRICE MARJCET VALUE I TOTAL ----------------------------------------------------------------------------------------------- 11,350,000.00 FEDERAL NATL MTG ASSN DEBS .ooo 4.909 AAA 106,938 11,521,271.50 4 .09 31359MJX2 5,2501 06/15/2006 DD 06/22/01 AAA 12,137,508.40 3 .15 845,763.78 FNMA POOL 10254510 .ooo 4 .887 AAA 102,305 871,136,70 ,29 31371KVB4 5.000% 11/01/2017 DD 10/01/02 AAA 865,256.01 ,22 178,775.18 FNMA POOL 10254631 ,000 4.893 AAA 102,180 184,138,44 .06 31371KY47 5,0001 02/01/201B DD 01/01/03 AAA 182,671.92 ,05 161,395.17 FNMA POOL 10254760 .ooo 4,893 AAA 102,1B0 166,237,02 .05 31371K5V9 5.0001 06/01/2018 DD 05/01/03 AAA 164,913.08 .04 70,264.77 FNMA POOL 10254866 .ooo 4,893 AAA 102,180 72,372.72 ,02 31371LCB3 5,0001 09/01/2018 DD 08/01/03 AAA 71,796.32 .02 372,934,60 FNMA POOL 10254953 .ooo 4.B93 AAA 102,1B0 377,712,83 ,12 to 0 31371LE21 5,0001 11/01/2018 DD 10/01/03 AAA 381,063.42 .10 0 ?I'" 994,777.04 FNMA POOL 10254987 .ooo 4,891 AAA 102,220 1,007,522.61 .34 V, 31371LF46 5.0001 12/01/2018 DD 11/01/03 AAA 1,016,861.01 .26 - 212,582.99 FNMA POOL 10323980 ,000 5.694 AAA 105.371 221,949.93 .07 31374T2MO 6.0001 04/01/2014 DD 09/01/99 AAA 224,001.01 .06 32,605.47 FNMA POOL 10357328 .ooo 4.890 AAA 102,242 33,583.63 .01 31376J4M8 5.0001 01/01/2018 DD 01/01/03 AAA 33,336.40 .01 1,607,651.67 FNMA POOL 10357430 .ooo 4,893 AAA 102,180 1,625,737.76 ,55 31376KA71 5.0001 09/01/2018 DD 09/01/03 AAA 1,642,693.49 .43 65,850.21 FNMA POOL 10456482 ,000 5,694 AAA 105,371 68,751.73 .02 31381CCT2 6.000% 02/01/2014 DD 02/01/99 AAA 69,387.08 .02 176,700.55 FNMA POOL 10509649 .ooo 5,694 AAA 105.371 184,486,42 .06 31383QEWO 6.000% 09/01/2014 DD 09/01/99 AAA 186,191.30 .OS 167,522.68 FNMA POOL 10535451 ,000 5,694 AAA 105.371 174,904.15 .05 313B4VZQ8 6.0001 06/01/2015 DD 07/01/00 AAA 176,520.47 .05 3,639,256.33 FNMA POOL 10535672 ,000 5.694 AAA 105.371 3,799,611.07 1.29 313B4WCH1 6.000% 01/01/2016 DD 12/01/00 AAA 3,834,724.06 .99 1,204,979.34 FNMA POOL 10545296 ,000 5,697 AAA 105.321 1,25e,013,74 , 42 31385HXZO 6,0001 11/01/2016 DD 10/01/01 AAA 1,269,097.38 ,33 YLDANAL YIELD ANALYSIS PAGE 7 OCSF07522202 2003/12/31 RUN DATE : 01/07/04 DISTRICT: LONG-TERM OPERATING RUN TIME : 13,46,28 =====--=========-----=======----=--===-===-==-======-=--=---=·=========================================================-====== PAR VALUE 'YT'M A'T CURRENT MOODY HARI<ET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION !1001( YIELD S-P PRICE HARJCET VALUE I TOTAL ------------------------------·--------------------------------------------------------------- 101,480.30 FNMA POOL 10545580 .ooo 5,699 AAA 105.284 105,951,77 .03 31385JCR7 6,000% 03/01/2017 DD 03/01/02 AAA 106,842,10 .03 179,016.37 FNMA POOL 10555101 ,0010 5,691 AAA 105,421 186,904,26 .06 31385WU23 6.000% 10/01/2017 DD 11/01/02 AAA 188,721.01 .05 804,067.43 FNMA POOL 10555285 .ooo 5.796 AAA 103,523 836,230.14 ,28 31385W2S7 6.000% 03/01/2033 DD 02/01/03 AAA 832,398,26 ,22 385,706.07 FNMA POOL 10555363 ,000 4.893 AAA 102,180 397,277,25 ,13 31385W5Yl 5.0001 04/01/2018 DD 03/01/0J AAA 394,113,27 ,10 39,573.60 FNMA POOi. 10555453 .ooo 4,893 AAA 102,180 40,080.64 .01 31385XBW6 5,000\ 0~/01/2018 DD 04/01/0) AAA 40,436,18 .01 tli 773,260.11 FNMA POOL 10555528 .ooo 5. 796 AAA 103.523 804,190.52 .27 0 31385XD95 6,000\ 04/01/20]] DD 05/01/03 AAA 800,505.47 .21 0 :,<;" u, 321,924.57 FNMA POOL 10555545 .000 4.893 AAA 102.180 331,582, 31 .11 N 31385XES2 5,000% 06/01/2018 DD 05/01/03 AAA 328,941.53 ,09 1,116,156.41 FNMA POOL 10555621 ,000 4,891 AAA 102.220 1,128,713.17 .38 31385XG68 5,000% 07/01/2018 DD 06/01/03 AAA 1,140,934.~9 .30 65,121.39 FNMA POOL 10576386 .000 5,719 AAA 104,919 67,990,80 ,02 31386XJ72 6,0001 05/01/2016 DD 05/01/01 AAA 68,324,61 ,02 175,110.78 FNMA POOL 10576739 .000 5,699 AAA 105,284 182,826.60 .06 31386XV86 6,000% 04/01/2016 DD 04/01/01 AAA 184,362,92 .05 234,439.67 FNMA POOL 10580888 ,000 5,698 AAA 105,309 244,769.66 .08 31387DJ91 6,0001 05/01/2016 DD 05/01/01 AAA 246,885,11 .06 185,028.00 FNMA POOL 10594002 ,000 5,708 AAA 105.121 193,180.79 .06 31387TJK8 6,0001 07/01/2016 DD 07/01/01 AAA 194,503,45 ,05 254,514,47 FNMA POOL 10597376 .ooo 5.699 AAA 105,284 265,729,01 .09 31387XT96 6,000% 09/01/2016 DD 08/01/01 AAA 267,961.97 .07 165,183,41 FNMA POOL 10605259 .ooo 5.699 AAA 105,284 172,461.80 ,05 31388HMG1 6,000% 09/01/2016 DD 09/01/01 AAA 173,911.02 .05 103,238.98 FNMA POOL 10608366 .ooo 5.699 AAA 105,284 107,787,95 .03 Jl388LZ78 6,000% 10/01/2016 DD 09/01/01 AAA 108,693.70 .03 YLDANAL YIELD ANALYSIS PAGE 8 OCSF07522202 2003/12/31 RUN DATE I 01/07/04 DISTRICT: LONG-TERM OPERATING RUN TIME 13.46.28 -----------------. --· -----------.-=-------------------=---=-======-==========---==-----=--------=-======---=-=---- PAR VALUE YTH AT CURRENT MOODY MARl(ET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BIOoQJ( YIELD S-P PRICE MARI(ET VALUE I TOTAL ---------------------------------------------------------------------------------------------- 170,576.06 FNMA POOL f0616734 .ooo 5,691 AAA 105.434 178,092.06 .06 31388WEF9 6.000% 12/01/2016 DD 12/01/01 AAA 179,844,46 .05 201,682.55 FNMA POOL f0630812 .000 5. 717 AAA 104.946 210,569.19 .07 Jl389NYH2 6.0001 02/01/2017 DD 02/01/02 AAA 211,657.21 .05 849,074,67 FNMA POOL 10632376 .ooo 5,691 AAA 105,421 886,487.04 .30 31389QQ50 6.000% 07/01/2017 DD 07/01/02 AAA 895,103.77 ,23 486,161.90 FNMA POOL #0653116 .ooo 5.691 AAA 105.421 507,583,41 .17 31390QSD8 6.000% 07/01/2017 DD 07/01/02 AAA 512,517.17 .13 195,677,54 FNMA POOL 10673280 .ooo 5,708 AAA 105.121 204,299.58 .06 31391P6R2 6.000% 08/01/2017 DD 11/01/02 AAA 205,698.36 .05 tt1 577,250 .59 FNMA POOL #0681309 .ooo 4,893 AAA 102,180 594,568.10 .19 0 31391Y3S4 5.000% 02/01/2018 DD 02/01/03 AAA 589,832.86 ,15 0 :,,;- V, 72,721.52 FNMA POOL #0681334 .000 4,893 AAA 102,180 74,903.16 .02 w Jl391Y4Tl 5.000% 02/01/2018 DD 01/01/03 AAA 74,306.62 .02 354,327,35 FNMA POOL 10684908 .ooo 4 ,889 AAA 102,280 358,867.17 .12 31400D3Rl 5.000% 06/01/2018 DD 05/01/03 AAA 362,404.92 .09 207,000.26 FNMA POOL 10685200 ,000 4,893 AAA 102,180 209,652.45 .07 31400EGH7 5,0001 03/01/2018 DD 03/01/03 AAA 211,512.22 .05 36,851.84 FNMA POOL t0685665 .ooo 4,893 AAA 102.180 37,957.40 .01 Jl400EW22 5.0001 02/01/2018 DD 02/01/03 AAA 37,655.10 .01 315,693.66 FNMA POOL 10686318 ,000 4.893 AAA 102.180 325,164.47 .10 31400FPB7 5,0001 03/01/2018 DD 03/01/03 AAA 322,574 .80 .00 124,019.73 FNMA POOL #0688739 .ooo 4,893 AAA 102.180 127,740,32 .04 31400JEL9 5,0001 06/01/2018 DD 06/01/03 AAA 126,722,98 .03 127,379,92 FNMA POOL 10689859 .ooo 4,893 AAA 102,180 129, Oll. 97 .04 31400KMG8 5,000% 05/01/2018 DD 05/01/03 AAA 130,156,41 .03 751,602.57 FNMA POOL t0693834 .ooo 4 ,887 AAA 102,305 774,150.65 ,25 31400PY74 5.000% 03/01/2018 DD 03/01/03 AAA 768,924.68 .20 274,843,04 FNMA POOL 10695852 .ooo 4,893 AAA 102,180 283,088,33 .09 31400SBVO 5.000% 05/01/2018 DD 05/01/03 AAA 280,833.77 .07 YLDANAL YIELD ANALYSIS PAGE : 9 OCSF07522202 2003/12/31 RUN DATE : 01/07/04 DISTRICT: LONG-TERM OPERATING RUN TIME 13.46.28 --------------------------------------------------------=-------·-·-----=--=-==--=--=-==-==-======-====-===;-=:.-=·=·=;::-:===-=:====-=.==--_;__. PAR VALUE Y'I"'H AT CURRENT MOODY MARJ<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARJ<ET VALUE % TOTAL ----------------------------------------------------------------------------------------------- 840,600.93 FNMA POOL 10695089 ,000 4.093 AAA 102.180 865,901.35 .20 31400SC23 5,000% 05/01/2010 DD 05/01/03 AAA 859,005.17 .22 27,009.43 FNMA POOL 10697026 .ooo 4,893 AAA 102.180 27,902.13 .oo 31400TLF2 5.000% 05/01/2018 DD 04/01/03 AAA 27,679.90 .01 91,957.96 FNMA POOL 10698939 .ooo 5.691 AAA 105.434 96,009.86 .03 31400VPY2 6.000% 09/01/2017 DD 03/01/03 AAA 96,954.58 .03 277,879 ,67 FNMA POOL 10702210 .ooo 4.891 AAA 102.220 286,216.06 .09 31401ADP9 5.000% 05/01/2018 DD 05/01/03 AAA 284,048.58 .01 149,630.61 FNMA POOL 10702328 .000 4.893 AAA 102.180 151,547.76 .05 31401AHD2 5.000% 05/01/2018 DD 04/01/03 AAA 152,892.09 .04 82,358.61 FNMA POOL 10703195 .ooo 5.684 AAA 105.559 85,987.54 .02 t::c 31401BGC3 6.000% 01/01/2017 DD 04/01/03 0 AAA 86,936.59 .02 0 I:',' 302,649.05 FNMA POOL 10709148 .ooo 4.893 AAA 102.180 311,728.52 .10 Ul 31401HZM7 5.000% 06/01/2018 DD 06/01/03 AAA 309,245.86 .OB .p.. 698,961.00 FNMA POOL 10709360 .ooo 4.893 AAA 102,180 707,916.44 .24 31401JB56 5.000% 07/01/2018 DD 06/01/03 AAA 714,196.18 .19 145,426.99 FNMA POOL 10709826 .ooo 4.893 AAA 102,180 147,290.27 .05 31401JSP4 5.000% 06/01/2018 DD 06/01/03 AAA 148,596.85 .04 265,628.29 FNMA POOL 10709917 ,000 4,893 AAA 102.180 269,031.65 .09 31401JVJ4 5.000% 06/01/2018 DD 06/01/03 AAA 271,418.16 .07 27,155.10 FNMA POOL 10709963 .ooo 4.891 AAA 102.220 27,503.03 .oo 31401JWYO 5.000% 06/01/2018 DD 06/01/03 AAA 27,757.94 .01 807,079.03 FNMA POOL 10710235 .ooo 4.893 AAA 102.100 831,291.41 .27 31401KBCB 5.000% 06/01/2018 DD 06/01/03 AAA 824,670.85 .21 25,800.14 FNMA POOL 10713344 .ooo 4,893 AAA 102.180 26,574.14 .oo 31401NP52 5.000% 06/01/2018 DD 06/01/03 AAA 26,362.50 .01 336,717.67 FNMA POOL 10713365 .ooo 4.893 AAA 102.100 341,031.86 .11 31401NQS1 5.000% 07/01/2018 DD 07/01/03 AAA 344,057.07 .09 992,167.21 FNMA POOL 10720319 .ooo 4,893 AAA 102.180 1,004,879.35 .34 31401WG45 5,000% 07/01/2018 DD 07/01/03 AAA 1,013,793.38 .26 YLDANAL YIELD ANALYSIS PAGE 10 OCSF07522202 2003/12/31 RUN DATE I 01/07/04 DISTRICT: LONG-TERM OPERATING RUN TIHE I 13.46.28 -----------------------------------------------------------------------------------------------------------====---------===== PAR VALUE YT'H AT CURRENT MOODY HARXET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BIOOK YIELD S-P PRICE HARl(ET VALUE I TOTAL --------------------------------··--------------------------------------------------------------- 2,439,536.98 FNMA POOL 10720369 .ooo 4 ,891 AAA 102.220 2,512,723.09 .84 31401WJNO 5,0001 06/01/2018 DD 06/01/03 AAA 2,493,694.51 .65 315,691.37 FNMA POOL 10721629 ,000 4.897 AAA 102,305 325,162.12 .10 31401XVW4 S,0001 07/01/2019 DD 06/01/03 AAA 322,967.08 .oe 253,209.80 FNMA POOL 10723487 ,000 4.893 AAA 102,180 256,058.41 ,08 31402AXQ4 5,000% 06/01/2018 DD 06/01/03 AAA 258,728.99 .07 430,832.16 FNMA POOL 10729601 ,000 4.893 AAA 102,180 436,352.20 ,14 Jl402HRW3 5,0001 07/01/2018 DD 07/01/03 AAA 440,222.97 .11 36,580.96 FNMA POOL 10732873 ,000 4.883 AAA 102,405 37,049.65 .01 31402HFN5 5.0001 11/01/2018 DD 10/01/03 AAA 37,460.62 .01 751,447,78 FNMA POOL 10737130 ,000 4,893 AAA 102,180 761,075.70 ,25 t,:I J1402S4P9 5,0001 10/01/2018 DD 10/01/03 AAA 767,827.01 .20 0 0 592,771.45 FNMA POOL 10738211 ,000 4.891 AAA 102.220 600,366.34 .20 ~ UI J1402UDQ2 5,0001 10/01/2018 DD 10/01/03 AAA 605,930.93 .16 UI 225,351.96 FNMA POOL 10738487 ,000 4.893 AAA 102.180 228,239.28 .07 31402UNC2 5.0001 10/01/2019 DD 10/01/03 AAA 230,263.93 .06 700,464.06 FNMA POOL 10740471 .ooo 4.891 AAA 102.220 709,438.75 ,24 31402WT40 5,0001 10/01/2018 DD 10/01/03 AAA 716,014.31 .19 830,872.68 FNMA POOL 10740748 ,000 4.893 AAA 102,180 841,518.23 ,28 31402WSH7 5,0001 10/01/2018 DD 11/01/03 AAA 848,983.13 .22 1,183,643.76 FNMA POOL 10744008 .000 4,893 AAA 102,180 1,198,809.19 ,40 31403BR54 5,0001 07/01/2018 DD 09/01/03 AAA 1,209,443.52 .31 175,843,14 FNMA POOL 10744316 .ooo 4.891 AAA 102.220 178,096.13 .06 31403B3Z4 5.0001 09/01/2018 DD 09/01/03 AAA 179,746.84 ,05 362,925,28 FNMA POOL 10747914 .ooo 4.893 AAA 102.180 367,575,26 .12 31403F3XO 5,0001 11/01/2018 DD 11/01/03 AAA 370,835.93 .10 244,330.37 FNMA POOL 10748400 .ooo 4,891 AAA 102.220 247,460.86 .08 31403GNR9 5,0001 08/01/2018 DD 09/01/03 AAA 249,754.48 .06 1,039,682.54 FNMA POOL 10748899 ,000 4.896 AAA 102.121 1,053,003.47 .35 31403G7LO 5,0001 12/01/2018 DD 11/01/03 AAA 1,061,738.36 .28 YLDANAL YIELD ANALYSIS PAGE 11 OCSF07522202 2003/12/31 RUN DATE 01/07/04 DISTRICT: LONG-TERM OPERATING RUH TIME 13.46.28 ------------------------------------------------------------------=========================================================== PAR VALUE Y'TH AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE HARI<ET VALUE I TOTAL ---------------------------------·-------------------------------------------------------------- 2,550,466.67 FNMA POOL 10750377 .ooo 4,896 AAA 102.121 2,583,144.52 .87 31403JUA2 5,0001 11/01/2018 DD 11/01/03 AAA 2,604,572.24 .68 2,138,225.97 FNMA POOL 10750380 .ooo 4.896 AAA 102.121 2,165,622,00 .73 31403JUD6 5,0001 11/01/2018 DD 11/01/03 AAA 2,183,586.27 .57 194,148.32 FNMA POOL 10750445 ,000 4.896 AAA 102.121 196,635.84 .06 31403JWE2 5 .0001 11/01/2018 DD 11/01/03 AAA 198,266,98 .OS 914,095.83 FNMA POOL 10751960 .ooo 4.891 AAA 102.220 925,807.69 .31 31403LHH1 5,0001 12/01/2018 DD 11/01/0l AAA 934,388.68 .24 995,372.46 FNMA POOL IOE>l425 .ooo 4.893 AAA 102,180 1,006,881.45 . 34 31403NA2J 5,0001 11/01/2018 DD 11/01/0l AAA 1,017,068.49 .26 ttJ 653,924.60 FNMA POOL 10755165 .ooo 4.893 AAA 102.180 662,303.00 .22 0 31403Q6A3 5.0001 12/01/2018 DD 11/01/03 AAA 668,178 .13 .17 0 ~ Vt 995,525.56 FNMA POOL 10756372 .ooo 4.893 AAA 102,180 1,007,036,32 .34 °' 31403SJR8 S,0001 11/01/2018 DD 11/01/03 AAA 1,017,224.93 .26 45,596.00 FNMA POOL 10765165 .ooo 4.937 AAA 101.281 46,180.20 .01 31404DCA4 5 ,0001 11/01/2018 DD 11/01/03 AAA 46,180.20 .01 336,975,86 GNMA POOL 10596612 .ooo 6,152 AAA 105,660 353,666.69 .12 36200BYH4 6 ,5001 09/15/2032 DD 09/01/02 AAA 356,049.23 ,09 1,220,097.30 GNMA POOL 10569358 .000 6,161 AAA 105.507 1,248,693.33 ,43 36200QQK3 6 ,5001 04/15/2032 DD 04/01/02 AAA 1,287,291.21 .33 53,160.94 GNMA POOL 10569685 .ooo 6.150 AAA 105.691 55,794.06 .01 36200Q2S2 6 ,5001 02/15/2032 DD 02/01/02 AAA 56,186.55 .01 90,472,27 GNMA POOL 10570019 .ooo 6.152 AAA 105.660 94,953.48 .03 36200RG48 6,5001 07/15/2032 DD 07/01/02 AAA 95,593.15 .02 558,690.44 GNMA POOL 10574323 .ooo 6.150 AAA 105.691 586,363,08 .19 36200WAY7 6.5001 12/15/2031 DD 12/01/01 AAA 590,487.80 • 15 59,181.88 GNHA POOL f0575364 .ooo 6.150 AAA 105,691 62,113.23 .02 36200XFD6 6,500% 11/15/2031 DD 11/01/01 AAA 62,550.16 .02 21,553.91 GNHA POOL 10587117 .000 6.150 AAA 105.691 22,621.50 .oo 36201HG22 6.5001 06/15/2032 DD 06/01/02 AAA 22,780.63 .01 YLDANAL YIELD ANALYSIS PAGE 12 OCSF07522202 2003/12/31 RUN DATE 01/07/04 DISTRICT: LONG-TERM OPERATING RUN TIME 13,46,28 =-=~==--~------=--==================------===---==--===-=-----=============================================================== PAR VALUE YT'H AT CURRENT MOODY HARXET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE HARJCET VALUE I TOTAL ------------------------------------------------------------------------------------------------ 65,141.43 GNMA POOL 10587439 ,000 6.152 AAA 105.660 68,367.96 .02 36201HS45 6,5001 11/15/2032 DD 12/01/02 AAA 68,828.54 .02 14,938.65 GNMA POOL 10421389 .ooo 6 .130 AAA 106,035 15,678.59 .oo 36206UC23 6.5001 04/15/2026 DD 04/01/96 AAA 15,840.22 .oo 24,972.91 GNMA POOL 10449851 .ooo 6.155 AAA 105,611 26,209.85 .oo 36208f'WLO 6.5001 01/15/2028 DD 01/01/98 AAA 26,374.06 .01 67,365.96 GNMA POOL 10466845 .ooo 6 .137 AAA 105.910 70,702.68 .02 36209BTA6 6.5001 06/15/2028 DD 06/01/98 AAA 71,347.40 .02 260,930.32 GNMA POOL 10468052 .ooo 6.137 AAA 105,910 273,854.52 .09 36209C5H4 6.5001 07/15/2028 DD 07/01/98 AAA 276,351.72 .07 212,869.16 GNHA POOL 10476041 .ooo 6 .137 AAA 105. 910 223,080.23 .07 ttl 36209HZE7 6,5001 06/15/2028 DD 06/01/98 AAA 225,450.07 .06 0 0 :;,;-164,280.07 GNMA POOL f0478626 ,000 6,143 AAA 105.816 172,160.38 ,05 u, 36209QVT9 6.5001 01/15/2029 DD 01/01/99 AAA 173,835.27 .05 -.J 169,313.94 GNMA POOL 10480598 .ooo 6,137 AAA 105.910 177,435.73 .06 36209S3F6 6.5001 10/15/2028 DD 10/01/98 AAA 179,320,66 .05 460,065.96 GNMA POOL 10485527 .ooo 6.150 AAA 105.691 482,853.60 .16 36209YLG1 6.5001 06/15/2031 DD 06/01/01 AAA 486,250.20 ,13 519,423.75 GNHA POOL 10485610 .ooo 6.150 AAA 105.691 545,151.46 .18 36209YN38 6,5001 07/15/2031 DD 07/01/01 AAA 548,986.29 .14 105,649.63 GNHA POOL 10485682 .ooo 6,150 AAA 105.691 ll0,882.59 .03 36209YRB6 6,5001 08/15/2031 DD 08/01/01 AAA lll,662.58 .OJ 100,873.49 GNHA POOL 10485703 .ooo 6.150 AAA 105.691 105,869.89 .03 36209YRY6 6.5001 08/15/2031 DD 08/01/01 AAA 106,614.61 .03 10,933.58 GNHA POOL 10512235 .000 6 .143 AAA 105.816 11,475.13 .oo 36211GBC6 6,5001 11/15/2029 DD 11/01/99 AAA 11,569.52 ,00 167,769.61 GNMA POOL 10514326 .ooo 6.143 AAA 105.816 175,817.30 .05 36211JLF2 6.5001 07/15/2029 DD 07/01/99 AAA 177,527.78 .05 51,641.65 GNMA POOL 10530053 .ooo 6.161 AAA 105.497 54,199.53 .01 36212CZS3 6.5001 04/15/2031 DD 04/01/01 AAA 54,480.31 .01 YLDANAL YIELD ANALYSIS PAGE 13 OCSF07522202 2003/12/31 RUN DATE 01/07/04 DISTRICT: LONG-TERM OPERATING RUN TIME : 13.46.28 ---------------------------------------------------------------------=========================--==========--================= PAR VALUE Y'lf'M AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL ----------------------------------------------------------------------------------------------- 105,041.92 GNHA POOL 10537885 .ooo 6,150 AAA 105.691 110,244.77 ,OJ 36212HRE1 6.5001 02/15/2031 DD 02/01/01 AAA 111,020.29 .03 13,368.71 GNHA POOL 10547512 ,000 6.150 AAA 105,691 14,030,88 .oo 36212YGV9 6,5001 04/15/2031 DD 04/01/01 AAA 14,129.58 ,00 128,337,46 GNMA POOL 10547715 .000 6 .150 AAA 105.691 134,493.65 .04 36212YN82 6.5001 02/15/2031 DD 02/01/01 AAA 135,641.67 .04 77,723,07 GNMA POOL fOS52322 .ooo 6,150 AAA 105,691 81,572,79 .02 36213ESKJ 6,5001 01/15/2032 DD 01/01/02 AAA 82,146.61 .02 S95,133,47 GNHA POOL 105S2466 ,000 6,161 AAA 105.507 624,611.18 ,21 36213EW36 6,5001 03/15/2032 DD 03/01/02 AAA 627,909.01 .16 to 457,133,87 GNMA POOL 10552659 .000 6,150 AAA 105.691 479,776.27 ,16 ~ 36213ESU6 6,5001 07/1S/2032 DD 07/01/02 AAA 483,151,23 ,13 l/1 457,984.66 GNMA POOL 10561017 ,000 6,150 AAA 105,691 480,669,21 .16 00 36213QG29 6,S001 07/15/2031 DD 07/01/01 AAA 484,050.44 .13 276,925.69 GNMA II POOL 10080395 ,000 3,461 AAA 101. 141 274,416.05 .09 36225CNM4 VAR RT 04/20/2030 DD 04/01/00 AAA 280,086.52 .07 2,477,095.70 GNMA II POOL I080408X .ooo 3,462 AAA 101.089 2,451,937.69 .84 36225CN28 6.5001 05/20/2030 DD 05/01/00 AAA 2,504,058.89 .65 s,000,000.oo GENERAL ELEC CAP MTN ITR 00575 ,000 S,239 AAA 104. 031 5,201,500.00 1.75 36962GZY3 5.4501 01/15/2013 DD 12/06/02 AAA 5,201,sso.oo 1.35 3,000,000.00 GENERAL MTRS ACCEP CORP SR NT .000 5.703 Al 107.406 3,064,350.00 1.08 370425SD3 6,1251 08/28/2007 DD 08/29/02 BBB 3,222,180.00 .84 3,000,000.00 GOLDMAN SACHS GROUP INC SR NT ,000 4,023 AA3 102,531 3,030,030.00 1.03 38141GCS1 4,1251 01/15/2008 DD 01/13/03 A+ 3,075,930.00 ,80 1,635,000.00 HOUSEHOLD FIN CORP NT ,000 5,789 Al 110.125 1,772,820.00 .60 441812JW5 6,3751 10/15/2011 DD 10/23/01 A 1,800,543.75 .47 J,000,000.00 JP MORGAN CHASE & CO SUB NT .ooo 5,453 A2 105,453 3,127,260.00 1.06 46625HAT7 5,7501 01/02/2013 DD 11/25/02 A 3,163,590.00 .82 3,200,000.00 MORGAN STANLEY NT ,000 3,620 AAJ 100,140 3,195,648.00 1.08 617446HW2 3.6251 04/01/2008 DD 03/06/03 A+ 3,204,480.00 .83 YLDANAL YIELD ANALYSIS PAGE 14 OCSF07522202 2003/12/31 RUN DATE 01/07/04 DISTRICT: LONG-TERM OPERATING RUN TIME 13.46.28 ----------------------=-=-----------------------=----------------------=====-------=--===---==-=-----======----=--==----=====-= PAR VALUE Y'l'H AT CURRENT MOODY HARl(ET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BCJOK YIELD S-P PRICE HARl(ET VALUE I TOTAL -------------------------------------------------------------------------------------------------- 3,000,000.00 NATIONAL RURAL UTILS COOP FIN ,000 6.222 A2 116,515 3,465,480.00 1.17 637432CU7 7.2501 03/01/2012 DD 03/07/02 A 3,495,450.00 ,91 1,000,000.00 PHILIP HORRIS COS INC NTS .ooo 7.423 BAA2 101.031 1,052,600.00 .34 718154CH8 7,5001 04/01/2004 DD 04/01/97 BBB 1,010,310.00 .26 1,000,000.00 RESIDENTIAL ASSET 03-RSll AIIB ,000 1.472 AAA 99.875 1,000,000.00 .33 760985KB] VAR RT 12/25/2033 DD 12/30/03 AAA 998,750.00 .26 3,497,276,28 SBA GTD DEV PARTN 2001-20C 1 .000 5. 834 AAA 108.670 3,497,276.28 1.28 83162CLJO 6.340% 03/01/2021 AAA 3,800,490.13 .99 2,425,788.58 SBA GTD PARTN CTFS SBIC-PS 01 ,000 6.250 AAA 106,245 2,425,788.58 .86 831641DD4 6 ,640% 02/10/2011 DD 02/21/01 NR 2,577,279.08 .67 t,:I 1,600,000.00 UNITED AIRLS PASSTHRU 01-1 C .ooo 39,757 CA 17.182 1,600,000.00 ,09 0 909317BC2 6 ,831% 03/01/2010 DD 08/22/01 A-274,912.00 .07 0 :>;"" U'l 20,000,000.00 US TREASURY NOTES .ooo 5.605 AAA 111. 500 22,620,312.50 7.52 \0 9128272JO 06 .2501 02/15/2007 DD 02/15/97 AAA 22,300,000,00 5,78 3,435,480.00 US TREASURY INFLATION INDEX NT ,000 3.277 AAA 110,625 3,746,156.05 1.28 9128273T7 J,6251 01/15/2008 DD 01/15/98 AAA 3,800,499.75 .99 14,665,170.00 US TREASURY INFLATION INDEX NT ,000 3.430 AAA 112. 969 16,296,705.73 5.58 9128274Y5 3,8751 01/15/2009 DD 01/15/99 AAA 16,567,095.90 4.30 s1,100,ooo.oo US TREASURY NOTES .000 5.353 AAA 107.406 62,782,901.47 20.69 9128276N7 05.7501 11/15/2005 DD 11/15/00 AAA 61,329,111.50 15,91 12,000,000.00 US TREASURY NT .ooo 3.229 AAA 100.660 11,870,156.25 4.07 912828BG4 J,2501 08/15/2008 DD 08/15/03 AAA 12,079,200.00 3.13 J,000,000.00 VERIZON GLOBAL FOG CORP GLOBAL .ooo 6.365 A2 115.875 3,530,490.00 1.17 92344GATJ 7,3751 09/01/2012 DD 08/26/02 A+ 3,476,250.00 .90 1,750,000.00 VIRGINIA ELEC & PWR 01 SER A .ooo 5.371 Al 107.062 I, 743,840.00 .63 927804ENO 5.7501 03/31/2006 DD 03/27/01 BBB+ 1,873,585.00 ,49 16,347,940.00 US TREASURY INFLATION INDEX NT 3:,,817 3 .114 AAA 108.375 14,422,710.98 5.97 9128272H3 3.3751 01/15/2007 DD 01/15/97 AAA 17,717,079.98 4 ,60 15,500,ooo.oo FEDERAL NATL MTG ASSN DEBS ~ ,967 6,705 AAA 106.261 16,154,410.00 5.55 31359MFH1 7,1251 02/15/2005 DD 02/14/00 AAA 16,470,476.70 4.27 YLDANAL YIELD ANALYSIS PAGE I 1S OCSF07522202 2003/12/31 RUN DATE 01/07/04 DISTRICT: LONG-TERM OPERATING RUN TIME 13.46.28 ===============-=============-------===========--======-====-============-=======================================-------===== PAR VALUE YT'H AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARJ(ET VALUE % TOTAL --------------------------------------------------------------------------------------------·---- 1,088,725.74 FHLHC HULTICLASS MTG SER El A 6,316 3.774 AAA 101.717 1,089,885.64 .37 3l33TCE9S VAR RT 08/15/2032 DD 12/01/97 AAA 1,107,419.16 .29 725,638.94 GNMA GTD REMIC TR 2000-9 FH 6. 320 1.643 AAA 100.681 725,638.94 .24 3837H4NX9 VAR RT 02/16/2030 AAA 730,580,54 ,19 7,327.03 GNMA POOL 10500917 6. 389 5.747 AAA 104.398 6,954.95 .oo 36210SPAO 6.000% 04/15/2029 DD 04/01/99 AAA 7,649.31 .oo 36,727,75 GNMA POOL 10506636 6. 389 5. 747 AAA 104,398 34,862.66 .01 36210YY90 6.000% 04/15/2029 DD 04/01/99 AAA 38,343.20 .01 317,562.14 GNMA POOL 10503388 6,389 5. 747 AAA 104. 398 301,435,94 .11 36210VF5S 6.000% 03/15/2029 DD 03/01/99 AAA 331,529.92 .09 to 12,669.69 GNMA POOL 10499153 6,389 5.747 AAA 104. 398 12,026.31 .oo 0 36210QQE5 6,000% 02/15/2029 DD 02/01/99 AAA 13,226.96 .oo 0 :,,:;-440,836.95 POOL 10496461 6 .390 S.747 AAA 104. 398 418,450.69 0\ GNMA .15 0 36210HQN4 6.000% Ol/1S/2029 DD 01/01/99 AAA 460,226,90 .12 107,847,98 GNMA POOL 10491103 6-. 390 5.747 AAA 104,398 102,371.34 .03 36210FRY4 6,000% 01/15/2029 DD 01/01/99 AAA 112, S91.61 .03 12,287.36 GNMA POOL 10486720 6 , 390 5.747 AAA 104.398 11,663.40 .00 36210AVM6 6,000% 12/15/2028 DD 12/01/98 AAA 12,827.81 .00 23,358.26 GNMA POOL 10497343 6 .390 5. 747 AAA 104.398 22,172,10 .oo 36210NP45 6,000% 12/15/2028 DD 12/01/98 AAA 24,385.66 .01 16,366,70 GNMA POOL 10469688 6 • 391 5. 747 AAA 104,398 15,535.57 .00 36209EXR8 6.000% 11/15/2028 DD 11/01/98 AAA 17,086.S8 .oo 22,840.65 GNMA POOL 10467279 6 , 391 S.747 AAA 104.398 21,680.78 .oo 36209CCQ7 6.000% 10/15/2028 DD 10/01/98 AAA 23,845.28 .01 38,349.79 GNMA POOL 10457814 6 • 391 5.747 AAA 104.398 36,402.33 .01 36208QSB3 6,000% 10/15/2028 DD 10/01/98 AAA 40,036.58 .01 398,071.70 GNMA POOL 10467286 & • 391 5.747 AAA 104,398 377,857.12 .14 36209CCX2 6.000% 10/15/2028 DD 10/01/98 AAA 415,580.64 ,11 494,398.16 GNMA POOL I04655SS & • 392 5. 747 AAA 104.398 469,292,01 .17 36209AE48 6.000% 09/15/2028 DD 09/01/98 AAA 516,143.97 .13 YLOANAL YIELD ANALYSIS PAGE 16 OCSF07522202 2003/12/31 RUN DATE 01/07/04 DISTRICT: LONG-TERM OPERATING RUN TIME : 13.46.28 0 ... ----~~~=-::--. ---. -. ---------------------------------==-----------======================================================== PAR VALUE Y'J'M AT CURRENT MOODY MARJCET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION 8001( YIELD S-P PRICE MARKET VALUE I TOTAL --------------------------------------------------------------------------------------------------- 13,190.47 GNMA POOL 10483452 6,392 5 ,747 AAA 104.398 12,520.65 .oo 36209WBV3 6,0001 09/15/2028 DD 09/01/98 AAA 13,770.64 .oo 459,044.75 GNMA POOL 10465546 6,392 5. 747 AAA 104.398 435,733.89 .16 36209AET3 6.0001 08/15/2028 DD 08/01/98 AAA 479,235.56 ,12 320,888.06 GNHA POOL 10468339 6 . 392 5,747 AAA 104.398 304,592.98 .11 36209DHQO 6,0001 08/15/2028 DD 08/01/98 AAA 335,002.13 .09 29,383.16 GNMA POOL 10438057 6 .393 5. 747 AAA 104.398 27,891.06 .01 36207PTN9 6.0001 05/15/2028 DD 05/01/98 AAA 30,675.56 .01 18,872.20 GNHA POOL 10468330 6. 393 5. 747 AAA 104.398 17,913.83 .oo 36209DHF4 6 ,0001 05/15/2028 DD 05/01/98 AAA 19,702.28 .01 t,:; 3,017,014.63 FHLMC MULTICLASS CTF SER 1620Z 6 .499 5. 720 AAA 104.897 2,860,874.69 1.06 0 3133Tl 7A4 6.0001 11/15/2023 DD 11/01/93 AAA 3,164,757.84 .82 0 :,;" 330,186.28 GNMA II POOL f080088M 6,705 4.295 AAA 101.859 337,409.10 °' .11 -36225CC20 7.3751 06/20/2027 DD 06/01/97 AAA 336,325.10 .09 2,000,000.00 MARSH, MCLENNAN COS INC SR NT 6,717 6,476 A2 102.296 1,992,280.00 ,69 571748AB8 6,6251 06/15/2004 DD 06/14/99 AA-2,045,920.00 .53 2,500,000.00 FORD MTR CR CO GLOBAL LANDMARK 6i>. 739 6 .533 A3 102.562 2,495,900.00 ,86 345397SJ3 6.7001 07/16/2004 DD 07/16/99 BBB-2,564,050.00 .67 2,500,000.00 COUNTRYWIDE HOME LNS INC NT 6 .866 6.690 A3 102.390 2,498,400.00 .86 22237UAB8 6.8501 06/15/2004 DD 06/24/99 A 2,559,750.00 .66 229,651.39 GNHA II POOL 10080023 6 .992 4.504 AAA 102.682 233,454.99 .07 36225CAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 235,811.10 .06 2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7,113 5.800 AAA 114,226 2,030,133.00 .00 31359MEY5 6.6251 09/15/2009 DD 09/01/99 AAA 2,398,750.83 .62 1,000,000.00 FORD MOTOR CR CO NT , ,582 6,440 Al 104.812 965,170.00 .35 345397GV9 6,7501 05/15/2005 DD 05/24/93 BBB-1,048,120.00 .27 945,920.02 WMP/HUNTOON PAIGE 1000-11150 , .684 7,319 AAA 102.471 925,375.83 .32 302998GE3 7,5001 12/01/2030 DO 10/21/99 AAA 969,290.77 .25 3,000,000.00 PACIFICORP SECD MTN ITR 00115 , . 709 6.995 A3 104.359 2,950,530.00 1.05 69512EEU5 7,3001 10/22/2004 DD 10/22/92 A 3,130,770.00 .Bl to 0 i °' N YLDANAL OCSF07522202 DISTRICT: LONG-TERM OPERATING YIELD ANALYSIS 2003/12/31 PAGE RUN DATE RUN TIME 17 01/07/04 13.46.28 ==-===--================ ==================-----------=-=--------===------------================-==------===============---- PAR VALUE SECURITY ID SECURITY DESCRIPTION 1,600,000.00 ALLSTATE CORP SR NT 020002AL5 7.8751 05/01/2005 DD 05/01/00 TOTAL FIXED INCOME SECURITIES TOTAL Y'lI'H AT BOOK ii , 967 , 375 .358 CURRENT MOODY MARKET YIELD S-P PRICE 7.300 Al 107.875 A+ 5,222 4.986 TOTAL COST/ MARKET VALUE 1,594,032.00 1,726,000.00 291,995,092.47 296,391,934.93 381,162,869.51 385,559,711.97 ===-:..· -====--== I TYPE I TOTAL .58 .45 100.00 76,91 100.00 100.00 Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund December 31, 2003 Par Value Book Value Market Value Rate Balance December 1, 2003 $31,000,246 $31,000,246 $31,000,246 1.545 Deposits: 12/11/2003 9,700,000 9,700,000 9,700,000 1.545 12/18/2003 4,000,000 4,000,000 4,000,000 1.545 Total Deposits 13,700,000 13,700.000 13,700,000 1.545 Withdrawals: 12/3/2003 (500,000) (500,000) (500,000) 1.545 12/4/2003 (2,600,000) (2,600,000) (2,600,000) 1.545 12/10/2003 (2,000,000) (2,000,000) (2,000,000) 1.545 12/19/2003 (3,500,000) (3,500,000) (3,500,000) 1.545 12/23/2003 (2,000,000) (2,000,000) (2,000,000) 1.545 Total Withdrawls (10,600,000) (10,600,000) (10,600,000) 1.545 Balance December 31, .2003 $34.100.246 $34,100,246 $34.100,246 1.545 Book 64 Yield 1.545 1.545 1.545 1.545 1.545 1.545 1.545 1.545 1.545 1.545 1.545 FAHR COMMITTEE Meeting Date 02/11/04 AGENDA REPORT Item Number FAHR04-07 Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller SUBJECT: SWAP REPORT FOR THE QUARTER ENDED DECEMBER 31, 2003 GENERAL MANAGER'S RECOMMENDATION Receive and file Swap Report for the quarter ended December 31, 2003. SUMMARY To Bc:I. of Dir. 02/25/04 Item Number In August 2003, the Committee approved an Interest Rate Exchange Agreement Policy that 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. As required by this policy, following are the quarterly monitoring and reporting requirements and status at December 31, 2003: Requirement Highlight all material changes to hedging product agreements including counterparty downgrades and/or terminations. Results: The District currently utilizes two hedging product agreements, the AIG Swap agreement and the Soc Gen Swap Agreement. The AIG Swap agreement was originally entered into in October 1, 1992 in order to convert the Refunding Certificates of Participation, 1992 Series (the "1992 Certificates") to a fixed rate obligation. There have been no material changes to the agreement. American International Group, lnc.'s current ratings are AAA and Aaa from Standard and Poor's and Moody's, respectively. The Soc Gen Swap Agreement was originally entered into in September 1, 1993 in order to convert the Refunding Certificates of Participation, 1993 Series (the "1993 Certificates) to a fixed rate obligation. There have been no material changes to the agreement. Soc Gen's current ratings are AA-and Aa3 from Standard and Poor's and Moody's, respectively. Requirement Summarize any new hedging products entered into by the District since the last report. Results: No new hedging products have been entered into by the District since the last report covering the period ended September 30, 2003. As stated above, the District utilizes only two hedging product agreements, the AIG Swap agreement entered into in 1992, and the Soc Gen Swap Agreement, entered into in 1993. Book 65 Requirement Summarize 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. Results: The District currently is not planning any additional hedging product transactions at this time. Requirement List any amounts which were required to be paid and received, and any amounts which actually were paid and received under each outstanding hedging product over the last quarter; Results: Following are the amounts that were actually paid and received under the District's two swap agreements. All amounts required to be paid and received were actually paid and received. October Paid by the District to the Swap Provider Paid by the Swap Provider on behalf of the District August Paid by the District to the Swap Provider Paid by the Swap Provider on behalf of the District September Paid by the District to the Swap Provider Paid by the Swap Provider on behalf of the District Requirement 1992 Certificates AIG Swap 1993 Certificates Soc Gen Swap $161,500.00 $ (34,815.07) $161,500.00 $ (34,279.46) $161,500.00 $ (37,454.18) List 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. Results: Credit Enhancements, liquidity facility or reserves associated with the 1992 Certificates AIG Swap: -Lloyds Bank Letter of Credit cost for the quarter ended October 31, 2003: $72,485.42 H:\deptlagenda\FAHRIFAHR2004\0204\04·07.SWAP Report.doc Revised: 06/04/03 Book 66 Page 2 Credit Enhancements, liquidity facility or reserves associated with the 1993 Certificates Soc Gen Swap: -Soc Gen Irrevocable Letter of Credit: No costs or expenses incurred during the quarter ended December 31, 2003. Credit Enhancements, liquidity facility or reserves associated with the 2000 Certificates: -Dexia Public Finance Bank Standby Certificate Purchase Agreement Commitment Fee for the quarter ended October 31, 2003: $73,766.34 Requirement 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. Results: The counter party risk and termination risk has been calculated by Public Resources Advisory Group (PRAG). PRAG used the value at risk methodology in determining the county party risk at maximum exposure over the term of the Swap Agreements. Counterparty exposure limits are important because they create diversification, so if any one counterparty goes bankrupt, the District's total loss would be limited to only one counterparty. The termination risk is what the District would have to pay the counterparty upon a termination of the Swap Agreement. Counterparty Risk Termination Risk Requirement 1992 Certificates AIG Swap $8,360,178 $14,169,481 1993 Certificates Soc Gen Swap $6,621,880 $2,968,809 The report shall also include a copy of this Policy in the quarter after it is adopted or subsequently modified. Results: No modifications have been made to the Policy since its adoption. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECT/CONTRACT COST SUMMARY N/A H:\deptlagenda\FAHR\FAHR2004\0204\04-07.SWAP Report.doc Revised: 06/04/03 Book 67 Page 3 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) ADDITIONAL INFORMATION N/A ATTACHMENTS None. H:ldeptlagenda\FAHRIFAHR2004\0204\04-07.SWAP Report.doc Revised: 06/04/03 Book68 Page4 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Lisa Tomko, Director of Human Resources Originator: Jeff Reed, Human Resources Manager Meeting Date 02/11/04 Item Number FAHR04-08 SUBJECT: CHANGES AND ADDITIONS TO HUMAN RESOURCES POLICIES AND PROCEDURES AS AUTHORIZED BY RESOLUTION 98-33. GENERAL MANAGER'S RECOMMENDATION To Bel. of Dir. 02/25/04 Item Number Adopt Resolution No. OCSD 04-XX, 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 Human Resources Policies and Procedures Manual revisions were presented at the October 2003 FAHR and Board of Directors meetings. PROJECT/CONTRACT COST SUMMARY None 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. IZI Not applicable (information item) ADDITIONAL INFORMATION Policy Number From To Reason for Change and Subject B150.00 Recruitment Current Language. Revised Language. MOU changes. C10.1 O Classification and Compensation Current Language. Revised Language. MOU changes. C20.1 O Equity Adjustments Current Language. Revised Language. MOU changes. C40.00 Extraordinary Services Current Language. Revised Language. MOU changes. Compensation for Exempt Employees in the Professional Grouo H:\dept\agenda\FAHRIFAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 1 Book 69 Policy Number and Subject C170.00 California Wastewater Treatment Plant Operator's Grade V Certificate Pay C190.00 Variable Non Base Pay D10.00 Leave-of-Absence With Pay D30.00 Holidays DS0.00 Insurance D110.00 Catastrophic Illness Leave Donation Program FS0.00 Problem Solving Procedure F60.00 Grievance Procedure F70.00 Discipline ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS 1. Resolution No. OCSD 04-XX 2. Policy B150.00, Recruitment From Current Language. Current Language. Current Language. Current Language. Current Language. Current Language. Current Language. Current Language. Current Language. 3. Policy C10.10, Classification and Compensation 4. Policy C20.10, Equity Adjustments To Reason for Change Revised Language. MOU changes. Revised Language. MOU changes. Revised Language. MOU changes. Revised Language. MOU changes. Revised Language. MOU changes and surviving benefit addition. Revised Language. Surviving benefit addition. Revised Language. MOU changes. Revised Language. MOU changes. Revised Language. MOU changes. 5. Policy C40.00, Extraordinary Services Compensation tor Exempt Employees in the Professional Group 6. Policy C170.00, California Wastewater Treatment Plant Operator's Grade V Certificate Pay 7. Policy C190.00, Variable Non Base Pay 8. Policy D10.00, Leave-of-Absence With Pay 9. Policy D30.00, Holidays 10. Policy D50.00, Insurance 11. Policy D110.00, Catastrophic Illness Leave Donation Program 12. Policy F50.00, Problem Solving Procedure 13. Policy F60.00, Grievance Procedure 14. Policy F70.00, Discipline H:\dept\agenda\FAHRIFAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page2 Book 70 RESOLUTION NO. OCSD 04-XX 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 *"-Jr-It************************** 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 amending Policy No. 8150.00, Recruitment, set forth in Attachment No. 1, attached hereto and incorporated herein by reference. Section 2: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No. C10.10, Classification and Compensation, set forth in Attachment No. 2, attached hereto and incorporated herein by reference. Section 3: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No. C20. 10, Equity Adjustments, set forth in Attachment No. 3, attached hereto and incorporated herein by reference. Section 4: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No.C40.00, Extraordinary Services Compensation for Exempt Employees in the Professional Group, set fourth in Attachment No. 4, attached hereto and incorporated herein by reference. Section 5: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No.C170.00, California Wastewater Treatment Plant Operator's Grade V Certificate Pay, set fourth in Attachment No. 5, attached hereto and incorporated herein by reference. Section 6: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No.C190.00, Variable Non Base Pay, set fourth in Attachment No. 6, attached hereto and incorporated herein by reference. Section 7: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No.O10.00, Leave-of-Absence With Pay, set fourth in Attachment No. 7, attached hereto and incorporated herein by reference. Section 8: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No.O30.00, Holidays, set fourth in Attachment No. 8, attached hereto and incorporated herein by reference. Section 9: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No.D50.00, Insurance, set fourth in Attachment No. 9, attached hereto and incorporated herein by reference. Section 1 O: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No.O110.00, Catastrophic Illness Leave Donation Program, set fourth in Attachment No. 10, attached hereto and incorporated herein by reference. H :\dept\agenda\FAH R\F AH R2004\0204\04-08. HR Policies.doc Revised: 2/3/2004 Page 3 Book 71 Section 11: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No.FS0.00, Problem Solving Procedure, set fourth in Attachment No. 11, attached hereto and incorporated herein by reference. Section 12: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No. F60. 00, Grievance Procedure, set fourth in Attachment No. 12, attached hereto and incorporated herein by reference. Section 13: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No.F70.00, Discipline, set fourth in Attachment No. 13, attached hereto and incorporated herein by reference. Section 14: That all other terms and conditions of Resolution No. OCSD 98-33, as previously recommended, shall remain in full force and effect. Section 15: That all future amendments to Resolution No. OCSD 98-33 be made by Resolution. PASSED AND ADOPTED at a regular meeting held February 25, 2004. Chair ATTEST: Board Secretary H:\deptlagenda\FAHR\FAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page4 Book72 Orange County Sanitation District Subject: Recruitment 1.0 PURPOSE Policy Number: 8150.00 Effective Date: October 22, 2003 'February 25, 2004 Supersedes: February 26, 2003 October 22, 2003 Approved by: Lisa L. Tomko 1.1 The purpose of this policy is to establish uniform guidelines and procedures for tRe Orange County Sanitation District's (OCSD's) recruitment activities. 2.0 ORGANIZATIONAL UNITS AFFECTED 2.1 This policy applies to all District OCSD departments, divisions, sections and employees. 3.0 DEFINITIONS 3.1 Recruitment is the process of attracting qualified individuals to apply for jobs that are open within the organization, whether internal or external. 3.2 Internal recruitment means considering only present employees as applicants for job openings within the organization. 3.3 Open recruitment means attracting applicants from outside the organization, as well as internally to apply for job openings within the organization. 3..4 Probationary Period -Initial as defined in applicable MOU provisions, includes at least the first 6 months or 26 weeks of employment with the District OCSD beginning with the date of hire. This period is regarded as an extension of the hiring process, and provides an opportunity for both the employee and District OCSD management to assess, over a substantial period of time, whether or not the hiring decision was appropriate. 3.5 Probationary Period -Promotional as defined in applicable MOU provisions, includes at least the first 6 months or 120 days of employment with the District OCSD, beginning with the effective date of promotion. This period is regarded as an extension of the selection process, and provides an opportunity for both the employee and District OCSD management to assess, over a substantial period of time, whether or not the decision was appropriate. "At-will" employees do not serve a promotional probationary period. 3.6 Probationary Period -Reassignment or lateral Trans1er as defined in applicable MOU provisions, includes at least the first 26 weeks of employment with OCSD, beginning with the effective date of the reassignment or lateral transfer. This period provides an opportunity for both the employee and OCSD management to assess, over a substantial period of time, whether or not the decision was appropriate. 3.7 Relative is any person related by one of the following familial relationships to any employee at the agency: spouse, mother, father, brother, sister, child, grandmother, grandfather, grandchild, cousin, aunt, uncle, mother-in-law, father-in-law, brother-in-law or sister-in-law H:\dept\agenda\FAHR\FAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Pages Book 73 4.0 POLICY 4.1 It is the District's p eso•~ policy to provide nondiscriminatory, lawful and consistent guidelines and procedures to its agency recruitment processes, whether internal or open. 5.0 PROCEDURE 5.1 PERSONNEL REQUISITIONS 5.1.1 A personnel requisition is the first step for the hiring manager/supervisor to communicate staffing needs to Human Resources; however, if the recruitment requires testing (hands-on, written, essay, etc.) as part of the interview process, the testing methods must be reviewed for validity and reliability by Human Resources prior to the initiation of a personnel requisition. 5.1.2 The hiring supervisor completes the personnel requisition and receives the appropriate signatures required before sending it to Human Resources. 5.1.3 Human Resources reviews the requisition to make sure the qualifications are appropriate for the position. If changes are necessary, Human Resources will work with the appropriate manager/supervisor. 5.2 EMPLOYMENT OPPORTUNITY BULLETINS/POSTINGS 5.2.1 The recruiter prepares the employment opportunity bulletin, also known as a posting. Each posting will include the following information: • Wage range • Department • Brief job description • Required qualifications • Desired qualifications • Posting/closing dates • Procedure for applying • Brief benefits overview 5.2.2 The recruiter provides the draft posting to the hiring manager for approval. 5.2.3 Upon approval, all job postings (except Intern positions) are advertised as internal recruitments for ten business days unless authorized by the HR Director and extenuating circumstances apply. If there are at least two internal applicants and they meet the minimum qualifications for the position, those applicants will be interviewed. If an internal applicant is not selected or if there are no internal applicants, the position shall be advertised as an external recruitment. 5.2.4 Department representatives are provided with postings for communication within their designated departments. 5.2.5 Bulletin boards at Plant No. 1 where Employment Opportunity Bulletins will be regularly posted are located in the Contro l Center, and Warehouse, outside the Human Resources Office and in the Administration Building lunchroom. 5.2.6 Internal Job Announcement Notifications are sent via e-mail to all District 0 ¢$0 employees for internal and external recruitments. 5.2.7 Employment Opportunity bulletin boards at Plant No. 2 are located in the Operations Center, Maintenance Office, Maintenance lunchroom and Warehouse. H:\dept\agenda\FAHR\FAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page6 Book 74 5.2.8 Employment Opportunity Bulletins may also be found in other convenient areas throughout both plants. 5.3 ADVERTISING 5.3.1 Advertising for positions at tho District OCSO ensures positions are filled with the best-qualified candidate for the job. 5.3.2 All positions are advertised on the Internet. Technical and hard-to-fill positions are advertised on trade specific websites. 5.3.3 Trade magazines and other forms of advertising may be used for hard-to-fill or specialized positions. 5.4 APPLICANT SCREENING 5.4.1 Resumes or applications that are received are reviewed and selected for further consideration only if they meet the minimum job requirements. 5.4.2 The recruiter forwards copies of the resumes or applications of qualified applicants to the hiring supervisor for review. Originals remain in HR in the Recruiting files. 5.4.3 All materials (e.g., applications, resumes, interviewer notes, interview packets, packets, etc.) submitted by applicants/candidates during the interview process are confidential and are considered Gi6ffiGt 0CSD property and must be returned to Human Resources upon completion of the hiring process. 5.5 INTERVIEW PROCESS 5.5.1 The interview panel members are selected along with the interview date(s). Applicants are scheduled, interview questions are prepared, and the interview panel conducts the actual interview. 5.5.2 The recruiter and the hiring supervisor work together to select the interview panel. However, the recruiter makes the final decision to ensure consistency. The ideal interview panel will include the hiring supervisor, one employee within the department, two individuals outside the department, and the recruiter, or another member of the Human Resources Department. Normally, subordinates within the hiring department are not included in the interview panel. 5.5.3 The recruiter and the hiring manager work together to establish a set of questions for the candidates. 5.5.4 The recruiter prepares interview packets and distributes them to the interview panel. Packets include: • An overview of the interview process • A copy of the interview schedule • A copy of the employment bulletin opportunity/posting • Copies of candidate applications • Interview questions and evaluation forms for each candidate H:\deptlagenda\FAHR\FAHR2004\0204\04·08.HR Policies.doc Revised: 2/3/2004 Page 7 Book 75 5.5.5 The interview panel will meet at least one half hour before the interview. The panel will finalize the interview questions that are recommended by the hiring supervisor and the recruiter. The panel may add or delete questions. The panel will gain an understanding from the hiring supervisor about the criteria with which to select the ideal candidate, and adopt the appropriate criteria. 5.5.6 The recruiter facilitates the interview process. When interviews are completed, the interview panel members evaluate each candidate interviewed. The top three candidates are identified and ranked in order of preference based on the criteria established prior to the interview. The recruiter collects the documentation at the end of the interview process. 5.5.7 The final candidate is selected from the top three candidates when a majority decision is reached. If a majority decision cannot be reached, the General Manager or designee will make the final determination based on the input of the hiring supervisor, the panel, and the HR representative. If a majority decision is reached, and the hiring supervisor does not agree with the final decision, he or she may appeal for a final decision from the General Manager or designee. 5.6 RECRUITMENT APPEALS PROCESS 5.6.1 Employees should bring recruitment process and decision-making issues to the attention of the Human Resources Manager as soon as possible. The manager will review the issue and provide a written response within five business days from the issue notification date. 5.6.2 If the issue is not resolved to the employee's satisfaction, the employee may file a written statement concerning the problem to the Director of Human Resources within ten business days of receipt of the manager's decision. Upon request by either party, a meeting may be held to discuss the issue and establish remedies. 5.6.3 The employee will be provided a written response from the Director of Human Resources within ten business days after their statement is received. The decision of Human Resources is final (see policy F50,00, Problem Solving Procedure and F60.00, Grievance Procedure). 5.6.4 Time limits may be extended for cause upon mutual consent of the parties. 5.7 EMPLOYMENT OFFERS 5.7.1 The recruiter and hiring supervisor determine an appropriate starting salary for all candidates, except those designated as "at-will" employees, based on a Salary Offer Analysis. This analysis will include the applicant's: • Qualifications • Years of experience • Educational background • Salary history • Parity within the department 5.7.2 The HR Compensation Analyst reviews the recommended salary, and approves or makes additional recommendations. All salary offers that are either at or beyond #\e-mlElpoiflt step 4; of the range will require the approval of the Human Resources Director (or designee). Under no circumstances should panel members (excluding the HR representative) or any other .DistriGt OCSb employee discuss salary offers with candidates or make promises of any kind. HR staff are the only employees authorized to engage in salary discussions with job candidates. 5.7.3 The recruiter completes a status change form for the candidate and initiates the background investigation. Background investigation results are provided to the candidate by t~~ OCSD's background screening firm. 5.7.4 When the status change form is approved and the backgroundlinvestigation is clear, the recruiter makes a verbal employment offer to the candidate, which is contingent upon results of a pre-employment physical and drug screening. Upon acceptance of the employment offer, the recruiter sends regret letters to H:ldeptlagenda\FAHR\FAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 8 Book 76 unsuccessful candidates. Internal candidates are contacted personally prior to receiving regret letters. 5.7.5 The recruiter schedules the pre-employment physical for the candidate, works with the supervisor to establish a potential start date and prepares a formal offer letter for the candidate. 5.7.6 When the Safety Manager (or designee) has cleared the pre-employment physical results, the recruiter will contact the applicant to confirm the employment offer. 5.7.7 The recruiter coordinates the candidate's start date. 6.0 EXCEPTIONS 6.1 EMPLOYMENT OF FORMER EMPLOYEES 6.1.1 Employment of former employees for full-time equivalent or part-time positions shall be subject to and conducted in accordance with this policy. 6.1.2 Employment of a former employee is subject to the approval of the General Manager and the Director of Human Resources. 6.1 .3 In all cases, approval of the General Manager and the Director of Human Resources shall be received prior to an offer of employment to a former employee. 6.1 .4 The General Manager may, with the written approval of the Board Chair, employ on a part-time or as-needed basis, a former employee retired from the District OCSD-when the individual possesses knowledge and expertise of unique and particular benefit to the District OCS0 and when the services are required. The length of service performed in any one year shall be limited in accordance with the provisions prescribed by the Orange County Employees' Retirement System (currently 120-day maximum). 6.1.5 Part-time or as-needed service shall be compensated at the same current hourly rate of the retired employee's position classification, or if no such classification exists, at a rate not to exceed that paid for the most comparable classification. The retired employee shall not be entitled to receive any benefits otherwise payable to G-i-smGt OCSD employees. In the event any employment under this provision involves work assignments outside of Orange County, the current expense reimbursement policy established for regular employees will apply. 6.1.6 If any former employee commences doing business wherein the employee, his/her spouse, or members of his/her immediate family are sole proprietors, or majority or controlling shareholders or owners of a corporation, partnership or other business entity, such business shall not be retained -as an Independent contractor or consultant to provide service directly to tR&-Q.istr:iGt OCSD for a period of one year after leaving District's OCSD's employment. Tl1ereafter, said business entity shall be allowed to contract with the District OGSD upon compliance with all resolutions and regulations of the District oeso then in effect, relating to the procurement of services. 6.1.7 If any former employee becomes employed by any firm or business entity in which the former employee, his/her spouse or members of his/her immediate family own less than the majority or contro lling interest in saio entity, said entity shall not be prohibited from contracting with the DistfiGt OGSD. However the former employee shall not perform work on District OCSD projects for a period of one-year after leaving District OCSD employment; nor shall such fom1er employee contact Qis.tfiG-t OCSD officers or employees for the purpose of H:\dept\agenda\FAHR\FAHR2004\0204\04·08.HR Policies.doc Revised: 2/3/2004 Page 9 Book 77 attempting to influence any 9IBtfiGt OCSD decision, including but not limited to, the award of contract, issuance of permits, or compromise of administrative civil penalties, for a like period of one year. Said services shall be obtained only in accordance with all ru les and procedures of the District OCSD relating to procurement. 6.1.8 Any District peso employee who receives an offer of employment or a request to discuss potential employment from any person or business entity performing services for the District OGSD shall report such contact to his or her immediate supervisor, who shall decide whether any change in assignment is necessary or appropriate while the offer or discussions are pending. 6.1.9 The prohibitions of this policy may be waived by the Finance, Administration and Human Resources Committee of the Boards of Directors if, on a case-by-case basis, it is determined to be in the best interests of the District b CSD to do so. 6.2 EMPLOYMENT OF RELATIVES 6.2.1 Except as otherwise provided by law, no employee, prospective employee or applicant shall be denied employment or benefits of employment solely on the basis of his or her familial relationship with an employee of the agency or a member of the Board of Directors. 6.2.2 Tho District OCSD will make reasonable efforts to assign job duties to eliminate any potential for an adverse impact on supervision, safety, security or morale, or potential conflicts of interest. 6.3 LATERAL TRANSFERS 6.3.1 Employees may request a lateral transfer to a vacant position in the same classification in another department providing they have demonstrated at least six months of continuous competent or above performance in their current position, and the transfer is of benefit to the District OCSD. 6.3.2 Employees who wish to be considered for a lateral transfer should notify Human Resources in writing of their intent. In the event a transfer is approved and accepted by the employee, the department from which the employee is transferring may determine the effective date based upon operational requirements and a reasonable period of time to acquire a suitable replacement. 6.3.3 Lateral transfers do not normally involve increased levels of duties and responsibilities, or otherwise qualify as promotions, and therefore do not involve salary adjustments. 6.3.4 In the event an adjustment appears warranted based on extenuating circumstances, the adjustment must have written approval from the department head prior to being extended to the employee. 7.0 PROVISIONS AND CONDITIONS 7.1 The interview process for Intern positions shall be an abbreviated version of the process outlined in section 5.5 and will be administered by the appropriate division manager/supervisor and a Human Resources representative. 7.2 The District's OCSD's Board of Directors must approve unbudgeted positions for new hires or promotions before any internal or open recruitment effort is initiated. 7.3 Hiring an individual into a budgeted position requires the approval of the Department Head and General Manager. H:\dept\agenda\FAHR\FAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 10 Book 78 7.4 7.5 7.6 7.7 Promoting an individual into a budgeted position requires the approval of the Division Manager, Department Head or General Manager. The District OCSD retains the right to refuse to place a relative under the direct supervision of an District OCSD employee where such has a potential for creating an adverse impact on supervision, safety, security or morale. The District QQSD retains the right to refuse to place relatives in the same department, division, or facility where such has a potential for creating an adverse impact on supervision, safety, security or morale, or involves potential conflicts of interest. INITIAL PROBATIONARY PERIOD 7.7.1 All persons hired by tho District OCSD, except those designated as "at-will" employees, are considered to be probationary employees for a period of at least the first 26 weeks or 6 months of employment, depending upon the applicable MOU provisions, beginning with their date of hire. This probationary period is regarded as an extension of the hi ring process, and provides an opportunity for both the employee and District's bCSD's management to assess, over a substantial period of time, whether or not the hiring decision was appropriate and resulted in a relationship that adequately meets the needs of both the individual and the District QQ?l'.:1- 7. 7.2 The probationary period may be extended by mutual agreement between the District OCSI) and the employee, prior to the expiration of the probationary period. An employee's probationary period may be extended when there is a need to further assess the individual's abilities to satisfactorily perform the duties required for their job classification. Probationary employees may be released by the District OCSE> at any time during the probationary period (including any extension) without cause or reason. 7.7.3 A probationary employee's work performance is closely monitored during this period to ensure that the employee understands the duties, responsibilities and management expectations of the position, and to allow an opportunity for the supervisor or manager to provide proper direction and guidance. Employees who do not demonstrate the potential for meeting performance expectations for their position within a reasonable period of time may be released prior to the completion of the Probationary Period. Probationary employees shall serve at the will of the District QG,SD during this period. In the event of release of a probationary employee, the employee shall not be entitled to receive any severance pay. 7.8 PROMOTIONAL PROBATIONARY PERIOD 7.8.1 All promoted employees, except those designated as "at-will" employees, shall serve a promotional probationary period lasting at least 120 days or 6-months, depending upon the applicable MOU provisions, beginning with the effective date of promotion. This period is regarded as an extension of the selection process, and provides an opportunity for both the employee and the District 9CSD management to assess, over a substantial period of time, whether or not the decision was appropriate. 7.9 REFERENCE CHECKS 7.9.1 Employment with the District C>CSD is contingent upon a pre-employment screening process which includes a physical examination, drug/alcohol test and background investigation. Candidates must also be able to provide documentation authorizing their legal right to work in the United States as per the Immigration Reform and Control Act of 1986. H:\deptlagenda\FAHR\FAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 11 Book 79 7.9.2 Tho District OCSD may verify information contained in the job application of a prospective employee with the prospective employee's authorization. 7.9.3 Inquiries to District OCSD employees regarding reference or employment verification checks of former or present employees, shall be discussed with or referred to Human Resources prior to any response. 8.0 RELATED DOCUMENTS 8.1 501, OCEA and SPMT memorandums of understanding (MOUs) 8.2 Human Resources Intern Program guidelines 8.3 Policy FS0.00, Problem Solving Procedure 8.4 Policy F60.00, Grievance Procedure H:\dept\agenda\FAHR\FAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 12 Book 80 . -~~~ Orange County Policy Number: C10.10 '~,d°" ~Jj" ~ Sanitation District Effective Date: April 25, 2001 February 25, 2004 Subject: CLASSIFICATION AND Supersedes: Policy C10.00 and C20.00 COMPENSATION April 25, 2001 Approved by: Lisa L. Tomko 1.0 PURPOSE 1.1 The purpose of this policy is to establish and maintain uniform guidelines and procedures for use in the administration of the Orange County Sanitation District's (OCSD's) classification and compensation programs. 2.0 ORGANIZATIONAL UNITS AFFECTED 2.1 All Qistoot OCSD employees, as specified herein. 3.0 DEFINITIONS Classifications are groups of positions, regardless of location, which are alike enough in duties and responsibilities to be called by the same descriptive title, to be given the same pay scale under similar conditions, and to require substantially the same qualifications. Salary Ranges are the range of pay rates, from minimum to maximum, set for a pay grade or class. Salary Grade is an organizational unit into which classifications of the same or similar value are grouped for compensation purposes. All classifications in a grade have the same salary range. Comparative Market are those agencies that Executive Management considers most comparable to the District OCSD in terms of function, population served, employee population, technology and equipment. Budgeted Positions are_those positions that have been formally approved during the annual budget process. Prorated Salary AdjustmeRt is an increase in an employee's rate of pay easea--on performance and length ot time worked during the performance review period when time worked is less than the revie¥.' period. Y-Rating is the process of freezing the salary of an employee who has been reclassified to a lower paid classification until the salary range exceeds the employee's salary. 4.0 POLICY 4.1 It is the policy of the District OCSD to apply uniform classification and compensation standards. The District OCSD's Classification and Compensation Program provides for the establishment of a wage and benefit structure through the Meet and Confer process that allows rnstoot OCSD management and rnstoot OCSD employees to effectively compete in the labor market and to retain present employees through an internally H:\deptlagenda\FAHR\FAHR2004\0204\04-08.HR Policies doc Revised: 2/3/2004 Page 13 Book 81 consistent measure of relative job worth and personal merit. Every position is assigned to a salary grade based upon the duties and responsibilities of that position and the comparative market value of that job function. Comparisons are most generally made with organizations of similar size and engaged in similar occupational pursuits within the geographic area of potential recruitment. The salary ranges are set forth on EXhibit A. 4.2 The General Manager is authorized to employ and assign persons as needed to occupy budgeted positions and to exercise supervision over all persons in accordance with the provisions of this policy and to terminate, for cause, the employment of any regular full time employee employed under these provisions. All other employees, e.g., probationary, part-time, and limited term/temporary and contract may be terminated at tho District's OCSD's sole discretion. 4.3 The General Manager is also authorized to employ Executive Management employees on an "at-will" basis. Conditions of "at-will" employment are set forth in District QCSD Policy No. C180.00. 4-A-Non-management employees are awarded merit increases based upon their performance as determined by the performance evaluation program. The specific evaluation process and tools used to determine the actual amount of merit increase are set forth in various Memoranda of Understanding (Supervisory, Professional, OCEA, 501 bargaining units) or other written procedures (Confidential bargaining unit). In addition, employees who at least meet expectations receive annual Cost of Living Adjustments (COLA) to keep employees' salaries at marl~et . the salary structure will be revjewed on an an'nual basis and aotive emplbyees will have their pay r-ates adjusted according to the salary strueture perc~ntage adjustment.- 4.5 Employees who believe their position is not properly classified may request a classification study of their position through their direct supervisor. In addition, the- District OCSQ may conduct a classification study on its own initiative. 4.5.1 Classification studies can be requested by employees twice during the year, during the annual budget planning process and in November. Those reclassifications approved in the budget may be made effective any time during the new fiscal year. Classification study requests must be submitted to Human Resources no later than November Octaber 1st for the November cycle. 4.5.2 Classification studies may be conducted by the District OCSD to establish and determine job classifications as needed. 4.5.3 Classification studies may result in: 4.5.3.1 4.5.3.2 4.5.3.3 Employees being reclassified to either a lower or higher level classification. Employees being reclassified to a newly created classification. Employees remaining in the current classification. 4.5.4 All classification study findings regarding existing classifications are subject to approval by the General Manager; findings recommending the establishment of new job classifications are subject to approval by the District's OCSD's Board of Directors. The District shall provide-an investment incentive salary to the employees within-tRe c-lassifications and in tho amounts, as set forth in Policy C1 ~ 5.0 PROCEDURE H:\dept\agenda\FAHRIFAHR2004\0204104-08.HR Policies doc Revised: 2/3/2004 Page 14 Book 82 5.1 5.2 5.3 5.4 New Employees. Employees shall be offered a salary at or near the minimum of the range unless their level of training, educational background, expertise, and/or prior earnings indicates a need for a salary greater than the minimum. The determination of an appropriate salary should also consider the relationship of the employee's proposed salary to that of other employees in the same classification and to employees supervised, if applicable. 5.1.1 Exempt and non-exempt employees shall be compensated within the salary range authorized for the classification in which they are employed and, in the case of non-exempt employees, in accordance with FLSA provisions. Probation. Employees serve a Probationary Period of six months and receive a comprehensive performance evaluation at the end of that period. 5.2.1 ERlplqyea&-R+Fed before July 1 are eligible for a prorated salary adjustment acGording to tho previsions of the performance evaluruion program, in force at the time of the ann1,1al review process, upon successful completion of their probation-rErnployees hired at the range minimum (step 1) will receive a step increase upon successfully completing their six months probationary period. 5.2.2 The prorated salary adjustment will be based on the actual number of· days worked from tho hire date to July 1. Tho effocti-ve date of the prorated salary adjustment will be tho probatiqn completion date. 5.2.3 Employees hired aAter July 1 are eligible fer a salary adjustment the subsequent Jwy. Reviews. An annual performance review is completed for all employees in accordance with the provisions of the performance evaluation program which is in force at the time. 5.3.1 Pt;1r:formanse based salary adjustments beceme o#ecii\.•e on the fiFst day of the firstpay:period in July·. Employees in the 501 and OCEA bargaining units who were hired either on or before November 29, 2002 are eligible for a step increase on the first day of the first pay period in July. Employees hired after November 29, 2002 are eligible for a step increase according to the schedule in the applicable MOU. . 5.3.2 Employees who were hiFed after July 1 of the pre·.iious year and who have completed probation will rocei¥e a pForated salary adjustment based upon the actual m.1meer af says wo~ked from the hire date to Ju.ly 1 and the pertormaf1Ge ~9'3·~S-H1 force at the time. Employees in the bargaining units of SPMT who were hired either on or before July 12, 2002 are eligible for a step increase on the first day of the first pay period in July. Employees hired after July 12, 2002 are eligible for a step increase according to the schedule in the applicable MOU. 5.3.3 ~yees who are on a lea•1e of absence during th!;! review-perioa will receive-a prorated salary adjustment basefl-GR-#ie-aGtua~eF-Of days worko~ the review cycle and the performance e•.•aluation program wmGA-is in foroe at the time. Employees who are on leave of absences fOf less than two pay periods will receive a full salary adju$tFAent, empieyees wf'.:lo are on leav-0 of absences more than six months during the-,.i:e,..iew-GyGlewill not be-~ible for any perlormanoe basee-sala~-ej,u,&tmeflt. Promotional Increases. Employees who earn promotions to a higher pay range will normally receive an increase of at least 5.5 percent one step or a salary increase to the bottom of the new pay range. H:\dept\agenda\FAHR\FAHR2004\0204\04-08 HR Policies doc Revised: 2/3/2004 Page 15 Book 83 5.5 5.4.1 Employees are not entitled to a probationary salary adjustment at the conclusion of the Promotional Probationary Period. If the employee's probation period has not concluded as of Jwy-4 the etfectO/e date 0f U,eir step increase, the annual performance based salary adjustment is deferred until such time as probation is successfully concluded. Y•Ratinq. 5.5.1 If the duties and responsibilities of a position are allocated to a lower paid classification as a result of a classification study, the salary of the employee in that position shall remain unchanged (Y-rated) according to the following table: Years of Service 0-3 years Term of Y-rate One year 4-5 years 6-10 years Two years Three years Four years Five years 11 -20 years 20 or more years 5.5.2 The Y-rate remains in effect until the salary range for the new classification equals or exceeds the employee's Y-rated salary, or until the term of the Y-rate expires. 5.5.2.1 5.5.2.2 5.5.2.3 If the Y-rate expires before the employee's salary falls within the range of the new classification, the employee shall be placed at the maximum of the new range nearest but not more than the Y-rated salary. Employees become eligible for merit increases and GGhA salary strupture t-ang"e a<:ljUstment lncreases when the Y-rate is no longer in effect. An employee who requests a voluntary reduction is not entitled to a Y-rate. 5.6 Z-~atlng. 5.6.1 Employees allocated to classificgtions with a lower range maximum than their cufrent salary as a r,esult of OCSD's Classification Study results implemented effective July 12, 2002 will have their salary remain unchangetj until such time that the range ma><,im!,lm' of,their salary tar,ge exc~eds er equals their current salary. 6.0 EXCEPTIONS 6.1 Sections 5.1, 5.2, 5.3, 5.4, 5.5 and S.6 do not apply to at-will Executive Management Employees. 7.0 PROVISIONS AND CONDITIONS 8.0 RELATED DOCUMENTS 8.1 Exhibit A 8.2 Fair Labor Standards Act 8.3 Former Policy C10.00 and C20.00. 8.4 At-will Policy C180.00. H:\dept\agenda\FAHRIFAHR2004\0204\04-08.HR Policies.doc Revised: 2/312004 Page 16 Book84 Orange County Sanitation District Subject: Equity Adjustments 1.0 PURPOSE Policy Number: C20.10 Effective Date: July 1, 1999 February 25, 2004 Supersedes: NIA July 1 ~ 1999 Approved by: Lisa L. Tomko 1.1 The purpose of this policy is to establish uniform guidelines and procedures for use in the distribution and administration of equity adjustments. 2.0 ORGANIZATIONAL UNITS AFFECTED 2.1 All full-time regular employees. 3.0 DEFINITIONS 3.1 Inequity -Unusual salary disparity either between an employee and the market or between two or more employees. 3.2 Peers -Employees in the same or comparable classifications performing similar or comparable job duties and responsibilities. The classifications have the same or comparable requirements for education, experience, knowledge, skills and abilities. 3.3 Competencies -The education, experience, responsibilities, knowledge, skills and abilities an employee possesses. The acquisition of new or different competencies that support the operational unit tend to broaden the scope of the job. 3.4 Market -+eR Thirteen comparable California utilities agencies. 3.5 Market Rate -Tho avmage salary at the 75th percentile being paid in the market for a given job. Tho District conducts a salary survey e•.«ory t>No years to determine market rates,. The Orange County Sanitation District (OOS0) contracts with an independent gonsulting,tirm to eenduct a market survey every year. 4.0 POLICY 4.1 It is Orange County Sanitation District (OCSD) policy to correct pay inequities, in accordance with this policy, that can not be remedied with the annual merit review program. 4.2 All Qismst OCSD employees may be eligible for equity adjustments. 5.0 EQUITY ADJUSTMENT CATEGORIES 5.1 External Equity Adjustment -An equity adjustment may be made to an employee's salary so that the salary corresponds to rates prevailing in the external market for an employee's job. This adjustment may be made to bring an employee's salary closer to the market rate for his or her position. 5.2 Internal Equity Adjustment -An adjustment may be made to an employee's salary so that the salary corresponds to the job's relative value to the organization. H:\dept\agenda\FAHR\FAHR200410204104·08.HR Policies.doc Revised: 2/3/2004 Page 17 Book 85 5.2.1 Relationship to Subordinates -An equity adjustment may be made to correct an inequity that exists between a supervisor and his or her subordinate(s). 5.2.2 Relationship to Peers -An equity adjustment may be made to correct an inequity that exists between an employee and his or her peer(s). The adjustment would be required to create or reduce differential between employees with significant differences in contribution levels. 5.2.3 Individual Equity Adjustment -An adjustment may be made to an employee's salary so that the salary corresponds to the employee's competency level. The adjustment may be made when an employee's level of contribution increases significantly as the result of an increase in responsibilities. 6.0 PROCEDURES 6.1 Equity adjustment requests are submitted as Decision Packages during the normal budget process each year. 6.2 Each Decision Package must include justification for the equity adjustment request. Justification should include the employee's name; the Equity Adjustment Category; the employee(s) with whom the inequity exists, if applicable; the amount of equity adjustment required to correct the inequity; and, any other supporting information. 6.3 In unusual circumstances, a request may be considered outside of the budget process. Consideration is initiated by submitting a Justification Memo, outlining the information listed in Section 6.2 of this policy, to Human Resources. Equity adjustments recommended outside of the budget process will be considered once a year in November. The equity adjustment, if approved, will be funded by the General Manager's contingency fund. 6.4 Human Resources will review all equity adjustment requests to ensure compliance with the District's OGSD's Salary Structure and Compensation Policy; to provide market or peer comparative data; to provide data for comparison across departments; and, to provide information and advice as requested. 6.5 If an equity adjustment has been approved, either through the budget process or outside of the budget process, Human Resources will process the equity adjustment increase by generating an Employee Status Change Form and obtaining the necessary signatures. 6.6 The General Manager will sign all Employee Status Change Forms. 6. 7 Equity adjustment increases authorized in the budget process will be made effective at the start of the first pay period of the new fiscal year. All other adjustments will be made effective on the first day of the pay period in which the Employee Status Change Form is submitted to Payroll. 6.8 There shall be no right to an equity adjustment. Such adjustments shall be made at the sole discretion of the Distriot OCSD and shall not be subject to the grievance procedure or to judicial review. H:\deptlagenda\FAHRIFAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 18 Book 86 7.0 EXCEPTIONS 7.1 Employees on Perlormance Improvement Plans (PIP's) are not eligible for equity adjustments. 8.0 PROVISIONS AND CONDITIONS 9.0 RELATED DOCUMENTS H:ldeptlagenda\FAHR\FAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 19 Book 87 --:~~~ Policy Number: C40.00 Orange County ~~~ ~y Effective Date: October 22, 1997 Sanitation District ~ February 25, 2004 Subject: EXTRAORDINARY SERVICES Supersedes: Octaber 22, 1997 COMPENSATION FOR EXEMPT EMPLOYEES IN THE PROFESSIONAL AND SUPERVISOR GROUPS Approved by: Lisa L. Tomko 1.0 PURPOSE 1.1 The purpose of this policy is to establish uniform policies regarding extraordinary services compensation for exempt employees in the Professional and Supervisor Groups. 2.0 ORGANIZATIONAL UNITS AFFECTED 2.1 This policy applies only to employees in the Professional and Supervisor Groups. 3.0 DEFINITIONS Exempt employees are those employees who are not covered by the minimum wage and overtime provisions of the Fair Labor Standards Act, as amended. Such employees are considered exempt by virtue of their duties in conformance with the Act's definition of executive, administrative and professional responsibilities. 4.0 POLICY 4.1 It is the policy of the Orange County Sanitation District {OCSD) to compensate employees in the Professional and Supervisor Groups for extraordinary services in accordance with the following procedures. 5.0 PROCEDURE 5.1 Employees in the Professional and Supervisor Groups are exempt from the overtime provisions of the Fair Labor Standards Act. However, when services are required beyond what is normally expected of a position in trus these groups, employees will be eligible to receive additional compensation for performance of such extraordinary service, upon approval of their Department Head or designee, as set forth in this policy. 5.2 Employees in the Professional and Supervisor Groups will be eligible to receive additional compensation at their regular rate of pay for performing extraordinary services of at least eight hours in a pay period. Extraordinary service is required work such as: work required by a major facilities failure; work necessary to protect public health and safety caused by an emergency declared as such by the General Manager or designee; or work which cannot be reasonably anticipated due to extraordinary circumstances. 5.3 Written authorization to receive compensation for all such extraordinary service must be obtained in advance, except in the event such approval is precluded by the nature of the emergency. The authorization must be signed by the Department Head or designee, and set forth the work to be accomplished, the reason such work is required, the anticipated hours and eligibility for additional compensation. Pay for extraordinary service time shall H:\dept\agenda\FAHRIFAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 20 Book 88 5.4 not occur blntll after actwal work time of 80 hours in a pa.y period is reached. All authorized extraordinary service time worked must be reported on an Emergency Overtime Report as well as the employee's time report. i;;mployees may elect to receive compensatory time off in liel:J of compensation on an hour for hour basis not to exceed a maxim1:1m of 50 hours. Accumulated hours in excess of 50 shall be paid at the employeo•s regular rate of pay. 6.0 EXCEPTIONS 6.1 Except for performing extraordinary services as defined in this policy and in their Memorandum of Understanding, Professional and Supervi•s<i>r Group~ employees are not entitled to receive any compensation or compensatory time off for service rendered beyond their normal work schedule. 7.0 PROVISIONS AND CONDITIONS 7.1 Unless an employee's contract indicates otherwise, the provisions of this policy shall apply only to Professional and Supervisor Groups employees. 8.0 RELATED DOCUMENTS 8.1 Fair Labor Standards Act, as amended. H:ldept\agenda\FAHRIFAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 21 Book 89 .....-nr..... Policy Number: C170.00 ~ ~ Orange County -~~~ Sanitation District Effective Date: April 28, 1999 ~~ _,,A' ~ February 25, 2004 Subject: California Wastewater Supersedes: NIA Treatment Plant Operator's Grade V April 28, 1999 Certificate Pay Approved by: Lisa L. Tomko 1.0 PURPOSE 1.1 To establish uniform guidelines and procedures for California Wastewater Treatment Plant Operator's Grade V Certificate pay. 2.0 ORGANIZATIONAL UNITS AFFECTED 2.1 This policy applies to all employees in the Operations Division who have obtained a California Wastewater Treatment Plant Operator's Grade V Certificate and who perform duties involving the operation and control of wastewater through the treatment plant. 3.0 DEFINITIONS 4.0 POLICY 4.1 It is the policy of the Orange County Sanitation District (OCSD) to compensate employees in the Operations Division who perform duties involving the operation and control of wastewater through the treatment plant for the obtainment of a California Wastewater Treatment Plant Operator's Grade V Certificate. 5.0 PROCEDURE 5.1 Employees who perform duties involving the operation and control of wastewater through the treatment plant are eligible to receive a quarter of a 5.5% step increase, or a 1.375% increase, upon obtainment of a California Wastewater Treatment Plant Operator's Grade V Certificate. 5.2 Employees who fail to maintain their Grade V Certificate will lose the Grade V Certificate pay. 6.0 EXCEPTIONS 6.1 Employees in classifications with a minimum qualification of California Wastewater Treatment Plant Operator's Grade V Certificate are not entitled to the Grade V Certificate pay. 7.0 PROVISIONS AND CONDITIONS 8.0 RELATED DOCUMENTS H:\deptlagenda\FAHR\FAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 22 Book 90 ---Policy Number: C190.00 ~~~ Orange County Effective Date: October 22, 2003 Sanitation District ~~.A1' February 25, 2004 - Subject: Variable Non Base Pay Supersedes: February 26, 2003 October 22, 2003 Approved by: Lisa L. Tomko 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 tor non-exempt applies to all Orange County Sanitation District {OCSD) 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 OistFiGt OCSD employees regardless of their organizational unit. Call-back pay and standby pay applies to all non-exempt OistFiGt OCSD employees regardless of their organizational unit. Shift differential pay applies to all OistFiGt OCSD employees who are covered by an MOU that entitles them to shift differential pay. H:\depl\agenda\FAHR\FAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 23 Book 91 3.0 DEFINITIONS 3.1 3.2 3.3 3.4 3.5 3.6 3.7 Acting means pertorming substantially all of the duties of a vacant budgeted position with a higher maximum rate of pay. Call-back pay is paid to an employee by tho District OCSD 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. 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 pertorm 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. Overtime is the number of hours in paid status in excess of 40 during a workweek. Salary Range is the approved salary minimum and approved salary maximum for each pay grade in tho District's OCSD's approved compensation structure. 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. Workweek means a seven day period starting at 12:01 a.m. Friday and endihg at midnight on the following Thursday. If a worl{ shift begins on Thursday betore midni~t but ends any time attar midnight on-Ffiday, all hours worked on that shift are considefeG to be worked on Friday. For full-time employees is 40 hours per 168-hour period, to be paid on a biweekly payroll basis of 80 hours worked. Employee work periods may be scheduled in shifts of four 9-hour days, and one 4-hour day each workweek (9/80 schedule), five 8-hour days each workweek (10/80), four 10-hour days each workweek {8/80), or three 12-hour days and one 4-hour day each workweek (7/80). The starting and ending times of individual employees' workweeks may vary. 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 Q.istriGt OCSD 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 Q.istriGt OCSD policy to compensate employees for call-back pay in accordance with the procedure listed in section 5.3. 4.4 STANDBY PAY H:\dept\agenda\FAHRIFAHR2004\0204\04•08.HR Policies.doc Revised: 2/3/2004 Page 24 Book 92 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 G-istfiGt OCSD 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 QGSP. The District OCSD will follow the procedures for a Notice of Intent to Separate as listed in section 5.6. 4.7 SHIFT DIFFERENTIAL PAY 4.7.1 It is Q.istfiGt OCSD 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 OCSD. 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 QismGt OCSD 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 one step greater 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 OCSD 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 OCSD, but the H:\deptlagenda\FAHRIFAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 25 Book 93 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. 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, tho District OC$D 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, the employee is entitled to reimbursement for the actual cost of a meal, not to exceed applicable per diem amounts in addition to any compensation for time worked. Receipts are not required to receive the per diem amount. In lieu of cash reimbursement, the District ocsp 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 tho District OCSD, 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. 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 H:\dept\agenda\FAHRIFAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 26 Book 94 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 H:\deptlagenda\FAHRIFAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 27 Book 95 -Policy Number: D110.00 ;~ ~ Orange County :~~ ~~=,,,,= :.! Sanitation District Effective Date: October 22, 2003 -February 25, 2004 Subject: Catastrophic Illness Leave Supersedes: October 22, 2003 Donation Program Approved by: Lisa L. Tomko 1.0 PURPOSE 1.1 The purpose of this policy is to establish uniform guidelines and procedures for use in the administration of the District's Catastrophic Illness Leave Donation Program. 2.0 ORGANIZATIONAL UNITS AFFECTED 2.1 All District employees. 3.0 DEFINITIONS 3.1 Catastrophic Illness or Injury • Debilitating illness or injury which is expected to incapacitate the employee for an extended period of time and which creates a financial hardship due to the exhaustion of all accrued leave. • A debilitating illness or injury of a child, parent or spouse that results in the employee being required to take time away from work for an extended period to care for the family member, therefore creating a hardship due to the exhaustion of the employee's accrued leave. 4.0 POLICY 4.1 Employees may on occasion face catastrophic medical conditions involving themselves or their immediate family that results in the exhaustion of all accrued sick, vacation, personal or other paid leave. Such employees may request, or be nominated for allocations of leave time according to the District's Catastrophic Illness Leave Donation Program. 4.2 Employees may, in accordance with the provisions of the District's policy regarding the Catastrophic Illness Leave Donation Program, elect to donate accrued and unused personal leave, vacation leave or compensatory time off to an individual employee qualified and approved to receive allocations of leave time. 4.3 Leave time eligible to be donated by one employee to another include vacation, compensatory or personal leave. 5.0 PROCEDURE 5.1 Requests or nominations for donated leave time are subject to the approval of the Director of Human Resources or designee, pursuant to this policy. 5.2 Requests for donated leave time are to be submitted to the Human Resources Supervisor using the form "Application for Use of Catastrophic Illness Leave Hours". This form is located on the HR intranet site. H:\dept\agenda\FAHRIFAHR2004\0204\04-0B.HR Policies.doc Revised: 2/3/2004 Page 28 Book 96 5.3 Communicating the request to District employees for leave time donations shall be made in the following manner: 5.3.1 The employee or nominator will submit a draft e-mail to Human Resources for review informing employees of the request for leave time donations. 5.3.2 Human Resources will send the approved e-mail announcement to the employee's immediate work division, and may also send it to the department. It can later be sent to other divisions or departments if requested. 5.4 To make a leave time donation, employees should complete a "Catastrophic Illness Leave Donation Form" and submit it the form to Human Resources. This form is located on the HR intranet site. 5.5 The vacation, compensatory or personal leave time donated by an employee shall be converted to a dollar value based on the hourly rate of the donor. 5.6 At the time of allocation, those dollars shall then be converted into sick leave or personal leave at the hourly rate of the recipient of the donated leave time. 6.0 EXCEPTIONS 6.1 Employees who have not exhausted their paid leave -vacation, sick, personal and compensatory time off -at the time of request or nomination will not be considered for allocation of leave time until their paid leave time is exhausted. 6.2 Sick leave may not be donated by one employee to another. 7.0 PROVISIONS AND CONDITIONS 7.1 To be eligible to receive allocations of leave time as provided by the Catastrophic Illness Leave Donation Program, employees must have exhausted all of their paid leave, including vacation, sick, personal and compensatory time off. 7.2 The maximum allocation of donated leave that an employee may receive is 480 hours per individual per 12 month period except in the eventthe leave peri~d terminates due to the empl0yee's death. If death occurs, remaining denated hours may exceed 48010 be paid out as a survivor benefit. 7.3 Employees will be requested to provide medical documentation of a catastrophic health condition involving their child, parent or spouse, or involving the employee's own catastrophic health condition. 7.4 Donations must be made in whole hour increments, and are irrevocable. 7.4.1 Any such hours that remain at the conclusion of the leave period shall be returned to the donors on a pro-rated basis per the hourly salary of the originally donated hours. 7.4.2 In the case 0f an employee's death during the leave period, donors may be given th~ 0Rt10n of having their donated hours remain in the deceased employee's leave accouht1o be paid out as a suNiv,or benefit. 8.0 RELATED DOCUMENTS 8.1 Application for Use of Catastrophic Illness Leave Hours form . 8.2 Catastrophic Illness Leave Donation form H:\dept\agenda\FAHR\FAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 29 Book 97 Orange County Sanitation District Policy Number: D30.00 Effective Date: October 24, 2002 February 25, 2004 Subject: HOLIDAYS Supersedes: December 20, 2000 October 24, 2002 Approved by: Lisa L. Tomko 1.0 PURPOSE 1.1 The purpose of this policy is to establish uniform guidelines and procedures for holidays. 2.0 ORGANIZATIONAL UNITS AFFECTED 2.1 This policy applies to all current employees regardless of their organizational unit. 3.0 DEFINITIONS 4.0 POLICY 4.1 It is tAe Orange County Sanitation District's (OCSD's) policy to grant employees 12 paid holidays per year in accordance with this policy. 5.0 PROCEDURE 5.1 5.2 5.3 5.4 5.5 Full-time employees shall receive holiday pay if their entire scheduled work shift immediately preceding and following the holiday is in a paid payroll status. When an employee's work schedule requires that they work on an observed holiday, the employee shall be paid at the employee's regular rate of pay for the holiday or receive an equivalent amount of holiday compensatory time off, and shall also receive overtime pay at the rate of one-and-one-half times their regular hourly rate for all hours actually worked. Holiday pay for part-time employees is based on a nine (9) hour workday. It is paid on the following prorated basis: NORMALLY SCHEDULED HOURS OF WORK PER WEEK PERCENT BENEFIT/SUBSIDY 0-under 19 None 20-under 29 50% -(4.5) hours 30-39 75% -(6. 75) hours When a holiday occurs on an employee's regularly scheduled day off, the employee will accrue compensatory time off for those hours. In no case may an employee accumulate more than 50 hours holiday compensatory time off. The days listed below are observed by the District OCSD as holidays for 2003, 2004 and 2005. Employees who are assigned to eight, nine or ten-hour shifts, Monday through Friday, will observe the holidays listed in Schedule A. Employees who are assigned to twelve- hour shifts will observe the holidays as listed in Schedule B. SCHEDULE A HOLIDAY 2003 2004 2005 H:\deptlagenda\FAHRIFAHR2004\0204\04-08,HR Policies.doc Revised: 2/3/2004 Page 30 Book 98 ** New Year's Day Wednesday, January 1 Thursday, January 1 Friday, December 31 Lincoln's Birthday Wednesday, February 12 Thursday, February 12 Friday, February 11 President's Day Monday, February 17 Monday, February 16 Monday, February 21 Memorial Day Monday, May 26 Monday, May 31 Monday, May 30 Independence Day Friday, July 4 Monday, July 5 Monday, July 4 Labor Day Monday, September 1 Monday, September 6 Monday, September 5 Veteran's Day Tuesday, November 11 Thursday, November 11 Friday, November 11 Thanksgiving Day Thursday, November 27 Thursday, November 25 Thursday, November 24 Day after Thanksgiving Friday, November 28 Friday, November 26 Friday, November 25 Day before Christmas Wednesday, December 24 Thursday, December 23 Friday, December 23 Christmas Day Thursday, December 25 Friday, December 24 Monday , December 26 Floating Holiday ** ** ** SCHEDULE B HOLIDAY 2003 2004 2005 New Year's Day Wednesday, January 1 Thursday, January 1 Saturday, January 1 Lincoln's Birthday Wednesday, February 12 Thursday, February 12 Saturday, February 12 President's Day Monday, February 17 Monday, February 16 Monday, February 21 Memorial Day Monday, May 26 Monday, May 31 Monday, May 30 Independence Day Friday, July 4 Sunday, July 4 Monday, July 4 Labor Day Monday, September 1 Monday, September 6 Monday, September 5 Veteran's Day Tuesday, November 11 Thursday, November 11 Friday, November 11 Thanksgiving Day Thursday, November 27 Thursday, November 25 Thursday, November 24 Day after Thanksgiving Friday, November 28 Friday, November 23 Friday, November 25 Day before Christmas Wednesday, December 24 Friday, December 24 Saturday, December 24 Christmas Day Thursday, December 25 Saturday, December 25 Sunday , December 25 Floating Holiday ** ** ** Employees may elect one day during each year as a "Floating Holiday." New employees will accrue .the ~Floating Holiday" on the following pre-ra1a basis their first talendar year of senik:e: 1 ~ .quarter hire = 100%, 2nd: quarter hire = 75% 3rd quarter hire= 50%; and 41h qµarter hite-= 0%. The "Floating Holiday'' must be used within the year it is accrued. An employee is eligible to accrue the Floating Holiday if employed on or before December 15 '.,. Every effort shall be made to grant an employee's request for a "Floating Holiday'' off providing an employee gives sufficient notice to their supervisor. It is recommended that the floating holiday be utilized by the last full pay-period in December of the year in which it is accrued however, if an employee chooses to use the floating holiday after the last full pay-period up until December 31, they may. The employee should notify payroll if they choose the latter option. 6.0 EXCEPTIONS 6.1 When an employee is on medical or pregnancy leave, holidays will be paid only during disability waiting period if employee is in a continuous paid status. All other holidays that H:ldeptlagenda\FAHRIFAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 31 Book 99 occur outside the waiting period will not be paid, regardless if employee is in paid status or not. 6.2 Part-time employees who work on a holiday are not eligible to receive overtime pay. 7.0 PROVISIONS AND CONDITIONS 7.1 If a regularly scheduled holiday occurs on a Saturday, the previous Friday shall be taken off as the "holiday'' for pay purposes. If a regularly scheduled holiday occurs on a Sunday, then the following Monday shall be taken off as the "holiday'' for pay purposes. 8.0 RELATED DOCUMENTS H:\dept\agenda\FAHR\FAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 32 Book 100 Orange County Sanitation District Subject: INSURANCE 1.0 PURPOSE Policy Number: D50.00 Effective Date: October 27, 1999 'February 25, 2004 Supersedes: May 13, 1998 October 27, 1999 Approved by: Lisa L. Tomko 1.1 The purpose of this policy is to establish uniform guidelines and procedures for use in the administration of the Orange County Sanitation District's {OCSD's) insurance benefits program. 2.0 ORGANIZATIONAL UNITS AFFECTED 2.1 All Qi.stfiGt OCSD employees. 3.0 DEFINITIONS 4.0 POLICY 4.1 Tho District OCSD shall provide medical-health insurance coverage through both health maintenance organizations and an indemnity type group health plan, life insurance, and disability insurance for the benefit of full-time employees. 4.2 All insurance coverage shall become effective on the first day of the month following eA-e full month of employment date of hire, regardless of hire date. An open enrollment period shall be held annually in the month of June. 5~ PLANS-PROGRAMS 5.1 Medical. Tho District OCSD shall contribute 100% of employee only premiums for the medical health plans and shall contribute 80% of the employee + 1 dependent and full family premiums. Any change in insurance rates shall be shared equally in same ratio as premiums are currently paid by the District OCSD and employees. Before the renewal of any District's OCSD's sponsored health insurance plan, the parties agree to meet and confer as to the plan. 5.1.1 Any change in insurance rates caused by a carrier after 11-25-96 are subject to the applicable provisions of the various Memoranda of Understanding approved by the Boards of Directors. 5.2 Life. Tho District OCSD provides term life insurance coverage for most employees. TM QistfiGt OCSD shall pay the full premium for term life insurance as established for each employee covered under a Memorandum of Understanding or as otherwise agreed upon. 5.3 Short Term Disability. The District OCSD shall provide a non-work related, short-term disability indemnity plan that pays up to a maximum of~ $490 per week for up to 26 weeks following a fourteen calendar day waiting period. Employees may request to receive prorated sick leave, personal leave or vacation pay to supplement their short term disability payments in an amount such that the sum of both is equal to the employee's regular base pay. 5.4 Long-Term Disability. The District OCSD offers, at the employee's expense, a non-work related, long-term disability indemnity plan that pays two-thirds of the employee's rate of pay in effect at the time of such disability, not to exceed $5,000 per month, following a 90-day waiting period of continuous disability. TM District OCSD provides this coverage at the District's OCSD's expense after five years of employment. H:\dept\agenda\FAHR\FAHR2004\0204\04-08,HR Policies.doc Revised: 2/3/2004 Page 33 Book 101 5.5 Dental. The Distriot OCSD provides a dental plan for regular, full-time employees and their eligible dependents at no cost for employee-only coverage and $9.00 per month for full family coverage. 5.5 Vision. The Distriot OCSD shall provide a vision insurance plan for regular, full-time employees and their eligible dependents. 5.6 Retiring Employees. The District OCSD shall pay, for employees hired prior to July 1, 1988, two and one-half months' premium for each year of continuous service of a retiring employee towards the premium costs of coverage for the employee and eligible dependents under the District's OCSD's medical plan. 5.6.1 The Distriot OCSD shall enter into an agreement with the Orange County Employee Retirement System (OCERS) to implement the retiree medical health premium offset program established by the County of Orange wherein the cost of health premiums are offset by $10 per month for every year of service up to a maximum of 25 years or $250 per month. 5. 7 Deceased Employees. In th~ event of the death of an active employee OCSD shall pay the premium cost for a, period of one year from the date benefits would otherwise terminat~ for the surviving dependents co~ered under the dec::eased employee's mediea.l and dental insurance pja,:is. 5.8 Workers Compensation Insurance. The Distriot's OCSD's Workers Compensation program is self-funded and administered by a third party administrator. Workers' Compensation insurance provides coverage for injuries arising out of employment with the Distriot OCSD and occurring in the course of employment. 5.9 Reimbursement Account. Section 125 of the Internal Revenue Code permits employees to use pretax dollars to pay for their portion of the cost of benefits under the plan through salary redirection arrangements. The available options are summarized below. For complete information regarding Flexible Spending Accounts employees must refer to the plan booklet available in the Human Resources Department. Participation in this Program does not affect the Distriot's OCSD's contribution to the Orange County Employees Retirement System. The amount deducted shall then be repaid to the employee through the Distriot's OCSD's provided Reimbursement Program. 5.9.1 Group Insurance Premium. Group insurance premiums that are paid by salary redirection can be made on a pretax basis. 5.9.2 Medical Care Reimbursement Account. The purpose of this account is to provide a method through which an employee can accumulate pretax funds in a Medical Care Reimbursement Account for the purposes of reimbursing the employee for payment of health care costs not otherwise covered by the health and medical insurance. 5.9.3 Dependent Care Assistance Account. The purpose of this account is to provide a method through which an employee can accumulate pretax funds in a Dependent Care Assistance Account for the purposes of reimbursing the employee for child care expenses or day care for a disabled dependent. 6.0 EXCEPTIONS 6.1 Contract workers are not entitled to and are ineligible to join or participate in any benefit plans offered to those individuals listed on OCSD's payroll as regular employees. 7.0 PROVISIONS AND CONDITIONS 7.1 No combination of disability or sick leave pay shall result in more than an employee's regular rate of pay. Employees may not receive short-term and long-term disability H:\dept\agenda\FAHR\FAHR2004\0204\04-08 HR Policies.doc Revised: 2/3/2004 Page 34 Book 102 benefits at the same time. An employee who is otherwise not eligible for Distriot OCSO paid long-term disability may purchase such coverage at their own expense. 7.2 In the event ~stfist.OCSD adds additional optional insurance plans, the Distriot's OCSO's share of the premium shall be the same as for existing plans as set forth above. In the event tho District 00$0 changes underwriters for existing insurance plans, t-l=le D¼StfiGt!s OCSD's share of the premium shall be the same as for existing insurance plans as set forth above. H:\dept\agenda\FAHRIFAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 35 Book 103 Orange County Sanitation District Policy Number: D110.00 Effective Date: OGtober 22, 2003 February 25, 2004 Subject: Catastrophic Illness Leave Supersedes: October 22, 2003 Donation Program Approved by: Lisa L. Tomko 6.0 PURPOSE 1.1 The purpose of this policy is to establish uniform guidelines and procedures for use in the administration of the District's Catastrophic Illness Leave Donation Program. 7.0 ORGANIZATIONAL UNITS AFFECTED 7.1 All District employees. 8.0 DEFINITIONS 8.1 Catastrophic Illness or Injury • Debilitating illness or injury which is expected to incapacitate the employee for an extended period of time and which creates a financial hardship due to the exhaustion of all accrued leave. • A debilitating illness or injury of a child, parent or spouse that results in the employee being required to take time away from work for an extended period to care for the family member, therefore creating a hardship due to the exhaustion of the employee's accrued leave. 9.0 POLICY 4.1 Employees may on occasion face catastrophic medical conditions involving themselves or their immediate family that results in the exhaustion of all accrued sick, vacation, personal or other paid leave. Such employees may request, or be nominated for allocations of leave time according to the District's Catastrophic Illness Leave Donation Program. 4.3 Employees may, in accordance with the provisions of the District's policy regarding the Catastrophic Illness Leave Donation Program, elect to donate accrued and unused personal leave, vacation leave or compensatory time off to an individual employee qualified and approved to receive allocations of leave time. 4.4 Leave time eligible to be donated by one employee to another include vacation, compensatory or personal leave. 10.0 PROCEDURE 10.1 Requests or nominations for donated leave time are subject to the approval of the Director of Human Resources or designee, pursuant to this policy. 10.2 Requests for donated leave time are to be submitted to the Human Resources Supervisor using the form "Application for Use of Catastrophic Illness Leave Hours". This form is located on the HR intranet site. H:\dept\agenda\FAHRIFAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 36 Book 104 10.3 Communicating the request to District employees for leave time donations shall be made in the following manner: 10.3.1 The employee or nominator will submit a draft e-mail to Human Resources for review informing employees of the request for leave time donations. 10.3.2 Human Resources will send the approved e-mail announcement to the employee's immediate work division, and may also send it to the department. It can later be sent to other divisions or departments if requested. 10.4 To make a leave time donation, employees should complete a "Catastrophic Illness Leave Donation Form" and submit it the form to Human Resources. This form is located on the HR intranet site. 10.5 The vacation, compensatory or personal leave time donated by an employee shall be converted to a dollar value based on the hourly rate of the donor. 10.6 At the time of allocation, those dollars shall then be converted into sick leave or personal leave at the hourly rate of the recipient of the donated leave time. 6.0 EXCEPTIONS 6.1 Employees who have not exhausted their paid leave -vacation, sick, personal and compensatory time off -at the time of request or nomination will not be considered for allocation of leave time until their paid leave time is exhausted. 6.3 Sick leave may not be donated by one employee to another. 7.0 PROVISIONS AND CONDITIONS 7.1 To be eligible to receive allocations of leave time as provided by the Catastrophic Illness Leave Donation Program, employees must have exhausted all of their paid leave, including vacation, sick, personal and compensatory time off. 7.2 The maximum allocation of donated leave that an employee may receive is 480 hours per individual per 12 month period except in theeventthe le-ave perio!I terminates due to the employee's death. If death occurs, remaining donated hours may exceed 480 to be paid out as a survivor benefit. 7.3 Employees will be requested to provide medical documentation of a catastrophic health condition involving their child, parent or spouse, or involving the employee's own catastrophic health condition. 7.5 Donations must be made in whole hour increments, and are irrevocable. 7.5.1 Any such hours that remain at the conclusion of the leave period shall be returned to the donors on a pro-rated basis per the hourly salary of the originally donated hours. 7.5.2 1n the case of an employee's death during the leave period, donors may be given the option of having their donated hours remain in the deceased employee's leave account to be paid out as a survivor benefit. 9.0 RELATED DOCUMENTS 9.1 Application for Use of Catastrophic Illness Leave Hours form. 9.2 Catastrophic Illness Leave Donation form H:ldeptlagenda\FAHR\FAHR2004\0204\04-08.HR Policies-doc Revised: 2/3/2004 Page 37 Book 105 Orange County Sanitation District Policy Number: F50.00 Effective Date: February 26, 2003 February 25, 2004 Subject: PROBLEM SOLVING PROCEDURE Supersedes: October 22, 1997 February 26, 2003 Approved by: Lisa L. Tomko 1.0 PURPOSE 1.1 The purpose oft.his policy is to establish uniform guidelines and procedures for application of the Orange County Sanitation District's (OCSD's) Problem Solving Procedure. 2.0 ORGANIZATIONAL UNITS AFFECTED 2.1 This policy applies to all ~t-OCSD. employees in all organizational units and departments, unless otherwise specified. 3.0 DEFINITIONS 4.0 POLICY 4.1 It is tho District's OCSD's policy to encourage and facilitate the resolution of employee concerns in a responsive, timely and fair manner. 5.0 PROCEDURE 5.1 Employees may bring problems to the attention of District OCSD managers through the Problem-Solving Procedure. This procedure may be used to attempt to resolve issues that may not be subject to the Grievance Procedure (Policy F60.00). 5.2 Employees should discuss concerns regarding issues that are not grievable with their supervisor as soon as possible. The supervisor will review the situation or decision, and provide a written response within five .business days from the date they were notified of the problem. ~ If the problem is not resolved to the employee's satisfaction, the employee may file a written statement concerning the problem with the Director of Human Resources within ten business days of receipt of the supervisor's decision. Upon request by either party, a meeting may be held to define issues and establish the remedies sought. FGF--beGal-a01 employees, the 'Nork Issues Committos, comprised of two management and twEH!nion representatives and chaired by the Directo~man Resources, may be convened to cooperatively review and develop recommendations for sok:1-tion of work Issues and pr0el0ffl&.- 5.4 The employee will be provided with a written response within ten business days after tReff his/her statement is received. Time limits may be extended for cause upon mutual consent of the parties. The decision of Human Resources is final. 6.0 EXCEPTIONS 7.0 PROVISIONS AND CONDITIONS 8.0 RELATED DOCUMENTS 8.1 Policy F60.00, Grievance Procedure H:\dept\agenda\FAHRIFAHR2004\0204\04•08 HR Policies.doc Revised: 2/3/2004 Page 38 Book 106 ~ Policy Number: F60.00 ;r:"h ~ Orange County ,,-::~~ Sanitation District Effective Date: October 22, 1997 ~~='° :;i ~ February 25, 2004 Subject: GRIEVANCE PROCEDURE Supersedes: October 22_., 1997 Approved by: Lisa L. Tomko 1.0 PURPOSE 1.1 The purpose of this policy is to establish uniform guidelines and procedures for use in administration of tRe Orange County Sanitation District's (OCSD's) Grievance Procedure. 2.0 ORGANIZATIONAL UNITS AFFECTED 2.1 This policy applies to all GistfiGt OCSD employees in all organizational units and departments unless otherwise specified. 3.0 DEFINITIONS A Grievance is any complaint that management has violated a specific written policy or provision of a Memorandum of Understanding (MOU). 4.0 POLICY 4.1 It is the policy of the District OCSD to allow a grievance to be brought to the attention of th& District OCSD by an individual employee or by a recognized employee organization. 5.0 PROCEDURE 5.1 Grievances brought by two or more employees, and concerning the same incident, issue, or course of conduct, or multiple grievances brought by the same employee may, upon mutual agreement of th& OistfiGt OCSD and an employee organization, be consolidated for the purposes of this procedure. An employee shall have the right to be represented at all steps of the Grievance Procedure by any other employee within the bargaining group or by the representative of the recognized employee organization. Any reference to days in this article implies business days. 5.2 Step 1 . An employee who has a complaint shall attempt to resolve it with tAeff his/her immediate supervisor within five days of the occurrence of the event giving rise to the complaint. The supervisor shall attempt to resolve the issues surrounding the complaint, and respond to the employee within five days. 5.3 Step 2. If the grievance is not settled informally at Step 1, it may be presented in writing to the employee's Department Head or designee. This request for formal review must be presented on a form provided by the District OCSD within five days of the conclusion of Step 1. A copy of each written communication on a grievance will be filed with the Director ot 1Human Resources. The written grievance must: 5.3.1 Identify the specific management act to be reviewed; 5.3.2 Specify how the employee was adversely affected; 5.3.3 List the specific provisions of the MOU that were allegedly violated, and state how they were violated; 5.3.4 Specify the remedy requested; H:\deptlagenda\FAHRIFAHR2004\0204\04•08.HR Policies.doc Revised: 2/3/2004 Page 39 Book 107 5.3.5. Provide the date of attempts at informal resolution and the name of the supervisor or individual involved. The Department Head, or designee, shall respond in writing to the employee within 10 days after the date the grievance is received. 5.4 Step 3. If a grievance is not settled under Step 1 or 2, it may be presented to the Director of Human Resources for review and written response. The request for formal review must be presented on a form provided by the District OCSO within ten days of the conclusion of Step 1 or 2, and must contain the information specified in Step 2. A copy of eac~written communication ·Gn a gnevanee will be flied With the Director of Human Resources. The Director of Human Resources, or designee, shall respond in writing to the employee within 10 days after the date the grievance is received. 5.5 Step 4. If the grievance cannot be resolved under Step 3, it may be presented to the General Manager within 10 days from the date the Step 3 finding was issued. The General Manager or designee, shall respond in writing to the employee within 15 days after the date the grievance is received. 5.5.1 Failure of a supeivisor, Department Head or other management representative to respond within the prescribed time limit shall provide a basis for the employee to appeal to the next step. If a grievance is not presented or appealed to the next level within the specified time limits, it shall be considered settled on the basis of the preceding response. The Director of Human Resources may be petitioned in writing to waive the step or time requirements provided sufficient cause exists. Time limits may also be extended at any step upon mutual agreement of the parties. 5.6 ~-If the grievance cannot be rosolYed 'Nith the General Manager or designoo, it may be prosontes to tho Secretary of tho Boards of Directors for consideration by the Boards. Appeal to tho District's Boards shall be the final step in tho Grie¥ance Prooedure. 6.0 EXCEPTIONS 6.1 A grievance may not be brought by the District OCSD through this procedure. 7.0 PROVISIONS AND CONDITIONS 7.1 General Provisions. An employee shall be given reasonable time off, with advance approval of his or her supervisor, to investigate and process a grievance. When an employee is represented by a recognized employee organization, that organization may designate one employee to investigate and process the grievance. The employee representative shall be given reasonable time off, with the advance approval of his or her supervisor, to perform this duty. Time off for investigating and processing a grievance shall be without loss of pay. Absence from work will be approved only if it does not disrupt the District's 'OC~D's operations. If the time requested cannot be provided, another time will be arranged. 7.2 Discipline imposed under Policy No. F70.00 (Discipline) is not reviewable as a grievance under this procedure. 8.0 RELATED DOCUMENTS H:\dept\agenda\FAHRIFAHR2004\0204\04-08.HA Policies.doc Revised: 2/3/2004 Page 40 Book 108 ~ Policy Number: F70.00 -~ ~ Orange County .~~~ ~~~ Sanitation District Effective Date: April 26, 2000 __,,,,___...., February 25, 2004 Subject: DISCIPLINE Supersedes: October 22, 1997 Apr,I 26, 2000 Approved by: Lisa L. Tomko 1.0 PURPOSE 1.1 The purpose of this policy is to establish uniform guidelines and procedures for use in the administration of fair and consistent discipline in instances where employees have exceeded the limits of acceptable behavior or performance. 2.0 ORGANIZATIONAL UNITS AFFECTED 2.1 All Oran,_ge County Sanitation District (GCSD) employees. 3.0 DEFINITIONS Discipline is the occurrence of any of the following actions taken for just cause with respect to any employee: ~ verbal reprimand, counseling memo, written warning reprimand, suspension without pay, reduction in pay, demotion to a classification with a lower maximum rate of pay, or dismissal. Dismissal is the separation from District OCSD employment of a non-probationary employee Initiated by the District OCSDfor ~ just cause. "Termination" means dismissal, and the terms are used interchangeably throughout this policy manual. 4.0 POLICY 4.1 The District OCSD is committed to practicing supervisory and management practices and procedures which support effective operations in the interest of the District OCSD and of our employees. Such procedures include the administration of fair and consistent discipline in instances where employees have exceeded the limits of acceptable behavior or performance. Employment with the District OCSD is voluntarily entered into, and employees have the right to resign at any time to pursue other interests. Similarly, the District OCSD has the right to conclude an employment relationship for proper cause when it is believed to be in the District's OCSD's best interests. 4.2 The General Manager is authorized and directed to exercise supervision over all employees and to impose discipline, for just cause, upon any person employed under the provisions of this Policy for both general and serious violations. 4.3 The General Manager shall establish rules and guidelines pertaining to the procedures governing such actions. 4.4 The General Manager is authorized to delegate his authority herein to the Department Heads, Division Managers, Director of Human Resources and other management and supervisory employees, as the General Manager deems appropriate. Notwithstanding the foregoing, "at-will" Executive Management employees may be dismissed at any time, without notice or just cause. 4.5 Notwithstanding the foregoing, Executive Management and contract employees who have signed an agreement to serve at the pleasure of the Joint Boards or General Manager are "at-will" and may be dismissed at any time, without notice or just cause. H:\deptlagenda\FAHRIFAHR2004\0204104-08.HR Policies.doc Revised: 2/3/2004 Page 41 Book 109 5.0 PROCEDURE 5 .1 Discipline may occurs when any of the following actions are taken for just cause with respect to any employee: ef8J vel'.bal; reprimand, counseling memo, written warning reprimand, suspension without pay, reduction in pay, demotion to a classification with a lower maximum rate of pay, or dismissal. Dismissal is the termination from District OCSD employment, of a non-probationary employee, initiated by the District OCSD for pFGpef jlfst cause. Employees exempt from overtime pursuant to the Fair Labor Standards Act, however, shall not be subject to suspension without pay for less than one week except for major safety violations. &.-a A Notice of Intent to impose disciplinary action is not required when the disciplinary action involves aR Gi:al verbal reprimand, C>r written warning reprimand. or suspension without pay for five or tower •.vorking days. 5.3 A Notice of Intent to impose disciplinary action is required and will be given to an employee whenever the disciplinary action involves suspension without pay for more than fr;o y,<orking €lays, reduction in pay, demotion to a classification with a lower maximum rate of pay or dismissal. The Notice of Intent shall be given to the affected employee either by delivery in person or by Certified Mail sent to the employee's last know address. The Notice of Intent shall indicate the date on which it was personally delivered or deposited in the mail, which shall be the date of issuance. 5.3.1 The Notice of Intent shall contain the foll0wlng: (1) a description of the disciplinary action intended and the effective date of the action, (2.) the reasons for the proposed action; ,am! (3) a copy of the charges and materials upon which the action is based,; and, (4} The Notice shall also provide a statement of the employee's right to respond, either orally verbally or ir, writing to the authority person initially imposing the discipline, or to an OCSD management representative with authority to make an effective rec::ommendation en the propeaed action, the person to whom any response must be directed, and the tact that such response must be received within ten business days of the date of issuance of the notice. The Notice will also advise the employee of theif the right to representation. 5.4 Prior to the effective date of any proposed disciplinary action requiring a Notice of Intent, the employee will be given an opportunity to respond either orally or in writing to a management representative with authority to make an effective recommendation on a proposed action. After review of an employee's response, the District OCSD will notify the employee in writing of any action to be taken. Such action may not involve discipline more severe than that described in the Notice of Intent; however, the District QCS[) may reduce discipline without further notice. 5.5 Dismissal shall be proceeded by at least one written warning reprimand, except in those situations in which the employee knows or reasonably should have known that the performance or conduct was unsatisfactory. Such performance or conduct may involve, but is not limited to: dishonesty, possession, use, sale or being under the influence or drugs or alcohol, theft or misappropriation of District's OCSD's property or funds, falsification of District's OCSD's, records, fighting on the job, insubordination, acts endangering people or property, or other serious misconduct. The District OCSD may also substitute a documented suspension, witR-Gf without pay, in lieu of the written warning reprimanq requirement herein. 5.6 If a Notice of Intent is upheld and the disciplinary action is imposed, the employee may request a post-disciplinary hearing. The request must be submitted to the Director of Human Resources or designee within ten business days after the date of issuance of the notice of disciplinary action. Human Resources shall schedule a post-disciplinary hearing with the General Manager or his designee. The General Manager, or his designee, may uphold the disciplinary action, which has been taken or may reduce such discipline without the issuance of further notice. The decision of the General Manager or his designee shall be final. H:\dept\agenda\FAHRIFAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 42 Book 110 5.7 The above procedure, including the right to post diooi-f3-l+nary hearlhg, shall apply to the discipline and dismissal of Executive Management employees, who have net signed an at 11.iill employment agreemeAt-aA-fl,...who are not governed by a memo·randum of understanGiR§. 5.8 +he District OCSO may place an employee on administrative leave without prior notice in order to review or investigate allegations of conduct which, in the Distriot's OGSD's view, would warrant relieving the employee immediately from all work duties. If, upon conclusion of the investigation, neither suspension without pay nor dismissal is determined by the District ocs:~ to be appropriate, the employee shall be paid for the leave. Although an administrative leave may exceed fifteen business days, if a suspension without pay is determined to be the appropriate discipline, a maximum of fifteen business days of the administrative leave period may be applied to such suspension without pay. 6.0 EXCEPTIONS 7.0 PROVISIONS AND CONDITIONS 8.0 RELATED DOCUMENTS 8.1 Policy B100.00 Employee Separation. H:\deptlagenda\FAHR\FAHR2004\0204\04-08.HR Policies.doc Revised: 2/3/2004 Page 43 Book 111 FAHR COMMITTE E Meeting Date 02/11/04 AGE NDA REPO RT Item Number FAHR04-09 Orange County Sanitation District FROM: Lisa Tomko, Director of Human Resources ORIGINATOR: James Matte, Safety and Health Supervisor SUBJECT: Safety Policy, Backflow Prevention Policy GENERAL MANAGER'S RECOMMENDATION To Bel. of Dir. 02/25/04 Item Number Approve SAFETY-POL-115, Backflow Prevention Program as provided for in Resolution No. OCSD 02-5 regarding the District's Backflow Prevention Program. SUMMARY The District is implementing a written policy to adopt requirements of the California Department of Health Services Regulations, found in Titles 17 and 22 of the California Code of Regulations, that requires performance of specific actions and practices when safeguarding potable water systems. This is a new program combining elements found in existing Engineering Specifications, Safety and Health and Operations and Maintenance programs. The document presented for your review and adoption represents the District's written Backflow Prevention Policy, which conforms to the elements defined in the California Department of Health Services, Titles 17 and 22 of the California Code of Regulations. PROJECT/CONTRACT COST SUMMARY Not Applicable BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. [gl Not applicable (information item) ADDITIONAL INFORMATION The Policy is required under the California Department of Health Services Regulations , found in Titles 17 and 22 of the California Code of Regulations. Book 112 ALTERNATIVES Not Applic~ble CEQA FINDINGS Not Applicable ATTACHMENTS Attachment 1-Backflow Prevention Policy (SAFETY-POL-115) H:lde~tiag8f)qa\FAHR\FP,.HR2004\0204104-:09$AF.ETV-POL-1t5.doc Revised: 8/20/01 B ook 113 Page2 ORANGE COUNTY SANITATION DISTRICT Safety and Health Division DRAFT SAFETY-POL-1 15 Backflow Prevention APPROVALS Approved by: ___________________ Date: ___ _ Director of Human Resources Approved by: ___________________ Date: ___ _ Manager, Human Resources Approved by: ___________________ Date: ___ _ Safetv and Health Suoervlsor PROCEDURE REVISION HISTORY Rev. Date Approval 0 This document is controlled when viewed online. When downloaded and printed, this document becomes UNCONTROLLED, and users should check the Safety and Emergency Response public folder to ensure that they have the latest version. Book 114 Backflow Prevention SAFETY-POL-115 Contents Purpose and Scope ....................................................................................................... 3 Prerequisites .................................................................................................................................................. 3 Precautions ..... -............................................................................................................... 3 Definitions ....... -............ -.......... • 111 ••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••••• 3 General .... -........................................................................ ._ ....................................................................................... 5 Instructions-New Construction .......... ia••··················· ................................................... 5 Training and Communication ....................................................................................... 5 Recordkeepi ng ............................................ ····••-•······ ........... ._ ................................... -.......... 6 References .................. -.. ~················ .. ················ .. ······· .. ···••-•···--············ .. ·············--........... 6 Attachments .................................................................................................................................... 7 Rev. 0 10/25/03 h:\dept\agenda\fahr\fahr2004\0204\04-09.1.doc Book 115 Hard Copy Is Uncontrolled 2 of 7 Number: SAFETY-POL-115 @ Orange County Sanitation District Revision Number: 0 Backflow Prevention Program Date: Approved by: Purpose and Scope This policy has been developed to protect the Orange County Sanitation District (OCSD) water distribution system from contamination and/or pollution resulting from the backflow, back-siphonage or cross connection into a potable water service connection(s). The OCSD shall develop and implement a backflow prevention and cross connection program that complies with state and local regulations. This policy applies to all designs, installations, maintenance or testing function related to an OCSD water distribution system. This policy shall also act as the mechanism for compliance with existing OCSD specifications, policies and procedures while protecting employee and public health. Prerequisites 1. Connection to a potable water source. 2. Verify that this policy is the current version. Precautions 1 . Cross connections to potable water supplies can lead to contaminated water supplies. Definitions Air Gap Separation (AG) A physical break between the supply line and a receiving vessel. Regulated Water Supply A water supply whose potability is regulated by a State or local health agency Auxiliary Water Supply Any water supply other than that received from an OCSD water system. AWWA Standard An official standard developed and approved by the American Water Works Association. Backflow A flow condition, caused by a differential in pressure Rev. 12/30/01 h:\dept\agenda\fahr\fahr2004\0204\04-09.1.doc Hard Copy Is Uncontrolled 3 of 7 Book 116 Backflow Prevention SAFETY-POL-115 that causes the flow of unapproved water or other contaminants into the potable supply source. Backsiphonage Backflow caused by negative or reduced pressure in the supply piping. Backpressure Backflow caused by positive or higher pressure in the user's system. Cross Connection An unprotected actual or potential connection between a potable water system used to supply water for drinking purposes and any source or system containing unapproved water or a substance that is not or cannot be approved as safe, wholesome and potable. By-pass arrangements, jumper connections, removable sections, swivel or changeover devices or other devices through which backflow could occur, shall be considered cross-connections. Double Check Valve An assembly of at least two independently acting check valves including tightly closing shut-off valves on each side of the check valve assembly and test cocks available for testing the water tightness of each check valve . Recycled Water A wastewater which as a result of treatment is suitable for uses other than potable use. Reduced Pressure Principle A backflow preventer incorporating not less than two check valves, an automatically operated differential relief valve located between the two check valves, a tightly closing shut-off on each side of the check valve assembly, and is equipped with the necessary test cocks for testing. User Connection The point of connection of a user's piping to the water supplier's facilities. Water Supplier The person or entity who owns or operates a public water system. Water User Any person or entity obtaining water from a public water supply. Rev. 0 10/25/03 h:\dept\agenda\fahr\fahr2004\0204\04-09.1.doc Hard Copy Is Uncontrolled 4 of 7 Book 117 Backflow Prevention SAFETV-POL-115 General The OCSD shall install, operate, maintain and protect its water systems by controlling actual or potential cross-connections via: 1. Promoting elimination of existing or future cross-connections through scheduled inspections and regulation of water system construction and operation within OCSD facilities. 2. Properly installing and maintaining backflow preventers where actual or potential cross-connections exist to prevent backflow or back siphonage of contaminants or pollutants into OCSD water systems. 3. All installations shall comply with regulatory requirements and shall be commensurate with the degree of hazard that exists. Instructions-New Construction 1. 8ackflow prevention shall be installed in accordance with OCSD Specification, Sections 15100 and 15115. 2. The specifications shall include, but not be limited to, the following elements: A. Submittal of the job-specific backflow prevention devices. 8. Submittal of the backflow preventer testing documentation. C. Identification of locations where the contractor's work will require use of a backflow preventer (specify type). 3. The Construction Inspector is responsible to ensure that backflow prevention devices are tested by an independent third party and copies of the test results are forwarded to the CMMS Group for inclusion into that system. Training and Communication 1 . A training program to educate applicable OCSD staff on: A. The requirements of this policy; 8. The operating procedures by which the program is implemented; and, C. Job-specific role(s)/responsibility(ies). Rev.O 10/25/03 h:\dept\agenda\fahr\fahr2004\0204\04-09.1.doc Book 118 Hard Copy Is Uncontrolled 5 of 7 Backflow Prevention SAFETY-POL-115 Recordkeepi ng 1. A database within the Computer Maintenance Management System (CMMS) to properly inventory and maintain existing backflow preventers. 2. The database shall include "at will" backflow preventers, used on an as needed basis, and those currently in service on OCSD property. 3. This database should include, but not be limited to, the following elements: A. The name of the device B. Manufacturer C. Serial Number (manufacturer) D. Loop Tag Number (OCSD) E. Location (if in service) F. Date of purchase G. Date of manufacture H. Most recent certification test data I. Date of the next scheduled or required certification test 4. A list of approved backflow prevention assemblies which will be made available to OCSD employees and the public by written or electronic request. References OCSD Engineering Specifications, Sections 15100 and 15115 OCSD Engineering Guidelines, Chapters 2 and 6 OCSD Instrument and Equipment Tagging Procedure California Code of Regulations, Title 17, Chapter 5 California Code of Regulations, Title 22, Division 4 American Water Works Association, Standard C506 Water Recycling 2030: Recommendations of California's Recycled Water Task Force, California Department of Water Resources, June 2003 Rev. 0 10/25/03 h:\dept\agenda\fahr\fahr2004\0204\04-09.1.doc Book 119 Hard Copy Is Uncontrolled 6 of 7 Backflow Prevention SAFETY-POL-115 Approved Backflow Prevention Assemblies for Service Isolation, California Department of Health Services, August 2002 Attachments California Health Laws Related to Recycled Water, "The Purple Book". Most Recent Edition. California Department of Health Services, Recycled Water Unit. Rev.a 10/25/03 h:\dept\agenda\fahr\fahr2004\0204\04-09.1.doc Book 120 Hard Copy Is Uncontrolled 7 of 7 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller Meeting Date 2/11/04 Item Number FAHR04-10 SUBJECT: CONSIDERATION OF BUDGET ASSUMPTIONS, FISCAL POLICY STATEMENTS, AND BUDGET CALENDAR FOR PREPARATION OF THE FY 2004-05 BUDGET GENERAL MANAGER'S RECOMMENDATION Approve the FY 2004-05 Budget Assumptions and direct staff to prepare the FY 2004-05 budget incorporating these parameters. SUMMARY Each year the FAHR Committee establishes the Budget Assumptions, approves updates to the Fiscal Policies, as appropriate, and develops the Budget Calendar for preparation of the annual budget. Staff will make a brief presentation at the Committee meeting. PROJECT/CONTRACT COST SUMMARY N/A 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. [8J Not applicable (information item) ATTACHMENTS 1. Preliminary Budget Assumptions (Pages 1 through 4) 2. Budget Calendar (Pages 5 through 8) 3. Fiscal Policy (Pages 9 through 16)\ H:\deptlagenda\FAHRIFAHR2004\0204104-1 a.Budget Assumptions.doc Book 121 Page 1 To Bd. of Dir. 2/25/04 Item Number Preliminary Budget Assumptions FY 2004-05 Proposed Budget Assumptions Economic Assumptions • Inflation for Orange County in FY 2004-05 is projected to be 2.9 per- cent based on the 2004 projected percentage change in CPI obtained from the December 2003 Economic and Business Review report pre- pared by Chapman University. Revenue Assumptions • Year 2 of the Proposed Sewer Service Fee Rate Schedule will be ratified by the Board. • For FY 2004-05 the district-wide rate for a single-family residence (SFR) will increase 15% to $115.00. • Notification of a rate increase is not required as rates will not exceed the 20% maximum that was included in the last notification. A $1 increase in rates generates approximately $900,000 in annual revenue. • New connection fees, or capital fa- cilities capacity charges, that will be effective in April 2004 will capture only those infrastructure costs that relate to additional capacity. Other infrastructure costs such as im- proved treatment, rehabilitation, re- furbishment, and replacement, will be supported through user fees. Without changes in the Strategic Plan, no changes are proposed for capital facilities capacity charges. Rates may be expected to increase due to an up-date of the Strategic Plan, but no estimate can be made at this point. Revenues will be bud- geted to reflect 4,000 Equivalent Dwelling Unit (EDU) connections, the average of the past ten years. (These additional users are expect- Page 1 ed to generate approximately 1 .04 mgd of future flow increases.) • New annexation fees to be effective in March 2004 will capture both the net current assets and the equiva- lent property tax allocations totaling $4,235 per acre. • District staff is working to avoid any further property tax shift to the state, and no additional diversions will be budgeted above the current levels, which were effective in 1992. About $3.5 million continues to be diverted annually, All current taxes are used for COP debt service. • Property tax revenues in FY 2004-05 are being proposed at a conserve- ative 4.0% increase. A 2% annual increase in Assessed Value is auth- orized by the state constitution and is regarded as being somewhat rou- tine. Additional Assessed Value in- creases up to market value are authorized when property is sold at a higher value. A 4% increase rep- resents approximately $1.8 million in additional Property Taxes, increase- ing the budget to $40.4 million. • Earnings on the investment of the District's operating cash and re- serves will be budgeted at 4.00%, the same as the current year est- imate. Staff has consulted with PIMCO to get estimates for the next year's rate of return on investments. Level of Treatment Issues • In July 2002 the Board decided not to apply for a renewal of the 301 (h) NPDES permit. Consideration of this decision and its impact on will be reflected in the FY 2004-05 and future budgets. Book 122 FY 2004-05 Budget • All existing and operational second- dary treatment facilities will be oper- ated and maintained during FY 2004-05. (Approx 150-155 mgd) • Interim short-term disinfection facil- ities will continue to be operated and maintained at existing levels and cost. • Ten-year cash flow projections will be prepared considering the Agency's desire to reach full secondary treat- ment as quickly as possible. Future O&M costs and capital improvement outlays will increase as the amount of secondary treatment or its equiva- lent increases and disinfection tech- nologies are implemented. Operating Assumptions • Joint works operating, maintenance and administration cost estimates for FY 2004-05 are expected to in- crease. The amount of the increase will be known after requests are sub- mitted, but increases are anticipated in personnel allocation, personnel salaries, natural gas, biosolids pro- gram, chemicals, and general inflation. • We expect to continue to receive about 2 mgd of urban runoff during the year as a part of our 250 mgd annual average. The current policy with 4 mgd and 1 O mgd thresholds will continue. This effort will not con- flict with the mission of the County's Public Facilities & Resources Department. • The cost to treat and dispose of 1 million gallons of wastewater is esti- mated to increase from the 2003-04 budget of $841.63 per million gal- lons, due to an increase in costs while flows remain relatively stable. Page2 • Average daily flow for FY 2004-05 is projected to be the same as the FY 2003-04 projected flows of 250 mgd. This is 14 mgd below the COM Stra- tegic Plan Update projection for FY 2004-05, but is 12 mgd above last year's actual, and is 4 mgd above the actual for the first 5 months of the current year, which are expected to be the "dry" months of the year. The last time the recorded flow was over 250 mgd was in FY 1998 at 254 mgd. • Total staffing will not be lower than the FY 2003-04 authorization of 596 FTEs. Additional staffing requests are anticipated for FY 2004-05 and following years. Preliminary addi- tional staffing requests for 34 FTEs will be reviewed. • MOUs for OCEA, Local 501 , and SPMT were completed in FY 2003- 04 and will be considered in the FY 2004-05 budget. Salary adjustments include a survey-based range ad- justment effective as of 7/1/04 for all employees. Additionally, all represented employees not already at the top step will be budgeted to receive a 4.6% step (merit) increase. • No vacancy factor will be budgeted for existing positions. All FY 03-04 budgeted 596.0 FTEs will be fully funded. Vacant positions at 12/10/03 will be budgeted at 50% of step 1 for the remainder of FY 03-04 and at 100% for FY 04-05. Any new FTEs authorized for FY 04-05 will be bud- geted at 50% of step 1 for the year. • Employee benefits including OCERS and insurances will be budgeted to increase 15% in total. • The proposed joint operating budget will continue to reflect an emphasis Book 123 Preliminary Budget Assumptions on safety, technical, and manage- ment training. The proposed FY 2004-05 budget will again include a budget for training that is equal to two percent of salaries and wages. • An amount equal to half of one per- cent of the Joint Operating materials and supplies budget will be a contin- gency for prior year reappropria- tions. Since the current year's bud- get lapses on June 30, a contingent- cy is needed in the succeeding bud- get year for goods or services order- ed at the end of one budget year but not delivered until the following year. • An amount equal to one percent of the Joint Operating materials and supplies budget will be the General Manager's contingency budget. These funds will be allocated to ap- propriate line items during the year after requests and justifications for unanticipated needs are approved by the General Manager. GIP Assumptions • The treatment plant and collection system capital improvement budget will be based upon the Strategic Plan Update as validated in 2003, the FY 2003-04 budgeted improve- ments that are completed, and our capacity to do the work. • The FY 2003-04 CIP Budget in- cludes 132 projects in the following categories: Planning Design Construction Equipment Total $26.5 Million $103.8 Million $65.5 Million $4.1 Million $199.9 Million • The Strategic Plan Update as vali- dated in 2003 will be the basis of the FY 2004-05 CIP budget. Requests Page3 for projects not previously identified in the validated CIP must be offset by reductions or deferrals. CIP pro- jects that are managed outside the Engineering Department will also fol- low this protocol. • The FY 2004-05 CIP budget will not exceed $300 million. During FY 2002-03, $112.4 million of the $154.4 CIP budget was expended, which is approximately 73%. For the first half of FY 2003-04, $54.4 million of the $199.9 million CIP budget was expended, which is approximately 27%. • All projects included in the capital improvement plan will be analyzed for future impacts on staffing and O&M costs, and the estimates will be reported on project pages in the budget. Debt Financing • The District will issue new debt in the form of Certificates of Participa- tion for the Capital Improvement Program as needed to fund the CIP and to maintain reserves. • Debt will only be used for CIP, not for operating expenses. • Borrowing is proposed only for facil- ities which do not add capacity and that are funded by all users for re- placement, rehabilitation, and im- proved treatment. • No debt financing is projected for FY 2004-05. Reserve Assumptions • The current reserve policy was reviewed by Public Resources Advisory Group (PRAG) and the Board during FY 2003-04. No changes were proposed and Book 124 FY 2004-05 Budget direction was given to continue to maintain reserve levels at a level that is adequate to hedge variable rate COPs. The current reserve policy is summarized as follows: • A cash flow reserve will be established to fund operations, maintenance and certificates of participation expenses for the first half of the fiscal year, prior to receipt of the first installment of the property tax allocation and sewer ser-vice user fees which are collected as a separate line item on the property tax bill. The level of this reserve will be established as the sum of an amount equal to 6 months operations and main-tenance expenses and the total of the annual debt (COP) service payments due in August each year. • An operating contingency reserve will be established to provide for non-recurring expenditures that were not anticipated when the annual budget and sewer service fees were considered and adopted. The level of this reserve will be established at an amount equal to ten percent of the annual operating budget. • A capital improvement reserve will be maintained to fund annual increments of the capital improvement program. The long- term target is for one half of the capital improvement program to be funded from borrowing and for one- half to be funded from current revenues and reserves. With this program in mind, the target level of this reserve has been established at one half of the average annual CIP through the 2020. • Catastrophic loss, or self-insurance, reserves will be maintained for property damage including fire, flood and earth-quake, for general liability and for wor-kers' compensation. These reserves are intended to work with purchased insurance policies, FEMA disaster reim-bursements and State disaster reim-bursements. The potential infrastructure loss from a major earthquake has been estimated at $495 million. The level of this reserve has been set to fund the District's non-reimbursed costs, estima-ted to be $57 million. • Accumulated capital funds will be set aside for certain specific short- term capital improvements as the need and availability arise. • A capital replacement/renewal re- serve policy has been established to provide 30 percent of the funding to replace or refurbish the current collection, treat-ment and disposal facilities at the end of their useful economic lives. • The current replacement value of these facilities is estimated to be $2.0 billion. The initial reserve level has been esta-blished at $50 million, which will be aug-mented by interest earnings and a small portion of the annual sewer user fee, in order to meet projected needs through the year 2030. Page4 • Provisions of the various certificate of participation (COP) issues require debt service reserves to be under the control of the Trustee for that issue. These re-serve funds are not available for the general needs of the District and must be maintained at specified levels. The current level of required COP service reserves is projected to be $61 million. Book 125 Preliminary Budget Assumptions • Accumulated funds exceeding the levels specified by District policy will be main-tained in a rate stabilization fund. These funds will be applied to future years' needs in order to maintain rates or to moderate annual fluctuations. There is no established target for this reseive. Page5 Book 126 FY 2004-05 Budget I Tasks PHASE I -BUDGET PREPARATION CIP- Database, Forms & Instruction Manual Developed CIP -Budget Kickoff CIP -Budget Preparation Training Preliminary Budget Assumptions Identified Preliminary Budget Assumptions Presented to EMT Draft Budget Calendar Published Preparation for Budget Kickoff / Training Session: • Salary and Benefit Calculations Downloaded From JOE System to Excel Worksheets (Five Year Staffing Plan) • Develop Line Item Worksheets With Mid-Year Actual Expense ,. Prepare/ Update Budget Instruction Manual Budget Kickoff/ Training Session: -Distribute Budget Manual Update -Conduct Budget Training Session -Distribute Budget Worksheets for each division including -Prior year actuals, Current year budget, - Six months of current year actuals Preliminary Staffing Needs by Department Submitted to Financial Planning Unifying Strategies Finalized Budget Parameters Presented to Other Committees Budget Parameters Presented to Other Committees Budget Assumptions Presented to FAHR Committee Mid-Year Financial Report to FAHR Mid-Year Financial Report to Board Vehicle Capital Equipment Decision Packages Due to Chuck Forman (ext. 7647) Page6 Book 127 Responsibility Event/Due Date CIP Process Team 12/18/03 Financial Planning and 12/18/03 O&M Financial Planning and As Needed O&M Budget Team 12/22/03 Budget Team 01/05/04 Financial Planning 01/08/04 Financial Planning 01/16/04 Financial Planning 01/20/04 Budget Coordinators 01/26/04 Unifying Strategy Teams 02/02/04 &EMT Budget Team OMTS -02/04/04 Budget Team PDC -02/05/04 Budget Team 02/11/04 Finance Department 02/11/04 Finance Department 02/25/04 Budget Coordinators 02/13/04 Budget Calendar Tasks Responsibility Event/Due Date JO -Complete Operating Budget ( excluding Division Coordinators 02/19/04 Personnel & Capital Outlay): -Projection of current year actuals -Proposed for 2004-05 JO -Preliminary Divisional Budget Package Due: Division Coordinators 02/19/04 -Draft budget overview (budget highlights & current year's work plan) -Training Budget -Capital equipment decision requests -New program/position decision requests, along with supporting requirements (i.e. computer or vehicle) -Reclassification decision requests (The above items will be collated and bound into the Preliminary Budget by Financial Planning for review by the General Manager's Office) CIP -Project Request with Project Information CIP Budget 02/25/04 Entered in CIP Database Completed Coordinators CIP-Request Review-On-Line Supervisors/Managers & 02/25/04- Department Heads 03/03/04 Critical Goals, Strategic Planning and Five Year EMT 02/25/04 Staffing Plan -Steering Committee Meeting JO -Compilation and Review of Prelim. Div. Budget Financial Planning 02/27/04 Packages Completed CIP-Requests Finalized and Division Manager Division Managers 03/04/04 Review Completed CIP-Department Head Approval on Final CIP Department Heads 03/05/04 Budget CIP-Completed CIP Budget Delivered to Finance CIP Budget Coordinators 03/08/04 PHASE II -BUDGET REVIEW JO -Distribution of Preliminary Line Item Requested Financial Planning 03/01/04 Budgets to Department Heads and Budget Coordinators JO -Budget Review Meetings with GM, budget staff General Mgrs. Office, 03/04/04 and department representatives Financial Planning, & - -review budget & initial decision packages Division Coordinators 03/12/04 CIP -Committee Review CIP Committee 03/08/04 CIP Resource Availability Review Engineering & O&M 03/08/04 Page? Book 128 FY 2004-05 Budget Tasks Responsibility Event/Due Date CIP-Preliminary CIP Reports Printed for Review Financial Planning 03/09/04 -Summary of Capital Requirements -CIP Cash Flow by Year to 2020 -CIP Summary by Revenue Program Category -Total CIP Budget by Status -CIP Project Detail Sheets CIP -Review Workshop Financial Planning & 03/11/04 Department Heads CIP-General Manager Approval General Manager 03/18/04 JO -Submit Performance Budget Documents: Division Coordinators 03/23/04 -Performance Results (2003-04) -Performance Measures (2004-05) JO -Completion of Preliminary Budget Financial Planning 03/29/04 CIP Schedules Through 2020 Completed Financial Planning 04/01/04 Combined Joint Operating Budgets by Department Financial Planning 04/12/04 Prepared Through 2013-14. Board Holds First Reading of Sewer Service User Board of Directors 04/28/04 Fee Schedule for 2004-05 PHASE Ill -BUDGET PRESENTATION CIP -Final CIP Budget Document Preparation and Financial Planning 04/12/04 Incorporation into Final Budget Document Overview of Proposed Budget with FAHR General Manager/ 04/04/04 Financial Planning Initial -Proposed Budget finalized Financial Planning 04/26/04 Initial -Proposed 2004-05 Budget Presented to Financial Planning OMTS- Committees 05/05/04 PDC -05/06/04 FAHR- 05/12/04 General Manager Budget Message Completed General Mgrs. Office/ 05/12/04 Financial Planning Approval of General Manager's Budget Message General Manager 05/13/04 Final -Proposed Budget to Printer Financial Planning 05/14/04 Board Holds "Public Hearing" for Rate Schedule Board of Directors 05/26/04 Ordinance Pages Book 129 Budget Calendar Board Adopts Sewer User Fee Schedule for Board of Directors 05/26/04 2004-05 Tasks Responsibility Event/Due Date PHASE IV-BUDGET DELIBERATIONS Final Draft -Proposed 2004-05 Budget Presented to Financial Planning OMTS- Committees 06/02/04 PDC -06/03/04 FAHR- 06/09/04 Public Hearing & Board Adoption Board of Directors 06/23/04 PHASE V -DISTRIBUTION OF BUDGET Final line item budget and equipment budgets Financial Planning 07/12/04 distributed to Departments PHASE VI -BUDGET DEBRIEFING Budget Debriefing Financial Planning 07/19/04 -Global changes that occurred in this year's budget. -Changes since the Department's original submittal. -Changes that occurred as a result of Board action. -Results of Budget Survey. -Overview of Budget Monitoring with JD Edwards Software and review of Budget Coordinator's Responsibility. -Overview of CIP Budget Monitoring. -Suggestions for Budget Process Improvements. Page9 Book 130 FY 2004-05 Budget Fiscal Policy Statement Completed In Progress General Financial Goals To maintain a financially viable Sanitation District that can maintain an appropriate level of wastewater treatment services. To maintain financial flexibility by adapting to local and regional economic changes. To maintain and enhance the sound fiscal condition of the District. To ensure that the value added by every program and activity within the District is proportional to its cost; and to eliminate those programs and activities that do not contribute to the District's mission. To provide training opportunities to the greatest extent possible for available jobs within the organization for those employees working in programs or activities that have been reduced or eliminated. To provide employees with cross-training opportunities in order to achieve multi-tasking capabilities. Operating Budget Policies The District will adopt a balanced budget by June 30 of each year. The budget will be used as a fiscal control device as well as a financial plan. Budget preparation and monitoring will be performed by each division within the District, the organizational level of accountability and control. The Director of Finance will prepare a budget calendar no later than January of each year. An annual operating budget will be developed by conservatively projecting revenues and expenditures for the current and forthcoming fiscal years. During the annual budget development process, the existing programs will be thoroughly examined to assure removal or reduction of any services or programs that could be eliminated or reduced in cost. Page 10 Book 131 ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ Comments Fiscal Policy Statement Current operating revenues will be sufficient to support current operating expenditures. Annual budgets including reserves will provide for adequate design, construction, maintenance and replacement of District capital plant and equipment. The District will maintain all physical assets at a level adequate to protect the District's capital investment and to minimize future maintenance and replacement costs. The District will project equipment replacement and maintenance needs for the next five years and will update this projection each year. From this projection a maintenance and replacement schedule will be developed and followed. The District will avoid budgetary and accounting procedures that balance the current budget at the expense of future budgets. The District will forecast its expenditures and revenues for each of the next five years and will update this forecast at least annually. Revenue Policies Because revenues are sensitive to both local and regional economic conditions, revenue estimates adopted by the Board of Directors must be conservative. Staff will estimate annual revenues by an objective, analytical process that utilizes trend, judgmental, and statistical analysis as appropriate. Ad valorem property tax revenues of the District will be dedicated to debt service. Sewer Service User Fees will be projected for each of the next ten years and this projection will be updated annually. Expenditure Policies The District will maintain a level of expenditures that provides for the health, safety and welfare of the residents of the community. Page 11 Completed In Progress ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ Book 132 Fiscal Policy Comments FY 2004-05 Budget Fiscal Policy Statement Completed In Progress Comments The District will set fees and user charges at a level that fully supports the total direct and indirect costs of operations, capital improvements, and debt service requirements not covered by reserves. ✓ Capital Improvement Budget Policies The District will make all capital improvements in accordance with an adopted and funded capital improvement program. The adopted capital improvement program will be based on need. ✓ The District will develop an annual five-year plan for Strategic Plan capital improvements, including design, development, projects needs implementation, and operating and maintenance costs. ✓ through 2020. All capital improvement projects approved in the annual operating budget are approved at the budgeted amounts through the completion of the project. The Board of Directors approves both the individual project total budget and the projected cash outlays for all capital improvement projects for the current fiscal year. ✓ Staff will identify the estimated costs, potential funding sources and project schedule for each capital project proposal before it is submitted to the Board of Directors for approval. ✓ Staff will identify the estimated on-going future Included within the Asset Management Operating and Maintenance costs, as well as staffing Program's Phase I requirements upon completion for each capital project implementation proposal before it is submitted to the Board of Directors over the next three for approval. ✓ years. The District will use intergovernmental assistance and other outside resources whenever possible to fund capital improvements providing that these improvements are consistent with the Capital Improvement Plan and District's priorities, and that the future operating and maintenance costs of these improvements have been included in the budget. ✓ Staff will coordinate development of the capital improvement budget with the development of the operating budget. All operations and maintenance resources required to implement the CIP have been considered and appropriately reflected in the operating budget for the year the CIP is to be implemented. ✓ Page 12 Book 133 Fiscal Policy Statement Cost tracking for components of the capital improvement program will be updated quarterly to ensure project completion against budget and established time lines. Asset Management Policy In order to provide for the systematic planning, acquisition, deployment, utilization control, and decommissioning of capital assets, the following policies have been established: The condition, performance, utilization, and cost of assets will be recorded down to the maintenance managed item component level. A detailed planned maintenance program is in place to ensure that the assets, facilities and systems perform to their design criteria and meet their design lives. A system is in place to blend planned and unplanned activity to optimize the cost against the asset performance requirements. Reliability Centered Maintenance techniques will be used to optimize the maintenance plans and to identify any design alterations that are economically justified. Current levels of asset management service in terms of quantity and quality of service including condition, function/size/type, regulatory requirements, reliability, and repair response times have been determined and documented. The full economic cost is charged on all asset management activities. Asset Management maintains appropriate pricing and funding strategies that match the needs of the business to ensure sustainability. Asset Management considers the real growth of the Page 13 Completed ✓ Book 134 In Progress ✓ ✓ ✓ ✓ ✓ ✓ ✓ Fiscal Policy Comments A Strategic Plan was approved by the Board in 12/02 for development of a state-of-the art Asset Management (AM) Program.This plan proposes an expenditure range between $22 mil. and $38 mil. over a ten year period that would save at least $350 mil. in life cycle costs over a 25 year period, and $50 million in reduced capital outlays. In 04/03, the Board directed the AM Program to go through an independent peer review process. The results of the peer review will be presented to the Board in 2/04. FY 2004-05 Budget District's service area and the way in which demands for service will change in the future, including population, unit demand, demographics, changing customer expectations, and changing regulatory requirements. Page 14 Book 135 ✓ Fiscal Policy Statement Completed Monitoring and reporting is performed on the condition, performance and functionality of the District's assets against prescribed service levels and regulatory requirements. A condition/function index is linked with customer expectations at a cost that are customers are willing to pay. Future level of service options available and their associated costs are constantly analyzed. An assessment of the relative risks and costs of benefits is derived for all investments in capital works, maintenance, and operations. Individual asset management decisions are made only when the cost of all programs has been analyzed and the funding needs of the whole organization is known together with the knowledge of its impact on rates. Necessary renewal programs to sustain the existing levels of service and condition of assets, as identified through the best appropriate process, is approved ahead of new capital works and services. New capital assets for new works and services are approved only with the commitment of the recurrent (operations and maintenance) funding necessary to sustain the new works and services. The financial, social, and environmental aspects of asset management will be reported on annually. Vehicle Replacement Policy In order to provide safe, reliable transportation appropriate to the work to be performed, the following policies have been established: The newest vehicles will be used for those purposes requiring the highest annual mileage. Vehicles will be replaced when they are 10 years old or have accumulated 100,000 miles. Page 15 Book 136 ✓ ✓ Fiscal Policy In Progress Comments ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ FY 2004-05 Budget Fiscal Policy Statement Completed In Progress A vehicle may be replaced in advance of the above criteria if it can be reallocated to a low mileage use between the plants. Electric carts are to be utilized for in-plant only uses. Electric vehicles are to be utilized for all between plant uses. CNG vehicles are to be utilized within the County (pump station runs, Source Control inspections, etc). CNG vehicles or bi-fuel vehicles are to be utilized to travel outside of Orange County (i.e., Environmental Compliance Monitoring of biosolids application sites, etc). Short-Term Debt Policies 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. 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. Long-Term Debt Policies The District will confine long-term borrowing to capital improvements that cannot be financed from current revenue. In accordance with the 1989 Master Plan, one-half of all future long-term capital improvements, the approximate percentage of non-capacity related projects, will be funded from long-term debt with the remaining cost funded from capital improvement reserves, current revenues, and connection fees. Proceeds from long-term debt will not be used for current on-going operations. Before any new debt is issued, the impact of debt Page 16 Book 137 ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ Comments service payments on total annual fixed costs will be analyzed. Develop and maintain a board adopted debt policy. ✓ ✓ Fiscal Policy Statement Completed Accumulated Funds & Reserve Policies A cash flow/contingency reserve will be established to (1) fund operations and maintenance expenses for the first half of the fiscal year prior to the receipt of taxes and user fee revenues, (2) provide for non-recurring, unanticipated expenditures, and (3) fund the annual debt service principal payments and semi-annual interest payments due in August of each year. The level of this reserve will be the sum of (a) an amount equal to six months of the total District Operating costs, (b) ten percent of the District's Operating costs, and (c) the total of all annual debt service payments due in the month of August for each year. ✓ A capital improvement reserve will be maintained to fund approximately 50 percent of the average annual capital outlay plus the entire projected cost of funding specific near-term projects. ✓ A renewal/replacement reserve will be maintained to fund the District's renewal, rehabilitation and replacement requirement costs associated with the District's existing capital plant and collection system over the next twenty years. The reserve was initially set at $50 million in 1998-99 and, with an assumed interest rate level of five percent and annual increments, will grow to meet 30 percent of the identified demands to 2030. ✓ Self-insurance reserves for property (fire, flood, and earthquake), general liability, and workers' compensation will be maintained at a level which, together with purchased insurance policies, FEMA Disaster reimbursement funding, and State Disaster Assistance payments would adequately protect the District. Based on a potential infrastructure loss of $495 million, the reserve level has been set at $57 million. ✓ Investment Policies The District's Treasurer will annually submit an investment policy to the Board of Directors for review and adoption. Page 17 Book 138 ✓ Fiscal Pol icy In Progress Comments FY 2004-05 Budget The investment policy will emphasize safety and liquidity ~ra~. ✓ Fiscal Policy Statement Completed Accounting, Auditing, and Financial Reporting The District's accounting and financial reporting systems will be maintained in conformance with generally accepted accounting principles and standards promulgated by the Governmental Accounting Standards Board. A fixed asset system will be maintained to identify all District's assets, their condition, historical cost, replacement value, and useful life. Quarterly financial reports will be submitted to the Board of Directors and will be made available to the public. Full disclosure will be provided in the general financial statements and bond representations. The District will maintain a good credit rating in the financial community. An annual audit will be performed by an independent public accounting firm with the subsequent issue of an official Comprehensive Annual Financial Report, including an audit opinion and a management letter. Page 18 Book 139 ✓ ✓ ✓ ✓ ✓ ✓ In Progress Comments District Received AA rating in 2003 FAH R COMMITTEE AGENDA RE PORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller Meeting Date To Bel. of Dir. 2/11/04 2/25/04 Item Number Item Number FAHR04-11 SUBJECT: SELECTION OF THE DISTRICT'S CONTRACTED INTERNAL AUDITING FIRM GENERAL MANAGER'S RECOMMENDATION That the Finance, Administrative, and Human Resource Committee (FAHR): (1) Appoint Moss, Levy & Hartzheim as the District's contracted internal auditors for fiscal year 2003-04, at a maximum fee of $19,780, with an option of auditing the following two years upon recommendation from staff and approval by the FAHR Committee. (2) Direct Moss, Levy & Hartzheim to perform specific internal auditing assignments as the Committee deems necessary. SUMMARY Selection of Contracted Internal Auditors At the direction of the Committee, staff solicited a request for proposal (RFP) to provide 300 hours of Internal Auditing Services for fiscal year 2003-04, with the option of auditing the following two years at the Committee's discretion. The RFP was submitted to the following firms: Caporicci & Larson Conrad & Associates Lance, Soll & Lunghard Moreland & Associates Rogers, Anderson, Malody & Scott Vavrinek, Trine, Day & Co. Charles Z. Fedak & Co. Diehl, Evans & Co. McGladrey & Pullen Moss, Levy & Hartzheim Teaman, Ramirez & Smith Of these eleven, only Conrad & Associates; Lance, Soll & Lunghard; Moss, Levy & Hartzheim; and Vavrinek, Trine, Day & Co. provided bids. Moreland & Associates declined to bid because they are under contract for one more year as the District's independent financial auditors. Caporicci & Larson declined to bid because they prefer to focus on providing financial auditing services. Diehl, Evans & Co. had intended to respond, but were unable due to their current workload and the timing of the District's request. No response was received from the other four firms. H:\dept\agenda\FAHR\FAHR2004\0204\04-11.lnternal Auditing Firm.doc Revised: 06/04/03 Book 140 Page 1 - An Evaluation T earn comprised of two Committee members, Director Moore and Director Neugebauer; the Director of Finance and the Controller was established, and interviewed the four firms who submitted proposals. Following the interviews, the entire Evaluation Team concluded that all four firms were qualified to serve as the District's internal auditors. However, Moss, Levy & Hartzheim distinguished themselves from the rest, as follows: 1. Considered by the Evaluation Team to be the most experienced firm in providing governmental water and wastewater auditing services. 2. Provided the most detailed examples on internal auditing techniques used by their firm. 3. Described in detail their thoroughness in conducting internal auditing services more so than any of the other proposing firms. Therefore, the Evaluation Team recommends appointment of Moss, Levy & Hartzheim to provide internal auditing services for FY 2003-04. Areas the Committee May Wa•t to Consider in Establishing Internal Audit Assignments Although staff has no knowledge of any improprieties or irregularities within the accounting or operational activities of the District, following are typical areas the Committee may want to consider in directing the District's contracted internal auditors: • Revenue collection • Contract Management • Proper billings to end users, including permittees • Expenditures conform to District Ordinances, Resolutions, policies and procedures • Employee Expense Reports conform to Board Ordinances and Resolutions • Employee Salaries and Benefits conform to Board Ordinances and Resolutions • Credit Card purchases conform to policies and procedures • District Contributions are Board approved ~ District memberships conform to policies and procedures Staff recommends that the Committee choose one of the items above, or an item of concern that may not be on this list, and direct the District's contracted internal auditors to perform a preliminary analysis of the assignment and to report back to the Committee in March 2004. If their preliminary analysis indicates the potential of audit findings, request that they also bring with them to the Committee in March the appropriate audit scope and an estimate on the total number of audit hours required for this assignment. PROJECT/CONTRACT COST SUMMARY Although not the primary consideration, Moss, Levy & Hartzheim also submitted the lowest all-inclusive maximum price on 300 hours of internal auditing services, as follows: H:\dept\agenda\FAHR\FAHR2004\0204\04-11.lnternal Auditing Firm.doc Revised: 06/04/03 Book 141 Page 2 BUDGET IMPACT Moss, Levy & Hartzheim Lance, Soll & Lunghard Vavrinek Trine Day & Co. Conrad & Associates $19,780 27,680 30,775 31,150 D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. [83 This item has not been budgeted. D Not applicable (information item) ADDITIONAL INFORMATION None. ATTACHMENTS None H:\deptlagenda\FAHR\FAHR2004\0204\04-11.lnternal Auditing Firm.doc Revised: 06/04/03 Book 142 Page 3 FAHR COMMITTEE Meeting Date 2/11/04 AGENDA REPORT Item Number FAHR04-12 Orange County Sanitation District FROM: Carol Beekman, Communications Services Manager SUBJECT: Communications Services Strategic Plan FY 2003-04 Update GENERAL MANAGER'S RECOMMENDATION For information only SUMMARY To Bet of Dir. Item Number After presenting the "Communications Services Strategic Plan FY 2003-04" to the FAHR committee in October 2003, Communications Services committed to a quarterly review with the Board and General Manager to evaluate the process. The 11 objectives from the plan are updated below under Additional Information. PRIOR COMMITTEE/BOARD ACTIONS Communications Services Strategic Plan FY 2003-04 presented to FAHR in October 2003. Received and filed by Board October 2003. 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. [gl Not applicable (information item) ADDITIONAL INFORMATION From page 9 of the Communications Services Strategic Plan (FY 2003-04), the 11 objectives are updated below: 1. Biosolids Outreach -An outreach plan was drafted in December 2003 and is being reviewed with the Technical Services Department in regards to the implementation of the Long Term Biosolids Management Plan. Materials were prepared to develop a Biosolids Advisory Committee in November 2003. At the January Steering Committee, approval was granted to proceed. 2. Community Education and Outreach Program -During the 1st and 2nd quarter, research was done to assess the kind of education programs already present in the community, in order to develop a plan to focus our outreach efforts beyond community events. In December, Communications assisted Centennial Museum as a partner on a grant to fund new development at the Santa Ana site. We also participated in the Ocean Institute Kids Conference on watershed education in January 2004. H:\dept\agenda\FAHR\FAHR2004\0204\04-12.Communications AR.doc Revised: 06/04/03 Book 143 Page 1 3. Construction Outreach -Communications provided briefings, collateral materials, media alerts and other information to the community and Board on the Costa Mesa project, Ellis Ave. Pump station, Rocky Point Pump Station, Bushard and Warner projects, and the temporary wastehauler station. 4. Corporate Identity Program -In December 2003, Communications presented an action Item to FAHR to approve the project scope and budget. 5. External Communications -Communications provides ongoing updates to the OCSD Web site, sent media releases on news items and developed relationships with key reporters on current news to local and trade media. We also provided presentation skills counsel and graphic support to OCSD employees delivering speeches to outside audiences. 6. Fats, Oils and Grease (FOG) Community Outreach Program -Communications compiled responses from cities within the service area to develop an outreach program based on "fair share." In December 2003, we drafted the RFP to develop a toolbox for the program. 7. Groundwater Replenishment (GWR) System -Communications monitors, reviews and edits documents to educate the media and community. We work with OCWD and Porter Novelli to develop community outreach and education strategies on this important project. 8. Internal Communications -Communications writes, designs and publishes the monthly Pipeline Newsletter for employees, board and retirees. We also planned and implemented the General Manager's "All Hands" employee meeting on October 2, 2003. Communications monitors and sends news alerts about industry news to the Board and employees. 9. Intranet Development-Working with Information Technology Department, Communications is developing the content for the new Intranet site to be launched in February. All department heads have been interviewed during the last two quarters. 10. Legislative Advocacy -Communications develops the agendas for weekly meetings; attend events; and drafts briefing materials and letters to support OCSD's legislative items. 11. OCSD's 50th Anniversary -Communications, working with an employee qommittee, developed a plan to implement six months of spe-cial events and commem0rations for OCSD's 50th anniversary. In January 2004, Communications prepared photos, historical context and remarks tor the Board event to commemorate our past Board chairs and to kick oft the celebration. ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS N/A H:\dept\agenda\FAH R\F AHR2004\0204\04-12.Communications AR.doc Revised: 06/04/03 Page2 Book 144 FAHR COMMITT.EE Meeting Date To Bd. of Dir. 02-11-04 AGENDA REPORT Item Number Item Number FAHR04-13 Orange County Sanitation District FROM: Gary G. Streed, Director of Finance SUBJECT: PRELIMINARY 2004-05 SEWER SERVICE USER FEE ESTIMATES GENERAL MANAGER1S RECOMMENDATION This is a very preliminary informational report. The report recommends that the Directors maintain the sanitary sewer service user fee schedule for the fiscal years of 2003-04, 2004-05, 2005-06, 2006-07 and 2007-08 that was adopted last year. SUMMARY Historically, the District has increased our overall sewer user fees in fairly small annual increments, using some debt financing to smooth the impact of the capital improvement program. With the public interest in improved effluent quality and the Board's decision to meet secondary treatment discharge standards rapidly, it became necessary last year to propose to increase the rates on the front-end of the capital improvement program in order to match the program itself and to reduce the long-term rate impacts of additional future debt financing. The Directors adopted a plan that included debt financing for $1.4 billion of the $2.4 billion capital improvement program. By authorizing this amount of borrowing, the Directors were able to limit annual sewer user fee increases to 15% each year through 2007-08. The Board agreed with this plan and asked that the proposed fee increases be considered annually by the Board for implementation. 2004-05 will be the second year of this plan. A few things have changed since the adoption of the plan and of the 2003-04 budgets. We successfully issued $280 million of fixed-rate Certificates of Participation; so the annual debt service on 20% of the proposed new borrowing is known. We have embarked on the Validated Capital Improvement Program using the contract management services of IPMC. At the midpoint of the current year, the capital improvement program projections indicate that approximately $50 million of construction costs will be deferred to a future year. We have reached an agreement with the Orange County PFRD that they will be responsible for the protection of the Santa Ana River Interceptor; so we can remove that project from our budget. The Board just adopted increased Capital Facilities Capacity Charges which will increase connection fee revenues over the planning period. All of these changes and a few others combine to make it possible to continue within the adopted sewer user fee program which includes a $15 increase for 2004-05. Book 145 PROJECT/CONTRACT COST SUMMARY The 5-year sewer service user fee schedule for a single family residence is: 2003-04 $100.00 BUDGET IMPACT 2004-05 $115.00 2005-06 $132.00 2006-07 $153.00 D This item has been budgeted. (Line item: ) 2007-08 $175.00 D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. ~ Not applicable (information item) ADDITIONAL INFORMATION The attached cash flow includes all of the changes that were mentioned above. The 2003-04 projections differ from the adopted budget to reflect our current information. Line 19 shows the estimated annual single-family residential user fee that will be needed to complete the Validated Capital Improvement Program and to meet COP service and operational & maintenance needs through 2020. Line 4 shows the new borrowing that was projected during the rate adoption process in 2003. The total new borrowing has not changed, but some has been moved to later years to reflect the deferred capital projects. Line 17 shows the estimated total end-of-the-year accumulated funds, sometimes called reserves. These balances should be compared to Lines 24 through 32 which show the components of the Board-adopted policy that the FAHR Committee reviewed last year. Special notice should be made of the amounts on Line 29; the Required Debt Service Reserves are maintained by Trustee Banks and are not available to the District. ALTERNATIVES None presented at this time. CEQA FINDINGS N/A ATTACHMENTS 1. Consolidated Cash Flow Projections GGS:lc H:\dept\agenda\FAHRIFAHR2004\0204\04-13.Sewer Service Rates.doc Revised: 06/04/03 Book 146 Page2 t,:i 0 ~ ...... .p.. --.) 2/2/2004 Orange County Sanitation District Consolidated Cash Flow Projections Projected Preliminary Preliminary Preliminary Preliminary Ref Description 03-04 04-05 05-06 06--07 07-08 Revenues: General User Fees 89,330,000 103,098,000 118,760,000 138,144,000 158,568,000 2 Permitted User Fees 4,800,000 5,160,000 5,541,000 5,982,000 6,412,000 3 Property Taxes (3% yr) 40,400,000 41,612,000 42,860,000 44,146,000 45,470,000 4 Now COP Issues 280,000,000 250,000,000 265,000,000 180,000,000 5 Interest Revenues (4%) 20,232,000 19,925,000 15,867,000 16,271,000 17,044,000 6 Connection Fees 9,120,000 11,560,000 11,560,000 11,560,000 11,560,000 7 Other Revenues 2G,000,000 22,800,000 20.200000 20,900,000 18,900,000 8 Revenues 469,882.,000 204,155,000 454,788.000 502,003,000 437,954 000 Requirements: 9 Oper & Mtce Exp 94,500,000 106,416,000 108,244,000 110,072,000 111,900,000 10 Capital Improvement Program 145,449,000 260,379,000 303,564,000 301,891,000 222,891 ,000 11 Repl, Rehab & Refurb 12 COP Service (5 0%, 30 yrs) 33,973,000 41,917,000 50,211,000 66,991,000 81,586,000 13 Other Requirements 4,451,000 2,600,000 2,600,000 2,BOQ,000 2,600,000 14 Requirements 278,373.000 411,3,12,000 ,16'1,6,19,000 481,554,000 418,977,000 15 Revenues-Requirements 191,509,000 (207.157,000) 169,000 20,449,000 18,977,000 Accumulated Funds: 16 Beginning of Year 1\20,167,000 611,676,000 •04,519,CJQO 40~.686,001) 4.2!i. 191,000 17 End of Year 611,576,000 404,519,000 •104.688,000 •25,137,000 444,114,000 18 Reserve Policy 343,787,000 347.490,000 383. ,og.ooo 416,910.000 439.708.000 ~[ Service User Fees: 19 Avg SFR Annual User Fee $100 00 $11500 $132.00 $15300 $175.00 20 Percentage Change 1429% 1500% 14.78% 1591% 14.38% 21 Equivalent Dwelling Unils 893,300 896,500 899,700 902,900 906,100 22 SFR Connection Fee $1,820 $2,890 $2,890 $2,890 $2,890 23 Outstanding CQPs $628,465,000 $616,983,000 $850,474,000 $1,094,867,000 $1,249,680,000 Reserve Policy 24 50% Next Year Operating 53,208,000 54,122,000 55,036,000 55,950,000 56,864,000 25 10% Next Year Operating 10,642,000 10,824,000 11,007,000 11,190,000 11,373,000 26 100% Next Year :,uG COP Sen 41,917,000 50,211,000 66,991,000 81,586,000 94,044,000 27 50% average CIP to 2020 68,173,000 62,635,000 56,008,000 48,637,000 41,338,000 28 Short tenn CIP, GWRS ~ 29 DSR@ 10'A. Outstanding COP, 62,847,000 61,698,000 85,047,000 109,487,000 124,968,000 30 SFI @ $57mm INPUT 57,000,000 57,000,000 57,000,000 57,000,000 57,000,000 31 Repl & Refurb @ 2%/yr 50,000,000 51,000iOO0 52,020,000 53,060,000 5'1,121,000 32 Total 3'13,767.000 :l47 490,000 383,. 109~000 -416,910.000 439,708,000 COP Ratios 33 Sr Lien Coverge, Min 1.25 281 2 33 2.12 1.89 1.79 34 Additional Bonds, 1 25 281 233 212 189 179 H:\deptlfin\210\CRANE\FAHRIFAHR2004\FEB\Attachment_FAHR Cash Flow 2-04.xls 9:40AM Preliminary Preliminary Preliminary Preliminary Preliminary 10Year 08-09 ~ 10-11 11-12 12-13 Total 182,769,000 210,788,000 241,745,000 275,670,000 276,630,000 1,795,502,000 6,888,000 7,402,000 7,931,000 8,472,000 8,472,000 67,060,000 46,834,000 48,239,000 49,686,000 51,177,000 52,712,000 463,136,000 205,000,000 150,000,000 75,000,000 1,405,000,000 18,003,000 18,798,000 19,026,000 18,282,000 18,105,000 181,553,000 11,560,000 11,560,000 11,560,000 11,560,000 11,560,000 113,160,000 .W,700,00D 20,.200,000 18100,000 17,900,000 12.400.000 198,100.000 491,754,000 41>6.987,000 4.U,CMS.000 383;061,000 379,879,000 4,223.511.000 113,728,000 115,556,000 117,384,000 119,212,000 121,CM0,OOO 1,118,052,000 251,469,000 232,397,000 161,845,000 146,310,000 77,204,000 2,103,399,000 27,000,000 38,800,000 33,800,000 99,600,000 94,044,000 105,812,000 113,178,000 115,158,000 115,236,000 818,106,000 2,600,000 2600,000 2600,000 2.600.000 2,600,000 27.851 000 461 ,84 1,000 456.365,000 -422,007,001) -122.080,000 349,eeo,ooo 4.167,008 000 29,913,000 10,622,000 1,041,000 (39,019,000) 29,999,000 56,503,000 444,114,000 474,02] 000 484,649.000 485,690,000 44S,!l71,000 420.167 ,000 474.027 ,000 •184,649,000 485,690 000 •46671,000 478,670,000 476,670.000 ~63.439,000 ~76,253,000 469,489,000 466,656,000 479,9a4 000 479.984_000 $201 00 $231 00 $264.00 $300,00 $300.00 14.86% 1493% 14.29% 13.64% 000% 909,300 912,500 915,700 918,900 922,100 $2,890 $2,890 $2,890 $2,890 $2,890 $1,425,666,000 $1,542,277,000 $1,493,600,000 $1,455,580,000 $1.412,399,000 57,778,000 58,692,000 59,606,000 60,520,000 63,659,000 11,556,000 11,738,000 11,921,000 12,104,000 12,732,000 105,812,000 113,178,000 115,158,000 115,236,000 128,985,000 33,523,000 25,110,000 19,011,000 17,658,000 16,614,000 142,567,000 154,228,000 149,360,000 145,558,000 141,240,000 57,000,000 57,000,000 57,000,000 57,000,000 57,000,000 55,203;000 56,307,000 57,~33.000 58,582,000 59,754,000 •163,439,000 476.2.63,000 469.~BS[0OO 400,656,000 479.984,000 1.84 1.90 2.04 2.29 225 1 84 190 204 229 225 2/212004 9:40AM Orange County Sanitation District Summary Cash Flow Projections, Entire Collections System Preliminary Preliminary Preliminary Preliminary Preliminary Preliminary Preliminary Grand Ref Description 13-14 ~ 15-16 16-17 lZ:.1!!. 19-19 19-20 Total Revenues: General User Fees 268,337,000 259,980,000 251,559,000 243,074,000 234,525,000 225,912,000 217,235,000 3,496,124,000 2 Permitted User Fees 8,331,000 8,187,000 8,041,000 7,892,000 7,740,000 7,585,000 7,427,000 122,263,000 3 Property Taxes (3% yr) 54,293,000 55,922,000 57,600,000 59,328,000 61,108,000 62,941,000 64,829,000 879,157,000 4 New COP Issues 1,405,000,000 5 Interest Revenues (4%) 19,133,000 20,730,000 22,737,000 23,260,000 22,734,000 23,359,000 25,304,000 338,810,000 6 Connection Fees 11,560,000 11,560,000 11,560,000 11,560,000 11,560,000 11,560,000 11,560,000 194,080,000 7 Other Revenues 11,600,000 t 1,900,000 11,500,000 11,500.000 11,500,000 11,100,000 10.:lOO,OO0 2TT;500,000 8 Revenues 373,254,000 368.279,000 382,997,000 356,614,000 349.187,000 3'\2,457,000 336,655,(l()O 6,712,9311,000 Requirements: 9 Oper & Mtce Exp 127,318,000 129,222,000 131,126,000 133,030,000 134,553,000 136,076,000 137,218,000 2,046,595,000 10 Capital Improvement Program 45,904,000 48,064,000 36,735,000 28,417,000 31,790,000 14,414,000 11,846,000 2,320,569,000 11 Repl. Rehab & Refurb 46,000.000 14.900,000 34,700,000 93,400,000 76,100,000 33,100,000 13,600,000 411,400,000 12 COP Service (5 O"k, 30 yrs) 128,985,000 114,506,000 114,452,000 115,864,000 114,280,000 114,241,000 114,221,000 1,634,655,000 13 Other Requirements 2.600.000 2,600.000 2.600.000 2,600,000 2,600,000 2,600,000 2.600,000 ,16,051,000 14 Requirements 350.807,000 309,292.000 319 .. 613,00D 373,31 'I ,OOO 359,323,000 300A31,000 Z79,486,000 B,45'i.t,270,000 15 Revenues-Requirements 22,447,000 58,987,000 43,384,000 (16,697,000) (10,156,000) 42,026,000 57,170,000 253,664,000 Accumulated Funds: 16 Beginning of Year 476,670,000 499,117,000 558,104,000 601,488,000 584,791,000 574,635,000 616,661,000 420.167 000 17 End of Year 499,117.000 558.104,000 601A88.000 584,791,000 574,635.000 616661.000 673.831,000 673.831,000 t:tl 18 Reserve Policy 461,437,000 459,132,000 456,799,000 450,235,000 444,089,000 440,627,000 437,822,000 0 0 :,;-" Sewer S:erYjce Y~er Fees: ,_. ~ 19 Avg SFR Annual User Fee $290,00 $28000 00 $270.00 $260 00 $250,00 $240,00 $230.00 $3,897 50 20 Percentage Change (333%) (3.45%) (357%) (370%) (385%) (400%) (4.17%) 21 Equivalent Dwelling Units 925,300 928,500 931,700 934,900 938,100 941,300 944,500 22 SFR Connection Fee $2,890 $2,890 $2,890 $2,890 $2,890 $2,890 $2,890 23 Outstanding COPs $1,355,985,000 $1,309,767,000 $1,256,618,000 $1,195,746,000 $1,141,354,000 $1,084,138,000 $1,023,989,000 Reserve Policy 24 50% Next Year Operating 64,611,000 65,563,000 66,515,000 67,277,000 68,038,000 68,609,000 68,609,000 use current year 25 10% Next Year Operating 12,922,000 13,113,000 13,303,000 13,455,000 13,608,000 13,722,000 13,722,000 use current year 26 100% Next Year AUG' COP Seo 114,506,000 114,452,000 115,864,000 114,280,000 114,241,000 114,221,000 114,221,000 use current year 27 50% average CIP to 2020 15,850,000 15,859,000 15,044,000 13,969,000 11,094,000 11,389,000 13,233,000 input 28 Short term CIP, GVVRS 0 0 0 0 0 0 0 29 DSR@ 10% Outstanding COP, 135,599,000 130,977,000 125,662,000 119,575,000 114,135,000 108,414,000 102,399,000 30 SFI @ $57mm INPUT 57,000,000 57,000,000 57,000,000 57,000,000 57,000,000 57,000,000 57,000,000 31 Repl & Refurb @ 2%/yr 60,949,000 62.168,000 63,411,000 64,679,000 65,'i.t73,000 (!7,292.000 68.636.000 32 Total 461,437,000 459.132.000 456,79S,OOO 460,235,000 444,009,000 440,627.000 437.822.,000 COP Ratios 33 Sr Lien Coverge, Min 1.25 1,91 209 203 1.93 1 88 181 1 75 34 Additional Bonds, 1 25 191 209 203 1,93 1.88 181 1.75 H:\dept\fin\210\CRANEIFAHRIFAHR2004\FEB\Attachment_FAHR Cash Flow 2-04 xis published on recycled paper 0 ORANGE COUNTY SANITATION DISTRICT (714)962-2411 www.OCSD.com Mailing Address: P.O. Box 8127 Fountain Valley, California 92728-812 7 Street Address: 10844 Ellis Avenue Fountain Valley, California 92708-7018 ' . Investment Management Program Orange County Sanitation District Strategy Review for the Period September 30, 2003 -December 31, 2003 Agenda I. Performance & Market Review 11. Economic Outlook & Strategy Ill. Organizational Update PIM C 0 ,....._ ~ 0 -..., ..., C Q) u I... Q) a. PIMCO Navigates Through Volatile but Rangebound Interest Rate Period 5.5 10-Year Treasury Yield 5.0 4.5 4.0 3.5 3.0 Dec-01 WorldCom fraud FOMC lowers target to 1.25% Williams Communications files Chapter 11 Mar-02 Qwest's criminal probe launched Jun-02 2002 Sep-02 Sharp decline in rates resulted from flight to quality as investors lost confidence in Corporate America. Dec-02 SOURCE: Bloomberg Financial Markets 2 FOMC says rates to stay low for a "considerable period" Greenspan: unconventional policy "most unlikely" Greenspan: "an unwelcome substantial fall in inflation" Q3 GDP growth 7 .2% (later revised to 8 2%) Mar-03 Jun-03 2003 FOMC lowers target to 1% Sep-03 Rates eventually stabilized as deflation fears moderated and the economic environment improved. Dec-03 P I I MC 0 2003 Marked Reversal of 2002 As of December 31, 2003 Spreads Over 5-Year Treasuries 1200 • Spreads contracted in 2003 -Increased corporate responsibility -Balance sheet repair 1000 IJ) 800 ..., C \~ B 0 -Further contraction unlikely c.. 600 .!!! IJ) ~ ro cc 400 200 -........_BBB.._/"'---- AA 0 Dec-01 Mar-02 Jun-02 Sep-02 Dec-02 Mar-03 Jun-03 Sep-03 Dec-03 1-3 Year Sector Index Returns Spread sectors drove performance 25 • I 2002 I 2003 I 4Q 2003 -Credit sectors dominated as profit 20 growth and margins improved ,...... ::::':! 0 __, High Yield outperformed as risk E 15 ::::, appetites returned ..., Q) Emerging Markets benefited from ~ 10 2 improving credit fundamentals 0 I- 5 -Developed non-U.S. provided tactical opportunities 0 ~~~~~~~~~~~~~~~~~~ c; '9/ c; ~91 ~9! ~o~ «f' ~o «f' ~o «f' SOURCE: PIMCO, Lehman Brothers, Bloomberg Financial Markets, Citigroup Yield Book * Returns for mortgages and corporates have been duration adjusted utilizing Lehman Brothers reported excess returns relative to Treasuries. 3 PIM C 0 Performance Review Asset Growth Market Value as of Dec. 2002 $321,241,336 Contributions / Withdrawals 54,100,000 Net lmestment Earnings* 11,485,126 Market Value as of Dec. 2003 $ 386,826,463 ,---. ~ 0 -...., VI C L. :::, ..... Q) Annual Performance 12 • Orange County Sanitation District 10 • Merrill Lynch 1-5 Yr. Corp/Govt Index 8 6 c::: 4 2 0 96 97 98 99 00 Orange County Sanitation District Long Term Portfolio (periods ending December 31, 2003) Since Inception 09/30/95 5 Yrs. 3 Yrs. 2 Yrs. 1 Yr. 9 Mos. 6 Mos. 3 Mos. Before Fees(%) 6.5 6.0 6.2 5.6 3.2 2.0 0.6 0.2 Merrill Lynch Corp/Govt 1-5 Index (%) 6.5 6.2 6.7 5.6 3.3 2.2 0.5 0.1 * Includes income and realized/unrealized gains and losses, less management fees; all periods longer than one year are annualized. 4 01 02 03 PIM C 0 Performance Review Asset Growth Market Value as of Dec. 2002 Contributions / Withdrawals Net lm..estment Earnings* Market Value as of Dec. 2003 $ 64,339,418 26,400,000 643,606 $ 91,383,024 Annual Performance 9 ,..... 8 7 6 ~ ~5 V) C 54 ..... Q) o:'.3 2 1 0 • Orange County Sanitation District • Citigroup 3-Month Treasury Bill Index 96 97 98 99 00 Orange County Sanitation District Liquid Operating Portfolio (periods ending December 31, 2003) Since Inception 01 09/30/95 5 Yrs. 3 Yrs. 2 Yrs. 1 Yr. 9 Mos. 6 Mos. 3 Mos. Before Fees(%) 4.7 4.0 2.8 1.7 1.2 0.9 0.5 0.3 Citigroup 3-Month Treasury Bill Index(%) 4.2 3.5 2.3 1.4 1.1 0.8 0.5 0.2 * Includes income and realized/unrealized gains and losses, less management fees; all periods longer than one year are annualized. 5 02 03 PIM C 0 Performance Review Asset Growth Market Value as of Aug. 2003 Contributions / Withdrawals Net lm,estment Earnings* Market Value as of Dec. 2003 $142,496,777 (44,521,916) 499,542 $ 98,474,403 Orange County Sanitation District 2003 COP Proceeds -Future Construction (periods ending December 31, 2003) Before Fees (%) Citigroup 3-Month Treasury Bill Index(%) Since Inception 07/31/03 3 Mos. 0.4 0.3 0.3 0.2 * Includes income and realized/unrealized gains and losses, less management fees. 6 PIM C 0 Diversified Strategies Enhanced Return While Limiting Risk Strategy Interest Rate • Duration: Below index; tactically manage Strategies • Curve: Broader than index; Capitalize on roll-down Sector • Treasuries: Strategies Emphasize TIPS -- • Mortgages: Manage coupon selection • Corporates: Underweight Security selection 7 Performance Impact 4Q '03 + + + + + PIM C 0 Recent Strong Growth Moderates by Year End Growth Continues ... With Mild Reflation U.S. economy expands: ... Though Moderation Anticipated Large engines of U.S. growth fade: Inflationary drivers: -Strong fiscal / monetary stimulus -Fiscal contraction in late 2004 -Accommodative Fed policy -Capital spending increases -Mortgage refi boost near end -Weaker dollar -Inventories fuel growth China adds second engine of growth: Europe sluggish: -Strong Euro hampers growth -Global commodity demand -Industrial production increases -Infrastructure expanding -Structural reforms necessary Limited by: -Domestic demand surges Japan shows positive growth EM fundamentals improve Asian question: -China/ Japan growth U.S. dependent? 0 Bond Market Implications Short rates unchanged until late 2004 / early 2005 Intermediate/ long rates rise anticipating reflation Credit spreads unlikely to tighten further Dollar decline extends Emerging markets spreads remain attractive Euro rates less volatile than U.S. rates 8 -Demand I supply imbalances -Deflationary China impact -Global competition -Productivity growth PIM C 0 Search for Safe Yield • Duration: Below-index with tactical adjustments -Risk of rate increase outweighs potential decrease • Maturity Mix: Intermediate focus -Capitalize on "roll-down" • U.S. Treasuries: -Prefer TIPS to nominal Treasuries, agencies • Mortgages: -Currently fully-valued, but offer long-term structural advantages -Add value through coupon selection • Corporates: -Diminished risk-adjusted value due to narrow spreads -Enhance returns through security selection 9 PIM C 0 PIMCO Update .. •--,-'' Organizational Update • Specialty fixed income manager with $373. 7 B under management • Deep bench of investment professionals and staff -642 employees -201 investment professionals -441 technical and support -Highly experienced investment professionals -Average experience in the investment business is 13 years -Average experience with firm is 6 years -Dedicated sector specialist teams • Visiting client seminars -"Derivatives and Risk Management" -"How to Prosper in a Low Return Environment" • Educational seminars in Newport Beach -Autumn 2004 -CFO/Treasurers Seminar-September 27-29 -Fundamentals of Fixed Income Management -September 30-October 1 -Seminar for Investment Professionals -October 4-8 -Seminar for Investment Professional Practitioners -October 18-22 • New strategies built on fixed income and derivative expertise -CommodityRealReturn -All Asset Fund -StocksPLUS Total Return 10 PIM C 0 Building on Fixed Income Expertise to Meet Client Needs Strategy Description Assets Traditional: Total Return PIMC0's flagship style: Core I Core Plus $ 172.2 Long Duration Focus on long-term bonds 8.1 Moderate Duration Total return with intermediate duration 7.3 Low Duration Total return with shorter duration 21 .5 Short-Term Active cash management techniques 10.5 Money Market Maximize income while preserving capital 0.7 Stable Value Strategies that use book value wrappers 16.6 Sector-Specific: Credit: Investment Grade Corporates High quality corporate bond portfolios 6.8 High Yield Emphasis on upper tiers of high yield market 18.5 Diversified Income Global credit combining corporate and emerging markets debt 0.4 CBO/CLO Collateralized bonds/loan obligations 6.5 Mortgages Includes UB0R-based mortgage products 9.0 Global Non-U.S. and global approaches 36.8 Emerging Markets Focus on solid credits with improving economic fundamentals 5.3 Municipals Tax-efficient total return management 8.1 Real Return: Real Return TIPS and other inflation-hedging strategies 16.6 CommodityRealReturn Commodity-linked exposure backed by a bond portfolio 1.5 All Asset, All Asset All Authority Tactical allocation among PIMC0 funds 0.9 Equity PLUS: StocksPLUS and StocksPLUS Total Return Combines passive equity index exposure with active bond management 23.7 Other: Convertibles Balanced risk/reward profile that provides downside protection 0.1 Other Private placement investments 0.4 Total Assets Under Management: $ 373.7 B Assets as of December 31 , 2003. Potential differences in asset totals are due to rounding. 11 PIM C 0 r r r r r r r L L L L L L L L L Callan Associates Inc. Investment Measurement Service Quarterly Review Orange County Sanitation District December 31, 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 2004 by Callan Associates Inc. r r ~"'"" r NE\\ YOR~ CHICIGO r \fl-\\T-\ DE\\TR r- r r- [ [. L L L L L L L L CAilAN ' February 2, 2004 Mr. Michael D. White Controller Orange County Sanitation Districts 10844 Ellis A venue Fountain Valley, California 92728 RE: December 31, 2003 Quarterly Performance Report Dear Mike, The December 31, 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 A strong fourth quarter helped equity markets bury the bear in 2003. The quarter received a big boost from news that the economy grew at an annual rate of 8.2 percent in the previous quarter, the highest in nearly two decades. For the most recent quarter, the S&P 500 rose 12.18 percent, which propelled the stock market to its first annual gain since 1999. Looking back, the first quarter of 2003 did not forecast the robust recovery to come. The year got off to a wobbly start over concerns of war with Iraq. However, the economy did stage a comeback, fueled by tax cuts, lean inventories and the lowest interest rates in more than four decades. Within the broad fixed income market, the Lehman Aggregate eked out a 0.32 percent return for the fourth quarter and 4.10 percent for the year. Corporate bonds (+7.70%) led all sectors in 2003. Treasurys lagged as investors sought higher yields. Interest rates traded within a tight range for the quarter. In December, the Fed voted to keep interest rates unchanged for the fourth time since it lowered the Federal Funds rate to 1 % in June. Not surprisingly, junk bonds outperformed, turning in their biggest yearly return since their record year in 1991. Returns in the defensive portion of the bond market, where the District invests, were somewhat lower than the broad market due to a shorter maturity combined with a steep yield curve. The return on the Merrill 1-5 year Gov/Credit index for the quarter was 0 .14 percent, and its return for the year was 3 .3 0 percent. External Manager Results The returns for the Liquid Operating Money account, managed by PIMCO, was 0.24 percent for the quarter, and 1.18 percent for the calendar year. For the quarter, the l l L L L L L L L Mr. Michael White February 2, 2004 Page 2 portfolio return after fees falls slightly short of the return on the 90-day Treasury bill (0.26%) an indication of the continuation of low interest rates. 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 0.22 percent, which compares favorably to the Merrill 1-5 Gov/Corp benchmark return of 0.14 percent. This out performance is especially noteworthy due to the quality constraint. Eliminating the securities rated 'BBB' causes the benchmark return to fall to 0.05 percent. ('BBB' is the rating category of lowest quality within the investment grade universe.) For the calendar year, the manager return of 3.26 percent is slightly below the benchmark (3.30%), but compares favorably to the benchmark when the 'BBB' securities are eliminated. The longer-term record for the portfolio is in line with the benchmark and in the top quartile of the peer group for the past 8 ¼ years. The Long Term portfolio has earned a significant premium over the Liquid Portfolio (186 basis points, annualized), rewarding the District for pursuing the two portfolio structure. The Long Term portfolio continues to hold two securities that are rated below the "A" rating minimum of your policy, based on Moody's ratings. This situation is unchanged from last quarter. The one issuer is United Airlines, which is in bankruptcy. The United Airlines security owned by the District continues to be rated Ca. The second security is issued by Philip Morris (Altria), and its current rating of Baa2 is still considered investment grade. The Philip Morris security will mature this year. A listing of the five lowest rated securities is provided on page 21. Regarding sector guidelines in the Long Term portfolio: corporate notes are less than 30 percent, and the combination of asset backed securities and mortgages remains below 20 percent. The portfolio appears to be holding a lot of Cash Equivalents, which are invested in very short maturity instruments. The Cash Equivalents offset both the longer maturity securities and the payables on the unsettled mortgage securities ( only $26 million). Please do not hesitate to call me if you have any questions. Yours truly, Ruthann C. Moomy, Ph.D., CF A Senior Vice President r L L L L L L L L Mr. Michael White February 2, 2004 Page 3 Upcoming Callan Events • "Callan College" March 1-3 in San Francisco May 17-19 in San Francisco You are invited to attend "Callan College," a 2-½ day course designed to help participants learn all aspects of the investment management process and their role within it. Recent Research Papers/Summaries • An Updated Historical Perspective: Market Returns -by Michael J. O'Leary and Robert Shaw • October 2003 Regional Breakfast Workshop Summary -"Asset Allocation and Funding Issues in the Current Market Environment" -Presented by Ruthann C. Moomy, Ph.D., CFA and Karen M. Harris, CFA L L 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 PIMCO-Liquid Operating Fund Bond Portfolio Characteristics Portfolio Characteristics Detail .............................................. 18 19 20 21 II r Springing to Life ~ The U.S. economy sprang to life in the third quarter, notching a startling 8.2% gain, and followed that up with a more sustainable 4.0% growth in the rourlh quarter. The Fed has r kept the federal funds rate at n 45-year low, in a bid to keep companies (and consumers) spending and to prevent inflation from slowing too much. The most astonishing development r has been the lack of any impact on prices from the sharp drop 1 in the dollar during 2003. -'l'l" Jlll[I(' I I r Back to the Future The growing evidence of a rapidly recovering U.S. economy drove equity prices higher. Cyclical stocks maintained their momentum. The S&P SuperComposite 1500 jumped 12.36% last quarter, including dividends. Stocks of all sizes joined equally in the frenzy of optimism. Technology ( + 12.99%) continued its ascent since last March with its third consecutive double-digit gain. For the quarter, Value beat -Growth. ,;..·c 1w.cw :.:' A Year in Coupons The $8 trillion bond market represented by the Lehman r -Aggregate eked out a 32 basis point gain during the last l quarter of 2003, as a modest increase in interest rates eroded 85 basis points from the index's income return. Following r three years of impressive capital returns, bond investors were forced to be content with coupon-like returns during 2003. l _ The Lehman Aggregate completed the year up 4. I%, after L L averaging l 0% returns from 2000 to 2002. ·"-'" 1m.<w 'I Staying Committed to Real Estate The NAREIT Equity Index advanced 9.96% for the fourth quarter and 37.13% for 2003. The Health Care and Retail sectors led the index. Private real estate, as represented by the NCREIF Property Index, was up 2.76% for the quarter and 9.00% for the year. REITs finished the year trading at premi- ums to their NAVs. Not only did these investors receive steady income, they were pleasantly rewarded with appreciation. -"<'l' JJUfj(' ,<) The Global Rally Continues The fourth quarter proved a fitting end for 2003, with stocks around the world rallying sharply, as investors anticipated continued economic recovery without worry from inflation or higher interest rates. The MSCI EAFE Index returned 17 .1 % for the quarter and 38.6% for the year to dollar-based investors. The MSCI EMF Index rallied 17.8% in the fourth quarter, bringing its calendar year return for 2003 to a stellar 56.3%. Si.'(' JlOf/l' (j Falling DollarTakes Foreign Bonds Higher In the fourth quarter, the Citi World Government Bond Index ex-U.S. gained 6. 71 % to U.S. dollar-based investors, but just 0.10% in local terms. The euro and yen strengthened further against the dollar. The JPMorgan EMBI+ Index climbed in the fourth quarter advancing 5.28%, its fifth straight positive quarter. ·"-''' JHl.lJC 8 Private Equity Market Recap of 2003 Overall fundraising continued the downward trend present over the last few years, even with a surge in new commitments during the fourth quarter. Venture capital investment for 2003 was the lowest in six years. Buyout firms, on the other hand, had one of their busiest years ever, in terms of overall transac- tion volume. .-;,:e pa.cw IO Popular Risks Get Rewarded in Hedge Funds The Callan Hedge Fund-of-Fund Database gained 3.09% last quarter, net of fees. For the full year, the median manager rose 10.30%. Except for Short Sellers (-12.92%), routed in a bull market dominated by lower quality stocks, all major hedge fund strategies advanced last quarter. The strongest was Managed Futures ( +6.82). ·"-'<' JJ(((Jc' IO The Bear Gets Burned Equity markets finished off the year in style.With an average public equity allocation of 63%, the median endowment/foun- dation posted the best performance, rising 8.53% in the quarter. Public plans ( +8.43%) and Taft-Hartley plans ( + 7.52%) garnered lower returns due to their more conserva- tive equity allocations. ,'<-'<' puye l:.:' Broad Market Returns -Fourth Quarter 2003 L 20% 15% L = .. ~10'7o c,: 6.71% 5% 2.27% 0.32'"1 0.26'7o 0% U.S. Equity Non-U.S. Equity U.S. Fixed Non-U.S. Fixed Real Estate Cash (Super Composite 1500) (MSCI EAFE) (LB Aggregate) (Citi Non-U.S,) (Callan Real Estate) (90-Day T-Bills) Ill '\, I U I \I 1-111 1 IIJI. \l,11 111 \\I I Ill\\ I J: Iii! I \I 111 tl:\I \ '-I ~I 111 l.,1111 , 1 \ I I: I \I l'i I I ( 111101:\I \ '•II 11 I I\ 11,,1211.-,21 111111 t ,illw1.t1,111 Back to the Future Market sentiments last quarter shed the last few remnants of pessimism. As stock buyers grew accustomed to the current threats of the Iraqi quagmire, terrorist alerts and mad cows, their eyes refocused on the distant horizons of future earnings growth. The growing evidence of a rapidly recovering U.S. economy fueled by low rates I and tax cuts drove equity prices higher. Fading into the background were hypothetical concerns about the falling dollar and growing deficits in trade and federal spending, placated by surging productivity and tempered inflation from untapped capacity. As cyclical stocks maintained their momentum from prior quarters, P the S&P SuperComposite 1500 jumped 12.36% last quarter, includ- i ing dividends. Since this market renaissance began five quarters ago, ~ the S&P 1500 has gained 40.09%, leaving it roughly 18¼ below its high watermark from the first quarter 2000. Stocks of all sizes joined equally in the frenzy of optimism, led marginally by smaller capitalization stocks. The S&P Small Cap 600 soared 14.76¼ while the S&PMidCap 400 leaped 13.199'0. The S&P r- r 500 slightly trailed its smaller brethren with a 12.18¼ gain. I All of the S&P l 500's 10 economic sectors were solidly in the black r -last quarter. The sweeping global recovery, combined with a falling dollar made Basic Materials ( +23.01 ¼) the quarter's favored winner. As an obvious beneficiary, its industries of steel (+51.43¼) and aluminum ( +46.529'0) showed phenomenal strength, even as President ~ -Bush lifted tariffs unpopular with the WTO. U.S. Steel ( +90.95¼) still nearly doubled last quarter. Similarly, with rising oil prices aided by the weaker dollar, Energy gained 15.40¼. As the U.S. engine of economic growth gathered noticeable steam last quarter, the cyclical Industrial sector ( + 14.76%) retained its momen- tum of prior quarters. Likewise, the cyclical Consumer Discretionary sector ( + 14.57¼) hit its stride. Particularly strong were automobile manufacturers (+39.43¼), tire & rubber (+26.62¼), and homebuilding (+26.74%). Technology ( + 12.99¼) continued its ascent since last March with its L _ third consecutive double-digit gain, led in the latest quarter by Cisco Systems ( +24.31 % ) anticipating increased business spending. Even Telecommunications ( + 13.23¼) showed signs of digging itself out of its overbuilt, debt-burdened infrastructure. '-- Among the laggards last quarter were the more defensive growth sectors of Consumer Staples ( +8.12¼) and Health Care ( +8.60% ). While by no means ,did they go begging for attention, their more reli- able earnings growth pallcrn could not compete with the cyclical stocks benefiting from an unexpectedly strong economic lift. l-With cyclical stocks dominating the price charts, value-oriented stocks won last quarter's race, based on the S&P/Barra style indexes. To compare Value and Growth, S&P and Barra divide the capitaliza- tion indices evenly by price-to-book, creating subsectors of growth- L and value-oriented stocks. Among the smaller stocks, the S&P/Barra SmallCap Index gained 16.58¼ while its growth counterpart advanced 12.97%. Among the larger stocks, the S&P/Barra Value L Index rose 14.45%, soundly beating the S&P/Barra Growth Index (+9.93%). Callan Style Group Returns -Fourth Quarter 2003 IW IWA. .............. 5'.( L..._ ___ __.c__ ___ _._ ____ __._ ____ _J Lar~e Cap-Growth Large Cap-Value SIJle StJle 101h r-:rccn!ilc 11 42 14,95 25th P1.;rccntile 10 X3 14,08 Median 9 85 l 3,58 75th Pcrccnlilc 8 78 12,9-l. 90th Percentile 8.34 11.64 S&PGrn"'th lknd1marks • 9 93 S&PValue 14.45 Small Cap-Growth Style 15 )I [4.32 t2:w 1057 8.67 S&P600 Growth 12.97 Small Cap-V,llue Slyle 19 56 17.45 15 21 14 JO 1)11 S&P@OValue 16 58 Capitalization Sector Performance -Fourth Quarter 2003 Economic Sector Performance -S&P 1500 Fourth Quarter 2003 Mate1ials Energy Indusllials Consumer Discretionary Telecommunications Information Technology Financials Health Care Utilities -860'7c ·.-8.35% 15.40'7c 14.75% 14.57% 13.23% 12.99'7c 12.06'7, 23.01 '7c Consumer Staples b===e!i!!fl!!l!ll!!l!l!l~8'.'.:. . .'..:12-c'.l:__ __ ...J.... ___ __,_ __ __J 0'7c 5% 10% 15% 20% 25',f Return Rolling One-Year Relative Returns vs. S&P 500 30% ..------------------------, 25'7o -S&P500 -S&PValue S&P Growth 1------------• -15% l------------------ -20% !--------------------- CAILAN A___~OCIATES, ,;,,.,,,, ,,,,,,,,., "'"'' l'\l'l'l'\I, ll\Ill\ET , ..... , p U.S.EQUITY Style Median and Index Returns* for Periods ended December 3 I, 2003 Last Last Last3 LastS Last 10 Last 15 r Quarter Year Years Years Years Years Large Cap-Broad Style 11.84 28.13 -4.04 0.79 11.43 12.71 Large Cap-Growth Style 9.85 27.09 -9.24 -2.93 10.72 13.33 Large Cap-Value Style 13.58 29.72 0.41 2.83 11.69 12.44 Aggressive Growth Style 11.03 38.74 -8.18 1.71 10.14 14.22 r Contrarian Style 13.93 31.94 3.78 5.69 12.62 13.26 Core Style 11.86 27.41 -4./0 0.31 11.66 12.82 Yield Style 13.83 26.31 1.29 3.16 11.49 12. 19 S&P SuperComposite 1500 12.36 29.59 -3.05 0.39 11.11 S&P500 12.18 28.68 -4.05 -0.57 11 .07 12.21 NYSE 14.62 30.88 -0.73 2.17 11.10 12.15 Dow Jones Industrials 13.36 28.20 1.06 4.57 13.07 13.85 r Mid Cap-Broad Style 12.69 34.79 2.02 8.25 13.14 14.63 Mid Cap-Growth Style /0.86 36.36 -9.78 4.34 10.86 14.23 r Mid Cap-Value Style 14.10 34.11 8.16 9.74 13.37 14.23 S&P MidCap 400 I 3.19 35.62 4.84 9.21 13.93 15.83 r Small Cap-Broad Style 14.23 44.30 6.83 11.52 12.99 15.02 Small Cap-Growth Style 12.20 46.28 -1.50 6.57 10.89 14.64 Small Cap-Value Style 15.21 42.63 16.19 14.15 14.60 15.18 ~-S&P Small Cap 600 14.78 38.79 8.07 9.67 11.43 12.01 Russell 2000 14.52 47.25 6.27 7. 13 9.47 10.96 NASDAQ 12.29 50.76 -6.35 -1.45 10.47 12.61 Consumer Staples 8.12 12.13 -1.07 -1.06 10.82 12.99 Consumer Discretionary 14.57 38.32 7.68 3.36 9.15 11.60 Industrials 14.75 32.12 -3.50 3.35 10.73 11.28 Energy 15.40 25.03 2.04 9.36 11.99 11.81 Materials 23.01 36.51 9.08 7.62 7.44 8.91 Information Technology 12.99 47.59 -12.91 -6.43 11 .62 11.39 Utilities 8.35 26.51 -11.16 0.31 6.74 9.33 •-Financials 12.06 31.47 2.88 7.22 16.47 16.35 Telecommunications 13.23 7.29 -16.95 -14.45 L HealthCare 8.60 17.74 -6.49 1.19 U.S. Equity Index Characteristics as of December 3 I, 2003 S&P 1500 S&PS00 S&P400 S&P600 Russell 3000 l -Market Value 10-311.066 49-311.066 336-11.799 10--4.865 7-309.625 Number oflssues 1.500 500 400 600 2.938 % of S&P SuperComposite 1500 100% 88% 8% 4% Ls Wtd Avg Mkt Cap $74.5B $84.4B $2.9B $0.9B $70.6B Price/Book Ratio 3.2 3.4 2.5 2.3 3.1 L PIE Ratio (forecasted) 18.2 18.1 18.5 18.9 18.7 Dividend Yield 1.6% 1.6% 1.1% 0.9% 1.6% 5-Yr Earnings (forecasted) 12.6% 12.4% 14.0% 14.2% 12.8% * Returns less than one year are not annualized. ,;.""" ,;"""" ,110 , I'.\ l'IT\L .\11 H HT,, ... " CAILAN .A_,~OCIATES , A Year in Coupons The $8 trillion bond market represented by the Lehman Aggregate r -eked out a 32 basis point gain during the last quarter of 2003, as a modest increase in interest rates eroded 85 basis points from the index's income return. Following three years of impressive capital ,---• returns, bond investors were forced to be content with coupon-like returns during 2003. The Lehman Aggregate completed the year up 4.1 ¼, after averaging IO¼ returns from 2000 to 2002. The Lehman Government Credit, with a longer duration, higher credit, and no r -mortgage exposure, lost 0.04¼ for the quarter, but ended the year up 4.31 </o. r _ Searching, and hoping, for the whites of inflation's eyes, the Federal Reserve's Open Market Committee elected to maintain short-term interest rates at their current 45-year low declaring, "Monetary accommodation can be maintained for a considerable period." In response to the announcement, the bond market's Fed watchers began debating the length of a "considerable period." At the end of the year, the market, via Fed Funds Futures, was predicting a 90¼ chance of a 25 bps increase by the middle of 2004. The I 0-year Treasury inched up 30 basis points to end the quarter at 4.25'/o. Interest rates oscillated between 4.0¼ and 4.5¼ in a relatively calm environment compared to the third quarter. Since the absolute volatility in rates was not large, securities with embedded options, such as mortgages, rebounded from the struggles they experienced in the third quarter. During the fourth quarter, the mortgage index climbed 0.94</o, an 84 basis point advantage over Treasurys with a similar duration. The global search for yield continued during the fourth quarter, with spread sectors, namely credit, capturing investors' attention. Due to its yield advantage, the Investment Grade Credit Index had a total return of 0.50</o, while Treasurys of a similar duration lost 0.50</o during the quarter. For the year, investment-grade credits rallied from a spread of 1.69</o to 0.89r/o, producing a healthy 7.70r/o for the calen- dar year. For 2003, more than $27 billion flowed into high yield mutual funds, providing a constant demand for below-investment grade debt. Willing to accommodate the insatiable demand, high yield issuers fed j the market over $135 billion in debt, the second most prolific year on ! . record. Moody's 12-month default rate closed in on 5</o during the fourth quarter, after starting the year above 8¼. Fueled by improving fundamentals and the global search for yield, the Lehman High Yield Index rose 5.9</o for the quarter, ending the year up an impressive I... 29¼. Within the high yield market, lower quality securities once again outdid higher quality counterparts-CCC rated securities returned 60</o for the year, while B rated high yield returned 209'0. Even with l -this year's dramatic outperformance, CCC rated bonds have still lagged BB rated bonds by 4</o over the last five years. Along with high yield, emerging debt and foreign currency continued L -to power the returns of core plus portfolios. For the year, the yen ended up 11 </o versus the dollar while the euro surged 19¼. Rebounding from 2002's flight to quality, the median core plus L _ manager outperformed their core bond peers for the fifth consecutive quarter. Proving to be a good year for active management, the median core plus manager also beat the Lehman Aggregate by over 250 basis points for the last 12 months, before fees. -0 Callan Style Group Returns -Fourth Quarter 2003 7'.f ··-•···- 4',i l',t l-~l:UTI, ()',{ 1---'U.WCUU.'--11-'-=='---+--"·--+~---=:;--•l-z;.;::,-+----1 -1•,.; -2'.I:, lnlcnncclialc Style 10th P..:r<:cnlilc 0.62 :!5th t\:m.:nlill.'. 0.33 Median O.:W 75th Pi.!rccnlilc 0. 13 90111 Pcn.:cnlili.! O.lU LH lnterA(:J:;. lkrn.:hmark • 0 42 Core Bond StJ·le o.sx 056 o.,o 0_~6 0.13 LBAgg o:.u Core Plus Style 1.75 I 33 0 95 0 82 a s1 LIIA~ 0.32 Ext Maturity Style 0.33 001 (0 18) m.1s1 (1()4) LB G/C Long (0.29) Hi~h Yield Style 1.2..i 6 40 567 4.X6 4...J9 LB High Yield 5.91 6% Sector Performance -Fourth Quarter 2003 5.91 '7e 5% 4% 1% 0% -I 'le 5'7o 47,. -0.-14% LB Universal Index = 0.76'k LB Aggregate lndex = 0.32¼ 0.32% o.on , LB Gov Bd LB Credit LB MBS LB ABS LB CMBS LB High Yield U.S.TreasuryYield Curves ~3% > .,._.,.,,.,,.,,.:•=='"'·········· .. ~=·······"·· •.. ·····' ... -· ~ -End 4th Quarter 2003 / -~ -Beginning 4th Quarter 2003 .,/ ····•···· End 4th Quarter 2002 ·> l',I, 0%t----t----;1-----t----+-----t------1 0 5 lO 15 20 25 30 Maturity (Years) Effective Yield OverTreasurys l0'7c .----------------------~ CAILAN A~·. OATES r U.S. FIXED INCOME Style Median and Index Returns* for Periods ended December 3 I, 2003 Last Last Last3 Lasts Last 10 Last 15 r Quarter Year Years Years Years Years Active Duration Style -0.02 3.46 7.32 6.13 6.78 8.42 -r Core Bond Style 0.36 4.54 7.66 6.72 7.05 8.60 Core Bond Plus Style 0.95 6.64 7.96 6.98 7.48 9.06 LB Aggregate 0.32 4.10 7.57 6.62 6.95 8.37 LB Govt/Credit -0.03 4.67 8.04 6.66 6.98 8.43 LB Govt -0.44 2.36 6.96 6.26 6.72 8.19 LB Credit 0.50 7.70 9.53 7.10 7.42 8.93 r Citi Broad Investment Grade 0.36 4.20 7.57 6.62 6.96 8.40 Extended Maturity Style -0.18 4.57 9.38 7.25 8.15 10./4 f LB Gov/Credit Long -0.29 5.87 9.25 6.94 8.03 9.83 LB Gov Long -1.14 2.61 7.80 6.58 7.92 9.83 LB Credit Long 0.83 10.43 11.50 7.36 8.08 9.70 Citigroup High Grade -0.15 5.27 10.66 7.20 7.97 9.62 r intermediate Style 0.20 4.24 7.48 6.65 6.69 8.02 LB Intermediate Aggregate 0.42 3.81 7.30 6.66 6.74 8.03 ,r- LB Gov/Credit Intermediate 0.06 4.31 7.67 6.65 6.63 7.89 LB Gov Intermediate -0.20 2.29 6.73 6.18 6.32 7.62 LB Credit Intermediate 0.39 6.91 8.93 7.22 7.19 8.53 [ Defensive Style 0.30 2.56 5.70 5.75 5.97 7.11 Active Cash Style 0.31 1.83 3.94 4.61 5.16 5.99 r Money Market Funds (nel of fees) 0.12 0.62 1.88 3.24 4.04 4.59 ML Treasury 1-3 Year 0.15 1.90 5.28 5.37 5.68 6.70 90-day Treasury Bills 0.26 1.15 2.44 3.66 4.41 4.88 High Yield Style 5.67 24.49 9.95 6.48 8.36 10.30 LB High Yield 5.91 28.97 10.21 5.23 6.89 8.75 L CSFB High Yield 5.83 27.93 11.75 6.44 7.30 9.29 ML High Yield Master 5.84 27.23 10.13 5.47 7.23 9.18 Mortgages Style 0.96 3.41 7.01 6.73 7.14 8.66 LBMBS 0.93 3.07 6.65 6.55 6.90 8.26 ..__ LB ABS 0.32 4.01 7.43 6.94 6.81 LBCMBS ().()7 4.66 9.72 8.16 l U.S. Fixed-Income Index Characteristics as of December 31, 2003 I Yield Modified Adj. Average %of %of Lehman Brothers Indices toWorst Duration Maturity LBG/C LB Aggregate i.:s LB Aggregate 4.15 4.50 7.57 100.00% 100.00% LB Govt/Credit 3.73 5.45 8.34 100.00% 60.08% l Intermediate 3.19 3.76 4.50 76.57% 46.01% Long-Term 5.48 10.97 20.88 23.43% 14.08% LB Govt 3.25 5.20 7.52 56.13% 33.73% L LB Credit 4.34 5.78 9.39 43.87% 26.36% LBMBS 4.92 2.98 6.62 35.59% LBABS 3.17 2.68 3.12 1.69% L LBCMBS 4.10 4.67 5.71 2.63% LB Corp High Yield 7.40 4.75 8.18 * Returns less than one year are not annualized. L, ,;,""" ,,,,,,,,., ~/JO'i l'\l'IT\L .\l.\ltKET ,.,;.,, CA1LAN A.,~OCIATES ,: ,; The Global Rally Continues The fourth quarter proved a fitting end for 2003, with stocks around the world rallying sharply, as investors anticipated continued economic recovery without worry from inflation or higher interest rates. The MSCI EAFE Index returned 17.1 % for the quarter and 38.6% for the year to dollar-based investors, with dollar weakness contributing I 8.3% of that annual gain. Even the oft-maligned Japan managed to show strong signs of recovery in 2003. Emerging markets amplified this sentiment, rising 17 .8% and 56.3% for the quarter and year, respectively. Europe The MSCI Europe Index rose 20.4% in dollar terms in the fourth r~ ; quarter, propelled by a 8.370 gain in the euro versus the dollar. For the year, the euro's strength added 18.8% to the returns of dollar-based investors. Economic activity continued to show promise throughout r-the continent. The European Central Bank managed to hold interest rates steady. The Bank of England, however, raised rates by a quarter point in the fourth quarter to ward off potential inflation. France and r -Germany advanced 22.5% and 31 .3%, respectively, but the UK ( + 18.2%) lagged. Consistent with the theme of economic recovery that was firmly established earlier in the year, European investors continued to emphasize cyclical sectors over defensive exposures, r with materials ( +24.1 % ) and financials ( +22.3%) scoring dramatic gains at the expense of consumer staples ( + 13.8%) and health care (+16.9%). The quarter was not without bad news, however, with " -discoveries of fraud at Italian food company Parmalat and Swedish insurer Skandia. Asia r -The MSCI Pacific Index climbed 9.8% in the fourth quarter, with yen ! l _ strength against the U.S. dollar accounting for 4.2% of that rise. Despite the weak follow-through from the third quarter's impressive rally, Japan still managed a solid 35.970 gain for the year. Economic : statistics released in the fourth quarter confirmed the year's strong l ·· tone, but the market began to grow concerned over the effects the strengthening yen may have on the export-dependent economy. Nevertheless, as with the rest of the world, the dominant theme in l _ Japan was recovery. Economically sensitive sectors outperformed the more defensive areas, with materials (+18.2%) and financials ( + 11.6%) recording impressive returns relative to consumer staples ( +4.1 % ). Elsewhere in the region, the big winners in the quarter were ... -Australia ( + 17. I%) and New Zealand ( + 16.9% ), bolstered primarily by their dramatically strengthening currencies in light of the Reserve Bank of Australia's 50 basis point hike in interest rates during the .._ _ quarter. Emerging Markets The MSCI EMF Index rallied 17.8% in the fourth quarter, bringing l" its calendar year return for 2003 to a stellar 56.3%. Latin America led the way, surging 23 .9% for the quarter and 73.7% for the year. The top performing country in the quarter was Brazil (+38.3%), as continued L fiscal reform and easing monetary policy shaped investors' positive expectations. Emerging Asia rose just 16.5% during the quarter, but recovery-sensitive Thailand (+42.2%) and high-growth China L-( + 34.570) soared. However, technology-heavy South Korea ( + 14.3%) and Taiwan ( +3.0%) were relative disappointments in the quarter as investors preferred more economically sensitive recovery themes. Lastly, Eastern Europe ( + 11.8%) lagged the other regions in the fourth L--quarter. Callan Style Group Returns -Fourth Quarter 2003 20~f - 15'-' IO'A 5'• 10Lh Pcrccnlilc 15th Pcrccnlilc Mctlian 75th Pcrc1.:n1ilc 90th P..:rccntilc ni::ncllmark 25% 20% E 15% ::, ~ ~ 0 ~ 10% 5% 0% • ·-·•- Global Equity Non•U.S. F.quity Emerging Markets SIJle SIJ'lc EqOb 16.)9 18, 19 .'.!J 12 15 ("f) 16 94 19 50 1465 16 18 18,76 13.76 15.46 1774 9 7U 1446 15.32 MSCIWnrld MSC\ EAFE MSC[ Emerg Markets Free l-t26 17 08 17.81 Regional Performance (based on US$) Fourth Quarter 2003 20.37% MSC! ACWI Free (ex U_S ) = 17 I J '7o MSC! EAFE = 17,08'7c MSC! Europe MSC! Japan MSC! Pac MSC! Emerg Ex Japan Markets Free Rolling One-Year Relative Returns vs. MSCI EAFE US$ 40% "" :.§-20% 0 ~-30% 150% 120'7o .,. "' ;:, 90% .,; ... "' E 60% ::, ~ ~ 30% " .::: ;; :i 0% E ::, u -30% ·MSC! Pacific 1"----'~--t--------------1 -MSC! Europe -MSCJEAFE , __ _,,_.,_ _________ _., 94 95 96 97 98 99 00 0 l 02 03 - - Major Currencies vs. US$ Cumulative Returns over Last 25Years -Japanese Yen German Mark/Euro UK Sterling _,__ CALLAN JL~OCIATES, C 1:,.,,,1, .,.,,., ,, , com l'\P IT\I, 11.\lt(\li'J'", ;, " r INTERNATIONAL EQUITY Style Median and Index Returns* for Periods ended December 3 I, 2003 Last Last r Quarter Year Global Style 14.65 32.86 Non-U.S. Style 16.18 35.03 Core Style 16.17 34.88 Top Down Style 16.18 34.69 r Bottom Up Style 16.19 34.47 Small Cap Style 16.16 56.92 MSC! EAFE-Unhedged 17.08 38.59 MSC! EAFE-Local 9.28 20.28 MSC! EAFE Growth Index 15.67 31.99 MSCI EAFE Value Index 18.47 45.30 MSC! World-Unhedged 14.26 33.11 r-MSC! World-Local 10.89 24.91 MSC! AC World Free ex-U.S.-Unhedged 17.11 41.41 MSC! AC World Free-Unhedgcd 14.52 34.63 Pacific Basin Style 10.14 36.81 Japan Style 10.56 39.91 Pacific Rim Style 12.96 45.79 MSC! Pacific-Unhedgcd 9.77 38.48 MSC! Pacific-Local 4.42 21.61 MSC! Japan-Unhedged 8.38 35.91 MSC! Japan-Local 3.97 22.74 Europe Style 19.45 36.47 MSCI Europe-Unhedged 20.37 38.54 MSCI Europe-Local 11.55 19.78 Emerging Markets Da1abase 18.76 58.42 MSC! Emerging Markets Free-Unhedged 17.81 56.28 MSCI Emerging Markets Free-Local 17.62 46.74 I Return Attribution for EAFE Countries Fourth Quarter 2003 Country Total Local Currency Australia 17.16'k 5 259C IIJY/r Ausnin 22 20'7c 118Ylr 8J I% Belgium 18 347r 9 26<;·{ SJ I Ck Denmnrk 12 99'i'c 4 61 '7c s.01 r1r Finland 14.3-1.'k 5 57t;i SJ l'K Fr.tn(.'C 22 51 '7r L, 11 ~, 8.JJ <;} l Germnny 31 28<;} 21 21,;1c-, 8.31% Greer~ 25.6Yk 15.99<7, SJ l'K Hong Kong 5 s1r1c 6.09~'c: -0.26':f lrdand 15.7:Wr 6.S5'i'r s.:m, Italy IS 6Q,;0 9.50';'<-8.31~, Japnn 8.38% 3.97f'/c 4.24'ir Netherlands 19.88<;} 10 68'« SJl~f New 2',aland 16.86'1, 5.72~'<--10.5-Vk. Norway 26 55<7,-19J 2'k 6.06~, Portugal 20.05'7, 10 8.\'7c 8.31Ck Singapore I 0.07'7c 815% l,78t;t Spain 16 • .\4'7e 16 747r SJ 1c;1r- Sweden 21.51 ~ I .-~.02t;'< 7.5 I '7c Switzerland 1621t;f, 88.'l'lc 6.78% UK 18.20~'<-9 70Ck 7.75% " Returns less than one year are not annualized. Last3 Years -2.32 -2.90 -2.35 -3.21 0.52 4.93 -2.91 -9.37 -5.80 -(l.15 -3.92 -6.65 -0.96 -2.84 -0.44 -3.03 8.78 -2.14 -5.51 -4.87 -6.87 -3.68 -3.24 -10.90 14.80 12.77 13.72 New Zealand 0.2'k- Austria 0.'.!'7c· Portugal 0.4% Greece 0.5%· Norway 0,5%· Ireland 0.7~, Denmark 0.1!'~,~ Singapore 0.8%--....... Belgium l.l'il-- Hong Kongl.ti'J-- Finland 1.7% Sweden 2.3% Spain 3.7% Italy 3.9~b 5.2% L, ,;.,,,,,, ,;,,,,,., """, l'\l'IT\L .'1 \Hid-:'!',,.,,,,,· CAILAN A__~OCIATES.," Last5 Last 10 Years Years 3.22 7.77 2.87 6.59 2.96 6.45 0.56 6.50 3.41 6.92 13.33 8.74 -0.06 4.47 -1.64 3.43 -3.96 2.07 3.66 6.75 -0.77 7.14 -1.31 6.69 1.55 4.66 0.02 7.15 4.29 0.53 3.14 2.16 9.71 0.45 1.86 -1.19 0.07 -1.79 -0.02 -1.88 -1.04 -2.27 1.58 10.38 -0.78 8.71 -2.1 1 7.20 14.09 3.56 10.62 0.18 14.29 9.14 CountryWeights-EAFE As of December 3 I, 2003 Switzerland 7.4% Last 15 Years 10.11 7.79 8.03 7.19 9.64 8.63 3.64 3.07 1.30 5.92 6.71 6.53 4.26 7.13 4.15 1.61 9.83 -2.03 -2.91 -3.06 -4.58 11.24 9.62 9.33 13.73 J0.84 37.54 7 Falling DollarTakes Foreign Bonds Higher In the fourth quarter, the Citi World Government Bond Index ex- 17 -U.S. returned 6.71 </o to U.S. dollar-based investors, but just 0.1 O<io in local terms. The euro and yen strengthened further against the dollar. These trends were balanced by early concerns over rising rates in Europe. Europe The European bond market rose 7.92'/o (Citi EMU Government Index) in dollar terms in the fourth quarter, thanks to the euro's 8.317o rally against the dollar. In local terms, however, the market was slightly lower (-0.36'/o), as improving economic fundamentals r _ persuaded investors to take the yield curve slightly higher across all maturities. Unlike the European Central Bank, the Bank of England started raising rates during the quarter. Nevertheless, the UK fixed income further mirrored those on the continent, returning 7.96</o to r-dollar-based investors, as sterling strengthened 7. 75'/o. r Japan The Japanese bond market rose 0.67'/o in local terms in the fourth quarter as interest rates remained virtually unchanged. In dollar terms, the market actually climbed 4.94%, with the yen strengthening 4.24'/'o. Callan Style Group Returns -Fourth Quarter 2003 7',{ 6';i, 5'.~ • 4•_; 2'.l 0'1· '------------'-----------' 10th P-.:rccnli/c ~5th Pcrccnlilc Ml'di:.m 75th Pcnx:n1ilc 901h Pl.!rccntilc lknc.:lunark • Glohal fixed Slylc 6.tH 5.ull 5.31 5.10 0 25 Citi World Gov Unhedgcd 5.21 Non-US. Fixed Slylc 744 7 16 6 n ()_'ii 6 18 Citi Non-U.S. World Co,• Unhcdgcc1 6 71 The yen's rise prompted the Japanese government to indicate that it would boost its purchases of foreign securities. Emerging Markets The JPMorgan EMBI+ Index maintained its momentum in the fourth quarter, advancing 5.28</o. Investors continued to be attracted to the asset class in this environment of global economic recovery. INTERNATIONAL FIXED INCOME L Style Median and Index Returns* for Periods ended December 31, 2003 Last Last Last 3 Last 5 Last I 0 Last 15 Years Quarter 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 lndex-Unhedged Citi Euro Govt Bond Index-Local JPM Emerg Mkts Bond Index Plus 5.31 5.21 -0.03 6.73 6.71 0.10 7.92 -0.36 5.28 Return Attribution for Non-U.S. Govt Indices Fourth Quarter 2003 Country Total Australia 11..JN Austrb 7,88t;'t Bdgiurn 7.~B~'<, Canad;1 5,0-1-'} Denmark 7,89',f Finland 7.77'/, Franl.'.L' 7 97'-;f Germany 7.95'k Grt.:ect: 7,8$';',- Ireland 7.6.J,i lwly 7.92Sf Japan ..J.,94Sf Netherlands 7.99Cir Norway 8,06S'r Poland -t:!:V,f Portugal 7.S-Jt;',- Spain 7.SN· Sweden 7,6O\f Switurland 1.2.~r;,;. UK 7 96r;f ,,, Returns less than one year are not annualized ''"'' Derived from MSC! EAFE data. Local Currency•• 0 J-1-<k I l.32'H -O •O~'t 8 .ll'J· -0.-15," S.W7i o.59r;, .J.JY7r -n.12r;, 8.01 Cfc -o.soc;, S.3Jq.., -0.3:!<;f S 31 7< -0.33,! S.Jlt;'< -0..JO~f S 3Jt;',-- -0.62% S.3 1 'k -0,W ii 8.31 t;',- O.6Yk .\.2-1'7r -0.29<k S 319( I X9t;i, 606,0 -0.S2'ir 5.097< -O..J.W S.JJCk -0.-ll'ii-8,31c;, 0,090 7.5 '"" 0,-14'7r 6.789(' O.2O'ii 7 75t;f. Year 16.57 14.91 2.19 20.03 18.52 2.15 24.98 3.97 28.82 Years I 1.33 10.78 5.17 12.47 11.73 4.64 17.53 6.52 13.45 Years 5.74 5.74 4.45 5.28 5.21 3.87 16.30 Years 7.01 6.79 6.05 7.04 6.73 5.87 11.42 8.72 7.88 7.63 8.68 7.58 7.30 Country Weights -Citigroup Non-U.S. Govt As of December 3 I, 2003 Norway 0.3'7c· Australia 0.5% · Poland0.5% !J-eland 0.5%---...._, '- Finland 0,7%~ Switzerland 0.9%- Portugal 0.9% - Sweden I ,2'7o-· Denmnrk 1.2% Austria I ?%- Greece ::!.2% Canada 2 5% Nc1 hc.:rlnnds J,O'k Belgium J,(j']< 10.4% L ~ 8 CAILAN ASSOCV\'IES '''""'' '•""' ":!OIi! ('\PIT\L .\LU:!d:T ' ''' Staying Committed to Real Estate The first half of 2003 marked what many believe was a low point in the real estate cycle. Average vacancy rates were high, leasing activity was low, and the economy continued to lose jobs. Despite these poor fundamentals, the real estate sector saw a flood of new allocations and additional commitments, causing capitalization rates to decrease. The table below details each sector's decline in cap rates from last year. In the second half of 2003, the real estate markets seemed to step in the right direction. Most markets experienced an increase in leasing activ- ity and the economy improved in the labor market. Transaction volume for the year was up relative to 2002, as more investors flooded the market, creating more demand for product. Even a spike in interest rates over the summer did not deter investors. Private real estate, as represented by the NCREIF Property Index, Callan Style Group Returns -Fourth Quarter 2003 12',t, 8'.f. 6',~ : •• _J -·-··' 0',;1---- -2'.i, 10th 1>cm:ntilc 25th Pcrccmitc ~ll'dian 75tl1 l>i..:rccntilc 90th 1>.::rccnlilc Bcnc.:hmark • Real F.:statc D:1tabase 9,.'9 3,22 2.27 U X3 (2,68) NCR~IF Total Index 2,76 ---•---· REIT Database 114] 10,37 9.55 9.26 8 l I NAREIT Equity 9 96 NAREIT Equity Sector Performance - Fourth Quarter 2003 r-was up 2.76% for the quarter and 9.00% for the year end December 31, 2003. The income component was 1.96% for the quarter and appreciation was 0.86¼. Again, the Retail sector outpaced all other sectors with 6.29¼ for the fourth quarter and 17 .15% for the year. .:---I Specialty 1---------=...=.i J 8.89'i'c In the public sector, Real Estate Investment Trusts (REITs) finished the year trading at premiums to their Net Asset Values (NAVs). This was driven by investor fund flows into the market, retail and institu- tional alike, who were seeking the stable dividends paid by REITs. Not only did these investors receive steady income, they were pleas- antly rewarded with appreciation. Retail Industrial/Office 13.53% 11.lO'i'c 3.52'7c 5'"/c JO% 15% Return Rolling One-Year Returns REITs once again shined. The NAREIT Equity Index advanced 9.96% for the fourth quarter and 37.1370 for 2003. The Health Care and the Retail sectors led the index with gains of 53.59¼ and 46.77%, respectively. Apartments were the "worst" performing asset class, returning 25.49% for the year. 50% ..-------------------------, Overall Capitalization Rates Sector 4th Quarter 2003 One Year Ago Industrial Apartment 8.51% 8.9.W CBD Office Suburban Office Strip Shopping: Center 7.4Wc 9.02% 9.50'7c 8.84% Source: Korpacz Real Estate Investor Survey® Rates based on unleveraged, all-cash transactions. 8.26% 9.50'k 10.03% 9.89'7c '240% "' i ';;;'30% E ::s ~20% .. ~ l 0% 1-----VI <(, C ~ ()%,--~ :E 0 ~ 10% t-----i 92 93 9-+ 95 96 97 98 99 00 OJ 02 03 REAL ESTATE l Style Median and Index Returns* for Periods ended December 3 I, 2003 Last Last Last 3 Last 5 Last I 0 Quarter Year Years Years Years Real Estate Database (net of fees) 2.27 7.47 6.24 8.18 10.21 NCREIFTotal Index 2.76 8.99 7.67 9.30 10.06 REIT Database 9.55 36.86 16.90 15.41 14.71 NAREIT Equity 9.96 37.13 17.49 14.35 12.05 "Returns less than one year are not annualized. L., ,,,,,,,, ,,,,,,,,,., onr,; I' \111'1'\I, .\I \I: Id]''""" CAILAN A""'~OCIATES"= Last 15 Years 7.21 6.67 13.30 11.83 ,<} r Private Equity Market Recap of 2003 Overall fundraising continued the downward trend that has been r-prevalent over the last few years, even with a surge in new commit- ments during the fourth quarter. Interest in new commitments to tenured firms remained high, especially in venture capital. Fundraising for sought-after groups in both venture capital and buyouts went quickly, with most other groups struggling to meet their fund targets. r r r - Venture capital investment for 2003 was the lowest in six years as general partners worked through prior fund issues and added few companies to their portfolios. Buyout firms, on the other hand, had one of their busiest years ever in terms of overall transaction volume. The initial public offering (IPO) environment for private equity- backed companies also picked up in the third and fourth quarters, but annually remained well below historical averages. Outlook for 2004 Expectations for 2004 include a moderate increase in fundraising from 2003 levels with most firms anticipating a return to market closer to year-end. Access to "top-tier" venture capital firms will remain competitive as they are expected to raise considerably smaller funds next time. The environment should improve for portfolio real- izations as the public markets continue to recover. Please see our upcoming issue (If Private Markets Trends for more in-depth coverage. Funds Closed January I through December 3 I, 2003 Strategy # of Funds $ Amt (mil) % Venture Capital '57 7.767 17.7 Acquisition/Buyouts Subordinated Debt Distressed Debt Other Fund-of-funds Totals '51 11 8 8 22 157 Source: Tl,e Private EquityAnulysl 22.0'54 '50.2 l.604 8.2 2.790 6 . .1 2.999 6.8 4.72'5 10.8 43,938 100.0 Popular Risks Get Rewarded in Hedge Funds With multiple trends in their favor, risk merchants were well rewarded last quarter. Most traders of credit, market, and liquidity risk found enticing opportunities amid last quarter's unexpectedly strong economy, supported by stubbornly low interest rates. Representing broadly diversified programs of hedge fund strategies, the median manager in the Callan Hedge Fund-of-Fund Database gained 3.09% last quarter, net of fees. For the full year, the median manager rose 10.30%. Except for Sho,t Sellers (-12.92%) routed in a bull market dominated by lower quality stocks, all major hedge fund strategies advanced last quarter, based on CSFB/Tremont's hedge fund indices. The strongest was Managed Futures ( +6.82% ), riding the strong tides of rising commodity prices. Similarly, Distressed (+5.00¼) enjoyed the endur- ing trend of tighter spreads on credits, as corporations continued to repair more of their balance sheets. Since this sector has jumped 25.12¼ over the last year, skeptics see increasingly limited upside on long-only opportunities. Likewise, with more lives than a cat, Converrible Arbitrage funds scored a 3.66¼ gain, as positive credit- related bets more than offset the ill effects of decreasing equity volatil- ity. Despite rising market exposures, Long-Short Equity ( +6. 70'/o) still lagged last quarter's ebullient stock market. Monthly Net Returns: CAI Hedge FoF Database l,5',{ IQ•.; ll:'i'.t ow; • • A(IJ7) ~----~~----~~---~-~ A rllij) • Ac,n, October 200.1 December ?fMJ.i 10111 Pi.:ro:ntilc 2.Slh Pi.:n:i.!nlili; l\-kdian 75th l'cm:111ilc 90th l\:n:-.'ntil..:. J'.-Dills • :! OS 1 56 11'.! O.RJ 06.3 ll.UM Novcmlkr 2003 LJ7 1.96 091 I 41 0 71 1.0..i 055 0.71 036 041 0.118 ll 10 ALTERNATIVE INVESTMENTS . l Style Median and Index Returns* for Periods ended December 3 I, 2003 L l Convertibles Database CSFB Convertible Securities Hedge F1t11d-of-Funds Database Market Neutral Equity Style CSFBffremont Equity Market Neutral CSFBrfremont Long/Short Equity CSFBrfremont Event-Driven CSFBffrcmont Convertible Arb CSFBffremont Fixed-Income Arb 90-Day T-Bills VE Post Venture Cap Index GS Commodity Index MLM Managed Futures Index '' Returns less than one year are not annualized. L-J 10 Last Last Last 3 Last 5 Last I 0 Last 15 Years Quarter 8.06 8.54 3.09 1.00 1.94 6.70 4.29 3.66 1.79 0.26 14.19 11.35 7.43 Year 20.21 27.99 IO.JO 2.29 7.06 17.30 20.02 12.88 7.96 1.15 67.98 20.72 3.92 Years 3.61 3.22 6.39 4.64 7.93 3.60 10.26 10.40 7.24 2.44 -10.82 2.76 1.95 CAILAN ASSOC IATE --.,, Years 9.33 7.60 /l.39 3.58 10.76 10.81 11.94 14.43 8.00 3.66 -5. l 5 18.02 4.34 Years 10.89 9.20 11.14 6.17 10.65 12.16 11.40 10.49 6.80 4.41 7.28 9.65 7.86 11.98 10.70 ll.12 8.55 4.88 11.42 9.41 8.11 ,.,.,,,,, ''"""" Cll/11 f\PITlL ,1\ll HT ,,,",. ,,- Springing to Life After struggling to remain on an expansionary track in the first half of 2003, the U.S. economy sprang to life in the third quarter, notching a startling 8.21/l, gain, and followed that up with an a more sustainable 4.0¼ growth in the fourth quarter. The third quarter growth, should it hold up after final revisions, would be stronger than anything reported in the robust economy of the 1990s. Fueling GDP were strong growth in final sales, continued spending by tireless consumers, and what looks like a sustained return to growth in industrial production. The cloud interrupting the rays of economic sunshine, according to the GDP reports, remains the job market. The December employment report showed across the U.S.-an economy with 130 million jobs-a net gain of just 1,000 jobs. The rule of thumb invoked by many econo- mists is that the economy should by now be generating jobs at a monthly rate near 250,000 to be reaching its potential. Given the explosive growth in third quarter GDP and the string of positive economic indicators emerging during the past year-rising consumer sentiment, increasing industrial production, sharply rising profits, strong consumer spending, and a still-robust housing market-it is surprising that the economy has not created more jobs. Adding to the contradiction have been the decline in initial unemployment claims from the danger zone above the 400,000 level to a range near 350,000, and a slight decline in the unemployment rate, from 5.970 to 5.7</o in the fourth quarter. One possible clue to the source of the mystery lies in a comparison of the two sources of data for jobs. The establishment data are survey of a sample of employers, collected and updated frequently and consid- ered to be the benchmark standard for jobs. These data are the response to the question, "How many people do you employ?" The establishment data show that current job levels are down 2.3 million from their pre-recession peak in January 2001. Unless the economy can create these 2.3 million jobs by election day in November, President Bush would become the first president since Herbert Hoover to end his term with fewer jobs in the economy than when he started. The second set of employment data is collected by house- holds, and is the response to the question, "Are you currently employed?" The household data are collected with a lag and have other features that make them less statistically reliable than the estab- lishment data, but they do shed light on the economy. Contrary to the 2.3 million decline reported by establishments, household employ- ment is now 689,000 above its January 2001 peak, a gap of almost 3 million between the two surveys. The household data capture two trends not apparent in the establishment data: newer and smaller c -companies that may not qualify for the establishment survey, and the increased use of contract workers, who do not show up on the estab- lishments' payrolls. '-- Inflation -Year Over Year 20% ,--------------------------, 15';{, ~. \ \ 10% -5'7c PP! (All Commodities) -CPI (All Urban Consumers) -I O<;f, h-rT1mTITTTt-rrrh-rrtTrrtncrl-TTTtrnrtrn-lTTrtmimrlTTrlrrmrrm-nffrrtnTITTrtrnch-rrm-rmrlTTTi 79 XO 81 82 :·n x~ 85 86 87 88 89 90 9] 92 93 9-l 95 l)(i 97 98 99 ()() Ol 02 ()J Low interest rates have been vital to the growth of the U.S. economy. The Fed has kept the federal funds rate at a 45-year low, in a bid to keep companies (and consumers) spending and prevent inflation from slowing too much. Thus far, there is little evidence to suggest that any upward pressure on inflation is imminent. The CPI-U came in at 1.9¼ for the year, and once the impact of volatile oil and food prices is removed, the "core" rate of inflation was just 1.1 ¼, the lowest since 1960. Little if any pressure is coming from wages, and the combina- tion of overcapacity and fierce global competition renders few producers with any pricing power. The most astonishing development has been the lack of any impact on prices from the sharp drop in the dollar during 2003. Econometric models usually suggest that about half of a currency devaluation shows up in higher prices, implying that a 20¼ decline in the dollar should resull in a IO¼ rise in import prices. Import prices have not budged. It should be noted that the dollar has declined primarily against the euro and, to a lesser extent, the yen. The dollar fell 22¼ against the euro and 16¼ against a basket of all indus- trial currencies, but on a trade-weighted basis, the dollar is only down IO¼, and just I¼ versus developing countries. The evidence on manufacturing is as schizophrenic as that on the job market. The reading on production and supply, the Institute for Supply Management (ISM) Purchasing Managers' Index, has been very strong, holding above 50-the dividing line between expansion and contraction-for six consecutive months and hitting a 20-year high of 66.2 in December. However, employment has been on a steady decline and shows little sign of reversing course. The orders compo- nent of the ISM report hit its highest level since 1950 in December, indicating that the purchasing managers were anticipating a tremen- dous uptick in new business, yet reported factory orders actually declined during the last two months of the year. This disconnect between expectations built in part on "leading indicators" and reality has been a hallmark of this economic expansion, which has taken longer than usual to unfold, following a recession that was longer, yet shallower, than typical. U.S. ECONOMY Recent Quarterly Indicators IQ02 2Q02 3Q02 4Q02 IQ03 2Q03 3Q03 4Q03 CPI-All Urbcm Consumers (year over year) 1.5% 1.1 % 1.5% 2.4% 3.0'lo 2.1 % 2.3% l.9'k < . PPI-All Commodities (year over year) -4.5% -3.4</o -0.8% 3.8% 8.8% 5.4% 4.7% 4.9</o Employment Cost-Total Compensation Growth 3.6% 4.4% 2.5% 3.0% 5.5% 3.4% 4.2% 4.2% Manufactu1ing Output-Productivity Growth 8.6% 1.7% 5.5% 0.7% 2.2% 7.1 % 9.3% l.7'/o l , GDPGrowth 5.0% 1.9% 3.4% 1.3% 2.0</o 3.1% 8.2% 4.0'/o Manufacturing Capacity Utilization (level%) 73.7 74.3 74.1 73.0 73.0 72.6 74.9 75.8 Consumer Confidence Index ( I 966= l ,000) 0.93! 0.941 0.873 0.838 0.800 0.893 0.893 0.926 ~" ; ,,,,,,. ,,,,., cr,u,I\Pff\l, 1l\H[il:T "'"·' I 1 r The Bear Gets Burned Equity markets, both at home and abroad, finished off the year in style. Buoyed by double-digit returns in the equity markets, coupled with positive returns in most of the other major asset classes, fund sponsors were once again solidly in the black during the final quarter of 2003. Callan estimates the recent total returns of the institutional investor community using the median manager returns from the latest quarter and ending asset allocations from the prior quarter. The adjacent graph illustrates the range of returns for public, corpo- rate, and Taft-Hartley pension plans, as well as endowments/founda- tions, showing gains across the board. The table below compares the returns of the four institutional fund sponsors to several benchmarks over longer periods. Choices in asset allocation explain much of the -difference in performance. With the equity markets both al home and abroad registering solid gains in the fourth quarter, fund sponsors with more aggressive asset ,--allocations (i .e., more equity exposure) came out on top. With an average public equity allocation of 63¼, the median endowment/foundation posted the best performance, rising 8.53% in the quarter. With less aggressive equity allocations, public (56%) and corporate (60%) plans tied for second place with an 8.43% return. Taft-Hartley plans ( + 7 .52%) garnered the lowest return due to their more conservative equity allocation (55% ). Callao'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, both global and domestic balanced managers lagged their static 60% equity and 40% fixed income benchmarks. 60'7c 50% 40% 30% Callan Style Group Returns -Fourth Quarter 2003 .J~, Public Plan Corporate Plan Dalabasc Dalahase 10th Pcn:cn1ilc (,1_54 9.97 25th PcrccnLilc 8 88 9 19 Median 8 43 84] 751h Pcrccntik 7 72 8 01 901h Percentile 5.36 6 56 Endo\1/Found Database 11 ]7 9 39 8 53 V)9 54] Taft.Hartley Database 9 39 8 19 152 ()J~2 5 37 Average Asset Allocation as of September 30, 2003 • Public Corpornle • Endowment/Foundation Tuft-Hartley !Or.& 11 w ~~-~-~--~-~,-• ,_ -_J Cash U.S. Equity Non-U.S. U.S. Fixed Non-U.S. Real Estate Alt Inv Equity Fixed DIVERSIFIED ACCOUNT DATABASE Style Median and Index Returns* for Periods ended December 3 I, 2003 Last Last Quarter Year Public Database 8.43 21.00 C01porate Database 8.43 21.89 Endo1vme11t/Fowulation Database 8.53 21.85 Tai-Hartley Database 7.52 19.97 Asset Allocator Style 8.56 21.74 Domestic Balanced Database 7.39 18.62 Global Balanced Database 9.49 28.32 60% S&P 500 + 40% LB Aggregate 7.43 18.64- 60% MSCI World+ 40% Citi World Govt 10.64 25.94 * Returns less than one year are not annualized. The Capiwl Market Re,·ie,r is published quarterly for members of1he institutional invesl- mcnl community. both domestic and international. The Capiwl ,Warket Rel'iew focuses primarily on the !ates! quarterly performanl·e of market indices and Callan style groups for '---each of 1he major asset classes used by institutional ill\ cs tors. Capital Markel ReFiew contributors arc as follows: Jay Kloepfer. Economy Jim McKee. U.S. Equity. Hedge Funds Ile." Greg Deforrest. U.S. Fixed Income Brian Zeiler. Non-U.S. Equity. Non-U.S. Fixed Income Jamie Shen/Zachary Stassi. Real Estate Lastl Lasts Last 10 Years Years Years 2.54 4.45 8.85 1.97 4.77 9.53 1.91 4.54 9.33 2.59 4.34 8.99 -0.49 2.42 9.49 0.98 3.47 9.50 4.70 7.19 9.78 1.25 2.87 9.87 2.56 2.44 7.49 Gary Robertson/Craig While. Private Equity Julia Moriarty. Diversified Aecounts. CMR Perfonnance Data Mary Schaefer. Editor in Chief Tanja Eisenhardt. Publication Layout Last 15 Years 9.97 10.71 10.16 9.84 10.83 ll.01 ll.52 11.03 7.59 Callan Associates Inc. is a privately-held and I 00 percent employee-owned lirm whose sole business is strategic asset management consulling as an independent. objcctiw third party. Headquartered in San Francisco. Callan also has regional offices in Chicago. Morristown. Atlanta. and Denver. ID 2004 Callan Associates lne. CAilAN .L"SOCLATES,, = ,.,,,,,,, ,,,,,,,,,, 0011:, L\PIT\L :\l.\ltl\f.T ,,.,,," MARKET OVERVIEW Ill ACTIVE MANAGEMENT VS INDEX RETURNS Market Overview The charts below illustrate the range of returns across managers in CaUan'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 retams across those asset classes. An appropriate index is also shown for each -asset class for comparison purposes. Al> an ~xample, the first bar in Lhe 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 oext 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 December 31, 2003 25% -------------------------------------~ 20%- "' J 15%-~ (59) 10%- 5%- (23)~ (54) (32)~==1 w I I 0%+-----+------+{SJ¥ill~~il---!f---------+---t--,--H~8~10~).,a;:==~-1 (5%) .• (10%) ~-----~-----~-----~~-----~-----~-------' Domestic Non-US Domestic Non-US Real Cash I 0th Percentile 25th Percentile Median 75th Percentile 90th Percentile Index .& Equity vs S&P 500 16.38 14.53 12.66 11 .27 9.62 12.18 Equity Fixed-Income vs vs MSCIEAFE LBAggr Bd 18.19 4.27 16.94 0.90 16.18 0.35 15.46 0.11 14.46 (0.14) 17.08 0.32 Fixed-Income Estate Equivalents vs vs vs Citi Non-USG NCREIF Index 3 Mon T-Bills 7.44 9.39 0.49 7.16 3.22 0.39 6.73 2.27 0.30 6.51 0.83 0.27 6.18 (2.68) 0.22 6.71 2.76 0.26 Range of Separate Account Manager Returns by Asset Class One Year Ended December 31, 2003 60% -.-------------------.------.,....-------.--------. :::~ R 30% (74)8 (34)~ 20%-(88)ca 10% (33),- I O¾J_-::---:-:--_L_~-=-__J_.:_:..:;.~~~_J----;;~-=;;--L_..l"""!!'!!""""!.J_...l..(.~ Domestic Equity vs (57)~ lxn Non-US Domestic Non-US Real , Cash I 0th Percentile 25th Percentile Median 7 5th Percentile 90th Percentile Index .& Orange County Sanitation District S&PS00 51.44 43.15 33.21 28.55 25.36 28.68 Equity vs MSCIEAFE 43.97 40 70 35 03 32.41 30 23 38 59 Fixed-Income vs LBAggrBd 16.24 6.13 4.33 3.21 2.36 4.10 Fixed-Income Estate Equivalents vs vs vs CitiNon-USG NCREIF Index 3 Mon T-Bills 23.25 9.96 2.16 20.51 9.47 1.89 20.03 7.47 I 48 19.33 4.70 1.27 18.44 0.18 I 09 18.52 8.99 I.I S 13 Active vs the Index DOMESTIC FIXED-INCOME Active Management Overview The equity markets continued to provide large returns in the fourth quarter of 2003, keeping fixed-income returns modest. The Lehman Aggregate produced a quarterly return of 0.32%, while the Lehman Gov/Credit index was slightly negative with a return of -0.03%. Actively managed accounts trumped passive managers for both the quarter and year, as the median Core Bond manager returned 0.36% for the quarter, 4 basis points above the Lehman Aggregate, and 4.54% for the year ended December 2003, 44 basis points above the benchmark. bort vs Long Duration Anticipating an economic recovery and the potential rise of interest rates, investors favored shorter-term bonds in the fourth quarter of 2003. The Defensive Style, which includes managers invested in short to intermediate securities attempting to mitigate interest rate risk, produced a return of 0.30% for the quarter. The Intermediate Style was up 0.20% over the same three-month period and the Extended Maturity Style returned -0.18%. Cumulatively, however, the Extended Maturity Style had the strongest performance over the past 12 months, with a 4.57% return. The Intermediate Style followed with a 4.24% annual return and the Defensive Style trailed at 2.56%. Mortgages and High Yield As investors sought additional return in a stagnant fixed-income market, many turned to High Yield managers. The group led the other fixed-income groups with a quarterly return of 5.67% and a 24.49% annual return. Mortgage managers, however, continued to cool down and returned 0.96% for the quarter and 3.41 % for the year. Separate Account Style Group Median Returns for Quarter Ended December 31, 2003 8% ....--------------------------~ Lehman Aggregate: 0.32% Lehman Govt/Credit: (0.03%) 4% 1---------------------------------- 2% f-------------------------------- 0.95% 0.31% 0.30% 0.36% 0.20% 0% 1-------------=~~=I--- Active Cash Defensive Intermed Core Bond Core Plus (0.18%) (0.02%) Extended Active Maturity Duration Mortgage Backed 30% Separate Account Style Group Median Returns for One Year Ended December 31, 2003 Lehman Aggregate: 4.10% Lehman Govt/Credit: 4.67% 25% f-------------------------------- 20% f-------------------------------- 15% 1-------------------------------- 0% Active Cash Orange County Sanitation District Defensive Intermed Core Bond Core Plus Extended Active Maturity Duration Mortgage Backed High Yield II 14 L Asset Class Risk and Return The charts below show the eight and one-quarter year annualized risk and return for each asset class component of the Total Fund. The first graph contrasts these values with those of the appropriate index for each asset class. The second chart contrasts them with the risk and return of the median portfolio in each of the appropriate CAI comparative databases. In each case, the crosshairs on the chart represent the return and risk of the Total Fund. "' ~ Q) ~ "' s E Q) ~ Eight And One-Quarter Year Annualized Risk vs Return Asset Classes vs Benchmark Indices 7.0% ~----------------~--------~ 6.5% 6.0% 5.5% 5.0% 4.5% ---f 90 Day T-Bills l 4.0% I 1 I 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 Eight And One-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% 0.8% ! CAl Defensive F-I Style J--e I Sani District I ---1 Money Market Fds DB l I 1.0% 1.2% 1.4% 1.6% 1.8% 2.0% 2.2% Standard Deviation Orange County Sanitation District II 15 Investment Manager Asset Allocation The table below contrasts the distribution of assets across the Fund's investment managers as of December 31, 2003, with the distribution as of September 30, 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 December 31, 2003 September 30, 2003 Market Value Percent NetNewlnv. Inv. Return Market Value Percent Domestic Fixed Income Long Term Operating Fund 386,783,920 80.89% 0 855,297 385,928,623 91.05% Liquid Operating Monies 91 ,363.311 19.11% 53.300.000 113.173 37.950.138 8.95% Total Fund $478,147,230 100.0% $53,300,000 $968,470 $423,878,760 100.0% 1, Orange County Sanitation District 16 r [ L L L L L L L L L Investment Manager Returns The table below details the rates of return for the Sponsor's investment managers over various time periods ended December 31, 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 December 31, 2003 Last Last Last Last Last 2 3 8-1/4 Quarter Year Years Years Years Domestic Fixed Income Long Term Operating Fund 0.22% 3.26% 5.68% 6.22% 6.50% Liquid Operating Monies 0.24% 1.18% 1.64% 2.75% 4.64% Net of Fees 0.21% 1.03% 1.49% 2.60% 4.49% Market Indicators LB l-5yr Govt/Credit 0.11% 3.35% 5.71% 6.80% 6.45% ML l-3yr Govt/Corp 0.26% 2.74% 4.41% 5.82% 6.07% ML l-5yr Govt/Corp 0.14% 3.30% 5.58% 6.70% 6.49% ML 1-5yr G/C excl. BBBs 0.05% 2.69% 5.36% 6.53% 6.44% Treasury Bills 0.26% 1.15% 1.46% 2.44% 4.30% Total Fund 0.19% 3.02% 5.20% 5.82% 6.32% Orange County Sanitation District 17 [ L L L L L L L L r PIMCO-LIQUID OPERATING MONEY PERIOD ENDED DECEMBER 31, 2003 Investment Philosophy 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 0.24% return for the quarter placing it in the 3 percentile of the MF -Money Market Funds Database group for the quarter and in the 1 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 0.03%. Quarterly Asset Growth Beginning Market Value $37,950,138 Net New Investment $53,300,000 Investment Gains/(Losses) $113,173 Ending Market Value $91,363,311 Performance vs MF -Money Market Funds Database 6% 5% - 4% - 3% 2% - 1% - 0% ( I ) ~ *}i I 0th Percentile 25th Percentile Median 75th Percentile 90th Percentile PIMCO-Llquld Operating Money • A Net of Fees • 13 90 Day T-Bills I. Lasl Quarter 0.22 0.18 0.12 0.06 0 02 0.24 0.21 0.26 l (l)~~f~ ll\ Last Year 1.00 0.84 0.62 0.38 0.16 1.18 1.03 1.15 I A(I) (1)1~((1) Last 2 Years 1.33 1.17 0.97 0.73 0.45 1.64 1.49 1.46 Relative Return vs 90 Day T-Bills 0.25% -r-,---.,....---.----,----,--.,....---,----,----, (I) A I *fl El Last 3 Years 2.23 2.08 1.88 1.64 1.35 2.75 2.60 2.44 3.0% 2.5% ts)~Ml Last 5 Years 3.58 3.44 3.24 3.01 2.78 4.00 3.85 3.66 "r ·1 ~fl Last 7 Years 4.10 3.96 3.76 3.56 3.35 4.47 4.32 4.12 hl)~~fl Last 8-1/4 Years 4.30 4.16 3.96 3.76 3.57 4 64 4.49 4.30 (Q.]0%) I I 2.0% -f-------~-_,......... ________ , 0.75 0.80 0.85 0.90 0.95 Standard Deviation 1.00 1.05 95 1996 1997 2000 2001 2002 2003 J • PIMCO-Liquid Operating Money j Orange County Sanitation District 18 L L rJ'J s B ~ <1.> -~ ~ ~ PIM CO-LONG TERM OPERA TING FUND PERIOD ENDED DECEMBER 31, 2003 Investment Philosophy 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. r ~ Quarterly Summary and Highlights • PIMCO-Long Term Operating Fund's portfolio posted a 0.22% return for the quarter placing it in the 78 percentile of the CAI Defensive Fixed-Inc Style group for the quarter and in the 18 percentile for the last year. • PIMCO-Long Term Operating Fund's portfolio outperformed the ML 1-5 Govt/Corp by 0.08% for the quarter and underperformed the ML 1-5 Govt/Corp for the year by 0.05%. Quarterly Asset Growth Beginning Market Value $385,928,623 Net New Investment $0 Investment Gains/(Losses) $855,297 Ending Market Value $386,783,920 Performance vs CAI Defensive Fixed-Inc Style 8% 7% 6% 5% 4% 3% 2% 1% 0% Last Last 2 Year Years I 0th Percentile 0.52 4.16 5.26 25th Percentile 0.42 2.93 4.63 Median 0.30 2.56 4.27 75th Percentile 0.23 2.25 3.97 90th Percentile 0.13 1.92 3.37 PIMCO-Long Term Opurnting Fund e A 0.22 MLG/C 1-5 3.26 5.68 excl. BBBs •B 0.05 2.69 5.36 ML 1-5 Govt/Corp ... 0.14 3.30 5.58 Relative Return vs ML 1-5 Govt/Corp 1.0% ~--~-----~~-~-----~ 0.5% 0.0% (0.5%) (1.0%) -H--+---+---+---1--+---+---+---i (J.5%) I 95 1996 1997 1998 1999 2000 2001 2002 2003 I • PIMCO-Long Term Operating Fund I Last 3 Last 5 Last 7 Last 8-1/4 Years Years Years Years 6.38 6.26 6.48 6.50 5.98 6.02 6.28 6.34 5.70 5.75 6.08 6,09 5.35 5.52 5.93 5.91 4.83 5.23 5.61 5.77 6.22 6.03 6.54 6.50 6.53 6.14 6.50 6.44 6.70 6.21 6.55 6.49 CAI Defensive Fixed-Inc Style Annualized Eight And One-Quarter Year Risk vs Return "' ~ <1.> ..::: 7.2% -,----------,----------, 7.0% 6.8% 6.6% 6.4% 6.2% 6.0% 5.8% 5.6% 5.4% 5.2% 0.5 • • 0 • • 1.0 1.5 2.0 2.5 Standard Deviation 3.0 Orange County Sanitation District 19 [ LONG TERM OPERA TING FUND PORTFOLIO CHARACTERISTICS SUMMARY DECEMBER 31, 2003 Ill 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 sector 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. Asset Backed 0% Agencies 12% Treasuries 35% CMOs 1% Sector Allocation Mortgages 16% Agencies 23% Treasuries 39% Long Term Operating Fund Lehman Government/Credit 1-5 Duration Distribution by Sector 45% 40% Weighted Average: Duration Dispersion • Agencies 0 .... 35% ~ 30% Bar #I :Long Term Operating Fund: Bar #2:Lehman Government/Credit 1-5: 2.07 1.81 2.50 1.03 • Asset Backed [kl CMOs .... "" 0 25% ~ .... 20% 0 .... 15% = <ll CJ 10% "" <ll 5% ~ 0% 60% .s: 50% -.E 40% .... "" 0 ~ 30% .... 0 .... 20% = <ll CJ "" 10% <ll ~ 0% <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 #1 :Long Term Operating Fund: Bar #2:Lehman Government/Credit 1-5: Trsy Agcy Aaa Aal Quality Aaa Aal Aa2 Aa3 Al Moody's Rating A2 4.0-4.5 4.5+ A3 Baal <Baal D Cash • Credit D Mortgages D Treasuries • Agencies • Asset Backed IT! CMOs D Cash • Credit Q Mortgages D Treasuries * All Statistics shown on the page are dependent on the securities in the portfolio being recognized (by their Cusip) and priced. In this case 100% of the securities in the portfolio (by market value) were recogmzed and priced. Orange County Sanitation District 20 r r i ' r r r l [ L L L L L L L LONG TERM OPERATING FUND PORTFOLIO CHARACTERISTICS DETAIL DECEMBER 31, 2003 Weighted Average Portfolio Characteristics Total Fund, By Asset Class and By Sector Ending Percent Market of Effective Effective Sector Value Portfolio COU(!On Maturitv Total Fund $384,421,694 100.0% 4.41 2.59 Asset Backed $1,824,922 0.5% 3.35 3.42 Agencies $45,365,230 11.8% 6.51 2.02 CMOs $3,804,146 1.0% 5.15 3.71 Credit $49,757,339 12.9% 6.10 5.10 Mortgages $60,767,553 15.8% 5.34 3.54 Treasuries $133,734,725 34.8% 4.99 2.94 Non-Convertible Bonds $295,253,917 76.8% 5.48 3.30 Cash Equivalents $89,167,777 23.2% 1.05 0.25 5 Largest Holdings Ending Percent Market of Issuer Name l~Jue Name ec r V ue Portfolio United States Treas Nts 5.75% 11/15/05 Dtd 11/ Treasuries $61,753,048 16.1% United States Treas Nts 2/15/07 Dtd 02/15/1997 Treasuries $22,772,147 5.9% United States Treas Nts Nt 3.375% 1/15/2007 Treasuries $17,971,962 4.7% United States Treas Nts 3.875% 1/15/09 Dtd OJ/ Treasuries $16,829,615 4.4% Federal Natl Mtg Assn 7.125% 2/15/05 Benchma Agencies $ I 6,887,685 4.4% r \. 5 Lowest Rated Holdings (Moody's Rating) Ending Percent Market of ___b_suer ame IS5Ue ame Sector Value Portfolio United Airls Pass Thru Trs 6.831 % 9/1/08 2001-1 P Credit $311,344 0.1% Philip Morris Cos lnc 7.5% 4/1/04 NL Dtd 04/ Credit $1,029,060 0.3% General Mtrs Accep Corp 6.1 25% 8/28/2007 Credit $3,284,962 0.9% Vir~iniu Elcc & Pwr Co 5.75% 3rI/06 2001 Sr Credit $1,899,021 0.5% For Mtr Cr o 6.75% 5/15/()5 Nt Dtd 0 Credit $1,056,745 0.3% 5 Longest Duration Holdings Ending Percent Market of Issuer Name ls5ue Name Sector Value Portfolio Federal Home Ln Mig Corp M 6% 11 / 15/23 Ser I fi_O C CMOs $3,179,843 08% General Elec Cap Co~ Mtn5.45% 01 /1.5/_0J J Credit $5,327,202 1.4% JP Morgan Chase & o 5.75% 1/02/2013 Global Credit $3,249,361 08% Citiiroufl Inc Global Sub Nt Dtd 08/2 Credit $5,374,975 1.4% Vonzon Global Fdg Corp 7.375% 9/l/2012 Credit $3,550,000 09% 5 Holdings with Highest Effective Yield Issuer Name Issue Name United Airls Pass Thru Trs 6.831 % 9/1/08 2001-1 P Small Business Admin Gtd P 6.64% 2/1/11 Ser Sbic- Federal Home Ln Mtg Corp M 6% J J /15/23 Ser 1620 C Fhlmc Mbs Passthru #g4-353 Verizon Global Fdg Corp 7.375% 9/1/2012 Sector Credit Agencies CMOs Mortga,ges Credit Ending Market Value $3 I 1,344 $2,604,198 $3,179,843 $81,328 $3,550,000 Percent of Portfolio 0.1% 0.7% 0.8% 0.0% 0.9% Yield 2.32 2.40 2.31 4.78 3.96 3.97 1.73 2.70 1.05 Effective Yield l.73 2 42 0.60 1-23 1.43 Effective Yield 48.40 2.40 4.06 2.50 2.94 Effective Yield 5.54 4.88 5.01 4.83 5.12 Effective Yield 48.40 5.78 5.54 5.31 5.12 OA OA Duration Co vexit 2.07 (0.17) Aaa 1.79 0.09 Aaa 2.16 0.07 Agcy 5.76 (3.32) Agcy 4.06 0.30 Al 3.11 (1.27) Agcy 1.93 0.06 Trsy 2.61 (0.22) Aaa 0.25 0.00 Aaa OA OA Duration Convexitv Qualitv 1.78 0.04 Trsy 2.81 0.10 Trsy 0.72 0,00 Trsy l.14 0.00 Trsy 1.07 0.02 Agcy OA OA uri1tioo Convexitv Qualitv 2.51 0.11 Ca 0.23 0.00 Baa2 3.22 0.13 A3 2.09 0.05 A3 1.31 0.02 A3 OA OA Duration Convexitv Oualitv 7.11 (4. I 0) 6.96 0.63 6.84 0.62 6.74 0.59 6.42 0.55 OA OA Duration Convexit 2.51 0.11 5.98 0.51 7.11 (4.10) 0.32 0.00 6.42 0.55 At..cy aa A2 Aa2 A2 ualit Ca Agcy Agcy A:2 ~ * All Statistics shown on the page are dependent on the securities in the portfolio being recognized (by their Cusip) and priced. In this case 100% of the securities in the portfolio (by market value) were recognized and priced. Orange County Sanitation District II 21 I FAHR COMM ITTEE AGEN-DA REPORT . Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Michael White, Controller Meeting Date 02/11/04 Item Number FAHR 04-01 SUBJECT: TREASURER'S REPORT FOR THE MONTH OF JANUARY 2004 GENERAL MANAGER'S RECOMMENDATION Receive and file Treasurer's Report for the month of January 2004. SUMMARY To Bd. of Dir. 02/25/04 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 Long-Term Operating Monies, there is a investment policy compliance exception pertaining 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 million, representing 0.41 percent of the portfolio holdings, whose rating from Moody's has fallen several times, from A3 to BA 1, then to BA3, 83, B, and finally to CA. Likewise, the rating from Standard & Poor's has also fallen several times, first from A-to BBB, then to BB, then to B+, 8-, and finally to CCC+. 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 $1 million par of the Philip Morris-Altria corporate bond with an April 2004 maturity, representing 0.26 percent of the portfolio holdings, whose rating with Moody's has fallen from A2 to Baa1 and then to H:\depllfin\220\white\FAHR\Monthly Treasurer Report\200:,-04\TREASRPT021104_doc Page 1 8aa2, and with S&P from A-to 888. During the month of November, PIMCO sold $4 million par of this original $5 million holding at a price of $101.9 for a realized loss of $134,400. PIMCO believes based on the underlying assets of the parent company, that the District would suffer a severe unwarranted loss if the remaining $1 million holdings were 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: ~ 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). The remaining $88.5 million proceeds from the 2003 COP debt issuance available for future capital improvements is being managed and invested by PIMCO with Union Bank of California serving as the Trustee. When combined with the reserves of the existing outstanding debt issues, total debt service reserves with trustees totals $150,702,000. 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. H :ldep!lfin\220\white\FAHR\Monthly Treasurer Report\2003-041TREASRPT021104.doc Page2 .. Book Balances Estimated Investment Accounts January 31, 2004 Yield(%) State of Calif. LAIF $ 21,228,614 1.53 Union Bank Checking Account 4,961,734 0.93 (1) PIMCO -Short-term Portfolio 91,135,220 1.35 PIMCO -Long-term Portfolio 384,554,187 2.51 Petty Cash 5.000 N/A TOTAL $501 884 Z55 2.24 Debt Service Reserves w/Trustees $:150 Z02 342 2.08 (1) This is the annualized yield for the month of December. The January 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 H:\deptlfin\220\while\FAHR\Monthly Treasurer Report\200~04\TREASRPT021104.doc Page 3 Prepared by Finance, 2/10/2004, 3:30 PM Monthly Investment Balances by Type- Last Six Months $700,000,000 7 .. ···············-.. ······---················· ............................................ '"-................................................ ,. ........................................................................................................... ·-------··················· .................. 1 $600,000,000 -+---· $500,000,000 _,___ $400,000,000 --+---(::,.~ $300,000,000 I i; $2QQ,QQQ,QQQ I ~ $100,000,000 --1----1 $0 August 2003 September 2003 October 2003 November 2003 Ea PIMCO -Long-term E".d PIMCO -Short-term !ml COP Debt Reserves DDLAIF •Bank Accts Ill Petty Cash H:\dept\fin\EXCEL.dta\220\white\Treasury Management\Monthly Investment Balances Graph.xis December 2003 January 2004 Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund January 31, 2004 Par Value Book Value Market Value Rate Balance January 1, 2004 $34,100,246 $34,100,246 $34,100,246 1.528 Deposits: 1/21/2004 2,500,000 2,500,000 2,500,000 1.528 1/22/2004 9,800,000 9,800,000 9,800,000 1.528 Total Deposits 12,300,000 12,300,000 12,300,000 1.528 Quarterly Interest Distribution 128,368 128,368 128,368 1.528 Withdrawals: 1/2/2004 {3,600,000) (3,600,000) {3,600,000) 1.528 1/8/2004 (1,800,000) (1,800,000) (1,800,000) 1.528 1/15/2004 (5,400,000) (5,400,000) (5,400,000) 1.528 1/16/2004 (1,600,000) (1,600,000) (1,600,000) 1.528 1/30/2004 (12,900.,000) (12,900,000} (12,900,000) 1.528 Total Withdrawls (25,300,000) (25,300,000) (25,300,000) 1.528 Balance January 31, 2004 $21,228,614 $21 ,228,614 $21,228,614 1.528 Yield 1.528 1.528 1.528 1.528 1.528 1.528 1.528 1.528 1.528 1.528 1.528 1.528 PIM C 0 February 9, 2004 Mr. Mike White, CPA Controller Orange County Sanitation District 10844 Ellis A venue Fountain Valley, CA 92708-7018 Dear Mike: The following is a description of events in the bond markets during the month of January in addition to an analysis of the strategies undertaken in the Orange County Sanitation District's Long-Term, Liquid, and COP Proceeds 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. Bond Market Recap: Core bond sectors posted positive returns in January as data reassured investors that modest gross domestic product growth continued without inflationary pressures. U.S. Treasuries returned 0.85% for the month, but these gains would have been greater had it not been for a late month sell-off following the FOMC meeting. Yields on the benchmark 10-year Treasury opened the month at 4.25%, rallied to a low of 3.92% on January 23rd then retreated, finishing the month at 4.14%. Treasury Inflation Protected Securities, or TIPS, outperformed nominal Treasuries; the Lehman Brothers U.S. TIPS index returned 1.15% in January. Mortgage-backed securities returned 0.63%, outpacing Treasuries by 17 basis points after adjusting for duration. The credit sector also performed well as the Lehman Credit Index returned 1.01 %, for a duration-adjusted excess return of 15 basis points. Within the sector, lower quality investment grade corporates outperformed, with Baa-rated bonds beating like-duration Treasuries by 18 basis points, whereas Aaa excess returns were 8 basis points. Although economic data continued to reveal tepid inflation and employment growth, a slight change in wording by the Fed erased much of the gains in Treasuries during January. On January 28th, the Federal Open Market Committee surprised investors by altering its "considerable period" phrase, electing instead to say that the Fed "can be patient in removing its policy accommodation." This change in language initiated a Treasury sell-off that appeared more reactionary than based on fundamentals, as economic releases during the month continued to reveal low price growth and slack in labor markets. The Consumer Price Index rose only 0.2% in December, in line with benign expectations. Core inflation, which excludes volatile food and energy prices, rose 0.1 % and remained at 1.1 % annualized. This is the lowest rate of core Mr. Mike White, CPA Orange County Sanitation District February 9, 2004 Page2 inflation in 38 years. The Bureau of Labor Statistics' monthly Employment Situation Report indicated that net payroll jobs increased by a paltry 1,000, well below consensus expectations of 127,000. Although the unemployment rate fell 0.2% to 5.7% -a seemingly positive sign -this decline was driven by frustrated job seekers who stopped looking for work. Nevertheless, economic expansion continued at a respectable rate. GDP growth for the fourth quarter of 2003 came in at 4.0%, according to the Bureau of Economic Analysis. However, this too was below consensus estimates of 4.4%. Treasury yield changes during the month of January are summarized as follows: • 3-month bills: -1 basis point to 0.91 % • 6-month bills: -2 basis points to 0.99% • 2-year notes: unchanged at 1.82% • 5-yearnotes: -10basispointsto3.14% • 10-yearnotes: -11 basis points to 4.13% • 30-year notes: -11 basis points to 4.96% Perfonnance Attribution: Long-Term Portfolio The Long-Term portfolio that PIMCO manages on behalf of Orange County Sanitation District generated a total return of 0.42 percent for the month of January, outperforming the Merrill Lynch 1-5 year Government Corporate Index by 5 basis points. The following points summarize returns for the period ended January 31: • The Long-Term portfolio outperformed the benchmark by 5 basis points for the month. • For the twelve-month period, the Long-Term portfolio returned 3.57%, underperforming the benchmark by 7 basis points. • Portfolio duration, below the index, was negative for monthly performance as rates fell across maturities. • Broader-than-index yield curve positioning was largely neutral for performance as rates on intermediate maturities fell in conjunction with longer maturities. • An underweight exposure to Treasuries was positive, as the sector lagged higher yielding sectors during the month. Substituting TIPs for nominal Treasuries was positive for performance, as TIPs outperformed nominals. • Exposure to mortgage-backed securities was positive for relative performance as the sector outperformed 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. Mr. Mike White, CPA Orange County Sanitation District Liquid Portfolio February 9, 2004 Page3 The Liquid portfolio that PIMCO manages on behalf of Orange County Sanitation District generated a total return of 0.09 percent during the month of January, performing in line with the 3-month Treasury Bill Index for the month. The following points summarize returns for the period ending January 31: • The Liquid portfolio performed in line with the benchmark for the month. • For the twelve-month period, the Liquid portfolio returned 1.20%, outperforming the benchmark by 16 basis points. • Use of higher yielding securities such as commercial paper and short-term notes contributed to performance. "2003 COP Proceeds -Future Construction" Portfolio The COP Proceeds portfolio that PIM CO manages on behalf of Orange County Sanitation District generated a total return of 0.09 percent during the month of January, performing in line with the 3-month Treasury Bill Index. The following points summarize returns for the period ending January 31: • The Liquid portfolio performed in line with the benchmark for the month. • Use of higher yielding securities such as commercial paper and short-term notes contributed to performance. Outlook and Strategy: The recovery in the global economy will be sustained in 2004, with China joining the U.S. as an engine of growth. Further into the year, U.S. interest rates could rise up to 100 basis points for short maturities but less for longer maturities as markets anticipate tightening by the Federal Reserve. The timing of the Fed move, late in 2004 or early 2005, will depend on how quickly the economy narrows its output gap, measured by the slack in labor markets. This unused capacity, combined with enhanced labor productivity, will keep inflation tame. Key elements of PIMCO's forecast are: • In the U.S . economy, positive forces will outweigh negatives. The hoped for rebound in business investment is now a reality. Massive fiscal stimulus will also provide support, as will spending to rebuild lean inventories. • On the negative side, effects of large tax cuts will peak in 2004 and become a fiscal drag by 2005, while benefits of the boom in mortgage refinancing have already begun to dissipate. Employment growth will be muted because of productivity gains and outsourcing to low cost labor markets such as India and China. • China's contribution to growth is tied to its currency peg with the U.S. dollar. The peg forces China to follow the Fed's reflationary monetary policy, fueling a boom in investment for domestic infrastructure. This investment will promote growth in Asia and elsewhere as China imports commodities and components to build its infrastructure. While China will eventually succumb to pressure and revalue its currency, its currency peg will be sustained for the next year because the peg serves Chinese and U.S. interests. China will retain Mr. Mike White, CPA Orange County Sanitation District February 9, 2004 Page4 competitive pricing in dollar terms for its exports. It will use the dollars it earns to help finance the U.S. trade deficit, thereby stemming a freefall in the dollar and mitigating the rise in U.S. interest rates. • Japan is recovering without fiscal stimulus for the first time in a decade as healthier Japanese companies integrate with China. Japan's fiscal policy is now focused on reform of the banking sector. Euro land will be the laggard in 2004, but the recent collapse of the Growth and Stability Pact opens the door for needed fiscal stimulus that will offset a stronger euro. The bond market in 2004 will be challenging, with upward pressure on rates and full valuations in Treasuries, most corporates and mortgages. Active managers with the resources and skill to exploit a broad spectrum of strategies can add value, however, especially with a defensive posture focused on safe yield. We will continue to hold mortgages to benefit from their long-term structural advantages and will manage coupon selection to add value. We will limit exposure to corporate bonds given their rich valuations and will focus on more attractively priced issues. We plan to target duration near-to-below index to protect against the risk of upward pressure on rates. A broader-than-index yield curve maturity mix will be retained to enhance yield. The Fed will anchor the short end of the yield curve for most of 2004, keeping the curve steep and allowing investors focused on intermediate maturities to reap gains by "rolling down" the curve. 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, CFA Senior Vice President Orange County Sanitation District for the month ending January 31, 2004 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 388,447,622 382,757,718 2.51 With Accrued Interest 91,465,143 91,745,277 1.35 2003 COP Proceeds -Future Construction -2203 Market Value Book Value Yield to Maturity With Accrued Interest 88,718,610 88,850,299 1.34 Without Accrued Interest 384,758,725 379,066,621 2.53 Without Accrued Interest 91,175,780 91,455,914 1.36 Without Accrued Interest 88,456,900 88,588,589 1.34 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 January 2004) 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%INTERESTRATECHANGE Dollar Impact (gain/loss) of 1 % Change: 15.1.4 REVERSE REPOS % of Portfolio in Reverse Repos: ( see attached schedule) 15.1.5 PORTFOLIO MATURITY % of Portfolio Maturing within 90 days: 15.1.6 PORTFOLIO QUALITY Average Portfolio Credit Quality: 15.1.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A": 15.1.8 INVESTMENT POLICY COMPLIANCE "In Compliance" 15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by Period: 1 Month: 3 Months: 12 Months: Fiscal Year-to-Date: Commentary • The Liquid portfolio outperformed the benchmark by I basis point for the momth, and! by 7 basis points fiscal year-to-date. • PIMCO's emphasis on higher yielding securities such as commercial paper and short-term notes contributed to performance. H:ldeptlDn\220\whltelTreasury Mgmt\LJQ0B00-04-01.RPT.doc Page 1 of 1 $91,465,143 $91,446,306 $91,745,277 $91,768,000 0.10 0.20 $91,465 0% 86% ''AAA.'' 0% Yes Portfolio Index 0.09 0.08 0.27 0.24 1.20 1.04 0.63 0.56 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 January 2004) Long-Term 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%INTERESTRATECHANGE Dollar Impact (gain/loss) of 1 % Change: 15.1.4 REVERSE REPOS % of Portfolio in Reverse Repos: (see attached schedule) 15.1.5 PORTFOLIO MATURITY % of Portfolio Maturing within 90 days: 15.1.6 PORTFOLIO QUALITY Average Portfolio Credit Quality: 15.1.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A": 15.1.8 INVESTMENT POLICY COMPLIANCE "In Compliance" Page 1 of 3 $388,447,622 $388,318,082 $382,757,718 $383,601,828 2.11 2.43 $8.196,245 0% 24% AAA 0% No* 15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by Portfolio Index Period: 1 Month: 0.42 3 Months: 1.14 12 Months: 3.57 Fiscal Year-to-Date: 0.99 • The Long-Term portfolio outperformed the benchmark by 5 basis points for the montlh, and by 13 basis points fiscal year-to-date. • Portfolio duration, below the index, was negative for monthly performance as rates fe 11 across maturities. • Broader-than-index yield curve positioning was largely neutral for performanc:e as rat<es on intermediate maturities fell in conjunction with longer maturities. • An underweight exposure to Treasuries was positive, as the sector lagged higher yielcfling sectors during the month. Substituting TIPs for nominal Treasuries was positive for performance, as T!Ps outperformed nominals. • Exposure to mortgage-backed securities was positive for relative performance as the sector outperformed Treasuries on a duration-adjusted basis. • Corporate issues were positive for performance as the sector continued to perform stmngly relative to other bond market sectors; however, an underweight exposure relative to the benchmark was negative. 0.37 1.13 3.64 0.86 *Compliance Issues: MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 January 2004) Page 2 of3 $1,600.000 par or United Airlines (UAL) Pass-Thr011gh 2001-1-C (Enhanced Equipment Trust Certificate (EETC) -909317BC2), 6.831 % coupon, 9/1/2008 maturity, representing 0.41 % of the portfo lio holdings on a par basi•.s was purchased on 8/10/200 I~ and subsequently downgraded by Moody's from A3 to BA I (on 9/18/2001 ) and S&P from A-to BBB (on 9/20/200 1). The security was further downgraded by Moody's from BA I to BAJ (on 12/2 1/2001 ) and by S&P fro m BBB to BB (on 6/28/02). Following news of the possible bankruptcy filing, the security was further downgraded in August (83 Moody's, B+ by S&P). On November 29, 2002, S&P further downgraded this issue to B, and shortly thereafter on December 9. 200'.2, downgraded the issue one notch further to B-. On August 7, 2003, S&P dow11graded the issue to CCC+, while Moody's followed suit on August 28, 2003 with a ·downgrade to CA. Tb.e Di.strict's investment policy requ ires a minimum rating of A3 by Moody's or A-by S&P, with at least a BBB rating in the eve nt ofa split. During the fourth quarter of 2003, UAL posted a $251 million loss which was about 11 percent lower than consensus. UAL did not provide specific guidance for the first quarter, but the company stated that its forward bookings are up year-over-year, primarily in international areas where the Iraqi war depressed volumes last year. The company also indicated that it remains on track to achieve another $1.4 billion of cost savings in 2004 on top of the $1.2 billion achieved during 2003. Moreover UAL's new discount airline, Ted, begins flying on February 12th• UAL does appear to be makin.g progress with its cost structure, although it remains in the middle of the pack on key cost and yield measures compared to its mainline peers. The company also announced that JP Morgan and Citibank have each committed equally to a $400 million exit financing (not guaranteed by the US government), which requires an $800 million loan approved by the Air Transportation Stabilization Board (ATSB). The latter would have a guaranteed from the US government. The successful approval of an ATSB loan would be an important step in UAL's attempt to exit from bankruptcy this year. PIMCO continues to negotiate with UAL on the District's holdings and currently lead an ad hoc committee. This has been an extremely complicated effort due to the complex nature ofUAL's bankruptcy. These negotiations have required PIMCO's analysts access to non-public information and they are now at a point in these workout negotiations where restructuring options are being discussed. Details on the options are non-public information and therefore sharing them results in parties becoming restricted. In light of this extremely complicated bankruptcy, PIM CO continues to strive to act in the most prudent manner to obtain maximum recovery. $1.000,000 par of Philip Morris-Altria NT (cusip 718154CH8). 4/1/2004 maturity, representing 0.26% 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 then from Baal to Baa2 on 4/23/03. The security was downgraded by S&P from A-to BBB on 4/10/2003. The District's inveshnent 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. In November, PIMCO sold $4,000,000 par (of the $5,000,00,0 original holding) at a price of 101.9 for a realized loss of$134,400. 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 inveshnent 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. Altria announced that fourth-quarter profits jumped 18 percent as results improved at its domestic tobacco unit and international sales were buoyed by the weaker dollar. The U.S. cigarette industry has been hit by higher state excise taxes, competition from cheaper brands and counterfeit products. Altria has responded to this situation by increasing spending on promotions and introducing new products to maintain consumer interest in its brands. Philip Morris USA's fourth-quarter shipment volume rose 6.2 percent to 46.3 billion cigarettes, due mainly to the timing of promotional shipments, Altda said. MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 January 2004) Page3 o/3 PIMCO believes Altria is unlikely to sacrifice good subsidiaries to fund the bad one, which would create a bad precedent for future court cases. PIMCO continues 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 ofa split rating. • $3,500,000 par of Ford Motor Credit securities ($2.5 million represente,d by cusip 345397SJ3 maturing 7/16/04 and $1 million represented by cusip 345397GV9 maturing 5/15/05), representing 0.90% of the portfolio holdings on a par basis. The securities were downgraded on 10/16/2001 by S&P from A to BBB+, then to BBB on 10/25/02, and then to BBB-on 11/13/03. Moody's downgraded the securities on 1/16/02 from A2 to A3. • $3,000,000 par of General Motors Acceptance Corp securities (cusip 370425SD3) maturing on August 28, 2007, representing 0.77% of the portfolio holdings on a par basis. The securities were downgraded on 10/16/2001 by S&P from A to BBB+, and a further downgrade to BBB occurring on 10/16/2002. The securities now carry a Moody's rating of A3 after a further downgrade from A2 on 6/14/03. • $1,750,000 par of Virginia Electric Power NT securities (cusip 927804EN0), maturing in 2006, represents 0.45% 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 c.arry a Moody's rating of A3. H:\dept\jin\220\while\Treasury Mgmt\L-T0B00-04-01.RPT.doc @ Asset Summary Report ID: GL8251 Mellon Base Currency: USD by Asset Type with Sectors Alternate Base Currency: Exchange Rate: UQUTD OPER-PIMCO -OCSF07511102 1,31,2004 Status: FINAL Net Unrealized Cost Market Value %of Galli/Loss Descript ion Shares Par Base Base Total Base CASH & CASH EQUIVALENTS U.S. DOLLAR INTEREST 311,086.46 311,086.46 0.34% 0.00 BSDT RESERVE DEPOSIT ACCOUNTS 1,000.000 1,000.00 1,000.00 0.00% 0.00 COMMERCIAL PAPER -DISCOUNT 7,000,000.000 6,991,545.14 6,991,545.14 7.65% 0.00 FED HM LOAN BNK -LESS THAN 1 YR 16,200,000.000 16,154,527.66 16,154,527.66 17.67% 0.00 FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 YR 9,800,000.000 9,763,665.83 9,763,665.83 10.68% 0.00 FNMA ISSUES -LESS THAN 1 YR 13,200,000.000 13,168,747.50 13,168,747.50 14.40% 0.00 MUTUAL FUNDS 189,640.400 189,640.40 189,640.40 0.21% 0.00 REPURCHASE AGREEMENTS 9,500,000.000 9,500,000.00 9,500,000.00 10.39% 0.00 TREASURY BILLS -LESS THAN 1 YR 23,100,000.000 23,026,338.99 23,026,338.99 25.18% 0.00 U.S. DOLLAR 78,990,640.400 79,106,551.98 79,106,551.98 86.51% 0.00 CASH & CASH EQUIVALENTS 78,990,640.400 79,106,551.98 79,106,551.98 86.51% 0.00 FIXED INCOME SECURITIES U.S. DOLLAR BANKING & FINANCE fi,302,000.000 6,508,328.58 6,377,908.77 6.97% -130,419.81 U.S. AGENCIES 5,300,000.000 5,476,073.00 5,311,845.38 5.81% -164,227.62 UTILITY -TELEPHONE 650,000.000 677,046.50 650,000.00 0.71% -27,046.50 U.S. DOLLAR 12,252,000.000 12,661,448.08 12,339,754.15 13.49% -321,693.93 FIXED INCOME SECURITIES 12,252,000.000 12,661,448.08 12,339,754.15 13.49% -321,693.93 TOTAL ASSETS -BASE: 91,242,640.400 91,768,000.06 91,446,306.13 100.00% -321,693.93 2/6/2004 l 1:48:37AM PST 1 Workbench @ Mellon WNG TERM OPER-PIMCO -OCSF07522202 Description CASH & CASH EQUIVALENTS U.S. DOLLAR PENDING TRADES INTEREST COMMERCIAL PAPER -DISCOUNT FED HM LOAN BNK -LESS THAN 1 YR FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 YR FNMA ISSUES -LESS THAN 1 YR MUTUAL FUNDS TREASURY BILLS -LESS THAN 1 YR U.S. DOLLAR CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES U.S. DOLLAR ABS -AIRPLANE RECEIVABLES ABS -HOME EQUITY BANKING & FINANCE COLLATERALIZED MORTGAGE OBLIGATION COMM/< FHLMC MULTICLASS FHLMC POOLS FNMA POOLS GNMA MULTI FAMILY POOLS GNMA SINGLE FAMILY POOLS INDUSTRIAL INFLATION INDEXED SECURITIES INSURANCE PVT PLACEMENTS -MORE THN 1 YR U.S. AGENCIES U.S. GOVERNMENTS UTILITY -ELECTRIC UTILITY -TELEPHONE 2/6/2004 11:Sl:32AM PST U.S. DOLLAR Asset Summary by Asset Type with Sectors 1/31/2004 Shares Par 2,700,000.000 12,700,000.000 22,200,000.000 17,500,000.000 132,553.120 3-7,900,000.000 93,132,553.120 93,132,553.120 1,600,000.000 984,505.700 29,335,000.000 2,425,788.580 1,061,097.190 157,768.840 44,116,762.340 3,210,992.030 8,671,218.870 8,000,000.000 34,357,230.000 1,600,000.000 752,000.000 41,126,983.110 92,597,276.280 4,750,000.000 3,000,000.000 277,746,622.940 1 Cost Base -3,069,106.70 3,763,894.99 2,690,984.00 12,668,336.26 22,136,333.84 17,447,688.03 132,553.12 37,706,336.65 93,477,020.19 93,477,020.19 1,600,000.00 984,505.70 30,475,793.00 2,425,788.58 1,062,227.65 157,840.92 45,182,906.10 3,195,079.20 8,798,615.28 8,248,380.00 34,374,177.40 1,594,032.00 826,199.84 42,203,755.32 100,770,646.50 4,694,370.00 3,530,490.00 290,124,807.49 Report ID: GL8251 Base Currency: USD Alternate Base Currency: Market Value Base -3,069,106.70 3,763,894.99 2,690,984.00 12,668,336.26 22,136,333.84 17,447,688.03 132,553.12 37,706,336.65 93,477,020.19 93,477,020.19 289,680.00 983,275.07 31,160,142.05 2,596,078.94 1,094,129.15 161,769.69 45,486,254.40 3,260,248.80 9,141,278.37 8,307,150.00 38,219,758.12 1,719,248.00 826,199.84 43,746,753.68 99,360,295.72 4,991,460.00 3,497,340.00 294,841,061.83 Exchange Rate: Statu_!J_: FINAL %of Total -0.79% 0.97% 0.69% 3.26% 5.70% 4.49% 0.03% 9.71% 24.07% 24.07% 0.07% 0.25% 8.02% 0.67% 0.28% 0.04% 11.71% 0.84% 2.35% 2.14% 9.84% 0.44% 0.21% 11.27% 25.59% 1.29% 0.90% 75.93% Net Unrealized Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -1,310,320.00 -1,230.63 684,349.05 170,290.36 31,901.50 3,928.77 303,348.30 65,169.60 342,663.09 58,770.00 3,845,580.72 125,216.00 0.00 1,542,998.36 -1,410,350.78 297,090.00 -33,150.00 4,716,254.34 Workbench @ Mellon LONG TERM OPER•PIMCO -OCSF07522202 Description FIXED INCOME SECURITIES TOT AL ASSETS -BASE: 2/6/2004 11 :51 :32AM PST Asset Summary by Asset Type with Sectors 1/31/2004 Cost Shares Par Base 277,746,622.940 290,124,807.49 370,879,176.060 383,601,827.68 2 Report ID: GL825 l Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Net Un realized Market Value %of Gain/Loss Base Total Base 294,841,061.83 75.93% 4,716,254.34 388,318,082.02 100.00% 4,716,254.34 Workbench YLDANAL YIELD ANALYSIS PAGE 1 9CSF07511102 2004/01/31 RUN DATE 02/06/04 DISTRICT: LIQUID OPERATING RUN TIME 10.22.29 ::::~---~ PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL --------~----------------------~------------------------------------------------~ CASH & CASH EQUIVALENTS 4,500,000.00 DU PONT DE NEMOUR DISC .000 .000 P-1 99.867 4,494,000.00 5.70 26354AC85 03/08/2004 4,494,000.00 4.93 5,200,000.00 FEDERAL HOME LN BK CONS DISC N .000 .000 P-1 99.868 5,193,143.22 6.59 313384SR1 MAT 02/04/2004 A-1+ 5,193,143.22 5.70 1,000,000.00 FEDERAL HOME LN BK CONS DISC .oao .000 P-1 99.688 996,879.16 1.26 313384SS9 A-1+ 996,879.16 1.09 600,000.00 FEDERAL HOME LN BK CONS DISC .ODO .000 P-1 99.614 597,681.67 .75 313384SWO MAT 02/09/2004 A-1+ 597,681.67 .66 2,000,000.00 FEDERAL HOME LN BK CONS DISC .000 .000 P-1 99. 732 1,994,641.11 2.53 313384TN9 MAT 02/25/2004 A-1+ 1,994,641.11 2.19 4,500,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .000 P-1 99.742 4,488,395.00 5.69 313384UE7 MAT 03/12/2004 A-1+ 4,488,395.00 4.92 900,000.00 FEDERAL HOME LN BKS CINS DISC .000 .ooo P-1 99.462 895,162.50 1.13 313384UK3 MAT 03/17/2004 A-1+ 895,162.50 .98 2,000,000.00 FEDERAL HOME LN BK CONS DISC ,000 .000 P-1 99,431 1,988,625.00 2.52 313384XA2 MAT 05/19/2004 A-1+ 1,988,625.00 2.18 6,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99.760 5,985,610.83 7.59 313396TP8 MAT 02/26/2004 A-1+ 5,985,610.83 6. 57 3,800,000.00 FEDERAL HOME LN MTG CORP DISC .000 .000 P-1 99.422 3,778,055.00 4.79 313396UZ4 MAT 03/31/2004 A-1+ 3,778,055.00 4,15 5,200,000.00 FEDERAL NATL MTG ASSN DISC NT .oao .000 P-1 99. 871 5,193,305.00 6.59 313588SP1 MAT 02/02/2004 A-1+ 5,193,305.00 5.70 6,000,000.00 FEDERAL NATL MTG ASSN DISC NT .000 .ooo P-1 99.782 5,986,918.61 7.59 313588TF2 A-1+ 5,986,918.61 6.57 2,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99.426 1,988,523.89 2.52 313588XA8 MAT 05/19/2004 A-1+ 1,988,523.89 2.18 2,500,000.00 GENERAL ELEC CAP DISC .000 .000 P-1 99.902 2,497,545.14 3.16 36959HBQ9 02/24/2004 2,497,545.14 2.74 YLDANAL PCSF07511102 DISTRICT: LIQUID OPERATING YIELD ANALYSIS 2004/01/31 PAGE RUN DATE RUN TIME 2 02/06/04 10.22.29 --------------------· ----------------------------------------=---------=-------------------------=----=--====-=========------- PAR VALUE SECURITY ID SECURITY DESCRIPTION 1,200,000.00 US TREASURY BILL 91279SPK1 DUE 02/12/2004 DD 08/14/2003 9,200,000.00 US TREASURY BILL 912795PPO 0,000% 03/11/2004 DD 09/11/03 6,500,000.00 US TREASURY BILL 912795PQ8 0.000% 03/18/2004 DD 09/18/03 6,200,000.00 US TREASURY BILL 91279SQA2 0.000% 05/27/2004 DD 11/28/03 9,500,000.00 FIRST BOSTON CORP REPO 99415Tl15 00.970% 02/02/2004 DD 01/30/04 189,640.40 DREYFUS TREASURY CASH MGMT 996085247 1,000.00 BSDT-LATE MONEY DEPOSIT ACCT 996087094 TOTAL CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES 100,000.00 ASSOCIATES CORP NA MTN SR00043 045906BU7 7.920% 07/13/2004 DD 07/13/94 1,000,000.00 ASSOCIATES CORP NORTH AMER 046003KA6 5.800% 04/20/2004 DD 04/20/99 500,000.00 BANK OF AMERICA CORP SR GBL NT 066050CW3 6,625% 06/15/2004 DD 06/15/99 650,000.00 BELL ATLANTIC-NEW JERSEY INC 077858AA6 5.875% 02/01/2004 DD 02/01/94 1,100,000.00 FEDERAL HOME LN MTG CORP DEB 3134A4PH1 3.750% 04/15/2004 DD 04/15/02 YTM AT BOOK • OCIO • OOIO .OOIO .ooo , 0())0 .000 .ooo , OOIO . 0())0 .000 • OGJO • OOIO .OOIO CURRENT MOODY MARKET YIELD S-P PRICE ,000 P-1 99.516 A-1+ .000 P-1 99.757 A-1+ .000 P-1 99.785 A-1+ .000 P-1 99.491 A-1+ .970 .804 .100 ,035 7.694 5.743 6.496 5.875 3.730 AAA AAA AAl AA- AAl AA- AA2 A+ AA3 A+ AAA AAA 100.000 100.000 100.000 102.937 100.984 101. 984 100.000 100.541 TOTAL COST/ MARKET VALUE 1,194,191.67 1,194,191.67 9,177,690.00 9,177,690.00 6,486,041.25 6,486,041.25 6,168,416.07 6,168,416.07 9,500,000.00 9,500,000.00 189,640.40 189,640.40 1,000.00 1,000.00 78,795,465.52 78,795,465.52 104,199.00 102,937.00 1,041,290.00 1,009,840.00 518,385.00 509,920.00 677,046.50 650,000.00 1,125,905.00 1,105,953.20 % TYPE % TOTAL 1.51 1.31 11.64 10.07 8.23 7.12 7.82 6.77 12.05 10.42 .24 .21 .oo .oo 100.00 86.46 .83 .11 8.18 1.11 4.13 .56 5.26 . 71 8.96 1.21 YLDANAL YIELD ANALYSIS PAGE 3 OCSF07511102 2004/01/31 RUN DATE 02/06/04 DISTRICT: LIQUID OPERATING RUN TIME 10.22.29 """'"""'""""-==~-------===-===·:=:=~--,:-.::::---=-====-=-. ==-=-============= PAR VALUE YTM AT CURRENT MOODY MARI<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -----------------------------"---------------------------------------------- 4,200,000.00 FEDERAL NATL MTG ASSN DEBS .ooo 5.118 AAA 100.140 4,350,168.00 34.08 31359MEM1 5.125% 02/13/2004 DD 02/08/99 AAA 4,205,892.18 4.62 180,000.00 GENERAL ELEC CAP MTN tTR 00448 .ooo 7.143 AAA 101.500 183,801.60 1.48 36962GUR3 7,250% 05/03/2004 DD 05/01/00 AAA 182,700.00 .20 1,000,000.00 GENERAL ELEC CAP MTN JTR 00545 .000 1.219 AAA 100.062 1,001,089.00 8.10 36962GYS7 VAR RT 05/20/2004 DD 05/20/02 AAA 1,000,620.00 1.10 1,000,000.00 LEHMAN BROS HLDGS INC .000 6.568 Al 100.875 1,045,590.00 8. 17 524908BZ2 6.625% 04/01/2004 DD 03/26/99 A 1,008,750.00 1.11 250,000.00 NCNB TEX NATL BK DALLAS TEX NT .ooo 9.258 AA2 102.609 260,870.00 2.07 628857DJO 9.500% 06/01/2004 DD 06/01/89 A+ 256,522.50 .28 627,000.00 NATIONSBANK CORP SR NTS .000 5.996 AA2 102.156 646,650.18 5.19 638585BJ7 6.125% 07/15/2004 DD 07/23/98 A+ 640,518.12 .70 520,000.00 NORWEST FINL INC NTS .ooo 7,133 AAl 100.937 531,538 ,80 4.25 669383DG3 7.200% 04/01/2004 DD 04/07/97 AA-524,872.40 .58 1,000,000.00 US BANCORP MTN fTR 00119 .ooo 5.921 AA3 101.328 1,046,310.00 8.21 91159HEY2 6.000% 05/15/2004 DD 05/10/99 A+ 1,013,280.00 1.11 125,000.00 WELLS FARGO & CO NEW NT . 00)0 6.472 AAl 102.359 128,605.00 1.03 949746AA9 6.625% 07/15/2004 DD 07/28/99 AA-127,948.75 .14 -----------------------------------------TOTAL FIXED INCOME SECURITIES ,0())0 5.193 12,661,448.08 100.00 12,339,754.15 13. 54 --------------------------------------TOTAL .00)0 .601 91,456,913.60 100.00 91,135,219.67 100.00 YLDANAL YIELD ANALYSIS PAGE 4 PCSF07522202 2004/01/31 RUN DATE 02/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 10.22.29 -------------------------------------------------------------------------------------------------===========================- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----~-----------------------------------------------------------------------~----------- CASH & CASH EQUIVALENTS 900,000.00 EUROPEAN INVEST DISC ,OOIO .000 99.732 897,588.50 .96 29878RCF3 03/15/2004 897,588.50 .23 11,000,000.00 FEDERAL HOME LN BK CONS DISC N ,ODO .000 P-1 99.751 11,770,622.63 12.68 313384VP1 MAT 04/14/2004 A-1+ 11,770,622.63 3.04 900,000.00 FEDERAL HOME LN BK CONS DISC N .OOIO .ooo P-1 99.746 897,713.63 .96 313384WD7 MAT 04/28/2004 A-1+ 897,713.63 ,23 4,700,000,00 FEDERAL HOME LN MTG CORP DISC .ODO .ooo P-1 99,661 4,684,085.28 5.04 313396SP9 MAT 02/02/2004 A-1+ 4,684,085.28 1.21 2,500,000.00 FEDERAL HOME LN MTG CORP DISC .OOIO .000 P-1 99.724 2,493,100.00 2.68 313396SZ7 MAT 02/12/2004 A-1+ 2,493,100.00 .64 2,100,000.00 FEDERAL HOME LN MTG CORP DISC .000 .000 P-1 99.581 2,091,194.00 2.25 313396UQ4 MAT 03/22/2004 A-1+ 2,091,194.00 .54 10,000,000.00 FEDERAL HOME LN MTG CORP DISC .0010 .ooo P-1 99.753 9,975,277.78 10.75 313396VNO MAT 04/13/2004 A-1+ 9,975,277.78 2.57 1,100,000.00 FEDERAL HOME LN MTG CORP DISC .OOIO .000 P-1 99.747 1,695,702.78 1.82 313396VV2 MAT 04/20/2004 A-1+ 1,695,702.78 .44 1,200,000.00 FEDERAL HOME LN MTG CORP DISC • OOIO .ooo P-1 99,748 1,196,974.00 1.29 313396WC3 MAT 04/27/2004 A-1+ 1,196,974.00 • 31 400,000,00 FEDERAL NATL MTG ASSN DISCOUNT • OClO .ooo P-1 99.900 399,600.00 .43 313588SR7 MAT 02/04/2004 A-1+ 399,600.00 . 10 2,400,000.00 FEDERAL NATL MTG ASSN DISC NT .OCIO .000 P-1 99. 715 2,393,155.61 2.57 313588TF2 A-1+ 2,393,155.61 .62 3,800,000.00 FEDERAL NATL MTG ASSN DISCOUNT • OQ!O .000 P-1 99.553 3,783,014.00 4.07 313588TGO MAT 02/19/2004 A-1+ 3,783,014.00 .98 B,400,000.00 FEDERAL NATL MTG ASSN DISCOUNT .0())0 .000 P-1 99.745 8,378,580.00 9.03 313588TN5 MAT 02/25/2004 A-1+ 8,378,580.00 2.16 400,000,00 FEDERAL NATL MTG ASSN DISCOUNT . OOIO .000 P-1 99. 727 398,908.00 .42 313588TV7 MAT 03/03/2004 A-1+ 398,908.00 .10 YLDANAL YIELD ANALYSIS PAGE 5 OCSF07522202 2004/01/31 RUN DATE 02/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 10.22.29 ------~ --==-===~==-·---== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------------------------------~------------- 1,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT . OOIO .ooo P-1 99.735 997,350.00 1.07 313588UC7 MAT 03/10/2004 A-1+ 997,350.00 .26 1,100,000.00 FEDERAL NATL MTG ASSN DISC . OOIO .000 P-1 99.735 1,097,080.42 1.18 313588UK9 A-1+ 1,097,080.42 .28 1,000,000.00 GENERAL ELEC CAP DISC . OOIO .ooo P-1 99.633 1,793,395.50 1.93 36959HD79 04/07/2004 1,793,395.50 .46 4,500,000.00 US TREASURY BILL . OOIO .ooo P-1 99.516 4,478,218.75 4.82 912795PK1 DUE 02/12/2004 DD 08/14/2003 A-1+ 4,478,218.75 1.16 11,000,000.00 UNITED STATES TREASURY BILL ,OOIO .000 P-1 99.487 16,912,790.02 18.22 912795PV7 DUE 04/22/2004 DD 10/23/03 A-1+ 16,912,790.02 4.36 12,000,000.00 US TREASURY BILL .000 .ooo P-1 99.484 11,938,120.00 12,86 912795PW5 0.000% 04/29/2004 DD 10/30/03 A-1+ 11,938,120,00 3.08 4,400,000.00 US TREASURY BILL .000 .ooo P-1 99.482 4,377,207.88 4. 71 912795PX3 0.000% 05/06/2004 DD 11/06/03 A-1+ 4,377,207.88 1.13 132,553.12 DREYFUS TREASURY CASH MGMT , OCIO .804 AAA 100.000 132,553.12 . 14 996085247 AAA 132,553.12 .03 ------~ -------------------------------- TOTAL CASH & CASH EQUIVALENTS . 0())0 .000 92,782,231.90 100.00 92,782,231.90 23.93 FIXED INCOME SECURITIES 752,000.00 AIG SUNAMERICA GLOBAL REGS .ooo 5.325 109.867 826,199.84 .28 U00907AAO 5,850% 08/01/2008 DD 08/08/01 826,199.84 .21 3,000,000.00 COMMIT TO PUR FNMA SF MTG .ooo 5,780 AAA 103,805 3,097,695.31 1.05 01F060626 6.000% 02/01/2034 DD 02/01/04 AAA 3,114,140.70 .80 1,500,000.00 CIT GROUP INC NEW SR NT .000 5,121 A2 107.406 1,527,135.00 .54 125581ADO 5.500% 11/30/2007 DD 12/02/02 A 1,611,090.00 .42 5,ooo,ooo.oo CITIGROUP INC GLOBAL SUB NT .000 5,272 AA2 106.687 5,333,600.00 1. 80 172967BP5 5.625% 08/27/2012 DD 08/26/02 A+ 5,334,350.00 1. 38 YLDANAL YIELD ANALYSIS PAGE 6 OCSF07522202 2004/01/31 RUN DATE 02/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME I 10.22.29 =·"='=====· -', ·===·====---====-~...:·=-==------==~-----___:__--·==:---·- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -·---------------------------------------------· --------------------------------------·- 78,846.78 FHLMC GROUP IG4-0353 ,00,0 7,374 AAA 101,705 80,842.60 .02 3128DBMA2 7,500% 10/01/2004 DD 03/01/99 AAII. 80,190.80 .02 7,500,000.00 FEDERAL HOME LN BK CONS BDS • 00,0 6. 733 AAA 105.823 7,997,625.00 2,69 3133MAUN7 7.125% 02/15/2005 DD 02/08/00 AAA 7,936,746.75 2.05 78,922.06 FHLMC GROUP 178-6064 .oo,o 3.277 AAA 103.366 76,998.32 .02 31348SWZ3 6.384% 01/01/2029 DD 12/01/97 AAA 81,578.89 .02 11,350,000.00 FEDERAL NATL MTG ASSN DEBS . 00,0 4 .911 AAA 106.897 11,521,271.50 4 .11 31359MJX2 5.250% 06/15/2006 DD 06/22/01 AAA 12,132,758.43 3.13 832,616.95 FNMA POOL #0254510 .00!0 4.886 AAA 102.332 857,595.46 .28 31371KVB4 5.000% 11/01/2017 DD 10/01/02 AAA 852,033.83 .22 176,487.83 FNMA POOL f0254631 .oc,o 4.880 AAA 102.457 181,782.47 .06 31371KY47 5.000% 02/01/2018 DD 01/01/03 AAA 180,824.19 .05 159,405.25 FNMA POOL 10254760 .ooo 4.879 AAA 102.488 164,187.40 .05 31371K5V9 5.000% 06/01/2018 DD 05/01/03 AAA 163,371.70 .04 69,607.32 FNMA POOL 10254866 .00!0 4.879 AAA 102.488 71,695.55 ,02 31371LCB3 5,000% 09/01/2018 DD 08/01/03 AAA 71,339.35 .02 369,272.41 FNMA POOL 10254953 . 00!0 4.879 AAA 102,488 374,003.72 .12 31371LE21 5.000% 11/01/2018 DD 10/01/03 AAA 378,460.94 .10 999,316.58 FNMA POOL 10254987 .oc,o 4.886 AAA 102.336 1,001,992.19 .34 31371LF46 5.000% 12/01/2018 DD 11/01/03 AAA 1,012,428.36 .26 204,495.94 FNMA POOL 10323980 .ooo 5.686 AAA 105.531 213,506.54 .07 31374T2MO 6,000% 04/01/2014 DD 09/01/99 AAA 215,807.12 .06 31,747.72 FNMA POOL 10357328 .000 4.885 AAA 102.358 32,700.15 .01 31376J4M8 5.000% 01/01/2018 DD 01/01/03 AAA 32,496.33 .01 1,586,486.62 FNMA POOL 10357430 .ooo 4,986 AAA , 102. 332 1,604,334.60 .55 31376KA71 5.000% 09/01/2018 DD 09/01/03 AAA 1,623,483.96 .42 61,362.45 FNMA POOL 10456482 ,000 5.686 AAA 105,531 64,066.23 .02 31381CCT2 6.000% 02/01/2014 DD 02/01/99 AAA 64,756.56 .02 175,430.91 FNMA POOL 10509649 .ooo 5.686 AAA 105.531 183,160.84 .06 31383QEWO 6.000% 09/01/2014 DD 09/01/99 AAA 185,134.43 .05 YLDANAL YIELD ANALYSIS PAGE 7 9(:SF07522202 2004/01/31 RUN DATE 02/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 10.22.29 --------------------- PAR VALUE YTM AT CURRENT MOODY MARI<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----------------------------·----------------------·----------------------·-------------- 161,716.77 FNMA POOL 10535451 .ooo 5,692 AAA 105.406 168,842.42 .05 31384VZQ8 6.000% 06/01/2015 DD 07/01/00 AAA 170,459.58 .04 3,498,227,48 FNMA POOL 10535672 .000 5.686 AAA 105.531 3,652,368.14 1.25 31384WCH1 6.000% 01/01/2016 DD 12/01/00 AAA 3,691,723.19 .95 1,148,263,09 FNMA POOL 10545296 .ooo 5,696 AAA 105,344 1,198,858.43 .41 31385HXZO 6.000% 11/01/2016 DD 10/01/01 AAA 1,209,623.40 ,31 96,898.25 FNMA POOL 10545580 .000 5.696 AAA 105,344 101,167.82 ,03 31385JCR7 6.000% 03/01/2017 DD 03/01/02 AAA 102,076.25 .03 172,129,85 FNMA POOL #0555101 .000 5.689 AAA 105.469 179,714.30 .06 31385WU23 6.000% 10/01/2017 DD 11/01/02 AAA 181,543.20 .05 776,267, 57 FNMA POOL 10555285 .ooo 5,772 AAA 103,941 807,318.29 .27 31385W2S7 6.000% 03/01/2033 DD 02/01/03 AAA 806,863.46 . 21 380,738.81 FNMA POOL 10555363 .ooo 4,886 AAA 102. 332 392,160.97 .13 31385W5Yl 5.000% 04/01/2018 DD 03/01/03 AAA 389,617.75 .10 38,998.31 FNMA POOL 10555453 .ooo 4,880 AAA 102.457 39,497.98 .01 31385XBW6 5.000% 05/01/2018 DD 04/01/03 AAA 39,956.51 .01 317,525.09 FNMA POOL #0555545 .ooo 4,886 AAA 102.332 327,050.85 .11 31385XES2 5.000% 06/01/2018 DD 05/01/03 AAA 324,929.87 .08 1,102,850,90 FNMA POOL 10555621 .000 4.886 AAA 102.336 1,115,257.97 .38 31385XG68 5.000% 07/01/2018 DD 06/01/03 AAA 1,128,615.00 .29 64,663.42 FNMA POOL 10576386 .000 5.707 AAA 105.137 67,512.65 .02 31386XJ72 6.000% 05/01/2016 DD 05/01/01 AAA 67,985,19 .02 173,931.37 FNMA POOL 10576739 .000 5.696 AAA 105.344 181,595.22 .06 31386XV86 6.000% 04/01/2016 DD 04/01/01 AAA 183,225.83 .OS 230,571.90 FNMA POOL 10580888 .000 5,682 AAA . 105.594 240,731.47 .08 31387DJ91 6.000% 05/01/2016 DD 05/01/01 AAA 243,469.52 .06 184,126,55 FNMA POOL 10594002 .ooo 5,696 AAA 105,344 192,239.62 .06 31387T3K8 6.000% 07/01/2016 DD 07/01/01 AAA 193,965.81 .05 234,957.84 FNMA POOL 10597376 ,00,0 5.696 AAA 105.344 245,310.67 .08 31387XT96 6.000% 09/01/2016 DD 08/01/01 AAA 247,513.40 .06 YLDANAL YIELD ANALYSIS PAGE 8 OCSF07522202 2004/01/31 RUN DATE 02/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 10.22.29 ----------------------------==-----===--=====--====----=------------==- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -----------------------------------------·-------·------------------------------------------- 157,839.89 FNMA POOL #0605259 • OOIO 5.696 AAA 105.344 164,794.71 .05 31388HMG1 6.000% 09/01/2016 DD 09/01/01 AAA 166,274.46 .04 102,674.04 FNMA POOL 10608366 .ooo 5.696 AAA 105.344 107,198.12 .03 31388LZ78 6.000% 10/01/2016 DD 09/01/01 AAA 108,160.68 .03 169,865.39 FNMA POOL #0616734 • OOlO 5.679 AAA 105.656 177,350.08 .06 31388WEF9 6.000% 12/01/2016 DD 12/01/01 AAA 179,473.40 .05 188,081.65 FNMA POOL #0630812 • OOIO 5.706 AAA 105.159 196,369.00 .06 31389NYH2 6.000% 02/01/2017 DD 02/01/02 AAA 197,784.14 .05 826,323.45 FNMA POOL #0632376 • OOlO 5.689 AAA 105.469 862,733.34 .29 3l389QQ50 6.000% 07/01/2017 DD 07/01/02 AAA 871,513.01 .22 472,082.11 FNMA POOL 10653116 .ooo 5.689 AAA 105.469 492,883.23 .16 31390QSD8 6.000% 07/01/2017 DD 07/01/02 AAA 497,899.10 .13 188,315.61 FNMA POOL f0673280 .000 5.689 AAA 105.469 196,613.27 .06 3l391P6R2 6.000% 08/01/2017 DD 11/01/02 AAA 198,614.12 .05 570,407.77 FNMA POOL f0681309 .000 4 .886 AAA 102.332 587,520.00 .19 31391Y3S4 5.000% 02/01/2018 DD 02/01/03 AAA 583,709.85 . 15 71,351.97 FNMA POOL #0681334 .ODO 4.8B6 AAA 102.332 73,492.52 .02 31391Y4Tl 5.000% 02/01/2018 DD 01/01/03 AAA 73,015.92 .02 352,619.46 FNMA POOL 10684908 .000 4.880 AAA 102.457 357,137 .40 .12 31400D3Rl 5.000% 06/01/2018 DD 05/01/03 AAA 361,283.43 .09 204,992,46 FNMA POOL #0685200 .000 4,8B6 AAA 102.332 207,618.93 .07 31400EGH7 5.000% 03/01/2018 DD 03/01/03 AAA 209,772 .95 .05 36,400 .74 FNMA POOL 10685665 .ooo 4.886 AAA 102.332 37,492.77 .01 31400EW22 5.000% 02/01/2018 DD 02/01/03 AAA 37,249.62 .01 313,562.63 FNMA POOL t0686318 .000 4.886 AAA , 102.332 322,969.51 .10 31400FPB7 5.000% 03/01/2018 DD 03/01/03 AAA 320,875.00 .08 123,443.25 FNMA POOL #0688739 .ooo 4.886 AAA 102.332 127,146.55 .04 31400JEL9 5.000% 06/01/2018 DD 06/01/03 AAA 126,321.98 .03 126,863.83 FNMA POOL f0689B59 .000 4.879 AAA 102,488 128,489.27 .04 31400KMG8 5.000% 05/01/2018 DD 05/01/03 AAA 130,020.56 .03 YLDANAL YIELD ANALYSIS PAGE 9 OCSF07522202 2004/01/31 RUN DATE 02/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 10.22.29 ----------=--= - PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------------------------------------------------- 738,363.94 FNMA POOL t0693834 .ooo 4.886 AAA 102.332 760,514.86 .25 31400PY74 5.000% 03/01/2018 DD 03/01/03 AAA 755,582.81 .19 269,944.76 FNMA POOL t0695852 .ooo 4.886 AAA 102.332 278,043.10 ,09 31400SBVO 5 ,000% 05/01/2018 DD 05/01/03 AAA 276,239.95 .07 835,544.30 FNMA POOL t0695889 .ODO 4.886 AAA 102,332 860,610.62 .28 31400SC23 5,000% 05/01/2018 DD 05/01/03 AAA 855,029.44 .22 26,423.10 FNMA POOL t0697026 .ODO 4.886 AAA 102. 332 27,215.81 .oo 31400TLF2 5 .000% 05/01/2018 DD 04/01/03 AAA 27,039.29 .01 91,476.22 FNMA POOL f0698939 .ODO 5.682 AAA 105.594 95,506.89 .03 31400VPY2 6.000% 09/01/2017 DD 03/01/03 AAA 96,593.17 .02 276,563.58 FNMA POOL f0702210 .000 4.886 AAA 102,336 284,860.49 .09 31401ADP9 5.000% 05/01/2018 DD 05/01/03 AAA 283,024.48 .07 148,219.75 FNMA POOL 10702328 .ODO 4.886 AAA 102,332 150,118.82 .os 31401AHD2 5.000% 05/01/2018 DD 04/01/03 AAA 151,676.28 .04 78,952.24 FNMA POOL f0703195 .ODO 5.679 AAA 105.656 82,431.08 .02 31401BGC3 6.000% 01/01/2017 DD 04/01/03 AAA 83,417.98 .02 299,062.58 FNMA POOL #0709148 .ooo 4.886 AAA 102.332 308,034.46 .10 31401HZM7 5.000% 06/01/2018 DD 06/01/03 AAA 306,036.81 .00 696,034.89 FNMA POOL f0709360 .ODO 4.879 AAA 102.488 704,952.84 . 24 31401JB56 5.000% 07/01/2018 DD 06/01/03 AAA 713,354.19 .18 142,521.39 FNMA POOL t0709826 .ooo 4.886 AAA 102.332 144,347.44 .04 31401JSP4 5.000% 06/01/2018 DD 06/01/03 AAA 145,845.03 .04 263,009.67 FNMA POOL 10709917 .ooo 4.886 AAA 102.332 266,379.48 .09 31401JVJ4 5.000% 06/01/2018 DD 06/01/03 AAA 269,143.13 .07 26,627.70 FNMA POOL #0709963 .000 4.886 AAA . 102.336 26,968.87 .oo 31401JWYO 5.000% 06/01/2018 DD 06/01/03 AAA 27,249.76 .01 796,757.69 FNMA POOL #0710235 .ooo 4.886 AAA 102.332 820,660.43 .27 31401KBC8 5.000% 06/01/2018 DD 06/01/03 AAA 815,338.32 .21 25,686.21 FNMA POOL 10713344 .000 4.886 AAA 102.332 26,456.79 .oo 31401NP52 5.000% 06/01/2018 DD 06/01/03 AAA 26,285.22 .01 YLDANAL YIELD ANALYSIS PAGE 10 OCSF07522202 2004/01/31 RUN DATE 02/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 10.22.29 ======------==------------------------------------------------------------------------------------===--============-====----- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -----------------------------------·--------------------------------------------------------------- 335,257.93 FNMA POOL 10713365 ,OOIO 4,886 AAA 102.332 339,553.42 .11 31401NQS1 5.000% 07/01/2018 DD 07/01/03 AAA 343,076.25 .09 973,922.84 FNMA POOL 10720319 .OOIO 4.886 AAA 102. 332 986,401.22 .33 31401WG45 5,000% 07/01/2018 DD 07/01/03 AAA 996,635.01 .26 2,428,707,38 FNMA POOL 10720369 .oo,o 4,886 AAA 102,336 2,501,568.60 .84 31401WJNO 5.000% 06/01/2018 DD 06/01/03 AAA 2,485,445.29 .64 312,634,84 FNMA POOL f0721629 .OC>O 4,879 AAA 102.488 322,013,89 ,10 31401XVW4 5.000% 07/01/2018 DD 06/01/03 AAA 320,414.07 .08 252,251.28 FNMA POOL 10723487 .ooo 4.886 AAA 102,332 255,089.11 .08 31402AXQ4 5,000% 06/01/2018 DD 06/01/03 AAA 258,133.86 .07 426,364.82 FNMA POOL 10729601 .000 4,879 AAA 102.488 431,827.62 .14 31402HRW3 5.000% 07/01/2018 DD 07/01/03 AAA 436,973.97 .11 36,444,57 FNMA POOL 10732873 .ooo 4,873 AAA 102,613 36,911.51 .01 31402MFN5 5,000% 11/01/2018 DD 10/01/03 AAA 37,396.97 .01 747,867,91 FNMA POOL #0737130 .ooo 4,879 AAA 102.488 757,449.96 .25 31402S4P9 5.000% 10/01/2018 DD 10/01/03 AAA 766,476.96 .20 590,349,37 FNMA POOL 10738211 ,000 4.886 AAA 102.336 597,913.23 .20 31402UDQ2 5.000% 10/01/2018 DD 10/01/03 AAA 604,140.73 ,16 224,140.14 FNMA POOL 10738487 .ooo 4,886 AAA 102,332 227,011.93 .07 31402UNC2 5,000% 10/01/2018 DD 10/01/03 AAA 229,367.16 .06 697,632,82 FNMA POOL 10740471 .ooo 4.886 AAA 102,336 706,571.23 .24 31402WT40 5.000% 10/01/2018 DD 10/01/03 AAA 713,930.47 .18 827,537.73 FNMA POOL 10740748 .ooo 4,886 AAA 102.332 838,140.55 .28 31402W5H7 5.000% 10/01/2018 DD 11/01/03 AAA 846,836.16 .22 44,604.14 FNMA POOL 10743868 .000 4,886 AAA , 102. 336 45,175.63 .01 31403BMR1 5.000% 11/01/2018 DD 10/01/03 AAA 45,646.15 .01 1,148,016.50 FNMA POOL 10744008 .000 4.886 AAA 102.332 1,162,725.46 .39 31403BR54 5.000% 07/01/2018 DD 09'/01/03 AAA 1,174,788.59 .30 172,719.45 FNMA POOL 10744316 .000 4,886 AAA 102.336 174,932.42 .05 31403B3Z4 5,000% 09/01/2018 DD 09/01/03 AAA 176,754.41 .05 YLDANAL YIELD ANALYSIS PAGE 11 OCSF07522202 2004/01/31 RUN DATE 02/06/04 DISTRICT! LONG-TERM OPERATING RUN TIME 10.22.29 =---:========== PAR VALUE YTM Jll.T CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL --------------------------------------------------------------------------------- 361,547.49 FNMA POOL f0747914 .000 4.886 AAA 102.332 366,179.82 .12 31403F3XO 5.000% 11/01/2018 DD 11/01/03 AAA 369,978.89 .10 243,351.27 FNMA POOL f0748400 .000 4.886 AAA 102.336 246,469.22 .08 31403GNR9 5.000% 08/01/2018 DD 09/01/03 AAA 249,036.29 .06 1,034,427.41 FNMA POOL f0748899 .ooo 4.883 AAA 102.393 1,047,681.01 .35 31403G7LO 5 .000% 12/01/2018 DD 11/01/03 AAA 1,059,185.42 .27 2,539,874.78 FNMA POOL f0750377 .ooo 4.883 AAA 102.393 2,572,416.92 .88 31403JUA2 5 .000% 11/01/2018 DD 11/01/03 AAA 2,600,664.19 .67 2,129,602.89 FNMA POOL 10750380 .ooo 4.883 AAA 102.393 2,156,888.44 .73 31403JUD6 5.000% 11/01/2018 DD 11/01/03 AAA 2,180,572.85 .56 193,323.00 FNMA POOL 10750445 ,000 4.883 AAA 102.393 195,799.95 .06 31403JWE2 5.000% 11/01/2018 DD 11/01/03 AAA 197,950.00 .05 907,869.35 FNMA POOL 10751960 .000 4,886 AAA 102.336 919,501.43 .31 31403LMH1 5.000% 12/01/201B DD 11/01/03 AAA 929,078.41 .24 991,394.12 FNMA POOL 10753425 .000 4.B86 AAA 102.332 1,002,857.11 .34 31403NA23 5 .000% 11/01/201B DD 11/01/03 AAA 1,014,513.73 .26 647,108.54 FNMA POOL 10755165 .ooo 4.879 AAA 102.488 655,399.61 .22 31403Q6A3 5.000% 12/01/2018 DD 11/01/03 AAA 663,210.41 .17 991,702.32 FNMA POOL f0756372 .000 4.B79 AAA 102.48B 1,003,168.87 .34 31403SJRB 5.000% 11/01/201B DD 11/01/03 AAA 1,016,378.65 .26 298,575.30 GNMA POOL 10596612 .000 6 .145 AAA 105. 785 313,364.10 .10 36200BYH4 6,500% 09/15/2032 DD 09/01/02 AAA 315,848.36 .08 1,169,942.54 GNMA POOL 10569359 .ooo 6.163 AAA 105.465 1,197,363.07 .41 36200QQK3 6.500% 04/15/2032 DD 04/01/02 AAA 1,233,882.53 .32 49,792.15 GNMA POOL f0569685 .000 6.143 AAA , 105.816 52,258.41 .01 36200Q2S2 6.500% 02/15/2032 DD 02/01/02 AAA 52,688.27 .01 86,245.92 GNMA POOL f0570019 .000 6.143 AAA 105.816 90,517.79 .03 36200RG48 6.500% 07/15/2032 DD 07/01/02 AAA 91,262.34 .02 494,313.09 GNMA POOL 10574323 .000 6.143 AAA 105.816 518,797.04 .17 36200WAY7 6.500% 12/15/2031 DD 12/01/01 AAA 523,064.37 ,13 YLDANAL YIELD ANALYSIS PAGE 12 OCSF07522202 2004/01/31 RUN DATE 02 /06 /04 DISTRICT: LONG-TERM OPERATING RUN TIME 10.22.29 --------------------------------------=========================------- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---~---------------~---------------------------------------------------------------------- 52,644.83 GNMA POOL 10575364 .ooo 6,143 AAA 105.816 55,252.39 . 01 36200XFD6 6.500% 11/15/2031 DD 11/01/01 AAA 55,706.87 .01 20,877.54 GNMA POOL 10587117 .ooo 6,143 AAA 105,816 21,911.63 .oo 36201MG22 6,500% 06/15/2032 DD 06/01/02 AAA 22,091.86 .01 59,744.81 GNMA POOL 10587439 ,000 6,145 AAA 105,785 62,704.04 .02 36201MS45 6,500% 11/15/2032 DD 12/01/02 AAA 63,201.14 .02 14,543,72 GNMA POOL 10421389 ,000 6,123 AAA 106,160 15,264,10 .oo 36206UC23 6.500% 04/15/2026 DD 04/01/96 AAA 15,439.64 .oo 22,897.80 GNMA POOL 10449851 ,000 6.157 AAA 105.571 24,031.96 .oo 36208FWLO 6.500% 01/15/2028 DD 01/01/98 AAA 24,173.44 .01 67,274.69 GNMA POOL 10466845 .000 6.130 AAA 106,035 70,606.89 .02 36209BTA6 6.500% 06/15/2028 DD 06/01/98 AAA 71,334.83 .02 113,362.74 GNMA POOL 10468052 ,000 6 .130 AAA 106.035 118,977.74 ,04 36209C5M4 6.500% 07/15/2028 DD 07/01/98 AAA 120,204.36 .03 185,221.57 GNMA POOL 10476041 ,000 6.130 AAA 106.035 194,106.42 .06 36209MZE7 6.500% 06/15/2028 DD 06/01/98 AAA 196,399.99 ,05 164,068.79 GNMA POOL 10478626 .ooo 6,135 AAA 105.941 171,938.97 .05 36209QVT9 6.500% 01/15/2029 DD 01/01/99 AAA 173,816.79 ,04 122,999.51 GNMA POOL 10480598 ,000 6 .130 AAA 106.035 128,899.65 .04 36209S3F6 6.500% 10/15/2028 DD 10/01/98 AAA 130,422.73 .03 435,166.85 GNMA POOL f0485527 ,000 6,143 AAA 105.816 456,721.21 . 15 36209YLG1 6,500% 06/15/2031 DD 06/01/01 AAA 460,477.94 .12 490,736.10 GNMA POOL 10485610 .ooo 6.143 AAA 105.816 515,042.87 .17 36209YN38 6.500% 07/15/2031 DD 07/01/01 AAA 519,279.32 .13 97,203.30 GNMA POOL 10485682 ,000 6,143 AAA . 105.816 102,017.90 .03 36209YRB6 6,500% 08/15/2031 DD 08/01/01 AAA 102,857.04 .03 88,984.95 GNMA POOL 10485703 .ooo 6,143 AAA 105.816 93,392.49 .03 36209YRY6 6,500% 08/15/2031 DD 08/01/01 AAA 94,160.68 .02 10,919.14 GNMA POOL 10512235 .ooo 6.135 AAA 105.941 11,459.97 .00 36211GBC6 6.500% 11/15/2029 DD 11/01/99 AAA 11,567.89 .00 YLDANAL YIELD ANALYSIS PAGE 13 OCSF07522202 2004/01/31 RUN DATE 02/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 10.22.29 =====================================================~----=============================== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ 'II TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE 'II TOTAL ----------------------------------------------------------------------------------~--------------- 149,132.18 GNMA POOL 10514326 .000 6.135 AAA 105.941 156,285.86 .05 36211JLF2 6.500% 07/15/2029 DD 07/01/99 AAA 157,992.73 .04 48,117.93 GNMA POOL 10530053 .000 6.164 AAA 105.449 50,501.28 .01 36212CZS3 6.500% 04/15/2031 DD 04/01/01 AAA 50,739.95 .01 104,930.70 GNMA POOL 10537885 .000 6 .143 AAA 105.816 110,128.04 .03 36212MRE1 6,500% 02/15/2031 DD 02/01/01 AAA 111,033.90 .03 12,796.48 GNMA POOL 10547512 .000 6.143 AAA 105.816 13,430.31 .oo 36212YGV9 6.500% 04/15/2031 DD 04/01/01 AAA 13,540.78 .oo 128,171.50 GNMA POOL 10547715 .ooo 6.143 AAA 105.816 134,319.73 .04 36212YN82 6.500% 02/15/2031 DD 02/01/01 AAA 135,626.48 .03 73,114.91 GNMA POOL 10552322 .000 6.143 AAA 105.816 76,736.38 .02 36213ESK3 6.500% 01/15/2032 DD 01/01/02 AAA 77,367.57 .02 539,265.43 GNMA POOL 10552466 .ooo 6.163 AAA 105.465 565,975.93 .19 36213EW36 6.500% 03/15/2032 DD 03/01/02 AAA 568,737.50 .15 437,113.67 GNMA POOL 10552659 .ooo 6,143 AAA 105.816 458,764.44 .15 36213E5U6 6.500% 07/15/2032 DD 07/01/02 AAA 462,537.99 .12 437,479.71 GNMA POOL 10561017 ,000 6.143 AAA 105.816 459,148.62 .15 36213QG29 6.500% 07/15/2031 DD 07/01/01 AAA 462,925,32 ,12 268,285.73 GNMA II POOL 10080395 .ooo 3.450 AAA 101. 449 265,854,39 ,09 36225CNM4 VAR RT 04/20/2030 DD 04/01/00 AAA 272,174.13 .07 2,393,819,27 GNMA II POOL I080408X ,000 3.450 AAA 101,450 2,369,507.04 .82 36225CN28 6.500% 05/20/2030 DD 05/01/00 AAA 2,428,530.85 .63 5,ooo,ooo.oo GENERAL ELEC CAP MTN ITR 00575 .ooo 5,183 AAA 105.156 5,203,500.00 1.78 36962GZY3 5,450% 01/15/2013 DD 12/06/02 AAA 5,257,800 .00 1.36 3,000,000.00 GENERAL MTRS ACCEP CORP SR NT .000 5.747 A3 • 106.578 3,064,350.00 1.08 370425SD3 6.125% 08/28/2007 DD 08/29/02 BBB 3,197,340,00 .82 3,000,000.00 GOLDMAN SACHS GROUP INC SR NT .000 4.011 AA3 102,843 3,030,030.00 1.04 38141GCS1 4,125% 01/15/2008 DD 01/13/03 A+ 3,085,290.00 .80 1,635,000.00 HOUSEHOLD FIN CORP NT .000 5.726 Al 111.343 1,772,820.00 .61 441812JW5 6.375% 10/15/2011 DD 10/23/01 A 1,820,458.05 .47 YLDANAL YIELD ANALYSIS PAGE 14 !)CSF07522202 2004/01/31 RUN DATE 02/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 10,22,29 ===-=== .. . _;:::;:---=::----=-====----- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------------------------------------------------------------------- 3,000,000.00 JP MORGAN CHASE & CO SUB NT .ooo 5 .368 A2 107.109 3,127,260.00 1.08 46625HAT7 5,750% 01/02/2013 DD 11/25/02 A 3,213,270.00 .83 3,200,000.00 MORGAN STANLEY NT .ooo 3,605 AA3 100,562 3,195,648.00 1.09 617446HW2 3.625% 04/01/2008 DD 03/06/03 A+ 3,217,984.00 .83 3,000,000.00 NATIONAL RURAL UTILS COOP FIN .OOIO 6,167 A2 117,562 3,465,480.00 1.19 637432CU7 7.250% 03/01/2012 DD 03/07/02 A 3,526,860.00 . 91 1,000,000.00 PHILIP MORRIS COS INC NTS . OOIO 7,419 BAA2 101.093 1,052,600.00 ,34 718154CH8 7.500% 04/01/2004 DD 04/01/97 BBB 1,010,930.00 .26 984,505.70 RESIDENTIAL ASSET 03-RSll AIIB .OOIO 1.432 AAA 99,875 984,505.70 .33 760985K83 VAR RT 12/25/2033 DD 12/30/03 AAA 983,275.07 ,25 3,497,276.28 SBA GTD DEV PARTN 200l-20C 1 . OOIO 5.845 AAA 108.465 3,497,276.28 1.28 83162CLJO 6.340% 03/01/2021 AAA 3,793,320.72 .98 2,425,788 .58 SBA GTD PARTN CTFS SBIC-PS 01 .oc,o 6,204 AAA 107.020 2,425,788.58 .88 8316410D4 6.640% 02/10/2011 DD 02/21/01 NR 2,596,078.94 .67 1,600,000.00 UNITED AIRLS PASSTHRU 01-1 C . OOIO 37,730 CA 18,105 1,600,000,00 .09 909317BC2 6.831% 03/01/2010 DD 08/22/01 A-289,680.00 .07 20,000,000.00 US TREASURY NOTES , 0()10 5,612 AAA 111,375 22,620,312,50 7.55 9128272JO 06,250% 02/15/2007 DD 02/15/97 AAA 22,275,000.00 5.75 3,426,390.00 US TREASURY INFLATION INDEX NT .000 3.258 AAA 111,281 3,736,244.03 1.29 9128273T7 3.625% 01/15/2008 DD 01/15/98 AAA 3,812,938.19 .98 14,626,300.00 US TREASURY INFLATION INDEX NT .OOIO 3,402 AAA 113.906 16,253,511.35 5 .65 9128274Y5 3.875% 01/15/2009 DD 01/15/99 AAA 16,660,306.41 4 .30 57,100,000.00 US TREASURY NOTES . OOIO 5.368 AAA 107.125 62,782,901.47 20.74 9l28276N7 05,750% 11/15/2005 DD 11/15/00 AAA 61,168,375.00 15.78 12,000,000.00 US TREASURY NT ,OOIO 3,217 AAA , 101.030 11,870,156.25 4. 11 912828BG4 3,250% 08/15/2008 DD 08/15/03 AAA 12,123,600.00 3.13 3,000,000.00 VERIZON GLOBAL FOG CORP GLOBAL .ooo 6.326 A2 116,578 3,530,490.00 1.18 92344GAT3 7.375% 09/01/2012 DD 08/26/02 A+ 3,497,340.00 .90 1,1so,ooo.oo VIRGINIA ELEC & PWR 01 SER A .000 5,375 A3 106.968 1,743,840.00 .63 927804ENO 5,750% 03/31/2006 DD 03/27/01 BBB+ 1,871,940.00 . 48 YLDANAL YIELD ANALYSIS PAGE 15 OCSF07522202 2004/01/31 RUN DATE 02/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 10.22,29 --- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------~ ----------------------------------------------------------------------------· 16,304,540.00 US TREASURY INFLATION INDEX NT 3,817 3.101 AAA 108.844 14,384,422,02 6 .01 9128272M3 3.375% 01/15/2007 DD 01/15/97 AAA 17,746,513.52 4 .58 15,500,000.00 FEDERAL NATL MTG ASSN DEBS 5,967 6,735 AAA 105,794 16,154,410.00 5 .56 31359MFH1 7,125% 02/15/2005 DD 02/14/00 AAA 16,398,088.60 4 .23 1,061,097,19 FHLMC MULTICLASS MTG SER E3 A 6. 31.6 3.696 AAA 103 .113 1,062,227.65 .37 3133TCE95 VAR RT OB/15/2032 DD 12/01/97 AAA 1,094,129.15 .2B 699,738,BB GNMA GTD REMIC TR 2000-9 FH 6,320 1.590 AAA 100.604 699,738.88 .23 3837H4NX9 VAR RT 02/16/2030 AAA 703,965.30 ,1B 7,316.30 GNMA POOL f0500917 6,389 5,729 AAA 104,723 6,944.76 .oo 36210SPAO 6,000% 04/15/2029 DD 04/01/99 AAA 7,661.82 .oo 35,337.84 GNMA POOL 10506636 6.389 5.729 AAA 104.723 33,543.33 .01 36210YY90 6.000% 04/15/2029 DD 04/01/99 AAA 37,006.73 .01 311,751.24 GNMA POOL 10503388 6 .389 5.729 AAA 104.723 295,920,12 .11 36210VF55 6.000% 03/15/2029 DD 03/01/99 AAA 326,474.19 .08 12 I 651, 90 GNMA POOL #0499153 6 .389 5.729 AAA 104.723 12,009.42 .oo 36210QQE5 6.000% 02/15/2029 DD 02/01/99 AAA 13,249.41 .oo 410,770.39 GNMA POOL 10496461 6. 39'0 5.729 AAA 104,723 389,910.95 .14 36210MQN4 6.000% 01/15/2029 DD 01/01/99 AAA 430,169.68 .11 105,963.24 GNMA POOL 10491103 6. 39'0 5.729 AAA 104.723 100,582.31 ,03 36210FRY4 6.000% 01/15/2029 DD 01/01/99 AAA 110,967.52 .03 12,077,30 GNMA POOL #0486720 6. 39'0 5.729 AAA 104,723 11,464.01 .oo 36210AVM6 6.000% 12/15/2028 DD 12/01/98 AAA 12,647.67 .oo 22,500.34 GNMA POOL 10497343 6,39'0 5.729 AAA 104.723 21,357,75 .00 36210NP45 6,000% 12/15/2028 DD 12/01/98 AAA 23,562.95 .01 15,442,66 GNMA POOL #0469688 6, 39t 1 5.729 AAA , 104.723 14,658.45 .oo 36209EXR8 6,000% 11/15/2028 DD 11/01/98 AAA 16,171.96 .oo 20,617,14 GNMA POOL 10467279 6, 39'1 5.729 AAA 104,723 19,570.18 .oo 36209CCQ7 6.000% 10/15/2028 DD 10/01/98 AAA 21,590.82 .01 36,944.46 GNMA POOL f0457814 6. 39'1 5,729 AAA 104,723 35,068.36 .01 36208QSB3 6.000% 10/15/2028 DD 10/01/98 AAA 38,689.22 .01 YLDANAL YIELD ANALYSIS PAGE 16 OCSF07522202 2004/01/31 RUN DATE 02/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 10.22.29 -----------==------------=----====--=====================-===-======= PAR VALUE YTH AT CURRENT MOODY MARI<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARI<ET VALUE % TOTAL ---------------------------------------------------------------------------·-----------------·- 397,524.45 GNMA POOL #0467286 6. 391 5,729 AAA 104,723 377,337.66 • 14 36209CCX2 6.000% 10/15/2028 DD 10/01/98 AAA 416,298.18 ,11 493,489.57 GNMA POOL #0465555 6 .392 5,729 AAA 104.723 468,429.56 .17 36209AE48 6.000% 09/15/2028 DD 09/01/98 AAA 516,795.40 .13 13,171.18 GNMA POOL #0483452 6,392 5,729 AAA 104,723 12,502.34 .oo 36209WBV3 6.000% 09/15/2028 DD 09/01/98 AAA 13,793,21 .oo 458,238.47 GNMA POOL #0465546 6, 39' 2 5,729 AAA 104,723 434,968.55 .16 36209AET3 6,000% 08/15/2028 DD 08/01/98 AAA 479,879.51 .12 304,340,62 GNMA POOL 10468339 6,39'2 5.729 AAA 104. 723 288,885.84 ,10 36209DHQO 6.000% 08/15/2028 DD 08/01/98 AAA 318,713.59 ,OB 18,607,22 GNMA POOL 10438057 6 .393 5,726 AAA 104,785 17,662.33 .oo 36207PTN9 6,000% 05/15/2028 DD 05/01/98 AAA 19,497.61 .01 18,836.70 GNMA POOL #0468330 6,393 5,729 AAA 104,723 17,880.13 .oo 36209DHF4 6.000% 05/15/2028 DD 05/01/98 AAA 19,726.29 .01 3,032,099.71 FHLMC MULTICLASS CTF SER 1620Z 6. 499 5.676 AAA 105,716 2,875,959.77 1.08 3133Tl 7A4 6.000% 11/15/2023 DD 11/01/93 AAA 3,205,414.53 ,83 327,492.79 GNHA II POOL t0B00BBM 6. 7()15 4.308 AAA 101.553 334,656.69 ,11 36225CC20 7.375% 06/20/2027 DD 06/01/97 AAA 332,578.75 .09 2,000,000.00 HARSH & MCLENNAN COS INC SR NT 6,717 6,500 A2 101.921 1,992,280.00 .69 571748AB8 6.625% 06/15/2004 DD 06/14/99 AA-2,038,420.00 .53 2,500,000.00 FORD MTR CR CO GLOBAL LANDMARK 6. 739 6.559 AJ 102,156 2,495,900.00 .86 345397SJ3 6,700% 07/16/2004 DD 07/16/99 BBB-2,553,900.00 .66 2,500,000.00 COUNTRYWIDE HOME LNS INC NT 6 ,866 6,717 AJ 101. 984 2,498,400.00 .86 22237UABB 6.850% 06/15/2004 DD 06/24/99 A 2,549,600.00 .66 221,394.24 GNMA II POOL 10080023 6,992 5,487 AAA . 102,516 225,061.08 .07 36225CAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 226,965.07 .06 2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7,113 5,778 AAA 114. 666 2,030,133.00 .81 31359MEY5 6.625% 09/15/2009 DD 09/01/99 AAA 2,407,985.79 .62 1,000,000.00 FORD MOTOR CR CO NT 7 .582 6.429 AJ 105.000 965,170.00 .35 345397GV9 6.750% 05/15/2005 DD 05/24/93 BBB-1,050,000.00 • 27 YLDANAL OCSF07522202 bISTRICT: LONG-TERM OPERATING YIELD ANALYSIS 2004/01/31 PAGE RUN DATE RUN TIME 17 02/06/04 10,22,29 ==-=-=-==-=====----==:===.::::;.::.===~--i:=.====== =====-=----=====-==-~=---=-====----=== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL ------------------------------------------------------------------------------------------------- 945,144,52 WMP/HUNTOON PAIGE f000-11150 7,684 7.370 AAA 101. 762 924,617.17 .32 302998GE3 7,5001 12/01/2030 DD 10/21/99 AAA 961,794.28 ,25 3,000,000.00 PACIFICORP SECD MTN fTR 00115 7. 709 1.020 A3 103.984 2,950,530.00 1.05 69512EEU5 7,3001 10/22/2004 DD 10/22/~2 A 3,119,520.00 .80 1,600,000,00 ALLSTATE CORP SR NT 7 .967 7,329 Al 107,453 1,594,032.00 .58 020002AL5 7,875% 05/01/2005 DD 05/01/00 A+ 1,719,248.00 ,44 -------·--------------------------------- TOTAL FIXED INCOME SECURITIES ,378 5.212 290,124,807.49 100.00 294,841,061.83 76.01 ---------------------------~----------TOTAL . 359 4,946 382,907,039.39 100.00 387,623,293.73 100.00 @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED-OCSGOO0l00OO 1/31/2004 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 INTEREST RECEIVABLE 4,074,981.45 4,074,981.45 0.85% 0.00 RECEIVABLE FOR INVESTMENTS 28,598.26 28,598.26 0.01% 0.00 SOLD PAYABLE FOR INVESTMENTS -3,097,704.96 -3,097,704.96 -0.65% 0.00 PURCHASED DU PONT DE NEMOUR DISC 99.8667 4 ,500,0I00.000 4,494,000.00 4,494,000.00 0.94% 0.00 03/08/2004 SEC ID: 26354AC85 EUROPEAN INVEST DISC 99.7321 900,0I00.000 897,588.50 897,588.50 0.19% 0.00 03/15/2004 SEC ID: 29878RCF3 FEDERAL HOME LN BK CONS DISC N 99.8681 5 ,200,0,00.000 5,193,143.22 5,193,143.22 1.08% 0.00 MAT 02/04/2004 SEC ID: 313384SR1 FEDERAL HOME LN BK CONS DISC 99.6879 1 ,000,0,00.000 996,879.16 996,879.16 0.21% 0.00 SEC ID: 313384SS9 FEDERAL HOME LN BK CONS DISC 99.6136 600,0•00.000 597,681.67 597,681.67 0.12% 0.00 MAT 02/09/2004 SEC ID: 313384SW0 FEDERAL HOME LN BK CONS DISC 99.7321 2 ,000,0·00.000 1,994,641.11 1,994,641.11 0.42% 0.00 MAT 02/25/2004 SEC ID: 313384TN9 FEDERAL HOME LN BK CONS DISC N 99.7421 4 ,500,0·00.000 4,488,395.00 4,488,395.00 0.94% 0.00 MAT 03/12/2004 SEC ID: 313384UE7 FEDERAL HOME LN BKS CINS DISC 99.4625 900,0•00.000 895,162.50 895,162.50 0.19% 0.00 MAT 03/17/2004 SEC ID: 313384UK3 FEDERAL HOME LN BK CONS DISC N 99.7510 11,.800,0•00.000 11,770,622.63 11,770,622.63 2.45% 0.00 MAT 04/14/2004 SEC ID: 313384VP1 FEDERAL HOME LN BK CONS DISC N 99.7460 900,0•00.000 897,713.63 897,713.63 0.19% 0.00 MAT 04/28/2004 SEC ID: 313384WD7 FEDERAL HOME LN BK CONS DISC 99.4313 2, 000,0,00.000 1,988,625.00 1,988,625.00 0.41% 0.00 MAT 05/19/2004 SEC ID: 313384XA2 FEDERAL HOME LN MTG CORP DISC 99.6614 4, 700,0100.000 4,684,085.28 4,684,085.28 0.98% 0.00 MAT 02/02/2004 SEC ID: 313396SP9 2/6/2004 1:42:04PM PST 1 Workbench @ Asset Detail Report ID: GL801.3 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2&orr&2 rn2 /•••••• 1/31/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FEDERAL HOME LN MTG CORP DISC 99.7240 2 ,500,0•00.000 2,493,100.00 2,493,100.00 0.52% 0.00 MAT 02/12/2004 SEC ID: 313396SZ7 FEDERAL HOME LN MTG CORP DISC 99.7602 6 ,000,0•00.000 5,985,610.83 5,985,610.83 1.25% 0.00 MAT 02/26/2004 SEC ID: 313396TP8 FEDERAL HOME LN MTG CORP DISC 99.5807 2, 100,0•00.000 2,091,194.00 2,091,194.00 0.44% 0.00 MAT 03/22/2004 SEC ID: 313396UQ4 FEDERAL HOME LN MTG CORP DISC 99.4225 3 ,800,0·00.000 3,778,055.00 3,778,055.00 0.79% 0.00 MAT 03/31/2004 SEC ID: 313396UZ4 FEDERAL HOME LN MTG CORP DISC 99.7528 10 ,000,0•00.000 9,975,277.78 9,975,277.78 2.08% 0.00 MAT 04/13/2004 SEC ID: 313396VNO FEDERAL HOME LN MTG CORP DISC 99 7472 1,700,000.000 1,695,702.78 1,695,702.78 0.35% 0.00 MAT 04/20/2004 SEC ID: 313396W2 FEDERAL HOME LN MTG CORP DISC 99.7478 1 ,200,0·00.000 1,196,974.00 1,196,974.00 0.25% 0.00 MAT 04/27/2004 SEC ID: 313396WC3 FEDERAL NATL MTG ASSN DISC NT 99.8713 5,.200,0·00.000 5,193,305.00 5,193,305.00 1.08% 0.00 MAT 02/02/2004 SEC ID: 313588SP1 FEDERAL NATL MTG ASSN DISCOUNT 99.9000 400,0•00.000 399,600.00 399,600.00 0.08% 0.00 MAT 02/04/2004 SEC ID: 313588SR7 FEDERAL NATL MTG ASSN DISC NT 99.7820 8,.400,0·00.000 8,380,074.22 8,380,074.22 1.75% 0.00 SEC ID: 313588TF2 FEDERAL NATL MTG ASSN DISCOUNT 99.5530 3,,800,0•00.000 3,783,014.00 3,783,014.00 0.79% 0.00 MAT 02/19/2004 SEC ID: 313588TGO FEDERAL NATL MTG ASSN DISCOUNT 99.7450 8,.400,0-00.000 8,378,580.00 8,378,580.00 1.75% 0.00 MAT 02/25/2004 SEC ID: 313588TN5 FEDERAL NATL MTG ASSN DISCOUNT 99.7270 400,000.000 398,908.00 398,908.00 0.08% 0.00 MAT 03/03/2004 SEC ID: 313588TV7 FEDERAL NATL MTG ASSN DISCOUNT 99.7350 1,.000,000.000 997,350.00 997,350.00 0.21% 0.00 MAT 03/10/2004 SEC ID: 313588UC7 FEDERAL NATL MTG ASSN DISC 99.7346 1,.100,000.000 1,097,080.42 1,097,080.42 0.23% 0.00 SEC ID: 313588UK9 2/6/2004 1:42:04PM PST 2 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2 &'7'.'(&2 1 72 / 'T'7:''l D 1/31/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FEDERAL NATL MTG ASSN DISCOUNT 99.4262 2 ,000,0•00.000 1,988,523.89 1,988,523.89 0.41% 0.00 MAT 05/19/2004 SEC ID: 313588XA8 GENERAL ELEC CAP DISC 99.9018 2 ,500,0•00.000 2,497,545.14 2,497,545.14 0.52% 0.00 02/24/2004 SEC ID: 36959HBQ9 GENERAL ELEC CAP DISC 99.6331 1 ,800,0•00.000 1,793,395.50 1,793,395.50 0.37% 0.00 04/07/2004 SEC ID: 36959HD79 U S TREASURY BILL 99.5160 5 ,700,0·00.000 5,672,410.42 5,672,410.42 1.18% 0.00 DUE 02/12/2004 DD 08/14/2003 SEC ID: 912795PK1 U S TREASURY BILL 99.7575 9 ,200,0•00.000 9,177,690.00 9,177,690.00 1.91% 0.00 0.000% 03/11/2004 DD 09/11/03 SEC ID: 912795PPO U S TREASURY BILL 99.7853 6,500,000.000 6,486,041.25 6,486,041.25 1.35% 0.00 0.000% 03/18/2004 DD 09/18/03 SEC ID: 912795PQ8 UNITED STATES TREASURY BILL 99.4870 17 ,000,0·00.000 16,912,790.02 16,912,790.02 3.53% 0.00 DUE 04/22/2004 DD 10/23/03 SEC ID: 912795PV7 U S TREASURY BILL 99.4843 12, 000,0•00.000 11,938,120.00 11,938,120.00 2.49% 0 .00 0.000% 04/29/2004 DD 10/30/03 SEC ID: 912795PW5 U S TREASURY BILL 99.4820 4, 400,0<00.000 4,377,207.88 4,377,207.88 0.91% 0.00 0.000% 05/06/2004 DD 11/06/03 SEC ID: 912795PX3 U S TREASURY BILL 99.4906 6,200,000.000 6,168,416.07 6,168,416.07 1.29% 0.00 0.000% 05/27/2004 DD 11/28/03 SEC ID: 912795QA2 FIRST BOSTON CORP REPO 100.0000 9,500,0COO.OOO 9,500,000.00 9,500,000.00 1.98% 0.00 00.970% 02/02/2004 DD 01/30/04 SEC ID: 99415T115 DREYFUS TREASURY CASH MGMT 100.0000 322,193.520 322,193.52 322,193.52 0.07% 0.00 SEC ID: 996085247 BSDT-LATE MONEY DEPOSIT ACCT 100.0000 1,000.000 1,000.00 1,000.00 0.00% 0.00 SEC ID: 996087094 TOTAL CASH & CASH EQUIVALENTS 172,123,193.520 172,583,572.17 172,583,572.17 35.97% 0.00 FIXED INCOME SECURITIES AIG SUNAMERICA GLOBAL REG S 109.8670 752,000.000 826,199.84 826,199.84 0.17% 0.00 5.850% 08/01/2008 DD 08/08/01 SEC ID : U00907 AAO 2/6/2004 1:42:04PM PST 3 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2&001:&2102 / ,007•• 1/31/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base COMMIT TO PUR FNMA SF MTG 103.8047 3,000,000.000 3,097,695.31 3,114,140.70 0.65% 16,445.39 6.000% 02/01/2034 DD 02/01/04 SEC ID: 01F060626 ALLSTATE CORP SR NT 107.4530 1,600,000.000 1,594,032.00 1,719,248.00 0.36% 125,216.00 7.875% 05/01/2005 DD 05/01/00 SEC ID: 020002AL5 ASSOCIATES CORP NA MTN SR00043 102.9370 100,000.000 104,199.00 102,937.00 0.02% -1,262.00 7.920% 07/13/2004 DD 07 / 13/94 SEC ID: 045906BU7 ASSOCIATES CORP NORTH AMER 100.9840 1 ,000,0IOO.OOO 1,041,290.00 1,009,840.00 0.21% -31,450.00 5.800% 04/20/2004 DD 04/20/99 SEC ID: 046003KA6 BANK OF AMERICA CORP SR GBL NT 101.9840 500,0IOO.OOO 518,385.00 509,920.00 0.11% -8,465.00 6.625% 06/15/2004 DD 06/15/99 SEC ID: 066050CW3 BELL ATLANTIC-NEW JERSEY INC 100.0000 650,000.000 677,046.50 650,000.00 0.14% -27,046.50 5.875% 02/01/2004 DD 02/01/94 SEC ID: 077858AA6 CIT GROUP INC NEW SR NT 107.4060 1,500,000.000 1,527,135.00 1,611,090.00 0.34% 83,955.00 5.500% 11/30/2007 DD 12/02/02 SEC ID: 125581ADO CITIGROUP INC GLOBAL SUB NT 106.6870 5 ,000,0,00.000 5,333,600.00 5,334,350.00 1.11% 750.00 5.625% 08/27/2012 DD 08/26/02 SEC ID: l 72967BP5 COUNTRYWIDE HOME LNS INC NT 101.9840 2 ,500,0,00.000 2,498,400.00 2,549,600.00 0.53% 51,200.00 6.850% 06/15/2004 DD 06/24/99 SEC ID: 22237UAB8 WMP/HUNTOON PAIGE #000-11150 101.7616 945,144.520 924,617.17 961,794.28 0.20% 37,177.11 7.500% 12/01/2030 DD 10/21/99 SEC ID: 302998GE3 FHLMC GROUP #G4-0353 101.7046 78,846.780 80,842.60 80,190.80 0.02% -651.80 7.500% 10/01/2004 DD 03/01/99 SEC ID: 3128DBMA2 FEDERAL HOME LN BK CONS BDS 105.8233 7 ,500,0,00.000 7,997,625.00 7,936,746.75 1.65% -60,878.25 7.125% 02/15/2005 DD 02/08/00 SEC ID: 3133MAUN7 FHLMC MULTICLASS MTG SER E3 A 103.1130 1,061,097.190 1,062,227.65 1,094,129.15 0.23% 31,901.50 VAR RT 08/15/2032 DD 12/01/97 SEC ID: 3133TCE95 FHLMC MULTICLASS CTF SER 1620Z 105.7160 3,032,099.710 2,875,959.77 3,205,414.53 0.67% 329,454.76 6.000% 11/15/2023 DD 11/01/93 SEC ID: 3133T17A4 2/6/2004 1:42:04PM PST 4 Workbench ® Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2&f7'::•r:&2102 / ,n777'J 1/31/2004 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 100.5412 1,100,000.000 1,125,905.00 1,105,953.20 0.23% -19,951.80 3.750% 04/15/2004 DD 04/15/02 SEC ID: 3134A4PH1 FHLMC GROUP #78-6064 103.3664 78,922.060 76,998.32 81,578.89 0.02% 4,580.57 6.384% 01/01/2028 DD 12/01/97 SEC ID: 31348SWZ3 FEDERAL NATL MTG ASSN DEBS 100.1403 4,200,000.000 4,350,168.00 4,205,892.18 0.88% -144,275.82 5.125% 02/13/2004 DD 02/08/99 SEC ID: 31359MEM1 FEDERAL NATL MTG ASSN DEBS 114.6660 2,100,000.000 2,030,133.00 2,407,985.79 0.50% 377,852.79 6.625% 09/15/2009 DD 09/01/99 SEC ID: 31359MEY5 FEDERAL NATL MTG ASSN DEBS 105.7941 15 ,500,0)00.000 16,154,410.00 16,398,088.60 3.42% 243,678.60 7.125% 02/15/2005 DD 02/14/00 SEC ID: 31359MFH1 FEDERAL NATL MTG ASSN DEBS 106.8966 11 ,350,())00.000 11,521,271.50 12,132,758.43 2.53% 611,486.93 5.250% 06/15/2006 DD 06/22/01 SEC ID: 31359MJX2 FNMA POOL #0254510 102.3320 832,616.950 857,595.46 852,033.83 0.18% -5,561.63 5.000% 11/01/2017 DD 10/01/02 SEC ID: 31371KVB4 FNMA POOL #0254631 102.4570 176,487.830 181,782.47 180,824.19 0.04% -958.28 5.000% 02/01/2018 DD 01/01/03 SEC ID: 31371KY47 FNMA POOL #0254760 102.4883 159,405.250 164,187.40 163,371.70 0.03% -815.70 5.000% 06/01/2018 DD 05/01/03 SEC ID: 31371K5V9 FNMA POOL #0254866 102.4883 69,607.320 71,695.55 71,339.35 0.01% -356.20 5.000% 09/01/2018 DD 08/01/03 SEC ID: 31371LCB3 FNMA POOL #0254953 102.4883 369,272.410 374,003.72 378,460.94 0.08% 4,457.22 5.000% 11/01/2018 DD 10/01/03 SEC ID: 31371LE21 FNMA POOL #0254987 102.3361 989,316.580 1,001,992.19 1,012,428.36 0.21% 10,436.17 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31371LF46 FNMA POOL #0323980 105.5313 204,495.940 213,506.54 215,807.12 0.04% 2,300.58 6.000% 04/01/2014 DD 09/01/99 SEC ID: 31374T2MO FNMA POOL #0357328 102.3580 31,747.720 32,700.15 32,496.33 0 .01% -203.82 5.000% 01/01/2018 DD 01/01/03 SEC ID: 31376J4M8 2/6/2004 1:42:04PM PST 5 Workbench ® Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2 &n,;r&2 F 72 /, ri~r~ ':7. 1/31/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0357430 102.3320 1,586,486.620 1,604,334.60 1,623,483.96 0.34% 19,149.36 5.000% 09/01/2018 DD 09/01/03 SEC ID: 31376KA71 FNMA POOL #0456482 105.5313 61,362.450 64,066.23 64,756.56 0.01% 690.33 6.000% 02/01/2014 DD 02/01/99 SEC ID: 31381CCT2 FNMA POOL #0509649 105.5313 175,430.910 183,160.84 185,134.43 0.04% 1,973.59 6.000% 09/01/2014 DD 09/01/99 SEC ID: 31383QEWO FNMA POOL #0535451 105.4063 161,716.770 168,842.42 170,459.58 0.04% 1,617.16 6.000% 06/01/2015 DD 07 /01/00 SEC ID: 31384VZQ8 FNMA POOL #0535672 105.5313 3,498,227.480 3,652,368.14 3,691,723.19 0.77% 39,355.05 6.000% 01/01/2016 DD 12/01/00 SEC ID: 31384WCH1 FNMA POOL #0545296 105.3438 1,148,263.090 1,198,858.43 1,209,623.40 0.25% 10,764.97 6.000% 11/01/2016 DD 10/01/01 SEC ID: 31385HXZO FNMA POOL #0545580 105.3438 96,898.250 101,167.82 102,076.25 0.02% 908.43 6.000% 03/01/2017 DD 03/01/02 SEC ID: 31385JCR7 FNMA POOL #0555101 105.4688 172,129.850 179,714.30 181,543.20 0.04% 1,828.90 6.000% 10/01/2017 DD 11/01/02 SEC ID: 31385WU23 FNMA POOL #0555285 103.9414 776,267.570 807,318.29 806,863.46 0.17% -454.83 6.000% 03/01/2033 DD 02/01/03 SEC ID: 31385W2S7 FNMA POOL #0555363 102.3320 380,738.810 392,160.97 389,617.75 0.08% -2,543.22 5.000% 04/01/2018 DD 03/01/03 SEC ID: 31385W5Yl FNMA POOL #0555453 102.4570 38,998.310 39,497.98 39,956.51 0.01% 458.53 5.000% 05/01/2018 DD 04/01/03 SEC ID: 31385XBW6 FNMA POOL #0555545 102.3320 317,525.090 327,050.85 324,929.87 0.07% -2,120.98 5.000% 06/01/2018 DD 05/01/03 SEC ID: 31385XES2 FNMA POOL #0555621 102.3361 1,102,850.900 1,115,257.97 1,128,615.00 0.24% 13,357.03 5.000% 07/01/2018 DD 06/01/03 SEC ID: 31385XG68 FNMA POOL #0576386 105.1370 64,663.420 67,512.65 67,985.19 0.01% 472.54 6.000% 05/01/2016 DD 05/01/01 SEC ID: 31386XJ72 2/6/2004 1:42:04PM PST 6 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2 &C'"r:&21 7 2 /, C1 7 7" 7 1/31/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0576739 105.3438 173,931.370 181,595.22 183,225.83 0.04% 1,630.61 6.000% 04/01/2016 DD 04/01/01 SEC ID: 31386:XV86 FNMA POOL #0580888 105.5938 230,571.900 240,731.47 243,469.52 0.05% 2,738.05 6.000% 05/01/2016 DD 05/01/01 SEC ID: 31387DJ91 FNMA POOL #0594002 105.3438 184,126.550 192,239.62 193,965.81 0.04% 1,726.19 6.000% 07/01/2016 DD 07 /01/01 SEC ID: 31387T3K8 FNMA POOL #0597376 105.3438 234,957.840 245,310.67 247,513.40 0.05% 2,202.73 6.000% 09/01/2016 DD 08/01/01 SEC ID: 31387XT96 FNMA POOL #0605259 105.3438 157,839.890 164,794.71 166,274.46 0.03% 1,479.75 6.000% 09/01/2016 DD 09/01/01 SEC ID: 31388HMG1 FNMA POOL #0608366 105.3438 102,674.040 107,198.12 108,160.68 0.02% 962.56 6.000% 10/01/2016 DD 09/01/01 SEC ID: 31388LZ78 FNMA POOL #0616734 105.6563 169,865.390 177,350.08 179,473.40 0.04% 2,123.32 6.000% 12/01/2016 DD 12/01/01 SEC ID: 31388WEF9 FNMA POOL #0630812 105.1587 188,081.650 196,369.00 197,784.14 0.04% 1,415.14 6.000% 02/01/2017 DD 02/01/02 SEC ID: 31389NYH2 FNMA POOL #0632376 105.4688 826,323.450 862,733.34 871,513.01 0.18% 8,779.67 6.000% 07/01/2017 DD 07 /01/02 SEC ID: 31389QQ50 FNMA POOL #0653116 105.4688 472,082.110 492,883.23 497,899.10 0.10% 5,015.87 6.000% 07/01/2017 DD 07 /01/02 SEC ID: 31390QSD8 FNMA POOL #0673280 105.4688 188,315.610 196,613.27 198,614.12 0.04% 2,000.85 6.000% 08/01/2017 DD 11/01/02 SEC ID: 31391P6R2 FNMA POOL #0681309 102.3320 570,407.770 587,520.00 583,709.85 0.12% -3,810.15 5.000% 02/01/2018 DD 02/01/03 SEC ID: 31391Y3S4 FNMA POOL #0681334 102.3320 71,351.970 73,492.52 73,015.92 0.02% -476.60 5.000% 02/01/2018 DD 01/01/03 SEC ID: 31391Y4Tl FNMA POOL #0684908 102.4570 352,619.460 357,137.40 361,283.43 0.08% 4,146.03 5.000% 06/01/2018 DD 05/01/03 SEC ID: 31400D3Rl 2/6/2004 1:42:04PM PST 7 Workbench ® Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2&orn&21•2 /,•77•• 1/31/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0685200 102.3320 204,992.460 207,618.93 209,772.95 0.04% 2,154.02 5.000% 03/01/2018 DD 03/01/03 SEC ID: 31400EGH7 FNMA POOL #0685665 102.3320 36,400.740 37,492.77 37,249.62 0.01% -243.15 5.000% 02/01/2018 DD 02/01/03 SEC ID: 31400EW22 FNMA POOL #0686318 102.3320 313,562.630 322,969.51 320,875.00 0.07% -2,094.51 5.000% 03/01/2018 DD 03/01/03 SEC ID: 3 l 400FPB7 FNMA POOL #0688739 102.3320 123,443.250 127,146.55 126,321.98 0.03% -824.57 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31400JEL9 FNMA POOL #0689859 102.4883 126,8.63.830 128,489.27 130,020.56 0.03% 1,531.29 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31400KMG8 FNMA POOL #0693834 102.3320 738,363.940 760,514.86 755,582.81 0.16% -4,932.05 5.000% 03/01/2018 DD 03/01/03 SEC ID: 31400PY74 FNMA POOL #0695852 102.3320 269,944.760 278,043.10 276,239.95 0.06% -1,803.15 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31400SBV0 FNMA POOL #0695889 102.3320 835,544.300 860,610.62 855,029.44 0.18% -5,581.18 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31400SC23 FNMA POOL #0697026 102.3320 26,423.100 27,215.81 27,039.29 0.01% -176.52 5.000% 05/01/2018 DD 04/01/03 SEC ID: 31400TLF2 FNMA POOL #0698939 105.5938 91,476.220 95,506.89 96,593.17 0.02% 1,086.28 6.000% 09/01/2017 DD 03/01/03 SEC ID: 31400VPY2 FNMA POOL #0702210 102.3361 276,563.580 284,860.49 283,024.48 0.06% -1,836.01 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31401ADP9 FNMA POOL #0702328 102.3320 148,219.750 150,118.82 151,676.28 0.03% 1,557.46 5.000% 05/01/2018 DD 04/01/03 SEC ID: 31401AHD2 FNMA POOL #0703195 105.6563 78,952.240 82,431.08 83,417.98 0.02% 986.90 6.000% 01/01/2017 DD 04/01/03 SEC ID: 31401BGC3 FNMA POOL #0709148 102.3320 299,062.580 308,034.46 306,036.81 0.06% -1,997.65 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401HZM7 2/6/2004 1:42:04PM PST 8 • Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2 &n.':'~ 172 /, !7'J7'7 ''J 1/31/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0709360 102.4883 696,034.890 704,952.84 713,354.19 0.15% 8,401.35 5.000% 07/01/2018 DD 06/01/03 SEC ID: 31401JB56 FNMA POOL #0709826 102.3320 142,521.390 144,347.44 145,845.03 0.03% 1,497.59 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401JSP4 FNMA POOL #0709917 102.3320 263,009.670 266,379.48 269,143.13 0.06% 2,763.65 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401JVJ4 FNMA POOL #0709963 102.3361 26,627.700 26,968.87 27,249.76 0.01% 280.89 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401JWYO FNMA POOL #0710235 102.3320 796,757.690 820,660.43 815,338.32 0.17% -5,322.11 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401KBC8 FNMA POOL #0713344 102.3320 25,686.210 26,456.79 26,285.22 0.01% -171.57 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401NP52 FNMA POOL #0713365 102.3320 335,257.930 339,553.42 343,076.25 0.07% 3,522.83 5.000% 07/01/2018 DD 07 /01/03 SEC ID: 31401NQS1 FNMA POOL #0720319 102.3320 973,922.840 986,401.22 996,635.01 0.21% 10,233.79 5.000% 07/01/2018 DD 07 /01/03 SEC ID: 31401WG45 FNMA POOL #0720369 102.3361 2 .428,707.380 2,501,568.60 2,485,445.29 0.52% -16,123.31 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401WJNO FNMA POOL #0721629 102.4883 312,634.840 322,013.89 320,414.07 0.07% -1,599.82 5.000% 07/01/2018 DD 06/01/03 SECID:31401XVW4 FNMA POOL #0723487 102.3320 252,251.280 255,089.11 258,133.86 0.05% 3,044.75 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31402AXQ4 FNMA POOL #0729601 102.4883 426,364.820 431,827.62 436,973.97 0.09% 5,146.35 5.000% 07/01/2018 DD 07 /01/03 SEC ID: 31402HRW3 FNMA POOL #0732873 102.6133 36,444.570 36,911.51 37,396.97 0.01% 485.46 5.000% 11/01/2018 DD 10/01/03 SEC ID: 31402MFNS FNMA POOL #0737130 102.4883 747,867.910 757,449.96 766,476.96 0.16% 9,027.00 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402S4P9 2/6/2004 1:42:04PM PST 9 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2 &D•l&2 1 •2 /, ••7 • • 1/31/2004 Status; FINAL Net UD!'ealized· Price Cost Market Value %of Gain/LoBB Description Base Shares Par Base Base Total Base FNMA POOL #0738211 102.3361 590,349.370 597,913.23 604,140.73 0.13% 6,227.50 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402UDQ2 FNMA POOL #0738487 102.3320 224,140.140 227,011.93 229,367.16 0.05% 2,355.23 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402UNC2 FNMA POOL #0740471 102.3361 697,632.820 706,571.23 713,930.47 0.15% 7,359.24 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402WT40 FNMA POOL #0740748 102.3320 827,537.730 838,140.55 846,836.16 0.18% 8,695.61 5.000% 10/01/2018 DD 11/01/03 SEC ID: 31402W5H7 FNMA POOL #0743868 102.3361 44,604.140 45,175.63 45,646.15 0.01% 470.52 5.000% 11/01/2018 DD 10/01/03 SEC ID: 31403BMR1 FNMA POOL #0744008 102.3320 1,148,016.500 1,162,725.46 1,174,788.59 0.24% 12,063.13 5.000% 07/01/2018 DD 09/01/03 SEC ID: 31403BR54 FNMA POOL #0744316 102.3361 172,719.450 174,932.42 176,754.41 0 .04% 1,821.99 5.000% 09/01/2018 DD 09/01/03 SEC ID: 31403B324 FNMA POOL #0747914 102.3320 361,547.490 366,179.82 369,978.89 0.08% 3,799.07 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403F3XO FNMA POOL #0748400 102.3361 243,351.270 246,469.22 249,036.29 0.05% 2,567.07 5.000% 08/01/2018 DD 09/01/03 SEC ID : 31403GNR9 FNMA POOL #0748899 102.3934 1,034,427.410 1,047,681.01 1,059,185.42 0.22% 11,504.41 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31403G7LO FNMA POOL #0750377 102.3934 2,539,874.780 2,572,416.92 2,600,664.19 0.54% 28,247.27 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403JUA2 FNMA POOL #0750380 102.3934 2,129,602.890 2,156,888.44 2,180,572.85 0.45% 23,684.41 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403JUD6 FNMA POOL #0750445 102.3934 193,323.000 195,799.95 197,950.00 0.04% 2,150.05 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403JWE2 FNMA POOL #0751960 102.3361 907,869.350 919,501.43 929,078.41 0.19% 9,576.98 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31403LMH1 2/6/2004 1:42:04PM PST 10 Workbench @ Asset Detail Report ID: GL8013" Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2 &ririr-&2 l ':72 /, riri7J ::7 1/31/2004 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0753425 102.3320 991,394.120 1,002,857.11 1,014,513.73 0.21% 11,656.62 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403NA23 FNMA POOL #0755165 102.4883 647,108.540 655,399.61 663,210.41 0.14% 7,810.80 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31403Q6A3 FNMA POOL #0756372 102.4883 991,702.320 1,003,168.87 1,016,378.65 0.21% 13,209.78 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403SJR8 FORD MOTOR CR CO NT 105.0000 1,000,0100.000 965,170.00 1,050,000.00 0.22% 84,830.00 6.750% 05/15/2005 DD 05/24/93 SEC ID: 345397GV9 FORD MTR CR CO GLOBAL 102.1560 2 ,500,0100.000 2,495,900.00 2,553,900.00 0.53% 58,000.00 LANDMARK 6.700% 07/16/2004 DD 07 / 16/99 SEC ID: 345397SJ3 GNMA POOL #0596612 105.7852 298,575.300 313,364.10 315,848.36 0.07% 2,484.26 6.500% 09/15/2032 DD 09/01/02 SEC ID: 36200BYH4 GNMA POOL #0569358 105.4652 1,169,942.540 1,197,363.07 1,233,882.53 0.26% 36,519.46 6.500% 04/15/2032 DD 04/01/02 SEC ID: 36200QQK3 GNMA POOL #0569685 105.8164 49,792.150 52,258.41 52,688.27 0.01% 429.86 6.500% 02/15/2032 DD 02/01/02 SEC ID: 36200Q2S2 GNMA POOL #0570019 105.8164 86,245.920 90,517.79 91,262.34 0.02% 744.55 6.500% 07/15/2032 DD 07 /01/02 SEC ID: 36200RG48 GNMA POOL #0574323 105.8164 494,313.090 518,797.04 523,064.37 0.11% 4,267.33 6.500% 12/15/2031 DD 12/01/01 SEC ID: 36200WAY7 GNMA POOL #0575364 105.8164 52,644.830 55,252.39 55,706.87 0 .01% 454.48 6.500% 11/15/2031 DD 11/01/01 SEC ID : 36200XFD6 GNMA POOL#0587117 105.8164 20,877.540 21,911.63 22,091.86 0.00% 180.23 6.500% 06/15/2032 DD 06/01/02 SEC ID: 36201MG22 GNMA POOL #0587439 105.7852 59,744.810 62,704.04 63,201.14 0.01% 497.10 6.500% 11/15/2032 DD 12/01/02 SEC ID : 36201MS45 GNMA POOL #0421389 106.1602 14,543.720 15,264.10 15,439.64 0.00% 175.54 6.500% 04/15/2026 DD 04/01/96 SEC ID: 36206UC23 2/6/2004 1:42:04PM PST 11 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2 &n"f&2 1 n2 /, C''.:7'.1 '.: 1/31/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base GNMA POOL #0438057 104.7852 18,607.220 17,662.33 19,497.61 0.00% 1,835.28 6.000% 05/15/2028 DD 05/01/98 SEC ID: 36207PTN9 GNMA POOL #0449851 105,5710 22,8:97.800 24,031.96 24,173.44 0.01% 141.48 6.500% 01/15/2028 DD 01/01/98 SEC ID: 36208FWLO GNMA POOL #0457814 104.7227 36,944.460 35,068.36 38,689.22 0.01% 3,620.86 6.000% 10/15/2028 DD 10/01/98 SEC ID: 36208QSB3 GNMA POOL #0465546 104.7227 458,238.470 434,968.55 479,879.51 0.10% 44,910.96 6.000% 08/15/2028 DD 08/01/98 SEC ID: 36209AET3 GNMA POOL #0465555 104.7227 493,489.570 468,429.56 516,795.40 0.11% 48,365.84 6.000% 09/15/2028 DD 09/01/98 SEC ID: 36209AE48 GNMA POOL #0466845 106.0352 67,274.690 70,606.89 71,334.83 0.01% 727.94 6.500% 06/15/2028 DD 06/01/98 SEC ID: 36209BTA6 GNMA POOL #0467279 104.7227 20,617.140 19,570.18 21,590.82 0.00% 2,020.64 6.000% 10/15/2028 DD 10/01/98 SEC ID: 36209CCQ7 GNMA POOL #0467286 104.7227 397,524.450 377,337.66 416,298.18 0.09% 38,960.52 6.000% 10/15/2028 DD 10/01/98 SEC ID: 36209CCX2 GNMA POOL #0468052 106.0352 113,362.740 118,977.74 120,204.36 0.03% 1,226.62 6.500% 07/15/2028 DD 07 /01/98 SEC ID: 36209C5M4 GNMA POOL #0468330 104.7227 18,836.700 17,880.13 19,726.29 0.00% 1,846.16 6.000% 05/15/2028 DD 05/01/98 SEC ID: 36209DHF4 GNMA POOL #0468339 104.7227 304,340.620 288,885.84 318,713.59 0.07% 29,827.75 6.000% 08/15/2028 DD 08/01/98 SEC ID: 36209DHQO GNMA POOL #0469688 104.7227 15,442.660 14,658.45 16,171.96 0.00% 1,513.51 6.000% 11/15/2028 DD 11/01/98 SEC ID: 36209EXR8 GNMA POOL #0476041 106.0352 185,221.570 194,106.42 196,399.99 0.04% 2,293.57 6.500% 06/15/2028 DD 06/01/98 SEC ID: 36209MZE7 GNMA POOL #0478626 105.9414 164,0{i8.790 171,938.97 173,816.79 0.04% 1,877.82 6.500% 01/15/2029 DD 01/01/99 SEC ID: 36209QVT9 2/6/2004 1:42:04PM PST 12 Workbench @ Asset Detail Report ID: GL8013- Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2&0Cr&2 El2 /, 007• J 1/31/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base GNMA POOL #0480598 106.0352 122,999.510 128,899.65 130,422.73 0.03% 1,523.08 6.500% 10/15/2028 DD 10/01/98 SEC ID: 36209S3F6 GNMA POOL #0483452 104.7227 13,171.180 12,502.34 13,793.21 0.00% 1,290.87 6.000% 09/15/2028 DD 09/01/98 SEC ID: 36209WBV3 GNMA POOL #0485527 105.8164 435,166.850 456,721.21 460,477.94 0.10% 3,756.73 6.500% 06/15/2031 DD 06/01/01 SEC ID: 36209YLG1 GNMA POOL #0485610 105.8164 490,736.100 515,042.87 519,279.32 0.11% 4,236.45 6.500% 07/15/2031 DD 07 /01/01 SEC ID: 36209YN38 GNMA POOL #0485682 105.8164 97,203.300 102,017.90 102,857.04 0.02% 839.14 6.500% 08/15/2031 DD 08/01/01 SEC ID: 36209YRB6 GNMA POOL #0485703 105.8164 88,984.950 93,392.49 94,160.68 0.02% 768.19 6.500% 08/15/2031 DD 08/01/01 SEC ID: 36209YRY6 GNMA POOL #0486720 104.7227 12,077.300 11,464.01 12,647.67 0.00% 1,183.66 6.000% 12/15/2028 DD 12/01/98 SEC ID : 36210AVM6 GNMA POOL #0491103 104.7227 105,963.240 100,582.31 110,967.52 0.02% 10,385.21 6.000% 01/15/2029 DD 01/01/99 SEC ID: 36210FRY4 GNMA POOL #0496461 104.7227 410,770.390 389,910.95 430,169.68 0.09% 40,258.73 6.000% 01/15/2029 DD 01/01/99 SEC ID: 36210MQN4 GNMA POOL #0497343 104.7227 22,500.340 21,357.75 23,562.95 0.00% 2,205.20 6.000% 12/15/2028 DD 12/01/98 SEC ID: 36210NP45 GNMA POOL #0499153 104.7227 12,651.900 12,009.42 13,249.41 0.00% 1,239.99 6.000% 02/15/2029 DD 02/01/99 SEC ID: 36210QQE5 GNMA POOL #0500917 104.7227 7,316.300 6,944.76 7,661.82 0.00% 717.06 6.000% 04/15/2029 DD 04/01/99 SEC ID: 36210SPA0 GNMA POOL #0503388 104.7227 311,751.240 295,920.12 326,474.19 0.07% 30,554.07 6.000% 03/15/2029 DD 03/01/99 SEC ID: 362 lOVFSS GNMA POOL #0506636 104.7227 35,337.840 33,543.33 37,006.73 0.01% 3,463.40 6.000% 04/15/2029 DD 04/01/99 SEC ID: 36210YY90 2/6/2004 1:42:04PM PST 13 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2 &C'"!.&2 E'2 /, 17 '::'7 '.J '.J 1/31/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base GNMA POOL #0512235 105.9414 10,919.140 11,459.97 11,567.89 0.00% 107.92 6.500% 11/15/2029 DD 11/01/99 SEC ID: 36211GBC6 GNMA POOL #0514326 105.9414 149,132.180 156,285.86 157,992.73 0.03% 1,706.87 6.500% 07/15/2029 DD 07 /01/99 SEC ID: 36211JLF2 GNMA POOL #0530053 105.4491 48,117.930 50,501.28 50,739.95 0.01% 238.67 6.500% 04/15/2031 DD 04/01/01 SEC ID: 36212CZS3 GNMA POOL #0537885 105.8164 104,930.700 110,128.04 111,033.90 0.02% 905.86 6.500% 02/15/2031 DD 02/01/01 SEC ID: 36212MRE1 GNMA POOL #0547512 105.8164 12,796.480 13,430.31 13,540.78 0.00% 110.47 6.500% 04/15/2031 DD 04/01/01 SEC ID: 36212YGV9 GNMA POOL #0547715 105.8164 128,171.500 134,319.73 135,626.48 0.03% 1,306.75 6.500% 02/15/2031 DD 02/01/01 SEC ID: 36212YN82 GNMA POOL #0552322 105.8164 73,114.910 76,736.38 77,367.57 0.02% 631.19 6.500% 01/15/2032 DD 01/01/02 SEC ID: 36213ESK3 GNMA POOL #0552466 105.4652 539,265.430 565,975.93 568,737.50 0.12% 2,761.57 6.500% 03/15/2032 DD 03/01/02 SEC ID: 36213EW36 GNMA POOL #0552659 105.8164 437,113.670 458,764.44 462,537.99 0.10% 3,773.55 6.500% 07/15/2032 DD 07 /01/02 SEC ID: 36213E5U6 GNMA POOL #0561017 105.8164 437,479.710 459,148.62 462,925.32 0.10% 3,776.70 6.500% 07/15/2031 DD 07 /01/01 SEC ID: 36213QG29 GNMA II POOL #0080023 102.5163 221,394.240 225,061.08 226,965.07 0.05% 1,903.99 VAR RT 12/20/2026 DD 12/01/96 SEC ID: 36225CAZ9 GNMA II POOL #080088M 101.5530 327,492.790 334,656.69 332,578.75 0.07% -2,077.94 7.375% 06/20/2027 DD 06/01/97 SEC ID: 36225CC20 GNMA II POOL #0080395 101.4494 268,2:85. 730 265,854.39 272,174.13 0.06% 6,319.74 VAR RT 04/20/2030 DD 04/01/00 SEC ID: 36225CNM4 GNMA II POOL #080408X 101.4501 2,393,819.270 2,369,507.04 2,428,530.85 0.51% 59,023.81 6.500% 05/20/2030 DD 05/01/00 SEC ID: 36225CN28 2/6/2004 1:42:04PM PST 14 Workbench . @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2 &""'&2 F 12 /, nn7n r:1. 1/31/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base GENERAL ELEC CAP MTN #TR 00448 101.5000 180,000.000 183,801.60 182,700.00 0.04% -1, 101.60 7.250% 05/03/2004 DD 05/01/00 SEC ID: 36962GUR3 GENERAL ELEC CAP MTN #TR 00545 100.0620 1 ,000,000.000 1,001,089.00 1,000,620.00 0.21% -469.00 VAR RT 05/20/2004 DD 05/20/02 SEC ID: 36962GYS7 GENERAL ELEC CAP MTN #TR 00575 105.1560 5,000,000.000 5,203,500.00 5,257,800.00 1.10% 54,300.00 5.450% 01/15/2013 DD 12/06/02 SEC ID: 36962GZY3 GENERAL MTRS ACCEP CORP SR NT 106.5780 3 ,000,ClOO.OOO 3,064,350.00 3,197,340.00 0.67% 132,990.00 6.125% 08/28/2007 DD 08/29/02 SEC ID: 370425SD3 GOLDMAN SACHS GROUP INC SR NT 102.8430 3 ,000,0100.000 3,030,030.00 3,085,290.00 0.64% 55,260.00 4.125% 01/15/2008 DD 01/13/03 SEC ID: 38141GCS1 GNMA GTD REMIC TR 2000-9 FH 100.6040 699,738.880 699,738.88 703,965.30 0.15% 4,226.42 VAR RT 02/16/2030 SEC ID: 3837H4NX9 HOUSEHOLD FIN CORP NT 111.3430 1 ,635,000.000 1,772,820.00 1,820,458.05 0.38% 47,638.05 6.375% 10/15/2011 DD 10/23/01 SEC ID: 441812JW5 JP MORGAN CHASE & CO SUB NT 107.1090 3 ,000,0·00.000 3,127,260.00 3,213,270.00 0.67% 86,010.00 5.750% 01/02/2013 DD 11/25/02 SEC ID: 46625HAT7 LEHMAN BROS HLDGS INC 100.8750 1,,000,0•00.000 1,045,590.00 1,008,750.00 0.21% -36,840.00 6.625% 04/01/2004 DD 03/26/99 SEC ID: 524908BZ2 MARSH & MCLENNAN COS INC SR NT 101.9210 2,,000,0,00.000 1,992,280.00 2,038,420.00 0.42% 46,140.00 6.625% 06/15/2004 DD 06/14/99 SEC ID: 571748AB8 MORGAN STANLEY NT 100.5620 3, 200,0•00.000 3,195,648.00 3,217,984.00 0.67% 22,336.00 3.625% 04/01/2008 DD 03/06/03 SEC ID: 617446HW2 NCNB TEX NATL BK DALLAS TEX NT 102.6090 250,01()0.000 260,870.00 256,522.50 0.05% -4,347.50 9.500% 06/01/2004 DD 06/01/89 SEC ID: 628857DJO NATIONAL RURAL UTILS COOP FIN 117.5620 3, 000,0IOO.OOO 3,465,480.00 3,526,860.00 0.74% 61,380.00 7.250% 03/01/2012 DD 03/07 /02 SEC ID: 637432CU7 NATIONSBANK CORP SR NTS 102.1560 627,000.000 646,650.18 640,518.12 0.13% -6,132.06 6.125% 07/15/2004 DD 07 /23/98 SEC ID: 638585BJ7 2/6/2004 l:42:04PM PST 15 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: 2&rJIJr&2 l J2/ ,••7•• 1/31/2004 Status: FINAL Net Umealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base NORWEST FINL INC NTS 100.9370 520,0>00.000 531,538.80 524,872.40 0.11% -6,666.40 7.200% 04/01/2004 DD 04/07 /97 SEC ID: 669383DG3 PACIFICORP SECD MTN #TR 00115 103.9840 3 ,000,0•00.000 2,950,530.00 3,119,520.00 0.65% 168,990.00 7.300% 10/22/2004 DD 10/22/92 SEC ID: 695 l 2EEU5 PHILIP MORRIS COS INC NTS 101.0930 1 ,000,0100.000 1,052,600.00 1,010,930.00 0.21% -41,670.00 7.500% 04/01/2004 DD 04/01/97 SEC ID : 718154CH8 RESIDENTIAL ASSET 03-RSl 1 AIIB 99.8750 984,5-05.700 984,505.70 983,275.07 0 .20% -1,230.63 VAR RT 12/25/2033 DD 12/30/03 SEC ID: 760985K83 SBA GTD DEV PARTN 2001-20C 1 108.4650 3,497,276.280 3,497,276.28 3,793,320.72 0.79% 296,044.44 6.340% 03/01/2021 SEC ID: 83162CLJO SBA GTD PARTN CTFS SBIC-PS 01 107.0200 2,425,788.580 2,425,788.58 2,596,078.94 0.54% 170,290.36 6.640% 02/10/2011 DD 02/21/01 SEC ID: 831641DD4 UNITED AIRLS PASSTHRU 01-1 C 18.1050 1,600,0,00.000 1,600,000.00 289,680.00 0.06% -1,310,320.00 6.831% 03/01/2010 DD 08/22/01 SEC ID: 9093 l 7BC2 US BANCORP MTN #TR 00119 101.3280 1 ,000,0·00.000 1,046,310.00 1,013,280.00 0.21% -33,030.00 6.000% 05/15/2004 DD 05/10/99 SEC ID: 91159HEY2 U S TREASURY NOTES 111.3750 20 ,,000,0·00.000 22,620,312.50 22,275,000.00 4.64% -345,312.50 06.250% 02/15/2007 DD 02/ 15/97 SEC ID: 9128272JO US TREASURY INFLATION INDEX NT 108.8440 16,304,540.000 14,384,422.02 17,746,513.52 3.70% 3,362,091.50 3.375% 01/15/2007 DD 01/15/97 SEC ID: 9128272M3 US TREASURY INFLATION INDEX NT 111.2815 3,,426,3 90.000 3,736,244.03 3,812,938.19 0 .79% 76,694.16 3.625% 01/15/2008 DD 01/15/98 SEC ID: 9128273T7 US TREASURY INFLATION INDEX NT 113.9065 14,626,300.000 16,253,511.35 16,660,306.41 3.47% 406,795.06 3.875% 01/15/2009 DD 01/15/99 SEC ID: 9128274Y5 U S TREASURY NOTES 107.1250 57,, 100,0·00.000 62,782,901.47 61,168,375.00 12.75% -1,614,526.47 05.750% 11/15/2005 DD 11/15/00 SEC ID: 9128276N7 U S TREASURY NT 101.0300 12,,000,0·00.000 11,870,156.25 12,123,600.00 2.53% 253,443.75 3.250% 08/15/2008 DD 08/15/03 SEC ID: 912828BG4 2/6/2004 1:42:04PM PST 16 Wor-lcbench @ Mellon 2&~~'&210 2 / ,007•• Description VERIZON GLOBAL FDG CORP GLOBAL 7.375% 09/01/2012 DD 08/26/02 SEC ID: 92344GAT3 VIRGINIA ELEC & PWR O 1 SER A 5.750% 03/31/2006 DD 03/27 /01 SEC ID: 927804ENO WELLS FARGO & CO NEW NT 6.625% 07/15/2004 DD 07 /28 /99 SEC ID: 949746AA9 TOTAL FIXED INCOME SECURITIES TOTAL ASSETS U.S. DOLLAR Price Base 116.5780 106.9680 102.3590 TOT AL ASSETS -BASE: 2/6/2004 1:42:04PM PST Asset Detail by Currency 1/31/2004 Cost Shares Par Base 3,000,000.000 3,530,490.00 1,750,000.000 1,743,840.00 125,0>00.000 128,605.00 289,998,622.940 302,786,255.57 462,121,816.460 475,369,827.74 462,121,816.460 475,369,827.74 17 ReportID: GL8013 Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Net Unrealized Market Value %of Gain/Loss Base Total Base 3,497,340.00 0.73% -33,150.00 1,871,940.00 0.39% 128,100.00 127,948.75 0.03% -656.25 ---307,180,815.98 64.03% 4,394,560.41 479,764,388.15 100.00% 4,394,560.41 479,764,388.15 100.00% 4,394,560.41 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOUDATED -OCSGOO0l00OO 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type DescripUon Reported Date Base Shares/Par Base Base Base PURCHASES CASH & CASH EQUIVALENTS U.S. DOLLAR B DU PONT DE NEMOUR DISC 03/08/2004 1/20/2004 99.8667 4,500,000.000 4,494,000.00 -4,494,000.00 0.00 SEC ID: 26354AC85 1/20/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY 1/20/2004 OCSF07511102: LIQUID OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 1/14/2004 99.7485 900,000.000 897,736.38 -897,736.38 0.00 04/14/2004 1/14/2004 SEC ID: 313384VP1 1/14/2004 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 1/15/2004 99.7513 10,900,000.000 10,872,886.25 -10,872,886.25 0.00 04/14/2004 1/15/2004 SEC ID: 313384VP1 1/15/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07522202: LONG TERM OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 1/28/2004 99.7460 900,000.000 897,713.63 -897,713.63 0.00 04/28/2004 1/28/2004 SEC ID: 313384WD7 1/28/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07522202: LONG TERM OPER-PIMCO B FEDERAL HOME LN MTG CORP DISC MAT 1/15/2004 99.7528 10,000,000.000 9,975,277.78 -9,975,277. 78 0.00 04/13/2004 1/15/2004 SEC ID: 313396VNO 1/15/2004 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PIMCO B FEDERAL HOME LN MTG CORP DISC MAT 1/20/2004 99.7472 1,700,000.000 1,695,702.78 -1,695,702.78 0.00 04/20/2004 1/20/2004 SEC ID: 313396VV2 1/20/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 1 WQrkbench , @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD ocs 0-CONSOLI DATE 0 0[][][2 D 6r-, n••nn1nn 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description . Reported Date Base Shares/Par Base Base Base B FEDERAL HOME LN MTG CORP DISC MAT 1/29/2004 99.7478 1,200,000.000 1,196,974.00 -1, 196,974.00 0.00 04/27/2004 1/29/2004 SEC ID: 313396WC3 1/29/2004 BROKER: MERRILL LYNCH PIERCE FENNER SMITH INC NY OCSF07522202: LONG TERM OPER-PIMCO B GENERAL ELEC CAP DISC 02/24/2004 1/20/2004 99.9018 2,500,000.000 2,497,545.14 -2,497,545.14 0.00 SEC ID: 36959HBQ9 1/20/2004 BROKER: LEHMAN GOVT SECS INC, NY 1/20/2004 OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.990% 01/05/2004 DD 1/2/2004 100.0000 8,400,000.000 8,400,000.00 -8,400,000.00 0.00 01/ 02/04 1/2/2004 SEC ID: 99414P783 1/2/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102 : LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.980% 01/06/2004 DD 1/5/2004 100.0000 8,300,000.000 8,300,000.00 -8,300,000.00 0.00 01/05/04 1/5/2004 SEC ID: 99414R318 1/5/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.950% 01/07/2004 1/6/2004 100.0000 8,400,000.000 8,400,000.00 -8,400,000.00 0.00 DD 01 /06/04 1/6/2004 SEC ID: 99414S423 1/6/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF0751 l 102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.940% 01/08/2004 1/7/2004 100.0000 8,400,000.000 8,400,000.00 -8,400,000.00 0.00 DD 01/07/04 1/7/2004 SEC ID: 99414T884 1/7/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.950% 01/09/2004 DD 1/8/2004 100.0000 8,400,000.000 8,400,000.00 -8,400,000.00 0.00 01/ 08/04 1/8/2004 SEC ID: 994 l 4V673 1/8/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 2/6/2004 1:44:31PM PST 2 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED[][]][2 J 6D DIJD••LJDIJ 1/2/2004 -1/30/2004 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 SUISSEFB REP000.920%01/12/2004 1/9/2004 100.0000 8,400,000.000 8,400,000.00 -8,400,000.00 0.00 DD 01/09/04 1/9/2004 SEC ID: 99414W986 1/9/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.970% 01/13/2004 1/12/2004 100.0000 4,200,000.000 4,200,000.00 -4,200,000.00 0.00 DD 01/12/04 1/12/2004 SEC 10: 994l4X547 1/12/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.970% 01/13/2004 DD 1/12/2004 100.0000 4,200,000.000 4,200,000.00 -4,200,000.00 0.00 01/12/04 1/12/2004 SEC JD: 99414Y396 1/12/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.950% 01/14/2004 DD 1/13/2004 100.0000 9,900,000.000 9,900,000.00 -9,900,000.00 0.00 01 / 13/04-1/13/2004 SEC ID: 994142807 1/13/2004 BROKER: Ll!:HMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.950% 01/15/2004 DD 1/14/2004 100.0000 9,900,000.000 9,900,000.00 -9,900,000.00 0.00 01/ 14/04 1/14/2004 SEC JD: 994158221 1/14/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF0751 l 102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.990% 01/16/2004 DD 1/15/2004 100.0000 9,900,000.000 9,900,000.00 -9,900,000.00 0.00 01/15/04 1/15/2004 SEC ID: 99415C849 1/15/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.970% 01/20/2004 DD 1/16/2004 100.0000 9,900,000.000 9,900,000.00 -9,900,000.00 0.00 01/16/04 1/16/2004 SEC ID: 99415D789 1/16/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 2/6/2004 1:44:31PM PST 3 Workbench . Transaction Detail @ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDJl]][2 D 6• ••ODDO •• 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base B LEHMAN CAT 2 REPO 00.960% 01/21/2004 DD 1/20/2004 100.0000 900,000.000 900,000.00 -900,000.00 0.00 01/20/04 1/20/2004 SEC ID: 99415F677 1/20/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.970% 01/22/2004 1/21/2004 100.0000 8,100,000.000 8,100,000.00 -8, 100,000.00 0.00 DD 01/21/04 1/21/2004 SEC ID: 994150857 1/21/2004 BROKER: CREDLT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.980% 01/23/2004 1/22/2004 100.0000 8,200,000.000 8,200,000.00 -8,200,000.00 0.00 DD 01 /22/04 1/22/2004 SEC ID: 9941SJ547 1/22/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSEFB REPO 00.960%01/26/2004 1/23/2004 100.0000 9,500,000.000 9,500,000.00 -9,500,000.00 0.00 DD 01 /23/04 1/23/2004 SEC ID: 99415J760 1/23/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.980% 01/27/2004 1/26/2004 100.0000 9,500,000.000 9,500,000.00 -9,500,000.00 0.00 DD 01/26/04 1/26/2004 SEC ID: 99415L286 1/26/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.980% 01/28/2004 1/27/2004 100.0000 9,500,000.000 9,500,000.00 -9,500,000.00 0.00 DD 01/27/04 1/27/2004 SEC ID: 99415M763 1/27/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.990% 01/29/2004 1/28/2004 100.0000 9,500,000.000 9,500,000.00 -9,500,000.00 0.00 DD 01/28/04 1/28/2004 SEC rD: 99415P154 1/28/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF0751 l 102: LIQUID OPER-PIMCO 2/6/2004 l:44:31PM PST 4 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLI DATE Dornll2 [] 60 •••••'.][)[] 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Nd Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base B CREDIT SUISSE FB REPO 00.980% 01/30/2004 1/29/2004 100.0000 9,500,000.000 9,500,000.00 -9,500,000.00 0.00 DD 01 /29/0-4-1/29/2004 SEC ID: 99415Q699 1/29/2004 BROKER: CRE DJT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B FIRST BOSTON CORP REPO 00.970% 1/30/2004 100.0000 9,500,000.000 9,500,000.00 -9,500,000.00 0.00 02/02/2004 DD O 1/30 /04 1/30/2004 SEC ID: 99415Tl15 1/30/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B DREYFUS TREASURY CASH MGMT 1/2/2004 1.0000 86,250.250 86,250.25 -86,250.25 0.00 SEC ID: 996085247 1/2/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/2/2004 B DREYFUS TREASURY CASH MGMT 1/2/2004 1.0000 8,402,037.000 8,402,037.00 -8,402,037.00 0.00 SEC ID: 996085247 1/2/2004 OCSF07511102: LIQUID OPER-PIMCO 1/2/2004 B DREYFUS TREASURY CASH MGMT 1/5/2004 1.0000 352.190 352.19 -352.19 0.00 SEC ID: 996085247 1/5/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/5/2004 B DREYFUS TREASURY CASH MGMT 1/6/2004 1.0000 6,686.300 6,686.30 -6,686.30 0.00 SEC ID: 996085247 1/6/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/6/2004 B DREYFUS TREASURY CASH MGMT 1/7/2004 1.0000 221.670 221.67 -221.67 0.00 SEC ID: 996085247 1/7/2004 OCSF07511102: LIQUID OPER-PIMCO 1/7/2004 B DREYFUS TREASURY CASH MGMT 1/8/2004 1.0000 219.330 219.33 -219.33 0.00 SEC ID: 996085247 1/8/2004 OCSF07511102: LIQUID OPER-PIMCO 1/8/2004 B DREYFUS TREASURY CASH MGMT 1/9/2004 1.0000 221.670 221.67 -221.67 0.00 SEC ID: 996085247 1/9/2004 OCSF07511102: LIQUID OPER-PIMCO 1/9/2004 2/6/2004 1:44:31PM PST 5 Workbench Transaction Detail . @ ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCS D-CONSOLIDATE D[TI1f2 '\ 6[7 OLTJ[J[Jf][][J 1/2/2004 -1/30/2004 Status: FINAL TTade Date Tran. Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base B DREYFUS TREASURY CASH MGMT 1/12/2004 1.0000 644.000 644.00 -644.00 0.00 SEC ID: 996085247 1/12/2004 OCSF07511102: LIQUID OPER-PIMCO 1/12/2004 B DREYFUS TREASURY CASH MGMT 1/13/2004 1.0000 1,742.170 1,742.17 -1,742.17 0.00 SEC ID: 996085247 1/13/2004 OCSF07511102: LIQUID OPER-PIMCO 1/13/2004 B DREYFUS TREASURY CASH MGMT 1/14/2004 1.0000 261.250 261.25 -261.25 0.00 SEC ID: 996085247 1/14/2004 OCSF07511102: LIQUID OPER-PIMCO 1/14/2004 B DREYFUS TREASURY CASH MGMT 1/15/2004 1.0000 23,603.760 23,603.76 -23,603.76 0.00 SEC ID: 996085247 1/15/2004 OCSF07511102: LIQUID OPER-PIMCO 1/15/2004 B DREYFUS TREASURY CASH MGMT 1/15/2004 1.0000 1,531,925.820 1,531,925.82 -1,531,925.82 0.00 SEC ID: 996085247 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/15/2004 B DREYFUS TREASURY CASH MGMT 1/16/2004 1.0000 272.250 272.25 -272,25 0.00 SEC ID: 996085247 1/16/2004 OCSF07511102: LIQUID OPER-PIMCO 1/16/2004 B DREYFUS TREASURY CASH MGMT 1/16/2004 1.0000 28,071.920 28,071.92 -28,071.92 0.00 SEC ID: 996085247 1/16/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/16/2004 B DREYFUS TREASURY CASH MGMT 1/20/2004 1.0000 2,010,543.910 2,010,543.91 -2,010,543.91 0.00 SEC ID: 996085247 1/20/2004 OCSF07511102: LIQUID OPER-PIMCO 1/20/2004 B DREYFUS TREASURY CASH MGMT 1/21/2004 1.0000 22.010 22.01 -22.01 0.00 SEC ID: 996085247 1/21/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/21/2004 B DREYFUS TREASURY CASH MGMT 1/22/2004 1.0000 367.740 367.74 -367.74 0.00 SEC ID: 996085247 1/22/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/22/2004 2/6/2004 1:44:31PM PST 6 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLI DATE DJDl.l!:2 D 6n nn•••O•rJ 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Bue B DREYFUS TREASURY CASH MGMT 1/23/2004 1.0000 36,316.800 36,316.80 -36,316.80 0.00 SEC ID: 996085247 1/23/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/23/2004 B DREYFUS TREASURY CASH MGMT 1/23/2004 1.0000 86,673.220 86,673.22 -86,673.22 0.00 SEC ID: 996085247 1/23/2004 OCSF07511102: LIQUID OPER-PIMCO 1/23/2004 B DREYFUS TREASURY CASH MGMT 1/26/2004 1.0000 760.000 760.00 -760.00 0.00 SEC ID: 996085247 1/26/2004 OCSF07511102: LIQUID OPER-PIMCO 1/26/2004 B DREYFUS TREASURY CASH MGMT 1/26/2004 1.0000 846,008.750 846,008.75 -846,008. 75 0.00 SEC ID: 996085247 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/26/2004 B DREYFUS TREASURY CASH MGMT 1/27/2004 1.0000 258.610 258.61 -258.61 0.00 SEC ID: 996085247 1/27/2004 OCSF0751 ll02: LIQUID OPER-PIMCO 1/27/2004 B DREYFUS TREASURY CASH MGMT 1/28/2004 1.0000 258.610 258.61 -258.61 0.00 SEC ID: 996085247 1/28/2004 OCSF07511102: LIQUID OPER-PIMCO 1/28/2004 B DREYFUS TREASURY CASH MGMT 1/29/2004 1.0000 261.250 261.25 -261.25 0.00 SEC ID: 996085247 1/29/2004 OCSF0751 ll02: LIQUID OPER-PIMCO 1/29/2004 B DREYFUS TREASURY CASH MGMT 1/29/2004 1.0000 19,254.070 19,254.07 -19,254.07 0.00 SEC ID: 996085247 1/29/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/29/2004 B DREYFUS TREASURY CASH MGMT 1/30/2004 1.0000 258.610 258.61 -258.61 0.00 SEC ID: 996085247 1/30/2004 OCSF07511102: LIQUID OPER-PIMCO 1/30/2004 B BSDT-LATE MONEY DEPOSIT ACCT 1/30/2004 1.0000 1,000.000 1,000.00 -1,000.00 0.00 SEC ID: 996087094 1/30/2004 OCSF07511102: LIQUID OPER-PIMCO 1/30/2004 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 218,184,493.160 218,112,329.12 -218,112,329.12 0.00 n1~10nn.1. 7 ·44:31PM PST 7 Workbench @ Transaction Detail Report ID: EWB009 . Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DJllITI? • 60 OOt JlllYln• 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Coat Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base TOTAL CASH & CASH EQUIVALENTS BASE: 218,184,493.160 218,112,329.12 -218, 112,329.12 0.00 FIXED INCOME SECURITIES U.S. DOLLAR B COMMIT TO PUR FNMA SF MTG 6.000% 1/7/2004 103.0938 1,000,000.000 1,030,937.50 -1,030,937.50 0.00 02/01/2034 DD 02/01 /04 2/12/2004 SEC ID: 01F060626 1/7/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07522202: LONG TERM OPER-PIMCO B COMMIT TO PUR FNMA SF MTG 6.000% 1/8/2004 103.1875 500,000.000 515,937.50 -515,937.50 0.00 02/01/2034 DD 02/01 /04 2/12/2004 SEC ID: 01F060626 1/8/2004 BROKER: CHASE/GREENWICH CAP, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO B COMMIT TO PUR FNMA SF MTG 6 .000% 1/8/2004 103.2539 1,000,000.000 1,032,539.06 -1,032,539.06 0.00 02/01/2034 DD 02/01 /04 2/12/2004 SEC ID: 01F060626 1/8/2004 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PIMCO B COMMIT TO PUR FNMA SF MTG 6 .000% 1/12/2004 103.6563 500,000.000 518,281.25 -518,281.25 0.00 02/01/2034 DD 02/01 /04 2/12/2004 SEC ID: 01F060626 1/12/2004 BROKER: BEAR STEARNS & c~o INC, NY OCSF07522202: LONGTERM OPER-PIMCO TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: 3,000,000.000 3,097,695.31 -3,097,695.31 0.00 TOTAL FIXED INCOME SECURITIES BASE: 3,000,000.000 3,097,695.31 -3,097,695.31 0.00 TOTAL PURCHASES B-ASE: 221,184,493.160 221,210,024.43 -221,210,024.43 0.00 SALES CASH & CASH EQUIVALENTS U.S. DOLLAR ri I,-I l)(')(),1 1 ·44·11PM PST 8 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED:::rrl!lf"2 fl 6fl n•O[)OOUD 1/2/2004 -1/30/2004 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 00.970% 01/02/2004 1/2/2004 100.0000 -8,400,000.000 -8,400,000.00 8,400,000.00 0.00 DD 12/24/03 1/2/2004 SEC ID: 99414G593 1/2/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.970% 01/02/2004 1/2/2004 100.0000 0.000 0.00 2,037.00 0.00 DD 12/24/03 1/2/2004 SEC ID: 99414G593 1/2/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT2 REPO 00.990%01/05/2004 DD 1/5/2004 100.0000 -8,400,000.000 -8,400,000.00 8,400,000.00 0.00 01/02/04 1/5/2004 SEC ID: 99414P783 1/5/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.990% 01/05/2004 DD 1/5/2004 100.0000 0.000 0.00 693.00 0.00 01/02/04 1/5/2004 SEC ID: 99414P783 1/5/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.980% 01/06/2004 DD 1/6/2004 100.0000 -8,300,000.000 -8,300,000.00 8,300,000.00 0.00 01/05/04 1/6/2004 SEC ID: 99414R318 1/6/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.980% 01/06/2004 DD 1/6/2004 100.0000 0.000 0.00 225.94 0.00 01/05/04 1/6/2004 SEC ID: 99414R318 1/6/2004 BROKER: LERMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.950% 01/07/2004 1/7/2004 100.0000 -8,400,000.000 -8,400,000.00 8,400,000.00 0.00 DD 01 /06/04 1/7/2004 SEC ID: 99414S423 1/7/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO 2/6/2004 1:44:31PM PST 9 Workbench Transaction Detail . . @ ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLfDATE D[][[]2 0 60 •OiJ[][J'J[)[] 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IS CREDIT SUISSE FB REPO 00.950% 01/07/2004 1/7/2004 100.0000 0.000 0.00 221.67 0.00 DD 01 /06/04 1/7/2004 SEClD: 99414S423 1/7/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.940%01/08/2004 1/8/2004 100.0000 -8,400,000.000 -8,400,000.00 8,400,000.00 0.00 DD 01 /07 /04 1/8/2004 SEC ID: 99414T884 1/8/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.940%01/08/2004 1/8/2004 100.0000 0.000 0.00 219.33 0.00 DD 01/07/04 1/8/2004 SEC ID: 99414T884 BROKER: CREDIT SUISSE FIRST BOSTON 1/8/2004 CORP, NY OCSF07511102 : LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.950% 01/09/2004 DD 1/9/2004 100.0000 -8,400,000.000 -8,400,000.00 8,400,000.00 0.00 01/08/04 1/9/2004 SEC ID: 99414¥673 1/9/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.950% 01/09/2004 DD 1/9/2004 100.0000 0.000 0.00 221.67 0.00 01/08/04 1/9/2004 SEC ID: 99414¥673 1/9/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.920% 01/12/2004 1/12/2004 100.0000 -8,400,000.000 -8,400,000.00 8,400,000.00 0.00 DD 01/09/04 1/12/2004 SEC ID: 99414W986 1/12/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.920%01/12/2004 1/12/2004 100.0000 0.000 0.00 644.00 0.00 DD 01 /09/04 1/12/2004 SEC ID: 99414W986 1/12/2004 BROKER: CREDLT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO 2/6/2004 1:44:31PM PST 10 Workbench @ Transaction Detail ReportID: EWB009 Me-lion Reported by Transaction Category Base Currency: USD OCS D-CONSOLI DATE DJIF.!l.2 • 60 •••••••• 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Re ported Date Base Shares/Par Base Base Base s CREDIT SUISSE FB REPO 00.970% 01/13/2004 1/13/2004 100.0000 -4,200,000.000 -4,200,000.00 4,200,000.00 0.00 DD 01/ 12/04 1/13/2004 SEC ID: 99414X547 BROKER: CREDIT SUISSE FIRST BOSTON 1/13/2004 CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.970% 01/13/2004 1/13/2004 100.0000 0.000 0.00 113.17 0.00 DD 01/12/04 1/13/2004 SEC ID: 99414X547 1/13/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.970% 01/13/2004 DD 1/13/2004 100.0000 -4,200,000.000 -4,200,000.00 4,200,000.00 0.00 01/ 12/04 1/13/2004 SEC ID: 99414Y396 1/13/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.970% 01/13/2004 DD 1/13/2004 100.0000 0.000 0.00 113.17 o_oo 01/12/04 1/13/2004 SEC ID: 99414Y396 1/13/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.950% 01/14/2004 DD 1/14/2004 100.0000 -9,900,000.000 -9,900,000.00 9,900,000.00 0.00 01/13/04 1/14/2004 SEC ID: 994142807 1/14/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.950% 01/14/2004 DD 1/14/2004 100.0000 0,000 0.00 261.25 0.00 0L/13/04 1/14/2004 SEC JD: 994142807 1/14/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.950% 01/15/2004 DD 1/15/2004 100.0000 -9,900,000.000 -9,900,000.00 9,900,000.00 0.00 01/ 14/04 1/15/2004 SEC ID: 99415822 1 1/15/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 2/6/2004 1:44:31PM PST 11 ~orkbenc/1. @ Transaction Detail Report ID: EWB009 . Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE D'.Il."2 CJ 6U ••Cl[l•7f ID 1/2/2004 -1/30/2004 Status: FINAL Trade .Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IS LEHMAN CAT 2 REPO 00.950% 01/15/2004 DD 1/15/2004 100.0000 0.000 0.00 261.25 0.00 01/14/04 1/15/2004 SEC ID: 99415822 l 1/15/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.990% 01/16/2004 DD 1/16/2004 100.0000 -9,900,000.000 -9,900,000.00 9,900,000.00 0.00 01/ 15/04 1/16/2004 SEC ID: 99415C849 1/16/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102 : LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.990% 01/16/2004 DD 1/16/2004 100.0000 0.000 0.00 272.25 0.00 01/15/04 1/16/2004 SEC ID: 99415C849 1/16/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.970% 01/20/2004 DD 1/20/2004 100.0000 -9,900,000.000 -9,900,000.00 9,900,000.00 0.00 01/16/04 1/20/2004 SEC ID: 99415D789 1/20/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102 : LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.970% 01/20/2004 DD 1/20/2004 100.0000 0.000 0.00 1,067.00 0.00 01/ 16/04 1/20/2004 SEC lD: 994 15D789 1/20/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102 : LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.960% 01/21/2004 DD 1/21/2004 100.0000 -900,000.000 -900,000.00 900,000.00 0.00 01/20/04 1/21/2004 SEC ID: 99415F677 1/21/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.960% 01/21/2004 DD 1/21/2004 100.0000 0.000 0.00 24.00 0.00 01/20/04 1/21/2004 SEC lD: 99415F677 1/21/2004 BROKE:R: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.970%01/22/2004 1/22/2004 100.0000 -8, 100,000.000 -8,100,000.00 8,100,000.00 0.00 DD 01/21/04 1/22/2004 SEC ID: 994150857 1/22/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO ?./f,/2004 1:44:31PM PST 12 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCS D-CONSOLIDATEDCill['/2 n 6tl 1J170[JO '.J[IIJ 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IS CREDIT SUISSE FB REPO 00.970% 01/22/2004 1/22/2004 100.0000 0.000 0.00 218.25 0.00 DD 01 /21/04 1/22/2004 SEC lD: 994150857 1/22/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.980% 01/23/2004 1/23/2004 100.0000 -8,200,000.000 -8,200,000.00 8,200,000.00 0.00 DD 01/22/04 1/23/2004 SEC ID: 99415J547 1/23/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE E'B REPO 00,980% 01/23/2004 1/23/2004 100.0000 0.000 0.00 223.22 0.00 DD 01 /22/04 1/23/2004 SEC ro: 99415J547 1/23/2004 BROKER: CRE DJT SUISSE RJRST BOSTON CORP, NY OCSF07511102 : LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.960% 01/26/2004 1/26/2004 100.0000 -9,500,000.000 -9,500,000.00 9,500,000.00 0.00 DD 01 /23/04 1/26/2004 SEC ID: 99415J760 1/26/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF0751 ll02: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.960%01/26/2004 1/26/2004 100.0000 0.000 0.00 760.00 0.00 DD 01/23/04 1/26/2004 SEC ID: 99415J760 1/26/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.980% 01/27/2004 1/27/2004 100.0000 -9,500,000.000 -9,500,000.00 9,500,000.00 0.00 DD 01 /26/04 1/27/2004 SEC ID: 99415L286 1/27/2004 BROKER; CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO 2/6/2004 1:44:31PM PST 13 Workbench - @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD--CONSOLIDATE DOIJru:2 D 6fl r::1n•nnrm• 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Galn/LoBS Type Description Reported Date Base Shares/Par Base Base Base IS CREDIT SUISSE FB REPO 00.980% 01/27/2004 1/27/2004 100.0000 0.000 0.00 258.61 0.00 DD 01 /26/04 1/27/2004 SEC ID: 99415L286 1/27/2004 E!ROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.980% 01/28/2004 1/28/2004 100.0000 -9,500,000.000 -9,500,000.00 9,500,000.00 0.00 DD 01 /27 /04 1/28/2004 SEC ID: 99415M763 1/28/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.980% 01/28/2004 1/28/2004 100.0000 0.000 0.00 258.61 0.00 DDOl/27/04 1/28/2004 SEC ID: 99415M763 1/28/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.990% 01/29/2004 1/29/2004 100.0000 -9,500,000.000 -9,500,000.00 9,500,000.00 0.00 DD 01 /28/04 1/29/2004 SEC ID: 99415P154 1/29/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.990% 01/29/2004 1/29/2004 100.0000 0.000 0.00 261.25 0.00 DD 01/28/04 1/29/2004 SEC ID: 99415?154 1/29/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.980%01/30/2004 1/30/2004 100.0000 -9,500,000.000 -9,500,000.00 9,500,000.00 0.00 DD Ol/29/04 1/30/2004 SEC ID: 99415Q699 1/30/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF0751 l102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.980% 01/30/2004 1/30/2004 100.0000 0.000 0.00 258.61 0.00 DD 01 /29/04 1/30/2004 SEC ID: 99415Q699 1/30/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO 2/6/2004 1:44:31PM PST 14 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 0 cs D-CO NS O LIDAT E Dmrn 7 6fl rin D •• rn )17 1/2/2004 -1/30/2004 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 MGMT 1/5/2004 1.0000 -8,298, 145.260 -8,298, 14$.26 8,298,145.26 0.00 SEC !D: 996085247 1/5/2004 OCSF07511102: LIQUID OPER-PIMCO 1/5/2004 s DREYFUS TREASURY CASH MGMT 1/6/2004 1.0000 -99,774.060 -99,774.06 99,774.06 0.00 SEC ID: 996085247 1/6/2004 OCSF07511102: LIQUID OPER-PIMCO 1/6/2004 s DREYFUS TREASURY CASH MGMT 1/14/2004 1.0000 -56,131.950 -56,131.95 56,131.95 0.00 SEC ID: 996085247 1/14/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/14/2004 s DREYFUS TREASURY CASH MGMT 1/20/2004 1.0000 -1,582,522.900 -1,582,522.90 1,582,522.90 0.00 SEC ID: 996085247 1/20/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/20/2004 s DREYFUS TREASURY CASH MGMT 1/21/2004 1.0000 -1,999,976.000 -1,999,976.00 1,999,976.00 0.00 SEC ID: 996085247 1/21/2004 OCSF07511I02: LIQUID OPER-PIMCO 1/21/2004 s DREYFUS TREASURY CASH MGMT 1/22/2004 1.0000 -99,781.750 -99,781.75 99,781.75 0.00 SEC ID: 996085247 1/22/2004 OCSF07511102 : LIQUID OPER-PIMCO 1/22/2004 s DREYFUS TREASURY CASH MGMT 1/28/2004 1.0000 -897,713.630 -897,713.63 897,713.63 0.00 SEC ID: 996085247 1/28/2004 OCSF07522202 : LONG TERM OPER-PIMCO 1/28/2004 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: -184,434,045.550 -184,434,045.55 184,442,658.80 0.00 TOTAL CASH & CASH EQUIVALENTS BASE: -184,434,045.550 -184,434,045.55 184,442,658.80 0.00 FIXED INCOME SECURITIES U.S. DOLLAR s COMMIT TO PUR FNMA SF MTG 6 .000% 1/7/2004 103.4336 -1,000,000.000 -1,027,562.50 1,034,335.93 6,773.43 01/01/2034 DD 01/01/04 1/14/2004 SEC ID: 01F060618 1/7/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 15 Workbench . Transaction Detail @ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USO ocs 0-CONSOLI DATE O,Jlll1[12 fl 61\ nwmw1n• 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base s COMMIT TO PUR FNMA SF MTG 6 .000% 1/8/2004 103.5391 -500,000.000 -513,781.25 517,695.31 3,914.06 01/01/2034 DD O 1/01 /04 1/14/2004 SEC ID: 01F060618 1/8/2004 BROKER: CHASE/GREENWICH CAP, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO s COMMIT TO PUR FNMA SF MTG 6.000% 1/8/2004 103.6016 -1,000,000.000 -1,027,562.50 1,036,015.62 8,453.12 01/01/2034 DD O 1/01 /04 1/14/2004 SEC ID: 01F060618 1/8/2004 BROKER: GOLDMAN SACHS & CO , NY OCSF0752 2202: LONG TERM OPER-PIMCO s FNMA POOL #0555528 6.000% 04/01/2033 1/12/2004 104.0117 -744,687.690 -774,475.20 774,562.47 87.27 DD 05/01/03 1/14/2004 SEC ID: 31385XD95 1/12/2004 BROKER: BEAR STEARNS & CO INC, NY OCSF07522202: LONG TERM OPER -PIMCO IS FNMA POOL #0555528 6.000% 04/01/2033 1/12/2004 104.0117 0.000 0.00 1,613.49 0.00 DD 05/01/03 1/14/2004 SEC [D: 3 1385XD95 1/12/2004 BROKER: BEAR STEARNS & CO INC, NY OCSF07522202: LONG TERM OPER-PIMCO TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: -3,244,687.690 -3,343,381.45 3,364,222.82 19,227.88 TOTAL FIXED INCOME SECURITIES BASE: -3,244,687.690 -3,343,381.45 3,364,222.82 19,227.88 TOTAL SALES BASE: -187,678,733.240 -187,777,427.00 187,806,881.62 19,227.88 PRINCIPAL PAYMENTS FIXED INCOME SECURITIES U.S. DOLLAR PD GNMA OTO REMIC TR 2000-9 FH VAR RT 1/16/2004 100.0000 -25,900.060 -25,900.06 25,900.06 0.00 02/16/2030 1/16/2004 SEC ID: 3837H4NX9 1/16/2004 OCSF07522202: LONG TERM OPER-PIMCO PD RESIDENTIAL ASSET 03-RSl 1 AIIB VAR RT 1/25/2004 100.0000 -15,494.300 -15,494.30 15,494.30 0.00 12/25/2033 DD 12/30 /03 1/25/2004 SEC ID: 760985K83 1/25/2004 OCSF07522202: LONGTERM OPER-PIMCO 2/6/2004 1:44:31PM PST 16 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DOlllJI2 0 60 •mm•••• 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: -41,394.360 -41,394.36 41,394.36 0.00 TOTAL FIXED INCOME SECURITIES BASE: -41,394.360 -41,394.36 41,394.36 0.00 TOTAL PRINCIPAL PAYMENTS BASE: -41,394.360 -41,394.36 41,394.36 0.00 MATURITIES CASH & CASH EQUIVALENTS U.S. DOLLAR MT FEDERAL HOME LN MTG CORP DISC MAT 1/15/2004 100.0000 -20,800,000.000 -20,744,004.66 20,744,004.66 0.00 01/15/2004 1/15/2004 SEC JD: 313396RV7 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO MT FEDERAL HOME LN MTG CORP DISC MAT 1/21/2004 100.0000 -5,200,000.000 -5,195,138.00 5,195,138.00 0.00 01/21/2004 1/21/2004 SEC ID: 3I3396SBO 1/21/2004 OCSF07511102 : LIQUID OPER-PIMCO MT FEDERAL HOME LN MTG CORP DISC MAT 1/29/2004 100.0000 -1,200,000.000 -1,196,718.67 1,196,718.67 0.00 01/29/2004 1/29/2004 SEC ID: 313396SKO 1/29/2004 OCSF07522202 : LONG TERM OPER -PIMCO MT WELLS FARGO BANK NA INSTL C/D 1.070% 1/13/2004 100.0000 -1,500,000.000 -1,500,000.00 1,500,000.00 0.00 01/13/2004 DD 12/ 10 /03 1/13/2004 SEC ID: 94975U2V8 1/13/2004 OCSF0751 1102: LIQUID OPER-PIMCO TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: -28, 700,000.000 -28,635,861.33 28,635,861.33 0.00 TOTAL CASH & CASH EQUIVALENTS BASE: -28, 700,000.000 -28,635,861.33 28,635,861.33 0.00 FIXED INCOME SECURITIES U.S. DOLLAR MT FEDERAL FARM CR BKS CONS SYSTE 6.40% 1/23/2004 100.0000 -1,350,000.000 -1,399,963.50 1,350,000.00 -49,963.50 01/23/2004 DD 01/01/1999 1/23/2004 SEC JD: 31331H6G7 1/23/2004 OCSF07511102: LIQUID OPER-PIMCO 2/6/2004 1:44:31PM PST 17 W9rkbench Transaction Detail . . @ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDfll1Tlf127 6n 0070!J -l•ll 1/2/2004-1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base TOTAL MATURITIES BASE: -30,050,000.000 -30,035,824.83 29,985,861.33 -49,963.50 CORPORATE ACTIONS FIXED INCOME SECURITIES U.S. DOLLAR CD PAID AS A RESULT OF A CONSENT 1/30/2004 0.000 1,000.00 1,000.00 1,000.00 SOLICITATION SEC ID: 046003KA6 1/30/2004 OCSF07511102: LIQUID OPER-PIMCO MISCELLANEOUS ACTIVITY FIXED INCOME SECURITIES U.S. DOLLAR SW TO BRING ACCOUNT INTO BALANCE US 1/29/2004 -43,400.000 -38,288.96 0.00 -38,288.96 TREASURY INFLATION INDEX NT 1/30/2004 SEC ID: 9128272M3 1/29/2004 OCSF07522202: LONG TERM OPER-PIMCO SW TO BRING ACCOUNT INTO BALANCE US 1/29/2004 -9,090.000 -9,912.02 0.00 -9,912.02 TREASURY INFLATION INDEX NT 1/30/2004 SEC ID: 9128273T7 1/29/2004 OCSF07522202: LONG TERM OPER-PIMCO SW TO BRING ACCOUNT INTO BALANCE US 1/29/2004 -38,870.000 -43,194.38 0.00 -43,194.38 TREASURY INFLATION INDEX NT 1/30/2004 SEC ID: 9128274Y5 1/29/2004 OCSF07522202: LONGTERM OPER-PIMCO TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: -91,360.000 -91,395.36 0.00 -91,395.36 TOTAL FIXED INCOME SECURITIES BASE: -91,360.000 -91,395.36 0.00 -91,395.36 TOTAL MISCELLANEOUS ACTIVITY BASE: -91,360.000 -91,395.36 0.00 -91,395.36 INTEREST CASH & CASH EQUIVALENTS U.S. DOLLAR IT FEDERAL HOME LN MTG CORP DISC MAT 1/15/2004 20,800,000.000 55,995.34 55,995.34 0.00 01/15/2004 1/15/2004 SEC ID: 313396RV7 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 18 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLI DATE DJlllm O 60 OOOOOOOIJ l/2/2004-1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Dt!scriptlon Reported Date Base Shares/Par Base Base Base IT FEDERAL HOME LN MTG CORP DISC MAT 1/21/2004 5,200,000.000 4,862.00 4,862.00 0.00 01/21/2004 1/21/2004 SEC ID: 313396SBO 1/21/2004 OCSF07511102: LIQUID OPER-PIMCO IT FEDERAL HOME LN MTG CORP DISC MAT 1/29/2004 1,200,000.000 3,281.33 3,281.33 0.00 01/29/2004 1/29/2004 SEC ID: 313396SKO 1/29/2004 OCSF07522202: LONG TERM OPER -PIMCO IT WELLS FARGO BANK NA INSTL C/D 1.070% 1/13/2004 1,500,000.000 1,515.83 1,515.83 0.00 01/13/2004 DD 12/ 10 /03 1/13/2004 SEC ID: 94975U2V8 1/13/2004 OCSF07511102 : LIQUID OPER-PIMCO IT DREYFUS TREASURY CASH MGMT 1/5/2004 0.000 352.19 352.19 0.00 SEC ID: 996085247 1/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/5/2004 IT DREYFUS TREASURY CASH MGMT 1/5/2004 0.000 1,161.74 1,161.74 0.00 SEC ID: 996085247 1/1/2004 OCSF07511102 : LIQUID OPER-PIMCO 1/5/2004 IT BSDT-LATE MONEY DEPOSIT ACCT 1/2/2004 0.000 0.25 0.25 0.00 SEC ID: 996087094 1/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 1/2/2004 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 28,700,000.000 67,168.68 67,168.68 0.00 TOTAL CASH & CASH EQUIVALENTS BASE: 28,700,000.000 67,168.68 67,168.68 0.00 FIXED INCOME SECURITIES U.S. DOLLAR IT WMP/HUNTOON PAIGE #000-11150 7.500% 1/6/2004 769.490 5,916.81 5,916.81 0.00 12/01/2030 DD 10/21 /99 12/1/2003 SEC ID: 302998GE3 1/6/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FHLMC GROUP#G4-0353 7.500% 10/01/2004 1/15/2004 358.670 495.03 495.03 0.00 DD 03/01/99 1/1/2004 SEC ID: 3128DBMA2 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 l :44:31PM PST 19 Workbench Transaction Detail . . @ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE 0[]]12 0 60 orn:m•o•o 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT FHLMCMULTICLASS MTGSERE3AVARRT 1/23/2004 36,324.900 3,615.79 3,615.79 0.00 08/15/2032 DD 12/01 /97 12/1/2003 SEC ID: 3133TCE95 1/23/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FHLMC MULTICLASS CTF SER 16202 6.000% 1/20/2004 15,085.080 15,085.08 15,085.08 0.00 11/15/2023 DD 11/01 /93 1/1/2004 SEC ID: 3133T17A4 1/20/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FEDERAL FARM CR BKS CONS SYSTE 6.40% 1/23/2004 1,350,000.000 36,450.00 36,450.00 0.00 01/23/2004 DD O 1/01/1999 1/23/2004 SEC JD: 31331H6G7 1/23/2004 OCSF07511102: LIQUID OPER-PIMCO IT FHLMC GROUP#78-6064 6.384% 01/01/2028 1/21/2004 198.210 253.54 253.54 0.00 DD 12/01/97 12/1/2003 SEC ID: 31348SWZ3 1/21/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0254510 5.000% 11/01/2017 1/26/2004 13,146.830 3,524.02 3,524.02 0.00 DD 10/01/02 1/1/2004 SEC ID: 31371KVB4 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0254631 5.000% 02/01/2018 1/26/2004 2,287.350 744.90 744.90 0.00 DD 01 /01/03 1/1/2004 SEC ID: 31371 KY47 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0254760 5.000% 06/01/2018 1/26/2004 1,989.920 672.48 672.48 0.00 DD 05/01/03 1/1/2004 SEC JD: 31371K5V9 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0254866 5.000% 09/01/2018 1/26/2004 657.450 292.77 292.77 0.00 DD 08/01/03 1/1/2004 SEC ID: 31371 LCB3 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0254953 5.000% 11/01/2018 1/26/2004 3,662.190 1,553.89 1,553.89 0.00 DD 10/01/03 1/1/2004 SEC ID: 31371LE21 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 20 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE Dmrn O 6[1 [)•[]•[][]•[] 1/2/2004 -1/30/2004 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 #0254987 5.000% 12/01/2018 1/26/2004 5,460.460 4,144.90 4,144.90 0.00 DD 11/01/03 1/1/2004 SEC ID: 31371LF46 1/26/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT FNMA POOL#0323980 6.000%04/01/2014 1/26/2004 8,087.050 1,062.92 1,062.92 0.00 DD 09/01/99 1/1/2004 SEC ID: 31374T2MO 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0357328 5.000% 01/01/2018 1/26/2004 857.750 135.86 135.86 0.00 DD 01 /01/03 1/1/2004 SEC ID: 31376J4M8 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0357430 5.000% 09 /01/2018 1/26/2004 21,165.050 6,698.55 6,698.55 0.00 DD 09/01/03 1/1/2004 SEC ID: 31376KA71 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0456482 6.000% 02/01/2014 1/26/2004 4,487.760 329.25 329.25 0.00 DD 02/01/99 1/1/2004 SEC ID: 31381CCT2 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0509649 6.000%09/01/2014 1/26/2004 1,269.640 883.50 883.50 0.00 DD 09/01/99 1/1/2004 SEC ID: 31383QEWO 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0535451 6.000% 06/01/2015 1/26/2004 5,805.910 837.61 837.61 0 .00 DD 07 /01/00 1/1/2004 SEC ID: 31384VZQ8 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0535672 6.000% 01/01/2016 1/26/2004 141,028.850 18,196.28 18,196.28 0.00 DD 12/01/00 1/1/2004 SEC ID: 31384WCH1 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0545296 6.000% 11/01/2016 1/26/2004 56,716.250 6,024.90 6,024.90 0.00 DD 10/01/01 1/1/2004 SEC ID: 31385HXZO 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 21 Workbench @ Transaction Detail ReportlD: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED]illi2 0 60 •ll•••o•o 1/2/2004 -1/30/2004 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#0545580 6.000%03/01/2017 1/26/2004 4,582.050 507.40 507.40 0.00 DD 03/01/02 1/1/2004 SEC ID: 31385JCR7 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0555101 6.000% 10/01/2017 1/26/2004 6,886.520 895.08 895.08 0.00 DD 11 /01/02 1/1/2004 SEC ID: 31385WU23 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0555285 6.000% 03/01/2033 1/26/2004 27,799.860 4,020.34 4,020.34 0.00 DD 02/01/03 1/1/2004 SEC ID: 31385W2S7 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0555363 5.000% 04/01/2018 1/26/2004 4,967.260 1,607.11 1,607.11 0.00 DD 03/01/03 1/1/2004 SEC ID: 31385W5Yl 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0555453 5.000% 05/01/2018 1/26/2004 575.290 164.89 164.89 0.00 DD 04/01/03 1/1/2004 SEC ID: 31385XBW6 1/26/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT FNMA POOL#0555528 6.000%04/01/2033 1/26/2004 28,572.420 3,866.30 3,866.30 0.00 DD 05/01/03 1/1/2004 SEC ID: 31385XD95 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0555545 5.000% 06/01/2018 1/26/2004 4,399.480 1,341.35 1,341.35 0.00 DD 05/01/03 1/1/2004 SEC ID: 31385XES2 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0555621 5.000% 07/01/2018 1/26/2004 13,305.510 4,650.65 4,650.65 0.00 DD 06/01/03 1/1/2004 SEC ID: 31385XG68 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0576386 6.000% 05/01/2016 1/26/2004 457.970 325.61 325.61 0.00 DD 05/01/01 1/1/2004 SEC ID: 31386XJ72 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 22 Workbench @ Transaction Detail ReportlD: EWB009 Mellon Re ported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDll!Il2 J 6[1 OOCJ•ITJDIJ 1/2/2004 -1/30/2004 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#0576739 6.000%04/01/2016 1/26/2004 1,179.410 875.55 875.55 0.00 DD 04/01/01 1/1/2004 SEC ID: 31386XV86 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0580888 6.000% 05/01/2016 1/26/2004 3,867.770 1,172.20 1,172.20 0.00 DD 05/01/01 1/1/2004 SEC ID: 31387DJ91 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0594002 6.000% 07/01/2016 1/26/2004 901.450 925.14 925.14 0.00 DD 07 /01/01 1/1/2004 SEC ID: 31387T3K8 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0597376 6.000%09/01/2016 1/26/2004 19,556.630 1,272.57 1,272.57 0.00 DD 08/01/01 1/1/2004 SEC ID: 31387XT96 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0605259 6.000% 09/01/2016 1/26/2004 7,343.520 825.92 825.92 0.00 DD 09/01/01 1/1/2004 SEC ID: 31388HMG 1 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0608366 6.000% 10/01/2016 1/26/2004 564.940 516.19 516.19 0.00 DD 09/01/01 1/1/2004 SEC ID: 31388LZ78 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0616734 6.000% 12/01/2016 1/26/2004 710.670 852.88 852.88 0.00 DD 12/01/01 1/1/2004 SEC ID: 31388WEF9 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0630812 6.000% 02/01/2017 1/26/2004 13,600.900 1,008.41 1,008.41 0.00 DD 02/01/02 1/1/2004 SEC ID: 31389NYH2 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0632376 6.000% 07/01/2017 1/26/2004 22,751.220 4,245.37 4,245.37 0.00 DD 07 /01/02 1/1/2004 SEC ID: 31389QQ50 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 23 Workbench . . @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE Domrn o 6[1 •••••U•[J 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amou11t Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT FNMA POOL #0653116 6.000% 07/01/2017 1/26/2004 14,079.790 2,430.81 2,430.81 0.00 DD 07 /01/02 1/1/2004 SEC ID: 31390QSD8 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0673280 6.000%08/01/2017 1/26/2004 7,361.930 978.39 978.39 0.00 DD 11 /01/02 1/1/2004 SEC ID: 31391P6R2 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0681309 5.000% 02/01/2018 1/26/2004 6,842.820 2,405.21 2,405.21 0.00 DD 02/01/03 1/1/2004 SEC ID: 31391Y3S4 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0681334 5.000% 02/01/2018 1/26/2004 1,369.550 303.01 303.01 0.00 DD 01/01/03 1/1/2004 SEC ID: 31391Y4Tl 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0684908 5.000%06/01/2018 1/26/2004 1,707.890 1,476.36 1,476.36 0.00 DD 05/01/03 1/1/2004 SEC ID: 31400D3Rl 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0685200 5.000%03/01/2018 1/26/2004 2,007.800 862.50 862.50 0.00 DD 03/01/03 1/1/2004 SEC ID: 31400EGH7 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0685665 5.000% 02/01/2018 1/26/2004 451.100 153.55 153.55 0.00 DD 02/01/03 1/1/2004 SEC ID: 3 l400EW22 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0686318 5.000% 03/01/2018 1/26/2004 2,131.030 1,315.39 1,315.39 0.00 DD 03/01/03 1/1/2004 SEC ID: 31400FPB7 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0688739 5.000%06/01/2018 1/26/2004 576.480 516.75 516.75 0.00 DD 06/01/03 1/1/2004 SEC ID: 31400JEL9 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 24 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED0[][][2 • 60 •••••J•rJ 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Ga:in/Loss Type Descrl.pUon Reported Date Base Shares/Par Base Base Base IT FNMA POOL #0689859 5.000% 05/01/2018 1/26/2004 516.090 530.75 530.75 0.00 DD 05/01/03 1/1/2004 SEC ID: 31400KMG8 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0693834 5.000% 03/01/2018 1/26/2004 13,238.630 3,131.68 3,131.68 0.00 DD 03/01/03 1/1/2004 SEC ID: 31400PY74 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0695852 5.000%05/01/2018 1/26/2004 4,898.280 1,145.18 1,145.18 0.00 DD 05/01/03 1/1/2004 SEC ID: 31400SBVO 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0695889 5.000% 05/01/2018 1/26/2004 5,136.630 3,502.83 3,502.83 0.00 DD 05/01/03 1/1/2004 SEC ID: 31400SC23 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0697026 5.000% 05/01/2018 1/26/2004 666.330 112.87 112.87 0.00 DD 04/01/03 1/1/2004 SEC ID: 31400TLF2 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0698939 6.000% 09/01/2017 1/26/2004 481.740 459.79 459.79 0.00 DD 03/01/03 1/1/2004 SEC ID: 31400VPY2 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0702210 5.000%05/01/2018 1/26/2004 1,316.090 1,157.83 1,157.83 0.00 DD 05/01/03 1/1/2004 SEC ID: 31401ADP9 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0702328 5.000% 05/01/2018 1/26/2004 1,410.860 623.46 623.46 0.00 DD 04/01/03 1/1/2004 SEC ID: 31401AHD2 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0703195 6.000% 01/01/2017 1/26/2004 3,406.370 411.79 411.79 0.00 DD 04/01/03 1/1/2004 SEC ID: 31401BGC3 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 l:44:31PM PST 25 Workbench Transaction Detail . . @ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USO ocs D-CONS OLIDATE DmTI? n 6n nnr-mrnrJ[l 1/2/2004 -1/30/2004 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#0709148 5.000%06/01/2018 1/26/2004 3,586.470 1,261.04 1,261.04 0.00 DD 06/01/03 1/1/2004 SEC ID: 31401 HZM7 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0709360 5.000% 07/01/2018 1/26/2004 2,926.110 2,912.34 2,912.34 0.00 DD 06/01/03 1/1/2004 SEC ID: 31401JB56 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0709826 5.000%06/01/2018 1/26/2004 2,905.600 605.95 605.95 0.00 DD 06/01/03 1/1/2004 SEC ID: 31401JSP4 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0709917 5.000% 06/01/2018 1/26/2004 2,618.620 1,106.78 1,106.78 0.00 DD 06/01/03 1/1/2004 SEC ID: 31401JVJ4 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0709963 5.000% 06/01/2018 1/26/2004 527.400 113.15 113.15 0.00 DD 06/01/03 1/1/2004 SEC ID: 31401JWYO 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0710235 5.000% 06/01/2018 1/26/2004 10,321.340 3,362.83 3,362.83 0.00 DD 06/01/03 1/1/2004 SEC ID: 31401KBC8 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0713344 5.000% 06/01/2018 1/26/2004 113.930 107.50 107.50 0.00 DD 06/01/03 1/1/2004 SEC ID: 31401NP52 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0713365 5.000% 07/01/2018 1/26/2004 1,459.740 1,402.99 1,402.99 0.00 DD 07 /01/03 1/1/2004 SEC ID: 31401NQS1 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0720319 5.000%07 /01/2018 1/26/2004 18,244.370 4,134.03 4,134.03 0.00 DD 07 /01/03 1/1/2004 SEC ID: 31401WG45 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 26 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DO!Il:!!2 D 6• •••••••• 1/2/2004 -1/30/2004 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 #0720369 5.000% 06/01/2018 1/26/2004 10,829.600 10,164.74 10,164.74 0.00 DD 06/01/03 1/1/2004 SEC ID: 31401 WJNO 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0721629 5.000% 07/01/2018 1/26/2004 3,056.530 1,315.38 1,315.38 0.00 DD 06/01/03 1/1/2004 SEC ID: 31401XVW4 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0723487 5.000%06/01/2018 1/26/2004 958.520 1,055.04 1,055.04 0.00 DD 06/01/03 1/1/2004 SEC ID: 31402AXQ4 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0729601 5.000% 07/01/2018 1/26/2004 4,467.340 1,795.13 1,795.13 0.00 DD 07 /01/03 1/1/2004 SEC ID: 31402HRW3 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0732873 5.000% 11/01/2018 1/26/2004 136.390 152.42 152.42 0.00 DD 10/01/03 1/1/2004 SEC ID: 31402MFN5 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0737130 5.000% 10/01/2018 1/26/2004 3,579.870 3,131.03 3,131.03 0.00 DD 10/01/03 1/1/2004 SEC ID: 31402S4P9 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0738211 5.000% 10/01/2018 1/26/2004 2,422.080 2,469.88 2,469.88 0.00 DD 10/01/03 1/1/2004 SEC ID: 31402 UDQ2 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0738487 5.000% 10/01/2018 1/26/2004 1,211.820 938.97 938.97 0.00 DD 10/01/03 1/1/2004 SEC ID: 31402UNC2 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0740471 5.000% 10/01/2018 1/26/2004 2,831.240 2,918.60 2,918.60 0.00 DD 10/01/03 1/1/2004 SEC ID: 31402WT40 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 27 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDrJlrn2 0 60DDODLKICI• 1/2/2004 -1/30/2004 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 #0740748 5.000% 10/01/2018 1/26/2004 3,334.950 3,461.97 3,461.97 0.00 DD 11 /01/03 1/1/2004 SEC ID: 31402W5H7 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0743868 5.000% 11/01/2018 1/25/2004 0.000 189.24 189.24 0.00 DD 10/01/03 1/1/2004 SEC ID: 31403BMR1 1/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0744008 5.000%07/01/2018 1/26/2004 35,627.260 4,931.85 4,931.85 0.00 DD 09/01/03 1/1/2004 SEC ID: 314038R54 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0744316 5.000% 09/01/2018 1/26/2004 3,123.690 732.68 732.68 0.00 DD 09/01/03 1/1/2004 SEC ID: 31403B3Z4 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0747914 5.000% 11/01/2018 1/26/2004 1,377.790 1,512.19 1,512.19 0.00 DD 11/01/03 1/1/2004 SEC ID: 31403F3XO 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0748400 5.000% 08/01/2018 1/26/2004 979.100 1,018.04 1,018.04 0.00 DD 09/01/03 1/1/2004 SEC ID: 31403GNR9 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0748899 5.000% 12/01/2018 1/26/2004 5,255.130 4,332.01 4,332.01 0.00 DD 11/01/03 1/1/2004 SEC ID: 31403G7LO 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0750377 5.000% 11/01/2018 1/26/2004 10,591.890 10,626.95 10,626.95 0.00 DD 11/01/03 1/1/2004 SEC ID: 31403JUA2 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0750380 5.000% 11/01/2018 1/26/2004 8,623.080 8,909.27 8,909.27 0.00 DD 11/01/03 1/1/2004 SEC ID: 31403JUD6 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 28 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE Drnrn cJ 60 OOO•[J:JO[] 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Coat Amount Net Gain/Losa Type Description Reported Date Base Shares/Par Base Base Base IT FNMA POOL #0750445 5.000% 11/01/2018 1/26/2004 825.320 808.95 808.95 0.00 DD 11/01/03 1/1/2004 SEC ID: 31403JWE2 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0751960 5.000% 12/01/2018 1/26/2004 6,226.480 3,808.73 3,808.73 0.00 DD 11 /01/03 1/1/2004 SEC ID: 31403LMH1 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0753425 5.000% 11/01/2018 1/26/2004 3,978.340 4,147.39 4,147.39 0.00 DD 11/01/03 1/1/2004 SEC ID: 31403NA23 1/26/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT FNMA POOL#0755165 5.000% 12/01/2018 1/26/2004 6,816.060 2,724.69 2,724.69 0.00 DD 11 /01/03 1/1/2004 SEC ID: 31403Q6A3 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0756372 5.000% 11/01/2018 1/26/2004 3,823.240 4,148.02 4,148.02 0.00 DD 11/01/03 1/1/2004 SEC ID: 31403SJR8 1/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FORD MTR CR CO GLOBAL LANDMARK 6.700% 1/16/2004 2,500,000.000 83,750.00 83,750.00 0.00 07/16/2004 DD 07 / 16 /99 1/16/2004 SEC ID: 345397SJ3 1/16/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0596612 6.500% 09/15/2032 1/15/2004 38,400.560 1,825.28 1,825.28 0.00 DD 09/01/02 1/1/2004 SEC ID: 362008YH4 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0569358 6.500% 04/15/2032 1/15/2004 50,154.760 6,608.86 6,608.86 0.00 DD 04/01/02 1/1/2004 SEC ID: 36200QQK3 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0569685 6.500"/o 02/15/2032 1/15/2004 3,368.790 287.96 287.96 0.00 DD 02/01/02 1/1/2004 SEC ID: 36200Q2S2 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 l:44:31PM PST 29 W<1rkbench Transaction Detail -@ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD--CONSOLIDATE DOIJIT12 0 6[] crn:mmm• 1/2/2004 -1/30/2004 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% 07/15/2032 1/15/2004 4,226.350 490.06 490.06 0.00 DD 07 /01/02 1/1/2004 SEC ID: 36200RG48 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0574323 6.500% 12/15/2031 1/15/2004 64,377.350 3,026.24 3,026.24 0.00 DD 12/01/01 1/1/2004 SEC ID: 36200WAY7 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0575364 6.500% 11/15/2031 1/15/2004 6,537.050 320.57 320.57 0.00 DD 11/01/01 1/1/2004 SEC ID: 36200XFD6 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0587117 6.500% 06/15/2032 1/15/2004 676.370 116.75 116.75 0.00 DD 06/01/02 1/1/2004 SEC ID: 36201MG22 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0587439 6.500% 11/15/2032 1/15/2004 5,396.620 352.85 352.85 0.00 DD 12/01/02 1/1/2004 SEC ID: 36201MS45 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0421389 6.500% 04/15/2026 1/15/2004 394.930 80.92 80.92 0.00 DD 04/01/96 1/1/2004 SEC ID: 36206UC23 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0438057 6.000% 05/15/2028 1/15/2004 10,775.940 146.92 146.92 0.00 DD 05/01/98 1/1/2004 SEC ID: 36207PTN9 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0449851 6.500% 01/15/2028 1/15/2004 2,075.110 135.27 135.27 0.00 DD 01/01/98 1/1/2004 SEC ID: 36208FWLO 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0457814 6.000% 10/15/2028 1/15/2004 1,405.330 191.75 191.75 0.00 DD 10/01/98 1/1/2004 SEC ID: 36208QSB3 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 l:44:31PM PST 30 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD ocs D-CONSOLI DATE Dffil:2 7 60 nno•o•rn 1/2/2004 -1/30/2004 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#0465546 6.000% 08/15/2028 1/15/2004 806.280 2,295.22 2,295.22 0.00 DD 08/01/98 1/1/2004 SEC ID: 36209AET3 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0465555 6.000% 09/15/2028 1/15/2004 908.590 2,471.99 2,471.99 0.00 DD 09/01/98 1/1/2004 SEC ID: 36209AE48 1/15/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT GNMA POOL #0466845 6. 500% 06/15/2028 1/15/2004 91.270 364.90 364.90 0.00 DD 06/01/98 1/1/2004 SEC ID: 36209BTA6 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0467279 6.000% 10/15/2028 1/15/2004 2,223.510 114.20 114.20 0.00 DD 10/01/98 1/1/2004 SEC ID: 36209CCQ7 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0467286 6.000% 10/15/2028 1/15/2004 547.250 1,990.36 1,990.36 0.00 DD 10/01/98 1/1/2004 SEC ID: 36209CCX2 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0468052 6.500% 07/15/2028 1/15/2004 147,567.580 1,413.37 1,413.37 0.00 DD 07 /01/98 1/1/2004 SEC ID: 36209C5M4 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0468330 6.000% 05/15/2028 1/15/2004 35.500 94.36 94.36 0.00 DD 05/01/98 1/1/2004 SEC ID: 36209DHF4 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0468339 6.000% 08/15/2028 1/15/2004 16,547.440 1,604.44 1,604.44 0.00 DD 08/01/98 1/1/2004 SEC ID: 36209DHQO 1/15/2004 OCSF07522202 : LONGTERM OPER-PIMCO IT GNMA POOL#0469688 6.000% 11/15/2028 1/15/2004 924.040 81.83 81.83 0.00 DD 11 /01/98 1/1/2004 SEC ID: 36209EXR8 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 31 Workbench -- @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCS D-CONSOLI DATE DClllll:2 Cl 60 DDC\[I\JDCJO 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Coat Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT GNMA POOL#0476041 6.500% 06/15/2028 1/15/2004 27,647.590 1,153.04 1,153.04 0.00 DD 06/01/98 1/1/2004 SEC ID: 36209MZE7 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0478626 6.500% 01/15/2029 1/15/2004 211.280 889.85 889.85 0.00 DD 01/01/99 1/1/2004 SEC ID: 36209QVT9 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0480598 6.500% 10/15/2028 1/15/2004 46,314.430 917.12 917.12 0.00 DD 10/01/98 1/1/2004 SEC ID: 36209S3F6 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0483452 6.000% 09/15/2028 1/15/2004 19.290 65.95 65.95 0.00 DD 09/01/98 1/1/2004 SEC ID: 36209WBV3 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0485527 6.500% 06/15/2031 1/15/2004 24,899.110 2,492.03 2,492.03 0.00 DD 06/01/01 1/1/2004 SEC ID: 36209YLG 1 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0485610 6.500% 07/15/2031 1/15/2004 28,687.650 2,813.55 2,813.55 0.00 DD 07 /01/01 1/1/2004 SEC ID: 36209YN38 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0485682 6.500% 08/15/2031 1/15/2004 8,446.330 572.27 572.27 0.00 DD 08/01/01 1/1/2004 SEC ID: 36209YRB6 1/15/2004 OCSF07522202: LONG TERM OPER-P[MCO IT GNMA POOL#0485703 6.500% 08/15/2031 1/15/2004 11,888.540 546.40 546.40 0.00 DD 08/01/01 1/1/2004 SEC ID: 36209YRY6 1/15/2004 OCSF07522202: LONG TERM OPER-P[MCO IT GNMA POOL#0486720 6.000% 12/15/2028 1/15/2004 210.060 61.44 61.44 0.00 DD 12/01/98 1/1/2004 SEC ID: 36210AVM6 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 32 Workbench ® Transaction Detail ReportlD: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DOillll:2 U 6[] o•••rnJ•• 1/2/2004 -1/30/2004 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 #0491103 6.000% 01/15/2029 1/15/2004 1,884.740 539.24 539.24 0.00 DD 01/01/99 1/1/2004 SEC ID: 36210FRY4 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0496461 6.000% 01/15/2029 1/15/2004 30,066.560 2,204.18 2,204.18 0.00 DD 01/01/99 1/1/2004 SEC ID: 36210MQN4 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0497343 6.000% 12/15/2028 1/15/2004 857.920 116.79 116.79 0.00 DD 12/01/98 1/1/2004 SEC ID: 36210NP45 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0499153 6.000% 02/15/2029 1/15/2004 17.790 63.35 63.35 0.00 DD 02/01/99 1/1/2004 SEC ID: 36210QQE5 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0500917 6.000% 04/15/2029 1/15/2004 10.730 36.64 36.64 0.00 DD 04/01/99 1/1/2004 SEC ID: 36210SPAO 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0503388 6. 000% 03/15/2029 1/15/2004 5,810.900 1,587.81 1,587.81 0.00 DD 03/01/99 1/1/2004 SEC ID: 36210VF55 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0506636 6.000% 04/15/2029 1/15/2004 1,389.910 183.64 183.64 0.00 DD 04/01/99 1/1/2004 SEC ID: 36210YY90 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0512235 6.500% 11/15/2029 1/15/2004 14.440 59.22 59.22 0.00 DD 11/01/99 1/1/2004 SEC ID: 36211GBC6 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0514326 6.500% 07/15/2029 1/15/2004 18,637.430 908.75 908.75 0.00 DD 07 /01/99 1/1/2004 SEC ID: 36211JLF2 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 33 Workbench Transaction Detail .--@ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DJI]l][20 60 •mm•••• l/2/2004-1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Coat Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT GNMA POOL #0530053 6. 500% 04/15/2031 1/15/2004 3,523.720 279.73 279.73 0.00 DD 04/01/01 1/1/2004 SEC ID: 36212CZS3 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0537885 6.500% 02/15/2031 1/15/2004 111.220 568.98 568.98 0.00 DD 02/01/01 1/1/2004 SEC ID: 36212MRE1 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0547512 6.500% 04/15/2031 1/15/2004 572.230 72.41 72.41 0.00 DD 04/01/01 1/1/2004 SEC ID: 36212YGV9 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0547715 6. 500% 02/15/2031 1/15/2004 165.960 695.16 695.16 0.00 DD 02/01/01 1/1/2004 SEC ID: 36212YN82 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0552322 6.500% 01/15/2032 1/15/2004 4,608.160 421.00 421.00 0.00 DD 01/01/02 1/1/2004 SEC ID: 36213ESK3 1/15/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT GNMA POOL #0552466 6.500% 03/15/2032 1/15/2004 55,868.040 3,223.64 3,223.64 0.00 DD 03/01/02 1/1/2004 SEC ID: 36213EW36 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0552659 6.500% 07/15/2032 1/15/2004 20,020.200 2,476.14 2,476.14 0.00 DD 07 /01/02 1/1/2004 SEC ID: 36213E5U6 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0561017 6.500%07/15/2031 1/15/2004 20,504.950 2,480.75 2,480.75 0.00 DD 07 /01/01 1/1/2004 SEC ID: 36213QG29 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA II POOL #0080023 VAR RT 12/20/2026 1/20/2004 8,257.150 1,076.49 1,076.49 0.00 DD 12/01/96 1/1/2004 SEC ID: 36225CAZ9 1/20/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/6/2004 1:44:31PM PST 34 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDJllll20 60 •nJOOJ•• 1/2/2004 -1/30/2004 Status: FINAL Trade Date Ttan Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT GNMA II POOL #080088M 7.375% 06/20/2027 1/20/2004 2,693.490 1,203.80 1,203.80 0.00 DD 06/01/97 1/1/2004 SEC ID: 36225CC20 1/20/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA II POOL #0080395 VAR RT 04/20/2030 1/20/2004 8,639.960 807.70 807.70 0.00 DD 04/01/00 1/1/2004 SEC ID: 36225CNM4 1/20/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA II POOL #080408X 6.500% 05/20/2030 1/20/2004 83,276.430 7,224.86 7,224.86 0.00 DD 05/01/00 1/1/2004 SEC ID: 36225CN28 1/20/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT GENERALELECCAPMTN #TR00545 VARRT 1/20/2004 1,000,000.000 1,022.05 1,022.05 0.00 05/20/2004 DD 05/20 /02 1/20/2004 SEC ID: 36962GYS7 1/20/2004 OCSF07511102: LIQUID OPER-PIMCO IT GENERAL ELEC CAP MTN #TR 00575 5.450% 1/15/2004 5,000,000.000 136,250.00 136,250.00 0.00 01/15/2013 DD 12/06/02 1/15/2004 SEC ID: 36962GZ¥3 1/15/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT GOLDMAN SACHS GROUP INC SR NT 4.125% 1/15/2004 3,000,000.000 61,875.00 61,875.00 0.00 01/15/2008 DD O 1/ 13 /03 1/15/2004 SEC ID: 38141GCS1 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA GTD REMIC TR 2000-9 FH VAR RT 1/16/2004 25,900.060 1,000.40 1,000.40 0.00 02/16/2030 1/16/2004 SEC ID: 3837H4NX9 1/16/2004 OCSF07522202: LONG TERM OPER-PIMCO IT JP MORGAN CHASE & CO SUB NT 5.750% 1/2/2004 3,000,000.000 86,250.00 86,250.00 0.00 01/02/2013 DD 11/25 /02 1/2/2004 SEC ID: 46625HAT7 1/2/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT NATIONSBANK CORP SR NTS 6.125% 1/15/2004 627,000.000 19,201.88 19,201.88 0.00 07/15/2004 DD 07 /23 /98 1/15/2004 SEC ID: 6385858J7 1/15/2004 OCSF07511102: LIQUID OPER-PIMCO 2/6/2004 1:44:31PM PST 35 Workbench ~ ~ @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE D[]][][2 0 60 OOOD•i:l•IJ 1/2/2004 -1/30/2004 Status: FINAL Trade Date Tran Settle Date Price Cost Amount Net Gain/Loss Type Description Reported Date Base Shares/Par Base Base Base IT RESIDENTIAL ASSET 03-RSl 1 AIIB VAR RT 1/29/2004 15,494.300 1,101.51 1,101.51 0.00 12/25/2033 DD 12/30/03 1/25/2004 SEC ID: 760985K83 1/29/2004 OCSF07522202: LONG TERM OPER-PIMCO IT US TREASURY INFLATION INDEX NT 3.375% 1/15/2004 14,000,000.000 275,524.20 275,524.20 0.00 01/15/2007 DD O 1/ 15 /97 1/15/2004 SEC ID: 9128272M3 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT US TREASURY INFLATION INDEX NT 3.625% 1/15/2004 3,000,000.000 62,189.78 62,189.78 0.00 01/15/2008 DD O 1/ 15 /98 1/15/2004 SEC ID: 9128273T7 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT US TREASURY INFLATION INDEX NT 3.875% 1/15/2004 13,000,000.000 283,780.01 283,780.01 0.00 01/15/2009 DD 01/ 15/99 1/15/2004 SEC ID: 9128274Y5 1/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT WELLS FARGO & CO NEW NT 6.625% 1/15/2004 125,000.000 4,140.63 4,140.63 0.00 07/15/2004 DD 07 /28/99 1/15/2004 SEC ID: 949746AA9 1/15/2004 OCSF07511102: LIQUID OPER-PIMCO TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: 48,127,851.580 1,323,650.46 1,323,650.46 0.00 TOTAL FIXED INCOME SECURITIES BASE: 48,127,851.580 1,323,650.46 1,323,650.46 0.00 TOTAL INTEREST BASE: 76,827,851.580 1,390,819.14 1,390,819.14 0.00 TOTAL TRANSACTIONS: 80,150,857.140 4,655,802.02 -1,984,067.98 -121,130.98 2/6/2004 1:44:31PM PST 36 Workbench