HomeMy WebLinkAbout2004-03-10MINUTES OF FINANCE, ADMINISTRATION AND
HUMAN RESOURCES COMMITTEE MEETING
Orange County Sanitation District
Wednesday, March 10, 2004, 5:00 p.m.
A meeting of the Finance, Administration and Human Resources Committee of the Orange
County Sanitation District was held on March 10, 2004, at 5:00 p.m., in the District's
Administrative Office.
(1) The roll was called and a quorum declared present, as follows:
(2)
FAHR COMMITTEE MEMBERS:
Directors Present:
Brian Brady, Chair
Roy Moore, Vice Chair
Patricia Bortle
Bill Dalton
Mike Duvall
Joy Neugebauer
Directors Absent:
James W. Silva
Shirley McCracken, Board Chair
Steve Anderson, Vice Board Chair
APPOINTMENT OF CHAIR PRO TEM
No appointment was necessary.
(3) PUBLIC COMMENTS
There were no public comments.
(4) REPORT OF THE COMMITTEE CHAIR
STAFF PRESENT:
Blake Anderson, General Manager
Gary Streed, Director of Financeffreasurer
Mike White, Controller
Lisa Tomko, Director of Human Resources
Carol Beekman, Communications Services
Manager
Marc Dubois, Purchasing Manager
Jeff Reed, Human Resources Manager
Juanita Skillman, Records Management
Specialist
Jean Tappan, Acting Committee Secretary
OTHERS PRESENT:
Robert Moss
Derek Rampone
Adam Probolski
Bob Lockhart
FILED
IN THE OFFICE OF THE SECRETARY
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MAR 2 4 2004
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Chair Brady announced that the next meeting date is April 14.
Chair Brady then asked the internal auditors, Moss, Levy & Hartzheim, to make a preliminary
report on their findings to date.
Minutes of the Finance, Administration and Human Resources Committee Meeting
Page 2
March 10, 2004
Mr. Robert Moss reported on several investigations of the internal controls in place in the
Finance Department. Their findings are issues that should be looked at more closely or that
should be modified or improved. The investigations undertaken included the Board approval
process for sole source contracts; cash and investments-specifically outstanding checks longer
than six months which tie up cash; monthly investment statements that show the control and
decisions made by the investor and the Board without protection of existing assets with internal
controls, the recommendation that the percentage change on original investment should be
reported as additional information; and Mr. Moss believes that the purchase of corporate bonds
is counter to the District's investment policies. Mr. Moss also questioned holding long term
bonds that are returning 4-5 percent for the longer term as losses could occur if not held to
maturity and interest rates rise.
Mr. Derek Rampone reviewed computer access by staff members in various divisions. He found
that vendors could be added by many staff members in the Finance and Human Resources
Department. This could lead to abuse by setting up fictitious vendor accounts. He also found
that payroll technicians were allowed to change pay rates while this should be done only by
Human Resources.
Mr. Moss reported that the investigation into the accounts receivable process showed that there
are a large number of past due accounts. He recommended that credit approval and credit
collection systems be established with appropriate controls for accounts that are 90 days past
due.
Mr. Rampone reported on the findings re inventory controls. He found no formal documentation
on what to do in the event there is a discrepancy between the records and the stock. He
recommended that a written policy be prepared for adjustments to inventory. He also mentioned
that access to change inventory is not as limited as it should be and recommended that this be a
supervisory function only.
He reported that auto parts are being ordered without identifying which vehicle requires the
parts. If employees ask for items there is no supervisor approval required before they are taken
out of the warehouse. It is recommended that additional documentation and approvals be
implemented.
The members of the committee complimented Messrs. Moss and Rampone on their report.
Chair Brady asked staff to prepare responses to the items identified in the report as needing
attention.
Mr. Moss said that they received good cooperation from the staff members interviewed.
General Manager Blake Anderson said that staff welcomes the opportunity to improve our ability
to do our work more smoothly.
(5) REPORT OF THE GENERAL MANAGER
General Manager Blake Anderson reminded the directors that there will be a special workshop
on March 31 at 5 p.m. to discuss the Capital Improvement Program. This program drives the
user fee rates and impacts staffing and spending budgets. He urged everyone to attend.
Minutes of the Finance, Administration and Human Resources Committee Meeting
Page 3
March 10, 2004
(6) REPORT OF DIRECTOR OF FINANCE/TREASURER
Finance Director Gary Streed announced that the February Treasurers Report was distributed
as well as a summary of comments from the PDC Committee on Agenda Item 11 (c). The
Steering, OMTS and PDC Committees all received informational presentations on this item.
(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
Assistant General Counsel Tom Nixon did not make a report.
(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 February 11, 2004 Finance, Administration and Human
Resources Committee meeting.
b. FAHR04-14 Recommend to the Board of Directors to receive and file Treasurer's
Report for the month of February 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.
c. FAHR04-15 Receive and file Certificate of Participation (COP) Monthly Report.
d. FAHR04-16 Receive and file Employment Status Report as of February 24, 2004.
e. FAHR04-17 Receive and file OSHA Incidence Rates and Workers' Compensation
Claims and Costs Report.
f. FAHR04-18 Receive and file report of General Manager approved purchases in
amounts exceeding $50,000 in accordance with Board purchasing
policies.
Minutes of the Finance, Administration and Human Resources Committee Meeting
Page 4
March 1 O, 2004
g. FAHR04-19 Recommend to the Board of Directors to adopt Resolution No.
OCSD 04-XX. Adopting Policies and Procedures for District's Records
Management Program, Records Retention, and Destruction of Obsolete
Records, and Repealing Resolution No. OCSD 03-06.
END OF CONSENT CALENDAR
Consideration of items deleted from Consent Calendar, if any.
(11) ACTION ITEMS
a. FAHR04-20 Recommend to the Board of Directors to:
1) Reject the unsolicited, non-competitive, proposal of Revenue
Enhancement Group to contract their services to review and to
collect sewer service user charges assessed non-residential
parcels; and
2) Direct staff to proceed to evaluate non-residential parcels to
determine if they have been undercharged for annual sewer
service user fees and, if so, to collect the proper charges on the
property tax bill on a going forward basis.
Mr. Robert Lockhart outlined his firm's abilities and understanding of the
issues. Mr. Streed said that staff could perform this work with some
adjustments to staffing. He will report back to the FAHR Committee next
month with a preliminary plan of action. After discussion, an alternate
motion was made by Director Neugebauer.
MOVED, SECONDED AND DULY CARRIED TO: Request authorization
from the Board Chair to task Director Mike Duvall with evaluating the
business practices of Revenue Enhancement Group in an effort to
determine the scope of work and report back to the FAHR Committee.
b. FAHR04-21 MOVED, SECONDED AND DULY CARRIED TO: Recommend to the
Board of Directors to:
1) Approve the use of planned recruitments, on an as needed basis,
to fill key positions within the organization where an individual
holding a key position has a specific termination date previously
established and has submitted a letter of resignation.
2) Approve the use of a "Planned Recruitment Position Pool"
administered by the Human Resources Department within the
Division 540 FTE budget.
3) Approve the revisions to Recruitment Policy B150.00.
Minutes of the Finance, Administration and Human Resources Committee Meeting
Page 5
March 1 O, 2004
c. FAHR04-22 Recommend to the Board of Directors to adopt Resolution No. OCSD 04-XX,
Establishing Policies and Procedures for the Award of Purchase Orders and
Contracts; Award of Public Works Project Contracts; Award of Professional
Services Contracts; and Delegation of Authority to Implement Said Policies
and Procedures; and Repealing Resolution No. OCSD 99-23.
Marc Dubois, Purchasing Manager, explained the proposed changes to
the purchasing resolution, which was last revised in 1999. The main
reasons are to provide approval level consistencies and clarify several
issues. The changes will allow staff to streamline the way we do
business, and to gain time by reducing the number of separate agenda
reports going to the Board. The General Manager will have authority to
file Notices of Completion and approve time extension change orders if
there are no costs associated with the extension. All of the items that
have costs over $50,000 and are approved by the General Manager are
and will continue to be reported to the Committee of jurisdiction.
Mr. Anderson identified two sections in the resolution that refer to
selection committees and the proposed language change. Because of
recent conflict of interest issues experienced by other agencies as a result
of members of governing bodies serving on selection committees, staff is
recommending that the committee direct staff on whether to include the
words "strongly discourage' or 'prohibit' in those sections. The committee
directed staff to change the wording to 'prohibit.' Exceptions are identified
and need Chair approval.
(12) INFORMATION PRESENTATIONS
There were none.
(13) CLOSED SESSION
There was no Closed Session.
(14) OTHER BUSINESS. COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS, IF
ANY
Director Joy Neugebauer asked for a copy of the video of the February 18 New Directors Workshop.
Carol Beekman will provide this.
(15) MATTERS WHICH A DIRECTOR MAY WISH TO PLACE ON A FUTURE AGENDA FOR
ACTION AND STAFF REPORT
There were none.
' I
Minutes of the Finance, Administration and Human Resources Committee Meeting
Page6
March 10, 2004
(16) CONSIDERATION OF UPCOMING MEETINGS
The next FAHR Committee meeting is scheduled for April 14, 2004 at 5 p.m.
(17) ADJOURNMENT
The Chair declared the meeting adjourned at 6:50 p.m.
Submitted by:
J~~~
A~ :::committee Secretary
H:\dept\agenda\FAHR\FAHR2004\0204\021104 FAHR Minutes.doc
STATE OF CALIFORNIA )
) ss .:
COUNTY OF ORANGE )
Pursuant to California Government Code Section 54954.2, I hereby certify
that the Notice and Agenda for the Finance, Administration and Human
Resources Committee meeting to be held on March 10, 2004, was duly posted
for public inspection in the main lobby of the District's offices on March 3, 2004.
IN WITNESS WHEREOF, I have hereunto set my hand this Wednesday,
March 3, 2004.
E. Tappan, Acting e
o rd of Directors
Orange County Sanitation District
Posted: March 3, 2004 at 8:00 A.M.
By ~~
ROLL CALL
FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE
Meeting Date: March 10, 2004 Time: 5:00 p.m.
Adjourn:
COMMITTEE MEMBERS
/
Brian Brady (Chair) V_
Roy Moore (Vice Chair) .,,,,,,
Patricia Bortle v
Mike Duvall ~
Bill Dalton ...........
Joy L. Neuoebauer L_
James W. Silva ~
Shirley McCracken (Board Chair)
Steve Anderson (Board Vice Chair)
f ~
..-T-o_m_Wooamf'--"'---f-, G_e_n_e-ra_l _C_o-un_s_e_l -----~-~ · /_~ ~
Don Hu hes ~/_~
STAFF
Bob Ooten, Director of O & M
Lisa Tomko, Director of Human Resources ~
Ga Streed, Director of Finance/Treasurer ✓
Patrick Miles, Director of Information Technolo
Robert Ghirelli, Director of Technical Services
Carol Beekman, Communications Services M r
Mike White, Controller
AGENDA
REGULAR MEETING OF THE
FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE
(1)
(2)
ORANGE COUNTY SANITATION DISTRICT
WEDNESDAY, MARCH 10, 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 Not 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 Adjournment: 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).
ROLL CALL
FILED
0 IN THE OFFICE OF THE SECRETARY
APPOINTMENT OF CHAIR PRO TEM. IF NECESSARY RANGE rn• .,...,,"•~ .. -.• ,...,~,DISTRICT
MAR 2 4 2004 a9rm~
March 10, 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
a. Report of the contract internal auditors, Moss, Levy & Hartzheim.
(5) REPORT OF GENERAL MANAGER
(6) REPORT OF DIRECTOR OF FINANCE
(7) REPORT OF DIRECTOR OF HUMAN RESOURCES
(8) REPORT OF COMMUNICATIONS SERVICES MANAGER
~
(9) REPORT OF GENERAL COUNSEL
(10) CONSENT CALENDAR ITEMS
Consideration of motion to approve all agenda items appearing on the Consent Calendar not
specifically removed from same, as follows:
[ All matters placed on the consent calendar are considered as not requiring discussion or further explanation and · :
[unless any particular item is requested to be removed from the consent calendar by a Director or staff member, l
\there will be no separate discussion of these items. All items on the consent calendar will be enacted by one !
:action approving all motions, and casting a unanimous ballot for resolutions included on the consent calendar. All 1
!items removed from the consent calendar shall be considered in the regular order of business. i
IThe Chair will determine if any items are to be deleted from the consent calendar. I
• ••·•·••••••••••·•••·••••• .. ••••••••••••••••••••••••••• .. •••• .. •••••••u• .. ·••·•,..o••·•••• .. ..,••• .. ••• .. •••••••uoo•••••• .. •••••••••••••••••-•••••••••• .. ••••••• .. •••••••••••••••••••••••-••••••••••••••• .. •-••• .. •• .. •• .. •••••·•·••••••••·• .. ••·••••••••••••••••• .. ••••••••••••••••••••••••••••••'
a.
b.
Approve minutes of the February 11, 2004, Finance, Administration and Human
Resources Committee meeting.
FAHR04-14 Recommend to the Board of Directors to receive and file Treasurer's
Report for the month of February 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
March 10, 2004
c. FAHR04-15 Receive and file Certificate of Participation (COP) Monthly Report.
d. FAHR04-16 Receive and file Employment Status Report as of February 24, 2004.
e. FAHR04-17 Receive and file OSHA Incidence Rates and Workers' Compensation
Claims and Costs Report.
f. FAHR04-18 Receive and file report of General Manager approved purchases in
amounts exceeding $50,000 in accordance with Board purchasing
policies.
g. FAHR04-19 Recommend to the Board of Directors to adopt Resolution No.
OCSD 04-XX. Adopting Policies and Procedures for District's Records
Management Program, Records Retention, and Destruction of Obsolete
Records, and Repealing Resolution No. OCSD 03-06.
END OF CONSENT CALENDAR
Consideration of items deleted from Consent Calendar, if any.
(11) ACTION ITEMS
a. FAHR04-20 Recommend to the Board of Directors to:
1) Reject the unsolicited, non-competitive, proposal of Revenue
Enhancement Group to contract their services to review and to collect
sewer service user charges assessed non-residential parcels; and
2) Direct staff to proceed to evaluate non-residential parcels to
I .t1J determine if they have been undercharged for annual sewer service user >f-.\" · fees and, if so, to collect the proper charges on the property tax bill on a
~ going forward basis.
(Gary Streed -15 minutes)
b. FAHR04-21 Recommend to the Board of Directors to:
1) Approve the use of planned recruitments, on an as needed basis, to
fill key positions within the organization where an individual holding a key
position has a specific termination date previously established and has
submitted a letter of resignation. ~
2) Approve the use of a "Planned Recruitment Position Pool" ~
administered by the Human Resources Department within the Division
540 FTE budget.
3) Approve the revisions to Recruitment Policy B150.00.
(Lisa Arosteguy -15 minutes)
3
March 10, 2004
c. FAHR04-22 Recommend to the Board of Directors to adopt Resolution No. OCSD
04-XX, Establishing Policies and Procedures for the Award of Purchase
Orders and Contracts; Award of Public Works Project Contracts; Award of
Professional Services Contracts; and Delegation of Authority to
Implement Said Policies and Procedures; and Repealing Resolution No.
OCSD 99-23.
(Marc Dubois -15 minutes)
(12) INFORMATIONAL PRESENTATIONS
None.
(13) CLOSED SESSION
I During the course of conducting the business set forth on this agenda as a regular meeting of the i
I Committee, the Chair may convene the Committee in closed session to consider matters of pending real i
: estate negotiations, pending or potential litigation, or personnel matters, pursuant to Government Code !
! Sections 54956.8, 54956.9, 54957 or 54957.6, as noted. !
I Reports relating to (a) purchase and sale of real property; (b} matters of pending or potential litigation; (c) !
: employee actions or negotiations with employee representatives; or which are exempt from public disclosure 1 i under the California Public Records Act, may be reviewed by the Committee during a permitted closed !
j session and are not available for public inspection. At such time as final actions are taken by the Committee j
i on any of these subjects, the minutes will reflect all required disclosures of information. !
i OOH••··• , ......... -.................................................................................. UUOUO• .. •··•• ........................................ , ... ••··••·•··•••··•• ......... , ••• _ ......................... .,. •••••••••• ..,,,, •• n .................................. , ..... ,.U ~
A. Convene in closed session.
B. Reconvene in regular session.
C. Consideration of action, if any, on matters considered in closed session.
(14) OTHER BUSINESS, COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS, IF ANY
(15) MATTERS WHICH A DIRECTOR MAY WISH TO PLACE ON A FUTURE AGENDA
FOR ACTION AND STAFF REPORT
(16) FUTURE MEETING DATES
The next Finance, Administration and Human Resources Committee Meeting is
scheduled for April 14, 2004, at 5 p.m.
(17) ADJOURNMENT
4
March 10, 2004
.,..-................. ·•••••••• .. u .. •1•1hnHo ... ,oooUU u• .. • .. •••UH .. •••• .. •• .. ••• .. ••uoooHo•~•• .. • .. ••••••• .. •• ................. •hn•• .... •••• .. .,.••••••••••••• .. •••·••·•u •·••••••·•• .. •• .... •••••••••••••••-• .. •• .... •••• .. •••·•••••• .... ••• .. • .. •••••• u~o•••••oUoO•••ouoo,n, I Notice to Committee Members: !
!For any questions on the agenda or to place any items on the agenda, Committee members should contact the 1
jCommittee Chair or Secretary ten days in advance of the Committee meeting. 1,
JCommittee Chair: Brian Brady (949) 453-5300
!Committee Secretary: Penny Kyle (714) 593-7130 pkyle@ocsd.com l,,_!
[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 1
i Communication .. Services .Manag_er .... Carol Beekman ........................ (714) 593-7120 ..... _cbeekman@ocsd.com .. _ ............................. i
H:\dept\fin\210\CRANE\FAHR\FAHR2004\MARCH\01.3.FAHR Agenda.doc
5
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PDC Comments and Staff Recommendations for Changes to Proposed Dele Jation of Authority
PDC recommendations Staff Proposed Delegation Staff Proposed Delegation Changes or
and observations language Objective recommendations
Page 15, Section 3.15: Shouldn't No real property of OCSD may be The new language includes two No negotiations concerning the
Board discuss sale of real property sold, nor any negotiations leading additional reviewers to ensure sale of real property of OCSD may
before it occurs instead of giving to such sale may be made, consistency and clearer lines of be made without prior review from
subsequent approval? without prior review from authority. The Board will approve the Contracts/Purchasing
Purchasing, General Counsel, and all real property sales before they Manager and the General
subsequent approval of the Board are made. Counsel. No real property of
of Directors. OCSD may be sold without prior
approval of the Board of Directors.
Page 17-18, Section 4.03 D & F: The Board of Directors or The processes to award to the The Contracts/Purchasing
The Board or the Contracts/Purchasing Manager next lowest bidder when the low Manager may, on refusal or failure
Contracts/Purchasing Manager may, on refusal or failure of the bidder fails to execute a contract of the successful bidder to execute
may award to the next lowest successful bidder to execute the or to reject all bids and to rebid the contract, award it to the next
bidder or reject all bids. Who contract, award it to the next are procedural. lowest responsive, responsible
decides if it is the Board or the lowest responsive, responsible bidder.
Contracts/Purchasing Manager? bidder. The new language was intended
to cover both Board and non-In his discretion, the
In its discretion, the Board of Board approved procurements. Contracts/Purchasing Manager
Directors or Contracts/Purchasing may reject any and all bids
Manager may reject any and all Any procurement over $100,000 presented and re-advertise for
bids presented and re-advertise would be reviewed and approved bids.
for bids. by the Board in any case.
Page 18, Section 4.04, C: Said contract for supplies, The language proposed applies Said contract for supplies,
Contracts/Purchasing Manager materials, equipment or services, only to contracts that have already materials, equipment or services,
has approval for multiple one year including Professional Service been approved by the Board and including Professional Service
renewal periods. Not comfortable Consultants, has Board of that contain a provision for fixed Consultants, includes Board of
giving that much authority without Directors' approval for multiple number of renewals at the Directors' Qre-aQQroval for multiple
Board approval. one (1) year renewal periods. All District's option. one (1) year renewal periods at
such contract renewals shall the District's option. All such
require the Contracts/Purchasing This language makes it clear that contract renewals shall require the
Manager's approval. the Contracts/Purchasing Contracts/Purchasing Manager's
Manager can exercise those pre-approval.
approved options .
.
Page 1 of 3
PDC Comments and Staff Recommendations for Changes to Proposed Delegation of Authotity
PDC recommendations Staff Proposed Delegation Staff Proposed Delegation Changes or
and observations language Objective recommendations
Page 19, Section 4.07: How do The supplies, materials, The intent was to include The supplies, materials,
you inspect a Professional Service equipment or services delivered, professional services or equipment or services delivered,
Consultant? Does he/she have to including Professional Service deliverables resulting from a including Qerformance or
undress? Consultants performed, shall be professional services contract. deliverables resulting from a
inspected to determine their Professional Service Contract,
conformance with the shall be inspected to determine
specifications set forth in the their conformance with the
purchase order or contract. specifications set forth in the
Purchasing shall have the purchase order or contract.
authority to request professional Purchasing shall have the
services, or to require chemical authority to request professional
and physical tests of samples services, or to require chemical
submitted with bids and samples and physical tests of samples
of deliveries which are necessary submitted with bids and samples
to determine their quality and of deliveries which are necessary
conformance with specifications. to determine their quality and
conformance with specifications.
Page 24, Section 5.05: Board Thereafter, the Director of This is not a change. The renewal If a change is desired, staff
approval for renewals is absent. Engineering (DOE) shall be opportunity language has been in suggests we insert the following
authorized to recommend to the place for the past 5 years and is language into A, prior to the
General Manager an extension of the result of a recommendation existing renewal language: "The
the qualified Professional Design from the PDC at that time. master list of firms will be selected
Service Agreement for up to two based upon a solicitation, review
(2) additional one (1) year renewal Because of the initial Board of qualifications, and Board
periods, for a total of three (3) approval and the maximum approval of the ag reements
years, with each of the Parties annual payment to a single firm, including u12 to two annual OQtional
designated on the approved the renewals are the discretion of renewals."
master list the General Manager.
Page 2 of 3
~
PDC Comments and Staff Recommendations for Changes to Proposed Delegation of Authority
PDC recommendations Staff Proposed Delegation Staff Proposed Delegation Changes or
and observations language Objective recommendations
Page 28, Section 5.08 H, For projects that involve small The intent is to eliminate Delete the word "small" from the
Subsection 2 viii: For projects that engineering studies where a confusing language in the currently proposed language. The
involve "small" engineering consultant is asked to provide a proposed delegation that may proposal was based upon
studies, what is small? report not related or leading infer errors and omissions relationship to a project, not the
directly to a design project, the insurance is required in all dollar value.
General Manager (based upon engineering studies.
engineering data from the
Department Director), in his Many times errors and omissions
discretion, may waive the insurance requirements would be
requirement for the consultant to inappropriate for specific studies.
provide errors and
omissions/professional liability
insurance.
Page 36, Section 7.02 A: Does Authorization to evaluate Currently the Director of The language could be changed to
the Director of Engineering need proposals and execute a Task Engineering can issue a task retain the $50,000 task order and
$75,000 authority to execute a Order up to $75,000. order up to $50,000 and the $50,000 addenda limits in the
task order? General Manager can authorize existing Resolution 99-23, if that is
changes up to a combined total of the Committee's desire.
$100,000. ~ The proposed increase in the task
order amount is offset by a
reduction in the General
Manager's authority for changes.
The combined staff total authority
remains at $100,000_
Page 38, Section 7.04 A: Have The approval authorities included To keep the current delegation General Manager limits are
difficulty with higher figures. in the Resolution mailed to the limits for construction contracts as $100,000.
PDC were reduced by staff after defined in Resolution 99-23 and
the mailing and are not proposed. as shown in the FAHR agenda The PDC Committee limits are
package. $200,000.
Page 3 of 3
ROBERT M. MOSS, C.P.A •
RONALD A. LEVY, C.P.A. •
CRAIG A. HARTZHEIM, C.P.A. •
BRETT I. MILLER, C.P.A
TONI RICE, C.P.A.
HADLEY HUI, C.P.A.
CONNIE WU, C.P.A.
PAUL NIEDERMULLER, C.P.A.
KARAN C. POHL, C P.A ..
•PDiOtUNDl'USJONALooetPOaAT10N
March 3, 2004
To the Board of Directors:
MOSS, LEVY & HARTZHEIM
CERTIFIED PUBLIC ACCOUNTANTS
9107 WILSHIRE BLVD., SUITE 320
BEYERL Y HILLS, CALIFORNIA 90210
MEMBER:
TELEPHONE (310) 273-2745
FAX (310) 273-1689
E-MAIL: mlhbh@pacbell.net
--AMERICAN INSTITIITE OF C.P.A.S
CALIFORNIA SOCIETY OF C.P.A.S
CALIFORNIA SOCIETY OF
MUNICIPAL FINANCE OFFICERS
CALIFORNIA ASSOCIATION OF
SCHOOL BUSINESS OFFICIALS
Orange County Sanitation District
P.O. Box 8127
10844 Ellis Avenue
Fountain Valley, California 92728-8127
OFFICES:
--BEYERL Y IDLLS, CALIFORNIA
SANTA MARIA, CALIFORNIA
SACRAMENTO, CALIFORNIA
We were engaged to review the internal control system of the Orange County Sanitation District.
The following is a list of findings, potential effects and related recommendation from our interim
visit during February 25 to 27, 2004.
A. Board Minutes
Finding #Al -Approval of Sole Source Contracts:
During our review of the board minutes, we noted that the board approved material contracts
without competitive biding (sole source).
Effect:
The District may commit to a higher contract price, than necessary.
Recommendation:
Contracts of material amounts should not be sole source to avoid possible higher contract price.
B. Cash and Investment
Finding #B l -Bank Reconciliation -Stale Dated Checks:
During our review of the monthly bank reconciliation of the general operating account, we noted
that some of the outstanding checks were more than six months old.
Effect:
Incorrect cash balance was presented.
Recommendation:
The District should inform the bank to stop the payment of those outstanding checks and the
district should reverse those checks.
Finding #B2 -Monthly Investment Statement:
During our review of the custodian bank, Mellon Trust, monthly investment statement, we noted
that the statement presents percentage of total market value for each type of security but does not
calculate percentage based on cost.
Effect:
The more a security declines in its value, the lesser the percent of the total market value and
therefore, the less significant is the percentage and thus less importance is attached to it.
Recommendation:
The District should have the custodian bank present both percentages.
Finding #B3 -Signific ant Decline in Security's Value and Violation of the Investment P olicy
During our review of the monthly investment statement, we noted that the value of the United
Airline Passthrough Bonds purchased on August 22, 2001 and maturing on March 1, 2010 for the
cost of $1,600,000 has significantly declined. The bonds' current market value is $289,680.
Also, the purchase of these corporate bonds is a violation of the District's investment policy
because the investment policy only permits the purchase of corporate notes not bonds with a
maturity of 5 years or less.
Effect:
It is a violation of the District's investment policy and reduces future investment earnings.
Recommendation:
The District should send a notification to PIM CO of the violation and or discussion with them as
to the $1,310,320 unrealized loss.
Finding, #B4 -Negative Rate of Return on Corporate Bonds Investment
During our review of the monthly investment statement, unrealized gains at January 31, 2004 are
2.08% of the cost of investment in government and governmental types, but are a negative 4.02%
in corporate bonds.
Effect:
It will reduce District's future investment earning.
2
Rec0mmendation:
The District should consider instituting a policy of no purchases of corporate bonds in view of the
above mention ed unrealfaed lesses and the economic climate for business at this time.
Finding #BS-Investments with Maturity Date More Than 10 Years
During our review of the monthly investment statement, we noted that bonds with maturity dates
extending beyond 10 years from the present amount to more than $64 million. Almost all of the
bonds bear interest rates of 5.0% to 6.5%.
Effect:
If inflation returns and the Federal Reserve raises the interest rates, these bonds would sustain a
major decrease in value.
Recommendation:
The Board should discuss with its investment advisor as to the potential exposure and possible
corrective measures.
C. Computer Assess
Finding,#Cl -Adding a New Vendor
During our review on the District's computer system, we noted that purchasing, payroll, accounts
receivable, accounts payable, and human resources departments all have access to add or change
a vendor's information.
The District could pay an unauthorized vendor or employee.
Recommendation:
Only the purchasing department and the human resource department should be allowed to add or
change a vendor's information.
Finding #C2 -Changing Pay Rate
During our review on the District's computer system, we noted that besides the human resources
department, the payroll department also has access to change the pay rate.
Unauthorized change in pay rate.
Recommendation:
Only the human resources department is allowed to change the pay rate.
3
D. Accounts Receivable
Finding #DI -Uncollected Receivable
During our review of the District's accounts receivable aging report, we noted that there are large
amounts of long past due receivables (both governmental and non-governmental customers).
Also, some accounts with outstanding balances more than 6 months old are still being given
credit from the District.
Effect:
Possible overstatement of its revenue.
Recommendation:
The District should set up a credit approval system and collect a deposit before providing service.
Also, the District should set a maximum number of past due days before a customer loses credit
availability and is forced to pay or face a lien being placed on its property.
E. Inventory Control
Finding #El -Adjustment Without Proper Authorization
During our review of the District's inventory control system, we noted that no formal written
documentation was used to account for inventory adjustments. Potential adjustments during the
daily counts were approved verbally by the warehouse supervisor.
Effect:
Possible misappropriation of District's assets.
Recommendation:
Any adjustment should be approved by authorized personnel with written documentation.
Finding #E2 -Change of Inventory Record
During our review of the District's inventory control system, we noted that almost every
employee in the warehouse with computer access could change the inventory records.
Effect:
Possible misappropriation of District's assets.
Recommendation:
Only one person in the warehouse should have access to the inventory record.
4
Finding #E3 -Vehicle Parts
During our review of the District's inventory control system, we noted that when employees from
the fleet department require a part to fix a vehicle, no license plate number is required.
Effect:
Possible misappropriation of District's assets.
Recommendation:
The District should revise its computer system to allow personnel in the inventory department to
input a license plate number before releasing any parts.
Finding #E4 -Releasing Inventory
During q.µr review of the District's inventory control system, we noted that employees retrieve
warehouse items prior to supervisor approval.
Effect:
Possible misappropriation of District's assets.
Recommendation:
Warehouse should not release any inventory item without proper approval by the supervisor.
The above recommendations and suggestions herein noted are of a general nature only and are
not to be taken as criticism of any departments and advisors. Should you wish to have a more
detailed explanation or assistance in executing them, we would be happy to be of assistance in
anyway.
Moss, Levy & Hartzheim CPAs
5
ll ,
I •
I
FAHR COMMITTEE
AGENDA REPORT
Orange County Sanitation District
FROM: Gary Streed, Director of Finance
Originator: Michael White, Controller
Meeting Date To Bel. of Dir.
03/10/04 03/24/04·
Item Number Item Number
FAHR04-14
SUBJECT: TREASURER'S REPORT FOR THE MONTH OF FEBRUARY 2004
GENERAL MANAGER'S RECOMMENDATION
Receive and file Treasurer's Report for the month of February 2004.
SUMMARY
Pacific Investment Management Co. (PIMCO), serves as the District's professional
external money manager, and Mellon Trust serves as the District's third-party custodian
bank for the investment program. 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, B3, 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+, B-, 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:\dept\fin\220\geggie\FAHR\TREASRPT031004.doc
Page 1
Baa2, and with S&P from A-to BBB. 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 uinderlying 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
• [81
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 transactioh·s 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 $79.3 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 $141,311,000.
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:\deptlfin\220\geggie\FAHRITREASRPT031004.doc
Page2
Book Balances Estimated
Investment Accounts February 29, 2004 Yield(%)
State of Calif. LAIF $ 16,928,614 1.44
Union Bank Checking Account 3,792,356 0.87 (1)
PIMCO -Short-term Portfolio 91,337,109 1.37
PIMCO -Long-term Portfolio 388,475,848 2.21
Petty Cash 5 000 N/A
TOTAL $500 538 92Z 2.03
Debt Service Reserves w/Trustees $j4j_3jj 069 2.09
.. (1) This Is the annualized yield for the month of January. The February 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:\depllfin\220\geggie\FAHRITREASRPT031004.doc
Page 3
Prepared by Finance, 3/9/2004, 1: 18 PM
Monthly Investment Balances by Type-
Last Six Months
$700,000,000 ---.------------------------------
$600,000,000 --
$500,000,000 --1-
$40010001 000 I II.
$300,000,000
$200,000,000
$100,000,000
$0
September
2003
October
2003
November
2003
December
2003
l31PIMCO-Long-term ~PIMCO -Short-term mcop Debt Reserves
mLAIF •Bank Accts • Petty Cash
H:\dept\fin\EXCEL.dta\220\geggie\mo treas rpt\Monthly Investment Balances Graph.xis
January
2004
February
2004
Orange County Sanitation District
Investment Transactions and Balances in the
State of California Local Agency Investment Fund
February 29, 2004
Par Value Book Value Market Value
Balance
February 1, 2004 $21,228,614 $21,228,614 $21,228,614
Deposits:
2/18/2004 6,600,000 6,600,000 6,600,000
Total Deposits 6,600,000 6,600,000 6,600,000
Withdrawals:
2/4/2004 (2,200,000) (2,200,000) (2,200,000)
2/13/2004 (5,300,000) (5,300,000) (5,300,000)
2/26/2004 (3,400,000) (3,400,000} (3,400,000}
Total Withdrawls (10,900,000) (10,900,000) (1 0,900,000)
Balance
February 29, 2004 $16,928,614 $16,928,614 $16,928,614
Rate Yield
1.44 1.44
1.44 1.44
1.44 1.44
1.44 1.44
1.44 1.44
1.44 1.44
1.44 1.44
1.44 1.44
PIM C 0
March 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 February 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 gained in February as employment data continued to indicate that excess
capacity in the labor markets helped keep domestic inflation low and stable. U.S. Treasuries
returned 1.24% for the month, with the yield on the benchmark IO-year Treasury finishing below
the 4% threshold (3 .98%), down 16 basis points from the end of January. Treasury Inflation
Protected Securities, or TIPS, outperformed nominal Treasuries; the Lehman Brothers U.S. TIPS
index returned 2.31% in February. Mortgage-backed securities returned 0.84%, outpacing
Treasuries by 17 basis points after adjusting for duration. Within the sector, conventionals
(Freddie Mac and Fannie Mae) led Ginnie Mae issues, posting duration-adjusted excess returns of
21, 18 and 7 basis points, respectively. The credit sector, represented by the Lehman Credit
Index, performed in line with Treasuries for the month. Within the sector, higher quality
investment grade corporates outperformed, with Aa-rated bonds beating like-duration Treasuries
by 4 basis points, whereas Baa issues lagged by 11 basis points.
Despite optimistic remarks made by Fed Chairman Greenspan in his semi-annual Congressional
testimony, key economic releases during the month failed to meet expectations. Greenspan
remarked, "In all likelihood, employment will begin to grow more quickly before long as output
continues to expand." However, February kicked off with a disappointing Employment Situation
Report, issued by The Bureau of Labor Statistics. The monthly report indicated that net payroll
jobs increased by 112,000, below consensus expectations of 125,000. Manufacturing payrolls
declined for the 42nd consecutive month, and job growth in service industries was weak.
Separately, the Conference Board Index of Consumer Confidence also fell more than expected.
Mr. Mike White, CPA
Orange County Sanitation District
March 9, 2004
Page2
Both components of the index fell -present situation and future expectations -though the latter
more severely. With hiring and consumer confidence relatively weak, it was little surprise that
inflation remained muted. Excluding volatile food and energy prices, the CPI rose 0.2%, leaving
the annual rate of core inflation at 1.1 %, the lowest level since 1966. February closed with a
positive surprise -the Bureau of Economic Analysis revised fourth quarter GDP upward, from
4.0% to 4.1 %. Stronger than initially reported business equipment and software spending, more
inventory investment, stronger exports and higher non-durable consumption drove the revision,
preserving hopes that the economic recovery will become self-sustaining.
Treasury yield changes during the month of February are summarized as follows:
• 3-month bills: +3 basis points to 0.94%
• 6-month bills: + 1 basis point to 1.00%
• 2-year notes: -18 basis points to 1.64%
• 5-year notes: -20 basis points to 2.94%
• 10-year notes: -16 basis points to 3.97%
• 30-year notes: -12 basis points to 4.84%
Per(orma11ce Attribution:
Long-Term Portfolio
The Long-Term portfolio that PIMCO manages on behalf of Orange County Sanitation District
generated a total return of 0.66 percent for the month of February, lagging the Merrill Lynch 1-5
year Government Corporate Index by 6 basis points. The following points summarize returns for
the period ended February 29:
• The Long-Tenn portfolio lagged the benchmark by 6 basis points for the month.
• For the twelve-month period1 the Long-Tenn portfolio returned 3. 19%, underperfonning
the benchmark by 28 basis points.
• Portfolio duration, below the index, was negative for monthly performance as rates fell
across most maturities.
• Yield curve positioning similar to that of the index was neutral for performance.
• Corporates and Treasuries provided nearly identical returns for 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.
Mr. Mike White, CPA
Orange County Sanitation District
Liquid Portfolio
March 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 February, performing in line with the
3-month Treasury Bill Index for the month. The following points summarize returns for the
period ending February 29:
• The Liquid portfolio performed in line with the benchmark for the month.
• For the twelve-month period, the Liquid portfolio returned 1.19%, outperforming the
benchmark by 17 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
February 29:
• 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
March 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. 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.
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, CF A
Senior Vice President
Orange County Sanitation District
for the month ending February 29, 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
391,024,366
384,808,109
2.21
With Accrued Interest
91,543,278
91,703,783
1.37
2003 COP Proceeds -Future Construction -2203
Market Value
BookV11lue
Yield to Maturity
With Accrued Interest
79,266,564
79,418,235
1.33
Without Accrued Interest
388,585,844
382,369,588
2.22
Without Accrued Interest
91,356,045
91,516,551
1.37
Without Accrued Interest
79,074,103
79,225,774
t.33
MONTHLY REPORT
ORANGE COUNTY SANITATION DISTRICT
INVESTMENT MANAGEMENT PROGRAM
PIMCO'S PERFORMANCE MONITORING & REPORTING
(for the month ended 29 February 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 Imnact ( !a!ain/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 Oualitv:
15.1.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A":
15.1.8 INVESTMENT POLICY COMPLIANCE "In Comnliance"
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 2 basis points for the month, and by 8 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:ldeptlfin\220\Gej:glelFAHRILIQOB00-04-0l.RPT.doc
Page 1 of 1
$91,543,278
$91,538,826
$91,703,783
$91,714,015
0.21
0.20
$192,241
0%
70%
''A.AA.''
0%
Yes
Portfolio Index
0.09 0.07
0.27 0.23
1.19 1.02
0.72 0.64
MONTHLY REPORT
ORANGE COUNTY SANITATION DISTRICT
INVESTMENT MANAGEMENT PROGRAM
PIMCO'S PERFORMANCE MONITORING & REPORTING
(for the month ended 29 February 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 % INTEREST RATE CHANGE Dollar lmoact foain/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 A veral!e Portfolio Credit Oualitv:
15.1.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A":
15.1.8 INVESTMENT POLICY COMPLIANCE "In Comoliance"
15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by
Period:
1 Month:
3 Months:
12 Months:
Fiscal Year-to-Date:
• The Long-Term portfolio lagged the benchmark by 6 basis points for the month, but ,outperformed the benchmark by 8 basis points fiscal year-to-date.
• Portfolio duration, below the index, was negative for monthly performance a,·; rates fell across maturities.
• Yield curve positioning similar to that of the index was neutral for performance.
• Corporates and Treasuries provided nearly identical returns for the month. Substituting TlP's for nominal Treasuries was positive for performance, as TIP's outperformed nominals.
• Exposure to mortgage-backed securities was positive for relative perfonnan~ as the sector outperform.ed Treasuries on a duration-adjusted basis_
Page 1 of 3
$391,024,366
$391,046,960
$384,808,109
$385,631,941
1.95
2.45
$7,624,975
0%
10%
AAA
0%
No*
Portfolio Index
0.66 0.72
1.71 1.87
3.19 3.47
1.66 1.58
*Compliance Issues:
MONTHLY REPORT
ORANGE COUNTY SANITATION DISTRICT
INVESTMENT MANAGEMENT PROGRAM
PIMCO'S PERFORMANCE MONITORING & REPORTING
(for the month ended 29 February 2004)
Page 2 of 3
$1,600,000 par of United Airlines (UAL) Pass-Through 2001-1-C (Enhanced Equipment Trust Certificate (EETC) -909317BC2), 6.831 % coupon, 9/1/2008
maturity, representing 0.41 % of the portfolio holdings on a par basis was purchased on 8/10/2001; and subsequently downgraded by Moody's from A3 to BAI (on
9/18/2001) and S&P from A-to BBB (on 9/20/2001). The security was further downgraded by Moody's fromBAl to BA3 (on 12/21/2001) and by S&P from BBB to BB
(on 6/28/02). Following news of the possible bankruptcy filing, the security was further downgraded in August (B3 Moody's, B+ by S&P). On November 29, 2002, S&P
further downgraded this issue to B, and shortly thereafter on December 9, 2002, downgraded the issue one notch further to B-. On August 7, 2003, S&P downgraded the
issue to CCC+, while Moody's followed suit on August 28, 2003 with a downgrade to CA. 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.
In February 2004, Moody's announced that they will be dropping their credit ratings for all ofUAL's debt. Moody's stated that it was the lack of information on the restructuring.
UAL has continued to delay disclosure of information on their restructuring plan and it appears the company did not update Moody's on a regular enough basis for them to feel
comfortable rating UAL's debt. S&P has maintained their existing ratings and at this time, Fitch does not rate UAL's debt.
UAL recently announced fourth quarter earnings numbers. While they posted a loss for the quarter, it was narrower than expected and the company stated that forward bookings
were up from last year in the international arena that had been hurt by the Iraqi war. The company also maintained a strong cash balance during a seasonally weak quarter. UAL
ended the quarter with a cash balance of$2.4 billion, including $679 million in restricted cash.
On February 20, bankruptcy court filings revealed that UAL has reached a preliminary agreement with a group of174 aircraft lessors and secured lenders (dubbed the Chapman
Group after their lead counsel, Chapman & Cutler), representing about 20% of UAL' s in-service fleet. A final agreement is expected to be completed by March 2nd• Importantly, the
agreement is consistent with UAL's financial plan and projections provided to the ATSB and creditor groups. This represents the last group of creditors needed for UAL to
complete its A TSB loan application, a key gatekeeper to its emergence from Chapter 11. Consequently, this announcement should be positive for UAL bond prices.
In response, UAL's creditor committee filed documents objecting to the agreement suggesting that antitrust laws may have been violated because of the "stranglehold" that the
owners of the aircraft have over UAL allowing them to extract "excessive payments". PIMCO views this charge as having little basis in reality and an attempt by other creditors
lawyers to try whatever they can to further their own clients interests. The bankruptcy judge turned down the creditors committee request for evidence gathering, but did allow them
to hire special counsel to look into the matter while the negotiations continue with the Chapman Group. The specific terms of the Chapman Group's deal were filed with the court
under seal and therefore not made public.
PIMCO's position is to continue holding UAL securities. While PIMCO is disappointed that UAL has delayed the disclosure of their reorganization plan and appears to have not
been communicating effectively with Moody's, PIMCO continues to be part of a group that is negotiating directly with the company on behalf of bondholders. PIMCO is still
limited in the information it can disclose at this point, as some of the information in the negotiating process is non-public. PIM CO believes that continuing to hold the securities is
the best strategy to maximize value.
$1,000,000 par of Ptlilip 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 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. In November, PIMCO sold $4,000,000 par (of the $5,000,000 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.
MONTHLY REPORT
ORANGE COUNTY SANITATION DISTRICT
INVESTMENT MANAGEMENT PROGRAM
PIMCO'S PERFORMANCE MONITORING & REPORTING
(for the month ended 29 February 2004)
Page3 o/3
Prior to the judgment, PIMCO's analysis of Altria (the holding company and issuer of the debt) shows investment grade credit metrics even excluding in its entirety Philip Morris
USA (the domestic tobacco subsidiary and the entity subject to all of the legal suits). The analysis was based on the assumption that the horizon of any final verdict would be years
in the future, while the company would generated significant cash flow in the interim.
On March 5, the Minnesota Court of Appeals declined to review a lower court's decision that rejected class-action status in a "lights" cigarette case against Philip Morris USA. The
lawsuit was not based on claims of illness or personal injury from smoking but on allegedly deceptive trade practices. In the suit, the plaintiffs claimed Philip Morris violated state
laws by tricking smokers into believing Marlboro Lights delivered less tar and nicotine than regular cigarettes.
"This decision continues the trend throughout the nation in which federal and state courts in more than 60 cases have refused to certify tobacco lawsuits as class actions," said
William S. Ohlemeyer, Philip Morris USA vice president and general counsel, in a written statement.
According to Altria Group Inc.' s Philip Morris USA, three "lights'' cases pending against the cigarette maker have been certified as class action cases. The suits are pending in
Illinois, Ohio, and Missouri, and all are being appealed. State appellate courts have decertified two "lights" cases in Massachusetts and Florida. The Illinois case resulted in a $IO.I
billion judgment against Philip Morris. The case is currently under review by the Illinois Supreme Court.
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 Mo,ody's or A-by S&P, with at least a BBB in the event of a split rating.
• $3,500,000 par of Ford Motor Credit securities ($2.5 million represented 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 l l/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 carry a Moody's rating of A3.
H:ldeptljinl2201GeggielF AHRIL-T0800-0t/-02.RPT.doc
@ Asset Summary Report ID: GL8251
Mellon Base Currency: USD
by Asset Type with Sectors Alternate Base Currency:
Exchange Rate:
LIQUID OPER-PIMCO -OCSF0751 l 102 2129/2004 Status: FINAL
Net Unrealized
Cost Market Value %of Gain/Loss Description Shares Par Base u,se Total Base
CASH & CASH EQUIVALENTS
U.S. DOLLAR
INTEREST 201,717.53 201,717.53 0.22% 0.00
COMMERCIAL PAPER -DISCOUNT 4,500,000.000 4,494,000.00 4,494,000.00 4.91% 0.00
FED HM LOAN BNK -LESS THAN 1 YR 11,600,000.000 11,561,471.04 11,561,471.04 12.63% 0.00
FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 YR 14,300,000.000 14,252,957.77 14,252,957.77 15.57% 0.00
FNMA ISSUES -LESS THAN I YR 15,500,000.000 15,455,232.23 15,455,232.23 16.88% 0 .00
MUTUAL FUNDS 124,900.640 124,900.64 124,900.64 0.14% 0.00
REPURCHASE AGREEMENTS 12,300,000.000 12,300,000.00 12,300,000.00 13.44% 0.00
TREASURY BILLS -LESS THAN 1 YR 23,100,000.000 22,989,043.00 22,989,043.00 25.11% 0.00
U.S. DOLLAR 81,424,900.640 81,379,322.21 81,379,322.21 88.90% 0.00
CASH & CASH EQUIVALENTS 81,424,900.640 81,379,322.21 81,379,322.21 88.90% 0.00
FIXED INCOME SECURITIES
U.S. DOLLAR
BANKING & FINANCE 9,002,000.000 9,208,787.58 9,055,560.52 9.89% -153,227.06
U.S. AGENCIES 1,100,000.000 1,125,905.00 1,103,943.39 1.21% -21,961.61
U.S. DOLLAR 10,102,000.000 10,334,692.58 10,159,503.91 11.10% -175,188.67
FIXED INCOME SECURITIES 10,102,000.000 10,334,692.58 10,159,503.91 11.10% -175,188.67
TOTAL ASSETS -BASE: 91,526,900.640 91,714,014.79 91,538,826.12 100.00% -175,188.67
3/8/2004 8:29:31AM PST 1 Workbench
@ Mellon
LONG TERM OPER-PIMCO -OCSF07522202
Description
CASH & CASH EQUIVALENTS
U.S. DOLLAR
PENDING TRADES
INTEREST
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
U.S. DOLLAR
FIXED INCOME SECURITIES
3/8/2004 8:59:17AM PST
Asset Summary
by Asset Type with Sectors
2/29/200_4
Shares Par
4,100,000.000
10,700,000.000
10,700,000.000
1,074,687.680
12,400,000.000
38,974,687.680
38,974,687.680
1,600,000.000
971,042.750
16,700,000.000
2,241,342.070
1,037,995.040
127,312.390
42,595,579.830
3,099,233.280
.8,404,749.280
3,000,000.000
34,318,210.000
1,600,000.000
752,000.000
38,075,448.470
173,597,276.280
4,750,000.000
332,870,189.390
332,870,189.390
1
Cost
Base
410,623.56
2,571,112.86
4,096,874.89
10,673,547.22
10,668,159.42
1,074,687.68
12,335,954.54
41,830,960.17
41,830,960.17
1,600,000.00
971,042.75
16,776,633.00
2,241,342.07
1,039,100.88
126,742.32
43,580,188.71
3,083,731.00
8,523,798.41
3,044,880.00
34,335,129.79
1,594,032.00
826,199.84
39,308,377.57
182,055,412.13
4,694,370.00
343,800,980.47
343,800,980.47
Report ID: GL8251
Base Currency: USD
Alternate Base Currency:
Market Value
Base
410,623.56
2,571,112.86
4,096,874.89
10,673,547.22
10,668,159.42
1,074,687.68
12,335,954.54
41,830,960.17
41,830,960.17
263,520.00
971,649.65
17,336,667.00
2,423,451.11
1,104,364.44
130,447.40
44,045,601.74
3,155,837.75
8,870,072.63
3,034,370.00
38,699,262.95
1,716,240.00
826,199.84
40,551,356.55
181,102,716.80
4,984,242.50
349,216,000.36
349,216,000.36
Exchange Rate:
Status: FINAL
%of
Total
0.11%
0.66%
1.05%
2.73%
2.73%
0.27%
3.15%
10.70%
10.70%
0.07%
0.25%
4.43%
0.62%
0.28%
0.03%
11.26%
0 .81%
2.27%
0.78%
9.90%
0.44%
0.21%
10.37%
46.31%
1.27%
89.30%
89.30%
Net Unrealized
Gain/Loss
Base
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
-1,336,480.00
606.90
560,034.00
182,109.04
65,263.56
3,705.08
465,413.03
72,106.75
346,274.22
-10,510.00
4,364,133.16
122,208.00
0.00
1,242,978.98
-952,695.33
289,872.50
5,415,019.89
5,415,019.89
Workbench
@ Mellon
LONG TERM OPER-PIMCO -OCSF07522202
Description
TOT AL ASSETS -BASE:
3/8/2004 8:59:17AM PST
Asset Summary
by Asset Type with Sectors
2129/2004
Shares Par
Cost
Base
Report ID: GL8251
Base Currency: USD
Alternate Base Currency:
Market Value
Base
Exchange Rate:
Status: FINAL
%of
Total
Net Unrealized
Galn/LoBB
Baae
371,844,877.070 385,631,940.64 391,046,960.53 100.00% 5,415,019.89
2 Workbench
YLDANAL YIELD ANALYSIS PAGE 1
OCSF07511102 2004/02/29 RUN DATE 03/04/04
DISTRICT: LIQUID OPERATING RUN TIME 12.11.54 =====================================================~========================~==--== ---------
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOO!( YIELD S-P PRICE MARKET VALUE % TOTAL -------------------------------------------~----------------------------~---------~
CASH & CASH EQUIVALENTS
4,500,000.00 DU PONT DE NEMOUR DISC .ooo .ooo P-1 99.867 4,494,000.00 5.53
26354AC85 03/08/2004 4,494,000.00 4.92
4,500,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .000 P-1 99.742 4,488,395.00 5.52
313384UE7 MAT 03/12/2004 A-1+ 4,488,395.00 4.91
900,000.00 FEDERAL HOME LN BKS CINS DISC .ooo .000 P-1 99.462 895,162.50 1.10
313384UK3 MAT 03/17/2004 A-1+ 895,162.50 .98
2,500,000.00 FEDERAL HOME LN BKS CONS DISC .ooo .ooo P-1 99. 743 2,493,585.76 3.07
313384WL9 MAT 05/05/2004 A-1+ 2,493,585.76 2.73
2,000,000.00 FEDERAL HOME LN BK CONS DISC .ooo .000 P-1 99.431 1,988,625.00 2.44
313384XA2 MAT 05/19/2004 A-1+ 1,988,625.00 2.18
1,100,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .000 P-1 99.747 1,695,702.78 2.08
313384XH7 MAT 05/26/2004 A-1+ 1,695,702.78 1.86
3,800,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99.422 3,778,055.00 4.65
313396UZ4 MAT 03/31/2004 A-1+ 3,778,055.00 4. 14
2,500,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .000 P-1 99.745 2,493,625.00 3.07
313396WK5 MAT 5/5/2004 A-1+ 2,493,625.00 2.73
6,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo ,000 P-1 99.772 5,986,333.33 7. 37
313396WZ2 MAT 05/18/2004 A-1+ 5,986,333.33 6.55
2,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99.747 1,994,944.44 2.45
313396XG3 MAT 05/25/2004 A-1+ 1,994,944.44 2.18
6,500,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99.753 6,483,930.56 7.98
313588WT8 MAT 05/12/2004 A-1+ 6,483,930.56 7.10
9,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .000 .ooo P-1 99.681 8,971,301.67 11.05
313588XA8 MAT 05/19/2004 A-1+ 8,971,301.67 9.82
23,100,000.00 US TREASURY BILL .ooo .000 P-1 99.520 22,989,043.00 28.31
912795QW4 DUE 08/05/2004 DD 02/05/2004 A-1+ 22,989,043.00 25 .17
12,300,000.00 CREDIT SUISSE FB REPO .ooo .980 100.000 12,300,000.00 15.15
99416W828 00.980% 03/01/2004 DD 02/27/04 12,300,000.00 13.47
YLDANAL YIELD ANALYSIS PAGE 2
OCSF07511102 2004/02/29 RUN DATE 03/04/04
DISTRICT: LIQUID OPERATING RUN TIME 12.11.54
-----------===---=======================
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -----------------------------------------------------------------------------------------
124,900.64 DREYFUS TREASURY CASH MGMT ,0()10 .815 AAA 100.000 124,900.64 .15
996085247 AAA 124,900.64 .14
--------------------------------------
TOTAL CASH & CASH EQUIVALENTS . 0())0 .050 81,177,604.68 100.00
81,177,604.68 88.88
FIXED INCOME SECURITIES
100,000.00 ASSOCIATES CORP NA MTN SR00043 , OClO 7. 732 AAl 102.437 104,199.00 1.00
045906BU7 7,920% 07/13/2004 DD 07/13/94 AA-102,437.00 .11
1,000,000.00 ASSOCIATES CORP NORTH AMER .000 5.765 AAl 100.609 1,041,290.00 9.90
046003KA6 5.800% 04/20/2004 DD 04/20/99 AA-1,006,090.00 1.10
500,000.00 BANK OF AMERICA CORP SR GBL NT .ooo 6.523 AA2 101. 562 518,385.00 4.99
066050CW3 6.625% 06/15/2004 DD 06/15/99 A+ 507,810.00 .56
2,700,000.00 CITIGROUP INC SR GLOBAL NT .ooo 1.329 AAl 100.000 2,700,459.00 26.57
172967BEO FLTG RT 03/09/2004 DD 03/09/01 AA-2,700,000.00 2.96
1,100,000.00 FEDERAL HOME LN MTG CORP DEB .0())0 3. 737 AAA 100,358 1,125,905.00 10.86
3134A4PH1 3.750% 04/15/2004 DD 04/15/02 AAA 1,103,943.39 1.21
180,000.00 GENERAL ELEC CAP MTN #TR 00448 .00!0 7 .177 AAA 101.015 183,801.60 1.78
36962GUR3 7.250% 05/03/2004 DD 05/01/00 AAA 181,827.00 .20
1,000,000.00 GENERAL ELEC CAP MTN #TR 00545 . OOIO 1.211 AAA 100.046 1,001,009.00 9.84
36962GYS7 VAR RT 05/20/2004 DD 05/20/02 AAA 1,000,460.00 1.10
1,000,000.00 LEHMAN BROS HLDGS INC . 00)0 6.596 Al 100.437 1,045,590.00 9,88
524908BZ2 6.625% 04/01/2004 DD 03/26/99 A 1,004,370.00 1.10
2so,ooo.oo NCNB TEX NATL BK DALLAS TEX NT .00)0 9.315 AA2 101. 984 260,870.00 2.50
628857DJO 9,500% 06/01/2004 DD 06/01/89 A+ 254,960.00 .28
627,000.00 NATIONSBANK CORP SR NTS .000 6.017 AA2 101.796 646,650.18 6.28
638585BJ7 6.125% 07/15/2004 DD 07/23/98 A+ 638,260.92 ,70
520,000.00 NORWEST FINL INC NTS • 00)0 7.168 AAl 100.453 531,538.80 5.14
669383DG3 7.200% 04/01/2004 DD 04/07/97 AA-522,355.60 .57
YLDANAL
OCSF07511102
DISTRICT: LIQUID OPERATING
PAR VALUE
SECURITY ID
1,000,000.00
91159HEY2
125,000.00
949746AA9
SECURITY DESCRIPTION
US BANCORP MTN #TR 00119
6.000% 05/15/2004 DD 05/10/99
WELLS FARGO & CO NEW NT
6.625% 07/15/2004 DD 07/28/99
TOTAL FIXED INCOME SECURITIES
TOTAL
YTM AT
BOOK -------
.0CI0
• 00>0
-------
.0CI0
.000
YIELD ANALYSIS
2004/02/29
CURRENT MOODY
YIELD S-P --------------
5.943 AA3
A+
6.497 AAl
AA-
------
3.840
.579
PAGE 3
RUN DATE 03/04/04
RUN TIME 12 .11.54 -
MARKET TOTAL COST/ % TYPE
PRICE MARKET VALUE % TOTAL ------------------------------
100.953 1,046,310.00 9.93
1,009,530.00 1.11
101. 968 128,605.00 1.25
127,460.00 .14
----------------------·-
10,334,692.58 100.00
10,159,503.91 11.14
--------------------------91,512,297.26 100.00
91,337,108.59 100.00
====:.---==
YLDANAL
OCSF07522202
DISTRICT: LONG-TERM OPERATING
YIELD ANALYSIS
2004/02/29
PAGE
RUN DATE
RUN TIME
4
03/04/04
12.11.54
--=------------~ --===------==------------------------------------------------------------=----===-==============-====---=-
PAR VALUE
SECURITY ID SECURITY DESCRIPTION
CASH & CASH EQUIVALENTS
4,100 1 000.00 FEDERAL HOME LN BKS CONS DISC
313384UM9 MAT 03/19/2004
10,7001 000.00 FEDERAL HOME LN MTG CORP DISC
313396WZ2 MAT 05/18/2004
6,800,000.00 FEDERAL NATL MTG ASSN DISCOUNT
313588XA8 MAT 05/19/2004
31 900,000,00 FEDERAL NATL MTG ASSN DISCOUNT
313588YV1 MAT 07/01/2004
8,000,000.00 US TREASURY BILL
912795PW5 0.000% 04/29/2004 DD 10/30/03
4,400,000,00 US TREASURY BILL
912795PX3 0.000% 05/06/2004 DD 11/06/03
1,074,687,68 DREYFUS TREASURY CASH MGMT
996085247
TOTAL CASH & CASH EQUIVALENTS
FIXED INCOME SECURITIES
752,000,00 AIG SUNAMERICA GLOBAL REGS
U00907AAO 5.850% OB/01/2008 DD 08/08/01
2,BD0,000.00 COMMIT TO PUR FNMA SF MTG
01F052631 5.500% 03/01/2034 DD 03/01/04
1,500,000.00 CIT GROUP INC NEW SR NT
125581ADO 5.500% 11/30/2007 DD 12/02/02
50,982.16 FHLMC GROUP #G4-0353
3128DBMA2 7.500% 10/01/2004 DD 03/01/99
7,500,000.00 FEDERAL HOME LN BK CONS BDS
3133MAUN7 7.125% 02/15/2005 DD 02/08/00
YTM AT
BOOK
.ooo
.000
.ooo
.ooo
.ooo
.ooo
.ooo
.ooo
.ooo
.ooo
.ooo
.ooo
.ooo
CURRENT MOODY MARKET
YIELD S-P PRICE
.000
.000
.000
.ODO
.ooo
.000
,815
.005
5,325
5. 377
5.101
7,401
6.747
P-1
A-1+
P-1
A-1+
P-1
A-1+
P-1
A-1+
P-1
A-1+
P-1
A-1+
AAA
AAA
AAA
AAA
A2
A
AAA
AAA
AAA
AAA
99,924
99.753
99.750
99.619
99,484
99.482
100.000
109.867
102.281
107.812
101. 337
105.597
TOTAL COST/
MARKET VALUE
4,096,874.89
4,096,874.89
10,673,547.22
10,673,547.22
6,783,000.00
6,783,000.00
3,885,159.42
3,885,159.42
7,958,746.66
7,958,746.66
4,377,207 .BB
4,377,207.BB
1,074,687.68
1,074,687.68
38,849,223.75
38,849,223.75
826,199.84
826,199.84
2,863,875.00
2,863,868.00
1,527,135.00
1,617,180.00
52,272.65
51,663.61
7,997,625.00
7,919,778.00
% TYPE
% TOTAL
10.54
1.06
27.47
2.75
17.45
1. 75
10.00
1.00
20.48
2.05
11.26
1.13
2.76
,28
100.00
10.02
.23
.21
.82
.74
.46
.42
.01
.01
2.26
2.04
YLDANAL YIELD ANALYSIS PAGE 5 OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54 ------
PAR VALUE YTM AT CURRENT MOODY MARJCET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ------------------------------------------------------------------------------------------
.oo FHLMC MULTICLASS CTF SER 1620Z .000 .000 AAA .ooo .oo .00
3133T17A4 6.000% 11/15/2023 DD 11/01/93 AAA .00 .oo
76,330.23 FHLMC GROUP 178-6064 .oo,o 3.282 AAA 103.214 74,469.67 .02
31348SWZ3 6.384% 01/01/2028 DD 12/01/97 AAA 78,783.79 .02
11,350,000.00 FEDERAL NATL MTG ASSN DEBS .oo,o 4.895 AAA 107.262 11,521,271.50 3.48
31359MJX2 5.250% 06/15/2006 DD 06/22/01 AAA 12,174,191.60 3.14
819,466.32 FNMA POOL #0254510 . 00,0 4.858 AAA 102.934 844,050.31 .24
31371KVB4 5.000% 11/01/2017 DD 10/01/02 AAA 843,506.10 .22
174,072 ,47 FNMA POOL #0254631 . 00,0 4.858 AAA 102.934 179,294.65 .05
31371KY47 5.000% 02/01/2018 DD 01/01/03 AAA 179,179.04 ,05
157,179.71 FNMA POOL #0254760 • 00,0 4.855 AAA 102.996 161,895.09 .04
31371K5V9 5.000% 06/01/2018 DD 05/01/03 AAA 161,888.96 .04
68,802.98 FNMA POOL #0254866 .0()10 4.855 AAA 102.996 70,867.08 .02
31371LCB3 5.000% 09/01/2018 DD 08/01/03 AAA 70,864.38 .02
365,440.54 FNMA POOL 10254953 . 0()0 4.855 AAA 102 .996 370,122.75 .10
31371LE21 5.000% 11/01/2018 DD 10/01/03 AAA 376,389.47 .10
980,912.87 FNMA POOL 10254987 ,00,0 4.862 AAA 102,847 993,480.81 .28
31371LF46 5.000% 12/01/2018 DD 11/01/03 AAA 1,008,840.43 .26
198,962.50 FNMA POOL f0323980 . 00,0 5.670 AAA 105,824 207,729.28 .06
31374T2MO 6,000% 04/01/2014 DD 09/01/99 AAA 210,550.51 ,OS
31,162.40 FNMA POOL 10357328 • 00,0 4,861 AAA 102.870 32,097.27 .oo
31376J4M8 5.000% 01/01/2018 DD 01/01/03 AAA 32,056.70 .01
1,567,770.89 FNMA POOL #0357430 . 0()10 4.860 AAA 102,871 1,585,408.32 • 46
31376KA71 5.000% 09/01/2018 DD 09/01/03 AAA 1,612,783.00 .42
60,877.87 FNMA POOL #0456482 • 0()0 5.670 AAA 105.824 63,560.30 .01
31381CCT2 6.000% 02/01/2014 DD 02/01/99 AAA 64,423.53 .02
174,124,63 FNMA POOL #0509649 .0()10 5.670 AAA 105.824 181,797.00 .05
31383QEWO 6.000% 09/01/2014 DD 09/01/99 AAA 184,266.03 .05
156,945.33 FNMA POOL #0535451 .OOIO 5.676 AAA 105,699 163,860.74 .04
31384VZQ8 6.000% 06/01/2015 DD 07/01/00 AAA 165,889.99 .04
YLDANAL YIELD ANALYSIS PAGE 6
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54
==::=====-===-== --;:;:;==-=·==·=-==--=====-=====================================================================-
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----------------------------------------------------------------------------------------~
3,395,287.94 FNMA POOL t0535672 • 00 0 5.670 AAA 105.824 3,544,892.83 1.02
31384WCH1 6.000% 01/01/2016 DD 12/01/00 AAA 3,593,036.98 .93
1,101,514.84 FNMA POOL 10545296 .oo 0 5 .680 AAA 105.637 1,150,050.34 .33
31385HXZO 6.000% 11/01/2016 DD 10/01/01 AAA 1,163,604.15 .30
93,756.06 FNMA POOL t0545580 .ooo 5.680 AAA 105.637 97,887.18 .02
31385JCR7 6.000% 03/01/2017 DD 03/01/02 AAA 99,040.83 .03
167,579.16 FNMA POOL #0555101 .oo 0 5 .673 AAA 105.762 174,963.10 .05
313B5WU23 6.000% 10/01/2017 DD 11/01/02 AAA 177,234.60 .05
375,811.55 FNMA POOL #0555363 • 00 0 4.860 AAA 102. 871 387,085.89 .u
31385W5Yl 5.000% 04/01/2018 DD 03/01/03 AAA 386,601.44 .10
38,500.45 FNMA POOL t0555453 .ooo 4.858 AAA 102.934 38,993.74 .01
31385XBW6 5.000% 05/01/2018 DD 04/01/03 AAA 39,629.90 . 01
313,980.68 FNMA POOL 10555545 .ooo 4 .860 AAA 102.871 323,400.11 .09
3l385XES2 5.000% 06/01/2018 DD 05/01/03 AAA 322,995.35 .08
1,088,257.29 FNMA POOL #0555621 . 000 4.862 AAA 102.847 1,100,500.18 ,32
31385XG68 5.000% 07/01/2018 DD 06/01/03 AAA 1,ll9,241.05 .29
64,266.10 FNMA POOL f0576386 . 00 0 5.690 AAA 105.451 67,097.82 .01
31386XJ72 6.000% 05/01/2016 DD 05/01/01 AAA 67,769.28 .02
171,837.99 FNMA POOL 10576739 .00·0 5.680 AAA 105.637 179,409.60 .05
31386XV86 6.000% 04/01/2016 DD 04/01/01 AAA 181,524.02 .05
221,252.73 FNMA POOL 10580888 .ooo 5.666 AAA 105.887 231,001.67 .06
31387DJ91 6.000% 05/01/2016 DD 05/01/01 AAA 234,277.26 .06
178,046.84 FNMA POOL 10594002 .000 5 .680 AAA 105.637 185,892.02 .05
31387T3KB 6.000% 07/01/2016 DD 07/01/01 AAA lBB,082.B4 .05
233,521.05 FNMA POOL 10597376 .000 5.680 AAA 105.637 243,810.57 .07
313B7XT96 6.000% 09/01/2016 DD OB/01/01 AAA 246,683.98 .06
145,970 .82 FNMA POOL #0605259 . 0()10 5.680 AAA 105.637 152,402.66 .04
31388HMG1 6.000% 09/01/2016 DD 09/01/01 AAA 154,198.79 .04
95,448.93 FNMA POOL #0608366 . 0()10 5.680 AAA 105.637 99,654.65 .02
31388LZ78 6.000% 10/01/2016 DD 09/01/01 AAA 100,829.12 .03
YLDANAL YIELD ANALYSIS PAGE 7
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.ll.54
------------=-=------=--=-===============================~~---------------
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----------------------------------------------------------------------------------------
169,150.77 FNMA POOL #0616734 .000 5.663 AAA 105.949 176,603.97 .05
31388WEF9 6,000% 12/01/2016 DD 12/01/01 AAA 179,213.92 .05
177,385.02 FNMA POOL #0630812 .000 5.689 AAA 105.474 185,201.05 .05
31389NYH2 6.000% 02/01/2017 DD 02/01/02 AAA 187,095.35 .05
801,640.ll FNMA POOL #0632376 .ooo 5.673 AAA 105.762 836,962.39 .24
31389QQ50 6,000% 07/01/2017 DD 07/01/02 AAA 847,828.37 .22
458,461.28 FNMA POOL #0653116 .ooo 5.673 AAA 105.762 478,662.23 ,13
31390QSD8 6.000% 07/01/2017 DD 07/01/02 AAA 484,876.54 .12
187,396.02 FNMA POOL #0673280 .ooo 5.673 AAA 105.762 195,653.16 .05
31391P6R2 6.000% 08/01/2017 DD 11/01/02 AAA 198,193.25 .05
565,778.39 FNMA POOL #0681309 .ooo 4,860 AAA 102.871 582,751.74 .16
31391Y3S4 5.000% 02/01/2018 DD 02/01/03 AAA 582,022.40 .15
70,619.26 FNMA POOL #0681334 .ooo 4.860 AAA 102.871 72,737.83 .02
31391Y4Tl 5.000% 02/01/2018 DD 01/01/03 AAA 72,646.80 .02
350,637.74 FNMA POOL #0684908 .000 4.858 AAA 102,934 355,130.29 .10
31400D3Rl 5,000% 06/01/2018 DD 05/01/03 AAA 360,924.01 ,09
201,400.29 FNMA POOL #0685200 .ooo 4.860 AAA 102.871 203,980.74 .05
31400EGH7 5.000% 03/01/2018 DD 03/01/03 AAA 207,182.67 .05
36,036.56 FNMA POOL #0685665 .ooo 4,860 AAA 102. 871 37,117.66 .01
31400EW22 5,000% 02/01/2018 DD 02/01/03 AAA 37,071.20 .01
304,949.07 FNMA POOL #0686318 ,000 4.860 AAA 102.871 314,097.54 .08
31400FPB7 5.000% 03/01/2018 DD 03/01/03 AAA 313,704.43 .00
116,868.03 FNMA POOL #0688739 .000 4,860 AAA 102 .871 120,374.07 .03
31400JEL9 5.000% 06/01/2018 DD 06/01/03 AAA 120,223.42 .03
126,345.50 FNMA POOL ft0689859 .ooo 4.855 AAA 102,996 127,964.30 .03
31400KMG8 5.000% 05/01/2018 DD 05/01/03 AAA 130,130.92 .03
734,805.83 FNMA POOL #0693834 ,000 4.860 AAA 102.871 756,850.01 ,21
31400PY74 5.000% 03/01/2018 DD 03/01/03 AAA 755,902.77 .19
266,582.08 FNMA POOL #0695852 ,000 4.860 AAA 102 .871 274,579.54 .07
31400SBVO 5.000% 05/01/2018 DD 05/01/03 AAA 274,235.89 ,07
YLDANAL YIELD ANALYSIS PAGE B
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12 .11. 54
-------·--= --------====
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL
-------------------------------·----------------------------------------------
826,754.22 FNMA POOL 10695889 .ooo 4.860 AAA 102. 871 851,556.84 .24
31400SC23 5.000% 05/01/2018 DD 05/01/03 AAA 850,491.08 .22
26,296.11 FNMA POOL 10697026 ,000 4.860 AAA 102. 871 27,085.01 .oo
31400TLF2 5.000% 05/01/2018 DD 04/01/03 AAA 27,051.09 .01
90,991.82 FNMA POOL 10698939 .000 5.666 AAA 105,887 95,001.15 .02
31400VPY2 6.000% 09/01/2017 DD 03/01/03 AAA 96,348.25 .02
275,352.96 FNMA POOL #0702210 .000 4.862 AAA 102.847 283,613.55 .OB
31401ADP9 5.000% 05/01/2018 DD 05/01/03 AAA 283,192.53 .07
146,804.45 FNMA POOL 10702328 .ooo 4.860 AAA 102.871 148,685.39 .04
31401AHD2 5.000% 05/01/2018 DD 04/01/03 AAA 151,019.34 .04
78,115.72 FNMA POOL 10703195 .ooo 5.663 AAA 105.949 81,557.70 .02
31401BGC3 6.000% 01/01/2017 DD 04/01/03 AAA 82,763.00 .02
297,054.77 FNMA POOL 10709148 .00·0 4.860 AAA 102 .871 305,966.42 ,08
31401HZM7 5.000% 06/01/2018 DD 06/01/03 AAA 305,583.48 .OB
693,132.71 FNMA POOL 10709360 .ooo 4.855 AAA 102.996 702,013,48 .20
31401JB56 5.000% 07/01/2018 DD 06/01/03 AAA 713,899.59 .18
141,009.26 FNMA POOL #0709826 .ooo 4 .860 AAA 102.871 142,815.94 .04
3l401JSP4 5.000% 06/01/2018 DD 06/01/03 AAA 145,057.76 .04
261,406.04 FNMA POOL #0709917 .000 4,860 AAA 102. 871 264,755.30 .07
31401JVJ4 5.000% 06/01/2018 DD 06/01/03 AAA 268,911.24 .07
26,462.64 FNMA POOL 10709963 .000 4 ,862 AAA 102.847 26,801.70 .oo
31401JWYO 5.000% 06/01/2018 DD 06/01/03 AAA 27,216.06 .01
783,890.71 FNMA POOL 10710235 .ooo 4.860 AAA 102. 871 807,407.44 .23
31401KBC8 5.000% 06/01/2018 DD 06/01/03 AAA 806,396.92 .21
25,579.69 FNMA POOL 10713344 . 00 0 4.860 AAA 102.871 26,347.07 .oo
31401NP52 5.000% 06/01/2018 DD 06/01/03 AAA 26,314.11 .01
329,143.33 FNMA POOL 10713365 .ooo 4.860 AAA 102.871 333,360.48 ,09
31401NQS1 5.000% 07/01/2018 DD 07/01/03 AAA 338,593.33 .09
946,633.03 FNMA POOL 10720319 .ooo 4.860 AAA 102.871 958,761.76 .27
31401WG45 5.000% 07/01/2018 DD 07/01/03 AAA 973,811.72 .25
YLDANAL YIELD ANALYSIS PAGE 9
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12,11,54
===========================================================================--=--·-==-=:·-===-===-~----:........:::.
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -------------------------------------------------------------------------------------
2,415,634.25 FNMA POOL #0720369 .ooo 4 ,862 AAA 102.847 2,488,103.28 • 71
31401WJNO 5.000% 06/01/2018 DD 06/01/03 AAA 2,484,409.75 .64
309,918.69 FNMA POOL 10721629 ,000 4,849 AAA 103.121 319,216.26 .09
31401XVW4 5.000% 07/01/2018 DD 06/01/03 AAA 319,591.53 .00
251,288.40 FNMA POOL #0723487 .ooo 4.860 AAA 102 ,871 254,115,40 ,07
31402AXQ4 5.000% 06/01/2018 DD 06/01/03 AAA 258,503.12 ,07
422,722.75 FNMA POOL 10729601 . 00 0 4,855 AAA 102,996 428,138.89 .12
31402HRW3 5.000% 07/01/2018 DD 07/01/03 AAA 435,387.90 ,11
36,308.37 FNMA POOL #0732873 .000 4.849 AAA 103,121 36,773.56 .01
31402MFN5 5.000% 11/01/2018 DD 10/01/03 AAA 37,441.59 .01
744,808.98 FNMA POOL #0737130 • 00 0 4.855 AAA 102.996 754,351.84 ,21
31402S4P9 5.000% 10/01/2018 DD 10/01/03 AAA 767,124.13 ,20
587,516.82 FNMA POOL #0738211 .000 4.862 AAA 102,847 595,044.39 ,17
31402UDQ2 5.000% 10/01/2018 DD 10/01/03 AAA 604,244.01 ,16
220,650.77 FNMA POOL 10738487 • 00 0 4,860 AAA 102,871 223,477,85 ,06
31402UNC2 5.000% 10/01/2018 DD 10/01/03 AAA 226,985.85 ,06
694,890.75 FNMA POOL #0740471 .000 4.862 AAA 102.847 703,794.03 .20
31402WT40 5,000% 10/01/2018 DD 10/01/03 AAA 714,674.98 .18
824,121.71 FNMA POOL 10740748 .000 4,860 AAA 102.871 834,680.76 ,24
31402W5H7 5.000% 10/01/2018 DD 11/01/03 AAA 847,782.99 .22
44,056.47 FNMA POOL 10743868 .ooo 4.862 AAA 102.847 44,620.94 ,01
31403BMR1 5.000% 11/01/2018 DD 10/01/03 AAA 45,310.80 .01
1,143,038.75 FNMA POOL 10744008 • 00 0 4,860 AAA 102,871 1,157,683.93 .33
31403BR54 5,000% 07/01/2018 DD 09/01/03 AAA 1,175,856.42 .30
170,880.33 FNMA POOL "0744316 .ooo 4.862 AAA 102.847 173,069.74 .05
31403B3Z4 5.000% 09/01/2018 DD 09/01/03 AAA 175,745.46 ,05
360,058.77 FNMA POOL 10747914 . 00 0 4.860 AAA 102,871 364,672.03 .10
31403F3XO 5.000% 11/01/2018 DD 11/01/03 AAA 370,396.38 .10
242,368.11 FNMA POOL 10748400 .ooo 4.862 AAA 102.847 245,473.46 . 07
31403GNR9 5.000% 08/01/2018 DD 09/01/03 AAA 249,268.57 .06
YLDANAL YIELD ANALYSIS PAGE 10
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54 -====-------·· =------------------------------------------------------------------===---===============---===---===========
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----------------~---------------------------------------------------------------------·-
1,029,279.66 FNMA POOL #0748899 .000 4,864 AAA 102 ,786 1,042,467.30 .30
31403G7LO 5,000% 12/01/2018 DD 11/01/03 AAA 1,057,954.40 .27
2,528,513.13 FNMA POOL #0750377 .000 4.864 AAA 102,786 2,560,909.70 • 74
31403JUA2 5,000% 11/01/2018 DD 11/01/03 AAA 2,598,955.08 .67
2,121,015.81 FNMA POOL #0750380 .ooo 4.864 AAA 102,786 2,148,191.34 .62
31403JUD6 5.000% 11/01/2018 DD 11/01/03 AAA 2,180,105.27 .56
192,600.64 FNMA POOL 10750445 .ooo 4.864 AAA 102,786 195,068.33 .05
31403JWE2 5.000% 11/01/2018 DD 11/01/03 AAA 197,966.31 .05
903,960.05 FNMA POOL 10751960 , 00 0 4.862 AAA 102.847 915,542.04 .26
31403LMH1 5.000% 12/01/2018 DD 11/01/03 AAA 929,696.69 ,24
962,285.46 FNMA POOL #0753425 . 00 0 4.860 AAA 102 .871 973,411.88 .28
31403NA23 5,000% 11/01/2018 DD 11/01/03 AAA 989,913.54 .26
644,503.22 FNMA POOL 10755165 .000 4.855 AAA 102 .996 652,760.91 .19
31403Q6A3 5,000% 12/01/2018 DD 11/01/03 AAA 663,813.12 .17
987,723.59 FNMA POOL 10756372 .ooo 4.855 AAA 102,996 999,144.14 ,29
31403SJRB 5,000% 11/01/2018 DD 11/01/03 AAA 1,017,316.68 .26
298,240.36 GNMA POOL #0596612 .000 6.140 AAA 105.859 313,012.57 .09
36200BYH4 6,500% 09/15/2032 DD 09/01/02 AAA 315,715.40 .OB
1,111,796.06 GNMA POOL !0569358 .ooo 6.156 AAA 105.584 1,137,853.78 .33
36200QQK3 6.500% 04/15/2032 DD 04/01/02 AAA 1,173,883.11 .30
47,593.89 GNMA POOL #0569685 .ooo 6,138 AAA 105.891 49,951.27 .01
36200Q2S2 6.500% 02/15/2032 DD 02/01/02 AAA 50,397.47 .01
82,334.61 GNMA POOL #0570019 .ooo 6.138 AAA 105.891 86,412,75 .02
36200RG48 6,500% 07/15/2032 DD 07/01/02 AAA 87,184.63 .02
475,152.23 GNMA POOL 10574323 .ooo 6.138 AAA 105,891 498,687.12 • 14
36200WAY7 6 .500% 12/15/2031 DD 12/01/01 AAA 503,141.64 .13
48,111.66 GNMA POOL 10575364 , 00 0 6.138 AAA 105.891 50,494.69 .01
36200XFD6 6,500% 11/15/2031 DD 11/01/01 AAA 50,945.74 .01
19,804.19 GNMA POOL #0587117 .ooo 6,138 AAA 105.891 20,785.12 .oo
36201MG22 6.500% 06/15/2032 DD 06/01/02 AAA 20,970.78 .01
YLDANAL YIELD ANALYSIS PAGE 11
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.ll.54 ======================================================-:
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----~----------------~-------------------------------------------------------------------------
57,442.25 GNMA POOL 10587439 • 00 0 6.140 AAA 105.859 60,287.43 .01
36201MS45 6.500% 11/15/2032 DD 12/01/02 AAA 60,808.01 .02
14,230.43 GNMA POOL 10421389 • 00 0 6.119 AAA 106.234 14,935.29 .oo
36206UC23 6.500% 04/15/2026 DD 04/01/96 AAA 15,117.61 .oo
22,858.12 GNMA POOL #0449851 • 00 0 6.149 AAA 105.701 23,990.31 .oo
36208FWLO 6.500% 01/15/2028 DD 01/01/98 AAA 24,161.25 .01
62,688.68 GNMA POOL 10466845 .ooo 6.126 AAA 106.109 65,793.73 .01
36209BTA6 6.500% 06/15/2028 DD 06/01/98 AAA 66,518.57 .02
113,197.73 GNMA POOL 10468052 .ooo 6.126 AAA 106.109 118,804.56 .03
36209C5M4 6.500% 07/15/2028 DD 07/01/98 AAA 120,113.41 .03
173,701.38 GNMA POOL 10476041 .ooo 6.126 AAA 106.109 182,033.62 .05
36209MZE7 6.500% 06/15/2028 DD 06/01/98 AAA 184,313.46 .05
163,857.37 GNMA POOL #0478626 • 00 0 6 .126 AAA 106.109 171,717.41 .04
36209QVT9 6.500% 01/15/2029 DD 01/01/99 AAA 173,868.04 .04
122,832.74 GNMA POOL 10480598 .ooo 6.126 AAA 106.109 128,724.88 .03
36209S3F6 6,500% 10/15/2028 DD 10/01/98 AAA 130,337.06 .03
434,633.41 GNMA POOL 10485527 ,00 0 6.138 AAA 105.891 456,161.35 .13
36209YLG1 6.500% 06/15/2031 DD 06/01/01 AAA 460,236.01 .12
472,799.94 GNMA POOL f0485610 • 00 0 6,138 AAA 105.891 496,218.31 • 14
36209YN38 6.500% 07/15/2031 DD 07/01/01 AAA 500,650.79 .13
93,255.94 GNMA POOL 10485682 .000 6.138 AAA 105.891 97,875.02 .02
36209YRB6 6,500% 08/15/2031 DD 08/01/01 AAA 98,749.29 .03
84,939.87 GNMA POOL 10485703 , 00 0 6.138 AAA 105.891 89,147.05 • 02
36209YRY6 6.500% 08/15/2031 DD 08/01/01 AAA 89,943.35 .02
10,902.29 GNMA POOL #0512235 .ooo 6.131 AAA 106.016 11,442.29 .oo
36211GBC6 6.500% 11/15/2029 DD 11/01/99 AAA 11,558.13 .oo
141,672.12 GNMA POOL 10514326 .ooo 6.131 AAA 106.016 148,467.95 .04
36211JLF2 6.500% 07/15/2029 DD 07/01/99 AAA 150,194.58 .04
47,539.93 GNMA POOL #0530053 .000 6.157 AAA 105.578 49,894.65 .01
36212CZS3 6.500% 04/15/2031 DD 04/01/01 AAA 50,191.63 .01
YLDANAL YIELD ANALYSIS PAGE 12
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54
------·----------~-------------------------------------------------------------=-================================
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------·----------------------------------------------------------~-------------------
104,819.21 GNMA POOL #0537885 .ooo 6.138 AAA 105.891 110,011.03 .03
36212MRE1 6.500% 02/15/2031 DD 02/01/01 AAA 110,993.71 .03
11,755.28 GNMA POOL #0547512 .ooo 6.138 AAA 105.891 12,337.54 .oo
36212YGV9 6.500% 04/15/2031 DD 04/01/01 AAA 12,447.74 .oo
128,004.57 GNMA POOL #0547715 • 00 0 6.138 AAA 105.891 134,144.79 .03
36212YN82 6.500% 02/15/2031 DD 02/01/01 AAA 135,544.83 .03
69,986.18 GNMA POOL #0552322 . 00 0 6 .138 AAA 105.891 73,452.68 .02
36213ESK3 6.500% 01/15/2032 DD 01/01/02 AAA 74,108.80 .02
525,568.36 GNMA POOL #0552466 . 00 0 6.156 AAA 105.584 551,600.43 ,15
36213EW36 6.500% 03/15/2032 DD 03/01/02 AAA 554,918.16 .14
405,032.84 GNMA POOL #0552659 . 00 0 6.138 AAA 105.891 425,094.61 ,12
36213E5U6 6.500% 07/15/2032 DD 07/01/02 AAA 428,891.79 .11
397,348.74 GNMA POOL t0561017 . 00 0 6.138 AAA 105.891 417,029.91 .12
36213QG29 6.500% 07/15/2031 DD 07/01/01 AAA 420,755.04 .11
260,774.11 GNMA II POOL #0080395 . 00 0 3.439 AAA 101.761 258,410.84 .07
36225CNM4 VAR RT 04/20/2030 DD 04/01/00 AAA 265,365.95 .07
2,313,261.14 GNMA II POOL f080408X .000 3.439 AAA 101. 760 2,289,767.08 .67
36225CN28 6.500% 05/20/2030 DD 05/01/00 AAA 2,353,973.38 .61
3,000,000.00 GENERAL MTRS ACCEP CORP SR NT .000 5.697 A3 107.515 3,064,350.00 .92
370425SD3 6.125% 08/28/2007 DD 08/29/02 BBB 3,225,450.00 .83
3,000,000.00 GOLDMAN SACHS GROUP INC SR NT • 00 0 3.980 AA3 103.656 3,030,030.00 .89
38141GCS1 4.125% 01/15/2008 DD 01/13/03 A+ 3,109,680.00 .80
3,200,000.00 MORGAN STANLEY NT • 00 0 3,570 AA3 101.531 3,195,648.00 ,93
617446HW2 3.625% 04/01/2008 DD 03/06/03 A+ 3,248,992.00 .84
1,000,000.00 PHILIP MORRIS COS INC NTS .000 7,467 BM2 100.437 1,052,600.00 .28
718154CH8 7.500% 04/01/2004 DD 04/01/97 BBB 1,004,370,00 .26
971,042.75 RESIDENTIAL ASSET 03-RSll AIIB .ooo 1.419 AAA 100,063 971,042.75 .27
760985K83 VAR RT 12/25/2033 DD 12/30/03 AAA 971,649.65 .25
3,497,276.28 SBA GTD DEV PARTN 200l-20C 1 . 00 0 5.790 AAA 109.490 3,497,276.28 1.09
83162CLJO 6.340% 03/01/2021 AAA 3,829,167.80 .99
YLDANAL YIELD ANALYSIS PAGE 13
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54 =====================================================~=======================· --
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -----------~--~----------------~-----------------------___ , __ --------------------------
2,241,342.07 SBA GTD PARTN CTFS SBIC-PS 01 .000 6 .141 AAA 108,125 2,241,342 .07 .69
831641DD4 6.640% 02/10/2011 DD 02/21/01 NR 2,423,451.11 .62
1,600,000.00 UNITED AIRLS PASSTHRU 01-1 C .000 41.475 WR 16.470 1,600,000.00 ,07
909317BC2 6.831% 03/01/2010 DD 08/22/01 A-263,520.00 ,07
20,000,000.00 US TREASURY NOTES .ooo 5.587 AAA 111.875 22,620,312.50 6,40
9128272JO 06.250% 02/15/2007 DD 02/15/97 AAA 22,375,000.00 5.77
3,422,490.00 US TREASURY INFLATION INDEX NT .00 0 3.212 AAA 112.875 3,731,991.35 1. 10
9128273T7 3.625% 01/15/2008 DD 01/15/98 AAA 3,863,135.59 1.00
14,609,660.00 US TREASURY INFLATION INDEX NT , 00 0 3.349 AAA 115. 719 16,235,020.11 4.84
9128274Y5 3.875% 01/15/2009 DD 01/15/99 AAA 16,906,152.46 4.36
57,100,000,00 US TREASURY NOTES .oo 0 5.363 AAA 107.219 62,782,901.47 17.53
9128276N7 05.750% 11/15/2005 DD 11/15/00 AAA 61,222,049.00 15.78
12,000,000.00 US TREASURY NT .000 3.184 AAA 102 ,060 11,870,156.25 3.50
912828BG4 3.250% 08/15/2008 DD 08/15/03 AAA 12,247,200.00 3,16
81,000,000.00 US TREASURY NOTES .ooo 1.865 AAA 100 ,530 81,284,765.63 23,31
912828BX7 1.875% 01/31/2006 DD 01/31/03 AAA 81,429,300.00 20.98
1,750,000.00 VIRGINIA ELEC & PWR 01 SER A .ooo 5.365 A3 107.171 1,743,840.00 .53
927804ENO 5.750% 03/31/2006 DD 03/27/01 BBB+ 1,875,492.50 .48
16,286,060.00 US TREASURY INFLATION INDEX NT 3. 81 7 3.066 AAA 110 ,094 14,368,118.33 5.13
9128272M3 3.375% 01/15/2007 DD 01/15/97 AAA 17,929,974.90 4.62
15,500,000.00 FEDERAL NATL MTG ASSN DEBS 5. 96 7 6.745 AAA 105.637 16,154,410.00 4.68
31359MFH1 7,125% 02/15/2005 DD 02/14/00 AAA 16,373,795.45 4.22
1,037,995.04 FHLMC MULTICLASS MTG SER E3 A 6. 316 3.527 AAA 106,394 1,039,100.88 ,31
3133TCE95 VAR RT 08/15/2032 DD 12/01/97 AAA 1,104,364.44 ,28
681,084.22 GNMA GTD REMIC TR 2000-9 FH 6,320 1.585 AAA 100 ,610 681,084.22 ,19
3837H4NX9 VAR RT 02/16/2030 AAA 685,238.83 ,18
6,547.35 GNMA POOL #0500917 6. 38 9 5. 719 AAA 104.910 6,214.86 .oo
36210SPAO 6.000% 04/15/2029 DD 04/01/99 AAA 6,868.84 .oo
34,318.90 GNMA POOL 10506636 6,389 5.719 AAA 104.910 32,576.13 .01
36210YY90 6.000% 04/15/2029 DD 04/01/99 AAA 36,004.01 .01
YLDANAL YIELD ANALYSIS PAGE 14
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54
-------------------------------------------·-----------------------------------------------===---==========---
PAR VALUE YTH AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ------------------------------------------------------------~--------------------------
308,310.43 GNMA POOL #0503388 6. 38 9 5. 719 AAA 104.910 292,654.04 ,09
36210VF55 6.000% 03/15/2029 DD 03/01/99 AAA 323,448.97 .08
12,629.02 GNMA POOL 10499153 6,389 5. 719 AAA 104.910 11,987.70 .oo
36210QQE5 6.000% 02/15/2029 DD 02/01/99 AAA 13,249.13 .oo
391,864,48 GNMA POOL 10496461 6. 39 0 5 . 719 AAA 104,910 371,965,11 • 11
36210MQN4 6,000% 01/15/2029 DD 01/01/99 AAA 411,105.65 , 11
101,165.17 GNMA POOL I 04 91103 6. 39 0 5. 719 AAA 104.910 96,027.89 .03
36210FRY4 6.000% 01/15/2029 DD 01/01/99 AAA 106,132.54 ,03
11,930.74 GNMA POOL #0486720 6,390 5. 719 AAA 104.910 11,324.89 .oo
36210AVM6 6.000% 12/15/2028 DD 12/01/98 AAA 12,516.56 ,00
22,466.06 GNMA POOL #0497343 6. 39 0 5. 719 AAA 104.910 21,325.21 .oo
36210NP45 6,000% 12/15/2028 DD 12/01/98 AAA 23,569.18 .01
14,926.51 GNMA POOL 10469688 6 .39 1 5. 719 AAA 104.910 14,168.51 .00
36209EXR8 6.000% 11/15/2028 DD 11/01/98 AAA 15,659.43 .oo
20,583.78 GNMA POOL #0467279 6. 391 5. 719 AAA 104.910 19,538.51 .00
36209CCQ7 6.000% 10/15/2028 DD 10/01/98 AAA 21,594.48 .01
36,874.70 GNMA POOL #0457814 6,391 5. 719 AAA 104.910 35,002.14 .01
36208QSB3 6.000% 10/15/2028 DD 10/01/98 AAA 38,685.31 .01
396,974.24 GNMA POOL #0467286 6. 39 1 5. 719 AAA 104.910 376,815,39 .11
36209CCX2 6.000% 10/15/2028 DD 10/01/98 AAA 416,466.31 .11
492,575.35 GNMA POOL 10465555 6. 39 2 5. 719 AAA 104.910 467,561.77 .14
36209AE48 6.000% 09/15/2028 DD 09/01/98 AAA 516,761.59 .13
13,151.78 GNMA POOL 10483452 6. 39 2 5. 719 AAA 104.910 12,483.93 .oo
36209WBV3 6.000% 09/15/2028 DD 09/01/98 AAA 13,797.55 .oo
457,350.13 GNMA POOL #0465546 6. 39 2 5. 719 AAA 104.910 434,125.32 , 13
36209AET3 6.000% 08/15/2028 DD 08/01/98 AAA 479,806.75 .12
303,602.16 GNMA POOL #0468339 6. 39 2 5. 719 AAA 104.910 288,184.88 .09
36209DHQO 6.000% 08/15/2028 DD 08/01/98 AAA 318,509.51 .08
18,580.73 GNMA POOL 10438057 6 . 39 3 5. 716 AAA 104 ,973 17,637.19 .oo
36207PTN9 6.000% 05/15/2028 DD 05/01/98 AAA 19,504.69 .01
YLDANAL YIELD ANALYSIS PAGE 15
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54 ---= =
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -----------------------------------------------------------------------------------------------
18,797 ,37 GNMA POOL #0468330 6,393 5,716 AAA 104,973 17,842.80 .oo
36209DHF4 6.000% 05/15/2028 DD 05/01/98 AAA 19,732.10 .01
311,804 .47 GNMA II POOL f080088M 6. 70 5 4 .313 AAA 101.444 318,625.19 .09
36225CC20 7.375% 06/20/2027 DD 06/01/97 AAA 316,306.46 .00
2,000,000.00 MARSH & MCLENNAN COS INC SR NT 6. 717 6 .527 A2 101.500 1,992,280.00 .58
571748AB8 6.625% 06/15/2004 DD 06/14/99 AA-2,030,000.00 .52
2,500,000.00 FORD MTR CR CO GLOBAL LANDMARK 6. 73 9 6.578 A3 101.859 2,495,900.00 .72
345397SJ3 6.700% 07/16/2004 DD 07/16/99 BBB-2,546,475.00 .66
2,500,000.00 COUNTRYWIDE HOME LNS INC NT 6. 86 6 6.745 A3 101. 562 2,498,400.00 .72
22237UAB8 6,850% 06/15/2004 DD 06/24/99 A 2,539,050.00 .65
213,393 .56 GNMA II POOL 10080023 6. 99 2 4,482 AAA 103.186 216,927.89 .06
36225CAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 220,191.96 .06
2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7 .113 5. 719 AAA 115.844 2 ,030,133.00 .69
31359MEY5 6.625% 09/15/2009 DD 09/01/99 AAA 2,432,731.35 .63
1,000,000.00 FORD MOTOR CR CO NT 7. 58 2 6 .430 A3 104.984 965,170.00 .30
345397GV9 6.750% 05/15/2005 DD 05/24/93 BBB-1,049,840.00 .27
944,364.25 WMP/HUNTOON PAIGE f000-11150 7. 68 4 7 ,335 AAA 102,251 923,853.85 .27
302998GE3 7.500% 12/01/2030 DD 10/21/99 AAA 965,621.32 .25
3,000,000.00 PACIFICORP SECD MTN tTR 00115 7. 70 9 7 .045 A3 103.625 2,950,530.00 .89
69512EEU5 7.300% 10/22/2004 DD 10/22/92 A 3,108,750.00 .80
1,600,000,00 ALLSTATE CORP SR NT 7 .96 7 7.342 Al 107.265 1,594,032.00 .49
020002AL5 7.875% 05/01/2005 DD 05/01/00 A+ 1,716,240.00 .44
-~-----------------------------~--
TOTAL FIXED INCOME SECURITIES . 351 4 .656 343,800,980.47 100.00
349,216,000.36 90.02
-----------------------------------
TOTAL • 34 8 4.612 382,650,204.22 100.00
388,065,224.11 100.00
-·------·-·-,.
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED-OCSGOO0l00OO 2/29/2004 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
RECEIVABLE FOR INVESTMENTS 10,541,453.60 10,541,453.60 2.18% 0.00
SOLD
PAYABLE FOR INVESTMENTS -10,130,830.04 -10,130,830.04 -2.10% 0.00
PURCHASED
INTEREST RECEIVABLE 2,772,830.39 2,772,830.39 0.57% 0.00
DU PONT DE NEMOUR DISC 99.8667 4 ,500,0,00.000 4,494,000.00 4,494,000.00 0.93% 0.00
03/08/2004
SEC ID: 26354AC85
FEDERAL HOME LN BK CONS DISC N 99.7421 4 ,500,0·00.000 4,488,395.00 4,488,395.00 0.93% 0.00
MAT 03/12/2004
SEC ID: 313384UE7
FEDERAL HOME LN BKS CINS DISC 99.4625 900,000.000 895,162.50 895,162.50 0.19% 0.00
MAT 03/17/2004
SEC ID: 313384UK3
FEDERAL HOME LN BKS CONS DISC 99.9238 4,100,000.000 4,096,874.89 4,096,874.89 0.85% 0.00
MAT 03/19/2004
SEC ID: 313384UM9
FEDERAL HOME LN BKS CONS DISC 99.7434 2 ,500,0,00.000 2,493,585.76 2,493,585.76 0.52% 0.00
MAT 05/05/2004
SEC ID: 313384WL9
FEDERAL HOME LN BK CONS DISC 99.4313 2,000,000.000 1,988,625.00 1,988,625.00 0.41% 0.00
MAT 05/19/2004
SEC ID: 313384XA2
FEDERAL HOME LN BK CONS DISC N 99.7472 1,700,000.000 1,695,702.78 1,695,702.78 0.35% 0.00
MAT 05/26/2004
SEC ID: 313384XH7
FEDERAL HOME LN MTG CORP DISC 99.4225 3 ,800,01()0.000 3,778,055.00 3,778,055.00 0.78% 0.00
MAT 03/31/2004
SEC ID: 313396UZ4
FEDERAL HOME LN MTG CORP DISC 99.7450 2,500,0tOO.OOO 2,493,625.00 2,493,625.00 0.52% 0.00
MAT 5/5/2004
SEC ID: 313396WK5
FEDERAL HOME LN MTG CORP DISC 99.7722 16,700,000.000 16,659,880.55 16,659,880.55 3.45% 0.00
MAT 05/18/2004
SEC ID: 313396WZ2
FEDERAL HOME LN MTG CORP DISC 99.7472 2; 000,000.000 1,994,944.44 1,994,944.44 0.41% 0.00
MAT 05/25/2004
SEC ID: 313396XG3
3/8/2004 9:06:00AM PST 1 Workbench
@ Asset Detail Report ID: GL8013 ·
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOLIDATED -OCSGOOO 10000 2/29/2004 Status: FINAL
Net Unrealized
Price eo,t Market Value %of Gabi/Loss Description Base Shares Par Base Base Total Base
FEDERAL NATL MTG ASSN DISCOUNT 99.7528 6,500,000.000 6,483,930.56 6,483,930.56 1.34% 0.00
MAT 05/12/2004
SEC ID: 313588WT8
FEDERAL NATL MTG ASSN DISCOUNT 99.7500 1s,800,c,oo.ooo 15,754,301.67 15,754,301.67 3.26% 0.00
MAT 05/19/2004
SEC ID: 313588XA8
FEDERAL NATL MTG ASSN DISCOUNT 99.6195 3 ,900,0>00.000 3,885,159.42 3,885,159.42 0.81% 0.00
MAT 07/01/2004
SEC ID: 313588YV1
U S TREASURY BILL 99.4843 8 ,000,0,00.000 7,958,746.66 7,958,746.66 1.65% 0.00
0.000% 04/29/2004 DD 10/30/03
SEC ID: 912795PW5
U S TREASURY BILL 99.4820 4,400,000.000 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 99.5197 23, 100,0•00.000 22,989,043.00 22,989,043.00 4.76% 0.00
DUE 08/05/2004 DD 02/05/2004
SEC ID: 912795QW4
CREDIT SUISSE FB REPO 100.0000 12 ,300,0•00.000 12,300,000.00 12,300,000.00 2.55% 0.00
00.980% 03/01/2004 DD 02/27 /04
SEC ID: 99416W828
DREYFUS TREASURY CASH MGMT 100.0000 1,199,588.320 1,199,588.32 1,199,588.32 0.25% 0.00
SEC ID: 996085247
TOTAL CASH & CASH EQUIVALENTS 120,399,588.320 123,210,282.38 123,210,282.38 25.53% 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
COMMIT TO PUR FNMA SF MTG 102.2810 2,800,000.000 2,863,875.00 2,863,868.00 0.59% -7.00
5.500% 03/01/2034 DD 03/01/04
SEC ID: 01F052631
ALLSTATE CORP SR NT 107.2650 1,600,000.000 1,594,032.00 1,716,240.00 0.36% 122,208.00
7.875% 05/01/2005 DD 05/01/00
SEC ID: 020002AL5
ASSOCIATES CORP NA MTN SR00043 102.4370 100,000.000 104,199.00 102,437.00 0.02% -1,762.00
7.920% 07/13/2004 DD 07 / 13/94
SEC ID: 045906BU7
ASSOCIATES CORP NORTH AMER 100.6090 1 ,000,0·00.000 1,041,290.00 1,006,090.00 0.21% -35,200.00
5.800% 04/20/2004 DD 04/20/99
SEC ID: 046003KA6
3/8/2004 9:06:00AM PST 2 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED-OCSGOOOlOOOO 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Matket Value %of Gain/Loss
Description Base Shares Par Base Base Total Base
BANK OF AMERICA CORP SR GEL NT 101.5620 500,0,00.000 518,385.00 507,810.00 0.11% -10,575.00
6.625% 06/15/2004 DD 06/15/99
SEC ID: 066050CW3
CIT GROUP INC NEW SR NT 107.8120 1 ,500,0•00.000 1,527,135.00 1,617,180.00 0.34% 90,045.00
5.500% 11/30/2007 DD 12/02/02
SEC ID: 12558 lADO
CITIGROUP INC SR GLOBAL NT 100.0000 2 ,700,0•00.000 2,700,459.00 2,700,000.00 0.56% -459.00
FLTG RT 03/09/2004 DD 03/09/01
SEC ID: l 72967BEO
COUNTRYWIDE HOME LNS INC NT 101.5620 2,500,000.000 2,498,400.00 2,539,050.00 0.53% 40,650.00
6.850% 06/15/2004 DD 06/24/99
SEC ID: 22237UAB8
WMP/HUNTOON PAIGE #000-11150 102.2509 944,364.250 923,853.85 965,621.32 0.20% 41,767.47
7.500% 12/01/2030 DD 10/21/99
SEC ID: 302998GE3
FHLMC GROUP #G4-0353 101.3367 50,982.160 52,272.65 51,663.61 0.01% -609.04
7.500% 10/01/2004 DD 03/01/99
SEC ID: 3128DBMA2
FEDERAL HOME LN BK CONS EDS 105.5970 7 ,500,0•00.000 7,997,625.00 7,919,778.00 1.64% -77,847.00
7.125% 02/15/2005 DD 02/08/00
SEC ID: 3133MAUN7
FHLMC MULTICLASS MTG SER E3 A 106.3940 1,037,995.040 1,039,100.88 1,104,364.44 0.23% 65,263.56
VAR RT 08/15/2032 DD 12/01/97
SEC ID: 3133TCE95
FEDERAL HOME LN MTG CORP DEB 100.3585 1, 100,0DO.OOO 1,125,905.00 1,103,943.39 0.23% -21,961.61
3.750% 04/15/2004 DD 04/15/02
SEC ID: 3134A4PH1
FHLMC GROUP #78-6064 103.2144 76,330.230 74,469.67 78,783.79 0.02% 4,314.12
6.384% 01/01/2028 DD 12/01/97
SEC ID: 31348SWZ3
FEDERAL NATL MTG ASSN DEBS 115.8444 2, 100,0·00.000 2,030,133.00 2,432,731.35 0.50% 402,598.35
6.625% 09/15/2009 DD 09/01/99
SEC ID: 31359MEY5
FEDERAL NATL MTG ASSN DEBS 105.6374 15,500,000.000 16,154,410.00 16,373,795.45 3.39% 219,385.45
7.125% 02/15/2005 DD 02/ 14/00
SEC ID: 31359MFH1
FEDERAL NATL MTG ASSN DEBS 107.2616 11 ,350,0·00.000 11,521,271.50 12,174,191.60 2.52% 652,920.10
5.250% 06/15/2006 DD 06/22/01
SEC ID: 31359MJX2
FNMA POOL #0254510 102.9336 819,466.320 844,050.31 843,506.10 0.17% -544.21
5.000% 11/01/2017 DD 10/01/02
SEC ID: 31371KVB4
3/8/2004 9:06:00AM PST 3 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOLIDATED -OCSGOO0 10000 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Loss
Description Base Shares Par Base Base Total Base
FNMA POOL #0254631 102.9336 174,072.470 179,294.65 179,179.04 0.04% -115.61
5.000% 02/01/2018 DD 01/01/03
SEC ID: 31371KY47
FNMA POOL #0254760 102.9961 157,179.710 161,895.09 161,888.96 0.03% -6.13
5.000% 06/01/2018 DD 05/01/03
SEC ID: 31371K5V9
FNMA POOL #0254866 102.9961 68,802.980 70,867.08 70,864.38 0.01% -2.70
5.000% 09/01/2018 DD 08/01/03
SEC ID: 31371LCB3
FNMA POOL #0254953 102.9961 365,440.540 370,122.75 376,389.47 0.08% 6,266.72
5.000% 11/01/2018 DD 10/01/03
SEC ID: 31371LE21
FNMA POOL #0254987 102.8471 980,912.870 993,480.81 1,008,840.43 0.21% 15,359.62
5.000% 12/01/2018 DD 11/01/03
SEC ID: 31371LF46
FNMA POOL #0323980 105.8242 198,%2.500 207,729.28 210,550.51 0.04% 2,821.23
6.000% 04/01/2014 DD 09/01/99
SEC ID: 31374T2M0
FNMA POOL #0357328 102.8698 31,162.400 32,097.27 32,056.70 0.01% -40.57
5.000% 01/01/2018 DD 01/01/03
SEC ID: 31376J4M8
FNMA POOL #0357430 102.8711 1,567,770.890 1,585,408.32 1,612,783.00 0.33% 27,374.68
5.000% 09/01/2018 DD 09/01/03
SEC ID: 31376KA71
FNMA POOL #0456482 105.8242 60,877.870 63,560.30 64,423.53 0.01% 863.23
6.000% 02/01/2014 DD 02/01/99
SEC ID: 31381CCT2
FNMA POOL #0509649 105.8242 174,124.630 181,797.00 184,266.03 0.04% 2,469.03
6.000% 09/01/2014 DD 09/01/99
SEC ID: 31383QEW0
FNMA POOL #0535451 105.6992 156,945.330 163,860.74 165,889.99 0.03% 2,029.25
6.000% 06/01/2015 DD 07 /01/00
SEC ID: 31384VZQ8
FNMA POOL #0535672 105.8242 3 ,395,287.940 3,544,892.83 3,593,036.98 0.74% 48,144.15
6.000% 01/01/2016 DD 12/01/00
SEC ID: 31384WCH1
FNMA POOL #0545296 105.6367 1,101,514.840 1,150,050.34 1,163,604.15 0.24% 13,553.81
6.000% 11/01/2016 DD 10/01/01
SEC ID: 31385HXZO
FNMA POOL #0545580 105.6367 93,756.060 97,887.18 99,040.83 0.02% l ,1"53.65
6.000% 03/01/2017 DD 03/01/02
SEC ID: 31385JCR7
3/8/2004 9:06:00AM PST 4 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED -OCSGOO0 10000 2/29/2004 Status: FINAL
Net Unrealized
Prlce Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base
FNMA POOL #0555101 105.7617 167,579.160 174,963.10 177,234.60 0.04% 2,271.50
6.000% 10/01/2017 DD 11/01/02
SEC ID: 31385WU23
FNMA POOL #0555363 102.8711 375,8 11.550 387,085.89 386,601.44 0.08% -484.45
5.000% 04/01/2018 DD 03/01/03
SEC ID: 31385W5Yl
FNMA POOL #0555453 102.9336 38,5-00.450 38,993.74 39,629.90 0.01% 636.16
5.000% 05/01/2018 DD 04/01/03
SEC ID: 31385XBW6
FNMA POOL #0555545 102.8711 313,980.680 323,400.11 322,995.35 0.07% -404.76
5.000% 06/01/2018 DD 05/01/03
SEC ID: 31385XES2
FNMA POOL #0555621 102.8471 1,088,257.290 1,100,500.18 1,119,241.05 0.23% 18,740.87
5.000% 07/01/2018 DD 06/01/03
SEC ID: 31385XG68
FNMA POOL #0576386 105.4510 64,266.100 67,097.82 67,769.28 0.01% 671.46
6.000% 05/01/2016 DD 05/01/01
SEC ID: 31386XJ72
FNMA POOL #0576739 105.6367 171,837.990 179,409.60 181,524.02 0.04% 2,114.42
6.000% 04/01/2016 DD 04/01/01
SEC ID: 31386XV86
FNMA POOL #0580888 105.8867 221,252.730 231,001.67 234,277.26 0.05% 3,275.59
6.000% 05/01/2016 DD 05/01/01
SEC ID: 31387DJ91
FNMA POOL #0594002 105.6367 178,046.840 185,892.02 188,082.84 0.04% 2,190.82
6.000% 07/01/2016 DD 07 /01/01
SEC ID: 31387T3K8
FNMA POOL #0597376 105.6367 233,521.050 243,810.57 246,683.98 0.05% 2,873.41
6.000% 09/01/2016 DD 08/01/01
SEC ID: 31387XT96
FNMA POOL #0605259 105.6367 145,970.820 152,402.66 154,198.79 0.03% 1,796.13
6.000% 09/01/2016 DD 09/01/01
SEC ID: 31388HMG1
FNMA POOL #0608366 105.6367 95,448.930 99,654.65 100,829.12 0.02% 1,174.47
6.000% 10/01/2016 DD 09/01/01
SEC ID: 31388LZ78
FNMA POOL #0616734 105.9492 169,150.770 176,603.97 179,213.92 0.04% 2,609.95
6.000% 12/01/2016 DD 12/01/01
SEC ID: 31388WEF9
FNMA POOL #0630812 105.4742 177,385.020 185,201.05 187,095.35 0.04% 1,894.30
6.000% 02/01/2017 DD 02/01/02
SEC ID: 31389NYH2
3/8/2004 9:06:00AM PST 5 Workbench
@ Asset Detail Report ID: GL80t3·
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCS~CONSOUDATED-OCSGOO0l00OO 2/29/2004 Status: FINAL
Net Unrealized
Price Coat Market Value %of Gabi/Loss
Description Base Shares Par Base Base Total Base
FNMA POOL #0632376 105.7617 801,640.110 836,962.39 847,828.37 0.18% 10,865.98
6.000% 07/01/2017 DD 07 /01/02
SEC ID: 31389QQ50
FNMA POOL #0653116 105.7617 458,461.280 478,662.23 484,876.54 0.10% 6,214.31
6.000% 07/01/2017 DD 07 /01/02
SEC ID: 31390QSD8
FNMA POOL #0673280 105.7617 187,396.020 195,653.16 198,193.25 0.04% 2,540.09
6.000% 08/01/2017 DD 11/01/02
SEC ID: 31391P6R2
FNMA POOL #0681309 102.8711 565,778.390 582,751.74 582,022.40 0.12% -729.34
5.000% 02/01/2018 DD 02/01/03
SEC ID: 31391Y3S4
FNMA POOL #0681334 102.8711 70,619.260 72,737.83 72,646.80 0.02% -91.03
5.000% 02/01/2018 DD 01/01/03
SEC ID: 31391Y4Tl
FNMA POOL #0684908 102.9336 350,637.740 355,130.29 360,924.01 0.07% 5,793.72
5.000% 06/01/2018 DD 05/01/03
SEC ID: 31400D3Rl
FNMA POOL #0685200 102.8711 201,400.290 203,980.74 207,182.67 0.04% 3,201.93
5.000% 03/01/2018 DD 03/01/03
SEC ID: 31400EGH7
FNMA POOL #0685665 102.8711 36,036.560 37,117.66 37,071.20 0.01% -46.46
5.000% 02/01/2018 DD 02/01/03
SEC ID: 31400EW22
FNMA POOL #0686318 102.8711 304,949.070 314,097.54 313,704.43 0.07% -393.11
5.000% 03/01/2018 DD 03/01/03
SEC ID: 31400FPB7
FNMA POOL #0688739 102.8711 116,868.030 120,374.07 120,223.42 0.02% -150.65
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31400JEL9
FNMA POOL #0689859 102.9961 126,345.500 127,964.30 130,130.92 0.03% 2,166.62
5.000% 05/01/2018 DD 05/01/03
SEC ID: 31400KMG8
FNMA POOL #0693834 102.8711 734,805.830 756,850.01 755,902.77 0.16% -947.24
5.000% 03/01/2018 DD 03/01/03
SEC ID: 31400PY74
FNMA POOL #0695852 102.8711 266,582.080 274,579.54 274,235.89 0.06% -343.65
5.000% 05/01/2018 DD 05/01/03
SEC ID: 31400SBV0
FNMA POOL #0695889 102.8711 826,754.220 851,556.84 850,491.08 0.18% -1,065_.76
5.000% 05/01/2018 DD 05/01/03
SEC ID: 31400SC23
3/8/2004 9:06:00AM PST 6 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED -OCSGOO0 10000 2/29/2004 Stat\ls: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Loss
Description Base Shares Par Base Base Total Base
FNMA POOL #0697026 102.8711 26,296.110 27,085.01 27,051.09 0.01% -33.92
5.000% 05/01/2018 DD 04/01/03
SEC ID: 31400TLF2
FNMA POOL #0698939 105.8867 90,991.820 95,001.15 96,348.25 0.02% 1,347.10
6.000% 09/01/2017 DD 03/01/03
SEC ID: 31400VPY2
FNMA POOL #0702210 102.8471 275,352.960 283,613.55 283,192.53 0.06% -421.02
5.000% 05/01/2018 DD 05/01/03
SEC ID: 31401ADP9
FNMA POOL #0702328 102.8711 146,804.450 148,685.39 151,019.34 0.03% 2,333.95
5.000% 05/01/2018 DD 04/01/03
SEC ID: 31401AHD2
FNMA POOL #0703195 105.9492 78,115.720 81,557.70 82,763.00 0.02% 1,205.30
6.000% 01/01/2017 DD 04/01/03
SEC ID: 31401BGC3
FNMA POOL #0709148 102.8711 297,054.770 305,966.42 305,583.48 0.06% -382.94
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401HZM7
FNMA POOL #0709360 102.9961 693,132.710 702,013.48 713,899.59 0.15% 11,886.11
5.000% 07/01/2018 DD 06/01/03
SEC ID: 31401JB56
FNMA POOL #0709826 102.8711 141,009.260 142,815.94 145,057.76 0.03% 2,241.82
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401JSP4
FNMA POOL #0709917 102.8711 261,406.040 264,755.30 268,911.24 0.06% 4,155.94
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401JVJ4
FNMA POOL #0709963 102.8471 26,4-62.640 26,801.70 27,216.06 0.01% 414.36
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401JWY0
FNMA POOL #0710235 102.8711 783,890.710 807,407.44 806,396.92 0.17% -1,010.52
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401KBC8
FNMA POOL #0713344 102.8711 25,579.690 26,347.07 26,314.11 0.01% -32.96
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401NP52
FNMA POOL #0713365 102.8711 329,143.330 333,360.48 338,593.33 0.07% 5,232.85
5.000% 07/01/2018 DD 07 /01/03
SEC ID: 31401NQS1
FNMA POOL #0720319 102.8711 946,633.030 958,761.76 973,811.72 0.20% 15,d49.96
5.000% 07/01/2018 DD 07 /01/03
SEC ID: 31401WG45
3/8/2004 9:06:00AM PST 7 .Workbem;h
@ Asset Detail Report ID: GL8013·
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOLIDATED -OCSGOO0 10000 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Loss
Description Base Shares Par Base Base Total Base
FNMA POOL #0720369 102.8471 2,415,634.250 2,488,103.28 2,484,409.75 0.51% -3,693.53
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401WJN0
FNMA POOL #0721629 103.1211 309,918.690 319,216.26 319,591.53 0.07% 375.27
5.000% 07/01/2018 DD 06/01/03
SECID:31401XVW4
FNMA POOL #0723487 102.8711 251,288.400 254,115.40 258,503.12 0.05% 4,387.72
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31402AXQ4
FNMA POOL #0729601 102.9961 422,722.750 428,138.89 435,387.90 0.09% 7,249.01
5.000% 07/01/2018 DD 07 /01/03
SEC ID: 31402HRW3
FNMA POOL #0732873 103.1211 36,308.370 36,773.56 37,441.59 0.01% 668.03
5.000% 11/01/2018 DD 10/01/03
SEC ID: 31402MFN5
FNMA POOL #0737130 102.9961 744,808.980 754,351.84 767,124.13 0.16% 12,772.29
5.000% 10/01/2018 DD 10/01/03
SEC ID: 31402S4P9
FNMA POOL #0738211 102.8471 587,516.820 595,044.39 604,244.01 0.13% 9,199.62
5.000% 10/01/2018 DD 10/01/03
SEC ID: 31402UDQ2
FNMA POOL #0738487 102.8711 220,650.770 223,477.85 226,985.85 0.05% 3,508.00
5.000% 10/01/2018 DD 10/01/03
SEC ID: 31402UNC2
FNMA POOL #0740471 102.8471 694,890.750 703,794.03 714,674.98 0.15% 10,880.95
5.000% 10/01/2018 DD 10/01/03
SEC ID: 31402WT40
FNMA POOL #0740748 102.8711 824,121.710 834,680.76 847,782.99 0.18% 13,102.23
5.000% 10/01/2018 DD 11/01/03
SEC ID: 31402WSH7
FNMA POOL #0743868 102.8471 44,056.470 44,620.94 45,310.80 0.01% 689.86
5.000% 11/01/2018 DD 10/01/03
SEC ID: 31403BMR1
FNMA POOL #0744008 102.8711 1,143,038.750 1,157,683.93 1,175,856.42 0.24% 18,172.49
5.000% 07/01/2018 DD 09/01/03
SEC ID: 31403BR54
FNMA POOL #0744316 102.8471 170,8-80.330 173,069.74 175,745.46 0.04% 2,675.72
5.000% 09/01/2018 DD 09/01/03
SEC ID: 31403B3Z4
FNMA POOL #0747914 102.8711 360,058.770 364,672.03 370,396.38 0.08% 5,724.35
5.000% 11/01/2018 DD 11/01/03
SEC ID: 31403F3X0
3/8/2004 9:06:00AM PST 8 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED-OCSGOO0l00OO 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/J;c;ss
Description Base Shares Par Base Base Total Base
FNMA POOL #0748400 102.8471 242,368.110 245,473.46 249,268.57 0.05% 3,795.11
5.000% 08/01/2018 DD 09/01/03
SEC ID: 31403GNR9
FNMA POOL #0748899 102.7859 1,029,279.660 1,042,467.30 1,057,954.40 0.22% 15,487.10
5.000% 12/01/2018 DD 11/01/03
SEC ID: 31403G7L0
FNMA POOL #0750377 102.7859 2,528,513.130 2,560,909.70 2,598,955.08 0.54% 38,045.38
5.000% 11/01/2018 DD 11/01/03
SEC ID: 31403JUA2
FNMA POOL #0750380 102.7859 2,121,015.810 2,148,191.34 2,180,105.27 0.45% 31,913.93
5.000% 11/01/2018 DD 11/01/03
SEC ID: 31403JUD6
FNMA POOL #0750445 102.7859 192,6,00.640 195,068.33 197,966.31 0.04% 2,897.98
5.000% 11/01/2018 DD 11/01/03
SEC ID: 31403JWE2
FNMA POOL #0751960 102.8471 903,%0.050 915,542.04 929,696.69 0.19% 14,154.65
5.000% 12/01/2018 DD 11/01/03
SEC ID: 31403LMH1
FNMA POOL #0753425 102.8711 962,285.460 973,411.88 989,913.54 0.21% 16,501.66
5.000% 11/01/2018 DD 11/01/03
SEC ID: 31403NA23
FNMA POOL #0755165 102.9961 644,5'°3.220 652,760.91 663,813.12 0.14% 11,052.21
5.000% 12/01/2018 DD 11/01/03
SEC ID: 31403Q6A3
FNMA POOL #0756372 102.9961 987,723.590 999,144.14 1,017,316.68 0.21% 18,172.54
5.000% 11/01/2018 DD 11/01/03
SEC ID: 31403SJR8
FORD MOTOR CR CO NT 104.9840 I ,000,0•00.000 965,170.00 1,049,840.00 0.22% 84,670.00
6.750% 05/15/2005 DD 05/24/93
SEC ID: 345397GV9
FORD MTR CR CO GLOBAL 101.8590 2,500,000.000 2,495,900.00 2,546,475.00 0.53% 50,575.00
LANDMARK
6.700% 07/16/2004 DD 07 / 16/99
SEC ID: 345397SJ3
GNMA POOL #0596612 105.8594 298,240.360 313,012.57 315,715.40 0.07% 2,702.83
6.500% 09/15/2032 DD 09/01/02
SEC ID: 36200BYH4
GNMA POOL #0569358 105.5844 1,111,796.060 1,137,853.78 1,173,883.11 0.24% 36,029.33
6.500% 04/15/2032 DD 04/01/02
SEC ID: 36200QQK3
GNMA POOL #0569685 105.8906 47,593.890 49,951.27 50,397.47 0.01% 446'.20
6.500% 02/15/2032 DD 02/01/02
SEC ID: 36200Q2S2
3/8/2004 9:06:00AM PST 9 Workbench
@ Asset Detail Report ID: GL8013
M•ellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED -OCSGOO0 10000 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Lou
Description Base Shares Par Base Base Total Base
GNMA POOL #0570019 105.8906 82,334.610 86,412.75 87,184.63 0.02% 771.88
6.500% 07/15/2032 DD 07 /01/02
SEC ID: 36200RG48
GNMA POOL #0574323 105.8906 475,152.230 498,687.12 503,141.64 0.10% 4,454.52
6.500% 12/15/2031 DD 12/01/01
SEC ID: 36200WAY7
GNMA POOL #0575364 105.8906 48,111.660 50,494.69 50,945.74 0.01% 451.05
6.500% 11/15/2031 DD 11/01/01
SEC ID: 36200XFD6
GNMA POOL #0587117 105.8906 19,B04.190 20,785.12 20,970.78 0.00% 185.66
6.500% 06/15/2032 DD 06/01/02
SEC ID: 36201MG22
GNMA POOL #0587439 105.8594 57,4-42.250 60,287.43 60,808.01 0.01% 520.58
6.500% 11/15/2032 DD 12/01/02
SEC ID: 36201MS45
GNMA POOL #0421389 106.2344 14,230.430 14,935.29 15,117.61 0.00% 182.32
6.500% 04/15/2026 DD 04/01/96
SEC ID: 36206UC23
GNMA POOL #0438057 104.9727 18,5-80.730 17,637.19 19,504.69 0.00% 1,867.50
6.000% 05/15/2028 DD 05/01/98
SEC ID : 36207PTN9
GNMA POOL #0449851 105.7010 22,858.120 23,990.31 24,161.25 0.01% 170.94
6.500% 01/15/2028 DD 01/01/98
SEC ID: 36208FWLO
GNMA POOL #0457814 104.9102 36,874.700 35,002.14 38,685.31 0.01% 3,683.17
6.000% 10/15/2028 DD 10/01/98
SEC ID: 36208QSB3
GNMA POOL #0465546 104.9102 457,350.130 434,125.32 479,806.75 0.10% 45,681.43
6.000% 08/15/2028 DD 08/01/98
SEC ID: 36209AET3
GNMA POOL #0465555 104.9102 492,575.350 467,561.77 516,761.59 0.11% 49,199.82
6.000% 09/15/2028 DD 09/01/98
SEC ID: 36209AE48
GNMA POOL #0466845 106.1094 62,6-88.680 65,793.73 66,518.57 0.01% 724.84
6.500% 06/15/2028 DD 06/01/98
SEC ID: 36209BTA6
GNMA POOL #0467279 104.9102 20,583.780 19,538.51 21,594.48 0.00% 2,055.97
6.000% 10/15/2028 DD 10/01/98
SEC ID: 36209CCQ7
GNMA POOL #0467286 104.9102 396,974.240 376,815.39 416,466.31 0.09% 39,650,92
6.000% 10/15/2028 DD 10/01/98
SEC ID: 36209CCX2
3/8/2004 9:06:00AM PST 10 Workbench
@ Asset Detail Report ID: qL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED-OCSGOO0 10000 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Lose
Description Base Shares Par Base Base Total Base
GNMA POOL #0468052 106.1094 113,197.730 118,804.56 120,113.41 0.02% 1,308.85
6.500% 07/15/2028 DD 07/01/98
SEC ID: 36209C5M4
GNMA POOL #0468330 104.9727 18,797.370 17,842.80 19,732.10 0.00% 1,889.30
6.000% 05/15/2028 DD 05/01/98
SEC ID: 36209DHF4
GNMA POOL #0468339 104.9102 303,602.160 288,184.88 318,509.51 0.07% 30,324.63
6.000% 08/15/2028 DD 08/01/98
SEC ID: 36209DHQO
GNMA POOL #0469688 104.9102 14,926.510 14,168.51 15,659.43 0.00% 1,490.92
6.000% 11/15/2028 DD 11/01/98
SEC ID: 36209EXR8
GNMA POOL #0476041 106.1094 173,701.380 182,033.62 184,313.46 0.04% 2,279.84
6.500% 06/15/2028 DD 06/01/98
SEC ID: 36209MZE7
GNMA POOL #0478626 106.1094 163,857.370 171,717.41 173,868.04 0.04% 2,150.63
6.500% 01/15/2029 DD 01/01/99
SEC ID: 36209QVT9
GNMA POOL #0480598 106.1094 122,832.740 128,724.88 130,337.06 0.03% 1,612.18
6.500% 10/15/2028 DD 10/01/98
SEC ID: 36209S3F6
GNMA POOL #0483452 104.9102 13,151.780 12,483.93 13,797.55 0.00% 1,313.62
6.000% 09/15/2028 DD 09/01/98
SEC ID: 36209WBV3
GNMA POOL #0485527 105.8906 434,633.410 456,161.35 460,236.01 0.10% 4,074.66
6.500% 06/15/2031 DD 06/01/01
SEC ID: 36209YLG 1
GNMA POOL #0485610 105.8906 472,799.940 496,218.31 500,650.79 0.10% 4,432.48
6.500% 07/15/2031 DD 07/01/01
SEC ID: 36209YN38
GNMA POOL #0485682 105.8906 93,255.940 97,875.02 98,749.29 0.02% 874.27
6.500% 08/15/2031 DD 08/01/01
SEC ID: 36209YRB6
GNMA POOL #0485703 105.8906 84,939.870 89,147.05 89,943.35 0.02% 796.30
6.500% 08/15/2031 DD 08/01/01
SEC ID: 36209YRY6
GNMA POOL #0486720 104.9102 11,930.740 11,324.89 12,516.56 0.00% 1,191.67
6.000% 12/15/2028 DD 12/01/98
SEC ID: 36210AVM6
GNMA POOL #0491103 104.9102 101,165.170 96,027.89 106,132.54 0.02% 10,104,65
6.000% 01/15/2029 DD 01/01/99
SEC ID: 36210FRY4
3/8/2004 9:06:00AM PST 11 Workbench
@ Asset Detail Report ID: GL8013'
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOLIDATED -OCSGOO0 10000 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Loss
Description Base Shares Par Base Base Total Base
GNMA POOL #0496461 104.9102 391,864.480 371,965.11 411,105.65 0.09% 39,140.54
6.000% 01/15/2029 DD 01/01/99
SEC ID: 36210MQN4
GNMA POOL #0497343 104.9102 22,4-66.060 21,325.21 23,569.18 0.00% 2,243.97
6.000% 12/15/2028 DD 12/01/98
SEC ID: 36210NP45
GNMA POOL #0499153 104.9102 12,629.020 11,987.70 13,249.13 0.00% 1,261.43
6.000% 02/15/2029 DD 02/01/99
SEC ID: 36210QQE5
GNMA POOL #0500917 104.9102 6,547.350 6,214.86 6,868.84 0.00% 653.98
6.000% 04/15/2029 DD 04/01/99
SEC ID: 36210SPA0
GNMA POOL #0503388 104.9102 308,310.430 292,654.04 323,448.97 0.07% 30,794.93
6.000% 03/15/2029 DD 03/01/99
SEC ID: 36210VF55
GNMA POOL #0506636 104.9102 34,318.900 32,576.13 36,004.01 0.01% 3,427.88
6.000% 04/15/2029 DD 04/01/99
SEC ID: 36210YY90
GNMA POOL #0512235 106.0156 10,9'02.290 11,442.29 11,558.13 0.00% 115.84
6.500% 11/15/2029 DD 11/01/99
SEC ID: 36211GBC6
GNMA POOL #0514326 106.0156 141,672.120 148,467.95 150,194.58 0.03% 1,726.63
6.500% 07/15/2029 DD 07 /01/99
SEC ID: 362 l 1JLF2
GNMA POOL #0530053 105.5778 47,539.930 49,894.65 50,191.63 0.01% 296.98
6.500% 04/15/2031 DD 04/01/01
SEC ID: 36212CZS3
GNMA POOL #0537885 105.8906 104,819.210 ll0,011.03 110,993.71 0.02% 982.68
6.500% 02/15/2031 DD 02/01/01
SEC ID: 36212MRE1
GNMA POOL #0547512 105.8906 11,755.280 12,337.54 12,447.74 0.00% 110.20
6.500% 04/15/2031 DD 04/01/01
SEC ID: 36212YGV9
GNMA POOL #0547715 105.8906 128,0,04.570 134,144.79 135,544.83 0.03% 1,400.04
6.500% 02/15/2031 DD 02/01/01
SEC ID: 36212YN82
GNMA POOL #0552322 105.8906 69,986.180 73,452.68 74,108.80 0.02% 656.12
6.500% 01/15/2032 DD 01/01/02
SEC ID: 36213ESK3
GNMA POOL #0552466 105.5844 525,568.360 551,600.43 554,918.16 0.11% 3,317.73
6.500% 03/15/2032 DD 03/01/02
SEC ID: 36213EW36
3/8/2004 9:06:00AM PST 12 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOLIDATED -OCSGOO0 10000 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base
GNMA POOL #0552659 105.8906 405,032.840 425,094.61 428,891.79 0.09% 3,797.18
6.500% 07/15/2032 DD 07 /01/02
SEC ID: 36213E5U6
GNMA POOL #0561017 105.8906 397,348.740 417,029.91 420,755.04 0.09% 3,725.13
6.500% 07/15/2031 DD 07 /01/01
SEC ID: 36213QG29
GNMA II POOL #0080023 103.1859 213,393.560 216,927.89 220,191.96 0.05% 3,264.07
VAR RT 12/20/2026 DD 12/01/96
SEC ID: 36225CAZ9
GNMA II POOL #080088M 101.4439 311,804.470 318,625.19 316,306.46 0 .07% -2,318.73
7.375% 06/20/2027 DD 06/01/97
SEC ID: 36225CC20
GNMA II POOL #0080395 101.7609 260,774.110 258,410.84 265,365.95 0.05% 6,955.11
VAR RT 04/20/2030 DD 04/01/00
SEC ID: 36225CNM4
GNMA II POOL #080408X 101.7600 2,313,261.140 2,289,767.08 2,353,973.38 0.49% 64,206.30
6.500% 05/20/2030 DD 05/01/00
SEC ID: 36225CN28
GENERAL ELEC CAP MTN #TR 00448 101.0150 180,000.000 183,801.60 181,827.00 0.04% -1,974.60
7.250% 05/03/2004 DD 05/01/00
SEC ID: 36962GUR3
GENERAL ELEC CAP MTN #TR 00545 100.0460 1 ,000,0·00.000 1,001,089.00 1,000,460.00 0.21% -629.00
VAR RT 05/20/2004 DD 05/20/02
SEC ID: 36962GYS7
GENERAL MTRS ACCEP CORP SR NT 107.5150 3 ,000,0,00.000 3,064,350.00 3,225,450.00 0.67% 161,100.00
6.125% 08/28/2007 DD 08/29/02
SEC ID : 370425SD3
GOLDMAN SACHS GROUP INC SR NT 103.6560 3 ,000,0·00.000 3,030,030.00 3,109,680.00 0.64% 79,650.00
4.125% 01/15/2008 DD 01/13/03
SEC ID: 38141GCS1
GNMA GTD REMIC TR 2000-9 FH 100.6100 681,084.220 681,084.22 685,238.83 0.14% 4,154.61
VAR RT 02/16/2030
SEC ID: 3837H4NX9
LEHMAN BROS HLDGS INC 100.4370 1,000,0·00.000 1,045,590.00 1,004,370.00 0.21% -41,220.00
6.625% 04/01/2004 DD 03/26/99
SEC ID: 524908B22
MARSH & MCLENNAN COS INC SR NT 101.5000 2,000,000.000 1,992,280.00 2,030,000.00 0.42% 37,720.00
6.625% 06/15/2004 DD 06/14/99
SEC ID: 571748AB8
MORGAN STANLEY NT 101.5310 3 ,200,0,00.000 3,195,648.00 3,248,992.00 0.67% 53,344,00
3.625% 04/01/2008 DD 03/06/03
SEC ID: 617446HW2
3/8/2004 9:06:00AM PST 13 Workbench
@ Asset Detail Report ID: GL8013·
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED-OCSGOO0l00OO 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Loss
Description Base Shares Par Base Base Total Base
NCNB TEX NATL BK DALLAS TEX NT 101.9840 250,000.000 260,870.00 254,960.00 0.05% -5,910.00
9.500% 06/01/2004 DD 06/01/89
SEC ID: 628857DJO
NATIONSBANK CORP SR NTS 101.7960 627,000.000 646,650.18 638,260.92 0.13% -8,389.26
6.125% 07/15/2004 DD 07 /23/98
SEC ID: 638585BJ7
NORWEST FINL INC NTS 100.4530 520,000.000 531,538.80 522,355.60 0.11% -9,183.20
7.200% 04/01/2004 DD 04/07 /97
SEC ID: 669383DG3
PACIFICORP SECD MTN #TR 00115 103.6250 3,000,000.000 2,950,530.00 3,108,750.00 0.64% 158,220.00
7.300% 10/22/2004 DD 10/22/92
SEC ID: 69512EEU5
PHILIP MORRIS COS INC NTS 100.4370 1,000,000.000 1,052,600.00 1,004,370.00 0.21% -48,230.00
7.500% 04/01/2004 DD 04/01/97
SEC ID: 718154CH8
RESIDENTIAL ASSET 03-RSl 1 AIIB 100.0625 971,0,42.750 971,042.75 971,649.65 0.20% 606.90
VAR RT 12/25/2033 DD 12/30/03
SEC ID: 760985K83
SBA GTD DEV PARTN 2001-20C 1 109.4900 3,497,276.280 3,497,276.28 3,829,167.80 0.79% 331,891.52
6.340% 03/01/2021
SEC ID: 83162CWO
SBA GTD PARTN CTFS SBIC-PS 01 108.1250 2,241,342.070 2,241,342.07 2,423,451.11 0.50% 182,109.04
6.640% 02/10/2011 DD 02/21/01
SEC ID: 831641DD4
UNITED AIRLS PASSTHRU 01-1 C 16.4700 1 ,600,0·00.000 1,600,000.00 263,520.00 0.05% -1,336,480.00
6.831% 03/01/2010 DD 08/22/01
SEC ID: 9093 l 7BC2
US BANCORP MTN #TR 00119 100.9530 1,000,0,00.000 1,046,310.00 1,009,530.00 0.21% -36,780.00
6.000% 05/15/2004 DD 05/10/99
SEC ID: 91159HEY2
U S TREASURY NOTES 111.8750 20 ,000,0,00.000 22,620,312.50 22,375,000.00 4.64% -245,312.50
06.250% 02/15/2007 DD 02/ 15/97
SEC ID: 9128272JO
US TREASURY INFLATION INDEX NT 110.0940 16 ,286,0·60.000 14,368,118.33 17,929,974.90 3.72% 3,561,856.57
3.375% 01/15/2007 DD 01/15/97
SEC ID: 9128272M3
US TREASURY INFLATION INDEX NT 112.8750 3,422,490.000 3,731,991.35 3,863,135.59 0.80% 131,144.24
3.625% 01/15/2008 DD 01/15/98
SEC ID: 9128273T7
US TREASURY INFLATION INDEX NT 115.7190 14 ,609,6•60.000 16,235,020.11 16,906,152.46 3.50% 671,132,35
3.875% 01/15/2009 DD 01/15/99
SEC ID: 9128274Y5
3/8/2004 9:06:00AM PST 14 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED -OCSGOOO 10000 2/29/2004 Status: FINAL
Net UmeaHzed
Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base
U S TREASURY NOTES 107.2190 57,100,000.000 62,782,901.47 61,222,049.00 12.69% -1,560,852.47
05.750% 11/15/2005 DD 11/15/00
SEC ID: 9128276N7
U S TREASURY NT 102.0600 12,000,000.000 11,870,156.25 12,247,200.00 2.54% 377,043.75
3.250% 08/15/2008 DD 08/15/03
SEC ID: 912828BG4
U S TREASURY NOTES 100.5300 81,000,0100.000 81,284,765.63 81,429,300.00 16.87% 144,534.37
1.875% 01/31/2006 DD 01/31/03
SEC ID: 912828BX7
VIRGINIA ELEC & PWR O 1 SER A 107.1710 1,750,0•00 .000 1,743,840.00 1,875,492.50 0 .39% 131,652.50
5.750% 03/31/2006 DD 03/27 /01
SEC ID: 927804ENO
WELLS FARGO & CO NEW NT 101.9680 125,0•00.000 128,605.00 127,460.00 0.03% -1,145.00
6.625% 07/15/2004 DD 07 /28/99
SEC ID: 949746AA9
TOTAL FIXED INCOME SECURITIES 342,972,189.390 354,135,673.05 359,375,504.27 74.47% 5,239,831.22
TOTAL ASSETS U.S. DOLLAR 463,371,777.710 477,345,955.43 482,585,786.65 100.00% 5,239,831.22
TOTAL ASSETS -BASE: 463,371,777.710 477,345,955.43 482,585,786.65 100.00% 5,239,831.22
3/8/2004 9:06:00AM PST 15 Workbench
@ Transaction Detail ReportID: EWB009 -
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATED -OCSGOOOlOOOO 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
PURCHASES
CASH & CASH EQUIVALENTS
U.S. DOLLAR
B FEDERAL HOME LN BKS CONS DISC MAT 2/20/2004 99.9238 4,100,000.000 4,096,874.89 -4,096,874.89 0.00
03/19/2004 2/20/2004 SEC ID: 313384UM9 2/20/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
B FEDERAL HOME LN BKS CONS DISC MAT 2/4/2004 99.7434 2,500,000.000 2,493,585.76 -2,493,585.76 0.00
05/05/2004 2/4/2004 SEC ID: 313384WL9 2/4/2004 OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL HOME LN BK CONS DISC N MAT 2/24/2004 99.7472 1,700,000.000 1,695,702.78 -1,695,702.78 0.00
05/26/2004 2/25/2004 SEC ID: 313384XH7 2/24/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL HOME LN MTG CORP DISC MAT 2/2/2004 99.7381 4,700,000.000 4,687,688.61 -4,687,688.61 0.00
5/5/2004 2/2/2004 SEC ID: 313396WK5 2/2/2004 BROKER: CHASE SECURITIES, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
B FEDERAL HOME LN MTG CORP DISC MAT 2/4/2004 99.7450 2,500,000.000 2,493,625.00 -2,493,625.00 0.00
5/5/2004 2/4/2004 SEC ID: 313396WK5 2/4/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL HOME LN MTG CORP DISC MAT 2/19/2004 99.7528 3,900,000.000 3,890,358.33 -3,890,358.33 0.00
05/18/2004 2/19/2004 SEC ID: 313396WZ2 2/19/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07522202: LONG TERM OPER-PIMCO
B FEDERAL HOME LN MTG CORP DISC MAT 2/19/2004 99.7528 3,900,000.000 3,890,358.33 -3,890,358.33 0.00
05/18/2004 2/19/2004 SEC ID: 313396WZ2 2/19/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 1 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDID:200000000000 2/2/2004 -2/27/2004 Status: FINAL
Trade Date -
Tran Settle Date Price Cost Amount Net Gain/Losa
Type Description Reported Date Base Shares/Par Base Base Base
B FEDERAL HOME LN MTG CORP DISC MAT 2/19/2004 99.7528 2,900,000.000 2,892,830.56 -2,892,830.56 0.00
05/18/2004 2/19/2004 SEC ID: 313396WZ2
BROKER: MORGAN STANLEY & CO INC, NY 2/19/2004
OCSF07522202: LONG TERM OPER-PIMCO
B FEDERAL HOME LN MTG CORP DISC MAT 2/26/2004 99.7722 6,000,000.000 5,986,333.33 -5, 986,333.33 0.00
05/18/2004 2/26/2004 SEC ID: 313396WZ2 2/26/2004 BROKER: CITIGROUP GBLMKTS/SALOMON,
NEW YORK
OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL HOME LN MTG CORP DISC MAT 2/24/2004 99.7472 2,000,000.000 1,994,944.44 -1,994,944.44 0.00
05/25/2004 2/24/2004 SEC ID: 313396XG3 2/24/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL NATL MTG ASSN DISCOUNT MAT 2/4/2004 99.7422 400,000.000 398,968.67 -398,968.67 0.00
05/05/2004 2/4/2004 SEC ID: 313588WL5 2/4/2004 BROKER: MORGAN STANLEY & CO INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
B FEDERAL NATL MTG ASSN DISCOUNT MAT 2/13/2004 99.7528 6,500,000.000 6,483,930.56 -6,483,930.56 0.00
05/12/2004 2/13/2004 SEC JD: 313588WT8 2/13/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL NATL MTG ASSN DISCOUNT MAT 2/19/2004 99.7500 3,900,000.000 3,890,250.00 -3,890,250.00 0.00
05/19/2004 2/19/2004 SEC JD: 313588XA8 2/19/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07522202: LONG TERM OPER-PIMCO
B FEDERAL NATL MTG ASSN DISCOUNT MAT 2/19/2004 99.7500 2,900,000.000 2,892,750.00 -2,892,750.00 0.00
05/19/2004 2/19/2004
SEC JD: 313588XA8 2/19/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 2 Workbench
Transaction Detail .
@ Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
ocs D-CONSOLIDATE DflllTIT2 fl nn nn1n111nn 2/2/2004-2/27/2004 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 NATL MTG ASSN DISCOUNT MAT 2/19/2004 99.7500 5,000,000.000 4,987,500.00 -4,987,500.00 0.00
05/19/2004 2/19/2004 SEC ID: 313588XA8 2/19/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL NATL MTG ASSN DISCOUNT MAT 2/24/2004 99.7639 2,000,000.000 1,995,277.78 -1,995,277.78 0.00
05/19/2004 2/24/2004 SEC ID: 313588XA8 2/24/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL NATL MTG ASSN DISCOUNT MAT 2/19/2004 99.6195 3,900,000.000 3,885,159.42 -3,885, 159.42 0.00
07/01/2004 2/19/2004 SEC ID: 313588YV1 2/19/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
B US TREASURY BILL DUE 08/05/2004 DD 2/10/2004 99.5197 23,100,000.000 22,989,043.00 -22,989,043.00 0.00
02/05/2004 2/11/2004 SEC ID: 912795QW4 2/10/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.990% 02/03/2004 2/2/2004 100.0000 15,400,000.000 15,400,000.00 -15,400,000.00 0.00
DD 02/02/04 2/2/2004 SEC ID: 994150617 2/2/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.950% 02/04/2004 2/3/2004 100.0000 15,400,000.000 15,400,000.00 -15,400,000.00 0.00
DD 02/03/04 2/3/2004
SEC ID: 99415W209 2/3/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.920% 02/05/2004 2/4/2004 100.0000 15,600,000.000 15,600,000.00 -15,600,000.00 0.00
DD 02/04/04 2/4/2004 SEC ID: 99415X439 2/4/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 3 Workbench
@ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
ocs D-CONSOLIDAT E Drn:[2 0 OD ••o••o•• 2/2/2004 -2/27/2004 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 SUISSE FB REPO 00.960% 02/06/2004 2/5/2004 100.0000 16,600,000.000 16,600,000.00 -16,600,000.00 0.00
DD 02 /05/04 2/5/2004 SEC ID: 99415Y965 2/5/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102 : LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.960% 02/09/2004 2/6/2004 100.0000 16,600,000.000 16,600,000.00 -16,600,000.00 0.00
DD 02/06/04 2/6/2004 SEC ID: 994152301 2/6/2004 BROKER: CRE DIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.970% 02/11/2004 2/10/2004 100.0000 17,200,000.000 17,200,000.00 -17,200,000.00 0.00
DD 02/10/04 2/10/2004 SEC TD: 99'H6C053 2/10/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102 : LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.950% 02/12/2004 2/11/2004 100.0000 17,200,000.000 17,200,000.00 -17,200,000.00 0.00
DD 02/ 11/04 2/11/2004 SEC ID: 99416E042 2/11/2004 BROKER: OREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO O 1.000% 02/13/2004 2/12/2004 100.0000 17,300,000.000 17,300,000.00 -17,300,000.00 0.00
DD 02/12/04 2/12/2004
SEC ID: 994160195 2/12/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.980% 02/17/2004 2/13/2004 100.0000 15,000,000.000 15,000,000.00 -15,000,000.00 0.00
DD 02/13/04 2/13/2004 SEC ID: 99416H482 2/13/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 4 Workbench
Transaction Detail . .
@ ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCS D-CONSOLIDATE D[][]]][2 • DD ODD••••• 2/2/2004 -2/27/2004 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 SUISSE FB REPO 01.010% 02/18/2004 2/17/2004 100.0000 12,400,000.000 12,400,000.00 -12,400,000.00 0.00
0D02/17/04 2/17/2004 SEC ID: 99416H938 2/17/2004 BROKER: CREDJT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO O 1.010% 02/18/2004 2/17/2004 100.0000 23,400,000.000 23,400,000.00 -23,400,000.00 0.00
D002/17/04 2/17/2004 SEC lD: 99416H938 2/17/2004 BROKER: CREDJ'f SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
B CREDIT SUISSE FB REPO 00.990% 02/19/2004 2/18/2004 100.0000 23,400,000.000 23,400,000.00 -23,400,000.00 0.00
DD 02/18/04 2/18/2004 SEC lD: 99416K527 2/18/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF0752 2202: LONG TERM OPER-PIMCO
B CREDIT SUISSE FB REPO 00.950% 02/19/2004 2/18/2004 100.0000 9,200,000.000 9,200,000.00 -9,200,000.00 0.00
DD 02/18/04 2/18/2004 SEC ID: 994161327 2/18/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B LEHMAN CAT 2 REPO 00.900% 02/19/2004 DD 2/18/2004 100.0000 9,000,000.000 9,000,000.00 -9,000,000.00 0.00
02/18/04 2/18/2004 SEC ID: 994161707 2/18/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
B LEHMAN CAT 2 REPO 00.950% 02/20/2004 DD 2/19/2004 100.0000 5,000,000.000 5,000,000.00 -5,000,000.00 0.00
02/ 19/04 2/19/2004 SEC ID: 99416M762 2/19/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.960% 02/20/2004 2/19/2004 100.0000 4,100,000.000 4,100,000.00 -4,100,000.00 0.00
DD 02/19/04 2/19/2004 SEC ID: 99416M994 2/19/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 5 Workbench
@ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE 0[]][[2 0 DO 000000[1• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Coat Amount Net Gabi/LoBB
Type Deacrlptlon Reported Date Base Shares/Par Base Base Baee
B CREDIT SUISSE FB REPO 00.950% 02/23/2004 2/20/2004 100.0000 13,400,000.000 13,400,000.00 -13,400,000.00 0.00
DD 02/20/04 2/20/2004 SEC ID: 99416P344 2/20/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.970% 02/24/2004 2/23/2004 100.0000 13,400,000.000 13,400,000.00 -13,400,000.00 0.00
DD 02/23/04 2/23/2004 SEC ID: 99416Q896 2/23/2004 BROKB:R: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B LEHMAN CAT 2 REPO 00.950% 02/25/2004 DD 2/24/2004 100.0000 11,900,000.000 11,900,000.00 -11,900,000.00 0.00
02/24/04 2/24/2004 SEC ID: 99416Sl 99 2/24/2004 BRO KER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.950% 02/26/2004 2/25/2004 100.0000 11,200,000.000 11,200,000.00 -11,200,000.00 0.00
DD 02/25/04 2/25/2004 SEC ID: 99416T858 2/25/2004 BROKER: CRE DIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B LEHMAN CAT 2 REPO 00.950% 02/26/2004 DD 2/25/2004 100.0000 300,000.000 300,000.00 -300,000.00 0.00
02/25/04 2/25/2004 SEC ID: 99416U079 2/25/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102 : LIQUID OPER-PIMCO
B LEHMAN CAT 2 REPO 00.990% 02/27/2004 DD 2/26/2004 100.0000 12,300,000.000 12,300,000.00 -12,300,000.00 0.00
02/26/04 2/26/2004 SEC JD: 99416V721 2/26/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102 : LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.980% 03/01/2004 2/27/2004 100.0000 12,300,000.000 12,300,000.00 -12,300,000.00 0.00
DD 02 /27 /04 2/27/2004 SEC ID: 99416W828 2/27/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 6 Workbench
® Transaction Detail ReportlD: EWB009' .
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDOilllI:2000••0 ••0•• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
B DREYFUS TREASURY CASH MGMT 2/2/2004 1.0000 34,307.390 34,307.39 -34,307.39 0.00
SEC ID: 996085247 2/2/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/2/2004
B DREYFUS TREASURY CASH MGMT 2/3/2004 1.0000 423.500 423.50 -423.50 0.00
SEC ID: 996085247 2/3/2004 OCSF07511102: LIQUID OPER-PIMCO 2/3/2004
B DREYFUS TREASURY CASH MGMT 2/4/2004 1.0000 13,921.300 13,921.30 -13,921.30 0.00
SEC ID: 996085247 2/4/2004 OCSF07511102: LIQUID OPER-PIMCO 2/4/2004
B DREYFUS TREASURY CASH MGMT 2/4/2004 1.0000 8,049.530 8,049.53 -8,049.53 0.00
SEC ID: 996085247 2 /4/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/4/2004
B DREYFUS TREASURY CASH MGMT 2/5/2004 1.0000 398.670 398.67 -398.67 0.00
SEC ID: 996085247 2/5/2004 OCSF07511102: LIQUID OPER-PIMCO 2/5/2004
B DREYFUS TREASURY CASH MGMT 2/6/2004 1.0000 442.670 442.67 -442.67 0.00
SEC ID: 996085247 2/6/2004
OCSF07511102: LIQUID OPER-PIMCO 2/6/2004
B DREYFUS TREASURY CASH MGMT 2/9/2004 1.0000 17,201,328.000 17,201,328.00 -17,201,328.00 0.00
SEC ID: 996085247 2/9/2004 OCSF07511102: LIQUID OPER-PIMCO 2/9 /2004
B DREYFUS TREASURY CASH MGMT 2/10/2004 1.0000 225,045.570 225,045.57 -225,045.57 0.00
SEC ID: 996085247 2/10/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/10/2004
B DREYFUS TREASURY CASH MGMT 2/11/2004 1.0000 367.740 367.74 -367.74 0.00
SEC ID: 996085247 2/11/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/11/2004
B DREYFUS TREASURY CASH MGMT 2/11/2004 1.0000 83,610.440 83,610.44 -83,610.44 0.00
SEC ID: 996085247 2/11/2004 OCSF07511102: LIQUID OPER-PIMCO 2/11/2004
3/8/2004 9:09:0SAM PST 7 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDJ[][][2 0 OD ••ODDO•• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Coat Amount Net Galil/Loaa
Type Description Reported Date Base Shares/Par Base Base Base
B DREYFUS TREASURY CASH MGMT 2/13/2004 1.0000 15,016,550.000 15,016,550.00 -15,016,550.00 0.00
SEC ID: 996085247 2/13/2004 OCSF07511102: LIQUID OPER-PIMCO 2/13/2004
B DREYFUS TREASURY CASH MGMT 2/13/2004 1.0000 199,628.440 199,628.44 -199,628.44 0.00
SEC ID: 996085247 2/13/2004
OCSF07522202: LONG TERM OPER-PIMCO 2/13/2004
B DREYFUS TREASURY CASH MGMT 2/17/2004 1.0000 1,832,876.560 1,832,876.56 -1,832,876.56 0.00
SEC ID: 996085247 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/17/2004
B DREYFUS TREASURY CASH MGMT 2/18/2004 1.0000 200,347.890 200,347.89 -200,347.89 0.00
SEC ID: 996085247 2/18/2004
OCSF07511102: LIQUID OPER-PIMCO 2/18/2004
B DREYFUS TREASURY CASH MGMT 2/18/2004 1.0000 28,282.300 28,282.30 -28,282.30 0.00
SEC ID: 996085247 2/18/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/18/2004
B DREYFUS TREASURY CASH MGMT 2/19/2004 1.0000 8,212,967.780 8,212,967.78 -8,212,967.78 0.00
SEC ID: 996085247 2/19/2004 OCSF07511102: LIQUID OPER-PIMCO 2/19/2004
B DREYFUS TREASURY CASH MGMT 2/20/2004 1.0000 124,804.930 124,804.93 -124,804.93 0.00
SEC ID: 996085247 2/20/2004
OCSF07522202 : LONG TERM OPER-PJMCO 2/20/2004
B DREYFUS TREASURY CASH MGMT 2/23/2004 1.0000 1,060.830 1,060.83 -1,060.83 0.00
SEC ID: 996085247 2/23/2004 OCSF07511102: LIQUID OPER-PIMCO 2/23/2004
B DREYFUS TREASURY CASH MGMT 2/24/2004 1.0000 10,138.840 10,138.84 -10,138.84 0.00
SEC ID: 996085247 2/24/2004 OCSF07511102: LIQUID OPER-PIMCO 2/24/2004
B DREYFUS TREASURY CASH MGMT 2/25/2004 1.0000 704,611.250 704,611.25 -704,611.25 0.00
SEC ID: 996085247 2/25/2004 OCSF07511102: LIQUID OPER-PIMCO 2/25/2004
3/8/2004 9:09:0SAM PST 8 Workbench
Transaction Detail .
@ ReportID: EWB009 Mello·n Reported by Transaction Category Base Currency: USD
ocs D-CONSOLIDATE DJ!Il2 0 OD •mmmm• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
B DREYFUS TREASURY CASH MGMT 2/25/2004 1.0000 760,677.110 760,677.11 -760,677.11 0.00
SEC ID: 996085247 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/25/2004
TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 434,159,840.740 433,905,022.20 -433,905,022.20 0.00
TOTAL CASH & CASH EQUIVALENTS BASE: 434,159,840.740 433,905,022.20 -433,905,022.20 0.00
FIXED INCOME SECURITIES
U.S. DOLLAR
B COMMIT TO PUR FNMA SF MTG 5 .500% 2/27/2004 102.2813 2,100,000.000 2,147,906.25 -2,147,906.25 0.00
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F052631 2/27/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07522202: LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 5.500% 2/27/2004 102.2813 700,000.000 715,968.75 -715,968.75 0.00
03/01/2034 DD 03/01 /04 3/15/2004
SEC ID: 01F052631 2/27/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07522202 : LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6.000% 2/3/2004 103.5000 1,000,000.000 1,035,000.00 -1,035,000.00 0.00
03/01/2033 DD 03/01 /03 3/15/2004 SEC ID: 01F060634 2/3/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202 : LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6 .000% 2/3/2004 103.5000 1,000,000.000 1,035,000.00 -1,035,000.00 0.00
03/01/2033 DD 03/01 /03 3/15/2004 SEC ID: 01F060634 2/3/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6 .000% 2/3/2004 103.5000 500,000.000 517,500.00 -517,500.00 0.00
03/01/2033 DD 03/01 /03 3/15/2004
SEC ID: 01F060634 2/3/2004 BROKER: BEAR STEARNS & CO INC, NY
OCSF07522202 : LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 9 Workbench
@ Transaction Detail ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE D[]J!][2 0 OD ••0 00000 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Bal!le
B COMMIT TO PUR FNMA SF MTG 6.000% 2/6/2004 103.6406 500,000.000 518,203.12 -518,203.12 0.00
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/6/2004 BROKER: CHASE/GREENWICH CAP, NEW
YORK
OCSF07522202: LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6.000% 2/6/2004 103.7344 1,000,000.000 1,037,343.75 -1,037,343.75 0.00
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/6/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6.000% 2/18/2004 103.6250 500,000.000 518,125.00 -518,125.00 0.00
04/01/2033 DD 04/01 /03 4/15/2004 SEC ID: 01F060642 2/18/2004 BROKER: BEAR STEARNS & CO INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6.000% 2/18/2004 103.6250 2,000,000.000 2,072,500.00 -2,072,500.00 0.00
04/01/2033 DD 04/01 /03 4/15/2004
SEC ID: 01F060642 2/18/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202 : LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6.000% 2/18/2004 103.6094 500,000.000 518,046.87 -518,046.87 0.00
04/01/2033 DD 04/01 /03 4/15/2004 SEC ID: 01F060642 2/18/2004 BROKER: CHASE/GREENWICH CAP, NEW
YORK
OCSF07522202: LONG TERM OPER -PIMCO
B CITIGROUP INC SR GLOBAL NT FLTG RT 2/13/2004 100.0170 2,700,000.000 2,700,459.00 -2,700,459.00 0.00
03/09/2004 DD 03/09/01 2/17/2004 SEC ID: l 72967BEO 2/13/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07511102: LIQUID OPER-PIMCO
IB CITIGROUP INC SR GLOBAL NT FLTG RT 2/13/2004 100.0170 0.000 0.00 -797.25 0.00
03/09/2004 DD 03/09 /01 2/17/2004
SEC ID: 172967BEO 2/13/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 10 Workbench
Transaction Detail . .
@ ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
ocs D.CONSOLI DA TEDrnJf2 !7 00 oonnno•• 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
B USTREASURYNOTES 1.875%01/31/2006DD 2/11/2004 100.3516 50,000,000.000 50,175,781.25 -50, 175,781.25 0.00
01/ 31/03 2/12/2004 SEC ID: 912828BX7 2/11/2004 BROKER: MERRll,L LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IB US TREASURY NOTES 1.875%01/31/2006DD 2/11/2004 100.3516 0.000 0.00 -30,906.59 0.00
01/31/03 2/12/2004 SEC to: 9 12828BX7 2/11/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
B US TREASURY NOTES 1.875%01/31/2006 DD 2/11/2004 100.3516 31,000,000.000 31,108,984.38 -31,108,984.38 0.00
01 / 31/03 2/12/2004 SEC ID: 9 12828a)(7 2/11/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IB US TREASURY NOTES 1.875% 01/31/2006 DD 2/11/2004 100.3516 0.000 0.00 -19,162.09 0.00
01/ 31/03 2/12/2004 SEC JD: 912828BX7 2/11/2004 BROKER: MERRIL!, t,YNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: 93,500,000.000 94,100,818.37 -94, 151,684.30 0.00
TOTAL FIXED INCOME SECURITIES BASE: 93,500,000.000 94,100,818.37 -94, 151,684.30 0.00
TOTAL PURCHASES BASE: 527,659,840.740 528,005,840.57 -528,056,706.50 0.00
SALES
CASH & CASH EQUIVALENTS
U.S. DOLLAR
s EUROPEAN INVEST DISC 03/15/2004 2/12/2004 99.7321 -900,000.000 -897,588.50 897,588.50 0.00
SEC ID: 29878RCF3 2/12/2004
BROKER: LEHMAN GOVT SECS INC, NY 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 11 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDO!lill2 0 00 00000000 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Coat Amount Net Galli/Loss
Type Description Reported Date Base Shares/Par Base Base Base
IS EUROPEAN INVEST DISC 03/15/2004 2/12/2004 99.7321 0.000 0.00 1,603.50 0.00
SEC ID: 29878RCF3 2/12/2004 BROKER: LEHMAN GOVT SECS INC, NY 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL HOME LN BK CONS DISC N MAT 2/12/2004 99.7510 -11,800,000.000 -11,770,622.63 11,770,622.63 0.00
04/14/2004 2/12/2004 SEC ID: 313384VP1 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INCNY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL HOME LN BK CONS DISC N MAT 2/12/2004 99.7510 0.000 0.00 9,258.37 0.00
04/14/2004 2/12/2004 SEC ID: 313384VP1 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL HOME LN BK CONS DISC N MAT 2/12/2004 99.7460 -900,000.000 -897,713.63 897,713.63 0.00
04/28/2004 2/12/2004 SEC ID: 313384WD7 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL HOME LN BK CONS DISC N MAT 2/12/2004 99.7460 0.000 0.00 671.37 0.00
04/28/2004 2/12/2004 SEC ID: 313384WD7 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.5807 -2, 100,000.000 -2,091,194.00 2,091,194.00 0.00
03/22/2004 2/12/2004
SEC ID: 313396UQ4 2/12/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
1S FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.5807 0.000 0.00 6,622.00 0.00
03/22/2004 2/12/2004 SEC ID: 313396UQ4 2/12/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 12 Workbench
@ Transaction Detail Report ID: EWB009·• .
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE Dom::l2 • •• •••••••• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gabi/Loss
Type Description Reported Date Base Shares/Par Base Base Baae
s FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7528 -10,000,000.000 -9,975,277.78 9,975,277.78 0.00
04/13/2004 2/12/2004 SEC ID: 313396VNO 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7528 0.000 0.00 7,947.22 0.00
04/13/2004 2/12/2004 SEC ID: 313396VNO 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7472 -1, 700,000.000 -1,695,702.78 1,695,702.78 0.00
04/20/2004 2/12/2004 SEC ID: 313396W2 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7472 0.000 0.00 1,118.22 0.00
04/20/2004 2/12/2004 SEC ID: 313396W2 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7478 -1,200,000.000 -1,196,974.00 1,196,974.00 0.00
04/27/2004 2/12/2004 SEC ID: 313396WC3 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
rs FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7478 0.000 0.00 578.50 0.00
04/27/2004 2/12/2004 SEC ID: 313396WC3 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7381 -4,700,000.000 -4,687,688.61 4,687,688.61 0.00
5/5/2004 2/12/2004
SEC ID: 313396WK5 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 13 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE DJilill2 0 OD •DODD••• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
IS FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7381 0.000 0.00 1,584.42 0.00
5/5/2004 2/12/2004 SEC ID: 313396WK5 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202 : LONG TERM OPER-PIMCO
s FEDERAL NATL MTG ASSN DISC NT 2/12/2004 99.7148 -2,400,000.000 -2,393,155.61 2,393,155.61 0.00
SEC ID: 313588TF2 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY 2/12/2004
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISC NT 2/12/2004 99.7148 0.000 0.00 6,487.19 0.00
SEC ID: 313588TF2 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER 2/12/2004 SMITH INC NY
OCSF07522202 : LONG TERM OPER-PIMCO
s FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.5530 -3,800,000.000 -3,783,014.00 3,783,014.00 0.00
02/19/2004 2/12/2004
SEC ID: 313588TGO 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.5530 0.000 0.00 16,326.17 0.00
02/19/2004 2/12/2004 SEC ID: 313588TGO 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7450 -8,400,000.000 -8,378,580.00 8,378,580.00 0.00
02/25/2004 2/12/2004 SEC ID: 313588TN5 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7450 0.000 0.00 18,626.30 0.00
02/25/2004 2/12/2004
SEC ID: 313588TN5 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONGTERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 14 Workbench
@ Transaction Detail ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE DJDII2 D DD ••D•IJD•• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
s FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7270 -400,000.000 -398,908.00 398,908.00 0.00
03/03/2004 2/12/2004 SEC ID: 313588TV7 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7270 0.000 0.00 914.22 0.00
03/03/2004 2/12/2004 SEC ID: 313588TV7 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7350 -1,000,000.000 -997 ,350.00 997,350.00 0.00
03/10/2004 2/12/2004 SEC ID: 313588UC7 2/12/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7350 0.000 0.00 1,937.50 0.00
03/10/2004 2/12/2004 SEC ID: 313588UC7 2/12/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL NATL MTG ASSN DISC 2/12/2004 99.7346 -1, 100,000.000 -1,097,080.42 1,097,080.42 0.00
SEC ID: 313588UK9 2/12/2004 BROKER: GOLDMAN SACHS & CO, NY 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISC 2/12/2004 99.7346 0.000 0.00 1,922.25 0.00
SEC ID: 313588UK9 2/12/2004 BROKER: GOLDMAN SACHS & CO, NY 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7422 -400,000.000 -398,968.67 398,968.67 0.00
05/05/2004 2/12/2004 SEC ID: 313588WL5 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7422 0.000 0.00 107.26 0.00
05/05/2004 2/12/2004
SEC ID: 313588WL5 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 15 Workbench
@ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DOlilli2 0 OD DDODOODO 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Coat Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
s GENERAL ELEC CAP DISC 04/07/2004 2/12/2004 99.6331 -1 ,800,000.000 -1 ,793,395.50 1,793,395.50 0.00
SEC ID: 36959HD79 2/12/2004 BROKER: LEHMAN GOVT SECS INC, NY 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
IS GENERAL ELEC CAP DISC 04/07/2004 2/12/2004 99.6331 0.000 0.00 3,758.25 0.00
SEC ID: 36959HD79 2/12/2004 BROKER: LEHMAN GOVT SECS INC, NY 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
s US TREASURY BILL DUE 02/12/2004 DD 2/10/2004 99.5160 -1,200,000.000 -1,194,191.67 1,194,191.67 0.00
08/14/2003 2/11/2004 SEC ID: 912795PK1
BROKER: JPMORGAN CHASE BK/HSBC!, NEW 2 /10/2004
YORK
OCSF07511102 : LIQUID OPER-PIMCO
IS U S TREAS URY BILL DUE 02/12/2004 DD 2/10/2004 99.5160 0.000 0.00 5,785.00 0.00
08/14/2003 2/11/2004 SEC ID: 91279 5PK1
BROKER: JP MORGAN CHASE BK/HSBC!, NEW 2/10/2004
YORK
OCSF07511102: LIQUID OPER-PIMCO
s US TREASURY BILL 0.000% 03/11/2004 DD 2/10/2004 99.7575 -9,200,000.000 -9,177,690.00 9,177,690.00 0.00
09/ 11/03 2/11/2004 SEC ID: 912795PPO
BROKER: JP MORGAN CHASE BK/HSBC!, NEW 2/ l0/2oo4
YORK
OCSF07511102: LIQUID OPER-PIMCO
IS US TREASURY BILL 0 .000% 03/11/2004 DD 2/10/2004 99.7575 0.000 0.00 15,788.22 0.00
09/ 11/03 2/11/2004 SEC ID: 912795PPO
BROKER: JP MORGAN CHASE BK/HSBC!, NEW 2/ l0/2004
YORK
OCSF07511102 : LIQUID OPER-PIMCO
s US TREASURY BILL 0.000% 03/18/2004 DD 2/10/2004 99.7853 -6,500,000.000 -6,486,041.25 6,486,041.25 0.00
09/ 18/03 2/11/2004
SEC ID: 912795PQ8 2/10/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 16 Workbench
Transaction Detail Report ID: EWB009 . . @ Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDrnI2 D DD D••DD'.J[.10 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
IS US TREASURY BILL 0.000% 03/18/2004 DD 2/10/2004 99.7853 0.000 0.00 8,758.75 0.00
09/18/03 2/11/2004 SEC ID: 91279 5PQ8 2/10/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102: LIQUID OPER-PIMCO
s UNITED STATES TREASURY BILL DUE 2/12/2004 99.4870 -17,000,000.000 -16,912,790.02 16,912,790.02 0.00
04/22/2004 DD 10/23 /03 2/12/2004 SEC ID: 912795PV7 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
I S UNITED STATES TREASURY BILL DUE 2/12/2004 99.4870 0.000 0.00 58,980.54 0.00
04/22/2004 DD 10/23 /03 2/12/2004 SEC ID: 912795PV7 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
s US TREASURY BILL 0.000% 04/29/2004 DD 2/12/2004 99.4843 -3,800,000.000 -3,780,404.67 3,780,404.67 0.00
10/30/03 2/12/2004 SEC ID: 912795PW5 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS US TREASURY BILL 0.000% 04/29/2004 DD 2/12/2004 99.4843 0.000 0.00 12,434.76 0.00
10/ 30/03 2/12/2004 SEC ID: 912795PW5 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
s US TREASURY BILL 0.000% 04/29/2004 DD 2/13/2004 99.4843 -200,000.000 -198,968.67 198,968.67 0.00
10/30/03 2/13/2004 SEC ID: 912795PW5 2/13/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IS US TREASURY BILL 0.000% 04/29/2004 DD 2/13/2004 99.4843 0.000 0.00 659.77 0.00
10/30/03 2/13/2004
SEC ID: 912795PWS 2/13/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:05AM PST 17 Workbench
® Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE DOlllli:2 0 00 00000000 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
s US TREASURY BILL 0.000% 05/27/2004 DD 2/10/2004 99.4906 -6,200,000.000 -6, 168,416.07 6,168,416.07 0.00
11/28/03 2/11/2004 SEC ID: 912795QA2 2/10/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102: LIQUID OPER-PIMCO
IS US TREASURY BILL 0.000% 05/27/2004 DD 2/10/2004 99.4906 0.000 0.00 15,519.04 0.00
11/28/03 2/11/2004 SEC ID: 912795QA2 2/10/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102: LIQUID OPER-PIMCO
s FIRST BOSTON CORP REPO 00.970% 2/2/2004 100.0000 -9,500,000.000 -9,500,000.00 9,500,000.00 0.00
02/02/2004 DD 01/30/04 2/2/2004 SEC ID: 994 lSTl 15 2/2/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS FIRST BOSTON CORP REPO 00.970% 2/2/2004 100.0000 0.000 0.00 767.92 0.00
02/02/2004 DD 01/30/04 2/2/2004 SEC ID: 99415Tl 15 2/2/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP,NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.990% 02/03/2004 2/3/2004 100.0000 -15,400,000.000 -15,400,000.00 15,400,000.00 0.00
DD 02/02/04 2/3/2004
SEC ID: 99415U617 2/3/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.990% 02/03/2004 2/3/2004 100.0000 0.000 0.00 423.50 0.00
DD 02/02/0 4. 2/3/2004
SEC ID: 99415U617 2/3/2004 BROKER; CRE DIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.950% 02/04/2004 2/4/2004 100.0000 -15,400,000.000 -15,400,000.00 15,400,000.00 0.00
DD 02/03/04 2/4/2004 SEC ID: 99415W209 2/4/2004 BROKER: CREDJ'r SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 18 Workbench
Transaction Detail . @ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDmI2nnnmnmnm 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Coat Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
IS CREDIT SUISSE FB REPO 00.950% 02/04/2004 2/4/2004 100.0000 0.000 0.00 406.39 0.00
DD 02/03/04 2/4/2004 SEC ID: 99415W209 2/4/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.920% 02/05/2004 2/5/2004 100.0000 -15,600,000.000 -15,600,000.00 15,600,000.00 0.00
DD 02/04/04 2/5/2004 SEC ID: 99415X439 2/5/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.920% 02/05/2004 2/5/2004 100.0000 0.000 0.00 398.67 0.00
DD 02/04/04 2/5/2004 SEC ID: 99415X439 2/5/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.960% 02/06/2004 2/6/2004 100.0000 -16,600,000.000 -16,600,000.00 16,600,000.00 0.00
DD 02/05/04 2/6/2004 SEC ID: 99415Y965 2/6/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.960%02/06/2004 2/6/2004 100.0000 0 .000 0.00 442.67 0.00
DD 02/05/04 2/6/2004 SEC ID: 99415Y965 2/6/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.960% 02/09/2004 2/9/2004 100.0000 -16,600,000.000 -16,600,000.00 16,600,000.00 0.00
DD 02/06/04 2/9/2004 SEC ID: 99415Z301 2/9/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 19 Workbench
@ Transaction Detail ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE DOllIJI2 D DD •••••••• 2/2/2004 -2/27/2004 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 00.960%02/09/2004 2/9/2004 100.0000 0.000 0.00 1,328.00 0.00
DD 02/06/04 2/9/2004 SEC ID: 994152301 2/9/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.970%02/11/2004 2/11/2004 100.0000 -17,200,000.000 -17,200,000.00 17,200,000.00 0.00
DD 02'/ 10/04 2/11/2004 SEC ID: 994 16C053 2/11/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.970% 02/11/2004 2/11/2004 100.0000 0.000 0.00 463.44 0.00
DD 02/10/04 2/11/2004 Sii:C ID: 99416C053 2/11/2004 BROKER; CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.950% 02/12/2004 2/12/2004 100.0000 -17,200,000.000 -17,200,000.00 17,200,000.00 0.00
DD 02 / 11/04· 2/12/2004 SEC ID: 99416E042 2/12/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF0751 l 102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.950% 02/12/2004 2/12/2004 100.0000 0.000 0.00 453.89 0.00
DD 02/11/04 2/12/2004 SEC ID: 99416E042 2/12/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 01.000% 02/13/2004 2/13/2004 100.0000 -17,300,000.000 -17,300,000.00 17,300,000.00 0.00
DD 02/12/04 2/13/2004 SEC ID: 994160195 2/13/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO O 1.000% 02/13/2004 2/13/2004 100.0000 0.000 0.00 480.56 0.00
DD 02/12/04 2/13/2004 SEC ID: 994i6G195 2/13/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP,NY
OCSF0751 l 102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 20 Workbench
-
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
ocs D-CONSOLI DATE orn:rn O 00 •oorno•• 2/2/2004 -2/27/2004 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 00.980% 02/17/2004 2/17/2004 100.0000 -15,000,000.000 -15,000,000.00 15,000,000.00 0.00
DD 02/13/04 2/17/2004 SEC ID: 994168482 2/17/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.980% 02/17/2004 2/17/2004 100.0000 0.000 0.00 1,633.33 0.00
DD 02/13/04 2/17/2004 SEC ID: 994168482 2/17/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO Ol.010%02/18/2004 2/18/2004 100.0000 -12,400,000.000 -12,400,000.00 12,400,000.00 0.00
DD 02/17/04 2/18/2004 SEC ID: 994168938 2/18/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO Ol.010%02/18/2004 2/18/2004 100.0000 -23,400,000.000 -23,400,000.00 23,400,000.00 0.00
DD02/17/04 2/18/2004
SEC ID: 994168938 2/18/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS CREDIT SUISSE FB REPO O 1.010% 02/18/2004 2/18/2004 100.0000 0.000 0.00 656.50 0.00
DD02/17/04 2/18/2004 SEC ID: 994168938 2/18/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS CREDIT SUISSE FB REPO O 1.010% 02/18/2004 2/18/2004 100.0000 0.000 0.00 347.89 0.00
DD 02/17/04 2/18/2004
SEC ID: 994168938 2/18/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 21 Workbench
@ Transaction Detail Report ID: EWBOO9
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONS OLIDATE DJ[][]]2 0 OD ••••mm• 2/2/2004 -2/27/2004 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 00.990% 02/19/2004 2/19/2004 100.0000 -23,400,000.000 -23,400,000.00 23,400,000.00 0.00
DO 02/18/04 2/19/2004 SEC ID: 99416K527 2/19/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.990% 02/19/2004 2/19/2004 100.0000 0.000 0.00 643.50 0.00
DD 02/ 18/04 2/19/2004 SEC ID: 99416K527 2/19/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
s CREDIT SUISSE FB REPO 00.950% 02/19/2004 2/19/2004 100.0000 -9,200,000.000 -9,200,000.00 9,200,000.00 0.00
DD 02/ 18/04 2/19/2004 SEC ID: 994161327 2/19/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF0751 l 102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.950%02/19/2004 2/19/2004 100.0000 0.000 0.00 242.78 0.00
DD 02/ 18/04 2/19/2004 SEC ID: 994161327 2/19/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s LEHMAN CAT 2 REPO 00.900% 02/19/2004 DD 2/19/2004 100.0000 -9,000,000.000 -9,000,000.00 9,000,000.00 0.00
02/ 18/04 2/19/2004 SEC ID: 99416.1.707 2/19/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
IS LEHMAN CAT 2 REPO 00.900% 02/19/2004 DD 2/19/2004 100.0000 0.000 0.00 225.00 0.00
02/18/04 2/19/2004
SEC ID: 994161707 2/19/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
s LEHMAN CAT 2 REPO 00.950% 02/20/2004 DD 2/20/2004 100.0000 -5,000,000.000 -5,000,000.00 5,000,000.00 0.00
02/ 19/04 2/20/2004 SEC ID: 99416M762 2/20/2004 BROKER; LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 22 Workbench
Transaction Detail ,
® Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCS D-CONSOLIDATE DJDI][2 DOD OODD•u•• 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gabi/Loss
Type Description Reported Date Base Shares/Par Base Base Base
IS LEHMAN CAT 2 REPO 00.950% 02/20/2004 DD 2/20/2004 100.0000 0.000 0.00 131.94 0.00
02/19/04 2/20/2004 SEC ID: 99416M762 2/20/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.960% 02/20/2004 2/20/2004 100.0000 -4, 100,000.000 -4,100,000.00 4,100,000.00 0.00
DD 02/19/04 2/20/2004 SEC ID: 99416M994 2/20/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP,NY
OCSF07522202: LONG TERM OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.960% 02/20/2004 2/20/2004 100.0000 0.000 0.00 109.33 0.00
DD 02/19/04 2/20/2004 SEC ID: 99416M994 2/20/2004 13:ROKER: CREDLT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
s CREDIT SUISSE FB REPO 00.950% 02/23/2004 2/23/2004 100.0000 -13,400,000.000 -13,400,000.00 13,400,000.00 0.00
DD 02/20/04 2/23/2004 SEC ID: 99416P344 2/23/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.950% 02/23/2004 2/23/2004 100.0000 0.000 0.00 1,060.83 0.00
DD 02/20/04 2/23/2004
SEC ID: 99416P344 2/23/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.970% 02/24/2004 2/24/2004 100.0000 -13,400,000.000 -13,400,000.00 13,400,000.00 0.00
DD 02/23/04 2/24/2004 SEC ID: 99416Q896 2/24/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.970% 02/24/2004 2/24/2004 100.0000 0.000 0.00 361.06 0.00
DD 02/23/04 2/24/2004 SEC ID: 99416Q896 2/24/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 23 Workbench
@ Transaction Detail ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DOiJIE2 O 00 000•0'.""Jll• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
s LERMAN CAT2 REPO 00.950%02/25/2004 DD 2/25/2004 100.0000 -11,900,000.000 -11,900,000.00 11,900,000.00 0.00
02/24/04 2/25/2004 SEC ID: 99416Sl 99 2/25/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
IS LEHM AN CAT2 REPO 00.950% 02/25/2004 DD 2/25/2004 100.0000 0.000 0.00 314.03 0.00
02/24/04 2/25/2004 SEC ID: 99416S199 2/25/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.950% 02/26/2004 2/26/2004 100.0000 -11,200,000.000 -11,200,000.00 11,200,000.00 0.00
DD 02/25/04 2/26/2004 SEC ID: 99416T858 2/26/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.950% 02/26/2004 2/26/2004 100.0000 0.000 0.00 295.56 0.00
DD 02/25/04 2/26/2004 SEC ID: 99416T858 2/26/2004 BROKER: CRE DIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s LEHMAN CAT 2 REPO 00.950% 02/26/2004 DD 2/26/2004 100.0000 -300,000.000 -300,000.00 300,000.00 0.00
02/25/04 2/26/2004 SEC ID: 9941 60079 2/26/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
IS LEHMAN CAT 2 REPO 00.950% 02/26/2004 DD 2/26/2004 100.0000 0.000 0.00 7.92 0.00
02/25/04 2/26/2004
SEC ID: 99416 U079 2/26/2004 BROKER: Lll:HMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
s LEHMAN CAT 2 REPO 00.990% 02/27/2004 DD 2/27/2004 100.0000 -12,300,000.000 -12,300,000.00 12,300,000.00 0.00
02/26/04 2/27/2004
SEC ID: 99416V721 2/27/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 24 Workbench
Transaction Detail . .
® Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD--CONSOLI DATE Dcm2 •••••••mm• 2/2/2004 -2/27/2004 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 00.990% 02/27/2004 DD 2/27/2004 100.0000 0.000 0.00 338.25 0.00
0_2/ 2fj/04 2/27/2004 SEC ID: 99416V721 2/27/2004 BROKEa: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
s DREYFUS TREASURY CASH MGMT 2/2/2004 1.0000 -29,138.320 -29,138.32 29,138.32 0.00
SEC ID: 996085247 2/2/2004 OCSF07511102: LIQUID OPER-PIMCO 2/2/2004
s DREYFUS TREASURY CASH MGMT 2/10/2004 1.0000 -17,200,000.000 -17,200,000.00 17,200,000.00 0.00
SEC ID: 996085247 2/10/2004 OCSF07511102: LIQUID OPER-PIMCO 2/10/2004
s DREYFUS TREASURY CASH MGMT 2/12/2004 1.0000 -99,546.110 -99,546.11 99,546.11 0.00
SEC ID: 996085247 2/12/2004 OCSF07511102: LIQUID OPER-PIMCO 2/12/2004
s DREYFUS TREASURY CASH MGMT 2/12/2004 1.0000 -230,841.870 -230,841.87 230,841.87 0.00
SEC ID: 996085247 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/12/2004
s DREYFUS TREASURY CASH MGMT 2/17/2004 1.0000 -14,993,193.750 -14,993,193.75 14,993,193.75 0.00
SEC ID: 996085247 2/17/2004 OCSF07511102: LIQUID OPER-PIMCO 2/17/2004
s DREYFUS TREASURY CASH MGMT 2/19/2004 1.0000 -2,041,063.140 -2,041,063.14 2,041,063.14 0.00
SEC ID: 996085247 2/19/2004 OCSF07522202: LONGTERM OPER-PIMCO 2/19/2004
s DREYFUS TREASURY CASH MGMT 2/20/2004 1.0000 -8,398,817.500 -8,398,817.50 8,398,817.50 0.00
SEC ID: 996085247 2/20/2004
OCSF07511102: LIQUID OPER-PIMCO 2/20/2004
s DREYFUS TREASURY CASH MGMT 2/26/2004 1.0000 -786,029.850 -786,029.85 786,029.85 0.00
SEC ID: 996085247 2/26/2004 OCSF07511102: LIQUID OPER-PIMCO 2/26/2004
s DREYFUS TREASURY CASH MGMT 2/27/2004 1.0000 -3,815.400 -3,815.40 3,815.40 0.00
SEC ID: 996085247 2/27/2004 OCSF07511102: LIQUID OPER-PIMCO 2/27/2004
3/8/2004 9:09:0SAM PST 25 Workbench
@ Transaction Detail ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCS D-CONS OLI DATE DJIJIJI:2 0 0 0 •DOD•••• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Losa
Type Description Reported Date Base Shares/Par Base Base Base
s BSDT-LATE MONEY DEPOSIT ACCT 2/2/2004 1.0000 -1,000.000 -1,000.00 1,000.00 0.00
SEC ID: 996087094 2/2/2004 OCSF07511102: LIQUID OPER-PIMCO 2/2/2004
TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: -445,283,445. 940 -444,955, 162.42 445,164,084.20 0.00
TOTAL CASH & CASH EQUIVALENTS BASE: -445,283,445. 940 -444,955, 162.42 445,164,084.20 0.00
FIXED INCOME SECURITIES
U.S. DOLLAR
s COMMIT TO PUR FNMA SF MTG 6.000% 2/3/2004 103.8867 -1,000,000.000 -1,032 ,565.11 1,038,867.18 6,302.07
02/01/2034 DD 02/01 /04 2/12/2004 SEC ID: 01F060626 2/3/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202 : LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6.000% 2/3/2004 103.8867 -500,000.000 -516,282.55 519,433.59 3,151.04
02/01/2034 DD 02/01 /04 2/12/2004
SEC ID: 01F060626 2/3/2004 BROKER: BEAR STEARNS & CO INC, NY
OCSF07522202 : LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6.000% 2/3/2004 103.8867 -1,000,000.000 -1,032,565.10 1,038,867.18 6,302.08
02/01/2034 DD 02/01 /04 2/12/2004 SEC ID: 01F060626 2/3/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202 : LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6.000% 2/6/2004 104.0625 -500,000.000 -516,282.55 520,312.50 4,029.95
02/01/2034 DD 02/01 /04 2/12/2004 SEC ID: 01F060626 2/6/2004 BROKER: CHASE/GREENWICH CAP, NEW
YORK
OCSF07522202: LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6.000% 2/18/2004 103.9727 -500,000.000 -517,880.86 519,863.28 1,982.42
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/18/2004 BROKER: BEAR STEARNS & CO INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 26 Workbench
Transaction Detail . . @ ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATED["Qlr!fl?'.l7nnnnnnn nn 2/2/2004 -2/27/2004 Status: FINAL
Trade Dab,
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% 2/18/2004 103.9688 -1,000,000.000 -1,035,761.72 1,039,687.50 3,925.78
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/18/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202 : LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6 .000% 2/18/2004 103.9688 -1,000,000.000 -1,035,761.72 1,039,687.50 3,925.78
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/18/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6 .000% 2/18/2004 103.9531 -500,000.000 -517,880.86 519,765.62 1,884.76
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/18/2004 BROKER: CHASE/GREENWICH CAP, NEW
YORK
OCSF07522202: LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6 .000% 2/27/2004 104.1797 -1,000,000.000 -1,035,761.71 1,041,796.87 6,035.16
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/27/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07522202: LONGTERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6 .000% 2/27/2004 103.8359 -3,000,000.000 -3,108,671.87 3,115,078.12 6,406.25
04/01/2034 DD 04/01 /04 4/15/2004 SEC ID: 01F060642 2/27/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07522202: LONG TERM OPER-PIMCO
s CITIGROUP INC GLOBAL SUB NT 5.625% 2/11/2004 107.5710 -5,000,000.000 -5,333,600.00 5,378,550.00 44,950.00
08/ 27/2012 DD 08/26 /02 2/17/2004 SEC ID: 172967BP5 2/11/2004 BROKER: CHASE SECURITIES, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS CITIGROUP INC GLOBAL SUB NT 5.625% 2/11/2004 107.5710 0.000 0.00 132,812.50 0.00
08/ 27/2012 DD 08/26 /02 2/17/2004 SEC ID: 1 72967BP5 2/11/2004 BROKER: CHASE SECURITIES, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 27 Workbench
@ Transaction Detail ReportlD: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE Dmr~o DD ••::JD•••• 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Coat Amount Net Galn/Loaa
Type Description Reported Date Base Shares/Par Bue Base Base
s FHLMC MULTICLASS CTF SER 1620Z 6.000% 2/26/2004 105.7500 -3,062,496.490 -2,906,356.55 3,238,590.04 332,233.49
11/15/2023 DD 11/01 /93 3/2/2004 SEC ID: 3133Tl7A4 2/26/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONGTERM OPER-PIMCO
IS FHLMC MULTICLASS CTF SER 16202 6.000% 2/26/2004 105.7500 0.000 0.00 510.42 0.00
11/15/2023 DD 11/01 /93 3/2/2004 SEC ID: 3133Tl7A4 2/26/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
s FNMA POOL #0555285 6.000% 03/01/2033 2/6/2004 104.1602 -754, 163.430 -784,329.98 785,537.81 1,207.83
DD 02/01/03 2/12/2004 SEC ID: 31385W2S7 2/6/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FNMA POOL #0555285 6.000% 03/01/2033 2/6/2004 104.1602 0.000 0.00 1,382.63 0.00
DD 02/01/03 2/12/2004 SEC ID: 31385W2S7 2/6/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
s GENERAL ELEC CAP MTN #TR 00575 5.450% 2/11/2004 105.8900 -5,000,000.000 -5,203,500.00 5,294,500.00 91,000.00
01/15/2013DD 12/06/02 2/17/2004 SEC ID: 36962GZV3 2/11/2004 BROKER: CHASE SECURITIES, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS GENERAL ELEC CAP MTN #TR 00575 5.450% 2/11/2004 105.8900 0.000 0.00 24,222.22 0.00
01/15/2013 DD 12/06/02 2/17/2004 SEC ID: 36962GZV3 2/11/2004 BROKER: CHASE SECURITIES, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
s HOUSEHOLD FIN CORP NT 6.375% 2/11/2004 112.2500 -1,635,000.000 -1,772,820.00 1,835,287.50 62,467.50
10/15/2011 DD 10/23/01 2/17/2004
SEC ID: 441812JW5 2/11/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS HOUSEHOLD FIN CORP NT 6.375% 2/11/2004 112.2500 0.000 0.00 35,322.81 0.00
10/15/2011 DD 10/23/01 2/17/2004
SEC ID: 441812JW5 2/11/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 28 Workbench
@ Transaction Detail Report ID: EWB009 .
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE m:m.2 0 JO 00000000 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price . cost Amount Net Gain/Loss
Type Description Reported J:>ate Base Shares/Par Base Base Base
s JP MORGAN CHASE & CO SUB NT 5.750% 2/11/2004 107.6700 -3,000,000.000 -3,127,260.00 3,230,100.00 102,840.00
01/02/2013 DD 11/25 /02 2/17/2004 SEC ID: 46625HAT7 2/11/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS JP MORGAN CHASE & CO SUB NT 5.750% 2/11/2004 107.6700 0.000 0.00 21,562.50 0.00
01/02/2013 DD 11/25 /02 2/17/2004 SEC ID: 46625HAT7 2/11/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
s NATIONAL RURAL UTILS COOP FIN 7.250% 2/11/2004 118.4720 -3,000,000.000 -3,465,480.00 3,554,160.00 88,680.00
03/01/2012 DD 03/07 /02 2/17/2004 SEC ID: 637432CU7 2/11/2004 BROKER: BEAR STEARNS & CO INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS NATIONAL RURAL UTILS COOP FIN 7.250% 2/11/2004 118.4720 0.000 0.00 100,291.67 0.00
03/01/2012 DD 03/07 /02 2/17/2004 SEC ID: 637432CU7 2/11/2004 BROKER: BEAR STEARNS & CO INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
s VERIZON GLOBAL FOG CORP GLOBAL 7 .375% 2/11/2004 117.3500 -3,000,000.000 -3,530,490.00 3,520,500.00 -9,990.00
09/01/2012 DD 08/26/02 2/17/2004 SEC ID: 92344GA'I'3 2/11/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS VERIZON GLOBAL FOG CORP GLOBAL 7 .375% 2/11/2004 117.3500 0.000 0.00 102,020.83 0.00
09/01/2012 DD 08/26 /02 2/17/2004 SEC ID: 923440AT3 2/11/2004 BROKER GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: -34,451,659.920 -36,473,250.58 37,648,710.27 757,334.11
TOTAL FIXED INCOME SECURITIES BASE: -34,451,659.920 -36,473,250.58 37,648,710.27 757,334.11
TOTAL SALES BASE: -479,735,105.860 -481,428,413.00 482,812,794.47 757,334.11
PRINCIPAL PAYMENTS
FIXED INCOME SECURITIES
U.S. DOLLAR
3/8/2004 9:09:0SAM PST 29 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE Dillffi2 0 OD 00000000 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gahl/Loss
Type Description Reported Date Base Shares/Par Base Base Base
PD GNMA GTD REMIC TR 2000-9 FH VAR RT 2/16/2004 100.0000 -18,654.660 -18,654.66 18,654.66 0.00
02/16/2030 2/16/2004 SEC ID: 3837H4NX9
OCSF07522202: LONG TERM OPER-PIMCO 2/16/2004
PD RESIDENTJAL ASSET 03-RSll AllB VAR RT 2/25/2004 100.0000 -13,462.950 -13,462.95 13,462.95 0.00
12/25/2033 DD 12/30/03 2/25/2004 SEC ID: 76098 5K83 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: -32,117.610 -32,117.61 32,117.61 0.00
TOTAL FIXED INCOME SECURITIES BASE: -32,117.610 -32,117.61 32,117.61 0.00
TOTAL PRINCIPAL PAYMENTS BASE: -32,117.610 -32,117.61 32,117.61 0.00
MATURITIES
CASH & CASH EQUIVALENTS
U.S. DOLLAR
MT FEDERAL HOME LN BK CONS DISC N MAT 2/4/2004 100.0000 -5,200,000.000 -5,193,143.22 5,193,143.22 0.00
02/04/2004 2/4/2004 SEC ID: 313384SR1 2/4/2004 OCSF0751 l 102 : LIQUID OPER-PIMCO
MT FEDERAL HOME LN BK CONS DISC BOND 2/5/2004 100.0000 -1,000,000.000 -996,879.16 996,879.16 0.00
MATURITY 2/5/2004 SEC ID: 313384SS9 2/5/2004 OCSF07511102: LIQUID OPER-PIMCO
MT FEDERAL HOME LN BK CONS DISC MAT 2/9/2004 100.0000 -600,000.000 -597,681.67 600,000.00 2,318.33
02/09/2004 2/9/2004 SEC ID: 313384SWO 2/9/2004 OCSF07511102: LIQUID OPER-PIMCO
MT FEDERAL HOME LN BK CONS DISC MAT 2/25/2004 100.0000 -2,000,000.000 -1,994,641.11 1,994,641.11 0.00
02/25/2004 2/25/2004
SEC ID: 313384TN9 2/25/2004 OCSF07511102 : LIQUID OPER-PIMCO
MT FEDERAL HOME LN MTG CORP DISC MAT 2/2/2004 100.0000 -4,700,000.000 -4,684,085.28 4,684,085.28 0.00
02/02/2004 2/2/2004
SEC ID: 313396SP9 2/2/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 30 Workbench .
@ Transaction Detail ReportlD: EWB009 . .
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDODII2 0 00 00000000 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
MT FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 100.0000 -2,500,000.000 -2,493,100.00 2,493,100.00 0.00
02/12/2004 2/12/2004 SEC ID: 313396SZ7 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
MT FEDERAL HOME LN MTG CORP DISC MAT 2/26/2004 100.0000 -6,000,000.000 -5,985,610.83 5,985,610.83 0.00
02/26/2004 2/26/2004 SEC ID: 313396TP8 2/26/2004 OCSF07511102: LIQUID OPER-PIMCO
MT FEDERAL NATL MTG ASSN DISC NT MAT 2/2/2004 100.0000 -5,200,000.000 -5,193,305.00 5,193,305.00 0.00
02/02/2004 2/2/2004 SEC ID: 313588SP1 2/2/2004 OCSF07511102: LIQUID OPER-PIMCO
MT FEDERAL NATL MTG ASSN DISCOUNT MAT 2/4/2004 100.0000 -400,000.000 -399,600.00 399,600.00 0.00
02/04/2004 2/4/2004 SEC ID: 313588SR7 2/4/2004 OCSF07522202: LONG TERM OPER-PIMCO
MT FEDERAL NATL MTG ASSN DISC NT BOND 2/18/2004 100.0000 -6,000,000.000 -5,986,918.61 5,986,918.61 0.00
MATURITY 2/18/2004 SEC ID: 313588TF2 2/18/2004 OCSF07511102: LIQUID OPER-PIMCO
MT GENERAL ELEC CAP DISC 02/24/2004 2/24/2004 100.0000 -2,500,000.000 -2,497,545.14 2,497,545.14 0.00
SEC ID: 36959HBQ9 2/24/2004 OCSF07511102: LIQUID OPER-PIMCO 2/24/2004
MT US TREASURY BILL DUE 02/12/2004 DD 2/12/2004 100.0000 -4,500,000.000 -4,478,218.75 4,478,218.75 0.00
08/ H/2003 2/12/2004
SEC ID: 912795PK1 2/12/2004 ,OCSF07522202: LONG TERM OPER-PIMCO
TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: -40,600,000.000 -40,500,728.77 40,503,047.10 2,318.33
TOTAL CASH & CASH EQUIVALENTS BASE: -40,600,000.000 -40,500, 728. 77 40,503,047.10 2,318.33
FIXED INCOME SECURITIES
U.S. DOLLAR
MT FEDERAL NATL MTG ASSN DEBS 5.125% 2/13/2004 100.0000 -4,200,000.000 -4,350, 168.00 4,200,000.00 -150,16?.00
02/13/2004 DD 02/08 /99 2/13/2004 SEC ID: 31359MEM1 2/13/2004 OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 31 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCS D-CO NS OLI DATE D7Jl!]["2 7 fJO DD7fl[77fl[l 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
1 Type Description Reported Date Base Shares/Par Base Base Base
TOTAL MATURITIES BASE: -44,800,000.000 -44,850,896. 77 44,703,047.10 -147,849.67
MISCELLANEOUS ACTIVITY
FIXED INCOME SECURITIES
U.S. DOLLAR
SW REPS FRACTIONAL SHARE ADJ FHLMC 2/26/2004 -0.020 -0.02 0.00 -0.02
MULTICLASS CTF SER 16202 2/26/2004 SEC ID: 3133Tl7A4 2/26/2004 OCSF07522202: LONG TERM OPER-PIMCO
SW TO BRING ACCOUNT INTO BALANCE WITH 2/26/2004 -18,480.000 -16,303.69 0.00 -16,303.69
FACTOR 1.16329 2/27/2004 SEC ID: 9128272M3 2/26/2004 OCSF07522202 : LONG TERM OPER-PIMCO
SW TO BRING ACCOUNT INTO BALANCE US 2/26/2004 -3,900.000 -4,252.68 0.00 -4,252.68
TREASURY INFLATION INDEX NT 2/27/2004 SEC ID: 9128273T7 2/26/2004 OCSF07522202: LONG TERM OPER-PIMCO
SW TO BRING ACCOUNT INTO BALANCE US 2/26/2004 -16,640.000 -18,491.24 0.00 -18,491.24
TREASURY INFLATION INDEX NT 2/27/2004 SEC JD: 9128274Y5 2/26/2004 0GSF07522202: LONG TERM OPER-PIMCO
TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: -39,020.020 -39,047.63 o.oo -39,047.63
TOTAL FIXED INCOME SECURITIES BASE: -39,020.020 -39,047.63 0.00 -39,047.63
TOTAL MISCELLANEOUS ACTIVITY BASE: -39,020.020 -39,047.63 0.00 -39,047.63
INTEREST
CASH & CASH EQUIVALENTS
U.S. DOLLAR
IT FEDERAL HOME LN BK CONS DISC N MAT 2/4/2004 5,200,000.000 6,856.78 6,856.78 0.00
02/04/2004 2/4/2004
SEC ID: 313384SR1 2/4/2004 OCSF07511102: LIQUID OPER-PIMCO
IT FEDERAL HOME LN BK CONS DISC 2/5/2004 1,000,000.000 3,120.84 3,120.84 o.oo
SEC ID: 313384SS9 2/5/2004
OCSF07511102: LIQUID OPER-PIMCO 2/5/2004
3/8/2004 9:09:0SAM PST 32 Workbench
@ Transaction Detail ReportID: EWB009 . .
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DJDll!:2 • '.JO •••••':JD• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
IT FEDERAL HOME LN BK CONS DISC MAT 2/25/2004 2,000,000.000 5,358.89 5,358.89 0.00
02/25/2004 2/25/2004 SEC ID: 313384TN9 2/25/2004 OCSF07511102: LIQUID OPER-PIMCO
IT FEDERAL HOME LN MTG CORP DISC MAT 2/2/2004 4,700,000.000 15,914.72 15,914.72 0.00
02/02/2004 2/2/2004 SEC ID: 313396SP9 2/2/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 2,500,000.000 6,900.00 6,900.00 0.00
02/12/2004 2/12/2004 SEC ID: 313396SZ7 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FEDERAL HOME LN MTG CORP DISC MAT 2/26/2004 6,000,000.000 14,389.17 14,389.17 0.00
02/26/2004 2/26/2004 SEC ID: 313396TP8 2/26/2004 OCSF07511102: LIQUID OPER-PIMCO
IT FEDERAL NATL MTG ASSN DISC NT MAT 2/2/2004 5,200,000.000 6,695.00 6,695.00 0.00
02/02/2004 2/2/2004
SEC ID: 313588SP1 2/2/2004 OCSF07511102: LIQUID OPER-PIMCO
IT FEDERAL NATL MTG ASSN DISCOUNT MAT 2/4/2004 400,000.000 400.00 400.00 0.00
02/04/2004 2/4/2004 SEC ID: 313588SR7 2/4/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FEDERAL NATL MTG ASSN DISC NT 2/18/2004 6,000,000.000 13,081.39 13,081.39 0.00
SEC ID: 313588TF2 2/18/2004 OCSF07511102: LIQUID OPER-PIMCO 2/18/2004
IT GENERAL ELEC CAP DISC 02/24/2004 2/24/2004 2,500,000.000 2,454.86 2,454.86 0.00
SEC ID: 36959HBQ9 2/24/2004
OCSF07511102: LIQUID OPER-PIMCO 2/24/2004
IT US TREASURY BILL DUE 02/12/2004 DD 2/12/2004 4,500,000.000 21,781.25 21,781.25 0.00
08/14/2003 2/12/2004
SEC ID: 912795PK1 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
cw SHORT TERM FDS INT ADJ NET OF 2/27/2004 0.000 -4,153.65 -4,153.65 0.00
OVERNIGHT INTEREST 2/27/2004 SEC ID: 990000PJ4 2/27/2004 OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 33 Workbench
@ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCS D-CONSOLI DATE DJlillI2 D 00 00000000 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Coat Amount Net Gain/Losa
Type Description Reported Date Base Shares/Par Base Base Base
IT DREYFUS TREASURY CASH MGMT 2/4/2004 0.000 725.67 725.67 0.00
SEC ID: 996085247 2/1/2004 OCSF0751 l 102: LIQUID OPER-PIMCO 2/4/2004
IT DREYFUS TREASURY CASH MGMT 2/4/2004 0.000 325.82 325.82 0.00
SEC ID: 996085247 2/1/2004
OCSF07522202 : LONG TERM OPER-PIMCO 2/4/2004
IT BSDT-LATE MONEY DEPOSIT ACCT 2/2/2004 0.000 0.01 0.01 0.00
SEC ID: 996087094 2/1/2004 OCSF0751 1102: LIQUID OPER-PIMCO 2/2/2004
TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 40,000,000.000 93,850.75 93,850.75 0.00
TOTAL CASH & CASH EQUIVALENTS BASE: 40,000,000.000 93,850.75 93,850.75 0.00
FIXED INCOME SECURITIES
U.S. DOLLAR
IT AIG SUN AMERICA GLOBAL REGS 5.850% 2/2/2004 752,000.000 21,996.00 21,996.00 0.00
08/01/2008 DD 08/08 /01 2/1/2004 SEC ID: U00907AAO 2/2/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT BELL ATLANTIC-NEW JERSEY INC 5.875% 2/2/2004 650,000.000 19,093.75 19,093.75 0.00
02/01/2004 DD 02/01 /94 2/1/2004 SEC ID: 077858AA6 2/2/2004 OCSF07511102: LIQUID OPER-PIMCO
IT WMP/HUNTOON PAIGE #000-11150 7.500% 2/4/2004 775.500 5,916.88 5,916.88 0.00
12/01/2030 DD 10/21 /99 1/1/2004 SEC ID: 302998GE3 2/4/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FHLMC GROUP #04-0353 7.500% 10/01/2004 2/17/2004 27,864.620 492.79 492.79 0.00
DD 03/01/99 2/1/2004 SEC ID: 3128DBMA2 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FEDERAL HOME LN BK CONS BOS 7.125% 2/17/2004 7,500,000.000 267,187.50 267,187.50 0.00
02/15/2005 DD 02/08 /00 2/15/2004 SEC ID: 3133MAUN7 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 34 Workbench
Transaction Detail Report ID: EWB009 .
@ Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDJDDI:20 00 ooornorn 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
IT FHLMC MULTICLASS MTG SERE3 A VAR RT 2/2/2004 9.650 9.65 9.65 0.00
08/15/2032 DD 12/01 /97 12/1/2003 SEC ID: 3133TCE95 2/2/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FHLMCMULTICLASS MTG SERE3 A VAR RT 2/18/2004 27,629.900 3,481.66 3,481.66 0.00
08/15/2032 DD 12/01 /97 1/1/2004 SEC ID: 3133TCE95 2/18/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FHLMC MULTICLASS MTG SER E3 A VAR RT 2/18/2004 1.350 1.35 1.35 0.00
08/15/2032 DD 12/01 /97 1/1/2004 SEC ID: 3133TCE95 2/18/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FHLMC MULTICLASS CTF SER 16202 6.000% 2/17/2004 15,160.500 15,160.50 15,160.50 0.00
11/15/2023 DD 11/01 /93 2/1/2004 SEC ID: 3133T17A4 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FHLMC GROUP #78-6064 6.384% 01/01/2028 2/17/2004 194.210 230.95 230.95 0.00
DD 12/01/97 1/1/2004 SEC ID: 31348SWZ3 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FEDERAL NATL MTG ASSN DEBS 5.125% 2/13/2004 4,200,000.000 106,429.17 106,429.17 0.00
02/13/2004 DD 02/08 /99 2/13/2004 SEC ID: 31359MEM1 2/13/2004 OCSF07511102: LIQUID OPER-PIMCO
IT FEDERAL NATL MTG ASSN DEBS 7 .125% 2/17/2004 15,500,000.000 552,187.50 552,187.50 0.00
02/15/2005 DD 02/ 14 /00 2/15/2004 SEC ID: 31359MFH1 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0254510 5.000% 11/01/2017 2/25/2004 13,150.630 3,469.24 3,469.24 0.00
DD 10/01/02 2/1/2004 SEC ID: 31371 KVB4 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0254631 5.000% 02/01/2018 2/25/2004 2,415.360 735.37 735.37 0.00
DD 01/01/03 2/1/2004 SEC ID: 31371KY47 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 35 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATED[l[][]ill ••• •••••••• 2/2/2004 -2/27/2004 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#0254760 5.000%06/01/2018 2/25/2004 2,225.540 664.19 664.19 0.00
DD 05/01/03 2/1/2004 SEC ID: 31371K5V9 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0254866 5.000% 09/01/2018 2/25/2004 804.340 290.03 290.03 0.00
DD 08/01/03 2/1/2004 SEC ID: 31371LCB3 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0254953 5.000% 11/01/2018 2/25/2004 3,831.870 1,538.63 1,538.63 0 .00
DD 10/01/03 2/1/2004 SEC ID: 31371LE21 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0254987 5.000% 12/01/2018 2/25/2004 8,403.710 4,122.15 4,122.15 0.00
DD 11 /01/03 2/1/2004 SEC ID: 31371 LF46 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0323980 6.000% 04/01/2014 2/25/2004 5,533.440 1,022.48 1,022.48 0.00
DD 09/01/99 2/1/2004 SEC ID: 31374T2MO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0357328 5.000% 01/01/2018 2/25/2004 585.320 132.28 132.28 0.00
DD 01/01/03 2/1/2004 SEC ID: 31376J4M8 2/25/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT FNMA POOL #0357430 5.000% 09 /01/2018 2/25/2004 18,715.730 6,610.36 6,610.36 0.00
DD 09/01/03 2/1/2004 SEC ID: 31376KA71 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0456482 6.000% 02/01/2014 2/25/2004 484.580 306.82 306.82 0.00
DD 02/01/99 2/1/2004
SEC ID: 31381 CCT2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0509649 6.000% 09/01/2014 2/25/2004 1,306.280 877.15 877.15 0.00
DD 09/01/99 2/1/2004 SEC ID: 31383QEWO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 36 Workbench
Transaction Detail .
@ ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATEDDillll2 O OD •00000[]0 2/2/2004 -2/27/2004 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 #0535451 6.000% 06/01/2015 2/25/2004 4,771.440 808.58 808.58 0.00
DD 07 /01/00 2/1/2004 SEC ID: 31384 VZQ8 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0535672 6.000% 01/01/2016 2/25/2004 102,939.540 17,491.14 17,491.14 0.00
DD 12/01/00 2/1/2004 SEC ID: 31384WCH1 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0545296 6.000% 11/01/2016 2/25/2004 46,748.250 5,741.32 5,741.32 0.00
DD 10/01/01 2/1/2004 SEC ID: 31385HXZO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0545580 6.000% 03/01/2017 2/25/2004 3,142.190 484.49 484.49 0.00
DD 03/01/02 2/1/2004 SEC ID: 31385JCR7 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL #0555101 6.000% 10/01/2017 2/25/2004 4,550.690 860.65 860.65 0.00
DD 11/01/02 2/1/2004 SEC ID: 31385WU23 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0555285 6.000% 03/01/2033 2/25/2004 22,104.140 3,881.34 3,881.34 0.00
DD 02/01/03 2/1/2004 SEC ID: 31385W2S7 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0555363 5.000% 04/01/2018 2/25/2004 4,927.260 1,586.41 1,586.41 0.00
DD 03/01/03 2/1/2004 SEC ID: 31385W5Yl 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0555453 5.000%05/01/2018 2/25/2004 497.860 162.49 162.49 0.00
DD 04/01/03 2/1/2004 SEC ID: 31385XBW6 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0555545 5.000% 06/01/2018 2/25/2004 3,544.410 1,323.02 1,323.02 0.00
DD 05/01/03 2/1/2004 SEC ID: 31385XES2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 37 Workbench
@ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCS D-CONSOLI DATE DflJlll(2 0 Cl[J ••OOO!J•O 2/2/2004 -2/27/2004 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 #0555621 5.000% 07/01/2018 2/25/2004 14,593.610 4,595.21 4,595.21 0.00
DD 06/01/03 2/1/2004 SEC ID: 31385XG68 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0576386 6.000%05/01/2016 2/25/2004 397.320 323.32 323.32 0.00
DD 05/01/01 2/1/2004 SEC ID: 31386XJ72 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL #0576739 6.000% 04/01/2016 2/25/2004 2,093.380 869.66 869.66 0.00
DD 04/01/01 2/1/2004 SEC ID: 31386XV86 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0580888 6.000% 05/01/2016 2/25/2004 9,319.170 1,152.86 1,152.86 0.00
DD 05/01/01 2/1/2004 SEC ID: 31387DJ91 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL #0594002 6.000% 07/01/2016 2/25/2004 6,079.710 920.63 920.63 0.00
DD 07 /01/01 2/1/2004 SEC ID: 31387T3K8 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0597376 6.000%09/01/2016 2/25/2004 1,436.790 1,174.79 1,174.79 0.00
DD 08/01/01 2/1/2004 SEC ID: 31387XT96 2/25/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT FNMA POOL#0605259 6.000%09/01/2016 2/25/2004 11,869.070 789.20 789.20 0.00
DD 09/01/01 2/1/2004 SEC ID: 31388HMG1 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0608366 6.000% 10/01/2016 2/25/2004 7,225.110 513.37 513.37 0.00
DD 09/01/01 2/1/2004 SEC ID: 31388LZ78 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0616734 6.000% 12/01/2016 2/25/2004 714.620 849.33 849.33 0.00
DD 12/01/01 2/1/2004 SEC ID: 31388WEF9 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 38 Workbench
® Transaction Detail . -ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE D0111I2 O 00 00000000 2/2/2004 -2/27/2004 Status: FINAL
Tn.de Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Bise Base
IT FNMA POOL #0630812 6.000% 02/01/2017 2/25/2004 10,696.630 940.41 940.41 0.00
DD 02/01/02 2/1/2004 SEC ID: 31389NYH2 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL #0632376 6.000% 07/01/2017 2/25/2004 24,683.340 4,131.62 4,131.62 0 .00
DD 07 /01/02 2/1/2004 SEC ID: 31389QQSO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0653116 6.000% 07/01/2017 2/25/2004 13,620.830 2,360.41 2,360.41 0.00
DD 07 /01/02 2/1/2004 SEC ID: 31390QSD8 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0673280 6.000%08/01/2017 2/25/2004 919.590 941.58 941.58 0.00
DD 11/01/02 2/1/2004 SEC ID: 31391P6R2 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL #0681309 5.000% 02/01/2018 2/25/2004 4,629.380 2,376.70 2,376.70 0.00
DD 02/01/03 2/1/2004 SEC ID: 31391Y3S4 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0681334 5.000% 02/01/2018 2/25/2004 732.710 297.30 297.30 0.00
DD 01/01/03 2/1/2004 SEC ID: 31391 Y4Tl 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0684908 5.000% 06/01/2018 2/25/2004 1,981.720 1,469.25 1,469.25 0.00
DD 05/01/03 2/1/2004
SEC ID: 31400D3Rl 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0685200 5.000%03/01/2018 2/25/2004 3,592.170 854.14 854.14 0.00
DD 03/01/03 2/1/2004
SEC ID: 31400EGH7 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0685665 5.000% 02/01/2018 2/25/2004 364.180 151.67 151.67 0.00
DD 02/01/03 2/1/2004 SEC ID: 31400EW22 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 39 Workbench
@ Transaction Detail ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE mm& D 00 00000000 2/2/2004-2/27/2004 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 #0686318 5.000% 03 /01/2018 2/25/2004 8,613.560 1,306.51 1,306.51 0.00
DD 03/01/03 2/1/2004 SEC ID: 31400FPB7 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0688739 5.000% 06/01/2018 2/25/2004 6,575.220 514.35 514.35 0.00
DD 06/01/03 2/1/2004 SEC ID: 31400JEL9 2/25/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT FNMA POOL#0689859 5.000%05/01/2018 2/25/2004 518.330 528.60 528.60 0.00
DD 05/01/03 2/1/2004 SEC ID: 31400KMG8 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0693834 5.000%03/01/2018 2/25/2004 3,558.110 3,076.52 3,076.52 0.00
DD 03/01/03 2/1/2004 SEC ID: 31400PY74 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0695852 5.000% 05/01/2018 2/25/2004 3,362.680 1,124.77 1,124.77 0.00
DD 05/01/03 2/1/2004 SEC ID: 31400SBVO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0695889 5.000% 05/01/2018 2/25/2004 8,790.080 3,481.44 3,481.44 0.00
DD 05/01/03 2/1/2004 SEC ID: 31400SC23 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0697026 5.000%05/01/2018 2/25/2004 126.990 110.10 110.10 0.00
DD 04/01/03 2/1/2004 SEC ID: 31400TLF2 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL #0698939 6.000% 09/01/2017 2/25/2004 484.400 457.38 457.38 0.00
DD 03/01/03 2/1/2004 SEC JD: 31400VPY2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0702210 5.000% 05/01/2018 2/25/2004 1,210.620 1,152.35 1,152.35 0.00
DD 05/01/03 2/1/2004 SEC ID: 31401ADP9 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 40 Workbench
@ Transaction Detail ReportID: EWB009 -
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATED[]]]]::2 • •• ••om1em• 2/2/2004-2/27/2004 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 #0702328 5.000% 05/01/2018 2/25/2004 1,415.300 617.58 617.58 0.00
DD 04/01/03 2/1/2004 SEC ID: 31401AHD2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0703195 6.000%01/01/2017 2/25/2004 836.520 394.76 394.76 0.00
DD 04/01/03 2/1/2004 SEC ID: 31401BGC3 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0709148 5.000% 06/01/2018 2/25/2004 2,007.810 1,246.09 1,246.09 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401HZM7 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0709360 5.000% 07/01/2018 2/25/2004 2,902.180 2,900.15 2,900.15 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401JB56 2/25/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT FNMA POOL #0709826 5.000% 06/01/2018 2/25/2004 1,512.130 593.84 593.84 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401JSP4 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0709917 5.000%06/01/2018 2/25/2004 1,603.630 1,095.88 1,095.88 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401JVJ4 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0709963 5.000% 06/01/2018 2/25/2004 165.060 110.95 110.95 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401JWYO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0710235 5.000% 06/01/2018 2/25/2004 12,866.980 3,319.82 3,319.82 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401KBC8 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0713344 5.000% 06/01/2018 2/25/2004 106.520 107.03 107.03 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401NP52 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 41 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLJ DATE DJIJl][2 0 DD •DODOO •• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Pric~ Cost Amount Net Gain/Loss
Type Description Reported Date Ba•e Shares/Par Base Base Base
IT FNMA POOL #0713365 5.000% 07/01/2018 2/25/2004 6,114.600 1,396.91 1,396.91 0.00
DD 07 /01/03 2/1/2004 SEC ID: 31401NQS1 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0720319 5.000%07/01/2018 2/25/2004 27,289.810 4,058.01 4,058.01 0.00
DD 07 /01/03 2/1/2004 SEC ID: 31401 WG45 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0720369 5.000% 06/01/2018 2/25/2004 13,073.130 10,119.61 10,119.61 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401 WJNO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0721629 5.000% 07/01/2018 2/25/2004 2,716.150 1,302.65 1,302.65 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401XVW4 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0723487 5.000% 06/01/2018 2/25/2004 962.880 1,051.05 1,051.05 0.00
DD 06/01/03 2/1/2004 SEC ID: 31402AXQ4 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0729601 5.000% 07/01/2018 2/25/2004 3,642.070 1,776.52 1,776.52 0.00
DD 07 /01/03 2/1/2004 SEC ID: 31402HRW3 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0732873 5.000% 11/01/2018 2/25/2004 136.200 151.85 151.85 0.00
DD 10/01/03 2/1/2004
SEC ID: 31402MFN5 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0737130 5.000% 10/01/2018 2/25/2004 3,058.930 3,116.12 3,116.12 0.00
DD 10/01/03 2/1/2004
SEC ID: 31402S4P9 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL#0738211 5.000% 10/01/2018 2/25/2004 2,832.550 2,459.79 2,459.79 0.00
DD 10/01/03 2/1/2004 SEC ID: 31402UDQ2 2/25/2004 OCSF07522202: LONGTERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 42 Workbench
Transaction Detail -@ Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCS D-CONSOLI DATE D!7[]!][2 0 DD [J•••••U• 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gatn/Loss
Type Description Reported Date Base Shares/Par Base Base Base
IT FNMA POOL #0738487 5.000% 10/01/2018 2/25/2004 3,489.370 933.92 933.92 0.00
DD 10/01/03 2/1/2004 SEC ID: 31402UNC2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0740471 5.000% 10/01/2018 2/25/2004 2,742.070 2,906.80 2,906.80 0.00
DD 10/01/03 2/1/2004 SEC ID: 31402Wf40 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0740748 5.000% 10/01/2018 2/25/2004 3,416.020 3,448.07 3,448.07 0.00
DD 11/01/03 2/1/2004 SEC ID: 31402W5H7 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0743868 5.000% 11/01/2018 2/25/2004 369.910 185.11 185.11 0.00
DD 10/01/03 2/1/2004 SEC ID: 31403BMR1 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0744008 5.000% 07/01/2018 2/25/2004 4,977.750 4,783.40 4,783.40 0.00
DD 09/01/03 2/1/2004 SEC ID: 31403BR54 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0744316 5.000% 09/01/2018 2/25/2004 1,839.120 719.66 719.66 0.00
DD 09/01/03 2/1/2004 SEC ID: 31403B3Z4 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0747914 5.000% 11/01/2018 2/25/2004 1,488.720 1,506.45 1,506.45 0.00
DD 11 /01/03 2/1/2004 SEC ID: 31403F3XO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0748400 5.000% 08/01/2018 2/25/2004 983.160 1,013.96 1,013.96 0.00
DD 09/01/03 2/1/2004 SEC ID: 31403GNR9 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0748899 5.000% 12 /01/2018 2/25/2004 5,147.750 4,310.11 4,310.11 0.00
DD 11/01/03 2/1/2004 SEC ID: 31403G7LO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 43 Workbench
@ Transaction Detail ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DOillli2 • OD OOOOOCJOD 2/2/2004 -2/27/2004 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#0750377 5.000% 11/01/2018 2/25/2004 11,361.650 10,582.81 10,582.81 0.00
DD 11/01/03 2/1/2004 SEC ID: 31403JUA2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0750380 5.000% 11/01/2018 2/25/2004 8,587.080 8,873.34 8,873.34 0.00
DD 11/01/03 2/1/2004 SEC ID: 31403JUD6 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL#0750445 5.000% 11/01/2018 2/25/2004 722.360 805.51 805.51 0.00
DD 11/01/03 2/1/2004 SEC ID: 31403JWE2 2/25/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT FNMA POOL #0751960 5.000% 12/01/2018 2/25/2004 3,909.300 3,782.79 3,782.79 0.00
DD 11/01/03 2/1/2004 SEC ID: 31403LMH1 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0753425 5.000% 11 /01/2018 2/25/2004 29,108.660 4,130.81 4,130.81 0.00
DD 11 /01/03 2/1/2004 SEC ID: 31403NA23 2/25/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT FNMA POOL #0755165 5.000% 12/01/2018 2/25/2004 2,605.320 2,696.29 2,696.29 0.00
DD 11/01/03 2/1/2004 SEC ID: 31403Q6A3 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL#0756372 5.000% 11/01/2018 2/25/2004 3,978.730 4,132.09 4,132.09 0.00
DD 11/01/03 2/1/2004 SEC ID: 31403SJR8 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0596612 6.500% 09/15/2032 2/17/2004 334.940 1,617.29 1,617.29 0.00
DD 09/01/02 2/1/2004 SEC ID: 362008YH4 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0569358 6.500% 04/15/2032 2/18/2004 58,146.480 6,337.19 6,337.19 0.00
DD 04/01/02 2/1/2004 SEC ID: 36200QQK3 2/18/2004 OCSF0752 2202 : LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 44 Workbench
Transaction Detail -@ ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE DOillil? J JD [l•J ••[IDD 2/2/2004 -2/27/2004 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#0569685 6.500% 02/15/2032 2/17/2004 2,198.260 269.71 269.71 0.00
DD 02/01/02 2/1/2004 SEC ID: 36200Q2S2 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0570019 6.500%07/15/2032 2/17/2004 3,911.310 467.17 467.17 0.00
DD 07 /01/02 2/1/2004 SEC ID: 36200RG48 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0574323 6.500% 12/15/2031 2/17/2004 19,160.860 2,677.52 2,677.52 0.00
DD 12/01/01 2/1/2004 SEC ID: 36200WAY7 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0575364 6.500% 11/15/2031 2/17/2004 4,533.170 285.16 285.16 0.00
DD 11/01/01 2/1/2004 SEC ID: 36200XFD6 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0587117 6.500% 06/15/2032 2/17/2004 1,073.350 113.09 113.09 0.00
DD 06/01/02 2/1/2004 SEC ID: 36201MG22 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0587439 6.500% 11/15/2032 2/17/2004 2,302.560 323.62 323.62 0.00
DD 12/01/02 2/1/2004 SEC ID: 36201MS45 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0421389 6.500% 04/15/2026 2/17/2004 313.290 78.78 78.78 0.00
DD 04/01/96 2/1/2004 SEC ID: 36206 UC23 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0438057 6.000% 05/15/2028 2/17/2004 26.490 93.04 93.04 0.00
DD 05/01/98 2/1/2004 SEC ID: 36207PTN9 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0449851 6.500% 01/15/2028 2/17/2004 39.680 124.03 124.03 0.00
DD 01/01/98 2/1/2004 SEC ID: 36208FWLO 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 45 Workbench
@ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE D[]IJ[[2 0 OD DDODDOCJ[! 2/2/2004 -2/27/2004 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 #0457814 6.000% 10/15/2028 2/17/2004 69.760 184.72 184.72 0.00
DD 10/01/98 2/1/2004 SEC ID: 36208QSB3 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0465546 6. 000% 08/15/2028 2/17/2004 888.340 2,291.19 2,291.19 0.00
DD 08/01/98 2/1/2004 SEC ID: 36209AET3 2/17/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT GNMA POOL #0465555 6.000% 09/15/2028 2/17/2004 914.220 2,467.45 2,467.45 0.00
DD 09/01/98 2/1/2004 SEC ID: 36209AE48 2/17/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT GNMA POOL #0466845 6.500% 06/15/2028 2/17/2004 4,586.010 364.41 364.41 0.00
DD 06/01/98 2/1/2004 SEC ID: 36209BTA6 2/17/2004 OCSF07522202: LONG TERM OPER-PlMCO
IT GNMA POOL#0467279 6.000% 10/15/2028 2/17/2004 33.360 103.09 103.09 0.00
DD 10/01/98 2/1/2004 SEC ID: 36209CCQ7 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0467286 6. 000% 10/15/2028 2/17/2004 550.210 1,987.62 1,987.62 0.00
DD 10/01/98 2/1/2004 SEC ID: 36209CCX2 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0468052 6. 500% 07/15/2028 2/17/2004 165.010 614.05 614.05 0.00
DD 07 /01/98 2/1/2004 SEC ID: 36209CSM4 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0468330 6.000% 05/15/2028 2/17/2004 39.330 94.18 94.18 0.00
DD 05/01/98 2/1/2004 SEC ID: 36209DHF4 2/17/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT GNMA POOL #0468339 6.000% 08/15/2028 2/17/2004 738.460 1,521.70 1,521.70 0.00
DD 08/01/98 2/1/2004 SEC ID: 36209DHQO 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 46 ~lorkbench
Transaction Detail -@ ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE Dmm? 0 ::JD 00000000 2/2/2004 -2/27/2004 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#0469688 6.000% 11/15/2028 2/17/2004 516.150 77.21 77.21 0.00
DD 11/01/98 2/1/2004 SEC ID: 36209EXR8 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #04 76041 6. 500% 06/15/2028 2/17/2004 11,520.190 1,003.28 1,003.28 0.00
DD 06/01/98 2/1/2004 SEC ID: 36209MZE7 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0478626 6.500% 01/15/2029 2/17/2004 211.420 888.71 888.71 0.00
DD 01/01/99 2/1/2004 SEC ID: 36209QVf9 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0480598 6.500% 10/15/2028 2/17/2004 166.770 666.25 666.25 0.00
DD 10/01/98 2/1/2004 SEC ID: 36209S3F6 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0483452 6.000% 09/15/2028 2/17/2004 19.400 65.86 65.86 0.00
DD 09/01/98 2/1/2004 SEC ID: 36209WBV3 2/17/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT GNMA POOL#0485527 6.500% 06/15/2031 2/17/2004 533.440 2,357.15 2,357.15 0.00
DD 06/01/01 2/1/2004 SEC ID: 36209YLG 1 2/17/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT GNMA POOL#0485610 6.500%07/15/2031 2/17/2004 17,936.160 2,658.15 2,658.15 0.00
DD07/01/01 2/1/2004 SEC ID: 36209YN38 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0485682 6.500% 08/15/2031 2/17/2004 3,947.360 526.52 526.52 0.00
DD 08/01/01 2/1/2004 SEC ID: 36209YRB6 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0485703 6.500% 08/15/2031 2/17/2004 4,045.080 482.00 482.00 0.00
DD 08/01/01 2/1/2004 SEC ID: 36209YRY6 2/17/2004 OCSF07522202 : LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 47 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATED002 Cl nn nnnnnnnn 2/2/2004-2/27/2004 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#0486720 6.000% 12/15/2028 2/17/2004 146.560 60.39 60.39 0.00
DD 12/01/98 2/1/2004 SEC ID: 36210AVM6 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0491103 6.000% 01/15/2029 2/17/2004 4,798.070 529.82 529.82 0.00
DD 01/01/99 2/1/2004 SEC ID: 36210FRY4 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0496461 6.000% 01/15/2029 2/17/2004 18,905.910 2,053.85 2,053.85 0.00
DD 01/01/99 2/1/2004 SEC ID: 36210MQN4 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0497343 6.000% 12/15/2028 2/17/2004 34.280 112.50 112.50 0.00
DD 12/01/98 2/1/2004 SEC ID: 36210NP45 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0499153 6.000% 02/15/2029 2/17/2004 22.880 63.26 63.26 0.00
DD 02/01/99 2/1/2004 SEC ID: 36210QQE5 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0500917 6.000% 04/15/2029 2/17/2004 768.950 36.58 36.58 0.00
DD 04/01/99 2/1/2004 SEC ID: 36210SPAO 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0503388 6.000% 03/15/2029 2/17/2004 3,440.810 1,558.76 1,558.76 0.00
DD 03/01/99 2/1/2004
SEC ID: 36210VF55 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0506636 6.000% 04/15/2029 2/17/2004 1,018.940 176.69 176.69 0.00
DD 04/01/99 2/1/2004 SEC ID: 36210YY90 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0512235 6.500% 11/15/2029 2/17/2004 16.850 59.15 59.15 0.00
DD 11/01/99 2/1/2004 SEC ID: 36211GBC6 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 48 Workbench
Transaction Detail J
@ ReportlD: EWB009
Mellon Reported by Transaction Category Base Currency: USD
ocs D-CONSOLIDATE DCJl]][2 0 OD o•o••o•• 2/2/2004-2/27/2004 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 #0514326 6.500% 07/15/2029 2/17/2004 7,460.060 807.80 807.80 0.00
DD 07 /01/99 2/1/2004 SEC ID: 36211JLF2 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0530053 6.500% 04/15/2031 2/17/2004 578.000 260.64 260.64 0.00
DD 04/01/01 2/1/2004 SEC ID: 36212CZS3 2/17/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT GNMA POOL#0537885 6.500% 02/15/2031 2/17/2004 111.490 568.38 568.38 0.00
DD 02/01/01 2/1/2004 SEC ID: 36212MRE1 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0547512 6.500%04/15/2031 2/17/2004 1,041.200 69.31 69.31 0.00
DD 04/01/01 2/1/2004 SEC ID: 36212YGV9 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0547715 6.500% 02/15/2031 2/17/2004 166.930 694.26 694.26 0.00
DD 02/01/01 2/1/2004 SEC ID: 36212YN82 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0552322 6.500% 01/15/2032 2/17/2004 3,128.730 396.04 396.04 0.00
DD 01/01/02 2/1/2004 SEC ID: 36213ESK3 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0552466 6.500% 03/15/2032 2/17/2004 13,697.070 2,921.02 2,921.02 0.00
DD 03/01/02 2/1/2004 SEC ID: 36213EW36 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0552659 6.500% 07/15/2032 2/17/2004 32,080.830 2,367.70 2,367.70 0.00
DD 07 /01/02 2/1/2004 SEC ID: 36213E5U6 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0561017 6.500% 07/15/2031 2/17/2004 40,130.970 2,369.68 2,369.68 0.00
DD 07 /01/01 2/1/2004 SEC ID: 36213QG29 2/17/2004 OCSF07522202: WNG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 49 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DOl][[2 0 DD DDDDDD•i:J 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price ·1 Coat Amount Net Gabl/Loas
Type Description 0 Reported Date Base Shares/Par ,tl, Base Base Base .
IT GNMA II POOL#0080023 VAR RT 12/20/2026 2/20/2004 8,000.680 853.29 853.29 0.00
DD 12/01/96 2/1/2004 SEC ID: 36225CAZ9 2/20/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA II POOL #080088M 7.375% 06/20/2027 2/20/2004 15,688.320 1,193.98 1,193.98 0.00
DD 06/01/97 2/1/2004 SEC ID: 36225CC20 2/20/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA II POOL #0080395 VAR RT 04/20/2030 2/20/2004 7,511.620 782.50 782.50 0.00
DD 04/01/00 2/1/2004 SEC ID: 36225CNM4 2/20/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA II POOL #080408X 6.500% 05/20/2030 2/20/2004 80,558.130 6,981.97 6,981.97 0.00
DD 05/01/00 2/1/2004 SEC ID: 36225CN28 2/20/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT GENERAL ELEC CAP MTN #TR 00545 VAR RT 2/20/2004 1,000,000.000 1,050.56 1,050.56 0.00
05/20/2004 DD 05/20/02 2/20/2004 SEC ID: 36962GYS7 2/20/2004 OCSF07511102: LIQUID OPER-PIMCO
IT GNMA GTD REMIC TR 2000-9 FH VAR RT 2/17/2004 18,654.660 932.98 932.98 0.00
02/16/2030 2/16/2004 SEC ID: 3837H4NX9 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT RESIDENTIAL ASSET 03-RSl l AIIB VAR RT 2/25/2004 13,462.950 1,171.50 1,171.50 0.00
12/25/2033 DD 12/30 /03 2/25/2004 SEC ID: 760985K83 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT SBA GTD PARTN CTFS SBIC-PS 01 6.640% 2/10/2004 184,446.510 40,599.06 40,599.06 0.00
02/10/2011 DD 02/21 /01 2/1/2004 SEC ID: 831641DD4 2/10/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT US TREASURY NOTES 06.250%02/15/2007 2/17/2004 20,000,000.000 625,000.00 625,000.00 0.00
DD 02/15/97 2/15/2004 SEC ID: 9128272JO 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 50 Workbench
® Transaction Detail ReportID: EWB009~ -
Mellon Reported by Transaction Category Base Currency: USD
ocs D-CONSOLIDAT E DmTI? 7 7,:1 nn,7nn7nn 2/2/2004-2/27/2004 Status: FINAL
Trade Date '
Tran Settle Date Price . Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
IT US TREASURY NT 3.250%08/15/2008 DD 2/17/2004 12,000,000.000 195,000.00 195,000.00 0.00
08/15/03 2/15/2004 SEC ID: 9 12828B04 2/17/2004 OCSF07522202: LON G TERM OPER-PIMCO
TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: 62,835,269.510 2,090,800.85 2,090,800.85 0.00
TOTAL FIXED INCOME SECURITIES BASE: 62,835,269.510 2,090,800.85 2,090,800.85 0.00
TOTAL INTEREST BASE: 102,835,269.510 2,184,651.60 2,184,651.60 0.00
TOTAL TRANSACTIONS: 105,888,866.760 3,840,017.16 1,675,904.28 570,436.81
3/8/2004 9:09:0SAM PST 51 Workbench
FAHR CO MM ITTEE
AGE NDA REPO RT
Orange County Sanitation District
FROM: Gary Streed, Director of Finance
Originator: Michael White, Controller
Meeting Date To Bd. of Dir.
03/10/04 03/24/04-
Item Number Item Number
FAHR04-14
SUBJECT: TREASURER'S REPORT FOR THE MONTH OF FEBRUARY 2004
GENERAL MANAGER'S RECOMMENDATION
Receive and file Treasurer's Report for the month of February 2004.
SUMMARY
Pacific Investment Management Co. (PIMCO), serves as the District's professional
external money manager, and Mellon Trust serves as the District's third-party custodian
bank for the investment program. 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 & Pear'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:\depllfinl220\geggie\FAHRITREASRPT031004.doc
Page 1
Baa2, and with S&P from A-to BBB. 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 uinderlying 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
• cgJ
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 $79.3 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 $141,311,000.
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:ldeptlfin\220\geggie\FAHRITREASRPT031004.doc
Page2
Book Balances Estimated
Investment Accounts February 29, 2004 Yield(%)
State of Calif. LAIF $ 16,928,614 1.44
Union Bank Checking Account 3,792,356 0.87 (1)
PIMCO-Short-term Portfolio 91,337,109 1.37
PIMCO -Long-term Portfolio 388,475,848 2.21
Petty Cash 5 000 N/A
TOTAL $500 538 92Z 2.03
Debt Service Reserves w/Trustees $141 311 069 2.09
(1) This is the annualized yield for the month of January. The February 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:ldept\fin\220\geggie\FAHR\TREASRPT031004.doc
Page 3
Prepared by Finance, 3/9/2004, 1: 18 PM
Monthly Investment Balances by Type-
Last Six Months
$700,000,000 -r----------------------------------,
$600,000,QQQ I ·~
$500,000,000 --
$400,000,000 I ~
$300,000,000
$200,000,000
$100,000,000 -
$0
September
2003
October
2003
November
2003
December
2003
31PIMCO-Long-term ~PIMCO-Short-term m!COP Debt Reserves
mLAIF •Bank Accts •Petty Cash
H:\dept\fin\EXCEL.dta\220\geggie\mo treas rpt\Monthly Investment Balances Graph.xis
January
2004
February
2004
Orange County Sanitation District
Investment Transactions and Balances in the
State of California Local Agency Investment Fund
February 29, 2004
Par Value Book Value Market Value
Balance
February 1, 2004 $21,228,614 $21,228,614 $21,228,614
Deposits:
2/18/2004 6,600,000 6,600,000 6,600,000
Total Deposits 6,600,000 6,600,000 6,600,000
Withdrawals:
2/4/2004 (2,200,000) (2,200,000) (2,200,000)
2/13/2004 (5,300,000) (5,300,000) (5,300,000)
2/26/2004 (3,400,000) (3,400,000) (3,400,000)
Total Withdrawls (10,900,000) (10,900,000) (10,900,000)
Balance
February 29, 2004 $16,928,614 $16,928,614 $16,928,614
Rate Yield
1.44 1.44
1.44 1.44
1.44 1.44
1.44 1.44
1.44 1.44
1.44 1.44
1.44 1.44
1.44 1.44
PIM C 0
March 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 February 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.
Bo11d Market Recap:
Core bond sectors gained in February as employment data continued to indicate that excess
capacity in the labor markets helped keep domestic inflation low and stable. U.S. Treasuries
returned 1.24% for the month, with the yield on the benchmark 10-year Treasury finishing below
the 4% threshold (3.98%), down 16 basis points from the end of January. Treasury Inflation
Protected Securities, or TIPS, outperformed nominal Treasuries; the Lehman Brothers U.S. TIPS
index returned 2.31 % in February. Mortgage-backed securities returned 0.84%, outpacing
Treasuries by 17 basis points after adjusting for duration. Within the sector, conventionals
(Freddie Mac and Fannie Mae) led Ginnie Mae issues, posting duration-adjusted excess returns of
21, 18 and 7 basis points, respectively. The credit sector, represented by the Lehman Credit
Index, performed in line with Treasuries for the month. Within the sector, higher quality
investment grade corporates outperformed, with Aa-rated bonds beating like-duration Treasuries
by 4 basis points, whereas Baa issues lagged by 11 basis points.
Despite optimistic remarks made by Fed Chairman Greenspan in his semi-annual Congressional
testimony, key economic releases during the month failed to meet expectations. Greenspan
remarked, "In all likelihood, employment will begin to grow more quickly before long as output
continues to expand." However, February kicked off with a disappointing Employment Situation
Report, issued by The Bureau of Labor Statistics. The monthly report indicated that net payroll
jobs increased by 112,000, below consensus expectations of 125,000. Manufacturing payrolls
declined for the 42nd consecutive month, and job growth in service industries was weak.
Separately, the Conference Board Index of Consumer Confidence also fell more than expected.
Mr. Mike White, CPA
Orange County Sanitation District
March 9, 2004
Page2
Both components of the index fell -present situation and future expectations -though the latter
more severely. With hiring and consumer confidence relatively weak, it was little surprise that
inflation remained muted. Excluding volatile food and energy prices, the CPI rose 0.2%, leaving
the annual rate of core inflation at 1. 1 %, the lowest level since I 966. February closed with a
positive surprise -the Bureau of Economic Analysis revised fourth quarter GDP upward, from
4.0% to 4.1 %. Stronger than initially reported business equipment and software spending, more
inventory investment, stronger exports and higher non-durable consumption drove the revision,
preserving hopes that the economic recovery will become self-sustaining.
Treasury yield changes during the month of February are summarized as follows:
• 3-month bills: +3 basis points to 0.94%
• 6-month bills: + 1 basis point to 1.00%
• 2-year notes: -18 basis points to 1.64%
• 5-year notes: -20 basis points to 2.94%
• 10-year notes: -16 basis points to 3.97%
• 30-year notes: -12 basis points to 4.84%
Performance Attribution:
Long-Term Portfolio
The Long-Term portfolio that PIMCO manages on behalf of Orange County Sanitation District
generated a total return of 0.66 percent for the month of February, lagging the Merrill Lynch 1-5
year Government Corporate Index by 6 basis points. The following points summarize returns for
the period ended February 29:
• The Long-Tenn portfolio lagged the benchmark by 6 basis points for the month.
• For the twelve-month period! the Long-Tenn portfolio returned 3. l 9%, 1.mderperfonning
the benchmark by 28 basis points.
• Portfolio duration, below the index, was negative for monthly performance as rates fell
across most maturities.
• Yield curve positioning similar to that of the index was neutral for performance.
• Corporates and Treasuries provided nearly identical returns for 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.
Mr. Mike White, CPA
Orange County Sanitation District
Liquid Portfolio
March 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 February, performing in line with the
3-month Treasury Bill Index for the month. The following points summarize returns for the
period ending February 29:
• The Liquid portfolio performed in line with the benchmark for the month.
• For the twelve-month period, the Liquid portfolio returned 1.19%, outperforming the
benchmark by 17 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
February 29:
• 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
March 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. 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.
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 February 29, 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
391,024,366
384,808,109
2.21
With Accrued Interest
91,543,278
91,703,783
1.37
2003 COP Proceeds -Future Construction -2203
Market Value
Book V11lue
Yield to Maturity
With Accrued Interest
79,266,564
79,418,235
1.33
Without Accrued Interest
388,585,844
382,369,588
2.22
Without Accrued Interest
91,356,045
91,516,551
1.37
Without Accrued Interest
79,074,103
79)25,774
1.33
MONTHLY REPORT
ORANGE COUNTY SANITATION DISTRICT
INVESTMENT MANAGEMENT PROGRAM
PIMCO'S PERFORMANCE MONITORING & REPORTING
(for the month ended 29 February 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 % INTEREST RATE CHANGE Dollar Impact (gain/loss) of 1 % Change:
15.1.4 REVERSE REPOS % of Portfolio in Reverse Repos:
( see attached schedule)
15.1.5 PORTFOLIO MATURITY % of Portfolio Maturing within 90 days:
15.1.6 PORTFOLIO QUALITY Average Portfolio Credit Quality:
15.1.7 SECURITIES BELOW "A" RA TING % 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 2 basis points for the month, and by 8 basis points fiscal year-to-date.
• PIMCO's emphasis on higher yielding securities such as commercial paper a.nd short-term notes contributed to performance.
H:\deptlfin\220\GegglelFAHRILIQ0S00-04-02.RPT.doc
Page 1 of 1
$91,543,278
$91,538,826
$91,703,783
$91,714,015
0.21
0.20
$192,241
0%
70%
''A.AA.''
0%
Yes
Portfolio Index
0.09 0.07
0.27 0.23
1.19 1.02
0.72 0.64
MONTHLY REPORT
ORANGE COUNTY SANITATION DISTRICT
INVESTMENT MANAGEMENT PROGRAM
PIMCO'S PERFORMANCE MONITORING & REPORTING
(for the month ended 29 February 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 % INTEREST RATE CHANGE Dollar Imoact (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 Maturme: within 90 davs:
15.1.6 PORTFOLIO QUALITY A verae:e Portfolio Credit Quality:
15.1.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A":
15.1.8 INVESTMENT POLICY COMPLIANCE "In Comoliance"
15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by
Period:
1 Month:
3 Months:
12 Months:
Fiscal Year-to-Date:
• The Long-Term portfolio lagged the benchmark by 6 basis points for the month, but ,outperformed the benchmark by 8 basis points fiscal year-to-date.
• Portfolio duration, below the index, was negative for monthly performance as rates fell across maturities.
• Yield curve positioning similar to that of the index was neutral for performance.
• Corporates and Treasuries provided nearly identical returns for the month. Substitutimg TIP's for nominal Treasuries was positive for performance, as TIP's outperformed nominals.
• Exposure to mortgage-backed securities was positive for relative perfonnanc,c as the sector outperformed Treasuries on a duration-adjusted basis.
Page 1 of 3
$391,024,366
$391,046,960
$384,808,109
$385,631,941
1.95
2.45
$7,624,975
0%
10%
AAA
0%
No*
Portfolio Index
0.66 0.72
1.71 1.87
3.19 3.47
1.66 1.58
*Compliance Issues:
MONTHLY REPORT
ORANGE COUNTY SANITATION DISTRICT
INVESTMENT MANAGEMENT PROGRAM
PIMCO'S PERFORMANCE MONITORING & REPORTING
(for the month ended 29 February 2004)
Page 2 of3
$1,60_0,000 par of United Airlines (UAL) Pass-Thronghl00l-1 ·C <Enhanced Equipment Trust Certificate {EETC} -909317BC2). 6.8JJ % coupon. 9/1/2008
maturity, representing 0.41 % of the portfolio holdings on a par: ba~is was purchased on 8/10/2001; and subsequently downgraded by Moody's from A3 to BAI (on
9/18/2001) andS&P from A-to BBB (on9/20/2001). The security was further downgraded by Moody's from BAI io BA3 (an 12/21/2001) and by S&P from BBB to BB
(oa 6/28/02). Followin,g news ofU1epossible bankruptcy filing, the security was ftrrt11er downgraded inAugust(B3 Moody's, B+ by S&P). On November 29, 2002, S&P
further downgraded this issue to B, and shortly thereafter on December 9, 2002, downgraded the issue one notch further to B--On August 7, 2003, S&P dowilgmded the
issue to CCC+, while Moody's followed suit on August 28, 2003 with a downgrade to CA. 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.
In February 2004, Moody's announced that they will be dropping their credit ratings for all ofUAL's debt. Moody's stated that it was the lack of information on the restructuring.
UAL has continued to delay disclosure of information on their restructuring plan and it appears the company did not update Moody's on a regular enough basis for them to feel
comfortable rating UAL's debt. S&P has maintained their existing ratings and at this time, Fitch does not rate UAL's debt.
UAL recently announced fourth quarter earnings numbers. While they posted a loss for the quarter, it was narrower than expected and the company stated that forward bookings
were up from last year in the international arena that had been hurt by the Iraqi war. The company also maintained a strong cash balance during a seasonally weak quarter. UAL
ended the quarter with a cash balance of $2.4 billion, including $6 79 million in restricted cash.
On February 20, bankruptcy court filings reveaJed that UAL has reached a prelimim1ry agreement with a group of 174 aircraft lessors and secured lenders (dubbed the Chapman
Group after their lead oounseJ, Chapman & Cutler), representing a bout 2 0% of UAI..' s in-service fleet. A final agreement js expected to be completed by March 2nd. Importantly, the
agreement is consistent with UAL's financial plan and projections provided to the ATSB and creditor groups. This represents the last group of creditors needed for UAL to
complete its ATSB loan application, a key gatekeeper to its emergence from Chapter 11. Consequently, this announcement should be positive for UAL bond prices.
In response, UAL's creditor committee filed documents objecting to the agreement suggesting that antitrust laws may have been violated because of the "stranglehold" that the
owners of the aircraft have over UAL allowing them to extract "excessive payments". PIMCO views this charge as having little basis in reality and an attempt by other creditors
lawyers to try whatever they can to further their own clients interests. The bankruptcy judge turned down the creditors committee request for evidence gathering, but did allow them
to hire special counsel to look into the matter while the negotiations continue with the Chapman Group. The specific terms of the Chapman Group's deal were filed with the court
under seal and therefore not made public.
PIMCO's position is to continue holding UAL securities. While PIMCO is disappointed that UAL has delayed the disclosure of their reorganization plan and appears to have not
been communicating effectively with Moody's, PIMCO continues to be part of a group that is negotiating directly with the company on behalf of bondholders. PIMCO is still
limited in the information it can disclose at this point, as some of the information in the negotiating process is non-public. PIMCO believes that continuing to hold the securities is
the best strategy to maximize value.
$1.000,000 par of Philip Morris-Altria NT ( cusiP 7181-54CH8), 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 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. In November, PIMCO sold $4,000,000 par (of the $5,000,000 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, bas said that the lawsuit was flawed and that it planned to appeal the ruling and the class certification order that preceded it.
MONTHLY REPORT
ORANGE COUNTY SANITATION DISTRICT
INVESTMENT MANAGEMENT PROGRAM
PIMCO'S PERFORMANCE MONITORING & REPORTING
(for the month ended 29 February 2004)
Page 3 of3
Prior to the judgment, PIMCO's analysis of Altria (the holding company and issuer of the debt) shows investment grade credit metrics even excluding in its entirety Philip Morris
USA (the domestic tobacco subsidiary and the entity subject to all of the legal suits). The analysis was based on the assumption that the horizon of any final verdict would be years
in the future, while the company would generated significant cash flow in the interim.
On March 5, the Minnesota Court of Appeals declined to review a lower court's decision that rejected class-action status in a "lights" cigarette case against Philip Morris USA. The
lawsuit was not based on claims of illness or personal injury from smoking but on allegedly deceptive trade practices. In the suit, the plaintiffs claimed Philip Morris violated state
laws by tricking smokers into believing Marlboro Lights delivered less tar and nicotine than regular cigarettes.
"This decision continues the trend throughout the nation in which federal and state courts in more than 60 cases have refused to certify tobacco lawsuits as class actions," said
William S. Ohlemeyer, Philip Morris USA vice president and general counsel, in a written statement.
According to Altria Group lnc.'s Philip Morris USA, three "lights··' cases pending against the cigarette maker have been certified as class action cases. The suits are pending in
Illinois, Ohio, and Missouri, and all are being appealed. State appellate courts have decertified two "lights" cases in Massachusetts and Florida. The Illinois case resulted in a $10.1
billion judgment against Philip Morris. The case is currently under review by the Illinois Supreme Court.
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 Mo,ody'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 represented 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 carry a Moody's rating of A3.
H:ldept\finl210I GeggielF AHRll.r T0S00-04-02.RPT.doc
@ Mellon
UQ_UID OPER-PIMCO • OCSF07511102
Description
CASH & CASH EQUIVALENTS
U.S. DOLLAR
INTEREST
COMMERCIAL PAPER -DISCOUNT
FED HM LOAN BNK -LESS THAN 1 YR
I
FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 YR
FNMA ISSUES -LESS THAN 1 YR
MUTUAL FUNDS
REPURCHASE AGREEMENTS
TREASURY BILLS -LESS THAN 1 YR
U.S. DOLLAR
CASH & CASH EQUIVALENTS
FIXED INCOME SECURITIES
U.S. DOLLAR
BANKING & FINANCE
U.S. AGENCIES
U.S. DOLLAR
FIXED INCOME SECURITIES
TOTAL ASSETS -BASE:
3/8/2004 8:29:31AM PST
Asset Summary
by Asset Type with Sectors
2/29/2004
Shares Par
4,500,000.000
11,600,000.000
14,300,000.000
15,500,000.000
124,900.640
12,300,000.000
23,100,000.000
81,424,900.640
81,424,900.640
9,002,000.000
1,100,000.000
10,102,000.000
10,102,000.000
91,526,900.640
1
Cost
Base
201,717.53
4,494,000.00
11,561,471.04
14,252,957.77
15,455,232.23
124,900.64
12,300,000.00
22,989,043.00
81,379,322.21
81,379,322.21
9,208,787.58
1,125,905.00
10,334,692.58
10,334,692.58
91,714,014.79
Report ID: GL8251
Base Currency: USD
Alternate Base Currency:
Market Value
Base
201,717.53
4,494,000.00
11,561,471.04
14,252,957.77
15,455,232.23
124,900.64
12,300,000.00
22,989,043.00
81,379,322.21
81,379,322.21
9,055,560.52
1,103,943.39
10,159,503.91
10,159,503.91
91,538,826.12
Exchange Rate:
Status: FINAL_
%of
Total
0.22%
4.91%
12.63%
15.57%
16.88%
0.14%
13.44%
25.11%
88.90%
88.90%
9.89%
1.21%
11.10%
11.10%
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
-153,227.06
-21,961.61
-175,188.67
-175,188.67
-175,188.67
Workbench
@ Mellon
LONG TERM OPER-PIMCO -OCSF07522202
Description
CASH & CASH EQUIVALENTS
U.S. DOLLAR
PENDING TRADES
INTEREST
FED HM LOAN BNK -LESS THAN I 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
U.S. DOLLAR
FIXED INCOME SECURITIES
3/8/2004 8:59:17AM PST
Asset Summary
by Asset Type with Sectors
2/29/2004
Shares Par
4,100,000.000
10,700,000.000
10,700,000.000
1,074,687.680
12,400,000.000
38,974,687.680
38,974,687.680
1,600,000.000
971,042.750
16,700,000.000
2,241,342.070
1,037,995.040
127,312.390
42,595,579.830
3,099,233.280
.S,404,749.280
3 ,000,000.000
34,318,210.000
1,600,000.000
752,000,000
38,075,448.470
173,597,276.280
4,750,000.000
332,870,189.390
332,870,189.390
1
Cost
Base
410,623.56
2,571,112.86
4,096,874.89
10,673,547.22
10,668,159.42
1,074,687.68
12,335,954.54
41,830,960.17
41,830,960.17
1,600,000.00
971,042.75
16,776,633.00
2,241,342.07
1,039,100.88
126,742.32
43,580,188.71
3,083,731.00
8,523,798.41
3,044,880.00
34,335,129.79
1,594,032.00
826,199.84
39,308,377.57
182,055,412.13
4,694,370.00
343,800,980.47
343,800,980.47
Report ID: GL8251
Base Currency: USD
Alternate Base Currency:
Market Value
Base
410,623.56
2,571,112.86
4,096,874.89
10,673,547.22
10,668,159.42
1,074,687.68
12,335,954.54
41,830,960.17
41,830,960.17
263,520.00
971,649.65
17,336,667.00
2,423,451.11
1,104,364.44
130,447.40
44,045,601.74
3,155,837.75
8,870,072.63
3,034,370.00
38,699,262.95
1,716,240.00
826,199.84
40,551,356.55
181,102,716.80
4,984,242.50
349,216,000.36
349,216,000.36
Exchange Rate:
Status: FINAL
%of
ToW
0 .11%
0.66%
1.05%
2.73%
2.73%
0.27%
3.15%
10.70%
10.70%
0.07%
0.25%
4.43%
0.62%
0.28%
0 .03%
11.26%
0 .81%
2 .27%
0.78%
9.90%
0.44%
0.21%
10.37%
46.31%
1.27%
89.30%
89.30%
Net Unrealized
Galil/Loss
Base
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
-1,336,480.00
606.90
560,034.00
182,109.04
65,263.56
3,705.08
465,413.03
72,106.75
346,274.22
-10,510.00
4 ,364,133.16
122,208.00
0.00
1,242,978.98
-952,695.33
289,872.50
5,415,019.89
5,415,019.89
Workbench
@ Mellon
LONG TERM OPER-PIMCO -OCSF07522202
Description
TOTAL ASSETS -BASE:
3/8/2004 8:59:17AM PST
Asset Summary
by Asset Type with Sectors
2129/2004
Shares Par
Cost
Baise
Report ID: GL825 l
Base Currency: USD
Alternate Base Currency:
Market Value
Base
Exchange Rate:
Status: FINAL
%of
Total
Net Unrealized
Gain/LoBB
Base
371,844,877.070 385,631,940.64 391,046,960.53 100.00% 5,415,019.89
2 Wo,-kbench
YLDANAL YIELD ANALYSIS PAGE 1
OCSF07511102 2004/02/29 RUN DATE 03/04/04
DISTRICT: LIQUID OPERATING RUN TIME 12.11.54 ------
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 .ooo P-1 99.867 4,494,000.00 5.53
26354AC85 03/08/2004 4,494,000.00 4.92
4,500,000.00 FEDERAL HOME LN BK CONS DISC N .000 .000 P-1 99.742 4,488,395.00 5.52
313384UE7 MAT 03/12/2004 A-1+ 4,488,395.00 4.91
900,000.00 FEDERAL HOME LN BKS CINS DISC .ooo .000 P-1 99.462 895,162.50 1.10
313384UK3 MAT 03/17/2004 A-1+ 895,162.50 .98
2,500,000.00 FEDERAL HOME LN BKS CONS DISC .ooo .ooo P-1 99.743 2,493,585.76 3.07
313384WL9 MAT 05/05/2004 A-1+ 2,493,585.76 2.73
2,000,000.00 FEDERAL HOME LN BK CONS DISC .ODO .000 P-1 99.431 1,988,625.00 2 .44
313384XA2 MAT 05/19/2004 A-1+ 1,988,625.00 2 .10
1,700,000.00 FEDERAL HOME LN BK CONS DISC N .ODO .ooo P-1 99 .747 1,695,702.78 2.08
313384XH7 MAT 05/26/2004 A-1+ 1,695,702.78 1.86
3,800,000.00 FEDERAL HOME LN MTG CORP DISC .ODO .ooo P-1 99 .422 3,778,055.00 4.65
313396UZ4 MAT 03/31/2004 A-1+ 3,778,055.00 4.14
2,500,000.00 FEDERAL HOME LN MTG CORP DISC .ODO .ooo P-1 99.745 2,493,625.00 3.07
313396WK5 MAT 5/5/2004 A-1+ 2,493,625.00 2.73
6,000,000.00 FEDERAL HOME LN MTG CORP DISC .ODO .000 P-1 99 .772 5,986,333.33 7.37
313396WZ2 MAT 05/18/2004 A-1+ 5,986,333.33 6.55
2,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .000 P-1 99.747 1,994,944.44 2.45
313396XG3 MAT 05/25/2004 A-1+ 1,994,944.44 2.18
6,500,000.00 FEDERAL NATL MTG ASSN DISCOUNT ,ODO .000 P-1 99 .753 6,483,930.56 7.98
313588WT8 MAT 05/12/2004 A-1+ 6,483,930.56 7.10
9,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ODO .ooo P-1 99.681 8,971,301.67 11.05
313588XA8 MAT 05/19/2004 A-1+ 8,971,301.67 9.82
23,100,000.00 US TREASURY BILL .000 .000 P-1 99.520 22,989,043.00 28.31
912795QW4 DUE 08/05/2004 DD 02/05/2004 A-1+ 22,989,043.00 25.17
12,300,000.00 CREDIT SUISSE FB REPO .ODO .980 100.000 12,300,000.00 15.15
99416W828 00.980% 03/01/2004 DD 02/27/04 12,300,000.00 13.47
YLDANAL YIELD ANALYSIS PAGE 2
OCSF07511102 2004/02/29 RUN DATE 03/04/04
DISTRICT: LIQUID OPERATING RUN TIME 12.11.54 ------------------------------------------------------------------------------------------------===========================---
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL --------------------------------------------------------------------------------------
124,900,64 DREYFUS TREASURY CASH MGMT ,OClO .815 AAA 100.000 124,900.64 .15
996085247 AAA 124,900.64 .14
---------------------------------------TOTAL CASH & CASH EQUIVALENTS .OOIO ,050 81,177,604.68 100.00
81,177,604.68 88.88
FIXED INCOME SECURITIES
100,000.00 ASSOCIATES CORP NA MTN SR00043 , OClO 7,732 AAl 102.437 104,199.00 1.00
045906BU7 7.920% 07/13/2004 DD 07/13/94 AA-102,437.00 ,11
1,000,000.00 ASSOCIATES CORP NORTH AMER .ODO 5.765 AAl 100.609 1,041,290.00 9.90
046003KA6 5.800% 04/20/2004 DD 04/20/99 AA-1,006,090.00 1.10
500,000.00 BANK OF AMERICA CORP SR GBL NT , ODO 6,523 AA2 101. 562 518,385.00 4.99
066050CW3 6.625% 06/15/2004 DD 06/15/99 A+ 507,810.00 .56
2,100,000.00 CITIGROUP INC SR GLOBAL NT .ODO 1. 329 AAl 100.000 2,700,459.00 26.57
172967BEO FLTG RT 03/09/2004 DD 03/09/01 AA-2,700,000.00 2.96
1,100,000.00 FEDERAL HOME LN MTG CORP DEB ,OOIO 3,737 AAA 100,358 1,125,905.00 10.86
3134A4PH1 3.750% 04/15/2004 DD 04/15/02 AAA 1,103,943.39 1.21
180,000.00 GENERAL ELEC CAP MTN tTR 00448 • OOIO 7 .177 AAA 101. 015 183,801.60 1.78
36962GUR3 7.250% 05/03/2004 DD 05/01/00 AAA 181,827.00 .20
1,000,000.00 GENERAL ELEC CAP MTN ITR 00545 • OOIO 1.211 AAA 100.046 1,001,009,00 9,84
36962GYS7 VAR RT 05/20/2004 DD 05/20/02 AAA 1,000,460.00 1.10
1,000,000.00 LEHMAN BROS HLDGS INC . OOIO 6.596 Al 100.437 1,045,590.00 9.88
524908BZ2 6,625% 04/01/2004 DD 03/26/99 A 1,004,370.00 1.10
250,000.00 NCNB TEX NATL BK DALLAS TEX NT ,00>0 9.315 AA2 101.984 260,870.00 2.50
628857DJO 9.500% 06/01/2004 DD 06/01/89 A+ 254,960.00 .28
627,000.00 NATIONSBANK CORP SR NTS .ooo 6,017 AA2 101. 796 646,650.18 6.28
638585BJ7 6,125% 07/15/2004 DD 07/23/98 A+ 638,260.92 .70
520,000.00 NORWEST FINL INC NTS .OCIO 7.168 AAl 100.453 531,538.80 5.14
669383DG3 7.200% 04/01/2004 DD 04/07/97 AA-522,355 .60 .57
YLDANAL
OCSF07511102
DISTRICT: LIQUID OPERATING
YIELD ANALYSIS
2004/02/29
-. -_ --------;_==--=-== === ---------
PAR VALUE
SECURITY ID SECURITY DESCRIPTION
1,000,000.00 US BANCORP MTN fTR 00119
91159HEY2 6 ,000% 05/15/2004 DD 05/10/99
125,000.00 WELLS FARGO & CO NEW NT
949746AA9 6,625% 07/15/2004 DD 07/28/99
TOTAL FIXED INCOME SECURITIES
TOTAL
YTM AT
BOOK
.OClO
, 00>0
-------
,ODO
.ODO
CURRENT MOODY MARKET
YIELD S-P PRICE
5.943 AA3 100.953
A+
6.497 AAl 101.968
AA-
------3,840
.579
PAGE
RUN DATE
RUN TIME
TOTAL COST/
MARKET VALUE
1,046,310.00
1,009,530.00
128,605.00
127,460.00
-----------------10,334,692,58
10,159,503.91
91,512,297,26
91,337,108.59
3
03/04/04
12.11.54
% TYPE
% TOTAL
9.93
1.11
1.25
,14
100.00
11. 14
100,00
100.00
YLDANAL YIELD ANALYSIS PAGE 4
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54 --------------------------------------------------------------------------------------------------------====---==============
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
4,100,000.00 FEDERAL HOME LN BKS CONS DISC .000 .000 P-1 99.924 4,096,874.89 10.54
313384UM9 MAT 03/19/2004 A-1+ 4,096,874.89 1.06
10,100,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .000 P-1 99.753 10,673,547.22 27.47
313396WZ2 MAT 05/18/2004 A-1+ 10,673,547.22 2.75
6,800,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .000 P-1 99.750 6,783,000.00 17.45
313588XA8 MAT 05/19/2004 A-1+ 6,783,000.00 1.75
3,900,000.00 FEDERAL NATL MTG ASSN DISCOUNT .000 .000 P-1 99.619 3,885,159.42 10.00
313588YV1 MAT 07/01/2004 A-1+ 3,885,159.42 1.00
8,000,000.00 US TREASURY BILL .000 .000 P-1 99.484 7,958,746.66 20.48
912795PW5 0.000% 04/29/2004 DD 10/30/03 A-1+ 7,958,746.66 2 .05
4,400,000.00 US TREASURY BILL .000 .000 P-1 99.482 4,377,207.88 11.26
912795PX3 0.000% 05/06/2004 DD 11/06/03 A-1+ 4,377,207.88 1.13
1,074,687.68 DREYFUS TREASURY CASH MGMT .000 .815 AAA 100.000 1,074,687.68 2.76
996085247 AAA 1,074,687.68 .28
---------------------------------------
TOTAL CASH & CASH EQUIVALENTS .ooo .005 38,849,223.75 100.00
38,849,223.75 10.02
FIXED INCOME SECURITIES
752,000.00 AIG SUNAMERICA GLOBAL REGS .ooo 5.325 109.867 826,199.84 .23
U00907AAO 5.850% 08/01/2008 DD 08/08/01 826,199.84 .21
2,000,000.00 COMMIT TO PUR FNMA SF MTG ,000 5.311 AAA 102.281 2,863,875.00 .82
01F052631 5.500% 03/01/2034 DD 03/01/04 AAA 2,863,868.00 .74
1,500,000.00 CIT GROUP INC NEW SR NT .ooo 5.101 A2 107 .812 1,527,135.00 .46
125581ADO 5.500% 11/30/2007 DD 12/02/02 A 1,617,180.00 ,42
50,982.16 FHLMC GROUP tG4-0353 .000 7.401 AAA 101. 337 52,272.65 .01
3128DBMA2 7.500% 10/01/2004 DD 03/01/99 AAA 51,663.61 .01
1,soo,000.00 FEDERAL HOME LN BK CONS BDS .000 6. 747 AAA 105.597 7,997,625.00 2.26
3133MAUN7 7.125% 02/15/2005 DD 02/08/00 AAA 7,919,778.00 2.04
YLDANAL YIELD ANALYSIS PAGE 5
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54 -----===-===~-::=:-------===
PAR VALUE YTH AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -------------------------------------------------------------------------------------------
.oo FHLMC MULTICLASS CTF SER 1620Z . oo,o .ooo AAA .000 .oo .oo
3133Tl7A4 6.000% 11/15/2023 DD 11/01/93 AAA .00 .oo
76,330,23 FHLMC GROUP t78-6064 .oo,o 3,282 AAA 103. 214 74,469.67 .02
31348SWZ3 6.384% 01/01/2028 DD 12/01/97 AAA 78,783.79 .02
11,350,000.00 FEDERAL NATL MTG ASSN DEBS .oo,o 4.895 AAA 107.262 11,521,271.50 3.48
31359MJX2 5.250% 06/15/2006 DD 06/22/01 AAA 12,174,191.60 3.14
819,466.32 FNMA POOL f0254510 .oo,o 4.858 AAA 102.934 844,050.31 ,24
31371KVB4 5.000% 11/01/2017 DD 10/01/02 AAA 843,506.10 .22
174,072.47 FNMA POOL #0254631 .0())0 4,858 AAA 102.934 179,294.65 .05
31371KY47 5.000% 02/01/2018 DD 01/01/03 AAA 179,179.04 .05
157,179.71 FNMA POOL f0254760 .0())0 4,855 AAA 102,996 161,895.09 .04
31371K5V9 5.000% 06/01/2018 DD 05/01/03 AAA 161,888.96 .04
68,802.98 FNMA POOL #0254866 .0()10 4.855 AAA 102.996 70,867.08 .02
31371LCB3 5.000% 09/01/2018 DD 08/01/03 AAA 70,864.38 .02
365,440.54 FNMA POOL #0254953 ,0())0 4.855 AAA 102.996 370,122.75 .10
31371LE21 5.000% 11/01/2018 DD 10/01/03 AAA 376,389.47 .10
980,912.87 FNMA POOL #0254987 .oo,o 4.862 AAA 102.847 993,480.81 .28
31371LF46 5.000% 12/01/2018 DD 11/01/03 AAA 1,008,840.43 ,26
198,962.50 FNMA POOL f0323980 .0()0 5 ,670 AAA 105.824 207,729.28 .06
31374T2MO 6 .000% 04/01/2014 DD 09/01/99 AAA 210,550.51 .05
31,162.40 FNMA POOL #0357328 .0()10 4.861 AAA 102.870 32,097.27 .oo
31376J4M8 5,000% 01/01/2018 DD 01/01/03 AAA 32,056.70 .01
1,567,770.89 FNMA POOL f0357430 • OOIO 4,860 AAA 102.871 1,585,408.32 .46
31376KA71 5.000% 09/01/2018 DD 09/01/03 AAA 1,612,783.00 .42
60,877.87 FNMA POOL #0456482 ,0()0 5,670 AAA 105.824 63,560.30 .01
31381CCT2 6.000% 02/01/2014 DD 02/01/99 AAA 64,423.53 .02
174,124.63 FNMA POOL ll0509649 ,0()10 5.670 AAA 105.824 181,797.00 .05
31383QEWO 6.000% 09/01/2014 DD 09/01/99 AAA 184,266.03 ,05
156,945.33 FNMA POOL J0535451 .0()0 5.676 AAA 105.699 163,860.74 .04
31384VZQ8 6.000% 06/01/2015 DD 07/01/00 AAA 165,889.99 , 04
YLDANAL YIELD ANALYSIS PAGE 6
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54 ------------------------------------------------===-=========================---
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------------------------------------·-----------------
3,395,287.94 FNMA POOL 10535672 , 00 0 5.670 AAA 105,824 3,544,892.83 1.02
31384WCH1 6.000% 01/01/2016 DD 12/01/00 AAA 3,593,036.98 .93
1,101,514.84 FNMA POOL 10545296 .000 5.680 AAA 105.637 1,150,050.34 .33
31385HXZO 6.000% 11/01/2016 DD 10/01/01 AAA 1,163,604.15 .30
93,756.06 FNMA POOL 10545580 .ooo 5 ,680 AAA 105.637 97,887.18 ,02
31385JCR7 6.000% 03/01/2017 DD 03/01/02 AAA 99,040.83 .03
167,579.16 FNMA POOL #0555101 , 00 0 5.673 AAA 105.762 174,963.10 .05
31385WU23 6.000% 10/01/2017 DD 11/01/02 AAA 177,234.60 ,05
375,811.55 FNMA POOL #0555363 .000 4.860 AAA 102.871 387,085.89 .11
31385W5Yl 5.000% 04/01/2018 DD 03/01/03 AAA 386,601.44 .10
38,500.45 FNMA POOL #0555453 .ooo 4,858 AAA 102,934 38,993.74 ,01
31385XBW6 5.000% 05/01/2018 DD 04/01/03 AAA 39,629,90 • 01
313,980,68 FNMA POOL 10555545 .ooo 4,860 AAA 102.871 323,400.11 .09
31385XES2 5.000% 06/01/2018 DD 05/01/03 AAA 322,995.35 .08
1,088,257.29 FNMA POOL #0555621 . 000 4.862 AAA 102.847 1,100,500.18 .32
31385XG68 5.000% 07/01/2018 DD 06/01/03 AAA 1,119,241.05 .29
64,266.10 FNMA POOL #0576386 .000 5.690 AAA 105.451 67,097.82 .01
31386XJ72 6.000% 05/01/2016 DD 05/01/01 AAA 67,769.28 .02
171,837.99 FNMA POOL #0576739 • 00·0 S.680 AAA 105.637 179,409,60 .OS
31386XV86 6.000% 04/01/2016 DD 04/01/01 AAA 181,524.02 ,OS
221,252,73 FNMA POOL 10580888 ,00,0 5,666 AAA 105.887 231,001.67 ,06
31387DJ91 6.000% 05/01/2016 DD 05/01/01 AAA 234,277,26 .06
178,046.84 FNMA POOL 10594002 .ooo 5,680 AAA 105.637 185,892.02 ,05
31387T3K8 6,000% 07/01/2016 DD 07/01/01 AAA 188,082.84 .05
233,521.05 FNMA POOL 10597376 .0()0 5,680 AAA 105.637 243,810.57 .07
31387XT96 6.000% 09/01/2016 DD 08/01/01 AAA 246,683.98 .06
145,970,82 FNMA POOL #0605259 ,00,0 s. 680 AAA 105.637 152,402.66 .04
31388HMG1 6,000% 09/01/2016 DD 09/01/01 AAA 154,198.79 .04
95,448,93 FNMA POOL t0608366 ,OOIO S.680 AAA 105.637 99,654,65 .02
31388LZ78 6.000% 10/01/2016 DD 09/01/01 AAA 100,829.12 .03
YLDANAL YIELD ANALYSIS PAGE 7
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54 ==-------------------------------=-=======================-----~--------
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----------------------------·---------------------------------------------------------------
169,150.77 FNMA POOL #0616734 .ooo 5.663 AAA 105.949 176,603.97 .os
31388WEF9 6.000% 12/01/2016 DD 12/01/01 AAA 179,213.92 .05
177,385.02 FNMA POOL #0630812 .000 5.689 AAA 105.474 185,201.05 .05
31389NYH2 6.000% 02/01/2017 DD 02/01/02 AAA 187,095.35 .05
801,640.11 FNMA POOL 10632376 .ooo 5.673 AAA 105.762 836,962.39 .24
31389QQ50 6.000% 07/01/2017 DD 07/01/02 AAA 847,828.37 .22
458,461.28 FNMA POOL #0653116 .ooo 5.673 AAA 105.762 478,662,23 .13
31390QSD8 6.000% 07/01/2017 DD 07/01/02 AAA 484,876.54 .12
187,396.02 FNMA POOL #0673280 .000 5.673 AAA 105.762 195,653.16 .os
31391P6R2 6.000% 08/01/2017 DD 11/01/02 AAA 198,193.25 .os
565,778.39 FNMA POOL #0681309 .ooo 4.860 AAA 102.871 582,751.74 .16
31391Y3S4 5.000% 02/01/2018 DD 02/01/03 AAA 582,022.40 .15
70,619.26 FNMA POOL #0681334 .000 4.860 AAA 102. 871 72,737.83 .02
31391Y4Tl 5.000% 02/01/2018 DD 01/01/03 AAA 72,646.80 .02
350,637.74 FNMA POOL #0684908 .000 4.858 AAA 102.934 355,130.29 ,10
31400D3Rl 5,000% 06/01/2018 DD 05/01/03 AAA 360,924.01 .09
201,400.29 FNMA POOL #0685200 .000 4.860 AAA 102. 871 203,980.74 .05
31400EGH7 5.000% 03/01/2018 DD 03/01/03 AAA 207,182.67 .05
36,036.56 FNMA POOL #0685665 .ooo 4.860 AAA 102 .871 37,117.66 .01
31400EW22 5.000% 02/01/2018 DD 02/01/03 AAA 37,071.20 .01
304,949.07 FNMA POOL #0686318 .000 4.860 AAA 102.871 314,097.54 .08
31400FPB7 5.000% 03/01/2018 DD 03/01/03 AAA 313,704.43 ,08
116,868.03 FNMA POOL #0688739 .000 4.860 AAA 102.871 120,374.07 .03
31400JEL9 5.000% 06/01/2018 DD 06/01/03 AAA 120,223.42 .03
126,345.50 FNMA POOL #0689859 .000 4.855 AAA 102.996 127,964.30 .03
31400KMG8 5.000% 05/01/2018 DD 05/01/03 AAA 130,130.92 .03
734,805.83 FNMA POOL #0693834 .ooo 4.860 AAA 102. 871 756,850.01 ,21
31400PY74 5.000% 03/01/2018 DD 03/01/03 AAA 755,902.77 .19
266,582.08 FNMA POOL #0695852 .ooo 4.860 AAA 102,871 274,579.54 .07
31400SBVO 5.000% 05/01/2018 DD 05/01/03 AAA 274,235.89 .07
YLDANAL YIELD ANALYSIS PAGE 8
OCSF07522202 2004/02/29 RUN DATE 03 /04 /04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54 --==----=========================----==-
PAR VALUE YTH AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------------------------------------~---------------------------
826,754.22 FNMA POOL t0695889 .000 4.860 AAA 102.871 851,556.84 .24
31400SC23 5.000% 05/01/2018 DD 05/01/03 AAA 850,491.08 .22
26,296.11 FNMA POOL J0697026 .000 4.860 AAA 102.871 27,085.01 .oo
31400TLF2 5.000% 05/01/2018 DD 04/01/03 AAA 27,051.09 .01
90,991.82 FNMA POOL 10698939 .ooo 5.666 AAA 105.887 95,001.15 .02
31400VPY2 6.000% 09/01/2017 DD 03/01/03 AAA 96,348 .25 .02
275,352.96 FNMA POOL #0702210 • 00 0 4.862 AAA 102.847 283,613.55 .08
31401ADP9 5.000% 05/01/2018 DD 05/01/03 AAA 283,192.53 .07
146,804.45 FNMA POOL 10702328 .ooo 4.860 AAA 102.871 148,685.39 .04
31401AHD2 5,000% 05/01/2018 DD 04/01/03 AAA 151,019.34 .04
78,115.72 FNMA POOL 10703195 • 00,0 5.663 AAA 105.949 81,557.70 .02
31401BGC3 6.000% Ol/01/2017 DD 04/01/03 AAA 82,763.00 .02
297,054.77 FNMA POOL 10709148 .00·0 4.860 AAA 102,871 305,966.42 .08
31401HZM7 5,000% 06/01/2018 DD 06/01/03 AAA 305,583.48 .08
693,132.71 FNMA POOL 10709360 .ooo 4,855 AAA 102,996 702,013,48 .20
31401JB56 5.000% 07/01/2018 DD 06/01/03 AAA 713,899.59 .18
141,009.26 FNMA POOL #0709826 • 00 0 4.860 AAA 102 .871 142,815.94 .04
31401JSP4 5,000% 06/01/2018 DD 06/01/03 AAA 145,057.76 .04
261,406.04 FNMA POOL 10709917 • 00 0 4.860 AAA 102,871 264,755.30 .07
31401JVJ4 5.000% 06/01/2018 DD 06/01/03 AAA 268,911.24 .07
26,462.64 FNMA POOL #0709963 .ooo 4.862 AAA 102.847 26,801.70 .oo
31401JWYO 5.000% 06/01/2018 DD 06/01/03 AAA 27,216.06 .01
783,890.71 FNMA POOL 10710235 .ooo 4.860 AAA 102.871 807,407.44 .23
31401KBC8 5.000% 06/01/2018 DD 06/01/03 AAA 806,396.92 .21
25,579.69 FNMA POOL 10713344 .ooo 4.860 AAA 102.871 26,347.07 .oo
31401NP52 5.000% 06/01/2018 DD 06/01/03 AAA 26,314.11 .01
329,143.33 FNMA POOL 10713365 .000 4.860 AAA 102. 871 333,360.48 .09
31401NQS1 5.000% 07/01/2018 DD 07/01/03 AAA 338,593.33 .09
946,633.03 FNMA POOL 10720319 .000 4.860 AAA 102. 871 958,761.76 .27
31401WG45 5 .000% 07/01/2018 DD 07/01/03 AAA 973,811.72 .25
YLDANAL YIELD ANALYSIS PAGE 9
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54 --=----·-=-~====--== .. -
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MAR.KET VALUE % TOTAL -------------------·-------------------------------·-----------------
2,415,634.25 FNMA POOL #0720369 .000 4.862 AAA 102.847 2,488,103.28 . 71
31401WJNO 5.000% 06/01/2018 DD 06/01/03 AAA 2,484,409.75 .64
309,918.69 FNMA POOL 10721629 • 00 0 4.849 AAA 103.121 319,216.26 .09
31401XVW4 5.000% 07/01/2018 DD 06/01/03 AAA 319,591.53 .08
251,288.40 FNMA POOL 10723487 .ooo 4.860 AAA 102.871 254,115.40 .07
31402AXQ4 5.000% 06/01/2018 DD 06/01/03 AAA 258,503.12 .07
422,722.75 FNMA POOL 10729601 .ooo 4.855 AAA 102 .996 428,138.89 .12
31402HRW3 5.000% 07/01/2018 DD 07/01/03 AAA 435,387.90 .11
36,308.37 FNMA POOL 10732873 .ooo 4.849 AAA 103.121 36,773.56 .01
31402MFN5 5.000% 11/01/2018 DD 10/01/03 AAA 37,441.59 .01
744,808.98 FNMA POOL 10737130 • 00 0 4.855 AAA 102.996 754,351.84 .21
31402S4P9 5.000% 10/01/2018 DD 10/01/03 AAA 767,124.13 .20
587,516.82 FNMA POOL 107 38211 ,000 4.862 AAA 102,847 595,044.39 ,17
31402UDQ2 5.000% 10/01/2018 DD 10/01/03 AAA 604,244.01 .16
220,650.77 FNMA POOL f0738487 .ooo 4.860 AAA 102 ,871 223,477.85 .06
31402UNC2 5.000% 10/01/2018 DD 10/01/03 AAA 226,985.85 ,06
694,890.75 FNMA POOL 10740471 .ooo 4.862 AAA 102.847 703,794.03 .20
31402WT40 5.000% 10/01/2018 DD 10/01/03 AAA 714,674.98 .18
824,121.71 FNMA POOL f0740748 .oo 0 4.860 AAA 102,871 834,680.76 .24
31402W5H7 5.000% 10/01/2018 DD 11/01/03 AAA 847,782.99 • 22
44,056.47 FNMA POOL 10743868 .000 4.862 AAA 102,847 44,620.94 ,01
31403BMR1 5.000% 11/01/2018 DD 10/01/03 AAA 45,310.80 .01
1,143,038.75 FNMA POOL #0744008 .000 4.860 AAA 102. 871 1,157,683.93 .33
31403BR54 5.000% 07/01/2018 DD 09/01/03 AAA 1,175,856.42 .30
170,880.33 FNMA POOL #0744316 .000 4.862 AAA 102.847 173,069.74 .05
31403B3Z4 5.000% 09/01/2018 DD 09/01/03 AAA 175,745.46 .05
360,058.77 FNMA POOL 10747914 • 00 0 4.860 AAA 102. 871 364,672.03 .10
31403F3XO 5.000% 11/01/2018 DD 11/01/03 AAA 370,396.38 .10
242,368.11 FNMA POOL #0748400 .000 4.862 AAA 102.847 245,473.46 .01
31403GNR9 5.000% 08/01/2018 DD 09/01/03 AAA 249,268.57 .06
YLDANAL YIELD ANALYSIS PAGE 10
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54 =======-=======-----====-------=---------------------------·-----------------------=----===========---==--------------------==
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------~-----------~----------------------------------------
1,029,279.66 FNMA POOL #0748899 .ooo 4.864 AAA 102.786 1,042,467.30 .JO
31403G7LO 5.000% 12/01/2018 DD 11/01/03 AAA 1,057,954.40 .27
2,528,513.13 FNMA POOL 10750377 .ooo 4.864 AAA 102.786 2,560,909.70 .74
31403JUA2 5.000% 11/01/2018 DD 11/01/03 AAA 2,598,955.08 .67
2,121,015.81 FNMA POOL #0750380 • 00 0 4.864 AAA 102.786 2,148,191.34 ,62
31403JUD6 5.000% 11/01/2018 DD 11/01/03 AAA 2,180,105.27 ,56
192,600.64 FNMA POOL #0750445 .ooo 4,864 AAA 102.786 195,068.33 .05
31403JWE2 5.000% 11/01/2018 DD 11/01/03 AAA 197,966.31 .05
903,960.05 FNMA POOL 10751960 . 00 0 4.862 AAA 102.847 915,542.04 .26
31403LMH1 5.000% 12/01/2018 DD 11/01/03 AAA 929,696.69 .24
962,285.46 FNMA POOL 10753425 .ooo 4,860 AAA 102. 871 973,411.88 .28
31403NA23 5.000% 11/01/2018 DD 11/01/03 AAA 989,913.54 .26
644,503.22 FNMA POOL 10755165 .000 4,855 AAA 102.996 652,760.91 .19
31403Q6A3 5.000% 12/01/2018 DD 11/01/03 AAA 663,813.12 ,17
987,723.59 FNMA POOL #0756372 . 00 0 4,855 AAA 102,996 999,144.14 .29
31403SJR8 5.000% 11/01/2018 DD 11/01/03 AAA 1,017,316.68 .26
298,240.36 GNMA POOL #0596612 .ooo 6,140 AAA 105.859 313,012,57 .09
36200BYH4 6.500% 09/15/2032 DD 09/01/02 AAA 315,715.40 .08
1,111,796.06 GNMA POOL 10569358 .ooo 6,156 AAA 105.584 1,137,853.78 .33
36200QQK3 6.500% 04/15/2032 DD 04/01/02 AAA 1,173,883.11 .30
47,593.89 GNMA POOL #0569685 .ooo 6,138 AAA 105.891 49,951.27 .01
36200Q2S2 6.500% 02/15/2032 DD 02/01/02 AAA 50,397.47 .01
82,334.61 GNMA POOL 10570019 .000 6.138 AAA 105.891 86,412.75 .02
36200RG48 6.500% 07/15/2032 DD 07/01/02 AAA 87,184.63 .02
475,152.23 GNMA POOL 10574323 .ooo 6.138 AAA 105,891 498,687.12 , 14
36200WAY7 6.500% 12/15/2031 DD 12/01/01 AAA 503,141.64 .13
48,111,66 GNMA POOL 10575364 • 00 0 6 .138 AAA 105.891 50,494.69 .01
36200XFD6 6.500% 11/15/2031 DD 11/01/01 AAA 50,945.74 .01
19,804.19 GNMA POOL 10587117 .ooo 6,138 AAA 105.891 20,785.12 .00
36201MG22 6.500% 06/15/2032 DD 06/01/02 AAA 20,970.78 .01
YLDANAL YIELD ANALYSIS PAGE 11
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54
----------------------
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ,---------------------------------------------------·-----------------------------------------------
57,442,25 GNMA POOL 10587439 .ooo 6,140 AAA 105.859 60,287.43 .01
36201MS45 6.500% 11/15/2032 DD 12/01/02 AAA 60,808,01 .02
14,230,43 GNMA POOL f0421389 .ooo 6,119 AAA 106,234 14,935,29 .oo
36206UC23 6,500% 04/15/2026 DD 04/01/96 AAA 15,117.61 .00
22,858.12 GNMA POOL 10449851 .ooo 6 ,149 AAA 105.701 23,990.31 .oo
36208FWLO 6.500% 01/15/2028 DD 01/01/98 AAA 24,161.25 .01
62,688.68 GNMA POOL 10466845 .ooo 6 .126 AAA 106.109 65,793.73 .01
36209BTA6 6.500% 06/15/2028 DD 06/01/98 AAA 66,518.57 .02
113,197.73 GNMA POOL 10468052 , 00 0 6.126 AAA 106.109 118,804.56 .03
36209C5M4 6.500% 07/15/2028 DD 07/01/98 AAA 120,113.41 .03
173,701.38 GNMA POOL 10476041 .ooo 6,126 AAA 106.109 182,033.62 .05
36209MZE7 6.500% 06/15/2028 DD 06/01/98 AAA 184,313.46 ,05
163,857.37 GNMA POOL 10478626 .000 6.126 AAA 106.109 171,717.41 .04
36209QVT9 6.500% 01/15/2029 DD 01/01/99 AAA 173,868.04 .04
122,832.74 GNMA POOL 10480598 .ooo 6.126 AAA 106,109 128,724.88 .03
36209S3F6 6.500% 10/15/2028 DD 10/01/98 AAA 130,337.06 .03
434,633.41 GNMA POOL f0485527 .ooo 6,138 AAA 105,891 456,161.35 ,13
36209YLG1 6.500% 06/15/2031 DD 06/01/01 AAA 460,236.01 . 12
472,799.94 GNMA POOL f0485610 .000 6,138 AAA 105,891 496,218.31 ,14
36209YN38 6.500% 07/15/2031 DD 07/01/01 AAA 500,650.79 .13
93,255.94 GNMA POOL 00485682 , 00 0 6,138 AAA 105,891 97,875.02 ,02
36209YRB6 6,500% 08/15/2031 DD 08/01/01 AAA 98,749.29 .03
84,939.87 GNMA POOL #0485703 .ooo 6.138 AAA 105.891 89,147.05 .02
36209YRY6 6.500% 08/15/2031 DD 08/01/01 AAA 89,943.35 .02
10,902 ,29 GNMA POOL f0512235 .ooo 6,131 AAA 106.016 11,442.29 .oo
36211GBC6 6,500% 11/15/2029 DD 11/01/99 AAA 11,558.13 .oo
141,672,12 GNMA POOL #0514326 .ooo 6,131 AAA 106.016 148,467.95 .04
36211JLF2 6.500% 07/15/2029 DD 07/01/99 AAA 150,194.58 .04
47,539 ,93 GNMA POOL 10530053 .000 6,157 AAA 105.578 49,894.65 .01
36212CZS3 6.500% 04/15/2031 DD 04/01/01 AAA 50,191.63 .01
YLDANAL YIELD ANALYSIS PAGE 12 OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54
----=======---=..=::==
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------------------------------------------------------------------
104,819.21 GNMA POOL #0537885 , 000 6.138 AAA 105.891 110,011.03 .03
36212MRE1 6.500% 02/15/2031 DD 02/01/01 AAA 110,993.71 .03
11,755.28 GNMA POOL 10547512 • 00 0 6.138 AAA 105.891 12,337.54 .00
36212YGV9 6.500% 04/15/2031 DD 04/01/01 AAA 12,447.74 .00
128,004.57 GNMA POOL #0547715 .ooo 6.138 AAA 105.891 134,144.79 .03 36212YN82 6.500% 02/15/2031 DD 02/01/01 AAA 135,544.83 .03
69,986.18 GNMA POOL #0552322 .ooo 6.138 AAA 105.891 73,452.68 .02
36213ESK3 6.500% 01/15/2032 DD 01/01/02 AAA 74,108.80 .02
525,568.36 GNMA POOL #0552466 .ooo 6.156 AAA 105,584 551,600.43 .15
36213EW36 6.500% 03/15/2032 DD 03/01/02 AAA 554,918.16 ,14
405,032.84 GNMA POOL #0552659 , 00 0 6.138 AAA 105.891 425,094.61 ,12
36213E5U6 6.500% 07/15/2032 DD 07/01/02 AAA 428,891.79 .11
397,348.74 GNMA POOL #0561017 ,000 6,138 AAA 105.891 417,029.91 .12
36213QG29 6.500% 07/15/2031 DD 07/01/01 AAA 420,755.04 .11
260,774,11 GNMA II POOL #0080395 . 00 D 3,439 AAA 101. 761 258,410.84 .07
36225CNM4 VAR RT 04/20/2030 DD 04/01/00 AAA 265,365.95 .07
2,313,261.14 GNMA II POOL #080408X • DO 0 3 ,439 AAA 101,760 2,289,767.08 ,67
36225CN28 6,500% 05/20/2030 DD 05/01/00 AAA 2,353,973.38 .61
3,000,000.00 GENERAL MTRS ACCEP CORP SR NT .ooo 5.697 A3 107.515 3,064,350.00 .92
370~25SD3 6.125% 08/28/2007 DD 08/29/02 BBB 3,225,450.00 .83
3,000,000.00 GOLDMAN SACHS GROUP INC SR NT .ooo 3.980 AA3 103.656 3,030,030.00 .89
38141GCS1 4.125% 01/15/2008 DD 01/13/03 A+ 3,109,680.00 .80
3,200,000.00 MORGAN STANLEY NT .ooo 3,570 AA3 101. 531 3,195,648,00 .93
617446HW2 3.625% 04/01/2008 DD 03/06/03 A+ 3,248,992.00 .84
1,000,000.00 PHILIP MORRIS COS INC NTS .ooo 7,467 BAA2 100.437 1,052,600.00 .28
718154CH8 7,500% 04/01/2004 DD 04/01/97 BBB 1,004,370.00 .26
971,042, 75 RESIDENTIAL ASSET 03-RSll AIIB , 00 0 1.419 AAA 100,063 971,042,75 .21
760985K83 VAR RT 12/25/2033 DD 12/30/03 AAA 971,649.65 ,25
3,497,276.28 SBA GTD DEV PARTN 200l-20C 1 .ooo 5,790 AAA 109,490 3,497,276,28 1.09
83162CLJO 6.340% 03/01/2021 AAA 3,829,167.80 ,99
YLDANAL YIELD ANALYSIS PAGE 13
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54
=:-;:::::;::;==~===-:====-=---=-======
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -----------------·-------·-------------------------------------------------------------------
2,241,342.07 SBA GTD PARTN CTFS SBIC-PS 01 . 00 0 6.141 AAA 108.125 2,241,342.07 .69
831641DD4 6.640% 02/10/2011 DD 02/21/01 NR 2,423,451.11 .62
1,600,000.00 UNITED AIRLS PASSTHRU 01-1 C .000 41. 475 WR 16.470 1,600,000.00 .07
909317BC2 6.831% 03/01/2010 DD 08/22/01 A-263,520.00 .07
20,000,000.00 US TREASURY NOTES ,000 5.587 AAA 111.875 22,620,312.50 6.40
9128272JO 06.250% 02/15/2007 DD 02/15/97 AAA 22,375,000.00 5.77
3,422,490.00 US TREASURY INFLATION INDEX NT .ODO 3.212 AAA 112.875 3,731,991.35 1.10
9128273T7 3.625% 01/15/2008 DD 01/15/98 AAA 3,863,135.59 1.00
14,609,660.00 US TREASURY INFLATION INDEX NT . 00 0 3.349 AAA 115. 719 16,235,020.11 4 .84
9128274Y5 3 .875% 01/15/2009 DD 01/15/99 AAA 16,906,152.46 4.36
57,100,000.00 US TREASURY NOTES .00 0 5.363 AAA 107.219 62,782,901.47 17.53
9128276N7 05.750% 11/15/2005 DD 11/15/00 AAA 61,222,049.00 15.78
12,000,000.00 US TREASURY NT .000 3.184 AAA 102.060 11,870,156.25 3,50
912828BG4 3.250% 08/15/2008 DD 08/15/03 AAA 12,247,200.00 3.16
01,000,000.00 US TREASURY NOTES . 00 0 1.865 AAA 100.530 81,284,765.63 23.31
912828BX7 1 .875% 01/31/2006 DD 01/31/03 AAA 81,429,300.00 20.98
1,750,000.00 VIRGINIA ELEC & PWR 01 SER A .000 5.365 A3 107.171 1,743,840.00 .53
927804ENO 5.750% 03/31/2006 DD 03/27/01 BBB+ 1,875,492.50 • 48
16,286,060.00 US TREASURY INFLATION INDEX NT 3. 81 7 3.066 AAA 110.094 14,368,118.33 5.13
9128272M3 3.375% 01/15/2007 DD 01/15/97 AAA 17,929,974.90 4.62
15,500,000.00 FEDERAL NATL MTG ASSN DEBS 5. 96 7 6.745 AAA 105.637 16,154,410.00 4.68
31359MFH1 7.125% 02/15/2005 DD 02/14/00 AAA 16,373,795.45 4.22
1,037,995.04 FHLMC MULTICLASS MTG SER E3 A 6. 316 3.527 AAA 106.394 1,039,100.88 .31
3133TCE95 VAR RT 08/15/2032 DD 12/01/97 AAA 1,104,364.44 .28
681,084.22 GNMA GTD REMIC TR 2000-9 FH 6. 32 0 1. 585 AAA 100.610 681,084.22 .19
3837H4NX9 VAR RT 02/16/2030 AAA 685,238.83 .18
6,547.35 GNMA POOL 10500917 6,389 5. 719 AAA 104.910 6,214.86 .oo
36210SPAO 6.000% 04/15/2029 DD 04/01/99 AAA 6,868.84 .oo
34,318.90 GNMA POOL 10506636 6. 38 9 5. 719 AAA 104.910 32,576.13 .01
36210YY90 6.000% 04/15/2029 DD 04/01/99 AAA 36,004.01 .01
YLDANAL YIELD ANALYSIS PAGE 14
OCSF07522202 2004/02/29 RUN DATE 03/04/04
DISTRICT: LONG-TERM OPERATING RUN TIME 12.11.54
------------------------------------------------------·-----------------------------------------------=----=====-===========---
PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------------------------------------------------------------------
308,310.43 GNMA POOL #0503388 6.389 5. 719 AAA 104.910 292,654.04 .09
36210VF55 6.000% 03/15/2029 DD 03/01/99 AAA 323,448.97 ,08
12,629.02 GNMA POOL #0499153 6. 38 9 5. 719 AAA 104.910 11,987.70 .oo
36210QQE5 6.000% 02/15/2029 DD 02/01/99 AAA 13,249.13 .oo
391,864.48 GNMA POOL t0496461 6. 39 0 5. 719 AAA 104.910 371,965.11 .11
36210MQN4 6.000% 01/15/2029 DD 01/01/99 AAA 411,105.65 .11
101,165.17 GNMA POOL #0491103 6. 39 0 5. 719 AAA 104.910 96,027.89 .03
36210FRY4 6.000% 01/15/2029 DD 01/01/99 AAA 106,132.54 .03
11,930.74 GNMA POOL #0486720 6. 39 0 5. 719 AAA 104.910 11,324.89 .oo
36210AVM6 6.000% 12/15/2028 DD 12/01/98 AAA 12,516.56 .00
22,466.06 GNMA POOL t0497343 6. 39 0 5. 719 AAA 104.910 21,325.21 .oo
36210NP45 6.000% 12/15/2028 DD 12/01/98 AAA 23,569.18 .01
14,926.51 GNMA POOL 10469688 6. 391 5. 719 AAA 104.910 14,168.51 .00
36209EXR8 6.000% 11/15/2028 DD 11/01/98 AAA 15,659.43 .oo
20,583.78 GNMA POOL t0467279 6. 391 5. 719 AAA 104.910 19,538.51 .00
36209CCQ7 6.000% 10/15/2028 DD 10/01/98 AAA 21,594.48 .01
36,874.70 GNMA POOL 10457814 6. 391 5. 719 AAA 104 .910 35,002.14 .01
36208QSB3 6.000% 10/15/2028 DD 10/01/98 AAA 38,685.31 .01
396,974.24 GNMA POOL #0467286 6. 391 5. 719 AAA 104,910 376,815.39 .11
36209CCX2 6,000% 10/15/2028 DD 10/01/98 AAA 416,466,31 .11
492,575.35 GNMA POOL 10465555 6. 39 2 5,719 AAA 104.910 467,561.77 .14
36209AE48 6.000% 09/15/2028 DD 09/01/98 AAA 516,761.59 .13
13,151.78 GNMA POOL f0483452 6. 39 2 s. 719 AAA 104.910 12,483.93 .00
36209WBV3 6.000% 09/15/2028 DD 09/01/98 AAA 13,797.55 .oo
457,350.13 GNMA POOL 10465546 6,392 5. 719 AAA 104.910 434,125.32 .13
36209AET3 6.000% 08/15/2028 DD 08/01/98 AAA 479,806.75 .12
303,602.16 GNMA POOL #0468339 6. 39 2 5. 719 AAA 104.910 288,184.88 ,09
36209DHQO 6.000% 08/15/2028 DD 08/01/98 AAA 318,509.51 .08
18,580.73 GNMA POOL #0438057 6. 39 3 5. 716 AAA 104,973 17,637,19 .oo
36207PTN9 6.000% 05/15/2028 DD 05/01/98 AAA 19,504.69 .01
YLDANAL
OCSF07522202
DISTRICT: LONG-TERM OPERATING
YIELD ANALYSIS
2004/02/29
PAGE
RUN DATE
RUN TIME
15
03/04/04
12.11.54 ---==========================--------------===--------=====================--=========:====-====--~=c:== --===~
PAR VALUE YTM AT CURRENT MOODY MARI<ET TOTAL COST/ % TYPE
SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------~------------------------------------------------------
18,797.37 GNMA POOL f0468330 6 .39 3 s. 716 AAA 104.973 17,842.80 .oo
36209DHF4 6.000% 05/15/2028 DD 05/01/98 AAA 19,732.10 .01
311,804.47 GNMA II POOL #080088M 6. 70 S 4.313 AAA 101. 444 318,625.19 .09
36225CC20 7.375% 06/20/2027 DD 06/01/97 AAA 316,306.46 .08
2,000,000.00 MARSH & MCLENNAN COS INC SR NT 6. 71 7 6.527 A2 101.soo 1,992,280.00 .SB
57174BABB 6.625% 06/15/2004 DD 06/14/99 AA-2,030,000.00 .52
2,soo,000.00 FORD MTR CR CO GLOBAL LANDMARK 6. 739 6.578 AJ 101.859 2,495,900.00 .72
345397SJ3 6.700% 07/16/2004 DD 07/16/99 BBB-2,546,475.00 .66
2,soo,000.00 COUNTRYWIDE HOME LNS INC NT 6. 86 6 6.745 A3 101.562 2,498,400.00 .72
22237UAB8 6.850% 06/15/2004 DD 06/24/99 A 2,539,050.00 .65
213,393.56 GNMA II POOL #0080023 6. 99 2 4.482 AAA 103.186 216,927.89 ,06
3622SCAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 220,191.96 .06
2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7 .113 s. 719 AAA 115.844 2,030,133.00 .69
31359MEYS 6.625% 09/15/2009 DD 09/01/99 AAA 2,432,731.35 .63
1,000,000.00 FORD MOTOR CR CO NT 7. 58 2 6.430 A3 104.984 965,170.00 .JO
345397GV9 6.750% 05/15/2005 DD 05/24/93 BBB-1,049,840.00 .27
944,364.25 WMP/HUNTOON PAIGE #000-11150 7. 68 4 7.335 AAA 102.251 923,853.85 .21
302998GE3 7.500% 12/01/2030 DD 10/21/99 AAA 965,621.32 .25
J,000,000.00 PACIFICORP SECO MTN #TR 00115 7,709 7.045 AJ 103.625 2,950,530.00 .89
69512EEUS 7.300% 10/22/2004 DD 10/22/92 A 3,108,750.00 .80
1,600,000.00 ALLSTATE CORP SR NT 7,967 7.342 Al 107.265 1,594,032.00 .49
020002ALS 7.875% 05/01/2005 DD 05/01/00 A+ 1,716,240.00 .44
-------------------------------------
TOTAL FIXED INCOME SECURITIES , 351 4.656 343,800,980.47 100.00
349,216,000.36 90.02
----------------------------------
TOTAL • 34 8 4.612 382,650,204.22 100.00
388,065,224.11 100.00
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED -OCSGOO0l00OO 2/29/2004 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
RECEIVABLE FOR INVESTMENTS 10,541,453.60 10,541,453.60 2.18% 0.00
SOLD
PAYABLE FOR INVESTMENTS -10, 130,830.04 -10,130,830.04 -2.10% 0.00
PURCHASED
INTEREST RECEIVABLE 2,772,830.39 2,772,830.39 0.57% 0.00
DU PONT DE NEMOUR DISC 99.8667 4 ,500,0,00.000 4,494,000.00 4,494,000.00 0.93% 0.00
03/08/2004
SEC ID: 26354AC85
FEDERAL HOME LN BK CONS DISC N 99.7421 4 ,500,0·00.000 4,488,395.00 4,488,395.00 0.93% 0.00
MAT 03/12/2004
SEC ID: 313384UE7
FEDERAL HOME LN BKS CINS DISC 99.4625 900,000.000 895,162.50 895,162.50 0.19% 0.00
MAT 03/17/2004
SEC ID: 313384UK3
FEDERAL HOME LN BKS CONS DISC 99.9238 4,100,000.000 4,096,874.89 4,096,874.89 0.85% 0.00
MAT 03/19/2004
SEC ID: 313384UM9
FEDERAL HOME LN BKS CONS DISC 99.7434 2 ,S00,0·00.000 2,493,585.76 2,493,585.76 0.52% 0.00
MAT 05/05/2004
SEC ID: 313384WL9
FEDERAL HOME LN BK CONS DISC 99.4313 2,000,000.000 1,988,625.00 1,988,625.00 0.41% 0.00
MAT OS/ 19/2004
SEC ID: 313384XA2
FEDERAL HOME LN BK CONS DISC N 99.7472 1,700,000.000 1,695,702.78 1,695,702.78 0.35% 0.00
MAT 05/26/2004
SEC ID: 313384XH7
FEDERAL HOME LN MTG CORP DISC 99.4225 3,800,000.000 3,778,055.00 3,778,055.00 0.78% 0.00
MAT 03/31/2004
SEC ID: 313396UZ4
FEDERAL HOME LN MTG CORP DISC 99.7450 2 ,500,0()0.000 2,493,625.00 2,493,625.00 0.52% 0.00
MAT 5/5/2004
SEC ID: 313396WK5
FEDERAL HOME LN MTG CORP DISC 99.7722 16,700,000.000 16,659,880.55 16,659,880.55 3.45% 0.00
MAT 05/18/2004
SEC ID: 313396WZ2
FEDERAL HOME LN MTG CORP DISC 99.7472 2; 000,000.000 1,994,944.44 1,994,944.44 0.41% 0.00
MAT 05/25/2004
SEC ID: 313396XG3
3/8/2004 9:06:00AM PST 1 Workbench
@ Asset Detail Report ID: GL80 13 ·
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOLIDATED-OCSGOO0lO0OO 2/29/2004 Status: FINAL
Net Unrealized
Price Coat Market Value %of Gahi/Loss
Description Base Shares Par Base Base Total Base
FEDERAL NATL MTG ASSN DISCOUNT 99.7528 6,500,000.000 6,483,930.56 6,483,930.56 1.34% 0.00
MAT 05/12/2004
SEC ID: 313588WT8
FEDERAL NATL MTG ASSN DISCOUNT 99.7500 15,800,C100.000 15,754,301.67 15,754,301.67 3.26% 0.00
MAT 05/19/2004
SEC ID: 313588XA8
FEDERAL NATL MTG ASSN DISCOUNT 99.6195 3,900,000.000 3,885,159.42 3,885,159.42 0.81% 0.00
MAT 07/01/2004
SEC ID: 313588YV1
U S TREASURY BILL 99.4843 8,000,000.000 7,958,746.66 7,958,746.66 1.65% 0.00
0.000% 04/29/2004 DD 10/30/03
SEC ID: 912795PW5
U S TREASURY BILL 99.4820 4,400,000.000 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 99.5197 23 ,100,0•00.000 22,989,043.00 22,989,043.00 4.76% 0.00
DUE 08/05/2004 DD 02/05/2004
SEC ID: 912795QW4
CREDIT SUISSE FB REPO 100.0000 12,300,000.000 12,300,000.00 12,300,000.00 2.55% 0.00
00.980% 03/01/2004 DD 02/27 /04
SEC ID: 99416W828
DREYFUS TREASURY CASH MGMT 100.0000 1,199,588.320 1,199,588.32 1,199,588.32 0.25% 0.00
SEC ID: 996085247
TOTAL CASH & CASH EQUIVALENTS 120,399,588.320 123,210,282.38 123,210,282.38 25.53% 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
COMMIT TO PUR FNMA SF MTG 102.2810 2,800,000.000 2,863,875.00 2,863,868.00 0.59% -7.00
5.500% 03/01/2034 DD 03/01/04
SEC ID: 01F052631
ALLSTATE CORP SR NT 107.2650 1,600,000.000 1,594,032.00 1,716,240.00 0.36% 122,208.00
7.875% 05/01/2005 DD 05/01/00
SEC ID: 020002AL5
ASSOCIATES CORP NA MTN SR00043 102.4370 100,000.000 104,199.00 102,437.00 0.02% -1,762.00
7.920% 07/13/2004 DD 07 / 13/94
SEC ID: 045906BU7
ASSOCIATES CORP NORTH AMER 100.6090 l ,000,0·00.000 1,041,290.00 1,006,090.00 0.21% -35,200.00
5.800% 04/20/2004 DD 04/20/99
SEC ID: 046003KA6
3/8/2004 9:06:00AM PST 2 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOLlDATED-OCSGOOOlOOOO 2/29/2004 Status: FINAL
Net UnreaUzed
Price Cost Matket Value %of Gain/Loss Description Base Shares Par Base Base Total Base
BANK OF AMERICA CORP SR GBL NT 101.5620 500,0100.000 518,385.00 507,810.00 0.11% -10,575.00
6.625% 06/15/2004 DD 06/15/99
SEC ID: 066050CW3
CIT GROUP INC NEW SR NT 107.8120 1,500,Qo00.000 1,527,135.00 1,617,180.00 0.34% 90,045.00
5.500% 11/30/2007 DD 12/02/02
SEC ID: 125581AD0
CITIGROUP INC SR GLOBAL NT 100.0000 2,700,0100.000 2,700,459.00 2,700,000.00 0.56% -459.00
FLTG RT 03/09/2004 DD 03/09/01
SEC ID: l 72967BE0
COUNTRYWIDE HOME LNS INC NT 101.5620 2 ,500,0100.000 2,498,400.00 2,539,050.00 0.53% 40,650.00
6.850% 06/15/2004 DD 06/24/99
SEC ID: 22237UAB8
WMP/HUNTOON PAIGE #000-11150 102.2509 944,364.250 923,853.85 965,621.32 0.20% 41,767.47
7.500% 12/01/2030 DD 10/21/99
SEC ID: 302998GE3
FHLMC GROUP #G4-0353 101.3367 50,982.160 52,272.65 51,663.61 0.01% -609.04
7.500% 10/01/2004 DD 03/01/99
SEC ID: 3128DBMA2
FEDERAL HOME LN BK CONS BDS 105.5970 7 ,500,0,00.000 7,997,625.00 7 ,919,778.00 1.64% -77,847.00
7.125% 02/15/2005 DD 02/08/00
SEC ID: 3133MAUN7
FHLMC MULTICLASS MTG SER E3 A 106.3940 1,037,995.040 1,039,100.88 1,104,364.44 0.23% 65,263.56
VAR RT 08/15/2032 DD 12/01/97
SEC ID: 3133TCE95
FEDERAL HOME LN MTG CORP DEB 100.3585 1, 100,0·00.000 1,125,905.00 1,103,943.39 0.23% -21,961.61
3.750% 04/15/2004 DD 04/15/02
SEC ID: 3134A4PH1
FHLMC GROUP #78-6064 103.2144 76,330.230 74,469.67 78,783.79 0.02% 4,314.12
6.384% 01/01/2028 DD 12/01/97
SEC ID: 31348SWZ3
FEDERAL NATL MTG ASSN DEBS 115.8444 2 , 100,0,00.000 2,030,133.00 2,432,731.35 0.50% 402,598.35
6.625% 09/15/2009 DD 09/01/99
SEC ID: 31359MEY5
FEDERAL NATL MTG ASSN DEBS 105.6374 15,500,000.000 16,154,410.00 16,373,795.45 3.39% 219,385.45
7.125% 02/15/2005 DD 02/ 14/00
SEC ID: 31359MFH1
FEDERAL NATL MTG ASSN DEBS 107.2616 11 ,350,0·00.000 11,521,271.50 12,174,191.60 2.52% 652,920.10
5.250% 06/15/2006 DD 06/22/01
SEC ID: 31359MJX2
FNMA POOL #0254510 102.9336 819,466.320 844,050.31 843,506.10 0.17% -544.21
5.000% 11/01/2017 DD 10/01/02
SEC ID: 31371KVB4
3/8/2004 9:06:00AM PST 3 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED -OCSGOO0 10000 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base
FNMA POOL #0254631 102.9336 174,072.470 179,294.65 179,179.04 0.04% -115.61
5.000% 02/01/2018 DD 01/01/03
SEC ID : 31371KY47
FNMA POOL #0254760 102.9961 157,179.710 161,895.09 161,888.96 0.03% -6.13
5.000% 06/01/2018 DD 05/01/03
SEC ID: 31371K5V9
FNMA POOL #0254866 102.9961 68,802.980 70,867.08 70,864.38 0.01% -2.70
5.000% 09/01/2018 DD 08/01/03
SEC ID: 31371LCB3
FNMA POOL #0254953 102.9961 365,440.540 370,122.75 376,389.47 0.08% 6,266.72
5.000% 11/01/2018 DD 10/01/03
SEC ID: 31371LE21
FNMA POOL #0254987 102.8471 980,912.870 993,480.81 1,008,840.43 0.21% 15,359.62
5.000% 12/01/2018 DD 11/01/03
SEC ID: 31371LF46
FNMA POOL #0323980 105.8242 198,9-62.500 207,729.28 210,550.51 0.04% 2,821.23
6.000% 04/01/2014 DD 09/01/99
SEC ID: 31374T2MO
FNMA POOL #0357328 102.8698 31,162.400 32,097.27 32,056.70 0 .01% -40.57
5.000% 01/01/2018 DD 01/01/03
SEC ID: 31376J4M8
FNMA POOL #0357430 102.8711 1,567,770.890 1,585,408.32 1,612,783.00 0.33% 27,374.68
5.000% 09/01/2018 DD 09/01/03
SEC ID: 31376KA71
FNMA POOL #0456482 105.8242 60,877.870 63,560.30 64,423.53 0.01% 863.23
6.000% 02/01/2014 DD 02/01/99
SEC ID: 31381CCT2
FNMA POOL #0509649 105.8242 174,124.630 181,797.00 184,266.03 0.04% 2,469.03
6.000% 09/01/2014 DD 09/01/99
SEC ID: 31383QEWO
FNMA POOL #0535451 105.6992 156,945.330 163,860.74 165,889.99 0.03% 2,029.25
6.000% 06/01/2015 DD 07 /01/00
SEC ID: 31384VZQ8
FNMA POOL #0535672 105.8242 3,395,287.940 3,544,892.83 3,593,036.98 0.74% 48,144.15
6.000% 01/01/2016 DD 12/01/00
SEC ID : 31384WCH1
FNMA POOL #0545296 105.6367 1,101,514.840 1,150,050.34 1,163,604.15 0.24% 13,553.81
6.000% 11/01/2016 DD 10/01/01
SEC ID : 31385HXZO
FNMA POOL #0545580 105.6367 93,756.060 97,887.18 99,040.83 0.02% l ,1'53.65
6.000% 03/01/2017 DD 03/01/02
SEC ID: 31385JCR7
3/8/2004 9:06:00AM PST 4 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOLlDATED -OCSGOO0 10000 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Loss
Description Base Shares Par Base Base Total Base
FNMA POOL #0555101 105.7617 167,579.160 174,963.10 177,234.60 0.04% 2,271.50
6.000% 10/01/2017 DD 11/01/02
SEC ID: 31385WU23
FNMA POOL #0555363 102.8711 375,811.550 387,085.89 386,601.44 0.08% -484.45
5.000% 04/01/2018 DD 03/01/03
SEC ID: 31385W5Yl
FNMA POOL #0555453 102.9336 38,500.450 38,993.74 39,629.90 0.01% 636.16
5.000% 05/01/2018 DD 04/01/03
SEC ID: 31385XBW6
FNMA POOL #0555545 102.8711 313,980.680 323,400.11 322,995.35 0.07% -404.76
5.000% 06/01/2018 DD 05/01/03
SEC ID: 31385XES2
FNMA POOL #0555621 102.8471 1,088,257.290 1,100,500.18 1,119,241.05 0.23% 18,740.87
5.000% 07/01/2018 DD 06/01/03
SEC ID: 31385XG68
FNMA POOL #0576386 105.4510 64,266.100 67,097.82 67,769.28 0.01% 671.46
6.000% 05/01/2016 DD 05/01/01
SEC ID: 31386XJ72
FNMA POOL #0576739 105.6367 171,837.990 179,409.60 181,524.02 0.04% 2,114.42
6.000% 04/01/2016 DD 04/01/01
SEC ID: 31386XV86
FNMA POOL #0580888 105.8867 221,252.730 231,001.67 234,277.26 0.05% 3,275.59
6.000% 05/01/2016 DD 05/01/01
SEC ID: 31387DJ91
FNMA POOL #0594002 105.6367 178,046.840 185,892.02 188,082.84 0.04% 2,190.82
6.000% 07/01/2016 DD 07 /01/01
SEC ID: 31387T3K8
FNMA POOL #0597376 105.6367 233,521.050 243,810.57 246,683.98 0.05% 2,873.41
6.000% 09/01/2016 DD 08/01/01
SEC ID: 31387XT96
FNMA POOL #0605259 105.6367 145,970.820 152,402.66 154,198.79 0.03% 1,796.13
6.000% 09/01/2016 DD 09/01/01
SEC ID: 31388HMG1
FNMA POOL #0608366 105.6367 95,448.930 99,654.65 100,829.12 0.02% 1,174.47
6.000% 10/01/2016 DD 09/01/01
SEC ID: 31388LZ78
FNMA POOL #0616734 105.9492 169,150.770 176,603.97 179,213.92 0.04% 2,609.95
6.000% 12/01/2016 DD 12/01/01
SEC ID: 31388WEF9
FNMA POOL #0630812 105.4742 177,385.020 185,201.05 187,095.35 0.04% 1,894.30
6.000% 02/01/2017 DD 02/01/02
SEC ID: 31389NYH2
3/8/2004 9:06:00AM PST 5 Workbench
@ Asset Detail Report ID: GL8013'
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED -OCSGOO0 10000 2/29/2004 Statu.s: FINAL
Net Umeallzed
Price Cost Market Value %of Gain/Loss
Description Base Shares Par Base Base Total Base
FNMA POOL #0632376 105.7617 801,640.110 836,962.39 847,828.37 0.18% 10,865.98
6.000% 07/01/2017 DD 07 /01/02
SEC ID: 31389QQ50
FNMA POOL #0653116 105.7617 458,461.280 478,662.23 484,876.54 0.10% 6,214.31
6.000% 07/01/2017 DD 07 /01/02
SEC ID: 31390QSD8
FNMA POOL #0673280 105.7617 187,396.020 195,653.16 198,193.25 0.04% 2,540.09
6.000% 08/01/2017 DD 11/01/02
SEC ID: 31391P6R2
FNMA POOL #0681309 102.8711 565,778.390 582,751.74 582,022.40 0.12% -729.34
5.000% 02/01/2018 DD 02/01/03
SEC ID: 31391Y3S4
FNMA POOL #0681334 102.8711 70,619.260 72,737.83 72,646.80 0.02% -91.03
5.000% 02/01/2018 DD 01/01/03
SEC ID: 31391Y4Tl
FNMA POOL #0684908 102.9336 350,637.740 355,130.29 360,924.01 0.07% 5,793.72
5.000% 06/01/2018 DD 05/01/03
SEC ID: 31400D3Rl
FNMA POOL #0685200 102.8711 201,400.290 203,980.74 207,182.67 0.04% 3,201.93
5.000% 03/01/2018 DD 03/01/03
SEC ID: 31400EGH7
FNMA POOL #0685665 102.8711 36,036.560 37,117.66 37,071.20 0.01% -46.46
5.000% 02/01/2018 DD 02/01/03
SEC ID: 31400EW22
FNMA POOL #0686318 102.8711 304,9-49.070 314,097.54 313,704.43 0.07% -393.11
5.000% 03/01/2018 DD 03/01/03
SEC ID: 31400FPB7
FNMA POOL #0688739 102.8711 116,868.030 120,374.07 120,223.42 0.02% -150.65
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31400JEL9
FNMA POOL #0689859 102.9961 126,345.500 127,964.30 130,130.92 0.03% 2,166.62
5.000% 05/01/2018 DD 05/01/03
SEC ID: 31400KMG8
FNMA POOL #0693834 102.8711 734,805.830 756,850.01 755,902.77 0.16% -947.24
5.000% 03/01/2018 DD 03/01/03
SEC ID: 31400PY74
FNMA POOL #0695852 102.8711 266,5-82.080 274,579.54 274,235.89 0.06% -343.65
5.000% 05/01/2018 DD 05/01/03
SEC ID: 31400SBV0
FNMA POOL #0695889 102.8711 826,754.220 851,556.84 850,491.08 0.18% -1,065_.76
5.000% 05/01/2018 DD 05/01/03
SEC ID: 31400SC23
3/8/2004 9:06:00AM PST 6 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCS~CONSOUDATED-OCSGOO0lO0OO 2/29/2004 Status; FINAL
Net Unrealized
Price Cost Market Value %of Gabi/Loss
Description Base Shares Par Base Base Total Base
FNMA POOL #0697026 102.8711 26,296.110 27,085.01 27,051.09 0.01% -33.92
5.000% 05/01/2018 DD 04/01/03
SEC ID: 31400TLF2
FNMA POOL #0698939 105.8867 90,991.820 95,001.15 96,348.25 0.02% 1,347.10
6.000% 09/01/2017 DD 03/01/03
SEC ID: 31400VPY2
FNMA POOL #0702210 102.8471 275,352.960 283,613.55 283,192.53 0.06% -421.02
5.000% 05/01/2018 DD 05/01/03
SEC ID: 31401ADP9
FNMA POOL #0702328 102.8711 146,804.450 148,685.39 151,019.34 0.03% 2,333.95
5.000% 05/01/2018 DD 04/01/03
SEC ID: 31401AHD2
FNMA POOL #0703195 105.9492 78,115.720 81,557.70 82,763.00 0.02% 1,205.30
6.000% 01/01/2017 DD 04/01/03
SEC ID: 31401BGC3
FNMA POOL #0709148 102.8711 297,054.770 305,966.42 305,583.48 0.06% -382.94
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401HZM7
FNMA POOL #0709360 102.9961 693,132.710 702,013.48 713,899.59 0.15% 11,886.11
5.000% 07/01/2018 DD 06/01/03
SEC ID: 31401JB56
FNMA POOL #0709826 102.8711 141,009.260 142,815.94 145,057.76 0.03% 2,241.82
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401JSP4
FNMA POOL #070991 7 102.8711 261,406.040 264,755.30 268,911.24 0.06% 4,155.94
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401JVJ4
FNMA POOL #0709963 102.8471 26,4-62.640 26,801.70 27,216.06 0.01% 414.36
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401JWY0
FNMA POOL #0710235 102.8711 783,890.710 807,407.44 806,396.92 0.17% -1,010.52
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401KBC8
FNMA POOL #0713344 102.8711 25,579.690 26,347.07 26,314.11 0.01% -32.96
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401NP52
FNMA POOL #0713365 102.8711 329,143.330 333,360.48 338,593.33 0.07% 5,232.85
5.000% 07/01/2018 DD 07 /01/03
SEC ID: 31401NQS1
FNMA POOL #0720319 102.8711 946,633.030 958,761.76 973,811.72 0.20% 15,049.96
5.000% 07/01/2018 DD 07 /01/03
SEC ID: 31401WG45
3/8/2004 9:06:00AM PST 7 Workbench
@ Asset Detail Report ID: GL8013•
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOLlDATED -OCSGOO0 10000 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Loss
Description Base Shares Par Base Base Total Base
FNMA POOL #0720369 102.8471 2,415,634.250 2,488,103.28 2,484,409.75 0.51% -3,693.53
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31401WJN0
FNMA POOL #0721629 103.1211 309,918.690 319,216.26 319,591.53 0.07% 375.27
5.000% 07/01/2018 DD 06/01/03
SEC ID: 31401XVW4
FNMA POOL #0723487 102.8711 251,288.400 254,115.40 258,503.12 0.05% 4,387.72
5.000% 06/01/2018 DD 06/01/03
SEC ID: 31402AXQ4
FNMA POOL #0729601 102.9961 422,722.750 428,138.89 435,387.90 0.09% 7,249.01
5.000% 07/01/2018 DD 07 /01/03
SEC ID: 31402HRW3
FNMA POOL #0732873 103.1211 36,308.370 36,773.56 37,441.59 0.01% 668.03
5.000% 11/01/2018 DD 10/01/03
SEC ID: 31402MFN5
FNMA POOL #0737130 102.9961 744,808.980 754,351.84 767,124.13 0.16% 12,772.29
5.000% 10/01/2018 DD 10/01/03
SEC ID: 31402S4P9
FNMA POOL #0738211 102.8471 587,516.820 595,044.39 604,244.01 0.13% 9,199.62
5.000% 10/01/2018 DD 10/01/03
SEC ID: 31402UDQ2
FNMA POOL #0738487 102.8711 220,650.770 223,477.85 226,985.85 0.05% 3,508.00
5.000% 10/01/2018 DD 10/01/03
SEC ID: 31402UNC2
FNMA POOL #0740471 102.8471 694,890.750 703,794.03 714,674.98 0.15% 10,880.95
5.000% 10/01/2018 DD 10/01/03
SEC ID: 31402WT40
FNMA POOL #0740748 102.8711 824,121.710 834,680.76 847,782.99 0.18% 13,102.23
5.000% 10/01/2018 DD 11/01/03
SEC ID: 31402WSH7
FNMA POOL #0743868 102.8471 44,056.470 44,620.94 45,310.80 0.01% 689.86
5.000% 11/01/2018 DD 10/01/03
SEC ID: 31403BMR1
FNMA POOL #0744008 102.8711 1,143,038.750 1,157,683.93 1,175,856.42 0.24% 18,172.49
5.000% 07/01/2018 DD 09/01/03
SEC ID: 31403BR54
FNMA POOL #0744316 102.8471 170,8,80,330 173,069.74 175,745.46 0.04% 2,675.72
5.000% 09/01/2018 DD 09/01/03
SEC ID: 31403B324
FNMA POOL #0747914 102.8711 360,058.770 364,672.03 370,396.38 0.08% 5,724.35
5.000% 11/01/2018 DD 11/01/03
SEC ID: 31403F3X0
3/8/2004 9:06:00AM PST 8 Workbench
® Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED -OCSGOO0 10000 2/29/2004 Status: FINAL
Net UmeaUzed
Price Cost Market Value %of Gain/Loss
Description Base Shares Par Base Base Total Base
FNMA POOL #0748400 102.8471 242,368.110 245,473.46 249,268.57 0.05% 3,795.11
5.000% 08/01/2018 DD 09/01/03
SEC ID: 31403GNR9
FNMA POOL #0748899 102.7859 1,029,279.660 1,042,467.30 1,057,954.40 0.22% 15,487.10
5.000% 12/01/2018 DD 11/01/03
SEC ID: 31403G7L0
FNMA POOL #0750377 102.7859 2 ,528,513.130 2,560,909.70 2,598,955.08 0.54% 38,045.38
5.000% 11/01/2018 DD 11/01/03
SEC ID: 31403JUA2
FNMA POOL #0750380 102.7859 2,121,015.810 2,148,191.34 2,180,105.27 0.45% 31,913.93
5.000% 11/01/2018 DD 11/01/03
SEC ID: 31403JUD6
FNMA POOL #0750445 102.7859 192,600.640 195,068.33 197,966.31 0.04% 2,897.98
5.000% 11/01/2018 DD 11/01/03
SEC ID: 31403JWE2
FNMA POOL #0751960 102.8471 903,9'60.050 915,542.04 929,696.69 0.19% 14,154.65
5.000% 12/01/2018 DD 11/01/03
SEC ID: 31403LMH1
FNMA POOL #0753425 102.8711 962,285.460 973,411.88 989,913.54 0.21% 16,501.66
5.000% 11/01/2018 DD 11/01/03
SEC ID: 31403NA23
FNMA POOL #0755165 102.9961 644,5•03.220 652,760.91 663,813.12 0.14% 11,052.21
5.000% 12/01/2018 DD 11/01/03
SEC ID: 31403Q6A3
FNMA POOL #0756372 102.9961 987,723.590 999,144.14 1,017,316.68 0.21% 18,172.54
5.000% 11/01/2018 DD 11/01/03
SEC ID: 31403SJR8
FORD MOTOR CR CO NT 104.9840 1,000,0,00.000 965,170.00 1,049,840.00 0.22% 84,670.00
6.750% 05/15/2005 DD 05/24/93
SEC ID: 345397GV9
FORD MTR CR CO GLOBAL 101.8590 2,500,000.000 2,495,900.00 2,546,475.00 0.53% 50,575.00
LANDMARK
6.700% 07/16/2004 DD 07 / 16/99
SEC ID: 345397SJ3
GNMA POOL #0596612 105.8594 298,240.360 313,012.57 315,715.40 0.07% 2,702.83
6.500% 09/15/2032 DD 09/01/02
SEC ID: 36200BYH4
GNMA POOL #0569358 105.5844 1,111,796.060 1,137,853.78 1,173,883.11 0.24% 36,029.33
6.500% 04/15/2032 DD 04/01/02
SEC ID: 36200QQK3
GNMA POOL #0569685 105.8906 47,593.890 49,951.27 50,397.47 0.01% 446:20
6.500% 02/15/2032 DD 02/01/02
SEC ID: 36200Q2S2
3/8/2004 9:06:00AM PST 9 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCS~CONSOUDATED-OCSGOO0l00OO 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Loss
Description Base Shares Par Base Base Total Base
GNMA POOL #0570019 105.8906 82,334.610 86,412.75 87,184.63 0.02% 771.88
6.500% 07/15/2032 DD 07 /01/02
SEC ID: 36200RG48
GNMA POOL #0574323 105.8906 475,152.230 498,687.12 503,141.64 0.10% 4,454.52
6.500% 12/15/2031 DD 12/01/01
SEC ID: 36200WAY7
GNMA POOL #0575364 105.8906 48,111.660 50,494.69 50,945.74 0.01% 451.05
6.500% 11/15/2031 DD 11/01/01
SEC ID: 36200XFD6
GNMA POOL #0587117 105.8906 19,804.190 20,785.12 20,970.78 0.00% 185.66
6.500% 06/15/2032 DD 06/01/02
SEC ID: 36201MG22
GNMA POOL #0587439 105.8594 57,442.250 60,287.43 60,808.01 0.01% 520.58
6.500% 11/15/2032 DD 12/01/02
SEC ID: 36201MS45
GNMA POOL #0421389 106.2344 14,230.430 14,935.29 15,117.61 0.00% 182.32
6.500% 04/15/2026 DD 04/01/96
SEC ID: 36206UC23
GNMA POOL #0438057 104.9727 18,5-80.730 17,637.19 19,504.69 0.00% 1,867.50
6.000% 05/15/2028 DD 05/01/98
SEC ID: 36207PTN9
GNMA POOL #0449851 105.7010 22,858.120 23,990.31 24,161.25 0 .01% 170.94
6.500% 01/15/2028 DD 01/01/98
SEC ID: 36208FWL0
GNMA POOL #0457814 104.9102 36,874.700 35,002.14 38,685.31 0.01% 3,683.17
6.000% 10/15/2028 DD 10/01/98
SEC ID: 36208QSB3
GNMA POOL #0465546 104.9102 457,350.130 434,125.32 479,806.75 0.10% 45,681.43
6.000% 08/15/2028 DD 08/01/98
SEC ID: 36209AET3
GNMA POOL #0465555 104.9102 492,575.350 467,561.77 516,761.59 0.11% 49,199.82
6.000% 09/15/2028 DD 09/01/98
SEC ID: 36209AE48
GNMA POOL #0466845 106.1094 62,6,88.680 65,793.73 66,518.57 0.01% 724.84
6.500% 06/15/2028 DD 06/01/98
SEC ID: 36209BTA6
GNMA POOL #0467279 104.9102 20,5,83.780 19,538.51 21,594.48 0.00% 2,055.97
6.000% 10/15/2028 DD 10/01/98
SEC ID: 36209CCQ7
GNMA POOL #0467286 104.9102 396,974.240 376,815.39 416,466.31 0.09% 39,650,92
6.000% 10/15/2028 DD 10/01/98
SEC ID: 36209CCX2
3/8/2004 9:06:00AM PST 10 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOUDATED -OCSGOO0 10000 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Ba•e Total Base
GNMA POOL #0468052 106.1094 113,197.730 118,804.56 120,113.41 0.02% 1,308.85
6.500% 07/15/2028 DD 07 /01/98
SEC ID: 36209C5M4
GNMA POOL #0468330 104.9727 18,797.370 17,842.80 19,732.10 0.00% 1,889.30
6.000% 05/15/2028 DD 05/01/98
SEC ID: 36209DHF4
GNMA POOL #0468339 104.9102 303,602.160 288,184.88 318,509.51 0.07% 30,324.63
6.000% 08/15/2028 DD 08/01/98
SEC ID: 36209DHQO
GNMA POOL #0469688 104.9102 14,926.510 14,168.51 15,659.43 0.00% 1,490.92
6.000% 11/15/2028 DD 11/01/98
SEC ID: 36209EXR8
GNMA POOL #0476041 106.1094 173,701.380 182,033.62 184,313.46 0.04% 2,279.84
6.500% 06/15/2028 DD 06/01/98
SEC ID: 36209MZE7
GNMA POOL #0478626 106.1094 163,857.370 171,717.41 173,868.04 0.04% 2,150.63
6.500% 01/15/2029 DD 01/01/99
SEC ID: 36209QVT9
GNMA POOL #0480598 106.1094 122,832.740 128,724.88 130,337.06 0.03% 1,612.18
6.500% 10/15/2028 DD 10/01/98
SEC ID: 36209S3F6
GNMA POOL #0483452 104.9102 13,151.780 12,483.93 13,797.55 0.00% 1,313.62
6.000% 09/15/2028 DD 09/01/98
SEC ID: 36209WBV3
GNMA POOL #0485527 105.8906 434,633.410 456,161.35 460,236.01 0.10% 4,074.66
6.500% 06/15/2031 DD 06/01/01
SEC ID: 36209YLG 1
GNMA POOL #0485610 105.8906 472,799.940 496,218.31 500,650.79 0.10% 4,432.48
6.500% 07/15/2031 DD 07 /01/01
SEC ID: 36209YN38
GNMA POOL #0485682 105.8906 93,255.940 97,875.02 98,749.29 0.02% 874.27
6.500% 08/15/2031 DD 08/01/01
SEC ID: 36209YRB6
GNMA POOL #0485703 105.8906 84,939.870 89,147.05 89,943.35 0.02% 796.30
6.500% 08/15/2031 DD 08/01/01
SEC ID: 36209YRY6
GNMA POOL #0486720 104.9102 11,930.740 11,324.89 12,516.56 0.00% 1,191.67
6.000% 12/15/2028 DD 12/01/98
SEC ID: 36210AVM6
GNMA POOL #0491103 104.9102 101,165.170 96,027.89 106,132.54 0.02% 10,104,65
6.000% 01/15/2029 DD 01/01/99
SEC ID: 36210FRY4
3/8/2004 9:06:00AM PST 11 Workbench
@ Asset Detail Report ID: GL8013 '
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOLIDATED-OCSGOO0lO0OO 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Ba!!te Total Base
GNMA POOL #0496461 104.9102 391,864.480 371,965.11 411,105.65 0.09% 39,140.54
6.000% 01/15/2029 DD 01/01/99
SEC ID: 36210MQN4
GNMA POOL #0497343 104.9102 22,4-66.060 21,325.21 23,569.18 0.00% 2,243.97
6.000% 12/15/2028 DD 12/01/98
SEC ID: 36210NP45
GNMA POOL #0499153 104.9102 12,629.020 11,987.70 13,249.13 0.00% 1,261.43
6.000% 02/15/2029 DD 02/01/99
SEC ID: 36210QQE5
GNMA POOL #0500917 104.9102 6,547.350 6,214.86 6,868.84 0.00% 653.98
6.000% 04/15/2029 DD 04/01/99
SEC ID: 36210SPA0
GNMA POOL #0503388 104.9102 308,310.430 292,654.04 323,448.97 0.07% 30,794.93
6.000% 03/15/2029 DD 03/01/99
SEC ID: 36210VF55
GNMA POOL #0506636 104.9102 34,318.900 32,576.13 36,004.01 0.01% 3,427.88
6.000% 04/15/2029 DD 04/01/99
SEC ID: 36210YY90
GNMA POOL #0512235 106.0156 10,9'02.290 11,442.29 11,558.13 0.00% 115.84
6.500% 11/15/2029 DD 11/01/99
SEC ID: 36211 GBC6
GNMA POOL #0514326 106.0156 141,672.120 148,467.95 150,194.58 0.03% 1,726.63
6.500% 07/15/2029 DD 07 /01/99
SEC ID: 362 l 1JLF2
GNMA POOL #0530053 105.5778 47,539.930 49,894.65 50,191.63 0.01% 296.98
6.500% 04/15/2031 DD 04/01/01
SEC ID: 36212CZS3
GNMA POOL #0537885 105.8906 104,819.210 110,011.03 110,993.71 0.02% 982.68
6.500% 02/15/2031 DD 02/01/01
SEC ID: 36212MRE1
GNMA POOL #0547512 105.8906 11 ,755.280 12,337.54 12,447.74 0 .00% 110.20
6.500% 04/15/2031 DD 04/01/01
SEC ID: 36212YGV9
GNMA POOL #0547715 105.8906 128,0-04.570 134,144.79 135,544.83 0.03% 1,400.04
6.500% 02/15/2031 DD 02/01/01
SEC ID: 36212YN82
GNMA POOL #0552322 105.8906 69,986.180 73,452.68 74,108.80 0.02% 656.12
6.500% 01/15/2032 DD 01/01/02
SEC ID: 36213ESK3
GNMA POOL #0552466 105.5844 525,568.360 551,600.43 554,918.16 0 .11% 3,317.73
6.500% 03/15/2032 DD 03/01/02
SEC ID: 36213EW36
3/8/2004 9:06:00AM PST 12 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOLIDATED-OCSGOO0 10000 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Market Value %of Gain/Loss
Description Base Shares Par Base Base Total Base
GNMA POOL #0552659 105.8906 405,032.840 425,094.61 428,891.79 0.09% 3,797.18
6.500% 07/15/2032 DD 07 /01/02
SEC ID: 36213E5U6
GNMA POOL #056101 7 105.8906 397,348.740 417,029.91 420,755.04 0.09% 3,725.13
6.500% 07/15/2031 DD 07 /01/01
SEC ID: 36213QG29
GNMA II POOL #0080023 103.1859 213,393.560 216,927.89 220,191.96 0.05% 3,264.07
VAR RT 12/20/2026 DD 12/01/96
SEC ID: 36225CAZ9
GNMA II POOL #080088M 101.4439 311,804.470 318,625.19 316,306.46 0.07% -2,318.73
7.375% 06/20/2027 DD 06/01/97
SEC ID : 36225CC20
GNMA II POOL #0080395 101.7609 260,774.110 258,410.84 265,365.95 0.05% 6,955.11
VAR RT 04/20/2030 DD 04/01/00
SEC ID: 36225CNM4
GNMA II POOL #080408X 101.7600 2,313,261.140 2,289,767.08 2,353,973.38 0.49% 64,206.30
6.500% 05/20/2030 DD 05/01/00
SEC ID: 36225CN28
GENERAL ELEC CAP MTN #TR 00448 101.0150 180,000.000 183,801.60 181,827.00 0.04% -1,974.60
7.250% 05/03/2004 DD 05/01/00
SEC ID: 36962GUR3
GENERAL ELEC CAP MTN #TR 00545 100.0460 1 ,000,0·00.000 1,001,089.00 1,000,460.00 0.21% -629.00
VAR RT 05/20/2004 DD 05/20/02
SEC ID: 36962GYS7
GENERAL MTRS ACCEP CORP SR NT 107.5150 3 ,000,0•00.000 3,064,350.00 3,225,450.00 0.67% 161,100.00
6.125% 08/28/2007 DD 08/29/02
SEC ID: 370425SD3
GOLDMAN SACHS GROUP INC SR NT 103.6560 3 ,000,0•00.000 3,030,030.00 3,109,680.00 0.64% 79,650.00
4.125% 01/15/2008 DD 01/13/03
SEC ID: 38141GCS1
GNMA GTD REMIC TR 2000-9 FH 100.6100 681,084.220 681,084.22 685,238.83 0.14% 4,154.61
VAR RT 02/16/2030
SEC ID: 3837H4NX9
LEHMAN BROS HLDGS INC 100.4370 1,000,000.000 1,045,590.00 1,004,370.00 0.21% -41,220.00
6.625% 04/01/2004 DD 03/26/99
SEC ID: 524908822
MARSH & MCLENNAN COS INC SR NT 101.5000 2,000,000.000 1,992,280.00 2,030,000.00 0.42% 37,720.00
6.625% 06/15/2004 DD 06/14/99
SEC ID: 571748AB8
MORGAN STANLEY NT 101.5310 3 ,200,0·00.000 3,195,648.00 3,248,992.00 0.67% 53,344,00
3.625% 04/01/2008 DD 03/06/03
SEC ID: 617446HW2
3/8/2004 9:06:00AM PST 13 Workbench
@ Asset Detail Report ID: GL8013 '
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
OCSD-CONSOLI.DA TED -OCSGOO0 10000 2/29/2004 Status: FINAL
Net Unrealized
Price Cost Matket Value %or Gain/Loss
Description Base Shares Par Base Base Total Base
NCNB TEX NATL BK DALLAS TEX NT 101.9840 250,000.000 260,870.00 254,960.00 0.05% -5,910.00
9.500% 06/01/2004 DD 06/01/89
SEC ID: 628857DJO
NATIONSBANK CORP SR NTS 101.7960 627,000.000 646,650.18 638,260.92 0.13% -8,389.26
6.125% 07/15/2004 DD 07 /23/98
SEC ID: 638585BJ7
NORWEST FINL INC NTS 100.4530 520,000.000 531,538.80 522,355.60 0.11% -9,183.20
7.200% 04/01/2004 DD 04/07 /97
SEC ID: 669383DG3
PACIFICORP SECD MTN #TR 00ll5 103.6250 3,000,000.000 2,950,530.00 3,108,750.00 0.64% 158,220.00
7.300% 10/22/2004 DD 10/22/92
SEC ID: 69512EEU5
PHILIP MORRIS COS INC NTS 100.4370 1,000,0,00.000 1,052,600.00 1,004,370.00 0.21% -48,230.00
7.500% 04/01/2004 DD 04/01/97
SEC ID: 718154CH8
RESIDENTIAL ASSET 03-RSl 1 AlIB 100.0625 971,042.750 971,042.75 971,649.65 0.20% 606.90
VAR RT 12/25/2033 DD 12/30/03
SEC ID: 760985K83
SBA GTD DEV PARTN 2001-20C 1 109.4900 3 ,497,276.280 3,497,276.28 3,829,167.80 0 .79% 331,891.52
6.340% 03/01/2021
SEC ID: 83162CWO
SBA GTD PARTN CTFS SBIC-PS 01 108.1250 2,241,342.070 2,241,342.07 2,423,451.11 0.50% 182,109.04
6.640% 02/10/20ll DD 02/21/01
SEC ID: 831641DD4
UNITED AIRLS PASSTHRU 01-1 C 16.4700 1,600,0·00.000 1,600,000.00 263,520.00 0.05% -1,336,480.00
6.831% 03/01/2010 DD 08/22/01
SEC ID: 909317BC2
US BANCORP MTN #TR 00119 100.9530 1 ,000,0,00.000 1,046,310.00 1,009,530.00 0.21% -36,780.00
6.000% 05/15/2004 DD 05/ 10/99
SEC ID: 9ll59HEY2
U S TREASURY NOTES 111.8750 20 ,000,0·00.000 22,620,312.50 22,375,000.00 4.64% -245,312.50
06.250% 02/15/2007 DD 02/15/97
SEC ID: 9128272JO
US TREASURY INFLATION INDEX NT 110.0940 16 ,286,0·60.000 14,368,ll8.33 17,929,974.90 3.72% 3,561,856.57
3.375% 01/15/2007 DD 01/15/97
SEC ID: 9128272M3
US TREASURY INFLATION INDEX NT 112.8750 3,422,490.000 3,731,991.35 3,863,135.59 0.80% 131,144.24
3.625% 01/15/2008 DD 01/15/98
SEC ID: 9128273T7
US TREASURY INFLATION INDEX NT 115.7190 14,609,660.000 16,235,020.11 16,906,152.46 3.50% 671,132,35
3.875% 01/15/2009 DD 01/15/99
SEC ID: 9128274Y5
3/8/2004 9:06:00AM PST 14 Workbench
@ Asset Detail Report ID: GL8013
Mellon Base Currency: USD
by Currency Alternate Base Currency:
Exchange Rate:
0CSOC0NS0UDATED -OCSGOOO 10000 2/29/2004 Status: FINAL
Net UnteaUzed
Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base
U S TREASURY NOTES 107.2190 57,100,()100.000 62,782,901.47 61,222,049.00 12.69% -1,560,852.47
05.750% 11/15/2005 DD 11/15/00
SEC ID: 9128276N7
U S TREASURY NT 102.0600 12,000,000.000 11,870,156.25 12,247,200.00 2.54% 377,043.75
3.250% 08/15/2008 DD 08/15/03
SEC ID: 912828BG4
U S TREASURY NOTES 100.5300 81,000,000.000 81,284,765.63 81,429,300.00 16.87% 144,534.37
1.875% 01/31/2006 DD 01/31/03
SEC ID: 912828BX7
VIRGINIA ELEC & PWR O 1 SER A 107.1710 1,750,000.000 1,743,840.00 1,875,492.50 0.39% 131,652.50
5.750% 03/31/2006 DD 03/27 /01
SEC ID: 927804ENO
WELLS FARGO & CO NEW NT 101.9680 125,0,00.000 128,605.00 127,460.00 0.03% -1,145.00
6.625% 07/15/2004 DD 07 /28/99
SEC ID: 949746M9
TOTAL FIXED INCOME SECURITIES 342,972,189.390 354,135,673.05 359,375,504.27 74.47% 5,239,831.22
TOTAL ASSETS U.S. DOLLAR 463,371,777.710 477,345,955.43 482,585,786.65 100.00% 5,239,831.22
TOTAL ASSETS -BASE: 463,371,777.710 477,345,955.43 482,585,786.65 100.00% 5,239,831.22
3/8/2004 9:06:00AM PST 15 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATED -OCSGOOOlOOOO 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
PURCHASES
CASH & CASH EQUIVALENTS
U.S. DOLLAR
B FEDERAL HOME LN BKS CONS DISC MAT 2/20/2004 99.9238 4,100,000.000 4,096,874.89 -4,096,874.89 0.00
03/19/2004 2/20/2004 SEC ID: 313384UM9 2/20/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
B FEDERAL HOME LN BKS CONS DISC MAT 2/4/2004 99.7434 2,500,000.000 2,493,585.76 -2,493,585.76 0.00
05/05/2004 2/4/2004 SEC ID: 313384WL9 2/4/2004 OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL HOME LN BK CONS DISC N MAT 2/24/2004 99.7472 1,700,000.000 1,695,702.78 -1,695,702.78 0.00
05/26/2004 2/25/2004 SEC ID: 313384XH7 2/24/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL HOME LN MTG CORP DISC MAT 2/2/2004 99.7381 4,700,000.000 4,687,688.61 -4,687,688.61 0.00
5/5/2004 2/2/2004
SEC ID: 313396WK5 2/2/2004 BROKER: CHASE SECURITIES, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
B FEDERAL HOME LN MTG CORP DISC MAT 2/4/2004 99.7450 2,500,000.000 2,493,625.00 -2,493,625.00 0.00
5/5/2004 2/4/2004 SEC ID: 313396WK5 2/4/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL HOME LN MTG CORP DISC MAT 2/19/2004 99.7528 3,900,000.000 3,890,358.33 -3,890,358.33 0.00
05/18/2004 2/19/2004 SEC ID: 313396WZ2 2/19/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07522202: LONGTERM OPER-PIMCO
B FEDERAL HOME LN MTG CORP DISC MAT 2/19/2004 99.7528 3,900,000.000 3,890,358.33 -3,890,358.33 0.00
05/18/2004 2/19/2004 SEC ID: 313396WZ2 2/19/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 1 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCS D--CONSOLI DATE DO!ill!2 0 J D ••J ••O•• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date .. -•
Tran Settle Date Price Cost Amount Net Gain/Losa
Type Description Reported Date Base Shares/Par Base Base Base
B FEDERAL HOME LN MTG CORP DISC MAT 2/19/2004 99.7528 2,900,000.000 2,892,830.56 -2,892,830.56 0.00
05/18/2004 2/19/2004 SEC ID: 313396WZ2 2/19/2004 BROKER: MORGAN STANLEY & CO INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
B FEDERAL HOME LN MTG CORP DISC MAT 2/26/2004 99.7722 6,000,000.000 5,986,333.33 -5,986,333.33 0.00
05/18/2004 2/26/2004 SEC ID: 313396WZ2 2/26/2004 BROKER: CITIGROUP GBLMKTS/SALOMON,
NEW YORK
OCSF07511102 : LIQUID OPER-PIMCO
B FEDERAL HOME LN MTG CORP DISC MAT 2/24/2004 99.7472 2,000,000.000 1,994,944.44 -1,994,944.44 0.00
05/25/2004 2/24/2004 SEC ID: 313396XG3 2/24/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL NATL MTG ASSN DISCOUNT MAT 2/4/2004 99.7422 400,000.000 398,968.67 -398,968.67 0.00
05/05/2004 2/4/2004
SEC ID: 313588WL5 2/4/2004 BROKER: MORGAN STANLEY & CO INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
B FEDERAL NATL MTG ASSN DISCOUNT MAT 2/13/2004 99.7528 6,500,000.000 6,483,930.56 -6,483,930.56 0.00
05/12/2004 2/13/2004 SEC ID: 313588WT8 2/13/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07511102 : LIQUID OPER-PIMCO
B FEDERAL NATL MTG ASSN DISCOUNT MAT 2/19/2004 99.7500 3,900,000.000 3,890,250.00 -3,890,250.00 0.00
05/19/2004 2/19/2004 SEC ID: 313588XAB 2/19/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07522202: LONG TERM OPER-PIMCO
8 FEDERAL NATL MTG ASSN DISCOUNT MAT 2/19/2004 99.7500 2,900,000.000 2,892,750.00 -2,892,750.00 0.00
05/19/2004 2/19/2004 SEC ID: 313588XA8 2/19/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONGTERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 2 Workbench
@ Transaction Detail Report ID: EWB009
,
Mellon Reported by Transaction Category Base Currency: USD
ocs D-CO NS OLI DATE D!llllJ2 7 nn nnflnlll[]rJ 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Ainount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
B FEDERAL NATL MTG ASSN DISCOUNT MAT 2/19/2004 99.7500 5,000,000.000 4,987,500.00 -4,987,500.00 0.00
05/19/2004 2/19/2004 SEC ID: 313588XA8 2/19/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL NATL MTG ASSN DISCOUNT MAT 2/24/2004 99.7639 2,000,000.000 1,995,277.78 -1,995,277.78 0.00
05/19/2004 2/24/2004 SEC ID: 313588XA8 2/24/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B FEDERAL NATL MTG ASSN DISCOUNT MAT 2/19/2004 99.6195 3,900,000.000 3,885,159.42 -3,885,159.42 0.00
07/01/2004 2/19/2004 SEC ID: 313588YV1 2/19/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
B US TREASURY BILL DUE 08/05/2004 DD 2/10/2004 99.5197 23,100,000.000 22,989,043.00 -22,989,043.00 0.00
02/05/2004 2/11/2004 SEC ID: 912795QW4 2/10/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.990% 02/03/2004 2/2/2004 100.0000 15,400,000.000 15,400,000.00 -15,400,000.00 0.00
DD 02/02/04 2/2/2004 SEC JD: 994150617 2/2/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.950% 02/04/2004 2/3/2004 100.0000 15,400,000.000 15,400,000.00 -15,400,000.00 0.00
DD 02/03/04 2/3/2004 SEC ID: 9941SW209 2/3/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102 : LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.920%02/05/2004 2/4/2004 100.0000 15,600,000.000 15,600,000.00 -15,600,000.00 0.00
DO 02/04/04 2/4/2004 SEC ID: 99415X439 2/4/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 3 Workbench
@ Transaction Detail ReportlD: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE DOlllli2 D JD •••••u•C-J 2/2/2004-2/27/2004 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 SUISSE FB REPO 00.960%02/06/2004 2/5/2004 100.0000 16,600,000.000 16,600,000.00 -16,600,000.00 0.00
DD 02/05/04 2/5/2004 SEC ID: 99415Y965 2/5/2004 'BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF0751 l102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.960%02/09/2004 2/6/2004 100.0000 16,600,000.000 16,600,000.00 -16,600,000.00 0.00
DD 02/06/04 2/6/2004 SEC JD: 994152301 2/6/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.970% 02/11/2004 2/10/2004 100.0000 17,200,000.000 17,200,000.00 -17,200,000.00 0.00
DD 02/10/04 2/10/2004 SEC ID: 99416C053 2/10/2004 BROKER: CRE DIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.950% 02/12/2004 2/11/2004 100.0000 17,200,000.000 17,200,000.00 -17,200,000.00 0.00
DB02/ll/04 2/11/2004 SEC rr:i: 9.9416E042 2/11/2004 BROKER CRE DIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO O 1.000% 02/13/2004 2/12/2004 100.0000 17,300,000.000 17,300,000.00 -17,300,000.00 0.00
DD 02/ 12/04 2/12/2004 SEC CD: 99416G195 2/12/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.980% 02/17/2004 2/13/2004 100.0000 15,000,000.000 15,000,000.00 -15,000,000.00 0.00
DD 02/13/04 2/13/2004 SEC ID: 9;9416H482 2/13/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 4 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE DJ[][][2 D DD DDD••DD• 2/2/2004 -2/27/2004 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 SUISSE FB REPO O 1.010% 02/18/2004 2/17/2004 100.0000 12,400,000.000 12,400,000.00 -12,400,000.00 0.00
DD 02/17/04 2/17/2004 SEC ID: 99416H938 2/17/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF0751 l 102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO O 1.010% 02/18/2004 2/17/2004 100.0000 23,400,000.000 23,400,000.00 -23,400,000.00 0.00
DD 02/ F /04 2/17/2004 SEC ID: 99416H938 2/17/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
B CREDIT SUISSE FB REPO 00.990%02/19/2004 2/18/2004 100.0000 23,400,000.000 23,400,000.00 -23,400,000.00 0.00
DD 02/18/04 2/18/2004 SEC ID: 99416K527 2/18/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
B CREDIT SUISSE FB REPO 00.950% 02/19/2004 2/18/2004 100.0000 9,200,000.000 9,200,000.00 -9,200,000.00 0.00
DD 02/18/04 2/18/2004 SEC ID: 994161327 2/18/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B LEHMAN CAT 2 REPO 00.900% 02/19/2004 DD 2/18/2004 100.0000 9,000,000.000 9,000,000.00 -9,000,000.00 0.00
02/18/04 2/18/2004
SEC ID: 994161707 2/18/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
B LEHMAN CAT 2 REPO 00.950%02/20/2004 DD 2/19/2004 100.0000 5,000,000.000 5,000,000.00 -5,000,000.00 0.00
02/19/04 2/19/2004
SEC ID: 99416M762 2/19/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.960% 02/20/2004 2/19/2004 100.0000 4,100,000.000 4,100,000.00 -4,100,000.00 0.00
DD 02/19/04 2/19/2004
SEC ID: 99416M994 2/19/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 5 Workbench
@ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE Dilll!2 0 OD o•o••O[ILJ 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gabi/Loss
Type Description Reported Date Base Shares/Par Base Base Base
B CREDIT SUISSE FB REPO 00.950% 02/23/2004 2/20/2004 100.0000 13,400,000.000 13,400,000.00 -13,400,000.00 0.00
DD 02/20/04 2/20/2004 SEC fD: 99416P344 2/20/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.970%02/24/2004 2/23/2004 100.0000 13,400,000.000 13,400,000.00 -13,400,000.00 0.00
DD 02/23/04 2/23/2004 SEC IO: 9"9416Q896 2/23/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B LEHMAN CAT 2 REPO 00.950% 02/25/2004 DD 2/24/2004 100.0000 11,900,000.000 11,900,000.00 -11,900,000.00 0.00
02/24/04 2/24/2004 SEC JD; 99416Sl 99 2/24/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.950% 02/26/2004 2/25/2004 100.0000 11,200,000.000 11,200,000.00 -11,200,000.00 0.00
DD 02/25/04 2/25/2004
SEC ID: 99416T858 2/25/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
B LEHMAN CAT 2 REPO 00.950% 02/26/2004 DD 2/25/2004 100.0000 300,000.000 300,000.00 -300,000.00 0.00
02/25/04 2/25/2004
SEC ID: 99416U079 2/25/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
B LEHMAN CAT 2 REPO 00.990% 02/27/2004 DD 2/26/2004 100.0000 12,300,000.000 12,300,000.00 -12,300,000.00 0.00
02/26/04 2/26/2004 SEC ID: 99416V721 2/26/2004 BR0KER: LEHMAN GOVT SECS INC, NY
OCSF0751 l 102: LIQUID OPER-PIMCO
B CREDIT SUISSE FB REPO 00.980% 03/01/2004 2/27/2004 100.0000 12,300,000.000 12,300,000.00 -12,300,000.00 0.00
DD 02/27/04 2/27/2004 SEC ID: 99416W828 2/27/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 6 Workbench
@ Transaction Detail ReportID: EWB009 . •
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDO!lllI2•0 ••••••••• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
B DREYFUS TREASURY CASH MGMT 2/2/2004 1.0000 34,307.390 34,307.39 -34,307.39 0.00
SEC ID: 996085247 2/2/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/2/2004
B DREYFUS TREASURY CASH MGMT 2/3/2004 1.0000 423.500 423.50 -423.50 0.00
SEC ID: 996085247 2/3/2004 OCSF07511102: LIQUID OPER-PIMCO 2/3/2004
B DREYFUS TREASURY CASH MGMT 2/4/2004 1.0000 13,921.300 13,921.30 -13,921.30 0.00
SEC ID: 996085247 2/4/2004 OCSF07511102: LIQUID OPER-PIMCO 2/4/2004
B DREYFUS TREASURY CASH MGMT 2/4/2004 1.0000 8,049.530 8,049.53 -8,049.53 0.00
SEC ID: 996085247 2/4/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/4/2004
B DREYFUS TREASURY CASH MGMT 2/5/2004 1.0000 398.670 398.67 -398.67 0.00
SEC ID: 996085247 2/5/2004 OCSF07511102: LIQUID OPER-PIMCO 2/5/2004
B DREYFUS TREASURY CASH MGMT 2/6/2004 1.0000 442.670 442.67 -442.67 0.00
SEC ID: 996085247 2/6/2004
OCSF07511102: LIQUID OPER-PIMCO 2/6/2004
B DREYFUS TREASURY CASH MGMT 2/9/2004 1.0000 17,201,328.000 17,201,328.00 -17,201,328.00 0.00
SEC ID: 996085247 2/9/2004 OCSF07511102: LIQUID OPER-PIMCO 2/9/2004
B DREYFUS TREASURY CASH MGMT 2/10/2004 1.0000 225,045.570 225,045.57 -225,045.57 0.00
SEC ID: 996085247 2/10/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/10/2004
B DREYFUS TREASURY CASH MGMT 2/11/2004 1.0000 367.740 367.74 -367.74 0.00
SEC ID: 996085247 2/11/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/11/2004
B DREYFUS TREASURY CASH MGMT 2/11/2004 1.0000 83,610.440 83,610.44 -83,610.44 0.00
SEC ID: 996085247 2/11/2004 OCSF07511102: LIQUID OPER-PIMCO 2/11/2004
3/8/2004 9:09:0SAM PST 7 Workbench
@ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE D[Il][][2 •OD•••••••• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gahl/Loss
Type Description Reported Date Base Shares/Par Base Base Base
B DREYFUS TREASURY CASH MGMT 2/13/2004 1.0000 15,016,550.000 15,016,550.00 -15,016,550.00 0.00
SEC ID: 996085247 2/13/2004 OCSF0751 l 102 : LIQUID OPER-PIMCO 2/13/2004
B DREYFUS TREASURY CASH MGMT 2/13/2004 1.0000 199,628.440 199,628.44 -199,628.44 0.00
SEC ID: 996085247 2/13/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/13/2004
B DREYFUS TREASURY CASH MGMT 2/17/2004 1.0000 1,832,876.560 1,832,876.56 -1,832,876.56 0.00
SEC ID: 996085247 2/17/2004
OCSF07522202: LONG TERM OPER-PIMCO 2/17/2004
B DREYFUS TREASURY CASH MGMT 2/18/2004 1.0000 200,347.890 200,347.89 -200,347.89 0.00
SEC ID: 996085247 2/18/2004 OCSF07511102: LIQUID OPER-PIMCO 2/18/2004
B DREYFUS TREASURY CASH MGMT 2/18/2004 1.0000 28,282.300 28,282.30 -28,282.30 0.00
SEC ID: 996085247 2/18/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/18/2004
B DREYFUS TREASURY CASH MGMT 2/19/2004 1.0000 8,212,967.780 8,212,967.78 -8,212,967.78 0.00
SEC ID: 996085247 2/19/2004 OCSF07511102: LIQUID OPER-PIMCO 2/19/2004
B DREYFUS TREASURY CASH MGMT 2/20/2004 1.0000 124,804.930 124,804.93 -124,804.93 0.00
SEC ID: 996085247 2/20/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/20/2004
B DREYFUS TREASURY CASH MGMT 2/23/2004 1.0000 1,060.830 1,060.83 -1,060.83 0.00
SEC ID: 996085247 2/23/2004 OCSF07511102: LIQUID OPER-PIMCO 2/23/2004
B DREYFUS TREASURY CASH MGMT 2/24/2004 1.0000 10,138.840 10,138.84 -10,138.84 0.00
SEC ID: 996085247 2/24/2004 OCSF07511102: LIQUID OPER-PIMCO 2/24/2004
B DREYFUS TREASURY CASH MGMT 2/25/2004 1.0000 704,611.250 704,611.25 -704,611.25 0.00
SEC ID: 996085247 2/25/2004 OCSF07511102: LIQUID OPER-PIMCO 2/25/2004
3/8/2004 9:09:0SAM PST 8 Workbench
Transaction Detail .
@ ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDJlllI:2 J JD JJJJJCJJIJ 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
B DREYFUS TREASURY CASH MGMT 2/25/2004 1.0000 760,677.110 760,677.11 -760,677.11 0.00
SEC ID: 99608.5247 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/25/2004
TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 434,159,840.740 433,905,022.20 -433,905,022.20 0.00
TOTAL CASH & CASH EQUIVALENTS BASE: 434,159,840.740 433,905,022.20 -433,905,022.20 0.00
FIXED INCOME SECURITIES
U.S. DOLLAR
B COMMIT TO PUR FNMA SF MTG 5 .500% 2/27/2004 102.2813 2,100,000.000 2,147,906.25 -2,147,906.25 0.00
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F052631 2/27/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07522202: LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 5.500% 2/27/2004 102.2813 700,000.000 715,968.75 -715,968.75 0.00
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F052631 2/27/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07522202: LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6.000% 2/3/2004 103.5000 1,000,000.000 1,035,000.00 -1,035,000.00 0.00
03/01/2033 DD 03/01 /03 3/15/2004 SEC ID: 01F060634 2/3/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6 .000% 2/3/2004 103.5000 1,000,000.000 1,035,000.00 -1,035,000.00 0.00
03/01/2033 DD 03/01 /03 3/15/2004 SEC ID: 01F060634 2/3/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6.000% 2/3/2004 103.5000 500,000.000 517,500.00 -517,500.00 0.00
03/01/2033 DD 03/01 /03 3/15/2004 SEC ID: 01F060634 2/3/2004 BROKER: BEAR STEARNS & CO INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 9 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE DOilllI2 J JO ••JOO ••• 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Baile
B COMMIT TO PUR FNMA SF MTG 6 .000% 2/6/2004 103.6406 500,000.000 518,203.12 -518,203.12 0.00
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/6/2004 BROKER: CHASE/GREENWICH CAP, NEW
YORK
OCSF07522202: LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6.000% 2/6/2004 103.7344 1,000,000.000 1,037,343.75 -1,037,343.75 0.00
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/6/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6 .000% 2/18/2004 103.6250 500,000.000 518,125.00 -518, 125.00 0.00
04/01/2033 DD 04/01 /03 4/15/2004 SEC ID: 01F060642 2/18/2004 BROKER: BEAR STEARNS & CO INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6.000% 2/18/2004 103.6250 2,000,000.000 2,072,500.00 -2,072,500.00 0.00
04/01/2033 DD 04/01 /03 4/15/2004 SEC ID: 01F060642 2/18/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
B COMMIT TO PUR FNMA SF MTG 6.000% 2/18/2004 103.6094 500,000.000 518,046.87 -518,046.87 0.00
04/01/2033 DD 04/01 /03 4/15/2004
SEC ID: 01F060642 2/18/2004 BROKER: CHASE/GREENWICH CAP, NEW
YORK
OCSF07522202: LONG TERM OPER-PIMCO
B CITIGROUP INC SR GLOBAL NT FLTG RT 2/13/2004 100.0170 2,700,000.000 2,700,459.00 -2, 700,459.00 0.00
03/09/2004 DD 03/09 /01 2/17/2004
SEC ID: l 72967BEO 2/13/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07511102: LIQUlD OPER-PIMCO
1B CITIGROUP INC SR GLOBAL NT FLTG RT 2/13/2004 100.0170 0.000 0.00 -797.25 0.00
03/09/2004DD 03/09/01 2/17/2004 SEC ID: l 72967BEO 2/13/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 10 Workbench
@ Transaction Detail ReportlD: EWB009 .
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATED7rnlf27000f"l70f7!J•D 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
B USTREASURYNOTES l.875%01/31/2006DD 2/11/2004 100.3516 50,000,000.000 50,175,781.25 -50,175,781.25 0.00
01/31/03 2/12/2004 SEC ID: 912828BX7 2/11/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IB US TREASURY NOTES l.875%01/31/2006 DD 2/11/2004 100.3516 0.000 0.00 -30,906.59 0.00
0l/3t/03 2/12/2004 SEC ID: 912828BX7 2/11/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
B US TREASURY NOTES l.875%01/31/2006 DD 2/11/2004 100.3516 31,000,000.000 31,108,984.38 -31,108,984.38 0.00
01/ 31/03 2/12/2004 SEC CD: 912828BX7 2/11 /2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IB US TREASURY NOTES 1.875% 01/31/2006 DD 2/11/2004 100.3516 0.000 0.00 -19,162.09 0.00
01/ 31/03 2/12/2004
SEC ID: 912828BX7 2/11/2004 BROKER: MERRILL "LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: 93,500,000.000 94,100,818.37 -94,151,684.30 0.00
TOTAL FIXED INCOME SECURITIES BASE: 93,500,000.000 94,100,818.37 -94,151,684.30 0.00
TOTAL PURCHASES BASE: 527,659,840.740 528,005,840.57 -528,056, 706.50 0.00
SALES
CASH & CASH EQUIVALENTS
U.S. DOLLAR
s EUROPEAN INVEST DISC 03/15/2004 2/12/2004 99.7321 -900,000.000 -897,588.50 897,588.50 0.00
SEC ID: 29878RCF3 2/12/2004 BROKER: LEHMAN GOVT SECS INC, NY 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 11 Workbench
@ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE Dorn:rn CJ CJD •••••om 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
IS EUROPEAN INVEST DISC 03/15/2004 2/12/2004 99.7321 0.000 0.00 1,603.50 0.00
SEC ID: 29878RCF3 2/12/2004 BROKER: LEHMAN GOVT SECS INC, NY 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL HOME LN BK CONS DISC N MAT 2/12/2004 99.7510 -11,800,000.000 -11,770,622.63 11,770,622.63 0.00
04/14/2004 2/12/2004 SEC ID: 313384VP1 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL HOME LN BK CONS DISC N MAT 2/12/2004 99.7510 0.000 0.00 9,258.37 0.00
04/14/2004 2/12/2004 SEC ID: 313384VP1 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL HOME LN BK CONS DISC N MAT 2/12/2004 99.7460 -900,000.000 -897,713.63 897,713.63 0.00
04/28/2004 2/12/2004 SEC ID: 313384WD7 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL HOME LN BK CONS DISC N MAT 2/12/2004 99.7460 0.000 0.00 671.37 0.00
04/28/2004 2/12/2004 SEC ID: 313384WD7 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.5807 -2,100,000.000 -2,091,194.00 2,091,194.00 0.00
03/22/2004 2/12/2004
SEC ID: 3 l3396UQ4 2/12/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.5807 0.000 0.00 6,622.00 0.00
03/22/2004 2/12/2004 SEC ID: 313396UQ4 2/12/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 12 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE DODill2 • •• •••••••• 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
s FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7528 -10,000,000.000 -9,975,277.78 9,975,277.78 0.00
04/13/2004 2/12/2004 SEC ID: 313396VNO 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7528 0.000 0.00 7,947.22 0.00
04/13/2004 2/12/2004 SEC ID: 313396VNO 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7472 -1,700,000.000 -1,695,702.78 1,695,702.78 0.00
04/20/2004 2/12/2004 SEC ID: 313396VV2 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7472 0.000 0.00 1,118.22 0.00
04/20/2004 2/12/2004 SEC ID: 313396VV2 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONGTERM OPER-PIMCO
s FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7478 -1,200,000.000 -1,196,974.00 1,196,974.00 0.00
04/27/2004 2/12/2004 SEC ID: 313396WC3 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7478 0.000 0.00 578.50 0.00
04/27/2004 2/12/2004 SEC ID: 313396WC3 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7381 -4,700,000.000 -4,687,688.61 4,687,688.61 0.00
5/5/2004 2/12/2004 SEC ID: 313396WK5 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 13 Workbench
@ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
ocs D-CONSOLI DATE DJllili2 0 00 ••o••o•o 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Ttan Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
IS FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 99.7381 0.000 0.00 1,584.42 0.00
5/5/2004 2/12/2004 SEC ID: 313396WK5 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202 : LONG TERM OPER-PIMCO
s FEDERAL NATL MTG ASSN DISC NT 2/12/2004 99.7148 -2,400,000.000 -2,393,155.61 2,393,155.61 0.00
SEC ID: 313588TF2 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY 2/12/2004
OCSF07522202: LONGTERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISC NT 2/12/2004 99.7148 0.000 0.00 6,487.19 0.00
SEC ID: 3 13588TF2 2 /12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY 2/12/2004
OCSF07522202 : LONG TERM OPER-PIMCO
s FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.5530 -3,800,000.000 -3,783,014.00 3,783,014.00 0.00
02/19/2004 2/12/2004 SEC ID: 313588TGO 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202 : LONG TERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.5530 0.000 0.00 16,326.17 0.00
02/19/2004 2/12/2004 SEC ID: 313588TGO 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7450 -8,400,000.000 -8,378,580.00 8,378,580.00 0.00
02/25/2004 2/12/2004
SEC ID: 313588TN5 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7450 0.000 0.00 18,626.30 0.00
02/25/2004 2/12/2004 SEC ID: 313588TN5 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 14 Workbench
Transaction Detail . @ Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DJillli2 •cm •••[]•••• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
s FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7270 -400,000.000 -398,908.00 398,908.00 0.00
03/03/2004 2/12/2004 SEC ID: 313588TV7 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7270 0.000 0.00 914.22 0.00
03/03/2004 2/12/2004 SEC ID: 313588TV7 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7350 -1,000,000.000 -997,350.00 997,350.00 0.00
03/10/2004 2/12/2004 SEC ID: 313588UC7 2/12/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7350 0.000 0.00 1,937.50 0.00
03/10/2004 2/12/2004 SEC ID: 313588UC7 2/12/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL NATL MTG ASSN DISC 2/12/2004 99.7346 -1,100,000.000 -1,097,080.42 1,097,080.42 0.00
SEC ID: 313588UK9 2/12/2004 BROKER: GOLDMAN SACHS & CO, NY 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISC 2/12/2004 99.7346 0.000 0.00 1,922.25 0.00
SEC ID: 313588UK9 2/12/2004 BROKER: GOLDMAN SACHS & CO, NY 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
s FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7422 -400,000.000 -398,968.67 398,968.67 0.00
05/05/2004 2/12/2004 SEC ID: 313588WL5 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FEDERAL NATL MTG ASSN DISCOUNT MAT 2/12/2004 99.7422 0.000 0.00 107.26 0.00
05/05/2004 2/12/2004 SEC ID: 313588WL5 2/12/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 15 Workbench
@ Transaction Detail ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DJlll[2 DOD•••••••• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Lo88
Type Description Reported Date Base Shares/Par Base Base Base
s GENERAL ELEC CAP DISC 04/07/2004 2/12/2004 99.6331 -1,800,000.000 -1,793,395.50 1,793,395.50 0.00
SEC ID: 36959HD79 2/12/2004 BROKER: LEHMAN GOVT SECS INC, NY 2/12/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IS GENERAL ELEC CAP DISC 04/07/2004 2/12/2004 99.633 1 0.000 0.00 3,758.25 0.00
SEC ID: 36959HD79 2/12/2004 BROKER: LEHMAN GOVT SECS INC, NY 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
s U S TREASURY BILL DUE 02/12/2004 DD 2/10/2004 99.5160 -1,200,000.000 -1,194,191.67 1,194,191.67 0.00
08/14/2003 2/11/2004 SEC ID: 912795PKI
BROKER: JP MORGAN CHASE BK/HSBCI, NEW 2 /10/2004
YORK
OCSF07511102: LIQUID OPER-PIMCO
IS US TREAS URY BILL DUE 02/12/2004 DD 2/10/2004 99.5160 0.000 0.00 5,785.00 0.00
08/14/2003 2/11/2004 SEC ID: 91279 5PK1
BROKER: JP MORGAN CHASE BK/HSBC!, NEW 2/10/2004
YORK
OCSF0751 l 102: LIQUID OPER-PIMCO
s US TREASURY BILL 0.000% 03/11/2004 DD 2/10/2004 99.7575 -9,200,000.000 -9,177,690.00 9,177,690.00 0.00
09/ 11/03 2/11/2004
SEC ID: 912795PPO
BROKER: JPMORGAN CHASE BK/HSBC!, NEW 2/10/2004
YORK
OCSF07511102: LIQUID OPER-PIMCO
IS US TREASURY BILL 0 .000% 03/11/2004 DD 2/10/2004 99.7575 0.000 0.00 15,788.22 0.00
09/ 11/03 2/11/2004 SEC ID: 9 12795PPO
BROKER: JP MORGAN CHASE BK/HSBC!, NEW 2/ l0/2004
YORK
OCSF07511102 : LIQUID OPER-PIMCO
s US TREASURY BILL 0.000% 03/18/2004 DD 2/10/2004 99.7853 -6, 500,000.000 -6,486,041.25 6,486,041.25 0.00
09/18/03 2/11/2004 SEC ID: 912795PQ8 2/10/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 16 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USO
OCSD-CONSOLIDATE DJDDi2 • •• ••••••rJ• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gahl/Loss
Typa Description Reported Date Base Shares/Par Base Base Base
IS US TREASURY BILL 0.000% 03/18/2004 DD 2/10/2004 99.7853 0.000 0.00 8,758.75 0.00
09/18/03 2/11/2004 SEC ID: 912795PQ8 2/10/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102: LIQUID OPER-PIMCO
s UNITED STATES TREASURY BILL DUE 2/12/2004 99.4870 -17 ,000,000.000 -16,912,790.02 16,912,790.02 0.00
04/22/200400 10/23/03 2/12/2004 SEC ID: 912795PV7 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS UNITED STATES TREASURY BILL DUE 2/12/2004 99.4870 0.000 0.00 58,980.54 0.00
04/22/2004 DD 10/23 /03 2/12/2004 SEC ID: 912795PV7 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
s US TREASURY BILL 0.000% 04/29/2004 DD 2/12/2004 99.4843 -3,800,000.000 -3,780,404.67 3,780,404.67 0.00
10/30/03 2/12/2004 SEC ID: 912795PW5 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS US TREASURY BILL 0.000% 04/29/2004 DD 2/12/2004 99.4843 0.000 0.00 12,434.76 0.00
10/30/03 2/12/2004 SEC ID: 912795PW5 2/12/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
s US TREASURY BILL 0.000% 04/29/2004 DD 2/13/2004 99.4843 -200,000.000 -198,968.67 198,968.67 0.00
10/30/03 2/13/2004 SEC ID: 912795PW5 2/13/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
IS US TREASURY BILL 0.000% 04/29/2004 DD 2/13/2004 99.4843 0.000 0.00 659.77 0.00
10/30/03 2/13/2004 SEC ID: 912795PW5 2/13/2004 BROKER: MERRILL LYNCH PIERCE FENNER
SMITH INC NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 17 Workbench
® Transaction Detail ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDcm2••••••••0 •• 2/2/2004-2/27/2004 Status: FINAL
Tt'ade Date
Tran Settle Date Price Coat Amount Net GaiA/Loss
Type Description Reported Date Base Shares/Par Base Base Base
s US TREASURY BILL 0.000% 05/27/2004 DD 2/10/2004 99.4906 -6,200,000.000 -6,168,416.07 6,168,416.07 0.00
11/28/03 2/11/2004 SEC ID: 912795QA2 2/10/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102: LIQUID OPER-PIMCO
IS US TREASURY BILL 0.000% 05/27/2004 DD 2/10/2004 99.4906 0.000 0.00 15,519.04 0.00
11/ 28/03 2/11/2004 SEC ID: 912795QA2 2/10/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07511102 : LIQUID OPER-PIMCO
s FIRST BOSTON CORP REPO 00.970% 2/2/2004 100.0000 -9,500,000.000 -9,500,000.00 9,500,000.00 0.00
02/02/2004 DD O 1/30 /04 2/2/2004 SEC ID: 99415T115 2/2/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS FIRST BOSTON CORP REPO 00.970% 2/2/2004 100.0000 0.000 0.00 767.92 0.00
02/02/2004 DD 01/30/04 2/2/2004 SEC ID: 99415Tl15 2/2/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.990% 02/03/2004 2/3/2004 100.0000 -15,400,000.000 -15,400,000.00 15,400,000.00 0.00
DD 0'2 /02/04 2/3/2004
SEC ID: 99415U617 2/3/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102 : LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.990% 02/03/2004 2/3/2004 100.0000 0.000 0.00 423.50 0.00
DD 02/02/04 2/3/2004
SEC ID: 99415U617 2/3/2004 BROKER: CRE DIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.950% 02/04/2004 2/4/2004 100.0000 -15,400,000.000 -15,400,000.00 15,400,000.00 0.00
DD 02 /03/04 2/4/2004 SEC ID: 99415W209 2/4/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 18 Workbench
@ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
ocs D-CONS OLIDATE Dnmr2 n nn mnmnrn 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Losa
Type Description Reported Date Base S.hares/Par Base Base Base
IS CREDIT SUISSE FB REPO 00.950% 02/04/2004 2/4/2004 100.0000 0 .000 0.00 406.39 0.00
DD 02/03/04 2/4/2004 SEC ID: 99415W209 2/4/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.920% 02/05/2004 2/5/2004 100.0000 -15,600,000.000 -15,600,000.00 15,600,000.00 0.00
DD 02/04/04 2/5/2004 SEC ID: 99415X439 2/5/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.920% 02/05/2004 2/5/2004 100.0000 0.000 0.00 398.67 0.00
DD 02/04/04 2/5/2004 SEC ID : 99415X439 2/5/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.960% 02/06/2004 2/6/2004 100.0000 -16,600,000.000 -16,600,000.00 16,600,000.00 0.00
DD 02/05/04 2/6/2004 SEC ID: 99415Y965 2/6/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.960% 02/06/2004 2/6/2004 100.0000 0.000 0.00 442.67 0.00
DD 02/05/04 2/6/2004 SEC ID: 99415Y965 2/6/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.960% 02/09/2004 2/9/2004 100.0000 -16,600,000.000 -16,600,000.00 16,600,000.00 0.00
DD 02/06/04 2/9/2004 SEC ID: 994152301 2/9/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 19 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE D0Illl[2 0 DD 00000000 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Bettle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
IS CREDIT SUISSE FB REPO 00.960%02/09/2004 2/9/2004 100.0000 0.000 0.00 1,328.00 0.00
DD 02/06/04 2/9/2004 SEC ID: 994152301 2/9/2004 BROKER; CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.970% 02/11/2004 2/11/2004 100.0000 -17,200,000.000 -17,200,000.00 17,200,000.00 0.00
DD02/I0/04 2/11/2004 SEC TD: 99416C053 2/11/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.970% 02/11/2004 2/11/2004 100.0000 0.000 0.00 463.44 0.00
DD 02/10/04 2/11/2004 SEC ID: 99416C053 2/11/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.950% 02/12/2004 2/12/2004 100.0000 -17,200,000.000 -17,200,000.00 17,200,000.00 0.00
DD 02/ 11/04 2/12/2004 SEC ID: 99416E042 2/12/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.950% 02/12/2004 2/12/2004 100.0000 0.000 0.00 453.89 0.00
DD 02/ 11/04 2/12/2004 SEC ID: 99416E042 2/12/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 01.000% 02/13/2004 2/13/2004 100.0000 -17,300,000.000 -17,300,000.00 17,300,000.00 0.00
DD 02/ 12/04 2/13/2004
SEC ID: 994160195 2/13/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 01.000% 02/13/2004 2/13/2004 100.0000 0.000 0.00 480.56 0.00
DD 02/12/04 2/13/2004
SEC ID: 994160195 2/13/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 20 Workbench
-
@ Transaction Detail ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
ocs D-CONSOLIDATE DJ[fil[2 0 •• •mm•••• 2/2/2004-2/27/2004 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 00.980%02/17/2004 2/17/2004 100.0000 -15,000,000.000 -15,000,000.00 15,000,000.00 0.00
DD 02/13/04 2/17/2004 SEC ID: 99416H482 2/17/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.980% 02/17/2004 2/17/2004 100.0000 0.000 0.00 1,633.33 0.00
DD 02/13/04 2/17/2004 SEC ID: 99416H482 2/17/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO O 1.010% 02/18/2004 2/18/2004 100.0000 -12,400,000.000 -12,400,000.00 12,400,000.00 0.00
DD 02/17/04 2/18/2004 SEC ID: 99416H938 2/18/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 01.010% 02/18/2004 2/18/2004 100.0000 -23,400,000.000 -23,400,000.00 23,400,000.00 0.00
DD 02/17/04 2/18/2004 SEC ID: 99416H938 2/18/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202 : LONG TERM OPER-PIMCO
IS CREDIT SUISSE FB REPO O 1.010% 02/18/2004 2/18/2004 100.0000 0.000 0.00 656.50 0.00
DD 02/17/04 2/18/2004 SEC ID: 99416H938 2/18/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS CREDIT SUISSE FB REPO Ol.010%02/18/2004 2/18/2004 100.0000 0.000 0.00 347.89 0.00
DD 02/17/04 2/18/2004 SEC ID: 994168938 2/18/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF0751 l 102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 21 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE DO!lll!2 ••••mm•••• 2/2/2004 -2/27/2004 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 SULSSE FB REPO 00.990% 02/19/2004 2/19/2004 100.0000 -23,400,000.000 -23,400,000.00 23,400,000.00 0.00
DD 02 /18/04 2/19/2004 SEC ID: 99416K527 2/19/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.990% 02/19/2004 2/19/2004 100.0000 0.000 0.00 643.50 0.00
DD 02/18/04 2/19/2004 SEC ID; 994l6K527 2/19/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
s CREDIT SUlSSE FB REPO 00.950% 02/19/2004 2/19/2004 100.0000 -9,200,000.000 -9,200,000.00 9,200,000.00 0.00
DD 02/18/04 2/19/2004 SEC ID: 99416L327 2/19/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.950% 02/19/2004 2/19/2004 100.0000 0.000 0.00 242.78 0.00
DD 02/18/04 2/19/2004 SEC ID: 99416L327 2/19/2004 BROKER: CRE DIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s LEHMAN CAT2 REPO 00.900% 02/19/2004 DD 2/19/2004 100.0000 -9,000,000.000 -9,000,000.00 9,000,000.00 0.00
02/ 18/04 2/19/2004 SEC lD: 99416L707 2/19/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
IS LEHMAN CAT 2 REPO 00.900% 02/19/2004 DD 2/19/2004 100.0000 0.000 0.00 225.00 0.00
02/18/04 2/19/2004 SEC ID: 994161707 2/19/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
s LEHMAN CAT 2 REPO 00.950% 02/20/2004 DD 2/20/2004 100.0000 -5, 000, 000. 000 -5,000,000.00 5,000,000.00 0.00
02/19/04 2/20/2004
SEC ID: 99416M762 2/20/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 22 Workbench
® Transaction Detail . .
Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD--CONSOLIDATEDJ[]]][2::J JD ••J ••Jrn 2/2/2004 -2/27/2004 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% 02/20/2004 DD 2/20/2004 100.0000 0.000 0.00 131.94 0.00
02/ 19/04 2/20/2004 SEC ID: 99416.M762 2/20/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.960% 02/20/2004 2/20/2004 100.0000 -4,100,000.000 -4, 100,000.00 4,100,000.00 0.00
DD 02/19/04 2/20/2004 SEC ID: 99416M994 2/20/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.960% 02/20/2004 2/20/2004 100.0000 0.000 0.00 109.33 0.00
DD 02/lE/04 2/20/2004 SEC ID: 99416M994 2/20/2004 BROKER: CRE•rr SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
s CREDIT SUISSE FB REPO 00.950% 02/23/2004 2/23/2004 100.0000 -13,400,000.000 -13,400,000.00 13,400,000.00 0.00
DD 02/20/04 2/23/2004 SEC ID: 99416P344 2/23/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.950% 02/23/2004 2/23/2004 100.0000 0.000 0.00 1,060.83 0.00
DD 02/20/04 2/23/2004
SEC ID: 99416P344 2/23/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.970% 02/24/2004 2/24/2004 100.0000 -13,400,000.000 -13,400,000.00 13,400,000.00 0.00
DD 02/23/04 2/24/2004 SEC ID: 99416Q896 2/24/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.970% 02/24/2004 2/24/2004 100.0000 0.000 0.00 361.06 0.00
DD 02/23/04 2/24/2004 SEC ID: 99416Q896 2/24/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 23 Workbench
@ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DJillll2 0 00 000 00000 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
s LEHMAN CAT 2 REPO 00.950% 02/25/2004 DD 2/25/2004 100.0000 -11,900,000.000 -11,900,000.00 11,900,000.00 0.00
02/24/04 2/25/2004 SEC ID: 9941681 99 2/25/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
IS LEHMAN CAT 2 REPO 00.950% 02/25/2004 DD 2/25/2004 100.0000 0.000 0.00 314.03 0.00
02/24/04 2/25/2004 SEC !D: 99416S199 2/25/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102 : LIQUID OPER-PIMCO
s CREDIT SUISSE FB REPO 00.950% 02/26/2004 2/26/2004 100.0000 -11 ,200,000.000 -11,200,000.00 11,200,000.00 0.00
DD 02/25/04 2/26/2004 SEC ID: 99416T858 2/26/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
IS CREDIT SUISSE FB REPO 00.950% 02/26/2004 2/26/2004 100.0000 0.000 0.00 295.56 0.00
DD 02/25/04 2/26/2004 SEC ID: 99416T858 2/26/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07511102: LIQUID OPER-PIMCO
s LEHMAN CAT 2 REPO 00.950% 02/26/2004 DD 2/26/2004 100.0000 -300,000.000 -300,000.00 300,000.00 0.00
02/25/04 2/26/2004 SEC ID: 994160079 2/26/2004 BROK0R: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
IS LEHMAN CAT2 REPO 00.950%02/26/2004 DD 2/26/2004 100.0000 0.000 0.00 7.92 0.00
02 /25/04 2/26/2004 SEC ID: 99416U079 2/26/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
s LEHMAN CAT 2 REPO 00.990% 02/27/2004 DD 2/27/2004 100.0000 -12,300,000.000 -12,300,000.00 12,300,000.00 0.00
02/26/04 2/27/2004 SEC JD: 99416V721 2/27/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102 : LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 24 Wo,;kbench
Transaction Detail . -@ ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE DJIJllC2 J OD ••••DJ•• 2/2/2004-2/27/2004 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 00.990% 02/27/2004 DD 2/27/2004 100.0000 0.000 0.00 338.25 0.00
02/26/04 2/27/2004 SEC ID: 99416V721 2/27/2004 BROKER: LEHMAN GOVT SECS INC, NY
OCSF07511102: LIQUID OPER-PIMCO
s DREYFUS TREASURY CASH MGMT 2/2/2004 1.0000 -29, 138.320 -29,138.32 29,138.32 0.00
SEC ID: 996085247 2/2/2004 OCSF07511102: LIQUID OPER-PIMCO 2/2/2004
s DREYFUS TREASURY CASH MGMT 2/10/2004 1.0000 -17,200,000.000 -17,200,000.00 17,200,000.00 0.00
SEC ID: 996085247 2/10/2004 OCSF07511102: LIQUID OPER-PIMCO 2/10/2004
s DREYFUS TREASURY CASH MGMT 2/12/2004 1.0000 -99,546.110 -99,546.11 99,546.11 0.00
SEC ID: 996085247 2/12/2004
OCSF07511102: LIQUID OPER-PIMCO 2/12/2004
s DREYFUS TREASURY CASH MGMT 2/12/2004 1.0000 -230,841.870 -230,841.87 230,841.87 0.00
SEC ID: 996085247 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/12/2004
s DREYFUS TREASURY CASH MGMT 2/17/2004 1.0000 -14,993,193.750 -14,993, 193. 75 14,993,193.75 0.00
SEC ID: 996085247 2/17/2004 OCSF07511102: LIQUID OPER-PIMCO 2/17/2004
s DREYFUS TREASURY CASH MGMT 2/19/2004 1.0000 -2,041,063.140 -2,041,063.14 2,041,063.14 0.00
SEC ID: 996085247 2/19/2004
OCSF07522202: LONG TERM OPER-PIMCO 2/19/2004
s DREYFUS TREASURY CASH MGMT 2/20/2004 1.0000 -8,398,817.500 -8,398,817.50 8,398,817.50 0.00
SEC ID: 996085247 2/20/2004
OCSF07511102: LIQUID OPER-PIMCO 2/20/2004
s DREYFUS TREASURY CASH MGMT 2/26/2004 1.0000 -786,029.850 -786,029.85 786,029.85 0.00
SEC ID: 996085247 2/26/2004 OCSF07511102: LIQUID OPER-PIMCO 2/26/2004
s DREYFUS TREASURY CASH MGMT 2/27/2004 1.0000 -3,815.400 -3,815.40 3,815.40 0.00
SEC ID: 996085247 2/27/2004 OCSF07511102: LIQUID OPER-PIMCO 2/27/2004
3/8/2004 9:09:0SAM PST 25 Workbench
@ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE Dcm2 0 00 •••••••• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Het Galn/LoBB
Type Description Reported Date Base Shares/Par Base Base Base
s BSDT-LATE MONEY DEPOSIT ACCT 2/2/2004 1.0000 -1,000.000 -1,000.00 1,000.00 0.00
SEC ID: 996087094 2/2/2004 OCSF07511102: LIQUID OPER-PIMCO 2/2/2004
TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: -445,283,445.940 -444,955, 162.42 445,164,084.20 0.00
TOTAL CASH & CASH EQUIVALENTS BASE: -445,283,445.940 -444,955, 162.42 445,164,084.20 0.00
FIXED INCOME SECURITIES
U.S. DOLLAR
s COMMIT TO PUR FNMA SF MTG 6 .000% 2/3/2004 103.8867 -1,000,000.000 -1,032,565.11 1,038,867.18 6,302.07
02/01/2034 DD 02/01 /04 2/12/2004 SEC ID: 01F060626 2/3/2004 BROKER: CREDIT SUISSE FIRST BOSTON
CORP, NY
OCSF07522202: LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6.000% 2/3/2004 103.8867 -500,000.000 -516,282.55 519,433.59 3,151.04
02/01/2034 DD 02/01 /04 2/12/2004 SEC ID: 01F060626 2/3/2004 BROKER: BEAR STEARNS & CO INC, NY
OCSF07522202: LONGTERM OPER-P!MCO
s COMMIT TO PUR FNMA SF MTG 6 .000% 2/3/2004 103.8867 -1,000,000.000 -1,032,565.10 1,038,867.18 6,302.08
02/01/2034 DD 02/01 /04 2/12/2004 SEC ID: 01F060626 2/3/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6.000% 2/6/2004 104.0625 -500,000.000 -516,282.55 520,312.50 4,029.95
02/01/2034 DD 02/01 /04 2/12/2004 SEC ID: 01F060626 2/6/2004 BROKER: CHASE/GREENWICH CAP, NEW
YORK
OCSF07522202: LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6 .000% 2/18/2004 103.9727 -500,000.000 -517,880.86 519,863.28 1,982.42
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/18/2004 BROKER: BEAR STEARNS & CO INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 26 Workbench
Transaction Detail . -
® Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DQTllll2 7 [l[l nnnn11nr1n 2/2/2004 -2/27/2004 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% 2/18/2004 103.9688 -1,000,000.000 -1,035,761.72 1,039,687.50 3,925.78
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/18/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202 : LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6.000% 2/18/2004 103.9688 -1,000,000.000 -1,035,761.72 1,039,687.50 3,925.78
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/18/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6 .000% 2/18/2004 103.9531 -500,000.000 -517,880.86 519,765.62 1,884.76
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/18/2004 BROKER: CHASE/GREENWICH CAP, NEW
YORK
OCSF07522202: LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6.000% 2/27/2004 104.1797 -1,000,000.000 -1,035,761.71 1,041,796.87 6,035.16
03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 2/27/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07522202: LONG TERM OPER-PIMCO
s COMMIT TO PUR FNMA SF MTG 6 .000% 2/27/2004 103.8359 -3, 000, 000. 000 -3, 108,671.87 3,115,078.12 6,406.25
04/01/2034 DD 04/01 /04 4/15/2004 SEC ID: 01F060642 2/27/2004 BROKER: BANC OF AMERICA SEC LLC, SAN
FRANCISCO
OCSF07522202: LONG TERM OPER-PIMCO
s CITIGROUP INC GLOBAL SUB Nr 5.625% 2/11/2004 107.5710 -5,000,000.000 -5,333,600.00 5,378,550.00 44,950.00
08/ 27/2012 DD 08/26 /02 2/17/2004 SEC ID: 1 72967BP5 2/11/2004 BROKER: CHASE SECURITIES, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS CITIGROUP INC GLOBAL SUB Nr 5.625% 2/11/2004 107.5710 0.000 0.00 132,812.50 0.00
08/ 27/2012 DD 08/26 /02 2/17/2004
SEC ID: 172967BP5 2/11/2004 BROKER: CHASE SECURITIES, NEW YORK
OCSF07522202 : LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 27 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DJllfli2 0 OD ••••0000 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
s FHLMC MULTICLASS CTF SER 16202 6.000% 2/26/2004 105.7500 -3,062,496.490 -2,906,356.55 3,238,590.04 332,233.49
11/15/2023 DD 11/01 /93 3/2/2004 SEC ID: 3133Tl7A4 2/26/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS FHLMC MULTICLASS CTF SER 16202 6.000% 2/26/2004 105.7500 0.000 0.00 510.42 0.00
11/15/2023 DD 11/01 /93 3/2/2004 SEC ID: 3133Tl7A4 2/26/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202 : LONG TERM OPER-PIMCO
s FNMA POOL #0555285 6.000% 03/01/2033 2/6/2004 104.1602 -754,163.430 -784,329.98 785,537.81 1,207.83
DD 02/01/03 2/12/2004 SEC ID: 31385W2S7 2/6/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS FNMA POOL #0555285 6.000% 03/01/2033 2/6/2004 104.1602 0.000 0.00 1,382.63 0.00
DD 02/01/03 2/12/2004 SEC ID: 31385W2S7 2/6/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
s GENERAL ELEC CAP MTN #TR 00575 5.450% 2/11/2004 105.8900 -5,000,000.000 -5,203,500.00 5,294,500.00 91,000.00
01/15/2013 DD 12/06 /02 2/17/2004
SEC ID: 36962G2Y3 2/11/2004 BROKER: CHASE SECURITIES, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS GENERAL ELEC CAP MTN #TR 00575 5.450% 2/11/2004 105.8900 0.000 0.00 24,222.22 0.00
01/15/2013 DD 12/06 /02 2/17/2004 SEC ID: 36962G2Y3 2/11/2004 BROKER: CHASE SECURITIES, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
s HOUSEHOLD FIN CORP NT 6.375% 2/11/2004 112.2500 -1,635,000.000 -1,772,820.00 1,835,287.50 62,467.50
10/15/2011 DD 10/23 /01 2/17/2004 SEC ID: 441812JW5 2/11/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS HOUSEHOLD FIN CORP NT 6.375% 2/11/2004 112.2500 0.000 0.00 35,322.81 0.00
10/15/2011 DD 10/23 /01 2/17/2004 SEC ID: 441812JW5 2/11/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 28 Workbench
@ Transaction Detail Report ID: EWB009 . .
Mellon Reported by Transaction Category Base Currency: USD
OCS D-CONSOLI DATE Drnll2 0 00 00000000 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
s JP MORGAN CHASE & CO SUB NT 5.750% 2/11/2004 107.6700 -3,000,000.000 -3,127,260.00 3,230,100.00 102,840.00
01/02/2013 DD 11/25 /02 2/17/2004 SEC ID: 46625HAT7 2/11/2004 BROKER: UBS SECURlTIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
IS JP MORGAN CHASE & CO SUB NT 5.750% 2/11/2004 107.6700 0.000 0.00 21,562.50 0.00
01/02/2013 DD 11/25 /02 2/17/2004 SEC ID: 46625HAT7 2/11/2004 BROKER: UBS SECURITIES LLC, NEW YORK
OCSF07522202: LONG TERM OPER-PIMCO
s NATIONAL RURAL UTILS COOP FIN 7.250% 2/11/2004 118.4720 -3,000,000.000 -3,465,480.00 3,554,160.00 88,680.00
03/01/2012 DD 03/07 /02 2/17/2004 SEC ID: 637432CU7 2/11/2004 BROKER: BEAR STEARNS & CO INC, NY
OCSF07522202: LONG TERM OPER-P!MCO
IS NATIONAL RURAL UTILS COOP FIN 7.250% 2/11/2004 118.4720 0.000 0.00 100,291.67 0.00
03/01/2012 DD 03/07 /02 2/17/2004 SEC ID: 637432CU7 2/11/2004 BROKER: BEAR STEARNS & CO INC, NY
OCSF07522202: LONG TERM OPER-PIMCO
s VERlZON GLOBAL FOG CORP GLOBAL 7 .375% 2/11/2004 117.3500 -3,000,000.000 -3,530,490.00 3,520,500.00 -9,990.00
09/01/2012 DD 08/26/02 2/17/2004 SEC ID: 923440AT3 2/11/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
IS VERlZON GLOBAL FDG CORP GLOBAL 7 .375% 2/11/2004 117.3500 0.000 0.00 102,020.83 0.00
09/01/2012 DD 08/26 /02 2/17/2004
SEC ID: 92344GAT3 2/11/2004 BROKER: GOLDMAN SACHS & CO, NY
OCSF07522202: LONG TERM OPER-PIMCO
TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: -34,451,659.920 -36,473,250.58 37,648,710.27 757,334.11
TOTAL FIXED INCOME SECURITIES BASE: -34,451,659.920 -36,473,250.58 37,648,710.27 757,334.11
TOTAL SALES BASE: -479, 735,105.860 -481,428,413.00 482,812,794.47 757,334.11
PRINCIPAL PAYMENTS
FIXED INCOME SECURITIES
U.S. DOLLAR
3/8/2004 9:09:0SAM PST 29 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DO!Il2 o CJD 00000000 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gahl/Loss
Type Descrlptlori. Reported Date Base Shares/Par Base Base Base
PD GNMA GTD REMIC TR 2000-9 FH VAR RT 2/16/2004 100.0000 -18,654.660 -18,654.66 18,654.66 0.00
02 /16/2030 2/16/2004 SEC ID: 3837H4NX9 2/16/2004 OCSF07522202: LONG TERM OPER-PIMCO
PD RESIDENTIAL ASSET 03-RSll AllB VAR RT 2/25/2004 100.0000 -13,462.950 -13,462.95 13,462.95 0.00
12/25/2033 DD 12/30/03 2/25/2004 SEC ID: 760985K83 2/25/2004 OCSF07522202: LONG TERM OI'ER-PIMCO
TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: -32,117.610 -32,117.61 32,117.61 0.00
TOTAL FIXED INCOME SECURITIES BASE: -32,117.610 -32,117.61 32,117.61 0.00
TOTAL PRINCIPAL PAYMENTS BASE: -32,117.610 -32,117.61 32,117.61 0.00
MATURITIES
CASH & CASH EQUIVALENTS
U.S. DOLLAR
MT FEDERAL HOME LN BK CONS DISC N MAT 2/4/2004 100.0000 -5,200,000.000 -5, 193,143.22 5,193,143.22 0.00
02/04/2004 2/4/2004 SEC ID: 3 l3384SR1 2/4/2004 OCSF07511102: LIQUID OPER-PIMCO
MT FEDERAL HOME LN BK CONS DISC BOND 2/5/2004 100.0000 -1,000,000.000 -996,879.16 996,879.16 0.00
MATURITY 2/5/2004
SEC ID: 313384SS9 2/5/2004 OCSF07511102 : LIQUID OPER-PIMCO
MT FEDERAL HOME LN BK CONS DISC MAT 2/9/2004 100.0000 -600,000.000 -597,681.67 600,000.00 2,318.33
02/09/2004 2/9/2004 SEC ID: 313384SWO 2/9/2004 OCSF07511102 : LIQUID OPER-PIMCO
MT FEDERAL HOME LN BK CONS DISC MAT 2/25/2004 100.0000 -2,000,000.000 -1,994,641.11 1,994,641.11 0.00
02/25/2004 2/25/2004 SEC ID: 313384TN9 2/25/2004 OCSF0751 l 102 : LIQUID OPER-PIMCO
MT FEDERAL HOME LN MTG CORP DISC MAT 2/2/2004 100.0000 -4, 700,000.000 -4,684,085.28 4,684,085.28 0.00
02/02/2004 2/2/2004 SEC ID: 313396SP9 2/2/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 30 Workbench
Transaction Detail .
@ Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCS D-CONS O LI DA TE D[]]l[2 D CJD•••••••• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost . Amount Net Gain/Losa
Type Description Re-ported Date Base Shares/Par Base Base Base
MT FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 100.0000 -2,500,000.000 -2,493, 100.00 2,493,100.00 0.00
02/12/2004 2/12/2004 SEC ID: 313396SZ7 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
MT FEDERAL HOME LN MTG CORP DISC MAT 2/26/2004 100.0000 -6,000,000.000 -5,985,610.83 5,985,610.83 0.00
02/26/2004 2/26/2004 SEC ID: 313396TP8 2/26/2004 OCSF07511102: LIQUID OPER-PIMCO
MT FEDERAL NATL MTG ASSN DISC NT MAT 2/2/2004 100.0000 -5,200,000.000 -5, 193,305.00 5,193,305.00 0.00
02/02/2004 2/2/2004 SEC ID: 313588SP1 2/2/2004 OCSF07511102: LIQUID OPER-PIMCO
MT FEDERAL NATL MTG ASSN DISCOUNT MAT 2/4/2004 100.0000 -400,000.000 -399,600.00 399,600.00 0.00
02/04/2004 2/4/2004 SEC ID: 313588SR7 2/4/2004 OCSF07522202: LONG TERM OPER-PIMCO
MT FEDERAL NATL MTG ASSN DISC NT BOND 2/18/2004 100.0000 -6,000,000.000 -5,986,918.61 5,986,918.61 0.00
MATURITY 2/18/2004 SEC ID: 313588TF2 2/18/2004 OCSF07511102: LIQUID OPER-PIMCO
MT GENERAL ELEC CAP DISC 02/24/2004 2/24/2004 100.0000 -2,500,000.000 -2,497,545.14 2,497,545.14 0.00
SEC JD: 36959HBQ9 2/24/2004 OCSF07511102: LIQUID OPER-PIMCO 2/24/2004
MT US TREASURY BILL DUE 02/12/2004 DD 2/12/2004 100.0000 -4,500,000.000 -4,478,218.75 4,478,218.75 0.00
08/14/2003 2/12/2004 SEC ID: 912795PK1 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: -40,600,000.000 -40,500,728.77 40,503,047.10 2,318.33
TOTAL CASH & CASH EQUIVALENTS BASE: -40,600,000.000 -40,500, 728. 77 40,503,047.10 2,318.33
FIXED INCOME SECURITIES
U.S. DOLLAR
MT FEDERAL NATL MTG ASSN DEBS 5.125% 2/13/2004 100.0000 -4,200,000.000 -4,350,168.00 4,200,000.00 -150,16?.00
02/13/2004 DD 02/08 /99 2/13/2004 SEC ID: 31359MEM1 2/13/2004 OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 31 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
ocs D--CONSOLI DATE 0111112 7 'JD ••7nn7,WJ 2/2/2004-2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Descriptlon Reported Date Base Shares/Par Base Base Base
TOTAL MATURITIES BASE: -44,800,000.000 -44,850,896. 77 44,703,047.10 -147,849.67
MISCELLANEOUSACTMTY
FIXED INCOME SECURITIES
U.S. DOLLAR
SW REPS FRACTIONAL SHARE ADJ FHLMC 2/26/2004 -0.020 -0.02 0.00 -0.02
MULTICLASS CTF SER 16202 2/26/2004 SEC ID: 3133Tl7A4 2/26/2004 OCSF07522202: LONG TERM OPER-PIMCO
SW TO BRING ACCOUNT INTO BALANCE WITH 2/26/2004 -18,480.000 -16,303.69 0.00 -16,303.69
FACTOR 1.16329 2/27/2004 SEC ID: 9128272M3 2/26/2004 OCSF07522202: LONG TERM OPER-PIMCO
SW TO BRING ACCOUNT INTO BALANCE US 2/26/2004 -3,900.000 -4,252.68 0.00 -4,252.68
TREASURY INFLATION INDEX NT 2/27/2004 SEC ID: 91282731'7
OCSF07522202: LONG TERM OPER-PIMCO 2/26/2004
SW TO BRING ACCOUNT INTO BALANCE US 2/26/2004 -16,640.000 -18,491.24 0.00 -18,491.24
TREASURY fNFLATION LNDEX NT 2/27/2004 SEC ID: 91 28274Y5 2/26/2004 OCSF07522202:LONG TERM OPER-PIMCO
TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: -39,020.020 -39,047.63 0.00 -39,047.63
TOTAL FIXED INCOME SECURITIES BASE: -39,020.020 -39,047.63 0.00 -39,047.63
TOTAL MISCELLANEOUS ACTMTY BASE: -39,020.020 -39,047.63 0.00 -39,047.63
INTEREST
CASH & CASH EQUIVALENTS
U.S. DOLLAR
IT FEDERAL HOME LN BK CONS DISC N MAT 2/4/2004 5,200,000.000 6,856.78 6,856.78 0.00
02/04/2004 2/4/2004
SEC ID: 313384SR1 2/4/2004 OCSF07511102: LIQUID OPER-PIMCO
IT FEDERAL HOME LN BK CONS DISC 2/5/2004 1,000,000.000 3,120.84 3,120.84 Q.00
SEC ID: 313384SS9 2/5/2004
OCSF07511102: LIQUID OPER-PIMCO 2/5/2004
3/8/2004 9:09:0SAM PST 32 Workbench .
Transaction Detail ReportlD: EWB009 . . @ Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONS OLIDATE DJlllll2 DOD DD •••••• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type DeacrlptJon Reported Date Base Shares/Par Base Base Base
IT FEDERAL HOME LN BK CONS DISC MAT 2/25/2004 2,000,000.000 5,358.89 5,358.89 0.00
02/25/2004 2/25/2004 SEC ID: 313384TN9 2/25/2004 OCSF07511102: LIQUID OPER-PIMCO
IT FEDERAL HOME LN MTG CORP DISC MAT 2/2/2004 4,700,000.000 15,914.72 15,914.72 0.00
02/02/2004 2/2/2004 SEC ID: 313396SP9 2/2/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FEDERAL HOME LN MTG CORP DISC MAT 2/12/2004 2,500,000.000 6,900.00 6,900.00 0.00
02/12/2004 2/12/2004 SEC ID: 313396SZ7 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FEDERAL HOME LN MTG CORP DISC MAT 2/26/2004 6,000,000.000 14,389.17 14,389.17 0.00
02/26/2004 2/26/2004 SEC ID: 313396TP8 2/26/2004 OCSF07511102: LIQUID OPER-PIMCO
IT FEDERAL NATL MTG ASSN DISC NT MAT 2/2/2004 5,200,000.000 6,695.00 6,695.00 0.00
02/02/2004 2/2/2004 SEC ID: 313588SP1 2/2/2004 OCSF07511102: LIQUID OPER-PIMCO
IT FEDERAL NATL MTG ASSN DISCOUNT MAT 2/4/2004 400,000.000 400.00 400.00 0.00
02/04/2004 2/4/2004 SEC ID: 313588SR7 2/4/2004 OCSF07522202: LONG TERM OPER-PlMCO
IT FEDERAL NATL MTG ASSN DISC NT 2/18/2004 6,000,000.000 13,081.39 13,081.39 0.00
SEC ID: 313588TF2 2/18/2004 OCSF07511102: LIQUID OPER-PIMCO 2/18/2004
IT GENERALELECCAPDISC 02/24/2004 2/24/2004 2,500,000.000 2,454.86 2,454.86 0.00
SEC ID: 36959HBQ9 2/24/2004 OCSF0751 l 102: LIQUID OPER-PIMCO 2/24/2004
IT US TREASURY BILL DUE 02/12/2004 DD 2/12/2004 4,500,000.000 21,781.25 21,781.25 0.00
08/14/2003 2/12/2004
SEC ID: 912795PK1 2/12/2004 OCSF07522202: LONG TERM OPER-PIMCO
cw SHORT TERM FDS INT ADJ NET OF 2/27/2004 0.000 -4,153.65 -4,153.65 0.00
OVERNIGHT INTEREST 2/27/2004 SEC ID: 990000PJ4 2/27/2004 OCSF07511102: LIQUID OPER-PIMCO
3/8/2004 9:09:0SAM PST 33 Workbench
@ Transaction Detail ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDAT E 00[][][2 0 OD •••••••• 2/2/2004-2/27/2004 Status: FINAL
Trade Date -
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Descrfptlon Reported Date Base Shares/Par Base Base Base ·-
IT DREYFUS TREASURY CASH MGMT 2/4/2004 0.000 725.67 725.67 0.00
SEC ID: 996085247 2/1/2004 OCSF0751 l 102: LlQUID OPER-PIMCO 2/4/2004
IT DREYFUS TREASURY CASH MGMT 2/4/2004 0.000 325.82 325.82 0.00
SEC ID: 996085247 2/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 2/4/2004
IT BSDT-LATE MONEY DEPOSIT ACCT 2/2/2004 0.000 0.01 0.01 0.00
SEC ID: 996087094 2/1/2004 OCSF0751 l 102: LIQUID OPER-PIMCO 2/2/2004
TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 40,000,000.000 93,850.75 93,850.75 0.00
TOTAL CASH & CASH EQUIVALENTS BASE: 40,000,000.000 93,850.75 93,850.75 0.00
FIXED INCOME SECURITIES
U.S. DOLLAR
IT AIG SUN AMERICA GLOBAL REGS 5.850% 2/2/2004 752,000.000 21,996.00 21,996.00 0.00
08/01/2008 DD 08/08/01 2/1/2004 SEC ID: U00907MO 2/2/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT BELL ATLANTIC-NEW JERSEY INC 5.875% 2/2/2004 650,000.000 19,093.75 19,093.75 0.00
02/01/2004 DD 02/01 /94 2/1/2004 SEC ID: 077858M6 2/2/2004 OCSF07511102: LIQUID OPER-PIMCO
IT WMP/HUNTOON PAIGE #000-11150 7.500% 2/4/2004 775.500 5,916.88 5,916.88 0.00
12/01/2030 DD 10/21 /99 1/1/2004 SEC ID: 302998GE3 2/4/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FHLMC GROUP #04-0353 7.500% 10/01/2004 2/17/2004 27,864.620 492.79 492.79 0.00
DD 03/01/99 2/1/2004 SEC ID: 3128DBMA2 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FEDERAL HOME LN BK CONS BOS 7.125% 2/17/2004 7,500,000.000 267,187.50 267,187.50 0.00
02/15/2005 DD 02/08 /00 2/15/2004 SEC ID: 3133MAUN7 2/17/2004 OCSF07522202 : LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 34 Workbench
Transaction Detail . ~
@ Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DD!Il2 D DD •••••••• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Cost Amount Net Gain/Loss
Type Description .. Reported Date Base Shares/Par Base Base Base
IT FHLMC MULTICLASS MTG SER E3 A VAR RT 2/2/2004 9.650 9.65 9.65 0.00
08/15/2032 DD 12/01 /97 12/1/2003 SEC ID: 3133TCE95 2/2/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FHLMC MULTICLASS MTG SERE3 A VAR RT 2/18/2004 27,629.900 3,481.66 3,481.66 0.00
08/ 15/2032.DD 12/01 /97 1/1/2004 SEC ID: 3133TCE95 2/18/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FHLMC MULTICLASS MTG SER E3 A VAR RT 2/18/2004 1.350 1.35 1.35 0.00
08/15/2032 DD 12/01 /97 1/1/2004 SEC ID: 3133TCE95 2/18/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FHLMC MULTICLASS CTF SER 1620Z 6.000% 2/17/2004 15,160.500 15,160.50 15,160.50 0.00
11/15/2023 DD 11/01 /93 2/1/2004 SEC ID: 3133T17A4 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FHLMC GROUP#78-6064 6.384% 01/01/2028 2/17/2004 194.210 230.95 230.95 0.00
DD 12/01/97 1/1/2004 SEC ID: 31348SWZ3 2/17/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT FEDERAL NATL MTG ASSN DEBS 5.125% 2/13/2004 4,200,000.000 106,429.17 106,429.17 0.00
02/13/2004 DD 02/08 /99 2/13/2004 SEC ID: 31359MEM1 2/13/2004 OCSF07511102: LIQUID OPER-PIMCO
IT FEDERAL NATL MTG ASSN DEBS 7 .125% 2/17/2004 15,500,000.000 552,187.50 552,187.50 0.00
02/15/2005 DD 02/ 14 /00 2/15/2004 SEC ID: 31359MFH1 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0254510 5.000% 11 /01/2017 2/25/2004 13,150.630 3,469.24 3,469.24 0.00
DD 10/01/02 2/1/2004 SEC ID: 31371KVB4 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0254631 5.000% 02/01/2018 2/25/2004 2,415.360 735.37 735.37 0.00
DD 01/01/03 2/1/2004 SEC ID: 31371KY47 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 35 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDJIJITI2 CJ CJD ••CJ••••• 2/2/2004-2/27/2004 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#0254760 5.000%06/01/2018 2/25/2004 2,225.540 664.19 664.19 0.00
DD 05/01/03 2/1/2004 SEC ID: 31371K5V9 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0254866 5.000% 09 /01/2018 2/25/2004 804.340 290.03 290.03 0.00
DD 08/01/03 2/1/2004 SEC ID: 31371LCB3 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0254953 5.000% 11/01/2018 2/25/2004 3,831.870 1,538.63 1,538.63 0.00
DD 10/01/03 2/1/2004 SEC ID: 31371LE21 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0254987 5.000% 12/01/2018 2/25/2004 8,403.710 4,122.15 4,122.15 0.00
DD 11/01/03 2/1/2004 SEC ID: 31371LF46 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0323980 6.000% 04/01/2014 2/25/2004 5,533.440 1,022.48 1,022.48 0.00
DD 09/01/99 2/1/2004
SEC ID: 31374T2MO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0357328 5.000%01/01/2018 2/25/2004 585.320 132.28 132.28 0.00
DD 01/01/03 2/1/2004 SEC ID: 31376J4M8 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0357430 5.000% 09/01/2018 2/25/2004 18,715.730 6,610.36 6,610.36 0.00
DD 09/01/03 2/1/2004 SEC ID: 31376KA71 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0456482 6.000% 02/01/2014 2/25/2004 484.580 306.82 306.82 0.00
DD 02/01/99 2/1/2004 SEC ID: 31381 CCT2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0509649 6.000%09/01/2014 2/25/2004 1,306.280 877.15 877.15 0.00
DD 09/01/99 2/1/2004 SEC ID: 31383QEWO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 36 Workbench
® Transaction Detail Report ID: EWB009 . ,
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLJ DATE DDllll!2 0 OD ••ODDO •• 2/2/2004-2/27/2004 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#0535451 6.000%06/01/2015 2/25/2004 4,771.440 808.58 808.58 0.00
DD 07 /01/00 2/1/2004 SEC ID: 31384 VZQ8 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0535672 6.000% 01/01/2016 2/25/2004 102,939.540 17,491.14 17,491.14 0.00
DD 12/01/00 2/1/2004 SEC JD: 31384WCH1 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0545296 6.000% 11/01/2016 2/25/2004 46,748.250 5,741.32 5,741.32 0.00
DD 10/01/01 2/1/2004 SEC ID: 31385HXZO 2/25/2004 OCSF0752 2202: LONG TERM OPER-PIMCO
IT FNMA POOL#0545580 6.000%03/01/2017 2/25/2004 3,142.190 484.49 484.49 0.00
DD 03/01/02 2/1/2004 SEC ID: 31385JCR7 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0555101 6.000% 10/01/2017 2/25/2004 4,550.690 860.65 860.65 0.00
DD 11/01/02 2/1/2004 SEC ID: 31385WU23 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0555285 6.000% 03/01/2033 2/25/2004 22,104.140 3,881.34 3,881.34 0.00
DD 02/01/03 2/1/2004 SEC ID: 31385W2S7 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0555363 5.000% 04/01/2018 2/25/2004 4,927.260 1,586.41 1,586.41 0.00
DD 03/01/03 2/1/2004 SEC JD: 31385W5Yl 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0555453 5.000% 05/01/2018 2/25/2004 497.860 162.49 162.49 0.00
DD 04/01/03 2/1/2004 SEC ID: 31385XBW6 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0555545 5.000% 06/01/2018 2/25/2004 3,544.410 1,323.02 1,323.02 0.00
DD 05/01/03 2/1/2004 SEC ID: 31385XES2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 37 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATED17!J11i.::2 ••[][]••mm•• 2/2/2004 -2/27/2004 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#0555621 5.000%07/01/2018 2/25/2004 14,593.610 4,595.21 4,595.21 0.00
DD 06/01/03 2/1/2004 SEC ID: 31385XG68 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0576386 6.000% 05/01/2016 2/25/2004 397.320 323.32 323.32 0.00
DD 05/01/01 2/1/2004 SEC ID: 31386XJ72 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0576739 6.000% 04/01/2016 2/25/2004 2,093.380 869.66 869.66 0.00
DD 04/01/01 2/1/2004 SEC ID: 31386XV86 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0580888 6.000% 05/01/2016 2/25/2004 9,319.170 1,152.86 1,152.86 0.00
DD 05/01/01 2/1/2004 SEC ID: 31387DJ91 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0594002 6.000% 07 /01/2016 2/25/2004 6,079.710 920.63 920.63 0.00
DD 07 /01/01 2/1/2004
SEC ID: 31387T3K8 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0597376 6.000% 09/01/2016 2/25/2004 1,436.790 1,174.79 1,174.79 0.00
DD 08/01/01 2/1/2004 SEC ID: 31387XT96 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0605259 6.000% 09/01/2016 2/25/2004 11,869.070 789.20 789.20 0.00
DD 09/01/01 2/1/2004 SEC ID: 31388HMG 1 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0608366 6.000% 10/01/2016 2/25/2004 7,225.110 513.37 513.37 0.00
DD 09/01/01 2/1/2004 SEC ID: 31388LZ78 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0616734 6.000% 12/01/2016 2/25/2004 714.620 849.33 849.33 0.00
DD 12/01/01 2/1/2004 SEC ID: 31388WEF9 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 38 Workbench
Transaction Detail . . @ ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDcm2• DD •••••••• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Coat Amount Net Gain/Lou
Type Description Reported Date Base Shares/Par Base Base Base
IT FNMA POOL#0630812 6.000%02/01/2017 2/25/2004 10,696.630 940.41 940.41 0.00
DD 02/01/02 2/1/2004 SEC ID: 31389NYH2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0632376 6.000%07/01/2017 2/25/2004 24,683.340 4,131.62 4,131.62 0.00
DD 07 /01/02 2/1/2004 SEC ID: 31389QQ50 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0653116 6.000%07/01/2017 2/25/2004 13,620.830 2,360.41 2,360.41 0.00
DD 07 /01/02 2/1/2004 SEC ID: 31390QSD8 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0673280 6.000%08/01/2017 2/25/2004 919.590 941.58 941.58 0.00
DD 11 /01/02 2/1/2004 SEC ID: 31391P6R2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0681309 5.000% 02/01/2018 2/25/2004 4,629.380 2,376.70 2,376.70 0.00
DD 02/01/03 2/1/2004 SEC ID: 31391Y3S4 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0681334 5.000% 02/01/2018 2/25/2004 732.710 297.30 297.30 0.00
DD 01/01/03 2/1/2004 SEC ID: 31391 Y4Tl 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0684908 5.000% 06/01/2018 2/25/2004 1,981.720 1,469.25 1,469.25 0.00
DD 05/01/03 2/1/2004 SEC ID: 31400D3Rl 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0685200 5.000% 03/01/2018 2/25/2004 3,592.170 854.14 854.14 0.00
DD 03/01/03 2/1/2004 SEC ID: 31400EGH7 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0685665 5.000%02/01/2018 2/25/2004 364.180 151.67 151.67 0.00
DD 02/01/03 2/1/2004 SEC ID: 31400EW22 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 39 Workbench
@ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCS D-CONSOLI DATE DC[!IJC2 J OD ODO DO JO• 2/2/2004 -2/27/2004 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#0686318 5.000%03/01/2018 2/25/2004 8,613.560 1,306.51 1,306.51 0.00
DD 03/01/03 2/1/2004 SEC ID: 31400FPB7 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0688739 5.000%06/01/2018 2/25/2004 6,575.220 514.35 514.35 0.00
DD 06/01/03 2/1/2004 SEC ID: 31400JEL9 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL #0689859 5.000% 05/01/2018 2/25/2004 518.330 528.60 528.60 0.00
DD 05/01/03 2/1/2004 SEC ID: 31400KMG8 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0693834 5.000% 03 /01/2018 2/25/2004 3,558.110 3,076.52 3,076.52 0.00
DD 03/01/03 2/1/2004 SEC ID: 31400PY74 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0695852 5.000% 05/01/2018 2/25/2004 3,362.680 1,124.77 1,124.77 0.00
DD 05/01/03 2/1/2004 SEC ID: 31400SBVO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0695889 5.000%05/01/2018 2/25/2004 8,790.080 3,481.44 3,481.44 0.00
DD 05/01/03 2/1/2004 SEC ID: 31400SC23 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL#0697026 5.000%05/01/2018 2/25/2004 126.990 110.10 110.10 0.00
DD 04/01/03 2/1/2004 SEC ID: 31400TLF2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0698939 6.000% 09/01/2017 2/25/2004 484.400 457.38 457.38 0.00
DD 03 /01/03 2/1/2004 SEC ID: 31400VPY2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0702210 5.000% 05 /01/2018 2/25/2004 1,210.620 1,152.35 1,152.35 0.00
DD 05/01/03 2/1/2004 SEC ID: 31401ADP9 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 40 Workbench
@ Transaction Detail . .. Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDom:2 J DJ JJJ••m-1• 2/2/2004 -2/27/2004 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 #0702328 5.000% 05/01/2018 2/25/2004 1,415.300 617.58 617.58 0.00
DD 04/01/03 2/1/2004 SEC ID: 31401AHD2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0703195 6.000% 01/01/2017 2/25/2004 836.520 394.76 394.76 0.00
DD 04/01/03 2/1/2004 SEC ID: 31401BGC3 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0709148 5.000% 06/01/2018 2/25/2004 2,007.810 1,246.09 1,246.09 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401HZM7 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0709360 5.000% 07/01/2018 2/25/2004 2,902.180 2,900.15 2,900.15 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401JB56 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0709826 5.000% 06/01/2018 2/25/2004 1,512.130 593.84 593.84 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401JSP4 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0709917 5.000%06/01/2018 2/25/2004 1,603.630 1,095.88 1,095.88 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401JVJ4 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0709963 5.000% 06/01/2018 2/25/2004 165.060 110.95 110.95 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401JWYO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0710235 5.000% 06/01/2018 2/25/2004 12,866.980 3,319.82 3,319.82 0.00
DD 06/01/03 2/1/2004
SEC ID: 31401KBC8 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0713344 5.000% 06/01/2018 2/25/2004 106.520 107.03 107.03 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401NP52 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 41 Workbench
@ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCS D-CONSOLIDATE D:IIIJl:2 0 :JD 00000000 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Pric& Cost Amount Net Gain/Lou
Type Description Reported Date Base Shares/Par Base Base Base
IT FNMA POOL #0713365 5.000% 07/01/2018 2/25/2004 6,114.600 1,396.91 1,396.91 0.00
DD 07 /01/03 2/1/2004 SEC ID: 31401NQS1 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0720319 5.000%07/01/2018 2/25/2004 27,289.810 4,058.01 4,058.01 0.00
DD 07 /01/03 2/1/2004 SEC ID: 31401WG45 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0720369 5.000% 06/01/2018 2/25/2004 13,073.130 10,119.61 10,119.61 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401 WJNO 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL #0721629 5.000% 07/01/2018 2/25/2004 2,716.150 1,302.65 1,302.65 0.00
DD 06/01/03 2/1/2004 SEC ID: 31401XVW4 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0723487 5.000% 06/01/2018 2/25/2004 962.880 1,051.05 1,051.05 0.00
DD 06/01/03 2/1/2004 SEC ID: 31402AXQ4 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0729601 5.000% 07/01/2018 2/25/2004 3,642.070 1,776.52 1,776.52 0.00
DD 07 /01/03 2/1/2004 SEC ID: 31402HRW3 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0732873 5.000% 11/01/2018 2/25/2004 136.200 151.85 151.85 0.00
DD 10/01/03 2/1/2004 SEC ID: 31402MFN5 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0737130 5.000% 10/01/2018 2/25/2004 3,058.930 3,116.12 3,116.12 0.00
DD 10/01/03 2/1/2004 SEC ID: 31402S4P9 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0738211 5.000% 10/01/2018 2/25/2004 2,832.550 2,459.79 2,459.79 0.00
DD 10/01/03 2/1/2004 SEC ID: 31402UDQ2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 42 Workbench
@ Transaction Detail ' -ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCS D-CONSOI,l DATE Qfl[]J][2 • OD •••••rn.l• 2/2/2004 -2/27/2004 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#0738487 5.000% 10/01/2018 2/25/2004 3,489.370 933.92 933.92 0.00
DD 10/01/03 2/1/2004 SEC ID: 31402UNC2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0740471 5.000% 10/01/2018 2/25/2004 2,742.070 2,906.80 2,906.80 0.00
DD 10/01/03 2/1/2004 SEC ID: 31402Wf40 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0740748 5.000% 10/01/2018 2/25/2004 3,416.020 3,448.07 3,448.07 0.00
DD 11 /01/03 2/1/2004 SEC ID: 31402W5H7 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0743868 5.000% 11/01/2018 2/25/2004 369.910 185.11 185.11 0.00
DD 10/01/03 2/1/2004 SEC ID: 31403BMR1 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0744008 5.000% 07/01/2018 2/25/2004 4,977.750 4,783.40 4,783.40 0.00
DD 09/01/03 2/1/2004 SEC ID: 31403BR54 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0744316 5.000% 09/01/2018 2/25/2004 1,839.120 719.66 719.66 0.00
DD 09/01/03 2/1/2004 SEC ID: 31403B324 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0747914 5.000% 11/01/2018 2/25/2004 1,488.720 1,506.45 1,506.45 0.00
DD 11/01/03 2/1/2004 SEC ID: 31403F3XO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0748400 5.000%08/01/2018 2/25/2004 983.160 1,013.96 1,013.96 0.00
DD 09/01/03 2/1/2004 SEC ID: 31403GNR9 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0748899 5.000% 12/01/2018 2/25/2004 5,147.750 4,310.11 4,310.11 0.00
DD 11/01/03 2/1/2004 SEC ID: 31403G7LO 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 43 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD--CONSOLI DATE DOll!J2 0 OD D•O••::m• 2/2/2004 -2/27/2004 Status: FINAL
Trade Date
Tran Settle Date Price Coat Amount Net Gain/Loss
Type Description Reported Date Base Shares/Par Base Base Base
IT FNMA POOL #0750377 5.000% 11/01/2018 2/25/2004 11,361.650 10,582.81 10,582.81 0.00
DD 11/01/03 2/1/2004
SEC ID: 31403JUA2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0750380 5.000% 11/01/2018 2/25/2004 8,587.080 8,873.34 8,873.34 0.00
DD 11/01/03 2/1/2004 SEC ID: 31403JUD6 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL#0750445 5.000% 11/01/2018 2/25/2004 722.360 805.51 805.51 0.00
DD 11 /01/03 2/1/2004 SEC ID: 31403JWE2 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0751960 5.000% 12/01/2018 2/25/2004 3,909.300 3,782.79 3,782.79 0.00
DD 11/01/03 2/1/2004 SEC ID: 31403LMH1 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL#0753425 5.000% 11/01/2018 2/25/2004 29,108.660 4,130.81 4,130.81 0.00
DD 11/01/03 2/1/2004 SEC ID: 31403NA23 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT FNMA POOL #0755165 5.000% 12/01/2018 2/25/2004 2,605.320 2,696.29 2,696.29 0.00
DD 11 /01/03 2/1/2004 SEC ID: 31403Q6A3 2/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT FNMA POOL #0756372 5.000% 11/01/2018 2/25/2004 3,978.730 4,132.09 4,132.09 0.00
DD 11/01/03 2/1/2004 SEC ID: 31403SJR8 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0596612 6.500%09/15/2032 2/17/2004 334.940 1,617.29 1,617.29 0.00
DD 09/01/02 2/1/2004 SEC ID: 36200BYH4 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0569358 6.500% 04/15/2032 2/18/2004 58,146.480 6,337.19 6,337.19 0.00
DD 04/01/02 2/1/2004 SEC ID: 36200QQK3 2/18/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 44 Workbench
Transaction Detail ~ ~
@ ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE DODill2 J JD ••••DJ•• 2/2/2004 -2/27/2004 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#0569685 6.500% 02/15/2032 2/17/2004 2,198.260 269.71 269.71 0.00
DD 02/01/02 2/1/2004 SEC ID: 36200Q2S2 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0570019 6.500% 07/15/2032 2/17/2004 3,911.310 467.17 467.17 0.00
DD 07 /01/02 2/1/2004 SEC ID: 36200RG48 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0574323 6.500% 12/15/2031 2/17/2004 19,160.860 2,677.52 2,677.52 0.00
DD 12/01/01 2/1/2004 SEC ID: 36200WAY7 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0575364 6.500% 11/15/2031 2/17/2004 4,533.170 285.16 285.16 0.00
DD 11/01/01 2/1/2004 SEC ID: 36200XFD6 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0587117 6.500% 06/15/2032 2/17/2004 1,073.350 113.09 113.09 0.00
DD 06/01/02 2/1/2004 SEC ID: 36201MG22 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0587439 6.500% 11/15/2032 2/17/2004 2,302.560 323.62 323.62 0.00
DD 12/01/02 2/1/2004 SEC ID: 36201MS45 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0421389 6.500% 04/15/2026 2/17/2004 313.290 78.78 78.78 0.00
DD 04/01/96 2/1/2004 SEC ID: 36206 UC23 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0438057 6.000% 05/15/2028 2/17/2004 26.490 93.04 93.04 0.00
DD 05/01/98 2/1/2004 SEC ID: 36207PTN9 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0449851 6.500% 01/15/2028 2/17/2004 39.680 124.03 124.03 0.00
DD 01/01/98 2/1/2004 SEC ID: 36208FWLO 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 45 Workbench
@ Transaction Detail ReportlD: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCS D-CONSOLIDATE DCJ[][,2 0 00 OOOOOJO[] 2/2/2004-2/27/2004 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#0457814 6.000% 10/15/2028 2/17/2004 69.760 184.72 184.72 0.00
DD 10/01/98 2/1/2004 SEC ID: 36208QSB3 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0465546 6.000% 08/15/2028 2/17/2004 888.340 2,291.19 2,291.19 0.00
DD 08/01/98 2/1/2004 SEC ID: 36209AET3 2/17/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT GNMA POOL#0465555 6.000% 09/15/2028 2/17/2004 914.220 2,467.45 2,467.45 0.00
DD 09/01/98 2/1/2004 SEC ID: 36209AE48 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0466845 6.500% 06/15/2028 2/17/2004 4,586.010 364.41 364.41 0.00
DD 06/01/98 2/1/2004 SEC ID: 36209BTA6 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0467279 6.000% 10/15/2028 2/17/2004 33.360 103.09 103.09 0.00
DD 10/01/98 2/1/2004 SEC ID: 36209CCQ7 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0467286 6. 000% 10/15/2028 2/17/2004 550.210 1,987.62 1,987.62 0.00
DD 10/01/98 2/1/2004
SEC ID: 36209CCX2 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0468052 6. 500% 07/15/2028 2/17/2004 165.010 614.05 614.05 0.00
DD 07 /01/98 2/1/2004 SEC ID: 36209C5M4 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0468330 6.000% 05/15/2028 2/17/2004 39.330 94.18 94.18 0.00
DD 05/01/98 2/1/2004 SEC ID: 36209DHF4 2/17/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT GNMA POOL#0468339 6.000% 08/15/2028 2/17/2004 738.460 1,521.70 1,521.70 0.00
DD 08/01/98 2/1/2004 SEC ID: 36209DHQO 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 46 IJlorkbena..1-t
Transaction Detail "' -@ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DJ[][)[2 0 •rJ •rn:m•oo• 2/2/2004 -2/27/2004 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#0469688 6.000% 11/15/2028 2/17/2004 516.150 77.21 77.21 0.00
DD 11/01/98 2/1/2004 SEC ID: 36209EXR8 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #04 76041 6. 500% 06/15/2028 2/17/2004 11,520.190 1,003.28 1,003.28 0.00
DD 06/01/98 2/1/2004 SEC ID: 36209MZE7 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #04 7862 6 6. 500% 01 / 15 / 2029 2/17/2004 211.420 888.71 888.71 0.00
DD 01/01/99 2/1/2004 SEC ID: 36209QVf9 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0480598 6. 500% 10/15/2028 2/17/2004 166.770 666.25 666.25 0.00
DD 10/01/98 2/1/2004 SEC ID: 36209S3F6 2/17/2004 OCSF07522202: LONG TERM OPER-PJMCO
IT GNMA POOL#0483452 6.000% 09/15/2028 2/17/2004 19.400 65.86 65.86 0.00
DD 09/01/98 2/1 /2004 SEC ID: 36209WBV3 2/17/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT GNMA POOL #0485527 6.500% 06/15/2031 2/17/2004 533.440 2,357.15 2,357.15 0.00
DD 06/01/01 2/1/2004 SEC ID: 36209YLG 1 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0485610 6.500%07/15/2031 2/17/2004 17,936.160 2,658.15 2,658.15 0.00
DD 07 /01/01 2/1/2004 SEC ID: 36209YN38 2/17/2004 OCSF07522202: LONG TERM OPER-PJMCO
IT GNMA POOL #0485682 6. 500% 08/15/2031 2/17/2004 3,947.360 526.52 526.52 0.00
DD 08/01/01 2/1/2004 SEC ID: 36209YRB6 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0485703 6.500% 08/15/2031 2/17/2004 4,045.080 482.00 482.00 0.00
DD 08/01/01 2/1/2004 SEC ID: 36209YRY6 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 47 Workbench
@ Transaction Detail ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATEDm712 Cl nn nnnnr-mnn 2/2/2004-2/27/2004 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 #0486720 6.000% 12/15/2028 2/17/2004 146.560 60.39 60.39 0.00
DD 12/01/98 2/1/2004 SEC ID: 36210AVM6 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0491103 6.000% 01/15/2029 2/17/2004 4,798.070 529.82 529.82 0.00
DD 01/01/99 2/1/2004 SEC ID: 36210FRY4 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0496461 6.000% 01/15/2029 2/17/2004 18,905.910 2,053.85 2,053.85 0.00
DD 01/01/99 2/1/2004 SEC ID: 36210MQN4 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0497343 6.000% 12/15/2028 2/17/2004 34.280 112.50 112.50 0.00
DD 12/01/98 2/1/2004 SEC ID: 36210NP45 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0499153 6.000% 02/15/2029 2/17/2004 22.880 63.26 63.26 0.00
DD 02/01/99 2/1/2004
SEC ID: 36210QQE5 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0500917 6.000% 04/15/2029 2/17/2004 768.950 36.58 36.58 0.00
DD 04/01/99 2/1/2004 SEC ID: 36210SPAO 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0503388 6.000% 03/15/2029 2/17/2004 3,440.810 1,558.76 1,558.76 0.00
DD 03/01/99 2/1/2004 SEC ID: 36210VF55 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0506636 6.000% 04/15/2029 2/17/2004 1,018.940 176.69 176.69 0.00
DD 04/01/99 2/1/2004 SEC ID: 36210YY90 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0512235 6.500% 11/15/2029 2/17/2004 16.850 59.15 59.15 0 .00
DD 11 /01/99 2/1/2004 SEC ID: 36211GBC6 2/17/2004 OCSF07522202: LONGTERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 48 Workbench
@ Transaction Detail ReportID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLI DATE DOilll[2 J OD •••••:JD• 2/2/2004-2/27/2004 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#0514326 6.500% 07/15/2029 2/17/2004 7,460.060 807.80 807.80 0.00
DD 07 /01/99 2/1/2004 SEC ID: 36211JLF2 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0530053 6.500% 04/15/2031 2/17/2004 578.000 260.64 260.64 0.00
DD 04/01/01 2/1/2004 SEC ID: 36212CZS3 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0537885 6.500% 02/15/2031 2/17/2004 111.490 568.38 568.38 0.00
DD 02/01/01 2/1/2004 SEC ID: 36212MRE1 2/17/2004 OCSF07522202: LONGTERM OPER-PIMCO
IT GNMA POOL#0547512 6.500% 04/15/2031 2/17/2004 1,041.200 69.31 69.31 0.00
DD 04/01/01 2/1/2004 SEC ID: 36212YGV9 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#OS47715 6.500% 02/15/2031 2/17/2004 166.930 694.26 694.26 0.00
DD 02/01/01 2/1/2004 SEC ID: 36212YN82 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL#0552322 6.500% 01/15/2032 2/17/2004 3,128.730 396.04 396.04 0.00
DD 01/01/02 2/1/2004 SEC ID: 36213ESK3 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0552466 6.500% 03/15/2032 2/17/2004 13,697.070 2,921.02 2,921.02 0.00
DD 03/01/02 2/1/2004 SEC ID: 36213EW36 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0552659 6.500% 07/15/2032 2/17/2004 32,080.830 2,367.70 2,367.70 0.00
DD 07 /01/02 2/1/2004 SEC ID: 36213E5U6 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA POOL #0561017 6.5000/o 07/15/2031 2/17/2004 40,130.970 2,369.68 2,369.68 0.00
DD 07 /01/01 2/1/2004 SEC ID: 36213QG29 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 49 Workbench
@ Transaction Detail Report ID: EWB009
Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE Dilllf2 0 OD ••ODIJO•O 2/2/2004 -2/27/2004 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 II POOL #0080023 VAR RT 12/20/2026 2/20/2004 8,000.680 853.29 853.29 0.00
DD 12/01/96 2/1/2004 SEC ID: 36225CAZ9 2/20/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA II POOL#080088M 7.375%06/20/2027 2/20/2004 15,688.320 1,193.98 1,193.98 0.00
DD 06/01/97 2/1/2004 SEC ID: 36225CC20 2/20/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA II POOL #0080395 VAR RT 04/20/2030 2/20/2004 7,511.620 782.50 782.50 0.00
DD 04/01/00 2/1/2004 SEC ID: 36225CNM4 2/20/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GNMA II POOL #080408X 6.500% 05/20/2030 2/20/2004 80,558.130 6,981.97 6,981.97 0.00
DD 05/01/00 2/1/2004 SEC ID: 36225CN28 2/20/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT GENERAL ELEC CAP MTN #TR 00545 VAR RT 2/20/2004 1,000,000.000 1,050.56 1,050.56 0.00
05/20/2004 DD 05/20 /02 2/20/2004 SEC ID: 36962GYS7 2/20/2004 OCSF07511102: LIQUID OPER-PIMCO
IT GNMA GTD REMIC TR 2000-9 FH VAR RT 2/17/2004 18,654.660 932.98 932.98 0.00
02/16/2030 2/16/2004 SEC ID: 3837H4NX9 2/17/2004 OCSF07522202 : LONG TERM OPER-PIMCO
IT RESIDENTIAL ASSET 03-RSl 1 AIIB VAR RT 2/25/2004 13,462.950 1,171.50 1,171.50 0.00
12/25/2033 DD 12/30/03 2/25/2004
SEC ID: 760985K83 2/25/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT SBA GTD PARTN CTFS SBIC-PS 01 6.640% 2/10/2004 184,446.510 40,599.06 40,599.06 0.00
02/10/2011 DD 02/21 /01 2/1/2004 SEC ID: 831641DD4 2/10/2004 OCSF07522202: LONG TERM OPER-PIMCO
IT US TREASURY NOTES 06.250% 02/15/2007 2/17/2004 20,000,000.000 625,000.00 625,000.00 0.00
DD 02/15/97 2/15/2004 SEC ID: 9128272JO 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
3/8/2004 9:09:0SAM PST 50 Workbench
Transaction Detail --@ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD
OCSD-CONSOLIDATE DJTIITT2 iJ n i:-1 nn7nn,1nrJ 2/2/2004-2/27/2004 Status: FINAL
Trade Date -
Tran Settle Date Price " Cost Amount Net Gain/Loss -
Type Description Reported Date Base Shares/Par Base Base Base
IT US TREASURY NT 3.250%08/15/2008 DD 2/17/2004 12,000,000.000 195,000.00 195,000.00 0.00
08/15/03 2/15/2004 SSC fD: 912828B04 2/17/2004 OCSF07522202: LONG TERM OPER-PIMCO
TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: 62,835,269.510 2,090,800.85 2,090,800.85 0.00
TOTAL FIXED INCOME SECURITIES BASE: 62,835,269.510 2,090,800.85 2,090,800.85 0.00
TOTAL INTEREST BASE: 102,835,269.510 2,184,651.60 2,184,651.60 0.00
TOTAL TRANSACTIONS: 105,888,866.760 3,840,017.16 1,675,904.28 570,436.81
3/8/2004 9:09:0SAM PST 51 Workbench