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2004-05-12
MINLJTES OF FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District Wednesday, May 12, 2004, 5:00 p.m. A meeting of the Finance, Administration and Human Resources Committee of the Orange County Sanitation District was held on May 12, 2004, at 5:00 p.m., in the Disttct's Administrative Office. (1) The roll was called and a quorum declared present, as follows: FAHR COMMITTEE MEMBERS: Directors Present: Brian Brady, Chair Roy Moore, Vice Chair Patricia Bortle Bruce Broadwater, Alternate Dir. Mike Duvall Joy Neugebauer James W. Silva Shirley McCracken, Board Chair Steve Anderson, Vice Board Chair Directors Absent: (2) 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 Finance/Treasurer Lisa Tomko, Director of Human Resources Carol Beekman, Communications Services Manager Mike White, Controller Jeff Reed, Human Resources Manager Lisa Arosteguy, Human Resources Supervisor Penny Kyle, Committee Secretary OTHERS PRESENT: Derek Rampone Craig Hartzheim Sam Mowbray John Swindler Don Hughes IN THE FILED ORANGE ,?,f,~!;::, ~~ ,THE SECRETARY ....... T!f'\t,J DISTRICT MAY 2 6 2004 ov _/£. Chair Brady announced the next meeting date is June 9. The contract internal auditors, Craig Hartzheim and Derek Rampone of Moss, Levy & Hartzheim, distributed copies of their draft report dated May 8, 2004, and reviewed the findings and their recommendations. Staff was directed to respond to the findings of the report at the next FAHR Committee meeting. When finalized, a report will be given to the entire board. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 2 May 12, 2004 (5) REPORT OF THE GENERAL MANAGER Blake Anderson reported no response had been received to date from SAWPA with regard to the letter sent on April 29. An additional letter was sent on May 7, 2004 to SAWPA member agencies by Vice Chair Anderson. SAWPA did ask if the District opposed to their contracting with Tom Dawes, former OCSD Director of Engineering, to look into the value of capacity issue. General Counsel will be sending SAWPA a notice of default on payment the following day and a demand for arbitration, in accordance with the 1972 Agreement. It was announced that this year the Orange County Grand Jury looked at all the issues surrounding biosolids and released a 14-page report that was received on May 11. Mr. Anderson commented on the e-mail he sent to the Directors summarizing the Grand Jury report. The report details how difficult it is becoming to be able to reuse or dispose of the biosolids and supports/reaffirms the District's ongoing efforts. The District has 90 days to respond to the report and the recommendations included in that report. (6) REPORT OF DIRECTOR OF FINANCE/TREASURER Gary Streed, Director of Finance, reported that he had made preliminary 2004-05 budget presentations to the OMTS and PDC Committees earlier this month. The Committees were supportive of the preliminary budgets and requested no changes from the FAHR Committee. Over the last month there have been a few events that impact the budget projections. The Board adopted the user fee for 2004-05 that had been included those in our budget projections. The OCERS Board adopted increased employer rates of 12.62%, the third year of increases. This increase was not included in the preliminary budgets and will amount to approximately $1.6 million. The final change seems to be a property tax sharing agreement between special districts and the Governor. Cash flows have been prepared assuming the loss of up to 70% of the District's allocation of property taxes over next two years with restoration to current levels thereafter. Should the Directors decide to maintain the current user fee implementation schedule, we will need to change reserve funds policy in order to comply. Mr. Streed also told the Committee that he had spoken wth representatives of PIMCO, our investment manager, several times regarding SEC and State of New Jersey investigations and filings. Claims have been filed against the east coast equity brokers and two specific employees. The Newport Beach fixed-income managers that the District deals with have been investigated, but have not been named in any actions. Mike White, Controller, responded to Directors' questions regarding the poorly rated United Airlines bond, and reported the bond was secured by a specific United Airlines airplane, explaining that if the plane is sold, the District would receive their investment. (7) REPORT OF DIRECTOR OF HUMAN RESOURCES Lisa Tomko, Director of Human Resources, referred the Directors to a confidential memo included in their committee package. The memo was an update on reopeners contained within the various Memorandum of Understandings. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 3 May 12, 2004 (8) REPORT OF COMMUNICATIONS SERVICES MANAGER Communications Services Manager Carol Beekman reported that 15 employees participated in the Children's Water Festival held in Irvine earlier that week. Approximately 3,500 children in third and fourth grades attended the event, and a picture of children playing the District's Waste Water Survivor game, was featured in the Registerthat day. Ms. Beekman advised that Huell Howser will begin filming for a video this month regarding the Groundwater Replenishment System that he is producing. The video should be finalized in July. In celebration of the District's 50th anniversary, a homecoming for District retirees is being held on May 19, and Directors are invited to attend. Ms. Beekman reported the District has received several e-mails regarding the Orange County Grand Jury Report. The report has also been sent to EPA. It v,as noted that Dr. Alan Rubin, Ph.D., Senior Scientist from the Washington, DC EPA office, called to congratulate the District on the excellent report, and that the Grand Jury had everything right except that Class A doesn't eliminate problems and concerns. He was in agreement that combining first class operations and great products, public perception issues could be minimized but are still there. Dr. Rubin also complimented the District for being open and transparent with the information and, "Once, again, OCSD is paving the way for others to follow." (9) REPORT OF GENERAL COUNSEL General Counsel was not in attendance. (10) CONSENT CALENDAR ITEMS a. Approve minutes of the April 14, 2004, Finance, Administration and Human Resources b. C. d. e. f. g. Committee meeting, as corrected. FAHR04-38 FAHR04-39 FAHR04-40 FAHR04-41 FAHR04-42 FAHR04-43 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of April 2004. Receive and file Certificates of Participation (COP) Monthly Report. Receive and file Employment Status Report as of April 27, 2004. Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. Recommend to the Board of Directors to receive and file the 2003-04 Third Quarter Financial Report for the period ending March 31, 2004. Recommend to the Board of Directors to receive and file Quarterly Investment Management Program Report for the period January 1, 2004 through March 31, 2004. ' Minutes of the Finance, Administration and Human Resources Committee Meeting Page4 May 12, 2004 MOTION: It was moved, seconded and duly carried to approve the recommended actions for items specified as 1 0(a) through (g) under Consent Calendar. END OF CONSENT CALENDAR (11) ACTION ITEMS a. FAHR04-44 Recommend to the Board of Directors to: MOTION: (1) Authorize staff to establish contracts for Temporary Employment Services, Specification No. S-2004-181 BD, with temporary service firms for a one year period, July 1, 2004 through June 30, 2005, for a total amount not to exceed $1,700,000 per year; (2) Authorize staff the option of four additional one year contract renewals, cancelable at any time, for a total amount not to e>eeed $1,700,000 per year; and, (3) Authorize staff to enter into these contracts with temporary service firms, as identified by the Human Resources Department, with the authorization to add or delete such firms as necessary to meet District work requirements. It was moved, seconded and duly carried to recommend approval to the Board of Directors. b. FAHR04-45 Consideration of options to determine protocol with staff and reporting MOTION: expectations with District's internal auditor, Moss, Levy & Hartzheim. The committee members discussed the preferred methods of receiving reports from the auditor, staff's response to those reports, final reports incorporating staff's responses which would allow for the auditor's acknowledgement of staff responses and the submittal of a final report to the Board of Directors. It was moved, seconded and duly carried to direct staff to: (1) Continue to distribute reports from Moss, Levy & Hartzheim at the FAHR Committee meetings; (2) Staff's responses to findings in the reports are to be provided at the next committee meeting; and, (3) the Chair of the FAHR Committee will provide a detailed report of findings and staff responses to the Board of Directors when the work is complete. (12) INFORMATION PRESENTATIONS There were none. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 5 May 12, 2004 (13} CLOSED SESSION There was no closed session. (14) OTHER BUSINESS, COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS, IF ANY There were none. (15) MATTERS WHICH A DIRECTOR MAY WISH TO PLACE ON A FUTURE AGENDA FOR ACTION AND STAFF REPORT Director Moore requested an update regarding Director Duvall's meeting with Revenue Enhancement Group president Bob Lockhart. Director Duvall reported he had met with Mr. Lockhart, and was impressed with the capabilities of his firm. He would be meeting with District staff later this week to review what he seen and been told and to discuss policies and p,ocedures. He expects to be ready to report to the FAHR Committee in June to discuss his fndings and decide upon a course of action. (16} CONSIDERATION OF UPCOMING MEETINGS The next FAHR Committee meeting is scheduled br June 9, 2004 at 5 p.m. (17} ADJOURNMENT The Chair declared the meeting adjourned at 6:02 p.m. Submitted by: Penny M. le FAHR Committee Secreta H:\dept\agenda\FAHR\FAHR2004\0404\041404 draft FAHR Minutes.doc ..,_ 14) 962.."2411 fJm 14) 9624/356 ... -.oad.a,m ........ ---• Clt:lu Anllhttim &es Buans Park P.iPress WCJu,ai,r, Vdey FuJJsrl!on ~·w.l6lnlr., Gi/"ol-8 'ngton &J&dt (rvin.tt La~ La Ps!ms Los Alamil:o.s fi..ij-~· ~-, 8,Ut!Jh · 't· °"8ngs F!lacenti~ snaw Sa/8-~ S:smort Tustin V/llB P,rl WneJ:inde ORANGE COUNTY SANITATION DISTRICT . May 5, 2004 NOTICE OF MEl:TIN·G, FINANCE, ADM_INISTRATION AND HUMAN RESOURCES COMMITTEE ORA_NGE COUNTY SANITATION DISTRICT WEDNESDAY, MAY 12, 200.4 -5:00 P .M. DISTRICT'S ADMINISTRATIVE OFFICES 10844 ELLIS AVENUE FOUNTAIN VALLEY, CALIFORNIA 92708 WWW.OCSD.COM A regular meeting of the Finance, Administration and Human Resources Committee of the Board of Directors of the Orange County Sanitation Diatrict, will be held at the above location, date and time. To maintain world-class leadership in wastewater and water resource management. FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING OATES FAHR Committee Meeting Date May 12, 2004 June 9, 2004 July 14, 2004 August -Dark September 8, 2004 October 13, 2004 November 10, 2004 December 8, 2004 January -Dark February 9, 2005 March 9, 2005 April 13, 2005 May 11, 2005 Boar;a Mee.ting Dates May 26, 2004 June 23, 2004 *July 21, 2004 August25,2004 September 22, 2004 October 27, 2004 *November 17, 2004 *December 15, 2004 January 26, 2005 February 23, 2005 March 23, 2005 April 27, 2005 May 25, 2005 •Meetings being held the third Wednesday of the month. ROLL CALL FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE Meeting Date: May 12, 2004 Time: 5:00 p.m. Adjourn: ___ _ COMMITTEE MEMBERS Brian Brady (Chair) Roy Moore (Vice Chair) Patricia Bortle Mike Duvall Bill Dalton Joy L. Neugebauer James W. Silva Shirley McCracken (Board Chair) Steve Anderson (Board Vice Chair) OTHERS Tom Woodruff, General Counsel Don Hu hes STAFF Blake Anderson, General Manaqer David Ludwin, Director of Engineering Bob Ooten, Director of O & M Lisa Tomko, Director of Human Resources Garv Streed, Director of Finance/f reasurer Patrick Miles, Director of Information Technoloav Robert Ghirelli, Director of Technical Services Carol Beekman, Communications Services Mar Mike White, Controller Penny Kvle, Committee Secretarv c: Lenora Crane Book page 1 AGENDA REGULAR MEETING OF THE FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE ORANGE COUNTY SANITATION DISTRICT WEDNESDAY, MAY 12, 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 Adj0umment: This meeting may be adjourned to a later time and items of business from this agenda may be considered at the later meeting by Order of Adjournment and Notice in accordance with Government Code Section 54955 (posted within 24 hours). (1) ROLL CALL (2) APPOINTMENT OF CHAIR PRO TEM, IF NECESSARY Book page 2 May 12, 2004 (3) PUBLIC COMMENTS All persons wishing to address the Finance, Administration and Human Resources Committee on specific agenda items or matters of general interest should do so at this time. As determined by the Chair, speakers may be deferred until the specific item is taken for discussion and remarks may be limited to three minutes. Matters of interest addressed by a member of the public and not listed on this agenda cannot have action taken by the Committee except as authorized by Section 54954.2(b). (4) REPORT OF COMMITTEE CHAIR (5) REPORT OF GENERAL MANAGER (6) REPORT OF DIRECTOR OF FINANC~ (7) REPORT OF DIRECTOR OF HUMAN RESOURCE£ (8) REPORT OF COMMUNICATIONS SERVICES MANAGER (9) REPORT OF GENERAL COUNSEL (1 O) 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 cons~nt calendar are consid~red as not requiring discussion or further explanation and · · ] l unless any particular item is requested to be removed from the consent calendar by a Director or staff member, ' \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 i items removed from the consent calendar shall be considered in the regular order of business. ?he Chair will determine if any items are to be deleted from the consent calendar. ~•-•••••••·• .. ••u•••H••-••••--• ',, ... ,,., • ••••••• .. •• .. •••-h---•••• .... •••••H••H•••••••••....., .. •••·•u••••·•••f•·••·••••••·••"~••·••·-••H••• .. ••f"""'-••O•••••••IO•• •• •• .. •·••••n.~••••• .............. ,,u,_,,,oo•...,••••••• .. ••• .. • .. • .. ••• ... 1-• .,ooo '•••••-••--••u••• .. ••••·•·••••; a. Approve minutes of the April 14, 2004, Finance, Administration and Human Resources Committee meeting. b. FAHR04-38 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of April 2004. The Treasurer's Report will !De distributed at the FAHR Committee meeting in accordance .with the Board-approved Investment P01icy, and in conformance to the Government Code requirement to have monthly reports reviewed within 30 days of month end. 2 Book page 3 May 12, 2004 c. FAHR04-39 Receive and file Certificates of Participation (COP) Monthly Report. d. FAHR04-40 Receive and file Employment Status Report as of April 27, 2004. e. FAHR04-41 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. f. FAHR04-42 Recommend to the Board of Directors to receive and file the 2003-04 Third Quarter Financial Report for the period ending March 31, 2004. g. FAHR04-43 Recommend to the Board of Directors to receive and file Quarterly Investment Management Program Report for the period January 1, 2004 through March 31, 2004. END OF CONSENT CALENDAR Consideration of items deleted from Consent Calendar, if any. (11) ACTION ITEMS a. FAHR04-44 Recommend to the Board of Directors to: (1) Authorize staff to establish contracts for Temporary Employment Services, Specification No. S-2004-181 BD, with temporary service firms for a one year period, July 1, 2004 through June 30, 2005, for a total amount not to exceed $1,700,000 per year; (2) Authorize staff the option of four additional one year contract renewals, cancelable at any time, for a total amount not to exceed $1,700,000 per year; and, (3) Authorize staff to enter into these contracts with temporary service firms, as identified by the Human Resources Department, with the authorization to add or delete such firms as necessary to meet District work requirements. (Lisa Arosteguy -15 minutes) b. FAHR04-45 Consideration of options to determine protocol with staff and reporting expectations with District's internal auditor, Moss, Levy & Hartzheim. (Gary Streed -15 minutes) (12) INFOP{MATlONAL PRESENTATIONS 3 Bookpage4 May 12, 2004 (13} CLOSED SESSION : ou'ring the course of conducting the business set forth on this agenda . as a regular meeting of the . i j Committee, the Chair may convene the Committee in closed session to consider matters of pending real j i estate negotiations, pending or potential litigation, or personnel matters, pursuant to Government Code i I Sections 54956.8, 54956.9, 54957 or 54957.6, as noted. j j Repo·rts relating to (a) purchase and sale of real eroperty; (b) matters of pending or potential litigation; (c) j employee actions or negotiations with employee. representatives; or which are exempt from public disclosure !,',, ! under the California Public Records Act, may be reviewed by the Committee during a permitted closed i session and are not available for public inspection. At such time as final actions are taken by the Committee ! on any of these subjects, the minutes will reflect all required disclosures of information. I · ..................................... ~ ................................................ _,,., ...................... ,_, .. , ........................... -.. -................... , .. -... ,.-................... . , ..... , ...•... _,.._, ........................................................... · 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 June 9, 2004, at 5 p.m. (17) ADJOURNMENT : ••• .. •••• .......... M .. _,..,.,,., ·•-••--•••••M••....,•·•• .. ·•• .... •·•-•uH,,, .. , ...,. ununon•"'"'''·• ............... , ..... u_,., .. ,,_. ... _,,.,, ... , ......... ,,_,, •• _ ... ,. J ........ , ......................... ,, .... ,_, ____ ., .................. ~ ....... .,, .. , .... , •. ·'., ...... •••••---! ! Notice to Committee Members: [ \ For any questions on the agenda or to place any items on the agenda, Committee members should contact the l t ommittee Chair or Secretary ten days in advance of the Committee meeting. i ]Committee Chair: Brian Brady (949) 453-5300 j )Committee Secretary: Penny Kyle (714) 593-7130 pkyle@ocsd.com j \General Manager Blake Anderson (714) 593-7110 banderson@ocsd.com j \Director of Finance Gary Streed (714) 593-7550 gstreed@ocsd.com i jDirector of Human Resources Lisa Tomko (714) 593-7145 ltomko@ocsd.com i ( Communication _Services _Manag~r ... care,!. Bef:kman ......................... J 71_4).593-71_2o ...... cbE:ekman@ocsd.com ............................. ..! H:\dept\fin\21 0\CRANE\FAHR\FAHR2004\APRIL\01.3.FAHR Agenda.doc 4 Bookpage5 May 5, 2004 FAHR COMMITTEE AGENDA CALENDAR ~, Month Item Action June Recommend Final 2004-05 Budgets Action June Renew Excess Workers' Comp, General Liability Ins, Action Boiler & Machinery, All-Risk Property Insurances June General Manager Approved Purchases Action June Consider Review of Non-Residential Parcels and Action Annual Sewer Service User Fees June SW AP Status Report Action June Human Resources Policies and Procedures Action June Safety Policies Action July Consider Investment Policy Action July Quarterly Communication Plan Update Information August No meeting scheduled. - September General Manager Approved Purchases Action October Quarterly Communication Plan Update Information November FY03/04 Comprehensive Annual Financial Report Action November First Quarter Investment Management Report Action November First Quarter SWAP Status Report Action November First Quarter Financial Report Action November Consider Employee Reclassification Recommendations Action Book page 6 MINUTES OF FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District Wednesday, April 14, 2004, 5:00 p.m. A meeting of the Finance, Administration and Human Resources Committee of the Orange County Sanitation District was held on April 14, 2004, at 5:00 p.m., in the District's Administrative Office. (1) The roll was called and a quorum declared present, as follows: FAHR COMMITTEE MEMBERS: Directors Present: Brian Brady, Chair Roy Moore, Vice Chair Patricia Bortle Bruce Broadwater, Alternate Dir. Joy Neugebauer Shirley McCracken, Board Chair Steve Anderson, Vice Board Chair Directors Absent: James W. Silva (2) APPOINTMENT OF CHAIR PRO TEM STAFF PRESENT: Blake Anderson, General Manager Gary Streed, Director of Finance/Treasurer Mike White, Controller Jeff Reed, Human Resources Manager Carol Beekman, Communications Services Manager Jan Collins, Principal Human Resources Analyst Jean Tappan, Acting Committee Secretary OTHERS PRESENT: Tom Woodruff, General Counsel Bob Lockhart Bob Geggie Don Hughes Director Moore chaired the meeting at Director Brady's request, who arrived late. (3) PUBLIC COMMENTS There were no public comments. (4) REPORT OF THE COMMITTEE CHAIR Vice Chair Moore announced that alternate Director Bruce Broadwater was filling in for Director Bill Dalton tonight. He also announced that the next meeting date is May 12. The contract internal auditors, Moss, Levy & Hartzheim, were scheduled to make a report but it has been deferred to May. Book page 7 Minutes of the Finance, Administration and Human Resources Committee Meeting Page 2 April 14, 2004 (5) REPORT OF THE GENERAL MANAGER General Manager Blake Anderson reported on the discussions at the GWRS Steering Committee on the very high bid received on the Advanced Treatment Facilities project. A third- party review of the bid will be undertaken to ensure everything is addressed. The GWRS Steering Committee unanimously decided to recommend award of the contract to J. F. Shea Inc. to both OCWD and OCSD Boards at their next meetings (April 21 and 28, 2004, respectively). There is an all-day session on developing partnerships between OC agencies on April 30 sponsored by the Orange County Leadership Symposium. The session begins at 8:30 a.m. and will be held at the OC Fire Authority's new headquarters building. There is no cost associated with this event. Mr. Anderson urged all Directors to attend. He also announced that the Fourth Annual Orange County Leadership Symposium will again be held in January 2005. (6) REPORT OF DIRECTOR OF FINANCE/TREASURER Gary Streed, Director of Finance, reported that personnel from the auditing firm of Moss, Levy & Hartzheim were on site last week doing follow up work and new field work, but he has received no feedback from their visit. He also reported that one of the two corporate notes that are shown as being in non-compliance in the Investment Report reached maturity last week. We received all of our investment plus interest. Mr. Streed also reported on a meeting held with PIMCO to discuss its investigation by the SEC and any potential impacts to the District. PIMCO has not been notified of any SEC violations despite considerable review at its offices. The District does not have investments in any of the PIMCO mutual funds that are being investigated by the SEC. The lawsuit by the State of New Jersey, the CalPERS review and procedural changes instituted by PIMCO were also discussed. The PIMCO response to the New Jersey suit is due between now and the Board meeting. (7) REPORT OF DIRECTOR OF HUMAN RESOURCES Human Resources Manager Jeff Reed did not make a report. (8) REPORT OF COMMUNICATIONS SERVICES MANAGER Communications Services Manager Carol Beekman deferred her report to later in the agenda. (9) REPORT OF GENERAL COUNSEL General Counsel Tom Woodruff updated the members on SB 1272, the Ortiz bill that addresses special districts' governance issues. The bill was amended again this week after meetings with the affected agencies' representatives. Mr. Woodruff reported on a meeting held last week with the Board's Chair and Vice Chair to discuss the proposed changes to the OCSD Resolution that details Directors compensation. Some of the changes are addressed in the Ortiz bill, but others are Book page 8 Minutes of the Finance, Administration and Human Resources Committee Meeting Page3 April 14, 2004 clarifications and definitions. The Resolution will be presented to the Steering Committee at its next meeting. Mr. Woodruff is following this bill and will make an analysis that will be included in the agenda packages next week. (10) CONSENT CALENDAR ITEMS Director Joy Neugebauer asked that Item I. be pulled from the Consent Calendar for consideration separately. 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 March 10, 2004, Finance, Administration and Human Resources Committee meeting. Alternate Director Broadwater abstained. b. FAHR04-23 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of March 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. FAHR04-24 Receive and file Certificates of Participation (COP) Monthly Report. d. FAHR04-25 Receive and file Employment Status Report as of March 30, 2004. e. FAHR04-26 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. f. FAHR04-27 Recommend to the Board of Directors to approve Revision 2 of SAFETY-POL-101 , Injury and Illness Prevention Program, as provided for in Resolution No. OCSD 02-5, regarding the District's Injury and Illness Prevention Program Policy. g. FAHR04-28 Recommend to the Board of Directors to approve SAFETY- POL-107, Hazard Communication Policy, as provided for in Resolution No. OCSD 02-5, regarding the District's Hazard Communication Program. h. FAHR04-29 Recommend to the Board of Directors to approve SAFETY- POL-108, Contractor Safety Policy, as provided for in Resolution No. OCSD 02-5, regarding the District's Contractor Safety Program. Bookpage9 Minutes of the Finance, Administration and Human Resources Committee Meeting Page 4 April 14, 2004 i. FAHR04-30 Recommend to the Board of Directors to approve SAFETY- POL-115, Backflow Prevention Policy, as provided for in Resolution No. OCSD 02-5, regarding the District's Backflow Prevention Program. j. FAHR04-31 Recommend to the Board Qf Directors to adopt Resolution No. OCSD 04-09, A Resolution of the Board of Directors of Orange County Sanitation District, Dedicating its Revenues for Payment of Debt Obligations. k. FAHR04-32 Recommend to the Board of Directors to approve three Deferred Payment Agreements negotiated by the General Manager for the collection of all charges and fees owed, plus interest of 7% per annum, with Dae Shin USA, Inc., Expo Dyeing & Finishing, Inc., and Y2K Textile, Inc. m. FAHR04-34 Recommend to the Board of Directors to approve a one time only non-base building payment for the Secretary to the General Manager in an amount not to exceed $1,200. END OF CONSENT CALENDAR Consideration of items deleted from Consent Calendar, if any. I. FAHR04-33 MOVED, SECONDED AND DULY CARRIED: Receive and file staff's responses to the Internal Audit Report issued on March 3, 2004, by the District's contracted internal auditors Moss, Levy & Hartzheim. Director Neugebauer asked about the procedures that are in place or would be in place to avoid the same kind of concerns in the future. Mr. Streed reported that in most instances there are policies covering the issues of concern. He stated that staff training will correct most of the auditors concerns. Where there were problems changes have already been made to correct them. General Manager Anderson commented that the report findings were very preliminary and in some instances the auditors may not have had all the information they needed. Director Neugebauer commended staff for implementing the changes identified in the report. Book page 10 Minutes of the Finance, Administration and Human Resources Committee Meeting Pages April 14, 2004 (11) ACTION ITEMS a. FAHR04-35 MOVED, SECONDED AND DULY CARRIED: Direct staff to present the preliminary budgets for FY 04-05 to the Standing Committees in May for their review, prior to consideration by the FAHR Committee, for recommendation to the Board of Directors for adoption in June. Gary Streed provided new information on the five budgets, which include implementing the scheduled $115/year Sanitary Sewer Service Charge. Director Moore complimented staff on the way the information is formatted. b. FAHR04-36 Recommend to the Board of Directors to authorize and implement the Sanitary Sewer Service Charge Schedule for the Fiscal Years of 2004-05, 2005-06, 2006-07 and 2007-08, that was adopted by Ordinance No. OCSD-20 last year, subject to reaffirmation by a 2/3 vote of the Directors. Mr. Streed explained why there continues to be a need for the $15 increase tt)is year, namely, because of the CIP. A review of the cash flow chart outlines the need. Staff recommends that, based on the chart, the Board approve the rate increase for all of the next four years as established by the Ordinance No. OCSD-20. Mr. Woodruff discussed the ability of the Board to change the rate in the future as well as reconsidering the 2/3 vote requirement. The rates in the Ordinance passed last year are already adopted but staff cannot implement them until the Board reaffirms the decision. Mr. Anderson reported that with the increase in scheduled borrowing, the debt service will soon be higher than the current operating costs. MOVED, SECONDED AND DULY CARRIED: Recommend that the Board of Directors consider both of the following and authorize either: 1) That the Board of Directors reaffirm, authorize and implement the Sanitary Sewer Service Charge Schedule for the Fiscal Year 2004-05, that was adopted last year; Or 2) That the Board of Directors reaffirm, authorize and implement the Sanitary Sewer Service Charge Schedule for the Fiscal Years 2004-05, 2005-06, 2006-07 and 2007-08, that was adopted last year without future further reaffirmation. Director McCracken opposed. Book page 11 Minutes of the Finance, Administration and Human Resources Committee Meeting Page 6 April 14, 2004 c. FAHR04-37 Receive and file staff's proposal to review commercial parcels. Bob Lockhart, of the Revenue Enhancement Group ("REG"), addressed the committee. He said that Director Duvall is scheduled to meet with his firm next month as authorized by the Committee in March. An alternate proposal is being prepared by REG for consideration by the Directors. . Mike White, Controller, reviewed the revised staff-implemented proposal. Staff has determined the need to review all commercial properties, estimated to be 46,500 parcels. The time required to review the properties is now estimated to be no fewer than two parcels per hour and temporary services is estimated at $30 per hour. The proposal includes more parcels, more time to review each parcel and increased hourly rates from previous staff estimates. The new cost estimate is $15 per parcel for a total not to exceed $696,600. The objectives were outlined and the review is scheduled to be completed in early 2005. A senior staff analyst would be assigned to this project to review the information and insure the accuracy of the data base. The position is already included in this year's budget request. After the initial year it is anticipated that 20 percent of the parcels will be reviewed annually so that every parcel is reviewed in a 5-year cycle. Mr. White then described that work would begin by reviewing vacant parcels followed by government owned parcels as the database is most likely to be incorrect in these areas. Staff will include an estimate of the mileage that will be involved. MOVED, SECONDED AND DULY CARRIED: Continue the discussion until Director Duvall can report back on his findings. Director McCracken opposed. (12) INFORMATION PRESENTATIONS a. FAHR04-38 Communications Services Strategic Plan FY 2003-04 Update. Carol Beekman, Communications Services Manager, updated the committee on the activities of the division in the past quarter, including the soliciting of members for the Biosolids Advisory Committee; plans for the 50th Anniversary celebration; Earth Day events; construction outreach activities; information on the internet and intranet, and status of the corporate identity program. She also reminded the Directors that there is a joint OCWD/OCSD Board workshop on the GWRS next Wednesday, April 21 at 5 p.m., and announced that Huell Howser is helping with a video on the GWRS. Book page 12 Minutes of the Finance, Administration and Human Resources Committee Meeting Page 7 April 14, 2004 (13) CLOSED SESSION Ms. Beekman will be making her next report in July and will be bringing an update on the plan to the committee for consideration. The Committee convened in Closed Session at 6:54 p.m. pursuant to Government Code Section 54957.6 to confer with Jan Collins, Human Resources Analyst, re recommended pay grade adjustments for the Executive Management. Confidential Minutes of the Closed Session held by the Finance, Administration and Human Resources Committee have been prepared in accordance with California Government Code Section 54957.2, and are maintained by the Board Secretary in the Official Book of Confidential Minutes of Board and Committee Closed Meetings. RECONVENE IN REGULAR SESSION: At 7:15 p.m., the Committee reconvened in regular session. (14) OTHER BUSINESS, COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS, IF ANY There were none. (15) MATTERS WHICH A DIRECTOR MAY WISH TO PLACE ON A FUTURE AGENDA FOR ACTION AND STAFF REPORT There were none. (16) CONSIDERATION OF UPCOMING MEETINGS The next FAHR Committee meeting is scheduled for May 12, 2004 at 5 p.m. (17) ADJOURNMENT The Chair declared the meeting adjourned at 7:20 p.m. Submitted by: J a Tappan J:,:.. . ng FAHR Committee Secretary H:\dept\agenda\FAHR\FAHR2OO4\O404\0414O4 draft FAHR Minutes.doc Book page 13 FAHR COMMITTEE Meeting Date To Bcf. of Dir. 05/12/04 AGENDA REPORT Item Number Item Number FAHR04-39 Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller SUBJECT: CERTIFICATES OF PARTICIPATION (COP) MONTHLY REPORT -APRIL 2004 GENERAL MANAGER'S RECOMMENDATION Receive and file Certificates of Participation (COP) Monthly Report for the month of April 2004. SUMMARY The District began issuing Certificates of Participation (COPs) on a variable interest rate basis in 1990. These variable rate COPs were a part of our long-term financing plan which also included some more traditional fixed rate borrowing. In 1992 and 1993, some of the fixed rate COPs were refunded and replaced with synthetic-fixed rate COPs. These are variable interest rate COPs that are also subject to a long-term fixed-rate interest exchange agreement (SWAP). The SWAP provides the maximum interest rate to be paid by the District, and is less costly than traditional fixed rate borrowing. In August 2000, the entire financing program was restructured and modernized to incorporate and take advantage of the consolidation of District books of account and revenue structure. This process has reduced the number of COP issues from five to three; 1992 Refunding COPs, 1993 Refunding COPs and 2000 Refunding COPs. The 2000 COPs can be divided into Series A and Series B, if additional remarketing agents are desired. In August 2003, the District issued $280 million of fixed rate COPs, Series 2003, that have varying coupon rates that are matched against the varying maturity dates. The true interest cost for the entire issue is 5.15 percent. Variable interest rate COPs can be put back on the market by the buyer each day. When this happens, they must be remarketed or sold to another buyer. This process, called remarketing, is generally provided by a municipal bond underwriter. The remarketing agent sets the interest rate they believe is required to sell the COPs. Some issuers believe that having more than one remarketing agent promotes competition and results in lower interest costs. Staff has monitored variable interest rate issues of other agencies since the inception of our program. The attached charts are described in the "Additional Information" section of this agenda report. They are provided monthly to compare our actual interest rates to a composite index, and to other selected issuers of similar credit quality, and with COP issues of similar amounts. Many variables affect interest rates, but staff expects our rates to be among the lowest. Book page 14 PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECT/CONTRACT COST SUMMARY N/A BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. ~ Not applicable (information item) ADDITIONAL INFORMATION The first graph entitled, "OCSD COP Rate History Report," shows the actual variable interest rates paid on each of the daily rate COPs since the last report, and the effective fixed rate for the two refunding issues which are covered by an interest rate exchange agreement commonly called "swap." The second bar chart entitled, "Comparative Daily COP Rate History Report," shows the performance of the District's Daily Rate COPs as compared to a composite index rate, which represents the average rate of six similar variable rate daily reset borrowings. The third bar-ch~rt entitled, "COP Rate History, Comparison of Highest & Lowest Rates," compares the performance-(monthly average interest rate) of the District's Daily Rate COPs with the highest and lowest monthly average rates from among six similar variable rate daily reset COPs. The table entitled, "COP Rate History, Comparison of Monthly Averages," shows the monthly variable interest rate performance of the District's Daily Rate COPs as compared to the composite index. Estimated annual interest paymel'lts calculated for a standard $100 million par amount, are also shown. Variable rates historically rise at the end of each calendar quarter, and especially at year-end, because of business taKes and liquidity requirements. The rates tend to decline to prior levels immediately in the following month. Staff maintains continuous rate monitoring and ongoing dialog with the remarketing agents to keep the Committee fully informed about developments in the program as they may occur. ATTACHMENTS 1. Graph -OCSD COP Daily Rate History Report 2. Graph -Comparative Daily COP Rate History Report 3. Graph -COP Rate History·, Comparison of Highest & Lowest Rates 4. Tabular -COP Rate History, Comparison of Monthly Averages GGS:MW:lc H:ldept\agenda\FAHR\FAHR2004\0504\04-39.COP.doc Revised: 06/04/03 Book page 15 Page2 t-o::: 0 a. w 0::: ~ 0~ t-0 Cl) ~ -:c: ..J w-t-0::: <( a. 0::: <( a. 0 (J C Cl) (J 0 0 (%) 31V~ Book page 16 po-qa:1-sz £0-t:>O·ZZ &o-1nr-z &o-unr-s~ to-unr-p to-.{ew-~z £0-.{ew-L w I-<( C Prepared by Finance, 5/4/2004, 11 :26 AM -~ " 4.00 I COMPARATIVE DAILY COP RATE HISTORY REPORT April 2004 3.00 -4--------------------------------------------l t,:; -g ~ 2.00 ~ <( "O 0:: ~ (1) ...... -.J I I 1.00 -1-1.T"I I t,,j I ~ r,-, r,- OJ 1"1 I, u 1. m, ~I .111, H I, l' 11 , 111 , 111. DATE 8 8 8 8 8 8 8 8 ~ ~ ~ ~ ~ c s ci ~ tl > u c ~ i i ro ::::i -, ::::i a, 0 o a, ro a, ~ ~ ~ -i ~ W Z O -i ~ El OCSD COP Series '93 and 2000 •COMPOSITE INDEX G:\excel.dta\fin\2220\geggi\Finance\dailycopintrate.xls ~ ~ w ~ 1.5 1.25 1 0.75 0.5 I • e ee• HIGH LOW ILE\-IIIRWO MERYi IIRWD Nov, 03 Dec, 03 COP DAILY RATE HISTORY COMPARISON OF HIGHEST & LOWEST RATES 11111111 ••• ••• ••• ••• ••• ••• ••• t •• ... , ••• ••• i·:: •• •• •• •• ••• ••• ••• ••• ••• ••• ••• i•• •• •• Jan, 04 l!ll\lllllll :::::::;:::::.1 :1 1ir {!'.illf:il Feb, 04 Mar, 04 ILEH/IRWO I ISB/IRWQ I IPW(OCSO I IPW/OCSD I ~ERYl IIRWDMEBYI IIBWDMERYLIIRWDMERYI !IBW~ Iii Highest rate • OCSD COP Series '00-PW • OCSD COP Series '93-PW • Lowest rate ••• ·••· ••• •tt ••• ·:· • • ••• ••• ••• ••• :1·: • • : : : : ••• ••• ••• ••• . i. • • • • ••• ·:· :!: :.: ••• ••• ••• ••• ••• rv/5cs• MER)'l llRWD I Apr, 04 G:\excel.dta\fin\2220\geggi\Finance\RA TEH 1ST _HI LO_ bargraph Prepared by Finance, 5/4/2004, 11 :26 AM to 0 ~ "O ~ .... \0 Prepared by Finance, 5/4/2004, 11 :27 AM May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Apr-04 AVERAGE DAILY COP RATE HISTORY COMPARISON OF MONTHLY AVERAGES MAY 2003 -APR 2004 OCSD $218.6M $46M Series 2000 Series 93 Ref Composite Paine Webber Paine Webber Index* 1.21 1.21 1.19 0.99 0.99 0.98 0.67 0.67 0.68 0.77 0.77 0.76 0.89 0.89 0.88 0.89 0.89 0.88 1.06 1.06 1.05 1.00 1.00 0.99 0.88 0.88 0.87 0.87 0.87 0.86 0.94 0.94 0.92 1.01 1.01 1.00 0.93% I 0.93% 0.92% ESTIMATED ANNUAL INTEREST PAYMENTS PER $100M PAR AMOUNT $ 931,667 I $ 931,667 I $ 921,667 * FOOTNOTE Composite index consists of the following COP transactions: . IRWD, Series 86-COP, 88, 95, $106.1M, Solomon Smith Barney . IRWD, Series C-Ref 93-B, 85-B, $62.1 M, Lehman Brothers . IRWD, Series 91, 93, 85, $93.0M, PaineWebber . IRWD, Series 89, C-Ref 93-A, C-Ref 95, $70.9M, Merrill Lynch . Western Riverside Co. Reg. Wastewater Auth., Series 96, $25.4M, PaineWebber . Orange Co., Irvine Coast Asst. Dist. 88-1, $94.5M, J.P. Morgan G:\excel.dta\fin\2220\geggi\Finance\COPdaily$rate comparison FAHR COMMITTEE Meeting Date 05/12/04 AGENDA REPORT Item Number FAHR04-40 Orange County Sanitation District FROM: Lisa L. Tomko, Director of Human Resources Originator: Lisa Arosteguy, Human Resources Supervisor SUBJECT: EMPLOYMENT STATUS REPORT AS OF APRIL 27, 2004 GENERAL MANAGER'S RECOMMENDATION Receive and file the Employment Status Report SUMMARY The number of full-time equivalent (FTE) employees at the District is 567.75 as of April 27, 2004. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECT/CONTRACT COST SUMMARY N/A BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. ~ Not applicable (information item) ADDITIONAL INFORMATION The actual number of employees (headcount) was 577 as of April 27, 2004. To Bd. of Dir. Item Number • Gary Kemper and Ddaze Phuong were promoted from Plant Operators to Senior Plant Operators (Operations, Plant 1) There were five new hires: • Senior Information Technology Analyst (Programming & Database Support) • Senior Information Technology Analyst (Customer & Network Support) • Operator-In-Training (Operations, Plant 1) H:\dept\agenda\FAHRIFAHR2004\0504\04-40.Employment Status Report.doc Revised: 06/04/03 Book page 20 Page 1 • Two Interns (Engineering & Construction Management and Environmental Sciences Laboratory) There was one termination: • Principal Public Information Specialist (Communications Services) ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS 1. April 27, 2004 Employment Status Report 2. Performance compared to budgeted FTE's H:ldeptlagenda\FAHR\FAHR2004\0504\04-40.Employment Status Report.doc Revised: 06/04/03 Bookpage21 Page2 STAFFING REPORT 600 • • • • • • • • • • • I 590 580 570 ~ • t:d 0 I 560 eJi---i•--• ~ 'O I 550 ~ CD N N 540 c:il-™ -,_'¾!~ ~ -E;l 530 520 510 JUL AUG SEP OCT NOV DEC JAN FEB MAR APR MAY -+-AUTHORIZED I 596 596 596 596 596 596 596 596 596 596 596 FTE -B-ACTUAL I 543.25 I 544.75 I 544.25 I 545.25 I 548.25 I 552.25 I 558.25 I 558.75 I 559.75 I 564.75 I 567.75 FTE to 0 ~ 'C:I ~ ('1) 1--.) \,-) EMPLOYMENT STATUS REPORT AUTHORIZED FTE ACTUAL FTE !lli/. REG 0.50 0.75 TOTAL REG 0.5V 0.75 110 General Management Admin 2.00 --2.00 2 00 -- 120 Administrative Services 7.00 0.50 -7.50 5.00 0.50 - 130 Communication Services 7.00 -. 7.00 5.00 . - General Management Totals 16.00 0.50 -16.50 12.00 0.50 - 210 Finance Administration 2.00 -. 2.00 2 00 -- 220 Accounting 18.00 -. 18.00 17.00 0.50 . 230 Purchasing & Warehousing 19.00 0.50 -19.50 18.00 0.50 . Finance Totals 39.00 0.50 -39.50 37.00 1.00 . 510 Human Resources Admin 5.00 . -5.00 4.00 -. Interns Intern Program (510) 9.00 . -9.00 -5.50 . 520 Employee Development 3.00 . 3,00 2.00 -. 530 Safety & Health 7.00 . -7.00 6.00 . . 540 Human Resources 6.00 . . 6.00 6.00 -. Human Resources Totals 30.00 . -30.00 18.00 5.50 . 610 Technical Services Admin 2.00 . 2.00 2.00 -. 620 Environmental Comp & Mont 21.00 . . 21.00 19.00 0.50 - 630 Environmental Laboratory 36.00 1.00 . 37.00 34.00 2.00 - 640 Source Control 40.00 . -40.00 40.00 -. Technical Services Totals 99.00 1.00 . 100.00 95.00 2.50 - 710 Engineering Admin 3.00 -. 3.00 3.00 . . 740 Planning 14.00 . -14.00 13.00 . . 750 Project Management Office 14.00 . 0.75 14.75 11.00 -1.50 760 Engineering & Construction 48.00 -. 48.00 47.00 . . Engineering Totals 79.00 -0.75 79.75 74.00 . 1.50 810 O&M Administration 3.00 . . 3.00 3.00 -. 420 Collection Facilities Mice 29.00 . . 29.00 25.00 -- 430 Facilities Maintenance 32.00 . . 32.00 32,00 . . 820 O&M Process Support 14.00 0.50 . 14.50 13,00 . . 830 Plant 1 Operations 40.00 . 0.75 40.75 37.00 . 0.75 840 Plant 2 Operations 46.00 . . 46.00 46.00 . . 850 Mechanical Maintenance 56.00 . . 56.00 55.00 . . 860 Electrical & Instrumentation Mice 54.00 . . 54.00 53.00 - 880 Air Quality & Special Projects 11.00 -. 11.00 11.00 . . Operations & Maintenance Totals 285.00 0.50 0.75 286.25 275.00 . 0.75 910 IT Administration 2.00 . -2 .. 00 2.00 -- 930 Customer & Network Support 17.00 . . 17~00 13.00 . - 940 Programming & Database Sys 12.00 . . 12.00 11.00 -. 950 Process Controls Integration 13.00 . . 13.00 11.00 -. Information Technology Totals 44.00 . . 44.00 37.00 . . GRAND TOTAL 592.00 2.50 1.50 548.00 9.50 2.25 = = IQifil:.. ·I TOTAL AUTHORIZED FTE ACTUAL FTE 596.00 567 75 H:\540\open\Recruiting_shared\03-04 Position Control-EMT REPORT Recruitments \'(;,,.,;: :• .• :•::~, LOA TOTAL -2.00 1.00 1 00 6.50 1.00 1 \_ii_'} -5.00 1 00 /. (;~I 1.00 13.50 3.00 :;.on -2 00 - -17.50 -(}'.";/.} ., 18.50 1.00 ~ {_\_") 38.00 1.00 LSH -4.00 1.00 ·; fr) -5.50 3.50 :_;':il 1.00 3 00 . . -600 1.00 1 (/) -6.00 . 1.00 24.50 5.50 5.Sfi -2.00 -. 1.00 20.50 -0 ::-.:.} 1.00 37.00 -. . 40.00 - 2.00 99.50 . (j_:;tj . 3.00 - -13.00 1.00 ~ (\} . 12.50 7.00 /. :;.:·~ 1.00 48.00 -- 1.00 76.50 8.00 3,25 -3.00 -. . 25.00 4.00 .. , c_u -32.00 - . 13.00 1.00 ~ ;:·:=J 37.75 . ::; PU . 46.00 2.00 1 00 56.00 - 1.00 54.00 . - . 11.00 - 2.00 277.75 7.00 B.frn . 2.00 - 1.00 14.00 2.00 :_} \_ii_} -11.00 -1 GZ1 11.00 1.00 ?.,GCi 1.00 38.00 3.00 GXO 8.00 I· Total I~.V<i<tlOC!l~·S Recruitments + (: :'·: ~ : :: ~ ! ~Ji:::: .. ;: '..;: 27.50 0 t[i 4/27/2004 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Lisa L. Tomko, Director of Human Resources Originator: James Matte, Safety & Health Supervisor Meeting Date To Bel. of Dir. 05/12/04 Item Number Item Number FAHR04-41 SUBJECT: OSHA INCIDENCE RATES AND WORKERS' COMPENSATION CLAIMS AND COSTS REPORT GENERAL MANAGER'S RECOMMENDATION Receive and file the OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. SUMMARY Safety and Health Division staff track OSHA Incidence Rates for DART* Cases (DART Incidence Rate) and Total Accidents {Total Injury Frequency Rate). There were six DART Cases District-wide for the month January-March 2004. The industry average is 4.5 for the DART Case Incidence Rate while the District Incident Rate was 4.84 for the period of January-March 2004. There were seven OSHA Recordable Accidents District- wide for the period of January-March 2004. The industry average is 7.3 for the Total Injury Frequency Rate while the District Incident Rate was 5.64 for the period of January-March 2004. The Division also tracks the District's Workers' Compensation Claims and Costs. The District's claim count for Fiscal Year 2003-2004 is eleven. The costs associated with these claims for year-to-date is $52,775, which includes medical bills, temporary disability payments, legal costs and a claim reserve account. * DART -Days Away, Restricted or Transfer; replaces Lost Work Day. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECT/CONTRACT COST SUMMARY N/A BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. I 1ZJ Not applicable (information item) Revised: 06/04/03 Book page 24 Page 1 ADDITIONAL INFORMATION The District had six DART cases and one other injury that required only medical treatment for the period of January-March 2004. The reporting period is for 45 days prior to committee meeting. ALTERNATIVES NIA CEQA FINDINGS N/A ATTACHMENTS 1. OSHA Incidence Rates Reports for DART Cases and Total Injuries 2. Worker's Compensation Claims and Costs Revised: 06/04/03 Bookpage25 Page2 Safety and Health Division DART Cases District-Wide There were six DART Cases in January-March 2004 (DART -Days Away, Restricted or Transfer; replaces Lost Work Day.) 2000 DART Cases 2001 2002 calendar Year 2003 2004 OSHA Incidence Rates District-Wide The industry average is 4.5 and the DART Incidence Rate for the district was 4.84 for January- March 2004. The OSHA rate is calculated by multiplying the number of injuries by 200,000 and dividing the sum by total hours worked. The rate is also based on the data for the calendar year so the rate will change as the number of hours worked increases. ~ 6 ~ 4 0 C: ~ 2 0 OSHA Incidence Rates DART Cases £0 ~~~~~-~~~~-~-~-~~~ 2000 2001 2002 calendar Year 2003 2004 Book page 26 Total Injuries District-Wide There were seven OSHA Recordable Accidents in January-March 2004 Total OSHA Recordable Accidents ll~~---•- 2000 2001 2002 2003 2004 Calendar Year OSHA Incidence Rates District-Wide The Total Injury Frequency Rate is a combination of the DART Cases and the cases that require Other Medical Treatment. The industry average for Total Injury Frequency rate is 7.3 and the District rate was 5.64 for January-March 2004. First Aid cases are not included in the calculation of this rate. 10.00 .!!l 8.00 (1l a: Q) 6.00 (.) C 4.00 Q) 'O ·u 2.00 ..!: 0.00 OSHA Incidence Rate Total Injuries 2000 2001 2002 Calendar Year 2003 2004 Bookpage27 Workers Compensation Claims and Costs The Workers' Compensation Claims and Cost are reported by fiscal year. The DART and Total Injury graphs shown above are calendar year rates as required for OSHA recordkeeping. All claims and medical invoices are reviewed by a third party to ensure that proper medical treatment is provided for injured employees and the costs for the treatment are within established guidelines. The medical bills reviewed July 2003 -March 2004 totaled $214,017.39. Medical treatment costs are charged to the fiscal year in which the injury occurred. All open claims have the potential to incur additional cost. After the medical review process, the amount was reduced to $119,533.08, which resulted in savings of $94,484.81 for this reporting period. Workers Compensation Claims and Costs Fiscal Period Claim Count Open Claims Total Incurred 7 /1 /85 -6/30/86 38 0 $270,794 7 /1 /86 -6/30/87 53 0 $99,933 7 /1 /87 -6/30/88 51 0 $173,583 7 /1 /88 -6/30/89 41 0 $153,481 7 /1 /89 -6/30/90 61 0 $292,348 7/1/90 -6/30/91 76 0 $121,978 7/1/91 -6/30/92 58 2 $224,712 7 /1 /92 -6/30/93 58 0 $93,198 7/1/93 -6/30/94 47 0 $217,922 7/1/94 -6/30/95 46 0 $276,359 7/1/95 -6/30/96 46 1 $191 ,323 7 /1 /96 -6/30/97 36 1 $377,924 7 /1 /97 -6/30/98 45 1 $1,026,722 7 /1 /98 -6/30/99 38 2 $262,112 7/1/99 -6/30/00 43 2 $346,859 7/1/00-6/30/01 32 3 $433,748 7/1/01 -6/30/02 30 7 $357,261 7 /1 /02 -6/30/03 18 4 $103,813 7 /1 /03 -6/30/04 11 6 YTD $52,775 "Total Incurred" includes medical bills, temporary disability payments to employees, legal costs, and a claim reserve account. Book page 28 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance/Treasurer Originator: Michael D. White, Controller Meeting Date To Bd. of Dir. 05/12/04 05/26/04 Item Number Item Number FAHR04-42 SUBJECT: THIRD QUARTER FINANCIAL REPORT FOR THE PERIOD ENDED MARCH 31, 2004 GENERAL MANAGER'S RECOMMENDATION Receive and file FY 2003-04 Third Quarter Financial Report for the period ended March 31, 2004. SUMMARY Attached in a separately bound document is the District's Third Quarter Financial Report for the period ended March 31, 2004. This report is a consolidation of the financial accomplishments of the District through the third quarter of FY 2003-04. Contained within the Mid-Year Financial Report are budget summary reviews of the Joint Operating & Working Capital Funds, the Capital Improvement Program, the Revenue Areas, and the self-insurance funds. As indicated within the Overview Section of this report, 75.13 percent, or $57.86 million of the FY 2003-04 net joint operating budget of $77.01 million has been expended. Net cost has increased $11.53 million, or 24.9 percent in comparison with the same period last year primarily due to the increased level of secondary wastewater treatment with full disinfection. The total cost per million gallons at March 31, 2004 is $881.77 based on flows of 65.61 billion gallons, or 238.59 million gallons per day. This is $40.14, or 4. 77 percent above the budgeted cost per million gallons of $841.63. This overage is primarily due to flows being 4.56 percent lower than the budget estimate of 250 million gallons per day. The remaining increase is due to expenditures being higher than budget by 0.17 percent, or $98,000. PRIOR COMMITTEE/BOARD ACTIONS NIA H:\dept\agenda\FAHRIFAHR2004\0504\04-42.3rd Qtr Financial Report.doc Revised: 06104/03 Book page 29 Page 1 PROJECT/CONTRACT COST SUMMARY N/A BUDGET IMPACT D This item has been budgeted. D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. [8J Not applicable (information item) ADDITIONAL INFORMATION None. ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS 1. FY 2003-04 Third Quarter Financial Report for the period Ended March 31, 2004 H:ldept\agenda\FAHRIFAHR2004\0504\04-42.3rd Otr Financial Report.doc Revised: 06/04/03 Bookpage30 Page2 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller Meeting Date To Bet of Dir. 05/12/04 05/26/04 Item Number Item Number FAHR04-43 SUBJECT: QUARTERLY INVESTMENT MANAGEMENT PROGRAM REPORT FOR THE PERIOD JANUARY 1, 2004 THROUGH MARCH 31, 2004 GENERAL MANAGER'S RECOMMENDATION Receive and file the Quarterly Investment Management Program Report for the period January 1, 2004 through March 31, 2004. SUMMARY Section 15.0 of the District's Investment Policy includes monthly and quarterly reporting requirements for the District's two investment portfolios. These two funds, the "Liquid Operating Monies," and the "Long-Term Operating Monies" are managed by PIMCO, the District's external money manager. The ongoing monitoring of the District's investment program by staff and Callan Associates, the District's independent investment advisor, indicates that the District's investments are in compliance with the District's adopted Investment Policy and the California Government Code, and that overall performance has tracked with benchmark indices. In addition, sufficient liquidity and anticipated revenues are available for the District to meet budgeted expenditures for the next six months. The District's portfolios do not include any reverse repurchase agreements or derivative securities. PROJECT/CONTRACT COST SUMMARY NIA BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. [g] Not applicable (information item) H:ldeptlagenda\FAHRIFAHR2004\0504\04-43.Quarterly Investment Report.doc Revised: B/20/98 Book page 31 Page 1 ADDITIONAL INFORMATION Performance Reports The Quarterly Strategy Review, prepared by PIMCO, and the Investment Measurement Service Quarterly Review, prepared by Callan Associates, are attached for reference. Also attached are Long-Term and Liquid Operating Monies Summary of Performance Data and Portfolio Statistics charts that depict the performance results, estimated yield and duration, credit quality, and sector diversification of the District's portfolios, as of December 31, 2003 and March 31, 2004. The Liquid Operating Monies portfolio, with an average maturity of 90 days, consists entirely of cash equivalent investments such as U.S. Treasuries and corporate discount notes. Portfolio Performance Summary The following table presents a performance summary of the District's portfolios as compared to their benchmarks for the period January 1 through March 31, 2004. Portfolio Performance Summary Quarter Ended March 31 , 2004 Liquid Op_eratjng Mo.nies (%) Long-Te.rm Operating Monies(%) Total lilate Total Rate of of Return Benchrnar1<11> Return Benchmar1<11) 3 Months -0.26·, 0.23 1:53 1.66 6 Montrs 0.52 0.47 1.16 1.80 ~ Months 0.80 0.7.2 2.11 2.15 12 Mon\hs 1'.12 1.00 3.59 3.84 Since inception 30 Sepl 95 4.55 4.Q7 6.5J '6.50 Market \lalue $91 .6M $392.7M Average .Quality "AAA'' "AAN 8urrent Yield (%) 1.4-4:2 Estimated Yield to M~turity (%). 1 .2. 2.1 Quarterly O,eposits (Withdrawals} ll,0.0M ~O.OM l;stimated Annual Income $1 .3M $15:SM (1) Benchmarks: ~ Liquid Operating Portfolio: 3-Month Treasury Bill Index • Long-Term Operating Portfolio: Merrill Lynch Corp/Govt. 1-5 Year Bond Index Portfolio Market Values Comparative marked-to-market quarter-end portfolio values are shown in the following table, and in the attached bar chart. Liquid Quarter Operating Ending Monies($M) 30 June 03 66.5 30 Sept. 03 38.0 31 Dec. 03 91.4 31 Mar. 04 91.6 H:ldept\agenda\FAHRIFAHR2004\0504\04-43.Quarterly Investment Report.doc Revised: 8/20/98 Bookpage32 Long-Term Operating Monies ($M) 329.7 385.9 386.8 392.7 Page 2 District's Investment Account Balances as of March 31, 2004 Investment Accounts State of Calif. LAIF Union Bank Checking Account PIMCO -Short-term Portfolio PIMCO -Long-term Portfolio Petty Cash TOTAL Debt Service Reserves w/Trustees ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS 1. Historical Yield Curve Graph 2. PIMCO Quarterly Report Book Balances March 31, 2004 $ 18,628,614 2,230,695 91,365,418 389,615,511 5 000 l!i5Q:l 845 238 lli:12Z 876 823 3. Quarter End Portfolio Market Value Bar Chart Estimated Yield(%) 1.47 0.91 1.22 2.13 N/A 1.92 2.11 4. Summary of Performance Data and Portfolio Statistics -Liquid Operating Monies 5. Summary of Performance Data and Portfolio Statistics -L-T Operating Monies 6. Asset Summary by Asset Type -Liquid Operating Portfolio 7. Asset Summary by Asset Type -Long Term Portfolio 8. Investment Listing of Liquid Operating and L-T Portfolios (Yield Analysis Report). 9. Investment Transactions and Balances in LAIF 10. Callan Report (separate bound document) 11. PIMCO Report (separate bound document) H:\dept\agenda\FAHRIFAHR2004\0504\04-43.Quarterly Investment Report.doc Revised: 8/20/98 Book page 33 Page 3 t,j 0 ~ "O i \.;) .j::,. Prepared by Finance, 5/4/2004, 2:20 PM I HISTORICAL YIELD CURVEI 5.25 5.00 4.75 4.50 4.25 -, 4.00 - 3.75 3.50 ~ 3.25 C 3.00 .J w 2.75 > 2.50 2.25 2.00 1.75 1.50 1.25 1.00 0.75 0.50 0 0 E E I,, I,, I,, I,, I,, I,, >->->->->->- """' N M ~ II) .... M co [-+-30-Sep-03 _.,_31-Oec-03 ---31-Mar-04 ) G:\excel.dta\fin\2220\geggi\Finance\HistoricalTREASURYyieldcurve I,, I,, I,, >->->- 0 0 0 """' N M April 30, 2004 Mr. Mike White Controller Orange County Sanitation District 10844 Ellis A venue Administration Building Fountain Valley, CA 92708-7018 Re: 1st Quarter 2004 Report Dear Mike: The following is a description of events in the bond markets during the 1st quarter of 2004 and an analysis of the strategies undertaken in the Orange County Sanitation District's Long-Term, Liquid, and COP Proceeds portfolios over the period. We have also included a section on strategies to be pursued in your portfolios during the coming months. Bond Market Recap: Bonds Gain, Rates Fall Amid Fear That Recovery Could Fade Bonds gained ground in the first quarter of 2004 as concern about the durability of the U.S. economic recovery pushed already low interest rates even lower. Demand for relatively safe assets such as bonds also rose amid renewed fears of terrorist attacks after the Madrid bombing. The yield on the benchmark IO-year Treasury bond fell 41 basis points to close at 3.84 percent. Lifted by the tailwind of falling rates, every fixed income sector was in positive territory for the quarter. The Lehman Brothers Aggregate Bond Index, a widely used index for the high-grade bond market, returned 2.66 percent during the period. Confidence that the Federal Reserve would not raise the one percent federal funds rate anytime soon underpinned the bond rally. Markets expected the Fed to stay on hold while employment growth in the U.S. remained slower at this stage of expansion than in any recovery since World War II. Weakness in the labor market persisted even though growth overall continued to be robust and corporate profits surged. The reason was enhanced productivity, which allowed companies to meet rising demand with the same or fewer workers. Investors worried that even if hiring eventually picked up, it might not match that of previous expansions, thereby denting consumer confidence and undermining the recovery. Even as concern mounted that the U.S. recovery could slow down, there were signs that expansion in Asia could take pressure off the U.S. as the main driver of global growth. Acceleration in consumer spending in Japan, the world's second largest economy, raised hopes Book page 35 that Japan could extend its export-led recovery. Surging demand from China, with whom Japan now runs a trade surplus, has helped revive the Japanese economy. Chinese demand was also a major reason for soaring commodity prices, which were a boon for emerging economies such as Russia, Brazil and Mexico. Commodities posted double-digit returns during the first quarter. Treasuries Keep Pace With Riskier Bond Sectors The following is a summary of fixed income sector performance: • Mortgages outperformed Treasuries on a like-duration basis during the first quarter. Heavy demand from banks drawn to mortgages' relatively attractive yields was a positive early in the quarter. This impact dissipated later in the period, however, as apprehension grew that low mortgage rates would spark another round of refinancings, adding volatility to the market. • Investment grade bonds only slightly outperformed Treasuries on a duration-adjusted basis during the period but fared better than high yield corporate credits. Investors favored higher quality issues amid concern that corporate profit growth could slow quickly if the recovery stalled. • After their strong relative performance in 2003, emerging market bonds cooled off in first quarter of this year, but performed modestly better than Treasuries. Concern about slower growth in the U.S. and a heightened pace of new issuance weighed on the sector, but higher commodity prices and continued strong fund flows into the asset class were positives. • Treasuries and European government bonds fared best among issues of major developed economies during the first quarter. Shorter maturity Euroland issues outperformed their Treasury counterparts after the European Central Bank indicated it might be more inclined toward rate cuts than previously thought. Japanese bonds lagged amid hopes for faster growth in Japan. • Real return bonds outperformed Treasuries in the first quarter. Real yields fell nearly 50 basis points for some maturities as investor demand for TIPS remained strong. Municipal bonds lagged amid supply pressures associated with refunding transactions. Demand also slackened as retail investors made redemptions out of their municipal funds to cover tax payments. Performance Attribution: Long Term Portfolio The Long-Term portfolio that PIMCO manages on behalf of Orange County Sanitation District turned in a 1.53 percent return over the quarter under-performing its benchmark, the Merrill Lynch 1-5 year Government Corporate Index by 13 basis points. This portfolio's performance was due in part to the following factors: • A defensive posture with below benchmark duration was negative as rates fell 2 Book page 36 • A yield curve structure broader than the index helped returns as intermediate maturities performed best • A mortgage emphasis was positive; buying by banks that focused more on yield than valuations supported mortgages • An underweight allocation to corporates was negative, as their yield advantage offset concerns about slower growth and profits • An allocation to real return bonds as a substitute for fully valued nominal Treasuries was a strong positive as these assets outperformed Treasuries of comparable duration Liquid Portfolio The Liquid portfolio that PIM CO manages on behalf of Orange County Sanitation District turned in a 0.26 percent return over the quarter, outperforming the 3-month Treasury Bill Index by 3 basis points. This portfolio's performance was due in part to the following factors: .. Near-index duration was neutral for performance • A corporate emphasis was positive; their yield advantage offset concerns about slower growth and profits • Use of higher yielding securities such as commercial paper and short-term notes contributed to performance "2003 COP Proceeds -Future Construction" Portfolio The COP Proceeds portfolio that PIMCO manages on behalf of Orange County Sanitation District turned in a 0.27 percent return over the quarter, outperforming the 3-month Treasury Bill Index by 4 basis points. This portfolio's performance was due in part to the following factors: • Near-index duration was neutral for performance • A corporate emphasis was positive; their yield advantage offset concerns about slower growth and profits • Use of higher yielding securities such as commercial paper and short-term notes contributed to performance Economic Outlook: Temporary Stability But Structural Imbalances Pose a Threat The global recovery, centered in the U.S. and Asia, will continue for the next 6 to 12 months. Policymakers will press forward with reflationary measures that will delay a painful unwinding of economic imbalances. Excess capacity in labor and product markets worldwide will keep inflation quiet, leading to range-bound interest rates over the next two quarters. The 10-year 3 Book page 37 Treasury yield will fluctuate near current levels over this time frame. Elements of temporary stability include: • In the U.S., consumer spending will hold up as tax refunds boost after-tax disposable income. This support for the consumer will be temporary, however, as individual tax benefits are set to phase out by the second half of 2004. Restocking of low inventory levels by companies will provide a more durable boost to growth in the U.S. • The Federal Reserve will raise currently negative real short-term rates only when it is convinced that disinflation has ended and U.S. employment growth is both substantial and sustainable. Financial markets could begin discounting such a positive scenario by early next year, pushing the yield on the 10-year Treasury toward 5 percent. • China will remain a contributor to global demand, though its growth rate will slow as policymakers engineer a soft landing for its potentially overheated economy. A significant currency revaluation in China is unlikely over the next 6 to 12 months as China's de facto monetary union with America serves both countries' interests. • Europe will remain the laggard in the global economy. While exports to China and emerging Europe are accelerating, recent gains in business confidence have peaked and consumer sentiment is weak. The balance of risks tilts toward more easing by the European Central Bank. While the global economy appears stable, risks arising from structural imbalances threaten this equilibrium. Chief among these risks are: 1) the U.S. current account deficit, a function of the world's over reliance on U.S. consumption that is not sustainable in the long run; 2) aggressive support for the U.S. dollar by Asian central banks, which could give way to protectionist pressure in the U.S. and/or demand for greater domestic purchasing power in Asian economies; and 3) negative real U.S. short rates, which threaten to create property and asset bubbles in the U.S. and abroad. Caution In Face of Long-Term Risks and Overvalued Sectors The economic environment is difficult to forecast because near-term stability could erode quickly if structural imbalances unwind faster than expected. Full valuations in core sectors such as mortgages and corporates pose considerable risk in this setting. PIMCO will continue to underweight these sectors and look for better opportunities outside traditional holdings. We will target below-benchmark duration but move to a neutral stance if rates trend upward. Neutral duration will reflect below-index U.S. duration offset by exposure to European rates via Eurozone bonds. Curve positioning will favor short/intermediate maturities in the U.S. and Europe. Central banks will anchor the shorter end of these yield curves. Pressure on rates will come on the longer ends as reflation takes hold. We will retain holdings of municipal and real return bonds, which are less volatile than nominal bonds. However, we will tactically trim TIPS holdings after their strong rally. High quality emerging market bonds offer attractive yields and more potential for capital appreciation than comparably rated corporates. The U.S. current 4 Book page 38 account deficit will keep the dollar under pressure, so we will exploit this trend via modest currency exposure. The best vehicles are the yen and select, diversified emerging market currencies. Strategy: The following list highlights the strategies that will be used in the Long Term portfolio in the coming months: • Position portfolios defensively because economic stability could erode quickly and core bond sectors are fully valued • Limit exposure to fully valued nominal Treasuries, corporates and mortgages • Target below-index duration but move toward a neutral stance consistent with our range- bound rate outlook if rates trend higher • Retain broader-than-index yield curve position; favor short maturities as the Fed will anchor this end of the yield curve, but also hold intermediate issues to enhance yield and benefit from roll down • Retain TIPS as a hedge against secular inflation risk but harvest some gains in this sector after its strong Q 1 rally The following list highlights the strategies that will be used in the Liquid and COP Proceeds portfolios in the coming months: • Position the portfolio defensively because economic stability could erode quickly and core bond sectors are fully valued • Within guideline constraints, target duration near to slightly above the benchmark to capture extra yield available from a steep yield curve and to reap gains via "roll down" • Given fully valued corporates, limit holdings to issues with attractive yields and solid credit characteristics We hope you find this information useful. Please feel free to call us with any questions. Sincerely, Christine Telish, CF A Vice President 5 Book page 39 John M. Miller, CF A Senior Vice President t:o 0 ~ "O ~ ~ ~ Prepared by Finance, 5/4/2004, 3:20 PM OCSD Investment Management Program Quarter End Portfolio Values (Marked-to-Market) $450,000,000 -r----------------------------------------------------, $400,000,000 -1-----------------------------------------------------1 $350,000,000 --i------------------------------ $300,000,000 +----~ $250,000,000 +----~ $200,000,000 ___ ___, $150,000,000 -i-----,: $100,000,000 -i------r :1111mrn $50,000,000 s• . ii! r 1 :1 i:11:111 l!l)l!!Ji!I 31 Dec 02 31 Mar 03 30Jun 03 30Sep03 30 Dec 03 31 Mar04 C!J Liquid Operating Monies r.11 Long-Term Operating Monies C:\Documents and Settings\geggie\Local Settings\Temporary Internet Files\OLK10C\Qtrly End Portfolio Values.xis to ~ 'O !6 (1) .i:,. .... Summary of Performance Data and Portfolio Statistics Orange County Sanitation District Liquid Operating Portfolio Performance Periods Ended 3/3112004 ---------Total Portfolio1 Before Fees (¾) After Fees (%) Citigroup 3 Month T-Bill Index (%)2 4.55 4.40 4.07 3.85 2.32 3.71 2.17 3.32 1.89 1.12 0.80 0.52 0.26 0.98 0.69 0.46 0.24 1.00 0.72 0.47 0.23. 5-Year Return vs. Standard Deviation 11 ,--- 10 f X ~: Citigroup 10-Yr. Strip E 7 ::i & 6 ~ • Ml.1-3Vr. -g 5 Treasury -~ ~ 4 r • Portfolio E 3 • Index <{ 2 C 0 0 1 2 3 4 5 6 7 8 9 10 11 Standard Deviation of Retum2 (%) ¾ of Market Value % of Duration Summary Information 1twt.au@MtMmli Sector Allocation 12/31/2003 MIM•i•li itffi•~11•i!Mtiai•il Total Market Value ($MM) 91.4 91.6 Quarterly Contributions ($MM) Estimated Annual Income ($MM) Estimated Yield to Maturity(%) Estimated Duration (yrs) Average Maturity (yrs) Average Quality Average Coupon(%) Tracking Error (3 yrs., %)4 lnfomiation Ratio (3 yrs.)5 See footnotes in Appendix. 53.3 1.5 1.1 0.2 0.2 AAA 1.6 0.2 2.5 0.0 1.3 1.2 0.2 0.2 AAA 1.4 0.2 2.3 Government Mortgages Corporates High Yield Non U.S.$ Developed Issues• Emerging Markets Issues • Other Net Cash/Money Markets:3 Commercial Paper/ STIF ST Govemment Certificate of Deposit Banker's Acceptance Money Mkt Futures Less: Liabilities Total 32 26 43 0 0 0 8 8 13 0 0 0 0 0 0 0 0 0 0 0 0 60 66 44 48 46 44 0 0 0 2 0 0 0 0 0 0 0 0 10 20 0 100 100 100 • Currency exposures (if any) are detailed on the Direct Country and Currency Exposure page, the International Fund page and the Emerging Markets Bond Fund page, if applicable. 56 0 6 0 0 0 0 38 38 0 0 0 0 0 100 td 0 ~ ',:) i i'3 Summary of Performance Data and Portfolio Statistics Orange County Sanitation District Long Term Portfolio Performance Penoos Ended 3/31/2004 Total Portfollo1 Before Fees (%) After Fees (%) -6.51 6.36 6.25 6.10 Merrill 1-5 Year Gov't.Corp. (%)2 6.50 6.47 Summary Information Total Market Value ($MM) Quarterly Contributions ($MM) Estimated Annual Income ($MM) Estimated Yield to Maturity(%) Estimated Duration {yrs) Benchmark Duration (yrs) Average Maturity (yrs) Average Quality Average Coupon(%) Tracking Error (3 yrs., %)3 Information Ratio (3 yrs.)4 See footnotes in Appendix. it41tt,amc)Mirr.J❖II 386.8 392.7 0.0 0.0 16.1 15.5 2.6 2,1 2.2 2.0 2.4 2.4 2.5 2,1 AAA AAA 4.4 4.2 0.6 0.6 -0.8 -0.6 -----5.77 3.59 5 .61 3.45 6.18 3.84 2.11 2.00 2.15 Sector Allocation Government Mortgages Corporates High Yield 1.76 1.53 1.69 1.49 1.80 1.66 Non U.S.$ Developed Issues• Emerging Markets Issues • Other Net Cash Equivalents:3 Commercial Paper/ STIF ST Mortgages ST Corporates ST Government Other less: liabilities Total 9 8 7 ~ Es ~5 al 4 .!:! ~3 C ~2 0 0 5-Year Return vs. Standard Deviation Index X LBAG I Portfolio A Citigroup 3- Mo 23456789 Standard Deviation of Return2 (%) % of Market Value % of Duration it41M•i•kiliitH•I•i1i•i 1f.tmiciMtilM•11il 46 65 53 74 16 13 19 16 10 4 25 6 0 D D 0 28 13 2 3 10 1 -1 100 0 0 0 0 18 4 2 3 9 1 ·1 100 0 0 0 0 0 0 0 0 3 4 D 0 0 100 0 0 0 4 0 0 100 • Currency exposures (If any) are detalled on the Direct Country and Currency Exposure page, the International Fund page and the Emerging Markets Bond Fund page, If appllcable. to LIQUID OPER-Pl!«f'CO-OCSF07511102 Description CASH & CASH EQUIVALENTS U.S. DOLLAR INTEREST FED HM LOAN BNK -LESS THAN 1 YR FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 FNMA ISSUES -LESS THAN 1 YR MUTUAL FUNDS REPURCHASE AGREEMENTS TREASURY BILLS -LESS THAN 1 YR U.S. DOLLAR CASH & CASH EQUIVALENTS 8 FIXED INCOME SECURITIES ~ "O i t U.S. DOLLAR BANKING & FINANCE U.S. AGENCIES U.S. DOLLAR FIXED INCOME SECURITIES TOTAL ASSETS -BASE: Asset Summary by Asset Type with Sectors 3/3t/~Q04 Cost Shares Par Base 251,449.90 13,200,000.000 13,161,643.54 10,500,000.000 10,474,902.77 17,500,000.000 17,450,547.79 1,042,796.460 1,042,796.46 18,200,000.000 18,200,000.00 23,100,000.000 22,989,043.00 83,542,796.460 83,570,383.46 83,542,796.460 83,570,383.46 6,902,000.000 7,123,874.58 1,100,000.000 1,125,905.00 8,002,000.000 8,249,779.58 s,002,000.000 8,249,779.58 91,544,796.460 91,820,163.04 1 Report ID: GL8251 Base Currency: USD Alternate Base Currency: Exchange Rate: Market Value Base 251,449.90 13,161,643.54 10,474,902.77 17,450,547.79 1,042,796.46 18,200,000.00 22,989,043.00 83,570,383.46 83,570,383.46 6,945,310.15 1,101,174.25 8,046,484.40 8,046,484.40 91,616,867.86 Status: FINAL % of Total 0.27% 14.37% 11.43% 19.05% 1.14% 19.87% 25.09% 91.22% 91.22% 7.58% 1.20% 8.78% 8.78% 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 -178,564.43 -24,730.75 -203,295.18 -203,295.18 -203,295.18 Workbench LONG TERM OPER-PIMCO -OCSF07522202 --- Description CASH & CASH EQUIVALENTS U.S. DOLLAR PENDING TRADES INTEREST COMMERCIAL PAPER -DISCOUNT FNMA ISSUES -LESS THAN 1 YR MUTUAL FUNDS TREASURY BILLS -LESS THAN 1 YR U.S. DOLLAR CASH & CASH EQUIVALENTS to g FIXED INCOME SECURITIES ~ 'Cl U.S. DOLLAR Pl ~ ABS -AIRPLANE RECEIVABLES :f: ABS -HOME EQUITY BANKING & FINANCE COLLATERALIZED MORTGAGE OBLIGATION FHLMC MULTICLASS FHLMCPOOLS 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 Asset Summary by Asset Type with Sectors 3/~!/~QQ4 __ Cost Shares Par Base -2,839,011.27 3,114,766.96 500,000.000 498,338.89 13,500,000.000 13,459,599.37 1,079,017.300 1,079,017.30 12,400,000.000 12,335,954.54 27,479,017.300 27,648,665.79 27,479,017.300 27,648,665.79 1,600,000.000 1,600,000.00 963,373.960 963,373.96 16,700,000.000 16,776,633.00 2,241,342.070 2,241,342.07 1,015,139.090 1,016,220.57 127,068.480 126,501.16 41,750,460.340 42,722,325.50 3,003,944.840 2,988,545.92 8,083,887.560 8,193,098.64 3,000,000.000 3,044,880.00 34,479,210.000 34,496,129.79 1,600,000.000 1,594,032.00 752,000.000 826,199.84 38,056,882.820 39,289,828.98 190,360,886.080 198,864,178.18 4,750,000.000 4,694,370.00 348,484,195.240 359,437,659.61 348,484,195.240 359,437,659.61 1 Report ID: GL825 l Base Currency: USD Alternate Base Currency: __ j Exchange Rate: --~S~tatus: FINAL Market Value Base -2,839,011.27 3,114,766.96 498,338.89 13,459,599.37 1,079,017.30 12,335,954.54 27,648,665.79 27,648,665.79 329,280.00 963,976.07 17,379,536.00 2,456,398.84 1,055,988.29 130,458.90 43,213,370.40 3,061,849.34 8,530,604.51 3,020,620.00 38,986,935.62 1,708,000.00 826,199.84 40,424,454.23 198,024,852.45 4,969,087.50 365,081,611.99 365,081,611.99 % of Total -0.72% 0.79% 0.13% 3.43% 0.27% 3.14% 7.04% 7.04% 0.08% 0.25% 4.43% 0.63% 0.27% 0.03% 11.00% 0.78% 2.17% 0.77% 9.93% 0.43% 0.21% 10.29% 50.42% 1.27% 92.96% 92.96% Net Unrealized Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -1,270,720.00 602.11 602,903.00 215,056.77 39,767.72 3,957.74 491,044.90 73,303.42 337,505.87 -24,260.00 4,490,805.83 113,968.00 0 .00 1,134,625.25 -839,325.73 274,717.50 5,643,952.38 5,643,952,38 Workbench to 0 ~ "O ~ (1) i'; LONG TERM OPER-PIMCO -OCSF07522202 Description TOTAL ASSETS • BASE: Asset Summary by Asset Type with Sectors 3~2004 Cost Shares Par Base Report ID: GL8251 Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Market Value Base % of Total Net Unrealized Gain/Loss Base 375,963,212.540 387,086,325.40 392,730,277.78 100.00% 5,643,952.38 2 Workbench YLDANAL YIELD ANALYSIS PAGE 1 OCSF07511102 2004/03/31 RUN DATE 04/06/04 DISTRICT: LIQUID OPERATING RUN TIME 11.04.29 ======================-=========== -===--==----===--===-----====---=-----==============----=-==-===-=-= .. =---~== PAR VALUE YTH AT CURRENT MOODY MARl<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARXET VALUE % TOTAL ------------------------------------------------------------------------------------------- CASH & CASH EQUIVALENTS 2,soo,000.00 FEDERAL HOME LN BKS CONS DISC .ooo .000 P-1 99.743 2,493,585.76 2.99 313384WL9 MAT 05/05/2004 A-1+ 2,493,585.76 2.13 2,000,000.00 FEDERAL HOME LN BK CONS DISC .ooo .ooo P-1 99.431 1,988,625.00 2.38 313384XA2 HAT 05/19/2004 A-1+ 1,988,625.00 2,18 1,700,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .ooo P-1 99 .747 1,695,702.78 2 .03 313384XH7 HAT 05/26/2004 A-1+ 1,695,702.78 1.86 3,000,000.00 FEDERAL HOME LN BK CONS DISC N , 00<0 .000 P-1 99.758 2,992,750.00 3.59 313384XKO HAT 05/28/2004 A-1+ 2,992,750.00 3.28 4,000,000.00 FEDERAL HOME LN BK CONS DISC N ,00•0 .ooo P-1 99.775 3,990,980.00 4.79 313384XQ7 HAT 06/02/2004 A-1+ 3,990,980.00 4.37 to 0 2,500,000.00 FEDERAL HOME LN MTG CORP DISC ,000 .ooo P-1 99.745 2,493,625.00 2.99 0 313396WK5 HAT 5/4/2004 A-1+ 2,493,625.00 2.73 ~ "O ~ 6,000,000.00 FEDERAL HOME LN MTG CORP DISC .00·0 .ooo P-1 99.772 5,986,333.33 7 .18 Cb 313396WZ2 HAT 05/18/2004 A-1+ 5,986,333.33 6 .55 .i,.. °' 2,000,000.00 FEDERAL HOME LN HTG CORP DISC ,000 .ooo P-1 99.747 1,994,944.44 2.39 313J96XG3 MAT 05/25/2004 A-1+ 1,994,944.44 2,18 6,500,000.00 FEDERAL NATL MTG ASSN DISCOUNT . 0010 .000 P-1 99.753 6,483,930.56 7.78 313588WT8 HAT 05/12/2004 A-1+ 6,483,930.56 7.10 9,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT ,001() ,000 P-1 99.681 B,971,301.67 10,76 313588XA8 MAT 05/19/2004 A-1+ 8 1 971,301.67 9.82 2,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .0010 .000 P-1 99.766 1,995,315.56 2.39 313588XQ3 HAT 06/02/2004 A-1+ 1,995,315.56 2,18 23,100,000.00 US TREASURY BILL ,00,0 .000 P-1 99,520 22,989,043.00 27. 59 912795QW4 DUE 08/05/2004 DD 02/05/2004 A-1+ 22,989,043.00 25.16 10,200,000.00 CREDIT SUISSE FB REPO .oo 0 .920 100.000 10,200,000.00 21.84 994183221 00,920% 04/01/2004 DD 03/31/04 10,200,000.00 19. 92 YLDANAL YIELD ANALYSIS PAGE 2 OCSF075l1102 2004/03/31 RUN DATE 04/06/04 DISTRICT: LIQUID OPERATING RUN TIME 11.04.29 --------------------=---------------------=====-----=-------------~==================================================------=- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE .SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -------------------------------------------------------------------------------------------------- 1,042,796.46 DREYFUS TREASURY CASH MGMT .0())0 .819 AAA 100.000 1,042,796.46 1.25 99608S247 AAA 1,042,796.46 1.14 -------------------------------------- TOTAL CASH & CASH EQUIVALENTS .ooo .079 83,318,933.S6 100 ,00 83,318,933,S6 91.20 FIXED INCOME SECURITIES 100,00'0,00 ASSOCIATES CORP NA MTN SR00043 . 000 7,777 AAl 101.843 104,199,00 1.26 045906BU7 7.920% 07/13/2004 DD 07/13/94 AA-101,843.00 .11 1,000,000.00 ASSOCIATES CORP NORTH AMER . 00 0 5.788 AAl 100,203 1,041,290 .00 12.45 046003KA6 5.800% 04/20/2004 DD 04/20/99 AA-1,002,030.00 1.10 to 0 500,ooo.oo BANK OF AMERICA CORP SR GBL NT . 00 0 6.554 AA2 101 .078 518,385.00 6 .28 ~ 066050CW3 6.625% 06/15/2004 DD 06/15/99 A+ 505,390.00 .55 "O po 1,100,000.00 FEDERAL HOME LN MTG CORP DEB .oo 0 3.746 AAA 100.107 1,125,905.00 13,68 ~ (1) 3134A4PH1 3.7501 04/15/2004 DD 04/15/02 AAA 1,101,174.25 1.21 ~ 100,000.00 GENERAL ELEC CAP MTN fTR 00448 . 00 0 7,216 AAA 100.468 183,801.60 2. 24 36962GUR3 7,2S0% 05/03/2004 DD 05/01/00 AAA 190,842.40 .20 1,000,000.00 GENERAL ELEC CAP MTN ITR 00545 .0010 1.210 AAA 100.031 1,001,009,00 12.43 36962GYS7 VAR RT 05/20/2004 DD 05/20/02 AAA 1,000,310.00 1.09 1,000,000 .00 LEHMAN BROS HLDGS INC .00 10 6.625 Al 100.000 1,045,590.00 12 .42 524908BZ2 6,6251 04/01/2004 DD 03/26/99 A 1,000,000.00 1.09 250,000.00 NCNB TEX NATL BK DALLAS TEX NT . 0010 9,381 AA2 101.265 260,870,00 3.14 6288S?DJO 9.500% 06/01/2004 DD 06/01/89 A+ 253,162.50 .28 600,000.00 NATIONSBANK CORP ,0010 7.576 AA3 102.296 615,546.00 7.62 638585AJ8 7,750% 08/15/2004 A 613,776.00 .67 627,000.00 NATIONSBANK CORP SR NTS , 000 6.042 AA2 101. 375 646,650.18 7.89 638585BJ7 6,1251 07/15/2004 DD 07/23/98 A+ 635,621.25 .70 520,000.00 NORWEST FINL INC NTS .oo ,o 7,200 AAl 100.000 531,538.80 6.46 669383DG3 7.2001 04/01/2004 DD 04/07/97 AA-520,000.00 .57 tJj 0 ~ "O ~ ~ .j>.. 00 YLDANAL OCSF07511102 DISTRICT: LIQUID OPERATING YIELD ANALYSIS 2004/03/31 PAGE RUN DATE RUN TIME 3 04 /06 /04 11.04 ,29 ============================================================================================================================= PAR VALUE SECURITY ID SECURITY DESCRIPTION 1,000,000.00 US BANCORP MTN ITR 00119 91159HEY2 6,000% 05/15/2004 DD 05/10/99 1251000.00 WELLS FARGO & CO NEW NT 949746AA9 6.625% 07/15/2004 DD 07/28/99 TOTAL FIXED INCOME SECURITIES TOTAL YTH AT CURRENT MOODY MARKET eoox YIELD S-P PRICE . 000 5.967 AA3 100.546 A+ , 000 6,527 AAl 101. 500 AA- --------------- • 000 5,269 .ooo .682 TOTAL COST/ MARKET VALUE 1,046,310.00 1,005,460.00 128,605,00 126,875,00 8,249,779.58 8,046,484,40 91,568,713.14 91,365,417,96 % TYPE % TOTAL 12.49 1.10 l. 57 .14 100.00 8.81 100.00 100.00 YLDANAL YIELD ANALYSIS PAGE 4 OCSF07522202 2004/03/31 RUN DATE 04/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.04.29 ----------~=~~-============================================================================================================== PAR VALUE YTtt AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL --------------------------------·------------------------------------------------------------------- CASH & CASH EQUIVALENTS 600,000.00 FEDERAL NATL MTG ASSN DISCOUNT • 000 .ooo P-1 99.750 598,500.00 2,18 313588XA8 MAT 05/19/2004 A-1+ 598,500,00 .15 soo,000.00 FEDERAL NATL MTG ASSN DISCOUNT • 000 .000 P-1 99.829 499,147,50 1.82 313588X86 MAT 05/20/2004 A-1+ 499,147.50 .13 3,600,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo ,000 P-1 99.745 3,590,809.00 13.11 3135BBXQ3 MAT 06/02/2004 A-1+ 3,590,809.00 • 91 8,000,ooo.oo FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99 .672 8,771,142.87 32.04 313588YV1 MAT 07/01/2004 A-1+ 8,771,142.87 2,23 to 500,ooo.oo GENERAL ELEC CAP DISC • 000 .000 P-1 99.668 498,338.89 1.82 0 36959HG84 07/08/2004 498,338.89 .13 0 ?;' "O e,000,000.00 US TREASURY BILL • 000 .ooo P-1 99.484 7,958,746.66 29,07 ~ (IQ 912795PW5 0,000% 04/29/2004 DD 10/30/03 A-1+ 7,958,746,66 2.03 (1) .i,. '-0 4,400,000.00 US TREASURY BILL . 000 .ooo P-1 99.482 4,377,207,88 15.99 912795PX3 0.000% 05/06/2004 DD 11/06/03 A-1+ 4,377,207.88 1.12 1,079,017.30 DREYFUS TREASURY CASH MGMT . 000 ,819 AAA 100.000 1,079,017.30 3.94 996085247 AAA 1,079,017,l0 .27 ·-----------------------·----------- TOTAL CASH & CASH EQUIVALENTS . 000 .008 27,372,910.10 100.00 27,372,910,10 6.97 FIXED INCOME SECURITIES 752,000.00 AIG SUNAHERICA GLOBAL REGS , 000 5,325 109.867 826,199,84 .22 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 5.369 AAA 102.438 2,875,250.00 .78 01F052649 5,5001 04/01/2034 DD 04/01/04 AAA 2,868,250.00 .73 1,soo,000.00 CIT GROUP INC NEW SR NT .ooo 5.060 A2 108.703 1,527,135.00 , 44 125581ADO 5.5001 11/30/2007 DD 12/02/02 A 1,630,545.00 .42 50,917.91 FHLHC GROUP fG4-0353 .ooo 7,432 AAA 100.912 52,206.77 .01 312BDBHA2 7,500% 10/01/2004 DD 03/01/99 AAA 51,382,37 .01 YLDANAL YIELD ANALYSIS PAGE 5 OCSF07522202 2004/03/31 RUN DATE 04 /06 /04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.04.29 ----------------=======-= =-===---=--==.:::.=..: == =========== =====----======== = ==-=---·--------------------======-============ PAR VALUE YTH AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL ----------------------------------------------------------------------------------------------- 7,500,000.00 FEDERAL HOME LN BK CONS BDS .00)0 6.790 AAA 105.082 7,997,625.00 2.15 3133MAUN7 7.125% 02/15/2005 DD 02/09/00 AAA 7,881,122.25 2.01 76,150.57 FHLMC GROUP 178-6064 ,00!0 3,262 AAA 103.842 74,294.39 .02 31348SWZ3 6.384% Ol/01/2029 DD 12/01/97 AAA 79,076.53 .02 11,350,000.00 FEDERAL NATL MTG ASSN DEBS .ooo 4 .894 AAA 107,267 11,521,271.50 3.33 31359M.JX2 5.250% 06/15/2006 DO 06/22/01 AAA 12,174,855.58 3.10 803,849 .48 FNMA POOL 10254510 .000 4,847 AAA 103.160 827,964.96 .22 Jl371I<VB4 5.000% 11/01/2017 DD 10/01/02 AAA 829,252,41 . 21 171,411.27 FNMA POOL 10254631 .ooo 4 ,B47 AAA 103.160 176,553.61 .04 31371KY47 5.000% 02/01/2019 DD 01/01/03 AAA 176,828.14 .05 to 154,118,90 FNMA POOL 10254760 .ODO 4,944 AAA 103.223 158,742.46 .04 0 31371K5V9 5,000% 06/01/2018 DD 05/01/03 AAA 159,085.63 ,04 0 ~ 'Cl 67,822.73 FNMA POOL 10254866 ,ODO 4 ,B44 AAA 103.223 69,857.42 .01 ;., 31371LCB3 5,000% 09/01/2018 DD OB/01/03 AAA 70,008,43 .02 (1q 0 Vl 357,031,18 FNMA POOL 10254953 .000 4,844 AAA 103,223 361,605.65 .10 0 31371LE21 5.000% 11/01/2018 DD 10/01/03 AAA 368,537.08 .09 967,177,B FNMA POOL 10254987 .ooo 4 .858 AAA 102.932 979,569.69 ,27 31371LF46 5,000% 12/01/2018 DD 11/01/03 AAA 995,537.03 ,25 192,417.27 FNMA POOL 10323980 ,ODO 5,675 AAA 105.727 200,895.65 .05 31374T2MO 6,000% 04/01/2014 DO 09/01/99 AAA 203,436.16 .05 30,286.76 FNMA POOL 10357328 .ooo 4 ,B57 AAA 102,953 31,195.36 .00 31376.J4M8 5.0001 01/01/2018 DD 01/01/03 AAA 31,181.06 .01 1,544,014.91 FNMA POOL 10357430 .ooo 4 .854 AAA 103,004 1,561,385.09 .43 31376KA71 5.000% 09/01/2018 OD 09/01/03 AAA 1,590,395.73 . 41 60,341.64 FNMA POOL 10456482 .ooo 5. 675 AAA 105.727 63,000.44 .01 31381CCT2 6.0001 02/01/2014 DD 02/01/99 AAA 63,797.14 .02 148,561.08 FNMA POOL 10509649 .ooo 5,675 AAA 105.727 155,107.06 .04 31383QEWO 6.000% 09/01/2014 DD 09/01/99 AAA 157,068.52 .04 152,452.95 FNMA POOL 10535451 .000 5,682 AAA 105.602 159,170.41 .04 31384VZQ8 6.0001 06/01/2015 DD 07/01/00 AAA 160,992.69 .04 YLDANAL YIELD ANALYSIS PAGE 6 OCSF07522202 2004/03/31 RUN DATE 04/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.04.29 ---------------=-=-=====-======---=-=================-=-----:=====================================-=====---=====-----=====~-~ PAR VALUE YTH AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE \ TOTAL ---------------~------------------------------------------------------------------------------ 3,278,934.53 FNMA POOL 10535612 .ooo 5.675 AAA 105.727 3,423,412,60 .94 31384WCH1 6,000% 01/01/2016 DD 12/01/00 AAA 3,466,704,68 ,88 1,060,143.49 FNMA POOL 10545296 ,OJOO 5,678 AAA 105,664 1,106,856.06 .30 31385HXZO 6,000% 11/01/2016 DD 10/01/01 AAA 1,120,190.65 .29 88,344.73 FNMA POOL 10545580 .OlOO 5,658 AAA 106.039 92,237.41 .02 31385JCR7 6.000% 03/01/2017 DD 03/01/02 AAA 93,679.92 ,02 161,536.34 FNMA POOL 10555101 .OlOO 5,665 AAA 105.914 168,654.02 ,04 31385WU23 6.000% 10/01/2017 DD 11/01/02 AAA 171,089.70 . 04 368,911.79 FNMA POOL 10555363 ,OlOO 4.054 AAA 103,004 379,979.14 .10 3"1385W5'il 5.000% 04/01/2018 DD 03/01/03 AAA 379,993.57 .10 37,004.12 FNMA POOL 10555453 .000 4.847 AAA 103.160 38,369.51 .01 to 31385XBW6 5.000% 05/01/2018 DD 04/01/03 AAA 39,081.32 . 01 0 0 307,445.74 :,<;' FNMA POOL 10555545 • CDOO 4,854 AAA 103,004 316,669.12 .08 "O r:,, 31385XES2 5 .000% 06/01/2018 DD 05/01/03 AAA 316,681,13 .08 (IQ ('1) 1,065,954.33 FNMA POOL #0555621 .IJ!OO 4,858 AAA 102.932 1,077,946.31 .30 Vt 31385XG68 5,000% 07/01/2018 DD 06/01/03 AAA 1,097,209.93 .28 ...... 63,908.17 FNMA POOL 10576386 .000 5,698 AAA 105.301 66,724,12 ,01 31386XJ72 6.000% 05/01/2016 DD 05/01/01 AAA 67,296.15 .02 151,190.02 FNMA POOL 10576739 .ooo 5,665 AAA 105.914 157,851.83 .04 31386XV86 6,000% 04/01/2016 DD 04/01/01 AAA 160,131.49 .04 213,071.90 FNMA POOL 10580888 .ODO 5,658 AAA 106.039 223,295.62 .06 31387DJ91 6.000% 05/01/2016 DD 05/01/01 AAA 226,787.75 .06 163,178.63 FNMA POOL 10594002 .ooo 5,678 AAA 105.664 170,368.68 .04 31387T31<8 6,0001 07/01/2016 DD 07/01/01 AAA 172,421.17 .04 232,066.77 FNMA POOL 10597376 ,OlOO 5,678 AAA 105,664 242,292.21 .06 31387XT96 6 ,000% 09/01/2016 DO 08/01/01 AAA 245,211.17 .06 137,840,23 FNMA POOL 10605259 .o,oo 5.678 AAA 105,664 143,913,82 . 03 31388HHG1 6.000% 09/01/2016 00 09/01/01 AAA 145,647 ,58 .04 86,130,19 FNMA POOL 10608366 .ooo 5.678 AAA 105.664 89,925.30 .02 31388LZ78 6.000% 10/01/2016 DD 09/01/01 AAA 91,008.66 ,02 YLDANAL YIELD ANALYSIS PAGE 7 OCSF07522202 2004/03/31 RUN DATE 04 /06 /04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.04,29 ----------------------------------------------------------------==-========·==~=~~=-==;=;~=~~-=-==-===~~=====~~::.=::..=::====:;==~=~~-==-=-=~= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ------·------------------------------------------------------------------------------·------- 168,429,97 FNMA POOL 10616734 .ooo 5.652 AAA 106.164 175,851.41 .04 31388WEF9 6.000% 12/01/2016 DD 12/01/01 AAA 178,812.09 ,05 159,806,24 FNMA POOL 10630812 .ooo 5,697 AAA 105.323 166,847.70 .04 31389NYH2 6,000% 02/01/2017 DD 02/01/02 AAA 168,312.08 ,04 771,604.77 FNMA POOL 10632376 • 000 5,665 AAA 105.914 805,603.62 .22 31389QQ50 6.000% 07/01/2017 DD 07/01/02 AAA 817,237.94 . 21 439,281.71 FNMA POOL 10653116 .ooo 5.665 AAA 105.914 458,637.56 . 12 313°90QSDB 6.000% 07/01/2017 DD 07/01/02 AAA 465,261.09 .12 186,481.45 FNMA POOL 10673280 .ooo 5,665 AAA 105.914 194,698.29 .05 31391P6R2 6,000% 08/01/2017 DD 11/01/02 AAA 197,510,07 .05 t,:; 557,907.17 FNMA POOL 10681309 .ooo 4.854 AAA 103.004 574,644.38 ,15 0 0 31391Y3S4 5.000% 02/01/2018 DD 02/01/03 AAA 574,666.20 ,15 ~ "O p, 69,784.18 FNMA POOL 10681334 . 000 4.854 AAA 103.004 71,877.70 .01 (Jq (1) 31391Y4Tl 5,000% 02/01/2018 DD 01/01/03 AAA 71,880.43 .02 Vt N POOL 10684908 346,982.23 FNMA . 000 4,847 AAA 103,160 351,427.94 ,09 31400D3Rl 5.000% 06/01/2018 DD 05/01/03 AAA 357,947.42 ,09 196,909.15 FNMA POOL 10685200 .ooo 4.854 AAA 103.004 199,432.06 .05 31400EGH7 5.000% 03/01/2018 DD 03/01/03 AAA 202,824.12 .05 35,411.02 FNMA POOL 10685665 .000 4.854 AAA 103.004 36,473.35 .oo 31400EW22 5,000% 02/01/2018 DD 02/01/03 AAA 36,474.74 .01 299,409.16 FNMA POOL 10686318 . 000 4,854 AAA 103.004 308,391.43 .oe 31400FPB7 5.000% 03/01/2018 DD 03/01/03 AAA 308,403.14 .08 116,331.81 FNMA POOL 10688739 . 000 4.854 AAA 103.004 119,821.76 ,OJ 31400JEL9 5.000% 06/01/2018 DD 06/01/03 AAA 119,826.31 ,03 119,332,89 FNMA POOL 10689859 .ooo 4.844 AAA 103.223 120,861.84 .03 31400KMG8 5,000% 05/01/2018 DD 05/01/03 AAA 123,178.58 .03 715,269.33 FNMA POOL 10693834 . 00 0 4.854 AAA 103.004 736,727,41 .20 31400PY74 5,000% 03/01/2018 DD 03/01/03 AAA 736,755.38 ,19 261,890.42 FNMA POOL 10695852 .000 4.854 AAA 103.004 269,747.13 .07 31400SBVO 5,000% 05/01/2018 DD 05/01/03 AAA 269,757.37 .07 YLDANAL YIELD ANALYSIS PAGE B OCSF07522202 2004/03/31 RUN DATE 04/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 11,04.29 ------------------------------------------------------------=-=============================================================== PAR VALUE YTM AI" CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION f3001( YIELD S-P PRICE MARKET VALUE I TOTAL --------------------------------------------------------------------------------------------- 815,674,08 FNMA POOL f0695889 .001> 4,854 AAA 103.004 840,144.30 .23 31400SC23 5.0001 05/01/2018 DO 05/01/03 AAA 840,176,20 , 21 25,670,71 FNMA POOL 10697026 . 000> 4 . 854 AAA 103.004 26,440.85 .oo 31400TLF2 5,0001 05/01/2018 DD 04/01/03 AAA 26,441.84 .01 90,452,55 FNMA POOL 10698939 .ooo 5.658 AAA 106.039 94,438.12 .02 31400VPY2 6,0001 09/01/2017 DD 03/01/03 AAA 95,915,03 ,02 260, 477•. 71 FNMA POOL 10702210 ,OOCI 4,858 AAA 102.932 268,292.04 .07 31401AOP9 5,0001 05/01/2018 DD 05/01/03 AAA 268,115,36 .07 145,689.05 FNMA POOL 10702328 .ooo 4,854 AAA 103,004 147,555,70 ,04 31401AHD2 5,0001 05/01/2018 DD 04/01/03 AAA 150,065.42 . 04 t,j 77,242 .94 FNMA POOL f0703195 .ooo 5,668 AAA 105.852 80,646.46 .02 0 31401BGC3 6,0001 01/01/2017 DD 04/01/03 AAA 81,762,86 .02 0 ~ "0 295,651.93 FNMA POOL 10709148 .ooo 4,854 AAA 103.004 304,521.49 ,OB ~ (ICj 31401HZH7 5,0001 06/01/2018 DD 06/01/03 AAA 304,533.05 .08 (D Ul ~ 688,069,30 FNMA POOL 10709360 , 000 4 .844 AAA 103,223 696,885,20 , 19 31401JB56 5,000% 07/01/2018 DD 06/01/03 AAA 710,243.43 ,18 135,927,88 FNMA POOL 10709826 . 000 4.854 AAA 103.004 137,669,45 .03 31401JSP4 5,0001 06/01/2018 00 06/01/03 AAA 140,011 ,03 ,04 258,385.05 FNMA POOL 10709917 ,000 4,854 AM 103.004 261,695.60 .07 31401JVJ4 5,0001 06/01/2018 DD 06/01/03 AAA 266,146,70 .07 26,357,17 FNMA POOL 10709963 .ooo 4.858 AAA 102.932 26,694,88 ,00 31401.JWYO 5,000% 06/01/2018 DD 06/01/03 AAA 27,130,01 .01 765,590,59 FNMA POOL 10710235 .ooo 4.854 AAA 103.004 788,558.32 , 21 31401KBC8 5.0001 06/01/2018 DD 06/01/03 AAA 788,588,24 .20 23,899.09 FNMA POOL 10713344 .ooo 4,854 AAA 103,004 24,616,05 .00 31401NP52 5,0001 06/01/2018 DD 06/01/03 AAA 24,617.00 .01 323,167.81 FNMA POOL 10713365 , 000 4.854 AAA 103.004 327,308,40 ,09 31401NQS1 5.0001 07/01/2018 OD 07/01/03 AAA 332,875,48 .oe 891,832.60 FNMA POOL 10720319 .000 4,854 AAA 103.004 903,259.20 .25 31401WG45 5,0001 07/01/2018 00 07/01/03 AAA 918,622,45 ,23 YLDANAL YIELD ANALYSIS PAGE I 9 OCSF07522202 2004/0J/ll RUN DATE 04/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME I 11.04.29 --------------===-=-===================================--==================================================================== PAR VALUE YTH AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION IJ()OK YIELD S-P PRICE MARKET VALUE I TOTAL -------......... -. ---~ - _,.._ ... ____________________ .,. ... ------------------------------------------------ 2,380,561.51 FNMA POOL t0720369 .ooo 4.858 AAA 102.932 2,451,978.36 ,67 ll401WJNO 5.0001 06/01/2018 DD 06/01/03 AAA 2,450,363,64 .62 306,069.73 FNMA POOL 10721629 .ooo 4.835 AAA 103,410 315,251.83 .OB 31401XVW4 5.000\ 07/01/2018 DD 06/01/03 AAA 316,507.20 .OB 250,321.15 FNMA POOL 10723487 .ooo 4,854 AAA 103.004 253,137,27 .07 31402AXQ4 5,0001 06/01/2018 DD 06/01/03 AAA 257,840.57 .07 417, 487,. 21 FNMA POOL 10729601 ,000 4 .844 AAA 103.223 422,836.27 .11 31402RRW3 5.0001 07/01/2018 DD 07/01/03 AAA 430,941.40 .ll 36,173.18 FNMA POOL f0732873 ,000 4.838 AAA 103.348 36,636.64 .01 Jl402MFNS 5,0001 11/01/2018 DD 10/01/03 AAA 37,384.14 .01 730,063.69 FNMA POOL 10737130 ,000 4 .844 AAA 103.223 739,417.63 .20 to ll402-S4P9 5.0001 10/01/2018 DD 10/01/0J AAA 753,591.16 .19 0 0 i:'I" 576,944.79 FNMA POOL 10738211 .ooo 4,858 AAA 102. 932 584,336.91 ,16 'O 31402UDQ2 5.0001 10/01/2018 DD 10/01/03 AAA 593,861.80 ,15 Pl {J(l ('t> 21S1 799,15 POOL 10738487 ,000 4,854 Vl FNMA AAA 103.004 218,564.07 .06 ~ ll402UNC2 5,0001 10/01/2018 DD 10/01/0J AAA 222,281.56 ,06 691,271,1S FNMA POOL 10740471 ,000 4.85B AAA 102.932 700,128.05 .19 l1402WT40 5.0001 10/01/2018 DD 10/01/03 AAA 711,540.40 .18 820,597.82 FNMA POOL 10740748 .ooo 4.854 AAA 103.004 831,111.72 .23 31402W5H7 5.0001 10/01/2018 DD 11/01/03 AAA 845,247.84 ,22 43,335.92 FNMA POOL 10743868 ,000 4.858 AAA 102,932 43,891.16 .01 31403BMR1 5.0001 11/01/2018 DD 10/01/03 AAA 44,606.60 .01 1,137,791.08 FNMA POOL 10744008 ,000 4,854 AAA 103,004 1,152,369.02 ,32 ll403BR54 5,0001 07/01/2018 DD 09/01/03 AAA 1,171,969.30 .JO 168,300,65 FNMA POOL 10744316 ,000 4.858 AAA 102,932 170,457.01 ,04 ll40JB3Z4 5.0001 09/01/2018 DD 09/01/03 AAA 173,235.51 .04 358,341.36 FNMA POOL 10747914 .ooo 4.854 AAA 103.004 362,932.62 .10 31403FJXO 5,0001 11/01/2018 DD 11/01/0J AAA 369,105.61 .09 241,353.53 FNMA POOL 10748400 ,000 4.858 AAA 102.932 244,445.88 .06 ll40lGNR9 5.0001 08/01/2018 DD 09/01/03 AAA 248,430.43 .06 YLDANAL YIELD ANALYSIS PAGE 10 OCSF07522202 2004/03/31 RUN DATE 04/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME I 11.04,29 ----------------. --~--------------~----================================================================== PAR VALUE YTM AT CURRENT MOODY MARXET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL --------------------------------------------------... --------------------------------------------- 1,016,121.71 FNMA POOL 10748899 ,000 4.859 AAA 102,902 1,029,140.76 ,28 31403G7LO 5,000% 12/01/2018 DD 11/01/03 AAA 1,045,610.58 ,27 2,511,009.62 FNMA POOL 10750377 ,000 4.859 AAA 102.902 2,543,181.93 . 70 31403JUA2 5.000% 11/01/2018 DD 11/01/03 AAA 2,583,881.63 .66 2,067,507.55 FNMA POOL 10750380 ,000 4,859 AAA 102.902 2,093,997.51 .58 3l403JUD6 5.000% 11/01/2018 DD 11/01/03 AAA 2,127,508.69 .54 191,850,62 FNMA POOL 10750445 , 000 4.859 AAA 102,902 194,308,70 .05 31403JWE2 5,000% 11/01/2018 DD 11/01/03 AAA 197,418,32 ,05 886, 9_83. 01 FNMA POOL 10751960 ,000 4.858 AAA 102.932 898,347,48 ,25 31403LMH1 5.000% 12/01/2018 DD 11/01/03 AAA 912,990.87 ,23 to 956,360.34 FNMA POOL 10753425 ,000 4.854 AAA 103,004 967,418.25 .26 0 31403NA23 5.000% 11/01/2018 DD 11/01/03 AAA 985,088.54 .25 0 I>';' 626,778.88 FNMA POOL 10755165 .ooo 4,844 AAA 103,223 634,809.48 .17 "C ~ 31403Q6A3 5,000% 12/01/2018 DD 11/01/03 AAA 646,977,83 ,16 ('b lJt 983,689.85 FNMA POOL 10756372 .ooo 4.844 AAA 103.223 995,063.76 .27 lJt 31403SJRB 5.000% 11/01/2018 DD 11/01/03 AAA 1,015,390.83 .26 297,905.26 GNMA POOL 10596612 ,000 6 .138 AAA 105.891 312,660.87 .08 362008YH4 6,500% 09/15/2032 DD 09/01/02 AAA 315,453.73 ,OB " 1,055,308.12 GNMA POOL 10569358 .ooo 6.160 AAA 105.524 1,080 I 041, 90 .30 36200QQK3 6,500% 04/15/2032 DD 04/01/02 AAA 1,113,601.81 ,28 45,625,27 GNMA POOL 10569685 .ooo 6.138 AAA 105,891 47,885.14 .01 36200Q2S2 6.500% 02/15/2032 DD 02/01/02 AAA 48,312,88 .01 78,367.74 GNMA POOL 10570019 .ooo 6.138 AAA 105.891 82,249.40 .02 36200RG48 6,500% 07/15/2032 DD 07/01/02 AAA 82,984.09 .02 435,105.55 GNl:IA POOL 10574323 ,000 6.138 AAA 105.891 456,656.88 ,12 36200WAY7 6,500% 12/15/2031 DD 12/01/01 AAA 460,735.96 ,12 44,315.46 GNMA POOL 10575364 ,000 6,138 AAA 105.891 46,510.46 , 01 36200XFD6 6.500% 11/15/2031 DD 11/01/01 AAA 46,925.92 .01 19,200.94 GNMA POOL 10587117 .ooo 6.138 AAA 105,891 20,151.99 .oo 36201MG22 6.500% 06/15/2032 DD 06/01/02 AAA 20,331.99 .01 YLDANAL YIELD ANALYSIS PAGE 11 OCSF07522202 2004/03/31 RUN DATE 04/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.04.29 ----------' -~-~----·-----------------------==========------================================================================= PAR VALUE YTH AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL --------______ " ___ -------------------------------------------------· .. --------------------------------- 55,770.44 GNHA POOL 10587439 .000 6.140 AAA 105.859 58,532.81 .01 J6201HS45 6.5001 11/15/2032 DD 12/01/02 AAA 59,038.24 .02 13,563.09 GNHA POOL 10421389 .ooo 6 .119 AAA 106,234 14,234.90 .oo J6206UC23 6.5001 04/15/2026 DD 04/01/96 AAA 14,408.66 .oo 22,798.13 GNHA POOL 10449851 .ooo 6.151 AAA 105.677 23,927.35 .oo 36208FWLO 6.5001 01/15/2028 DD 01/01/98 AAA 24,092.37 .01 57,238.08 GNMA POOL 10466845 .ooo 6.126 AAA 106.109 60,073.15 .01 36209BTA6 6.5001 06/15/2028 DD 06/01/98 AAA 60,734,97 .02 112, 7_92. 86 GNMA POOL 10468052 .ooo 6 .126 AAA 106.109 118,379.64 .03 36209CSM4 6.5001 07/15/2028 DD 07/01/98 AAA 119,683.80 .03 173,436.16 GNMA POOL 10476041 .ooo 6,126 AAA 106.109 181,755.68 .OS to 36209HZE7 6.5001 06/15/2028 DD 06/01/98 AAA 184,032.03 .05 0 0 :,,;-163,642.52 GNMA POOL f0478626 .ooo 6,126 AAA 106,109 171,492,25 ,04 "Cl s:i, 36209QVT9 6.5001 01/15/2029 DD 01/01/99 AAA 173,640.06 .04 oq ~ Ul 122,664.99 GNHA POOL 10480598 .ooo 6.126 AAA 106.109 128,549.08 .03 °' 36209S3F6 6.5001 10/15/2028 DD 10/01/98 AAA 130,159.06 .03 413,548.04 GNMA POOL 10485527 .ooo 6.138 AAA 105.891 434,031.60 .11 36209YLG1 6,5001 06/15/2031 DD 06/01/01 AAA 437,908.58 .11 .. 456,736.08 GNHA POOL 10485610 .ooo 6.138 AAA 105.891 479,358.79 .13 36209YN38 6.5001 07/15/2031 DD 07/01/01 AAA 483,640.67 .12 881 433.90 GNHA POOL 10485682 ,000 6,138 AAA 105.891 92,814.14 .02 36209YRB6 6.5001 08/15/2031 DD 08/01/01 AAA 93,643.21 .02 72,697.57 GNHA POOL f0485703 .ooo 6.138 AAA 105.891 76,298.37 .02 36209YRY6 6.5001 08/15/2031 DD 08/01/01 AAA 76,979.91 .02 10,887.03 GNMA POOL 10512235 ,000 6. 131 AAA 106,016 11,426.27 .oo 36211GBC6 6.5001 11/15/2029 DD 11/01/99 AAA 11,541.95 .oo 141,394,81 GNMA POOL 10514326 .ooo 6,131 AAA 106.016 148,177,34 ,04 36211JLF2 6,5001 07/15/2029 DD 07/01/99 AAA 149,900.58 .04 46,750.56 GNHA POOL 10530053 .ooo 6,159 AAA 105.529 49,066.18 .01 36212CZS3 6.5001 04/15/2031 DD 04/01/01 AAA 49,335.53 .01 YLDANAL YIELD ANALYSIS PAGE 12 OCSF07522202 2004/03/31 RUN DATE 04/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.04.29 ----------------------------===-==========-===========---==================================================================== PAR VALUE YTM AT CURRENT MOODY MARJ<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARJ<ET VALUE % TOTAL ----------------------~---... -----------·--------------------------------------------------------- 104,672 .66 GNHA POOL 10537885 ,000 6 .138 AAA 105.891 109,857,22 .03 36212MRE1 6.500% 02/15/2031 DD 02/01/01 AAA 110,838.53 ,03 10,909.50 GNMA POOL 10547512 ,000 6 .138 AAA 105.891 11,449.87 .oo 36212YGV9 6 .500% 04/15/2031 DO 04/01/01 AAA 11,552 .14 .oo 127,835.97 GNMA POOL 10547715 ,000 6 .138 AAA 105.891 133,968.10 .03 36212YN82 6,5001 02/15/2031 OD 02/01/01 AAA 135,366,30 ,03 66,498.41 GNMA POOL 10552322 ,000 6,138 AAA 105.B91 69,792.16 .01 36213ESIC3 6.500% 01/15/2032 DD 01/01/02 AAA 70,415.58 ,02 478,~61.86 GNMA POOL f0552466 ,000 6,160 AAA 105,524 502,685.45 .13 36213EW36 6,500% 03/15/2032 DO 03/01/02 AAA 505,419.02 ,13 390,297.17 GNMA POOL 10552659 ,000 6,138 AAA 105,891 409,629,06 .11 to 36213E5U6 6.500% 07/15/2032 DD 07/01/02 AAA 413,288.09 .11 0 0 ;,;-' 359,527.30 GNMA POOL 10561017 ,000 6. 138 AAA 105.891 377,335.13 .10 "O ~ 36213QG29 6.500% 07/15/2031 DD 07/01/01 AAA 380,705.6' .10 (J'Q (1) u, 253,532.74 GNHA II POOL fOOB0395 .ooo 3.437 AAA 101.844 251,235.10 .07 -...] 36225CNH4 VAR RT 04/20/2030 DD 04/01/00 AAA 258,209,02 .07 2,252,721.51 GNHA II POOL fOB0408X ,000 3,437 AAA 101.843 2,229,842,31 .62 36225CN28 6.5001 05/20/2030 DD 05/01/00 AAA 2,294,247,05 .58 , J,000,000.00 GENERAL MTRS ACCEP CORP SR NT ,000 5.684 Al 107,765 3,064,350.00 .ea 370425SD3 6.125% 08/28/2007 DD 08/29/02 BBB 3,232,950,00 ,B2 3,000,000.00 GOLDMAN SACHS GROUP INC SR NT ,000 3,953 AA3 104,359 3,030,030.00 .85 38141GCS1 4,1251 01/15/2008 DD 01/13/03 A+ 3,130,770.00 ,80 3,200,000.00 MORGAN STANLEY NT ,000 3.543 AA3 102.328 3,195,648.00 .89 617446HW2 3.625% 04/01/2008 DD 03/06/03 A+ 3,274,496.00 .83 1,000,000.00 PHILIP HORRIS COS INC NTS .ooo 7.500 BAA2 100.000 1,052,600.00 .27 718154CHB 7,5001 04/01/2004 DD 04/01/97 BBB 1,000,000.00 .25 963,373.96 RESIDENTIAL ASSET 03-RSll AIIB .ooo 1.419 AAA 100,06] 963,373,96 .26 7609851(83 VAR RT 12/25/2033 OD 12/30/03 AAA 963,976.07 .25 3,260,886.08 SBA GTD DEV PARTN 200l-20C l .ooo 5,750 AAA 110.255 3,260,886.08 .98 83162CLJO 6.340% 03/01/2021 AAA 3,595,289.95 ,92 YLDANAL YIELD ANALYSIS PAGE I 13 OCSF07522202 2004/03/31 RUN DATE 04/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME I 11.04.29 --------------------=---------------------==========------================================================================= PAR VALUE 'lTH AT CURRENT MOODY MARI<ET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARXET VALUE I TOTAL ------------------------------------------------------------------------------------------------- 2,241,342.07 SBA GTD PARTN CTFS SBIC-PS 01 .ooo 6.059 AAA 109.595 2,241,342.07 .67 831641DD4 6.6401 02/10/2011 DD 02/21/01 NR 2,456,398.84 .63 1,600,000.00 UNITED AIRLS PASSTHRU 01-1 C .ooo 33 .192 WR 20.580 1,6001000.00 .09 909317BC2 6,8311 03/01/2010 DD 08/22/01 A-329,280.00 .OB 20,000,000.00 US TREASURY NOTES .ooo 5.579 AAA 112.031 22,620,312.50 6.13 9128272JO 06,2501 02/15/2007 DD 02/15/97 AAA 22,406,300.00 5. 71 3,438,540:00 US TREASURY INFLATION INDEX NT ,ODO 3.202 AAA 113.219 3,748,041.35 1.06 9128273T7 3.6251 01/15/2008 DD 01/15/98 AAA 3,893,080.60 .99 14,678,I70.00 US TREASURY INFLATION INDEX NT ,000 3.335 AAA 116,188 16,303,530.11 4.67 9128274Y5 3.8751 01/15/2009 DD 01/15/99 AAA 17,054,198.77 4.35 to 57,100,000.00 US TREASURY NOTES .ooo 5. 374 AAA 107.000 62,782,901.47 16.73 0 9128276N7 05.7501 11/15/2005 DD 11/15/00 AAA 61,097,000.00 15.57 0 :,,;" "O 12,000,000.00 US TREASURY NT .ooo 3,160 AAA 102.840 11,870,156.25 3,38 i:,, (IQ 912828BG4 3,2501 08/15/2008 DD 08/15/03 AAA 12,340,800,00 3.14 ('1) u, e1,ooo,ooo.oo US TREASURY NOTES .ooo 1.862 AAA 100.690 91,294,765.63 22.33 00 912828BX7 1,8751 01/31/2006 DD 01/31/03 AAA 81,558,900,00 20.78 11,000,000.00 US TREASURY NOTES .ooo 1.622 AAA 100.156 17,045,156.25 4.66 912828CB4 1,6251 02/28/2006 DD 02/29/04 AAA 17,026,562.50 4.34 . 1,150,000.00 VIRGINIA ELEC 'PWR 01 SER A .000 5.368 Al 107.109 1,743,840.00 .51 92780.aENO 5.7501 03/31/2006 DD 03/27/01 BBB+ 1,874,407.50 .48 16,362,500.00 US TREASURY INFLATION INDEX NT 3.817 3.061 AAA 110. 250 14,444,558.33 4.94 9128272M3 3.3751 01/15/2007 DD 01/15/97 AAA 18,039,656.25 4.60 15,500,000.00 FEDERAL NATL MTG ASSN DEBS 5,967 6.778 AAA 105,118 16,154,410.00 4,46 31359MFH1 7,1251 02/15/2005 DD 02/14/00 AAA 16,293,339.60 4.15 1,015,139.09 FHLMC MULTICLASS MTG SER El A 6,316 3. 635 AAA 104.024 1,016,220.57 .28 3133TCE95 VAR RT 08/15/2032 DD 12/01/97 AAA 1,055,988.29 .27 663,304.28 GNMA GTD REMIC TR 2000-9 Fff 6, 32-0 1.581 AAA 100.585 663,304.28 .18 3837H4NX9 VAR RT 02/16/2030 AAA 667,184.61 .17 51 577.93 GNHA POOL 10500917 6,30 5. 718 AAA 104.926 5,294.67 .oo 36210SPAO 6,0001 04/15/2029 DD 04/01/99 AAA 5,852,69 .oo YLDANAL YIELD ANALYSIS PAGE : 14 OCSF07522202 2004/03/31 RUN DATE I 04/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME I 11,04,29 --------------------======--======--==-===============~---========================================-=-===================----- PAR VALUE YTH AT CURRENT MOODY MARl(ET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION &OOK YIELD S-P PRICE MARJ(ET VALUE % TOTAL ------------------------------------------------------------------------------------------. --------- 32,712,44 GNMA POOL 10506636 6,38' 5. 718 AAA 104,926 31,051.25 .oo 36210YY90 6,0001 04/15/2029 DD 04/01/99 AAA 34,323.78 .01 290,960.31 GNMA POOL 10503388 6,389 5. 718 AAA 104,926 276,184.98 .00 36210VF55 6.0001 03/15/2029 DD 03/01/99 AAA 305,292.37 .00 12,611.01 GNHA POOL 10499153 6,JU 5. 718 AAA 104.926 11,970.60 .oo 36210QQE5 6,0001 02/15/2029 DD 02/01/99 AAA 13,232.20 .oo 377,206.04 GNMA POOL 10496461 6,390 5. 718 AAA 104.926 358,127,74 .10 36210MQN4 6.0001 01/15/2029 DD 01/01/99 AAA 395,871.16 .10 97, 1.18. 29 GNMA POOL 10491103 6. 390 5. 718 AAA 104,926 92,186.52 .02 36210FRY4 6,0001 01/15/2029 DD 01/01/99 AAA 101,902.12 .03 11,382, 18 GNMA POOL 10486720 6,390 5. 718 AAA 104,926 10,804.19 .oo to 36210AVM6 6.000% 12/15/2028 DD 12/01/98 AAA 11,942.84 .00 0 0 :,;-20,924.70 GNMA POOL 10497343 6,390 5. 718 AAA 104.926 19,862.12 .oo 'O 36210NP45 6.000% 12/15/2028 DD 12/01/98 AAA 21,955.40 .01 ~ ()Q (1) 14,335.24 GNHA POOL 10469688 6,391 5. 718 AAA 104.926 13,607.27 .oo V, \0 l6209EXR8 6.0001 11/15/2028 DD 11/01/98 AAA 15,041.36 .oo 20,549.67 GNMA POOL 10467279 6. 391 5. 718 AAA 104.926 19,506.13 .oo 36209CCQ7 6,0001 10/15/2028 DD 10/01/98 AAA 21,561.90 .01 J 35,427.53 GNHA POOL 10457814 6. 391 5. 718 AAA 104.926 33,628.46 ,01 36208QSBJ 6,000% 10/15/2028 DD 10/01/98 AAA 37,172.61 .01 396,420.92 GNHA POOL 10467286 6,391 s. 718 AAA 104.926 376,290.17 • 11 36209CCX2 6.000% 10/15/2028 DD 10/01/98 AAA 415,947.74 .ll 491,653.90 GNMA POOL 10465555 6,392 5.718 AAA 104.926 466,687.11 . 14 36209AE48 6.0001 09/15/2028 DD 09/01/98 AAA 515,871.69 .13 13,132.28 GNMA POOL 10483452 6,392 5. 718 AAA 104.926 12,465.42 .00 36209WBV3 6.000% 09/15/2028 DD 09/01/98 AAA 13,779 .15 .00 456,504.88 GNMA POOL 10465546 6,392 5,718 AAA 104.926 433,322 ,99 • 13 36209AET3 6.000% 08/15/2028 DD 08/01/98 AAA 478,991.31 .12 303,087.43 GNMA POOL 10468339 6,392 s. 718 AAA 104.926 287,696.29 .00 36209DHQO 6.000% 08/15/2028 DD 08/01/98 AAA 318,016.85 .OB YLDANAL YIELD ANALYSIS PAGE I 15 OCSF07522202 2004/03/31 RUN DATE I 04/06/04 DISTRICT! LONG-TERM OPERATING RUH TIME : 11.04.29 ---------========-====================================~-=========================-----=============================== PAR VALUE YTM A'l' CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARICET VALUE I TOTAL -----------------------------------------------------__ .,.. ____ .,. ______ -------------------------------- 18,554.09 GNHA POOL 10438057 6,393 5,715 AAA 104.988 17,611.90 .oo 36207PTN9 6.0001 05/15/2028 DD 05/01/98 AAA 19,479,62 .oo 18,762.45 GNMA POOL 10468330 6,393 s. 715 AAA 104,988 17,809.65 .oo 36209DBF4 6,0001 05/15/2028 DD 05/01/98 AAA 19,698.37 .01 288,926.10 GNMA II POOL 1080088H 6,705 4.303 AAA 101.665 295,246.36 .oe 36225CC20 7,3751 06/20/2027 DD 06/01/97 AAA 293,736.00 ,07 2,000,000,00 MARSH & MCLENNAN COS INC SR NT 6. 717 6.557 A2 101.031 1,992,280.00 .55 571748AB8 6.6251 06/15/2004 DD 06/14/99 AA-2,020,,20.00 .51 2,500,000.00 FORD MTR CR CO GLOBAL LANDMARIC 6,739 6.604 Al 101. 453 2,495,900.00 .69 345397SJ3 6,7001 07/16/2004 DD 07/16/99 BBB-2,536,325.00 .65 2,500,000.00 COUNTRYWIDE HOME LNS INC NT 6,866 6,777 A3 101.078 2,498,400,00 .69 tc 22237-UAB8 ~.8501 06/15/2004 DD 06/24/99 0 A 2,526,950.00 .64 0 ::,;' 208,764.49 GNMA II POOL 10080023 6,992 4,477 AAA 103.302 212,222 .15 .OS 'O "' 36225CAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 215,657,27 .05 (Jq (1) °' 2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7,113 5.685 AAA 116,541 2,0J0,133.00 .67 0 31359MEY5 6.6251 09/15/2009 DD 09/01/99 AAA 2,447,364,99 .62 1,000,000.00 FORD MOTOR CR CO NT 7,592 6.444 Al 104,750 965,170.00 .28 345397GV9 6,7501 05/15/2005 DD 05/24/93 BBB-1,047,500.00 .27 , 943,578.54 WMP/BUNTOOH PAIGE I000-11150 7,691 7.367 AAA 101. 803 923,085,20 .26 302998GE3 7,5001 12/01/2030 DD 10/21/99 AAA 960,587.20 ,24 J,000,000.00 PACIFICORP SECD MTN ITR 00115 7,709 7,077 Al 103,156 219.501 530.00 .84 69512EEU5 7.3001 10/22/2004 DD 10/22/92 A 3,094,680.00 .79 0:, ~ 'O i °' - YLDANAL OCSF07522202 DISTRICT: LONG-TERM OPERATING YIELD ANALYSIS 2004/03/31 PAGE RUN DATE RUN TIME 16 I 04/06/04 I 11.04.29 ===========~==========================================:-===================================================================== PAR VALUE SECURITY ID SECURITY DESCRIPTION 1,6001000,00 ALLSTATE CORP SR NT 020002AL5 7,8751 05/01/2005 DD 05/01/00 TOTAL FIXED INCOME SECURITIES TqTAL YTH AT CURRENT MOODY MARKET PRICE BOOK YIELD S-P 7 .967 .337 ,33S 7,377 Al 106.750 A+ 4,547 4.521 TOTAL COST/ MARKET VALUE 1,594,032.00 1,1oa,ooo.oo 359,437,659,61 365,081,611.99 386,810,569.71 392,454,522,09 ---=='---·-·-- I TYPE I TOTAL .46 .44 100.00 93.01 100.00 100.00 ========= Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund March 31, 2004 Par Value Book Value Market Value Balance March 1, 2004 $16,928,614 $16,928,614 $16,928,614 Deposits: 3/17/2004 10,300,000 10,300,000 10,300,000 3/19/2004 7,500,000 7,500,000 7,500,000 Total Deposits 17,800,000 17,800,000 17,800,000 Withdrawals: 3/3/2004 (700,000) (700,000) (700,000) 3/12/2004 (6,000,000) (6,000,000) (6,000,000) 3/15/2004 (700,000) (700,000) (700,000) 3/24/2004 (1,000,000) (1,000,000) (1,000,000) 3/25/2004 (5,100,000) (5,100,000) (5,100,000) 3/26/2004 (2,600,000) (2 600,000) (2,600,000) Total Withdrawls (16,100,000) (16,100,000) {16,100,000) Balance March 31, 2004 $18,628,614 $18,628,614 $18,628,614 Book page 62 Rate Yield 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 1.474 FAHR COMMITTEE Meeting Date 05/12/04 AGENDA REPORT Item Number FAHR04-44 Orange County Sanitation District FROM: Lisa Tomko, Director of Human Resources Originator: Lisa Arosteguy, Human Resources Supervisor SUBJECT: TEMPORARY EMPLOYMENT SERVICES GENERAL MANAGER'S RECOMMENDATION That the FAHR Committee recommends the following to the Board of Directors: To Bd. of Dir. 05/26/04 Item Number 1. Authorize staff to establish contracts for Temporary Employment Services (Specification No. S2004-181 BD) with temporary service firms for a one year period (July 1, 2004 through June 30, 2005) for a total amount not to exceed $1,700,000 per year. 2. Authorize staff the option of four additional one year contract renewals, cancelable at any time, for a total amount not to exceed $1,700,000 per year. 3. Authorize staff to enter into these contracts with temporary service firms, as identified by the Human Resources Department, with the authorization to add or delete such firms as necessary to meet District work requirements. SUMMARY • Orange County Sanitation District's (OCSD) strategic staffing plan includes utilizing full-time and part-time regular employees, contract employees, and temporary employees. This report specifically focuses on temporary services employees who are utilized as a supplement to the regular workforce for accommodating workload demands and workflow fluctuations. • The key advantage associated with temporary staffing is flexibility since temporary employees are used for adjusting staffing levels quickly and for a limited timeframe. Temporary services are utilized for filling approved budgeted positions due to illness, vacations, leaves of absence, and vacant open positions; in addition temporary services are also used for approved special projects and capital improvement projects (CIP) that are non-engineering related. • In June 1999 the Board of Directors awarded contracts for Temporary Employment Services for a period of one year, renewable for a period of four years. The Board of Directors authorized staff to utilize a combination of several firms to supply temporary services to OCSD in order to provide staffing flexibility and to comply with the OCSD Purchasing Resolution. These contracts expire on June 30, 2004. H:\dep\\agenda\FAHRIFAHR2004\0504\04-44.Temporary Services.doc Revised: 06/04/03 Book page 63 Page 1 PRIOR COMMITTEE/BOARD ACTIONS The Board of Directors approved the following General Manager recommendations: 1. Board Meeting 6/26/99; Item 17(f) -(FAHR99-50) Temporary Employment Services -Award contracts for Temporary Employment Services (Specification No. P-186). 2. Board Meeting 5/24/00; Item 15(i) -(FAHR00-45) Temporary Employment Services -Approve an increase to $2,100,000 for FY99/00 and approve funding in the amount of $2,402,000 for FY00/01. 3. Board Meeting 3/27 /02; Item 19 -Temporary Employment Services -Approve an increase to a total of $1,300,000 for the remainder for FY01 /02. 4. Board Meeting 6/26/02; Item 16(d)-(FAHR02-54) Temporary Employment Services -Approve an increase to a total of $1,550,000 for the remainder of FY01/02. 5. Board Meeting 3/26/03; Item 14( e) -(FAH R03-18) Temporary Employment Services -Approve an increase to a total of $1,500,000 for FY02/03 and approve $1,750,000 for FY03/04. 6. Board Meeting 7/23/03; (FAHR03-59) Temporary Employment Services - Approve an increase to the Temporary Employment Purchase Order contract authority to an amount not to exceed $1,850,000 to pay additional expenditures for FY02/03 and approve an amount not to exceed $1,850,000 for FY03/04. PROJECT/CONTRACT COST SUMMARY • Not to exceed $1,700,000. The proposed FY04/05 Joint Operating (JO) budget for temporary services is $500,100. During staffing needs assessment meetings with Information Technology and Technical Services management, it was determined that a total of $795,000 is projected for CIP temporary services. The JO budget and CIP budget account for projected temporary services expenditures of $1,295,100. A 30% increase has been added to the projected budget as a contingency fund for planned and unplanned CIP projects that adversely impact OCSD staffing resources such as disinfection, permit process streamlining, micro filtration, outfall leak detection, anaerobic bio-reactor, underground storage tanks, and waste-hauler station rebuild projects. The contingency fund is being requested based on prior committee actions mentioned above where staff had to request periodic increases for the use of temporary services for CIP projects. This was due to GIP projects being initiated and approved by the Board during the fiscal year; however, appropriate staffing was not pre-planned during the initial budget process. H:ldept\agenda\FAHRIFAHR2004\0504\04-44.Temporary Services.doc Revised: 06/04/03 Book page 64 Page2 BUDGET IMPACT [8J This item has been budgeted D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. D Not applicable (information item) ADDITIONAL INFORMATION There are approximately 30 temporary employees currently assigned to OCSD working predominantly in the Technical Services and Information Technology Departments. Approximately half of these temporary employees are working in the Technical Services laboratory on the disinfection project. The laboratory also utilizes temporary employees for micro filtration and anaerobic bio-reactor CIP projects. Information Technology utilizes temporary staffing to support streamlining and automating of processes throughout the agency so that budgeted headcount does not need to be increased; in addition, the appropriate technical specialists can be utilized to augment existing skill sets as needed and for a limited time, as some projects continue over a period of several years. Temporary employees are currently working on various CIP projects in Information Technology including project management for the enterprise wide Geographic Information System, online Internet based biosolid tracking system, water quality applications, and streamlining the Source Control permit process. Other projects utilizing temporary employees include the outfall leak and the waste-hauler station rebuild project. OCSD currently utilizes 14 temporary services agencies to provide temporary workers on an as-needed basis to accomplish OCSD work requirements. The cost of a temporary employee includes the temporary's hourly rate and a mark-up rate that is the "payment" to the temporary agency to cover worker's compensation costs, benefits provided to the temporary worker, overhead costs of the temporary agency, etc. The mark-up rates for the current temporary agencies utilized by OCSD range from 45% to 70%. Temporary staffing utilization has increased over the past five years due to CIP related temporary employment services, which are charged directly to an approved CIP project identified in the budget. These services are included in the individual project budgets. At the July 2003 meeting the Board increased the FY02/03 and the FY03/04 authorization to $1,850,000 because of increased costs and projections due to capital improvement projects in Technical Services and Information Technology. Due to the on going nature of CIP related work, these costs are projected to remain constant over the next few years. OCSD anticipates utilizing additional technical agencies in the future to meet departmental needs; therefore, staff is requesting authorization to enter into similar temporary services agreements with other providers without having to return to the Board to approve each agency. Staff interviews each temporary agency prior to entering into a contract for services to ensure administrative requirements are met for doing business with OCSD. Temporary agencies must sign applicable forms and agree H:\dept\agenda\FAHR\FAHR2004\0504\04-44.Temporary Services.doc Revised: 06/04/03 Book page 65 Page 3 to the proper insurance and employment practices prior to entering into a contract with OCSD. The contract includes specific information related to work hours, billing rates, invoicing and payment, confidentiality, etc. The following lists current Temporary Employment Agencies under contract with OCSD: GENERAL AppleOne Employment Services HR Only Remedy Temporary Services LABORATORY Kforce Professional Staffing Lab Support TECHNICAL Aquent, Inc. Ballantyne DDB Engineering, Inc. Information Management Resources, Inc. Irvine Technology Corporation Pixelpushers, Inc. Project Partners TekSystems Vantage Group ALTERNATIVES 1. Hire additional regular, full-time employees for an indefinite period. 2. Hire additional regular, part-time employees for an indefinite period. 3. Hire independent contractors for a limited period. 4. Outsource CIP projects. 5. Re-prioritize CIP projects and defer lower priorities to a later date. 6. Utilize a combination of reduced temporary service employees and any combination of the above alternatives. CEQA FINDINGS N/A ATTACHMENTS N/A H:\depl\agenda\FAHR\FAHR2004\0504\04-44.Temporary Services.doc Revised: 06/04/03 Page 4 Book page 66 FAHR COMMITTEE Meeting Date To Bd. of Dir. 5/12/04 AGENDA REPORT Item Number Item Number FAHR04-45 Orange County Sanitation District FROM: Blake Anderson, General Manager Originator: Gary Streed, Director of Finance and Treasurer SUBJECT: CONTRACT INTERNAL AUDITOR PROTOCOL GENERAL MANAGER'S RECOMMENDATION Contract internal auditors have been hired by the FAHR Committee and report directly to the Committee. The purpose of this agenda report is to provide the Committee with some options regarding the protocol of this arrangement, dealing with staff and reporting expectations. SUMMARY The independent auditing firm of Moss, Levy & Hartzheim has been retained by the FAHR Committee to petiorm certain audits and reviews that are outside of the scope of the annual financial audit and to report results and observations directly to the Committee. The first of such reports was provided in written and oral form at the March Committee meeting. The Committee asked for a staff response at the April meeting as staff had not seen the report prior to the meeting. That response was written, given to the auditors and placed on the consent calendar for consideration. Director Neugebauer requested the item to be removed from the consent calendar and asked several questions, including what the appropriate or expected protocol might be. This report will provide some options that the Committee may want to consider and to discuss with their contract internal auditors at the meeting. PRIOR COMMITTEE/BOARD ACTIONS • Moss, Levy & Hartzheim was hired by the Committee in February subsequent to a competitive selection process including two members of the Committee. • The first letter report and oral report were presented by the auditor at the March meeting. • Staff's written response to the report was included in the agenda package for April. PROJECT/CONTRACT COST SUMMARY The maximum fee for 2003-04 is $19,780. The engagement may be extended for two additional fiscal years by the Committee. H:ldeptlagenda\FAHR\FAHR2004\0504\04-45.lnternal Auditors.doc Revised: 06/04/03 Book page 67 Page 1 BUDGET IMPACT B • This item has been budgeted. (Line item: ) This item has been budgeted, but there are insufficient funds. This item has not been budgeted. Not applicable (information item) ADDITIONAL INFORMATION The original report by the contract internal auditors was delivered by them at the Committee meeting. This may be what the Committee members desire, or they may prefer to have the report mailed to them either with or separate from the agenda package. Requiring the auditors to mail their reports will increase the time delay from their field work to their presentation. The original report by the contract internal auditors was delivered directly to the Committee. The auditors and staff understand that the Committee wishes to see and perhaps to hear the report before it is shared with staff. This provides an opportunity for the Directors to hear an uncompromised report. It may also allow incomplete information or premature conclusions to be shared. If this should happen, then an entire month lapses before the Committee can be so advised. Perhaps this is not an issue; at least it provides staff with adequate time to research the findings. However, if the Committee decides that the contract internal auditor's report should be mailed, then perhaps staff could receive a copy at that time. The staff response to the original auditors' report was shared with the auditor before it was included in the Committee agenda package. The response was included on the consent calendar and removed by a Director. Staff now believes that the Committee would prefer to have subsequent responses placed upon the action agenda and to have them accompanied by an oral staff report. We will follow that revised protocol unless we hear otherwise. Because the contract internal auditors had no new report to present, they were not at the Committee meeting when the staff response was considered. Perhaps that is what the Committee desires, or perhaps the auditors should be asked to attend any meeting with an internal audit related report on the agenda. Another possibility would be to direct staff to delay any required response until the contract auditors would be at the meeting. The agreement with the auditors does not specify attendance at all meetings. The current reporting plan is for the Committee to receive monthly, or periodic, letter reports from the auditor on field work and observations to date. At the meeting, the Committee discussed the need for a final report that includes all of the findings. Is such a report required or desirable? If there is a final report, would the Directors want the staff responses to be included or should that be a separate document prepared by staff? Including everything in one document provides the contract ir:iternal auditors the opportunity to include an acknowledgement of the staff response, if that is desired. Thus far, the internal audit responsibility has been assumed by the Committee, in part because the Board of Directors has previously authorized this and established a budget for the Committee. This seems to be satisfactory as there is no requirement for a separate internal audit report to the Board. It may be that the next year's audit proposal again falls within the Board authorization, but if not, then an item will be submitted to the Board for consideration. H:\dept\agenda\FAHRIFAHR2004\0504\04-45.lntemal Auditors.doc Revised: 06/04/03 Book page 68 Page2 ALTERNATIVES Alternatives are included in the discussion above. CEQA FINDINGS N/A ATTACHMENTS None H:\deptlagenda\FAHRIFAHR2004\0504\04-45.lntemal Auditors.doc Revised: 06/04/03 Book page 69 Page 3 Orange County Sanitation District (714) 962-2411 www.ocsd~com mailing address: P.O. Box 8127 Fountain Valley, California 92728-8127 street address: 10844 Ellis Avenue Fountain Valley, California 92708-7018 OCSD 6/03 ROBERT M. MOSS, C.P.A. • RONALD A. LEVY, C.P.A.• CRAIG A. HARTZHEIM, C.P.A. • BRETT!. MILLER, C.P.A TONI RJCE, C.P .A. HADLEY HUI, C.P.A. PAUL NIEDERMULLER, C.P.A. KARAN C. POHL, C.P.A.. ROSEMARY HICKS, C.P.A. DDIDTUIWJfUIICINALCXIIU'CA4.l10N' May8,2004 To the Board of Directors: MOSS, LEVY & HARTZHEIM CERTIFIED PUBLIC ACCOUNTANTS 9107 WILSHIRE BL VD., SUITE 320 BEYERL Y HILLS, CALIFORNIA 90210 MEMBER: TELEPHONE (310) 273-2745 FAX (310) 273-1689 E-MAIL: mlhbh@pacbell.net --AMERICAN INSTITUTE 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 A venue Fountain Valley, California 92728-8127 OFFICES: --BEVERLY HILLS, 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 recommendations from our visits on April 6 and 8, 2004. A. Voided Checks Finding -Signature Portion of Voided Checks: During our review of voided checks, we noted that the signature portions of the voided checks are not removed. There is a possibility that the voided checks could be used if the signature portion is not removed. Recommendation: ,A.11 voided checks should be properly defaced and the signature portion removed. B. Cell Phone Invoices Finding-Cell Phone Invoices: During our test of cell phone invoices we noted that one employee had only marked outgoing calls as personal, was over his base minutes by $89.10, and reimbursed the District only $10. Employees could be receiving personal calls and not reimbursing the District for them. 1 Recommendation: Better monitoring of incoming calls or a change in the cell phone policy to allow for a certain number of incoming calls. per month. C. Retentions Finding -Reduction of Retentions: During our review of internal controls, we noted that the District can reduce construction retentions to 5% after 50% of the project is complete. This could expose the District to a lfability if the construction is not completed on time or is not up to the specifications of the District. This also reduces the amount of "penalty'' the Contractor would face for nonperformance. Recommendation: The District should always retain 10% of construction contracts until the Notice of Completion has been filed and accepted by the Board of Directors. D. Construction Management Finding: #Dl -Financial Statements of JJ>MC: During our review of the construction management contract with IPMC, we noted that the District did not receive a financial statement oflPMC. Risk of non-performance of the contract and inability of the District to collect any damages or cost overruns iflPMC were to cease operating. Recommendation: The District should always request and analyze financial statements of contractors that the District is entering into long-term contracts with. Finding #D2 -Monthly lnvoices of IPMC: During our review of the construction management contract with IPMC, we noted that IPMC submits a monthly invoice to the District with a category of "Other Direct Costs", which includes, travel, transportation, lodging, and meals. IPMC could pass through costs not related to the District, without proper monitoring by the District. 2 MOSS, LEVY & HARTZHEIM . CERTIFIED PUBLIC ACCOUNTANTS SACRAMENTO, CALJFORNIA BEYERL Y HU..LS, CALJFORNIA SANT A MARIA. CALJFORNIA Recommendation: The District should carefully review the "Other Direct Costs" submitted by IPMC for reasonableness according to the contract between the District and IPMC. E. Fixed Assets Finding#El-Eixed Assets Not Removed From Fixed Asset List: During our test of fixed assets, we noted that eight assets sold in 2001 were not removed from the fixed asset system until 2003, and two assets sold in February 2003 were not removed until October 2003. Overstatement of fixed assets that were not fully depreciated, could occur. Overpayment of insurance premiums could also occur if the District uses the fixed asset list to set its insurance coverage limits. Recommendation: The Fixed Asset Accountant should remove fixed assets sold at auction immediately upon receipt of sale agreement from the auction house. Finding #E2 -Missing Sales Remittances From A uction Houses: During our test of fixed assets, we noted that eight fixed assets were sold, but there were no sales remittance or sales advices from the auction house on file. Without proper documentation, improper sales of fixed assets or misappropriations of funds could occur. Recommendation: We recommend that the District require auction houses to remit a sales remittance or sales advice upon sale of any fixed assets. F. Debit/Credit Memos Finding-Pre-numbered Debit/Credit Memos: During our review of internal control, we noted that debit memos and credit memos are not pre- numbered. Since debit memos and credit memos are printed off the computer with no pre-printed number, there is no way to track the documents. Therefore, unauthorized use of the documents could occur. 3 MOSS, LEVY & HARTZHEIM CERTIFIED PUBLIC ACCOUNTANTS SACRAMENTO, CALlFORNIA BEVERLY lDLLS, CALIFORNIA SANTAMARIA, CALIFORNIA \ ,I .. Recommendation: Press printed pre-numbered debit memos and credit memos should be used. The above recommendations and suggestions herein noted are of a general nature only and are not to be taken as criticism of any department or advisor. Should you wish to have a more detailed explanation or assistance in executing them, we would be happy to be of assistance in any way. Moss, Levy & Hartzheim CPAs 4 MOSS, LEVY & HARTZHEIM . CERTIFIED PUBLIC ACCOUNTANTS SACRAMENTO, CALIFORNIA BEVERLY HIT.LS, CALIFORNIA SANTA MARIA, CALIFORNIA l t . . FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Michael White, Controller Meeting Date 05/12/04 Item Number FAHR04-38 SUBJECT: TREASURER'S REPORT FOR THE MONTH OF APRIL 2004 GENERAL MANAGER'S RECOMMENDATION Receive and file Treasurer's Report for the month of April 2004. SUMMARY To Bd. of Dir. 05/26/04 Item Number Pacific Investment Management Co. (PIMCO), serves as the District's professional external money manager, and Mellon Trust serves as the District's third-party custodian bank for the investment program. Some funds are also deposited in the State of California Local Agency Investment Fund for liquidity. The District's Investment Policy, adopted by the Board, includes reporting requirements as listed down the left most column of the attached PIMCO Monthly Report for the "Liquid Operating Monies" and for the "Long-Term Operating Monies" portfolios. The District's external money manager is operating in compliance with the requirements of the Investment Policy. The portfolio contains no reverse repurchase agreements. As shown on page 2 of the attached PIMCO's Performance Monitoring and Reporting Report for the Long-Term Operating Monies, there is a investment policy compliance exception pertaining to the holding of one security 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 rating exception pertains to the holding of a United Airlines (UAL) Asset Backed Security with a par value of $1.6 million, representing 0.41 percent of the portfolio holdings, whose rating from Moody's has fallen several times, from A3 to BA 1, then to BA3, 83, B, and finally to CA. Likewise, the rating from Standard & Poor's has also fallen several times, first from A-to BBB, then to BB, then to B+, 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. C:\Documents and Settings\pope\Local Settings\Temporary Internet Files\OLKBF\TREASRPT0512042.doc Page 1 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 this security very closely. Historical cost and current market values are shown as estimated by both PIMCO and Mellon Trust. The District's portfolios are pri ced to market ("mark-to-market") as of the last day of each reporting period. The slight diftererices in value are related to minor variations in pricing assumptions by the valuation sources at the estimate date. BUDGET IMPACT • ~ This item has been budgeted. (Line item: Not applicable (information item) ADDITIONAL INFORMATION ) Schedules are attached summarizing the detail tor both the short-term and long-term investment portfolios tor the reporting period. In addition, a consolidated report of posted investment portfolio transactions tor the month is attached. The attached yield analysis report is presented as a monitoring and reporting enhancement. In this report, yiek:I 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 tor these reports. Transactions that were pending settlement at month end may not be reflected. Also provided is a summary 0f monthly investment balances and transactions within the State of California Local Agency Investment Fund (LAIF). The remaining $55.2 million proceeds from the 2003 COP debt issuance available tor 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 $117,317,000. 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. C:\Documents and Settingslpope\Local Settings\Temporary Internet Files\OLKBF\TREASRPT0512042.doc Page 2 Book Balances Estimated Investment Accounts April 30, 2004 Yield(%) State of Calif. LAIF $ 35,008,764 1.45 Union Bank Checking Account 4,488,347 0.91 (1) PIMCO -Short-term Portfolio 102,758,553 1.19 PIMCO -Long-term Portfolio 384,036,889 2.67 Petty Cash 5 000 N/A TOTAL $526 297 553 2.29 Debt Service Reserves w/Trustees $11Z 316 895 2.16 (1) This is the annualized yield for the month of March. The April annualized rate was not available as of the date of this report. ATTACHMENTS 1. Graph of Monthly Investment Balances by Type -Last Six Months 2. Investment Transactions and Balances in the State Local Agency Investment Fund 3. PIMCO Monthly Investment Recap & Yield Analysis Report 4. PIMCO Performance Monitoring Report-Liquid Operating Monies 5. PIMCO Performance Monitoring Report-Long-Term Operating Monies 6. Mellon Trust Asset Summary by Asset Type with Sectors -Liquid Operating Monies 7. Mellon Trust Asset Summary by Asset Type with Sectors -L-T Operating Monies 8. Mellon Trust Yield Analysis Report 9. Mellon Trust Asset Detail -Consolidated 10. Mellon Trust Transaction Detail -Consolidated MW:bg C:\Documents and Settings\pope\Local Settings\Temporary Internet Files\OLKBF\TREASRPT0512042.doc Page 3 Prepared by Finance, 5/12/2004, 7:41 AM Monthly Investment Balances by Type- Last Six Months $700,000,000 ~-----------------------------, $600, 000, 000 -f-------l $500, 000, 000 -1---t $400,000,000 I ~------,~ $300,000,000 $200,000,000 $100,000,000 $0 November 2003 December 2003 January 2004 February 2004 ~ PIMCO -Long-term IZJ PIMCO -Short-term 1§1 COP Debt Reserves 11D LAIF •Bank Accts •Petty Cash H:\dept\fin\EXCEL.dta\220\geggie\mo treas rpt\Monthly Investment Balances Graph1 .xis March 2004 April 2004 Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund April 30, 2004 Par Value Book Value Market Value Balance April 1, 2004 $18,628,614 $18,628,614 $18,628,614 Deposits: 4/20/2004 29,000,000 29,000,000 29,000,000 Total Deposits 29,000,000 29,000,000 29,000,000 Quarterly Interest Distribution 80,150 80,150 80,150 Withdrawals: 4/8/2004 (3,500,000) (3,500,000) (3,500,000) 4/9/2004 (3,400,000) (3,400,000) (3,400,000) 4/14/2004 (1,000,000) (1,000,000) (1,000,000) 4/28/2004 (4,800,000) (4,800,000) (4,800,000) Total Withdrawls (12,700,000) (12,700,000) (12,700,000} Balance April 30, 2004 $35,008,764 $35,008,764 $35,008,764 Rate Yield 1.445 1.445 1.445 1.445 1.445 1.445 1.445 1.445 1.445 1.445 1.445 1.445 1.445 1.445 1.445 1.445 1.445 1.445 1.445 1.445 PIM C 0 May 10, 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 April 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 endured a challenging month in April as long-awaited positive economic data sparked concerns of increased inflation and an imminent rate hike by the Federal Reserve. U.S. Treasuries lost 3 .22% for the month as the yield on the benchmark 10-year Treasury rose by 67 basis points, finishing at 4.51 %. Short and intermediate TIPS outperformed their nominal counterparts while long maturity TIPS underperformed. The Lehman Brothers U.S. TIPS Index returned -4.85% in April. Mortgage-backed securities returned -1.78%, trailing Treasuries by 52 basis points after adjusting for duration. The credit sector, represented by the Lehman Credit Index, outperformed Treasuries by 18 basis points after adjusting for duration, posting a total return of -3.15% for the month. Within the sector, lower quality investment grade corporates led, with Baa-rated bonds beating like-duration Treasuries by 46 basis points, whereas Aa issues lagged by 1 basis point. A multitude of strong economic releases confirmed that GDP growth is strong, inflationary pressures are emerging and the likelihood of Federal Reserve intervention occurring sooner than later is increasing. April began with a surprisingly strong Employment Situation Report, issued by the Bureau of Labor Statistics. The monthly report indicated that net payroll jobs increased by 308,000, well above consensus expectations of 100,000. Gains were broad based and manufacturing losses ceased. Retail sales were the next big surprise, with the Bureau of Census reporting that retail sales in March rose by 1.8%, more than doubling expectations. The most notable feature of the report was the 10.6% monthly gain in building supply store sales, which was the largest on record back to 1992. On the inflation front, the Bureau of Labor Statistics Mr. Mike White, CPA Orange County Sanitation District May 10, 2004 Page2 reported that both CPI and core CPI (which excludes volatile food and energy prices) gained meaningfully. Importantly, core CPI rose 0.4%, increasing the annual rate to 1.6%, a significant increase from the 1.2% reported in March. April closed with Bureau of Economic Analysis reporting decent GDP growth of 4.2% for the first quarter of 2004. Although this growth rate was below consensus estimates of 5.2%, it is still high enough to begin closing the output gap, raise capacity utilization rates and generate greater employment demand. Treasury yield changes during the month of April are summarized as follows: • 3-month bills: +2 basis points to 0.96% • 6-month bills: + 16 basis points to 1.15% • 2-year notes: +74 basis points to 2.32% • 5-year notes: +84 basis points to 3.62% • 10-year notes: +67 basis points to 4.51 % • 30-year notes: +51 basis points to 5.28% Performance Attribution: Long-Term Portfolio The Long-Term portfolio that PIMCO manages on behalf of Orange County Sanitation District lost 1.19% on a total return basis for the month of April, outperforming the Merrill Lynch 1-5 year Government Corporate Index by 37 basis points. The following points summarize returns for the month ended April 30: • The Long-Term portfolio outperformed the benchmark by 37 basis points for the month. • For the twelve-month period, the Long-Term portfolio returned 1.99%, outperforming the benchmark by 23 basis points. • Portfolio duration, below the index, was positive for monthly performance as rates rose across all maturities. • Yield curve positioning similar to that of the index was neutral for performance. • An underweight exposure to corporates was negative for performance, as the credit sector outperformed Treasuries on a duration-adjusted basis. • Exposure to mortgage-backed securities was negative for relative performance as the sector underperformed Treasuries on a duration-adjusted basis. • Substituting Treasury Inflation Protected Securities for nominal Treasuries was positive as short and intermediate maturity TIPS outperformed their nominal counterparts during the month. Mr. Mike White, CPA Orange County Sanitation District Liquid Portfolio May JO, 2004 Page3 The Liquid portfolio that PIMCO manages on behalf of Orange County Sanitation District generated a total return of 0.08% during the month of April, performing in line with the 3-month Treasury Bill Index. The following points summarize returns for the period ending April 30: • The Liquid portfolio performed in line with the benchmark for the month. • For the twelve-month period, the Liquid portfolio returned 1.10%, outperforming the benchmark by 12 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 0.08% during the month of April, performing in line with the 3-month Treasury Bill Index. The following points summarize returns for the period ending April 30: • 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 global recovery, centered in the U.S. and Asia, will continue for the next 6 to 12 months. Policymakers will press forward with reflationary measures that will delay a painful unwinding of economic imbalances. Excess capacity in labor and product markets worldwide will keep inflation quiet, leading to range-bound interest rates over the next two quarters. The ten-year Treasury yield will fluctuate near current levels over this timeframe. Elements of temporary stability include: • In the U.S., consumer spending will hold up as tax refunds boost after-tax disposable income. This support for the consumer will be temporary, however, as individual tax benefits are set to phase out by the second half of 2004. Restocking of low inventory levels by companies will provide a more durable boost to growth in the U.S. • The Federal Reserve will raise currently negative real short-term rates only when it is convinced that disinflation has ended and U.S. employment growth is both substantial and sustainable. Financial markets could begin discounting such a positive scenario within 12 months, pushing the yield on the IO-year Treasury toward 5 percent. • China will remain a contributor to global demand, though its growth rate will slow as policymakers engineer a soft landing for its potentially overheated economy. A significant currency revaluation in China is unlikely over the next 6 to 12 months as China's de facto monetary union with America serves both countries' interests. Mr. Mike White, CPA Orange County Sanitation District May JO, 2004 Page4 • Europe will remain the laggard in the global economy. While exports to China and emerging Europe are accelerating, recent gains in business confidence have peaked and consumer sentiment is weak. The balance of risks tilts toward more easing by the European Central Bank. The economic environment is unusually difficult to forecast because near-term stability could erode quickly if structural imbalances unwind faster than expected. Full valuations in core sectors such as mortgages and corporates pose considerable risk in this setting. PIMCO will continue to underweight the corporate sector and maintain reduced exposure to the mortgage sector, while looking for better opportunities outside the index. We will target below-benchmark duration but intend to move toward a neutral stance as rates trend upward. Curve positioning will favor shorter maturities as the Fed will anchor this end of the yield curve. We will also hold intermediate issues to enhance yield given a steep yield 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 April 30, 2004 Total Return Account -203 Market Value Book Value Yield to Maturity Short Term Account-603 Market Value Book Value Yield to Maturity With Accrued Interest 388,047,851 387,247,948 2.67 With Accrued Interest 102,997,365 103,041,578 1.19 2003 COP Proceeds -Future Construction -2203 Market Value Book Value Yield to Maturity With Accrued Interest 55,367,796 55,484,811 1.09 Without Accrued Interest 384,042,784 383,242,881 2.70 Without Accrued Interest 102,817,532 102,861,745 1.19 Without Accrued Interest 55,198,370 55,315,384 1.09 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 30 April 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: Oflndex: 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 davs: 15.1.6 PORTFOLIO QUALITY Average Portfolio Credit Quality: 15.1.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A": 15.1.8 INVESTMENT POLICY COMPLIANCE "In Comoliance" 15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by Period: I Month: 3 Months: 12 Months: Fiscal Year-to-Date: Commentary • The Liquid portfolio performed in line with the benchmark for the month and outperformed the benchmark by 10 basis points fiscal year-to-date. • PIMCO's emphasis on higher yielding securities such as commercial paper and shont-term notes contributed to performance. H:ldeptllln\210\Gi,eef•IFAHRILIQ0800-04-04.RYf.doc Page 1 of 1 $102,997,365 $102,994,334 $103,041,578 $103,092,569 0.12 0.20 $123,597 0% 66% ''.AAA'' 0% Yes Portfolio Index 0.08 0.08 0.25 0.23 1.10 0.98 0.89 0.79 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 30 April 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: Oflndex: 15.1.3 1%INTERESTRATECHANGE Dollar Irrmact (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 OUALITY Average Portfolio Credit Oualitv: 15.1.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A": 15.1.8 INVESTMENT POLICY COMPLIANCE "In Corrmliance" 15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by Period: 1 Month: 3 Months: 12 Months: Fiscal Year-to-Date: • The Long-Tenn portfolio outperformed the benchmark by 37 basis points for the month, IDJd outperformed the benchmark by 34 basis points fiscal year-to-date. • Portfolio duration, below the index, was positive for monthly performance as rates rc,se across all maturities. • Yield curve positioning similar to that of the index was neutral for performance. • An underweight exposure to corporates was negative for performance, as the credit sector outperformed Treasuries on a duration-adjusted basis. • Exposure to mortgage-backed securities was negative for relative performance as the sector underperformed Treasuries on a duration-adjusted basis. Page I of2 $388,047,851 $388,051,331 $387,247,948 $388,413,073 1.99 2.44 $7 722,152 0% 10% AAA 0% No* Portfolio Index -l.19 -1.56 -0.10 -0.30 l.99 l.76 0.89 0.55 • Substituting Treasury Inflation Protected Securities for nominal Treasuries was positive as short and intermediate maturity TIPS outperformed their nominal counterparts during the month. *Compliance Issues: MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 30 April 2004) Page 2 of2 $11600,000 par of United Airlines (UAL) Pass-Through 2001-1-C <Enhanced Equipment Trust Certifi.cate (EETQ -9093 l 7BC2), 6. 82 1 % coupon, 3/01/2010 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 BAl (on 9/18/2001) and S&P from A-to BBB (on 9/20/2001). The security was further downgraded by Moody's from BAI to BA3 (on 12/21/2001) and byS&P from BBB to BB ( on 6/28/02). Following news of the possible bankruptcy filing, the security was further downgraded m August (BJ Moody's. B+ by S&P). On November 29, 2002, S&P further downgraded this issue to B, and shortly thereafter onDecember 9, 2002, downgraded the issue one notch further to B-. On August 7, 2003, S&P downgraded th_e 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. On April 10, President Bush signed a law aimed at saving U.S. companies more than $80 billion in pension contributions over two years. This law went into effect in time for the next round of payments (April 15), and is intended as a temporary measure to help keep plans afloat while Congress works on longer-term pension reform. The legislation, which is more beneficial to single-employer pension plans, contains special relief for UAL. It is possible that the passage of this legislation could accelerate the ATSB's approval ofUAL's pending request for a federal loan guarantee. The guarantee backstops $1.6 billion of a $2.0 billion UAL ex.it-financmg package. On April 29, UAL posted a quarterly loss like other large airlmes as high jet fuel prices pinched the bottom line. PIM CO continues to negotiate with United on behalf of the District and currently leads an ad hoc committee. This has been an extremely complicated effort due to the complex nature ofUnited's bankruptcy. These negotiations have required PIMCO's analysts access to non-public information and they are now at a pomt in these workout negotiations where restructuring options are being discussed. Details on the options are non-public information and therefore sharing the results with parties become restricted. In light of this extremely complicated bankruptcy, PIMCO continues to strive to act in the most prudent manner to obtain maximwn recovery. Split Rated Securities Still In Compliance: The District's investment policy requires a minimum rating of A3 by Moody's or A-by S&P, with at least a BBB in the event of a split rating. • $3,500,000 par of Ford Motor Credit securities ($2.5 million represented by cusip 345397S13 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 370425SO3) 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 fromA2 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:\dept\jin\220\Geggie\FAHR\L-T0B00-04-04.RPT.doc @ Mellon LtQ_UID OPER-PIMCO -OCSF07511102 Description CASH & CASH EQUIVALENTS U.S. DOLLAR INTEREST FED HM LOAN BNK -LESS THAN 1 YR FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 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 TOTAL ASSETS -BASE: 5/10/2004 3:43:43PM PDT Asset Summary by Asset Type with Sectors 4/30/2004 Shares Par 17,100,000.000 16,400,000.000 18,300,000.000 124,928.980 18,600,000.000 28,100,000.000 98,624,928.980 98,624,928.980 4,382,000.000 103,006,928.980 1 Cost Base 235,781.18 17,055,091.54 16,348,287.21 18,248,703.35 124,928.98 18,600,000.00 27,974,320.78 98,587,113.04 98,587,113.04 4,505,455.78 103,092,568.82 Report ID: GL8251 Base Currency: USD Alternate Base Currency: Market Value Base 235,781.18 17,055,091.54 16,348,287.21 18,248,703.35 124,928.98 18,600,000.00 27,974,320.78 98,587,113.04 98,587,113.04 4,407,221.31 102,994,334.35 Exchange Rate: Status: F_IfiAL_ %of Total 0.23% 16.56% 15.87% 17.72% 0.12% 18.06% 27.16% 95.72% 95.72% 4.28% 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 -98,234.47 -98,234.47 Workbench @ Mellon WNG TERM OPER-PIMCO -OCSF07522202 Description CASH & CASH EQUIVALENTS U.S. DOLLAR CASH PENDING TRADES INTEREST COMMERCIAL PAPER -DISCOUNT FED HM LOAN BNK -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 FHLMCPOOLS FNMA POOLS GNMA MULTI FAMILY POOLS GNMA SINGLE FAMILY POOLS INFLATION INDEXED SECURITIES INSURANCE PVT PLACEMENTS -MORE THN lYR U.S. AGENCIES U.S. GOVERNMENTS UTILITY -ELECTRIC U.S. DOLLAR FIXED INCOME SECURITIES 5/10/2004 4:05:17PM PDT Asset Summary by Asset Type with Sectors ~/30/20_0A 1,200,000.000 1,500,000.000 22,400,000.000 1,289,830.830 4.400,000.000 30,789,830.830 30,789,830.830 1,600,000.000 943,673.890 16,700,000.000 2,241,342.070 998,875.440 98,983.910 40,635,713.940 2,866,010.550 7,457,373.590 34,664,520.000 3,600,000.000 752,000.000 38,034,587.120 190,360,886.080 4,750,000.000 345,703,966.590 345,703,966.590 1 Cost Base 2,000.00 -2,810,858. 95 4,014,441.83 1,196,669.39 1,494,413.75 22,329,333.29 1,289,830.83 4,377,207.88 31,893,038.02 31,893,038.02 1,600,000.00 943,673.89 16,776,633.00 2,241,342.07 999,939.60 97,792.94 41,533,256.86 2,851,205.31 7,556,141.15 34,681,439.79 3,586,312.00 826,199.84 39,267,550.46 198,864,178.18 4,694,370.00 356,520,035.09 356,520,035.09 Report ID: GL8251' Base Currency: USD Alternate Base Currency: Market Value Raee 2,000.00 -2,810,858.95 4,014,441.83 1,196,669.39 1,494,413.75 22,329,333.29 1,289,830.83 4,377,207.88 31,893,038.02 31,893,038.02 314,304.00 944,853.48 17,057,060.00 2,389,830.98 998,725.61 101,908.35 41,188,055.04 2,860,445.50 7,762,360.38 38,106,372.35 3,703,348.00 826,199.84 39,940,987.78 195,039,601.95 4,924,240.00 356,158,293.26 356,158,293.26 Exchange Rate: Sta_t_u11_:_FINAL %of Total 0.00% -0.72% 1.03% 0.31% 0.39% 5.75% 0.33% 1.13% 8.22% 8.22% 0.08% 0.24% 4.40% 0.62% 0.26% 0.03% 10.61% 0.74% 2.00% 9.82% 0.95% 0.21% 10.29% 50.26% 1.27% 91.78% 91.78% Net Unrealized Gain/Loss Base. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -1,285,696.00 1,179.59 280,427.00 148,488.91 -1,213.99 4,115.41 -345,201.82 9,240.19 206,219.23 3,424,932.56 117,036.00 0.00 673,437.32 -3,824,576.23 229,870.00 -361,741.83 -361,741.83 Workbench @ Mellon LONG TERM OPER-PIMCO-OCSF07522202 Descrlptlon TOTAL ASSETS -BASE: 5/10/2004 4:05:17PM PDT Asset Summary by Asset Type with Sectors 4/3012004 Shares Par Coat Base Report ID: GL8251 Base Currency: USD Alternate Base Currency: Market Value Base Exchange Rate: Status: FINAL %of Total Net Unrealized Gain/Loss Base 376,493,797.420 388,413,073.11 388,051,331.28 100.00% -361,741.83 2 Workbench YLDANAL YIELD ANALYSIS PAGE 1 OCSF07511102 2004/04/30 RUN DATE 05/06/04 DISTRICT: LIQUID OPERATING RUN TIME 11.05.40 ========================================================----=·==================================~============================= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL ----------------------------------------------------------------------------------------·----- CASH & CASH EQUIVALENTS 2,500,000.00 FEDERAL HOME LN BKS CONS DISC .ooo .ooo P-1 99. 743 2,493,585.76 2.53 313384WL9 MAT 05/05/2004 A-1+ 2,493,585.76 2.43 2,000,000.00 FEDERAL HOME LN BK CONS DISC .ooo .000 P-1 99,431 1,988,625.00 2.02 313384XA2 MAT 05/19/2004 A-1+ 1,988,625.00 1.94 1,100,000.00 FEDERAL HOME LN BK CONS DISC N .000 .ooo P-1 99.747 1,695,702.78 1.72 313384XH7 MAT 05/26/2004 A-1+ 1,695,702.78 1.65 3,000,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .000 P-1 99.758 2,992,750.00 3.04 313384XKO MAT 05/28/2004 A-1+ 2,992,750.00 2.91 4,000,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .ooo P-1 99.775 3,990,980.00 4.05 313384XQ7 MAT 06/02/2004 A-1+ 3,990,980.00 3.88 3,900,000.00 FEDERAL HOME LN BKS CONS DISC .ooo .ooo P-1 99.832 3,893,448.00 3.95 313384XS3 MAT 06/04/2004 A-1+ 3,893,448.00 3.79 5,900,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99.549 5,873,384.44 5.97 313396F73 MAT 09/13/2004 A-1+ 5,873,384.44 5.72 2,500,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .000 P-1 99.745 2,493,625.00 2.53 313396WK5 MAT 5/4/2004 A-1+ 2,493,625.00 2.43 6,000,000.oo FEDERAL HOME LN MTG CORP DISC .ooo .000 P-1 99,772 5,986,333.33 6.08 313396WZ2 MAT 05/18/2004 A-1+ 5,986,333.33 5,83 2,000,000.oo FEDERAL HOME LN MTG CORP DISC .ooo .000 P-1 99.747 1,994,944.44 2.02 313396XG3 MAT 05/25/2004 A-1+ 1,994,944.44 1.94 6,500,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .000 P-1 99,753 6,483,930.56 6.59 313588WT8 MAT 05/12/2004 A-1+ 6,483,930.56 6 .31 9,ooo,ooo.oo FEDERAL NATL MTG ASSN DISCOUNT .000 .000 P-1 99,681 8,971,301.67 9.12 313588XAB MAT 05/19/2004 A-1+ 8,971,301.67 8.73 2,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99.766 1,995,315.56 2.02 313588XQ3 MAT 06/02/2004 A-1+ 1,995,315.56 1.94 000,000.00 FEDERAL NATL MTG ASSN DISC .ooo .ooo P-1 99.769 798,155.56 .81 313588YM1 A-1+ 798,155.56 .78 YLDANAL OCSF07511102 DISTRICT: LIQUID OPERATING YIELD ANALYSIS 2004/04/30 PAGE RUN DATE RUN TIME 2 05/06/04 11.05.40 =,========-===-========== ~==~===========----================================================================== PAR VALUE SECURITY ID SECURITY DESCRIPTION 28,100,000.00 US TREASURY BILL 912795QW4 DUE 08/05/2004 DD 02/05/2004 18,600,000.00 CS FOB CAT 2 REPO 99419R230 00,9001 05/03/2004 DD 04/30/04 124,928.98 DREYFUS TREASURY CASH MGMT 996085247 TOTAL CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES 100,000.00 ASSOCIATES CORP NA MTN SR00043 045906BU7 7,9201 07/13/2004 DD 07/13/94 500,000.00 BANK OF AMERICA CORP SR GBL NT 066050CW3 6.6251 06/15/2004 DD 06/15/99 180,000.00 GENERAL ELEC CAP MTN fTR 00448 36962GUR3 7,2501 05/03/2004 DD 05/01/00 l,000,000.00 GENERAL ELEC CAP MTN fTR 00545 36962GYS7 VAR RT 05/20/2004 DD 05/20/02 250,000.00 NCNB TEX NATL BK DALLAS TEX NT 628857DJO 9,5001 06/01/2004 DD 06/01/89 6001 000.00 NATIONSBANK CORP 638585AJ8 7.7501 08/15/2004 627,000.00 NATIONSBANK CORP SR NTS 638585BJ7 6,1251 07/15/2004 DD 07/23/98 l,000,000.00 US BANCORP MTN fTR 00119 9ll59HEY2 6.0001 05/15/2004 DD 05/10/99 YTM AT BOOK .ooo .ooo .ooo ,000 ,000 .ooo .ooo .ooo .ooo .000 ,000 .000 CURRENT MOODY MARKET YIELD S-P PRICE ,000 P-1 99,553 A-1+ .900 , 781 .053 7,820 6.584 7.250 1.220 9.444 7.617 6.067 5.992 AAA AAA AAl AA- AA2 A+ AAA AAA AAA AAA AA2 A+ AA3 A AA2 A+ AA3 A+ 100.000 100.000 101,281 100.625 100.000 100.015 100.593 101. 750 100,953 100,140 TOTAL COST/ MARKET VALUE 27,974,320.78 27,974,320,78 18,600,000.00 18,600,000.00 124,928.98 124,928.98 98,351,331.86 98,351,331.86 104,199.00 101,281.00 518,385.00 503,125.00 183,801.60 180,000.00 1,001,089.00 1,000,150.00 260,870.00 251,482.50 615,546.00 610,500.00 646,650.18 632,975.31 1,046,310.00 1,001,400.00 I TYPE I TOTAL 28.44 27.22 18.91 18.10 .12 ,12 100.00 95.72 2.29 .10 11.41 .49 4.08 ,18 22.69 .97 5.70 ,24 13.85 ,59 14. 36 ,62 22,72 .97 YLDANAL OCSF07511102 DISTRICT: LIQUID OPERATING YIELD ANALYSIS 2004/04/30 PAGE RUN DATE RUN TINE 3 05/06/04 11.05.40 ===================================================-====-----=======-=======================-=-=======--=======-============= PAR VALUE SECURITY ID SECURITY DESCRIPTION 125,000,00 WELLS FARGO & CO NEW NT 949746AA9 6.625% 07/15/2004 DD 07/28/99 TOTAL FIXED INCOME SECURITIES TOTAL YT'M AT BOOK ,000 .000 ,000 CURRENT MOODY MARKET YIELD S-P PRICE 6.556 AAl 101.046 AA- 5,265 .212 TOTAL COST/ MARKET VALUE 128,605.00 126,307.50 4,505,455.78 4,407,221.31 102,856,787.64 102,758,553.17 I TYPE I TOTAL 2.86 .12 100.00 4.28 100.00 100.00 :==·==-=·= YLDANAL OCSF07522202 DISTRICT: LONG-TERM OPERATING YIELD ANALYSIS 2004/04/30 PAGE RUN DATE RUN TIME 4 05/06/04 11,05,40 ====================================-===========~======~----===--============================================================ PAR VALUE SECURITY ID SECURITY DESCRIPTION CASH & CASH EQUIVALENTS 1,500,000.00 FEDERAL HOME LN BK CONS DISC N 313384D63 MAT 08/27/2004 3,900,000.00 FEDERAL NATL MTG ASSN DISC NTS 313588F26 MAT 09/08/2004 3,500,000,00 FEDERAL NATL MTG ASSN DISCOUNT 313588XQ3 MAT 06/02/2004 8,800,000.00 FEDERAL NATL MTG ASSN DISCOUNT 313588YV1 MAT 07/01/2004 1,100,000,00 FEDERAL NATL MTG ASSN DISCOUNT 313588ZJ7 MAT 07/14/2004 5,100,000.00 FEDERAL NATL MTG ASSN DISCOUNT 313588ZY4 MAT 07/28/2004 500,000.00 GENERAL ELEC CAP DISC 36959HG84 07/08/2004 700,000,00 GENERAL ELEC CAP DISC 36959HG92 07/09/2004 4,400,000.00 US TREASURY BILL 912795PX3 0,000% 05/06/2004 DD 11/06/03 1,289,830,83 DREYFUS TREASURY CASH MGMT 996085247 TOTAL CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES 752,000.00 AIG SUNAMERICA GLOBAL REGS U00907AAO 5,850% 08/01/2008 DD 08/08/01 2,800,000.00 COMMIT TO PUR FNMA SF MTG 01F052656 5.500% 05/01/2034 DD 05/01/04 YTM AT BOOK ,000 .ooo .ooo .ooo .ooo .ooo .ooo .ooo .ooo .ooo .ooo .ooo .ooo CURRENT MOODY MARKET YIELD S-P PRICE .ooo .ooo .ooo .ooo .000 .000 .ooo 1.063 .000 ,781 .017 5.325 5,515 P-1 A-1+ P-1 A-1+ P-1 A-1+ P-1 A-1+ P-1 A-1+ P-1 A-1+ P-1 P-1 P-1 A-1+ AAA AAA AAA AAA 99.628 99.586 99,745 99,672 99,707 99.735 99.668 99.762 99,482 100.000 109.867 99.734 TOTAL COST/ MARKET VALUE 1,494,413.75 1,494,413.75 3,883,841.00 3,883,841.00 3,491,064.31 3,491,064.31 8,771,142.87 8,771,142.87 1,096,774.56 1,096,774.56 5,086,510.55 5,086,510.55 498,338.89 498,338.89 698,330.50 698,330.50 4,377,207.88 4,377,207.88 1,289,830.83 1,289,830.83 30,687,455.14 30,687,455,14 826,199.84 826,199.84 2,831,062.50 2,792,562 .64 % TYPE % TOTAL 4.86 .39 12.65 1.00 11.37 .90 28,58 2.27 3.57 ,28 16.57 1.31 1.62 ,13 2.27 ,18 14,26 1. 13 4.20 ,33 100.00 7.92 .23 .21 ,78 .72 YLDANAL YIELD ANALYSIS PAGE : 5 OCSF07522202 2004/04/30 RUN DATE 05/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME I 11.05,40 ==========-===================-=-===:=-====:======;::=======-------=-== ------------ PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL ------------------------------------------------------------------------------------------------ 1,500,000.00 CIT GROUP INC NEW SR NT . 000 5.206 A2 105,656 1,527,135.00 .44 125581ADO 5,5001 11/30/2007 DD 12/02/02 A 1,584,840.00 .41 24,589.09 FHLMC GROUP IG4-0353 • 000 7,469 AAA 100.412 25,211.50 .oo 3128DBMA2 7,500% 10/01/2004 DD 03/01/99 AAA 24,690.40 .01 1,soo,000.00 FEDERAL HOME LN BK CONS BOS . 000 6,820 AAA 104,467 7,997,625.00 2,19 3133MAUN7 7.125% 02/15/2005 DD 02/08/00 AAA 7,835,053.50 2.03 74,394.82 FHLMC GROUP 178-6064 .ooo 3,263 AAA 103,795 72,581.44 .02 31348SWZ3 6,384% 01/01/2028 DD 12/01/97 AAA 77,217.95 .02 11,350,000.00 FEDERAL NATL MTG ASSN DEBS • 000 4.978 AAA 105.472 11,521,271.50 3.36 31359MJX2 5.250% 06/15/2006 DD 06/22/01 AAA 11,971,089.03 3.09 780,652,14 FNMA POOL 10254510 .ooo 4.964 AAA 100,727 804,071.70 .22 31371KVB4 5.000% 11/01/2017 DD 10/01/02 AAA 786,324.05 .20 166,694.57 FNMA POOL 10254631 .ooo 4 ,964 AAA 100.727 171,695.41 .04 31371KY47 5.000% 02/01/2018 DD 01/01/03 AAA 167,905.71 ,04 150,052.93 FNMA POOL f0254760 .ooo 4,965 AAA 100.695 154,554.51 ,04 31371KSV9 5,000% 06/01/2018 DD 05/01/03 AAA 151,096.26 .04 66,357.06 FNMA POOL 10254866 .ooo 4,965 AAA 100.695 68,347.78 .01 31371LCB3 5,0001 09/01/2018 DD 08/01/03 AAA 66,818.45 .02 348,853.08 FNMA POOL #0254953 .ooo 4,965 AAA 100.695 353,322.77 .09 31371LE21 5,000% 11/01/2018 DD 10/01/03 AAA 351,278.69 .09 941,784.62 FNMA POOL 10254987 ,000 4,967 AAA 100.662 953,851.23 .26 31371LF46 5.000% 12/01/2018 DD 11/01/03 AAA 948,023.19 .25 185,047.34 FNMA POOL 10323980 .ooo 5,734 AAA 104.641 193,200.98 .OS 31374T2MO 6.000% 04/01/2014 DD 09/01/99 AAA 193,634.68 .OS 29,299.67 FNMA POOL 10357328 .ooo 4.966 AAA 100.690 30,178.66 .oo 31376J4M8 5,000% 01/01/2018 DD 01/01/03 AAA 29,501.86 .01 1,500,223.95 FNMA POOL 10357430 .ooo 4.965 AAA 100.695 1,517,101.48 .42 31376KA71 5,000% 09/01/2018 DD 09/01/03 AAA 1,510,655.16 .39 55,448.78 FNMA POOL 10456482 .ooo 5,734 AAA 104 .641 57,891.99 .01 31381CCT2 6.000% 02/01/2014 DD 02/01/99 AAA 58,021.95 .01 YLDANAL YIELD ANALYSIS PAGE I 6 OCSF07522202 2004/04/30 RUN DATE 05/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.05.40 ========================~====:=============~===========~==================================================================== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----------~---~----------------------------------------------------------------------------------- 147,511.53 FNMA POOL 10509649 .000 5. 734 AAA 104 .641 154,011.26 ,04 31383QEWO 6.000% 09/01/2014 DD 09/01/99 AAA 154,356.98 .04 146,134 .40 FNMA POOL 10535451 .000 5,741 AAA 104,516 152,573.45 ,04 31384VZQB 6.000% 06/01/2015 DD 07/01/00 AAA 152, 733,27 .04 3,152,435.11 FNMA POOL 10535672 .ooo 5,734 AAA 104.641 3,291,339.30 ,92 31384WCH1 6.000% 01/01/2016 DD 12/01/00 AAA 3,298,727.64 .85 1,007,260.43 FNMA POOL 10545296 .000 5.744 AAA 104.453 1,051,642.84 .29 31385HXZO 6.000% 11/01/2016 DD 10/01/01 AAA 1,052,114.95 ,27 83,544.50 FNMA POOL 10545580 .ooo 5,744 AAA 104.453 87,225.67 .02 31385JCR7 6.000% 03/01/2017 DD 03/01/02 AAA 87,264.84 .02 154,296.33 FNMA POOL 10555101 .ooo 5. 744 AAA 104.453 161,095.00 .04 31385WU23 6.000% 10/01/2017 DD 11/01/02 AAA 161,167.33 .04 358,670.01 FNMA POOL 10555363 .ooo 4,964 AAA 100,727 369,430.11 .10 31385W5Yl 5.000% 04/01/2018 DD 03/01/03 AAA 361,275.96 .09 36,716.86 FNMA POOL 10555453 .ooo 4,964 AAA 100.727 37,187.29 .01 31385XBW6 5.000% 05/01/2018 DD 04/01/03 AAA 36,983.63 .01 297,729.93 FNMA POOL 10555545 .ooo 4 ,964 AAA 100.727 306,661.84 .08 31385XES2 5,000% 06/01/2018 DD 05/01/03 AAA 299,893.12 .oe 1,035,227.30 FNMA POOL 10555621 .ooo 4,967 AAA 100,662 1,046,873.60 ,29 31385XG68 5,000% 07/01/2018 DD 06/01/03 AAA 1,042,084.85 ,27 59,542.40 FNMA POOL 10576386 .ooo 5,753 AAA 104.295 62,165.98 .01 31386XJ72 6.000% 05/01/2016 DD 05/01/01 AAA 62,099.55 .02 124,296.46 FNMA POOL 10576739 .ooo 5. 744 AAA 104.453 129,773,27 .03 31386XV86 6.000% 04/01/2016 DD 04/01/01 AAA 129,831.53 .03 198,389.41 FNMA POOL 10580888 .ooo 5.744 AAA 104,453 207,130.93 ,05 31387DJ91 6,000% 05/01/2016 DD 05/01/01 AAA 207,223.93 .05 162,331.76 FNMA POOL 10594002 .ooo 5,744 AAA 104.453 169,484.49 .04 31387T3K8 6,000% 07/01/2016 DD 07/01/01 AAA 169,560.59 .04 221,914.87 FNMA POOL 10597376 .ooo 5. 744 AAA 104.453 231,692.99 .06 31387XT96 6,000% 09/01/2016 DD 08/01/01 AAA 231,797.01 .06 YLDANAL YIELD ANALYSIS PAGE 7 OCSF07522202 2004/04/30 RUN DATE I 05/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME : ll,05.40 -~---==-· -·-=========::.:-:-~===-==---.;::-=--===---·-===~--::i:=-=---===:;:::::=:::==-_,=:::::: PAR VALUE YTM AT CURRENT MOODY MARI<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARI<ET VALUE % TOTAL ------------------------------------------------------------------------------------------- 136,947.41 FNMA POOL 10605259 . 000 S.744 AAA 104 ,453 142,981.66 ,04 31388HMG1 6.000% 09/01/2016 DD 09/01/01 AAA 143,045.84 ,04 80,529.83 FNMA POOL t0608366 .ooo s. 744 AAA 104.453 84,078.17 .02 3138BLZ78 6.000% 10/01/2016 DD 09/01/01 AAA 84,llS.92 .02 167,705.16 FNMA POOL 10616734 .ooo 5,744 AAA 104,453 175,094.66 ,04 31388WEF9 6 ,000% 12/01/2016 DD 12/01/01 AAA 175,173.27 .05 157,208.04 FNMA POOL 10630812 .ooo 5.752 AAA 104,308 164,135.02 .04 31389NYH2 6,000% 02/01/2017 DD 02/01/02 AAA 163,980.72 ,04 744,212.18 FNMA POOL 10632376 .ooo 5,744 AAA 104,453 777,004.04 .21 31389QQ50 6,000% 07/01/2017 DD 07/01/02 AAA 777,352.84 .20 4ll,111.43 FNMA POOL 10653116 .ooo s. 744 AAA 104.453 429,226.03 .12 31390QSD8 6,000% 07/01/2017 DD 07/01/02 AAA 429,418.72 .11 185,441.81 FNMA POOL 10673280 .ooo 5,744 AAA 104,453 193,612.84 .os 31391P6R2 6,000% 08/01/2017 DD 11/01/02 AAA 193,699.76 ,05 543,735.35 FNMA POOL 10681309 .000 4,964 AAA 100.727 560,047.41 ,15 31391Y3S4 5,000% 02/01/2018 DD 02/01/03 AAA 547,685.91 ,14 67,462.07 FNMA POOL 10681334 .ooo 4,964 AAA 100.727 69,485.93 .01 31391Y4Tl 5,000% 02/01/2018 DD 01/01/03 AAA 67,952.22 .02 343,135.64 FNMA POOL 10684908 .ooo 4.964 AAA 100,727 347,532.07 ,09 31400D3Rl 5,000% 06/01/2018 DD 05/01/03 AAA 345,628.73 ,09 191,087.82 FNMA POOL 10685200 .ooo 4,964 AAA 100.727 193,536.14 .05 31400EGH7 5.000% 03/01/2018 DD 03/01/03 AAA 192,476.19 .os 34,307.55 FNMA POOL f068S66S .000 4.964 AAA 100.727 35,336.78 .oo 31400EW22 5.000% 02/01/2018 DD 02/01/03 AAA 34,556.81 .01 289,810.80 FNMA POOL 10686318 .ooo 4 ,964 AAA 100.727 298,505.12 ,08 31400FPB7 5,000% 03/01/2018 DD 03/01/03 AAA 291,916,45 .08 109,292.86 FNMA POOL t0688739 .ooo 4,965 AAA 100.695 ll2,S71.64 .OJ 31400JEL9 5,000% 06/01/2018 DD 06/01/03 AAA 110,052.78 ,03 118,828.51 FNMA POOL 10689859 .ooo 4,965 AAA 100.695 120,351.00 ,03 31400KMGB 5.000% 05/01/2018 DD 05/01/03 AAA 119,654.74 .03 YLDANAL YIELD ANALYSIS PAGE 8 OCSF07522202 2004/04/30 RUN DATE 05/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.05.40 =============================================================~=-=== -·-------------- PAR VALUE YT'M AT CURRENT MOODY MAR.KET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MAR.KET VALUE % TOTAL -------------------------------------------------------------------------------------~------------ 699,284.73 FNMA POOL 10693834 .ooo 4.964 AAA 100.727 720,263.27 .19 31400PY74 5 .000% 03/01/2018 DD 03/01/03 AAA 704,365.45 .18 249,710.04 FNMA POOL 10695852 .ooo 4.965 AAA 100.695 257,201.34 .07 31400SBVO 5,000% 05/01/2018 DD 05/01/03 AAA 251,446.30 .06 788,477.64 FNMA POOL #0695889 .ooo 4.965 AAA 100.695 812,131.97 .22 31400SC23 5.000% 05/01/2018 DD 05/01/03 AAA 793,960.00 .21 24,806.91 FNMA POOL 10697026 .ooo 4.964 AAA 100.727 25,551.14 .oo 31400TLF2 5 ,000% 05/01/2018 DD 04/01/03 AAA 24,987.15 .01 65,506.38 FNMA POOL t0698939 .ooo 5.737 AAA 104.578 68,392.76 .01 31400VPY2 6.000% 09/01/2017 DD 03/01/03 AAA 68,505.34 .02 239,128.57 FNMA POOL t0702210 .ooo 4,967 AAA 100.662 246,302.43 .06 31401ADP9 5.000% 05/01/2018 DD 05/01/03 AAA 240,712.61 .06 144,950.79 FNMA POOL t0702328 .ooo 4.964 AAA 100.727 146,807.98 .04 31401AHD2 5.000% 05/01/2018 DD 04/01/03 AAA 146,003.94 .04 76,335.65 FNMA POOL 10703195 .ooo 5.727 AAA 104.766 79,699.19 ,02 31401BGC3 6.000% 01/01/2017 DD 04/01/03 AAA 79,973.52 .02 291,612.11 FNMA POOL 10709148 .ooo 4.965 AAA 100.695 300,360.48 .08 31401HZM7 5,000% 06/01/2018 DD 06/01/03 AAA 293,639.72 .08 659,738.51 FNMA POOL #0709360 .ooo 4,965 AAA 100.695 668,191.42 .18 31401JB56 5.000% 07/01/2018 DD 06/01/03 AAA 664,325.74 .17 128,875.77 FNMA POOL #0709826 .ooo 4.965 AAA 100.695 130,526.99 .03 31401JSP4 5.000% 06/01/2018 DD 06/01/03 AAA 129,771.86 .03 253,167.31 FNMA POOL 10709917 .ooo 4.965 AAA 100.695 256,411.01 .07 31401JVJ4 5,000% 06/01/2018 DD 06/01/03 AAA 254,927.61 .07 23,941.47 FNMA POOL 10709963 .ooo 4.967 AAA 100.662 24,248.23 .oo 31401JWYO 5.000% 06/01/2018 DD 06/01/03 AAA 24,100.06 .01 700,433.28 FNMA POOL 10710235 .ooo 4.965 AAA 100.695 721,446.29 ,19 31401KBC8 5.000% 06/01/2018 DD 06/01/03 AAA 705,303.46 .18 21,920.97 FNMA POOL #0713344 .000 4,965 AAA 100.695 22,578.59 .oo 31401NP52 5.000% 06/01/2018 DD 06/01/03 AAA 22,073.39 .01 YLDANAL YIELD ANALYSIS PAGE 9 OCSF07522202 2004/04/30 RUN DATE : 05/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.05.40 ---------------~-----------------·-·--------------- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL --------------------------~------------------------------------------------------------------------ 317,638.27 FNMA POOL 10713365 • 000 4.965 AAA 100.695 321,708.01 .08 31401NQS1 5.000% 07/01/2018 DD 07/01/03 AAA 319,846.84 .08 858,573.88 FNMA POOL 10720319 • 000 4.965 AAA 100.695 869,574.35 ,24 31401WG45 5,000% 07/01/2018 DD 07/01/03 AAA 864,543.63 .22 2,345,079.97 FNMA POOL 10720369 .ooo 4.967 AAA 100,662 2,415,432.37 .66 31401WJNO 5.000% 06/01/2018 DD 06/01/03 AAA 2,360,614.25 .61 304,622.58 FNMA POOL 10721629 .000 4.965 AAA 100,711 313,761.27 ,08 31401XVW4 5.000% 07/01/2018 DD 06/01/03 AAA 306,788.26 .08 249,349.50 FNMA POOL 10723487 • 000 4.965 AAA 100,695 252,154.69 .07 31402AXQ4 5.000% 06/01/2018 DD 06/01/03 AAA 251,083.25 .06 412,013.88 FNMA POOL 10729601 .ooo 4,965 AAA 100.695 417,292.81 .11 31402HRW3 5.000% 07/01/2018 DD 07/01/03 AAA 414,878.65 .11 36,035.34 FNMA POOL 10732873 .ooo 4.959 AAA 100.836 36,497.03 .01 31402MFN5 5.000% 11/01/2018 DD 10/01/03 AAA 36,336.57 .01 710,580.67 FNMA POOL 10737130 .ooo 4.965 AAA 100.695 719,684.98 .20 31402S4P9 5,000% 10/01/2018 DD 10/01/03 AAA 715,521.41 .18 558,590.79 FNMA POOL 10738211 .ooo 4.967 AAA 100.662 565,747.75 ,15 31402UDQ2 5.000% 10/01/2018 DD 10/01/03 AAA 562,291.01 .15 208,780.77 FNMA POOL 10738487 .ooo 4,965 AAA 100.695 211,455.77 .os 31402UNC2 5.000% 10/01/2018 DD 10/01/03 AAA 210,232.44 ,05 688,024.60 FNMA POOL 10740471 .ooo 4.967 AAA 100.662 696,839.90 ,19 31402WT40 5.000% 10/01/2018 DD 10/01/03 AAA 692,582.21 .18 803,706.18 FNMA POOL 10740748 .000 4,965 AAA 100,695 814,003.66 .22 31402WSH7 5.000% 10/01/2018 DD 11/01/03 AAA 809,294.43 .21 42,970.83 FNMA POOL 10743868 .ooo 4.967 AAA 100.662 43,521.39 .01 31403BMR1 5.000% 11/01/2018 DD 10/01/03 AAA 43,255.48 .01 1,132,179.38 FNMA POOL 10744008 .ooo 4,965 AAA 100.695 1,146,685.42 .32 31403BR54 5.000% 07/01/2018 DD 09/01/03 AAA 1,140,051.54 .29 162,631.33 FNMA POOL t0744316 .ooo 4,967 AAA 100,662 164,715.05 ,04 31403B3Z4 5,000% 09/01/2018 DD 09/01/03 AAA 163,708.63 .04 YLDANAL YIELD ANALYSIS PAGE 10 OCSF07522202 2004/04/30 RUN DATE 05/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME : 11.05.40 ==================================================-----=-------=====--======-=======-=-=-====-=-=--==---======---=====----=== PAR VALUE YTH AT CURRENT MOODY MARI<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARI<ET VALUE % TOTAL ------------------------------------------------------------·------------------------------- 356,487.39 FNMA POOL 10747914 .000 4,965 AAA 100.695 361,054.90 ,10 31403F3XO 5,000% 11/01/2018 DD 11/01/03 AAA 358,966.08 .09 230,341.55 FNMA POOL 10748400 .ooo 4.967 AAA 100.662 233,292.81 ,06 31403GNR9 5.000% 08/01/2018 DD 09/01/03 AAA 231,867.38 ,06 1,004,944.40 FNMA POOL 10748899 .000 4,965 AAA 100,704 1,017,820.24 ,28 31403G7LO 5.000% 12/01/2018 DD 11/01/03 AAA 1,012,023,30 .26 2,432,630.32 FNMA POOL 10750377 .ooo 4,965 AAA 100.704 2,463,798,40 ,68 31403JUA2 5.000% 11/01/2018 DD 11/01/03 AAA 2,449,765.94 ,63 2,030,308.14 FNMA POOL 10750380 .ooo 4,965 AAA 100,704 2,056,321.48 .57 31403JUD6 5,000% 11/01/2018 DD 11/01/03 AAA 2,044,609.77 ,53 171,664.43 FNMA POOL 10750445 .ooo 4,965 AAA 100.704 173,863,88 ,04 31403JWE2 5,000% 11/01/2018 DD 11/01/03 AAA 172,873.65 ,04 877,527.05 FNMA POOL 10751960 .ooo 4,967 AAA 100.662 888,770.37 ,24 31403LMH1 5,000% 12/01/2018 DD 11/01/03 AAA 883,339.96 ,23 938,144.11 FNMA POOL 10753425 ,000 4.965 AAA 100,695 948,991.39 .26 31403NA23 5.000% 11/01/2018 DD 11/01/03 AAA 944,667,12 .24 624,170.91 FNMA POOL f0755165 .ooo 4,965 AAA 100. 711 632,168.10 ,17 31403Q6A3 5,000% 12/01/2018 DD 11/01/03 AAA 628,608.39 ,16 979,595.64 FNMA POOL 10756372 .000 4.965 AAA 100. 711 990,922.21 ,27 31403SJR8 5.000% 11/01/2018 DD 11/01/03 AAA 986,559.98 .26 297,549.73 GNMA POOL 10596612 .ooo 6.208 AAA 104.707 312,287.73 .08 36200BYH4 6.500% 09/15/2032 DD 09/01/02 AAA 311,555,49 .08 970,397.56 GNMA POOL f0569358 .ooo 6.226 AAA 104.407 993,141.25 ,28 36200QQK3 6,500% 04/15/2032 DD 04/01/02 AAA 1,013,163.41 .26 42,682.28 GNMA POOL 10569685 .ooo 6,208 AAA 104.707 44,796.38 .01 36200Q2S2 6 .500% 02/15/2032 DD 02/01/02 AAA 44,691.35 .01 73,769.89 GNMA POOL f0570019 .ooo 6,208 AAA 104,707 77,423.81 .02 36200RG48 6,500% 07/15/2032 DD 07/01/02 AAA 77,242.26 .02 400,528.61 GNMA POOL 10574323 .ooo 6,208 AAA 104,707 420,367.30 • 11 36200WAY7 6,500% 12/15/2031 DD 12/01/01 AAA 419,381.61 .11 YLDANAL YIELD ANALYSIS PAGE 11 OCSF07522202 2004/04/30 RUN DATE 05/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.05.40 ======= PAR VALUE YTH AT CURRENT MOODY MARI<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARI<ET VALUE % TOTAL --------------------------------------------------------------------------------------------------- 41,173.19 GNMA POOL 10575364 .ooo 6.208 AAA 104.707 43,212.55 ,01 36200XFD6 6.500% 11/15/2031 DD 11/01/01 AAA 43,111.22 .01 17,996.66 GNMA POOL 10587117 .000 6.208 AAA 104.707 18,888.06 .oo 36201MG22 6.500% 06/15/2032 DD 06/01/02 AAA 18,843.77 .oo 54,439.66 GNMA POOL 10587439 .000 6,208 AAA 104.707 57,136.12 .01 36201MS45 6.500% 11/15/2032 DD 12/01/02 AAA 57,002.15 .01 12,351.66 GNMA POOL 10421389 .ooo 6. 187 AAA 105.051 12,963.47 .oo 36206UC23 6.500% 04/15/2026 DD 04/01/96 AAA 12,975.52 .oo 20,135.55 GNMA POOL 10449851 .ooo 6.217 AAA 104.546 21,132.89 .oo 36208FWLO 6.500% 01/15/2028 DD 01/01/98 AAA 21,050.96 .01 57,160.52 GNMA POOL 10466845 .ooo 6.195 AAA 104.926 59,991.75 .01 36209BTA6 6.500% 06/15/2028 DD 06/01/98 AAA 59,976.12 .02 112,624.56 GNMA POOL #0468052 .ooo 6.195 AAA 104.926 118,203.00 .03 36209C5M4 6.500% 07/15/2029 DD 07/01/98 AAA 118,172.20 .03 173,175.63 GNMA POOL 10476041 .ooo 6,195 AAA 104.926 181,482.65 .05 36209MZE7 6.500% 06/15/2028 DD 06/01/98 AAA 181,705.88 .05 141,524.55 GNMA POOL 10478626 .ooo 6.195 AAA 104.926 148,313.31 .04 36209QVT9 6.500% 01/15/2029 DD 01/01/99 AAA 148,495.74 .04 29,080.47 GNMA POOL 10480598 .ooo 6.195 AAA 104.926 30,475.42 .oo 36209S3F6 6.500% 10/15/2028 DD 10/01/98 AAA 30,512.91 .01 403,410.53 GNMA POOL #0485527 .ooo 6.208 AAA 104.707 423,391.97 .11 36209YLG1 6.500% 06/15/2031 DD 06/01/01 AAA 422,399.18 . 11 405,531.93 GNMA POOL #0485610 .000 6,208 AAA 104.707 425,618.43 .11 36209YN38 6,500% 07/15/2031 DD 07/01/01 AAA 424,620.44 .11 79,191.41 GNMA POOL 10485682 ,000 6,208 AAA 104.707 83,113.86 .02 36209YRB6 6,500% 08/15/2031 DD 08/01/01 AAA 82,918.97 .02 62,737.28 GNMA POOL 10495703 .000 6.208 AAA 104.707 65,844.73 .01 36209YRY6 6.500% 08/15/2031 DD 08/01/01 AAA 65,690.34 .02 10,869.61 GNMA POOL 10512235 .ooo 6.200 AAA 104.832 11,407.99 .oo 36211GBC6 6.500% 11/15/2029 DD 11/01/99 AAA 11,394.83 .oo YLDANAL YIELD ANALYSIS PAGE 12 OCSF07522202 2004/04/30 RUN DATE 05/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.05.40 -----------------=-==~---------==----------=----=------=---------=-======-=================================================== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----------------------------------------------------------------------------------------------- 141,058.75 GNMA POOL 10514326 .ooo 6 ,200 AAA 104 ,832 147,825.16 .04 36211JLF2 6.500% 07/15/2029 DD 07/01/99 AAA 147,874,75 .04 43,544.82 GNMA POOL 10530053 .ooo 6,225 AAA 104,409 45,701.66 .01 36212CZS3 6.500% 04/15/2031 DD 04/01/01 AAA 45,464.91 ,01 92,827,32 GNMA POOL 10537885 .ooo 6,208 AAA 104.707 97,425.17 .02 36212MRE1 6.500% 02/15/2031 DD 02/01/01 AAA 97,196.73 .OJ 10,377.55 GNMA POOL 10547512 .ooo 6,208 AAA 104,707 10,891.57 .oo 36212YGV9 6.500% 04/15/2031 DD 04/01/01 AAA 10,866.02 .oo 127,667.06 GNMA POOL 10547715 .ooo 6.208 AAA 104.707 133,791.09 .03 36212YN82 6.500% 02/15/2031 DD 02/01/01 AAA 133,676.39 .03 63,014.57 GNMA POOL 10552322 .ooo 6,208 AAA 104,707 66,135.76 .01 3621JESKJ 6.500% 01/15/2032 DD 01/01/02 AAA 65,980.68 .02 436,904.67 GNHA POOL 10552466 .ooo 6,226 AAA 104.407 458,545.11 .12 36213EW36 6,500% 03/15/2032 DD 03/01/02 AAA 456,159.25 .12 382,065.82 GNHA POOL 10552659 .ooo 6.208 AAA 104.707 400,990.00 .11 3621JE5U6 6.500% 07/15/2032 DD 07/01/02 AAA 400,049.77 .10 317,921.76 GNHA POOL 10561017 .ooo 6.208 AAA 104.707 333,668.82 .09 36213QG29 6,500\ 07/15/2031 DD 07/01/01 AAA 332,886,43 .09 243,576.94 GNMA II POOL 10080395 .ooo J.519 AAA 99.462 241,369.52 .06 36225CNM4 VAR RT 04/20/2030 DD 04/01/00 AAA 242,267.23 .06 2,150,597.88 GNHA II POOL I080408X .ooo J.519 AAA 99.462 2,128,755.87 ,60 36225CN28 6,500\ 05/20/2030 DD 05/01/00 AAA 2,139,036.27 ,55 J,000,000.00 GENERAL MTRS ACCEP CORP SR NT ,000 5,796 Al 105.671 3,064,350.00 .89 370425SDJ 6.125% 08/28/2007 DD 08/29/02 BBB 3,170,130.00 .82 J,000,000.00 GOLDMAN SACHS GROUP INC SR NT .ooo 4.070 AAJ 101. 359 J,OJ0,030.00 .85 38141GCS1 4,125% 01/15/2008 DD 01/13/03 A+ 3,040,770.00 .79 J,200,000.00 MORGAN STANLEY NT .ooo J.647 AAJ 99.390 3,195,648.00 ,89 617446HW2 J,625% 04/01/2008 DD 03/06/03 A+ J,180,480.00 .82 943,673.89 RESIDENTIAL ASSET 03-RSll AIIB .ooo 1.428 AAA 100.125 943,673.89 .26 760985K83 VAR RT 12/25/2033 DD 12/30/03 AAA 944,853.48 ,24 • YLDANAL YIELD ANALYSIS PAGE 13 OCSF07522202 2004/04/30 RUN DATE : 05/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.05.40 =====~~ ==--=======~======~= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -------------------------------------------------------------------------------------------- 3,260,886.08 SBA GTD DEV PARTN 200l-20C 1 .ooo 5.942 AAA 106.700 3,260,886.08 .97 83162CLJO 6.340% 03/01/2021 AAA 3,479,365.45 .90 2,241,342.07 SBA GTD PARTN CTFS SBIC-PS 01 .000 6.227 AAA 106.625 2,241,342.07 .67 831641DD4 6.640% 02/10/2011 DD 02/21/01 HR 2,389,830.98 .62 1,600,000.00 UNITED AIRLS PASSTHRU 01-1 C .ooo 34. 774 WR 19.644 1,600,000.00 .oa 909317BC2 6.831% 03/01/2010 DD 08/22/01 A-314,304.00 .08 20,000,000.00 US TREASURY NOTES .ooo 5. 718 AAA 109. 313 22,620,312.50 6.13 9128272JO 06.250% 02/15/2007 DD 02/15/97 AAA 21,862,500.00 5.65 3,457,020.00 US TREASURY INFLATION INDEX NT .ooo 3.294 AAA 110.063 3,766,521.35 1.06 9128273T7 3.625% 01/15/2008 OD 01/15/98 AAA 3,804,882.64 .98 14,757,080.00 US TREASURY INFLATION INDEX NT .ooo 3.454 AAA 112 .188 16,382,440.11 4.64 9128274Y5 3.875% 01/15/2009 DD 01/15/99 AAA 16,555,599.13 4.28 57,100,000.00 US TREASURY NOTES .ooo 5.442 AAA 105.656 62,782,901.47 16.93 9128276N7 05.750% 11/15/2005 DD 11/15/00 AAA 60,329,861.50 15.60 12,000,000.00 US TREASURY NT .ooo 3,269 AAA 99,410 11,870,156.25 3.34 912828BG4 3.250% 08/15/2008 DD 08/15/03 AAA 11,929,200.00 3.08 01,000,000.00 US TREASURY NOTES .000 1.884 AAA 99.530 81,284,765.63 22.63 912828BX7 1.875% 01/31/2006 DD 01/31/03 AAA 80,619,300.00 20.84 11,000,000.00 US TREASURY NOTES .ooo 1.642 AAA 98.938 17,045,156.25 4 .72 912828CB4 1.625% 02/28/2006 DD 02/29/04 AAA 16,819,375.00 4 .35 1,150,000.00 VIRGINIA ELEC & PWR 01 SER A .ooo 5.451 A3 105.484 1,743,840.00 .51 927804ENO 5.750% 03/31/2006 DD 03/27/01 BBB+ 1,845,970.00 .48 16,450,420.00 US TREASURY INFLATION INDEX NT 3.817 3.129 AAA 107.875 14,532,478.33 4.98 9128272M3 3.375% 01/15/2007 DD 01/15/97 AAA 17,745,890.58 4 ,59 15,500,000.00 FEDERAL NATL MTG ASSN DEBS 5,967 6.818 AAA 104.501 16,154,410.00 4.54 31359HFH1 7.125% 02/15/2005 DD 02/14/00 AAA 16,197,605.40 4.19 998,875.44 FHLHC MULTICLASS MTG SER E3 A 6. 316 3.726 AAA 99.985 999,939.60 .28 3133TCE95 VAR RT 08/15/2032 DD 12/01/97 AAA 998,725.61 .26 641,799.78 GNMA GTD REHIC TR 2000-9 FH 6.320 1.588 AAA 100.753 641,799.78 .18 3837H4NX9 VAR RT 02/16/2030 AAA 646,632.53 .17 YLDANAL YIELD ANALYSIS PAGE 14 OCSF07522202 2004/04/30 RUN DATE 05/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.05.40 ===:::==::::.===--===--=====:::::;;=-·=========-= ------==-==-=-==-==.:::=======~---=====----===.:::::::· --====r=~=-====-====--== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------------------------------------------------------------------- 5,300.89 GNMA POOL 10500917 6. 389 5,829 AAA 102.934 5,031.70 .oo 36210SPAO 6.000% 04/15/2029 DD 04/01/99 AAA 5,456.40 .oo 32,121.84 GNHA POOL 10506636 6. 389 5.829 AAA 102.934 30,490.64 .oo 36210YY90 6.000% 04/15/2029 DD 04/01/99 AAA 33,064.16 .01 252,953.55 GNMA POOL 10503388 6. 389 5,829 AAA 102.934 240,108.25 .07 36210VF55 6.000% 03/15/2029 DD 03/01/99 AAA 260,374.17 .07 12,582.88 GNMA POOL 10499153 6 .389 5.829 AAA 102.934 ll1943,90 .oo 36210QQE5 6.000% 02/15/2029 DD 02/01/99 AAA 12,952.01 .oo 359,647.89 GNMA POOL f0496461 6,390 5.829 AAA 102.934 341,384.52 .10 36210MQN4 6.000% 01/15/2029 DD 01/01/99 AAA 370,198.48 .10 92,608.33 GNMA POOL 10491103 6 .390 5.829 AAA 102.934 87,905.58 .02 36210FRY4 6.000% 01/15/2029 DD 01/01/99 AAA 95,325.08 .02 11,206.51 GNHA POOL 10486720 6. 390 5,829 AAA 102.934 10,637.44 .oo 36210AVH6 6.000% 12/15/2028 DD 12/01/98 AAA ll,535.26 .oo 20,891.35 GNMA POOL 10497343 6,390 5.829 AAA 102.934 19,830.46 .oo 36210NP45 6.000% 12/15/2028 DD 12/01/98 AAA 21,504.22 .01 12,976.08 GNMA POOL 10469688 6. 391 5.829 AAA 102.934 12,317.13 .oo 36209EXR8 6.000% 11/15/2028 DD 11/01/98 AAA 13,356.74 .oo 20,515.38 GNHA POOL 10467279 6 .391 5.829 AAA 102.934 19,473.58 .oo 36209CCQ7 6.000% 10/15/2028 DD 10/01/98 AAA 21,117.22 .01 34,775.49 GNMA POOL 10457814 6. 391 5.829 AAA 102.934 33,009.53 .01 36208QSB3 6.000% 10/15/2028 DD 10/01/98 AAA 35,795.66 .01 350,207.54 GNHA POOL 10467286 6. 391 5,829 AAA 102.934 332,423.56 .10 36209CCX2 6.000% 10/15/2028 DD 10/01/98 AAA 360,481.19 .09 474,294.30 GNHA POOL 10465555 6.392 5,829 AAA 102.934 450,209.05 .13 36209AE48 6.000% 09/15/2028 DD 09/01/98 AAA 488,208.15 .13 13,112.67 GNHA POOL 10483452 6.392 5.829 AAA 102.934 12,446.81 .oo 36209WBV3 6.000% 09/15/2028 DD 09/01/98 AAA 13,497.34 .oo 440,306.86 GNMA POOL 10465546 6.392 5.829 AAA 102.934 417,947.53 .12 36209AET3 6.000% 08/15/2028 DD 08/01/98 AAA 453,223.66 .12 YLDANAL YIELD ANALYSIS PAGE 15 OCSF07522202 2004/04/30 RUN DATE 05/06/04 DISTRICT: LONG-TERM OPERATING RUN TIME 11.05.40 ==========================--============= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ------------------------~-----------------------------~------------------------------------__ " ______ 270,241.33 GNMA POOL 10468339 6,392 5.825 AAA 102.996 256,518.15 .07 36209DHQO 6,000% 08/15/2028 DD 08/01/98 AAA 278,338.00 .07 18,527.31 GNMA POOL 10438057 6. 393 5.825 AAA 102.996 17,586.48 ,00 36207PTN9 6,000% 05/15/2028 DD 05/01/98 AAA 19,082.40 .oo 13,389.79 GNMA POOL 10468330 6. 393 5.825 AAA 102.996 12,709.83 .oo 36209DHF4 6.000% 05/15/2028 DD 05/01/98 AAA 13,790.96 .oo 269,066.42 GNMA II POOL f080088M 6,705 4. 341 AAA 100,783 274,952.25 .07 36225CC20 7,375% 06/20/2027 DD 06/01/97 AAA 271,173.48 .07 2,000,000.00 MARSH & MCLENNAN COS INC SR NT 6. 717 6,586 A2 100.593 1,992,280.00 .56 571748AB8 6.625% 06/15/2004 DD 06/14/99 AA-2,011,860.00 .52 2,500,000.00 FORD MTR CR CO GLOBAL LANDMARK 6.739 6.632 Al 101.031 2,495,900.00 .70 345397SJ3 6.700% 07/16/2004 DD 07/16/99 BBB-2,525,775.00 .65 2,500,000.00 COUNTRYWIDE HOME LNS INC NT 6.866 6.809 Al 100.609 2,498,400.00 .70 22237UAB8 6,850% 06/15/2004 DD 06/24/99 A 2,515,225.00 .65 202,769.31 GNMA II POOL 10080023 6. 992 4,509 AAA 102.564 206,127.67 .05 36225CAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 207,968.52 .05 2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7. 113 5.922 AAA 111.862 2,030,133.00 .65 31359MEY5 6.625% 09/15/2009 DD 09/01/99 JI.AA 2,349,103.68 .61 1,000,000.00 FORD MOTOR CR CO NT 7. 582 6,491 Al 103.984 965,170.00 .29 345397GV9 6.750% 05/15/2005 DD 05/24/93 BBB-1,039,840.00 .27 942,787.34 WMP/HUNTOON PAIGE f000-11150 7. 684 7.510 AAA 99.864 922,311.18 ,26 302998GE3 7,500% 12/01/2030 DD 10/21/99 AAA 941,503.64 .24 3,000,000.00 PACIFICORP SECD MTN ITR 00115 7.709 7 .114 Al 102.609 2,950,530.00 .86 69512EEU5 7,300% 10/22/2004 DD 10/22/92 A 3,078,270.00 .80 YLDANAL OCSF07522202 DISTRICT: LONG-TERM OPERATING YIELD ANALYSIS 2004/04/30 PAGE RUN DATE RUN TIME 16 05/06/04 11.05.40 =======================================================--------============================================================== PAR VALUE SECURITY ID SECURITY DESCRIPTION 11 600 1 000.00 ALLSTATE CORP SR NT 020002AL5 7,875% 05/01/2005 OD 05/01/00 TOTAL FIXED INCOME SECURITIES TOTAL YTM AT BOOK 7,967 , 342 .339 CURRENT MOODY MARKET YIELD S-P PRICE 7.449 Al 105.718 A+ 4.608 4.563 TOTAL COST/ MARKET VALUE 1,594,032.00 1,691,488.00 356,520,035.09 356,158,293,26 387,207,490.23 386,845,748.40 % TYPE % TOTAL ,47 .44 100,00 92.04 100.00 100.00 @ Asset Detail Report ID: GL8013' Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED-OCSGOOO 10000 4/30/2004 Status: FINAL Net Unrealized Price ' .. ·~ ' Cost Market Value %of Gain/Loss Description -t Base Sharea Par Base Base Total Base U.S. DOLLAR CASH & CASH EQUIVALENTS CASH 2,000.00 2,000.00 0.00% 0.00 RECEIVABLE FOR INVESTMENTS 1,056,375.42 1,056,375.42 0.22% 0.00 SOLD PAYABLE FOR INVESTMENTS -3,867,234.37 -3,867,234.37 -0.79% 0.00 PURCHASED INTEREST RECEIVABLE 4,250,223.01 4,250,223.01 0.87% 0.00 FEDERAL HOME LN BK CONS DISC N 99.6276 1,500,000.000 1,494,413.75 1,494,413.75 0.30% 0.00 MAT 08/27/2004 SEC ID: 313384D63 FEDERAL HOME LN BKS CONS DISC 99.7434 2 ,soo,0,00.000 2,493,585.76 2,493,585.76 0.51% 0.00 MAT 05/05/2004 SEC ID: 313384WL9 FEDERAL HOME LN BK CONS DISC 99.4313 2 ,000,0,00.000 1,988,625.00 1,988,625.00 0.40% 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 BK CONS DISC N 99.7583 3,000,000.000 2,992,750.00 2,992,750.00 0.61% 0.00 MAT 05/28/2004 SEC ID: 313384XKO FEDERAL HOME LN BK CONS DISC N 99.7745 4,000,000.000 3,990,980.00 3,990,980.00 0.81% 0.00 MAT 06/02/2004 SEC ID: 313384XQ7 FEDERAL HOME LN BKS CONS DISC 99.8320 3,900,000.000 3,893,448.00 3,893,448.00 0.79% 0.00 MAT 06/04/2004 SEC ID: 313384XS3 FEDERAL HOME LN MTG CORP DISC 99.5489 5,900,000.000 5,873,384.44 5,873,384.44 1.20% 0.00 MAT 09/13/2004 SEC ID: 313396F73 FEDERAL HOME LN MTG CORP DISC 99.7450 2,500,000.000 2,493,625.00 2,493,625.00 0.51% 0.00 MAT 5/4/2004 SEC ID: 313396WK5 FEDERAL HOME LN MTG CORP DISC 99.7722 6,000,000.000 5,986,333.33 5,986,333.33 1.22% 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% o.bo MAT 05/25/2004 SEC ID: 313396XG3 5/10/2004 4:09:04PM PDT 1 Wor-kbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDA.TED-OCSGOO0l00OO 4/30/2004 Statua: FINAL Net Unrealiz-e~f Price '" Cost r • ' Market Value %of Gaiil/Loss ' .. Description Shares Par I •• ,.Ii. Base Total Base Base Base FEDERAL NATL MTG ASSN DISC NTS 99.5857 3,900,000.000 3,883,841.00 3,883,841.00 0.79% 0.00 MAT 09/08/2004 SEC ID: 313588F26 FEDERAL NATL MTG ASSN DISCOUNT 99.7528 6,500,000.000 6,483,930.56 6,483,930.56 1.32% 0.00 MAT 05/12/2004 SEC ID: 313588WT8 FEDERAL NATL MTG ASSN DISCOUNT 99.6811 9,000,000.000 8,971,301.67 8,971,301.67 1.83% 0.00 MAT 05/19/2004 SEC ID: 313588XA8 FEDERAL NATL MTG ASSN DISCOUNT 99.7658 5,500,000.000 5,486,379.87 5,486,379.87 1.12% 0.00 MAT 06/02/2004 SEC ID: 313588XQ3 FEDERAL NATL MTG ASSN DISC 99.7694 800,000.000 798,155.56 798,155.56 0.16% 0.00 SEC ID: 313588YM1 FEDERAL NATL MTG ASSN DISCOUNT 99.6721 8,800,000.000 8,771,142.87 8,771,142.87 1.79% 0.00 MAT 07/01/2004 SEC ID: 313588YV1 FEDERAL NATL MTG ASSN DISCOUNT 99.7068 1,100,000.000 1,096,774.56 1,096,774.56 0.22% 0.00 MAT07/14/2004 SEC ID: 313588ZJ7 FEDERAL NATL MTG ASSN DISCOUNT 99.7355 5,100,0,00.000 5,086,510.55 5,086,510.55 1.04% 0.00 MAT 07/28/2004 SEC ID: 313588ZY4 GENERAL ELEC CAP DISC 99.6678 soo,0,00.000 498,338.89 498,338.89 0.10% 0.00 07/08/2004 SEC ID: 36959HG84 GENERAL ELEC CAP DISC 99.7615 700,0,00.000 698,330.50 698,330.50 0.14% 0.00 07/09/2004 SEC ID: 36959HG92 U S TREASURY BILL 99.4820 4 ,400,0·00.000 4,377,207.88 4,377,207.88 0.89% 0.00 0.000% 05/06/2004 DD 11/06/03 SEC ID: 912795PX3 U S TREASURY BILL 99.5527 28, 100,0,00.000 27,974,320.78 27,974,320.78 5.70% 0.00 DUE 08/05/2004 DD 02/05/2004 SEC ID: 912795QW4 CS FOB CAT 2 REPO 100.0000 18,600,000.000 18,600,000.00 18,600,000.00 3.79% 0.00 00.900% 05/03/2004 DD 04/30/04 SEC ID: 99419R230 DREYFUS TREASURY CASH MGMT 100.0000 1,414,759.810 1,414,759.81 1,414,759.81 0.29% 0.00 SEC ID: 996085247 TOTAL CASH & CASH EQUIVALENTS 129,414,759.810 130,480,151.06 130,480,151.06 26.57% 0.-00 FIXED INCOME SECURITIES 5/10/2004 4:09:04PM PDT 2 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED -OCSGOO0 10000 4/30/2004 Status: FINAL Net U_meaUzed Price Cost Market Value %of Gain/Lon j ;' Description Base Shares Par Base ·l Baae Total Base AIG SUNAMERICA GLOBAL REGS 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 99.7344 2,800,000.000 2,831,062.50 2,792,562.64 0.57% -38,499.86 5.500% 05/01/2034 DD 05/01/04 SEC ID: 01F052656 ALLSTATE CORP SR NT 105.7180 1,600,000.000 1,594,032.00 1,691,488.00 0.34% 97,456.00 7.875% 05/01/2005 DD 05/01/00 SEC ID: 020002AL5 ASSOCIATES CORP NA MTN SR00043 101.2810 100,000.000 104,199.00 101,281.00 0.02% -2,918.00 7.920% 07/13/2004 DD 07 / 13/94 SEC ID: 045906BU7 BANK OF AMERICA CORP SR GBL NT 100.6250 500,000.000 518,385.00 503,125.00 0.10% -15,260.00 6.625% 06/15/2004 DD 06/ 15/99 SEC ID: 066050CW3 CIT GROUP INC NEW SR NT 105.6560 1,500,000.000 1,527,135.00 1,584,840.00 0.32% 57,705.00 5.500% 11/30/2007 DD 12/02/02 SEC ID: 125581ADO COUNTRYWIDE HOME LNS INC NT 100.6090 2,500,000.000 2,498,400.00 2,515,225.00 0.51% 16,825.00 6.850% 06/15/2004 DD 06/24/99 SEC ID: 22237UAB8 WMP /HUNTOON PAIGE #000-11150 99.8638 942,787.340 922,311.18 941,503.64 0.19% 19,192.46 7.500% 12/01/2030 DD 10/21/99 SEC ID: 302998GE3 FHLMC GROUP #G4-0353 100.4120 24,589.090 25,211.50 24,690.40 0.01% -521.10 7.500% 10/01/2004 DD 03/01/99 SEC ID: 3128DBMA2 FEDERAL HOME LN BK CONS BDS 104.4674 7,500,000.000 7,997,625.00 7,835,053.50 1.60% -162,571.50 7.125% 02/15/2005 DD 02/08/00 SEC ID: 3133MAUN7 FHLMC MULTICLASS MTG SER E3 A 99.9850 998,875.440 999,939.60 998,725.61 0.20% -1,213.99 VAR RT 08/15/2032 DD 12/01/97 SEC ID: 3133TCE95 FHLMC GROUP #78-6064 103.7948 74,394.820 72,581.44 77,217.95 0.02% 4,636.51 6.384% 01/01/2028 DD 12/01/97 SEC ID: 31348SWZ3 FEDERAL NATL MTG ASSN DEBS 111.8621 2 ,100,000.000 2,030,133.00 2,349,103.68 0.48% 318,970.68 6.625% 09/15/2009 DD 09/01/99 SEC ID: 31359MEY5 FEDERAL NATL MTG ASSN DEBS 104.5007 15,500,000.000 16,154,410.00 16,197,605.40 3.30% 43,195..40 7.125% 02/15/2005 DD 02/14/00 SEC ID: 31359MFH1 5/10/2004 4:09:04PM PDT 3 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED -OCSGOO0 10000 4/30/2004 Status: FINAL Net·unreaUzed Price ' -J,, Cost Market Value %of Gain/Loss Description Base Shares Par -~.r . .-Base Base Total Base FEDERAL NATL MTG ASSN DEBS 105.4722 11,350,000.000 11,521,271.50 11,971,089.03 2.44% 449,817.53 5.250% 06/15/2006 DD 06/22/01 SEC ID: 31359MJX2 FNMA POOL #0254510 100.7266 780,652.140 804,071.70 786,324.05 0.16% -17,747.65 5.000% 11/01/2017 DD 10/01/02 SEC ID: 31371KVB4 FNMA POOL #0254631 100.7266 166,694.570 171,695.41 167,905.71 0.03% -3,789.70 5.000% 02/01/2018 DD 01/01/03 SEC ID: 31371KY47 FNMA POOL #0254760 100.6953 150,052.930 154,554.51 151,096.26 0.03% -3,458.25 5.000% 06/01/2018 DD 05/01/03 SEC ID: 31371K5V9 FNMA POOL #0254866 100.6953 66,357.060 68,347.78 66,818.45 0.01% -1,529.33 5.000% 09/01/2018 DD 08/01/03 SEC ID: 31371LCB3 FNMA POOL #0254953 100.6953 348,853.080 353,322.77 351,278.69 0.07% -2,044.08 5.000% 11/01/2018 DD 10/01/03 SEC ID: 31371LE21 FNMA POOL #0254987 100.6624 941 ,784.620 953,851.23 948,023.19 0.19% -5,828.04 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31371LF46 FNMA POOL #0323980 104.6406 185,047.340 193,200.98 193,634.68 0.04% 433.70 6.000% 04/01/2014 DD 09/01/99 SEC ID: 31374T2MO FNMA POOL #0357328 100.6901 29,299.670 30,178.66 29,501.86 0.01% -676.80 5.000% 01/01/2018 DD 01/01/03 SEC ID: 31376J4M8 FNMA POOL #0357430 100.6953 1,500,223.950 1,517,101.48 1,510,655.16 0.31% -6,446.32 5.000% 09/01/2018 DD 09/01/03 SEC ID: 31376KA71 FNMA POOL #0456482 104.6406 55,448.780 57,891.99 58,021.95 0.01% 129.96 6.000% 02/01/2014 DD 02/01/99 SEC ID: 31381CCT2 FNMA POOL #0509649 104.6406 147,511.530 154,011.26 154,356.98 0.03% 345.72 6.000% 09/01/2014 DD 09/01/99 SEC ID: 31383QEWO FNMA POOL #0535451 104.5156 146,134.400 152,573.45 152,733.27 0.03% 159.82 6.000% 06/01/2015 DD 07 /01/00 SEC ID: 31384VZQ8 FNMA POOL #0535672 104.6406 3,152,435.110 3,291,339.30 3,298,727.64 0.67% 7,388.34 6.000% 01/01/2016 DD 12/01/00 SEC ID: 31384WCH1 5/10/2004 4:09:04PM PDT 4 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSGOO0 10000 4/30/2004 Status: FINAL Net Unrealized Price ,., Cost Market Value . %of Gabi/Loss Descrlptlon Base Shares Par Base Base Total Base FNMA POOL #0545296 104.4531 1,007,260.430 1,051,642.84 1,052,114.95 0.21% 472.11 6.000% 11/01/2016 DD 10/01/01 SEC ID: 31385HXZ0 FNMA POOL #0545580 104.4531 83,544.500 87,225.67 87,264.84 0.02% 39.17 6.000% 03/01/2017 DD 03/01/02 SEC ID: 31385JCR7 FNMA POOL #0555101 104.4531 154,296.330 161,095.00 161,167.33 0.03% 72.33 6.000% 10/01/2017 DD 11/01/02 SEC ID: 31385WU23 FNMA POOL #0555363 100.7266 358,670.010 369,430.11 361,275.96 0.07% -8, 154.15 5.000% 04/01/2018 DD 03/01/03 SEC ID: 31385W5Yl FNMA POOL #0555453 100.7266 36,716.860 37,187.29 36,983.63 0.01% -203.66 5.000% 05/01/2018 DD 04/01/03 SEC ID: 31385XBW6 FNMA POOL #0555545 100.7266 297,729.930 306,661.84 299,893.12 0 .06% -6,768.72 5.000% 06/01/2018 DD 05/01/03 SEC ID: 31385XES2 FNMA POOL #0555621 100.6624 1,035,227.300 1,046,873.60 1,042,084.85 0.21% -4,788.75 5.000% 07/01/2018 DD 06/01/03 SEC ID: 31385XG68 FNMA POOL #0576386 104.2947 59,542.400 62,165.98 62,099.55 0.01% -66.43 6.000% 05/01/2016 DD 05/01/01 SEC ID: 31386XJ72 FNMA POOL #0576739 104.4531 124,296.460 129,773.27 129,831.53 0.03% 58.26 6.000% 04/01/2016 DD 04/01/01 SEC ID: 31386:XV86 FNMA POOL #0580888 104.4531 198,389.410 207,130.93 207,223.93 0.04% 93.00 6.000% 05/01/2016 DD 05/01/01 SEC ID: 31387DJ91 FNMA POOL #0594002 104.4531 162,331.760 169,484.49 169,560.59 0.03% 76.10 6.000% 07/01/2016 DD 07 /01/01 SEC ID: 31387T3K8 FNMA POOL #0597376 104.4531 221,914.870 231,692.99 231,797.01 0.05% 104.02 6.000% 09/01/2016 DD 08/01/01 SEC ID: 31387XT96 FNMA POOL #0605259 104.4531 136,947.410 142,981.66 143,045.84 0.03% 64.18 6.000% 09/01/2016 DD 09/01/01 SEC ID : 31388HMG1 FNMA POOL #0608366 104.4531 80,529.830 84,078.17 84,115.92 0.02% 37.75 6.000% 10/01/2016 DD 09/01/01 SEC ID: 31388LZ78 5/10/2004 4:09:04PM PDT 5 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED -OCSGOO0 10000 4/30/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Bafie Total Bate FNMA POOL #0616734 104.4531 167,705.160 175,094.66 175,173.27 0.04% 78.61 6.000% 12/01/2016 DD 12/01/01 SEC ID: 31388WEF9 FNMA POOL #0630812 104.3081 157,208.040 164,135.02 163,980.72 0.03% -154.30 6.000% 02/01/2017 DD 02/01/02 SEC ID: 31389NYH2 FNMA POOL #0632376 104.4531 744,212.180 777,004.04 777,352.84 0 .16% 348.80 6.000% 07/01/2017 DD 07 /01/02 SEC ID: 31389QQ50 FNMA POOL #0653116 104.4531 411,111.430 429,226.03 429,418.72 0.09% 192.69 6.000% 07/01/2017 DD 07 /01/02 SEC ID: 31390QSD8 FNMA POOL #0673280 104.4531 185,441.810 193,612.84 193,699.76 0.04% 86.92 6.000% 08/01/2017 DD 11/01/02 SEC ID: 31391P6R2 FNMA POOL #0681309 100.7266 543,735.350 560,047.41 547,685.91 0.11% -12,361.50 5.000% 02/01/2018 DD 02/01/03 SEC ID: 31391Y3S4 FNMA POOL #0681334 100.7266 67,462.070 69,485.93 67,952.22 0.01% -1,533.71 5.000% 02/01/2018 DD 01/01/03 SEC ID: 31391Y4Tl FNMA POOL #0684908 100.7266 343,135.640 347,532.07 345,628.73 0.07% -1,903.34 5.000% 06/01/2018 DD 05/01/03 SEC ID: 31400D3Rl FNMA POOL #0685200 100.7266 191,087.820 193,536.14 192,476.19 0.04% -1,059.95 5.000% 03/01/2018 DD 03/01/03 SEC ID: 31400EGH7 FNMA POOL #0685665 100.7266 34,307.550 35,336.78 34,556.81 0.01% -779.97 5.000% 02/01/2018 DD 02/01/03 SEC ID: 31400EW22 FNMA POOL #0686318 100.7266 289,810.800 298,505.12 291,916.45 0.06% -6,588.67 5.000% 03/01/2018 DD 03/01/03 SEC ID: 31400FPB7 FNMA POOL #0688739 100.6953 109,292.860 112,571.64 110,052.78 0 .02% -2,518.86 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31400JEL9 FNMA POOL #0689859 100.6953 118,828.510 120,351.00 119,654.74 0.02% -696.26 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31400KMG8 FNMA POOL #0693834 100.7266 699,284.730 720,263.27 704,365.45 0.14% -15,897.82 5.000% 03/01/2018 DD 03/01/03 SEC ID: 31400PY74 5/10/2004 4:09:04PM PDT 6 Workbench @ Asset Detail Report ID: GL8013 ' Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED-OCSGOO0l00OO 4/30/2004 Status: FINAL Net Unrealized l Price Cost Market Value %of Gabi/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0695852 100.6953 249,710.040 257,201.34 251,446.30 0.05% -5,755.04 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31400SBV0 FNMA POOL #0695889 100.6953 788,477.640 812,131.97 793,960.00 0.16% -18,171.97 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31400SC23 FNMA POOL #0697026 100.7266 24,806.910 25,551.14 24,987.15 0.01% -563.99 5.000% 05/01/2018 DD 04/01/03 SEC ID: 31400TLF2 FNMA POOL #0698939 104.5781 65,506.380 68,392.76 68,505.34 0.01% 112.58 6.000% 09/01/2017 DD 03/01/03 SEC ID: 31400VPY2 FNMA POOL #0702210 100.6624 239,128.570 246,302.43 240,712.61 0.05% -5,589.82 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31401ADP9 FNMA POOL #0702328 100.7266 144,950.790 146,807.98 146,003.94 0.03% -804.04 5.000% 05/01/2018 DD 04/01/03 SEC ID: 31401AHD2 FNMA POOL #0703195 104.7656 76,335.650 79,699.19 79,973.52 0.02% 274.33 6.000% 01/01/2017 DD 04/01/03 SEC ID: 31401BGC3 FNMA POOL #0709148 100.6953 291,612.110 300,360.48 293,639.72 0.06% -6,720.76 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401HZM7 FNMA POOL #0709360 100.6953 659,738.510 668,191.42 664,325.74 0.14% -3,865.68 5.000% 07/01/2018 DD 06/01/03 SEC ID: 31401JB56 FNMA POOL #0709826 100.6953 128,875.770 130,526.99 129,771.86 0.03% -755.13 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401JSP4 FNMA POOL #0709917 100.6953 253,167.310 256,411.01 254,927.61 0.05% -1,483.40 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401JVJ4 FNMA POOL #0709963 100.6624 23,941.470 24,248.23 24,100.06 0.00% -148.17 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401JWY0 FNMA POOL #0710235 100.6953 700,433.280 721,446.29 705,303.46 0.14% -16,142.83 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401KBC8 FNMA POOL #0713344 100.6953 21,920.970 22,578.59 22,073.39 0.00% -505.20 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401NP52 5/10/2004 4:09:04PM PDT 7 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED-OCSGOO0l00OO 4/30/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gam/Loss Description Base Shares Par Base Base Total I Base FNMA POOL #0713365 100.6953 317,638.270 321,708.01 319,846.84 0.07% -1,861.17 5.000% 07/01/2018 DD 07 /01/03 SEC ID: 31401NQS1 FNMA POOL #0720319 100.6953 858,573.880 869,574.35 864,543.63 0.18% -5,030.72 5.000% 07/01/2018 DD 07 /01/03 SEC ID: 31401WG45 FNMA POOL #0720369 100.6624 2,345,079.970 2,415,432.37 2,360,614.25 0.48% -54,818.12 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401WJN0 FNMA POOL #0721629 100.7109 304,622.580 313,761.27 306,788.26 0.06% -6,973.01 5.000% 07/01/2018 DD 06/01/03 SECID:31401XVW4 FNMA POOL #0723487 100.6953 249,349.500 252,154.69 251,083.25 0.05% -1,071.44 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31402AXQ4 FNMA POOL #0729601 100.6953 412,013.880 417,292.81 414,878.65 0.08% -2,414.16 5.000% 07/01/2018 DD 07 /01/03 SEC ID: 31402HRW3 FNMA POOL #0732873 100.8359 36,035.340 36,497.03 36,336.57 0.01% -160.46 5.000% 11/01/2018 DD 10/01/03 SEC ID: 3 l 402MFN5 FNMA POOL #0737130 100.6953 710,580.670 719,684.98 715,521.41 0.15% -4,163.57 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402S4P9 FNMA POOL #0738211 100.6624 558,590.790 565,747.75 562,291.01 0.11% -3,456.74 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402UDQ2 FNMA POOL #0738487 100.6953 208,780.770 211,455.77 210,232.44 0.04% -1,223.33 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402UNC2 FNMA POOL #0740471 100.6624 688,024.600 696,839.90 692,582.21 0.14% -4,257.69 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402WT40 FNMA POOL #0740748 100.6953 803,706.180 814,003.66 809,294.43 0.16% -4,709.23 5.000% 10/01/2018 DD 11/01/03 SEC ID: 31402W5H7 FNMA POOL #0743868 100.6624 42,970.830 43,521.39 43,255.48 0.01% -265.91 5.000% 11/01/2018 DD 10/01/03 SEC ID: 31403BMR1 FNMA POOL #0744008 100.6953 1,132,179.380 1,146,685.42 1,140,051.54 0.23% -6,633.88 5.000% 07/01/2018 DD 09/01/03 SEC ID: 31403BR54 5/10/2004 4:09:04PM PDT 8 --Workben.:h @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED -OCSGOO0 10000 4/30/2004 Status: FINAL ,Net UmeiUzed Price I Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0744316 100.6624 162,631.330 164,715.05 163,708.63 0.03% -1,006.42 5.000% 09/01/2018 DD 09/01/03 SEC ID: 31403B324 FNMA POOL #0747914 100.6953 356,487.390 361,054.90 358,966.08 0.07% -2,088.82 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403F3XO FNMA POOL #0748400 100.6624 230,341.550 233,292.81 231,867.38 0.05% -1,425.43 5.000% 08/01/2018 DD 09/01/03 SEC ID: 3 l 403GNR9 FNMA POOL #0748899 100.7044 1,004,944.400 1,017,820.24 1,012,023.30 0.21% -5,796.94 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31403G7LO FNMA POOL #0750377 100.7044 2,432,630.320 2,463,798.40 2,449,765.94 0.50% -14,032.46 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403JUA2 FNMA POOL #0750380 100.7044 2,030,308.140 2,056,321.48 2 ,044,609.77 0.42% -11,711.71 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403JUD6 FNMA POOL #0750445 100.7044 171,6-64.430 173,863.88 172,873.65 0.04% -990.23 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403JWE2 FNMA POOL #0751960 100.6624 877,527.050 888,770.37 883,339.96 0.18% -5,430.41 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31403LMH1 FNMA POOL #0753425 100.6953 938,144.110 948,991.39 944,667.12 0.19% -4,324.27 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403NA23 FNMA POOL #0755165 100.7109 624,170.910 632,168.10 628,608.39 0.13% -3,559.71 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31403Q6A3 FNMA POOL #0756372 100.7109 979,595.640 990,922.21 986,559.98 0.20% -4,362.23 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403SJR8 FORD MOTOR CR CO NT 103.9840 1,000,000.000 965,170.00 1,039,840.00 0.21% 74,670.00 6.750% 05/15/2005 DD 05/24/93 SEC ID: 345397GV9 FORD MTR CR CO GLOBAL 101.0310 2,500,000.000 2,495,900.00 2,525,775.00 0.51% 29,875.00 LANDMARK 6.700% 07/16/2004 DD 07 / 16/99 SEC ID: 345397SJ3 GNMA POOL #0596612 104.7070 297,549.730 312,287.73 311,555.49 0.06% -732 .. 24 6.500% 09/15/2032 DD 09/01/02 SEC ID : 36200BYH4 5/10/2004 4:09:04PM PDT 9 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSGOO0 10000 4/30/2004 Status: FINAL Net Unrealized Price ... •' . . ' Cost .J', Market Value %of I I Gain/Loss Description Base Shares Par Base ~ Base Total ,,l Base GNMA POOL #0569358 104.4070 970,397.560 993,141.25 1,013,163.41 0.21% 20,022.16 6.500% 04/15/2032 DD 04/01/02 SEC ID: 36200QQK3 GNMA POOL #0569685 104.7070 42,682.280 44,796.38 44,691.35 0.01% -105.03 6.500% 02/15/2032 DD 02/01/02 SEC ID: 36200Q2S2 GNMA POOL #0570019 104.7070 73,769.890 77,423.81 77,242.26 0.02% -181.55 6.500% 07/15/2032 DD 07 /01/02 SEC ID: 36200RG48 GNMA POOL #0574323 104.7070 400,528.610 420,367.30 419,381.61 0.09% -985.69 6.500% 12/15/2031 DD 12/01/01 SEC ID: 36200WAY7 GNMA POOL #0575364 104.7070 41,173.190 43,212.55 43,111.22 0.01% -101.33 6.500% 11/15/2031 DD 11/01/01 SEC ID: 36200XFD6 GNMA POOL #0587117 104.7070 17,996.660 18,888.06 18,843.77 0.00% -44.29 6.500% 06/15/2032 DD 06/01/02 SEC ID: 36201MG22 GNMA POOL #0587439 104.7070 54,439.660 57,136.12 57,002.15 0.01% -133.97 6.500% 11/15/2032 DD 12/01/02 SEC ID: 36201MS45 GNMA POOL #0421389 105.0508 12,351.660 12,963.47 12,975.52 0.00% 12.05 6.500% 04/15/2026 DD 04/01/96 SEC ID: 36206UC23 GNMA POOL #0438057 102.9961 18,527.310 17,586.48 19,082.40 0.00% 1,495.92 6.000% 05/15/2028 DD 05/01/98 SEC ID: 36207PTN9 GNMA POOL #0449851 104.5462 20,135.550 21,132.89 21,050.96 0.00% -81.93 6.500% 01/15/2028 DD 01/01/98 SEC ID: 36208FWLO GNMA POOL #0457814 102.9336 34,775.490 33,009.53 35,795.66 0.01% 2,786.13 6.000% 10/15/2028 DD 10/01/98 SEC ID: 36208QSB3 GNMA POOL #0465546 102.9336 440,306.860 417,947.53 453,223.66 0.09% 35,276.13 6.000% 08/15/2028 DD 08/01/98 SEC ID: 36209AET3 GNMA POOL #0465555 102.9336 474,294.300 450,209.05 488,208.15 0.10% 37,999.10 6.000% 09/15/2028 DD 09/01/98 SEC ID: 36209AE48 GNMA POOL #0466845 104.9258 57,160.520 59,991.75 59,976.12 0.01% -15,63 6.500% 06/15/2028 DD 06/01/98 SEC ID: 36209BTA6 5/10/2004 4:09:04PM PDT 10 Workbench @ Asset Detail Report ID: GL8013 . Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED-OCSGOOOIOOOO 4/30/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gahl/Loss Description l Base Shares Par Base Base Total Base GNMA POOL #0467279 102.9336 20,515.380 19,473.58 21,117.22 0.00% 1,643.64 6.000% 10/15/2028 DD 10/01/98 SEC ID: 36209CCQ7 GNMA POOL #0467286 102.9336 350,207.540 332,423.56 360,481.19 0.07% 28,057.63 6.000% 10/15/2028 DD 10/01/98 SEC ID: 36209CCX2 GNMA POOL #0468052 104.9258 112,624.560 118,203.00 118,172.20 0.02% -30.80 6.500% 07/15/2028 DD 07 /01/98 SEC ID: 36209C5M4 GNMA POOL #0468330 102.9961 13,389.790 12,709.83 13,790.96 0.00% 1,081.13 6.000% 05/15/2028 DD 05/01/98 SEC ID: 36209DHF4 GNMA POOL #0468339 102.9961 270,241.330 256,518.15 278,338.00 0.06% 21,819.85 6.000% 08/15/2028 DD 08/01/98 SEC ID: 36209DHQO GNMA POOL #0469688 102.9336 12,976.080 12,317.13 13,356.74 0.00% 1,039.61 6.000% 11/15/2028 DD 11/01/98 SEC ID: 36209EXR8 GNMA POOL #0476041 104.9258 173, 1 75.630 181,482.65 181,705.88 0.04% 223.23 6.500% 06/15/2028 DD 06/01/98 SEC ID: 36209MZE7 GNMA POOL #04 78626 104.9258 141,524.550 148,313.31 148,495.74 0.03% 182.43 6.500% 01/15/2029 DD 01/01/99 SEC ID: 36209QVT9 GNMA POOL #0480598 104.9258 29,080.470 30,475.42 30,512.91 0.01% 37.49 6.500% 10/15/2028 DD 10/01/98 SEC ID: 36209S3F6 GNMA POOL #0483452 102.9336 13,112.670 12,446.81 13,497.34 0.00% 1,050.53 6.000% 09/15/2028 DD 09/01/98 SEC ID: 36209WBV3 GNMA POOL #0485527 104.7070 403,410.530 423,391.97 422,399.18 0.09% -992.79 6.500% 06/15/2031 DD 06/01/01 SEC ID: 36209YLG 1 GNMA POOL #0485610 104.7070 405,531.930 425,618.43 424,620.44 0.09% -997.99 6.500% 07/15/2031 DD 07 /01/01 SEC ID: 36209YN38 GNMA POOL #0485682 104.7070 79,191.410 83,113.86 82,918.97 0.02% -194.89 6.500% 08/15/2031 DD 08/01/01 SEC ID: 36209YRB6 GNMA POOL #0485703 104.7070 62,737.280 65,844.73 65,690.34 0.01% -154.39 6.500% 08/15/2031 DD 08/01/01 SEC ID: 36209YRY6 5/10/2004 4:09:04PM PDT 11 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED-OCSGOOOIOOOO 4/30/2004 Status: FINAL ,, Net Unrealized Price Cost· Market Value %of Gahl/Loss Description Base Shares Par Base ' 8ase Total Base GNMA POOL #0486720 102.9336 11,206.510 10,637.44 11,535.26 0.00% 897.82 6.000% 12/15/2028 DD 12/01/98 SEC ID: 36210AVM6 GNMA POOL #0491103 102.9336 92,608.330 87,905.58 95,325.08 0.02% 7,419.50 6.000% 01/15/2029 DD 01/01/99 SEC ID: 36210FRY4 GNMA POOL #0496461 102.9336 359,647.890 341,384.52 370,198.48 0.08% 28,813.96 6.000% 01/15/2029 DD 01/01/99 SEC ID: 36210MQN4 GNMA POOL #0497343 102.9336 20,891.350 19,830.46 21,504.22 0.00% 1,673.76 6.000% 12/15/2028 DD 12/01/98 SEC ID: 36210NP45 GNMA POOL #0499153 102.9336 12,582.880 11,943.90 12,952.01 0.00% 1,008.11 6.000% 02/15/2029 DD 02/01/99 SEC ID: 36210QQE5 GNMA POOL #0500917 102.9336 5,300.890 5,031.70 5,456.40 0.00% 424.70 6.000% 04/15/2029 DD 04/01/99 SEC ID: 362 lOSPAO GNMA POOL #0503388 102.9336 252,953.550 240,108.25 260,374.17 0.05% 20,265.92 6.000% 03/15/2029 DD 03/01/99 SEC ID: 36210VF55 GNMA POOL #0506636 102.9336 32,121.840 30,490.64 33,064.16 0.01% 2,573.52 6.000% 04/15/2029 DD 04/01/99 SEC ID: 36210YY90 GNMA POOL #0512235 104.8320 10,869.610 11,407.99 11,394.83 0.00% -13.16 6.500% 11/15/2029 DD 11/01/99 SEC ID: 36211GBC6 GNMA POOL #0514326 104.8320 141,058.750 147,825.16 147,874.75 0.03% 49.59 6.500% 07/15/2029 DD 07 /01/99 SEC ID: 36211JLF2 GNMA POOL #0530053 104.4095 43,544.820 45,701.66 45,464.91 0.01% -236.75 6.500% 04/15/2031 DD 04/01/01 SEC ID: 36212CZS3 GNMA POOL #0537885 104.7070 92,827.320 97,425.17 97,196.73 0.02% -228.44 6.500% 02/15/2031 DD 02/01/01 SEC ID: 36212MRE1 GNMA POOL #0547512 104.7070 10,377.550 10,891.57 10,866.02 0.00% -25.55 6.500% 04/15/2031 DD 04/01/01 SEC ID: 36212YGV9 GNMA POOL #0547715 104.7070 127,667.060 133,791.09 133,676.39 0.03% -114,70 6.500% 02/15/2031 DD 02/01/01 SEC ID: 36212YN82 5/10/2004 4:09:04PM PDT 12 Workbench @ Asset Detail Report.ID; GL80I3 · Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED-OCSGOO0lO0OO 4/30/2004 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Baae Shares Par Base Base Total Base GNMA POOL #0552322 104.7070 63,014.570 66,135.76 65,980.68 0.01% -155.08 6.500% 01/15/2032 DD 01/01/02 SEC ID: 36213ESK3 GNMA POOL #0552466 104.4070 436,9'04.670 458,545.11 456,159.25 0.09% -2,385.86 6.500% 03/15/2032 DD 03/01/02 SEC ID: 36213EW36 GNMA POOL #0552659 104.7070 382,065.820 400,990.00 400,049.77 0.08% -940.23 6.500% 07/15/2032 DD 07 /01/02 SEC ID: 36213E5U6 GNMA POOL #0561017 104.7070 317,9'21.760 333,668.82 332,886.43 0.07% -782.39 6.500% 07/15/2031 DD 07 /01/01 SEC ID: 36213QG29 GNMA II POOL #0080023 102.5641 202,769.310 206,127.67 207,968.52 0.04% 1,840.85 VAR RT 12/20/2026 DD 12/01/96 SEC ID: 36225CAZ9 GNMA II POOL #080088M 100.7831 269,066.420 274,952.25 271,173.48 0.06% -3,778.77 7 .375% 06/20/2027 DD 06/01/97 SEC ID: 36225CC20 GNMA II POOL #0080395 99.4623 243,576.940 241,369.52 242,267.23 0.05% 897.71 VAR RT 04/20/2030 DD 04/01/00 SEC ID: 36225CNM4 GNMA II POOL #080408X 99.4624 2,150,597.880 2 ,128,755.87 2,139,036.27 0.44% 10,280.40 6.500% 05/20/2030 DD 05/01/00 SEC ID: 36225CN28 GENERAL ELEC CAP MTN #TR 00448 100.0000 1so,o,oo.ooo 183,801.60 180,000.00 0.04% -3,801.60 7.250% 05/03/2004 DD 05/01/00 SEC ID: 36962GUR3 GENERAL ELEC CAP MTN #TR 00545 100.0150 1,000,000.000 1,001,089.00 1,000,150.00 0.20% -939.00 VAR RT 05/20/2004 DD 05/20/02 SEC ID: 36962GYS7 GENERAL MTRS ACCEP CORP SR NT 105.6710 3,000,000.000 3,064,350.00 3,170,130.00 0.65% 105,780.00 6.125% 08/28/2007 DD 08/29/02 SEC ID : 370425SD3 GOLDMAN SACHS GROUP INC SR NT 101.3590 3 ,000,0,00.000 3,030,030.00 3,040,770.00 0.62% 10,740.00 4.125% 01/15/2008 DD 01/13/03 SEC ID: 38141GCS1 GNMA GTD REMIC TR 2000-9 FH 100.7530 641,799.780 641,799.78 646,632.53 0.13% 4,832.75 VAR RT 02/16/2030 SEC ID: 3837H4NX9 MARSH & MCLENNAN COS INC SR NT 100.5930 2,000,000.000 1,992,280.00 2,011,860.00 0.41% 19,580.00 6.625% 06/15/2004 DD 06/ 14/99 SEC ID: 571748AB8 5/10/2004 4:09:04PM PDT 13 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED-OCSGOO0 10000 4/30/2004 Status: FINAL Net Unrealized Price ., Coat r Market Value . %of ,. Gain/Loss ;f' Description Base Shares Par 'l Base Base Total :> ·-· ,::., Baa_e \: ·- MORGAN STANLEY NT 99.3900 3,200,000.000 3,195,648.00 3,180,480.00 0.65% -15,168.00 3.625% 04/01/2008 DD 03/06/03 SEC ID: 617446HW2 NCNB TEX NATL BK DALLAS TEX NT 100.5930 250,000.000 260,870.00 251,482.50 0.05% -9,387.50 9.500% 06/01/2004 DD 06/01/89 SEC ID: 628857DJO NATIONSBANK CORP 101.7500 600,000.000 615,546.00 610,500.00 0.12% -5,046.00 7.750% 08/15/2004 SEC ID: 638585AJ8 NATIONSBANK CORP SR NTS 100.9530 627,000.000 646,650.18 632,975.31 0.13% -13,674.87 6.125% 07/15/2004 DD 07 /23/98 SEC ID: 638585BJ7 PACIFICORP SECD MTN #TR 00115 102.6090 3,000,000.000 2,950,530.00 3,078,270.00 0.63% 127,740.00 7.300% 10/22/2004 DD 10/22/92 SEC ID: 69512EEU5 RESIDENTIAL ASSET 03-RS 11 AIIB 100.1250 943,673.890 943,673.89 944,853.48 0 .19% 1,179.59 VAR RT 12/25/2033 DD 12/30/03 SEC ID: 760985K83 SBA GTD DEV PARTN 2001-20C 1 106.7000 3,260,686.080 3,260,886.08 3,479,365.45 0.71% 218,479.37 6.340% 03/01/2021 SEC ID: 83162CWO SBA GTD PARTN CTFS SBIC-PS 01 106.6250 2,241,342.070 2,241,342.07 2,389,830.98 0.49% 148,488.91 6.640% 02/10/2011 DD 02/21/01 SEC ID: 831641DD4 UNITED AIRLS PASSTHRU 01-1 C 19.6440 1 ,600,0,00.000 1,600,000.00 314,304.00 0.06% -1,285,696.00 6.831% 03/01/2010 DD 08/22/01 SEC ID: 909317BC2 US BANCORP MTN #TR 00119 100.1400 1,000,0·00.000 1,046,310.00 1,001,400.00 0.20% -44,910.00 6.000% 05/15/2004 DD 05/10/99 SEC ID: 91159HEY2 U S TREASURY NOTES 109.3125 20 ,000,0,00.000 22,620,312.50 21,862,500.00 4 .45% -757,812.50 06.250% 02/15/2007 DD 02/ 15/97 SEC ID: 9128272JO US TREASURY INFLATION INDEX NT 107.8750 16,450,420.000 14,532,478.33 17,745,890.58 3.61% 3,213,412.25 3.375% 01/15/2007 DD 01/15/97 SEC ID: 9128272M3 US TREASURY INFLATION INDEX NT 110.0625 3,457,020.000 3,766,521.35 3,804,882.64 0.77% 38,361.29 3.625% 01/15/2008 DD 01/15/98 SEC ID: 9128273T7 US TREASURY INFLATION INDEX NT 112.1875 14,757,0-80.000 16,382,440.11 16,555,599.13 3.37% 173,159.02 3.875% 01/15/2009 DD 01/15/99 SEC ID: 9128274Y5 5/10/2004 4:09:04PM PDT 14 Workbench @ Asset Detail Report ID: GL8013 · Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED -OCSGOOO 10000 4/30/2004 Status: FINAL Net Uniealized Price . 1 . Cost Market Value %of Gain/Losa I •,. Deecrlptlon Base ,' Shares Par Base Base Total Base U S TREASURY NOTES 105.6565 57, 100,0•00.000 62,782,901.47 60,329,861.50 12.29% -2,453,039.97 05.750% 11/15/2005 DD 11/15/00 SEC ID: 9128276N7 U S TREASURY NT 99.4100 12,000,0,00.000 11,870,156.25 11,929,200.00 2.43% 59,043.75 3.250% 08/15/2008 DD 08/15/03 SEC ID: 912828BG4 U S TREASURY NOTES 99.5300 81,000,000.000 81,284,765.63 80,619,300.00 16.42% -665,465.63 1.875% 01/31/2006 DD 01/31/03 SEC ID: 912828BX7 U S TREASURY NOTES 98.9375 17,000,000.000 17,045,156.25 16,819,375.00 3.43% -225,781.25 1.625% 02/28/2006 DD 02/29/04 SEC ID: 912828CB4 VIRGINIA ELEC & PWR O 1 SER A 105.4840 1,750,000.000 1,743,840.00 1,845,970.00 0.38% 102,130.00 5.750% 03/31/2006 DD 03/27 /01 SEC ID: 927804ENO WELLS FARGO & CO NEW NT 101.0460 125,000.000 128,605.00 126,307.50 0.03% -2,297.50 6.625% 07/15/2004 DD 07 /28/99 SEC ID: 949746AA9 TOTAL FIXED INCOME SECURITIES 350,085,966.590 361,025,490.87 360,565,514.57 73.43% -459,976.30 TOTAL ASSETS U.S. DOLLAR 479,500,726.400 491,505,641.93 491,045,665.63 100.00% -459,976.30 TOTAL ASSETS -BASE: 479,500,726.400 491,505,641.93 491,045,665.63 100.00% -459,976.30 5/10/2004 4:09:04PM PDT 15 Workbench Transaction Detail . @ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOUDATED -OCSGOOOlOOOO 4/1/2004 -4/30/2004 Status: FINAL J , ' -Trade Date , ~ . -. ' . J ' ,·, , I ' "" l Tran ' l Price , ~ -' Cost Amount Net Gain/Loss Settle Date ~ . ~ r,, ,· "'! .• J :, Type Description _ . . ~ .. ~ Reported Date ' Base Shares/Par . •,. Base Base -,_ Base RECEIPTS AND DISBURSEMENT TRANSACTIONS CASH/SECURITIES RECEIVED FROM PLAN ADMINISTRATOR U.S. DOLLAR CD RECD PLAN CONTRIBUTION 4/20/2004 0.000 6,300,000.00 6,300,000.00 0.00 SEC ID: NA9123459 OCSF07511102: LIQUID OPER-PIMCO 4/20/2004 CD RECD PLAN CONTRIBUTION 4/21/2004 0.000 5,000,000.00 5,000,000.00 0.00 SEC ID: NA9123459 OCSF07511102: LIQUID OPER-PIMCO 4/21/2004 TOTAL CASH/SECURITIES RECEIVED FROM PLAN ADMINISTRATOR 0.000 U.S. DOLLAR: 11,300,000.00 11,300,000.00 0.00 TOTAL CASH/SECURITIES RECEIVED FROM PLAN ADMINISTRATOR 0.000 BASE: 11,300,000.00 11,300,000.00 0.00 TOTAL RECEIPTS AND DISBURSEMENT TRANSACTIONS BASE: 0.000 11,300,000.00 11,300,000.00 0.00 PURCHASES CASH & CASH EQUIVALENTS U.S. DOLLAR B FEDERAL HOME LN BK CONS DISC N MAT 4/26/2004 99.6276 1,500,000.000 1,494,413.75 -1,494,413.75 0.00 08/27/2004 4/26/2004 SEC ID: 3 l3384D63 4/26/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07522202: LONG TERM OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 4/20/2004 99.9975 1,000,000.000 999,975.28 -999,975.28 0.00 04/21/2004 4/20/2004 SEC ID: 313384VW6 4/20/2004 BROKER: MORGAN STANLEY & CO INC, NY OCSF07511102: LIQUID OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 4/29/2004 99.9974 200,000.000 199,994.89 -199,994.89 0.00 04/30/2004 4/29/2004 SEC ID: 313384WF2 4/29/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8: 15:42AM PDT 1 Workbench @ Transaction Detail ReportlD: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&m1r&21n2/ ,nnr:n• C 4/1/2004 -4/30/2004 Status: FINAL Trade Date Tran ~ . 1, Price . . .,..,,, __ ......... 1111 1.Ji:'. r.."' t.. f -l~~ ::: ,, 1 Cost ~-,, •-~ ·'!! r. Amount Net Gain/Loss . r,· ... ' Settle Date ·• I I ' ,t" t·. ~ ._,!, •. I Type Description ,. ( Shares/Par .\::-._. :_'"r' 'l _. 1. ~ '· ~-1. IJ r .l Reported Date Base Bas& ,. Base Base ' B FEDERAL HOME LN BKS CONS DISC MAT 4/5/2004 99.8320 3,900,000.000 3,893,448.00 -3,893,448.00 0.00 06/04/2004 4/5/2004 SEC ID: 313384XS3 4/5/2004 BROKER: MERRILL LYNCH PIERCE FENNER SMITH INC NY OCSF07511102: LIQUID OPER-PIMCO B FEDERAL HOME LN MTG CORP DISC MAT 4/21/2004 99.5489 5,900,000.000 5,873,384.44 -5,873,384.44 0.00 09/13/2004 4/21/2004 SEC ID: 313396F73 4/21/2004 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07511102: LIQUID OPER-PIMCO B FEDERAL NATL MTG ASSN DISC NTS MAT 4/29/2004 99.5857 3,900,000.000 3,883,841.00 -3,883,841.00 0.00 09/08/2004 4/29/2004 SEC ID: 313588F26 4/29/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07522202: LONG TERM OPER-PIMCO B FEDERAL NATL MTG ASSN DISC 4/1/2004 99.7694 800,000.000 798,155.56 -798,155.56 0.00 SEC ID: 313588YM 1 4/1/2004 BROKER: GOLDMAN SACHS & CO, NY 4/1/2004 OCSF07511102: LIQUID OPER-PIMCO B FEDERAL NATL MTG ASSN DISCOUNT MAT 4/1/2004 99.7068 1,100,000.000 1,096,774.56 -1,096,774.56 0.00 07/14/2004 4/1/2004 SEC ID: 313588ZJ7 4/1/2004 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PIMCO B FEDERAL NATL MTG ASSN DISCOUNT MAT 4/28/2004 99.7331 1,200,000.000 1,196,796.80 -1,196,796.80 0.00 07/28/2004 4/28/2004 SEC ID: 3135882¥4 4/28/2004 BROKER: MERRILL LYNCH PIERCE FENNER SMITH INC NY OCSF07522202: LONG TERM OPER-PIMCO B FEDERAL NATL MTG ASSN DISCOUNT MAT 4/29/2004 99.7363 3,900,000.000 3,889,713.75 -3,889,713.75 0.00 07/28/2004 4/29/2004 SEC ID: 3135882¥4 4/29/2004 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8: 15:42AM PDT 2 Workbench . Transaction Detail ~ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2 &[,nr&2 l n 2 /, CD C• D C 4/1/2004 -4/30/2004 Status: FINAL .. _ ; Tra~e Date ., ' . -' I • Tran , ~ I f ~ ., ' . Settle Date Price ,, ' Coat Amount·· Net Gain/Los• . ,, ·' T ,. _J I ~ J l ·~ _; Type Descrl.ption I , .. J ' -' Re~rted Date Base Shares/Par Base Base •1Baae . 'I ,,: .. , .. 'l ., ' ~ .. ~-, .. - B GENERAL ELEC CAP DISC 07/09/2004 4/19/2004 99.7615 700,000.000 698,330.50 -698,330.50 0.00 SEC ID: 36959HG92 4/19/2004 BROKER: CITIBANK CP IPA, NEW YORK 4/19/2004 OCSF07522202: LONG TERM OPER-PJMCO B US TREASURY BILL DUE 08/05/2004 DD 4/21/2004 99.7056 5,000,000.000 4,985,277.78 -4,985,277.78 0.00 02/05/2004 4/21/2004 SEC ID: 912795QW4 4/21/2004 BROKER: GOLDMAN SACHS & CO, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 01.010% 04/02/2004 4/1/2004 100.0000 16,000,000.000 16,000,000.00 -16,000,000.00 0.00 DD 04/01/04 4/1/2004 SEC ID: 99418K509 4/1/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.970% 04/05/2004 DD 4/2/2004 100.0000 16,000,000.000 16,000,000.00 -16,000,000.00 0.00 04/02/04 4/2/2004 SEC ID: 99418M240 4/2/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.990% 04/06/2004 DD 4/5/2004 100.0000 16,000,000.000 16,000,000.00 -16,000,000.00 0.00 04/05/04 4/5/2004 SEC ID: 99418N560 4/5/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 01.000% 04/07/2004 DD 4/6/2004 100.0000 16,000,000.000 16,000,000.00 -16,000,000.00 0.00 04/06/04 4/6/2004 SEC ID: 99418Q258 4/6/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.970% 04/08/2004 DD 4/7/2004 100.0000 13,500,000.000 13,500,000.00 -13,500,000.00 0.00 04/07/04 4/7/2004 SEC ID: 99418R629 4/7/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.960% 04/12/2004 DD 4/8/2004 100.0000 13,500,000.000 13,500,000.00 -13,500,000.00 0.00 04/08/04 4/8/2004 SEC ID: 99418Tl20 4/8/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 5/11/2004 8:15:42AM PDT 3 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&nor&21n2/ ,no•on C 4/1/2004 -4/30/2004 Status: FINAL . -Trade Date -i -,· ' I --· ---i..-• Price .":,,,t Net Gain/Loss Tran . , Bettle Date .. -• /'•I I• ~~. t Cost Amount ,-' Type Descrlptfon I Repo~ed·Da:te Shares/Par .,.· . .. , Base Base Base ] Base • E• fl B LEHMAN CAT 2 REPO 00.990% 04/13/2004 DD 4/12/2004 100.0000 13,500,000.000 13,500,000.00 -13,500,000.00 0.00 04/ 12/04 4/12/2004 SEC ID: 994180531 4/12/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102 : LIQUlD OPER-PIMCO B LEHMAN CAT 2 REPO 00.950% 04/14/2004 DD 4/13/2004 100.0000 13,500,000.000 13,500,000.00 -13,500,000.00 0.00 04/13/04 4/13/2004 SEC ID: 99418W263 4/13/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUlD OPER-PIMCO B LEHMAN CAT 2 REPO 00.950% 04/15/2004 DD 4/14/2004 100.0000 13,500,000.000 13,500,000.00 -13,500,000.00 0.00 04/14/04 4/14/2004 SEC ID: 99418X782 4/14/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.980%04/16/2004 4/15/2004 100.0000 14,600,000.000 14,600,000.00 -14,600,000.00 0.00 DD 04/15/04 4/15/2004 SEC ID: 994182274 4/15/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUlD OPER-PIMCO B LEHMAN CAT 2 REPO 00.960% 04/19/2004 DD 4/16/2004 100.0000 14,600,000.000 14,600,000.00 -14,600,000.00 0.00 04/16/04 4/16/2004 S_EC ID: 99419A344 4/16/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.920% 04/20/2004 4/19/2004 100.0000 14,600,000.000 14,600,000.00 -14,600,000.00 0.00 DD 04/19/04 4/19/2004 SEC ID: 994i9C340 4/19/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102 : LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.900% 04/21/2004 DD 4/20/2004 100.0000 15,600,000.000 15,600,000.00 -15,600,000.00 0.00 04/20/04-4/20/2004 SEC ID: 99419D645 4/20/2004 BROKER: LIDHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 5/11/2004 8: 15:42AM PDT 4 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&crn&21•2/ ,•cc•• C 4/1/2004 -4/30/2004 Status: FINAL 1 Trade Date I .. ' Price • ., Net Gain/Losa Tran Settle Date t"[_ Cost Amount ', ,, ' : ' Type Description Reported Date Base Shares/Par -Base Base Base . . B LEHMAN CAT 2 REPO 00.860% 04/22/2004 DD 4/21/2004 100.0000 16,000,000.000 16,000,000.00 -16,000,000.00 0.00 04/21/04 4/21/2004 SEC ID; 99419F'244 4/21/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.880% 04/23/2004 4/22/2004 100.0000 13,600,000.000 13,600,000.00 -13,600,000.00 0.00 DD 04/22/04 4/22/2004 SEC ID: 994190580 4/22/2004 BROKER: CREDJT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.870% 04/26/2004 4/23/2004 100.0000 18,600,000.000 18,600,000.00 -18,600,000.00 0.00 DD 04/23/04 4/23/2004 SEC ID: 99419J394 4/23/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.900% 04/27/2004 DD 4/26/2004 100.0000 18,600,000.000 18,600,000.00 -18,600,000.00 0.00 04/26/04 4/26/2004 SEC ID: 99419K599 4/26/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B CS FOB CAT 2 REPO 00.880% 04/28/2004 DD 4/27/2004 100.0000 18,600,000.000 18,600,000.00 -18,600,000.00 0.00 04/27/04 4/27/2004 SEC ID: 99419L894 4/27/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 00.890% 04/29/2004 4/28/2004 100.0000 18,600,000.000 18,600,000.00 -18,600,000.00 0.00 DD 04/28/04 4/28/2004 SEC ID: 99419N320 4/28/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 00.910% 04/30/2004 DD 4/29/2004 100.0000 18,600,000.000 18,600,000.00 -18,600,000.00 0.00 04/29/04 4/29/2004 SEC ID: 99419P937 4/29/2004 BROKER: LEHMA~ GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 5/11/2004 8: 15:42AM PDT 5 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&C•r&21 •2/ ,CDC•• C 4/1/2004 -4/30/2004 Status: FINAL TJ:ade Date I l Price . ·-,, __ . • J ""'· .. "l t•tP::~b. ,.11 • L· .. ,~'"'\ .. Amount Net Gain/Loss Tran • •1•".i,t,, f I t_ I ?'t I ·;-' Settle Date I j Cost .. ~' I .,.~ ,r -~ 11· ••·'" ~ !\t ,r, > • Type Deac~ pOon Report~d Date 1 Base Shares/Par Base Base '. Base r ~ •· I 'I. r· 1••-~ ,o B CS FOB CAT2 REPO 00.900%05/03/2004 DD 4/30/2004 100.0000 18,600,000.000 18,600,000.00 -18,600,000.00 0.00 04/30/04 4/30/2004 SEC ID: 99419R230 4/30/2004 BROKER: CREDIT SUISSE FlRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B DREYFUS TREASURY CASH MGMT 4/1/2004 1.0000 2,974,154.550 2,974,154.55 -2,974,154.55 0.00 SEC ID: 996085247 4/1/2004 OCSF07511102: LIQUID OPER-PIMCO 4/1/2004 B DREYFUS TREASURY CASH MGMT 4/2/2004 1.0000 954.640 954.64 -954.64 0.00 SEC ID: 996085247 4/2/2004 OCSF07522202: LONG TERM OPER-PIMCO 4/2/2004 B DREYFUS TREASURY CASH MGMT 4/2/2004 1.0000 912.240 912.24 -912.24 0.00 SEC ID: 996085247 4/2/2004 OCSF07511102: LIQUID OPER-PIMCO 4/2/2004 B DREYFUS TREASURY CASH MGMT 4/6/2004 1.0000 440.000 440.00 -440.00 0.00 SEC ID: 996085247 4/6/2004 OCSF07511102: LIQUID OPER-PIMCO 4/6/2004 B DREYFUS TREASURY CASH MGMT 4/7/2004 1.0000 2,500,444.440 2,500,444.44 -2,500,444.44 0.00 SEC ID: 996085247 4/7/2004 OCSF07511102: LIQUID OPER-PIMCO 4/7/2004 B DREYFUS TREASURY CASH MGMT 4/8/2004 1.0000 10,993,667.640 10,993,667.64 -10,993,667.64 0.00 SEC ID: 996085247 4/8/2004 OCSF07511102: LIQUID OPER-PIMCO 4/8/2004 B DREYFUS TREASURY CASH MGMT 4/13/2004 1.0000 371.250 371.25 -371.25 0.00 SEC ID: 996085247 4/13/2004 OCSF07511102: LIQUID OPER-PIMCO 4/13/2004 B DREYFUS TREASURY CASH MGMT 4/14/2004 1.0000 356.250 356.25 -356.25 0.00 SEC ID: 996085247 4/14/2004 OCSF07511102: LIQUID OPER-PJMCO 4/14/2004 B DREYFUS TREASURY CASH MGMT 4/15/2004 1.0000 20,981.250 20,981.25 -20,981.25 0.00 SEC ID: 996085247 4/15/2004 OCSF07511102: LIQUID OPER-PIMCO 4/15/2004 5/11/2004 8:15:42AM PDT 6 Workbench @ Transaction Detail ReportlD: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&C•l&21C2/ ,CCOOO C 4/1/2004 -4/30/2004 Status: FINAL . 'Tiade Date ,. ~-,. . > . ... -' . Price ' -• Coat ., .. Amount Net Gafn/Loas Tran Settle Date -, .. ,. /I Type Description ; 1 "dd ..... -, 1i-l, . ' -. . : .. Reported Date •,. Base Shares/Par Base Base Base ,. . , -, J. ; -• 'iJ_ :~~ ~-., , .. : ! .. B DREYFUS TREASURY CASH MGMT 4/15/2004 1.0000 149,832.280 149,832.28 -149,832.28 0.00 SEC ID: 996085247 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 4/15/2004 B DREYFUS TREASURY CASH MGMT 4/16/2004 1.0000 397.440 397.44 -397.44 0.00 SEC ID: 996085247 4/16/2004 OCSF07511102 : LIQUID OPER-PIMCO 4/16/2004 B DREYFUS TREASURY CASH MGMT 4/16/2004 1.0000 543,784.810 543,784.81 -543,784.81 0.00 SEC ID: 996085247 4/16/2004 OCSF07522202 : LONG TERM OPER-PIMCO 4/16/2004 B DREYFUS TREASURY CASH MGMT 4/19/2004 1.0000 1,168.000 1,168.00 -1,168.00 0.00 SEC ID: 996085247 4/19/2004 OCSF0751 l 102: LIQUID OPER-PIMCO 4/19/2004 B DREYFUS TREASURY CASH MGMT 4/20/2004 1.0000 5,330,372.550 5,330,372.55 -5,330,372.55 0.00 SEC ID: 996085247 4/20/2004 OCSF07511102: LIQUID OPER-PIMCO 4/20/2004 B DREYFUS TREASURY CASH MGMT 4/20/2004 1.0000 147,102.180 147,102.18 -147,102.18 0.00 SEC ID: 996085247 4/20/2004 OCSF07522202: LONG TERM OPER-PIMCO 4/20/2004 B DREYFUS TREASURY CASH MGMT 4/22/2004 1.0000 4,908,091.940 4,908,091.94 -4,908,091.94 0.00 SEC ID: 996085247 4/22/2004 OCSF07511102: LIQUID OPER-PIMCO 4/22/2004 B DREYFUS TREASURY CASH MGMT 4/26/2004 1.0000 1,348.500 1,348.50 -1,348.50 0.00 SEC ID: 996085247 4/26/2004 OCSF07511102 : LIQUID OPER-PIMCO 4/26/2004 B DREYFUS TREASURY CASH MGMT 4/27/2004 1.0000 465.000 465.00 -465.00 0.00 SEC ID: 996085247 4/27/2004 OCSF07511102: LIQUID OPER-PIMCO 4/27/2004 B DREYFUS TREASURY CASH MGMT 4/27/2004 1.0000 1,199,273.310 1,199,273.31 -1,199,273.31 0.00 SEC ID: 996085247 4/27/2004 OCSF07522202: LONG TERM OPER-PIMCO 4/27/2004 5/11 /2004 8:15:42AM PDT 7 Workbench /ia Transaction Detail Report ID: EWB009 'ft!/ Mellon Reported by Transaction Category Base Currency: USD 2&rm r&2 ln2/,onnnn C 4/1/2004 -4/30/2004 status: FINAL ·~ ,. ' Trade Date , · -;;,-'',t -:' ',: '-·· ~·-· ·11 .; · ' 'J. .... I .. , -• I Prl rJ ,11'~ 1,_ I • ..i.J ~-" ,, I J ,, • I • Tran · .. · ...... . 1 1 , Settle Date ce · ' L. . I\.•,•. -· Cost · ·.;' ~, '. . Amount , Net Gain/Loss Type Descript,fon , , R,epo~ed Date Base SJ?.ares/Par , .. Base _ ~-Base Base B DREYFUS TREASURY CASH MGMT 4/28/2004 1.0000 454.670 454.67 -454.67 0.00 SEC ID: 996085247 4/28/2004 OCSF07511102 : LIQUID OPER-PIMCO 4/28/2004 B DREYFUS TREASURY CASH MGMT 4/29/2004 1.0000 459.830 459.83 -459.83 0.00 SEC ID: 996085247 4/29/2004 OCSF07511102: LIQUID OPER-PIMCO 4/29/2004 B DREYFUS TREASURY CASH MGMT 4/29/2004 1.0000 26,450.360 26,450.36 -26,450.36 0.00 SEC ID: 996085247 4/29/2004 OCSF07522202: LONG TERM OPER-PIMCO 4/29/2004 B DREYFUS TREASURY CASH MGMT 4/30/2004 1.0000 206,683.690 206,683.69 -206,683.69 0.00 SEC ID: 996085247 4/30/2004 OCSF07522202: LONG TERM OPER-PIMCO 4/30/2004 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 390,208,166.820 390,118,273.13 -390, 118,273.13 0.00 TOTAL CASH & CASH EQUIVALENTS BASE: 390,208,166.820 390,118,273.13 -390, 118,273.13 o.oo FIXED INCOME SECURITIES U.S. DOLLAR B COMMIT TO PUR FNMA SF MTG 5.500% 4/6/2004 101.1094 2,800,000.000 2,831,062.50 -2,831,062.50 0.00 05/01/2034 DD 05/01 /04 5/13/2004 SEC ID: 01F052656 4/6/2004 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07522202: LONG TERM OPER-PIMCO BC 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 4/1/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07522202: LONGTERM OPER-PIMCO B FNMA POOL #0555417 6.000% 05/01/2033 2/18/2004 103.6250 500,049.690 518,176.49 -518,176.49 0.00 DD 04/01/03 4/15/2004 SEC ID: 31385XAS6 4/1/2004 BROKER: BEAR STEARNS & CO INC, NY OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 8 Workbench /'ii>.. Transaction Detail Report ID: EWB009 • '<!!,/ Mellon Reported by Transaction Category Base Currency: USD 2&6Dc&2162/,C07•• C 4/1/2004 -4/30/2004 Status: FINAL : · ,. •, 1 • ., . Trade Date · . • .0•• -1! • ~,,, l 1 ,J • i: • ' ' , '..:' J· . ' ' \ Pri ,1 ,, •• Tran · ,. '.i'.1 •.. _,.. •~ .,:'.J Settle Date ce ' ·' ' ·· •{ ; . 1,· Cost 1· • • Amount Net Gain/Loss . . ,• 1' ~-.... , " ~ • ~ ,"'. "", .. [,:' 1'' .. __ ... 'J Type Descilption : -~t '1; .1•.i:1'i,_, "·-it ~ Reported Date Ba•e-~·.t Shares/Par :I',,:·· ,• ;n', Base Base , , . Base 1B FNMA POOL #0555417 6.000% 05/01/2033 2/18/2004 103.6250 0.000 0.00 -1,166.78 0.00 DD 04/01/03 4/15/2004 SEC ID: 31385XAS6 4/1/2004 BROKER: BEAR STEARNS & CO INC, NY OCSF07522202 : LONGTERM OPER-PIMCO B FNMA POOL #0673597 6.000% 01/01/2033 2/18/2004 103.6094 500,000.270 518,047.16 -518,047.16 0.00 DD 01/01/03 4/15/2004 SEC ID: 31391QKJ2 4/1/2004 BROKER: CHASE/GREENWICH CAP, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO 1B FNMA POOL #0673597 6.000% 01/01/2033 2/18/2004 103.6094 0.000 0.00 -1,166.67 0.00 DD 01/01/03 4/15/2004 SEC ID: 31391QKJ2 4/1/2004 BROKER: CHASE/GREENWICH CAP, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO B GENERAL ELEC CAP MTN #TR00534 VAR RT 4/5/2004 100.0069 2,500,000.000 2,500,172.50 -2,500, 172.50 0.00 04/22/2004 DD 04/22/02 4/8/2004 SEC ID: 36962GYF5 4/5/2004 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07511102: LIQUID OPER-PIMCO 1B GENERAL ELEC CAP MTN #TR00534 VAR RT 4/5/2004 100.0069 0.000 0.00 -6,523.61 0.00 04/22/2004 DD 04/22/02 4/8/2004 SEC ID: 36962GYF5 4/5/2004 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07511102: LIQUID OPER-PIMCO TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: 5,300,049.960 5,332,458.65 -5,341,315.71 0.00 TOTAL FIXED INCOME SECURITIES BASE: 5,300,049.960 5,332,458.65 -5,341,315. 71 0.00 TOTAL PURCHASES BASE: 395,508,216.780 395,450,731.78 -395,459,588.84 0.00 PAY UPS FIXED INCOME SECURITIES U.S. DOLLAR 5/11/2004 8:15:42AM PDT 9 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•[&2162 / ,••7 0 • C 4/1/2004 -4/30/2004 Status: FINAL I ·-Trade Dale Ii .111•1 ., -,I' -,-. C . . . . I -' ' ol ~. .. ·~' Price . ., ' Tran .•;" Settle Date ·-' .. ~ ,. ~, I Cost Amount I Net Gain/Loss •. . ,. •' . ~ l • . . . . . Type Descnptton 't·I . Reported Date . Base Shares/Par . Base Base Base ~.-. !,_ --· . -~,; -r~ PU US TREASURY INFLATION INDEX NT 3.375% 1/15/2004 100.0000 87,920.000 87,920.00 -87,920.00 0.00 01/15/2007 DD O 1/ 15 /97 1/15/2004 SEC ID: 9128272M3 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PU US TREASURY INFLATION INDEX NT 3.625% 1/15/2004 100.0000 18,480.000 18,480.00 -18,480.00 0.00 01/15/2008 DD 01/15/98 1/15/2004 SEC ID: 9128273T7 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PU US TREASURY1NFLATION INDEX NT 3.875% 1/15/2004 100.0000 78,910.000 78,910.00 -78,910.00 0.00 01/ 15/2009DD 01/15/99 1/15/2004 SEC ID: 9128274Y5 4/1/2004 OCSF07522202 : LONG TERM OPER-PIMCO TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: 185,310.000 185,310.00 -185,310.00 0.00 TOTAL FIXED INCOME SECURITIES BASE: 185,310.000 185,310.00 -185,310.00 0.00 TOTAL PAY UPS BASE: 185,310.000 185,310.00 -185,310.00 0.00 SALES CASH & CASH EQUIVALENTS U.S. DOLLAR s FEDERAL NATL MTG ASSN DISCOUNT MAT 4/27/2004 99.7500 -600,000.000 -598,500.00 598,500.00 0.00 05/19/2004 4/27/2004 SEC ID: 313588XA8 4/27/2004 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PIMCO IS FEDERAL NATL MTG ASSN DISCOUNT MAT 4/27/2004 99.7500 0.000 0.00 1,159.00 0.00 05/19/2004 4/27/2004 SEC ID: 313588XA8 4/27/2004 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PIMCO s FEDERAL NATL MTG ASSN DISCOUNT MAT 4/27/2004 99.8295 -500,000.000 -499,147.50 499,147.50 0.00 05/20/2004 4/27/2004 SEC ID: 313588XB6 4/27/2004 BROKER: MORGAN STANLEY & CO INC, NY OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 10 Workbench . @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2 &60r&2162 / ,00700 C 4/1/2004 -4/30/2004 Status: FINAL . ' ,i ~ ... Trade Date : Price -,. :~ I I ' ' Tran . Settle Date . Cost Amount Net Gahl/Loss -. Type Description I R•ported ~ate Base Shares/Par ,. ·-Base Base ' ,~ rr' ln Base IS FEDERAL NATL MTG ASSN DISCOUNT MAT 4/27/2004 99.8295 0.000 0.00 561.81 0.00 05/20/2004 4/27/2004 SEC ID: 313588XB6 4/27/2004 BROKER: MORGAN STANLEY & CO INC, NY OCSF07522202: LONG TERM OPER-PIMCO s FEDERAL NATL MTG ASSN DISCOUNT MAT 4/27/2004 99.7447 -100,000.000 -99,744.69 99,744.69 0.00 06/02/2004 4/27/2004 SEC ID: 313588XQ3 4/27/2004 BROKER: MERRILL LYNCH PIERCE FENNER SMITH INC NY OCSF07522202: LONG TERM OPER-PIMCO IS FEDERAL NATL MTG ASSN DISCOUNT MAT 4/27/2004 99.7447 0.000 0.00 160.31 0.00 06/02/2004 4/27/2004 SEC ID: 313588XQ3 4/27/2004 BROKER: MERRILL LYNCH PIERCE FENNER SMITH INC NY OCSF07522202: LONGTERM OPER-PIMCO s CREDIT SUISSE FB REPO 00.920% 04/01/2004 4/1/2004 100.0000 -18,200,000.000 -18,200,000.00 18,200,000.00 0.00 DD 03/31/04 4/1/2004 SEC ID: 99418J221 4/1/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.920% 04/01/2004 4/1/2004 100.0000 0.000 0.00 465.11 0.00 DD 03 /31/04 4/1/2004 SEC ID: 99418J221 4/1/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO O 1.010% 04/02/2004 4/2/2004 100.0000 -16,000,000.000 -16,000,000.00 16,000,000.00 0.00 DD 04/01/04 4/2/2004 SEC ID: 99418K509 4/2/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO O 1.010% 04/02/2004 4/2/2004 100.0000 0.000 0.00 448.89 0.00 DD 04/01/04 4/2/2004 SEC ID: 99418K509 4/2/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO 5/11/2004 8:15:42AM PDT 11 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2 &60[&2162 /, 007 0 D C 4/1/2004 -4/30/2004 Status: FINAL ..--._. -.!.; .,. r11 _l '",. Trade Date I i:'11 ··' l I I . Tran r j • •.., I Price ,, Cost { Amount Net Gain/Lou I ' I .I Settle Date • I ' . -Type Description t .. I ,. Reported Date Base Shares/Par Base Base Base I .. -, s LEHMAN CAT 2 REPO 00.970% 04/05/2004 DD 4/5/2004 100.0000 -16,000,000.000 -16,000,000.00 16,000,000.00 0.00 04/02/04 4/5/2004 SEC ID: 99418M240 BROKER: LEHMAN GOVT SECS INC, NY 4/5/2004 OCSF075I1102: LIQUID OPER-PIMCO IS LEHMAN CAT2 REPO 00.970% 04/05/2004 DD 4/5/2004 100.0000 0.000 0.00 1,293.33 0.00 04/02/04 4/5/2004 SEC ID; 99418M240 4/5/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT2 REPO 00.990%04/06/2004 DD 4/6/2004 100.0000 -16,000,000.000 -16,000,000.00 16,000,000.00 0.00 04/05/04 4/6/2004 SEC ID: 99418N560 4/6/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.990% 04/06/2004 DD 4/6/2004 100.0000 0.000 0.00 440.00 0.00 04/05/04 4/6/2004 SEC ID: 99418N560 4/6/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEJHMAN CAT2 REPO 01.000% 04/07/2004 DD 4/7/2004 100.0000 -16,000,000.000 -16,000,000.00 16,000,000.00 0.00 04/06/04 4/7/2004 SEC ID: 994l8Q258 4/7/2004 BROKER: CEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.000%04/07 /2004 DD 4/7/2004 100.0000 0.000 0.00 444.44 0.00 04/06/04 4/7/2004 SEC ID: 99418Q258 4/7/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.970% 04/08/2004 DD 4/8/2004 100.0000 -13,500,000.000 -13,500,000.00 13,500,000.00 0.00 04/07/04 4/8/2004 SEC ID: 99418R629 4/8/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.970% 04/08/2004 DD 4/8/2004 100.0000 0.000 0.00 363.75 0.00 04/07/04 4/8/2004 SEC ID: 99418R629 4/8/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 5/11/2004 8:15:42AM PDT 12 Workbench , @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6Dl&2162/ ,••7 •• C 4/1/2004 -4/30/2004 Status: FINAL '. Trade Date ic ~ ~!ic:-~, :' ,..; :'~ •, . '. . . .. I -' j . Tran • 1 ', n · 1 • Settle Date Price Cost ·:.1 Amount Net Gain/Loss ~ .-. ., ' -~ Type Description ., ,, R~ported Date Base Shares/Par I Base Base Base . ~ . , -. . ' s LEHMAN CAT 2 REPO 00.960% 04/12/2004 DD 4/12/2004 100.0000 -13,500,000.000 -13,500,000.00 13,500,000.00 0.00 04/08/04 4/12/2004 SEC ID: 99418T120 4/12/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.960% 04/12/2004 DD 4/12/2004 100,0000 0.000 0.00 1,440.00 0.00 04/08/04 4/12/2004 SEC ID: 99418T120 4/12/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.990%04/ 13/2004 DD 4/13/2004 100.0000 -13,500,000.000 -13,500,000.00 13,500,000.00 0.00 04/12/04 4/13/2004 SEC ID: 994180531 4/13/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.990% 04/13/2004 DD 4/13/2004 100.0000 0.000 0.00 371.25 0.00 04/12/04 4/13/2004 SEC ID: 994180531 4/13/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.950% 04/14/2004 DD 4/14/2004 100.0000 -13,500,000.000 -13,500,000.00 13,500,000.00 0.00 04/13/04 4/14/2004 SEC ID: 99418W263 4/14/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.950% 04/14/2004 DD 4/14/2004 100.0000 0.000 0.00 356.25 0.00 04/13/04 4/14/2004 SEC ID: 99418W263 4/14/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.950% 04/15/2004 DD 4/15/2004 100.0000 -13,500,000.000 -13,500,000.00 13,500,000.00 0.00 04/14 /04 4/15/2004 SEC ID: 99418X782, 4/15/2004 BROKER; LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.950% 04/15/2004 DD 4/15/2004 100,0000 0.000 0.00 356.25 0.00 04/ 14/04 4/15/2004 SEC ID; 99418X782 4/15/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 5/11/2004 8:15:42AM PDT 13 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•i:&2162 / ,••7 • • C 4/1/2004 -4/30/2004 Status: FINAL Trade Date t . ---• _. I'. I) ' Price --. Amount Net Gain/Loss Tran Settle Date ' ' -: Coat Type Deacrlpt$on ' Shares/Par ' Reported Date Base I Base Base Base J .. ~ 1_ ,"". .. ' s CREDIT SUISSE FB REPO 00.980% 04/16/2004 4/16/2004 100.0000 -14,600,000.000 -14,600,000.00 14,600,000.00 0.00 DD 04/15/04 4/16/2004 SEC ID: 994182274 4/16/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.980% 04/16/2004 4/16/2004 100.0000 0.000 0.00 397.44 0.00 DD 04/15/04 4/16/2004 SEC ID: 994182274 4/16/2004 BRO.KER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.960%04/ 19/2004 DD 4/19/2004 100.0000 -14,600,000.000 -14,600,000.00 14,600,000.00 0.00 04/ 16/04 4/19/2004 SEC ID: 99419A344 4/19/2004 BROKER; LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT2 REPO 00.960% 04/19/2004 DD 4/19/2004 100.0000 0.000 0.00 1,168.00 0.00 04/16/04 4/19/2004 SEC ID: 99419A344 4/19/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.920% 04/20/2004 4/20/2004 100.0000 -14,600,000.000 -14,600,000.00 14,600,000.00 0.00 DD 04/19/04 4/20/2004 SEC ID: 99419C340 4/20/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.920% 04/20/2004 4/20/2004 100.0000 0.000 0.00 373.11 0.00 DD 04/19/04 4/20/2004 SEC ID: 99419C340 4/20/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.900% 04/21/2004 DD 4/21/2004 100.0000 -15,600,000.000 -15,600,000.00 15,600,000.00 0.00 04/20/04 4/21/2004 SEC ID: 99419D645 4/21/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 5/11/2004 8: 15:42AM PDT 14 Workbench . /ia Transaction Detail Report m: EWB009 '<!!,I Mellon Reported by Transaction Category Base Currency: USD 2&6Dl&2162/,0D7D• C 4/1/2004 -4/30/2004 Status: FINAL -,:• ''! i -, • "l • /1 ' .• -. ,, Trade Date ·. ' I • , ' ,, • r ' . . . ... ' ' ~ ,.~• 1.; .·~ -'" ,. l • • i_, ;'i '' ·1-;1 , ~ j .. ":I ,.. • . Tran · · ·· · -"-11 ' . '· , 1~-• .,. · settle Date • Price ·. Cost , ~ 1• , Amount 1J Net Gain/Loss Type Description • ·_ ~-~ · ·~-~ Reported Date '1,. Base Shares/Par ~-·,: Base ~ ·. -Base . _ Base IS LEHMAN CAT 2 REPO 00.900% 04/21/2004 DD 4/21/2004 100.0000 0.000 0.00 390.00 0.00 04/20/04 4/21/2004 SEC ID: 99.419D645 4/21/2004 BROKER: LE;HMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.860% 04/22/2004 DD 4/22/2004 100.0000 -16,000,000.000 -16,000,000.00 16,000,000.00 0.00 04/21/04 4/22/2004 SEC ID: 99419F244 4/22/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.860% 04/22/2004 DD 4/22/2004 100.0000 0.000 0.00 382.22 0.00 04/21/04 4/22/2004 SEC ID: 99419F244 4/22/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.880% 04/23/2004 4/23/2004 100.0000 -13,600,000.000 -13,600,000.00 13,600,000.00 0.00 DD 04/22/04 4/23/2004 SEC ID: 994190580 4/23/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.880%04/23/2004 4/23/2004 100.0000 0.000 0.00 332.44 0.00 DD 04/22/04 4/23/2004 SEC ID: 994190580 4/23/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.870% 04/26/2004 4/26/2004 100.0000 -18,600,000.000 -18,600,000.00 18,600,000.00 0.00 DD 04/23/04 4/26/2004 SEC ID: 994 ;L9J394 4/26/2004 BROKER: CRE DIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.870% 04/26/2004 4/26/2004 100.0000 0.000 0.00 1,348.50 0.00 DD 04/23/04 4/26/2004 SEC lD: 99419J394 4/26/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO 5/11/2004 8: 15:42AM PDT 15 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•1:&2162/ ,0 07•0 C 4/1/2004 -4/30/2004 Status: FINAL 1." I ' ~de Date ;: rl.'.-, _. ':. • " . .. I -. -,, f 11 r _ . .. -1 ~ Tran _.• • ... I I ' . ·Price --r1,1;f" Coat I' Amount Net Gain/Loss ••_. _,._ .r. ·• . Settle Date • l I ' Ir• • . " ·i • ·--? . I Type Description ' '":.''If Reported Date Base _Shares/Par \~·_,.{ ~ ·r ' ' Base ,;;• ~ Base .... , Base ,_ ~ ., - s LEHM AN CAT2REPO 00.900%04/27/2004 DD 4/27/2004 100.0000 -18,600,000.000 -18,600,000.00 18,600,000.00 0.00 04/26/04 4/27/2004 SECID: 99419 K599 4/27/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 00.900% 04/27/2004 DD 4/27/2004 100.0000 0.000 0.00 465.00 0.00 04/26/04 4/27/2004 SEC ID: 99419K599 4/27/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s CS FOB CAT 2 REPO 00.880% 04/28/2004 DD 4/28/2004 100.0000 -18,600,000.000 -18,600,000.00 18,600,000.00 0.00 04/27/04 4/28/2004 SEC ID: 994191.894 4/28/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CS FOB CAT 2 REPO 00.880% 04/28/2004 DD 4/28/2004 100.0000 0.000 0.00 454.67 0.00 04/27/04 4/28/2004 SEC ID: 994191.894 4/28/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 00.890%04/29/2004 4/29/2004 100.0000 -18,600,000.000 -18,600,000.00 18,600,000.00 0.00 DD 04/28/04 4/29/2004 SEC ID: 99419N320 4/29/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 00.890% 04/29/2004 4/29/2004 100.0000 0.000 0.00 459.83 0.00 DD 04/28/04 4/29/2004 SEC ID: 99419N320 4/29/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 00.910% 04/30/2004 DD 4/30/2004 100.0000 -18,600,000.000 -18,600,000.00 18,600,000.00 0.00 04/29/04 4/30/2004 SEC ID: 99419P937 4/30/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102 : LIQUID OPER-PIMCO 5/11 /2004 8:15:42AM PDT 16 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•[&2162 / ,••7 •• C 4/1/2004 -4/30/2004 Status: FINAL . Trade Date . ) .t' . . .. . " .• ' .;;: ; rt ,, . •r Price ~ ·.l ~ Tran ' Settle Date C .-.1 Cost Amount Net Gain/Loss , ' I rr;..~ ' 1:~- Type Description -l ~if ;.1 ~ Reported Date ' Base Shares/Par Base ,, ~ . Base l Base . ' .. r-.. ., , ... .:.:. IS LEHMAN CAT 2 REPO 00.910% 04/30/2004 DD 4/30/2004 100.0000 0.000 0.00 470.17 0.00 04/29/04 4/30/2004 SEC ID: 99419?937 4/30/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s DREYFUS TREASURY CASH MGMT 4/1/2004 1.0000 -1,274.560 -1,274.56 1,274.56 0.00 SEC ID: 996085247 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 4/1/2004 s DREYFUS TREASURY CASH MGMT 4/5/2004 1.0000 -3,892, 154.670 -3,892,154.67 3,892,154.67 0.00 SEC ID: 996085247 4/5/2004 OCSF07511102: LIQUID OPER-PIMCO 4/5/2004 s DREYFUS TREASURY CASH MGMT 4/12/2004 1.0000 -13,498,560.000 -13,498,560.00 13,498,560.00 0.00 SEC ID: 996085247 4/12/2004 OCSF07511102: LIQUID OPER-PIMCO 4/12/2004 s DREYFUS TREASURY CASH MGMT 4/19/2004 1.0000 -675,474.050 -675,474.05 675,474.05 0.00 SEC ID: 996085247 4/19/2004 OCSF07522202: LONG TERM OPER-PIMCO 4/19/2004 s DREYFUS TREASURY CASH MGMT 4/21/2004 1.0000 -5,258,272.220 -5,258,272.22 5,258,272.22 0.00 SEC ID: 996085247 4/21/2004 OCSF07511102: LIQUID OPER-PIMCO 4/21/2004 s DREYFUS TREASURY CASH MGMT 4/23/2004 1.0000 -4,999,667.560 -4,999,667.56 4,999,667.56 0.00 SEC ID: 996085247 4/23/2004 OCSF07511102: LIQUID OPER-PJMCO 4/23/2004 s DREYFUS TREASURY CASH MGMT 4/26/2004 1.0000 -189,722.330 -189,722.33 189,722.33 0.00 SEC ID: 996085247 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 4/26/2004 s DREYFUS TREASURY CASH MGMT 4/28/2004 1.0000 -1,196,796.800 -1,196,796.80 1,196,796.80 0.00 SEC ID: 996085247 4/28/2004 OCSF07522202: LONG TERM OPER-PIMCO 4/28/2004 s DREYFUS TREASURY CASH MGMT 4/30/2004 1.0000 -3,298.580 -3,298.58 3,298.58 0.00 SEC ID: 996085247 4/30/2004 OCSF07511102: LIQUID OPER-PIMCO 4/30/2004 5/11/2004 8:15:42AM PDT 17 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6D[&2162 / ,••7 • D C 4/1/2004 -4/30/2004 Status: FINAL Trad~ Date .. Tran .-,:a.·-l _I'. ·!,; -. Settle Date 'Price .~ , .. ·-., ?i~:;_:·,·.: Cost Amount'"\~ Net Galil/Loss ,, ,, Type Description '1'· , . R~ported Date Base Shares/Par -i •; if ;, -Base Base , ... r1, J"i Base TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: -362,615,220. 770 -362,612,612.96 362,626,714.73 0.00 TOTAL CASH & CASH EQUIVALENTS BASE: -362,615,220. 770 -362,612,612.96 362,626,714.73 0.00 FIXED INCOME SECURITIES U.S. DOLLAR s COMMIT TO PUR FNMA SF MTG 5.500% 4/6/2004 101.4492 -2,800,000.000 -2,875,250.00 2,840,578.12 -34,671.88 04/01/2034 DD 04/01 /04 4/15/2004 SEC ID: 01F052649 4/6/2004 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07522202: LONG TERM OPER-PIMCO SC 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 4/1/2004 BROKER: BEAR STEARNS & CO INC, NY OCSF07522202: LONG TERM OPER-PIMCO SC 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 4/1/2004 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PIMCO SC 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 4/1/2004 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PIMCO SC 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 4/1/2004 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 -518,007.81 519,863.28 1,855.47 03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 4/1/2004 BROKER: BEAR STEARNS & CO INC, NY OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8: 15:42AM PDT 18 Wo,:-kbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6rn&2162/ ,oo7• • C 4/1/2004 -4/30/2004 Status: FINAL ... ., --Tracie Date . . . . li ' '. . . ' -·' -~ · ii l ,l -. Price '-i,, ' Tran < 'j'' ,. Settle Date • p_ Coat ., ,a• Amount Net Gain/Loss .~ r -' 'f :" "I. ,,• '. , ·, ' ' Type Deacrlpt!on ,_ : Reportetl Date Base Shares/Par •: Base .. -Base ~f._[11 " I '-" .., ..:j C 1, ·4, •" Baae ' . . ~ I s COMMIT TO PUR FNMA SF MTG 6 .000% 2/18/2004 103.9531 -500,000.000 -518,007.81 519,765.62 1,757.81 03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 4/1/2004 BROKER: CHASE/GREENWICH CAP, NEW YORK OCSF07522202: LONG TERM OPER-PlMCO s COMMIT TO PUR FNMA SF MTG 6 .000% 2/18/2004 103.9688 -1 ,000,000.000 -1,036,015.63 1,039,687.50 3,671.87 03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 4/1/2004 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PlMCO s COMMIT TO PUR FNMA SF MTG 6 .000% 2/18/2004 103.9688 -1 ,000,000.000 -1,036,015.62 1,039,687.50 3,671.88 03/01/2034 DD 03/01 /04 3/15/2004 SEC ID: 01F060634 4/1/2004 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PIMCO SC 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 4/1/2004 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07522202: LONG TERM OPER-PlMCO s FNMA POOL #0555417 6.000% 05/01/2033 2/27/2004 103.8359 -500,049.690 -518, 176.49 519,231.28 1,054.79 DD 04/01/03 4/15/2004 SEC ID: 31385XAS6 4/1/2004 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07522202: LONG TERM OPER-PIMCO IS FNMA POOL #0555417 6.000% 05/01/2033 2/27/2004 103.8359 0.000 0.00 1,166.78 0.00 DD 04/01/03 4/15/2004 SEC ID: 31385XAS6 4/1/2004 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07522202: LONG TERM OPER-PIMCO s FNMA POOL #0673597 6.000% 01/01/2033 2/27/2004 103.8359 -500,000.270 -518,047.16 519,179.97 1,132.81 DD 01/01/03 4/15/2004 SEC ID: 31391QKJ2 4/1/2004 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 19 Workbench @ Mellon 2&6•1:&2162/,••7•• C Transaction Detail Reported by Transaction Category 4/1/2004 -4/30/2004 Tran Trade Date Settle Date Reported Date Type Description IS FNMA POOL #0673597 6.000% 01/01/2033 DD 01/01 /03 SEC ID: 31391 QKJ2 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07522202: LONG TERM OPER-PIMCO 2/27/2004 4/15/2004 4/1/2004 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE; Price Base 103.8359 Shares/Par 0.000 -2,800,049.960 -2,800,049.960 Cost Base 0.00 -2,876,473.65 -2,876,473.65 TOTAL SALES BASE: -365,415,270. 730 -365,489,086.61 PRINCIPAL PAYMENTS FIXED INCOME SECURITIES U.S. DOLLAR PD WMP/HUNTOON PAIGE #000-11150 7.500% 12/01/2030DD 10/21/99 SEC ID: 302998GE3 OCSF07522202 : LONG TERM OPER-PIMCO 4/1/2004 4/1/2004 4/1/2004 PD FHLMC GROUP#G4-0353 7.500% 10/01/2004 4/1/2004 DD 03/01/99 4/1/2004 SEC ID: 3128DBMA2 OCSF07522202: LONG TERM OPER-PIMCO 4 / l/2oo4 PDC FHLMC MULTICLASS MTG SER E3 A VAR RT 08/15/2032 DD 12/01 /97 SEC ID: 3133TCE95 OCSF07522202: LONG TERM OPER-PIMCO PD FHLMC MULT!CLASS MTG SER E3 A VAR RT 08/15/2032 DD 12/01 /97 SEC ID: 3133TCE95 OCSF07522202: LONG TERM OPER-PIMCO PD FHLMC MULTICLASS MTG SER E3 A VAR RT 08/15/2032 DD 12/01/97 SEC ID: 3133TCE95 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8: 15:42AM PDT 3/1/2004 3/1/2004 4/1/2004 3/1/2004 3/1/2004 4/1/2004 4/1/2004 4/1/2004 4/1/2004 100.0000 -791.200 -774.02 100.0000 -26,328.820 -26,995.27 100.0000 22,855.950 22,880.30 100.0000 -22,859.300 -22,883.65 100.0000 -16,260.300 -16,277.62 20 ReportID: EWB009 Base Currency: USD Status: FINAL Amount Base 1,166.67 2,839,525.95 2,839,525.95 365,466,240.68 791.20 26,328.82 -22,855.95 22,859.30 16,260.30 Net Gain/Loss Base 0.00 -39,281.15 -39,281.15 -39,281.15 17.18 -666.45 24.35 -24.35 -17.32 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&61ll&2162 /, ••7 • D C 4/1/2004 -4/30/2004 Status: FINAL : Tra4e Date . jt.l i ,1 ' ~ ' Tran . Settle Date Price . :~~•11, ·1 it .. Cost . Amount Net Gain/Losa • I• l Type Description -Reported Date Base Shares/Par ' . , I, Base . . Base Base '• - PD FHLMC GROUP #78-6064 6.384% 01/01/2028 4/1/2004 100.0000 -1,755.750 -1,712.95 1,755.75 42.80 DD 12/0'L/97 4/1/2004 SEC ID: 31348SWZ3 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0254510 5.000% 11/01/2017 4/1/2004 100.0000 -23,197.340 -23,893.26 23,197.34 -695.92 DD 10/01/02 4/1/2004 SEC ID: 31371KVB4 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0254631 5.000% 02/01/2018 4/1/2004 100.0000 -4,716.700 -4,858.20 4,716.70 -141.50 DD 01/01/03 4/1/2004 SEC ID: 31371KY47 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0254760 5.000% 06/01/2018 4/1/2004 100.0000 -4,065.970 -4,187.95 4,065.97 -121.98 DD 05/01/03 4/1/2004 SEC ID: 31371K5V9 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0254866 5.000% 09/01/2018 4/1/2004 100.0000 -1,465.670 -1,509.64 1,465.67 -43.97 DD 08/01/03 4/1/2004 SEC ID: 31371LCB3 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0254953 5.000% 11/01/2018 4/1/2004 100.0000 -8,178.100 -8,282.88 8,178.10 -104.78 DD 10/01/03 4/1/2004 SEC ID: 31371LE21 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0254987 5.000% 12/01/2018 4/1/2004 100.0000 -25,393.110 -25,718.46 25,393.11 -325.35 DD 11/01/03 4/1/2004 SEC ID: 31371LF46 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0323980 6.000% 04/01/2014 4/1/2004 100.0000 -7,369.930 -7,694.67 7,369.93 -324.74 DD 09/01/99 4/1/2004 SEC ID: 31374T2MO 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0357328 5.000% 01/01/2018 4/1/2004 100.0000 -987.090 -1,016.70 987.09 -29.61 DD 01 /01/03 4/1/2004 SEC ID: 31376J4M8 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8: l 5:42AM PDT 21 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2 &60l&2162 /, 0070 0 C 4/1/2004 -4/30/2004 Status: FINAL Trade Date Tran r .. •·r;i,, ! ,, ' .... •j r .( Settle Date Price . r r .: , •.~1• ~. ,· t\...,.,.,YJi "'~ ,.,'_ ct·~ I J Cost JI I" Amount'" '. T Net Gain/Loss • ~/1 ~ ~~ I, C 'h t' ;fl-1 f f"'.r•::1'!.r'!\ ,-._f Type Description • I i ,; ~.: . Reported Date " Base J .,. "';.. { Base Base Base r:~ ~ -. ~. ,. , Shares/Par, ;,•,.:, .;t'1t,\ f._ I PD FNMA POOL #0357430 5.000% 09/01/2018 4/1/2004 100.0000 -43,790.960 -44,283.61 43,790.96 -492.65 DD 09/01/03 4/1/2004 SEC ID: 31376KA71 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0456482 6.000% 02/01/2014 4/1/2004 100.0000 -4,892.860 -5,108.45 4,892.86 -215.59 DD 02/01/99 4/1/2004 SEC ID: 31381CCT2 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0509649 6.000%09/01/2014 4/1/2004 100.0000 -1,049.550 -1,095.80 1,049.55 -46.25 DD 09/01/99 4/1/2004 SEC ID: 31383QEWO 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0535451 6.000% 06/01/2015 4/1/2004 100.0000 -6,318.550 -6,596.96 6,318.55 -278.41 DD 07 /01/00 4/1/2004 SEC ID: 31384VZQ8 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0535672 6.000% 01/01/2016 4/1/2004 100.0000 -126,499.420 -132,073.30 126,499.42 -5,573.88 DD 12/01/00 4/1/2004 SEC ID: 31384WCH1 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0545296 6.000% 11/01/2016 4/1/2004 100.0000 -52,883.060 -55,213.22 52,883.06 -2,330.16 DD 10/01/01 4/1/2004 SEC ID: 31385HXZO 4/1/2004 OCSF07522202: LONGTERM OPER-PIMCO PD FNMA POOL #0545580 6.000% 03/01/2017 4/1/2004 100.0000 -4,800.230 -5,011.74 4,800.23 -211.51 DD 03/01/02 4/1/2004 SEC ID: 31385JCR7 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0555101 6.000% 10/01/2017 4/1/2004 100.0000 -7,240.010 -7,559.02 7,240.01 -319.01 DD 11/01/02 4/1/2004 SEC ID: 31385WU23 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0555363 5.000% 04/01/2018 4/1/2004 100.0000 -10,241.780 -10,549.03 10,241.78 -307.25 DD 03/01/03 4/1/2004 SEC ID: 31385W5Yl 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 B:15:42AM PDT 22 Wvrkbench, Transaction Detail . @ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2 &6 •l&2 162 /, r:;n7n n C 4/1/2004 -4/30/2004 Status: FINAL ., ' . Trade Date r .,. I•~' ' I ·•-J • •i'-.. . --' : ". •. ·Price l • I '.tt Tran ., -Settle Date ~i '~-I Cost -•· l ' Amount Net Gain/Loss ' I •' "I 'I l 1· • ... ,.· Type Description .. ,. ,: ' . Reported Date Base Shares/Par ,,. Base .. Base Base .. . ' '-~·· .• PD FNMA POOL #0555453 5.000% 05/01/2018 4/1/2004 100.0000 -1,167.260 -1,182.22 1,167.26 -14.96 DD 04/01/03 4/1/2004 SEC ID: 31385XBW6 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0555545 5.000% 06 /01/2018 4/1/2004 100.0000 -9,715.810 -10,007.28 9,715.81 -291.47 DD 05/01/03 4/1/2004 SEC ID: 31385XES2 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0555621 5.000% 07/01/2018 4/1/2004 100.0000 -30,727.030 -31,072.71 30,727.03 -345.68 DD 06/01/03 4/1/2004 SEC ID: 31385XG68 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0576386 6.000% 05/01/2016 4/1/2004 100.0000 -4,365.770 -4,558.14 4,365.77 -192.37 DD 05/01/01 4/1/2004 SEC ID: 31386XJ72 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0576739 6.000% 04/01/2016 4/1/2004 100.0000 -26,893.560 -28,078.56 26,893.56 -1,185.00 DD 04/01/01 4/1/2004 SEC ID: 31386XV86 4/1/2004 OCSF07522202: LONGTERM OPER-PIMCO PD FNMA POOL #0580888 6.000% 05/01/2016 4/1/2004 100.0000 -15,482.490 -16,164.69 15,482.49 -682.20 DD 05/01/01 4/1/2004 SEC ID: 31387DJ91 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0594002 6.000% 07/01/2016 4/1/2004 100.0000 -846.870 -884.19 846.87 -37.32 DD 07 /01/01 4/1/2004 SEC ID: 31387T3K8 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0597376 6.000%09/01/2016 4/1/2004 100.0000 -10, 151.900 -10,599.22 10,151.90 -447.32 DD 08/01/01 4/1/2004 SEC ID: 31387XT96 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0605259 6.000%09/01/2016 4/1/2004 100.0000 -892.820 -932.16 892.82 -39.34 DD 09/01/01 4/1/2004 SEC ID: 31388HMG1 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8: 15:42AM PDT 23 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•!&2162 / ,CD7•• C 4/1/2004 -4/30/2004 Status: FINAL Trade Date Tran Settle Date Price . Cost ', . Amount I Net Ga.in/Loss . Type Description Reported Date Base Shares/Par Base ,. Base ·c Base PD FNMA POOL #0608366 6.000% 10/01/2016 4/1/2004 100.0000 -5,600.360 -5,847.13 5,600.36 -246.77 DD 09/01/01 4/1/2004 SEC ID: 31388LZ78 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0616734 6.000% 12/01/2016 4/1/2004 100.0000 -724.810 -756.75 724.81 -31.94 DD 12/01/01 4/1/2004 SEC ID: 31388WEF9 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0630812 6.000% 02/01/2017 4/1/2004 100.0000 -2,598.200 -2,712.68 2,598.20 -114.48 DD 02/01/02 4/1/2004 SEC ID: 31389NYH2 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0632376 6.000%07 /01/2017 4/1/2004 100.0000 -27,392.590 -28,599.58 27,392.59 -1,206.99 DD 07 /01/02 4/1/2004 SEC ID: 31389QQ50 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0653116 6.000% 07/01/2017 4/1/2004 100.0000 -28, 170.280 -29,411.53 28,170.28 -1,241.25 DD 07 /01/02 4/1/2004 SEC ID: 31390QSD8 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0673280 6.000% 08/01/2017 4/1/2004 100.0000 -1,039.640 -1,085.45 1,039.64 -45.81 DD 11/01/02 4/1/2004 SEC ID: 31391P6R2 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0681309 5.000% 02/01/2018 4/1/2004 100.0000 -14,171.820 -14,596.97 14,171.82 -425.15 DD 02/01/03 4/1/2004 SEC ID: 31391Y3S4 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0681334 5.000% 02/01/2018 4/1/2004 100.0000 -2,322.110 -2,391.77 2,322.11 -69.66 DD 01/01/03 4/1/2004 SEC ID: 31391Y4Tl 4/1/2004 OCSF0752 2202 : LONG TERM OPER-PIMCO PD FNMA POOL #0684908 5.000% 06/01/2018 4/1/2004 100.0000 -3,846.590 -3,895.87 3,846.59 -49.28 DD 05/01/03 4/1/2004 SEC ID: 31400D3Rl 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 24 Workbench . Transaction Detail @ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6m&2162/,••7•• C 4/1/2004 -4/30/2004 Status: FINAL I• 'I Tra.de Date ., :'--,. '.l -· . ' 7 ,· ., ~ LI •" I >;•; '' Tran . . ' ·, ·;./ ri .. Settle Date Price I I. Cost ' ' Amount Net Gabi/Lou "i. !1 4. -. r ... I I '•t;·_< :-\!; i ' Type DeacrlP.tlon ' Reported Date ' Base Shares/Par Base ' ·,, Base ' Base :1, '-II •• lo. -·1· • PD FNMA POOL#0685200 5.000%03/01/2018 4/1/2004 100.0000 -5,821.330 -5,895.92 5,821.33 -74.59 DD 03/01/03 4/1/2004 SEC ID: 31400EGH7 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0685665 5.000% 02/01/2018 4/1/2004 100.0000 -1,103.470 -1,136.57 1,103.47 -33.10 DD 02/01/03 4/1/2004 SEC ID: 31400EW22 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0686318 5.000% 03/01/2018 4/1/2004 100.0000 -9,598.360 -9,886.31 9,598.36 -287.95 DD 03/01/03 4/1/2004 SEC ID: 31400FPB7 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0688739 5.000% 06/01/2018 4/1/2004 100.0000 -7,038.950 -7,250.12 7,038.95 -211.17 DD 06/01/03 4/1/2004 SEC ID: 31400JEL9 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0689859 5.000% 05/01/2018 4/1/2004 100.0000 -504.380 -510.84 504.38 -6.46 DD 05/01/03 4/1/2004 SEC ID: 31400KMG8 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0693834 5.000% 03/01/2018 4/1/2004 100.0000 -15,984.600 -16,464.14 15,984.60 -479.54 DD 03/01/03 4/1/2004 SEC ID: 31400PY74 4/1/2004 OCSF07522202: LONGTERM OPER-PIMCO PD FNMA POOL #0695852 5.000% 05 /01/2018 4/1/2004 100.0000 -12,180.380 -12,545.79 12,180.38 -365.41 DD 05/01/03 4/1/2004 SEC ID: 31400SBVO 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0695889 5.000% 05/01/2018 4/1/2004 100.0000 -27,196.440 -28,012.33 27,196.44 -815.89 DD 05/01/03 4/1/2004 SEC ID: 31400SC23 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0697026 5.000% 05/01/2018 4/1/2004 100.0000 -863,800 -889.71 863.80 -25.91 DD 04/01/03 4/1/2004 SEC ID: 31400TLF'2 4/1/2004 OCSF07522202: LONGTERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 25 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•1:&2162 / ,007•• C 4/1/2004 -4/30/2004 Status: FINAL . ' , , Trade Date . ' , I ".· . , I ' .. -. ' .. '... f'I. ! I ~ -• , : : Price ,:--' Tran ... ,, .. ,,... : Bettle Date Cost .Amount Net Gain/Loss : r, ,, l.,-tl Type Description • Reported Date -Base Share~/Par • ._.,111 ).'. ~· Base .. Base \ Base .__, .. ~ , .. PD FNMA POOL #0698939 6.000% 09/01/2017 4/1/2004 100.0000 -24,946.170 -26,045.36 24,946.17 -1,099.19 DD 03/01/03 4/1/2004 SEC ID: 31400VPY2 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0702210 5.000%05/01/2018 4/1/2004 100.0000 -21,349.140 -21,989.61 21,349.14 -640.47 DD 05/01/03 4/1/2004 SEC ID: 31401ADP9 4/1/2004 OCSF07522202 : LONG TERM OPER-PIMCO PD FNMA POOL #07023 28 5.000% 05/01/2018 4/1/2004 100.0000 -738.260 -747.72 738.26 -9.46 DD 04/01/03 4/1/2004 SEC ID: 31401AHD2 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0703195 6.000% 01/01/2017 4/1/2004 100.0000 -907.290 -947.27 907.29 -39.98 DD 04/01/03 4/1/2004 SEC ID: 31401BGC3 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0709148 5.000% 06/01/2018 4/1/2004 100.0000 -4,039.820 -4,161.01 4,039.82 -121.19 DD 06/01/03 4/1/2004 SEC ID: 31401HZM7 4/1/2004 OCSF07522202 : LONG TERM OPER-PIMCO PD FNMA POOL #0709360 5.000% 07/01/2018 4/1/2004 100.0000 -28,330. 790 -28,693.78 28,330.79 -362.99 DD 06/01/03 4/1/2004 SEC ID: 31401J856 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0709826 5.000% 06/01/2018 4/1/2004 100.0000 -7,052.110 -7,142.46 7,052.11 -90.35 DD 06/01/03 4/1/2004 SEC ID: 31401JSP4 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0709917 5.000%06/01/2018 4/1/2004 100.0000 -5,217.740 -5,284.59 5,217.74 -66.85 DD 06/01/03 4/1/2004 SEC ID: 31401JVJ4 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0709963 5.000% 06/01/2018 4/1/2004 100.0000 -2,415.700 -2,446.65 2,415.70 -30.95 DD 06/01/03 4/1/2004 SEC ID: 31401JWYO 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 26 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6D[&2162 / ,••7 •• C 4/1/2004 -4/30/2004 Status: FINAL ~ . , Trade Date ' > 'I . r . ~ ·; w~, ' Price Net Gain/Loss Tran Settle Date . . . Coat Amount I J '' Type Descri_ptlon ,, . Reported Date Ba•e Shares/Par ·1· . . ' Base Base Base ' = 1 • ' 11 I ·-'-,. .. PD FNMA POOL #0710235 5.000% 06/01/2018 4/1/2004 100.0000 -65,157.310 -67,112.03 65,157.31 -1,954.72 DD 06/01/03 4/1/2004 SEC ID: 31401KBC8 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0713344 5.000% 06 /01/2018 4/1/2004 100.0000 -1,978.120 -2,037.46 1,978.12 -59.34 DD 06/01/03 4/1/2004 SEC ID: 31401NP52 4/1/2004 OCSF07522202 : LONGTERM OPER-PIMCO PD FNMA POOL #0713365 5.000% 07/01/2018 4/1/2004 100.0000 -5,529.540 -5,600.39 5,529.54 -70.85 DD 07 /01/03 4/1/2004 SEC ID: 31401NQS1 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0720319 5.000%07/01/2018 4/1/2004 100.0000 -33,258.720 -33,684.85 33,258.72 -426.13 DD 07 /01/03 4/1/2004 SEC ID: 31401 WG45 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0720369 5.000% 06/01/2018 4/1/2004 100,0000 -35,481.540 -36,545.99 35,481.54 -1,064.45 DD 06/01/03 4/1/2004 SEC ID: 31401 WJNO 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0721629 5.000% 07/01/2018 4/1/2004 100.0000 -1,447.150 -1,490.56 1,447.15 -43.41 DD 06/01/03 4/1/2004 SEC ID: 31401XVW4 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0723487 5.000% 06/01/2018 4/1/2004 100.0000 -971.650 -982.58 971.65 -10.93 DD 06/01/03 4/1/2004 SEC ID: 31402AXQ4 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0729601 5.000% 07/01/2018 4/1/2004 100.0000 -5,473.330 -5,543.46 5,473.33 -70.13 DD 07 /01/03 4/1/2004 SEC ID: 31402HRW3 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0732873 5.000% 11/01/2018 4/1/2004 100.0000 -137.840 -139.61 137.84 -1.77 DD 10/01/03 4/1/2004 SEC ID: 31402MFNS 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8: 15:42AM PDT 27 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•[&2162/ ,••7 •• C 4/1/2004 -4/30/2004 Status: FINAL --' --Ttade Date .. •, ylr~I . ..-f • r •• r -: 4 •• ~,: ~-.. ,. d' I -"' ,· Price ~• ... •? .I • I I . Tran -Settle Date Cost • Amount Net Gain/Loss --· 7 1a • 1i ~~ ., ,· Type Descrlptiob ,' lt.eported Date Base Shares/Par Base ' I Base Base J ' ' " ,11 .. ~ PD FNMA POOL#0737130 5.000% 10/01/2018 4/1/2004 100.0000 -19,483.020 -19,732.65 19,483.02 -249.63 DD 10/01/03 4/1/2004 SEC ID: 31402S4?9 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0738211 5.000% 10/01/2018 4/1/2004 100.0000 -18,354.000 -18,589.16 18,354.00 -235.16 DD 10/01/03 4/1/2004 SEC ID: 31402UDQ2 4/1/2004 OCSF07522202: LONGTERM OPER-PIMCO PD FNMA POOL #0738487 5.000% 10/01/2018 4/1/2004 100.0000 -7,018.380 -7,108.30 7,018.38 -89.92 DD 10/01/03 4/1/2004 SEC ID: 31402UNC2 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0740471 5.000% 10/01/2018 4/1/2004 100.0000 -3,246.550 -3,288.15 3,246.55 -41.60 DD 10/01/03 4/1/2004 SEC ID: 31402Wf40 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0740748 5.000% 10/01/2018 4/1/2004 100.0000 -16,891.640 -17,108.06 16,891.64 -216.42 DD 11/01/03 4/1/2004 SEC ID: 31402WSH7 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0743868 5.000% 11/01/2018 4/1/2004 100.0000 -365.090 -369.77 365.09 -4.68 DD 10/01/03 4/1/2004 SEC ID: 31403BMR1 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0744008 5.000% 07/01/2018 4/1/2004 100.0000 -5,611.700 -5,683.60 5,611.70 -71.90 DD 09/01/03 4/1/2004 SEC ID: 31403BR54 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0744316 5.000% 09/01/2018 4/1/2004 100.0000 -5,669.320 -5,741.96 5,669.32 -72.64 DD 09/01/03 4/1/2004 SEC ID: 314038324 4/1/2004 OCSF07522202: LONG TERM OPER-PlMCO PD FNMA POOL #0747914 5.000% 11/01/2018 4/1/2004 100.0000 -1,853.970 -1,877.72 1,853.97 -23.75 DD 11/01/03 4/1/2004 SEC ID: 31403F3XO 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8: 15:42AM PDT 28 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6Dr&2162/ ,••7•• C 4/1/2004 -4/30/2004 Status: FINAL ·.1 ' Trade Date . ' ... Price . " .. ,, " -Tran -Settle Date ;·:·~-1 Cost Amount Net Gabl/Loss Type Description I It Reported Date Base Shares/Par .. ........ :. -.r; Base Base Base .. ' PD FNMA POOL #0748400 5.000% 08/01/2018 4/1/2004 100.0000 -11,011.980 -11,153.07 11,011.98 -141.09 DD 09/01/03 4/1/2004 SEC ID: 31403GNR9 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0748899 5.000% 12/01/2018 4/1/2004 100.0000 -11,177.310 -11,320.52 11,177.31 -143.21 DD 11/01/03 4/1/2004 SEC ID: 31403G7LO 4/1/2004 OCSF07522202 : LONG TERM OPER-PIMCO PD FNMA POOL#0750377 5.000% 11/01/2018 4/1/2004 100.0000 -78,379.300 -79,383.53 78,379.30 -1,004.23 DD 11/01/03 4/1/2004 SEC ID: 31403JUA2 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0750380 5.000% 11/01/2018 4/1/2004 100.0000 -37,199.410 -37,676.03 37,199.41 -476.62 DD 11/01/03 4/1/2004 SEC ID: 31403JUD6 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0750445 5.000% 11/01/2018 4/1/2004 100.0000 -20,186.190 -20,444.82 20,186.19 -258.63 DD 11/01/03 4/1/2004 SEC ID: 31403JWE2 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0751960 5.000% 12/01/2018 4/1/2004 100.0000 -9,455.960 -9,577.11 9,455.96 -121.15 DD 11/01/03 4/1/2004 SEC ID: 31403LMH1 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0753425 5.000% 11/01/2018 4/1/2004 100.0000 -18,216.230 -18,426.86 18,216.23 -210.63 DD 11/01/03 4/1/2004 SEC ID: 31403NA23 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0755165 5.000% 12/01/2018 4/1/2004 100.0000 -2,607.970 -2,641.38 2,607.97 -33.41 DD 11/01/03 4/1/2004 SEC ID: 31403Q6A3 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0756372 5.000% 11/01/2018 4/1/2004 100.0000 -4,094.210 -4,141.55 4,094.21 -47.34 DD 11/01/03 4/1/2004 SEC ID: 31403SJR8 4/1/2004 OCSF07522202 : LONG TERM OPER-PIMCO 5/11/2004 8: 15:42AM PDT 29 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2 &6•[&2162 / ,••7n cl C 4/1/2004 -4/30/2004 Status: FINAL "j' I .; j ~ Trade Date . I ' ' t, \ I _._,, • ' ,: ;~ l ,"\' ,: I '··> I, : · ', · Price ~ -j: l1 l ... • t,, ~;.·:u,L Tran ,·· .. -. -Settle Date r • •: --'• .. _.~:·: Cost ·, Amount •. Net Gain/Loss . Type Description ' __ ,Repottecl. Date Base Shares/Par ' Base . Base Base ' .. . . ,_ - PD GNMA POOL #0596612 6.500% 09/15/2032 4/1/2004 100.0000 -355.530 -373.14 355.53 -17.61 DD 09/01/02 4/1/2004 SEC ID: 36200BYH4 4/1/2004 OCSF0752 2202: LONG TERM OPER-PIMCO PD GNMA POOL #0569358 6.500% 04/15/2032 4/1/2004 100.0000 -84,910.560 -86,900.65 84,910.56 -1,990.09 DD 04/01/02 4/1/2004 SEC ID: 36200QQK3 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0569685 6.500% 02/15/2032 4/1/2004 100.0000 -2,942.990 -3,088.76 2,942.99 -145.77 DD 02/01/02 4/1/2004 SEC ID: 36200Q2S2 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0570019 6.500% 07/15/2032 4/1/2004 100.0000 -4,597.850 -4,825.59 4,597.85 -227.74 DD 07 /01/02 4/1/2004 SEC ID: 36200RG48 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0574323 6.500% 12/15/2031 4/1/2004 100.0000 -34,576.940 -36,289.58 34,576.94 -1,712.64 DD 12/01/01 4/1/2004 SEC ID: 36200WAY7 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0575364 6.500% 11/15/2031 4/1/2004 100.0000 -3,142.270 -3,297.91 3,142.27 -155.64 DD 11/01/01 4/1/2004 SEC ID: 36200XFD6 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0587117 6.500% 06/15/2032 4/1/2004 100.0000 -1,204.280 -1,263.93 1,204.28 -59.65 DD 06/01/02 4/1/2004 SEC ID: 36201MG22 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0587439 6. 500% 11/15/2032 4/1/2004 100.0000 -1,330.780 -1,396.69 1,330.78 -65.91 DD 12/01/02 4/1/2004 SEC ID: 36201MS45 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0421389 6.500% 04/15/2026 4/1/2004 100.0000 -1,211.430 -1,271.43 1,211.43 -60.00 DD 04/01/96 4/1/2004 SEC ID: 36206 UC23 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 30 Wc>rkbench Transaction Detail -@ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•1:&2162/ ,••7•• C 4/1/2004 -4/30/2004 Status: FINAL ~ . . ' Trade Date ! ~:ti';'' \j • I \ ., .. j' ' ·, . --., ' r '1 •· I I 1 ·• ' ~ Prlce •, ., ll< '.I ' ' Net Gain/Loss Tran . " Settle Date Cost ' Amount •' l, r' '1. -: Type Description Reported Date Base Shares/Par "t i t Base Base , Base r ~. ~ -, PD GNMA POOL #0438057 6.000% 05/15/2028 4/1/2004 100.0000 -26.780 -25.42 26.78 1.36 DD 05/01/98 4/1/2004 SEC ID: 36207PfN9 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0449851 6.500% 01/15/2028 4/1/2004 100.0000 -2,662.580 -2,794.46 2,662.58 -131.88 DD 01/01/98 4/1/2004 SEC ID: 36208FWLO 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0457814 6.000% 10/15/2028 4/1/2004 100.0000 -652.040 -618.93 652.04 33.11 DD 10/01/98 4/1/2004 SEC ID: 36208QSB3 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0465546 6.000% 08/15/2028 4/1/2004 100.0000 -16,198.020 -15,375.46 16,198.02 822.56 DD 08/01/98 4/1/2004 SEC ID: 36209AET3 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0465555 6.000% 09/15/2028 4/1/2004 100.0000 -17,359.600 -16,478.06 17,359.60 881.54 DD 09/01/98 4/1/2004 SEC ID: 36209AE48 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0466845 6. 500% 06/15/2028 4/1/2004 100.0000 -77.560 -81.40 77.56 -3.84 DD 06/01/98 4/1/2004 SEC ID: 36209BTA6 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0467279 6.000% 10/15/2028 4/1/2004 100.0000 -34.290 -32.55 34.29 1.74 DD 10/01/98 4/1/2004 SEC ID: 36209CCQ7 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0467286 6.000% 10/15/2028 4/1/2004 100.0000 -46,213.380 -43,866.61 46,213.38 2,346.77 DD 10/01/98 4/1/2004 SEC ID: 36209CCX2 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0468052 6. 500% 07/15/2028 4/1/2004 100.0000 -168.300 -176.64 168.30 -8.34 DD 07 /01/98 4/1/2004 SEC ID: 36209C5M4 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 31 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6Dr&2162/ ,••7 • D C 4/1/2004 -4/30/2004 Status: FINAL ' ' . Trade Date -' :t]' .-' "".\ !r!.: ,,.1 :. : 7 ,.;,_,.. ,., . -; ,tr•· •• ,.~ .... C "I< r\ •·' Price, • .. Tran .. ~ i ~"1 1 Settle Date ; , zl"-r • Cost . ' Amount Net Gain/Loss ,· 1 ' -'., I l . l • '• -. . Type Desctiptton . . ' . . . -Reported Date Base Shares/Par Base Base Base -· . . ,, ~ PD GNMA POOL#0468330 6.000% 05/15/2028 4/1/2004 100.0000 -5,372.660 -5,099.82 5,372.66 272.84 DD 05/01/98 4/1/2004 SEC ID: 36209DHF4 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0468339 6.000% 08/15/2028 4/1/2004 100.0000 -32,846.100 -31,178.14 32,846.10 1,667.96 DD 08/01/98 4/1/2004 SEC ID: 36209DHQO 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0469688 6.000% 11/15/2028 4/1/2004 100.0000 -1,359.160 -1,290.14 1,359.16 69.02 DD 11/01/98 4/1/2004 SEC ID: 36209EXR8 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0476041 6.500% 06/15/2028 4/1/2004 100.0000 -260.530 -273.03 260.53 -12.50 DD 06/01/98 4/1/2004 SEC ID: 36209MZE7 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0478626 6.500% 01/15/2029 4/1/2004 100.0000 -22,117.970 -23,178.94 22,117.97 -1,060.97 DD 01/01/99 4/1/2004 SEC ID: 36209QVI'9 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0480598 6.500% 10/15/2028 4/1/2004 100.0000 -93,584.520 -98,073.66 93,584.52 -4,489.14 DD 10/01/98 4/1/2004 SEC ID: 36209S3F6 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0483452 6.000% 09/15/2028 4/1/2004 100.0000 -19.610 -18.61 19.61 1.00 DD 09/01/98 4/1/2004 SEC ID: 36209WBV3 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0485527 6.500% 06/15/2031 4/1/2004 100.0000 -10,137.510 -10,639.63 10,137.51 -502.12 DD 06/01/01 4/1/2004 SEC ID: 36209YLG1 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0485610 6. 500% 07/15/2031 4/1/2004 100.0000 -51,204.150 -53,740.36 51,204.15 -2,536.21 DD 07 /01/01 4/1/2004 SEC ID: 36209YN38 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8: 15:42AM PDT 32 Wor:kbench . @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•l&2162 / ,••7 • D C 4/1/2004 -4/30/2004 Status: FINAL . -;-~ Trade Date t:;--' . .. ' ' I ' . ,. ' Tran -.. . : Bettle Date Price t~ Cost Amount · Net Gain/Loss ' I, ., t Type Description J Reported Date Base Shares/Par ' .. Base Base Base ,•' t • ._ • I 0 1 l • PD GNMA POOL#0485682 6.500% 08/15/2031 4/1/2004 100.0000 -9,242.490 -9,700.28 9,242.49 -457.79 DD 08/01/01 4/1/2004 SEC ID: 36209YRB6 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0485703 6.500% 08/15/2031 4/1/2004 100.0000 -9,960.290 -10,453.64 9,960.29 -493.35 DD 08/01/01 4/1/2004 SEC ID: 36209YRY6 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0486720 6.000% 12/15/2028 4/1/2004 100.0000 -175.670 -166.75 175.67 8.92 DD 12/01/98 4/1/2004 SEC ID: 36210AVM6 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0491103 6.000% 01/15/2029 4/1/2004 100.0000 -4,509.960 -4,280.94 4,509.96 229.02 DD 01/01/99 4/1/2004 SEC ID: 36210FRY4 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0496461 6.000% 01/15/2029 4/1/2004 100.0000 -17,638.950 -16,743.22 17,638.95 895.73 DD 01/01/99 4/1/2004 SEC ID: 36210MQN4 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0497343 6.000% 12/15/2028 4/1/2004 100.0000 -33.350 -31.66 33.35 1.69 DD 12/01/98 4/1/2004 SEC ID: 36210NP45 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0499153 6.000% 02/15/2029 4/1/2004 100.0000 -28.130 -26.70 28.13 1.43 DD 02/01/99 4/1/2004 SEC ID: 36210QQE5 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0500917 6.000% 04/15/2029 4/1/2004 100.0000 -277.040 -262.97 277.04 14.07 DD 04/01/99 4/1/2004 SEC ID: 36210SPAO 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0503388 6. 000% 03/15/2029 4/1/2004 100.0000 -38,006.760 -36,076.73 38,006.76 1,930.03 DD 03/01/99 4/1/2004 SEC ID: 36210VF55 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8: 15:42AM PDT 33 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6D[&2162/ ,••7 •• C 4/1/2004 -4/30/2004 Status: FINAL Trade Date Tran r • ~,,~ _, t •;-" ~> Settle Date Price : i..•.· ,., ... ' • -... •1.:.1 :M••:~f .. !~i-~\\, r Coat . ' Amount Net Gain/Losa -!,:_ ~ I' Type Description .' .:,1 , . ' Shates/Par i-,.,~~ft '•1~i L ;,;-f J ~ 'T I Reported Date Baae Base Base Base ·" ;. "r--TO PD GNMA POOL#0506636 6.000% 04/15/2029 4/1/2004 100.0000 -590.600 -560.61 590.60 29.99 DD 04/01/99 4/1/2004 SEC ID: 36210YY90 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0512235 6.500% 11/15/2029 4/1/2004 100.0000 -17.420 -18.28 17.42 -0.86 DD 11/01/99 4/1/2004 SEC ID: 36211GBC6 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0514326 6.500% 07/15/2029 4/1/2004 100.0000 -336.060 -352.18 336.06 -16.12 DD 07 /01/99 4/1/2004 SEC ID: 36211JLF2 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0530053 6.500% 04/15/2031 4/1/2004 100.0000 -3,205.740 -3,364.52 3,205.74 -158.78 DD 04/01/01 4/1/2004 SEC ID: 36212CZS3 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0537885 6.500% 02/15/2031 4/1/2004 100.0000 -11,845.340 -12,432.05 11 ,845.34 -586.71 DD 02/01/01 4/1/2004 SEC ID: 36212MRE1 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0547512 6.500% 04/15/2031 4/1/2004 100.0000 -531.950 -558.30 531.95 -26.35 DD 04/01/01 4/1/2004 SEC ID: 36212YGV9 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0547715 6.500% 02/15/2031 4/1/2004 100.0000 -168.910 -177.01 168.91 -8.10 DD 02/01/01 4/1/2004 SEC ID: 36212YN82 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0552322 6.500% 01/15/2032 4/1/2004 100.0000 -3,483.840 -3,656.40 3,483.84 -172.56 DD 01/01/02 4/1/2004 SEC ID: 36213ESK3 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0552466 6.500% 03/15/2032 4/1/2004 100.0000 -42,057.190 -44,140.34 42,057.19 -2,083.15 DD 03/01/02 4/1/2004 SEC ID: 36213EW36 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 34 Woi:kbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&60[&2162 / ,0070 0 C 4/1/2004 -4/30/2004 Status: FINAL 'Pracle Date Tran . ., ~· Settle Date Price i;j,~ ~-[Jr! .•• : Cost Amount· Net Gain/Loss ~ 'I 4. IL] f• r, Type Description •r ~~:. ~-~r. t ! t: Reported Date Base Shares/Par Base Base Base ' ' ' - PD GNMA POOL #0552659 6. 500% 07/15/2032 4/1/2004 100.0000 -8,231.350 -8,639.06 8,231.35 -407.71 DD 07 /01/02 4/1/2004 SEC ID: 36213E5U6 4/1/2004 OCSF07522202: LONG TERM OPER-PlMCO PD GNMA POOL #0561017 6. 500% 07/15/2031 4/1/2004 100.0000 -41,605.540 -43,666.31 41,605.54 -2,060.77 DD 07 /01/01 4/1/2004 SEC ID: 36213QG29 4/1/2004 OCSF07522202: LONG TERM OPER-PlMCO PD GNMA II POOL #0080023 VAR RT 12/20/2026 4/1/2004 100.0000 -5,995.180 -6,094.48 5,995.18 -99.30 DD 12/01/96 4/1/2004 SEC ID: 36225CAZ9 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA II POOL #080088M 7.375% 06/20/2027 4/1/2004 100.0000 -19,859.680 -20,294.11 19,859.68 -434.43 DD 06/01/97 4/1/2004 S.EC ID: 36225CC20 4/1/2004 OCSF07522202 : LONGTERM OPER-PlMCO PD GNMA II POOL #0080395 VAR RT 04/20/2030 4/1/2004 100.0000 -9,955.800 -9,865.58 9,955.80 90.22 DD 04/01/00 4/1/2004 SEC ID: 36225CNM4 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA II POOL #080408X 6.500% 05/20/2030 4/1/2004 100.0000 -102,123.630 -101,086.44 102,123.63 1,037.19 DD 05/01/00 4/1/2004 SEC ID: 36225CN28 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA GTD REMIC TR 2000-9 FH VAR RT 4/16/2004 100.0000 -21,504.500 -21,504.50 21,504.50 0.00 02/16/2030 4/16/2004 SEC ID: 3837H4NX9 4/16/2004 OCSF07522202: LONG TERM OPER-PIMCO PD RESIDENTIAL ASSET 03-RSl 1 AIIB VAR RT 4/25/2004 100.0000 -19,700.070 -19,700.07 19,700.07 0.00 12/25/2033 DD 12/30 /03 4/25/2004 SEC ID: 760985K83 4/25/2004 OCSF07522202: LONG TERM OPER-PIMCO TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: -1,965,538.650 -2,006,147.02 1,965,538.65 -40,608.37 TOTAL FIXED INCOME SECURITIES BASE: -1,965,538.650 -2,006,147.02 1,965,538.65 -40,608.37 TOTAL PRINCIPAL PAYMENTS BASE: -1,965,538.650 -2,006,147.02 1,965,538.65 -40,608.37 5/11/2004 8:15:42AM PDT 35 Workbench ® Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2 &6•1:&2162 /, 007 • D C 4/1/2004 -4/30/2004 Status: FINAL .~ : I -.. "' •. j I •~ i Trade Date -I ·,.:-, •u It:~ 1 ' ...! • • I ,1 • t '"~~ ···,,•Price \ 1~., ~ ' , . 1• ·., h • r ! • • .k ;,\' ....-1 -~." j ~-t·-•a. Cost 'I 411 .• -·_ Amount Net Gain/Loss Tran -,,• I• Settle Date ' r-_;..: . :,l~ Type De1criptlon Shares /Par ~ •· n ,,, Reported Date Ba•e . Base Base Base '' .-.. i MATURITIES CASH & CASH EQUIVALENTS U.S. DOLLAR MT FEDERAL HOME LN BK CONS DISC N MAT 4/21/2004 100.0000 -1,000,000.000 -999,975.28 999,975.28 0.00 04/21/2004 4/21/2004 SEC ID: 313384VW6 4/21/2004 OCSF07511102: LIQUID OPER-PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 4/30/2004 100.0000 -200,000.000 -199,994.89 199,994.89 0.00 04/30/2004 4/30/2004 SEC ID: 313384WF2 4/30/2004 OCSF07522202: LONG TERM OPER-PIMCO MT U S TR:E!ASURY BILL 0.000% 04/29/2004 DD 4/29/2004 100.0000 -8,000,000.000 -7,958,746.66 7,958,746.66 0.00 10/30/03 4/29/2004 SEC ID: 9 12795PW5 4/29/2004 OCSF07522202: LONG TERM OPER-PIMCO TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: -9,200,000.000 -9,158,716.83 9,158,716.83 0.00 TOTAL CASH & CASH EQUIVALENTS BASE: -9,200,000.000 -9, 158,716.83 9,158,716.83 0.00 FIXED INCOME SECURITIES U.S. DOLLAR MT ASSOClATES CORP NORTH AMER 5.800% 4/20/2004 100.0000 -1,000,000.000 -1,041,290.00 1,000,000.00 -41,290.00 04/20/2004 DD 04/20/99 4/20/2004 SEC ID: 046003KA6 4/20/2004 OCSF07511102 : LIQUID OPER-PIMCO MT FEDERAL HOME LN MTG CORP DEB 3.750% 4/15/2004 100.0000 -1,100,000.000 -1,125,905.00 1,100,000.00 -25,905.00 04/15/2004 DD 04/ 15 /02 4/15/2004 SEC ID: 3134A4PH1 4/15/2004 OCSF07511102: LIQUID OPER-PIMCO MT GENERAL ELEC CAP MTN #TR00534 VAR RT 4/22/2004 100.0000 -2,500,000.000 -2,500, 172.50 2,500,000.00 -172.50 04/22/2004 DD 04/22/02 4/22/2004 SEC ID: 36962GYF5 4/22/2004 OCSF07511102: LIQUID OPER-PIMCO MT LEHMAN BROS HLDGS INC 6.625% 4/1/2004 100.0000 -1,000,000.000 -1,045,590.00 1,000,000.00 -45,590.00 04/01/2004 DD 03/26 /99 4/1/2004 SEC ID: 524908BZ2 4/1/2004 OCSF07511102: LIQUID OPER-PIMCO 5/11/2004 8:15:42AM PDT 36 Workbench - @ Transaction Detail Report ID: EWB009 M,ellon Reported by Transaction Category Base Currency: USD 2 &6rn&2162 /, •n7• • C 4/1/2004 -4/30/2004 Status: FINAL ,~ I Trade Dat.e -, .. ' .. ?' .·-~ . '1,:1 ' Price Net Gain/Losa Tran I -• , r • , Settle Date ' ~ Cost Amount . Type Description Reported Date Base Shares/Par ,-Base Base Base •.'I'-.. •- MT NORWEST FINL INC NTS 7.200%04/01/2004 4/1/2004 100.0000 -520,000.000 -531,538.80 520,000.00 -11,538.80 DD 04/07/97 4/1/2004 SEC ID: 669383DG3 4/1/2004 OCSF07511102: LIQUID OPER-PIMCO MT PHILIP MORRIS COS INC NTS 7 .500% 4/1/2004 100.0000 -1,000,000.000 -1,052,600.00 1,000,000.00 -52,600.00 04/01/2004 DD 04/01 /97 4/1/2004 SEC ID; 718154CH8 4/1/2004 OCSF07522202: LONGTERM OPER-PIMCO TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: -7,120,000.000 -7,297,096.30 7,120,000.00 -177,096.30 TOTAL FIXED INCOME SECURITIES BASE: -7, 120,000.000 -7,297,096.30 7,120,000.00 -177,096.30 TOTAL MATURITIES BASE: -16,320,000.000 -16,455,813.13 16,278,716.83 -177,096.30 INTEREST CASH & CASH EQUIVALENTS U.S. DOLLAR IT FEDERAL HOME LN BK CONS DISC N MAT 4/21/2004 1,000,000.000 24.72 24.72 0.00 04/21/2004 4/21/2004 SEC ID: 313384VW6 4/21/2004 OCSF07511102: LIQUID OPER-PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 4/30/2004 200,000.000 5.11 5.11 0.00 04/30/2004 4/30/2004 SEC ID: 313384WF2 4/30/2004 OCSF07522202: LONG TERM OPER-PIMCO IT US TREASURY BILL 0.000% 04/29/2004 DD 4/29/2004 8,000,000.000 41,253.34 41,253.34 0.00 10/ 30/03 4/29/2004 SEC ID: 912795PWS 4/29/2004 OCSF07522202: LONG TERM OPER-PIMCO cw SHORT TERM FDS INT ADJ NET OF 4/30/2004 0.000 -3,768.75 -3,768.75 0.00 OVERNIGHT INTEREST 4/30/2004 SEC ID: 990000PJ4 4/30/2004 OCSF07511102: LIQUID OPER-PIMCO IT DREYFUS TREASURY CASH MGMT 4/2/2004 0.000 954.64 954.64 0.00 SEC ID: 996085247 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 4/2/2004 5/11/2004 8:15:42AM PDT 37 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•[&2162 / ,••7 •• C 4/1/2004 -4/30/2004 Status: FINAL . Trade Date -· I . ' } ' ' I -Price ' .. ' Cost Net Gain/Loss Tran Settle Date -Amount I t ... f ,r I • ' Type Deacriptlo~ 1 , . 11 ....... .t, Reported Date Base Shares/Par ,·t Base Base Base ~ . . IT DREY.FUS TREASURY CASI:! MGMT 4/2/2004 0.000 463.35 463.35 0.00 SEC ID: 996085247 4/1/2004 OCSF0751 l 102; LIQUID OPER-PIMCO 4/2/2004 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 9,200,000.000 38,932.41 38,932.41 0.00 TOTAL CASH & CASH EQUIVALENTS BASE: 9,200,000.000 38,932.41 38,932.41 0.00 FIXED INCOME SECURITIES U.S. DOLLAR IT ASSOCIATES CORP NORTH AMER 5.800% 4/20/2004 1,000,000.000 29,000.00 29,000.00 0.00 04/20/2004 DD 04/20 /99 4/20/2004 SEC ID: 046003KA6 4/20/2004 OCSF0751 ll02: LIQUID OPER-PIMCO IT WMP/HUNTOON PAIGE #000-11150 7.500% 4/30/2004 791.200 5,892.49 5,892.49 0.00 12/01/2030 DD 10/21 /99 4/1/2004 SEC JD: 302998GE3 4/30/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FHLMC GROUP#G4-0353 7.500% 10/01/2004 4/15/2004 26,328.820 318.24 318.24 0.00 DD 03/01/99 4/1/2004 SEC ID: 3128DBMA2 4/15/2004 OCSF07522202; LONG TERM OPER-PIMCO IT FHLMC MULTICLASS MTG SER E3 A VAR RT 4/19/2004 22,859.300 3,242.97 3,242.97 0.00 08/15/2032 DD 12/01 /97 3/1/2004 SEC ID: 3133TCE95 4/19/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FEDERAL HOME LN MTG CORP DEB 3.750% 4/15/2004 1,100,000.000 20,625.00 20,625.00 0.00 04/15/2004 DD 04/15/02 4/15/2004 SEC ID: 3134A4PH1 4/15/2004 OCSF07511102: LIQUID OPER-PIMCO IT FHLMC GROUP#78-6064 6.384% 01/01/2028 4/19/2004 179.660 215.44 215.44 0.00 DD 12/01/97 3/1/2004 SEC ID: 31348SWZ3 4/19/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0254510 5.000% 11/01/2017 4/26/2004 23,197.340 3,349.37 3,349.37 0.00 DD 10/01/02 4/1/2004 SEC ID: 31371KVB4 4/26/2004 OCSF07522202: LONGTERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 38 Workbench Transaction Detail ' - @ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6rn&2162/ ,nm•• C 4/1/2004 -4/30/2004 Status: FINAL I Trade Date -' • ... , . ..I .. -_._ . -Tran . -Price Cost ' Amount Net Gain/Lon Settle Date ·'• Type Description .. ' Reported Date Baae Shares/Par ,. \ ~~ . Base ' Base Base IT FNMA POOL #0254631 5.000% 02/01/2018 4/26/2004 4,716.700 714.21 714.21 0.00 DD 01/01/03 4/1/2004 SEC ID: 31371KY47 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0254760 5.000%06/01/2018 4/26/2004 4,065.970 642.16 642.16 0.00 DD 05/01/03 4/1/2004 SEC ID: 31371KSV9 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0254866 5.000% 09/01/2018 4/26/2004 1,465.670 282.59 282.59 0.00 DD 08/01/03 4/1/2004 SEC ID: 31371 LCB3 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0254953 5.000% 11/01/2018 4/26/2004 8,178.100 1,487.63 1,487.63 0.00 DD 10/01/03 4/1/2004 SEC ID: 31371LE21 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0254987 5.000% 12/01/2018 4/26/2004 25,393.110 4,029.91 4,029.91 0.00 DD 11/01/03 4/1/2004 SEC ID: 31371LF46 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0323980 6.000%04/01/2014 4/26/2004 7,369.930 962.09 962.09 0.00 DD 09/01/99 4/1/2004 SEC ID: 31374T2MO 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0357328 5.000% 01/01/2018 4/26/2004 987.090 126.19 126.19 0.00 DD 01 /01/03 4/1/2004 SEC ID: 31376J4M8 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0357430 5.000% 09/01/2018 4/26/2004 43,790.960 6,433.40 6,433.40 0.00 DD 09/01/03 4/1/2004 SEC ID: 31376KA71 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0456482 6.000%02/01/2014 4/26/2004 4,892.860 301.70 301.70 0.00 DD 02/01/99 4/1/2004 SEC ID: 31381 CCT2 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 39 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•!:&2162 / ,un7•n C 4/1/2004 -4/30/2004 Status: FINAL t !. J~ ,;:·-Trade Dau .. 11>1,';;:~,.r-.. ~-1 ' Tran .-,._t " I Settle Date Price -. ' '~ ~\~' Cost Amount Net Gain/Lou ' i • I ~. ~ ,._.1 " ., ·. • I - Type Description ·~ .. Reported Date Base Shares/Par ,·1•r..,• .. ;~:. Base Base Base - IT FNMA POOL #0509649 6.000% 09/01/2014 4/26/2004 1,049.550 742.81 742.81 0.00 DD 09/01/99 4/1/2004 SEC ID: 31383QEWO 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0535451 6.000% 06/01/2015 4/26/2004 6,318.550 762.26 762.26 0.00 DD 07 /01/00 4/1/2004 SEC ID: 31384 VZQ8 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0535672 6.000%01/01/2016 4/26/2004 126,499.420 16,394.67 16,394.67 0.00 DD 12/01/00 4/1/2004 SEC ID: 31384WCH1 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0545296 6.000% 11/01/2016 4/26/2004 52,883.060 5,300.72 5,300.72 0.00 DD 10/01/01 4/1/2004 SEC ID: 31385HXZO 4/26/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT FNMA POOL #0545580 6.000% 03/01/2017 4/26/2004 4,800.230 441.72 441.72 0.00 DD 03/01/02 4/1/2004 SEC ID: 31385JCR7 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0555101 6.000% 10 /01/2017 4/26/2004 7,240.010 807.68 807.68 0.00 DD 11/01/02 4/1/2004 SEC ID: 31385WU23 4/26/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT FNMA POOL #0555363 5.000% 04 /01/2018 4/26/2004 10,241.780 1,537.13 1,537.13 0.00 DD 03/01/03 4/1/2004 SEC ID: 31385W5Yl 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0555453 5.000% 05/01/2018 4/26/2004 1,167.260 157.85 157.85 0.00 DD 04/01/03 4/1/2004 SEC ID: 31385XBW6 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0555545 5.000%06/01/2018 4/26/2004 9,715.810 1,281.02 1,281.02 0.00 DD 05/01/03 4/1/2004 SEC ID: 31385XES2 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 B:15:42AM PDT 40 Wor:kbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•1&2162/ ,••700 C 4/1/2004 -4/30/2004 Status: FINAL Tra.Je Date, .. Price . ' ,, ... Cost Amount Net Gain/Loss Tran ; ;_, I Settle Date r ~,~~ .. ·<>r ~ Type Description . " ~,l .. : -,L,t,.1 I• ,•.~ ,,. r 1 ,. .1:... Rep~rted Date Baee Shares/Par ~ l"I' ~•.,. J -c I Ba•e Base . " Base J ..• ,. -,.,· ' . ' IT FNMA POOL #0555621 5.000% 07/01/2018 4/26/2004 30,727.030 4,441.48 4,441.48 0.00 DD 06/01/03 4/1/2004 SEC ID: 31385XG68 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0576386 6.000%05/01/2016 4/26/2004 4,365.770 319.54 319.54 0.00 DD 05/01/01 4/1/2004 SEC ID: 31386XJ72 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0576739 6.000% 04/01/2016 4/26/2004 26,893.560 755.95 755.95 0.00 DD 04/01/01 4/1/2004 SEC ID: 31386XV86 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0580888 6.000% 05 /01/2016 4/26/2004 15,482.490 1,069.36 1,069.36 0.00 DD 05/01/01 4/1/2004 SEC ID: 31387DJ91 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0594002 6.000% 07/01/2016 4/26/2004 846.870 815.89 815.89 0.00 DD 07 /01/01 4/1/2004 SEC ID: 31387T3K8 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0597376 6.000%09/01/2016 4/26/2004 10,151.900 1,160.33 1,160.33 0.00 DD 08/01/01 4/1/2004 SEC ID: 31387XT96 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0605259 6.000% 09/01/2016 4/26/2004 892.820 689.20 689.20 0.00 DD 09/01/01 4/1/2004 SEC ID: 31388HMG 1 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0608366 6.000% 10/01/2016 4/26/2004 5,600.360 430.65 430.65 0.00 DD 09/01/01 4/1/2004 SEC ID: 31388LZ78 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0616734 6.000% 12/01/2016 4/26/2004 724.810 842.15 842.15 0.00 DD 12/01/01 4/1/2004 SEC ID: 31388WEF9 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 41 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6m&2162 / ,••7 • • C 4/1/2004 -4/30/2004 Status: FINAL Trade Date , ' ... Tran . S.,ttle Date Price ,,, Cost Amount Net Gain/Loss ••l f ....,• p Type Description ' Reported Date Base Shares /Par . i;. . Base l < Base Base -.. ., IT FNMA POOL#0630812 6.000%02/01/2017 4/26/2004 2,598.200 799.03 799.03 0.00 DD 02/01/02 4/1/2004 SEC ID: 31389NYH2 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #06323 76 6.000% 07 /01/2017 4/26/2004 27,392.590 3,858.02 3,858.02 0.00 DD 07 /01/02 4/1/2004 SEC ID: 31389QQSO 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0653116 6.000% 07/01/2017 4/26/2004 28,170.280 2,196.41 2,196.41 0.00 DD 07 /01/02 4/1/2004 SEC ID: 31390QSD8 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0673280 6.000%08/01/2017 4/26/2004 1,039.640 932.41 932.41 0.00 DD 11/01/02 4/1/2004 SEC ID: 31391P6R2 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0681309 5.000% 02/01/2018 4/26/2004 14,171.820 2,324.61 2,324.61 0.00 DD 02/01/03 4/1/2004 SEC ID: 31391 Y3S4 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0681334 5.000% 02/01/2018 4/26/2004 2,322.110 290.77 290.77 0.00 DD 01/01/03 4/1/2004 SEC ID: 31391Y4Tl 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0684908 5.000% 06/01/2018 4/26/2004 3,846.590 1,445.76 1,445.76 0.00 DD 05/01/03 4/1/2004 SEC ID: 31400D3Rl 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0685200 5.000% 03/01/2018 4/26/2004 5,821.330 820.45 820.45 0.00 DD 03/01/03 4/1/2004 SEC ID: 31400EGH7 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0685665 5.000%02/01/2018 4/26/2004 1,103.470 147.55 147.55 0.00 DD 02/01/03 4/1/2004 SEC ID: 31400EW22 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 42 Workbench . - ® Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6oc&2162 / .uo7o n C 4/1/2004 -4/30/2004 Status: FINAL I . r Trade Date -. :. I ·t • I ' -~ . Tran " -' ' ·•. Settle Date Price . ' Cost Amount Net Gain/Loss . ' ; ' I . ~· . ·: . Type Description Reported Date Base Shares/Par ~ -· 1 Base Base Base , t-·-·--.. IT FNMA POOL#0686318 5.000%03/01/2018 4/26/2004 9,598.360 1,247.54 1,247.54 0.00 DD 03/01/03 4/1/2004 SEC ID: 31400FP87 4/26/2004 OCSF07522202: LONGTERM OPER-PIMCO IT FNMA POOL #0688739 5.000% 06/01/2018 4/26/2004 7,038.950 484.72 484.72 0.00 DD 06/01/03 4/1/2004 SEC ID: 31400JEL9 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0689859 5.000% 05/01/2018 4/26/2004 504.380 497.22 497.22 0.00 DD 05/01/03 4/1/2004 SEC ID: 31400KMG8 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0693834 5.000% 03/01/2018 4/26/2004 15,984.600 2,980.29 2,980.29 0.00 DD 03/01/03 4/1/2004 SEC ID: 31400PY74 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0695852 5.000% 05/01/2018 4/26/2004 12,180.380 1,091.21 1,091.21 0.00 DD 05/01/03 4/1/2004 SEC ID: 31400SBVO 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0695889 5.000% 05/01/2018 4/26/2004 27,196.440 3,398.64 3,398.64 0.00 DD 05/01/03 4/1/2004 SEC ID: 31400SC23 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0697026 5.000% 05 /01/2018 4/26/2004 863.800 106.96 106.96 0.00 DD 04/01/03 4/1/2004 SEC ID: 31400TLF2 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0698939 6.000%09/01/2017 4/26/2004 24,946.170 452.26 452.26 0.00 DD 03/01/03 4/1/2004 SEC ID: 31400VPY2 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0702210 5.000%05/01/2018 4/26/2004 21,349.140 1,085.32 1,085.32 0.00 DD 05/01/03 4/1/2004 SEC ID: 31401ADP9 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8: 15:42AM PDT 43 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•[&2162/, ••7• D C 4/1/2004 -4/30/2004 Status: FINAL .. Trade Date -'t,. ll ..,1 • .. ' --I • ·j .. . " ' -J • , · Price .. •·"' Amount ''· ~ Net Gain/Loss Tran II Settle Date ., j, .. Cost ' . J ~ :-"' .... ,, j , .. \ ' ... .•. f Type Descripti~n . Reported Date Shares/Par ".•l. • !',._ .-.,} -I Base , ._ ,, Base . -Base Base . . . IT FNMA POOL #0702328 5.000% 05/01/2018 4/26/2004 738.260 607.04 607.04 0.00 DD 04/01/03 4/1/2004 SEC ID: 31401AHD2 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0703195 6.000% 01 /01/2017 4/26/2004 907.290 386.21 386.21 0.00 DD 04/01/03 4/1/2004 SEC ID: 314018GC3 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0709148 5.000% 06/01/2018 4/26/2004 4,039.820 1,231.88 1,231.88 0.00 DD 06/01/03 4/1/2004 SEC ID: 31401HZM7 4/26/2004 OCSF07522202: LONG TERM OPER·PIMCO IT FNMA POOL #0709360 5.000% 07/01/2018 4/26/2004 28,330.790 2,866.95 2,866.95 0.00 DD 06/01/03 4/1/2004 SEC ID: 31401JB56 4/26/2004 OCSF07522202: LONGTERM OPER·PIMCO IT FNMA POOL #0709826 5.000% 06/01/2018 4/26/2004 7,052.110 566.37 566.37 0.00 DD 06/01/03 4/1/2004 SEC ID: 31401JSP4 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0709917 5.000% 06/01/2018 4/26/2004 5,217.740 1,076.60 1,076.60 0.00 DD 06/01/03 4/1/2004 SEC ID: 31401JVJ4 4/26/2004 OCSF07522202: LONG TERM OPER·PIMCO IT FNMA POOL #0709963 5.000% 06/01/2018 4/26/2004 2,415.700 109.82 109.82 0.00 DD 06/01/03 4/1/2004 SEC ID: 31401JWYO 4/26/2004 OCSF07522202: LONG TERM OPER·PIMCO IT FNMA POOL #0710235 5.000% 06/01/2018 4/26/2004 65,157.310 3,189.96 3,189.96 0.00 DD 06/01/03 4/1/2004 SEC ID: 31401KBC8 4/26/2004 OCSF07522202: LONG TERM OPER·PIMCO IT FNMA POOL #0713344 5.000% 06/01/2018 4/26/2004 1,978.120 99.58 99.58 0.00 DD 06/01/03 4/1/2004 SEC ID: 31401NP52 4/26/2004 OCSF07522202: LONG TERM OPER·PIMCO 5/11/2004 8: 15:42AM PDT 44 Workbench Transaction Detail . @ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•1&2162 / ,••700 C 4/1/2004 -4/30/2004 Status: FINAL Ttade Date " , Price ·-r . . Coiit . Amount Net Gain/Losa Tran .. ,~ "'} -.. Settle Date " ' . ,. .•. ,. ii'{;-··· 1• ~ j, ,.-l.l .. ' J.1 ,. ~ Type Des9riptio ... ii.-..! ,-"•t i'' Shares/Par ·?:;., ~ .97"-,-, Bue · 1 ~ . ' ·• 1t • Reported Date Bate _y 'I Base Bade . '--'• . IT FNMA POOL#0713365 5.000%07/01/2018 4/26/2004 5,529.540 1,346.53 1,346.53 0.00 DD 07 /01/03 4/1/2004 SEC ID: 31401NQS1 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0720319 5.000%07/01/2018 4/26/2004 33,258.720 3,715.97 3,715.97 0.00 DD 07 /01/03 4/1/2004 SEC ID: 31401WG45 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0720369 5.000% 06/01/2018 4/26/2004 35,481.540 9,919.01 9,919.01 0.00 DD 06/01/03 4/1/2004 SEC ID: 31401 WJNO 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0721629 5.000% 07/01/2018 4/26/2004 1,447.150 1,275.29 1,275.29 0.00 DD 06/01/03 4/1/2004 SEC ID: 31401XVW4 4/26/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT FNMA POOL #0723487 5.000% 06/01/2018 4/26/2004 971.650 1,043.00 1,043.00 0.00 DD 06/01/03 4/1/2004 SEC ID: 31402AXQ4 4/26/2004 OCSF07522202: LONG TERM OPER -PIMCO IT FNMA POOL #0729601 5.000% 07/01/2018 4/26/2004 5,473.330 1,739.53 1,739.53 0.00 DD 07 /01/03 4/1/2004 SEC ID: 31402HRW3 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0732873 5.000% 11/01/2018 4/26/2004 137.840 150.72 150.72 0.00 DD 10/01/03 4/1/2004 SEC ID: 31402MFN5 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0737130 5.000% 10/01/2018 4/26/2004 19,483.020 3,041.93 3,041.93 0.00 DD 10/01/03 4/1/2004 SEC ID: 31402S4P9 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0738211 5.000% 10/01/2018 4/26/2004 18,354.000 2,403.94 2,403.94 0.00 DD 10/01/03 4/1/2004 SEC ID: 31402UDQ2 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8: l 5:42AM PDT 45 Workbench @ Transaction Detail ReportlD: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6nr&2162 / ,Lm7n n C 4/1/2004 -4/30/2004 Status: FINAL . ,, . . Trade Date ·;, i •. I,: ... ' . •' "-.·, 1!-, .. ,.. -· Tran ·r ,. Settle Date Price • -: ' 1, Cost Amount ·,, Net Gain/Loss . ' , ,; •· I I •~ , I I' ~• Type Description ' Reported Date Base Shares/Par ~i. J,!ll~---. Base ' . Base Base t., ·11 ... i-1 •1 • ~ --.n ! " IT FNMA POOL #0738487 5.000% 10/01/2018 4/26/2004 7,018.380 899.16 899.16 0.00 DD 10/01/03 4/1/2004 SEC JD: 31402UNC2 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #07404 71 5.000% 10/01/2018 4/26/2004 3,246.550 2,880.30 2,880.30 0.00 DD 10/01/03 4/1/2004 SEC JD: 31402Wf40 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0740748 5.000% 10/01/2018 4/26/2004 16,891.640 3,419.16 3,419.16 0.00 DD 11/01/03 4/1/2004 SEC JD: 31402WSH7 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0743868 5.000% 11/01/2018 4/26/2004 365.090 180.57 180.57 0.00 DD 10/01/03 4/1/2004 SEC ID: 31403BMR1 4/26/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT FNMA POOL #0744008 5.000% 07/01/2018 4/26/2004 5,611.700 4,740.80 4,740.80 0.00 DD 09/01/03 4/1/2004 SEC ID: 31403BR54 4/26/2004 OCSF0752 2202 : LONG TERM OPER-PIMCO IT FNMA POOL #0744316 5.000% 09/01/2018 4/26/2004 5,669.320 701.25 701.25 0.00 DD 09/01/03 4/1/2004 SEC ID: 31403B324 4/26/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT FNMA POOL #0747914 5.000% 11/01/2018 4/26/2004 1,853.970 1,493.09 1,493.09 0.00 DD 11 /01/03 4/1/2004 SEC ID: 31403F3XO 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0748400 5.000% 08/01/2018 4/26/2004 11,011.980 1,005.64 1,005.64 0.00 DD 09/01/03 4/1/2004 SEC ID: 31403GNR9 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0748899 5.000% 12/01/2018 4/26/2004 11,177.310 4,233.84 4,233.84 0.00 DD 11 /01/03 4/1/2004 SEC ID: 31403G7LO 4/26/2004 OCSF07522202 : LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 46 Workbench . - @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6Dl&2162 / ,••7• • C 4/1/2004 -4/30/2004 Status: FINAL Trade Date " ,,. ~I r . . -~ ~ 1,'. '7'• Tran . Price .. , . Cost Amount Net Gain/Loss Settle Date .,._., •-r, I•• ·: •• •7 ' • 1 Type Deacrli,tloli .-,c~ I' :! . Reported Date Base Shares/Par Base 't' Base -= ••. Base 0'1 I -Jt r . . I . IT FNMA POOL #0750377 5.000% 11/01/2018 4/26/2004 78,379.300 10,462.54 10,462.54 0.00 DD 11/01/03 4/1/2004 SEC ID: 31403JUA2 4/26/2004 OCSF07522202: LONG TERM OPER-PlMCO IT FNMA POOL #0750380 5.000% 11/01/2018 4/26/2004 37,199.410 8,614.62 8,614.62 0.00 DD 11/01/03 4/1/2004 SEC ID: 31403JUD6 4/26/2004 OCSF07522202 : LONG TERM OPER-PlMCO IT FNMA POOL#0750445 5.000%11/01/2018 4/26/2004 20,186.190 799.38 799.38 0.00 DD 11 /01/03 4/1/2004 SEC ID: 31403JWE2 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0751960 5.000% 12 /01/2018 4/26/2004 9,455.960 3,695.77 3,695.77 0.00 DD 11/01/03 4/1/2004 SEC ID: 31403LMH1 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0753425 5.000% 11/01/2018 4/26/2004 18,216.230 3,984.83 3,984.83 0.00 DD 11 /01/03 4/1/2004 SEC ID: 31403NA23 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0755165 5.000% 12/01/2018 4/26/2004 2,607.970 2,611.58 2,611.58 0.00 DD 11/01/03 4/1/2004 SEC ID: 31403Q6A3 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0756372 5.000% 11/01/2018 4/26/2004 4,094.210 4,098.71 4,098.71 0.00 DD 11/01/03 4/1/2004 SEC ID: 31403SJR8 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0596612 6.500% 09/15/2032 4/15/2004 355.530 1,613.65 1,613.65 0.00 DD 09/01/02 4/1/2004 SEC ID: 36200BYH4 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0569358 6.500% 04/15/2032 4/15/2004 84,910.560 5,716.25 5,716.25 0.00 DD 04/01/02 4/1/2004 SEC ID: 36200QQK3 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 47 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2 &60(&2162 /, 0070 0 C 4/1/2004 -4/30/2004 Status: FINAL Trade Date . ·r . .Prfce I Net Gain/Loss Tran . Settle Date J\, , i'. 11:,' Cost Amount ' Type Description 't Reported~ Date Base Shares/Par I Base Baie Base IT GNMA POOL#0569685 6.500% 02/15/2032 4/15/2004 2,942.990 247.14 247.14 0 .00 DD 02/01/02 4/1/2004 SEC ID: 36200Q2S2 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0570019 6.500% 07/15/2032 4/15/2004 4,597.850 424.49 424.49 0.00 DD 07 /01/02 4/1/2004 SEC ID: 36200RG48 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0574323 6.500% 12/15/2031 4/15/2004 34,576.940 2,356.82 2,356.82 0.00 DD 12/01/01 4/1/2004 SEC ID: 36200WAY7 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0575364 6.500% 11/15/2031 4/15/2004 3,142.270 240.04 240.04 0.00 DD 11/01/01 4/1/2004 SEC ID: 36200XFD6 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0587117 6.500% 06/15/2032 4/15/2004 1,204.280 104.01 104.01 0.00 DD 06/01/02 4/1/2004 SEC ID: 36201MG22 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0587439 6.500% 11/15/2032 4/15/2004 1,330.780 302.09 302.09 0.00 DD 12/01/02 4/1/2004 SEC ID: 36201MS45 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0421389 6.500% 04/15/2026 4/15/2004 1,211.430 73.47 73.47 0 .00 DD 04/01/96 4/1/2004 SEC ID: 36206UC23 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0438057 6.000% 05/15/2028 4/15/2004 26.780 92.77 92.77 0.00 DD 05/01/98 4/1/2004 SEC ID: 36207PTN9 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0449851 6.500% 01/15/2028 4/15/2004 2,662.580 123.49 123.49 0.00 DD 01/01/98 4/1/2004 SEC ID: 36208FWLO 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 48 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2 &6oi:&2162 /, oo7o n C 4/1/2004 -4/30/2004 Status: FINAL Trade Date Tran .. :.J. " . Settle Date Price r. r , •!__.,, .... "\~ ."14 li • Cost T A.mount Net Gain/Loss • I• • l-=-t -, ' ,· ~ ...,;.··"'•4. ,c ~: •. '.t' ·t, '. . ' Type Descrfptton . .,. • . ~ ,J· .• ~,, Reported Date Baae Shares/Par \. ~----~ .. : -Base ' l , Base -.. , ~:h •• Base --~ '• I L! IT GNMA POOL#0457814 6.000% 10/15/2028 4/15/2004 652.040 177.14 177.14 0.00 DD 10/01/98 4/1/2004 SEC ID: 36208QSB3 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0465546 6.000% 08/15/2028 4/15/2004 16,198.020 2,282.52 2,282.52 0.00 DD 08/01/98 4/1/2004 SEC ID: 36209AET3 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0465555 6.000% 09/15/2028 4/15/2004 17,359.600 2,458.27 2,458.27 0.00 DD 09/01/98 4/1/2004 SEC ID: 36209AE48 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0466845 6.500% 06/15/2028 4/15/2004 77.560 310.04 310.04 0.00 DD 06/01/98 4/1/2004 SEC ID: 36209BTA6 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0467279 6.000% 10/15/2028 4/15/2004 34.290 102.75 102.75 0.00 DD 10/01/98 4/1/2004 SEC ID: 36209CCQ7 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0467286 6.000% 10/15/2028 4/15/2004 46,213.380 1,982.10 1,982.10 0.00 DD 10/01/98 4/1/2004 SEC ID: 36209CCX2 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0468052 6.500% 07/15/2028 4/15/2004 168.300 610,96 610.96 0.00 DD 07 /01/98 4/1/2004 SEC ID: 36209C5M4 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0468330 6.000% 05/15/2028 4/15/2004 5,372.660 93.81 93.81 0.00 DD 05/01/98 4/1/2004 SEC ID: 36209DHF4 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0468339 6.000% 08/15/2028 4/15/2004 32,846.100 1,515.44 1,515.44 0.00 DD 08/01/98 4/1/2004 SEC ID: 36209DHQO 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 49 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6m&2162/ ,nn7rJ • C 4/1/2004 -4/30/2004 Status: FINAL Trade Date Ti'an Settle Date Price -Cost Amount Net Gain/Loss ' Type Description Reported Date Base Shares/Par I Base Base Base I IT GNMA POOL#0469688 6.000% 11/15/2028 4/15/2004 1,359.160 71.68 71.68 0.00 DD 11/01/98 4/1/2004 SEC ID: 36209EXR8 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0476041 6.500% 06/15/2028 4/15/2004 260.530 939.45 939.45 0.00 DD 06/01/98 4/1/2004 SEC ID: 36209MZE7 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0478626 6.500% 01/15/2029 4/15/2004 22,117.970 886.40 886.40 0.00 DD 01/01/99 4/1/2004 SEC ID: 36209QVf9 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0480598 6.500% 10/15/2028 4/15/2004 93,584.520 664.44 664.44 0.00 DD 10/01/98 4/1/2004 SEC ID: 36209S3F6 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0483452 6.000% 09/15/2028 4/15/2004 19.610 65.66 65.66 0.00 DD 09/01/98 4/1/2004 SEC ID: 36209WBV3 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0485527 6.500%06/15/2031 4/15/2004 10,137.510 2,240.05 2,240.05 0.00 DD 06/01/01 4/1/2004 SEC ID: 36209YLG 1 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0485610 6.500% 07/15/2031 4/15/2004 51,204.150 2,473.99 2,473.99 0.00 DD 07 /01/01 4/1/2004 SEC ID: 36209YN38 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0485682 6.500% 08/15/2031 4/15/2004 9,242.490 479.02 479.02 0.00 DD 08/01/01 4/1/2004 SEC ID: 36209YRB6 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0485703 6.500% 08/15/2031 4/15/2004 9,960.290 393.78 393.78 0.00 DD 08/01/01 4/1/2004 SEC ID: 36209YRY6 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8: 15:42AM PDT 50 Workbench Transaction Detail A ~ @ Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&6•[&2162 /, ••7• D C 4/1/2004 -4/30/2004 Status: FINAL Trade Date . j ' • Price ~ ' ' Net Gain/Loss Tran Settle Date ,. .. Cost . Amount Type Description Shares/Par . ... , Reported Date Base ' . Base Base Base .. IT GNMA POOL #0486720 6.000% 12/15/2028 4/15/2004 175.670 56.91 56.91 0.00 DD 12/01/98 4/1/2004 SEC ID: 36210AVM6 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0491103 6.000% 01/15/2029 4/15/2004 4,509.960 485.59 485.59 0.00 DD 01/01/99 4/1/2004 SEC ID: 36210FRY4 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0496461 6.000% 01/15/2029 4/15/2004 17,638.950 1,886.43 1,886.43 0.00 DD 01/01/99 4/1/2004 SEC ID: 36210MQN4 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0497343 6. 000% 12/15/2028 4/15/2004 33.350 104.62 104.62 0.00 DD 12/01/98 4/1/2004 SEC ID: 36210NP45 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0499153 6.000% 02/15/2029 4/15/2004 28.130 63.05 63.05 0.00 DD 02/01/99 4/1/2004 SEC ID: 36210QQE5 4/15/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT GNMA POOL #0500917 6.000% 04/15/2029 4/15/2004 277.040 27.89 27.89 0.00 DD 04/01/99 4/1/2004 SEC ID: 36210SPAO 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0503388 6.000% 03/15/2029 4/15/2004 38,006.760 1,454.80 1,454.80 0.00 DD 03/01/99 4/1/2004 SEC ID: 36210VF55 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0506636 6.000"/o 04/15/2029 4/15/2004 590.600 163.56 163.56 0.00 DD 04/01/99 4/1/2004 SEC ID: 36210YY90 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #051223 5 6. 500% 11/15/2029 4/15/2004 17.420 58.97 58.97 0.00 DD 11 /01/99 4/1/2004 SEC ID: 36211 GBC6 4/15/2004 OCSF07522202 : LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 51 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2&60l&2162 / ,0 070 0 C 4/1/2004 -4/30/2004 Status: FINAL ,, -.. ,-~•eDate Tran ' -Price -. Cost ' Amount Net Gain/Loss Settle Date -:c, -~ ,.· •·-· _ .. ,_ ;.: L . 'L ,;. ,,_ \ l Type Descrlptl~n Reported Date Base Shares/Par ~ • ' .. r, Base Base .. .• Batie -'' IT GNMA POOL #0514326 6.500% 07/15/2029 4/15/2004 336.060 765.89 765.89 0.00 DD 07 /01/99 4/1/2004 SEC ID: 36211JLF2 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0530053 6.500% 04/15/2031 4/15/2004 3,205.740 253.23 253.23 0.00 DD 04/01/01 4/1/2004 SEC ID: 36212CZS3 4/15/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT GNMA POOL#0537885 6.500% 02/15/2031 4/15/2004 11,845.340 566.97 566.97 0.00 DD 02/01/01 4/1/2004 SEC ID: 36212MRE1 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0547512 6. 500% 04/15/2031 4/15/2004 531.950 59.09 59.09 0.00 DD 04/01/01 4/1/2004 SEC ID: 36212YGV9 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0547715 6. 500% 02/15/2031 4/15/2004 168.910 692.44 692.44 0.00 DD 02/01/01 4/1/2004 SEC ID: 36212YN82 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0552322 6.500% 01/15/2032 4/15/2004 3,483.840 360.20 360.20 0.00 DD 01/01/02 4/1/2004 SEC ID: 36213ESK3 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0552466 6.500% 03/15/2032 4/15/2004 42,057.190 2,594.38 2,594.38 0.00 DD 03/01/02 4/1/2004 SEC ID: 36213EW36 4/15/2004 OCSF07522202: LONGTERM OPER-PIMCO IT GNMA POOL#0552659 6.500% 07/15/2032 4/15/2004 8,231.350 2,114.11 2,114.11 0.00 DD 07 /01/02 4/1/2004 SEC ID: 36213E5U6 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0561017 6.500% 07/15/2031 4/15/2004 41,605.540 1,947.44 1,947.44 0.00 DD 07 /01/01 4/1/2004 SEC ID: 36213QG29 4/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 52 Workbench Transaction Detail -~ @ ReportID: EWB009 . Mellon Reported by Transaction Category Base Currency: USD 2&6•[&2162 / ,••7 • • C 4/1/2004 -4/30/2004 Status: FINAL .. Trade Date ,, ., -< , "Price ' Tran ' Settle Date I ~ lJ-· :r• Cost Amount Net Gain/Loss ,, ,,, r Type Description -I. t-. ,; " 1.• Reported Date ~ Base Shares/Par Base • ~'I Base Base . .. IT GNMA II POOL #0080023 VAR RT 12/20/2026 4/20/2004 5,995.180 804.61 804.61 0.00 DD 12/01/96 4/1/2004 SEC ID: 36225CAZ9 4/20/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA II POOL#080088M 7.375%06/20/2027 4/20/2004 19,859.680 1,053.38 1,053.38 0.00 DD 06/01/97 4/1/2004 SEC ID: 36225CC20 4/20/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA II POOL #0080395 VAR RT 04/20/2030 4/20/2004 9,955.800 739.47 739.47 0.00 DD 04/01/00 4/1/2004 SEC ID: 36225CNM4 4/20/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA II POOL #080408X 6.500% 05/20/2030 4/20/2004 102,123.630 6,570.43 6,570.43 0.00 DD 05/01/00 4/1/2004 SEC ID: 36225CN28 4/20/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GENERAL ELEC CAP MTN #TR00534 VAR RT 4/22/2004 2,500,000.000 7,709.72 7,709.72 0.00 04/22/2004 DD 04/22 /02 4/22/2004 SEC ID: 36962GYFS 4/22/2004 OCSF07511102: LIQUID OPER-PIMCO IT GENERAL ELEC CAP MTN #TR 00545 VAR RT 4/20/2004 1,000,000.000 974.72 974.72 0.00 05/20/2004 DD 05/20 /02 4/20/2004 SEC ID: 36962GYS7 4/20/2004 OCSF07511102: LIQUID OPER-PIMCO IT GNMA GTD REMIC TR 2000-9 FH VAR RT 4/19/2004 21,504.500 878.88 878.88 0.00 02/16/2030 4/16/2004 SEC ID: 3837H4NX9 4/19/2004 OCSF07522202: LONG TERM OPER-PIMCO IT LEHMAN BROS HLDGS INC 6.625% 4/1/2004 1,000,000.000 33,125.00 33,125.00 0.00 04/01/2004 DD 03/26/99 4/1/2004 SEC ID: 524908B22 4/1/2004 OCSF07511102: LIQUID OPER-PIMCO IT MORGAN STANLEY NT 3.625%04/01/2008 DD 4/1/2004 3,200,000.000 58,000.00 58,000.00 0.00 03/06/03 4/1/2004 SEC ID: 617446HW2 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 5/11/2004 8:15:42AM PDT 53 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 2 &60c&2162 /, 007 0 0 C 4/1/2004 -4/30/2004 Status: FINAL r Trade· Date . -Prlce 1 Net Gaii:l/Loss Tran ·-~~~ .. r r . Settle Date -' . Cost Amount ' I I . Type Description ' '-Shares/Par ~ ' Base Base .. Base -I Reported Date . Ba•e '. ~ I -,1 .. C • 1--..... ~ ~ . .. ~ .;_, . , .. ~, IT NORWEST FINL INC NfS 7.200% 04/01/2004 4/1/2004 520,000.000 18,720.00 18,720.00 0.00 DD 04/07/97 4/1/2004 SEC ID: 669383DG3 4/1/2004 OCSF07511102: LIQUID OPER-PIMCO IT PHILIP MORRIS COS INC NTS 7 .500% 4/1/2004 1,000,000.000 37,500.00 37,500.00 0.00 04/01/2004 DD 04/01 /97 4/1/2004 SEC ID: 718154CH8 4/1/2004 OCSF07522202: LONG TERM OPER-PIMCO IT RESIDENfIAL ASSET 03-RSl 1 AIIB VAR RT 4/26/2004 19,700.070 1,214.55 1,214.55 0.00 12/25/2033 DD 12/30/03 4/25/2004 SEC ID: 760985K83 4/26/2004 OCSF07522202: LONG TERM OPER-PIMCO CD US TREASURY INFLATION INDEX Nf 3.375% 4/30/2004 0.000 89,920.00 89,920.00 0.00 01/15/2007 DD O 1/ 15 /97 SEC ID: 9128272M3 4/30/2004 OCSF07522202: LONG TERM OPER-PIMCO CD US TREASURY INFLATION INDEX NT 3.625% 4/30/2004 0.000 18,480.00 18,480.00 0.00 01/15/2008 DD O 1/ 15 /98 SEC ID: 9128273T7 4/30/2004 OCSF07522202: LONG TERM OPER-PIMCO CD US TREASURY INFLATION INDEX NT 3.875% 01/15/2009 DD 01/15/99 4/30/2004 0.000 78,910.00 78,910.00 0.00 SEC ID: 912_8274YS 4/30/2004 OCSF07522202: LONG TERM OPER-PIMCO TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: 13,290,558.210 625,622.59 625,622.59 0.00 TOTAL FIXED INCOME SECURITIES BASE: 13,290,558.210 625,622.59 625,622.59 0.00 TOTAL INTEREST BASE: 22,490,558.210 664,555.00 664,555.00 0.00 TOTAL TRANSACTIONS: 34,483,275.610 23,649,550.02 30,152.32 -256,985.82 5/11/2004 8:15:42AM PDT 54 Workbench L Callan Associates Inc. Investment Measurement Service Quarterly Review Orange County Sanitation District March 31, 2004 The following report was prepared by Callan Associates Inc. ("CAI") using information from sources that include the following: fund trustee(s); fund custodian(s); investment manager(s); CAI computer software; CAI investment manager and fund sponsor database; third party data vendors; and other outside sources as directed by the client. CAI assumes no responsibility for the accuracy or completeness of the information provided, or methodologies employed, by any information providers external to CAI. Reasonable care has been taken to assure the accuracy of the CAI database and computer software. In preparing the following report, CAI has not reviewed the risks of individual security holdings or the compliance/non-compliance of individual security holdings with investment policies and guidelines of a fund sponsor, nor has it assumed any responsibility to do so. Copyright 2004 by Callan Associates Inc. r Ill [ L L L L L L L L S.·\, FR \ ,c"c 0 '\[\\ \ORK CIIIC \GO \Tl\'\ T-\ DE'\\ ER CAILAN ASS CIXIES .. c May 3, 2004 Mr. Michael D. White Controller Orange County Sanitation Districts 10844 Ellis A venue Fountain Valley, California 92728 RE: March 31, 2004 Quarterly Performance Report Dear Mike, The March 31, 2004 Quarterly Performance Report for the District's investment portfolio is attached. This letter provides a qualitative summary of the most important points covered in the report. Market Overview After a buoyant 2003, the Dow and the tech-laden NASDAQ pulled back in the first quarter, although the S&P 500 eked out a small positive return. The March 11 terrorist attacks in Madrid rippled through the markets. OPEC's planned production cuts, the lack of job creation, and weaker-than-expected manufacturing numbers further dampened the mood of investors. Coming into the quarter, investors had not expected the fixed-income markets to perform very well due to improved economic growth and corporate earnings. However, bonds received a boost from the lackluster job market and an accommodative Federal Reserve. The Federal Funds rate is not expected to budge from its 46-year low of 1 % until the labor market can show steady employment growth. The Treasury market also benefited from buying from Asian central banks. The 10-year Treasury yield dipped 40 basis points over the quarter. For the quarter, the Lehman Aggregate advanced 2.66 percent. During the three-month period, corporate bonds (3.27%) edged U.S. Treasurys (3.06%). Returns in the defensive portion of the bond market, where the District invests, were somewhat lower than the broad market due to a shorter maturity combined with a steep yield curve. However, the 1.74 percent return on the Lehman 1-5 Year Gov/Credit Index for the quarter exceeded its yield as the reduction in interest rates caused some price appreciation. External Manager Results The return for the Liquid Operating Money account, managed by PIMCO, was 0.28 percent for the quarter, which is equivalent to the return on the 90-day Treasury bill (0.24%) on an after fee basis. While very low on an absolute basis, the returns are competitive with any institutional money market fund available, as demonstrated by the peer group ranking on page 18 of the performance report. If short term interest rates rise, the yield and return on this portfolio will also increase quickly. r L L L Mr. Michael White May 3, 2004 Page2 The Long Term Operating fund managed by PIMCO had a return for the quarter of 1.54 percent, which is significantly higher than last quarter due to the decline in interest rates. The return for the quarter slightly lags the Merrill 1-5 Year Gov/Corp benchmark return of 1.66 percent due to a shorter duration and lower corporate exposure. Inability to hold securities rated 'BBB' created a slight drag on performance ('BBB' is the rating category of lowest quality within the investment grade universe). The portfolio is now overweight the Treasury sector relative to the benchmark, in part due to a 10 percent allocation to TIPS (Treasury Inflation Protected Securities). The portfolio is significantly underweight the Corporate sector. The overall sector allocation combined with a shorter duration means that the portfolio is very defensively positioned. Longer-term performance remains competitive, but the value added relative to the benchmark has eroded over the last two years. Over the past 8 ½ years, the portfolio is in line with the benchmark and in the top quartile of the peer group. The Long Term portfolio has earned a significant premium over the Liquid Portfolio (196 basis points annualized), rewarding the District for pursuing the dual portfolio structure. The Long Term portfolio continues to hold one security rated below the 'A' rating minimum of your policy, based on Moody's ratings. The security, issued by United Airlines, is rated 'Caal.' Despite the United bankruptcy, this security appreciated in price over the quarter. A listing of the five lowest rated securities is provided on page 21 of the report. Regarding sector guidelines in the Long Term portfolio, corporate notes are less than 30 percent, and the combination of asset backed securities and mortgages remains below 20 percent. The portfolio appears to be holding a lot of Cash Equivalents, which are invested in very short maturity instruments. Please do not hesitate to call me if you have any questions. Yours truly, Ruthann C. Moomy, Ph.D., CFA Senior Vice President Mr. Michael White May3,2004 Page 3 Upcoming Callan Events June Regional Breakfast Workshops: June 16 in Chicago June 17 in San Francisco Our Regional Breakfast Workshops allow our clients the opportunity to discuss specific topics in greater detail, as well as to meet and network with other fund sponsor professionals. Manager Search in Today's Environment Presenters: Toni Brown, Jim Callahan, Karla Noyola, and Brian Zeiler In this workshop, our senior consultants and manager research specialists will take a detailed look at conducting manager searches in today's environment. The presentation will include a discussion on how fund sponsors, investment managers, and consultants are addressing the challenges of the recent market and regulatory climates. Two case studies of Callan-assisted manager searches will be presented-a domestic equity search and an international equity search, both of which incorporate the use of small cap. RECENT RESEARCH PAPERS/SUMMARIES Callan Charter Investments Institute Transition Management: Beyond the Basics -Bo Abesamis Twenty-Fourth Annual National Conference Summary Callan Defined Contribution Investments Institute Plan Investment Structure: Principles and Design -Anna R. Oakley Observations & Opinions Newsletter -Winter 2004 I L Capital Markets Review . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Active Management Overview Market Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 Domestic Fixed-Income ...................................................... 14 Asset Class Risk and Return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 Investment Manager Asset Allocation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 Investment Manager Returns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 Manager Analysis PIMCO-Liquid Operating Monies PIMCO-Liquid Operating Fund Bond Portfolio Characteristics Portfolio Characteristics Detail .............................................. 18 19 20 21 Ill : UAPITAL MARKET rev· a publication of CALLAN ASSOCIATES • r-A Nation of Manic-Depressives The GDP growth rate for the first quarter came in at 4.2%, marking the third straight quarter above 4%, which hasn't happened in IO years. Consumers kept the expansion going by f pushing the savings rate to new lows and loading up on cheap debt, and it now appears they will be rewarded with the promise of new jobs. see p2:;c 11 r Reality Takes a Bite Out of Recent Momentum The momentum from the prior quarter fizzled in March when Greenspan warned that interest rates may be on the rise and r -the U.S. trade gap widened. The S&PSuperComposite 1500 still eked out a gain of 2.14%. Stocks of all sizes rose, with the small caps taking a strong leadership role. Value outpaced r -Growth again. m· p,1gc 7 ' Patiently Waiting for Employment For the quarter, the Lehman Aggregate returned 2.66%, with r -over half the return due to the price appreciation created by declining yields. Treasury prices increased in response to a soft job report and demand from Asian central banks. The high yield market shadowed the investment grade universe, eaming2.34%. '><'I /).}','--l Real Estate Capital Surplus i l _ Demand for real estate and the tlood of capital into the markets drove performance in the first quarter of 2004. CREIF gained 2.56%. Retail led all other sector for the quarter. S{'f' JKJ_;;(• D Europe Rests, but Japan is Full Steam Ahead -The MSCI EAFE Index returned 4.3% in U.S. dollar terms for the quarter, with foreign currency strength contributing 0.3%. Japan surged 15.1 % in dollar terms, as the rate of economic expansion in the fourth quarter reached its highest t -level since 1990. Emerging markets continued its recent trend of beating developed markets, rising 9.7%. !.,·,· 11:1:;c r, L The Dollar Stabilizes Amidst Global Recovery In the first quarter, the Citigroup World Government Bond Index ex-U.S. returned 1.86% to U.S. dollar-based investors, or 1.67% in hedged terms, as the pattern of broad dollar weak- ness was broken. The euro reversed course from recent history and weakened by 2.6% against the U.S. dollar, erasing moderate local currency gains. The JP Morgan EMBI+ Index climbed ahead, advancing 3.26% for its sixth straight quarterly rise. ;,~· JJ.7,c_;,· o Private Equity Market Environment Fundraising for both buyouts and venture capital started the year off surprisingly well, considering most funds approached the market with reduced fund sizes from the 1999 to 2000 timeframe. There is strong demand for high quality partner- ships. The first quarter had a solid gain of $9.6 billion in new commitments across 44 funds. .,c,· [!cl_';" 1/J Lucrative Opportunities Wane by Quarter End A noticeably lackluster job market, coupled with the Madrid bombings and the growing Iraq quagmire, eroded faith in trading opportunities involving equity, credit, and liquidity- related risks. The median manager in the Callan Hedge Fund-of-Fund Database gained 2.51 % last quarter, net of fees. Rewarded for more discerning valuations amid modestly rising equities, Long-Short Equity (+3.99%) outpaced its popular long-only benchmark, the S&P 500 ( + 1.69% ). A Solid Start S(\' [h!_c~P J() Equity markets started off the year optimistically. International and small stocks led the charge, with MSCI EAFE and the S&P SmallCap 600 returning 4.34% and 6.22%, respectively. With an average public equity allocation of 58%, the median public plan fared the best, rising 2. 79% in the quarter. In the recent quarter, both global and domestic balanced managers beat their static 60% equity and 40% fixed-income benchmarks. .-,:·,· 1'-~:;c I::• Broad Market Returns -First Quarter 2004 5% 4.34% 4% L C 3% .. = -.: IX 2% L 1% 0% U.S. Equity Non-U.S. Equity U.S. Fixed 0.24% Non-U.S. Fixed Real Estate Cash (Super Composite 1500) (MSCI EAFE) (LB Aggregate) (Citi Non-U.S.) (Callan Real Estate) (90-Day T-Bills) L II , j I t I'''( I• II I I r Reality Takes a Bite Out of Recent Momentum The last quarter was a give and take between optimism and r pessimism. The quarter started off with the same upward and onward optimism in stock prices witnessed during the latter half of 2003, as stock buyers were encouraged by a wide range of positive news. r Corporate profits strengthened, holiday retail sales rose 4.0% over the prior year and December new home construction ( + 1. 7%) grew at its fastest pace since 1978. The counter punch came in early March, with Greenspan noting that interest rates cannot stay low forever, new job i creation being worse than expected, the U.S. trade gap widening to a I record $45 billion, and the terrorist bombings in Madrid. r r- Despite a negative total return in March, the S&P SuperComposite 1500 eked out its fifth consecutive gain, moving up 2.14%. This four- quarter streak is the longest since the index recorded a 14-quarter run that ended in June 1998. On the capitalization side, stocks of all sizes produced gains, with the small cap stocks taking a strong leadership role. The S&P Small Cap 600 rose 6.22% and the S&P MidCap 400 climbed 5.06%. The S&P soo, hurt by the poor performance of large cap stocks in March (-1.51 % ), came in a distant third with a gain of 1.69%. _ In a slight reversal from last quarter, when all of the S&P 1500's economic sectors were up, three of the S&P 1500's 10 economic sectors were in the red. Technology (-2.22%) was the laggard, hurt by a forecast revision at Intel (-15.42%), Microsoft (-9.33%), Oracle r -(-9.02%), and other leading technology companies. Basic Materials (-1.05% ), perhaps needing a break from its outsized fourth quarter performance, also fell. With the slight slowdown in economic growth, -Industrials slipped 0.49%. General Electric, the largest stock in the sector, was down 0.88%. Consumer Staples ( +5.91 % ), supported by Wal-Mart ( + 12.77%) and Pepsico ( + 15.86% ), was the best performing sector for the quarter. This is an about-face from last quarter when Consumer Staples ranked at the bottom of the performance rankings. Consumer Discretionary (+2.53%) also reported positive results, led by Casinos & Gaming (+23.06%) and Home Improvement(+ 13.71 %). With oil prices rising -further, Energy ( +5.68%) continued its recent strong performance. Telecommunication (+5.05%) was also up for the quarter. Much of the increase, however, can be attributed to the pending acquisition of -AT&T Wireless ( + 70.34%) by Cingular. The recent rebirth of the mergers and acquisitions market also helped l~ the Finance ( +5.11 % ) sector during the quarter. J.P. Morgan ( + 15.27%) announced its plan to merge with Bank One ( +20.57% ), while Bank of America ( + 1.66%) completed its merger with L FleetBoston ( + 3.67% ). · Value-oriented stocks again won the horse race against growth- oriented stocks, based upon the S&P/Barra style indices. To compare L Value and Growth, S&P and Barra divide the capitalization indices evenly by price-to-book, creating subsectors of growth and value- oriented stocks. Among smaller stocks, the S&P/Barra SmallCap Value Index gained 6.65%, compared to a gain of only 5.72% for its L growth counterpart. In the large stock arena, the division of perform- ance was even wider, with the S&P/Barra Value Index up 3.35% while its growth counterpart was up only 0.02%. Callan Style Group Returns -First Quarter 2004 -2',t, Large Cap-Growth Large Cap-Value Smull Cap-Growth Small Cap-Value Style Style Siyle Style IOU1 Percentile 4 15 4 75 8 34 8 66 25th Percentile 2.32 3.71.J 5 84 7 48 /1.kdian 141 2 90 4.09 6.66 75lh Pcrccnt..ilc U 6] 2 !4 2 57 5 67 90Lh Percentile -065 1.)2 -0 24 428 S&PCrowth S&PValue S&P 600 Growth S&P 600 Value Benchmarks • 00~ l 35 5 72 6 65 Capitalization Sector Performance -First Quarter 2004 C .s 5'7o I---------'-----------.. ~ 4'7o 1------'--------------- ~ ~ 3'7o 1-----_:_-----'----------- I 'lo 20'7o 40'7o 60'7o 80'7o 100% Economic Sector Performance -S&P 1500 First Quarter 2004 Consumer Staples Energy Financials Telecommunications Utilities Consumer Discretionary Health Care Industrials Materials -1.05% Information Technology -2"22'7,: ,--__:;;,;;;;;i 5,91 'k 5.68'k 5.1 l 'lc 5.05'7c 4.77'7c -4'7c -3'7c -2'7c -I 'le O'lc 1 'lc 2'7o 3'7o 4'k 5'k 6'k 7'7c Return Rolling One-Year Relative Returns vs. S&P 500 30'7o ,-----------------------. 25'7o ---S&P 500 -S&PVulut -&P Growth t------------1 -15% -20% ,,1 1t ' ( I PIT\l ,L\IH\IJ r- U.S.EQUITY Style Median and Index Returns• for Periods ended March 31, 2004 r -Last Last Last3 Last5 Last 10 Quarter Year Years Years Years wrge Cap-Broad Style 2.06 34.42 0.18 0.12 12.10 r:-- wrge Cap-Growth Style 1.41 30.58 -2.10 -3.87 11.18 wrge Cap-Value Style 2.90 40.28 3.34 3.94 12.38 Aggressive Grmvth Style 2.43 45.26 -0.38 2.43 11.35 r Contrarian Style 3.28 41.74 5.98 6.45 13.26 Core Style 1.52 33.19 0.30 -0.43 12.14 Yield Style 2.35 37.05 4.28 4.07 12.32 i S&P Super Composite 1500 2.14 36.94 1.75 0.09 11.78 S&P500 1.69 35.12 0.63 -1.20 11.68 NYSE 2.99 42.48 3.43 2.43 11.88 Dow Jones Industrials -0.42 32.49 3.77 3.08 13.30 Mid Cap-Broad Style 4.43 45.04 6.67 9.30 13.63 Mid Cap-Growth Style 3.56 43.77 0.31 4.01 IJ .77 Mid Cap-Value Style 4.45 45.78 JJ.12 12.29 14.25 S&P Mid Cap 400 5.06 49.10 10.71 11.76 14.93 Small Cap-Broad Style 5.79 58.52 13.06 14.71 13.95 Small Cap-Growth Style 4.09 55.24 7.01 9.00 11.73 Small Cap-Value Style 6.66 59.32 18.29 18.38 15.97 S&P Small Cap 600 6.22 56.49 12.80 13.11 12.72 Russell 2000 6.26 63.83 10.90 9.66 10.44 NASDAQ -0.35 49.36 3.16 -3.78 10.89 Consumer Staples 5.91 26.96 2.90 0.44 12.21 Consumer Discretionary 2.53 45.07 8.82 2.82 9.95 Industrials -0.49 39.00 0.67 2.95 10.92 Energy 5.68 31 .57 5.42 9.38 12.88 Materials -1.05 46.27 10.47 7.48 7.27 Information Technology -2.22 45.82 -3.54 -8.87 11.21 Utilities 4.77 37.07 -7.83 3.47 8.18 Financials 5.11 45.51 7.88 7.15 17.56 Telecommunications 5.05 31.60 -13.94 -14.22 Health Care 0.31 16.54 -0.23 0.66 U.S. Equity Index Characteristics as of March 31, 2004 S&P 1500 S&P 500 S&P 400 S&P 600 Cap Range 63-311,245 921-311,245 413-11,294 63-2,997 Number oflssues 1,500 500 400 600 L % of S&P SuperComposite 500 100% 88% 9% 4% Wtd Avg Mkt Cap $77.58 $88.08 $3.48 $1.08 Price/Book Ratio 3.0 3.1 2.4 2.2 PIE Ratio (forecasted) 17.5 17.5 17.9 18.2 Dividend Yield 1.6% 1.6% 1.1% 0.8% 5-Yr Earnings (forecasted) 12.2% 12.0% 13.8% 13.5% * Returns less than one year are not annualized. *" Returns prior to I Q03 are based upon Callan Broad Market's sector returns. , ( \PIT\I 1.UIB.11 , Last 15 Years 12.45 12.83 12.28 13.85 12.63 12.40 11.78 11.83 11.87 13.33 14.59 14.11 14.22 15.51 14.84 14.17 15.28 12.10 10.86 12.08 12.77 11.25 11.10 11 .52 8.27 11.31 9.29 15.87 Russell 3000 5-305,028 2,917 $73.28 2.9 18.0 1.6% 12.3% r PatientlyWaiting for Employment Despite the inflationary signals of rising commodity prices and fourth r quarter's 4.1 % growth in GDP, the bond market rallied during the first quarter of 2004. Ignoring these pressures, Treasury prices increased on the back of a soft jobs report and an accommodative Federal Reserve. Also propelling the market during the quarter, Asian central r banks spent billions on U.S. Treasurys in an effort to mute the appreci- ation of their currency, and thereby defending the competitiveness of their exports. As a net result, the IO-year Treasury yield dipped 40 r basis points over the quarter, breaking through the 4% barrier and ending the quarter at 3.84%. For the quarter, the Lehman Aggregate returned 2.66%, with over half the return due to price appreciation r created by declining yields. The Federal Reserve kept short-term rates at their multi-decade low of 1 % and indicated its willingness to patiently maintain this highly r accommodative monetary policy. The market interpreted this to mean I short rates would stay put until the economic expansion would begin to produce jobs. In response, the market drove up prices on the short r end of the curve, assuming short rates would not rise for the foresee- able future. Three-year and five-year rates fell 37 and 47 bps, respec- tively. The yield curve remained steep, by historical standards, with 3 .2 % separating the two-and 30-year Treasury rates. r Treasury Inflation Protected Securities (TIPS) had another strong quarter as real yields fell in lockstep with nominal yields. At the end of [ -the quarter, break-even inflation rates stood at 2.38%, with IO-year TIPS registering a real yield of 1.46%. Demand for TIPS drove the real yield on shorter maturity three-year TIPS into negative territory for the quarter, bottoming out at a real yield of negative 44 bps in mid ( _ ::r::~ quarter, spread sectors managed to beat the Treasury market but toward the end of the quarter, the market became increasingly [- -selective in its assumption of risk. As the equity market began its sell- off, securities with more credit risk became less attractive than their higher quality peers. [ Asset-backed securities, led by the higher yielding home equity loans -and manufactured housing segments, did well in the quarter, produc- ing an excess return of 65 basis points. The decline in interest rates L created a surge in mortgage refinancing and raised concerns about prepayment risk. Nevertheless, the mortgage market had an excess return of 30 bps for the quarter, primarily due to the relatively low L volatility in interest rates. Interestingly, an increasing amount of new mortgage production has been in adjustable rate mortgages, which are not represented in the Lehman Aggregate Index. L The investment grade credit market was outpaced by other spread sectors during the quarter, but managed to beat similar duration Treasurys by 9 bps. After producing positive excess returns for every L month since October 2002, the credit market finally took a breather during the month of March. The change in risk appetite led long dura- tion corporates and the BBB segment of the market to underperform Treasurys of a similar duration by 47 bps and 12 bps, respectively. L The high yield market shadowed the investment grade universe in the first quarter, earning 2.34%. Unlike last year, 2004 started off with L higher quality high yield outperforming the lower quality segment. Bonds rated BB advanced 3.54% while CCC rated bonds returned only 0.14%. Through the quarter, $1.4 billion flowed out of high yield mutual funds but fundamentals continue to support the high yield Callan Style Group Returns -First Quarter 2004 6<;1, 5% • .JI 4-.. I<;;; lntermedil:Ue Core Bond Core Plus Ext Maturity High Yield Style Style Style Style Style lOlh Pi.!rc.cntilc 2 60 303 312 6.00 2.70 25th J\m:cntilc 2 48 2.86 2.85 5_59 2.42 Median 2 38 2 67 2 70 5 00 2.10 75lh Percentile 2 25 2 57 2,54 3 81 181 90th Percentile 2 12 2 39 2 38 2 38 I 30 LB lnterAgg LBAgg LBAgg LB G/C Long LB High Yield Benchmark• 2 27 2.66 2 66 5 09 2 34 3.5% Sector Performance -First Quarter 2004 3.26% . :I . I .:I I I II :I -; ~1.5% LB Universal Index= 2.67% LB Aggregate Index = 2.66% LB Gov Bd LB Credi! LB MBS LB ABS LB CMBS LB High Yield 6% 5% 4% 2% 1% , ,. , JI, , , , ✓ , ",,' U.S.TreasuryYield Curves ,,,,•--- ,,, ---End !st Quarter 2004 -.., -Beginning I st Quarter 2004 ·---.a--•· End I st Quarter 2003 ----- 0'lo f----+----+----+----+------+----1 0 5 10 15 20 25 30 Maturity (Years) Effective Yield Over Treasurys 10% .-----------------,--------, ~ 8% ... ~ f E;: 6% .. > 0 'C ;; ;;: 4% -~ ~ ~ [a;l 2%--- -LB High Yield -LB Credit Baa Bonds LB Credit A Bonds L markets with default rates falling below 5% during the first quarter. 1 CALIAN ~ 'O(IPIE ,,, , ,,,_,, , ,,,I/ C.\PIT,\UIARI-i.IJ ,., . U.S. FIXED INCOME Style Median and Index Returns* for Periods ended March 31, 2004 Last Last Last3 Last5 Last 10 Last 15 Quarter Year Years Years Years Years Active Duration Style 2.74 5.02 7.36 7.15 7.37 8.55 Core Bond Style 2.66 5.73 7.56 7.41 7.68 8.68 Core Bond Plus Style 2.70 7.35 7.77 7.54 8.07 9.14 LB Aggregate 2.66 5.41 7.44 7.29 7.54 8.48 LB Govt/Credit 3.08 6.15 7.99 7.56 7.65 8.57 LB Govt 2.93 4.24 7.11 7.18 7.36 8.32 LB Credit 3.27 8.61 9.18 7.94 8.15 9.08 Citi Broad Investment Grade 2.69 5.52 7.44 7.28 7.55 8.51 Extended Maturity Style 5.00 8.54 10.21 9.13 9.42 10.47 LB Gov/Credit Long 5.09 8.99 10.08 8.75 9.20 10.11 LB Gov Long 5.36 6.53 9.18 8.63 9.17 10.14 LB Credit Long 4.73 12.39 11.40 8.79 9.10 9.95 Citigroup High Grade 4.90 8.23 10.76 8.85 9.01 9.88 Intermediate Style 2.38 5.10 7.20 7.17 7.16 8.07 LB Intermediate Aggregate 2.27 4.83 7.01 7.07 7.21 8.11 LB Gov/Credit Intermediate 2.47 5.30 7.36 7.21 7.11 7.99 LB Gov Intermediate 2.21 3.58 6.46 6.71 6.75 7.70 LB Credit Intermediate 2.82 7.50 8.52 7.82 7.79 8.65 ,- Defensive Style 1.19 2.76 5.12 5.81 6.13 7.08 Active Cash Style 0.56 1.77 3.50 4.54 5.19 5.94 Money Market Funds (net of fees) 0.12 0.55 1.48 3.03 3.99 4.45 ML Treasury 1-3 Year 1.00 2.31 4.68 5.45 5.84 6.68 90-day Treasury Bills 0.24 1.08 2.01 3.49 4.35 4.74 High Yield Style 2.10 20.15 9.56 6.37 8.83 10.23 LB High Yield 2.34 22.66 8.81 5.33 7.35 8.83 I CSFB High Yield 2.66 22.85 10.94 6.65 7.69 9.36 ML High Yield Master 2.23 21.67 8.74 5.71 7.66 9.19 Mortgages Style 1.99 4.36 6.78 7.09 7.58 8.59 LBMBS 1.92 4.08 6.37 6.75 7.35 8.31 .. -LBABS 2.30 4.83 7.08 7.28 7.11 L LBCMBS 3.26 6.31 9.77 8.90 U.S. Fixed-Income Index Characteristics as of March 31, 2004 Yield Modified Adj. Average %of %of Lehman Brothers Indices toWorst Duration Maturity LBG/C LB Aggregate LB Aggregate 3.80 4.33 7.29 100.00% 100.00% LB Govt/Credit 3.36 5.48 8.26 100.00% 60.75% L Intermediate 2.83 3.75 4.49 76.62% 46.55% Long-Term 5.11 11.14 20.65 23.38% 14.20% LB Govt 2.89 5.18 7.40 56.78% 34.50% L LB Credit 3.98 5.88 9.40 43.22% 26.25% LBMBS 4.63 2.37 5.93 34.93% LBABS 2.60 2.64 3.01 1.60% L LBCMBS 3.67 4.68 5.67 2.72% LB Corp High Yield 7.21 4.84 8.21 * Returns less than one year are not annualized. , ,; c~-~: __ T\I. ~1l1\Pr ti' CAUAN \ """('T T~r, ;_, ·,-.,\ :, iA t i • ._,I\._.) ~-.f '-... -- r Europe Rests, but Japan is Full Steam Ahead International equity markets were mixed in the first quarter, as r investors began to buy more selectively than in prior quarters. The MSCI EAFE Index returned 4.3% in U.S. dollar terms, with foreign currency strength contributing 0.3%. Sector themes took a breather during the quarter, with last year's global rotation out of defensives r and into cyclicals changing into a less thematic pattern. Technology ( + 12.5% ), industrials ( +8.2% ), and consumer discretionary ( +6.7%) led the market, but the defensive consumer staples (+5.2%) also r managed to hold its ground. On a regional basis, economic fundamen- tals drove returns, with Japan ( + 15.1 % ) and emerging markets (+9.7%) leading the international markets convincingly. The weaker r European markets, however, gained just 0.9% amid signs of economic I sluggishness. Europe r Returns in Europe +0.9%) were highly variable across countries as well as sectors. The large nations on the continent fared the worst, with Germany (-4.5%), Netherlands (-3.9%), and France (-0.4%) r lagging all developed market . Economic indicators i:n bellwetber I Germany showed igns of deterioration, with consumer demand and busi:ness confidence causin g the most concern. Terrorism also· restrained investor enthusiasm following the Madrid train bombings. r The euro reversed cour e and slipped 2.6% against the dollar. The United Kingdom remained in the black (+l.8%) as its economy continued to improve. The Bank of England raised interest rates by 25 r basis point in Lhe quarter, citing consumer debr levels a a primary reason. Thi helped the pound .gain 2.7% against the dollar. Sector resul ts lacked a clear pattern, bu t technology ( + 13. l <¼) and utiJ ities l-(+6.5%) turned in the best perfonnances with materials (-3.0%) and _ health care (-2.2%) losing the most ground. Asia 1- . Japan urged in tlle first quarter, climbing 15.1 % in dollar terms with yen strength contcibuting 3.0%. The rate of economic expansion in Japan in the fourth quarter reached its highest level since 1990, while th e factors onLribuLing to the growth broadened throughout the l economy-exports, domestic consumption and busi ness investment _ were encouraging to investors. However, the economic strength put upward pressure on the yen, and in a change of pace, the Bank of L Japan gave signs of reducing its intervention in the currency markets. The trongesLsectorin tbe Japanese market wa financials +29.1 %), bur consumer staples (+1 9.5% and indosLTials(+l6.7%) also rallied L sharply. Markets were firm throughout the rest of Asia as well, with New Zealand +7.4%), Hong Kong (+6.5%), and Australia (+5.9%) all beating EAFE for the quarter. L Emerging Markets Emerging markets continued its recent trend of topping developed markets, rising 9. 7% in the first quarter. Mexico ( + 19 .9%) was the star performer of Latin America, although the region still lagged the L broader benchmark. South Korea (+19.1%) and Taiwan (+10.2%) turned in a strong showing in Emerging Asia ( + 7 .3 % ) in spite of domestic political turmoil. But the big winner of the quarter was L Emerging Europe (+18.9%), led by Russia (+29.5%). Investors were eager to buy Russian stocks amid the run-up in oil prices as well as the re-election of Putin. L Callan Style Group Returns -First Quarter 2004 Global Equity Style !0th Pcrcenlilc 4 87 25th Percentile 3 70 Median 308 75th Percentile 2.74 90th Percentile l.18 MSCIWorld Benchmark • 2 62 Non-U.S. Equity Style 648 5.17 4.36 343 236 MSCIEAFE 4.34 Emerging Markets EqDb II 36 1026 9.54 8.17 6.89 MSCI Emerg Markets Free 9 72 20% Regional Performance (based on US$) First Quarter 2004 15% 5% 0% 0.89% MSC! ACWI Free (ex U.S.)= 4.83% MSC! EAFE = 4.34% 15.14% MSCI Europe MSCI Japan MSCI Pac MSCI Emerg Ex Japan Markets Free Rolling One-Year Relative Returns vs. MSCI EAFE US$ 40% .5-20% -MSCI Pacific o -MSCI Europe c,:-30% ~ -MSCI EAFE 1-~-1--------------a 94 95 96 97 98 99 00 01 02 03 04 Major Currencies vs. US$ Cumulative Returns over Last 25Years 150% r----------------,-------- <IT "' 120% --JapaneseYen -Gennan Mark/Euro ;;;i 90% "' .. "' E 60% :, ti c,: ., 30% .. ,:: "' ] 0% UK Sterling 8: ~.:, ... , .. ,, .. ,, .. ,, .. ,,= ..... ,, ... ,, .. ,,.,,,.,, .. ,, .. ,,,.,,,,.,,,., .. ,,.: 7'J ~•) ~I HZ ~3 H•I ~ K~ H7 118 ·q •lll ~I 92 •)J 94 95 96 97 98 99 00 01 02 0304 CALLAN ASSOCIATES 1/cq I""', 'II/) I CAPITAU!i\RKET ,. "' n INTERNATIONAL EQUITY Style Median and Index Returns* for Periods ended March 31, 2004 Last Last Last3 Last5 Last 10 Last 15 Quarter Year Years Years Years Years Global Style 3.08 46.73 2.74 2.70 8.40 9.69 Non-US. Style 4.36 55.16 4.09 3.16 7.09 7.90 Core Style 4.26 54.52 4.05 3.36 6.70 8.32 Top Down Style 4.59 55.76 4.79 1.16 6.57 7.22 Bottom Up Style 4.JJ 55.78 5.89 4.52 7.95 9.81 Small Cap Style 10.48 79.74 14.57 14.95 8.68 8.90 MSCI EAFE-Unhedged 4.34 57.54 3.43 0.52 4.55 3.92 MSCI EAFE-Local 4.06 38.20 -5.65 -2.24 4.01 2.92 MSCI EAFE Growth Index 3.97 49.12 1.39 -2.94 2.32 1.67 MSCI EAFE Value Index 4.71 66.15 5.40 3.76 6.68 6.11 MSCI World-Unhedged 2.62 43.87 1.46 -0.95 7.36 6.74 r MSCI World-Local 2.57 35.91 -2.50 -2.02 7.22 6.28 MSCI AC World Free ex-U.S.-Unhedged 4.83 59.91 5.45 2.03 4.90 4.54 MSCI AC World Free-Unhedged 3.04 46.00 2.57 -0.15 7.43 7.17 Pacific Basin Style 11.43 63.77 7.08 4.41 1.66 4.55 Japan Style 16.68 75.12 5.49 5.17 2.02 3.75 r Pacific Rim Style 6.71 67.70 14.27 10.53 3.03 8.36 MSCI Pacific-Unhedged 12.73 65.52 5.14 2.14 -0.78 -1.18 MSCI Pacific-Local 9.95 43.56 -2.21 -0.88 -0.95 -2.59 MSCI Japan-Unhedged 15.14 69.83 2.68 0.50 -1.97 -2.60 MSCI Japan-Local 11.77 49.00 -3.50 -2.07 -1.85 -4.16 Europe Style 0.77 50.58 3.02 1.69 10.39 10.97 MSCI Europe-Unhedged 0.89 53.96 2.66 -0.18 8.97 9.46 MSCI Europe-Local 1.66 36.05 -7.04 -2.61 7.86 8.75 Emerging Markets Database 9.54 84.01 20.45 13.88 4.93 13.17 MSCI Emerging Markets Free-Unhedged 9.72 82.16 18.50 10.08 2.08 10.37 MSCI Emerging Markets Free-Local 7.60 68.22 17.37 11.99 9.11 35.82 CountryWeights-EAFE Return Attribution for EAFE Countries As of March 31,2004 First Quarter 2004 New Zealand 0.2<:l, Country Total Local Currency Austria 0.3% Portugal 0.4'7o· UK Australia 5.93% 4.54% 1.33% Greece 0.4'7o · Austria 16.53% 19.61% -2.57% Norway 0.5%' Belgium 3.13% 5.85% -2.57% Ireland 0.7'7o· Denmark 0.8%•, Denmark 6.31% 9.11% -2.56% Singapore O.S'lo.....__ Finland 15.15% 18.19% -2.57% Bclgwm 1.0% France -0.36% 2.28% -2,57% Hong Kong I 7%- Germany -4.48'7o -1.96'7o -2.57% Finltmd I. % Greece 3.03% 5.75% -2.57% Sweden 2.3% Hong Kong 6.52% 690% -0,35% Spain Ireland 5.92% 8.71% -257% Italy -037% 2.26% -2.57% 3.6% Japan 15.14% 11.77% 3.01% Italy Netherlands -3.90% -l.37'7o -2.57% 3 8% New Zealand 7.41 % 5.92% 1.40% Norway 9 97% 13.48% -3.10% Ponugal 9 23% 12.11% -2.57% 4.8'7c Singapore 5.75% 4.38% 1.32% L Spain 0.63% 3.28% -2.57% Sweden 7.13% 12.29% -4.59% Switzerland 0,60% 3.05% -2 38% UK 1.81% -0.83% 2.66% Switzerland 7 l '7c '' Returns less than one year are not annualized. The Dollar Stabilizes Amidst Global Recovery In the first quarter, the Citigroup World Government Bond Index ex-U.S. returned 1.86% to U.S. dollar-based investors as the pattern of broad dollar weakness was broken. The euro dropped 2.6% against the dollar, but the yen appreciated 3.0%. Europe The European bond market was flat in the first quarter, returning 0.32% in dollar terms (Citigroup EMU Government Index). Disappointing economic statistics began to persuade investors that the inevitable tightening would not occur until later than expected. The euro reversed course from recent history and weakened by 2.6% against the U.S. dollar, erasing moderate local currency gains. The UK showed some strength, however, despite the Bank of England raising interest rates by 25 basis points. The rate hike helped sterling appreci- ate by 2.7% against the dollar. Japan The Japanese bond market rose 3.07% in dollar terms in the first quarter, though it was nearly unchanged ( +0.05%) in local terms. The yen's gain was driven by stronger than expected economic growth, combined with statements by central bank officials indicating a higher Callan Style Group Returns -First Quarter 2004 .2,tYt • ·-·.· 1..5'! I u,.; ~---------'----------~ Glohal Fixed StJIC 10th l\:n:cntik 2 '+2 2:i1l1 Pcri.:c111ik: 2 /1 l\kdi:.111 I ~6 751h P..:rccnLilc U16 ~)Ill P..:rc.:nlilc 1 37 Cili World Gov Unhcd~cd lk nchmark • I 86 Emerging Markets Non-lJ.S. Fixed SIJlc 2.J:{ I :;9 17(1 U,3 I 22 Cili Nun-U.S. W,irhJ Gu,· Unhcdgcd 1.17 The JP Morgan EMBI+ Index climbed ahead in the first quarter, advancing 3.26'7o for its sixth straight quarterly rise. Investors continue to be attracted to the asset class in this environment of global economic recovery. tolerance for yen appreciation. INTERNATIONAL FIXED INCOME Style Median and Index Returns* for Periods ended March 31, 2004 Global Style Citi World Govt-Unhedged Citi World Govt-Local Non-US. Style Citi Non-U.S. World Govt-Unhedged Citi Non-U.S. World Govt-Local Citi Euro Govt Bond lndex-Unhedged Citi Euro Govt Bond Index-Local JPM Emerg Mkts Bond Index Plus Last Last Last 3 Last 5 Last 10 Quarter Year 1.86 J.4.94 1.86 13.53 2.04 2.90 1.76 17.47 1.57 16.05 1.79 2.50 0.32 18.34 2.97 5.08 3.26 23.64 Years 13.20 12.62 5.12 14.88 14.21 4.52 19.23 6.83 13.90 Years 7.07 6.97 4.78 6.69 6.59 3.98 8.03 5.27 15.89 Years 7.45 6.99 6.58 7.36 6.69 6.36 14.47 Last 15 Years 9.09 8.21 7.75 9.06 8.13 7.44 Return Attribution for Non-U.S. Govt Indices First Quarter 2004 Country Weights -Citigroup Non-U.S. Govt As of March 31, 2004 Country Total Aus1ralia 3.40% Austria 0.46% Belgium 0.38% Canada I 44'7o Denmark 0.30'7o Finland 0.31% France 027% Germany 0.33% Greece 03 5'7o lreland 067'7o Italy 0.30% Japan 3.07% Netherlands 0.1-l'lo Norway 0.07% Poland -1.69% Porrugal 0.44% Spain 0.38% Sweden -0.81'7o Switzerland -0.49% UK -1. I 8'7o ''' Returns less than one year are not annualized. ''"' Derived from MSC! EAFE data. Local 2.05% 3.1 l'lo 3.03'7o 3.17% 2.93% 2.96% 2.92% 2.98% 3.00% 3.33'7o 2.9-l'lo 0.05'7o 2.79% 3.28% I 47 '7o 3.09% 3.03% 3.96% 193% 1.47% Currency•• 1.33% -2.57% -2.57% -1.67'70 -2 56'7o -2.57'70 -2.57'70 -2.57% -2.57% -2.57'7o -2 57'7o 3.0l'lo -2 57% -3 I0'lo -3.12% -257% -2 57% -4.59% -2.38% 2.66% Norway 0.3%-.. Australia 0.5% Poland 0.5'7e Ireland 0 5~'c -........._,. Finland 0.7%----:::::::::: Switzerl:md 0.9S'c:-----. Portu~al 0_9% - Sweaen l.OSt' Denmark 1 2%....--:. Austria 1.7%~ Grecce2..2% Conodo2.6% Netherlands 2 9'l- Bclgium 3.6% CAUAN ASSOCL@ France 10.4~'c-11.4~{ •\PIT L \I H kEl Real Estate Capital Surplus Demand for real estate and the flood of capital into the markets drove r-· performance in the first quarter of 2004. These factors, combined with a low interest rate environment, put upward pressure on property prices, even though fundamentals, such as low lease rates and high r vacancy rates were poor. Investors continued to use low cost debt, creating a competitive buying envi'J'onment especially for stable, well- leased "Core" property, driving capitalization rates down, as depicted in the "Overall Capitalization Rates" table below. r Both the public and private real estate sectors continued to see interest particularly in "Core" strategies. Institutional investors who commit- ted capital to the Core open-end commingled funds managed to provide NCREIF-like performance, which rose 2.56% for the quarter and 9.71 % for the trailing 12 months. The public real estate markets experienced record level fund flows of more than $3 billion to real i estate investment trust (REIT) mutual funds by institutional and retail investors. These investors were rewarded with a 12.02% return for the quarter and 52.58% for the trailing 12-month period. Additionally, r-closed-end real estate securities funds raised approximately $2 billion for the three-month period compared to $4.5 billion raised all of last year. The abundant capital in-flows to the public sector drove REIT share prices up above their underlying Net Asset Value. r Retail led all other sectors for the quarter. In the public market, Retail (NAREIT) gained 18.87%. In the private market, as represented by ~ _ NCREIF Property Index, the sector advanced 3.00% for the quarter. L Retail continued to see high tenant demand and rising asking rents from the previous year. These factors guided higher property valua- tions and thus, increased returns. Overall Capitalization Rates Sector Industrial Apartment CBD Office Suburban Office Strip Shopping Center 1st Quarter 2004 One Year Ago 8.45% 8.84% 7.25% 8.14% 8.77% 9.40% 9.34% 9.96% 8.76% 9.58% Source: Korpacz Real Estate Investor Survey® Rates based on unleveraged, all-cash transactions. Callan Style Group Returns -First Quarter 2004 15',{, 11':f 9% 10th Pl;:rccnLilc 25th PcrccnU!c Mcllian 75th l\::rccn1ilc 90th PcrccnLilc Benchmark • Real Estate Database 498 2_79 2 01 I ~9 ().60 NCREIF Total Index 156 ::::.::: REIT Database 14 20 13.20 12 4+ 11.62 11,15 NAREIT Equity 12.02 NAREIT Equity Sector Performance - First Quarter 2004 Retail Health Care Self Storage lndusLrial/Officc Diversified Specially l.o<lging/Resorts RcsidcnLiai -16.84',f 5':{ 12.027< 10.76"1, 10.26'/4. 10',i Return 15'/r: Rolling One-Year Returns 16.62'/4 18.87'k 20'l, 60'7o r-----------------------------, c 50'7o ~ ~ 40'7o "' ~ 30% ~ ~ 20'7o -REIT Database -Real Estate Database 92 93 94 95 96 97 98 99 00 0 I 02 03 04 REAL ESTATE Style Median and Index Returns• for Periods ended March 31, 2004 l,,, Last Last Last3 Last5 Last 10 Last 15 Quarter Year Years Years Years Years L Real Estate Database (net of fees) 2.01 7.77 7.34 8.27 8.72 7.42 NCREIFTotal Index 2.56 9.71 7.74 9.30 10.19 6.72 L REIT Database 12.44 51.73 22.15 19.25 15.49 13.99 NAREIT Equity 12.02 52.60 21.87 18.13 12.95 12.50 L,, * Returns less than one year are not annualized. L Private Equity Market Environment There may be light at the end of the private equity tunnel, particularly for buyouts. There has been a renewed interest in technology-related buyouts after the substantial market correction over the past few years. Buyout firms have also found a receptive high-yield market even for 11 _ smaller companies, allowing them to recapitalize and return cash to limited partners. Fundraising for both buyouts and venture capital started the year I' surprisingly well considering most funds approached the market with reduced fund sizes from the 1999 to 2000 timeframe. There is strong demand for high quality partnerships as many new limited partners entered the asset class over the past few years. This has put them in competition with mature portfolios continuing to make sizable invest- ments. L The first quarter's strong fundraising start included $9.6 billion in new commitments across 44 funds. Highlighting the smaller fund sizes, buyouts raised $2.5 billion across nine funds closed on, for an average size of $275 million. Most are planning to invest in "middle" and "lower-middle" market portfolio companies. Venture capital raised a similar number ofnew commitments with $2.9 billion and 20 funds. A majority of the fresh capital went quickly to well-known tenured firms. Please see our upcoming issue of Private Market Trends/or more in-depth coverage. Funds Closed January 1 through March 31, 2004 Strategy # of Funds $ Amt (mil) % Venture Capital 20 2,921.8 30.4 Acquisition/Buyouts 9 2,476.0 25.8 Subordinated Debt 3 827.0 8.6 Distressed Debt O 0.0 0.0 Other 4 575.8 6.0 Fund-of-funds 8 2,808.0 29.2 Totals 44 9,608.6 100.0 Source: The Primte Equity Analyst Lucrative Opportunities Wane By Quarter End Last year's trends rewarding popular trades continued into the opening months of 2004. However, by March, a noticeably lackluster job market, coupled with the Madrid bombings and the growing Iraq quagmire, eroded faith in trading opportunities involving equity, credit, and liquidity-related risks. Representing broadly diversified programs of hedge fund strategies, the median manager in the Callan Hedge Fund-of-Fund Database gained 2.51 % last quarter, net of fees. Over the last year, the median manager advanced 11 .40%. Across all underlying hedge fund strategies last quarter, the CSFB/Tremont Hedge Fund Index rose 3.41 %, led by Managed Futures ( + 7 .13%) profiting from positive momentum in the commod- ity markets. Rewarded for more discerning valuations amid modestly rising equities, Long-Short Equity (+3.99%) outpaced its popular long-only benchmark, the S&P 500 ( + 1.69% ). However, the bleeding of Short Sellers (-3.92%) continued, albeit at a much less depressing pace than the fourth quarter. Tightening credit spreads, particularly in January, helped Distressed ( +3.94%) and Convertible Arbitrage ( +2.14%) again last quarter. Healthy M&A activity provided some support to Risk Arbitrage ( +2.07% ), but overallocated capital contin- ues to limit upside. Fixed-Income Arbitrage ( + 1.61 % ) and Market Neutral Equity ( + 1.50%) barely beat a T-bill + 5% annualized objec- tive. Monthly Net Returns: CAI Hedge FoF Database I,()'.,; -05'~ 101h Pcn.:cntile 15th Pcn.:enlilc Mi.:dian 75111 Pcn:.._•nlik 901h Pcn:cn1ilc T-llill, • JanuaQ· 2004 I 76 157 U .:i I O:! 0 69 0()8 Fehruar) 2004 I 34 l.~I OS9 () OJ 04IJ 0,117 Man:h 2004 Of,3 0•9 0,3.'\ l)r,J -0 24 o.n.s ALTERNATIVE INVESTMENTS Style Median and Index Returns• for Periods ended March 31, 2004 Last Last Last3 Last5 Last 10 Last 15 Quarter Year Years Years Years Years Convertibles Database 3.13 27.52 6.43 9.26 11.51 11.65 CSFB Convertible Securities 3.34 27.41 6.62 7.48 9.88 10.53 L Hedge Fund-of-Funds Database 2.51 11.40 6.26 11.45 11.75 11.18 Market Neutral Equity Style 1.08 -0.37 3.73 3.74 6.12 8.50 CSFBffremont Equity Market Neutral 1.50 7.55 7.06 10.51 10.88 CSFBffremont Long/Short Equity 3.99 21.80 6.72 10.50 13.20 CSFBrfremont Event-Driven 3.59 19.61 10.04 11.79 11.55 CSFBrfremont Convertible Arb 2.14 9.34 8.93 13.89 10.77 CSFBffremont Fixed-Income Arb 1.61 6.83 7.03 7.33 7.23 90-Day T-Bills 0.24 1.08 2.01 3.49 4.35 4.74 VE Post Venture Cap Index 5.66 78.43 3.03 -7.37 7.97 11.33 GS Commodity Index 10.01 26.97 9.99 17.60 10.21 9.29 MLM Managed Futures Index 7.27 8.70 3.09 6.27 8.73 8.31 '' Returns less than one year arc not annualized. If CAilAN ' SOCIATES f \PJT\I. \I \R E I r A Nation of Manic-Depressives One year ago, investors and the nation as a whole seemed depressed r about our future. The stock market had just started its climb out of a severe three-year bear market and, despite evidence of sustained growth in GDP, reports on the state of the job market were dismal, and r it seemed like the economy was unable to get back on a growth track. The uncertainty of war in Iraq added to the national unease. Alarms were sounded that we were exporting our jobs and our economic future to China and India, that we remained in danger of slipping back r into recession, and that such a slip would push us into a devastating deflationary spiral. The exclamation point for pessimists came in the December 2003 employment report, which showed a net gain of just I 1 000 job a1 establishment nationwide at a time when the monlhl y l running rat should be up around 250,000. The yield on the 10-year Trea my bond fell to 3.7'll: in early March as I.be depressive force r feared employment would never improve and that inflation would r remain low forever. One month later, the March employment data show a gain of 308,000 r-and the CPJ moves sharply upward for the firsL Lim in a year. A manfo l swing in market sentiment from no jobs and no inflation to runaway growth and I.he return of I.he late l 970 ensues, all on I.he basis of one month's data. The job data collected from e tablishments has been r- 1 eitpected. to catch up to the strong job !,'TOWth reported by households. The gap in the two reported measures reached three million by the beginning of this year, and the continuing weakness in the payroll data r-in the face of strong data on the overall economy (GDP, industrial production and supply conditions, unemploymenl claims) led to elab- orate and somewhat suspect explanations by both pessimists (the _ world has changed, and for the worse) and optimists (the employment data are unreliable). The truth lies somewhere in between: the payroll -data by definition do not capture new establishments until they are "established," and the trend toward outsourcing and contract work, by ~ definition, moves individuals off employers' payrolls. Ask these indi- l_ victuals if they are working, and the answer is yes. Consumer prices, as measured by the CPI, surged 0.5% in March, r fueled by a sharp rise in import prices. The mystery here is not why the l _ large jump in import prices with a falling dollar, but why it took so long to show up. Over the first quarter of 2004, the CPI is up at a 5.1 % annual running rate. Perspective is crucial, however: even with the March rise, the CPI is only 1.7% higher than a year ago. Producer prices rose in line with the CPI in March, but the concerns on the producer side rest with the acceleration in crude and intermediate materials prices. Finished goods dominate the index and the weight of most commodities is low, but the impact of rising demand for raw and intermediate materials from Asia will only intensify. Most commodity prices will have only a modest effect on U.S. inflation, but energy is a Inflation -Year Over Year 20'7o ,-----------------------, -PPI (All Commodities) -CPI (All Urban Consumers) IO'lo 0% -5'7o real potential problem, especially in the long run. Energy demand is rising at 15% per year in China. Oil prices are stabilizing above $35 per barrel, and instability in the Middle East appears likely to continue. The current price of $37 is a minor drag on U.S. growth, but constrained supplies from the Middle East (with no viable alternative sources) and the potential for a doubling or tripling of oil prices pres- ents a real recession risk. The recent rise in the CPI should not induce panic, but it may give the Federal Reserve further resolve to shift toward eventual tightening. The probability of a rate hike as soon as June is now being priced into the bond market. One culprit behind the lag in job growth has been strong productivity growth. Since the recovery in output kicked in over a year ago, the question has been when, not if, a recovery in employment would occur. Obscuring the jobs data has been an acceleration of a 40-year trend in the evolution of the U.S. economy away from a manufactur- ing base, at least as measured by employment. At the risk of overemphasizing one month's numbers, the March data may signal that the missing piece of the puzzle may have fallen into place. The GDP growth rate for the first quarter came in at 4.2%, a bit short of the expected 4.8%. However, it did mark the third straight quarter above 4%, which hasn't happened in 10 years. Consumers kept the expansion going by pushing the savings rate to new lows and loading up on cheap debt, and it now appears they will be rewarded with the promise of new jobs. The risk of a second-half relapse in the economy has diminished, inflation appears to be bottoming out, and the Fed may not wait much longer to raise interest rates. The Institute for Supply Management (ISM) Purchasing Managers' Index, a reli- able reading on production and supply, has now held above 50--the dividing line between expansion and contraction-for 10 consecutive months through March. U.S. ECONOMY Recent Quarterly Indicators 2Q02 3Q02 4Q02 1Q03 2Q03 3Q03 4Q03 1Q04 CPI-All Urban Consumers (year over year) 1.1% 1.5% 2.4% 3.0% 2.1% 2.3% 1.9% 1.7% PPI-All Commodities (year over year) -3.4% -0.8% 3.8% 8.8% 5.4% 4.7% 4.9% 1.1% Employment Cost-Total Compensation Growth 4.4% 2.5% 3.0% 5.5% 3.4% 4.2% 4.2% 4.9% Manufacturing Output-Productivity Growth 1.7% 5.5% 0.7% 2.2% 7.1% 9.4% 2.5% 3.4% GDPGrowth 1.9% 3.4% 1.3% 2.0% 3.1% 8.2% 4.1% 4.2% Manufacturing Capacity Utilization (level%) 74.3 74.1 73.0 73.0 72.6 74.9 75.8 76.5 Consumer Confidence Index ( I 966= 1.000) 0.941 0.873 0.838 0.800 0.893 0.893 0.920 0.980 ,,,.,,,,: 1· .,, CAfll\L llf !IL,,, CALLAN 1-\SSOCIPJ'FS : i A Solid Start Equity markets started off the year optimistically. International and r small stocks led the charge, with MSCI EAFE and the S&P SmallCap 600 up 4.34% and 6.22% respectively. Buoyed by solid gains in the equity markets coupled with strength in the other major asset classes, r fund sponsors began the first quarter of 2004 in the black. : Using the median manager returns from the latest quarter and ending asset allocations from the prior quarter, Callan estimates the recent r total returns of the institutional investor community. The adjacent graph illustrates the range of returns for public, corpo- rate, and Taft-Hartley pension plans, as well as endowments/founda-r. tions, showing gains across the board. The table below compares the [ returns of the four institutional fund sponsors to several benchmarks over longer periods. Choices in asset allocation explain much of the r difference in performance. With most of the major asset classes both at home and abroad register- ing similar low single-digit gains in the first quarter, the range of fund r~ sponsor returns was fairly narrow. With an average public equity allo- 1 cation of 58%, the median public plan fared the best, rising 2.79% in the quarter. Corporate plans and endowments and foundations were r right behind, advancing 2.78% and 2.77%, respectively. With interna- tional equity topping the major asset classes, Taft-Hanley plans ( +2.64%) lagged due in large part to their more conservative non-U.S. equity allocation. Callan's balanced manager groups generally maintain well-diversified portfolios and attempt to add value by underweighting or overweight- i _ ing asset classes, as well as through stock selection. In the recent f, quarter, both global and domestic balanced managers beat their static l _ 60% equity and 40% fixed-income benchmarks. I 60% 50% 40% 30% 10% 0% Callan Style Group Returns -First Quarter 2004 4.0'k 3.5'k 3.0'k 2w., Public Plan Database t 0th Percentile 3 30 25th Percentile 2.89 Median 2 79 75lh Pcrccnlilc 2 70 90lh Percentile 2 42 Corporate Plan Endow/Found Database Database 3.64 3.75 2.95 3.02 2.7R 2.77 2,70 2,57 2.55 2,41 Taft-Hartley Database 3 59 2 87 2 64 2 47 2_23 Average Asset Allocation as of December 31, 2003 • Public Iii Corporate • Endowment/Foundation Taft-Hartley U.S. Equity Non-U,S. U.S. Fixed Non-U.S. Real Estate Alt. Inv Equity Fixed Cash DIVERSIFIED ACCOUNT DATABASE Style Median and Index Returns• for Periods ended March 31, 2004 Last Last Last 3 Last 5 Last 10 Last 15 Years Quarter Public Database 2.79 Corporate Database 2. 78 Endowment/Foundation Database 2. 77 Taft-Hartley Database 2.64 Asset Allocator Style 2.59 Domestic Balanced Database 2.10 Global Balanced Database 3.10 60% S&P 500 + 40% LB Aggregate 2.08 60% MSCI World+ 40% Citi World Govt 2.32 * Returns less than one year are not annualized. Year 26.78 28.02 28.05 25.45 26.03 22.99 33.68 22.74 31.21 The Capital Market Review is published quarterly for members of the institutional invest- ment community, both domestic and international. The Capital Market Review focuses primarily on the latest quarterly performance of market indices and Callan style groups for each of the major asset classes used by institutional investors. Capital Market Review contributors are as follows: Jay Kloepfer, Economy Bob Shaw, U.S. Equity Greg Deforrest, U.S. Fixed Income Brian Zeiler, Non-U.S. Equity, Non-U.S. Fixed Income Jamie Shen/Zachary Stassi, Real Estate Years Years 5.50 4.85 5.38 4.95 5.11 4.91 4.83 4.78 3.47 2.78 3.77 3.83 6.97 5.85 4.03 2.73 6.62 2.79 Gary Robertson/Craig White, Private Equity Jim McKee, Hedge Funds Years 9.45 10.30 9.99 9.53 10.05 10.21 10.29 10.48 7.70 Julia Moriarty, Diversified Accounts, CMR Performance Data Mary Schaefer, Editor in Chief Tanja Eisenhardt, Publication Layout 9.80 10.55 10.03 9.74 10.58 10.93 10.88 10.84 7.74 Callan Associates Inc. is a privately-held and 100 percent employee-owned firm whose sole business is strategic asset management consulting as an independent. objective third party. Headquartered in San Francisco, Callan also has regional offices in Chicago, Morristown, Atlanta, and Denver. © 2004 Callan Associates Inc. CAllAN "-\SSOCLA.TES MARKET OVERVIEW Ill ACTIVE MANAGEMENT VS INDEX RETURNS /I Market Overview The charts below illustrate the range of returns across managers in Callan's Separate Account database over the most recent one quarter and one year time periods. The database is broken down by asset class to illustrate the difference in returns across those asset classes. An appropriate index is also shown for each asset class for comparison purposes. As an example, the first bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter. The triangle represents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in the domestic equity manager database. 8% 7% - 6% - "' 5% - C: .... ::, 4% Q) - .:,::: 3% 2% 1% - 0% 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Index ... 80% 70% - 60% - "' 50% - C: .... 2 40% Cl.) .:,::: 30% 20% 10% 0% 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Index ... Range of Separate Account Manager Returns by Asset Class One Quarter Ended March 31, 2004 (52) ,_ (35)8 (31) ... t78)~ (78) a (92)1 . • Domestic Non-US Domestic Non-US Real Cash Equity Equity Fixed-Income Fixed-Income Estate Equivalents vs vs vs VS vs vs S&PSOO MSCIEAFE LBAggrBd Citi Non-US G NCREIF Index 3 Mon T-Bills 7.08 6.48 3.13 2.18 4.98 0.74 5.55 5.17 2.77 1.89 2.79 0.56 3.31 4.36 2.50 1.76 2.01 0.32 1.80 3.43 1.94 1.63 1.49 0.28 0.78 2.36 1.18 1.22 0.60 0.25 1.69 4.34 2.66 1.57 2.56 0.24 Range of Separate Account Manager Returns by Asset Class One Year Ended March 31, 2004 (34)~ (75) ,- (90) (53)~ (32)1• I (RQ\ Domestic Non-US Domestic Non-US Real Cosh Equity Equity Fixed-Income Fixed-Income Estate Equivalents vs vs vs vs vs vs S&PSOO MSCIEAFE LBAggrBd Citi Non-US G NCREIF Index 3 Mon T-Bills 66.71 64.00 14.35 18.63 13.98 2.16 55.42 59.83 7.19 18.16 10.66 1.73 43.14 55.16 5.55 17.47 7.77 1.33 35.10 49.76 4.40 16,92 6.70 1.18 30.41 46.55 2.80 16.02 4.24 1.07 35.12 57.54 5.41 16.05 9.71 1.08 Orange County Sanitation District r r- r r [ Active vs the Index DOMESTIC FIXED-INCOME Active Management Overview The bond market made a nice recovery from last quarter, turning in a solid performance. The Lehman Aggregate Index had its highest return since the third quarter of 2002 with a return of 2.66%. Although the median Core Bond Fund also returned 2.66% for the quarter, actively managed funds trumped passive funds over the course of 12 months. The median Core Bond Fund returned 5.73% for the year, 32 basis points above the benchmark. Short vs Long Duration Both short and long duration fund styles showed positive returns for the first quarter of 2004. Extended Maturity led the way, of the three maturity based styles, with a 5.00% return for the quarter. This was due to long-term rates rising on the basis of improved confidence over the prospects of economic growth. Furthermore, both the Defensive (short to intermediate) and the Intermediate Style posted solid returns for the quarter, 1.19% and 2.38%, respectively. For the year ended March 31, 2004, Extended Maturity took a commanding lead over shorter duration bonds with a 8.54% return, compared to a 5.10% return for Intermediate funds and 2. 76% for Defensive funds. Mortgages and Uigh Yield High Yield showed signs of weakening this quarter after 15 months of a strong rally. It was the only one of the seven style groups to have a lower return this quarter than last. The quarterly median High Yield fund return was 2.10% for the quarter, down from 5.67% for the fourth quarter of 2003. However, for the year ended March 31, 2004, High Yield led all other fixed-income fund groups with a whopping 20.15% return. Mortgage funds posted a 1.99% return for the quarter, the best quarterly return for that group in the last year. Separate Account Style Group Median Returns for Quarter Ended March 31, 2004 Lehman Aggregate: 2.66% 6%------------------------------<.__L_e_hm_an_G_o_v_UC_r_e_di_t: __ 3._0_8o/t_o~ 5%1------ 4%1---------------- 0% ..__ __ Active Cash Defensive Intermed Core Bond Core Plus 5.00% Extended Maturity Separate Account Style Group Median Returns Active Duration Mortgage Backed High Yield for One Year Ended March 31, 2004 Lehman Aggregate: 5.41 % 25% ,---------------------------4--_L_eh_m_an_G_o_v_uc_r_ed_i_t: __ 6._IS_o/t_o~ 20% 1----- 15% +--------------------- 10%1------ 5% 0% 1.77% Active Cash Orange County Sanitation District : . '/ I', '', I ', ··•--•' ~-Defensive Intermed Core Bond Core Plus Extended Maturity Active Duration Mortgage Backed 20.15% High Yield L_ Asset Class Risk and Return /I The charts below show the eight and one-half year annualized risk and return for each asset class component of the Total Fund. The first graph contrasts these values with those of the appropriate index for each asset class. The second chart contrasts them with the risk and return of the median portfolio in each of the appropriate CAI comparative databases. In each case, the crosshairs on the chart represent the return and risk of the Total Fund. 6.5% 6.0% "' 5.5% C ... :::l ~ 5.0% 4.5%- 4.0% Eight And One-Half Year Annualized Risk vs Return Asset Classes vs Benchmark Indices Merrill Lynch l-3yr Govt/Corp e--{ 90 Day T-Bills ! 3.5% +--~--~-~--~--~-~--.......... ----.---~----; "' C ... :::l Q) ~ 0.6% 0.8% 1.0% 1.2% 1.4% 1.6% 1.8% 2.0% 2.2% 2.4% 2.6% Standard Deviation 7.0% 6.5% 6.0% 5.5% 5.0% - 4.5% 4.0% - 3.5% 0.8% Eight And One-Half Year Annualized Risk vs Return Asset Classes vs Asset Class Median \. ! CAI Defensive F-1 Style H I Sani District I e--{ Money Market Fds DB I 1.0% 1.2% 1.4% 1.6% 1.8% 2.0% 2.2% Standard Deviation Orange County Sanitation District Ill [ Investment Manager Asset Allocation The table below contrasts the distribution of assets across the Fund's investment managers as of March 31, 2004, with the distribution as of December 31, 2003. The change in asset distribution is broken down into the dollar change due to Net New Investment and the dollar change due to Investment Return. Asset Distribution Across Investment Managers March 31, 2004 December 31, 2003 Market V aloe Percent Net New Inv. Inv. Return Market Value Percent Domestic Fixed Income Long Term Operating Fund 392,730,278 81.08% 0 5,946,358 386,783,920 80.89% Liquid Operating Monies 91.616.868 18.92% 0 253,557 91,363,311 19.11% Total Fund $484,347,146 100.0% $0 $6,199,915 $478,147,230 100.0% Orange County Sanitation District 16 [ Investment Manager Returns /I The table below details the rates of return for the Sponsor's investment managers over various time periods ended March 31, 2004. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund's accounts for that asset class. Returns for Periods Ended March 31, 2004 Last Last Last Last Last 2 3 8-1/2 uarter Year Years Years Years Domestic Fixed Income Long Term Operating Fund 1.54% 3.65% 6.22% 5.80% 6.49% Liquid Operating Monies 0.28% 1.11% 1.57% 2.31% 4.53% Net of Fees 0.24% 0.96% 1.42% 2.16% 4.38% Market Indicators LB 1-5yr Govt/Credit 1.74% 3.94% 6.65% 6.30% 6.47% ML 1-3yr Govt/Corp 1.12% 3.00% 4.98% 5.21% 6.03% ML 1-5yr Govt/Corp 1.66% 3.84% 6.51% 6.18% 6.50% ML 1-5yr G/C excl. BBBs 1.61% 3.35% 6.23% 6.02% 6.44% Treasury Bills 0.24% 1.08% 1.37% 2.01% 4.20% Total Fund 1.30% 3.31% 5.61% 5.36% 6.29% Orange County Sanitation District r i L_ L L (Jj c:: .... :::, d) ~ (!) > ·~ ~ ~ PIMCO-LIQUID OPERATING MONEY PERIOD ENDED MARCH 31, 2004 Investment Philosophy Ill The Money Market Funds Database consists of actively managed short term funds. These funds invest in low-risk, highly liquid, short-term financial instruments. Quarterly Summary and Highlights • PIMCO-Liquid Operating Money's portfolio posted a 0.28% return for the quarter placing it in the I percentile of the MF -Money Market Funds Database group for the quarter and in the 1 percentile for the last year. • PIMCO-Liquid Operating Money's portfolio outperformed the 90 Day T-Bills by 0.04% for the quarter and outperformed the 90 Day T-Bills for the year by 0.03%. Quarterly Asset Growth Beginning Market Value $91,363,311 Net New Investment $0 Investment Gains/(Losses) $253,557 Ending Market Value $91,616,868 Performance vs MF -Money Market Funds Database 6%-.------------.-------,-----~-----,--------y---------, 5% 4% 3% 2% 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile 0.22 0.18 0.12 0.06 0.02 PIM CO-Liquid Operating Money • A 0.28 Net of Fees • 8 0.24 90 Day T-Bills _. 0.24 0.94 0.77 0.55 0.32 0.12 1.11 0.96 1.08 ~J (I) .t. • {t i El Last 2 Years 1.21 1.05 0.85 0.62 0.36 1.57 1.42 1.37 Relative Return vs 90 Day T-Bills 0.25% 0.20%--~ ~-------•-----+-------<---l---1 0.15%- 0.10% 0.05% 0.00% (0.)0%)-I < I I 95 1996 1997 1998 1999 2000 2001 2002 2003 4 I • PIMCO-Liquid Operating Money I I A(I I A(II I A{I (8) ,. Bll ~IO)~Brl (4)§Bt l El I A(I I (1) _. Bll El Last3 Lasts Last7 Last 8-)/2 Years Years Years Years 1.83 3.38 3.95 4.20 1.68 3.24 3.81 4.06 1.48 3.03 3.60 3.86 1.25 2.81 3.40 3.66 0.97 2.58 3.20 3.47 2.31 3.83 4.32 4.53 2.16 3.68 4.17 4 38 2.01 3.49 3.96 4.20 MF -Money Market Funds Database Annualized Eight And One-Half Year Risk vs Return (Jj c:: ... 3 (!) ~ 5.0% .-----piiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiii .... ---, 4.5% 4.0% 3.5% 3.0% 2.5% 2.0% -+---~---------,--~----< 0.80 0.85 0.90 0.95 1.00 Standard Deviation 1.05 1.10 Orange County Sanitation District L t "-' c:: .... ::l v iz Cl) .::: cil Q) iz PIMCO-LONG TERM OPERATING FUND PERIOD ENDED MARCH 31, 2004 /j Investment Philosophy Defensive Style managers aim to minimize interest rate risk by investing predominantly in short to intermediate term securities. The average portfolio maturity is typically two to five years. Quarterly Summary and Highlights • PIMCO-Long Term Operating Fund's portfolio posted a 1.54% return for the quarter placing it in the 9 percentile of the CAI Defensive Fixed-Inc Style group for the quarter and in the 18 percentile for the last year. • PIMCO-Long Tenn Operating Fund's portfolio underperformed the ML 1-5 Govt/Corp by 0.12% for the quarter and underperformed the ML 1-5 Govt/Corp for the year by 0.19%. Quarterly Asset Growth Beginning Market Value $386,783,920 Net New Investment $0 Investment Gains/(Losses) $5,946,358 Ending Market Value $392,730,278 Performance vs CAI Defensive Fixed-Inc Style 8% 7% 6% 5% 4% 3% 2% 1% 0% -(I) A • iij - (l6)~A(l ,j -8(2 l - (4)~B~~ A\) 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile PIMCO-Long Term Operating Fund e A ML G/C 1-5 excl. BBBs •B ML 1-5 Govt/Corp A Last Last Quarter Year 1.53 4.12 1.31 3.16 1.19 2.76 1.04 2.47 0.92 2.34 1.54 3.65 1.61 3.35 1.66 3.84 § Last2 Years 5.61 5.06 4.82 4.33 3.68 6.22 6.23 6.51 Relative Return vs ML 1-5 Govt/Corp 1.0%-~-~----~-~-~---~--.,...., 0.5% 0.0% (I 0'7o) (1.5%)-I I I I 95 1996 1997 1998 1999 2000 2001 2002 2003 4 I • PIMCO-Long Term Operating Fund I (3) ~ J m~l!ll (l)SB(l (6)~~[r )) A(l A(liJ) )) Last3 Years Lasts Years Last 7 Last 8-1/2 Years Years "-' c:: .... ::l v ~ 5.76 5.34 5.12 4.74 4.33 5.80 6.02 6.18 6.29 6.05 5.81 5.51 5.32 6.26 6.41 6.47 6.58 6.33 6.12 5.94 5.63 6.68 6.69 6.75 6.45 6.24 6.04 5.87 5.74 6.49 6.44 6.50 CAI Defensive Fixed-Inc Style Annualized Eight And One-Half Year Risk vs Return 6.8% ,-------;;;;;;;;;=;;;;;;i;;========;;i 6.6% a a 6.4% c:P a •• 6.2% ML G/C 1-5 excl. BBBs 6.0% 5.8% a a a a CD 5.6% • 5.4% a 5.2% 5.0% ' 0.5 1.0 1.5 2.0 2.5 3.0 Standard Deviation Orange County Sanitation District r I ~ ' t L L L LONG TERM OPERATING FUND PORTFOLIO CHARACTERISTICS SUMMARY MARCH 31, 2004 /I Portfolio Structure Comparison Ill The charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatest influence on return. The first chart compares the two portfolios across sector weights. The second chart compares the portfolios based on duration, duration distribution, duration "dispersion" (degree of "barbellness"), and sector weights within duration ranges. The last chart compares the distributions across quality ratings and sector weights within quality cells. Asset Backed 0% Treasuries 60% Sector Allocation Agencies 2.4% Treasuries 40% Long Term Operating Fund Lehman Government/Credit 1-5 35% .s 30% ~ 25% -Q 20% ~ ... Q 15% .... = Cl,j 10% I.I -Cl,j 5% ~ 0% 90% .s 80% ~ 70% -60% Q 50% ~ ... 40% Q .... = 30% Cl,j I.I 20% -Cl,j ~ 10% 0% Duration Distribution by Sector Weighted Average: Bar #1 :Long Term Operating Fund: Duration Dispersion 1.83 1.07 ---------------------- Bar #2:Lehman Government/Credit 1-5: 2.48 I.OS <1.0 1.0-1.2 1.2-1.4 1.4-1.6 1.6-1.8 1.8-2.0 2.0-2.2 2.2-2.4 2.4-2.6 2.6-2.8 2.8-3.0 3.0-3.2 3.2-3.4 3.4-3.6 3.6-3.8 3.8+ Years Duration Quality Distribution by Sector Weighted Average: Bar #I :Long Term Operating Fund: Bar#2:Lehman Government/Credit 1-5: Quality Agcy Aal ----·------~•---+-----------------~ ---------l-~=====::::i::=========r.------- --+-----+------1-----------------,c---------------------- ..;----+---------1-----------------·--_ __,___ __ __. ---------------------------------------- --+----•-----•-----------· -------------------------~ ---------- Trsy Agcy Aaa Aal Aa2 Aa3 Al A2 A3 Baal <Baal Moody's Rating • Agencies • Asset Backed • CMOs 0 Cash • Credit D Mortgages D Treasuries • Agencies • Asset Backed 0 CMOs D Cash • Credit 0 Mortgages 0 Treasuries * All Statistics shown on the page are dependent on the securities in the portfolio being recom1ized by their Cusip) and priced. In this case 99% of the secunties in the portfolio (by market value) were recognized and priced. Orange County Sanitation District l LONG TERM OPERATING FUND POR1FOLIO CHARACTERISTICS DETAIL MARCH 31, 2004 Weighted Average Portfolio Characteristics Total Fund, By Asset Class and By Sector Ending Percent Market of Effective Effective Sector Value Portfolio Cou on Maturitv Yield Total Fund $387,306,147 100.0% 4.13 2.49 1.85 Asset Backed $1,790,903 0.5% 3.36 10.99 2.33 Agencies $44,742,338 11.6% 6.51 3.12 2.05 CMOs $664,549 0.2% 1.59 2.09 1.52 Credit $26,354,770 6.8% 6.00 2.04 2.86 Mortgages $53,015,918 13.7% 5.27 3.73 3.69 Treasunes $233,364,759 60.3% 3.59 2.34 1.36 Non-Convertible Bonds $359,933,237 92.9% 4.38 2.66 1.91 Cash Equivalents $27,372,910 7.1% 1.04 0.25 1.04 5 Largest Holdings Ending Percent Market of Effective fssuer Name Issue Name Sector Value Portfolio Yield United States Treas Nts Dtd 00046 Treasuries $81,813,416 2 .1% I.SO United States Treas Nts 5.75% 11/15/05 Dtd 11/ Treasuries 62.341.749 161% 1.39 United States Treas Nts 2/15/07 Dtd 02/15/1997 Treasuries 22.564.267 5.8% 1.93 United States Treas Nts Nt 3.375% 1/15/2007 Treasuries $18,1 56.475 47% 0.06 United States Treas Nts 3.875% 1/15/09 Dtd 01/ Treasuries Sl7,174,51 7 44% 0.46 5 Lowest Rated Holdings (Moody's Rating) Ending Percent Market of Effective l<<uer Name ls.sue Name Sector Value Portfolio Yield United Airls Pass Thru Trs 6.831 % 9/L/0S 2001-1 P Credit $338,388 0.1 % 53.53 General Mtrs Accep Corp 6.125% 8/28/2007 Credit $3,249,794 0.8% 3.70 Vitnia Elec & Pwr Co 5.75% 3/31/06 2001 Sr Credit $1,874,687 0.5% 2.11 For MtrCrCo 6.75% 5/15/05 Nt Dtd 0 Credit $1,073,000 0.3% 2.48 Pacificorp Seed Medium Ter 7.3% 10/22/04 Tranche Credit $3,112,930 0.8% 1.59 5 Longest Duration Holdings Ending Percent Market of Effective Issuer Name Issue Name ector Value Portfolio Yield Small Business Admin Gtd P 6.64% 2/1/11 Ser Sbic-Agencie~ $2,480,863 0.6% 5.23 Federal Natl Mtg Assn 6.625% 9/15/09 Dtd 09/ Agencies $2,453,548 0.6% 3.29 United States Treas Nts Nt 3.25% 8/15/2008 Tre:isurlcs $12,390,086 3.2% 2 56 Small Business Admin Gtd D 3/1/21 Deb Ser 2001-20 Agencies $3,612,518 0.9% 5.76 Aig Sunamerica Global Reg 5.850% 08/01/2008 Dd As et Backed $833,532 0.2% 3.38 5 Holdings with Highest Effective Yield Ending Percent Market of Effective Issuer Nwnc Issue.Name Sector Value Portfolio Yield United Airls Pass Thru Trs 6.831·%9/J/082001-1 P Credit $338,388 0.1% 53.53 Small Business Admin Gtd D 3/1/21 Deb Ser 2001-20 Agencies $3,612,518 0.9% 5.76 Small Business Admin Gtd P 6.64% 2/1/11 Ser Sbic-Agencies $2,480,863 0.6% 5.23 Fhlmc Mbs Passthru ,4-353 Mortgages $51,701 0.0% 4.59 Gnma I & Ii -Single Issue .500% I 1/15/2032 Dd Mortgages $59,340 0.0% 4.34 OA OA Duration Convexitv ualitv 1.83 (0.10) Agcy 2.16 0.14 Aaa 1.91 0.06 Agcy 0.05 0.01 Agi~ 1.85 0.07 2.79 (1.03) ¥ccy 1.78 0.05 rsy 1.95 (0.10) Agcy 0.25 0.00 Aaa OA OA Duration Conveidt ualitv 1.79 0.04 Trsy 1.53 0.03 Trsy 2.64 0.09 Trsy 0.66 0.09 Trsy l 10 0.00 Trsy OA OA Duration Convcxitv Ooalitv 2.50 0.10 Caal 3.07 0.12 A3 1.90 0.04 A3 1.06 0.02 A3 0.54 0.01 A3 OA OA Duration Convexitv Qualitl'. 5.91 0.50 Agcy 465 0.27 ¥icy 4.05 0.19 rsy 4,00 0.00 Aan 3.87 0.18 Aaa OA OA Duration Convexitv Oualitv 2.50 0.10 Caal 400 0,00 Aaa 5.91 0.50 Agcy 0.19 0.00 ¥,_CY 2.74 (2 25) rsy * All Statistics shown on the page are dependent on the securities in the portfolio being recognized (by their Cusip) and priced. In this case 99% of the securities in the portfolio (by market value) were recognized and priced. Orange County Sanitation District l Investment Management Program Orange County Sanitation District Strategy Review for the Period December 31, 2003 -March 31, 2004 Past performance is no guarantee of future results. Shares distributed by PIMCO Advisors Distributors LLC. Agenda I. Performance & Market Review II. Economic Outlook & Strategy Ill. Organizational Update 1 PIM C 0 l Performance Review Performance 12 ~-----------------------r-------, Annual • Orange County Sanitation District Ql 10 • Merrill Lynch Corp/Govt 1-5 Year Bond Index Asset Growth Market Value as of Mar. 2003 $ 324,983,923 ,.-... 8 ~ 0 .._,, Contributions / Withdrawals 54,100,000 Ul 6 C L.. Net Investment Earnings* 13,656,303 ::, ..... cu 0:: 4 Market Value as of Mar. 2004 $392,740,226 2 0 96 97 98 99 00 01 02 03 04 Orange County Sanitation District Long Term Operating Portfolio (periods ending March 31, 2004) Since Inception 09/30/95 5 Yrs. 3 Yrs. 2 Yrs. 1 Yr. 9 Mos. 6 Mos. 3 Mos. Before Fees(%) 6.5 6.2 5.8 6.2 3.6 2.1 1.8 1.5 Merrill Lynch l Corp/Govt 1-5 Year Bond Index (%) 6.5 6.5 6.2 6.5 3.8 2.2 1.8 1.7 All periods longer than one year are annualized. * Includes income and realized/unrealized gains and losses, less management fees 2 PIM C 0 Performance Review Performance 9 ~-------------------------r-------, Annual • Orange County Sanitation District Qi • Citigroup 3-Month Treasury Bill Index Asset Growth 7 Market Value as of Mar. 2003 $ 49,556,310 ,...,. t 5 Contributions / Withdrawals 41,400,100 ti) C: L. Net Investment Earnings* 662,799 ::::, t 3 c:'. Market Value as of Mar. 2004 $ 91,619,208 1 -1 -- 96 97 98 99 00 01 02 03 04 Orange County Sanitation District Liquid Operating Portfolio (periods ending March 31, 2004) Since Inception 09/30/95 5 Yrs. 3 Yrs. 2 Yrs. 1 Yr. 9 Mos. 6 Mos. 3 Mos. Before Fees(%) 4.5 3.8 2.3 1.6 1.1 0.8 0.5 0.3 Citigroup 3-Month Treasury Bill Index(%) 4.1 3.3 1.9 1.3 1.0 0.7 0.5 0.2 All periods longer than one year are annualized. * Includes income and realized/unrealized gains and losses, less management fees 3 PIM C 0 Performance Review Asset Growth Market Value as of Aug. 2003 Contributions / Withdrawals Net Investment Earnings* Market Value as of Mar. 2004 Orange County Sanitation District $ 142,496,777 65,352,248 (141,792,552) $ 66,056,473 2003 COP Proceeds -Future Construction (periods ending March 31, 2004) Since Inception 07/31/03 6 Mos. 3 Mos. Before Fees (%) 0.7 0.5 0.3 Citigroup 3-Month Treasury Bill Index(%) 0.6 0.5 0.2 * Includes income and realized/unrealized gains and losses, less management fees 4 PIM C 0 [I L~ r, ...__ L L f< ,· L [_~ r~• ii ••I l. ...... [. r I,;._~ - ,...., ~ ~ ..... C QJ u I.. QJ c.. Disappointing Jobs Data Drives Treasury Rates Lower 10-Year Treasury Yield 5.0 ~------------------------------------------------, 4.5 4.0 3.5 Greenspan: Greenspan: unconventional policy "most unlikely" "an unwelcome substantial fall in inflation" FOMC says rates to stay low for a "considerable period" FOMC lowers target to 1% December nonfarm payroll data disappoints lk vs. 100k expected Q3 GDP growth 7 .2% (later revised to 8.2%) February nonfarm payroll data disappoints 21k vs. 135k expected FOMC replaces "considerable period" language with "patient" Al Qaeda blamed for Madrid train bombing 3.0 L..._ _______________________________________ _J Dec-02 Mar-03 Jun-03 Sep-03 Dec-03 Mar-04 SOURCE: Bloomberg Financial Markets 5 PIM C 0 Bonds Benefited from Signs of Lackluster Recovery As of March 31 , 2004 • Rates volatile but rangebound in 2003 • U.S. interest rates rallied on weak jobs reports, confidence that Fed on hold • Investors risk appetite returned in 2003 • All bond sectors advanced on economic, jobs recovery concerns -Investors favored higher grade issues -Heavy demand from banks supported mortgage market -Non-U.S. returns driven by European positions -Short-term Europe performs well 6 5 ~4 0 '--' ~ 3 QJ >= 2 1 0 U.S. Treasury Yield Curves ----12/31/2002 --12/31/2003 --03/31/2004 5.0 4.7 4.7 t-----------------------------1 20 •Yield Changes in Ql (bps) 0 -20 ~o '------------------------------' -60 3m 2Y SY 10Y 30Y 1-3 Year Sector Index Returns 25 1 2003 I 1Q 2004 -20 ........ ~ 0 '--' E 1s ::::, ..... QJ :: 10 .L'3 0 I-5 0 "-"~ d-~ ~ ~~ '0~· ~~ "-"~ d-~ ~ ~~ '0~· ~~ () ~ ~ () o<f ~OJ ~o <v~ ~ ~ SOURCE: PIMCO, Lehman Brothers, Bloomberg Financial Markets, Citigroup Yield Book * Returns for mortgages and corporates have been duration adjusted utilizing Lehman Brothers reported excess returns relative to Treasuries. 6 PIM C 0 Early Positioning for U.S. Reflation Produces Mixed Results Interest Rate Strategies Sector Strategies Strategy • Duration: Below index • Curve: Pursued roll-down through a broader-than-index curve structure • Treasuries: Emphasized TIPS • Mortgages: Modest exposure • Corporates: Held selected issues; still underweight versus the benchmark 7 lQ '04 + + + PIM C 0 Global Economy -Stable Disequilibrium Normal Fed Fiscal tax cut 0 U.S. Growth Response Historical Higher consumption Rebound in capital spending Increased hiring Income growth 0 -·· ---·---'-•rmpact on U.S. Growth ~ an~ Interest Rates Sustained domestic growth Fed tightening 8 Current Stimulus Supply Shock Fed 0 Fiscal tax cut 0 U.S. Growth Response Today Increased imports Slower recovery in capital expenditure Slower domestic hiring Slower income growth 0 Impact on U.S. Growth and Interest Rates Short rates unchanged until late 2004 I early 2005 Intermediate I long rates rise anticipating reflation Dollar decline extends Labor Goods PIM C 0 Search for Value Worldwide Interest Rate Strategies Conservative in Volatile Rate Enviroflment • Duration: Below-index with tactical adjustments • Maturity Mix: Empt:l;asize short maturities Core Sectors Opportunistic as Value Improves • U.S. Treasuries: Focus on TIPS and futures • Mortgages: Currently fully-valued; continue active management of coupon • Corporates: Diminished risk-adjusted value due to narrow spreads 9 PIM C 0 L L l L L L L L L L l L L l L Organizational Structure Allianz Dresdner Asset Management (ADAM) PIMCO Fixed Income Investment Manager for ADAM Worldwide • Manages fixed income assets • Advisor, Fixed Income Fund Platforms -Pacific Investment Management Series (PIMS) - e.g.PIMCO Total Return Fund -Private Account Portfolio Series (PAPS) -PIMCO Variable Insurance Trust (PVIT) -Global Investor Series (GIS)* * Advised by ADAM, sub-advised by PIMCO ADAM Equity Retail Distribution Equity Subsidiaries PAD LLC • Manages equity assets • Distributors of fixed income and equity funds to retail market • Advisor, Equity Fund Platforms, via PAFM -Multi-Manager Series (MMS) -PEA Capital -Oppenheimer Capital -Cadence Capital Management -NFJ -Nicholas-Applegate -RCM 10 PIM C 0 PIMCO Update -Continuing to Improve to Meet Client Needs Developing Firm Resources Hosting PIMCO Institute Events Developing Strategies to Meet Client Needs " Asset Growth from $304.6 B to $373. 7 B in 2003 -Assets under management as of March 31, 2004: $394.6 B -Process and philosophy unchanged -Introduced strategies building on fixed income and derivative expertise • Building the Team -220 Investment Professionals -Added 24 investment professionals in 2003 -Hired 8 investment professionals to staff global offices, enhancing global investment insights -Added 2 investment professionals in 1st quarter 2004 • Visiting client seminars -"How to Prosper in a Low Return Environment" -"Derivatives and Risk Management" • Educational seminars in Newport Beach -CFO/Treasurers Seminar -September 27-29 -Fundamentals of Fixed Income Management -September 30-October 1 -Seminar for Investment Professionals -October 4-8 -Seminar for Investment Professional Practitioners -October 18-22 • All Asset Fund • RealEstateRealReturn • CommodityRealReturn • StocksPLUS Total Return 11 PIM C 0 Building on Fixed Income Expertise to Meet Client Needs Strategy Description Assets Traditional: Sector-Specific: Real Return: Equity PLUS: Other: Total Return Long Duration Moderate Duration Low Duration Short-Term Money Market Stable Value Credit: Investment Grade Corporates High Yield Diversified Income CBO/CLO Mortgages Global Emerging Markets Municipals Real Return CommodityRealReturn All Asset, All Asset All Authority RealEstateRealReturn StocksPLUS and StocksPLUS Total Return Convertibles Other PIMCO's flagship style: Core I Core Plus Focus on long-term bonds Total return with intermediate duration Total return with shorter duration Active cash management techniques Maximize income while preserving capital Strategies that use book value wrappers High quality corporate bond portfolios Emphasis on upper tiers of high yield market Global credit combining corporate and emerging markets debt Collateralized bonds/loan obligations Includes LIBOR-based mortgage products Non-U.S. and global approaches Focus on solid credits with improving economic fundamentals Tax-efficient total return management TIPS and other inflation-hedging strategies Commodity-linked exposure backed by a bond portfolio Tactical allocation among PIMCO funds Real Estate-linked exposure backed by a bond portfolio $ 176.1 10.9 7.2 22.1 11.7 0.7 16.9 6.0 17.6 0.8 8.1 9.3 40.8 6.1 7.6 20.7 4.0 1.8 0.0* Combines passive equity index exposure with active bond management 24. 7 Balanced risk/reward profile that provides downside protection Private placement investments 0.0 0.5 Total Assets Under Management: $ 394.6 B Assets as of March 31 , 2004. Potential differences in asset totals are due to rounding. * RealEstateRealReturn total assets are $290 M, of which $276 M are accounted for by All Asset strategies. 12 PIM C 0